-----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, FprSNmaTShb4mQZTuhFm1ZfhKBGaUNfz9TD5VJh/XZxvSFCyDgem3uWn5Fwt/UWG uU7ZtsggEujkNW4gnl+liQ== 0000950123-10-020954.txt : 20100304 0000950123-10-020954.hdr.sgml : 20100304 20100304134725 ACCESSION NUMBER: 0000950123-10-020954 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20091231 FILED AS OF DATE: 20100304 DATE AS OF CHANGE: 20100304 EFFECTIVENESS DATE: 20100304 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-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-08839 FILM NUMBER: 10656593 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 KME 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 SHM 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 CXA 0001064642 S000017332 SPDR(R) Barclays Capital New York Municipal Bond ETF C000047969 SPDR(R) Barclays Capital New York Municipal Bond ETF INY 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 BWX 0001064642 S000018783 SPDR(R) DB International Government Inflation-Protected Bond ETF C000051965 SPDR(R) DB International Government Inflation-Protected Bond ETF WIP 0001064642 S000019666 SPDR(R) Barclays Capital Short Term Corporate Bond ETF C000055010 SPDR(R) Barclays Capital Short Term Corporate Bond ETF SCPB 0001064642 S000019669 SPDR(R) Barclays Capital High Yield Bond ETF C000055013 SPDR(R) Barclays Capital High Yield Bond ETF JNK 0001064642 S000022922 SPDR(R) Barclays Capital Mortgage Backed Bond ETF C000066453 SPDR(R) Barclays Capital Mortgage Backed Bond ETF MBG 0001064642 S000022923 SPDR(R) Barclays Capital Intermediate Term Credit Bond ETF C000066454 SPDR(R) Barclays Capital Intermediate Term Credit Bond ETF ITR 0001064642 S000022924 SPDR(R) Barclays Capital Long Term Credit Bond ETF C000066455 SPDR(R) Barclays Capital Long Term Credit Bond ETF LWC 0001064642 S000022925 SPDR(R) Barclays Capital Convertible Bond ETF C000066456 SPDR(R) Barclays Capital Convertible Bond ETF CWB 0001064642 S000023655 SPDR(R) Barclays Capital Short Term International Treasury Bond ETF C000069669 SPDR(R) Barclays Capital Short Term International Treasury Bond ETF BWZ 0001064642 S000025944 SPDR(R) S&P(R) VRDO Municipal Bond ETF C000077952 SPDR(R) S&P(R) VRDO Municipal Bond ETF VRD 0001064642 S000026152 SPDR(R) Wells Fargo Preferred Stock ETF C000078463 SPDR(R) Wells Fargo Preferred Stock ETF PSK N-CSRS 1 b79062a1nvcsrs.txt SPDR 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, MA 02111 - -------------------------------------------------------------------------------- (Address of principal executive offices) (zip code) Ryan M. Louvar, Esq. State Street Bank and Trust Company One Lincoln Street Boston, MA 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: December 31, 2009 ITEM 1: REPORTS TO SHAREHOLDERS SPDR(R) SERIES TRUST - EQUITY FUNDS SEMI-ANNUAL REPORT DECEMBER 31, 2009 (SPDRS LOGO) PRECISE IN A WORLD THAT ISN'T(SM) TABLE OF CONTENTS PERFORMANCE & PORTFOLIO SUMMARY SPDR Dow Jones Total Market ETF (TMW)................................... 1 SPDR Dow Jones Large Cap ETF (ELR)...................................... 4 SPDR Dow Jones Large Cap Growth ETF (ELG)............................... 7 SPDR Dow Jones Large Cap Value ETF (ELV)................................ 10 SPDR Dow Jones Mid Cap ETF (EMM)........................................ 13 SPDR Dow Jones Mid Cap Growth ETF (EMG)................................. 16 SPDR Dow Jones Mid Cap Value ETF (EMV).................................. 19 SPDR Dow Jones Small Cap ETF (DSC)...................................... 22 SPDR Dow Jones Small Cap Growth ETF (DSG)............................... 25 SPDR Dow Jones Small Cap Value ETF (DSV)................................ 28 SPDR DJ Global Titans ETF (DGT)......................................... 31 SPDR Dow Jones REIT ETF (RWR)........................................... 34 SPDR KBW Bank ETF (KBE)................................................. 37 SPDR KBW Capital Markets ETF (KCE)...................................... 40 SPDR KBW Insurance ETF (KIE)............................................ 43 SPDR KBW Mortgage Finance(SM) ETF (KME)................................. 46 SPDR KBW Regional Banking(SM) ETF (KRE)................................. 49 SPDR Morgan Stanley Technology ETF (MTK)................................ 52 SPDR S&P Dividend ETF (SDY)............................................. 55 SPDR S&P Biotech ETF (XBI).............................................. 58 SPDR S&P Homebuilders ETF (XHB)......................................... 61 SPDR S&P Metals & Mining ETF (XME)...................................... 64 SPDR S&P Oil & Gas Equipment & Services ETF (XES)....................... 67 SPDR S&P Oil & Gas Exploration & Production ETF (XOP)................... 70 SPDR S&P Pharmaceuticals ETF (XPH)...................................... 73 SPDR S&P Retail ETF (XRT)............................................... 76 SPDR S&P Semiconductor ETF (XSD)........................................ 79 SPDR Wells Fargo Preferred Stock ETF (PSK).............................. 82 SUMMARY SCHEDULES OF INVESTMENTS SPDR Dow Jones Total Market ETF (TMW)................................... 83 SPDR Dow Jones Large Cap ETF (ELR)...................................... 86 SPDR Dow Jones Large Cap Growth ETF (ELG)............................... 89 SPDR Dow Jones Large Cap Value ETF (ELV)................................ 92 SPDR Dow Jones Mid Cap ETF (EMM)........................................ 95 SPDR Dow Jones Mid Cap Growth ETF (EMG)................................. 98 SPDR Dow Jones Mid Cap Value ETF (EMV).................................. 101 SPDR Dow Jones Small Cap ETF (DSC)...................................... 103 SPDR Dow Jones Small Cap Growth ETF (DSG)............................... 106 SPDR Dow Jones Small Cap Value ETF (DSV)................................ 109
SCHEDULES OF INVESTMENTS SPDR DJ Global Titans ETF (DGT)......................................... 112 Dow Jones REIT ETF (RWR)................................................ 113 SPDR KBW Bank ETF (KBE)................................................. 115 SPDR KBW Capital Markets ETF (KCE)...................................... 116 SPDR KBW Insurance ETF (KIE)............................................ 117 SPDR KBW Mortgage Finance ETF (KME)..................................... 118 SPDR KBW Regional Banking ETF (KRE)..................................... 119 Morgan Stanley Technology ETF (MTK)..................................... 120 SPDR S&P Dividend ETF (SDY)............................................. 121 SPDR S&P Biotech ETF (XBI).............................................. 123 SPDR S&P Homebuilders ETF (XHB)......................................... 124 SPDR S&P Metals & Mining ETF (XME)...................................... 125 SPDR S&P Oil & Gas Equipment & Services ETF (XES)....................... 126 SPDR S&P Oil & Gas Exploration & Production ETF (XOP)................... 127 SPDR S&P Pharmaceuticals ETF (XPH)...................................... 128 SPDR S&P Retail ETF (XRT)............................................... 129 SPDR S&P Semiconductor ETF (XSD)........................................ 130 SPDR Wells Fargo Preferred Stock ETF (PSK).............................. 131 FINANCIAL STATEMENTS...................................................... 134 FINANCIAL HIGHLIGHTS...................................................... 158 NOTES TO FINANCIAL STATEMENTS............................................. 176 OTHER INFORMATION......................................................... 190
(semi-annual report 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 commissions 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, 2009 IS 0.21%. PERFORMANCE AS OF DECEMBER 31, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- DOW JONES DOW JONES U.S. U.S. TOTAL STOCK TOTAL STOCK NET ASSET MARKET MARKET NET ASSET MARKET MARKET VALUE VALUE INDEX VALUE VALUE INDEX ---------------------------------------------------------------------------------------------------------------------- SIX-MONTHS 22.86% 22.65% 23.07% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- ONE YEAR 28.08% 27.82% 28.57% 28.08% 27.82% 28.57% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -14.64% -14.89% -14.77% -5.14% -5.23% -5.19% ---------------------------------------------------------------------------------------------------------------------- FIVE YEARS (1) 4.87% 4.76% 4.97% 0.96% 0.94% 0.97% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1)(2) -2.17% -2.27% -1.68% -0.24% -0.25% -0.18% ----------------------------------------------------------------------------------------------------------------------
(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 December 31, 2009.
1 (semi-annual report LOGO) SPDR DOW JONES TOTAL MARKET ETF -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (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 10/31/00 10061 10061 11/30/00 9407 9406 12/31/00 9467 9467 1/31/01 9762 9766 2/28/01 9018 9022 3/31/01 8516 8520 4/30/01 9117 9123 5/31/01 9188 9195 6/30/01 8978 8987 7/31/01 8929 8938 8/31/01 8379 8387 9/30/01 7763 7771 10/31/01 7857 7865 11/30/01 8442 8454 12/31/01 8498 8514 1/31/02 8412 8429 2/28/02 8280 8297 3/31/02 8562 8583 4/30/02 8077 8098 5/31/02 8018 8039 6/30/02 7480 7498 7/31/02 6940 6957 8/31/02 6983 7002 9/30/02 6228 6245 10/31/02 6747 6767 11/30/02 7097 7120 12/31/02 6696 6720 1/31/03 6508 6531 2/28/03 6393 6417 3/31/03 6467 6494 4/30/03 6992 7025 5/31/03 7318 7354 6/30/03 7422 7461 7/31/03 7555 7597 8/31/03 7670 7714 9/30/03 7593 7638 10/31/03 8010 8060 11/30/03 8062 8114 12/31/03 8478 8536 1/31/04 8602 8663 2/29/04 8727 8790 3/31/04 8593 8656 4/30/04 8473 8537 5/31/04 8553 8620 6/30/04 8706 8776 7/31/04 8448 8517 8/31/04 8494 8564 9/30/04 8560 8632 10/31/04 8670 8746 11/30/04 9018 9098 12/31/04 9327 9414 1/31/05 9147 9235 2/28/05 9363 9454 3/31/05 9204 9296 4/30/05 9043 9135 5/31/05 9313 9410 6/30/05 9364 9486 7/31/05 9754 9879 8/31/05 9674 9790 9/30/05 9758 9868 10/31/05 9583 9686 11/30/05 9955 10073 12/31/05 9974 10086 1/31/06 10308 10446 2/28/06 10290 10442 3/31/06 10461 10635 4/30/06 10563 10753 5/31/06 10231 10407 6/30/06 10250 10426 7/31/06 10241 10414 8/31/06 10482 10657 9/30/06 10721 10892 10/31/06 11100 11287 11/30/06 11333 11542 12/31/06 11460 11677 1/31/07 11673 11898 2/28/07 11473 11710 3/31/07 11604 11840 4/30/07 12069 12313 5/31/07 12508 12765 6/30/07 12307 12559 7/31/07 11890 12130 8/31/07 12058 12299 9/30/07 12479 12740 10/31/07 12713 12981 11/30/07 12155 12398 12/31/07 12083 12318 1/31/08 11380 11571 2/29/08 11040 11223 3/31/08 10968 11146 4/30/08 11510 11701 5/31/08 11741 11945 6/30/08 10786 10973 7/31/08 10691 10878 8/31/08 10848 11049 9/30/08 9854 10022 10/31/08 8130 8261 11/30/08 7495 7600 12/31/08 7637 7731 1/31/09 7029 7100 2/28/09 6306 6361 3/31/09 6846 6915 4/30/09 7545 7642 5/31/09 7939 8047 6/30/09 7963 7989 7/31/09 8583 8708 8/31/09 8884 9022 9/30/09 9244 9292 10/31/09 9020 9153 11/30/09 9529 9667 12/31/09 9783 9832
(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 (semi-annual report LOGO) SPDR DOW JONES TOTAL MARKET ETF -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
------------------------------------------------------------------------------------------------------ DESCRIPTION EXXON MOBIL CORP. MICROSOFT CORP. APPLE, INC. JOHNSON & JOHNSON ------------------------------------------------------------------------------------------------------ MARKET VALUE $4,952,640 3,693,376 2,917,881 2,720,589 ------------------------------------------------------------------------------------------------------ % OF NET ASSETS 2.7% 2.0 1.6 1.5 ------------------------------------------------------------------------------------------------------ --------------------------------------------------- DESCRIPTION PROCTER & GAMBLE CO. --------------------------------------------------- MARKET VALUE 2,716,427 --------------------------------------------------- % 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 DECEMBER 31, 2009*
----------------------------------------------- PERCENT OF INDUSTRY NET ASSETS ----------------------------------------------- Oil, Gas & Consumable Fuels 8.9% Pharmaceuticals 5.5 Computers & Peripherals 5.2 Software 4.2 Diversified Financial Services 3.7 Insurance 3.6 Media 2.9 Semiconductors & Semiconductor Equipment 2.8 Commercial Banks 2.7 Communications Equipment 2.6 Diversified Telecommunication Services 2.5 Capital Markets 2.4 Health Care Providers & Services 2.4 Aerospace & Defense 2.3 Food & Staples Retailing 2.3 Health Care Equipment & Supplies 2.2 Household Products 2.2 Specialty Retail 2.2 Beverages 2.1 Machinery 2.1 Real Estate Investment Trusts 2.1 Biotechnology 1.9 Chemicals 1.9 Industrial Conglomerates 1.9 Electric Utilities 1.8 Energy Equipment & Services 1.8 Hotels, Restaurants & Leisure 1.8 Internet Software & Services 1.8 Food Products 1.7 IT Services 1.6 Tobacco 1.3 Metals & Mining 1.1 Multi-Utilities 1.1 Road & Rail 1.1 Electronic Equipment, Instruments & Components 1.0 Air Freight & Logistics 0.8 Multiline Retail 0.8 Commercial Services & Supplies 0.7 Household Durables 0.7 Consumer Finance 0.6 Electrical Equipment 0.6 Internet & Catalog Retail 0.6 Life Sciences Tools & Services 0.6 Textiles, Apparel & Luxury Goods 0.5 Wireless Telecommunication Services 0.5 Diversified Consumer Services 0.4 Auto Components 0.3 Automobiles 0.3 Construction & Engineering 0.3 Containers & Packaging 0.3 Independent Power Producers & Energy Traders 0.3 Paper & Forest Products 0.3 Personal Products 0.3 Professional Services 0.3 Thrifts & Mortgage Finance 0.3 Airlines 0.2 Leisure Equipment & Products 0.2 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 Water Utilities 0.1 Short Term Investments 7.2 Other Assets & Liabilities (6.7) ----------------------------------------------- TOTAL 100.0% -----------------------------------------------
* The Fund's industry breakdown is expressed as a percentage of net assets and may change over time.
3 (semi-annual report 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 commissions 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, 2009 IS 0.23%. PERFORMANCE AS OF DECEMBER 31, 2009
---------------------------------------------------------------------------------------------------------------------- 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 ---------------------------------------------------------------------------------------------------------------------- SIX-MONTHS 22.36% 22.24% 22.49% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- ONE YEAR 26.89% 26.84% 26.98% 26.89% 26.84% 26.98% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -14.95% -15.18% -14.95% -5.25% -5.34% -5.26% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) 0.86% 0.79% 1.09% 0.21% 0.19% 0.26% ----------------------------------------------------------------------------------------------------------------------
(1) For the period November 8, 2005 to December 31, 2009.
4 (semi-annual report LOGO) SPDR DOW JONES LARGE CAP ETF -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE) LINE GRAPH
DOW JONES SPDR DOW U.S. LARGE-CAP JONES LARGE TOTAL STOCK CAP ETF MARKET INDEX (A) (B) ----------- -------------- 11/8/05 10000 10000 11/30/05 10266 10267 12/31/05 10277 10280 1/31/06 10569 10574 2/28/06 10570 10573 3/31/06 10717 10721 4/30/06 10850 10855 5/31/06 10532 10539 6/30/06 10548 10556 7/31/06 10587 10599 8/31/06 10830 10847 9/30/06 11096 11112 10/31/06 11467 11487 11/30/06 11707 11730 12/31/06 11860 11885 1/31/07 12072 12100 2/28/07 11850 11879 3/31/07 11980 12011 4/30/07 12482 12519 5/31/07 12923 12966 6/30/07 12710 12752 7/31/07 12323 12364 8/31/07 12502 12543 9/30/07 12971 13022 10/31/07 13210 13263 11/30/07 12674 12721 12/31/07 12597 12643 1/31/08 11837 11881 2/29/08 11481 11519 3/31/08 11411 11449 4/30/08 11982 12028 5/31/08 12191 12242 6/30/08 11207 11248 7/31/08 11078 11118 8/31/08 11225 11267 9/30/08 10209 10231 10/31/08 8478 8488 11/30/08 7848 7854 12/31/08 7949 7958 1/31/09 7314 7317 2/28/09 6570 6569 3/31/09 7133 7136 4/30/09 7806 7812 5/31/09 8222 8228 6/30/09 8243 8253 7/31/09 8860 8870 8/31/09 9162 9175 9/30/09 9513 9531 10/31/09 9321 9336 11/30/09 9869 9886 12/31/09 10086 10109
5 (semi-annual report LOGO) SPDR DOW JONES LARGE CAP ETF -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
------------------------------------------------------------------------------------------------------------------------------- DESCRIPTION EXXON MOBIL CORP. MICROSOFT CORP. APPLE, INC. JOHNSON & JOHNSON PROCTER & GAMBLE CO. ------------------------------------------------------------------------------------------------------------------------------- MARKET VALUE $1,416,306 1,052,454 823,198 775,303 773,699 ------------------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 3.0% 2.3 1.8 1.7 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 DECEMBER 31, 2009*
----------------------------------------------- PERCENT OF INDUSTRY NET ASSETS ----------------------------------------------- Oil, Gas & Consumable Fuels 9.4% Pharmaceuticals 6.0 Computers & Peripherals 5.6 Software 4.3 Diversified Financial Services 3.9 Insurance 3.7 Media 2.9 Diversified Telecommunication Services 2.7 Semiconductors & Semiconductor Equipment 2.7 Capital Markets 2.6 Food & Staples Retailing 2.5 Commercial Banks 2.5 Household Products 2.4 Communications Equipment 2.4 Aerospace & Defense 2.4 Beverages 2.4 Health Care Equipment & Supplies 2.1 Health Care Providers & Services 2.1 Industrial Conglomerates 2.1 Chemicals 2.1 Specialty Retail 2.0 Internet Software & Services 2.0 Electric Utilities 2.0 Energy Equipment & Services 1.8 Machinery 1.7 IT Services 1.7 Biotechnology 1.7 Food Products 1.6 Hotels, Restaurants & Leisure 1.6 Real Estate Investment Trusts 1.4 Tobacco 1.4 Multi-Utilities 1.4 Metals & Mining 1.1 Road & Rail 1.0 Air Freight & Logistics 0.8 Multiline Retail 0.8 Electronic Equipment, Instruments & Components 0.7 Consumer Finance 0.7 Internet & Catalog Retail 0.6 Commercial Services & Supplies 0.6 Electrical Equipment 0.6 Life Sciences Tools & Services 0.5 Wireless Telecommunication Services 0.5 Household Durables 0.4 Textiles, Apparel & Luxury Goods 0.4 Automobiles 0.3 Gas Utilities 0.3 Personal Products 0.3 Independent Power Producers & Energy Traders 0.3 Containers & Packaging 0.3 Construction & Engineering 0.3 Diversified Consumer Services 0.3 Professional Services 0.3 Auto Components 0.2 Paper & Forest Products 0.2 Thrifts & Mortgage Finance 0.2 Airlines 0.2 Trading Companies & Distributors 0.1 Leisure Equipment & Products 0.1 Construction Materials 0.1 Real Estate Management & Development 0.1 Health Care Technology 0.1 Building Products 0.1 Office Electronics 0.1 Distributors 0.1 Water Utilities 0.0** Short Term Investment 28.1 Other Assets & Liabilities (27.9) ----------------------------------------------- TOTAL 100.0% -----------------------------------------------
* The Fund's industry breakdown is expressed as a percentage of net assets and may change over time. ** Amount represents less then 0.05% of net assets.
6 (semi-annual report 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 commissions 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, 2009 IS 0.20%. PERFORMANCE AS OF DECEMBER 31, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- DOW JONES DOW JONES U.S. U.S. LARGE-CAP LARGE-CAP GROWTH GROWTH TOTAL STOCK TOTAL STOCK NET ASSET MARKET MARKET NET ASSET MARKET MARKET VALUE VALUE INDEX VALUE VALUE INDEX ---------------------------------------------------------------------------------------------------------------------- SIX-MONTHS 24.61% 24.44% 24.71% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- ONE YEAR 37.10% 37.09% 37.40% 37.10% 37.09% 37.40% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -5.05% -5.20% -4.69% -1.71% -1.76% -1.59% ---------------------------------------------------------------------------------------------------------------------- FIVE YEARS (1) 6.63% 6.51% 11.44% 1.29% 1.27% 2.19% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1)(2) -45.70% -45.72% -30.06% -6.38% -6.38% -3.78% ----------------------------------------------------------------------------------------------------------------------
(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 December 31, 2009.
7 (semi-annual report LOGO) SPDR DOW JONES LARGE CAP GROWTH ETF -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE) LINE GRAPH
DOW JONES U.S. SPDR DOW LARGE-CAP GROWTH JONES TOTAL TOTAL STOCK MARKET ETF MARKET INDEX (A)(1) (B) ----------- ---------------- 9/25/2000 10000 10000 Sep-00 9800 9865 Oct-00 9286 9344 Nov-00 7793 7899 Dec-00 7395 7726 Jan-01 8051 8266 Feb-01 6528 6932 Mar-01 5703 6199 Apr-01 6512 6923 May-01 6406 6877 Jun-01 6252 6762 Jul-01 5971 6488 Aug-01 5339 5907 Sep-01 4696 5299 Oct-01 4972 5566 Nov-01 5566 6101 Dec-01 5498 6136 Jan-02 5425 5983 Feb-02 5133 5683 Mar-02 5244 5898 Apr-02 4738 5431 May-02 4610 5317 Jun-02 4233 4881 Jul-02 3952 4592 Aug-02 3974 4637 Sep-02 3506 4156 Oct-02 3882 4579 Nov-02 4126 4824 Dec-02 3757 4496 Jan-03 3653 4385 Feb-03 3689 4347 Mar-03 3780 4454 Apr-03 4063 4809 May-03 4201 4980 Jun-03 4249 5050 Jul-03 4365 5162 Aug-03 4438 5262 Sep-03 4377 5211 Oct-03 4652 5468 Nov-03 4683 5515 Dec-03 4853 5730 Jan-04 4932 5868 Feb-04 4958 5937 Mar-04 4871 5849 Apr-04 4829 5788 May-04 4910 5875 Jun-04 4958 5980 Jul-04 4692 5715 Aug-04 4673 5713 Sep-04 4696 5780 Oct-04 4755 5824 Nov-04 4913 6057 Dec-04 5092 6277 Jan-05 4953 6100 Feb-05 4944 6166 Mar-05 4839 6054 Apr-05 4734 5886 May-05 4960 6166 Jun-05 4896 6208 Jul-05 5134 6516 Aug-05 5062 6470 Sep-05 5067 6520 Oct-05 5046 6460 Nov-05 5254 6727 Dec-05 5250 6724 Jan-06 5418 6939 Feb-06 5354 6858 Mar-06 5434 6961 Apr-06 5435 6963 May-06 5247 6722 Jun-06 5228 6700 Jul-06 5134 6580 Aug-06 5263 6747 Sep-06 5391 6912 Oct-06 5583 7160 Nov-06 5704 7317 Dec-06 5720 7339 Jan-07 5861 7521 Feb-07 5755 7386 Mar-07 5790 7431 Apr-07 6032 7745 May-07 6248 8024 Jun-07 6167 7920 Jul-07 6045 7764 Aug-07 6125 7867 Sep-07 6378 8194 Oct-07 6594 8474 Nov-07 6343 8153 Dec-07 6336 8144 Jan-08 5845 7512 Feb-08 5753 7394 Mar-08 5708 7337 Apr-08 6035 7760 May-08 6266 8059 Jun-08 5857 7533 Jul-08 5707 7341 Aug-08 5812 7477 Sep-08 5153 6627 Oct-08 4234 5441 Nov-08 3892 5000 Dec-08 3962 5091 Jan-09 3765 4837 Feb-09 3457 4441 Mar-09 3746 4817 Apr-09 4156 5346 May-09 4315 5552 Jun-09 4358 5608 Jul-09 4690 6038 Aug-09 4804 6185 Sep-09 5040 6489 Oct-09 4936 6357 Nov-09 5220 6724 Dec-09 5430 6994
(1) Prior to November 1, 2005, the Fund's investment strategy sought to track the total return performance of an index different from 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. 8 (semi-annual report LOGO) SPDR DOW JONES LARGE CAP GROWTH ETF -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
--------------------------------------------------------------------------------------------------------------------------- GOOGLE, INC. DESCRIPTION MICROSOFT CORP. APPLE, INC. (CLASS A) CISCO SYSTEMS, INC. HEWLETT-PACKARD CO. --------------------------------------------------------------------------------------------------------------------------- MARKET VALUE $8,900,641 6,908,617 5,271,070 5,102,955 4,505,631 --------------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 4.7% 3.6 2.8 2.7 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 DECEMBER 31, 2009*
----------------------------------------------- PERCENT OF INDUSTRY NET ASSETS ----------------------------------------------- Software 8.9% Computers & Peripherals 8.2 Oil, Gas & Consumable Fuels 6.0 Communications Equipment 5.1 Food & Staples Retailing 4.4 Health Care Equipment & Supplies 4.4 Internet Software & Services 4.0 Energy Equipment & Services 3.8 Health Care Providers & Services 3.8 Biotechnology 3.4 IT Services 3.3 Semiconductors & Semiconductor Equipment 3.3 Machinery 3.2 Media 2.9 Specialty Retail 2.8 Chemicals 2.3 Insurance 2.3 Metals & Mining 2.3 Capital Markets 2.1 Beverages 1.9 Road & Rail 1.7 Hotels, Restaurants & Leisure 1.6 Electronic Equipment, Instruments & Components 1.4 Multiline Retail 1.3 Internet & Catalog Retail 1.2 Life Sciences Tools & Services 1.1 Diversified Financial Services 1.0 Electrical Equipment 1.0 Household Products 1.0 Real Estate Investment Trusts 0.9 Aerospace & Defense 0.8 Air Freight & Logistics 0.8 Pharmaceuticals 0.7 Textiles, Apparel & Luxury Goods 0.7 Wireless Telecommunication Services 0.7 Construction & Engineering 0.6 Professional Services 0.5 Commercial Services & Supplies 0.4 Diversified Consumer Services 0.4 Independent Power Producers & Energy Traders 0.4 Personal Products 0.4 Airlines 0.3 Gas Utilities 0.3 Trading Companies & Distributors 0.3 Construction Materials 0.2 Consumer Finance 0.2 Containers & Packaging 0.2 Food Products 0.2 Health Care Technology 0.2 Household Durables 0.2 Thrifts & Mortgage Finance 0.2 Auto Components 0.1 Electric Utilities 0.1 Industrial Conglomerates 0.1 Real Estate Management & Development 0.1 Building Products 0.0** Diversified Telecommunication Services 0.0** Short Term Investments 3.7 Other Assets & Liabilities (3.4) ----------------------------------------------- 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 (semi-annual report 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 commissions 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, 2009 IS 0.21%. PERFORMANCE AS OF DECEMBER 31, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- DOW JONES DOW JONES U.S. U.S. LARGE-CAP LARGE-CAP VALUE VALUE TOTAL STOCK TOTAL STOCK NET ASSET MARKET MARKET NET ASSET MARKET MARKET VALUE VALUE INDEX VALUE VALUE INDEX ---------------------------------------------------------------------------------------------------------------------- SIX-MONTHS 20.34% 20.24% 20.50% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- ONE YEAR 17.17% 17.21% 17.21% 17.17% 17.21% 17.21% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -24.32% -25.06% -24.35% -8.87% -9.17% -8.88% ---------------------------------------------------------------------------------------------------------------------- FIVE YEARS (1) -2.97% -2.99% -2.53% -0.60% -0.61% -0.51% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1)(2) 12.64% 12.61% 23.72% 1.29% 1.29% 2.32% ----------------------------------------------------------------------------------------------------------------------
(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 December 31, 2009.
10 (semi-annual report LOGO) SPDR DOW JONES LARGE CAP VALUE ETF -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE) LINE GRAPH
DOW JONES SPDR DOW U.S. LARGE-CAP JONES LARGE VALUE TOTAL CAP VALUE STOCK MARKET ETF (A)1 INDEX (B) ----------- -------------- 9/25/2000 10000 10000 Sep-00 10175 10180 Oct-00 10519 10485 Nov-00 10244 10158 Dec-00 10592 10613 Jan-00 10512 10616 Feb-00 10166 10297 Mar-00 9812 9938 Apr-01 10244 10387 May-01 10444 10589 Jun-01 10128 10305 Jul-01 10231 10459 Aug-01 9803 10071 Sep-01 9422 9440 Oct-01 9314 9342 Nov-01 9792 9853 Dec-01 9925 10041 Jan-02 9674 10048 Feb-02 9660 10190 Mar-02 10079 10602 Apr-02 9502 10295 May-02 9569 10350 Jun-02 8881 9705 Jul-02 8293 8855 Aug-02 8334 8874 Sep-02 7418 7940 Oct-02 8096 8438 Nov-02 8538 8948 Dec-02 8175 8563 Jan-03 7975 8338 Feb-03 7710 8146 Mar-03 7726 8120 Apr-03 8451 8765 May-03 8949 9441 Jun-03 9136 9550 Jul-03 9144 9701 Aug-03 9185 9917 Sep-03 9152 9793 Oct-03 9525 10447 Nov-03 9570 10576 Dec-03 10263 11179 Jan-04 10473 11336 Feb-04 10638 11544 Mar-04 10428 11400 Apr-04 10265 11149 May-04 10317 11283 Jun-04 10556 11520 Jul-04 10449 11242 Aug-04 10610 11348 Sep-04 10690 11485 Oct-04 10833 11741 Nov-04 11239 12255 Dec-04 11608 12694 Jan-05 11346 12424 Feb-05 11708 12846 Mar-05 11518 12655 Apr-05 11419 12534 May-05 11577 12835 Jun-05 11657 12858 Jul-05 11900 13218 Aug-05 11853 13097 Sep-05 12032 13208 Oct-05 11786 12914 Nov-05 12210 13381 Dec-05 12245 13420 Jan-06 12556 13763 Feb-06 12686 13909 Mar-06 12843 14086 Apr-06 13152 14427 May-06 12835 14081 Jun-06 12913 14169 Jul-06 13220 14509 Aug-06 13501 14822 Sep-06 13830 15187 Oct-06 14265 15668 Nov-06 14554 15991 Dec-06 14881 16354 Jan-07 15058 16550 Feb-07 14778 16244 Mar-07 15012 16505 Apr-07 15646 17207 May-07 16196 17817 Jun-07 15870 17458 Jul-07 15214 16736 Aug-07 15452 17002 Sep-07 15982 17590 Oct-07 16015 17627 Nov-07 15310 16851 Dec-07 15134 16655 Jan-08 14509 15968 Feb-08 13842 15231 Mar-08 13781 15167 Apr-08 14367 15815 May-08 14293 15734 Jun-08 12878 14167 Jul-08 12945 14241 Aug-08 13041 14348 Sep-08 12187 13397 Oct-08 10228 11236 Nov-08 9537 10471 Dec-08 9612 10555 Jan-09 8551 9381 Feb-09 7494 8214 Mar-09 8157 8941 Apr-09 8810 9660 May-09 9400 10310 Jun-09 9361 10268 Jul-09 10049 11026 Aug-09 10486 11509 Sep-09 10785 11838 Oct-09 10570 11601 Nov-09 11201 12299 Dec-09 11264 12372
(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. 11 (semi-annual report LOGO) SPDR DOW JONES LARGE CAP VALUE ETF -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
------------------------------------------------------------------------------------------------------------------------------ INTERNATIONAL EXXON MOBIL BUSINESS MACHINES DESCRIPTION CORP. JOHNSON & JOHNSON PROCTER & GAMBLE CO. CORP. AT&T, INC. ------------------------------------------------------------------------------------------------------------------------------ MARKET VALUE $6,200,653 3,414,825 3,405,041 3,312,817 3,190,122 ------------------------------------------------------------------------------------------------------------------------------ % OF NET ASSETS 5.8% 3.2 3.2 3.1 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 DECEMBER 31, 2009*
----------------------------------------------- PERCENT OF INDUSTRY NET ASSETS ----------------------------------------------- Oil, Gas & Consumable Fuels 12.4% Pharmaceuticals 11.0 Diversified Financial Services 6.6 Diversified Telecommunication Services 5.2 Insurance 5.1 Commercial Banks 4.8 Aerospace & Defense 3.9 Industrial Conglomerates 3.9 Household Products 3.8 Electric Utilities 3.6 Capital Markets 3.1 Computers & Peripherals 3.1 Food Products 2.9 Media 2.9 Beverages 2.8 Tobacco 2.8 Multi-Utilities 2.7 Semiconductors & Semiconductor Equipment 2.1 Real Estate Investment Trusts 2.0 Chemicals 1.9 Hotels, Restaurants & Leisure 1.6 Consumer Finance 1.2 Specialty Retail 1.2 Air Freight & Logistics 0.7 Automobiles 0.7 Commercial Services & Supplies 0.7 Food & Staples Retailing 0.7 Health Care Providers & Services 0.6 Household Durables 0.6 Machinery 0.4 Paper & Forest Products 0.4 Road & Rail 0.4 Auto Components 0.3 Containers & Packaging 0.3 Gas Utilities 0.3 Wireless Telecommunication Services 0.3 Electrical Equipment 0.2 Independent Power Producers & Energy Traders 0.2 IT Services 0.2 Leisure Equipment & Products 0.2 Multiline Retail 0.2 Personal Products 0.2 Thrifts & Mortgage Finance 0.2 Biotechnology 0.1 Building Products 0.1 Distributors 0.1 Diversified Consumer Services 0.1 Electronic Equipment, Instruments & Components 0.1 Internet & Catalog Retail 0.1 Internet Software & Services 0.1 Metals & Mining 0.1 Office Electronics 0.1 Real Estate Management & Development 0.1 Software 0.1 Textiles, Apparel & Luxury Goods 0.1 Water Utilities 0.1 Energy Equipment & Services 0.0** Health Care Equipment & Supplies 0.0** Short Term Investment 1.9 Other Assets & Liabilities (1.6) ----------------------------------------------- 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.
12 (semi-annual report 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 commissions 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, 2009 IS 0.30%. PERFORMANCE AS OF DECEMBER 31, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- DOW JONES DOW JONES U.S. U.S. MID-CAP MID-CAP NET ASSET MARKET TOTAL STOCK NET ASSET MARKET TOTAL STOCK VALUE VALUE MARKET INDEX VALUE VALUE MARKET INDEX ---------------------------------------------------------------------------------------------------------------------- SIX-MONTHS 31.06% 31.05% 31.25% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- ONE YEAR 44.20% 44.41% 44.56% 44.20% 44.41% 44.56% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -6.71% -6.67% -6.69% -2.29% -2.27% -2.28% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) 10.29% 10.26% 10.60% 2.39% 2.38% 2.45% ----------------------------------------------------------------------------------------------------------------------
(1) For the period November 8, 2005 to December 31, 2009.
13 (semi-annual report LOGO) SPDR DOW JONES MID CAP ETF -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE) (PERFORMANCE GRAPH)
DOW JONES SPDR DOW U.S. MID-CAP JONES MID TOTAL STOCK CAP ETF MARKET INDEX (A) (B) --------- ------------ 11/8/2005 10000 10000 11/30/05 10348 10348 12/31/05 10438 10441 01/31/06 10977 10976 02/28/06 10962 10963 03/31/06 11341 11346 04/30/06 11389 11397 05/31/06 10900 10907 06/30/06 10893 10903 07/31/06 10543 10555 08/31/06 10777 10791 09/30/06 10901 10918 10/31/06 11320 11341 11/30/06 11776 11802 12/31/06 11824 11851 01/31/07 12247 12279 02/28/07 12311 12347 03/31/07 12422 12460 04/30/07 12876 12920 05/31/07 13445 13495 06/30/07 13192 13243 07/31/07 12595 12647 08/31/07 12577 12632 09/30/07 12965 13024 10/31/07 13303 13368 11/30/07 12575 12637 12/31/07 12485 12513 01/31/08 11861 11889 02/29/08 11606 11633 03/31/08 11346 11373 04/30/08 12044 12074 05/31/08 12591 12624 06/30/08 11671 11697 07/31/08 11538 11566 08/31/08 11730 11759 09/30/08 10308 10326 10/31/08 8107 8114 11/30/08 7279 7277 12/31/08 7649 7651 01/31/09 7109 7107 02/28/09 6408 6402 03/31/09 6966 6968 04/30/09 8133 8139 05/31/09 8440 8447 06/30/09 8415 8426 07/31/09 9235 9250 08/09/09 9740 9758 09/09/09 10341 10359 10/09/09 9893 9913 11/09/09 10349 10375 12/09/09 11029 11060
14 (semi-annual report LOGO) SPDR DOW JONES MID CAP ETF -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
---------------------------------------------------------------------------------------------------------------- ALPHA NATURAL CLIFFS NATURAL ADVANCED MICRO DESCRIPTION RESOURCES, INC. SANDISK CORP. PROLOGIS RESOURCES, INC. DEVICES, INC. ---------------------------------------------------------------------------------------------------------------- MARKET VALUE $254,207 246,966 242,423 225,933 222,108 ---------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 0.6% 0.5 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 company.) INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2009*
----------------------------------------------- PERCENT OF INDUSTRY NET ASSETS ----------------------------------------------- Insurance 6.4% Real Estate Investment Trusts 6.3 Oil, Gas & Consumable Fuels 5.5 Machinery 4.3 Specialty Retail 3.9 Semiconductors & Semiconductor Equipment 3.6 Software 3.3 Commercial Banks 3.2 Chemicals 3.0 Electronic Equipment, Instruments & Components 2.9 Household Durables 2.9 Health Care Providers & Services 2.7 IT Services 2.4 Capital Markets 2.3 Electric Utilities 2.3 Metals & Mining 2.3 Biotechnology 2.2 Health Care Equipment & Supplies 2.2 Multi-Utilities 2.2 Hotels, Restaurants & Leisure 2.1 Commercial Services & Supplies 1.9 Containers & Packaging 1.8 Energy Equipment & Services 1.8 Gas Utilities 1.8 Food Products 1.7 Computers & Peripherals 1.6 Professional Services 1.6 Media 1.4 Electrical Equipment 1.3 Road & Rail 1.3 Construction & Engineering 1.2 Life Sciences Tools & Services 1.2 Auto Components 1.0 Communications Equipment 1.0 Internet Software & Services 1.0 Pharmaceuticals 1.0 Diversified Consumer Services 0.9 Wireless Telecommunication Services 0.9 Real Estate Management & Development 0.8 Aerospace & Defense 0.7 Diversified Telecommunication Services 0.7 Beverages 0.6 Food & Staples Retailing 0.6 Industrial Conglomerates 0.6 Personal Products 0.6 Airlines 0.5 Independent Power Producers & Energy Traders 0.5 Thrifts & Mortgage Finance 0.5 Building Products 0.4 Health Care Technology 0.4 Paper & Forest Products 0.4 Diversified Financial Services 0.3 Household Products 0.3 Trading Companies & Distributors 0.3 Distributors 0.2 Internet & Catalog Retail 0.2 Marine 0.2 Multiline Retail 0.2 Water Utilities 0.2 Air Freight & Logistics 0.1 Office Electronics 0.1 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.
15 (semi-annual report 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 commissions 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, 2009 IS 0.28%. PERFORMANCE AS OF DECEMBER 31, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- DOW JONES DOW JONES U.S. U.S. MID-CAP MID-CAP GROWTH GROWTH TOTAL STOCK TOTAL STOCK NET ASSET MARKET MARKET NET ASSET MARKET MARKET VALUE VALUE INDEX VALUE VALUE INDEX ---------------------------------------------------------------------------------------------------------------------- SIX-MONTHS 31.33% 31.31% 31.43% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- ONE YEAR 55.37% 55.65% 55.55% 55.37% 55.65% 55.55% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS 0.84% 0.88% 0.97% 0.28% 0.29% 0.32% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) 17.17% 17.15% 17.65% 3.89% 3.89% 3.98% ----------------------------------------------------------------------------------------------------------------------
(1) For the period November 8, 2005 to December 31, 2009.
16 (semi-annual report LOGO) SPDR DOW JONES MID CAP GROWTH ETF -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE) (PERFORMANCE GRAPH)
DOW JONES SPDR DOW U.S. MID-CAP JONES MID GROWTH TOTAL CAP GROWTH STOCK MARKET ETF (A) INDEX (B) ---------- ------------ 11/8/2005 10000 10000 Nov-05 10327 10329 Dec-05 10439 10444 Jan-06 11007 11002 Feb-06 10942 10943 Mar-06 11426 11433 Apr-06 11469 11481 May-06 10834 10847 Jun-06 10810 10827 Jul-06 10326 10343 Aug-06 10549 10570 Sep-06 10706 10729 Oct-06 11049 11076 Nov-06 11572 11604 Dec-06 11620 11653 Jan-07 12062 12099 Feb-07 12088 12129 Mar-07 12203 12247 Apr-07 12697 12746 May-07 13340 13398 Jun-07 13211 13271 Jul-07 12786 12847 Aug-07 12813 12877 Sep-07 13336 13409 Oct-07 13829 13911 Nov-07 13015 13088 Dec-07 12901 12965 Jan-08 12126 12187 Feb-08 11947 12005 Mar-08 11625 11682 Apr-08 12395 12457 May-08 13059 13123 Jun-08 12306 12362 Jul-08 11974 12032 Aug-08 12098 12156 Sep-08 10333 10374 Oct-08 7988 8015 Nov-08 7144 7165 Dec-08 7540 7564 Jan-09 7249 7269 Feb-09 6696 6713 Mar-09 7320 7341 Apr-09 8556 8584 May-09 8947 8977 Jun-09 8922 8951 Jul-09 9777 9811 Aug-09 10136 10171 Sep-09 10906 10943 Oct-09 10391 10424 Nov-09 10875 10915 Dec-09 11717 11765
17 (semi-annual report LOGO) SPDR DOW JONES MID CAP GROWTH ETF -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
---------------------------------------------------------------------------------------------------------------------- ALPHA NATURAL CLIFFS NATURAL ADVANCED MICRO HUMAN GENOME DESCRIPTION RESOURCES, INC. SANDISK CORP. RESOURCES, INC. DEVICES, INC. SCIENCES, INC. ---------------------------------------------------------------------------------------------------------------------- MARKET VALUE $776,285 751,856 693,747 682,082 634,950 ---------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 1.0% 1.0 0.9 0.9 0.8 ----------------------------------------------------------------------------------------------------------------------
(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 DECEMBER 31, 2009*
----------------------------------------------- PERCENT OF INDUSTRY NET ASSETS ----------------------------------------------- Oil, Gas & Consumable Fuels 7.5% Semiconductors & Semiconductor Equipment 6.2 Specialty Retail 5.1 Software 5.0 Machinery 4.5 IT Services 4.2 Electronic Equipment, Instruments & Components 4.1 Health Care Equipment & Supplies 3.5 Biotechnology 3.3 Health Care Providers & Services 3.2 Metals & Mining 3.2 Chemicals 3.1 Hotels, Restaurants & Leisure 3.0 Energy Equipment & Services 2.9 Professional Services 2.9 Capital Markets 2.6 Computers & Peripherals 2.4 Commercial Services & Supplies 2.2 Life Sciences Tools & Services 2.0 Communications Equipment 1.8 Construction & Engineering 1.8 Food Products 1.8 Internet Software & Services 1.8 Road & Rail 1.8 Media 1.5 Auto Components 1.4 Electrical Equipment 1.3 Pharmaceuticals 1.3 Diversified Consumer Services 1.2 Household Durables 1.1 Wireless Telecommunication Services 1.0 Airlines 0.9 Containers & Packaging 0.8 Real Estate Investment Trusts 0.8 Health Care Technology 0.7 Aerospace & Defense 0.6 Household Products 0.6 Personal Products 0.6 Diversified Financial Services 0.5 Diversified Telecommunication Services 0.5 Food & Staples Retailing 0.5 Real Estate Management & Development 0.5 Beverages 0.4 Building Products 0.4 Distributors 0.4 Electric Utilities 0.4 Independent Power Producers & Energy Traders 0.4 Internet & Catalog Retail 0.4 Insurance 0.3 Marine 0.3 Trading Companies & Distributors 0.3 Air Freight & Logistics 0.2 Office Electronics 0.2 Thrifts & Mortgage Finance 0.2 Commercial Banks 0.1 Industrial Conglomerates 0.1 Short Term Investments 29.0 Other Assets & Liabilities (28.8) ----------------------------------------------- TOTAL 100.0% -----------------------------------------------
* The Fund's industry breakdown is expressed as a percentage of net assets and may change over time.
18 (semi-annual report 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 commissions 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, 2009 IS 0.34%. PERFORMANCE AS OF DECEMBER 31, 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 ---------------------------------------------------------------------------------------------------------------------- SIX-MONTHS 30.59% 30.60% 30.84% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- ONE YEAR 31.64% 31.82% 32.04% 31.64% 31.82% 32.04% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -15.27% -15.36% -15.01% -5.37% -5.41% -5.28% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) 2.08% 2.05% 2.65% 0.50% 0.49% 0.63% ----------------------------------------------------------------------------------------------------------------------
(1) For the period November 8, 2005 to December 31, 2009.
19 (semi-annual report LOGO) SPDR DOW JONES MID CAP VALUE ETF -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE) (PERFORMANCE GRAPH)
DOW JONES U.S. MID-CAP SPDR DOW VALUE TOTAL JONES MID STOCK MARKET CAP VALUE INDEX (B) ETF (A) --------- ------------ 11/8/2005 10000 10000 Nov-05 10368 10366 Dec-05 10439 10439 Jan-06 10947 10951 Feb-06 10976 10981 Mar-06 11241 11249 Apr-06 11295 11304 May-06 10963 10973 Jun-06 10976 10987 Jul-06 10779 10791 Aug-06 11022 11038 Sep-06 11114 11132 Oct-06 11613 11636 Nov-06 11999 12027 Dec-06 12048 12078 Jan-07 12452 12541 Feb-07 12554 12572 Mar-07 12660 12694 Apr-07 13065 13115 May-07 13540 13595 Jun-07 13136 13191 Jul-07 12332 12384 Aug-07 12258 12314 Sep-07 12473 12533 Oct-07 12597 12659 Nov-07 11989 12049 Dec-07 11865 11924 Jan-08 11445 11503 Feb-08 11091 11148 Mar-08 10911 10968 Apr-08 11509 11571 May-08 11893 11960 Jun-08 10748 10801 Jul-08 10892 10946 Aug-08 11178 11237 Sep-08 10259 10303 Oct-08 8228 8256 Nov-08 7414 7439 Dec-08 7755 7785 Jan-09 6919 6941 Feb-09 6044 6058 Mar-09 6531 6553 Apr-09 7615 7646 May-09 7838 7871 Jun-09 7817 7846 Jul-09 8589 8639 Aug-09 9220 9279 Sep-09 9651 9697 Oct-09 9282 9341 Nov-09 9705 9770 Dec-09 10208 10265
20 (semi-annual report LOGO) SPDR DOW JONES MID CAP VALUE ETF -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------- GENWORTH PIONEER NATURAL FINANCIAL, INC. DESCRIPTION PROLOGSIS WHIRLPOOL CORP. RESOURCES CO. (CLASS A) KIMCO REALTY CORP. ----------------------------------------------------------------------------------------------------------------------- MARKET VALUE $217,137 198,746 184,058 182,860 182,195 ----------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 1.2% 1.1 1.0 1.0 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 DECEMBER 31, 2009*
----------------------------------------------- PERCENT OF INDUSTRY NET ASSETS ----------------------------------------------- Insurance 13.8% Real Estate Investment Trusts 13.1 Commercial Banks 7.0 Household Durables 5.2 Multi-Utilities 5.0 Electric Utilities 4.6 Machinery 4.1 Gas Utilities 4.0 Containers & Packaging 3.2 Oil, Gas & Consumable Fuels 2.9 Chemicals 2.8 Specialty Retail 2.3 Health Care Providers & Services 2.1 Capital Markets 1.9 Food Products 1.7 Commercial Services & Supplies 1.6 Electronic Equipment, Instruments & Components 1.4 Electrical Equipment 1.4 Industrial Conglomerates 1.3 Media 1.3 Software 1.2 Metals & Mining 1.1 Real Estate Management & Development 1.1 Hotels, Restaurants & Leisure 1.0 Thrifts & Mortgage Finance 1.0 Beverages 0.9 Diversified Telecommunication Services 0.9 Biotechnology 0.8 Food & Staples Retailing 0.8 Aerospace & Defense 0.8 Paper & Forest Products 0.8 Wireless Telecommunication Services 0.7 Computers & Peripherals 0.7 Health Care Equipment & Supplies 0.7 Road & Rail 0.6 Independent Power Producers & Energy Traders 0.6 Pharmaceuticals 0.6 Construction & Engineering 0.5 Personal Products 0.5 Energy Equipment & Services 0.5 Auto Components 0.5 Water Utilities 0.4 Building Products 0.4 Diversified Consumer Services 0.4 Multiline Retail 0.4 Life Sciences Tools & Services 0.3 Semiconductors & Semiconductor Equipment 0.3 IT Services 0.3 Trading Companies & Distributors 0.2 Short Term Investments 29.0 Other Assets & Liabilities (28.7) ----------------------------------------------- TOTAL 100.0% -----------------------------------------------
* The Fund's industry breakdown is expressed as a percentage of net assets and may change over time.
21 (semi-annual report 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 commissions 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 SMALL CAP ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2009 IS 0.32%. PERFORMANCE AS OF DECEMBER 31, 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 ---------------------------------------------------------------------------------------------------------------------- SIX-MONTHS 27.96% 27.88% 28.21% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- ONE YEAR 41.21% 41.62% 41.93% 41.21% 41.62% 41.93% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -10.21% -10.41% -9.98% -3.53% -3.60% -3.44% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) 8.44% 8.31% 9.16% 1.97% 1.94% 2.13% ----------------------------------------------------------------------------------------------------------------------
(1) For the period November 8, 2005 to December 31, 2009.
22 (semi-annual report LOGO) SPDR DOW JONES SMALL CAP ETF -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE) (PERFORMANCE GRAPH)
DOW SPDR DOW JONES U.S. JONES SMALL SMALL-CAP TOTAL CAP ETF STOCK MARKET (A) INDEX (B) ----------- --------------- 11/8/2005 10000 10000 Nov-05 10353 10356 Dec-05 10359 10366 Jan-06 11169 11183 Feb-06 11145 11160 Mar-06 11656 11676 Apr-06 11688 11710 May-06 11114 11136 Jun-06 11151 11177 Jul-06 10798 10827 Aug-06 11053 11086 Sep-06 11124 11159 Oct-06 11706 11748 Nov-06 12080 12127 Dec-06 12079 12127 Jan-07 12383 12438 Feb-07 12383 12440 Mar-07 12530 12590 Apr-07 12859 12926 May-07 13433 13507 Jun-07 13238 13310 Jul-07 12492 12561 Aug-07 12655 12727 Sep-07 12920 12996 Oct-07 13237 13317 Nov-07 12362 12437 Dec-07 12285 12359 Jan-08 11540 11610 Feb-08 11227 11293 Mar-08 11102 11166 Apr-08 11648 11712 May-08 12167 12232 Jun-08 11152 11202 Jul-08 11279 11330 Aug-08 11649 11704 Sep-08 10501 10537 Oct-08 8264 8284 Nov-08 7294 7305 Dec-08 7682 7692 Jan-09 6974 6979 Feb-09 6164 6165 Mar-09 6726 6736 Apr-09 8043 8073 May-09 8403 8437 Jun-09 8475 8514 Jul-09 9334 9384 Aug-09 9787 9845 Sep-09 10391 10458 Oct-09 9698 9757 Nov-09 10047 10107 Dec-09 10844 10916
23 (semi-annual report LOGO) SPDR DOW JONES SMALL CAP ETF -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
------------------------------------------------------------------------------------------------------------------------ HUMAN GENOME BUCYRUS INTERNATIONAL, SL GREEN MASSEY NALCO DESCRIPTION SCIENCES, INC. INC. (CLASS A) REALTY CORP. ENERGY CO. HOLDING CO. ------------------------------------------------------------------------------------------------------------------------ MARKET VALUE $181,244 135,175 124,394 118,090 115,407 ------------------------------------------------------------------------------------------------------------------------ % OF NET ASSETS 0.4% 0.3 0.3 0.3 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 DECEMBER 31, 2009*
----------------------------------------------- PERCENT OF INDUSTRY NET ASSETS ----------------------------------------------- Real Estate Investment Trusts 8.0% Commercial Banks 5.5 Machinery 4.2 Semiconductors & Semiconductor Equipment 4.0 Health Care Providers & Services 3.8 Oil, Gas & Consumable Fuels 3.8 Software 3.8 Specialty Retail 3.8 Insurance 3.6 Biotechnology 3.0 Communications Equipment 2.6 Chemicals 2.5 Health Care Equipment & Supplies 2.5 Energy Equipment & Services 2.4 Hotels, Restaurants & Leisure 2.4 Electronic Equipment, Instruments & Components 2.2 Commercial Services & Supplies 1.9 Capital Markets 1.8 Electrical Equipment 1.8 Media 1.8 Textiles, Apparel & Luxury Goods 1.8 IT Services 1.7 Metals & Mining 1.7 Household Durables 1.6 Aerospace & Defense 1.5 Food Products 1.5 Thrifts & Mortgage Finance 1.4 Internet Software & Services 1.3 Electric Utilities 1.2 Auto Components 1.1 Diversified Consumer Services 1.1 Pharmaceuticals 1.1 Airlines 1.0 Computers & Peripherals 1.0 Professional Services 1.0 Road & Rail 1.0 Containers & Packaging 0.8 Diversified Telecommunication Services 0.8 Food & Staples Retailing 0.8 Gas Utilities 0.8 Personal Products 0.8 Building Products 0.7 Construction & Engineering 0.7 Life Sciences Tools & Services 0.7 Trading Companies & Distributors 0.7 Consumer Finance 0.5 Leisure Equipment & Products 0.5 Paper & Forest Products 0.5 Diversified Financial Services 0.4 Health Care Technology 0.4 Internet & Catalog Retail 0.4 Marine 0.4 Multiline Retail 0.4 Real Estate Management & Development 0.4 Air Freight & Logistics 0.3 Distributors 0.3 Industrial Conglomerates 0.3 Multi-Utilities 0.3 Wireless Telecommunication Services 0.3 Beverages 0.2 Construction Materials 0.2 Tobacco 0.2 Water Utilities 0.2 Automobiles 0.1 Household Products 0.1 Independent Power Producers & Energy Traders 0.1 Office Electronics 0.1 Short Term Investments 29.3 Other Assets & Liabilities (29.1) ----------------------------------------------- TOTAL 100.0 % -----------------------------------------------
* The Fund's industry breakdown is expressed as a percentage of net assets and may change over time.
24 (semi-annual report 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 commissions 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 SMALL CAP GROWTH ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2009 IS 0.26%. PERFORMANCE AS OF DECEMBER 31, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- DOW JONES DOW JONES U.S. U.S. SMALL-CAP SMALL-CAP GROWTH GROWTH TOTAL STOCK TOTAL STOCK NET ASSET MARKET MARKET NET ASSET MARKET MARKET VALUE VALUE INDEX VALUE VALUE INDEX ---------------------------------------------------------------------------------------------------------------------- SIX-MONTHS 25.19% 25.07% 25.35% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- ONE YEAR 46.84% 46.84% 47.38% 46.84% 46.84% 47.38% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -6.52% -7.29% -6.45% -2.22% -2.49% -2.20% ---------------------------------------------------------------------------------------------------------------------- FIVE YEARS (1) 15.23% 16.09% 16.74% 2.88% 3.03% 3.14% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1)(2) -12.34% -12.42% 7.76% -1.41% -1.42% 0.81% ----------------------------------------------------------------------------------------------------------------------
(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 December 31, 2009.
25 (semi-annual report LOGO) SPDR DOW JONES SMALL CAP GROWTH ETF -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE) (PERFORMANCE GRAPH)
DOW JONES SPDR DOW U.S. SMALL-CAP JONES SMALL GROWTH TOTAL CAP GROWTH STOCK MARKET ETF (A)(1) INDEX (B) ----------- -------------- 9/25/2000 10000 10000 Sep-00 9988 9993 Oct-00 9321 9132 Nov-00 7568 7350 Dec-00 8019 7812 Jan-01 8629 8417 Feb-01 7391 7157 Mar-01 6585 6388 Apr-01 7499 7326 May-01 7691 7564 Jun-01 7893 7733 Jul-01 7235 7148 Aug-01 6709 6667 Sep-01 5499 5480 Oct-01 6114 6108 Nov-01 6809 6724 Dec-01 7307 7185 Jan-02 6997 6944 Feb-02 6308 6480 Mar-02 6824 7016 Apr-02 6427 6807 May-02 5971 6437 Jun-02 5396 5910 Jul-02 4599 5111 Aug-02 4536 5157 Sep-02 4090 4749 Oct-02 4368 5016 Nov-02 4884 5531 Dec-02 4462 5134 Jan-03 4397 4995 Feb-03 4284 4852 Mar-03 4338 4932 Apr-03 4744 5449 May-03 5253 6087 Jun-03 5341 6266 Jul-03 5665 6652 Aug-03 5973 7035 Sep-03 5865 6866 Oct-03 6392 7487 Nov-03 6595 7704 Dec-03 6606 7754 Jan-04 6845 8098 Feb-04 6917 8166 Mar-04 6944 8250 Apr-04 6703 7966 May-04 6810 8116 Jun-04 7007 8377 Jul-04 6583 7802 Aug-04 6506 7673 Sep-04 6735 8081 Oct-04 6884 8295 Nov-04 7308 8911 Dec-04 7607 9230 Jan-05 7401 8925 Feb-05 7576 9123 Mar-05 7393 8899 Apr-05 7086 8450 May-05 7478 9027 Jun-05 7646 9318 Jul-05 8106 9861 Aug-05 8013 9755 Sep-05 8054 9878 Oct-05 7802 9545 Nov-05 8229 10070 Dec-05 8271 10124 Jan-06 8952 10962 Feb-06 8927 10931 Mar-06 9415 11535 Apr-06 9431 11560 May-06 8824 10819 Jun-06 8793 10780 Jul-06 8390 10289 Aug-06 8584 10532 Sep-06 8643 10609 Oct-06 9140 11224 Nov-06 9421 11573 Dec-06 9376 11519 Jan-07 9651 11860 Feb-07 9664 11877 Mar-07 9808 12058 Apr-07 10105 12428 May-07 10598 13038 Jun-07 10518 12942 Jul-07 10037 12353 Aug-07 10169 12519 Sep-07 10479 12903 Oct-07 10861 13372 Nov-07 10102 12440 Dec-07 10115 12447 Jan-08 9263 11398 Feb-08 9048 11129 Mar-08 8903 10951 Apr-08 9413 11576 May-08 9941 12221 Jun-08 9361 11503 Jul-08 9324 11455 Aug-08 9572 11760 Sep-08 8338 10238 Oct-08 6436 7899 Nov-08 5632 6903 Dec-08 5969 7308 Jan-09 5550 6792 Feb-09 4988 6097 Mar-09 5444 6660 Apr-09 6506 7979 May-09 6832 8382 Jun-09 7002 8597 Jul-09 7620 9351 Aug-09 7818 9597 Sep-09 8403 10326 Oct-09 7791 9561 Nov-09 8030 9862 Dec-09 8766 10776
(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. 26 (semi-annual report LOGO) SPDR DOW JONES SMALL CAP GROWTH ETF -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
------------------------------------------------------------------------------------------------------------- BUCYRUS HUMAN GENOME INTERNATIONAL, INC. DESCRIPTION SCIENCES, INC. (CLASS A) MASSEY ENERGY CO. NALCO HOLDING CO. ------------------------------------------------------------------------------------------------------------- MARKET VALUE $978,772 774,084 632,040 618,311 ------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 0.8% 0.6 0.5 0.5 ------------------------------------------------------------------------------------------------------------- ---------------------------------------------- DESCRIPTION JABIL CIRCUIT, INC. ---------------------------------------------- MARKET VALUE 616,600 ---------------------------------------------- % 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 DECEMBER 31, 2009*
----------------------------------------------- PERCENT OF INDUSTRY NET ASSETS ----------------------------------------------- Semiconductors & semiconductor Equipment 7.0% Software 6.1 Oil, Gas & Consumable Fuels 5.6 Biotechnology 5.1 Health Care Providers & Services 4.7 Communications Equipments 4.2 Energy Equipment & Services 4.2 Machinery 4.0 Health Care Equipment & Supplies 3.9 Specialty Retail 3.7 Electronic Equipment, Instruments & Components 2.7 Hotels, Restaurants & Leisure 2.7 Internet Software & Services 2.3 Aerospace & Defense 2.2 Metals & Mining 2.1 Electrical Equipment 2.0 IT Services 2.0 Professional Services 1.9 Airlines 1.7 Commercial Services & Supplies 1.7 Chemicals 1.5 Diversified Consumer Services 1.5 Media 1.7 Pharmaceuticals 1.7 Capital Markets 1.4 Real Estate Investment Trusts 1.4 Textiles, Apparel & Luxury Goods 1.4 Household Durables 1.3 Personal Products 1.2 Commercial Banks 1.1 Road & Rail 1.1 Auto Components 1.0 Computers & Peripherals 1.0 Diversified Telecommunication Services 1.0 Food Products 1.0 Life Sciences Tools & Services 0.9 Health Care Technology 0.7 Internet & Catalog Retail 0.7 Thrifts & Mortgage Finance 0.7 Trading Companies & Distributors 0.6 Air Freight & Logistics 0.5 Building Products 0.5 Construction & Engineering 0.5 Consumer Finance 0.5 Containers & Packaging 0.4 Distributors 0.4 Diversified Financial Services 0.4 Food & Staples Retailing 0.4 Paper & Forest Products 0.4 Real Estate Management & Development 0.4 Wireless Telecommunication Services 0.4 Beverages 0.3 Insurance 0.3 Marine 0.3 Office Electronics 0.3 Automobiles 0.2 Construction Materials 0.2 Industrials Conglomerates 0.2 Leisure Equipment & Products 0.2 Independent Power Producers & Energy Traders 0.1 Multiline Retail 0.1 Short Term Investments 29.3 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.
27 (semi-annual report 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 commissions 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 SMALL CAP VALUE ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2009 IS 0.27%. PERFORMANCE AS OF DECEMBER 31, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- DOW JONES DOW JONES U.S. U.S. SMALL-CAP SMALL-CAP VALUE VALUE TOTAL STOCK TOTAL STOCK NET ASSET MARKET MARKET NET ASSET MARKET MARKET VALUE VALUE INDEX VALUE VALUE INDEX ---------------------------------------------------------------------------------------------------------------------- SIX-MONTHS 31.13% 31.08% 31.25% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- ONE YEAR 36.57% 36.97% 36.83% 36.57% 36.97% 36.83% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -13.11% -13.46% -13.32% -4.58% -4.71% -4.65% ---------------------------------------------------------------------------------------------------------------------- FIVE YEARS (1) 10.08% 10.28% 9.57% 1.94% 1.98% 1.84% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1)(2) 134.70% 134.65% 112.20% 9.64% 9.64% 8.45% ----------------------------------------------------------------------------------------------------------------------
(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 December 31, 2009.
28 (semi-annual report LOGO) SPDR DOW JONES SMALL CAP VALUE ETF -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE) (PERFORMANCE GRAPH)
DOW JONES SPDR DOW U.S. SMALL-CAP JONES SMALL VALUE TOTAL CAP VALUE STOCK MARKET ETF (A)(1) INDEX (B) ----------- -------------- 9/25/2000 10000 10000 Sep-00 10195 10154 Oct-00 10249 10065 Nov-00 10234 9699 Dec-00 11575 10714 Jan-00 11599 10990 Feb-00 11740 10890 Mar-00 11449 10569 Apr-01 11964 11122 May-01 12426 11480 Jun-01 12669 11766 Jul-01 12790 11637 Aug-01 12735 11548 Sep-01 11504 10324 Oct-01 11667 10664 Nov-01 12418 11431 Dec-01 13002 12077 Jan-02 13228 12127 Feb-02 13527 12178 Mar-02 14476 13097 Apr-02 14872 13374 May-02 14597 12965 Jun-02 14130 12517 Jul-02 12871 11090 Aug-02 13076 11175 Sep-02 12165 10464 Oct-02 12237 10576 Nov-02 12781 11356 Dec-02 12648 11026 Jan-03 12261 10733 Feb-03 11896 10455 Mar-03 11928 10520 Apr-03 13169 11569 May-03 14421 12624 Jun-03 14634 12839 Jul-03 15172 13455 Aug-03 15640 13971 Sep-03 15391 13866 Oct-03 16569 14944 Nov-03 17289 15560 Dec-03 18075 16192 Jan-04 18646 16728 Feb-04 19189 17001 Mar-04 19358 17191 Apr-04 18068 16234 May-04 18406 16538 Jun-04 19159 17336 Jul-04 18145 16521 Aug-04 18343 16634 Sep-04 18982 17152 Oct-04 19319 17448 Nov-04 20776 18831 Dec-04 21320 19367 Jan-05 20253 18577 Feb-05 20618 18951 Mar-05 20255 18549 Apr-05 19203 17690 May-05 20364 18644 Jun-05 21077 19353 Jul-05 22447 20565 Aug-05 22263 20185 Sep-05 22305 20222 Oct-05 21674 19576 Nov-05 22645 20459 Dec-05 22575 20394 Jan-06 24257 21921 Feb-06 24220 21892 Mar-06 25128 22721 Apr-06 25213 22804 May-06 24345 22021 Jun-06 24588 22247 Jul-06 24136 21845 Aug-06 24715 22374 Sep-06 24860 22508 Oct-06 26039 23585 Nov-06 26898 24371 Dec-06 27012 24480 Jan-07 27591 25015 Feb-07 27557 24989 Mar-07 27800 25206 Apr-07 28421 25778 May-07 29575 26832 Jun-07 28924 26242 Jul-07 26970 24468 Aug-07 27312 24784 Sep-07 27617 25064 Oct-07 27954 25377 Nov-07 26212 23793 Dec-07 25872 23469 Jan-08 24988 22666 Feb-08 24208 21957 Mar-08 24062 21827 Apr-08 25044 22713 May-08 25864 23458 Jun-08 23005 20847 Jul-08 23672 21452 Aug-08 24616 22308 Sep-08 22997 20802 Oct-08 18433 16650 Nov-08 16416 14804 Dec-08 17184 15505 Jan-09 15251 13750 Feb-09 13269 11956 Mar-09 14485 13068 Apr-09 17352 15668 May-09 18037 16285 Jun-09 17899 16167 Jul-09 19982 18055 Aug-09 21440 19380 Sep-09 22493 20331 Oct-09 21146 19106 Nov-09 22001 19881 Dec-09 23470 21220
(1) Prior to November 1, 2005, the Fund's investment strategy sought to track the total 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. 29 (semi-annual report LOGO) SPDR DOW JONES SMALL CAP VALUE ETF -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
---------------------------------------------------------------------------------------------------------------------------- SL GREEN E*TRADE DESCRIPTION REALTY CORP. GANNETT CO., INC. THE MACERICH CO. FINANCIAL CORP. OSHKOSH CORP. ---------------------------------------------------------------------------------------------------------------------------- MARKET VALUE $631,868 559,726 553,127 535,619 528,974 ---------------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 0.6% 0.6 0.6 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 company.) INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2009*
----------------------------------------------- PERCENT OF INDUSTRY NET ASSETS ----------------------------------------------- Real Estate Investment Trusts 15.6% Commercial Banks 10.4 Insurance 7.3 Machinery 4.5 Specialty Retail 3.9 Chemicals 3.7 Health Care Providers & Services 2.8 Electric Utilities 2.6 Capital Markets 2.2 Textiles, Apparel & Luxury Goods 2.2 Thrifts & Mortgage Finance 2.1 Commercial Services & Supplies 2.0 Food Products 2.0 Hotels, Restaurants & Leisure 2.0 Household Durables 1.8 Media 1.8 Oil, Gas & Consumable Fuels 1.8 Electrical Equipment 1.6 Electronic Equipment, Instruments & Components 1.6 Gas Utilities 1.6 Containers & Packaging 1.4 Auto Components 1.3 IT Services 1.3 Food & Staples Retailing 1.2 Metals & Mining 1.2 Software 1.2 Health Care Equipment & Supplies 1.1 Building Products 0.9 Computers & Peripherals 0.9 Construction & Engineering 0.9 Aerospace & Defense 0.8 Biotechnology 0.8 Communications Equipment 0.8 Diversified Consumer Services 0.8 Leisure Equipment & Products 0.8 Multiline Retail 0.8 Road & Rail 0.8 Trading Companies & Distributors 0.8 Paper & Forest Products 0.7 Semiconductors & Semiconductor Equipment 0.7 Industrial Conglomerates 0.6 Multi-Utilities 0.6 Consumer Finance 0.5 Diversified Telecommunication Services 0.5 Energy Equipment & Services 0.4 Life Sciences Tools & Services 0.4 Marine 0.4 Pharmaceuticals 0.4 Real Estate Management & Development 0.4 Tobacco 0.4 Diversified Financial Services 0.3 Personal Products 0.3 Water Utilities 0.3 Airlines 0.2 Construction Materials 0.2 Household Products 0.2 Internet Software & Services 0.2 Professional Services 0.2 Air Freight & Logistics 0.1 Automobiles 0.1 Beverages 0.1 Distributors 0.1 Wireless Telecommunication Services 0.1 Heath Care Technology 0.0** Internet & Catalog Retail 0.0** Short Term Investments 21.6 Other Assets & Liabilities (21.3) ----------------------------------------------- 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.
30 (semi-annual report 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 commissions 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 DJ GLOBAL TITANS ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2009 IS 0.51%. PERFORMANCE AS OF DECEMBER 31, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- DOW JONES DOW JONES GLOBAL GLOBAL NET ASSET MARKET TITANS NET ASSET MARKET TITANS VALUE VALUE 50 INDEX VALUE VALUE 50 INDEX ---------------------------------------------------------------------------------------------------------------------- SIX-MONTHS 22.01% 21.78% 22.06% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- ONE YEAR 23.40% 23.64% 23.15% 23.40% 23.64% 23.15% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -18.58% -18.74% -18.63% -6.62% -6.68% -6.64% ---------------------------------------------------------------------------------------------------------------------- FIVE YEARS 0.40% 0.33% 1.32% 0.08% 0.07% 0.26% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) -17.82% -17.89% -16.30% -2.09% -2.10% -1.89% ----------------------------------------------------------------------------------------------------------------------
(1) For the period September 25, 2000 to December 31, 2009.
31 (semi-annual report LOGO) SPDR DJ GLOBAL TITANS ETF -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE) (PERFORMANCE GRAPH)
DOW JONES GLOBAL SPDR DJ TITANS 50 GLOBAL TITANS INDEX (B) ETF (A) ------------- ------------ 9/25/2000 10000 10000 Sep-00 9982 9998 Oct-00 10111 10137 Nov-00 9346 9376 Dec-00 9147 9180 Jan-01 9502 9539 Feb-01 8601 8636 Mar-01 8107 8142 Apr-01 8815 8858 May-01 8702 8749 Jun-01 8446 8453 Jul-01 8301 8347 Aug-01 7799 7845 Sep-01 7378 7422 Oct-01 7551 7600 Nov-01 7940 7995 Dec-01 7967 8026 Jan-02 7674 7735 Feb-02 7515 7579 Mar-02 7788 7857 Apr-02 7211 7276 May-02 7202 7268 Jun-02 6765 6833 Jul-02 6265 6330 Aug-02 6264 6332 Sep-02 5547 5611 Oct-02 6168 6245 Nov-02 6511 6595 Dec-02 6106 6186 Jan-03 5904 5984 Feb-03 5765 5844 Mar-03 5822 5906 Apr-03 6320 6412 May-03 6588 6688 Jun-03 6683 6789 Jul-03 6726 6837 Aug-03 6726 6840 Sep-03 6812 6932 Oct-03 7049 7176 Nov-03 7154 7288 Dec-03 7629 7777 Jan-04 7730 7883 Feb-04 7804 7964 Mar-04 7604 7763 Apr-04 7570 7729 May-04 7624 7788 Jun-04 7717 7889 Jul-04 7541 7712 Aug-04 7590 7764 Sep-04 7590 7767 Oct-04 7683 7860 Nov-04 7929 8129 Dec-04 8186 8392 Jan-05 8010 8215 Feb-05 8288 8516 Mar-05 8083 8303 Apr-05 8038 8255 May-05 8136 8363 Jun-05 8082 8316 Jul-05 8255 8498 Aug-05 8285 8533 Sep-05 8405 8658 Oct-05 8237 8490 Nov-05 8389 8649 Dec-05 8423 8691 Jan-06 8653 8930 Feb-06 8613 8890 Mar-06 8748 9038 Apr-06 8997 9299 May-06 8759 9052 Jun-06 8800 9096 Jul-06 9071 9380 Aug-06 9351 9677 Sep-06 9441 9774 Oct-06 9710 10057 Nov-06 9887 10244 Dec-06 10094 10464 Jan-07 10143 10521 Feb-07 9834 10200 Mar-07 9942 10322 Apr-07 10392 10790 May-07 10649 11063 Jun-07 10623 11044 Jul-07 10386 10795 Aug-07 10530 10947 Sep-07 10971 11416 Oct-07 11183 11638 Nov-07 10799 11238 Dec-07 10694 11125 Jan-08 10000 10403 Feb-08 9687 10072 Mar-08 9705 10090 Apr-08 10097 10508 May-08 9976 10373 Jun-08 9213 9579 Jul-08 9101 9458 Aug-08 8991 9342 Sep-08 8304 8625 Oct-08 7000 7270 Nov-08 6585 6840 Dec-08 6660 6914 Jan-09 5928 6148 Feb-09 5369 5560 Mar-09 5810 6021 Apr-09 6191 6413 May-09 6721 6961 Jun-09 6736 6857 Jul-09 7281 7537 Aug-09 7507 7775 Sep-09 7767 7909 Oct-09 7764 8042 Nov-09 8191 8484 Dec-09 8218 8370
32 (semi-annual report LOGO) SPDR DJ GLOBAL TITANS ETF -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------- EXXON HSBC DESCRIPTION MOBIL CORP. MICROSOFT CORP. HOLDINGS PLC ADR APPLE, INC BP PLC ADR ----------------------------------------------------------------------------------------------------------------- MARKET VALUE $5,314,183 3,961,261 3,268,402 3,066,959 2,982,093 ----------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 5.2% 3.9 3.2 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 company.) INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2009*
----------------------------------------------- PERCENT OF INDUSTRY NET ASSETS ----------------------------------------------- Oil, Gas & Consumable Fuels 17.6% Pharmaceuticals 15.5 Commercial Banks 7.7 Computers & Peripherals 7.7 Diversified Telecommunication Services 6.8 Software 5.4 Diversified Financial Services 4.7 Industrial Conglomerates 3.8 Beverages 3.5 Semiconductors & Semiconductor Equipment 3.2 Communications Equipment 3.0 Food Products 2.8 Household Products 2.8 Internet Software & Services 2.4 Metals & Mining 2.1 Automobiles 2.0 Food & Staples Retailing 1.9 Wireless Telecommunication Services 1.9 Tobacco 1.5 Electric Utilities 1.3 Energy Equipment & Services 1.2 Insurance 0.9 Short Term Investments 2.6 Other Assets & Liabilities (2.3) ----------------------------------------------- TOTAL 100.0% -----------------------------------------------
* The Fund's industry breakdown is expressed as a percentage of net assets and may change over time.
33 (semi-annual report 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 commissions 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, 2009 IS 0.25%. PERFORMANCE AS OF DECEMBER 31, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- DOW JONES DOW JONES U.S. U.S. NET ASSET MARKET SELECT REIT NET ASSET MARKET SELECT REIT VALUE VALUE INDEX VALUE VALUE INDEX ---------------------------------------------------------------------------------------------------------------------- SIX-MONTHS 47.66% 47.67% 47.88% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- ONE YEAR 28.52% 28.33% 28.46% 28.52% 28.33% 28.46% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -35.41% -35.45% -35.61% -13.56% -13.58% -13.65% ---------------------------------------------------------------------------------------------------------------------- FIVE YEARS (1) -0.54% -0.46% -0.34% -0.11% -0.09% -0.07% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1)(2) 109.78% 109.77% 113.21% 8.90% 8.90% 9.04% ----------------------------------------------------------------------------------------------------------------------
(1) For the period April 23, 2001 to December 31, 2009.
34 (semi-annual report LOGO) SPDR DOW JONES REIT ETF -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE) (PERFORMANCE GRAPH)
DOW JONES SPDR DOW U.S. SELECT JONES REIT REIT INDEX ETF (A) (B) ---------- ----------- 4/23/2001 10000 10000 Apr-01 10259 10252 May-01 10505 10502 Jun-01 11122 11124 Jul-01 10898 10900 Aug-01 11325 11334 Sep-01 10849 10857 Oct-01 10461 10470 Nov-01 11087 11103 Dec-01 11364 11389 Jan-02 11316 11345 Feb-02 11560 11593 Mar-02 12301 12342 Apr-02 12361 12411 May-02 12515 12578 Jun-02 12848 12910 Jul-02 12156 12211 Aug-02 12163 12222 Sep-02 11684 11737 Oct-02 11057 11108 Nov-02 11582 11639 Dec-02 11733 11797 Jan-03 11392 11454 Feb-03 11596 11662 Mar-03 11872 11946 Apr-03 12324 12406 May-03 13017 13108 Jun-03 13286 13391 Jul-03 13985 14103 Aug-03 14097 14220 Sep-03 14579 14721 Oct-03 14788 14939 Nov-03 15436 15598 Dec-03 15894 16066 Jan-04 16525 16708 Feb-04 16796 16986 Mar-04 17797 18006 Apr-04 15202 15370 May-04 16362 16543 Jun-04 16833 17029 Jul-04 16913 17116 Aug-04 18301 18528 Sep-04 18211 18439 Oct-04 19213 19463 Nov-04 20062 20335 Dec-04 21091 21390 Jan-05 19241 19512 Feb-05 19841 20125 Mar-05 19566 19849 Apr-05 20712 21020 May-05 21387 21712 Jun-05 22495 22847 Jul-05 24200 24590 Aug-05 23266 23646 Sep-05 23378 23748 Oct-05 22889 23244 Nov-05 23942 24323 Dec-05 23966 24347 Jan-06 25831 26256 Feb-06 26378 26818 Mar-06 27721 28191 Apr-06 26670 27125 May-06 25921 26374 Jun-06 27385 27875 Jul-06 28358 28864 Aug-06 29297 29834 Sep-06 29862 30416 Oct-06 31734 32332 Nov-06 33242 33874 Dec-06 32479 33109 Jan-07 35348 36059 Feb-07 34554 35251 Mar-07 33670 34349 Apr-07 33649 34335 May-07 33665 34359 Jun-07 30515 31133 Jul-07 28112 28689 Aug-07 29756 30384 Sep-07 30891 31572 Oct-07 31249 31935 Nov-07 28212 28831 Dec-07 26734 27297 Jan-08 26595 27166 Feb-08 25590 26142 Mar-08 27274 27881 Apr-08 28940 29598 May-08 29001 29663 Jun-08 25813 26377 Jul-08 26558 27139 Aug-08 27155 27755 Sep-08 27069 27638 Oct-08 18343 18689 Nov-08 13871 14101 Dec-08 16324 16597 Jan-09 13398 13596 Feb-09 10489 10625 Mar-09 10832 10967 Apr-09 14355 14566 May-09 14724 14940 Jun-09 14207 14418 Jul-09 15684 15921 Aug-09 17973 18252 Sep-09 19234 19528 Oct-09 18358 18643 Nov-09 19614 19926 Dec-09 20978 21321
35 (semi-annual report LOGO) SPDR DOW JONES REIT ETF -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
-------------------------------------------------------------------------------------------------------------------- SIMON PROPERTY VORNADO BOSTON EQUITY DESCRIPTION GROUP, INC. REALTY TRUST PUBLIC STORAGE PROPERTIES, INC. RESIDENTIAL -------------------------------------------------------------------------------------------------------------------- MARKET VALUE $110,203,002 61,029,085 50,718,101 45,023,890 44,807,481 -------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 10.5% 5.8 4.9 4.3 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 DECEMBER 31, 2009*
----------------------------------------------- PERCENT OF INDUSTRY NET ASSETS ----------------------------------------------- Specialized REITs 26.3% Retail REITs 23.8 Office REITs 18.1 Residentail REITs 16.1 Diversified REITs 9.0 Industrial REITs 6.3 Short Term Investments 22.7 Other Assets & Liabilities (22.3) ----------------------------------------------- TOTAL 100.0% -----------------------------------------------
* The Fund's industry breakdown is expressed as a percentage of net assets and may change over time.
36 (semi-annual report 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 commissions 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, 2009 IS 0.35%. PERFORMANCE AS OF DECEMBER 31, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- NET ASSET MARKET KBW BANK NET ASSET MARKET KBW BANK VALUE VALUE INDEX VALUE VALUE INDEX ---------------------------------------------------------------------------------------------------------------------- SIX-MONTHS 17.76% 17.74% 17.77% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- ONE YEAR -1.44% -1.54% -1.77% -1.44% -1.54% -1.77% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -59.46% -59.45% -59.71% -25.99% -25.98% -26.14% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) -50.97% -50.98% -51.03% -15.79% -15.79% -15.75% ----------------------------------------------------------------------------------------------------------------------
(1) For the period November 8, 2005 to December 31, 2009.
37 (semi-annual report LOGO) SPDR KBW BANK ETF -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE) (PERFORMANCE GRAPH)
SPDR KBW KBW BANK ETF BANK INDEX (A) (B) -------- ---------- 11/8/2005 10000 10000 Nov-05 10349 10351 Dec-05 10379 10388 Jan-06 10359 10372 Feb-06 10681 10697 Mar-06 10696 10719 Apr-06 11396 11425 May-06 11006 11035 Jun-06 10890 10921 Jul-06 11279 11316 Aug-06 11254 11295 Sep-06 11567 11615 Oct-06 11656 11707 Nov-06 11576 11631 Dec-06 12092 12156 Jan-07 12163 12232 Feb-07 11952 12022 Mar-07 11795 11874 Apr-07 12055 12134 May-07 12197 12283 Jun-07 11792 11870 Jul-07 11008 11085 Aug-07 11156 11220 Sep-07 11183 11251 Oct-07 10935 11001 Nov-07 10319 10382 Dec-07 9455 9504 Jan-08 10105 10160 Feb-08 8824 8870 Mar-08 8523 8569 Apr-08 8960 9011 May-08 8247 8294 Jun-08 6360 6383 Jul-08 7264 7295 Aug-08 7279 7308 Sep-08 7495 7522 Oct-08 6506 6525 Nov-08 5348 5358 Dec-08 4974 4984 Jan-09 3240 3241 Feb-09 2739 2738 Mar-09 3192 3196 Apr-09 3729 3731 May-09 4265 4264 Jun-09 4163 4160 Jul-09 4628 4616 Aug-09 5411 5399 Sep-09 5407 5398 Oct-09 4841 4832 Nov-09 5103 5095 Dec-09 4903 4897
38 (semi-annual report LOGO) SPDR KBW BANK ETF -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------- BANK OF JPMORGAN DESCRIPTION AMERICA CORP. CITIGROUP, INC. WELLS FARGO & CO. CHASE & CO. U.S. BANCORP ----------------------------------------------------------------------------------------------------------------------- MARKET VALUE $73,231,690 64,094,880 64,025,489 58,377,961 54,070,888 ----------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 9.1% 7.9 7.9 7.2 6.7 -----------------------------------------------------------------------------------------------------------------------
(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 DECEMBER 31, 2009*
----------------------------------------------- PERCENT OF INDUSTRY NET ASSETS ----------------------------------------------- Regional Banks 40.9% Other Diversified Financial Services 24.2 Diversified Banks 18.2 Asset Management & Custody Banks 9.6 Consumer Finance 3.9 Thrifts & Mortgage Finance 3.1 Short Term Investments 13.6 Other Asset & Liabilities (13.5) ----------------------------------------------- TOTAL 100.0% -----------------------------------------------
* The Fund's industry breakdown is expressed as a percentage of net assets and may change over time.
39 (semi-annual report 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 commissions 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, 2009 IS 0.36%. PERFORMANCE AS OF DECEMBER 31, 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 ---------------------------------------------------------------------------------------------------------------------- SIX-MONTHS 10.38% 10.32% 10.69% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- ONE YEAR 40.94% 41.13% 41.60% 40.94% 41.13% 41.60% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -43.48% -43.56% -43.10% -17.32% -17.36% -17.13% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) -25.27% -25.27% -24.41% -6.78% -6.78% -6.50% ----------------------------------------------------------------------------------------------------------------------
(1) For the period November 8, 2005 to December 31, 2009.
40 (semi-annual report LOGO) SPDR KBW CAPITAL MARKETS ETF -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE) (PERFORMANCE GRAPH)
KBW SPDR KBW CAPITAL MARKETS CAPITAL MARKETS INDEX (B) ETF (A) --------------- --------------- 11/8/2005 10000 10000 Nov-05 10275 10277 Dec-05 10293 10298 Jan-06 11191 11204 Feb-06 11492 11510 Mar-06 11761 11784 Apr-06 11862 11888 May-06 11148 11174 Jun-06 11056 11082 Jul-06 11213 11244 Aug-06 11343 11378 Sep-06 12244 12286 Oct-06 12773 12823 Nov-06 12983 13038 Dec-06 13224 13283 Jan-07 13846 13913 Feb-07 13118 13187 Mar-07 13076 13146 Apr-07 13592 13669 May-07 14171 14264 Jun-07 13614 13703 Jul-07 12812 12897 Aug-07 12397 12474 Sep-07 13085 13174 Oct-07 14135 14237 Nov-07 13210 13308 Dec-07 13348 13449 Jan-08 12334 12429 Feb-08 10880 10964 Mar-08 9986 10064 Apr-08 10860 10947 May-08 10359 10444 Jun-08 9025 9094 Jul-08 9225 9298 Aug-08 9158 9233 Sep-08 7967 8032 Oct-08 6113 6157 Nov-08 5188 5220 Dec-08 5303 5337 Jan-09 4588 4614 Feb-09 4369 4395 Mar-09 5246 5284 Apr-09 5887 5933 May-09 6632 6685 Jun-09 6770 6829 Jul-09 7236 7300 Aug-09 7421 7488 Sep-09 7866 7942 Oct-09 7341 7411 Nov-09 7336 7409 Dec-09 7473 7559
41 (semi-annual report LOGO) SPDR KBW CAPITAL MARKETS ETF -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
-------------------------------------------------------------------------------------------------------------------- THE GOLDMAN SACHS GROUP, STATE STREET THE CHARLES DESCRIPTION MORGAN STANLEY INC. CORP.* CME GROUP, INC. SCHWAB CORP. -------------------------------------------------------------------------------------------------------------------- MARKET VALUE $6,893,278 6,606,034 6,129,169 6,091,781 5,407,475 -------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 8.3% 8.0 7.4 7.4 6.5 --------------------------------------------------------------------------------------------------------------------
(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 DECEMBER 31, 2009**
----------------------------------------------- PERCENT OF INDUSTRY NET ASSETS ----------------------------------------------- Investment Banking & Brokerage 53.3% Asset Management & Custody Banks 28.3 Specialized Finance 18.3 Short Term Investments 13.0 Other Assets & Liabilities (12.9) ----------------------------------------------- TOTAL 100.0% -----------------------------------------------
* Affiliated issuer. (Note 3) ** The Fund's industry breakdown is expressed as a percentage of net assets and may change over time.
42 (semi-annual report 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 commissions 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, 2009 IS 0.35%. PERFORMANCE AS OF DECEMBER 31, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- KBW KBW NET ASSET MARKET INSURANCE NET ASSET MARKET INSURANCE VALUE VALUE INDEX VALUE VALUE INDEX ---------------------------------------------------------------------------------------------------------------------- SIX-MONTHS 31.92% 31.89% 32.19% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- ONE YEAR 28.47% 28.43% 28.91% 28.47% 28.43% 28.91% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -35.63% -35.53% -35.06% -13.66% -13.61% -13.40% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) -28.41% -28.41% -27.47% -7.74% -7.74% -7.42% ----------------------------------------------------------------------------------------------------------------------
(1) For the period November 8, 2005 to December 31, 2009.
43 (semi-annual report LOGO) SPDR KBW INSURANCE ETF -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE) (PERFORMANCE GRAPH)
SPDR KBW KBW INSURANCE ETF INSURANCE INDEX (A) (B) ------------- --------------- 11/8/2005 10000 10000 Nov-05 10254 10257 Dec-05 10093 10098 Jan-06 9913 9920 Feb-06 10031 10041 Mar-06 9848 9859 Apr-06 10303 10320 May-06 9980 9999 Jun-06 9906 9928 Jul-06 9893 9918 Aug-06 10095 10124 Sep-06 10429 10463 Oct-06 10554 10589 Nov-06 10778 10819 Dec-06 11121 11168 Jan-07 11054 11105 Feb-07 11044 11097 Mar-07 11057 11114 Apr-07 11646 11710 May-07 11943 12012 Jun-07 11636 11706 Jul-07 10643 10709 Aug-07 10778 10848 Sep-07 11291 11371 Oct-07 10908 10988 Nov-07 10716 10798 Dec-07 10474 10554 Jan-08 9914 9991 Feb-08 9274 9347 Mar-08 9188 9262 Apr-08 9652 9733 May-08 9529 9611 Jun-08 8184 8248 Jul-08 8320 8387 Aug-08 8596 8667 Sep-08 7809 7873 Oct-08 5320 5357 Nov-08 5009 5050 Dec-08 5573 5625 Jan-09 4375 4414 Feb-09 3517 3546 Mar-09 4093 4130 Apr-09 4979 5029 May-09 5596 5656 Jun-09 5427 5486 Jul-09 6200 6269 Aug-09 7187 7270 Sep-09 7417 7507 Oct-09 6852 6934 Nov-09 7044 7131 Dec-09 7159 7253
44 (semi-annual report LOGO) SPDR KBW INSURANCE ETF -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
------------------------------------------------------------------------------------------------------------------ THE TRAVELERS PRUDENTIAL DESCRIPTION AFLAC, INC. CHUBB CORP. METLIFE, INC. COS., INC. FINANCIAL, INC. ------------------------------------------------------------------------------------------------------------------ MARKET VALUE $11,457,836 10,944,271 10,901,622 10,573,362 10,092,771 ------------------------------------------------------------------------------------------------------------------ % OF NET ASSETS 7.6% 7.2 7.2 7.0 6.7 ------------------------------------------------------------------------------------------------------------------
(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 DECEMBER 31, 2009*
----------------------------------------------- PERCENT OF INDUSTRY NET ASSETS ----------------------------------------------- Property & Casualty Insurance 36.1% Life & Health Insurance 33.8 Multi-Line Insurance 11.5 Insurance Brokers 6.7 Reinsurance 4.8 Asset Management & Custody Banks 4.0 Thrifts & Mortgage Finance 2.8 Short Term Investments 3.0 Other Assets & Liabilities (2.7) ----------------------------------------------- TOTAL 100.0% -----------------------------------------------
* The Fund's industry breakdown is expressed as a percentage of net assets and may change over time.
45 (semi-annual report LOGO) SPDR KBW MORTGAGE FINANCE 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 (4/29/09, 4/30/09, 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 commissions 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 MORTGAGE FINANCE ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2009 IS 0.35%. PERFORMANCE AS OF DECEMBER 31, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- KBW MORTGAGE KBW MORTGAGE NET ASSET MARKET FINANCE NET ASSET MARKET FINANCE VALUE VALUE INDEX VALUE VALUE INDEX ---------------------------------------------------------------------------------------------------------------------- SIX-MONTHS 14.92% 14.76% 15.13% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) 1.43% 1.43% 1.65% N/A N/A N/A ----------------------------------------------------------------------------------------------------------------------
(1) For the period April 29, 2009 to December 31, 2009.
46 (semi-annual report LOGO) SPDR KBW MORTGAGE FINANCE ETF -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE) (PERFORMANCE GRAPH)
SPDR KBW KBW MORTGAGE MORTGAGE FINANCE FINANCE INDEX ETF(A) (B) ---------------- ------------- 4/29/2009 10000 10000 Apr-09 9737 9968 May-09 9000 9214 Jun-09 8827 9039 Jul-09 9853 10094 Aug-09 10586 10852 Sep-09 10359 10370 Oct-09 9491 9729 Nov-09 9573 9816 Dec-09 10143 10165
47 (semi-annual report LOGO) SPDR KBW MORTGAGE FINANCE ETF -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
-------------------------------------------------------------------------------------------------------------------------------- NEW YORK COMMUNITY LENDER PROCESSING HUDSON CITY DESCRIPTION BANCORP, INC. SERVICES, INC. BANCORP, INC. D.R. HORTON, INC. PULTE HOMES, INC. -------------------------------------------------------------------------------------------------------------------------------- MARKET VALUE $403,697 341,381 292,888 274,576 271,610 -------------------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 9.9% 8.3 7.2 6.7 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 DECEMBER 31, 2009*
----------------------------------------------- PERCENT OF INDUSTRY NET ASSETS ----------------------------------------------- Thrifts & Mortgage Finance 37.6% Household Durables 32.7 IT Services 8.3 Insurance 7.9 Commercial Banks 7.2 Diversified Financial Services 3.7 Real Estate Management & Development 2.5 Short Term Investments 0.1 Other Assets & Liabilities 0.0** ----------------------------------------------- TOTAL 100.0% -----------------------------------------------
* The Fund's industry breakdown is expressed as a percentage of net assets and may change over time. ** Amount represents less then 0.05% of net assets.
48 (semi-annual report 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 commissions 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, 2009 IS 0.35%. PERFORMANCE AS OF DECEMBER 31, 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 ---------------------------------------------------------------------------------------------------------------------- SIX-MONTHS 22.59% 22.69% 22.59% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- ONE YEAR -22.00% -21.91% -22.13% -22.00% -21.91% -22.13% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -50.32% -50.36% -50.51% -20.80% -20.82% -20.90% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) -47.37% -47.39% -47.09% -16.60% -16.61% -16.28% ----------------------------------------------------------------------------------------------------------------------
(1) For the period June 19, 2006 to December 31, 2009.
49 (semi-annual report LOGO) SPDR KBW REGIONAL BANKING ETF -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE) (PERFORMANCE GRAPH)
KBW SPDR KBW REGIONAL BANKING REGIONAL BANKING INDEX (B) ETF (A) ---------------- ---------------- 6/19/2006 10000 10000 Jun-06 10066 10066 Jul-06 10127 10132 Aug-06 10189 10199 Sep-06 10256 10269 Oct-06 10246 10263 Nov-06 10441 10464 Dec-06 10593 10692 Jan-07 10456 10554 Feb-07 10317 10422 Mar-07 10183 10292 Apr-07 9916 10025 May-07 10110 10229 Jun-07 9848 9968 Jul-07 8928 9039 Aug-07 9601 9725 Sep-07 9532 9658 Oct-07 9111 9228 Nov-07 8677 8791 Dec-07 8261 8343 Jan-08 8629 8719 Feb-08 7557 7630 Mar-08 7827 7904 Apr-08 7664 7738 May-08 7365 7435 Jun-08 5956 6005 Jul-08 6789 6844 Aug-08 7227 7286 Sep-08 8036 8099 Oct-08 7374 7426 Nov-08 6721 6764 Dec-08 6745 6795 Jan-09 4777 4805 Feb-09 4192 4215 Mar-09 4503 4530 Apr-09 4852 4883 May-09 4666 4695 Jun-09 4288 4316 Jul-09 4879 4906 Aug-09 4971 5000 Sep-09 5024 5050 Oct-09 4806 4832 Nov-09 4947 4972 Dec-09 5263 5291
50 (semi-annual report LOGO) SPDR KBW REGIONAL BANKING ETF -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
-------------------------------------------------------------------------------------------------------------------------- CVB FINANCIAL FULTON FINANCIAL BANK OF HAWAII OLD NATIONAL DESCRIPTION CORP. CORP. CORP. MB FINANCIAL, INC. BANCORP -------------------------------------------------------------------------------------------------------------------------- MARKET VALUE $12,075,273 11,649,946 11,606,361 11,348,899 11,306,166 -------------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 2.7% 2.6 2.6 2.6 2.5 --------------------------------------------------------------------------------------------------------------------------
(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 DECEMBER 31, 2009*
----------------------------------------------- PERCENT OF INDUSTRY NET ASSETS ----------------------------------------------- Regional Banks 92.0% Thrifts & Mortgage Finance 7.8 Short Term Investments 27.5 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.
51 (semi-annual report 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 commissions 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 MORGAN STANLEY TECHNOLOGY ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2009 IS 0.50%. PERFORMANCE AS OF DECEMBER 31, 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 ---------------------------------------------------------------------------------------------------------------------- SIX-MONTHS 28.01% 27.88% 28.38% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- ONE YEAR 70.21% 70.56% 71.06% 70.21% 70.56% 71.06% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS 2.89% 2.79% 4.20% 0.95% 0.92% 1.38% ---------------------------------------------------------------------------------------------------------------------- FIVE YEARS 15.17% 15.24% 17.84% 2.86% 2.88% 3.34% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) -40.39% -40.37% -38.08% -5.43% -5.43% -5.01% ----------------------------------------------------------------------------------------------------------------------
(1) For the period September 25, 2000 to December 31, 2009.
52 (semi-annual report LOGO) SPDR MORGAN STANLEY TECHNOLOGY ETF -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE) (PERFORMANCE GRAPH)
MORGAN SPDR MORGAN STANLEY TECHNOLOGY STANLEY TECHNOLOGY INDEX (B) ETF (A) ------------------ ------------------ 9/25/2000 10000 10000 Sep-00 9725 9725 Oct-00 9485 9489 Nov-00 7243 7247 Dec-00 6876 6834 Jan-00 8096 8052 Feb-00 6106 6075 Mar-00 5391 5365 Apr-01 6245 6218 May-01 5851 5828 Jun-01 5948 5933 Jul-01 5599 5582 Aug-01 4921 4908 Sep-01 3839 3830 Oct-01 4534 4525 Nov-01 5272 5264 Dec-01 5203 5199 Jan-02 5162 5160 Feb-02 4339 4340 Mar-02 4663 4666 Apr-02 4091 4096 May-02 3956 3962 Jun-02 3404 3410 Jul-02 3072 3079 Aug-02 3002 3010 Sep-02 2444 2451 Oct-02 2979 2990 Nov-02 3500 3513 Dec-02 2943 2958 Jan-03 2951 2967 Feb-03 2947 2964 Mar-03 2941 2959 Apr-03 3245 3266 May-03 3753 3778 Jun-03 3750 3778 Jul-03 3945 3976 Aug-03 4304 4340 Sep-03 4207 4243 Oct-03 4632 4674 Nov-03 4740 4785 Dec-03 4858 4908 Jan-04 5141 5197 Feb-04 5056 5111 Mar-04 4970 5027 Apr-04 4654 4709 May-04 4838 4897 Jun-04 5029 5093 Jul-04 4469 4527 Aug-04 4303 4360 Sep-04 4546 4608 Oct-04 4675 4741 Nov-04 4965 5037 Dec-04 5177 5254 Jan-05 4828 4902 Feb-05 4822 4898 Mar-05 4642 4717 Apr-05 4452 4526 May-05 4883 4968 Jun-05 4815 4901 Jul-05 5102 5196 Aug-05 5061 5155 Sep-05 5164 5263 Oct-05 5090 5190 Nov-05 5392 5500 Dec-05 5324 5433 Jan-06 5515 5629 Feb-06 5405 5519 Mar-06 5589 5710 Apr-06 5546 5669 May-06 5120 5236 Jun-06 5037 5153 Jul-06 4764 4876 Aug-06 5188 5313 Sep-06 5416 5549 Oct-06 5639 5779 Nov-06 5867 6016 Dec-06 5794 5943 Jan-07 5769 5920 Feb-07 5756 5909 Mar-07 5673 5826 Apr-07 6051 6218 May-07 6288 6463 Jun-07 6356 6536 Jul-07 6382 6566 Aug-07 6495 6682 Sep-07 6820 7019 Oct-07 6973 7180 Nov-07 6295 6485 Dec-07 6358 6552 Jan-08 5581 5753 Feb-08 5411 5580 Mar-08 5431 5602 Apr-08 5880 6069 May-08 6324 6531 Jun-08 5678 5863 Jul-08 5691 5879 Aug-08 5737 5929 Sep-08 4872 5019 Oct-08 3862 3978 Nov-08 3404 3506 Dec-08 3503 3608 Jan-09 3440 3544 Feb-09 3283 3383 Mar-09 3732 3848 Apr-09 4338 4476 May-09 4525 4671 Jun-09 4657 4823 Jul-09 5081 5250 Aug-09 5186 5361 Sep-09 5514 5721 Oct-09 5325 5509 Nov-09 5631 5828 Dec-09 5961 6192
53 (semi-annual report LOGO) SPDR MORGAN STANLEY TECHNOLOGY ETF -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
------------------------------------------------------------------------------------------------------------------------ DESCRIPTION NVIDIA CORP. SALESFORCE.COM, INC. APPLE, INC. DELL, INC. AMAZON.COM, INC. ------------------------------------------------------------------------------------------------------------------------ MARKET VALUE $7,919,012 7,750,792 7,714,313 7,452,222 7,448,910 ------------------------------------------------------------------------------------------------------------------------ % OF NET ASSETS 3.1% 3.0 3.0 2.9 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 DECEMBER 31, 2009*
----------------------------------------------- PERCENT OF INDUSTRY NET ASSETS ----------------------------------------------- Computers & Peripherals 20.1% Software 19.8 Semiconductors & Semiconductor Equipment 17.3 Communications Equipment 17.0 Internet Software & Services 8.7 IT Services 8.4 Electronic Equipment, Instruments & Components 2.9 Internet & Catalog Retail 2.9 Household Durables 2.8 Short Term Investments 4.3 Other Assets & Liabilities (4.2) ----------------------------------------------- TOTAL 100.0% -----------------------------------------------
* The Fund's industry breakdown is expressed as a percentage of net assets and may change over time.
54 (semi-annual report 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 commissions 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 DIVIDEND ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2009 IS 0.35%. PERFORMANCE AS OF DECEMBER 31, 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 ---------------------------------------------------------------------------------------------------------------------- SIX-MONTHS 24.06% 24.11% 24.20% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- ONE YEAR 19.12% 19.27% 18.94% 19.12% 19.27% 18.94% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -14.16% -14.34% -14.19% -4.96% -5.03% -4.97% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) 2.78% 2.80% 2.99% 0.66% 0.67% 0.71% ----------------------------------------------------------------------------------------------------------------------
(1) For the period November 8, 2005 to December 31, 2009.
55 (semi-annual report LOGO) SPDR S&P DIVIDEND ETF -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE) (PERFORMANCE GRAPH)
S&P HIGH YIELD SPDR S&P DIVIDEND ARISTOCRATS DIVIDEND ETF INDEX (B) (A) ------------ -------------------- 11/8/2005 10000 10000 11/30/05 10176 10178 12/31/05 10171 10171 01/31/06 10405 10408 02/28/06 10487 10492 03/31/06 10538 10546 04/30/06 10762 10758 05/31/06 10567 10565 06/30/06 10618 10617 07/31/06 10899 10902 08/31/06 11149 11156 09/30/06 11301 11312 10/31/06 11669 11684 11/30/06 11748 11767 12/31/06 11976 12001 01/31/07 12078 12106 02/28/07 12117 12148 03/31/07 12132 12166 04/30/07 12490 12531 05/31/07 12774 12816 06/30/07 12293 12333 07/31/07 11668 11708 08/31/07 11991 12036 09/30/07 11923 11972 10/31/07 11864 11916 11/30/07 11495 11549 12/31/07 11212 11246 01/31/08 11243 11302 02/29/08 10463 10518 03/31/08 10583 10642 04/30/08 10882 10944 05/31/08 10865 10928 06/30/08 9214 9255 07/31/08 9734 9780 08/31/08 10114 10165 09/30/08 10301 10354 10/31/08 9260 9304 11/30/08 8715 8754 12/31/08 8631 8659 01/31/09 7498 7519 02/28/09 6486 6501 03/31/09 7272 7284 04/30/09 8254 8272 05/31/09 8306 8326 06/30/09 8283 8292 07/31/09 9074 9086 08/31/09 9422 9438 09/30/09 9716 9731 10/31/09 9590 9607 11/30/09 10045 10066 12/31/09 10278 10299
56 (semi-annual report LOGO) SPDR S&P DIVIDEND ETF -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
--------------------------------------------------------------------------------------------------------------------------------- INTEGRYS ENERGY CINCINNATI DESCRIPTION GROUP, INC. BLACK HILLS CORP. FINANCIAL CORP. PITNEY BOWES, INC. VECTREN CORP. --------------------------------------------------------------------------------------------------------------------------------- MARKET VALUE $48,901,008 43,875,961 43,870,131 42,313,162 39,972,222 --------------------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 3.9% 3.5 3.5 3.4 3.2 ---------------------------------------------------------------------------------------------------------------------------------
(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 DECEMBER 31, 2009*
----------------------------------------------- PERCENT OF INDUSTRY NET ASSETS ----------------------------------------------- Multi-Utilities 13.8% Gas Utilities 9.2 Insurance 7.7 Chemicals 6.7 Pharmaceuticals 6.2 Household Products 5.3 Commercial Services & Supplies 5.0 Beverages 4.4 Machinery 4.3 Containers & Packaging 3.8 Diversified Telecommunication Services 3.2 Household Durables 3.0 Food & Staples Retailing 2.5 Computers & Peripherals 2.4 Tobacco 2.2 Hotels, Restaurants & Leisure 1.9 Textiles, Apparel & Luxury Goods 1.9 Electrical Equipment 1.8 IT Services 1.7 Media 1.7 Water Utilities 1.7 Industrial Conglomerates 1.6 Health Care Equipment & Supplies 1.5 Commercial Banks 1.3 Specialty Retail 1.3 Capital Markets 1.2 Food Products 1.2 Oil, Gas & Consumable Fuels 1.2 Short Term Investments 14.6 Other Asset & Liabilities (14.3) ----------------------------------------------- TOTAL 100.0% -----------------------------------------------
* The Fund's industry breakdown is expressed as a percentage of net assets and may change over time.
57 (semi-annual report 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 commissions 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, 2009 IS 0.35%. PERFORMANCE AS OF DECEMBER 31, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- S & P S & P BIOTECHNOL- BIOTECHNOL- OGY SELECT OGY SELECT NET ASSET MARKET INDUSTRY NET ASSET MARKET INDUSTRY VALUE VALUE INDEX VALUE VALUE INDEX ---------------------------------------------------------------------------------------------------------------------- SIX-MONTHS 5.76% 5.72% 5.73% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- ONE YEAR 0.47% 0.66% 0.49% 0.47% 0.66% 0.49% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS 18.28% 18.33% 19.31% 5.76% 5.77% 6.06% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) 9.90% 9.90% 11.27% 2.44% 2.44% 2.76% ----------------------------------------------------------------------------------------------------------------------
(1) For the period January 31, 2006 to December 31, 2009.
58 (semi-annual report LOGO) SPDR S&P BIOTECH ETF -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE) (PERFORMANCE 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 7/31/2009 11306 11454 8/31/2009 11096 11244 9/30/2009 11009 11150 10/31/2009 9564 9687 11/30/2009 10270 10401 12/31/2009 10990 11127
59 (semi-annual report LOGO) SPDR S&P BIOTECH ETF -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
---------------------------------------------------------------------------------------------------------------------------------- REGENERON PHARMACEUTICALS, SEATTLE UNITED ISIS DESCRIPTION INC. GENETICS, INC. INCYTE CORP. THERAPEUTICS CORP. PHARMACEUTICAL, INC ---------------------------------------------------------------------------------------------------------------------------------- MARKET VALUE $18,625,056 16,977,309 16,588,918 16,462,760 16,242,930 ---------------------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 4.6% 4.2 4.1 4.1 4.0 ----------------------------------------------------------------------------------------------------------------------------------
(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 DECEMBER 31, 2009*
----------------------------------------------- PERCENT OF INDUSTRY NET ASSETS ----------------------------------------------- Biotechnology 99.9% Short Term Investments 21.4 Other Assets & Liabilities (21.3) ----------------------------------------------- TOTAL 100.0% -----------------------------------------------
* The Fund's industry breakdown is expressed as a percentage of net assets and may change over time.
60 (semi-annual report 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 commissions 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, 2009 IS 0.35%. PERFORMANCE AS OF DECEMBER 31, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- S & P S & P HOMEBUILDERS HOMEBUILDERS SELECT SELECT NET ASSET MARKET INDUSTRY NET ASSET MARKET INDUSTRY VALUE VALUE INDEX VALUE VALUE INDEX ---------------------------------------------------------------------------------------------------------------------- SIX-MONTHS 28.79% 28.81% 28.92% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- ONE YEAR 26.83% 27.22% 26.82% 26.83% 27.22% 26.82% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -57.64% -57.72% -58.02% -24.90% -24.95% -25.12% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) -66.08% -66.08% -66.33% -24.12% -24.11% -24.26% ----------------------------------------------------------------------------------------------------------------------
(1) For the period January 31, 2006 to December 31, 2009.
61 (semi-annual report LOGO) SPDR S&P HOMEBUILDERS ETF -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE) (PERFORMANCE 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 2634 2612 7/31/2009 3205 3180 8/31/2009 3466 3440 9/30/2009 3363 3337 10/31/2009 3098 3075 11/30/2009 3211 3188 12/31/2009 3392 3367
62 (semi-annual report LOGO) SPDR S&P HOMEBUILDERS ETF -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------- SIMPSON AMERON MANUFACTURING CO., DESCRIPTION PULTE HOMES, INC. INTERNATIONAL CORP. INC. D.R. HORTON, INC. ----------------------------------------------------------------------------------------------------------------- MARKET VALUE $28,801,440 28,657,648 28,269,027 28,035,795 ----------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 4.2% 4.2 4.1 4.1 ----------------------------------------------------------------------------------------------------------------- --------------------------------------------- DESCRIPTION RYLAND GROUP, INC. --------------------------------------------- MARKET VALUE 27,680,194 --------------------------------------------- % OF NET ASSETS 4.0 ---------------------------------------------
(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 DECEMBER 31, 2009*
----------------------------------------------- PERCENT OF INDUSTRY NET ASSETS ----------------------------------------------- Building Products 34.5% Homebuilding 32.1 Home Furnishings 11.3 Home Furnishings Retail 11.0 Home Improvement Retail 11.0 Short Term Investments 28.3 Other Assets & Liabilities (28.2) ----------------------------------------------- TOTAL 100.0% -----------------------------------------------
* The Fund's industry breakdown is expressed as a percentage of net assets and may change over time.
63 (semi-annual report 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 commissions 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, 2009 IS 0.35%. PERFORMANCE AS OF DECEMBER 31, 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 ---------------------------------------------------------------------------------------------------------------------- SIX-MONTHS 39.96% 39.99% 40.23% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- ONE YEAR 87.93% 88.23% 88.41% 87.93% 88.23% 88.41% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS 8.43% 8.22% 9.09% 2.74% 2.67% 2.94% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) 23.50% 23.49% 24.48% 6.15% 6.15% 6.30% ----------------------------------------------------------------------------------------------------------------------
(1) For the period June 19, 2006 to December 31, 2009.
64 (semi-annual report LOGO) SPDR S&P METALS & MINING ETF -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE) (PERFORMANCE GRAPH)
S&P SPDR S&P METALS & METALS & MINING SELECT MINING ETF INDUSTRY INDEX (A) (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 7/31/2009 9474 9534 8/31/2009 9664 9727 9/30/2009 10866 10941 10/31/2009 10122 10194 11/30/2009 11658 11746 12/31/2009 12350 12448
65 (semi-annual report LOGO) SPDR S&P METALS & MINING ETF -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
-------------------------------------------------------------------------------------------------------------------- ALLEGHENY PATRIOT TITANIUM UNITED STATES CONSOL DESCRIPTION TECHNOLOGIES, INC. COAL CORP. METALS CORP. STEEL CORP. ENERGY, INC. -------------------------------------------------------------------------------------------------------------------- MARKET VALUE $41,607,626 40,647,401 40,048,738 39,534,159 38,190,524 -------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 4.7% 4.6 4.5 4.4 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 DECEMBER 31, 2009*
----------------------------------------------- PERCENT OF INDUSTRY NET ASSETS ----------------------------------------------- Steel 40.0% Coal & Consumable Fuels 25.3 Diversified Metals & Mining 16.2 Precious Metals & Minerals 7.1 Gold 7.0 Aluminum 4.2 Short Term Investments 14.8 Other Assets & Liabilities (14.6) ----------------------------------------------- TOTAL 100.0% -----------------------------------------------
* The Fund's industry breakdown is expressed as a percentage of net assets and may change over time.
66 (semi-annual report 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 commissions 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, 2009 IS 0.35%. PERFORMANCE AS OF DECEMBER 31, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- S & P OIL & S & P OIL & GAS GAS EQUIPMENT & EQUIPMENT & SERVICES SERVICES SELECT SELECT NET ASSET MARKET INDUSTRY NET ASSET MARKET INDUSTRY VALUE VALUE INDEX VALUE VALUE INDEX ---------------------------------------------------------------------------------------------------------------------- SIX-MONTHS 31.09% 31.26% 31.36% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- ONE YEAR 67.61% 67.84% 68.11% 67.61% 67.84% 68.11% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -1.44% -1.36% -0.72% -0.48% -0.46% -0.24% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) 3.57% 3.56% 4.51% 1.00% 0.99% 1.24% ----------------------------------------------------------------------------------------------------------------------
(1) For the period June 19, 2006 to December 31, 2009.
67 (semi-annual report LOGO) SPDR S&P OIL & GAS EQUIPMENT & SERVICES ETF -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE) (PERFORMANCE 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 7901 7956 7/31/2009 8552 8618 8/31/2009 8823 8895 9/30/2009 10088 10172 10/31/2009 9917 10004 11/30/2009 10014 10104 12/31/2009 10357 10451
68 (semi-annual report LOGO) SPDR S&P OIL & GAS EQUIPMENT & SERVICES ETF -- PERFORMANCE SUMMARY TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
---------------------------------------------------------------------------------------------------------------------------------- SUPERIOR ENERGY CAMERON OIL STATES NABORS DESCRIPTION SERVICES, INC INTERNATIONAL CORP. INTERNATIONAL, INC. TIDEWATER, INC INDUSTRIES, LTD. ---------------------------------------------------------------------------------------------------------------------------------- MARKET VALUE $13,373,783 13,279,024 13,224,503 13,084,740 13,014,546 ---------------------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 4.4% 4.4 4.3 4.3 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 DECEMBER 31, 2009*
----------------------------------------------- PERCENT OF INDUSTRY NET ASSETS ----------------------------------------------- Oil & Gas Equipment & Services 67.2% Oil & Gas Drilling 32.7 Short Term Investments 13.6 Other Assets & Liabilities (13.5) ----------------------------------------------- TOTAL 100.0% -----------------------------------------------
* The Fund's industry breakdown is expressed as a percentage of net assets and may change over time.
69 (semi-annual report 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 commissions 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, 2009 IS 0.35%. PERFORMANCE AS OF DECEMBER 31, 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 ---------------------------------------------------------------------------------------------------------------------- SIX-MONTHS 30.53% 30.63% 30.82% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- ONE YEAR 39.94% 40.11% 40.35% 39.94% 40.11% 40.35% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS 9.69% 9.85% 10.51% 3.13% 3.18% 3.39% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) 23.93% 23.95% 25.02% 6.25% 6.26% 6.43% ----------------------------------------------------------------------------------------------------------------------
(1) For the period June 19, 2006 to December 31, 2009.
70 (semi-annual report LOGO) SPDR S&P OIL & GAS EXPLORATION & PRODUCTION ETF -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE) (PERFORMANCE GRAPH)
S&P OIL & SPDR S&P GAS EXPLORATION OIL & & PRODUCTION GAS EXPLORATION SELECT INDUSTRY & PRODUCTION INDEX (B) ETF (A) --------------- --------------- 6/19/2006 10000 10000 Jun-06 11574 11575 Jul-06 11895 11900 Aug-06 11431 11436 Sep-06 10535 10538 Oct-06 11111 11119 Nov-06 12183 12198 Dec-06 11300 11313 Jan-07 11608 11622 Feb-07 11469 11486 Mar-07 12065 12089 Apr-07 12838 12869 May-07 13802 13841 Jun-07 13623 13659 Jul-07 13078 13117 Aug-07 12796 12839 Sep-07 13961 14012 Oct-07 15709 15771 Nov-07 14397 14457 Dec-07 15471 15540 Jan-08 14331 14398 Feb-08 16127 16206 Mar-08 15970 16054 Apr-08 17526 17621 May-08 19306 19416 Jun-08 20843 20968 Jul-08 16119 16210 Aug-08 16318 16414 Sep-08 13387 13461 Oct-08 10195 10250 Nov-08 9253 9300 Dec-08 8858 8905 Jan-09 8921 8969 Feb-09 7759 7801 Mar-09 8058 8100 Apr-09 9229 9283 May-09 10812 10875 Jun-09 9495 9551 Jul-09 10464 10531 Aug-09 10565 10637 Sep-09 11615 11705 Oct-09 11541 11627 Nov-09 11529 11617 Dec-09 12393 12502
71 (semi-annual report LOGO) SPDR S&P OIL & GAS EXPLORATION & PRODUCTION ETF -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
------------------------------------------------------------------------------------------------------------------------ PIONEER NATURAL NEWFIELD SOUTHWESTERN DEVON RANGE DESCRIPTION RESOURCES CO. EXPLORATION CO. ENERGY CO. ENERGY CORP. RESOURCES CORP. ------------------------------------------------------------------------------------------------------------------------ MARKET VALUE $13,895,263 13,767,784 13,668,990 13,519,516 13,506,309 ------------------------------------------------------------------------------------------------------------------------ % OF NET ASSETS 3.3% 3.3 3.3 3.2 3.2 ------------------------------------------------------------------------------------------------------------------------
(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 DECEMBER 31, 2009*
----------------------------------------------- PERCENT OF INDUSTRY NET ASSETS ----------------------------------------------- Oil & Gas Exploration & Production 71.3% Oil & Gas Refining & Marketing 17.4 Integrated Oil & Gas 11.2 Short Term 9.6 Other Assets & Liabilities (9.5) ----------------------------------------------- TOTAL 100.0% -----------------------------------------------
* The Fund's industry breakdown is expressed as a percentage of net assets and may change over time.
72 (semi-annual report 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 commissions 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 PHARMACEUTICALS ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2009 IS 0.36%. PERFORMANCE AS OF DECEMBER 31, 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 ---------------------------------------------------------------------------------------------------------------------- SIX-MONTHS 27.59% 27.48% 27.84% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- ONE YEAR 28.06% 27.98% 28.39% 28.06% 27.98% 28.39% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS 14.69% 14.74% 15.10% 4.68% 4.69% 4.80% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) 26.88% 26.87% 27.59% 6.96% 6.96% 7.04% ----------------------------------------------------------------------------------------------------------------------
(1) For the period June 19, 2006 to December 31, 2009.
73 (semi-annual report LOGO) SPDR S&P PHARMACEUTICALS ETF -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE) (PERFORMANCE GRAPH)
S&P PHARMACEUTICALS SELECT SPDR S&P INDUSTRY INDEX PHARMACEUTICALS ETF (B) (A) ------------------- ---------------------- 6/19/2006 10000 10000 Jun-06 10146 10147 Jul-06 10341 10345 Aug-06 10658 10667 Sep-06 10951 10963 Oct-06 11058 11073 Nov-06 10932 10950 Dec-06 11063 11085 Jan-07 11522 11550 Feb-07 11231 11261 Mar-07 11115 11148 Apr-07 11788 11829 May-07 11911 11952 Jun-07 11482 11521 Jul-07 10691 10729 Aug-07 10723 10764 Sep-07 10941 10987 Oct-07 11124 11175 Nov-07 11054 11109 Dec-07 10908 10965 Jan-08 10413 10467 Feb-08 10214 10267 Mar-08 9910 9939 Apr-08 10296 10328 May-08 10537 10572 Jun-08 10135 10168 Jul-08 10496 10532 Aug-08 11043 11084 Sep-08 10320 10357 Oct-08 8989 9014 Nov-08 9137 9161 Dec-08 9907 9935 Jan-09 9659 9684 Feb-09 8394 8413 Mar-09 8913 8936 Apr-09 8679 8704 May-09 9279 9308 Jun-09 9444 9981 Jul-09 10321 10360 Aug-09 10866 10911 Sep-09 11708 11764 Oct-09 11176 11226 Nov-09 12212 12272 Dec-09 12688 12759
74 (semi-annual report LOGO) SPDR S&P PHARMACEUTICALS ETF -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
-------------------------------------------------------------------------------------------------------------- MEDICIS PAR PHARMACEUTICALS SALIX PHARMACEUTICAL DESCRIPTION XENOPORT, INC CO., INC. PHARMACEUTICALS, LTD. CORP. (CLASS A) -------------------------------------------------------------------------------------------------------------- MARKET VALUE $3,122,813 2,995,109 2,994,330 2,975,797 -------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 4.8% 4.6 4.6 4.6 -------------------------------------------------------------------------------------------------------------- ------------------------------------------- DESCRIPTION VIROPHARMA, INC. ------------------------------------------- MARKET VALUE 2,960,814 ------------------------------------------- % OF NET ASSETS 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 company.) INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2009*
----------------------------------------------- PERCENT OF INDUSTRY NET ASSETS ----------------------------------------------- Pharmaceuticals 99.9% Short Term Investments 26.6 Other Assets & Liabilities (26.5) ----------------------------------------------- TOTAL 100.0% -----------------------------------------------
* The Fund's industry breakdown is expressed as a percentage of net assets and may change over time.
75 (semi-annual report 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 commissions 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, 2009 IS 0.35%. PERFORMANCE AS OF DECEMBER 31, 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 ---------------------------------------------------------------------------------------------------------------------- SIX-MONTHS 30.11% 30.07% 30.43% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- ONE YEAR 77.66% 77.98% 78.32% 77.66% 77.98% 78.32% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -8.80% -8.77% -7.80% -3.02% -3.01% -2.67% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) 1.26% 1.23% 2.58% 0.36% 0.35% 0.71% ----------------------------------------------------------------------------------------------------------------------
(1) For the period June 19, 2006 to December 31, 2009.
76 (semi-annual report LOGO) SPDR S&P RETAIL ETF -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE) (PERFORMANCE GRAPH)
S&P SPDR S&P RETAIL SELECT RETAIL ETF INDUSTRY INDEX (A) (B) ---------- -------------- 6/19/2006 10000 10000 Jun-06 10242 10243 Jul-06 9698 9702 Aug-06 9912 9919 Sep-06 10699 10709 Oct-06 11254 11267 Nov-06 11124 11140 Dec-06 11103 11124 Jan-07 11460 11486 Feb-07 11460 11489 Mar-07 11753 11796 Apr-07 11807 11854 May-07 12259 12311 Jun-07 11891 11948 Jul-07 10835 10886 Aug-07 10848 10902 Sep-07 10691 10750 Oct-07 10550 10610 Nov-07 9730 9789 Dec-07 9311 9366 Jan-08 9388 9444 Feb-08 8761 8807 Mar-08 8760 8837 Apr-08 9067 9148 May-08 9117 9200 Jun-08 8073 8143 Jul-08 8288 8364 Aug-08 8885 8967 Sep-08 8418 8497 Oct-08 6400 6452 Nov-08 5094 5130 Dec-08 5698 5752 Jan-09 5498 5549 Feb-09 5530 5581 Mar-09 6429 6493 Apr-09 7741 7823 May-09 7709 7791 Jun-09 7783 7864 Jul-09 8582 8675 Aug-09 9007 9108 Sep-09 9626 9737 Oct-09 9491 9601 Nov-09 9748 9861 Dec-09 10126 10258
77 (semi-annual report LOGO) SPDR S&P RETAIL ETF -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------- THE CHILDREN'S PLACE RETAIL DESCRIPTION CARMAX, INC. FOOT LOCKER, INC. STORES, INC. HSN, INC. SEARS HOLDINGS CORP. ----------------------------------------------------------------------------------------------------------------------- MARKET VALUE $7,968,526 7,913,979 7,811,486 7,756,029 7,745,579 ----------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 1.8% 1.8 1.8 1.8 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 DECEMBER 31, 2009*
----------------------------------------------- PERCENT OF INDUSTRY NET ASSETS ----------------------------------------------- Apparel Retail 32.5% Specialty Stores 14.6 Automotive Retail 11.5 Food Retail 9.6 Department Stores 8.0 Internet Retail 6.3 General Merchandise Stores 4.8 Computer & Electronics Retail 4.6 Drug Retail 3.1 Hypermarkets & Super Centers 3.1 Catalog Retail 1.8 Short Tem Investments 24.3 Other Assets & Liabilities (24.2) ----------------------------------------------- TOTAL 100.0% -----------------------------------------------
* The Fund's industry breakdown is expressed as a percentage of net assets and may change over time.
78 (semi-annual report 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 commissions 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, 2009 IS 0.35%. PERFORMANCE AS OF DECEMBER 31, 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 ---------------------------------------------------------------------------------------------------------------------- SIX-MONTHS 40.95% 40.97% 41.26% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- ONE YEAR 99.20% 99.49% 99.92% 99.20% 99.49% 99.92% ---------------------------------------------------------------------------------------------------------------------- THREE YEARS -1.27% -1.30% -2.26% -0.43% -0.44% -0.76% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) -8.74% -8.74% -9.39% -2.31% -2.31% -2.49% ----------------------------------------------------------------------------------------------------------------------
(1) For the period January 31, 2006 to December 31, 2009.
79 (semi-annual report LOGO) SPDR S&P SEMICONDUCTOR ETF -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE) (PERFORMANCE GRAPH)
S&P SEMICONDUCTOR SELECT SPDR S&P INDUSTRY INDEX SEMICONDUCTOR ETF (B) (A) ----------------- -------------------- 1/31/2006 10000 10000 Feb-06 9981 9984 Mar-06 10136 10142 Apr-06 10406 10415 May-06 9305 9315 Jun-06 8875 8885 Jul-06 8248 8261 Aug-06 9032 9050 Sep-06 9081 9101 Oct-06 9196 9220 Nov-06 9503 9530 Dec-06 9244 9271 Jan-07 9231 9261 Feb-07 9569 9603 Mar-07 9155 9194 Apr-07 9753 9799 May-07 9830 9880 Jun-07 10018 10071 Jul-07 9892 9946 Aug-07 10084 10142 Sep-07 10400 10463 Oct-07 9857 9919 Nov-07 8765 8821 Dec-07 8778 8834 Jan-08 7561 7609 Feb-08 7263 7308 Mar-08 7398 7443 Apr-08 8248 8300 May-08 8959 9017 Jun-08 7884 7931 Jul-08 7538 7582 Aug-08 7953 8002 Sep-08 6648 6582 Oct-08 5593 5533 Nov-08 4372 4320 Dec-08 4581 4532 Jan-09 4485 4436 Feb-09 4554 4504 Mar-09 5224 5171 Apr-09 5961 5902 May-09 6358 6298 Jun-09 6474 6415 Jul-09 7306 7240 Aug-09 7663 7596 Sep-09 7911 7844 Oct-09 7141 7081 Nov-09 7845 7783 Dec-09 9126 9061
80 (semi-annual report LOGO) SPDR S&P SEMICONDUCTOR ETF -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------------- MICRON ADVANCED MICRO ATHEROS DESCRIPTION NVIDIA CORP. TECHNOLOGY, INC. RAMBUS, INC. DEVICES, INC. COMMUNICATIONS, INC. ----------------------------------------------------------------------------------------------------------------------------- MARKET VALUE $4,445,523 4,424,228 4,107,057 4,055,804 3,991,528 ----------------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 4.6% 4.5 4.2 4.2 4.1 -----------------------------------------------------------------------------------------------------------------------------
(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 DECEMBER 31, 2009*
----------------------------------------------- PERCENT OF INDUSTRY NET ASSETS ----------------------------------------------- Semiconductors 99.9% Short Term Investments 11.0 Other Assets and Liabilities (10.9) ----------------------------------------------- TOTAL 100.0% -----------------------------------------------
* The Fund's industry breakdown is expressed as a percentage of net assets and may change over time.
81 (semi-annual report LOGO) SPDR WELLS FARGO PREFERRED STOCK 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 DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------- DEUTSCHE BANK BARCLAYS BANK HSBC CREDIT SUISSE CONTINGENT DESCRIPTION PLC SERIES 5, 8.13% HOLDINGS PLC, 8.13% GUERNSEY, 7.90% CAPITAL TRUST III, 7.60% ----------------------------------------------------------------------------------------------------------------------- MARKET VALUE $595,496 498,092 412,292 385,423 ----------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 2.4% 2.0 1.7 1.5 ----------------------------------------------------------------------------------------------------------------------- ---------------------------------------------- METLIFE, INC. DESCRIPTION SERIES B, 6.50% ---------------------------------------------- MARKET VALUE 378,984 ---------------------------------------------- % 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 DECEMBER 31, 2009*
----------------------------------------------- PERCENT OF INDUSTRY NET ASSETS ----------------------------------------------- Commercial Banks 35.7% Diversified Financial Services 29.9 Insurance 9.5 Capital Markets 8.2 Real Estate Investment Trusts 4.5 Media 3.9 Electric Utilities 3.7 Wireless Telecommunication Services 2.2 Multi-Utilities 1.2 Consumer Finance 0.9 Short Term Investments 0.4 Other Assets & Liabilities (0.1) ----------------------------------------------- TOTAL 100% -----------------------------------------------
* The Fund's industry breakdown is expressed as a percentage of net assets and may change over time.
82 SPDR DOW JONES TOTAL MARKET ETF SUMMARY SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ COMMON STOCKS AEROSPACE & DEFENSE United Technologies Corp. .............. 13,282 $ 921,904 0.50% Other Securities (a).................... 3,372,002 1.82 ------------ ------ 4,293,906 2.32 ------------ ------ AIR FREIGHT & LOGISTICS United Parcel Service, Inc. (Class B)... 11,697 671,057 0.36 Other Securities (a).................... 779,875 0.43 ------------ ------ 1,450,932 0.79 ------------ ------ AIRLINES Other Securities (a).................... 390,032 0.21 ------------ ------ AUTO COMPONENTS Other Securities (a).................... 566,621 0.31 ------------ ------ AUTOMOBILES Other Securities (a).................... 606,992 0.33 ------------ ------ BEVERAGES PepsiCo, Inc. .......................... 23,434 1,424,787 0.77 The Coca-Cola Co. ...................... 31,856 1,815,792 0.98 Other Securities........................ 617,889 0.34 ------------ ------ 3,858,468 2.09 ------------ ------ BIOTECHNOLOGY Amgen, Inc. (b)......................... 16,300 922,091 0.50 Gilead Sciences, Inc. (b)............... 14,312 619,423 0.34 Other Securities (a).................... 1,962,934 1.06 ------------ ------ 3,504,448 1.90 ------------ ------ BUILDING PRODUCTS Other Securities........................ 152,095 0.08 ------------ ------ CAPITAL MARKETS State Street Corp. (c).................. 6,816 296,769 0.16 The Goldman Sachs Group, Inc. .......... 6,701 1,131,397 0.61 Other Securities (a).................... 3,047,950 1.65 ------------ ------ 4,476,116 2.42 ------------ ------ CHEMICALS Monsanto Co. ........................... 8,558 699,617 0.38 Other Securities (a).................... 2,867,189 1.55 ------------ ------ 3,566,806 1.93 ------------ ------ COMMERCIAL BANKS Wells Fargo & Co. ...................... 74,876 2,020,903 1.10 Other Securities (a).................... 2,963,449 1.60 ------------ ------ 4,984,352 2.70 ------------ ------ COMMERCIAL SERVICES & SUPPLIES Other Securities ....................... 1,253,742 0.68 ------------ ------ COMMUNICATIONS EQUIPMENT Cisco Systems, Inc. (b)................. 89,577 2,144,473 1.16 QUALCOMM, Inc. ......................... 25,342 1,172,321 0.64 Other Securities (a).................... 1,406,068 0.76 ------------ ------ 4,722,862 2.56 ------------ ------ COMPUTERS & PERIPHERALS Apple, Inc. (b)......................... 13,838 2,917,881 1.58 Hewlett-Packard Co. .................... 37,973 1,955,989 1.06 International Business Machines Corp. .. 19,633 2,569,960 1.39 Other Securities (a).................... 2,119,506 1.15 ------------ ------ 9,563,336 5.18 ------------ ------ CONSTRUCTION & ENGINEERING Other Securities (a).................... 494,070 0.27 ------------ ------ CONSTRUCTION MATERIALS Other Securities (a).................... 221,298 0.12 ------------ ------ CONSUMER FINANCE American Express Co. ................... 16,048 650,265 0.35 Other Securities (a).................... 533,703 0.29 ------------ ------ 1,183,968 0.64 ------------ ------ CONTAINERS & PACKAGING Other Securities........................ 470,529 0.25 ------------ ------ DISTRIBUTORS Other Securities (a).................... 110,352 0.06 ------------ ------ DIVERSIFIED CONSUMER SERVICES Other Securities (a).................... 710,916 0.38 ------------ ------ DIVERSIFIED FINANCIAL SERVICES Bank of America Corp. .................. 138,877 2,091,488 1.13 Citigroup, Inc. ........................ 313,118 1,036,421 0.56 JPMorgan Chase & Co. ................... 62,227 2,592,999 1.40 Other Securities (a).................... 1,046,378 0.57 ------------ ------ 6,767,286 3.66 ------------ ------ DIVERSIFIED TELECOMMUNICATION SERVICES AT&T, Inc. ............................. 90,401 2,533,940 1.37 Verizon Communications, Inc. ........... 42,758 1,416,573 0.77 Other Securities (a).................... 593,890 0.32 ------------ ------ 4,544,403 2.46 ------------ ------ ELECTRIC UTILITIES Other Securities (a).................... 3,354,250 1.82 ------------ ------ ELECTRICAL EQUIPMENT Other Securities ....................... 1,183,875 0.64 ------------ ------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS Other Securities (a).................... 1,833,463 0.99 ------------ ------ ENERGY EQUIPMENT & SERVICES Schlumberger, Ltd. ..................... 18,978 1,235,278 0.67 Other Securities (a).................... 2,143,576 1.16 ------------ ------ 3,378,854 1.83 ------------ ------ FOOD & STAPLES RETAILING CVS Caremark Corp. ..................... 23,263 749,301 0.41 Wal-Mart Stores, Inc. .................. 32,608 1,742,898 0.94 Other Securities (a).................... 1,701,238 0.92 ------------ ------ 4,193,437 2.27 ------------ ------ FOOD PRODUCTS Kraft Foods, Inc. (Class A)............. 21,923 595,867 0.32 Other Securities (a).................... 2,464,855 1.34 ------------ ------ 3,060,722 1.66 ------------ ------ GAS UTILITIES Other Securities........................ 246,904 0.13 ------------ ------
See accompanying notes to financial statements. 83 SPDR DOW JONES TOTAL MARKET ETF SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ HEALTH CARE EQUIPMENT & SUPPLIES Medtronic, Inc. ........................ 17,986 $ 791,024 0.43% Other Securities (a) ................... 3,221,849 1.74 ------------ ------ 4,012,873 2.17 ------------ ------ HEALTH CARE PROVIDERS & SERVICES Other Securities (a).................... 4,402,377 2.38 ------------ ------ HEALTH CARE TECHNOLOGY Other Securities (a).................... 147,912 0.08 ------------ ------ HOTELS, RESTAURANTS & LEISURE McDonald's Corp. ....................... 16,958 1,058,858 0.57 Other Securities (a).................... 2,188,787 1.19 ------------ ------ 3,247,645 1.76 ------------ ------ HOUSEHOLD DURABLES Other Securities (a).................... 1,251,274 0.68 ------------ ------ HOUSEHOLD PRODUCTS Colgate-Palmolive Co. .................. 7,673 630,337 0.34 Procter & Gamble Co. ................... 44,872 2,720,589 1.47 Other Securities (a).................... 733,088 0.40 ------------ ------ 4,084,014 2.21 ------------ ------ INDEPENDENT POWER PRODUCERS & ENERGY TRADERS Other Securities ....................... 563,754 0.30 ------------ ------ INDUSTRIAL CONGLOMERATES 3M Co. ................................. 9,882 816,945 0.44 General Electric Co. ................... 163,964 2,480,776 1.35 Other Securities (a).................... 189,029 0.10 ------------ ------ 3,486,750 1.89 ------------ ------ INSURANCE Berkshire Hathaway, Inc. (Class A) (b).. 17 1,686,400 0.91 Other Securities (a).................... 4,948,471 2.68 ------------ ------ 6,634,871 3.59 ------------ ------ INTERNET & CATALOG RETAIL Amazon.com, Inc. (b).................... 4,742 637,894 0.35 Other Securities (a).................... 407,969 0.22 ------------ ------ 1,045,863 0.57 ------------ ------ INTERNET SOFTWARE & SERVICES Google, Inc. (Class A) (b).............. 3,514 2,178,610 1.18 Other Securities (a).................... 1,198,440 0.65 ------------ ------ 3,377,050 1.83 ------------ ------ IT SERVICES Other Securities (a).................... 2,917,241 1.58 ------------ ------ LEISURE EQUIPMENT & PRODUCTS Other Securities (a).................... 397,357 0.21 ------------ ------ LIFE SCIENCES TOOLS & SERVICES Other Securities (a) ................... 1,151,769 0.62 ------------ ------ MACHINERY Other Securities (a) ................... 3,842,737 2.08 ------------ ------ MEDIA Comcast Corp. (Class A)................. 42,922 723,665 0.39 The Walt Disney Co. (b)................. 26,477 853,883 0.46 Other Securities (a).................... 3,846,711 2.09 ------------ ------ 5,424,259 2.94 ------------ ------ METALS & MINING Other Securities (a).................... 2,077,956 1.13 ------------ ------ MULTI-UTILITIES Other Securities (a).................... 1,959,202 1.06 ------------ ------ MULTILINE RETAIL Other Securities (a).................... 1,537,726 0.83 ------------ ------ OFFICE ELECTRONICS Other Securities (a).................... 194,137 0.10 ------------ ------ OIL, GAS & CONSUMABLE FUELS Chevron Corp. .......................... 31,154 2,398,546 1.30 ConocoPhillips.......................... 20,576 1,050,816 0.57 Exxon Mobil Corp. ...................... 72,630 4,952,640 2.68 Occidental Petroleum Corp. ............. 12,780 1,039,653 0.56 Other Securities (a).................... 7,003,225 3.80 ------------ ------ 16,444,880 8.91 ------------ ------ PAPER & FOREST PRODUCTS Other Securities (a).................... 509,085 0.28 ------------ ------ PERSONAL PRODUCTS Other Securities (a).................... 568,673 0.31 ------------ ------ PHARMACEUTICALS Abbott Laboratories..................... 23,857 1,288,039 0.70 Bristol-Myers Squibb Co. ............... 29,161 736,315 0.40 Johnson & Johnson....................... 42,174 2,716,427 1.47 Merck & Co., Inc. ...................... 47,275 1,727,428 0.94 Pfizer, Inc. ........................... 122,933 2,236,151 1.21 Other Securities (a).................... 1,480,211 0.80 ------------ ------ 10,184,571 5.52 ------------ ------ PROFESSIONAL SERVICES Other Securities (a).................... 536,911 0.29 ------------ ------ REAL ESTATE INVESTMENT TRUSTS Other Securities (a).................... 3,969,013 2.15 ------------ ------ REAL ESTATE MANAGEMENT & DEVELOPMENT Other Securities (a).................... 236,465 0.13 ------------ ------ ROAD & RAIL Other Securities (a).................... 1,951,065 1.06 ------------ ------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT Intel Corp. ............................ 85,657 1,747,403 0.95 Other Securities (a).................... 3,484,024 1.88 ------------ ------ 5,231,427 2.83 ------------ ------ SOFTWARE Microsoft Corp. ........................ 121,134 3,693,376 2.00 Oracle Corp. ........................... 61,053 1,498,241 0.81 Other Securities (a).................... 2,558,997 1.39 ------------ ------ 7,750,614 4.20 ------------ ------
See accompanying notes to financial statements. 84 SPDR DOW JONES TOTAL MARKET ETF SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ SPECIALTY RETAIL The Home Depot, Inc. ................... 27,033 $ 782,065 0.42% Other Securities (a).................... 3,241,203 1.76 ------------ ------ 4,023,268 2.18 ------------ ------ TEXTILES, APPAREL & LUXURY GOODS Other Securities (a).................... 898,575 0.49 ------------ ------ THRIFTS & MORTGAGE FINANCE Other Securities (a) ................... 593,619 0.32 ------------ ------ TOBACCO Altria Group, Inc. ..................... 31,820 624,627 0.34 Philip Morris International, Inc. ...... 30,239 1,457,217 0.79 Other Securities (a).................... 351,620 0.19 ------------ ------ 2,433,464 1.32 ------------ ------ TRADING COMPANIES & DISTRIBUTORS Other Securities (a).................... 269,654 0.15 ------------ ------ WATER UTILITIES Other Securities (a).................... 254,031 0.14 ------------ ------ WIRELESS TELECOMMUNICATION SERVICES Other Securities (a).................... 940,203 0.51 ------------ ------ TOTAL COMMON STOCKS -- (Cost $179,780,580)......................... 183,697,320 99.48 ------------ ------ SHORT TERM INVESTMENTS MONEY MARKET FUNDS State Street Institutional Liquid Reserves Fund (d)..................... 733,734 733,734 0.40 State Street Navigator Securities Lending Prime Portfolio (d)(e)........ 12,569,817 12,569,817 6.81 ------------ ------ TOTAL SHORT TERM INVESTMENTS -- (Cost $13,303,551)..... 13,303,551 7.21 ------------ ------ TOTAL INVESTMENTS (F) (Cost $193,084,131)......................... 197,000,871 106.69 OTHER ASSETS AND LIABILITIES............ (12,351,639) (6.69) ------------ ------ NET ASSETS.............................. $184,649,232 100.00 ============ ======
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 December 31, 2009. (a) Security, or portion thereof, was on loan at December 31, 2009. (b) Non-income producing security. (c) Affiliated Issuer. (Note 3) (d) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (e) Investments of cash collateral for securities loaned. (f) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (Notes 2)
See accompanying notes to financial statements. 85 SPDR DOW JONES LARGE CAP ETF SUMMARY SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ COMMON STOCKS AEROSPACE & DEFENSE United Technologies Corp. (a)........... 3,759 $ 260,912 0.56% Other Securities (a) ................... 871,825 1.87 ------------ ------ 1,132,737 2.43 ------------ ------ AIR FREIGHT & LOGISTICS United Parcel Service, Inc. (Class B) (a)................................ 3,048 174,864 0.37 Other Securities (a).................... 181,833 0.39 ------------ ------ 356,697 0.76 ------------ ------ AIRLINES Other Securities (a).................... 73,459 0.16 ------------ ------ AUTO COMPONENTS Other Securities (a).................... 109,854 0.24 ------------ ------ AUTOMOBILES Other Securities (a).................... 166,676 0.36 ------------ ------ BEVERAGES PepsiCo, Inc. .......................... 6,873 417,878 0.89 The Coca-Cola Co. ...................... 9,248 527,136 1.13 Other Securities (a).................... 169,999 0.37 ------------ ------ 1,115,013 2.39 ------------ ------ BIOTECHNOLOGY Amgen, Inc. (b)......................... 4,449 251,680 0.54 Gilead Sciences, Inc. (b)............... 4,005 173,336 0.37 Other Securities (a).................... 352,035 0.76 ------------ ------ 777,051 1.67 ------------ ------ BUILDING PRODUCTS Other Securities (a).................... 32,449 0.07 ------------ ------ CAPITAL MARKETS The Goldman Sachs Group, Inc. .......... 1,856 313,367 0.67 Other Securities (a).................... 917,172 1.97 ------------ ------ 1,230,539 2.64 ------------ ------ CHEMICALS Monsanto Co. ........................... 2,380 194,565 0.42 Other Securities (a) ................... 775,272 1.66 ------------ ------ 969,837 2.08 ------------ ------ COMMERCIAL BANKS U.S. Bancorp (a)........................ 8,432 189,804 0.41 Wells Fargo & Co. ...................... 21,478 579,691 1.24 Other Securities (a).................... 393,258 0.84 ------------ ------ 1,162,753 2.49 ------------ ------ COMMERCIAL SERVICES & SUPPLIES Other Securities (a).................... 263,602 0.56 ------------ ------ COMMUNICATIONS EQUIPMENT Cisco Systems, Inc. (b)................. 25,247 604,413 1.30 QUALCOMM, Inc. ......................... 7,212 333,627 0.71 Other Securities (a).................... 197,237 0.42 ------------ ------ 1,135,277 2.43 ------------ ------ COMPUTERS & PERIPHERALS Apple, Inc. (b)......................... 3,904 823,198 1.76 Hewlett-Packard Co. (a)................. 10,375 534,416 1.15 International Business Machines Corp. .. 5,747 752,282 1.61 Other Securities (a).................... 481,778 1.03 ------------ ------ 2,591,674 5.55 ------------ ------ CONSTRUCTION & ENGINEERING Other Securities (a).................... 127,580 0.27 ------------ ------ CONSTRUCTION MATERIALS Other Securities (a).................... 42,518 0.09 ------------ ------ CONSUMER FINANCE American Express Co. ................... 4,629 187,567 0.40 Other Securities (a).................... 132,059 0.28 ------------ ------ 319,626 0.68 ------------ ------ CONTAINERS & PACKAGING Other Securities (a).................... 128,696 0.28 ------------ ------ DISTRIBUTORS Other Securities (a).................... 26,724 0.06 ------------ ------ DIVERSIFIED CONSUMER SERVICES Other Securities (a).................... 123,718 0.26 ------------ ------ DIVERSIFIED FINANCIAL SERVICES Bank of America Corp. (a)............... 37,743 568,410 1.22 Citigroup, Inc. (a)..................... 89,887 297,526 0.64 JPMorgan Chase & Co. (a)................ 17,185 716,099 1.53 Other Securities (a).................... 253,468 0.54 ------------ ------ 1,835,503 3.93 ------------ ------ DIVERSIFIED TELECOMMUNICATION SERVICES AT&T, Inc. ............................. 25,966 727,827 1.56 Verizon Communications, Inc. ........... 12,460 412,800 0.89 Other Securities (a).................... 117,848 0.25 ------------ ------ 1,258,475 2.70 ------------ ------ ELECTRIC UTILITIES Other Securities (a).................... 911,535 1.95 ------------ ------ ELECTRICAL EQUIPMENT Other Securities (a).................... 258,404 0.55 ------------ ------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS Other Securities (a).................... 345,655 0.74 ------------ ------ ENERGY EQUIPMENT & SERVICES Schlumberger, Ltd. (a).................. 5,240 341,071 0.73 Other Securities (a).................... 516,701 1.11 ------------ ------ 857,772 1.84 ------------ ------ FOOD & STAPLES RETAILING CVS Caremark Corp. ..................... 6,200 199,702 0.43 Wal-Mart Stores, Inc. .................. 9,507 508,149 1.09 Other Securities (a).................... 462,482 0.99 ------------ ------ 1,170,333 2.51 ------------ ------ FOOD PRODUCTS Other Securities (a).................... 744,890 1.60 ------------ ------ GAS UTILITIES Other Securities (a).................... 147,161 0.32 ------------ ------
See accompanying notes to financial statements. 86 SPDR DOW JONES LARGE CAP ETF SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ HEALTH CARE EQUIPMENT & SUPPLIES Medtronic, Inc. (a)..................... 4,846 $ 213,127 0.46% Other Securities (a).................... 787,460 1.68 ------------ ------ 1,000,587 2.14 ------------ ------ HEALTH CARE PROVIDERS & SERVICES Other Securities (a).................... 993,219 2.13 ------------ ------ HEALTH CARE TECHNOLOGY Other Securities........................ 39,717 0.08 ------------ ------ HOTELS, RESTAURANTS & LEISURE McDonald's Corp. (a).................... 4,698 293,343 0.63 Other Securities (a).................... 440,972 0.94 ------------ ------ 734,315 1.57 ------------ ------ HOUSEHOLD DURABLES Other Securities (a).................... 188,979 0.40 ------------ ------ HOUSEHOLD PRODUCTS Colgate-Palmolive Co. .................. 2,140 175,801 0.38 Procter & Gamble Co. ................... 12,761 773,699 1.66 Other Securities (a).................... 191,984 0.41 ------------ ------ 1,141,484 2.45 ------------ ------ INDEPENDENT POWER PRODUCERS & ENERGY TRADERS Other Securities (a).................... 133,154 0.29 ------------ ------ INDUSTRIAL CONGLOMERATES 3M Co. (a).............................. 2,822 233,295 0.50 General Electric Co. ................... 46,157 698,355 1.50 Other Securities (a).................... 44,130 0.09 ------------ ------ 975,780 2.09 ------------ ------ INSURANCE Berkshire Hathaway, Inc. (Class A) (b).. 5 496,000 1.06 Other Securities (a).................... 1,244,231 2.67 ------------ ------ 1,740,231 3.73 ------------ ------ INTERNET & CATALOG RETAIL Amazon.com, Inc. (b).................... 1,360 182,947 0.39 Other Securities (a).................... 101,976 0.22 ------------ ------ 284,923 0.61 ------------ ------ INTERNET SOFTWARE & SERVICES Google, Inc. (Class A) (a)(b)........... 1,010 626,180 1.34 Other Securities (a).................... 286,071 0.61 ------------ ------ 912,251 1.95 ------------ ------ IT SERVICES Other Securities (a).................... 783,505 1.68 ------------ ------ LEISURE EQUIPMENT & PRODUCTS Other Securities (a).................... 49,142 0.11 ------------ ------ LIFE SCIENCES TOOLS & SERVICES Other Securities (a).................... 240,542 0.52 ------------ ------ MACHINERY Other Securities (a).................... 805,175 1.73 ------------ ------ MEDIA Comcast Corp. (Class A) (a)............. 12,672 213,650 0.46 The Walt Disney Co. (a)................. 7,641 246,422 0.53 Other Securities (a).................... 917,596 1.96 ------------ ------ 1,377,668 2.95 ------------ ------ METALS & MINING Other Securities (a).................... 522,207 1.12 ------------ ------ MULTI-UTILITIES Other Securities (a).................... 657,054 1.41 ------------ ------ MULTILINE RETAIL Other Securities (a).................... 353,488 0.76 ------------ ------ OFFICE ELECTRONICS Other Securities (a).................... 32,343 0.07 ------------ ------ OIL, GAS & CONSUMABLE FUELS Chevron Corp. .......................... 8,796 677,204 1.45 ConocoPhillips.......................... 5,667 289,414 0.62 Exxon Mobil Corp. (a)................... 20,770 1,416,306 3.04 Occidental Petroleum Corp. (a).......... 3,563 289,850 0.62 Other Securities (a).................... 1,695,153 3.63 ------------ ------ 4,367,927 9.36 ------------ ------ PAPER & FOREST PRODUCTS Other Securities (a).................... 105,470 0.23 ------------ ------ PERSONAL PRODUCTS Other Securities (a).................... 135,790 0.29 ------------ ------ PHARMACEUTICALS Abbott Laboratories..................... 6,761 365,026 0.78 Bristol-Myers Squibb Co. (a)............ 7,457 188,289 0.40 Johnson & Johnson (a)................... 12,037 775,303 1.66 Merck & Co., Inc. ...................... 13,301 486,019 1.04 Pfizer, Inc. ........................... 35,275 641,652 1.38 Other Securities (a).................... 359,673 0.77 ------------ ------ 2,815,962 6.03 ------------ ------ PROFESSIONAL SERVICES Other Securities (a).................... 115,974 0.25 ------------ ------ REAL ESTATE INVESTMENT TRUSTS Other Securities (a).................... 674,924 1.45 ------------ ------ REAL ESTATE MANAGEMENT & DEVELOPMENT Other Securities (a).................... 40,860 0.09 ------------ ------ ROAD & RAIL Other Securities (a).................... 474,902 1.02 ------------ ------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT Intel Corp. ............................ 24,228 494,251 1.06 Other Securities (a).................... 762,462 1.63 ------------ ------ 1,256,713 2.69 ------------ ------ SOFTWARE Microsoft Corp. (a)..................... 34,518 1,052,454 2.26 Oracle Corp. ........................... 16,721 410,333 0.88 Other Securities (a).................... 551,412 1.18 ------------ ------ 2,014,199 4.32 ------------ ------
See accompanying notes to financial statements. 87 SPDR DOW JONES LARGE CAP ETF SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ SPECIALTY RETAIL The Home Depot, Inc. ................... 7,476 $ 216,281 0.46% Other Securities (a).................... 716,877 1.54 ------------ ------ 933,158 2.00 ------------ ------ TEXTILES, APPAREL & LUXURY GOODS Other Securities (a).................... 176,690 0.38 ------------ ------ THRIFTS & MORTGAGE FINANCE Other Securities (a).................... 89,165 0.19 ------------ ------ TOBACCO Altria Group, Inc. (a).................. 8,970 176,081 0.38 Philip Morris International, Inc. ...... 8,287 399,350 0.85 Other Securities (a).................... 97,795 0.21 ------------ ------ 673,226 1.44 ------------ ------ TRADING COMPANIES & DISTRIBUTORS Other Securities (a).................... 62,432 0.13 ------------ ------ WATER UTILITIES Other Securities (a).................... 20,390 0.04 ------------ ------ WIRELESS TELECOMMUNICATION SERVICES Other Securities (a).................... 229,528 0.49 ------------ ------ TOTAL COMMON STOCKS -- (Cost $39,025,331).................... 46,569,282 99.80 ------------ ------ RIGHTS DIVERSIFIED TELECOMMUNICATION SERVICES Clearwire Corp. (expiring 6/21/10) (b) (Cost $0)............................. 307 123 0.00 ------------ ------ SHORT TERM INVESTMENTS MONEY MARKET FUNDS State Street Institutional Liquid Reserves Fund (c)..................... 36,888 36,888 0.08 State Street Navigator Securities Lending Prime Portfolio (c)(d)........ 13,064,779 13,064,779 28.00 ------------ ------ TOTAL SHORT TERM INVESTMENTS -- (Cost $13,101,667)..... 13,101,667 28.08 ------------ ------ TOTAL INVESTMENTS (E) (Cost $52,126,998).......................... 59,671,072 127.88 OTHER ASSETS AND LIABILITIES............ (13,011,077) (27.88) ------------ ------ NET ASSETS.............................. $ 46,659,995 100.00 ============ ======
Other Securities are those securities, which individually are not one of the 50 largest unaffiliated issuers and which represent less then one percent of the net assets of the Fund at December 31, 2009. (a) Security, or portion thereof, was on loan at December 31, 2009. (b) Non-income producing security. (c) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (d) Investments of cash collateral for securities loaned. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (Note 2)
See accompanying notes to financial statements. 88 SPDR DOW JONES LARGE CAP GROWTH ETF SUMMARY SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ COMMON STOCKS AEROSPACE & DEFENSE Other Securities (a) ................... $ 1,600,975 0.84% ------------ ------ AIR FREIGHT & LOGISTICS FedEx Corp. ............................ 10,771 898,840 0.47 Other Securities (a) ................... 643,241 0.34 ------------ ------ 1,542,081 0.81 ------------ ------ AIRLINES Other Securities........................ 639,163 0.34 ------------ ------ AUTO COMPONENTS Other Securities (a) ................... 256,531 0.14 ------------ ------ BEVERAGES PepsiCo, Inc. .......................... 57,903 3,520,502 1.86 Other Securities ....................... 107,405 0.05 ------------ ------ 3,627,907 1.91 ------------ ------ BIOTECHNOLOGY Amgen, Inc. (b)......................... 37,460 2,119,112 1.12 Celgene Corp. (b)....................... 17,043 948,954 0.50 Gilead Sciences, Inc. (b)............... 33,714 1,459,142 0.77 Other Securities (a) ................... 1,893,726 1.00 ------------ ------ 6,420,934 3.39 ------------ ------ BUILDING PRODUCTS Other Securities ...................... 87,586 0.05 ------------ ------ CAPITAL MARKETS State Street Corp. (c).................. 797,827 0.42 Other Securities (a) ................... 3,241,486 1.71 ------------ ------ 4,039,313 2.13 ------------ ------ CHEMICALS Monsanto Co. ........................... 19,996 1,634,673 0.86 Praxair, Inc. .......................... 11,454 919,871 0.48 Other Securities (a) ................... 1,809,241 0.96 ------------ ------ 4,363,785 2.30 ------------ ------ COMMERCIAL SERVICES & SUPPLIES Other Securities (a) ................... 826,194 0.44 ------------ ------ COMMUNICATIONS EQUIPMENT Cisco Systems, Inc. (b)................. 213,156 5,102,955 2.69 QUALCOMM, Inc. ......................... 60,650 2,805,669 1.48 Other Securities (a) ................... 1,723,736 0.91 ------------ ------ 9,632,360 5.08 ------------ ------ COMPUTERS & PERIPHERALS Apple, Inc. (b)......................... 32,764 6,908,617 3.64 Dell, Inc. (b).......................... 63,914 917,805 0.48 EMC Corp. (b)........................... 74,595 1,303,175 0.69 Hewlett-Packard Co. .................... 87,471 4,505,631 2.38 Other Securities (a) ................... 1,890,534 1.00 ------------ ------ 15,525,762 8.19 ------------ ------ CONSTRUCTION & ENGINEERING Other Securities ....................... 1,049,199 0.55 ------------ ------ CONSTRUCTION MATERIALS Other Securities (a) ................... 370,177 0.19 ------------ ------ CONSUMER FINANCE Other Securities........................ 298,378 0.16 ------------ ------ CONTAINERS & PACKAGING Other Securities ....................... 447,064 0.24 ------------ ------ DIVERSIFIED CONSUMER SERVICES Other Securities (a) ................... 769,394 0.41 ------------ ------ DIVERSIFIED FINANCIAL SERVICES Other Securities (a) ................... 1,913,779 1.01 ------------ ------ DIVERSIFIED TELECOMMUNICATION SERVICES Other Securities (a) ................... 16,914 0.01 ------------ ------ ELECTRIC UTILITIES Other Securities........................ 237,720 0.13 ------------ ------ ELECTRICAL EQUIPMENT Emerson Electric Co. ................... 28,005 1,193,013 0.63 Other Securities (a) ................... 636,660 0.33 ------------ ------ 1,829,673 0.96 ------------ ------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS Corning, Inc. .......................... 57,977 1,119,536 0.59 Other Securities (a) ................... 1,565,350 0.83 ------------ ------ 2,684,886 1.42 ------------ ------ ENERGY EQUIPMENT & SERVICES Halliburton Co. ........................ 33,113 996,370 0.53 Schlumberger, Ltd. ..................... 44,113 2,871,315 1.51 Other Securities (a) ................... 3,298,612 1.74 ------------ ------ 7,166,297 3.78 ------------ ------ FOOD & STAPLES RETAILING Costco Wholesale Corp. ................. 16,016 947,667 0.50 CVS Caremark Corp. ..................... 51,998 1,674,855 0.88 Wal-Mart Stores, Inc. .................. 80,724 4,314,698 2.28 Walgreen Co. ........................... 36,698 1,347,550 0.71 Other Securities (a) ................... 110,459 0.06 ------------ ------ 8,395,229 4.43 ------------ ------ FOOD PRODUCTS Other Securities (a) ................... 315,357 0.17 ------------ ------ GAS UTILITIES Other Securities........................ 634,513 0.33 ------------ ------ HEALTH CARE EQUIPMENT & SUPPLIES Baxter International, Inc. ............. 22,364 1,312,320 0.69 Medtronic, Inc. ........................ 40,917 1,799,530 0.95 Other Securities (a) ................... 5,262,709 2.78 ------------ ------ 8,374,559 4.42 ------------ ------ HEALTH CARE PROVIDERS & SERVICES Medco Health Solutions, Inc. (b)........ 17,450 1,115,229 0.59 UnitedHealth Group, Inc. ............... 43,059 1,312,438 0.69 WellPoint, Inc. (b)..................... 16,875 983,644 0.52 Other Securities (a) ................... 3,731,238 1.97 ------------ ------ 7,142,549 3.77 ------------ ------ HEALTH CARE TECHNOLOGY Other Securities (a) ................... 329,662 0.17 ------------ ------ HOTELS, RESTAURANTS & LEISURE Other Securities (a) ................... 3,038,988 1.60 ------------ ------
See accompanying notes to financial statements. 89 SPDR DOW JONES LARGE CAP GROWTH ETF SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ HOUSEHOLD DURABLES Other Securities (a) ................... $ 408,724 0.22% ------------ ------ HOUSEHOLD PRODUCTS Colgate-Palmolive Co. .................. 18,460 1,516,489 0.80 Other Securities........................ 300,971 0.16 ------------ ------ 1,817,460 0.96 ------------ ------ INDEPENDENT POWER PRODUCERS & ENERGY TRADERS Other Securities........................ 778,195 0.41 ------------ ------ INDUSTRIAL CONGLOMERATES Other Securities ....................... 204,877 0.11 ------------ ------ INSURANCE Berkshire Hathaway, Inc. (Class A) (b).. 43 4,265,600 2.25 Other Securities ....................... 78,691 0.04 ------------ ------ 4,344,291 2.29 ------------ ------ INTERNET & CATALOG RETAIL Amazon.com, Inc. (b).................... 11,454 1,540,792 0.81 Other Securities ....................... 641,407 0.34 ------------ ------ 2,182,199 1.15 ------------ ------ INTERNET SOFTWARE & SERVICES eBay, Inc. (b).......................... 40,649 956,877 0.51 Google, Inc. (Class A) (b).............. 8,502 5,271,070 2.78 Other Securities (a) ................... 1,388,710 0.73 ------------ ------ 7,616,657 4.02 ------------ ------ IT SERVICES Mastercard, Inc. (Class A).............. 3,591 919,224 0.48 Visa, Inc. (Class A).................... 15,929 1,393,150 0.73 Other Securities (a) ................... 3,962,712 2.10 ------------ ------ 6,275,086 3.31 ------------ ------ LIFE SCIENCES TOOLS & SERVICES Other Securities (a) ................... 2,054,917 1.08 ------------ ------ MACHINERY Caterpillar, Inc. ...................... 22,976 1,309,402 0.69 Deere & Co. ............................ 15,594 843,480 0.45 Other Securities (a) ................... 3,848,748 2.03 ------------ ------ 6,001,630 3.17 ------------ ------ MEDIA Comcast Corp. (Class A)................. 106,585 1,797,023 0.95 DIRECTV (Class A) (b)................... 36,413 1,214,374 0.64 Other Securities (a) ................... 2,537,411 1.34 ------------ ------ 5,548,808 2.93 ------------ ------ METALS & MINING Freeport-McMoRan Copper & Gold, Inc. (b)...................... 15,249 1,224,342 0.65 Other Securities (a) ................... 3,066,013 1.61 ------------ ------ 4,290,355 2.26 ------------ ------ MULTILINE RETAIL Target Corp. ........................... 25,316 1,224,535 0.65 Other Securities (a) ................... 1,306,725 0.68 ------------ ------ 2,531,260 1.33 ------------ ------ OIL, GAS & CONSUMABLE FUELS Anadarko Petroleum Corp. ............... 18,063 1,127,493 0.60 EOG Resources, Inc. .................... 9,354 910,144 0.48 Occidental Petroleum Corp. ............. 29,970 2,438,060 1.29 XTO Energy, Inc. ....................... 21,374 994,532 0.52 Other Securities (a) ................... 5,948,141 3.13 ------------ ------ 11,418,370 6.02 ------------ ------ PERSONAL PRODUCTS Other Securities ....................... 695,486 0.37 ------------ ------ PHARMACEUTICALS Other Securities (a) ................... 1,290,016 0.68 ------------ ------ PROFESSIONAL SERVICES Other Securities (a) ................... 950,508 0.50 ------------ ------ REAL ESTATE INVESTMENT TRUSTS Simon Property Group, Inc. (a).......... 10,634 848,593 0.45 Other Securities (a) ................... 758,908 0.40 ------------ ------ 1,607,501 0.85 ------------ ------ REAL ESTATE MANAGEMENT & DEVELOPMENT Other Securities (a).................... 116,485 0.06 ------------ ------ ROAD & RAIL Burlington Northern Santa Fe Corp. ..... 10,234 1,009,277 0.53 Union Pacific Corp. .................... 18,616 1,189,562 0.63 Other Securities (a) ................... 1,012,919 0.53 ------------ ------ 3,211,758 1.69 ------------ ------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT Texas Instruments, Inc. ................ 47,219 1,230,527 0.65 Other Securities (a) ................... 5,007,538 2.64 ------------ ------ 6,238,065 3.29 ------------ ------ SOFTWARE Microsoft Corp. ........................ 291,920 8,900,641 4.70 Oracle Corp. ........................... 141,461 3,471,453 1.83 Other Securities (a) ................... 4,566,834 2.40 ------------ ------ 16,938,928 8.93 ------------ ------ SPECIALTY RETAIL Lowe's Cos., Inc. ...................... 54,213 1,268,042 0.67 Other Securities (a) ................... 4,109,782 2.17 ------------ ------ 5,377,824 2.84 ------------ ------ TEXTILES, APPAREL & LUXURY GOODS Other Securities........................ 1,268,651 0.67 ------------ ------ THRIFTS & MORTGAGE FINANCE Other Securities........................ 285,716 0.15 ------------ ------ TRADING COMPANIES & DISTRIBUTORS Other Securities (a) ................... 516,316 0.27 ------------ ------ WIRELESS TELECOMMUNICATION SERVICES Other Securities (a) ................... 1,402,659 0.74 ------------ ------ TOTAL COMMON STOCKS -- (Cost $198,210,608)......................... 188,949,671 99.67 ------------ ------
See accompanying notes to financial statements. 90 SPDR DOW JONES LARGE CAP GROWTH ETF SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ RIGHTS DIVERSIFIED TELECOMMUNICATION SERVICES Clearwire Corp. (expiring 6/21/10) (b) (Cost $0)............................. 2,502 $ 1,001 0.00% ------------ ------ SHORT TERM INVESTMENTS MONEY MARKET FUNDS State Street Institutional Liquid Reserves Fund (d)..................... 389,638 389,638 0.20 State Street Navigator Securities Lending Prime Portfolio (d)(e)........ 6,723,757 6,723,757 3.55 ------------ ------ TOTAL SHORT TERM INVESTMENTS -- (Cost $7,113,395)...... 7,113,395 3.75 ------------ ------ TOTAL INVESTMENTS (F) (Cost $205,324,003)......................... 196,064,067 103.42 OTHER ASSETS AND LIABILITIES -- ....................... (6,480,141) (3.42) ------------ ------ NET ASSETS.............................. $189,583,926 100.00 ============ ======
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 December 31, 2009. (a) Security, or portion thereof, was on loan at December 31, 2009. (b) Non-income producing security. (c) Affiliated issuer. (Note 3) (d) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (e) Investments of cash collateral for securities loaned. (f) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (Note 2)
See accompanying notes to financial statements. 91 SPDR DOW JONES LARGE CAP VALUE ETF SUMMARY SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ COMMON STOCKS AEROSPACE & DEFENSE Boeing Co. ............................. 12,636 $ 683,987 0.64% Honeywell International, Inc. .......... 13,324 522,301 0.49 Lockheed Martin Corp. .................. 5,859 441,476 0.42 United Technologies Corp. .............. 16,550 1,148,735 1.08 Other Securities (a) ................... 1,372,576 1.29 ------------ ------ 4,169,075 3.92 ------------ ------ AIR FREIGHT & LOGISTICS United Parcel Service, Inc. (Class B)... 13,447 771,454 0.72 ------------ ------ AUTO COMPONENTS Other Securities ....................... 352,513 0.33 ------------ ------ AUTOMOBILES Ford Motor Co. (a)(b)................... 61,620 616,200 0.58 Other Securities (a).................... 115,466 0.11 ------------ ------ 731,666 0.69 ------------ ------ BEVERAGES The Coca-Cola Co. ...................... 40,747 2,322,579 2.18 Other Securities ....................... 691,986 0.65 ------------ ------ 3,014,565 2.83 ------------ ------ BIOTECHNOLOGY Other Securities ....................... 78,483 0.07 ------------ ------ BUILDING PRODUCTS Other Securities ....................... 96,559 0.09 ------------ ------ CAPITAL MARKETS Morgan Stanley.......................... 23,673 700,721 0.66 The Bank of New York Mellon Corp. ...... 22,924 641,184 0.60 The Goldman Sachs Group, Inc. .......... 8,225 1,388,709 1.31 Other Securities (a) ................... 524,880 0.49 ------------ ------ 3,255,494 3.06 ------------ ------ CHEMICALS E. I. du Pont de Nemours & Co. ......... 16,377 551,414 0.52 The Dow Chemical Co. ................... 22,093 610,429 0.57 Other Securities (a).................... 812,666 0.76 ------------ ------ 1,974,509 1.85 ------------ ------ COMMERCIAL BANKS PNC Financial Services Group, Inc. ..... 8,717 460,170 0.43 U.S. Bancorp............................ 36,878 830,124 0.78 Wells Fargo & Co. ...................... 93,845 2,532,877 2.38 Other Securities (a) ................... 1,280,275 1.20 ------------ ------ 5,103,446 4.79 ------------ ------ COMMERCIAL SERVICES & SUPPLIES Other Securities (a).................... 734,793 0.69 ------------ ------ COMPUTERS & PERIPHERALS International Business Machines Corp. .. 25,308 3,312,817 3.11 ------------ ------ CONSUMER FINANCE American Express Co. ................... 20,142 816,154 0.77 Other Securities ....................... 426,138 0.40 ------------ ------ 1,242,292 1.17 ------------ ------ CONTAINERS & PACKAGING Other Securities ....................... 334,756 0.31 ------------ ------ DISTRIBUTORS Other Securities ....................... 116,993 0.11 ------------ ------ DIVERSIFIED CONSUMER SERVICES Other Securities ....................... 149,903 0.14 ------------ ------ DIVERSIFIED FINANCIAL SERVICES Bank of America Corp. .................. 165,743 2,496,090 2.34 Citigroup, Inc. ........................ 394,449 1,305,626 1.23 JPMorgan Chase & Co. ................... 75,466 3,144,668 2.95 Other Securities ....................... 123,084 0.12 ------------ ------ 7,069,468 6.64 ------------ ------ DIVERSIFIED TELECOMMUNICATION SERVICES AT&T, Inc. ............................. 113,811 3,190,122 3.00 Verizon Communications, Inc. ........... 54,763 1,814,298 1.70 Other Securities (a) ................... 502,604 0.47 ------------ ------ 5,507,024 5.17 ------------ ------ ELECTRIC UTILITIES Exelon Corp. ........................... 12,751 623,141 0.59 The Southern Co. ....................... 15,185 505,964 0.48 Other Securities ....................... 2,723,132 2.55 ------------ ------ 3,852,237 3.62 ------------ ------ ELECTRICAL EQUIPMENT Other Securities (a).................... 173,015 0.16 ------------ ------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS Other Securities (a) ................... 104,974 0.10 ------------ ------ ENERGY EQUIPMENT & SERVICES Other Securities ....................... 46,751 0.04 ------------ ------ FOOD & STAPLES RETAILING Other Securities ....................... 766,348 0.72 ------------ ------ FOOD PRODUCTS Kraft Foods, Inc. (Class A)............. 25,782 700,755 0.66 Other Securities (a).................... 2,410,515 2.26 ------------ ------ 3,111,270 2.92 ------------ ------ GAS UTILITIES Other Securities (a).................... 324,008 0.30 ------------ ------ HEALTH CARE EQUIPMENT & SUPPLIES Other Securities ....................... 41,926 0.04 ------------ ------ HEALTH CARE PROVIDERS & SERVICES Other Securities ....................... 663,296 0.62 ------------ ------ HOTELS, RESTAURANTS & LEISURE McDonald's Corp. ....................... 20,628 1,288,012 1.21 Other Securities (a) ................... 373,262 0.35 ------------ ------ 1,661,274 1.56 ------------ ------ HOUSEHOLD DURABLES Other Securities (a).................... 618,605 0.58 ------------ ------
See accompanying notes to financial statements. 92 SPDR DOW JONES LARGE CAP VALUE ETF SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ HOUSEHOLD PRODUCTS Kimberly-Clark Corp. ................... 7,998 $ 509,553 0.48% Procter & Gamble Co. ................... 56,161 3,405,041 3.20 Other Securities ....................... 166,347 0.15 ------------ ------ 4,080,941 3.83 ------------ ------ INDEPENDENT POWER PRODUCERS & ENERGY TRADERS Other Securities ....................... 172,498 0.16 ------------ ------ INDUSTRIAL CONGLOMERATES 3M Co. ................................. 12,253 1,012,955 0.95 General Electric Co. ................... 202,282 3,060,527 2.87 Other Securities (a) ................... 92,094 0.09 ------------ ------ 4,165,576 3.91 ------------ ------ INSURANCE The Travelers Cos., Inc. ............... 10,490 523,031 0.49 Other Securities (a).................... 4,926,440 4.63 ------------ ------ 5,449,471 5.12 ------------ ------ INTERNET & CATALOG RETAIL Other Securities ....................... 119,132 0.11 ------------ ------ INTERNET SOFTWARE & SERVICES Other Securities ....................... 48,609 0.05 ------------ ------ IT SERVICES Other Securities ....................... 169,771 0.16 ------------ ------ LEISURE EQUIPMENT & PRODUCTS Other Securities ....................... 217,908 0.21 ------------ ------ MACHINERY Other Securities ....................... 405,982 0.38 ------------ ------ MEDIA News Corp. (Class A).................... 44,408 607,946 0.57 The Walt Disney Co. .................... 33,993 1,096,274 1.03 Time Warner, Inc. ...................... 22,478 655,009 0.62 Other Securities (a).................... 772,747 0.72 ------------ ------ 3,131,976 2.94 ------------ ------ METALS & MINING Other Securities (a).................... 74,005 0.07 ------------ ------ MULTI-UTILITIES Dominion Resources, Inc. ............... 11,532 448,825 0.42 Other Securities (a) ................... 2,444,554 2.30 ------------ ------ 2,893,379 2.72 ------------ ------ MULTILINE RETAIL Other Securities ....................... 240,965 0.23 ------------ ------ OFFICE ELECTRONICS Other Securities (a).................... 137,433 0.13 ------------ ------ OIL, GAS & CONSUMABLE FUELS Apache Corp. ........................... 6,381 658,328 0.62 Chevron Corp. .......................... 38,378 2,954,722 2.77 ConocoPhillips.......................... 25,004 1,276,954 1.20 Devon Energy Corp. ..................... 7,942 583,737 0.55 Exxon Mobil Corp. ...................... 90,932 6,200,653 5.82 Other Securities (a).................... 1,541,029 1.45 ------------ ------ 13,215,423 12.41 ------------ ------ PAPER & FOREST PRODUCTS Other Securities ....................... 463,997 0.44 ------------ ------ PERSONAL PRODUCTS Other Securities ....................... 218,075 0.21 ------------ ------ PHARMACEUTICALS Abbott Laboratories..................... 29,526 1,594,109 1.50 Bristol-Myers Squibb Co. ............... 32,504 820,726 0.77 Eli Lilly & Co. ........................ 18,921 675,669 0.63 Johnson & Johnson....................... 53,017 3,414,825 3.21 Merck & Co., Inc. ...................... 58,412 2,134,374 2.00 Pfizer, Inc. ........................... 154,238 2,805,589 2.63 Other Securities ....................... 249,483 0.24 ------------ ------ 11,694,775 10.98 ------------ ------ REAL ESTATE INVESTMENT TRUSTS Other Securities (a) ................... 2,123,976 2.00 ------------ ------ REAL ESTATE MANAGEMENT & DEVELOPMENT Other Securities (a) ................... 111,390 0.11 ------------ ------ ROAD & RAIL Other Securities ....................... 405,421 0.38 ------------ ------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT Intel Corp. ............................ 106,525 2,173,110 2.04 Other Securities (a) ................... 98,949 0.09 ------------ ------ 2,272,059 2.13 ------------ ------ SOFTWARE Other Securities ....................... 62,451 0.06 ------------ ------ SPECIALTY RETAIL The Home Depot, Inc. ................... 32,613 943,494 0.88 Other Securities (a) ................... 326,842 0.31 ------------ ------ 1,270,336 1.19 ------------ ------ TEXTILES, APPAREL & LUXURY GOODS Other Securities ....................... 121,945 0.11 ------------ ------ THRIFTS & MORTGAGE FINANCE Other Securities (a).................... 241,417 0.23 ------------ ------ TOBACCO Altria Group, Inc. ..................... 39,485 775,090 0.73 Philip Morris International, Inc. ...... 36,477 1,757,827 1.65 Other Securities ....................... 426,142 0.40 ------------ ------ 2,959,059 2.78 ------------ ------ WATER UTILITIES Other Securities (a) ................... 88,814 0.08 ------------ ------ WIRELESS TELECOMMUNICATION SERVICES Other Securities ....................... 266,827 0.25 ------------ ------ TOTAL COMMON STOCKS -- (Cost $117,128,466)......................... 106,203,125 99.73 ------------ ------
See accompanying notes to financial statements. 93 SPDR DOW JONES LARGE CAP VALUE ETF SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ SHORT TERM INVESTMENTS MONEY MARKET FUNDS State Street Institutional Liquid Reserves Fund (c)..................... 140,646 $ 140,646 0.13% State Street Navigator Securities Lending Prime Portfolio (c)(d)........ 1,841,327 1,841,327 1.73 ------------ ------ TOTAL SHORT TERM INVESTMENTS -- (Cost $1,981,973)...... 1,981,973 1.86 ------------ ------ TOTAL INVESTMENTS (E) (Cost $119,110,439)......................... 108,185,098 101.59 OTHER ASSETS AND LIABILITIES............ (1,694,957) (1.59) ------------ ------ NET ASSETS.............................. $106,490,141 100.00 ============ ======
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 December 31, 2009. (a) Security, or portion thereof, was on loan as of December 31, 2009. (b) Non-income producing security. (c) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (d) Investments of cash collateral for securities loaned. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (Note 2)
See accompanying notes to financial statements. 94 SPDR DOW JONES MID CAP ETF SUMMARY SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ COMMON STOCKS AEROSPACE & DEFENSE Other Securities (a).................... $ 303,748 0.67% ------------ ------ AIR FREIGHT & LOGISTICS Other Securities........................ 52,769 0.12 ------------ ------ AIRLINES Other Securities (a).................... 238,638 0.52 ------------ ------ AUTO COMPONENTS Other Securities (a).................... 448,608 0.99 ------------ ------ BEVERAGES Other Securities (a).................... 287,649 0.63 ------------ ------ BIOTECHNOLOGY Alexion Pharmaceuticals, Inc. (a)(b).... 3,306 161,399 0.36 Human Genome Sciences, Inc. (a)(b)...... 6,755 206,703 0.45 Other Securities (a) ................... 625,185 1.37 ------------ ------ 993,287 2.18 ------------ ------ BUILDING PRODUCTS Other Securities (a).................... 171,909 0.38 ------------ ------ CAPITAL MARKETS Legg Mason, Inc. (a).................... 6,019 181,533 0.40 Other Securities (a).................... 862,743 1.89 ------------ ------ 1,044,276 2.29 ------------ ------ CHEMICALS Celanese Corp. (Series A)............... 5,390 173,019 0.38 Eastman Chemical Co. (a)................ 2,549 153,552 0.34 Lubrizol Corp. ......................... 2,517 183,615 0.40 Other Securities (a).................... 844,962 1.86 ------------ ------ 1,355,148 2.98 ------------ ------ COMMERCIAL BANKS Comerica, Inc. (a)...................... 5,651 167,100 0.37 Other Securities (a).................... 1,297,137 2.85 ------------ ------ 1,464,237 3.22 ------------ ------ COMMERCIAL SERVICES & SUPPLIES Avery Dennison Corp. (a)................ 4,219 153,951 0.34 R.R. Donnelley & Sons Co. .............. 7,672 170,855 0.38 Other Securities (a).................... 555,863 1.22 ------------ ------ 880,669 1.94 ------------ ------ COMMUNICATIONS EQUIPMENT F5 Networks, Inc. (a)(b)................ 2,953 156,450 0.34 Other Securities (a).................... 304,426 0.67 ------------ ------ 460,876 1.01 ------------ ------ COMPUTERS & PERIPHERALS SanDisk Corp. (a)(b).................... 8,519 246,966 0.54 Teradata Corp. ......................... 6,444 202,535 0.45 Other Securities (a).................... 292,754 0.64 ------------ ------ 742,255 1.63 ------------ ------ CONSTRUCTION & ENGINEERING Other Securities (a).................... 550,600 1.21 ------------ ------ CONTAINERS & PACKAGING Other Securities (a).................... 842,471 1.85 ------------ ------ DISTRIBUTORS Other Securities........................ 102,358 0.22 ------------ ------ DIVERSIFIED CONSUMER SERVICES Other Securities (a).................... 391,746 0.86 ------------ ------ DIVERSIFIED FINANCIAL SERVICES Other Securities........................ 123,130 0.27 ------------ ------ DIVERSIFIED TELECOMMUNICATION SERVICES Other Securities (a).................... 297,196 0.65 ------------ ------ ELECTRIC UTILITIES Other Securities (a).................... 1,042,422 2.29 ------------ ------ ELECTRICAL EQUIPMENT AMETEK, Inc. (a)........................ 3,986 152,425 0.33 Other Securities (a).................... 443,936 0.98 ------------ ------ 596,361 1.31 ------------ ------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS Avnet, Inc. (a)(b)...................... 5,660 170,706 0.38 FLIR Systems, Inc. (a)(b)............... 5,646 184,737 0.41 Other Securities (a).................... 963,508 2.11 ------------ ------ 1,318,951 2.90 ------------ ------ ENERGY EQUIPMENT & SERVICES Other Securities (a).................... 819,919 1.80 ------------ ------ FOOD & STAPLES RETAILING Other Securities (a).................... 280,950 0.62 ------------ ------ FOOD PRODUCTS Other Securities (a).................... 789,527 1.74 ------------ ------ GAS UTILITIES Other Securities (a).................... 816,820 1.80 ------------ ------ HEALTH CARE EQUIPMENT & SUPPLIES Other Securities (a).................... 1,013,561 2.23 ------------ ------ HEALTH CARE PROVIDERS & SERVICES Other Securities (a).................... 1,234,400 2.71 ------------ ------ HEALTH CARE TECHNOLOGY Other Securities (a).................... 188,215 0.41 ------------ ------ HOTELS, RESTAURANTS & LEISURE Other Securities (a).................... 966,662 2.12 ------------ ------ HOUSEHOLD DURABLES Newell Rubbermaid, Inc. (a)............. 10,412 156,284 0.34 NVR, Inc. (a)(b)........................ 222 157,778 0.35 Whirlpool Corp. (a)..................... 2,751 221,896 0.49 Other Securities (a) ................... 802,101 1.76 ------------ ------ 1,338,059 2.94 ------------ ------ HOUSEHOLD PRODUCTS Energizer Holdings, Inc. (a)(b)......... 2,609 159,880 0.35 ------------ ------ INDEPENDENT POWER PRODUCERS & ENERGY TRADERS Other Securities (a).................... 215,618 0.47 ------------ ------ INDUSTRIAL CONGLOMERATES Textron, Inc. (a)....................... 10,154 190,997 0.42 Other Securities (a).................... 97,136 0.21 ------------ ------ 288,133 0.63 ------------ ------
See accompanying notes to financial statements. 95 SPDR DOW JONES MID CAP ETF SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ INSURANCE Genworth Financial, Inc. (Class A) (a)(b)............................. 17,987 $ 204,152 0.45% Other Securities (a).................... 2,690,466 5.91 ------------ ------ 2,894,618 6.36 ------------ ------ INTERNET & CATALOG RETAIL Other Securities (a).................... 97,377 0.21 ------------ ------ INTERNET SOFTWARE & SERVICES Akamai Technologies, Inc. (a)(b)........................... 6,492 164,442 0.36 Equinix, Inc. (a)(b).................... 1,427 151,476 0.33 Other Securities (a).................... 140,456 0.31 ------------ ------ 456,374 1.00 ------------ ------ IT SERVICES Global Payments, Inc. .................. 3,032 163,304 0.36 Other Securities (a).................... 944,863 2.08 ------------ ------ 1,108,167 2.44 ------------ ------ LIFE SCIENCES TOOLS & SERVICES Other Securities (a).................... 563,860 1.24 ------------ ------ MACHINERY Joy Global, Inc. (a).................... 3,837 197,951 0.44 Pall Corp. ............................. 4,422 160,076 0.35 The Stanley Works (a)................... 3,010 155,045 0.34 Other Securities (a).................... 1,437,038 3.16 ------------ ------ 1,950,110 4.29 ------------ ------ MARINE Other Securities (a).................... 70,008 0.15 ------------ ------ MEDIA Virgin Media, Inc. (a).................. 10,940 184,120 0.41 Other Securities (a).................... 446,290 0.98 ------------ ------ 630,410 1.39 ------------ ------ METALS & MINING Allegheny Technologies, Inc. (a)........ 3,448 154,367 0.34 Cliffs Natural Resources, Inc. (a)...... 4,902 225,933 0.50 Walter Energy, Inc. (a)................. 1,988 149,716 0.33 Other Securities (a).................... 506,171 1.11 ------------ ------ 1,036,187 2.28 ------------ ------ MULTI-UTILITIES NiSource, Inc. ......................... 10,222 157,214 0.35 Other Securities (a).................... 852,126 1.87 ------------ ------ 1,009,340 2.22 ------------ ------ MULTILINE RETAIL Other Securities (a).................... 89,548 0.20 ------------ ------ OFFICE ELECTRONICS Other Securities (a).................... 62,392 0.14 ------------ ------ OIL, GAS & CONSUMABLE FUELS Alpha Natural Resources, Inc. (b)....... 5,860 254,207 0.56 Cabot Oil & Gas Corp. .................. 3,832 167,037 0.37 Cimarex Energy Co. (a).................. 3,107 164,578 0.36 Pioneer Natural Resources Co. (a)....... 4,266 205,493 0.45 Other Securities (a).................... 1,690,334 3.71 ------------ ------ 2,481,649 5.45 ------------ ------ PAPER & FOREST PRODUCTS MeadWestvaco Corp. (a).................. 5,616 160,786 0.35 ------------ ------ PERSONAL PRODUCTS Other Securities (a).................... 255,534 0.56 ------------ ------ PHARMACEUTICALS Other Securities (a).................... 446,879 0.98 ------------ ------ PROFESSIONAL SERVICES Manpower, Inc. (a)...................... 2,909 158,773 0.35 Robert Half International, Inc. (a)..... 5,649 150,998 0.33 Other Securities (a).................... 406,891 0.89 ------------ ------ 716,662 1.57 ------------ ------ REAL ESTATE INVESTMENT TRUSTS Federal Realty Investment Trust (a)..... 2,290 155,079 0.34 Kimco Realty Corp. (a).................. 15,034 203,410 0.45 ProLogis (a)............................ 17,708 242,423 0.53 Other Securities (a).................... 2,287,001 5.03 ------------ ------ 2,887,913 6.35 ------------ ------ REAL ESTATE MANAGEMENT & DEVELOPMENT Other Securities (a).................... 343,062 0.75 ------------ ------ ROAD & RAIL Other Securities (a).................... 584,952 1.29 ------------ ------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT Advanced Micro Devices, Inc. (b)........ 22,945 222,108 0.49 Cree, Inc. (a)(b)....................... 3,532 199,099 0.44 Lam Research Corp. (a)(b)............... 4,750 186,247 0.41 Other Securities (a).................... 1,012,710 2.22 ------------ ------ 1,620,164 3.56 ------------ ------ SOFTWARE Other Securities (a).................... 1,501,672 3.30 ------------ ------ SPECIALTY RETAIL CarMax, Inc. (a)(b)..................... 7,429 180,153 0.40 Limited Brands, Inc. (a)................ 10,289 197,960 0.43 Tiffany & Co. (a)....................... 4,641 199,563 0.44 Urban Outfitters, Inc. (a)(b)........... 4,928 172,431 0.38 Other Securities (a).................... 1,011,156 2.22 ------------ ------ 1,761,263 3.87 ------------ ------ THRIFTS & MORTGAGE FINANCE Other Securities (a).................... 246,153 0.54 ------------ ------ TRADING COMPANIES & DISTRIBUTORS Other Securities (a).................... 119,728 0.26 ------------ ------ WATER UTILITIES Other Securities (a).................... 88,758 0.20 ------------ ------
See accompanying notes to financial statements. 96 SPDR DOW JONES MID CAP ETF SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ WIRELESS TELECOMMUNICATION SERVICES SBA Communications Corp. (Class A) (a)(b)............................. 4,384 $ 149,757 0.33% Other Securities (a).................... 259,628 0.57 ------------ ------ 409,385 0.90 ------------ ------ TOTAL COMMON STOCKS -- (Cost $39,798,205).......................... 45,413,999 99.79 ------------ ------ RIGHTS DIVERSIFIED TELECOMMUNICATION SERVICES Clearwire Corp. (expiring 6/21/10) (b) (Cost $0)............................. 2,709 1,084 0.00 ------------ ------ SHORT TERM INVESTMENTS MONEY MARKET FUNDS State Street Institutional Liquid Reserves Fund (c)..................... 55,781 55,781 0.13 State Street Navigator Securities Lending Prime Portfolio (c)(d)........ 13,216,330 13,216,330 29.04 ------------ ------ TOTAL SHORT TERM INVESTMENTS -- (Cost $13,272,111)..... 13,272,111 29.17 ------------ ------ TOTAL INVESTMENTS (E) (Cost $53,070,316).......................... 58,687,194 128.96 OTHER ASSETS AND LIABILITIES............ (13,178,793) (28.96) ------------ ------ NET ASSETS.............................. $ 45,508,401 100.00 ============ ======
Other Securities are those securities, which individually are not one of the 50 largest unaffiliated issuers and which represent less then one percent of the net assets of the Fund at December 31, 2009. (a) Security, or portion thereof, was on loan at December 31, 2009. (b) Non-income producing security. (c) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (d) Investments of cash collateral for securities loaned. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (Note 2)
See accompanying notes to financial statements. 97 SPDR DOW JONES MID CAP GROWTH ETF SUMMARY SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ COMMON STOCKS AEROSPACE & DEFENSE Other Securities (a) ................... $ 434,455 0.57% ------------ ------ AIR FREIGHT & LOGISTICS Other Securities........................ 161,658 0.21 ------------ ------ AIRLINES Other Securities (a) ................... 733,565 0.95 ------------ ------ AUTO COMPONENTS BorgWarner, Inc. (a).................... 13,289 441,461 0.57 Other Securities (a) ................... 650,929 0.85 ------------ ------ 1,092,390 1.42 ------------ ------ BEVERAGES Other Securities (a).................... 308,774 0.40 ------------ ------ BIOTECHNOLOGY Alexion Pharmaceuticals, Inc. (b)....... 10,081 492,154 0.64 Human Genome Sciences, Inc. (a)(b)...... 20,750 634,950 0.82 Other Securities (a).................... 1,381,805 1.80 ------------ ------ 2,508,909 3.26 ------------ ------ BUILDING PRODUCTS Other Securities (a).................... 290,527 0.38 ------------ ------ CAPITAL MARKETS Other Securities (a).................... 2,005,994 2.61 ------------ ------ CHEMICALS Celanese Corp. (Series A)............... 16,436 527,596 0.69 Lubrizol Corp. ......................... 7,705 562,080 0.73 Other Securities (a).................... 1,294,997 1.68 ------------ ------ 2,384,673 3.10 ------------ ------ COMMERCIAL BANKS Other Securities........................ 109,231 0.14 ------------ ------ COMMERCIAL SERVICES & SUPPLIES Other Securities (a).................... 1,694,272 2.20 ------------ ------ COMMUNICATIONS EQUIPMENT F5 Networks, Inc. (a)(b)................ 9,041 478,992 0.62 Other Securities (a).................... 924,260 1.20 ------------ ------ 1,403,252 1.82 ------------ ------ COMPUTERS & PERIPHERALS SanDisk Corp. (a)(b).................... 25,935 751,856 0.98 Teradata Corp. (b)...................... 19,720 619,799 0.80 Other Securities (a).................... 444,875 0.58 ------------ ------ 1,816,530 2.36 ------------ ------ CONSTRUCTION & ENGINEERING URS Corp. (a)(b)........................ 9,561 425,656 0.55 Other Securities (a).................... 931,073 1.21 ------------ ------ 1,356,729 1.76 ------------ ------ CONTAINERS & PACKAGING Other Securities (a).................... 583,362 0.76 ------------ ------ DISTRIBUTORS Other Securities (a).................... 311,442 0.41 ------------ ------ DIVERSIFIED CONSUMER SERVICES Other Securities (a).................... 963,431 1.25 ------------ ------ DIVERSIFIED FINANCIAL SERVICES Other Securities (a).................... 379,183 0.49 ------------ ------ DIVERSIFIED TELECOMMUNICATION SERVICES Other Securities (a).................... 351,705 0.46 ------------ ------ ELECTRIC UTILITIES Other Securities (a).................... 300,716 0.39 ------------ ------ ELECTRICAL EQUIPMENT AMETEK, Inc. (a)........................ 12,156 464,845 0.61 Other Securities (a).................... 503,273 0.65 ------------ ------ 968,118 1.26 ------------ ------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS Avnet, Inc. (b)......................... 17,399 524,754 0.68 FLIR Systems, Inc. (a)(b)............... 17,188 562,391 0.73 Other Securities (a).................... 2,070,586 2.70 ------------ ------ 3,157,731 4.11 ------------ ------ ENERGY EQUIPMENT & SERVICES Helmerich & Payne, Inc. (a)............. 11,071 441,512 0.57 Other Securities (a).................... 1,786,289 2.33 ------------ ------ 2,227,801 2.90 ------------ ------ FOOD & STAPLES RETAILING Other Securities (a).................... 351,827 0.46 ------------ ------ FOOD PRODUCTS Other Securities (a).................... 1,357,207 1.76 ------------ ------ HEALTH CARE EQUIPMENT & SUPPLIES ResMed, Inc. (a)(b)..................... 8,669 453,128 0.59 Other Securities (a).................... 2,231,453 2.90 ------------ ------ 2,684,581 3.49 ------------ ------ HEALTH CARE PROVIDERS & SERVICES Coventry Health Care, Inc. (b).......... 16,981 412,469 0.54 Other Securities (a).................... 2,043,776 2.65 ------------ ------ 2,456,245 3.19 ------------ ------ HEALTH CARE TECHNOLOGY IMS Health, Inc. ....................... 20,807 438,196 0.57 Other Securities (a).................... 138,818 0.18 ------------ ------ 577,014 0.75 ------------ ------ HOTELS, RESTAURANTS & LEISURE Wyndham Worldwide Corp. (a)............. 20,493 413,344 0.54 Other Securities (a).................... 1,893,994 2.46 ------------ ------ 2,307,338 3.00 ------------ ------ HOUSEHOLD DURABLES NVR, Inc. (a)(b)........................ 683 485,415 0.63 Other Securities (a).................... 382,410 0.50 ------------ ------ 867,825 1.13 ------------ ------ HOUSEHOLD PRODUCTS Energizer Holdings, Inc. (b)............ 7,986 489,382 0.64 ------------ ------ INDEPENDENT POWER PRODUCERS & ENERGY TRADERS Other Securities (a).................... 310,019 0.40 ------------ ------ INDUSTRIAL CONGLOMERATES Other Securities (a).................... 56,658 0.07 ------------ ------ INSURANCE Other Securities (a).................... 239,019 0.31 ------------ ------
See accompanying notes to financial statements. 98 SPDR DOW JONES MID CAP GROWTH ETF SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ INTERNET & CATALOG RETAIL Other Securities (a).................... $ 295,826 0.38% ------------ ------ INTERNET SOFTWARE & SERVICES Akamai Technologies, Inc. (a)(b)........ 19,795 501,407 0.65 Equinix, Inc. (a)(b).................... 4,368 463,663 0.61 Other Securities (a).................... 427,184 0.55 ------------ ------ 1,392,254 1.81 ------------ ------ IT SERVICES Global Payments, Inc. .................. 9,281 499,875 0.65 Hewitt Associates, Inc. (Class A) (a)(b)............................. 9,892 418,036 0.54 Lender Processing Services, Inc. ....... 10,914 443,763 0.58 Other Securities (a).................... 1,874,725 2.44 ------------ ------ 3,236,399 4.21 ------------ ------ LIFE SCIENCES TOOLS & SERVICES Other Securities (a).................... 1,513,864 1.97 ------------ ------ MACHINERY Joy Global, Inc. (a).................... 11,676 602,365 0.78 Pall Corp. ............................. 13,453 486,999 0.63 Other Securities (a).................... 2,343,820 3.05 ------------ ------ 3,433,184 4.46 ------------ ------ MARINE Other Securities (a).................... 213,055 0.28 ------------ ------ MEDIA Other Securities (a).................... 1,138,808 1.48 ------------ ------ METALS & MINING Cliffs Natural Resources, Inc. (a).............................. 15,052 693,747 0.90 Steel Dynamics, Inc. (a)................ 24,695 437,595 0.57 Walter Energy, Inc. (a)................. 6,086 458,337 0.60 Other Securities (a).................... 907,498 1.18 ------------ ------ 2,497,177 3.25 ------------ ------ OFFICE ELECTRONICS Other Securities (a).................... 191,288 0.25 ------------ ------ OIL, GAS & CONSUMABLE FUELS Alpha Natural Resources, Inc. (a)(b)........................... 17,895 776,285 1.01 Arch Coal, Inc. (a)..................... 18,629 414,495 0.54 Cabot Oil & Gas Corp. (a)............... 11,767 512,924 0.67 Cimarex Energy Co. (a).................. 9,464 501,308 0.65 EXCO Resources, Inc. (a)................ 19,679 417,785 0.54 Plains Exploration & Production Co. (b)............................... 16,037 443,584 0.58 Whiting Petroleum Corp. (a)(b).......... 5,794 413,981 0.54 Other Securities (a).................... 2,297,100 2.98 ------------ ------ 5,777,462 7.51 ------------ ------ PERSONAL PRODUCTS Other Securities (a).................... 485,984 0.63 ------------ ------ PHARMACEUTICALS Other Securities (a).................... 1,020,272 1.33 ------------ ------ PROFESSIONAL SERVICES Equifax, Inc. .......................... 14,461 446,700 0.58 Manpower, Inc. ......................... 8,918 486,745 0.63 Robert Half International, Inc. (a)..... 17,421 465,663 0.61 Other Securities (a).................... 800,988 1.04 ------------ ------ 2,200,096 2.86 ------------ ------ REAL ESTATE INVESTMENT TRUSTS Other Securities (a).................... 645,612 0.84 ------------ ------ REAL ESTATE MANAGEMENT & DEVELOPMENT Other Securities (a).................... 390,952 0.51 ------------ ------ ROAD & RAIL Other Securities (a).................... 1,420,019 1.85 ------------ ------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT Advanced Micro Devices, Inc. (b)........ 70,463 682,082 0.89 Cree, Inc. (a)(b)....................... 10,851 611,671 0.79 Lam Research Corp. (a)(b)............... 14,458 566,898 0.74 LSI Logic Corp. (a)(b).................. 73,999 444,734 0.58 National Semiconductor Corp. (a)........ 27,074 415,857 0.54 ON Semiconductor Corp. (a)(b)........... 48,253 425,109 0.55 Other Securities (a).................... 1,600,342 2.08 ------------ ------ 4,746,693 6.17 ------------ ------ SOFTWARE Ansys, Inc. (a)(b)...................... 10,049 436,729 0.57 Other Securities (a).................... 3,422,111 4.45 ------------ ------ 3,858,840 5.02 ------------ ------ SPECIALTY RETAIL CarMax, Inc. (a)(b)..................... 22,621 548,559 0.71 Tiffany & Co. (b)....................... 14,200 610,600 0.79 Urban Outfitters, Inc. (a)(b)........... 15,070 527,299 0.69 Other Securities (a).................... 2,237,930 2.91 ------------ ------ 3,924,388 5.10 ------------ ------ THRIFTS & MORTGAGE FINANCE Other Securities (a).................... 135,569 0.18 ------------ ------ TRADING COMPANIES & DISTRIBUTORS Other Securities ....................... 233,731 0.30 ------------ ------ WIRELESS TELECOMMUNICATION SERVICES SBA Communications Corp. (Class A) (a)(b)............................. 13,421 458,461 0.59 Other Securities (a).................... 342,828 0.45 ------------ ------ 801,289 1.04 ------------ ------ TOTAL COMMON STOCKS -- (Cost $66,388,711).................... 76,794,325 99.84 ------------ ------ RIGHTS DIVERSIFIED TELECOMMUNICATION SERVICES Clearwire Corp. (expiring 6/21/10) (b) (Cost $0)............................. 8,399 3,359 0.00 ------------ ------
See accompanying notes to financial statements. 99 SPDR DOW JONES MID CAP GROWTH ETF SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ SHORT TERM INVESTMENTS MONEY MARKET FUNDS State Street Institutional Liquid Reserves Fund (c)..................... 98,944 $ 98,944 0.13% State Street Navigator Securities Lending Prime Portfolio (c)(d)........ 22,198,914 22,198,914 28.86 ------------ ------ TOTAL SHORT TERM INVESTMENTS -- (Cost $22,297,858)..... 22,297,858 28.99 ------------ ------ TOTAL INVESTMENTS (E) (Cost $88,686,569).......................... 99,095,542 128.83 OTHER ASSETS AND LIABILITIES............ (22,177,058) (28.83) ------------ ------ NET ASSETS.............................. $ 76,918,484 100.00 ============ ======
Other Security are those securities, which individually are not one of the 50 largest unaffiliated issuers and which represent less then one percent of the net assets of the Fund at December 31, 2009. (a) Security, or portion thereof, was on loan at December 31, 2009. (b) Non-income producing security. (c) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (d) Investments of cash collateral for securities loaned. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (Note 2)
See accompanying notes to financial statements. 100 SPDR DOW JONES MID CAP VALUE ETF SUMMARY SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ COMMON STOCKS AEROSPACE & DEFENSE Other Securities (a).................... $ 143,567 0.79% ------ AUTO COMPONENTS Other Securities ....................... 82,378 0.45 ------ BEVERAGES Other Securities ....................... 165,695 0.91 ------ BIOTECHNOLOGY Dendreon Corp. (a)(b)................... 4,348 114,265 0.63 Other Securities (a).................... 37,325 0.20 ----------- ------ 151,590 0.83 ------ BUILDING PRODUCTS Other Securities (a).................... 68,359 0.37 ------ CAPITAL MARKETS Legg Mason, Inc. (a).................... 5,369 161,929 0.89 Other Securities (a).................... 182,928 1.00 ----------- ------ 344,857 1.89 ------ CHEMICALS Eastman Chemical Co. (a)................ 2,290 137,950 0.76 International Flavors & Fragrances, Inc. ..................... 2,633 108,322 0.59 Other Securities (a).................... 272,750 1.50 ----------- ------ 519,022 2.85 ------ COMMERCIAL BANKS Comerica, Inc. (a)...................... 5,062 149,683 0.82 Other Securities (a).................... 1,127,454 6.19 ----------- ------ 1,277,137 7.01 ------ COMMERCIAL SERVICES & SUPPLIES Avery Dennison Corp. (a)................ 3,779 137,896 0.76 R.R. Donnelley & Sons Co. .............. 6,871 153,017 0.84 ----------- ------ 290,913 1.60 ------ COMPUTERS & PERIPHERALS Other Securities (a).................... 130,040 0.71 ------ CONSTRUCTION & ENGINEERING Other Securities (a).................... 96,779 0.53 ------ CONTAINERS & PACKAGING Bemis Co., Inc. ........................ 3,620 107,333 0.59 Sealed Air Corp. ....................... 5,299 115,836 0.64 Other Securities (a).................... 361,302 1.98 ----------- ------ 584,471 3.21 ------ DIVERSIFIED CONSUMER SERVICES Other Securities (a).................... 67,952 0.37 ------ DIVERSIFIED TELECOMMUNICATION SERVICES Other Securities (a).................... 164,119 0.90 ------ ELECTRIC UTILITIES DPL, Inc. (a)........................... 4,014 110,786 0.61 Pepco Holdings, Inc. (a)................ 7,374 124,252 0.68 Pinnacle West Capital Corp. ............ 3,373 123,384 0.68 Other Securities (a).................... 483,438 2.65 ----------- ------ 841,860 4.62 ------ ELECTRICAL EQUIPMENT Other Securities (a).................... 250,186 1.37 ----------- ------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS Other Securities (a).................... 258,027 1.42 ------ ENERGY EQUIPMENT & SERVICES Other Securities (a).................... 82,858 0.45 ------ FOOD & STAPLES RETAILING Other Securities (a).................... 149,457 0.82 ------ FOOD PRODUCTS Other Securities (a).................... 311,485 1.71 ------ GAS UTILITIES Energen Corp. .......................... 2,425 113,490 0.62 National Fuel Gas Co. (a)............... 2,242 112,100 0.62 Other Securities (a).................... 502,223 2.75 ----------- ------ 727,813 3.99 ------ HEALTH CARE EQUIPMENT & SUPPLIES Other Securities (a).................... 121,600 0.67 ------ HEALTH CARE PROVIDERS & SERVICES Other Securities (a).................... 389,598 2.14 ------ HOTELS, RESTAURANTS & LEISURE Royal Caribbean Cruises, Ltd. (a)(b).... 4,504 113,861 0.63 Other Securities (a).................... 75,755 0.41 ----------- ------ 189,616 1.04 ------ HOUSEHOLD DURABLES Newell Rubbermaid, Inc. (a)............. 9,353 140,389 0.77 The Black & Decker Corp. (a)............ 2,010 130,308 0.72 Whirlpool Corp. (a)..................... 2,464 198,746 1.09 Other Securities (a).................... 478,066 2.62 ----------- ------ 947,509 5.20 ----------- ------ INDEPENDENT POWER PRODUCERS & ENERGY TRADERS Other Securities (a).................... 104,095 0.57 ------ INDUSTRIAL CONGLOMERATES Textron, Inc. (a)....................... 9,058 170,381 0.94 Other Securities (a).................... 70,096 0.38 ----------- ------ 240,477 1.32 ------ INSURANCE American International Group, Inc. (a)(b)........................... 3,960 118,721 0.65 Assurant, Inc. (a)...................... 3,952 116,505 0.64 First American Corp. (a)................ 4,047 133,996 0.74 Genworth Financial, Inc. (Class A) (a)(b)............................. 16,111 182,860 1.00 Markel Corp. (a)(b)..................... 329 111,860 0.61 Reinsurance Group of America, Inc. ..... 2,439 116,218 0.64 RenaissanceRe Holdings, Ltd. ........... 2,089 111,030 0.61 Torchmark Corp. (a)..................... 2,773 121,873 0.67 Other Securities (a).................... 1,505,422 8.26 ----------- ------ 2,518,485 13.82 ------
See accompanying notes to financial statements. 101 SPDR DOW JONES MID CAP VALUE ETF SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ IT SERVICES Other Securities (a).................... $ 49,143 0.27% ----------- ------ LIFE SCIENCES TOOLS & SERVICES Other Securities........................ 62,024 0.34 ------ MACHINERY Pentair, Inc. .......................... 3,294 106,396 0.59 The Stanley Works (a)................... 2,696 138,871 0.76 Other Securities (a).................... 494,503 2.71 ----------- ------ 739,770 4.06 ------ MEDIA Virgin Media, Inc. (a).................. 9,799 164,917 0.90 Other Securities (a).................... 68,193 0.38 ----------- ------ 233,110 1.28 ------ METALS & MINING Allegheny Technologies, Inc. (a)........ 3,074 137,623 0.75 Other Securities (a).................... 58,124 0.32 ----------- ------ 195,747 1.07 ------ MULTI-UTILITIES Alliant Energy Corp. (a)................ 3,670 111,054 0.61 CMS Energy Corp. (a).................... 7,602 119,047 0.65 Integrys Energy Group, Inc. (a)......... 2,562 107,578 0.59 NiSource, Inc. (a)...................... 9,181 141,204 0.78 NSTAR (a)............................... 3,576 131,597 0.72 OGE Energy Corp. ....................... 3,219 118,749 0.65 TECO Energy, Inc. (a)................... 6,667 108,139 0.59 Other Securities ....................... 66,982 0.37 ----------- ------ 904,350 4.96 ------ MULTILINE RETAIL Other Securities (a).................... 80,217 0.44 ------ OIL, GAS & CONSUMABLE FUELS Pioneer Natural Resources Co. (a)....... 3,821 184,058 1.01 Other Securities (a).................... 349,314 1.92 ----------- ------ 533,372 2.93 ----------- ------ PAPER & FOREST PRODUCTS MeadWestvaco Corp. ..................... 5,007 143,350 0.79 ----------- ------ PERSONAL PRODUCTS Other Securities (a).................... 86,025 0.47 ----------- ------ PHARMACEUTICALS Other Securities (a).................... 101,191 0.55 ----------- ------ REAL ESTATE INVESTMENT TRUSTS AMB Property Corp. (a).................. 4,901 125,221 0.69 Federal Realty Investment Trust (a)..... 2,042 138,284 0.76 Kimco Realty Corp. (a).................. 13,466 182,195 1.00 Liberty Property Trust.................. 3,742 119,781 0.66 Nationwide Health Properties, Inc. (a).. 3,762 132,347 0.73 ProLogis (a)............................ 15,861 217,137 1.19 Rayonier, Inc. ......................... 2,628 110,796 0.61 Other Securities (a).................... 1,369,181 7.50 ----------- ------ 2,394,942 13.14 ----------- ------ REAL ESTATE MANAGEMENT & DEVELOPMENT Other Securities (a).................... 193,258 1.06 ----------- ------ ROAD & RAIL Other Securities (a).................... 110,661 0.61 ----------- ------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT Other Securities (a).................... 62,004 0.34 ----------- ------ SOFTWARE Synopsys, Inc. (b)...................... 4,885 108,838 0.60 Other Securities (a).................... 104,165 0.57 ----------- ------ 213,003 1.17 ----------- ------ SPECIALTY RETAIL Limited Brands, Inc. (a)................ 9,216 177,316 0.97 Other Securities (a).................... 250,889 1.38 ----------- ------ 428,205 2.35 ----------- ------ THRIFTS & MORTGAGE FINANCE Other Securities (a).................... 179,846 0.99 ----------- ------ TRADING COMPANIES & DISTRIBUTORS Other Securities (a).................... 38,525 0.21 ----------- ------ WATER UTILITIES Other Securities (a).................... 79,513 0.44 ----------- ------ WIRELESS TELECOMMUNICATION SERVICES Telephone & Data Systems, Inc. ......... 3,258 110,511 0.60 Other Securities ....................... 21,290 0.12 ----------- ------ 131,801 0.72 ----------- ------ TOTAL COMMON STOCKS -- (Cost $17,570,357).......................... 18,180,002 99.75 ----------- ------ SHORT TERM INVESTMENTS MONEY MARKET FUNDS State Street Institutional Liquid Reserves Fund (d)..................... 18,494 18,494 0.10 State Street Navigator Securities Lending Prime Portfolio (d)(e)........ 5,265,707 5,265,707 28.90 ----------- ------ TOTAL SHORT TERM INVESTMENTS -- (Cost $5,284,201)...... 5,284,201 29.00 ----------- ------ TOTAL INVESTMENTS (F) (Cost $22,854,558).......................... 23,464,203 128.75 OTHER ASSETS AND LIABILITIES............ (5,238,998) (28.75) ----------- ------ NET ASSETS.............................. $18,225,205 100.00 =========== ======
Other Securities are those securities, which individually are not one of the 50 largest unaffiliated issuers and which represent less then one percent of the net assets of the Fund at December 31, 2009. (a) Security, or portion thereof, was on loan at December 31, 2009. (b) Non-income producing security. (c) Amount shown represents less then 0.05% of net assets. (d) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (e) Investments of cash collateral for securities loaned. (f) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (Note 2)
See accompanying notes to financial statements. 102 SPDR DOW JONES SMALL CAP ETF SUMMARY SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ COMMON STOCKS AEROSPACE & DEFENSE Other Securities (a).................... $ 645,591 1.54% ------------ ------ AIR FREIGHT & LOGISTICS Other Securities (a).................... 126,225 0.30 ------------ ------ AIRLINES AMR Corp. (a)(b)........................ 10,592 81,876 0.19 Continental Airlines, Inc. (Class B) (a)(b)............................. 4,437 79,511 0.19 Other Securities (a).................... 275,066 0.66 ------------ ------ 436,453 1.04 ------------ ------ AUTO COMPONENTS Gentex Corp. ........................... 4,549 81,200 0.19 Other Securities (a).................... 399,237 0.96 ------------ ------ 480,437 1.15 ------------ ------ AUTOMOBILES Other Securities (a).................... 49,920 0.12 ------------ ------ BEVERAGES Other Securities (a).................... 79,589 0.19 ------------ ------ BIOTECHNOLOGY Human Genome Sciences, Inc. (a)(b)...... 5,923 181,244 0.43 United Therapeutics Corp. (a)(b)........ 1,537 80,923 0.19 Other Securities (a).................... 1,016,895 2.43 ------------ ------ 1,279,062 3.05 ------------ ------ BUILDING PRODUCTS Other Securities (a).................... 297,235 0.71 ------------ ------ CAPITAL MARKETS E*TRADE Financial Corp. (a)(b).......... 61,119 106,958 0.25 Janus Capital Group, Inc. (a)........... 5,908 79,463 0.19 Teton Advisors, Inc. (Class B) (a)(b)(c).......................... 10 23 0.00 Waddell & Reed Financial, Inc. (Class A)............................. 2,767 84,504 0.20 Other Securities (a).................... 493,322 1.18 ------------ ------ 764,270 1.82 ------------ ------ CHEMICALS Ashland, Inc. (a)....................... 2,196 87,006 0.21 Nalco Holding Co. (a)................... 4,524 115,407 0.28 RPM International, Inc. (a)............. 4,243 86,260 0.21 Other Securities (a).................... 763,737 1.81 ------------ ------ 1,052,410 2.51 ------------ ------ COMMERCIAL BANKS Huntington Bancshares, Inc. (a)......... 22,979 83,873 0.20 Marshall & Ilsley Corp. (a)............. 16,533 90,105 0.22 Other Securities (a).................... 2,136,789 5.09 ------------ ------ 2,310,767 5.51 ------------ ------ COMMERCIAL SERVICES & SUPPLIES Other Securities (a).................... 781,627 1.86 ------------ ------ COMMUNICATIONS EQUIPMENT 3Com Corp. (a)(b)....................... 12,810 96,075 0.23 CommScope, Inc. (a)(b).................. 3,060 81,182 0.19 Other Securities (a).................... 912,985 2.18 ------------ ------ 1,090,242 2.60 ------------ ------ COMPUTERS & PERIPHERALS Other Securities (a).................... 407,120 0.97 ------------ ------ CONSTRUCTION & ENGINEERING Other Securities (a).................... 282,448 0.67 ------------ ------ CONSTRUCTION MATERIALS Other Securities (a).................... 75,534 0.18 ------------ ------ CONSUMER FINANCE Other Securities (a).................... 207,987 0.50 ------------ ------ CONTAINERS & PACKAGING Other Securities (a).................... 346,123 0.83 ------------ ------ DISTRIBUTORS LKQ Corp. (a)(b)........................ 4,602 90,153 0.21 Other Securities (a).................... 15,205 0.04 ------------ ------ 105,358 0.25 ------------ ------ DIVERSIFIED CONSUMER SERVICES Other Securities (a).................... 482,367 1.15 ------------ ------ DIVERSIFIED FINANCIAL SERVICES Other Securities (a).................... 152,765 0.36 ------------ ------ DIVERSIFIED TELECOMMUNICATION SERVICES tw telecom, inc. (a)(b)................. 4,809 82,426 0.20 Other Securities (a).................... 234,524 0.56 ------------ ------ 316,950 0.76 ------------ ------ ELECTRIC UTILITIES Great Plains Energy, Inc. (a)........... 4,356 84,463 0.20 Other Securities (a).................... 425,948 1.02 ------------ ------ 510,411 1.22 ------------ ------ ELECTRICAL EQUIPMENT Other Securities (a).................... 760,788 1.81 ------------ ------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS Jabil Circuit, Inc. (a)................. 6,352 110,334 0.26 Other Securities (a).................... 820,345 1.96 ------------ ------ 930,679 2.22 ------------ ------ ENERGY EQUIPMENT & SERVICES Dresser-Rand Group, Inc. (a)(b)........................... 2,696 85,221 0.20 Other Securities (a).................... 924,285 2.21 ------------ ------ 1,009,506 2.41 ------------ ------ FOOD & STAPLES RETAILING Other Securities (a).................... 330,080 0.79 ------------ ------ FOOD PRODUCTS Green Mountain Coffee Roasters, Inc. (a)(b)........................... 1,278 104,119 0.25 Other Securities (a).................... 522,363 1.24 ------------ ------ 626,482 1.49 ------------ ------ GAS UTILITIES Other Securities (a).................... 317,325 0.76 ------------ ------
See accompanying notes to financial statements. 103 SPDR DOW JONES SMALL CAP ETF SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ HEALTH CARE EQUIPMENT & SUPPLIES Other Securities (a).................... $ 1,068,175 2.55% ------------ ------ HEALTH CARE PROVIDERS & SERVICES MEDNAX, Inc. (a)(b)..................... 1,505 90,466 0.22 Tenet Healthcare Corp. (a)(b)........... 15,786 85,087 0.20 Other Securities (a).................... 1,421,360 3.39 ------------ ------ 1,596,913 3.81 ------------ ------ HEALTH CARE TECHNOLOGY Other Securities (a).................... 166,251 0.40 ------------ ------ HOTELS, RESTAURANTS & LEISURE Other Securities (a).................... 986,952 2.35 ------------ ------ HOUSEHOLD DURABLES Jarden Corp. (a)........................ 2,894 89,454 0.21 Tupperware Brands Corp. ................ 2,062 96,027 0.23 Other Securities (a).................... 470,436 1.12 ------------ ------ 655,917 1.56 ------------ ------ HOUSEHOLD PRODUCTS Other Securities (a).................... 38,106 0.09 ------------ ------ INDEPENDENT POWER PRODUCERS & ENERGY TRADERS Other Securities (a).................... 22,326 0.05 ------------ ------ INDUSTRIAL CONGLOMERATES Other Securities (a).................... 144,973 0.35 ------------ ------ INSURANCE Assured Guaranty, Ltd. (a).............. 4,008 87,214 0.21 Validus Holdings, Ltd. (a).............. 3,142 84,645 0.20 Other Securities (a).................... 1,352,594 3.23 ------------ ------ 1,524,453 3.64 ------------ ------ INTERNET & CATALOG RETAIL Other Securities (a).................... 156,760 0.37 ------------ ------ INTERNET SOFTWARE & SERVICES Other Securities (a).................... 559,248 1.33 ------------ ------ IT SERVICES Other Securities (a).................... 701,244 1.67 ------------ ------ LEISURE EQUIPMENT & PRODUCTS Other Securities (a).................... 197,644 0.47 ------------ ------ LIFE SCIENCES TOOLS & SERVICES Other Securities (a).................... 276,545 0.66 ------------ ------ MACHINERY Bucyrus International, Inc. (Class A) (a)................................ 2,398 135,175 0.32 IDEX Corp. (a).......................... 2,662 82,921 0.20 Oshkosh Corp. (a)....................... 2,854 105,684 0.25 Snap-On, Inc. (a)....................... 1,899 80,252 0.19 Other Securities (a).................... 1,372,474 3.28 ------------ ------ 1,776,506 4.24 ------------ ------ MARINE Other Securities (a).................... 163,103 0.39 ------------ ------ MEDIA Gannett Co., Inc. (a)................... 7,374 109,504 0.26 Other Securities (a).................... 627,826 1.50 ------------ ------ 737,330 1.76 ------------ ------ METALS & MINING Other Securities (a).................... 709,536 1.69 ------------ ------ MULTI-UTILITIES Other Securities (a).................... 124,555 0.30 ------------ ------ MULTILINE RETAIL Other Securities (a).................... 177,756 0.42 ------------ ------ OFFICE ELECTRONICS Other Securities (a).................... 53,600 0.13 ------------ ------ OIL, GAS & CONSUMABLE FUELS Encore Acquisition Co. (b).............. 1,784 85,668 0.20 Massey Energy Co. (a)................... 2,811 118,090 0.28 Other Securities (a).................... 1,409,567 3.37 ------------ ------ 1,613,325 3.85 ------------ ------ PAPER & FOREST PRODUCTS Other Securities (a).................... 229,851 0.55 ------------ ------ PERSONAL PRODUCTS Herbalife, Ltd. ........................ 2,035 82,560 0.20 Other Securities (a).................... 250,903 0.60 ------------ ------ 333,463 0.80 ------------ ------ PHARMACEUTICALS Other Securities (a).................... 458,447 1.09 ------------ ------ PROFESSIONAL SERVICES Other Securities (a).................... 435,894 1.04 ------------ ------ REAL ESTATE INVESTMENT TRUSTS Alexandria Real Estate Equities, Inc. (a).............................. 1,423 91,485 0.22 Camden Property Trust (a)............... 2,066 87,536 0.21 Duke Realty Corp. (a)................... 7,358 89,547 0.21 Hospitality Properties Trust............ 3,917 92,872 0.22 Mack-Cali Realty Corp. (a).............. 2,551 88,188 0.21 Senior Housing Properties Trust (a)..... 4,072 89,055 0.21 SL Green Realty Corp. (a)............... 2,476 124,394 0.30 The Macerich Co. (a).................... 3,151 113,278 0.27 UDR, Inc. (a)........................... 5,004 82,266 0.20 Other Securities (a).................... 2,511,013 5.99 ------------ ------ 3,369,634 8.04 ------------ ------ REAL ESTATE MANAGEMENT & DEVELOPMENT Jones Lang LaSalle, Inc. (a)............ 1,321 79,789 0.19 Other Securities (a).................... 89,640 0.21 ------------ ------ 169,429 0.40 ------------ ------ ROAD & RAIL Other Securities (a).................... 413,253 0.99 ------------ ------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT Rambus, Inc. (a)(b)..................... 3,477 84,839 0.20 Other Securities (a).................... 1,587,282 3.79 ------------ ------ 1,672,121 3.99 ------------ ------
See accompanying notes to financial statements. 104 SPDR DOW JONES SMALL CAP ETF SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ SOFTWARE MICROS Systems, Inc. (a)(b)........................... 2,652 $ 82,292 0.20% Solera Holdings, Inc. (a)............... 2,292 82,535 0.20 Other Securities (a).................... 1,429,424 3.40 ------------ ------ 1,594,251 3.80 ------------ ------ SPECIALTY RETAIL RadioShack Corp. (a).................... 4,134 80,613 0.19 Other Securities (a).................... 1,495,980 3.57 ------------ ------ 1,576,593 3.76 ------------ ------ TEXTILES, APPAREL & LUXURY GOODS Other Securities (a).................... 736,062 1.76 ------------ ------ THRIFTS & MORTGAGE FINANCE First Niagara Financial Group, Inc. .... 5,868 81,624 0.19 Other Securities (a).................... 494,829 1.18 ------------ ------ 576,453 1.37 ------------ ------ TOBACCO Other Securities (a).................... 70,029 0.17 ------------ ------ TRADING COMPANIES & DISTRIBUTORS Other Securities (a).................... 299,933 0.72 ------------ ------ WATER UTILITIES Other Securities (a).................... 69,855 0.17 ------------ ------ WIRELESS TELECOMMUNICATION SERVICES Other Securities (a).................... 118,015 0.28 ------------ ------ TOTAL COMMON STOCKS -- (Cost $40,789,441).................... 41,830,252 99.78 ------------ ------ SHORT TERM INVESTMENTS MONEY MARKET FUNDS State Street Institutional Liquid Reserves Fund (d)..................... 59,130 59,130 0.14 State Street Navigator Securities Lending Prime Portfolio (d)(e)........ 12,221,071 12,221,071 29.15 ------------ ------ TOTAL SHORT TERM INVESTMENTS -- (Cost $12,280,201)..... 12,280,201 29.29 ------------ ------ TOTAL INVESTMENTS (F) (Cost $53,069,642).......................... 54,110,453 129.07 OTHER ASSETS AND LIABILITIES............ (12,185,534) (29.07) ------------ ------ NET ASSETS.............................. $ 41,924,919 100.00 ============ ======
Other Securities are those securities, which individually are not one of the 50 largest unaffiliated issuers and which represent less then one percent of the net assets of the Fund at December 31, 2009. (a) Security, or portion thereof, was on loan at December 31, 2009. (b) Non-income producing security. (c) 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. Teton Advisors, Inc. Value is determined based on Level 3 inputs. (Note 2) (d) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (e) Investments of cash collateral for securities loaned. (f) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (Note 2)
See accompanying notes to financial statements. 105 SPDR DOW JONES SMALL CAP GROWTH ETF SUMMARY SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ COMMON STOCKS AEROSPACE & DEFENSE BE Aerospace, Inc. (a).................. 16,715 $ 392,803 0.32% Other Securities (b) ................... 2,224,268 1.83 ------------ ------ 2,617,071 2.15 ------------ ------ AIR FREIGHT & LOGISTICS Other Securities (b) ................... 568,443 0.47 ------------ ------ AIRLINES AMR Corp. (a)........................... 59,720 461,635 0.38 Continental Airlines, Inc. (Class B) (a)(b)............................. 24,287 435,223 0.36 UAL Corp. (a)(b)........................ 29,110 375,810 0.31 Other Securities (b) ................... 834,843 0.68 ------------ ------ 2,107,511 1.73 ------------ ------ AUTO COMPONENTS Lear Corp. (a).......................... 6,000 405,840 0.33 Other Securities (b) ................... 855,471 0.71 ------------ ------ 1,261,311 1.04 ------------ ------ AUTOMOBILES Other Securities ....................... 214,745 0.18 ------------ ------ BEVERAGES Other Securities (b) ................... 389,209 0.32 ------------ ------ BIOTECHNOLOGY Human Genome Sciences, Inc. (a)(b)...... 31,986 978,772 0.80 United Therapeutics Corp. (a)(b)........ 8,365 440,417 0.36 Other Securities (b) ................... 4,745,060 3.90 ------------ ------ 6,164,249 5.06 ------------ ------ BUILDING PRODUCTS Other Securities (b) ................... 564,846 0.46 ------------ ------ CAPITAL MARKETS Other Securities (b) ................... 1,760,794 1.44 ------------ ------ CHEMICALS Nalco Holding Co. (b)................... 24,238 618,311 0.51 Other Securities (b) ................... 1,229,720 1.01 ------------ ------ 1,848,031 1.52 ------------ ------ COMMERCIAL BANKS Other Securities (b) ................... 1,380,849 1.13 ------------ ------ COMMERCIAL SERVICES & SUPPLIES Other Securities (b) ................... 2,119,801 1.74 ------------ ------ COMMUNICATIONS EQUIPMENT CommScope, Inc. (a)(b).................. 16,928 449,100 0.37 Other Securities (b) ................... 4,694,786 3.85 ------------ ------ 5,143,886 4.22 ------------ ------ COMPUTERS & PERIPHERALS QLogic Corp. (a)(b)..................... 20,129 379,834 0.31 Other Securities (b) ................... 843,164 0.69 ------------ ------ 1,222,998 1.00 ------------ ------ CONSTRUCTION & ENGINEERING Other Securities (b) ................... 585,619 0.48 ------------ ------ CONSTRUCTION MATERIALS Other Securities ....................... 203,242 0.17 ------------ ------ CONSUMER FINANCE Other Securities (b) ................... 547,868 0.45 ------------ ------ CONTAINERS & PACKAGING Other Securities (b) ................... 433,404 0.36 ------------ ------ DISTRIBUTORS LKQ Corp. (a)........................... 24,603 481,973 0.40 ------------ ------ DIVERSIFIED CONSUMER SERVICES Other Securities (b) ................... 1,778,403 1.46 ------------ ------ DIVERSIFIED FINANCIAL SERVICES Other Securities (b) ................... 437,055 0.36 ------------ ------ DIVERSIFIED TELECOMMUNICATION SERVICES tw telecom, inc. (a)(b)................. 26,682 457,329 0.38 Other Securities (b) ................... 730,319 0.59 ------------ ------ 1,187,648 0.97 ------------ ------ ELECTRICAL EQUIPMENT Other Securities (b) ................... 2,485,250 2.04 ------------ ------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS Jabil Circuit, Inc. .................... 35,498 616,600 0.51 Other Securities (b) ................... 2,717,184 2.23 ------------ ------ 3,333,784 2.74 ------------ ------ ENERGY EQUIPMENT & SERVICES Dresser-Rand Group, Inc. (a)............ 14,717 465,204 0.38 Other Securities (b) ................... 4,599,113 3.78 ------------ ------ 5,064,317 4.16 ------------ ------ FOOD & STAPLES RETAILING Other Securities (b) ................... 535,480 0.44 ------------ ------ FOOD PRODUCTS Green Mountain Coffee Roasters, Inc. (a)(b)........................... 6,953 566,461 0.47 Other Securities (b) ................... 657,127 0.53 ------------ ------ 1,223,588 1.00 ------------ ------ HEALTH CARE EQUIPMENT & SUPPLIES Other Securities (b) ................... 4,717,334 3.87 ------------ ------ HEALTH CARE PROVIDERS & SERVICES MEDNAX, Inc. (a)........................ 8,243 495,487 0.41 VCA Antech, Inc. (a)(b)................. 15,147 377,463 0.31 Other Securities (b) ................... 4,870,971 3.99 ------------ ------ 5,743,921 4.71 ------------ ------ HEALTH CARE TECHNOLOGY Other Securities (b) ................... 885,312 0.73 ------------ ------ HOTELS, RESTAURANTS & LEISURE Bally Technologies, Inc. (a)(b)......... 9,756 402,825 0.33 Panera Bread Co. (Class A) (a).......... 5,605 375,367 0.31 WMS Industries, Inc. (a)................ 10,306 412,240 0.34 Other Securities (b) ................... 2,123,748 1.74 ------------ ------ 3,314,180 2.72 ------------ ------ HOUSEHOLD DURABLES Harman International Industries, Inc. .. 12,239 431,792 0.35
See accompanying notes to financial statements. 106 SPDR DOW JONES SMALL CAP GROWTH ETF SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ Jarden Corp. (b)........................ 15,411 $ 476,354 0.39% Other Securities (b) ................... 710,119 0.59 ------------ ------ 1,618,265 1.33 ------------ ------ INDEPENDENT POWER PRODUCERS & ENERGY TRADERS Other Securities (b).................... 120,710 0.10 ------------ ------ INDUSTRIAL CONGLOMERATES Other Securities (b) ................... 192,218 0.16 ------------ ------ INSURANCE Other Securities (b) ................... 394,733 0.32 ------------ ------ INTERNET & CATALOG RETAIL Other Securities (b) ................... 858,104 0.70 ------------ ------ INTERNET SOFTWARE & SERVICES Other Securities (b) ................... 2,848,006 2.34 ------------ ------ IT SERVICES Other Securities (b) ................... 2,474,423 2.03 ------------ ------ LEISURE EQUIPMENT & PRODUCTS Other Securities (b) ................... 206,568 0.17 ------------ ------ LIFE SCIENCES TOOLS & SERVICES Other Securities (b) ................... 1,122,091 0.92 ------------ ------ MACHINERY Bucyrus International, Inc. (Class A)... 13,200 744,084 0.61 Gardner Denver, Inc. (b)................ 9,279 394,822 0.32 Terex Corp. (a)(b)...................... 18,942 375,241 0.31 Other Securities (b) ................... 3,364,654 2.76 ------------ ------ 4,878,801 4.00 ------------ ------ MARINE Other Securities (b) ................... 399,101 0.33 ------------ ------ MEDIA Sirius XM Radio, Inc. (a)(b)............ 691,149 414,689 0.34 Other Securities (b) ................... 1,644,531 1.35 ------------ ------ 2,059,220 1.69 ------------ ------ METALS & MINING AK Steel Holding Corp. (b).............. 19,587 418,182 0.34 Compass Minerals International, Inc. (b).............................. 5,797 389,500 0.32 Other Securities (b) ................... 1,777,121 1.46 ------------ ------ 2,584,803 2.12 ------------ ------ MULTILINE RETAIL Other Securities (b) ................... 99,659 0.08 ------------ ------ OFFICE ELECTRONICS Other Securities (b) ................... 302,544 0.25 ------------ ------ OIL, GAS & CONSUMABLE FUELS Atlas Energy, Inc. (b).................. 13,747 414,747 0.34 Encore Acquisition Co. (a)(b)........... 9,633 462,577 0.38 Massey Energy Co. (b)................... 15,045 632,040 0.52 St. Mary Land & Exploration Co. ........ 10,901 373,250 0.31 Other Securities (b).................... 4,993,254 4.09 ------------ ------ 6,875,868 5.64 ------------ ------ PAPER & FOREST PRODUCTS Domtar Corp. (a)(b)..................... 7,579 419,953 0.35 Other Securities ...................... 113,238 0.09 ------------ ------ 533,191 0.44 ------------ ------ PERSONAL PRODUCTS Herbalife, Ltd. ........................ 10,820 438,967 0.36 NBTY, Inc. (a)(b)....................... 10,068 438,361 0.36 Other Securities (b).................... 544,682 0.45 ------------ ------ 1,422,010 1.17 ------------ ------ PHARMACEUTICALS Valeant Pharmaceuticals International (a)(b).................. 12,280 390,381 0.32 Other Securities (b) ................... 1,670,942 1.37 ------------ ------ 2,061,323 1.69 ------------ ------ PROFESSIONAL SERVICES Monster Worldwide, Inc. (a)(b)........................... 22,804 396,790 0.33 Other Securities (b) ................... 1,891,399 1.55 ------------ ------ 2,288,189 1.88 ------------ ------ REAL ESTATE INVESTMENT TRUSTS Corporate Office Properties Trust (b)... 10,529 385,677 0.32 Other Securities (b) ................... 1,269,698 1.04 ------------ ------ 1,655,375 1.36 ------------ ------ REAL ESTATE MANAGEMENT & DEVELOPMENT Jones Lang LaSalle, Inc. (b)............ 7,191 434,337 0.35 Other Securities ...................... 69,748 0.06 ------------ ------ 504,085 0.41 ------------ ------ ROAD & RAIL Other Securities (b) ................... 1,373,247 1.13 ------------ ------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT Novellus Systems, Inc. (a)(b)........... 17,536 409,290 0.34 Rambus, Inc. (a)(b)..................... 18,841 459,720 0.38 Silicon Laboratories, Inc. (a)(b)........................... 8,024 387,880 0.32 Skyworks Solutions, Inc. (a)(b)........................... 29,892 424,167 0.35 Other Securities (b) ................... 6,795,319 5.57 ------------ ------ 8,476,376 6.96 ------------ ------ SOFTWARE Informatica Corp. (a)(b)................ 15,629 404,166 0.33 MICROS Systems, Inc. (a)(b)............. 14,044 435,785 0.36 Solera Holdings, Inc. (b)............... 12,434 447,748 0.37 Other Securities (b) ................... 6,150,659 5.05 ------------ ------ 7,438,358 6.11 ------------ ------ SPECIALTY RETAIL Aeropostale, Inc. (a)(b)................ 12,023 409,383 0.34 Chico's FAS, Inc. (a)................... 31,565 443,488 0.36 Dick's Sporting Goods, Inc. (a)(b)...... 15,080 375,040 0.31 J. Crew Group, Inc. (a)................. 9,144 409,102 0.33 Other Securities (b) ................... 2,833,125 2.33 ------------ ------ 4,470,138 3.67 ------------ ------
See accompanying notes to financial statements. 107 SPDR DOW JONES SMALL CAP GROWTH ETF SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ TEXTILES, APPAREL & LUXURY GOODS Other Securities (b) ................... $ 1,713,910 1.41% ------------ ------ THRIFTS & MORTGAGE FINANCE Other Securities (b) ................... 856,630 0.70 ------------ ------ TRADING COMPANIES & DISTRIBUTORS Other Securities (b) ................... 756,172 0.62 ------------ ------ WIRELESS TELECOMMUNICATION SERVICES Other Securities (b) ................... 516,772 0.42 ------------ ------ TOTAL COMMON STOCKS -- (Cost $125,376,997)................... 121,423,012 99.67 ------------ ------ SHORT TERM INVESTMENTS MONEY MARKET FUNDS State Street Institutional Liquid Reserves Fund (c)..................... 393,857 393,857 0.32 State Street Navigator Securities Lending Prime Portfolio (c)(d)........ 35,306,432 35,306,432 28.98 ------------ ------ TOTAL SHORT TERM INVESTMENTS -- (Cost $35,700,289)..... 35,700,289 29.30 ------------ ------ TOTAL INVESTMENTS (Cost $161,077,286)... 157,123,301 128.97 OTHER ASSETS AND LIABILITIES............ (35,293,968) (28.97) ------------ ------ NET ASSETS.............................. $121,829,333 100.00 ============ ======
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 December 31, 2009. (a) Non-income producing security. (b) Security or portion thereof, was on loan at December 31, 2009. (c) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (d) Investments of cash collateral for securities loaned. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (Note 2)
See accompanying notes to financial statements. 108 SPDR DOW JONES SMALL CAP VALUE ETF SUMMARY SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ COMMON STOCKS AEROSPACE & DEFENSE Other Securities (a) ................... $ 785,320 0.79% ------------ ------ AIR FREIGHT & LOGISTICS Other Securities (a) ................... 116,225 0.12 ------------ ------ AIRLINES Other Securities (a) ................... 245,794 0.25 ------------ ------ AUTO COMPONENTS Gentex Corp. ........................... 22,637 404,070 0.41 Other Securities (a) ................... 841,578 0.84 ------------ ------ 1,245,648 1.26 ------------ ------ AUTOMOBILES Other Securities (a) ................... 56,571 0.06 ------------ ------ BEVERAGES Other Securities (a) ................... 58,494 0.06 ------------ ------ BIOTECHNOLOGY Other Securities (a) ................... 759,250 0.76 ------------ ------ BUILDING PRODUCTS Other Securities (a) ................... 927,527 0.93 ------------ ------ CAPITAL MARKETS E*TRADE Financial Corp. (a)(b).......... 306,068 535,619 0.54 Janus Capital Group, Inc. (a)........... 29,483 396,546 0.40 Teton Advisors, Inc. (Class B) (a)(b)(c).......................... 10 23 0.00 Waddell & Reed Financial, Inc. (Class A)............................. 14,084 430,125 0.43 Other Securities (a) ................... 840,239 0.85 ------------ ------ 2,202,552 2.22 ------------ ------ CHEMICALS Ashland, Inc. .......................... 10,966 434,473 0.44 RPM International, Inc. ................ 21,149 429,959 0.43 Other Securities (a) ................... 2,763,134 2.78 ------------ ------ 3,627,566 3.65 ------------ ------ COMMERCIAL BANKS Bank of Hawaii Corp. (a)................ 7,864 370,080 0.37 Huntington Bancshares, Inc. (a)......... 114,947 419,557 0.42 Marshall & Ilsley Corp. (a)............. 82,806 451,293 0.45 Other Securities (a) ................... 9,104,437 9.18 ------------ ------ 10,345,367 10.42 ------------ ------ COMMERCIAL SERVICES & SUPPLIES Other Securities (a) ................... 1,996,553 2.01 ------------ ------ COMMUNICATIONS EQUIPMENT 3Com Corp. (b).......................... 64,217 481,627 0.49 Other Securities (a) ................... 339,209 0.34 ------------ ------ 820,836 0.83 ------------ ------ COMPUTERS & PERIPHERALS Other Securities (a) ................... 931,767 0.94 ------------ ------ CONSTRUCTION & ENGINEERING Other Securities (a) ................... 854,866 0.86 ------------ ------ CONSTRUCTION MATERIALS Other Securities (a) ................... 183,416 0.18 ------------ ------ CONSUMER FINANCE Other Securities (a) ................... 528,366 0.53 ------------ ------ CONTAINERS & PACKAGING Packaging Corp. of America (a).......... 16,810 386,798 0.39 Temple-Inland, Inc. .................... 17,421 367,757 0.37 Other Securities (a) ................... 587,553 0.59 ------------ ------ 1,342,108 1.35 ------------ ------ DISTRIBUTORS Other Securities (a) ................... 73,795 0.07 ------------ ------ DIVERSIFIED CONSUMER SERVICES Service Corp. International............. 41,205 337,469 0.34 Other Securities (a) ................... 473,469 0.48 ------------ ------ 810,938 0.82 ------------ ------ DIVERSIFIED FINANCIAL SERVICES Other Securities (a) ................... 329,245 0.33 ------------ ------ DIVERSIFIED TELECOMMUNICATION SERVICES Other Securities (a) ................... 504,836 0.51 ------------ ------ ELECTRIC UTILITIES Great Plains Energy, Inc. (a)........... 22,182 430,109 0.43 Other Securities (a) ................... 2,139,259 2.16 ------------ ------ 2,569,368 2.59 ------------ ------ ELECTRICAL EQUIPMENT Other Securities (a) ................... 1,563,721 1.57 ------------ ------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS Tech Data Corp. (b)..................... 8,247 384,805 0.39 Other Securities (a) ................... 1,242,803 1.25 ------------ ------ 1,627,608 1.64 ------------ ------ ENERGY EQUIPMENT & SERVICES Other Securities (a) ................... 416,939 0.42 ------------ ------ FOOD & STAPLES RETAILING Other Securities (a) ................... 1,191,925 1.20 ------------ ------ FOOD PRODUCTS Corn Products International, Inc. ...... 12,141 354,881 0.36 Del Monte Foods Co. .................... 32,713 370,965 0.37 Other Securities (a) ................... 1,275,071 1.28 ------------ ------ 2,000,917 2.01 ------------ ------ GAS UTILITIES Other Securities (a) ................... 1,586,105 1.60 ------------ ------ HEALTH CARE EQUIPMENT & SUPPLIES Other Securities (a) ................... 1,089,282 1.10 ------------ ------ HEALTH CARE PROVIDERS & SERVICES Health Net, Inc. (a)(b)................. 16,980 395,464 0.40 Tenet Healthcare Corp. (b).............. 78,765 424,543 0.43 Other Securities (a) ................... 1,975,983 1.99 ------------ ------ 2,795,990 2.82 ------------ ------ HEALTH CARE TECHNOLOGY Other Securities (a) ................... 9,647 0.01 ------------ ------
See accompanying notes to financial statements. 109 SPDR DOW JONES SMALL CAP VALUE ETF SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ HOTELS, RESTAURANTS & LEISURE Other Securities (a) ................... $ 1,978,532 1.99% ------------ ------ HOUSEHOLD DURABLES Tupperware Brands Corp. ................ 10,243 477,016 0.48 Other Securities (a) ................... 1,331,379 1.34 ------------ ------ 1,808,395 1.82 ------------ ------ HOUSEHOLD PRODUCTS Other Securities ...................... 185,020 0.19 ------------ ------ INDUSTRIAL CONGLOMERATES Carlisle Cos., Inc. .................... 10,070 344,998 0.35 Other Securities (a) ................... 228,163 0.23 ------------ ------ 573,161 0.58 ------------ ------ INSURANCE Arthur J. Gallagher & Co. .............. 16,348 367,994 0.37 Assured Guaranty, Ltd. ................. 20,592 448,082 0.45 Validus Holdings, Ltd. ................. 15,512 417,893 0.42 Other Securities (a) ................... 6,029,743 6.07 ------------ ------ 7,263,712 7.31 ------------ ------ INTERNET & CATALOG RETAIL Other Securities (a) ................... 17,714 0.02 ------------ ------ INTERNET SOFTWARE & SERVICES Other Securities ...................... 239,179 0.24 ------------ ------ IT SERVICES Other Securities (a) ................... 1,260,733 1.27 ------------ ------ LEISURE EQUIPMENT & PRODUCTS Other Securities (a) ................... 806,602 0.81 ------------ ------ LIFE SCIENCES TOOLS & SERVICES Other Securities (a) ................... 364,072 0.37 ------------ ------ MACHINERY IDEX Corp. ............................. 13,214 411,616 0.41 Kennametal, Inc. (a).................... 13,148 340,796 0.34 Oshkosh Corp. .......................... 14,285 528,974 0.53 Snap-On, Inc. .......................... 9,466 400,033 0.40 Other Securities (a) ................... 2,828,166 2.86 ------------ ------ 4,509,585 4.54 ------------ ------ MARINE Other Securities (a) ................... 434,908 0.44 ------------ ------ MEDIA Gannett Co., Inc. (a)................... 37,692 559,726 0.56 Other Securities (a) ................... 1,249,366 1.26 ------------ ------ 1,809,092 1.82 ------------ ------ METALS & MINING Other Securities (a) ................... 1,197,080 1.21 ------------ ------ MULTI-UTILITIES Other Securities (a) ................... 622,935 0.63 ------------ ------ MULTILINE RETAIL Big Lots, Inc. (b)...................... 13,510 391,520 0.39 Other Securities (a) ................... 391,734 0.40 ------------ ------ 783,254 0.79 ------------ ------ OIL, GAS & CONSUMABLE FUELS Southern Union Co. ..................... 17,123 388,692 0.39 Other Securities (a) ................... 1,379,239 1.39 ------------ ------ 1,767,931 1.78 ------------ ------ PAPER & FOREST PRODUCTS Other Securities (a) ................... 692,999 0.70 ------------ ------ PERSONAL PRODUCTS Other Securities (a) ................... 340,390 0.34 ------------ ------ PHARMACEUTICALS Other Securities (a) ................... 412,461 0.42 ------------ ------ PROFESSIONAL SERVICES Other Securities (a) ................... 149,976 0.15 ------------ ------ REAL ESTATE INVESTMENT TRUSTS Alexandria Real Estate Equities, Inc. (a).............................. 7,163 460,509 0.46 Camden Property Trust................... 10,565 447,639 0.45 Chimera Investment Corp. (a)............ 103,163 400,272 0.40 Duke Realty Corp. (a)................... 36,759 447,357 0.45 Essex Property Trust, Inc. (a).......... 4,790 400,683 0.40 Highwoods Properties, Inc. (a).......... 11,629 387,827 0.39 Hospitality Properties Trust............ 20,089 476,310 0.48 Mack-Cali Realty Corp. ................. 12,832 443,602 0.45 Senior Housing Properties Trust......... 20,872 456,471 0.46 SL Green Realty Corp. (a)............... 12,577 631,868 0.64 The Macerich Co. (a).................... 15,386 553,127 0.56 UDR, Inc. (a)........................... 25,138 413,269 0.42 Weingarten Realty Investors............. 19,657 389,012 0.39 Other Securities (a) ................... 9,535,940 9.60 ------------ ------ 15,443,886 15.55 ------------ ------ REAL ESTATE MANAGEMENT & DEVELOPMENT Other Securities (a) ................... 381,098 0.38 ------------ ------ ROAD & RAIL Other Securities (a) ................... 787,086 0.79 ------------ ------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT Other Securities (a) ................... 669,295 0.67 ------------ ------ SOFTWARE Other Securities (a) ................... 1,154,636 1.16 ------------ ------ SPECIALTY RETAIL RadioShack Corp. (a).................... 20,500 399,750 0.40 Signet Jewelers, Ltd. (b)............... 13,961 373,038 0.38 Other Securities (a) ................... 3,049,896 3.07 ------------ ------ 3,822,684 3.85 ------------ ------ TEXTILES, APPAREL & LUXURY GOODS Hanesbrands, Inc. (a)(b)................ 15,407 371,463 0.37 Phillips-Van Heusen Corp. .............. 8,441 343,380 0.35 Other Securities (a) ................... 1,434,007 1.44 ------------ ------ 2,148,850 2.16 ------------ ------ THRIFTS & MORTGAGE FINANCE First Niagara Financial Group, Inc. .... 30,031 417,731 0.42
See accompanying notes to financial statements. 110 SPDR DOW JONES SMALL CAP VALUE ETF SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
% OF NET SECURITY DESCRIPTION SHARES VALUE ASSETS - -------------------- ------ ----- ------ Washington Federal, Inc. (a)............ 18,483 $ 357,461 0.36% Other Securities (a) ................... 1,326,551 1.34 ------------ ------ 2,101,743 2.12 ------------ ------ TOBACCO Other Securities (a) ................... 354,617 0.36 ------------ ------ TRADING COMPANIES & DISTRIBUTORS Other Securities (a) ................... 816,523 0.82 ------------ ------ WATER UTILITIES Other Securities (a) ................... 337,338 0.34 ------------ ------ WIRELESS TELECOMMUNICATION SERVICES Other Securities (a) ................... 122,022 0.12 ------------ ------ TOTAL COMMON STOCKS -- (Cost $108,720,851)................... 98,956,051 99.65 ------------ ------ RIGHTS BUILDING PRODUCTS Builders FirstSource, Inc. (a)(b) (expiring 10/01/14) (Cost $0)......... 1,023 0.00 ------------ ------ SHORT TERM INVESTMENTS MONEY MARKET FUNDS State Street Institutional Liquid Reserves Fund (d)..................... 148,330 148,330 0.15 State Street Navigator Securities Lending Prime Portfolio (d)(e)........ 21,341,361 21,341,361 21.49 ------------ ------ TOTAL SHORT TERM INVESTMENTS -- (Cost $21,489,691)..... 21,489,691 21.64 ------------ ------ TOTAL INVESTMENTS (F) (Cost $130,210,542)......................... 120,446,765 121.29 OTHER ASSETS AND LIABILITIES............ (21,142,724) (21.29) ------------ ------ NET ASSETS.............................. $ 99,304,041 100.00 ============ ======
Other Securities are those securities, which individually are not one of the 50 largest unaffiliated issuers and which represents less than one percent of the net assets of the Fund at December 31, 2009. (a) Security, or portion thereof, was on loan at December 31, 2009. (b) Non-income producing security. (c) 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. Teton Advisor's Inc. value is determined based on Level 3 inputs. (Note 2) (d) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (e) Investments of cash collateral for securities loaned. (f) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (Note 2)
See accompanying notes to financial statements. 111 SPDR DJ GLOBAL TITANS ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.7% AUSTRALIA -- 2.1% BHP Billiton Ltd. ADR (a)............... 27,577 $ 2,111,847 ------------ BRAZIL -- 1.0% Petroleo Brasileiro SA ADR.............. 25,360 1,075,010 ------------ FINLAND -- 0.8% Nokia Oyj ADR (a)....................... 61,738 793,333 ------------ FRANCE -- 5.6% BNP Paribas............................. 16,204 1,299,601 France Telecom SA ADR (a)............... 31,856 804,045 Sanofi-Aventis SA ADR................... 34,914 1,371,073 Total SA ADR............................ 35,967 2,303,327 ------------ 5,778,046 ------------ GERMANY -- 3.5% Allianz SE.............................. 7,483 935,662 E.ON AG................................. 32,880 1,378,912 Siemens AG ADR.......................... 13,437 1,232,173 ------------ 3,546,747 ------------ ITALY -- 1.0% Eni SpA ADR............................. 19,947 1,009,518 ------------ JAPAN -- 3.1% Mitsubishi UFJ Financial Group, Inc. ADR.............................. 227,871 1,121,125 Toyota Motor Corp. ADR.................. 24,477 2,059,985 ------------ 3,181,110 ------------ NETHERLANDS ANTILLES -- 1.2% Schlumberger, Ltd. ..................... 19,608 1,276,285 ------------ SOUTH KOREA -- 1.4% Samsung Electronics Co., Ltd. GDR *..... 4,028 1,409,800 ------------ SPAIN -- 4.0% Banco Santander SA ADR.................. 134,091 2,204,456 Telefonica SA ADR....................... 22,439 1,874,105 ------------ 4,078,561 ------------ SWITZERLAND -- 6.9% Nestle SA............................... 60,025 2,914,878 Novartis AG ADR......................... 40,172 2,186,562 Roche Holding AG........................ 11,550 1,964,198 ------------ 7,065,638 ------------ UNITED KINGDOM -- 11.5% BP PLC ADR.............................. 51,442 2,982,093 GlaxoSmithKline PLC ADR................. 43,040 1,818,440 HSBC Holdings PLC ADR (a)............... 57,250 3,268,402 Royal Dutch Shell PLC ADR............... 29,117 1,750,223 Vodafone Group PLC ADR.................. 86,816 2,004,581 ------------ 11,823,739 ------------ UNITED STATES -- 57.6% Abbott Laboratories..................... 25,193 1,360,170 Apple, Inc. (b)......................... 14,545 3,066,959 AT&T, Inc. ............................. 97,709 2,738,783 Bank of America Corp. .................. 142,257 2,142,390 Chevron Corp. .......................... 32,976 2,538,822 Cisco Systems, Inc. (b)................. 94,820 2,269,991 ConocoPhillips.......................... 21,340 1,089,834 Exxon Mobil Corp. ...................... 77,932 5,314,183 General Electric Co. ................... 173,650 2,627,325 Google, Inc. (Class A)(b)............... 3,956 2,452,641 Hewlett-Packard Co. .................... 38,952 2,006,418 Intel Corp. ............................ 91,282 1,862,153 International Business Machines Corp. .. 21,665 2,835,948 Johnson & Johnson....................... 45,488 2,929,882 JPMorgan Chase & Co. ................... 64,505 2,687,923 Merck & Co., Inc. ...................... 50,002 1,827,073 Microsoft Corp. ........................ 129,920 3,961,261 Oracle Corp. ........................... 62,898 1,543,517 PepsiCo, Inc. .......................... 25,644 1,559,155 Pfizer, Inc. ........................... 132,486 2,409,920 Philip Morris International, Inc. ...... 31,319 1,509,263 Procter & Gamble Co. ................... 48,144 2,918,971 The Coca-Cola Co. ...................... 34,951 1,992,207 Verizon Communications, Inc. ........... 46,860 1,552,472 Wal-Mart Stores, Inc. .................. 35,947 1,921,367 ------------ 59,118,628 ------------ TOTAL COMMON STOCKS -- (Cost $113,705,205)................... 102,268,262 ------------ SHORT TERM INVESTMENTS -- 2.6% MONEY MARKET FUNDS -- 2.6% State Street Institutional Liquid Reserves Fund (c)..................... 70,952 70,952 State Street Navigator Securities Lending Prime Portfolio (c)(d)........ 2,613,086 2,613,086 ------------ TOTAL SHORT TERM INVESTMENTS -- (Cost $2,684,038)..................... 2,684,038 ------------ TOTAL INVESTMENTS -- 102.3% (E) (Cost $116,389,243)................... 104,952,300 OTHER ASSETS AND LIABILITIES -- (2.3)%................. (2,311,504) ------------ NET ASSETS -- 100.0%.................... $102,640,796 ============
(a) Security, or portion thereof, was on loan at December 31, 2009. (b) Non-income producing security. (c) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (d) Investments of cash collateral for securities loaned. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (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 1.4% of net assets as of December 31, 2009, is considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. See accompanying notes to financial statements. 112 SPDR DOW JONES REIT ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.6% DIVERSIFIED REITS -- 9.0% Colonial Properties Trust (a)........... 321,229 $ 3,768,016 Liberty Property Trust.................. 540,830 17,311,968 PS Business Parks, Inc. ................ 91,014 4,555,251 Vornado Realty Trust (a)................ 872,592 61,029,085 Washington Real Estate Investment Trust (a)............................. 289,282 7,969,719 -------------- 94,634,039 -------------- INDUSTRIAL REITS -- 6.3% AMB Property Corp. (a).................. 708,226 18,095,174 DCT Industrial Trust, Inc. (a).......... 1,004,102 5,040,592 DuPont Fabros Technology, Inc. (a)...... 202,137 3,636,445 EastGroup Properties, Inc. (a).......... 125,717 4,812,447 First Industrial Realty Trust, Inc. (a)(b)........................... 260,864 1,364,319 First Potomac Realty Trust (a).......... 145,523 1,829,224 ProLogis (a)............................ 2,292,034 31,377,945 -------------- 66,156,146 -------------- OFFICE REITS -- 18.1% Alexandria Real Estate Equities, Inc. (a).............................. 210,045 13,503,793 BioMed Realty Trust, Inc. (a)........... 466,534 7,361,906 Boston Properties, Inc. (a)............. 671,297 45,023,890 Brandywine Realty Trust................. 622,620 7,097,868 Corporate Office Properties Trust (a)... 280,958 10,291,492 Cousins Properties, Inc. (a)............ 401,831 3,065,970 Digital Realty Trust, Inc. (a).......... 339,291 17,059,551 Douglas Emmett, Inc. (a)................ 588,126 8,380,795 Duke Realty Corp. (a)................... 1,084,169 13,194,337 Franklin Street Properties Corp. ....... 344,865 5,038,478 Highwoods Properties, Inc. (a).......... 343,199 11,445,687 HRPT Properties Trust (a)............... 1,091,630 7,062,846 Kilroy Realty Corp. (a)................. 208,913 6,407,362 Mack-Cali Realty Corp. (a).............. 379,361 13,114,510 Parkway Properties, Inc. (a)............ 104,061 2,166,550 SL Green Realty Corp. (a)............... 372,171 18,697,871 -------------- 188,912,906 -------------- RESIDENTIAL REITS -- 16.1% American Campus Communities, Inc. (a)... 255,230 7,171,963 Apartment Investment & Management Co. (Class A) (a)......................... 565,825 9,007,934 Avalonbay Communities, Inc. (a)......... 394,419 32,385,744 BRE Properties, Inc. (a)................ 263,223 8,707,417 Camden Property Trust (a)............... 310,536 13,157,410 Education Realty Trust, Inc. ........... 256,755 1,242,694 Equity Lifestyle Properties, Inc. (a)... 147,080 7,423,128 Equity Residential (a).................. 1,326,450 44,807,481 Essex Property Trust, Inc. (a).......... 141,020 11,796,323 Home Properties, Inc. (a)............... 162,521 7,753,877 Mid-America Apartment Communities, Inc. (a).............................. 139,787 6,748,917 Post Properties, Inc. (a)............... 234,735 4,600,806 Sun Communities, Inc. (a)............... 83,224 1,643,674 UDR, Inc. (a)........................... 740,062 12,166,619 -------------- 168,613,987 -------------- RETAIL REITS -- 23.8% Acadia Realty Trust (a)................. 192,075 3,240,305 Alexander's, Inc. (a)(b)................ 12,754 3,882,573 CBL & Associates Properties, Inc. ...... 667,712 6,456,775 Cedar Shopping Centers, Inc. (a)........ 251,436 1,709,765 Developers Diversified Realty Corp. (a)............................. 616,583 5,709,558 Equity One, Inc. ....................... 189,418 3,062,889 Federal Realty Investment Trust (a)..... 295,097 19,983,969 Inland Real Estate Corp. (a)............ 354,851 2,892,035 Kimco Realty Corp. (a).................. 1,945,975 26,329,042 Kite Realty Group Trust (a)............. 305,025 1,241,452 Pennsylvania Real Estate Investment Trust (a)............................. 216,062 1,827,884 Ramco-Gershenson Properties Trust (a)... 149,148 1,422,872 Regency Centers Corp. (a)............... 427,763 14,997,371 Saul Centers, Inc. ..................... 35,833 1,173,889 Simon Property Group, Inc. (a).......... 1,380,990 110,203,002 Tanger Factory Outlet Centers, Inc. (a).............................. 192,809 7,517,623 Taubman Centers, Inc. (a)............... 254,758 9,148,360 The Macerich Co. (a).................... 458,338 16,477,251 Weingarten Realty Investors (a)......... 579,209 11,462,546 -------------- 248,739,161 -------------- SPECIALIZED REITS -- 26.3% Ashford Hospitality Trust (a)(b)........ 299,161 1,388,107 DiamondRock Hospitality Co. ............ 572,824 4,851,819 Extra Space Storage, Inc. (a)........... 418,674 4,835,685 FelCor Lodging Trust, Inc. (b).......... 313,740 1,129,464 HCP, Inc. (a)........................... 1,408,523 43,016,292 Health Care REIT, Inc. ................. 595,818 26,406,654 Healthcare Realty Trust, Inc. (a)....... 284,918 6,114,340 Hersha Hospitality Trust................ 272,764 856,479 Hospitality Properties Trust............ 591,498 14,024,418 Host Hotels & Resorts, Inc. (a)(b)...... 3,077,129 35,910,096 LaSalle Hotel Properties (a)............ 306,967 6,516,909 Nationwide Health Properties, Inc. (a).. 543,569 19,122,757 Public Storage.......................... 622,690 50,718,101 Senior Housing Properties Trust......... 614,969 13,449,372 Sovran Self Storage, Inc. .............. 130,366 4,657,977 Sunstone Hotel Investors, Inc. (a)(b)... 460,930 4,093,058 U-Store-It Trust (a).................... 378,486 2,770,518 Universal Health Realty Income Trust.... 53,130 1,701,754 Ventas, Inc. (a)........................ 758,084 33,158,594 -------------- 274,722,394 -------------- TOTAL COMMON STOCKS -- (Cost $1,336,944,457)................. 1,041,778,633 --------------
See accompanying notes to financial statements. 113 SPDR DOW JONES REIT ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- SHORT TERM INVESTMENTS -- 22.7% MONEY MARKET FUNDS -- 22.7% State Street Institutional Liquid Reserves Fund (c)..................... 1,375,428 $ 1,375,428 State Street Navigator Securities Lending Prime Portfolio (c)(d)........ 235,536,466 235,536,466 -------------- TOTAL SHORT TERM INVESTMENTS -- (Cost $236,911,894)................... 236,911,894 -------------- TOTAL INVESTMENTS -- 122.3% (E) (Cost $1,573,856,351)................. 1,278,690,527 OTHER ASSETS AND LIABILITIES -- (22.3)%................ (233,361,322) -------------- NET ASSETS -- 100.0%.................... $1,045,329,205 ==============
(a) Security, or portion thereof, was on loan at December 31, 2009. (b) Non-income producing security. (c) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (d) Investments of cash collateral for securities loaned. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (Note 2)
REIT = Real Estate Investment Trust See accompanying notes to financial statements. 114 SPDR KBW BANK ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.9% ASSET MANAGEMENT & CUSTODY BANKS -- 9.6% Northern Trust Corp. ................... 349,788 $ 18,328,891 State Street Corp. (a).................. 556,527 24,231,186 The Bank of New York Mellon Corp. ...... 1,252,927 35,044,368 ------------- 77,604,445 ------------- CONSUMER FINANCE -- 3.9% Capital One Financial Corp. ............ 833,589 31,959,802 ------------- DIVERSIFIED BANKS -- 18.2% Comerica, Inc. (b)...................... 976,282 28,868,659 U.S. Bancorp............................ 2,402,083 54,070,888 Wells Fargo & Co. ...................... 2,372,193 64,025,489 ------------- 146,965,036 ------------- OTHER DIVERSIFIED FINANCIAL SERVICES -- 24.2% Bank of America Corp. .................. 4,862,662 73,231,690 Citigroup, Inc. ........................ 19,364,012 64,094,880 JPMorgan Chase & Co. ................... 1,400,959 58,377,961 ------------- 195,704,531 ------------- REGIONAL BANKS -- 40.9% BB&T Corp. (b).......................... 1,355,965 34,400,832 Commerce Bancshares, Inc. (b)........... 478,122 18,512,884 Cullen/Frost Bankers, Inc. (b).......... 342,388 17,119,400 Fifth Third Bancorp (b)................. 3,282,399 32,003,390 Huntington Bancshares, Inc. (b)......... 7,148,771 26,093,014 Keycorp (b)............................. 3,810,333 21,147,348 M&T Bank Corp. (b)...................... 549,971 36,787,560 Marshall & Ilsley Corp. (b)............. 5,400,749 29,434,082 PNC Financial Services Group, Inc. ..... 583,592 30,807,822 Regions Financial Corp. (b)............. 6,129,162 32,423,267 SunTrust Banks, Inc. (b)................ 1,639,046 33,256,243 Zions Bancorporation (b)................ 1,445,261 18,542,699 ------------- 330,528,541 ------------- THRIFTS & MORTGAGE FINANCE -- 3.1% First Niagara Financial Group, Inc. (b).............................. 463,065 6,441,234 People's United Financial, Inc. (b)..... 1,127,755 18,833,509 ------------- 25,274,743 ------------- TOTAL COMMON STOCKS -- (Cost $1,019,009,850)................. 808,037,098 ------------- SHORT TERM INVESTMENTS -- 13.6% MONEY MARKET FUNDS -- 13.6% State Street Institutional Liquid Reserves Fund (c)..................... 442,884 442,884 State Street Navigator Securities Lending Prime Portfolio (c)(d)........ 109,558,544 109,558,544 ------------- TOTAL SHORT TERM INVESTMENTS -- (Cost $110,001,428)................... 110,001,428 ------------- TOTAL INVESTMENTS -- 113.5% (E) (Cost $1,129,011,278)................. 918,038,526 OTHER ASSETS AND LIABILITIES -- (13.5)%................ (109,114,247) ------------- NET ASSETS -- 100.0%.................... $ 808,924,279 =============
(a) Affiliated issuer. (Note 3) (b) Security, or portion thereof, was on loan at December 31, 2009. (c) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (d) Investments of cash collateral for securities loaned. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (Note 2)
See accompanying notes to financial statements. 115 SPDR KBW CAPITAL MARKETS ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.9% ASSET MANAGEMENT & CUSTODY BANKS -- 28.3% Franklin Resources, Inc. ............... 30,465 $ 3,209,488 Janus Capital Group, Inc. (a)........... 290,672 3,909,539 Legg Mason, Inc. ....................... 113,076 3,410,372 SEI Investments Co. .................... 193,543 3,390,873 State Street Corp. (b).................. 140,771 6,129,169 T. Rowe Price Group, Inc. (a)........... 63,609 3,387,179 ------------ 23,436,620 ------------ INVESTMENT BANKING & BROKERAGE -- 53.3% Greenhill & Co., Inc. .................. 18,315 1,469,596 Investment Technology Group, Inc. (c)... 102,978 2,028,667 Jefferies Group, Inc. (a)(c)............ 141,151 3,349,513 Knight Capital Group, Inc. (Class A) (a)(c)............................. 141,723 2,182,534 Lazard, Ltd. (Class A).................. 90,073 3,420,072 Morgan Stanley.......................... 232,881 6,893,278 optionsXpress Holdings, Inc. ........... 174,694 2,699,022 Piper Jaffray Co., Inc. (a)(c).......... 25,182 1,274,461 Raymond James Financial, Inc. (a)....... 145,042 3,447,648 Stifel Financial Corp. (a)(c)........... 35,927 2,128,316 TD Ameritrade Holding Corp. (c)......... 160,780 3,115,916 The Charles Schwab Corp. ............... 287,326 5,407,475 The Goldman Sachs Group, Inc. .......... 39,126 6,606,034 ------------ 44,022,532 ------------ SPECIALIZED FINANCE -- 18.3% CME Group, Inc. (a)..................... 18,133 6,091,781 Interactive Brokers Group, Inc. (Class A) (a)(c)............................. 89,584 1,587,429 Intercontinental Exchange, Inc. (c)..... 27,901 3,133,282 NYSE Euronext........................... 101,156 2,559,247 The Nasdaq OMX Group, Inc. (c).......... 89,288 1,769,688 ------------ 15,141,427 ------------ TOTAL COMMON STOCKS -- (Cost $107,873,367)................... 82,600,579 ------------ SHORT TERM INVESTMENTS -- 13.0% MONEY MARKET FUNDS -- 13.0% State Street Institutional Liquid Reserves Fund (d)..................... 175,229 175,229 State Street Navigator Securities Lending Prime Portfolio (d)(e)........ 10,555,072 10,555,072 ------------ TOTAL SHORT TERM INVESTMENTS -- (Cost $10,730,301).................... 10,730,301 ------------ TOTAL INVESTMENTS -- 112.9% (F) (Cost $118,603,668)................... 93,330,880 OTHER ASSETS AND LIABILITIES -- (12.9)%................ (10,646,098) ------------ NET ASSETS -- 100.0%.................... $ 82,684,782 ============
(a) Security, or portion thereof, was on loan at December 31, 2009. (b) Affiliated issuer. (Note 3) (c) Non-income producing security. (d) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (e) Investments of cash collateral for securities loaned. (f) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (Note 2)
See accompanying notes to financial statements. 116 SPDR KBW INSURANCE ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.7% ASSET MANAGEMENT & CUSTODY BANKS -- 4.0% Ameriprise Financial, Inc. ............. 154,427 $ 5,994,856 ------------ INSURANCE BROKERS -- 6.7% AON Corp. .............................. 120,673 4,626,603 Marsh & McLennan Cos., Inc. ............ 252,058 5,565,440 ------------ 10,192,043 ------------ LIFE & HEALTH INSURANCE -- 33.8% AFLAC, Inc. ............................ 247,737 11,457,836 Lincoln National Corp. ................. 257,490 6,406,351 MetLife, Inc. .......................... 308,391 10,901,622 Principal Financial Group, Inc. ........ 257,799 6,197,488 Prudential Financial, Inc. ............. 202,829 10,092,771 Unum Group.............................. 305,424 5,961,877 ------------ 51,017,945 ------------ MULTI-LINE INSURANCE -- 11.5% Assurant, Inc. ......................... 148,828 4,387,449 Genworth Financial, Inc. (Class A) (a).. 631,168 7,163,757 Hartford Financial Services Group, Inc. .......................... 250,850 5,834,771 ------------ 17,385,977 ------------ PROPERTY & CASUALTY INSURANCE -- 36.1% Axis Capital Holdings, Ltd. ............ 184,491 5,241,389 Chubb Corp. ............................ 222,535 10,944,271 Cincinnati Financial Corp. (b).......... 174,759 4,585,676 Fidelity National Financial, Inc. (Class A)............................. 233,780 3,146,679 MBIA, Inc. (a)(b)....................... 502,728 2,000,857 The Allstate Corp. ..................... 209,812 6,302,753 The Progressive Corp. (a)............... 325,165 5,849,718 The Travelers Cos., Inc. ............... 212,061 10,573,362 XL Capital, Ltd. (Class A).............. 323,414 5,928,179 ------------ 54,572,884 ------------ REINSURANCE -- 4.8% Arch Capital Group, Ltd. (a)............ 37,357 2,672,894 Everest Re Group, Ltd. ................. 53,034 4,543,953 ------------ 7,216,847 ------------ THRIFTS & MORTGAGE FINANCE -- 2.8% MGIC Investment Corp. (a)(b)............ 739,556 4,274,634 ------------ TOTAL COMMON STOCKS -- (Cost $165,694,122)................... 150,655,186 ------------ SHORT TERM INVESTMENTS -- 3.0% MONEY MARKET FUNDS -- 3.0% State Street Institutional Liquid Reserves Fund (c)..................... 172,892 172,892 State Street Navigator Securities Lending Prime Portfolio (c)(d)........ 4,287,257 4,287,257 ------------ TOTAL SHORT TERM INVESTMENTS -- (Cost $4,460,149)..................... 4,460,149 ------------ TOTAL INVESTMENTS -- 102.7% (E) (Cost $170,154,271)................... 155,115,335 OTHER ASSETS AND LIABILITIES -- (2.7)%................. (4,075,542) ------------ NET ASSETS -- 100.0%.................... $151,039,793 ============
(a) Non-income producing security. (b) Security, or portion thereof, was on loan at December 31, 2009. (c) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (d) Investments of cash collateral for securities loaned. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (Note 2)
See accompanying notes to financial statements. 117 SPDR KBW MORTGAGE FINANCE ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.9% COMMERCIAL BANKS -- 7.2% Popular, Inc. .......................... 61,744 $ 139,541 United Community Banks, Inc. (a)........ 45,130 152,991 ---------- 292,532 ---------- DIVERSIFIED FINANCIAL SERVICES -- 3.7% PHH Corp. (a)........................... 9,510 153,206 ---------- HOUSEHOLD DURABLES -- 32.7% D.R. Horton, Inc. ...................... 25,260 274,576 KB HOME................................. 9,504 130,015 Lennar Corp. (Class A).................. 11,103 141,785 M.D.C. Holdings, Inc. .................. 4,685 145,422 Meritage Homes Corp. (a)................ 7,242 139,988 Pulte Homes, Inc. (a)................... 27,161 271,610 Ryland Group, Inc. ..................... 5,285 104,115 Toll Brothers, Inc. (a)................. 7,020 132,046 ---------- 1,339,557 ---------- INSURANCE -- 7.9% Fidelity National Financial, Inc. (Class A)............................. 10,821 145,651 First American Corp. ................... 5,334 176,609 ---------- 322,260 ---------- IT SERVICES -- 8.3% Lender Processing Services, Inc. ....... 8,396 341,381 ---------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 2.5% Avatar Holdings, Inc. (a)............... 5,884 100,087 ---------- THRIFTS & MORTGAGE FINANCE -- 37.6% Astoria Financial Corp. ................ 10,212 126,935 Capitol Federal Financial............... 3,427 107,814 Hudson City Bancorp, Inc. .............. 21,332 292,888 MGIC Investment Corp. (a)............... 10,656 61,591 NewAlliance Bancshares, Inc. ........... 12,311 147,855 New York Community Bancorp, Inc. ....... 27,822 403,697 Ocwen Financial Corp. (a)............... 15,895 152,115 TFS Financial Corp. .................... 7,472 90,710 Washington Federal, Inc. ............... 8,052 155,726 ---------- 1,539,331 ---------- TOTAL COMMON STOCKS -- (Cost $4,189,549)..................... 4,088,354 ---------- SHORT TERM INVESTMENTS -- 0.1% MONEY MARKET FUNDS -- 0.1% State Street Institutional Liquid Reserves Fund (b) (Cost $4,571)......................... 4,571 4,571 ---------- TOTAL INVESTMENTS -- 100.0% (C) (Cost $4,194,120)..................... 4,092,925 OTHER ASSETS AND LIABILITIES -- 0.0% (D)............... 62 ---------- NET ASSETS -- 100.0%.................... $4,092,987 ==========
(a) Non-income producing security. (b) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (c) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (Note 2) (d) Amount represents less then 0.05% of net assets.
See accompanying notes to financial statements. 118 SPDR KBW REGIONAL BANKING ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.8% REGIONAL BANKS -- 92.0% Associated Ban-Corp. (a)................ 694,036 $ 7,641,336 BancorpSouth, Inc. (a).................. 380,357 8,923,175 Bank of Hawaii Corp. (a)................ 246,629 11,606,361 BOK Financial Corp. .................... 184,998 8,791,105 Boston Private Financial Holdings, Inc. (a).............................. 1,639,439 9,459,563 Cathay General Bancorp (a).............. 874,188 6,600,119 City Holding Co. (a).................... 267,284 8,641,292 City National Corp. (a)................. 221,027 10,078,831 Columbia Banking System, Inc. (a)....... 550,036 8,899,583 Community Bank System, Inc. (a)......... 472,843 9,130,598 CVB Financial Corp. (a)................. 1,397,601 12,075,273 East West Bancorp, Inc. ................ 565,341 8,932,388 F.N.B. Corp. (a)........................ 1,521,104 10,328,296 First Commonwealth Financial Corp. (a).. 1,121,485 5,214,905 First Financial Bancorp (a)............. 632,198 9,204,803 First Horizon National Corp. (b)........ 591,161 7,921,564 First Midwest Bancorp, Inc. (a)......... 765,861 8,340,226 FirstMerit Corp. ....................... 549,806 11,073,093 Fulton Financial Corp. (a).............. 1,336,003 11,649,946 Glacier Bancorp, Inc. .................. 498,789 6,843,385 Hancock Holding Co. (a)................. 205,586 9,002,611 IBERIABANK Corp. ....................... 164,464 8,849,808 MB Financial, Inc. (a).................. 575,502 11,348,899 National Penn Bancshares, Inc. (a)...... 1,239,143 7,174,638 Old National Bancorp (a)................ 909,587 11,306,166 PacWest Bancorp (a)..................... 554,996 11,183,169 Pinnacle Financial Partners, Inc. (a)(b)........................... 719,553 10,232,044 PrivateBancorp, Inc. (a)................ 494,028 4,431,431 Prosperity Bancshares, Inc. (a)......... 246,660 9,982,330 S&T Bancorp, Inc. (a)................... 385,627 6,559,515 Signature Bank (b)...................... 334,014 10,655,047 Sterling Bancshares, Inc. (a)........... 1,141,775 5,857,306 Susquehanna Bancshares, Inc. (a)........ 1,090,149 6,420,978 SVB Financial Group (a)(b).............. 262,084 10,926,282 Synovus Financial Corp. (a)............. 4,225,446 8,662,164 TCF Financial Corp. (a)................. 539,796 7,352,022 Texas Capital Bancshares, Inc. (a)(b)... 637,382 8,897,853 Trustmark Corp. (a)..................... 421,454 9,499,573 UMB Financial Corp. .................... 185,135 7,285,062 Umpqua Holdings Corp. (a)............... 796,594 10,682,326 United Bankshares, Inc. (a)............. 359,949 7,188,182 Valley National Bancorp (a)............. 714,300 10,093,059 Westamerica Bancorporation (a).......... 149,085 8,254,836 Whitney Holding Corp. (a)............... 1,043,276 9,504,244 Wilmington Trust Corp. (a).............. 570,678 7,042,166 Wintrust Financial Corp. (a)............ 298,157 9,180,254 ------------- 408,927,807 ------------- THRIFTS & MORTGAGE FINANCE -- 7.8% Brookline Bancorp, Inc. ................ 842,995 8,354,081 Hudson City Bancorp, Inc. .............. 560,385 7,694,086 Provident Financial Services, Inc. ..... 806,985 8,594,390 Webster Financial Corp. (a)............. 842,816 10,004,226 ------------- 34,646,783 ------------- TOTAL COMMON STOCKS -- (Cost $575,937,784)................... 443,574,590 ------------- SHORT TERM INVESTMENTS -- 27.5% MONEY MARKET FUNDS -- 27.5% State Street Institutional Liquid Reserves Fund (c)..................... 340,501 340,501 State Street Navigator Securities Lending Prime Portfolio (c)(d)........ 122,029,837 122,029,837 ------------- TOTAL SHORT TERM INVESTMENTS -- (Cost $122,370,338)................... 122,370,338 ------------- TOTAL INVESTMENTS -- 127.3% (E) (Cost $698,308,122)................... 565,944,928 OTHER ASSETS AND LIABILITIES -- (27.3)%................ (121,248,404) ------------- NET ASSETS -- 100.0%.................... $ 444,696,524 =============
(a) Security, or portion thereof, was on loan at December 31, 2009. (b) Non-income producing security. (c) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (d) Investments of cash collateral for securities loaned. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (Note 2)
See accompanying notes to financial statements. 119 SPDR MORGAN STANLEY TECHNOLOGY ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.9% COMMUNICATIONS EQUIPMENT -- 17.0% Cisco Systems, Inc. (a)................. 305,676 $ 7,317,883 Juniper Networks, Inc. (a).............. 273,242 7,287,364 Nokia Oyj ADR (b)....................... 572,754 7,359,889 QUALCOMM, Inc. ......................... 159,991 7,401,184 Research In Motion, Ltd. (a)............ 101,870 6,880,300 Telefonaktiebolaget LM Ericsson (Class B) ADR (b)............................ 787,910 7,240,893 ------------ 43,487,513 ------------ COMPUTERS & PERIPHERALS -- 20.1% Apple, Inc. (a)......................... 36,585 7,714,313 Dell, Inc. (a).......................... 518,957 7,452,222 EMC Corp. (a)........................... 411,225 7,184,101 Hewlett-Packard Co. .................... 138,464 7,132,281 International Business Machines Corp. .. 55,743 7,296,759 NetApp, Inc. (a)........................ 214,575 7,379,234 Sun Microsystems, Inc. (a).............. 764,232 7,160,854 ------------ 51,319,764 ------------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.9% Flextronics International, Ltd. (a)..... 1,011,398 7,393,319 ------------ HOUSEHOLD DURABLES -- 2.8% Sony Corp, ADR.......................... 249,000 7,221,000 ------------ INTERNET & CATALOG RETAIL -- 2.9% Amazon.com, Inc. (a).................... 55,374 7,448,910 ------------ INTERNET SOFTWARE & SERVICES -- 8.7% eBay, Inc. (a).......................... 314,578 7,405,166 Google, Inc. (Class A) (a).............. 11,988 7,432,320 Yahoo!, Inc. (a)(b)..................... 441,815 7,413,656 ------------ 22,251,142 ------------ IT SERVICES -- 8.4% Accenture PLC (Class A)................. 172,373 7,153,479 Automatic Data Processing, Inc. ........ 168,352 7,208,833 Infosys Technologies, Ltd. ADR.......... 130,357 7,204,831 ------------ 21,567,143 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 17.3% Analog Devices, Inc. ................... 230,570 7,281,401 Applied Materials, Inc. ................ 524,308 7,308,854 Broadcom Corp. (Class A) (a)............ 226,240 7,115,248 Intel Corp. ............................ 363,810 7,421,724 NVIDIA Corp. (a)........................ 423,930 7,919,012 Texas Instruments, Inc. ................ 280,118 7,299,875 ------------ 44,346,114 ------------ SOFTWARE -- 19.8% Activision Blizzard, Inc. (a)........... 644,690 7,162,506 Adobe Systems, Inc. (a)................. 190,995 7,024,796 Intuit, Inc. (a)........................ 233,611 7,174,194 Microsoft Corp. ........................ 235,779 7,188,902 Oracle Corp. ........................... 292,991 7,189,999 Salesforce.com, Inc. (a)(b)............. 105,067 7,750,792 SAP AG ADR.............................. 153,891 7,203,638 ------------ 50,694,827 ------------ TOTAL COMMON STOCKS -- (Cost $240,651,022)................... 255,729,732 ------------ SHORT TERM INVESTMENTS -- 4.3% MONEY MARKET FUNDS -- 4.3% State Street Institutional Liquid Reserves Fund (c)..................... 362,970 362,970 State Street Navigator Securities Lending Prime Portfolio (c)(d)........ 10,772,745 10,772,745 ------------ TOTAL SHORT TERM INVESTMENTS -- (Cost $11,135,715).................... 11,135,715 ------------ TOTAL INVESTMENTS -- 104.2% (E) (Cost $251,786,737)................... 266,865,447 ------------ OTHER ASSETS AND LIABILITIES -- (4.2)%................. (10,822,308) ------------ NET ASSETS -- 100.0%.................... $256,043,139 ============
(a) Non-income producing security. (b) Security, or portion thereof, was on loan at December 31, 2009. (c) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (d) Investment of cash collateral for securities loaned. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (Note 2)
ADR = American Depositary Receipt. See accompanying notes to financial statements. 120 SPDR S&P DIVIDEND ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.7% BEVERAGES -- 4.4% Brown-Forman Corp. (Class B) (a)........ 307,832 $ 16,490,560 PepsiCo, Inc. .......................... 308,786 18,774,189 The Coca-Cola Co. ...................... 339,712 19,363,584 -------------- 54,628,333 -------------- CAPITAL MARKETS -- 1.2% Eaton Vance Corp. (a)................... 491,562 14,948,400 -------------- CHEMICALS -- 6.7% Air Products & Chemicals, Inc. ......... 181,715 14,729,818 PPG Industries, Inc. ................... 413,036 24,179,127 RPM International, Inc. (a)............. 1,395,199 28,364,396 The Valspar Corp. (a)................... 580,884 15,765,192 -------------- 83,038,533 -------------- COMMERCIAL BANKS -- 1.3% Commerce Bancshares, Inc. .............. 422,660 16,365,395 -------------- COMMERCIAL SERVICES & SUPPLIES -- 5.0% ABM Industries, Inc. (a)................ 927,811 19,168,575 Pitney Bowes, Inc. (a).................. 1,859,102 42,313,162 -------------- 61,481,737 -------------- COMPUTERS & PERIPHERALS -- 2.4% Diebold, Inc. (a)....................... 1,055,997 30,043,115 -------------- CONTAINERS & PACKAGING -- 3.8% Bemis Co., Inc. ........................ 688,880 20,425,292 Sonoco Products Co. .................... 892,841 26,115,599 -------------- 46,540,891 -------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 3.2% CenturyTel, Inc. (a).................... 1,102,403 39,918,013 -------------- ELECTRICAL EQUIPMENT -- 1.8% Emerson Electric Co. ................... 528,385 22,509,201 -------------- FOOD & STAPLES RETAILING -- 2.5% SUPERVALU, Inc. (a)..................... 2,403,313 30,546,108 -------------- FOOD PRODUCTS -- 1.2% Hormel Foods Corp. ..................... 393,784 15,140,995 -------------- GAS UTILITIES -- 9.2% National Fuel Gas Co. (a)............... 407,416 20,370,800 Northwest Natural Gas Co. (a)........... 596,733 26,876,854 Piedmont Natural Gas Co., Inc. (a)...... 1,259,389 33,688,656 WGL Holdings, Inc. (a).................. 977,639 32,790,012 -------------- 113,726,322 -------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.5% Teleflex, Inc. (a)...................... 336,922 18,156,727 -------------- HOTELS, RESTAURANTS & LEISURE -- 1.9% McDonald's Corp. ....................... 385,047 24,042,335 -------------- HOUSEHOLD DURABLES -- 3.0% Leggett & Platt, Inc. (a)............... 1,835,821 37,450,748 -------------- HOUSEHOLD PRODUCTS -- 5.3% Kimberly-Clark Corp. ................... 382,652 24,378,759 Procter & Gamble Co. ................... 309,792 18,782,689 The Clorox Co. ......................... 372,682 22,733,602 -------------- 65,895,050 -------------- INDUSTRIAL CONGLOMERATES -- 1.6% 3M Co. ................................. 231,876 19,169,189 -------------- INSURANCE -- 7.7% AFLAC, Inc. ............................ 364,796 16,871,815 Chubb Corp. (a)......................... 391,336 19,245,905 Cincinnati Financial Corp. (a).......... 1,671,880 43,870,131 RLI Corp. (a)........................... 280,600 14,941,950 -------------- 94,929,801 -------------- IT SERVICES -- 1.7% Automatic Data Processing, Inc. ........ 489,123 20,944,247 -------------- MACHINERY -- 4.3% Dover Corp. ............................ 415,514 17,289,538 Pentair, Inc. (a)....................... 517,708 16,721,968 The Stanley Works (a)................... 381,967 19,675,120 -------------- 53,686,626 -------------- MEDIA -- 1.7% The McGraw-Hill Cos., Inc. (a).......... 632,606 21,198,627 -------------- MULTI-UTILITIES -- 13.8% Black Hills Corp. (a)................... 1,647,614 43,875,961 Consolidated Edison, Inc. (a)........... 849,494 38,592,512 Integrys Energy Group, Inc. (a)......... 1,164,587 48,901,008 Vectren Corp. (a)....................... 1,619,620 39,972,222 -------------- 171,341,703 -------------- OIL, GAS & CONSUMABLE FUELS -- 1.2% Exxon Mobil Corp. ...................... 207,948 14,179,974 -------------- PHARMACEUTICALS -- 6.2% Abbott Laboratories..................... 375,164 20,255,104 Eli Lilly & Co. (a)..................... 986,983 35,245,163 Johnson & Johnson....................... 332,208 21,397,517 -------------- 76,897,784 -------------- SPECIALTY RETAIL -- 1.3% The Sherwin-Williams Co. (a)............ 256,028 15,784,126 -------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.9% V. F. Corp. ............................ 313,691 22,974,729 -------------- TOBACCO -- 2.2% Universal Corp. (a)..................... 607,152 27,692,203 -------------- WATER UTILITIES -- 1.7% American States Water Co. (a)........... 599,445 21,226,347 -------------- TOTAL COMMON STOCKS -- (Cost $1,101,826,547)................. 1,234,457,259 --------------
See accompanying notes to financial statements. 121 SPDR S&P DIVIDEND ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- SHORT TERM INVESTMENTS -- 14.6% MONEY MARKET FUNDS -- 14.6% State Street Institutional Liquid Reserves Fund (b)..................... 1,705,274 $ 1,705,274 State Street Navigator Securities Lending Prime Portfolio (b)(c)........ 179,515,594 179,515,594 -------------- TOTAL SHORT TERM INVESTMENTS -- (Cost $181,220,868)................... 181,220,868 -------------- TOTAL INVESTMENTS -- 114.3% (D) (Cost $1,283,047,415)................. 1,415,678,127 OTHER ASSETS AND LIABILITIES -- (14.3)%................ (177,334,927) -------------- NET ASSETS -- 100.0%.................... $1,238,343,200 ==============
(a) Security, or portion thereof, was on loan at December 31, 2009. (b) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (c) Investments of cash collateral for securities loaned. (d) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (Note 2)
See accompanying notes to financial statements. 122 SPDR S&P BIOTECH ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.9% BIOTECHNOLOGY -- 99.9% Acorda Therapeutics, Inc. (a)........... 602,955 $ 15,206,525 Alexion Pharmaceuticals, Inc. (a)....... 312,230 15,243,069 Alkermes, Inc. (b)...................... 1,652,100 15,546,261 Amgen, Inc. (a)......................... 259,405 14,674,541 Amylin Pharmaceuticals, Inc. (a)(b)..... 1,044,632 14,823,328 Biogen Idec, Inc. (a)(b)................ 300,163 16,058,720 BioMarin Pharmaceutical, Inc. (a)(b).... 852,091 16,027,832 Celgene Corp. (a)....................... 276,822 15,413,449 Cephalon, Inc. (a)(b)................... 247,784 15,464,199 Cubist Pharmaceuticals, Inc. (a)........ 803,351 15,239,568 Dendreon Corp. (a)(b)................... 577,031 15,164,375 Exelixis, Inc. (a)(b)................... 1,909,058 14,069,757 Genzyme Corp. (a)....................... 293,625 14,390,561 Gilead Sciences, Inc. (a)............... 314,574 13,614,763 Human Genome Sciences, Inc. (a)(b)...... 519,321 15,891,223 Incyte Corp. (a)(b)..................... 1,820,957 16,588,918 Isis Pharmaceuticals, Inc. (a)(b)....... 1,463,327 16,242,930 Medivation, Inc. (a)(b)................. 424,406 15,978,886 Myriad Genetics, Inc. (a)............... 600,738 15,679,262 Onyx Pharmaceuticals, Inc. (a)(b)....... 488,611 14,335,847 OSI Pharmaceuticals, Inc. (a)(b)........ 420,285 13,041,444 Regeneron Pharmaceuticals, Inc. (a)..... 770,267 18,625,056 Savient Pharmaceuticals, Inc. (a)....... 1,145,468 15,589,819 Seattle Genetics, Inc. (a)(b)........... 1,670,995 16,977,309 United Therapeutics Corp. (a)(b)........ 312,683 16,462,760 Vertex Pharmaceuticals, Inc. (a)(b)..... 366,001 15,683,143 ------------ 402,033,545 ------------ TOTAL COMMON STOCKS -- (Cost $422,489,943)................... 402,033,545 ------------ SHORT TERM INVESTMENTS -- 21.4% MONEY MARKET FUNDS -- 21.4% State Street Institutional Liquid Reserves Fund (c)..................... 100 100 State Street Navigator Securities Lending Prime Portfolio (c)(d)........ 85,959,309 85,959,309 ------------ TOTAL SHORT TERM INVESTMENTS -- (Cost $85,959,409).................... 85,959,409 ------------ TOTAL INVESTMENTS -- 121.3% (E) (Cost $508,449,352)................... 487,992,954 OTHER ASSETS AND LIABILITIES -- (21.3)%................ (85,775,832) ------------ NET ASSETS -- 100.0%.................... $402,217,122 ============
(a) Non-income producing security. (b) Security, or portion thereof, was on loan at December 31, 2009. (c) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (d) Investments of cash collateral for securities loaned. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (Note 2)
See accompanying notes to financial statements. 123 SPDR S&P HOMEBUILDERS ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.9% BUILDING PRODUCTS -- 34.5% Ameron International Corp. (a).......... 451,586 $ 28,657,648 Armstrong World Industries, Inc. (a)(b)........................... 631,979 24,602,942 Lennox International, Inc. (a).......... 677,777 26,460,414 Masco Corp. (a)......................... 1,876,854 25,919,354 Owens Corning, Inc. (a)(b).............. 1,027,585 26,347,279 Quanex Building Products Corp. (a)...... 1,475,953 25,046,922 Simpson Manufacturing Co., Inc. (a)..... 1,051,284 28,269,027 Universal Forest Products, Inc. (a)..... 683,675 25,166,077 USG Corp. (a)(b)........................ 1,832,238 25,742,944 ------------- 236,212,607 ------------- HOME FURNISHINGS -- 11.3% Leggett & Platt, Inc. (a)............... 1,255,827 25,618,871 Mohawk Industries, Inc. (a)(b).......... 551,170 26,235,692 Tempur-Pedic International, Inc. (a)(b)........................... 1,085,836 25,658,305 ------------- 77,512,868 ------------- HOME FURNISHING RETAIL -- 11.0% Aaron's, Inc. (a)....................... 923,100 25,597,563 Bed Bath & Beyond, Inc. (a)(b).......... 665,885 25,723,137 Williams-Sonoma, Inc. (a)............... 1,157,510 24,053,058 ------------- 75,373,758 ------------- HOME IMPROVEMENT RETAIL -- 11.0% Lowe's Cos., Inc. ...................... 1,064,975 24,909,766 The Home Depot, Inc. ................... 892,600 25,822,918 The Sherwin-Williams Co. (a)............ 405,291 24,986,190 ------------- 75,718,874 ------------- HOMEBUILDING -- 32.1% D.R. Horton, Inc. (a)................... 2,579,190 28,035,795 KB HOME (a)............................. 1,916,486 26,217,529 Lennar Corp. (Class A).................. 2,146,126 27,406,029 M.D.C. Holdings, Inc. (a)............... 882,415 27,390,162 NVR, Inc. (a)(b)........................ 38,857 27,616,058 Pulte Homes, Inc. (a)(b)................ 2,880,144 28,801,440 Ryland Group, Inc. (a).................. 1,405,086 27,680,194 Toll Brothers, Inc. (a)(b).............. 1,427,873 26,858,291 ------------- 220,005,498 ------------- TOTAL COMMON STOCKS -- (Cost $697,266,312)................... 684,823,605 ------------- SHORT TERM INVESTMENTS -- 28.3% MONEY MARKET FUNDS -- 28.3% State Street Institutional Liquid Reserves Fund (c)..................... 281,697 281,697 State Street Navigator Securities Lending Prime Portfolio (c)(d)........ 193,779,554 193,779,554 ------------- TOTAL SHORT TERM INVESTMENTS -- (Cost $194,061,251)................... 194,061,251 ------------- TOTAL INVESTMENTS -- 128.2% (E) (Cost $891,327,563)................... 878,884,856 OTHER ASSETS AND LIABILITIES -- (28.2)%................ (193,449,686) ------------- NET ASSETS -- 100.0%.................... $ 685,435,170 =============
(a) Security, or portion thereof, was on loan at December 31, 2009. (b) Non-income producing security. (c) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (d) Investments of cash collateral for securities loaned. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (Note 2)
See accompanying notes to financial statements. 124 SPDR S&P METALS & MINING ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.8% ALUMINUM -- 4.2% Alcoa, Inc. (a)......................... 2,314,327 $ 37,306,951 -------------- COAL & CONSUMABLE FUELS -- 25.3% Alpha Natural Resources, Inc. (b)....... 857,320 37,190,542 Arch Coal, Inc. (a)..................... 1,646,986 36,645,438 CONSOL Energy, Inc. .................... 766,878 38,190,524 Massey Energy Co. (a)................... 892,127 37,478,255 Patriot Coal Corp. (a)(b)............... 2,629,198 40,647,401 Peabody Energy Corp. ................... 796,117 35,992,450 -------------- 226,144,610 -------------- DIVERSIFIED METALS & MINING -- 16.2% Compass Minerals International, Inc. (a).............................. 500,151 33,605,146 Freeport-McMoRan Copper & Gold, Inc. (b).............................. 440,149 35,339,563 Titanium Metals Corp. (b)............... 3,198,781 40,048,738 Walter Energy, Inc. .................... 470,954 35,467,546 -------------- 144,460,993 -------------- GOLD -- 7.0% Newmont Mining Corp. ................... 660,606 31,253,270 Royal Gold, Inc. (a).................... 675,202 31,802,014 -------------- 63,055,284 -------------- PRECIOUS METALS & MINERALS -- 7.1% Coeur d'Alene Mines Corp. (a)(b)........ 1,751,879 31,638,935 Hecla Mining Co. (a)(b)................. 5,193,753 32,097,393 -------------- 63,736,328 -------------- STEEL -- 40.0% AK Steel Holding Corp. ................. 1,647,680 35,177,968 Allegheny Technologies, Inc. (a)........ 929,364 41,607,626 Carpenter Technology Corp. ............. 1,296,940 34,952,533 Cliffs Natural Resources, Inc. (a)...... 784,457 36,155,623 Commercial Metals Co. .................. 1,997,151 31,255,413 Nucor Corp. ............................ 800,238 37,331,103 Reliance Steel & Aluminum Co. .......... 800,673 34,605,087 Schnitzer Steel Industries, Inc. (Class A)(a).......................... 709,567 33,846,346 Steel Dynamics, Inc. ................... 1,855,729 32,883,518 United States Steel Corp. (a)........... 717,238 39,534,159 -------------- 357,349,376 -------------- TOTAL COMMON STOCKS -- (Cost $824,657,483)................... 892,053,542 -------------- SHORT TERM INVESTMENTS -- 14.8% MONEY MARKET FUNDS -- 14.8% State Street Institutional Liquid Reserves Fund (c)..................... 880,772 880,772 State Street Navigator Securities Lending Prime Portfolio (c)(d)........ 131,029,305 131,029,305 -------------- TOTAL SHORT TERM INVESTMENTS -- (Cost $131,910,077)................... 131,910,077 -------------- TOTAL INVESTMENTS -- 114.6% (E) (Cost $956,567,560)................... 1,023,963,619 OTHER ASSETS AND LIABILITIES -- (14.6)%................ (130,683,643) -------------- NET ASSETS -- 100.0%.................... $ 893,279,976 ==============
(a) Security, or portion thereof, was on loan at December 31, 2009. (b) Non-income producing security. (c) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (d) Investments of cash collateral for securities loaned. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (Note 2)
See accompanying notes to financial statements. 125 SPDR S&P OIL & GAS EQUIPMENT & SERVICES ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.9% OIL & GAS DRILLING -- 32.7% Atwood Oceanics, Inc. (a)(b)............ 350,745 $ 12,574,208 Diamond Offshore Drilling, Inc. (b)..... 125,498 12,351,513 Helmerich & Payne, Inc. (b)............. 314,957 12,560,485 Nabors Industries, Ltd. (a)(b).......... 594,543 13,014,546 Patterson-UTI Energy, Inc. (b).......... 793,830 12,185,291 Pride International, Inc. (a)(b)........ 381,084 12,160,390 Rowan Cos., Inc. (a).................... 520,209 11,777,532 Unit Corp. (a)(b)....................... 303,580 12,902,150 ------------ 99,526,115 ------------ OIL & GAS EQUIPMENT & SERVICES -- 67.2% Baker Hughes, Inc. (b).................. 306,855 12,421,490 BJ Services Co. ........................ 661,100 12,296,460 Cameron International Corp. (a)......... 317,680 13,279,024 Dresser-Rand Group, Inc. (a)............ 410,378 12,972,049 Dril-Quip, Inc. (a)..................... 228,202 12,888,849 Exterran Holdings, Inc. (a)(b).......... 581,108 12,464,767 FMC Technologies, Inc. (a)(b)........... 221,295 12,799,703 Halliburton Co. ........................ 428,913 12,905,992 National-Oilwell Varco, Inc. ........... 274,380 12,097,414 Oceaneering International, Inc. (a)..... 221,784 12,978,800 Oil States International, Inc. (a)(b)... 336,587 13,224,503 Schlumberger, Ltd. ..................... 196,470 12,788,232 SEACOR Holdings, Inc. (a)(b)............ 162,768 12,411,060 Smith International, Inc. (b)........... 458,461 12,456,385 Superior Energy Services, Inc. (a)...... 550,588 13,373,783 Tidewater, Inc. (b)..................... 272,883 13,084,740 ------------ 204,443,251 ------------ TOTAL COMMON STOCKS -- (Cost $290,323,430)................... 303,969,366 ------------ SHORT TERM INVESTMENTS -- 13.6% MONEY MARKET FUNDS -- 13.6% State Street Institutional Liquid Reserves Fund (c)..................... 212,256 212,256 State Street Navigator Securities Lending Prime Portfolio (c)(d)........ 41,222,229 41,222,229 ------------ TOTAL SHORT TERM INVESTMENTS -- (Cost $41,434,485).................... 41,434,485 ------------ TOTAL INVESTMENTS -- 113.5% (E) (Cost $331,757,915)................... 345,403,851 OTHER ASSETS AND LIABILITIES -- (13.5)%................ (41,178,464) ------------ NET ASSETS -- 100.0%.................... $304,225,387 ============
(a) Non-income producing security. (b) Security, or portion thereof, was on loan at December 31, 2009. (c) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (d) Investments of cash collateral for securities loaned. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (Note 2)
See accompanying notes to financial statements. 126 SPDR S&P OIL & GAS EXPLORATION & PRODUCTION ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.9% INTEGRATED OIL & GAS -- 11.2% Chevron Corp. .......................... 151,125 $ 11,635,114 ConocoPhillips.......................... 230,838 11,788,896 Exxon Mobil Corp. ...................... 161,451 11,009,344 Occidental Petroleum Corp. ............. 154,654 12,581,103 ------------ 47,014,457 ------------ OIL & GAS EXPLORATION & PRODUCTION -- 71.3% Anadarko Petroleum Corp. ............... 202,634 12,648,414 Apache Corp. ........................... 124,239 12,817,738 Cabot Oil & Gas Corp. .................. 306,566 13,363,212 Chesapeake Energy Corp. ................ 510,335 13,207,470 Cimarex Energy Co. (a).................. 247,115 13,089,682 Concho Resources, Inc. (b).............. 284,891 12,791,606 Denbury Resources, Inc. (b)............. 882,427 13,059,920 Devon Energy Corp. ..................... 183,939 13,519,516 Encore Acquisition Co. (b).............. 256,318 12,308,390 EOG Resources, Inc. .................... 136,554 13,286,704 EXCO Resources, Inc. ................... 613,421 13,022,928 Forest Oil Corp. (a)(b)................. 584,716 13,009,931 Newfield Exploration Co. (b)............ 285,461 13,767,784 Noble Energy, Inc. ..................... 176,756 12,588,562 Petrohawk Energy Corp. (b).............. 530,106 12,717,243 Pioneer Natural Resources Co. (a)....... 288,463 13,895,263 Plains Exploration & Production Co. (b)............................... 447,960 12,390,574 Range Resources Corp. (a)............... 270,939 13,506,309 Southwestern Energy Co. (b)............. 283,589 13,668,990 St. Mary Land & Exploration Co. ........ 353,527 12,104,764 Ultra Petroleum Corp. (b)............... 252,355 12,582,420 Whiting Petroleum Corp. (a)(b).......... 184,604 13,189,956 XTO Energy, Inc. ....................... 283,268 13,180,460 ------------ 299,717,836 ------------ OIL & GAS REFINING & MARKETING -- 17.4% Frontier Oil Corp. ..................... 1,024,734 12,337,797 Holly Corp. (a)......................... 476,446 12,211,311 Sunoco, Inc. (a)........................ 449,754 11,738,580 Tesoro Corp. (a)........................ 913,191 12,373,738 Valero Energy Corp. .................... 707,659 11,853,288 World Fuel Services Corp. (a)........... 465,504 12,470,852 ------------ 72,985,566 ------------ TOTAL COMMON STOCKS -- (Cost $447,271,309)................... 419,717,859 ------------ SHORT TERM INVESTMENTS -- 9.6% MONEY MARKET FUNDS -- 9.6% State Street Institutional Liquid Reserves Fund (c)..................... 187,768 187,768 State Street Navigator Securities Lending Prime Portfolio (c)(d)........ 40,270,878 40,270,878 ------------ TOTAL SHORT TERM INVESTMENTS -- (Cost $40,458,646).................... 40,458,646 ------------ TOTAL INVESTMENTS -- 109.5% (E) (Cost $487,729,955)................... 460,176,505 OTHER ASSETS AND LIABILITIES -- (9.5)%................. (40,111,895) ------------ NET ASSETS -- 100.0%.................... $420,064,610 ============
(a) Security, or portion thereof, was on loan at December 31, 2009. (b) Non-income producing security. (c) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (d) Investments of cash collateral for securities loaned. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (Note 2)
See accompanying notes to financial statements. 127 SPDR S&P PHARMACEUTICALS ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.9% PHARMACEUTICALS -- 99.9% Abbott Laboratories (a)................. 50,537 $ 2,728,493 Allergan, Inc. (a)...................... 45,017 2,836,521 Auxilium Pharmaceuticals, Inc. (a)(b)... 83,558 2,505,069 Bristol-Myers Squibb Co. (a)............ 105,321 2,659,355 Eli Lilly & Co. (a)..................... 77,704 2,774,810 Endo Pharmaceuticals Holdings, Inc. (b).............................. 136,892 2,807,655 Forest Laboratories, Inc. (a)(b)........ 86,787 2,786,731 Impax Laboratories, Inc. (b)............ 216,176 2,939,994 Johnson & Johnson....................... 41,902 2,698,908 King Pharmaceuticals, Inc. (a)(b)....... 234,048 2,871,769 Medicis Pharmaceutical Corp. (Class A) (a)................................ 110,011 2,975,797 Merck & Co., Inc. ...................... 73,301 2,678,418 Mylan, Inc. (a)(b)...................... 146,722 2,704,086 Nektar Therapeutics (a)(b).............. 295,360 2,752,755 Par Pharmaceutical Cos., Inc. (a)(b).... 110,684 2,995,109 Perrigo Co. (a)......................... 68,620 2,733,821 Pfizer, Inc. ........................... 148,486 2,700,960 Salix Pharmaceuticals, Ltd. (a)(b)...... 117,887 2,994,330 Valeant Pharmaceuticals International (a)(b).................. 86,209 2,740,584 ViroPharma, Inc. (a)(b)................. 352,898 2,960,814 VIVUS, Inc. (a)(b)...................... 318,188 2,924,148 Watson Pharmaceuticals, Inc. (b)........ 70,984 2,811,676 XenoPort, Inc. (a)(b)................... 168,255 3,122,813 ------------ TOTAL COMMON STOCKS -- (Cost $54,034,592).................... 64,704,616 ------------ SHORT TERM INVESTMENTS -- 26.6% MONEY MARKET FUNDS -- 26.6% State Street Institutional Liquid Reserves Fund (c)..................... 5,307 5,307 State Street Navigator Securities Lending Prime Portfolio (c)(d)........ 17,229,650 17,229,650 ------------ TOTAL SHORT TERM INVESTMENTS -- (Cost $17,234,957).................... 17,234,957 ------------ TOTAL INVESTMENTS -- 126.5% (E) (Cost $71,269,549).................... 81,939,573 OTHER ASSETS AND LIABILITIES -- (26.5)%................ (17,178,273) ------------ NET ASSETS -- 100.0%.................... $ 64,761,300 ============
(a) Security, or portion thereof, was on loan at December 31, 2009. (b) Non-income producing security. (c) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (d) Investments of cash collateral for securities loaned. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (Note 2)
See accompanying notes to financial statements. 128 SPDR S&P RETAIL ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.9% APPAREL RETAIL -- 32.5% Abercrombie & Fitch Co. (Class A) (a)... 195,811 $ 6,824,013 Aeropostale, Inc. (a)(b)................ 215,555 7,339,648 American Eagle Outfitters, Inc. ........ 425,428 7,223,767 AnnTaylor Stores Corp. (b).............. 438,730 5,984,277 Chico's FAS, Inc. (b)................... 494,004 6,940,756 Collective Brands, Inc. (b)............. 303,039 6,900,198 Foot Locker, Inc. (a)................... 710,411 7,913,979 Guess ?, Inc. .......................... 154,506 6,535,604 Gymboree Corp. (a)(b)................... 165,520 7,198,465 J. Crew Group, Inc. (b)................. 153,048 6,847,368 Jos. A. Bank Clothiers, Inc. (a)(b)..... 171,030 7,215,756 Limited Brands, Inc. (a)................ 369,753 7,114,048 Ross Stores, Inc. (a)................... 158,275 6,759,925 The Buckle, Inc. (a).................... 243,651 7,134,101 The Children's Place Retail Stores, Inc. (a)(b)........................... 236,640 7,811,486 The Dress Barn, Inc. (b)................ 326,990 7,553,469 The Gap, Inc. (a)....................... 321,313 6,731,507 The Mens Wearhouse, Inc. (a)............ 326,990 6,886,409 The TJX Cos., Inc. ..................... 184,399 6,739,784 Urban Outfitters, Inc. (a)(b)........... 205,105 7,176,624 ------------- 140,831,184 ------------- AUTOMOTIVE RETAIL -- 11.5% Advance Auto Parts, Inc. ............... 170,766 6,912,608 AutoNation, Inc. (a)(b)................. 375,852 7,197,566 AutoZone, Inc. (b)...................... 44,223 6,990,329 CarMax, Inc. (a)(b)..................... 328,599 7,968,526 Group 1 Automotive, Inc. (a)(b)......... 253,639 7,190,666 O'Reilly Automotive, Inc. (b)........... 183,661 7,001,157 Penske Automotive Group, Inc. (a)(b).... 428,484 6,504,387 ------------- 49,765,239 ------------- CATALOG RETAIL -- 1.8% HSN, Inc. (a)(b)........................ 384,152 7,756,029 ------------- COMPUTER & ELECTRONICS RETAIL -- 4.6% Best Buy Co., Inc. (a).................. 155,469 6,134,807 GameStop Corp. (Class A) (a)(b)......... 317,498 6,965,906 RadioShack Corp. (a).................... 354,203 6,906,958 ------------- 20,007,671 ------------- DEPARTMENT STORES -- 8.0% J. C. Penney Co., Inc. (a).............. 241,037 6,413,995 Kohl's Corp. (b)........................ 124,023 6,688,560 Macy's, Inc. ........................... 405,215 6,791,403 Nordstrom, Inc. (a)..................... 191,305 7,189,242 Sears Holdings Corp. (a)(b)............. 92,817 7,745,579 ------------- 34,828,779 ------------- DRUG RETAIL -- 3.1% CVS Caremark Corp. ..................... 213,977 6,892,199 Walgreen Co. ........................... 177,692 6,524,850 ------------- 13,417,049 ------------- FOOD RETAIL -- 9.6% Casey's General Stores, Inc. (a)........ 225,310 7,191,895 Ruddick Corp. (a)....................... 261,144 6,719,235 Safeway, Inc. (a)....................... 317,514 6,759,873 SUPERVALU, Inc. (a)..................... 515,088 6,546,769 The Kroger Co. (a)...................... 344,484 7,072,257 Whole Foods Market, Inc. (a)(b)......... 258,714 7,101,699 ------------- 41,391,728 ------------- GENERAL MERCHANDISE STORES -- 4.8% Dollar Tree Stores, Inc. (b)............ 140,965 6,808,610 Family Dollar Stores, Inc. (a).......... 244,649 6,808,582 Target Corp. (a)........................ 146,974 7,109,132 ------------- 20,726,324 ------------- HYPERMARKETS & SUPER CENTERS -- 3.1% Costco Wholesale Corp. (a).............. 116,236 6,877,684 Wal-Mart Stores, Inc. .................. 126,154 6,742,931 ------------- 13,620,615 ------------- INTERNET RETAIL -- 6.3% Amazon.com, Inc. (b).................... 51,359 6,908,813 Expedia, Inc. (a)(b).................... 268,781 6,910,360 Netflix, Inc. (a)(b).................... 123,817 6,827,269 Priceline.com, Inc. (a)(b).............. 31,189 6,814,796 ------------- 27,461,238 ------------- SPECIALTY STORES -- 14.6% Barnes & Noble, Inc. (a)................ 351,594 6,704,898 Dick's Sporting Goods, Inc. (a)(b)...... 300,262 7,467,516 Jo-Ann Stores, Inc. (a)(b).............. 209,743 7,601,086 Office Depot, Inc. (a)(b)............... 1,023,551 6,601,904 OfficeMax, Inc. (b)..................... 522,189 6,626,579 PetSmart, Inc. (a)...................... 256,771 6,853,218 Staples, Inc. .......................... 282,041 6,935,388 Tiffany & Co. (a)....................... 163,611 7,035,273 Tractor Supply Co. (a)(b)............... 138,073 7,312,346 ------------- 63,138,208 ------------- TOTAL COMMON STOCKS -- (Cost $435,270,091)................... 432,944,064 ------------- SHORT TERM INVESTMENTS -- 24.3% MONEY MARKET FUNDS -- 24.3% State Street Institutional Liquid Reserves Fund (c)..................... 176,314 176,314 State Street Navigator Securities Lending Prime Portfolio (c)(d)........ 105,238,087 105,238,087 ------------- TOTAL SHORT TERM INVESTMENTS -- (Cost $105,414,401)................... 105,414,401 ------------- TOTAL INVESTMENTS -- 124.2% (E) (Cost $540,684,492)................... 538,358,465 OTHER ASSETS AND LIABILITIES -- (24.2)%................ (104,955,781) ------------- NET ASSETS -- 100.0%.................... $ 433,402,684 =============
(a) Security, or portion thereof, was on loan at December 31, 2009. (b) Non-income producing security. (c) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (d) Investments of cash collateral for securities loaned. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (Note 2)
See accompanying notes to financial statements. 129 SPDR S&P SEMICONDUCTOR ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.9% SEMICONDUCTORS -- 99.9% Advanced Micro Devices, Inc. (a)........ 418,988 $ 4,055,804 Altera Corp. ........................... 161,367 3,651,735 Analog Devices, Inc. ................... 118,745 3,749,967 Atheros Communications, Inc. (a)(b)..... 116,575 3,991,528 Atmel Corp. (a)......................... 859,833 3,963,830 Broadcom Corp. (Class A) (a)............ 119,984 3,773,497 Cree, Inc. (a).......................... 70,921 3,997,817 Cypress Semiconductor Corp. (a)......... 348,102 3,675,957 Intel Corp. ............................ 181,919 3,711,148 International Rectifier Corp. (a)(b).... 178,865 3,956,494 Intersil Corp. (Class A)................ 257,860 3,955,572 Linear Technology Corp. (b)............. 128,695 3,930,345 LSI Logic Corp. (a)..................... 649,910 3,905,959 Maxim Integrated Products, Inc. ........ 191,409 3,885,603 Microchip Technology, Inc. (b).......... 128,106 3,722,760 Micron Technology, Inc. (a)(b).......... 418,961 4,424,228 National Semiconductor Corp. (b)........ 245,743 3,774,613 NVIDIA Corp. (a)........................ 237,983 4,445,523 ON Semiconductor Corp. (a).............. 446,400 3,932,784 PMC-Sierra, Inc. (a)(b)................. 418,482 3,624,054 Rambus, Inc. (a)(b)..................... 168,322 4,107,057 Silicon Laboratories, Inc. (a).......... 80,338 3,883,539 Skyworks Solutions, Inc. (a)............ 264,988 3,760,180 Texas Instruments, Inc. ................ 141,190 3,679,411 Xilinx, Inc. ........................... 152,719 3,827,138 ------------ TOTAL COMMON STOCKS -- (Cost $77,618,610).................... 97,386,543 ------------ SHORT TERM INVESTMENTS -- 11.0% MONEY MARKET FUNDS -- 11.0% State Street Institutional Liquid Reserves Fund (c)..................... 74,414 74,414 State Street Navigator Securities Lending Prime Portfolio (c)(d)........ 10,610,940 10,610,940 ------------ TOTAL SHORT TERM INVESTMENTS -- (Cost $10,685,354).................... 10,685,354 ------------ TOTAL INVESTMENTS -- 110.9% (E) (Cost $88,303,964).................... 108,071,897 OTHER ASSETS AND LIABILITIES -- (10.9)%................ (10,618,225) ------------ NET ASSETS -- 100.0%.................... $ 97,453,672 ============
(a) Non-income producing security. (b) Security, or portion thereof, was on loan at December 31, 2009. (c) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (d) Investments of cash collateral for securities loaned. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 input. (Note 2)
See accompanying notes to financial statements. 130 SPDR WELLS FARGO PREFERRED STOCK ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- PREFERRED STOCKS -- 99.7% CAPITAL MARKETS -- 8.2% Morgan Stanley Series A, 4.00% (a)...... 10,658 $ 233,304 Morgan Stanley Capital Trust III, 6.25%............................ 8,556 181,387 Morgan Stanley Capital Trust IV, 6.25%.. 6,004 126,804 Morgan Stanley Capita1 Trust V, 5.75%... 4,854 95,381 Morgan Stanley Capital Trust VI, 6.60%.. 8,382 188,176 Morgan Stanley Capital Trust VII, 6.60%............................ 10,658 233,836 Morgan Stanley Capital Trust VIII, 6.25%........................... 8,006 171,729 The Bank of New York Capital V Series F, 5.95%.............................. 3,696 92,067 The Goldman Sachs Group, Inc. Series A, 3.75% (a)............................. 7,920 173,686 The Goldman Sachs Group, Inc. Series B, 6.20%.............................. 8,448 213,228 The Goldman Sachs Group, Inc. Series D, 4.00% (a)............................. 14,207 324,488 ----------- 2,034,086 ----------- COMMERCIAL BANKS -- 35.7% BAC Capital Trust I, 7.00%.............. 6,072 133,038 BAC Capital Trust II, 7.00%............. 9,505 211,581 BAC Capital Trust III, 7.00%............ 5,280 116,952 BAC Capital Trust IV, 5.88%............. 3,961 75,299 BAC Capital Trust V, 6.00%.............. 5,466 106,642 BAC Capital Trust VIII, 6.00%........... 5,280 100,954 BAC Capital Trust X Series B, 6.25%..... 9,505 184,302 BAC Capital Trust XII, 6.88%............ 9,109 197,665 Bank One Capital Trust VI, 7.20%........ 5,544 139,321 Barclays Bank PLC Series 2, 6.63%....... 6,774 137,715 Barclays Bank PLC Series 3, 7.10%....... 12,411 274,159 Barclays Bank PLC Series 4, 7.75%....... 10,405 247,951 Barclays Bank PLC Series 5, 8.13%....... 23,954 595,496 BB&T Capital Trust V, 8.95% (a)......... 4,752 127,639 BB&T Capital Trust VI, 9.60%............ 6,072 172,566 BB&T Capital Trust VII, 8.10%........... 3,432 88,717 Fifth Third Capital Trust V, 7.25% (a).. 6,072 124,172 Fifth Third Capital Trust VI, 7.25% (a)............................. 9,109 185,732 Fifth Third Capital Trust VII, 8.88% (a)............................. 4,225 103,597 Fleet Capital Trust VIII, 7.20%......... 5,639 125,017 HSBC Holdings PLC, Series A, 6.20%...... 12,581 269,108 HSBC Holdings PLC, 8.13%................ 19,084 498,092 HSBC USA, Inc. Series F, 3.50% (a)...... 4,483 95,488 HSBC USA, Inc. Series G, 4.00% (a)...... 3,206 69,891 HSBC USA, Inc. Series H, 6.50%.......... 3,206 78,194 KeyCorp Capital IX, 6.75%............... 3,496 67,473 KeyCorp Capital X, 8.00%................ 5,999 133,178 M&T Capital Trust IV, 8.50%............. 3,696 97,870 National Bank of Greece SA, 9.00%....... 6,601 141,921 National City Capital Trust II, 6.63%... 7,920 177,012 National City Capital Trust III, 6.63%.. 5,280 114,840 National City Capital Trust IV, 8.00%... 5,466 136,541 PNC Capital Trust D, 6.13%.............. 3,164 71,348 PNC Capital Trust E, 7.75%.............. 4,752 120,606 Santander Finance Preferred SA Unipersonal, 10.50%................... 8,713 247,275 Suntrust Cap IX, 7.88%.................. 7,234 175,569 UBS Preferred Funding Trust IV Series D, 0.93% (a)............................. 3,164 47,460 US Bancorp Series B, 3.50% (a).......... 10,561 216,817 US Bancorp Series D, 7.88%.............. 5,280 146,784 US Bancorp Capital VI, 5.75%............ 2,897 61,996 US Bancorp Capital VII, 5.88%........... 3,164 68,532 US Bancorp Capital VIII Series 1, 6.35%.............................. 3,961 91,697 US Bancorp Capital X, 6.50%............. 5,280 126,034 US Bancorp Capital XI, 6.60%............ 8,079 195,431 US Bancorp Capital XII, 6.30%........... 5,650 129,272 Wachovia Capital Trust IV, 6.38%........ 9,241 204,781 Wachovia Capital Trust IX, 6.38%........ 8,448 185,940 Wachovia Capital Trust X, 7.85%......... 8,844 224,372 Wells Fargo & Co. Series J, 8.00%....... 14,651 376,531 Wells Fargo Capital IX, 5.63%........... 3,142 66,076 Wells Fargo Capital Trust IV, 7.00%..... 8,318 209,364 Wells Fargo Capital VII, 5.85%.......... 3,142 70,098 Wells Fargo Capital XI, 6.25%........... 6,383 143,554 Wells Fargo Capital XII, 7.88%.......... 10,045 257,855 Wells Fargo Capital XIV, 8.63%.......... 4,385 119,667 ----------- 8,885,182 ----------- CONSUMER FINANCE -- 0.9% Capital One Capital II, 7.50%........... 3,643 88,124 MBNA Capital Series D, 8.13%............ 3,168 77,426 SLM Corp., 6.00%........................ 3,164 49,453 ----------- 215,003 ----------- DIVERSIFIED FINANCIAL SERVICES -- 29.9% Citigroup Capital VII, 7.13%............ 7,833 163,631 Citigroup Capital VIII, 6.95%........... 9,558 198,329 Citigroup Capital IX, 6.00%............. 7,427 135,691 Citigroup Capital X, 6.10%.............. 3,217 59,000 Citigroup Capital XI, 6.00%............. 4,044 72,185 Citigroup Capital XIV, 6.88%............ 2,689 52,812 Citigroup Capital XV, 6.50%............. 5,500 102,465 Citigroup Capital XVI, Series W, 6.45%.. 8,353 155,199 Citigroup Capital XVII, Series E 6.35%.. 6,148 111,894 Citigroup Capital XIX, 7.25%............ 4,995 101,898 Citigroup Capital XX, 7.88%............. 3,890 86,747 Countrywide Capital IV, 6.75%........... 5,280 112,834 Countrywide Capital V, 7.00%............ 15,739 340,749 Credit Suisse Guernsey, 7.90%........... 16,055 412,292 Deutsche Bank Capital Funding Trust VIII, 6.38%........................... 4,958 111,952 Deutsche Bank Capital Funding Trust IX, 6.63%............................. 9,462 198,607 Deutsche Bank Capital Funding Trust X, 7.35%.............................. 6,618 152,015 Deutsche Bank Contingent Capital Trust II, 6.55%............................. 6,577 136,670 Deutsche Bank Contingent Capital Trust III, 7.60%............................ 16,242 385,423 Deutsche Bank Contingent Capital Trust V, 8.05%.............................. 10,442 263,034 General Electric Capital Corp., 5.88%... 7,511 176,509 General Electric Capital Corp., 6.00%... 9,981 241,341 General Electric Capital Corp., 6.05%... 6,008 145,153 General Electric Capital Corp., 6.10%... 9,981 239,344 General Electric Capital Corp., 6.50%... 2,521 64,159 General Electric Capital Corp., 6.63%... 9,981 249,924 General Electric Capital Corp. Series A, 6.45%.............................. 4,990 125,149
See accompanying notes to financial statements. 131 SPDR WELLS FARGO PREFERRED STOCK ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- HSBC Finance Corp., 6.00%............... 2,591 $ 63,480 HSBC Finance Corp., 6.36%............... 4,970 102,581 HSBC Finance Corp., 6.88%............... 2,554 56,418 JP Morgan Chase & Co., 7.00%............ 10,381 293,159 JP Morgan Chase Capital X, 7.00%........ 5,751 146,363 JP Morgan Chase Capital XI Series K, 5.88%.............................. 6,221 137,671 JP Morgan Chase Capital XII, 6.25%...... 2,291 54,824 JP Morgan Chase Capital XIV, 6.20%...... 3,460 83,213 JP Morgan Chase Capital XVI, 6.35%...... 2,900 70,267 JP Morgan Chase Capital XIX Series S, 6.63%.............................. 3,251 80,625 JP Morgan Chase Capital XXIV Series X, 6.88%.............................. 4,020 101,505 JP Morgan Chase Capital XXVI, 8.00% (a)............................. 10,465 281,090 Merrill Lynch Capital Trust I Series K, 6.45% (a)............................. 11,088 212,224 Merrill Lynch Capital Trust II, 6.45% (a)............................. 10,033 191,630 Merrill Lynch Capital Trust III, 7.00%.. 7,920 162,756 Merrill Lynch Capital Trust III, 7.38% (a)............................. 7,920 172,418 Merrill Lynch Capital Trust IV, 7.12%... 4,225 88,725 Merrill Lynch Capital Trust V Series F, 7.28%.............................. 8,976 191,638 Repsol International Capital Ltd. Series A, 7.45%.............................. 7,393 186,673 Tennessee Valley Authority Series A, 4.50% (a)............................. 3,150 82,278 Tennessee Valley Authority Series D, 4.73% (a)............................. 3,696 96,355 ----------- 7,450,899 ----------- ELECTRIC UTILITIES -- 3.7% Alabama Power Co. Series B, 5.88%....... 2,631 67,143 American Electric Power, 8.75%.......... 3,326 93,427 BGE Capital Trust II, 6.20%............. 2,631 58,540 FPC Capital I Series A, 7.10%........... 3,168 80,721 FPL Group Capital Trust I, 5.88%........ 3,168 80,848 FPL Group Capital, Inc. Series A, 6.60%.............................. 3,696 94,950 FPL Group Capital, Inc. Series E, 7.45%.............................. 3,696 99,570 FPL Group Capital, Inc. Series F, 8.75%.............................. 3,961 114,037 Georgia Power Co. Series D, 6.38%....... 3,168 84,427 Georgia Power Series X, 5.70%........... 2,631 65,959 PPL Energy Supply LLC, 7.00%............ 2,640 69,617 ----------- 909,239 ----------- INSURANCE -- 9.5% Aegon NV, 6.38%......................... 10,561 188,619 Aegon NV, 6.50%......................... 5,280 94,723 Aegon NV, 6.88%......................... 11,088 219,432 Aegon NV, 7.25%......................... 5,808 109,655 Aegon NV Series 1, 4.00% (a)............ 2,631 44,832 American International Group, Inc., 7.70% (a)............................. 11,617 179,715 American International Group, Inc. Series A-4, 6.45% (a)................. 7,920 103,752 Axis Capital Holdings Series A, 7.25%... 2,631 59,987 Everest RE Capital Trust II Series B, 6.20%.............................. 3,379 69,337 Lincoln National Corp., 6.75%........... 2,897 66,225 MetLife, Inc. Series A, 4.00% (a)....... 6,336 151,747 MetLife, Inc. Series B, 6.50%........... 15,791 378,984 PartnerRe Ltd. Series C, 6.75%.......... 3,056 71,816 Principal Financial Group, Inc. Series B, 6.52% (a).......................... 2,631 55,251 Prudential Financial, Inc., 9.00%....... 9,716 257,960 Prudential PLC, 6.50% (a)............... 3,168 71,343 Prudential PLC, 6.75%................... 2,631 63,144 RenaissanceRe Holdings Ltd., Series C, 6.08%.............................. 2,631 51,489 RenaissanceRe Holdings Ltd. Series D, 6.60%.............................. 3,164 66,444 W.R. Berkley Capital Trust II, 6.75%.... 2,631 60,303 ----------- 2,364,758 ----------- MEDIA -- 3.9% CBS Corp., 6.75%........................ 7,393 155,918 CBS Corp., 7.25%........................ 3,538 80,313 Comcast Corp., 6.63%.................... 6,072 146,821 Comcast Corp., 7.00%.................... 3,643 91,913 Comcast Corp. Series B, 7.00%........... 11,831 296,248 Viacom, Inc., 6.85%..................... 7,920 189,684 ----------- 960,897 ----------- MULTI-UTILITIES -- 1.2% Dominion Resources Inc. Series A, 8.38%.............................. 7,234 198,212 Xcel Energy, Inc., 7.60%................ 4,225 112,385 ----------- 310,597 ----------- REAL ESTATE INVESTMENT TRUSTS -- 4.5% Duke Realty Corp. Series O, 8.38%....... 3,084 75,805 Harris Preferred Capital Corp. Series A, 7.38%.............................. 2,631 60,145 Hospitality Properties Trust Series C, 7.00%.............................. 3,354 71,306 Kimco Realty Corp. Series G, 7.75%...... 4,858 119,264 Public Storage Series I, 7.25%.......... 5,466 139,383 Public Storage Series K, 7.25%.......... 4,486 112,599 Public Storage Series M, 6.63%.......... 5,033 117,218 Vornado Realty LP 7.88%................. 4,858 118,195 Vornado Realty Trust Series I, 6.63%.... 2,845 62,704 Wachovia Preferred Funding Corp. Series A, 7.25%.............................. 7,920 176,061 Weingarten Realty Investors Series F, 6.50%.............................. 3,696 76,692 ----------- 1,129,372 ----------- WIRELESS TELECOMMUNICATION SERVICES -- 2.2% AT&T, Inc., 6.38%....................... 12,623 336,908 Telephone & Data Systems, 7.60%......... 5,280 129,677 US Cellular Corp., 7.50%................ 3,485 86,812 ----------- 553,397 ----------- TOTAL PREFERRED STOCKS -- (Cost $24,148,256).................... 24,813,430 -----------
See accompanying notes to financial statements. 132 SPDR WELLS FARGO PREFERRED STOCK ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- SHORT TERM INVESTMENTS -- 0.4% MONEY MARKET FUNDS -- 0.4% State Street Institutional Liquid Reserves Fund (b) (Cost $88,390)........................ 88,390 $ 88,390 ----------- TOTAL INVESTMENTS -- 100.1% (C) (Cost $24,236,646).................... 24,901,820 OTHER ASSETS AND LIABILITIES -- (0.1)%................. (15,211) ----------- NET ASSETS -- 100.0%.................... $24,886,609 ===========
(a) Variable rate security. The rate shown reflects the rate as of December 31, 2009. (b) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (c) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (Note 2)
See accompanying notes to financial statements. 133 SPDR SERIES TRUST STATEMENTS OF ASSETS AND LIABILITIES DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SPDR SPDR SPDR DOW JONES DOW JONES DOW JONES LARGE CAP TOTAL MARKET LARGE CAP GROWTH ETF ETF ETF --------------- --------------- --------------- ASSETS Investments in securities of unaffiliated issuers, at value* (Note 2)........................... $183,400,551 $46,474,967 $188,152,846 Investments in securities of affiliated issuers, at value (Note 3)................................. 13,600,320 13,196,105 7,911,221 ------------ ----------- ------------ Total Investments.................. 197,000,871 59,671,072 196,064,067 Receivable for investments sold....... 89 -- 99,505 Dividends receivable (Note 2)......... 254,604 65,371 176,720 ------------ ----------- ------------ TOTAL ASSETS..................... 197,255,564 59,736,443 196,340,292 ------------ ----------- ------------ LIABILITIES Payable upon return of securities loaned............................. 12,569,817 13,064,779 6,723,757 Payable for investments purchased..... -- -- -- Accrued advisory fee (Note 3)......... 31,150 7,882 31,758 Accrued trustees fee (Note 3)......... 836 209 851 Other liabilities..................... 4,529 3,578 -- ------------ ----------- ------------ TOTAL LIABILITIES................ 12,606,332 13,076,448 6,756,366 ------------ ----------- ------------ NET ASSETS....................... $184,649,232 $46,659,995 $189,583,926 ============ =========== ============ NET ASSETS CONSIST OF: Paid in capital (Note 4).............. $196,119,182 $40,312,251 $249,215,805 Undistributed (distribution in excess of) net investment income.......... 30,137 3,687 19,414 Accumulated net realized gain (loss) on investments and foreign currency transactions....................... (15,416,827) (1,200,017) (50,391,357) Net unrealized appreciation (depreciation) on: Investments........................... 3,916,740 7,544,074 (9,259,936) ------------ ----------- ------------ NET ASSETS....................... $184,649,232 $46,659,995 $189,583,926 ============ =========== ============ NET ASSET VALUE PER SHARE Net asset value per share............. $ 82.06 $ 51.84 $ 49.24 ============ =========== ============ Shares outstanding (unlimited amount authorized, $0.01 par value)....... 2,250,138 900,000 3,850,130 ============ =========== ============ COST OF INVESTMENTS: Unaffiliated issuers.................. $179,444,288 $38,934,463 $197,214,205 Affiliated issuers.................... 13,639,843 13,192,535 8,109,798 ------------ ----------- ------------ Total cost of investments............. $193,084,131 $52,126,998 $205,324,003 ============ =========== ============ * Includes investments in securities on loan, at value..... $ 12,116,679 $12,625,481 $ 6,500,471 ============ =========== ============
See accompanying notes to financial statements. 134 - --------------------------------------------------------------------------------
SPDR SPDR SPDR SPDR DOW JONES SPDR SPDR DOW JONES DOW JONES DOW JONES MID CAP DOW JONES DOW JONES SMALL CAP LARGE CAP MID CAP GROWTH MID CAP SMALL GROWTH VALUE ETF ETF ETF VALUE ETF CAP ETF ETF --------------- --------------- --------------- --------------- --------------- --------------- $106,203,125 $45,415,083 $76,797,684 $18,180,002 $41,830,252 $121,423,012 1,981,973 13,272,111 22,297,858 5,284,201 12,280,201 35,700,289 ------------ ----------- ----------- ----------- ----------- ------------ 108,185,098 58,687,194 99,095,542 23,464,203 54,110,453 157,123,301 -- 104,858 318,902 -- -- -- 191,590 50,469 36,746 34,972 47,987 42,696 ------------ ----------- ----------- ----------- ----------- ------------ 108,376,688 58,842,521 99,451,190 23,499,175 54,158,440 157,165,997 ------------ ----------- ----------- ----------- ----------- ------------ 1,841,327 13,216,330 22,198,914 5,265,707 12,221,071 35,306,432 22,567 102,807 313,902 -- -- -- 18,160 9,237 19,612 3,826 7,235 25,240 506 186 278 70 143 554 3,987 5,560 -- 4,367 5,072 4,438 ------------ ----------- ----------- ----------- ----------- ------------ 1,886,547 13,334,120 22,532,706 5,273,970 12,233,521 35,336,664 ------------ ----------- ----------- ----------- ----------- ------------ $106,490,141 $45,508,401 $76,918,484 $18,225,205 $41,924,919 $121,829,333 ============ =========== =========== =========== =========== ============ $141,722,126 $43,150,035 $75,607,329 $21,567,291 $41,909,006 $137,812,421 40,231 (13,714) (17,887) (24,005) (305) (55) (24,346,875) (3,244,798) (9,079,931) (3,927,726) (1,024,593) (12,029,048) (10,925,341) 5,616,878 10,408,973 609,645 1,040,811 (3,953,985) ------------ ----------- ----------- ----------- ----------- ------------ $106,490,141 $45,508,401 $76,918,484 $18,225,205 $41,924,919 $121,829,333 ============ =========== =========== =========== =========== ============ $ 57.54 $ 47.90 $ 59.17 $ 45.56 $ 52.40 $ 84.01 ============ =========== =========== =========== =========== ============ 1,850,870 950,000 1,300,000 400,000 800,023 1,450,107 ============ =========== =========== =========== =========== ============ $117,128,466 $39,798,205 $66,388,711 $17,570,357 40,789,441 $125,376,997 1,981,973 13,272,111 22,297,858 5,284,201 12,280,201 35,700,289 ------------ ----------- ----------- ----------- ----------- ------------ $119,110,439 $53,070,316 $88,686,569 $22,854,558 $53,069,642 $161,077,286 ============ =========== =========== =========== =========== ============ $ 1,774,891 $12,739,402 $21,446,451 $ 5,062,090 $11,733,837 $ 33,911,040 ============ =========== =========== =========== =========== ============
135 SPDR SERIES TRUST STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SPDR DOW SPDR SPDR JONES SMALL DJ GLOBAL DOW JONES CAP VALUE TITANS REIT ETF ETF ETF --------------- --------------- --------------- ASSETS Investments in securities of unaffiliated issuers, at value* (Note 2)........................... $ 98,957,074 $102,268,262 $1,041,778,633 Investments in securities of affiliated issuers, at value (Note 3)................................. 21,489,691 2,684,038 236,911,894 ------------ ------------ -------------- Total Investments.................. 120,446,765 104,952,300 1,278,690,527 Foreign currency, at value............ -- 114,354 -- Cash.................................. -- -- 834 Receivable for Fund shares sold in- kind............................... -- -- -- Receivable for investments sold....... -- -- -- Receivable for foreign taxes recoverable........................ -- 1,444 -- Dividends receivable (Note 2)......... 225,058 229,584 3,715,105 ------------ ------------ -------------- TOTAL ASSETS..................... 120,671,823 105,297,682 1,282,406,466 ------------ ------------ -------------- LIABILITIES Payable upon return of securities loaned............................. 21,341,361 2,613,086 235,536,466 Payable for investments purchased..... -- -- 1,318,868 Accrued advisory fee (Note 3)......... 20,695 43,382 216,748 Accrued trustees fee (Note 3)......... 428 418 5,179 Other liabilities..................... 5,298 -- -- ------------ ------------ -------------- TOTAL LIABILITIES................ 21,367,782 2,656,886 237,077,261 ------------ ------------ -------------- NET ASSETS....................... $ 99,304,041 $102,640,796 $1,045,329,205 ============ ============ ============== NET ASSETS CONSIST OF: Paid in capital (Note 4).............. $121,013,495 $140,780,213 $1,685,231,535 Undistributed (distribution in excess of) net investment income.......... (18,532) (46,613) (13,108,684) Accumulated net realized gain (loss) on investments and foreign currency transactions....................... (11,927,145) (26,655,611) (331,627,822) Net unrealized appreciation (depreciation) on: Investments........................ (9,763,777) (11,436,943) (295,165,824) Foreign currency................... -- (250) -- ------------ ------------ -------------- NET ASSETS....................... $ 99,304,041 $102,640,796 $1,045,329,205 ============ ============ ============== NET ASSET VALUE PER SHARE Net asset value per share............. $ 56.70 $ 57.00 $ 49.23 ============ ============ ============== Shares outstanding (unlimited amount authorized, $0.01 par value)....... 1,751,340 1,800,583 21,231,892 ============ ============ ============== COST OF INVESTMENTS: Unaffiliated issuers.................. $108,720,851 $113,705,205 $1,336,944,457 Affiliated issuers.................... 21,489,691 2,684,038 236,911,894 ------------ ------------ -------------- Total cost of investments............. $130,210,542 $116,389,243 $1,573,856,351 ============ ============ ============== Foreign currency, at cost............. $ -- $ 116,047 $ -- ============ ============ ============== * Includes investments in securities on loan, at value..... $ 20,443,860 $ 2,543,400 $ 225,742,895 ============ ============ ==============
See accompanying notes to financial statements. 136 - --------------------------------------------------------------------------------
SPDR SPDR SPDR SPDR KBW SPDR KBW KBW MORGAN SPDR CAPITAL KBW MORTGAGE REGIONAL STANLEY KBW BANK MARKETS INSURANCE FINANCE BANKING TECHNOLOGY ETF ETF ETF ETF ETF ETF --------------- --------------- --------------- --------------- --------------- --------------- $ 783,805,912 $ 76,471,410 $150,655,186 $4,088,354 $ 443,574,590 $255,729,732 134,232,614 16,859,470 4,460,149 4,571 122,370,338 11,135,715 -------------- ------------ ------------ ---------- ------------- ------------ 918,038,526 93,330,880 155,115,335 4,092,925 565,944,928 266,865,447 -- -- -- -- -- -- -- -- -- -- -- -- 2,464 -- -- -- 1,981 -- 19,855,689 -- -- -- -- -- -- -- -- -- -- -- 508,367 139,134 255,606 1,579 905,393 57,409 -------------- ------------ ------------ ---------- ------------- ------------ 938,405,046 93,470,014 155,370,941 4,094,504 566,852,302 266,922,856 -------------- ------------ ------------ ---------- ------------- ------------ 109,558,544 10,555,072 4,287,257 -- 122,029,837 10,772,745 19,689,269 204,579 -- -- -- -- 228,891 25,126 43,051 1,489 123,825 105,879 4,063 455 840 28 2,116 1,093 -- -- -- -- -- -- -------------- ------------ ------------ ---------- ------------- ------------ 129,480,767 10,785,232 4,331,148 1,517 122,155,778 10,879,717 -------------- ------------ ------------ ---------- ------------- ------------ $ 808,924,279 $ 82,684,782 $151,039,793 $4,092,987 $ 444,696,524 $256,043,139 ============== ============ ============ ========== ============= ============ $1,500,713,921 $170,888,615 $186,562,906 $4,188,507 $ 829,537,309 $316,140,945 216,426 88,663 15,056 27 (62,542) (871) (481,033,316) (63,019,708) (20,499,233) 5,648 (252,415,049) (75,175,645) (210,972,752) (25,272,788) (15,038,936) (101,195) (132,363,194) 15,078,710 -- -- -- -- -- -- -------------- ------------ ------------ ---------- ------------- ------------ $ 808,924,279 $ 82,684,782 $151,039,793 $4,092,987 $ 444,696,524 $256,043,139 ============== ============ ============ ========== ============= ============ $ 21.20 $ 36.75 $ 34.72 $ 40.93 $ 22.29 $ 57.54 ============== ============ ============ ========== ============= ============ 38,152,118 2,250,000 4,350,000 100,000 19,952,585 4,450,108 ============== ============ ============ ========== ============= ============ $ 987,420,109 $ 98,770,291 $165,694,122 $4,189,549 $ 575,937,784 $240,651,022 141,591,169 19,833,377 4,460,149 4,571 122,370,338 11,135,715 -------------- ------------ ------------ ---------- ------------- ------------ $1,129,011,278 $118,603,668 $170,154,271 $4,194,120 $ 698,308,122 $251,786,737 ============== ============ ============ ========== ============= ============ $ -- $ -- $ -- $ -- $ -- $ -- ============== ============ ============ ========== ============= ============ $ 105,124,873 $ 10,249,283 $ 4,114,418 $ -- $ 117,180,836 $ 10,456,320 ============== ============ ============ ========== ============= ============
137 SPDR SERIES TRUST STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SPDR SPDR SPDR S&P S&P S&P DIVIDEND BIOTECH HOMEBUILDERS ETF ETF ETF --------------- --------------- --------------- ASSETS Investments in securities of unaffiliated issuers, at value* (Note 2)........................... $1,234,457,259 $ 402,033,545 $ 684,823,605 Investments in securities of affiliated issuers, at value (Note 3)................................. 181,220,868 85,959,409 194,061,251 -------------- ------------- ------------- Total Investments.................. 1,415,678,127 487,992,954 878,884,856 Receivable for Fund shares sold in- kind............................... 24 42 2,176 Receivable for investments sold....... -- 1,679,655 -- Dividends receivable (Note 2)......... 2,540,591 113,510 541,983 Due from advisory..................... -- -- -- -------------- ------------- ------------- TOTAL ASSETS..................... 1,418,218,742 489,786,161 879,429,015 -------------- ------------- ------------- LIABILITIES Payable for investments purchased..... -- -- -- Payable upon return of securities loaned............................. 179,515,594 85,959,309 193,779,554 Payable for Fund shares repurchased in-kind............................ -- -- -- Due to custodian...................... -- 1,492,859 -- Accrued advisory fee (Note 3)......... 355,412 114,833 210,510 Accrued trustees fee (Note 3)......... 4,536 2,038 3,781 -------------- ------------- ------------- TOTAL LIABILITIES................ 179,875,542 87,569,039 193,993,845 -------------- ------------- ------------- NET ASSETS....................... $1,238,343,200 $ 402,217,122 $ 685,435,170 ============== ============= ============= NET ASSETS CONSIST OF: Paid in capital (Note 4).............. $1,207,625,270 $ 549,231,275 $ 846,161,516 Undistributed (distribution in excess of) net investment income.......... (3,308,282) (249,880) (57,032) Accumulated net realized gain (loss) on investments and foreign currency transactions....................... (98,604,500) (126,307,875) (148,226,607) Net unrealized appreciation (depreciation) on: Investments........................ 132,630,712 (20,456,398) (12,442,707) -------------- ------------- ------------- NET ASSETS....................... $1,238,343,200 $ 402,217,122 $ 685,435,170 ============== ============= ============= NET ASSET VALUE PER SHARE Net asset value per share............. $ 46.20 $ 53.63 $ 15.10 ============== ============= ============= Shares outstanding (unlimited amount authorized, $0.01 par value)....... 26,803,658 7,500,000 45,400,016 ============== ============= ============= COST OF INVESTMENTS: Unaffiliated issuers.................. $1,101,826,547 $ 422,489,943 $ 697,266,312 Affiliated issuers.................... 181,220,868 85,959,409 194,061,251 -------------- ------------- ------------- Total cost of investments............. $1,283,047,415 $ 508,449,352 $ 891,327,563 ============== ============= ============= * Includes investments in securities on loan, at value..... $ 172,688,419 $ 83,017,929 $ 186,714,489 ============== ============= =============
See accompanying notes to financial statements. 138 - --------------------------------------------------------------------------------
SPDR SPDR S&P OIL & S&P OIL & SPDR WELLS SPDR GAS GAS SPDR SPDR FARGO S&P METALS EQUIPMENT EXPLORATION & S&P SPDR S&P PREFERRED & MINING & SERVICES PRODUCTION PHARMACEUTICALS S&P RETAIL SEMICONDUCTOR STOCK ETF ETF ETF ETF ETF ETF ETF --------------- --------------- --------------- --------------- --------------- --------------- --------------- $ 892,053,542 $303,969,366 $ 419,717,859 $64,704,616 $432,944,064 $ 97,386,543 $24,813,430 131,910,077 41,434,485 40,458,646 17,234,957 105,414,401 10,685,354 88,390 -------------- ------------ ------------- ----------- ------------ ------------ ----------- 1,023,963,619 345,403,851 460,176,505 81,939,573 538,358,465 108,071,897 24,901,820 -- 435 777 45 3,238 -- 3,540 -- -- -- -- -- -- 121,187 609,176 132,548 274,731 68,927 427,846 21,090 50,854 -- -- -- -- 11,147 -- -- -------------- ------------ ------------- ----------- ------------ ------------ ----------- 1,024,572,795 345,536,834 460,452,013 82,008,545 538,800,696 108,092,987 25,077,401 -------------- ------------ ------------- ----------- ------------ ------------ ----------- -- -- -- -- -- -- 182,419 131,029,305 41,222,229 40,270,878 17,229,650 105,238,087 10,610,940 -- 1,234 -- -- -- -- 78 -- -- -- -- -- -- -- -- 258,825 87,972 114,781 17,351 157,408 27,714 8,308 3,455 1,246 1,744 244 2,517 583 65 -------------- ------------ ------------- ----------- ------------ ------------ ----------- 131,292,819 41,311,447 40,387,403 17,247,245 105,398,012 10,639,315 190,792 -------------- ------------ ------------- ----------- ------------ ------------ ----------- $ 893,279,976 $304,225,387 $ 420,064,610 $64,761,300 $433,402,684 $ 97,453,672 $24,886,609 ============== ============ ============= =========== ============ ============ =========== $1,116,589,534 $357,762,066 $ 578,560,931 $54,706,239 $467,262,037 $ 98,404,838 $24,388,880 (553,227) 40,084 118,454 (7,933) 2,367,881 4,441 (137,634) (290,152,390) (67,222,699) (131,061,325) (607,030) (33,901,207) (20,723,540) (29,811) 67,396,059 13,645,936 (27,553,450) 10,670,024 (2,326,027) 19,767,933 665,174 -------------- ------------ ------------- ----------- ------------ ------------ ----------- $ 893,279,976 $304,225,387 $ 420,064,610 $64,761,300 $433,402,684 $ 97,453,672 $24,886,609 ============== ============ ============= =========== ============ ============ =========== $ 51.63 $ 28.43 $ 41.18 $ 38.09 $ 35.67 $ 47.54 $ 41.48 ============== ============ ============= =========== ============ ============ =========== 17,300,230 10,700,000 10,200,000 1,700,135 12,150,113 2,050,000 600,000 ============== ============ ============= =========== ============ ============ =========== $ 824,657,483 $290,323,430 $ 447,271,309 $54,034,592 $435,270,091 $ 77,618,610 $24,148,256 131,910,077 41,434,485 40,458,646 17,234,957 105,414,401 10,685,354 88,390 -------------- ------------ ------------- ----------- ------------ ------------ ----------- $ 956,567,560 $331,757,915 $ 487,729,955 $71,269,549 $540,684,492 $ 88,303,964 $24,236,646 ============== ============ ============= =========== ============ ============ =========== $ 126,396,025 $ 39,800,665 $ 38,778,486 $16,756,971 $101,646,236 $ 10,243,239 $ -- ============== ============ ============= =========== ============ ============ ===========
139 SPDR SERIES TRUST STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SPDR SPDR SPDR DOW JONES DOW JONES DOW JONES LARGE CAP TOTAL MARKET LARGE CAP GROWTH ETF ETF ETF --------------- --------------- --------------- INVESTMENT INCOME Dividend income on securities of unaffiliated issuers (Note 2)...... $ 1,804,640 $ 456,492 $ 979,142 Dividend income on securities of affiliated issuers (Note 3)........ 136 43 183 Affiliated securities lending -- net (Note 3 and Note 8)................ 35,754 19,502 17,473 Foreign taxes withheld................ (106) (44) -- ----------- ---------- ----------- TOTAL INVESTMENT INCOME............... 1,840,424 475,993 996,798 ----------- ---------- ----------- EXPENSES Advisory fee (Note 3)................. 175,552 43,865 178,777 Trustees fee (Note 3)................. 2,720 655 2,850 Miscellaneous expense................. 4,247 3,106 -- ----------- ---------- ----------- TOTAL EXPENSES........................ 182,519 47,626 181,627 ----------- ---------- ----------- NET INVESTMENT INCOME (LOSS).......... 1,657,905 428,367 815,171 ----------- ---------- ----------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net realized gain (loss) on: Investments in securities of unaffiliated issuers............. 2,087,666 (86,401) (5,037,985) Investments in securities of affiliated issuers............... 6,006 -- (6,225) Net change in unrealized appreciation (depreciation) on: Investments........................ 31,588,122 8,236,458 42,492,504 ----------- ---------- ----------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS.............. 33,681,794 8,150,057 37,448,294 ----------- ---------- ----------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............. $35,339,699 $8,578,424 $38,263,465 =========== ========== ===========
See accompanying notes to financial statements. 140 - --------------------------------------------------------------------------------
SPDR SPDR SPDR SPDR DOW JONES SPDR DOW JONES DOW JONES SPDR DOW JONES LARGE CAP DOW JONES MID CAP MID CAP DOW JONES SMALL CAP VALUE MID CAP GROWTH VALUE SMALL CAP GROWTH ETF ETF ETF ETF ETF ETF --------------- --------------- --------------- --------------- --------------- --------------- $ 1,575,051 $ 378,647 $ 281,420 $ 228,773 $ 263,066 $ 323,038 -- -- -- -- -- -- 18,821 23,783 29,804 10,157 24,171 98,603 (194) (342) -- (279) (2) -- ----------- ----------- ----------- ---------- ---------- ----------- 1,593,678 402,088 311,224 238,651 287,235 421,641 ----------- ----------- ----------- ---------- ---------- ----------- 106,244 48,906 73,373 18,376 37,748 145,489 1,687 583 844 209 443 1,790 3,765 5,277 3,456 4,037 4,931 4,127 ----------- ----------- ----------- ---------- ---------- ----------- 111,696 54,766 77,673 22,622 43,122 151,406 ----------- ----------- ----------- ---------- ---------- ----------- 1,481,982 347,322 233,551 216,029 244,113 270,235 ----------- ----------- ----------- ---------- ---------- ----------- 2,185,804 2,023,462 1,664,355 799,208 539,600 3,939,431 -- -- -- -- -- -- 15,761,675 7,752,342 13,149,401 2,319,318 5,827,937 21,923,614 ----------- ----------- ----------- ---------- ---------- ----------- 17,947,479 9,775,804 14,813,756 3,118,526 6,367,537 25,863,045 ----------- ----------- ----------- ---------- ---------- ----------- $19,429,461 $10,123,126 $15,047,307 $3,334,555 $6,611,650 $26,133,280 =========== =========== =========== ========== ========== ===========
141 SPDR SERIES TRUST STATEMENTS OF OPERATIONS (CONTINUED) FOR THE SIX MONTHS ENDED DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SPDR DOW JONES SPDR SPDR SMALL CAP DJ GLOBAL DOW JONES VALUE TITANS REIT ETF ETF ETF --------------- --------------- --------------- INVESTMENT INCOME Dividend income on securities of unaffiliated issuers (Note 2)...... $ 1,315,240 $ 1,150,551 $ 24,839,714 Dividend income on securities of affiliated issuers (Note 3)........ -- -- -- Affiliated securities lending -- net (Note 3 and Note 8)................ 64,931 11,895 384,727 Foreign taxes withheld................ 5 (49,404) -- ----------- ----------- ------------ TOTAL INVESTMENT INCOME............... 1,380,176 1,113,042 25,224,441 ----------- ----------- ------------ EXPENSES Advisory fee (Note 3)................. 112,448 220,153 1,358,102 Trustees fee (Note 3)................. 1,376 1,374 17,524 Miscellaneous expense................. 5,413 -- 65 ----------- ----------- ------------ TOTAL EXPENSES........................ 119,237 221,527 1,375,691 ----------- ----------- ------------ NET INVESTMENT INCOME (LOSS).......... 1,260,939 891,515 23,848,750 ----------- ----------- ------------ REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net realized gain (loss) on: Investments in securities of unaffiliated issuers............. 1,335,720 (321,446) 14,147,496 Investments in securities of affiliated issuers............... -- -- -- Foreign currency transactions...... -- (2,352) -- Net change in unrealized appreciation (depreciation) on: Investments........................ 20,220,679 15,550,669 358,295,161 Foreign currency transactions...... -- 5,250 -- ----------- ----------- ------------ NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS.............. 21,556,399 15,232,121 372,442,657 ----------- ----------- ------------ NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............. $22,817,338 $16,123,636 $396,291,407 =========== =========== ============
See accompanying notes to financial statements. 142 - --------------------------------------------------------------------------------
SPDR SPDR SPDR SPDR KBW SPDR KBW KBW MORGAN SPDR CAPITAL KBW MORTGAGE REGIONAL STANLEY KBW BANK MARKETS INSURANCE FINANCE BANKING TECHNOLOGY ETF ETF ETF ETF ETF ETF --------------- --------------- --------------- --------------- --------------- --------------- $ 4,404,529 $ 469,290 $ 1,888,724 $ 70,765 $ 4,967,428 $ 702,613 11,884 2,933 -- -- -- -- 1,551,131 11,115 15,031 -- 398,950 15,471 -- -- -- -- -- (8,108) ------------- ---------- ----------- -------- ------------- ----------- 5,967,544 483,338 1,903,755 70,765 5,366,378 709,976 ------------- ---------- ----------- -------- ------------- ----------- 1,490,634 166,759 307,560 10,467 776,788 574,863 13,880 1,505 2,731 90 7,526 3,531 -- -- -- -- -- -- ------------- ---------- ----------- -------- ------------- ----------- 1,504,514 168,264 310,291 10,557 784,314 578,394 ------------- ---------- ----------- -------- ------------- ----------- 4,463,030 315,074 1,593,464 60,208 4,582,064 131,582 ------------- ---------- ----------- -------- ------------- ----------- (169,642,415) 2,267,145 36,883,659 82,714 (110,394,242) (2,005,974) (2,322,053) (106,684) -- -- -- -- -- -- -- -- -- -- 297,970,636 4,283,488 4,796,804 562,715 173,652,489 57,041,120 -- -- -- -- -- -- ------------- ---------- ----------- -------- ------------- ----------- 126,006,168 6,443,949 41,680,463 645,429 63,258,247 55,035,146 ------------- ---------- ----------- -------- ------------- ----------- $ 130,469,198 $6,759,023 $43,273,927 $705,637 $ 67,840,311 $55,166,728 ============= ========== =========== ======== ============= ===========
143 SPDR SERIES TRUST STATEMENTS OF OPERATIONS (CONTINUED) FOR THE SIX MONTHS ENDED DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SPDR SPDR S&P SPDR S&P DIVIDEND S&P BIOTECH HOMEBUILDERS ETF ETF ETF --------------- --------------- --------------- INVESTMENT INCOME Dividend income on securities of unaffiliated issuers (Note 2)...... $ 19,628,906 $ 113 $ 4,674,931 Affiliated securities lending -- net (Note 3 and Note 8)................ 564,711 505,501 264,406 ------------ ----------- ------------ TOTAL INVESTMENT INCOME............... 20,193,617 505,614 4,939,337 ------------ ----------- ------------ EXPENSES Advisory fee (Note 3)................. 1,674,376 747,970 1,385,770 Trustees fee (Note 3)................. 13,442 7,122 12,414 Miscellaneous expense................. 294 398 -- ------------ ----------- ------------ TOTAL EXPENSES........................ 1,688,112 755,490 1,398,184 ------------ ----------- ------------ NET INVESTMENT INCOME (LOSS).......... 18,505,505 (249,876) 3,541,153 ------------ ----------- ------------ REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net realized gain (loss) on: Investments in securities of unaffiliated issuers............. 45,754,194 (4,712,085) 127,901,885 Net change in unrealized appreciation (depreciation) on: Investments........................ 120,208,303 28,649,853 12,132,913 ------------ ----------- ------------ NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS.............. 165,962,497 23,937,768 140,034,798 ------------ ----------- ------------ NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............. $184,468,002 $23,687,892 $143,575,951 ============ =========== ============
(1) For the period September 16, 2009 (commencement of operations) to December 31, 2009. See accompanying notes to financial statements. 144 - --------------------------------------------------------------------------------
SPDR SPDR SPDR WELLS SPDR S&P OIL & GAS S&P OIL & GAS SPDR SPDR FARGO S&P METALS EQUIPMENT EXPLORATION & S&P SPDR S&P PREFERRED & MINING & SERVICES PRODUCTION PHARMACEUTICALS S&P RETAIL SEMICONDUCTOR STOCK ETF ETF ETF ETF ETF ETF ETF (1) --------------- --------------- --------------- --------------- --------------- --------------- --------------- $ 4,268,898 $ 1,361,954 $ 2,092,487 $ 363,097 $ 3,390,742 $ 723,402 $361,846 184,406 65,075 58,544 20,077 506,410 43,747 (311) ------------ ----------- ----------- ----------- ----------- ----------- -------- 4,453,304 1,427,029 2,151,031 383,174 3,897,152 767,149 361,535 ------------ ----------- ----------- ----------- ----------- ----------- -------- 1,274,277 458,558 642,006 89,839 927,513 213,115 18,112 10,540 3,798 5,473 766 8,577 1,930 90 -- 124 -- 2,186 -- -- -- ------------ ----------- ----------- ----------- ----------- ----------- -------- 1,284,817 462,480 647,479 92,791 936,090 215,045 18,202 ------------ ----------- ----------- ----------- ----------- ----------- -------- 3,168,487 964,549 1,503,552 290,383 2,961,062 552,104 343,333 ------------ ----------- ----------- ----------- ----------- ----------- -------- 112,201,941 4,290,148 11,751,177 3,949,628 82,365,376 23,147,291 (29,811) 93,935,386 53,464,144 51,407,542 8,118,291 7,994,935 10,094,919 665,174 ------------ ----------- ----------- ----------- ----------- ----------- -------- 206,137,327 57,754,292 63,158,719 12,067,919 90,360,311 33,242,210 635,363 ------------ ----------- ----------- ----------- ----------- ----------- -------- $209,305,814 $58,718,841 $64,662,271 $12,358,302 $93,321,373 $33,794,314 $978,696 ============ =========== =========== =========== =========== =========== ========
145 SPDR SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS - --------------------------------------------------------------------------------
SPDR SPDR DOW JONES DOW JONES TOTAL MARKET LARGE CAP ETF ETF --------------------------- ------------------------- FOR THE SIX FOR THE SIX MONTHS MONTHS ENDED ENDED 12/31/09 YEAR ENDED 12/31/09 YEAR ENDED (UNAUDITED) 6/30/09 (UNAUDITED) 6/30/09 ------------ ------------ ----------- ----------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income (loss)................... $ 1,657,905 $ 3,174,300 $ 428,367 $ 507,856 Net realized gain (loss) on investments and foreign currency transactions............... 2,093,672 (1,154,421) (86,401) (701,194) Net change in unrealized appreciation (depreciation) on investments and foreign currency transactions....................... 31,588,122 (34,356,107) 8,236,458 379,416 ------------ ------------ ----------- ----------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............................. 35,339,699 (32,336,228) 8,578,424 186,078 ------------ ------------ ----------- ----------- Net equalization credits and charges........... (21,528) 167,286 -- 98,422 ------------ ------------ ----------- ----------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income.......................... (1,441,324) (3,248,305) (337,414) (588,582) ------------ ------------ ----------- ----------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS............ (1,441,324) (3,248,305) (337,414) (588,582) ------------ ------------ ----------- ----------- FROM BENEFICIAL INTEREST TRANSACTIONS: Net proceeds from the sale of shares........... -- 89,281,386 -- 33,927,680 Net proceeds from reinvestment of shares issued...................................... 1,069 487 -- -- Cost of shares redeemed........................ (7,488,223) (21,571,970) -- (4,039,406) Net income equalization (Note 2)............... 21,528 (167,286) -- (98,422) ------------ ------------ ----------- ----------- NET INCREASE (DECREASE) IN NET ASSETS FROM BENEFICIAL INTEREST TRANSACTIONS............... (7,465,626) 67,542,617 -- 29,789,852 ------------ ------------ ----------- ----------- Net increase (decrease) in net assets during year........................................ 26,411,221 32,125,370 8,241,010 29,485,770 Net assets at beginning of year................ 158,238,011 126,112,641 38,418,985 8,933,215 ------------ ------------ ----------- ----------- NET ASSETS END OF YEAR (1)....................... $184,649,232 $158,238,011 $46,659,995 $38,418,985 ============ ============ =========== =========== SHARES OF BENEFICIAL INTEREST: Shares sold.................................... -- 1,300,000 -- 850,000 Shares issued to shareholders from reinvestment of distributions............................ 14 6 -- -- Shares redeemed................................ (100,000) (300,000) -- (100,000) ------------ ------------ ----------- ----------- NET INCREASE (DECREASE).......................... (99,986) 1,000,006 -- 750,000 ============ ============ =========== =========== (1) Including undistributed (distribution in excess of) net investment income............. $ 30,137 $ (186,444) $ 3,687 $ (87,266) ============ ============ =========== ===========
See accompanying notes to financial statements. 146 - --------------------------------------------------------------------------------
SPDR SPDR SPDR DOW JONES DOW JONES DOW JONES LARGE CAP GROWTH LARGE CAP VALUE MID CAP ETF ETF ETF ---------------------------------- ---------------------------------- ---------------------------------- FOR THE SIX FOR THE SIX FOR THE SIX MONTHS MONTHS MONTHS ENDED ENDED ENDED 12/31/09 YEAR ENDED 12/31/09 YEAR ENDED 12/31/09 YEAR ENDED (UNAUDITED) 6/30/09 (UNAUDITED) 6/30/09 (UNAUDITED) 6/30/09 --------------- --------------- --------------- --------------- --------------- --------------- $ 815,171 $ 2,458,527 $ 1,481,982 $ 3,442,436 $ 347,322 $ 443,343 (5,044,210) (29,719,515) 2,185,804 (22,398,253) 2,023,462 (5,130,083) 42,492,504 (52,514,346) 15,761,675 (10,478,734) 7,752,342 (1,113,940) ------------ ------------- ------------ ------------ ----------- ----------- 38,263,465 (79,775,334) 19,429,461 (29,434,551) 10,123,126 (5,800,680) ------------ ------------- ------------ ------------ ----------- ----------- (6,322) (127,275) (49,401) 124,412 8,762 37,015 ------------ ------------- ------------ ------------ ----------- ----------- (835,944) (2,246,413) (1,258,134) (3,648,149) (263,761) (471,074) ------------ ------------- ------------ ------------ ----------- ----------- (835,944) (2,246,413) (1,258,134) (3,648,149) (263,761) (471,074) ------------ ------------- ------------ ------------ ----------- ----------- 4,259,153 18,321,830 2,777,667 53,353,954 4,388,750 16,712,294 382 327 6,518 13,625 -- -- (6,920,065) (70,498,609) (13,685,917) (14,492,257) -- 6,322 127,275 49,401 (124,412) (8,762) (37,015) ------------ ------------- ------------ ------------ ----------- ----------- (2,654,208) (52,049,177) (10,852,331) 38,750,910 4,379,988 16,675,279 ------------ ------------- ------------ ------------ ----------- ----------- 34,766,991 (134,198,199) 7,269,595 5,792,622 14,248,115 10,440,540 154,816,935 289,015,134 99,220,546 93,427,924 31,260,286 20,819,746 ------------ ------------- ------------ ------------ ----------- ----------- $189,583,926 $ 154,816,935 $106,490,141 $ 99,220,546 $45,508,401 $31,260,286 ============ ============= ============ ============ =========== =========== 100,000 450,000 50,000 1,000,000 100,000 450,000 9 9 127 264 -- -- (150,000) (1,900,000) (250,000) (300,000) -- -- ------------ ------------- ------------ ------------ ----------- ----------- (49,991) (1,449,991) (199,873) 700,264 100,000 450,000 ============ ============= ============ ============ =========== =========== $ 19,414 $ 40,187 $ 40,231 $ (183,617) $ (13,714) $ (97,275) ============ ============= ============ ============ =========== ===========
147 SPDR SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) - --------------------------------------------------------------------------------
SPDR SPDR DOW JONES DOW JONES MID CAP GROWTH MID CAP VALUE ETF ETF ---------------------------------- ---------------------------------- For the Six For the Six Months Months Ended Ended 12/31/09 Year Ended 12/31/09 Year Ended (Unaudited) 6/30/09 (Unaudited) 6/30/09 --------------- --------------- --------------- --------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income (loss).......... $ 233,551 $ 250,908 $ 216,029 $ 332,131 Net realized gain (loss) on investments and foreign currency transactions....................... 1,664,355 (8,964,604) 799,208 (3,282,204) Net change in unrealized appreciation (depreciation) on investments and foreign currency transactions...... 13,149,401 (419,371) 2,319,318 404,013 ----------- ----------- ----------- ----------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.......... 15,047,307 (9,133,067) 3,334,555 (2,546,060) ----------- ----------- ----------- ----------- Net equalization credits and charges.. 12,719 10,023 20,433 (23,866) ----------- ----------- ----------- ----------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................. (229,285) (254,596) (190,473) (319,079) Net realized gains.................... -- -- -- -- ----------- ----------- ----------- ----------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS... (229,285) (254,596) (190,473) (319,079) ----------- ----------- ----------- ----------- FROM BENEFICIAL INTEREST TRANSACTIONS: Net proceeds from the sale of shares.. 19,161,203 11,384,549 6,257,634 5,146,279 Net proceeds from reinvestment of shares issued...................... -- -- -- -- Cost of shares redeemed............... -- (3,034,805) -- (3,525,839) Net income equalization (Note 2)...... (12,719) (10,023) (20,433) 23,866 ----------- ----------- ----------- ----------- NET INCREASE (DECREASE) IN NET ASSETS FROM BENEFICIAL INTEREST TRANSACTIONS.......................... 19,148,484 8,339,721 6,237,201 1,644,306 ----------- ----------- ----------- ----------- Net increase (decrease) in net assets during year........................ 33,979,225 (1,037,919) 9,401,716 (1,244,699) Net assets at beginning of year....... 42,939,259 43,977,178 8,823,489 10,068,188 ----------- ----------- ----------- ----------- NET ASSETS END OF YEAR (1).............. $76,918,484 $42,939,259 $18,225,205 $ 8,823,489 =========== =========== =========== =========== SHARES OF BENEFICIAL INTEREST: Shares sold........................... 350,000 300,000 150,000 150,000 Shares issued to shareholders from reinvestment of distributions...... -- -- -- -- Shares redeemed....................... -- (50,000) -- (100,000) ----------- ----------- ----------- ----------- NET INCREASE (DECREASE)................. 350,000 250,000 150,000 50,000 =========== =========== =========== =========== (1) Including undistributed (distribution in excess of) net investment income................... $ (17,887) $ (22,153) $ (24,005) $ (49,561) =========== =========== =========== ===========
See accompanying notes to financial statements. 148 - --------------------------------------------------------------------------------
SPDR SPDR SPDR DOW JONES DOW JONES DOW JONES SMALL CAP SMALL CAP GROWTH SMALL CAP VALUE ETF ETF ETF ---------------------------------- ---------------------------------- ---------------------------------- For the Six For the Six For the Six Months Months Months Ended Ended Ended 12/31/09 Year Ended 12/31/09 Year Ended 12/31/09 Year Ended (Unaudited 6/30/09 (Unaudited) 6/30/09 (Unaudited) 6/30/09 --------------- --------------- --------------- --------------- --------------- --------------- $ 244,113 $ 336,842 $ 270,235 $ 665,530 $ 1,260,939 $ 2,329,091 539,600 (1,529,721) 3,939,431 (10,609,089) 1,335,720 (11,897,564) 5,827,937 (2,381,697) 21,923,614 (10,871,283) 20,220,679 (12,389,930) ----------- ----------- ------------ ------------ ----------- ------------ 6,611,650 (3,574,576) 26,133,280 (20,814,842) 22,817,338 (21,958,403) ----------- ----------- ------------ ------------ ----------- ------------ (1,477) 24,819 (1,451) 47,524 16,512 (27,061) ----------- ----------- ------------ ------------ ----------- ------------ (178,053) (327,907) (154,312) (683,706) (879,382) (1,928,987) -- -- -- -- -- (266,335) ----------- ----------- ------------ ------------ ----------- ------------ (178,053) (327,907) (154,312) (683,706) (879,382) (2,195,322) ----------- ----------- ------------ ------------ ----------- ------------ 12,839,260 12,736,870 13,706,478 45,604,693 10,191,253 39,138,899 636 300 -- 88 519 3,933 -- -- (11,933,379) (16,157,524) (2,711,021) (34,960,025) 1,477 (24,819) 1,451 (47,524) (16,512) 27,061 ----------- ----------- ------------ ------------ ----------- ------------ 12,841,373 12,712,351 1,774,550 29,399,733 7,464,239 4,209,868 ----------- ----------- ------------ ------------ ----------- ------------ 19,273,493 8,834,687 27,752,067 7,948,709 29,418,707 (19,970,918) 22,651,426 13,816,739 94,077,266 86,128,557 69,885,334 89,856,252 ----------- ----------- ------------ ------------ ----------- ------------ $41,924,919 $22,651,426 $121,829,333 $ 94,077,266 $99,304,041 $ 69,885,334 =========== =========== ============ ============ =========== ============ 250,000 300,000 200,000 700,000 200,000 700,000 14 9 -- 1 11 73 -- -- (150,000) (250,000) (50,000) (650,000) ----------- ----------- ------------ ------------ ----------- ------------ 250,014 300,009 50,000 450,001 150,011 50,073 =========== =========== ============ ============ =========== ============ $ (305) $ (66,365) $ (55) $ (115,978) $ (18,532) $ (400,089) =========== =========== ============ ============ =========== ============
149 SPDR SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) - --------------------------------------------------------------------------------
SPDR DJ SPDR DOW JONES GLOBAL TITANS REIT ETF ETF ---------------------------------- ---------------------------------- For the Six For the Six Months Months Ended Ended 12/31/09 Year Ended 12/31/09 Year Ended (Unaudited) 6/30/09 (Unaudited) 6/30/09 --------------- --------------- --------------- --------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income (loss).......... $ 891,515 $ 3,147,125 $ 23,848,750 $ 46,799,378 Net realized gain (loss) on investments and foreign currency transactions....................... (323,798) (20,488,317) 14,147,496 (274,749,551) Net change in unrealized appreciation (depreciation) on investments and foreign currency transactions...... 15,555,919 (24,256,525) 358,295,161 (433,828,051) ------------ ------------ -------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.......... 16,123,636 (41,597,717) 396,291,407 (661,778,224) ------------ ------------ -------------- -------------- Net equalization credits and charges.. 65,654 (176,604) 48,199 2,600,928 ------------ ------------ -------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................. (1,119,611) (2,892,421) (22,475,622) (55,657,332) ------------ ------------ -------------- -------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS... (1,119,611) (2,892,421) (22,475,622) (55,657,332) ------------ ------------ -------------- -------------- FROM BENEFICIAL INTEREST TRANSACTIONS: Net proceeds from the sale of shares.. 19,356,213 23,127,126 100,186,152 528,069,032 Net proceeds from reinvestment of shares issued...................... 6,999 7,504 96,560 323,119 Cost of shares redeemed............... (2,648,973) (71,375,891) (337,659,622) (191,862,425) Net income equalization (Note 2)...... (65,654) 176,604 (48,199) (2,600,928) ------------ ------------ -------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS FROM BENEFICIAL INTEREST TRANSACTIONS.......................... 16,648,585 (48,064,657) (237,425,109) 333,928,798 ------------ ------------ -------------- -------------- Net increase (decrease) in net assets during year........................ 31,718,264 (92,731,399) 136,438,875 (380,905,830) Net assets at beginning of year....... 70,922,532 163,653,931 908,890,330 1,289,796,160 ------------ ------------ -------------- -------------- NET ASSETS END OF YEAR (1).............. $102,640,796 $ 70,922,532 $1,045,329,205 $ 908,890,330 ============ ============ ============== ============== SHARES OF BENEFICIAL INTEREST: Shares sold........................... 350,000 450,000 2,400,000 11,500,000 Shares issued to shareholders from reinvestment of distributions...... 141 157 2,402 6,899 Shares redeemed....................... (50,000) (1,400,000) (7,900,000) (4,500,000) ------------ ------------ -------------- -------------- NET INCREASE (DECREASE)................. 300,141 (949,843) (5,497,598) 7,006,899 ============ ============ ============== ============== (1) Including undistributed (distribution in excess of) net investment income................... $ (46,613) $ 181,483 $ (13,108,684) $ (14,481,812) ============ ============ ============== ==============
See accompanying notes to financial statements. 150 - --------------------------------------------------------------------------------
SPDR KBW SPDR KBW SPDR KBW BANK CAPITAL MARKETS INSURANCE ETF ETF ETF ---------------------------------- ---------------------------------- ---------------------------------- For the Six For the Six For the Six Months Months Months Ended Ended Ended 12/31/09 Year Ended 12/31/09 Year Ended 12/31/09 Year Ended (Unaudited) 6/30/09 (Unaudited) 6/30/09 (Unaudited) 6/30/09 --------------- --------------- --------------- --------------- --------------- --------------- $ 4,463,030 $ 36,190,164 $ 315,074 $ 1,339,451 $ 1,593,464 $ 1,945,607 (171,964,468) (341,300,990) 2,160,461 (60,588,793) 36,883,659 (48,781,149) 297,970,636 (193,187,760) 4,283,488 17,974,335 4,796,804 9,231,599 ------ -------- ------ -------- ------------- ------------- ------------- ------------- 130,469,198 (498,298,586) 6,759,023 (41,275,007) 43,273,927 (37,603,943) ------ -------- ------ -------- ------------- ------------- ------------- ------------- (334,935) 1,161,281 (18,678) (69,089) (36,797) 419,502 ------ -------- ------ -------- ------------- ------------- ------------- ------------- (3,662,490) (31,427,389) (315,603) (1,034,884) (1,277,239) (2,043,777) ------ -------- ------ -------- ------------- ------------- ------------- ------------- (3,662,490) (31,427,389) (315,603) (1,034,884) (1,277,239) (2,043,777) ------ -------- ------ -------- ------------- ------------- ------------- ------------- 2,062,267,484 6,031,102,867 99,232,001 576,362,751 411,230,581 494,256,921 2,258 39,103 -- -- -- -- (2,201,845,773) (5,563,002,677) (103,179,006) (571,164,830) (441,392,320) (378,778,174) 334,935 (1,161,281) 18,678 69,089 36,797 (419,502) ------ -------- ------ -------- ------------- ------------- ------------- ------------- (139,241,096) 466,978,012 (3,928,327) 5,267,010 (30,124,942) 115,059,245 ------ -------- ------ -------- ------------- ------------- ------------- ------------- (12,769,323) (61,586,682) 2,496,415 (37,111,970) 11,834,949 75,831,027 821,693,602 883,280,284 80,188,367 117,300,337 139,204,844 63,373,817 ------ -------- ------ -------- ------------- ------------- ------------- ------------- $ 808,924,279 $ 821,693,602 $ 82,684,782 $ 80,188,367 $ 151,039,793 $ 139,204,844 ====== ======== ====== ======== ============= ============= ============= ============= 95,800,000 273,200,000 2,750,000 17,200,000 12,100,000 17,650,000 111 1,392 -- -- -- -- (103,100,000) (258,650,000) (2,900,000) (17,400,000) (13,000,000) (13,950,000) ------ -------- ------ -------- ------------- ------------- ------------- ------------- (7,299,889) 14,551,392 (150,000) (200,000) (900,000) 3,700,000 ====== ======== ====== ======== ============= ============= ============= ============= $ 216,426 $ (584,114) $ 88,663 $ 89,192 $ 15,056 $ (301,169) ====== ======== ====== ======== ============= ============= ============= =============
151 SPDR SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) - --------------------------------------------------------------------------------
SPDR KBW SPDR KBW REGIONAL MORTGAGE FINANCE BANKING ETF ETF ---------------------------------- ---------------------------------- For the Six For the Six Months Months Ended For the period Ended 12/31/09 4/29/09*- 12/31/09 Year Ended (Unaudited) 6/30/09 (Unaudited) 6/30/09 --------------- --------------- --------------- --------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income (loss).......... $ 60,208 $ 21,918 $ 4,582,064 $ 22,153,652 Net realized gain (loss) on investments and foreign currency transactions....................... 82,714 (43,361) (110,394,242) (240,638,024) Net change in unrealized appreciation (depreciation) on investments and foreign currency transactions...... 562,715 (663,910) 173,652,489 (151,814,096) ----------- ---------- ------ -------- ------ -------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.......... 705,637 (685,353) 67,840,311 (370,298,468) ----------- ---------- ------ -------- ------ -------- Net equalization credits and charges.. (7,981) 6,083 (51,591) 1,694,638 ----------- ---------- ------ -------- ------ -------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................. (55,385) (26,714) (3,345,044) (30,200,435) Net realized gains.................... (20,025) -- -- -- ----------- ---------- ------ -------- ------ -------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS... (75,410) (26,714) (3,345,044) (30,200,435) ----------- ---------- ------ -------- ------ -------- FROM BENEFICIAL INTEREST TRANSACTIONS: Net proceeds from the sale of shares.. -- 6,139,244 1,855,549,347 5,364,521,846 Net proceeds from reinvestment of shares issued...................... -- -- 18,574 40,388 Cost of shares redeemed............... (1,964,417) -- (1,910,304,068) (5,238,409,636) Net income equalization (Note 2)...... 7,981 (6,083) 51,591 (1,694,638) ----------- ---------- ------ -------- ------ -------- NET INCREASE (DECREASE) IN NET ASSETS FROM BENEFICIAL INTEREST TRANSACTIONS.......................... (1,956,436) 6,133,161 (54,684,556) 124,457,960 ----------- ---------- ------ -------- ------ -------- Voluntary contribution from Advisor... -- -- -- -- ----------- ---------- ------ -------- ------ -------- Net increase (decrease) in net assets during year........................ (1,334,190) 5,427,177 9,759,120 (274,346,305) Net assets at beginning of year....... 5,427,177 -- 434,937,404 709,283,709 ----------- ---------- ------ -------- ------ -------- NET ASSETS END OF YEAR (1).............. $ 4,092,987 $5,427,177 $ 444,696,524 $ 434,937,404 =========== ========== ====== ======== ====== ======== SHARES OF BENEFICIAL INTEREST: Shares sold........................... -- 150,000 88,650,000 189,700,000 Shares issued to shareholders from reinvestment of distributions...... -- -- 930 1,519 Shares redeemed....................... (50,000) -- (92,450,000) (192,650,000) ----------- ---------- ------ -------- ------ -------- NET INCREASE (DECREASE)................. (50,000) 150,000 (3,799,070) (2,948,481) =========== ========== ====== ======== ====== ======== (1) Including undistributed (distribution in excess of) net investment income................... $ 27 $ (4,796) $ (62,542) $ (1,299,562) =========== ========== ====== ======== ====== ========
* Commencement of operations
See accompanying notes to financial statements. 152 - --------------------------------------------------------------------------------
SPDR MORGAN STANLEY SPDR SPDR TECHNOLOGY S&P DIVIDEND S&P BIOTECH ETF ETF ETF ---------------------------------- ---------------------------------- ---------------------------------- For the Six For the Six For the Six Months Months Months Ended Ended Ended 12/31/09 Year Ended 12/31/09 Year Ended 12/31/09 Year Ended (Unaudited) 6/30/09 (Unaudited) 6/30/09 (Unaudited) 6/30/09 --------------- --------------- --------------- --------------- --------------- --------------- $ 131,582 $ 979,357 $ 18,505,505 $ 20,602,688 $ (249,876) $ 3,877,063 (2,005,974) (34,789,154) 45,754,194 (134,987,178) (4,712,085) (94,674,335) 57,041,120 (18,399,193) 120,208,303 77,037,794 28,649,853 (24,720,840) ------------ ------------ -------------- ------------- ------------- ------------- 55,166,728 (52,208,990) 184,468,002 (37,346,696) 23,687,892 (115,518,112) ------------ ------------ -------------- ------------- ------------- ------------- 2,140 (10,362) 1,195,911 1,680,369 53,572 5,249 ------------ ------------ -------------- ------------- ------------- ------------- (111,173) (984,816) (20,162,901) (22,069,140) (12,144) (1,461,033) -- -- -- -- -- -- ------------ ------------ -------------- ------------- ------------- ------------- (111,173) (984,816) (20,162,901) (22,069,140) (12,144) (1,461,033) ------------ ------------ -------------- ------------- ------------- ------------- 10,261,444 106,881,919 424,222,499 551,760,708 123,602,712 821,819,762 -- 182 91,126 51,009 -- -- (7,092,093) (84,740,532) (8,930,691) (64,119,182) (173,569,282) (542,400,771) (2,140) 10,362 (1,195,911) (1,680,369) (53,572) (5,249) ------------ ------------ -------------- ------------- ------------- ------------- 3,167,211 22,151,931 414,187,023 486,012,166 (50,020,142) 279,413,742 ------------ ------------ -------------- ------------- ------------- ------------- -- -- -- -- -- 1,726,351 ------------ ------------ -------------- ------------- ------------- ------------- 58,224,906 (31,052,237) 579,688,035 428,276,699 (26,290,822) 164,166,197 197,818,233 228,870,470 658,655,165 230,378,466 428,507,944 264,341,747 ------------ ------------ -------------- ------------- ------------- ------------- $256,043,139 $197,818,233 $1,238,343,200 $ 658,655,165 $ 402,217,122 $ 428,507,944 ============ ============ ============== ============= ============= ============= 200,000 2,550,000 9,650,000 13,950,000 2,350,000 14,200,000 -- 4 2,202 1,325 -- -- (150,000) (2,300,000) (200,000) (1,800,000) (3,300,000) (10,350,000) ------------ ------------ -------------- ------------- ------------- ------------- 50,000 250,004 9,452,202 12,151,325 (950,000) 3,850,000 ============ ============ ============== ============= ============= ============= $ (871) $ (21,280) $ (3,308,282) $ (1,650,886) $ (249,880) $ 12,140 ============ ============ ============== ============= ============= =============
153 SPDR SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) - --------------------------------------------------------------------------------
SPDR SPDR S&P HOMEBUILDERS S&P METALS & MINING ETF ETF ---------------------------------- ---------------------------------- For the Six For the Six Months Months Ended Ended 12/31/09 Year Ended 12/31/09 Year Ended (Unaudited) 6/30/09 (Unaudited) 6/30/09 --------------- --------------- --------------- --------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income (loss).......... $ 3,541,153 $ 10,266,268 $ 3,168,487 $ 4,979,970 Net realized gain (loss) on investments and foreign currency transactions....................... 127,901,885 (459,491,919) 112,201,941 (261,610,132) Net change in unrealized appreciation (depreciation) on investments and foreign currency transactions...... 12,132,913 143,673,510 93,935,386 (66,817,314) ------ -------- ------ -------- ------ -------- ------ -------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.......... 143,575,951 (305,552,141) 209,305,814 (323,447,476) ------ -------- ------ -------- ------ -------- ------ -------- Net equalization credits and charges.. (26,297) 618,208 (129,466) 393,942 ------ -------- ------ -------- ------ -------- ------ -------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................. (3,119,928) (12,064,713) (3,864,071) (5,169,117) Net realized gains.................... -- -- -- -- ------ -------- ------ -------- ------ -------- ------ -------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS... (3,119,928) (12,064,713) (3,864,071) (5,169,117) ------ -------- ------ -------- ------ -------- ------ -------- FROM BENEFICIAL INTEREST TRANSACTIONS: Net proceeds from the sale of shares.. 1,233,447,020 2,989,402,107 1,298,429,790 2,140,363,923 Net proceeds from reinvestment of shares issued...................... 220 -- 5,409 2,648 Cost of shares redeemed............... (1,244,578,642) (2,651,227,691) (1,213,019,758) (2,028,519,747) Net income equalization (Note 2)...... 26,297 (618,208) 129,466 (393,942) ------ -------- ------ -------- ------ -------- ------ -------- NET INCREASE (DECREASE) IN NET ASSETS FROM BENEFICIAL INTEREST TRANSACTIONS.......................... (11,105,105) 337,556,208 85,544,907 111,452,882 ------ -------- ------ -------- ------ -------- ------ -------- Voluntary contribution from Adviser... -- -- -- -- ------ -------- ------ -------- ------ -------- ------ -------- Net increase (decrease) in net assets during year........................ 129,324,621 20,557,562 290,857,184 (216,769,769) Net assets at beginning of year....... 556,110,549 535,552,987 602,422,792 819,192,561 ------ -------- ------ -------- ------ -------- ------ -------- NET ASSETS END OF YEAR (1).............. $ 685,435,170 $ 556,110,549 $ 893,279,976 $ 602,422,792 ====== ======== ====== ======== ====== ======== ====== ======== SHARES OF BENEFICIAL INTEREST: Shares sold........................... 83,150,000 221,600,000 28,750,000 51,650,000 Shares issued to shareholders from reinvestment of distributions...... 16 -- 133 92 Shares redeemed....................... (85,000,000) (206,750,000) (27,700,000) (44,100,000) ------ -------- ------ -------- ------ -------- ------ -------- NET INCREASE (DECREASE)................. (1,849,984) 14,850,000 1,050,133 7,550,092 ====== ======== ====== ======== ====== ======== ====== ======== (1) Including undistributed (distribution in excess of) net investment income................... $ (57,032) $ (478,257) $ (553,227) $ 142,357 ====== ======== ====== ======== ====== ======== ====== ========
See accompanying notes to financial statements. 154 - --------------------------------------------------------------------------------
SPDR S&P OIL & GAS SPDR S&P OIL & GAS SPDR EQUIPMENT & SERVICES EXPLORATION & PRODUCTION S&P PHARMACEUTICALS ETF ETF ETF ---------------------------------- ---------------------------------- ---------------------------------- For the Six For the Six For the Six Months Months Months Ended Ended Ended 12/31/09 Year Ended 12/31/09 Year Ended 12/31/09 Year Ended (Unaudited) 6/30/09 (Unaudited) 6/30/09 (Unaudited) 6/30/09 --------------- --------------- --------------- --------------- --------------- --------------- $ 964,549 $ 1,132,208 $ 1,503,552 $ 2,132,239 $ 290,383 $ 533,912 4,290,148 (55,640,576) 11,751,177 (132,834,713) 3,949,628 (3,493,487) 53,464,144 (88,887,400) 51,407,542 (83,900,106) 8,118,291 2,830,730 ------------ ------------- ------ -------- ------ -------- ----------- ------------ 58,718,841 (143,395,768) 64,662,271 (214,602,580) 12,358,302 (128,845) ------------ ------------- ------ -------- ------ -------- ----------- ------------ (44,823) 5,007 (248,307) 169,086 5,215 38,194 ------------ ------------- ------ -------- ------ -------- ----------- ------------ (901,263) (1,111,182) (1,290,608) (2,190,011) (261,592) (562,918) -- -- -- -- -- (65,554) ------------ ------------- ------ -------- ------ -------- ----------- ------------ (901,263) (1,111,182) (1,290,608) (2,190,011) (261,592) (628,472) ------------ ------------- ------ -------- ------ -------- ----------- ------------ 90,062,656 163,432,877 1,469,772,516 2,641,583,363 13,892,168 49,204,184 -- -- -- -- 35 31 (42,755,773) (99,773,052) (1,393,361,629) (2,456,461,127) (1,726,254) (17,276,711) 44,823 (5,007) 248,307 (169,086) (5,215) (38,194) ------------ ------------- ------ -------- ------ -------- ----------- ------------ 47,351,706 63,654,818 76,659,194 184,953,150 12,160,734 31,889,310 ------------ ------------- ------ -------- ------ -------- ----------- ------------ -- -- -- -- -- -- ------------ ------------- ------ -------- ------ -------- ----------- ------------ 105,124,461 (80,847,125) 139,782,550 (31,670,355) 24,262,659 31,170,187 199,100,926 279,948,051 280,282,060 311,952,415 40,498,641 9,328,454 ------------ ------------- ------ -------- ------ -------- ----------- ------------ $304,225,387 $ 199,100,926 $ 420,064,610 $ 280,282,060 $64,761,300 $ 40,498,641 ============ ============= ====== ======== ====== ======== =========== ============ 3,150,000 7,300,000 38,950,000 75,050,000 400,000 1,700,000 -- -- -- -- 1 1 (1,600,000) (3,650,000) (37,600,000) (70,650,000) (50,000) (650,000) ------------ ------------- ------ -------- ------ -------- ----------- ------------ 1,550,000 3,650,000 1,350,000 4,400,000 350,001 1,050,001 ============ ============= ====== ======== ====== ======== =========== ============ $ 40,084 $ (23,202) $ 118,454 $ (94,490) $ (7,933) $ (36,724) ============ ============= ====== ======== ====== ======== =========== ============
155 SPDR SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) - --------------------------------------------------------------------------------
SPDR WELLS FARGO PREFERRED STOCK ETF -------------- SPDR SPDR S&P RETAIL S&P SEMICONDUCTOR ETF ETF --------------------------------- -------------------------- FOR THE SIX FOR THE SIX MONTHS MONTHS FOR THE PERIOD ENDED ENDED 9/16/09* - 12/31/09 YEAR ENDED 12/31/09 YEAR ENDED 12/31/09 (UNAUDITED) 6/30/09 (UNAUDITED) 6/30/09 (UNAUDITED) --------------- ---------------- ------------ ------------ -------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income (loss)...... $ 2,961,062 $ 5,278,654 $ 552,104 $ 429,964 $ 343,333 Net realized gain (loss) on investments and foreign currency transactions.......... 82,365,376 (216,930,922) 23,147,291 (16,661,344) (29,811) Net change in unrealized appreciation (depreciation) on investments and foreign currency transactions.......... 7,994,935 21,099,340 10,094,919 23,342,847 665,174 --------------- ---------------- ------------ ------------ ----------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS..................... 93,321,373 (190,552,928) 33,794,314 7,111,467 978,696 --------------- ---------------- ------------ ------------ ----------- Net equalization credits and charges........................ (4,798,321) (95,155) (36,559) 29,997 144,087 --------------- ---------------- ------------ ------------ ----------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income............. (720,620) (5,623,569) (509,556) (433,928) (480,967) Net realized gains................ -- -- -- -- -- --------------- ---------------- ------------ ------------ ----------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS................... (720,620) (5,623,569) (509,556) (433,928) (480,967) --------------- ---------------- ------------ ------------ ----------- FROM BENEFICIAL INTEREST TRANSACTIONS: Net proceeds from the sale of shares......................... 8,540,168,400 11,839,508,553 45,034,962 124,086,754 24,388,880 Net proceeds from reinvestment of shares issued.................. 1,737 1,282 -- -- -- Cost of shares redeemed........... (9,217,386,576) (10,888,760,286) (84,148,426) (67,019,898) -- Net income equalization (Note 2).. 4,798,321 95,155 36,559 (29,997) (144,087) --------------- ---------------- ------------ ------------ ----------- NET INCREASE (DECREASE) IN NET ASSETS FROM BENEFICIAL INTEREST TRANSACTIONS...................... (672,418,118) 950,844,704 (39,076,905) 57,036,859 24,244,793 --------------- ---------------- ------------ ------------ ----------- Voluntary contribution from Adviser........................ 11,147 53,830 -- -- -- --------------- ---------------- ------------ ------------ ----------- Net increase (decrease) in net assets during year............. (584,604,539) 754,626,882 (5,828,706) 63,744,395 24,886,609 Net assets at beginning of year... 1,018,007,223 263,380,341 103,282,378 39,537,983 -- --------------- ---------------- ------------ ------------ ----------- NET ASSETS END OF YEAR(1)........... $ 433,402,684 $ 1,018,007,223 $ 97,453,672 $103,282,378 $24,886,609 =============== ================ ============ ============ =========== SHARES OF BENEFICIAL INTEREST: Shares sold....................... 257,550,000 470,050,000 1,150,000 4,150,000 600,000 Shares issued to shareholders from reinvestment of distributions.. 58 53 -- -- -- Shares redeemed................... (282,150,000) (442,300,000) (2,150,000) (2,050,000) -- --------------- ---------------- ------------ ------------ ----------- NET INCREASE (DECREASE)............. (24,599,942) 27,750,053 (1,000,000) 2,100,000 600,000 =============== ================ ============ ============ =========== (1) Including undistributed (distribution in excess of) net investment income............... $ 2,367,881 $ 127,439 $ 4,441 $ (38,107) $ (137,634) =============== ================ ============ ============ ===========
* Commencement of operations
See accompanying notes to financial statements. 156 (This page intentionally left blank) 157 SPDR SERIES TRUST FINANCIAL HIGHLIGHTS SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------
SPDR DOW JONES TOTAL MARKET ETF ----------------------------------------------------------------- FOR THE SIX MONTHS ENDED YEAR YEAR YEAR YEAR YEAR 12/31/09 ENDED ENDED ENDED ENDED ENDED (UNAUDITED) 6/30/09 6/30/08 6/30/07 6/30/06 6/30/05 ----------- -------- -------- -------- ------- -------- NET ASSET VALUE, BEGINNING OF PERIOD....... $ 67.33 $ 93.41 $ 108.50 $ 91.82 $ 85.26 $ 80.87 -------- -------- -------- -------- ------- -------- INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income (loss)............... 0.73(4) 1.66(4) 1.74 1.61 1.50 1.69 Net realized and unrealized gain (loss) (5)...................................... 14.65 (26.18) (15.07) 16.69 6.54 4.38 -------- -------- -------- -------- ------- -------- Total from investment operations........... 15.38 (24.52) (13.33) 18.30 8.04 6.07 -------- -------- -------- -------- ------- -------- Net equalization credits and charges (4)... (0.01) 0.09 0.03 -- -- -- -------- -------- -------- -------- ------- -------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income...................... (0.64) (1.65) (1.79) (1.62) (1.48) (1.68) Net realized gains......................... -- -- -- -- -- -- -------- -------- -------- -------- ------- -------- Total distributions........................ (0.64) (1.65) (1.79) (1.62) (1.48) (1.68) -------- -------- -------- -------- ------- -------- NET ASSET VALUE, END OF PERIOD............. $ 82.06 $ 67.33 $ 93.41 $ 108.50 $ 91.82 $ 85.26 ======== ======== ======== ======== ======= ======== TOTAL RETURN (1)........................... 22.86% (26.18)% (12.36)% 20.06% 9.47% 7.55% Net assets, end of period (in 000s)........ $184,649 $158,238 $126,113 $130,218 $96,416 $106,580 Ratio of expenses to average net assets.... 0.21%(2) 0.21% 0.20% 0.20% 0.21% 0.21% Ratio of net investment income (loss) to average net assets....................... 1.89%(2) 2.42% 1.74% 1.62% 1.62% 2.05% Portfolio turnover rate (3)................ 1% 10% 1% 2% 2% 32%
See accompanying notes to Financial Highlights on page 175 and notes to financial statements. 158 - --------------------------------------------------------------------------------
SPDR DOW JONES LARGE CAP ETF SPDR DOW JONES LARGE CAP GROWTH ETF ----------------------------------------------------- ------------------------------------------------------------ FOR THE FOR THE SIX MONTHS FOR THE SIX MONTHS ENDED YEAR YEAR YEAR PERIOD ENDED YEAR YEAR YEAR YEAR YEAR 12/31/09 ENDED ENDED ENDED 11/8/05*- 12/31/09 ENDED ENDED ENDED ENDED ENDED (UNAUDITED) 6/30/09 6/30/08 6/30/07 6/30/06 (UNAUDITED) 6/30/09 6/30/08 6/30/07 6/30/06 6/30/05 ----------- ------- ------- ------- --------- ----------- -------- -------- -------- -------- ------- $ 42.69 $ 59.55 $ 68.91 $ 58.17 $56.03 $ 39.70 $ 54.02 $ 57.36 $ 49.05 $ 46.27 $ 47.56 ------- ------- ------- ------- ------ -------- -------- -------- -------- -------- ------- 0.48(4) 1.09(4) 1.18 1.11 0.94 0.21(4) 0.52(4) 0.44 0.47 0.34 0.71 9.04 (17.02) (9.26) 10.74 2.11 9.54 (14.31) (3.33) 8.32 2.78 (1.29) ------- ------- ------- ------- ------ -------- -------- -------- -------- -------- ------- 9.52 (15.93) (8.08) 11.85 3.05 9.75 (13.79) (2.89) 8.79 3.12 (0.58) ------- ------- ------- ------- ------ -------- -------- -------- -------- -------- ------- -- 0.21 (0.00)+ -- -- -- (0.03) 0.01 (0.01) -- -- ------- ------- ------- ------- ------ -------- -------- -------- -------- -------- ------- (0.37) (1.14) (1.18) (1.11) (0.91) (0.21) (0.50) (0.46) (0.47) (0.34) (0.71) -- -- (0.10) -- -- -- -- -- -- -- -- ------- ------- ------- ------- ------ -------- -------- -------- -------- -------- ------- (0.37) (1.14) (1.28) (1.11) (0.91) (0.21) (0.50) (0.46) (0.47) (0.34) (0.71) ------- ------- ------- ------- ------ -------- -------- -------- -------- -------- ------- $ 51.84 $ 42.69 $ 59.55 $ 68.91 $58.17 $ 49.24 $ 39.70 $ 54.02 $ 57.36 $ 49.05 $ 46.27 ======= ======= ======= ======= ====== ======== ======== ======== ======== ======== ======= 22.36% (26.44)% (11.84)% 20.50% 5.47% 24.61% (25.58)% (5.04)% 17.96% 6.75% (1.25)% $46,660 $38,419 $ 8,933 $10,337 $5,817 $189,584 $154,817 $289,015 $223,708 $137,353 $80,981 0.22%(2) 0.23% 0.20% 0.20% 0.21%(2) 0.20%(2) 0.20% 0.20% 0.20% 0.21% 0.21% 1.95%(2) 2.63% 1.80% 1.69% 1.68%(2) 0.91%(2) 1.27% 0.81% 0.92% 0.74% 1.57% 3% 10% 7% 4% 4% 9% 32% 14% 15% 43% 21%
See accompanying notes to Financial Highlights on page 175 and notes to financial statements. 159 SPDR SERIES TRUST FINANCIAL HIGHLIGHTS SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------
SPDR DOW JONES LARGE CAP VALUE ETF ---------------------------------------------------------------------- FOR THE SIX MONTHS ENDED YEAR YEAR YEAR YEAR YEAR 12/31/09 ENDED ENDED ENDED ENDED ENDED (UNAUDITED) 6/30/09 6/30/08 6/30/07 6/30/06 (6) 6/30/05 (6) ----------- ------- ------- -------- ----------- ----------- NET ASSET VALUE, BEGINNING OF PERIOD.... $ 48.38 $ 69.18 $ 87.77 $ 73.15 $ 67.72 $ 62.91 -------- ------- ------- -------- -------- -------- INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income (loss)............ 0.77(4) 1.93(4) 2.37 1.99 1.80 1.70 Net realized and unrealized gain (loss)(5)............................. 9.09 (20.78) (18.59) 14.61 5.44 4.81 -------- ------- ------- -------- -------- -------- Total from investment operations........ 9.86 (18.85) (16.22) 16.60 7.24 6.51 -------- ------- ------- -------- -------- -------- Net equalization credits and charges (4)................................... (0.03) 0.07 (0.09) 0.02 -- -- -------- ------- ------- -------- -------- -------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................... (0.67) (2.02) (2.28) (2.00) (1.81) (1.70) Net realized gains...................... -- -- -- -- -- -- -------- ------- ------- -------- -------- -------- Total distributions..................... (0.67) (2.02) (2.28) (2.00) (1.81) (1.70) -------- ------- ------- -------- -------- -------- NET ASSET VALUE, END OF PERIOD.......... $ 57.54 $ 48.38 $ 69.18 $ 87.77 $ 73.15 $ 67.72 ======== ======= ======= ======== ======== ======== TOTAL RETURN (1)........................ 20.34% (27.33)% (18.85)% 22.90% 10.80% 10.43% Net assets, end of period (in 000s)..... $106,490 $99,221 $93,428 $149,247 $102,432 $135,456 Ratio of expenses to average net assets................................ 0.21%(2) 0.21% 0.20% 0.20% 0.21% 0.21% Ratio of net investment income (loss) to average net assets.................... 2.79%(2) 3.73% 2.80% 2.44% 2.52% 2.51% Portfolio turnover rate (3)............. 10% 36% 13% 13% 42% 19%
See accompanying notes to Financial Highlights on page 175 and notes to financial statements. 160 - --------------------------------------------------------------------------------
SPDR DOW JONES MID CAP ETF SPDR DOW JONES MID CAP GROWTH ETF ----------------------------------------------------- ----------------------------------------------------- FOR THE FOR THE SIX MONTHS FOR THE SIX MONTHS FOR THE ENDED YEAR YEAR YEAR PERIOD ENDED YEAR YEAR YEAR PERIOD 12/31/09 ENDED ENDED ENDED 11/8/05*- 12/31/09 ENDED ENDED ENDED 11/8/05*- (UNAUDITED) 6/30/09 6/30/08 6/30/07 6/30/06 (UNAUDITED) 6/30/09 6/30/08 6/30/07 6/30/06 ----------- ------- ------- ------- --------- ----------- ------- ------- ------- --------- $ 36.78 $ 52.05 $ 62.63 $ 53.16 $ 49.18 $ 45.20 $ 62.82 $ 68.88 $ 58.22 $ 53.95 ------- ------- ------- ------- ------- ------- ------- ------- ------- ------- 0.39(4) 0.74(4) 0.65 0.78 0.41 0.21(4) 0.33(4) 0.28 0.51 0.11 11.01 (15.32) (7.80) 10.28 3.96 13.94 (17.64) (5.01) 12.17 4.26 ------- ------- ------- ------- ------- ------- ------- ------- ------- ------- 11.40 (14.58) (7.15) 11.06 4.37 14.15 (17.31) (4.73) 12.68 4.37 ------- ------- ------- ------- ------- ------- ------- ------- ------- ------- 0.01 0.06 (0.01) -- -- 0.01 0.01 (0.00)+ -- -- ------- ------- ------- ------- ------- ------- ------- ------- ------- ------- (0.29) (0.75) (0.72) (0.80) (0.39) (0.19) (0.32) (0.29) (0.52) (0.10) -- -- (2.70) (0.79) -- -- -- (1.04) (1.50) -- ------- ------- ------- ------- ------- ------- ------- ------- ------- ------- (0.29) (0.75) (3.42) (1.59) (0.39) (0.19) (0.32) (1.33) (2.02) (0.10) ------- ------- ------- ------- ------- ------- ------- ------- ------- ------- $ 47.90 $ 36.78 $ 52.05 $ 62.63 $ 53.16 $ 59.17 $ 45.20 $ 62.82 $ 68.88 $ 58.22 ======= ======= ======= ======= ======= ======= ======= ======= ======= ======= 31.06% (27.89)% (11.53)% 21.11% 8.92% 31.33% (27.51)% (6.85)% 22.22% 8.10% $45,508 $31,260 $20,820 $25,054 $15,949 $76,918(2) $42,939 $43,977 $24,106 $20,375 0.28%(2) 0.30% 0.25% 0.25% 0.26%(2) 0.26%(2) 0.28% 0.25% 0.25% 0.26%(2) 1.78%(2) 2.02% 1.17% 1.41% 1.24%(2) 0.80%(2) 0.75% 0.45% 0.83% 0.30%(2) 18% 58% 45% 40% 25% 23% 74% 59% 55% 34%
See accompanying notes to Financial Highlights on page 175 and notes to financial statements. 161 SPDR SERIES TRUST FINANCIAL HIGHLIGHTS SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------
SPDR DOW JONES MID CAP VALUE ETF ---------------------------------------------------------------- FOR THE SIX MONTHS ENDED YEAR YEAR YEAR FOR THE PERIOD 12/31/09 ENDED ENDED ENDED 11/8/05*- (UNAUDITED) 6/30/09 6/30/08 6/30/07 6/30/06 ----------- ------- ------- ------- -------------- NET ASSET VALUE, BEGINNING OF PERIOD.......... $ 35.29 $ 50.34 $ 63.10 $ 54.63 $50.42 ------- ------- ------- ------- ------ INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income (loss).................. 0.63(4) 1.30(4) 1.28 1.28 0.73 Net realized and unrealized gain (loss)(5).... 10.09 (14.89) (12.58) 9.32 4.18 ------- ------- ------- ------- ------ Total from investment operations.............. 10.72 (13.59) (11.30) 10.60 4.91 ------- ------- ------- ------- ------ Net equalization credits and charges (4)...... 0.06 (0.09) (0.10) (0.01) -- ------- ------- ------- ------- ------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income......................... (0.51) (1.37) (1.36) (1.29) (0.70) Net realized gains............................ -- -- -- (0.83) -- ------- ------- ------- ------- ------ Total distributions........................... (0.51) (1.37) (1.36) (2.12) (0.70) ------- ------- ------- ------- ------ NET ASSET VALUE, END OF PERIOD................ $ 45.56 $ 35.29 $ 50.34 $ 63.10 $54.63 ======= ======= ======= ======= ====== TOTAL RETURN (1).............................. 30.59% (27.27)% (18.18)% 19.68% 9.76% Net assets, end of period (in 000s)........... $18,225 $ 8,823 $10,068 $18,929 $8,194 Ratio of expenses to average net assets....... 0.31%(2) 0.34% 0.25% 0.25% 0.26%(2) Ratio of net investment income (loss) to average net assets.......................... 2.94%(2) 3.52% 2.18% 2.10% 2.20%(2) Portfolio turnover rate (3)................... 31% 73% 51% 45% 29%
See accompanying notes to Financial Highlights on page 175 and notes to financial statements. 162 - --------------------------------------------------------------------------------
SPDR DOW JONES SMALL CAP ETF SPDR DOW JONES SMALL CAP GROWTH ETF ---------------------------------------------------- -------------------------------------------------------- FOR THE FOR THE SIX MONTHS FOR THE SIX MONTHS ENDED YEAR YEAR YEAR PERIOD ENDED YEAR YEAR YEAR YEAR YEAR 12/31/09 ENDED ENDED ENDED 11/8/05*- 12/31/09 ENDED ENDED ENDED ENDED ENDED (UNAUDITED) 6/30/09 6/30/08 6/30/07 6/30/06 (UNAUDITED) 6/30/09 6/30/08 6/30/07 6/30/06 6/30/05 ----------- ------- ------- ------- --------- ----------- ------- ------- ------- ------- ------- $ 41.18 $ 55.27 $ 66.57 $58.03 $ 52.42 $ 67.19 $ 90.65 $104.00 $ 87.11 $ 75.96 $ 69.92 ------- ------- ------- ------ ------- -------- ------- ------- ------- ------- ------- 0.39(4) 0.86(4) 0.69 0.89 0.46 0.18(4) 0.56(4) 0.42 0.20 0.23 0.33 11.12 (14.20) (11.19) 9.78 5.56 16.74 (23.51) (11.83) 16.88 11.17 6.03 ------- ------- ------- ------ ------- -------- ------- ------- ------- ------- ------- 11.51 (13.34) (10.50) 10.67 6.02 16.92 (22.95) (11.41) 17.08 11.40 6.36 ------- ------- ------- ------ ------- -------- ------- ------- ------- ------- ------- -- 0.06 0.04 -- -- -- 0.04 (0.00)+ -- -- -- ------- ------- ------- ------ ------- -------- ------- ------- ------- ------- ------- (0.29) (0.81) (0.84) (0.99) (0.41) (0.10) (0.55) (0.45) (0.19) (0.25) (0.32) -- -- -- (1.14) -- -- -- (1.49) -- -- -- ------- ------- ------- ------ ------- -------- ------- ------- ------- ------- ------- (0.29) (0.81) (0.84) (2.13) (0.41) (0.10) (0.55) (1.94) (0.19) (0.25) (0.32) ------- ------- ------- ------ ------- -------- ------- ------- ------- ------- ------- $ 52.40 $ 41.18 $ 55.27 $66.57 $ 58.03 $ 84.01 $ 67.19 $ 90.65 $104.00 $ 87.11 $ 75.96 ======= ======= ======= ====== ======= ======== ======= ======= ======= ======= ======= 27.96% (23.98)% (15.76)% 18.70% 11.49% 25.19% (25.21)% (11.01)% 19.63% 15.02% 9.13% $41,925 $22,651 $13,817 $9,985 $26,113 $121,829 $94,077 $86,129 $88,408 $78,405 $53,183 0.29%(2) 0.32% 0.25% 0.25% 0.26%(2) 0.26%(2) 0.26% 0.25% 0.25% 0.26% 0.26% 1.62%(2) 2.16% 1.34% 1.18% 1.35%(2) 0.46%(2) 0.88% 0.46% 0.22% 0.26% 0.46% 11% 28% 24% 16% 10% 18% 42% 38% 25% 84% 36%
See accompanying notes to Financial Highlights on page 175 and notes to financial statements. 163 SPDR SERIES TRUST FINANCIAL HIGHLIGHTS SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------
SPDR DOW JONES SMALL CAP VALUE ETF -------------------------------------------------------------------- FOR THE SIX MONTHS ENDED YEAR YEAR YEAR YEAR YEAR 12/31/09 ENDED ENDED ENDED ENDED ENDED (UNAUDITED) 6/30/09 6/30/08 6/30/07 6/30/06(6) 6/30/05(6) ----------- ------- ------- -------- ---------- ---------- NET ASSET VALUE, BEGINNING OF PERIOD..... $ 43.64 $ 57.92 $ 75.01 $ 65.35 $ 59.03 $ 56.97 ------- ------- ------- -------- -------- ------- INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income (loss)............. 0.74(4) 1.52(4) 1.25 1.62 1.40(4) 1.14(4) Net realized and unrealized gain (loss)(5).............................. 12.82 (14.33) (16.50) 9.76 8.21 4.55 ------- ------- ------- -------- -------- ------- Total from investment operations......... 13.56 (12.81) (15.25) 11.38 9.61 5.69 ------- ------- ------- -------- -------- ------- Net equalization credits and charges (4).................................... 0.01 (0.02) 0.01 0.02 -- -- ------- ------- ------- -------- -------- ------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income.................... (0.51) (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...................... (0.51) (1.45) (1.85) (1.74) (3.29) (3.63) ------- ------- ------- -------- -------- ------- NET ASSET VALUE, END OF PERIOD........... $ 56.70 $ 43.64 $ 57.92 $ 75.01 $ 65.35 $ 59.03 ======= ======= ======= ======== ======== ======= TOTAL RETURN (1)......................... 31.13% (22.20)% (20.46)% 17.64% 16.66% 10.07% Net assets, end of period (in 000s)...... $99,304 $69,885 $89,856 $120,090 $101,344 $88,583 Ratio of expenses to average net assets.. 0.27%(2) 0.27% 0.25% 0.25% 0.26% 0.26% Ratio of net investment income (loss) to average net assets..................... 2.80%(2) 3.32% 2.12% 2.27% 2.21% 2.00% Portfolio turnover rate (3).............. 23% 38% 28% 23% 97% 33%
See accompanying notes to Financial Highlights on page 175 and notes to financial statements. 164 - --------------------------------------------------------------------------------
SPDR DJ GLOBAL TITANS ETF SPDR DOW JONES REIT ETF --------------------------------------------------------------------- --------------------------------------------------- FOR THE FOR THE SIX MONTHS SIX MONTHS ENDED YEAR YEAR YEAR YEAR YEAR ENDED YEAR YEAR YEAR 12/31/09 ENDED ENDED ENDED ENDED ENDED 12/31/09 ENDED ENDED ENDED (UNAUDITED) 6/30/09 6/30/08 6/30/07 6/30/06 6/30/05 (UNAUDITED) 6/30/09 6/30/08 6/30/07 ----------- ------- -------- -------- ------- -------- ----------- -------- ---------- ---------- $ 47.27 $ 66.79 $ 79.11 $ 66.98 $ 62.88 $ 61.43 $ 34.00 $ 65.40 $ 80.93 $ 75.98 -------- ------- -------- -------- ------- -------- ---------- -------- ---------- ---------- 0.55(4) 1.64(4) 1.89 1.67 1.46 1.47 0.95(4) 1.91(4) 2.43 2.57 9.79 (19.47) (12.28) 12.11 4.08 1.44 15.22 (31.15) (14.86) 6.27 -------- ------- -------- -------- ------- -------- ---------- -------- ---------- ---------- 10.34 (17.83) (10.39) 13.78 5.54 2.91 16.17 (29.24) (12.43) 8.84 -------- ------- -------- -------- ------- -------- ---------- -------- ---------- ---------- 0.04 (0.09) 0.03 -- -- -- -- 0.11 0.16 (0.02) -------- ------- -------- -------- ------- -------- ---------- -------- ---------- ---------- (0.65) (1.60) (1.96) (1.65) (1.44) (1.46) (0.94) (2.27) (3.26) (3.33) -- -- -- -- -- -- -- -- -- (0.54) -------- ------- -------- -------- ------- -------- ---------- -------- ---------- ---------- (0.65) (1.60) (1.96) (1.65) (1.44) (1.46) (0.94) (2.27) (3.26) (3.87) -------- ------- -------- -------- ------- -------- ---------- -------- ---------- ---------- $ 57.00 $ 47.27 $ 66.79 $ 79.11 $ 66.98 $ 62.88 $ 49.23 $ 34.00 $ 65.40 $ 80.93 ======== ======= ======== ======== ======= ======== ========== ======== ========== ========== 22.01% (26.89)% (13.28)% 20.72% 8.88% 4.75% 47.66% (44.96)% (15.41)% 11.43% $102,641 $70,923 $163,654 $170,108 $77,044 $106,904 $1,045,329 $908,890 $1,289,796 $1,247,893 0.50%(2) 0.51% 0.50% 0.51% 0.51% 0.51% 0.25%(2) 0.25% 0.25% 0.25% 2.02%(2) 3.20% 2.55% 2.33% 2.11% 2.47% 4.39%(2) 4.58% 2.79% 2.95% 4% 10% 15% 9% 9% 36% 5% 15% 14% 16% SPDR DOW JONES REIT ETF ------------------------ YEAR YEAR ENDED ENDED 6/30/06(6) 6/30/05(6) ---------- ---------- $ 65.56 $ 51.38 ---------- -------- 2.99 2.98(4) 10.88 14.00 ---------- -------- 13.87 16.98 ---------- -------- -- -- ---------- -------- (3.00) (2.80) (0.45) -- ---------- -------- (3.45) (2.80) ---------- -------- $ 75.98 $ 65.56 ========== ======== 21.73% 33.64% $1,049,212 $659,223 0.26% 0.26% 3.57% 5.06% 11% 12%
See accompanying notes to Financial Highlights on page 175 and notes to financial statements. 165 SPDR SERIES TRUST FINANCIAL HIGHLIGHTS SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------
SPDR KBW BANK ETF ----------------------------------------------------------------- FOR THE SIX MONTHS ENDED YEAR YEAR YEAR FOR THE PERIOD 12/31/09 ENDED ENDED ENDED 11/8/05*- (UNAUDITED) 6/30/09 6/30/08 6/30/07 6/30/06 ------------ -------- -------- ------- -------------- NET ASSET VALUE, BEGINNING OF PERIOD.......... $ 18.08 $ 28.58 $ 55.44 $ 53.73 $ 50.17 -------- -------- -------- ------- -------- INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income (loss).................. 0.11(4) 0.94(4) 1.60 2.54 0.93 Net realized and unrealized gain (loss)(5).... 3.11 (10.67) (27.35) 1.64 3.52 -------- -------- -------- ------- -------- Total from investment operations.............. 3.22 (9.73) (25.75) 4.18 4.45 -------- -------- -------- ------- -------- Net equalization credits and charges (4)...... (0.01) 0.03 0.66 0.30 -- -------- -------- -------- ------- -------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income......................... (0.09) (0.80) (1.77) (2.77) (0.89) -------- -------- -------- ------- -------- Total distributions........................... (0.09) (0.80) (1.77) (2.77) (0.89) -------- -------- -------- ------- -------- NET ASSET VALUE, END OF PERIOD................ $ 21.20 $ 18.08 $ 28.58 $ 55.44 $ 53.73 ======== ======== ======== ======= ======== TOTAL RETURN (1).............................. 17.76% (34.54)% (46.07)% 8.28% 8.90% Net assets, end of period (in 000s)........... $808,924 $821,694 $883,280 $72,068 $147,756 Ratio of expenses to average net assets....... 0.35%(2) 0.35% 0.35% 0.35% 0.36%(2) Ratio of net investment income (loss) to average net assets.......................... 1.05%(2) 4.29% 4.46% 2.93% 3.06%(2) Portfolio turnover rate (3)................... 14% 51% 23% 8% 22%
See accompanying notes to Financial Highlights on page 175 and notes to financial statements. 166 - --------------------------------------------------------------------------------
SPDR KBW CAPITAL MARKETS ETF SPDR KBW INSURANCE ETF ----------------------------------------------------- ------------------------------------------------------------ FOR THE SIX FOR THE FOR THE SIX MONTHS ENDED YEAR YEAR YEAR PERIOD MONTHS ENDED YEAR YEAR YEAR FOR THE PERIOD 12/31/09 ENDED ENDED ENDED 11/8/05*- 12/31/09 ENDED ENDED ENDED 11/8/05*- (UNAUDITED) 6/30/09 6/30/08 6/30/07 6/30/06 (UNAUDITED) 6/30/09 6/30/08 6/30/07 6/30/06 ------------ ------- -------- ------- --------- ------------ -------- ------- ------- -------------- $ 33.41 $ 45.12 $ 68.80 $ 56.18 $ 53.07 $ 26.52 $ 40.89 $ 59.41 $ 51.22 $ 52.12 ------- ------- -------- ------- ------- -------- -------- ------- ------- ------- 0.12(4) 0.52(4) 0.53 (4) 0.41 2.63 0.31(4) 0.67(4) 1.02(4) 0.76 0.44 3.36 (11.79) (23.68) 12.60 3.09 8.16 (14.55) (18.56) 8.17 (0.93) ------- ------- -------- ------- ------- -------- -------- ------- ------- ------- 3.48 (11.27) (23.15) 13.01 5.72 8.47 (13.88) (17.54) 8.93 (0.49) ------- ------- -------- ------- ------- -------- -------- ------- ------- ------- (0.01) (0.03) 0.10 (0.04) -- (0.01) 0.14 0.12 (0.02) -- ------- ------- -------- ------- ------- -------- -------- ------- ------- ------- (0.13) (0.41) (0.63) (0.35) (2.61) (0.26) (0.63) (1.10) (0.72) (0.41) ------- ------- -------- ------- ------- -------- -------- ------- ------- ------- (0.13) (0.41) (0.63) (0.35) (2.61) (0.26) (0.63) (1.10) (0.72) (0.41) ------- ------- -------- ------- ------- -------- -------- ------- ------- ------- $ 36.75 $ 33.41 $ 45.12 $ 68.80 $ 56.18 $ 34.72 $ 26.52 $ 40.89 $ 59.41 $ 51.22 ======= ======= ======== ======= ======= ======== ======== ======= ======= ======= 10.38% (24.98)% (33.71)% 23.14% 10.55% 31.92% (33.69)% (29.67)% 17.46% (0.93)% $82,685 $80,188 $117,300 $86,003 $50,559 $151,040 $139,205 $63,374 $59,413 $35,855 0.35%(2) 0.36% 0.35% 0.35% 0.36%(2) 0.35%(2) 0.35% 0.35% 0.35% 0.36%(2) 0.66%(2) 1.65% 0.89% 0.52% 2.42%(2) 1.81%(2) 2.56% 1.99% 1.32% 1.27%(2) 6% 52% 52% 96% 11% 11% 53% 18% 6% 16%
See accompanying notes to Financial Highlights on page 175 and notes to financial statements. 167 SPDR SERIES TRUST FINANCIAL HIGHLIGHTS SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------
SPDR KBW MORTGAGE FINANCE ETF ---------------------------- FOR THE SIX MONTHS ENDED FOR THE PERIOD 12/31/09 4/29/09*- (UNAUDITED) 6/30/09 ----------- -------------- NET ASSET VALUE, BEGINNING OF PERIOD............................... $36.18 $ 41.19 ------ ------- INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income (loss)....................................... 0.41(4) 0.15(4) Net realized and unrealized gain (loss)(5)......................... 5.04 (5.02) ------ ------- Total from investment operations................................... 5.45 (4.87) ------ ------- Net equalization credits and charges (4)........................... (0.05) 0.04 ------ ------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income.............................................. (0.45) (0.18) Net realized gains................................................. (0.20) -- Return of capital.................................................. -- -- ------ ------- Total distributions................................................ (0.65) (0.18) ------ ------- NET ASSET VALUE, END OF PERIOD..................................... $40.93 $ 36.18 ====== ======= TOTAL RETURN (1)................................................... 14.92% (11.73)% Net assets, end of period (in 000s)................................ $4,093 $ 5,427 Ratio of expenses to average net assets............................ 0.35%(2) 0.35%(2) Ratio of net investment income (loss) to average net assets........ 2.01%(2) 2.38%(2) Portfolio turnover rate (3)........................................ 20% 5%
See accompanying notes to Financial Highlights on page 175 and notes to financial statements. 168 - --------------------------------------------------------------------------------
SPDR KBW REGIONAL BANKING ETF SPDR MORGAN STANLEY TECHNOLOGY ETF - -------------------------------------------------------------- ------------------------------------------------------------- FOR THE FOR THE SIX MONTHS FOR THE SIX MONTHS ENDED YEAR YEAR YEAR PERIOD ENDED YEAR YEAR YEAR YEAR YEAR 12/31/09 ENDED ENDED ENDED 6/19/06*- 12/31/09 ENDED ENDED ENDED ENDED ENDED (UNAUDITED) 6/30/09 6/30/08 6/30/07 6/30/06 (UNAUDITED) 6/30/09 6/30/08 6/30/07 6/30/06 6/30/05 ----------- -------- -------- -------- --------- ----------- -------- -------- -------- -------- ------- $ 18.31 $ 26.56 $ 45.90 $ 48.33 $ 48.02 $ 44.96 $ 55.15 $ 61.90 $ 49.11 $ 46.99 $ 49.18 -------- -------- -------- -------- ------- -------- -------- -------- -------- -------- ------- 0.22(4) 0.94(4) 1.43 1.84 0.02 0.03(4) 0.23(4) 0.15 0.05 0.03 0.11 3.91 (8.04) (18.58) (2.40) 0.29 12.58 (10.18) (6.74) 12.80 2.13 (2.19) -------- -------- -------- -------- ------- -------- -------- -------- -------- -------- ------- 4.13 (7.10) (17.15) (0.56) 0.31 12.61 (9.95) (6.59) 12.85 2.16 (2.08) -------- -------- -------- -------- ------- -------- -------- -------- -------- -------- ------- -- 0.07 (0.60) (0.43) -- -- (0.00)+ (0.01) (0.00)+ -- -- -------- -------- -------- -------- ------- -------- -------- -------- -------- -------- ------- (0.15) (1.22) (1.59) (1.44) -- (0.03) (0.24) (0.15) (0.05) (0.03) (0.11) -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- (0.01) (0.01) -- -------- -------- -------- -------- ------- -------- -------- -------- -------- -------- ------- (0.15) (1.22) (1.59) (1.44) -- (0.03) (0.24) (0.15) (0.06) (0.04) (0.11) -------- -------- -------- -------- ------- -------- -------- -------- -------- -------- ------- $ 22.29 $ 18.31 $ 26.56 $ 45.90 $ 48.33 $ 57.54 $ 44.96 $ 55.15 $ 61.90 $ 49.11 $ 46.99 ======== ======== ======== ======== ======= ======== ======== ======== ======== ======== ======= 22.59% (27.94)% (39.51)% (2.16)% 0.66% 28.01% (17.97)% (10.67)% 26.19% 4.60% (4.25)% $444,697 $434,937 $709,284 $128,523 $99,076 $256,043 $197,818 $228,870 $188,811 $144,873 $30,546 0.35%(2) 0.35% 0.35% 0.36% 0.36%(2) 0.50%(2) 0.50% 0.50% 0.50% 0.51% 0.51% 2.06%(2) 3.68% 4.04% 2.16% 4.01%(2) 0.11%(2) 0.56% 0.26% 0.09% 0.07% 0.24% 21% 51% 35% 39% 0% 16% 19% 24% 22% 23% 46%
See accompanying notes to Financial Highlights on page 175 and notes to financial statements. 169 SPDR SERIES TRUST FINANCIAL HIGHLIGHTS SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------
SPDR S&P DIVIDEND ETF ----------------------------------------------------------- FOR THE SIX MONTHS FOR THE ENDED YEAR YEAR YEAR PERIOD 12/31/09 ENDED ENDED ENDED 11/8/05*- (UNAUDITED) 6/30/09 6/30/08 6/30/07 6/30/06 ----------- -------- -------- -------- --------- NET ASSET VALUE, BEGINNING OF PERIOD............. $ 37.96 $ 44.30 $ 62.57 $ 55.70 $ 53.49 ---------- -------- -------- -------- -------- INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income (loss)..................... 0.85(4) 1.97(4) 2.19(4) 1.75 1.12 Net realized and unrealized gain (loss) (5)...... 8.20 (6.47) (17.49) 6.87 2.15 ---------- -------- -------- -------- -------- Total from investment operations................. 9.05 (4.50) (15.30) 8.62 3.27 ---------- -------- -------- -------- -------- Net equalization credits and charges (4)......... 0.06 0.16 0.02 0.12 (0.00)+ ---------- -------- -------- -------- -------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income............................ (0.87) (2.00) (2.19) (1.87) (1.06) Net realized gains............................... -- -- (0.80) -- -- ---------- -------- -------- -------- -------- Total distributions.............................. (0.87) (2.00) (2.99) (1.87) (1.06) ---------- -------- -------- -------- -------- Voluntary contribution from Adviser.............. -- -- -- -- -- ---------- -------- -------- -------- -------- NET ASSET VALUE, END OF PERIOD................... $ 46.20 $ 37.96 $ 44.30 $ 62.57 $ 55.70 ========== ======== ======== ======== ======== TOTAL RETURN (1)................................. 24.06% (10.06)% (25.05)% 15.78% 6.16% Net assets, end of period (in 000s).............. $1,238,343 $658,655 $230,378 $275,319 $100,263 Ratio of expenses to average net assets.......... 0.35%(2) 0.35% 0.35% 0.34% 0.30%(2) Ratio of net investment income (loss) to average net assets..................................... 3.87%(2) 5.10% 3.92% 3.11% 3.45%(2) Portfolio turnover rate (3)...................... 37% 105% 48% 41% 25%
See accompanying notes to Financial Highlights on page 175 and notes to financial statements. 170 - --------------------------------------------------------------------------------
SPDR S&P BIOTECH ETF SPDR S&P HOMEBUILDERS ETF - --------------------------------------------------------------- -------------------------------------------------------- FOR THE FOR THE SIX MONTHS FOR THE SIX MONTHS FOR THE ENDED YEAR YEAR YEAR PERIOD ENDED YEAR YEAR YEAR PERIOD 12/31/09 ENDED ENDED ENDED 1/31/06*- 12/31/09 ENDED ENDED ENDED 1/31/06*- (UNAUDITED) 6/30/09 6/30/08 6/30/07 6/30/06 (UNAUDITED) 6/30/09 6/30/08 6/30/07 6/30/06 ----------- -------- -------- -------- --------- ----------- -------- -------- -------- --------- $ 50.71 $ 57.47 $ 50.93 $ 45.90 $ 49.67 $ 11.77 $ 16.53 $ 30.37 $ 33.86 $ 46.92 -------- -------- -------- -------- ------- -------- -------- -------- -------- -------- (0.03)(4) 0.44(4) 0.66 0.18 (0.07) 0.07(4) 0.24(4) 0.36 0.28 0.07 2.94 (7.23) 6.59 5.04 (3.70) 3.32 (4.72) (13.82) (3.49) (13.06) -------- -------- -------- -------- ------- -------- -------- -------- -------- -------- 2.91 (6.79) 7.25 5.22 (3.77) 3.39 (4.48) (13.46) (3.21) (12.99) -------- -------- -------- -------- ------- -------- -------- -------- -------- -------- 0.01 (0.00)+ (0.02) (0.05) -- -- 0.01 (0.06) 0.01 (0.00)+ -------- -------- -------- -------- ------- -------- -------- -------- -------- -------- -- (0.16) (0.69) (0.14) -- (0.06) (0.29) (0.32) (0.29) (0.07) -- -- -- -- -- -- -- -- -- -- -------- -------- -------- -------- ------- -------- -------- -------- -------- -------- -- (0.16) (0.69) (0.14) -- (0.06) (0.29) (0.32) (0.29) (0.07) -------- -------- -------- -------- ------- -------- -------- -------- -------- -------- -- 0.19 -- -- -- -- -- -- -- -- -------- -------- -------- -------- ------- -------- -------- -------- -------- -------- $ 53.63 $ 50.71 $ 57.47 $ 50.93 $ 45.90 $ 15.10 $ 11.77 $ 16.53 $ 30.37 $ 33.86 ======== ======== ======== ======== ======= ======== ======== ======== ======== ======== 5.76% (11.46)%(7) 14.15% 11.26% (7.59)% 28.79% (27.30)% (44.63)% (9.51)% (27.70)% $402,217 $428,508 $264,342 $106,957 $29,835 $685,435 $556,111 $535,553 $331,067 $165,908 0.35%(2) 0.35% 0.35% 0.35% 0.36%(2) 0.35%(2) 0.35% 0.35% 0.35% 0.36%(2) (0.12)%(2) 0.83% 1.48% 0.51% (0.33)%(2) 0.89%(2) 1.84% 1.80% 0.64% 0.34%(2) 43% 78% 79% 74% 38% 28% 82% 76% 16% 19%
See accompanying notes to Financial Highlights on page 175 and notes to financial statements. 171 SPDR SERIES TRUST FINANCIAL HIGHLIGHTS SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------
SPDR S&P METALS & MINING ETF -------------------------------------------------------- FOR THE SIX MONTHS FOR THE ENDED YEAR YEAR YEAR PERIOD 12/31/09 ENDED ENDED ENDED 6/19/06*- (UNAUDITED) 6/30/09 6/30/08 6/30/07 6/30/06 ----------- -------- -------- -------- --------- NET ASSET VALUE, BEGINNING OF PERIOD............ $ 37.07 $ 94.16 $ 62.63 $ 50.08 $ 43.29 -------- -------- -------- -------- ------- INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income (loss).................... 0.20(4) 0.55(4) 0.39 0.39 0.02 Net realized and unrealized gain (loss) (5)..... 14.61 (57.11) 31.54 12.55 6.77 -------- -------- -------- -------- ------- Total from investment operations................ 14.81 (56.56) 31.93 12.94 6.79 -------- -------- -------- -------- ------- Net equalization credits and charges (4)........ (0.01) 0.04 -- (0.03) -- -------- -------- -------- -------- ------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income........................... (0.24) (0.57) (0.40) (0.36) -- Net realized gains.............................. -- -- -- -- -- -------- -------- -------- -------- ------- Total distributions............................. (0.24) (0.57) (0.40) (0.36) -- -------- -------- -------- -------- ------- NET ASSET VALUE, END OF PERIOD.................. $ 51.63 $ 37.07 $ 94.16 $ 62.63 $ 50.08 ======== ======== ======== ======== ======= TOTAL RETURN (1)................................ 39.96% (59.95)% 51.22% 25.93% 15.70% Net assets, end of period (in 000s)............. $893,280 $602,423 $819,193 $203,540 $30,050 Ratio of expenses to average net assets......... 0.35%(2) 0.35% 0.35% 0.35% 0.36%(2) Ratio of net investment income (loss) to average net assets.................................... 0.87%(2) 1.43% 0.59% 0.70% 1.65%(2) Portfolio turnover rate (3)..................... 26% 68% 59% 31% 0%
See accompanying notes to Financial Highlights on page 175 and notes to financial statements. 172 - --------------------------------------------------------------------------------
SPDR S&P OIL & GAS SPDR S&P OIL & GAS EQUIPMENT & SERVICES ETF EXPLORATION & PRODUCTION ETF - ------------------------------------------------------------------ ----------------------------------------------------------- FOR THE FOR THE SIX MONTHS FOR THE SIX MONTHS FOR THE ENDED YEAR YEAR YEAR PERIOD ENDED YEAR YEAR YEAR PERIOD 12/31/09 ENDED ENDED ENDED 6/19/06*- 12/31/09 ENDED ENDED ENDED 6/19/06*- (UNAUDITED) 6/30/09 6/30/08 6/30/07 6/30/06 (UNAUDITED) 6/30/09 6/30/08 6/30/07 6/30/06 ----------- -------- -------- -------- --------- ----------- -------- -------- ------- --------- $ 21.76 $ 50.90 $ 36.90 $ 31.07 $ 27.99 $ 31.67 $ 70.10 $ 45.93 $ 39.12 $ 33.80 -------- -------- -------- -------- ------- -------- -------- -------- ------- ------- 0.10(4) 0.18(4) 0.11 0.08 0.00+ 0.16(4) 0.29(4) 0.13 0.10 0.00+ 6.66 (29.14) 14.11 5.83 3.08 9.53 (38.46) 24.16 6.81 5.32 -------- -------- -------- -------- ------- -------- -------- -------- ------- ------- 6.76 (28.96) 14.22 5.91 3.08 9.69 (38.17) 24.29 6.91 5.32 -------- -------- -------- -------- ------- -------- -------- -------- ------- ------- (0.00)+ (0.00)+ (0.00)+ (0.00)+ -- (0.03) 0.02 0.02 (0.00)+ -- -------- -------- -------- -------- ------- -------- -------- -------- ------- ------- (0.09) (0.18) (0.12) (0.08) -- (0.15) (0.28) (0.14) (0.10) -- -- -- (0.10) -- -- -- -- -- -- -- -------- -------- -------- -------- ------- -------- -------- -------- ------- ------- (0.09) (0.18) (0.22) (0.08) -- (0.15) (0.28) (0.14) (0.10) -- -------- -------- -------- -------- ------- -------- -------- -------- ------- ------- $ 28.43 $ 21.76 $ 50.90 $ 36.90 $ 31.07 $ 41.18 $ 31.67 $ 70.10 $ 45.93 $ 39.12 ======== ======== ======== ======== ======= ======== ======== ======== ======= ======= 31.09% (56.87)% 38.61% 19.08% 10.98% 30.53% (54.44)% 52.99% 17.68% 15.74% $304,225 $199,101 $279,948 $143,927 $15,535 $420,065 $280,282 $311,952 $39,041 $19,560 0.35%(2) 0.35% 0.36% 0.35% 0.36%(2) 0.35%(2) 0.35% 0.35% 0.35% 0.36%(2) 0.75%(2) 0.75% 0.28% 0.36% 0.17%(2) 0.82%(2) 0.82% 0.28% 0.23% 0.10%(2) 17% 42% 51% 43% 0% 14% 45% 44% 48% 0%
See accompanying notes to Financial Highlights on page 175 and notes to financial statements. 173 SPDR SERIES TRUST FINANCIAL HIGHLIGHTS SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------
SPDR S&P PHARMACEUTICALS ETF -------------------------------------------------------- FOR THE SIX MONTHS FOR THE ENDED YEAR YEAR YEAR PERIOD 12/31/09 ENDED ENDED ENDED 6/19/06*- (UNAUDITED) 6/30/09 6/30/08 6/30/07 6/30/06 ----------- ------- ------- ------- --------- NET ASSET VALUE, BEGINNING OF PERIOD............... $ 30.00 $ 31.08 $ 35.57 $ 31.88 $ 31.42 ------- ------- ------- ------- ------- INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income (loss)....................... 0.19(4) 0.45(4) 0.32(4) 0.38 0.00+ Net realized and unrealized gain (loss) (5)........ 8.07 (1.07) (4.51) 3.80 0.46 ------- ------- ------- ------- ------- Total from investment operations................... 8.26 (0.62) (4.19) 4.18 0.46 ------- ------- ------- ------- ------- Net equalization credits and charges (4)........... -- 0.03 0.03 -- -- ------- ------- ------- ------- ------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income.............................. (0.17) (0.44) (0.33) (0.38) -- Net realized gains................................. -- (0.05) -- (0.11) -- ------- ------- ------- ------- ------- Total distributions................................ (0.17) (0.49) (0.33) (0.49) -- ------- ------- ------- ------- ------- Voluntary contribution from Adviser................ -- -- -- -- -- ------- ------- ------- ------- ------- NET ASSET VALUE, END OF PERIOD..................... $ 38.09 $ 30.00 $ 31.08 $35.57 $ 31.88 ======= ======= ======= ======= ======= TOTAL RETURN (1)................................... 27.59% (1.89)% (11.73)% 13.17% 1.46% Net assets, end of period (in 000s)................ $64,761 $40,499 $ 9,328 $8,897 $15,939 Ratio of expenses to average net assets............ 0.36%(2) 0.36% 0.35% 0.35% 0.36%(2) Ratio of net investment income (loss) to average net assets....................................... 1.13%(2) 1.59% 0.97% 0.95% 0.29%(2) Portfolio turnover rate (3)........................ 32% 80% 50% 23% 0%
See accompanying notes to Financial Highlights on page 175 and notes to financial statements. 174 - --------------------------------------------------------------------------------
SPDR S&P RETAIL ETF SPDR S&P SEMICONDUCTOR ETF -------------------------------------------------------------------------- ---------------------------------------------- FOR THE FOR THE SIX MONTHS FOR THE SIX MONTHS ENDED YEAR YEAR YEAR PERIOD ENDED YEAR YEAR YEAR 12/31/09 ENDED ENDED ENDED 6/19/06*- 12/31/09 ENDED ENDED ENDED (UNAUDITED) 6/30/09 6/30/08 6/30/07 6/30/06 (UNAUDITED) 6/30/09 6/30/08 6/30/07 ----------- ---------- -------- -------- --------- ----------- -------- ------- -------- $ 27.70 $ 29.26 $ 43.54 $ 37.61 $ 36.72 $ 33.86 $ 41.62 $ 53.22 $ 47.29 -------- ---------- -------- -------- ------- ------- -------- ------- -------- 0.19(4) 0.40(4) 0.37 0.11 0.01 0.18(4) 0.35(4) 0.24 0.16 8.45 (1.70) (14.39) 5.93 0.88 13.69 (7.84) (11.58) 5.93 -------- ---------- -------- -------- ------- ------- -------- ------- -------- 8.64 (1.30) (14.02) 6.04 0.89 13.87 (7.49) (11.34) 6.09 -------- ---------- -------- -------- ------- ------- -------- ------- -------- (0.30) (0.01) (0.09) 0.02 -- (0.01) 0.02 0.01 (0.00)+ -------- ---------- -------- -------- ------- ------- -------- ------- -------- (0.37) (0.43) (0.31) (0.13) -- (0.18) (0.29) (0.27) (0.16) -- -- -- -- -- -- -- -- -- -------- ---------- -------- -------- ------- ------- -------- ------- -------- (0.37) (0.43) (0.31) (0.13) -- (0.18) (0.29) (0.27) (0.16) -------- ---------- -------- -------- ------- ------- -------- ------- -------- 0.00+ 0.18 0.14 -- -- -- -- -- -- -------- ---------- -------- -------- ------- ------- -------- ------- -------- $ 35.67 $ 27.70 $ 29.26 $ 43.54 $ 37.61 $ 47.54 $ 33.86 $ 41.62 $ 53.22 ======== ========== ======== ======== ======= ======= ======== ======= ======== 30.11%(7) (3.61)%(7) (32.11)%(7) 16.12% 2.42% 40.95% (17.88)% (21.30)% 12.89% $433,403 $1,018,007 $263,380 $134,978 $20,687 $97,454 $103,282 $39,538 $106,439 0.35%(2) 0.35% 0.35% 0.35% 0.36%(2) 0.35%(2) 0.35% 0.35% 0.35% 1.12%(2) 1.61% 1.40% 0.35% 0.82%(2) 0.91%(2) 1.12% 0.52% 0.35% 7% 69% 50% 71% 0% 12% 41% 65% 52% SPDR S&P SEMICON- DUCTOR SPDR WELLS FARGO ETF PREFERRED STOCK ETF --------- ------------------- FOR THE FOR THE PERIOD PERIOD 9/16/09* - 1/31/06*- 12/31/09 6/30/06 (UNAUDITED) --------- ------------------- $ 53.32 $ 40.00 ------- ------- 0.02 1.00(4) (6.03) 0.93 ------- ------- (6.01) 1.93 ------- ------- -- 0.42 ------- ------- (0.02) (0.87) -- -- ------- ------- (0.02) (0.87) ------- ------- -- -- ------- ------- $ 47.29 $ 41.48 ======= ======= (11.26)% 5.88% $47,290 $24,887 0.36%(2) 0.45%(2) 0.10%(2) 8.53%(2) 40% 8%
* 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 during the Year Ended 6/30/09 to SPDR S&P Biotech ETF, the total return would have been (11.79)%. If the Adviser had not made a voluntary contribution during the Year Ended 6/30/08 to SPDR S&P Retail ETF, the total return would have been (32.44)%. If the Adviser had not made a voluntary contribution during the Year Ended 6/30/09 to SPDR S&P Retail ETF, the total return would have been (3.62)%. If the Adviser had not made a voluntary contribution during the Six Months Ended 12/31/09 to SPDR S&P Retail ETF, the total return would have been 29.03%. See accompanying notes to financial statements. 175 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS DECEMBER 31, 2009 (UNAUDITED) - -------------------------------------------------------------------------------- 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 December 31, 2009, the Trust offered forty-seven (47) 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-eight (28) Funds: 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 KBW Mortgage Finance ETF, SPDR KBW Regional Banking 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 and SPDR Wells Fargo Preferred Stock ETF. Each Fund operates as a non-diversified investment company. The other nineteen (19) Funds are included in a separate Semi-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 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 176 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - -------------------------------------------------------------------------------- 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. Fair value pricing involves subjective judgments and it is possible that the fair value determination for a security is materially different than the value that could be received on the sale of the security. Effective July 1, 2008, the Funds adopted the authoritative guidance for fair value measurements and the fair value option for financial assets and financial liabilities. The guidance for the fair value option for financial assets and financial liabilities provides funds the irrevocable option to measure many financial assets and liabilities at fair value with changes in fair value recognized in earnings. The guidance also establishes a hierarchy for inputs used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs be used when available. The guidance establishes three levels of inputs that may be used to measure fair value: - - Level 1 -- quoted prices in active markets for identical investments. - - Level 2 -- other significant observable inputs (including, but not limited to, quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.). - - Level 3 -- significant unobservable inputs (including the 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. 177 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - -------------------------------------------------------------------------------- The following table summarizes the inputs used in valuing the Funds' investments, as of December 31, 2009:
LEVEL 2 -- LEVEL 3 -- LEVEL 1 -- OTHER SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE SPDR SERIES TRUST PRICES INPUTS INPUTS TOTAL - ----------------- -------------- ----------------- ------------ -------------- SPDR Dow Jones Total Market ETF......... $ 197,000,871 $ -- $ -- $ 197,000,871 SPDR Dow Jones Large Cap ETF............ 59,671,072 -- -- 59,671,072 SPDR Dow Jones Large Cap Growth ETF..... 196,064,067 -- -- 196,064,067 SPDR Dow Jones Large Cap Value ETF...... 108,185,098 -- -- 108,185,098 SPDR Dow Jones Mid Cap ETF.............. 58,687,194 -- -- 58,687,194 SPDR Dow Jones Mid Cap Growth ETF....... 99,095,542 -- -- 99,095,542 SPDR Dow Jones Mid Cap Value ETF........ 23,464,203 -- -- 23,464,203 SPDR Dow Jones Small Cap ETF............ 54,110,453 -- 2 54,110,455 SPDR Dow Jones Small Cap Growth ETF..... 157,123,301 -- -- 157,123,301 SPDR Dow Jones Small Cap Value ETF...... 120,446,765 -- 23 120,446,788 SPDR DJ Global Titans ETF............... 104,952,300 -- -- 104,952,300 SPDR Dow Jones REIT ETF................. 1,278,690,527 -- -- 1,278,690,527 SPDR KBW Bank ETF....................... 918,038,526 -- -- 918,038,526 SPDR KBW Capital Markets ETF............ 93,330,880 -- -- 93,330,880 SPDR KBW Insurance ETF.................. 155,115,335 -- -- 155,115,335 SPDR KBW Mortgage Finance ETF........... 4,092,925 -- -- 4,092,925 SPDR KBW Regional Banking ETF........... 565,944,928 -- -- 565,944,928 SPDR Morgan Stanley Technology ETF...... 266,865,447 -- -- 266,865,447 SPDR S&P Dividend ETF................... 1,415,678,127 -- -- 1,415,678,127 SPDR S&P Biotech ETF.................... 487,992,954 -- -- 487,992,954 SPDR S&P Homebuilders ETF............... 878,884,856 -- -- 878,884,856 SPDR S&P Metals & Mining ETF............ 1,023,963,619 -- -- 1,023,963,619 SPDR S&P Oil & Gas Equipment & Services ETF.......................... 345,403,851 -- -- 345,403,851 SPDR S&P Oil & Gas Exploration & Production ETF........................ 460,176,505 -- -- 460,176,505 SPDR S&P Pharmaceuticals ETF............ 81,939,573 -- -- 81,939,573 SPDR S&P Retail ETF..................... 538,358,465 -- -- 538,358,465 SPDR S&P Semiconductor ETF.............. 108,071,897 -- -- 108,071,897 SPDR Wells Fargo Preferred Stock ETF.... 24,901,820 -- -- 24,901,820
The following table provides the reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value at December 31, 2009:
NET CHANGE IN REALIZED UNREALIZED 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 Value ETF..... 23 -- -- -- -- 23 --
178 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - -------------------------------------------------------------------------------- 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. 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 U.S. government securities. 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. 179 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - -------------------------------------------------------------------------------- Additionally, based on the Funds' 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 six months ended December 31, 2009, the following 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......... $ 2,534,397 SPDR Dow Jones Large Cap Growth ETF..... 1,228,961 SPDR Dow Jones Large Cap Value ETF...... 2,977,233 SPDR Dow Jones Small Cap Growth ETF..... 3,769,582 SPDR DJ Global Titans ETF............... 249,552 SPDR Dow Jones REIT ETF................. 63,097,251 SPDR KBW Bank ETF....................... (20,416,303) SPDR KBW Capital Markets ETF............ 4,877,136 SPDR KBW Insurance ETF.................. 40,099,656 SPDR KBW Mortgage Finance ETF........... 13,680 SPDR KBW Regional Banking ETF........... (18,056,203) SPDR Morgan Stanley Technology ETF...... 1,914,469 SPDR S&P Dividend ETF................... 1,197,080 SPDR S&P Biotech ETF.................... 7,644,174 SPDR S&P Homebuilders ETF............... 84,696,658 SPDR S&P Metals & Mining ETF............ 126,919,751 SPDR S&P Oil & Gas Equipment & Services ETF................................... 12,486,030 SPDR S&P Oil & Gas Exploration & Production ETF........................ 25,534,533 SPDR S&P Pharmaceuticals ETF............ 428,425 SPDR S&P Retail ETF..................... 81,307,386 SPDR S&P Semiconductor ETF.............. 20,645,668
At December 31, 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 2017 ----------- ------------ ------------ ----------- ----------- ----------- ----------- ------------- SPDR Dow Jones Total Market ETF........ $ -- $ (2,005,163) $ (1,348,494) $ (153,659) $(4,842,998) $ -- $ -- $ (1,378,715) SPDR Dow Jones Large Cap ETF........... -- -- -- -- -- -- -- (131,432) SPDR Dow Jones Large Cap Growth ETF.... (5,421,523) (4,738,409) (2,821,107) (309,686) (3,652,975) -- -- (6,452,641) SPDR Dow Jones Large Cap Value ETF..... -- -- -- (974,429) -- -- -- (5,372,858) SPDR Dow Jones Mid Cap ETF........... -- -- -- -- -- -- -- (558,343) SPDR Dow Jones Mid Cap Growth ETF.... -- -- -- -- -- -- -- (2,960,864)
180 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
2010 2011 2012 2013 2014 2015 2016 2017 ----------- ------------ ------------ ----------- ----------- ----------- ----------- ------------- SPDR Dow Jones Mid Cap Value ETF..... $ -- $ -- $ -- $ -- $ -- $ -- $ (493,781) $ (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........ (417,404) (1,493,437) (984,760) -- -- (282,717) -- (12,535,918) SPDR Dow Jones REIT ETF............... -- -- -- -- -- -- -- (1,122,565) SPDR KBW Bank ETF... -- -- -- -- -- -- (435,385) (118,852,502) SPDR KBW Capital Markets ETF....... -- -- -- -- -- -- (9,042,847) (23,772,407) SPDR KBW Insurance ETF............... -- -- -- -- -- -- (514,950) (1,401,569) SPDR KBW Mortgage Finance ETF....... -- -- -- -- -- -- -- -- SPDR KBW Regional Banking ETF....... -- -- -- -- -- -- -- (24,075,194) 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) (2,659,957) SPDR S&P Dividend ETF............... -- -- -- -- -- -- -- (15,532,281) SPDR S&P Biotech ETF............... -- -- -- -- -- (2,145,212) (733,614) (24,363,945) SPDR S&P Homebuilders ETF.. -- -- -- -- -- (4,745,039) (8,203,751) (24,813,335) SPDR S&P Metals & Mining ETF........ -- -- -- -- -- (104,652) -- (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............... -- -- -- -- -- -- (1,022,978) (250,690) SPDR S&P Semiconductor ETF............... -- -- -- -- -- (1,832,423) -- (12,113,199) SPDR Wells Fargo Preferred Stock ETF............... -- -- -- -- -- -- -- --
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)
181 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
DEFERRED LOSSES --------------- SPDR KBW Bank ETF....................... $(192,730,377) SPDR KBW Capital Markets ETF............ (27,417,548) SPDR KBW Insurance ETF.................. (14,753,338) SPDR KBW Mortgage Finance ETF........... (42,885) SPDR KBW Regional Banking ETF........... (127,410,392) 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 Wells Fargo Preferred Stock ETF.... --
DISTRIBUTIONS Each Fund declares and distributes dividends from net investment income, if any, to its shareholders quarterly. The Trust declares and 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. Effective October 30, 2009, the Trust's Dividend Reinvestment Service is no longer available. Broker-dealers, at their own discretion, may offer a dividend reinvestment service under which additional shares of the Fund(s) are purchased in the secondary market at current market prices. Investors should consult their broker-dealer for further information regarding any dividend reinvestment service offered by such broker-dealer. SUBSEQUENT EVENTS Management's evaluation of the impact of all subsequent events on the Funds financial statements was completed through February 22, 2010. Management has determined that as of that date there were no material events requiring adjustments or disclosure in the Funds financial statements. 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
182 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
ANNUAL RATE ----------- 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 KBW Mortgage Finance ETF........... 0.35 SPDR KBW Regional Banking 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 Wells Fargo Preferred Stock ETF.... 0.45
The Adviser pays all operating 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 18, 2009 the Adviser agreed to make a voluntary contribution of $11,147 to the SPDR S&P Retail ETF to correct for market impact of cash held that should have been invested in securities. 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. For the six months ended December 31, 2009, State Street earned securities lending agent fees from the following funds:
SECURITIES LENDING AGENT FEES ------------------ SPDR Dow Jones Total Market ETF......... $ 6,272 SPDR Dow Jones Large Cap ETF............ 3,391 SPDR Dow Jones Large Cap Growth ETF..... 3,080
183 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITIES LENDING AGENT FEES ------------------ SPDR Dow Jones Large Cap Value ETF...... $ 3,319 SPDR Dow Jones Mid Cap ETF.............. 4,166 SPDR Dow Jones Mid Cap Growth ETF....... 5,262 SPDR Dow Jones Mid Cap Value ETF........ 1,782 SPDR Dow Jones Small Cap ETF............ 3,917 SPDR Dow Jones Small Cap Growth ETF..... 17,331 SPDR Dow Jones Small Cap Value ETF...... 11,368 SPDR DJ Global Titans ETF............... 2,099 SPDR Dow Jones REIT ETF................. 67,880 SPDR KBW Bank ETF....................... 273,717 SPDR KBW Capital Markets ETF............ 1,962 SPDR KBW Insurance ETF.................. 2,652 SPDR KBW Regional Banking ETF........... 70,404 SPDR Morgan Stanley Technology ETF...... 2,729 SPDR S&P Dividend ETF................... 99,647 SPDR S&P Biotech ETF.................... 89,198 SPDR S&P Homebuilders ETF............... 46,647 SPDR S&P Metals & Mining ETF............ 32,533 SPDR S&P Oil & Gas Equipment & Services ETF................................... 11,482 SPDR S&P Oil & Gas Exploration & Production ETF........................ 10,329 SPDR S&P Pharmaceuticals ETF............ 3,545 SPDR S&P Retail ETF..................... 89,362 SPDR S&P Semiconductor ETF.............. 7,719
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 adopted in accordance with 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, 2010 and therefore no such payments have been made. 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. 184 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - -------------------------------------------------------------------------------- TRANSACTIONS WITH AFFILIATES The Funds listed below have invested in an affiliated company, State Street Corp. Amounts relating to these investments at December 31, 2009 and for the period then ended are:
NUMBER OF PURCHASED SOLD NUMBER OF SHARES HELD VALUE AT ----------------------- ----------------------- SHARES HELD VALUE AT FUND AT 6/30/09 6/30/09 COST SHARES PROCEEDS SHARES AT 12/31/09 12/31/09 - ---- ----------- ----------- ----------- --------- ----------- --------- ----------- ----------- SPDR Dow Jones Total Market ETF........ 7,122 $ 336,158 $ -- -- $ 15,557 306 6,816 $ 296,769 SPDR Dow Jones Large Cap ETF........... 2,069 97,657 5,438 100 -- -- 2,169 94,438 SPDR Dow Jones Large Cap Growth ETF.... -- -- 1,022,288 18,800 19,659 476 18,324 797,827 SPDR Dow Jones Large Cap Value ETF..... 10,424 492,013 -- -- 564,452 10,424 -- -- SPDR KBW Bank ETF... 726,963 34,312,654 48,705,194 1,060,214 56,649,301 1,230,650 556,527 24,231,186 SPDR KBW Capital Markets ETF....... 149,545 7,058,524 8,049,819 164,121 8,107,305 172,895 140,771 6,129,169 DIVIDEND REALIZED FUND INCOME GAIN/(LOSS) - ---- -------- ----------- SPDR Dow Jones Total Market ETF........ $ 136 $ 6,006 SPDR Dow Jones Large Cap ETF........... 43 -- SPDR Dow Jones Large Cap Growth ETF.... 371 (6,225) SPDR Dow Jones Large Cap Value ETF..... -- 23,929 SPDR KBW Bank ETF... 11,884 (2,322,053) SPDR KBW Capital Markets ETF....... 2,933 (106,684)
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 substantially 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. In addition, cash collateral from lending activities is invested in the State Street Navigator Securities Lending Prime Portfolio ("Navigator") for which SSgA FM 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 Liquid Reserves Fund and/or Navigator at December 31, 2009 and for the period then ended are:
PURCHASED SOLD VALUE AT ------------------------ ------------------------ VALUE AT REALIZED FUND 6/30/09 COST SHARES PROCEEDS SHARES 12/31/09 INCOME GAIN/(LOSS) - ---- -------- ----------- ---------- ----------- ---------- ---------- ------ ----------- SPDR Dow Jones Total Market ETF........ $ -- $ 4,028,607 4,028,607 $ 3,294,873 3,294,873 $ 733,734 $ 409 $-- SPDR Dow Jones Large Cap ETF........... -- 540,834 540,834 503,946 503,946 36,888 46 -- SPDR Dow Jones Large Cap Growth ETF.... -- 2,103,177 2,103,177 1,713,539 1,713,539 389,638 133 -- SPDR Dow Jones Large Cap Value ETF..... -- 2,849,827 2,849,827 2,709,181 2,709,181 140,646 174 -- SPDR Dow Jones Mid Cap ETF........... -- 684,690 684,690 628,909 628,909 55,781 50 -- SPDR Dow Jones Mid Cap Growth ETF.... -- 1,282,112 1,282,112 1,183,168 1,183,168 98,944 112 -- SPDR Dow Jones Mid Cap Value ETF..... -- 303,889 303,889 285,395 285,395 18,494 22 -- SPDR Dow Jones Small Cap ETF........... -- 532,160 532,160 473,030 473,030 59,130 26 -- SPDR Dow Jones Small Cap Growth ETF.... -- 3,050,718 3,050,718 2,656,861 2,656,861 393,857 224 -- SPDR Dow Jones Small Cap Value ETF..... -- 1,491,223 1,491,223 1,342,893 1,342,893 148,330 82 -- SPDR DJ Global Titans ETF........ -- 1,834,138 1,834,138 1,763,186 1,763,186 70,952 82 -- SPDR Dow Jones REIT ETF.......... -- 30,458,766 30,458,766 29,083,338 29,083,338 1,375,428 767 -- SPDR KBW Bank ETF... -- 5,397,703 5,397,703 4,954,819 4,954,819 442,884 447 -- SPDR KBW Capital Markets ETF....... -- 739,750 739,750 564,521 564,521 175,229 95 -- SPDR KBW Insurance ETF..... -- 1,968,738 1,968,738 1,795,846 1,795,846 172,892 116 -- SPDR KBW Mortgage Finance ETF....... 31,581 130,844 130,844 157,854 157,854 4,571 11 -- SPDR KBW Regional Banking ETF....... -- 9,193,211 9,193,211 8,852,710 8,852,710 340,501 285 --
185 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PURCHASED SOLD VALUE AT ------------------------ ------------------------ VALUE AT REALIZED FUND 6/30/09 COST SHARES PROCEEDS SHARES 12/31/09 INCOME GAIN/(LOSS) - ---- -------- ----------- ---------- ----------- ---------- ---------- ------ ----------- SPDR Morgan Stanley Technology ETF.... $ -- $ 1,207,934 1,207,934 $ 844,964 844,964 $ 362,970 $ 96 $-- SPDR S&P Dividend ETF...... -- 37,330,864 37,330,864 35,625,590 35,625,590 1,705,274 1,310 -- SPDR S&P Biotech ETF....... -- 2,533,725 2,533,725 2,533,625 2,533,625 100 82 -- SPDR S&P Homebuilders ETF.. -- 7,934,770 7,934,770 7,653,073 7,653,073 281,697 380 -- SPDR S&P Metals & Mining ETF........ -- 6,450,532 6,450,532 5,569,760 5,569,760 880,772 611 -- SPDR S&P Oil & Gas Equipment & Services ETF...... -- 1,442,228 1,442,228 1,229,972 1,229,972 212,256 217 -- SPDR S&P Oil & Gas Exploration & Production ETF.... -- 2,048,870 2,048,870 1,861,102 1,861,102 187,768 263 -- SPDR S&P Pharmaceuticals ETF............... -- 323,305 323,305 317,998 317,998 5,307 19 -- SPDR S&P Retail ETF........ -- 3,410,298 3,410,298 3,233,984 3,233,984 176,314 295 -- SPDR S&P Semiconductor ETF............... -- 709,229 709,229 634,815 634,815 74,414 99 -- SPDR Wells Fargo Preferred Stock ETF......... -- 833,260 833,260 744,870 744,870 88,390 19 --
PURCHASED SOLD VALUE AT -------------------------- -------------------------- VALUE AT FUND 6/30/09 COST SHARES PROCEEDS SHARES 12/31/09 INCOME - ---- ------------ ------------ ----------- ------------ ----------- ------------ ---------- SPDR Dow Jones Total Market ETF........ $ 7,113,997 $ 39,134,298 39,134,298 $ 33,678,478 33,678,478 $ 12,569,817 $ 35,753 SPDR Dow Jones Large Cap ETF........... 10,783,247 72,612,590 72,612,590 70,331,058 70,331,058 13,064,779 19,500 SPDR Dow Jones Large Cap Growth ETF.... 8,792,553 11,794,957 11,794,957 13,863,753 13,863,753 6,723,757 17,415 SPDR Dow Jones Large Cap Value ETF..... 3,567,500 8,112,800 8,112,800 9,838,973 9,838,973 1,841,327 18,761 SPDR Dow Jones Mid Cap ETF........... 9,024,333 12,594,911 12,594,911 8,402,914 8,402,914 13,216,330 23,771 SPDR Dow Jones Mid Cap Growth ETF.... 12,397,043 24,288,422 24,288,422 14,486,551 14,486,551 22,198,914 29,803 SPDR Dow Jones Mid Cap Value ETF..... 2,551,586 6,854,804 6,854,804 4,140,683 4,140,683 5,265,707 10,157 SPDR Dow Jones Small Cap ETF........... 6,570,359 15,547,236 15,547,236 9,896,524 9,896,524 12,221,071 24,165 SPDR Dow Jones Small Cap Growth ETF.... 27,383,717 49,461,227 49,461,227 41,538,512 41,538,512 35,306,432 98,603 SPDR Dow Jones Small Cap Value ETF..... 18,673,686 42,567,021 42,567,021 39,899,346 39,899,346 21,341,361 64,923 SPDR DJ Global Titans ETF........ 5,673,841 24,900,283 24,900,283 27,961,038 27,961,038 2,613,086 11,895 SPDR Dow Jones REIT ETF.......... 195,862,882 629,790,245 629,790,245 590,116,661 590,116,661 235,536,466 384,725 SPDR KBW Bank ETF... 207,065,428 709,979,577 709,979,577 807,486,461 807,486,461 109,558,544 1,532,037 SPDR KBW Capital Markets ETF....... 9,170,277 41,095,655 41,095,655 39,710,860 39,710,860 10,555,072 11,115 SPDR KBW Insurance ETF..... 5,982,505 27,119,083 27,119,083 28,814,331 28,814,331 4,287,257 15,031 SPDR KBW Regional Bank ETF.......... 133,202,649 287,653,531 287,653,531 298,826,343 298,826,343 122,029,837 398,950 SPDR Morgan Stanley Technology ETF.... 13,653,424 35,120,405 35,120,405 38,001,084 38,001,084 10,772,745 15,471 SPDR S&P Dividend ETF...... 157,934,201 487,658,279 487,658,279 466,076,886 466,076,886 179,515,594 563,759 SPDR S&P Biotech ETF....... 109,293,810 310,009,517 310,009,517 333,344,018 333,344,018 85,959,309 505,501 SPDR S&P Homebuilders ETF.. 125,762,270 516,816,958 516,816,958 448,799,674 448,799,674 193,779,554 264,406 SPDR S&P Metals & Mining ETF........ 146,985,910 366,929,951 366,929,951 382,886,556 382,886,556 131,029,305 184,406 SPDR S&P Oil & Gas Equipment & Services ETF...... 40,191,165 136,930,360 136,930,360 135,899,296 135,899,296 41,222,229 65,075 SPDR S&P Oil & Gas Exploration & Production ETF.... 56,506,368 191,167,327 191,167,327 207,402,817 207,402,817 40,270,878 58,544 SPDR S&P Pharmaceuticals ETF............... 11,638,204 51,481,501 51,481,501 45,890,055 45,890,055 17,229,650 20,077 SPDR S&P Retail ETF........ 65,789,143 582,350,376 582,350,376 542,901,432 542,901,432 105,238,087 506,375 SPDR S&P Semiconductor ETF............... 25,378,726 76,644,221 76,644,221 91,412,007 91,412,007 10,610,940 43,747 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 KBW Regional Bank 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............... --
4. SHAREHOLDER TRANSACTIONS With the exception of the Trust's Dividend Reinvestment Service (See Note 2), 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 186 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - -------------------------------------------------------------------------------- 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 fee, including a variable fee, may be charged for certain transactions. Transaction fees 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. 5. AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION The identified cost of investments in securities owned by each Fund for federal income tax purposes was substantially the same as cost for financial reporting purposes. Accordingly, gross unrealized appreciation and depreciation at December 31, 2009 was as follows:
GROSS GROSS NET UNREALIZED IDENTIFIED UNREALIZED UNREALIZED APPRECIATION COST APPRECIATION DEPRECIATION (DEPRECIATION) -------------- ------------ ------------ -------------- SPDR Dow Jones Total Market ETF......... $ 193,084,131 $ 26,273,145 $ 22,356,405 $ 3,916,740 SPDR Dow Jones Large Cap ETF............ 52,126,998 8,370,586 826,512 7,544,074 SPDR Dow Jones Large Cap Growth ETF..... 205,324,003 16,000,892 25,260,828 (9,259,936) SPDR Dow Jones Large Cap Value ETF...... 119,110,439 8,746,640 19,671,981 (10,925,341) SPDR Dow Jones Mid Cap ETF.............. 53,070,316 7,353,671 1,736,793 5,616,878 SPDR Dow Jones Mid Cap Growth ETF....... 88,686,569 12,486,752 2,077,779 10,408,973 SPDR Dow Jones Mid Cap Value ETF........ 22,854,558 1,694,836 1,085,191 609,645 SPDR Dow Jones Small Cap ETF............ 53,069,642 4,458,391 3,417,580 1,040,811 SPDR Dow Jones Small Cap Growth ETF..... 161,077,286 14,989,424 18,943,409 (3,953,985) SPDR Dow Jones Small Cap Value ETF...... 130,210,542 9,331,152 19,094,929 (9,763,777) SPDR DJ Global Titans ETF............... 116,389,243 5,492,984 16,929,927 (11,436,943) SPDR Dow Jones REIT ETF................. 1,573,856,351 9,743,023 304,908,847 (295,165,824) SPDR KBW Bank ETF....................... 1,129,011,278 33,123 211,005,875 (210,972,752) SPDR KBW Capital Markets ETF............ 118,603,668 262,101 25,534,889 (25,272,788) SPDR KBW Insurance ETF.................. 170,154,271 810,158 15,849,094 (15,038,936) SPDR KBW Mortgage Finance ETF........... 4,194,120 320,910 422,105 (101,195) SPDR KBW Regional Banking ETF........... 698,308,122 7,451,775 139,814,969 (132,363,194) SPDR Morgan Stanley Technology ETF...... 251,786,737 33,988,645 18,909,935 15,078,710 SPDR S&P Dividend ETF................... 1,283,047,415 142,227,916 9,597,204 132,630,712 SPDR S&P Biotech ETF.................... 508,449,352 21,863,753 42,320,151 (20,456,398) SPDR S&P Homebuilders ETF............... 891,327,563 15,915,187 28,357,894 (12,442,707) SPDR S&P Metals & Mining ETF............ 956,567,560 83,130,853 15,734,794 67,396,059 SPDR S&P Oil & Gas Equipment & Services ETF................................... 331,757,915 28,439,231 14,793,295 13,645,936 SPDR S&P Oil & Gas Exploration & Production ETF........................ 487,729,955 7,562,803 35,116,253 (27,553,450) SPDR S&P Pharmaceuticals ETF............ 71,269,549 11,409,529 739,505 10,670,024 SPDR S&P Retail ETF..................... 540,684,492 3,636,351 5,962,378 (2,326,027) SPDR S&P Semiconductor ETF.............. 88,303,964 19,872,579 104,646 19,767,933 SPDR Wells Fargo Preferred Stock ETF.... 24,236,646 694,441 29,267 665,174
187 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - -------------------------------------------------------------------------------- 6. INVESTMENT TRANSACTIONS For the six months ended December 31, 2009, the following Funds had in-kind contributions and in-kind redemptions as follows:
CONTRIBUTIONS REDEMPTIONS -------------- -------------- SPDR Dow Jones Total Market ETF......... $ -- $ 7,445,356 SPDR Dow Jones Large Cap ETF............ -- -- SPDR Dow Jones Large Cap Growth ETF..... 4,344,373 7,055,554 SPDR Dow Jones Large Cap Value ETF...... 2,775,102 13,669,494 SPDR Dow Jones Mid Cap ETF.............. 4,388,641 -- SPDR Dow Jones Mid Cap Growth ETF....... 19,165,175 -- SPDR Dow Jones Mid Cap Value ETF........ 6,250,696 -- SPDR Dow Jones Small Cap ETF............ 12,829,486 -- SPDR Dow Jones Small Cap Growth ETF..... 13,689,244 11,922,093 SPDR Dow Jones Small Cap Value ETF...... 7,467,162 -- SPDR DJ Global Titans ETF............... 19,355,693 2,649,063 SPDR Dow Jones REIT ETF................. 98,446,762 335,724,087 SPDR KBW Bank ETF....................... 1,455,858,531 1,595,372,402 SPDR KBW Capital Markets ETF............ 94,301,614 98,244,239 SPDR KBW Insurance ETF.................. 340,699,696 370,913,570 SPDR KBW Mortgage Finance ETF........... -- 1,963,546 SPDR KBW Regional Banking ETF........... 1,381,614,602 1,436,347,640 SPDR Morgan Stanley Technology ETF...... 10,260,697 7,092,189 SPDR S&P Dividend ETF................... 418,487,988 4,386,314 SPDR S&P Biotech ETF.................... 83,398,435 133,301,667 SPDR S&P Homebuilders ETF............... 973,313,197 984,161,309 SPDR S&P Metals & Mining ETF............ 917,591,838 831,184,279 SPDR S&P Oil & Gas Equipment & Services ETF................................... 84,655,579 37,349,868 SPDR S&P Oil & Gas Exploration & Production ETF........................ 1,136,761,111 1,060,336,198 SPDR S&P Pharmaceuticals ETF............ 13,891,663 1,726,281 SPDR S&P Retail ETF..................... 4,975,873,438 5,653,112,395 SPDR S&P Semiconductor ETF.............. 45,035,595 84,138,855 SPDR Wells Fargo Preferred Stock ETF.... 24,401,195 --
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 six months ended December 31, 2009, the Funds had purchases and sales of investment securities as follows:
PURCHASES SALES ------------ ------------ SPDR Dow Jones Total Market ETF......... $ 2,821,649 $ 1,947,498 SPDR Dow Jones Large Cap ETF............ 1,640,111 1,255,138 SPDR Dow Jones Large Cap Growth ETF..... 16,441,605 16,593,354 SPDR Dow Jones Large Cap Value ETF...... 11,618,300 10,098,650 SPDR Dow Jones Mid Cap ETF.............. 7,015,598 6,773,317 SPDR Dow Jones Mid Cap Growth ETF....... 13,215,434 13,302,389 SPDR Dow Jones Mid Cap Value ETF........ 4,403,018 4,372,068
188 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PURCHASES SALES ------------ ------------ SPDR Dow Jones Small Cap ETF............ $ 3,281,908 $ 3,194,282 SPDR Dow Jones Small Cap Growth ETF..... 20,521,955 20,302,934 SPDR Dow Jones Small Cap Value ETF...... 20,376,866 20,061,935 SPDR DJ Global Titans ETF............... 3,405,704 3,791,949 SPDR Dow Jones REIT ETF................. 57,100,097 58,952,194 SPDR KBW Bank ETF....................... 119,873,265 117,974,583 SPDR KBW Capital Markets ETF............ 5,245,380 5,246,907 SPDR KBW Insurance ETF.................. 18,691,295 18,306,851 SPDR KBW Mortgage Finance ETF........... 1,161,730 1,177,233 SPDR KBW Regional Banking ETF........... 98,591,802 97,269,382 SPDR Morgan Stanley Technology ETF...... 35,952,820 36,106,986 SPDR S&P Dividend ETF................... 346,786,444 348,335,985 SPDR S&P Biotech ETF.................... 180,956,163 180,936,698 SPDR S&P Homebuilders ETF............... 215,473,868 214,854,709 SPDR S&P Metals & Mining ETF............ 186,920,411 188,917,251 SPDR S&P Oil & Gas Equipment & Services ETF................................... 43,865,623 43,853,888 SPDR S&P Oil & Gas Exploration & Production ETF........................ 52,543,482 52,155,502 SPDR S&P Pharmaceuticals ETF............ 16,597,707 16,541,691 SPDR S&P Retail ETF..................... 45,338,800 43,051,224 SPDR S&P Semiconductor ETF.............. 14,829,012 14,760,433 SPDR Wells Fargo Preferred Stock ETF.... 1,211,831 1,434,959
For the six months ended December 31, 2009, the Funds did not pay any commissions to an affiliate of the Advisor for investment transactions. 7. CONCENTRATION OF RISK A 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 December 31, 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, represents 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. 189 SPDR SERIES TRUST OTHER INFORMATION DECEMBER 31, 2009 (UNAUDITED) - -------------------------------------------------------------------------------- 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, trustee 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 July 1, 2009 and held for the six months ended December 31, 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 at scheduled amounts ranging from $250 to $4,500 per Creation Unit to those persons creating or redeeming Creation Units. If you buy or sell the Funds' shares 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 ANNUALIZED ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD* ACTUAL EXPENSE RATIO 7/1/09 12/31/09 7/1/09-12/31/09 - ------ ------------- ------------- ------------- --------------- SPDR Dow Jones Total Market ETF......... 0.21% $1,000 $1,228.60 $1.18 SPDR Dow Jones Large Cap ETF............ 0.22 1,000 1,223.60 1.23 SPDR Dow Jones Large Cap Growth ETF..... 0.20 1,000 1,246.10 1.13 SPDR Dow Jones Large Cap Value ETF...... 0.21 1,000 1,203.40 1.17 SPDR Dow Jones Mid Cap ETF.............. 0.28 1,000 1,310.60 1.63 SPDR Dow Jones Mid Cap Growth ETF....... 0.26 1,000 1,313.30 1.52 SPDR Dow Jones Mid Cap Value ETF........ 0.31 1,000 1,305.90 1.80 SPDR Dow Jones Small Cap ETF............ 0.29 1,000 1,279.60 1.67 SPDR Dow Jones Small Cap Growth ETF..... 0.26 1,000 1,251.90 1.48 SPDR Dow Jones Small Cap Value ETF...... 0.27 1,000 1,311.30 1.57 SPDR DJ Global Titans ETF............... 0.50 1,000 1,220.10 2.80 SPDR Dow Jones REIT ETF................. 0.25 1,000 1,476.60 1.56 SPDR KBW Bank ETF....................... 0.35 1,000 1,177.60 1.92 SPDR KBW Capital Markets ETF............ 0.35 1,000 1,103.80 1.86 SPDR KBW Insurance ETF.................. 0.35 1,000 1,319.20 2.05 SPDR KBW Mortgage Finance ETF........... 0.35 1,000 1,149.20 1.90 SPDR KBW Regional Banking ETF........... 0.35 1,000 1,225.90 1.96 SPDR Morgan Stanley Technology ETF...... 0.50 1,000 1,280.10 2.87
190 SPDR SERIES TRUST OTHER INFORMATION (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
BEGINNING ENDING EXPENSES PAID ANNUALIZED ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD* ACTUAL EXPENSE RATIO 7/1/09 12/31/09 7/1/09-12/31/09 - ------ ------------- ------------- ------------- --------------- SPDR S&P Dividend ETF................... 0.35% $1,000 $1,240.60 $1.98 SPDR S&P Biotech ETF.................... 0.35 1,000 1,057.60 1.82 SPDR S&P Homebuilders ETF............... 0.35 1,000 1,287.90 2.02 SPDR S&P Metals & Mining ETF............ 0.35 1,000 1,399.60 2.12 SPDR S&P Oil & Gas Equipment & Services ETF................................... 0.35 1,000 1,310.90 2.04 SPDR S&P Oil & Gas Exploration & Production ETF........................ 0.35 1,000 1,305.30 2.03 SPDR S&P Pharmaceuticals ETF............ 0.36 1,000 1,275.90 2.07 SPDR S&P Retail ETF..................... 0.35 1,000 1,301.10 2.03 SPDR S&P Semiconductor ETF.............. 0.35 1,000 1,409.50 2.13 SPDR Wells Fargo Preferred Stock ETF**.. 0.45 1,000 1,058.80 1.35
BEGINNING ENDING EXPENSES PAID ANNUALIZED ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD* HYPOTHETICAL EXPENSE RATIO 7/1/09 12/31/09 7/1/09-12/31/09 - ------------ ------------- ------------- ------------- --------------- SPDR Dow Jones Total Market ETF......... 0.21% $1,000 $1,024.16 $1.07 SPDR Dow Jones Large Cap ETF............ 0.22 1,000 1,024.11 1.12 SPDR Dow Jones Large Cap Growth ETF..... 0.20 1,000 1,024.18 1.02 SPDR Dow Jones Large Cap Value ETF...... 0.21 1,000 1,024.15 1.07 SPDR Dow Jones Mid Cap ETF.............. 0.28 1,000 1,023.79 1.43 SPDR Dow Jones Mid Cap Growth ETF....... 0.26 1,000 1,023.87 1.33 SPDR Dow Jones Mid Cap Value ETF........ 0.31 1,000 1,023.65 1.58 SPDR Dow Jones Small Cap ETF............ 0.29 1,000 1,023.77 1.48 SPDR Dow Jones Small Cap Growth ETF..... 0.26 1,000 1,023.89 1.33 SPDR Dow Jones Small Cap Value ETF...... 0.27 1,000 1,023.87 1.38 SPDR DJ Global Titans ETF............... 0.50 1,000 1,022.67 2.55 SPDR Dow Jones REIT ETF................. 0.25 1,000 1,023.93 1.28 SPDR KBW Bank ETF....................... 0.35 1,000 1,023.42 1.79 SPDR KBW Capital Markets ETF............ 0.35 1,000 1,023.43 1.79 SPDR KBW Insurance ETF.................. 0.35 1,000 1,023.43 1.79 SPDR KBW Mortgage Finance ETF........... 0.35 1,000 1,023.42 1.79 SPDR KBW Regional Banking ETF........... 0.35 1,000 1,023.42 1.79 SPDR Morgan Stanley Technology ETF...... 0.50 1,000 1,022.67 2.55 SPDR S&P Dividend ETF................... 0.35 1,000 1,023.43 1.79 SPDR S&P Biotech ETF.................... 0.35 1,000 1,023.42 1.79 SPDR S&P Homebuilders ETF............... 0.35 1,000 1,023.43 1.79 SPDR S&P Metals & Mining ETF............ 0.35 1,000 1,023.43 1.79 SPDR S&P Oil & Gas Equipment & Services ETF................................... 0.35 1,000 1,023.43 1.79 SPDR S&P Oil & Gas Exploration & Production ETF........................ 0.35 1,000 1,023.43 1.79 SPDR S&P Pharmaceuticals ETF............ 0.36 1,000 1,023.38 1.84 SPDR S&P Retail ETF..................... 0.35 1,000 1,023.42 1.79 SPDR S&P Semiconductor ETF.............. 0.35 1,000 1,023.43 1.79 SPDR Wells Fargo Preferred Stock ETF**.. 0.45 1,000 1,022.93 1.33
191 SPDR SERIES TRUST OTHER INFORMATION (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - -------------------------------------------------------------------------------- * Expenses are equal to the Fund's annualized net 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 9/16/09. Hypothetical period is from 7/1/09.
PROXY VOTING POLICIES AND PROCEDURES AND RECORD A description of the Trust's proxy voting policies and procedures used by the Funds' investment adviser to vote proxies relating to the Funds' portfolio 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 any proxies for the prior twelve-month period 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. SHAREHOLDER MEETING On January 25, 2010, the SPDR Series Trust and the SPDR Index Shares Funds provided notice of, and a proxy statement associated with, a Shareholder Meeting to be held on March 19, 2010 at SSgA Funds Management, Inc.'s offices in Boston, Massachusetts. Shareholders of record as of January 6, 2010 received such information and are entitled to vote at the Shareholder Meeting. The purpose of the Shareholder Meeting is to seek approval of several proposals which relate to the following matters: to elect Trustees; to approve an investment sub-advisory agreement between the Adviser and Nuveen Asset Management related to the portfolio management of the SPDR Municipal Bond ETFs; to adopt a "manager of managers" structure for all Funds which would permit the SPDR Funds to hire and replace sub-advisers without the expense of a shareholder meeting; to modify or eliminate certain fundamental policies and restrictions for all SPDR Funds and; to address other matters which may properly come before the Shareholder Meeting. More information on the Shareholder Meeting, the proposals and how to vote is available 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 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's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC- 0330. The information on the Form N-Q is 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. They are also available without charge, upon request, by calling 1-866-787-2257 (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 192 SPDR SERIES TRUST OTHER INFORMATION (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - -------------------------------------------------------------------------------- APPROVAL OF ADVISORY AGREEMENT At in-person meetings held during the six-month period ended December 31, 2009, the Board of Trustees of the Trust (the "Board") evaluated proposals to continue the Investment Advisory Agreement with respect to the operational and non- operational series of the Trust (each, a "SPDR ETF" and collectively, the "SPDR ETFs"). 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 Investment Advisory Agreement. In evaluating the Investment Advisory 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, Custodian and Securities Lending Agent ("State Street"). In deciding whether to approve the Investment Advisory Agreement, the Board considered various factors, including (i) the nature, extent and quality of services provided by, or to be provided by, the Adviser with respect to the SPDR ETFs under the Investment Advisory Agreement, (ii) investment performance of the SPDR ETFs, (iii) costs to the Adviser of its services and profits realized by the Adviser from its relationship with the Trust, and (iv) the extent to which economies of scale would be realized if and as the SPDR ETFs grow and whether fee levels in the Investment Advisory Agreement reflect these economies of scale. The Board considered the nature, extent and quality of services provided by, or 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 Investment Advisory Agreement and the Adviser's responsibilities for managing investment operations of the SPDR ETFs in accordance with each SPDR ETF's investment objective, investment policies, and applicable legal and regulatory requirements. The Board appreciated the relatively unique nature of the SPDR ETFs, as exchange-traded funds, and the experience and expertise of the Adviser with exchange-traded funds. The Board considered the background and experience of the Adviser's senior management, including those individuals responsible for portfolio management and compliance of the SPDR ETFs. The Board also considered the portfolio management resources, structures and practices, including those associated with monitoring and securing each SPDR 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 Advisors, 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 exchange-traded funds in particular. The Board considered the Adviser's experience in managing equity exchange-traded funds. The Board then determined that the nature, extent and quality of services provided by the Adviser to the SPDR ETFs were necessary and appropriate. The Board reviewed the SPDR ETFs' performance, noting that the distinctive indexed investment objective of each of the SPDR ETFs made analysis of investment performance, in absolute terms, less of a priority than that which normally attaches to performance of actively-managed funds. The Board was more concerned with the extent to which each SPDR ETF achieved its objective as a passively managed index fund. The Board reviewed information regarding each SPDR ETF's index tracking and tracking error, noting that each SPDR ETF satisfactorily tracked its benchmark index. The Board also discussed the tax efficiency of the SPDR ETFs. The Board then determined that the performance of each SPDR ETF was satisfactory. The Board considered the profitability of the advisory arrangement with the SPDR ETFs to the Adviser, including data on the SPDR ETFs' historical profitability to the Adviser. The Independent Trustees, through their counsel, had the opportunity to discuss, with representatives of the Adviser and State Street, methodologies used in computing costs that formed the bases of profitability calculations and determined that these methodologies were reasonable. The Board concluded that, to the extent that the Adviser's relationships with the SPDR ETFs had been profitable, profitability was not excessive. The Board considered whether the Adviser or its affiliates benefited in other ways from their 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 derive benefits from their 193 SPDR SERIES TRUST OTHER INFORMATION (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - -------------------------------------------------------------------------------- relationship with the Trust, those benefits are not so significant as to cause the Adviser's fees with respect to the SPDR ETFs to be excessive. The Board determined that the Adviser is likely to realize economies of scale in managing the SPDR ETFs as assets grow in size. The Board further determined that such economies of scale are currently shared with the SPDR 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 SPDR ETFs grow in size and assess whether fee breakpoints may be warranted. The Board evaluated the SPDR ETFs' unitary fee through review of comparative information with respect to fees paid by similar funds -- i.e., exchange-traded funds tracking equity indexes. The Board reviewed the universe of similar exchange-traded funds for the SPDR ETFs based upon data from Lipper Analytical Services and related comparative information for similar exchange-traded funds. The Board also reviewed the historical expense ratios of the SPDR ETFs, estimated expense ratios of the new SPDR ETFs, and the unitary fee structure. The Board used a fund by fund analysis of the data. The Board concluded, based on the information presented, that each SPDR ETF's fees were fair and reasonable in light of those of their direct competitors. The Board, including the Independent Trustees voting separately, approved the Investment Advisory Agreement after weighing the foregoing factors, none of which was dispositive in itself. The Board's conclusions regarding the Investment Advisory Agreement were as follows: (a) the nature and extent of the services provided by, or expected to be provided by, the Adviser with respect to the SPDR ETFs were appropriate; (b) the performance and, more importantly, the index tracking, of each SPDR ETF had been satisfactory; (c) the Adviser's fees for each SPDR ETF and the unitary fee, considered in relation to services provided or expected to be provided, were fair and reasonable; (d) profitability of the Trust's relationship with the Adviser was not excessive; (e) any additional benefits to the Adviser or its affiliates were not of a magnitude to materially affect the Board's conclusions; and (f) fees paid to the Adviser adequately shared the economies of scale with the SPDR ETFs by way of the relatively low fee structure of the Trust. The Board also considered the renewal of the Sub-Advisory Agreement (the "Sub- Advisory Agreement") between the Trust and The Tuckerman Group LLC, an affiliate of the Adviser (the "Sub-Adviser") with respect to the real estate series of the Trust (the "Real Estate ETF"), after review of materials provided to them at their request by the Adviser, Sub-Adviser and State Street. In deciding whether to approve the Sub-Advisory Agreement, the Board considered various factors, including (i) the nature, extent and quality of services provided by the Sub- Adviser with respect to the Real Estate ETF under the Sub-Advisory Agreement, (ii) investment performance of the Real Estate ETF, (iii) fees charged by the Sub-Adviser and any additional benefits received by the Sub-Adviser due to its relationship with the Adviser and the Trust, and (iv) the extent to which economies of scale would be realized if and as the Real Estate ETF grows and whether fee levels in the Sub-Advisory Agreement reflect these economies of scale. The Board considered the background and experience of the Sub-Adviser's senior management and in particular the Sub-Adviser's experience in investing in real estate investment trusts and international real estate securities. The Board considered that the Real Estate ETF satisfactorily tracked its benchmark index. In light of the Board's determination that the unitary fee paid to the Adviser by the Real Estate ETF was fair and reasonable and that the Sub-Adviser's fees are paid by the Adviser, the Board did not believe it necessary to evaluate the Sub-Adviser's profitability. The Board, including the Independent Trustees voting separately, approved the Sub-Advisory Agreement after weighing the foregoing factors, none of which was dispositive in itself. The Board's conclusions with respect to the Sub-Advisory Agreement were as follows: (a) the nature and extent of the services provided by the Sub-Adviser to the Real Estate ETF was appropriate; (b) the performance and, more importantly, the index tracking, of the Real Estate ETF had been satisfactory; (c) the Sub-Adviser's fees for the Real Estate ETF and the unitary fee, considered in relation to the services provided, were fair and reasonable; (d) any additional benefits to the Sub-Adviser were not of a magnitude to materially affect the Board's conclusions; and (e) the fees paid to the Sub- Adviser adequately shared the economies of scale with the Real Estate ETF. 194 THE SPDR 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 KBW Mortgage Finance ETF (KME) SPDR KBW Regional Banking ETF (KRE) 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 S&P Wells Fargo Preferred Stock ETF (PSK) 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 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 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 S&P VRDO Municipal Bond ETF (VRD) SPDR DB International Government Inflation-Protected Bond ETF (WIP) SPDR Barclays Capital Short Term International Treasury Bond ETF (BWZ) SPDR Barclays Capital International Treasury Bond ETF (BWX) SPDR Barclays Capital High Yield Bond ETF (JNK) SPDR Barclays Capital Short Term Corporate Bond ETF (SCPB) 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 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 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 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) SPDR DOW JONES INDUSTRIAL AVERAGE ETF TRUST (DIA) SPDR S&P 500 ETF TRUST (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 OF FINRA AND SIPC, IS A 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 S&P 500 ETF TRUST (SPY) AND SPDR DOW JONES INDUSTRIAL AVERAGE ETF TRUST (DIA), BOTH UNIT INVESTMENT TRUSTS; AND ALL INVESTMENT PORTFOLIOS OF THE SELECT SECTOR SPDR TRUST. SPDR SERIES TRUST TRUSTEES David M. Kelly Frank Nesvet 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. For SPDR Dow Jones Small Cap ETF, 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 KBW Mortgage Finance 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. For SPDR Wells Fargo Preferred Stock ETF: Preferred Securities are subordinated to bonds and other debt instruments, and will be subject to greater credit risk. The fund may contain interest rate risk (as interest rates rise bond prices usually fall); the risk of issuer default; inflation risk; and issuer call risk. The Fund may invest in US dollar-denominated securities of foreign issuers traded in the United States. 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, Morgan Stanley, Keefe, Bruyette & Woods, Inc., Standard & Poor's and Wells Fargo & Company. 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, and the Boston Stock Exchange. 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 shareholder servicing agent. This information must be preceded or accompanied by a current prospectus or summary prospectus. Please read the prospectus carefully before you invest or send money. (C) 2010 State Street Corporation SPDREQSAR IBG-1402 For more complete information, please call 866.787.2257 or visit www.spdrs.com today (GRAPHIC) SPDR(R) Series Trust -- Fixed Income Funds Semi-Annual Report December 31, 2009 (SPDR(R)LOGO) Precise in a world that isn't.(SM) STATE STREET GLOBAL ADVISORS TABLE OF CONTENTS PERFORMANCE & PORTFOLIO SUMMARY SPDR Barclays Capital 1-3 Month T-Bill ETF (BIL)........................ 1 SPDR Barclays Capital TIPS ETF (IPE).................................... 4 SPDR Barclays Capital Intermediate Term Treasury ETF (ITE).............. 7 SPDR Barclays Capital Long Term Treasury ETF (TLO)...................... 10 SPDR Barclays Capital Intermediate Term Credit Bond ETF (ITR)........... 13 SPDR Barclays Capital Long Term Credit Bond ETF (LWC)................... 16 SPDR Barclays Capital Convertible Bond ETF (CWB)........................ 19 SPDR Barclays Capital Mortgage Backed Bond ETF (MBG).................... 22 SPDR Barclays Capital Aggregate Bond ETF (LAG).......................... 25 SPDR Barclays Capital Municipal Bond ETF (TFI).......................... 28 SPDR Barclays Capital California Municipal Bond ETF (CXA)............... 31 SPDR Barclays Capital New York Municipal Bond ETF (INY)................. 34 SPDR Barclays Capital Short Term Municipal Bond ETF (SHM)............... 37 SPDR S&P(R) VRDO Municipal Bond ETF (VRD)............................... 40 SPDR DB International Government Inflation-Protected Bond ETF (WIP)..... 41 SPDR Barclays Capital Short Term International Treasury Bond ETF (BWZ).. 44 SPDR Barclays Capital International Treasury Bond ETF (BWX)............. 47 SPDR Barclays Capital High Yield Bond ETF (JNK)......................... 50 SPDR Barclays Capital Short Term Corporate Bond ETF (SCPB).............. 53 SCHEDULES OF INVESTMENTS SPDR Barclays Capital 1-3 Month T-Bill ETF (BIL)........................ 54 SPDR Barclays Capital TIPS ETF (IPE).................................... 55 SPDR Barclays Capital Intermediate Term Treasury ETF (ITE).............. 56 SPDR Barclays Capital Long Term Treasury ETF (TLO)...................... 58 SPDR Barclays Capital Intermediate Term Credit Bond ETF (ITR)........... 59 SPDR Barclays Capital Long Term Credit Bond ETF (LWC)................... 63 SPDR Barclays Capital Convertible Bond ETF (CWB)........................ 66 SPDR Barclays Capital Mortgage Backed Bond ETF (MBG).................... 69 SPDR Barclays Capital Aggregate Bond ETF (LAG).......................... 70 SPDR Barclays Capital Municipal Bond ETF (TFI).......................... 75 SPDR Barclays Capital California Municipal Bond ETF (CXA)............... 82 SPDR Barclays Capital New York Municipal Bond ETF (INY)................. 84 SPDR Barclays Capital Short Term Municipal Bond ETF (SHM)............... 86 SPDR S&P VRDO Municipal Bond ETF (VRD).................................. 93 SPDR DB International Government Inflation-Protected Bond ETF (WIP)..... 95 SPDR Barclays Capital Short Term International Treasury Bond ETF (BWZ).. 97 SPDR Barclays Capital International Treasury Bond ETF (BWX)............. 99
SPDR Barclays Capital High Yield Bond ETF (JNK)......................... 102 SPDR Barclays Capital Short Term Corporate Bond ETF (SCPB).............. 106 FINANCIAL STATEMENTS...................................................... 108 FINANCIAL HIGHLIGHTS...................................................... 124 NOTES TO FINANCIAL STATEMENTS............................................. 134 OTHER INFORMATION......................................................... 149
[streetTRACKS Logo/semi-annual report] 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 commissions 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, 2009 IS 0.1345%. PERFORMANCE AS OF DECEMBER 31, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- BARCLAYS BARCLAYS CAPITAL CAPITAL 1-3 MONTH 1-3 MONTH U.S. U.S. NET ASSET MARKET TREASURY NET ASSET MARKET TREASURY VALUE VALUE BILL INDEX VALUE VALUE BILL INDEX ---------------------------------------------------------------------------------------------------------------------- SIX-MONTHS 0.00% -0.02% 0.07% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- ONE YEAR 0.07% 0.22% 0.15% 0.07% 0.22% 0.15% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) 4.50% 4.53% 4.68% 1.70% 1.71% 1.77% ----------------------------------------------------------------------------------------------------------------------
(1) For the period May 25, 2007 to December 31, 2009.
1 [streetTRACKS Logo/semi-annual report] SPDR BARCLAYS CAPITAL 1-3 MONTH T-BILL ETF -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (Based on Net Asset Value) (Line 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 10009 10009 6/30/07 10048 10049 10084 10087 10134 10137 9/30/07 10170 10172 10199 10203 10236 10242 12/31/07 10260 10271 10298 10310 10312 10324 3/31/08 10332 10346 10343 10358 10348 10364 6/30/08 10366 10381 10380 10399 10395 10414 9/30/08 10416 10433 10428 10446 10437 10452 12/31/08 10440 10452 10440 10452 10442 10454 3/31/09 10443 10456 10445 10460 10446 10461 6/30/09 10447 10462 10447 10464 10448 10466 9/30/09 10449 10468 10449 10469 10449 10469 12/31/09 10450 10468
2 [streetTRACKS Logo/semi-annual report] SPDR BARCLAYS CAPITAL 1-3 MONTH T-BILL ETF -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
-------------------------------------------------------------------------------------------------------- UNITED STATES UNITED STATES UNITED STATES UNITED STATES TREASURY BILL TREASURY BILL TREASURY BILL TREASURY BILL DESCRIPTION 0.06%, 4/1/2010 0.01%, 2/11/2010 0.06%, 3/11/2010 0.02%, 2/4/2010 -------------------------------------------------------------------------------------------------------- MARKET VALUE $112,298,714 102,542,163 101,316,766 73,245,541 -------------------------------------------------------------------------------------------------------- % OF NET ASSETS 14.9% 13.6 13.5 9.7 -------------------------------------------------------------------------------------------------------- -------------------------------------------------- UNITED STATES TREASURY BILL DESCRIPTION 0.01%, 2/18/2010 -------------------------------------------------- MARKET VALUE 73,245,094 -------------------------------------------------- % OF NET ASSETS 9.7 --------------------------------------------------
(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 DECEMBER 31, 2009*
----------------------------------------------- PERCENT OF NET ASSETS ----------------------------------------------- U.S. Treasury Obligations 100.0% Short Term Investments 0.0** 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.
3 [streetTRACKS Logo/semi-annual report] 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 commissions 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, 2009 IS 0.1845%. PERFORMANCE AS OF DECEMBER 31, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- BARCLAYS BARCLAYS U.S. U.S. GOVERNMENT GOVERNMENT INFLATION- INFLATION- NET ASSET MARKET LINKED NET ASSET MARKET LINKED VALUE VALUE BOND INDEX VALUE VALUE BOND INDEX ---------------------------------------------------------------------------------------------------------------------- SIX-MONTHS 4.78% 4.87% 4.89% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- ONE YEAR 11.18% 9.72% 10.48% 11.18% 9.72% 10.48% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) 18.80% 18.90% 19.09% 6.84% 6.87% 6.94% ----------------------------------------------------------------------------------------------------------------------
(1) For the period May 25, 2007 to December 31, 2009.
4 [streetTRACKS Logo/semi-annual report] SPDR BARCLAYS CAPITAL TIPS ETF -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (Based on Net Asset Value) (Line Graph)
BARCLAYS U.S. SPDR BARCLAYS GOVERNMENT INFLATION-LINKED CAPITAL TIPS BOND INDEX ETF (A) (B) ------------- --------------------------- 5/25/07 10000 10000 9990 9995 6/30/07 9973 9979 10170 10207 10294 10300 9/30/07 10429 10430 10548 10551 10962 10974 12/31/07 10941 10967 11366 11372 11512 11526 3/31/08 11501 11527 11258 11283 11292 11303 6/30/08 11465 11491 11407 11414 11499 11528 9/30/08 11056 11074 10098 10157 10175 10283 12/31/08 10686 10779 10861 10869 10645 10659 3/31/09 11267 11286 11046 11068 11283 11298 6/30/09 11338 11355 11352 11369 11441 11461 9/30/09 11683 11704 11823 11847 12152 12178 12/31/09 11880 11909
5 [streetTRACKS Logo/semi-annual report] SPDR BARCLAYS CAPITAL TIPS ETF -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
------------------------------------------------------------------------------------------------------------------ TREASURY INFLATION TREASURY INFLATION TREASURY INFLATION TREASURY INFLATION PROTECTED INDEXED PROTECTED INDEXED PROTECTED INDEXED PROTECTED INDEXED BOND BOND NOTE BOND DESCRIPTION 2.38%, 1/15/2025 3.88%, 4/15/2029 3.00%, 7/15/2012 3.63%, 4/15/2028 ------------------------------------------------------------------------------------------------------------------ MARKET VALUE $21,901,469 20,016,085 19,389,074 16,718,708 ------------------------------------------------------------------------------------------------------------------ % OF NET ASSETS 6.3% 5.8 5.6 4.8 ------------------------------------------------------------------------------------------------------------------ --------------------------------------------- TREASURY INFLATION PROTECTED INDEXED NOTE DESCRIPTION 1.88%, 7/15/2013 --------------------------------------------- MARKET VALUE 16,224,627 --------------------------------------------- % 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 issue.) ASSET ALLOCATION AS OF DECEMBER 31, 2009*
----------------------------------------------- PERCENT OF NET ASSETS ----------------------------------------------- U.S. Treasury Obligations 99.1% Short Term Investments 20.7 Other Assets & Liabilities (19.8) ----------------------------------------------- TOTAL 100.0% -----------------------------------------------
* The Fund's asset allocation is expressed as a percentage of net assets and may change over time.
6 [streetTRACKS Logo/semi-annual report] 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 commissions 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, 2009 IS 0.1345%. PERFORMANCE AS OF DECEMBER 31, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- BARCLAYS BARCLAYS CAPITAL CAPITAL INTERMEDIATE INTERMEDIATE U.S. U.S. NET ASSET MARKET TREASURY NET ASSET MARKET TREASURY VALUE VALUE INDEX VALUE VALUE INDEX ---------------------------------------------------------------------------------------------------------------------- SIX-MONTHS 1.01% 0.95% 1.04% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- ONE YEAR -1.44% -1.44% -1.41% -1.44% -1.44% -1.41% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) 17.68% 17.72% 17.77% 6.43% 6.45% 6.47% ----------------------------------------------------------------------------------------------------------------------
(1) For the period May 23, 2007 to December 31, 2009.
7 [streetTRACKS Logo/semi-annual report] SPDR BARCLAYS CAPITAL INTERMEDIATE TERM TREASURY ETF -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (Based on Net Asset Value) (Line Graph)
SPDR BARCLAYS BARCLAYS CAPITAL CAPITAL INTERMEDIATE INTERMEDIATE U.S. TERM TREASURY TREASURY INDEX ETF (A) (B) -------------------- ----------------- 5/23/07 10000 10000 9983 9991 6/30/07 9998 10007 10129 10147 10288 10298 9/30/07 10350 10360 10414 10425 10691 10705 12/31/07 10711 10727 10979 10996 11125 11143 3/31/08 11199 11215 11015 11028 10911 10923 6/30/08 10971 10983 11030 11044 11135 11147 9/30/08 11208 11222 11286 11297 11707 11715 12/31/08 11940 11946 11767 11770 11721 11721 3/31/09 11909 11911 11777 11780 11699 11702 6/30/09 11651 11658 11696 11702 11777 11784 9/30/09 11843 11850 11864 11872 12022 12030 12/31/09 11768 11777
8 [streetTRACKS Logo/semi-annual report] SPDR BARCLAYS CAPITAL INTERMEDIATE TERM TREASURY ETF -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
------------------------------------------------------------------------------------------------------------- UNITED STATES UNITED STATES UNITED STATES UNITED STATES TREASURY NOTE TREASURY NOTE TREASURY NOTE TREASURY NOTE DESCRIPTION 1.38%, 11/15/2012 3.63%, 8/15/2019 2.13%, 11/30/2014 0.75%, 11/30/2011 ------------------------------------------------------------------------------------------------------------- MARKET VALUE $4,467,465 4,273,927 4,051,894 3,924,364 ------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 2.2% 2.1 2.0 1.9 ------------------------------------------------------------------------------------------------------------- ------------------------------------------------- UNITED STATES TREASURY NOTE DESCRIPTION 3.13%, 10/31/2016 ------------------------------------------------- MARKET VALUE 3,752,158 ------------------------------------------------- % 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 issue.) ASSET ALLOCATION AS OF DECEMBER 31, 2009*
----------------------------------------------- PERCENT OF NET ASSETS ----------------------------------------------- U.S. Treasury Obligations 99.1% Short Term Investments 20.9 Other Assets & Liabilities (20.0) ----------------------------------------------- TOTAL 100.0% -----------------------------------------------
* The Fund's asset allocation is expressed as a percentage of net assets and may change over time.
9 [streetTRACKS Logo/semi-annual report] 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 commissions 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, 2009 IS 0.1345%. PERFORMANCE AS OF DECEMBER 31, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- BARCLAYS BARCLAYS CAPITAL CAPITAL LONG U.S. LONG U.S. NET ASSET MARKET TREASURY NET ASSET MARKET TREASURY VALUE VALUE INDEX VALUE VALUE INDEX ---------------------------------------------------------------------------------------------------------------------- SIX-MONTHS -1.06% -1.03% -1.04% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- ONE YEAR -12.84% -13.29% -12.92% -12.84% -13.29% -12.92% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) 18.72% 18.70% 18.70% 6.79% 6.79% 6.79% ----------------------------------------------------------------------------------------------------------------------
(1) For the period May 23, 2007 to December 31, 2009.
10 [streetTRACKS Logo/semi-annual report] SPDR BARCLAYS CAPITAL LONG TERM TREASURY ETF -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (Based on Net Asset Value) (Line Graph)
SPDR BARCLAYS BARCLAYS CAPITAL CAPITAL LONG LONG U.S. TERM TREASURY TREASURY INDEX ETF (A) (B) ------------- ---------------- 5/23/07 10000 10000 9996 10003 6/30/07 9910 9919 10131 10185 10364 10374 9/30/07 10391 10403 10537 10550 11017 11035 12/31/07 10971 10991 11261 11281 11310 11330 3/31/08 11409 11428 11191 11209 10969 10986 6/30/08 11161 11174 11153 11166 11429 11443 9/30/08 11473 11489 11103 11114 12468 12481 12/31/08 13620 13633 12448 12454 12323 12328 3/31/09 12918 12920 12252 12252 11920 11916 6/30/09 12000 11996 12070 12068 12300 12295 9/30/09 12540 12538 12364 12363 12582 12578 12/31/09 11872 11870
11 [streetTRACKS Logo/semi-annual report] SPDR BARCLAYS CAPITAL LONG TERM TREASURY ETF -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------- UNITED STATES UNITED STATES UNITED STATES UNITED STATES TREASURY BOND TREASURY BOND TREASURY BOND TREASURY BOND DESCRIPTION 4.50%, 8/15/2039 4.25%, 5/15/2039 7.63%, 2/15/2025 8.00%, 11/15/2021 ----------------------------------------------------------------------------------------------------------- MARKET VALUE $1,369,116 1,045,823 806,971 771,073 ----------------------------------------------------------------------------------------------------------- % OF NET ASSETS 8.6% 6.6 5.1 4.8 ----------------------------------------------------------------------------------------------------------- -------------------------------------------------- UNITED STATES TREASURY BOND DESCRIPTION 4.50%, 5/15/2038 -------------------------------------------------- MARKET VALUE 632,990 -------------------------------------------------- % OF NET ASSETS 4.0 --------------------------------------------------
(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 DECEMBER 31, 2009*
----------------------------------------------- PERCENT OF NET ASSETS ----------------------------------------------- U.S. Treasury Obligations 98.6% Short Term Investments 20.5 Other Assets & Liabilities (19.1) ----------------------------------------------- TOTAL 100.0% -----------------------------------------------
* The Fund's asset allocation is expressed as a percentage of net assets and may change over time.
12 [streetTRACKS Logo/semi-annual report] SPDR BARCLAYS CAPITAL INTERMEDIATE TERM CREDIT 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 (2/10/09, 2/11/09, 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 commissions 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 CREDIT BOND ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2009 IS 0.15%. PERFORMANCE AS OF DECEMBER 31, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- BARCLAYS BARCLAYS CAPITAL CAPITAL U.S. U.S. NET ASSET MARKET INTERMEDIATE NET ASSET MARKET INTERMEDIATE VALUE VALUE CREDIT INDEX VALUE VALUE CREDIT INDEX ---------------------------------------------------------------------------------------------------------------------- SIX-MONTHS 6.95% 5.52% 7.81% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) 10.00% 10.21% 14.07% N/A N/A N/A ----------------------------------------------------------------------------------------------------------------------
(1) For the period February 10, 2009 to December 31, 2009.
13 [streetTRACKS Logo/semi-annual report] SPDR BARCLAYS CAPITAL INTERMEDIATE TERM CREDIT BOND ETF -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (Based on Net Asset Value) (Line Graph)
SPDR BARCLAYS CAPITAL INTERMEDIATE BARCLAYS CAPITAL TERM CREDIT U.S. INTERMEDIATE BOND ETF CREDIT INDEX (A) (B) -------------------- ----------------- 2/10/09 10000 10000 9640 9819 3/31/09 9695 9835 9886 10096 10158 10395 6/30/09 10286 10580 10618 10900 10744 11074 9/30/09 10869 11226 10946 11319 11097 11496 12/31/09 11000 11407
14 [streetTRACKS Logo/semi-annual report] SPDR BARCLAYS CAPITAL INTERMEDIATE TERM CREDIT BOND ETF -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
--------------------------------------------------------------------------------------------------------- WACHOVIA THE GOLDMAN SACHS BANK OF AMERICA KFW CORP. GROUP, INC. CORP. BANKENGRUPPE DESCRIPTION 5.50%, 5/1/2013 5.95%, 1/18/2018 4.90%, 5/1/2013 3.25%, 3/15/2013 --------------------------------------------------------------------------------------------------------- MARKET VALUE $1,704,485 1,547,429 1,449,591 1,374,614 --------------------------------------------------------------------------------------------------------- % OF NET ASSETS 3.2% 2.9 2.7 2.6 --------------------------------------------------------------------------------------------------------- ------------------------------------------------ EUROPEAN INVESTMENT BANK DESCRIPTION 3.13%, 7/15/2011 ------------------------------------------------ MARKET VALUE 1,373,260 ------------------------------------------------ % 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 issue.) ASSET ALLOCATION AS OF DECEMBER 31, 2009*
----------------------------------------------- PERCENT OF NET ASSETS ----------------------------------------------- Corporate Bond & Notes 90.2% Foreign Government Obligations 7.2 Short Term Investments 4.1 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.
15 [streetTRACKS Logo/semi-annual report] SPDR BARCLAYS CAPITAL LONG TERM CREDIT 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 (3/10/09, 3/11/09, 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 commissions 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 CREDIT BOND ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2009 IS 0.15%. PERFORMANCE AS OF DECEMBER 31, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- BARCLAYS BARCLAYS CAPITAL CAPITAL U.S. LONG U.S. LONG NET ASSET MARKET CREDIT NET ASSET MARKET CREDIT VALUE VALUE INDEX VALUE VALUE INDEX ---------------------------------------------------------------------------------------------------------------------- SIX-MONTHS 9.17% 9.78% 11.15% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) 23.03% 23.95% 27.06% N/A N/A N/A ----------------------------------------------------------------------------------------------------------------------
(1) For the period March 10, 2009 to December 31, 2009.
16 [streetTRACKS Logo/semi-annual report] SPDR BARCLAYS CAPITAL LONG TERM CREDIT BOND ETF -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (Based on Net Asset Value) (Line Graph)
SPDR BARCLAYS CAPITAL LONG BARCLAYS CAPITAL TERM CREDIT U.S. LONG BOND ETF CREDIT INDEX (A) (B) ------------- ---------------- 3/10/09 10000 10000 3/31/09 10017 10123 10388 10436 10823 10933 6/30/09 11270 11431 12015 12162 12197 12440 9/30/09 12470 12800 12439 12774 12519 12927 12/31/09 12303 12706
17 [streetTRACKS Logo/semi-annual report] SPDR BARCLAYS CAPITAL LONG TERM CREDIT BOND ETF -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
------------------------------------------------------------------------------------------------------------ JPMORGAN CHASE AT&T CORP. CAPITAL XXV REPUBLIC OF ITALY PFIZER, INC. DESCRIPTION 8.00%, 11/15/2031 6.80%, 10/1/2037 5.38%, 6/15/2033 7.20%, 3/15/2039 ------------------------------------------------------------------------------------------------------------ MARKET VALUE $831,282 575,073 456,355 434,138 ------------------------------------------------------------------------------------------------------------ % OF NET ASSETS 3.4% 2.3 1.9 1.8 ------------------------------------------------------------------------------------------------------------ ---------------------------------------------- VALE OVERSEAS, LTD. DESCRIPTION 6.88%, 11/21/2036 ---------------------------------------------- MARKET VALUE 413,460 ---------------------------------------------- % 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 issue.) ASSET ALLOCATION AS OF DECEMBER 31, 2009*
----------------------------------------------- PERCENT OF NET ASSETS ----------------------------------------------- Corporate Bonds & Notes 86.1% Foreign Government Obligations 9.2 Municipal Bonds & Notes 3.0 Short Term Investments 0.9 Other Assets & Liabilities 0.8 ----------------------------------------------- TOTAL 100.0% -----------------------------------------------
* The Fund's asset allocation is expressed as a percentage of net assets and may change over time.
18 [streetTRACKS Logo/semi-annual report] SPDR BARCLAYS CAPITAL CONVERTIBLE 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 (4/14/09, 4/15/09, 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 commissions 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 CONVERTIBLE BOND ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2009 IS 0.40%. PERFORMANCE AS OF DECEMBER 31, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- BARCLAYS BARCLAYS CAPITAL CAPITAL U.S. U.S. CONVERTIBLE CONVERTIBLE NET ASSET MARKET BOND >$500MM NET ASSET MARKET BOND >$500MM VALUE VALUE INDEX VALUE VALUE INDEX ---------------------------------------------------------------------------------------------------------------------- SIX-MONTHS 22.36% 22.27% 22.78% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) 30.00% 31.25% 35.57% N/A N/A N/A ----------------------------------------------------------------------------------------------------------------------
(1) For the period April 14, 2009 to December 31, 2009.
19 [streetTRACKS Logo/semi-annual report] SPDR BARCLAYS CAPITAL CONVERTIBLE BOND ETF -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (Based on Net Asset Value) (Line Graph)
SPDR BARCLAYS BARCLAYS CAPITAL CAPITAL CONVERTIBLE U.S. CONVERTIBLE BOND ETF BOND >$500MM (A) INDEX (B) ------------------- ---------------- 4/14/09 10000 10000 10023 10308 10471 10877 6/30/09 10624 11040 11370 11742 11679 12154 9/30/09 12184 12690 12069 12598 12564 13098 12/31/09 13000 13557
20 [streetTRACKS Logo/semi-annual report] SPDR BARCLAYS CAPITAL CONVERTIBLE BOND ETF -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
-------------------------------------------------------------------------------------------------------------------- WELLS FARGO & CO. FREEPORT-MCMORAN BANK OF AMERICA CORP. FORD MOTOR CO. SERIES L COPPER & GOLD, INC. SERIES L DESCRIPTION 4.25%, 11/15/2016 7.50%, 12/31/2049 6.75%, 5/1/2010 7.25%, 12/31/2049 -------------------------------------------------------------------------------------------------------------------- MARKET VALUE $6,934,125 6,793,200 6,243,840 6,196,950 -------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 3.0% 2.9 2.7 2.7 -------------------------------------------------------------------------------------------------------------------- ----------------------------------------------- AMGEN, INC. DESCRIPTION 0.38%, 2/1/2013 ----------------------------------------------- MARKET VALUE 4,831,680 ----------------------------------------------- % OF NET ASSETS 2.1 -----------------------------------------------
(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 DECEMBER 31, 2009*
----------------------------------------------- PERCENT OF NET ASSETS ----------------------------------------------- Convertible Corporate Bonds & Notes 74.7% Convertible Preferred Stocks 20.9 Common Stocks 1.9 Short Term Investments 2.9 Other Assets & Liabilities (0.4) ----------------------------------------------- TOTAL 100.0% -----------------------------------------------
* The Fund's asset allocation is expressed as a percentage of net assets and may change over time.
21 [streetTRACKS Logo/semi-annual report] SPDR BARCLAYS CAPITAL MORTGAGE BACKED 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 (1/15/09, 1/27/09, 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 commissions 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 MORTGAGE BACKED BOND ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2009 IS 0.20%. PERFORMANCE AS OF DECEMBER 31, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- BARCLAYS BARCLAYS CAPITAL CAPITAL NET ASSET MARKET U.S. MBS NET ASSET MARKET U.S. MBS VALUE VALUE INDEX VALUE VALUE INDEX ---------------------------------------------------------------------------------------------------------------------- SIX-MONTHS 3.11% 3.39% 2.89% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) 4.67% 4.63% 4.92% N/A N/A N/A ----------------------------------------------------------------------------------------------------------------------
(1) For the period January 15, 2009 to December 31, 2009.
22 [streetTRACKS Logo/semi-annual report] SPDR BARCLAYS CAPITAL MORTGAGE BACKED BOND ETF -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (Based on Net Asset Value) (Line Graph)
SPDR BARCLAYS CAPITAL MORTGAGE BARCLAYS CAPITAL BACKED BOND U.S. MBS ETF (A) INDEX (B) ---------------- ---------------- 1/15/09 10000 10000 9919 9928 9973 9986 3/31/09 10108 10127 10131 10156 10145 10185 6/30/09 10151 10197 10252 10281 10313 10350 9/30/09 10394 10433 10477 10507 10619 10641 12/31/09 10467 10492
23 [streetTRACKS Logo/semi-annual report] SPDR BARCLAYS CAPITAL MORTGAGE BACKED BOND ETF -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
---------------------------------------------------------------------------------------------------------- FANNIE MAE FREDDIE MAC FREDDIE MAC FANNIE MAE DESCRIPTION 5.50%, 30 YR TBA 5.00%, 30 YR TBA 6.00%, 30 YR TBA 4.50%, 30 YR TBA ---------------------------------------------------------------------------------------------------------- MARKET VALUE $2,460,523 1,692,023 1,059,844 973,324 ---------------------------------------------------------------------------------------------------------- % OF NET ASSETS 23.4% 16.1 10.1 9.2 ---------------------------------------------------------------------------------------------------------- ----------------------------------------------------- FANNIE MAE DESCRIPTION 5.00%, 15 YR TBA ----------------------------------------------------- MARKET VALUE 627,750 ----------------------------------------------------- % OF NET ASSETS 6.0 -----------------------------------------------------
(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 DECEMBER 31, 2009*
----------------------------------------------- PERCENT OF NET ASSETS ----------------------------------------------- U.S. Government Agency MBS TBA 99.8% Short Term Investments 102.6 Other Assets & Liabilities (102.4) ----------------------------------------------- TOTAL 100.0% -----------------------------------------------
* The Fund's asset allocation is expressed as a percentage of net assets and may change over time.
24 [streetTRACKS Logo/semi-annual report] 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 commissions 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, 2009 IS 0.1845%.* PERFORMANCE AS OF DECEMBER 31, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- BARCLAYS BARCLAYS CAPITAL CAPITAL U.S. U.S. NET ASSET MARKET AGGREGATE NET ASSET MARKET AGGREGATE VALUE VALUE INDEX VALUE VALUE INDEX ---------------------------------------------------------------------------------------------------------------------- SIX-MONTHS 3.79% 3.47% 3.95% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- ONE YEAR 5.11% 3.00% 5.93% 5.11% 3.00% 5.93% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) 18.29% 18.40% 17.66% 6.65% 6.68% 6.43% ----------------------------------------------------------------------------------------------------------------------
(1) For the period May 23, 2007 to December 31, 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, 2010.
25 [streetTRACKS Logo/semi-annual report] SPDR BARCLAYS CAPITAL AGGREGATE BOND ETF -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (Based on Net Asset Value) (Line Graph)
SPDR BARCLAYS CAPITAL AGGREGATE BARCLAYS CAPITAL BOND ETF U.S. AGGREGATE (A) INDEX (B) ----------------- ---------------- 5/23/07 10000 10000 9983 9993 6/30/07 9948 9963 10017 10046 10158 10169 9/30/07 10240 10247 10331 10339 10522 10525 12/31/07 10499 10554 10739 10732 10779 10747 3/31/08 10790 10783 10753 10761 10660 10682 6/30/08 10657 10673 10660 10665 10764 10766 9/30/08 10627 10622 10434 10371 10875 10708 12/31/08 11254 11108 11155 11010 11104 10968 3/31/09 11224 11121 11236 11174 11331 11256 6/30/09 11397 11320 11582 11502 11686 11622 9/30/09 11807 11744 11863 11801 12025 11953 12/31/09 11829 11766
26 [streetTRACKS Logo/semi-annual report] SPDR BARCLAYS CAPITAL AGGREGATE BOND ETF -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
---------------------------------------------------------------------------------------------------------------------------------- UNITED STATES FANNIE MAE FANNIE MAE FREDDIE MAC FREDDIE MAC TREASURY NOTES DESCRIPTION 5.50%, 30 YR TBA 5.50%, 30 YR TBA 5.00%, 30 YR TBA 6.00%, 30 YR TBA 1.38%, 5/15/2012 ---------------------------------------------------------------------------------------------------------------------------------- MARKET VALUE $16,985,000 16,752,500 11,792,891 8,796,703 5,475,274 ---------------------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 8.2% 8.1 5.7 4.2 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 issue.) ASSET ALLOCATION AS OF DECEMBER 31, 2009*
----------------------------------------------- PERCENT OF NET ASSETS ----------------------------------------------- U.S. Government Agency MBS TBA 45.3% Corporate Bonds & Notes 26.5 U.S. Treasury Obligations 25.1 U.S. Government Agency Obligations 6.9 Commercial Mortgage Backed Securities 3.3 Foreign Government Obligations 1.6 Asset Backed 0.5 Municipal Bonds & Notes 0.3 Short Term Investments 52.7 Other Assets & Liabilities (62.2) ----------------------------------------------- TOTAL 100.0% -----------------------------------------------
* The Fund's asset allocation is expressed as a percentage of net assets and may change over time.
27 [streetTRACKS Logo/semi-annual report] 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 commissions 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, 2009 IS 0.30%.* PERFORMANCE AS OF DECEMBER 31, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- BARCLAYS BARCLAYS CAPITAL CAPITAL MUNICIPAL MUNICIPAL NET ASSET MARKET MANAGED NET ASSET MARKET MANAGED VALUE VALUE MONEY INDEX VALUE VALUE MONEY INDEX ---------------------------------------------------------------------------------------------------------------------- SIX-MONTHS 5.35% 5.34% 5.57% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- ONE YEAR 10.52% 10.30% 11.47% 10.52% 10.30% 11.47% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) 11.50% 11.74% 12.64% 4.83% 4.93% 5.30% ----------------------------------------------------------------------------------------------------------------------
(1) For the period September 11, 2007 to December 31, 2009. * SSgA Funds Management, Inc. has contractually agreed to limit its management fee to the extent necessary to limit annual operating expenses to 0.20% until October 31, 2010.
28 [streetTRACKS Logo/semi-annual report] SPDR BARCLAYS CAPITAL MUNICIPAL BOND ETF -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (Based on Net Asset Value) (Line Graph)
SPDR BARCLAYS BARCLAYS CAPITAL CAPITAL MUNICIPAL MUNICIPAL MANAGED BOND ETF MONEY INDEX (A) (B) ----------------- ----------------- 9/11/07 10000 10000 9/30/07 9928 9952 9967 9995 10068 10082 12/31/07 10120 10119 10252 10231 9697 9660 3/31/08 9994 10011 10143 10162 10208 10230 6/30/08 10073 10097 10128 10151 10264 10290 9/30/08 9735 9744 9726 9737 9811 9813 12/31/08 10088 10105 10397 10472 10428 10499 3/31/09 10434 10510 10646 10721 10704 10784 6/30/09 10583 10670 10753 10841 10914 11011 9/30/09 11298 11412 10996 11117 11133 11245 12/31/09 11150 11264
29 [streetTRACKS Logo/semi-annual report] SPDR BARCLAYS CAPITAL MUNICIPAL BOND ETF -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------- NEW YORK, NY, TRIBOROUGH BRIDGE & TUNNEL MASSACHUSETTS, STATE NEW JERSEY, STATE AUTHORITY REVENUE, GENERAL OBLIGATION, GENERAL SERIES A-2 SERIES C OBLIGATION, DESCRIPTION 5.00%, 11/15/2029 5.50%, 12/1/2022 5.00%, 6/1/2019 ----------------------------------------------------------------------------------------------------------------- MARKET VALUE $13,350,193 13,268,090 10,878,275 ----------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 1.6% 1.6 1.3 ----------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------- NEW YORK, NY, CITY WASHINGTON, STATE TRANSITIONAL FINANCE GENERAL OBLIGATION, AUTHORITY, SERIES B SERIES D DESCRIPTION 5.00%, 11/1/2026 5.00%, 1/1/2027 -------------------------------------------------------------------------------------- MARKET VALUE 10,726,900 9,633,676 -------------------------------------------------------------------------------------- % OF NET ASSETS 1.3 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 DECEMBER 31, 2009*
----------------------------------------------- PERCENT OF NET ASSETS ----------------------------------------------- Municipal Bonds & Notes 98.8% Short Term Investments 0.3 Other Assets & Liabilities 0.9 ----------------------------------------------- TOTAL 100.0% -----------------------------------------------
* The Fund's asset allocation is expressed as a percentage of net assets and may change over time.
30 [streetTRACKS Logo/semi-annual report] 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 commissions 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, 2009 IS 0.20%. PERFORMANCE AS OF DECEMBER 31, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- BARCLAYS BARCLAYS CAPITAL CAPITAL MANAGED MANAGED MONEY MONEY MUNICIPAL MUNICIPAL NET ASSET MARKET CALIFORNIA NET ASSET MARKET CALIFORNIA VALUE VALUE INDEX VALUE VALUE INDEX ---------------------------------------------------------------------------------------------------------------------- SIX-MONTHS 7.04% 7.33% 6.97% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- ONE YEAR 12.32% 11.71% 12.41% 12.32% 11.71% 12.41% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) 9.79% 9.98% 10.39% 4.28% 4.36% 4.53% ----------------------------------------------------------------------------------------------------------------------
(1) For the period October 10, 2007 to December 31, 2009.
31 [streetTRACKS Logo/semi-annual report] SPDR BARCLAYS CAPITAL CALIFORNIA MUNICIPAL BOND ETF -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (Based on Net Asset Value) (Line Graph)
SPDR BARCLAYS BARCLAYS CAPITAL CAPITAL CALIFORNIA MANAGED MONEY MUNICIPAL BOND MUNICIPAL CALIFORNIA ETF (A) INDEX (B) ------------------ -------------------- 10/10/07 10000 10000 10014 10100 10093 10149 12/31/07 10130 10173 10184 10213 9600 9618 3/31/08 9939 9960 10110 10156 10195 10236 6/30/08 10054 10080 10075 10094 10202 10251 9/30/08 9597 9644 9554 9580 9538 9549 12/31/08 9774 9818 10111 10173 10215 10258 3/31/09 10147 10195 10395 10444 10470 10524 6/30/09 10257 10317 10401 10486 10741 10792 9/30/09 11290 11354 10909 10953 10924 10985 12/31/09 10979 11039
32 [streetTRACKS Logo/semi-annual report] SPDR BARCLAYS CAPITAL CALIFORNIA MUNICIPAL BOND ETF -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
-------------------------------------------------------------------------------------------------------------------------- LOS ANGELES COUNTY, CA, GROSSMONT, CA, METROPOLITAN UNION HIGH SACRAMENTO, CA, TRANSPORTATION SCHOOL DISTRICT EDUCATIONAL FACILITIES LOS ANGELES, CA, AUTHORITY, SALES TAX ELECTION AUTHORITY REVENUE, HARBOR DEPARTMENT REVENUE, OF 2004 SERIES A REVENUE, SERIES A DESCRIPTION 5.00%, 7/1/2026 5.00%, 8/1/2033 4.75%, 10/1/2037 5.00%, 8/1/2029 -------------------------------------------------------------------------------------------------------------------------- MARKET VALUE $2,697,775 1,800,968 1,731,909 1,573,327 -------------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 4.5% 3.0 2.9 2.6 -------------------------------------------------------------------------------------------------------------------------- ----------------------------------------------- EI DORADO, CA, IRRIGATION DISTRICT, CERTIFICATES OF PARTICIPATION, SERIES A DESCRIPTION 6.25%, 8/1/2029 ----------------------------------------------- MARKET VALUE 1,298,676 ----------------------------------------------- % OF NET ASSETS 2.2 -----------------------------------------------
(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 DECEMBER 31, 2009*
----------------------------------------------- PERCENT OF NET ASSETS ----------------------------------------------- Municipal Bonds & Notes 98.9% Short Term Investments 0.1 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.
33 [streetTRACKS Logo/semi-annual report] 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 commissions 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, 2009 IS 0.20%. PERFORMANCE AS OF DECEMBER 31, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- BARCLAYS BARCLAYS CAPITAL CAPITAL MANAGED MANAGED MONEY MONEY MUNICIPAL MUNICIPAL NET ASSET MARKET NEW YORK NET ASSET MARKET NEW YORK VALUE VALUE INDEX VALUE VALUE INDEX ---------------------------------------------------------------------------------------------------------------------- SIX-MONTHS 6.19% 4.44% 5.88% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- ONE YEAR 12.57% 15.10% 13.11% 12.57% 15.10% 13.11% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) 11.08% 11.38% 10.98% 4.84% 4.97% 4.79% ----------------------------------------------------------------------------------------------------------------------
(1) For the period October 11, 2007 to December 31, 2009.
34 [streetTRACKS Logo/semi-annual report] SPDR BARCLAYS CAPITAL NEW YORK MUNICIPAL BOND ETF -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (Based on Net Asset Value) (Line Graph)
SPDR BARCLAYS BARCLAYS CAPITAL CAPITAL NEW MANAGED MONEY YORK MUNICIPAL MUNICIPAL NEW BOND ETF YORK INDEX (A) (B) -------------- ---------------- 10/11/07 10000 10000 10032 10100 10103 10147 12/31/07 10115 10171 10239 10237 9697 9644 3/31/08 10017 9996 10166 10171 10228 10239 6/30/08 10108 10111 10147 10161 10266 10278 9/30/08 9668 9666 9642 9620 9624 9582 12/31/08 9868 9811 10199 10228 10279 10274 3/31/09 10271 10258 10493 10492 10547 10555 6/30/09 10461 10482 10641 10658 10814 10848 9/30/09 11246 11312 10938 10960 11043 11070 12/31/09 11108 11098
35 [streetTRACKS Logo/semi-annual report] SPDR BARCLAYS CAPITAL NEW YORK MUNICIPAL BOND ETF -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
------------------------------------------------------------------------------------------------------------------ NEW YORK, STATE HOUSING FINANCE NEW YORK, STATE AGENCY, PERSONAL NEW YORK, TRIBOROUGH NEW YORK, STATE GENERAL INCOME TAX REVENUE, BRIDGE & TUNNEL POWER AUTHORITY, OBLIGATION, SERIES A AUTHORITY, REVENUE, SERIES A DESCRIPTION 5.00%, 4/15/2015 5.00%, 3/15/2039 5.00%, 11/15/2037 4.50%, 11/15/2047 ------------------------------------------------------------------------------------------------------------------ MARKET VALUE $1,142,990 826,136 768,487 686,238 ------------------------------------------------------------------------------------------------------------------ % OF NET ASSETS 5.7% 4.1 3.8 3.4 ------------------------------------------------------------------------------------------------------------------ ---------------------------------------------- NEW YORK, STATE DORMITORY AUTHORITY REVENUE, STATE SUPPORTED DEBT SERIES A DESCRIPTION 5.00%, 7/1/2038 ---------------------------------------------- MARKET VALUE 672,711 ---------------------------------------------- % 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 issue.) ASSET ALLOCATION AS OF DECEMBER 31, 2009*
----------------------------------------------- PERCENT OF NET ASSETS ----------------------------------------------- Municipal Bonds & Notes 99.0% Short Term Investments 0.2 Other Assets & Liabilities 0.8 ----------------------------------------------- TOTAL 100.0% -----------------------------------------------
* The Fund's asset allocation is expressed as a percentage of net assets and may change over time.
36 [streetTRACKS Logo/semi-annual report] 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 commissions 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, 2009 IS 0.20%. PERFORMANCE AS OF DECEMBER 31, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- BARCLAYS BARCLAYS CAPITAL CAPITAL MANAGED MANAGED MONEY MONEY MUNICIPAL MUNICIPAL NET ASSET MARKET SHORT NET ASSET MARKET SHORT VALUE VALUE TERM INDEX VALUE VALUE TERM INDEX ---------------------------------------------------------------------------------------------------------------------- SIX-MONTHS 2.45% 2.36% 2.94% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- ONE YEAR 5.18% 4.19% 5.80% 5.18% 4.19% 5.80% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) 12.34% 12.48% 14.09% 5.36% 5.42% 6.09% ----------------------------------------------------------------------------------------------------------------------
(1) For the period October 10, 2007 to December 31, 2009.
37 [streetTRACKS Logo/semi-annual report] SPDR BARCLAYS CAPITAL SHORT TERM MUNICIPAL BOND ETF -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (Based on Net Asset Value) (Line Graph)
SPDR BARCLAYS BARCLAYS CAPITAL CAPITAL SHORT MANAGED MONEY TERM MUNICIPAL MUNICIPAL SHORT BOND ETF TERM INDEX (A) (B) -------------- ---------------- 10/10/07 10000 10000 10027 10100 10114 10181 12/31/07 10161 10232 10376 10453 10213 10300 03/31/08 10370 10444 10355 10441 10385 10478 06/30/08 10316 10411 10420 10530 10523 10633 09/30/08 10386 10492 10395 10498 10551 10656 12/31/08 10681 10784 10919 11022 10875 10971 03/31/09 10921 11022 10968 11075 10956 11076 06/30/09 10965 11084 11096 11222 11076 11217 09/30/09 11163 11322 11102 11267 11232 11397 12/31/09 11234 11409
38 [streetTRACKS Logo/semi-annual report] SPDR BARCLAYS CAPITAL SHORT TERM MUNICIPAL BOND ETF -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
---------------------------------------------------------------------------------------------------------------------- NEW YORK, NY, CITY FLORIDA, STATE INDIANA, STATE NEW YORK, STATE TRANSITIONAL FINANCE BOARD OF EDUCATION, FINANCE AUTHORITY, GENERAL OBLIGATION, AUTHORITY REVENUE, GENERAL OBLIGATION, LEASE REVENUE, SERIES C SERIES B SERIES C SERIES A-1 DESCRIPTION 3.00%, 2/1/2014 5.00%, 11/1/2014 5.00%, 6/1/2014 5.00%, 11/1/2014 ---------------------------------------------------------------------------------------------------------------------- MARKET VALUE $15,836,250 11,659,518 10,851,466 9,865,161 ---------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 1.8% 1.3 1.2 1.1 ---------------------------------------------------------------------------------------------------------------------- ------------------------------------------- GILBERT, AZ, GENERAL OBLIGATION, DESCRIPTION 5.00%, 7/1/2013 ------------------------------------------- MARKET VALUE 9,841,852 ------------------------------------------- % OF NET ASSETS 1.1 -------------------------------------------
(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 DECEMBER 31, 2009*
----------------------------------------------- PERCENT OF NET ASSETS ----------------------------------------------- Municipal Bonds & Notes 98.4% Short Term Investments 0.6 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.
39 [streetTRACKS Logo/semi-annual report] SPDR S&P VRDO MUNICIPAL 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 DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------------- CHICAGO, IL, BOARD OF ILLINOIS, STATE EDUCATION, CALIFORNIA, ECONOMIC TOLL HIGHWAY GENERAL OBLIGATION, RECOVERY, GENERAL HANCOCK COUNTY, OH, AUTHORITY REVENUE, SERIES B OBLIGATION, SERIES C-15 HOSPITAL REVENUE SERIES A DESCRIPTION 0.40%, 3/1/2032 0.29%, 7/1/2023 0.50%, 12/1/2034 0.30%, 7/1/2030 ----------------------------------------------------------------------------------------------------------------------------- MARKET VALUE $730,000 706,000 700,000 700,000 ----------------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 4.9% 4.7 4.7 4.7 ----------------------------------------------------------------------------------------------------------------------------- --------------------------------------------------- SOUTHERN CALIFORNIA, PUBLIC POWER AUTHORITY, TRANSMISSIONS PROJECT REVENUE, SERIES A DESCRIPTION 0.34%, 7/1/2023 --------------------------------------------------- MARKET VALUE 700,000 --------------------------------------------------- % 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 issue.) ASSET ALLOCATION AS OF DECEMBER 31, 2009*
----------------------------------------------- PERCENT OF NET ASSETS ----------------------------------------------- Municipal Bonds & Notes 95.9% Short Term Investments 0.4 Other Assets & Liabilities 3.7 ----------------------------------------------- TOTAL 100.0% -----------------------------------------------
* The Fund's asset allocation is expressed as a percentage of net assets and may change over time.
40 [streetTRACKS Logo/semi-annual report] 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 commissions 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, 2009 IS 0.50%. PERFORMANCE AS OF DECEMBER 31, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- DB GLOBAL DB GLOBAL GOVERNMENT GOVERNMENT EX-U.S. EX-U.S. INFLATION- INFLATION- LINKED LINKED NET ASSET MARKET BOND CAPPED NET ASSET MARKET BOND CAPPED VALUE VALUE INDEX VALUE VALUE INDEX ---------------------------------------------------------------------------------------------------------------------- SIX-MONTHS 8.03% 7.53% 7.77% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- ONE YEAR 18.51% 17.16% 18.73% 18.51% 17.16% 18.73% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) -4.92% -4.62% -2.36% -2.76% -2.58% -1.32% ----------------------------------------------------------------------------------------------------------------------
(1) For the period March 13, 2008 to December 31, 2009.
41 [streetTRACKS Logo/semi-annual report] SPDR DB INTERNATIONAL GOVERNMENT INFLATION-PROTECTED BOND ETF -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (Based on Net Asset Value) (Line Graph)
DB GLOBAL SPDR DB GOVERNMENT EX-US INTERNATIONAL GOVERNMENT INFLATION-LINKED BOND INFLATION-PROTECTED BOND CAPPED INDEX ETF (A) (B) ------------------------ --------------------- 03/13/08 10000 10000 03/31/08 9867 9939 9780 9914 9848 9999 06/30/08 9927 10111 9964 10177 9567 9776 09/30/08 8915 9100 7529 7718 7365 7562 12/31/08 8023 8223 7636 7828 7370 7563 03/31/09 7836 8040 8112 8326 8681 8934 06/30/09 8801 9059 9077 9358 9250 9520 09/30/09 9452 9744 9600 9897 9834 10134 12/31/09 9508 9764
42 [streetTRACKS Logo/semi-annual report] SPDR DB INTERNATIONAL GOVERNMENT INFLATION-PROTECTED BOND ETF -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
-------------------------------------------------------------------------------------------------------------------- UNITED KINGDOM GOVERNMENT OF JAPAN TREASURY BOND, REPUBLIC OF FRANCE, REPUBLIC OF FRANCE, 10 YEAR BOND, DESCRIPTION 1.25%, 11/22/2027 2.25%, 7/25/2020 1.00%, 7/25/2017 1.10%, 12/10/2016 -------------------------------------------------------------------------------------------------------------------- MARKET VALUE $93,686,503 60,335,077 55,770,595 46,147,196 -------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 9.0% 5.8 5.4 4.4 -------------------------------------------------------------------------------------------------------------------- --------------------------------------------- UNITED KINGDOM TREASURY BOND, DESCRIPTION 1.88%, 11/22/2022 --------------------------------------------- MARKET VALUE 43,598,864 --------------------------------------------- % 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 issue.) ASSET ALLOCATION AS OF DECEMBER 31, 2009*
----------------------------------------------- PERCENT OF NET ASSETS ----------------------------------------------- Foreign Government Obligations 99.5% Short Term Investments 0.4 Other Assets & Liabilities 0.1 ----------------------------------------------- TOTAL 100.0% -----------------------------------------------
* The Fund's asset allocation is expressed as a percentage of net assets and may change over time.
43 [streetTRACKS Logo/semi-annual report] SPDR BARCLAYS CAPITAL SHORT TERM 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 (1/15/09, 1/27/09, 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 commissions 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 INTERNATIONAL TREASURY BOND ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2009 IS 0.35%. PERFORMANCE AS OF DECEMBER 31, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- BARCLAYS BARCLAYS CAPITAL CAPITAL 1-3 YEAR 1-3 YEAR GLOBAL GLOBAL TREASURY EX- TREASURY EX- NET ASSET MARKET US NET ASSET MARKET US VALUE VALUE CAPPED INDEX VALUE VALUE CAPPED INDEX ---------------------------------------------------------------------------------------------------------------------- SIX-MONTHS 4.74% 5.38% 4.96% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) 11.25% 11.93% 11.88% N/A N/A N/A ----------------------------------------------------------------------------------------------------------------------
(1) For the period January 15, 2009 to December 31, 2009.
44 [streetTRACKS Logo/semi-annual report] SPDR BARCLAYS CAPITAL SHORT TERM INTERNATIONAL TREASURY BOND ETF -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (Based on Net Asset Value) (Line Graph)
SPDR BARCLAYS BARCLAYS CAPITAL CAPITAL SHORT 1-3 YEAR TERM INTERNATIONAL GLOBAL TREASURY TREASURY BOND EX-US CAPPED ETF (A) INDEX (B) ------------------ ---------------- 1/15/09 10000 10000 9849 9886 9534 9573 03/31/09 9891 9940 10085 10120 10676 10720 06/30/09 10622 10658 10839 10880 10980 11019 09/30/09 11263 11304 11304 11358 11616 11676 12/31/09 11125 11188
45 [streetTRACKS Logo/semi-annual report] SPDR BARCLAYS CAPITAL SHORT TERM INTERNATIONAL TREASURY BOND ETF -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
---------------------------------------------------------------------------------------------------------------------- GOVERNMENT OF JAPAN FEDERAL REPUBLIC GOVERNMENT OF JAPAN 5 YEAR BOND, OF GERMANY, REPUBLIC OF ITALY, 5 YEAR BOND, DESCRIPTION 1.20%, 9/20/2011 5.00%, 7/4/2011 5.25%, 8/1/2011 1.50%, 6/20/2012 ---------------------------------------------------------------------------------------------------------------------- MARKET VALUE $15,674,378 6,942,719 6,641,157 6,542,291 ---------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 11.4% 5.1 4.8 4.8 ---------------------------------------------------------------------------------------------------------------------- -------------------------------------------- KOREA TREASURY BOND, DESCRIPTION 4.75%, 12/10/2011 -------------------------------------------- MARKET VALUE 6,054,219 -------------------------------------------- % 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 issue.) ASSET ALLOCATION AS OF DECEMBER 31, 2009*
----------------------------------------------- PERCENT OF NET ASSETS ----------------------------------------------- Foreign Government Obligations 95.7% Short Term Investments 1.0 Other Assets & Liabilities 3.3 ----------------------------------------------- TOTAL 100.0% -----------------------------------------------
* The Fund's asset allocation is expressed as a percentage of net assets and may change over time.
46 [streetTRACKS Logo/semi-annual report] 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 (10/2/07, 10/5/07, 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 commissions 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, 2009 IS 0.50%. PERFORMANCE AS OF DECEMBER 31, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- BARCLAYS BARCLAYS CAPITAL CAPITAL GLOBAL GLOBAL TREASURY TREASURY NET ASSET MARKET EX-US CAPPED NET ASSET MARKET EX-US CAPPED VALUE VALUE INDEX VALUE VALUE INDEX ---------------------------------------------------------------------------------------------------------------------- SIX-MONTHS 5.33% 4.58% 5.68% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- ONE YEAR 6.51% 5.49% 7.17% 6.51% 5.49% 7.17% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) 15.33% 15.26% 18.13% 6.54% 6.52% 7.70% ----------------------------------------------------------------------------------------------------------------------
(1) For the period October 2, 2007 to December 31, 2009.
47 [streetTRACKS Logo/semi-annual report] SPDR BARCLAYS CAPITAL INTERNATIONAL TREASURY BOND ETF -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (Based on Net Asset Value) (Line Graph)
SPDR BARCLAYS BARCLAYS CAPITAL CAPITAL INTERNATIONAL GLOBAL TREASURY TREASURY BOND EX-US CAPPED ETF (A) INDEX (B) --------------------- ---------------- 10/2/07 10000 10000 10254 10273 10440 10477 12/31/07 10367 10411 10705 10769 10997 11075 3/31/08 11346 11438 11044 11143 10899 10998 6/30/08 10895 11010 10996 11109 10625 10749 9/30/08 10345 10474 9764 9881 10012 10177 12/31/08 10828 11025 10160 10359 9878 10080 3/31/09 10288 10500 10435 10647 10936 11164 6/30/09 10949 11182 11229 11474 11440 11699 9/30/09 11726 11996 11759 12032 12131 12428 12/31/09 11533 11813
48 [streetTRACKS Logo/semi-annual report] SPDR BARCLAYS CAPITAL INTERNATIONAL TREASURY BOND ETF -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
---------------------------------------------------------------------------------------------------------------------- GOVERNMENT OF JAPAN GOVERNMENT OF JAPAN FEDERAL REPUBLIC 10 YEAR BOND, 10 YEAR BOND, REPUBLIC OF ITALY, OF GERMANY, DESCRIPTION 1.30%, 6/20/2012 1.50%, 9/20/2014 5.25%, 8/1/2017 4.25%, 7/4/2017 ---------------------------------------------------------------------------------------------------------------------- MARKET VALUE $65,957,659 63,938,192 60,903,062 60,684,258 ---------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 4.4% 4.3 4.1 4.1 ---------------------------------------------------------------------------------------------------------------------- ----------------------------------------------- GOVERNMENT OF JAPAN 5 YEAR BOND, DESCRIPTION 1.50%, 3/20/2011 ----------------------------------------------- MARKET VALUE 44,791,198 ----------------------------------------------- % 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 issue.) ASSET ALLOCATION AS OF DECEMBER 31, 2009*
----------------------------------------------- PERCENT OF NET ASSETS ----------------------------------------------- Foreign Government Obligations 97.7% Short Term Investments 1.2 Other Assets & Liabilities 1.1 ----------------------------------------------- TOTAL 100.0% -----------------------------------------------
* The Fund's asset allocation is expressed as a percentage of net assets and may change over time.
49 [streetTRACKS Logo/semi-annual report] 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, 12/4/07, 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 commissions 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, 2009 IS 0.40%. PERFORMANCE AS OF DECEMBER 31, 2009
---------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN ---------------------------------------------------------------------------------- BARCLAYS BARCLAYS CAPITAL CAPITAL HIGH YIELD HIGH YIELD NET ASSET MARKET VERY NET ASSET MARKET VERY VALUE VALUE LIQUID INDEX VALUE VALUE LIQUID INDEX ---------------------------------------------------------------------------------------------------------------------- SIX-MONTHS 21.02% 18.82% 23.37% N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------- ONE YEAR 50.50% 40.41% 63.49% 50.50% 40.41% 63.49% ---------------------------------------------------------------------------------------------------------------------- SINCE INCEPTION (1) 5.39% 6.10% 18.24% 2.54% 2.87% 8.34% ----------------------------------------------------------------------------------------------------------------------
(1) For the period November 28, 2007 to December 31, 2009.
50 [streetTRACKS Logo/semi-annual report] SPDR BARCLAYS CAPITAL HIGH YIELD BOND ETF -- PERFORMANCE SUMMARY (CONTINUED) COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (Based on Net Asset Value) (Line Graph)
SPDR BARCLAYS BARCLAYS CAPITAL CAPITAL HIGH HIGH YIELD YIELD BOND VERY LIQUID ETF (A) INDEX (B) ------------- ---------------- 11/28/07 10000 10000 10000 10053 12/31/07 10034 10095 9746 9912 9534 9718 3/31/08 9559 9752 10001 10248 10009 10306 6/30/08 9690 9986 9558 9846 9542 9848 9/30/08 8602 8863 7130 7281 6444 6567 12/31/08 7003 7233 7288 7742 6832 7318 3/31/09 7113 7619 8041 8692 8569 9364 6/30/09 8709 9586 9292 10296 9359 10432 9/30/09 9952 11116 10083 11298 10123 11343 12/31/09 10539 11824
51 [streetTRACKS Logo/semi-annual report] SPDR BARCLAYS CAPITAL HIGH YIELD BOND ETF -- PORTFOLIO SUMMARY TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
------------------------------------------------------------------------------------------------------------- COMMUNITY HEALTH HARRAH'S OPERATING HCA, INC., GMAC LLC, SYSTEMS, INC., CO., INC., DESCRIPTION 9.25%, 11/15/2016 6.88%, 9/15/2011 8.88%, 7/15/2015 10.00%, 12/15/2018 ------------------------------------------------------------------------------------------------------------- MARKET VALUE $90,155,271 77,260,445 76,684,185 67,034,430 ------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 2.6% 2.3 2.2 2.0 ------------------------------------------------------------------------------------------------------------- ------------------------------------------------- AMERICAN INTERNATIONAL GROUP, INC., DESCRIPTION 8.18%, 5/15/2058 ------------------------------------------------- MARKET VALUE 66,267,300 ------------------------------------------------- % OF NET ASSETS 1.9 -------------------------------------------------
(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 DECEMBER 31, 2009*
----------------------------------------------- PERCENT OF NET ASSETS ----------------------------------------------- Corporate Bonds & Notes 98.3% Common Stocks 0.0** Short Term Investments 0.8 Other Assets & Liabilities 0.9 ----------------------------------------------- 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.
52 [streetTRACKS Logo/semi-annual report] SPDR BARCLAYS CAPITAL SHORT TERM CORPORATE 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 DECEMBER 31, 2009
---------------------------------------------------------------------------------------------------------------------------------- THE GOLDMAN SACHS CONOCO HSBC FINANCE GENERAL ELECTRIC GROUP, INC., FUNDING CO., MORGAN STANLEY, CORP., CAPITAL CORP., DESCRIPTION 6.60%, 1/15/2012 6.35%, 10/15/2011 6.60%, 4/1/2012 7.00%, 5/15/2012 6.00%, 6/15/2012 ---------------------------------------------------------------------------------------------------------------------------------- MARKET VALUE $649,987 544,084 542,968 542,587 539,083 ---------------------------------------------------------------------------------------------------------------------------------- % OF NET ASSETS 4.4 3.7 3.6 3.6 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 DECEMBER 31, 2009*
----------------------------------------------- PERCENT OF NET ASSETS ----------------------------------------------- Corporate Bonds & Notes 95.6% Short Term Investments 9.8 Other Assets & Liabilities (5.4) ----------------------------------------------- TOTAL 100.0% -----------------------------------------------
* The Fund's asset allocation is expressed as a percentage of net assets and may change over time.
53 SPDR BARCLAYS CAPITAL 1-3 MONTH T-BILL ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- U.S. TREASURY OBLIGATIONS -- 100.0% Treasury Bills* 0.01%, 2/11/2010...................... $102,548,000 $102,542,163 0.01%, 2/18/2010...................... 73,249,000 73,245,094 0.02%, 2/4/2010....................... 73,249,000 73,245,541 0.03%, 2/25/2010...................... 73,249,000 73,243,406 0.06%, 3/11/2010...................... 101,327,000 101,316,766 0.06%, 3/25/2010...................... 72,028,000 72,018,348 0.06%, 4/1/2010....................... 112,315,000 112,298,714 0.06%, 3/4/2010....................... 72,028,000 72,020,797 0.07%, 3/18/2010...................... 72,028,000 72,018,492 ------------ TOTAL U.S. TREASURY OBLIGATIONS -- (Cost $751,955,724)................... 751,949,321 ------------ SHARES ------ SHORT TERM INVESTMENTS -- 0.0% (A) MONEY MARKET FUND -- 0.0% (A) State Street Institutional Liquid Reserves Fund (b)(c) (Cost $349,733)....................... 349,733 349,733 ------------ TOTAL INVESTMENTS -- 100.0% (D) (Cost $752,305,457)................... 752,299,054 OTHER ASSETS AND LIABILITIES -- 0.0% (A)............... (276,653) ------------ NET ASSETS -- 100.0%.................... $752,022,401 ============
* Rate shown is the discount rate at time of purchase, not a coupon rate. (a) Amount shown represents less than 0.05% of net assets. (b) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (c) Value is determined based on Level 1 inputs. (Note 2) (d) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs. (Note 2)
See accompanying notes to financial statements. 54 SPDR BARCLAYS CAPITAL TIPS ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- U.S. TREASURY OBLIGATIONS -- 99.1% Treasury Inflation Protected Indexed Bonds 1.75%, 1/15/2028 (a).................. $10,918,111 $ 10,486,518 2.00%, 1/15/2026 (a).................. 13,035,917 13,113,350 2.38%, 1/15/2025 (a).................. 20,741,206 21,901,469 2.38%, 1/15/2027 (a).................. 10,703,221 11,268,458 2.50%, 1/15/2029 (a).................. 8,633,739 9,279,888 3.38%, 4/15/2032 (a).................. 3,573,201 4,425,731 3.63%, 4/15/2028 (a).................. 13,520,337 16,718,708 3.88%, 4/15/2029 (a).................. 15,525,733 20,016,085 Treasury Inflation Protected Indexed Notes 0.63%, 4/15/2013 (a).................. 9,292,525 9,456,631 1.25%, 4/15/2014 (a).................. 9,346,176 9,667,498 1.38%, 7/15/2018 (a).................. 8,967,005 8,986,642 1.63%, 1/15/2015 (a).................. 12,955,867 13,492,369 1.63%, 1/15/2018 (a).................. 11,733,280 12,017,460 1.88%, 7/15/2013 (a).................. 15,387,837 16,224,627 1.88%, 7/15/2015 (a).................. 12,949,567 13,653,764 1.88%, 7/15/2019 (a).................. 9,229,221 9,588,330 2.00%, 4/15/2012 (a).................. 10,988,466 11,493,276 2.00%, 1/15/2014 (a).................. 14,887,232 15,759,475 2.00%, 7/15/2014 (a).................. 13,198,636 13,998,738 2.00%, 1/15/2016 (a).................. 11,105,961 11,735,891 2.13%, 1/15/2019 (a).................. 9,001,239 9,551,125 2.38%, 4/15/2011 (a).................. 13,146,405 13,551,052 2.38%, 1/15/2017 (a).................. 11,195,237 12,096,118 2.50%, 7/15/2016 (a).................. 12,865,258 14,025,189 2.63%, 7/15/2017 (a).................. 8,743,553 9,622,018 3.00%, 7/15/2012 (a).................. 18,025,784 19,389,074 3.38%, 1/15/2012...................... 4,433,844 4,745,587 3.50%, 1/15/2011 (a).................. 8,264,534 8,582,223 ------------ TOTAL U.S. TREASURY OBLIGATIONS -- (Cost $334,661,118)................... 344,847,294 ------------ SHARES ------ SHORT TERM INVESTMENTS -- 20.7% MONEY MARKET FUNDS -- 20.7% State Street Institutional Liquid Reserves Fund (b)..................... 856,976 856,976 State Street Navigator Securities Lending Prime Portfolio (b)(c)........ 71,137,330 71,137,330 ------------ TOTAL SHORT TERM INVESTMENTS -- (D) (Cost $71,994,306).................... 71,994,306 ------------ TOTAL INVESTMENTS -- 119.8% (E) (Cost $406,655,424)................... 416,841,600 OTHER ASSETS AND LIABILITIES -- (19.8)%................ (69,012,306) ------------ NET ASSETS -- 100.0%.................... $347,829,294 ============
(a) Security, or portion thereof, was on loan at December 31, 2009. (b) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (c) Investments of cash collateral for securities loaned. (d) Value is determined based on Level 1 inputs. (Note 2) (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs. (Note 2)
See accompanying notes to financial statements. 55 SPDR BARCLAYS CAPITAL INTERMEDIATE TERM TREASURY ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- U.S. TREASURY OBLIGATIONS -- 99.1% Treasury Bonds 7.25%, 5/15/2016...................... $ 1,015,000 $ 1,257,128 7.50%, 11/15/2016 (a)................. 964,000 1,215,334 8.13%, 8/15/2019...................... 825,000 1,110,665 8.75%, 5/15/2017 (a).................. 870,000 1,176,962 8.88%, 8/15/2017...................... 572,000 779,962 8.88%, 2/15/2019 (a).................. 358,000 500,083 9.00%, 11/15/2018 (a)................. 421,000 591,324 9.13%, 5/15/2018 (a).................. 359,000 504,126 9.25%, 2/15/2016...................... 264,000 355,764 9.88%, 11/15/2015..................... 308,000 423,269 10.63%, 8/15/2015..................... 191,000 268,418 11.25%, 2/15/2015 (a)................. 579,000 817,230 Treasury Notes 0.75%, 11/30/2011 (a)................. 3,950,000 3,924,364 0.88%, 1/31/2011 (a).................. 2,831,000 2,839,663 0.88%, 2/28/2011 (a).................. 2,879,000 2,885,190 0.88%, 3/31/2011 (a).................. 2,334,000 2,338,481 0.88%, 4/30/2011 (a).................. 2,340,000 2,342,808 0.88%, 5/31/2011 (a).................. 1,643,000 1,645,481 1.00%, 7/31/2011 (a).................. 2,874,000 2,878,627 1.00%, 8/31/2011 (a).................. 2,586,000 2,587,448 1.00%, 9/30/2011 (a).................. 2,700,000 2,699,433 1.00%, 10/31/2011 (a)................. 3,050,000 3,047,347 1.13%, 6/30/2011 (a).................. 3,166,000 3,179,234 1.13%, 12/15/2011 (a)................. 1,579,000 1,579,742 1.13%, 1/15/2012 (a).................. 1,518,000 1,516,649 1.13%, 12/15/2012..................... 2,000,000 1,967,428 1.38%, 2/15/2012 (a).................. 1,993,000 1,998,720 1.38%, 3/15/2012...................... 1,307,000 1,310,372 1.38%, 4/15/2012 (a).................. 1,462,000 1,463,316 1.38%, 5/15/2012 (a).................. 1,993,000 1,993,100 1.38%, 9/15/2012 (a).................. 2,000,000 1,990,400 1.38%, 10/15/2012 (a)................. 2,000,000 1,988,900 1.38%, 11/15/2012 (a)................. 4,500,000 4,467,465 1.50%, 7/15/2012 (a).................. 1,440,000 1,442,333 1.50%, 12/31/2013..................... 1,933,000 1,882,065 1.75%, 11/15/2011 (a)................. 1,518,000 1,537,461 1.75%, 8/15/2012 (a).................. 2,176,000 2,190,296 1.75%, 1/31/2014 (a).................. 1,302,000 1,277,483 1.75%, 3/31/2014 (a).................. 1,751,000 1,709,834 1.88%, 6/15/2012 (a).................. 2,018,000 2,040,238 1.88%, 2/28/2014 (a).................. 1,463,000 1,439,168 1.88%, 4/30/2014 (a).................. 1,793,000 1,756,494 2.00%, 11/30/2013 (a)................. 1,533,000 1,524,860 2.13%, 11/30/2014 (a)................. 4,150,000 4,051,894 2.25%, 5/31/2014 (a).................. 2,442,000 2,425,785 2.38%, 8/31/2014 (a).................. 1,580,000 1,568,545 2.38%, 9/30/2014 (a).................. 1,600,000 1,586,608 2.38%, 10/31/2014 (a)................. 1,700,000 1,681,657 2.38%, 3/31/2016...................... 1,750,000 1,674,820 2.50%, 3/31/2013 (a).................. 945,000 966,300 2.63%, 6/30/2014...................... 3,013,000 3,035,959 2.63%, 7/31/2014 (a).................. 2,962,000 2,977,787 2.63%, 2/29/2016...................... 1,116,000 1,086,047 2.63%, 4/30/2016 (a).................. 1,391,000 1,348,324 2.75%, 2/28/2013...................... 1,090,000 1,123,158 2.75%, 10/31/2013 (a)................. 1,620,000 1,659,236 2.75%, 11/30/2016 (a)................. 2,000,000 1,926,260 2.75%, 2/15/2019 (a).................. 3,704,000 3,411,051 2.88%, 1/31/2013 (a).................. 944,000 977,418 3.00%, 8/31/2016...................... 1,057,000 1,039,929 3.00%, 9/30/2016...................... 1,000,000 981,660 3.13%, 4/30/2013...................... 1,014,000 1,056,274 3.13%, 8/31/2013 (a).................. 1,484,000 1,542,366 3.13%, 9/30/2013 (a).................. 1,113,000 1,156,763 3.13%, 10/31/2016 (a)................. 3,800,000 3,752,158 3.13%, 5/15/2019 (a).................. 3,809,000 3,607,352 3.25%, 5/31/2016 (a).................. 1,573,000 1,579,953 3.25%, 6/30/2016...................... 1,093,000 1,096,421 3.25%, 7/31/2016 (a).................. 1,616,000 1,619,183 3.25%, 12/31/2016..................... 1,500,000 1,487,525 3.38%, 11/30/2012 (a)................. 811,000 851,834 3.38%, 6/30/2013 (a).................. 872,000 915,347 3.38%, 7/31/2013...................... 1,382,000 1,450,616 3.38%, 11/15/2019 (a)................. 2,100,000 2,020,011 3.50%, 5/31/2013 (a).................. 1,272,000 1,340,497 3.50%, 2/15/2018 (a).................. 2,111,000 2,094,408 3.63%, 12/31/2012 (a)................. 873,000 923,267 3.63%, 5/15/2013 (a).................. 1,210,000 1,281,015 3.63%, 8/15/2019 (a).................. 4,347,000 4,273,927 3.75%, 11/15/2018 (a)................. 3,130,000 3,129,937 3.88%, 10/31/2012 (a)................. 875,000 931,035 3.88%, 2/15/2013...................... 957,000 1,018,994 3.88%, 5/15/2018...................... 1,534,000 1,557,946 4.00%, 11/15/2012 (a)................. 1,112,000 1,187,983 4.00%, 2/15/2014 (a).................. 1,790,000 1,913,850 4.00%, 2/15/2015...................... 1,813,000 1,927,455 4.00%, 8/15/2018 (a).................. 1,626,000 1,660,439 4.13%, 8/31/2012...................... 879,000 939,985 4.13%, 5/15/2015...................... 2,071,000 2,208,618 4.25%, 1/15/2011 (a).................. 580,000 601,843 4.25%, 9/30/2012...................... 581,000 623,529 4.25%, 8/15/2013 (a).................. 2,207,000 2,381,265 4.25%, 11/15/2013..................... 1,426,000 1,541,121 4.25%, 8/15/2014...................... 544,000 587,145 4.25%, 11/15/2014 (a)................. 1,159,000 1,248,823 4.25%, 8/15/2015...................... 1,982,000 2,121,969 4.25%, 11/15/2017..................... 1,226,000 1,285,007 4.38%, 8/15/2012...................... 521,000 560,544 4.50%, 2/28/2011...................... 997,000 1,040,190 4.50%, 9/30/2011 (a).................. 1,039,000 1,101,776 4.50%, 11/30/2011 (a)................. 950,000 1,011,598 4.50%, 3/31/2012 (a).................. 912,000 976,533 4.50%, 4/30/2012 (a).................. 910,000 976,002 4.50%, 11/15/2015 (a)................. 627,000 679,060 4.50%, 2/15/2016...................... 1,375,000 1,483,914 4.50%, 5/15/2017 (a).................. 1,253,000 1,340,334 4.63%, 8/31/2011 (a).................. 1,026,000 1,088,083 4.63%, 10/31/2011 (a)................. 796,000 847,796 4.63%, 12/31/2011 (a)................. 944,000 1,008,843 4.63%, 2/29/2012 (a).................. 856,000 917,606 4.63%, 7/31/2012 (a).................. 904,000 976,329 4.63%, 11/15/2016 (a)................. 1,410,000 1,525,944 4.63%, 2/15/2017...................... 1,343,000 1,450,789 4.75%, 3/31/2011...................... 1,004,000 1,052,845 4.75%, 1/31/2012 (a).................. 842,000 903,609
See accompanying notes to financial statements. 56 SPDR BARCLAYS CAPITAL INTERMEDIATE TERM TREASURY ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- 4.75%, 5/31/2012...................... $ 904,000 $ 976,356 4.75%, 5/15/2014 (a).................. 1,652,000 1,818,340 4.75%, 8/15/2017...................... 1,416,000 1,536,388 4.88%, 4/30/2011...................... 1,788,000 1,883,461 4.88%, 5/31/2011...................... 125,000 132,085 4.88%, 7/31/2011...................... 984,000 1,045,028 4.88%, 2/15/2012...................... 1,390,000 1,496,043 4.88%, 6/30/2012 (a).................. 860,000 932,799 4.88%, 8/15/2016 (a).................. 1,106,000 1,216,711 5.00%, 2/15/2011 (a).................. 923,000 967,313 5.00%, 8/15/2011 (a).................. 1,126,000 1,200,598 5.13%, 6/30/2011 (a).................. 987,000 1,048,944 5.13%, 5/15/2016...................... 1,243,000 1,386,939 ------------ TOTAL U.S. TREASURY OBLIGATIONS -- (Cost $203,995,921)................... 203,465,764 ------------ SHARES ------ SHORT TERM INVESTMENTS -- 20.9% MONEY MARKET FUNDS -- 20.9% State Street Institutional Liquid Reserves Fund (b)..................... 865,508 865,508 State Street Navigator Securities Lending Prime Portfolio (b)(c)........ 42,038,164 42,038,164 ------------ TOTAL SHORT TERM INVESTMENTS --(D) (Cost $42,903,672).................... 42,903,672 ------------ TOTAL INVESTMENTS -- 120.0% (E) (Cost $246,899,593)................... 246,369,436 OTHER ASSETS AND LIABILITIES -- (20.0)%................ (41,050,049) ------------ NET ASSETS -- 100.0%.................... $205,319,387 ============
(a) Security, or portion thereof, was on loan at December 31, 2009. (b) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (c) Investments of cash collateral for securities loaned. (d) Value is determined based on Level 1 inputs. (Note 2) (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs. (Note 2)
See accompanying notes to financial statements. 57 SPDR BARCLAYS CAPITAL LONG TERM TREASURY ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- U.S. TREASURY OBLIGATIONS -- 98.6% Treasury Bonds 3.50%, 2/15/2039 (a).................. $ 689,000 $ 564,422 4.25%, 5/15/2039 (a).................. 1,114,000 1,045,823 4.38%, 2/15/2038 (a).................. 487,000 468,007 4.38%, 11/15/2039..................... 650,000 622,271 4.50%, 2/15/2036 (a).................. 584,000 575,573 4.50%, 5/15/2038...................... 646,000 632,990 4.50%, 8/15/2039 (a).................. 1,400,000 1,369,116 4.75%, 2/15/2037 (a).................. 422,000 431,558 5.00%, 5/15/2037...................... 444,000 471,914 5.25%, 11/15/2028 (a)................. 180,000 195,080 5.25%, 2/15/2029...................... 270,000 292,583 5.38%, 2/15/2031 (a).................. 339,000 374,710 5.50%, 8/15/2028 (a).................. 185,000 206,181 6.00%, 2/15/2026 (a).................. 205,000 239,975 6.13%, 11/15/2027 (a)................. 528,000 629,292 6.13%, 8/15/2029 (a).................. 476,000 571,595 6.25%, 8/15/2023 (a).................. 351,000 419,392 6.25%, 5/15/2030 (a).................. 405,000 494,938 6.38%, 8/15/2027...................... 187,000 228,419 6.50%, 11/15/2026..................... 234,000 288,426 6.63%, 2/15/2027...................... 233,000 290,854 6.75%, 8/15/2026...................... 262,000 330,560 6.88%, 8/15/2025 (a).................. 99,000 125,696 7.13%, 2/15/2023...................... 337,000 432,415 7.25%, 8/15/2022 (a).................. 120,000 155,545 7.50%, 11/15/2024 (a)................. 342,000 457,449 7.63%, 11/15/2022..................... 360,000 480,370 7.63%, 2/15/2025...................... 597,000 806,971 7.88%, 2/15/2021 (a).................. 79,000 106,312 8.00%, 11/15/2021 (a)................. 566,000 771,073 8.13%, 5/15/2021 (a).................. 300,000 410,457 8.13%, 8/15/2021 (a).................. 200,000 274,664 8.50%, 2/15/2020...................... 194,000 268,960 8.75%, 5/15/2020...................... 127,000 179,136 8.75%, 8/15/2020...................... 358,000 506,527 ----------- TOTAL U.S. TREASURY OBLIGATIONS -- (Cost $16,542,371).................... 15,719,254 ----------- SHARES ------ SHORT TERM INVESTMENTS -- 20.5% MONEY MARKET FUNDS -- 20.5% State Street Institutional Liquid Reserves Fund (b)..................... 6,131 6,131 State Street Navigator Securities Lending Prime Portfolio (b)(c)........ 3,265,304 3,265,304 ----------- TOTAL SHORT TERM INVESTMENTS --(D) (Cost $3,271,435)..................... 3,271,435 ----------- TOTAL INVESTMENTS -- 119.1% (E) (Cost $19,813,806).................... 18,990,689 OTHER ASSETS AND LIABILITIES -- (19.1)%................ (3,042,045) ----------- NET ASSETS -- 100.0%.................... $15,948,644 ===========
(a) Security, or portion thereof, was on loan at December 31, 2009. (b) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (c) Investments of cash collateral for securities loaned. (d) Value is determined based on Level 1 inputs. (Note 2) (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs. (Note 2)
See accompanying notes to financial statements. 58 SPDR BARCLAYS CAPITAL INTERMEDIATE TERM CREDIT BOND ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- CORPORATE BONDS & NOTES -- 90.2% AEROSPACE & DEFENSE -- 1.8% Boeing Capital Corp. 6.50%, 2/15/2012...................... $ 325,000 $ 353,185 Honeywell International, Inc. 5.00%, 2/15/2019...................... 265,000 274,972 United Technologies Corp. 5.38%, 12/15/2017..................... 325,000 347,375 ----------- 975,532 ----------- AUTOMOBILES -- 0.5% Daimler Finance North America LLC 6.50%, 11/15/2013..................... 265,000 290,113 ----------- BEVERAGES -- 1.2% Anheuser-Busch InBev Worldwide, Inc. 4.13%, 1/15/2015 (a).................. 140,000 142,422 PepsiCo, Inc. 5.00%, 6/1/2018....................... 490,000 510,757 ----------- 653,179 ----------- CAPITAL MARKETS -- 6.4% Morgan Stanley: 4.75%, 4/1/2014....................... 710,000 714,263 5.63%, 9/23/2019...................... 210,000 211,278 6.75%, 4/15/2011...................... 200,000 212,434 The Bear Stearns Cos. LLC 7.25%, 2/1/2018....................... 660,000 755,733 The Goldman Sachs Group, Inc. 5.95%, 1/18/2018...................... 1,470,000 1,547,429 ----------- 3,441,137 ----------- CHEMICALS -- 1.4% E.I. du Pont de Nemours & Co. 5.88%, 1/15/2014...................... 325,000 359,101 The Dow Chemical Co.: 7.60%, 5/15/2014...................... 140,000 158,279 8.55%, 5/15/2019...................... 190,000 225,199 ----------- 742,579 ----------- COMMERCIAL BANKS -- 14.9% Barclays Bank PLC 5.20%, 7/10/2014...................... 370,000 393,860 Deutsche Bank AG: 3.88%, 8/18/2014...................... 200,000 203,679 6.00%, 9/1/2017....................... 200,000 216,000 European Investment Bank: 3.13%, 7/15/2011...................... 1,330,000 1,373,260 4.25%, 7/15/2013...................... 1,145,000 1,219,738 Inter-American Development Bank 3.25%, 11/15/2011 (b)................. 985,000 1,021,635 KFW Bankengruppe 3.25%, 3/15/2013...................... 1,330,000 1,374,614 Kreditanstalt fuer Wiederaufbau 2.75%, 10/21/2014..................... 285,000 283,200 Wachovia Capital Trust III 5.80%, 3/29/2049 (c).................. 250,000 192,733 Wachovia Corp. 5.50%, 5/1/2013....................... 1,604,000 1,704,485 ----------- 7,983,204 ----------- COMMERCIAL SERVICES & SUPPLIES -- 0.2% Republic Services, Inc. 5.50%, 9/15/2019 (a).................. 95,000 96,476 ----------- COMMUNICATIONS EQUIPMENT -- 0.7% Cisco Systems, Inc. 4.95%, 2/15/2019...................... 370,000 379,209 ----------- COMPUTERS & PERIPHERALS -- 1.9% Hewlett-Packard Co. 4.75%, 6/2/2014....................... 265,000 281,334 International Business Machines Corp. 5.70%, 9/14/2017...................... 660,000 717,203 ----------- 998,537 ----------- CONSUMER FINANCE -- 0.2% SLM Corp. 8.45%, 6/15/2018...................... 95,000 92,808 ----------- DIVERSIFIED FINANCIAL SERVICES -- 16.0% American Express Co.: 7.25%, 5/20/2014...................... 120,000 136,621 8.13%, 5/20/2019...................... 95,000 112,762 Bank of America Corp. 4.90%, 5/1/2013....................... 1,395,000 1,449,591 BP Capital Markets PLC 1.55%, 8/11/2011...................... 530,000 533,425 Capital One Bank USA NA 8.80%, 7/15/2019...................... 250,000 297,422 Capital One Financial Corp. 7.38%, 5/23/2014...................... 125,000 141,619 Citigroup, Inc. 5.50%, 4/11/2013...................... 1,175,000 1,212,479 Credit Suisse USA, Inc.: 4.88%, 1/15/2015...................... 5,000 5,235 5.30%, 8/13/2019...................... 370,000 377,183 6.13%, 11/15/2011..................... 15,000 16,162 General Electric Capital Corp.: 4.80%, 5/1/2013....................... 1,000,000 1,048,838 5.63%, 5/1/2018....................... 475,000 483,909 HSBC Finance Corp. 5.00%, 6/30/2015...................... 510,000 531,339 International Lease Finance Corp. 4.75%, 1/13/2012...................... 135,000 117,450 JPMorgan Chase & Co. 4.65%, 6/1/2014....................... 1,105,000 1,166,229 Merrill Lynch & Co., Inc. 6.88%, 4/25/2018...................... 827,000 893,861 Royal Bank of Scotland Group PLC 5.00%, 10/1/2014...................... 70,000 61,170 ----------- 8,585,295 ----------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.3% Qwest Corp. 8.38%, 5/1/2016 (a)(d)................ 140,000 148,750 ----------- ELECTRIC UTILITIES -- 5.2% Commonwealth Edison Co. 5.80%, 3/15/2018...................... 660,000 704,648 Consolidated Edison Co. of New York 6.65%, 4/1/2019....................... 95,000 106,921 Duke Energy Corp. 3.95%, 9/15/2014...................... 570,000 577,519
See accompanying notes to financial statements. 59 SPDR BARCLAYS CAPITAL INTERMEDIATE TERM CREDIT BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- FirstEnergy Solutions Corp. 4.80%, 2/15/2015 (a).................. $ 570,000 $ 577,946 Nevada Power Co. 6.50%, 8/1/2018....................... 95,000 102,490 PG&E Corp. 5.75%, 4/1/2014....................... 570,000 613,412 Virginia Electric and Power Co. 5.40%, 4/30/2018...................... 95,000 99,254 ----------- 2,782,190 ----------- FOOD & STAPLES RETAILING -- 2.7% CVS Caremark Corp. 5.75%, 6/1/2017....................... 285,000 300,045 Safeway, Inc. 5.00%, 8/15/2019...................... 265,000 263,147 Target Corp. 6.00%, 1/15/2018...................... 190,000 209,825 Wal-Mart Stores, Inc. 3.00%, 2/3/2014....................... 660,000 665,284 ----------- 1,438,301 ----------- FOOD PRODUCTS -- 1.5% Kraft Foods, Inc. 5.63%, 11/1/2011...................... 660,000 699,841 Unilever Capital Corp. 3.65%, 2/15/2014...................... 95,000 97,594 ----------- 797,435 ----------- HEALTH CARE EQUIPMENT & SUPPLIES -- 0.6% Baxter International, Inc. 4.00%, 3/1/2014....................... 325,000 337,099 ----------- HEALTH CARE PROVIDERS & SERVICES -- 0.7% Humana, Inc. 7.20%, 6/15/2018...................... 325,000 335,516 WellPoint, Inc. 7.00%, 2/15/2019...................... 45,000 50,328 ----------- 385,844 ----------- HOUSEHOLD PRODUCTS -- 0.8% Fortune Brands, Inc. 6.38%, 6/15/2014...................... 150,000 160,356 The Procter & Gamble Co. 4.60%, 1/15/2014...................... 265,000 283,187 ----------- 443,543 ----------- INSURANCE -- 3.4% Allstate Life Global Funding Trusts 5.38%, 4/30/2013...................... 530,000 564,546 American International Group, Inc. 5.85%, 1/16/2018...................... 500,000 407,500 Berkshire Hathaway Finance Corp. 4.75%, 5/15/2012...................... 530,000 563,738 Genworth Financial, Inc. 5.75%, 6/15/2014...................... 45,000 43,200 Hartford Financial Services Group, Inc. 6.30%, 3/15/2018...................... 70,000 69,806 Prudential Financial, Inc. 4.75%, 9/17/2015...................... 200,000 203,578 ----------- 1,852,368 ----------- MACHINERY -- 1.7% Caterpillar Financial Services Corp. 6.20%, 9/30/2013...................... 490,000 546,288 John Deere Capital Corp. 7.00%, 3/15/2012...................... 325,000 360,296 ----------- 906,584 ----------- MEDIA -- 3.6% Comcast Corp. 5.70%, 5/15/2018...................... 525,000 550,150 Cox Communications, Inc. 4.63%, 6/1/2013....................... 140,000 146,215 DIRECTV Holdings LLC 7.63%, 5/15/2016...................... 51,000 55,781 News America, Inc. 6.90%, 3/1/2019....................... 325,000 366,316 Time Warner Cable, Inc.: 5.88%, 11/15/2016..................... 285,000 308,068 6.20%, 7/1/2013....................... 490,000 536,760 ----------- 1,963,290 ----------- METALS & MINING -- 3.3% Alcoa, Inc. 6.75%, 7/15/2018...................... 140,000 143,500 BHP Billiton Finance USA, Ltd. 5.50%, 4/1/2014....................... 450,000 492,840 Freeport-McMoRan Copper & Gold, Inc. 8.38%, 4/1/2017....................... 140,000 153,300 Rio Tinto Finance USA, Ltd. 5.88%, 7/15/2013...................... 890,000 961,581 ----------- 1,751,221 ----------- MULTI-UTILITIES -- 0.6% MidAmerican Energy Holdings Co. 5.75%, 4/1/2018....................... 310,000 324,638 ----------- OIL, GAS & CONSUMABLE FUELS -- 6.9% Anadarko Petroleum Corp. 6.95%, 6/15/2019...................... 235,000 266,495 Canadian Natural Resources Ltd. 5.70%, 5/15/2017...................... 140,000 149,420 Conoco Funding Co. 6.35%, 10/15/2011..................... 345,000 375,418 ConocoPhillips 5.75%, 2/1/2019....................... 190,000 206,184 EnCana Corp. 6.50%, 5/15/2019...................... 190,000 211,677 Enterprise Products Operating LLC 6.30%, 9/15/2017...................... 235,000 251,342 Kinder Morgan Energy Partners LP 6.00%, 2/1/2017....................... 540,000 568,827 Nexen, Inc. 6.20%, 7/30/2019...................... 95,000 100,277 Petrobras International Finance Co. 8.38%, 12/10/2018..................... 490,000 580,013 Shell International Finance BV 4.00%, 3/21/2014...................... 255,000 265,948 XTO Energy, Inc. 5.75%, 12/15/2013..................... 660,000 735,333 ----------- 3,710,934 -----------
See accompanying notes to financial statements. 60 SPDR BARCLAYS CAPITAL INTERMEDIATE TERM CREDIT BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- PAPER & FOREST PRODUCTS -- 0.3% International Paper Co. 9.38%, 5/15/2019...................... $ 120,000 $ 148,289 ----------- PHARMACEUTICALS -- 2.6% Abbott Laboratories 5.60%, 11/30/2017..................... 485,000 527,169 GlaxoSmithKline Capital, Inc. 4.85%, 5/15/2013...................... 250,000 266,283 Novartis Capital Corp. 4.13%, 2/10/2014...................... 200,000 209,648 Pfizer, Inc. 6.20%, 3/15/2019...................... 370,000 409,833 ----------- 1,412,933 ----------- REAL ESTATE INVESTMENT TRUSTS -- 1.6% ERP Operating LP 5.75%, 6/15/2017...................... 490,000 487,312 Simon Property Group LP 6.75%, 5/15/2014...................... 370,000 394,506 ----------- 881,818 ----------- ROAD & RAIL -- 1.2% CSX Corp. 7.38%, 2/1/2019....................... 140,000 160,808 Union Pacific Corp. 5.13%, 2/15/2014...................... 450,000 477,097 ----------- 637,905 ----------- SOFTWARE -- 0.6% Oracle Corp. 3.75%, 7/8/2014....................... 320,000 330,193 ----------- TOBACCO -- 1.3% Altria Group, Inc. 9.70%, 11/10/2018..................... 495,000 610,062 Reynolds American, Inc. 7.63%, 6/1/2016....................... 95,000 103,685 ----------- 713,747 ----------- WIRELESS TELECOMMUNICATION SERVICES -- 6.1% AT&T, Inc. 5.50%, 2/1/2018....................... 998,000 1,034,699 Cellco Partnership / Verizon Wireless Capital LLC: 5.55%, 2/1/2014....................... 150,000 163,442 8.50%, 11/15/2018..................... 100,000 123,673 Deutsche Telekom International Finance BV 4.88%, 7/8/2014....................... 150,000 157,456 Embarq Corp. 7.08%, 6/1/2016....................... 150,000 167,625 France Telecom SA 4.38%, 7/8/2014....................... 140,000 146,623 New Cingular Wireless Services, Inc. 7.88%, 3/1/2011....................... 190,000 203,849 Verizon Communications, Inc. 5.25%, 4/15/2013...................... 815,000 881,525 Vodafone Group PLC 4.15%, 6/10/2014...................... 370,000 381,482 ----------- 3,260,374 ----------- TOTAL CORPORATE BONDS & NOTES -- (Cost $46,921,182).................... 48,465,525 ----------- FOREIGN GOVERNMENT OBLIGATIONS -- 7.2% Federal Republic of Brazil: 5.88%, 1/15/2019...................... 285,000 302,813 8.00%, 1/15/2018...................... 505,278 576,017 Province of Ontario 4.10%, 6/16/2014...................... 370,000 387,338 Province of Quebec 4.63%, 5/14/2018...................... 265,000 270,274 Republic of Italy 3.50%, 7/15/2011...................... 880,000 911,162 Republic of Peru 7.13%, 3/30/2019...................... 95,000 109,250 Republic of Poland 6.38%, 7/15/2019...................... 140,000 152,250 United Mexican States 5.88%, 1/15/2014...................... 1,045,000 1,139,050 ----------- TOTAL FOREIGN GOVERNMENT OBLIGATIONS -- (Cost $3,755,629)..................... 3,848,154 ----------- SHARES ------ SHORT TERM INVESTMENTS -- 4.1% MONEY MARKET FUNDS -- 4.1% State Street Institutional Liquid Reserves Fund (e)..................... 2,090,002 2,090,002 State Street Navigator Securities Lending Prime Portfolio (e)(f)........ 112,890 112,890 ----------- TOTAL SHORT TERM INVESTMENTS -- (G) (Cost $2,202,892)..................... 2,202,892 ----------- TOTAL INVESTMENTS -- 101.5% (H) (Cost $52,879,703).................... 54,516,571 OTHER ASSETS AND LIABILITIES -- (1.5)%................. (809,548) ----------- NET ASSETS -- 100.0%.................... $53,707,023 ===========
See accompanying notes to financial statements. 61 SPDR BARCLAYS CAPITAL INTERMEDIATE TERM CREDIT BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - -------------------------------------------------------------------------------- (a) Security purchased pursuant to Rule 144A of the Securities Act of 1933. These securities, which represent 1.8% of net assets as of December 31, 2009, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. (b) Security, or portion thereof, was on loan at December 31, 2009 (c) Variable Rate Security. Rate shown is rate in effect at December 31, 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) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (f) Investments of cash collateral for securities loaned. (g) Value is determined based on Level 1 inputs. (Note 2) (h) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs. (Note 2)
See accompanying notes to financial statements. 62 SPDR BARCLAYS CAPITAL LONG TERM CREDIT BOND ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- CORPORATE BONDS & NOTES -- 86.1% AEROSPACE & DEFENSE -- 3.2% Lockheed Martin Corp. 6.15%, 9/1/2036 (a)................... $290,000 $ 308,272 The Boeing Co. 6.63%, 2/15/2038...................... 145,000 161,754 United Technologies Corp. 6.13%, 7/15/2038...................... 290,000 314,290 ----------- 784,316 ----------- BEVERAGES -- 0.5% Anheuser-Busch InBev Worldwide, Inc. 5.38%, 1/15/2020 (a).................. 115,000 117,043 ----------- CAPITAL MARKETS -- 2.5% Morgan Stanley 6.25%, 8/9/2026....................... 145,000 147,431 The Goldman Sachs Group, Inc.: 6.13%, 2/15/2033...................... 175,000 179,085 6.75%, 10/1/2037...................... 282,000 288,861 ----------- 615,377 ----------- CHEMICALS -- 1.3% E.I. du Pont de Nemours & Co. 5.75%, 3/15/2019...................... 215,000 228,525 The Dow Chemical Co. 9.40%, 5/15/2039...................... 70,000 92,583 ----------- 321,108 ----------- COMMERCIAL BANKS -- 2.0% HSBC Holdings PLC 6.50%, 9/15/2037...................... 325,000 336,147 JPMorgan Chase & Co. 6.40%, 5/15/2038...................... 30,000 32,990 Wachovia Bank NA 6.60%, 1/15/2038...................... 70,000 74,305 Wachovia Corp. Series G 5.75%, 2/1/2018.............. 35,000 36,509 ----------- 479,951 ----------- COMMERCIAL SERVICES & SUPPLIES -- 0.3% Waste Management, Inc. 7.38%, 3/11/2019...................... 70,000 80,776 ----------- COMMUNICATIONS EQUIPMENT -- 0.5% Cisco Systems, Inc. 5.90%, 2/15/2039...................... 70,000 70,604 Motorola, Inc. 6.63%, 11/15/2037..................... 60,000 52,200 ----------- 122,804 ----------- COMPUTERS & PERIPHERALS -- 0.7% International Business Machines Corp. 5.60%, 11/30/2039..................... 162,000 162,286 ----------- DIVERSIFIED FINANCIAL SERVICES -- 8.5% Citigroup, Inc.: 6.88%, 3/5/2038....................... 200,000 198,437 8.50%, 5/22/2019...................... 100,000 115,854 General Electric Capital Corp.: 5.88%, 1/14/2038...................... 360,000 333,860 6.75%, 3/15/2032...................... 70,000 72,558 6.88%, 1/10/2039...................... 290,000 304,602 JP Morgan Chase Capital XXV 6.80%, 10/1/2037...................... 585,000 575,073 Merrill Lynch & Co., Inc.: 6.11%, 1/29/2037...................... 145,000 134,579 7.75%, 5/14/2038...................... 325,000 359,701 ----------- 2,094,664 ----------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.1% British Telecommunications PLC 9.63%, 12/15/2030 (b)................. 215,000 272,683 ----------- ELECTRIC UTILITIES -- 10.8% Alabama Power Co. 6.13%, 5/15/2038...................... 235,000 252,857 Appalachian Power Co. 7.95%, 1/15/2020...................... 290,000 348,172 Consolidated Edison Co. of New York 5.70%, 12/1/2036...................... 70,000 69,639 Duke Energy Indiana, Inc. 6.45%, 4/1/2039....................... 115,000 128,303 Exelon Generation Co. LLC 6.25%, 10/1/2039...................... 235,000 238,564 FirstEnergy Corp. 7.38%, 11/15/2031..................... 290,000 314,467 Florida Power Corp. 6.40%, 6/15/2038...................... 70,000 76,465 Hydro Quebec 8.50%, 12/1/2029...................... 235,000 312,233 Pacific Gas & Electric Co.: 6.05%, 3/1/2034....................... 290,000 303,693 6.25%, 3/1/2039....................... 145,000 156,535 PacifiCorp 6.00%, 1/15/2039...................... 70,000 73,604 Southern California Edison Co. 6.00%, 1/15/2034...................... 175,000 184,481 Virginia Electric and Power Co. 6.00%, 5/15/2037...................... 175,000 181,292 ----------- 2,640,305 ----------- FOOD & STAPLES RETAILING -- 4.1% CVS Caremark Corp. 6.13%, 9/15/2039...................... 235,000 231,419 Target Corp. 7.00%, 1/15/2038...................... 145,000 169,240 The Kroger Co. 7.50%, 4/1/2031....................... 145,000 168,834 Wal-Mart Stores, Inc.: 5.25%, 9/1/2035....................... 290,000 281,333 5.88%, 4/5/2027....................... 145,000 152,867 ----------- 1,003,693 ----------- FOOD PRODUCTS -- 3.0% Kellogg Co. Series B 7.45%, 4/1/2031 (a).......... 290,000 352,541 Kraft Foods, Inc. 6.88%, 1/26/2039...................... 215,000 226,406 Unilever Capital Corp. 5.90%, 11/15/2032..................... 140,000 148,029 ----------- 726,976 -----------
See accompanying notes to financial statements. 63 SPDR BARCLAYS CAPITAL LONG TERM CREDIT BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- HEALTH CARE PROVIDERS & SERVICES -- 1.5% Aetna, Inc. 6.63%, 6/15/2036...................... $100,000 $ 101,725 UnitedHealth Group, Inc. 6.88%, 2/15/2038...................... 145,000 151,246 WellPoint, Inc. 6.38%, 6/15/2037...................... 115,000 116,305 ----------- 369,276 ----------- HOTELS, RESTAURANTS & LEISURE -- 0.5% McDonald's Corp. 6.30%, 3/1/2038....................... 110,000 121,047 ----------- HOUSEHOLD PRODUCTS -- 0.7% The Procter & Gamble Co. 5.55%, 3/5/2037....................... 175,000 180,801 ----------- INSURANCE -- 3.8% AXA SA 8.60%, 12/15/2030 (c)................. 100,000 113,500 MetLife, Inc. 6.40%, 12/15/2066 (c)................. 255,000 219,300 Prudential Financial, Inc. 6.63%, 12/1/2037...................... 85,000 87,048 Swiss Re Solutions Holding Corp. 7.00%, 2/15/2026...................... 75,000 72,279 The Allstate Corp. 5.95%, 4/1/2036....................... 115,000 115,944 The Chubb Corp. 6.50%, 5/15/2038...................... 60,000 65,474 The Progressive Corp. 6.25%, 12/1/2032...................... 175,000 177,396 The Travelers Cos., Inc. 6.25%, 6/15/2037...................... 70,000 74,424 ----------- 925,365 ----------- MEDIA -- 6.2% Comcast Corp. 6.95%, 8/15/2037...................... 360,000 391,040 News America, Inc.: 5.65%, 8/15/2020 (a).................. 250,000 259,246 6.20%, 12/15/2034..................... 29,000 29,045 6.65%, 11/15/2037..................... 35,000 37,134 Time Warner Cable, Inc. 7.30%, 7/1/2038....................... 290,000 321,248 Time Warner, Inc. 7.63%, 4/15/2031...................... 145,000 166,634 Viacom, Inc. 6.88%, 4/30/2036 (a).................. 290,000 309,806 ----------- 1,514,153 ----------- METALS & MINING -- 2.9% Newmont Mining Corp. 6.25%, 10/1/2039...................... 145,000 144,251 Rio Tinto Alcan, Inc. 6.13%, 12/15/2033..................... 145,000 147,516 Vale Overseas, Ltd. 6.88%, 11/21/2036..................... 410,000 413,460 ----------- 705,227 ----------- MULTI-UTILITIES -- 1.5% MidAmerican Energy Holdings Co.: 6.13%, 4/1/2036 (a)................... 290,000 295,214 6.50%, 9/15/2037 (a).................. 70,000 74,816 ----------- 370,030 ----------- OIL, GAS & CONSUMABLE FUELS -- 12.9% Anadarko Finance Co. 7.50%, 5/1/2031....................... 350,000 392,774 Canadian Natural Resources, Ltd. 6.25%, 3/15/2038...................... 70,000 72,578 Conoco Funding Co. 7.25%, 10/15/2031..................... 145,000 169,062 Conoco, Inc. 6.95%, 4/15/2029...................... 145,000 162,607 ConocoPhillips 6.00%, 1/15/2020...................... 250,000 275,932 Devon Financing Corp. ULC 7.88%, 9/30/2031 (a).................. 145,000 181,110 Kinder Morgan Energy Partners LP 6.85%, 2/15/2020...................... 115,000 127,466 Nexen, Inc. 7.50%, 7/30/2039...................... 145,000 165,461 Pemex Project Funding Master Trust 6.63%, 6/15/2035...................... 215,000 204,035 Petro-Canada 6.80%, 5/15/2038...................... 235,000 256,118 Petrobras International Finance Co. 5.75%, 1/20/2020...................... 115,000 116,311 Petroleos Mexicanos 8.00%, 5/3/2019 (a)................... 145,000 167,505 Shell International Finance BV 6.38%, 12/15/2038..................... 165,000 184,562 Southern Natural Gas Co. 8.00%, 3/1/2032....................... 145,000 164,984 The Williams Cos., Inc. 7.63%, 7/15/2019...................... 215,000 241,053 TransCanada Pipelines, Ltd.: 6.20%, 10/15/2037..................... 60,000 62,882 7.63%, 1/15/2039...................... 145,000 179,142 Weatherford International, Ltd. 9.63%, 3/1/2019....................... 30,000 37,357 ----------- 3,160,939 ----------- PAPER & FOREST PRODUCTS -- 0.5% International Paper Co. 7.50%, 8/15/2021...................... 115,000 127,827 ----------- PHARMACEUTICALS -- 4.9% Bristol-Myers Squibb Co. 5.88%, 11/15/2036..................... 145,000 152,210 Eli Lilly & Co. 5.50%, 3/15/2027...................... 145,000 146,316 GlaxoSmithKline Capital, Inc. 6.38%, 5/15/2038...................... 70,000 77,795 Merck & Co, Inc. 6.50%, 12/1/2033...................... 350,000 394,344 Pfizer, Inc. 7.20%, 3/15/2039...................... 360,000 434,138 ----------- 1,204,803 -----------
See accompanying notes to financial statements. 64 SPDR BARCLAYS CAPITAL LONG TERM CREDIT BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- ROAD & RAIL -- 2.2% Canadian National Railway Co. 6.90%, 7/15/2028...................... $ 85,000 $ 96,712 CSX Corp. 7.45%, 4/1/2038....................... 215,000 250,997 Norfolk Southern Corp. 7.25%, 2/15/2031...................... 115,000 135,342 Union Pacific Corp. 6.13%, 2/15/2020...................... 60,000 64,851 ----------- 547,902 ----------- SOFTWARE -- 0.5% Oracle Corp. 6.13%, 7/8/2039....................... 115,000 121,304 ----------- TOBACCO -- 0.8% Altria Group, Inc. 9.95%, 11/10/2038..................... 145,000 189,072 ----------- WIRELESS TELECOMMUNICATION SERVICES -- 8.7% AT&T Corp. 8.00%, 11/15/2031..................... 680,000 831,282 AT&T, Inc.: 6.30%, 1/15/2038...................... 145,000 146,190 6.55%, 2/15/2039...................... 110,000 115,343 Deutsche Telekom International Finance BV 8.75%, 6/15/2030 (b).................. 290,000 371,552 Telefonica Europe BV 8.25%, 9/15/2030...................... 215,000 269,280 Verizon Communications, Inc. 7.75%, 12/1/2030...................... 215,000 256,378 Vodafone Group PLC 6.15%, 2/27/2037...................... 145,000 151,123 ----------- 2,141,148 ----------- TOTAL CORPORATE BONDS & NOTES -- (Cost $20,275,437).................... 21,100,876 ----------- FOREIGN GOVERNMENT OBLIGATIONS -- 9.2% Federal Republic of Brazil 5.63%, 1/7/2041....................... 115,000 107,813 7.13%, 1/20/2037...................... 145,000 166,003 8.75%, 2/4/2025....................... 235,000 303,150 8.88%, 10/14/2019..................... 30,000 38,588 10.13%, 5/15/2027..................... 260,000 381,550 Province of Quebec 7.50%, 9/15/2029...................... 235,000 297,325 Republic of Italy 5.38%, 6/15/2033...................... 465,000 456,355 Republic of Peru 7.35%, 7/21/2025...................... 145,000 166,025 United Mexican States: 6.75%, 9/27/2034...................... 145,000 153,688 8.30%, 8/15/2031...................... 145,000 179,365 ----------- TOTAL FOREIGN GOVERNMENT OBLIGATIONS -- (Cost $2,220,694)..................... 2,249,862 ----------- MUNICIPAL BONDS AND NOTES -- 3.0% CALIFORNIA -- 1.7% California, State General Obligation 7.55%, 4/1/2039....................... 250,000 242,268 Los Angeles, CA, General Obligation 5.75%, 7/1/2034....................... 200,000 184,716 ----------- 426,984 ----------- ILLINOIS -- 0.7% Illinois, State General Obligation 5.10%, 6/1/2033....................... 200,000 166,580 ----------- TEXAS -- 0.6% Texas, State General Obligation 5.52%, 4/1/2039....................... 150,000 146,442 ----------- TOTAL MUNICIPAL BONDS AND NOTES -- (Cost $778,105)....................... 740,006 ----------- SHARES ------ SHORT TERM INVESTMENTS -- 0.9% MONEY MARKET FUND -- 0.9% State Street Institutional Liquid Reserves Fund (d)(e) (Cost $227,845)....................... 227,845 227,845 ----------- TOTAL INVESTMENTS -- 99.2% (F) (Cost $23,502,081).................... 24,318,589 OTHER ASSETS AND LIABILITIES -- 0.8%................... 204,499 ----------- NET ASSETS -- 100.0%.................... $24,523,088 ===========
(a) Security purchased pursuant to Rule 144A of the Securities Act of 1933. These securities, which represent 8.4% of net assets as of December 31, 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 December 31, 2009. Maturity date disclosed is the ultimate maturity. (c) 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. (d) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (e) Value is determined based on Level 1 inputs. (Note 2) (f) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs. (Note 2)
See accompanying notes to financial statements. 65 SPDR BARCLAYS CAPITAL CONVERTIBLE BOND ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- CONVERTIBLE CORPORATE BONDS & NOTES -- 74.7% AEROSPACE & DEFENSE -- 0.6% L-3 Communications Holdings, Inc. 3.00%, 8/1/2035....................... $1,350,000 $ 1,407,119 ------------ AIRLINES -- 0.5% UAL Corp. 4.50%, 6/30/2021...................... 1,350,000 1,198,912 ------------ AUTOMOBILES -- 4.1% Ford Motor Co.: 4.25%, 11/15/2016..................... 5,500,000 6,934,125 4.25%, 12/15/2036..................... 1,000,000 1,263,710 Navistar International Corp. 3.00%, 10/15/2014..................... 1,300,000 1,383,330 ------------ 9,581,165 ------------ BEVERAGES -- 0.5% Molson Coors Brewing Co. 2.50%, 7/30/2013...................... 1,050,000 1,162,739 ------------ BIOTECHNOLOGY -- 7.5% Amgen, Inc.: 0.13%, 2/1/2011....................... 4,650,000 4,580,250 0.38%, 2/1/2013....................... 4,800,000 4,831,680 Amylin Pharmaceuticals, Inc. 3.00%, 6/15/2014...................... 1,300,000 1,012,755 Cephalon, Inc.: 2.00%, 6/1/2015....................... 1,400,000 1,983,254 2.50%, 5/1/2014....................... 1,000,000 1,118,090 Gilead Sciences, Inc.: 0.50%, 5/1/2011....................... 1,300,000 1,548,560 0.63%, 5/1/2013....................... 1,150,000 1,419,744 Millipore Corp. 3.75%, 6/1/2026....................... 900,000 927,612 ------------ 17,421,945 ------------ COMMERCIAL BANKS -- 1.1% National City Corp. 4.00%, 2/1/2011....................... 2,600,000 2,650,310 ------------ COMMUNICATIONS EQUIPMENT -- 1.5% Alcatel-Lucent USA, Inc.: Series A, 2.88%, 6/15/2023............ 1,200,000 1,190,434 Series B, 2.88%, 6/15/2025............ 1,900,000 1,621,196 Ciena Corp. 0.88%, 6/15/2017...................... 1,000,000 578,535 ------------ 3,390,165 ------------ COMPUTERS & PERIPHERALS -- 5.3% EMC Corp.: 1.75%, 12/1/2011...................... 3,100,000 3,774,095 1.75%, 12/1/2013...................... 3,100,000 3,888,764 NetApp, Inc. 1.75%, 6/1/2013 (a)................... 2,300,000 2,863,500 SanDisk Corp. 1.00%, 5/15/2013...................... 2,070,000 1,721,273 ------------ 12,247,632 ------------ DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.1% Qwest Communications International, Inc. 3.50%, 11/15/2025..................... 2,400,000 2,493,624 ------------ ELECTRICAL EQUIPMENT -- 0.3% Suntech Power Holdings Co., Ltd. 3.00%, 3/15/2013...................... 900,000 711,900 ------------ ENERGY EQUIPMENT & SERVICES -- 1.9% Cameron International Corp. 2.50%, 6/15/2026...................... 850,000 1,138,260 Nabors Industries, Inc. 0.94%, 5/15/2011...................... 3,400,000 3,319,366 ------------ 4,457,626 ------------ FOOD PRODUCTS -- 0.9% Archer-Daniels-Midland Co. 0.88%, 2/15/2014...................... 2,100,000 2,203,761 ------------ HEALTH CARE EQUIPMENT & SUPPLIES -- 6.0% Beckman Coulter, Inc. 2.50%, 12/15/2036..................... 1,200,000 1,376,820 Hologic, Inc. 2.00%, 12/15/2037 (b)................. 3,050,000 2,591,814 Kinetic Concepts, Inc. 3.25%, 4/15/2015 (a).................. 1,300,000 1,288,072 Medtronic, Inc.: 1.50%, 4/15/2011...................... 4,200,000 4,263,126 1.63%, 4/15/2013...................... 4,150,000 4,350,943 ------------ 13,870,775 ------------ HEALTH CARE PROVIDERS & SERVICES -- 1.0% LifePoint Hospitals, Inc. 3.50%, 5/15/2014...................... 1,050,000 992,195 Omnicare, Inc. 3.25%, 12/15/2035..................... 1,588,000 1,291,430 ------------ 2,283,625 ------------ HOTELS, RESTAURANTS & LEISURE -- 1.3% Carnival Corp. 2.00%, 4/15/2021...................... 1,150,000 1,199,565 International Game Technology 3.25%, 5/1/2014 (a)................... 1,400,000 1,710,058 ------------ 2,909,623 ------------ HOUSEHOLD DURABLES -- 0.5% D.R. Horton, Inc. 2.00%, 5/15/2014...................... 1,000,000 1,105,200 ------------ INDUSTRIAL CONGLOMERATES -- 0.7% Textron, Inc. 4.50%, 5/1/2013....................... 950,000 1,533,395 ------------ INTERNET SOFTWARE & SERVICES -- 0.9% VeriSign, Inc. 3.25%, 8/15/2037...................... 2,400,000 2,149,049 ------------ IT SERVICES -- 0.7% Alliance Data Systems Corp. 1.75%, 8/1/2013....................... 1,500,000 1,519,005 ------------ MACHINERY -- 0.6% Danaher Corp. Zero Coupon, 1/22/2021................ 1,350,000 1,489,212 ------------ MEDIA -- 3.3% Liberty Global, Inc. 4.50%, 11/15/2016 (a)................. 1,700,000 1,846,030
See accompanying notes to financial statements. 66 SPDR BARCLAYS CAPITAL CONVERTIBLE BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- Liberty Media LLC: 3.13%, 3/30/2023...................... $2,400,000 $ 2,423,592 3.25%, 3/15/2031...................... 950,000 564,272 Virgin Media, Inc. 6.50%, 11/15/2016 (a)................. 1,800,000 2,140,200 XM Satellite Radio, Inc. 7.00%, 12/1/2014 (a).................. 850,000 678,315 ------------ 7,652,409 ------------ METALS & MINING -- 6.6% Alcoa, Inc. 5.25%, 3/15/2014...................... 950,000 2,474,370 AngloGold Ashanti Holdings Finance PLC 3.50%, 5/22/2014 (a).................. 1,300,000 1,463,943 ArcelorMittal 5.00%, 5/15/2014...................... 1,400,000 2,369,010 Goldcorp, Inc. 2.00%, 8/1/2014 (a)................... 1,500,000 1,725,990 Newmont Mining Corp.: 1.25%, 7/15/2014...................... 1,000,000 1,250,950 1.63%, 7/15/2017...................... 950,000 1,181,752 3.00%, 2/15/2012...................... 1,050,000 1,321,341 Sterlite Industries India, Ltd. 4.00%, 10/30/2014..................... 800,000 845,984 United States Steel Corp. 4.00%, 5/15/2014...................... 1,450,000 2,735,135 ------------ 15,368,475 ------------ OIL, GAS & CONSUMABLE FUELS -- 7.9% Chesapeake Energy Corp.: 2.25%, 12/15/2038..................... 1,650,000 1,247,565 2.50%, 5/15/2037...................... 2,750,000 2,438,150 Massey Energy Co. 3.25%, 8/1/2015....................... 1,325,000 1,162,316 Peabody Energy Corp. 4.75%, 12/15/2041..................... 1,350,000 1,365,633 Transocean, Inc.: Series A 1.63%, 12/15/2037............ 3,700,000 3,662,630 Series B 1.50%, 12/15/2037............ 4,150,000 4,027,940 Series C 1.50%, 12/15/2037............ 4,050,000 3,909,522 USEC, Inc. 3.00%, 10/1/2014...................... 850,000 557,142 ------------ 18,370,898 ------------ PHARMACEUTICALS -- 3.3% Allergan, Inc. 1.50%, 4/1/2026....................... 1,250,000 1,444,088 Mylan, Inc.: 1.25%, 3/15/2012...................... 750,000 779,595 3.75%, 9/15/2015 (a).................. 1,450,000 2,238,437 Teva Pharmaceutical Finance BV Series B, 1.75%, 2/1/2026............. 1,300,000 1,599,234 Teva Pharmaceutical Finance LLC Series C, 0.25%, 2/1/2026............. 1,350,000 1,642,950 ------------ 7,704,304 ------------ REAL ESTATE INVESTMENT TRUSTS -- 5.2% Boston Properties LP: 2.88%, 2/15/2037...................... 1,600,000 1,565,442 3.63%, 2/15/2014 (a).................. 1,350,000 1,339,875 Developers Diversified Realty Corp. 3.00%, 3/15/2012...................... 1,000,000 921,314 ERP Operating LP 3.85%, 8/15/2026...................... 900,000 900,117 Host Hotels & Resorts LP 2.63%, 4/15/2027 (a).................. 750,000 695,904 ProLogis: 1.88%, 11/15/2037..................... 1,900,000 1,675,842 2.25%, 4/1/2037....................... 2,200,000 2,032,080 2.63%, 5/15/2038...................... 950,000 848,469 The Macerich Co. 3.25%, 3/15/2012 (a).................. 900,000 844,658 Vornado Realty LP 3.88%, 4/15/2025...................... 1,050,000 1,158,297 ------------ 11,981,998 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 7.7% Advanced Micro Devices, Inc. 6.00%, 5/1/2015 (a)................... 3,250,000 2,955,826 Intel Corp.: 2.95%, 12/15/2035..................... 2,850,000 2,764,301 3.25%, 8/1/2039 (a)................... 3,850,000 4,445,672 Linear Technology Corp. Series A, 3.00%, 5/1/2027............. 1,850,000 1,835,849 Microchip Technology, Inc. 2.13%, 12/15/2037..................... 2,200,000 2,245,100 Micron Technology, Inc. 1.88%, 6/1/2014....................... 2,300,000 2,244,556 Xilinx, Inc. 3.13%, 3/15/2037...................... 1,500,000 1,395,750 ------------ 17,887,054 ------------ SOFTWARE -- 1.8% Symantec Corp.: 0.75%, 6/15/2011...................... 1,950,000 2,130,726 1.00%, 6/15/2013...................... 1,800,000 2,035,134 ------------ 4,165,860 ------------ WIRELESS TELECOMMUNICATION SERVICES -- 1.9% NII Holdings, Inc. 3.13%, 6/15/2012...................... 2,300,000 2,105,551 SBA Communications Corp.: 1.88%, 5/1/2013 (a)................... 1,150,000 1,183,350 4.00%, 10/1/2014 (a).................. 800,000 1,057,600 ------------ 4,346,501 ------------ TOTAL CONVERTIBLE CORPORATE BONDS & NOTES -- (Cost $160,022,418)................... 173,264,281 ------------ SHARES ------ CONVERTIBLE PREFERRED STOCKS -- 20.9% (D) AUTOMOBILES -- 1.8% Ford Motor Co. Capital Trust II 6.50%, 1/15/2032...................... 107,000 4,267,160 ------------ COMMERCIAL BANKS -- 2.9% Wells Fargo & Co. Series L 7.50%, 12/31/2049............ 7,400 6,793,200 ------------
See accompanying notes to financial statements. 67 SPDR BARCLAYS CAPITAL CONVERTIBLE BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- CONSUMER FINANCE -- 0.5% SLM Corp. Series C 7.25%, 12/15/2010............ 1,850 $ 1,157,767 ------------ DIVERSIFIED FINANCIAL SERVICES -- 2.7% Bank of America Corp. Series L 7.25%, 12/31/2049............ 7,050 6,196,950 ------------ ELECTRIC UTILITIES -- 0.4% AES Trust III 6.75%, 10/15/2029..................... 19,000 878,750 ------------ FOOD PRODUCTS -- 2.1% Archer-Daniels-Midland Co. 6.25%, 6/1/2011....................... 65,500 2,856,455 Bunge, Ltd.: 4.88%, 12/31/2049..................... 12,500 1,140,625 5.13%, 12/1/2010...................... 1,350 877,500 ------------ 4,874,580 ------------ HEALTH CARE EQUIPMENT & SUPPLIES -- 0.4% Inverness Medical Innovations, Inc. Series B 3.00%, 12/31/2049............ 3,044 809,217 ------------ INSURANCE -- 3.3% American International Group, Inc. 8.50%, 8/1/2011....................... 110,000 1,246,300 Vale Capital II 6.75%, 6/15/2012...................... 24,500 2,027,375 Vale Capital, Ltd. 5.50%, 6/15/2010...................... 20,500 1,117,250 5.50%, 6/15/2010...................... 47,000 2,535,650 XL Capital, Ltd. 10.75%, 8/15/2011..................... 27,000 753,840 ------------ 7,680,415 ------------ MEDIA -- 0.3% The Interpublic Group of Cos., Inc. Series B 5.25%, 12/31/2049............ 800 596,871 ------------ METALS & MINING -- 2.7% Freeport-McMoRan Copper & Gold, Inc. 6.75%, 5/1/2010....................... 54,200 6,243,840 ------------ OIL, GAS & CONSUMABLE FUELS -- 0.2% CenterPoint Energy, Inc. 2.64%, 9/15/2029 (c).................. 20,500 557,600 ------------ PHARMACEUTICALS -- 2.0% Mylan, Inc. 6.50%, 11/15/2010..................... 4,050 4,634,658 ------------ REAL ESTATE INVESTMENT TRUST -- 0.7% Simon Property Group, Inc. Series I 6.00%, 12/31/2049............ 25,500 1,734,000 ------------ THRIFTS & MORTGAGE FINANCE -- 0.4% Federal National Mortgage Association 5.38%, 2/8/2010....................... 25 71,050 Sovereign Capital Trust IV 4.38%, 3/1/2034....................... 25,000 800,000 ------------ 871,050 ------------ WIRELESS TELECOMMUNICATION SERVICES -- 0.5% Lucent Technologies Capital Trust I 7.75%, 3/15/2017...................... 1,500 1,165,500 ------------ TOTAL CONVERTIBLE PREFERRED STOCKS -- (Cost $42,288,807).................... 48,461,558 ------------ COMMON STOCKS -- 1.9% CAPITAL MARKETS -- 1.9% E*TRADE Financial Corp. (d)(e) (Cost $4,389,220)..................... 2,545,000 4,453,750 ------------ SHORT TERM INVESTMENTS -- 2.9% MONEY MARKET FUND -- 2.9% State Street Institutional Liquid Reserves Fund (d)(f) (Cost $6,789,657)..................... 6,789,657 6,789,657 ------------ TOTAL INVESTMENTS -- 100.4% (G) (Cost $213,490,102)................... 232,969,246 OTHER ASSETS AND LIABILITIES -- (0.4)%................. (1,018,635) ------------ NET ASSETS -- 100.0%.................... $231,950,611 ============
(a) Security purchased pursuant to Rule 144A of the Securities Act of 1933. These securities, which represent 12.3% of net assets as of December 31, 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 December 31, 2009. (c) Variable-rate security. Rate shown is rate in effect at December 31, 2009. (d) Value determined based on Level 1 inputs. (Note 2) (e) Non-income producing security. (f) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (g) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs. (Note 2)
See accompanying notes to financial statements. 68 SPDR BARCLAYS CAPITAL MORTGAGE BACKED BOND ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- U.S. GOVERNMENT AGENCY MBS TBA -- 99.8% Fannie Mae 4.00%, 30yr TBA...................... $ 300,000 $ 289,922 4.50%, 30yr TBA...................... 975,000 973,324 5.00%, 15yr TBA...................... 600,000 627,750 5.50%, 30yr TBA...................... 2,350,000 2,460,523 6.50%, 30yr TBA...................... 400,000 428,312 Freddie Mac 4.00%, 15yr TBA...................... 300,000 302,063 4.50%, 15yr TBA...................... 350,000 359,844 4.50%, 30yr TBA...................... 350,000 349,180 5.00%, 30yr TBA...................... 1,650,000 1,692,023 5.50%, 15yr TBA...................... 150,000 158,625 6.00%, 30yr TBA...................... 1,000,000 1,059,844 Ginnie Mae 4.50%, 30yr TBA...................... 400,000 400,375 5.00%, 30yr TBA...................... 550,000 565,812 5.50%, 30yr TBA...................... 500,000 523,906 6.00%, 30yr TBA...................... 200,000 211,344 6.50%, 30yr TBA...................... 100,000 106,266 ------------ TOTAL U.S. GOVERNMENT AGENCY MBS TBA -- (Cost $10,622,454).................... 10,509,113 ------------ SHARES ------ SHORT TERM INVESTMENTS -- 102.6% MONEY MARKET FUND -- 102.6% State Street Institutional Liquid Reserves Fund (a)(b)(c) (Cost $10,807,844).................... 10,807,844 10,807,844 ------------ TOTAL INVESTMENTS -- 202.4% (D) (Cost $21,430,298).................... 21,316,957 OTHER ASSETS AND LIABILITIES -- (102.4)%............... (10,784,208) ------------ NET ASSETS -- 100.0%.................... $ 10,532,749 ============
(a) Security, or a portion of the security has been designated as collateral for TBA securities. (b) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (c) Value is determined based on Level 1 inputs. (Note 2) (d) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs. (Note 2)
TBA = To Be Announced See accompanying notes to financial statements. 69 SPDR BARCLAYS CAPITAL AGGREGATE BOND ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- CORPORATE BONDS & NOTES -- 26.5% AEROSPACE & DEFENSE -- 0.7% General Dynamics Corp. 5.25%, 2/1/2014....................... $ 220,000 $ 236,770 Honeywell International, Inc. 6.13%, 11/1/2011...................... 880,000 958,443 The Boeing Co. 6.13%, 2/15/2033 (a).................. 165,000 172,038 ------------- 1,367,251 ------------- AIR FREIGHT & LOGISTICS -- 0.1% United Parcel Service, Inc. 6.20%, 1/15/2038...................... 250,000 277,264 ------------- BANKS -- 0.7% Asian Development Bank 2.75%, 5/21/2014...................... 205,000 205,189 Export-Import Bank of Korea 5.88%, 1/14/2015...................... 205,000 218,376 Federal Farm Credit Bank 1.88%, 12/7/2012...................... 1,025,000 1,024,151 ------------- 1,447,716 ------------- BEVERAGES -- 0.3% Anheuser-Busch InBev Worldwide, Inc. 5.38%, 1/15/2020 (b).................. 385,000 391,840 Diageo Capital PLC 5.75%, 10/23/2017 (a)................. 250,000 267,957 ------------- 659,797 ------------- CAPITAL MARKETS -- 0.9% Svensk Exportkredit AB 5.13%, 3/1/2017....................... 405,000 428,371 The Goldman Sachs Group, Inc.: 3.25%, 6/15/2012 (a).................. 205,000 213,114 5.35%, 1/15/2016...................... 755,000 776,850 5.95%, 1/15/2027...................... 595,000 568,191 ------------- 1,986,526 ------------- CHEMICALS -- 0.4% E.I. du Pont de Nemours & Co. 5.25%, 12/15/2016 (a)................. 405,000 426,866 The Dow Chemical Co. 8.55%, 5/15/2019...................... 330,000 391,135 ------------- 818,001 ------------- COMMERCIAL BANKS -- 4.3% Citibank NA 1.38%, 8/10/2011...................... 1,060,000 1,064,035 Deutsche Bank AG 6.00%, 9/1/2017 (a)................... 250,000 270,000 European Investment Bank: 2.00%, 2/10/2012 (a).................. 1,090,000 1,102,409 2.38%, 3/14/2014 (a).................. 545,000 539,100 HSBC Bank USA NA 4.63%, 4/1/2014 (a)................... 370,000 384,935 Inter-American Development Bank 5.13%, 9/13/2016...................... 405,000 440,734 International Bank for Reconstruction & Development 4.75%, 2/15/2035...................... 80,000 76,404 JPMorgan Chase & Co.: 2.20%, 6/15/2012...................... 310,000 314,616 6.40%, 5/15/2038...................... 205,000 225,435 JPMorgan Chase Bank NA 6.00%, 10/1/2017...................... 555,000 590,542 Key Bank NA 5.80%, 7/1/2014....................... 455,000 448,978 Kreditanstalt fuer Wiederaufbau: 3.25%, 10/14/2011 (a)................. 545,000 564,400 4.00%, 10/15/2013..................... 720,000 760,117 4.50%, 7/16/2018...................... 215,000 222,967 Oesterreichische Kontrollbank AG 4.75%, 10/16/2012..................... 405,000 434,272 The Bank of New York Mellon Corp. 4.95%, 11/1/2012 (a).................. 230,000 247,679 US Bank NA 6.38%, 8/1/2011....................... 250,000 267,592 Wachovia Bank NA 5.85%, 2/1/2037....................... 275,000 264,610 Wells Fargo & Co.: 4.88%, 1/12/2011...................... 200,000 206,471 5.63%, 12/11/2017 (a)................. 150,000 156,160 Wells Fargo Bank NA 4.75%, 2/9/2015 (a)................... 245,000 250,096 ------------- 8,831,552 ------------- COMMUNICATIONS EQUIPMENT -- 0.1% Cisco Systems, Inc. 5.50%, 2/22/2016...................... 240,000 261,574 ------------- COMPUTERS & PERIPHERALS -- 0.2% International Business Machines Corp.: 5.70%, 9/14/2017...................... 210,000 228,201 5.88%, 11/29/2032 (a)................. 165,000 171,734 ------------- 399,935 ------------- DIVERSIFIED CONSUMER SERVICES -- 0.1% Stanford University 4.75%, 5/1/2019....................... 110,000 111,301 ------------- DIVERSIFIED FINANCIAL SERVICES -- 6.9% American Express Credit Corp. 5.88%, 5/2/2013....................... 265,000 284,286 Bank of America Corp.: Series L 2.10%, 4/30/2012 (a)......... 205,000 207,217 Series L 3.13%, 6/15/2012 (a)......... 410,000 424,913 Bank of America NA 5.30%, 3/15/2017...................... 785,000 776,064 BP Capital Markets PLC 3.13%, 3/10/2012...................... 210,000 216,323 Capital One Capital VI 8.88%, 5/15/2040...................... 155,000 162,750 Caterpillar Financial Services Corp. 7.15%, 2/15/2019 (a).................. 220,000 255,308 Citigroup Funding, Inc. 0.20%, 5/5/2011 (c)................... 5,300,000 5,296,740 Citigroup, Inc. 5.63%, 8/27/2012...................... 1,175,000 1,213,946 Credit Suisse USA, Inc. 6.50%, 1/15/2012...................... 585,000 633,189
See accompanying notes to financial statements. 70 SPDR BARCLAYS CAPITAL AGGREGATE BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- General Electric Capital Corp.: 2.63%, 12/28/2012..................... $ 530,000 $ 539,659 5.25%, 10/19/2012..................... 405,000 432,219 5.63%, 5/1/2018....................... 885,000 901,598 6.75%, 3/15/2032...................... 240,000 248,769 HSBC Finance Corp. 5.25%, 1/14/2011...................... 340,000 350,584 Merrill Lynch & Co., Inc. 6.88%, 4/25/2018...................... 580,000 626,891 Morgan Stanley: 2.00%, 9/22/2011 (a).................. 205,000 207,911 6.00%, 5/13/2014...................... 560,000 602,320 6.63%, 4/1/2018....................... 390,000 418,957 National Rural Utilities Cooperative Finance Corp. 8.00%, 3/1/2032....................... 360,000 425,881 ------------- 14,225,525 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.4% Deutsche Telekom International Finance BV 6.75%, 8/20/2018...................... 210,000 232,985 Qwest Corp. 8.38%, 5/1/2016 (b)(d)................ 15,000 15,937 Telefonica Emisiones SAU 4.95%, 1/15/2015...................... 210,000 222,537 Verizon Communications, Inc. 6.40%, 2/15/2038...................... 430,000 453,954 ------------- 925,413 ------------- ELECTRIC UTILITIES -- 1.3% Duke Energy Carolinas LLC 7.00%, 11/15/2018 (a)................. 620,000 720,388 Pacific Gas & Electric Co. 4.80%, 3/1/2014....................... 880,000 927,761 Progress Energy, Inc. 7.75%, 3/1/2031....................... 405,000 476,395 San Diego Gas & Electric Co. 6.13%, 9/15/2037...................... 115,000 123,649 Virginia Electric and Power Co. 5.10%, 11/30/2012 (a)................. 360,000 387,782 ------------- 2,635,975 ------------- FOOD & STAPLES RETAILING -- 0.6% CVS Caremark Corp. 6.25%, 6/1/2027....................... 250,000 254,311 Safeway, Inc. 5.63%, 8/15/2014 (a).................. 215,000 232,511 Target Corp. 7.00%, 1/15/2038...................... 320,000 373,494 Wal-Mart Stores, Inc. 5.88%, 4/5/2027 (a)................... 330,000 347,903 ------------- 1,208,219 ------------- FOOD PRODUCTS -- 0.5% Archer-Daniels-Midland Co. 5.38%, 9/15/2035...................... 240,000 233,067 General Mills, Inc. 5.70%, 2/15/2017...................... 305,000 324,363 Kraft Foods, Inc. 5.63%, 11/1/2011 (a).................. 405,000 429,448 ------------- 986,878 ------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 0.1% Baxter International, Inc. 6.25%, 12/1/2037...................... 155,000 169,425 ------------- HEALTH CARE PROVIDERS & SERVICES -- 0.5% Express Scripts, Inc. 6.25%, 6/15/2014...................... 205,000 223,727 UnitedHealth Group, Inc. 5.25%, 3/15/2011 (a).................. 880,000 910,726 ------------- 1,134,453 ------------- HOTELS, RESTAURANTS & LEISURE -- 0.2% McDonald's Corp. 5.35%, 3/1/2018....................... 360,000 385,985 ------------- HOUSEHOLD PRODUCTS -- 0.2% Kimberly-Clark Corp. 5.00%, 8/15/2013...................... 215,000 230,863 The Procter & Gamble Co. 5.55%, 3/5/2037 (a)................... 240,000 247,956 ------------- 478,819 ------------- INDUSTRIAL CONGLOMERATES -- 0.2% General Electric Co. 5.25%, 12/6/2017...................... 360,000 367,190 ------------- INSURANCE -- 1.0% American International Group, Inc. 5.45%, 5/18/2017...................... 790,000 643,850 Berkshire Hathaway Finance Corp. 5.00%, 8/15/2013...................... 215,000 229,335 MetLife, Inc. 5.70%, 6/15/2035...................... 405,000 400,301 The Allstate Corp. 5.95%, 4/1/2036....................... 165,000 166,353 The Travelers Cos., Inc. 6.25%, 3/15/2037 (a)(d)(e)............ 405,000 368,550 XL Capital, Ltd. 6.50%, 12/31/2049 (a)(e).............. 405,000 299,700 ------------- 2,108,089 ------------- MACHINERY -- 0.1% Caterpillar, Inc. 6.05%, 8/15/2036...................... 165,000 175,498 ------------- MEDIA -- 0.9% CBS Corp. 8.20%, 5/15/2014 (a).................. 210,000 241,500 Comcast Corp.: 6.40%, 5/15/2038...................... 210,000 214,496 6.50%, 1/15/2017...................... 330,000 362,300 News America, Inc. 6.15%, 3/1/2037....................... 240,000 238,801 The Walt Disney Co. 5.70%, 7/15/2011 (a).................. 215,000 229,046 Time Warner Cable, Inc. 5.85%, 5/1/2017....................... 330,000 347,185
See accompanying notes to financial statements. 71 SPDR BARCLAYS CAPITAL AGGREGATE BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- Time Warner, Inc. 7.70%, 5/1/2032....................... $ 240,000 $ 278,760 ------------- 1,912,088 ------------- METALS & MINING -- 0.5% Alcoa, Inc. 5.38%, 1/15/2013...................... 215,000 223,600 Rio Tinto Finance USA, Ltd. 5.88%, 7/15/2013...................... 430,000 464,584 Vale Overseas, Ltd. 6.88%, 11/21/2036..................... 330,000 332,785 ------------- 1,020,969 ------------- MULTI-UTILITIES -- 0.2% MidAmerican Energy Holdings Co. 6.13%, 4/1/2036....................... 405,000 412,283 ------------- OFFICE ELECTRONICS -- 0.2% Xerox Corp. 5.65%, 5/15/2013...................... 430,000 454,362 ------------- OIL, GAS & CONSUMABLE FUELS -- 1.9% Anadarko Petroleum Corp. 5.95%, 9/15/2016...................... 330,000 356,576 Canadian Natural Resources, Ltd. 6.25%, 3/15/2038...................... 405,000 419,916 ConocoPhillips Canada Funding Co. 5.63%, 10/15/2016..................... 880,000 948,391 Kinder Morgan Energy Partners LP 5.80%, 3/15/2035...................... 175,000 161,161 Pemex Project Funding Master Trust 6.63%, 6/15/2035 (a).................. 115,000 109,135 Petrobras International Finance Co.: 5.75%, 1/20/2020...................... 105,000 106,197 6.88%, 1/20/2040...................... 105,000 106,885 Shell International Finance BV 6.38%, 12/15/2038..................... 220,000 246,082 Southern Natural Gas Co. 5.90%, 4/1/2017 (b)................... 880,000 901,151 Transocean, Inc. 6.00%, 3/15/2018...................... 155,000 164,865 Weatherford International, Inc. 6.80%, 6/15/2037 (a).................. 239,000 236,428 XTO Energy, Inc. 5.90%, 8/1/2012....................... 165,000 181,147 ------------- 3,937,934 ------------- PHARMACEUTICALS -- 0.8% Abbott Laboratories 5.60%, 5/15/2011...................... 305,000 323,664 AstraZeneca PLC 6.45%, 9/15/2037...................... 75,000 83,941 Eli Lilly & Co. 5.20%, 3/15/2017 (a).................. 225,000 238,966 GlaxoSmithKline Capital, Inc. 6.38%, 5/15/2038...................... 155,000 172,260 Pfizer, Inc. 6.20%, 3/15/2019 (a).................. 235,000 260,299 Schering-Plough Corp. 6.00%, 9/15/2017...................... 305,000 342,037 Wyeth 5.95%, 4/1/2037....................... 240,000 248,652 ------------- 1,669,819 ------------- REAL ESTATE INVESTMENT TRUST -- 0.1% Simon Property Group LP 5.60%, 9/1/2011....................... 265,000 277,322 ------------- ROAD & RAIL -- 0.3% CSX Corp. 6.15%, 5/1/2037....................... 165,000 166,350 Norfolk Southern Corp. 7.70%, 5/15/2017...................... 330,000 392,370 ------------- 558,720 ------------- SOFTWARE -- 0.2% Oracle Corp. 5.00%, 1/15/2011 (a).................. 405,000 421,726 ------------- SPECIALTY RETAIL -- 0.2% The Home Depot, Inc. 5.40%, 3/1/2016....................... 405,000 426,820 ------------- TOBACCO -- 0.2% Philip Morris International, Inc. 4.88%, 5/16/2013...................... 430,000 454,391 ------------- WIRELESS TELECOMMUNICATION SERVICES -- 1.2% AT&T Corp. 8.00%, 11/15/2031..................... 455,000 556,225 Embarq Corp. 7.08%, 6/1/2016 (a)................... 165,000 184,387 New Cingular Wireless Services, Inc. 8.13%, 5/1/2012....................... 405,000 458,390 Telecom Italia Capital 5.25%, 10/1/2015...................... 550,000 572,320 Verizon Global Funding Corp. 6.88%, 6/15/2012...................... 405,000 450,646 Vodafone Group PLC 5.63%, 2/27/2017 (a).................. 240,000 257,227 ------------- 2,479,195 ------------- TOTAL CORPORATE BONDS & NOTES -- (Cost $52,848,018).................... 54,988,015 ------------- FOREIGN GOVERNMENT OBLIGATIONS -- 1.6% Federal Republic of Brazil 8.25%, 1/20/2034...................... 360,000 458,100 Province of Ontario 4.95%, 6/1/2012....................... 455,000 488,561 Province of Quebec 7.50%, 9/15/2029...................... 455,000 575,672 Republic of Italy 5.63%, 6/15/2012...................... 790,000 860,011 United Mexican States 5.63%, 1/15/2017...................... 880,000 923,138 ------------- TOTAL FOREIGN GOVERNMENT OBLIGATIONS -- (Cost $3,232,822)..................... 3,305,482 ------------- U.S. GOVERNMENT AGENCY MBS TBA -- 45.3% Fannie Mae 4.00%, 30yr TBA...................... 2,700,000 2,609,297
See accompanying notes to financial statements. 72 SPDR BARCLAYS CAPITAL AGGREGATE BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- 4.50%, 30yr TBA...................... $ 2,400,000 $ 2,395,875 5.00%, 15yr TBA...................... 2,900,000 3,034,125 5.50%, 30yr TBA...................... 16,000,000 16,752,500 5.50%, 30yr TBA...................... 16,000,000 16,985,000 6.00%, 15yr TBA...................... 700,000 749,000 6.00%, 30yr TBA...................... 1,500,000 1,588,594 6.50%, 30yr TBA...................... 4,000,000 4,283,125 Freddie Mac 4.00%, 15yr TBA...................... 2,000,000 2,013,750 4.50%, 15yr TBA...................... 3,250,000 3,341,406 4.50%, 30yr TBA...................... 5,200,000 5,187,812 5.00%, 30yr TBA...................... 11,500,000 11,792,891 5.50%, 15yr TBA...................... 2,000,000 2,115,000 6.00%, 30yr TBA...................... 8,300,000 8,796,703 Ginnie Mae 4.00%, 30yr TBA...................... 250,000 241,602 4.50%, 30yr TBA...................... 2,450,000 2,452,297 5.00%, 30yr TBA...................... 2,600,000 2,674,750 5.50%, 30yr TBA...................... 3,200,000 3,353,000 6.00%, 30yr TBA...................... 2,200,000 2,324,781 6.50%, 30yr TBA...................... 1,000,000 1,062,656 ------------- TOTAL U.S. GOVERNMENT AGENCY MBS TBA -- (Cost $94,501,791).................... 93,754,164 ------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 6.9% Fannie Mae 1.75%, 3/23/2011...................... 2,160,000 2,186,806 2.00%, 9/28/2012 (a).................. 545,000 542,524 2.50%, 5/15/2014 (a).................. 1,685,000 1,678,342 5.00%, 5/11/2017 (a).................. 1,210,000 1,312,385 7.13%, 1/15/2030 (a).................. 825,000 1,045,164 Federal Home Loan Bank 1.63%, 4/26/2011 (a).................. 1,025,000 1,036,191 5.13%, 8/14/2013 (a).................. 1,760,000 1,936,464 5.38%, 8/19/2011...................... 2,590,000 2,771,587 Freddie Mac 2.13%, 3/23/2012 (a).................. 1,090,000 1,107,508 5.00%, 4/18/2017 (a).................. 723,000 784,636 ------------- TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS -- (Cost $14,131,761).................... 14,401,607 ------------- U.S. TREASURY OBLIGATIONS -- 25.1% Treasury Bonds 3.50%, 2/15/2039 (a).................. 360,000 294,908 4.38%, 2/15/2038 (a)(f)............... 2,800,000 2,690,800 5.38%, 2/15/2031 (a).................. 875,000 967,172 6.75%, 8/15/2026 (a).................. 1,680,000 2,119,622 7.50%, 11/15/2016 (a)................. 515,000 649,271 7.88%, 2/15/2021 (a).................. 240,000 322,973 8.75%, 8/15/2020 (a).................. 1,130,000 1,598,814 8.88%, 8/15/2017 (a).................. 713,000 972,225 Treasury Notes 1.00%, 8/31/2011 (a).................. 1,000,000 1,000,560 1.13%, 12/15/2011 (a)................. 2,565,000 2,566,205 1.38%, 5/15/2012 (a)(f)............... 5,475,000 5,475,274 1.88%, 4/30/2014 (a).................. 2,055,000 2,013,160 2.38%, 10/31/2014 (a)................. 2,055,000 2,032,827 2.75%, 10/31/2013 (a)................. 2,565,000 2,627,124 2.75%, 11/30/2016 (a)................. 3,080,000 2,966,441 3.13%, 8/31/2013 (a)(f)............... 3,445,000 3,580,492 3.13%, 10/31/2016 (a)................. 2,155,000 2,127,869 3.13%, 5/15/2019 (a)(f)............... 3,850,000 3,646,181 4.13%, 5/15/2015 (a)(f)............... 3,440,000 3,668,588 4.25%, 8/15/2013 (a).................. 1,500,000 1,618,440 4.50%, 9/30/2011 (a).................. 2,250,000 2,385,945 4.75%, 8/15/2017 (a).................. 2,425,000 2,631,173 4.88%, 4/30/2011 (a)(f)............... 3,570,000 3,760,603 5.13%, 5/15/2016 (a).................. 310,000 345,898 ------------- TOTAL U.S. TREASURY OBLIGATIONS -- (Cost $53,345,151).................... 52,062,565 ------------- COMMERCIAL MORTGAGE BACKED SECURITIES -- 3.3% Banc of America Commercial Mortgage, Inc. 5.66%, 6/10/2049 (b)(e)............... 250,000 206,505 Bear Stearns Commercial Mortgage Securities 4.75%, 2/13/2046 (e).................. 550,000 538,178 Countrywide Commercial Mortgage Trust 5.38%, 8/12/2048...................... 400,000 309,265 GE Capital Commercial Mortgage Corp. 5.54%, 12/10/2049 (e)................. 400,000 319,001 Greenwich Capital Commercial Funding Corp. 4.80%, 8/10/2042 (e).................. 500,000 473,093 GS Mortgage Securities Corp. II 5.40%, 8/10/2038 (e).................. 475,000 467,125 5.55%, 4/10/2038 (e).................. 500,000 449,637 JPMorgan Chase Commercial Mortgage Securities Corp. 4.87%, 3/15/2046 (e).................. 250,000 240,037 4.88%, 1/12/2038 (e).................. 500,000 508,732 5.44%, 6/12/2047 (e).................. 510,000 442,736 5.81%, 6/12/2043 (e).................. 500,000 477,444 LB-UBS Commercial Mortgage Trust 4.37%, 3/15/2036 (e).................. 450,000 433,029 4.51%, 12/15/2029 (e)................. 500,000 480,856 5.07%, 6/15/2029 (e).................. 250,000 251,499 Morgan Stanley Capital I 5.51%, 11/12/2049 (e)................. 475,000 446,998 5.61%, 4/15/2049...................... 205,000 206,912 Wachovia Bank Commercial Mortgage Trust 4.96%, 11/15/2035 (e)................. 500,000 508,937 ------------- TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES -- (Cost $6,069,147)..................... 6,759,984 -------------
See accompanying notes to financial statements. 73 SPDR BARCLAYS CAPITAL AGGREGATE BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- ASSET BACKED -- 0.5% CREDIT CARD RECEIVABLES -- 0.5% Capital One Multi-Asset Execution Trust 5.05%, 2/15/2016...................... $ 245,000 $ 260,766 Citibank Credit Card Issuance Trust: 4.90%, 6/23/2016...................... 200,000 211,128 5.35%, 2/7/2020....................... 295,000 312,473 5.65%, 9/20/2019...................... 200,000 216,141 USAA Auto Owner Trust 2.53%, 7/15/2015...................... 40,000 39,771 ------------- TOTAL ASSET BACKED -- (Cost $988,533)....................... 1,040,279 ------------- MUNICIPAL BONDS AND NOTES -- 0.3% CALIFORNIA -- 0.1% California, State General Obligation: 5.95%, 4/1/2016....................... 35,000 35,470 7.30%, 10/1/2039...................... 200,000 188,372 ------------- 223,842 ------------- GEORGIA -- 0.1% Georgia, State General Obligation 4.50%, 11/1/2025...................... 200,000 195,644 ------------- ILLINOIS -- 0.1% Illinois, State General Obligation 5.10%, 6/1/2033....................... 200,000 166,580 ------------- TOTAL MUNICIPAL BONDS AND NOTES -- (Cost $613,596)....................... 586,066 ------------- SHARES ------ SHORT TERM INVESTMENTS -- 52.7% MONEY MARKET FUNDS -- 52.7% State Street Institutional Liquid Reserves Fund (f)(g).................. 73,515,584 73,515,584 State Street Navigator Securities Lending Prime Portfolio (g)(h)........ 35,669,261 35,669,261 ------------- TOTAL SHORT TERM INVESTMENTS -- (I) (Cost $109,184,845)................... 109,184,845 ------------- TOTAL INVESTMENTS -- 162.2% (J) (Cost $334,915,664)................... 336,083,007 OTHER ASSETS AND LIABILITIES -- (62.2)%................ (128,929,457) ------------- NET ASSETS -- 100.0%.................... $ 207,153,550 =============
(a) Security, or portion thereof, was on loan as of December 31, 2009. (b) Securities purchased pursuant to Rule 144A of the Securities Act of 1933. These securities, which represent 0.7% of net assets as of December 31, 2009, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. (c) Floating Rate Note -- Interest rate shown is rate in effect at December 31, 2003. Date disclosed is the next interest rate reset date. (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) Variable Rate Security. Rate shown is rate in effect at December 31, 2009. (f) Security or a portion thereof, has been designated as collateral for TBA securities. (g) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (h) Investments of cash collateral for securities loaned. (i) Value determined based on Level 1 inputs. (Note 2) (j) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs. (Note 2)
TBA = To Be Announced See accompanying notes to financial statements. 74 SPDR BARCLAYS CAPITAL MUNICIPAL BOND ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- MUNICIPAL BONDS AND NOTES -- 98.8% ALABAMA -- 0.6% Alabama, Auburn University, General Fee Revenue 5.00%, 6/1/2038 (a)................... $ 2,200,000 $ 2,255,968 Alabama, Public School & College Authority 5.00%, 12/1/2023...................... 1,500,000 1,594,455 Birmingham, AL, Capital Investment Series A 4.50%, 12/1/2027 (a)......... 1,000,000 980,680 ------------ 4,831,103 ------------ ALASKA -- 0.3% Alaska, State General Obligation Series A 5.00%, 8/1/2024.............. 2,580,000 2,894,579 ------------ ARIZONA -- 2.9% Arizona, Salt River Project, Agricultural Improvement & Power District: Series A 5.00%, 1/1/2016.............. 500,000 571,186 Series A 5.00%, 1/1/2027.............. 2,500,000 2,697,825 Arizona, State Transportation Board, Excise Tax Revenue 5.00%, 7/1/2021....................... 1,500,000 1,652,235 Arizona, State Transportation Board, Highway Revenue Series A 5.00%, 7/1/2028.............. 7,145,000 7,660,155 Chandler, AZ, General Obligation 4.25%, 7/1/2026....................... 5,000,000 5,107,250 Maricopa County, AZ, Community College District, General Obligation Series C 3.00%, 7/1/2022.............. 2,000,000 1,870,560 Phoenix, AZ, Civic Improvement Corp., Wastewater System Revenue, Senior Lien 5.50%, 7/1/2019....................... 1,000,000 1,137,090 Phoenix, AZ, General Obligation Series A 5.00%, 7/1/2017.............. 1,000,000 1,146,920 Pima County, AZ, Industrial Development Authority, Lease Revenue 5.00%, 9/1/2039....................... 2,000,000 1,945,620 ------------ 23,788,841 ------------ CALIFORNIA -- 11.2% Anaheim, CA, Public Financing Authority, Revenue 4.50%, 10/1/2037 (a).................. 4,000,000 3,537,000 Azusa, CA, Public Financing Authority, Revenue 5.00%, 7/1/2039 (a)................... 1,200,000 1,210,548 California, Golden Empire Schools Financing Authority, Lease Revenue 4.00%, 5/1/2010....................... 4,000,000 4,027,520 California, State Department of Water Resources Revenue Series AG 5.00%, 12/1/2025............ 5,760,000 6,325,805 California, State Public Works Board, Lease Revenue Series D 5.00%, 5/1/2025.............. 1,000,000 1,028,600 California, State University Revenue: Series A 4.50%, 11/1/2044 (a)......... 6,090,000 5,159,083 Series A 5.00%, 11/1/2037 (a)......... 1,000,000 988,080 Foothill-De Anza, CA, Community College District, General Obligation Series B 5.00%, 8/1/2027 (a).......... 4,475,000 4,628,671 Los Angeles County, CA, Metropolitan Transportation Authority, Sales Tax Revenue Series A 5.00%, 7/1/2027 (a).......... 3,780,000 3,962,612 Los Angeles, CA, Unified School District: Series B 4.75%, 7/1/2019 (a).......... 3,485,000 3,673,713 Series A-1 5.00%, 7/1/2016 (a)........ 3,000,000 3,247,470 Series A 5.00%, 7/1/2018 (a).......... 900,000 972,846 Series H 5.00%, 7/1/2021 (a).......... 2,695,000 2,905,803 Los Angeles, CA, Wastewater System Revenue Series A 5.00%, 6/1/2029.............. 1,000,000 1,073,640 Metropolitan Water District of Southern California, Waterworks Revenue Series A 5.00%, 1/1/2029.............. 4,900,000 5,228,692 Rancho Santiago, CA, Community College District, General Obligation 5.00%, 9/1/2026 (a)................... 3,535,000 3,686,651 San Diego, CA, Community College District 5.00%, 5/1/2020 (a)................... 2,720,000 2,905,450 San Diego, CA, Unified School District: Series G-1 4.50%, 7/1/2029 (a)........ 4,000,000 3,948,880 Series C-2 5.50%, 7/1/2019 (a)........ 1,600,000 1,814,928 San Francisco, CA, Bay Area Rapid Transit District: Series B 5.00%, 8/1/2022.............. 1,500,000 1,648,455 Series B 5.00%, 8/1/2032.............. 1,600,000 1,681,152 San Francisco, CA, Bay Area Toll Authority, Toll Bridge Revenue Series F 5.00%, 4/1/2031.............. 7,275,000 7,414,898 San Francisco, CA, City & County Public Utilities Commission, Water Revenue Series A 4.50%, 11/1/2031 (a)......... 1,000,000 967,520 San Francisco, CA, Community College District Series B 5.00%, 6/15/2028 (a)......... 5,225,000 5,354,319 San Jose, CA, Evergreen Community College District Series A Zero Coupon, 9/1/2020 (a).... 2,500,000 1,412,775 University of California, Revenue: Series J 4.50%, 5/15/2031 (a)......... 3,000,000 2,963,340 Series J 4.50%, 5/15/2035 (a)......... 2,000,000 1,926,640 Series B 4.75%, 5/15/2038............. 1,300,000 1,233,960 Series E 5.00%, 5/15/2014 (a)......... 3,180,000 3,608,950 West Valley-Mission Community College District, CA, Election 2004-A 5.00%, 8/1/2030 (a)................... 2,000,000 2,036,900 ------------ 90,574,901 ------------
See accompanying notes to financial statements. 75 SPDR BARCLAYS CAPITAL MUNICIPAL BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- COLORADO -- 1.3% Cherry Creek, CO, Arapahoe County School District, General Obligation Series B 5.50%, 12/15/2013 (a)........ $ 2,030,000 $ 2,344,691 Douglas County, CO, School District Series B 5.00%, 12/15/2019............ 2,000,000 2,231,700 Platte River, CO, Power Authority Revenue: Series HH 5.00%, 6/1/2024............. 1,255,000 1,377,249 Series HH 5.00%, 6/1/2029............. 1,000,000 1,067,190 University of Colorado, Enterprise System Revenue 5.00%, 6/1/2023 (a)................... 3,000,000 3,198,390 ------------ 10,219,220 ------------ CONNECTICUT -- 1.1% Connecticut, State General Obligation: Series A 4.50%, 5/1/2026.............. 1,000,000 1,048,220 Series C 5.00%, 4/1/2011 (a).......... 2,000,000 2,111,780 Series B 5.00%, 4/15/2012............. 5,000,000 5,458,150 ------------ 8,618,150 ------------ DELAWARE -- 0.5% Delaware, State General Obligation 5.00%, 3/1/2013....................... 1,000,000 1,124,820 New Castle County, DE, General Obligation Series A 5.00%, 7/15/2039............. 2,500,000 2,653,075 ------------ 3,777,895 ------------ DISTRICT OF COLUMBIA -- 1.3% District of Columbia, Water & Sewer Authority, Public Utility Revenue Series A 5.50%, 10/1/2039............. 5,000,000 5,425,200 Metropolitan Washington, DC, Airports Authority System Series C 5.00%, 10/1/2028............. 5,000,000 5,278,450 ------------ 10,703,650 ------------ FLORIDA -- 3.9% Florida, State Board of Education, Capital Outlay: Series B 5.00%, 6/1/2015.............. 2,600,000 2,958,930 Series A 5.00%, 6/1/2016.............. 900,000 1,021,509 Series A 5.00%, 6/1/2017.............. 5,000,000 5,666,400 Series D 5.00%, 6/1/2024.............. 7,550,000 8,263,248 Florida, State Board of Education, General Obligation Series B 5.25%, 6/1/2013.............. 2,000,000 2,255,680 Gainesville, FL, Utility System Revenue, Series A 5.00%, 10/1/2035 (a) (Pre-refunded)........................ 900,000 1,044,549 JEA, FL, Bulk Power Supply System Revenue, Scherer 4 Project Series A 5.63%, 10/1/2033............. 5,000,000 5,297,400 Palm Beach County, FL, Public Improvement Revenue 5.00%, 5/1/2038....................... 5,000,000 5,129,700 ------------ 31,637,416 ------------ GEORGIA -- 3.0% Atlanta, GA, Metropolitan Rapid Transit Authority, Sales Tax Revenue Series B 5.00%, 7/1/2037 (a).......... 6,875,000 7,131,163 Augusta, GA, Water & Sewer Revenue 5.00%, 10/1/2014 (a).................. 1,085,000 1,246,708 De Kalb County, GA, General Obligation 5.00%, 12/1/2014...................... 1,495,000 1,735,277 De Kalb County, GA, Water & Sewer Revenue Series B 5.25%, 10/1/2024............. 3,000,000 3,569,670 Georgia, State General Obligation: Series B 5.00%, 4/1/2012.............. 2,000,000 2,190,460 Series B 5.00%, 7/1/2022.............. 4,500,000 5,094,180 Series B 5.00%, 7/1/2024.............. 1,145,000 1,281,747 Milledgeville -- Baldwin County, GA, Development Authority, 5.50%, 9/1/2024 (Pre-refunded)........................ 1,500,000 1,778,910 ------------ 24,028,115 ------------ HAWAII -- 1.3% Hawaii, State General Obligation: Series DF 5.00%, 7/1/2020 (a)......... 1,360,000 1,481,557 Series DJ 5.00%, 4/1/2023 (a)......... 900,000 986,796 Series DI 5.00%, 3/1/2025 (a)......... 5,000,000 5,374,450 Hawaii, State Highway Revenue Series B 5.00%, 7/1/2015 (a).......... 1,285,000 1,468,549 Honolulu, HI, City & County General Obligation Series A 5.00%, 7/1/2029 (a).......... 1,500,000 1,577,370 ------------ 10,888,722 ------------ ILLINOIS -- 3.4% Chicago, IL, General Obligation: Series A 5.00%, 1/1/2015 (a).......... 900,000 1,021,572 Series B 5.00%, 1/1/2022 (a).......... 1,000,000 1,060,440 Chicago, IL, Metropolitan Water Reclamation District: Series A 5.00%, 12/1/2020............. 1,000,000 1,149,630 Series C 5.25%, 12/1/2032............. 5,000,000 5,815,900 Chicago, IL, O'Hare International Airport Revenue Series A 5.00%, 1/1/2038 (a).......... 1,500,000 1,525,665 Chicago, IL, Water Revenue 5.25%, 11/1/2038...................... 2,500,000 2,614,700 Illinois, Finance Authority Revenue, University of Chicago Series B 6.25%, 7/1/2038.............. 5,000,000 5,592,850 Illinois, State General Obligation Series A 5.00%, 6/1/2021.............. 5,000,000 5,439,700 Kendall, Kane, & Will Counties, IL, School District No. 308, General Obligation Zero Coupon, 2/1/2022 (a)............. 5,000,000 2,804,000
See accompanying notes to financial statements. 76 SPDR BARCLAYS CAPITAL MUNICIPAL BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- Southwestern, IL, Development Authority Revenue Zero Coupon, 12/1/2021 (a)............ $ 1,125,000 $ 646,402 ------------ 27,670,859 ------------ INDIANA -- 1.9% Indiana, State Finance Authority, Highway Revenue: Series A 4.50%, 12/1/2020 (a)......... 1,000,000 1,032,300 Series A 4.50%, 6/1/2027 (a).......... 9,000,000 9,058,050 Indiana, State Finance Authority, Lease Revenue Series A-1 5.00%, 11/1/2015........... 3,000,000 3,306,300 Indiana, State Finance Authority, State Revolving Fund Program Revenue Series B 5.00%, 2/1/2018.............. 1,535,000 1,717,819 ------------ 15,114,469 ------------ KANSAS -- 0.3% Kansas, State Department of Transportation, Highway Revenue Series A 5.00%, 9/1/2011.............. 2,000,000 2,141,740 ------------ KENTUCKY -- 0.5% Kentucky, State Property & Buildings Commission 5.00%, 8/1/2013 (a)................... 1,000,000 1,115,280 Kentucky, State Turnpike Authority, Economic Development Road Revenue 5.00%, 7/1/2025 (a)................... 1,500,000 1,576,245 Kentucky, State Turnpike Authority, Economic Recovery Series B 4.50%, 7/1/2023.............. 1,285,000 1,331,787 ------------ 4,023,312 ------------ LOUISIANA -- 0.7% Louisiana, State Gas & Fuels Tax Revenue Series A 5.00%, 5/1/2031 (a).......... 5,365,000 5,573,591 ------------ MARYLAND -- 1.9% Maryland, State Department of Transportation, Highway Revenue: 5.00%, 2/15/2015...................... 1,500,000 1,711,980 5.00%, 2/15/2017...................... 1,925,000 2,202,874 Maryland, State General Obligation: 5.00%, 8/1/2012....................... 1,250,000 1,383,250 Series C 5.00%, 3/1/2017.............. 2,900,000 3,380,327 Series A 5.25%, 2/15/2013............. 1,000,000 1,131,060 Montgomery County, MD, Public Improvement Series A 5.00%, 7/1/2016.............. 1,500,000 1,743,720 Montgomery, MD, General Obligation Series A 5.00%, 9/1/2015.............. 3,430,000 3,891,438 ------------ 15,444,649 ------------ MASSACHUSETTS -- 5.7% Massachusetts, Bay Transportation Authority, Revenue Series A 5.00%, 7/1/2029.............. 3,000,000 3,468,000 Massachusetts, Bay Transportation Authority, Sales Tax Revenue: Series A 5.00%, 7/1/2021.............. 1,000,000 1,142,900 Series B 5.50%, 7/1/2027 (a).......... 1,200,000 1,438,344 Massachusetts, School Building Authority: Series A 5.00%, 8/15/2024 (a)......... 1,000,000 1,072,590 Series A 5.00%, 8/15/2026 (a)......... 3,000,000 3,189,540 Series A 5.00%, 8/15/2030 (a)......... 2,700,000 2,820,528 Massachusetts, State Construction Loan Series B 5.00%, 8/1/2015.............. 1,310,000 1,501,260 Massachusetts, State General Obligation: Series A 5.25%, 8/1/2019.............. 900,000 1,043,784 Series B 5.25%, 9/1/2024 (a).......... 5,000,000 5,895,200 Series C 5.50%, 12/1/2022 (a)......... 11,000,000 13,268,090 Massachusetts, State Health & Educational Facilities Authority Revenue Series A 5.50%, 11/15/2036............ 2,000,000 2,218,660 Massachusetts, State Tax Revenue 5.00%, 1/1/2034 (a)................... 1,000,000 1,131,200 Massachusetts, State Water Pollution Abatement Trust 5.25%, 8/1/2033....................... 2,000,000 2,348,740 Massachusetts, State Water Resources Authority Series A 5.13%, 8/1/2026 (a).......... 5,000,000 5,316,350 ------------ 45,855,186 ------------ MICHIGAN -- 0.2% Michigan, Municipal Bond Authority Revenue 5.00%, 10/1/2022...................... 1,700,000 1,842,205 ------------ MINNESOTA -- 0.8% Minnesota, State General Obligation: 5.00%, 6/1/2015....................... 1,820,000 2,110,399 5.00%, 11/1/2016...................... 1,820,000 2,117,224 5.00%, 6/1/2018....................... 1,940,000 2,203,142 ------------ 6,430,765 ------------ MISSISSIPPI -- 0.1% Mississippi, State General Obligation 5.00%, 12/1/2013...................... 1,000,000 1,137,890 ------------ MISSOURI -- 0.9% Missouri, State Highways & Transit Commission, State Road Revenue, Second Lien: 5.25%, 5/1/2019....................... 4,000,000 4,570,400 5.25%, 5/1/2020....................... 1,000,000 1,133,480 Missouri, State Regional Convention & Sports Complex Authority 5.25%, 8/15/2016 (a).................. 1,800,000 1,930,464 ------------ 7,634,344 ------------
See accompanying notes to financial statements. 77 SPDR BARCLAYS CAPITAL MUNICIPAL BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- MONTANA -- 0.3% Montana, State Department of Transportation Revenue 5.00%, 6/1/2015 (a)................... $ 2,130,000 $ 2,434,526 ------------ NEBRASKA -- 0.6% Omaha, NE, Public Power District Series A 5.00%, 2/1/2039.............. 5,000,000 5,103,050 ------------ NEVADA -- 3.0% Clark County, NV, General Obligation: 4.50%, 6/1/2018 (a)................... 1,475,000 1,529,752 4.75%, 6/1/2025 (a)................... 1,735,000 1,776,276 5.00%, 11/1/2020 (a).................. 1,000,000 1,062,180 Clark County, NV, Highway Improvement Revenue 5.00%, 7/1/2012 (a)................... 1,000,000 1,087,400 Clark County, NV, School District, General Obligation: Series B 4.50%, 6/15/2016 (a)......... 1,010,000 1,091,365 Series A 5.00%, 6/15/2014 (a)......... 900,000 1,005,660 Series D 5.00%, 6/15/2017 (a)......... 4,815,000 5,194,470 Las Vegas Valley, NV, Water District, General Obligation Series B 5.00%, 6/1/2015.............. 1,500,000 1,665,150 Nevada, State General Obligation Series F 5.00%, 12/1/2021 (a)......... 8,725,000 9,262,373 Nevada, State Highway Improvement Revenue 5.00%, 12/1/2017 (a).................. 1,000,000 1,097,030 ------------ 24,771,656 ------------ NEW JERSEY -- 2.0% New Jersey, Recreational Facility Improvements Revenue Series A 5.80%, 11/1/2018 (a)......... 1,000,000 1,157,700 New Jersey, State Educational Facilities Authority Revenue, Higher Education Capital Improvement Series A 5.00%, 9/1/2018 (a).......... 735,000 782,532 New Jersey, State General Obligation 5.00%, 6/1/2019....................... 9,565,000 10,878,275 New Jersey, State Transportation Trust Fund Authority: Series C Zero Coupon, 12/15/2029 (a).. 2,585,000 867,655 Series A 5.25%, 6/15/2012 (a) (Escrow to Maturity).................. 1,305,000 1,445,470 New Jersey, State Turnpike Authority Series A 5.25%, 1/1/2027 (a).......... 1,000,000 1,099,680 ------------ 16,231,312 ------------ NEW MEXICO -- 1.1% Albuquerque, NM, Municipal School District, General Obligation Series A 4.00%, 8/1/2022.............. 6,650,000 6,879,957 New Mexico, Severance Tax Series A-1 4.00%, 7/1/2014............ 2,000,000 2,150,840 ------------ 9,030,797 ------------ NEW YORK -- 17.0% Erie County, NY, Industrial Development Agency Revenue: Series A 5.75%, 5/1/2019 (a).......... 1,500,000 1,723,020 Series A 5.75%, 5/1/2021 (a).......... 3,000,000 3,360,390 Nassau County, NY, Sewer & Storm Water Finance Authority, System Revenue Series A 5.38%, 11/1/2028............. 1,275,000 1,414,128 New York & New Jersey, Port Authority Revenue: 156th Series 4.75%, 11/1/2036......... 7,000,000 7,036,260 144th Series 5.00%, 10/1/2028......... 3,000,000 3,195,480 144th Series 5.00%, 12/1/2029......... 1,500,000 1,587,285 New York, NY, City Municipal Water Finance Authority: Series DD 4.50%, 6/15/2038............ 2,310,000 2,237,859 Series DD 4.63%, 6/15/2031............ 1,030,000 1,042,545 Series C 4.75%, 6/15/2033 (a)......... 5,000,000 5,002,600 Series C 4.75%, 6/15/2033............. 1,000,000 1,000,520 Series C 5.00%, 6/15/2035............. 2,320,000 2,369,903 Series A 5.00%, 6/15/2038............. 1,000,000 1,028,110 Series D 5.00%, 6/15/2038............. 1,000,000 1,023,870 New York, NY, City Transitional Finance Authority: Series D-1 5.00%, 11/1/2013........... 1,500,000 1,705,515 Series B 5.00%, 11/1/2014............. 1,050,000 1,200,245 Series A-2 5.00%, 11/1/2017........... 4,500,000 4,943,925 Series C-1 5.00%, 11/1/2020........... 900,000 989,028 Series B 5.00%, 8/1/2021.............. 2,725,000 2,975,700 Series B 5.00%, 11/1/2026............. 10,000,000 10,726,900 New York, NY, General Obligation: Series C-1 5.00%, 10/1/2012........... 1,400,000 1,534,400 Series C 5.00%, 8/1/2015.............. 5,000,000 5,615,600 Series C 5.00%, 11/15/2016............ 5,000,000 5,705,350 Series B-1 5.25%, 9/1/2023............ 7,180,000 7,819,666 New York, NY, Triborough Bridge & Tunnel Authority Revenue: Series A-2 5.00%, 11/15/2029.......... 12,620,000 13,350,193 Series B 5.25%, 8/1/2015.............. 2,000,000 2,231,480 New York, State Dormitory Authority Revenue, State Supported Debt Series A 5.00%, 7/1/2038.............. 3,350,000 3,467,049 New York, State Dormitory Authority, State Income Tax Revenue: Series D 5.00%, 3/15/2016............. 1,800,000 2,042,226 Series B 5.00%, 3/15/2028............. 5,000,000 5,365,200 New York, State Environmental Facscorp Series A 4.50%, 6/15/2036............. 1,500,000 1,502,790 New York, State Housing Finance Agency, Personal Income Tax Revenue Series A 5.00%, 3/15/2039............. 2,000,000 2,065,340 New York, State Local Government Assistance Corp. Series A 5.00%, 4/1/2020.............. 3,000,000 3,344,430 New York, State Thruway Authority Series G 4.75%, 1/1/2030 (a).......... 920,000 927,507
See accompanying notes to financial statements. 78 SPDR BARCLAYS CAPITAL MUNICIPAL BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- New York, State Thruway Authority, Highway & Bridge Trust Fund: Series B 5.00%, 4/1/2014 (a).......... $ 2,000,000 $ 2,257,240 5.00%, 4/1/2021 (a)................... 3,000,000 3,207,750 New York, State Thruway Authority, Personal Income Tax Revenue: Series A 5.00%, 3/15/2028............. 2,000,000 2,139,440 Series A 5.00%, 3/15/2029............. 2,000,000 2,135,000 New York, State Thruway Authority, Second General Highway & Bridge Trust Fund: Series B 5.00%, 4/1/2019.............. 5,400,000 6,043,680 Series A 5.00%, 4/1/2020 (a).......... 3,000,000 3,225,630 Series A 5.00%, 4/1/2021.............. 500,000 547,615 New York, State Urban Development Corp. Revenue: Series B 3.63%, 3/15/2012............. 710,000 749,341 Series A-1 5.00%, 12/15/2016.......... 2,000,000 2,298,920 Series B 5.00%, 3/15/2020............. 3,000,000 3,285,780 Series A-1 5.00%, 12/15/2022 (a)...... 1,000,000 1,079,260 Series B-1 5.00%, 3/15/2036........... 1,000,000 1,034,950 ------------ 137,539,120 ------------ NORTH CAROLINA -- 2.5% Charlotte, NC, Water & Sewer System Revenue 5.00%, 7/1/2038....................... 3,000,000 3,163,260 Mecklenburg County, NC, General Obligation: Series A 4.00%, 8/1/2015.............. 3,135,000 3,479,599 Series A 5.00%, 8/1/2015.............. 1,000,000 1,162,510 North Carolina, Infrastructure Finance Corp. Certificates of Participation Series A 5.00%, 2/1/2020 (a).......... 1,275,000 1,404,731 North Carolina, State Capital Improvement Obligation Series A 4.50%, 5/1/2026.............. 4,500,000 4,645,080 North Carolina, State General Obligation Series B 5.00%, 4/1/2016.............. 2,000,000 2,325,860 University of North Carolina, Chapel Hill 5.00%, 12/1/2031...................... 3,640,000 3,876,782 ------------ 20,057,822 ------------ OHIO -- 1.3% Columbus, OH, General Obligation Series A 5.00%, 9/1/2018.............. 1,500,000 1,705,920 Ohio, State Common Schools, General Obligation Series C 5.00%, 9/15/2015............. 5,000,000 5,713,300 Ohio, University of Akron, General Receipts: Series A 5.00%, 1/1/2033 (a).......... 1,000,000 1,012,470 Series B 5.25%, 1/1/2023 (a).......... 1,970,000 2,125,729 ------------ 10,557,419 ------------ OREGON -- 0.8% Oregon, State Department of Transportation Revenue: Series C 5.00%, 11/15/2015............ 1,500,000 1,732,305 Series A 5.00%, 11/15/2033............ 1,500,000 1,601,565 Portland, OR, Sewer System Revenue Series A 5.00%, 6/1/2015 (a).......... 1,730,000 1,987,805 Salem-Keizer, OR, School District No. 24J, General Obligation Series B Zero Coupon, 6/15/2021....... 2,010,000 1,218,864 ------------ 6,540,539 ------------ PENNSYLVANIA -- 3.6% Central Bucks, PA, School District 5.00%, 5/15/2023...................... 2,500,000 2,794,575 Pennsylvania, Commonwealth Financing Authority Revenue Series A 5.00%, 6/1/2025 (a).......... 1,925,000 2,047,257 Pennsylvania, State General Obligation: Series A 4.50%, 11/1/2021............. 1,390,000 1,500,102 Series A 5.00%, 11/1/2013............. 1,000,000 1,137,410 5.00%, 3/15/2015...................... 4,750,000 5,474,565 5.00%, 5/15/2015...................... 1,000,000 1,152,790 5.00%, 7/1/2015....................... 5,000,000 5,758,850 5.38%, 7/1/2016 (a)................... 3,000,000 3,521,310 5.00%, 4/15/2021...................... 5,000,000 5,687,000 ------------ 29,073,859 ------------ RHODE ISLAND -- 0.5% Rhode Island, State & Providence Plantations, Consolidated Capital Development: Series E 4.70%, 11/1/2025............. 3,000,000 3,131,670 Series C 5.00%, 11/15/2025 (a)........ 1,000,000 1,081,210 ------------ 4,212,880 ------------ SOUTH CAROLINA -- 0.5% Charleston County, SC, Sales Tax Revenue 5.00%, 11/1/2018...................... 2,000,000 2,291,880 South Carolina, State Public Service Authority Series C 5.00%, 1/1/2016 (a).......... 1,275,000 1,445,123 ------------ 3,737,003 ------------ TENNESSEE -- 1.3% Chattanooga, TN, Electric Revenue Series A 5.00%, 9/1/2027.............. 5,950,000 6,424,631 Nashville & Davidson County, TN, Health & Educational Facilities Board Revenue: Series A 5.00%, 10/1/2013............. 2,000,000 2,272,900 Series B 5.00%, 10/1/2039............. 1,000,000 1,051,890 Shelby County, TN, General Obligation 5.00%, 4/1/2019....................... 1,080,000 1,238,987 ------------ 10,988,408 ------------
See accompanying notes to financial statements. 79 SPDR BARCLAYS CAPITAL MUNICIPAL BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- TEXAS -- 12.7% Austin, TX, Electrical Utilities System Revenue 5.00%, 11/15/2035 (a)................. $ 5,100,000 $ 5,203,479 Cypress-Fairbanks, TX, Independent School District 5.00%, 2/15/2023 (a).................. 5,000,000 5,449,250 Dallas, TX, Area Rapid Transit, Sales Tax Revenue: 4.50%, 12/1/2027 (a).................. 6,500,000 6,607,770 Series A 5.00%, 12/1/2015............. 6,785,000 7,790,605 Dallas, TX, General Obligation: 4.75%, 2/15/2026...................... 1,500,000 1,550,760 5.00%, 2/15/2024...................... 2,055,000 2,162,929 5.00%, 2/15/2027...................... 1,750,000 1,880,130 Denton, TX, Independent School District, General Obligation 5.00%, 8/15/2028 (a).................. 1,000,000 1,073,820 Harris County, TX, General Obligation Series A 5.25%, 10/1/2017............. 2,350,000 2,736,175 Harris County, TX, Road Revenue Series B 5.25%, 8/15/2047............. 3,000,000 3,111,270 Houston, TX, Airport System Revenue, Senior Lien Series A 5.50%, 7/1/2034.............. 1,850,000 1,945,959 Houston, TX, Public Improvement: Series D 5.00%, 3/1/2017 (a).......... 5,000,000 5,569,700 Series B 5.00%, 3/1/2023 (a).......... 4,000,000 4,252,120 Houston, TX, Utility System Revenue: Series A 5.25%, 11/15/2017 (a)........ 900,000 1,013,274 Series A 5.25%, 11/15/2031 (a)........ 4,600,000 4,864,454 La Joya, TX, Independent School District 5.00%, 2/15/2034 (a).................. 3,300,000 3,461,205 Prosper, TX, Independent School District 5.00%, 2/15/2038 (a).................. 1,000,000 1,035,000 Texas, State General Obligation: Series B 4.25%, 8/1/2026.............. 5,000,000 5,111,700 4.75%, 4/1/2036....................... 1,000,000 999,930 Series A 5.00%, 10/1/2014............. 3,795,000 4,360,607 5.00%, 4/1/2029....................... 3,000,000 3,204,210 Texas, State Transportation Commission: Series A 4.50%, 4/1/2030 (a).......... 3,000,000 3,014,550 5.00%, 4/1/2019....................... 5,000,000 5,563,350 Series A 5.00%, 4/1/2020.............. 1,000,000 1,093,880 5.00%, 4/1/2024....................... 4,125,000 4,481,565 5.00%, 4/1/2026....................... 2,555,000 2,726,594 Texas, State Water Development Board, Revenue, Sub Lien, A-1 5.00%, 7/15/2015...................... 5,620,000 6,481,827 University of Texas: Series F 4.75%, 8/15/2026............. 1,890,000 2,003,268 Series D 5.00%, 8/15/2018............. 1,675,000 1,884,542 Williamson County, TX, General Obligation 5.25%, 2/15/2018 (a).................. 2,000,000 2,281,960 ------------ 102,915,883 ------------ UTAH -- 0.8% Utah, State General Obligation, Series A 5.00%, 7/1/2015 (Pre-refunded)........................ 2,000,000 2,268,980 Utah, Transport Authority Sales Tax Revenue Series A 5.00%, 6/15/2036 (a)......... 3,850,000 4,022,365 ------------ 6,291,345 ------------ VIRGINIA -- 2.5% Fairfax County, VA, General Obligation: Series A 4.00%, 4/1/2011.............. 1,675,000 1,749,906 Series A 4.00%, 4/1/2020.............. 1,000,000 1,035,840 Virginia, State Public Building Authority, Public Facilities Revenue: Series B 5.00%, 8/1/2017.............. 3,000,000 3,447,330 Series B 5.25%, 8/1/2027.............. 2,000,000 2,225,820 Virginia, State Public School Authority Revenue Series B 5.25%, 8/1/2014.............. 4,300,000 4,980,647 Virginia, State Resources Authority Revenue Series B 5.00%, 11/1/2028............. 3,540,000 3,850,104 Virginia, Upper Occoquan Sewage Authority, Regional Sewage Revenue 5.00%, 7/1/2022 (a)................... 2,500,000 2,718,200 ------------ 20,007,847 ------------ WASHINGTON -- 4.2% Central Puget Sound, WA, Regional Transit Authority, Sales & Use Tax Revenue: Series A 5.00%, 11/1/2032 (a)......... 3,000,000 3,127,890 Series A 5.00%, 11/1/2036............. 2,000,000 2,070,520 Energy Northwest Washington Electric Revenue: Series A 5.00%, 7/1/2014.............. 1,000,000 1,143,820 Series A 5.50%, 7/1/2012 (a).......... 1,200,000 1,332,576 King County, WA, School District, General Obligation Series A 4.00%, 6/1/2011.............. 1,250,000 1,308,912 Pierce County, WA, School District No. 3 5.00%, 12/1/2017 (a).................. 800,000 891,896 Seattle, WA, Municipal Light & Power Revenue 5.50%, 4/1/2022....................... 1,435,000 1,642,688 Snohomish County, WA, School District No. 201 5.25%, 12/1/2024...................... 3,225,000 3,616,708 Washington, State General Obligation: Series C 4.25%, 1/1/2013.............. 1,000,000 1,091,050 Series C 5.00%, 1/1/2021 (a).......... 2,100,000 2,305,989 Series A 5.00%, 7/1/2023.............. 900,000 983,268 Series D 5.00%, 1/1/2027.............. 8,945,000 9,633,676 Series A 5.00%, 7/1/2027 (a).......... 1,000,000 1,069,590 Series A 5.00%, 7/1/2032.............. 2,000,000 2,096,620
See accompanying notes to financial statements. 80 SPDR BARCLAYS CAPITAL MUNICIPAL BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- Washington, State Variable Purposes Series C 5.00%, 2/1/2016.............. $ 1,215,000 $ 1,390,203 ------------ 33,705,406 ------------ WISCONSIN -- 0.3% Wisconsin, State General Obligation Series C 5.00%, 5/1/2014.............. 2,000,000 2,278,180 ------------ TOTAL MUNICIPAL BONDS AND NOTES -- (Cost $774,279,071)................... 800,308,654 ------------ SHARES ------ SHORT TERM INVESTMENTS -- 0.3% MONEY MARKET FUND -- 0.3% State Street Institutional Tax Free Money Market Fund (b)(c) (Cost $2,662,520)..................... 2,662,520 2,662,520 ------------ TOTAL INVESTMENTS -- 99.1% (D) (Cost $776,941,591)................... 802,971,174 OTHER ASSETS AND LIABILITIES -- 0.9%.... 6,961,335 ------------ NET ASSETS -- 100.0%.................... $809,932,509 ============
(a) Bond is insured by one of these companies:
AS A % OF INSURANCE COVERAGE NET ASSETS ------------------ ---------- Assured Guaranty Municipal Corp.................... 19.15% National Public Finance Guarantee Corp............. 7.64% Ambac Financial Group.............................. 4.52% Public School Fund Guaranteed...................... 1.36% Assured Guaranty Corp.............................. 0.86% XL Capital Assurance, Inc.......................... 0.62% Financial Guaranty Insurance Co.................... 0.32% (b) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (c) Value is determined based on Level 1 inputs. (Note 2) (d) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs. (Note 2)
Escrow to Maturity = Bonds bearing this description are collateralized usually by the 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. 81 SPDR BARCLAYS CAPITAL CALIFORNIA MUNICIPAL BOND ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- MUNICIPAL BONDS AND NOTES -- 98.9% CALIFORNIA -- 98.9% Alameda County, CA, Joint Powers Authority, Lease Revenue 5.00%, 12/1/2034 (a).................. $1,000,000 $ 1,012,980 Anaheim, CA, Public Financing Authority, Revenue 4.50%, 10/1/2037 (a).................. 1,000,000 884,250 Azusa, CA, Public Financing Authority, Revenue 5.00%, 7/1/2039 (a)................... 800,000 807,032 Bakersfield, CA, Certificates of Participation Zero Coupon, 4/15/2021................ 1,000,000 632,800 Bakersfield, CA, Wastewater Revenue Series A 5.00%, 9/15/2032 (a)......... 300,000 304,572 California, Educational Facilities Authority Revenue, Stanford University Series T-4 5.00%, 3/15/2014........... 450,000 518,297 California, Infrastructure & Economic Development Bank Revenue, Lien A 5.00%, 7/1/2036 (a) (Pre-refunded)........................ 175,000 204,720 California, Pollution Control Financing Authority, Environmental Improvement Revenue 2.60%, 9/2/2014....................... 200,000 202,898 California, State Department of Water Resources: Series AE 5.00%, 12/1/2022............ 1,000,000 1,100,700 5.00%, 12/1/2026...................... 760,000 817,129 California, State Public Works Board, Lease Revenue: Series D 5.00%, 5/1/2025.............. 500,000 514,300 Series C 5.00%, 4/1/2030.............. 850,000 854,598 Series L 5.25%, 11/1/2028 (a)......... 500,000 512,800 Chabot-Las Positas Community College District, CA Series B Zero Coupon, 8/1/2024 (a).... 1,400,000 579,586 Chaffey Community College District, CA, Election of 2002 Series C 5.00%, 6/1/2032 (a).......... 1,000,000 1,014,780 Coast Community College District, CA Series B 5.00%, 8/1/2023 (a).......... 800,000 849,592 Desert Community College District, CA Series C 5.00%, 8/1/2037 (a).......... 300,000 303,192 Eastern Municipal Water District, CA, Water & Sewer Revenue Series H 5.00%, 7/1/2035.............. 1,000,000 1,020,790 El Dorado, CA, Irrigation District, Certificates of Participation Series A 6.25%, 8/1/2029 (a).......... 1,200,000 1,298,676 Foothill-De Anza, CA, Community College District, General Obligation Series B 5.00%, 8/1/2027 (a).......... 1,000,000 1,034,340 Grossmont, CA, Union High School District Election of 2004 5.00%, 8/1/2033....................... 1,780,000 1,800,968 Los Altos, CA, School District 5.00%, 8/1/2018 (a)................... 780,000 855,793 Los Angeles County, CA, Metropolitan Transportation Authority, Sales Tax Revenue 5.00%, 7/1/2026....................... 2,500,000 2,697,775 Los Angeles County, CA, Public Works Financing Authority Revenue 5.00%, 10/1/2015 (a).................. 1,000,000 1,142,550 Los Angeles, CA, Community College District: 5.00%, 8/1/2026....................... 100,000 105,043 Series A 5.00%, 8/1/2032 (a).......... 1,000,000 1,015,070 Los Angeles, CA, Department of Airports, Revenue Series A 5.00%, 5/15/2021............. 1,000,000 1,074,140 Los Angeles, CA, Harbor Department Revenue: Series A 5.00%, 8/1/2029.............. 1,515,000 1,573,327 Series C 5.25%, 8/1/2023.............. 700,000 764,911 Los Angeles, CA, Municipal Improvement Corp., Lease Revenue Series A 4.50%, 1/1/2037 (a).......... 205,000 170,355 Los Angeles, CA, Public Works Financing Authority Revenue 5.00%, 10/1/2012 (a).................. 290,000 320,479 Los Angeles, CA, Unified School District: Series A-1 4.50%, 1/1/2028 (a)........ 1,000,000 940,590 Series F 5.00%, 1/1/2034.............. 1,000,000 1,003,740 Los Angeles, CA, Wastewater System Revenue Series A 5.00%, 6/1/2029.............. 485,000 520,715 Los Angeles, CA, Water & Power Revenue Series A-1 5.00%, 7/1/2023 (a)........ 400,000 429,132 Los Angeles, CA, Water Utility, General Obligation Series A 4.00%, 9/1/2018.............. 1,000,000 1,041,570 Marin, CA, Community College District Election of 2004 Series B 4.75%, 8/1/2034.............. 1,000,000 951,250 Metropolitan Water District of Southern California: Series C 5.00%, 7/1/2029.............. 370,000 388,796 Series A 5.00%, 1/1/2031.............. 1,000,000 1,056,290 North Orange County, CA, Community College District 5.00%, 8/1/2015 (a)................... 1,000,000 1,147,690 Pasadena, CA, Unified School District 5.00%, 11/1/2019 (a).................. 235,000 255,941 Redding, CA, Electric System Revenue, Certificates of Participation Series A 5.00%, 6/1/2030 (a).......... 555,000 557,997 Riverside, CA, Electric Revenue Series D 5.00%, 10/1/2027 (a)......... 835,000 873,427 Sacramento County, CA, Sanitation District Financing Authority Revenue Series A 5.25%, 12/1/2022 (a)......... 535,000 600,725
See accompanying notes to financial statements. 82 SPDR BARCLAYS CAPITAL CALIFORNIA MUNICIPAL BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- Sacramento, CA, Educational Facilities Authority Revenue: Series A 4.50%, 10/1/2033............. $ 500,000 $ 487,150 Series A 4.75%, 10/1/2037............. 1,740,000 1,731,909 Sacramento, CA, Municipal Utility District, Electric Revenue: 5.00%, 8/15/2022 (a).................. 550,000 598,053 Series U 5.00%, 8/15/2023 (a)......... 1,000,000 1,082,020 San Bernardino, CA, Community College District: Series B Zero Coupon, 8/1/2028........ 1,050,000 338,499 Series D Zero Coupon, 8/1/2032........ 2,290,000 544,127 Series C 5.00%, 8/1/2031 (a).......... 900,000 925,839 San Diego County, CA, Water Authority Revenue Series 2008-A 5.00%, 5/1/2015 (a)..... 200,000 228,068 San Diego, CA, Community College District 5.00%, 8/1/2032 (a)................... 1,000,000 1,034,340 San Diego, CA, Unified School District Election of 1998: Series F-1 4.50%, 7/1/2029 (a)........ 700,000 691,054 Series D-2 4.75%, 7/1/2026 (a)........ 710,000 726,152 San Diego, CA, Unified School District Series G-1 4.50%, 7/1/2029 (a)........ 1,000,000 987,220 San Francisco, CA, Bay Area Rapid Transit District Series B 5.00%, 8/1/2022.............. 500,000 549,485 San Francisco, CA, Bay Area Toll Authority, Toll Bridge Revenue: Series F 5.00%, 4/1/2025.............. 800,000 841,016 Series F 5.00%, 4/1/2031.............. 500,000 509,615 San Francisco, CA, City & County Public Utilities Commission, Water Revenue: Series A 4.50%, 11/1/2031 (a)......... 500,000 483,760 Series A 4.75%, 11/1/2036 (a)......... 500,000 487,380 San Francisco, CA, City & County Unified School District Election of 2006 Series B 5.25%, 6/15/2022............. 800,000 884,600 San Jose, CA, Unified School District Santa Clara County Election of 2002: Series C 5.00%, 8/1/2024 (a).......... 300,000 315,579 Series C 5.25%, 8/1/2019 (a).......... 1,000,000 1,089,640 San Juan, CA, Public Power Agency Project Revenue Series L 5.00%, 7/1/2022 (a).......... 100,000 104,210 San Mateo County, CA, Community College District Series B 5.00%, 9/1/2031.............. 315,000 326,885 San Mateo, CA, Union High School District Series C Zero Coupon, 9/1/2027 (a).... 2,535,000 969,435 San Ramon Valley, CA, Unified School District Election of 2002 5.00%, 8/1/2025 (a)................... 750,000 788,070 Santa Clara County, CA, Financing Authority, Lease Revenue: Series L 5.00%, 5/15/2028............. 500,000 525,045 Series L 5.25%, 5/15/2036............. 1,000,000 1,046,740 Santa Clara Valley Transportation Authority, CA, Sales Tax Revenue Series A 5.00%, 4/1/2036 (a).......... 500,000 506,930 Santa Clara Valley, CA, Water District, Certificates of Participation Series A 5.00%, 6/1/2037 (a).......... 500,000 513,035 Santa Clarita, CA, Union High School District, General Obligation, Election of 2001 Series B Zero Coupon, 9/1/2028 (a).... 1,500,000 441,615 Sequoia, CA, Union High School District Election of 2008 Series A 5.00%, 7/1/2032.............. 1,000,000 1,020,090 State of California 5.00%, 8/1/2023 (a)................... 325,000 330,038 University of California, Revenue: Series J 4.50%, 5/15/2035 (a)......... 1,000,000 963,320 Series K 5.00%, 5/15/2020 (a)......... 250,000 270,498 Series Q 5.25%, 5/15/2023............. 1,000,000 1,112,100 ----------- TOTAL MUNICIPAL BONDS AND NOTES -- (Cost $58,017,938).................... 59,209,823 ----------- SHARES ------ SHORT TERM INVESTMENTS -- 0.1% MONEY MARKET FUND -- 0.1% State Street Institutional Tax Free Money Market Fund (b)(c) (Cost $69,261)........................ 69,261 69,261 ----------- TOTAL INVESTMENTS -- 99.0% (D) (Cost $58,087,199).................... 59,279,084 OTHER ASSETS AND LIABILITIES -- 1.0%................... 621,846 ----------- NET ASSETS -- 100.0%.................... $59,900,930 ===========
(a) Bond is insured by one of these companies:
AS A % OF INSURANCE COVERAGE NET ASSETS ------------------ ---------- Assured Guaranty Municipal Corp.................... 25.89% National Public Finance Guarantee Corp............. 17.08% Ambac Financial Group.............................. 6.03% Assured Guaranty Corp.............................. 2.17% (b) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (c) Value is determined based on Level 1 inputs. (Note 2) (d) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs. (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. 83 SPDR BARCLAYS CAPITAL NEW YORK MUNICIPAL BOND ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- MUNICIPAL BONDS AND NOTES -- 99.0% NEW YORK -- 96.3% Battery Park City Authority, NY, Revenue Series A 5.25%, 11/1/2021............. $ 100,000 $ 110,918 Erie County, NY, Industrial Development Agency Series A 5.75%, 5/1/2024 (a).......... 500,000 553,345 Haverstraw-Stony Point Central, NY, School District, General Obligation 3.00%, 10/15/2026 (a)................. 810,000 659,607 Nassau County, NY, General Obligation: Series C 5.00%, 7/1/2015 (a).......... 500,000 567,825 Series C 5.13%, 10/1/2035 (a)......... 100,000 104,796 Nassau County, NY, Sewer & Storm Water Finance Authority, System Revenue Series A 5.38%, 11/1/2028............. 400,000 443,648 New York & New Jersey, Port Authority Revenue: 4.50%, 9/15/2039...................... 350,000 338,289 5.00%, 7/15/2022...................... 100,000 110,895 144th Series 5.00%, 12/1/2029......... 500,000 529,095 New York City, NY, Cultural Resource Revenue, Museum of Modern Art Series A-1 5.00%, 4/1/2031............ 300,000 315,141 New York, NY, City Transitional Finance Authority: Series B 5.00%, 11/1/2015............. 200,000 229,014 Series A-1 5.00%, 11/1/2024........... 600,000 641,508 New York, NY, General Obligation: Series G 5.00%, 8/1/2025.............. 385,000 401,132 Series J-1 5.00%, 5/15/2036........... 425,000 436,811 New York, NY, Municipal Water Finance Authority: Series GG-2 5.00%, 6/15/2035.......... 100,000 102,955 Series DD 5.25%, 6/15/2024............ 200,000 221,532 Series A 5.63%, 6/15/2024............. 130,000 150,552 New York, Sales Tax Asset Receivables Corp. Series A 5.00%, 10/15/2020 (a)........ 600,000 660,282 New York, State Dormitory Authority Revenue, Columbia University 5.00%, 7/1/2038....................... 250,000 265,068 New York, State Dormitory Authority Revenue, Cornell University: Series A 5.00%, 7/1/2034.............. 125,000 133,059 Series A 5.00%, 7/1/2039.............. 300,000 314,784 New York, State Dormitory Authority Revenue, Fordham University Series B 5.00%, 7/1/2033 (a).......... 500,000 516,045 New York, State Dormitory Authority Revenue, New York University Series A 5.00%, 7/1/2029.............. 240,000 253,411 New York, State Dormitory Authority Revenue, Non State Supported Debt Series A 5.00%, 8/1/2014.............. 210,000 237,672 New York, State Dormitory Authority Revenue, School Districts Series C 5.00%, 10/1/2031 (a)......... 600,000 638,490 New York, State Dormitory Authority Revenue, State Supported Debt Series A 5.00%, 7/1/2038.............. 650,000 672,711 New York, State Dormitory Authority, State Income Tax Revenue Series B 5.00%, 3/15/2028............. 260,000 278,990 New York, State Dormitory Authority, State Personal Income Tax Revenue: Series B 5.00%, 2/15/2018............. 125,000 141,909 Series C 5.00%, 12/15/2020............ 500,000 546,180 New York, State Environmental Facscorp: Series A 4.50%, 6/15/2036............. 635,000 636,181 Series A 5.25%, 12/15/2026............ 200,000 220,212 New York, State General Obligation 5.00%, 4/15/2015...................... 1,000,000 1,142,990 New York, State Housing Finance Agency, Personal Income Tax Revenue Series A 5.00%, 3/15/2039............. 800,000 826,136 New York, State Local Government Assistance Corp.: Series C 5.00%, 4/1/2018.............. 500,000 570,515 Series A 5.00%, 4/1/2020.............. 435,000 484,942 New York, State Municipal Bond Bank Agency Series C-1 5.00%, 2/15/2016 (a)....... 200,000 221,814 New York, State Power Authority: Series A 4.50%, 11/15/2047 (a)........ 700,000 686,238 Series C 5.00%, 11/15/2020 (a)........ 250,000 278,465 New York, State Thruway Authority Second General Highway & Bridge Trust: Series B 5.00%, 4/1/2028.............. 250,000 265,610 Series B 5.00%, 4/1/2029.............. 300,000 317,961 New York, State Thruway Authority, General Revenue Series B 5.00%, 4/1/2027.............. 300,000 318,339 New York, State Urban Development Corp. Revenue Series A-1 5.00%, 12/15/2022 (a)...... 520,000 561,215 New York, State Urban Development Corp., Revenue Series A-1 5.00%, 12/15/2027.......... 250,000 267,388 New York, Triborough Bridge & Tunnel Authority, Revenue: 5.00%, 11/15/2027..................... 145,000 153,984 5.00%, 11/15/2037..................... 750,000 768,487 Suffolk County, NY, General Obligation Series C 4.00%, 10/15/2028............ 500,000 497,360 Westchester County, NY, General Obligation Series A 3.75%, 11/15/2012............ 500,000 542,190 ----------- 19,335,691 -----------
See accompanying notes to financial statements. 84 SPDR BARCLAYS CAPITAL NEW YORK MUNICIPAL BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- PUERTO RICO -- 2.7% Puerto Rico Electric Power Authority Revenue Series UU 5.00%, 7/1/2016 (a)......... $ 500,000 $ 549,879 ----------- TOTAL MUNICIPAL BONDS AND NOTES -- (Cost $19,347,734).................... 19,885,570 ----------- SHARES ------ SHORT TERM INVESTMENTS -- 0.2% MONEY MARKET FUND -- 0.2% State Street Institutional Tax Free Money Market Fund (b)(c) (Cost $33,808)........................ 33,808 33,808 ----------- TOTAL INVESTMENTS -- 99.2% (D) (Cost $19,381,542).................... 19,919,378 OTHER ASSETS AND LIABILITIES -- 0.8%................... 153,730 ----------- NET ASSETS -- 100.0%.................... $20,073,108 ===========
(a) Bond is insured by one of these companies:
AS A % OF INSURANCE COVERAGE NET ASSETS ------------------ ---------- Assured Guaranty Municipal Corp.................... 11.61% National Public Finance Guarantee Corp............. 8.10% Assured Guaranty Corp.............................. 7.38% Ambac Financial Group.............................. 2.80% (b) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (c) Value determined based on Level 1 inputs. (Note 2) (d) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs. (Note 2)
See accompanying notes to financial statements. 85 SPDR BARCLAYS CAPITAL SHORT TERM MUNICIPAL BOND ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- MUNICIPAL BONDS AND NOTES -- 98.4% ALABAMA -- 0.2% Alabama, Public School & College Authority Revenue Series A 5.00%, 5/1/2014.............. $ 1,500,000 $ 1,676,055 ------------ ALASKA -- 0.1% Alaska, State General Obligation Series A 5.25%, 8/1/2010 (a).......... 1,000,000 1,028,720 ------------ ARIZONA -- 3.7% Arizona, Salt River Project, Electrical Systems Revenue: Series A 3.00%, 1/1/2014.............. 1,070,000 1,130,177 Series B 3.00%, 1/1/2014.............. 5,000,000 5,281,200 Arizona, State Transportation Board, Excise Tax Revenue 5.00%, 7/1/2013....................... 2,750,000 3,091,687 Gilbert, AZ, General Obligation 5.00%, 7/1/2013....................... 8,740,000 9,841,852 Maricopa County, AZ, Community College District Series B 4.00%, 7/1/2010.............. 3,025,000 3,079,783 Phoenix, AZ, Civic Improvement Corp., Transit Excise Tax Revenue 5.00%, 7/1/2013 (a)................... 4,000,000 4,436,360 Phoenix, AZ, Civic Improvement Corp., Wastewater System Revenue Series B 5.00%, 7/1/2012 (a).......... 1,000,000 1,086,380 Pima County, AZ, General Obligation Series A 3.00%, 7/1/2012.............. 5,000,000 5,222,300 ------------ 33,169,739 ------------ CALIFORNIA -- 5.9% California, State Department of Water Resources Revenue Series AF 5.00%, 12/1/2012............ 5,000,000 5,593,650 Irvine, CA, Unified School District Special Tax 5.00%, 9/1/2012 (a)................... 3,000,000 3,235,350 Long Beach, CA, Unified School District General Obligation: Series A 4.00%, 8/1/2011.............. 2,200,000 2,313,828 Series A 4.00%, 8/1/2012.............. 7,950,000 8,574,552 Los Angeles County, CA, Metropolitan Transportation Authority Sales Tax Revenue 3.00%, 7/1/2013....................... 3,000,000 3,168,000 Los Angeles, CA General Obligation Series A 2.50%, 9/1/2014.............. 8,825,000 9,031,858 Los Angeles, CA, Public Works Financing Authority Revenue: 5.00%, 10/1/2011 (a).................. 770,000 825,779 5.00%, 10/1/2012 (a).................. 1,000,000 1,105,100 Los Angeles, CA, Unified School District, General Obligation Series KRY 3.00%, 7/1/2011............ 5,000,000 5,153,900 Northern California Power Agency Revenue, Hydroelectric No-1 Series C 5.00%, 7/1/2014 (a).......... 1,500,000 1,680,525 San Bernardino County, CA, Transportation Authority, Sales Tax Revenue Series A 4.00%, 5/1/2012.............. 4,000,000 4,194,280 San Francisco, CA, City & County Series 2008-R1 5.00%, 6/15/2013....... 3,000,000 3,356,250 University of California, Revenue: Series J 5.00%, 5/15/2013 (a)......... 1,000,000 1,121,530 Series O 5.00%, 5/15/2013............. 3,000,000 3,368,820 ------------ 52,723,422 ------------ COLORADO -- 0.9% Cherry Creek, CO, Arapahoe County School District, General Obligation Series B 6.00%, 12/15/2012............ 1,000,000 1,140,820 Denver, CO, City & County Excise Tax Revenue Series A 5.00%, 9/1/2013 (a).......... 2,850,000 3,148,594 University of Colorado Enterprise System Revenue 5.00%, 6/1/2012 (a)................... 3,700,000 4,044,914 ------------ 8,334,328 ------------ CONNECTICUT -- 4.2% Connecticut, State General Obligation: Series B 4.00%, 6/1/2011.............. 2,000,000 2,094,260 Series C 5.00%, 4/1/2011 (a).......... 1,000,000 1,055,890 Series F 5.00%, 12/1/2011............. 1,500,000 1,623,480 Series A 5.00%, 1/1/2012.............. 5,000,000 5,406,750 5.00%, 3/15/2013...................... 4,670,000 5,216,203 Series D 5.00%, 11/15/2013 (a)........ 5,000,000 5,683,800 5.00%, 3/15/2015...................... 5,000,000 5,725,450 Connecticut, State Special Obligation Rate Reduction Series A 5.00%, 6/30/2010 (Escrow to Maturity).................. 1,200,000 1,227,756 Connecticut, State Special Tax Obligation Revenue: Series A 5.00%, 7/1/2012 (a).......... 1,700,000 1,859,953 Series 1 5.00%, 2/1/2013.............. 2,000,000 2,213,020 Series A 5.00%, 12/1/2014............. 5,000,000 5,727,300 ------------ 37,833,862 ------------ DELAWARE -- 0.2% Delaware, State General Obligation: 4.00%, 8/1/2011....................... 750,000 791,228 Series 2009A 5.00%, 1/1/2014.......... 1,200,000 1,377,972 ------------ 2,169,200 ------------ DISTRICT OF COLUMBIA -- 0.2% District of Columbia, Income Tax Revenue Series B 4.00%, 12/1/2013............. 2,000,000 2,192,020 ------------ FLORIDA -- 3.5% Florida, State Board of Education, General Obligation: 5.00%, 6/1/2013....................... 1,000,000 1,119,560 Series C 5.00%, 6/1/2014.............. 9,585,000 10,851,466 Florida, State General Obligation Series B 5.00%, 7/1/2014.............. 8,070,000 9,144,601
See accompanying notes to financial statements. 86 SPDR BARCLAYS CAPITAL SHORT TERM MUNICIPAL BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- Florida, State Turnpike Authority, Turnpike Revenue Series A 5.00%, 7/1/2012 (a).......... $ 1,115,000 $ 1,214,737 Florida, Water Pollution Control Revenue: Series A 3.00%, 1/15/2012............. 2,000,000 2,073,840 Series A 3.00%, 1/15/2013............. 3,535,000 3,662,507 Jacksonville, FL, Electric Authority, Park System Revenue Series 21 5.00%, 10/1/2011 (a)........ 1,000,000 1,069,020 Orlando, FL, Utilities Commission System Revenue 5.00%, 10/1/2013...................... 1,975,000 2,217,530 Pasco County, FL, School District Sales Tax Revenue 5.00%, 10/1/2011 (a).................. 300,000 315,957 ------------ 31,669,218 ------------ GEORGIA -- 5.1% De Kalb County, GA, School District, General Obligation 5.00%, 2/1/2011....................... 3,000,000 3,147,120 Georgia, Emory University, Authority Revenue Series B 5.00%, 9/1/2011.............. 3,925,000 4,206,540 Georgia, Metropolitan Atlanta Rapid Transit Authority, Sales Tax Revenue Series A 5.00%, 7/1/2013 (a).......... 2,500,000 2,799,725 Georgia, State General Obligation: Series B 5.00%, 7/1/2010.............. 1,000,000 1,023,210 Series G 5.00%, 10/1/2010............. 1,000,000 1,034,910 Series A 5.00%, 9/1/2011.............. 1,000,000 1,073,970 Series A 5.00%, 9/1/2013.............. 2,050,000 2,333,863 Series G 5.00%, 11/1/2014............. 3,410,000 3,952,497 Series C 5.50%, 7/1/2010.............. 2,590,000 2,656,408 Series C 5.50%, 7/1/2012.............. 1,100,000 1,228,161 Georgia, State Road & Tollway Authority Revenue Series A 5.00%, 6/1/2012.............. 3,000,000 3,275,160 Gwinnett County, GA, School District, General Obligation: 5.00%, 2/1/2011....................... 1,000,000 1,050,590 5.00%, 2/1/2012....................... 1,500,000 1,634,235 5.00%, 2/1/2013....................... 5,135,000 5,762,600 Gwinnett County, GA, Water & Sewer Authority Revenue 4.00%, 8/1/2014....................... 2,500,000 2,744,800 Richmond County, GA, Board of Education, General Obligation 5.00%, 10/1/2012...................... 7,000,000 7,769,860 ------------ 45,693,649 ------------ HAWAII -- 2.2% Hawaii, State General Obligation: Series DT 4.00%, 11/1/2014............ 2,000,000 2,203,180 Series DG 5.00%, 7/1/2012 (a)......... 2,500,000 2,746,225 Series DG 5.00%, 7/1/2013 (a)......... 4,000,000 4,498,440 Series DG 5.00%, 7/1/2014 (a)......... 3,000,000 3,431,460 Honolulu, HI, City & County, General Obligation: Series A 2.75%, 4/1/2014.............. 1,750,000 1,837,955 4.00%, 4/1/2013....................... 2,035,000 2,214,630 Series B 5.25%, 7/1/2014 (a).......... 2,125,000 2,458,476 ------------ 19,390,366 ------------ ILLINOIS -- 2.2% Chicago, IL, Board of Education, General Obligation Series D 4.00%, 12/1/2012 (a)......... 1,610,000 1,713,958 Chicago, IL, General Obligation: Series C 5.00%, 1/1/2012 (a).......... 700,000 754,348 Series A 5.00%, 1/1/2013 (a).......... 4,700,000 5,196,038 Chicago, IL, Water Revenue 5.00%, 11/1/2011 (a).................. 2,000,000 2,143,100 Cook County, IL, General Obligation Series B 5.00%, 11/15/2014 (a)........ 1,200,000 1,361,088 Illinois, State General Obligation: Series B 5.00%, 1/1/2011.............. 950,000 988,247 Series B 5.00%, 3/1/2013.............. 1,000,000 1,096,980 Illinois, State Revenue Series B 3.00%, 6/15/2014............. 1,675,000 1,725,652 Illinois, State Toll Highway Authority Revenue Series A 5.00%, 1/1/2014 (a).......... 4,000,000 4,486,920 ------------ 19,466,331 ------------ INDIANA -- 2.6% Indiana, State Finance Authority Revenue: Series A 5.00%, 2/1/2011.............. 5,000,000 5,251,250 Series A 5.00%, 2/1/2013.............. 2,715,000 3,027,578 Indiana, State Finance Authority, Lease Revenue Series A-1 5.00%, 11/1/2014........... 8,915,000 9,865,161 Whiting, IN, Environmental Facilities Revenue 2.80%, 6/1/2044 (b)................... 5,000,000 5,112,550 ------------ 23,256,539 ------------ KANSAS -- 0.2% Kansas, State Department of Transportation, Highway Revenue Series A 5.00%, 9/1/2011.............. 1,710,000 1,831,188 ------------ KENTUCKY -- 0.6% Kentucky Asset/Liability Commission Agency Fund Revenue 5.00%, 9/1/2012 (a)................... 4,000,000 4,365,960 Kentucky, State Turnpike Authority, Economic Development Road Revenue 5.00%, 7/1/2011 (a)................... 750,000 796,905 ------------ 5,162,865 ------------ LOUISIANA -- 0.6% Louisiana, State General Obligation Series A 5.00%, 5/1/2014.............. 5,000,000 5,684,250 ------------
See accompanying notes to financial statements. 87 SPDR BARCLAYS CAPITAL SHORT TERM MUNICIPAL BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- MARYLAND -- 3.4% Baltimore County, MD, General Obligation 5.00%, 2/1/2012....................... $ 1,000,000 $ 1,087,750 Maryland, State Department of Transportation Revenue 4.00%, 2/15/2014...................... 2,500,000 2,728,250 Maryland, State General Obligation: Series A 3.00%, 3/1/2014.............. 2,725,000 2,911,662 5.00%, 3/1/2011....................... 1,000,000 1,053,560 5.00%, 8/1/2012....................... 1,750,000 1,936,550 Series A 5.00%, 8/1/2012.............. 1,575,000 1,742,895 5.00%, 7/15/2013...................... 1,000,000 1,135,220 Series A 5.25%, 2/15/2013............. 6,210,000 7,023,883 Maryland, State Transportation Authority, Grant & Revenue Anticipation: 5.00%, 3/1/2012....................... 1,000,000 1,089,450 5.00%, 3/1/2013....................... 3,000,000 3,362,520 Montgomery County, MD, General Obligation: Series A 5.00%, 5/1/2011.............. 1,000,000 1,059,780 Series A 5.00%, 5/1/2012.............. 1,450,000 1,592,129 Series A 5.00%, 5/1/2013.............. 1,500,000 1,693,815 University System of Maryland Auxiliary Facility & Tuition Revenue Series A 5.00%, 4/1/2014.............. 1,400,000 1,595,412 ------------ 30,012,876 ------------ MASSACHUSETTS -- 2.8% Boston, MA, General Obligation Series A 5.00%, 1/1/2014.............. 1,935,000 2,215,478 Boston, MA, Water & Sewer Commission, Water Revenue Series B 5.00%, 11/1/2014............. 4,545,000 5,206,616 Massachusetts Bay Transportation Authority, Sales Tax Revenue Series B 5.00%, 7/1/2013.............. 1,000,000 1,124,980 Massachusetts, State General Obligation: Series C 5.00%, 9/1/2010.............. 1,000,000 1,030,560 Series C 5.00%, 9/1/2013.............. 1,000,000 1,129,270 Series A 5.00%, 9/1/2014.............. 1,500,000 1,718,340 Series A 5.25%, 1/1/2017.............. 1,000,000 1,045,950 Massachusetts, State Port Authority Revenue Series C 5.00%, 7/1/2012 (a).......... 1,000,000 1,096,160 Massachusetts, State School Building Authority, Sales Tax Revenue: Series A 3.50%, 8/15/2012 (a)......... 850,000 904,570 Series A 4.00%, 5/15/2013............. 1,975,000 2,151,683 Series A 5.00%, 8/15/2010............. 1,800,000 1,851,372 Series A 5.00%, 8/15/2013 (a)......... 3,220,000 3,642,239 Series A 5.00%, 8/15/2014 (a)......... 1,000,000 1,144,700 Springfield MA, General Obligation 5.75%, 8/1/2014 (a)................... 1,025,000 1,177,059 ------------ 25,438,977 ------------ MICHIGAN -- 0.7% Harrison Township, MI, L'Anse Creuse Public Schools, General Obligation 0.28%, 5/1/2035 (b)................... 1,300,000 1,300,000 Michigan, Municipal Bond Authority Revenue: 5.00%, 10/1/2011...................... 1,630,000 1,748,957 5.00%, 10/1/2012...................... 500,000 553,125 Michigan, State Building Authority Revenue Series I 5.00%, 10/15/2010 (a)........ 2,155,000 2,222,193 ------------ 5,824,275 ------------ MINNESOTA -- 2.4% Minneapolis, MN, Special School District No 1, Certificates of Participation Series A 4.50%, 2/1/2014 (a).......... 5,700,000 6,372,543 Minnesota, Public Facilities Authority, Water Pollution Control Revenue Series D 5.00%, 3/1/2014.............. 2,000,000 2,297,300 Minnesota, State General Obligation: 5.00%, 8/1/2010....................... 1,000,000 1,027,070 Series A 5.00%, 6/1/2011.............. 4,825,000 5,132,352 Series A 5.00%, 6/1/2012.............. 4,000,000 4,403,040 5.00%, 10/1/2012...................... 1,045,000 1,162,333 Northern Municipal Power Agency, Electric System Revenue Series A 5.00%, 1/1/2014 (a).......... 1,000,000 1,106,300 ------------ 21,500,938 ------------ MISSISSIPPI -- 0.8% Mississippi, State General Obligation Series B 5.00%, 12/1/2014............. 6,000,000 6,887,940 ------------ MISSOURI -- 1.2% Missouri, State Highways & Transportation Commission, State Road Revenue: Series A 5.00%, 5/1/2010.............. 750,000 761,393 Series A 5.00%, 5/1/2013.............. 1,335,000 1,504,238 Series A 5.00%, 5/1/2014.............. 7,350,000 8,372,311 ------------ 10,637,942 ------------ NEBRASKA -- 0.7% Nebraska, Public Power District Revenue: Series B 5.00%, 1/1/2012 (a).......... 1,250,000 1,344,488 Series B 5.00%, 6/1/2013 (a).......... 3,960,000 4,155,030 Omaha, NE, General Obligation 3.75%, 6/1/2013....................... 1,000,000 1,084,070 ------------ 6,583,588 ------------ NEVADA -- 1.5% Clark County, NV, Highway Improvement Revenue 5.00%, 7/1/2012 (a)................... 4,300,000 4,675,820 Clark County, NV, School District General Obligation Series B 4.00%, 6/15/2011............. 5,000,000 5,213,400
See accompanying notes to financial statements. 88 SPDR BARCLAYS CAPITAL SHORT TERM MUNICIPAL BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- Las Vegas Valley, NV, Water District Series B 5.00%, 6/1/2011.............. $ 1,500,000 $ 1,581,195 Nevada, State General Obligation Series A 5.00%, 2/1/2012.............. 1,460,000 1,573,048 ------------ 13,043,463 ------------ NEW JERSEY -- 1.9% Essex County, NJ Series A 5.00%, 6/1/2010 (a).......... 2,225,000 2,267,342 New Jersey, Economic Development Authority Revenue 5.00%, 9/1/2011 (a)................... 3,000,000 3,185,970 New Jersey, State Office of Public Finance 5.00%, 8/1/2014....................... 8,000,000 9,159,680 Union County, NJ, General Obligation 4.00%, 3/1/2013....................... 2,000,000 2,178,560 ------------ 16,791,552 ------------ NEW MEXICO -- 1.0% Albuquerque Bernalillo County, NM, Water Utility Authority, Water & Sewer System Revenue 5.00%, 7/1/2014 (a)................... 3,250,000 3,724,987 Albuquerque County, NM, Municipal School District, General Obligation Series A 4.00%, 8/1/2011.............. 925,000 974,950 New Mexico, State General Obligation: 5.00%, 3/1/2012....................... 3,000,000 3,268,350 5.00%, 3/1/2012....................... 500,000 544,725 ------------ 8,513,012 ------------ NEW YORK -- 16.8% New York, NY, City Cultural Resource Revenue, Juilliard Series B 2.75%, 1/1/2036 (b).......... 1,080,000 1,116,569 New York, NY, City Cultural Resource Revenue, Museum of Modern Art Series 1A 5.00%, 10/1/2010............ 1,000,000 1,032,860 New York, NY, City Municipal Water Finance Authority, Water & Sewer System Revenue: Series BB 5.00%, 6/15/2013............ 5,375,000 6,001,779 Series BB 5.00%, 6/15/2013............ 1,040,000 1,161,274 New York, NY, City Transitional Finance Authority Revenue: Series A-1 5.00%, 8/1/2012............ 6,000,000 6,613,740 Series A-1 5.00%, 11/1/2013........... 5,525,000 6,304,191 Series B 5.00%, 11/1/2013............. 1,000,000 1,137,010 Series S-2 5.00%, 1/15/2014 (a)....... 2,005,000 2,209,530 Series B 5.00%, 11/1/2014............. 10,200,000 11,659,518 New York, NY, General Obligation: Series C 4.00%, 4/15/2012............. 1,000,000 1,070,580 Series I-1 4.00%, 2/1/2013............ 1,040,000 1,115,431 Series C 4.00%, 8/1/2014.............. 4,000,000 4,318,560 Series G 5.00%, 8/1/2011.............. 7,025,000 7,486,472 Series C-1 5.00%, 10/1/2011........... 1,800,000 1,927,800 Series J-1 5.00%, 8/1/2012............ 5,000,000 5,456,650 Series K 5.00%, 8/1/2013.............. 5,000,000 5,570,900 Series O 5.00%, 6/1/2014.............. 4,250,000 4,765,652 Series B 5.25%, 8/1/2011.............. 1,000,000 1,069,590 New York, State Dormitory Authority Revenue Series A 4.13%, 7/1/2011.............. 1,475,000 1,553,381 New York, State Dormitory Authority, Personal Income Tax Revenue: Series D 3.00%, 6/15/2011............. 5,000,000 5,166,100 Series D 4.00%, 6/15/2011............. 5,000,000 5,237,750 Series C 5.00%, 3/15/2012............. 1,500,000 1,629,390 Series A 5.00%, 3/15/2014............. 3,980,000 4,486,734 New York, State Environmental Facilities Revenue: Series A 3.50%, 12/15/2013............ 2,500,000 2,709,650 Series A 5.00%, 12/15/2013............ 2,000,000 2,282,600 New York, State General Obligation Series C 3.00%, 2/1/2014.............. 15,000,000 15,836,250 New York, State Local Government Assistance Corp. Revenue: Series A 5.00%, 4/1/2011.............. 1,180,000 1,246,399 Series C 5.00%, 4/1/2013.............. 2,220,000 2,486,178 New York, State Thruway Authority Highway & Bridge Revenue Series B 5.00%, 4/1/2012 (a).......... 1,270,000 1,382,928 New York, State Thruway Authority Personal Income Tax Revenue: Series A 3.50%, 3/15/2014............. 2,330,000 2,481,427 Series A 4.00%, 3/15/2013............. 5,000,000 5,419,000 New York, State Thruway Authority, General Revenue: Series H 4.00%, 1/1/2012 (a).......... 1,000,000 1,048,940 Series A 5.25%, 4/1/2010 (a) (Escrow to Maturity).................. 2,000,000 2,023,780 Series F 5.25%, 1/1/2012 (a).......... 1,000,000 1,073,310 New York, State Thruway Authority, General Revenue, Bond Anticipation Notes: 3.00%, 7/15/2011...................... 1,000,000 1,030,190 4.00%, 7/15/2011...................... 1,500,000 1,567,935 New York, State Urban Development Corp. Revenue: Series A-1 3.00%, 12/15/2011.......... 4,625,000 4,824,291 Series A-1 3.50%, 12/15/2012.......... 1,000,000 1,070,480 4.00%, 3/15/2011...................... 550,000 568,959 Series A-1 5.00%, 12/15/2012.......... 6,580,000 7,328,870 5.00%, 1/1/2014 (a)................... 2,500,000 2,813,575 New York, Triborough Bridge & Tunnel Authority Revenue: Series C 4.00%, 11/15/2011............ 2,500,000 2,644,400 Series C 5.00%, 11/15/2012............ 1,500,000 1,661,460 ------------ 149,592,083 ------------ NORTH CAROLINA -- 4.0% Charlotte, NC, Certificates of Participation 5.00%, 6/1/2014....................... 5,455,000 6,195,571 Guilford County, NC, General Obligation Series A 4.00%, 2/1/2014.............. 6,005,000 6,653,119
See accompanying notes to financial statements. 89 SPDR BARCLAYS CAPITAL SHORT TERM MUNICIPAL BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- Mecklenburg County, NC, General Obligation: Series A 3.00%, 8/1/2014.............. $ 1,970,000 $ 2,108,136 Series C 5.00%, 2/1/2012.............. 1,000,000 1,089,270 North Carolina, Infrastructure Finance Corp., Certificates of Participation: Series A 5.00%, 2/1/2011 (a).......... 5,000,000 5,238,000 Series A 5.00%, 2/1/2014.............. 1,885,000 2,123,811 North Carolina, State Capital Improvement Obligation Series A 4.50%, 5/1/2014.............. 1,745,000 1,959,234 North Carolina, State General Obligation: Series A 5.00%, 3/1/2011.............. 1,000,000 1,053,800 Series B 5.00%, 4/1/2014.............. 1,000,000 1,152,440 Series A 5.50%, 3/1/2012.............. 5,000,000 5,511,850 Wake County, NC, General Obligation: 5.00%, 3/1/2012....................... 1,000,000 1,092,840 5.00%, 3/1/2013....................... 1,500,000 1,688,730 ------------ 35,866,801 ------------ OHIO -- 4.0% Cincinnati, OH, City School District Certificates Participation 5.00%, 12/15/2011 (a)................. 1,000,000 1,077,330 Columbus, OH, General Obligation Series D 5.00%, 12/15/2012............ 5,000,000 5,603,100 Ohio State University, General Receipts Revenue Series A 5.00%, 6/1/2013.............. 4,400,000 4,930,772 Ohio, State Building Authority Series B 5.00%, 10/1/2013 (a)......... 1,440,000 1,620,187 Ohio, State General Obligation: Series A 5.00%, 6/15/2010 (Escrow to Maturity).................. 1,000,000 1,020,820 Series K 5.00%, 5/1/2011.............. 2,000,000 2,116,000 Series K 5.00%, 5/1/2012.............. 1,000,000 1,091,470 Ohio, State Highway Capital Improvements 5.00%, 5/1/2014....................... 1,975,000 2,251,480 Ohio, State Major New Infrastructure Project Revenue Series 2008-1 5.00%, 6/15/2013........ 3,000,000 3,349,830 Ohio, State Major New Street Infrastructure Project Revenue Series 2007-1 5.00%, 6/15/2013 (a).... 4,960,000 5,563,235 Ohio, State Water Development Authority Revenue: Series A 4.00%, 12/1/2010............. 1,500,000 1,550,835 5.00%, 6/1/2012....................... 950,000 1,042,131 5.00%, 6/1/2013....................... 2,670,000 3,001,561 Ohio, State Water Development Authority, Water Quality -- Loan Fund 5.00%, 12/1/2011...................... 1,000,000 1,079,940 ------------ 35,298,691 ------------ OKLAHOMA -- 0.7% Tulsa County, OK, Industrial Authority, Educational Facilities Lease Revenue 4.00%, 9/1/2013....................... 5,410,000 5,860,815 ------------ OREGON -- 0.9% Oregon, State Department of Administrative Services Revenue Series A 3.00%, 4/1/2011.............. 1,000,000 1,028,250 Portland, OR, Sewer System Revenue Series A 5.00%, 6/15/2012 (a)......... 3,000,000 3,294,840 Salem-Keizer, OR, School District No. 24J, General Obligation 5.00%, 6/15/2013 (a).................. 3,000,000 3,370,230 ------------ 7,693,320 ------------ PENNSYLVANIA -- 2.5% Pennsylvania Intergovernmental Cooperative Authority, Special Tax Revenue 5.00%, 6/15/2014...................... 2,000,000 2,251,960 Pennsylvania State General Obligation: 4.75%, 9/1/2014....................... 1,600,000 1,823,536 5.00%, 3/1/2011....................... 1,300,000 1,368,705 5.00%, 10/1/2012...................... 5,000,000 5,544,150 5.00%, 5/15/2013...................... 3,000,000 3,375,150 5.00%, 3/15/2014...................... 2,720,000 3,112,442 5.25%, 2/1/2010 (a)................... 1,000,000 1,003,450 5.50%, 1/1/2013....................... 2,500,000 2,824,625 University of Pittsburgh, Revenue Series A 5.00%, 9/15/2011............. 1,000,000 1,073,410 ------------ 22,377,428 ------------ RHODE ISLAND -- 0.1% Rhode Island, State Economic Development Corp., Revenue Series A 5.00%, 6/15/2013 (a)......... 915,000 1,005,521 ------------ SOUTH CAROLINA -- 1.0% South Carolina State Public Service Authority, Revenue: Series D 5.00%, 1/1/2010 (a).......... 1,050,000 1,050,000 Series B 5.00%, 1/1/2011 (a).......... 2,515,000 2,627,722 Series B 5.00%, 1/1/2014 (a).......... 2,500,000 2,829,050 Series E 5.00%, 1/1/2014.............. 1,000,000 1,131,620 South Carolina, State General Obligation Series A 5.00%, 11/1/2013............. 1,120,000 1,280,664 ------------ 8,919,056 ------------ TENNESSEE -- 2.0% Nashville & Davidson County, TN, General Obligation: Series B 5.00%, 1/1/2012.............. 3,210,000 3,475,114 Series C 5.00%, 2/1/2013.............. 1,000,000 1,116,420 Series C 5.00%, 2/1/2014.............. 3,700,000 4,229,803 Tennessee State General Obligation Series C 2.50%, 5/1/2011.............. 1,365,000 1,401,405 Tennessee State School Bond Authority: 3.00%, 5/1/2012....................... 4,875,000 5,115,191 5.00%, 5/1/2013 (a)................... 1,900,000 2,137,538 ------------ 17,475,471 ------------
See accompanying notes to financial statements. 90 SPDR BARCLAYS CAPITAL SHORT TERM MUNICIPAL BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- TEXAS -- 6.8% Arlington, TX, Independent School District, General Obligation 5.00%, 2/15/2012 (a).................. $ 880,000 $ 957,889 Austin, TX, Electric Utility System Revenue Series A 5.00%, 11/15/2010 (a)........ 1,000,000 1,035,490 Dallas, TX, General Obligation: 5.00%, 2/15/2010...................... 1,500,000 1,507,680 5.00%, 2/15/2011...................... 710,000 745,507 El Paso, TX, Independent School District, General Obligation Zero Coupon, 8/15/2013 (a)............ 1,980,000 1,863,338 Fort Bend, TX, Independent School District, General Obligation 4.00%, 2/15/2013...................... 1,000,000 1,072,790 Fort Worth, TX, Independent School District, General Obligation: 5.00%, 2/15/2011 (a).................. 4,000,000 4,203,280 5.00%, 2/15/2012...................... 5,000,000 5,414,000 5.00%, 2/15/2013...................... 2,000,000 2,222,740 Garland, TX, Independent School District, General Obligation 5.00%, 2/15/2013 (a).................. 3,190,000 3,574,331 Harris County, TX, General Obligation Series A 5.00%, 10/1/2012............. 1,250,000 1,384,963 Houston, TX, General Obligation Series A 5.00%, 3/1/2013 (a).......... 2,500,000 2,779,875 Lamar, TX, Consolidated Independent School District, General Obligation 5.00%, 2/15/2013 (a).................. 4,535,000 5,087,272 Lewisville, TX, Independent School District, General Obligation 5.00%, 8/15/2013 (a).................. 1,000,000 1,131,890 Pharr, TX, San Juan Alamo Independent School District, General Obligation 5.00%, 2/1/2013 (a)................... 1,880,000 2,108,570 San Antonio, TX, Independent School District 5.25%, 8/15/2012 (a).................. 1,890,000 2,099,903 San Jacinto, TX Community College District, General Obligation 4.00%, 2/15/2012...................... 3,000,000 3,163,380 Texas, A&M University Revenue 5.00%, 5/15/2012...................... 3,000,000 3,286,350 Texas, State General Obligation 5.00%, 10/1/2012...................... 1,500,000 1,663,245 Texas, State Public Finance Authority Building Revenue 5.00%, 2/1/2014 (a)................... 1,605,000 1,818,465 Texas, State Public Finance Authority, General Obligation Series A 5.00%, 10/1/2011............. 1,000,000 1,074,600 Texas, State University System Financing Revenue: 5.00%, 3/15/2012...................... 1,000,000 1,087,400 5.00%, 3/15/2013 (a).................. 500,000 554,825 University of Texas, Permanent University Fund Series A 5.00%, 7/1/2012.............. 1,265,000 1,398,167 University of Texas, Revenue: Series A 3.25%, 8/15/2013............. 2,650,000 2,835,421 Series D 5.00%, 8/15/2010............. 2,000,000 2,056,960 Series A 5.00%, 8/15/2012............. 3,400,000 3,757,612 Series B 5.00%, 8/15/2012............. 1,000,000 1,105,180 ------------ 60,991,123 ------------ UTAH -- 0.6% Salt Lake City, UT, General Obligation 5.00%, 6/15/2013...................... 1,500,000 1,694,865 Utah, State General Obligation: Series A 5.00%, 7/1/2011.............. 1,975,000 2,106,120 Series A 5.00%, 7/1/2013.............. 1,150,000 1,303,824 ------------ 5,104,809 ------------ VIRGINIA -- 5.3% Fairfax County, VA, General Obligation Series A 4.00%, 4/1/2011.............. 750,000 783,540 Loudoun County, VA, General Obligation: Series B 5.00%, 6/1/2010.............. 1,100,000 1,121,153 Series B 5.00%, 6/1/2012.............. 1,000,000 1,103,030 Virginia, State College Building Authority Revenue: Series A 3.00%, 9/1/2010.............. 4,500,000 4,580,055 5.00%, 9/1/2011....................... 3,500,000 3,751,650 Virginia, State General Obligation Series A 5.00%, 6/1/2012.............. 1,000,000 1,100,760 Virginia, State Public Building Authority, Building Revenue Bonds: Series A 5.00%, 8/1/2010.............. 1,000,000 1,026,950 Series A 5.00%, 8/1/2012.............. 7,365,000 8,138,178 Series B 5.00%, 8/1/2013.............. 5,000,000 5,669,400 Virginia, State Public School Authority: Series B 5.00%, 8/1/2010.............. 4,445,000 4,564,793 Series B 5.00%, 8/1/2012.............. 1,000,000 1,104,980 Series C 5.00%, 8/1/2013.............. 8,570,000 9,717,351 Series B 5.00%, 8/1/2014.............. 2,025,000 2,323,343 Series B 5.25%, 8/1/2011.............. 1,000,000 1,071,220 Virginia, State Resources Authority Clean Water Revenue 4.50%, 10/1/2011...................... 1,200,000 1,281,996 ------------ 47,338,399 ------------ WASHINGTON -- 4.1% Energy Northwest Washington, Electricity Revenue: Series A 4.00%, 7/1/2014.............. 1,375,000 1,513,545 Series A 5.00%, 7/1/2012.............. 1,000,000 1,098,230 Series D 5.00%, 7/1/2012.............. 1,000,000 1,098,230 Series D 5.00%, 7/1/2012.............. 3,000,000 3,294,690 Port of Seattle, WA, Revenue Series A 5.00%, 3/1/2010 (a).......... 1,000,000 1,007,030 Seattle, WA, General Obligation 5.00%, 5/1/2013....................... 6,540,000 7,334,872
See accompanying notes to financial statements. 91 SPDR BARCLAYS CAPITAL SHORT TERM MUNICIPAL BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- Seattle, WA, Municipal Light & Power Revenue 5.00%, 4/1/2013....................... $ 3,000,000 $ 3,332,400 Washington, State General Obligation: Series D 4.50%, 1/1/2012 (a).......... 2,450,000 2,629,266 Series D 5.00%, 1/1/2011 (a).......... 1,500,000 1,566,615 Series C 5.00%, 7/1/2011.............. 3,000,000 3,194,550 Series R-2006A 5.00%, 7/1/2014 (a).... 1,000,000 1,142,880 Series R 5.00%, 1/1/2015.............. 8,500,000 9,734,795 ------------ 36,947,103 ------------ WISCONSIN -- 0.8% Wisconsin, State General Obligation: Series C 4.00%, 5/1/2013.............. 5,000,000 5,430,350 Series 1 5.00%, 5/1/2013 (a).......... 1,500,000 1,677,630 ------------ 7,107,980 ------------ TOTAL MUNICIPAL BONDS AND NOTES -- (Cost $861,854,435)................... 878,094,915 ------------ SHARES ------ SHORT TERM INVESTMENTS -- 0.6% MONEY MARKET FUND -- 0.6% State Street Institutional Tax Free Money Market Fund (c)(d) (Cost $5,072,984)..................... 5,072,984 5,072,984 ------------ TOTAL INVESTMENTS -- 99.0% (E) (Cost $866,927,419)................... 883,167,899 OTHER ASSETS AND LIABILITIES -- 1.0%................... 8,877,676 ------------ NET ASSETS -- 100.0%.................... $892,045,575 ============
(a) Bond is insured by one of these companies:
AS A % OF INSURANCE COVERAGE NET ASSETS ------------------ ---------- Assured Guaranty Municipal Corp.................... 9.17% National Public Finance Guarantee Corp............. 5.08% Ambac Financial Group.............................. 3.94% Public School Fund Guaranteed...................... 2.36% (b) Variable-rate security. Rate shown is rate in effect at December 31, 2009. (c) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (d) Value is determined based on Level 1 inputs. (Note 2) (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs. (Note 2)
Escrow to Maturity = Bonds bearing this description are collateralized usually by the U.S. Treasury securities which are held in escrow and used to pay principal and interest on bonds so designated. See accompanying notes to financial statements. 92 SPDR S&P VRDO MUNICIPAL BOND ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- MUNICIPAL BONDS AND NOTES -- 95.9% (A) ARIZONA -- 2.0% Apache County, AZ, Industrial Development Authority Revenue 0.30%, 12/15/2018..................... $300,000 $ 300,000 ----------- CALIFORNIA -- 18.1% Azusa, CA, Unified School District, Certificates of Participation 1.00%, 6/1/2038 (b)................... 200,000 200,000 California, Economic Recovery, General Obligation Series C-15 0.29%, 7/1/2023 (b)....... 706,000 706,000 California, Health Facilities Financing Authority Revenue Series B 0.35%, 11/15/2036 (b)........ 200,000 200,000 California, State Department of Water Resources Supply Revenue Series G-7 0.23%, 5/1/2017 (b)........ 200,000 200,000 Roseville, CA, Electric System Revenue, Certificates of Participation Series A 0.30%, 2/1/2035.............. 200,000 200,000 San Jacinto, CA, Unified School District, Certificates of Participation: Series A 1.00%, 3/1/2040 (b).......... 365,000 365,000 Series B 1.00%, 3/1/2040 (b).......... 150,000 150,000 Southern California, Public Power Authority, Transmissions Project Revenue Series A 0.34%, 7/1/2023 (b).......... 700,000 700,000 ----------- 2,721,000 ----------- CONNECTICUT -- 1.3% Hartford, CT, Redevelopment Agency Revenue 0.37%, 6/1/2020 (b)................... 200,000 200,000 ----------- DISTRICT OF COLUMBIA -- 3.3% Metropolitan Washington DC, Airport Authority System Revenue Series A-1 0.45%, 10/1/2039........... 500,000 500,000 ----------- FLORIDA -- 2.0% University of South Florida, Certificates of Participation Series A 0.45%, 10/1/2022............. 300,000 300,000 ----------- GEORGIA -- 4.0% Georgia, Municipal Electric Authority Revenue Series B 0.38%, 1/1/2016 (b).......... 600,000 600,000 ----------- ILLINOIS -- 10.3% Chicago, IL, Board of Education, General Obligation Series B 0.40%, 3/1/2032 (b).......... 730,000 730,000 Illinois, State Toll Highway Authority Revenue Series A 0.30%, 7/1/2030.............. 700,000 700,000 University of Illinois, Certificates of Participation 0.29%, 8/15/2021...................... 118,000 118,000 ----------- 1,548,000 ----------- MARYLAND -- 2.3% Maryland, State Economic Development Corp. Revenue Series B 0.30%, 12/1/2025............. 350,000 350,000 ----------- MASSACHUSETTS -- 6.7% Massachusetts, State General Obligation Series B 0.29%, 1/1/2021.............. 500,000 500,000 Massachusetts, State Housing Finance Agency, Housing Revenue Series F 0.38%, 12/1/2037 (b)......... 500,000 500,000 ----------- 1,000,000 ----------- NEW HAMPSHIRE -- 0.7% New Hampshire, Health & Education Facilities Authority Revenue Series A 0.33%, 8/1/2031 (b).......... 100,000 100,000 ----------- NEW JERSEY -- 2.7% New Jersey, Economic Development Authority Revenue Series V-2 0.35%, 3/1/2024............ 100,000 100,000 New Jersey, Health Care Facilities Financing Authority Revenue Series A 0.30%, 7/1/2035.............. 300,000 300,000 ----------- 400,000 ----------- NEW YORK -- 10.0% New York, Metropolitan Transportation Authority Revenue Series B 0.34%, 11/1/2022 (b)......... 100,000 100,000 New York, NY, City Municipal Water Finance Authority Revenue Series F-2 0.22%, 6/15/2033........... 500,000 500,000 New York, NY, City Transitional Finance Authority Revenue 0.26%, 11/1/2022...................... 200,000 200,000 New York, NY, General Obligation Series I-4 0.20%, 4/1/2036............ 200,000 200,000 New York, NY, Triborough Bridge & Tunnel Authority Revenue Series A 0.33%, 11/1/2035............. 500,000 500,000 ----------- 1,500,000 ----------- NORTH CAROLINA -- 6.7% Charlotte, NC, Health Care Systems Revenue Series F 0.40%, 1/15/2042 (b)......... 500,000 500,000 Durham County, NC, Industrial Facilities & Pollution Control Financing Authority Revenue 0.34%, 9/1/2037....................... 200,000 200,000 North Carolina, State General Obligation Series D 0.28%, 5/1/2021.............. 300,000 300,000 ----------- 1,000,000 ----------- OHIO -- 12.0% Hancock County, OH, Hospital Revenue 0.50%, 12/1/2034 (b).................. 700,000 700,000 Montgomery County, OH, Kettering Medical Center Hospital Revenue Series B 0.30%, 8/1/2047 (b).......... 200,000 200,000
See accompanying notes to financial statements. 93 SPDR S&P VRDO MUNICIPAL BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- Montgomery County, OH, Hospital Revenue Series A 0.30%, 8/1/2047 (b).......... $500,000 $ 500,000 Ohio, State Air Quality Development Authority Revenue 0.40%, 6/1/2033....................... 200,000 200,000 Ohio, University of Akron, General Receipts Series C-2 0.36%, 1/1/2029 (b)........ 200,000 200,000 ----------- 1,800,000 ----------- PENNSYLVANIA -- 2.5% Bucks County, PA, St. Mary Hospital Authority Revenue Series B 0.32%, 3/1/2032.............. 200,000 200,000 Lackawanna County, PA, General Obligation Series B 0.41%, 9/1/2035 (b).......... 175,000 175,000 ----------- 375,000 ----------- TENNESSEE -- 7.3% Johnson City, TN, Health & Educational Facilities Board, Hospital Revenue Series A 0.90%, 7/1/2038.............. 500,000 500,000 Montgomery County, TN, Public Building Authority, Pooled Financing Revenue 0.25%, 11/1/2027...................... 200,000 200,000 Shelby County, TN, General Obligation Series C 0.30%, 12/1/2031............. 400,000 400,000 ----------- 1,100,000 ----------- VIRGINIA -- 0.7% Smyth County, VA, Industrial Development Authority, Hospital Revenue 0.90%, 7/1/2032....................... 100,000 100,000 ----------- WASHINGTON -- 3.3% Washington, State Health Care Facilities Authority Revenue Series A 0.33%, 9/1/2034.............. 500,000 500,000 ----------- TOTAL MUNICIPAL BONDS AND NOTES -- (Cost $14,394,000).................... 14,394,000 ----------- SHARES ------ SHORT TERM INVESTMENTS -- 0.4% MONEY MARKET FUND -- 0.4% State Street Institutional Tax Free Money Market Fund (c)(d) (Cost $58,873)........................ 58,873 58,873 ----------- TOTAL INVESTMENTS -- 96.3% (E) (Cost $14,452,873).................... 14,452,873 OTHER ASSETS AND LIABILITIES -- 3.7%.... 550,667 ----------- NET ASSETS -- 100.0%.................... $15,003,540 ===========
(a) Variable Rate Security. Rate shown is rate in effect at December 31, 2009. (b) Bond is insured by the following company:
AS A % OF INSURANCE COVERAGE NET ASSETS ------------------ ---------- Assured Guaranty Municipal Corp.................... 46.83% (c) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (d) Value is determined based on Level 1 inputs. (Note 2) (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs. (Note 2)
See accompanying notes to financial statements. 94 SPDR DB INTERNATIONAL GOVERNMENT INFLATION-PROTECTED BOND ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- FOREIGN GOVERNMENT OBLIGATIONS -- 99.5% AUSTRALIA -- 3.2% Commonwealth of Australia 3.00%, 9/20/2025...................... 9,293,840 $ 8,406,007 4.00%, 8/20/2015...................... 5,760,450 5,465,548 4.00%, 8/20/2020...................... 19,764,548 19,407,230 -------------- 33,278,785 -------------- BRAZIL -- 4.9% Federal Republic of Brazil 6.00%, 8/15/2012...................... 5,296,263 3,001,127 6.00%, 5/15/2015...................... 2,108,058 1,173,596 6.00%, 5/15/2017...................... 55,538,932 30,723,483 6.00%, 8/15/2024...................... 21,397,912 11,861,686 6.00%, 5/15/2035...................... 7,122,624 3,899,781 -------------- 50,659,673 -------------- CANADA -- 4.9% Government of Canada 2.00%, 12/1/2041...................... 1,607,471 1,720,110 3.00%, 12/1/2036...................... 6,571,842 8,304,650 4.00%, 12/1/2031...................... 22,015,726 30,761,324 4.25%, 12/1/2021...................... 2,441,858 3,061,458 4.25%, 12/1/2026...................... 5,111,254 6,840,699 -------------- 50,688,241 -------------- CHILE -- 3.5% Republic of Chile 3.00%, 5/1/2017....................... 1,591,658,880 3,104,418 3.00%, 1/1/2018....................... 14,136,444,000 27,513,868 3.00%, 3/1/2028....................... 2,450,316,960 4,436,131 5.00%, 1/1/2016....................... 502,629,120 1,092,042 -------------- 36,146,459 -------------- FRANCE -- 18.0% Republic of France 1.00%, 7/25/2017...................... 38,824,734 55,770,595 1.60%, 7/25/2011...................... 4,200,106 6,220,138 1.60%, 7/25/2015...................... 22,656,967 34,093,407 1.80%, 7/25/2040...................... 2,746,926 4,074,360 2.25%, 7/25/2020...................... 38,819,075 60,335,077 2.50%, 7/25/2013...................... 5,174,631 8,068,726 3.00%, 7/25/2012...................... 4,082,937 6,328,973 3.15%, 7/25/2032...................... 5,005,830 9,137,080 3.40%, 7/25/2029...................... 1,604,162 2,970,635 -------------- 186,998,991 -------------- GERMANY -- 5.6% Federal Republic of Germany 1.50%, 4/15/2016...................... 25,120,519 37,472,493 1.75%, 4/15/2020...................... 4,754,967 7,087,568 2.25%, 4/15/2013...................... 9,156,792 13,929,902 -------------- 58,489,963 -------------- GREECE -- 3.4% Republic of Greece 2.30%, 7/25/2030...................... 16,391,819 16,599,108 2.90%, 7/25/2025...................... 15,534,155 18,652,504 -------------- 35,251,612 -------------- ISRAEL -- 4.7% State of Israel 4.00%, 7/30/2021...................... 73,560,542 21,692,442 4.00%, 5/30/2036...................... 9,549,249 2,800,957 5.00%, 4/30/2015...................... 81,293,861 24,984,215 -------------- 49,477,614 -------------- ITALY -- 4.8% Republic of Italy 2.15%, 9/15/2014...................... 12,125,297 18,362,278 2.35%, 9/15/2035...................... 3,324,912 5,054,254 2.60%, 9/15/2023...................... 17,409,440 26,516,833 -------------- 49,933,365 -------------- JAPAN -- 4.7% Government of Japan 10 Year Bond 1.00%, 6/10/2016...................... 295,176,000 3,039,113 1.10%, 12/10/2016..................... 4,454,197,200 46,147,196 -------------- 49,186,309 -------------- MEXICO -- 4.9% United Mexican States 3.50%, 12/19/2013..................... 60,290,689 4,857,480 4.50%, 11/22/2035..................... 147,539,603 12,137,367 5.00%, 6/16/2016...................... 387,406,663 33,570,410 -------------- 50,565,257 -------------- POLAND -- 2.6% Republic of Poland 3.00%, 8/24/2016...................... 81,555,802 27,165,318 -------------- SOUTH AFRICA -- 3.8% Republic of South Africa 3.45%, 12/7/2033...................... 108,188,921 15,581,635 6.25%, 3/31/2013...................... 158,881,350 24,325,265 -------------- 39,906,900 -------------- SOUTH KOREA -- 2.5% Republic of South Korea 2.75%, 3/10/2017...................... 30,406,203,050 25,829,448 -------------- SWEDEN -- 4.8% Kingdom of Sweden 3.50%, 12/1/2015...................... 52,178,614 8,327,763 3.50%, 12/1/2028...................... 17,510,391 3,211,227 4.00%, 12/1/2020...................... 219,837,550 38,593,413 -------------- 50,132,403 -------------- TURKEY -- 4.4% Republic of Turkey 9.00%, 5/21/2014...................... 38,809,640 30,230,586 10.00%, 2/15/2012..................... 20,956,371 15,568,908 -------------- 45,799,494 -------------- UNITED KINGDOM -- 18.8% United Kingdom Treasury Bond 0.63%, 11/22/2042..................... 660,745 1,078,607 0.75%, 11/22/2047..................... 914,778 1,592,688 1.13%, 11/22/2037..................... 2,776,566 4,979,088 1.25%, 11/22/2017..................... 5,995,771 10,029,857 1.25%, 11/22/2027..................... 55,444,678 93,686,503 1.25%, 11/22/2055..................... 2,910,409 6,189,729 1.88%, 11/22/2022..................... 24,547,958 43,598,864
See accompanying notes to financial statements. 95 SPDR DB INTERNATIONAL GOVERNMENT INFLATION-PROTECTED BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- 2.00%, 1/26/2035...................... 1,691,612 $ 3,517,672 2.50%, 8/23/2011...................... 257,626 440,646 2.50%, 8/16/2013...................... 7,246,386 12,722,959 2.50%, 7/26/2016...................... 3,571,768 6,421,766 2.50%, 4/16/2020...................... 1,796,018 3,286,939 4.13%, 7/22/2030...................... 3,314,074 8,499,544 -------------- 196,044,862 -------------- TOTAL FOREIGN GOVERNMENT OBLIGATIONS -- (Cost $1,020,671,045)................. 1,035,554,694 -------------- SHARES ------ SHORT TERM INVESTMENTS -- 0.4% MONEY MARKET FUND -- 0.4% State Street Institutional Liquid Reserves Fund (a)(b) (Cost $3,940,822)..................... 3,940,822 3,940,822 -------------- TOTAL INVESTMENTS -- 99.9% (C) (Cost $1,024,611,867)................. 1,039,495,516 OTHER ASSETS AND LIABILITIES -- 0.1%................... 1,217,447 -------------- NET ASSETS -- 100.0%.................... $1,040,712,963 ==============
(a) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (b) Value is determined based on Level 1 inputs. (Note 2) (c) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs. (Note 2)
See accompanying notes to financial statements. 96 SPDR BARCLAYS CAPITAL SHORT TERM INTERNATIONAL TREASURY BOND ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- FOREIGN GOVERNMENT OBLIGATIONS -- 95.7% AUSTRALIA -- 2.1% Commonwealth of Australia 5.75%, 6/15/2011...................... 3,155,000 $ 2,890,226 ------------ AUSTRIA -- 2.3% Republic of Austria 5.00%, 7/15/2012 (a).................. 590,000 912,817 5.25%, 1/4/2011....................... 1,530,000 2,288,021 ------------ 3,200,838 ------------ BELGIUM -- 3.3% Kingdom of Belgium 2.00%, 3/28/2012...................... 2,300,000 3,331,107 5.00%, 9/28/2011...................... 755,000 1,149,835 ------------ 4,480,942 ------------ CANADA -- 4.2% Government of Canada 5.25%, 6/1/2012....................... 1,180,000 1,217,527 6.00%, 6/1/2011....................... 4,435,000 4,520,455 ------------ 5,737,982 ------------ DENMARK -- 2.0% Kingdom of Denmark 4.00%, 11/15/2012..................... 6,810,000 1,378,042 6.00%, 11/15/2011..................... 6,839,000 1,421,634 ------------ 2,799,676 ------------ FRANCE -- 4.3% Republic of France 5.00%, 4/25/2012...................... 1,760,000 2,723,762 6.50%, 4/25/2011...................... 2,090,000 3,212,398 ------------ 5,936,160 ------------ GERMANY -- 11.4% Federal Republic of Germany 4.00%, 4/13/2012...................... 3,390,000 5,142,301 5.00%, 7/4/2011....................... 4,575,000 6,942,719 5.00%, 7/4/2012....................... 2,335,000 3,630,110 ------------ 15,715,130 ------------ GREECE -- 3.8% Republic of Greece 3.80%, 3/20/2011...................... 1,500,000 2,151,263 4.30%, 3/20/2012...................... 2,090,000 2,994,907 ------------ 5,146,170 ------------ HUNGARY -- 1.7% Republic of Hungary 6.75%, 4/22/2011...................... 448,430,000 2,380,914 ------------ ITALY -- 11.1% Republic of Italy 3.00%, 3/1/2012....................... 2,275,000 3,344,967 4.25%, 10/15/2012..................... 3,445,000 5,216,833 5.25%, 8/1/2011....................... 4,375,000 6,641,157 ------------ 15,202,957 ------------ JAPAN -- 22.3% Government of Japan 5 Year Bond 0.80%, 12/20/2010..................... 524,100,000 5,670,673 1.10%, 9/20/2012...................... 216,000,000 2,377,269 1.20%, 9/20/2011...................... 1,433,750,000 15,674,378 1.50%, 6/20/2012...................... 590,100,000 6,542,291 Government of Japan 10 Year Bond 1.30%, 6/20/2012...................... 32,800,000 361,920 ------------ 30,626,531 ------------ MEXICO -- 2.4% United Mexican States 7.50%, 6/21/2012...................... 7,720,000 607,727 9.00%, 12/22/2011..................... 32,800,000 2,672,659 ------------ 3,280,386 ------------ NETHERLANDS -- 3.9% Kingdom of the Netherlands 5.00%, 7/15/2011...................... 3,235,000 4,910,801 5.00%, 7/15/2012...................... 300,000 465,926 ------------ 5,376,727 ------------ POLAND -- 2.3% Republic of Poland 4.75%, 4/25/2012...................... 9,230,000 3,203,662 ------------ SINGAPORE -- 1.7% Government of Singapore 3.63%, 7/1/2011....................... 3,115,000 2,319,839 ------------ SOUTH AFRICA -- 1.5% Republic of South Africa 13.00%, 8/31/2011..................... 14,060,000 2,067,633 ------------ SOUTH KOREA -- 4.4% Korea Treasury Bond 4.75%, 12/10/2011..................... 7,000,000,000 6,054,219 ------------ SPAIN -- 4.4% Kingdom of Spain 2.75%, 4/30/2012...................... 930,000 1,361,003 5.00%, 7/30/2012...................... 1,515,000 2,336,451 5.35%, 10/31/2011..................... 1,565,000 2,397,170 ------------ 6,094,624 ------------ SWEDEN -- 1.9% Kingdom of Sweden 5.25%, 3/15/2011...................... 15,220,000 2,253,701 5.50%, 10/8/2012...................... 2,260,000 348,377 ------------ 2,602,078 ------------ UNITED KINGDOM -- 4.7% United Kingdom Treasury Bond 4.25%, 3/7/2011....................... 1,350,000 2,267,466 5.00%, 3/7/2012....................... 2,375,000 4,115,700 ------------ 6,383,166 ------------ TOTAL FOREIGN GOVERNMENT OBLIGATIONS -- (Cost $134,154,412)................... 131,499,860 ------------
See accompanying notes to financial statements. 97 SPDR BARCLAYS CAPITAL SHORT TERM INTERNATIONAL TREASURY BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- SHORT TERM INVESTMENTS -- 1.0% MONEY MARKET FUND -- 1.0% State Street Institutional Liquid Reserves Fund (b)(c) (Cost $1,430,513)..................... 1,430,513 $ 1,430,513 ------------ TOTAL INVESTMENTS -- 96.7% (D) (Cost $135,584,925)................... 132,930,373 OTHER ASSETS AND LIABILITIES -- 3.3%................... 4,509,304 ------------ NET ASSETS -- 100.0%.................... $137,439,677 ============
(a) Security purchased pursuant to Rule 144A of the Securities Act of 1933. This security, which represents 0.7% of net assets as of December 31, 2009, is considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. (b) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (c) Value is determined based on Level 1 inputs. (Note 2) (d) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs. (Note 2)
At December 31, 2009, Open Forward Foreign Currency Exchange Contracts were as follows: Forwards Foreign Currency Contracts to Buy:
NET UNREALIZED CONTRACTS TO VALUE AT IN EXCHANGE APPRECIATION/ SETTLEMENT DATE DELIVER DECEMBER 31, 2009 FOR U.S. $ (DEPRECIATION) - --------------- ------------ ----------------- ----------- -------------- 3/5/2010 2,725,000 KRW $2,348,176 $2,355,832 $ (7,656) 3/5/2010 1,600,000 SGD 1,138,831 1,155,877 (17,046) 3/5/2010 94,700,000 TWD 3,012,566 2,973,743 38,823 -------- $ 14,121 ========
Forwards Foreign Currency Contracts to Sell:
NET UNREALIZED CONTRACTS TO VALUE AT IN EXCHANGE APPRECIATION/ SETTLEMENT DATE DELIVER DECEMBER 31, 2009 FOR U.S. $ (DEPRECIATION) - --------------- ------------ ----------------- ----------- -------------- 3/5/2010 2,100,000 KRW $1,809,604 $1,817,710 $ 8,106 3/5/2010 1,050,000 SGD 747,357 759,834 12,477 ------- $20,583 ======= $34,704 =======
KRW -- South Korean Won SGD -- Singapore Dollar TWD -- Taiwan Dollar See accompanying notes to financial statements. 98 SPDR BARCLAYS CAPITAL INTERNATIONAL TREASURY BOND ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- FOREIGN GOVERNMENT OBLIGATIONS -- 97.7% AUSTRALIA -- 2.7% Commonwealth of Australia 5.25%, 3/15/2019...................... 700,000 $ 611,389 5.75%, 6/15/2011...................... 6,400,000 5,862,899 6.00%, 2/15/2017...................... 25,065,000 23,164,151 6.50%, 5/15/2013...................... 10,570,000 9,939,991 -------------- 39,578,430 -------------- AUSTRIA -- 3.6% Republic of Austria 3.80%, 10/20/2013 (a)................. 14,050,000 21,145,776 4.65%, 1/15/2018...................... 13,835,000 21,393,071 6.25%, 7/15/2027...................... 6,565,000 11,538,054 -------------- 54,076,901 -------------- BELGIUM -- 4.7% Kingdom of Belgium 4.00%, 3/28/2019...................... 4,120,000 6,038,079 5.00%, 9/28/2012...................... 18,245,000 28,391,047 5.00%, 3/28/2035...................... 4,875,000 7,514,645 5.50%, 9/28/2017...................... 16,935,000 27,690,617 -------------- 69,634,388 -------------- CANADA -- 4.5% Government of Canada 2.75%, 12/1/2010...................... 7,675,000 7,459,469 3.75%, 6/1/2019....................... 1,300,000 1,253,684 4.00%, 6/1/2016....................... 24,520,000 24,600,693 5.00%, 6/1/2037....................... 7,300,000 8,011,303 5.25%, 6/1/2012....................... 14,340,000 14,796,046 5.75%, 6/1/2029....................... 9,360,000 10,768,888 -------------- 66,890,083 -------------- DENMARK -- 2.7% Kingdom of Denmark 4.00%, 11/15/2017..................... 27,005,000 5,401,411 4.00%, 11/15/2019..................... 16,000,000 3,161,150 4.50%, 11/15/2039..................... 42,660,000 8,558,347 5.00%, 11/15/2013..................... 111,820,000 23,500,106 -------------- 40,621,014 -------------- FRANCE -- 4.5% Republic of France 3.75%, 10/25/2019..................... 15,400,000 22,282,767 4.00%, 4/25/2013...................... 3,390,000 5,169,295 5.00%, 4/25/2012...................... 14,680,000 22,718,651 5.75%, 10/25/2032..................... 9,655,000 16,855,586 -------------- 67,026,299 -------------- GERMANY -- 10.3% Federal Republic of Germany 4.00%, 1/4/2037....................... 9,145,000 12,778,590 4.25%, 7/4/2017....................... 39,290,000 60,684,258 4.50%, 1/4/2013....................... 10,585,000 16,361,367 5.25%, 1/4/2011....................... 29,255,000 43,816,644 5.63%, 1/4/2028....................... 11,950,000 20,331,010 -------------- 153,971,869 -------------- GREECE -- 4.2% Republic of Greece 3.70%, 7/20/2015...................... 18,160,000 24,184,812 4.30%, 3/20/2012...................... 14,950,000 21,422,901 4.30%, 7/20/2017...................... 12,175,000 16,229,933 4.50%, 9/20/2037...................... 300,000 328,366 -------------- 62,166,012 -------------- ITALY -- 11.5% Republic of Italy 3.75%, 2/1/2011....................... 29,085,000 42,880,163 4.00%, 2/1/2037....................... 19,680,000 25,105,916 4.75%, 2/1/2013....................... 8,715,000 13,413,117 5.25%, 8/1/2017....................... 38,035,000 60,903,062 6.50%, 11/1/2027...................... 16,705,000 29,238,891 -------------- 171,541,149 -------------- JAPAN -- 22.3% Government of Japan 5 Year Bond 1.50%, 3/20/2011...................... 4,102,700,000 44,791,198 Government of Japan 10 Year Bond 1.30%, 6/20/2012...................... 5,977,600,000 65,957,659 1.50%, 9/20/2014...................... 5,678,400,000 63,938,192 1.70%, 12/20/2016..................... 3,255,600,000 37,142,201 Government of Japan 20 Year Bond 1.90%, 3/20/2029...................... 939,700,000 9,842,821 2.30%, 6/20/2027...................... 3,102,200,000 34,988,264 2.60%, 3/20/2019...................... 2,148,800,000 26,009,840 2.90%, 9/20/2019...................... 2,840,200,000 35,083,174 Government of Japan 30 Year Bond 2.40%, 3/20/2037...................... 1,281,750,000 14,200,460 -------------- 331,953,809 -------------- MEXICO -- 2.8% United Mexican States 7.25%, 12/15/2016..................... 135,650,000 10,219,208 9.00%, 12/20/2012..................... 231,950,000 18,816,600 10.00%, 12/5/2024..................... 136,280,000 11,961,270 -------------- 40,997,078 -------------- NETHERLANDS -- 4.3% Kingdom of the Netherlands 3.75%, 7/15/2014...................... 12,460,000 18,847,335 4.00%, 7/15/2018...................... 685,000 1,023,983 4.00%, 1/15/2037...................... 760,000 1,050,827 4.50%, 7/15/2017...................... 12,360,000 19,200,591 5.00%, 7/15/2011...................... 13,280,000 20,159,331 5.50%, 1/15/2028...................... 2,225,000 3,712,281 -------------- 63,994,348 -------------- POLAND -- 2.8% Republic of Poland 4.25%, 5/24/2011...................... 49,160,000 17,095,095 4.75%, 4/25/2012...................... 11,605,000 4,028,006 5.25%, 10/25/2017..................... 15,000,000 4,956,138 5.75%, 9/23/2022...................... 8,840,000 2,936,467 6.25%, 10/24/2015..................... 36,020,000 12,750,868 -------------- 41,766,574 -------------- SOUTH AFRICA -- 2.5% Republic of South Africa 7.25%, 1/15/2020...................... 43,105,000 5,133,304 10.50%, 12/21/2026 (b)................ 69,315,000 10,593,017
See accompanying notes to financial statements. 99 SPDR BARCLAYS CAPITAL INTERNATIONAL TREASURY BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- 13.50%, 9/15/2015..................... 130,935,000 $ 21,816,247 -------------- 37,542,568 -------------- SPAIN -- 4.4% Kingdom of Spain 3.15%, 1/31/2016...................... 18,120,000 25,848,686 4.20%, 1/31/2037...................... 6,675,000 8,784,936 4.60%, 7/30/2019...................... 13,300,000 20,031,233 6.15%, 1/31/2013...................... 6,600,000 10,539,380 -------------- 65,204,235 -------------- SWEDEN -- 2.6% Kingdom of Sweden 3.75%, 8/12/2017...................... 117,535,000 17,111,638 4.25%, 3/12/2019...................... 52,900,000 7,959,635 5.50%, 10/8/2012...................... 90,675,000 13,977,470 -------------- 39,048,743 -------------- TAIWAN -- 2.7% Government of Taiwan 0.25%, 10/21/2011..................... 250,000,000 7,800,094 1.38%, 9/9/2019....................... 350,000,000 10,813,769 2.00%, 7/20/2014...................... 375,000,000 12,292,555 2.13%, 8/13/2029...................... 250,000,000 7,816,203 2.38%, 9/21/2017...................... 50,000,000 1,686,404 -------------- 40,409,025 -------------- UNITED KINGDOM -- 4.6% United Kingdom Treasury Bond 4.25%, 3/7/2011....................... 5,135,000 8,624,768 4.50%, 3/7/2019....................... 1,600,000 2,667,989 4.75%, 9/7/2015....................... 8,560,000 14,994,476 4.75%, 12/7/2038...................... 9,902,000 16,848,909 5.00%, 3/7/2012....................... 3,750,000 6,498,475 5.00%, 3/7/2025....................... 10,995,000 18,839,576 -------------- 68,474,193 -------------- TOTAL FOREIGN GOVERNMENT OBLIGATIONS -- (Cost $1,406,540,297)................. 1,454,896,718 -------------- SHARES ------ SHORT TERM INVESTMENTS -- 1.2% MONEY MARKET FUNDS -- 1.2% State Street Institutional Liquid Reserves Fund (c)..................... 14,147,853 14,147,853 State Street Navigator Securities Lending Prime Portfolio (c)(d)........ 2,801,235 2,801,235 -------------- TOTAL SHORT TERM INVESTMENTS -- (E) (Cost $16,949,088).................... 16,949,088 -------------- TOTAL INVESTMENTS -- 98.9% (F) (Cost $1,423,489,385)................. 1,471,845,806 OTHER ASSETS AND LIABILITIES -- 1.1%................... 16,732,051 -------------- NET ASSETS -- 100.0%.................... $1,488,577,857 ==============
(a) Security purchased pursuant to Rule 144A of the Securities Act of 1933. This security, which represents 1.4% of net assets as of December 31, 2009, is considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. (b) Security, or portion thereof, was on loan at December 31, 2009. (c) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (d) Investments of cash collateral for securities loaned. (e) Value is determined based on Level 1 inputs. (Note 2) (f) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs. ( Note 2)
At December 31, 2009, Open Forward Foreign Currency Exchange Contracts were as follows: Forwards Foreign Currency Conracts to Buy:
NET UNREALIZED CONTRACTS TO VALUE AT IN EXCHANGE APPRECIATION/ SETTLEMENT DATE DELIVER DECEMBER 31, 2009 FOR U.S. $ (DEPRECIATION) - --------------- ------------ ----------------- ----------- -------------- 3/5/2010 200,000 AUD $ 178,776 $ 183,466 $ (4,690) 3/5/2010 1,500,000 EUR 2,151,884 2,258,950 (107,066) 3/5/2010 30,000,000 JPY 322,355 342,314 (19,959) 3/5/2010 161,700,000 TWD 5,143,948 5,071,093 72,855 --------- $ (58,860) =========
Forwards Foreign Currency Conracts to Sell:
NET UNREALIZED CONTRACTS TO VALUE AT IN EXCHANGE APPRECIATION/ SETTLEMENT DATE DELIVER DECEMBER 31, 2009 FOR U.S. $ (DEPRECIATION) - --------------- ------------ ----------------- ----------- -------------- 3/5/2010 30,000,000 JPY $322,355 $346,460 $ 24,105 -------- $(34,755) ========
See accompanying notes to financial statements. 100 SPDR BARCLAYS CAPITAL INTERNATIONAL TREASURY BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - -------------------------------------------------------------------------------- AUD -- Australian Dollar EUR -- Euro Currency JPY -- Japanese Yen TWD -- Taiwan Dollar See accompanying notes to financial statements. 101 SPDR BARCLAYS CAPITAL HIGH YIELD BOND ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- CORPORATE BONDS & NOTES -- 98.3% AEROSPACE & DEFENSE -- 0.5% BE Aerospace, Inc. 8.50%, 7/1/2018....................... $ 16,827,000 $ 17,836,620 -------------- AIRLINES -- 1.1% Delta Air Lines, Inc. 9.50%, 9/15/2014 (a).................. 18,360,000 19,071,450 United Air Lines, Inc. 9.75%, 1/15/2017 (b).................. 17,000,000 17,340,000 -------------- 36,411,450 -------------- AUTO COMPONENTS -- 0.8% The Goodyear Tire & Rubber Co. 10.50%, 5/15/2016..................... 24,914,000 27,529,970 -------------- AUTOMOBILES -- 0.8% Navistar International Corp. 8.25%, 11/1/2021...................... 27,210,000 27,890,250 -------------- BEVERAGES -- 0.5% Constellation Brands, Inc.: 7.25%, 9/1/2016....................... 14,200,000 14,413,000 7.25%, 5/15/2017...................... 4,000,000 4,055,000 -------------- 18,468,000 -------------- BIOTECHNOLOGY -- 0.5% Talecris Biotherapeutics Holdings Corp. 7.75%, 11/15/2016 (a)................. 15,875,000 16,113,125 -------------- BUILDING PRODUCTS -- 1.1% Nortek, Inc. 11.00%, 12/15/2013.................... 18,771,058 19,615,755 Ply Gem Industries, Inc. 11.75%, 6/15/2013..................... 17,769,000 17,769,000 -------------- 37,384,755 -------------- CHEMICALS -- 1.9% Ashland, Inc. 9.13%, 6/1/2017 (a)................... 15,660,000 17,186,850 Huntsman International LLC 5.50%, 6/30/2016 (a).................. 15,000,000 13,312,500 Momentive Performance Materials, Inc. 9.75%, 12/1/2014...................... 17,425,000 16,771,562 Terra Capital, Inc. 7.75%, 11/1/2019 (a).................. 17,600,000 18,832,000 -------------- 66,102,912 -------------- COMMERCIAL BANKS -- 1.0% BAC Capital Trust XI 6.63%, 5/23/2036...................... 3,710,000 3,315,145 BAC Capital Trust XIV 5.63%, 12/31/2049 (b)(c).............. 16,505,000 11,388,450 Royal Bank of Scotland Group PLC 7.64%, 3/31/2049 (c).................. 35,965,000 19,421,100 -------------- 34,124,695 -------------- COMMERCIAL SERVICES & SUPPLIES -- 4.2% ARAMARK Corp. 8.50%, 2/1/2015....................... 33,822,000 34,836,660 Ceridian Corp. 11.25%, 11/15/2015.................... 22,100,000 21,077,875 Hertz Corp. 8.88%, 1/1/2014....................... 45,466,000 46,488,985 National Money Mart Co. 10.38%, 12/15/2016 (a)................ 12,000,000 12,270,000 Servicemaster Co. PIK 10.75%, 7/15/2015 (a)(b).............. 26,500,000 27,560,000 -------------- 142,233,520 -------------- CONTAINERS & PACKAGING -- 0.5% Owens-Brockway Glass Container, Inc. 7.38%, 5/15/2016 (a).................. 16,740,000 17,284,050 -------------- DISTRIBUTORS -- 0.7% McJunkin Red Man Corp. 9.50%, 12/15/2016 (a)................. 24,440,000 23,890,100 -------------- DIVERSIFIED CONSUMER SERVICES -- 0.9% Reynolds Group Issuer, Inc. 7.75%, 10/15/2016 (a)................. 28,400,000 29,039,000 -------------- DIVERSIFIED FINANCIAL SERVICES -- 7.0% CIT Group, Inc.: 7.00%, 5/1/2013....................... 2,071,302 1,931,489 7.00%, 5/1/2014....................... 3,106,953 2,885,583 7.00%, 5/1/2015....................... 3,106,953 2,780,723 7.00%, 5/1/2016....................... 5,178,256 4,556,865 7.00%, 5/1/2017....................... 7,249,559 6,288,992 Citigroup Capital XXI 8.30%, 12/21/2077 (c)................. 62,640,000 60,291,000 Ford Motor Credit Co. LLC 7.50%, 8/1/2012....................... 46,100,000 46,489,914 GMAC LLC: 6.63%, 5/15/2012 (a).................. 3,197,000 3,133,060 6.88%, 9/15/2011 (a).................. 78,437,000 77,260,445 Nuveen Investments, Inc. 10.50%, 11/15/2015 (a)................ 20,905,000 18,971,288 Petroplus Finance, Ltd. 7.00%, 5/1/2017 (a)(b)................ 16,750,000 15,075,000 -------------- 239,664,359 -------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 7.4% Cricket Communications, Inc. 9.38%, 11/1/2014...................... 26,243,000 26,374,215 Global Crossing Ltd. 12.00%, 9/15/2015 (a)................. 19,860,000 21,796,350 Inmarsat Finance PLC 7.38%, 12/1/2017 (a).................. 17,375,000 17,765,938 Intelsat Bermuda, Ltd.: 11.25%, 6/15/2016..................... 15,680,000 16,973,600 11.25%, 2/4/2017 (a)(d)............... 58,500,000 58,646,250 Level 3 Financing, Inc. 9.25%, 11/1/2014...................... 15,387,000 14,540,715 Virgin Media Finance PLC 9.50%, 8/15/2016...................... 35,735,000 38,370,456 Wind Acquisition Finance SA 11.75%, 7/15/2017 (a)(b).............. 52,070,000 56,886,475 -------------- 251,353,999 --------------
See accompanying notes to financial statements. 102 SPDR BARCLAYS CAPITAL HIGH YIELD BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- ELECTRIC UTILITIES -- 6.7% Calpine Construction Finance Co. LP and CCFC Finance Corp. 8.00%, 6/1/2016 (a)................... $ 21,200,000 $ 21,836,000 Calpine Corp. 7.25%, 10/15/2017 (a)................. 8,000,000 7,680,000 Edison Mission Energy 7.00%, 5/15/2017...................... 29,994,000 23,695,260 Intergen NV 9.00%, 6/30/2017 (a).................. 33,309,000 34,724,633 NRG Energy, Inc. 7.38%, 2/1/2016....................... 17,608,000 17,630,010 RRI Energy, Inc. 7.88%, 6/15/2017...................... 19,130,000 18,795,225 Texas Competitive Electric Holdings Co. LLC 10.25%, 11/1/2015..................... 76,285,000 61,790,850 The AES Corp. 8.00%, 10/15/2017..................... 40,489,000 41,551,836 -------------- 227,703,814 -------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.6% NXP BV/NXP Funding LLC 9.50%, 10/15/2015 (a)................. 24,500,000 20,947,500 -------------- FOOD PRODUCTS -- 1.5% Smithfield Foods, Inc. 10.00%, 7/15/2014 (a)................. 22,705,000 24,634,925 Tyson Foods, Inc.: 7.85%, 4/1/2016....................... 13,525,000 13,863,125 10.50%, 3/1/2014 (a).................. 10,000,000 11,425,000 -------------- 49,923,050 -------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.3% Bausch & Lomb, Inc. 9.88%, 11/1/2015...................... 15,602,000 16,460,110 Biomet, Inc. 11.63%, 10/15/2017 (b)................ 25,787,000 28,494,635 Boston Scientific Corp. 6.00%, 1/15/2020...................... 22,890,000 23,388,476 VWR Funding, Inc. PIK Series B 10.25%, 7/15/2015 (b)........ 11,350,000 11,804,000 -------------- 80,147,221 -------------- HEALTH CARE PROVIDERS & SERVICES -- 6.8% Apria Healthcare Group, Inc. 11.25%, 11/1/2014 (a)................. 17,010,000 18,668,475 Community Health Systems, Inc. 8.88%, 7/15/2015...................... 74,091,000 76,684,185 HCA, Inc. 9.25%, 11/15/2016 (b)................. 83,963,000 90,155,271 Tenet Healthcare Corp.: 8.88%, 7/1/2019 (a)(b)................ 7,005,000 7,565,400 10.00%, 5/1/2018 (a)(b)............... 16,625,000 18,620,000 US Oncology, Inc. 9.13%, 8/15/2017 (a)(b)............... 19,270,000 20,233,500 -------------- 231,926,831 -------------- HOTELS, RESTAURANTS & LEISURE -- 3.7% Ameristar Casinos, Inc. 9.25%, 6/1/2014 (a)................... 17,970,000 18,643,875 Harrah's Operating Co., Inc. 10.00%, 12/15/2018 (a)................ 83,532,000 67,034,430 MGM Mirage, Inc.: 11.13%, 11/15/2017 (a)................ 7,445,000 8,245,338 13.00%, 11/15/2013 (a)................ 15,111,000 17,339,872 Wyndham Worldwide Corp. 6.00%, 12/1/2016...................... 17,433,000 16,240,478 -------------- 127,503,993 -------------- HOUSEHOLD DURABLES -- 1.0% Jarden Corp. 7.50%, 5/1/2017....................... 16,192,000 16,151,520 K Hovnanian Enterprises, Inc.: 8.63%, 1/15/2017...................... 100,000 72,000 10.63%, 10/15/2016 (a)................ 16,000,000 16,720,000 -------------- 32,943,520 -------------- INSURANCE -- 3.2% American International Group, Inc. 8.18%, 5/15/2058 (c).................. 100,405,000 66,267,300 Liberty Mutual Group, Inc. 10.75%, 6/15/2058 (a)(c).............. 31,700,000 33,602,000 MBIA Insurance Corp. 14.00%, 1/15/2033 (a)(b)(c)........... 25,000,000 10,750,000 -------------- 110,619,300 -------------- IT SERVICES -- 2.8% First Data Corp. 11.25%, 3/31/2016 (a)(b).............. 61,420,000 52,514,100 First Data Corp. PIK 10.55%, 9/24/2015..................... 27,000,000 23,962,500 GXS Worldwide, Inc. 9.75%, 6/15/2015 (a).................. 18,890,000 18,559,425 -------------- 95,036,025 -------------- MACHINERY -- 1.3% Case New Holland, Inc. 7.75%, 9/1/2013 (a)................... 26,400,000 26,994,000 Terex Corp. 8.00%, 11/15/2017..................... 19,769,000 19,027,663 -------------- 46,021,663 -------------- MEDIA -- 9.3% AMC Entertainment, Inc. 8.75%, 6/1/2019....................... 15,375,000 15,682,500 Cablevision Systems Corp. 8.63%, 9/15/2017 (a).................. 24,375,000 25,380,469 CCH II LLC / CCH II Capital Corp. 13.50%, 11/30/2016.................... 12,075,000 14,218,313 Cengage Learn Aquisitions, Inc. 10.50%, 1/15/2015 (a)................. 30,820,000 29,471,625 Cequel Communications Holdings I LLC and Cequel Capital Corp. 8.63%, 11/15/2017 (a)................. 16,075,000 16,235,750 Clear Channel Communications, Inc. 10.75%, 8/1/2016...................... 21,500,000 16,877,500
See accompanying notes to financial statements. 103 SPDR BARCLAYS CAPITAL HIGH YIELD BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- Clear Channel Worldwide Holdings, Inc. 9.25%, 12/15/2017 (a)................. $ 31,615,000 $ 32,544,250 DISH DBS Corp. 7.88%, 9/1/2019 (a)................... 16,600,000 17,409,250 Echostar DBS Corp. 7.13%, 2/1/2016....................... 10,252,000 10,469,855 Interpublic Group of Cos, Inc. 10.00%, 7/15/2017 (a)................. 14,870,000 16,505,700 Quebecor Media, Inc. 7.75%, 3/15/2016...................... 17,432,000 17,388,420 Umbrella Acquisition, Inc. PIK 9.75%, 3/15/2015 (a).................. 38,350,000 33,604,187 UPC Germany GmbH 8.13%, 12/1/2017 (a).................. 20,880,000 21,114,900 WMG Acquisition Corp. 9.50%, 6/15/2016 (a).................. 28,715,000 30,760,944 XM Satellite Radio, Inc. 13.00%, 8/1/2013 (a).................. 19,162,000 20,814,722 -------------- 318,478,385 -------------- METALS & MINING -- 2.3% Steel Dynamics, Inc. 7.38%, 11/1/2012...................... 18,452,000 19,005,560 Teck Resources Ltd. 10.75%, 5/15/2019 (a)................. 50,365,000 60,186,175 -------------- 79,191,735 -------------- MULTILINE RETAIL -- 3.6% Dollar General Corp. 10.63%, 7/15/2015 (b)................. 29,627,000 32,811,902 JC Penney Corp, Inc. 6.38%, 10/15/2036..................... 17,025,000 15,118,200 Macy's Retail Holdings, Inc.: 5.35%, 3/15/2012...................... 5,000,000 5,106,250 5.90%, 12/1/2016...................... 24,375,000 23,765,625 Rite Aid Corp. 9.50%, 6/15/2017...................... 22,040,000 19,174,800 SUPERVALU, Inc. 8.00%, 5/1/2016 (b)................... 25,903,000 26,291,545 -------------- 122,268,322 -------------- OIL, GAS & CONSUMABLE FUELS -- 9.9% Arch Coal, Inc. 8.75%, 8/1/2016 (a)................... 15,990,000 16,909,425 Chesapeake Energy Corp.: 6.50%, 8/15/2017...................... 1,750,000 1,715,000 7.25%, 12/15/2018..................... 4,550,000 4,584,125 9.50%, 2/15/2015...................... 33,453,000 36,714,667 Citic Resources Finance, Ltd. 6.75%, 5/15/2014 (a).................. 6,500,000 6,337,500 Dynegy Holdings, Inc. 7.75%, 6/1/2019....................... 27,298,000 23,681,015 El Paso Corp.: 7.00%, 6/15/2017...................... 19,877,000 19,713,850 7.25%, 6/1/2018....................... 4,000,000 3,951,992 Energy XXI Gulf Coast, Inc. 10.00%, 6/15/2013..................... 839 776 Energy XXI Gulf Coast, Inc. PIK 16.00%, 6/15/2014 (a)................. 129 142 Enterprise Products Operating LP 7.03%, 1/15/2068 (b)(c)............... 18,775,000 17,226,063 Expro Finance Luxembourg SCA 8.50%, 12/15/2016 (a)................. 18,615,000 18,475,387 Forest Oil Corp. 7.25%, 6/15/2019...................... 26,448,000 26,117,400 Newfield Exploration Co. 7.13%, 5/15/2018...................... 14,025,000 14,165,250 OPTI Canada, Inc. 8.25%, 12/15/2014..................... 19,782,000 16,295,423 PetroHawk Energy Corp. 7.88%, 6/1/2015....................... 22,275,000 22,497,750 Plains Exploration & Production Co. 7.75%, 6/15/2015...................... 16,171,000 16,453,993 Quicksilver Resources, Inc. 11.75%, 1/1/2016...................... 15,385,000 17,461,975 Sabine Pass LNG LP 7.50%, 11/30/2016..................... 37,073,000 30,863,272 SandRidge Energy, Inc. 8.00%, 6/1/2018 (a)................... 21,045,000 20,676,712 Southern Union Co. 7.20%, 11/1/2066 (c).................. 25,000 21,375 Southwestern Energy Co. 7.50%, 2/1/2018 (a)(b)................ 15,971,000 16,929,260 Williams Partners LP/Williams Partners Finance Corp. 7.25%, 2/1/2017....................... 8,525,000 8,611,887 -------------- 339,404,239 -------------- PAPER & FOREST PRODUCTS -- 1.9% Georgia-Pacific LLC: 7.13%, 1/15/2017 (a).................. 14,778,000 14,962,725 8.25%, 5/1/2016 (a)................... 4,000,000 4,240,000 NewPage Corp. 11.38%, 12/31/2014 (a)................ 44,715,000 45,162,150 -------------- 64,364,875 -------------- PHARMACEUTICALS -- 0.4% Elan Corp. PLC 8.75%, 10/15/2016 (a)................. 15,285,000 14,597,175 -------------- REAL ESTATE INVESTMENT TRUSTS -- 1.7% Felcor Lodging LP 10.00%, 10/1/2014 (a)................. 16,850,000 16,997,437 Residential Capital LLC 9.63%, 5/15/2015...................... 47,165,000 40,090,250 -------------- 57,087,687 -------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 1.0% Realogy Corp. 10.50%, 4/15/2014..................... 41,322,000 35,743,530 -------------- ROAD & RAIL -- 0.5% RailAmerica, Inc. 9.25%, 7/1/2017 (a)................... 16,945,000 18,025,244 -------------- SEMICONDUCTORS -- 1.0% Freescale Semiconductor, Inc. 8.88%, 12/15/2014..................... 35,413,000 32,491,428 --------------
See accompanying notes to financial statements. 104 SPDR BARCLAYS CAPITAL HIGH YIELD BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- SPECIALTY RETAIL -- 2.5% Blockbuster, Inc. 11.75%, 10/1/2014 (a)................. $ 16,375,000 $ 15,556,250 Limited Brands, Inc. 6.90%, 7/15/2017 (b).................. 17,521,000 17,499,099 QVC, Inc. 7.50%, 10/1/2019 (a).................. 25,815,000 26,331,300 Toys R Us Property Co. I LLC 10.75%, 7/15/2017 (a)................. 23,925,000 26,197,875 -------------- 85,584,524 -------------- WIRELESS TELECOMMUNICATION SERVICES -- 5.4% CC Holdings GS V LLC/Crown Castle GS III Corp. 7.75%, 5/1/2017 (a)(b)................ 16,040,000 17,082,600 Clearwire Communications LLC/Clearwire Finance, Inc. 12.00%, 12/1/2015 (a)................. 42,155,000 42,787,325 Cricket Communications, Inc. 7.75%, 5/15/2016...................... 2,500,000 2,493,750 Crown Castle International Corp. 9.00%, 1/15/2015...................... 10,600,000 11,289,000 Frontier Communications Corp. 8.25%, 5/1/2014....................... 16,025,000 16,706,062 Level 3 Financing, Inc. 8.75%, 2/15/2017...................... 2,000,000 1,825,000 NII Capital Corp. 10.00%, 8/15/2016 (a)................. 22,600,000 23,673,500 Sprint Nextel Corp.: 6.00%, 12/1/2016...................... 37,348,000 34,080,049 8.38%, 8/15/2017...................... 2,000,000 2,040,000 Telesat Canada / Telesat LLC 11.00%, 11/1/2015 (a)................. 15,725,000 17,061,625 Windstream Corp. 7.88%, 11/1/2017 (a).................. 16,000,000 15,800,000 -------------- 184,838,911 -------------- TOTAL CORPORATE BONDS & NOTES -- (Cost $3,031,066,830)................. 3,360,175,777 -------------- SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 0.0% (E) BUILDING PRODUCTS -- 0.0% (E) Nortek, Inc. (b) (Cost $489,836)....................... 18,688 654,080 -------------- SHORT TERM INVESTMENTS -- 0.8% MONEY MARKET FUND -- 0.8% State Street Institutional Liquid Reserves Fund (f)(g) (Cost $27,304,566).................... 27,304,566 27,304,566 -------------- TOTAL INVESTMENTS -- 99.1% (H) (Cost $3,058,861,232)................. 3,388,134,423 OTHER ASSETS AND LIABILITIES -- 0.9%................... 30,660,152 -------------- NET ASSETS -- 100.0%.................... $3,418,794,575 ==============
(a) Security purchased pursuant to Rule 144A of the Securities Act of 1933. These securities, which represent 46.9% of net assets as of December 31, 2009, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. (b) Securities are valued at fair value as determined in good faith by the Trust's Pricing and Investment Committee in accordance with the procedures approved by the Board of Trustees. (c) Variable-rate security. Rate shown is rate in effect at December 31, 2009. (d) Step Bond -- coupon rate increases in increments to maturity. Rate disclosed is as of December 31, 2009. Maturity date indicated represents the instrument's ultimate maturity date. (e) Amount shown represents less than 0.05% of net assets. (f) Value determined based on Level 1 inputs. (Note 2) (g) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (h) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs. (Note 2)
PIK = Payment in Kind At December 31, 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 $(4,909,083) $(6,225,694) UNREALIZED APPRECIATION/ COUNTERPARTY (DEPRECIATION) - ------------ -------------- Barclays Capital $1,316,611
See accompanying notes to financial statements. 105 SPDR BARCLAYS CAPITAL SHORT TERM CORPORATE BOND ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- CORPORATE BONDS & NOTES -- 95.6% AUTOMOBILES -- 1.5% Daimler Finance North America LLC 7.30%, 1/15/2012...................... $ 200,000 $ 217,552 ----------- CAPITAL MARKETS -- 10.1% Morgan Stanley 6.60%, 4/1/2012....................... 500,000 542,968 The Bear Stearns Cos LLC 5.35%, 2/1/2012....................... 300,000 315,129 The Goldman Sachs Group, Inc. 6.60%, 1/15/2012...................... 600,000 649,987 ----------- 1,508,084 ----------- COMMERCIAL BANKS -- 6.8% BB&T Corp. 6.50%, 8/1/2011....................... 300,000 320,474 Deutsche Bank AG 5.38%, 10/12/2012..................... 45,000 48,593 JPMorgan Chase & Co. 5.38%, 10/1/2012...................... 250,000 270,791 The Bank of New York Mellon Corp. 4.95%, 11/1/2012...................... 100,000 107,687 Wells Fargo & Co. 5.25%, 10/23/2012..................... 250,000 267,216 ----------- 1,014,761 ----------- COMPUTERS & PERIPHERALS -- 3.5% Hewlett-Packard Co. 2.25%, 5/27/2011...................... 200,000 202,654 International Business Machines Corp. 4.75%, 11/29/2012..................... 300,000 321,816 ----------- 524,470 ----------- DIVERSIFIED FINANCIAL SERVICES -- 23.7% Bank of America Corp. 5.38%, 8/15/2011...................... 150,000 158,053 Citigroup, Inc. 5.63%, 8/27/2012...................... 500,000 516,573 Countrywide Financial Corp. 5.80%, 6/7/2012....................... 400,000 426,500 Credit Suisse USA, Inc.: 5.25%, 3/2/2011....................... 200,000 207,603 6.13%, 11/15/2011..................... 350,000 377,105 General Electric Capital Corp.: 5.25%, 10/19/2012..................... 200,000 213,441 5.50%, 4/28/2011...................... 350,000 366,900 6.00%, 6/15/2012...................... 500,000 539,083 HSBC Finance Corp. 7.00%, 5/15/2012...................... 500,000 542,587 International Lease Finance Corp. 5.30%, 5/1/2012....................... 200,000 172,000 ----------- 3,519,845 ----------- ELECTRIC UTILITIES -- 2.2% Southern Power Co. 6.25%, 7/15/2012...................... 300,000 328,328 ----------- FOOD & STAPLES RETAILING -- 4.7% Target Corp. 5.88%, 3/1/2012....................... 150,000 162,465 The Kroger Co. 6.75%, 4/15/2012...................... 300,000 326,159 Wal-Mart Stores, Inc. 4.13%, 2/15/2011...................... 200,000 206,399 ----------- 695,023 ----------- FOOD PRODUCTS -- 4.3% HJ Heinz Finance Co. 6.00%, 3/15/2012...................... 400,000 428,162 Kraft Foods, Inc. 6.25%, 6/1/2012....................... 200,000 215,822 ----------- 643,984 ----------- HEALTH CARE PROVIDERS & SERVICES -- 1.8% UnitedHealth Group, Inc. 5.25%, 3/15/2011...................... 250,000 258,729 ----------- INSURANCE -- 2.7% Prudential Financial, Inc. 3.63%, 9/17/2012...................... 400,000 404,486 ----------- MACHINERY -- 1.9% John Deere Capital Corp. 7.00%, 3/15/2012...................... 250,000 277,151 ----------- MEDIA -- 4.4% The Walt Disney Co. 6.38%, 3/1/2012....................... 150,000 163,881 Time Warner Cable, Inc. 5.40%, 7/2/2012....................... 250,000 266,927 Time Warner, Inc. 6.88%, 5/1/2012....................... 200,000 218,804 ----------- 649,612 ----------- METALS & MINING -- 2.8% Alcoa, Inc. 6.50%, 6/1/2011....................... 400,000 419,000 ----------- OIL, GAS & CONSUMABLE FUELS -- 8.8% Conoco Funding Co. 6.35%, 10/15/2011..................... 500,000 544,084 Devon Financing Corp. ULC 6.88%, 9/30/2011...................... 300,000 325,010 Enterprise Products Operating LLC 7.63%, 2/15/2012...................... 400,000 442,153 ----------- 1,311,247 ----------- PHARMACEUTICALS -- 3.6% AstraZeneca PLC 5.40%, 9/15/2012...................... 300,000 327,400 Pfizer, Inc. 4.45%, 3/15/2012...................... 200,000 211,011 ----------- 538,411 ----------- SOFTWARE -- 1.4% Oracle Corp. 5.00%, 1/15/2011...................... 200,000 208,260 -----------
See accompanying notes to financial statements. 106 SPDR BARCLAYS CAPITAL SHORT TERM CORPORATE BOND ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PRINCIPAL SECURITY DESCRIPTION AMOUNT VALUE - -------------------- --------- ----- WIRELESS TELECOMMUNICATION SERVICES -- 11.4% Cellco Partnership / Verizon Wireless Capital LLC 3.75%, 5/20/2011...................... $ 250,000 $ 258,103 France Telecom SA 7.75%, 3/1/2011....................... 200,000 214,655 New Cingular Wireless Services, Inc. 8.13%, 5/1/2012....................... 400,000 452,731 Verizon Global Funding Corp. 7.38%, 9/1/2012....................... 300,000 340,078 Verizon New York, Inc. Series A 6.88%, 4/1/2012.............. 400,000 432,198 ----------- 1,697,765 ----------- TOTAL CORPORATE BONDS & NOTES -- (Cost $14,299,694).................... 14,216,708 ----------- SHARES ------ SHORT TERM INVESTMENTS -- 9.8% MONEY MARKET FUND -- 9.8% State Street Institutional Liquid Reserves Fund (a)(b) (Cost $1,461,196)..................... 1,461,196 1,461,196 ----------- TOTAL INVESTMENTS -- 105.4% (C) (Cost $15,760,890).................... 15,677,904 OTHER ASSETS AND LIABILITIES -- (5.4)%................. (799,050) ----------- NET ASSETS -- 100.0%.................... $14,878,854 ===========
(a) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (b) Value is determined based on Level 1 inputs. (Note 2) (c) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs. (Note 2)
See accompanying notes to financial statements. 107 SPDR SERIES TRUST STATEMENTS OF ASSETS AND LIABILITIES DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SPDR BARCLAYS SPDR BARCLAYS CAPITAL CAPITAL 1-3 SPDR BARCLAYS INTERMEDIATE MONTH CAPITAL TERM T-BILL ETF TIPS ETF TREASURY ETF --------------- --------------- --------------- ASSETS Investments in securities of unaffiliated issuers, at value* (Note 2)........................... $ 751,949,321 $344,847,294 $203,465,764 Investments in securities of affiliated issuers, at value (Note 3)........................... 349,733 71,994,306 42,903,672 -------------- ------------ ------------ Total Investments.................. 752,299,054 416,841,600 246,369,436 Cash.................................. -- -- 48,193 Receivable for investments sold....... 429,529,449 -- 3,958,236 Interest receivable................... 22,122 2,925,539 1,392,335 Receivable for when issued/ delayed securities................. -- -- -- -------------- ------------ ------------ TOTAL ASSETS....................... 1,181,850,625 419,767,139 251,768,200 -------------- ------------ ------------ LIABILITIES Payable upon return of securities loaned.................. -- 71,137,330 42,038,164 Payable for investments purchased..... 429,673,199 -- 3,746,832 Payable for when issued/delayed securities.......... -- -- -- Distributions payable................. 62,568 744,550 640,293 Deferred income for dollar rolls...... -- -- -- Accrued advisory fee (Note 3)......... 88,301 54,454 22,674 Accrued trustee fees (Note 3)......... 4,156 1,511 850 -------------- ------------ ------------ TOTAL LIABILITIES.................. 429,828,224 71,937,845 46,448,813 -------------- ------------ ------------ NET ASSETS......................... $ 752,022,401 $347,829,294 $205,319,387 ============== ============ ============ NET ASSETS CONSIST OF: Paid in capital (Note 4).............. $ 752,085,073 $339,280,973 $206,157,724 Undistributed (distribution in excess of) net investment income.......... (81,873) (41,839) (217,706) Accumulated net realized gain (loss) on investments and foreign currency transactions.............. 25,604 (1,596,016) (90,474) Net unrealized appreciation (depreciation) on : Investments........................ (6,403) 10,186,176 (530,157) -------------- ------------ ------------ NET ASSETS......................... $ 752,022,401 $347,829,294 $205,319,387 ============== ============ ============ NET ASSET VALUE PER SHARE Net asset value per share............. $ 45.85 $ 51.15 $ 57.03 ============== ============ ============ Shares outstanding (unlimited amount authorized, $0.01 par value)....... 16,400,461 6,800,225 3,600,168 ============== ============ ============ COST OF INVESTMENTS: Unaffiliated issuers.................. $ 751,955,724 $334,661,118 $203,995,921 Affiliated issuers.................... 349,733 71,994,306 42,903,672 -------------- ------------ ------------ Total cost of investments............. $ 752,305,457 $406,655,424 $246,899,593 ============== ============ ============ * Investments of securities on loan, at value........................... $ -- $ 69,667,034 $ 41,087,787 ============== ============ ============
See accompanying notes to financial statements. 108 - --------------------------------------------------------------------------------
SPDR BARCLAYS SPDR BARCLAYS CAPITAL SPDR BARCLAYS SPDR BARCLAYS SPDR BARCLAYS SPDR BARCLAYS CAPITAL LONG INTERMEDIATE CAPITAL LONG CAPITAL CAPITAL CAPITAL TERM TERM CREDIT TERM CREDIT CONVERTIBLE MORTGAGE BACKED AGGREGATE TREASURY ETF BOND ETF BOND ETF BOND ETF BOND ETF BOND ETF - --------------- --------------- --------------- --------------- --------------- --------------- $15,719,254 $52,313,679 $24,090,744 $226,179,589 $10,509,113 $226,898,162 3,271,435 2,202,892 227,845 6,789,657 10,807,844 109,184,845 ----------- ----------- ----------- ------------ ----------- ------------ 18,990,689 54,516,571 24,318,589 232,969,246 21,316,957 336,083,007 -- -- -- 30,375 -- -- 302,855 -- -- -- -- 4,210,318 219,307 726,146 384,326 899,698 22,172 1,550,257 -- -- -- -- 424,146 -- ----------- ----------- ----------- ------------ ----------- ------------ 19,512,851 55,242,717 24,702,915 233,899,319 21,763,275 341,843,582 ----------- ----------- ----------- ------------ ----------- ------------ 3,265,304 112,890 -- -- -- 35,669,261 240,867 1,145,710 -- -- -- -- -- -- -- -- 11,079,001 94,787,908 56,092 269,963 176,872 1,875,202 143,169 4,140,503 -- -- -- -- 6,625 70,374 1,869 6,911 2,895 72,895 1,694 21,024 75 220 60 611 37 962 ----------- ----------- ----------- ------------ ----------- ------------ 3,564,207 1,535,694 179,827 1,948,708 11,230,526 134,690,032 ----------- ----------- ----------- ------------ ----------- ------------ $15,948,644 $53,707,023 $24,523,088 $231,950,611 $10,532,749 $207,153,550 =========== =========== =========== ============ =========== ============ $16,850,364 $51,910,336 $23,645,422 $212,224,622 $10,556,469 $204,780,571 (14,685) (96,837) (26,199) (726,506) (8,609) (434,470) (63,918) 256,656 87,357 973,351 98,230 1,640,106 (823,117) 1,636,868 816,508 19,479,144 (113,341) 1,167,343 ----------- ----------- ----------- ------------ ----------- ------------ $15,948,644 $53,707,023 $24,523,088 $231,950,611 $10,532,749 $207,153,550 =========== =========== =========== ============ =========== ============ $ 53.16 $ 31.59 $ 35.03 $ 37.41 $ 26.33 $ 54.51 =========== =========== =========== ============ =========== ============ 300,000 1,700,072 700,000 6,200,000 400,000 3,800,132 =========== =========== =========== ============ =========== ============ $16,542,371 $50,676,811 $23,274,236 $206,700,445 $10,622,454 $225,730,819 3,271,435 2,202,892 227,845 6,789,657 10,807,844 109,184,845 ----------- ----------- ----------- ------------ ----------- ------------ $19,813,806 $52,879,703 $23,502,081 $213,490,102 $21,430,298 $334,915,664 =========== =========== =========== ============ =========== ============ $ 3,189,850 $ 110,221 $ -- $ -- $ -- $ 34,871,077 =========== =========== =========== ============ =========== ============
109 SPDR SERIES TRUST STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SPDR BARCLAYS SPDR BARCLAYS CAPITAL SPDR BARCLAYS CAPITAL CALIFORNIA CAPITAL NEW MUNICIPAL MUNICIPAL YORK MUNICIPAL BOND ETF BOND ETF BOND ETF --------------- --------------- --------------- ASSETS Investments in securities of unaffiliated issuers, at value* (Note 2)........................... $800,308,654 $59,209,823 $19,885,570 Investments in securities of affiliated issuers, at value (Note 3)........................... 2,662,520 69,261 33,808 ------------ ----------- ----------- Total Investments.................. 802,971,174 59,279,084 19,919,378 Cash.................................. -- -- -- Foreign currency, at value............ -- -- -- Receivable for investments sold....... -- -- -- Receivable for fund shares sold in- kind........................... -- -- -- Unrealized appreciation on forward currency contracts................. -- -- -- Interest receivable................... 9,733,170 854,392 226,736 ------------ ----------- ----------- TOTAL ASSETS....................... 812,704,344 60,133,476 20,146,114 ------------ ----------- ----------- LIABILITIES Payable upon return of securities loaned.................. -- -- -- Payable for investments purchased..... -- -- -- Unrealized depreciation on forward currency contracts................. -- -- -- Distributions payable................. 2,635,784 222,145 69,492 Swap contracts, at value (includes upfront payment received of $6,225,694)..................... -- -- -- Accrued advisory fee (Note 3)......... 132,585 10,153 3,428 Accrued trustee fees (Note 3)......... 3,466 248 86 ------------ ----------- ----------- TOTAL LIABILITIES.................. 2,771,835 232,546 73,006 ------------ ----------- ----------- NET ASSETS......................... $809,932,509 $59,900,930 $20,073,108 ============ =========== =========== NET ASSETS CONSIST OF: Paid in capital (Note 4).............. $785,981,874 $58,919,731 $19,736,437 Undistributed (distribution in excess of) net investment income.......... (1,227,375) (58,333) (14,413) Accumulated net realized gain (loss) on investments and foreign currency transactions.............. (851,573) (152,353) (186,752) Net unrealized appreciation (depreciation) on : Investments........................ 26,029,583 1,191,885 537,836 Foreign currency................... -- -- -- Swap contracts..................... -- -- -- ------------ ----------- ----------- NET ASSETS......................... $809,932,509 $59,900,930 $20,073,108 ============ =========== =========== NET ASSET VALUE PER SHARE Net asset value per share............. $ 22.62 $ 22.18 $ 22.30 ============ =========== =========== Shares outstanding (unlimited amount authorized, $0.01 par value)....... 35,802,072 2,700,128 900,010 ============ =========== =========== COST OF INVESTMENTS: Unaffiliated issuers.................. $774,279,071 $58,017,938 $19,347,734 Affiliated issuers.................... 2,662,520 69,261 33,808 ------------ ----------- ----------- Total cost of investments............. $776,941,591 $58,087,199 $19,381,542 ============ =========== =========== Foreign currency, at cost............. $ -- $ -- $ -- ============ =========== =========== * Investments of securities on loan, at value........................... $ -- $ -- $ -- ============ =========== ===========
See accompanying notes to financial statements. 110 - --------------------------------------------------------------------------------
SPDR DB SPDR BARCLAYS INTERNATIONAL CAPITAL SHORT SPDR BARCLAYS SPDR BARCLAYS GOVERNMENT TERM CAPITAL SPDR BARCLAYS CAPITAL SHORT SPDR S&P VRDO INFLATION- INTERNATIONAL INTERNATIONAL SPDR BARCLAYS CAPITAL SHORT TERM MUNICIPAL MUNICIPAL PROTECTED TREASURY TREASURY CAPITAL HIGH TERM CORPORATE BOND ETF BOND ETF BOND ETF BOND ETF BOND ETF YIELD BOND ETF BOND ETF - --------------- --------------- --------------- --------------- --------------- --------------- --------------- $878,094,915 $14,394,000 $1,035,554,694 $131,499,860 $1,454,896,718 $3,360,829,857 $14,216,708 5,072,984 58,873 3,940,822 1,430,513 16,949,088 27,304,566 1,461,196 ------------ ----------- -------------- ------------ -------------- -------------- ----------- 883,167,899 14,452,873 1,039,495,516 132,930,373 1,471,845,806 3,388,134,423 15,677,904 30,000 -- -- -- -- 1,271,583 -- -- -- 1,480,793 3,670,851 4,238,303 -- -- -- 550,005 1,223,043 -- -- -- 279,675 -- -- 5,537,702 -- -- -- -- -- -- -- 34,704 -- -- -- 10,600,420 4,948 7,853,203 2,068,063 22,813,490 67,428,338 207,069 ------------ ----------- -------------- ------------ -------------- -------------- ----------- 893,798,319 15,007,826 1,055,590,257 138,703,991 1,498,897,599 3,456,834,344 16,164,648 ------------ ----------- -------------- ------------ -------------- -------------- ----------- -- -- -- -- 2,801,235 -- -- 195,339 -- 6,626,980 825,513 -- -- 1,279,346 -- -- -- -- 34,755 -- -- 1,407,321 1,676 7,833,779 398,719 6,824,738 32,020,037 5,992 -- -- -- -- -- 4,909,083 -- 146,739 2,549 413,328 39,783 652,571 1,098,129 448 3,345 61 3,207 299 6,443 12,520 8 ------------ ----------- -------------- ------------ -------------- -------------- ----------- 1,752,744 4,286 14,877,294 1,264,314 10,319,742 38,039,769 1,285,794 ------------ ----------- -------------- ------------ -------------- -------------- ----------- $892,045,575 $15,003,540 $1,040,712,963 $137,439,677 $1,488,577,857 $3,418,794,575 $14,878,854 ============ =========== ============== ============ ============== ============== =========== $876,786,471 $15,004,301 $1,046,526,254 $140,060,567 $1,460,215,237 $3,128,535,917 $14,966,682 (913,506) (761) (9,071,847) (340,829) (19,810,489) (19,626,580) (3,355) (67,870) -- (11,562,251) 394,162 69,219 (20,704,564) (1,487) 16,240,480 -- 14,883,649 (2,654,552) 48,356,421 329,273,191 (82,986) -- -- (62,842) (19,671) (252,531) -- -- -- -- -- -- -- 1,316,611 -- ------------ ----------- -------------- ------------ -------------- -------------- ----------- $892,045,575 $15,003,540 $1,040,712,963 $137,439,677 $1,488,577,857 $3,418,794,575 $14,878,854 ============ =========== ============== ============ ============== ============== =========== $ 23.98 $ 30.01 $ 55.65 $ 36.17 $ 56.82 $ 38.62 $ 29.76 ============ =========== ============== ============ ============== ============== =========== 37,202,164 500,000 18,700,483 3,800,000 26,200,019 88,523,812 500,000 ============ =========== ============== ============ ============== ============== =========== $861,854,435 $14,394,000 $1,020,671,045 $134,154,412 $1,406,540,297 $3,031,556,666 $14,299,694 5,072,984 58,873 3,940,822 1,430,513 16,949,088 27,304,566 1,461,196 ------------ ----------- -------------- ------------ -------------- -------------- ----------- $866,927,419 $14,452,873 $1,024,611,867 $135,584,925 $1,423,489,385 $3,058,861,232 $15,760,890 ============ =========== ============== ============ ============== ============== =========== $ -- $ -- $ 1,480,462 $ 3,669,242 $ 4,219,011 $ -- $ -- ============ =========== ============== ============ ============== ============== =========== $ -- $ -- $ -- $ -- $ 2,835,614 $ -- $ -- ============ =========== ============== ============ ============== ============== ===========
111 SPDR SERIES TRUST STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SPDR BARCLAYS SPDR BARCLAYS CAPITAL CAPITAL 1-3 SPDR BARCLAYS INTERMEDIATE MONTH CAPITAL TERM T-BILL ETF TIPS ETF TREASURY ETF --------------- --------------- --------------- INVESTMENT INCOME Interest income on securities of unaffiliated issuers (Note 2)...... $512,172 $ 6,621,700 $1,905,994 Interest income on securities of affiliated issuers (Note 3)........ 433 859 506 Affiliated securities lending -- net (Note 3 and Note 8)................ 165,305 64,503 42,633 -------- ----------- ---------- TOTAL INVESTMENT INCOME............... 677,910 6,687,062 1,949,133 -------- ----------- ---------- EXPENSES Advisory fee (Note 3)................. 585,104 292,874 120,215 Trustees fee (Note 3)................. 14,440 4,755 2,643 Miscellaneous expenses................ -- -- 118 -------- ----------- ---------- TOTAL EXPENSES BEFORE WAIVERS......... 599,544 297,629 122,976 -------- ----------- ---------- Expenses waived by Adviser (Note 3)... -- -- -- -------- ----------- ---------- NET EXPENSES.......................... 599,544 297,629 122,976 -------- ----------- ---------- NET INVESTMENT INCOME (LOSS).......... 78,366 6,389,433 1,826,157 -------- ----------- ---------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net realized gain (loss) on: Investments in securities of unaffiliated issuers............. 99,829 (242,752) 14,259 Net change in unrealized appreciation (depreciation) on: Investments in securities of unaffiliated issuers............. 17,648 8,247,805 (442,366) -------- ----------- ---------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS.............. 117,477 8,005,053 (428,107) -------- ----------- ---------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............. $195,843 $14,394,486 $1,398,050 ======== =========== ==========
See accompanying notes to financial statements. 112 - --------------------------------------------------------------------------------
SPDR BARCLAYS SPDR BARCLAYS CAPITAL SPDR BARCLAYS SPDR BARCLAYS SPDR BARCLAYS SPDR BARCLAYS CAPITAL LONG INTERMEDIATE CAPITAL LONG CAPITAL CAPITAL CAPITAL TERM TERM CREDIT TERM CREDIT CONVERTIBLE MORTGAGE BACKED AGGREGATE TREASURY ETF BOND ETF BOND ETF BOND ETF BOND ETF BOND ETF - --------------- --------------- --------------- --------------- --------------- --------------- $ 321,230 $1,070,252 $384,356 $ 3,679,213 $ 105,376 $3,406,100 59 1,250 185 1,862 9,850 92,190 3,309 16 11 -- -- 36,611 --------- ---------- -------- ----------- --------- ---------- 324,598 1,071,518 384,552 3,681,075 115,226 3,534,901 --------- ---------- -------- ----------- --------- ---------- 10,689 34,791 9,620 259,694 7,949 186,285 245 633 156 1,553 112 3,163 -- -- -- 483 382 1,697 --------- ---------- -------- ----------- --------- ---------- 10,934 35,424 9,776 261,730 8,443 191,145 --------- ---------- -------- ----------- --------- ---------- -- -- -- -- -- (55,321) --------- ---------- -------- ----------- --------- ---------- 10,934 35,424 9,776 261,730 8,443 135,824 --------- ---------- -------- ----------- --------- ---------- 313,664 1,036,094 374,776 3,419,345 106,783 3,399,077 --------- ---------- -------- ----------- --------- ---------- 122,180 532,373 130,915 1,578,570 191,960 3,032,878 (794,761) 1,101,892 203,918 18,162,488 (113,048) 793,686 --------- ---------- -------- ----------- --------- ---------- (672,581) 1,634,265 334,833 19,741,058 78,912 3,826,564 --------- ---------- -------- ----------- --------- ---------- $(358,917) $2,670,359 $709,609 $23,160,403 $ 185,695 $7,225,641 ========= ========== ======== =========== ========= ==========
113 SPDR SERIES TRUST STATEMENTS OF OPERATIONS (CONTINUED) FOR THE SIX MONTHS ENDED DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SPDR BARCLAYS SPDR BARCLAYS CAPITAL SPDR BARCLAYS CAPITAL CALIFORNIA CAPITAL NEW MUNICIPAL MUNICIPAL YORK MUNICIPAL BOND ETF BOND ETF BOND ETF --------------- --------------- --------------- INVESTMENT INCOME Interest income on securities of unaffiliated issuers (Note 2)...... $14,393,005 $1,184,409 $ 379,030 Interest income on securities of affiliated issuers (Note 3)........ 3,420 277 162 Affiliated securities lending -- net (Note 3 and Note 8)................ -- -- -- Foreign taxes withheld................ -- -- -- ----------- ---------- ---------- TOTAL INVESTMENT INCOME............... 14,396,425 1,184,686 379,192 ----------- ---------- ---------- EXPENSES Advisory fee (Note 3)................. 1,092,861 52,239 18,194 Trustees fee (Note 3)................. 10,849 767 275 Miscellaneous expenses................ 771 -- -- ----------- ---------- ---------- TOTAL EXPENSES BEFORE WAIVERS......... 1,104,481 53,006 18,469 ----------- ---------- ---------- Expenses waived by Adviser (Note 3)... (375,136) -- -- ----------- ---------- ---------- NET EXPENSES.......................... 729,345 53,006 18,469 ----------- ---------- ---------- NET INVESTMENT INCOME (LOSS).......... 13,667,080 1,131,680 360,723 ----------- ---------- ---------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net realized gain (loss) on: Investments in securities of unaffiliated issuers............. 186,074 124,295 25,849 Foreign currency transactions...... -- -- -- Forward foreign currency contracts............... -- -- -- Swap contracts..................... -- -- -- Net change in unrealized appreciation (depreciation) on: Investments in securities of unaffiliated issuers............. 21,284,010 1,789,766 639,959 Foreign currency................... -- -- -- Forward foreign currency contracts............... -- -- -- Swap contracts..................... -- -- -- ----------- ---------- ---------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS.............. 21,470,084 1,914,061 665,808 ----------- ---------- ---------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............. $35,137,164 $3,045,741 $1,026,531 =========== ========== ==========
(1) For the period September 23, 2009 (commencement of operations) to December 31, 2009. (2) For the period December 16, 2009 (commencement of operations) to December 31, 2009.
See accompanying notes to financial statements. 114 - --------------------------------------------------------------------------------
SPDR DB SPDR BARCLAYS INTERNATIONAL CAPITAL SHORT SPDR BARCLAYS SPDR BARCLAYS GOVERNMENT TERM CAPITAL SPDR BARCLAYS CAPITAL SHORT SPDR S&P VRDO INFLATION- INTERNATIONAL INTERNATIONAL SPDR BARCLAYS CAPITAL SHORT TERM MUNICIPAL MUNICIPAL PROTECTED TREASURY TREASURY CAPITAL HIGH TERM CORPORATE BOND ETF BOND ETF(1) BOND ETF BOND ETF BOND ETF YIELD BOND ETF BOND ETF(2) - --------------- --------------- --------------- --------------- --------------- --------------- --------------- $ 7,256,485 $13,251 $14,459,136 $ 524,960 $21,384,235 $165,170,084 $ 3,057 5,608 50 1,583 2,719 44,002 45,825 36 -- -- 65 -- 4,918 -- -- -- -- (10,842) -- (98,238) -- -- ----------- ------- ----------- ----------- ----------- ------------ -------- 7,262,093 13,301 14,449,942 527,679 21,334,917 165,215,909 3,093 ----------- ------- ----------- ----------- ----------- ------------ -------- 705,010 6,972 1,697,200 111,792 3,385,716 5,280,475 448 10,003 91 8,957 596 20,227 37,048 8 303 325 353 -- -- 745 -- ----------- ------- ----------- ----------- ----------- ------------ -------- 715,316 7,388 1,706,510 112,388 3,405,943 5,318,268 456 ----------- ------- ----------- ----------- ----------- ------------ -------- -- -- -- -- -- -- -- ----------- ------- ----------- ----------- ----------- ------------ -------- 715,316 7,388 1,706,510 112,388 3,405,943 5,318,268 456 ----------- ------- ----------- ----------- ----------- ------------ -------- 6,546,777 5,913 12,743,432 415,291 17,928,974 159,897,641 2,637 ----------- ------- ----------- ----------- ----------- ------------ -------- 5,008 -- (2,121,331) 329,267 4,688,871 74,478,945 (1,487) -- -- (380,813) 71,676 731,853 -- -- -- -- -- 2,866 (12,238) -- -- -- -- -- -- -- 379,167 -- 9,239,074 -- 21,607,880 (3,092,409) 31,558,701 243,743,998 (82,986) -- -- (176,944) (64,658) (920,642) -- -- -- -- -- 51,918 338,630 -- -- -- -- -- -- -- 2,731,305 -- ----------- ------- ----------- ----------- ----------- ------------ -------- 9,244,082 -- 18,928,792 (2,701,340) 36,385,175 321,333,415 (84,473) ----------- ------- ----------- ----------- ----------- ------------ -------- $15,790,859 $ 5,913 $31,672,224 $(2,286,049) $54,314,149 $481,231,056 $(81,836) =========== ======= =========== =========== =========== ============ ========
115 SPDR SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS - --------------------------------------------------------------------------------
SPDR BARCLAYS CAPITAL 1-3 MONTH T-BILL ETF SPDR BARCLAYS CAPITAL TIPS ETF ---------------------------------- ---------------------------------- Six Months Six Months Ended 12/31/09 Year Ended Ended 12/31/09 Year Ended (Unaudited) 6/30/09 (Unaudited) 6/30/09 --------------- --------------- --------------- --------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income (loss).......... $ 78,366 $ 3,704,521 $ 6,389,433 $ 1,791,846 Net realized gain (loss) on investments and foreign currency transactions....................... 99,829 450,914 (242,752) (683,807) Net change in unrealized appreciation (depreciation) on investments and foreign currency transactions...... 17,648 (32,092) 8,247,805 838,272 ------------- -------------- ------------ ------------ NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.......... 195,843 4,123,343 14,394,486 1,946,311 ------------- -------------- ------------ ------------ Net equalization credits and charges.. (4,818) 313,729 37,415 231,125 ------------- -------------- ------------ ------------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................. (160,239) (4,339,871) (5,918,842) (3,864,782) Net realized gains.................... (62,568) (179,112) -- -- ------------- -------------- ------------ ------------ TOTAL DISTRIBUTIONS TO SHAREHOLDERS... (222,807) (4,518,983) (5,918,842) (3,864,782) ------------- -------------- ------------ ------------ FROM BENEFICIAL INTEREST TRANSACTIONS: Net proceeds from sale of shares sold............................... 96,304,003 1,298,056,926 50,843,347 226,042,428 Net proceeds from reinvestment of shares issued...................... 138 11,645 8,906 2,219 Cost of shares redeemed............... (330,197,366) (596,165,450) -- (29,228,632) Net income equalization............... 4,818 (313,729) (37,415) (231,125) Other capital (Note 4)................ -- -- -- 1,500 ------------- -------------- ------------ ------------ NET INCREASE (DECREASE) IN NET ASSETS FROM BENEFICIAL INTEREST TRANSACTIONS....................... (233,888,407) 701,589,392 50,814,838 196,586,390 ------------- -------------- ------------ ------------ Net increase (decrease) in net assets during the period.................. (233,920,189) 701,507,481 59,327,897 194,899,044 Net assets at beginning of period..... 985,942,590 284,435,109 288,501,397 93,602,353 ------------- -------------- ------------ ------------ NET ASSETS END OF PERIOD (1) ........... $ 752,022,401 $ 985,942,590 $347,829,294 $288,501,397 ============= ============== ============ ============ SHARES OF BENEFICIAL INTEREST: Shares sold........................... 2,100,000 28,300,000 1,000,000 4,600,000 Shares issued to shareholders from reinvestment of distributions...... 3 254 177 45 Shares redeemed....................... (7,200,000) (13,000,000) -- (600,000) ------------- -------------- ------------ ------------ NET INCREASE (DECREASE)............... (5,099,997) 15,300,254 1,000,177 4,000,045 ============= ============== ============ ============ (1) Including undistributed (distribution in excess of) net investment income..................... $ (81,873) -- $ (41,839) $ (512,430) ============= ============== ============ ============
* Commencement of operations
See accompanying notes to financial statements. 116 - --------------------------------------------------------------------------------
SPDR BARCLAYS CAPITAL INTERMEDIATE SPDR BARCLAYS CAPITAL LONG TERM SPDR BARCLAYS CAPITAL INTERMEDIATE TERM TREASURY ETF TREASURY ETF TERM CREDIT BOND ETF - ---------------------------------- ---------------------------------- ---------------------------------- Six Months Six Months Six Months For the Period Ended 12/31/09 Year Ended Ended 12/31/09 Year Ended Ended 12/31/09 2/10/09*- (Unaudited) 6/30/09 (Unaudited) 6/30/09 (Unaudited) 6/30/09 - --------------- --------------- --------------- --------------- --------------- --------------- $ 1,826,157 $ 2,259,169 $ 313,664 $ 682,711 $ 1,036,094 $ 403,870 14,259 921,361 122,180 1,692,300 532,373 8,042 (442,366) 379,999 (794,761) (128,581) 1,101,892 534,976 ------------ ------------ ------------ ------------ ----------- ----------- 1,398,050 3,560,529 (358,917) 2,246,430 2,670,359 946,888 ------------ ------------ ------------ ------------ ----------- ----------- 57,505 90,656 17,654 2,382 55,455 33,950 ------------ ------------ ------------ ------------ ----------- ----------- (2,134,160) (2,206,659) (384,070) (675,285) (1,215,770) (321,031) (278,156) -- -- -- (76,151) -- ------------ ------------ ------------ ------------ ----------- ----------- (2,412,316) (2,206,659) (384,070) (675,285) (1,291,921) (321,031) ------------ ------------ ------------ ------------ ----------- ----------- 63,263,539 109,202,917 16,634,884 33,644,679 28,176,220 26,723,365 -- 734 -- -- 2,274 -- -- (11,748,735) (16,441,959) (29,395,291) (3,199,131) -- (57,505) (90,656) (17,654) (2,382) (55,455) (33,950) -- -- -- -- -- -- ------------ ------------ ------------ ------------ ----------- ----------- 63,206,034 97,364,260 175,271 4,247,006 24,923,908 26,689,415 ------------ ------------ ------------ ------------ ----------- ----------- 62,249,273 98,808,786 (550,062) 5,820,533 26,357,801 27,349,222 143,070,114 44,261,328 16,498,706 10,678,173 27,349,222 -- ------------ ------------ ------------ ------------ ----------- ----------- $205,319,387 $143,070,114 $ 15,948,644 $ 16,498,706 $53,707,023 $27,349,222 ============ ============ ============ ============ =========== =========== 1,100,000 1,900,000 300,000 600,000 900,000 900,000 -- 13 -- -- 72 -- -- (200,000) (300,000) (500,000) (100,000) -- ------------ ------------ ------------ ------------ ----------- ----------- 1,100,000 1,700,013 -- 100,000 800,072 900,000 ============ ============ ============ ============ =========== =========== $ (217,706) $ 90,297 $ (14,685) $ 55,721 $ (96,837) $ 82,839 ============ ============ ============ ============ =========== ===========
117 SPDR SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) - --------------------------------------------------------------------------------
SPDR BARCLAYS CAPITAL LONG TERM SPDR BARCLAYS CAPITAL CONVERTIBLE CREDIT BOND ETF BOND ETF ---------------------------------- ---------------------------------- Six Months For the Period Six Months For the Period Ended 12/31/09 3/10/09*- Ended 12/31/09 4/14/09*- (Unaudited) 6/30/09 (Unaudited) 6/30/09 --------------- --------------- --------------- --------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income (loss).......... $ 374,776 $ 130,404 $ 3,419,345 $ 342,721 Net realized gain (loss) on investments and foreign currency transactions....................... 130,915 12,214 1,578,570 147,326 Net change in unrealized appreciation (depreciation) on investments and foreign currency transactions...... 203,918 612,590 18,162,488 1,316,656 ----------- ---------- ------------ ----------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.......... 709,609 755,208 23,160,403 1,806,703 ----------- ---------- ------------ ----------- Net equalization credits and charges.. 21,897 -- 268,919 53,993 ----------- ---------- ------------ ----------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................. (437,511) (93,868) (4,327,049) (238,677) Net realized gains.................... (55,772) -- (681,002) -- ----------- ---------- ------------ ----------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS... (493,283) (93,868) (5,008,051) (238,677) ----------- ---------- ------------ ----------- FROM BENEFICIAL INTEREST TRANSACTIONS: Net proceeds from sale of shares sold............................... 17,645,422 6,000,000 176,708,838 42,690,265 Net proceeds from reinvestment of shares issued...................... -- -- -- -- Cost of shares redeemed............... -- -- (7,287,625) -- Net income equalization............... (21,897) -- (268,919) (53,993) Other capital (Note 4)................ -- -- 69,729 49,026 ----------- ---------- ------------ ----------- NET INCREASE (DECREASE) IN NET ASSETS FROM BENEFICIAL INTEREST TRANSACTIONS....................... 17,623,525 6,000,000 169,222,023 42,685,298 ----------- ---------- ------------ ----------- Net increase (decrease) in net assets during the period.................. 17,861,748 6,661,340 187,643,294 44,307,317 Net assets at beginning of period..... 6,661,340 -- 44,307,317 -- ----------- ---------- ------------ ----------- NET ASSETS END OF PERIOD (1) ........... $24,523,088 $6,661,340 $231,950,611 $44,307,317 =========== ========== ============ =========== SHARES OF BENEFICIAL INTEREST: Shares sold........................... 500,000 200,000 5,000,000 1,400,000 Shares issued to shareholders from reinvestment of distributions...... -- -- -- -- Shares redeemed....................... -- -- (200,000) -- ----------- ---------- ------------ ----------- NET INCREASE (DECREASE)............... 500,000 200,000 4,800,000 1,400,000 =========== ========== ============ =========== (1) Including undistributed (distribution in excess of) net investment income..................... $ (26,199) $ 36,536 $ (726,506) $ 181,198 =========== ========== ============ ===========
* Commencement of operations
See accompanying notes to financial statements. 118 - --------------------------------------------------------------------------------
SPDR BARCLAYS CAPITAL MORTGAGE SPDR BARCLAYS CAPITAL AGGREGATE SPDR BARCLAYS CAPITAL MUNICIPAL BACKED BOND ETF BOND ETF BOND ETF - ---------------------------------- ---------------------------------- ---------------------------------- Six Months For the Period Six Months Six Months Ended 12/31/09 1/15/09*- Ended 12/31/09 Year Ended Ended 12/31/09 Year Ended (Unaudited) 6/30/09 (Unaudited) 6/30/09 (Unaudited) 6/30/09 - --------------- --------------- --------------- --------------- --------------- --------------- $ 106,783 $ 50,976 $ 3,399,077 $ 6,337,345 $ 13,667,080 $ 15,373,058 191,960 28,799 3,032,878 2,754,144 186,074 (1,100,131) (113,048) (293) 793,686 1,786,741 21,284,010 8,026,582 ----------- ---------- ------------ ------------ ------------ ------------ 185,695 79,482 7,225,641 10,878,230 35,137,164 22,299,509 ----------- ---------- ------------ ------------ ------------ ------------ 7,506 -- 42,819 98,508 352,146 562,214 ----------- ---------- ------------ ------------ ------------ ------------ (130,048) (36,320) (4,045,987) (6,254,005) (15,969,721) (14,785,405) (122,529) -- (3,548,974) (197,445) -- -- ----------- ---------- ------------ ------------ ------------ ------------ (252,577) (36,320) (7,594,961) (6,451,450) (15,969,721) (14,785,405) ----------- ---------- ------------ ------------ ------------ ------------ 5,336,696 5,209,100 22,387,705 80,138,674 206,772,253 328,557,065 -- -- 4,890 2,294 30,160 6,771 -- -- (10,959,435) (5,372,862) -- (8,670,066) (7,506) -- (42,819) (98,508) (352,146) (562,214) 10,673 -- -- 14,935 103,386 46,930 ----------- ---------- ------------ ------------ ------------ ------------ 5,339,863 5,209,100 11,390,341 74,684,533 206,553,653 319,378,486 ----------- ---------- ------------ ------------ ------------ ------------ 5,280,487 5,252,262 11,063,840 79,209,821 226,073,242 327,454,804 5,252,262 -- 196,089,710 116,879,889 583,859,267 256,404,463 ----------- ---------- ------------ ------------ ------------ ------------ $10,532,749 $5,252,262 $207,153,550 $196,089,710 $809,932,509 $583,859,267 =========== ========== ============ ============ ============ ============ 200,000 200,000 400,000 1,500,000 9,200,000 15,200,000 -- -- 88 43 1,341 308 -- -- (200,000) (100,000) -- (400,000) ----------- ---------- ------------ ------------ ------------ ------------ 200,000 200,000 200,088 1,400,043 9,201,341 14,800,308 =========== ========== ============ ============ ============ ============ $ (8,609) $ 14,656 $ (434,470) $ 212,440 $ (1,227,375) $ 1,075,266 =========== ========== ============ ============ ============ ============
119 SPDR SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) - --------------------------------------------------------------------------------
SPDR BARCLAYS CAPITAL CALIFORNIA SPDR BARCLAYS CAPITAL NEW YORK MUNICIPAL BOND ETF MUNICIPAL BOND ETF ---------------------------------- ---------------------------------- Six Months Six Months Ended 12/31/09 Year Ended Ended 12/31/09 Year Ended (Unaudited) 6/30/09 (Unaudited) 6/30/09 --------------- --------------- --------------- --------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income (loss).......... $ 1,131,680 $ 1,205,952 $ 360,723 $ 524,623 Net realized gain (loss) on investments and foreign currency transactions....................... 124,295 (268,851) 25,849 (202,776) Net change in unrealized appreciation (depreciation) on investments and foreign currency transactions...... 1,789,766 (375,343) 639,959 123,117 ----------- ----------- ----------- ----------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.......... 3,045,741 561,758 1,026,531 444,964 ----------- ----------- ----------- ----------- Net equalization credits and charges.. 28,177 21,992 8,682 5,016 ----------- ----------- ----------- ----------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................. (1,302,686) (1,135,504) (419,007) (524,366) Return of capital..................... -- -- -- -- ----------- ----------- ----------- ----------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS... (1,302,686) (1,135,504) (419,007) (524,366) ----------- ----------- ----------- ----------- FROM BENEFICIAL INTEREST TRANSACTIONS: Net proceeds from sale of shares sold............................... 17,770,270 23,551,126 4,417,831 2,137,971 Net proceeds from reinvestment of shares issued...................... 2,612 237 -- 152 Cost of shares redeemed............... -- -- -- -- Net income equalization............... (28,177) (21,992) (8,682) (5,016) Other capital (Note 4)................ 8,885 6,317 2,209 1,069 ----------- ----------- ----------- ----------- NET INCREASE (DECREASE) IN NET ASSETS FROM BENEFICIAL INTEREST TRANSACTIONS....................... 17,753,590 23,535,688 4,411,358 2,134,176 ----------- ----------- ----------- ----------- Net increase (decrease) in net assets during the period.................. 19,524,822 22,983,934 5,027,564 2,059,790 Net assets at beginning of period..... 40,376,108 17,392,174 15,045,544 12,985,754 ----------- ----------- ----------- ----------- NET ASSETS END OF PERIOD (1) ........... $59,900,930 $40,376,108 $20,073,108 $15,045,544 =========== =========== =========== =========== SHARES OF BENEFICIAL INTEREST: Shares sold........................... 800,000 1,100,000 200,000 100,000 Shares issued to shareholders from reinvestment of distributions...... 117 11 -- 7 Shares redeemed....................... -- -- -- -- ----------- ----------- ----------- ----------- NET INCREASE (DECREASE)............... 800,117 1,100,011 200,000 100,007 =========== =========== =========== =========== (1) Including undistributed (distribution in excess of) net investment income..................... $ (58,333) $ 112,673 $ (14,413) $ 43,871 =========== =========== =========== ===========
* Commencement of operations
See accompanying notes to financial statements. 120 - --------------------------------------------------------------------------------
SPDR S&P VRDO SPDR BARCLAYS CAPITAL SHORT TERM MUNICIPAL BOND SPDR DB INTERNATIONAL GOVERNMENT MUNICIPAL BOND ETF ETF INFLATION-PROTECTED BOND ETF - ---------------------------------- --------------- ---------------------------------- Six Months For the Period Six Months Ended 12/31/09 Year Ended 9/23/09*- Ended 12/31/09 Year Ended (Unaudited) 6/30/09 12/31/09 (Unaudited) 6/30/09 - --------------- --------------- --------------- --------------- --------------- $ 6,546,777 $ 6,437,771 $ 5,913 $ 12,743,432 $ 10,018,005 5,008 (117,102) -- (2,502,144) (34,252,055) 9,239,074 7,956,750 -- 21,430,936 (7,396,973) ------------ ------------ ----------- -------------- ------------ 15,790,859 14,277,419 5,913 31,672,224 (31,631,023) ------------ ------------ ----------- -------------- ------------ 327,728 348,221 552 9,055,899 122,652 ------------ ------------ ----------- -------------- ------------ (7,855,997) (6,169,703) (6,674) (7,833,779) (183,415) -- -- -- -- (8,197,947) ------------ ------------ ----------- -------------- ------------ (7,855,997) (6,169,703) (6,674) (7,833,779) (8,381,362) ------------ ------------ ----------- -------------- ------------ 382,089,740 379,490,167 15,001,301 620,530,824 312,491,936 42,234 9,212 -- -- 22,236 -- (9,107,605) -- -- (84,788,483) (327,728) (348,221) (552) (9,055,899) (122,652) 191,045 63,666 3,000 1,861,593 354,791 ------------ ------------ ----------- -------------- ------------ 381,995,291 370,107,219 15,003,749 613,336,518 227,957,828 ------------ ------------ ----------- -------------- ------------ 390,257,881 378,563,156 15,003,540 646,230,862 188,068,095 501,787,694 123,224,538 -- 394,482,101 206,414,006 ------------ ------------ ----------- -------------- ------------ $892,045,575 $501,787,694 $15,003,540 $1,040,712,963 $394,482,101 ============ ============ =========== ============== ============ 16,000,000 16,200,000 500,000 11,100,000 6,000,000 1,771 393 -- -- 481 -- (400,000) -- -- (1,800,000) ------------ ------------ ----------- -------------- ------------ 16,001,771 15,800,393 500,000 11,100,000 4,200,481 ============ ============ =========== ============== ============ $ (913,506) $ 395,714 $ (761) $ (9,071,847) $(13,981,500) ============ ============ =========== ============== ============
121 SPDR SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) - --------------------------------------------------------------------------------
SPDR BARCLAYS CAPITAL SHORT TERM INTERNATIONAL TREASURY BOND ETF ---------------------------------- Six Months For the Period Ended 12/31/09 1/15/09*- (Unaudited) 6/30/09 --------------- --------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income (loss).......... $ 415,291 $ 50,291 Net realized gain (loss) on investments and foreign currency transactions....................... 403,809 103,697 Net change in unrealized appreciation (depreciation) on investments and foreign currency transactions...... (3,105,149) 430,926 ------------ ----------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.......... (2,286,049) 584,914 ------------ ----------- Net equalization credits and charges.. 209,240 (15,074) ------------ ----------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................. (895,839) (9,738) Net realized gains.................... (14,178) -- ------------ ----------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS... (910,017) (9,738) ------------ ----------- FROM BENEFICIAL INTEREST TRANSACTIONS: Net proceeds from sale of shares sold............................... 129,930,077 9,922,581 Net proceeds from reinvestment of shares issued...................... -- -- Cost of shares redeemed............... -- -- Net income equalization............... (209,240) 15,074 Other capital (Note 4)................ 191,346 16,563 ------------ ----------- NET INCREASE (DECREASE) IN NET ASSETS FROM BENEFICIAL INTEREST TRANSACTIONS....................... 129,912,183 9,954,218 ------------ ----------- Net increase (decrease) in net assets during the period.................. 126,925,357 10,514,320 Voluntary contribution from Adviser... -- -- Net assets at beginning of period..... 10,514,320 -- ------------ ----------- NET ASSETS END OF PERIOD (1) ........... $137,439,677 $10,514,320 ============ =========== SHARES OF BENEFICIAL INTEREST: Shares sold........................... 3,500,000 300,000 Shares issued to shareholders from reinvestment of distributions...... -- -- Shares redeemed....................... -- -- ------------ ----------- NET INCREASE (DECREASE)............... 3,500,000 300,000 ============ =========== (1) Including undistributed (distribution in excess of) net investment income..................... $ (340,829) $ 139,719 ============ ===========
* Commencement of operations
See accompanying notes to financial statements. 122 - --------------------------------------------------------------------------------
SPDR BARCLAYS CAPITAL SHORT SPDR BARCLAYS CAPITAL SPDR BARCLAYS CAPITAL HIGH YIELD TERM CORPORATE INTERNATIONAL TREASURY BOND ETF BOND ETF BOND ETF - ---------------------------------- ---------------------------------- --------------- Six Months Six Months For the Period Ended 12/31/09 Year Ended Ended 12/31/09 Year Ended 12/16/09*- (Unaudited) 6/30/09 (Unaudited) 6/30/09 12/31/09 - --------------- --------------- --------------- --------------- -------- $ 17,928,974 $ 25,350,415 $ 159,897,641 $ 120,433,956 $ 2,637 5,408,486 (39,101,838) 74,858,112 (98,184,325) (1,487) 30,976,689 14,512,853 246,475,303 96,648,814 (82,986) -------------- -------------- -------------- -------------- ----------- 54,314,149 761,430 481,231,056 118,898,445 (81,836) -------------- -------------- -------------- -------------- ----------- 3,164,440 (238,876) 7,738,933 9,921,224 1,987 -------------- -------------- -------------- -------------- ----------- (6,824,738) (18,485,525) (190,698,215) (111,409,271) (5,992) -- -- -- -- -- -------------- -------------- -------------- -------------- ----------- (6,824,738) (18,485,525) (190,698,215) (111,409,271) (5,992) -------------- -------------- -------------- -------------- ----------- 373,841,861 496,661,958 1,288,382,045 1,556,404,405 14,953,200 -- 878 624,635 207,168 -- (22,976,227) (151,065,448) (61,454,094) (65,463,641) -- (3,164,440) 238,876 (7,738,933) (9,921,224) (1,987) 992,045 367,860 -- 82,500 13,482 -------------- -------------- -------------- -------------- ----------- 348,693,239 346,204,124 1,219,813,653 1,481,309,208 14,964,695 -------------- -------------- -------------- -------------- ----------- 399,347,090 328,241,153 1,518,085,427 1,498,719,606 14,878,854 -- -- -- 7,643,517 -- 1,089,230,767 760,989,614 1,900,709,148 394,346,025 -- -------------- -------------- -------------- -------------- ----------- $1,488,577,857 $1,089,230,767 $3,418,794,575 $1,900,709,148 $14,878,854 ============== ============== ============== ============== =========== 6,500,000 9,300,000 34,800,000 48,500,000 500,000 -- 17 17,314 6,498 -- (400,000) (3,000,000) (1,700,000) (2,100,000) -- -------------- -------------- -------------- -------------- ----------- 6,100,000 6,300,017 33,117,314 46,406,498 500,000 ============== ============== ============== ============== =========== $ (19,810,489) $ (30,914,725) $ (19,626,580) $ 11,173,994 $ (3,355) ============== ============== ============== ============== ===========
123 SPDR SERIES TRUST FINANCIAL HIGHLIGHTS SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------
SPDR BARCLAYS CAPITAL 1-3 MONTH T-BILL ETF ------------------------------------------------------- Six Months For the Ended Period 12/31/09 Year Ended Year Ended 5/25/07*- (Unaudited) 6/30/09 6/30/08 6/30/07 ------------- ------------- ------------- ------------- NET ASSET VALUE, BEGINNING OF PERIOD.... $ 45.86 $ 45.88 $ 45.96 $ 45.74 -------- -------- -------- ------- INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income (loss)............ 0.00(5) (6) 0.23(6) 1.32 0.20 Net realized and unrealized gain (loss) (1)............................ 0.00(5) 0.11 0.03 0.02 -------- -------- -------- ------- Total from investment operations........ 0.00(5) 0.34 1.35 0.22 -------- -------- -------- ------- Net equalization credits and charges (6)........................... 0.00(5) 0.02 0.09 -- -------- -------- -------- ------- Other Capital (6)....................... -- -- -- -- -------- -------- -------- ------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................... (0.01) (0.37) (1.52) -- Net realized gains...................... (0.00)(5) (0.01) -- -- -------- -------- -------- ------- Total distributions..................... (0.01) (0.38) (1.52) -- -------- -------- -------- ------- NET ASSET VALUE, END OF PERIOD.......... $ 45.85 $ 45.86 $ 45.88 $ 45.96 ======== ======== ======== ======= TOTAL RETURN (2)........................ 0.00%(7) 0.79% 3.18% 0.48% Net Assets, end of period (in 000's).... $752,022 $985,943 $284,435 $36,766 Ratio of expenses to average net assets............................ 0.14%(3) 0.14% 0.14% 0.14%(3) Ratio of net investment income (loss) to average net assets.................... 0.02%(3) 0.49% 2.72% 4.49%(3) Portfolio turnover rate (4)............. 324% 692% 583% 2%
* Commencement of operations (1) Amounts shown in 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) Amount is less than 0.005%.
124 - --------------------------------------------------------------------------------
SPDR BARCLAYS CAPITAL TIPS ETF SPDR BARCLAYS CAPITAL INTERMEDIATE TERM TREASURY ETF - ------------------------------------------------------- ------------------------------------------------------- Six Months For the Six Months For the Ended Period Ended Period 12/31/09 Year Ended Year Ended 5/25/07*- 12/31/09 Year Ended Year Ended 5/23/07*- (Unaudited) 6/30/09 6/30/08 6/30/07 (Unaudited) 6/30/09 6/30/08 6/30/07 - ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- $ 49.74 $ 52.00 $ 47.88 $ 48.01 $ 57.22 $ 55.32 $ 52.56 $ 52.57 -------- -------- ------- ------- -------- -------- ------- ------- 1.03(6) 0.54(6) 2.86 0.41 0.59(6) 1.43(6) 2.06 0.22 1.32 (1.19) 4.24 (0.57) (0.03) 1.92 2.81 (0.23) -------- -------- ------- ------- -------- -------- ------- ------- 2.35 (0.65) 7.10 (0.16) 0.56 3.35 4.87 (0.01) -------- -------- ------- ------- -------- -------- ------- ------- 0.01 0.07 (0.12) 0.03 0.02 0.06 0.17 -- -------- -------- ------- ------- -------- -------- ------- ------- -- 0.00(5) -- -- -- -- -- -- -------- -------- ------- ------- -------- -------- ------- ------- (0.95) (1.68) (2.86) -- (0.69) (1.51) (2.24) -- -- -- -- -- (0.08) -- (0.04) -- -------- -------- ------- ------- -------- -------- ------- ------- (0.95) (1.68) (2.86) -- (0.77) (1.51) (2.28) -- -------- -------- ------- ------- -------- -------- ------- ------- $ 51.15 $ 49.74 $ 52.00 $ 47.88 $ 57.03 $ 57.22 $ 55.32 $ 52.56 ======== ======== ======= ======= ======== ======== ======= ======= 4.78% (1.11)% 14.96% (0.27)% 1.01% 6.20% 9.73% (0.02)% $347,829 $288,501 $93,602 $57,457 $205,319 $143,070 $44,261 $10,513 0.19%(3) 0.19% 0.19% 0.19%(3) 0.14%(3) 0.14% 0.14% 0.14%(3) 4.03%(3) 1.11% 6.49% 10.23%(3) 2.04%(3) 2.50% 3.51% 4.13%(3) 9% 21% 16% 0% 22% 49% 36% 7%
125 SPDR SERIES TRUST FINANCIAL HIGHLIGHTS SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------
SPDR BARCLAYS CAPITAL LONG TERM TREASURY ETF ------------------------------------------------------- Six Months For the Ended Period 12/31/09 Year Ended Year Ended 5/23/07*- (Unaudited) 6/30/09 6/30/08 6/30/07 ------------- ------------- ------------- ------------- NET ASSET VALUE, BEGINNING OF PERIOD.... $ 55.00 $ 53.39 $ 49.67 $50.12 ------- ------- ------- ------ INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income (loss)............ 1.10(5) 2.36(5) 2.47 0.22 Net realized and unrealized gain (loss) (1)............................ (1.72) 1.64 3.72 (0.67) ------- ------- ------- ------ Total from investment operations........ (0.62) 4.00 6.19 (0.45) ------- ------- ------- ------ Net equalization credits and charges (5)........................... 0.06 0.01 (0.01) -- ------- ------- ------- ------ Other Capital (5)....................... -- -- -- -- ------- ------- ------- ------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................... (1.28) (2.40) (2.45) -- Net realized gains...................... -- -- (0.01) -- ------- ------- ------- ------ Total distributions..................... (1.28) (2.40) (2.46) -- ------- ------- ------- ------ NET ASSET VALUE, END OF PERIOD.......... $ 53.16 $ 55.00 $ 53.39 $49.67 ======= ======= ======= ====== TOTAL RETURN (2)........................ (1.06)% 7.51% 12.62% (0.90)% Net Assets, end of period (in 000's).... $15,949 $16,499 $10,678 $9,934 Ratio of expenses to average net assets............................ 0.14%(3) 0.14% 0.14% 0.14%(3) Ratio of net investment income (loss) to average net assets.................... 3.95%(3) 4.14% 4.58% 4.29%(3) Portfolio turnover rate (4)............. 28% 17% 11% 4%
* Commencement of operations (1) Amounts shown in 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) Per share numbers have been calculated using the average shares method.
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SPDR BARCLAYS CAPITAL INTERMEDIATE SPDR BARCLAYS CAPITAL LONG SPDR BARCLAYS CAPITAL SPDR BARCLAYS CAPITAL TERM CREDIT BOND ETF TERM CREDIT BOND ETF CONVERTIBLE BOND ETF MORTGAGE BACKED BOND ETF - --------------------------- --------------------------- --------------------------- --------------------------- Six Months For the Six Months For the Six Months For the Six Months For the Ended Period Ended Period Ended Period Ended Period 12/31/09 2/10/09*- 12/31/09 3/10/09*- 12/31/09 4/14/09*- 12/31/09 1/15/09*- (Unaudited) 6/30/09 (Unaudited) 6/30/09 (Unaudited) 6/30/09 (Unaudited) 6/30/09 - ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- $ 30.39 $ 30.00 $ 33.31 $30.00 $ 31.65 $ 30.00 $ 26.26 $26.05 ------- ------- ------- ------ -------- ------- ------- ------ 0.71(5) 0.59(5) 1.03(5) 0.65(5) 0.94(5) 0.35(5) 0.36(5) 0.25(5) 1.34 0.20 1.95 3.13 5.97 1.42 0.39 0.14 ------- ------- ------- ------ -------- ------- ------- ------ 2.05 0.79 2.98 3.78 6.91 1.77 0.75 0.39 ------- ------- ------- ------ -------- ------- ------- ------ 0.04 0.05 0.06 -- 0.07 0.05 0.03 -- ------- ------- ------- ------ -------- ------- ------- ------ -- -- -- -- 0.02 0.05 0.04 -- ------- ------- ------- ------ -------- ------- ------- ------ (0.85) (0.45) (1.24) (0.47) (1.13) (0.22) (0.44) (0.18) (0.04) -- (0.08) -- (0.11) -- (0.31) -- ------- ------- ------- ------ -------- ------- ------- ------ (0.89) (0.45) (1.32) (0.47) (1.24) (0.22) (0.75) (0.18) ------- ------- ------- ------ -------- ------- ------- ------ $ 31.59 $ 30.39 $ 35.03 $33.31 $ 37.41 $ 31.65 $ 26.33 $26.26 ======= ======= ======= ====== ======== ======= ======= ====== 6.95% 2.86% 9.17% 12.70% 22.36% 6.24% 3.11% 1.51% $53,707 $27,349 $24,523 $6,661 $231,951 $44,307 $10,533 $5,252 0.15%(3) 0.15%(3) 0.15%(3) 0.15%(3) 0.40%(3) 0.40%(3) 0.21%(3) 0.20%(3) 4.47%(3) 5.22%(3) 5.84%(3) 6.82%(3) 5.27%(3) 5.33%(3) 2.69%(3) 2.14%(3) 30% 4% 33% 27% 15% 9% 515% 619%
127 SPDR SERIES TRUST FINANCIAL HIGHLIGHTS SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------
SPDR BARCLAYS CAPITAL AGGREGATE BOND ETF ------------------------------------------------------- Six Months For the Ended Period 12/31/09 Year Ended Year Ended 5/23/07*- (Unaudited) 6/30/09 6/30/08 6/30/07 ------------- ------------- ------------- ------------- NET ASSET VALUE, BEGINNING OF PERIOD.... $ 54.47 $ 53.13 $ 52.09 $ 52.36 -------- -------- -------- ------- INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income (loss)............ 0.94(6) 2.13(6) 2.44 0.24 Net realized and unrealized gain (loss) (1)............................ 1.13 1.41 0.91 (0.51) -------- -------- -------- ------- Total from investment operations........ 2.07 3.54 3.35 (0.27) -------- -------- -------- ------- Net equalization credits and charges (6)........................... 0.01 0.03 0.31 -- -------- -------- -------- ------- Other Capital (6)....................... -- 0.01 -- -- -------- -------- -------- ------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................... (1.11) (2.18) (2.62) -- Net realized gains...................... (0.93) (0.06) -- -- -------- -------- -------- ------- Total distributions..................... (2.04) (2.24) (2.62) -- -------- -------- -------- ------- NET ASSET VALUE, END OF PERIOD.......... $ 54.51 $ 54.47 $ 53.13 $ 52.09 ======== ======== ======== ======= TOTAL RETURN (2)........................ 3.79% 6.90% 7.13% (0.52)% Net Assets, end of period (in 000's).... $207,154 $196,090 $116,880 $10,419 Ratio of expenses to average net assets............................ 0.13%(3) 0.13% 0.13% 0.13%(3) Ratio of expense to average net assets before waivers........................ 0.18%(3) 0.19% 0.19% 0.19%(3) Ratio of net investment income (loss) to average net assets.................... 3.37%(3) 3.98% 4.13% 4.42%(3) Portfolio turnover rate (4)............. 219% 475% 151% 17%
* Commencement of operations (1) Amounts shown in 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.
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SPDR BARCLAYS CAPITAL CALIFORNIA SPDR BARCLAYS CAPITAL NEW YORK MUNICIPAL SPDR BARCLAYS CAPITAL MUNICIPAL BOND ETF MUNICIPAL BOND ETF BOND ETF - ----------------------------------------- ----------------------------------------- ----------------------------------------- Six Months For the Six Months For the Six Months For the Ended Period Ended Period Ended Period 12/31/09 Year Ended 9/11/07*- 12/31/09 Year Ended 10/10/07*- 12/31/09 Year Ended 10/11/07*- (Unaudited) 6/30/09 6/30/08 (Unaudited) 6/30/09 6/30/08 (Unaudited) 6/30/09 6/30/08 - ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- $ 21.95 $ 21.73 $ 22.16 $ 21.25 $ 21.74 $ 22.18 $ 21.49 $ 21.64 $ 21.96 -------- -------- -------- ------- ------- ------- ------- ------- ------- 0.43(6) 0.86(6) 0.64 0.48(6) 0.92(6) 0.62 0.44(6) 0.87(6) 0.63 0.73 0.18 (0.53) 1.00 (0.52) (0.52) 0.87 (0.16) (0.39) -------- -------- -------- ------- ------- ------- ------- ------- ------- 1.16 1.04 0.11 1.48 0.40 0.10 1.31 0.71 0.24 -------- -------- -------- ------- ------- ------- ------- ------- ------- 0.01 0.03 0.05 0.01 0.02 0.02 0.01 0.01 -- -------- -------- -------- ------- ------- ------- ------- ------- ------- 0.00(5) 0.00(5) 0.00(5) 0.00(5) 0.00(5) 0.00(5) 0.00(5) 0.00(5) -- -------- -------- -------- ------- ------- ------- ------- ------- ------- (0.50) (0.85) (0.59) (0.56) (0.91) (0.56) (0.51) (0.87) (0.56) -- -- -- -- -- -- -- -- -- -------- -------- -------- ------- ------- ------- ------- ------- ------- (0.50) (0.85) (0.59) (0.56) (0.91) (0.56) (0.51) (0.87) (0.56) -------- -------- -------- ------- ------- ------- ------- ------- ------- $ 22.62 $ 21.95 $ 21.73 $ 22.18 $ 21.25 $ 21.74 $ 22.30 $ 21.49 $ 21.64 ======== ======== ======== ======= ======= ======= ======= ======= ======= 5.35% 5.07% 0.73% 7.04% 2.02% 0.54% 6.19% 3.49% 1.08% $809,933 $583,859 $256,404 $59,901 $40,376 $17,392 $20,073 $15,046 $12,986 0.20%(3) 0.20% 0.20%(3) 0.20%(3) 0.20% 0.20%(3) 0.20%(3) 0.20% 0.20%(3) 0.30%(3) 0.30% 0.30%(3) -- -- -- -- -- -- 3.75%(3) 3.96% 3.79%(3) 4.33%(3) 4.33% 4.04%(3) 3.97%(3) 4.11% 4.02%(3) 1% 3% 0% 11% 24% 17% 10% 33% 32%
129 SPDR SERIES TRUST FINANCIAL HIGHLIGHTS SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------
SPDR BARCLAYS CAPITAL SHORT TERM MUNICIPAL BOND ETF ----------------------------------------- Six Months For the Ended Period 12/31/09 Year Ended 10/10/07*- (Unaudited) 6/30/09 6/30/08 ------------- ------------- ------------- NET ASSET VALUE, BEGINNING OF PERIOD.... $ 23.67 $ 22.82 $ 22.53 -------- -------- -------- INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income (loss)............ 0.22(5) 0.55(5) 0.45 Net realized and unrealized gain (loss) (1)............................ 0.34 0.83 0.19 -------- -------- -------- Total from investment operations........ 0.56 1.38 0.64 -------- -------- -------- Net equalization credits and charges (5)........................... 0.01 0.03 0.06 -------- -------- -------- Other Capital (5)....................... 0.01 0.01 0.01 -------- -------- -------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................... (0.27) (0.57) (0.42) Return of capital....................... -- -- -- -------- -------- -------- Total distributions..................... (0.27) (0.57) (0.42) -------- -------- -------- NET ASSET VALUE, END OF PERIOD.......... $ 23.98 $ 23.67 $ 22.82 ======== ======== ======== TOTAL RETURN (2)........................ 2.45% 6.29% 3.16% Net Assets, end of period (in 000's).... $892,046 $501,788 $123,225 Ratio of expenses to average net assets............................ 0.20%(3) 0.20% 0.20%(3) Ratio of net investment income (loss) to average net assets.................... 1.86%(3) 2.35% 2.66%(3) Portfolio turnover rate (4)............. 4% 4% 2%
* Commencement of operations (1) Amounts shown in 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) Per share numbers have been calculated using the average shares method. (6) Amount is less than $0.005 per share.
130 - --------------------------------------------------------------------------------
SPDR S&P VRDO SPDR BARCLAYS CAPITAL SHORT MUNICIPAL SPDR DB INTERNATIONAL GOVERNMENT TERM INTERNATIONAL TREASURY BOND ETF INFLATION-PROTECTED BOND ETF BOND ETF - ------------- ----------------------------------------- --------------------------- For the Period Six Months For the Six Months For the 9/23/09*- Ended Period Ended Period 12/31/09 12/31/09 Year Ended 3/13/08*- 12/31/09 1/15/09*- (Unaudited) (Unaudited) 6/30/09 6/30/08 (Unaudited) 6/30/09 - ------------- ------------- ------------- ------------- ------------- ------------- $ 30.00 $ 51.90 $ 60.71 $ 61.85 $ 35.05 $ 33.05 ------- ---------- -------- -------- -------- ------- 0.01(5) 1.05(5) 2.08(5) 0.73 0.24(5) 0.21(5) -- 2.23 (9.07) (1.35) 1.19 1.83 ------- ---------- -------- -------- -------- ------- 0.01 3.28 (6.99) (0.62) 1.43 2.04 ------- ---------- -------- -------- -------- ------- 0.00(6) 0.74 0.03 0.10 0.12 (0.06) ------- ---------- -------- -------- -------- ------- 0.01 0.15 0.07 0.05 0.11 0.07 ------- ---------- -------- -------- -------- ------- (0.01) (0.42) (0.04) (0.67) (0.54) (0.05) -- -- (1.88) -- -- -- ------- ---------- -------- -------- -------- ------- (0.01) (0.42) (1.92) (0.67) (0.54) (0.05) ------- ---------- -------- -------- -------- ------- $ 30.01 $ 55.65 $ 51.90 $ 60.71 $ 36.17 $ 35.05 ======= ========== ======== ======== ======== ======= 0.08% 8.03% (11.34)% (0.73)% 4.74% 6.22% $15,004 $1,040,713 $394,482 $206,414 $137,440 $10,514 0.21%(3) 0.50%(3) 0.50% 0.50%(3) 0.35%(3) 0.36%(3) 0.17%(3) 3.75%(3) 4.20% 6.89%(3) 1.30%(3) 1.39%(3) 53% 13% 50% 2% 23% 39%
131 SPDR SERIES TRUST FINANCIAL HIGHLIGHTS SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------
SPDR BARCLAYS CAPITAL INTERNATIONAL TREASURY BOND ETF ----------------------------------------- Six Months For the Ended Period 12/31/09 Year Ended 10/2/07*- (Unaudited) 6/30/09 6/30/08 ------------- ------------- ------------- NET ASSET VALUE, BEGINNING OF PERIOD.... $ 54.19 $ 55.14 $ 51.55 ---------- ---------- -------- INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income (loss)............ 0.76(6) 1.51(6) 0.97 Net realized and unrealized gain (loss) (1)............................ 1.96 (1.32) 3.49 ---------- ---------- -------- Total from investment operations........ 2.72 0.19 4.46 ---------- ---------- -------- Net equalization credits and charges (6)........................... 0.13 (0.01) 0.11 ---------- ---------- -------- Other Capital (6)....................... 0.04 0.02 0.03 ---------- ---------- -------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................... (0.26) (1.15) (1.01) ---------- ---------- -------- NET ASSET VALUE, END OF PERIOD.......... $ 56.82 $ 54.19 $ 55.14 ========== ========== ======== TOTAL RETURN (2)........................ 5.33% 0.50% 8.95% Net Assets, end of period (in 000's).... $1,488,578 $1,089,231 $760,990 Ratio of expenses to average net assets............................ 0.50%(3) 0.50% 0.50%(3) Ratio of net investment income (loss) to average net assets.................... 2.65%(3) 2.91% 3.03%(3) Portfolio turnover rate (4)............. 15% 43% 54%
* Commencement of operations (1) Amounts shown in 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 coluntary contribution during the Year Ended 6/30/09 to the SPDR Barclays Capital High Yield Bond ETF, the total return would have been (10.44)%.
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SPDR BARCLAYS CAPITAL SHORT TERM CORPORATE SPDR BARCLAYS CAPITAL HIGH YIELD BOND ETF BOND ETF - ----------------------------------------- ------------- For the Six Months For the Period Ended Period 12/16/09*- 12/31/09 Year Ended 11/28/07*- 12/31/09 (Unaudited) 6/30/09 6/30/08 (Unaudited) - ------------- ------------- ------------- ------------- $ 34.30 $ 43.82 $ 47.29 $ 30.00 ---------- ---------- -------- ------- 2.25(6) 4.75(6) 2.19 0.01(6) 4.64 (10.11) (4.04) (0.29) ---------- ---------- -------- ------- 6.89 (5.36) (1.85) (0.28) ---------- ---------- -------- ------- 0.11 0.39 0.39 0.01 ---------- ---------- -------- ------- -- 0.00(5) 0.01 0.04 ---------- ---------- -------- ------- (2.68) (4.55) (2.02) (0.01) ---------- ---------- -------- ------- $ 38.62 $ 34.30 $ 43.82 $ 29.76 ========== ========== ======== ======= 21.02% (10.13)%(7) (3.10)% (0.76)% $3,418,795 $1,900,709 $394,346 $14,879 0.40%(3) 0.40% 0.40%(3) 0.12%(3) 12.11%(3) 14.81% 9.43%(3) 0.69%(3) 26% 30% 19% 6%
133 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS DECEMBER 31, 2009 (UNAUDITED) - -------------------------------------------------------------------------------- 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 December 31, 2009, the Trust offered forty-seven (47) 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 nineteen (19) 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 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, 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 S&P VRDO Municipal Bond ETF, SPDR DB International Government Inflation-Protected Bond ETF, SPDR Barclays Capital Short Term International Treasury Bond ETF, SPDR Barclays Capital International Treasury Bond ETF, SPDR Barclays Capital High Yield Bond ETF and SPDR Barclays Capital Short Term Corporate Bond ETF. Each Fund operates as a non-diversified investment company. The other twenty-eight (28) Funds are included in a separate Semi-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. The value of each 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, Funds will not sell a fixed income security because the security's issuer was in financial trouble, unless that security is removed from the Fund's respective 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 and other financial instruments are 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. Variable Rate Demand Obligations are valued at par. Forward foreign currency contracts are valued at the forward rate and are marked-to- market daily. U.S. fixed income 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 134 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - -------------------------------------------------------------------------------- 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. Fair value pricing involves subjective judgments and it is possible that the fair value determination for a security is materially different than the value that could be received on the sale of the security. Effective July 1, 2008, the first day of the Funds' fiscal year 2009, the Funds adopted the authoritative guidance for fair value measurements and the fair value option for financial assets and financial liabilities. The guidance for the fair value option for financial assets and financial liabilities provides funds the irrevocable option to measure many financial assets and liabilities at fair value with changes in fair value recognized in earnings. The guidance also establishes a hierarchy for inputs used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs be used when available. The guidance establishes three levels of inputs that may be used to measure fair value: - - Level 1 -- quoted prices in active markets for identical investments. - - Level 2 -- other significant observable inputs (including, but not limited to, quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) - - Level 3 -- significant unobservable inputs (including the 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 benchmark index. The inputs or methodology used for valuation are not necessarily an indication of the risk associated with investing in those investments. The type of inputs used to value each security is identified in the Schedule of Investments, which also includes a breakdown of the Fund's 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. 135 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - -------------------------------------------------------------------------------- The following table summarizes the inputs used in valuing the Funds' investments, as of December 31, 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.............................. $ 349,733 $ 751,949,321 $-- $ 752,299,054 SPDR Barclays Capital TIPS ETF.......... 71,994,306 344,847,294 -- 416,841,600 SPDR Barclays Capital Intermediate Term Treasury ETF.......................... 42,903,672 203,465,764 -- 246,369,436 SPDR Barclays Capital Long Term Treasury ETF.......................... 3,271,435 15,719,254 -- 18,990,689 SPDR Barclays Capital Intermediate Term Credit Bond ETF....................... 2,202,892 52,313,679 -- 54,516,571 SPDR Barclays Capital Long Term Credit Bond ETF.............................. 227,845 24,090,744 -- 24,318,589 SPDR Barclays Capital Convertible Bond ETF.............................. 59,704,965 173,264,281 -- 232,969,246 SPDR Barclays Capital Mortgage Backed Bond ETF.............................. 10,807,844 10,509,113 -- 21,316,957 SPDR Barclays Capital Aggregate Bond ETF.............................. 109,184,845 226,898,162 -- 336,083,007 SPDR Barclays Capital Municipal Bond ETF.............................. 2,662,520 800,308,654 -- 802,971,174 SPDR Barclays Capital California Municipal Bond ETF.................... 69,261 59,209,823 -- 59,279,084 SPDR Barclays Capital New York Municipal Bond ETF.............................. 33,808 19,885,570 -- 19,919,378 SPDR Barclays Capital Short Term Municipal Bond ETF.................... 5,072,984 878,094,915 -- 883,167,899 SPDR S&P VRDO Municipal Bond ETF........ 58,873 14,394,000 -- 14,452,873 SPDR DB International Government Inflation-Protected Bond ETF.......... 3,940,822 1,035,554,694 -- 1,039,495,516 SPDR Barclays Capital Short Term International Treasury ETF............ 1,430,513 131,499,860 -- 132,930,373 SPDR Barclays Capital International Treasury Bond ETF..................... 16,949,088 1,454,896,718 -- 1,471,845,806 SPDR Barclays Capital High Yield Bond ETF.............................. 27,304,566 3,360,829,857 -- 3,388,134,423 SPDR Barclays Capital Short Term Corporate Bond ETF.................... 1,461,196 14,216,708 -- 15,677,904 LEVEL 2 -- LEVEL 3 -- LEVEL 1 -- OTHER SIGNIFICANT SIGNIFICANT SPDR SERIES TRUST -- OTHER QUOTED OBSERVABLE UNOBSERVABLE FINANCIAL INSTRUMENTS* PRICES INPUTS INPUTS TOTAL - -------------------------- ------------ ----------------- ------------ -------------- SPDR Barclays Capital Short Term International Treasury Bond ETF....... $ -- $ 34,704 $-- $ 34,704 SPDR Barclays Capital International Treasury Bond ETF..................... -- (34,755) -- (34,755) SPDR Barclays Capital High Yield Bond ETF.............................. -- 1,335,224 -- 1,335,224
* 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.
136 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - -------------------------------------------------------------------------------- The following is a summary of the fair valuations of the Funds' derivative instruments categorized by risk exposure at December 31, 2009:
ASSET/LIABILITY DERIVATIVE ------------------------------------------------------------------------------------- Interest Foreign Rate Exchange Credit Equity Commodity Other Contracts Contracts Contracts Contracts Contracts Contracts Risk Risk Risk Risk Risk Risk Total --------- --------- ----------- --------- --------- --------- ----------- SPDR Barclays Capital Short Term International Treasury Bond ETF(a)....... Forward Contract $-- $ 34,704 $ -- $-- $-- $-- $ 34,704 SPDR Barclays Capital International Treasury Bond ETF(a)....... Forward Contract -- (34,755) -- -- -- -- (34,755) SPDR Barclays Capital High Yield Bond ETF(b)....... Swaps Contract -- -- (4,909,083) -- -- -- (4,909,083)
(a) Unrealized appreciation (depreciation) on Forward Foreign Currency Contracts (b) Swap Contracts, at value
REALIZED GAIN (LOSS) -------------------------------------------------------------------------------- Interest Foreign Rate Exchange Credit Equity Commodity Other Contracts Contracts Contracts Contracts Contracts Contracts Risk Risk Risk Risk Risk Risk Total --------- --------- --------- --------- --------- --------- -------- SPDR Barclays Capital Short Term International Treasury Bond ETF(a)....... Forward Contract $-- $ 2,866 $ -- $-- $-- $-- $ 2,866 SPDR Barclays Capital International Treasury Bond ETF(a)....... Forward Contract -- (12,238) -- -- -- -- (12,238) SPDR Barclays Capital High Yield Bond ETF(b)....... Swaps Contract -- -- 379,167 -- -- -- 379,167
(a) Realized gain (loss) on Forward Foreign Currency Contracts (b) Realized gain (loss) on Swap 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 Total --------- --------- ---------- --------- --------- --------- ---------- SPDR Barclays Capital Short Term International Treasury Bond ETF(a)....... Forward Contract $-- $ 51,918 $ -- $-- $-- $-- $ 51,918 SPDR Barclays Capital International Treasury Bond ETF(a)....... Forward Contract -- 338,630 -- -- -- -- 338,630 SPDR Barclays Capital High Yield Bond ETF(b)....... Swaps Contract -- -- 2,731,305 -- -- -- 2,731,305
(a) Unrealized appreciation (depreciation) on Forward Foreign Currency Contracts (b) Unrealized appreciation (depreciation) on Swap Contracts
INVESTMENT INCOME Interest income is recorded on the accrual basis. All premiums and discounts are amortized/accreted for financial reporting purposes. 137 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - -------------------------------------------------------------------------------- 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. 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 on the ex-dividend date. 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, 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 expropriation. 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 Short Term International Treasury Bond ETF and the SPDR Barclays Capital 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. 138 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - -------------------------------------------------------------------------------- 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. 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 the 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 the 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 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 this agreements involves, to varying degrees, market risk, liquidity risk, interest rate risk, and counterparty risk. 139 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - -------------------------------------------------------------------------------- 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 quarterly based on a specific interest rate on a notional amount. Payments received or made as a result of a credit event 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, losses deferred due to wash sales, and the realization of unrealized gains on investments in passive foreign investment companies. 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 six-months ended December 31, 2009, the following 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................................... $ 11,198 SPDR Barclays Capital Long Term Treasury ETF................................... 186,098 SPDR Barclays Capital Intermediate Term Credit Bond ETF....................... 207,608 SPDR Barclays Capital Convertible Bond ETF................................... (4,861) SPDR Barclays Capital Aggregate Bond ETF................................... 372,703 SPDR Barclays Capital High Yield Bond ETF................................... 1,245,498
140 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - -------------------------------------------------------------------------------- At December 31, 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 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.............................. -- -- SPDR Barclays Capital Aggregate Bond ETF................................... -- -- SPDR Barclays Capital Municipal Bond ETF................................... -- (154,251) SPDR Barclays Capital California Municipal 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 S&P VRDO Municipal Bond ETF........ -- -- SPDR DB International Government Inflation-Protected Bond ETF.......... -- (3,663,114) SPDR Barclays Capital Short Term International Treasury Bond ETF....... -- -- SPDR Barclays Capital International Treasury Bond ETF..................... -- -- SPDR Barclays Capital High Yield Bond ETF................................... -- (4,963,127) SPDR Barclays Capital Short Term Corporate Bond ETF.................... -- --
Under current tax laws, capital 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 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.............................. -- 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 S&P VRDO Municipal Bond ETF........ -- SPDR DB International Government Inflation-Protected Bond ETF.......... (9,078,355) SPDR Barclays Capital Short Term International Treasury Bond ETF....... -- 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 Corporate Bond ETF.................... --
141 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - -------------------------------------------------------------------------------- DISTRIBUTIONS Each Fund declares and distributes dividends from net investment income, if any, to its shareholders monthly. The Trust declares and 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. Effective October 30, 2009, the Trust's Dividend Reinvestment Service is no longer available. Broker-dealers, at their own discretion, may offer a dividend reinvestment service under which additional shares of the Fund(s) are purchased in the secondary market at current market prices. Investors should consult their broker-dealer for further information regarding any dividend reinvestment service offered by such broker-dealer. SUBSEQUENT EVENTS Management has evaluated the possibility of subsequent events existing in the Funds' financial statements through February 22, 2010. Management has determined that there are no material events that would require disclosure in the Fund's financial statements through this date except as noted below. 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 ----------- 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.............................. 0.1345 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 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 S&P VRDO Municipal Bond ETF........ 0.2000 SDPR DB International Government Inflation-Protected Bond ETF.......... 0.5000 SDPR Barclays Capital Short Term International Treasury Bond ETF....... 0.3500 SDPR Barclays Capital International Treasury Bond ETF..................... 0.5000 SDPR Barclays Capital High Yield Bond ETF................................... 0.4000 SDPR Barclays Capital Short Term Corporate Bond ETF.................... 0.1245
* 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, 2010 for the SPDR Barclays Capital Aggregate Bond ETF and the SPDR Barclays Capital Municipal Bond ETF, respectively.
The Adviser pays all operating expenses of each Fund other than the advisory fee, distribution fee pursuant to each Fund's Distribution and Service Plan, if any, brokerage, taxes, interest, fees and expenses of the Independent Trustees 142 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - -------------------------------------------------------------------------------- (including any Trustee's counsel fees), litigation expenses, acquired fund fees and expenses and other extraordinary expenses. 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 fun in compliance with Rule 2a-7 under the 1940 Act. See Note 8 for additional information regarding securities lending. For the six months ended December 31, 2009, State Street earned securities lending agent fees, from the following Funds:
SECURITIES LENDING AGENT FEES ------------------ SPDR Barclays Capital 1-3 Month T-Bill ETF................................... $29,159 SPDR Barclays Capital TIPS ETF.......... 11,384 SPDR Barclays Capital Intermediate Term Treasury ETF.......................... 7,527 SPDR Barclays Capital Long Term Treasury ETF................................... 586 SPDR Barclays Capital Intermediate Term Credit Bond ETF....................... 3 SPDR Barclays Capital Long Term Credit Bond ETF.............................. 2 SPDR Barclays Capital Aggregate Bond ETF................................... 6,462 SPDR DB International Government Inflation-Protected Bond ETF.......... 12 SPDR Barclays Capital International Treasury Bond ETF..................... 868
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 adopted in accordance with 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, 2010 and therefore no such payments have been made. 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. 143 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - -------------------------------------------------------------------------------- TRANSACTIONS WITH AFFILIATES Each Fund may invest in 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 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 Securities Lending Prime Portfolio ("Navigator") for which SSgA FM 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 Liquid Reserves Fund, Tax Free Money Market Fund and/or Navigator at December 31, 2009 and for the period then ended are:
PURCHASED SOLD VALUE AT -------------------------- -------------------------- VALUE AT REALIZED LIQUID RESERVES 6/30/09 COST SHARES PROCEEDS SHARES 12/31/09 INCOME GAIN/(LOSS) - --------------- ----------- ------------ ----------- ------------ ----------- ----------- ------- ----------- SPDR Barclays Capital 1-3 Month T-Bill ETF........ $ 509,341 $ 75,800,573 75,800,573 $ 75,960,181 75,960,181 $ 349,733 $ 433 $-- SPDR Barclays Capital TIPS ETF.. 266,601 9,423,788 9,423,788 8,833,413 8,833,413 856,976 859 -- SPDR Barclays Capital Intermediate Term Treasury ETF...... 162,579 9,496,672 9,496,672 8,793,743 8,793,743 865,508 506 -- SPDR Barclays Capital Long Term Treasury ETF...... 14,771 771,733 771,733 780,373 780,373 6,131 59 -- SPDR Barclays Capital Intermediate Term Credit Bond ETF... 762,741 5,114,448 5,114,448 3,787,187 3,787,187 2,090,002 1,250 -- SPDR Barclays Capital Long Term Credit Bond ETF... 55,527 2,611,130 2,611,130 2,438,812 2,438,812 227,845 185 -- SPDR Barclays Capital Convertible Bond ETF.......... 727,042 34,837,654 34,837,654 28,775,039 28,775,039 6,789,657 1,862 -- SPDR Barclays Capital Mortgage Backed Bond ETF... 5,203,681 5,745,687 5,745,687 141,524 141,524 10,807,844 9,850 -- SPDR Barclays Capital Aggregate Bond ETF.......... 69,853,146 27,932,480 27,932,480 24,270,042 24,270,042 73,515,584 92,190 -- SPDR DB International Government Inflation- Protected Bond ETF.......... 23,869 142,979,464 142,979,464 139,062,511 139,062,511 3,940,822 1,583 -- SPDR Barclays Capital Short Term International Treasury Bond ETF.......... 923,049 15,276,098 15,276,098 14,768,634 14,768,634 1,430,513 2,719 -- SPDR Barclays Capital International Treasury Bond ETF.......... 29,529,317 89,374,605 89,374,605 104,756,069 104,756,069 14,147,853 44,002 -- SPDR Barclays Capital High Yield Bond ETF.......... 17,410,929 510,091,958 510,091,958 500,198,321 500,198,321 27,304,566 45,825 -- SPDR Barclays Capital Short Term Corporate Bond EFT.......... -- 1,461,196 1,461,196 -- -- 1,461,196 36 --
144 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
PURCHASED SOLD TAX FREE MONEY VALUE AT -------------------------- -------------------------- VALUE AT REALIZED MARKET FUND 6/30/09 COST SHARES PROCEEDS SHARES 12/31/09 INCOME GAIN/(LOSS) - -------------- ---------- ------------ ----------- ------------ ----------- ---------- ------ ----------- SPDR Barclays Capital Municipal Bond ETF.......... $5,708,553 $188,009,909 188,009,909 $191,055,942 191,055,942 $2,662,520 $3,420 $-- SPDR Barclays Capital California Municipal Bond ETF.......... 216,644 15,334,522 15,334,522 15,481,905 15,481,905 69,261 277 -- SPDR Barclays Capital New York Municipal Bond ETF.......... 728,368 5,017,731 5,017,731 5,712,291 5,712,291 33,808 162 -- SPDR Barclays Capital Short Term Municipal Bond ETF.......... 6,006,808 236,367,975 236,367,975 237,301,799 237,301,799 5,072,984 5,608 -- SPDR S&P VRDO Municipal Bond ETF.......... -- 1,589,934 1,589,934 1,531,061 1,531,061 58,873 50 --
PURCHASED SOLD VALUE AT ----------------------------- ----------------------------- VALUE AT REALIZED NAVIGATOR 6/30/09 COST SHARES PROCEEDS SHARES 12/31/09 INCOME GAIN/(LOSS) - --------- ----------- -------------- ------------- -------------- ------------- ----------- -------- ----------- SPDR Barclays Capital 1-3 Month T-Bill ETF........ $ -- $1,253,726,960 1,253,726,960 $1,253,726,960 1,253,726,960 $ -- $165,305 $-- SPDR Barclays Capital TIPS ETF.. 58,425,040 41,489,315 41,489,315 28,777,025 28,777,025 71,137,330 64,503 -- SPDR Barclays Capital Intermediate Term Treasury ETF...... 29,226,029 44,229,937 44,229,937 31,417,802 31,417,802 42,038,164 42,633 -- SPDR Barclays Capital Long Term Treasury ETF...... 3,366,905 5,665,228 5,665,228 5,766,829 5,776,829 3,265,304 3,309 -- SPDR Barclays Capital Intermediate Term Credit Bond ETF... -- 113,028 113,028 138 138 112,890 16 -- SPDR Barclays Capital Long Term Credit Bond ETF... -- 53,956 53,956 53,956 53,956 -- 11 -- SPDR Barclays Capital Aggregate Bond ETF.......... 29,519,870 70,692,652 70,692,652 64,543,261 64,543,261 35,669,261 36,611 -- SPDR DB International Government Inflation- Protected Bond ETF.......... 563,360 -- -- 563,360 563,360 -- 65 -- SPDR Barclays Capital International Treasury Bond ETF.......... 13,535,645 589,831 589,831 11,324,241 11,324,241 2,801,235 4,918 --
4. SHAREHOLDER TRANSACTIONS With the exception of the Trust's Dividend Reinvestment Service (See Note 2), Shares are issued and redeemed by a Fund only in Creation Unit size aggregations of 100,000 shares. Such transactions are generally permitted 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 and in the case of SPDR Barclays Capital Aggregate Bond ETF, cash in lieu of TBA positions. 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 those persons creating or redeeming Creation Units. An additional variable fee may be charged for certain transactions. Transaction fees are received by the Trust and/or Custodian and are used to defray related expenses. The Custodian also receives amounts earned on cash collateral provided by Authorized Participants pending delivery of missing deposit securities. 145 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - -------------------------------------------------------------------------------- 5. AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION The identified cost of investments in securities owned by each Fund for federal income tax purposes was substantially the same as the cost for financial reporting purposes. Accordingly, gross unrealized appreciation and depreciation at December 31, 2009 was as follows:
GROSS GROSS NET UNREALIZED IDENTIFIED UNREALIZED UNREALIZED APPRECIATION COST APPRECIATION DEPRECIATION (DEPRECIATION) -------------- ------------ ------------ -------------- SPDR Barclays Capital 1-3 Month T-Bill ETF................................... $ 752,305,457 $ -- $ (6,403) $ (6,403) SPDR Barclays Capital TIPS ETF.......... 406,655,424 10,186,176 -- 10,186,176 SPDR Barclays Capital Intermediate Term Treasury ETF.......................... 246,899,593 849,816 (1,379,973) (530,157) SPDR Barclays Capital Long Term Treasury ETF................................... 19,813,806 -- (823,117) (823,117) SPDR Barclays Capital Intermediate Term Credit Bond ETF....................... 52,879,703 1,765,627 (128,759) 1,636,868 SPDR Barclays Capital Long Term Credit Bond ETF.............................. 23,502,081 1,034,915 (218,407) 816,508 SPDR Barclays Capital Convertible Bond ETF................................... 213,490,102 19,479,144 -- 19,479,144 SPDR Barclays Capital Mortgage Backed Bond ETF.............................. 21,430,298 312 (113,653) (113,341) SPDR Barclays Capital Aggregate Bond ETF................................... 334,915,664 3,438,925 (2,271,582) 1,167,343 SPDR Barclays Capital Municipal Bond ETF................................... 776,941,591 27,941,025 (1,911,442) 26,029,583 SPDR Barclays Capital California Municipal Bond ETF.................... 58,087,199 1,676,210 (484,325) 1,191,885 SPDR Barclays Capital New York Municipal Bond ETF.............................. 19,381,542 564,145 (26,309) 537,836 SPDR Barclays Capital Short Term Municipal Bond ETF.................... 866,927,419 16,477,308 (236,828) 16,240,480 SPDR S&P VRDO Municipal Bond ETF........ 14,452,873 -- -- -- SPDR DB International Government Inflation-Protected Bond ETF.......... 1,024,611,867 28,335,016 (13,451,367) 14,883,649 SPDR Barclays Capital Short Term International Treasury Bond ETF....... 135,584,925 207,152 (2,861,704) (2,654,552) SPDR Barclays Capital International Treasury Bond ETF..................... 1,423,489,385 62,679,566 (14,323,145) 48,356,421 SPDR Barclays Capital High Yield Bond ETF................................... 3,058,861,232 332,659,672 (3,386,481) 329,273,191 SPDR Barclays Capital Short Term Corporate Bond ETF.................... 15,760,890 -- (82,986) (82,986)
6. INVESTMENT TRANSACTIONS For the six months ended December 31, 2009, the following Funds had in-kind contributions and in-kind redemptions as follows:
CONTRIBUTIONS REDEMPTIONS -------------- ------------ SPDR Barclays Capital 1-3 Month T-Bill ETF................................... $ 96,297,493 $330,178,851 SPDR Barclays Capital TIPS ETF.......... 50,551,201 -- SPDR Barclays Capital Intermediate Term Treasury ETF.......................... 56,323,459 -- SPDR Barclays Capital Long Term Treasury ETF................................... 16,376,273 16,193,787 SPDR Barclays Capital Intermediate Term Credit Bond ETF....................... 28,002,879 3,042,425 SPDR Barclays Capital Long Term Credit Bond ETF.............................. 16,259,731 -- SPDR Barclays Capital Convertible Bond ETF................................... 141,868,726 6,782,726 SPDR Barclays Capital Aggregate Bond ETF................................... 12,751,699 6,185,224 SPDR Barclays Capital High Yield Bond ETF................................... 1,144,371,269 54,239,291 SPDR Barclays Capital Short Term Corporate Bond ETF.................... 5,305,296 --
146 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - -------------------------------------------------------------------------------- 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 six months ended December 31, 2009, the Funds 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................................... $2,772,288,444 $2,772,521,908 $ -- $ -- SPDR Barclays Capital TIPS ETF.......... 28,224,554 30,935,702 -- -- SPDR Barclays Capital Intermediate Term Treasury ETF.......................... 44,573,619 38,106,856 -- -- SPDR Barclays Capital Long Term Treasury ETF................................... 4,545,127 4,524,578 -- -- SPDR Barclays Capital Intermediate Term Credit Bond ETF....................... -- -- 13,073,756 14,008,199 SPDR Barclays Capital Long Term Credit Bond ETF.............................. -- -- 5,089,399 4,077,981 SPDR Barclays Capital Convertible Bond ETF................................... -- -- 47,166,050 19,166,460 SPDR Barclays Capital Mortgage Backed Bond ETF.............................. -- -- 46,080,125 40,838,668 SPDR Barclays Capital Aggregate Bond ETF................................... 793,514,434 780,324,991 5,596,308 2,612,174 SPDR Barclays Capital Municipal Bond ETF................................... -- -- 220,267,811 8,196,467 SPDR Barclays Capital California Municipal Bond ETF.................... -- -- 22,818,957 5,416,769 SPDR Barclays Capital New York Municipal Bond ETF.............................. -- -- 6,288,565 1,713,570 SPDR Barclays Capital Short Term Municipal Bond ETF.................... -- -- 412,388,632 24,409,360 SPDR S&P VRDO Municipal Bond ETF........ -- -- 21,354,000 6,960,000 SPDR DB International Government Inflation-Protected Bond ETF.......... -- -- 711,104,885 87,664,006 SPDR Barclays Capital Short Term International Treasury Bond ETF....... -- -- 139,454,794 13,865,840 SPDR Barclays Capital International Treasury Bond ETF..................... -- -- 574,628,174 190,430,419 SPDR Barclays Capital High Yield Bond ETF................................... -- -- 739,990,287 669,525,720 SPDR Barclays Capital Short Term Corporate Bond ETF.................... -- -- 9,869,136 865,770
For the six months ended December 31, 2009, the Trust did not pay any commissions to an affiliate of the Adviser for the investment transactions. 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 147 SPDR SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - -------------------------------------------------------------------------------- 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 December 31, 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. 148 SPDR SERIES TRUST OTHER INFORMATION DECEMBER 31, 2009 (UNAUDITED) - -------------------------------------------------------------------------------- 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, trustee 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 July 1, 2009 and held for the six months ended December 31, 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 at scheduled amounts ranging from $250 to $1,500 per transaction to those persons creating or redeeming Creation Units. 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, or 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. 149 SPDR SERIES TRUST OTHER INFORMATION (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
EXPENSES PAID BEGINNING ACCOUNT ENDING ACCOUNT DURING PERIOD* ANNUALIZED VALUE VALUE 7/1/09- EXPENSE RATIO 7/1/09 12/31/09 12/31/09 ------------- ----------------- -------------- -------------- ACTUAL SPDR Barclays Capital 1-3 Month T-Bill ETF................................ 0.14% $1,000 $1,000.00 $0.71 SPDR Barclays Capital TIPS ETF........ 0.19 1,000 1,047.80 0.98 SPDR Barclays Capital Intermediate Term Treasury ETF.................. 0.14 1,000 1,010.10 0.71 SPDR Barclays Capital Long Term Treasury ETF....................... 0.14 1,000 989.40 0.70 SPDR Barclays Capital Intermediate Term Credit Bond ETF............... 0.15 1,000 1,069.50 0.78 SPDR Barclays Capital Long Term Credit Bond ETF........................... 0.15 1,000 1,091.70 0.79 SPDR Barclays Capital Convertible Bond ETF................................ 0.40 1,000 1,223.60 2.24 SPDR Barclays Capital Mortgage Backed Bond ETF........................... 0.21 1,000 1,031.10 1.08 SPDR Barclays Capital Aggregate Bond ETF................................ 0.13 1,000 1,037.90 0.67 SPDR Barclays Capital Municipal Bond ETF................................ 0.20 1,000 1,053.50 1.04 SPDR Barclays Capital California Municipal Bond ETF................. 0.20 1,000 1,070.40 1.04 SPDR Barclays Capital New York Municipal Bond ETF................. 0.20 1,000 1,061.90 1.04 SPDR Barclays Capital Short Term Municipal Bond ETF................. 0.20 1,000 1,024.50 1.02 SPDR S&P VRDO Municipal Bond ETF **... 0.21 1,000 1,000.80 0.58 SPDR DB International Government Inflation-Protected Bond ETF....... 0.50 1,000 1,080.30 2.62 SPDR Barclays Capital Short Term International Treasury Bond ETF.... 0.35 1,000 1,047.40 1.81 SPDR Barclays Capital International Treasury Bond ETF.................. 0.50 1,000 1,053.30 2.59 SPDR Barclays Capital High Yield Bond ETF................................ 0.40 1,000 1,210.20 2.23 SPDR Barclays Capital Short Term Corporate Bond ETF ***............. 0.12 1,000 992.40 0.06
150 SPDR SERIES TRUST OTHER INFORMATION (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
EXPENSES PAID BEGINNING ACCOUNT ENDING ACCOUNT DURING PERIOD* ANNUALIZED VALUE VALUE 7/1/09- EXPENSE RATIO 7/1/09 12/31/09 12/31/09 ------------- ----------------- -------------- -------------- HYPOTHETICAL SPDR Barclays Capital 1-3 Month T-Bill ETF................................ 0.14% $1,000 $1,024.50 $0.71 SPDR Barclays Capital TIPS ETF........ 0.19 1,000 1,024.25 0.97 SPDR Barclays Capital Intermediate Term Treasury ETF.................. 0.14 1,000 1,024.50 0.71 SPDR Barclays Capital Long Term Treasury ETF....................... 0.14 1,000 1,024.50 0.71 SPDR Barclays Capital Intermediate Term Credit Bond ETF............... 0.15 1,000 1,024.45 0.77 SPDR Barclays Capital Long Term Credit Bond ETF........................... 0.15 1,000 1,024.45 0.77 SPDR Barclays Capital Convertible Bond ETF................................ 0.40 1,000 1,023.19 2.04 SPDR Barclays Capital Mortgage Backed Bond ETF........................... 0.21 1,000 1,024.15 1.07 SPDR Barclays Capital Aggregate Bond ETF................................ 0.13 1,000 1,024.55 0.66 SPDR Barclays Capital Municipal Bond ETF................................ 0.20 1,000 1,024.20 1.02 SPDR Barclays Capital California Municipal Bond ETF................. 0.20 1,000 1,024.20 1.02 SPDR Barclays Capital New York Municipal Bond ETF................. 0.20 1,000 1,024.20 1.02 SPDR Barclays Capital Short Term Municipal Bond ETF................. 0.20 1,000 1,024.20 1.02 SPDR S&P VRDO Municipal Bond ETF **... 0.21 1,000 1,013.12 0.58 SPDR DB International Government Inflation-Protected Bond ETF....... 0.50 1,000 1,022.68 2.55 SPDR Barclays Capital Short Term International Treasury Bond ETF.... 0.35 1,000 1,023.44 1.79 SPDR Barclays Capital International Treasury Bond ETF.................. 0.50 1,000 1,022.68 2.55 SPDR Barclays Capital High Yield Bond ETF................................ 0.40 1,000 1,023.19 2.04 SPDR Barclays Capital Short Term Corporate Bond ETF ***............. 0.12 1,000 1,024.55 0.66
* Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value over 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 9/23/09. Hypothetical period is from 7/1/09. *** Actual period is from commencement of operations 12/16/09. Hypothetical period is from 7/1/09.
PROXY VOTING POLICIES AND PROCEDURES AND RECORD 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 for the prior 12-month period 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 Fund's website at www.spdrs.com. 151 SPDR SERIES TRUST OTHER INFORMATION (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - -------------------------------------------------------------------------------- SHAREHOLDER MEETING On January 25, 2010, the SPDR Series Trust and the SPDR Index Shares Funds provided notice of, and a proxy statement associated with, a Shareholder Meeting to be held on March 19, 2010 at SSgA Funds Management, Inc.'s offices in Boston, Massachusetts. Shareholders of record as of January 6, 2010 received such information and are entitled to vote at the Shareholder Meeting. The purpose of the Shareholder Meeting is to seek approval of several proposals which relate to the following matters: to elect Trustees; to approve an investment sub-advisory agreement between the Adviser and Nuveen Asset Management related to the portfolio management of certain SPDR Municipal Bond ETFs; to adopt a "manager of managers" structure for all Funds which would permit the SPDR Funds to hire and replace sub-advisers without the expense of a shareholder meeting; to modify or eliminate certain fundamental policies and restrictions for all SPDR Funds and; to address other matters which may properly come before the Shareholder Meeting. More information on the Shareholder Meeting, the proposals and how to vote is available at www.spdrs.com. QUARTERLY PORTFOLIO SCHEDULE The Funds file a complete schedule of portfolio holdings with the SEC of the first and third quarters of each fiscal year on 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's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC- 0330. The information on the Form N-Q is available upon request, without charge, by calling 1-866-787-2257 (toll free), and on the Funds' website at www.spdrs.com. ADVISORY CONTRACT RENEWAL At in-person meetings held during the six-month period ended December 31, 2009, the Board of Trustees of the Trust (the "Board") evaluated the proposals to continue the Investment Advisory Agreement (the "Agreement") between the Trust and SSgA Funds Management, Inc. (the "Adviser") with respect to the operational fixed income series of the Trust (each a "Current ETF", collectively, the "Current ETFs") and to continue and/or approve, as the case may be, the Agreement with respect to the previously approved non-operational series of the Trust and SPDR Barclays Capital Short Term Corporate Bond ETF, a newly operational series of the Trust (collectively, the "New ETFs" and together with the Current ETFs, the "ETFs"). 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 provided by, or to be provided by, the Adviser with respect to the ETFs under the Agreement, (ii) investment performance of the Current ETFs, (iii) costs to the Adviser of its services and profits realized by the Adviser from its relationship with the Trust, and (iv) the extent to which economies of scale would be realized if and as the ETFs grow and whether fee levels in the Agreement reflect these economies of scale. The Board considered the nature, extent and quality of services provided by, or 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 responsibilities for managing the investment operations of each of the Current ETFs and anticipated responsibilities for managing investment operations of the New ETFs, in accordance with each ETF's investment objective, investment policies, and applicable legal and regulatory requirements. The Board appreciated the relatively unique nature of the ETFs, as exchange-traded funds, and the experience and expertise of the Adviser with exchange-traded funds. The Board considered the background and experience of the Adviser's senior management, including those individuals responsible for portfolio management and compliance of the ETFs. The Board also considered the portfolio management resources, structures and practices, including those associated with monitoring and securing each 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 152 SPDR SERIES TRUST OTHER INFORMATION (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - -------------------------------------------------------------------------------- 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 Advisors, 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 exchanched-traded funds in particular. The Board considered the Adviser's experience in managing fixed income ETFs. The Board then determined that the nature, extent and quality of services provided by the Adviser to the Trust were necessary and appropriate. The Board then reviewed the Current ETFs' performance, noting that that the distinctive indexed investment objective of each of the Current ETFs made analysis of investment performance, in absolute terms, less of a priority than that which normally attaches to the performance of actively-managed funds. The Board was more concerned with the extent to which each Current ETF achieved its objective as a passively managed index fund. The Board reviewed information regarding the Current ETFs' index tracking and tracking error, noting that each Current ETF satisfactorily tracked its benchmark index. The Board also reviewed the tax efficiency of the Current ETFs. The Board then determined that the performance of each Current ETF was satisfactory. The Board considered the profitability of the advisory arrangement with the Current ETFs to the Adviser, including data on the Current ETFs' historical profitability to the Adviser. The Independent Trustees, through their counsel, had the opportunity to discuss, with representatives of the Adviser and State Street, methodologies used in computing costs that formed the bases of profitability calculations and determined that these methodologies were reasonable. The Board concluded that, to the extent that the Adviser's relationships with the Current ETFs had been profitable, profitability was not excessive. The Board considered whether the Adviser or its affiliates benefited in other ways from their 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 derive benefits from their relationship with the Trust, those benefits are not so significant as to cause the Adviser's fees with respect to the ETFs to be excessive. The Board determined that the Adviser is likely to realize economies of scale in managing the ETFs as assets grow in size. The Board further determined that such economies of scale are currently shared with the 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 ETFs grow in size and assess whether fee breakpoints may be warranted. The Board evaluated the ETFs' unitary fee through the review of comparative information with respect to fees paid by similar funds-i.e., exchanged-traded funds tracking fixed income indexes. The Board reviewed the universe of similar exchanged-traded funds for the ETFs based upon data from Lipper Analytical Services and related comparative information for similar exchanged-traded funds. The Board also reviewed the historical expense ratios of the Current ETFs, estimated expense ratios of the New ETFs, and the unitary fee structure. The Board used a fund by fund analysis of the data. The Board concluded, based on the information presented, that each ETF's fees were fair and reasonable in light of those of their direct competitors. The Board, including the Independent Trustees voting separately, approved the Agreement after weighing the foregoing factors, none of which was dispositive in itself. The Board's conclusions regarding the Agreement were as follows: (a) the nature and extent of the services provided by the Adviser with respect to the Current ETFs and expected to be provided by the Adviser with respect to the New ETFs were appropriate; (b) the performance and, more importantly, the index tracking, of each Current ETF had been satisfactory; (c) the Adviser's fees for each ETF and the unitary fee, considered in relation to services provided or expected to be provided, were fair and reasonable; (d) profitability of the Trust's relationships with the Adviser was not excessive; (e) any additional benefits to the Adviser or its affiliates were not of a magnitude to materially affect the Board's conclusions; and (f) the fees paid to the Adviser adequately shared the economies of scale with the ETFs by way of the relatively low fee structure of the Trust. 153 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 Wells Fargo Preferred Stock ETF (PSK) 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 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 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 S&P VRDO Municipal Bond ETF (VRD) SPDR DB International Government Inflation-Protected Bond ETF (WIP) SPDR Barclays Capital Short Term International Treasury Bond ETF (BWZ) SPDR Barclays Capital International Treasury Bond ETF (BWX) SPDR Barclays Capital High Yield Bond ETF (JNK) SDPR Barclays Capital Short Term Corporate Bond ETF (SCPB) 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 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 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 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) SPDR DOW JONES INDUSTRIAL AVERAGE ETF TRUST (DIA) SPDR S&P 500 ETF TRUST (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 AND 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 S&P 500 ETF TRUST (SPY) AND SPDR DOW JONES INDUSTRIAL AVERAGE ETF TRUST (DIA), BOTH UNIT INVESTMENT TRUSTS; AND ALL INVESTMENT PORTFOLIOS OF THE SELECT SECTOR SPDR TRUST. SPDR SERIES TRUST TRUSTEES David M. Kelly Frank Nesvet 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. (GRAPHIC) 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 fl uctuate 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 fl uctuate in market value. Bond funds contain interest rate risk (as interest rates rise bond prices usually fall); the risk of issuer default; and infl ation risk. The "SPDR" trademark is used under license from The McGraw-Hill Companies, Inc. ("McGraw-Hill"). No fi nancial product offered by State Street Corporation or its affi liates 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 or its affiliates. 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 Infl ation-linked Bond Index. The SPDR Barclays Capital ETFs are not sponsored, endorsed, sold or promoted by Barclays Capital. Barclays Capital or one of its affi liated 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 Infl ation-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 Infl ation-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 Infl ation-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. This information must be preceded or accompanied by a current prospectus or summary prospectus. Please read the prospectus carefully before you invest or send money. (C) 2010 State Street Corporation SPDR FISAR IBG-1403 For more complete information, please call 866.787.2257 or visit www.spdrs.com today ITEM 2. CODE OF ETHICS Not applicable to the Registrant; this Form N-CSR is a Semi-Annual Report. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT Not applicable to the Registrant; this Form N-CSR is a Semi-Annual Report. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES Not applicable to the Registrant; this Form N-CSR is a Semi-Annual Report. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS Not applicable to the Registrant; this Form N-CSR is a Semi-Annual Report. 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 DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.5% AEROSPACE & DEFENSE -- 2.3% BE Aerospace, Inc. (a)(b)..... 3,049 $ 71,651 Boeing Co. ................... 10,358 560,679 Ceradyne, Inc. (a)............ 527 10,124 General Dynamics Corp. ....... 4,785 326,193 Goodrich Corp. ............... 2,868 184,269 Honeywell International, Inc. ....................... 10,584 414,893 ITT Corp. .................... 3,537 175,930 L-3 Communications Holdings, Inc. ....................... 2,182 189,725 Lockheed Martin Corp. ........ 4,923 370,948 Northrop Grumman Corp. ....... 5,518 308,180 Precision Castparts Corp. .... 1,866 205,913 Raytheon Co. ................. 6,947 357,909 Rockwell Collins, Inc. ....... 3,455 191,269 Taser International, Inc. (a)(b)...................... 986 4,319 United Technologies Corp. .... 13,282 921,904 ------------ 4,293,906 ------------ AIR FREIGHT & LOGISTICS -- 0.8% C.H. Robinson Worldwide, Inc. (b)......................... 2,508 147,295 Expeditors International Washington, Inc. ........... 3,263 113,324 FedEx Corp. .................. 4,534 378,362 Forward Air Corp. (b)......... 3,590 89,929 United Parcel Service, Inc. (Class B)................... 11,697 671,057 UTI Worldwide, Inc. .......... 3,559 50,965 ------------ 1,450,932 ------------ AIRLINES -- 0.2% AMR Corp. (a)................. 5,072 39,207 Continental Airlines, Inc. (Class B) (a)(b)............ 2,146 38,456 Delta Air Lines, Inc. (a)..... 9,347 106,369 JetBlue Airways Corp. (a)..... 5,284 28,798 Southwest Airlines Co. ....... 11,466 131,056 UAL Corp. (a)(b).............. 2,476 31,965 US Airways Group, Inc. (a)(b)...................... 2,930 14,181 ------------ 390,032 ------------ AUTO COMPONENTS -- 0.3% BorgWarner, Inc. (b).......... 1,269 42,156 Gentex Corp. ................. 5,599 99,942 Johnson Controls, Inc. ....... 9,951 271,065 Modine Manufacturing Co. (a)(b)...................... 3,312 39,214 The Goodyear Tire & Rubber Co. (a)......................... 5,260 74,166 WABCO Holdings, Inc. ......... 1,554 40,078 ------------ 566,621 ------------ AUTOMOBILES -- 0.3% Ford Motor Co. (a)............ 47,086 470,860 Harley-Davidson, Inc. (b)..... 4,718 118,893 Thor Industries, Inc. ........ 549 17,239 ------------ 606,992 ------------ BEVERAGES -- 2.1% Central European Distribution Corp. (a)................... 719 20,427 Coca-Cola Enterprises, Inc. .. 5,999 127,179 Constellation Brands, Inc. (Class A) (a)............... 4,281 68,196 Dr. Pepper Snapple Group, Inc. ....................... 4,006 113,370 Hansen Natural Corp. (a)...... 1,257 48,269 Molson Coors Brewing Co. (Class B)................... 2,237 101,023 PepsiCo, Inc. ................ 23,434 1,424,787 The Coca-Cola Co. ............ 31,856 1,815,792 The Pepsi Bottling Group, Inc. ....................... 3,718 139,425 ------------ 3,858,468 ------------ BIOTECHNOLOGY -- 1.9% Acorda Therapeutics, Inc. (a)(b)...................... 1,046 26,380 Alexion Pharmaceuticals, Inc. (a)......................... 1,283 62,636 Alkermes, Inc. (a)(b)......... 2,512 23,638 Alnylam Pharmaceuticals, Inc. (a)(b)...................... 1,152 20,298 AMAG Pharmaceuticals, Inc. (a)(b)...................... 316 12,018 Amgen, Inc. (a)............... 16,300 922,091 Amylin Pharmaceuticals, Inc. (a)(b)...................... 2,655 37,674 AVI BioPharma, Inc. (a)....... 5,176 7,557 Biogen Idec, Inc. (a)......... 4,763 254,821 BioMarin Pharmaceutical, Inc. (a)(b)...................... 2,020 37,996 Celgene Corp. (a)............. 7,392 411,587 Cephalon, Inc. (a)(b)......... 1,394 87,000 Chelsea Therapeutics International, Inc. (a)..... 7,166 19,348 Cubist Pharmaceuticals, Inc. (a)......................... 1,369 25,970 Dendreon Corp. (a)............ 1,627 42,758 Facet Biotech Corp. (a)(b).... 3,689 64,853 Genzyme Corp. (a)............. 4,219 206,773 Gilead Sciences, Inc. (a)..... 14,312 619,423 Human Genome Sciences, Inc. (a)......................... 6,472 198,043 InterMune, Inc. (a)(b)........ 493 6,429 Isis Pharmaceuticals, Inc. (a)(b)...................... 2,191 24,320 Martek Biosciences Corp. (a)(b)...................... 1,018 19,281 Medivation, Inc. (a)(b)....... 1,479 55,684 Myriad Genetics, Inc. (a)..... 1,473 38,445 Myriad Pharmaceuticals, Inc. (a)(b)...................... 368 1,851 Neurocrine Biosciences, Inc. (a)(b)...................... 2,058 5,598 Novavax, Inc. (a)(b).......... 3,778 10,049 Onyx Pharmaceuticals, Inc. (a)(b)...................... 973 28,548 OSI Pharmaceuticals, Inc. (a)(b)...................... 1,172 36,367 PDL BioPharma, Inc. (b)....... 3,744 25,684 Pharmasset, Inc. (a)(b)....... 390 8,073 SIGA Technologies, Inc. (a)(b)...................... 8,358 48,476 Spectrum Pharmaceuticals, Inc. (a)(b)...................... 3,273 14,532 StemCells, Inc. (a)(b)........ 5,628 7,091 Vertex Pharmaceuticals, Inc. (a)(b)...................... 2,174 93,156 ------------ 3,504,448 ------------ BUILDING PRODUCTS -- 0.1% Masco Corp. .................. 6,266 86,533 Quanex Building Products Corp. ...................... 592 10,046 Simpson Manufacturing Co., Inc. (b).................... 1,483 39,878 USG Corp. (a)(b).............. 1,113 15,638 ------------ 152,095 ------------ CAPITAL MARKETS -- 2.4% Affiliated Managers Group, Inc. (a)(b)................. 706 47,549 Ameriprise Financial, Inc. ... 3,469 134,667 BlackRock, Inc. (b)........... 276 64,087 Diamond Hill Investment Group, Inc. (b).................... 130 8,350 E*TRADE Financial Corp. (a)(b)...................... 9,050 15,837 Eaton Vance Corp. ............ 2,012 61,185 Federated Investors, Inc. (Class B) (b)............... 942 25,905 Franklin Resources, Inc. ..... 2,459 259,056 International Assets Holding Corp. (a)................... 2,784 40,479 Invesco, Ltd. ................ 6,023 141,480 Janus Capital Group, Inc. .... 5,790 77,875 Jefferies Group, Inc. (a)(b).. 2,250 53,392
See accompanying notes to financial statements. SPDR DOW JONES TOTAL MARKET ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- KBW, Inc. (a)(b).............. 816 $ 22,326 Knight Capital Group, Inc. (Class A) (a)............... 732 11,273 Legg Mason, Inc. (b).......... 3,097 93,405 Morgan Stanley................ 17,519 518,562 Northern Trust Corp. ......... 3,519 184,396 Raymond James Financial, Inc. (b)......................... 1,728 41,075 SEI Investments Co. .......... 5,504 96,430 State Street Corp. (c)........ 6,816 296,769 T. Rowe Price Group, Inc. (b)......................... 3,783 201,445 TD Ameritrade Holding Corp. (a)......................... 4,180 81,008 The Bank of New York Mellon Corp. ...................... 17,347 485,196 The Charles Schwab Corp. ..... 15,356 289,000 The Goldman Sachs Group, Inc. ....................... 6,701 1,131,397 Waddell & Reed Financial, Inc. (Class A)................... 3,077 93,972 ------------ 4,476,116 ------------ CHEMICALS -- 1.9% Air Products & Chemicals, Inc. ....................... 2,990 242,369 Airgas, Inc. ................. 1,235 58,786 Ashland, Inc. ................ 1,694 67,116 Cabot Corp. .................. 1,950 51,149 Calgon Carbon Corp. (a)(b).... 1,674 23,269 Celanese Corp. (Series A)..... 2,852 91,549 CF Industries Holdings, Inc. ....................... 954 86,604 E. I. du Pont de Nemours & Co. ........................ 14,102 474,814 Eastman Chemical Co. (b)...... 2,103 126,685 Ecolab, Inc. ................. 3,777 168,379 FMC Corp. .................... 1,172 65,351 Monsanto Co. ................. 8,558 699,617 Nalco Holding Co. ............ 3,502 89,336 PPG Industries, Inc. ......... 3,047 178,371 Praxair, Inc. ................ 5,304 425,964 Sigma-Aldrich Corp. (b)....... 1,656 83,678 Terra Industries, Inc. ....... 1,956 62,964 The Dow Chemical Co. ......... 15,529 429,066 The Mosaic Co. ............... 2,373 141,739 ------------ 3,566,806 ------------ COMMERCIAL BANKS -- 2.7% Arrow Financial Corp. (b)..... 4,305 107,625 Bank of Hawaii Corp. (b)...... 799 37,601 BB&T Corp. (b)................ 8,673 220,034 CapitalSource, Inc. (b)....... 1,702 6,757 Capitol Bancorp, Ltd. (b)..... 3,055 5,988 Cathay General Bancorp (b).... 1,116 8,426 Centerstate Banks of Florida, Inc. (b).................... 2,272 22,924 Citizens Republic Bancorp, Inc. (a).................... 4,479 3,091 Columbia Banking System, Inc. (b)......................... 4,356 70,480 Comerica, Inc. ............... 1,736 51,334 CVB Financial Corp. (b)....... 6,844 59,132 F.N.B. Corp. (b).............. 6,195 42,064 Farmers Capital Bank Corp. (b)......................... 2,012 20,563 Fifth Third Bancorp........... 8,273 80,662 First Bancorp- North Carolina (b)......................... 2,559 35,749 First Commonwealth Financial Corp. (b)................... 6,081 28,277 First Horizon National Corp. (a)(b)...................... 3,640 48,772 First Merchants Corp. (b)..... 4,895 29,076 Horizon Financial Corp. (a)(b)...................... 3,550 800 Huntington Bancshares, Inc. (b)......................... 5,757 21,013 Independent Bank Corp. -- Massachusetts (b).. 3,385 70,713 Integra Bank Corp. (b)........ 3,192 2,362 International Bancshares Corp. (b)......................... 1,506 28,509 Keycorp (b)................... 5,654 31,380 Lakeland Financial Corp. ..... 4,682 80,764 M&T Bank Corp. (b)............ 1,200 80,268 Marshall & Ilsley Corp. ...... 3,321 18,099 National Penn Bancshares, Inc. (b)......................... 6,744 39,048 Old National Bancorp (b)...... 1,305 16,221 PacWest Bancorp (b)........... 1,830 36,874 PNC Financial Services Group, Inc. (b).................... 8,274 436,784 Popular, Inc. ................ 3,585 8,102 Regions Financial Corp. ...... 11,869 62,787 Renasant Corp. (b)............ 5,706 77,602 Sandy Spring Bancorp, Inc. (b)......................... 3,429 30,484 Simmons First National Corp. (b)......................... 3,507 97,495 StellarOne Corp. (b).......... 5,999 59,750 SunTrust Banks, Inc. (b)...... 5,595 113,523 Susquehanna Bancshares, Inc. (b)......................... 5,897 34,733 Synovus Financial Corp. (b)... 1,446 2,964 Trustmark Corp. (b)........... 1,245 28,062 U.S. Bancorp.................. 25,725 579,070 Umpqua Holdings Corp. ........ 5,220 70,000 United Bankshares, Inc. (b)... 960 19,171 United Community Banks, Inc. (a)......................... 3,832 12,990 Wells Fargo & Co. ............ 74,876 2,020,903 Zions Bancorporation.......... 1,974 25,326 ------------ 4,984,352 ------------ COMMERCIAL SERVICES & SUPPLIES -- 0.7% Avery Dennison Corp. ......... 2,444 89,182 Cintas Corp. (b).............. 3,350 87,267 Courier Corp. (b)............. 2,897 41,282 Covanta Holding Corp. (a)(b).. 2,378 43,018 Ennis, Inc. (b)............... 5,762 96,744 Herman Miller, Inc. .......... 3,148 50,305 Iron Mountain, Inc. (a)(b).... 4,181 95,160 Kimball International, Inc. (Class B) (b)............... 5,751 48,999 Pitney Bowes, Inc. (b)........ 4,038 91,905 R.R. Donnelley & Sons Co. .... 5,119 114,000 Republic Services, Inc. ...... 4,356 123,318 Stericycle, Inc. (a)(b)....... 1,152 63,556 Waste Connections, Inc. (a)(b)...................... 1,547 51,577 Waste Management, Inc. (b).... 7,614 257,429 ------------ 1,253,742 ------------ COMMUNICATIONS EQUIPMENT -- 2.6% 3Com Corp. (a)................ 18,501 138,758 ADC Telecommunications, Inc. (a)(b)...................... 3,714 23,064 Arris Group, Inc. (a)......... 4,117 47,057 Brocade Communications Systems, Inc. (a)(b)........ 4,351 33,198 CIENA Corp. (a)(b)............ 3,576 38,764 Cisco Systems, Inc. (a)....... 89,577 2,144,473 CommScope, Inc. (a)(b)........ 1,943 51,548 Comtech Telecommunications Corp. (a)(b)................ 829 29,056 EchoStar Corp. (Class A) (a).. 991 19,959 Emulex Corp. (a)(b)........... 587 6,398 F5 Networks, Inc. (a)......... 1,565 82,914 Finisar Corp. (a)............. 746 6,654 Harmonic, Inc. (a)(b)......... 2,288 14,483
See accompanying notes to financial statements. SPDR DOW JONES TOTAL MARKET ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Harris Corp. ................. 2,907 $ 138,228 Harris Stratex Networks, Inc. (Class A) (a)............... 722 4,989 InterDigital, Inc. (a)(b)..... 1,226 32,538 JDS Uniphase Corp. (a)........ 5,135 42,364 Juniper Networks, Inc. (a).... 9,297 247,951 Motorola, Inc. (a)............ 35,342 274,254 Palm, Inc. (a)(b)............. 3,066 30,783 Phazar Corp. (a).............. 1,390 4,670 Plantronics, Inc. ............ 799 20,758 Polycom, Inc. (a)(b).......... 1,863 46,519 QUALCOMM, Inc. ............... 25,342 1,172,321 Riverbed Technology, Inc. (a)(b)...................... 574 13,185 Tellabs, Inc. (a)............. 10,207 57,976 ------------ 4,722,862 ------------ COMPUTERS & PERIPHERALS -- 5.2% Apple, Inc. (a)............... 13,838 2,917,881 Avid Technology, Inc. (a)(b).. 1,337 17,060 Dell, Inc. (a)................ 27,708 397,887 EMC Corp. (a)................. 31,708 553,939 Hewlett-Packard Co. .......... 37,973 1,955,989 Icad, Inc. (a)(b)............. 7,167 10,894 International Business Machines Corp. ............. 19,633 2,569,960 Lexmark International, Inc. (Class A) (a)............... 1,693 43,984 NCR Corp. (a)................. 3,726 41,470 NetApp, Inc. (a).............. 6,521 224,257 Novatel Wireless, Inc. (a)(b)...................... 1,481 11,804 QLogic Corp. (a).............. 4,651 87,764 SanDisk Corp. (a)(b).......... 5,003 145,037 Seagate Technology............ 8,110 147,521 Sun Microsystems, Inc. (a).... 13,419 125,736 Teradata Corp. (a)............ 3,404 106,988 Western Digital Corp. (a)..... 4,647 205,165 ------------ 9,563,336 ------------ CONSTRUCTION & ENGINEERING -- 0.3% Aecom Technology Corp. (a).... 1,360 37,400 EMCOR Group, Inc. (a)(b)...... 1,324 35,616 Fluor Corp. .................. 3,054 137,552 Jacobs Engineering Group, Inc. (a)(b)...................... 2,014 75,747 KBR, Inc. .................... 2,498 47,462 Quanta Services, Inc. (a)..... 2,974 61,978 The Shaw Group, Inc. (a)...... 1,436 41,285 URS Corp. (a)................. 1,281 57,030 ------------ 494,070 ------------ CONSTRUCTION MATERIALS -- 0.1% Eagle Materials, Inc. ........ 1,326 34,542 Headwaters, Inc. (a)(b)....... 592 3,860 Martin Marietta Materials, Inc. (b).................... 944 84,403 Vulcan Materials Co. (b)...... 1,870 98,493 ------------ 221,298 ------------ CONSUMER FINANCE -- 0.6% American Express Co. ......... 16,048 650,265 AmeriCredit Corp. (a)(b)...... 3,744 71,286 Capital One Financial Corp. .. 6,899 264,508 Discover Financial Services... 7,305 107,456 SLM Corp. (a)................. 8,026 90,453 ------------ 1,183,968 ------------ CONTAINERS & PACKAGING -- 0.3% Crown Holdings, Inc. (a)...... 4,158 106,362 Myers Industries, Inc. ....... 542 4,932 Owens-Illinois, Inc. (a)...... 3,422 112,481 Pactiv Corp. (a).............. 3,975 95,957 Sealed Air Corp. ............. 4,656 101,780 Temple-Inland, Inc. .......... 2,322 49,017 ------------ 470,529 ------------ DISTRIBUTORS -- 0.1% Genuine Parts Co. (b)......... 1,412 53,600 LKQ Corp. (a)................. 2,897 56,752 ------------ 110,352 ------------ DIVERSIFIED CONSUMER SERVICES -- 0.4% Apollo Group, Inc. (a)(b)..... 2,371 143,635 Capella Education Co. (a)(b).. 732 55,120 Career Education Corp. (a)(b)...................... 2,603 60,676 Corinthian Colleges, Inc. (a)(b)...................... 2,000 27,540 DeVry, Inc. .................. 1,013 57,467 H&R Block, Inc. .............. 5,075 114,797 ITT Educational Services, Inc. (a)(b)...................... 815 78,207 Service Corp. International... 10,821 88,624 Sotheby's (b)................. 1,090 24,503 Strayer Education, Inc. (b)... 284 60,347 ------------ 710,916 ------------ DIVERSIFIED FINANCIAL SERVICES -- 3.7% Bank of America Corp. ........ 138,877 2,091,488 CIT Group, Inc. (a)........... 3,100 85,591 Citigroup, Inc. .............. 313,118 1,036,421 CME Group, Inc. .............. 1,076 361,482 Intercontinental Exchange, Inc. (a).................... 1,305 146,551 JPMorgan Chase & Co. ......... 62,227 2,592,999 Leucadia National Corp. (a)... 3,997 95,089 Medallion Financial Corp. .... 1,030 8,415 Moody's Corp. (b)............. 3,809 102,081 MSCI, Inc. (Class A) (a)...... 1,674 53,233 NYSE Euronext................. 4,689 118,632 PHH Corp. (a)(b).............. 1,077 17,350 The Nasdaq OMX Group, Inc. (a)(b)...................... 2,924 57,954 ------------ 6,767,286 ------------ DIVERSIFIED TELECOMMUNICATION SERVICES -- 2.5% AT&T, Inc. ................... 90,401 2,533,940 CenturyTel, Inc. ............. 4,776 172,939 Cogent Communications Group, Inc. (a)(b)................. 2,784 27,450 Frontier Communications Corp. (b)......................... 9,590 74,898 Level 3 Communications, Inc. (a)(b)...................... 13,940 21,328 Qwest Communications International, Inc. ........ 26,978 113,577 SureWest Communications (a)(b)...................... 2,834 28,227 tw telecom, inc. (a)(b)....... 3,718 63,727 Verizon Communications, Inc. ....................... 42,758 1,416,573 Windstream Corp. (b).......... 8,348 91,744 ------------ 4,544,403 ------------ ELECTRIC UTILITIES -- 1.8% Allegheny Energy, Inc. ....... 3,704 86,970 American Electric Power Co., Inc. ....................... 6,596 229,475 Central Vermont Public Service Corp. ...................... 4,790 99,632 Duke Energy Corp. ............ 16,458 283,242 Edison International.......... 5,365 186,595
See accompanying notes to financial statements. SPDR DOW JONES TOTAL MARKET ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Entergy Corp. ................ 2,876 $ 235,372 Exelon Corp. ................. 10,227 499,793 FirstEnergy Corp. ............ 4,975 231,089 FPL Group, Inc. .............. 5,717 301,972 Maine & Maritimes Corp. ...... 130 4,524 MGE Energy, Inc. (b).......... 3,355 119,908 Northeast Utilities........... 2,316 59,730 Pepco Holdings, Inc. ......... 6,656 112,153 Pinnacle West Capital Corp. .. 1,580 57,796 PNM Resources, Inc. .......... 4,462 56,444 PPL Corp. .................... 5,746 185,653 Progress Energy, Inc. ........ 3,129 128,320 The Southern Co. ............. 12,540 417,833 Unitil Corp. (b).............. 2,513 57,749 ------------ 3,354,250 ------------ ELECTRICAL EQUIPMENT -- 0.6% Capstone Turbine Corp. (a)(b)...................... 8,358 10,782 Emerson Electric Co. ......... 12,051 513,373 Energy Conversion Devices, Inc. (a)(b)................. 1,256 13,276 First Solar, Inc. (a)(b)...... 871 117,934 General Cable Corp. (a)(b).... 1,466 43,130 GrafTech International, Ltd. (a)......................... 2,726 42,389 Hubbell, Inc. (Class B)....... 2,234 105,668 PowerSecure International, Inc. (a)(b)................. 3,187 22,978 Rockwell Automation, Inc. (b)......................... 2,847 133,752 Roper Industries, Inc. ....... 2,403 125,845 SunPower Corp. (Class A) (a)(b)...................... 2,312 54,748 ------------ 1,183,875 ------------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.0% Agilent Technologies, Inc. (a)......................... 6,529 202,856 Amphenol Corp. (Class A)...... 3,779 174,514 Arrow Electronics, Inc. (a)... 3,634 107,603 Avnet, Inc. (a)............... 4,180 126,069 Benchmark Electronics, Inc. (a)......................... 3,075 58,148 Corning, Inc. ................ 23,940 462,281 Dolby Laboratories, Inc. (Class A) (a)............... 1,104 52,694 FLIR Systems, Inc. (a)(b)..... 2,132 69,759 Itron, Inc. (a)............... 687 46,421 Jabil Circuit, Inc. .......... 4,108 71,356 L-1 Identity Solutions, Inc. (a)(b)...................... 2,321 17,384 Lightpath Technologies, Inc. (Class A) (a)(b)............ 8,160 13,790 Molex, Inc. (b)............... 3,901 84,067 National Instruments Corp. (b)......................... 1,531 45,088 Sanmina-SCI Corp. (a)(b)...... 2,486 27,421 Tech Data Corp. (a)........... 2,760 128,782 Trimble Navigation, Ltd. (a).. 3,832 96,566 Vishay Intertechnology, Inc. (a)(b)...................... 5,828 48,664 ------------ 1,833,463 ------------ ENERGY EQUIPMENT & SERVICES -- 1.8% Baker Hughes, Inc. (b)........ 5,210 210,901 BJ Services Co. .............. 5,686 105,760 Cameron International Corp. (a)......................... 3,455 144,419 Diamond Offshore Drilling, Inc. (b).................... 799 78,638 Exterran Holdings, Inc. (a)(b)...................... 1,866 40,026 FMC Technologies, Inc. (a).... 2,101 121,522 Halliburton Co. .............. 14,358 432,032 Helix Energy Solutions Group, Inc. (a).................... 574 6,744 Helmerich & Payne, Inc. (b)... 1,828 72,901 Nabors Industries, Ltd. (a)(b)...................... 5,538 121,227 National-Oilwell Varco, Inc. ....................... 6,834 301,311 Omni Energy Services Corp. (a)(b)...................... 7,958 9,947 Patterson-UTI Energy, Inc. (b)......................... 4,275 65,621 Pride International, Inc. (a)(b)...................... 3,030 96,687 Rowan Cos., Inc. (a)(b)....... 3,572 80,870 Schlumberger, Ltd. ........... 18,978 1,235,278 Seahawk Drilling, Inc. (a)(b)...................... 201 4,530 Smith International, Inc. (b)......................... 3,154 85,694 Superior Energy Services, Inc. (a)......................... 3,620 87,930 TGC Industries, Inc. (a)(b)... 5,678 22,201 Tidewater, Inc. (b)........... 1,139 54,615 ------------ 3,378,854 ------------ FOOD & STAPLES RETAILING -- 2.3% Costco Wholesale Corp. ....... 7,146 422,829 CVS Caremark Corp. ........... 23,263 749,301 Safeway, Inc. ................ 7,405 157,652 SUPERVALU, Inc. (b)........... 4,190 53,255 Sysco Corp. .................. 10,064 281,188 The Kroger Co. ............... 9,251 189,923 Wal-Mart Stores, Inc. ........ 32,608 1,742,898 Walgreen Co. ................. 14,508 532,734 Whole Foods Market, Inc. (a)(b)...................... 2,319 63,657 ------------ 4,193,437 ------------ FOOD PRODUCTS -- 1.7% Archer-Daniels-Midland Co. ... 9,362 293,124 Bunge, Ltd. .................. 2,298 146,681 Campbell Soup Co. ............ 5,145 173,901 ConAgra Foods, Inc. .......... 9,280 213,904 Dean Foods Co. (a)............ 3,649 65,828 Del Monte Foods Co. .......... 9,676 109,726 Flowers Foods, Inc. (b)....... 3,376 80,214 General Mills, Inc. .......... 5,644 399,652 H.J. Heinz Co. ............... 4,834 206,702 Kellogg Co. .................. 3,213 170,931 Kraft Foods, Inc. (Class A)... 21,923 595,867 McCormick & Co., Inc. (b)..... 1,791 64,709 Sanderson Farms, Inc. (b)..... 186 7,842 Sara Lee Corp. ............... 13,259 161,494 Smithfield Foods, Inc. (a)(b)...................... 2,567 38,993 The Hershey Co. (b)........... 2,811 100,606 The J.M. Smucker Co. ......... 1,593 98,368 TreeHouse Foods, Inc. (a)(b).. 1,506 58,523 Tyson Foods, Inc. (Class A)... 6,003 73,657 ------------ 3,060,722 ------------ GAS UTILITIES -- 0.1% Chesapeake Utilities Corp. (b)......................... 4,086 130,956 Delta Natural Gas Co., Inc. (b)......................... 260 7,439 Energy, Inc. ................. 516 5,315 Questar Corp. ................ 2,390 99,352 RGC Resources, Inc. (b)....... 130 3,842 ------------ 246,904 ------------ HEALTH CARE EQUIPMENT & SUPPLIES -- 2.2% ABIOMED, Inc. (a)(b).......... 1,882 16,449 American Medical Systems Holdings, Inc. (a)(b)....... 3,664 70,679 Angeion Corp. (a)(b).......... 3,384 13,841 Baxter International, Inc. ... 9,581 562,213 Becton, Dickinson & Co. ...... 3,929 309,841 Boston Scientific Corp. (a)... 22,153 199,377 Bovie Medical Corp. (a)(b).... 1,290 10,075
See accompanying notes to financial statements. SPDR DOW JONES TOTAL MARKET ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- C.R. Bard, Inc. .............. 2,056 $ 160,162 CareFusion Corp. (a).......... 3,046 76,180 DENTSPLY International, Inc. (b)......................... 1,925 67,702 Edwards Lifesciences Corp. (a)......................... 1,621 140,784 ev3, Inc. (a)................. 2,728 36,392 Gen-Probe, Inc. (a)(b)........ 964 41,356 Hologic, Inc. (a)............. 5,657 82,026 Hospira, Inc. (a)............. 3,441 175,491 Immucor, Inc. (a)............. 1,554 31,453 Intuitive Surgical, Inc. (a).. 541 164,096 Inverness Medical Innovations, Inc. (a)(b)................. 1,792 74,386 Kinetic Concepts, Inc. (a)(b)...................... 1,427 53,727 MAKO Surgical Corp. (a)(b).... 640 7,104 Masimo Corp. (a)(b)........... 1,257 38,238 Medtronic, Inc. .............. 17,986 791,024 NuVasive, Inc. (a)(b)......... 916 29,294 ResMed, Inc. (a)(b)........... 1,264 66,069 St. Jude Medical, Inc. (a).... 5,640 207,439 Stryker Corp. (b)............. 4,398 221,527 Thoratec Corp. (a)............ 1,112 29,935 Varian Medical Systems, Inc. (a)(b)...................... 2,551 119,514 Vascular Solutions, Inc. (a)(b)...................... 1,160 9,732 Zimmer Holdings, Inc. (a)..... 3,498 206,767 ------------ 4,012,873 ------------ HEALTH CARE PROVIDERS & SERVICES -- 2.4% Aetna, Inc. .................. 6,982 221,329 Almost Family, Inc. (a)....... 130 5,139 Amedisys, Inc. (a)(b)......... 749 36,371 AmerisourceBergen Corp. ...... 4,269 111,293 athenahealth, Inc. (a)........ 732 33,116 Cardinal Health, Inc. ........ 6,093 196,438 CIGNA Corp. (b)............... 5,060 178,466 Community Health Systems, Inc. (a)(b)...................... 1,046 37,238 Coventry Health Care, Inc. (a)......................... 3,000 72,870 DaVita, Inc. (a).............. 2,249 132,106 Express Scripts, Inc. (Class A) (a)...................... 3,877 335,167 Health Management Associates, Inc. (Class A) (a).......... 4,623 33,609 Health Net, Inc. (a)(b)....... 3,010 70,103 HEALTHSOUTH Corp. (a)(b)...... 3,111 58,394 Healthways, Inc. (a).......... 400 7,336 Henry Schein, Inc. (a)(b)..... 2,663 140,074 Humana, Inc. (a).............. 3,142 137,902 Laboratory Corp. of America Holdings (a)(b)............. 1,625 121,615 Lincare Holdings, Inc. (a)(b)...................... 2,470 91,686 McKesson Corp. ............... 4,934 308,375 Medco Health Solutions, Inc. (a)......................... 8,163 521,697 Omnicare, Inc. (b)............ 2,592 62,675 Patterson Cos., Inc. (a)(b)... 2,595 72,608 PharMerica Corp. (a)(b)....... 362 5,749 PSS World Medical, Inc. (a)(b)...................... 2,354 53,130 Psychiatric Solutions, Inc. (a)(b)...................... 1,640 34,670 Quest Diagnostics, Inc. ...... 2,109 127,341 Tenet Healthcare Corp. (a).... 9,462 51,000 UnitedHealth Group, Inc. ..... 18,903 576,163 VCA Antech, Inc. (a)(b)....... 2,736 68,181 WellCare Health Plans, Inc. (a)......................... 352 12,940 WellPoint, Inc. (a)........... 8,365 487,596 ------------ 4,402,377 ------------ HEALTH CARE TECHNOLOGY -- 0.1% IMS Health, Inc. ............. 5,517 116,188 Phase Forward, Inc. (a)(b).... 1,524 23,394 Transcend Services, Inc. (a)(b)...................... 390 8,330 ------------ 147,912 ------------ HOTELS, RESTAURANTS & LEISURE -- 1.8% Bob Evans Farms, Inc. ........ 4,524 130,970 Boyd Gaming Corp. (a)......... 382 3,197 Brinker International, Inc. .. 2,276 33,958 Carnival Corp. (a)............ 6,581 208,552 Darden Restaurants, Inc. ..... 2,778 97,425 Gaylord Entertainment Co. (a)......................... 592 11,692 International Game Technology.................. 6,346 119,114 Interval Leisure Group, Inc. (a)(b)...................... 890 11,098 Las Vegas Sands Corp. (a)(b).. 5,176 77,330 Marriott International, Inc. (Class A) (b)............... 6,336 172,656 McDonald's Corp. ............. 16,958 1,058,858 MGM MIRAGE, Inc. (a)(b)....... 2,669 24,341 Orient-Express Hotels, Ltd. (Class A) (a)(b)............ 436 4,421 Panera Bread Co. (Class A) (a)......................... 714 47,817 Penn National Gaming, Inc. (a)(b)...................... 2,068 56,208 Royal Caribbean Cruises, Ltd. (a)(b)...................... 1,723 43,558 Scientific Games Corp. (Class A) (a)...................... 3,151 45,847 Starbucks Corp. (a)........... 11,536 266,020 Starwood Hotels & Resorts Worldwide, Inc. (b)......... 3,790 138,600 The Cheesecake Factory, Inc. (a)(b)...................... 3,375 72,866 The Steak N Shake Co. (a)(b).. 208 67,417 Wendy's/Arby's Group, Inc. (Class A)................... 9,267 43,462 Wyndham Worldwide Corp. ...... 5,479 110,511 Wynn Resorts, Ltd. (b)........ 1,897 110,462 Yum! Brands, Inc. ............ 8,329 291,265 ------------ 3,247,645 ------------ HOUSEHOLD DURABLES -- 0.7% American Greetings Corp. (Class A)................... 3,306 72,038 Bassett Furniture Industries, Inc. (a)(b)................. 5,303 18,666 D.R. Horton, Inc. (b)......... 5,641 61,318 Fortune Brands, Inc. ......... 2,368 102,298 Garmin, Ltd. (b).............. 2,373 72,851 Harman International Industries, Inc. ........... 1,741 61,422 KB HOME (b)................... 3,112 42,572 Leggett & Platt, Inc. (b)..... 4,526 92,330 Lennar Corp. (Class A)........ 3,780 48,271 Mohawk Industries, Inc. (a)(b)...................... 799 38,032 National Presto Industries, Inc. (b).................... 708 77,335 Newell Rubbermaid, Inc. (b)... 6,193 92,957 NVR, Inc. (a)(b).............. 135 95,946 Pulte Homes, Inc. (a)(b)...... 8,258 82,580 Ryland Group, Inc. (b)........ 1,293 25,472 The Black & Decker Corp. ..... 1,587 102,885 Toll Brothers, Inc. (a)(b).... 2,607 49,038 Whirlpool Corp. (b)........... 1,429 115,263 ------------ 1,251,274 ------------
See accompanying notes to financial statements. SPDR DOW JONES TOTAL MARKET ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- HOUSEHOLD PRODUCTS -- 2.2% Church & Dwight Co., Inc. (b)......................... 2,381 $ 143,931 Colgate-Palmolive Co. ........ 7,673 630,337 Energizer Holdings, Inc. (a).. 1,353 82,912 Kimberly-Clark Corp. ......... 5,922 377,291 Procter & Gamble Co. ......... 44,872 2,720,589 The Clorox Co. ............... 2,114 128,954 ------------ 4,084,014 ------------ INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.3% Calpine Corp. (a)............. 5,502 60,522 Constellation Energy Group, Inc. ....................... 3,201 112,579 Mirant Corp. (a).............. 3,966 60,561 NRG Energy, Inc. (a).......... 5,507 130,020 RRI Energy, Inc. (a).......... 8,055 46,075 The AES Corp. (a)............. 11,570 153,997 ------------ 563,754 ------------ INDUSTRIAL CONGLOMERATES -- 1.9% 3M Co. ....................... 9,882 816,945 General Electric Co. ......... 163,964 2,480,776 McDermott International, Inc. (a)......................... 4,628 111,118 Textron, Inc. (b)............. 4,142 77,911 ------------ 3,486,750 ------------ INSURANCE -- 3.6% AFLAC, Inc. .................. 7,365 340,631 American International Group, Inc. (a)(b)................. 5,198 155,836 American Physicians Service Group, Inc. (b)............. 1,885 43,487 AON Corp. .................... 4,128 158,268 Arthur J. Gallagher & Co. (b)......................... 1,666 37,502 Assurant, Inc. ............... 2,339 68,954 Berkshire Hathaway, Inc. (Class A) (a)............... 17 1,686,400 Chubb Corp. .................. 6,068 298,424 Cincinnati Financial Corp. ... 2,560 67,174 Crawford & Co. (Class B) (a)(b)...................... 516 2,033 Donegal Group, Inc. (Class A) (b)......................... 2,190 34,033 Eastern Insurance Holdings, Inc. (b).................... 1,030 8,879 Everest Re Group, Ltd. ....... 1,058 90,649 Fidelity National Financial, Inc. (Class A).............. 4,250 57,205 Genworth Financial, Inc. (Class A) (a)............... 5,711 64,820 Hartford Financial Services Group, Inc. ................ 4,770 110,950 Lincoln National Corp. ....... 5,888 146,493 Loews Corp. .................. 7,393 268,736 Marsh & McLennan Cos., Inc. .. 7,426 163,966 Max Capital Group, Ltd. ...... 1,988 44,332 MBIA, Inc. (a)(b)............. 2,743 10,917 Mercer Insurance Group, Inc. (b)......................... 390 7,086 MetLife, Inc. ................ 7,490 264,772 NYMAGIC, Inc. (b)............. 1,781 29,547 Old Republic International Corp. (b)................... 4,509 45,270 PartnerRe, Ltd. .............. 1,155 86,232 PMA Capital Corp. (Class A) (a)......................... 3,663 23,077 Principal Financial Group, Inc. ....................... 5,236 125,873 ProAssurance Corp. (a)........ 2,084 111,932 Protective Life Corp. ........ 478 7,911 Prudential Financial, Inc. ... 6,862 341,453 Reinsurance Group of America, Inc. ....................... 1,210 57,657 RenaissanceRe Holdings, Ltd. ....................... 1,302 69,201 Seabright Insurance Holdings (a)......................... 2,557 29,380 Selective Insurance Group, Inc. ....................... 4,032 66,326 The Allstate Corp. ........... 9,087 272,974 The Hanover Insurance Group, Inc. (b).................... 1,787 79,396 The Phoenix Cos., Inc. (a)(b)...................... 7,229 20,097 The Progressive Corp. (a)..... 10,106 181,807 The Travelers Cos., Inc. ..... 10,077 502,439 Torchmark Corp. .............. 1,349 59,289 Transatlantic Holdings, Inc. ....................... 990 51,589 Unum Group.................... 7,093 138,455 Validus Holdings, Ltd. ....... 2,397 64,575 W.R. Berkley Corp. (b)........ 2,262 55,736 XL Capital, Ltd. (Class A).... 4,534 83,108 ------------ 6,634,871 ------------ INTERNET & CATALOG RETAIL -- 0.6% Amazon.com, Inc. (a).......... 4,742 637,894 Expedia, Inc. (a)(b).......... 4,440 114,152 HSN, Inc. (a)(b).............. 890 17,969 Liberty Media Corp -- Interactive (Class A) (a)...................... 10,143 109,950 Netflix, Inc. (a)............. 628 34,628 Priceline.com, Inc. (a)(b).... 551 120,394 Ticketmaster Entertainment, Inc. (a).................... 890 10,876 ------------ 1,045,863 ------------ INTERNET SOFTWARE & SERVICES -- 1.8% Akamai Technologies, Inc. (a)(b)...................... 3,454 87,490 AOL, Inc. (a)................. 1,843 42,905 Art Technology Group, Inc. (a)......................... 5,773 26,036 EarthLink, Inc. (b)........... 6,061 50,367 eBay, Inc. (a)................ 15,986 376,310 Equinix, Inc. (a)(b).......... 645 68,467 Google, Inc. (Class A) (a).... 3,514 2,178,610 IAC/InterActiveCorp. (a)(b)... 2,219 45,445 Internap Network Services Corp. (a)(b)................ 4,651 21,860 Local.com Corp. (a)(b)........ 4,974 28,899 Terremark Worldwide, Inc. (a)(b)...................... 3,270 22,367 VeriSign, Inc. (a)(b)......... 3,540 85,809 WebMD Health Corp. (a)(b)..... 920 35,411 Yahoo!, Inc. (a).............. 18,300 307,074 ------------ 3,377,050 ------------ IT SERVICES -- 1.6% Affiliated Computer Services, Inc. (Class A) (a).......... 2,370 141,465 Alliance Data Systems Corp. (a)(b)...................... 1,038 67,044 Automatic Data Processing, Inc. ....................... 8,490 363,542 Broadridge Financial Solutions, Inc. ............ 2,953 66,620 Cognizant Technology Solutions Corp. (Class A) (a)......... 5,345 242,128 Computer Sciences Corp. (a)... 3,164 182,025 Fidelity National Information Services, Inc. ............. 7,405 173,573 Fiserv, Inc. (a).............. 3,714 180,055 Lender Processing Services, Inc. ....................... 2,118 86,118 Mastercard, Inc. (Class A).... 1,252 320,487 Paychex, Inc. (b)............. 5,918 181,328 SAIC, Inc. (a)(b)............. 2,442 46,251 The Western Union Co. ........ 10,397 195,983 Total System Services, Inc. (b)......................... 3,325 57,423 Unisys Corp. (a)(b)........... 978 37,712 Visa, Inc. (Class A).......... 6,580 575,487 ------------ 2,917,241 ------------
See accompanying notes to financial statements. SPDR DOW JONES TOTAL MARKET ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- LEISURE EQUIPMENT & PRODUCTS -- 0.2% Brunswick Corp. (b)........... 2,642 $ 33,580 Eastman Kodak Co. (a)(b)...... 5,531 23,341 Hasbro, Inc. (b).............. 3,684 118,109 Mattel, Inc. ................. 8,297 165,774 Pool Corp. ................... 2,964 56,553 ------------ 397,357 ------------ LIFE SCIENCES TOOLS & SERVICES -- 0.6% Affymetrix, Inc. (a)(b)....... 1,717 10,027 Charles River Laboratories International, Inc. (a)..... 1,098 36,992 Covance, Inc. (a)(b).......... 1,009 55,061 Illumina, Inc. (a)(b)......... 2,079 63,721 Life Technologies Corp. (a)... 3,192 166,718 Millipore Corp. (a)........... 1,432 103,605 PerkinElmer, Inc. ............ 3,798 78,201 Pharmaceutical Product Development, Inc. .......... 1,256 29,441 Pure Bioscience (a)(b)........ 13,923 20,049 Sequenom, Inc. (a)(b)......... 1,332 5,514 Techne Corp. ................. 1,576 108,051 Thermo Fisher Scientific, Inc. (a)......................... 7,180 342,414 Waters Corp. (a).............. 2,130 131,975 ------------ 1,151,769 ------------ MACHINERY -- 2.1% AGCO Corp. (a)(b)............. 1,209 39,099 Bucyrus International, Inc. (Class A)................... 1,465 82,582 Caterpillar, Inc. (b)......... 9,597 546,933 CLARCOR, Inc. ................ 1,113 36,106 Crane Co. .................... 2,159 66,109 Cummins, Inc. ................ 2,596 119,053 Danaher Corp. ................ 3,591 270,043 Deere & Co. .................. 6,538 353,640 Donaldson Co., Inc. .......... 1,243 52,877 Dover Corp. .................. 2,830 117,756 Eaton Corp. .................. 2,698 171,647 Federal Signal Corp. ......... 5,658 34,061 Flowserve Corp. .............. 818 77,326 Harsco Corp. ................. 2,223 71,647 IDEX Corp. ................... 3,988 124,226 Illinois Tool Works, Inc. .... 9,893 474,765 John Bean Technologies Corp. ...................... 451 7,672 Joy Global, Inc. (b).......... 2,173 112,105 Lincoln Electric Holdings, Inc. ....................... 1,012 54,102 Mueller Water Products, Inc. (Class A)................... 4,606 23,951 Navistar International Corp. (a)(b)...................... 1,248 48,235 Oshkosh Corp. ................ 2,248 83,243 PACCAR, Inc. (b).............. 5,219 189,293 Pall Corp. ................... 3,955 143,171 Parker-Hannifin Corp. ........ 3,191 171,931 Pentair, Inc. ................ 2,609 84,271 SPX Corp. .................... 1,393 76,197 Terex Corp. (a)(b)............ 1,695 33,578 The Manitowoc Co., Inc. (b)... 2,424 24,167 The Timken Co. ............... 3,072 72,837 Watts Water Technologies, Inc. (b)......................... 2,591 80,114 ------------ 3,842,737 ------------ MEDIA -- 2.9% Ascent Media Corp. (Class A) (a)(b)...................... 221 5,642 Cablevision Systems Corp. (Class A)................... 4,423 114,202 CBS Corp. .................... 10,855 152,513 Comcast Corp. (Class A)....... 42,922 723,665 DIRECTV (Class A) (a)......... 17,107 570,518 Discovery Communications, Inc. Series A (a)(b)............. 4,925 151,050 DISH Network Corp. (Class A).. 4,974 103,310 Gannett Co., Inc. (b)......... 6,657 98,856 Journal Communications, Inc. ....................... 5,791 22,527 Knology, Inc. (a)(b).......... 3,980 43,581 Lamar Advertising Co. (Class A) (a)(b)................... 1,988 61,807 Liberty Global, Inc. Series A (a)......................... 6,613 144,891 Liberty Media -- Starz Series A (a)(b).................... 811 37,428 Liberty Media Corp.- Interactive (Class A) (a)... 2,025 48,357 Live Nation, Inc. (a)(b)...... 1,112 9,463 Marvel Entertainment, Inc. (a)(b)...................... 2,400 129,792 News Corp. (Class A).......... 35,071 480,122 Omnicom Group, Inc. .......... 4,801 187,959 Scripps Networks Interactive (Class A)................... 1,114 46,231 Sirius XM Radio, Inc. (a)(b).. 41,137 24,682 The Interpublic Group of Cos., Inc. (a).................... 9,258 68,324 The McGraw-Hill Cos., Inc. ... 6,117 204,981 The New York Times Co. (Class A) (a)...................... 1,841 22,755 The Walt Disney Co. (b)....... 26,477 853,883 Time Warner Cable, Inc. ...... 4,753 196,727 Time Warner, Inc. ............ 20,280 590,959 Viacom, Inc. (a).............. 8,347 248,156 Virgin Media, Inc. (b)........ 4,865 81,878 ------------ 5,424,259 ------------ METALS & MINING -- 1.1% AK Steel Holding Corp. ....... 2,571 54,891 Alcoa, Inc. .................. 13,529 218,087 Allegheny Technologies, Inc. (b)......................... 1,576 70,557 Cliffs Natural Resources, Inc. (b)......................... 1,994 91,903 Commercial Metals Co. ........ 2,378 37,216 Freeport-McMoRan Copper & Gold, Inc. (a).............. 6,334 508,557 Newmont Mining Corp. ......... 6,983 330,366 Nucor Corp. .................. 4,587 213,984 Reliance Steel & Aluminum Co. ........................ 838 36,218 Royal Gold, Inc. (b).......... 1,152 54,259 Schnitzer Steel Industries, Inc. (Class A) (b).......... 628 29,956 Southern Copper Corp. ........ 3,366 110,775 Steel Dynamics, Inc. (b)...... 3,401 60,266 Titanium Metals Corp. (a)(b).. 2,000 25,040 United States Steel Corp. (b)......................... 2,405 132,564 Walter Energy, Inc. .......... 1,215 91,502 Worthington Industries, Inc. ....................... 904 11,815 ------------ 2,077,956 ------------ MULTI-UTILITIES -- 1.1% Ameren Corp. ................. 3,183 88,965 CMS Energy Corp. ............. 6,280 98,345 Consolidated Edison, Inc. .... 4,181 189,943 Dominion Resources, Inc. ..... 9,589 373,204 DTE Energy Co. (b)............ 1,915 83,475 NiSource, Inc. ............... 4,495 69,133 PG&E Corp. ................... 5,494 245,307 Public Service Enterprise Group, Inc. ................ 7,004 232,883 Sempra Energy................. 3,683 206,174
See accompanying notes to financial statements. SPDR DOW JONES TOTAL MARKET ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- TECO Energy, Inc. (b)......... 6,633 $ 107,587 Wisconsin Energy Corp. ....... 1,576 78,532 Xcel Energy, Inc. ............ 8,749 185,654 ------------ 1,959,202 ------------ MULTILINE RETAIL -- 0.8% Big Lots, Inc. (a)(b)......... 2,838 82,245 Dillard's, Inc. (Class A) (b)......................... 992 18,303 Dollar Tree Stores, Inc. (a).. 2,069 99,933 Family Dollar Stores, Inc. ... 2,667 74,223 J. C. Penney Co., Inc. (b).... 3,648 97,073 Kohl's Corp. (a).............. 4,623 249,318 Macy's, Inc. ................. 8,136 136,359 Nordstrom, Inc. .............. 4,085 153,514 Sears Holdings Corp. (a)(b)... 1,330 110,989 Target Corp. ................. 10,663 515,769 ------------ 1,537,726 ------------ OFFICE ELECTRONICS -- 0.1% Xerox Corp. (b)............... 15,033 127,179 Zebra Technologies Corp. (Class A) (a)(b)............ 2,361 66,958 ------------ 194,137 ------------ OIL, GAS & CONSUMABLE FUELS -- 8.9% Abraxas Petroleum Corp. (a)(b)...................... 5,969 11,460 Adams Resources & Energy, Inc. ....................... 390 8,599 Alpha Natural Resources, Inc. (a)......................... 3,198 138,729 Anadarko Petroleum Corp. ..... 7,646 477,263 Apache Corp. ................. 5,410 558,150 Approach Resources, Inc. (a)(b)...................... 516 3,984 Arch Coal, Inc. (b)........... 3,188 70,933 Arena Resources, Inc. (a)(b).. 1,279 55,150 Barnwell Industries, Inc. (a)......................... 900 4,050 Blue Dolphin Energy Co. (a)... 15,717 5,108 BPZ Resources, Inc. (a)(b).... 1,290 12,255 Cabot Oil & Gas Corp. ........ 1,046 45,595 Chesapeake Energy Corp. ...... 8,902 230,384 Chevron Corp. ................ 31,154 2,398,546 Cimarex Energy Co. ........... 942 49,898 Clayton Williams Energy, Inc. (a)(b)...................... 130 4,555 Concho Resources, Inc. (a).... 1,700 76,330 ConocoPhillips................ 20,576 1,050,816 CONSOL Energy, Inc. .......... 3,222 160,456 Contango Oil & Gas Co. (a).... 260 12,223 CREDO Petroleum Corp. (a)(b).. 516 4,799 Cross Timbers Royalty Trust (b)......................... 2,499 84,266 Delta Petroleum Corp. (a)(b).. 1,153 1,199 Denbury Resources, Inc. (a)... 5,787 85,648 Devon Energy Corp. ........... 6,835 502,372 Double Eagle Petroleum Co. (a)(b)...................... 900 3,888 El Paso Corp. ................ 12,879 126,601 Encore Acquisition Co. (a).... 1,430 68,669 EOG Resources, Inc. .......... 4,093 398,249 EXCO Resources, Inc. ......... 3,350 71,120 Exxon Mobil Corp. ............ 72,630 4,952,640 Forest Oil Corp. (a)(b)....... 1,950 43,387 Frontier Oil Corp. ........... 2,515 30,281 Gasco Energy, Inc. (a)........ 10,151 5,380 GMX Resources, Inc. (a)(b).... 260 3,572 Goodrich Petroleum Corp. (a)(b)...................... 838 20,405 Hess Corp. ................... 4,499 272,189 Holly Corp. .................. 1,216 31,166 Houston American Energy Corp. (b)......................... 8,161 50,272 Hugoton Royalty Trust (b)..... 368 5,917 Marathon Oil Corp. ........... 11,526 359,842 Massey Energy Co. (b)......... 2,477 104,059 Murphy Oil Corp. ............. 3,142 170,296 Newfield Exploration Co. (a).. 2,116 102,055 Noble Energy, Inc. ........... 3,264 232,462 Occidental Petroleum Corp. ... 12,780 1,039,653 Panhandle Oil & Gas, Inc. (b)......................... 390 10,101 Patriot Coal Corp. (a)(b)..... 1,041 16,094 Peabody Energy Corp. ......... 4,308 194,765 Petrohawk Energy Corp. (a).... 4,035 96,800 Pioneer Natural Resources Co. (b)......................... 2,977 143,402 Plains Exploration & Production Co. (a).......... 2,718 75,180 PrimeEnergy Corp. (a)(b)...... 130 4,731 Quicksilver Resources, Inc. (a)(b)...................... 766 11,498 Range Resources Corp. (b)..... 3,078 153,438 Rex Energy Corp. (a)(b)....... 1,160 13,920 SandRidge Energy, Inc. (a)(b)...................... 862 8,129 Southwestern Energy Co. (a)... 5,726 275,993 Spectra Energy Corp. ......... 9,642 197,757 St. Mary Land & Exploration Co. ........................ 3,142 107,582 Sunoco, Inc. (b).............. 2,471 64,493 Tesoro Corp. (b).............. 3,567 48,333 The Williams Cos., Inc. ...... 9,859 207,828 Toreador Resources Corp. (b).. 1,030 10,197 Ultra Petroleum Corp. (a)..... 1,960 97,726 Valero Energy Corp. .......... 8,632 144,586 XTO Energy, Inc. ............. 8,638 401,926 Zion Oil & Gas, Inc. (a)(b)... 2,172 15,530 ------------ 16,444,880 ------------ PAPER & FOREST PRODUCTS -- 0.3% International Paper Co. ...... 8,042 215,365 MeadWestvaco Corp. ........... 5,246 150,193 Weyerhaeuser Co. (b).......... 3,327 143,527 ------------ 509,085 ------------ PERSONAL PRODUCTS -- 0.3% Avon Products, Inc. .......... 7,426 233,919 Herbalife, Ltd. .............. 1,466 59,475 Mead Johnson Nutrition Co. (b)......................... 3,100 135,470 The Estee Lauder Cos., Inc. (Class A)................... 2,891 139,809 ------------ 568,673 ------------ PHARMACEUTICALS -- 5.5% Abbott Laboratories........... 23,857 1,288,039 Allergan, Inc. ............... 4,766 300,306 Auxilium Pharmaceuticals, Inc. (a)(b)...................... 953 28,571 Bristol-Myers Squibb Co. ..... 29,161 736,315 Eli Lilly & Co. .............. 14,370 513,153 Endo Pharmaceuticals Holdings, Inc. (a).................... 2,068 42,415 Forest Laboratories, Inc. (a)......................... 5,462 175,385 Johnson & Johnson............. 42,174 2,716,427 King Pharmaceuticals, Inc. (a)......................... 4,073 49,976 Merck & Co., Inc. ............ 47,275 1,727,428 Middlebrook Pharmaceuticals, Inc. (a)(b)................. 10,148 5,175 Mylan, Inc. (a)(b)............ 6,059 111,667 Nektar Therapeutics (a)(b).... 1,200 11,184 Perrigo Co. (b)............... 1,733 69,043 Pfizer, Inc. ................. 122,933 2,236,151 Questcor Pharmaceuticals, Inc. (a)(b)...................... 1,417 6,731 Repros Therapeutics, Inc. (a)......................... 3,584 2,855 ViroPharma, Inc. (a)(b)....... 2,094 17,569
See accompanying notes to financial statements. SPDR DOW JONES TOTAL MARKET ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- VIVUS, Inc. (a)(b)............ 4,114 $ 37,808 Watson Pharmaceuticals, Inc. (a)......................... 2,736 108,373 ------------ 10,184,571 ------------ PROFESSIONAL SERVICES -- 0.3% Equifax, Inc. ................ 3,258 100,640 IHS, Inc. (Class A) (a)....... 970 53,166 Manpower, Inc. ............... 1,470 80,232 Monster Worldwide, Inc. (a)(b)...................... 3,390 58,986 Robert Half International, Inc. (b).................... 4,399 117,585 The Dun & Bradstreet Corp. ... 1,497 126,302 ------------ 536,911 ------------ REAL ESTATE INVESTMENT TRUSTS -- 2.1% Agree Realty Corp. (b)........ 3,930 91,530 AMB Property Corp. ........... 1,495 38,197 American Campus Communities, Inc. ....................... 1,863 52,350 Annaly Capital Management, Inc. ....................... 9,570 166,040 Apartment Investment & Management Co. (Class A) (b)......................... 3,186 50,721 Ashford Hospitality Trust (a)(b)...................... 8,767 40,679 Avalonbay Communities, Inc. .. 1,412 115,939 BioMed Realty Trust, Inc. (b)......................... 2,830 44,657 Boston Properties, Inc. ...... 3,573 239,641 BRE Properties, Inc. (b)...... 1,159 38,340 Camden Property Trust......... 382 16,185 Care Investment Trust, Inc. (b)......................... 3,130 24,351 CBL & Associates Properties, Inc. ....................... 1,513 14,631 Cedar Shopping Centers, Inc. (b)......................... 2,673 18,176 Cogdell Spencer, Inc. (b)..... 1,847 10,454 Corporate Office Properties Trust (b)................... 2,526 92,527 Developers Diversified Realty Corp. (b)................... 2,547 23,585 Digital Realty Trust, Inc. (b)......................... 1,181 59,381 Duke Realty Corp. ............ 3,064 37,289 Equity Residential............ 5,164 174,440 Extra Space Storage, Inc. .... 2,288 26,426 Glimcher Realty Trust (b)..... 4,711 12,720 HCP, Inc. .................... 3,846 117,457 Health Care REIT, Inc. ....... 1,351 59,876 Home Properties, Inc. (b)..... 808 38,550 Hospitality Properties Trust.. 2,495 59,156 Host Hotels & Resorts, Inc. (a)......................... 11,259 131,393 Investors Real Estate Trust (b)......................... 10,965 98,685 Kimco Realty Corp. ........... 3,928 53,146 LaSalle Hotel Properties (b).. 3,676 78,042 Lexington Realty Trust (b).... 2,394 14,556 Liberty Property Trust........ 1,768 56,594 Monmouth Real Estate Investment Corp. (b)........ 6,671 49,632 National Retail Properties, Inc. ....................... 4,730 100,371 Nationwide Health Properties, Inc. ....................... 1,586 55,796 Pennsylvania Real Estate Investment Trust (b)........ 3,140 26,564 Pittsburgh & West Virginia Railroad.................... 2,879 30,201 Plum Creek Timber Co., Inc. (b)......................... 3,590 135,558 Post Properties, Inc. ........ 592 11,603 ProLogis...................... 5,735 78,512 Public Storage................ 1,505 122,582 Realty Income Corp. (b)....... 2,288 59,282 Regency Centers Corp. (b)..... 192 6,732 Senior Housing Properties Trust....................... 2,002 43,784 Simon Property Group, Inc. (b)......................... 3,931 313,694 SL Green Realty Corp. (b)..... 862 43,307 Sunstone Hotel Investors, Inc. (a)(b)...................... 96 852 Tanger Factory Outlet Centers, Inc. ....................... 2,201 85,817 The Macerich Co. (b).......... 2,342 84,195 Transcontinental Realty Investors, Inc. (a)(b)...... 884 10,528 UDR, Inc. (b)................. 2,711 44,569 Urstadt Biddle Properties (Class A) (b)............... 6,032 92,109 Ventas, Inc. ................. 2,326 101,739 Vornado Realty Trust.......... 4,777 334,103 Walter Investment Management Corp. (b)................... 440 6,305 Weingarten Realty Investors (b)......................... 1,792 35,464 ------------ 3,969,013 ------------ REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.1% Brookfield Properties Corp. (b)......................... 2,504 30,349 CB Richard Ellis Group, Inc. (Class A) (a)(b)............ 6,104 82,831 Forestar Real Estate Group, Inc. (a)(b)................. 848 18,639 Jones Lang LaSalle, Inc. (b).. 1,028 62,091 The St. Joe Co. (a)(b)........ 1,473 42,555 ------------ 236,465 ------------ ROAD & RAIL -- 1.1% Burlington Northern Santa Fe Corp. ...................... 4,833 476,630 CSX Corp. .................... 6,973 338,121 J.B. Hunt Transport Services, Inc. (b).................... 4,397 141,891 Kansas City Southern (a)...... 1,934 64,383 Landstar Systems, Inc. ....... 2,649 102,702 Norfolk Southern Corp. ....... 6,658 349,012 Union Pacific Corp. .......... 7,462 476,822 YRC Worldwide, Inc. (a)(b).... 1,791 1,504 ------------ 1,951,065 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.8% Advanced Micro Devices, Inc. (a)......................... 8,881 85,968 Aetrium, Inc. (a)(b).......... 7,763 20,106 Altera Corp. ................. 5,211 117,925 Anadigics, Inc. (a)(b)........ 2,593 10,942 Analog Devices, Inc. ......... 5,583 176,311 Applied Materials, Inc. ...... 22,598 315,016 Atheros Communications, Inc. (a)......................... 2,383 81,594 AXT, Inc. (a)(b).............. 8,559 27,817 Broadcom Corp. (Class A) (a).. 7,722 242,857 Cypress Semiconductor Corp. (a)(b)...................... 2,679 28,290 FEI Co. (a)................... 2,179 50,901 Intel Corp. .................. 85,657 1,747,403 International Rectifier Corp. (a)(b)...................... 1,838 40,657 Intersil Corp. (Class A)...... 4,844 74,307 KLA-Tencor Corp. ............. 3,665 132,526 Lam Research Corp. (a)........ 3,272 128,295 Linear Technology Corp. (b)... 4,880 149,035 LSI Logic Corp. (a)(b)........ 10,307 61,945 Marvell Technology Group, Ltd. (a)......................... 7,293 151,330 Maxim Integrated Products, Inc. ....................... 2,721 55,236 MEMC Electronic Materials, Inc. (a).................... 4,500 61,290 Microchip Technology, Inc. (b)......................... 4,035 117,257 Micron Technology, Inc. (a)(b)...................... 12,541 132,433 Microsemi Corp. (a)........... 2,562 45,476 MKS Instruments, Inc. (a)(b).. 322 5,606 National Semiconductor Corp. ...................... 6,521 100,163 Novellus Systems, Inc. (a).... 3,727 86,988 NVIDIA Corp. (a)(b)........... 10,153 189,658
See accompanying notes to financial statements. SPDR DOW JONES TOTAL MARKET ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- ON Semiconductor Corp. (a).... 4,759 $ 41,927 Rambus, Inc. (a)(b)........... 2,065 50,386 Sigma Designs, Inc. (a)....... 542 5,799 Teradyne, Inc. (a)(b)......... 5,379 57,717 Texas Instruments, Inc. ...... 20,236 527,350 Xilinx, Inc. (b).............. 4,426 110,916 ------------ 5,231,427 ------------ SOFTWARE -- 4.2% Activision Blizzard, Inc. (a)......................... 10,073 111,911 Adobe Systems, Inc. (a)....... 9,215 338,928 Autodesk, Inc. (a)............ 4,259 108,221 BMC Software, Inc. (a)........ 3,842 154,064 CA, Inc. ..................... 7,392 166,024 Cadence Design Systems, Inc. (a)......................... 7,580 45,404 Citrix Systems, Inc. (a)...... 3,699 153,915 Compuware Corp. (a)........... 8,521 61,607 Concur Technologies, Inc. (a)(b)...................... 1,152 49,248 Electronic Arts, Inc. (a)(b).. 4,752 84,348 Intuit, Inc. (a).............. 5,679 174,402 Jack Henry & Associates, Inc. ....................... 2,246 51,928 McAfee, Inc. (a).............. 2,919 118,424 Microsoft Corp. .............. 121,134 3,693,376 Novell, Inc. (a).............. 11,201 46,484 Nuance Communications, Inc. (a)(b)...................... 3,804 59,114 Oracle Corp. ................. 61,053 1,498,241 Parametric Technology Corp. (a)(b)...................... 5,114 83,563 Red Hat, Inc. (a)............. 3,936 121,622 Salesforce.com, Inc. (a)(b)... 1,525 112,499 Smith Micro Software, Inc. (a)(b)...................... 2,005 18,326 Solera Holdings, Inc. ........ 1,780 64,098 Symantec Corp. (a)............ 14,403 257,670 Synopsys, Inc. (a)............ 4,209 93,776 TiVo, Inc. (a)(b)............. 3,140 31,965 Versant Corp. (a)(b).......... 2,547 38,867 Websense, Inc. (a)(b)......... 721 12,589 ------------ 7,750,614 ------------ SPECIALTY RETAIL -- 2.2% Abercrombie & Fitch Co. (Class A).......................... 1,849 64,438 Advance Auto Parts, Inc. (b).. 2,470 99,986 Aeropostale, Inc. (a)(b)...... 838 28,534 American Eagle Outfitters, Inc. ....................... 4,347 73,812 AutoNation, Inc. (a)(b)....... 4,584 87,784 AutoZone, Inc. (a)............ 697 110,175 Bed Bath & Beyond, Inc. (a)... 4,835 186,776 Best Buy Co., Inc. ........... 5,433 214,386 Chico's FAS, Inc. (a)......... 3,406 47,854 Dick's Sporting Goods, Inc. (a)......................... 1,704 42,378 Foot Locker, Inc. ............ 3,862 43,023 GameStop Corp. (Class A) (a)(b)...................... 2,375 52,107 Genesco, Inc. (a)............. 391 10,737 Limited Brands, Inc. (b)...... 6,032 116,056 Lowe's Cos., Inc. ............ 21,205 495,985 O'Reilly Automotive, Inc. (a)......................... 3,337 127,206 Office Depot, Inc. (a)........ 6,107 39,390 PetSmart, Inc. ............... 3,590 95,817 RadioShack Corp. ............. 3,506 68,367 Rent-A-Center, Inc. (a)....... 2,455 43,503 Ross Stores, Inc. ............ 3,142 134,195 Staples, Inc. ................ 11,568 284,457 The Gap, Inc. ................ 9,210 192,949 The Home Depot, Inc. ......... 27,033 782,065 The Mens Wearhouse, Inc. (b).. 799 16,827 The Sherwin-Williams Co. (b).. 1,245 76,754 The TJX Cos., Inc. ........... 6,275 229,351 Tiffany & Co. ................ 2,658 114,294 Urban Outfitters, Inc. (a).... 2,819 98,637 Williams-Sonoma, Inc. (b)..... 2,186 45,425 ------------ 4,023,268 ------------ TEXTILES, APPAREL & LUXURY GOODS -- 0.5% Carter's, Inc. (a)............ 1,562 41,002 Coach, Inc. .................. 5,862 214,139 Hanesbrands, Inc. (a)......... 2,180 52,560 Iconix Brand Group, Inc. (a)(b)...................... 714 9,032 Jones Apparel Group, Inc. .... 3,666 58,876 Liz Claiborne, Inc. (a)(b).... 3,172 17,858 NIKE, Inc. (Class B).......... 4,440 293,351 Quiksilver, Inc. (a)(b)....... 5,303 10,712 Under Armour, Inc. (Class A) (a)......................... 907 24,734 V. F. Corp. .................. 1,066 78,074 Wolverine World Wide, Inc. ... 3,609 98,237 ------------ 898,575 ------------ THRIFTS & MORTGAGE FINANCE -- 0.3% Astoria Financial Corp. (b)... 2,022 25,133 Berkshire Hills Bancorp, Inc. (b)......................... 2,663 55,071 Fannie Mae (a)(b)............. 18,061 21,312 Freddie Mac (a)............... 12,794 18,807 Hudson City Bancorp, Inc. .... 4,924 67,607 MGIC Investment Corp. (a)(b).. 2,130 12,311 New York Community Bancorp, Inc. ....................... 4,263 61,856 NewAlliance Bancshares, Inc. (b)......................... 8,537 102,529 OceanFirst Financial Corp. (b)......................... 5,012 56,636 People's United Financial, Inc. ....................... 5,455 91,099 Radian Group, Inc. (b)........ 2,509 18,341 TF Financial Corp. ........... 260 4,932 TrustCo Bank Corp. NY (b)..... 9,204 57,985 ------------ 593,619 ------------ TOBACCO -- 1.3% Altria Group, Inc. ........... 31,820 624,627 Lorillard, Inc. .............. 2,262 181,480 Philip Morris International, Inc. ....................... 30,239 1,457,217 Reynolds American, Inc. (b)... 3,212 170,140 ------------ 2,433,464 ------------ TRADING COMPANIES & DISTRIBUTORS -- 0.1% Fastenal Co. (b).............. 3,229 134,456 Kaman Corp. (Class A)......... 2,811 64,906 W.W. Grainger, Inc. (b)....... 646 62,552 Willis Lease Finance Corp. (a)(b)...................... 516 7,740 ------------ 269,654 ------------ WATER UTILITIES -- 0.1% Aqua America, Inc. (b)........ 1,791 31,360 Artesian Resources Corp. (Class A) (b)............... 516 9,448 Cadiz, Inc. (a)(b)............ 898 10,749 Connecticut Water Service, Inc. (b).................... 1,256 31,111 Middlesex Water Co. (b)....... 6,166 108,707 Pennichuck Corp. (b).......... 260 5,494 Southwest Water Co. .......... 2,583 15,214 The York Water Co. (b)........ 2,891 41,948 ------------ 254,031 ------------
See accompanying notes to financial statements. SPDR DOW JONES TOTAL MARKET ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- WIRELESS TELECOMMUNICATION SERVICES -- 0.5% American Tower Corp. (Class A) (a)......................... 6,818 $ 294,606 Crown Castle International Corp. (a)................... 4,694 183,254 Leap Wireless International, Inc. (a).................... 1,220 21,411 MetroPCS Communications, Inc. (a)(b)...................... 3,620 27,620 NII Holdings, Inc. (a)........ 3,198 107,389 SBA Communications Corp. (Class A) (a)(b)............ 2,250 76,860 Sprint Nextel Corp. (a)....... 41,001 150,063 Telephone & Data Systems, Inc. ....................... 2,329 79,000 ------------ 940,203 ------------ TOTAL COMMON STOCKS -- (Cost $179,780,580)......... 183,697,320 ------------ SHORT TERM INVESTMENTS -- 7.2% MONEY MARKET FUNDS -- 7.2% State Street Institutional Liquid Reserves Fund (d).... 733,734 733,734 State Street Navigator Securities Lending Prime Portfolio (d)(e)............ 12,569,817 12,569,817 ------------ TOTAL SHORT TERM INVESTMENTS -- (Cost $13,303,551).......... 13,303,551 ------------ TOTAL INVESTMENTS -- 106.7% (F) (Cost $193,084,131)......... 197,000,871 OTHER ASSETS AND LIABILITIES -- (6.7)%....... (12,351,639) ------------ NET ASSETS -- 100.0%.......... $184,649,232 ============
(a) Non-income producing security. (b) Security, or portion thereof, was on loan at December 31, 2009. (c) Affiliated issuer. (Note 3) (d) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (e) Investments of cash collateral for securities loaned. (f) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (Notes 2) REIT = Real Estate Investment Trust See accompanying notes to financial statements. SPDR DOW JONES LARGE CAP ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.8% AEROSPACE & DEFENSE -- 2.4% Alliant Techsystems, Inc. (a)(b)...................... 146 $ 12,887 Boeing Co. (b)................ 2,852 154,379 General Dynamics Corp. ....... 1,423 97,006 Goodrich Corp. (b)............ 545 35,016 Honeywell International, Inc. ....................... 3,034 118,933 ITT Corp. (b)................. 793 39,444 L-3 Communications Holdings, Inc. ....................... 520 45,214 Lockheed Martin Corp. ........ 1,289 97,126 Northrop Grumman Corp. (b).... 1,227 68,528 Precision Castparts Corp. (b)......................... 611 67,424 Raytheon Co. (b).............. 1,721 88,666 Rockwell Collins, Inc. (b).... 693 38,364 Spirit Aerosystems Holdings, Inc. (a)(b)................. 445 8,838 United Technologies Corp. (b)......................... 3,759 260,912 ------------ 1,132,737 ------------ AIR FREIGHT & LOGISTICS -- 0.8% C.H. Robinson Worldwide, Inc. (b)......................... 743 43,636 Expeditors International Washington, Inc. (b)........ 930 32,299 FedEx Corp. (b)............... 1,269 105,898 United Parcel Service, Inc. (Class B) (b)............... 3,048 174,864 ------------ 356,697 ------------ AIRLINES -- 0.2% Delta Air Lines, Inc. (a)(b).. 3,224 36,689 Southwest Airlines Co. (b).... 3,217 36,770 ------------ 73,459 ------------ AUTO COMPONENTS -- 0.2% BorgWarner, Inc. (b).......... 499 16,577 Johnson Controls, Inc. (b).... 2,888 78,669 The Goodyear Tire & Rubber Co. (a)(b)...................... 1,036 14,608 ------------ 109,854 ------------ AUTOMOBILES -- 0.4% Ford Motor Co. (a)(b)......... 14,067 140,670 Harley-Davidson, Inc. (b)..... 1,032 26,006 ------------ 166,676 ------------ BEVERAGES -- 2.4% Brown-Forman Corp. (Class B) (b)......................... 495 26,517 Coca-Cola Enterprises, Inc. .. 1,383 29,320 Constellation Brands, Inc. (Class A) (a)(b)............ 840 13,381 Dr. Pepper Snapple Group, Inc. ....................... 1,012 28,640 Hansen Natural Corp. (a)(b)... 315 12,096 Molson Coors Brewing Co. (Class B) (b)............... 646 29,173 PepsiAmericas, Inc. .......... 281 8,222 PepsiCo, Inc. ................ 6,873 417,878 The Coca-Cola Co. ............ 9,248 527,136 The Pepsi Bottling Group, Inc. ....................... 604 22,650 ------------ 1,115,013 ------------ BIOTECHNOLOGY -- 1.7% Alexion Pharmaceuticals, Inc. (a)(b)...................... 341 16,648 Amgen, Inc. (a)............... 4,449 251,680 Amylin Pharmaceuticals, Inc. (a)(b)...................... 597 8,471 Biogen Idec, Inc. (a)(b)...... 1,299 69,496 Celgene Corp. (a)(b).......... 1,975 109,968 Cephalon, Inc. (a)(b)......... 303 18,910 Dendreon Corp. (a)(b)......... 500 13,140 Genzyme Corp. (a)(b).......... 1,181 57,881 Gilead Sciences, Inc. (a)..... 4,005 173,336 Myriad Genetics, Inc. (a)(b).. 408 10,649 OSI Pharmaceuticals, Inc. (a)(b)...................... 250 7,758 Talecris Biotherapeutics Holdings Corp. (a)(b)....... 219 4,877 Vertex Pharmaceuticals, Inc. (a)(b)...................... 799 34,237 ------------ 777,051 ------------ BUILDING PRODUCTS -- 0.1% Masco Corp. (b)............... 1,607 22,193 Owens Corning, Inc. (a)(b).... 400 10,256 ------------ 32,449 ------------ CAPITAL MARKETS -- 2.6% Affiliated Managers Group, Inc. (a)(b)................. 179 12,056 Ameriprise Financial, Inc. (b)......................... 1,163 45,148 BlackRock, Inc. (b)........... 189 43,886 Eaton Vance Corp. (b)......... 504 15,327 Federated Investors, Inc. (Class B) (b)............... 413 11,357 Franklin Resources, Inc. (b).. 697 73,429 Invesco, Ltd. ................ 1,903 44,701 Jefferies Group, Inc. (a)(b).. 505 11,984 Legg Mason, Inc. (b).......... 711 21,444 Morgan Stanley (b)............ 5,483 162,297 Northern Trust Corp. (b)...... 1,070 56,068 Raymond James Financial, Inc. (b)......................... 428 10,174 SEI Investments Co. .......... 609 10,670 State Street Corp. (c)........ 2,169 94,438 T. Rowe Price Group, Inc. (b)......................... 1,137 60,545 TD Ameritrade Holding Corp. (a)(b)...................... 1,053 20,407 The Bank of New York Mellon Corp. (b)................... 5,216 145,891 The Charles Schwab Corp. (b).. 4,110 77,350 The Goldman Sachs Group, Inc. ....................... 1,856 313,367 ------------ 1,230,539 ------------ CHEMICALS -- 2.1% Air Products & Chemicals, Inc. ....................... 861 69,793 Airgas, Inc. (b).............. 304 14,470 Albemarle Corp. .............. 397 14,439 Celanese Corp. (Series A)..... 647 20,769 CF Industries Holdings, Inc. ....................... 251 22,786 E. I. du Pont de Nemours & Co. (b)......................... 3,723 125,353 Eastman Chemical Co. (b)...... 313 18,855 Ecolab, Inc. (b).............. 1,073 47,834 FMC Corp. (b)................. 324 18,066 International Flavors & Fragrances, Inc. ........... 344 14,152 Intrepid Potash, Inc. (a)(b).. 143 4,171 Lubrizol Corp. ............... 294 21,447 Monsanto Co. ................. 2,380 194,565 PPG Industries, Inc. (b)...... 718 42,032 Praxair, Inc. ................ 1,360 109,222 Sigma-Aldrich Corp. .......... 467 23,598 Terra Industries, Inc. (b).... 446 14,357 The Dow Chemical Co. (b)...... 4,949 136,741 The Mosaic Co. ............... 648 38,705 The Scotts Miracle-Gro Co. (Class A) (b)............... 194 7,626 The Valspar Corp. (b)......... 400 10,856 ------------ 969,837 ------------
See accompanying notes to financial statements. SPDR DOW JONES LARGE CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMERCIAL BANKS -- 2.5% BB&T Corp. (b)................ 3,006 $ 76,262 BOK Financial Corp. (b)....... 95 4,514 City National Corp. (b)....... 181 8,254 Comerica, Inc. (b)............ 666 19,694 Commerce Bancshares, Inc. (b)......................... 280 10,842 Cullen/Frost Bankers, Inc. (b)......................... 247 12,350 Fifth Third Bancorp (b)....... 3,300 32,175 First Horizon National Corp. (a)(b)...................... 913 12,240 Keycorp (b)................... 3,593 19,941 M&T Bank Corp. (b)............ 340 22,743 PNC Financial Services Group, Inc. (b).................... 1,968 103,891 Regions Financial Corp. (b)... 4,765 25,207 SunTrust Banks, Inc. (b)...... 2,225 45,145 U.S. Bancorp (b).............. 8,432 189,804 Wells Fargo & Co. ............ 21,478 579,691 ------------ 1,162,753 ------------ COMMERCIAL SERVICES & SUPPLIES -- 0.6% Avery Dennison Corp. ......... 509 18,573 Cintas Corp. (b).............. 582 15,161 Copart, Inc. (a)(b)........... 277 10,147 Corrections Corp. of America (a)(b)...................... 549 13,478 Covanta Holding Corp. (a)..... 538 9,732 Iron Mountain, Inc. (a)(b).... 788 17,935 Pitney Bowes, Inc. (b)........ 920 20,939 R.R. Donnelley & Sons Co. .... 908 20,221 Republic Services, Inc. ...... 1,353 38,304 Stericycle, Inc. (a)(b)....... 385 21,241 Waste Connections, Inc. (a)... 345 11,502 Waste Management, Inc. (b).... 1,963 66,369 ------------ 263,602 ------------ COMMUNICATIONS EQUIPMENT -- 2.4% Brocade Communications Systems, Inc. (a)(b)........ 1,600 12,208 Cisco Systems, Inc. (a)....... 25,247 604,413 F5 Networks, Inc. (a)(b)...... 300 15,894 Harris Corp. ................. 588 27,960 Juniper Networks, Inc. (a)(b)...................... 2,305 61,474 Motorola, Inc. (a)(b)......... 9,246 71,749 QUALCOMM, Inc. ............... 7,212 333,627 Tellabs, Inc. (a)............. 1,400 7,952 ------------ 1,135,277 ------------ COMPUTERS & PERIPHERALS -- 5.6% Apple, Inc. (a)............... 3,904 823,198 Dell, Inc. (a)(b)............. 7,531 108,145 EMC Corp. (a)(b).............. 8,694 151,884 Hewlett-Packard Co. (b)....... 10,375 534,416 International Business Machines Corp. ............. 5,747 752,282 NCR Corp. (a)................. 718 7,991 NetApp, Inc. (a)(b)........... 1,435 49,350 SanDisk Corp. (a)(b).......... 989 28,671 Seagate Technology............ 2,121 38,581 Sun Microsystems, Inc. (a).... 3,221 30,181 Teradata Corp. (a)............ 781 24,547 Western Digital Corp. (a)..... 961 42,428 ------------ 2,591,674 ------------ CONSTRUCTION & ENGINEERING -- 0.3% Aecom Technology Corp. (a)(b)...................... 421 11,577 Fluor Corp. .................. 790 35,582 Jacobs Engineering Group, Inc. (a)(b)...................... 537 20,197 KBR, Inc. .................... 715 13,585 Quanta Services, Inc. (a)..... 860 17,922 The Shaw Group, Inc. (a)...... 429 12,334 URS Corp. (a)(b).............. 368 16,383 ------------ 127,580 ------------ CONSTRUCTION MATERIALS -- 0.1% Martin Marietta Materials, Inc. (b).................... 181 16,183 Vulcan Materials Co. (b)...... 500 26,335 ------------ 42,518 ------------ CONSUMER FINANCE -- 0.7% American Express Co. ......... 4,629 187,567 Capital One Financial Corp. (b)......................... 1,931 74,035 Discover Financial Services (b)......................... 2,377 34,966 SLM Corp. (a)................. 2,046 23,058 ------------ 319,626 ------------ CONTAINERS & PACKAGING -- 0.3% Aptargroup, Inc. ............. 282 10,079 Ball Corp. (b)................ 412 21,300 Bemis Co., Inc. .............. 449 13,313 Crown Holdings, Inc. (a)...... 699 17,881 Owens-Illinois, Inc. (a)(b)... 744 24,455 Pactiv Corp. (a)(b)........... 573 13,832 Sealed Air Corp. (b).......... 698 15,258 Sonoco Products Co. .......... 430 12,578 ------------ 128,696 ------------ DISTRIBUTORS -- 0.1% Genuine Parts Co. (b)......... 704 26,724 ------------ DIVERSIFIED CONSUMER SERVICES -- 0.3% Apollo Group, Inc. (a)(b)..... 576 34,894 Career Education Corp. (a)(b)...................... 192 4,476 DeVry, Inc. (b)............... 270 15,317 Education Management Corp. (a)(b)...................... 87 1,915 H&R Block, Inc. (b)........... 1,479 33,455 ITT Educational Services, Inc. (a)(b)...................... 170 16,313 Strayer Education, Inc. (b)... 59 12,537 Weight Watchers International, Inc. (b).................... 165 4,811 ------------ 123,718 ------------ DIVERSIFIED FINANCIAL SERVICES -- 3.9% Bank of America Corp. (b)..... 37,743 568,410 CIT Group,Inc. (a)............ 900 24,849 Citigroup, Inc. (b)........... 89,887 297,526 CME Group, Inc. (b)........... 290 97,426 Intercontinental Exchange, Inc. (a)(b)................. 318 35,711 JPMorgan Chase & Co. (b)...... 17,185 716,099 Leucadia National Corp. (a)(b)...................... 756 17,985 Moody's Corp. (b)............. 838 22,458 MSCI, Inc. (Class A) (a)(b)... 400 12,720 NYSE Euronext (b)............. 1,129 28,564 The Nasdaq OMX Group, Inc. (a)(b)...................... 694 13,755 ------------ 1,835,503 ------------ DIVERSIFIED TELECOMMUNICATION SERVICES -- 2.7% AT&T, Inc. ................... 25,966 727,827 CenturyTel, Inc. (b).......... 1,300 47,073 Clearwire Corp. (Class A) (a)(b)...................... 307 2,075 Frontier Communications Corp. (b)......................... 1,371 10,708 Level 3 Communications, Inc. (a)(b)...................... 6,953 10,638 Qwest Communications International, Inc. (b)..... 6,202 26,110
See accompanying notes to financial statements. SPDR DOW JONES LARGE CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Verizon Communications, Inc. ....................... 12,460 $ 412,800 Windstream Corp. (b).......... 1,933 21,244 ------------ 1,258,475 ------------ ELECTRIC UTILITIES -- 2.0% Allegheny Energy, Inc. (b).... 739 17,352 American Electric Power Co., Inc. (b).................... 2,081 72,398 DPL, Inc. (b)................. 499 13,772 Duke Energy Corp. (b)......... 5,673 97,632 Edison International (b)...... 1,311 45,597 Entergy Corp. ................ 825 67,518 Exelon Corp. (b).............. 2,908 142,114 FirstEnergy Corp. (b)......... 1,327 61,639 FPL Group, Inc. .............. 1,642 86,731 ITC Holdings Corp. (b)........ 215 11,199 Northeast Utilities........... 798 20,580 NV Energy, Inc. .............. 1,020 12,628 Pepco Holdings, Inc. (b)...... 945 15,923 Pinnacle West Capital Corp. (b)......................... 442 16,168 PPL Corp. (b)................. 1,626 52,536 Progress Energy, Inc. (b)..... 1,253 51,386 The Southern Co. (b).......... 3,486 116,154 Westar Energy, Inc. (b)....... 470 10,208 ------------ 911,535 ------------ ELECTRICAL EQUIPMENT -- 0.6% AMETEK, Inc. (b).............. 461 17,629 Emerson Electric Co. (b)...... 3,286 139,984 First Solar, Inc. (a)(b)...... 198 26,809 Hubbell, Inc. (Class B)....... 234 11,068 Rockwell Automation, Inc. (b)......................... 664 31,195 Roper Industries, Inc. (b).... 390 20,424 SunPower Corp. (Class A) (a)(b)...................... 477 11,295 ------------ 258,404 ------------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.7% Agilent Technologies, Inc. (a)(b)...................... 1,555 48,314 Amphenol Corp. (Class A)...... 768 35,466 Arrow Electronics, Inc. (a)... 526 15,575 Avnet, Inc. (a)............... 646 19,483 Corning, Inc. ................ 6,911 133,451 Dolby Laboratories, Inc. (Class A) (a)............... 232 11,073 FLIR Systems, Inc. (a)(b)..... 618 20,221 Ingram Micro, Inc. (Class A) (a)......................... 624 10,889 Itron, Inc. (a)(b)............ 144 9,730 Mettler-Toledo International, Inc. (a)(b)................. 144 15,119 Molex, Inc. (b)............... 580 12,499 Trimble Navigation, Ltd. (a)(b)...................... 549 13,835 ------------ 345,655 ------------ ENERGY EQUIPMENT & SERVICES -- 1.8% Baker Hughes, Inc. (b)........ 1,344 54,405 BJ Services Co. (b)........... 1,291 24,013 Cameron International Corp. (a)(b)...................... 1,052 43,974 Diamond Offshore Drilling, Inc. (b).................... 288 28,345 FMC Technologies, Inc. (a)(b)...................... 560 32,390 Halliburton Co. .............. 3,900 117,351 Helmerich & Payne, Inc. (b)... 410 16,351 Nabors Industries, Ltd. (a)(b)...................... 1,245 27,253 National-Oilwell Varco, Inc. (b)......................... 1,795 79,141 Oceaneering International, Inc. (a).................... 200 11,704 Patterson-UTI Energy, Inc. (b)......................... 679 10,423 Pride International, Inc. (a)(b)...................... 751 23,964 Rowan Cos., Inc. (a).......... 471 10,663 Schlumberger, Ltd. (b)........ 5,240 341,071 Smith International, Inc. (b)......................... 951 25,839 Tidewater, Inc. (b)........... 227 10,885 ------------ 857,772 ------------ FOOD & STAPLES RETAILING -- 2.5% Costco Wholesale Corp. (b).... 1,881 111,299 CVS Caremark Corp. ........... 6,200 199,702 Safeway, Inc. (b)............. 1,872 39,855 SUPERVALU, Inc. (b)........... 928 11,795 Sysco Corp. (b)............... 2,573 71,890 The Kroger Co. (b)............ 2,677 54,959 Wal-Mart Stores, Inc. ........ 9,507 508,149 Walgreen Co. (b).............. 4,323 158,740 Whole Foods Market, Inc. (a)(b)...................... 508 13,944 ------------ 1,170,333 ------------ FOOD PRODUCTS -- 1.6% Archer-Daniels-Midland Co. ... 2,561 80,185 Bunge, Ltd. (b)............... 523 33,383 Campbell Soup Co. (b)......... 978 33,056 ConAgra Foods, Inc. (b)....... 1,976 45,547 Dean Foods Co. (a)(b)......... 766 13,819 Flowers Foods, Inc. (b)....... 374 8,886 General Mills, Inc. (b)....... 1,354 95,877 H.J. Heinz Co. ............... 1,369 58,538 Hormel Foods Corp. (b)........ 321 12,343 Kellogg Co. (b)............... 1,043 55,488 Kraft Foods, Inc. (a)(b)...... 5,819 158,160 McCormick & Co., Inc. (b)..... 503 18,173 Ralcorp Holdings, Inc. (a)(b)...................... 248 14,808 Sara Lee Corp. (b)............ 2,873 34,993 Smithfield Foods, Inc. (a)(b)...................... 588 8,932 The Hershey Co. (b)........... 705 25,232 The J.M. Smucker Co. (b)...... 516 31,863 Tyson Foods, Inc. (Class A) (b)......................... 1,272 15,607 ------------ 744,890 ------------ GAS UTILITIES -- 0.3% AGL Resources, Inc. .......... 336 12,254 Atmos Energy Corp. (b)........ 398 11,701 Energen Corp. ................ 283 13,245 EQT Corp. (b)................. 572 25,122 National Fuel Gas Co. (b)..... 296 14,800 ONEOK, Inc. (b)............... 432 19,254 Piedmont Natural Gas Co., Inc. (b)......................... 302 8,079 Questar Corp. ................ 755 31,385 UGI Corp. .................... 468 11,321 ------------ 147,161 ------------ HEALTH CARE EQUIPMENT & SUPPLIES -- 2.1% Baxter International, Inc. ... 2,678 157,145 Beckman Coulter, Inc. ........ 267 17,472 Becton, Dickinson & Co. (b)... 987 77,835 Boston Scientific Corp. (a)... 6,470 58,230 C.R. Bard, Inc. .............. 433 33,731 CareFusion Corp. (a)(b)....... 778 19,458 DENTSPLY International, Inc. (b)......................... 607 21,348 Edwards Lifesciences Corp. (a)......................... 247 21,452 Gen-Probe, Inc. (a)(b)........ 234 10,039 Hologic, Inc. (a)(b).......... 1,107 16,051 Hospira, Inc. (a)(b).......... 698 35,598 IDEXX Laboratories, Inc. (a)(b)...................... 264 14,108 Intuitive Surgical, Inc. (a).. 164 49,744
See accompanying notes to financial statements. SPDR DOW JONES LARGE CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Inverness Medical Innovations, Inc. (a)(b)................. 338 $ 14,030 Kinetic Concepts, Inc. (a)(b)...................... 227 8,546 Medtronic, Inc. (b)........... 4,846 213,127 ResMed, Inc. (a)(b)........... 328 17,145 St. Jude Medical, Inc. (a).... 1,502 55,243 Stryker Corp. (b)............. 1,326 66,791 Teleflex, Inc. ............... 175 9,431 Varian Medical Systems, Inc. (a)(b)...................... 549 25,721 Zimmer Holdings, Inc. (a)..... 987 58,342 ------------ 1,000,587 ------------ HEALTH CARE PROVIDERS & SERVICES -- 2.1% Aetna, Inc. (b)............... 1,913 60,642 AmerisourceBergen Corp. (b)... 1,328 34,621 Cardinal Health, Inc. (b)..... 1,556 50,166 CIGNA Corp. (b)............... 1,199 42,289 Community Health Systems, Inc. (a)(b)...................... 407 14,489 Coventry Health Care, Inc. (a)......................... 649 15,764 DaVita, Inc. (a).............. 463 27,197 Express Scripts, Inc. (Class A) (a)...................... 1,115 96,392 Henry Schein, Inc. (a)(b)..... 404 21,250 Humana, Inc. (a)(b)........... 745 32,698 Laboratory Corp. of America Holdings (a)(b)............. 469 35,100 Lincare Holdings, Inc. (a)(b)...................... 315 11,693 McKesson Corp. ............... 1,196 74,750 Medco Health Solutions, Inc. (a)......................... 2,067 132,102 Omnicare, Inc. (b)............ 474 11,461 Patterson Cos., Inc. (a)(b)... 434 12,143 Quest Diagnostics, Inc. (b)... 642 38,764 UnitedHealth Group, Inc. ..... 5,059 154,198 Universal Health Services, Inc. (Class B) (b).......... 402 12,261 WellPoint, Inc. (a)........... 1,977 115,239 ------------ 993,219 ------------ HEALTH CARE TECHNOLOGY -- 0.1% Cerner Corp. (a).............. 282 23,248 IMS Health, Inc. ............. 782 16,469 ------------ 39,717 ------------ HOTELS, RESTAURANTS & LEISURE -- 1.6% Burger King Holdings, Inc. (b)......................... 397 7,472 Carnival Corp. (a)(b)......... 1,849 58,595 Chipotle Mexican Grill, Inc. (a)......................... 138 12,166 Darden Restaurants, Inc. (b).. 550 19,288 Hyatt Hotels Corp. (Class A) (a)(b)...................... 166 4,948 International Game Technology (b)......................... 1,306 24,514 Las Vegas Sands Corp. (a)(b).. 1,967 29,387 Marriott International, Inc. (Class A) (b)............... 1,347 36,706 McDonald's Corp. (b).......... 4,698 293,343 MGM MIRAGE, Inc. (a)(b)....... 1,080 9,850 Penn National Gaming, Inc. (a)(b)...................... 360 9,785 Royal Caribbean Cruises, Ltd. (a)(b)...................... 597 15,092 Starbucks Corp. (a)(b)........ 3,202 73,838 Starwood Hotels & Resorts Worldwide, Inc. (b)......... 745 27,245 Wendy's/Arby's Group, Inc. (Class A) (b)............... 1,916 8,986 Wyndham Worldwide Corp. (b)... 700 14,119 Wynn Resorts, Ltd. (b)........ 315 18,342 Yum! Brands, Inc. (b)......... 2,020 70,639 ------------ 734,315 ------------ HOUSEHOLD DURABLES -- 0.4% D.R. Horton, Inc. (b)......... 1,199 13,033 Fortune Brands, Inc. (b)...... 665 28,728 Garmin, Ltd. (b).............. 533 16,363 Leggett & Platt, Inc. (b)..... 694 14,158 Mohawk Industries, Inc. (a)(b)...................... 235 11,186 Newell Rubbermaid, Inc. (b)... 1,208 18,132 NVR, Inc. (a)(b).............. 26 18,478 Pulte Homes, Inc. (a)(b)...... 1,411 14,110 The Black & Decker Corp. ..... 272 17,634 Toll Brothers, Inc. (a)(b).... 586 11,023 Whirlpool Corp. (b)........... 324 26,134 ------------ 188,979 ------------ HOUSEHOLD PRODUCTS -- 2.4% Church & Dwight Co., Inc. (b)......................... 304 18,377 Colgate-Palmolive Co. ........ 2,140 175,801 Energizer Holdings, Inc. (a)(b)...................... 349 21,387 Kimberly-Clark Corp. ......... 1,810 115,315 Procter & Gamble Co. ......... 12,761 773,699 The Clorox Co. (b)............ 605 36,905 ------------ 1,141,484 ------------ INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.3% Calpine Corp. (a)(b).......... 1,553 17,083 Constellation Energy Group, Inc. (b).................... 779 27,397 Dynegy, Inc. (Class A) (a)(b)...................... 2,249 4,071 Mirant Corp. (a)(b)........... 682 10,414 NRG Energy, Inc. (a).......... 1,134 26,774 RRI Energy, Inc. (a)(b)....... 1,504 8,603 The AES Corp. (a)............. 2,916 38,812 ------------ 133,154 ------------ INDUSTRIAL CONGLOMERATES -- 2.1% 3M Co. (b).................... 2,822 233,295 General Electric Co. ......... 46,157 698,355 McDermott International, Inc. (a)(b)...................... 995 23,890 Textron, Inc. (b)............. 1,076 20,240 ------------ 975,780 ------------ INSURANCE -- 3.7% AFLAC, Inc. (b)............... 2,036 94,165 Alleghany Corp. (a)........... 23 6,348 Allied World Assurance Company Holdings, Ltd. ............. 155 7,141 American Financial Group, Inc. (b)......................... 338 8,433 American International Group, Inc. (a)(b)................. 514 15,410 AON Corp. (b)................. 1,038 39,797 Arch Capital Group, Ltd. (a)(b)...................... 218 15,598 Assurant, Inc. ............... 516 15,212 Axis Capital Holdings, Ltd. (b)......................... 619 17,586 Berkshire Hathaway, Inc. (Class A) (a)............... 5 496,000 Brown & Brown, Inc. (b)....... 496 8,913 Chubb Corp. (b)............... 1,454 71,508 Cincinnati Financial Corp. (b)......................... 661 17,345 CNA Financial Corp. (a)(b).... 120 2,880 Everest Re Group, Ltd. ....... 255 21,848
See accompanying notes to financial statements. SPDR DOW JONES LARGE CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Fidelity National Financial, Inc. (Class A) (b).......... 984 $ 13,245 First American Corp. (b)...... 537 17,780 Genworth Financial, Inc. (Class A) (a)(b)............ 2,200 24,970 Hartford Financial Services Group, Inc. ................ 1,740 40,472 HCC Insurance Holdings, Inc. (b)......................... 501 14,013 Lincoln National Corp. (b).... 1,326 32,991 Loews Corp. (b)............... 1,549 56,306 Markel Corp. (a)(b)........... 40 13,600 Marsh & McLennan Cos., Inc. .. 2,242 49,503 MetLife, Inc. ................ 2,503 88,481 Old Republic International Corp. (b)................... 1,005 10,090 PartnerRe, Ltd. (b)........... 238 17,769 Principal Financial Group, Inc. (b).................... 1,345 32,334 Prudential Financial, Inc. (b)......................... 2,069 102,953 Reinsurance Group of America, Inc. ....................... 318 15,153 RenaissanceRe Holdings, Ltd. ....................... 267 14,191 The Allstate Corp. (b)........ 2,363 70,985 The Hanover Insurance Group, Inc. (b).................... 228 10,130 The Progressive Corp. (a)(b).. 2,770 49,832 The Travelers Cos., Inc. ..... 2,347 117,021 Torchmark Corp. (b)........... 380 16,701 Transatlantic Holdings, Inc. (b)......................... 209 10,891 Unum Group (b)................ 1,446 28,226 W.R. Berkley Corp. (b)........ 625 15,400 Wesco Financial Corp. (b)..... 4 1,372 White Mountains Insurance Group, Ltd. ................ 36 11,976 XL Capital, Ltd. (Class A).... 1,400 25,662 ------------ 1,740,231 ------------ INTERNET & CATALOG RETAIL -- 0.6% Amazon.com, Inc. (a).......... 1,360 182,947 Expedia, Inc. (a)(b).......... 904 23,242 Liberty Media Corp -- Interactive (Class A) (a)(b)................... 2,658 28,813 Netflix, Inc. (a)(b).......... 200 11,028 Priceline.com, Inc. (a)(b).... 178 38,893 ------------ 284,923 ------------ INTERNET SOFTWARE & SERVICES -- 2.0% Akamai Technologies, Inc. (a)(b)...................... 734 18,592 AOL, Inc. (a)(b).............. 468 10,895 eBay, Inc. (a)................ 4,790 112,757 Equinix, Inc. (a)(b).......... 200 21,230 Google, Inc. (Class A) (a)(b)...................... 1,010 626,180 IAC/InterActive Corp. (a)(b).. 370 7,578 VeriSign, Inc. (a)............ 847 20,531 Yahoo!, Inc. (a)(b)........... 5,631 94,488 ------------ 912,251 ------------ IT SERVICES -- 1.7% Affiliated Computer Services, Inc. (Class A) (a)(b)....... 404 24,115 Alliance Data Systems Corp. (a)(b)...................... 228 14,727 Automatic Data Processing, Inc. (b).................... 2,221 95,103 Broadridge Financial Solutions, Inc. ............ 611 13,784 Cognizant Technology Solutions Corp. (Class A) (a)......... 1,258 56,987 Computer Sciences Corp. (a)(b)...................... 663 38,142 DST Systems, Inc. (a)(b)...... 181 7,883 Fidelity National Information Services, Inc. (b).......... 1,357 31,808 Fiserv, Inc. (a)(b)........... 711 34,469 Genpact, Ltd. (a)............. 300 4,470 Global Payments, Inc. (b)..... 350 18,851 Hewitt Associates, Inc. (Class A) (a)(b)................... 384 16,228 Lender Processing Services, Inc. ....................... 413 16,793 ManTech International Corp. (Class A) (a)............... 90 4,345 Mastercard, Inc. (Class A) (b)......................... 421 107,768 Paychex, Inc. (b)............. 1,418 43,448 SAIC, Inc. (a)(b)............. 893 16,913 The Western Union Co. ........ 3,124 58,887 Total System Services, Inc. (b)......................... 872 15,059 Visa, Inc. (Class A) (b)...... 1,872 163,725 ------------ 783,505 ------------ LEISURE EQUIPMENT & PRODUCTS -- 0.1% Hasbro, Inc. (b).............. 555 17,793 Mattel, Inc. ................. 1,569 31,349 ------------ 49,142 ------------ LIFE SCIENCES TOOLS & SERVICES -- 0.5% Charles River Laboratories International, Inc. (a)(b).. 304 10,242 Covance, Inc. (a)(b).......... 283 15,443 Illumina, Inc. (a)(b)......... 539 16,520 Life Technologies Corp. (a)(b)...................... 752 39,277 Millipore Corp. (a)........... 236 17,075 PerkinElmer, Inc. (b)......... 520 10,707 Pharmaceutical Product Development, Inc. (b)....... 454 10,642 Techne Corp. (b).............. 163 11,175 Thermo Fisher Scientific, Inc. (a)(b)...................... 1,734 82,694 Waters Corp. (a).............. 432 26,767 ------------ 240,542 ------------ MACHINERY -- 1.7% AGCO Corp. (a)(b)............. 393 12,710 Caterpillar, Inc. (b)......... 2,727 155,412 Cummins, Inc. ................ 806 36,963 Danaher Corp. (b)............. 1,075 80,840 Deere & Co. (b)............... 1,839 99,472 Donaldson Co., Inc. .......... 299 12,719 Dover Corp. (b)............... 823 34,245 Eaton Corp. .................. 719 45,743 Flowserve Corp. (b)........... 252 23,822 Harsco Corp. ................. 367 11,828 Illinois Tool Works, Inc. (b)......................... 1,916 91,949 Joy Global, Inc. (b).......... 464 23,938 Lincoln Electric Holdings, Inc. (b).................... 179 9,569 Navistar International Corp. (a)......................... 271 10,474 PACCAR, Inc. (b).............. 1,503 54,514 Pall Corp. ................... 522 18,896 Parker-Hannifin Corp. ........ 701 37,770 Pentair, Inc. (b)............. 427 13,792 SPX Corp. (b)................. 234 12,800 The Stanley Works (b)......... 344 17,719 ------------ 805,175 ------------ MEDIA -- 2.9% Cablevision Systems Corp. (Class A)................... 1,004 25,923 CBS Corp. .................... 2,660 37,373 Clear Channel Outdoor Holdings, Inc. (Class A) (a)(b)...................... 174 1,808 Comcast Corp. (Class A) (b)... 12,672 213,650
See accompanying notes to financial statements. SPDR DOW JONES LARGE CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- DIRECTV (Class A) (a)(b)...... 4,259 $ 142,038 Discovery Communications, Inc. (Series A) (a)(b)........... 1,224 37,540 DISH Network Corp. (Class A).. 928 19,275 DreamWorks Animation SKG, Inc. (Class A) (a)(b)............ 252 10,067 Interactive Data Corp. (b).... 158 3,997 John Wiley & Sons, Inc. (Class A) (b)...................... 219 9,172 Liberty Global, Inc. (Series A) (a)(b)................... 1,080 23,663 Liberty Media -- Starz (Series A) (a)...................... 227 10,476 Marvel Entertainment, Inc. (a)(b)...................... 229 12,384 News Corp. (Class A).......... 10,124 138,598 Omnicom Group, Inc. (b)....... 1,357 53,127 Scripps Networks Interactive (Class A) (b)............... 358 14,857 The Interpublic Group of Cos., Inc. (a)(b)................. 2,124 15,675 The McGraw-Hill Cos., Inc. (b)......................... 1,402 46,981 The Walt Disney Co. (b)....... 7,641 246,422 The Washington Post Co. (Class B) (b)...................... 24 10,550 Time Warner Cable, Inc. (b)... 1,512 62,582 Time Warner, Inc. (b)......... 5,152 150,129 Viacom, Inc. (a).............. 2,344 69,687 Virgin Media, Inc. (b)........ 1,289 21,694 ------------ 1,377,668 ------------ METALS & MINING -- 1.1% Alcoa, Inc. (b)............... 4,244 68,413 Allegheny Technologies, Inc. (b)......................... 408 18,266 Cliffs Natural Resources, Inc. (b)......................... 580 26,732 Freeport-McMoRan Copper & Gold, Inc. (a)(b)........... 1,767 141,872 Newmont Mining Corp. ......... 2,076 98,216 Nucor Corp. (b)............... 1,253 58,453 Reliance Steel & Aluminum Co. (b)......................... 282 12,188 Southern Copper Corp. ........ 967 31,824 Steel Dynamics, Inc. (b)...... 828 14,672 United States Steel Corp. (b)......................... 620 34,174 Walter Energy, Inc. (a)(b).... 231 17,397 ------------ 522,207 ------------ MULTI-UTILITIES -- 1.4% Alliant Energy Corp. (b)...... 486 14,706 Ameren Corp. (b).............. 916 25,602 CenterPoint Energy, Inc. (b).. 1,553 22,534 CMS Energy Corp. (b).......... 969 15,174 Consolidated Edison, Inc. (b)......................... 1,196 54,334 Dominion Resources, Inc. (b).. 2,638 102,671 DTE Energy Co. (b)............ 717 31,254 Integrys Energy Group, Inc. (b)......................... 336 14,109 MDU Resources Group, Inc. .... 738 17,417 NiSource, Inc. (b)............ 1,189 18,287 NSTAR......................... 465 17,112 OGE Energy Corp. (b).......... 413 15,236 PG&E Corp. (b)................ 1,595 71,217 Public Service Enterprise Group, Inc. (b)............. 2,219 73,782 SCANA Corp. (b)............... 484 18,237 Sempra Energy (b)............. 987 55,252 TECO Energy, Inc. (b)......... 872 14,144 Vectren Corp. (b)............. 355 8,761 Wisconsin Energy Corp. (b).... 514 25,613 Xcel Energy, Inc. ............ 1,961 41,612 ------------ 657,054 ------------ MULTILINE RETAIL -- 0.8% Dollar General Corp. (a)(b)... 149 3,342 Dollar Tree Stores, Inc. (a)(b)...................... 395 19,079 Family Dollar Stores, Inc. (b)......................... 576 16,030 J. C. Penney Co., Inc. (b).... 861 22,911 Kohl's Corp. (a)(b)........... 1,253 67,574 Macy's, Inc. (b).............. 1,827 30,621 Nordstrom, Inc. (b)........... 744 27,960 Sears Holdings Corp. (a)(b)... 261 21,780 Target Corp. ................. 2,981 144,191 ------------ 353,488 ------------ OFFICE ELECTRONICS -- 0.1% Xerox Corp. (b)............... 3,823 32,343 ------------ OIL, GAS & CONSUMABLE FUELS -- 9.4% Alpha Natural Resources, Inc. (a)(b)...................... 706 30,626 Anadarko Petroleum Corp. ..... 2,103 131,269 Apache Corp. ................. 1,469 151,557 Arch Coal, Inc. (b)........... 625 13,906 Cabot Oil & Gas Corp. (b)..... 464 20,226 Chesapeake Energy Corp. (b)... 2,849 73,732 Chevron Corp. ................ 8,796 677,204 Cimarex Energy Co. (b)........ 355 18,804 CNX Gas Corp. (a)(b).......... 122 3,602 Cobalt International Energy, Inc. (a).................... 276 3,820 Concho Resources, Inc. (a).... 271 12,168 ConocoPhillips................ 5,667 289,414 CONSOL Energy, Inc. (b)....... 806 40,139 Continental Resources, Inc. (a)(b)...................... 144 6,176 Denbury Resources, Inc. (a)(b)...................... 1,073 15,881 Devon Energy Corp. ........... 1,828 134,358 El Paso Corp. ................ 3,092 30,394 EOG Resources, Inc. (b)....... 1,076 104,695 EXCO Resources, Inc. (b)...... 748 15,880 Exxon Mobil Corp. (b)......... 20,770 1,416,306 Forest Oil Corp. (a)(b)....... 477 10,613 Hess Corp. ................... 1,291 78,106 Marathon Oil Corp. ........... 3,097 96,688 Murphy Oil Corp. ............. 826 44,769 Newfield Exploration Co. (a)(b)...................... 569 27,443 Noble Energy, Inc. ........... 747 53,201 Occidental Petroleum Corp. (b)......................... 3,563 289,850 Peabody Energy Corp. (b)...... 1,178 53,257 Petrohawk Energy Corp. (a)(b)...................... 1,298 31,139 Pioneer Natural Resources Co. (b)......................... 523 25,193 Plains Exploration & Production Co. (a).......... 570 15,766 Quicksilver Resources, Inc. (a)(b)...................... 494 7,415 Range Resources Corp. (b)..... 677 33,749 Southwestern Energy Co. (a)(b)...................... 1,496 72,107 Spectra Energy Corp. ......... 2,844 58,331 Sunoco, Inc. (b).............. 520 13,572 Tesoro Corp. (b).............. 596 8,076 The Williams Cos., Inc. (b)... 2,528 53,290 Ultra Petroleum Corp. (a)..... 662 33,007 Valero Energy Corp. (b)....... 2,353 39,413 Whiting Petroleum Corp. (a)(b)...................... 218 15,576 XTO Energy, Inc. (b).......... 2,519 117,209 ------------ 4,367,927 ------------
See accompanying notes to financial statements. SPDR DOW JONES LARGE CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- PAPER & FOREST PRODUCTS -- 0.2% International Paper Co. ...... 1,693 $ 45,339 MeadWestvaco Corp. (b)........ 711 20,356 Weyerhaeuser Co. (b).......... 922 39,775 ------------ 105,470 ------------ PERSONAL PRODUCTS -- 0.3% Alberto-Culver Co. (b)........ 380 11,130 Avon Products, Inc. (b)....... 1,872 58,968 Mead Johnson Nutrition Co..... 930 40,641 The Estee Lauder Cos., Inc. (Class A) (b)............... 518 25,051 ------------ 135,790 ------------ PHARMACEUTICALS -- 6.0% Abbott Laboratories........... 6,761 365,026 Allergan, Inc. (b)............ 1,353 85,253 Bristol-Myers Squibb Co. (b).. 7,457 188,289 Eli Lilly & Co. (b)........... 4,259 152,089 Endo Pharmaceuticals Holdings, Inc. (a)(b)................. 451 9,250 Forest Laboratories, Inc. (a)(b)...................... 1,335 42,867 Johnson & Johnson (b)......... 12,037 775,303 King Pharmaceuticals, Inc. (a)(b)...................... 1,068 13,104 Merck & Co., Inc. ............ 13,301 486,019 Mylan, Inc. (a)(b)............ 1,321 24,346 Perrigo Co. .................. 371 14,781 Pfizer, Inc. ................. 35,275 641,652 Watson Pharmaceuticals, Inc. (a)(b)...................... 454 17,983 ------------ 2,815,962 ------------ PROFESSIONAL SERVICES -- 0.2% Equifax, Inc. (b)............. 557 17,206 FTI Consulting, Inc. (a)(b)... 216 10,187 IHS, Inc. (Class A) (a)(b).... 204 11,181 Manpower, Inc. ............... 338 18,448 Robert Half International, Inc. (b).................... 719 19,219 The Dun & Bradstreet Corp. ... 234 19,743 Verisk Analytics, Inc. (Class A) (a)(b)................... 373 11,294 Watson Wyatt Worldwide, Inc. (Class A) (b)............... 183 8,696 ------------ 115,974 ------------ REAL ESTATE INVESTMENT TRUSTS -- 1.4% AMB Property Corp. (b)........ 679 17,348 Annaly Capital Management, Inc. (b).................... 2,346 40,703 Avalonbay Communities, Inc. (b)......................... 348 28,574 Boston Properties, Inc. (b)... 622 41,718 Digital Realty Trust, Inc. (b)......................... 305 15,335 Equity Residential (b)........ 1,192 40,266 Federal Realty Investment Trust (b)................... 253 17,133 HCP, Inc. (b)................. 1,202 36,709 Health Care REIT, Inc. ....... 583 25,839 Host Hotels & Resorts, Inc. (a)(b)...................... 2,646 30,879 Kimco Realty Corp. (b)........ 1,774 24,002 Liberty Property Trust........ 428 13,700 Nationwide Health Properties, Inc. ....................... 447 15,726 Plum Creek Timber Co., Inc. (b)......................... 744 28,093 ProLogis (b).................. 1,977 27,065 Public Storage (b)............ 559 45,531 Rayonier, Inc. (b)............ 341 14,377 Realty Income Corp. (b)....... 452 11,711 Regency Centers Corp. (b)..... 405 14,199 Simon Property Group, Inc. (b)......................... 1,251 99,830 Ventas, Inc. ................. 728 31,843 Vornado Realty Trust (b)...... 777 54,343 ------------ 674,924 ------------ REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.1% Brookfield Properties Corp. (b)......................... 1,191 14,435 CB Richard Ellis Group, Inc. (Class A) (a)(b)............ 1,100 14,927 The St. Joe Co. (a)(b)........ 398 11,498 ------------ 40,860 ------------ ROAD & RAIL -- 1.0% Burlington Northern Santa Fe Corp. ...................... 1,208 119,133 CSX Corp. (b)................. 1,741 84,421 Hertz Global Holdings, Inc. (a)(b)...................... 976 11,634 J.B. Hunt Transport Services, Inc. (b).................... 384 12,392 Kansas City Southern (a)(b)... 397 13,216 Norfolk Southern Corp. (b).... 1,598 83,767 Ryder Systems, Inc. (b)....... 251 10,334 Union Pacific Corp. (b)....... 2,191 140,005 ------------ 474,902 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.7% Advanced Micro Devices, Inc. (a)(b)...................... 2,433 23,551 Altera Corp. (b).............. 1,304 29,510 Analog Devices, Inc. (b)...... 1,281 40,454 Applied Materials, Inc. ...... 5,856 81,633 Broadcom Corp. (Class A) (a).. 1,854 58,308 Cree, Inc. (a)(b)............. 453 25,536 Intel Corp. .................. 24,228 494,251 KLA-Tencor Corp. (b).......... 755 27,301 Lam Research Corp. (a)(b)..... 557 21,840 Linear Technology Corp. (b)... 899 27,455 LSI Logic Corp. (a)........... 2,806 16,864 Marvell Technology Group, Ltd. (a)(b)...................... 2,103 43,637 Maxim Integrated Products, Inc. (b).................... 1,396 28,339 MEMC Electronic Materials, Inc. (a)(b)................. 988 13,457 Microchip Technology, Inc. (b)......................... 801 23,277 Micron Technology, Inc. (a)(b)...................... 3,822 40,360 National Semiconductor Corp. (b)......................... 1,005 15,437 NVIDIA Corp. (a)(b)........... 2,344 43,786 ON Semiconductor Corp. (a)(b)...................... 1,772 15,611 Texas Instruments, Inc. ...... 5,541 144,398 Varian Semiconductor Equipment Associates, Inc. (a) (b).... 318 11,410 Xilinx, Inc. (b).............. 1,209 30,298 ------------ 1,256,713 ------------ SOFTWARE -- 4.3% Activision Blizzard, Inc. (a)(b)...................... 2,576 28,619 Adobe Systems, Inc. (a)....... 2,288 84,153 Ansys, Inc. (a)............... 393 17,080 Autodesk, Inc. (a)(b)......... 992 25,207 BMC Software, Inc. (a)(b)..... 806 32,321 CA, Inc. (b).................. 1,799 40,406 Citrix Systems, Inc. (a)...... 791 32,913 Electronic Arts, Inc. (a)(b).. 1,400 24,850 Factset Research Systems, Inc. (b)......................... 192 12,647 Intuit, Inc. (a)(b)........... 1,295 39,769 McAfee, Inc. (a)(b)........... 669 27,141 Microsoft Corp. (b)........... 34,518 1,052,454 Nuance Communications, Inc. (a)(b)...................... 951 14,779 Oracle Corp. ................. 16,721 410,333 Red Hat, Inc. (a)(b).......... 829 25,616
See accompanying notes to financial statements. SPDR DOW JONES LARGE CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Rovi Corp. (a)(b)............. 400 $ 12,748 Salesforce.com, Inc. (a)(b)... 447 32,975 Sybase, Inc. (a)(b)........... 355 15,407 Symantec Corp. (a)(b)......... 3,582 64,082 Synopsys, Inc. (a)(b)......... 619 13,791 VMware, Inc. (Class A) (a)(b)...................... 163 6,908 ------------ 2,014,199 ------------ SPECIALTY RETAIL -- 2.0% Abercrombie & Fitch Co. (Class A) (b)...................... 376 13,104 Advance Auto Parts, Inc. (b).. 412 16,678 American Eagle Outfitters, Inc. (b).................... 781 13,261 AutoNation, Inc. (a)(b)....... 300 5,745 AutoZone, Inc. (a)(b)......... 148 23,394 Bed Bath & Beyond, Inc. (a)(b)...................... 1,144 44,193 Best Buy Co., Inc. (b)........ 1,465 57,809 CarMax, Inc. (a)(b)........... 867 21,025 GameStop Corp. (Class A) (a)(b)...................... 662 14,524 Guess ?, Inc. (b)............. 269 11,379 Limited Brands, Inc. (b)...... 1,318 25,358 Lowe's Cos., Inc. ............ 6,380 149,228 O'Reilly Automotive, Inc. (a)(b)...................... 591 22,529 PetSmart, Inc. (b)............ 562 15,000 Ross Stores, Inc. (b)......... 567 24,216 Staples, Inc. (b)............. 3,104 76,327 The Gap, Inc. (b)............. 2,291 47,996 The Home Depot, Inc. ......... 7,476 216,281 The Sherwin-Williams Co. (b).. 432 26,633 The TJX Cos., Inc. (b)........ 1,838 67,179 Tiffany & Co. (b)............. 543 23,349 Urban Outfitters, Inc. (a)(b)...................... 513 17,950 ------------ 933,158 ------------ TEXTILES, APPAREL & LUXURY GOODS -- 0.4% Coach, Inc. .................. 1,399 51,105 NIKE, Inc. (Class B) (b)...... 1,174 77,566 Polo Ralph Lauren Corp. (b)... 252 20,407 V. F. Corp. (b)............... 377 27,612 ------------ 176,690 ------------ THRIFTS & MORTGAGE FINANCE -- 0.2% Capitol Federal Financial (b)......................... 92 2,894 Hudson City Bancorp, Inc. (b)......................... 2,130 29,245 New York Community Bancorp, Inc. (b).................... 1,802 26,147 People's United Financial, Inc. (b).................... 1,551 25,902 TFS Financial Corp. (b)....... 410 4,977 ------------ 89,165 ------------ TOBACCO -- 1.4% Altria Group, Inc. (b)........ 8,970 176,081 Lorillard, Inc. .............. 733 58,809 Philip Morris International, Inc. ....................... 8,287 399,350 Reynolds American, Inc. (b)... 736 38,986 ------------ 673,226 ------------ TRADING COMPANIES & DISTRIBUTORS -- 0.1% Fastenal Co. (b).............. 621 25,858 MSC Industrial Direct Co., Inc. (Class A) (b).......... 191 8,977 W.W. Grainger, Inc. (b)....... 285 27,597 ------------ 62,432 ------------ WATER UTILITIES -- 0.0% (D) American Water Works Co., Inc. ....................... 452 10,129 Aqua America, Inc. (b)........ 586 10,261 ------------ 20,390 ------------ WIRELESS TELECOMMUNICATION SERVICES -- 0.5% American Tower Corp. (Class A) (a)(b)...................... 1,730 74,753 Crown Castle International Corp. (a)(b)................ 1,059 41,343 MetroPCS Communications, Inc. (a)(b)...................... 1,073 8,187 NII Holdings, Inc. (a)........ 724 24,312 SBA Communications Corp. (Class A) (a)(b)............ 506 17,285 Sprint Nextel Corp. (a)(b).... 12,413 45,432 Telephone & Data Systems, Inc. (b)......................... 447 15,162 US Cellular Corp. (a)......... 72 3,054 ------------ 229,528 ------------ TOTAL COMMON STOCKS -- (Cost $39,025,331).......... 46,569,282 ------------ RIGHTS -- 0.0% (D) DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.0% (D) Clearwire Corp. (expiring 6/21/10) (a)(b) (Cost $0)................... 307 123 ------------ SHORT TERM INVESTMENTS -- 28.1% MONEY MARKET FUNDS -- 28.1% State Street Institutional Liquid Reserves Fund (e).... 36,888 36,888 State Street Navigator Securities Lending Prime Portfolio (e)(f)............ 13,064,779 13,064,779 ------------ TOTAL SHORT TERM INVESTMENTS -- (Cost $13,101,667).......... 13,101,667 ------------ TOTAL INVESTMENTS -- 127.9% (g) (Cost $52,126,998).......... 59,671,072 OTHER ASSETS AND LIABILITIES -- (27.9)%...... (13,011,077) ------------ NET ASSETS -- 100.0%.......... $ 46,659,995 ============
(a) Non-income producing security. (b) Security, or portion thereof, was on loan at December 31, 2009. (c) Affiliated issuer. (Note 3) (d) Amount shown represents less than 0.05% of net assets. (e) Affiliated Fund managed by SsgA Funds Management, Inc. (Note 3) (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. (Note 2) REIT = Real Estate Investment Trust See accompanying notes to financial statements. SPDR DOW JONES LARGE CAP GROWTH ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.7% AEROSPACE & DEFENSE -- 0.8% Goodrich Corp. ............... 4,582 $ 294,394 ITT Corp. .................... 6,728 334,651 Precision Castparts Corp. .... 5,138 566,978 Rockwell Collins, Inc. ....... 5,801 321,143 Spirit Aerosystems Holdings, Inc. (a)(b)................. 4,220 83,809 ------------ 1,600,975 ------------ AIR FREIGHT & LOGISTICS -- 0.8% C.H. Robinson Worldwide, Inc. (b)......................... 6,311 370,645 Expeditors International Washington, Inc. ........... 7,849 272,596 FedEx Corp. .................. 10,771 898,840 ------------ 1,542,081 ------------ AIRLINES -- 0.3% Delta Air Lines, Inc. (a)..... 28,858 328,404 Southwest Airlines Co. ....... 27,188 310,759 ------------ 639,163 ------------ AUTO COMPONENTS -- 0.1% BorgWarner, Inc. (b).......... 4,114 136,667 The Goodyear Tire & Rubber Co. (a)......................... 8,501 119,864 ------------ 256,531 ------------ BEVERAGES -- 1.9% Hansen Natural Corp. (a)...... 2,797 107,405 PepsiCo, Inc. ................ 57,903 3,520,502 ------------ 3,627,907 ------------ BIOTECHNOLOGY -- 3.4% Alexion Pharmaceuticals, Inc. (a)......................... 3,342 163,156 Amgen, Inc. (a)............... 37,460 2,119,112 Amylin Pharmaceuticals, Inc. (a)(b)...................... 4,635 65,771 Biogen Idec, Inc. (a)......... 10,693 572,076 Celgene Corp. (a)............. 17,043 948,954 Cephalon, Inc. (a)(b)......... 2,715 169,443 Genzyme Corp. (a)............. 9,713 476,034 Gilead Sciences, Inc. (a)..... 33,714 1,459,142 Myriad Genetics, Inc. (a)..... 3,589 93,673 OSI Pharmaceuticals, Inc. (a)(b)...................... 2,025 62,836 Vertex Pharmaceuticals, Inc. (a)(b)...................... 6,785 290,737 ------------ 6,420,934 ------------ BUILDING PRODUCTS -- 0.0% (c) Owens Corning, Inc. (a)....... 3,416 87,586 ------------ CAPITAL MARKETS -- 2.1% Affiliated Managers Group, Inc. (a)(b)................. 1,456 98,062 BlackRock, Inc. .............. 1,495 347,139 Eaton Vance Corp. ............ 4,096 124,559 Franklin Resources, Inc. ..... 5,724 603,023 Jefferies Group, Inc. (a)(b).. 3,988 94,635 Northern Trust Corp. ......... 8,969 469,976 Raymond James Financial, Inc. (b)......................... 3,504 83,290 SEI Investments Co. .......... 5,623 98,515 State Street Corp. (d)........ 18,324 797,827 T. Rowe Price Group, Inc. (b)......................... 9,404 500,763 TD Ameritrade Holding Corp. (a)......................... 8,423 163,238 The Charles Schwab Corp. ..... 34,978 658,286 ------------ 4,039,313 ------------ CHEMICALS -- 2.3% Airgas, Inc. ................. 2,471 117,619 Albemarle Corp. .............. 3,237 117,730 Celanese Corp. Series A....... 5,081 163,100 Ecolab, Inc. ................. 8,783 391,546 FMC Corp. .................... 2,730 152,225 Intrepid Potash, Inc. (a)(b).. 1,758 51,281 Lubrizol Corp. ............... 2,536 185,001 Monsanto Co. ................. 19,996 1,634,673 Praxair, Inc. ................ 11,454 919,871 Sigma-Aldrich Corp. .......... 3,828 193,429 Terra Industries, Inc. ....... 3,621 116,560 The Mosaic Co. ............... 5,370 320,750 ------------ 4,363,785 ------------ COMMERCIAL SERVICES & SUPPLIES -- 0.4% Cintas Corp. ................. 4,698 122,383 Copart, Inc. (a).............. 2,483 90,952 Corrections Corp. of America (a)......................... 4,439 108,977 Covanta Holding Corp. (a)(b).. 4,800 86,832 Iron Mountain, Inc. (a)(b).... 6,774 154,176 Stericycle, Inc. (a).......... 3,057 168,655 Waste Connections, Inc. (a)(b)...................... 2,826 94,219 ------------ 826,194 ------------ COMMUNICATIONS EQUIPMENT -- 5.1% Brocade Communications Systems, Inc. (a)(b)........ 15,116 115,335 Cisco Systems, Inc. (a)....... 213,156 5,102,955 F5 Networks, Inc. (a)......... 3,024 160,211 Harris Corp. ................. 4,774 227,004 Juniper Networks, Inc. (a).... 19,598 522,679 Motorola, Inc. (a)............ 79,803 619,271 QUALCOMM, Inc. ............... 60,650 2,805,669 Tellabs, Inc. (a)............. 13,950 79,236 ------------ 9,632,360 ------------ COMPUTERS & PERIPHERALS -- 8.2% Apple, Inc. (a)............... 32,764 6,908,617 Dell, Inc. (a)................ 63,914 917,805 EMC Corp. (a)................. 74,595 1,303,175 Hewlett-Packard Co. .......... 87,471 4,505,631 NCR Corp. (a)................. 6,275 69,841 NetApp, Inc. (a).............. 12,583 432,729 SanDisk Corp. (a)(b).......... 8,540 247,575 Seagate Technology............ 18,134 329,857 Sun Microsystems, Inc. (a).... 27,350 256,270 Teradata Corp. (a)............ 6,237 196,029 Western Digital Corp. (a)..... 8,114 358,233 ------------ 15,525,762 ------------ CONSTRUCTION & ENGINEERING -- 0.6% Aecom Technology Corp. (a).... 3,424 94,160 Fluor Corp. .................. 6,730 303,119 Jacobs Engineering Group, Inc. (a)......................... 4,636 174,360 KBR, Inc. .................... 5,720 108,680 Quanta Services, Inc. (a)..... 6,985 145,568 The Shaw Group, Inc. (a)...... 2,936 84,410 URS Corp. (a)................. 3,120 138,902 ------------ 1,049,199 ------------ CONSTRUCTION MATERIALS -- 0.2% Martin Marietta Materials, Inc. (b).................... 1,659 148,331 Vulcan Materials Co. (b)...... 4,212 221,846 ------------ 370,177 ------------ CONSUMER FINANCE -- 0.2% Discover Financial Services... 20,284 298,378 ------------
See accompanying notes to financial statements. SPDR DOW JONES LARGE CAP GROWTH ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- CONTAINERS & PACKAGING -- 0.2% Ball Corp. ................... 3,551 $ 183,587 Crown Holdings, Inc. (a)...... 5,659 144,757 Pactiv Corp. (a).............. 4,918 118,720 ------------ 447,064 ------------ DIVERSIFIED CONSUMER SERVICES -- 0.4% Apollo Group, Inc. (a)........ 4,795 290,481 Career Education Corp. (a)(b)...................... 2,398 55,897 DeVry, Inc. .................. 2,193 124,409 Education Management Corp. (a)(b)...................... 780 17,168 ITT Educational Services, Inc. (a)(b)...................... 1,378 132,233 Strayer Education, Inc. (b)... 501 106,457 Weight Watchers International, Inc. ....................... 1,466 42,749 ------------ 769,394 ------------ DIVERSIFIED FINANCIAL SERVICES -- 1.0% CIT Group,Inc. (a)............ 7,300 201,553 CME Group, Inc. .............. 2,430 816,359 Intercontinental Exchange, Inc. (a).................... 2,658 298,493 Leucadia National Corp. (a)... 7,319 174,119 Moody's Corp. (b)............. 7,149 191,593 MSCI, Inc. (Class A) (a)...... 3,804 120,967 The Nasdaq OMX Group, Inc. (a)......................... 5,585 110,695 ------------ 1,913,779 ------------ DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.0% (C) Clearwire Corp. (Class A) (a)(b)...................... 2,502 16,914 ------------ ELECTRIC UTILITIES -- 0.1% Allegheny Energy, Inc. ....... 6,242 146,562 ITC Holdings Corp. ........... 1,750 91,158 ------------ 237,720 ------------ ELECTRICAL EQUIPMENT -- 1.0% AMETEK, Inc. ................. 3,754 143,553 Emerson Electric Co. ......... 28,005 1,193,013 First Solar, Inc. (a)(b)...... 1,706 230,992 Roper Industries, Inc. ....... 3,337 174,759 SunPower Corp. (Class A) (a).. 3,689 87,356 ------------ 1,829,673 ------------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.4% Agilent Technologies, Inc. (a)......................... 12,905 400,958 Amphenol Corp. (Class A)...... 6,208 286,686 Arrow Electronics, Inc. (a)... 4,238 125,487 Avnet, Inc. (a)............... 5,295 159,697 Corning, Inc. ................ 57,977 1,119,536 Dolby Laboratories, Inc. (Class A) (a)............... 1,832 87,441 FLIR Systems, Inc. (a)........ 5,416 177,212 Itron, Inc. (a)............... 1,383 93,449 Mettler-Toledo International, Inc. (a).................... 1,211 127,143 Trimble Navigation, Ltd. (a)(b)...................... 4,257 107,277 ------------ 2,684,886 ------------ ENERGY EQUIPMENT & SERVICES -- 3.8% Baker Hughes, Inc. (b)........ 11,441 463,132 BJ Services Co. .............. 10,982 204,265 Cameron International Corp. (a)......................... 8,979 375,322 Diamond Offshore Drilling, Inc. (b).................... 2,418 237,980 FMC Technologies, Inc. (a).... 4,630 267,799 Halliburton Co. .............. 33,113 996,370 Helmerich & Payne, Inc. ...... 3,583 142,890 Nabors Industries, Ltd. (a)(b)...................... 10,678 233,742 National-Oilwell Varco, Inc. ....................... 15,490 682,954 Oceaneering International, Inc. (a).................... 1,950 114,114 Patterson-UTI Energy, Inc. (b)......................... 5,475 84,041 Pride International, Inc. (a)......................... 5,754 183,610 Rowan Cos., Inc. (a).......... 3,856 87,300 Schlumberger, Ltd. ........... 44,113 2,871,315 Smith International, Inc. .... 8,151 221,463 ------------ 7,166,297 ------------ FOOD & STAPLES RETAILING -- 4.4% Costco Wholesale Corp. ....... 16,016 947,667 CVS Caremark Corp. ........... 51,998 1,674,855 Wal-Mart Stores, Inc. ........ 80,724 4,314,698 Walgreen Co. ................. 36,698 1,347,550 Whole Foods Market, Inc. (a)(b)...................... 4,024 110,459 ------------ 8,395,229 ------------ FOOD PRODUCTS -- 0.2% Dean Foods Co. (a)............ 6,382 115,131 Flowers Foods, Inc. (b)....... 3,034 72,088 Ralcorp Holdings, Inc. (a).... 2,146 128,138 ------------ 315,357 ------------ GAS UTILITIES -- 0.3% EQT Corp. .................... 4,605 202,251 ONEOK, Inc. .................. 3,733 166,380 Questar Corp. ................ 6,396 265,882 ------------ 634,513 ------------ HEALTH CARE EQUIPMENT & SUPPLIES -- 4.4% Baxter International, Inc. ... 22,364 1,312,320 Beckman Coulter, Inc. ........ 2,509 164,189 Becton, Dickinson & Co. ...... 8,421 664,080 Boston Scientific Corp. (a)... 55,998 503,982 C.R. Bard, Inc. .............. 3,616 281,686 CareFusion Corp. (a).......... 6,728 168,267 DENTSPLY International, Inc. ....................... 5,424 190,762 Edwards Lifesciences Corp. (a)......................... 1,994 173,179 Gen-Probe, Inc. (a)(b)........ 1,911 81,982 Hologic, Inc. (a)............. 9,041 131,095 Hospira, Inc. (a)............. 5,946 303,246 IDEXX Laboratories, Inc. (a).. 2,104 112,438 Intuitive Surgical, Inc. (a).. 1,389 421,311 Inverness Medical Innovations, Inc. (a).................... 3,024 125,526 Kinetic Concepts, Inc. (a)(b)...................... 2,204 82,981 Medtronic, Inc. .............. 40,917 1,799,530 ResMed, Inc. (a)(b)........... 2,678 139,979 St. Jude Medical, Inc. (a).... 12,280 451,658 Stryker Corp. ................ 11,294 568,879 Varian Medical Systems, Inc. (a)......................... 4,708 220,570 Zimmer Holdings, Inc. (a)..... 8,068 476,899 ------------ 8,374,559 ------------ HEALTH CARE PROVIDERS & SERVICES -- 3.8% Aetna, Inc. .................. 16,226 514,364 AmerisourceBergen Corp. ...... 10,990 286,509 Community Health Systems, Inc. (a)......................... 3,302 117,551 Coventry Health Care, Inc. (a)......................... 5,244 127,377 DaVita, Inc. (a).............. 3,898 228,969 Express Scripts, Inc. (Class A) (a)...................... 9,431 815,310 Henry Schein, Inc. (a)(b)..... 3,392 178,419 Laboratory Corp. of America Holdings (a)(b)............. 3,896 291,577 Lincare Holdings, Inc. (a)(b)...................... 2,474 91,835 McKesson Corp. ............... 9,989 624,313 Medco Health Solutions, Inc. (a)......................... 17,450 1,115,229
See accompanying notes to financial statements. SPDR DOW JONES LARGE CAP GROWTH ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Patterson Cos., Inc. (a)...... 3,761 $ 105,233 Quest Diagnostics, Inc. ...... 5,793 349,781 UnitedHealth Group, Inc. ..... 43,059 1,312,438 WellPoint, Inc. (a)........... 16,875 983,644 ------------ 7,142,549 ------------ HEALTH CARE TECHNOLOGY -- 0.2% Cerner Corp. (a)(b)........... 2,358 194,394 IMS Health, Inc. ............. 6,423 135,268 ------------ 329,662 ------------ HOTELS, RESTAURANTS & LEISURE -- 1.6% Burger King Holdings, Inc. (b)......................... 3,258 61,315 Carnival Corp. (a)............ 15,694 497,343 Chipotle Mexican Grill, Inc. (a)......................... 1,170 103,147 Darden Restaurants, Inc. ..... 5,237 183,661 International Game Technology.................. 11,018 206,808 Las Vegas Sands Corp. (a)(b).. 15,638 233,632 MGM MIRAGE, Inc. (a)(b)....... 9,507 86,704 Penn National Gaming, Inc. (a)......................... 2,425 65,911 Starbucks Corp. (a)........... 27,167 626,471 Wendy's/Arby's Group, Inc. (Class A)................... 15,623 73,272 Wyndham Worldwide Corp. ...... 6,828 137,721 Wynn Resorts, Ltd. (b)........ 2,769 161,239 Yum! Brands, Inc. ............ 17,208 601,764 ------------ 3,038,988 ------------ HOUSEHOLD DURABLES -- 0.2% Garmin, Ltd. (b).............. 4,252 130,536 NVR, Inc. (a)................. 222 157,778 Pulte Homes, Inc. (a)......... 12,041 120,410 ------------ 408,724 ------------ HOUSEHOLD PRODUCTS -- 1.0% Church & Dwight Co., Inc. .... 2,480 149,916 Colgate-Palmolive Co. ........ 18,460 1,516,489 Energizer Holdings, Inc. (a).. 2,465 151,055 ------------ 1,817,460 ------------ INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.4% Calpine Corp. (a)............. 12,692 139,612 Constellation Energy Group, Inc. ....................... 6,617 232,720 RRI Energy, Inc. (a).......... 14,262 81,578 The AES Corp. (a)............. 24,364 324,285 ------------ 778,195 ------------ INDUSTRIAL CONGLOMERATES -- 0.1% McDermott International, Inc. (a)......................... 8,533 204,877 ------------ INSURANCE -- 2.3% Berkshire Hathaway, Inc. (Class A) (a)............... 43 4,265,600 Brown & Brown, Inc. .......... 4,379 78,691 ------------ 4,344,291 ------------ INTERNET & CATALOG RETAIL -- 1.2% Amazon.com, Inc. (a).......... 11,454 1,540,792 Expedia, Inc. (a)............. 7,531 193,622 Netflix, Inc. (a)............. 1,638 90,319 Priceline.com, Inc. (a)....... 1,636 357,466 ------------ 2,182,199 ------------ INTERNET SOFTWARE & SERVICES -- 4.0% Akamai Technologies, Inc. (a)(b)...................... 6,392 161,909 eBay, Inc. (a)................ 40,649 956,877 Equinix, Inc. (a)(b).......... 1,464 155,404 Google, Inc. (Class A) (a).... 8,502 5,271,070 IAC/InterActiveCorp. (a)(b)... 3,941 80,712 VeriSign, Inc. (a)............ 7,287 176,637 Yahoo!, Inc. (a).............. 48,513 814,048 ------------ 7,616,657 ------------ IT SERVICES -- 3.3% Affiliated Computer Services, Inc. (Class A) (a).......... 3,478 207,602 Alliance Data Systems Corp. (a)(b)...................... 1,896 122,463 Automatic Data Processing, Inc. ....................... 18,668 799,364 Broadridge Financial Solutions, Inc. ............ 4,971 112,146 Cognizant Technology Solutions Corp. (Class A) (a)......... 10,875 492,637 DST Systems, Inc. (a)(b)...... 1,346 58,618 Fidelity National Information Services, Inc. ............. 11,584 271,529 Fiserv, Inc. (a).............. 5,679 275,318 Genpact, Ltd. (a)............. 2,444 36,416 Global Payments, Inc. ........ 3,027 163,034 Hewitt Associates, Inc. (Class A) (a)...................... 3,145 132,908 Lender Processing Services, Inc. ....................... 3,608 146,701 ManTech International Corp. (Class A) (a)............... 737 35,582 Mastercard, Inc. (Class A).... 3,591 919,224 Paychex, Inc. ................ 12,078 370,070 SAIC, Inc. (a)................ 6,884 130,383 The Western Union Co. ........ 25,863 487,517 Total System Services, Inc. (b)......................... 6,973 120,424 Visa, Inc. (Class A).......... 15,929 1,393,150 ------------ 6,275,086 ------------ LIFE SCIENCES TOOLS & SERVICES -- 1.1% Charles River Laboratories International, Inc. (a)..... 2,407 81,092 Covance, Inc. (a)(b).......... 2,258 123,219 Illumina, Inc. (a)(b)......... 4,582 140,438 Life Technologies Corp. (a)... 6,597 344,561 Millipore Corp. (a)........... 2,130 154,106 PerkinElmer, Inc. ............ 4,194 86,355 Pharmaceutical Product Development, Inc. .......... 4,123 96,643 Techne Corp. ................. 1,326 90,911 Thermo Fisher Scientific, Inc. (a)......................... 15,057 718,068 Waters Corp. (a).............. 3,543 219,524 ------------ 2,054,917 ------------ MACHINERY -- 3.2% AGCO Corp. (a)(b)............. 3,239 104,749 Caterpillar, Inc. ............ 22,976 1,309,402 Cummins, Inc. ................ 6,775 310,702 Danaher Corp. (b)............. 9,154 688,381 Deere & Co. .................. 15,594 843,480 Donaldson Co., Inc. .......... 2,389 101,628 Dover Corp. .................. 6,887 286,568 Flowserve Corp. .............. 2,146 202,862 Harsco Corp. ................. 2,983 96,142 Illinois Tool Works, Inc. .... 15,966 766,208 Joy Global, Inc. ............. 3,817 196,919 Lincoln Electric Holdings, Inc. ....................... 1,436 76,769 Navistar International Corp. (a)(b)...................... 2,182 84,334 PACCAR, Inc. (b).............. 12,797 464,147 Pall Corp. ................... 4,200 152,040 Parker-Hannifin Corp. ........ 5,889 317,299 ------------ 6,001,630 ------------
See accompanying notes to financial statements. SPDR DOW JONES LARGE CAP GROWTH ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- MEDIA -- 2.9% Cablevision Systems Corp. (Class A)................... 8,671 $ 223,885 Clear Channel Outdoor Holdings, Inc. (Class A) (a)......................... 1,094 11,367 Comcast Corp. (Class A)....... 106,585 1,797,023 DIRECTV (Class A) (a)......... 36,413 1,214,374 Discovery Communications, Inc. Series A (a)(b)............. 10,318 316,453 DISH Network Corp. (Class A).. 7,480 155,360 DreamWorks Animation SKG, Inc. (Class A) (a)............... 2,632 105,148 John Wiley & Sons, Inc. (Class A) (b)...................... 1,794 75,133 Liberty Global, Inc. Series A (a)(b)...................... 9,432 206,655 Liberty Media -- Starz Series A (a)....................... 1,929 89,023 Omnicom Group, Inc. .......... 11,606 454,375 Scripps Networks Interactive (Class A)................... 2,940 122,010 The Interpublic Group of Cos., Inc. (a).................... 18,742 138,316 The Washington Post Co. (Class B).......................... 224 98,470 Time Warner Cable, Inc. ...... 13,076 541,216 ------------ 5,548,808 ------------ METALS & MINING -- 2.3% Alcoa, Inc. .................. 36,164 582,964 Cliffs Natural Resources, Inc. ....................... 4,670 215,240 Freeport-McMoRan Copper & Gold, Inc. (a).............. 15,249 1,224,342 Newmont Mining Corp. ......... 17,670 835,968 Nucor Corp. .................. 10,655 497,056 Reliance Steel & Aluminum Co. ........................ 2,269 98,066 Southern Copper Corp. ........ 7,695 253,242 Steel Dynamics, Inc. ......... 7,536 133,538 United States Steel Corp. (b)......................... 5,362 295,553 Walter Energy, Inc. .......... 2,050 154,386 ------------ 4,290,355 ------------ MULTILINE RETAIL -- 1.3% Dollar General Corp. (a)(b)... 1,268 28,441 Dollar Tree Stores, Inc. (a).. 3,189 154,028 Family Dollar Stores, Inc. ... 4,694 130,634 Kohl's Corp. (a).............. 10,647 574,193 Nordstrom, Inc. .............. 6,400 240,512 Sears Holdings Corp. (a)(b)... 2,144 178,917 Target Corp. ................. 25,316 1,224,535 ------------ 2,531,260 ------------ OIL, GAS & CONSUMABLE FUELS -- 6.0% Alpha Natural Resources, Inc. (a)......................... 5,885 255,291 Anadarko Petroleum Corp. ..... 18,063 1,127,493 Arch Coal, Inc. .............. 6,099 135,703 Cabot Oil & Gas Corp. ........ 3,639 158,624 Chesapeake Energy Corp. ...... 23,259 601,943 Cimarex Energy Co. ........... 3,060 162,088 CNX Gas Corp. (a)............. 1,032 30,465 Cobalt International Energy, Inc. (a).................... 2,200 30,448 Concho Resources, Inc. (a).... 2,596 116,560 CONSOL Energy, Inc. .......... 6,803 338,789 Continental Resources, Inc. (a)......................... 1,059 45,421 Denbury Resources, Inc. (a)... 9,198 136,130 EOG Resources, Inc. .......... 9,354 910,144 EXCO Resources, Inc. ......... 6,054 128,527 Hess Corp. ................... 10,986 664,653 Murphy Oil Corp. ............. 7,022 380,592 Noble Energy, Inc. ........... 6,444 458,942 Occidental Petroleum Corp. ... 29,970 2,438,060 Peabody Energy Corp. ......... 9,945 449,614 Petrohawk Energy Corp. (a).... 11,294 270,943 Plains Exploration & Production Co. (a).......... 5,115 141,481 Quicksilver Resources, Inc. (a)......................... 4,244 63,703 Range Resources Corp. ........ 5,866 292,420 Southwestern Energy Co. (a)... 12,742 614,164 Tesoro Corp. (b).............. 4,837 65,541 Ultra Petroleum Corp. (a)..... 5,584 278,418 Whiting Petroleum Corp. (a)... 1,787 127,681 XTO Energy, Inc. ............. 21,374 994,532 ------------ 11,418,370 ------------ PERSONAL PRODUCTS -- 0.4% Avon Products, Inc. .......... 15,918 501,417 The Estee Lauder Cos., Inc. (Class A)................... 4,013 194,069 ------------ 695,486 ------------ PHARMACEUTICALS -- 0.7% Allergan, Inc. ............... 11,461 722,158 Endo Pharmaceuticals Holdings, Inc. (a).................... 3,897 79,927 Mylan, Inc. (a)(b)............ 11,408 210,249 Perrigo Co. .................. 2,995 119,321 Watson Pharmaceuticals, Inc. (a)......................... 3,998 158,361 ------------ 1,290,016 ------------ PROFESSIONAL SERVICES -- 0.5% Equifax, Inc. ................ 4,475 138,233 FTI Consulting, Inc. (a)...... 1,799 84,841 IHS, Inc. (Class A) (a)....... 1,688 92,519 Manpower, Inc. ............... 2,958 161,448 Robert Half International, Inc. (b).................... 5,361 143,299 The Dun & Bradstreet Corp. ... 1,913 161,400 Verisk Analytics, Inc. (Class A) (a)...................... 3,218 97,441 Watson Wyatt Worldwide, Inc. (Class A)................... 1,501 71,327 ------------ 950,508 ------------ REAL ESTATE INVESTMENT TRUSTS -- 0.9% Digital Realty Trust, Inc. (b)......................... 2,481 124,745 Public Storage................ 4,755 387,295 Simon Property Group, Inc. (b)......................... 10,634 848,593 Ventas, Inc. ................. 5,644 246,868 ------------ 1,607,501 ------------ REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.1% CB Richard Ellis Group, Inc. (Class A) (a)............... 8,584 116,485 ------------ ROAD & RAIL -- 1.7% Burlington Northern Santa Fe Corp. ...................... 10,234 1,009,277 CSX Corp. .................... 14,524 704,269 Hertz Global Holdings, Inc. (a)(b)...................... 6,442 76,789 J.B. Hunt Transport Services, Inc. ....................... 3,463 111,751 Kansas City Southern (a)...... 3,608 120,110 Union Pacific Corp. .......... 18,616 1,189,562 ------------ 3,211,758 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.3% Advanced Micro Devices, Inc. (a)......................... 21,654 209,611 Altera Corp. ................. 10,625 240,444 Analog Devices, Inc. ......... 10,599 334,716 Applied Materials, Inc. ...... 49,885 695,397 Broadcom Corp. (Class A) (a).. 15,775 496,124 Cree, Inc. (a)................ 3,535 199,268 KLA-Tencor Corp. (b).......... 6,383 230,809 Lam Research Corp. (a)........ 4,823 189,110 Linear Technology Corp. (b)... 7,802 238,273
See accompanying notes to financial statements. SPDR DOW JONES LARGE CAP GROWTH ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- LSI Logic Corp. (a)........... 22,845 $ 137,298 Marvell Technology Group, Ltd. (a)......................... 17,856 370,512 Maxim Integrated Products, Inc. ....................... 11,213 227,624 MEMC Electronic Materials, Inc. (a).................... 8,004 109,015 Micron Technology, Inc. (a)(b)...................... 31,734 335,111 National Semiconductor Corp. (b)......................... 9,014 138,455 NVIDIA Corp. (a).............. 19,712 368,220 ON Semiconductor Corp. (a).... 15,596 137,401 Texas Instruments, Inc. ...... 47,219 1,230,527 Varian Semiconductor Equipment Associates, Inc. (a)(b)..... 2,572 92,283 Xilinx, Inc. (b).............. 10,290 257,867 ------------ 6,238,065 ------------ SOFTWARE -- 8.9% Activision Blizzard, Inc. (a)......................... 20,961 232,877 Adobe Systems, Inc. (a)....... 19,480 716,474 Ansys, Inc. (a)............... 3,181 138,246 Autodesk, Inc. (a)............ 8,515 216,366 BMC Software, Inc. (a)........ 6,837 274,164 CA, Inc. ..................... 15,670 351,948 Citrix Systems, Inc. (a)...... 6,736 280,285 Electronic Arts, Inc. (a)..... 11,998 212,964 Factset Research Systems, Inc. (b)......................... 1,537 101,242 Intuit, Inc. (a).............. 10,929 335,630 McAfee, Inc. (a).............. 5,654 229,383 Microsoft Corp. .............. 291,920 8,900,641 Nuance Communications, Inc. (a)(b)...................... 7,733 120,171 Oracle Corp. ................. 141,461 3,471,453 Red Hat, Inc. (a)............. 6,754 208,699 Rovi Corp. (a)................ 3,720 118,556 Salesforce.com, Inc. (a)(b)... 3,854 284,309 Sybase, Inc. (a).............. 3,169 137,535 Symantec Corp. (a)............ 30,725 549,670 Vmware, Inc. (Class A) (a)(b)...................... 1,376 58,315 ------------ 16,938,928 ------------ SPECIALTY RETAIL -- 2.8% Abercrombie & Fitch Co. (Class A).......................... 3,086 107,547 Advance Auto Parts, Inc. ..... 3,350 135,608 American Eagle Outfitters, Inc. ....................... 6,449 109,504 AutoZone, Inc. (a)............ 1,131 178,777 Bed Bath & Beyond, Inc. (a)... 9,836 379,965 Best Buy Co., Inc. ........... 12,612 497,670 CarMax, Inc. (a)(b)........... 7,555 183,209 GameStop Corp. (Class A) (a)(b)...................... 5,885 129,117 Guess ?, Inc. ................ 2,151 90,987 Lowe's Cos., Inc. ............ 54,213 1,268,042 O'Reilly Automotive, Inc. (a)......................... 5,136 195,784 PetSmart, Inc. ............... 4,509 120,345 Ross Stores, Inc. ............ 4,585 195,826 Staples, Inc. ................ 26,187 643,938 The Sherwin-Williams Co. (b).. 3,502 215,898 The TJX Cos., Inc. ........... 15,387 562,395 Tiffany & Co. ................ 4,593 197,499 Urban Outfitters, Inc. (a).... 4,736 165,713 ------------ 5,377,824 ------------ TEXTILES, APPAREL & LUXURY GOODS -- 0.7% Coach, Inc. .................. 11,873 433,721 NIKE, Inc. (Class B).......... 9,970 658,718 Polo Ralph Lauren Corp. ...... 2,176 176,212 ------------ 1,268,651 ------------ THRIFTS & MORTGAGE FINANCE -- 0.2% Hudson City Bancorp, Inc. .... 17,867 245,314 TFS Financial Corp. .......... 3,328 40,402 ------------ 285,716 ------------ TRADING COMPANIES & DISTRIBUTORS -- 0.3% Fastenal Co. (b).............. 5,230 217,777 MSC Industrial Direct Co., Inc. (Class A).............. 1,531 71,957 W.W. Grainger, Inc. .......... 2,340 226,582 ------------ 516,316 ------------ WIRELESS TELECOMMUNICATION SERVICES -- 0.7% American Tower Corp. (Class A) (a)......................... 14,698 635,101 Crown Castle International Corp. (a)................... 9,043 353,039 MetroPCS Communications, Inc. (a)(b)...................... 8,705 66,419 NII Holdings, Inc. (a)........ 6,167 207,088 SBA Communications Corp. (Class A) (a)(b)............ 4,128 141,012 ------------ 1,402,659 ------------ TOTAL COMMON STOCKS -- (Cost $198,210,608)......... 188,949,671 ------------ RIGHTS -- 0.0% (c) DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.0% (c) Clearwire Corp. (expiring 6/21/10) (a) (Cost $0)................... 2,502 1,001 ------------ SHORT TERM INVESTMENTS -- 3.7% MONEY MARKET FUNDS -- 3.7% State Street Institutional Liquid Reserves Fund (e).... 389,638 389,638 State Street Navigator Securities Lending Prime Portfolio (e)(f)............ 6,723,757 6,723,757 ------------ TOTAL SHORT TERM INVESTMENTS -- (Cost $7,113,395)........... 7,113,395 ------------ TOTAL INVESTMENTS -- 103.4% (g) (Cost $205,324,003)......... 196,064,067 OTHER ASSETS AND LIABILITIES -- (3.4)%....... (6,480,141) ------------ NET ASSETS -- 100.0%.......... $189,583,926 ============
(a) Non-income producing security. (b) Security, or portion thereof, was on loan at December 31, 2009. (c) Amount shown represents less than 0.05% of net assets. (d) Affiliated issuer. (Note 3) (e) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (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. (Note 2) See accompanying notes to financial statements. SPDR DOW JONES LARGE CAP VALUE ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.7% AEROSPACE & DEFENSE -- 3.9% Alliant Techsystems, Inc. (a)(b)...................... 686 $ 60,553 Boeing Co. ................... 12,636 683,987 General Dynamics Corp. ....... 6,242 425,517 Honeywell International, Inc. ....................... 13,324 522,301 L-3 Communications Holdings, Inc. ....................... 2,246 195,290 Lockheed Martin Corp. ........ 5,859 441,476 Northrop Grumman Corp. ....... 5,562 310,638 Raytheon Co. ................. 7,387 380,578 United Technologies Corp. .... 16,550 1,148,735 ------------ 4,169,075 ------------ AIR FREIGHT & LOGISTICS -- 0.7% United Parcel Service, Inc. (Class B)................... 13,447 771,454 ------------ AUTO COMPONENTS -- 0.3% Johnson Controls, Inc. ....... 12,941 352,513 ------------ AUTOMOBILES -- 0.7% Ford Motor Co. (a)............ 61,620 616,200 Harley-Davidson, Inc. (b)..... 4,582 115,466 ------------ 731,666 ------------ BEVERAGES -- 2.8% Brown-Forman Corp. (Class B).. 2,042 109,390 Coca-Cola Enterprises, Inc. .. 6,181 131,037 Constellation Brands, Inc. (Class A) (a)............... 3,794 60,438 Dr. Pepper Snapple Group, Inc. ....................... 4,551 128,793 Molson Coors Brewing Co. (Class B)................... 2,869 129,564 PepsiAmericas, Inc. .......... 1,168 34,176 The Coca-Cola Co. ............ 40,747 2,322,579 The Pepsi Bottling Group, Inc. ....................... 2,629 98,588 ------------ 3,014,565 ------------ BIOTECHNOLOGY -- 0.1% Dendreon Corp. (a)............ 2,139 56,213 Talecris Biotherapeutics Holdings Corp. (a).......... 1,000 22,270 ------------ 78,483 ------------ BUILDING PRODUCTS -- 0.1% Masco Corp. .................. 6,992 96,559 ------------ CAPITAL MARKETS -- 3.1% Ameriprise Financial, Inc. ... 5,036 195,498 Federated Investors, Inc. (Class B) (b)............... 1,889 51,947 Invesco, Ltd. ................ 7,783 182,823 Legg Mason, Inc. (b).......... 3,137 94,612 Morgan Stanley................ 23,673 700,721 The Bank of New York Mellon Corp. ...................... 22,924 641,184 The Goldman Sachs Group, Inc. ....................... 8,225 1,388,709 ------------ 3,255,494 ------------ CHEMICALS -- 1.9% Air Products & Chemicals, Inc. ....................... 3,770 305,596 CF Industries Holdings, Inc. ....................... 1,069 97,044 E. I. du Pont de Nemours & Co. ........................ 16,377 551,414 Eastman Chemical Co. (b)...... 1,328 79,999 International Flavors & Fragrances, Inc. ........... 1,639 67,428 PPG Industries, Inc. ......... 3,131 183,289 The Dow Chemical Co. ......... 22,093 610,429 The Scotts Miracle-Gro Co. (Class A)................... 877 34,475 The Valspar Corp. ............ 1,652 44,835 ------------ 1,974,509 ------------ COMMERCIAL BANKS -- 4.8% BB&T Corp. ................... 12,808 324,939 BOK Financial Corp. (b)....... 388 18,438 City National Corp. (b)....... 899 40,994 Comerica, Inc. ............... 2,950 87,232 Commerce Bancshares, Inc. .... 1,397 54,092 Cullen/Frost Bankers, Inc. (b)......................... 1,071 53,550 Fifth Third Bancorp........... 14,886 145,138 First Horizon National Corp. (a)......................... 4,046 54,212 Keycorp....................... 17,790 98,735 M&T Bank Corp. ............... 1,357 90,770 PNC Financial Services Group, Inc. ....................... 8,717 460,170 Regions Financial Corp. ...... 21,497 113,719 SunTrust Banks, Inc. (b)...... 9,781 198,456 U.S. Bancorp.................. 36,878 830,124 Wells Fargo & Co. ............ 93,845 2,532,877 ------------ 5,103,446 ------------ COMMERCIAL SERVICES & SUPPLIES -- 0.7% Avery Dennison Corp. ......... 2,105 76,811 Pitney Bowes, Inc. ........... 4,095 93,202 R.R. Donnelley & Sons Co. .... 4,162 92,688 Republic Services, Inc. ...... 6,116 173,144 Waste Management, Inc. (b).... 8,842 298,948 ------------ 734,793 ------------ COMPUTERS & PERIPHERALS -- 3.1% International Business Machines Corp. ............. 25,308 3,312,817 ------------ CONSUMER FINANCE -- 1.2% American Express Co. ......... 20,142 816,154 Capital One Financial Corp. .. 8,458 324,280 SLM Corp. (a)................. 9,038 101,858 ------------ 1,242,292 ------------ CONTAINERS & PACKAGING -- 0.3% Aptargroup, Inc. ............. 1,266 45,247 Bemis Co., Inc. .............. 1,984 58,825 Owens-Illinois, Inc. (a)...... 3,253 106,926 Sealed Air Corp. ............. 2,917 63,766 Sonoco Products Co. .......... 2,051 59,992 ------------ 334,756 ------------ DISTRIBUTORS -- 0.1% Genuine Parts Co. ............ 3,082 116,993 ------------ DIVERSIFIED CONSUMER SERVICES -- 0.1% H&R Block, Inc. .............. 6,627 149,903 ------------ DIVERSIFIED FINANCIAL SERVICES -- 6.6% Bank of America Corp. ........ 165,743 2,496,090 Citigroup, Inc. .............. 394,449 1,305,626 JPMorgan Chase & Co. ......... 75,466 3,144,668 NYSE Euronext................. 4,865 123,084 ------------ 7,069,468 ------------ DIVERSIFIED TELECOMMUNICATION SERVICES -- 5.2% AT&T, Inc. ................... 113,811 3,190,122 CenturyTel, Inc. ............. 5,740 207,845 Frontier Communications Corp. (b)......................... 5,995 46,821 Level 3 Communications, Inc. (a)......................... 28,858 44,153 Qwest Communications International, Inc. (b)..... 27,336 115,085 Verizon Communications, Inc. ....................... 54,763 1,814,298 Windstream Corp. (b).......... 8,071 88,700 ------------ 5,507,024 ------------
See accompanying notes to financial statements. SPDR DOW JONES LARGE CAP VALUE ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- ELECTRIC UTILITIES -- 3.6% American Electric Power Co., Inc. ....................... 8,925 $ 310,501 DPL, Inc. .................... 2,433 67,151 Duke Energy Corp. ............ 24,209 416,637 Edison International.......... 5,627 195,707 Entergy Corp. ................ 3,644 298,225 Exelon Corp. ................. 12,751 623,141 FirstEnergy Corp. ............ 5,751 267,134 FPL Group, Inc. .............. 7,319 386,590 Northeast Utilities........... 3,414 88,047 NV Energy, Inc. .............. 4,581 56,713 Pepco Holdings, Inc. ......... 4,238 71,410 Pinnacle West Capital Corp. .. 1,932 70,673 PPL Corp. .................... 6,940 224,231 Progress Energy, Inc. ........ 5,451 223,545 The Southern Co. ............. 15,185 505,964 Westar Energy, Inc. .......... 2,144 46,568 ------------ 3,852,237 ------------ ELECTRICAL EQUIPMENT -- 0.2% Hubbell, Inc. (Class B)....... 989 46,780 Rockwell Automation, Inc. (b)......................... 2,687 126,235 ------------ 173,015 ------------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.1% Ingram Micro, Inc. (Class A) (a)......................... 3,137 54,741 Molex, Inc. (b)............... 2,331 50,233 ------------ 104,974 ------------ ENERGY EQUIPMENT & SERVICES -- 0.0% (C) Tidewater, Inc. .............. 975 46,751 ------------ FOOD & STAPLES RETAILING -- 0.7% Safeway, Inc. ................ 7,769 165,402 SUPERVALU, Inc. .............. 4,489 57,055 Sysco Corp. .................. 11,092 309,911 The Kroger Co. ............... 11,397 233,980 ------------ 766,348 ------------ FOOD PRODUCTS -- 2.9% Archer-Daniels-Midland Co. ... 11,393 356,715 Bunge, Ltd. .................. 2,366 151,022 Campbell Soup Co. ............ 4,147 140,169 ConAgra Foods, Inc. .......... 8,465 195,118 General Mills, Inc. .......... 5,836 413,247 H.J. Heinz Co. ............... 5,856 250,402 Hormel Foods Corp. ........... 1,390 53,445 Kellogg Co. .................. 4,513 240,092 Kraft Foods, Inc. (Class A) (a)......................... 25,782 700,755 McCormick & Co., Inc. (b)..... 2,313 83,569 Sara Lee Corp. ............... 12,956 157,804 Smithfield Foods, Inc. (a).... 2,803 42,578 The Hershey Co. (b)........... 3,133 112,130 The J.M. Smucker Co. ......... 2,338 144,371 Tyson Foods, Inc. (Class A)... 5,693 69,853 ------------ 3,111,270 ------------ GAS UTILITIES -- 0.3% AGL Resources, Inc. .......... 1,459 53,210 Atmos Energy Corp. ........... 1,753 51,538 Energen Corp. ................ 1,363 63,788 National Fuel Gas Co. ........ 1,342 67,100 Piedmont Natural Gas Co., Inc. (b)......................... 1,363 36,460 UGI Corp. .................... 2,146 51,912 ------------ 324,008 ------------ HEALTH CARE EQUIPMENT & SUPPLIES -- 0.0% (c) Teleflex, Inc. ............... 778 41,926 ------------ HEALTH CARE PROVIDERS & SERVICES -- 0.6% Cardinal Health, Inc. ........ 7,016 226,196 CIGNA Corp. .................. 5,286 186,437 Humana, Inc. (a).............. 3,211 140,931 Omnicare, Inc. ............... 2,139 51,721 Universal Health Services, Inc. (Class B).............. 1,902 58,011 ------------ 663,296 ------------ HOTELS, RESTAURANTS & LEISURE -- 1.6% Hyatt Hotels Corp. (Class A) (a)......................... 900 26,829 Marriott International, Inc. (Class A)................... 5,855 159,549 McDonald's Corp. ............. 20,628 1,288,012 Royal Caribbean Cruises, Ltd. (a)(b)...................... 2,613 66,057 Starwood Hotels & Resorts Worldwide, Inc. (b)......... 3,304 120,827 ------------ 1,661,274 ------------ HOUSEHOLD DURABLES -- 0.6% D.R. Horton, Inc. (b)......... 5,344 58,089 Fortune Brands, Inc. ......... 2,918 126,057 Leggett & Platt, Inc. ........ 2,957 60,323 Mohawk Industries, Inc. (a)... 1,173 55,835 Newell Rubbermaid, Inc. (b)... 5,368 80,574 The Black & Decker Corp. ..... 1,131 73,323 Toll Brothers, Inc. (a)(b).... 2,531 47,608 Whirlpool Corp. (b)........... 1,448 116,796 ------------ 618,605 ------------ HOUSEHOLD PRODUCTS -- 3.8% Kimberly-Clark Corp. ......... 7,998 509,553 Procter & Gamble Co. ......... 56,161 3,405,041 The Clorox Co. ............... 2,727 166,347 ------------ 4,080,941 ------------ INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.2% Dynegy, Inc. (Class A) (a).... 8,440 15,276 Mirant Corp. (a).............. 2,624 40,069 NRG Energy, Inc. (a).......... 4,962 117,153 ------------ 172,498 ------------ INDUSTRIAL CONGLOMERATES -- 3.9% 3M Co. ....................... 12,253 1,012,955 General Electric Co. ......... 202,282 3,060,527 Textron, Inc. (b)............. 4,896 92,094 ------------ 4,165,576 ------------ INSURANCE -- 5.1% AFLAC, Inc. .................. 8,962 414,493 Alleghany Corp. (a)........... 138 38,088 Allied World Assurance Company Holdings, Ltd. ............. 682 31,420 American Financial Group, Inc. ....................... 1,460 36,427 American International Group, Inc. (a)(b)................. 2,310 69,254 AON Corp. .................... 4,518 173,220 Arch Capital Group, Ltd. (a).. 1,092 78,133 Assurant, Inc. ............... 2,272 66,979 Axis Capital Holdings, Ltd. .. 2,725 77,417
See accompanying notes to financial statements. SPDR DOW JONES LARGE CAP VALUE ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Chubb Corp. .................. 6,588 $ 323,998 Cincinnati Financial Corp. ... 2,956 77,565 CNA Financial Corp. (a)(b).... 600 14,400 Everest Re Group, Ltd. ....... 1,109 95,019 Fidelity National Financial, Inc. (Class A).............. 4,561 61,391 First American Corp. ......... 2,358 78,073 Genworth Financial, Inc. (Class A) (a)............... 9,099 103,274 Hartford Financial Services Group, Inc. ................ 7,474 173,845 HCC Insurance Holdings, Inc. ....................... 2,247 62,849 Lincoln National Corp. ....... 5,844 145,399 Loews Corp. .................. 6,646 241,582 Markel Corp. (a)(b)........... 177 60,180 Marsh & McLennan Cos., Inc. .. 10,095 222,898 MetLife, Inc. ................ 10,901 385,350 Old Republic International Corp. (b)................... 4,373 43,905 PartnerRe, Ltd. .............. 1,134 84,664 Principal Financial Group, Inc. ....................... 5,712 137,316 Prudential Financial, Inc. ... 8,740 434,902 Reinsurance Group of America, Inc. ....................... 1,461 69,617 RenaissanceRe Holdings, Ltd. ....................... 1,156 61,441 The Allstate Corp. ........... 10,095 303,254 The Hanover Insurance Group, Inc. ....................... 975 43,319 The Progressive Corp. (a)..... 11,869 213,523 The Travelers Cos., Inc. ..... 10,490 523,031 Torchmark Corp. .............. 1,638 71,990 Transatlantic Holdings, Inc. ....................... 1,147 59,770 Unum Group.................... 6,466 126,216 W.R. Berkley Corp. ........... 2,626 64,705 Wesco Financial Corp. ........ 48 16,464 White Mountains Insurance Group, Ltd. ................ 145 48,236 XL Capital, Ltd. (Class A).... 6,321 115,864 ------------ 5,449,471 ------------ INTERNET & CATALOG RETAIL -- 0.1% Liberty Media Corp -- Interactive (Class A) (a)...................... 10,990 119,132 ------------ INTERNET SOFTWARE & SERVICES -- 0.1% AOL, Inc. (a)................. 2,088 48,609 ------------ IT SERVICES -- 0.2% Computer Sciences Corp. (a)... 2,951 169,771 ------------ LEISURE EQUIPMENT & PRODUCTS -- 0.2% Hasbro, Inc. ................. 2,412 77,329 Mattel, Inc. ................. 7,036 140,579 ------------ 217,908 ------------ MACHINERY -- 0.4% Eaton Corp. .................. 3,230 205,493 Pentair, Inc. ................ 1,913 61,790 SPX Corp. .................... 1,028 56,232 The Stanley Works............. 1,601 82,467 ------------ 405,982 ------------ MEDIA -- 2.9% CBS Corp. .................... 11,846 166,436 Interactive Data Corp. ....... 580 14,674 News Corp. (Class A).......... 44,408 607,946 The McGraw-Hill Cos., Inc. ... 5,835 195,531 The Walt Disney Co. .......... 33,993 1,096,274 Time Warner, Inc. ............ 22,478 655,009 Viacom, Inc. (a).............. 10,125 301,016 Virgin Media, Inc. (b)........ 5,650 95,090 ------------ 3,131,976 ------------ METALS & MINING -- 0.1% Allegheny Technologies, Inc. (b)......................... 1,653 74,005 ------------ MULTI-UTILITIES -- 2.7% Alliant Energy Corp. ......... 2,111 63,879 Ameren Corp. ................. 4,121 115,182 CenterPoint Energy, Inc. ..... 7,024 101,918 CMS Energy Corp. (b).......... 4,356 68,215 Consolidated Edison, Inc. .... 5,180 235,327 Dominion Resources, Inc. ..... 11,532 448,825 DTE Energy Co. ............... 3,225 140,578 Integrys Energy Group, Inc. (b)......................... 1,482 62,229 MDU Resources Group, Inc. .... 3,111 73,420 NiSource, Inc. ............... 5,346 82,221 NSTAR......................... 2,081 76,581 OGE Energy Corp. ............. 1,849 68,210 PG&E Corp. ................... 7,176 320,408 Public Service Enterprise Group, Inc. ................ 9,538 317,139 SCANA Corp. .................. 2,146 80,861 Sempra Energy................. 4,203 235,284 TECO Energy, Inc. ............ 3,848 62,415 Vectren Corp. ................ 1,558 38,451 Wisconsin Energy Corp. ....... 2,320 115,606 Xcel Energy, Inc. ............ 8,795 186,630 ------------ 2,893,379 ------------ MULTILINE RETAIL -- 0.2% J. C. Penney Co., Inc. ....... 3,892 103,566 Macy's, Inc. ................. 8,198 137,399 ------------ 240,965 ------------ OFFICE ELECTRONICS -- 0.1% Xerox Corp. (b)............... 16,245 137,433 ------------ OIL, GAS & CONSUMABLE FUELS -- 12.4% Apache Corp. ................. 6,381 658,328 Chevron Corp. ................ 38,378 2,954,722 ConocoPhillips................ 25,004 1,276,954 Devon Energy Corp. ........... 7,942 583,737 El Paso Corp. ................ 13,824 135,890 Exxon Mobil Corp. ............ 90,932 6,200,653 Forest Oil Corp. (a)(b)....... 2,016 44,856 Marathon Oil Corp. ........... 13,730 428,651 Newfield Exploration Co. (a).. 2,534 122,215 Pioneer Natural Resources Co. ........................ 2,154 103,758 Spectra Energy Corp. ......... 12,005 246,222 Sunoco, Inc. ................. 2,138 55,802 The Williams Cos., Inc. ...... 10,799 227,643 Valero Energy Corp. .......... 10,507 175,992 ------------ 13,215,423 ------------ PAPER & FOREST PRODUCTS -- 0.4% International Paper Co. ...... 7,684 205,777 MeadWestvaco Corp. ........... 2,778 79,534 Weyerhaeuser Co. ............. 4,142 178,686 ------------ 463,997 ------------ PERSONAL PRODUCTS -- 0.2% Alberto-Culver Co. ........... 1,655 48,475 Mead Johnson Nutrition Co..... 3,881 169,600 ------------ 218,075 ------------
See accompanying notes to financial statements. SPDR DOW JONES LARGE CAP VALUE ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- PHARMACEUTICALS -- 11.0% Abbott Laboratories........... 29,526 $ 1,594,109 Bristol-Myers Squibb Co. ..... 32,504 820,726 Eli Lilly & Co. .............. 18,921 675,669 Forest Laboratories, Inc. (a)......................... 5,945 190,894 Johnson & Johnson............. 53,017 3,414,825 King Pharmaceuticals, Inc. (a)......................... 4,775 58,589 Merck & Co., Inc. ............ 58,412 2,134,374 Pfizer, Inc. ................. 154,238 2,805,589 ------------ 11,694,775 ------------ REAL ESTATE INVESTMENT TRUSTS -- 2.0% AMB Property Corp. ........... 2,733 69,828 Annaly Capital Management, Inc. ....................... 10,591 183,754 Avalonbay Communities, Inc. (b)......................... 1,592 130,719 Boston Properties, Inc. ...... 2,696 180,821 Equity Residential............ 5,294 178,831 Federal Realty Investment Trust (b)................... 1,126 76,253 HCP, Inc. .................... 5,588 170,658 Health Care REIT, Inc. ....... 2,243 99,410 Host Hotels & Resorts, Inc. (a)......................... 11,849 138,278 Kimco Realty Corp. ........... 7,257 98,187 Liberty Property Trust........ 2,073 66,357 Nationwide Health Properties, Inc. ....................... 1,947 68,495 Plum Creek Timber Co., Inc. (b)......................... 3,117 117,698 ProLogis (b).................. 9,096 124,524 Rayonier, Inc. ............... 1,638 69,058 Realty Income Corp. (b)....... 2,045 52,986 Regency Centers Corp. (b)..... 1,553 54,448 Vornado Realty Trust.......... 3,484 243,671 ------------ 2,123,976 ------------ REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.1% Brookfield Properties Corp. (b)......................... 5,012 60,746 The St. Joe Co. (a)(b)........ 1,753 50,644 ------------ 111,390 ------------ ROAD & RAIL -- 0.4% Norfolk Southern Corp. ....... 6,911 362,275 Ryder Systems, Inc. .......... 1,048 43,146 ------------ 405,421 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.1% Intel Corp. .................. 106,525 2,173,110 Microchip Technology, Inc. (b)......................... 3,405 98,949 ------------ 2,272,059 ------------ SOFTWARE -- 0.1% Synopsys, Inc. (a)............ 2,803 62,451 ------------ SPECIALTY RETAIL -- 1.2% AutoNation, Inc. (a)(b)....... 1,261 24,148 Limited Brands, Inc. ......... 5,349 102,915 The Gap, Inc. ................ 9,536 199,779 The Home Depot, Inc. ......... 32,613 943,494 ------------ 1,270,336 ------------ TEXTILES, APPAREL & LUXURY GOODS -- 0.1% V. F. Corp. .................. 1,665 121,945 ------------ THRIFTS & MORTGAGE FINANCE -- 0.2% Capitol Federal Financial (b)......................... 389 12,238 New York Community Bancorp, Inc. ....................... 8,142 118,141 People's United Financial, Inc. ....................... 6,649 111,038 ------------ 241,417 ------------ TOBACCO -- 2.8% Altria Group, Inc. ........... 39,485 775,090 Lorillard, Inc. .............. 3,142 252,083 Philip Morris International, Inc. ....................... 36,477 1,757,827 Reynolds American, Inc. ...... 3,286 174,059 ------------ 2,959,059 ------------ WATER UTILITIES -- 0.1% American Water Works Co., Inc. ....................... 1,909 42,780 Aqua America, Inc. (b)........ 2,629 46,034 ------------ 88,814 ------------ WIRELESS TELECOMMUNICATION SERVICES -- 0.3% Sprint Nextel Corp. (a)....... 53,290 195,041 Telephone & Data Systems, Inc. ....................... 1,750 59,360 US Cellular Corp. (a)......... 293 12,426 ------------ 266,827 ------------ TOTAL COMMON STOCKS -- (Cost $117,128,466)......... 106,203,125 ------------ SHORT TERM INVESTMENTS -- 1.9% MONEY MARKET FUNDS -- 1.9% State Street Institutional Liquid Reserves Fund (d).... 140,646 140,646 State Street Navigator Securities Lending Prime Portfolio (d)(e)............ 1,841,327 1,841,327 ------------ TOTAL SHORT TERM INVESTMENTS -- (Cost $1,981,973)........... 1,981,973 ------------ TOTAL INVESTMENTS -- 101.6% (f) (Cost $119,110,439)......... 108,185,098 OTHER ASSETS AND LIABILITIES -- (1.6)%....... (1,694,957) ------------ NET ASSETS -- 100.0%.......... $106,490,141 ============
(a) Non-income producing security. (b) Security, or portion thereof, was on loan as of December 31, 2009. (c) Amount shown represents less than 0.05% of net assets. (d) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (e) Investments of cash collateral for securities loaned. (f) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (Note 2) See accompanying notes to financial statements. SPDR DOW JONES MID CAP ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.8% AEROSPACE & DEFENSE -- 0.7% Alliant Techsystems, Inc. (a)(b)...................... 1,231 $ 108,660 Curtiss-Wright Corp. ......... 1,692 52,994 Spirit Aerosystems Holdings, Inc. (a)(b)................. 3,819 75,845 TransDigm Group, Inc. (b)..... 1,395 66,249 ------------ 303,748 ------------ AIR FREIGHT & LOGISTICS -- 0.1% UTI Worldwide, Inc. .......... 3,685 52,769 ------------ AIRLINES -- 0.5% AMR Corp. (a)(b).............. 12,441 96,169 Continental Airlines, Inc. (Class B) (a)(b)............ 5,162 92,503 JetBlue Airways Corp. (a)(b).. 9,168 49,966 ------------ 238,638 ------------ AUTO COMPONENTS -- 1.0% BorgWarner, Inc. (b).......... 4,331 143,876 Gentex Corp. (b).............. 5,152 91,963 Lear Corp. (a)................ 1,277 86,376 The Goodyear Tire & Rubber Co. (a)(b)...................... 8,964 126,393 ------------ 448,608 ------------ BEVERAGES -- 0.6% Constellation Brands, Inc. (Class A) (a)............... 7,356 117,181 Hansen Natural Corp. (a)(b)... 2,673 102,643 PepsiAmericas, Inc. .......... 2,318 67,825 ------------ 287,649 ------------ BIOTECHNOLOGY -- 2.2% Alexion Pharmaceuticals, Inc. (a)(b)...................... 3,306 161,399 Amylin Pharmaceuticals, Inc. (a)(b)...................... 4,789 67,956 BioMarin Pharmaceutical, Inc. (a)(b)...................... 3,757 70,669 Dendreon Corp. (a)............ 4,914 129,140 Human Genome Sciences, Inc. (a)(b)...................... 6,755 206,703 Isis Pharmaceuticals, Inc. (a)(b)...................... 3,449 38,284 Onyx Pharmaceuticals, Inc. (a)(b)...................... 2,137 62,699 OSI Pharmaceuticals, Inc. (a)(b)...................... 2,169 67,304 Regeneron Pharmaceuticals, Inc. (a)(b)................. 2,327 56,267 Talecris Biotherapeutics Holdings Corp. (a).......... 1,843 41,044 United Therapeutics Corp. (a)(b)...................... 1,744 91,822 ------------ 993,287 ------------ BUILDING PRODUCTS -- 0.4% Lennox International, Inc. (b)......................... 1,955 76,323 Owens Corning, Inc. (a)(b).... 3,728 95,586 ------------ 171,909 ------------ CAPITAL MARKETS -- 2.3% Affiliated Managers Group, Inc. (a)(b)................. 1,557 104,864 Eaton Vance Corp. ............ 4,364 132,709 Federated Investors, Inc. (Class B) (b)............... 3,834 105,435 Greenhill & Co., Inc. ........ 973 78,073 Jefferies Group, Inc. (a)(b).. 4,159 98,693 Knight Capital Group, Inc. (Class A) (a)(b)............ 3,514 54,116 Legg Mason, Inc. (b).......... 6,019 181,533 Raymond James Financial, Inc. (b)......................... 3,696 87,854 SEI Investments Co. .......... 5,823 102,019 Waddell & Reed Financial, Inc. (Class A)................... 3,241 98,980 ------------ 1,044,276 ------------ CHEMICALS -- 3.0% Albemarle Corp. (b)........... 3,408 123,949 Celanese Corp. (Series A)..... 5,390 173,019 Eastman Chemical Co. (b)...... 2,549 153,552 International Flavors & Fragrances, Inc. ........... 2,928 120,458 Intrepid Potash, Inc. (a)(b).. 1,576 45,972 Lubrizol Corp. ............... 2,517 183,615 Nalco Holding Co. (b)......... 5,128 130,815 RPM International, Inc. (b)... 4,811 97,808 Sensient Technologies Corp. (b)......................... 1,811 47,629 Terra Industries, Inc. (b).... 3,716 119,618 The Scotts Miracle-Gro Co. (Class A)................... 1,639 64,429 The Valspar Corp. (b)......... 3,474 94,284 ------------ 1,355,148 ------------ COMMERCIAL BANKS -- 3.2% Associated Ban-Corp. (b)...... 4,416 48,620 BancorpSouth, Inc. (b)........ 2,943 69,043 Bank of Hawaii Corp. (b)...... 1,785 84,002 BOK Financial Corp. (b)....... 830 39,442 City National Corp. (b)....... 1,576 71,866 Comerica, Inc. (b)............ 5,651 167,100 Commerce Bancshares, Inc. (b)......................... 2,519 97,536 Cullen/Frost Bankers, Inc. (b)......................... 2,090 104,500 First Citizens BancShares, Inc. (Class A).............. 215 35,262 First Horizon National Corp. (a)(b)...................... 8,234 110,336 FirstMerit Corp. (b).......... 3,200 64,448 Fulton Financial Corp. (b).... 6,497 56,654 Marshall & Ilsley Corp. (b)... 18,872 102,852 Prosperity Bancshares, Inc. (b)......................... 1,738 70,337 Synovus Financial Corp. (b)... 15,624 32,029 TCF Financial Corp. (b)....... 4,471 60,895 UMB Financial Corp. (b)....... 1,233 48,518 Valley National Bancorp (b)... 5,302 74,917 Westamerica Bancorporation (b)......................... 1,075 59,523 Zions Bancorporation (b)...... 5,172 66,357 ------------ 1,464,237 ------------ COMMERCIAL SERVICES & SUPPLIES -- 1.9% Avery Dennison Corp. (b)...... 4,219 153,951 Clean Harbors, Inc. (a)(b).... 850 50,669 Copart, Inc. (a).............. 2,784 101,978 Corrections Corp. of America (a)(b)...................... 4,335 106,424 Covanta Holding Corp. (a)..... 4,843 87,610 KAR Auction Services, Inc. (a)......................... 861 11,873 R.R. Donnelley & Sons Co. .... 7,672 170,855 Rollins, Inc. (b)............. 1,902 36,671 Tetra Tech, Inc. (a).......... 2,274 61,785 Waste Connections, Inc. (a)(b)...................... 2,965 98,853 ------------ 880,669 ------------ COMMUNICATIONS EQUIPMENT -- 1.0% Brocade Communications Systems, Inc. (a)(b)........ 15,673 119,585 EchoStar Corp. (Class A) (a).. 1,498 30,170 F5 Networks, Inc. (a)(b)...... 2,953 156,450
See accompanying notes to financial statements. SPDR DOW JONES MID CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Polycom, Inc. (a)(b).......... 3,115 $ 77,781 Tellabs, Inc. (a)(b).......... 13,537 76,890 ------------ 460,876 ------------ COMPUTERS & PERIPHERALS -- 1.6% Diebold, Inc. (b)............. 2,456 69,873 Lexmark International, Inc. (Class A) (a)............... 2,934 76,225 NCR Corp. (a)................. 5,905 65,723 QLogic Corp. (a).............. 4,289 80,933 SanDisk Corp. (a)(b).......... 8,519 246,966 Teradata Corp. (a)............ 6,444 202,535 ------------ 742,255 ------------ CONSTRUCTION & ENGINEERING -- 1.2% Aecom Technology Corp. (a)(b)...................... 3,603 99,083 EMCOR Group, Inc. (a)(b)...... 2,445 65,771 Granite Construction, Inc. (b)......................... 1,267 42,647 KBR, Inc. .................... 6,031 114,589 The Shaw Group, Inc. (a)(b)... 3,123 89,786 URS Corp. (a)(b).............. 3,116 138,724 ------------ 550,600 ------------ CONTAINERS & PACKAGING -- 1.8% Aptargroup, Inc. ............. 2,340 83,632 Bemis Co., Inc. .............. 4,025 119,341 Greif, Inc. (Class A) (b)..... 1,277 68,932 Packaging Corp. of America (b)......................... 3,832 88,174 Pactiv Corp. (a)(b)........... 4,926 118,914 Rock-Tenn Co. (Class A) (b)... 1,423 71,733 Sealed Air Corp. ............. 5,893 128,821 Silgan Holdings, Inc. ........ 942 54,523 Sonoco Products Co. .......... 3,706 108,401 ------------ 842,471 ------------ DISTRIBUTORS -- 0.2% LKQ Corp. (a)................. 5,225 102,358 ------------ DIVERSIFIED CONSUMER SERVICES -- 0.9% Brink's Home Security Holdings, Inc. (a)(b)....... 1,694 55,292 Career Education Corp. (a)(b)...................... 2,288 53,333 Corinthian Colleges, Inc. (a)(b)...................... 2,937 40,443 Education Management Corp. (a)(b)...................... 737 16,221 Service Corp. International (b)......................... 9,391 76,912 Strayer Education, Inc. (b)... 524 111,345 Weight Watchers International, Inc. (b).................... 1,310 38,200 ------------ 391,746 ------------ DIVERSIFIED FINANCIAL SERVICES -- 0.3% MSCI, Inc. (Class A) (a)...... 3,872 123,130 ------------ DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.7% Clearwire Corp. (Class A) (a)(b)...................... 2,709 18,313 Frontier Communications Corp. (b)......................... 11,642 90,924 Level 3 Communications, Inc. (a)(b)...................... 60,697 92,866 tw telecom, inc. (a)(b)....... 5,548 95,093 ------------ 297,196 ------------ ELECTRIC UTILITIES -- 2.3% Cleco Corp. (b)............... 2,260 61,766 DPL, Inc. (b)................. 4,482 123,703 Great Plains Energy, Inc. (b)......................... 5,054 97,997 Hawaiian Electric Industries, Inc. (b).................... 3,407 71,206 IDACORP, Inc. (b)............. 1,769 56,520 ITC Holdings Corp. ........... 1,900 98,971 NV Energy, Inc. .............. 8,711 107,842 Pepco Holdings, Inc. (b)...... 8,273 139,400 Pinnacle West Capital Corp. .. 3,785 138,455 Portland General Electric Co. (b)......................... 2,839 57,944 Westar Energy, Inc. (b)....... 4,080 88,618 ------------ 1,042,422 ------------ ELECTRICAL EQUIPMENT -- 1.3% A123 Systems, Inc. (a)........ 1,038 23,293 Acuity Brands, Inc. .......... 1,606 57,238 AMETEK, Inc. (b).............. 3,986 152,425 Brady Corp. (Class A)......... 1,768 53,058 Hubbell, Inc. (Class B) (b)... 2,068 97,816 SunPower Corp. (Class A) (a)(b)...................... 3,606 85,390 Thomas & Betts Corp. (a)...... 1,995 71,401 Woodward Governor Co. (b)..... 2,163 55,740 ------------ 596,361 ------------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.9% Anixter International, Inc. (a)......................... 1,133 53,364 Arrow Electronics, Inc. (a)... 4,459 132,031 Avnet, Inc. (a)(b)............ 5,660 170,706 AVX Corp. .................... 1,901 24,086 FLIR Systems, Inc. (a)(b)..... 5,646 184,737 Ingram Micro, Inc. (Class A) (a)......................... 6,034 105,293 Itron, Inc. (a)(b)............ 1,506 101,760 Jabil Circuit, Inc. (b)....... 7,387 128,312 Mettler-Toledo International, Inc. (a).................... 1,250 131,238 Molex, Inc. (b)............... 4,939 106,435 National Instruments Corp. (b)......................... 2,313 68,118 Trimble Navigation, Ltd. (a)(b)...................... 4,479 112,871 ------------ 1,318,951 ------------ ENERGY EQUIPMENT & SERVICES -- 1.8% Dresser-Rand Group, Inc. (a)(b)...................... 3,063 96,821 Helmerich & Payne, Inc. (b)... 3,620 144,366 Oceaneering International, Inc. (a)(b)................. 1,900 111,188 Patterson-UTI Energy, Inc. (b)......................... 5,779 88,708 Rowan Cos., Inc. (a).......... 3,883 87,911 SEACOR Holdings, Inc. (a)(b).. 702 53,528 Superior Energy Services, Inc. (a)......................... 2,901 70,465 Tidewater, Inc. (b)........... 1,917 91,920 Unit Corp. (a)(b)............. 1,765 75,012 ------------ 819,919 ------------ FOOD & STAPLES RETAILING -- 0.6% BJ's Wholesale Club, Inc. (a)(b)...................... 2,028 66,336 SUPERVALU, Inc. (b)........... 7,901 100,422 Whole Foods Market, Inc. (a)(b)...................... 4,160 114,192 ------------ 280,950 ------------ FOOD PRODUCTS -- 1.7% Corn Products International, Inc. ....................... 2,790 81,552 Dean Foods Co. (a)(b)......... 6,724 121,301 Del Monte Foods Co. .......... 7,405 83,973 Flowers Foods, Inc. (b)....... 3,205 76,151 Fresh Del Monte Produce, Inc. (a)......................... 1,543 34,100 Green Mountain Coffee Roasters, Inc. (a)(b)....... 1,454 118,457 Lancaster Colony Corp. (b).... 751 37,325 Ralcorp Holdings, Inc. (a).... 2,103 125,570
See accompanying notes to financial statements. SPDR DOW JONES MID CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Smithfield Foods, Inc. (a)(b)...................... 5,780 $ 87,798 Tootsie Roll Industries, Inc. (b)......................... 851 23,300 ------------ 789,527 ------------ GAS UTILITIES -- 1.8% AGL Resources, Inc. (b)....... 2,878 104,961 Atmos Energy Corp. (b)........ 3,450 101,430 Energen Corp. ................ 2,697 126,220 National Fuel Gas Co. (b)..... 2,512 125,600 New Jersey Resources Corp. (b)......................... 1,561 58,381 Nicor, Inc. (b)............... 1,694 71,317 Piedmont Natural Gas Co., Inc. (b)......................... 2,601 69,577 UGI Corp. .................... 4,012 97,050 WGL Holdings, Inc. (b)........ 1,857 62,284 ------------ 816,820 ------------ HEALTH CARE EQUIPMENT & SUPPLIES -- 2.2% Gen-Probe, Inc. (a)(b)........ 1,873 80,352 Haemonetics Corp. (a)(b)...... 961 52,999 IDEXX Laboratories, Inc. (a)(b)...................... 2,216 118,423 Immucor, Inc. (a)(b).......... 2,585 52,320 Inverness Medical Innovations, Inc. (a)(b)................. 3,114 129,262 Kinetic Concepts, Inc. (a)(b)...................... 2,320 87,348 Masimo Corp. (a)(b)........... 1,962 59,684 NuVasive, Inc. (a)(b)......... 1,410 45,092 ResMed, Inc. (a)(b)........... 2,846 148,760 STERIS Corp. (b).............. 1,999 55,912 Teleflex, Inc. (b)............ 1,484 79,973 Thoratec Corp. (a)(b)......... 2,076 55,886 West Pharmaceutical Services, Inc. (b).................... 1,213 47,550 ------------ 1,013,561 ------------ HEALTH CARE PROVIDERS & SERVICES -- 2.7% AMERIGROUP Corp. (a)(b)....... 1,962 52,896 athenahealth, Inc. (a)(b)..... 1,167 52,795 Community Health Systems, Inc. (a)(b)...................... 3,476 123,746 Coventry Health Care, Inc. (a)(b)...................... 5,529 134,299 Emdeon, Inc. (Class A) (a)(b)...................... 876 13,359 Health Net, Inc. (a)(b)....... 3,881 90,388 LifePoint Hospitals, Inc. (a)(b)...................... 2,050 66,645 Lincare Holdings, Inc. (a)(b)...................... 2,525 93,728 MEDNAX, Inc. (a).............. 1,717 103,209 Omnicare, Inc. (b)............ 4,405 106,513 Owens & Minor, Inc. (b)....... 1,560 66,971 Patterson Cos., Inc. (a)(b)... 3,740 104,645 Psychiatric Solutions, Inc. (a)(b)...................... 1,974 41,730 Universal Health Services, Inc. (Class B) (b).......... 3,428 104,554 VCA Antech, Inc. (a)(b)....... 3,167 78,922 ------------ 1,234,400 ------------ HEALTH CARE TECHNOLOGY -- 0.4% Allscripts-Misys Healthcare Solutions, Inc. (a)(b)...... 2,205 44,607 IMS Health, Inc. ............. 6,819 143,608 ------------ 188,215 ------------ HOTELS, RESTAURANTS & LEISURE -- 2.1% Bally Technologies, Inc. (a)(b)...................... 2,036 84,066 Brinker International, Inc. (b)......................... 3,787 56,502 Burger King Holdings, Inc. (b)......................... 3,406 64,101 Chipotle Mexican Grill, Inc. (a)......................... 1,179 103,941 Choice Hotels International, Inc. (b).................... 1,098 34,763 International Speedway Corp. (Class A) (b)............... 1,032 29,360 MGM MIRAGE, Inc. (a)(b)....... 9,305 84,862 Panera Bread Co. (Class A) (a)......................... 1,158 77,551 Penn National Gaming, Inc. (a)(b)...................... 2,513 68,303 Royal Caribbean Cruises, Ltd. (a)(b)...................... 5,009 126,627 Scientific Games Corp. (Class A) (a)...................... 2,563 37,292 Wendy's/Arby's Group, Inc. (Class A) (b)............... 13,864 65,022 Wyndham Worldwide Corp. (b)... 6,657 134,272 ------------ 966,662 ------------ HOUSEHOLD DURABLES -- 2.9% Leggett & Platt, Inc. (b)..... 5,692 116,117 Lennar Corp. (Class A) (b).... 5,931 75,739 M.D.C. Holdings, Inc. ........ 1,328 41,221 Mohawk Industries, Inc. (a)(b)...................... 2,058 97,961 Newell Rubbermaid, Inc. (b)... 10,412 156,284 NVR, Inc. (a)(b).............. 222 157,778 Pulte Homes, Inc. (a)(b)...... 12,473 124,730 The Black & Decker Corp. (b).. 2,238 145,089 Toll Brothers, Inc. (a)(b).... 4,898 92,131 Tupperware Brands Corp. ...... 2,343 109,113 Whirlpool Corp. (b)........... 2,751 221,896 ------------ 1,338,059 ------------ HOUSEHOLD PRODUCTS -- 0.3% Energizer Holdings, Inc. (a)(b)...................... 2,609 159,880 ------------ INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.5% Dynegy, Inc. (Class A) (a)(b)...................... 18,445 33,385 Mirant Corp. (a)(b)........... 5,365 81,924 Ormat Technologies, Inc. (b).. 672 25,428 RRI Energy, Inc. (a)(b)....... 13,091 74,881 ------------ 215,618 ------------ INDUSTRIAL CONGLOMERATES -- 0.6% Carlisle Cos., Inc. (b)....... 2,284 78,250 Seaboard Corp. (b)............ 14 18,886 Textron, Inc. (b)............. 10,154 190,997 ------------ 288,133 ------------ INSURANCE -- 6.4% Alleghany Corp. (a)........... 243 67,068 Allied World Assurance Company Holdings, Ltd. (b)......... 1,524 70,211 American Financial Group, Inc. ....................... 2,893 72,180 American International Group, Inc. (a)(b)................. 4,408 132,152 American National Insurance Co. (b)..................... 601 71,783 Arthur J. Gallagher & Co. (b)......................... 3,713 83,580 Aspen Insurance Holdings, Ltd. ....................... 2,816 71,667 Assurant, Inc. ............... 4,401 129,742 Assured Guaranty, Ltd. ....... 4,717 102,642 Brown & Brown, Inc. (b)....... 4,303 77,325 Endurance Specialty Holdings, Ltd. (b).................... 1,926 71,705 Erie Indemnity Co. (Class A) (b)......................... 1,172 45,731 Fidelity National Financial, Inc. (Class A) (b).......... 8,596 115,702 First American Corp. (b)...... 4,518 149,591 Genworth Financial, Inc. (Class A) (a)(b)............ 17,987 204,152 HCC Insurance Holdings, Inc. (b)......................... 4,182 116,971
See accompanying notes to financial statements. SPDR DOW JONES MID CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Markel Corp. (a).............. 367 $ 124,780 Mercury General Corp. (b)..... 971 38,121 Montpelier Re Holdings, Ltd. (b)......................... 2,966 51,371 Old Republic International Corp. (b)................... 8,404 84,376 OneBeacon Insurance Group, Ltd. (Class A) (b).......... 876 12,071 Platinum Underwriters Holdings, Ltd. (b).......... 1,850 70,837 ProAssurance Corp. (a)(b)..... 1,226 65,849 Reinsurance Group of America, Inc. ....................... 2,712 129,227 RenaissanceRe Holdings, Ltd. ....................... 2,323 123,467 StanCorp Financial Group, Inc. (b)......................... 1,834 73,397 The Hanover Insurance Group, Inc. (b).................... 1,872 83,173 Torchmark Corp. (b)........... 3,089 135,762 Transatlantic Holdings, Inc. ....................... 2,131 111,046 Validus Holdings, Ltd. ....... 3,537 95,287 Wesco Financial Corp. (b)..... 53 18,179 White Mountains Insurance Group, Ltd. ................ 287 95,473 ------------ 2,894,618 ------------ INTERNET & CATALOG RETAIL -- 0.2% Netflix, Inc. (a)(b).......... 1,766 97,377 ------------ INTERNET SOFTWARE & SERVICES -- 1.0% Akamai Technologies, Inc. (a)(b)...................... 6,492 164,442 Equinix, Inc. (a)(b).......... 1,427 151,476 IAC/InterActiveCorp. (a)(b)... 3,620 74,138 WebMD Health Corp. (Class A) (a)(b)...................... 1,723 66,318 ------------ 456,374 ------------ IT SERVICES -- 2.4% Alliance Data Systems Corp. (a)(b)...................... 1,956 126,338 Broadridge Financial Solutions, Inc. ............ 5,233 118,056 CACI International, Inc. (Class A) (a)(b)............ 1,110 54,223 DST Systems, Inc. (a)(b)...... 1,494 65,064 Gartner, Inc. (a)............. 2,363 42,629 Genpact, Ltd. (a)(b).......... 2,162 32,214 Global Payments, Inc. ........ 3,032 163,304 Hewitt Associates, Inc. (Class A) (a)(b)................... 3,202 135,317 Lender Processing Services, Inc. ....................... 3,565 144,953 ManTech International Corp. (Class A) (a)(b)............ 780 37,658 NeuStar, Inc. (Class A) (a)... 2,678 61,701 Total System Services, Inc. (b)......................... 7,337 126,710 ------------ 1,108,167 ------------ LIFE SCIENCES TOOLS & SERVICES -- 1.2% Bio-Rad Laboratories, Inc. (Class A) (a)............... 728 70,223 Charles River Laboratories International, Inc. (a)(b).. 2,458 82,810 Covance, Inc. (a)(b).......... 2,380 129,877 PerkinElmer, Inc. (b)......... 4,337 89,299 Pharmaceutical Product Development, Inc. .......... 4,096 96,010 Techne Corp. (b).............. 1,395 95,641 ------------ 563,860 ------------ MACHINERY -- 4.3% AGCO Corp. (a)(b)............. 3,410 110,279 CLARCOR, Inc. (b)............. 1,888 61,247 Crane Co. (b)................. 1,917 58,699 Donaldson Co., Inc. (b)....... 2,669 113,539 Gardner Denver, Inc. (b)...... 1,936 82,377 Graco, Inc. (b)............... 2,267 64,768 Harsco Corp. ................. 2,993 96,464 IDEX Corp. (b)................ 3,003 93,544 Joy Global, Inc. (b).......... 3,837 197,951 Kennametal, Inc. (b).......... 2,982 77,293 Lincoln Electric Holdings, Inc. (b).................... 1,517 81,099 Navistar International Corp. (a)......................... 1,969 76,102 Nordson Corp. (b)............. 1,135 69,439 Pall Corp. ................... 4,422 160,076 Pentair, Inc. ................ 3,663 118,315 Snap-On, Inc. (b)............. 2,148 90,775 SPX Corp. (b)................. 1,826 99,882 The Stanley Works (b)......... 3,010 155,045 The Timken Co. (b)............ 2,914 69,091 Wabtec Corp. ................. 1,815 74,125 ------------ 1,950,110 ------------ MARINE -- 0.2% Kirby Corp. (a)(b)............ 2,010 70,008 ------------ MEDIA -- 1.4% Clear Channel Outdoor Holdings, Inc. (Class A) (a)(b)...................... 1,496 15,544 DreamWorks Animation SKG, Inc. (Class A) (a)(b)............ 2,615 104,469 Interactive Data Corp. (b).... 1,324 33,497 John Wiley & Sons, Inc. (Class A) (b)...................... 1,870 78,316 Morningstar, Inc. (a)......... 812 39,252 Regal Entertainment Group (b)......................... 2,873 41,486 The Interpublic Group of Cos., Inc. (a)(b)................. 18,120 133,726 Virgin Media, Inc. (b)........ 10,940 184,120 ------------ 630,410 ------------ METALS & MINING -- 2.3% Allegheny Technologies, Inc. (b)......................... 3,448 154,367 Cliffs Natural Resources, Inc. (b)......................... 4,902 225,933 Commercial Metals Co. ........ 4,203 65,777 Compass Minerals International, Inc. (b)..... 1,212 81,434 Reliance Steel & Aluminum Co. ........................ 2,412 104,247 Royal Gold, Inc. (b).......... 1,525 71,827 Steel Dynamics, Inc. (b)...... 8,091 143,373 Titanium Metals Corp. (a)(b).. 3,156 39,513 Walter Energy, Inc. (b)....... 1,988 149,716 ------------ 1,036,187 ------------ MULTI-UTILITIES -- 2.2% Alliant Energy Corp. ......... 4,112 124,429 CMS Energy Corp. (b).......... 8,469 132,625 Integrys Energy Group, Inc. (b)......................... 2,860 120,091 NiSource, Inc. ............... 10,222 157,214 NSTAR......................... 4,012 147,642 OGE Energy Corp. (b).......... 3,586 132,288 TECO Energy, Inc. (b)......... 7,415 120,271 Vectren Corp. ................ 3,030 74,780 ------------ 1,009,340 ------------ MULTILINE RETAIL -- 0.2% Big Lots, Inc. (a)(b)......... 3,090 89,548 ------------
See accompanying notes to financial statements. SPDR DOW JONES MID CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- OFFICE ELECTRONICS -- 0.1% Zebra Technologies Corp. (Class A) (a)(b)............ 2,200 $ 62,392 ------------ OIL, GAS & CONSUMABLE FUELS -- 5.5% Alpha Natural Resources, Inc. (a)......................... 5,860 254,207 Arch Coal, Inc. (b)........... 6,110 135,948 BP Prudhoe Bay Royalty Trust (b)......................... 793 65,660 Cabot Oil & Gas Corp. ........ 3,832 167,037 Cimarex Energy Co. (b)........ 3,107 164,578 Comstock Resources, Inc. (a)(b)...................... 1,722 69,862 Concho Resources, Inc. (a).... 2,677 120,197 Encore Acquisition Co. (a).... 2,079 99,834 EXCO Resources, Inc. ......... 6,384 135,532 Forest Oil Corp. (a)(b)....... 3,768 83,838 Frontier Oil Corp. ........... 3,833 46,149 Massey Energy Co. (b)......... 3,199 134,390 Pioneer Natural Resources Co. (b)......................... 4,266 205,493 Plains Exploration & Production Co. (a)(b)....... 5,213 144,192 Quicksilver Resources, Inc. (a)(b)...................... 4,472 67,125 SandRidge Energy, Inc. (a)(b)...................... 6,777 63,907 Southern Union Co. ........... 3,903 88,598 St. Mary Land & Exploration Co. (b)..................... 2,327 79,677 Sunoco, Inc. ................. 4,383 114,396 Teekay Corp. (b).............. 1,559 36,184 Tesoro Corp. (b).............. 5,178 70,162 Whiting Petroleum Corp. (a)(b)...................... 1,885 134,683 ------------ 2,481,649 ------------ PAPER & FOREST PRODUCTS -- 0.4% MeadWestvaco Corp. (b)........ 5,616 160,786 ------------ PERSONAL PRODUCTS -- 0.6% Alberto-Culver Co. (b)........ 3,260 95,485 Chattem, Inc. (a)(b).......... 714 66,616 Herbalife, Ltd. .............. 2,303 93,433 ------------ 255,534 ------------ PHARMACEUTICALS -- 1.0% Auxilium Pharmaceuticals, Inc. (a)......................... 1,601 47,998 Endo Pharmaceuticals Holdings, Inc. (a).................... 3,865 79,271 King Pharmaceuticals, Inc. (a)(b)...................... 9,260 113,620 Perrigo Co. (b)............... 3,087 122,986 Valeant Pharmaceuticals International (a)(b)........ 2,611 83,004 ------------ 446,879 ------------ PROFESSIONAL SERVICES -- 1.6% Equifax, Inc. (b)............. 4,749 146,696 FTI Consulting, Inc. (a)(b)... 1,919 90,500 IHS, Inc. (Class A) (a)(b).... 1,721 94,328 Manpower, Inc. (b)............ 2,909 158,773 Robert Half International, Inc. (b).................... 5,649 150,998 Watson Wyatt Worldwide, Inc. (Class A) (b)............... 1,586 75,367 ------------ 716,662 ------------ REAL ESTATE INVESTMENT TRUSTS -- 6.3% Alexandria Real Estate Equities, Inc. (b).......... 1,633 104,986 AMB Property Corp. (b)........ 5,499 140,499 Camden Property Trust (b)..... 2,414 102,281 Corporate Office Properties Trust (b)................... 2,171 79,524 Digital Realty Trust, Inc. (b)......................... 2,612 131,331 Douglas Emmett, Inc. (b)...... 4,545 64,766 Duke Realty Corp. (b)......... 8,343 101,534 Essex Property Trust, Inc. (b)......................... 1,090 91,179 Federal Realty Investment Trust (b)................... 2,290 155,079 Highwoods Properties, Inc. (b)......................... 2,651 88,411 Hospitality Properties Trust.. 4,597 108,995 Kimco Realty Corp. (b)........ 15,034 203,410 Liberty Property Trust........ 4,200 134,442 Mack-Cali Realty Corp. (b).... 2,920 100,944 MFA Financial, Inc. (b)....... 10,205 75,007 National Retail Properties, Inc. (b).................... 3,084 65,442 Nationwide Health Properties, Inc. (b).................... 4,200 147,756 OMEGA Healthcare Investors, Inc. ....................... 3,185 61,948 ProLogis (b).................. 17,708 242,423 Rayonier, Inc. ............... 2,922 123,192 Realty Income Corp. (b)....... 3,887 100,712 Regency Centers Corp. (b)..... 3,305 115,873 Senior Housing Properties Trust (b)................... 4,780 104,539 UDR, Inc. (b)................. 5,719 94,020 Washington Real Estate Investment Trust (b)........ 2,235 61,574 Weingarten Realty Investors... 4,449 88,046 ------------ 2,887,913 ------------ REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.8% Brookfield Properties Corp. (b)......................... 9,677 117,285 CB Richard Ellis Group, Inc. (Class A) (a)(b)............ 9,359 127,002 The St. Joe Co. (a)........... 3,419 98,775 ------------ 343,062 ------------ ROAD & RAIL -- 1.3% Heartland Express, Inc. (b)... 2,042 31,181 Hertz Global Holdings, Inc. (a)(b)...................... 6,839 81,521 J.B. Hunt Transport Services, Inc. (b).................... 3,519 113,558 Kansas City Southern (a)(b)... 3,593 119,611 Knight Transportation, Inc. (b)......................... 2,189 42,226 Landstar Systems, Inc. (b).... 1,906 73,896 Ryder Systems, Inc. (b)....... 2,081 85,675 Werner Enterprises, Inc. (b).. 1,884 37,284 ------------ 584,952 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.6% Advanced Micro Devices, Inc. (a)......................... 22,945 222,108 Atmel Corp. (a)(b)............ 15,167 69,920 Cree, Inc. (a)(b)............. 3,532 199,099 Intersil Corp. (Class A) (b).. 4,612 70,748 Lam Research Corp. (a)(b)..... 4,750 186,247 LSI Logic Corp. (a)(b)........ 24,076 144,697 MEMC Electronic Materials, Inc. (a)(b)................. 8,330 113,455 National Semiconductor Corp. (b)......................... 8,890 136,550 Novellus Systems, Inc. (a).... 3,655 85,308 ON Semiconductor Corp. (a)(b)...................... 15,692 138,246 PMC-Sierra, Inc. (a)(b)....... 8,513 73,723 Silicon Laboratories, Inc. (a)(b)...................... 1,709 82,613 Varian Semiconductor Equipment Associates, Inc. (a) (b).... 2,716 97,450 ------------ 1,620,164 ------------
See accompanying notes to financial statements. SPDR DOW JONES MID CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- SOFTWARE -- 3.3% Ansys, Inc. (a)............... 3,271 $ 142,158 Cadence Design Systems, Inc. (a)(b)...................... 9,954 59,625 Compuware Corp. (a)(b)........ 8,827 63,819 Concur Technologies, Inc. (a)(b)...................... 1,587 67,844 Factset Research Systems, Inc. (b)......................... 1,619 106,644 Informatica Corp. (a)(b)...... 3,347 86,553 Jack Henry & Associates, Inc. ....................... 3,161 73,082 MICROS Systems, Inc. (a)(b)... 3,014 93,524 Novell, Inc. (a).............. 12,787 53,066 Nuance Communications, Inc. (a)(b)...................... 8,359 129,899 Parametric Technology Corp. (a)(b)...................... 4,375 71,488 Quality Systems, Inc. (b)..... 663 41,630 Quest Software, Inc. (a)...... 2,348 43,203 Rovi Corp. (a)(b)............. 3,824 121,871 Solera Holdings, Inc. (b)..... 2,592 93,338 Sybase, Inc. (a)(b)........... 3,051 132,413 Synopsys, Inc. (a)............ 5,454 121,515 ------------ 1,501,672 ------------ SPECIALTY RETAIL -- 3.9% Aaron's, Inc. (b)............. 1,807 50,108 Abercrombie & Fitch Co. (Class A) (b)...................... 3,248 113,193 Aeropostale, Inc. (a)......... 2,494 84,921 American Eagle Outfitters, Inc. ....................... 6,565 111,474 AutoNation, Inc. (a)(b)....... 2,789 53,409 CarMax, Inc. (a)(b)........... 7,429 180,153 Dick's Sporting Goods, Inc. (a)(b)...................... 3,158 78,540 Foot Locker, Inc. (b)......... 5,741 63,955 Guess ?, Inc. (b)............. 2,197 92,933 Limited Brands, Inc. (b)...... 10,289 197,960 PetSmart, Inc. (b)............ 4,765 127,178 RadioShack Corp. (b).......... 4,676 91,182 Rent-A-Center, Inc. (a)(b).... 2,443 43,290 The Buckle, Inc. (b).......... 976 28,577 Tiffany & Co. (b)............. 4,641 199,563 Tractor Supply Co. (a)(b)..... 1,367 72,396 Urban Outfitters, Inc. (a)(b)...................... 4,928 172,431 ------------ 1,761,263 ------------ THRIFTS & MORTGAGE FINANCE -- 0.5% Capitol Federal Financial (b)......................... 805 25,325 First Niagara Financial Group, Inc. (b).................... 6,846 95,228 NewAlliance Bancshares, Inc. (b)......................... 3,693 44,353 Washington Federal, Inc. ..... 4,201 81,247 ------------ 246,153 ------------ TRADING COMPANIES & DISTRIBUTORS -- 0.3% GATX Corp. (b)................ 1,521 43,729 MSC Industrial Direct Co., Inc. (Class A) (b).......... 1,617 75,999 ------------ 119,728 ------------ WATER UTILITIES -- 0.2% Aqua America, Inc. (b)........ 5,069 88,758 ------------ WIRELESS TELECOMMUNICATION SERVICES -- 0.9% Leap Wireless International, Inc. (a)(b)................. 2,301 40,383 MetroPCS Communications, Inc. (a)(b)...................... 9,371 71,501 SBA Communications Corp. (Class A) (a)(b)............ 4,384 149,757 Telephone & Data Systems, Inc. (b)......................... 3,623 122,892 US Cellular Corp. (a)......... 586 24,852 ------------ 409,385 ------------ TOTAL COMMON STOCKS -- (Cost $39,798,205).......... 45,413,999 ------------ RIGHTS -- 0.0% (C) DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.0% (C) Clearwire Corp. (expiring 6/21/10) (a) (Cost $0)................... 2,709 1,084 ------------ SHORT TERM INVESTMENTS -- 29.2% MONEY MARKET FUNDS -- 29.2% State Street Institutional Liquid Reserves Fund (d).... 55,781 55,781 State Street Navigator Securities Lending Prime Portfolio (d)(e)............ 13,216,330 13,216,330 ------------ TOTAL SHORT TERM INVESTMENTS -- (Cost $13,272,111).......... 13,272,111 ------------ TOTAL INVESTMENTS -- 129.0% (F) (Cost $53,070,316).......... 58,687,194 OTHER ASSETS AND LIABILITIES -- (29.0)%...... (13,178,793) ------------ NET ASSETS -- 100.0%.......... $ 45,508,401 ============
(a) Non-income producing security. (b) Security, or portion thereof, was on loan at December 31, 2009. (c) Amount shown represents less than 0.05% of net assets. (d) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (e) Investments of cash collateral for securities loaned. (f) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (Note 2) See accompanying notes to financial statements. SPDR DOW JONES MID CAP GROWTH ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.8% AEROSPACE & DEFENSE -- 0.6% Spirit Aerosystems Holdings, Inc. (a)(b)................. 11,804 $ 234,427 TransDigm Group, Inc. (b)..... 4,212 200,028 ------------ 434,455 ------------ AIR FREIGHT & LOGISTICS -- 0.2% UTI Worldwide, Inc. .......... 11,289 161,658 ------------ AIRLINES -- 0.9% AMR Corp. (a)(b).............. 38,377 296,654 Continental Airlines, Inc. (Class B) (a)(b)............ 15,927 285,412 JetBlue Airways Corp. (a)(b).. 27,798 151,499 ------------ 733,565 ------------ AUTO COMPONENTS -- 1.4% BorgWarner, Inc. (b).......... 13,289 441,461 Lear Corp. (a)................ 3,879 262,375 The Goodyear Tire & Rubber Co. (a)......................... 27,557 388,554 ------------ 1,092,390 ------------ BEVERAGES -- 0.4% Hansen Natural Corp. (a)(b)... 8,041 308,774 ------------ BIOTECHNOLOGY -- 3.3% Alexion Pharmaceuticals, Inc. (a)......................... 10,081 492,154 Amylin Pharmaceuticals, Inc. (a)(b)...................... 14,538 206,294 BioMarin Pharmaceutical, Inc. (a)(b)...................... 11,299 212,534 Human Genome Sciences, Inc. (a)(b)...................... 20,750 634,950 Isis Pharmaceuticals, Inc. (a)(b)...................... 10,477 116,295 Onyx Pharmaceuticals, Inc. (a)(b)...................... 6,485 190,270 OSI Pharmaceuticals, Inc. (a)(b)...................... 6,583 204,271 Regeneron Pharmaceuticals, Inc. (a)(b)................. 7,163 173,201 United Therapeutics Corp. (a)(b)...................... 5,298 278,940 ------------ 2,508,909 ------------ BUILDING PRODUCTS -- 0.4% Owens Corning, Inc. (a)(b).... 11,331 290,527 ------------ CAPITAL MARKETS -- 2.6% Affiliated Managers Group, Inc. (a)(b)................. 4,741 319,306 Eaton Vance Corp. (b)......... 13,393 407,281 Greenhill & Co., Inc. (b)..... 2,954 237,029 Jefferies Group, Inc. (a)(b).. 12,476 296,055 Knight Capital Group, Inc. (Class A) (a)(b)............ 10,564 162,686 Raymond James Financial, Inc. (b)......................... 11,363 270,099 SEI Investments Co. .......... 17,896 313,538 ------------ 2,005,994 ------------ CHEMICALS -- 3.1% Albemarle Corp. (b)........... 10,532 383,049 Celanese Corp. (Series A)..... 16,436 527,596 Intrepid Potash, Inc. (a)(b).. 4,838 141,124 Lubrizol Corp. ............... 7,705 562,080 Nalco Holding Co. (b)......... 15,791 402,828 Terra Industries, Inc. (b).... 11,432 367,996 ------------ 2,384,673 ------------ COMMERCIAL BANKS -- 0.1% First Citizens BancShares, Inc. (Class A).............. 666 109,231 ------------ COMMERCIAL SERVICES & SUPPLIES -- 2.2% Clean Harbors, Inc. (a)(b).... 2,611 155,642 Copart, Inc. (a).............. 8,459 309,853 Corrections Corp. of America (a)(b)...................... 13,217 324,477 Covanta Holding Corp. (a)(b).. 15,039 272,056 KAR Auction Services, Inc. (a)......................... 2,565 35,371 Rollins, Inc. (b)............. 5,814 112,094 Tetra Tech, Inc. (a)(b)....... 6,860 186,386 Waste Connections, Inc. (a)(b)...................... 8,950 298,393 ------------ 1,694,272 ------------ COMMUNICATIONS EQUIPMENT -- 1.8% Brocade Communications Systems, Inc. (a)(b)........ 48,270 368,300 EchoStar Corp. (Class A) (a).. 4,556 91,758 F5 Networks, Inc. (a)(b)...... 9,041 478,992 Polycom, Inc. (a)(b).......... 9,448 235,917 Tellabs, Inc. (a)(b).......... 40,191 228,285 ------------ 1,403,252 ------------ COMPUTERS & PERIPHERALS -- 2.4% NCR Corp. (a)(b).............. 17,888 199,093 QLogic Corp. (a)(b)........... 13,025 245,782 SanDisk Corp. (a)(b).......... 25,935 751,856 Teradata Corp. (a)............ 19,720 619,799 ------------ 1,816,530 ------------ CONSTRUCTION & ENGINEERING -- 1.8% Aecom Technology Corp. (a)(b)...................... 11,111 305,552 KBR, Inc. .................... 18,532 352,108 The Shaw Group, Inc. (a)(b)... 9,510 273,413 URS Corp. (a)(b).............. 9,561 425,656 ------------ 1,356,729 ------------ CONTAINERS & PACKAGING -- 0.8% Pactiv Corp. (a)(b)........... 15,107 364,683 Rock-Tenn Co. (Class A)....... 4,338 218,679 ------------ 583,362 ------------ DISTRIBUTORS -- 0.4% LKQ Corp. (a)(b).............. 15,898 311,442 ------------ DIVERSIFIED CONSUMER SERVICES -- 1.2% Brink's Home Security Holdings, Inc. (a)(b)....... 5,180 169,075 Career Education Corp. (a)(b)...................... 7,003 163,240 Corinthian Colleges, Inc. (a)(b)...................... 9,030 124,343 Education Management Corp. (a)(b)...................... 2,240 49,302 Strayer Education, Inc. (b)... 1,607 341,472 Weight Watchers International, Inc. (b).................... 3,978 115,999 ------------ 963,431 ------------ DIVERSIFIED FINANCIAL SERVICES -- 0.5% MSCI, Inc. (Class A) (a)(b)... 11,924 379,183 ------------ DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.5% Clearwire Corp. (Class A) (a)(b)...................... 8,399 56,777 tw telecom, inc. (a)(b)....... 17,207 294,928 ------------ 351,705 ------------ ELECTRIC UTILITIES -- 0.4% ITC Holdings Corp. (b)........ 5,773 300,716 ------------ ELECTRICAL EQUIPMENT -- 1.3% A123 Systems, Inc. (a)(b)..... 3,220 72,257 AMETEK, Inc. (b).............. 12,156 464,845
See accompanying notes to financial statements. SPDR DOW JONES MID CAP GROWTH ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- SunPower Corp. (Class A) (a)(b)...................... 11,091 $ 262,635 Woodward Governor Co. (b)..... 6,534 168,381 ------------ 968,118 ------------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 4.1% Arrow Electronics, Inc. (a)... 13,780 408,026 Avnet, Inc. (a)............... 17,399 524,754 FLIR Systems, Inc. (a)(b)..... 17,188 562,391 Itron, Inc. (a)(b)............ 4,615 311,835 Jabil Circuit, Inc. (b)....... 22,779 395,671 Mettler-Toledo International, Inc. (a)(b)................. 3,821 401,167 National Instruments Corp. (b)......................... 6,953 204,766 Trimble Navigation, Ltd. (a)(b)...................... 13,854 349,121 ------------ 3,157,731 ------------ ENERGY EQUIPMENT & SERVICES -- 2.9% Dresser-Rand Group, Inc. (a)(b)...................... 9,406 297,324 Helmerich & Payne, Inc. (b)... 11,071 441,512 Oceaneering International, Inc. (a).................... 5,877 343,922 Patterson-UTI Energy, Inc. (b)......................... 17,581 269,868 Rowan Cos., Inc. (a)(b)....... 11,876 268,873 SEACOR Holdings, Inc. (a)(b).. 2,157 164,471 Superior Energy Services, Inc. (a)(b)...................... 8,808 213,946 Unit Corp. (a)(b)............. 5,362 227,885 ------------ 2,227,801 ------------ FOOD & STAPLES RETAILING -- 0.5% Whole Foods Market, Inc. (a)(b)...................... 12,817 351,827 ------------ FOOD PRODUCTS -- 1.8% Dean Foods Co. (a)(b)......... 20,790 375,052 Flowers Foods, Inc. (b)....... 9,732 231,232 Green Mountain Coffee Roasters, Inc. (a)(b)....... 4,454 362,868 Ralcorp Holdings, Inc. (a).... 6,499 388,055 ------------ 1,357,207 ------------ HEALTH CARE EQUIPMENT & SUPPLIES -- 3.5% Gen-Probe, Inc. (a)(b)........ 5,579 239,339 Haemonetics Corp. (a)(b)...... 2,946 162,472 IDEXX Laboratories, Inc. (a).. 6,820 364,461 Immucor, Inc. (a)(b).......... 7,953 160,969 Inverness Medical Innovations, Inc. (a).................... 9,586 397,915 Kinetic Concepts, Inc. (a)(b)...................... 7,121 268,106 Masimo Corp. (a)(b)........... 5,933 180,482 NuVasive, Inc. (a)(b)......... 4,389 140,360 ResMed, Inc. (a)(b)........... 8,669 453,128 Thoratec Corp. (a)(b)......... 6,344 170,780 West Pharmaceutical Services, Inc. (b).................... 3,739 146,569 ------------ 2,684,581 ------------ HEALTH CARE PROVIDERS & SERVICES -- 3.2% AMERIGROUP Corp. (a)(b)....... 6,151 165,831 athenahealth, Inc. (a)........ 3,596 162,683 Community Health Systems, Inc. (a)(b)...................... 10,746 382,558 Coventry Health Care, Inc. (a)......................... 16,981 412,469 Emdeon, Inc. (Class A) (a)(b)...................... 2,623 40,001 Lincare Holdings, Inc. (a)(b)...................... 7,804 289,685 MEDNAX, Inc. (a)(b)........... 5,186 311,730 Patterson Cos., Inc. (a)(b)... 11,478 321,154 Psychiatric Solutions, Inc. (a)(b)...................... 6,046 127,812 VCA Antech, Inc. (a)(b)....... 9,724 242,322 ------------ 2,456,245 ------------ HEALTH CARE TECHNOLOGY -- 0.7% Allscripts-Misys Healthcare Solutions, Inc. (a)(b)...... 6,862 138,818 IMS Health, Inc. ............. 20,807 438,196 ------------ 577,014 ------------ HOTELS, RESTAURANTS & LEISURE -- 3.0% Bally Technologies, Inc. (a)(b)...................... 6,253 258,186 Burger King Holdings, Inc. (b)......................... 10,444 196,556 Chipotle Mexican Grill, Inc. (a)......................... 3,611 318,346 Choice Hotels International, Inc. (b).................... 3,357 106,283 MGM MIRAGE, Inc. (a)(b)....... 28,387 258,889 Panera Bread Co. (Class A) (a)......................... 3,533 236,605 Penn National Gaming, Inc. (a)(b)...................... 7,644 207,764 Scientific Games Corp. (Class A) (a)(b)................... 7,877 114,610 Wendy's/Arby's Group, Inc. (Class A) (b)............... 41,952 196,755 Wyndham Worldwide Corp. (b)... 20,493 413,344 ------------ 2,307,338 ------------ HOUSEHOLD DURABLES -- 1.1% NVR, Inc. (a)(b).............. 683 485,415 Pulte Homes, Inc. (a)(b)...... 38,241 382,410 ------------ 867,825 ------------ HOUSEHOLD PRODUCTS -- 0.6% Energizer Holdings, Inc. (a).. 7,986 489,382 ------------ INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.4% Ormat Technologies, Inc. (b).. 2,077 78,594 RRI Energy, Inc. (a)(b)....... 40,459 231,425 ------------ 310,019 ------------ INDUSTRIAL CONGLOMERATES -- 0.1% Seaboard Corp. (b)............ 42 56,658 ------------ INSURANCE -- 0.3% Brown & Brown, Inc. (b)....... 13,301 239,019 ------------ INTERNET & CATALOG RETAIL -- 0.4% Netflix, Inc. (a)(b).......... 5,365 295,826 ------------ INTERNET SOFTWARE & SERVICES -- 1.8% Akamai Technologies, Inc. (a)(b)...................... 19,795 501,407 Equinix, Inc. (a)(b).......... 4,368 463,663 IAC/InterActiveCorp. (a)(b)... 10,988 225,034 WebMD Health Corp. (Class A) (a)(b)...................... 5,252 202,150 ------------ 1,392,254 ------------ IT SERVICES -- 4.2% Alliance Data Systems Corp. (a)(b)...................... 6,022 388,961 Broadridge Financial Solutions, Inc. ............ 16,111 363,464 DST Systems, Inc. (a)(b)...... 4,500 195,975 Gartner, Inc. (a)............. 7,279 131,313 Genpact, Ltd. (a)............. 6,595 98,266 Global Payments, Inc. ........ 9,281 499,875 Hewitt Associates, Inc. (Class A) (a)(b)................... 9,892 418,036 Lender Processing Services, Inc. ....................... 10,914 443,763 ManTech International Corp. (Class A) (a)(b)............ 2,430 117,320
See accompanying notes to financial statements. SPDR DOW JONES MID CAP GROWTH ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- NeuStar, Inc. (Class A) (a)(b)...................... 8,222 $ 189,435 Total System Services, Inc. (b)......................... 22,582 389,991 ------------ 3,236,399 ------------ LIFE SCIENCES TOOLS & SERVICES -- 2.0% Charles River Laboratories International, Inc. (a) (b)......................... 7,588 255,640 Covance, Inc. (a)(b).......... 7,301 398,415 PerkinElmer, Inc. (b)......... 13,254 272,900 Pharmaceutical Product Development, Inc. (b)....... 12,526 293,609 Techne Corp. (b).............. 4,278 293,300 ------------ 1,513,864 ------------ MACHINERY -- 4.5% AGCO Corp. (a)(b)............. 10,547 341,090 CLARCOR, Inc. ................ 5,824 188,931 Donaldson Co., Inc. .......... 8,222 349,764 Gardner Denver, Inc. (b)...... 5,879 250,151 Harsco Corp. ................. 9,206 296,709 Joy Global, Inc. (b).......... 11,676 602,365 Lincoln Electric Holdings, Inc. (b).................... 4,639 248,001 Navistar International Corp. (a)(b)...................... 6,013 232,402 Nordson Corp. (b)............. 3,463 211,866 Pall Corp. ................... 13,453 486,999 Wabtec Corp. (b).............. 5,507 224,906 ------------ 3,433,184 ------------ MARINE -- 0.3% Kirby Corp. (a)(b)............ 6,117 213,055 ------------ MEDIA -- 1.5% Clear Channel Outdoor Holdings, Inc. (Class A) (a)(b)...................... 4,406 45,778 DreamWorks Animation SKG, Inc. (Class A) (a)(b)............ 8,060 321,997 John Wiley & Sons, Inc. (Class A) (b)...................... 5,758 241,145 Morningstar, Inc. (a)......... 2,444 118,143 The Interpublic Group of Cos., Inc. (a)(b)................. 55,792 411,745 ------------ 1,138,808 ------------ METALS & MINING -- 3.2% Cliffs Natural Resources, Inc. (b)......................... 15,052 693,747 Compass Minerals International, Inc. (b)..... 3,682 247,393 Reliance Steel & Aluminum Co. (b)......................... 7,391 319,439 Royal Gold, Inc. (b).......... 4,652 219,109 Steel Dynamics, Inc. (b)...... 24,695 437,595 Titanium Metals Corp. (a)(b).. 9,709 121,557 Walter Energy, Inc. (b)....... 6,086 458,337 ------------ 2,497,177 ------------ OFFICE ELECTRONICS -- 0.2% Zebra Technologies Corp. (Class A) (a)(b)............ 6,745 191,288 ------------ OIL, GAS & CONSUMABLE FUELS -- 7.5% Alpha Natural Resources, Inc. (a)(b)...................... 17,895 776,285 Arch Coal, Inc. (b)........... 18,629 414,495 Cabot Oil & Gas Corp. (b)..... 11,767 512,924 Cimarex Energy Co. (b)........ 9,464 501,308 Comstock Resources, Inc. (a)(b)...................... 5,327 216,116 Concho Resources, Inc. (a).... 8,209 368,584 Encore Acquisition Co. (a).... 6,317 303,342 EXCO Resources, Inc. (b)...... 19,679 417,785 Frontier Oil Corp. (b)........ 11,737 141,314 Massey Energy Co. (b)......... 9,816 412,370 Plains Exploration & Production Co. (a).......... 16,037 443,584 Quicksilver Resources, Inc. (a)(b)...................... 13,575 203,761 SandRidge Energy, Inc. (a)(b)...................... 20,566 193,937 St. Mary Land & Exploration Co. (b)..................... 7,065 241,906 Tesoro Corp. (b).............. 15,924 215,770 Whiting Petroleum Corp. (a)(b)...................... 5,794 413,981 ------------ 5,777,462 ------------ PERSONAL PRODUCTS -- 0.6% Chattem, Inc. (a)(b).......... 2,165 201,994 Herbalife, Ltd. .............. 7,000 283,990 ------------ 485,984 ------------ PHARMACEUTICALS -- 1.3% Auxilium Pharmaceuticals, Inc. (a)(b)...................... 4,821 144,534 Endo Pharmaceuticals Holdings, Inc. (a).................... 11,791 241,833 Perrigo Co. (b)............... 9,507 378,759 Valeant Pharmaceuticals International (a)(b)........ 8,026 255,146 ------------ 1,020,272 ------------ PROFESSIONAL SERVICES -- 2.9% Equifax, Inc. ................ 14,461 446,700 FTI Consulting, Inc. (a)(b)... 5,861 276,405 IHS, Inc. (Class A) (a)(b).... 5,340 292,685 Manpower, Inc. ............... 8,918 486,745 Robert Half International, Inc. (b).................... 17,421 465,663 Watson Wyatt Worldwide, Inc. (Class A) (b)............... 4,880 231,898 ------------ 2,200,096 ------------ REAL ESTATE INVESTMENT TRUSTS -- 0.8% Corporate Office Properties Trust (b)................... 6,607 242,014 Digital Realty Trust, Inc. (b)......................... 8,027 403,598 ------------ 645,612 ------------ REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.5% CB Richard Ellis Group, Inc. (Class A) (a)(b)............ 28,810 390,952 ------------ ROAD & RAIL -- 1.8% Heartland Express, Inc. (b)... 6,297 96,155 Hertz Global Holdings, Inc. (a)(b)...................... 21,273 253,574 J.B. Hunt Transport Services, Inc. (b).................... 10,823 349,258 Kansas City Southern (a)(b)... 11,065 368,354 Knight Transportation, Inc. (b)......................... 6,672 128,703 Landstar Systems, Inc. ....... 5,777 223,975 ------------ 1,420,019 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 6.2% Advanced Micro Devices, Inc. (a)......................... 70,463 682,082 Atmel Corp. (a)(b)............ 46,541 214,554 Cree, Inc. (a)(b)............. 10,851 611,671 Lam Research Corp. (a)(b)..... 14,458 566,898 LSI Logic Corp. (a)(b)........ 73,999 444,734 MEMC Electronic Materials, Inc. (a)(b)................. 25,584 348,454 National Semiconductor Corp. (b)......................... 27,074 415,857 Novellus Systems, Inc. (a)(b)...................... 11,229 262,085 ON Semiconductor Corp. (a)(b)...................... 48,253 425,109 PMC-Sierra, Inc. (a)(b)....... 25,822 223,618
See accompanying notes to financial statements. SPDR DOW JONES MID CAP GROWTH ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Silicon Laboratories, Inc. (a)(b)...................... 5,190 $ 250,885 Varian Semiconductor Equipment Associates, Inc. (a)(b)..... 8,382 300,746 ------------ 4,746,693 ------------ SOFTWARE -- 5.0% Ansys, Inc. (a)(b)............ 10,049 436,729 Cadence Design Systems, Inc. (a)(b)...................... 29,884 179,005 Concur Technologies, Inc. (a)(b)...................... 4,769 203,875 Factset Research Systems, Inc. (b)......................... 4,932 324,871 Informatica Corp. (a)(b)...... 10,167 262,919 Jack Henry & Associates, Inc. ....................... 9,531 220,357 MICROS Systems, Inc. (a)...... 9,059 281,101 Nuance Communications, Inc. (a)(b)...................... 25,732 399,875 Parametric Technology Corp. (a)(b)...................... 13,363 218,351 Quality Systems, Inc. (b)..... 2,035 127,778 Quest Software, Inc. (a)(b)... 7,312 134,541 Rovi Corp. (a)(b)............. 11,776 375,301 Solera Holdings, Inc. (b)..... 7,958 286,568 Sybase, Inc. (a)(b)........... 9,391 407,569 ------------ 3,858,840 ------------ SPECIALTY RETAIL -- 5.1% Aaron's, Inc. (b)............. 5,638 156,342 Abercrombie & Fitch Co. (Class A) (b)...................... 9,994 348,291 Aeropostale, Inc. (a)(b)...... 7,619 259,427 American Eagle Outfitters, Inc. (b).................... 20,206 343,098 CarMax, Inc. (a)(b)........... 22,621 548,559 Dick's Sporting Goods, Inc. (a)(b)...................... 9,589 238,478 Guess ?, Inc. (b)............. 6,697 283,283 PetSmart, Inc. (b)............ 14,611 389,968 Tiffany & Co. (b)............. 14,200 610,600 Tractor Supply Co. (a)(b)..... 4,136 219,043 Urban Outfitters, Inc. (a)(b)...................... 15,070 527,299 ------------ 3,924,388 ------------ THRIFTS & MORTGAGE FINANCE -- 0.2% NewAlliance Bancshares, Inc. (b)......................... 11,288 135,569 ------------ TRADING COMPANIES & DISTRIBUTORS -- 0.3% MSC Industrial Direct Co., Inc. (Class A).............. 4,973 233,731 ------------ WIRELESS TELECOMMUNICATION SERVICES -- 1.0% Leap Wireless International, Inc. (a)(b)................. 6,952 122,008 MetroPCS Communications, Inc. (a)(b)...................... 28,941 220,820 SBA Communications Corp. (Class A) (a)(b)............ 13,421 458,461 ------------ 801,289 ------------ TOTAL COMMON STOCKS -- (Cost $66,388,711).......... 76,794,325 ------------ RIGHTS -- 0.0% (C) DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.0% (C) Clearwire Corp. (expiring 06/21/10) (a) (Cost $0)................... 8,399 3,359 ------------ SHORT TERM INVESTMENTS -- 29.0% MONEY MARKET FUNDS -- 29.0% State Street Institutional Liquid Reserves Fund (d).... 98,944 98,944 State Street Navigator Securities Lending Prime Portfolio (d)(e)............ 22,198,914 22,198,914 ------------ TOTAL SHORT TERM INVESTMENTS -- (Cost $22,297,858).......... 22,297,858 ------------ TOTAL INVESTMENTS -- 128.8% (F) (Cost $88,686,569).......... 99,095,542 OTHER ASSETS AND LIABILITIES -- (28.8)%...... (22,177,058) ------------ NET ASSETS -- 100.0%.......... $ 76,918,484 ============
(a) Non-income producing security. (b) Security, or portion thereof, was on loan as of December 31, 2009. (c) Amount shown represents less than 0.05% of net assets. (d) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (e) Investments of cash collateral for securities loaned. (f) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (Note 2) See accompanying notes to financial statements. SPDR DOW JONES MID CAP VALUE ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.7% AEROSPACE & DEFENSE -- 0.8% Alliant Techsystems, Inc. (a)(b)....................... 1,096 $ 96,744 Curtiss-Wright Corp. .......... 1,495 46,823 ----------- 143,567 ----------- AUTO COMPONENTS -- 0.5% Gentex Corp. .................. 4,615 82,378 ----------- BEVERAGES -- 0.9% Constellation Brands, Inc. (Class A) (a)................ 6,614 105,361 PepsiAmericas, Inc. ........... 2,062 60,334 ----------- 165,695 ----------- BIOTECHNOLOGY -- 0.8% Dendreon Corp. (a)(b).......... 4,348 114,265 Talecris Biotherapeutics Holdings Corp. (a)(b)........ 1,676 37,325 ----------- 151,590 ----------- BUILDING PRODUCTS -- 0.4% Lennox International, Inc. (b).......................... 1,751 68,359 ----------- CAPITAL MARKETS -- 1.9% Federated Investors, Inc. (Class B) (b)................ 3,448 94,820 Legg Mason, Inc. (b)........... 5,369 161,929 Waddell & Reed Financial, Inc. (Class A).................... 2,885 88,108 ----------- 344,857 ----------- CHEMICALS -- 2.8% Eastman Chemical Co. (b)....... 2,290 137,950 International Flavors & Fragrances, Inc. ............ 2,633 108,322 RPM International, Inc. ....... 4,315 87,724 Sensient Technologies Corp. (b).......................... 1,633 42,948 The Scotts Miracle-Gro Co. (Class A).................... 1,463 57,510 The Valspar Corp. (b).......... 3,116 84,568 ----------- 519,022 ----------- COMMERCIAL BANKS -- 7.0% Associated Ban-Corp. (b)....... 3,994 43,974 BancorpSouth, Inc. (b)......... 2,579 60,503 Bank of Hawaii Corp. (b)....... 1,599 75,249 BOK Financial Corp. (b)........ 754 35,830 City National Corp. (b)........ 1,390 63,384 Comerica, Inc. (b)............. 5,062 149,683 Commerce Bancshares, Inc. (b).. 2,266 87,740 Cullen/Frost Bankers, Inc. (b).......................... 1,880 94,000 First Horizon National Corp. (a)(b)....................... 7,353 98,536 FirstMerit Corp. (b)........... 2,838 57,157 Fulton Financial Corp. (b)..... 5,878 51,256 Marshall & Ilsley Corp. (b).... 16,904 92,127 PNC Financial Services Group, Inc. ........................ 1 53 Prosperity Bancshares, Inc. (b).......................... 1,523 61,636 Synovus Financial Corp. (b).... 13,781 28,251 TCF Financial Corp. (b)........ 3,990 54,344 UMB Financial Corp. ........... 1,117 43,954 Valley National Bancorp (b).... 4,685 66,199 Westamerica Bancorporation (b).......................... 972 53,820 Zions Bancorporation (b)....... 4,633 59,441 ----------- 1,277,137 ----------- COMMERCIAL SERVICES & SUPPLIES -- 1.6% Avery Dennison Corp. (b)....... 3,779 137,896 R.R. Donnelley & Sons Co. ..... 6,871 153,017 ----------- 290,913 ----------- COMPUTERS & PERIPHERALS -- 0.7% Diebold, Inc. (b).............. 2,171 61,765 Lexmark International, Inc. (Class A) (a)(b)............. 2,628 68,275 ----------- 130,040 ----------- CONSTRUCTION & ENGINEERING -- 0.5% EMCOR Group, Inc. (a)(b)....... 2,160 58,104 Granite Construction, Inc. (b).......................... 1,149 38,675 ----------- 96,779 ----------- CONTAINERS & PACKAGING -- 3.2% Aptargroup, Inc. (b)........... 2,108 75,340 Bemis Co., Inc. ............... 3,620 107,333 Greif, Inc. (Class A) (b)...... 1,128 60,890 Packaging Corp. of America..... 3,432 78,970 Sealed Air Corp. .............. 5,299 115,836 Silgan Holdings, Inc. ......... 852 49,314 Sonoco Products Co. ........... 3,309 96,788 ----------- 584,471 ----------- DIVERSIFIED CONSUMER SERVICES -- 0.4% Service Corp. International (b).......................... 8,297 67,952 ----------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.9% Frontier Communications Corp. (b).......................... 10,435 81,497 Level 3 Communications, Inc. (a)(b)....................... 54,001 82,622 ----------- 164,119 ----------- ELECTRIC UTILITIES -- 4.6% Cleco Corp. (b)................ 2,023 55,289 DPL, Inc. (b).................. 4,014 110,786 Great Plains Energy, Inc. (b).. 4,531 87,856 Hawaiian Electric Industries, Inc. (b)..................... 3,027 63,264 IDACORP, Inc. (b).............. 1,580 50,481 NV Energy, Inc. ............... 7,834 96,985 Pepco Holdings, Inc. (b)....... 7,374 124,252 Pinnacle West Capital Corp. ... 3,373 123,384 Portland General Electric Co. ......................... 2,485 50,719 Westar Energy, Inc. (b)........ 3,630 78,844 ----------- 841,860 ----------- ELECTRICAL EQUIPMENT -- 1.4% Acuity Brands, Inc. ........... 1,444 51,464 Brady Corp. (Class A) (b)...... 1,580 47,416 Hubbell, Inc. (Class B) (b).... 1,852 87,600 Thomas & Betts Corp. (a)....... 1,780 63,706 ----------- 250,186 ----------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.4% Anixter International, Inc. (a).......................... 993 46,770 AVX Corp. ..................... 1,722 21,818 Ingram Micro, Inc. (Class A) (a).......................... 5,426 94,684 Molex, Inc. (b)................ 4,397 94,755 ----------- 258,027 ----------- ENERGY EQUIPMENT & SERVICES -- 0.5% Tidewater, Inc. (b)............ 1,728 82,858 ----------- FOOD & STAPLES RETAILING -- 0.8% BJ's Wholesale Club, Inc. (a)(b)....................... 1,808 59,140 SUPERVALU, Inc. (b)............ 7,106 90,317 ----------- 149,457 ----------- FOOD PRODUCTS -- 1.7% Corn Products International, Inc. (b)..................... 2,481 72,520 Del Monte Foods Co. ........... 6,680 75,751
See accompanying notes to financial statements. SPDR DOW JONES MID CAP VALUE ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Fresh Del Monte Produce, Inc. (a).......................... 1,405 $ 31,050 Lancaster Colony Corp. (b)..... 683 33,945 Smithfield Foods, Inc. (a)(b).. 5,152 78,259 Tootsie Roll Industries, Inc. (b).......................... 729 19,960 ----------- 311,485 ----------- GAS UTILITIES -- 4.0% AGL Resources, Inc. (b)........ 2,563 93,473 Atmos Energy Corp. (b)......... 3,072 90,317 Energen Corp. ................. 2,425 113,490 National Fuel Gas Co. (b)...... 2,242 112,100 New Jersey Resources Corp. (b).......................... 1,393 52,098 Nicor, Inc. (b)................ 1,485 62,518 Piedmont Natural Gas Co., Inc. (b).......................... 2,279 60,963 UGI Corp. ..................... 3,608 87,278 WGL Holdings, Inc. (b)......... 1,657 55,576 ----------- 727,813 ----------- HEALTH CARE EQUIPMENT & SUPPLIES -- 0.7% STERIS Corp. (b)............... 1,785 49,926 Teleflex, Inc. (b)............. 1,330 71,674 ----------- 121,600 ----------- HEALTH CARE PROVIDERS & SERVICES -- 2.1% Health Net, Inc. (a)........... 3,476 80,956 LifePoint Hospitals, Inc. (a)(b)....................... 1,836 59,688 Omnicare, Inc. (b)............. 3,961 95,777 Owens & Minor, Inc. ........... 1,377 59,115 Universal Health Services, Inc. (Class B) (b)................ 3,084 94,062 ----------- 389,598 ----------- HOTELS, RESTAURANTS & LEISURE -- 1.0% Brinker International, Inc. ... 3,346 49,922 International Speedway Corp. (Class A).................... 908 25,833 Royal Caribbean Cruises, Ltd. (a)(b)....................... 4,504 113,861 ----------- 189,616 ----------- HOUSEHOLD DURABLES -- 5.2% Leggett & Platt, Inc. (b)...... 5,099 104,020 Lennar Corp. (Class A) (b)..... 5,312 67,834 M.D.C. Holdings, Inc. (b)...... 1,208 37,496 Mohawk Industries, Inc. (a)(b)....................... 1,851 88,108 Newell Rubbermaid, Inc. (b).... 9,353 140,389 The Black & Decker Corp. (b)... 2,010 130,308 Toll Brothers, Inc. (a)(b)..... 4,405 82,858 Tupperware Brands Corp. ....... 2,099 97,750 Whirlpool Corp. (b)............ 2,464 198,746 ----------- 947,509 ----------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.6% Dynegy, Inc. (Class A) (a)(b).. 16,729 30,280 Mirant Corp. (a)............... 4,834 73,815 ----------- 104,095 ----------- INDUSTRIAL CONGLOMERATES -- 1.3% Carlisle Cos., Inc. (b)........ 2,046 70,096 Textron, Inc. (b).............. 9,058 170,381 ----------- 240,477 ----------- INSURANCE -- 13.8% Alleghany Corp. (a)............ 214 59,064 Allied World Assurance Company Holdings, Ltd. (b)........... 1,365 62,886 American Financial Group, Inc. ........................ 2,556 63,772 American International Group, Inc. (a)(b).................. 3,960 118,721 American National Insurance Co. (b).......................... 533 63,662 Arthur J. Gallagher & Co. (b).. 3,346 75,319 Aspen Insurance Holdings, Ltd. ........................ 2,523 64,210 Assurant, Inc. (b)............. 3,952 116,505 Assured Guaranty, Ltd. ........ 4,199 91,370 Endurance Specialty Holdings, Ltd. (b)..................... 1,688 62,844 Erie Indemnity Co. (Class A) (b).......................... 1,062 41,439 Fidelity National Financial, Inc. (Class A) (b)........... 7,669 103,225 First American Corp. (b)....... 4,047 133,996 Genworth Financial, Inc. (Class A) (a)(b).................... 16,111 182,860 HCC Insurance Holdings, Inc. (b).......................... 3,733 104,412 Markel Corp. (a)(b)............ 329 111,860 Mercury General Corp. (b)...... 882 34,627 Montpelier Re Holdings, Ltd. (b).......................... 2,602 45,067 Old Republic International Corp. (b).................... 7,557 75,872 OneBeacon Insurance Group, Ltd. (Class A) (b)................ 730 10,060 Platinum Underwriters Holdings, Ltd. (b)..................... 1,646 63,025 ProAssurance Corp. (a)(b)...... 1,094 58,759 Reinsurance Group of America, Inc. ........................ 2,439 116,218 RenaissanceRe Holdings, Ltd. .. 2,089 111,030 StanCorp Financial Group, Inc. (b).......................... 1,621 64,873 The Hanover Insurance Group, Inc. (b)..................... 1,677 74,509 Torchmark Corp. (b)............ 2,773 121,873 Transatlantic Holdings, Inc. .. 1,902 99,113 Validus Holdings, Ltd. (b)..... 3,168 85,346 Wesco Financial Corp. ......... 49 16,807 White Mountains Insurance Group, Ltd. (b).............. 256 85,161 ----------- 2,518,485 ----------- IT SERVICES -- 0.3% CACI International, Inc. (Class A) (a)(b).................... 1,006 49,143 ----------- LIFE SCIENCES TOOLS & SERVICES -- 0.3% Bio-Rad Laboratories, Inc. (Class A) (a)................ 643 62,024 ----------- MACHINERY -- 4.1% Crane Co. (b).................. 1,700 52,054 Graco, Inc. (b)................ 1,985 56,711 IDEX Corp. (b)................. 2,705 84,261 Kennametal, Inc. (b)........... 2,689 69,699 Pentair, Inc. ................. 3,294 106,396 Snap-On, Inc. (b).............. 1,925 81,351 SPX Corp. (b).................. 1,643 89,872 The Stanley Works (b).......... 2,696 138,871 The Timken Co. (b)............. 2,554 60,555 ----------- 739,770 ----------- MEDIA -- 1.3% Interactive Data Corp. ........ 1,204 30,461 Regal Entertainment Group (b).. 2,613 37,732 Virgin Media, Inc. (b)......... 9,799 164,917 ----------- 233,110 ----------- METALS & MINING -- 1.1% Allegheny Technologies, Inc. (b).......................... 3,074 137,623 Commercial Metals Co. (b)...... 3,714 58,124 ----------- 195,747 ----------- MULTI-UTILITIES -- 5.0% Alliant Energy Corp. (b)....... 3,670 111,054 CMS Energy Corp. (b)........... 7,602 119,047 Integrys Energy Group, Inc. (b).......................... 2,562 107,578 NiSource, Inc. (b)............. 9,181 141,204
See accompanying notes to financial statements. SPDR DOW JONES MID CAP VALUE ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- NSTAR (b)...................... 3,576 $ 131,597 OGE Energy Corp. .............. 3,219 118,749 TECO Energy, Inc. (b).......... 6,667 108,139 Vectren Corp. ................. 2,714 66,982 ----------- 904,350 ----------- MULTILINE RETAIL -- 0.4% Big Lots, Inc. (a)(b).......... 2,768 80,217 ----------- OIL, GAS & CONSUMABLE FUELS -- 2.9% BP Prudhoe Bay Royalty Trust (b).......................... 708 58,622 Forest Oil Corp. (a)(b)........ 3,396 75,561 Pioneer Natural Resources Co. (b).......................... 3,821 184,058 Southern Union Co. (b)......... 3,497 79,382 Sunoco, Inc. (b)............... 3,941 102,860 Teekay Corp. (b)............... 1,417 32,889 ----------- 533,372 ----------- PAPER & FOREST PRODUCTS -- 0.8% MeadWestvaco Corp. ............ 5,007 143,350 ----------- PERSONAL PRODUCTS -- 0.5% Alberto-Culver Co. (b)......... 2,937 86,025 ----------- PHARMACEUTICALS -- 0.6% King Pharmaceuticals, Inc. (a)(b)....................... 8,247 101,191 ----------- REAL ESTATE INVESTMENT TRUSTS -- 13.1% Alexandria Real Estate Equities, Inc. (b)........... 1,454 93,478 AMB Property Corp. (b)......... 4,901 125,221 Camden Property Trust (b)...... 2,149 91,053 Douglas Emmett, Inc. (b)....... 4,017 57,242 Duke Realty Corp. (b).......... 7,503 91,312 Essex Property Trust, Inc. (b).......................... 976 81,642 Federal Realty Investment Trust (b).......................... 2,042 138,284 Highwoods Properties, Inc. (b).......................... 2,375 79,206 Hospitality Properties Trust... 4,094 97,069 Kimco Realty Corp. (b)......... 13,466 182,195 Liberty Property Trust......... 3,742 119,781 Mack-Cali Realty Corp. (b)..... 2,626 90,781 MFA Financial, Inc. (b)........ 9,141 67,186 National Retail Properties, Inc. (b)..................... 2,762 58,610 Nationwide Health Properties, Inc. (b)..................... 3,762 132,347 OMEGA Healthcare Investors, Inc. (b)..................... 2,853 55,491 ProLogis (b)................... 15,861 217,137 Rayonier, Inc. ................ 2,628 110,796 Realty Income Corp. (b)........ 3,495 90,555 Regency Centers Corp. (b)...... 2,960 103,778 Senior Housing Properties Trust (b).......................... 4,256 93,079 UDR, Inc. (b).................. 5,122 84,206 Washington Real Estate Investment Trust (b)......... 2,002 55,155 Weingarten Realty Investors.... 4,009 79,338 ----------- 2,394,942 ----------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 1.1% Brookfield Properties Corp. (b).......................... 8,618 104,450 The St. Joe Co. (a)(b)......... 3,074 88,808 ----------- 193,258 ----------- ROAD & RAIL -- 0.6% Ryder Systems, Inc. (b)........ 1,864 76,741 Werner Enterprises, Inc. (b)... 1,714 33,920 ----------- 110,661 ----------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 0.3% Intersil Corp. (Class A) (b)... 4,042 62,004 ----------- SOFTWARE -- 1.2% Compuware Corp. (a)(b)......... 7,854 56,784 Novell, Inc. (a)............... 11,417 47,381 Synopsys, Inc. (a)............. 4,885 108,838 ----------- 213,003 ----------- SPECIALTY RETAIL -- 2.3% AutoNation, Inc. (a)(b)........ 2,495 47,779 Foot Locker, Inc. (b).......... 5,122 57,059 Limited Brands, Inc. (b)....... 9,216 177,316 RadioShack Corp. (b)........... 4,192 81,744 Rent-A-Center, Inc. (a)(b)..... 2,213 39,214 The Buckle, Inc. (b)........... 857 25,093 ----------- 428,205 ----------- THRIFTS & MORTGAGE FINANCE -- 1.0% Capitol Federal Financial (b).. 689 21,676 First Niagara Financial Group, Inc. ........................ 6,139 85,394 Washington Federal, Inc. ...... 3,763 72,776 ----------- 179,846 ----------- TRADING COMPANIES & DISTRIBUTORS -- 0.2% GATX Corp. (b)................. 1,340 38,525 ----------- WATER UTILITIES -- 0.4% Aqua America, Inc. (b)......... 4,541 79,513 ----------- WIRELESS TELECOMMUNICATION SERVICES -- 0.7% Telephone & Data Systems, Inc. ........................ 3,258 110,511 US Cellular Corp. (a).......... 502 21,290 ----------- 131,801 ----------- TOTAL COMMON STOCKS -- (Cost $17,570,357)........... 18,180,002 ----------- SHORT TERM INVESTMENTS -- 29.0% MONEY MARKET FUNDS -- 29.0% State Street Institutional Liquid Reserves Fund (c)..... 18,494 18,494 State Street Navigator Securities Lending Prime Portfolio (c)(d)............. 5,265,707 5,265,707 ----------- TOTAL SHORT TERM INVESTMENTS -- (Cost $5,284,201)............ 5,284,201 ----------- TOTAL INVESTMENTS -- 128.7% (E) (Cost $22,854,558)........... 23,464,203 OTHER ASSETS AND LIABILITIES -- (28.7)%....... (5,238,998) ----------- NET ASSETS -- 100.0%........... $18,225,205 ===========
(a) Non-income producing security. (b) Security, or portion thereof, was on loan at December 31, 2009. (c) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (d) Investments of cash collateral for securities loaned. (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (Note 2) See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.8% AEROSPACE & DEFENSE -- 1.5% AAR Corp. (a)(b).............. 1,281 $ 29,437 Aerovironment, Inc. (a)(b).... 528 15,354 American Science & Engineering, Inc. (b)....... 299 22,676 Applied Signal Technology, Inc. (b).................... 438 8,449 Argon ST, Inc. (a)............ 414 8,992 BE Aerospace, Inc. (a)(b)..... 3,141 73,813 Ceradyne, Inc. (a)(b)......... 863 16,578 Cubic Corp. (b)............... 500 18,650 Curtiss-Wright Corp. (b)...... 1,461 45,759 DigitalGlobe, Inc. (a)(b)..... 1,064 25,749 Ducommun, Inc. (b)............ 349 6,530 DynCorp International, Inc. (a)(b)...................... 784 11,250 Esterline Technologies Corp. (a)......................... 1,010 41,178 GenCorp, Inc. (a)(b).......... 1,826 12,782 GeoEye, Inc. (a)(b)........... 651 18,150 Heico Corp. (Class A)......... 657 23,626 Hexcel Corp. (a)(b)........... 3,110 40,368 Ladish Co., Inc. (a)(b)....... 439 6,620 Moog, Inc. (Class A) (a)(b)... 1,272 37,181 Orbital Sciences Corp. (a)(b)...................... 1,813 27,666 Stanley, Inc. (a)(b).......... 633 17,351 Taser International, Inc. (a)(b)...................... 1,925 8,431 Teledyne Technologies, Inc. (a)(b)...................... 1,188 45,572 TransDigm Group, Inc. (b)..... 1,200 56,988 Triumph Group, Inc. (b)....... 548 26,441 ------------ 645,591 ------------ AIR FREIGHT & LOGISTICS -- 0.3% Atlas Air Worldwide Holdings, Inc. (a)(b)................. 519 19,333 Forward Air Corp. (b)......... 950 23,797 HUB Group, Inc. (Class A) (a)......................... 1,242 33,323 Pacer International, Inc. (a)(b)...................... 1,050 3,318 UTI Worldwide, Inc. .......... 3,244 46,454 ------------ 126,225 ------------ AIRLINES -- 1.0% AirTran Holdings, Inc. (a)(b)...................... 4,543 23,714 Alaska Air Group, Inc. (a).... 1,180 40,781 Allegiant Travel Co. (a)(b)... 445 20,991 AMR Corp. (a)(b).............. 10,592 81,876 Continental Airlines, Inc. (Class B) (a)(b)............ 4,437 79,511 Hawaiian Holdings, Inc. (a)(b)...................... 1,629 11,403 JetBlue Airways Corp. (a)(b).. 8,357 45,546 Republic Airways Holdings, Inc. (a)(b)................. 1,065 7,870 SkyWest, Inc. (b)............. 1,868 31,607 UAL Corp. (a)(b).............. 5,346 69,017 US Airways Group, Inc. (a)(b)...................... 4,987 24,137 ------------ 436,453 ------------ AUTO COMPONENTS -- 1.1% ArvinMeritor, Inc. (a)(b)..... 2,396 26,787 Cooper Tire & Rubber Co. (b).. 1,893 37,955 Dana Holding Corp. (a)(b)..... 4,652 50,428 Drew Industries, Inc. (a)(b).. 598 12,349 Exide Technologies (a)(b)..... 1,772 12,599 Federal-Mogul Corp. (Class A) (a)(b)...................... 761 13,165 Fuel Systems Solutions, Inc. (a)(b)...................... 468 19,300 Gentex Corp. ................. 4,549 81,200 Lear Corp. (a)................ 1,107 74,877 Raser Technologies, Inc. (a)(b)...................... 1,423 1,764 Superior Industries International, Inc. (b)..... 659 10,083 Tenneco, Inc. (a)(b).......... 1,887 33,456 TRW Automotive Holdings Corp. (a)(b)...................... 2,262 54,017 WABCO Holdings, Inc. ......... 2,034 52,457 ------------ 480,437 ------------ AUTOMOBILES -- 0.1% Thor Industries, Inc. (b)..... 1,251 39,282 Winnebago Industries, Inc. (a)(b)...................... 872 10,638 ------------ 49,920 ------------ BEVERAGES -- 0.2% Boston Beer Co., Inc. (Class A) (a)...................... 300 13,980 Central European Distribution Corp. (a)(b)................ 1,928 54,775 Coca-Cola Hellenic Bottling Co. SA (b).................. 120 6,482 National Beverage Corp. (a)(b)...................... 314 4,352 ------------ 79,589 ------------ BIOTECHNOLOGY -- 3.0% Abraxis BioScience, Inc. (a)(b)...................... 200 8,110 Acorda Therapeutics, Inc. (a)(b)...................... 1,230 31,021 Affymax, Inc. (a)(b).......... 463 11,455 Alkermes, Inc. (a)(b)......... 3,092 29,096 Allos Therapeutics, Inc. (a)(b)...................... 2,518 16,543 Alnylam Pharmaceuticals, Inc. (a)(b)...................... 1,175 20,703 AMAG Pharmaceuticals, Inc. (a)(b)...................... 537 20,422 Amicus Therapeutics, Inc. (a)(b)...................... 289 1,147 Arena Pharmaceuticals, Inc. (a)(b)...................... 3,068 10,891 Ariad Pharmaceuticals, Inc. (a)(b)...................... 3,760 8,573 ArQule, Inc. (a)(b)........... 1,058 3,904 Array BioPharma, Inc. (a)(b).. 1,613 4,532 BioCryst Pharmaceuticals, Inc. (a)(b)...................... 826 5,336 BioMarin Pharmaceutical, Inc. (a)(b)...................... 3,208 60,342 Celera Corp. (a)(b)........... 2,647 18,291 Cell Therapeutics, Inc. (a)(b)...................... 19,534 22,269 Cepheid, Inc. (a)(b).......... 1,934 24,136 Clinical Data, Inc. (a)(b).... 557 10,171 Cubist Pharmaceuticals, Inc. (a)(b)...................... 1,873 35,531 Emergent Biosolutions, Inc. (a)(b)...................... 506 6,877 Enzon Pharmaceuticals, Inc. (a)(b)...................... 1,219 12,836 Exelixis, Inc. (a)(b)......... 3,508 25,854 Facet Biotech Corp. (a)(b).... 738 12,974 Genomic Health, Inc. (a)(b)... 485 9,487 Geron Corp. (a)(b)............ 2,860 15,873 GTX, Inc. (a)(b).............. 486 2,041 Halozyme Therapeutics, Inc. (a)(b)...................... 2,538 14,898 Human Genome Sciences, Inc. (a)(b)...................... 5,923 181,244 Idenix Pharmaceuticals, Inc. (a)(b)...................... 726 1,561 Immunogen, Inc. (a)(b)........ 1,747 13,731 Immunomedics, Inc. (a)(b)..... 2,248 7,216 Incyte Corp. (a)(b)........... 3,677 33,497 InterMune, Inc. (a)(b)........ 1,148 14,970 Isis Pharmaceuticals, Inc. (a)(b)...................... 2,962 32,878 Lexicon Pharmaceuticals, Inc. (a)(b)...................... 4,372 7,432 Ligand Pharmaceuticals, Inc. (Class B) (a)(b)............ 3,108 6,744 MannKind Corp. (a)(b)......... 2,081 18,230 Martek Biosciences Corp. (a)(b)...................... 1,046 19,811 Maxygen, Inc. (a)(b).......... 895 5,451
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Medivation, Inc. (a).......... 1,098 $ 41,340 Metabolix, Inc. (a)(b)........ 692 7,660 Micromet, Inc. (a)(b)......... 2,242 14,932 Momenta Pharmaceuticals, Inc. (a)(b)...................... 1,320 16,645 Nabi Biopharmaceuticals (a)(b)...................... 1,763 8,639 Neurocrine Biosciences, Inc. (a)(b)...................... 1,132 3,079 Novavax, Inc. (a)(b).......... 2,572 6,841 NPS Pharmaceuticals, Inc. (a)(b)...................... 1,618 5,501 Onyx Pharmaceuticals, Inc. (a)(b)...................... 1,926 56,509 Opko Health, Inc. (a)(b)...... 4,263 7,801 Orexigen Therapeutics, Inc. (a)(b)...................... 980 7,291 Osiris Therapeutics, Inc. (a)(b)...................... 557 3,977 PDL BioPharma, Inc. (b)....... 3,902 26,768 Pharmasset, Inc. (a)(b)....... 763 15,794 Progenics Pharmaceuticals, Inc. (a)(b)................. 788 3,499 Regeneron Pharmaceuticals, Inc. (a)(b)................. 2,032 49,134 Rigel Pharmaceuticals, Inc. (a)(b)...................... 1,585 15,073 Sangamo Biosciences, Inc. (a)(b)...................... 1,134 6,713 Savient Pharmaceuticals, Inc. (a)(b)...................... 1,937 26,363 Seattle Genetics, Inc. (a)(b)...................... 2,548 25,888 SIGA Technologies, Inc. (a)(b)...................... 1,006 5,835 StemCells, Inc. (a)(b)........ 3,237 4,079 Synta Pharmaceuticals Corp. (a)(b)...................... 271 1,371 Targacept, Inc. (a)(b)........ 630 13,180 Theravance, Inc. (a)(b)....... 1,711 22,363 United Therapeutics Corp. (a)(b)...................... 1,537 80,923 Vanda Pharmaceuticals, Inc. (a)(b)...................... 787 8,846 Zymogenetics, Inc. (a)(b)..... 1,086 6,940 ------------ 1,279,062 ------------ BUILDING PRODUCTS -- 0.7% AAON, Inc. (b)................ 480 9,355 American Woodmark Corp. (b)... 284 5,589 Ameron International Corp. (b)......................... 290 18,403 Apogee Enterprises, Inc. (b).. 849 11,886 Armstrong World Industries, Inc. (a)(b)................. 654 25,460 Builders FirstSource, Inc. (a)(b)...................... 650 159 Builders FirstSource, Inc. (a)(b)...................... 1,783 6,865 Gibraltar Industries, Inc. (a)......................... 814 12,804 Griffon Corp. (a)(b).......... 1,644 20,090 Lennox International, Inc. (b)......................... 1,728 67,461 Quanex Building Products Corp. (b)......................... 1,303 22,112 Simpson Manufacturing Co., Inc. (b).................... 1,237 33,263 Trex Co., Inc. (a)(b)......... 498 9,761 Universal Forest Products, Inc. (b).................... 607 22,344 USG Corp. (a)(b).............. 2,255 31,683 ------------ 297,235 ------------ CAPITAL MARKETS -- 1.8% Artio Global Investors, Inc. (a)......................... 824 21,004 BGC Partners, Inc. (Class A) (b)......................... 1,008 4,657 Broadpoint Gleacher Securities, Inc. (a)(b)..... 2,228 9,937 Calamos Asset Management, Inc. (Class A) (b)............... 594 6,849 Cohen & Steers, Inc. (b)...... 671 15,326 Duff & Phelps Corp. (Class A) (b)......................... 814 14,864 E*TRADE Financial Corp. (a)(b)...................... 61,119 106,958 Evercore Partners, Inc. (Class A) (b)...................... 528 16,051 FBR Capital Markets Corp. (a)(b)...................... 1,409 8,708 GAMCO Investors, Inc. (Class A) (b)...................... 124 5,988 GFI Group, Inc. (b)........... 1,964 8,975 GLG Partners, Inc. (a)(b)..... 5,421 17,456 Greenhill & Co., Inc. (b)..... 811 65,075 Investment Technology Group, Inc. (a)(b)................. 1,415 27,875 Janus Capital Group, Inc. (b)......................... 5,908 79,463 KBW, Inc. (a)(b).............. 1,098 30,041 Knight Capital Group, Inc. (Class A) (a)(b)............ 2,970 45,738 LaBranche & Cos., Inc. (a)(b)...................... 1,674 4,754 MF Global, Ltd. (a)(b)........ 3,173 22,052 optionsXpress Holdings, Inc. (b)......................... 1,430 22,094 Penson Worldwide, Inc. (a)(b)...................... 630 5,708 Piper Jaffray Co., Inc. (a)(b)...................... 639 32,340 Pzena Investment Management, Inc. (Class A) (a)(b)....... 171 1,392 Riskmetrics Group, Inc. (a)(b)...................... 1,020 16,228 Stifel Financial Corp. (a)(b)...................... 1,025 60,721 SWS Group, Inc. (b)........... 942 11,398 Teton Advisors, Inc. (Class B) (a)(c)...................... 1 2 Thomas Weisel Partners Group, Inc. (a)(b)................. 663 2,506 TradeStation Group, Inc. (a)(b)...................... 1,043 8,229 Waddell & Reed Financial, Inc. (Class A)................... 2,767 84,504 Westwood Holdings Group, Inc. (b)......................... 203 7,377 ------------ 764,270 ------------ CHEMICALS -- 2.5% A. Schulman, Inc. ............ 708 14,287 American Vanguard Corp. (b)... 629 5,221 Arch Chemicals, Inc. (b)...... 775 23,932 Ashland, Inc. (b)............. 2,196 87,006 Balchem Corp. (b)............. 555 18,598 Cabot Corp. .................. 1,660 43,542 Calgon Carbon Corp. (a)(b).... 1,777 24,700 Cytec Industries, Inc. (b).... 1,564 56,961 Ferro Corp. (b)............... 2,659 21,910 H.B. Fuller Co. .............. 1,587 36,104 Huntsman Corp. (b)............ 5,268 59,476 Innophos Holdings, Inc. ...... 577 13,265 Koppers Holdings, Inc. (b).... 697 21,217 Kronos Worldwide, Inc. (a)(b)...................... 97 1,576 LSB Industries, Inc. (a)(b)... 581 8,192 Minerals Technologies, Inc. (b)......................... 616 33,554 Nalco Holding Co. (b)......... 4,524 115,407 NewMarket Corp. (b)........... 348 39,940 NL Industries, Inc. (b)....... 222 1,541 Olin Corp. (b)................ 2,247 39,367 OM Group, Inc. (a)(b)......... 1,002 31,453 PolyOne Corp. (a)(b).......... 2,876 21,484 Rockwood Holdings, Inc. (a)... 1,613 38,002 RPM International, Inc. (b)... 4,243 86,260 Sensient Technologies Corp. (b)......................... 1,559 41,002 Solutia, Inc. (a)............. 3,840 48,768 Spartech Corp. (b)............ 915 9,388 Stepan Co. (b)................ 258 16,721 STR Holdings, Inc. (a)........ 399 6,268 Valhi, Inc. (b)............... 346 4,834 W.R. Grace & Co. (a)(b)....... 1,920 48,672 Westlake Chemical Corp. (b)... 594 14,808
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Zep, Inc. (b)................. 638 $ 11,050 Zoltek Cos., Inc. (a)(b)...... 832 7,904 ------------ 1,052,410 ------------ COMMERCIAL BANKS -- 5.5% 1st Source Corp. (b).......... 421 6,774 Arrow Financial Corp. (b)..... 366 9,150 Associated Ban-Corp. (b)...... 3,788 41,706 Bancfirst Corp. (b)........... 225 8,334 BancorpSouth, Inc. (b)........ 2,510 58,885 Bank of Hawaii Corp. (b)...... 1,579 74,308 Bank of the Ozarks, Inc. (b).. 380 11,123 Boston Private Financial Holdings, Inc. (b).......... 2,327 13,427 Camden National Corp. (b)..... 259 8,469 Capital City Bank Group, Inc. (b)......................... 388 5,370 CapitalSource, Inc. (b)....... 8,464 33,602 Capitol Bancorp, Ltd. (b)..... 482 945 Cathay General Bancorp (b).... 1,860 14,043 Chemical Financial Corp. (b).. 737 17,378 City Holding Co. (b).......... 493 15,939 CoBiz Financial, Inc. (b)..... 727 3,453 Columbia Banking System, Inc. (b)......................... 807 13,057 Community Bank System, Inc. (b)......................... 1,013 19,561 Community Trust Bancorp, Inc. (b)......................... 457 11,174 CVB Financial Corp. (b)....... 3,093 26,724 Danvers Bancorp, Inc. (b)..... 610 7,924 East West Bancorp, Inc. (b)... 2,944 46,515 F.N.B. Corp. (b).............. 3,576 24,281 First Bancorp- North Carolina (b)......................... 499 6,971 First BanCorp- Puerto Rico (b)......................... 2,350 5,405 First Busey Corp. (b)......... 1,997 7,768 First Citizens BancShares, Inc. (Class A) (b).......... 191 31,326 First Commonwealth Financial Corp. (b)................... 2,563 11,918 First Community Bancshares, Inc. (b).................... 562 6,772 First Financial Bancorp (b)... 1,761 25,640 First Financial Bankshares, Inc. (b).................... 658 35,683 First Financial Corp. (b)..... 319 9,736 First Merchants Corp. (b)..... 671 3,986 First Midwest Bancorp, Inc. (b)......................... 1,484 16,161 FirstMerit Corp. (b).......... 2,765 55,687 Fulton Financial Corp. (b).... 5,660 49,355 Glacier Bancorp, Inc. (b)..... 1,960 26,891 Great Southern Bancorp, Inc. (b)......................... 376 8,031 Guaranty Bancorp (a)(b)....... 1,529 2,018 Hampton Roads Bankshares, Inc. (b)......................... 768 1,329 Hancock Holding Co. (b)....... 994 43,527 Harleysville National Corp. (b)......................... 1,264 8,140 Heartland Financial USA, Inc. (b)......................... 505 7,247 Home Bancshares, Inc. (b)..... 721 17,354 Hudson Valley Holding Corp. .. 398 9,815 Huntington Bancshares, Inc. (b)......................... 22,979 83,873 IBERIABANK Corp. (b).......... 656 35,299 Independent Bank Corp. -- Massachusetts (b).. 654 13,662 International Bancshares Corp. (b)......................... 1,737 32,881 Investors Bancorp, Inc. (a)(b)...................... 1,375 15,043 Lakeland Financial Corp. (b).. 393 6,779 Marshall & Ilsley Corp. (b)... 16,533 90,105 MB Financial, Inc. (b)........ 1,559 30,744 Nara Bancorp, Inc. (a)(b)..... 1,159 13,143 National Penn Bancshares, Inc. (b)......................... 4,092 23,693 NBT Bancorp, Inc. (b)......... 1,080 22,000 Northfield Bancorp, Inc. (b).. 613 8,288 Old National Bancorp (b)...... 2,702 33,586 Oriental Financial Group, Inc. (b)......................... 875 9,450 Orrstown Financial Services, Inc. (b).................... 177 6,174 Pacific Capital Bancorp (b)... 1,398 1,342 PacWest Bancorp (b)........... 785 15,818 Park National Corp. (b)....... 371 21,844 Pinnacle Financial Partners, Inc. (a)(b)................. 1,072 15,244 Popular, Inc. ................ 21,218 47,953 PrivateBancorp, Inc. (b)...... 2,208 19,806 Prosperity Bancshares, Inc. (b)......................... 1,495 60,503 Renasant Corp. (b)............ 633 8,609 Republic Bancorp, Inc.- Kentucky (b)................ 304 6,262 S&T Bancorp, Inc. (b)......... 901 15,326 S.Y. Bancorp, Inc. (b)........ 360 7,686 Sandy Spring Bancorp, Inc. (b)......................... 519 4,614 Santander Bancorp (a)(b)...... 161 1,977 SCBT Financial Corp. (b)...... 397 10,993 Signature Bank (a)(b)......... 1,289 41,119 Simmons First National Corp. (b)......................... 500 13,900 South Financial Group, Inc. (b)......................... 5,108 3,293 Southside Bancshares, Inc. (b)......................... 468 9,182 StellarOne Corp. (b).......... 751 7,480 Sterling Bancorp (b).......... 575 4,106 Sterling Bancshares, Inc. (b)......................... 2,557 13,117 Sterling Financial Corp. (a)(b)...................... 1,573 975 Suffolk Bancorp (b)........... 290 8,613 Sun Bancorp, Inc. (a)(b)...... 581 2,179 Susquehanna Bancshares, Inc. (b)......................... 2,805 16,521 SVB Financial Group (a)(b).... 1,318 54,947 Synovus Financial Corp. (b)... 13,755 28,198 TCF Financial Corp. (b)....... 3,836 52,246 Texas Capital Bancshares, Inc. (a)(b)...................... 1,142 15,942 Tompkins Trustco, Inc. (b).... 236 9,558 TowneBank (b)................. 749 8,748 Trico Bancshares (b).......... 449 7,476 Trustmark Corp. (b)........... 1,873 42,217 UMB Financial Corp. (b)....... 1,137 44,741 Umpqua Holdings Corp. (b)..... 2,774 37,199 Union Bankshares Corp. (b).... 690 8,549 United Bankshares, Inc. (b)... 1,409 28,138 United Community Banks, Inc. (a)(b)...................... 2,737 9,278 Univest Corp. of Pennsylvania (b)......................... 466 8,169 Valley National Bancorp (b)... 4,703 66,453 Washington Trust Bancorp, Inc. (b)......................... 467 7,276 Webster Financial Corp. (b)... 2,239 26,577 WesBanco, Inc. (b)............ 778 9,601 Westamerica Bancorporation (b)......................... 942 52,159 Western Alliance Bancorp (a)(b)...................... 2,222 8,399 Whitney Holding Corp. (b)..... 3,086 28,113 Wilmington Trust Corp. (b).... 2,230 27,518 Wintrust Financial Corp. (b).. 816 25,125 Zions Bancorporation (b)...... 4,525 58,056 ------------ 2,310,767 ------------ COMMERCIAL SERVICES & SUPPLIES -- 1.9% ABM Industries, Inc. (b)...... 1,468 30,329 ACCO Brands Corp. (a)(b)...... 1,640 11,939 American Ecology Corp. (b).... 498 8,486 American Reprographics Co. (a)(b)...................... 1,182 8,286
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- APAC Customer Services, Inc. (a)(b)...................... 1,048 $ 6,246 ATC Technology Corp. (a)(b)... 618 14,739 Bowne & Co., Inc. (b)......... 1,351 9,025 Cenveo, Inc. (a)(b)........... 1,884 16,485 Clean Harbors, Inc. (a)(b).... 732 43,635 Consolidated Graphics, Inc. (a)(b)...................... 299 10,471 Cornell Companies, Inc. (a)(b)...................... 399 9,057 Courier Corp. (b)............. 326 4,646 Deluxe Corp. (b).............. 1,613 23,856 EnergySolutions, Inc. (b)..... 2,562 21,751 EnerNOC, Inc. (a)(b).......... 560 17,018 Ennis, Inc. (b)............... 772 12,962 Fuel Tech, Inc. (a)........... 555 4,534 G & K Services, Inc. (Class A) (b)......................... 587 14,751 Healthcare Services Group, Inc. (b).................... 1,276 27,383 Herman Miller, Inc. (b)....... 1,780 28,445 HNI Corp. (b)................. 1,245 34,399 Innerworkings, Inc. (a)(b).... 888 5,239 Interface, Inc. (Class A) (b)......................... 1,639 13,620 KAR Auction Services, Inc. (a)......................... 741 10,218 Kimball International, Inc. (Class B) (b)............... 764 6,509 Knoll, Inc. (b)............... 1,460 15,082 M&F Worldwide Corp. (a)....... 376 14,852 McGrath Rentcorp (b).......... 786 17,575 Metalico, Inc. (a)(b)......... 1,285 6,322 Mine Safety Appliances Co. (b)......................... 1,037 27,512 Mobile Mini, Inc. (a)(b)...... 1,175 16,556 RINO International Corp. (a)(b)...................... 255 7,051 Rollins, Inc. (b)............. 1,687 32,525 Schawk, Inc. (b).............. 391 5,318 Standard Parking Corp. (a)(b)...................... 251 3,986 Steelcase, Inc. (Class A) (b)......................... 1,978 12,580 Sykes Enterprises, Inc. (a)... 1,145 29,163 Team, Inc. (a)(b)............. 563 10,590 Tetra Tech, Inc. (a)(b)....... 1,939 52,683 The Brink's Co. .............. 1,567 38,141 The Geo Group, Inc. (a)(b).... 1,666 36,452 The Standard Register Co. (b)......................... 582 2,968 United Stationers, Inc. (a)... 773 43,945 Viad Corp. (b)................ 693 14,297 ------------ 781,627 ------------ COMMUNICATIONS EQUIPMENT -- 2.6% 3Com Corp. (a)(b)............. 12,810 96,075 Acme Packet, Inc. (a)(b)...... 965 10,615 ADC Telecommunications, Inc. (a)(b)...................... 3,054 18,965 Adtran, Inc. (b).............. 2,026 45,686 Airvana, Inc. (a)(b).......... 995 7,562 Anaren, Inc. (a)(b)........... 509 7,660 Arris Group, Inc. (a)(b)...... 4,006 45,789 Aruba Networks, Inc. (a)(b)... 2,052 21,874 Bel Fuse, Inc. (Class B)...... 336 7,221 BigBand Networks, Inc. (a)(b)...................... 1,253 4,310 Black Box Corp. (b)........... 561 15,899 Blue Coat Systems, Inc. (a)(b)...................... 1,260 35,960 CIENA Corp. (a)(b)............ 2,964 32,130 CommScope, Inc. (a)(b)........ 3,060 81,182 Comtech Telecommunications Corp. (a)(b)................ 949 33,262 DG Fastchannel, Inc. (a)(b)... 581 16,227 Digi International, Inc. (a)(b)...................... 861 7,852 EchoStar Corp. (Class A) (a).. 1,328 26,746 EMS Technologies, Inc. (a).... 511 7,410 Emulex Corp. (a)(b)........... 2,720 29,648 Extreme Networks, Inc. (a)(b)...................... 2,846 8,168 Finisar Corp. (a)(b).......... 2,029 18,099 Harmonic, Inc. (a)(b)......... 3,123 19,769 Harris Stratex Networks, Inc. (Class A) (a)(b)............ 1,906 13,170 Hughes Communications, Inc. (a)(b)...................... 263 6,846 Infinera Corp. (a)(b)......... 3,085 27,364 InterDigital, Inc. (a)(b)..... 1,414 37,528 Ixia (a)(b)................... 1,081 8,043 JDS Uniphase Corp. (a)........ 6,837 56,405 Loral Space & Communications, Inc. (a).................... 361 11,411 Netgear, Inc. (a)(b).......... 1,061 23,013 OpNext, Inc. (a)(b)........... 1,772 3,367 Palm, Inc. (a)(b)............. 4,703 47,218 Plantronics, Inc. (b)......... 1,566 40,685 Polycom, Inc. (a)(b).......... 2,747 68,593 Riverbed Technology, Inc. (a)(b)...................... 1,772 40,703 SeaChange International, Inc. (a)......................... 991 6,511 ShoreTel, Inc. (a)(b)......... 585 3,381 Sonus Networks, Inc. (a)(b)... 6,586 13,896 Sycamore Networks, Inc. (a)... 629 13,152 Tekelec (a)(b)................ 2,086 31,874 UTStarcom, Inc. (a)(b)........ 3,908 8,559 ViaSat, Inc. (a).............. 957 30,414 ------------ 1,090,242 ------------ COMPUTERS & PERIPHERALS -- 1.0% 3PAR, Inc. (a)(b)............. 1,070 12,679 Adaptec, Inc. (a)(b).......... 3,177 10,643 Avid Technology, Inc. (a)(b).. 885 11,293 Compellent Technologies, Inc. (a)(b)...................... 524 11,884 Diebold, Inc. (b)............. 2,168 61,680 Electronics for Imaging, Inc. (a)(b)...................... 1,565 20,361 Hutchinson Technology, Inc. (a)(b)...................... 705 7,233 Hypercom Corp. (a)............ 1,526 4,837 Imation Corp. (a)(b).......... 954 8,319 Intermec, Inc. (a)(b)......... 1,588 20,422 Isilon Systems, Inc. (a)(b)... 759 5,207 Lexmark International, Inc. (Class A) (a)(b)............ 2,536 65,885 Novatel Wireless, Inc. (a)(b)...................... 937 7,468 QLogic Corp. (a)(b)........... 3,804 71,781 Quantum Corp. (a)(b).......... 6,308 18,482 Silicon Graphics International Corp. (a)(b)................ 870 6,099 STEC, Inc. (a)(b)............. 1,152 18,824 Stratasys, Inc. (a)(b)........ 632 10,921 Synaptics, Inc. (a)(b)........ 1,080 33,102 ------------ 407,120 ------------ CONSTRUCTION & ENGINEERING -- 0.7% Comfort Systems USA, Inc. (b)......................... 1,318 16,264 Dycom Industries, Inc. (a)(b)...................... 1,214 9,748 EMCOR Group, Inc. (a)(b)...... 2,079 55,925 Furmanite Corp. (a)(b)........ 1,108 4,222 Granite Construction, Inc. (b)......................... 1,161 39,079 Great Lakes Dredge & Dock Corp. (b)................... 1,323 8,573 Insituform Technologies, Inc. (a)(b)...................... 1,294 29,400 Layne Christensen Co. (a)(b).. 679 19,494 Mastec, Inc. (a)(b)........... 1,594 19,925
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Michael Baker Corp. (a)(b).... 269 $ 11,137 MYR Group, Inc. (a)........... 617 11,155 Northwest Pipe Co. (a)(b)..... 275 7,387 Orion Marine Group, Inc. (a)(b)...................... 869 18,301 Pike Electric Corp. (a)(b).... 537 4,983 Primoris Services Corp. ...... 388 3,092 Sterling Construction Co., Inc. (a)(b)................. 449 8,612 Tutor Perini Corp. (a)(b)..... 838 15,151 ------------ 282,448 ------------ CONSTRUCTION MATERIALS -- 0.2% Eagle Materials, Inc. (b)..... 1,415 36,861 Headwaters, Inc. (a)(b)....... 1,810 11,801 Texas Industries, Inc. (b).... 768 26,872 ------------ 75,534 ------------ CONSUMER FINANCE -- 0.5% Advance America Cash Advance Centers, Inc. (b)........... 1,536 8,540 AmeriCredit Corp. (a)(b)...... 2,256 42,954 Cardtronics, Inc. (a)(b)...... 524 5,801 Cash America International, Inc. (b).................... 1,008 35,240 CompuCredit Holdings Corp. (b)......................... 950 3,164 Credit Acceptance Corp. (a)(b)...................... 205 8,630 Dollar Financial Corp. (a)(b)...................... 762 18,029 Ezcorp, Inc. (a)(b)........... 1,468 25,264 First Cash Financial Services, Inc. (a)(b)................. 889 19,727 Nelnet, Inc. (Class A) (b).... 864 14,887 The First Marblehead Corp. (a)(b)...................... 1,947 4,147 The Student Loan Corp. (b).... 120 5,588 World Acceptance Corp. (a)(b)...................... 447 16,016 ------------ 207,987 ------------ CONTAINERS & PACKAGING -- 0.8% Bway Holding Co. (a).......... 396 7,611 Graphic Packaging Holding Co. (a)(b)...................... 2,422 8,404 Greif, Inc. (Class A) (b)..... 1,099 59,324 Myers Industries, Inc. (b).... 1,090 9,919 Packaging Corp. of America (b)......................... 3,382 77,820 Rock-Tenn Co. (Class A) (b)... 1,257 63,366 Silgan Holdings, Inc. (b)..... 820 47,462 Temple-Inland, Inc. (b)....... 3,421 72,217 ------------ 346,123 ------------ DISTRIBUTORS -- 0.3% Audiovox Corp. (Class A) (a)(b)...................... 550 3,900 Core-Mark Holding Co., Inc. (a)(b)...................... 343 11,305 LKQ Corp. (a)(b).............. 4,602 90,153 ------------ 105,358 ------------ DIVERSIFIED CONSUMER SERVICES -- 1.1% American Public Education, Inc. (a)(b)................. 578 19,860 Bridgepoint Education, Inc. (a)(b)...................... 623 9,358 Brink's Home Security Holdings, Inc. (a)(b)....... 1,525 49,776 Cambium Learning Group, Inc. (a)......................... 820 3,215 Capella Education Co. (a)(b).. 470 35,391 Coinstar, Inc. (a)(b)......... 881 24,474 Corinthian Colleges, Inc. (a)(b)...................... 2,571 35,403 Grand Canyon Education, Inc. (a)(b)...................... 586 11,140 Hillenbrand, Inc. ............ 2,018 38,019 Jackson Hewitt Tax Service, Inc. (a)(b)................. 783 3,445 K12, Inc. (a)(b).............. 668 13,540 Lincoln Educational Services Corp. (a)(b)................ 300 6,501 Matthews International Corp. (Class A)................... 968 34,296 Pre-Paid Legal Services, Inc. (a)(b)...................... 240 9,859 Regis Corp. (b)............... 1,741 27,107 Service Corp. International (b)......................... 8,122 66,519 Sotheby's (b)................. 2,260 50,805 Steiner Leisure, Ltd. (a)(b).. 434 17,256 Stewart Enterprises, Inc. (Class A) (b)............... 2,542 13,091 Universal Technical Institute, Inc. (a).................... 659 13,312 ------------ 482,367 ------------ DIVERSIFIED FINANCIAL SERVICES -- 0.4% Asset Acceptance Capital Corp. (a)(b)...................... 385 2,610 Encore Capital Group, Inc. (a)(b)...................... 512 8,909 Financial Federal Corp. (b)... 849 23,347 Interactive Brokers Group, Inc. (Class A) (a).......... 1,321 23,408 Life Partners Holdings, Inc. (b)......................... 241 5,107 MarketAxess Holdings, Inc. (b)......................... 1,053 14,637 NewStar Financial, Inc. (a)... 766 3,003 PHH Corp. (a)(b).............. 1,770 28,515 Pico Holdings, Inc. (a)(b).... 605 19,802 Portfolio Recovery Associates, Inc. (a)(b)................. 522 23,427 ------------ 152,765 ------------ DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.8% AboveNet, Inc. (a)............ 696 45,268 Alaska Communications Systems Group, Inc. (b)............. 1,358 10,837 Atlantic Tele-Network, Inc. (b)......................... 288 15,843 Cbeyond, Inc. (a)(b).......... 838 13,198 Cincinnati Bell, Inc. (a)(b).. 6,928 23,902 Cogent Communications Group, Inc. (a)(b)................. 1,306 12,877 Consolidated Communications Holdings, Inc. (b).......... 703 12,303 General Communication, Inc. (Class A) (a)(b)............ 1,150 7,337 Global Crossing, Ltd. (a)(b).. 1,047 14,920 Iowa Telecommunications Services, Inc. (b).......... 973 16,307 Neutral Tandem, Inc. (a)(b)... 1,132 25,753 PAETEC Holding Corp. (a)...... 3,847 15,965 Premiere Global Services, Inc. (a)......................... 1,896 15,642 SureWest Communications (a)(b)...................... 439 4,372 tw telecom, inc. (a)(b)....... 4,809 82,426 ------------ 316,950 ------------ ELECTRIC UTILITIES -- 1.2% ALLETE, Inc. (b).............. 904 29,543 Central Vermont Public Service Corp. ...................... 350 7,280 Cleco Corp. (b)............... 1,947 53,212 El Paso Electric Co. (a)(b)... 1,410 28,595 Empire District Electric Co. (b)......................... 1,187 22,233 Great Plains Energy, Inc. (b)......................... 4,356 84,463 Hawaiian Electric Industries, Inc. (b).................... 2,946 61,571 IDACORP, Inc. (b)............. 1,591 50,832 MGE Energy, Inc. (b).......... 737 26,340
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- PNM Resources, Inc. (b)....... 2,570 $ 32,510 Portland General Electric Co. (b)......................... 2,403 49,045 UIL Holdings Corp. (b)........ 982 27,575 Unisource Energy Corp. (b).... 1,156 37,212 ------------ 510,411 ------------ ELECTRICAL EQUIPMENT -- 1.8% A.O. Smith Corp. (b).......... 779 33,801 A123 Systems, Inc. (a)(b)..... 871 19,545 Acuity Brands, Inc. (b)....... 1,443 51,429 Advanced Battery Technologies, Inc. (a)(b)................. 1,348 5,392 American Superconductor Corp. (a)(b)...................... 1,281 52,393 AZZ, Inc. (a)(b).............. 388 12,688 Baldor Electric Co. (b)....... 1,387 38,961 Belden CDT, Inc. (b).......... 1,539 33,735 Brady Corp. (Class A) (b)..... 1,575 47,266 Broadwind Energy, Inc. (a)(b)...................... 1,043 8,438 Encore Wire Corp. (b)......... 576 12,136 Ener1, Inc. (a)(b)............ 1,660 10,524 Energy Conversion Devices, Inc. (a)(b)................. 1,499 15,844 EnerSys (a)................... 1,372 30,006 Evergreen Solar, Inc. (a)(b).. 5,906 8,918 Franklin Electric Co., Inc. (b)......................... 653 18,989 FuelCell Energy, Inc. (a)(b).. 2,422 9,107 General Cable Corp. (a)(b).... 1,715 50,455 GrafTech International, Ltd. (a)(b)...................... 3,807 59,199 GT Solar International, Inc. (a)(b)...................... 915 5,087 II-VI, Inc. (a)(b)............ 838 26,648 Plug Power, Inc. (a).......... 2,245 1,594 Polypore International, Inc. (a)(b)...................... 807 9,603 Powell Industries, Inc. (a)... 233 7,347 Power-One, Inc. (a)(b)........ 2,423 10,540 Regal-Beloit Corp. (b)........ 1,250 64,925 Thomas & Betts Corp. (a)(b)... 1,708 61,129 Valence Technology, Inc. (a).. 1,965 1,788 Vicor Corp. (a)(b)............ 580 5,394 Woodward Governor Co. (b)..... 1,859 47,907 ------------ 760,788 ------------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.2% Agilysys, Inc. (b)............ 602 5,478 Anixter International, Inc. (a)(b)...................... 994 46,817 AVX Corp. .................... 1,697 21,501 Benchmark Electronics, Inc. (a)(b)...................... 2,131 40,297 Brightpoint, Inc. (a)(b)...... 2,226 16,361 Checkpoint Systems, Inc. (a).. 1,193 18,193 Cogent, Inc. (a)(b)........... 1,631 16,946 Cognex Corp. (b).............. 1,125 19,935 Coherent, Inc. (a)(b)......... 759 22,565 CTS Corp. .................... 1,020 9,812 Daktronics, Inc. (b).......... 1,149 10,582 DTS Inc. (a)(b)............... 539 18,439 Echelon Corp. (a)(b).......... 997 11,525 Electro Rent Corp. (b)........ 638 7,363 Electro Scientific Industries, Inc. (a)(b)................. 772 8,353 FARO Technologies, Inc. (a)(b)...................... 452 9,691 ICx Technologies, Inc. (a)(b)...................... 370 3,522 Insight Enterprises, Inc. (a)(b)...................... 1,403 16,022 IPG Photonics Corp. (a)(b).... 840 14,062 Jabil Circuit, Inc. (b)....... 6,352 110,334 L-1 Identity Solutions, Inc. (a)(b)...................... 2,883 21,594 Littelfuse, Inc. (a)(b)....... 747 24,016 Maxwell Technologies, Inc. (a)(b)...................... 788 14,058 Methode Electronics, Inc. (Class A)................... 1,144 9,930 MTS Systems Corp. ............ 518 14,887 Multi-Fineline Electronix, Inc. (a).................... 274 7,773 National Instruments Corp. (b)......................... 2,000 58,900 Newport Corp. (a)............. 1,105 10,155 OSI Systems, Inc. (a)......... 491 13,395 Park Electrochemical Corp. ... 570 15,755 Plexus Corp. (a)(b)........... 1,293 36,851 Rofin-Sinar Technologies, Inc. (a)......................... 988 23,327 Rogers Corp. (a).............. 517 15,670 Sanmina-SCI Corp. (a)......... 2,584 28,502 Scansource, Inc. (a)(b)....... 870 23,229 Smart Modular Technologies (WWH), Inc. (a)(b).......... 1,149 7,227 SYNNEX Corp. (a)(b)........... 651 19,960 Tech Data Corp. (a)........... 1,665 77,689 Technitrol, Inc. (b).......... 1,200 5,256 TTM Technologies, Inc. (a)(b)...................... 1,501 17,307 Universal Display Corp. (a)(b)...................... 977 12,076 Vishay Intertechnology, Inc. (a)......................... 5,428 45,324 ------------ 930,679 ------------ ENERGY EQUIPMENT & SERVICES -- 2.4% Allis-Chalmers Energy, Inc. (a)(b)...................... 1,009 3,804 Atwood Oceanics, Inc. (a)(b).. 1,852 66,394 Basic Energy Services, Inc. (a)(b)...................... 724 6,444 Bristow Group, Inc. (a)(b).... 1,142 43,910 Bronco Drilling Co., Inc. (a)(b)...................... 850 4,310 Cal Dive International, Inc. (a)......................... 3,153 23,837 CARBO Ceramics, Inc. (b)...... 646 44,038 Complete Production Services, Inc. (a)(b)................. 1,989 25,857 Dawson Geophysical Co. (a)(b)...................... 227 5,246 Dresser-Rand Group, Inc. (a)(b)...................... 2,696 85,221 Dril-Quip, Inc. (a)(b)........ 982 55,463 ENGlobal Corp. (a)(b)......... 561 1,756 Exterran Holdings, Inc. (a)(b)...................... 2,008 43,072 Global Industries, Ltd. (a)(b)...................... 3,268 23,301 Gulf Island Fabrication, Inc. (b)......................... 372 7,823 Gulfmark Offshore, Inc. (a)(b)...................... 876 24,800 Helix Energy Solutions Group, Inc. (a).................... 3,107 36,507 Hercules Offshore, Inc. (a)(b)...................... 3,851 18,408 Hornbeck Offshore Services, Inc. (a)(b)................. 815 18,973 ION Geophysical Corp. (a)(b).. 3,135 18,559 Key Energy Services, Inc. (a)(b)...................... 4,063 35,714 Lufkin Industries, Inc. (b)... 484 35,429 Matrix Service Co. (a)........ 806 8,584 Newpark Resources, Inc. (a)(b)...................... 2,687 11,366 Oil States International, Inc. (a)......................... 1,581 62,117 Parker Drilling Co. (a)(b).... 3,820 18,909 PHI, Inc. (a)(b).............. 417 8,632 Pioneer Drilling Co. (a)...... 1,479 11,684 RPC, Inc. (b)................. 985 10,244 SEACOR Holdings, Inc. (a)(b).. 628 47,885 Seahawk Drilling, Inc. (a).... 384 8,655 Superior Energy Services, Inc. (a)......................... 2,563 62,255 Superior Well Services, Inc. (a)(b)...................... 969 13,818 T-3 Energy Services, Inc. (a)......................... 381 9,715 Tesco Corp. (a)(b)............ 1,030 13,297
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Tetra Technologies, Inc. (a)(b)...................... 2,453 $ 27,179 Unit Corp. (a)(b)............. 1,560 66,300 ------------ 1,009,506 ------------ FOOD & STAPLES RETAILING -- 0.8% Arden Group, Inc. (Class A) (b)......................... 37 3,538 BJ's Wholesale Club, Inc. (a)(b)...................... 1,809 59,172 Casey's General Stores, Inc. (b)......................... 1,645 52,509 Great Atlantic & Pacific Tea Co. (a)(b).................. 1,065 12,556 Ingles Markets, Inc. (b)...... 359 5,432 Nash Finch Co. (b)............ 389 14,428 Pantry, Inc. (a).............. 696 9,459 PriceSmart, Inc. ............. 439 8,973 Rite Aid Corp. (a)(b)......... 19,191 28,979 Ruddick Corp. (b)............. 1,376 35,405 Spartan Stores, Inc. (b)...... 670 9,574 Susser Holdings Corp. (a)..... 363 3,118 The Andersons, Inc. (b)....... 648 16,731 United Natural Foods, Inc. (a)(b)...................... 1,285 34,361 Village Super Market, Inc. (Class A) (b)............... 172 4,699 Weis Markets, Inc. (b)........ 364 13,235 Winn-Dixie Stores, Inc. (a)(b)...................... 1,784 17,911 ------------ 330,080 ------------ FOOD PRODUCTS -- 1.5% Alico, Inc. (b)............... 112 3,188 American Italian Pasta Co. (a)(b)...................... 679 23,622 B&G Foods, Inc. (b)........... 1,655 15,193 Cal-Maine Foods, Inc. (b)..... 443 15,097 Calavo Growers, Inc. (b)...... 405 6,885 Chiquita Brands International, Inc. (a)(b)................. 1,421 25,635 Corn Products International, Inc. (b).................... 2,443 71,409 Darling International, Inc. (a)(b)...................... 2,678 22,442 Del Monte Foods Co. (b)....... 6,573 74,538 Diamond Foods, Inc. (b)....... 544 19,334 Dole Food Co., Inc. (a)(b).... 1,156 14,346 Farmer Brothers Co. (b)....... 189 3,731 Fresh Del Monte Produce, Inc. (a)......................... 1,333 29,459 Green Mountain Coffee Roasters, Inc. (a)(b)....... 1,278 104,119 Hain Celestial Group, Inc. (a)(b)...................... 1,306 22,215 J&J Snack Foods Corp. (b)..... 462 18,461 Lancaster Colony Corp. (b).... 664 33,001 Lance, Inc. (b)............... 1,038 27,299 Sanderson Farms, Inc. (b)..... 564 23,778 Smart Balance, Inc. (a)(b).... 2,085 12,510 Tootsie Roll Industries, Inc. (b)......................... 756 20,699 TreeHouse Foods, Inc. (a)(b).. 1,017 39,521 ------------ 626,482 ------------ GAS UTILITIES -- 0.8% Chesapeake Utilities Corp. (b)......................... 349 11,185 Laclede Group, Inc. (b)....... 675 22,795 New Jersey Resources Corp. (b)......................... 1,363 50,976 Nicor, Inc. (b)............... 1,454 61,213 Northwest Natural Gas Co. (b)......................... 863 38,870 South Jersey Industries, Inc. ....................... 959 36,615 Southwest Gas Corp. (b)....... 1,443 41,169 WGL Holdings, Inc. (b)........ 1,625 54,502 ------------ 317,325 ------------ HEALTH CARE EQUIPMENT & SUPPLIES -- 2.5% Abaxis, Inc. (a)(b)........... 751 19,188 ABIOMED, Inc. (a)(b).......... 1,019 8,906 Accuray, Inc. (a)(b).......... 1,212 6,799 AGA Medical Holdings, Inc. (a)(b)...................... 446 6,587 Align Technology, Inc. (a)(b)...................... 2,161 38,509 American Medical Systems Holdings, Inc. (a)(b)....... 2,378 45,872 Analogic Corp. (b)............ 398 15,327 AngioDynamics, Inc. (a)(b).... 783 12,591 Cantel Medical Corp. (a)(b)... 441 8,899 Conceptus, Inc. (a)(b)........ 805 15,102 CONMED Corp. (a)(b)........... 970 22,116 CryoLife, Inc. (a)(b)......... 807 5,181 Cyberonics, Inc. (a)(b)....... 910 18,600 DexCom, Inc. (a)(b)........... 1,568 12,670 ev3, Inc. (a)(b).............. 2,176 29,028 Greatbatch, Inc. (a)(b)....... 700 13,461 Haemonetics Corp. (a)(b)...... 826 45,554 Hill-Rom Holdings, Inc. (b)... 1,988 47,692 ICU Medical, Inc. (a)(b)...... 425 15,487 Immucor, Inc. (a)(b).......... 2,268 45,904 Insulet Corp. (a)(b).......... 996 14,223 Integra LifeSciences Holdings Corp. (a)(b)................ 700 25,746 Invacare Corp. (b)............ 1,067 26,611 IRIS International, Inc. (a).. 622 7,688 Kensey Nash Corp. (a)(b)...... 271 6,911 MAKO Surgical Corp. (a)(b).... 833 9,246 Masimo Corp. (a)(b)........... 1,702 51,775 Meridian Bioscience, Inc. (b)......................... 1,320 28,446 Merit Medical Systems, Inc. (a)(b)...................... 863 16,647 Natus Medical, Inc. (a)(b).... 985 14,568 Neogen Corp. (a)(b)........... 738 17,424 NuVasive, Inc. (a)(b)......... 1,182 37,800 OraSure Technologies, Inc. (a)(b)...................... 1,536 7,803 Orthofix International N.V. (a)(b)...................... 509 15,764 Orthovita, Inc. (a)(b)........ 2,582 9,063 Palomar Medical Technologies, Inc. (a)(b)................. 566 5,705 Quidel Corp. (a)(b)........... 870 11,989 RTI Biologics, Inc. (a)(b).... 1,538 5,906 Sirona Dental Systems, Inc. (a)(b)...................... 614 19,488 SonoSite, Inc. (a)(b)......... 521 12,311 STERIS Corp. (b).............. 1,741 48,696 SurModics, Inc. (a)(b)........ 482 10,922 Symmetry Medical, Inc. (a)(b)...................... 1,000 8,060 Synovis Life Technologies, Inc. (a).................... 403 5,203 The Cooper Cos., Inc. (b)..... 1,474 56,189 Thoratec Corp. (a)(b)......... 1,782 47,972 TomoTherapy, Inc. (a)(b)...... 1,604 6,256 Trans1, Inc. (a)(b)........... 297 1,173 Volcano Corp. (a)(b).......... 1,330 23,115 West Pharmaceutical Services, Inc. (b).................... 1,057 41,434 Wright Medical Group, Inc. (a)(b)...................... 1,244 23,574 Zoll Medical Corp. (a)(b)..... 636 16,994 ------------ 1,068,175 ------------ HEALTH CARE PROVIDERS & SERVICES -- 3.8% Air Methods Corp. (a)(b)...... 331 11,128 Alliance HealthCare Services, Inc. (a)(b)................. 859 4,905 Almost Family, Inc. (a)(b).... 274 10,831
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Amedisys, Inc. (a)(b)......... 882 $ 42,830 AMERIGROUP Corp. (a)(b)....... 1,681 45,320 AMN Healthcare Services, Inc. (a)(b)...................... 1,005 9,105 AmSurg Corp. (a)(b)........... 961 21,161 Assisted Living Concepts, Inc. (Class A) (a)(b)............ 317 8,359 athenahealth, Inc. (a)(b)..... 1,002 45,330 Bio-Reference Laboratories, Inc. (a)(b)................. 401 15,715 Brookdale Senior Living, Inc. (a)(b)...................... 1,742 31,687 CardioNet, Inc. (a)(b)........ 728 4,324 Catalyst Health Solutions, Inc. (a)(b)................. 1,274 46,463 Centene Corp. (a)............. 1,455 30,802 Chemed Corp. (b).............. 729 34,970 Clarient, Inc. (a)(b)......... 1,684 4,463 Corvel Corp. (a)(b)........... 237 7,949 Cross Country Healthcare, Inc. (a)(b)...................... 858 8,503 Emdeon, Inc. (Class A) (a)(b)...................... 842 12,840 Emergency Medical Services Corp. (Class A) (a)......... 667 36,118 Emeritus Corp. (a)(b)......... 614 11,512 Genoptix, Inc. (a)(b)......... 534 18,973 Gentiva Health Services, Inc. (a)(b)...................... 960 25,930 Hanger Orthopedic Group, Inc. (a)(b)...................... 974 13,470 Health Management Associates, Inc. (Class A) (a)(b)....... 7,847 57,048 Health Net, Inc. (a).......... 3,340 77,789 HEALTHSOUTH Corp. (a)(b)...... 3,115 58,469 Healthspring, Inc. (a)(b)..... 1,771 31,187 Healthways, Inc. (a)(b)....... 1,028 18,854 HMS Holdings Corp. (a)........ 824 40,121 inVentiv Health, Inc. (a)(b).. 1,147 18,547 IPC The Hospitalist Co. (a)... 471 15,661 Kindred Healthcare, Inc. (a)(b)...................... 1,315 24,275 Landauer, Inc. (b)............ 282 17,315 LHC Group, Inc. (a)(b)........ 519 17,444 LifePoint Hospitals, Inc. (a)(b)...................... 1,801 58,550 Magellan Health Services, Inc. (a)......................... 1,124 45,781 Medcath Corp. (a)............. 482 3,813 MEDNAX, Inc. (a)(b)........... 1,505 90,466 Molina Healthcare, Inc. (a)(b)...................... 405 9,262 MWI Veterinary Supply, Inc. (a)(b)...................... 356 13,421 National Healthcare Corp. (b)......................... 270 9,750 Nighthawk Radiology Holdings, Inc. (a)(b)................. 674 3,053 Odyssey Healthcare, Inc. (a)(b)...................... 1,050 16,359 Owens & Minor, Inc. (b)....... 1,379 59,200 PharMerica Corp. (a)(b)....... 1,006 15,975 PSS World Medical, Inc. (a)(b)...................... 1,969 44,440 Psychiatric Solutions, Inc. (a)(b)...................... 1,718 36,319 RehabCare Group, Inc. (a)..... 770 23,431 Res-Care, Inc. (a)............ 795 8,904 Select Medical Holdings Corp. (a)......................... 889 9,441 Skilled Healthcare Group, Inc. (Class A) (a)(b)............ 608 4,530 Sun Healthcare Group, Inc. (a)(b)...................... 1,444 13,241 Team Health Holdings, Inc. (a)......................... 723 10,136 Tenet Healthcare Corp. (a)(b)...................... 15,786 85,087 The Ensign Group, Inc. (b).... 361 5,549 Triple-S Management Corp. (Class B) (a)............... 674 11,862 Universal American Financial Corp. (a)................... 1,347 15,760 VCA Antech, Inc. (a)(b)....... 2,796 69,676 Virtual Radiologic Corp. (a)(b)...................... 215 2,743 WellCare Health Plans, Inc. (a)(b)...................... 1,381 50,766 ------------ 1,596,913 ------------ HEALTH CARE TECHNOLOGY -- 0.4% Allscripts-Misys Healthcare Solutions, Inc. (a)(b)...... 1,850 37,425 Computer Programs and Systems, Inc. (b).................... 350 16,118 Eclipsys Corp. (a)(b)......... 1,815 33,614 MedAssets, Inc. (a)........... 1,506 31,942 Medidata Solutions, Inc. (a)(b)...................... 742 11,575 MedQuist, Inc. (b)............ 372 2,489 Omnicell, Inc. (a)(b)......... 979 11,445 Phase Forward, Inc. (a)(b).... 1,410 21,643 ------------ 166,251 ------------ HOTELS, RESTAURANTS & LEISURE -- 2.4% AFC Enterprises, Inc. (a)(b).. 785 6,406 Ambassadors Group, Inc. (b)... 579 7,695 Ameristar Casinos, Inc. (b)... 707 10,768 Bally Technologies, Inc. (a)(b)...................... 1,795 74,116 BJ's Restaurants, Inc. (a)(b)...................... 555 10,445 Bob Evans Farms, Inc. (b)..... 1,016 29,413 Boyd Gaming Corp. (a)(b)...... 1,744 14,597 Brinker International, Inc. (b)......................... 3,214 47,953 Buffalo Wild Wings, Inc. (a)(b)...................... 556 22,390 California Pizza Kitchen, Inc. (a)(b)...................... 748 10,061 CEC Entertainment, Inc. (a)(b)...................... 715 22,823 Choice Hotels International, Inc. (b).................... 945 29,919 Churchill Downs, Inc. (b)..... 310 11,578 CKE Restaurants, Inc. ........ 1,675 14,170 Cracker Barrel Old Country Store, Inc. (b)............. 733 27,847 Denny's Corp. (a)(b).......... 3,301 7,229 DineEquity, Inc. (a)(b)....... 464 11,271 Domino's Pizza, Inc. (a)(b)... 1,275 10,684 Gaylord Entertainment Co. (a)(b)...................... 1,160 22,910 International Speedway Corp. (Class A) (b)............... 890 25,320 Interval Leisure Group, Inc. (a)(b)...................... 1,188 14,814 Isle of Capri Casinos, Inc. (a)(b)...................... 547 4,092 Jack in the Box, Inc. (a)..... 1,842 36,232 Krispy Kreme Doughnuts, Inc. (a)......................... 1,709 5,042 Landry's Restaurants, Inc. (a)......................... 296 6,302 Life Time Fitness, Inc. (a)(b)...................... 1,373 34,229 Marcus Corp. (b).............. 656 8,410 Morgans Hotel Group Co. (a)(b)...................... 824 3,733 Orient-Express Hotels, Ltd. (Class A) (a)(b)............ 2,496 25,309 P F Chang's China Bistro, Inc. (a)(b)...................... 736 27,902 Panera Bread Co. (Class A) (a)(b)...................... 997 66,769 Papa John's International, Inc. (a).................... 726 16,959 Peet's Coffee & Tea, Inc. (a)(b)...................... 425 14,165 Pinnacle Entertainment, Inc. (a)(b)...................... 2,055 18,454 Red Robin Gourmet Burgers, Inc. (a)(b)................. 445 7,965 Ruby Tuesday, Inc. (a)........ 1,970 14,184 Scientific Games Corp. (Class A) (a)(b)................... 2,256 32,825 Shuffle Master, Inc. (a)(b)... 1,620 13,349 Sonic Corp. (a)(b)............ 2,002 20,160
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Speedway Motorsports, Inc. (b)......................... 423 $ 7,453 Texas Roadhouse, Inc. (Class A) (a)(b)................... 1,590 17,856 The Cheesecake Factory, Inc. (a)(b)...................... 1,780 38,430 The Steak N Shake Co. (a)..... 43 13,937 Vail Resorts, Inc. (a)(b)..... 1,152 43,546 WMS Industries, Inc. (a)(b)... 1,931 77,240 ------------ 986,952 ------------ HOUSEHOLD DURABLES -- 1.6% American Greetings Corp. (Class A) (b)............... 1,166 25,407 Blyth, Inc. (b)............... 199 6,710 Brookfield Homes Corp. (a)(b)...................... 307 2,456 CSS Industries, Inc. (b)...... 251 4,879 Ethan Allen Interiors, Inc. (b)......................... 824 11,058 Furniture Brands International, Inc. (a)(b).. 1,085 5,924 Harman International Industries, Inc. (b)........ 2,241 79,063 Helen of Troy, Ltd. (a)....... 881 21,549 Hovnanian Enterprises, Inc. (a)(b)...................... 1,647 6,324 iRobot Corp. (a)(b)........... 587 10,331 Jarden Corp. (b).............. 2,894 89,454 KB HOME (b)................... 2,425 33,174 La-Z-Boy, Inc. (a)(b)......... 1,720 16,392 Lennar Corp. (Class A) (b).... 5,266 67,247 M.D.C. Holdings, Inc. (b)..... 1,171 36,348 M/I Homes, Inc. (a)(b)........ 673 6,992 Meritage Homes Corp. (a)(b)... 970 18,750 National Presto Industries, Inc. (b).................... 150 16,385 Ryland Group, Inc. (b)........ 1,398 27,541 Sealy Corp. (a)(b)............ 1,352 4,272 Skyline Corp. (b)............. 205 3,772 Standard Pacific Corp. (a)(b)...................... 3,432 12,836 Tempur-Pedic International, Inc. (a)(b)................. 2,244 53,026 Tupperware Brands Corp. ...... 2,062 96,027 ------------ 655,917 ------------ HOUSEHOLD PRODUCTS -- 0.1% Central Garden & Pet Co. (Class A) (a)(b)............ 2,144 21,311 WD-40 Co. .................... 519 16,795 ------------ 38,106 ------------ INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.1% Ormat Technologies, Inc. (b).. 590 22,326 ------------ INDUSTRIAL CONGLOMERATES -- 0.3% Carlisle Cos., Inc. (b)....... 2,017 69,102 Otter Tail Corp. (b).......... 1,046 25,941 Raven Industries, Inc. (b).... 543 17,251 Seaboard Corp. (b)............ 10 13,490 Standex International Corp. (b)......................... 374 7,514 Tredegar Corp. (b)............ 738 11,675 ------------ 144,973 ------------ INSURANCE -- 3.6% AMBAC Financial Group, Inc. (a)(b)...................... 8,772 7,281 American Equity Investment Life Holding Co. (b)........ 1,656 12,321 American National Insurance Co. (b)..................... 515 61,512 American Physicians Capital, Inc. (b).................... 330 10,006 AMERISAFE, Inc. (a)(b)........ 632 11,357 Amtrust Financial Services, Inc. (b).................... 810 9,574 Argo Group International Holdings, Ltd. (a)(b)....... 999 29,111 Arthur J. Gallagher & Co. (b)......................... 3,238 72,887 Aspen Insurance Holdings, Ltd. ....................... 2,490 63,371 Assured Guaranty, Ltd. (b).... 4,008 87,214 Baldwin & Lyons, Inc. (Class B) (b)...................... 306 7,531 Citizens, Inc. (a)(b)......... 1,068 6,974 CNA Surety Corp. (a)(b)....... 482 7,177 Conseco, Inc. (a)(b).......... 6,087 30,435 Crawford & Co. (Class B) (a)(b)...................... 762 3,002 Delphi Financial Group........ 1,501 33,577 Donegal Group, Inc. (Class A) (b)......................... 398 6,185 eHealth, Inc. (a)(b).......... 747 12,273 EMC Insurance Group, Inc. (b)......................... 210 4,517 Employers Holdings, Inc. (b).. 1,467 22,504 Endurance Specialty Holdings, Ltd. (b).................... 1,660 61,802 Enstar Group, Ltd. (a)........ 217 15,845 Erie Indemnity Co. (Class A) (b)......................... 1,005 39,215 FBL Financial Group, Inc. (Class A) (b)............... 393 7,278 First Mercury Financial Corp. (b)......................... 531 7,280 Flagstone Reinsurance Holdings, Ltd. (b).......... 1,160 12,690 FPIC Insurance Group, Inc. (a)(b)...................... 237 9,153 Greenlight Capital Re, Ltd. (Class A) (a)............... 988 23,287 Harleysville Group, Inc. (b).. 404 12,843 Hilltop Holdings, Inc. (a)(b)...................... 1,458 16,971 Horace Mann Educators Corp. .. 1,194 14,925 Infinity Property & Casualty Corp. ...................... 442 17,963 Kansas City Life Insurance Co. (b)......................... 129 3,838 Maiden Holdings, Ltd. (b)..... 1,826 13,366 Max Capital Group, Ltd. (b)... 1,544 34,431 MBIA, Inc. (a)(b)............. 5,137 20,445 Meadowbrook Insurance Group, Inc. ....................... 1,942 14,371 Mercury General Corp. (b)..... 860 33,764 Montpelier Re Holdings, Ltd. (b)......................... 2,535 43,906 National Financial Partners Corp. (a)(b)................ 1,419 11,480 National Interstate Corp. .... 190 3,222 National Western Life Insurance Co. (Class A) (b)......................... 70 12,153 Navigators Group, Inc. (a).... 452 21,294 OneBeacon Insurance Group, Ltd. (Class A) (b).......... 695 9,577 Platinum Underwriters Holdings, Ltd. (b).......... 1,650 63,179 PMA Capital Corp. (Class A) (a)(b)...................... 1,116 7,031 Presidential Life Corp. (b)... 665 6,085 ProAssurance Corp. (a)(b)..... 1,096 58,866 Protective Life Corp. (b)..... 2,786 46,108 RLI Corp. (b)................. 625 33,281 Safety Insurance Group, Inc. (b)......................... 524 18,985 Seabright Insurance Holdings (a)(b)...................... 726 8,342 Selective Insurance Group, Inc. ....................... 1,730 28,459 StanCorp Financial Group, Inc. ....................... 1,618 64,752 State Auto Financial Corp. (b)......................... 431 7,974 Stewart Information Services Corp. (b)................... 515 5,809 The Phoenix Cos., Inc. (a)(b)...................... 3,296 9,163 Tower Group, Inc. (b)......... 1,308 30,620
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- United America Indemnity, Ltd. (Class A) (a)(b)............ 1,023 $ 8,102 United Fire & Casualty Co. (b)......................... 759 13,837 Unitrin, Inc. (b)............. 1,502 33,119 Validus Holdings, Ltd. (b).... 3,142 84,645 Zenith National Insurance Corp. (b)................... 1,216 36,188 ------------ 1,524,453 ------------ INTERNET & CATALOG RETAIL -- 0.4% 1-800-FLOWERS.COM, Inc. (Class A) (a)...................... 710 1,882 Blue Nile, Inc. (a)(b)........ 461 29,195 Gaiam, Inc. (Class A) (a)(b).. 436 3,353 HSN, Inc. (a)(b).............. 1,373 27,721 NutriSystem, Inc. (b)......... 986 30,734 Orbitz Worldwide, Inc. (a)(b)...................... 1,119 8,213 Overstock.com, Inc. (a)(b).... 479 6,495 PetMed Express, Inc. (b)...... 780 13,751 Shutterfly, Inc. (a)(b)....... 640 11,398 Stamps.com, Inc. (a).......... 453 4,077 Ticketmaster Entertainment, Inc. (a)(b)................. 1,405 17,169 Vitacost.com, Inc. (a)........ 266 2,772 ------------ 156,760 ------------ INTERNET SOFTWARE & SERVICES -- 1.3% Ancestry.com, Inc. (a)........ 240 3,362 Archipelago Learning, Inc. (a)......................... 239 4,947 Art Technology Group, Inc. (a)......................... 4,430 19,979 comScore, Inc. (a)(b)......... 752 13,198 Constant Contact, Inc. (a)(b)...................... 843 13,488 DealerTrack Holdings, Inc. (a)(b)...................... 1,167 21,928 Dice Holdings, Inc. (a)(b).... 703 4,605 Digital River, Inc. (a)(b).... 1,218 32,874 DivX, Inc. (a)................ 862 4,862 EarthLink, Inc. (b)........... 3,369 27,996 GSI Commerce, Inc. (a)(b)..... 1,517 38,517 InfoSpace, Inc. (a)........... 1,070 9,170 Internap Network Services Corp. (a)(b)................ 1,494 7,022 Internet Brands, Inc. (Class A) (a)(b)................... 920 7,204 j2 Global Communications, Inc. (a)(b)...................... 1,439 29,284 Limelight Networks, Inc. (a).. 1,216 4,779 Liquidity Services, Inc. (a).. 524 5,277 LogMeIn, Inc. (a)(b).......... 269 5,367 LoopNet, Inc. (a)(b).......... 1,082 10,755 Marchex, Inc. (Class B) (b)... 792 4,023 ModusLink Global Solutions, Inc. (a).................... 1,444 13,588 Move, Inc. (a)(b)............. 4,539 7,535 NIC, Inc. (b)................. 1,818 16,616 OpenTable, Inc. (a)........... 495 12,603 Perficient, Inc. (a)(b)....... 940 7,924 Rackspace Hosting, Inc. (a)(b)...................... 2,464 51,374 RealNetworks, Inc. (a)........ 2,783 10,325 SAVVIS, Inc. (a)(b)........... 1,288 18,096 Switch & Data Facilities Co., Inc. (a)(b)................. 674 13,622 TechTarget, Inc. (a)(b)....... 342 1,925 Terremark Worldwide, Inc. (a)(b)...................... 1,473 10,075 The Knot, Inc. (a)(b)......... 930 9,365 United Online, Inc. .......... 2,787 20,038 ValueClick, Inc. (a)(b)....... 2,713 27,456 Vocus, Inc. (a)(b)............ 589 10,602 WebMD Health Corp. (Class A) (a)(b)...................... 1,545 59,467 ------------ 559,248 ------------ IT SERVICES -- 1.7% Acxiom Corp. (a)(b)........... 2,540 34,087 CACI International, Inc. (Class A) (a)(b)............ 975 47,629 Cass Information Systems, Inc. (b)......................... 251 7,630 CIBER, Inc. (a)(b)............ 1,681 5,799 Convergys Corp. (a)(b)........ 3,764 40,463 CSG Systems International, Inc. (a)(b)................. 1,072 20,464 CyberSource Corp. (a)(b)...... 2,264 45,529 Echo Global Logistics, Inc. (a)(b)...................... 136 1,726 Euronet Worldwide, Inc. (a)(b)...................... 1,517 33,298 ExlService Holdings, Inc. (a)(b)...................... 447 8,118 Forrester Research, Inc. (a)(b)...................... 454 11,781 Gartner, Inc. (a)(b).......... 2,026 36,549 Global Cash Access Holdings, Inc. (a)(b)................. 1,192 8,928 Heartland Payment Systems, Inc. (b).................... 1,317 17,292 iGate Corp. .................. 837 8,370 infoUSA, Inc. (a)(b).......... 977 7,836 Integral Systems Inc. (a)(b).. 521 4,512 Lionbridge Technologies, Inc. (a)(b)...................... 1,608 3,698 MAXIMUS, Inc. (b)............. 546 27,300 MoneyGram International, Inc. (a)(b)...................... 2,477 7,134 NCI, Inc. (Class A) (a)(b).... 225 6,221 NeuStar, Inc. (Class A) (a)... 2,398 55,250 RightNow Technologies, Inc. (a)(b)...................... 719 12,489 Sapient Corp. (a)............. 2,997 24,785 SRA International, Inc. (Class A) (a)(b)................... 1,400 26,740 Syntel, Inc. (b).............. 749 28,484 TeleTech Holdings, Inc. (a)... 1,119 22,414 TNS, Inc. (a)................. 846 21,734 Unisys Corp. (a).............. 1,226 47,275 VeriFone Holdings, Inc. (a)(b)...................... 2,377 38,935 Wright Express Corp. (a)...... 1,217 38,774 ------------ 701,244 ------------ LEISURE EQUIPMENT & PRODUCTS -- 0.5% Brunswick Corp. (b)........... 2,849 36,211 Callaway Golf Co. (b)......... 1,980 14,929 Eastman Kodak Co. (a)(b)...... 8,084 34,114 JAKKS Pacific, Inc. (a)(b).... 832 10,084 Leapfrog Enterprises, Inc. (a)(b)...................... 1,087 4,250 Marine Products Corp. (b)..... 434 2,140 Polaris Industries, Inc. (b).. 1,064 46,422 Pool Corp. (b)................ 1,567 29,898 RC2 Corp. (a)................. 757 11,166 Smith & Wesson Holding Corp. (a)(b)...................... 2,061 8,430 ------------ 197,644 ------------ LIFE SCIENCES TOOLS & SERVICES -- 0.7% Affymetrix, Inc. (a)(b)....... 2,314 13,514 Albany Molecular Research, Inc. (a)(b)................. 683 6,202 Bio-Rad Laboratories, Inc. (Class A) (a)(b)............ 642 61,927 Bruker Corp. (a)(b)........... 1,749 21,093 Cambrex Corp. (a)(b).......... 872 4,866
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Dionex Corp. (a)(b)........... 564 $ 41,663 Enzo Biochem, Inc. (a)(b)..... 1,170 6,295 eResearch Technology, Inc. (a)(b)...................... 1,653 9,934 Kendle International, Inc. (a)(b)...................... 410 7,507 Luminex Corp. (a)(b).......... 1,317 19,663 PAREXEL International Corp. (a)......................... 1,909 26,917 Sequenom, Inc. (a)(b)......... 1,746 7,228 Varian, Inc. (a)(b)........... 965 49,736 ------------ 276,545 ------------ MACHINERY -- 4.2% Actuant Corp. (Class A) (b)... 2,134 39,543 Albany International Corp. (Class A) (b)............... 877 19,697 Altra Holdings, Inc. (a)(b)... 804 9,929 American Railcar Industries, Inc. (b).................... 264 2,909 Ampco-Pittsburgh Corp. (b).... 253 7,977 Astec Industries, Inc. (a)(b)...................... 523 14,090 Badger Meter, Inc. (b)........ 489 19,472 Barnes Group, Inc. (b)........ 1,346 22,747 Blount International, Inc. (a)(b)...................... 1,210 12,221 Briggs & Stratton Corp. (b)... 1,616 30,235 Bucyrus International, Inc. (Class A) (b)............... 2,398 135,175 Cascade Corp. (b)............. 284 7,807 Chart Industries, Inc. (a)(b)...................... 976 16,153 CIRCOR International, Inc. (b)......................... 508 12,791 CLARCOR, Inc. (b)............. 1,617 52,456 Colfax Corp. (a)(b)........... 818 9,849 Columbus McKinnon Corp. (a)(b)...................... 577 7,882 Crane Co. (b)................. 1,613 49,390 Dynamic Materials Corp. (b)... 382 7,659 Energy Recovery, Inc. (a)(b).. 949 6,529 EnPro Industries, Inc. (a)(b)...................... 606 16,004 ESCO Technologies, Inc. (b)... 846 30,329 Federal Signal Corp. (b)...... 1,457 8,771 Force Protection, Inc. (a)(b)...................... 2,146 11,181 Freightcar America, Inc. (b).. 354 7,020 Gardner Denver, Inc. (b)...... 1,683 71,612 Graco, Inc. (b)............... 2,008 57,369 Graham Corp. (b).............. 304 6,293 IDEX Corp. (b)................ 2,662 82,921 John Bean Technologies Corp. (b)......................... 925 15,734 K-Tron International, Inc. (a)(b)...................... 78 8,482 Kaydon Corp. (b).............. 1,053 37,655 Kennametal, Inc. (b).......... 2,644 68,533 L.B. Foster Co. (a)........... 325 9,688 Lindsay Corp. (b)............. 343 13,669 Middleby Corp. (a)(b)......... 578 28,334 Mueller Industries, Inc. (b).. 1,210 30,056 Mueller Water Products, Inc. (Class A) (b)............... 4,998 25,990 NACCO Industries, Inc. (b).... 165 8,217 Nordson Corp. (b)............. 982 60,079 Oshkosh Corp. (b)............. 2,854 105,684 RBC Bearings, Inc. (a)(b)..... 664 16,155 Robbins & Myers, Inc. (b)..... 802 18,863 Sauer-Danfoss, Inc. (a)(b).... 331 3,975 Snap-On, Inc. (b)............. 1,899 80,252 Sun Hydraulics Corp. (b)...... 365 9,581 Tecumseh Products Co. (Class A) (a)(b)................... 479 5,600 Tennant Co. (b)............... 596 15,609 Terex Corp. (a)(b)............ 3,462 68,582 The Gorman-Rupp Co. (b)....... 437 12,079 The Greenbrier Cos., Inc. (b)......................... 470 4,879 The Manitowoc Co., Inc. (b)... 4,269 42,562 The Timken Co. ............... 2,557 60,626 The Toro Co. (b).............. 1,149 48,040 Titan International, Inc. (b)......................... 1,047 8,491 Trinity Industries, Inc. (b).. 2,527 44,071 Valmont Industries, Inc. (b).. 683 53,581 Wabtec Corp. (b).............. 1,603 65,467 Watts Water Technologies, Inc. (b)......................... 969 29,961 ------------ 1,776,506 ------------ MARINE -- 0.4% Alexander & Baldwin, Inc. (b)......................... 1,348 46,142 American Commercial Lines, Inc. (a)(b)................. 292 5,352 Eagle Bulk Shipping, Inc. (a)(b)...................... 2,215 10,964 Excel Maritime Carriers, Ltd. (a)(b)...................... 1,623 9,998 Genco Shipping & Trading, Ltd. (a)(b)...................... 906 20,276 Horizon Lines, Inc. (Class A) (b)......................... 917 5,108 Kirby Corp. (a)(b)............ 1,775 61,823 TBS International, Ltd. (a)(b)...................... 468 3,440 ------------ 163,103 ------------ MEDIA -- 1.8% Arbitron, Inc. (b)............ 815 19,087 Ascent Media Corp. (Class A) (a)(b)...................... 470 11,999 Belo Corp. (b)................ 2,764 15,036 Cinemark Holdings, Inc. (b)... 1,185 17,029 CKX, Inc. (a)(b).............. 2,006 10,572 Crown Media Holdings, Inc. (Class A) (a)(b)............ 285 413 Dolan Media Co. (a)(b)........ 897 9,158 Fisher Communications, Inc. (a)(b)...................... 181 2,941 Gannett Co., Inc. (b)......... 7,374 109,504 Harte-Hanks, Inc. (b)......... 1,163 12,537 Journal Communications, Inc. ....................... 1,252 4,870 Knology, Inc. (a)(b).......... 997 10,917 Lamar Advertising Co. (Class A) (a)(b)................... 1,833 56,988 Liberty Media Corp.- Interactive (Class A) (a)(b)...................... 2,823 67,413 Live Nation, Inc. (a)(b)...... 2,802 23,845 Martha Stewart Living Omnimedia, Inc. (Class A) (a)(b)...................... 820 4,051 Mediacom Communications Corp. (Class A) (a)............... 1,195 5,342 Meredith Corp. (b)............ 1,168 36,033 Morningstar, Inc. (a)......... 726 35,095 National CineMedia, Inc. (b).. 1,381 22,883 PRIMEDIA, Inc. (b)............ 565 2,040 RCN Corp. (a)(b).............. 1,126 12,217 Regal Entertainment Group (b)......................... 2,539 36,663 Scholastic Corp. (b).......... 947 28,249 Sinclair Broadcast Group, Inc. (a)(b)...................... 1,515 6,105 Sirius XM Radio, Inc. (a)(b).. 126,941 76,165 The E.W. Scripps Co. (Class A) (a)(b)...................... 924 6,431 The New York Times Co. (Class A) (a)(b)................... 3,160 39,058 Valassis Communications, Inc. (a)......................... 1,632 29,800
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Value Line, Inc. (b).......... 21 $ 527 Warner Music Group Corp. (a)(b)...................... 1,723 9,752 World Wrestling Entertainment, Inc. (Class A) (b).......... 953 14,610 ------------ 737,330 ------------ METALS & MINING -- 1.7% A.M. Castle & Co. (b)......... 537 7,352 AK Steel Holding Corp. (b).... 3,599 76,839 Allied Nevada Gold Corp. (a)(b)...................... 2,047 30,869 AMCOL International Corp. (b)......................... 882 25,066 Brush Engineered Materials, Inc. (a).................... 617 11,439 Carpenter Technology Corp. (b)......................... 1,442 38,862 Century Aluminum Co. (a)(b)... 2,159 34,954 Coeur d'Alene Mines Corp. (a)(b)...................... 2,454 44,319 Commercial Metals Co. (b)..... 3,706 57,999 Compass Minerals International, Inc. (b)..... 1,064 71,490 Haynes International, Inc. (b)......................... 361 11,902 Hecla Mining Co. (a).......... 7,946 49,106 Horsehead Holding Corp. (a)(b)...................... 1,306 16,652 Kaiser Aluminum Corp. (b)..... 532 22,142 Olympic Steel, Inc. (b)....... 287 9,350 Royal Gold, Inc. (b).......... 1,346 63,397 RTI International Metals, Inc. (a)(b)...................... 938 23,609 Schnitzer Steel Industries, Inc. (Class A) (b).......... 661 31,530 Stillwater Mining Co. (a)..... 1,346 12,760 Titanium Metals Corp. (a)(b).. 2,722 34,079 US Gold Corp. (a)............. 3,023 7,497 Worthington Industries, Inc. (b)......................... 2,167 28,323 ------------ 709,536 ------------ MULTI-UTILITIES -- 0.3% Avista Corp. (b).............. 1,777 38,365 Black Hills Corp. (b)......... 1,263 33,634 CH Energy Group, Inc. (b)..... 517 21,983 NorthWestern Corp. (b)........ 1,175 30,573 ------------ 124,555 ------------ MULTILINE RETAIL -- 0.4% 99 Cents Only Stores (a)(b)... 1,594 20,834 Big Lots, Inc. (a)(b)......... 2,652 76,855 Dillard's, Inc. (Class A) (b)......................... 1,785 32,933 Fred's, Inc. (Class A) (b).... 1,145 11,679 Retail Ventures, Inc. (a)(b).. 630 5,601 Saks, Inc. (a)(b)............. 4,551 29,854 ------------ 177,756 ------------ OFFICE ELECTRONICS -- 0.1% Zebra Technologies Corp. (Class A) (a)(b)............ 1,890 53,600 ------------ OIL, GAS & CONSUMABLE FUELS -- 3.8% Alon USA Energy, Inc. (b)..... 363 2,483 APCO Oil and Gas International, Inc. (b)..... 280 6,188 Arena Resources, Inc. (a)..... 1,238 53,383 Atlas Energy, Inc. (b)........ 2,547 76,843 ATP Oil & Gas Corp. (a)(b).... 1,407 25,720 Berry Petroleum Co. (Class A) (b)......................... 1,327 38,682 Bill Barrett Corp. (a)(b)..... 1,086 33,785 BP Prudhoe Bay Royalty Trust (b)......................... 678 56,138 BPZ Resources, Inc. (a)(b).... 3,454 32,813 Brigham Exploration Co. (a)(b)...................... 3,054 41,382 Carrizo Oil & Gas, Inc. (a)(b)...................... 932 24,689 Cheniere Energy, Inc. (a)(b).. 1,725 4,175 Clayton Williams Energy, Inc. (a)(b)...................... 287 10,056 Clean Energy Fuels Corp. (a)(b)...................... 1,267 19,524 Cloud Peak Energy, Inc. (a)(b)...................... 1,092 15,900 Comstock Resources, Inc. (a)(b)...................... 1,522 61,748 Contango Oil & Gas Co. (a)(b)...................... 422 19,838 Crosstex Energy, Inc. (b)..... 1,390 8,410 CVR Energy, Inc. (a)(b)....... 1,883 12,917 Delek US Holdings, Inc. (b)... 435 2,962 Delta Petroleum Corp. (a)(b).. 5,879 6,114 DHT Maritime, Inc. (b)........ 1,314 4,836 Encore Acquisition Co. (a).... 1,784 85,668 Frontier Oil Corp. ........... 3,354 40,382 Gastar Exploration, Ltd. (a)(b)...................... 1,493 7,151 General Maritime Corp. (b).... 1,727 12,072 GMX Resources, Inc. (a)(b).... 977 13,424 Goodrich Petroleum Corp. (a)(b)...................... 820 19,967 Gulfport Energy Corp. (a)..... 808 9,252 Harvest Natural Resources, Inc. (a)(b)................. 1,053 5,570 Holly Corp. (b)............... 1,363 34,934 Hugoton Royalty Trust (b)..... 1,234 19,843 International Coal Group, Inc. (a)(b)...................... 3,122 12,051 Isramco, Inc. (a)............. 43 3,075 James River Coal Co. (a)(b)... 869 16,103 Mariner Energy, Inc. (a)(b)... 3,350 38,894 Massey Energy Co. (b)......... 2,811 118,090 McMoRan Exploration Co. (a)(b)...................... 2,502 20,066 Overseas Shipholding Group, Inc. (b).................... 800 35,160 Patriot Coal Corp. (a)(b)..... 2,466 38,124 Penn Virginia Corp. (b)....... 1,438 30,615 Petroleum Development Corp. (a)(b)...................... 582 10,598 Petroquest Energy, Inc. (a)(b)...................... 1,831 11,224 Rentech, Inc. (a)(b).......... 6,528 8,029 Resolute Energy Corp. (a)..... 1,370 15,782 Rosetta Resources, Inc. (a)(b)...................... 1,764 35,157 SandRidge Energy, Inc. (a)(b)...................... 5,939 56,005 Ship Finance International, Ltd. (b).................... 1,294 17,637 Southern Union Co. (b)........ 3,445 78,201 St. Mary Land & Exploration Co. (b)..................... 2,055 70,363 Stone Energy Corp. (a)........ 1,311 23,664 Swift Energy Co. (a).......... 1,175 28,153 Teekay Corp. (b).............. 1,385 32,146 USEC, Inc. (a)(b)............. 3,664 14,106 VAALCO Energy, Inc. (b)....... 1,944 8,845 Venoco, Inc. (a)(b)........... 629 8,202 W & T Offshore, Inc. (b)...... 1,173 13,724 Warren Resources, Inc. (a)(b)...................... 1,858 4,552 Western Refining, Inc. (a)(b)...................... 1,710 8,054 World Fuel Services Corp. (b)......................... 1,861 49,856 ------------ 1,613,325 ------------ PAPER & FOREST PRODUCTS -- 0.5% Buckeye Technologies, Inc. (a)(b)...................... 1,159 11,312 Clearwater Paper Corp. (a).... 342 18,800 Deltic Timber Corp. (b)....... 347 16,024 Domtar Corp. (a)(b)........... 1,361 75,413 Glatfelter.................... 1,577 19,161 Louisiana-Pacific Corp. (a)(b)...................... 4,084 28,506 Neenah Paper, Inc. (b)........ 439 6,124
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Schweitzer-Mauduit International, Inc. (b)..... 530 $ 37,285 Wausau-Mosinee Paper Corp. (b)......................... 1,485 17,226 ------------ 229,851 ------------ PERSONAL PRODUCTS -- 0.8% Bare Escentuals, Inc. (a)(b).. 2,243 27,432 Chattem, Inc. (a)(b).......... 615 57,379 Elizabeth Arden, Inc. (a)(b).. 810 11,696 Herbalife, Ltd. .............. 2,035 82,560 Inter Parfums, Inc. (b)....... 427 5,197 NBTY, Inc. (a)(b)............. 1,794 78,111 Nu Skin Enterprises, Inc. (Class A) (b)............... 1,629 43,771 Prestige Brands Holdings, Inc. (a)......................... 1,507 11,845 Revlon, Inc. (a)(b)........... 452 7,688 USANA Health Sciences, Inc. (a)(b)...................... 244 7,784 ------------ 333,463 ------------ PHARMACEUTICALS -- 1.1% Acura Pharmaceuticals, Inc. (a)(b)...................... 316 1,684 Akorn, Inc. (a)(b)............ 1,570 2,810 Ardea Biosciences, Inc. (a)(b)...................... 454 6,356 Auxilium Pharmaceuticals, Inc. (a)(b)...................... 1,434 42,991 Biodel, Inc. (a)(b)........... 444 1,927 Cadence Pharmaceuticals, Inc. (a)(b)...................... 1,041 10,066 Caraco Pharmaceutical Laboratories, Ltd. (a)(b)... 339 2,048 Cumberland Pharmaceuticals, Inc. (a)(b)................. 258 3,506 Cypress Bioscience, Inc. (a)(b)...................... 1,273 7,332 Durect Corp. (a)(b)........... 2,603 6,429 Impax Laboratories, Inc. (a)(b)...................... 1,642 22,331 Inspire Pharmaceuticals, Inc. (a)(b)...................... 2,053 11,333 MAP Pharmaceuticals, Inc. (a)(b)...................... 463 4,412 Medicis Pharmaceutical Corp. (Class A) (b)............... 1,860 50,313 Nektar Therapeutics (a)(b).... 2,882 26,860 Optimer Pharmaceuticals, Inc. (a)(b)...................... 939 10,592 Pain Therapeutics, Inc. (a)(b)...................... 1,033 5,537 Par Pharmaceutical Cos., Inc. (a)(b)...................... 1,147 31,038 POZEN, Inc. (a)(b)............ 834 4,996 Questcor Pharmaceuticals, Inc. (a)(b)...................... 1,841 8,745 Salix Pharmaceuticals, Ltd. (a)(b)...................... 1,812 46,025 Sucampo Pharmaceuticals, Inc. (a)(b)...................... 225 909 The Medicines Co. (a)(b)...... 1,714 14,295 Valeant Pharmaceuticals International (a)(b)........ 2,312 73,499 ViroPharma, Inc. (a)(b)....... 2,384 20,002 VIVUS, Inc. (a)(b)............ 2,563 23,554 XenoPort, Inc. (a)(b)......... 1,016 18,857 ------------ 458,447 ------------ PROFESSIONAL SERVICES -- 1.0% Administaff, Inc. (b)......... 692 16,324 Advisory Board Co. (a)(b)..... 556 17,047 CBIZ, Inc. (a)(b)............. 1,554 11,966 CDI Corp. (b)................. 415 5,374 CoStar Group, Inc. (a)(b)..... 647 27,025 CRA International, Inc. (a)(b)...................... 326 8,688 Exponent, Inc. (a)(b)......... 435 12,110 Heidrick & Struggles International, Inc. (b)..... 510 15,932 Hill International, Inc. (a)(b)...................... 894 5,579 Huron Consulting Group, Inc. (a)(b)...................... 691 15,921 ICF International, Inc. (a)(b)...................... 349 9,353 Kelly Services, Inc. (Class A) (a)(b)...................... 830 9,902 Kforce, Inc. (a).............. 1,120 14,000 Korn/Ferry International (a)(b)...................... 1,392 22,968 Mistras Group, Inc. (a)....... 254 3,825 Monster Worldwide, Inc. (a)(b)...................... 4,161 72,401 MPS Group, Inc. (a)(b)........ 2,959 40,657 Navigant Consulting, Inc. (a)(b)...................... 1,596 23,717 Odyssey Marine Exploration, Inc. (a)(b)................. 1,841 2,596 Resources Connection, Inc. (a)(b)...................... 1,410 29,920 School Specialty, Inc. (a)(b)...................... 498 11,648 Spherion Corp. (a)............ 1,627 9,144 The Corporate Executive Board Co. (b)..................... 1,156 26,380 TrueBlue, Inc. (a)(b)......... 1,330 19,697 Volt Information Sciences, Inc. (a).................... 372 3,720 ------------ 435,894 ------------ REAL ESTATE INVESTMENT TRUSTS -- 8.0% Acadia Realty Trust (b)....... 1,258 21,222 Alexander's, Inc. (a)(b)...... 88 26,789 Alexandria Real Estate Equities, Inc. (b).......... 1,423 91,485 American Campus Communities, Inc. (b).................... 1,726 48,501 American Capital Agency Corp. (b)......................... 611 16,216 Anworth Mortgage Asset Corp. (b)......................... 3,645 25,515 Apartment Investment & Management Co. (Class A) (b)......................... 3,733 59,429 ARMOUR Residential REIT, Inc. (a)(b)...................... 810 6,683 Ashford Hospitality Trust (a)(b)...................... 2,228 10,338 BioMed Realty Trust, Inc. (b)......................... 3,090 48,760 Brandywine Realty Trust (b)... 4,154 47,356 BRE Properties, Inc. (b)...... 1,785 59,048 Camden Property Trust (b)..... 2,066 87,536 Capital Lease Funding, Inc. (b)......................... 1,408 6,167 Capstead Mortgage Corp. (b)... 2,104 28,720 CBL & Associates Properties, Inc. (b).................... 4,485 43,370 Cedar Shopping Centers, Inc. (b)......................... 1,409 9,581 Chimera Investment Corp. (b).. 20,313 78,814 Colonial Properties Trust (b)......................... 2,252 26,416 Colony Financial, Inc. (b).... 378 7,700 Corporate Office Properties Trust (b)................... 1,930 70,696 Cousins Properties, Inc. (b).. 2,666 20,342 CreXus Investment Corp. (a)(b)...................... 381 5,319 DCT Industrial Trust, Inc. (b)......................... 6,723 33,749 Developers Diversified Realty Corp. (b)................... 4,312 39,929 DiamondRock Hospitality Co. (b)......................... 3,919 33,194 Douglas Emmett, Inc. (b)...... 3,902 55,603 Duke Realty Corp. (b)......... 7,358 89,547 DuPont Fabros Technology, Inc. (b)......................... 1,353 24,340 EastGroup Properties, Inc. (b)......................... 874 33,457 Education Realty Trust, Inc. ....................... 1,687 8,165 Entertainment Properties Trust (b)......................... 1,319 46,521 Equity Lifestyle Properties, Inc. (b).................... 1,007 50,823 Equity One, Inc. (b).......... 1,198 19,372 Essex Property Trust, Inc. (b)......................... 916 76,623 Extra Space Storage, Inc. (b)......................... 2,829 32,675 FelCor Lodging Trust, Inc. (a)(b)...................... 1,928 6,941 First Industrial Realty Trust, Inc. (a)(b)................. 1,873 9,796
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- First Potomac Realty Trust (b)......................... 869 $ 10,923 Franklin Street Properties Corp. (b)................... 2,334 34,100 Getty Realty Corp. (b)........ 547 12,871 Government Properties Income Trust (b)................... 325 7,469 Hatteras Financial Corp. (b).. 1,178 32,937 Healthcare Realty Trust, Inc. (b)......................... 1,919 41,182 Highwoods Properties, Inc. (b)......................... 2,325 77,539 Home Properties, Inc. (b)..... 1,063 50,716 Hospitality Properties Trust.. 3,917 92,872 HRPT Properties Trust (b)..... 7,280 47,102 Inland Real Estate Corp. (b).. 2,401 19,568 Invesco Mortgage Capital, Inc. (b)......................... 286 6,509 Investors Real Estate Trust (b)......................... 2,408 21,672 iStar Financial, Inc. (a)(b).. 3,172 8,120 Kilroy Realty Corp. (b)....... 1,404 43,061 Kite Realty Group Trust (b)... 2,160 8,791 LaSalle Hotel Properties (b).. 2,016 42,800 Lexington Realty Trust (b).... 3,265 19,851 LTC Properties, Inc. (b)...... 736 19,688 Mack-Cali Realty Corp. (b).... 2,551 88,188 Medical Properties Trust, Inc. (b)......................... 2,666 26,660 MFA Financial, Inc. (b)....... 9,000 66,150 Mid-America Apartment Communities, Inc. (b)....... 926 44,707 National Health Investors, Inc. (b).................... 745 27,558 National Retail Properties, Inc. (b).................... 2,579 54,726 NorthStar Realty Finance Corp. (b)......................... 1,915 6,568 OMEGA Healthcare Investors, Inc. (b).................... 2,686 52,243 Parkway Properties, Inc. (b).. 649 13,512 Pebblebrook Hotel Trust (a)... 608 13,382 Pennsylvania Real Estate Investment Trust (b)........ 1,235 10,448 Pennymac Mortgage Investment Trust (a)................... 530 9,105 Post Properties, Inc. (b)..... 1,484 29,086 Potlatch Corp. (b)............ 1,289 41,093 PS Business Parks, Inc. ...... 603 30,180 RAIT Investment Trust (a)..... 1,796 2,353 Ramco-Gershenson Properties Trust (b)................... 1,031 9,836 Redwood Trust, Inc. (b)....... 2,263 32,723 Saul Centers, Inc. (b)........ 203 6,650 Senior Housing Properties Trust (b)................... 4,072 89,055 SL Green Realty Corp. (b)..... 2,476 124,394 Sovran Self Storage, Inc. (b)......................... 871 31,121 Starwood Property Trust, Inc. (b)......................... 1,344 25,388 Sun Communities, Inc. (b)..... 514 10,152 Sunstone Hotel Investors, Inc. (a)(b)...................... 3,127 27,768 Tanger Factory Outlet Centers, Inc. (b).................... 1,297 50,570 Taubman Centers, Inc. (b)..... 1,742 62,555 The Macerich Co. (b).......... 3,151 113,278 U-Store-It Trust.............. 2,575 18,849 UDR, Inc. (b)................. 5,004 82,266 Universal Health Realty Income Trust (b)................... 338 10,826 Urstadt Biddle Properties (b)......................... 104 1,560 Urstadt Biddle Properties (Class A) (b)............... 583 8,902 Walter Investment Management Corp. (b)................... 828 11,865 Washington Real Estate Investment Trust (b)........ 1,941 53,475 Weingarten Realty Investors (b)......................... 3,938 77,933 ------------ 3,369,634 ------------ REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.4% Avatar Holdings, Inc. (a)(b).. 283 4,814 Forest City Enterprises, Inc. (Class A) (a)(b)............ 3,936 46,366 Forestar Real Estate Group, Inc. (a)(b)................. 1,230 27,035 Jones Lang LaSalle, Inc. (b).. 1,321 79,789 Tejon Ranch Co. (a)........... 391 11,425 ------------ 169,429 ------------ ROAD & RAIL -- 1.0% AMERCO, Inc. (a)(b)........... 189 9,397 Arkansas Best Corp. (b)....... 754 22,190 Avis Budget Group, Inc. (a)(b)...................... 3,303 43,335 Con-way, Inc. (b)............. 1,600 55,856 Dollar Thrifty Automotive Group, Inc. (a)(b).......... 897 22,972 Genesee & Wyoming, Inc. (Class A) (a)(b)................... 1,200 39,168 Heartland Express, Inc. (b)... 1,758 26,845 Knight Transportation, Inc. (b)......................... 1,861 35,899 Landstar Systems, Inc. (b).... 1,704 66,064 Marten Transport, Ltd. (a)(b)...................... 460 8,257 Old Dominion Freight Line, Inc. (a).................... 995 30,547 Patriot Transportation Holding, Inc. (a)(b)........ 59 5,573 RailAmerica, Inc. (a)......... 714 8,711 Universal Truckload Services, Inc. (b).................... 212 3,837 Werner Enterprises, Inc. (b).. 1,674 33,128 YRC Worldwide, Inc. (a)(b).... 1,755 1,474 ------------ 413,253 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 4.0% Actel Corp. (a)(b)............ 777 9,231 Advanced Analogic Technologies, Inc. (a)...... 1,346 5,303 Advanced Energy Industries, Inc. (a)(b)................. 1,011 15,246 Amkor Technology, Inc. (a)(b)...................... 3,740 26,778 Anadigics, Inc. (a)(b)........ 1,907 8,048 Applied Micro Circuits Corp. (a)(b)...................... 2,171 16,217 Atheros Communications, Inc. (a)(b)...................... 1,978 67,727 Atmel Corp. (a)(b)............ 12,774 58,888 ATMI, Inc. (a)(b)............. 1,054 19,625 Brooks Automation, Inc. (a)... 1,815 15,573 Cabot Microelectronics Corp. (a)(b)...................... 772 25,445 Cavium Networks, Inc. (a)(b).. 1,211 28,858 Cirrus Logic, Inc. (a)(b)..... 1,773 12,092 Cohu, Inc. (b)................ 651 9,081 Cymer, Inc. (a)(b)............ 937 35,962 Cypress Semiconductor Corp. (a)(b)...................... 5,162 54,511 Diodes, Inc. (a)(b)........... 1,059 21,657 DSP Group, Inc. (a)(b)........ 714 4,020 Entegris, Inc. (a)(b)......... 4,272 22,556 Exar Corp. (a)(b)............. 1,157 8,226 Fairchild Semiconductor International, Inc. (a)..... 3,943 39,391 FEI Co. (a)(b)................ 1,219 28,476
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Formfactor, Inc. (a)(b)....... 1,597 $ 34,751 Hittite Microwave Corp. (a)(b)...................... 630 25,672 Integrated Device Technology, Inc. (a).................... 5,233 33,858 International Rectifier Corp. (a)......................... 2,365 52,314 Intersil Corp. (Class A) (b).. 3,992 61,237 IXYS Corp. (a)................ 753 5,587 Kulicke & Soffa Industries, Inc. (a)(b)................. 2,370 12,774 Lattice Semiconductor Corp. (a)(b)...................... 3,412 9,212 Micrel, Inc. (b).............. 1,455 11,931 Microsemi Corp. (a)(b)........ 2,644 46,931 MKS Instruments, Inc. (a)..... 1,428 24,861 Monolithic Power Systems, Inc. (a)(b)...................... 1,152 27,613 Netlogic Microsystems, Inc. (a)(b)...................... 614 28,404 Novellus Systems, Inc. (a)(b)...................... 3,229 75,365 OmniVision Technologies, Inc. (a)(b)...................... 1,702 24,730 PMC-Sierra, Inc. (a)(b)....... 7,272 62,976 Power Integrations, Inc. (b).. 877 31,888 Rambus, Inc. (a)(b)........... 3,477 84,839 RF Micro Devices, Inc. (a)(b)...................... 7,740 36,920 Rubicon Technology, Inc. (a)(b)...................... 412 8,368 Semtech Corp. (a)............. 1,908 32,455 Sigma Designs, Inc. (a)(b).... 803 8,592 Silicon Image, Inc. (a)(b).... 2,225 5,740 Silicon Laboratories, Inc. (a)(b)...................... 1,440 69,610 Silicon Storage Technology, Inc. (a)(b)................. 2,642 6,764 Skyworks Solutions, Inc. (a).. 5,401 76,640 Standard Microsystems Corp. (a)......................... 683 14,193 Supertex, Inc. (a)(b)......... 379 11,294 Teradyne, Inc. (a)(b)......... 5,566 59,723 Tessera Technologies, Inc. (a)......................... 1,614 37,558 Trident Microsystems, Inc. (a)(b)...................... 1,848 3,437 TriQuint Semiconductor, Inc. (a)(b)...................... 5,046 30,276 Ultratech, Inc. (a)(b)........ 684 10,164 Veeco Instruments, Inc. (a)(b)...................... 1,175 38,822 Volterra Semiconductor Corp. (a)(b)...................... 861 16,462 Zoran Corp. (a)............... 1,561 17,249 ------------ 1,672,121 ------------ SOFTWARE -- 3.8% ACI Worldwide, Inc. (a)(b).... 1,127 19,328 Advent Software, Inc. (a)(b).. 451 18,369 ArcSight, Inc. (a)(b)......... 962 24,608 Ariba, Inc. (a)............... 2,820 35,306 Blackbaud, Inc. (b)........... 1,434 33,885 Blackboard, Inc. (a)(b)....... 943 42,803 Bottomline Technologies, Inc. (a)(b)...................... 806 14,161 Cadence Design Systems, Inc. (a)(b)...................... 8,456 50,651 Commvault Systems, Inc. (a)(b)...................... 1,287 30,489 Compuware Corp. (a)(b)........ 7,718 55,801 Concur Technologies, Inc. (a)(b)...................... 1,335 57,071 Deltek, Inc. (a)(b)........... 1,217 9,468 DemandTec, Inc. (a)(b)........ 614 5,385 Ebix, Inc. (a)(b)............. 388 18,946 Epicor Software Corp. (a)(b).. 1,580 12,040 EPIQ Systems, Inc. (a)(b)..... 1,036 14,494 Fair Isaac Corp. (b).......... 1,587 33,819 FalconStor Software, Inc. (a)(b)...................... 1,096 4,450 Fortinet, Inc. (a)(b)......... 475 8,346 i2 Technologies, Inc. (a)(b).. 515 9,847 Informatica Corp. (a)(b)...... 2,898 74,942 Jack Henry & Associates, Inc. (b)......................... 2,769 64,019 JDA Software Group, Inc. (a).. 1,069 27,227 Kenexa Corp. (a).............. 599 7,817 Lawson Software, Inc. (a)(b).. 4,804 31,947 Manhattan Associates, Inc. (a)(b)...................... 722 17,350 Mentor Graphics Corp. (a)(b).. 3,107 27,435 MICROS Systems, Inc. (a)(b)... 2,652 82,292 MicroStrategy, Inc. (a)....... 288 27,078 Monotype Imaging Holdings, Inc. (a)(b)................. 695 6,276 Netscout Systems, Inc. (a).... 1,123 16,441 NetSuite, Inc. (a)............ 797 12,736 Novell, Inc. (a).............. 11,464 47,576 OPNET Technologies, Inc. (b).. 473 5,766 Parametric Technology Corp. (a)(b)...................... 3,784 61,831 Pegasystems, Inc. (b)......... 469 15,946 Progress Software Corp. (a)... 1,342 39,200 Quality Systems, Inc. (b)..... 589 36,983 Quest Software, Inc. (a)(b)... 2,013 37,039 Radiant Systems, Inc. (a)(b).. 848 8,819 Renaissance Learning, Inc. (b)......................... 221 2,511 Rosetta Stone, Inc. (a)(b).... 316 5,672 S1 Corp. (a).................. 1,517 9,891 Smith Micro Software, Inc. (a)......................... 1,046 9,560 Solarwinds, Inc. (a)(b)....... 992 22,826 Solera Holdings, Inc. (b)..... 2,292 82,535 SonicWALL, Inc. (a)........... 1,695 12,899 Sourcefire, Inc. (a)(b)....... 675 18,056 SuccessFactors, Inc. (a)(b)... 1,792 29,711 Symyx Technologies, Inc. (a)(b)...................... 1,041 5,726 Synchronoss Technologies, Inc. (a)......................... 566 8,948 Take-Two Interactive Software, Inc. (a)(b)................. 2,564 25,768 Taleo Corp. (Class A) (a)(b).. 999 23,497 TeleCommunication Systems, Inc. (Class A) (a)(b)....... 1,233 11,935 THQ, Inc. (a)(b).............. 2,038 10,272 TIBCO Software, Inc. (a)(b)... 5,765 55,517 TiVo, Inc. (a)(b)............. 3,495 35,579 Tyler Technologies, Inc. (a)(b)...................... 1,120 22,299 Ultimate Software Group, Inc. (a)(b)...................... 846 24,847 Vasco Data Security International (a)(b)........ 866 5,430 Websense, Inc. (a)(b)......... 1,305 22,785 ------------ 1,594,251 ------------ SPECIALTY RETAIL -- 3.8% Aaron's, Inc. (b)............. 1,569 43,508 Aeropostale, Inc. (a)(b)...... 2,201 74,944 AnnTaylor Stores Corp. (a)(b)...................... 1,892 25,807 Asbury Automotive Group, Inc. (a)(b)...................... 960 11,069 Barnes & Noble, Inc. (b)...... 1,245 23,742 Bebe Stores, Inc. (b)......... 899 5,637 Big 5 Sporting Goods Corp. (b)......................... 571 9,810 Blockbuster, Inc. (Class A) (a)(b)...................... 5,293 3,546 Brown Shoe Co., Inc. (b)...... 1,387 13,690 Cabela's, Inc. (a)(b)......... 1,439 20,520 Charming Shoppes, Inc. (a)(b)...................... 2,961 19,158 Chico's FAS, Inc. (a)(b)...... 5,625 79,031 Christopher & Banks Corp. (b)......................... 1,057 8,054 Citi Trends, Inc. (a)(b)...... 512 14,141 Coldwater Creek, Inc. (a)(b).. 1,781 7,943 Collective Brands, Inc. (a)(b)...................... 2,143 48,796 Conn's, Inc. (a)(b)........... 342 1,997 Dick's Sporting Goods, Inc. (a)(b)...................... 2,739 68,119 DSW, Inc. (Class A) (a)(b).... 437 11,310
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Foot Locker, Inc. (b)......... 4,921 $ 54,820 Genesco, Inc. (a)(b).......... 707 19,414 Group 1 Automotive, Inc. (a)(b)...................... 818 23,190 Gymboree Corp. (a)(b)......... 973 42,316 hhgregg, Inc. (a)(b).......... 732 16,126 Hibbett Sports, Inc. (a)(b)... 939 20,649 Hot Topic, Inc. (a)(b)........ 1,371 8,720 J. Crew Group, Inc. (a)(b).... 1,660 74,268 Jo-Ann Stores, Inc. (a)....... 863 31,275 Jos. A. Bank Clothiers, Inc. (a)(b)...................... 600 25,314 Lumber Liquidators Holdings, Inc. (a).................... 508 13,614 Monro Muffler Brake, Inc. (b)......................... 638 21,335 New York & Co., Inc. (a)(b)... 808 3,466 Office Depot, Inc. (a)(b)..... 8,740 56,373 OfficeMax, Inc. (a)(b)........ 2,498 31,700 Pacific Sunwear of California, Inc. (a)(b)................. 2,062 8,207 Penske Automotive Group, Inc. (a)(b)...................... 1,249 18,960 RadioShack Corp. (b).......... 4,134 80,613 Rent-A-Center, Inc. (a)(b).... 2,098 37,177 Rue21, Inc. (a)............... 242 6,798 Sally Beauty Holdings, Inc. (a)(b)...................... 2,886 22,078 Signet Jewelers, Ltd. (a)..... 2,734 73,052 Sonic Automotive, Inc. (Class A) (a)(b)................... 1,163 12,084 Stage Stores, Inc. (b)........ 1,176 14,535 Stein Mart, Inc. (a)(b)....... 912 9,722 Systemax, Inc. (b)............ 116 1,822 The Buckle, Inc. (b).......... 909 26,616 The Cato Corp. (Class A) (b).. 912 18,295 The Children's Place Retail Stores, Inc. (a)(b)......... 615 20,301 The Dress Barn, Inc. (a)(b)... 2,055 47,471 The Finish Line, Inc. (Class A).......................... 1,705 21,398 The Mens Wearhouse, Inc. (b).. 1,530 32,222 The Pep Boys -- Manny, Moe & Jack (b).................... 1,614 13,654 The Talbots, Inc. (a)(b)...... 690 6,148 The Wet Seal, Inc. (Class A) (a)(b)...................... 3,059 10,554 Tractor Supply Co. (a)(b)..... 1,153 61,063 Ulta Salon Cosmetics & Fragrance, Inc. (a)(b)...... 1,196 21,719 Vitamin Shoppe, Inc. (a)...... 293 6,516 Williams-Sonoma, Inc. (b)..... 3,098 64,376 Zumiez, Inc. (a)(b)........... 614 7,810 ------------ 1,576,593 ------------ TEXTILES, APPAREL & LUXURY GOODS -- 1.8% American Apparel, Inc. (a)(b)...................... 1,027 3,184 Carter's, Inc. (a)(b)......... 1,840 48,300 Columbia Sportswear Co. (b)... 452 17,646 Crocs, Inc. (a)(b)............ 2,466 14,179 Deckers Outdoor Corp. (a)(b).. 429 43,638 FGX International Holdings, Ltd. (a)(b)................. 501 9,815 Fossil, Inc. (a)(b)........... 1,544 51,817 Hanesbrands, Inc. (a)(b)...... 3,006 72,475 Iconix Brand Group, Inc. (a)(b)...................... 2,368 29,955 Jones Apparel Group, Inc. .... 2,783 44,695 K-Swiss, Inc. (Class A) (a)(b)...................... 789 7,843 Kenneth Cole Productions, Inc. (Class A) (a)(b)............ 247 2,383 Liz Claiborne, Inc. (a)(b).... 3,277 18,449 Maidenform Brands, Inc. (a)... 561 9,363 Movado Group, Inc. (b)........ 542 5,268 Oxford Industries, Inc. (b)... 424 8,768 Phillips-Van Heusen Corp. (b)......................... 1,695 68,953 Quiksilver, Inc. (a)(b)....... 3,836 7,749 Skechers USA, Inc. (a)(b)..... 1,070 31,469 Steven Madden, Ltd. (a)....... 557 22,971 The Timberland Co. (Class A) (a)(b)...................... 1,468 26,321 The Warnaco Group, Inc. (a)(b)...................... 1,511 63,749 True Religion Apparel, Inc. (a)(b)...................... 804 14,866 Under Armour, Inc. (Class A) (a)(b)...................... 1,256 34,251 UniFirst Corp. ............... 420 20,206 Volcom, Inc. (a)(b)........... 567 9,492 Weyco Group, Inc. (b)......... 252 5,957 Wolverine World Wide, Inc. ... 1,554 42,300 ------------ 736,062 ------------ THRIFTS & MORTGAGE FINANCE -- 1.4% Astoria Financial Corp. (b)... 2,864 35,600 Bank Mutual Corp. (b)......... 1,458 10,089 BankFinancial Corp. (b)....... 686 6,791 Beneficial Mutual Bancorp, Inc. (a)(b)................. 1,122 11,041 Berkshire Hills Bancorp, Inc. (b)......................... 419 8,665 Brookline Bancorp, Inc. (b)... 1,936 19,186 Clifton Savings Bancorp, Inc. (b)......................... 335 3,139 Dime Community Bancshares (b)......................... 971 11,380 Doral Financial Corp. (a)(b).. 181 657 ESSA Bancorp, Inc. (b)........ 461 5,394 Fannie Mae (a)(b)............. 35,407 41,780 First Financial Holdings, Inc. (b)......................... 599 7,781 First Financial Northwest, Inc. (b).................... 492 3,223 First Niagara Financial Group, Inc. ....................... 5,868 81,624 Flagstar Bancorp, Inc. (a)(b)...................... 252 151 Flushing Financial Corp. (b).. 865 9,740 Freddie Mac (a)............... 21,184 31,141 Kearny Financial Corp. (b).... 655 6,602 Meridian Interstate Bancorp, Inc. (a)(b)................. 386 3,354 MGIC Investment Corp. (a)(b).. 4,077 23,565 NewAlliance Bancshares, Inc. (b)......................... 3,247 38,996 Northwest Bancshares, Inc. ... 1,344 15,214 Ocwen Financial Corp. (a)(b).. 2,402 22,987 Oritani Financial Corp. (b)... 322 4,421 Provident Financial Services, Inc. (b).................... 1,850 19,703 Provident New York Bancorp (b)......................... 1,144 9,655 Radian Group, Inc. (b)........ 2,538 18,553 Rockville Financial, Inc. (b)......................... 312 3,276 Roma Financial Corp. (b)...... 240 2,966 The PMI Group, Inc. (a)(b).... 2,420 6,098 TrustCo Bank Corp. NY (b)..... 2,532 15,952 United Financial Bancorp, Inc. (b)......................... 563 7,381 ViewPoint Financial Group (b)......................... 344 4,957 Washington Federal, Inc. (b).. 3,709 71,732 Waterstone Financial, Inc. (a)(b)...................... 279 572 Westfield Financial, Inc. (b)......................... 996 8,217 WSFS Financial Corp. (b)...... 190 4,870 ------------ 576,453 ------------ TOBACCO -- 0.2% Alliance One International, Inc. (a)(b)................. 2,676 13,059 Star Scientific, Inc. (a)(b).. 2,456 1,719 Universal Corp. (b)........... 824 37,583 Vector Group, Ltd. (b)........ 1,262 17,668 ------------ 70,029 ------------
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- TRADING COMPANIES & DISTRIBUTORS -- 0.7% Aceto Corp. (b)............... 854 $ 4,398 Aircastle, Ltd. (b)........... 1,352 13,317 Applied Industrial Technologies, Inc. (b)...... 1,272 28,073 Beacon Roofing Supply, Inc. (a)(b)...................... 1,475 23,600 GATX Corp. (b)................ 1,312 37,720 H&E Equipment Services, Inc. (a)(b)...................... 814 8,539 Interline Brands, Inc. (a).... 1,114 19,239 Kaman Corp. (Class A) (b)..... 866 19,996 Lawson Products, Inc. (b)..... 129 2,277 RSC Holdings, Inc. (a)(b)..... 1,480 10,419 Rush Enterprises, Inc. (Class A) (a)(b)................... 989 11,759 TAL International Group, Inc. (b)......................... 354 4,683 Textainer Group Holdings, Ltd. (b)......................... 547 9,244 Titan Machinery, Inc. (a)(b).. 498 5,747 United Rentals, Inc. (a)(b)... 2,023 19,846 Watsco, Inc. (b).............. 918 44,964 WESCO International, Inc. (a)(b)...................... 1,337 36,112 ------------ 299,933 ------------ WATER UTILITIES -- 0.2% American States Water Co. (b)......................... 648 22,946 California Water Service Group (b)......................... 630 23,196 Connecticut Water Service, Inc. (b).................... 288 7,134 Middlesex Water Co. (b)....... 436 7,687 SJW Corp. (b)................. 394 8,892 ------------ 69,855 ------------ WIRELESS TELECOMMUNICATION SERVICES -- 0.3% ICO Global Communications Holdings, Ltd. (a).......... 3,402 3,674 Leap Wireless International, Inc. (a)(b)................. 2,000 35,100 NTELOS Holdings Corp. (b)..... 952 16,965 Shenandoah Telecommunications Co. (b)..................... 776 15,792 Syniverse Holdings, Inc. (a).. 2,226 38,910 USA Mobility, Inc. (b)........ 688 7,574 ------------ 118,015 ------------ TOTAL COMMON STOCKS -- (Cost $40,789,441).......... 41,830,252 ------------ SHORT TERM INVESTMENTS -- 29.3% MONEY MARKET FUNDS -- 29.3% State Street Institutional Liquid Reserves Fund (d).... 59,130 59,130 State Street Navigator Securities Lending Prime Portfolio (d)(e)............ 12,221,071 12,221,071 ------------ TOTAL SHORT TERM INVESTMENTS -- (Cost $12,280,201).......... 12,280,201 ------------ TOTAL INVESTMENTS -- 129.1% (F) (Cost $53,069,642).......... 54,110,453 OTHER ASSETS AND LIABILITIES -- (29.1)%...... (12,185,534) ------------ NET ASSETS -- 100.0%.......... $ 41,924,919 ============
(a) Non-income producing security. (b) Security, or portion thereof, was on loan at December 31, 2009. (c) Security is value 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. Teton Advisors, Inc.'s value is determined based on Level 3 inputs. (d) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (e) Investments of cash collateral for securities loaned. (f) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (Note 2) REIT = Real Estate Investment Trust See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP GROWTH ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.7% AEROSPACE & DEFENSE -- 2.2% AAR Corp. (a)(b).............. 6,938 $ 159,435 Aerovironment, Inc. (a)....... 2,563 74,532 American Science & Engineering, Inc. .......... 1,489 112,926 Argon ST, Inc. (a)............ 2,282 49,565 BE Aerospace, Inc. (a)........ 16,715 392,803 Ceradyne, Inc. (a)(b)......... 4,665 89,615 DigitalGlobe, Inc. (a)(b)..... 5,226 126,469 DynCorp International, Inc. (a)......................... 4,338 62,250 GeoEye, Inc. (a)(b)........... 3,450 96,186 Heico Corp. (Class A)......... 3,574 128,521 Hexcel Corp. (a).............. 17,281 224,307 Ladish Co., Inc. (a)(b)....... 2,533 38,198 Moog, Inc. (Class A) (a)(b)... 6,928 202,505 Orbital Sciences Corp. (a).... 10,233 156,156 Stanley, Inc. (a)............. 3,145 86,204 Taser International, Inc. (a)(b)...................... 11,124 48,723 Teledyne Technologies, Inc. (a)(b)...................... 6,561 251,680 TransDigm Group, Inc. ........ 6,675 316,996 ------------ 2,617,071 ------------ AIR FREIGHT & LOGISTICS -- 0.5% Forward Air Corp. (b)......... 5,202 130,310 HUB Group, Inc. (Class A) (a)(b)...................... 6,789 182,149 UTI Worldwide, Inc. .......... 17,876 255,984 ------------ 568,443 ------------ AIRLINES -- 1.7% AirTran Holdings, Inc. (a)(b)...................... 21,450 111,969 Allegiant Travel Co. (a)(b)... 2,443 115,236 AMR Corp. (a)................. 59,720 461,635 Continental Airlines, Inc. (Class B) (a)(b)............ 24,287 435,223 Hawaiian Holdings, Inc. (a)(b)...................... 9,311 65,177 JetBlue Airways Corp. (a)(b).. 42,626 232,312 SkyWest, Inc. ................ 10,229 173,075 UAL Corp. (a)(b).............. 29,110 375,810 US Airways Group, Inc. (a)(b)...................... 28,321 137,074 ------------ 2,107,511 ------------ AUTO COMPONENTS -- 1.0% ArvinMeritor, Inc. (a)(b)..... 13,085 146,290 Drew Industries, Inc. (a)(b).. 3,295 68,042 Exide Technologies (a)........ 8,349 59,361 Fuel Systems Solutions, Inc. (a)(b)...................... 2,346 96,749 Lear Corp. (a)................ 6,000 405,840 Raser Technologies, Inc. (a)(b)...................... 7,315 9,071 Tenneco, Inc. (a)(b).......... 10,546 186,981 WABCO Holdings, Inc. ......... 11,205 288,977 ------------ 1,261,311 ------------ AUTOMOBILES -- 0.2% Thor Industries, Inc. ........ 6,839 214,745 ------------ BEVERAGES -- 0.3% Boston Beer Co., Inc. (Class A) (a)(b)................... 1,816 84,625 Central European Distribution Corp. (a)................... 10,721 304,584 ------------ 389,209 ------------ BIOTECHNOLOGY -- 5.1% Abraxis BioScience, Inc. (a)(b)...................... 1,027 41,645 Acorda Therapeutics, Inc. (a)(b)...................... 6,716 169,377 Affymax, Inc. (a)(b).......... 2,231 55,195 Alkermes, Inc. (a)(b)......... 17,024 160,196 Allos Therapeutics, Inc. (a)(b)...................... 14,178 93,149 Alnylam Pharmaceuticals, Inc. (a)(b)...................... 6,746 118,864 AMAG Pharmaceuticals, Inc. (a)(b)...................... 2,989 113,672 Amicus Therapeutics, Inc. (a)(b)...................... 1,738 6,900 Arena Pharmaceuticals, Inc. (a)(b)...................... 16,469 58,465 Ariad Pharmaceuticals, Inc. (a)(b)...................... 18,664 42,554 Array BioPharma, Inc. (a)(b).. 7,862 22,092 BioCryst Pharmaceuticals, Inc. (a)(b)...................... 5,572 35,995 BioMarin Pharmaceutical, Inc. (a)(b)...................... 17,463 328,479 Celera Corp. (a)(b)........... 14,452 99,863 Cepheid, Inc. (a)(b).......... 10,337 129,006 Cubist Pharmaceuticals, Inc. (a)(b)...................... 10,247 194,386 Emergent Biosolutions, Inc. (a)......................... 2,758 37,481 Enzon Pharmaceuticals, Inc. (a)(b)...................... 7,137 75,153 Exelixis, Inc. (a)(b)......... 19,744 145,513 Facet Biotech Corp. (a)(b).... 4,035 70,935 Genomic Health, Inc. (a)(b)... 2,720 53,203 Geron Corp. (a)(b)............ 16,434 91,209 GTX, Inc. (a)(b).............. 2,492 10,466 Halozyme Therapeutics, Inc. (a)(b)...................... 14,301 83,947 Human Genome Sciences, Inc. (a)(b)...................... 31,986 978,772 Immunogen, Inc. (a)(b)........ 9,983 78,466 Incyte Corp. (a)(b)........... 18,972 172,835 InterMune, Inc. (a)(b)........ 6,354 82,856 Isis Pharmaceuticals, Inc. (a)(b)...................... 16,611 184,382 Lexicon Pharmaceuticals, Inc. (a)(b)...................... 20,534 34,908 MannKind Corp. (a)(b)......... 11,176 97,902 Martek Biosciences Corp. (a)(b)...................... 5,854 110,875 Maxygen, Inc. (a)(b).......... 6,149 37,447 Medivation, Inc. (a)(b)....... 6,140 231,171 Metabolix, Inc. (a)(b)........ 4,008 44,369 Micromet, Inc. (a)(b)......... 11,824 78,748 Momenta Pharmaceuticals, Inc. (a)(b)...................... 7,194 90,716 NPS Pharmaceuticals, Inc. (a)(b)...................... 9,282 31,559 Onyx Pharmaceuticals, Inc. (a)(b)...................... 10,003 293,488 Opko Health, Inc. (a)......... 21,483 39,314 Orexigen Therapeutics, Inc. (a)(b)...................... 5,676 42,229 Osiris Therapeutics, Inc. (a)(b)...................... 3,055 21,813 Pharmasset, Inc. (a)(b)....... 4,267 88,327 Progenics Pharmaceuticals, Inc. (a)(b)................. 4,613 20,482 Regeneron Pharmaceuticals, Inc. (a)(b)................. 11,158 269,800 Sangamo Biosciences, Inc. (a)(b)...................... 6,311 37,361 Seattle Genetics, Inc. (a)(b)...................... 14,129 143,551 SIGA Technologies, Inc. (a)(b)...................... 5,017 29,099 Synta Pharmaceuticals Corp. (a)(b)...................... 3,063 15,499 Targacept, Inc. (a)(b)........ 2,952 61,756 Theravance, Inc. (a)(b)....... 9,668 126,361 United Therapeutics Corp. (a)(b)...................... 8,365 440,417 Zymogenetics, Inc. (a)(b)..... 6,573 42,001 ------------ 6,164,249 ------------ BUILDING PRODUCTS -- 0.5% AAON, Inc. (b)................ 2,566 50,012 Quanex Building Products Corp. (b)......................... 6,769 114,870 Simpson Manufacturing Co., Inc. (b).................... 6,781 182,341 Trex Co., Inc. (a)............ 2,527 49,529 USG Corp. (a)(b).............. 11,964 168,094 ------------ 564,846 ------------
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP GROWTH ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- CAPITAL MARKETS -- 1.4% Cohen & Steers, Inc. ......... 3,647 $ 83,298 Duff & Phelps Corp. (Class A) (b)......................... 3,488 63,691 GFI Group, Inc. (b)........... 11,592 52,975 Greenhill & Co., Inc. ........ 4,598 368,944 KBW, Inc. (a)(b).............. 6,239 170,699 Knight Capital Group, Inc. (Class A) (a)............... 16,639 256,241 MF Global, Ltd. (b)........... 17,431 121,145 optionsXpress Holdings, Inc. (b)......................... 8,097 125,099 Penson Worldwide, Inc. (a)(b)...................... 3,515 31,846 Pzena Investment Management, Inc. (Class A) (a)(b)....... 989 8,050 Riskmetrics Group, Inc. (a)(b)...................... 5,496 87,441 Stifel Financial Corp. (a)(b)...................... 5,168 306,152 TradeStation Group, Inc. (a)(b)...................... 5,683 44,839 Westwood Holdings Group, Inc. (b)......................... 1,111 40,374 ------------ 1,760,794 ------------ CHEMICALS -- 1.5% American Vanguard Corp. ...... 3,225 26,768 Balchem Corp. ................ 3,359 112,560 Calgon Carbon Corp. (a)(b).... 9,675 134,483 LSB Industries, Inc. (a)(b)... 3,147 44,373 Nalco Holding Co. (b)......... 24,238 618,311 NewMarket Corp. (b)........... 1,964 225,408 PolyOne Corp. (a),(b)......... 15,873 118,571 Rockwood Holdings, Inc. (a)(b)...................... 9,131 215,126 STR Holdings, Inc. (a)(b)..... 2,223 34,923 W.R. Grace & Co. (a)(b)....... 10,752 272,563 Zoltek Cos., Inc. (a)(b)...... 4,731 44,945 ------------ 1,848,031 ------------ COMMERCIAL BANKS -- 1.1% East West Bancorp, Inc. ...... 15,765 249,087 First Citizens BancShares, Inc. (Class A) (b).......... 1,028 168,602 Nara Bancorp, Inc. (a)........ 5,846 66,294 Orrstown Financial Services, Inc. (b).................... 1,030 35,926 Pinnacle Financial Partners, Inc. (a)(b)................. 5,638 80,172 PrivateBancorp, Inc. (b)...... 11,985 107,505 Signature Bank (a)............ 7,234 230,765 Sterling Financial Corp. (a)(b)...................... 9,348 5,796 SVB Financial Group (a)(b).... 7,342 306,088 Texas Capital Bancshares, Inc. (a)(b)...................... 6,306 88,032 Western Alliance Bancorp (a).. 11,265 42,582 ------------ 1,380,849 ------------ COMMERCIAL SERVICES & SUPPLIES -- 1.7% American Ecology Corp. ....... 3,051 51,989 American Reprographics Co. (a)......................... 6,891 48,306 Cenveo, Inc. (a)(b)........... 10,416 91,140 Clean Harbors, Inc. (a)(b).... 4,168 248,454 EnergySolutions, Inc. (b)..... 13,976 118,656 EnerNOC, Inc. (a)(b).......... 3,075 93,449 Fuel Tech, Inc. (a)........... 3,181 25,989 Innerworkings, Inc. (a)(b).... 6,302 37,182 Interface, Inc. (Class A) (b)......................... 9,811 81,529 KAR Auction Services, Inc. (a)......................... 3,600 49,644 Knoll, Inc. (b)............... 8,917 92,113 M&F Worldwide Corp. (a)(b).... 2,168 85,636 Metalico, Inc. (a)(b)......... 6,064 29,835 Mobile Mini, Inc. (a)(b)...... 6,307 88,866 RINO International Corp. (a)(b)...................... 934 25,825 Rollins, Inc. (b)............. 9,233 178,012 Schawk, Inc. (b).............. 2,186 29,730 Standard Parking Corp. (a)(b)...................... 1,504 23,884 Sykes Enterprises, Inc. (a)(b)...................... 6,365 162,117 Team, Inc. (a)................ 3,392 63,803 Tetra Tech, Inc. (a)(b)....... 10,776 292,784 The Geo Group, Inc. (a)....... 9,180 200,858 ------------ 2,119,801 ------------ COMMUNICATIONS EQUIPMENT -- 4.2% Acme Packet, Inc. (a)(b)...... 6,026 66,286 ADC Telecommunications, Inc. (a)(b)...................... 17,208 106,862 Adtran, Inc. (b).............. 11,161 251,681 Airvana, Inc. (a)(b).......... 5,562 42,271 Anaren, Inc. (a).............. 2,673 40,229 Arris Group, Inc. (a)(b)...... 22,203 253,780 Aruba Networks, Inc. (a)(b)... 12,006 127,984 Bel Fuse, Inc. (Class B)...... 1,901 40,852 BigBand Networks, Inc. (a)(b)...................... 7,557 25,996 Blue Coat Systems, Inc. (a)(b)...................... 6,696 191,104 CIENA Corp. (a)(b)............ 16,183 175,424 CommScope, Inc. (a)(b)........ 16,928 449,100 Comtech Telecommunications Corp. (a)(b)................ 5,014 175,741 DG Fastchannel, Inc. (a)(b)... 3,405 95,102 Digi International, Inc. (a).. 4,468 40,748 EchoStar Corp. (Class A) (a).. 7,200 145,008 Finisar Corp. (a)(b).......... 10,347 92,295 Harmonic, Inc. (a)(b)......... 16,644 105,357 Harris Stratex Networks, Inc. (Class A) (a)............... 10,661 73,668 Hughes Communications, Inc. (a)(b)...................... 1,697 44,173 Infinera Corp. (a)(b)......... 17,587 155,997 InterDigital, Inc. (a)(b)..... 7,782 206,534 Ixia (a)(b)................... 6,169 45,897 JDS Uniphase Corp. (a)........ 38,408 316,866 Loral Space & Communications, Inc. (a)(b)................. 2,055 64,959 Netgear, Inc. (a)............. 6,344 137,601 OpNext, Inc. (a)(b)........... 10,545 20,035 Palm, Inc. (a)(b)............. 25,982 260,859 Plantronics, Inc. (b)......... 8,692 225,818 Polycom, Inc. (a)(b).......... 14,864 371,154 Riverbed Technology, Inc. (a)(b)...................... 10,028 230,343 SeaChange International, Inc. (a)(b)...................... 5,744 37,738 ShoreTel, Inc. (a)(b)......... 2,938 16,982 Sonus Networks, Inc. (a)(b)... 38,973 82,233 Sycamore Networks, Inc. (a)... 3,431 71,742 Tekelec (a)(b)................ 11,891 181,694 ViaSat, Inc. (a).............. 5,468 173,773 ------------ 5,143,886 ------------ COMPUTERS & PERIPHERALS -- 1.0% 3PAR, Inc. (a)(b)............. 5,897 69,879 Compellent Technologies, Inc. (a)(b)...................... 2,901 65,795 Hypercom Corp. (a)............ 10,031 31,798 Intermec, Inc. (a)............ 8,618 110,828 Isilon Systems, Inc. (a)(b)... 5,328 36,550 Novatel Wireless, Inc. (a)(b)...................... 5,165 41,165 QLogic Corp. (a)(b)........... 20,129 379,834 Quantum Corp. (a)(b).......... 32,416 94,979
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP GROWTH ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Silicon Graphics International Corp. (a)(b)................ 4,919 $ 34,482 STEC, Inc. (a)(b)............. 6,435 105,148 Stratasys, Inc. (a)(b)........ 3,864 66,770 Synaptics, Inc. (a)(b)........ 6,061 185,770 ------------ 1,222,998 ------------ CONSTRUCTION & ENGINEERING -- 0.5% Dycom Industries, Inc. (a).... 6,784 54,476 Furmanite Corp. (a)(b)........ 6,131 23,359 Great Lakes Dredge & Dock Corp. (b)................... 7,377 47,803 Layne Christensen Co. (a)(b).. 3,618 103,873 Mastec, Inc. (a),(b).......... 8,696 108,700 MYR Group, Inc. (a)(b)........ 3,342 60,423 Orion Marine Group, Inc. (a)(b)...................... 4,547 95,760 Pike Electric Corp. (a)(b).... 2,966 27,524 Primoris Services Corp. ...... 1,868 14,888 Sterling Construction Co., Inc. (a)(b)................. 2,545 48,813 ------------ 585,619 ------------ CONSTRUCTION MATERIALS -- 0.2% Eagle Materials, Inc. ........ 7,802 203,242 ------------ CONSUMER FINANCE -- 0.5% AmeriCredit Corp. (a)(b)...... 11,742 223,568 Cardtronics, Inc. (a)(b)...... 2,710 30,000 Credit Acceptance Corp. (a)(b)...................... 1,185 49,888 Ezcorp, Inc. (a)(b)........... 7,987 137,456 First Cash Financial Services, Inc. (a)(b)................. 4,820 106,956 ------------ 547,868 ------------ CONTAINERS & PACKAGING -- 0.4% Bway Holding Co. (a).......... 2,054 39,478 Graphic Packaging Holding Co. (a)(b)...................... 13,241 45,946 Rock-Tenn Co. (Class A)....... 6,903 347,980 ------------ 433,404 ------------ DISTRIBUTORS -- 0.4% LKQ Corp. (a)................. 24,603 481,973 ------------ DIVERSIFIED CONSUMER SERVICES -- 1.5% American Public Education, Inc. (a)(b)................. 3,278 112,632 Bridgepoint Education, Inc. (a)(b)...................... 3,327 49,972 Brink's Home Security Holdings, Inc. (a)(b)....... 8,169 266,636 Capella Education Co. (a)(b).. 2,721 204,891 Coinstar, Inc. (a)(b)......... 5,026 139,622 Corinthian Colleges, Inc. (a)(b)...................... 14,174 195,176 Grand Canyon Education, Inc. (a)(b)...................... 2,937 55,832 K12, Inc. (a)(b).............. 3,791 76,844 Lincoln Educational Services Corp. (a)(b)................ 1,732 37,532 Matthews International Corp. (Class A) (b)............... 5,443 192,846 Sotheby's (b)................. 12,110 272,233 Steiner Leisure, Ltd. (a)..... 2,458 97,730 Universal Technical Institute, Inc. (a)(b)................. 3,785 76,457 ------------ 1,778,403 ------------ DIVERSIFIED FINANCIAL SERVICES -- 0.4% Interactive Brokers Group, Inc. (Class A) (a),(b)...... 7,252 128,505 MarketAxess Holdings, Inc. (b)......................... 4,430 61,577 NewStar Financial, Inc. (a)... 3,972 15,570 Pico Holdings, Inc. (a)(b).... 3,365 110,137 Portfolio Recovery Associates, Inc. (a)(b)................. 2,702 121,266 ------------ 437,055 ------------ DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.0% AboveNet, Inc. (a)............ 3,639 236,680 Cbeyond, Inc. (a)(b).......... 3,973 62,575 General Communication, Inc. (Class A) (a)(b)............ 6,699 42,740 Global Crossing, Ltd. (a)(b).. 5,575 79,444 Neutral Tandem, Inc. (a)(b)... 5,796 131,859 PAETEC Holding Corp. (a)(b)... 22,452 93,176 Premiere Global Services, Inc. (a)(b)...................... 10,163 83,845 tw telecom, inc. (a)(b)....... 26,682 457,329 ------------ 1,187,648 ------------ ELECTRICAL EQUIPMENT -- 2.0% A123 Systems, Inc. (a)(b)..... 5,024 112,739 American Superconductor Corp. (a)......................... 7,204 294,644 AZZ, Inc. (a)(b).............. 2,084 68,147 Baldor Electric Co. (b)....... 7,571 212,669 Broadwind Energy, Inc. (a)(b)...................... 5,792 46,857 Encore Wire Corp. (b)......... 3,601 75,873 Ener1, Inc. (a)(b)............ 9,250 58,645 Energy Conversion Devices, Inc. (a)(b)................. 8,204 86,716 EnerSys (a)................... 7,392 161,663 Evergreen Solar, Inc. (a)(b).. 32,208 48,634 FuelCell Energy, Inc. (a)(b).. 12,590 47,338 General Cable Corp. (a)(b).... 9,297 273,518 GT Solar International, Inc. (a)(b)...................... 5,245 29,162 II-VI, Inc. (a)(b)............ 4,500 143,100 Plug Power, Inc. (a).......... 12,454 8,842 Polypore International, Inc. (a)(b)...................... 4,146 49,337 Powell Industries, Inc. (a)(b)...................... 1,405 44,300 Power-One, Inc. (a)(b)........ 15,010 65,294 Regal-Beloit Corp. (b)........ 6,555 340,467 Valence Technology, Inc. (a)(b)...................... 17,095 15,557 Vicor Corp. (a)............... 4,124 38,353 Woodward Governor Co. (b)..... 10,221 263,395 ------------ 2,485,250 ------------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.7% Benchmark Electronics, Inc. (a)......................... 11,687 221,001 Brightpoint, Inc. (a)(b)...... 11,684 85,877 Cogent, Inc. (a)(b)........... 7,182 74,621 Cognex Corp. ................. 6,686 118,476 CTS Corp. .................... 5,350 51,467 Daktronics, Inc. (b).......... 6,431 59,230 DTS Inc. (a)(b)............... 3,047 104,238 Echelon Corp. (a)(b).......... 5,576 64,459 Electro Scientific Industries, Inc. (a).................... 4,307 46,602 FARO Technologies, Inc. (a)(b)...................... 2,531 54,265 ICx Technologies, Inc. (a)(b)...................... 2,314 22,029 Insight Enterprises, Inc. (a)......................... 8,724 99,628 IPG Photonics Corp. (a)(b).... 4,597 76,954 Jabil Circuit, Inc. .......... 35,498 616,600 L-1 Identity Solutions, Inc. (a)(b)...................... 15,165 113,586 Maxwell Technologies, Inc. (a)(b)...................... 4,113 73,376 MTS Systems Corp. (b)......... 3,208 92,198 Multi-Fineline Electronix, Inc. (a)(b)................. 1,763 50,016 National Instruments Corp. (b)......................... 10,976 323,243
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP GROWTH ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Newport Corp. (a)............. 6,902 $ 63,429 OSI Systems, Inc. (a)......... 2,765 75,429 Plexus Corp. (a).............. 6,992 199,272 Rofin-Sinar Technologies, Inc. (a)(b)...................... 5,139 121,332 Rogers Corp. (a).............. 2,769 83,928 Sanmina-SCI Corp. (a)(b)...... 14,729 162,461 Scansource, Inc. (a)(b)....... 4,756 126,985 TTM Technologies, Inc. (a)(b)...................... 7,159 82,543 Universal Display Corp. (a)(b)...................... 5,707 70,539 ------------ 3,333,784 ------------ ENERGY EQUIPMENT & SERVICES -- 4.2% Allis-Chalmers Energy, Inc. (a)(b)...................... 5,393 20,332 Atwood Oceanics, Inc. (a)(b).. 10,045 360,113 Basic Energy Services, Inc. (a)(b)...................... 4,136 36,810 Bronco Drilling Co., Inc. (a)(b)...................... 4,808 24,377 Cal Dive International, Inc. (a)......................... 15,806 119,493 CARBO Ceramics, Inc. (b)...... 3,669 250,116 Complete Production Services, Inc. (a)(b)................. 11,326 147,238 Dawson Geophysical Co. (a)(b)...................... 1,253 28,957 Dresser-Rand Group, Inc. (a).. 14,717 465,204 Dril-Quip, Inc. (a)(b)........ 5,403 305,161 ENGlobal Corp. (a)(b)......... 3,146 9,847 Exterran Holdings, Inc. (a)(b)...................... 11,124 238,610 Global Industries, Ltd. (a)(b)...................... 18,044 128,654 Helix Energy Solutions Group, Inc. (a).................... 16,894 198,505 Hercules Offshore, Inc. (a)(b)...................... 20,311 97,087 Hornbeck Offshore Services, Inc. (a)(b)................. 4,252 98,987 ION Geophysical Corp. (a)(b).. 15,921 94,252 Key Energy Services, Inc. (a)(b)...................... 21,817 191,771 Lufkin Industries, Inc. (b)... 2,727 199,616 Matrix Service Co. (a)........ 5,118 54,507 Newpark Resources, Inc. (a)(b)...................... 16,954 71,715 Oil States International, Inc. (a)(b)...................... 8,895 349,485 Parker Drilling Co. (a)(b).... 20,638 102,158 Pioneer Drilling Co. (a)(b)... 8,385 66,242 RPC, Inc. (b)................. 5,895 61,308 SEACOR Holdings, Inc. (a)..... 3,465 264,206 Seahawk Drilling, Inc. (a)(b)...................... 1,870 42,150 Superior Energy Services, Inc. (a)(b)...................... 13,850 336,416 Superior Well Services, Inc. (a)(b)...................... 4,388 62,573 T-3 Energy Services, Inc. (a)......................... 2,119 54,035 Tesco Corp. (a)............... 6,074 78,415 Tetra Technologies, Inc. (a).. 13,273 147,065 Unit Corp. (a)(b)............. 8,445 358,912 ------------ 5,064,317 ------------ FOOD & STAPLES RETAILING -- 0.4% Arden Group, Inc. (Class A)... 306 29,260 Great Atlantic & Pacific Tea Co. (a)(b).................. 6,671 78,651 Pantry, Inc. (a).............. 4,242 57,649 Rite Aid Corp. (a)(b)......... 108,553 163,915 Susser Holdings Corp. (a)(b).. 2,095 17,996 United Natural Foods, Inc. (a)(b)...................... 7,031 188,009 ------------ 535,480 ------------ FOOD PRODUCTS -- 1.0% Calavo Growers, Inc. (b)...... 2,117 35,989 Darling International, Inc. (a)......................... 15,256 127,845 Diamond Foods, Inc. (b)....... 2,908 103,351 Green Mountain Coffee Roasters, Inc. (a)(b)....... 6,953 566,461 J&J Snack Foods Corp. ........ 2,448 97,822 Smart Balance, Inc. (a)(b).... 11,271 67,626 TreeHouse Foods, Inc. (a)(b).. 5,777 224,494 ------------ 1,223,588 ------------ HEALTH CARE EQUIPMENT & SUPPLIES -- 3.9% Abaxis, Inc. (a).............. 3,888 99,338 ABIOMED, Inc. (a)(b).......... 5,725 50,036 Accuray, Inc. (a)(b).......... 7,361 41,295 AGA Medical Holdings, Inc. (a)(b)...................... 2,514 37,132 Align Technology, Inc. (a)(b)...................... 11,447 203,986 American Medical Systems Holdings, Inc. (a),(b)...... 13,422 258,910 AngioDynamics, Inc. (a)(b).... 4,419 71,058 Cantel Medical Corp. (a)(b)... 2,534 51,136 Conceptus, Inc. (a)(b)........ 4,434 83,182 CryoLife, Inc. (a)(b)......... 5,821 37,371 Cyberonics, Inc. (a)(b)....... 4,067 83,129 DexCom, Inc. (a)(b)........... 8,035 64,923 ev3, Inc. (a)(b).............. 12,632 168,511 Greatbatch, Inc. (a)(b)....... 4,146 79,728 Haemonetics Corp. (a)(b)...... 4,434 244,535 ICU Medical, Inc. (a)......... 2,437 88,804 Immucor, Inc. (a)(b).......... 12,131 245,531 Insulet Corp. (a)(b).......... 5,400 77,112 Integra LifeSciences Holdings Corp. (a)................... 3,880 142,706 IRIS International, Inc. (a).. 3,242 40,071 Kensey Nash Corp. (a)(b)...... 1,685 42,968 MAKO Surgical Corp. (a)(b).... 4,602 51,082 Masimo Corp. (a)(b)........... 9,303 282,997 Meridian Bioscience, Inc. (b)......................... 7,218 155,548 Merit Medical Systems, Inc. (a)(b)...................... 4,998 96,411 Natus Medical, Inc. (a)....... 5,410 80,014 Neogen Corp. (a)(b)........... 3,860 91,135 NuVasive, Inc. (a)(b)......... 6,522 208,574 OraSure Technologies, Inc. (a)(b)...................... 9,059 46,020 Orthofix International N.V. (a)......................... 2,801 86,747 Orthovita, Inc. (a)(b)........ 13,618 47,799 Palomar Medical Technologies, Inc. (a)(b)................. 3,321 33,476 Quidel Corp. (a)(b)........... 4,777 65,827 RTI Biologics, Inc. (a)(b).... 9,878 37,932 Sirona Dental Systems, Inc. (a)......................... 3,293 104,520 SonoSite, Inc. (a)(b)......... 3,338 78,877 SurModics, Inc. (a)(b)........ 2,844 64,445 Symmetry Medical, Inc. (a).... 5,455 43,967 Synovis Life Technologies, Inc. (a)(b)................. 2,116 27,318 Thoratec Corp. (a)(b)......... 10,045 270,411 TomoTherapy, Inc. (a)(b)...... 9,556 37,268 Trans1, Inc. (a)(b)........... 1,655 6,537 Volcano Corp. (a)(b).......... 7,324 127,291 West Pharmaceutical Services, Inc. (b).................... 5,967 233,906 Wright Medical Group, Inc. (a)(b)...................... 6,746 127,837 Zoll Medical Corp. (a)........ 3,740 99,933 ------------ 4,717,334 ------------ HEALTH CARE PROVIDERS & SERVICES -- 4.7% Air Methods Corp. (a)(b)...... 2,006 67,442 Alliance HealthCare Services, Inc. (a).................... 4,814 27,488 Almost Family, Inc. (a)....... 1,341 53,010
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP GROWTH ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Amedisys, Inc. (a)(b)......... 4,937 $ 239,741 AMERIGROUP Corp. (a).......... 9,454 254,880 AMN Healthcare Services, Inc. (a)......................... 6,212 56,281 AmSurg Corp. (a)(b)........... 5,535 121,881 Assisted Living Concepts, Inc. (Class A) (a)(b)............ 1,781 46,965 athenahealth, Inc. (a)........ 5,652 255,696 Bio-Reference Laboratories, Inc. (a)(b)................. 2,122 83,161 Brookdale Senior Living, Inc. (a)(b)...................... 9,718 176,770 CardioNet, Inc. (a)(b)........ 4,324 25,685 Catalyst Health Solutions, Inc. (a).................... 6,736 245,662 Centene Corp. (a)............. 8,137 172,260 Chemed Corp. (b).............. 3,973 190,585 Clarient, Inc. (a)(b)......... 8,413 22,294 Corvel Corp. (a)(b)........... 1,369 45,916 Emdeon, Inc. (Class A) (a)(b)...................... 4,205 64,126 Emergency Medical Services Corp. (Class A) (a)(b)...... 3,554 192,449 Emeritus Corp. (a)(b)......... 3,909 73,294 Genoptix, Inc. (a)(b)......... 3,044 108,153 Health Management Associates, Inc. (Class A) (a).......... 44,117 320,731 Healthspring, Inc. (a)(b)..... 9,323 164,178 Healthways, Inc. (a)(b)....... 6,009 110,205 HMS Holdings Corp. (a)........ 4,680 227,869 inVentiv Health, Inc. (a)(b).. 5,959 96,357 IPC The Hospitalist Co. (a)... 2,667 88,678 LHC Group, Inc. (a)(b)........ 2,791 93,806 MEDNAX, Inc. (a).............. 8,243 495,487 MWI Veterinary Supply, Inc. (a)......................... 2,050 77,285 Nighthawk Radiology Holdings, Inc. (a)(b)................. 3,574 16,190 Odyssey Healthcare, Inc. (a).. 6,109 95,178 PharMerica Corp. (a)(b)....... 5,478 86,991 PSS World Medical, Inc. (a)(b)...................... 10,853 244,952 Psychiatric Solutions, Inc. (a)......................... 9,761 206,348 Select Medical Holdings Corp. (a)(b)...................... 5,313 56,424 Team Health Holdings, Inc. (a)(b)...................... 3,100 43,462 The Ensign Group, Inc. (b).... 2,274 34,951 Universal American Financial Corp. (a)(b)................ 7,563 88,487 VCA Antech, Inc. (a)(b)....... 15,147 377,463 Virtual Radiologic Corp. (a)(b)...................... 1,198 15,286 WellCare Health Plans, Inc. (a)......................... 7,613 279,854 ------------ 5,743,921 ------------ HEALTH CARE TECHNOLOGY -- 0.7% Allscripts-Misys Healthcare Solutions, Inc. (a)(b)...... 10,383 210,048 Computer Programs and Systems, Inc. (b).................... 1,989 91,594 Eclipsys Corp. (a)(b)......... 10,187 188,663 MedAssets, Inc. (a)(b)........ 7,654 162,341 Medidata Solutions, Inc. (a).. 3,120 48,672 Omnicell, Inc. (a)(b)......... 5,626 65,768 Phase Forward, Inc. (a)....... 7,702 118,226 ------------ 885,312 ------------ HOTELS, RESTAURANTS & LEISURE -- 2.7% Ambassadors Group, Inc. (b)... 3,247 43,153 Bally Technologies, Inc. (a)(b)...................... 9,756 402,825 BJ's Restaurants, Inc. (a)(b)...................... 3,264 61,429 Buffalo Wild Wings, Inc. (a)(b)...................... 3,188 128,381 California Pizza Kitchen, Inc. (a)(b)...................... 4,229 56,880 CEC Entertainment, Inc. (a)(b)...................... 4,257 135,883 Choice Hotels International, Inc. (b).................... 5,334 168,875 Denny's Corp. (a)(b).......... 16,981 37,188 DineEquity, Inc. (a)(b)....... 2,708 65,777 Domino's Pizza, Inc. (a)(b)... 7,384 61,878 Interval Leisure Group, Inc. (a)(b)...................... 7,353 91,692 Life Time Fitness, Inc. (a)(b)...................... 7,600 189,468 Morgans Hotel Group Co. (a)(b)...................... 4,974 22,532 P F Chang's China Bistro, Inc. (a)(b)...................... 3,880 147,091 Panera Bread Co. (Class A) (a)......................... 5,605 375,367 Papa John's International, Inc. (a).................... 3,934 91,898 Peet's Coffee & Tea, Inc. (a)(b)...................... 2,375 79,159 Red Robin Gourmet Burgers, Inc. (a)(b)................. 2,818 50,442 Scientific Games Corp. (Class A) (a)...................... 12,384 180,187 Shuffle Master, Inc. (a)(b)... 9,700 79,928 Sonic Corp. (a)(b)............ 10,843 109,189 Texas Roadhouse, Inc. (Class A) (a)(b)................... 9,260 103,990 The Cheesecake Factory, Inc. (a)(b)...................... 10,131 218,728 WMS Industries, Inc. (a)...... 10,306 412,240 ------------ 3,314,180 ------------ HOUSEHOLD DURABLES -- 1.3% Harman International Industries, Inc. ........... 12,239 431,792 iRobot Corp. (a)(b)........... 3,744 65,894 Jarden Corp. (b).............. 15,411 476,354 Meritage Homes Corp. (a)(b)... 5,331 103,048 National Presto Industries, Inc. (b).................... 840 91,753 Ryland Group, Inc. (b)........ 7,665 151,001 Tempur-Pedic International, Inc. (a)(b)................. 12,629 298,423 ------------ 1,618,265 ------------ INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.1% Ormat Technologies, Inc. (b).. 3,190 120,710 ------------ INDUSTRIAL CONGLOMERATES -- 0.2% Raven Industries, Inc. (b).... 3,078 97,788 Seaboard Corp. (b)............ 70 94,430 ------------ 192,218 ------------ INSURANCE -- 0.3% Amtrust Financial Services, Inc. (b).................... 4,291 50,720 Citizens, Inc. (a)(b)......... 5,748 37,534 Crawford & Co. (Class B) (a)(b)...................... 4,189 16,505 eHealth, Inc. (a)(b).......... 4,265 70,074 Seabright Insurance Holdings (a)......................... 4,198 48,235 Tower Group, Inc. (b)......... 7,333 171,665 ------------ 394,733 ------------ INTERNET & CATALOG RETAIL -- 0.7% 1-800-FLOWERS.COM, Inc. (Class A) (a)(b)................... 3,596 9,529 Blue Nile, Inc. (a)........... 2,583 163,581 Gaiam, Inc. (Class A) (a)(b).. 3,495 26,877 HSN, Inc. (a)(b).............. 7,258 146,539 NutriSystem, Inc. (b)......... 5,659 176,391 Orbitz Worldwide, Inc. (a)(b)...................... 6,060 44,480 Overstock.com, Inc. (a)(b).... 3,080 41,765 PetMed Express, Inc. (b)...... 4,153 73,217 Shutterfly, Inc. (a)(b)....... 3,310 58,951
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP GROWTH ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Stamps.com, Inc. (a)(b)....... 2,801 $ 25,209 Ticketmaster Entertainment, Inc. (a).................... 7,493 91,565 ------------ 858,104 ------------ INTERNET SOFTWARE & SERVICES -- 2.3% Ancestry.com, Inc. (a)........ 1,354 18,970 Archipelago Learning, Inc. (a)......................... 800 16,560 Art Technology Group, Inc. (a)......................... 23,727 107,009 comScore, Inc. (a)(b)......... 3,971 69,691 Constant Contact, Inc. (a)(b)...................... 4,786 76,576 DealerTrack Holdings, Inc. (a)(b)...................... 6,690 125,705 Dice Holdings, Inc. (a)(b).... 3,901 25,552 Digital River, Inc. (a)(b).... 6,848 184,827 DivX, Inc. (a)(b)............. 5,450 30,738 GSI Commerce, Inc. (a)(b)..... 7,766 197,179 InfoSpace, Inc. (a)(b)........ 5,916 50,700 Internap Network Services Corp. (a)(b)................ 9,902 46,539 Internet Brands, Inc. (Class A) (a)(b)................... 5,284 41,374 j2 Global Communications, Inc. (a)(b)...................... 8,176 166,382 Limelight Networks, Inc. (a)(b)...................... 7,813 30,705 Liquidity Services, Inc. (a)(b)...................... 2,709 27,280 LogMeIn, Inc. (a)............. 1,217 24,279 LoopNet, Inc. (a)(b).......... 6,132 60,952 Marchex, Inc. (Class B) (b)... 4,667 23,708 ModusLink Global Solutions, Inc. (a)(b)................. 8,123 76,437 Move, Inc. (a)(b)............. 27,767 46,093 NIC, Inc. .................... 9,520 87,013 OpenTable, Inc. (a)(b)........ 2,721 69,277 Perficient, Inc. (a)(b)....... 5,322 44,864 Rackspace Hosting, Inc. (a)(b)...................... 13,311 277,534 RealNetworks, Inc. (a)........ 15,231 56,507 SAVVIS, Inc. (a)(b)........... 7,014 98,547 Switch & Data Facilities Co., Inc. (a), b)................ 4,139 83,649 TechTarget, Inc. (a)(b)....... 2,848 16,034 Terremark Worldwide, Inc. (a)(b)...................... 6,433 44,002 The Knot, Inc. (a)(b)......... 5,727 57,671 ValueClick, Inc. (a)(b)....... 15,522 157,083 Vocus, Inc. (a)(b)............ 3,186 57,348 WebMD Health Corp. (a)........ 9,125 351,221 ------------ 2,848,006 ------------ IT SERVICES -- 2.0% Acxiom Corp. (a).............. 14,128 189,598 Cass Information Systems, Inc. (b)......................... 1,434 43,594 CyberSource Corp. (a)(b)...... 12,430 249,967 Euronet Worldwide, Inc. (a)... 8,539 187,431 ExlService Holdings, Inc. (a)......................... 2,687 48,796 Forrester Research, Inc. (a).. 2,598 67,418 Gartner, Inc. (a)............. 11,391 205,494 Heartland Payment Systems, Inc. (b).................... 6,191 81,288 Integral Systems Inc. (a)(b).. 2,913 25,227 Lionbridge Technologies, Inc. (a)(b)...................... 8,619 19,824 NCI, Inc. (Class A) (a)(b).... 1,320 36,498 NeuStar, Inc. (Class A) (a)(b)...................... 12,937 298,068 RightNow Technologies, Inc. (a)......................... 4,153 72,138 Sapient Corp. (a)(b).......... 16,082 132,998 Syntel, Inc. (b).............. 4,039 153,603 TeleTech Holdings, Inc. (a)... 5,518 110,525 TNS, Inc. (a)................. 4,521 116,144 VeriFone Holdings, Inc. (a)(b)...................... 13,273 217,412 Wright Express Corp. (a)...... 6,855 218,400 ------------ 2,474,423 ------------ LEISURE EQUIPMENT & PRODUCTS -- 0.2% Pool Corp. (b)................ 8,554 163,210 Smith & Wesson Holding Corp. (a)(b)...................... 10,601 43,358 ------------ 206,568 ------------ LIFE SCIENCES TOOLS & SERVICES -- 0.9% Affymetrix, Inc. (a)(b)....... 12,571 73,414 Bruker Corp. (a).............. 9,231 111,326 Dionex Corp. (a).............. 3,200 236,384 Enzo Biochem, Inc. (a)(b)..... 6,142 33,044 eResearch Technology, Inc. (a)(b)...................... 8,790 52,828 Kendle International, Inc. (a)(b)...................... 2,612 47,826 Luminex Corp. (a)............. 7,397 110,437 PAREXEL International Corp. (a)......................... 10,407 146,739 Sequenom, Inc. (a)(b)......... 9,655 39,972 Varian, Inc. (a)(b)........... 5,241 270,121 ------------ 1,122,091 ------------ MACHINERY -- 4.0% Actuant Corp. (Class A) (b)... 11,736 217,468 Altra Holdings, Inc. (a)(b)... 5,046 62,318 American Railcar Industries, Inc. (b).................... 1,384 15,252 Badger Meter, Inc. ........... 2,628 104,647 Bucyrus International, Inc. (Class A)................... 13,200 744,084 Chart Industries, Inc. (a)(b)...................... 5,068 83,875 CLARCOR, Inc. ................ 9,105 295,366 Columbus McKinnon Corp. (a)(b)...................... 3,314 45,269 Dynamic Materials Corp. (b)... 2,506 50,245 Energy Recovery, Inc. (a)(b).. 5,437 37,407 ESCO Technologies, Inc. (b)... 4,616 165,484 Force Protection, Inc. (a)(b)...................... 12,468 64,958 Gardner Denver, Inc. (b)...... 9,279 394,822 Graham Corp. (b).............. 1,680 34,776 John Bean Technologies Corp. (b)......................... 4,917 83,638 K-Tron International, Inc. (a)(b)...................... 522 56,762 L.B. Foster Co. (a)........... 1,802 53,718 Lindsay Corp. (b)............. 2,140 85,279 Middleby Corp. (a)(b)......... 3,320 162,746 Nordson Corp. (b)............. 5,373 328,720 RBC Bearings, Inc. (a)........ 3,954 96,201 Sauer-Danfoss, Inc. (a)(b).... 1,964 23,588 Sun Hydraulics Corp. (b)...... 2,070 54,338 Terex Corp. (a)(b)............ 18,942 375,241 The Gorman-Rupp Co. .......... 2,727 75,374 The Greenbrier Cos., Inc. (b)......................... 2,801 29,074 The Manitowoc Co., Inc. (b)... 23,327 232,570 The Toro Co. (b).............. 5,954 248,937 Valmont Industries, Inc. (b).. 3,838 301,091 Wabtec Corp. ................. 8,706 355,553 ------------ 4,878,801 ------------ MARINE -- 0.3% Excel Maritime Carriers, Ltd. (a)......................... 8,507 52,403 Kirby Corp. (a)(b)............ 9,391 327,088 TBS International, Ltd. (a)(b)...................... 2,668 19,610 ------------ 399,101 ------------
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP GROWTH ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- MEDIA -- 1.7% CKX, Inc. (a)(b).............. 11,218 $ 59,119 Crown Media Holdings, Inc. (Class A) (a)(b)............ 1,511 2,191 Dolan Media Co. (a)(b)........ 5,288 53,990 Fisher Communications, Inc. (a)......................... 932 15,145 Knology, Inc. (a)(b).......... 5,282 57,838 Lamar Advertising Co. (Class A) (a)(b)................... 10,335 321,315 Liberty Media Corp.- Interactive (Class A) (a)... 15,318 365,794 Live Nation, Inc. (a)(b)...... 15,027 127,880 Mediacom Communications Corp. (Class A) (a)(b)............ 6,441 28,791 Morningstar, Inc. (a)......... 3,699 178,810 National CineMedia, Inc. ..... 7,503 124,325 RCN Corp. (a)................. 6,602 71,632 Sirius XM Radio, Inc. (a)(b).. 691,149 414,689 Valassis Communications, Inc. (a)......................... 8,502 155,246 Warner Music Group Corp. (a)(b)...................... 9,752 55,196 ------------ 2,059,220 ------------ METALS & MINING -- 2.1% AK Steel Holding Corp. (b).... 19,587 418,182 Allied Nevada Gold Corp. (a).. 11,518 173,691 Brush Engineered Materials, Inc. (a)(b)................. 3,475 64,427 Century Aluminum Co. (a)(b)... 11,035 178,657 Compass Minerals International, Inc. (b)..... 5,797 389,500 Haynes International, Inc. (b)......................... 2,152 70,951 Hecla Mining Co. (a)(b)....... 43,099 266,352 Horsehead Holding Corp. (a)(b)...................... 8,188 104,397 Royal Gold, Inc. (b).......... 7,280 342,888 RTI International Metals, Inc. (a)(b)...................... 4,923 123,912 Schnitzer Steel Industries, Inc. (Class A)(b)........... 3,741 178,446 Stillwater Mining Co. (a)..... 8,525 80,817 Titanium Metals Corp. (a)..... 15,382 192,583 ------------ 2,584,803 ------------ MULTILINE RETAIL -- 0.1% 99 Cents Only Stores (a)(b)... 7,625 99,659 ------------ OFFICE ELECTRONICS -- 0.3% Zebra Technologies Corp. (Class A) (a)(b)............ 10,668 302,544 ------------ OIL, GAS & CONSUMABLE FUELS -- 5.6% Alon USA Energy, Inc. ........ 2,516 17,209 Apco Oil and Gas International, Inc. (b)..... 1,586 35,051 Arena Resources, Inc. (a)(b).. 6,884 296,838 Atlas Energy, Inc. (b)........ 13,747 414,747 ATP Oil & Gas Corp. (a)(b).... 7,604 139,001 Berry Petroleum Co. (Class A) (b)......................... 7,089 206,644 Bill Barrett Corp. (a)(b)..... 5,974 185,851 BPZ Resources, Inc. (a)(b).... 18,417 174,961 Brigham Exploration Co. (a)(b)...................... 17,218 233,304 Carrizo Oil & Gas, Inc. (a)(b)...................... 4,899 129,775 Cheniere Energy, Inc. (a), b).......................... 9,587 23,201 Clean Energy Fuels Corp. (a)(b)...................... 6,669 102,769 Comstock Resources, Inc. (a)(b)...................... 8,010 324,966 Contango Oil & Gas Co. (a).... 2,335 109,768 CVR Energy, Inc. (a)(b)....... 9,790 67,159 Delek US Holdings, Inc. (b)... 2,536 17,270 Delta Petroleum Corp. (a)(b).. 32,514 33,815 Encore Acquisition Co. (a)(b)...................... 9,633 462,577 Frontier Oil Corp. (b)........ 18,520 222,981 Gastar Exploration, Ltd. (a).. 7,622 36,509 GMX Resources, Inc. (a)(b).... 5,107 70,170 Goodrich Petroleum Corp. (a)(b)...................... 4,699 114,421 Gulfport Energy Corp. (a)..... 5,273 60,376 Holly Corp. (b)............... 7,448 190,892 International Coal Group, Inc. (a)......................... 15,102 58,294 Isramco, Inc. (a)(b).......... 186 13,299 Mariner Energy, Inc. (a)(b)... 18,152 210,745 Massey Energy Co. (b)......... 15,045 632,040 McMoRan Exploration Co. (a)(b)...................... 13,833 110,941 Patriot Coal Corp. (a)(b)..... 13,765 212,807 Penn Virginia Corp. (b)....... 8,135 173,194 Petroleum Development Corp. (a)......................... 3,314 60,348 Petroquest Energy, Inc. (a)(b)...................... 9,543 58,499 Rentech, Inc. (a)(b).......... 34,301 42,190 Resolute Energy Corp. (a)(b).. 7,924 91,284 Rosetta Resources, Inc. (a)... 9,287 185,090 SandRidge Energy, Inc. (a)(b)...................... 31,620 298,177 St. Mary Land & Exploration Co. ........................ 10,901 373,250 Swift Energy Co. (a).......... 6,407 153,512 VAALCO Energy, Inc. (b)....... 11,190 50,914 Venoco, Inc. (a)(b)........... 3,590 46,814 W & T Offshore, Inc. (b)...... 6,542 76,541 Warren Resources, Inc. (a)(b)...................... 13,886 34,021 Western Refining, Inc. (a)(b)...................... 9,562 45,037 World Fuel Services Corp. (b)......................... 10,400 278,616 ------------ 6,875,868 ------------ PAPER & FOREST PRODUCTS -- 0.4% Clearwater Paper Corp. (a).... 2,060 113,238 Domtar Corp. (a)(b)........... 7,579 419,953 ------------ 533,191 ------------ PERSONAL PRODUCTS -- 1.2% Bare Escentuals, Inc. (a)(b).. 12,095 147,922 Chattem, Inc. (a)(b).......... 3,462 323,005 Herbalife, Ltd. .............. 10,820 438,967 Inter Parfums, Inc. (b)....... 2,375 28,904 NBTY, Inc. (a)(b)............. 10,068 438,361 USANA Health Sciences, Inc. (a)(b)...................... 1,406 44,851 ------------ 1,422,010 ------------ PHARMACEUTICALS -- 1.7% Acura Pharmaceuticals, Inc. (a)(b)...................... 1,801 9,599 Akorn, Inc. (a)(b)............ 8,537 15,281 Ardea Biosciences, Inc. (a)(b)...................... 2,427 33,978 Auxilium Pharmaceuticals, Inc. (a)(b)...................... 7,664 229,767 Biodel, Inc. (a).............. 2,352 10,208 Cadence Pharmaceuticals, Inc. (a)(b)...................... 5,971 57,740 Caraco Pharmaceutical Laboratories, Ltd. (a)(b)... 1,965 11,869 Cumberland Pharmaceuticals, Inc. (a)(b)................. 938 12,747 Cypress Bioscience, Inc. (a)(b)...................... 6,807 39,208 Durect Corp. (a)(b)........... 14,906 36,818 Impax Laboratories, Inc. (a)(b)...................... 9,464 128,710 Inspire Pharmaceuticals, Inc. (a)(b)...................... 12,327 68,045 MAP Pharmaceuticals, Inc. (a)(b)...................... 2,805 26,732 Nektar Therapeutics (a)(b).... 16,433 153,156 Optimer Pharmaceuticals, Inc. (a)(b)...................... 5,202 58,679
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP GROWTH ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Pain Therapeutics, Inc. (a)(b)...................... 5,817 $ 31,179 POZEN, Inc. (a)(b)............ 4,840 28,992 Questcor Pharmaceuticals, Inc. (a)(b)...................... 9,715 46,146 Salix Pharmaceuticals, Ltd. (a)(b)...................... 9,581 243,357 Sucampo Pharmaceuticals, Inc. (a)(b)...................... 1,250 5,050 The Medicines Co. (a)......... 9,662 80,581 Valeant Pharmaceuticals International (a)(b)........ 12,280 390,381 ViroPharma, Inc. (a)(b)....... 13,065 109,615 VIVUS, Inc. (a)(b)............ 14,636 134,505 XenoPort, Inc. (a)(b)......... 5,333 98,980 ------------ 2,061,323 ------------ PROFESSIONAL SERVICES -- 1.9% Administaff, Inc. ............ 4,027 94,997 Advisory Board Co. (a)(b)..... 2,915 89,374 CBIZ, Inc. (a)(b)............. 8,347 64,272 CoStar Group, Inc. (a)(b)..... 3,789 158,266 CRA International, Inc. (a), b).......................... 1,844 49,143 Exponent, Inc. (a)............ 2,672 74,388 Heidrick & Struggles International, Inc. (b)..... 3,207 100,187 Hill International, Inc. (a).. 5,192 32,398 Huron Consulting Group, Inc. (a)(b)...................... 3,857 88,865 ICF International, Inc. (a)... 1,705 45,694 Kforce, Inc. (a).............. 6,726 84,075 Korn/Ferry International (a).. 8,240 135,960 Mistras Group, Inc. (a)(b).... 1,546 23,283 Monster Worldwide, Inc. (a)(b)...................... 22,804 396,790 MPS Group, Inc. (a)(b)........ 16,526 227,067 Navigant Consulting, Inc. (a)......................... 8,641 128,405 Odyssey Marine Exploration, Inc. (a)(b)................. 10,373 14,626 Resources Connection, Inc. (a)(b)...................... 8,017 170,121 Spherion Corp. (a)(b)......... 9,865 55,441 The Corporate Executive Board Co. ........................ 6,122 139,704 TrueBlue, Inc. (a)(b)......... 7,774 115,133 ------------ 2,288,189 ------------ REAL ESTATE INVESTMENT TRUSTS -- 1.4% Alexander's, Inc. (a)(b)...... 493 150,079 Cedar Shopping Centers, Inc. (b)......................... 8,605 58,514 Corporate Office Properties Trust (b)................... 10,529 385,677 Equity Lifestyle Properties, Inc. (b).................... 5,294 267,188 Extra Space Storage, Inc. (b)......................... 15,327 177,027 Tanger Factory Outlet Centers, Inc. (b).................... 7,121 277,648 Taubman Centers, Inc. (b)..... 9,447 339,242 ------------ 1,655,375 ------------ REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.4% Jones Lang LaSalle, Inc. (b).. 7,191 434,337 Tejon Ranch Co. (a)........... 2,387 69,748 ------------ 504,085 ------------ ROAD & RAIL -- 1.1% AMERCO, Inc. (a)(b)........... 1,026 51,013 Dollar Thrifty Automotive Group, Inc. (a)(b).......... 4,616 118,216 Genesee & Wyoming, Inc. (Class A) (a)(b)................... 6,379 208,210 Heartland Express, Inc. (b)... 9,882 150,898 Knight Transportation, Inc. (b)......................... 10,451 201,600 Landstar Systems, Inc. ....... 8,905 345,247 Marten Transport, Ltd. (a)(b)...................... 2,717 48,770 Old Dominion Freight Line, Inc. (a)(b)................. 5,398 165,718 Patriot Transportation Holding, Inc. (a)(b)........ 279 26,354 RailAmerica, Inc. (a)(b)...... 3,963 48,349 YRC Worldwide, Inc. (a)(b).... 10,564 8,872 ------------ 1,373,247 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 7.0% Advanced Analogic Technologies, Inc. (a)...... 8,290 32,663 Advanced Energy Industries, Inc. (a)(b)................. 6,187 93,300 Amkor Technology, Inc. (a)(b)...................... 20,928 149,844 Anadigics, Inc. (a)(b)........ 12,291 51,868 Applied Micro Circuits Corp. (a)(b)...................... 11,626 86,846 Atheros Communications, Inc. (a)(b)...................... 10,781 369,141 Atmel Corp. (a)(b)............ 72,019 332,008 ATMI, Inc. (a)(b)............. 5,665 105,482 Brooks Automation, Inc. (a)(b)...................... 10,062 86,332 Cabot Microelectronics Corp. (a)......................... 4,149 136,751 Cavium Networks, Inc. (a)(b).. 6,467 154,109 Cirrus Logic, Inc. (a)........ 11,035 75,259 Cohu, Inc. (b)................ 4,305 60,055 Cymer, Inc. (a)(b)............ 4,942 189,674 Cypress Semiconductor Corp. (a)......................... 27,008 285,204 Diodes, Inc. (a)(b)........... 5,775 118,099 Entegris, Inc. (a)(b)......... 22,712 119,919 FEI Co. (a)................... 6,347 148,266 Formfactor, Inc. (a)(b)....... 8,755 190,509 Hittite Microwave Corp. (a)(b)...................... 3,475 141,606 Integrated Device Technology, Inc. (a).................... 29,491 190,807 International Rectifier Corp. (a)(b)...................... 13,025 288,113 IXYS Corp. (a)(b)............. 4,185 31,053 Kulicke & Soffa Industries, Inc. (a)(b)................. 12,097 65,203 Micrel, Inc. ................. 6,772 55,530 Microsemi Corp. (a)(b)........ 14,519 257,712 MKS Instruments, Inc. (a)(b).. 7,737 134,701 Monolithic Power Systems, Inc. (a)(b)...................... 6,068 145,450 Netlogic Microsystems, Inc. (a)(b)...................... 3,275 151,501 Novellus Systems, Inc. (a)(b)...................... 17,536 409,290 OmniVision Technologies, Inc. (a)(b)...................... 8,930 129,753 PMC-Sierra, Inc. (a)(b)....... 40,551 351,172 Power Integrations, Inc. (b).. 4,813 175,001 Rambus, Inc. (a)(b)........... 18,841 459,720 RF Micro Devices, Inc. (a)(b)...................... 41,859 199,667 Rubicon Technology, Inc. (a)(b)...................... 2,250 45,698 Semtech Corp. (a)(b).......... 10,801 183,725 Sigma Designs, Inc. (a)(b).... 4,695 50,236 Silicon Image, Inc. (a)(b).... 11,972 30,888 Silicon Laboratories, Inc. (a)(b)...................... 8,024 387,880 Silicon Storage Technology, Inc. (a)(b)................. 14,903 38,152 Skyworks Solutions, Inc. (a)(b)...................... 29,892 424,167 Standard Microsystems Corp. (a)......................... 3,910 81,250 Supertex, Inc. (a)(b)......... 2,009 59,868 Teradyne, Inc. (a)(b)......... 31,416 337,094 Tessera Technologies, Inc. (a)......................... 9,099 211,734 Trident Microsystems, Inc. (a)(b)...................... 10,003 18,606 TriQuint Semiconductor, Inc. (a)(b)...................... 27,505 165,030 Ultratech, Inc. (a)........... 4,137 61,476 Veeco Instruments, Inc. (a)(b)...................... 6,673 220,476
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP GROWTH ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Volterra Semiconductor Corp. (a)(b)...................... 4,573 $ 87,436 Zoran Corp. (a)............... 9,145 101,052 ------------ 8,476,376 ------------ SOFTWARE -- 6.1% ACI Worldwide, Inc. (a)(b).... 6,379 109,400 Advent Software, Inc. (a)..... 2,541 103,495 ArcSight, Inc. (a)(b)......... 5,000 127,900 Ariba, Inc. (a)(b)............ 16,064 201,121 Blackbaud, Inc. .............. 7,834 185,117 Blackboard, Inc. (a)(b)....... 5,276 239,478 Bottomline Technologies, Inc. (a)......................... 4,391 77,150 Cadence Design Systems, Inc. (a)......................... 47,557 284,866 Commvault Systems, Inc. (a)... 6,995 165,712 Concur Technologies, Inc. (a)(b)...................... 7,542 322,421 Deltek, Inc. (a)(b)........... 6,094 47,411 DemandTec, Inc. (a)(b)........ 3,524 30,906 Ebix, Inc. (a)(b)............. 1,550 75,687 EPIQ Systems, Inc. (a)(b)..... 5,882 82,289 FalconStor Software, Inc. (a)(b)...................... 6,298 25,570 Fortinet, Inc. (a)(b)......... 1,900 33,383 Informatica Corp. (a)(b)...... 15,629 404,166 Jack Henry & Associates, Inc. ....................... 15,043 347,794 Kenexa Corp. (a).............. 3,812 49,747 Lawson Software, Inc. (a)..... 24,374 162,087 Manhattan Associates, Inc. (a)......................... 3,998 96,072 Mentor Graphics Corp. (a)..... 17,842 157,545 MICROS Systems, Inc. (a)(b)... 14,044 435,785 MicroStrategy, Inc. (a)....... 1,691 158,988 Monotype Imaging Holdings, Inc. (a)(b)................. 3,902 35,235 Netscout Systems, Inc. (a)(b)...................... 5,028 73,610 NetSuite, Inc. (a)(b)......... 4,131 66,013 Parametric Technology Corp. (a)(b)...................... 20,812 340,068 Pegasystems, Inc. (b)......... 2,641 89,794 Progress Software Corp. (a)(b)...................... 7,177 209,640 Quality Systems, Inc. (b)..... 3,243 203,628 Quest Software, Inc. (a)(b)... 10,891 200,394 Radiant Systems, Inc. (a)..... 5,566 57,886 Rosetta Stone, Inc. (a)(b).... 1,988 35,685 Smith Micro Software, Inc. (a)(b)...................... 5,233 47,830 Solarwinds, Inc. (a)(b)....... 5,484 126,187 Solera Holdings, Inc. (b)..... 12,434 447,748 SonicWALL, Inc. (a)........... 9,648 73,421 Sourcefire, Inc. (a)(b)....... 3,553 95,043 SuccessFactors, Inc. (a)(b)... 9,719 161,141 Symyx Technologies, Inc. (a)(b)...................... 5,316 29,238 Synchronoss Technologies, Inc. (a)(b)...................... 3,562 56,315 Taleo Corp. (Class A) (a)(b).. 5,558 130,724 TeleCommunication Systems, Inc. (Class A) (a)(b)....... 7,731 74,836 THQ, Inc. (a)(b).............. 12,009 60,525 TIBCO Software, Inc. (a)...... 29,598 285,029 TiVo, Inc. (a)(b)............. 19,341 196,891 Tyler Technologies, Inc. (a)(b)...................... 6,341 126,249 Ultimate Software Group, Inc. (a)(b)...................... 4,542 133,399 Vasco Data Security International (a)(b)........ 4,590 28,779 Websense, Inc. (a)(b)......... 7,386 128,960 ------------ 7,438,358 ------------ SPECIALTY RETAIL -- 3.7% Aaron's, Inc. (b)............. 8,800 244,024 Aeropostale, Inc. (a)(b)...... 12,023 409,383 AnnTaylor Stores Corp. (a)(b)...................... 10,503 143,261 Bebe Stores, Inc. (b)......... 5,338 33,469 Cabela's, Inc. (a)(b)......... 7,395 105,453 Charming Shoppes, Inc. (a)(b)...................... 17,568 113,665 Chico's FAS, Inc. (a)......... 31,565 443,488 Citi Trends, Inc. (a)(b)...... 2,527 69,796 Coldwater Creek, Inc. (a)(b).. 10,533 46,977 Dick's Sporting Goods, Inc. (a)(b)...................... 15,080 375,040 DSW, Inc. (Class A) (a)(b).... 2,669 69,074 Gymboree Corp. (a)(b)......... 5,340 232,237 hhgregg, Inc. (a)(b).......... 3,447 75,937 Hibbett Sports, Inc. (a)(b)... 5,299 116,525 J. Crew Group, Inc. (a)....... 9,144 409,102 Jos. A. Bank Clothiers, Inc. (a)(b)...................... 3,372 142,265 Lumber Liquidators Holdings, Inc. (a)(b)................. 2,720 72,896 Monro Muffler Brake, Inc. (b)......................... 3,460 115,702 New York & Co., Inc. (a)(b)... 4,696 20,146 Office Depot, Inc. (a)(b)..... 48,866 315,186 Pacific Sunwear of California, Inc. (a), (b)............... 11,587 46,116 Systemax, Inc. (b)............ 859 13,495 The Dress Barn, Inc. (a)...... 11,037 254,955 The Talbots, Inc. (a)(b)...... 4,113 36,647 The Wet Seal, Inc. (Class A) (a)(b)...................... 16,937 58,433 Tractor Supply Co. (a)(b)..... 6,573 348,106 Ulta Salon Cosmetics & Fragrance, Inc. (a)(b)...... 6,164 111,938 Zumiez, Inc. (a)(b)........... 3,681 46,822 ------------ 4,470,138 ------------ TEXTILES, APPAREL & LUXURY GOODS -- 1.4% American Apparel, Inc. (a).... 5,492 17,025 Carter's, Inc. (a)............ 10,173 267,041 Crocs, Inc. (a)(b)............ 13,997 80,483 Deckers Outdoor Corp. (a)(b).. 2,407 244,840 FGX International Holdings, Ltd. (a)(b)................. 2,863 56,086 Fossil, Inc. (a).............. 8,452 283,649 Iconix Brand Group, Inc. (a)(b)...................... 12,697 160,617 K-Swiss, Inc. (Class A) (a)(b)...................... 5,049 50,187 Maidenform Brands, Inc. (a)... 3,657 61,036 Quiksilver, Inc. (a)(b)....... 23,112 46,686 Steven Madden, Ltd. (a)....... 2,933 120,957 True Religion Apparel, Inc. (a)(b)...................... 4,532 83,797 Under Armour, Inc. (Class A) (a)......................... 6,885 187,754 Volcom, Inc. (a)(b)........... 3,211 53,752 ------------ 1,713,910 ------------ THRIFTS & MORTGAGE FINANCE -- 0.7% Beneficial Mutual Bancorp, Inc. (a)(b)................. 6,235 61,352 Fannie Mae (a)(b)............. 196,835 232,265 Freddie Mac (a)............... 114,872 168,862 NewAlliance Bancshares, Inc. (b)......................... 17,857 214,463 Ocwen Financial Corp. (a)(b).. 12,620 120,774 Oritani Financial Corp. (b)... 2,027 27,831 ViewPoint Financial Group (b)......................... 1,937 27,912 Waterstone Financial, Inc. (a)(b)...................... 1,547 3,171 ------------ 856,630 ------------ TRADING COMPANIES & DISTRIBUTORS -- 0.6% Beacon Roofing Supply, Inc. (a)(b)...................... 8,050 128,800 H&E Equipment Services, Inc. (a)(b)...................... 5,032 52,786 Interline Brands, Inc. (a)(b)...................... 5,780 99,820
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP GROWTH ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- RSC Holdings, Inc. (a)(b)..... 9,158 $ 64,472 Rush Enterprises, Inc. (Class A) (a)(b)................... 5,873 69,830 Titan Machinery, Inc. (a)(b).. 2,853 32,924 United Rentals, Inc. (a)(b)... 10,653 104,506 WESCO International, Inc. (a)(b)...................... 7,517 203,034 ------------ 756,172 ------------ WIRELESS TELECOMMUNICATION SERVICES -- 0.4% ICO Global Communications Holdings, Ltd. (a)(b)....... 18,518 19,999 Leap Wireless International, Inc. (a)(b)................. 10,936 191,927 Shenandoah Telecommunications Co. (b)..................... 4,420 89,947 Syniverse Holdings, Inc. (a).. 12,294 214,899 ------------ 516,772 ------------ TOTAL COMMON STOCKS -- (Cost $125,376,997)......... 121,423,012 ------------ SHORT TERM INVESTMENTS -- 29.3% MONEY MARKET FUNDS -- 29.3% State Street Institutional Liquid Reserves Fund (c).... 393,857 393,857 State Street Navigator Securities Lending Prime Portfolio (c)(d)............ 35,306,432 35,306,432 ------------ TOTAL SHORT TERM INVESTMENTS -- (Cost $35,700,289).......... 35,700,289 ------------ TOTAL INVESTMENTS -- 129.0% (E) (Cost $161,077,286)......... 157,123,301 OTHER ASSETS AND LIABILITIES -- (29.0)%...... (35,293,968) ------------ NET ASSETS -- 100.0%.......... $121,829,333 ============
(a) Non-income producing security. (b) Security, or portion thereof, was on loan at December 31, 2009. (c) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (d) Investments of cash collateral for securities loaned (e) Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (Note 2) See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP VALUE ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- COMMON STOCKS -- 99.7% AEROSPACE & DEFENSE -- 0.8% Applied Signal Technology, Inc. ....................... 2,043 $ 39,410 Cubic Corp. .................. 2,571 95,898 Curtiss-Wright Corp. ......... 7,379 231,110 Ducommun, Inc. ............... 1,565 29,281 Esterline Technologies Corp. (a)......................... 4,812 196,185 GenCorp, Inc. (a)(b).......... 8,830 61,810 Triumph Group, Inc. (b)....... 2,728 131,626 ------------ 785,320 ------------ AIR FREIGHT & LOGISTICS -- 0.1% Atlas Air Worldwide Holdings, Inc. (a).................... 2,660 99,085 Pacer International, Inc. (a)(b)...................... 5,424 17,140 ------------ 116,225 ------------ AIRLINES -- 0.2% Alaska Air Group, Inc. (a)(b)...................... 5,945 205,459 Republic Airways Holdings, Inc. (a)(b)................. 5,458 40,335 ------------ 245,794 ------------ AUTO COMPONENTS -- 1.3% Cooper Tire & Rubber Co. ..... 9,990 200,299 Dana Holding Corp. (a)........ 22,862 247,824 Federal-Mogul Corp. (Class A) (a)(b)...................... 3,961 68,525 Gentex Corp. ................. 22,637 404,070 Superior Industries International, Inc. (b)..... 3,335 51,026 TRW Automotive Holdings Corp. (a)(b)...................... 11,470 273,904 ------------ 1,245,648 ------------ AUTOMOBILES -- 0.1% Winnebago Industries, Inc. (a)(b)...................... 4,637 56,571 ------------ BEVERAGES -- 0.1% Coca-Cola Hellenic Bottling Co. SA (b).................. 690 37,274 National Beverage Corp. (a)(b)...................... 1,531 21,220 ------------ 58,494 ------------ BIOTECHNOLOGY -- 0.8% ArQule, Inc. (a)(b)........... 4,666 17,218 Cell Therapeutics, Inc. (a)(b)...................... 94,938 108,229 Clinical Data, Inc. (a)(b).... 2,765 50,489 Idenix Pharmaceuticals, Inc. (a)......................... 5,047 10,851 Immunomedics, Inc. (a)(b)..... 10,713 34,389 Ligand Pharmaceuticals, Inc. (Class B) (a)(b)............ 16,584 35,987 Nabi Biopharmaceuticals (a)(b)...................... 8,074 39,563 Neurocrine Biosciences, Inc. (a)(b)...................... 6,181 16,812 Novavax, Inc. (a)(b).......... 14,343 38,152 PDL BioPharma, Inc. (b)....... 19,452 133,441 Rigel Pharmaceuticals, Inc. (a)(b)...................... 7,869 74,834 Savient Pharmaceuticals, Inc. (a)......................... 10,181 138,563 StemCells, Inc. (a)(b)........ 16,042 20,213 Vanda Pharmaceuticals, Inc. (a)......................... 3,604 40,509 ------------ 759,250 ------------ BUILDING PRODUCTS -- 0.9% American Woodmark Corp. ...... 1,450 28,536 Ameron International Corp. (b)......................... 1,400 88,844 Apogee Enterprises, Inc. (b).. 4,506 63,084 Armstrong World Industries, Inc. (a).................... 2,937 114,337 Builders FirstSource, Inc. (a)(b)...................... 5,196 20,005 Gibraltar Industries, Inc. (a)(b)...................... 4,130 64,965 Griffon Corp. (a)............. 8,007 97,846 Lennox International, Inc. ... 8,575 334,768 Universal Forest Products, Inc. ....................... 3,128 115,142 ------------ 927,527 ------------ CAPITAL MARKETS -- 2.2% Artio Global Investors, Inc. (a)......................... 4,000 101,960 BGC Partners, Inc. (Class A) (b)......................... 5,601 25,877 Broadpoint Gleacher Securities, Inc. (a)(b)..... 10,674 47,606 Calamos Asset Management, Inc. (Class A)................... 3,090 35,628 E*TRADE Financial Corp. (a)(b)...................... 306,068 535,619 Evercore Partners, Inc. (Class A) (b)...................... 2,473 75,179 FBR Capital Markets Corp. (a)(b)...................... 6,041 37,333 GAMCO Investors, Inc. (Class A) (b)...................... 659 31,823 GLG Partners, Inc. (a)(b)..... 27,060 87,133 Investment Technology Group, Inc. (a).................... 6,946 136,836 Janus Capital Group, Inc. (b)......................... 29,483 396,546 LaBranche & Cos., Inc. (a)(b)...................... 8,809 25,017 Piper Jaffray Co., Inc. (a)... 3,142 159,017 SWS Group, Inc. (b)........... 5,328 64,469 Teton Advisors, Inc. (Class B) (a)(b)(c)................... 10 23 Thomas Weisel Partners Group, Inc. (a)(b)................. 3,270 12,361 Waddell & Reed Financial, Inc. (Class A)................... 14,084 430,125 ------------ 2,202,552 ------------ CHEMICALS -- 3.7% A. Schulman, Inc. ............ 3,676 74,182 Arch Chemicals, Inc. ......... 3,929 121,328 Ashland, Inc. ................ 10,966 434,473 Cabot Corp. .................. 8,230 215,873 Cytec Industries, Inc. ....... 8,012 291,797 Ferro Corp. (b)............... 12,814 105,587 H.B. Fuller Co. .............. 7,890 179,498 Huntsman Corp. ............... 27,258 307,743 Innophos Holdings, Inc. ...... 2,866 65,889 Koppers Holdings, Inc. ....... 3,203 97,499 Kronos Worldwide, Inc. (a)(b)...................... 461 7,491 Minerals Technologies, Inc. .. 3,032 165,153 NL Industries, Inc. (b)....... 1,030 7,148 Olin Corp. ................... 11,185 195,961 OM Group, Inc. (a)............ 5,085 159,618 RPM International, Inc. ...... 21,149 429,959 Sensient Technologies Corp. (b)......................... 7,905 207,902 Solutia, Inc. (a)............. 19,973 253,657 Spartech Corp. ............... 4,796 49,207 Stepan Co. ................... 1,377 89,244 Valhi, Inc. (b)............... 2,195 30,664 Westlake Chemical Corp. (b)... 3,168 78,978 Zep, Inc. (b)................. 3,390 58,715 ------------ 3,627,566 ------------ COMMERCIAL BANKS -- 10.4% 1st Source Corp. (b).......... 2,158 34,722 Arrow Financial Corp. (b)..... 1,730 43,250 Associated Ban-Corp. (b)...... 19,373 213,297 Bancfirst Corp. (b)........... 1,117 41,374 BancorpSouth, Inc. (b)........ 12,842 301,273 Bank of Hawaii Corp. (b)...... 7,864 370,080
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP VALUE ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Bank of the Ozarks, Inc. (b).. 1,958 $ 57,311 Boston Private Financial Holdings, Inc. (b).......... 10,782 62,212 Camden National Corp. (b)..... 1,096 35,839 Capital City Bank Group, Inc. (b)......................... 1,799 24,898 CapitalSource, Inc. (b)....... 42,433 168,459 Capitol Bancorp, Ltd. (b)..... 2,202 4,316 Cathay General Bancorp (b).... 9,124 68,886 Chemical Financial Corp. (b).. 3,625 85,478 City Holding Co. (b).......... 2,559 82,732 CoBiz Financial, Inc. (b)..... 6,095 28,951 Columbia Banking System, Inc. (b)......................... 4,301 69,590 Community Bank System, Inc. (b)......................... 5,358 103,463 Community Trust Bancorp, Inc. (b)......................... 2,132 52,127 CVB Financial Corp. (b)....... 14,962 129,272 Danvers Bancorp, Inc. (b)..... 3,165 41,113 F.N.B. Corp. (b).............. 18,112 122,980 First Bancorp- North Carolina (b)......................... 2,616 36,546 First BanCorp- Puerto Rico (b)......................... 12,057 27,731 First Busey Corp. (b)......... 8,826 34,333 First Commonwealth Financial Corp. (b)................... 12,148 56,488 First Community Bancshares, Inc. (b).................... 2,703 32,571 First Financial Bancorp (b)... 8,177 119,057 First Financial Bankshares, Inc. (b).................... 3,358 182,104 First Financial Corp. (b)..... 1,741 53,135 First Merchants Corp. (b)..... 3,361 19,964 First Midwest Bancorp, Inc. (b)......................... 8,107 88,285 FirstMerit Corp. (b).......... 13,936 280,671 Fulton Financial Corp. (b).... 28,573 249,157 Glacier Bancorp, Inc. (b)..... 10,048 137,859 Great Southern Bancorp, Inc. (b)......................... 1,544 32,980 Guaranty Bancorp (a)(b)....... 8,017 10,582 Hampton Roads Bankshares, Inc. (b)......................... 3,384 5,854 Hancock Holding Co. (b)....... 5,179 226,788 Harleysville National Corp. (b)......................... 6,678 43,006 Heartland Financial USA, Inc. (b)......................... 2,292 32,890 Home Bancshares, Inc. (b)..... 3,655 87,976 Hudson Valley Holding Corp. .. 1,870 46,114 Huntington Bancshares, Inc. (b)......................... 114,947 419,557 IBERIABANK Corp. (b).......... 3,408 183,385 Independent Bank Corp.- Massachusetts (b)........... 3,406 71,151 International Bancshares Corp. (b)......................... 8,531 161,492 Investors Bancorp, Inc. (a)(b)...................... 7,809 85,430 Lakeland Financial Corp. (b).. 2,288 39,468 Marshall & Ilsley Corp. (b)... 82,806 451,293 MB Financial, Inc. (b)........ 8,034 158,431 National Penn Bancshares, Inc. (b)......................... 20,757 120,183 NBT Bancorp, Inc. (b)......... 5,603 114,133 Northfield Bancorp, Inc. (b).. 3,138 42,426 Old National Bancorp (b)...... 14,399 178,980 Oriental Financial Group, Inc. (b)......................... 3,992 43,114 Pacific Capital Bancorp (b)... 7,242 6,952 PacWest Bancorp (b)........... 4,059 81,789 Park National Corp. (b)....... 1,910 112,461 Popular, Inc. ................ 105,140 237,616 Prosperity Bancshares, Inc. (b)......................... 7,618 308,300 Renasant Corp. (b)............ 3,268 44,445 Republic Bancorp, Inc.- Kentucky (b)................ 1,778 36,627 S&T Bancorp, Inc. (b)......... 4,278 72,769 S.Y. Bancorp, Inc. (b)........ 1,881 40,159 Sandy Spring Bancorp, Inc. (b)......................... 2,596 23,078 Santander Bancorp (a)(b)...... 791 9,713 SCBT Financial Corp. (b)...... 2,014 55,768 Simmons First National Corp. (b)......................... 2,406 66,887 South Financial Group, Inc. .. 27,014 17,416 Southside Bancshares, Inc. (b)......................... 2,456 48,187 StellarOne Corp. (b).......... 3,494 34,800 Sterling Bancorp (b).......... 2,899 20,699 Sterling Bancshares, Inc. (b)......................... 13,099 67,198 Suffolk Bancorp (b)........... 1,466 43,540 Sun Bancorp, Inc. (a)(b)...... 2,879 10,796 Susquehanna Bancshares, Inc. (b)......................... 13,612 80,175 Synovus Financial Corp. (b)... 67,861 139,115 TCF Financial Corp. (b)....... 19,625 267,293 Tompkins Trustco, Inc. (b).... 1,203 48,722 TowneBank (b)................. 4,017 46,919 Trico Bancshares (b).......... 2,297 38,245 Trustmark Corp. (b)........... 9,114 205,430 UMB Financial Corp. (b)....... 5,348 210,444 Umpqua Holdings Corp. (b)..... 14,259 191,213 Union Bankshares Corp. (b).... 2,858 35,411 United Bankshares, Inc. (b)... 7,019 140,169 United Community Banks, Inc. (a)......................... 13,922 47,196 Univest Corp. of Pennsylvania (b)......................... 2,569 45,035 Valley National Bancorp (b)... 23,246 328,466 Washington Trust Bancorp, Inc. (b)......................... 2,201 34,292 Webster Financial Corp. (b)... 11,721 139,128 WesBanco, Inc. (b)............ 3,863 47,669 Westamerica Bancorporation (b)......................... 4,709 260,737 Whitney Holding Corp. (b)..... 14,683 133,762 Wilmington Trust Corp. (b).... 11,277 139,158 Wintrust Financial Corp. (b).. 3,929 120,974 Zions Bancorporation (b)...... 22,748 291,857 ------------ 10,345,367 ------------ COMMERCIAL SERVICES & SUPPLIES -- 2.0% ABM Industries, Inc. (b)...... 6,886 142,265 ACCO Brands Corp. (a)......... 8,607 62,659 APAC Customer Services, Inc. (a)(b)...................... 4,842 28,858 ATC Technology Corp. (a)...... 3,140 74,889 Bowne & Co., Inc. (b)......... 6,713 44,843 Consolidated Graphics, Inc. (a)......................... 1,550 54,281 Cornell Companies, Inc. (a)... 2,106 47,806 Courier Corp. (b)............. 1,577 22,472 Deluxe Corp. (b).............. 8,406 124,325 Ennis, Inc. .................. 4,049 67,983 G & K Services, Inc. (Class A).......................... 3,040 76,395 Healthcare Services Group, Inc. ....................... 6,180 132,623 Herman Miller, Inc. (b)....... 9,123 145,785 HNI Corp. (b)................. 6,109 168,792 Kimball International, Inc. (Class B)................... 4,071 34,685 McGrath Rentcorp (b).......... 3,841 85,885 Mine Safety Appliances Co. (b)......................... 5,029 133,419 Steelcase, Inc. (Class A) (b)......................... 9,874 62,799 The Brink's Co. .............. 7,857 191,239 The Standard Register Co. (b)......................... 2,415 12,316 United Stationers, Inc. (a)... 3,816 216,940 Viad Corp. ................... 3,165 65,294 ------------ 1,996,553 ------------ COMMUNICATIONS EQUIPMENT -- 0.8% 3Com Corp. (a)................ 64,217 481,627 Black Box Corp. (b)........... 2,898 82,129
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP VALUE ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- EMS Technologies, Inc. (a).... 2,402 $ 34,829 Emulex Corp. (a).............. 13,080 142,572 Extreme Networks, Inc. (a)(b)...................... 14,009 40,206 UTStarcom, Inc. (a)........... 18,024 39,473 ------------ 820,836 ------------ COMPUTERS & PERIPHERALS -- 0.9% Adaptec, Inc. (a)(b).......... 16,055 53,784 Avid Technology, Inc. (a)(b).. 4,539 57,917 Diebold, Inc. ................ 10,802 307,317 Electronics for Imaging, Inc. (a)......................... 7,769 101,075 Hutchinson Technology, Inc. (a)......................... 3,351 34,381 Imation Corp. (a)(b).......... 4,944 43,112 Lexmark International, Inc. (Class A) (a)............... 12,863 334,181 ------------ 931,767 ------------ CONSTRUCTION & ENGINEERING -- 0.9% Comfort Systems USA, Inc. (b)......................... 6,106 75,348 EMCOR Group, Inc. (a)(b)...... 10,607 285,329 Granite Construction, Inc. (b)......................... 5,488 184,726 Insituform Technologies, Inc. (a)(b)...................... 6,316 143,500 Michael Baker Corp. (a)....... 1,208 50,011 Northwest Pipe Co. (a)(b)..... 1,405 37,738 Tutor Perini Corp. (a)(b)..... 4,326 78,214 ------------ 854,866 ------------ CONSTRUCTION MATERIALS -- 0.2% Headwaters, Inc. (a)(b)....... 8,055 52,519 Texas Industries, Inc. (b).... 3,741 130,897 ------------ 183,416 ------------ CONSUMER FINANCE -- 0.5% Advance America Cash Advance Centers, Inc. .............. 7,820 43,479 Cash America International, Inc. (b).................... 4,737 165,605 CompuCredit Holdings Corp. (b)......................... 4,945 16,467 Dollar Financial Corp. (a)(b)...................... 3,828 90,570 Nelnet, Inc. (Class A)........ 4,533 78,104 The First Marblehead Corp. (a)(b)...................... 9,995 21,289 The Student Loan Corp. (b).... 666 31,016 World Acceptance Corp. (a)(b)...................... 2,284 81,836 ------------ 528,366 ------------ CONTAINERS & PACKAGING -- 1.4% Greif, Inc. (Class A)......... 5,585 301,478 Myers Industries, Inc. (b).... 4,901 44,599 Packaging Corp. of America (b)......................... 16,810 386,798 Silgan Holdings, Inc. (b)..... 4,172 241,476 Temple-Inland, Inc. .......... 17,421 367,757 ------------ 1,342,108 ------------ DISTRIBUTORS -- 0.1% Audiovox Corp. (Class A) (a).. 3,133 22,213 Core-Mark Holding Co., Inc. (a)(b)...................... 1,565 51,582 ------------ 73,795 ------------ DIVERSIFIED CONSUMER SERVICES -- 0.8% Hillenbrand, Inc. ............ 10,086 190,020 Jackson Hewitt Tax Service, Inc. (a)(b)................. 3,992 17,565 Pre-Paid Legal Services, Inc. (a)(b)...................... 1,235 50,734 Regis Corp. (b)............... 9,430 146,825 Service Corp. International... 41,205 337,469 Stewart Enterprises, Inc. (Class A) (b)............... 13,267 68,325 ------------ 810,938 ------------ DIVERSIFIED FINANCIAL SERVICES -- 0.3% Asset Acceptance Capital Corp. (a)(b)...................... 1,751 11,872 Encore Capital Group, Inc. (a)(b)...................... 2,164 37,654 Financial Federal Corp. ...... 4,229 116,297 Life Partners Holdings, Inc. ....................... 1,031 21,847 PHH Corp. (a)................. 8,788 141,575 ------------ 329,245 ------------ DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.5% Alaska Communications Systems Group, Inc. (b)............. 7,004 55,892 Atlantic Tele-Network, Inc. .. 1,488 81,855 Cincinnati Bell, Inc. (a)(b).. 34,115 117,697 Cogent Communications Group, Inc. (a).................... 7,152 70,519 Consolidated Communications Holdings, Inc. (b).......... 3,713 64,977 Iowa Telecommunications Services, Inc. ............. 5,291 88,677 SureWest Communications (a)(b)...................... 2,532 25,219 ------------ 504,836 ------------ ELECTRIC UTILITIES -- 2.6% ALLETE, Inc. (b).............. 4,782 156,276 Central Vermont Public Service Corp. ...................... 1,570 32,656 Cleco Corp. (b)............... 9,807 268,025 El Paso Electric Co. (a)(b)... 7,460 151,289 Empire District Electric Co. (b)......................... 5,997 112,324 Great Plains Energy, Inc. (b)......................... 22,182 430,109 Hawaiian Electric Industries, Inc. (b).................... 14,796 309,236 IDACORP, Inc. (b)............. 7,720 246,654 MGE Energy, Inc. (b).......... 3,710 132,595 PNM Resources, Inc. (b)....... 12,823 162,211 Portland General Electric Co. (b)......................... 12,156 248,104 UIL Holdings Corp. ........... 4,750 133,380 Unisource Energy Corp. ....... 5,794 186,509 ------------ 2,569,368 ------------ ELECTRICAL EQUIPMENT -- 1.6% A.O. Smith Corp. (b).......... 4,004 173,734 Acuity Brands, Inc. (b)....... 7,016 250,050 Advanced Battery Technologies, Inc. (a)(b)................. 7,724 30,896 Belden CDT, Inc. ............. 7,597 166,526 Brady Corp. (Class A)......... 7,799 234,048 Franklin Electric Co., Inc. (b)......................... 3,080 89,566 GrafTech International, Ltd. (a)......................... 19,611 304,951 Thomas & Betts Corp. (a)...... 8,772 313,950 ------------ 1,563,721 ------------ ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.6% Agilysys, Inc. (b)............ 2,280 20,748 Anixter International, Inc. (a)......................... 4,957 233,475 AVX Corp. .................... 8,375 106,111 Checkpoint Systems, Inc. (a).. 6,123 93,376 Coherent, Inc. (a)(b)......... 3,741 111,220 Electro Rent Corp. ........... 2,887 33,316 Littelfuse, Inc. (a)(b)....... 3,559 114,422 Methode Electronics, Inc. (Class A)................... 6,192 53,746
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP VALUE ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Park Electrochemical Corp. ... 2,874 $ 79,437 Smart Modular Technologies (WWH), Inc. (a)............. 6,076 38,218 SYNNEX Corp. (a)(b)........... 3,263 100,044 Tech Data Corp. (a)........... 8,247 384,805 Technitrol, Inc. ............. 6,144 26,911 Vishay Intertechnology, Inc. (a)......................... 27,758 231,779 ------------ 1,627,608 ------------ ENERGY EQUIPMENT & SERVICES -- 0.4% Bristow Group, Inc. (a)(b).... 5,590 214,936 Gulf Island Fabrication, Inc. (b)......................... 1,927 40,525 Gulfmark Offshore, Inc. (a)(b)...................... 4,088 115,731 PHI, Inc. (a)................. 2,210 45,747 ------------ 416,939 ------------ FOOD & STAPLES RETAILING -- 1.2% BJ's Wholesale Club, Inc. (a)(b)...................... 8,994 294,194 Casey's General Stores, Inc. ....................... 8,296 264,808 Ingles Markets, Inc. (b)...... 1,878 28,414 Nash Finch Co. (b)............ 2,024 75,070 PriceSmart, Inc. (b).......... 2,267 46,337 Ruddick Corp. (b)............. 6,876 176,920 Spartan Stores, Inc. (b)...... 3,501 50,029 The Andersons, Inc. .......... 2,856 73,742 Village Super Market, Inc. (Class A)................... 730 19,944 Weis Markets, Inc. (b)........ 2,090 75,992 Winn-Dixie Stores, Inc. (a)(b)...................... 8,613 86,475 ------------ 1,191,925 ------------ FOOD PRODUCTS -- 2.0% Alico, Inc. (b)............... 507 14,429 American Italian Pasta Co. (a)(b)...................... 3,496 121,626 B&G Foods, Inc. .............. 7,821 71,797 Cal-Maine Foods, Inc. (b)..... 2,048 69,796 Chiquita Brands International, Inc. (a).................... 7,293 131,566 Corn Products International, Inc. ....................... 12,141 354,881 Del Monte Foods Co. .......... 32,713 370,965 Dole Food Co., Inc. (a)(b).... 5,600 69,496 Farmer Brothers Co. (b)....... 916 18,082 Fresh Del Monte Produce, Inc. (a)......................... 6,845 151,275 Hain Celestial Group, Inc. (a)(b)...................... 6,384 108,592 Lancaster Colony Corp. (b).... 3,295 163,761 Lance, Inc. (b)............... 5,071 133,367 Sanderson Farms, Inc. (b)..... 2,925 123,318 Tootsie Roll Industries, Inc. (b)......................... 3,578 97,966 ------------ 2,000,917 ------------ GAS UTILITIES -- 1.6% Chesapeake Utilities Corp. (b)......................... 1,481 47,466 Laclede Group, Inc. .......... 3,264 110,225 New Jersey Resources Corp. (b)......................... 6,793 254,058 Nicor, Inc. (b)............... 7,426 312,635 Northwest Natural Gas Co. (b)......................... 4,292 193,312 South Jersey Industries, Inc. (b)......................... 4,860 185,555 Southwest Gas Corp. .......... 7,288 207,927 WGL Holdings, Inc. (b)........ 8,197 274,927 ------------ 1,586,105 ------------ HEALTH CARE EQUIPMENT & SUPPLIES -- 1.1% Analogic Corp. ............... 2,045 78,753 CONMED Corp. (a)(b)........... 4,768 108,710 Hill-Rom Holdings, Inc. (b)... 10,309 247,313 Invacare Corp. (b)............ 5,246 130,835 STERIS Corp. (b).............. 8,689 243,031 The Cooper Cos., Inc. (b)..... 7,362 280,640 ------------ 1,089,282 ------------ HEALTH CARE PROVIDERS & SERVICES -- 2.8% Cross Country Healthcare, Inc. (a)(b)...................... 4,456 44,159 Gentiva Health Services, Inc. (a)......................... 4,634 125,164 Hanger Orthopedic Group, Inc. (a)(b)...................... 5,065 70,049 Health Net, Inc. (a)(b)....... 16,980 395,464 HEALTHSOUTH Corp. (a)(b)...... 15,320 287,556 Kindred Healthcare, Inc. (a).. 6,200 114,452 Landauer, Inc. (b)............ 1,494 91,732 LifePoint Hospitals, Inc. (a)(b)...................... 8,958 291,225 Magellan Health Services, Inc. (a)......................... 5,760 234,605 Medcath Corp. (a)............. 2,555 20,210 Molina Healthcare, Inc. (a)(b)...................... 2,060 47,112 National Healthcare Corp. (b)......................... 1,459 52,684 Owens & Minor, Inc. .......... 6,750 289,778 RehabCare Group, Inc. (a)..... 3,820 116,243 Res-Care, Inc. (a)............ 3,972 44,486 Skilled Healthcare Group, Inc. (Class A) (a)(b)............ 3,626 27,014 Sun Healthcare Group, Inc. (a)(b)...................... 6,901 63,282 Tenet Healthcare Corp. (a).... 78,765 424,543 Triple-S Management Corp. (Class B) (a)............... 3,195 56,232 ------------ 2,795,990 ------------ HEALTH CARE TECHNOLOGY -- 0.0% (D) MedQuist, Inc. (b)............ 1,442 9,647 ------------ HOTELS, RESTAURANTS & LEISURE -- 2.0% AFC Enterprises, Inc. (a)..... 3,864 31,530 Ameristar Casinos, Inc. (b)... 3,733 56,854 Bob Evans Farms, Inc. ........ 5,073 146,863 Boyd Gaming Corp. (a)......... 9,288 77,740 Brinker International, Inc. .. 16,484 245,941 Churchill Downs, Inc. (b)..... 1,608 60,059 CKE Restaurants, Inc. (b)..... 8,034 67,968 Cracker Barrel Old Country Store, Inc. ................ 3,595 136,574 Gaylord Entertainment Co. (a)(b)...................... 5,576 110,126 International Speedway Corp. (Class A) (b)............... 4,448 126,546 Isle of Capri Casinos, Inc. (a)......................... 2,692 20,136 Jack in the Box, Inc. (a)(b).. 9,194 180,846 Krispy Kreme Doughnuts, Inc. (a)(b)...................... 9,201 27,143 Landry's Restaurants, Inc. (a)(b)...................... 1,113 23,696 Marcus Corp. ................. 3,346 42,896 Orient-Express Hotels, Ltd. (Class A) (a)............... 12,556 127,318 Pinnacle Entertainment, Inc. (a)(b)...................... 9,520 85,490 Ruby Tuesday, Inc. (a)(b)..... 9,704 69,869 Speedway Motorsports, Inc. (b)......................... 2,173 38,288 The Steak N Shake Co. (a)(b).. 236 76,492 Vail Resorts, Inc. (a)(b)..... 5,983 226,157 ------------ 1,978,532 ------------ HOUSEHOLD DURABLES -- 1.8% American Greetings Corp. (Class A) (b)............... 6,026 131,307 Blyth, Inc. .................. 976 32,911 Brookfield Homes Corp. (a)(b)...................... 1,424 11,392 CSS Industries, Inc. (b)...... 1,245 24,203 Ethan Allen Interiors, Inc. .. 4,371 58,659
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP VALUE ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Furniture Brands International, Inc. (a)(b).. 5,569 $ 30,407 Helen of Troy, Ltd. (a)....... 4,457 109,018 Hovnanian Enterprises, Inc. (a)(b)...................... 8,767 33,665 KB HOME....................... 12,428 170,015 La-Z-Boy, Inc. (a)............ 8,240 78,527 Lennar Corp. (Class A)........ 26,081 333,054 M.D.C. Holdings, Inc. (b)..... 5,866 182,081 M/I Homes, Inc. (a)........... 2,813 29,227 Sealy Corp. (a)(b)............ 8,561 27,053 Skyline Corp. (b)............. 1,022 18,805 Standard Pacific Corp. (a)(b)...................... 16,325 61,055 Tupperware Brands Corp. ...... 10,243 477,016 ------------ 1,808,395 ------------ HOUSEHOLD PRODUCTS -- 0.2% Central Garden & Pet Co. (Class A) (a)............... 10,286 102,243 WD-40 Co. .................... 2,558 82,777 ------------ 185,020 ------------ INDUSTRIAL CONGLOMERATES -- 0.6% Carlisle Cos., Inc. .......... 10,070 344,998 Otter Tail Corp. (b).......... 5,240 129,952 Standex International Corp. .. 1,897 38,111 Tredegar Corp. ............... 3,799 60,100 ------------ 573,161 ------------ INSURANCE -- 7.3% AMBAC Financial Group, Inc. (a)(b)...................... 44,764 37,154 American Equity Investment Life Holding Co. (b)........ 9,691 72,101 American National Insurance Co. (b)..................... 2,606 311,261 American Physicians Capital, Inc. ....................... 1,647 49,937 AMERISAFE, Inc. (a)(b)........ 2,987 53,676 Argo Group International Holdings, Ltd. (a).......... 5,019 146,254 Arthur J. Gallagher & Co. .... 16,348 367,994 Aspen Insurance Holdings, Ltd. ....................... 12,387 315,249 Assured Guaranty, Ltd. ....... 20,592 448,082 Baldwin & Lyons, Inc. (Class B) (b)...................... 1,563 38,465 CNA Surety Corp. (a).......... 2,470 36,778 Conseco, Inc. (a)............. 30,131 150,655 Delphi Financial Group........ 7,391 165,337 Donegal Group, Inc. (Class A) (b)......................... 2,061 32,028 EMC Insurance Group, Inc. (b)......................... 748 16,090 Employers Holdings, Inc. ..... 7,450 114,283 Endurance Specialty Holdings, Ltd. (b).................... 8,357 311,131 Enstar Group, Ltd. (a)(b)..... 1,184 86,456 Erie Indemnity Co. (Class A) (b)......................... 5,137 200,446 FBL Financial Group, Inc. (Class A) (b)............... 2,091 38,725 First Mercury Financial Corp. ...................... 2,369 32,479 Flagstone Reinsurance Holdings, Ltd. ............. 5,945 65,038 FPIC Insurance Group, Inc. (a)(b)...................... 1,139 43,988 Greenlight Capital Re, Ltd. (Class A) (a)(b)............ 4,738 111,675 Harleysville Group, Inc. (b).. 2,019 64,184 Hilltop Holdings, Inc. (a)(b)...................... 6,821 79,396 Horace Mann Educators Corp. .. 6,350 79,375 Infinity Property & Casualty Corp. ...................... 2,167 88,067 Kansas City Life Insurance Co. ........................ 566 16,839 Maiden Holdings, Ltd. (b)..... 9,524 69,716 Max Capital Group, Ltd. (b)... 7,644 170,461 MBIA, Inc. (a)(b)............. 26,348 104,865 Meadowbrook Insurance Group, Inc. ....................... 9,166 67,828 Mercury General Corp. (b)..... 4,199 164,853 Montpelier Re Holdings, Ltd. (b)......................... 13,061 226,217 National Financial Partners Corp. (a)(b)................ 6,830 55,255 National Interstate Corp. .... 947 16,061 National Western Life Insurance Co. (Class A) (b)......................... 353 61,288 Navigators Group, Inc. (a).... 2,300 108,353 OneBeacon Insurance Group, Ltd. (Class A).............. 3,622 49,911 Platinum Underwriters Holdings, Ltd. ............. 8,199 313,940 PMA Capital Corp. (Class A) (a)(b)...................... 4,941 31,128 Presidential Life Corp. (b)... 3,442 31,494 ProAssurance Corp. (a)(b)..... 5,349 287,295 Protective Life Corp. ........ 13,895 229,962 RLI Corp. (b)................. 3,128 166,566 Safety Insurance Group, Inc. (b)......................... 2,404 87,097 Selective Insurance Group, Inc. ....................... 8,663 142,506 StanCorp Financial Group, Inc. (b)......................... 8,020 320,960 State Auto Financial Corp. ... 2,141 39,609 Stewart Information Services Corp. (b)................... 2,655 29,948 The Phoenix Cos., Inc. (a)(b)...................... 17,101 47,541 United America Indemnity, Ltd. (Class A) (a)(b)............ 4,534 35,909 United Fire & Casualty Co. ... 3,616 65,920 Unitrin, Inc. ................ 7,568 166,874 Validus Holdings, Ltd. ....... 15,512 417,893 Zenith National Insurance Corp. (b)................... 6,086 181,119 ------------ 7,263,712 ------------ INTERNET & CATALOG RETAIL -- 0.0% (D) Vitacost.com, Inc. (a)(b)..... 1,700 17,714 ------------ INTERNET SOFTWARE & SERVICES -- 0.2% EarthLink, Inc. .............. 17,291 143,688 United Online, Inc. .......... 13,281 95,491 ------------ 239,179 ------------ IT SERVICES -- 1.3% CACI International, Inc. (Class A) (a)(b)............ 4,896 239,170 CIBER, Inc. (a)............... 9,580 33,051 Convergys Corp. (a)(b)........ 18,914 203,325 CSG Systems International, Inc. (a).................... 5,561 106,159 Echo Global Logistics, Inc. (a)(b)...................... 800 10,152 Global Cash Access Holdings, Inc. (a).................... 5,459 40,888 iGate Corp. .................. 3,708 37,080 infoUSA, Inc. (a)(b).......... 4,709 37,766 MAXIMUS, Inc. ................ 2,856 142,800 MoneyGram International, Inc. (a)(b)...................... 14,653 42,201 SRA International, Inc. (Class A) (a)...................... 6,592 125,907 Unisys Corp. (a).............. 6,282 242,234 ------------ 1,260,733 ------------ LEISURE EQUIPMENT & PRODUCTS -- 0.8% Brunswick Corp. (b)........... 14,442 183,558 Callaway Golf Co. (b)......... 10,216 77,029 Eastman Kodak Co. (a)(b)...... 41,469 174,999 JAKKS Pacific, Inc. (a)(b).... 4,320 52,358 Leapfrog Enterprises, Inc. (a)......................... 6,068 23,726 Marine Products Corp. (b)..... 2,267 11,176
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP VALUE ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Polaris Industries, Inc. ..... 5,289 $ 230,759 RC2 Corp. (a)................. 3,593 52,997 ------------ 806,602 ------------ LIFE SCIENCES TOOLS & SERVICES -- 0.4% Albany Molecular Research, Inc. (a).................... 3,605 32,733 Bio-Rad Laboratories, Inc. (Class A) (a)............... 3,169 305,682 Cambrex Corp. (a)(b).......... 4,598 25,657 ------------ 364,072 ------------ MACHINERY -- 4.5% Albany International Corp. (Class A) (b)............... 4,195 94,220 Ampco-Pittsburgh Corp. (b).... 1,274 40,169 Astec Industries, Inc. (a)(b)...................... 2,784 75,001 Barnes Group, Inc. ........... 7,234 122,255 Blount International, Inc. (a)(b)...................... 6,052 61,125 Briggs & Stratton Corp. (b)... 8,271 154,750 Cascade Corp. (b)............. 1,349 37,084 CIRCOR International, Inc. ... 2,781 70,026 Colfax Corp. (a)(b)........... 4,042 48,666 Crane Co. (b)................. 8,294 253,962 EnPro Industries, Inc. (a)(b)...................... 3,136 82,822 Federal Signal Corp. ......... 8,430 50,749 Freightcar America, Inc. (b).. 1,919 38,054 Graco, Inc. (b)............... 9,878 282,215 IDEX Corp. ................... 13,214 411,616 Kaydon Corp. (b).............. 5,357 191,566 Kennametal, Inc. (b).......... 13,148 340,796 Mueller Industries, Inc. ..... 5,891 146,332 Mueller Water Products, Inc. (Class A)................... 24,578 127,806 NACCO Industries, Inc. ....... 858 42,728 Oshkosh Corp. ................ 14,285 528,974 Robbins & Myers, Inc. ........ 4,136 97,279 Snap-On, Inc. ................ 9,466 400,033 Tecumseh Products Co. (Class A) (a)...................... 2,515 29,400 Tennant Co. .................. 2,601 68,120 The Timken Co. ............... 12,516 296,754 Titan International, Inc. (b)......................... 5,563 45,116 Trinity Industries, Inc. (b).. 12,930 225,499 Watts Water Technologies, Inc. (b)......................... 4,737 146,468 ------------ 4,509,585 ------------ MARINE -- 0.4% Alexander & Baldwin, Inc. (b)......................... 6,767 231,634 American Commercial Lines, Inc. (a)(b)................. 1,546 28,338 Eagle Bulk Shipping, Inc. (a)(b)...................... 10,396 51,460 Genco Shipping & Trading, Ltd. (a)(b)...................... 4,338 97,085 Horizon Lines, Inc. (Class A) (b)......................... 4,738 26,391 ------------ 434,908 ------------ MEDIA -- 1.8% Arbitron, Inc. (b)............ 4,223 98,903 Ascent Media Corp. (Class A) (a)(b)...................... 2,266 57,851 Belo Corp. ................... 14,384 78,249 Cinemark Holdings, Inc. ...... 5,870 84,352 Gannett Co., Inc. (b)......... 37,692 559,726 Harte-Hanks, Inc. (b)......... 6,264 67,526 Journal Communications, Inc. ....................... 6,578 25,588 Meredith Corp. ............... 5,893 181,799 PRIMEDIA, Inc. (b)............ 3,090 11,155 Regal Entertainment Group (b)......................... 12,742 183,995 Scholastic Corp. ............. 4,431 132,177 Sinclair Broadcast Group, Inc. (a)(b)...................... 7,327 29,528 The E.W. Scripps Co. (Class A) (a)(b)...................... 4,327 30,116 The New York Times Co. (Class A) (a)...................... 15,909 196,635 Value Line, Inc. (b).......... 236 5,926 World Wrestling Entertainment, Inc. (Class A) (b).......... 4,277 65,566 ------------ 1,809,092 ------------ METALS & MINING -- 1.2% A.M. Castle & Co. (b)......... 2,883 39,468 AMCOL International Corp. (b)......................... 4,159 118,199 Carpenter Technology Corp. ... 7,245 195,253 Coeur d'Alene Mines Corp. (a)(b)...................... 12,849 232,053 Commercial Metals Co. ........ 18,448 288,711 Kaiser Aluminum Corp. (b)..... 2,457 102,260 Olympic Steel, Inc. (b)....... 1,512 49,261 US Gold Corp. (a)(b).......... 14,152 35,097 Worthington Industries, Inc. ....................... 10,465 136,778 ------------ 1,197,080 ------------ MULTI-UTILITIES -- 0.6% Avista Corp. (b).............. 8,841 190,877 Black Hills Corp. (b)......... 6,349 169,074 CH Energy Group, Inc. ........ 2,572 109,362 NorthWestern Corp. (b)........ 5,904 153,622 ------------ 622,935 ------------ MULTILINE RETAIL -- 0.8% Big Lots, Inc. (a)............ 13,510 391,520 Dillard's, Inc. (Class A) (b)......................... 9,064 167,231 Fred's, Inc. (Class A) (b).... 5,873 59,905 Retail Ventures, Inc. (a)..... 2,059 18,304 Saks, Inc. (a)(b)............. 22,301 146,294 ------------ 783,254 ------------ OIL, GAS & CONSUMABLE FUELS -- 1.8% BP Prudhoe Bay Royalty Trust (b)......................... 3,546 293,609 Clayton Williams Energy, Inc. (a)......................... 1,516 53,120 Cloud Peak Energy, Inc. (a)(b)...................... 5,200 75,712 Crosstex Energy, Inc. ........ 7,118 43,064 DHT Maritime, Inc. (b)........ 7,494 27,578 General Maritime Corp. (b).... 8,104 56,647 Harvest Natural Resources, Inc. (a)(b)................. 4,923 26,043 Hugoton Royalty Trust......... 6,513 104,729 James River Coal Co. (a)(b)... 4,306 79,790 Overseas Shipholding Group, Inc. (b).................... 3,860 169,647 Ship Finance International, Ltd. (b).................... 6,822 92,984 Southern Union Co. ........... 17,123 388,692 Stone Energy Corp. (a)(b)..... 6,943 125,321 Teekay Corp. (b).............. 6,921 160,636 USEC, Inc. (a)(b)............. 18,275 70,359 ------------ 1,767,931 ------------ PAPER & FOREST PRODUCTS -- 0.7% Buckeye Technologies, Inc. (a)......................... 6,183 60,346 Deltic Timber Corp. (b)....... 1,844 85,156 Glatfelter.................... 7,408 90,007 Louisiana-Pacific Corp. (a)(b)...................... 19,499 136,103 Neenah Paper, Inc. ........... 2,352 32,811
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP VALUE ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Schweitzer-Mauduit International, Inc. (b)..... 2,834 $ 199,372 Wausau-Mosinee Paper Corp. ... 7,690 89,204 ------------ 692,999 ------------ PERSONAL PRODUCTS -- 0.3% Elizabeth Arden, Inc. (a)(b).. 4,224 60,995 Nu Skin Enterprises, Inc. (Class A) (b)............... 8,303 223,102 Prestige Brands Holdings, Inc. (a)......................... 7,162 56,293 ------------ 340,390 ------------ PHARMACEUTICALS -- 0.4% Medicis Pharmaceutical Corp. (Class A) (b)............... 9,572 258,923 Par Pharmaceutical Cos., Inc. (a)......................... 5,674 153,538 ------------ 412,461 ------------ PROFESSIONAL SERVICES -- 0.2% CDI Corp. .................... 2,007 25,991 Kelly Services, Inc. (Class A) (a)......................... 4,304 51,347 School Specialty, Inc. (a).... 2,498 58,428 Volt Information Sciences, Inc. (a)(b)................. 1,421 14,210 ------------ 149,976 ------------ REAL ESTATE INVESTMENT TRUSTS -- 15.6% Acadia Realty Trust........... 6,288 106,079 Alexandria Real Estate Equities, Inc. (b).......... 7,163 460,509 American Campus Communities, Inc. (b).................... 8,711 244,779 American Capital Agency Corp. (b)......................... 3,182 84,450 Anworth Mortgage Asset Corp. ...................... 17,107 119,749 Apartment Investment & Management Co. (Class A) (b)......................... 18,999 302,464 ARMOUR Residential REIT, Inc. (a)(b)...................... 3,900 32,175 Ashford Hospitality Trust (a)(b)...................... 10,347 48,010 BioMed Realty Trust, Inc. .... 15,646 246,894 Brandywine Realty Trust (b)... 20,909 238,363 BRE Properties, Inc. (b)...... 8,911 294,776 Camden Property Trust......... 10,565 447,639 Capital Lease Funding, Inc. (b)......................... 7,728 33,849 Capstead Mortgage Corp. ...... 10,370 141,551 CBL & Associates Properties, Inc. (b).................... 22,427 216,869 Chimera Investment Corp. (b).. 103,163 400,272 Colonial Properties Trust (b)......................... 10,916 128,045 Colony Financial, Inc. (b).... 2,000 40,740 Cousins Properties, Inc. (b).. 13,227 100,922 CreXus Investment Corp. (a)... 2,100 29,316 DCT Industrial Trust, Inc. (b)......................... 33,258 166,955 Developers Diversified Realty Corp. (b)................... 20,778 192,404 DiamondRock Hospitality Co. (b)......................... 19,501 165,173 Douglas Emmett, Inc. ......... 19,981 284,729 Duke Realty Corp. (b)......... 36,759 447,357 DuPont Fabros Technology, Inc. ....................... 6,591 118,572 EastGroup Properties, Inc. ... 4,163 159,360 Education Realty Trust, Inc. ....................... 9,223 44,639 Entertainment Properties Trust....................... 6,870 242,305 Equity One, Inc. ............. 6,232 100,771 Essex Property Trust, Inc. (b)......................... 4,790 400,683 FelCor Lodging Trust, Inc. (a)(b)...................... 9,884 35,582 First Industrial Realty Trust, Inc. (a)(b)................. 8,374 43,796 First Potomac Realty Trust.... 4,700 59,079 Franklin Street Properties Corp. ...................... 11,371 166,130 Getty Realty Corp. (b)........ 2,718 63,955 Government Properties Income Trust (b)................... 1,680 38,606 Hatteras Financial Corp. (b).. 5,903 165,048 Healthcare Realty Trust, Inc. (b)......................... 9,545 204,836 Highwoods Properties, Inc. (b)......................... 11,629 387,827 Home Properties, Inc. (b)..... 5,497 262,262 Hospitality Properties Trust.. 20,089 476,310 HRPT Properties Trust (b)..... 36,727 237,624 Inland Real Estate Corp. (b).. 11,640 94,866 Invesco Mortgage Capital, Inc. ....................... 1,309 29,793 Investors Real Estate Trust... 11,534 103,806 iStar Financial, Inc. (a)(b).. 15,312 39,199 Kilroy Realty Corp. (b)....... 6,991 214,414 Kite Realty Group Trust....... 10,014 40,757 LaSalle Hotel Properties (b).. 10,353 219,794 Lexington Realty Trust (b).... 15,379 93,504 LTC Properties, Inc. ......... 3,798 101,597 Mack-Cali Realty Corp. ....... 12,832 443,602 Medical Properties Trust, Inc. ....................... 12,703 127,030 MFA Financial, Inc. .......... 44,779 329,126 Mid-America Apartment Communities, Inc. .......... 4,721 227,930 National Health Investors, Inc. ....................... 3,901 144,298 National Retail Properties, Inc. (b).................... 13,498 286,428 NorthStar Realty Finance Corp. (b)......................... 10,022 34,375 OMEGA Healthcare Investors, Inc. ....................... 14,005 272,397 Parkway Properties, Inc. (b).. 3,346 69,664 Pebblebrook Hotel Trust (a)... 2,900 63,829 Pennsylvania Real Estate Investment Trust (b)........ 7,381 62,443 Pennymac Mortgage Investment Trust (a)(b)................ 2,677 45,991 Post Properties, Inc. ........ 7,957 155,957 Potlatch Corp. (b)............ 6,429 204,957 PS Business Parks, Inc. ...... 3,063 153,303 RAIT Investment Trust (a)(b).. 9,920 12,995 Ramco-Gershenson Properties Trust (b)................... 5,113 48,778 Redwood Trust, Inc. .......... 11,354 164,179 Saul Centers, Inc. ........... 1,196 39,181 Senior Housing Properties Trust....................... 20,872 456,471 SL Green Realty Corp. (b)..... 12,577 631,868 Sovran Self Storage, Inc. (b)......................... 4,346 155,283 Starwood Property Trust, Inc. (b)......................... 6,797 128,395 Sun Communities, Inc. (b)..... 2,651 52,357 Sunstone Hotel Investors, Inc. (a)(b)...................... 15,267 135,571 The Macerich Co. (b).......... 15,386 553,127 U-Store-It Trust (b).......... 12,376 90,592 UDR, Inc. (b)................. 25,138 413,269 Universal Health Realty Income Trust (b)................... 1,690 54,131 Urstadt Biddle Properties (b)......................... 583 8,745 Urstadt Biddle Properties (Class A) (b)............... 2,821 43,077 Walter Investment Management Corp. (b)................... 3,992 57,205
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP VALUE ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- Washington Real Estate Investment Trust (b)........ 9,769 $ 269,136 Weingarten Realty Investors... 19,657 389,012 ------------ 15,443,886 ------------ REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.4% Avatar Holdings, Inc. (a)(b).. 1,220 20,752 Forest City Enterprises, Inc. (Class A) (a)(b)............ 19,678 231,807 Forestar Real Estate Group, Inc. (a)(b)................. 5,848 128,539 ------------ 381,098 ------------ ROAD & RAIL -- 0.8% Arkansas Best Corp. (b)....... 3,688 108,538 Avis Budget Group, Inc. (a)(b)...................... 16,598 217,766 Con-way, Inc. ................ 8,019 279,943 Universal Truckload Services, Inc. ....................... 926 16,760 Werner Enterprises, Inc. (b).. 8,291 164,079 ------------ 787,086 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 0.7% Actel Corp. (a)(b)............ 3,993 47,437 DSP Group, Inc. (a)........... 3,717 20,927 Exar Corp. (a)(b)............. 6,342 45,091 Fairchild Semiconductor International, Inc. (a)(b).. 20,222 202,018 Intersil Corp. (Class A)...... 19,866 304,744 Lattice Semiconductor Corp. (a)......................... 18,177 49,078 ------------ 669,295 ------------ SOFTWARE -- 1.2% Compuware Corp. (a)........... 37,999 274,733 Epicor Software Corp. (a)(b).. 7,725 58,865 Fair Isaac Corp. (b).......... 7,895 168,242 i2 Technologies, Inc. (a)(b).. 2,575 49,234 JDA Software Group, Inc. (a)(b)...................... 5,722 145,739 Novell, Inc. (a).............. 56,251 233,442 OPNET Technologies, Inc. (b).. 2,162 26,355 Renaissance Learning, Inc. ... 1,065 12,098 S1 Corp. (a).................. 8,822 57,519 Take-Two Interactive Software, Inc. (a)(b)................. 12,777 128,409 ------------ 1,154,636 ------------ SPECIALTY RETAIL -- 3.9% Asbury Automotive Group, Inc. (a)......................... 5,105 58,861 Barnes & Noble, Inc. (b)...... 6,210 118,425 Big 5 Sporting Goods Corp. (b)......................... 2,987 51,317 Blockbuster, Inc. (Class A) (a)(b)...................... 25,853 17,321 Brown Shoe Co., Inc. (b)...... 6,743 66,553 Christopher & Banks Corp. .... 5,664 43,160 Collective Brands, Inc. (a)(b)...................... 10,426 237,400 Conn's, Inc. (a)(b)........... 1,853 10,822 Foot Locker, Inc. (b)......... 25,042 278,968 Genesco, Inc. (a)(b).......... 3,545 97,346 Group 1 Automotive, Inc. (a)(b)...................... 3,836 108,751 Hot Topic, Inc. (a)(b)........ 7,004 44,545 Jo-Ann Stores, Inc. (a)(b).... 4,357 157,898 OfficeMax, Inc. (a)(b)........ 12,356 156,798 Penske Automotive Group, Inc. (a)(b)...................... 6,307 95,740 RadioShack Corp. (b).......... 20,500 399,750 Rent-A-Center, Inc. (a)....... 10,771 190,862 Rue21, Inc. (a)............... 1,000 28,090 Sally Beauty Holdings, Inc. (a)(b)...................... 13,756 105,233 Signet Jewelers, Ltd. (a)..... 13,961 373,038 Sonic Automotive, Inc. (Class A) (a)(b)................... 5,315 55,223 Stage Stores, Inc. ........... 6,047 74,741 Stein Mart, Inc. (a)(b)....... 4,222 45,006 The Buckle, Inc. (b).......... 4,246 124,323 The Cato Corp. (Class A)...... 4,499 90,250 The Children's Place Retail Stores, Inc. (a)(b)......... 3,241 106,985 The Finish Line, Inc. (Class A).......................... 8,137 102,119 The Mens Wearhouse, Inc. (b).. 7,616 160,393 The Pep Boys -- Manny, Moe & Jack (b).................... 7,876 66,631 Vitamin Shoppe, Inc. (a)(b)... 1,400 31,136 Williams-Sonoma, Inc. (b)..... 15,640 324,999 ------------ 3,822,684 ------------ TEXTILES, APPAREL & LUXURY GOODS -- 2.2% Columbia Sportswear Co. (b)... 2,335 91,158 Hanesbrands, Inc. (a)(b)...... 15,407 371,463 Jones Apparel Group, Inc. .... 13,884 222,977 Kenneth Cole Productions, Inc. (Class A) (a)(b)............ 1,143 11,030 Liz Claiborne, Inc. (a)(b).... 15,051 84,737 Movado Group, Inc. (b)........ 2,616 25,427 Oxford Industries, Inc. ...... 2,176 45,000 Phillips-Van Heusen Corp. .... 8,441 343,380 Skechers USA, Inc. (a)........ 5,210 153,226 The Timberland Co. (Class A) (a)......................... 7,357 131,911 The Warnaco Group, Inc. (a)... 7,511 316,889 UniFirst Corp. ............... 2,170 104,399 Weyco Group, Inc. (b)......... 1,228 29,030 Wolverine World Wide, Inc. (b)......................... 8,017 218,223 ------------ 2,148,850 ------------ THRIFTS & MORTGAGE FINANCE -- 2.1% Astoria Financial Corp. (b)... 14,540 180,732 Bank Mutual Corp. (b)......... 7,666 53,049 BankFinancial Corp. (b)....... 3,127 30,957 Berkshire Hills Bancorp, Inc. (b)......................... 2,135 44,152 Brookline Bancorp, Inc. (b)... 9,212 91,291 Clifton Savings Bancorp, Inc. (b)......................... 1,545 14,477 Dime Community Bancshares (b)......................... 4,789 56,127 Doral Financial Corp. (a)(b).. 645 2,341 ESSA Bancorp, Inc. (b)........ 2,059 24,090 First Financial Holdings, Inc. (b)......................... 2,601 33,787 First Financial Northwest, Inc. (b).................... 2,248 14,724 First Niagara Financial Group, Inc. ....................... 30,031 417,731 Flagstar Bancorp, Inc. (a)(b)...................... 4,843 2,906 Flushing Financial Corp. ..... 4,414 49,702 Kearny Financial Corp. (b).... 3,347 33,738 Meridian Interstate Bancorp, Inc. (a)(b)................. 1,574 13,678 MGIC Investment Corp. (a)(b).. 20,368 117,727 Northwest Bancshares, Inc. (b)......................... 7,264 82,228 Provident Financial Services, Inc. ....................... 9,191 97,884 Provident New York Bancorp (b)......................... 5,970 50,387 Radian Group, Inc. (b)........ 13,055 95,432 Rockville Financial, Inc. (b)......................... 1,321 13,870 Roma Financial Corp. (b)...... 1,142 14,115 The PMI Group, Inc. (a)(b).... 13,359 33,665 TrustCo Bank Corp. NY (b)..... 12,140 76,482
See accompanying notes to financial statements. SPDR DOW JONES SMALL CAP VALUE ETF SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2009 (UNAUDITED) - --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE - -------------------- ------ ----- United Financial Bancorp, Inc. ....................... 2,369 $ 31,058 Washington Federal, Inc. (b).. 18,483 357,461 Westfield Financial, Inc. .... 4,580 37,785 WSFS Financial Corp. ......... 1,177 30,167 ------------ 2,101,743 ------------ TOBACCO -- 0.4% Alliance One International, Inc. (a)(b)................. 13,681 66,763 Star Scientific, Inc. (a)(b).. 10,980 7,686 Universal Corp. (b)........... 4,041 184,310 Vector Group, Ltd. (b)........ 6,847 95,858 ------------ 354,617 ------------ TRADING COMPANIES & DISTRIBUTORS -- 0.8% Aceto Corp. .................. 3,852 19,838 Aircastle, Ltd. (b)........... 6,978 68,733 Applied Industrial Technologies, Inc. (b)...... 6,317 139,416 GATX Corp. (b)................ 6,553 188,399 Kaman Corp. (Class A)......... 4,116 95,038 Lawson Products, Inc. ........ 614 10,837 TAL International Group, Inc. (b)......................... 2,036 26,936 Textainer Group Holdings, Ltd. (b)......................... 2,721 45,985 Watsco, Inc. ................. 4,519 221,341 ------------ 816,523 ------------ WATER UTILITIES -- 0.3% American States Water Co. .... 2,897 102,583 California Water Service Group....................... 3,181 117,125 Connecticut Water Service, Inc. (b).................... 1,321 32,721 Middlesex Water Co. (b)....... 2,234 39,385 SJW Corp. (b)................. 2,017 45,524 ------------ 337,338 ------------ WIRELESS TELECOMMUNICATION SERVICES -- 0.1% NTELOS Holdings Corp. ........ 4,635 82,596 USA Mobility, Inc. (b)........ 3,581 39,426 ------------ 122,022 ------------ TOTAL COMMON STOCKS -- (Cost $108,720,851)............... 98,956,051 ------------ RIGHTS -- 0.0% (D) BUILDING PRODUCTS -- 0.0% (D) Builders FirstSource, Inc. (a)(b) (expiring 10/01/14) (Cost $0)................... 4,182 1,023 ------------ SHORT TERM INVESTMENTS -- 21.6% MONEY MARKET FUNDS -- 21.6% State Street Institutional Liquid Reserves Fund (e)........... 148,330 148,330 State Street Navigator Securities Lending Prime Portfolio (e)(f)...................... 21,341,361 21,341,361 ------------ TOTAL SHORT TERM INVESTMENTS -- (Cost $21,489,691)................ 21,489,691 ------------ TOTAL INVESTMENTS -- 121.3% (G) (Cost $130,210,542)..... 120,446,765 OTHER ASSETS AND LIABILITIES -- (21.3)%...... (21,142,724) ------------ NET ASSETS -- 100.0%.......... $ 99,304,041 ============
(a) Non-income producing security. (b) Security, or portion thereof, was on loan at December 31, 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 the Board of Trustees. Teton Advisor's Inc. value is determined based on Level 3 inputs. (Note 2) (d) Amount represents less than 0.05% of net assets. (e) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) (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. (Note 2) REIT = Real Estate Investment Trust 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 E. Ross, the registrant's President, and Gary L. French, the registrant's Principal Financial Officer, reviewed the Registrant's disclosure controls and procedures and evaluated their effectiveness. Based on the 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) In the Registrant's second fiscal quarter covered by this form N-CSR filing, there were no significant changes in the Registrant's internal controls or in other factors that have materially affected, or are reasonably likely to materially affect, its controls over financial reporting subsequent to the date of their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses. ITEM 12. EXHIBITS (a)(1) Not applicable to the Registrant; this Form N-CSR is a Semi-Annual Report. (2) Certifications of principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act are attached hereto. (3) Not applicable (b) Certifications of principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. 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 E. Ross -------------------------------------------- James E. Ross President and Principal Executive Officer Date: March 4, 2010 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 E. Ross --------------------------------------------- James E. Ross President and Principal Executive Officer Date: March 4, 2010 By: /s/ Gary L. French --------------------------------------------- Gary L. French Treasurer and Principal Financial Officer Date: March 4, 2010 EX-99.CERT 2 b79062a1exv99wcert.txt CERTIFICATIONS Exhibit 12(a)(2) CERTIFICATIONS ---------------- I, James E. 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 officer(s) 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: February 22, 2010 /s/ James E. Ross ----------------------------------------- James E. Ross President and Principal Executive Officer CERTIFICATIONS ---------------- 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 officer(s) 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: February 22, 2010 /s/ Gary L. French ------------------------------------------ Gary L. French Treasurer and Principal Financial Officer EX-99.906CERT 3 b79062a1exv99w906cert.txt SECTION 906 CERTIFICATIONS Exhibit 12(b) SECTION 906 CERTIFICATION We, James E. Ross, President and Principal Executive Officer, and Gary L. French, Treasurer and Principal Financial Officer, of the SPDR(R) Series Trust (the "registrant"), certify that: 1. The report on Form N-CSR of the registrant (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 registrant. By: /s/ James E. Ross -------------------------------------------- James E. Ross President and Principal Executive Officer Date: March 4, 2010 By: /s/ Gary L. French -------------------------------------------- Gary L. French Treasurer and Principal Financial Officer Date: March 4, 2010 -----END PRIVACY-ENHANCED MESSAGE-----