Table of Contents

Annual Report

September 30, 2020

 

SPDR® S&P 500® ETF Trust

A Unit Investment Trust

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

 

 

LOGO


Table of Contents

SPDR S&P 500® ETF Trust

Trust Overview

 

 

INVESTMENT OBJECTIVE

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

INVESTMENT STRATEGY

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

PERFORMANCE OVERVIEW

The Trust ended its fiscal year on September 30, 2020, with a 12-month total return of 14.98% based on net asset value (“NAV”), as compared to the Index return of 15.15%

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


Table of Contents

SPDR S&P 500® ETF Trust

Annual Report

September  30, 2020

Table of Contents

 

Schedule of Investments

     1  

Portfolio Statistics

     9  

Statement of Assets and Liabilities

     10  

Statements of Operations

     11  

Statements of Changes in Net Assets

     12  

Financial Highlights

     13  

Notes to Financial Statements

     14  

Report of Independent Registered Public Accounting Firm

     22  

Other Information (Unaudited)

     23  


Table of Contents

SPDR S&P 500® ETF Trust

Schedule of Investments

September 30, 2020

 

 

 

Common Stocks    Shares      Value  
               

3M Co.

     6,085,208      $ 974,728,617  

Abbott Laboratories

     18,674,697        2,032,367,275  

AbbVie, Inc.

     18,644,080        1,633,034,967  

ABIOMED, Inc.(a)

     472,866        131,012,254  

Accenture PLC Class A

     6,710,434        1,516,490,980  

Activision Blizzard, Inc.

     8,151,088        659,830,574  

Adobe, Inc.(a)

     5,059,398        2,481,280,561  

Advance Auto Parts, Inc.

     730,107        112,071,425  

Advanced Micro Devices, Inc.(a)

     12,383,223        1,015,300,454  

AES Corp.

     6,944,979        125,773,570  

Aflac, Inc.

     6,992,929        254,192,969  

Agilent Technologies, Inc.

     3,261,721        329,238,118  

Air Products & Chemicals, Inc.

     2,321,062        691,351,527  

Akamai Technologies, Inc.(a)

     1,703,846        188,343,137  

Alaska Air Group, Inc.

     1,296,337        47,484,824  

Albemarle Corp.

     1,123,991        100,349,916  

Alexandria Real Estate Equities, Inc. REIT

     1,236,947        197,911,520  

Alexion Pharmaceuticals, Inc.(a)

     2,333,509        267,023,435  

Align Technology, Inc.(a)

     756,373        247,606,265  

Allegion PLC

     984,886        97,415,074  

Alliant Energy Corp.

     2,533,989        130,880,532  

Allstate Corp.

     3,323,365        312,861,581  

Alphabet, Inc. Class A(a)

     3,169,146        4,644,700,378  

Alphabet, Inc. Class C(a)

     3,096,513        4,550,635,505  

Altria Group, Inc.

     19,658,954        759,621,983  

Amazon.com, Inc.(a)

     4,490,668        14,139,901,052  

Amcor PLC

     16,652,547        184,010,644  

Ameren Corp.

     2,561,098        202,531,630  

American Airlines Group, Inc.

     5,251,457        64,540,407  

American Electric Power Co., Inc.

     5,197,597        424,799,603  

American Express Co.

     6,878,880        689,607,720  

American International Group, Inc.

     9,138,328        251,578,170  

American Tower Corp. REIT

     4,689,709        1,133,643,357  

American Water Works Co., Inc.

     1,895,570        274,630,182  

Ameriprise Financial, Inc.

     1,268,591        195,502,559  

AmerisourceBergen Corp.

     1,550,441        150,268,742  

AMETEK, Inc.

     2,384,650        237,034,210  

Amgen, Inc.

     6,177,622        1,570,104,408  
Common Stocks    Shares      Value  
               

Amphenol Corp. Class A

     3,119,012      $ 337,695,429  

Analog Devices, Inc.

     3,875,298        452,402,289  

ANSYS, Inc.(a)

     900,343        294,619,240  

Anthem, Inc.

     2,652,792        712,513,403  

AO Smith Corp.

     1,458,677        77,018,146  

Aon PLC Class A

     2,443,417        504,076,927  

Apache Corp.

     3,938,057        37,293,400  

Apartment Investment & Management Co. Class A REIT

     1,566,726        52,830,001  

Apple, Inc.

     169,565,193        19,637,345,001  

Applied Materials, Inc.

     9,632,879        572,674,657  

Aptiv PLC

     2,848,168        261,120,042  

Archer-Daniels-Midland Co.

     5,853,642        272,135,817  

Arista Networks, Inc.(a)

     573,113        118,594,273  

Arthur J Gallagher & Co.

     2,005,695        211,761,278  

Assurant, Inc.

     638,166        77,415,917  

AT&T, Inc.

     75,150,492        2,142,540,527  

Atmos Energy Corp.

     1,259,463        120,392,068  

Autodesk, Inc.(a)

     2,313,022        534,331,212  

Automatic Data Processing, Inc.

     4,553,764        635,204,540  

AutoZone, Inc.(a)

     246,903        290,762,849  

AvalonBay Communities, Inc. REIT

     1,467,951        219,223,802  

Avery Dennison Corp.

     878,567        112,316,005  

Baker Hughes Co.

     6,846,882        90,995,062  

Ball Corp.

     3,450,814        286,831,660  

Bank of America Corp.

     80,418,040        1,937,270,584  

Bank of New York Mellon Corp.

     8,522,732        292,670,617  

Baxter International, Inc.

     5,369,133        431,785,676  

Becton Dickinson and Co.

     3,057,431        711,403,045  

Berkshire Hathaway, Inc. Class B(a)

     20,907,256        4,451,991,093  

Best Buy Co., Inc.

     2,401,886        267,305,893  

Bio-Rad Laboratories, Inc. Class A(a)

     226,063        116,526,434  

Biogen, Inc.(a)

     1,669,824        473,695,672  

BlackRock, Inc.

     1,495,809        842,963,162  

Boeing Co.

     5,596,296        924,843,877  

Booking Holdings, Inc.(a)

     432,971        740,674,830  

BorgWarner, Inc.

     2,163,654        83,819,956  

Boston Properties, Inc. REIT

     1,516,139        121,745,962  
 

 

See accompanying notes to financial statements.

 

1


Table of Contents

SPDR S&P 500® ETF Trust

Schedule of Investments (continued)

September 30, 2020

 

 

 

Common Stocks    Shares      Value  
               

Boston Scientific Corp.(a)

     15,114,326      $ 577,518,396  

Bristol-Myers Squibb Co.

     23,773,273        1,433,290,629  

Broadcom, Inc.

     4,228,999        1,540,708,916  

Broadridge Financial Solutions, Inc.

     1,203,961        158,922,852  

Brown-Forman Corp. Class B

     1,917,389        144,417,739  

C.H. Robinson Worldwide, Inc.

     1,423,216        145,438,443  

Cabot Oil & Gas Corp.

     4,302,968        74,699,524  

Cadence Design Systems, Inc.(a)

     2,950,411        314,602,325  

Campbell Soup Co.

     2,135,256        103,282,333  

Capital One Financial Corp.

     4,816,570        346,118,720  

Cardinal Health, Inc.

     3,084,964        144,839,060  

CarMax, Inc.(a)

     1,732,786        159,260,361  

Carnival Corp.

     5,462,479        82,920,431  

Carrier Global Corp.

     8,566,617        261,624,483  

Catalent, Inc.(a)

     1,731,187        148,293,478  

Caterpillar, Inc.

     5,725,734        853,993,226  

Cboe Global Markets, Inc.

     1,173,130        102,930,426  

CBRE Group, Inc. Class A(a)

     3,521,598        165,409,458  

CDW Corp.

     1,515,598        181,159,429  

Celanese Corp.

     1,275,141        137,013,900  

Centene Corp.(a)

     6,122,039        357,098,535  

CenterPoint Energy, Inc.

     5,762,319        111,500,873  

CenturyLink, Inc.

     10,095,902        101,867,651  

Cerner Corp.

     3,219,534        232,740,113  

CF Industries Holdings, Inc.

     2,300,715        70,654,958  

Charles Schwab Corp.

     12,232,760        443,192,895  

Charter Communications, Inc. Class A(a)

     1,577,632        984,978,763  

Chevron Corp.

     19,695,417        1,418,070,024  

Chipotle Mexican Grill, Inc.(a)

     294,925        366,801,172  

Chubb, Ltd.

     4,769,086        553,786,266  

Church & Dwight Co., Inc.

     2,575,508        241,350,855  

Cigna Corp.

     3,872,979        656,121,372  

Cincinnati Financial Corp.

     1,597,757        124,577,113  

Cintas Corp.

     917,082        305,232,402  

Cisco Systems, Inc.

     44,651,886        1,758,837,790  

Citigroup, Inc.

     22,024,051        949,456,839  

Citizens Financial Group, Inc.

     4,591,115        116,063,387  
Common Stocks    Shares      Value  
               

Citrix Systems, Inc.

     1,302,998      $ 179,435,855  

Clorox Co.

     1,320,384        277,505,105  

CME Group, Inc.

     3,770,040        630,765,392  

CMS Energy Corp.

     2,987,337        183,452,365  

Coca-Cola Co.

     40,775,423        2,013,082,634  

Cognizant Technology Solutions Corp. Class A

     5,757,982        399,719,110  

Colgate-Palmolive Co.

     9,011,932        695,270,554  

Comcast Corp. Class A

     48,082,101        2,224,277,992  

Comerica, Inc.

     1,520,690        58,166,393  

Conagra Brands, Inc.

     5,099,230        182,093,503  

Concho Resources, Inc.

     2,103,879        92,823,141  

ConocoPhillips

     11,345,571        372,588,552  

Consolidated Edison, Inc.

     3,500,049        272,303,812  

Constellation Brands, Inc. Class A

     1,760,027        333,542,717  

Cooper Cos., Inc.

     516,166        174,009,882  

Copart, Inc.(a)

     2,159,579        227,101,328  

Corning, Inc.

     8,114,733        262,998,497  

Corteva, Inc.

     7,872,195        226,797,938  

Costco Wholesale Corp.

     4,657,075        1,653,261,625  

Crown Castle International Corp. REIT

     4,408,474        734,010,921  

CSX Corp.

     8,098,199        628,987,116  

Cummins, Inc.

     1,560,696        329,556,567  

CVS Health Corp.

     13,827,873        807,547,783  

D.R. Horton, Inc.

     3,490,884        264,015,557  

Danaher Corp.

     6,656,508        1,433,345,868  

Darden Restaurants, Inc.

     1,373,983        138,415,047  

DaVita, Inc.(a)

     848,829        72,702,204  

Deere & Co.

     3,311,070        733,832,444  

Delta Air Lines, Inc.

     6,727,860        205,737,959  

DENTSPLY SIRONA, Inc.

     2,340,459        102,348,272  

Devon Energy Corp.

     4,086,315        38,656,540  

DexCom, Inc.(a)

     1,009,752        416,250,067  

Diamondback Energy, Inc.

     1,695,807        51,077,707  

Digital Realty Trust, Inc. REIT

     2,838,426        416,567,400  

Discover Financial Services

     3,232,053        186,748,022  

Discovery, Inc. Class A(a)

     1,656,564        36,063,398  

Discovery, Inc. Class C(a)

     3,346,989        65,600,984  

DISH Network Corp. Class A(a)

     2,692,712        78,169,429  

Dollar General Corp.

     2,626,572        550,582,023  
 

 

See accompanying notes to financial statements.

 

2


Table of Contents

SPDR S&P 500® ETF Trust

Schedule of Investments (continued)

September 30, 2020

 

 

 

Common Stocks    Shares      Value  
               

Dollar Tree, Inc.(a)

     2,493,200      $ 227,728,888  

Dominion Energy, Inc.

     8,878,571        700,785,609  

Domino’s Pizza, Inc.

     406,386        172,827,838  

Dover Corp.

     1,530,088        165,769,734  

Dow, Inc.

     7,802,489        367,107,107  

DTE Energy Co.

     2,019,859        232,364,579  

Duke Energy Corp.

     7,774,243        688,486,960  

Duke Realty Corp. REIT

     3,880,306        143,183,291  

DuPont de Nemours, Inc.

     7,794,597        432,444,242  

DXC Technology Co.

     2,694,087        48,089,453  

E*TRADE Financial Corp.

     2,386,749        119,456,787  

Eastman Chemical Co.

     1,441,437        112,605,058  

Eaton Corp. PLC

     4,231,553        431,745,353  

eBay, Inc.

     6,986,976        364,021,450  

Ecolab, Inc.

     2,615,312        522,643,950  

Edison International

     3,998,487        203,283,079  

Edwards Lifesciences Corp.(a)

     6,563,537        523,901,523  

Electronic Arts, Inc.(a)

     3,072,013        400,621,215  

Eli Lilly & Co.

     8,373,374        1,239,426,819  

Emerson Electric Co.

     6,320,938        414,463,905  

Entergy Corp.

     2,094,973        206,417,690  

EOG Resources, Inc.

     6,121,674        220,012,964  

Equifax, Inc.

     1,265,806        198,604,961  

Equinix, Inc. REIT

     936,438        711,814,617  

Equity Residential REIT

     3,611,786        185,392,975  

Essex Property Trust, Inc. REIT

     688,641        138,272,226  

Estee Lauder Cos., Inc. Class A

     2,377,680        518,928,660  

Etsy, Inc.(a)

     1,258,536        153,075,734  

Everest Re Group, Ltd.

     422,918        83,543,222  

Evergy, Inc.

     2,406,370        122,291,723  

Eversource Energy

     3,558,292        297,295,297  

Exelon Corp.

     10,224,961        365,644,605  

Expedia Group, Inc.

     1,456,039        133,504,216  

Expeditors International of Washington, Inc.

     1,791,695        162,184,231  

Extra Space Storage, Inc. REIT

     1,365,487        146,093,454  

Exxon Mobil Corp.

     44,597,143        1,531,019,919  

F5 Networks, Inc.(a)

     628,948        77,215,946  

Facebook, Inc. Class A(a)

     25,359,393        6,641,625,027  

Fastenal Co.

     6,001,005        270,585,315  

Federal Realty Investment Trust REIT

     734,755        53,960,407  

FedEx Corp.

     2,542,337        639,448,602  

Fidelity National Information Services, Inc.

     6,535,939        962,155,580  
Common Stocks    Shares      Value  
               

Fifth Third Bancorp

     7,492,493      $ 159,739,951  

First Republic Bank

     1,772,443        193,302,634  

FirstEnergy Corp.

     5,690,046        163,361,221  

Fiserv, Inc.(a)

     5,862,372        604,117,435  

FleetCor Technologies, Inc.(a)

     886,127        210,986,839  

FLIR Systems, Inc.

     1,412,621        50,642,463  

Flowserve Corp.

     1,346,204        36,737,907  

FMC Corp.

     1,367,044        144,783,630  

Ford Motor Co.

     41,072,176        273,540,692  

Fortinet, Inc.(a)

     1,419,356        167,214,330  

Fortive Corp.

     3,555,121        270,935,771  

Fortune Brands Home & Security, Inc.

     1,472,461        127,397,326  

Fox Corp. Class A

     3,695,710        102,851,609  

Fox Corp. Class B(a)

     1,682,916        47,071,161  

Franklin Resources, Inc.

     2,974,956        60,540,355  

Freeport-McMoRan, Inc.

     15,273,560        238,878,478  

Gap, Inc.

     2,269,914        38,656,635  

Garmin, Ltd.

     1,521,627        144,341,537  

Gartner, Inc.(a)

     935,366        116,873,982  

General Dynamics Corp.

     2,465,593        341,312,039  

General Electric Co.

     91,830,719        572,105,379  

General Mills, Inc.

     6,358,986        392,222,256  

General Motors Co.

     13,241,054        391,802,788  

Genuine Parts Co.

     1,531,727        145,774,459  

Gilead Sciences, Inc.

     13,223,542        835,595,619  

Global Payments, Inc.

     3,161,496        561,418,460  

Globe Life, Inc.

     1,057,971        84,531,883  

Goldman Sachs Group, Inc.

     3,629,064        729,332,992  

Halliburton Co.

     9,267,879        111,677,942  

Hanesbrands, Inc.

     3,818,172        60,136,209  

Hartford Financial Services Group, Inc.

     3,794,761        139,874,890  

Hasbro, Inc.

     1,343,310        111,118,603  

HCA Healthcare, Inc.

     2,783,775        347,081,067  

Healthpeak Properties, Inc. REIT

     5,694,507        154,605,865  

Henry Schein, Inc.(a)

     1,544,076        90,760,787  

Hershey Co.

     1,560,579        223,693,394  

Hess Corp.

     2,883,339        118,015,065  

Hewlett Packard Enterprise Co.

     13,649,309        127,894,025  

Hilton Worldwide Holdings, Inc.

     2,924,785        249,542,656  

HollyFrontier Corp.

     1,562,258        30,792,105  

Hologic, Inc.(a)

     2,730,612        181,503,780  

Home Depot, Inc.

     11,353,901        3,153,091,847  

Honeywell International, Inc.

     7,402,039        1,218,449,640  
 

 

See accompanying notes to financial statements.

 

3


Table of Contents

SPDR S&P 500® ETF Trust

Schedule of Investments (continued)

September 30, 2020

 

 

 

Common Stocks    Shares      Value  
               

Hormel Foods Corp.

     2,931,898      $ 143,340,493  

Host Hotels & Resorts, Inc. REIT

     7,565,639        81,633,245  

Howmet Aerospace, Inc.

     4,079,831        68,214,774  

HP, Inc.

     14,486,822        275,104,750  

Humana, Inc.

     1,392,301        576,259,461  

Huntington Bancshares, Inc.

     10,938,169        100,303,010  

Huntington Ingalls Industries, Inc.

     430,454        60,586,401  

IDEX Corp.

     786,502        143,465,830  

IDEXX Laboratories, Inc.(a)

     902,566        354,807,720  

IHS Markit, Ltd.

     3,934,303        308,882,129  

Illinois Tool Works, Inc.

     3,041,434        587,635,463  

Illumina, Inc.(a)

     1,545,854        477,792,554  

Incyte Corp.(a)

     1,960,603        175,944,513  

Ingersoll Rand, Inc.(a)

     3,915,028        139,374,997  

Intel Corp.

     44,789,665        2,319,208,854  

Intercontinental Exchange, Inc.(b)

     5,919,844        592,280,392  

International Business Machines Corp.

     9,392,881        1,142,831,831  

International Flavors & Fragrances, Inc.

     1,125,303        137,793,352  

International Paper Co.

     4,139,271        167,806,046  

Interpublic Group of Cos., Inc.

     4,061,952        67,712,740  

Intuit, Inc.

     2,758,711        899,919,115  

Intuitive Surgical, Inc.(a)

     1,233,753        875,397,104  

Invesco, Ltd.

     3,925,616        44,791,279  

IPG Photonics Corp.(a)

     372,964        63,392,691  

IQVIA Holdings, Inc.(a)

     2,017,378        317,999,294  

Iron Mountain, Inc. REIT

     3,010,743        80,657,805  

J.M. Smucker Co.

     1,192,960        137,810,739  

Jack Henry & Associates, Inc.

     802,646        130,502,213  

Jacobs Engineering Group, Inc.

     1,376,071        127,658,107  

JB Hunt Transport Services, Inc.

     900,505        113,805,822  

Johnson & Johnson

     27,769,579        4,134,334,922  

Johnson Controls International PLC

     7,869,731        321,478,511  

JPMorgan Chase & Co.

     32,144,491        3,094,550,149  

Juniper Networks, Inc.

     3,530,776        75,911,684  

Kansas City Southern

     1,005,215        181,773,028  

Kellogg Co.

     2,620,251        169,242,012  

KeyCorp

     10,391,506        123,970,667  

Keysight Technologies, Inc.(a)

     1,969,163        194,513,921  
Common Stocks    Shares      Value  
               

Kimberly-Clark Corp.

     3,609,929      $ 533,042,116  

Kimco Realty Corp. REIT

     4,374,251        49,254,066  

Kinder Morgan, Inc.

     20,393,577        251,452,804  

KLA Corp.

     1,639,873        317,708,995  

Kraft Heinz Co.

     6,834,266        204,686,267  

Kroger Co.

     8,205,051        278,233,279  

L Brands, Inc.

     2,359,491        75,055,409  

L3Harris Technologies, Inc.

     2,283,642        387,853,757  

Laboratory Corp. of America Holdings(a)

     1,021,695        192,354,518  

Lam Research Corp.

     1,522,879        505,215,108  

Lamb Weston Holdings, Inc.

     1,537,047        101,860,105  

Las Vegas Sands Corp.

     3,464,241        161,641,485  

Leggett & Platt, Inc.

     1,361,005        56,032,576  

Leidos Holdings, Inc.

     1,403,561        125,127,463  

Lennar Corp. Class A

     2,896,520        236,587,754  

Lincoln National Corp.

     1,915,995        60,028,123  

Linde PLC

     5,541,207        1,319,527,623  

Live Nation Entertainment, Inc.(a)

     1,487,688        80,156,629  

LKQ Corp.(a)

     2,952,828        81,881,920  

Lockheed Martin Corp.

     2,594,619        994,465,570  

Loews Corp.

     2,560,501        88,977,410  

Lowe’s Cos., Inc.

     7,987,340        1,324,780,212  

LyondellBasell Industries NV Class A

     2,701,282        190,413,368  

M&T Bank Corp.

     1,353,034        124,600,901  

Marathon Oil Corp.

     8,474,125        34,659,171  

Marathon Petroleum Corp.

     6,831,286        200,429,931  

MarketAxess Holdings, Inc.

     396,583        190,990,407  

Marriott International, Inc. Class A

     2,804,987        259,685,696  

Marsh & McLennan Cos., Inc.

     5,342,462        612,780,391  

Martin Marietta Materials, Inc.

     655,840        154,358,502  

Masco Corp.

     2,790,797        153,856,639  

Mastercard, Inc. Class A

     9,317,171        3,150,787,717  

Maxim Integrated Products, Inc.

     2,847,721        192,534,417  

McCormick & Co., Inc.

     1,283,869        249,198,973  

McDonald’s Corp.

     7,848,478        1,722,662,436  

McKesson Corp.

     1,700,239        253,216,594  

Medtronic PLC

     14,187,228        1,474,336,734  

Merck & Co., Inc.

     26,694,350        2,214,296,333  

MetLife, Inc.

     8,137,470        302,469,760  
 

 

See accompanying notes to financial statements.

 

4


Table of Contents

SPDR S&P 500® ETF Trust

Schedule of Investments (continued)

September 30, 2020

 

 

 

Common Stocks    Shares      Value  
               

Mettler-Toledo International, Inc.(a)

     252,989      $ 244,324,127  

MGM Resorts International

     4,318,449        93,926,266  

Microchip Technology, Inc.

     2,662,631        273,611,962  

Micron Technology, Inc.(a)

     11,766,433        552,551,694  

Microsoft Corp.

     79,819,345        16,788,402,834  

Mid-America Apartment Communities, Inc. REIT

     1,194,423        138,493,347  

Mohawk Industries, Inc.(a)

     630,929        61,572,361  

Molson Coors Brewing Co. Class B

     1,970,710        66,137,028  

Mondelez International, Inc. Class A

     15,065,292        865,501,025  

Monster Beverage Corp.(a)

     3,893,821        312,284,444  

Moody’s Corp.

     1,708,614        495,241,768  

Morgan Stanley

     12,668,633        612,528,406  

Mosaic Co.

     3,672,259        67,092,172  

Motorola Solutions, Inc.

     1,802,802        282,697,382  

MSCI, Inc.

     882,245        314,767,371  

Mylan NV(a)

     5,410,517        80,237,967  

Nasdaq, Inc.

     1,210,141        148,496,402  

National Oilwell Varco, Inc.

     4,020,349        36,424,362  

NetApp, Inc.

     2,410,320        105,668,429  

Netflix, Inc.(a)

     4,652,610        2,326,444,578  

Newell Brands, Inc.

     4,007,358        68,766,263  

Newmont Corp.

     8,490,725        538,736,501  

News Corp. Class A

     3,939,419        55,230,654  

News Corp. Class B

     1,299,871        18,172,197  

NextEra Energy, Inc.

     5,164,648        1,433,499,699  

Nielsen Holdings PLC

     3,689,286        52,314,075  

NIKE, Inc. Class B

     13,101,778        1,644,797,210  

NiSource, Inc.

     3,900,149        85,803,278  

Noble Energy, Inc.

     5,072,345        43,368,550  

Norfolk Southern Corp.

     2,690,825        575,809,642  

Northern Trust Corp.

     2,194,846        171,132,143  

Northrop Grumman Corp.

     1,635,376        515,944,774  

NortonLifeLock, Inc.

     6,233,683        129,909,954  

Norwegian Cruise Line Holdings, Ltd.(a)

     2,708,472        46,341,956  

NRG Energy, Inc.

     2,667,401        81,995,907  

Nucor Corp.

     3,188,451        143,033,912  

NVIDIA Corp.

     6,507,363        3,521,915,003  

NVR, Inc.(a)

     36,748        150,046,494  
Common Stocks    Shares      Value  
               

O’Reilly Automotive, Inc.(a)

     784,941      $ 361,920,596  

Occidental Petroleum Corp.

     8,829,623        88,384,526  

Old Dominion Freight Line, Inc.

     1,004,922        181,810,488  

Omnicom Group, Inc.

     2,291,533        113,430,884  

ONEOK, Inc.

     4,685,190        121,721,236  

Oracle Corp.

     20,391,186        1,217,353,804  

Otis Worldwide Corp.

     4,265,150        266,230,663  

PACCAR, Inc.

     3,623,657        309,025,469  

Packaging Corp. of America

     991,809        108,156,771  

Parker-Hannifin Corp.

     1,350,598        273,279,999  

Paychex, Inc.

     3,351,910        267,381,861  

Paycom Software, Inc.(a)

     516,232        160,703,022  

PayPal Holdings, Inc.(a)

     12,375,466        2,438,338,066  

Pentair PLC

     1,771,049        81,060,913  

People’s United Financial, Inc.

     4,690,855        48,362,715  

PepsiCo, Inc.

     14,604,461        2,024,178,295  

PerkinElmer, Inc.

     1,162,246        145,873,495  

Perrigo Co. PLC

     1,433,588        65,816,025  

Pfizer, Inc.

     58,610,850        2,151,018,195  

Philip Morris International, Inc.

     16,425,509        1,231,748,920  

Phillips 66

     4,618,198        239,407,384  

Pinnacle West Capital Corp.

     1,181,717        88,097,002  

Pioneer Natural Resources Co.

     1,747,327        150,252,649  

PNC Financial Services Group, Inc.

     4,488,450        493,325,540  

PPG Industries, Inc.

     2,485,871        303,475,132  

PPL Corp.

     8,096,914        220,317,030  

Principal Financial Group, Inc.

     2,722,750        109,645,143  

Procter & Gamble Co.

     26,259,079        3,649,749,390  

Progressive Corp.

     6,156,208        582,808,211  

Prologis, Inc. REIT

     7,768,288        781,645,139  

Prudential Financial, Inc.

     4,166,368        264,647,695  

Public Service Enterprise Group, Inc.

     5,293,930        290,689,696  

Public Storage REIT

     1,604,163        357,279,183  

PulteGroup, Inc.

     2,828,676        130,939,412  

PVH Corp.

     779,951        46,516,278  

Qorvo, Inc.(a)

     1,225,386        158,087,048  

QUALCOMM, Inc.

     11,900,451        1,400,445,074  

Quanta Services, Inc.

     1,497,404        79,152,775  

Quest Diagnostics, Inc.

     1,398,793        160,147,811  

Ralph Lauren Corp.

     524,731        35,665,966  
 

 

See accompanying notes to financial statements.

 

5


Table of Contents

SPDR S&P 500® ETF Trust

Schedule of Investments (continued)

September 30, 2020

 

 

 

Common Stocks    Shares      Value  
               

Raymond James Financial, Inc.

     1,302,404      $ 94,762,915  

Raytheon Technologies Corp.

     16,113,004        927,142,250  

Realty Income Corp. REIT

     3,616,042        219,674,552  

Regency Centers Corp. REIT

     1,663,820        63,258,436  

Regeneron Pharmaceuticals, Inc.(a)

     1,102,617        617,222,944  

Regions Financial Corp.

     10,184,845        117,431,263  

Republic Services, Inc.

     2,216,643        206,923,624  

ResMed, Inc.

     1,501,173        257,346,087  

Robert Half International, Inc.

     1,238,832        65,583,766  

Rockwell Automation, Inc.

     1,214,850        268,093,098  

Rollins, Inc.

     1,481,750        80,296,033  

Roper Technologies, Inc.

     1,092,965        431,841,401  

Ross Stores, Inc.

     3,758,560        350,748,819  

Royal Caribbean Cruises, Ltd.

     1,879,323        121,648,578  

S&P Global, Inc.

     2,548,457        918,973,594  

salesforce.com, Inc.(a)

     9,598,180        2,412,214,598  

SBA Communications Corp. REIT

     1,184,763        377,323,320  

Schlumberger NV

     14,564,316        226,620,757  

Seagate Technology PLC

     2,354,089        115,985,965  

Sealed Air Corp.

     1,644,626        63,827,935  

Sempra Energy

     3,050,905        361,105,116  

ServiceNow, Inc.(a)

     2,017,421        978,449,185  

Sherwin-Williams Co.

     864,347        602,225,129  

Simon Property Group, Inc. REIT

     3,237,213        209,382,937  

Skyworks Solutions, Inc.

     1,764,586        256,747,263  

SL Green Realty Corp. REIT

     772,591        35,825,045  

Snap-on, Inc.

     577,105        84,909,459  

Southern Co.

     11,171,352        605,710,705  

Southwest Airlines Co.

     6,221,547        233,308,013  

Stanley Black & Decker, Inc.

     1,684,221        273,180,646  

Starbucks Corp.

     12,357,519        1,061,758,032  

State Street Corp.(c)

     3,723,303        220,903,567  

STERIS PLC

     895,113        157,709,959  

Stryker Corp.

     3,446,845        718,219,093  

SVB Financial Group(a)

     544,757        131,079,429  

Synchrony Financial

     5,680,312        148,653,765  

Synopsys, Inc.(a)

     1,595,211        341,343,250  
Common Stocks    Shares      Value  
               

Sysco Corp.

     5,365,038      $ 333,812,664  

T Rowe Price Group, Inc.

     2,407,563        308,697,728  

T-Mobile US, Inc.(a)

     6,155,317        703,922,052  

Take-Two Interactive Software, Inc.(a)

     1,177,178        194,493,349  

Tapestry, Inc.

     2,910,756        45,495,116  

Target Corp.

     5,288,076        832,448,924  

TE Connectivity, Ltd.

     3,481,184        340,250,924  

TechnipFMC PLC

     4,424,614        27,919,314  

Teledyne Technologies, Inc.(a)

     387,922        120,337,284  

Teleflex, Inc.

     485,825        165,384,547  

Teradyne, Inc.

     1,751,200        139,150,352  

Texas Instruments, Inc.

     9,660,737        1,379,456,636  

Textron, Inc.

     2,425,537        87,537,630  

Thermo Fisher Scientific, Inc.

     4,178,147        1,844,735,463  

Tiffany & Co.

     1,129,455        130,847,362  

TJX Cos., Inc.

     12,668,706        705,013,489  

Tractor Supply Co.

     1,245,905        178,588,023  

Trane Technologies PLC

     2,527,146        306,416,453  

TransDigm Group, Inc.

     571,573        271,565,764  

Travelers Cos., Inc.

     2,674,019        289,302,116  

Truist Financial Corp.

     14,255,378        542,417,133  

Twitter, Inc.(a)

     8,299,573        369,330,999  

Tyler Technologies, Inc.(a)

     420,624        146,612,701  

Tyson Foods, Inc. Class A

     3,105,246        184,700,032  

UDR, Inc. REIT

     3,085,906        100,631,395  

Ulta Beauty, Inc.(a)

     603,760        135,230,165  

Under Armour, Inc. Class A(a)

     1,911,701        21,468,402  

Under Armour, Inc. Class C(a)

     2,039,247        20,066,190  

Union Pacific Corp.

     7,160,094        1,409,607,706  

United Continental Holdings, Inc.(a)

     3,069,080        106,650,530  

United Parcel Service, Inc. Class B

     7,448,653        1,241,169,049  

United Rentals, Inc.(a)

     762,114        132,988,893  

UnitedHealth Group, Inc.

     10,033,002        3,127,989,034  

Universal Health Services, Inc. Class B

     845,397        90,474,387  

Unum Group

     2,199,585        37,019,016  

US Bancorp

     14,501,412        519,875,620  

Valero Energy Corp.

     4,318,317        187,069,492  

Varian Medical Systems, Inc.(a)

     957,125        164,625,500  

Ventas, Inc. REIT

     3,888,768        163,172,705  

VeriSign, Inc.(a)

     1,065,936        218,356,990  
 

 

See accompanying notes to financial statements.

 

6


Table of Contents

SPDR S&P 500® ETF Trust

Schedule of Investments (continued)

September 30, 2020

 

 

 

Common Stocks    Shares      Value  
               

Verisk Analytics, Inc.

     1,717,617      $ 318,291,606  

Verizon Communications, Inc.

     43,645,917        2,596,495,602  

Vertex Pharmaceuticals, Inc.(a)

     2,742,614        746,320,122  

VF Corp.

     3,373,154        236,964,069  

ViacomCBS, Inc. Class B

     5,946,378        166,558,048  

Visa, Inc. Class A

     17,783,017        3,556,069,910  

Vornado Realty Trust REIT

     1,669,509        56,279,148  

Vulcan Materials Co.

     1,390,418        188,457,256  

W.W. Grainger, Inc.

     474,668        169,347,302  

Walgreens Boots Alliance, Inc.

     7,586,065        272,491,455  

Walmart, Inc.

     14,645,456        2,049,045,749  

Walt Disney Co.

     19,059,998        2,364,964,552  

Waste Management, Inc.

     4,104,025        464,452,509  

Waters Corp.(a)

     654,759        128,123,241  

WEC Energy Group, Inc.

     3,302,718        320,033,374  

Wells Fargo & Co.

     43,455,998        1,021,650,513  

Welltower, Inc. REIT

     4,416,688        243,315,342  

West Pharmaceutical Services, Inc.

     778,548        214,022,845  

Western Digital Corp.

     3,082,673        112,671,698  

Western Union Co.

     4,412,516        94,560,218  

Westinghouse Air Brake Technologies Corp.

     1,920,281        118,826,988  

WestRock Co.

     2,697,249        93,702,430  

Weyerhaeuser Co. REIT

     7,800,537        222,471,315  
Common Stocks    Shares      Value  
               

Whirlpool Corp.

     660,052      $ 121,376,962  

Williams Cos., Inc.

     12,682,266        249,206,527  

Willis Towers Watson PLC

     1,352,519        282,433,018  

WR Berkley Corp.

     1,525,888        93,308,051  

Wynn Resorts, Ltd.

     1,014,074        72,820,654  

Xcel Energy, Inc.

     5,513,725        380,502,162  

Xerox Holdings Corp.

     1,956,858        36,730,225  

Xilinx, Inc.

     2,572,415        268,148,540  

Xylem, Inc.

     1,883,048        158,401,998  

Yum! Brands, Inc.

     3,180,510        290,380,563  

Zebra Technologies Corp. Class A(a)

     569,616        143,805,255  

Zimmer Biomet Holdings, Inc.

     2,163,961        294,601,651  

Zions Bancorp

     1,799,572        52,583,494  

Zoetis, Inc.

     5,008,301        828,222,736  
     

 

 

 

Total Common Stocks
(Cost $300,333,831,944)

      $ 293,908,088,428  
     

 

 

 

 

(a)

Non-income producing security.

(b)

Affiliate of PDR Services LLC (the “Sponsor”). See the table below for more information.

(c)

Affiliate of State Street Global Advisors Trust Company (the “Trustee”). See the table below for more information.

PLC = Public Limited Company

REIT = Real Estate Investment Trust

 

The following table summarizes the value of the Trust’s investments according to the fair value hierarchy as of September 30, 2020.

 

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

ASSETS:

           

INVESTMENTS:

           

Common Stocks

   $ 293,908,088,428      $      $      $ 293,908,088,428  

 

See accompanying notes to financial statements.

 

7


Table of Contents

SPDR S&P 500® ETF Trust

Schedule of Investments (continued)

September 30, 2020

 

 

 

INVESTMENTS IN AFFILIATES OF THE TRUSTEE AND THE SPONSOR

SPDR S&P 500® ETF Trust has invested in State Street Corp., which is considered an affiliate of the Trustee and Intercontinental Exchange, Inc., which is considered an affiliate of the Sponsor. Amounts related to these investments at September 30, 2020 and for the year then ended are (Note 3):

 

    Number
of Shares
Held at
9/30/19
    Value at
9/30/19
    Cost of
Purchases*
    Proceeds
from
Shares
Sold*
    Realized
Gain (Loss)
    Change in
Unrealized
Appreciation/
Depreciation
    Number
of Shares
Held at
9/30/20
    Value at
9/30/20
    Dividend
Income
 

Intercontinental Exchange, Inc.

    6,242,458     $ 575,991,600     $ 463,777,200     $ 495,760,156     $ 81,705,831     $ (33,434,083     5,919,844     $ 592,280,392     $ 7,142,148  

State Street Corp.

    4,139,924       245,042,102       207,335,595       235,008,095       (10,242,660     13,776,625       3,723,303       220,903,567       8,172,611  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 

TOTAL

    $ 821,033,702     $ 671,112,795     $ 730,768,251     $ 71,463,171     $ (19,657,458     $ 813,183,959     $ 15,314,759  
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 

 

*

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

 

See accompanying notes to financial statements.

 

8


Table of Contents

SPDR S&P 500® ETF Trust

Portfolio Statistics

September 30, 2020

 

 

 

INDUSTRY BREAKDOWN AS OF SEPTEMBER 30, 2020*

 

INDUSTRY   

% OF

NET ASSETS

 

Software

     9.6

Technology Hardware, Storage & Peripherals

     6.8  

Interactive Media & Services

     5.9  

Internet & Catalog Retail

     5.9  

IT Services

     5.5  

Semiconductors & Semiconductor Equipment

     5.1  

Pharmaceuticals

     4.2  

Health Care Equipment & Supplies

     4.0  

Banks

     3.3  

Capital Markets

     2.7  

Equity Real Estate Investment Trusts (REITs)

     2.7  

Health Care Providers & Services

     2.4  

Specialty Retail

     2.4  

Biotechnology

     2.1  

Food & Staples Retailing

     1.9  

Chemicals

     1.8  

Household Products

     1.8  

Oil, Gas & Consumable Fuels

     1.8  

Beverages

     1.7  

Electric Utilities

     1.7  

Hotels, Restaurants & Leisure

     1.7  

Insurance

     1.7  

Diversified Telecommunication Services

     1.6  

Machinery

     1.6  

Aerospace & Defense

     1.6  

Diversified Financial Services

     1.5  

Media

     1.4  

Food Products

     1.2  

Life Sciences Tools & Services

     1.2  

Industrial Conglomerates

     1.1  

Road & Rail

     1.1  

Multi-Utilities

     0.9  

Air Freight & Logistics

     0.8  

Entertainment

     0.8  

Communications Equipment

     0.7  

Textiles, Apparel & Luxury Goods

     0.7  

Tobacco

     0.7  

Electronic Equipment, Instruments & Components

     0.6  

Multiline Retail

     0.6  

Commercial Services & Supplies

     0.5  

Consumer Finance

     0.5  

Building Products

     0.4  

 

INDUSTRY   

% OF

NET ASSETS

 

Electrical Equipment

     0.4 %  

Household Durables

     0.4  

Metals & Mining

     0.4  

Containers & Packaging

     0.3  

Professional Services

     0.3  

Airlines

     0.2  

Automobiles

     0.2  

Construction Materials

     0.2  

Personal Products

     0.2  

Trading Companies & Distributors

     0.2  

Wireless Telecommunication Services

     0.2  

Real Estate Management & Development

     0.2  

Auto Components

     0.1  

Internet Software & Services

     0.1  

Distributors

     0.1  

Energy Equipment & Services

     0.1  

Health Care Technology

     0.1  

Water Utilities

     0.1  

Construction & Engineering

     0.0 ** 

Gas Utilities

     0.0 ** 

Independent Power Producers & Energy Traders

     0.0 ** 

Leisure Equipment & Products

     0.0 ** 

Other Assets in Excess of Liabilities

     0.0 ** 

 

 

Total

     100.0

 

 

 

*

The Trust’s industry breakdown is expressed as a percentage of net assets and may change over time.

 

**

Amount shown represents less than 0.05% of net assets.

 

 

See accompanying notes to financial statements.

 

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Table of Contents

SPDR S&P 500® ETF Trust

Statement of Assets and Liabilities

September 30, 2020

 

 

 

ASSETS

 

Investments in unaffiliated issuers, at value (Note 2)

   $ 293,094,904,469  

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

     813,183,959  
  

 

 

 

Total Investments

     293,908,088,428  

Cash

     1,094,750,606  

Dividends receivable — unaffiliated issuers (Note 2)

     206,099,750  

Dividends receivable — affiliated issuers (Note 2)

     1,945,598  
  

 

 

 

Total Assets

     295,210,884,382  
  

 

 

 

LIABILITIES

 

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

     166,632  

Accrued Trustee expense (Note 3)

     13,789,112  

Accrued Marketing expense (Note 3)

     13,330,495  

Distribution payable

     1,193,626,401  

Accrued expenses and other liabilities

     36,466,606  
  

 

 

 

Total Liabilities

     1,257,379,246  
  

 

 

 

NET ASSETS

   $ 293,953,505,136  
  

 

 

 

NET ASSETS CONSIST OF:

 

Paid in Capital (Note 4)

   $ 310,760,685,731  

Total distributable earnings (loss)

   $ (16,807,180,595
  

 

 

 

NET ASSETS

   $ 293,953,505,136  
  

 

 

 

NET ASSET VALUE PER UNIT

   $ 335.21  
  

 

 

 

UNITS OUTSTANDING (UNLIMITED UNITS AUTHORIZED)

     876,932,116  
  

 

 

 

COST OF INVESTMENTS:

 

Unaffiliated issuers

   $ 299,417,251,578  

Affiliates of the Trustee and the Sponsor (Note 3)

     916,580,366  
  

 

 

 

Total Cost of Investments

   $ 300,333,831,944  
  

 

 

 

 

See accompanying notes to financial statements.

 

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Table of Contents

SPDR S&P 500® ETF Trust

Statements of Operations

 

 

 

     Year Ended
9/30/20
    Year Ended
9/30/19
    Year Ended
9/30/18
 

INVESTMENT INCOME

 

Dividend income — unaffiliated issuers (Note 2)

   $ 5,344,744,140     $ 5,569,189,037     $ 4,995,395,848  

Dividend income — affiliates of the Trustee and the Sponsor

     15,314,759       14,842,022       13,606,086  
  

 

 

   

 

 

   

 

 

 

Total Investment Income

     5,360,058,899       5,584,031,059       5,009,001,934  

EXPENSES

 

Trustee expense (Note 3)

     156,390,558       129,443,668       143,201,038  

S&P license fee (Note 3)

     85,102,695       79,275,442       80,322,526  

Marketing expense (Note 3)

     19,590,285       36,911,835       22,626,082  

Legal and audit fees

     405,831       605,028       603,472  

Other expenses

     4,688,948       1,591,672       4,372,847  
  

 

 

   

 

 

   

 

 

 

Total Expenses

     266,178,317       247,827,645       251,125,965  
  

 

 

   

 

 

   

 

 

 

NET INVESTMENT INCOME (LOSS)

     5,093,880,582       5,336,203,414       4,757,875,969  
  

 

 

   

 

 

   

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS)

 

Net realized gain (loss) on:

      

Investments — unaffiliated issuers

     (2,843,848,543     (1,874,707,476     (631,225,982

Investments — affiliates of the Trustee and the Sponsor

     (8,520,407     (2,398,982     (838,353

In-kind redemptions — unaffiliated issuers

     33,362,317,592       19,405,809,495       37,318,292,156  

In-kind redemptions — affiliated issuers

     79,983,578       39,060,086       142,784,439  
  

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     30,589,932,220       17,567,763,123       36,829,012,260  
  

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation/depreciation on:

      

Investments — unaffiliated issuers

     4,637,256,785       (13,388,014,704     (760,564,842

Investments — affiliates of the Trustee and the Sponsor

     (19,657,458     (33,757,839     (158,416,456
  

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation/depreciation

     4,617,599,327       (13,421,772,543     (918,981,298
  

 

 

   

 

 

   

 

 

 

NET REALIZED AND UNREALIZED GAIN (LOSS)

     35,207,531,547       4,145,990,580       35,910,030,962  
  

 

 

   

 

 

   

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS

   $ 40,301,412,129     $ 9,482,193,994     $ 40,667,906,931  
  

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

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Table of Contents

SPDR S&P 500® ETF Trust

Statements of Changes in Net Assets

 

 

 

     Year Ended
9/30/20
    Year Ended
9/30/19
    Year Ended
9/30/18
 

INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:

      

Net investment income (loss)

   $ 5,093,880,582     $ 5,336,203,414     $ 4,757,875,969  

Net realized gain (loss)

     30,589,932,220       17,567,763,123       36,829,012,260  

Net change in unrealized appreciation/depreciation

     4,617,599,327       (13,421,772,543     (918,981,298
  

 

 

   

 

 

   

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

     40,301,412,129       9,482,193,994       40,667,906,931  
  

 

 

   

 

 

   

 

 

 

NET EQUALIZATION CREDITS AND CHARGES (NOTE 2)

     (28,962,904     (53,196,888     2,991,782  
  

 

 

   

 

 

   

 

 

 

DISTRIBUTIONS TO UNITHOLDERS

     (5,149,353,080     (5,057,184,141     (4,894,169,793
  

 

 

   

 

 

   

 

 

 

INCREASE (DECREASE) IN NET ASSETS FROM UNIT TRANSACTIONS:

      

Proceeds from issuance of Units

     615,842,536,075       487,497,849,720       617,352,015,478  

Cost of Units redeemed

     (631,300,529,687     (497,053,054,235     (617,035,693,780

Net income equalization (Note 2)

     28,962,904       53,196,888       (2,991,782
  

 

 

   

 

 

   

 

 

 

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

     (15,429,030,708     (9,502,007,627     313,329,916  
  

 

 

   

 

 

   

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS DURING THE PERIOD

     19,694,065,437       (5,130,194,662     36,090,058,836  
  

 

 

   

 

 

   

 

 

 

NET ASSETS AT BEGINNING OF PERIOD

     274,259,439,699       279,389,634,361       243,299,575,525  
  

 

 

   

 

 

   

 

 

 

NET ASSETS AT END OF PERIOD

   $ 293,953,505,136     $ 274,259,439,699     $ 279,389,634,361  
  

 

 

   

 

 

   

 

 

 

UNIT TRANSACTIONS:

      

Units sold

     2,081,250,000       1,753,650,000       2,275,100,000  

Units redeemed

     (2,128,300,000     (1,791,100,000     (2,281,850,000
  

 

 

   

 

 

   

 

 

 

NET INCREASE (DECREASE)

     (47,050,000     (37,450,000     (6,750,000
  

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

12


Table of Contents

SPDR S&P 500® ETF Trust

Financial Highlights

Selected data for a Unit outstanding throughout each period

 

 

 

    Year Ended
9/30/20
    Year Ended
9/30/19
    Year Ended
9/30/18
    Year Ended
9/30/17
    Year Ended
9/30/16
 

Net asset value, beginning of period

  $ 296.82     $ 290.60     $ 251.30     $ 216.40     $ 191.77  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Income (loss) from investment operations:

         

Net investment income (loss)(a)

    5.59       5.71       4.86       4.65       4.27  

Net realized and unrealized gain (loss)

    38.51       6.05       39.46       34.97       24.76  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from investment operations

    44.10       11.76       44.32       39.62       29.03  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net equalization credits and charges(a)

    (0.03     (0.06     0.00 (b)      0.06       0.02  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Less Distributions from:

         

Net investment income

    (5.68     (5.48     (5.02     (4.78     (4.42
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of period

  $ 335.21     $ 296.82     $ 290.60     $ 251.30     $ 216.40  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return(c)

    14.98     4.11     17.72     18.44 %(d)      15.30

Ratios and Supplemental Data:

         

Net assets, end of period (in 000s)

  $ 293,953,505     $ 274,259,440     $ 279,389,634     $ 243,299,576     $ 197,280,964  

Ratios to average net assets:

         

Total expenses (excluding Trustee earnings credit and fee waivers)

    0.09     0.10     0.10     0.09     0.11

Total expenses (excluding Trustee earnings credit)

    0.09     0.10     0.10     0.09     0.11

Net expenses(e)

    0.09     0.09     0.09     0.09     0.09

Net investment income (loss)

    1.81     2.03     1.79     1.98     2.07

Portfolio turnover rate(f)

    2     3     2     3     4

 

(a)

Per Unit numbers have been calculated using the average shares method, which more appropriately presents per Unit data for the year.

(b)

Amount is less than $0.005 per Unit.

(c)

Total return is calculated assuming a purchase of Units at net asset value per Unit on the first day and a sale at net asset value per Unit on the last day of each period reported. Distributions are assumed, for the purposes of this calculation, to be reinvested at the net asset value per Unit on the respective payment dates of the Trust. Total return for a period of less than one year is not annualized. Broker commission charges are not included in this calculation.

(d)

Reflects a non-recurring litigation payment received by the Trust from State Street Corp., an affiliate, which amounted to less than $0.005 per Unit outstanding as of March 20, 2017. This payment resulted in an increase to total return of less than 0.005% for the period ended September 30, 2017.

(e)

Net of expenses waived by the Trustee.

(f)

Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions of Units.

 

See accompanying notes to financial statements.

 

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Table of Contents

SPDR S&P 500® ETF Trust

Notes to Financial Statements

September 30, 2020

 

 

 

Note 1 — Organization

SPDR S&P 500® ETF Trust (the “Trust”) is a unit investment trust created under the laws of the State of New York and registered under the Investment Company Act of 1940, as amended. The Trust is an “Exchange-Traded Fund”, the units of which are listed on and traded on the New York Stock Exchange under the symbol “SPY”, and operates under an exemptive order granted by the U.S. Securities and Exchange Commission (the “SEC”). The Trust was created to provide investors with the opportunity to purchase a security representing a proportionate undivided interest in a portfolio of securities consisting of substantially all of the component common stocks, in substantially the same weighting, which comprise the Standard & Poor’s 500® Index (the “S&P 500® Index”). Each unit of fractional undivided interest in the Trust is referred to as a “Unit”. The Trust commenced operations on January 22, 1993 upon the initial issuance of 150,000 Units (equivalent to three “Creation Units” — see Note 4) in exchange for a portfolio of securities assembled to reflect the intended portfolio composition of the Trust.

Effective June 16, 2017, State Street Bank and Trust Company (“SSBT”) resigned as trustee of the Trust. PDR Services, LLC, as sponsor of the Trust (the “Sponsor”), appointed State Street Global Advisors Trust Company, a wholly-owned subsidiary of SSBT, as trustee of the Trust (the “Trustee”).

The services received, and the trustee fees paid, by the Trust have not changed as a result of the change in the identity of the Trustee. SSBT continues to maintain the Trust’s accounting records, act as custodian and transfer agent to the Trust, and provide administrative services, including the filing of certain regulatory reports.

Under the Amended and Restated Standard Terms and Conditions of the Trust, as amended (the “Trust Agreement”), the Sponsor and the Trustee are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred. However, based on experience, the Trustee expects the risk of material loss to be remote.

The Sponsor is an indirect, wholly-owned subsidiary of Intercontinental Exchange, Inc. (“ICE”). ICE is a publicly-traded entity, trading on the New York Stock Exchange under the symbol “ICE.”

Note 2 — Summary of Significant Accounting Policies

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

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

 

14


Table of Contents

SPDR S&P 500® ETF Trust

Notes to Financial Statements (continued)

September 30, 2020

 

 

 

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

 

Security Valuation

The Trust’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 the Trust are valued pursuant to the policy and procedures developed by the Oversight Committee of the Trustee (the “Committee”). The Committee provides oversight of the valuation of investments for the Trust.

Valuation techniques used to value the Trust’s equity investments are as follows:

Equity investments (including preferred stocks) traded on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value.

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

Fair value pricing could result in a difference between the prices used to calculate the Trust’s net asset value (“NAV”) and the prices used by the Trust’s underlying index, S&P 500® Index, which in turn could result in a difference between the Trust’s performance and the performance of the S&P 500® Index.

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

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

 

 

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

 

 

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

 

15


Table of Contents

SPDR S&P 500® ETF Trust

Notes to Financial Statements (continued)

September 30, 2020

 

 

 

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

 

 

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

Investment Transactions and Income Recognition

Investment transactions are accounted for on the trade date for financial reporting purposes. Dividend income and capital gain distributions, if any, are recognized on the ex-dividend date or when the information becomes available, net of any foreign taxes withheld at source, if any. Non-cash dividends received in the form of stock, if any, are recorded as dividend income at fair value. Distributions received by the Trust may include a return of capital that is estimated by the Trustee. Such amounts are recorded as a reduction of the cost of investments or reclassified to capital gains. The Trust invests in real estate investment trusts (“REITs”). REITs determine the characterization of their income annually and may characterize a portion of their distributions as a return of capital or capital gain. The Trustee’s policy is to record all REIT distributions as dividend income initially and re-designate a portion to return of capital or capital gain distributions at year end based on information provided by the REIT and/or Trustee’s estimates of such re-designations for which actual information has not yet been reported. Realized gains and losses from the sale or disposition of investments are determined using the identified cost method.

Distributions

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

Equalization

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

Federal Income Taxes

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

 

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Table of Contents

SPDR S&P 500® ETF Trust

Notes to Financial Statements (continued)

September 30, 2020

 

 

 

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

 

tax. Income and capital gain distributions are determined in accordance with U.S. federal income tax principles, which may differ from U.S. GAAP. These book-tax differences are primarily due to differing treatments for in-kind transactions, REITs and losses deferred due to wash sales.

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

The Trustee has reviewed the Trust’s tax positions for the open tax years as of September 30, 2020 and has determined that no provision for income tax is required in the Trust’s financial statements. Generally, the Trust’s tax returns for the prior three fiscal years remain subject to examinations by the Trust’s major tax jurisdictions, which include the United States of America, the Commonwealth of Massachusetts and the State of New York. The Trustee has the Trust recognize interest and penalties, if any, related to tax liabilities as income tax expense in the Statements of Operations. There were no such expenses for the year ended September 30, 2020.

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

During the year ended September 30, 2020, the Trustee reclassified $33,442,301,170 of non-taxable security gains realized from the in-kind redemption of Creation Units (Note 4) as an increase to paid in capital in the Statement of Assets and Liabilities.

At September 30, 2020, the Trust had capital loss carryforwards that may be utilized to offset any future net realized capital gains as follows:

 

Non-Expiring – Short Term

   $ 1,128,692,265  

Non-Expiring – Long Term

     8,196,616,310  

At September 30, 2020, gross unrealized appreciation and gross unrealized depreciation of investments based on cost for federal income tax purposes were as follows:

 

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

SPDR S&P® 500 ETF Trust

  $ 300,383,553,994     $ 36,167,065,292     $ 42,642,530,858     $ (6,475,465,566

The tax character of distributions paid during the years ended September 30, 2020, 2019 and 2018 were as follows:

 

Distributions paid from:

   2020      2019      2018  

Ordinary Income

   $ 5,149,353,080      $ 5,057,184,141      $ 4,894,169,793  

 

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Table of Contents

SPDR S&P 500® ETF Trust

Notes to Financial Statements (continued)

September 30, 2020

 

 

 

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

 

As of September 30, 2020, the components of distributable earnings (excluding unrealized appreciation/ (depreciation)) were undistributed ordinary income of $187,219,949 and undistributed capital gain of $0.

Note 3 — Transactions with Affiliates of the Trustee and Sponsor

SSBT maintains the Trust’s accounting records, acts as custodian and transfer agent to the Trust, and provides administrative services, including the filing of certain regulatory reports. The Trustee pays SSBT for such services. The Trustee is responsible for determining the composition of the portfolio of securities which must be delivered and/or received in exchange for the issuance and/or redemption of Creation Units of the Trust, and for adjusting the composition of the Trust’s portfolio from time to time to conform to changes in the composition and/or weighting structure of the S&P 500® Index. For these services, the Trustee received a fee at the following annual rates for the year ended September 30, 2020:

 

Net asset value of the Trust

  

Fee as a percentage of net asset value of the Trust

$0 – $499,999,999    0.10% per annum plus or minus the Adjustment Amount
$500,000,000 – $2,499,999,999    0.08% per annum plus or minus the Adjustment Amount
$2,500,000,000 and above    0.06% per annum plus or minus the Adjustment Amount

The adjustment amount (the “Adjustment Amount”) is the sum of (a) the excess or deficiency of transaction fees received by the Trustee, less the expenses incurred in processing orders for the creation and redemption of Units and (b) the amounts earned by the Trustee with respect to the cash held by the Trustee for the benefit of the Trust. During the year ended September 30, 2020, the Adjustment Amount reduced the Trustee’s fee by $13,211,549. The Adjustment Amount included an excess of net transaction fees from processing orders of $4,942,000 and a Trustee earnings credit of $8,269,549.

The Trustee has voluntarily agreed to waive a portion of its fee, as needed, for one year until February 1, 2021, so that the total operating expenses would not exceed 0.0945% per annum of the daily NAV of the Trust. No amounts were waived for the years ended September 30, 2020, 2019 and 2018. The Trustee has not entered into an agreement with the Trust to recapture waived fees in subsequent periods, and the Trustee may discontinue the voluntary waiver.

In accordance with the Trust Agreement and under the terms of an exemptive order issued by the SEC, dated December 30, 1997, the Sponsor is reimbursed by the Trust for certain expenses up to a maximum of 0.20% of the Trust’s NAV on an annualized basis. The expenses reimbursed to the Sponsor for the years ended September 30, 2020, 2019 and 2018, did not exceed 0.20% per annum. The licensing and marketing fee disclosed below are subject to both the reimbursement from the Trust to the Sponsor and expense limitation of 0.20% of the Trust’s NAV for the years ended September 30, 2020, 2019 and 2018. The Trust reimbursed the Sponsor for $402,393, $549,533, and $367,362 of legal fees for the years ended September 30, 2020, 2019, and 2018, respectively, which are included in Legal and audit fees on the Statements of Operations.

S&P Dow Jones Indices LLC (“S&P”), per a license from Standard & Poor’s Financial Services LLC, and State Street Global Advisors Funds Distributors, LLC (“SSGA FD” or the “Marketing Agent”) have

 

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Notes to Financial Statements (continued)

September 30, 2020

 

 

 

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

 

entered into a license agreement (the “License Agreement”). The License Agreement grants SSGA FD, an affiliate of the Trustee, a license to use the S&P 500® Index and to use certain trade names and trademarks of S&P in connection with the Trust. The S&P 500® Index also serves as the basis for determining the composition of the Trust’s portfolio. The Trustee (on behalf of the Trust), the Sponsor and NYSE Arca, Inc. (“NYSE Arca”) have each received a sublicense from SSGA FD for the use of the S&P 500® Index and certain trade names and trademarks in connection with their rights and duties with respect to the Trust. The License Agreement may be amended without the consent of any of the owners of beneficial interests of Units. Currently, the License Agreement is scheduled to terminate on November 29, 2031, but its term may be extended without the consent of any of the owners of beneficial interests of Units. Pursuant to such arrangements and in accordance with the Trust Agreement, the Trust reimburses the Sponsor for payment of fees under the License Agreement to S&P equal to 0.03% of the daily size of the Trust (based on Unit closing price and outstanding Units) plus an annual license fee of $600,000.

The Sponsor has entered into an agreement with the Marketing Agent pursuant to which the Marketing Agent has agreed to market and promote the Trust. The Marketing Agent is reimbursed by the Sponsor for the expenses it incurs for providing such services out of amounts that the Trust reimburses the Sponsor. Expenses incurred by the Marketing Agent include, but are not limited to: printing and distribution of marketing materials describing the Trust, associated legal, consulting, advertising and marketing costs and other out-of-pocket expenses.

ALPS Distributors, Inc. (the “Distributor”) serves as the distributor of the Units. The Sponsor pays the Distributor for its services a flat annual fee of $25,000, and the Trust does not reimburse the Sponsor for this fee.

Investments in Affiliates of the Trustee and the Sponsor

The Trust has invested in companies that are considered affiliates of the Trustee (State Street Corp.) and the Sponsor (ICE). Such investments were made according to the representative portion of the S&P 500® Index. The market values of these investments at September 30, 2020 are listed in the Schedule of Investments.

Note 4 — Unitholder Transactions

Units are issued and redeemed by the Trust only in Creation Unit size aggregations of 50,000 Units. Such transactions are only permitted on an in-kind basis, with a separate cash payment that is equivalent to the undistributed net investment income per Unit (income equalization) and a balancing cash component to equate the transaction to the NAV per Unit of the Trust on the transaction date. There is a transaction fee payable to the Trustee in connection with each creation and redemption of Creation Units made through the clearing process (the “Transaction Fee”). The Transaction Fee is non-refundable, regardless of the NAV of the Trust. The Transaction Fee is the lesser of $3,000 or 0.10% (10 basis points) of the value of one Creation Unit at the time of creation per participating party per day, regardless of the number of Creation Units created or redeemed on such day. The Transaction Fee is currently $3,000. For creations and redemptions outside the clearing process, including orders from a participating party restricted from engaging in transactions in one or more of the common stocks

 

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Notes to Financial Statements (continued)

September 30, 2020

 

 

 

Note 4 — Unitholder Transactions – (continued)

 

that are included in the S&P 500® Index, an additional amount not to exceed three (3) times the Transaction Fee applicable for one Creation Unit is charged per Creation Unit per day.

Note 5 — Investment Transactions

For the year ended September 30, 2020, the Trust had in-kind contributions, in-kind redemptions, purchases and sales of investment securities of $221,857,538,781, $237,279,951,868, $6,761,536,197, and $5,932,024,358, respectively. Net realized gain (loss) on investment transactions in the 2020 Statement of Operations includes net gains resulting from in-kind transactions of $33,442,301,170.

Note 6 — Equity Investing and Market Risk

An investment in the Trust involves risks similar to those of investing in any fund of equity securities, such as market fluctuations caused by such factors as economic and political developments, changes in interest rates, perceived trends in securities prices, war, acts of terrorism, the spread of infectious disease or other public health issues. Local, regional or global events such as war, acts of terrorism, the spread of infectious disease or other public health issues, recessions, or other events could have a significant impact on the Trust and its investments and could result in increased premiums or discounts to the Trust’s net asset value.

An investment in the Trust is subject to the risks of any investment in a broadly based portfolio of equity securities, including the risk that the general level of stock prices may decline, thereby adversely affecting the value of such investment. The value of common stocks actually held by the Trust and that make up the Trust’s portfolio (the “Portfolio Securities”) may fluctuate in accordance with changes in the financial condition of the issuers of Portfolio Securities, the value of equity securities generally and other factors. The identity and weighting of common stocks that are included in the S&P 500® Index and the Portfolio Securities change from time to time.

The financial condition of issuers of Portfolio Securities may become impaired or the general condition of the stock market may deteriorate, either of which may cause a decrease in the value of the Trust’s portfolio and thus in the value of Units. Since the Trust is not actively managed, the adverse financial condition of an issuer will not result in its elimination from the Trust’s portfolio unless such issuer is removed from the S&P 500® Index. Equity securities are susceptible to general stock market fluctuations and to volatile increases and decreases in value as market confidence in and perceptions of their issuers change. These investor perceptions are based on various and unpredictable factors, including expectations regarding government, economic, monetary and fiscal policies, inflation and interest rates, economic expansion or contraction, and global or regional political, economic and banking crises, as well as war, acts of terrorism and the spread of infectious disease or other public health issues.

An outbreak of infectious respiratory illness caused by a novel coronavirus known as COVID-19 was first detected in China in December 2019 and was declared a pandemic by the World Health Organization in March 2020. This coronavirus has resulted in travel restrictions, restrictions on gatherings of people (including closings of, or limitations on, dining and entertainment establishments, as well as schools and universities), closed businesses (or businesses that are restricted in their operations), closed international borders, enhanced health screenings at ports of entry and elsewhere, disruption of and

 

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Notes to Financial Statements (continued)

September 30, 2020

 

 

 

Note 6 — Equity Investing and Market Risk – (continued)

 

delays in healthcare service preparation and delivery, prolonged quarantines, cancellations, supply chain disruptions, and lower consumer demand, as well as general concern and uncertainty. The impact of COVID-19, and other infectious disease outbreaks that may arise in the future, could adversely affect the economies of many nations or the entire global economy, individual issuers and capital markets in ways that cannot necessarily be foreseen. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The duration of the COVID-19 outbreak cannot be determined with certainty. The risk of further spreading of COVID-19 has led to significant uncertainty and volatility in the financial markets and disruption to the global economy, the consequences of which are currently unpredictable. Certain of the Trust’s investments are likely to have exposure to businesses that, as a result of COVID-19, experience a slowdown or temporary suspension in business activities. These factors, as well as any restrictive measures instituted in order to prevent or control a pandemic or other public health crisis, such as the one posed by COVID-19, could have a material and adverse effect on the Trust’s investments.

Note 7 — Subsequent Events

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

 

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SPDR S&P 500® ETF Trust

Report of Independent Registered Public Accounting Firm

 

 

 

To the Trustee and Unitholders of

the SPDR S&P 500 ETF Trust

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of the SPDR S&P 500 ETF Trust (the “Trust”) as of September 30, 2020, the related statements of operations and of changes in net assets for each of the three years in the period ended September 30, 2020, including the related notes, and the financial highlights for each of the five years in the period ended September 30, 2020 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Trust as of September 30, 2020, the results of its operations and the changes in its net assets for each of the three years in the period ended September 30, 2020 and the financial highlights for each of the five years in the period ended September 30, 2020 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements are the responsibility of the Trust’s management (the Trustee). Our responsibility is to express an opinion on the Trust’s 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 of these financial statements 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.

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 audits also included evaluating the accounting principles used and significant estimates made by management (the Trustee), as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of September 30, 2020 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Boston, Massachusetts

November 24, 2020

We have served as the auditor of one or more investment companies in the SPDR Funds since 1993.

 

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Other Information

September 30, 2020 (Unaudited)

 

 

 

For U.S. federal income tax purposes, the Trust reports the maximum amount allowable of its net taxable income as eligible for the corporate dividends received deduction.

For the fiscal year ended September 30, 2020, certain dividends paid by the Trust may be designated as qualified dividend income for U.S. federal income tax purposes and subject to a maximum U.S. federal income tax rate of 20% in the case of certain non-corporate unitholders that meet applicable holding period requirements with respect to their Units. Complete information will be reported in conjunction with your 2020 Form 1099-DIV.

 

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Other Information (continued)

September 30, 2020 (Unaudited)

 

 

 

FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS

Bid/Ask Price(1) vs Net Asset Value

As of September 30, 2020

 

     Bid/Ask Price Above NAV      Bid/Ask Price Below NAV  
     50-99
BASIS
POINTS
     100-199
BASIS
POINTS
     >200
BASIS
POINTS
     50-99
BASIS
POINTS
     100-199
BASIS
POINTS
     >200
BASIS
POINTS
 

2020

     0        0        0        0        0        0  

2019

     0        0        0        0        0        0  

2018

     0        0        0        0        0        0  

2017

     0        0        0        0        0        0  

2016

     0        0        0        0        0        0  

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

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

Cumulative Total Return

 

     1 Year     5 Year     10 Year  

SPDR S&P 500® ETF Trust

      

Return Based on NAV

     14.98     92.42     257.91

Return Based on Bid/Ask Price

    
14.87

    92.37     257.65

S&P 500® Index

     15.15     93.80     262.44

Average Annual Total Return

 

     1 Year     5 Year     10 Year  

SPDR S&P 500® ETF Trust

      

Return Based on NAV

     14.98     13.99     13.60

Return Based on Bid/Ask Price

    
14.87

    13.98     13.59

S&P 500® Index

     15.15     14.15     13.74

 

 

(1)

The bid/ask price is the midpoint of the best bid and best offer prices on NYSE Arca at the time the Trust’s NAV is calculated, ordinarily 4:00 p.m.

 

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(Unaudited)

 

 

 

Sponsor

PDR Services LLC

c/o NYSE Holdings LLC

11 Wall Street

New York, NY 10005

Trustee

State Street Global Advisors Trust Company

One Iron Street

Boston, MA 02210

Distributor

ALPS Distributors, Inc.

1290 Broadway Suite 1100

Denver, CO 80203

Independent Registered Public Accounting Firm

PricewaterhouseCoopers LLP

101 Seaport Boulevard, Suite 500

Boston, MA 02210

 

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