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® SERIES TRUST
(Exact name of registrant as specified in charter)
One Iron Street, Boston, Massachusetts 02210
(Address of principal executive offices) (zip code)
Sean O’Malley, Esq.
Senior Vice President and General Counsel
c/o SSGA Funds Management, Inc.
One Iron Street
Boston, Massachusetts 02210
(Name and address of agent for service)
Copy to:
W. John McGuire, Esq.
Morgan, Lewis & Bockius LLP
1111 Pennsylvania Avenue, NW
Washington, DC 20004
Registrant’s telephone number, including area code: (617) 664-1465
Date of fiscal year end: December 31
Date of reporting period: December 31, 2022
Item 1. Reports to Shareholders.
| (a) | The Report to Shareholders is attached herewith. |
Annual Report
December 31, 2022
SPDR® Series Trust - Fixed Income Funds
| SPDR Bloomberg Emerging Markets Local Bond ETF |
| SPDR Bloomberg International Corporate Bond ETF |
| SPDR Bloomberg International Treasury Bond ETF |
| SPDR Bloomberg Short Term International Treasury Bond ETF |
| SPDR FTSE International Government Inflation-Protected Bond ETF |
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 https://www.ssga.com/spdrs. Please read the prospectus carefully before
you invest.
TABLE OF CONTENTS
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1 |
| Management’s Discussion of Fund Performance, Performance Summaries & Portfolio Statistics (Unaudited) | |
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2 |
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5 |
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8 |
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11 |
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14 |
| Schedules of Investments | |
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17 |
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28 |
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45 |
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64 |
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69 |
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74 |
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82 |
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87 |
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97 |
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99 |
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 https://www.ssga.com/spdrs. Please read the prospectus carefully before you invest.
Notes to
Performance Summaries (Unaudited)
The performance
chart of a Fund’s total return at net asset value (“NAV”), the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. A Fund’s per share NAV is
the value of one share of a 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 a Fund and the market return is based on the market price per
share of a 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 a Fund are listed for trading, as of the time that a
Fund’s NAV is calculated. NAV and market returns assume that dividends and capital gain distributions have been reinvested in a 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, a Fund’s performance is negatively impacted by these deductions. Index returns reflect
all items of income, gain and loss and the reinvestment of dividends and other income.
The Bloomberg EM Local Currency Government Diversified
Index is designed to measure the performance of the fixed-rate local currency sovereign debt of emerging market countries. The index includes government bonds issued by investment grade and non-investment grade countries outside the United States,
in local currencies, that have a remaining maturity of one year or more and are rated B3/B-/B- or higher using the middle rating of Moody’s Investors Service, Inc., Standard & Poor’s Financial Services, LLC and Fitch Inc.,
respectively.
The Bloomberg Global Aggregate ex-USD
>$1B: Corporate Bond Index is designed to be a broad based measure of the global investment-grade, fixed rate, fixed income corporate markets outside the United States. The index is part of the Bloomberg Global ex-USD Aggregate Bond Index (the
“Aggregate Index”). The major components of the Aggregate Index are the Pan-European Aggregate and the Asian Pacific Aggregate Indices. The securities in the index must have a $1 billion USD equivalent market capitalization outstanding
and at least 1 year remaining. Securities must be fixed rate, although zero coupon bonds and step-ups are permitted. Additionally, securities must be rated investmen grade (Baa3/BBB-/BBB- or better) using the middle rating from Moody’s
Investors Service, Inc., Fitch Inc.,or Standard & Poor’s Financial Services, LLC. after dropping the highest and lowest available ratings. If only two agencies rate a security, then the more conservative (lower) rating will be used. If
only one rating agency rates a security, then that one rating will be used. Excluded from the index are subordinated debts, convertible securities, floating-rate notes, fixed-rate perpetuals, warrants, inflation-linked bonds and structured notes.
The index is market capitalization weighted and the securities in the index are updated on the last business day of each month.
The Bloomberg Global Treasury ex-US Capped Index is
designed to track the fixed-rate local currency sovereign debt of investment grade countries outside the United States. The index includes government bonds issued by investment grade countries outside the United States, in local currencies, that
have a remaining maturity of one year or more and are rated investment grade (Baa3/BBB-/BBB-or higher using the middle rating of Moody’s Investors Service, Inc., Standard & Poor’s, Inc. and Fitch Inc., respectively). The index is
calculated by Bloomberg Index Services Limited using a modified “market capitalization” methodology. This design ensures that each constituent country within the index is represented in a proportion consistent with its percentage with
respect to the total market capitalization of the index. The index is rebalanced on a monthly basis.
The Bloomberg 1-3 Year Global Treasury ex-US Capped Index
is designed to measure the performance of fixed-rate local currency sovereign debt of investment grade countries outside the United States that have remaining maturities of one to three years. The index includes government bonds issued by investment
grade countries outside the United States, in local currencies, that have remaining maturities of one to three years and are rated investment grade (Baa3/BBB-/BBB- or higher using the middle rating of Moody’s Investors Service, Inc., Standard
& Poor’s, Inc. and Fitch Inc., respectively). The securities in the index must be fixed-rate and have certain minimum amounts outstanding, depending upon the currency in which the bonds are denominated. The index is calculated by Bloomberg
Index Services Limited using a modified “market capitalization” methodology. This design ensures that each constituent country within the index is represented in a proportion consistent with its percentage with respect to the total
market capitalization of the index. Component securities in each constituent country are represented in a proportion consistent with their percentage relative to the other component securities in the constituent country. The securities in the index
are updated monthly, on the last business day of each month.
The FTSE International Inflation-Linked Securities Select
Index is designed to measure the total return performance of inflation-linked bonds outside the United States with fixed-rate coupon payments that are linked to an inflation index. Inflation-protected public obligations of the inflation-linked
government bond markets of developed and emerging market countries, commonly known in the United States as TIPS, are securities issued by such governments that are designed to provide inflation protection to investors. The index includes government
debt (direct obligations of the issuer country) but does not include quasi-government debt or corporate debt.
See accompanying notes to financial statements.
1
SPDR
BLOOMBERG EMERGING MARKETS LOCAL BOND ETF
MANAGEMENT’S
DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
The SPDR
Bloomberg Emerging Markets Local Bond ETF (the “Fund”) seeks to provide investment results that, before fees and expenses, correspond generally to the price and yield performance of an index that tracks the fixed-rate local currency
sovereign debt of emerging market countries. The Fund’s benchmark is the Bloomberg EM Local Currency Government Diversified Index (the “Index”).
For the 12-month period ended December
31, 2022 (the “Reporting Period”), the total return for the Fund was –11.89%, and the Index was –12.73%. The
Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not
reflect fees and expenses of any kind, which would have a negative impact on returns. Fees, expenses, cash drag, taxes, and sampling contributed to the difference between the Fund’s performance and that of the Index.
Global concerns around heightened inflation, tighter financial
conditions, and the war in Ukraine were the primary drivers of Fund performance during the Reporting Period. The Fund performed in line with expectations.
In order to reign in persistent inflation and overheated
economies across the globe, countries’ central banks began an about-face on previous easy monetary policy, with many embarking on aggressive rate hiking cycles. The European Central bank and Bank of England raised interest rates by 2.50% and
3.25% respectively. Even the Bank of Japan, notorious for uber-easy monetary policy, announced that it would allow benchmark yields to rise to 0.50%, from the previous ceiling of 0.25%. The effects of the hawkish pivot of developed market central
banks spilled over into emerging market countries, tightening fiscal conditions and stalling growth, ultimately leading to negative returns.
The invasion of Ukraine by Russia in the first quarter of
the year led to major index providers pricing Russia-related bonds at zero, essentially making them untradeable, before eventually dropping them from the index all together. The Fund exited positions in Russia sovereigns in advance of index exit at
a non-zero price, leading to a small pick-up in performance relative to the Index.
Most emerging market debt sold off throughout the year
before recovering slightly in the fourth quarter. On a country specific level, the top positive contributors to the Fund’s performance on an absolute basis during the Reporting Period were Turkey, Brazil, and Chile bonds. The top negative
contributors to the Fund’s performance on an absolute basis during the Reporting Period were Egypt, Russia, and Hungary bonds.
The Fund used forwards to manage currency exposure during the
Reporting Period. The use of forwards helped the Fund track the Index.
The views expressed above reflect those of the Fund’s
portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any
responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
See
accompanying notes to financial statements.
2
SPDR
Bloomberg Emerging Markets Local Bond ETF
Performance Summary
(Unaudited)
Performance as of December 31, 2022
| Cumulative Total Return | Average Annual Total Return | ||||||
| Net
Asset Value |
Market
Value |
Bloomberg EM Local Currency Government Diversified Index | Net
Asset Value |
Market
Value |
Bloomberg EM Local Currency Government Diversified Index | ||
| ONE YEAR | (11.89)% | (11.75)% | (12.73)% | (11.89)% | (11.75)% | (12.73)% | |
| FIVE YEARS | (14.19)% | (14.04)% | (12.85)% | (3.01)% | (2.98)% | (2.71)% | |
| TEN YEARS | (16.98)% | (17.42)% | (12.27)% | (1.84)% | (1.90)% | (1.30)% | |
Comparison of Change in Value of
a $10,000 Investment
(Based on Net Asset Value)
(Based on Net Asset Value)
Line graph is
based on cumulative total return.
The total expense ratio
for SPDR Bloomberg Emerging Markets Local Bond ETF as stated in the Fees and Expenses table of the most recent prospectus is 0.30%.Please see the financial highlights for the total expense ratio for the fiscal period ended December 31, 2022.
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
https://www.ssga.com/spdrs 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 or sale of Fund
shares. See "Notes to Performance Summaries" on page 1 for more information.
See accompanying notes to financial statements.
3
SPDR
Bloomberg Emerging Markets Local Bond ETF
Portfolio Statistics
(Unaudited)
Top Five Holdings as of
December 31, 2022
| Description | % of Net Assets | ||
| Brazil
Letras do Tesouro Nacional Zero Coupon, 1/1/2024 |
1.5% | ||
| Brazil
Letras do Tesouro Nacional 10.00% 1/1/2025 |
1.4 | ||
| Turkey
Government Bond 16.90% 9/2/2026 |
0.9 | ||
| Brazil
Letras do Tesouro Nacional Zero Coupon, 1/1/2026 |
0.8 | ||
| Bonos
de la Tesoreria de la Republica en pesos 5.80% 6/1/2024 |
0.8 | ||
| TOTAL | 5.4% |
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Asset Allocation as of December 31,
2022
| % of Net Assets | |||
| Foreign Government Obligations | 97.9% | ||
| Corporate Bonds & Notes | 0.0 * | ||
| Short-Term Investments | 2.0 | ||
| Other Assets in Excess of Liabilities | 0.1 | ||
| TOTAL | 100.0% |
| * | Amount shown represents less than 0.05% of net assets. |
Top Ten Countries as of December 31,
2022
| Description | % of Total Investments | ||
| China | 12.4% | ||
| South Korea | 12.4 | ||
| Indonesia | 8.7 | ||
| Malaysia | 7.2 | ||
| Brazil | 6.6 | ||
| Poland | 4.4 | ||
| Thailand | 4.3 | ||
| Czech Republic | 4.2 | ||
| Israel | 4.2 | ||
| Mexico | 4.2 | ||
| TOTAL | 68.6% |
(The Fund's asset allocation and sector
breakdown are expressed as a percentage of net assets and total investments, respectively, and may change over time.)
See accompanying notes to financial statements.
4
SPDR
BLOOMBERG INTERNATIONAL COPORATE BOND ETF
MANAGEMENT'S DISCUSSION
OF FUND PERFORMANCE (UNAUDITED)
The SPDR Bloomberg
International Corporate Bond ETF (the “Fund”) seeks to provide investment results that, before fees and expenses, correspond generally to the price and yield performance of an index that tracks the investment grade corporate sector of
the global bond market outside of the United States. The Fund’s benchmark is the Bloomberg Global Aggregate ex-USD >$1B: Corporate Bond Index (the “Index”).
For the 12-month period ended December
31, 2022 (the “Reporting Period”), the total return for the Fund was –19.86%, and the Index was –19.59%. The
Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not
reflect fees and expenses of any kind, which would have a negative impact on returns. Fees, expenses, cash drag, tax withholdings, and sampling contributed to the difference between the Fund’s performance and that of the index.
Global concerns around heightened inflation, changes in
central bank policies, and the war in Ukraine were the primary drivers of Fund performance during the Reporting Period. The Fund performed in line with expectations.
In order to reign in persistent inflation and overheated
economies across the globe, countries’ central banks began an about-face on previous easy monetary policy, with many embarking on aggressive rate hiking cycles. The European Central bank and Bank of England raised interest rates by 2.50% and
3.25% respectively. Even the Bank of Japan, notorious for uber-easy monetary policy, announced that it would allow benchmark yields to rise to 0.50%, from the previous ceiling of 0.25%. The hawkish pivot of global central banks roiled corporate
markets and sent spreads soaring, leading to negative returns within the sector.
The invasion of Ukraine by Russia in the first quarter of
the year did not have a direct impact on Fund or Index performance as Russia corporate bonds were not held in the index previously. However, the war in Ukraine did have cascading effects on overall market sentiment as well as in the energy sector
due to sanctions on Russian oil exports.
Most
international corporate bonds sold off throughout the year before recovering slightly in the fourth quarter. On a country specific level, the top positive to the Fund's performance on an absolute basis during the Reporting Period were Eurozone,
Portugal and Hong Kong corporate bonds. The top negative contributors to the Fund's performance on an absolute basis during the Reporting Period were Mexico, China and Luxembourg corporate bonds
The Fund did not invest in derivatives during the Reporting
Period.
The views expressed above reflect those of
the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser
disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of
any fund.
See accompanying notes to financial statements.
5
SPDR
Bloomberg International Corporate Bond ETF
Performance Summary
(Unaudited)
Performance as of December 31, 2022
| Cumulative Total Return | Average Annual Total Return | ||||||
| Net
Asset Value |
Market
Value |
Bloomberg Global Aggregate ex-USD >$1B: Corporate Bond Index | Net
Asset Value |
Market
Value |
Bloomberg Global Aggregate ex-USD >$1B: Corporate Bond Index | ||
| ONE YEAR | (19.86)% | (19.46)% | (19.59)% | (19.86)% | (19.46)% | (19.59)% | |
| FIVE YEARS | (19.77)% | (19.28)% | (17.89)% | (4.31)% | (4.19)% | (3.87)% | |
| TEN YEARS | (17.09)% | (16.93)% | (13.18)% | (1.86)% | (1.84)% | (1.40)% | |
Comparison of Change in Value of
a $10,000 Investment
(Based on Net Asset Value)
(Based on Net Asset Value)
Line graph is
based on cumulative total return.
The total expense ratio
for SPDR Bloomberg International Corporate Bond ETF as stated in the Fees and Expenses table of the most recent prospectus is 0.50%.Please see the financial highlights for the total expense ratio for the fiscal period ended December 31, 2022.
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
https://www.ssga.com/spdrs 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 or sale of Fund
shares. See "Notes to Performance Summaries" on page 1 for more information.
See accompanying notes to financial statements.
6
SPDR
Bloomberg International Corporate Bond ETF
Portfolio Statistics
(Unaudited)
Top Five Holdings as of
December 31, 2022
| Description | % of Net Assets | ||
| Seven
& i Holdings Co., Ltd. 0.19% 12/19/2025 |
0.5% | ||
| NTT
Finance Corp. 0.38% 9/20/2030 |
0.5 | ||
| Orange
SA 8.13% 1/28/2033 |
0.4 | ||
| UniCredit
SpA 2.20% 7/22/2027 |
0.3 | ||
| Volkswagen
International Finance NV 1.88% 3/30/2027 |
0.3 | ||
| TOTAL | 2.0% |
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Asset Allocation as of December 31,
2022
| % of Net Assets | |||
| Corporate Bonds & Notes | 98.3% | ||
| Short-Term Investments | 6.3 | ||
| Liabilities in Excess of Other Assets | (4.6) | ||
| TOTAL | 100.0% |
See accompanying
notes to financial statements.
7
SPDR
BLOOMBERG INTERNATIONAL TREASURY BOND ETF
MANAGEMENT’S
DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
The SPDR
Bloomberg International Treasury Bond ETF (the “Fund”) seeks to provide investment results that, before fees and expenses, correspond generally to the price and yield performance of an index that tracks the fixed-rate local currency
sovereign debt of investment grade countries outside the United States. The Fund’s benchmark is the Bloomberg Global Treasury ex-US Capped Index (the “Index”).
For the 12-month period ended December
31, 2022 (the “Reporting Period”), the total return for the Fund was –19.66%, and the Index was –19.44%. The
Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and index returns do not
reflect fees and expenses of any kind, which would have a negative impact on returns. Fees, expenses, cash drag, tax withholdings, and sampling contributed to the difference between the Fund’s performance and that of the Index.
Global concerns around heightened inflation, changes in
central bank policies, and the war in Ukraine were the primary drivers of Fund performance during the Reporting Period. The Fund performed in line with expectations.
In order to reign in persistent inflation and overheated
economies across the globe, countries’ central banks began an about-face on previous easy monetary policy, with many embarking on aggressive rate hiking cycles. The European Central bank and Bank of England raised interest rates by 2.50% and
3.25% respectively. Even the Bank of Japan, notorious for uber-easy monetary policy, announced that it would allow benchmark yields to rise to 0.50%, from the previous ceiling of 0.25%. The hawkish pivot of global central banks roiled sovereign
markets and sent yields soaring, leading to negative returns within the sector.
The invasion of Ukraine by Russia in the first quarter of
the year led to major index providers pricing Russia-related bonds at zero, essentially making them untradeable, before eventually dropping them from the index all together. The Fund exited positions in Russia sovereigns in advance of index exit at
a non-zero price, leading to a small pickup in performance relative to the index.
Most international sovereigns sold off throughout the year
before recovering slightly in the fourth quarter. On a country specific level, the top positive contributors to the Fund’s performance on an absolute basis during the Reporting Period were Russia, Chile and Mexico government bonds. The top
negative contributors to the Fund’s performance on an absolute basis during the Reporting Period were United Kingdom, Hungary and Latvia government bonds.
The Fund did not invest in derivatives during the Reporting
Period.
The views expressed above reflect those of
the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser
disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of
any fund.
See accompanying notes to financial statements.
8
SPDR
Bloomberg International Treasury Bond ETF
Performance Summary
(Unaudited)
Performance as of December 31, 2022
| Cumulative Total Return | Average Annual Total Return | ||||||
| Net
Asset Value |
Market
Value |
Bloomberg Global Treasury ex-US Capped Index | Net
Asset Value |
Market
Value |
Bloomberg Global Treasury ex-US Capped Index | ||
| ONE YEAR | (19.66)% | (19.59)% | (19.44)% | (19.66)% | (21.50)% | (19.44)% | |
| FIVE YEARS | (17.18)% | (16.74)% | (15.65)% | (3.70)% | (3.60)% | (3.35)% | |
| TEN YEARS | (19.47)% | (19.16)% | (15.68)% | (2.14)% | (2.10)% | (1.69)% | |
Comparison of Change in Value of
a $10,000 Investment
(Based on Net Asset Value)
(Based on Net Asset Value)
Line graph is
based on cumulative total return.
The total expense ratio
for SPDR Bloomberg International Treasury Bond ETF as stated in the Fees and Expenses table of the most recent prospectus is 0.35%.Please see the financial highlights for the total expense ratio for the fiscal period ended December 31, 2022.
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
https://www.ssga.com/spdrs 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 or sale of Fund
shares. See "Notes to Performance Summaries" on page 1 for more information.
See accompanying notes to financial statements.
9
SPDR
Bloomberg International Treasury Bond ETF
Portfolio Statistics
(Unaudited)
Top Five Holdings as of
December 31, 2022
| Description | % of Net Assets | ||
| China
Government Bond 3.25% 11/22/2028 |
0.8% | ||
| China
Government Bond 4.08% 10/22/2048 |
0.7 | ||
| Japan
Government Five Year Bond 0.01% 6/20/2027 |
0.4 | ||
| Korea
Treasury Bond 2.00% 3/10/2049 |
0.4 | ||
| Japan
Government 10 Year Bond 0.10% 12/20/2031 |
0.4 | ||
| TOTAL | 2.7% |
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Asset Allocation as of December 31,
2022
| % of Net Assets | |||
| Foreign Government Obligations | 99.3% | ||
| Short-Term Investment | 0.0 * | ||
| Other Assets in Excess of Liabilities | 0.7 | ||
| TOTAL | 100.0% |
| * | Amount shown represents less than 0.05% of net assets. |
Top Ten Countries as of December 31,
2022
| Description | % of Total Investments | ||
| Japan | 23.4% | ||
| France | 5.0 | ||
| United Kingdom | 5.0 | ||
| South Korea | 4.6 | ||
| China | 4.6 | ||
| Italy | 4.6 | ||
| Australia | 4.6 | ||
| Canada | 4.6 | ||
| Germany | 4.6 | ||
| Spain | 4.6 | ||
| TOTAL | 65.6% |
(The Fund's asset allocation and top ten
countries are expressed as a percentage of net assets and total investments, respectively, and may change over time.)
See accompanying notes to financial statements.
10
SPDR
BLOOMBERG SHORT TERM INTERNATIONAL TREASURY BOND ETF
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
The SPDR Bloomberg Short Term International Treasury Bond
ETF (the “Fund”) seeks to provide investment results that, before fees and expenses, correspond generally to the price and yield performance of an index that tracks the short-term (1-3 year remaining maturity) fixed rate, investment
grade debt issued by foreign governments of investment grade countries. The Fund’s benchmark is the Bloomberg 1-3 Year Global Treasury ex-US Capped Index (the “Index”).
For the 12-month period ended December
31, 2022 (the “Reporting Period”), the total return for the Fund was –11.07%, and the Index was –10.70%. The
Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not
reflect fees and expenses of any kind, which would have a negative impact on returns. Fees, expenses, cash drag, tax withholdings, and sampling contributed to the difference between the Fund’s performance and that of the index.
Global concerns around heightened inflation, changes in
central bank policies, and the war in Ukraine were the primary drivers of Fund performance during the Reporting Period. The Fund performed in line with expectations.
In order to reign in persistent inflation and overheated
economies across the globe, countries’ central banks began an about-face on previous easy monetary policy, with many embarking on aggressive rate hiking cycles. The European Central bank and Bank of England raised interest rates by 2.50% and
3.25% respectively. Even the Bank of Japan, notorious for uber-easy monetary policy, announced that it would allow benchmark yields to rise to 0.50%, from the previous ceiling of 0.25%. The hawkish pivot of global central banks roiled sovereign
markets and sent yields soaring, leading to negative returns within the sector.
The invasion of Ukraine by Russia in the first quarter of
the year led to major index providers pricing Russia-related bonds at zero, essentially making them untradeable, before eventually dropping them from the index all together. The Fund exited positions in Russia sovereigns in advance of index exit at
a non-zero price, leading to a small pickup in performance relative to the index.
Most international sovereigns sold off throughout the year
before recovering slightly in the fourth quarter. On a country specific level, the top positive contributors to the Fund’s performance on an absolute basis during the Reporting Period were Mexico, Peru, and Chile government bonds. The top
negative contributors to the Fund’s performance on an absolute basis during the Reporting Period were Russia, Turkey and Hungary government bonds.
The Fund did not invest in derivatives during the Reporting
Period.
The views expressed above reflect those of
the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser
disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of
any fund.
See accompanying notes to financial statements.
11
SPDR
Bloomberg Short Term International Treasury Bond ETF
Performance
Summary (Unaudited)
Performance as of December 31,
2022
| Cumulative Total Return | Average Annual Total Return | ||||||
| Net
Asset Value |
Market
Value |
Bloomberg 1-3 Year Global Treasury ex-US Capped Index | Net
Asset Value |
Market
Value |
Bloomberg 1-3 Year Global Treasury ex-US Capped Index | ||
| ONE YEAR | (11.07)% | (10.56)% | (10.70)% | (11.07)% | (10.56)% | (10.70)% | |
| FIVE YEARS | (13.88)% | (13.33)% | (12.07)% | (2.94)% | (2.82)% | (2.54)% | |
| TEN YEARS | (23.90)% | (23.48)% | (20.80)% | (2.69)% | (2.64)% | (2.30)% | |
Comparison of Change in Value of
a $10,000 Investment
(Based on Net Asset Value)
(Based on Net Asset Value)
Line graph is
based on cumulative total return.
The total expense ratio
for SPDR Bloomberg Short Term International Treasury Bond ETF as stated in the Fees and Expenses table of the most recent prospectus is 0.35%.Please see the financial highlights for the total expense ratio for the fiscal period ended December 31,
2022.
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
https://www.ssga.com/spdrs 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 or sale of Fund
shares. See "Notes to Performance Summaries" on page 1 for more information.
See accompanying notes to financial statements.
12
SPDR
Bloomberg Short Term International Treasury Bond ETF
Portfolio
Statistics (Unaudited)
Top Five
Holdings as of December 31, 2022
| Description | % of Net Assets | ||
| Government
of Japan 5 Year Bond 0.10% 9/20/2024 |
3.0% | ||
| Government
of Japan 5 Year Bond 0.10% 3/20/2024 |
2.9 | ||
| Government
of Japan 5 Year Bond 0.10% 6/20/2025 |
2.9 | ||
| Government
of Japan 5 Year Bond 0.10% 3/20/2025 |
2.7 | ||
| Government
of Japan 5 Year Bond 0.10% 12/20/2025 |
2.6 | ||
| TOTAL | 14.1% |
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Asset Allocation as of December 31,
2022
| % of Net Assets | |||
| Foreign Government Obligations | 99.1% | ||
| Other Assets in Excess of Liabilities | 0.9 | ||
| TOTAL | 100.0% |
Top Ten Countries as of December 31,
2022
| Description | % of Total Investments | ||
| Japan | 23.4% | ||
| Italy | 5.2 | ||
| France | 5.1 | ||
| South Korea | 4.7 | ||
| China | 4.6 | ||
| Australia | 4.6 | ||
| Canada | 4.6 | ||
| United Kingdom | 4.6 | ||
| Germany | 4.6 | ||
| Spain | 4.5 | ||
| TOTAL | 65.9% |
(The Fund's asset allocation and top ten
countries are expressed as a percentage of net assets and total investments, respectively, and may change over time.)
See accompanying notes to financial statements.
13
SPDR FTSE
INTERNATIONAL GOVERNMENT INFLATION-PROTECTION BOND ETF
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
The SPDR FTSE International Government Inflation-Protected
Bond ETF (the “Fund”) seeks to provide investment results that, before fees and expenses, correspond generally to the price and yield performance of an index that tracks the inflation protected sector of the global bond market outside
the United States. The Fund’s benchmark is the FTSE International Inflation-Linked Securities Select Index (the “Index”).
For the 12-month period ended December
31, 2022 (the “Reporting Period”), the total return for the Fund was –15.41%, and the Index was –14.78%. The
Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not
reflect fees and expenses of any kind, which would have a negative impact on returns. Fees, expenses, cash drag, tax withholdings and sampling contributed to the difference between the Fund’s performance and that of the index.
Global concerns around heightened inflation, changes in
central bank policies, and the war in Ukraine were the primary drivers of Fund performance during the Reporting Period. The Fund performed in line with expectations.
In order to reign in persistent inflation and overheated
economies across the globe, countries’ central banks began an about-face on previous easy monetary policy, with many embarking on aggressive rate hiking cycles. The European Central Bank and Bank of England raised interest rates by 2.50% and
3.25% respectively. Even the Bank of Japan, notorious for uber-easy monetary policy, announced that it would allow benchmark yields to rise to 0.50%, from the previous ceiling of 0.25%. The hawkish pivot of global central banks roiled sovereign
markets and sent yields soaring, leading to negative returns within the sector.
The invasion of Ukraine by Russia in the first quarter of
the year did not directly affect the Fund or Index performance as Russia inflation-linked government bonds were not a part of the index to begin with. However, the war in Ukraine had cascading effects on market sentiment that increased overall
market volatility.
Most international sovereigns sold
off throughout the year before recovering slightly in the fourth quarter. On a country specific level, the top positive contributors to the Fund’s performance on an absolute basis during the Reporting Period were Turkey, Brazil and Eurozone
government inflation-linked bonds. The top negative contributors to the Fund’s performance on an absolute basis during the Reporting Period were Chile, United Kingdom and Israel government inflation-linked bonds.
The Fund did not invest in derivatives during the Reporting
Period.
The views expressed above reflect those of
the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser
disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of
any fund.
See accompanying notes to financial statements.
14
SPDR FTSE
International Government Inflation-Protected Bond ETF
Performance
Summary (Unaudited)
Performance as of December 31,
2022
| Cumulative Total Return | Average Annual Total Return | ||||||
| Net
Asset Value |
Market
Value |
FTSE International Inflation-Linked Securities Select Index | Net
Asset Value |
Market
Value |
FTSE International Inflation-Linked Securities Select Index | ||
| ONE YEAR | (15.41)% | (15.44)% | (14.78)% | (15.41)% | (15.44)% | (14.78)% | |
| FIVE YEARS(1) (2) | (10.14)% | (10.29)% | (7.44)% | (2.12)% | (2.15)% | (1.53)% | |
| TEN YEARS(1) (2) | (10.41)% | (11.14)% | (5.19)% | (1.09)% | (1.17)% | (0.53)% | |
| (1) | Effective February 15, 2016, the Fund changed its benchmark index from the DB Global Government ex-US Inflation-Linked Securities Select Index. The Fund's performance in the tables is based on the Fund's prior investment strategy to track a different benchmark index for periods prior to February 15, 2016. |
| (2) | The FTSE International Inflation-Linked Securities Select Index (formerly, Citi International Inflation-Linked Securities Select Index) inception date is January 15, 2016. Index returns in the line graph below represent the Fund’s prior benchmark index from December 31, 2009 through February 14, 2016 and the FTSE International Inflation-Linked Securities Select Index (formerly, Citi International Inflation-Linked Securities Select Index from February 15, 2016 through December 31, 2022. |
Comparison of Change in Value of a
$10,000 Investment
(Based on Net Asset Value)
(Based on Net Asset Value)
Line graph is
based on cumulative total return.
The total expense ratio
for SPDR FTSE International Government Inflation-Protected Bond ETF as stated in the Fees and Expenses table of the most recent prospectus is 0.50%.Please see the financial highlights for the total expense ratio for the fiscal period ended December
31, 2022.
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
https://www.ssga.com/spdrs 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 or sale of Fund
shares. See "Notes to Performance Summaries" on page 1 for more information.
See accompanying notes to financial statements.
15
SPDR FTSE
International Government Inflation-Protected Bond ETF
Portfolio
Statistics (Unaudited)
Top Five
Holdings as of December 31, 2022
| Description | % of Net Assets | ||
| Deutsche
Bundesrepublik Inflation Linked Bond 0.50% 4/15/2030 |
1.6% | ||
| United
Kingdom Gilt Inflation Linked 0.13% 3/22/2024 |
1.5 | ||
| United
Kingdom Gilt Inflation Linked 0.13% 8/10/2041 |
1.4 | ||
| Deutsche
Bundesrepublik Inflation Linked Bond 0.10% 4/15/2026 |
1.4 | ||
| Bonos
de la Tesoreria de la Republica 3.00% 1/1/2044 |
1.3 | ||
| TOTAL | 7.2% |
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Asset Allocation as of December 31,
2022
| % of Net Assets | |||
| Foreign Government Obligations | 99.4% | ||
| Short-Term Investment | 0.1 | ||
| Other Assets in Excess of Liabilities | 0.5 | ||
| TOTAL | 100.0% |
Top Ten Countries as of December 31,
2022
| Description | % of Total Investments | ||
| United Kingdom | 20.5% | ||
| France | 7.9 | ||
| Brazil | 7.5 | ||
| Chile | 4.9 | ||
| Japan | 4.9 | ||
| Turkey | 4.7 | ||
| Mexico | 4.7 | ||
| South Africa | 4.7 | ||
| Spain | 4.7 | ||
| Australia | 4.6 | ||
| TOTAL | 69.1% |
(The Fund's asset allocation and top ten
countries are expressed as a percentage of net assets and total investments, respectively, and may change over time.)
See accompanying notes to financial statements.
16
SPDR BLOOMBERG
EMERGING MARKETS LOCAL BOND ETF
SCHEDULE OF INVESTMENTS
December 31, 2022
See accompanying notes to financial statements.
17
SPDR BLOOMBERG
EMERGING MARKETS LOCAL BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022
See accompanying notes to financial statements.
18
SPDR BLOOMBERG
EMERGING MARKETS LOCAL BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022
See accompanying notes to financial statements.
19
SPDR BLOOMBERG
EMERGING MARKETS LOCAL BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022
See accompanying notes to financial statements.
20
SPDR BLOOMBERG
EMERGING MARKETS LOCAL BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022
See accompanying notes to financial statements.
21
SPDR BLOOMBERG
EMERGING MARKETS LOCAL BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022
See accompanying notes to financial statements.
22
SPDR BLOOMBERG
EMERGING MARKETS LOCAL BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022
See accompanying notes to financial statements.
23
SPDR BLOOMBERG
EMERGING MARKETS LOCAL BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022
See accompanying notes to financial statements.
24
SPDR BLOOMBERG
EMERGING MARKETS LOCAL BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022
See accompanying notes to financial statements.
25
SPDR BLOOMBERG
EMERGING MARKETS LOCAL BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022
At December 31, 2022, open forward foreign currency exchange
contracts were as follows:
| Counterparty | Amount Sold | Amount Bought | Settlement
Date |
Net
Unrealized Appreciation/ (Depreciation) | ||||
| Barclays Capital PLC | USD 7,579,586 | CNY 54,000,000 | 01/05/2023 | $ 195,648 | ||||
| Barclays Capital PLC | CNY 64,000,000 | USD 8,945,544 | 01/05/2023 | (269,548) | ||||
| Barclays Capital PLC | BRL 5,300,000 | USD 1,002,459 | 01/05/2023 | (1,184) | ||||
| Barclays Capital PLC | USD 2,270,922 | ILS 8,000,000 | 02/07/2023 | (321) | ||||
| Barclays Capital PLC | ILS 8,000,000 | USD 2,264,342 | 02/07/2023 | (6,259) | ||||
| Barclays Capital PLC | USD 1,758,429 | ZAR 30,000,000 | 02/07/2023 | (379) | ||||
| Goldman Sachs Bank USA | USD 1,392,207 | CNY 10,000,000 | 01/05/2023 | 47,651 | ||||
| Standard Chartered Bank | KRW 11,500,000,000 | USD 8,723,356 | 01/05/2023 | (378,037) | ||||
| UBS AG | USD 979,731 | BRL 5,300,000 | 01/05/2023 | 23,912 | ||||
| UBS AG | USD 10,177,925 | KRW 13,500,000,000 | 01/05/2023 | 506,319 | ||||
| UBS AG | USD 2,015,660 | KRW 2,600,000,000 | 01/05/2023 | 42,046 | ||||
| UBS AG | KRW 2,000,000,000 | USD 1,538,935 | 01/05/2023 | (43,916) | ||||
| UBS AG | KRW 2,600,000,000 | USD 2,049,665 | 01/05/2023 | (8,041) | ||||
| UBS AG | USD 4,737,092 | KRW 6,000,000,000 | 02/07/2023 | 39,744 | ||||
| UBS AG | KRW 6,000,000,000 | USD 4,733,167 | 02/07/2023 | (43,667) | ||||
| Westpac Banking Corp. | ZAR 30,000,000 | USD 1,724,588 | 02/07/2023 | (33,463) | ||||
| Total | $ 70,505 | |||||||
| BRL | Brazilian Real |
| CNY | China Yuan Renminbi |
| ILS | Israeli New Shekel |
| KRW | South Korean Won |
| ZAR | South African Rand |
During the year
ended December 31, 2022, average notional value related to foreign currency exchange contracts was $65,103,269.
The following table summarizes the value of the Fund's
investments according to the fair value hierarchy as of December 31, 2022.
| Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
| ASSETS: | ||||||||
| INVESTMENTS: | ||||||||
|
Corporate Bonds &
Notes |
$ — | $ 901,988 | $— | $ 901,988 | ||||
|
Foreign Government
Obligations |
— | 2,105,133,634 | — | 2,105,133,634 | ||||
|
Short-Term
Investments |
43,505,616 | — | — | 43,505,616 | ||||
|
TOTAL
INVESTMENTS |
$43,505,616 | $2,106,035,622 | $— | $2,149,541,238 | ||||
| OTHER FINANCIAL INSTRUMENTS: | ||||||||
|
Foreign Currency Exchange
Contracts(a) |
— | 855,320 | — | 855,320 | ||||
|
TOTAL OTHER FINANCIAL
INSTRUMENTS: |
$ — | $ 855,320 | $— | $ 855,320 | ||||
|
TOTAL INVESTMENTS AND OTHER FINANCIAL
INSTRUMENTS |
$43,505,616 | $2,106,890,942 | $— | $2,150,396,558 |
See accompanying notes to financial statements.
26
SPDR BLOOMBERG
EMERGING MARKETS LOCAL BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022
| Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
| LIABILITIES: | ||||||||
| OTHER FINANCIAL INSTRUMENTS: | ||||||||
|
Foreign Currency Exchange
Contracts(a) |
$ — | $ (784,815) | $— | $ (784,815) | ||||
|
TOTAL OTHER FINANCIAL
INSTRUMENTS: |
$ — | $ (784,815) | $— | $ (784,815) |
| (a) | Forward Foreign Currency Exchange Contracts are valued at unrealized appreciation (depreciation). |
Affiliate Table
| Number
of Shares Held at 12/31/21 |
Value
at 12/31/21 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 12/31/22 |
Value
at 12/31/22 |
Dividend
Income | |||||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
312,671 | $ 312,671 | $360,022,349 | $353,722,910 | $— | $— | 6,612,110 | $ 6,612,110 | $ 99,376 | ||||||||
|
State Street Navigator Securities Lending Portfolio
II |
7,188,000 | 7,188,000 | 220,866,769 | 191,161,263 | — | — | 36,893,506 | 36,893,506 | 113,699 | ||||||||
|
Total |
$7,500,671 | $ 580,889,118 | $544,884,173 | $— | $— | $43,505,616 | $213,075 |
See accompanying notes to financial statements.
27
SPDR BLOOMBERG
INTERNATIONAL CORPORATE BOND ETF
SCHEDULE OF INVESTMENTS
December 31, 2022
See accompanying notes to financial statements.
28
SPDR BLOOMBERG
INTERNATIONAL CORPORATE BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022
See accompanying notes to financial statements.
29
SPDR BLOOMBERG
INTERNATIONAL CORPORATE BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022
See accompanying notes to financial statements.
30
SPDR BLOOMBERG
INTERNATIONAL CORPORATE BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022
See accompanying notes to financial statements.
31
SPDR BLOOMBERG
INTERNATIONAL CORPORATE BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022
See accompanying notes to financial statements.
32
SPDR BLOOMBERG
INTERNATIONAL CORPORATE BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022
See accompanying notes to financial statements.
33
SPDR BLOOMBERG
INTERNATIONAL CORPORATE BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022
See accompanying notes to financial statements.
34
SPDR BLOOMBERG
INTERNATIONAL CORPORATE BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022
See accompanying notes to financial statements.
35
SPDR BLOOMBERG
INTERNATIONAL CORPORATE BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022
See accompanying notes to financial statements.
36
SPDR BLOOMBERG
INTERNATIONAL CORPORATE BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022
See accompanying notes to financial statements.
37
SPDR BLOOMBERG
INTERNATIONAL CORPORATE BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022
See accompanying notes to financial statements.
38
SPDR BLOOMBERG
INTERNATIONAL CORPORATE BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022
See accompanying notes to financial statements.
39
SPDR BLOOMBERG
INTERNATIONAL CORPORATE BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022
See accompanying notes to financial statements.
40
SPDR BLOOMBERG
INTERNATIONAL CORPORATE BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022
See accompanying notes to financial statements.
41
SPDR BLOOMBERG
INTERNATIONAL CORPORATE BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022
See accompanying notes to financial statements.
42
SPDR BLOOMBERG
INTERNATIONAL CORPORATE BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022
See accompanying notes to financial statements.
43
SPDR BLOOMBERG
INTERNATIONAL CORPORATE BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022
The following table summarizes the value of the
Fund's investments according to the fair value hierarchy as of December 31, 2022.
| Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
| ASSETS: | ||||||||
| INVESTMENTS: | ||||||||
|
Corporate Bonds &
Notes |
$ — | $137,726,064 | $— | $137,726,064 | ||||
|
Short-Term
Investments |
8,861,440 | — | — | 8,861,440 | ||||
|
TOTAL
INVESTMENTS |
$8,861,440 | $137,726,064 | $— | $146,587,504 |
Sector Breakdown as of
December 31, 2022
| % of Total Investments | ||
| Financial | 50.7% | |
| Consumer, Non-cyclical | 12.8 | |
| Communications | 8.5 | |
| Consumer, Cyclical | 6.9 | |
| Energy | 4.4 | |
| Utilities | 4.1 | |
| Industrial | 3.0 | |
| Technology | 2.9 | |
| Basic Materials | 0.7 | |
| Short-Term Investments | 6.0 | |
| TOTAL | 100.0% |
(The sector breakdown is
expressed as a percentage of total investments and may change over time.)
Affiliate Table
| Number
of Shares Held at 12/31/21 |
Value
at 12/31/21 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 12/31/22 |
Value
at 12/31/22 |
Dividend
Income | |||||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
11,467 | $ 11,467 | $17,495,689 | $17,380,689 | $— | $— | 126,467 | $ 126,467 | $ 4,740 | ||||||||
|
State Street Navigator Securities Lending Portfolio
II |
2,853,956 | 2,853,956 | 36,325,794 | 30,444,777 | — | — | 8,734,973 | 8,734,973 | 14,843 | ||||||||
|
Total |
$2,865,423 | $53,821,483 | $47,825,466 | $— | $— | $8,861,440 | $19,583 |
See accompanying notes to financial statements.
44
SPDR BLOOMBERG
INTERNATIONAL TREASURY BOND ETF
SCHEDULE OF INVESTMENTS
December 31, 2022
See accompanying notes to financial statements.
45
SPDR BLOOMBERG
INTERNATIONAL TREASURY BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022
See accompanying notes to financial statements.
46
SPDR BLOOMBERG
INTERNATIONAL TREASURY BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022
See accompanying notes to financial statements.
47
SPDR BLOOMBERG
INTERNATIONAL TREASURY BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022
See accompanying notes to financial statements.
48
SPDR BLOOMBERG
INTERNATIONAL TREASURY BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022
See accompanying notes to financial statements.
49
SPDR BLOOMBERG
INTERNATIONAL TREASURY BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022
See accompanying notes to financial statements.
50
SPDR BLOOMBERG
INTERNATIONAL TREASURY BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022
See accompanying notes to financial statements.
51
SPDR BLOOMBERG
INTERNATIONAL TREASURY BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022
See accompanying notes to financial statements.
52
SPDR BLOOMBERG
INTERNATIONAL TREASURY BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022
See accompanying notes to financial statements.
53
SPDR BLOOMBERG
INTERNATIONAL TREASURY BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022
See accompanying notes to financial statements.
54
SPDR BLOOMBERG
INTERNATIONAL TREASURY BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022
See accompanying notes to financial statements.
55
SPDR BLOOMBERG
INTERNATIONAL TREASURY BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022
See accompanying notes to financial statements.
56
SPDR BLOOMBERG
INTERNATIONAL TREASURY BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022
See accompanying notes to financial statements.
57
SPDR BLOOMBERG
INTERNATIONAL TREASURY BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022
See accompanying notes to financial statements.
58
SPDR BLOOMBERG
INTERNATIONAL TREASURY BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022
See accompanying notes to financial statements.
59
SPDR BLOOMBERG
INTERNATIONAL TREASURY BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022
See accompanying notes to financial statements.
60
SPDR BLOOMBERG
INTERNATIONAL TREASURY BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022
See accompanying notes to financial statements.
61
SPDR BLOOMBERG
INTERNATIONAL TREASURY BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022
See accompanying notes to financial statements.
62
SPDR BLOOMBERG
INTERNATIONAL TREASURY BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022
The following table summarizes the value of the Fund's
investments according to the fair value hierarchy as of December 31, 2022.
| Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
| ASSETS: | ||||||||
| INVESTMENTS: | ||||||||
|
Foreign Government
Obligations |
$ — | $1,107,147,072 | $— | $1,107,147,072 | ||||
|
Short-Term
Investment |
311,474 | — | — | 311,474 | ||||
|
TOTAL
INVESTMENTS |
$311,474 | $1,107,147,072 | $— | $1,107,458,546 |
Affiliate Table
| Number
of Shares Held at 12/31/21 |
Value
at 12/31/21 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 12/31/22 |
Value
at 12/31/22 |
Dividend
Income | |||||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
2,329,850 | $2,329,850 | $96,111,721 | $98,130,097 | $— | $— | 311,474 | $311,474 | $15,738 |
See accompanying notes to financial statements.
63
SPDR BLOOMBERG
SHORT TERM INTERNATIONAL TREASURY BOND ETF
SCHEDULE OF
INVESTMENTS
December 31, 2022
See accompanying notes to financial statements.
64
SPDR BLOOMBERG
SHORT TERM INTERNATIONAL TREASURY BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022
See accompanying notes to financial statements.
65
SPDR BLOOMBERG
SHORT TERM INTERNATIONAL TREASURY BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022
See accompanying notes to financial statements.
66
SPDR BLOOMBERG
SHORT TERM INTERNATIONAL TREASURY BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022
See accompanying notes to financial
statements.
67
SPDR BLOOMBERG
SHORT TERM INTERNATIONAL TREASURY BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022
The following table summarizes the value of the
Fund's investments according to the fair value hierarchy as of December 31, 2022.
| Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
| ASSETS: | ||||||||
| INVESTMENTS: | ||||||||
|
Foreign Government
Obligations |
$— | $143,884,799 | $— | $143,884,799 |
Affiliate Table
| Number
of Shares Held at 12/31/21 |
Value
at 12/31/21 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 12/31/22 |
Value
at 12/31/22 |
Dividend
Income | |||||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
412,399 | $412,399 | $7,889,731 | $8,302,130 | $— | $— | — | $— | $1,307 |
See accompanying notes to financial statements.
68
SPDR FTSE
INTERNATIONAL GOVERNMENT INFLATION-PROTECTED BOND ETF
SCHEDULE OF
INVESTMENTS
December 31, 2022
See accompanying notes to financial statements.
69
SPDR FTSE
INTERNATIONAL GOVERNMENT INFLATION-PROTECTED BOND ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2022
See accompanying notes to financial statements.
70
SPDR FTSE
INTERNATIONAL GOVERNMENT INFLATION-PROTECTED BOND ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2022
See accompanying notes to financial statements.
71
SPDR FTSE
INTERNATIONAL GOVERNMENT INFLATION-PROTECTED BOND ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2022
See accompanying notes to financial
statements.
72
SPDR FTSE
INTERNATIONAL GOVERNMENT INFLATION-PROTECTED BOND ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2022
The following table summarizes the value of the
Fund's investments according to the fair value hierarchy as of December 31, 2022.
| Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
| ASSETS: | ||||||||
| INVESTMENTS: | ||||||||
|
Foreign Government
Obligations |
$ — | $517,800,770 | $— | $517,800,770 | ||||
|
Short-Term
Investment |
367,253 | — | — | 367,253 | ||||
|
TOTAL
INVESTMENTS |
$367,253 | $517,800,770 | $— | $518,168,023 |
Affiliate Table
| Number
of Shares Held at 12/31/21 |
Value
at 12/31/21 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 12/31/22 |
Value
at 12/31/22 |
Dividend
Income | |||||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
636,650 | $636,650 | $141,545,932 | $141,815,329 | $— | $— | 367,253 | $367,253 | $14,998 |
See accompanying notes to financial statements.
73
SPDR SERIES
TRUST
STATEMENTS OF ASSETS AND LIABILITIES
December 31, 2022
| SPDR Bloomberg Emerging Markets Local Bond ETF | SPDR Bloomberg International Corporate Bond ETF | ||
| ASSETS | |||
|
Investments in unaffiliated issuers, at
value* |
$2,106,035,622 | $137,726,064 | |
|
Investments in affiliated issuers, at
value |
43,505,616 | 8,861,440 | |
|
Total
Investments |
2,149,541,238 | 146,587,504 | |
|
Foreign currency, at
value |
14,083,223 | 912,876 | |
|
Net cash at
broker |
260,000 | — | |
|
Cash |
— | — | |
|
Receivable for investments
sold |
3,917,480 | 262,675 | |
|
Unrealized appreciation on forward foreign currency exchange
contracts |
855,320 | — | |
|
Dividends receivable — affiliated
issuers |
12,759 | 1,617 | |
|
Interest receivable — unaffiliated
issuers |
32,163,789 | 1,330,473 | |
|
Securities lending income receivable — unaffiliated
issuers |
790 | — | |
|
Securities lending income receivable — affiliated issuers
|
19,563 | 3,211 | |
|
Receivable for foreign taxes
recoverable |
381,620 | 1,722 | |
|
TOTAL ASSETS
|
2,201,235,782 | 149,100,078 | |
| LIABILITIES | |||
|
Due to
custodian |
479,632 | — | |
|
Payable upon return of securities
loaned |
36,893,506 | 8,734,973 | |
|
Payable for investments
purchased |
10,871,501 | 201,399 | |
|
Unrealized depreciation on forward foreign currency exchange
contracts |
784,815 | — | |
|
Deferred foreign taxes
payable |
177,677 | — | |
|
Advisory fee
payable |
544,246 | 58,354 | |
|
TOTAL LIABILITIES
|
49,751,377 | 8,994,726 | |
|
NET ASSETS
|
$2,151,484,405 | $140,105,352 | |
| NET ASSETS CONSIST OF: | |||
|
Paid-in
Capital |
$2,451,234,357 | $168,066,990 | |
|
Total distributable earnings
(loss)** |
(299,749,952) | (27,961,638) | |
|
NET ASSETS
|
$2,151,484,405 | $140,105,352 | |
| NET ASSET VALUE PER SHARE | |||
|
Net asset value per
share |
$ 20.49 | $ 27.47 | |
|
Shares outstanding (unlimited amount authorized, $0.01 par
value) |
105,000,000 | 5,100,000 | |
| COST OF INVESTMENTS: | |||
|
Investments in unaffiliated
issuers |
$2,293,391,002 | $164,813,136 | |
|
Investments in affiliated
issuers |
43,505,616 | 8,861,440 | |
|
Total cost of
investments |
$2,336,896,618 | $173,674,576 | |
|
Foreign currency, at
cost |
$ 14,153,354 | $ 898,153 | |
|
* Includes investments in securities on loan, at
value |
$ 35,830,780 | $ 8,535,613 | |
|
** Includes deferred foreign
taxes |
$ 177,678 | $ — |
See accompanying notes to financial statements.
74
| SPDR Bloomberg International Treasury Bond ETF | SPDR Bloomberg Short Term International Treasury Bond ETF | SPDR FTSE International Government Inflation-Protected Bond ETF | ||
| $1,107,147,072 | $143,884,799 | $ 517,800,770 | ||
| 311,474 | — | 367,253 | ||
| 1,107,458,546 | 143,884,799 | 518,168,023 | ||
| 834,026 | 321,272 | — | ||
| — | — | — | ||
| 1,278,691 | 23,013 | 808 | ||
| 7,575,881 | 5,804,930 | 449,631 | ||
| — | — | — | ||
| 2,867 | 397 | 4,358 | ||
| 7,900,308 | 900,407 | 2,808,235 | ||
| — | — | — | ||
| — | — | — | ||
| 463,632 | 142,865 | — | ||
| 1,125,513,951 | 151,077,683 | 521,431,055 | ||
| — | — | 431,393 | ||
| — | — | — | ||
| 9,738,062 | 5,798,618 | — | ||
| — | — | — | ||
| 84,855 | — | 1,927 | ||
| 324,941 | 42,843 | 222,979 | ||
| 10,147,858 | 5,841,461 | 656,299 | ||
| $ 1,115,366,093 | $145,236,222 | $ 520,774,756 | ||
| $1,313,736,330 | $159,135,226 | $ 631,967,919 | ||
| (198,370,237) | (13,899,004) | (111,193,163) | ||
| $ 1,115,366,093 | $145,236,222 | $ 520,774,756 | ||
| $ 22.35 | $ 26.90 | $ 41.33 | ||
| 49,900,038 | 5,400,000 | 12,600,483 | ||
| $1,294,255,248 | $155,076,153 | $ 603,745,086 | ||
| 311,474 | — | 367,253 | ||
| $1,294,566,722 | $155,076,153 | $ 604,112,339 | ||
| $ 826,519 | $ 327,353 | $ — | ||
| $ — | $ — | $ — | ||
| $ 84,855 | $ — | $ — |
75
SPDR SERIES
TRUST
STATEMENTS OF OPERATIONS
For the Year Ended December 31, 2022
| SPDR Bloomberg Emerging Markets Local Bond ETF | SPDR Bloomberg International Corporate Bond ETF | ||
| INVESTMENT INCOME | |||
|
Interest income — unaffiliated
issuers |
$ 106,510,272 | $ 1,504,127 | |
|
Dividend income — affiliated
issuers |
99,376 | 4,740 | |
|
Unaffiliated securities lending
income |
788 | — | |
|
Affiliated securities lending
income |
113,699 | 14,843 | |
|
Foreign taxes
withheld |
(2,440,027) | — | |
|
TOTAL INVESTMENT INCOME
(LOSS) |
104,284,108 | 1,523,710 | |
| EXPENSES | |||
|
Advisory
fee |
5,432,080 | 592,501 | |
|
Trustees’ fees and expenses
|
18,181 | 1,336 | |
|
Miscellaneous
expenses |
74,078 | 5,097 | |
|
TOTAL
EXPENSES |
5,524,339 | 598,934 | |
|
NET INVESTMENT INCOME
(LOSS) |
$ 98,759,769 | $ 924,776 | |
| REALIZED AND UNREALIZED GAIN (LOSS) | |||
| Net realized gain (loss) on: | |||
|
Investments — unaffiliated
issuers* |
(172,613,258) | (2,882,086) | |
|
In-kind redemptions — unaffiliated
issuers |
(11,048,273) | (1,281,874) | |
|
Forward foreign currency exchange
contracts |
1,592,412 | — | |
|
Foreign currency
transactions |
(15,815,725) | (421,426) | |
|
Net realized gain
(loss) |
(197,884,844) | (4,585,386) | |
| Net change in unrealized appreciation/depreciation on: | |||
|
Investments — unaffiliated
issuers** |
(76,779,322) | (23,281,127) | |
|
Forward foreign currency exchange
contracts |
64,389 | — | |
|
Foreign currency
translations |
681,715 | 87,606 | |
|
Net change in unrealized
appreciation/depreciation |
(76,033,218) | (23,193,521) | |
|
NET REALIZED AND UNREALIZED GAIN
(LOSS) |
(273,918,062) | (27,778,907) | |
|
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS |
$(175,158,293) | $(26,854,131) | |
|
* Includes foreign capital gain
taxes |
$ (34,749) | $ — | |
|
** Includes foreign deferred
taxes |
$ (177,678) | $ — |
See accompanying notes to financial statements.
76
| SPDR Bloomberg International Treasury Bond ETF | SPDR Bloomberg Short Term International Treasury Bond ETF | SPDR FTSE International Government Inflation-Protected Bond ETF | ||
| $ 15,784,311 | $ 1,322,664 | $ 54,306,260 | ||
| 15,738 | 1,307 | 14,998 | ||
| — | — | — | ||
| — | — | — | ||
| (294,122) | (39,431) | (73,885) | ||
| 15,505,927 | 1,284,540 | 54,247,373 | ||
| 3,043,048 | 559,681 | 2,425,513 | ||
| 9,316 | 1,371 | 5,152 | ||
| 36,079 | 7,143 | 20,781 | ||
| 3,088,443 | 568,195 | 2,451,446 | ||
| $ 12,417,484 | $ 716,345 | $ 51,795,927 | ||
| (23,903,159) | (12,219,291) | (40,685,824) | ||
| (6,344,133) | (2,664,311) | 1,322,058 | ||
| — | — | — | ||
| (2,864,438) | (368,924) | (1,811,492) | ||
| (33,111,730) | (15,252,526) | (41,175,258) | ||
| (155,328,025) | (6,751,562) | (97,495,988) | ||
| — | — | — | ||
| 293,954 | 34,926 | 59,806 | ||
| (155,034,071) | (6,716,636) | (97,436,182) | ||
| (188,145,801) | (21,969,162) | (138,611,440) | ||
| $(175,728,317) | $(21,252,817) | $ (86,815,513) | ||
| $ (15,995) | $ — | $ 71 | ||
| $ (84,855) | $ — | $ — |
77
SPDR SERIES
TRUST
STATEMENTS OF CHANGES IN NET ASSETS
| SPDR Bloomberg Emerging Markets Local Bond ETF | |||
| Year
Ended 12/31/22 |
Year
Ended 12/31/21 | ||
| INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
|
Net investment income
(loss) |
$ 98,759,769 | $ 48,111,753 | |
|
Net realized gain
(loss) |
(197,884,844) | (19,437,230) | |
|
Net change in unrealized
appreciation/depreciation |
(76,033,218) | (153,701,691) | |
|
Net increase (decrease) in net assets resulting from
operations |
(175,158,293) | (125,027,168) | |
|
Distributions to
shareholders |
(3,714,999) | (39,014,812) | |
|
Return of
capital |
(86,940,908) | (6,269,073) | |
|
Total Distributions to shareholders
|
(90,655,907) | (45,283,885) | |
| FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
|
Proceeds from shares
sold |
1,604,488,801 | 434,698,879 | |
|
Cost of shares
redeemed |
(370,867,980) | (99,044,429) | |
|
Other
Capital |
3,574,214 | 782,719 | |
|
Net increase (decrease) in net assets from beneficial interest transactions
|
1,237,195,035 | 336,437,169 | |
|
Contribution from Affiliate (Note
4) |
534,103 | — | |
|
Net increase (decrease) in net assets during the
period |
971,914,938 | 166,126,116 | |
|
Net assets at beginning of
period |
1,179,569,467 | 1,013,443,351 | |
|
NET ASSETS AT END OF
PERIOD |
$2,151,484,405 | $1,179,569,467 | |
| SHARES OF BENEFICIAL INTEREST: | |||
|
Shares
sold |
74,600,000 | 16,200,000 | |
|
Shares
redeemed |
(18,000,000) | (4,000,000) | |
|
Net increase (decrease) from share
transactions |
56,600,000 | 12,200,000 | |
See accompanying notes to financial statements.
78
| SPDR Bloomberg International Corporate Bond ETF | SPDR Bloomberg International Treasury Bond ETF | |||||
| Year
Ended 12/31/22 |
Year
Ended 12/31/21 |
Year
Ended 12/31/22 |
Year
Ended 12/31/21 | |||
| $ 924,776 | $ 684,532 | $ 12,417,484 | $ 9,467,164 | |||
| (4,585,386) | 4,249,086 | (33,111,730) | (4,314,448) | |||
| (23,193,521) | (23,496,804) | (155,034,071) | (102,758,112) | |||
| (26,854,131) | (18,563,186) | (175,728,317) | (97,605,396) | |||
| (628,666) | (716,688) | (10,363,828) | (8,885,986) | |||
| — | — | — | — | |||
| (628,666) | (716,688) | (10,363,828) | (8,885,986) | |||
| 35,563,928 | 11,048,448 | 471,484,457 | 198,759,981 | |||
| (19,639,302) | (100,711,744) | (121,779,953) | (152,553,253) | |||
| 22,126 | 38,452 | 175,444 | 316,263 | |||
| 15,946,752 | (89,624,844) | 349,879,948 | 46,522,991 | |||
| — | — | — | — | |||
| (11,536,045) | (108,904,718) | 163,787,803 | (59,968,391) | |||
| 151,641,397 | 260,546,115 | 951,578,290 | 1,011,546,681 | |||
| $140,105,352 | $ 151,641,397 | $1,115,366,093 | $ 951,578,290 | |||
| 1,300,000 | 300,000 | 20,600,000 | 6,600,000 | |||
| (600,000) | (2,800,000) | (4,500,000) | (5,200,000) | |||
| 700,000 | (2,500,000) | 16,100,000 | 1,400,000 | |||
79
SPDR SERIES
TRUST
STATEMENTS OF CHANGES IN NET ASSETS (continued)
| SPDR Bloomberg Short Term International Treasury Bond ETF | |||
| Year
Ended 12/31/22 |
Year
Ended 12/31/21 | ||
| INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
|
Net investment income
(loss) |
$ 716,345 | $ (185,511) | |
|
Net realized gain
(loss) |
(15,252,526) | 2,521,922 | |
|
Net change in unrealized
appreciation/depreciation |
(6,716,636) | (18,112,708) | |
|
Net increase (decrease) in net assets resulting from
operations |
(21,252,817) | (15,776,297) | |
|
Distributions to
shareholders |
(665,086) | (1,221,564) | |
|
Return of
capital |
— | — | |
|
Total Distributions to shareholders
|
(665,086) | (1,221,564) | |
| FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
|
Proceeds from shares
sold |
18,163,682 | 45,229,410 | |
|
Cost of shares
redeemed |
(21,099,179) | (71,606,306) | |
|
Other
Capital |
(46,964) | 79,744 | |
|
Net increase (decrease) in net assets from beneficial interest transactions
|
(2,982,461) | (26,297,152) | |
|
Contribution from Affiliate (Note
4) |
2,298 | — | |
|
Net increase (decrease) in net assets during the
period |
(24,898,066) | (43,295,013) | |
|
Net assets at beginning of
period |
170,134,288 | 213,429,301 | |
|
NET ASSETS AT END OF
PERIOD |
$145,236,222 | $170,134,288 | |
| SHARES OF BENEFICIAL INTEREST: | |||
|
Shares
sold |
600,000 | 1,400,000 | |
|
Shares
redeemed |
(800,000) | (2,300,000) | |
|
Net increase (decrease) from share
transactions |
(200,000) | (900,000) | |
See accompanying notes to financial statements.
80
| SPDR FTSE International Government Inflation-Protected Bond ETF | ||
| Year
Ended 12/31/22 |
Year
Ended 12/31/21 | |
| $ 51,795,927 | $ 19,310,847 | |
| (41,175,258) | 66,637 | |
| (97,436,182) | (35,046,104) | |
| (86,815,513) | (15,668,620) | |
| (37,295,303) | (19,115,383) | |
| (11,096,490) | — | |
| (48,391,793) | (19,115,383) | |
| 237,160,404 | 129,824,774 | |
| (34,725,536) | (22,699,668) | |
| 267,829 | 168,959 | |
| 202,702,697 | 107,294,065 | |
| 51,944 | — | |
| 67,547,335 | 72,510,062 | |
| 453,227,421 | 380,717,359 | |
| $520,774,756 | $453,227,421 | |
| 4,900,000 | 2,300,000 | |
| (700,000) | (400,000) | |
| 4,200,000 | 1,900,000 | |
81
SPDR SERIES
TRUST
FINANCIAL HIGHLIGHTS
Selected data for a share outstanding throughout each period
| SPDR Bloomberg Emerging Markets Local Bond ETF | |||||||||||
| Year
Ended 12/31/22 |
Year
Ended 12/31/21 |
Year
Ended 12/31/20 |
Six-month
Period Ended 12/31/19(a) |
Year
Ended 6/30/19 |
Year
Ended 6/30/18 | ||||||
|
Net asset value, beginning of
period |
$ 24.37 | $ 28.00 | $ 27.83 | $ 27.76 | $ 27.08 | $ 28.99 | |||||
| Income (loss) from investment operations: | |||||||||||
|
Net investment income (loss)
(b) |
1.13 | 1.01 | 1.13 | 0.65 | 1.51 | 1.41 | |||||
|
Net realized and unrealized gain (loss)
(c) |
(4.08) | (3.72) | 0.05 | 0.15 | 0.45 | (2.28) | |||||
|
Total from investment
operations |
(2.95) | (2.71) | 1.18 | 0.80 | 1.96 | (0.87) | |||||
|
Contribution from Affiliate (Note
4) |
0.01 | — | — | — | 0.01 | — | |||||
|
Other capital
(b) |
0.04 | 0.02 | 0.02 | 0.01 | 0.02 | 0.06 | |||||
| Distributions to shareholders from: | |||||||||||
|
Net investment
income |
(0.04) | (0.81) | (0.22) | (0.07) | (0.79) | (0.67) | |||||
|
Return of
Capital |
(0.94) | (0.13) | (0.81) | (0.67) | (0.52) | (0.43) | |||||
|
Total
distributions |
(0.98) | (0.94) | (1.03) | (0.74) | (1.31) | (1.10) | |||||
|
Net asset value, end of
period |
$ 20.49 | $ 24.37 | $ 28.00 | $ 27.83 | $ 27.76 | $ 27.08 | |||||
|
Total return
(d) |
(11.89)%(e) | (9.74)% | 4.59% | 2.94% | 7.70%(f) | (3.03)% | |||||
| Ratios and Supplemental Data: | |||||||||||
|
Net assets, end of period (in
000s) |
$2,151,484 | $1,179,569 | $1,013,443 | $1,015,629 | $810,738 | $519,933 | |||||
| Ratios to average net assets: | |||||||||||
|
Total
expenses |
0.31% | 0.30% | 0.30% | 0.30%(g) | 0.39% | 0.41% | |||||
|
Net
expenses |
0.31% | 0.30% | 0.30% | 0.30%(g) | 0.38% | 0.41% | |||||
|
Net investment income
(loss) |
5.45% | 3.86% | 4.26% | 4.69%(g) | 5.68% | 4.81% | |||||
|
Portfolio turnover rate
(h) |
39% | 22% | 50% | 18%(i) | 43% | 83% | |||||
| (a) | Effective November 12, 2019, the Board of Trustees approved a change in fiscal year end for the Fund from June 30 to December 31. |
| (b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
| (c) | 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. |
| (d) | 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 distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
| (e) | If an Affiliate had not made a contribution during the year ended December 31, 2022, the total return would have been (11.93)%. |
| (f) | If an Affiliate had not made a contribution during the year ended June 30, 2019, the total return would have been 7.66%. |
| (g) | Annualized. |
| (h) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
| (i) | Not annualized. |
See accompanying notes to financial statements.
82
SPDR SERIES
TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
| SPDR Bloomberg International Corporate Bond ETF | |||||||||||
| Year
Ended 12/31/22 |
Year
Ended 12/31/21 |
Year
Ended 12/31/20 |
Six-month
Period Ended 12/31/19(a) |
Year
Ended 6/30/19 |
Year
Ended 6/30/18 | ||||||
|
Net asset value, beginning of
period |
$ 34.46 | $ 37.76 | $ 33.98 | $ 34.15 | $ 33.87 | $ 33.17 | |||||
| Income (loss) from investment operations: | |||||||||||
|
Net investment income (loss)
(b) |
0.23 | 0.12 | 0.18 | 0.14 | 0.29 | 0.25 | |||||
|
Net realized and unrealized gain (loss)
(c) |
(7.08) | (3.30) | 3.74 | (0.20) | 0.23 | 0.63 | |||||
|
Total from investment
operations |
(6.85) | (3.18) | 3.92 | (0.06) | 0.52 | 0.88 | |||||
|
Other capital
(b) |
0.01 | 0.01 | 0.02 | 0.02 | 0.00(d) | 0.04 | |||||
| Distributions to shareholders from: | |||||||||||
|
Net investment
income |
(0.15) | (0.13) | (0.04) | (0.10) | — | (0.22) | |||||
|
Return of
Capital |
— | — | (0.12) | (0.03) | (0.24) | — | |||||
|
Total
distributions |
(0.15) | (0.13) | (0.16) | (0.13) | (0.24) | (0.22) | |||||
|
Net asset value, end of
period |
$ 27.47 | $ 34.46 | $ 37.76 | $ 33.98 | $ 34.15 | $ 33.87 | |||||
|
Total return
(e) |
(19.86)% | (8.41)% | 11.69% | (0.15)% | 1.59% | 2.71% | |||||
| Ratios and Supplemental Data: | |||||||||||
|
Net assets, end of period (in
000s) |
$140,105 | $151,641 | $260,546 | $190,273 | $167,358 | $230,286 | |||||
| Ratios to average net assets: | |||||||||||
|
Total
expenses |
0.51% | 0.50% | 0.50% | 0.50%(f) | 0.51% | 0.50% | |||||
|
Net investment income
(loss) |
0.78% | 0.32% | 0.54% | 0.81%(f) | 0.88% | 0.72% | |||||
|
Portfolio turnover rate
(g) |
14% | 14% | 23% | 5%(h) | 16% | 23% | |||||
| (a) | Effective November 12, 2019, the Board of Trustees approved a change in fiscal year end for the Fund from June 30 to December 31. |
| (b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
| (c) | 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. |
| (d) | Amount is less than $0.005 per share. |
| (e) | 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 distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
| (f) | Annualized. |
| (g) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
| (h) | Not annualized. |
See accompanying notes to financial statements.
83
SPDR SERIES
TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
| SPDR Bloomberg International Treasury Bond ETF | |||||||||||
| Year
Ended 12/31/22 |
Year
Ended 12/31/21 |
Year
Ended 12/31/20 |
Six-month
Period Ended 12/31/19(a) |
Year
Ended 6/30/19 |
Year
Ended 6/30/18 | ||||||
|
Net asset value, beginning of
period |
$ 28.15 | $ 31.22 | $ 28.74 | $ 28.87 | $ 27.88 | $ 27.56 | |||||
| Income (loss) from investment operations: | |||||||||||
|
Net investment income (loss)
(b) |
0.34 | 0.28 | 0.35 | 0.19 | 0.39 | 0.31 | |||||
|
Net realized and unrealized gain (loss)
(c) |
(5.87) | (3.10) | 2.42 | (0.13) | 0.92 | 0.24 | |||||
|
Total from investment
operations |
(5.53) | (2.82) | 2.77 | 0.06 | 1.31 | 0.55 | |||||
|
Contribution from
Affiliate |
— | — | 0.00(d) | — | — | — | |||||
|
Other capital
(b) |
0.00(d) | 0.01 | 0.01 | 0.00(d) | 0.01 | 0.01 | |||||
| Distributions to shareholders from: | |||||||||||
|
Net investment
income |
(0.27) | (0.26) | (0.30) | (0.19) | (0.33) | (0.24) | |||||
|
Net asset value, end of
period |
$ 22.35 | $ 28.15 | $ 31.22 | $ 28.74 | $ 28.87 | $ 27.88 | |||||
|
Total return
(e) |
(19.66)% | (9.01)% | 9.73%(f) | 0.20% | 4.78% | 2.02% | |||||
| Ratios and Supplemental Data: | |||||||||||
|
Net assets, end of period (in
000s) |
$1,115,366 | $951,578 | $1,011,547 | $1,028,855 | $1,122,866 | $1,519,631 | |||||
| Ratios to average net assets: | |||||||||||
|
Total
expenses |
0.36% | 0.35% | 0.35% | 0.35%(g) | 0.38% | 0.50% | |||||
|
Net investment income
(loss) |
1.43% | 0.95% | 1.19% | 1.31%(g) | 1.42% | 1.09% | |||||
|
Portfolio turnover rate
(h) |
14% | 15% | 16% | 7%(i) | 18% | 29% | |||||
| (a) | Effective November 12, 2019, the Board of Trustees approved a change in fiscal year end for the Fund from June 30 to December 31. |
| (b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
| (c) | 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. |
| (d) | Amount is less than $0.005 per share. |
| (e) | 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 distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
| (f) | If an affiliate had not made a contribution during the year ended December 31, 2020, the total return would have remained 9.73%. |
| (g) | Annualized. |
| (h) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
| (i) | Not annualized. |
See accompanying notes to financial statements.
84
SPDR SERIES
TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
| SPDR Bloomberg Short Term International Treasury Bond ETF | |||||||||||
| Year
Ended 12/31/22 |
Year
Ended 12/31/21 |
Year
Ended 12/31/20 |
Six-month
Period Ended 12/31/19(a) |
Year
Ended 6/30/19 |
Year
Ended 6/30/18 | ||||||
|
Net asset value, beginning of
period |
$ 30.38 | $ 32.84 | $ 30.88 | $ 31.05 | $ 31.38 | $ 31.23 | |||||
| Income (loss) from investment operations: | |||||||||||
|
Net investment income (loss)
(b) |
0.12 | (0.03) | 0.05 | 0.07 | 0.16 | 0.00(c) | |||||
|
Net realized and unrealized gain (loss)
(d) |
(3.47) | (2.26) | 1.94 | (0.17) | (0.10) | 0.28 | |||||
|
Total from investment
operations |
(3.35) | (2.29) | 1.99 | (0.10) | 0.06 | 0.28 | |||||
|
Contribution from Affiliate (Note
4) |
0.00(c) | — | 0.00(c) | — | — | — | |||||
|
Other capital
(b) |
(0.01) | 0.01 | 0.01 | 0.00(c) | 0.00(c) | 0.01 | |||||
| Distributions to shareholders from: | |||||||||||
|
Net investment
income |
(0.12) | (0.18) | (0.04) | — | (0.33) | (0.14) | |||||
|
Return of
Capital |
— | — | — | (0.07) | (0.06) | — | |||||
|
Total
distributions |
(0.12) | (0.18) | (0.04) | (0.07) | (0.39) | (0.14) | |||||
|
Net asset value, end of
period |
$ 26.90 | $ 30.38 | $ 32.84 | $ 30.88 | $ 31.05 | $ 31.38 | |||||
|
Total return
(e) |
(11.07)%(f) | (6.91)% | 6.49%(g) | (0.36)% | 0.21% | 0.90% | |||||
| Ratios and Supplemental Data: | |||||||||||
|
Net assets, end of period (in
000s) |
$145,236 | $170,134 | $213,429 | $299,496 | $298,118 | $332,582 | |||||
| Ratios to average net assets: | |||||||||||
|
Total
expenses |
0.36% | 0.35% | 0.35% | 0.35%(h) | 0.36% | 0.35% | |||||
|
Net investment income
(loss) |
0.45% | (0.09)% | 0.16% | 0.43%(h) | 0.51% | 0.01% | |||||
|
Portfolio turnover rate
(i) |
56% | 64% | 67% | 31%(j) | 66% | 63% | |||||
| (a) | Effective November 12, 2019, the Board of Trustees approved a change in fiscal year end for the Fund from June 30 to December 31. |
| (b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
| (c) | Amount is less than $0.005 per share. |
| (d) | 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. |
| (e) | 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 distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
| (f) | If an affiliate had not made a contribution during the year ended ended December 31, 2022, the total return would have remained (11.07)% |
| (g) | If an affiliate had not made a contribution during the year ended ended December 31, 2020, the total return would have remained 6.49%. |
| (h) | Annualized. |
| (i) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
| (j) | Not annualized. |
See accompanying notes to financial statements.
85
SPDR SERIES
TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
| SPDR FTSE International Government Inflation-Protected Bond ETF | |||||||||||
| Year
Ended 12/31/22 |
Year
Ended 12/31/21 |
Year
Ended 12/31/20 |
Six-month
Period Ended 12/31/19(a) |
Year
Ended 6/30/19 |
Year
Ended 6/30/18 | ||||||
|
Net asset value, beginning of
period |
$ 53.95 | $ 58.57 | $ 55.28 | $ 55.31 | $ 54.63 | $ 55.75 | |||||
| Income (loss) from investment operations: | |||||||||||
|
Net investment income (loss)
(b) |
4.91 | 2.56 | 1.02 | 0.66 | 1.92 | 1.73 | |||||
|
Net realized and unrealized gain (loss)
(c) |
(12.97) | (4.71) | 3.17 | 0.19 | 0.57 | (1.11) | |||||
|
Total from investment
operations |
(8.06) | (2.15) | 4.19 | 0.85 | 2.49 | 0.62 | |||||
|
Contribution from Affiliate (Note
4) |
0.00 | — | — | — | — | 0.00(d) | |||||
|
Other capital
(b) |
0.03 | 0.02 | 0.03 | 0.01 | 0.03 | 0.11 | |||||
| Distributions to shareholders from: | |||||||||||
|
Net investment
income |
(3.53) | (2.49) | (0.93) | (0.87) | — | (1.18) | |||||
|
Net realized
gains |
— | — | — | — | — | (0.47) | |||||
|
Return of
Capital |
(1.06) | — | — | (0.02) | (1.84) | (0.20) | |||||
|
Total
distributions |
(4.59) | (2.49) | (0.93) | (0.89) | (1.84) | (1.85) | |||||
|
Net asset value, end of
period |
$ 41.33 | $ 53.95 | $ 58.57 | $ 55.28 | $ 55.31 | $ 54.63 | |||||
|
Total return
(e) |
(15.41)%(f) | (3.68)% | 7.76% | 1.58% | 4.78% | 1.21% | |||||
| Ratios and Supplemental Data: | |||||||||||
|
Net assets, end of period (in
000s) |
$520,775 | $453,227 | $380,717 | $431,216 | $475,714 | $568,158 | |||||
| Ratios to average net assets: | |||||||||||
|
Total
expenses |
0.51% | 0.50% | 0.50% | 0.50%(g) | 0.50% | 0.50% | |||||
|
Net investment income
(loss) |
10.68% | 4.57% | 1.90% | 2.39%(g) | 3.60% | 3.02% | |||||
|
Portfolio turnover rate
(h) |
37% | 20% | 28% | 8%(i) | 37% | 32% | |||||
| (a) | Effective November 12, 2019, the Board of Trustees approved a change in fiscal year end for the Fund from June 30 to December 31. |
| (b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
| (c) | 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. |
| (d) | Amount is less than $0.005 per share. |
| (e) | 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 distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
| (f) | If an Affiliate had not made a contribution during the year ended December 31 2022, the total return would have remained (15.41)%. |
| (g) | Annualized. |
| (h) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
| (i) | Not annualized. |
See accompanying notes to financial statements.
86
SPDR SERIES
TRUST
NOTES TO FINANCIAL STATEMENTS
December 31, 2022
1. Organization
SPDR Series Trust (the “Trust”), a Massachusetts
business trust, registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.
As of December 31, 2022, the Trust consists of eighty-five
(85) series, each of which represents a separate series of beneficial interest in the Trust. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of an unlimited number of shares of
beneficial interest at $0.01 par value. The financial statements herein relate to the following series (each a “Fund”, and collectively, the “Funds”):
| SPDR Bloomberg Emerging Markets Local Bond ETF |
| SPDR Bloomberg International Corporate Bond ETF |
| SPDR Bloomberg International Treasury Bond ETF |
| SPDR Bloomberg Short Term International Treasury Bond ETF |
| SPDR FTSE International Government Inflation-Protected Bond ETF |
Each Fund, except for SPDR Bloomberg International Corporate
Bond ETF, is classified as a non-diversified investment company under the 1940 Act. SPDR Bloomberg International Corporate Bond ETF is classified as a diversified investment company under the 1940 Act.
2. Summary of Significant Accounting
Policies
The following is a summary of significant
accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with
U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those
estimates. Each Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation
Each Fund's investments are valued at fair value each day that
the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE is not open. Fair value is generally defined as the price a fund would
receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect
an actual market price. The investments of each Fund are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board. The Committee provides oversight of the valuation of
investments for the Funds. The Board has responsibility for overseeing the determination of the fair value of investments.
Valuation techniques used to value each Fund’s
investments by major category are as follows:
•
Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value (“NAV”) per share
or unit.
•
Government and municipal fixed income securities are generally valued using quotations from independent pricing services or brokers. Certain government inflation-indexed securities may require a calculated fair valuation as the cumulative
inflation is contained within the price provided by the pricing service or broker. For these securities, the inflation component of the price is “cleaned” from the pricing service or broker price utilizing the published inflation factors
in order to ensure proper accrual of income.
•
Debt obligations (including short-term investments and convertible debt securities) are valued using quotations from independent pricing services or brokers or are generally valued at the last reported evaluated prices.
•
Forward foreign currency exchange contracts are valued based on that day’s prevailing forward exchange rate for the underlying currencies. The rates are obtained from independent pricing services in accordance with the valuation policy
and procedures approved by the Board.
87
SPDR SERIES
TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2022
In the event prices or quotations are not readily available or
that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the
valuation policy and procedures approved by the Board.
Various inputs are used in determining the value of the Funds'
investments.
The Funds value their assets and
liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical
assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the
hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value hierarchy are as
follows:
• Level 1 – Unadjusted
quoted prices in active markets for an identical asset or liability;
•
Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for
identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves,
volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and
•
Level 3 – Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.
The value of each Fund’s investments according to the
fair value hierarchy as of December 31, 2022 is disclosed in each Fund’s respective Schedule of Investments.
Investment Transactions and Income Recognition
Investment transactions are accounted for on trade date for
financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method.
Dividend income and capital gain distributions, if any, are
recognized on the ex-dividend date, or when the information becomes available, net of any foreign taxes withheld at source, if any. Non-cash dividends, if any, received in the form of stock are recorded as dividend income at fair value.
Distributions received by the Funds may include a return of capital that is estimated by management. Such amounts are recorded as a reduction of the cost of investments or reclassified to capital gains.
Expenses
Certain expenses, which are directly identifiable to a
specific Fund, are applied to that Fund within the Trust. Other expenses which cannot be attributed to a specific Fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net
assets of the Funds within the Trust.
Foreign Currency
Translation
The accounting records of the Funds are
maintained in U.S. dollars. Foreign currencies as well as investment securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars using exchange rates at period end. Purchases and sales of securities,
income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the respective dates of the transactions.
The effects of exchange rate fluctuations on investments are
included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
88
SPDR SERIES
TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2022
Foreign Taxes
The Funds may be subject to foreign taxes (a portion of which
may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with SSGA FM understanding of the applicable foreign tax
regulations and rates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Funds and are reflected in the Statements of Operations, if applicable. Foreign taxes payable or deferred as of
December 31, 2022, if any, are disclosed in the Funds' Statements of Assets and Liabilities.
Distributions
Distributions from net investment income, if any, are declared
and paid monthly. Net realized capital gains, if any, are distributed annually. Dividends may be declared and paid more frequently or at any other times to improve Index tracking or to comply with the distribution requirements of the Internal
Revenue Code of 1986, as amended (the “Internal Revenue Code”). The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment
income and realized gains recognized for U.S. GAAP purposes.
3. Derivative Financial Instruments
Forward Foreign Currency Exchange Contracts
Certain Funds may engage in forward foreign currency contracts
to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuations. A forward foreign currency exchange contract is a commitment to purchase or sell a foreign currency at the settlement date at a
negotiated rate. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The contract is marked-to-market daily and the change in market value is recorded by the
Fund as an unrealized gain or loss. When the contract is closed, a 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.
Certain risks may arise upon entering into forward foreign
currency exchange contracts from the potential inability of counterparties to meet the terms of their contracts and are generally limited to the amount of unrealized gains on appreciated contracts, if any. Additionally, when utilizing forward
foreign currency exchange contracts to hedge, the Funds give up the opportunity to profit from favorable exchange rate movements during the term of the contract.
For the fiscal year ended December 31, 2022, the SPDR
Bloomberg Emerging Markets Local Bond ETF entered into forward foreign currency exchange contracts to manage currency exposure.
The following tables summarize the value of the Funds'
derivative instruments as of December 31, 2022, and the related location in the accompanying Statement of Assets and Liabilities and Statement of Operations, presented by primary underlying risk exposure:
| Asset Derivatives | |||||||||||
| Interest
Rate Risk |
Foreign
Exchange Risk |
Credit
Risk |
Equity
Risk |
Commodity
Risk |
Total | ||||||
| SPDR Bloomberg Emerging Markets Local Bond ETF | |||||||||||
|
Forward Foreign Currency Exchange
Contracts |
$— | $855,320 | $— | $— | $— | $855,320 | |||||
| Liability Derivatives | |||||||||||
| Interest
Rate Risk |
Foreign
Exchange Risk |
Credit
Risk |
Equity
Risk |
Commodity
Risk |
Total | ||||||
| SPDR Bloomberg Emerging Markets Local Bond ETF | |||||||||||
|
Forward Foreign Currency Exchange
Contracts |
$— | $784,815 | $— | $— | $— | $784,815 | |||||
89
SPDR SERIES
TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2022
| Net Realized Gain (Loss) | |||||||||||
| Interest
Rate Risk |
Foreign
Exchange Risk |
Credit
Risk |
Equity
Risk |
Commodity
Risk |
Total | ||||||
| SPDR Bloomberg Emerging Markets Local Bond ETF | |||||||||||
|
Forward Foreign Currency Exchange
Contracts |
$— | $1,592,412 | $— | $— | $— | $1,592,412 | |||||
| Net Change in Unrealized Appreciation (Depreciation) | |||||||||||
| Interest
Rate Risk |
Foreign
Exchange Risk |
Credit
Risk |
Equity
Risk |
Commodity
Risk |
Total | ||||||
| SPDR Bloomberg Emerging Markets Local Bond ETF | |||||||||||
|
Forward Foreign Currency Exchange
Contracts |
$— | $64,389 | $— | $— | $— | $64,389 | |||||
For financial reporting purposes,
the Funds do not offset derivative assets or liabilities, including those that may be subject to an enforceable Foreign Exchange Master Agreement that allows for net settlement between counterparties, on their Statements of Assets and Liabilities.
The following tables set forth the Funds’ net exposure to derivative assets and liabilities available for offset and net of collateral at December 31, 2022:
| Offsetting of Financial Assets and Derivative Assets | ||||||||
| Forward Foreign Currency Exchange Contracts | ||||||||
| Counterparty | Gross
Amounts of Assets |
Amount
Eligible to Offset |
Collateral
(Received) Pledged |
Net
Amount | ||||
|
Barclays
Capital |
$195,648 | $(195,648) | $— | $ — | ||||
|
Goldman Sachs Capital Markets
L.P. |
47,651 | — | — | 47,651 | ||||
|
UBS
AG |
612,021 | (95,624) | — | 516,397 | ||||
| $855,320 | $(291,272) | $— | $564,048 | |||||
| Offsetting of Financial Liabilities and Derivative Liabilities | ||||||||
| Forward Foreign Currency Exchange Contracts | ||||||||
| Counterparty | Gross
Amounts of Liabilities |
Amount
Eligible to Offset |
Collateral
(Received) Pledged |
Net
Amount | ||||
|
Barclays
Capital |
$(277,691) | $195,648 | $— | $ (82,043) | ||||
|
Standard Chartered
Bank |
(378,037) | — | — | (378,037) | ||||
|
UBS
AG |
(95,624) | 95,624 | — | — | ||||
|
Westpac Banking
Corp. |
(33,463) | — | — | (33,463) | ||||
| $(784,815) | $291,272 | $— | $(493,543) | |||||
Amounts presented on the Schedules
of Investments and Statements of Assets and Liabilities are not net settlement amounts but gross.
4. Fees and Transactions with
Affiliates
Advisory Fee
The Trust, on behalf of each Fund, has entered into an
Investment Advisory Agreement with SSGA Funds Management, Inc. (the "Adviser" or "SSGA FM"). For its advisory services to the Funds, facilities furnished and expenses borne by the Adviser, each Fund pays the Adviser a fee (“Management/Advisory
fee”) accrued daily and
90
SPDR SERIES
TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2022
paid monthly, based on a percentage of each Fund’s average daily net
assets as shown in the following table:
| Annual Rate | |
|
SPDR Bloomberg Emerging Markets Local Bond
ETF |
0.30% |
|
SPDR Bloomberg International Corporate Bond
ETF |
0.50 |
|
SPDR Bloomberg International Treasury Bond
ETF |
0.35 |
|
SPDR Bloomberg Short Term International Treasury Bond
ETF |
0.35 |
|
SPDR FTSE International Government Inflation-Protected Bond
ETF |
0.50 |
From time to time, the Adviser may
waive all or a portion of its Management fee. The Adviser has contractually agreed to waive a portion of its Management fee and/or reimburse expenses in an amount equal to any acquired fund fees and expenses (excluding holdings in acquired funds for
cash management purposes, if any) for each Fund until April 30, 2023.
This waiver and/or reimbursement does not provide for the
recoupment by the Adviser of any amounts waived or reimbursed. This waiver and/or reimbursement may not be terminated prior to April 30, 2023 except with the approval of the Funds’ Board of Trustees.
The Adviser pays all expenses of each Fund other than the
Management fee, brokerage expenses, taxes, interest, fees and expenses of the Trust’s Trustees, who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”) (including any
Trustee’s counsel fees), litigation expenses, acquired fund fees and expenses and other extraordinary expenses.
State Street Global Advisors Limited receives fees from the
Adviser for its services as the sub-adviser to the SPDR Bloomberg International Corporate Bond ETF and SPDR Bloomberg Emerging Markets Local Bond ETF.
Administrator, Custodian, Sub-Administrator and Transfer Agent
Fees
SSGA FM serves as administrator and State Street
Bank and Trust Company (“State Street”), an affiliate of the Adviser, serves as custodian, sub-administrator and transfer agent. State Street receives fees for its services as custodian, sub-administrator and transfer agent from the
Adviser.
Distributor
State Street Global Advisors Funds Distributors, LLC
(“SSGA FD” or the “Distributor”), an affiliate of the Adviser, serves as the Distributor of the Trust.
Other Transactions with Affiliates - Securities Lending
State Street, an affiliate of the Funds, acts as the
securities lending agent for the Funds, pursuant to an amended and restated securities lending authorization agreement dated January 6, 2017, as amended.
Net proceeds collected by State Street on investment of cash
collateral or any fee income less rebates payable to borrowers are paid as follows: If the calendar year to date net proceeds are below a specified threshold across SPDR ETFs each Fund retains eighty five percent (85%) of the net proceeds and
fifteen percent (15%) of such net proceeds is payable to State Street. Starting the business day following the date that calendar year to date net proceeds exceeds a specified threshold, each Fund retains ninety percent (90%) of the net proceeds and
ten percent (10%) of such net proceeds is payable to State Street.
In addition, cash collateral from lending activities is
invested in the State Street Navigator Securities Lending Portfolio II, an affiliated fund, for which SSGA FM serves as investment adviser. See Note 9 for additional information regarding securities lending.
Other Transactions with Affiliates
The Funds may invest in affiliated entities, including
securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Funds owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these
transactions during the year ended December 31, 2022 are disclosed in the Schedules of Investments.
91
SPDR SERIES
TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2022
During the fiscal year ended December 31, 2022, State Street
made contributions of $489,633, $2,298 and $51,944 to the SPDR Bloomberg Emerging Markets Local Bond ETF, SPDR Bloomberg Short Term International Treasury Bond ETF and SPDR FTSE International Government Inflation-Protected Bond ETF, respectively,
related to an accounting matter.
During the fiscal year
ended December 31, 2022, the Adviser agreed to make a contribution $44,470 to the SPDR Bloomberg Emerging Markets Local Bond ETF related to a trade processing matter.
Due to Custodian
In certain circumstances, the Funds may have cash overdrafts
with the Custodian due to expense payments, capital transactions, trading of securities, investment operations or derivative transactions. The Due to Custodian amount, if any, reflects cash overdrawn with State Street, as custodian, who is an
affiliate of the Funds.
5. Trustees’ Fees
The fees and expenses of the Independent Trustees and one
interested, non-management Trustee are paid directly by the Funds. The Independent Trustees and one interested, non-management Trustee are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry
seminars.
6. Investment
Transactions
Purchases and sales of investments
(excluding in-kind transactions and short term investments) for the year ended December 31, 2022, were as follows:
| Purchases | Sales | ||
|
SPDR Bloomberg Emerging Markets Local Bond
ETF |
$1,901,557,667 | $704,891,129 | |
|
SPDR Bloomberg International Corporate Bond
ETF |
24,926,394 | 16,991,888 | |
|
SPDR Bloomberg International Treasury Bond
ETF |
210,250,345 | 123,961,748 | |
|
SPDR Bloomberg Short Term International Treasury Bond
ETF |
89,348,808 | 88,139,519 | |
|
SPDR FTSE International Government Inflation-Protected Bond
ETF |
189,600,420 | 179,568,936 |
For the year ended December 31,
2022, the following Funds had in-kind contributions, redemptions and net realized gains/losses in the amounts as follows:
| In-kind
Contributions |
In-kind
Redemptions |
In-kind
Net Realized Gains/(Losses) | |||
|
SPDR Bloomberg Emerging Markets Local Bond
ETF |
$135,820,601 | $136,160,292 | $(11,048,273) | ||
|
SPDR Bloomberg International Corporate Bond
ETF |
28,140,371 | 19,028,316 | (1,281,874) | ||
|
SPDR Bloomberg International Treasury Bond
ETF |
366,096,330 | 99,670,677 | (6,344,133) | ||
|
SPDR Bloomberg Short Term International Treasury Bond
ETF |
14,342,200 | 17,650,715 | (2,664,311) | ||
|
SPDR FTSE International Government Inflation-Protected Bond
ETF |
168,138,057 | 17,511,824 | 1,322,058 |
7. Shareholder
Transactions
Each Fund issues and redeems its shares, at
NAV, by each Fund only in aggregations of a specified number of shares or multiples thereof (“Creation Units”). Except when aggregated in Creation Units, shares of each Fund are not redeemable. Transactions in capital shares for each
Fund are disclosed in detail in the Statements of Changes in Net Assets.
The consideration for the purchase of Creation Units of a Fund
may consist of the in-kind deposit of a designated portfolio of securities and a specified amount of cash. Investors purchasing and redeeming Creation Units may pay a purchase transaction fee and a redemption transaction fee directly to the Trust
and/or custodian, to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units, including Creation Units for cash. An additional variable fee may be charged for certain transactions. Such variable
charges, if any, are included in “Other Capital” on the Statements of Changes in Net Assets.
92
SPDR SERIES
TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2022
8. Income Tax Information
The Funds have qualified and intend to continue to qualify as
regulated investment companies under Subchapter M of the Internal Revenue Code. 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.
Therefore, no provision for federal income tax is required.
The Funds file federal and various state and local tax returns
as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open
for an additional year depending upon jurisdiction. SSGA FM has analyzed each Fund's tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax
liability.
Distributions to shareholders are recorded on
ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
Certain capital accounts in the financial statements have been
adjusted for permanent book-tax differences. These adjustments have no impact on NAV or results of operations. Temporary book-tax differences will reverse in the future. These book-tax differences are primarily due to differing treatments for
character of distributions, in-kind transactions, foreign currencies, premium amortization, net operating losses, wash sale loss deferrals, TIPS adjustments, forward contracts and distributions in excess of current earnings.
The tax character of distributions paid during the year ended
December 31, 2022, was as follows:
| Ordinary
Income |
Long-Term
Capital Gains |
Tax
Return of Capital |
Total | ||||
|
SPDR Bloomberg Emerging Markets Local Bond
ETF |
$ 3,714,999 | $ — | $86,940,908 | $90,655,907 | |||
|
SPDR Bloomberg International Corporate Bond
ETF |
628,666 | — | — | 628,666 | |||
|
SPDR Bloomberg International Treasury Bond
ETF |
10,363,828 | — | — | 10,363,828 | |||
|
SPDR Bloomberg Short Term International Treasury Bond
ETF |
526,121 | 138,965 | — | 665,086 | |||
|
SPDR FTSE International Government Inflation-Protected Bond
ETF |
37,295,303 | — | 11,096,490 | 48,391,793 |
The tax character of distributions
paid during the fiscal period ended December 31, 2021 was as follows:
| Ordinary
Income |
Long-Term
Capital Gains |
Tax
Return of Capital |
Total | ||||
|
SPDR Bloomberg Emerging Markets Local Bond
ETF |
$ 39,014,812 | $ — | $ 6,269,073 | $ 45,283,885 | |||
|
SPDR Bloomberg International Corporate Bond
ETF |
716,688 | — | — | 716,688 | |||
|
SPDR Bloomberg International Treasury Bond
ETF |
8,885,986 | — | — | 8,885,986 | |||
|
SPDR Bloomberg Short Term International Treasury Bond
ETF |
1,221,564 | — | — | 1,221,564 | |||
|
SPDR FTSE International Government Inflation-Protected Bond
ETF |
17,883,899 | 1,231,484 | — | 19,115,383 |
At December 31, 2022, the
components of distributable earnings on a tax basis were as follows:
| Undistributed
Ordinary Income |
Capital
Loss Carryforwards |
Undistributed
Long-Term Capital Gains |
Net
Unrealized Gains (Losses) |
Total | |||||
|
SPDR Bloomberg Emerging Markets Local Bond
ETF |
$— | $(102,997,164) | $— | $(196,752,788) | $(299,749,952) | ||||
|
SPDR Bloomberg International Corporate Bond
ETF |
— | (826,338) | — | (27,135,300) | (27,961,638) | ||||
|
SPDR Bloomberg International Treasury Bond
ETF |
— | (9,590,138) | — | (188,780,099) | (198,370,237) | ||||
|
SPDR Bloomberg Short Term International Treasury Bond
ETF |
— | (2,461,219) | — | (11,437,785) | (13,899,004) | ||||
|
SPDR FTSE International Government Inflation-Protected Bond
ETF |
— | (8,576,000) | — | (102,617,163) | (111,193,163) |
93
SPDR SERIES
TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2022
As of December 31, 2022, the following Funds had capital loss
carryforwards available to offset future realized capital gains as follows:
| Non-Expiring
Short Term |
Non-Expiring
Long Term | ||
|
SPDR Bloomberg Emerging Markets Local Bond
ETF |
$39,775,120 | $63,222,044 | |
|
SPDR Bloomberg International Corporate Bond
ETF |
214,332 | 612,006 | |
|
SPDR Bloomberg International Treasury Bond
ETF |
2,425,494 | 7,164,644 | |
|
SPDR Bloomberg Short Term International Treasury Bond
ETF |
1,097,731 | 1,363,488 | |
|
SPDR FTSE International Government Inflation-Protected Bond
ETF |
5,592,148 | 2,983,852 |
As of December 31, 2022, gross
unrealized appreciation and gross unrealized depreciation of investments and other financial instruments based on cost for federal income tax purposes were as follows:
| Tax
Cost |
Gross
Unrealized Appreciation |
Gross
Unrealized Depreciation |
Net
Unrealized Appreciation (Depreciation) | ||||
|
SPDR Bloomberg Emerging Markets Local Bond
ETF |
$2,346,402,571 | $22,101,409 | $218,962,742 | $(196,861,333) | |||
|
SPDR Bloomberg International Corporate Bond
ETF |
173,772,421 | 524,823 | 27,709,740 | (27,184,917) | |||
|
SPDR Bloomberg International Treasury Bond
ETF |
1,296,340,754 | 5,518,844 | 194,401,052 | (188,882,208) | |||
|
SPDR Bloomberg Short Term International Treasury Bond
ETF |
155,326,332 | 1,315,894 | 12,757,427 | (11,441,533) | |||
|
SPDR FTSE International Government Inflation-Protected Bond
ETF |
620,751,560 | 1,499,504 | 104,083,041 | (102,583,537) |
9. Securities
Lending
Each Fund may lend securities 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 value of the collateral with respect to a loaned security may be temporarily more or less than the value of a security due to market fluctuations of securities values. With respect to each
loan, if on any U.S. business day the aggregate market value of securities collateral plus cash collateral is less than the aggregate market value of the securities which are subject to the loan, the borrower will be notified to provide additional
collateral on the next business day.
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 the lending agent. Additionally, a Fund will receive a fee from the borrower for non-cash collateral equal to a percentage of the market value of the loaned
securities.
The market value of securities on loan as of
December 31, 2022, and the value of the invested cash collateral are disclosed in the Funds' Statements of Assets and Liabilities. Non-cash collateral is not disclosed in the Funds' Statements of Assets and Liabilities as it is held by the lending
agent on behalf of the Funds and the Funds do not have the ability to re-hypothecate those securities. Securities lending income, as disclosed in the Funds' Statements of Operations, represents the income earned from the non-cash collateral and the
investment of cash collateral, net of fee rebates paid to the borrower and net of fees paid to State Street as lending agent.
The following is a summary of each Fund's securities lending
agreements and related cash and non-cash collateral received as of December 31, 2022:
| Fund | Market
Value of Securities on Loan |
Cash
Collateral Received |
Total
Collateral Received | |||
|
SPDR Bloomberg Emerging Markets Local Bond
ETF |
$ 35,830,780 | $ 36,893,506 | $ 36,893,506 | |||
|
SPDR Bloomberg International Corporate Bond
ETF |
8,535,613 | 8,734,973 | 8,734,973 |
94
SPDR SERIES
TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2022
| Remaining
Contractual Maturity of the Agreements as of December 31, 2022 | ||||||||||||||
| Fund | Securities
Lending Transactions |
Overnight
and Continuous |
<30 Days | Between
30 & 90 Days |
>90 Days | Total
Borrowings |
Gross
Amount of Recognized Liabilities for Securities Lending Transactions | |||||||
|
SPDR Bloomberg Emerging Markets Local Bond
ETF |
Foreign Government Obligations | $36,893,506 | $— | $— | $— | $36,893,506 | $36,893,506 | |||||||
|
SPDR Bloomberg International Corporate Bond
ETF |
Corporate Bonds & Notes | 8,734,973 | — | — | — | 8,734,973 | 8,734,973 | |||||||
10. Line of
Credit
The Funds and other affiliated funds (each, a
“Participant” and collectively, the “Participants”) have access to $200 million of a $1.275 billion ($1.1 billion prior to October 6, 2022) revolving credit facility, provided by a syndication of banks under which the
Participants may borrow to fund shareholder redemptions. This agreement expires in October 2023 unless extended or renewed.
The Participants are charged an annual commitment fee which is
calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating expenses paid by the Adviser. A participant
incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1.00% plus the greater of the New York Fed Bank Rate.
The Fund had no outstanding loans as of December 31,
2022.
11. Risks
Concentration Risk
As a result of the Funds’ ability to invest a large
percentage of their assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Funds’ investments more than if the
Funds were more broadly diversified.
Foreign and Emerging
Markets Risk
Investing in foreign markets involves risks
and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of government regulation, economic, political and social instability in the countries in which the Funds' invest.
Foreign markets may be less liquid than investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that a Fund invests in securities of issuers located in emerging markets, these risks may be even more
pronounced.
Credit Risk
A Fund may be exposed to credit risk in the event that an
issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
Market Risk
Market prices of investments held by a Fund will go up or
down, sometimes rapidly or unpredictably. A Fund’s investments are subject to changes in general economic conditions, general market fluctuations and the risks inherent in investment in securities markets. Investment markets can be volatile,
and prices of investments can change substantially due to various factors, including, but not limited to, economic growth or recession, changes in interest rates, inflation, changes in actual or perceived creditworthiness of issuers and general
market liquidity. Even if general economic conditions do not change, the value of an investment in a Fund could decline if the particular industries, sectors or companies in which the Fund invests do not perform well or are adversely affected by
events. Further, legal, political, regulatory and tax changes also may cause fluctuations in markets and securities prices. Local, regional or global events such as war, military conflicts, acts of terrorism, natural disasters, the spread of
infectious illness, such as COVID-19, or other public health issues, or other events could have a
95
SPDR SERIES
TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2022
significant impact on a Fund and its investments.
Russian Sanctions Risk
Sanctions threatened or imposed by a number of jurisdictions,
including the United States, the European Union and the United Kingdom, and other intergovernmental actions that have been or may be undertaken in the future, against Russia, Russian entities or Russian individuals, may result in the devaluation of
Russian currency, a downgrade in the country’s credit rating, an immediate freeze of Russian assets, a decline in the value and liquidity of Russian securities, property or interests, and/or other adverse consequences to the Russian economy or
a Fund. The scope and scale of sanctions in place at a particular time may be expanded or otherwise modified in a way that have negative effects on a Fund. Sanctions, or the threat of new or modified sanctions, could impairthe ability of a Fund to
buy, sell, hold, receive, deliver or otherwise transact in certain affected securities or other investment instruments. Sanctions could also result in Russia taking counter measures or other actions in response, which may further impair the value
and liquidity of Russian securities. These sanctions, and the resulting disruption of the Russian economy, may cause volatility in other regional and global markets and may negatively impact the performance of various sectors and industries, as well
as companies in other countries, which could have a negative effect on the performance of a Fund, even if a Fund does not have direct exposure to securities of Russian issuers. As a collective result of the imposition of sanctions, Russian
government countermeasures and the impact that they have had on the trading markets for Russian securities, certain Funds have used, and may in the future use, fair valuation procedures approved by the Fund’s Board to value certain Russian
securities, which could result in such securities being deemed to have a zero value. A reduction in liquidity of certain Fund holdings as a result of sanctions and related actions may cause a Fund to experience increased premiums or discounts to its
NAV and/or wider bid-ask spreads. Additionally, if it becomes impracticable or unlawful for a Fund to hold securities subject to, or otherwise affected by, sanctions, or if deemed appropriate by the Fund’s investment adviser, the Fund may
prohibit in-kind deposits of the affected securities in connection with creation transactions and instead require a cash deposit, which may also increase the Fund’s transaction costs.
12. Recent Accounting Pronouncement
In March 2020, the Financial Accounting Standards Board
(“FASB”) issued Accounting Standards Update No. 2020-04 (“ASU 2020-04”), “Reference Rate Reform (Topic 848)”. In response to concerns about structural risks of interbank offered rates, and particularly the risk of
cessation of LIBOR, regulators have undertaken reference rate reform initiatives to identify alternative reference rates that are more observable or transaction based and less susceptible to manipulation. ASU 2020-04 provides optional guidance for a
limited period of time to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. ASU 2020-04 is elective and applies to all entities, subject to meeting certain criteria, that have
contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. The relief provided is temporary and generally cannot be applied to contract
modifications that occur after December 31, 2022, or hedging relationships entered into or evaluated after that date. However, the FASB has indicated that it will revisit the sunset date in Topic 848 after the LIBOR administrator makes a final
decision on a phaseout date. On November 30, 2020, the LIBOR administrator proposed extending the publication of the overnight and the one-, three-, six- and 12-month USD LIBOR settings through June 30, 2023, when many existing contracts that
reference LIBOR will have expired. Management is currently evaluating the impact of the guidance.
13. Subsequent Events
Management has evaluated the impact of all subsequent events
on the Funds through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
96
SPDR SERIES
TRUST
REPORT OF INDEPENDENT REGISTERED PUBLIC
ACCOUNTING FIRM
To the Shareholders of SPDR Bloomberg Emerging Markets Local
Bond ETF, SPDR Bloomberg International Corporate Bond ETF, SPDR Bloomberg International Treasury Bond ETF, SPDR Bloomberg Short Term International Treasury Bond ETF and SPDR FTSE International Government Inflation-Protected Bond ETF and the Board of
Trustees of SPDR® Series Trust
Opinion on the Financial Statements
We have audited the accompanying statements of assets and
liabilities of SPDR Bloomberg Emerging Markets Local Bond ETF, SPDR Bloomberg International Corporate Bond ETF, SPDR Bloomberg International Treasury Bond ETF, SPDR Bloomberg Short Term International Treasury Bond ETF and SPDR FTSE International
Government Inflation-Protected Bond (collectively referred to as the “Funds”) (five of the series constituting SPDR® Series Trust (the “Trust”)),
including the schedules of investments, as of December 31, 2022, and the related statements of operations and changes in net assets, and the financial highlights for each of the periods indicated in the table below and the related notes
(collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds (five of the series constituting SPDR® Series Trust) at December 31, 2022, the results of their operations for the year then ended, the changes in their net assets and financial highlights for each of the periods
indicated in the table below, in conformity with U.S. generally accepted accounting principles.
| Individual series constituting SPDR Series Trust | Statement of operations | Statements of changes in net assets | Financial highlights |
| SPDR
Bloomberg Emerging Markets Local Bond ETF (formerly, SPDR Bloomberg Barclays Emerging Markets Local Bond ETF) SPDR Bloomberg International Corporate Bond ETF (formerly, SPDR Bloomberg Barclays International Corporate Bond ETF) SPDR Bloomberg International Treasury Bond ETF (formerly, SPDR Bloomberg Barclays International Treasury Bond ETF) SPDR Bloomberg Short Term International Treasury Bond ETF (formerly, SPDR Bloomberg Barclays Short Term International Treasury Bond ETF) SPDR FTSE International Government Inflation-Protected Bond |
For
the year ended December 31, 2022 |
For
the each of the two years in the period ended December 31, 2022 |
For
each of the two years in the period ended December 31, 2022, the period from July 1, 2019 to December 31, 2019 and each of the two years in the period ended June 30, 2019 |
Basis for Opinion
These financial statements are the responsibility of the
Trust’s management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States)
(“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of
the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were
we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an
opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
97
SPDR SERIES
TRUST
REPORT OF INDEPENDENT REGISTERED PUBLIC
ACCOUNTING FIRM
Our audits included performing procedures to assess the risks
of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the
financial statements. Our procedures included confirmation of securities owned as of December 31, 2022, by correspondence with the custodian, brokers and others; when replies were not received from brokers and others, we performed other auditing
procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable
basis for our opinion.
We have served as
the auditor of one or more State Street Global Advisors investment companies since 2000.
Boston, Massachusetts
February 24, 2023
February 24, 2023
98
SPDR SERIES
TRUST
OTHER INFORMATION
December 31, 2022 (Unaudited)
Expense Example
As a shareholder of a Fund, you incur two types of costs: (1)
transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and other Fund expenses. This example is intended to help you
understand your ongoing costs (in dollars) of investing in the 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 made at the beginning of the period shown and held for
the entire period from July 1, 2022 to December 31, 2022.
The table below illustrates your Fund’s cost in two
ways:
Based on actual fund return ——This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from each Fund's actual return, and the third column shows the
dollar amount that would have been paid by an investor who started with $1,000 in each Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, 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 given for the Fund under the heading “Expenses Paid During Period”.
Based on hypothetical 5%
return ——This section is intended to help you compare your Fund’s costs with those of other mutual funds. It assumes that the Fund had a yearly return of 5% before expenses, but that the expense
ratio is unchanged. In this case, because the return used is not the Fund’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the
“SEC”) requires all mutual funds to calculate expenses based on a 5% return. You can assess your Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other
funds.
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 sales load charges (loads). Therefore, the hypothetical 5% return section of the 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.
| Actual | Hypothetical
(assuming a 5% return before expenses) | ||||||||
| Annualized
Expense Ratio |
Ending
Account Value |
Expenses
Paid During Period(a) |
Ending
Account Value |
Expenses
Paid During Period(a) | |||||
|
SPDR Bloomberg Emerging Markets Local Bond
ETF |
0.31% | $1,035.50 | $1.59 | $1,023.60 | $1.58 | ||||
|
SPDR Bloomberg International Corporate Bond
ETF |
0.51 | 988.20 | 2.56 | 1,022.60 | 2.60 | ||||
|
SPDR Bloomberg International Treasury Bond
ETF |
0.36 | 977.10 | 1.79 | 1,023.40 | 1.84 | ||||
|
SPDR Bloomberg Short Term International Treasury Bond
ETF |
0.36 | 1,003.60 | 1.82 | 1,023.40 | 1.84 | ||||
|
SPDR FTSE International Government Inflation-Protected Bond
ETF |
0.51 | 972.20 | 2.54 | 1,022.60 | 2.60 | ||||
| (a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
99
SPDR SERIES
TRUST
OTHER INFORMATION (continued)
December 31, 2022 (Unaudited)
Tax Information
For federal income tax purposes, the following information is
furnished with respect to the distributions of the Funds for their fiscal year ended December 31, 2022.
Qualified Interest Income
Each Fund reports the maximum amount allowable of its net
taxable income and short-term capital gain as qualified interest income.
Capital Gain Dividend
Long term capital gains dividends were paid from the following
Funds during the fiscal period ended December 31, 2022:
| Amount | |
|
SPDR Bloomberg Short Term International Treasury Bond
ETF |
$138,965 |
Foreign Tax Credit
The Funds have made an election under the Internal Revenue
Code Section 853 to pass through foreign taxes paid by the Funds to its shareholders. For the year ended December 31, 2022, the total amount of foreign taxes that will be passed through are:
| Amount | |
|
SPDR Bloomberg Emerging Markets Local Bond
ETF |
$2,362,958 |
The amount of foreign source income
earned on the Fund during the year ended December 31, 2022 was as follows:
| Amount | |
|
SPDR Bloomberg Emerging Markets Local Bond
ETF |
$92,616,511 |
100
SPDR SERIES
TRUST
OTHER INFORMATION (continued)
December 31, 2022 (Unaudited)
Premium/Discount Information
Information regarding how often the Shares of each Fund traded
on the exchange at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund during the past calendar year can be found at https://www.ssga.com/spdrs.
Proxy Voting Policies and Procedures and Records
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 SEC's website at
www.sec.gov.
Information regarding how the investment adviser voted for the
12-month period ended June 30 is available by August 31 of each year by calling the same number, on the SEC’s website, at www.sec.gov and on the Funds’ website at
https://www.ssga.com/spdrs.
Shareholder Meeting Results
A Special Meeting of the Shareholders of SPDR Series Trust
(the “Shareholder Meeting”) was held on October 20, 2022. The purpose of the Shareholder Meeting was to ask shareholders to approve the election of Trustees. At the Shareholder Meeting, the shareholders of each Fund approved the election
of Trustees. The results of the voting are as follows:
| Trustee Nominee Name | Shares For | Shares Withheld |
| Clare S. Richer | 458,963,922.211 | 3,805,311.071 |
| Sandra G. Sponem | 458,912,867.553 | 3,856,365.729 |
| Kristi L. Rowsell | 459,030,936.405 | 3,738,296.877 |
| Gunjan Chauhan | 458,827,846.171 | 3,941,387.111 |
| Carolyn M. Clancy | 459,042,164.143 | 3,727,069.139 |
Quarterly Portfolio Schedule
Following the Funds’ first and third fiscal
quarter-ends, complete Schedules of Investments are filed with the SEC as exhibits on Form N-PORT, which can be found on the Funds' website at https://www.ssga.com/spdrs and on the SEC's website at www.sec.gov. The Funds’ Schedules of Investments are available upon request, without charge, by calling 1-866-787-2257 (toll free).
101
SPDR SERIES
TRUST
OTHER INFORMATION (continued)
December 31, 2022 (Unaudited)
TRUSTEES AND OFFICERS INFORMATION
| Name,
Address and Year of Birth |
Position(s)
with Funds |
Term
of Office and Length of Time Served |
Principal
Occupation(s) During Past 5 Years |
Number
of Portfolios in Fund Complex Overseen by Trustee† |
Other
Directorships Held by Trustee During the Past 5 Years | |||||
| Trustees | ||||||||||
| Independent Trustees | ||||||||||
| CARL
G. VERBONCOEUR c/o SPDR Series Trust One Iron Street Boston, MA 02210 1952 |
Independent
Trustee, Chairman, Trustee Committee Chair |
Term:
Unlimited Served: since April 2010 |
Self-employed
consultant since 2009. |
125 | The Motley
Fool Funds Trust (Trustee). | |||||
| DWIGHT
D. CHURCHILL c/o SPDR Series Trust One Iron Street Boston, MA 02210 1953 |
Independent
Trustee, Audit Committee Chair |
Term:
Unlimited Served: since April 2010 |
Self-employed
consultant since 2010; CEO and President, CFA Institute (June 2014 - January 2015). |
125 | Affiliated Managers Group, Inc. (Chairman, Director and Audit Committee Chair). | |||||
| CLARE
S. RICHER c/o SPDR Series Trust One Iron Street Boston, MA 02210 1958 |
Independent
Trustee |
Term:
Unlimited Served: since July 2018 |
Retired.
Chief Financial Officer, Putnam Investments LLC (December 2008 - May 2017). |
125 | Principal
Financial Group (Director and Financial Committee Chair); Bain Capital Specialty Finance (Director); University of Notre Dame (Trustee); Putnam Acquisition Financing Inc. (Director); Putnam Acquisition Financing LLC (Director); Putnam GP Inc. (Director); Putnam Investor Services, Inc. (Director); Putnam Investments Limited (Director). | |||||
| SANDRA
G. SPONEM c/o SPDR Series Trust One Iron Street Boston, MA 02210 1958 |
Independent
Trustee |
Term:
Unlimited Served: since July 2018 |
Retired.
Chief Financial Officer, M.A. Mortenson Companies, Inc.(construction and real estate company) (February 2007 - April 2017). |
125 | Rydex
Series Funds Rydex Dynamic Funds Rydex Variable Trust Guggenheim Funds Trust; Guggenheim Variable Funds Trust; Guggenheim Strategy Funds Trust; Transparent Value Trust; Fiduciary/ Claymore Energy Infrastructure Fund; Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust; Guggenheim Strategic Opportunities Fund; Guggenheim Enhanced Equity Income Fund; Guggenheim Credit Allocation Fund; Guggenheim Energy & Income Fund; Guggenheim Active Allocation Fund (Trustee and Audit Committee Chair). |
102
SPDR SERIES
TRUST
OTHER INFORMATION (continued)
December 31, 2022 (Unaudited)
| Name,
Address and Year of Birth |
Position(s)
with Funds |
Term
of Office and Length of Time Served |
Principal
Occupation(s) During Past 5 Years |
Number
of Portfolios in Fund Complex Overseen by Trustee† |
Other
Directorships Held by Trustee During the Past 5 Years | |||||
| CAROLYN
M. CLANCY c/o SPDR Index Shares Funds One Iron Street Boston, MA 02210 1960 |
Independent
Trustee |
Term:
Unlimited Served: since October 2022 |
Retired.
Executive Vice President, Head of Strategy, Analytics and Market Readiness, Fidelity Investments (April 2020 – June 2021); Executive Vice President, Head of Broker Dealer Business, Fidelity Investments (July 2017 – March 2020). |
125 | Assumption
University (Trustee); Big Sister Association of Greater Boston (Director). | |||||
| KRISTI
L. ROWSELL c/o SPDR Index Shares Funds One Iron Street Boston, MA 02210 1966 |
Independent
Trustee |
Term:
Unlimited Served: since October 2022 |
Partner
and President, Harris Associates (2010 – 2021). |
125 | Oakmark
Funds (Trustee); Board of Governors, Investment Company Institute (Member); Habitat for Humanity Chicago (Director). | |||||
| Interested Trustee | ||||||||||
| JAMES
E. ROSS* c/o SPDR Series Trust One Iron Street Boston, MA 02210 1965 |
Interested
Trustee |
Term:
Unlimited Served as Trustee: since April 2010 |
President,
Winnisquam Capital LLC (December 2022 – present); Non-Executive Chairman, Fusion Acquisition Corp II. (February 2020 - Present); Non-Executive Chairman, Fusion Acquisition Corp. (June 2020 - September 2021); Retired Chairman and Director, SSGA Funds Management, Inc. (2005 - March 2020); Retired Executive Vice President, State Street Global Advisors (2012 - March 2020); Retired Chief Executive Officer and Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - March 2020); Director, State Street Global Markets, LLC (2013 - April 2017); President, SSGA Funds Management, Inc. (2005 - 2012); Principal, State Street Global Advisors (2000 - 2005). |
136 | Investment
Managers Series Trust (December 2022 – present); The Select Sector SPDR Trust (November 2005 - Present); SSGA SPDR ETFs Europe I PLC (Director) (November 2016 - March 2020); SSGA SPDR ETFs Europe II PLC (Director) (November 2016 - March 2020); State Street Navigator Securities Lending Trust (July 2016 - March 2020); SSGA Funds (January 2014 - March 2020); State Street Institutional Investment Trust (February 2007 - March 2020); State Street Master Funds (February 2007 - March 2020); Elfun Funds (July 2016 - December 2018). | |||||
| GUNJAN
CHAUHAN** c/o SPDR Index Shares Funds One Iron Street Boston, MA 02210 1982 |
Interested
Trustee |
Term:
Unlimited Served: Since October 2022 |
Senior
Managing Director, State Street Global Advisors (April 2018 – Present); Managing Director, State Street Global Advisors (June 2015– March 2018). |
125 | State Street ICAV (Director). | |||||
| † For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser, which includes series of SPDR Series Trust, SPDR Index Shares Funds and SSGA Active Trust. | ||||||||||
| * Mr. Ross is an Interested Trustee because of his ownership interest in an affiliate of the Adviser. Mr. Ross previously served as an Interested Trustee from November 2005 to December 2009. | ||||||||||
| ** Ms. Chauhan is an Interested Trustee because of her position with an affiliate of the Adviser. | ||||||||||
103
SPDR SERIES
TRUST
OTHER INFORMATION (continued)
December 31, 2022 (Unaudited)
| Name,
Address and Year of Birth |
Position(s)
with Funds |
Term
of Office and Length of Time Served |
Principal Occupation(s) During the Past 5 Years | |||
| Officers | ||||||
| ELLEN
M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1967 |
President | Term:
Unlimited Served: since October 2012 |
Chairman, SSGA Funds Management Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | |||
| BRUCE
S. ROSENBERG SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1961 |
Treasurer | Term:
Unlimited Served: since February 2016 |
Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
| ANN
M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1966 |
Vice
President; Deputy Treasurer |
Term:
Unlimited Served: since August 2012 (with respect to Vice President); Unlimited Served: since February 2016 (with respect to Deputy Treasurer) |
Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - Present)*; Managing Director, State Street Global Advisors (April 2005 - present).* | |||
| MICHAEL
P. RILEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 |
Vice
President |
Term:
Unlimited Served: since February 2005 |
Managing Director, State Street Global Advisors (2005 - present).* | |||
| CHAD
C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 |
Deputy
Treasurer |
Term:
Unlimited Served: since February 2016 |
Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 - present). | |||
| DARLENE
ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1968 |
Deputy
Treasurer |
Term:
Unlimited Served: since November 2016 |
Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 - present); Senior Vice President, John Hancock Investments (September 2007 - May 2016). | |||
| ARTHUR
A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 1966 |
Deputy
Treasurer |
Term:
Unlimited Served: Since August 2017 |
Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 - present); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 - July 2016). | |||
| DAVID
LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1971 |
Assistant
Treasurer |
Term:
Unlimited Served: since November 2020 |
Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011 - July 2017).* | |||
| RYAN
HILL SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1982 |
Assistant
Treasurer |
Term:
Unlimited Served: since May 2022 |
Vice President, State Street Global Advisors and SSGA Funds Management Inc. (May 2017 - present); Assistant Vice President, State Street Bank and Trust Co. (May 2014 - May 2017). |
104
SPDR SERIES
TRUST
OTHER INFORMATION (continued)
December 31, 2022 (Unaudited)
| Name,
Address and Year of Birth |
Position(s)
with Funds |
Term
of Office and Length of Time Served |
Principal Occupation(s) During the Past 5 Years | |||
| JOHN
BETTENCOURT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1976 |
Assistant
Treasurer |
Term:
Unlimited Served: since May 2022 |
Vice President, State Street Global Advisors and SSGA Funds Management Inc. (March 2020 - present); Assistant Vice President, State Street Global Advisors (June 2007 - March 2020). | |||
| BRIAN
HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1973 |
Chief
Compliance Officer; Anti-Money Laundering Officer; Code of Ethics Compliance Officer |
Term:
Unlimited Served: since November 2013 |
Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present).* | |||
| SEAN
O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 |
Chief Legal Officer | Term:
Unlimited Served:since August 2019 |
Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 - present). | |||
| DAVID
BARR SSGA Funds Management, Inc One Iron Street Boston, MA 02210 1974 |
Assistant
Secretary |
Term:Unlimited
Served:since November 2020 |
Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President at Eaton Vance Corp. (October 2010 - October 2019). | |||
| DAVID
URMAN SSGA Funds Management, Inc One Iron Street Boston, MA 02210 1985 |
Secretary | Term:Unlimited
Served:since August 2019 |
Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015). | |||
| * Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
| The Statement of Additional Information (SAI) includes additional information about the Funds' trustees and is available, without charge, upon request and by calling 1-866-787-2257. | ||||||
105
SPDR Series Trust
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 https://www.ssga.com/spdrs. Please read the prospectus carefully before you invest.
SPDR® Series Trust - Fixed Income Funds
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 https://www.ssga.com/spdrs. Please read the prospectus carefully before you invest.
(b) Not applicable.
Item 2. Code of Ethics.
As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party (the “Code of Ethics”). During the period covered by this report, no substantive amendments were made to the Code of Ethics. During the period covered by this report, the registrant did not grant any waivers, including any implicit waivers, from any provision of the Code of Ethics.
The Code of Ethics is attached hereto as Exhibit 13(a)(1).
Item 3. Audit Committee Financial Expert.
(a)(1) The Board of Trustees of the registrant has determined that the registrant has four Board members serving on the Audit Committee that possess the attributes identified in Instructions 2(b) of Item 3 to Form N-CSR to qualify as an “audit committee financial expert.”
(2) Dwight Churchill, Clare Richer, Kristi Rowsell, Sandra Sponem and Carl Verboncoeur are the registrant’s audit committee financial experts. The Board also determined that each of the foregoing persons are not “interested person(s)” of the registrant as that term is defined in Section 2(a)(19) of the Investment Company Act of 1940, as amended (the “1940 Act”).
Item 4. Principal Accountant Fees and Services.
(a) Audit Fees.
For the fiscal year ending December 31, 2022 and December 31, 2021, the aggregate audit fees billed for professional services rendered by the principal accountant were $123,675 and $89,700, respectively. Audit fees include the performance of the annual audits, security counts performed during the course of the period for each series of the registrant and routine regulatory filings (one for each SEC registrant).
(b) Audit-Related Fees.
For the fiscal year ending December 31, 2022 and December 31, 2021, the principal accountant did not bill the registrant any fees for assurances and related services that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item.
(c) Tax Fees.
For the fiscal year ending December 31, 2022 and December 31, 2021, the aggregate tax fees billed for professional services rendered by the principal accountant were $13,890 and $34,725, respectively. Tax services related to the review of year-end distribution requirements for the fiscal year ended December 31, 2022 and the review of year-end distribution requirements as well as tax compliance, tax advice, and tax planning in the form of preparation of excise filings and income tax returns for the fiscal year ended December 31, 2021.
(d) All Other Fees.
For the fiscal year ending December 31, 2022 and December 31, 2021, there were no fees billed for professional services rendered by E&Y for products and services provided by E&Y to the Trust, other than the services reported in paragraphs (a) through (c).
For the fiscal year ended December 31, 2022 and calendar year ended December 31, 2021, the aggregate fees for professional services rendered by E&Y for products and services provided by E&Y to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the Trust that (i) relate directly to the operations and financial reporting of the Trust and (ii) were pre-approved by the Audit Committee were approximately $9,327,125 and $8,904,469, respectively.
(e)(1) Audit Committee Pre-Approval Policies and Procedures.
The registrant’s Audit Committee Charter states the following with respect to pre-approval procedures:
Before the independent auditors are engaged by the Trust to render audit or non-audit services, either:
| a. | The Audit Committee shall pre-approve all audit, audit-related and permissible non-audit services provided to the Trust. The Audit Committee may delegate to one or more of its members the authority to grant pre-approvals. Any decision of any member to whom authority is delegated under this section shall be presented to the full Audit Committee at its next regularly scheduled meeting; |
or
| b. | The engagement to render the audit, audit-related or permissible non-audit service is entered into pursuant to pre-approval policies and procedures established by the Audit Committee. Any such policies and procedures must (1) be detailed as to the particular service and (2) not involve any delegation of the Audit Committee’s responsibilities to the investment adviser. The Audit Committee must be informed of each service entered into pursuant to the policies and procedures. A copy of any such policies and procedures shall be attached as an exhibit to the Audit Committee Charter. |
| c. | Pre-Approval for a service provided to the Trust other than audit or audit-related services is not required if: (1) the aggregate amount of all such permissible non-audit services provided to the Trust constitutes not more than five percent (5%) of the total amount of revenues paid by the Trust to the independent auditors during the fiscal year in which the permissible non-audit services are provided; (2) such services were not recognized by the Trust at the time of the engagement to be permissible non-audit services; and (3) such services are promptly brought to the attention of the Audit Committee and are approved by the Audit Committee or by one or more members of the Audit Committee to whom authority to grant such approvals has been delegated by the Audit Committee prior to the completion of the audit. |
| d. | The Audit Committee shall pre-approve any permissible non-audit services proposed to be provided by the independent auditors to (a) the investment adviser and (b) any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Trust, if the independent auditors’ engagement with the investment adviser or any such control persons relates directly to the operations and financial reporting of the Trust. It shall be the responsibility of the independent auditors to notify the Audit Committee of any permissible non-audit services that need to be pre-approved. |
Notwithstanding the above, Pre-Approval for any permissible non-audit services under this Sub-section is not required if: (1) the aggregate amount of all such permissible non-audit services constitutes not more than five percent (5%) of the total amount of revenues paid to the independent auditors by the Trust and any other entity that has its services approved under this Section (i.e., the investment adviser or any control person) during the fiscal year in which the permissible non-audit services are provided; (2) such services were not recognized by the Trust at the time of the engagement to be permissible non-audit services; and (3) such services are promptly brought to the attention of the Audit Committee and are approved by the Audit Committee or by one or more members of the Audit Committee to whom authority to grant such approvals has been delegated by the Audit Committee prior to the completion of the audit.
(e)(2) Percentage of Services.
One hundred percent of the services described in each of paragraphs (b) through (d) of this Item were approved by the registrant’s Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Not applicable.
(g) The aggregate non-audit fees billed for by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser were as follows:
| FY 2022 (in millions) |
FY 2021 (in millions) |
|||||||
| Non audit services billed to: |
||||||||
| Registrant: |
See Item 4 | (c) | See Item 4 | (c) | ||||
| Investment Adviser: |
— | — | ||||||
| Other entities in the Investment Company Complex(1): |
||||||||
| Audit Related Fees |
$ | 18.1 | $ | 18.1 | ||||
| Tax Fees |
$ | 5.4 | $ | 5.4 | ||||
| All Other Fees |
$ | 14.5 | $ | 14.5 | ||||
| (1) | Services under the caption Audit-Related Fees consisted principally of reports on the processing of transactions by servicing organizations, audits of employee benefit plan, non-statutory audits and due diligence procedures. Services under the caption Tax Fees consisted principally of expatriate, compliance and corporate tax advisory services. Services under the caption All Other Fees primarily related to statutory and financial statement audits and the requirement to opine on the design and operating effectiveness of internal control over financial reporting. |
(h) The registrant’s principal accountant notified the registrant’s Audit Committee of all non-audit services that were rendered by the principal accountant to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides services to the registrant, which services were not required to be pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, allowing the registrant’s Audit Committee to consider whether such services were compatible with maintaining the principal accountant’s independence.
Item 5. Audit Committees of Listed Registrants.
The registrant has an audit committee which was established by the Board of Trustees of the registrant in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934, as amended. The members of the registrant’s Audit committee are Dwight Churchill, Clare Richer, Sandra Sponem and Carl Verboncoeur.
Item 6. Investments.
| (a) | A Schedule of Investments for each applicable series of the registrant is included as a part of the report to shareholders filed under Item 1 of this Form N-CSR. |
| (b) | Not applicable to the registrant. |
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.
The 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) The Trust’s principal executive officer and principal financial officer have concluded that the Trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective to provide reasonable assurance that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported as of a date within 90 days of the filing date of this report, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
(a) Not applicable to the registrant.
(b) Not applicable to the registrant.
Item 13. Exhibits.
| (a)(1) |
| (a)(2) |
| (a)(3) | Not applicable to the registrant. |
| (a)(4) | Not applicable. |
| (b) |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
SPDR® Series Trust
| By: | /s/ Ellen M. Needham | |
| Ellen M. Needham | ||
| President and Principal Executive Officer |
Date: March 8, 2023
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, 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/ Ellen M. Needham | |
| Ellen M. Needham | ||
| President and Principal Executive Officer |
Date: March 8, 2023
| By: | /s/ Bruce S. Rosenberg | |
| Bruce S. Rosenberg | ||
| Treasurer and Principal Financial Officer |
Date: March 8, 2023