As filed with the Securities and Exchange Commission on January 14, 2021

File No. 33-46080

811-06125

 

 

 

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

 

 

POST EFFECTIVE AMENDMENT NO. 35

TO

Form S-6

 

 

FOR REGISTRATION UNDER THE SECURITIES ACT OF 1933 OF

SECURITIES OF UNIT INVESTMENT TRUSTS REGISTERED

ON FORM N-8B-2

 

 

 

A.	Exact name of Trust:

SPDR S&P 500 ETF TRUST

(formerly known as SPDR TRUST SERIES 1 prior to January 27, 2010)

(I.R.S. Employer Identification Number: 13-3574560)

 

B.	Name of Depositor:

PDR SERVICES LLC

 

C.	Complete address of Depositor’s principal executive office:

PDR SERVICES LLC

c/o NYSE Holdings LLC

11 Wall Street

New York, New York 10005

 

D.	Name and complete address of agent for service:

Sherry J. Sandler, Esq.

PDR SERVICES LLC

c/o NYSE Holdings LLC

11 Wall Street

New York, New York 10005

Copy to:

Gregory S. Rowland, Esq.

Davis Polk & Wardwell LLP

450 Lexington Avenue

New York, New York 10017

It is proposed that this filing will become effective:

 

☒

immediately upon filing pursuant to paragraph (b) of Rule 485.

 

E.	Title of securities being registered:

An indefinite number of Units pursuant to Rule 24f-2 under the Investment Company Act of 1940.

 

F.	Approximate date of proposed public offering:

AS SOON AS PRACTICABLE AFTER THE EFFECTIVE DATE OF THE REGISTRATION STATEMENT.

 

☐

Check box if it is proposed that this filing will become effective on [date] at [time] pursuant to Rule 487.

 

 

 

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SPDR S&P 500 ETF TRUST

Cross Reference Sheet

Pursuant to Regulation C

Under the Securities Act of 1933, as amended

(Form N-8B-2 Items required by Instruction 1

as to Prospectus in Form S-6)

 

Form N-8B-2 Item Number		Form S-6 Heading in Prospectus
I.   Organization and General Information   1.  (a) Name of Trust		Registration Statement Front Cover
(b)   Title of securities issued		Registration Statement Front Cover
2.  Name, address and Internal Revenue Service Employer Identification Number of depositor		Sponsor
3.  Name, address and Internal Revenue Service Employer Identification Number of trustee		Trustee
4.  Name, address and Internal Revenue Service Employer Identification Number of principal underwriter		*
5.  State of organization of Trust		Organization of the Trust
6.  (a) Dates of execution and termination of Trust Agreement		Organization of the Trust
(b)   Dates of execution and termination of Trust Agreement   7.  Changes of name		Same as set forth in 6(a)   *
8.  Fiscal Year		*
9.  Material Litigation		*
II. General Description of the Trust and Securities of the Trust   10.  (a) Registered or bearer securities		Summary—Voting Rights; Book-Entry-Only System; Book-Entry-Only System
(b)   Cumulative or distributive		Summary—Dividends; Dividends and Distributions; Additional Information Regarding Dividends and Distributions
(c)   Rights of holders as to withdrawal or redemption		Summary—Redemption of Units; Purchases and Redemptions of Creation Units—Redemption
(d)   Rights of holders as to conversion, transfer, etc.		Summary—Redemption of Units; Purchases and Redemptions of Creation Units—Redemption; Trust Agreement
(e)   Lapses or defaults in principal payments with respect to periodic payment plan certificates		*
(f)   Voting rights		Summary—Voting Rights; Book-Entry-Only System; Trust Agreement
(g)   Notice to holders as to change in:
(1)   Composition of Trust assets		*
(2)   Terms and conditions of Trust’s securities		Summary—Amendments to the Trust Agreement; Trust Agreement—Amendments to the Trust Agreement
(3)   Provisions of Trust Agreement		Same as set forth in 10(g)(2)
(4)   Identity of depositor and trustee		Sponsor; Trustee
(h)   Consent of holders required to change:
(1)   Composition of Trust assets		*
(2)   Terms and conditions of Trust’s securities		Summary—Amendments to the Trust Agreement; Trust Agreement—Amendments to the Trust Agreement
(3)   Provisions of Trust Agreement		Same as set forth in 10(h)(2)
(4)   Identity of depositor and trustee		Sponsor; Trustee

 

*	Not applicable, answer negative or not required.

 

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Form N-8B-2 Item Number		Form S-6 Heading in Prospectus
(i) Other principal features of the securities		Summary—The Trust’s Investments and Portfolio Turnover; Summary—Redemption of Units; Summary—Amendments to the Trust Agreement; Purchases and Redemptions of Creation Units; Trust Agreement
11.  Type of securities comprising units		Summary—The Trust’s Investments and Portfolio Turnover; Portfolio Adjustments
12.  Certain information regarding securities comprising periodic payment certificates		*
13.  (a) Certain information regarding loads, fees, expenses and charges		Summary—Fees and Expenses of the Trust; Summary—The Trust’s Investments and Portfolio Turnover; Expenses of the Trust; Purchases and Redemptions of Creation Units—Redemption
(b)   Certain information regarding periodic payment plan certificates		*
(c)   Certain percentages		Same as set forth in 13(a)
(d)   Reasons for certain differences in prices		*
(e)   Certain other loads, fees, or charges payable by holders		*
(f)   Certain profits receivable by depositor, principal underwriters, custodian, trustee or affiliated persons		Summary—The Trust’s Investments and Portfolio Turnover; Portfolio Adjustments—Adjustments to the Portfolio Deposit
(g)   Ratio of annual charges and deductions to income		*
14.  Issuance of Trust’s securities		Purchases and Redemptions of Creation Units—Purchase (Creation)
15.  Receipt and handling of payments from purchasers		Purchases and Redemptions of Creation Units
16.  Acquisition and disposition of underlying securities		Purchases and Redemptions of Creation Units;
		Portfolio Adjustments; Trust Agreement
17.  (a) Withdrawal or redemption by holders		Trust Agreement; Purchases and Redemptions of Creation Units—Redemption
(b)   Persons entitled or required to redeem or repurchase securities		Same as set forth in 17(a)
(c)   Cancellation or resale of repurchased or redeemed securities		Same as set forth in 17(a)
18.  (a) Receipt, custody and disposition of income		Additional Information Regarding Dividends and Distributions—General Policies
(b)   Reinvestment of distributions		Dividends and Distributions—No Dividend Reinvestment Service
(c)   Reserves or special funds		Same as set forth in 18(a)
(d)   Schedule of distributions		*
19.  Records, accounts and reports		The S&P 500 Index; Additional Information Regarding Dividends and Distributions—General Policies;
		Investments by Investment Companies; Expenses of the Trust
20.  Certain miscellaneous provisions of Trust Agreement
(a)   Amendments		Trust Agreement—Amendments to the Trust Agreement
(b)   Extension or termination		Trust Agreement—Amendments to the Trust Agreement; Trust Agreement—Termination of the Trust Agreement; Organization of the Trust
(c)   Removal or resignation of trustee		Trustee
(d)   Successor trustee		Same as set forth in 20(c)
(e)   Removal or resignation of depositor		Sponsor
(f)   Successor depositor		Same as set forth in 20(e)
21.  Loans to security holders		*
22.  Limitations on liabilities		Trustee; Sponsor
23.  Bonding arrangements		*
24.  Other material provisions of Trust Agreement		*
III.  Organization, Personnel and Affiliated Persons of Depositor
25. Organization of depositor		Sponsor

 

 

*	Not applicable, answer negative or not required.

 

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Form N-8B-2 Item Number		Form S-6 Heading in Prospectus
26.  Fees received by depositor		*
27.  Business of depositor		Sponsor
28.  Certain information as to officials and affiliated persons of depositor		Sponsor
29.  Ownership of voting securities of depositor		Sponsor
30.  Persons controlling depositor		Sponsor
31.  Payments by depositor for certain services rendered to Trust		*
32.  Payments by depositor for certain other services rendered to Trust		*
33.  Remuneration of employees of depositor for certain services rendered to Trust		*
34.  Compensation of other persons for certain services rendered to Trust		*
IV.  Distribution and Redemption of Securities   35.  Distribution of Trust’s securities in states		*
36.  Suspension of sales of Trust’s securities		*
37.  Denial or revocation of authority to distribute		*
38.  (a)    Method of distribution		Purchases and Redemptions of Creation Units—Purchase (Creation)
(b)   Underwriting agreements		Purchases and Redemptions of Creation Units
(c)   Selling agreements		Same as set forth in 38(b)
39.  (a)   Organization of principal underwriter		Distributor
(b)   NASD membership of principal underwriter		Distributor
40.  Certain fees received by principal underwriters		*
41.  (a) Business of principal underwriters		Purchases and Redemptions of Creation Units; Distributor
(b)   Branch offices of principal underwriters		*
(c)   Salesmen of principal underwriters		*
42.  Ownership of Trust’s securities by certain persons		*
43.  Certain brokerage commissions received by principal underwriters		*
44.  (a) Method of valuation for determining offering price		Portfolio Adjustments; Determination of Net Asset Value
(b)   Schedule as to components of offering price		*
(c)   Variation in offering price to certain persons		*
45.  Suspension of redemption rights		*
46.  (a)   Certain information regarding redemption or withdrawal valuation		Determination of Net Asset Value; Purchases and Redemptions of Creation Units—Redemption
(b)   Schedule as to components of redemption price		*
47.  Maintenance of position in underlying securities		Purchases and Redemptions of Creation Units; Portfolio Adjustments; Determination of Net Asset Value; Additional Information Regarding Dividends and Distributions—General Policies
V. Information Concerning the Trustee or Custodian   48.  Organization and regulation of trustee		Trustee
49.  Fees and expenses of trustee		Summary—Fees and Expenses of the Trust; Expenses of the Trust; Purchases and Redemptions of Creation Units—Redemption
50.  Trustee’s lien		Expenses of the Trust; Purchases and Redemptions of Creation Units—Redemption
VI.  Information Concerning Insurance of Holders of Securities
51.  (a) Name and address of insurance company		*
(b)   Types of policies		*
(c)   Types of risks insured and excluded		*
(d)   Coverage		*
(e)   Beneficiaries		*
(f)   Terms and manner of cancellation		*
(g)   Method of determining premiums		*

 

*	Not applicable, answer negative or not required.

 

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Form N-8B-2 Item Number		Form S-6 Heading in Prospectus
(h)   Aggregate premiums paid		*
(i) Recipients of premiums		*
(j) Other material provisions of Trust Agreement relating to insurance		*
VII.  Policy of Registrant
52.  (a)    Method of selecting and eliminating securities from the Trust		Purchases and Redemptions of Creation Units; Portfolio Adjustments; Trust Agreement
(b)   Elimination of securities from the Trust		Portfolio Adjustments
(c)   Policy of Trust regarding substitution and elimination of securities		Portfolio Adjustments; Trust Agreement
(d)   Description of any other fundamental policy of the Trust		*
(e)   Code of Ethics pursuant to Rule 17j-1 of the 1940 Act		Code of Ethics
53.  (a) Taxable status of the Trust		Federal Income Taxes
(b)   Qualification of the Trust as a regulated investment company		Same as set forth in 53(a)
VIII. Financial and Statistical Information
54.  Information regarding the Trust’s last ten fiscal years		*
55.  Certain information regarding periodic payment plan certificates		*
56.  Certain information regarding periodic payment plan certificates		*
57.  Certain information regarding periodic payment plan certificates		*
58.  Certain information regarding periodic payment plan certificates		*
59.  Financial statements (Instruction 1(c) to Form S-6)		*

 

 

*	Not applicable, answer negative or not required.

 

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Undertaking to File Reports

Subject to the terms and conditions of Section 15(d) of the Securities Exchange Act of 1934, the undersigned registrant hereby undertakes to file with the Securities and Exchange Commission such supplementary and periodic information, documents, and reports as may be prescribed by any rule or regulations of the Commission heretofore or hereafter duly adopted pursuant to authority conferred in that section.

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SPDR^® S&P 500^® ETF Trust

(“SPY” or the “Trust”)

(A Unit Investment Trust)

Principal U.S. Listing Exchange for SPDR^® S&P 500^® ETF Trust: NYSE Arca, Inc.

under the symbol “SPY”

Prospectus Dated January 14, 2021

The U.S. Securities and Exchange Commission has not approved or disapproved these securities or passed upon the accuracy or adequacy of this prospectus. Any representation to the contrary is a criminal offense. Securities of the Trust (“Units”) are not guaranteed or insured by the Federal Deposit Insurance Corporation or any other agency of the U.S. Government, nor are such Units deposits or obligations of any bank. Such Units of the Trust involve investment risks, including the loss of principal.

COPYRIGHT 2021 PDR Services LLC

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“Standard & Poor’s^®”, “S&P^®”, “S&P 500^®”, “Standard & Poor’s 500^®”, “500^®”, “Standard & Poor’s Depositary Receipts^®”, “SPDR^®” and “SPDRs^®” are registered 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. The Trust is permitted to use these trademarks pursuant to a sublicense from State Street Global Advisors Funds Distributors, LLC. The Trust is not sponsored, endorsed, sold or marketed by S&P, its affiliates or its third party licensors.

 

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SUMMARY

Investment Objective

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”).

Fees and Expenses of the Trust

This table estimates the fees and expenses that the Trust pays on an annual basis, which you therefore pay indirectly when you buy and hold Units. It does not reflect brokerage commissions and other fees to financial intermediaries that you may pay for purchases and sales of Units on the secondary markets.

 

Unitholder Fees:			None
(fees paid directly from your investment)

Estimated Annual Trust Ordinary Operating Expenses:

(expenses that you pay each year as a percentage of the value of your investment)

 

Current Estimated Annual Trust Ordinary Operating Expenses		As a % of Trust Average Net Assets
Trustee’s Fee			0.0555	%
S&P License Fee			0.0302	%
Marketing			0.0070	%
Other Operating Expenses			0.0018	%
Total			0.0945	%

Future expense accruals will depend primarily on the level of the Trust’s net assets and the level of expenses.

 

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Growth of $10,000 Investment Since Inception⁽¹⁾⁽²⁾

 

(1)	Past performance is not necessarily an indication of how the Trust will perform in the future.

 

(2)	Effective as of September 30, 1997, the Trust’s fiscal year end changed from December 31 to September 30.

The Trust’s Investments and Portfolio Turnover

The Trust seeks to achieve its 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.

In this prospectus, the term “Portfolio Securities” refers to the common stocks that are actually held by the Trust and make up the Trust’s Portfolio, while the term “Index Securities” refers to the common stocks that are included in the Index, as determined by the index provider, S&P Dow Jones Indices LLC (“S&P”). At any time, the Portfolio will consist of as many of the Index Securities as is practicable. To maintain the correspondence between the composition and weightings of Portfolio Securities and Index Securities, State Street Global Advisors Trust Company (the “Trustee”) or its parent company, State Street Bank and Trust Company (“SSBT”) adjusts the Portfolio from time to time to conform to periodic changes made by S&P to the identity and/or relative weightings of Index Securities in the Index. The Trustee or SSBT aggregates certain of these adjustments and makes changes to the Portfolio at least monthly, or more frequently in the case of significant changes to the Index.

The Trust may pay transaction costs, such as brokerage commissions, when it buys and sells securities (or “turns over” its Portfolio). Such transaction costs may be higher if there are significant rebalancings of Index Securities in the Index, which may also result in higher taxes when Units are held in a taxable account. These costs, which are not reflected in estimated annual Trust ordinary operating expenses, affect the Trust’s performance. During the most recent fiscal year, the Trust’s portfolio turnover rate was 2% of the average value of its portfolio. The Trust’s portfolio

turnover rate does not include securities received or delivered from processing creations or redemptions of Units. Portfolio turnover will be a function of changes to

 

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the Index as well as requirements of the Trust Agreement (as defined below in “Organization of the Trust”).

Although the Trust may fail to own certain Index Securities at any particular time, the Trust generally will be substantially invested in Index Securities, which should result in a close correspondence between the performance of the Index and the performance of the Trust. See “The S&P 500 Index” below for more information regarding the Index. The Trust does not hold or trade futures or swaps and is not a commodity pool.

Dividends

Payments of dividends are made quarterly, on the last Business Day (as defined in “Purchases and Redemptions of Creation Units — Purchase (Creation)”) of April, July, October and January. See “Dividends and Distributions” and “Additional Information Regarding Dividends and Distributions.”

Redemption of Units

Only certain institutional investors (typically market makers or other broker-dealers) are permitted to purchase or redeem Units directly with the Trust, and they may do so only in large blocks of 50,000 Units known as “Creation Units.” See “Purchases and Redemptions of Creation Units — Redemption” and “Trust Agreement” for more information regarding the rights of Beneficial Owners (as defined in “Book-Entry-Only System”).

Voting Rights; Book-Entry-Only-System

Beneficial Owners shall not have the right to vote concerning the Trust, except with respect to termination and as otherwise expressly set forth in the Trust Agreement. See “Trust Agreement.” Units are represented by one or more global securities registered in the name of Cede & Co., as nominee for The Depository Trust Company (“DTC”) and deposited with, or on behalf of, DTC. See “Book-Entry-Only System.”

Amendments to the Trust Agreement

The Trust Agreement (as defined below in “Organization of the Trust”) may be amended from time to time by the Trustee and PDR Services, LLC (the “Sponsor”) without the consent of any Beneficial Owners under certain circumstances described herein. The Trust Agreement may also be amended by the Sponsor and the Trustee with the consent of the Beneficial Owners to modify the rights of Beneficial Owners under certain circumstances. Promptly after the execution of an amendment to the Trust Agreement, the Trustee arranges for written notice to be provided to Beneficial Owners. See “Trust Agreement — Amendments to the Trust Agreement.”

 

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Principal Risks of Investing in the Trust

As with all investments, there are certain risks of investing in the Trust, and you could lose money on an investment in the Trust. Prospective investors should carefully consider the risk factors described below, as well as the additional risk factors under “Additional Risk Information” and the other information included in this prospectus, before deciding to invest in Units.

Passive Strategy/Index Risk.    The Trust is not actively managed. Rather, the Trust attempts to track the performance of an unmanaged index of securities. This differs from an actively managed fund, which typically seeks to outperform a benchmark index. As a result, the Trust will hold constituent securities of the Index regardless of the current or projected performance of a specific security or a particular industry or market sector. Maintaining investments in securities regardless of market conditions or the performance of individual securities could cause the Trust’s return to be lower than if the Trust employed an active strategy.

Index Tracking Risk.    While the Trust is intended to track the performance of the Index as closely as possible (i.e., to achieve a high degree of correlation with the Index), the Trust’s return may not match or achieve a high degree of correlation with the return of the Index due to expenses and transaction costs incurred in adjusting the Portfolio. In addition, it is possible that the Trust may not always fully replicate the performance of the Index due to the unavailability of certain Index Securities in the secondary market or due to other extraordinary circumstances (e.g., if trading in a security has been halted).

Equity Investing and MarketRisk.    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 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 Index Securities 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 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

 

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elimination from the Portfolio unless such issuer is removed from the 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 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 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.

Holders of common stocks of any given issuer incur more risk than holders of preferred stocks and debt obligations of the issuer because the rights of common stockholders, as owners of the issuer, generally are subordinate to the rights of creditors of, or holders of debt obligations or preferred stocks issued by, such issuer. Further, unlike debt securities that typically have a stated principal amount payable at maturity, or preferred stocks that typically have a liquidation preference and may have stated optional or mandatory redemption provisions, common stocks have neither a fixed principal amount nor a maturity. Equity securities values are subject to market fluctuations as long as the equity securities remain outstanding. The value of the Portfolio will fluctuate over the entire life of the Trust.

There can be no assurance that the issuers of Portfolio Securities will pay dividends. Distributions generally depend upon the declaration of dividends by the issuers of

 

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Portfolio Securities and the declaration of such dividends generally depends upon various factors, including the financial condition of the issuers and general economic conditions.

Trust Performance

The following bar chart and table provide an indication of the risks of investing in the Trust by showing changes in the Trust’s performance based on net assets from year to year and by showing how the Trust’s average annual return for certain time periods compares with the average annual return of the Index. The Trust’s past performance (before and after taxes) is not necessarily an indication of how the Trust will perform in the future. Updated performance information is available online at http://www.spdrs.com.

The total returns in the bar chart, as well as the total and after-tax returns presented in the table, have been calculated assuming that the reinvested price for the last income distribution made in the last calendar year shown below (i.e., 12/18/20) was the net asset value per Unit (“NAV”) on the last Business Day of such year (i.e., 12/31/20), rather than the actual reinvestment price for such distribution which was the NAV on the last Business Day of January of the following calendar year (e.g., 1/29/21). Therefore, the actual performance calculation for the last calendar year may be different from that shown below in the bar chart and table. No dividend reinvestment services are provided by the Trust (see “Dividends and Distributions”), so investors’ performance may be different from that shown below in the bar chart and table.

Annual Total Return (years ended 12/31)

 

Highest Quarterly Return: 20.44% for the quarter ended June 30, 2020.

Lowest Quarterly Return: –19.60% for the quarter ended March 31, 2020.

 

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Average Annual Total Returns (for periods ending December 31, 2020)

The after-tax returns presented in the table are calculated using the highest historical individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Your actual after-tax returns will depend on your specific tax situation and may differ from those shown below. After-tax returns are not relevant to investors who hold Units through tax-deferred arrangements, such as 401(k) plans or individual retirement accounts. The returns after taxes can exceed the return before taxes due to an assumed tax benefit for a holder of Units from realizing a capital loss on a sale of the Units.

 

		Past One Year				Past Five Years				Past Ten Years
Trust
Return Before Taxes			18.23	%			15.04	%			13.74	%
Return After Taxes on Distributions			17.74	%			14.52	%			13.24	%
Return After Taxes on Distributions and Sale or Redemption of Creation Units			11.05	%			12.00	%			11.41	%
Index (reflects no deduction for fees, expenses or taxes)			18.40	%			15.22	%			13.88	%

PURCHASE AND SALE INFORMATION

Individual Units of the Trust may be purchased and sold on NYSE Arca, Inc. (the “Exchange”), under the market symbol “SPY”, through your broker-dealer at market prices. Units trade at market prices that may be greater than NAV (premium) or less than NAV (discount). Units are also listed and traded on the Singapore Exchange Securities Trading Limited (stock code S27), the Tokyo Stock Exchange (code 1557) and the Australian Securities Exchange. In the future, Units may be listed and traded on other non-U.S. exchanges. Units may be purchased on other trading markets or venues in addition to the Exchange, the Singapore Exchange Securities Trading Limited, the Tokyo Stock Exchange and the Australian Securities Exchange.

Only certain institutional investors (typically market makers or other broker-dealers) are permitted to purchase or redeem Units directly with the Trust, and they may do so only in large blocks of 50,000 Units known as “Creation Units.” Creation Unit transactions are conducted in exchange for the deposit or delivery of in-kind securities and/or cash constituting a substantial replication of the securities included in the Index.

 

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TAX INFORMATION

The Trust will make distributions that are expected to be taxable currently to you as ordinary income and/or capital gains, unless you are investing through a tax-deferred arrangement, such as a 401(k) plan or individual retirement account. See “Federal Income Taxes,” below, for more information.

THE S&P 500 INDEX

The Index includes five hundred (500) selected companies, all of which are listed on national stock exchanges and spans over 24 separate industry groups. As of December 31, 2020, the five largest industry groups represented in the Index were: Software 8.59%; Technology Hardware, Storage & Peripherals 7.01%; IT Services 5.49%; Interactive Media & Services 5.48%; and Semiconductors & Semiconductor Equipment 5.12%. Since 1968, the Index has been a component of the U.S. Commerce Department’s list of Leading Indicators that track key sectors of the U.S. economy. Current information regarding the market value of the Index is available from market information services. The Index is determined, comprised and calculated without regard to the Trust.

S&P is not responsible for and does not participate in the creation or sale of Units or in the determination of the timing, pricing, or quantities and proportions of purchases or sales of Index Securities or Portfolio Securities by the Trust. The information in this prospectus concerning S&P and the Index has been obtained from sources that the Sponsor believes to be reliable, but the Sponsor takes no responsibility for the accuracy of such information.

The following table shows the actual performance of the Index for the years 1960 through 2020. The results shown should not be considered representative of the income yield or capital gain or loss that may be generated by the Index in the future.

THE RESULTS SHOULD NOT BE CONSIDERED REPRESENTATIVE OF THE FUTURE PERFORMANCE OF THE TRUST.

 

Year		Calendar Year-End Index Value*				Calendar Year-End Index Value 1960=100				Change In Index for Calendar Year				Calendar Year-End Yield**
1960			58.11				100.00				—	%			3.47	%
1961			71.55				123.13				23.13				2.98
1962			63.10				108.59				–11.81				3.37
1963			75.02				129.10				18.89				3.17
1964			84.75				145.84				12.97				3.01
1965			92.43				159.06				9.06				3.00
1966			80.33				138.24				–13.09				3.40
1967			96.47				166.01				20.09				3.20
1968			103.86				178.73				7.66				3.07
1969			92.06				158.42				–11.36				3.24
1970			92.15				158.58				0.10				3.83
1971			102.09				175.68				10.79				3.14

 

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Year		Calendar Year-End Index Value*				Calendar Year-End Index Value 1960=100				Change In Index for Calendar Year				Calendar Year-End Yield**
1972			118.05				203.15				15.63	%			2.84	%
1973			97.55				167.87				–17.37				3.06
1974			68.56				117.98				–29.72				4.47
1975			90.19				155.21				31.55				4.31
1976			107.46				184.93				19.15				3.77
1977			95.10				163.66				–11.50				4.62
1978			96.11				165.39				1.06				5.28
1979			107.94				185.75				12.31				5.47
1980			135.76				233.63				25.77				5.26
1981			122.55				210.89				–9.73				5.20
1982			140.64				242.02				14.76				5.81
1983			164.93				283.82				17.27				4.40
1984			167.24				287.80				1.40				4.64
1985			211.28				363.59				26.33				4.25
1986			242.17				416.75				14.62				3.49
1987			247.08				425.19				2.03				3.08
1988			277.72				477.92				12.40				3.64
1989			353.40				608.15				27.25				3.45
1990			330.22				568.26				–6.56				3.61
1991			417.09				717.76				26.31				3.24
1992			435.71				749.80				4.46				2.99
1993			464.45				802.70				7.06				2.78
1994			459.27				790.34				–1.54				2.82
1995			615.93				1,059.92				34.11				2.56
1996			740.74				1,274.70				20.26				2.19
1997			970.43				1,669.99				31.01				1.77
1998			1,229.23				2,115.35				26.67				1.49
1999			1,469.25				2,528.39				19.53				1.14
2000			1,320.28				2,272.04				–10.14				1.19
2001			1,148.08				1,975.70				–13.04				1.36
2002			879.82				1,514.06				–23.37				1.81
2003			1,111.92				1,913.47				26.38				1.63
2004			1,211.92				2,085.56				8.99				1.72
2005			1,248.29				2,148.15				3.00				1.86
2006			1,418.30				2,440.72				13.62				1.81
2007			1,468.36				2,526.86				3.53				1.89
2008			903.25				1,554.38				–38.49				3.14
2009			1,115.10				1,918.95				23.45				1.95
2010			1,257.64				2,164.24				12.78				1.87
2011			1,257.60				2,164.17				–0.003				2.23
2012			1,426.19				2,454.29				13.41				2.19
2013			1,848.36				3,180.79				29.60				1.89

 

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Year		Calendar Year-End Index Value*				Calendar Year-End Index Value 1960=100				Change In Index for Calendar Year				Calendar Year-End Yield**
2014			2,058.90				3,543.10				11.39	%			2.01	%
2015			2,043.94				3,517.36				–0.0073				2.20
2016			2,238.83				3,852.74				9.53				2.10
2017			2,673.61				4,600.95				19.42				1.83
2018			2,506.85				4,313.97				–6.24				2.14
2019			3,230.78				5,559.77				28.8				1.80
2020			3,756.07				6,463.73				16.26				1.48

 

*	Source: S&P. Reflects no deduction for fees, expenses or taxes.

 

**	Source: S&P. Yields are obtained by dividing the aggregate cash dividends by the aggregate market value of the stocks in the Index.

DIVIDENDS AND DISTRIBUTIONS

Dividends and Capital Gains

Holders of Units receive on the last Business Day of April, July, October and January an amount corresponding to the amount of any cash dividends declared on the Portfolio Securities during the applicable period, net of fees and expenses associated with operation of the Trust, and taxes, if applicable. Because of such fees and expenses, the dividend yield for Units is ordinarily less than that of the Index. Although all such distributions are currently made quarterly, under certain limited circumstances the Trustee may vary the times at which such distributions are made.

Any capital gain income recognized by the Trust in any taxable year that is not distributed during the year ordinarily is distributed at least annually in January of the following taxable year. The Trust may make additional distributions shortly after the end of the year in order to satisfy certain distribution requirements imposed by the Internal Revenue Code of 1986, as amended (the “Code”).

The amount of distributions may vary significantly from period to period. Under limited certain circumstances, special dividend payments also may be made to holders of Units. See “Additional Information Regarding Dividends and Distributions.” Investors should consult their tax advisors regarding tax consequences associated with Trust dividends, as well as those associated with Unit sales or redemptions.

No Dividend Reinvestment Service

No dividend reinvestment service is provided by the Trust. Broker-dealers, at their own discretion, may offer a dividend reinvestment service under which additional Units are purchased in the secondary market at current market prices. Investors should consult their broker-dealer for further information regarding any dividend reinvestment program offered by such broker-dealer.

 

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Distributions in cash that are reinvested in additional Units through a dividend reinvestment service, if offered by an investor’s broker-dealer, will be taxable dividends to the same extent as if such dividends had been received in cash.

FEDERAL INCOME TAXES

The following is a description of the material U.S. federal income tax consequences of owning and disposing of Units. The discussion below provides general tax information relating to an investment in Units, but it does not purport to be a comprehensive description of all the U.S. federal income tax considerations that may be relevant to a particular person’s decision to invest in Units. This discussion does not describe all of the tax consequences that may be relevant in light of the particular circumstances of a beneficial owner of Units, including alternative minimum tax consequences, Medicare contribution tax consequences and tax consequences applicable to beneficial owners subject to special rules, such as:

 

•

certain financial institutions;

 

•

regulated investment companies;

 

•

real estate investment trusts;

 

•

dealers or traders in securities that use a mark-to-market method of tax accounting;

 

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persons holding Units as part of a hedging transaction, straddle, wash sale, conversion transaction or integrated transaction or persons entering into a constructive sale with respect to the Units;

 

•

U.S. Holders (as defined below) whose functional currency for U.S. federal income tax purposes is not the U.S. dollar;

 

•

entities classified as partnerships or otherwise treated as pass-through entities for U.S. federal income tax purposes;

 

•

certain former U.S. citizens and residents and expatriated entities;

 

•

tax-exempt entities, including an “individual retirement account” or “Roth IRA”; or

 

•

insurance companies.

If an entity that is classified as a partnership for U.S. federal income tax purposes holds Units, the U.S. federal income tax treatment of a partner will generally depend on the status of the partner and the activities of the partnership. Partnerships holding Units and partners in such partnerships should consult their tax advisors as to the particular U.S. federal income tax consequences of holding and disposing of the Units in light of their specific circumstances.

The following discussion applies only to an owner of Units that (i) is treated as the beneficial owner of such Units for U.S. federal income tax purposes and (ii) holds such Units as capital assets.

 

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This discussion is based on the Code, administrative pronouncements, judicial decisions, and final, temporary and proposed Treasury regulations all as of the date hereof, any of which is subject to change, possibly with retroactive effect.

Prospective purchasers of Units are urged to consult their tax advisors with regard to the application of the U.S. federal income and estate tax laws to their particular situations, as well as any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.

Taxation of the Trust

The Trust believes that it qualified as a regulated investment company under Subchapter M of the Code (a “RIC”) for its taxable year ended September 30, 2020 and intends to qualify as a RIC in the current and future taxable years. Assuming that the Trust so qualifies and that it satisfies the distribution requirements described below, the Trust generally will not be subject to U.S. federal income tax on income distributed in a timely manner to the holders of its Units (“Unitholders”).

To qualify as a RIC for any taxable year, the Trust must, among other things, satisfy both an income test and an asset diversification test for such taxable year. Specifically, (i) at least 90% of the Trust’s gross income for such taxable year must consist of dividends; interest; payments with respect to certain securities loans; gains from the sale or other disposition of stock, securities or foreign currencies; other income (including, but not limited to, gains from options, futures or forward contracts) derived with respect to its business of investing in such stock, securities or currencies; and net income derived from interests in “qualified publicly traded partnerships” (such income, “Qualifying RIC Income”) and (ii) the Trust’s holdings must be diversified so that, at the end of each quarter of such taxable year, (a) at least 50% of the value of the Trust’s total assets is represented by cash and cash items, securities of other RICs, U.S. government securities and other securities, with such other securities limited, in respect of any one issuer, to an amount not greater than 5% of the value of the Trust’s total assets and not greater than 10% of the outstanding voting securities of such issuer and (b) not more than 25% of the value of the Trust’s total assets is invested (x) in the securities (other than U.S. government securities or securities of other RICs) of any one issuer or of two or more issuers that the Trust controls and that are engaged in the same, similar or related trades or businesses or (y) in the securities of one or more “qualified publicly traded partnerships.” A “qualified publicly traded partnership” is generally defined as an entity that is treated as a partnership for U.S. federal income tax purposes if (i) interests in such entity are traded on an established securities market or are readily tradable on a secondary market or the substantial equivalent thereof and (ii) less than 90% of such entity’s gross income for the relevant taxable year consists of Qualifying RIC Income. The Trust’s share of income derived from a partnership other than a “qualified publicly traded partnership” will be treated as Qualifying RIC Income only to the extent that such income would have constituted Qualifying RIC Income if derived directly by the Trust.

 

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In order to be exempt from U.S. federal income tax on its distributed income, the Trust must distribute to its Unitholders on a timely basis at least 90% of the sum of (i) its “investment company taxable income” (determined prior to the deduction for dividends paid by the Trust) and (ii) its net tax-exempt interest income for each taxable year. In general, a RIC’s “investment company taxable income” for any taxable year is its taxable income, determined without regard to net capital gain (that is, the excess of net long-term capital gains over net short-term capital losses) and with certain other adjustments. Any taxable income, including any net capital gain, that the Trust does not distribute to its Unitholders in a timely manner will be subject to U.S. federal income tax at regular corporate rates.

A RIC will be subject to a nondeductible 4% excise tax on certain amounts that it fails to distribute during each calendar year. In order to avoid this excise tax, a RIC must distribute during each calendar year an amount at least equal to the sum of (i) 98% of its ordinary taxable income for the calendar year, (ii) 98.2% of its capital gain net income for the one-year period ended on October 31 of the calendar year and (iii) any ordinary income and capital gains for previous years that were not distributed during those years. For purposes of determining whether the Trust has met this distribution requirement, (i) certain ordinary gains and losses that would otherwise be taken into account for the portion of the calendar year after October 31 will be treated as arising on January 1 of the following calendar year and (ii) the Trust will be deemed to have distributed any income or gains on which it has paid U.S. federal income tax.

If the Trust failed to qualify as a RIC or failed to satisfy the 90% distribution requirement in any taxable year, the Trust would be subject to U.S. federal income tax at regular corporate rates on its taxable income, including its net capital gain, even if such income were distributed to its Unitholders, and all distributions out of earnings and profits would be taxable as dividend income. Such distributions generally would be eligible for the dividends-received deduction in the case of corporate U.S. Holders (defined below) and would constitute “qualified dividend income” for individual U.S. Holders. See “Federal Income Taxes — Tax Consequences to U.S. Holders — Distributions.” In addition, the Trust could be required to recognize unrealized gains, pay taxes and make distributions (which could be subject to interest charges) before requalifying for taxation as a RIC. If the Trust fails to satisfy the income test or diversification test described above, however, it may be able to avoid losing its status as a RIC by timely curing such failure, paying a tax and/or providing notice of such failure to the U.S. Internal Revenue Service (the “IRS”).

In order to meet the distribution requirements necessary to be exempt from U.S. federal income and excise tax, the Trust may be required to make distributions in excess of the yield performance of the Portfolio Securities and may be required to sell securities.

 

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Tax Consequences to U.S. Holders

The discussion in this section applies only to U.S. Holders. A “U.S. Holder” is (i) an individual who is a citizen or resident of the United States; (ii) a corporation, or other entity taxable as a corporation, created or organized in or under the laws of the United States, any state therein or the District of Columbia; or (iii) an estate or trust the income of which is subject to U.S. federal income taxation regardless of its source.

Distributions.    Distributions of the Trust’s ordinary income and net short-term capital gains will, except as described below with respect to distributions of “qualified dividend income,” generally be taxable to U.S. Holders as ordinary income to the extent such distributions are paid out of the Trust’s current or accumulated earnings and profits, as determined for U.S. federal income tax purposes. Distributions (or deemed distributions, as described below), if any, of net capital gains will be taxable as long-term capital gains, regardless of the length of time the U.S. Holder has owned Units. A distribution of an amount in excess of the Trust’s current and accumulated earnings and profits will be treated as a return of capital that will be applied against and reduce the U.S. Holder’s basis in its Units. If the amount of any such distribution exceeds the U.S. Holder’s basis in its Units, the excess will be treated as gain from a sale or exchange of the Units.

The ultimate tax characterization of the distributions that the Trust makes during any taxable year cannot be determined until after the end of the taxable year. As a result, it is possible that the Trust will make total distributions during a taxable year in an amount that exceeds its current and accumulated earnings and profits. Return-of-capital distributions may result, for example, if the Trust makes distributions of cash amounts deposited in connection with Portfolio Deposits (as defined below in “Purchases and Redemptions of Creation Units — Purchase (Creation)”). Return-of-capital distributions may be more likely to occur in periods during which the number of outstanding Units fluctuates significantly.

Distributions of the Trust’s “qualified dividend income” to an individual or other non-corporate U.S. Holder will be treated as “qualified dividend income” and will therefore be taxed at rates applicable to long-term capital gains, provided that the U.S. Holder meets certain holding period and other requirements with respect to its Units and that the Trust meets certain holding period and other requirements with respect to the underlying shares of stock. “Qualified dividend income” generally includes dividends from domestic corporations and dividends from foreign corporations that meet certain specified criteria.

Dividends distributed by the Trust to a corporate U.S. Holder will qualify for the dividends-received deduction only to the extent that the dividends consist of distributions of dividends eligible for the dividends-received deduction received by the Trust, the Trust meets certain holding period requirements with respect to the underlying shares of stock and the U.S. Holder meets certain holding period and other requirements with respect to the underlying shares of stock. Dividends eligible

 

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for the dividends-received deduction generally are dividends from domestic corporations.

The Trust intends to distribute its net capital gains at least annually. If, however, the Trust retains any net capital gains for reinvestment, it may elect to treat such net capital gains as having been distributed to the Unitholders. If the Trust makes such an election, each U.S. Holder will be required to report its share of such undistributed net capital gain as long-term capital gain and will be entitled to claim its share of the U.S. federal income taxes paid by the Trust on such undistributed net capital gain as a credit against its own U.S. federal income tax liability, if any, and to claim a refund on a properly filed U.S. federal income tax return to the extent that the credit exceeds such tax liability. In addition, each U.S. Holder will be entitled to increase the adjusted tax basis of its Units by the difference between its share of such undistributed net capital gain and the related credit and/or refund. There can be no assurance that the Trust will make this election if it retains all or a portion of its net capital gain for a taxable year.

Because the tax treatment of a distribution depends upon the Trust’s current and accumulated earnings and profits, a distribution received shortly after an acquisition of Units may be taxable, even though, as an economic matter, the distribution represents a return of the U.S. Holder’s initial investment. Although dividends generally will be treated as distributed when paid, dividends declared in October, November or December, payable to Unitholders of record on a specified date in one of those months, and paid during the following January, will be treated for U.S. federal income tax purposes as having been distributed by the Trust and received by the Unitholders on December 31 of the year in which declared. Unitholders will be notified annually as to the U.S. federal tax status of distributions.

Sales and Redemptions of Units.    In general, upon the sale or other disposition of Units, a U.S. Holder will recognize capital gain or loss in an amount equal to the difference, if any, between the amount realized on the sale or other disposition and the U.S. Holder’s adjusted tax basis in the relevant Units. Such gain or loss generally will be long-term capital gain or loss if the U.S. Holder’s holding period for the relevant Units was more than one year on the date of the sale or other disposition. Under current law, net capital gain (that is, the excess of net long-term capital gains over net short-term capital losses) recognized by non-corporate U.S. Holders is generally subject to U.S. federal income tax at lower rates than the rates applicable to ordinary income.

Losses recognized by a U.S. Holder on the sale or other disposition of Units held for six months or less will be treated as long-term capital losses to the extent of any distribution of long-term capital gain received (or deemed received, as discussed above) with respect to such Units. In addition, no loss will be allowed on a sale or other disposition of Units if the U.S. Holder acquires Units, or enters into a contract or option to acquire Units, within 30 days before or after such sale or other disposition. In such a case, the basis of the Units acquired will be adjusted to reflect the disallowed loss.

 

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If a U.S. Holder receives an in-kind distribution in redemption of Units (which must constitute a Creation Unit, as discussed in “Purchases and Redemptions of Creation Units — Redemption”), the U.S. Holder will realize gain or loss in an amount equal to the difference between the aggregate fair market value as of the redemption date of the stocks and cash received in the redemption and the U.S. Holder’s adjusted tax basis in the relevant Units. The U.S. Holder will generally have an initial tax basis in the distributed stocks equal to their respective fair market values on the redemption date. The IRS may assert that any resulting loss may not be recognized on the ground that there has been no material change in the U.S. Holder’s economic position. The Trust will not recognize gain or loss for U.S. federal income tax purposes on an in-kind distribution in redemption of Creation Units.

Under U.S. Treasury regulations, if a U.S. Holder recognizes losses with respect to Units of $2 million or more for an individual U.S. Holder or $10 million or more for a corporate U.S. Holder, the U.S. Holder must file with the IRS a disclosure statement on IRS Form 8886. Direct shareholders of portfolio securities are in many cases exempted from this reporting requirement, but under current guidance, shareholders of a RIC are not exempted. The fact that a loss is reportable under these regulations does not affect the legal determination of whether the U.S. Holder’s treatment of the loss is proper. Certain states may have similar disclosure requirements.

Portfolio Deposits.    Upon the transfer of a Portfolio Deposit (as defined below in “Purchases and Redemptions of Creation Units — Purchase (Creation)”) to the Trust, a U.S. Holder will generally realize gain or loss with respect to each stock included in the Portfolio Deposit in an amount equal to the difference, if any, between the amount received with respect to such stock and the U.S. Holder’s basis in the stock. The amount received with respect to each stock included in a Portfolio Deposit is determined by allocating among all of the stocks included in the Portfolio Deposit an amount equal to the fair market value of the Creation Units received (determined as of the date of transfer of the Portfolio Deposit) plus the amount of any cash received from the Trust, reduced by the amount of any cash that the U.S. Holder pays to the Trust. This allocation is made among such stocks in accordance with their relative fair market values as of the date of transfer of the Portfolio Deposit. The IRS may assert that any loss resulting from the transfer of a Portfolio Deposit to the Trust may not be recognized on the ground that there has been no material change in the economic position of the U.S. Holder. The Trust will not recognize gain or loss for U.S. federal income tax purposes on the issuance of Creation Units in exchange for Portfolio Deposits.

Backup Withholding and Information Reporting.    Payments on the Units and proceeds from a sale or other disposition of Units will be subject to information reporting unless the U.S. Holder is an exempt recipient. A U.S. Holder will be subject to backup withholding on all such amounts unless (i) the U.S. Holder is an exempt recipient or (ii) the U.S. Holder provides its correct taxpayer identification number (generally, on IRS Form W-9) and certifies that it is not subject to backup

 

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withholding. Backup withholding is not an additional tax. Any amounts withheld pursuant to the backup withholding rules will be allowed as a credit against the U.S. Holder’s U.S. federal income tax liability and may entitle the U.S. Holder to a refund, provided that the required information is furnished to the IRS on a timely basis.

Tax Consequences to Non-U.S. Holders

The discussion in this section applies only to Non-U.S. Holders. A “Non-U.S. Holder” is a person that, for U.S. federal income tax purposes, is a beneficial owner of Units and is a nonresident alien individual, a foreign corporation, a foreign trust or a foreign estate. The discussion below does not apply to a Non-U.S. Holder who is a nonresident alien individual and is present in the United States for 183 days or more during any taxable year; a nonresident alien individual who is a former citizen or resident of the United States; an expatriated entity; a controlled foreign corporation; a passive foreign investment company; a foreign government for purposes of Section 892 of the Code or a tax-exempt organization for U.S. federal income tax purposes. Such Non-U.S. Holders should consult their tax advisors with respect to the particular tax consequences to them of an investment in the Trust. The U.S. federal income taxation of a Non-U.S. Holder depends on whether the income that the Non-U.S. Holder derives from the Trust is “effectively connected” with a trade or business that the Non-U.S. Holder conducts in the United States (and, if required by an applicable tax treaty, is attributable to a U.S. permanent establishment maintained by the Non-U.S. Holder).

If the income that a Non-U.S. Holder derives from the Trust is not “effectively connected” with a U.S. trade or business conducted by such Non-U.S. Holder (or, if an applicable tax treaty so provides, the Non-U.S. Holder does not maintain a permanent establishment in the United States), distributions of “investment company taxable income” to such Non-U.S. Holder will generally be subject to U.S. federal withholding tax at a rate of 30% (or lower rate under an applicable tax treaty). Provided that certain requirements are satisfied, this withholding tax will not be imposed on dividends paid by the Trust to the extent that the underlying income out of which the dividends are paid consists of U.S.-source interest income or short-term capital gains that would not have been subject to U.S. withholding tax if received directly by the Non-U.S. Holder (“interest-related dividends” and “short-term capital gain dividends,” respectively).

A Non-U.S. Holder whose income from the Trust is not “effectively connected” with a U.S. trade or business (or, if an applicable tax treaty so provides, does not maintain a permanent establishment in the United States) will generally be exempt from U.S. federal income tax on capital gain dividends and any amounts retained by the Trust that are designated as undistributed capital gains. In addition, such a Non-U.S. Holder will generally be exempt from U.S. federal income tax on any gains realized upon the sale or exchange of Units.

If the income from the Trust is “effectively connected” with a U.S. trade or business carried on by a Non-U.S. Holder (and, if required by an applicable tax treaty, is

 

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attributable to a U.S. permanent establishment maintained by the Non-U.S. Holder), any distributions of “investment company taxable income,” any capital gain dividends, any amounts retained by the Trust that are designated as undistributed capital gains and any gains realized upon the sale or exchange of Units will be subject to U.S. federal income tax, on a net income basis, at the rates applicable to U.S. Holders. A Non-U.S. Holder that is a corporation may also be subject to the U.S. branch profits tax.

Information returns will be filed with the IRS in connection with certain payments on the Units and may be filed in connection with payments of the proceeds from a sale or other disposition of Units. A Non-U.S. Holder may be subject to backup withholding on distributions or on the proceeds from a redemption or other disposition of Units if such Non-U.S. Holder does not certify its non-U.S. status under penalties of perjury or otherwise establish an exemption. Backup withholding is not an additional tax. Any amounts withheld pursuant to the backup withholding rules will be allowed as a credit against the Non-U.S. Holder’s U.S. federal income tax liability, if any, and may entitle the Non-U.S. Holder to a refund, provided that the required information is furnished to the IRS on a timely basis.

In order to qualify for the exemption from U.S. withholding on interest-related dividends, to qualify for an exemption from U.S. backup withholding and to qualify for a reduced rate of U.S. withholding tax on Trust distributions pursuant to an income tax treaty, a Non-U.S. Holder must generally deliver to the withholding agent a properly executed IRS form (generally, Form W-8BEN or Form W-8BEN-E, as applicable). In order to claim a refund of any Trust-level taxes imposed on undistributed net capital gain, any withholding taxes or any backup withholding, a Non-U.S. Holder must obtain a U.S. taxpayer identification number and file a U.S. federal income tax return, even if the Non-U.S. Holder would not otherwise be required to obtain a U.S. taxpayer identification number or file a U.S. income tax return.

Under Sections 1471 through 1474 of the Code (“FATCA”), a withholding tax at the rate of 30% will generally be imposed on payments of dividends on Units to certain foreign entities (including financial intermediaries) unless the foreign entity provides the withholding agent with certifications and other information (which may include information relating to ownership by U.S. persons of interests in, or accounts with, the foreign entity). Treasury and the IRS have issued proposed regulations that (i) provide that “withholdable payments” will not include gross proceeds from the disposition of property that can produce U.S. source dividends or interest, as otherwise would have been the case after December 31, 2018 and (ii) state that taxpayers may rely on these provisions of the proposed regulations until final regulations are issued. If FATCA withholding is imposed, a beneficial owner of Units that is not a foreign financial institution generally may obtain a refund of any amounts withheld by filing a U.S. federal income tax return (which may entail significant administrative burden). Non-U.S. Holders should consult their tax advisors regarding the possible implications of FATCA on their investment in Units.

 

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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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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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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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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.

 

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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

 

See accompanying notes to financial statements.

 

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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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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.”

 

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SPDR S&P 500^® ETF Trust

Notes to Financial Statements

September 30, 2020

 

 

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.

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.

 

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SPDR S&P 500^® ETF Trust

Notes to Financial Statements

September 30, 2020

 

 

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

 

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

 

•

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

 

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SPDR S&P 500^® ETF Trust

Notes to Financial Statements

September 30, 2020

 

 

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

 

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 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.

 

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SPDR S&P 500^® ETF Trust

Notes to Financial Statements

September 30, 2020

 

 

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

 

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	)

 

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SPDR S&P 500^® ETF Trust

Notes to Financial Statements

September 30, 2020

 

 

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

 

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

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.

 

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SPDR S&P 500^® ETF Trust

Notes to Financial Statements

September 30, 2020

 

 

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

 

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 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.

 

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SPDR S&P 500^® ETF Trust

Notes to Financial Statements

September 30, 2020

 

 

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

 

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 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.

 

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SPDR S&P 500^® ETF Trust

Notes to Financial Statements

September 30, 2020

 

 

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 delays in healthcare service preparation and delivery,

 

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SPDR S&P 500^® ETF Trust

Notes to Financial Statements

September 30, 2020

 

 

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

 

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

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.

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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SPDR S&P 500^® ETF Trust

Schedule of Investments

September 30, 2020

 

 

 

See accompanying notes to financial statements.

 

36

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SPDR S&P 500^® ETF Trust

Schedule of Investments (continued)

September 30, 2020

 

 

 

See accompanying notes to financial statements.

 

37

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SPDR S&P 500^® ETF Trust

Schedule of Investments (continued)

September 30, 2020

 

 

 

See accompanying notes to financial statements.

 

38

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SPDR S&P 500^® ETF Trust

Schedule of Investments (continued)

September 30, 2020

 

 

 

See accompanying notes to financial statements.

 

39

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SPDR S&P 500^® ETF Trust

Schedule of Investments (continued)

September 30, 2020

 

 

 

See accompanying notes to financial statements.

 

40

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SPDR S&P 500^® ETF Trust

Schedule of Investments (continued)

September 30, 2020

 

 

 

See accompanying notes to financial statements.

 

41

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SPDR S&P 500^® ETF Trust

Schedule of Investments (continued)

September 30, 2020

 

 

 

See accompanying notes to financial statements.

 

42

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SPDR S&P 500^® ETF Trust

Schedule of Investments (continued)

September 30, 2020

 

 

 

See accompanying notes to financial statements.

 

43

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SPDR S&P 500^® ETF Trust

Schedule of Investments (continued)

September 30, 2020

 

 

 

See accompanying notes to financial statements.

 

44

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SPDR S&P 500^® ETF Trust

Schedule of Investments (continued)

September 30, 2020

 

 

 

See accompanying notes to financial statements.

 

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SPDR S&P 500^® ETF Trust

Schedule of Investments (continued)

September 30, 2020