Select Sector SPDR Trust N-CSRS Certified semi-annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-08837

THE SELECT SECTOR SPDR^® TRUST

(Exact name of registrant as specified in charter)

One Iron Street, Boston, Massachusetts 02210

(Address of principal executive offices) (zip code)

Joshua A. Weinberg, Esq.

Managing Director and Managing Counsel

c/o SSGA Funds Management, Inc.

One Iron Street

Boston, Massachusetts 02210

(Name and address of agent for service)

Copy to:

W. John McGuire, Esq.

Morgan, Lewis, & Bockius, LLP

1111 Pennsylvania Avenue, N.W.

Washington, D.C. 20004

Registrant’s telephone number, including area code: (617) 664-7037

Date of fiscal year end: September 30

Date of reporting period: March 31, 2018

Item 1. Report to Shareholders.

Semi-Annual Report

March 31, 2018

SELECT SECTOR SPDR FUNDS

The Select Sector SPDR Trust consists of ten separate investment portfolios (each a “Select Sector SPDR Fund” or a “Fund” and collectively the “Select Sector SPDR Funds” or the “Funds”).

Select Sector SPDR Funds are “index funds” that unbundle the benchmark S&P 500^®† and give you ownership in particular sectors or groups of industries that are represented by a specified Select Sector Index. Through a single share, investors can buy or sell any of ten major industry sectors that make up the S&P 500^®, in the same way as they would buy or sell a share of stock. Select Sector SPDR Fund shares are different from the shares of conventional mutual funds. Select Sector SPDR Funds trade on NYSE Arca.

TEN SELECT SECTOR SPDR FUNDS

Shares are available for exchange trading in the following Funds of The Select Sector SPDR Trust:

The Consumer Discretionary Select Sector SPDR Fund	XLY
The Consumer Staples Select Sector SPDR Fund	XLP
The Energy Select Sector SPDR Fund	XLE
The Financial Select Sector SPDR Fund	XLF
The Health Care Select Sector SPDR Fund	XLV
The Industrial Select Sector SPDR Fund	XLI
The Materials Select Sector SPDR Fund	XLB
The Real Estate Select Sector SPDR Fund	XLRE
The Technology Select Sector SPDR Fund	XLK
The Utilities Select Sector SPDR Fund	XLU

Each of these Funds is designed to, before expenses, correspond generally to the price and yield performance of a Select Sector Index. Each Fund’s portfolio is comprised principally of shares of constituent companies in the S&P 500^®. Each stock in the S&P 500^® is allocated to one Select Sector Index. The combined companies of the ten Select Sector Indexes represent all of the companies in the S&P 500^®. Each Select Sector SPDR Fund can be expected to move up or down in value with its underlying Select Sector Index. Investors cannot invest directly in an index. Funds focused on a single sector generally experience greater price fluctuations than the overall stock market.

OBJECTIVE

Select Sector SPDR Funds are designed to provide investors with an affordable way to invest in a portfolio of equity securities in a sector or group of industries in a single trade. Select Sector SPDR Funds allow you to tailor asset allocations to fit your particular investment needs or goals. One Fund may complement another; individual Select Sector SPDR Funds can be used to increase exposure to certain industries that may be outperforming the market or to hedge other holdings in your portfolio. Although an individual Select Sector SPDR Fund may bear a higher level of risk than a broad-market fund, because of less diversification, sector investments may also offer opportunities for returns greater than an investment in the entire constituents of the S&P 500^®.

The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus from the Distributor, ALPS Portfolio Solutions Distributor, Inc., by calling 1-866-SECTOR-ETF (1-866-732-8673). Please read the prospectus carefully before you invest.

^†  S&P 500: the Standard & Poor’s composite index of 500 stocks, a widely recognized, unmanaged, index of common stock prices.

TABLE OF CONTENTS (UNAUDITED)

Portfolio Statistics (Unaudited)
The Consumer Discretionary Select Sector SPDR Fund (XLY)	1
The Consumer Staples Select Sector SPDR Fund (XLP)	2
The Energy Select Sector SPDR Fund (XLE)	3
The Financial Select Sector SPDR Fund (XLF)	4
The Health Care Select Sector SPDR Fund (XLV)	5
The Industrial Select Sector SPDR Fund (XLI)	6
The Materials Select Sector SPDR Fund (XLB)	7
The Real Estate Select Sector SPDR Fund (XLRE)	8
The Technology Select Sector SPDR Fund (XLK)	9
The Utilities Select Sector SPDR Fund (XLU)	10
Schedules of Investments (Unaudited)
The Consumer Discretionary Select Sector SPDR Fund (XLY)	11
The Consumer Staples Select Sector SPDR Fund (XLP)	14
The Energy Select Sector SPDR Fund (XLE)	16
The Financial Select Sector SPDR Fund (XLF)	18
The Health Care Select Sector SPDR Fund (XLV)	20
The Industrial Select Sector SPDR Fund (XLI)	22
The Materials Select Sector SPDR Fund (XLB)	24
The Real Estate Select Sector SPDR Fund (XLRE)	25
The Technology Select Sector SPDR Fund (XLK)	27
The Utilities Select Sector SPDR Fund (XLU)	29
Financial Statements (Unaudited)	30
Financial Highlights (Unaudited)	38
Notes to Financial Statements (Unaudited)	48
Other Information (Unaudited)	56

THE CONSUMER DISCRETIONARY SELECT SECTOR SPDR FUND

PORTFOLIO STATISTICS (UNAUDITED)

   Top Five Holdings as of March 31, 2018

Description	Market Value	% of Net Assets
Amazon.com, Inc.	2,614,393,925	20.4%
Home Depot, Inc.	934,875,751	7.3
Comcast Corp. Class A	712,002,374	5.5
Walt Disney Co.	678,953,709	5.3
Netflix, Inc.	576,178,527	4.5
TOTAL	5,516,404,286	43.0%

(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.)

    Industry Breakdown as of March 31, 2018*

* The Fund’s industry breakdown is expressed as a percentage of total common stock and may change over time.

See accompanying notes to financial statements.

1

THE CONSUMER STAPLES SELECT SECTOR SPDR FUND

PORTFOLIO STATISTICS (UNAUDITED)

   Top Five Holdings as of March 31, 2018

Description	Market Value	% of Net Assets
Procter & Gamble Co.	1,013,795,775	11.6%
Coca-Cola Co.	845,502,015	9.6
PepsiCo, Inc.	787,132,387	9.0
Philip Morris International, Inc.	782,853,029	9.0
Walmart, Inc.	655,034,329	7.5
TOTAL	4,084,317,535	46.7%

(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.)

    Industry Breakdown as of March 31, 2018*

* The Fund’s industry breakdown is expressed as a percentage of total common stock and may change over time.

See accompanying notes to financial statements.

2

THE ENERGY SELECT SECTOR SPDR FUND

PORTFOLIO STATISTICS (UNAUDITED)

   Top Five Holdings as of March 31, 2018

Description	Market Value	% of Net Assets
Exxon Mobil Corp.	4,021,605,912	23.2%
Chevron Corp.	2,975,862,396	17.1
Schlumberger, Ltd.	1,224,625,413	7.1
ConocoPhillips	846,389,711	4.9
EOG Resources, Inc.	805,003,480	4.6
TOTAL	9,873,486,912	56.9%

(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.)

    Industry Breakdown as of March 31, 2018*

* The Fund’s industry breakdown is expressed as a percentage of total common stock and may change over time.

See accompanying notes to financial statements.

3

THE FINANCIAL SELECT SECTOR SPDR FUND

PORTFOLIO STATISTICS (UNAUDITED)

    Top Five Holdings as of March 31, 2018

Description	Market Value	% of Net Assets
Berkshire Hathaway, Inc. Class B	3,704,448,127	11.6%
JPMorgan Chase & Co.	3,641,138,591	11.4
Bank of America Corp.	2,767,996,957	8.6
Wells Fargo & Co.	2,219,743,895	6.9
Citigroup, Inc.	1,673,277,008	5.2
TOTAL	14,006,604,578	43.7%

(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.)

    Industry Breakdown as of March 31, 2018*

* The Fund’s industry breakdown is expressed as a percentage of total common stock and may change over time.

See accompanying notes to financial statements.

4

THE HEALTH CARE SELECT SECTOR SPDR FUND

PORTFOLIO STATISTICS (UNAUDITED)

    Top Five Holdings as of March 31, 2018

Description	Market Value	% of Net Assets
Johnson & Johnson	1,695,060,169	11.1%
Pfizer, Inc.	1,041,577,733	6.8
UnitedHealth Group, Inc.	1,020,962,756	6.7
AbbVie, Inc.	743,862,868	4.9
Merck & Co., Inc.	724,088,720	4.8
TOTAL	5,225,552,246	34.3%

(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.)

    Industry Breakdown as of March 31, 2018*

* The Fund’s industry breakdown is expressed as a percentage of total common stock and may change over time.

See accompanying notes to financial statements.

5

THE INDUSTRIAL SELECT SECTOR SPDR FUND

PORTFOLIO STATISTICS (UNAUDITED)

    Top Five Holdings as of March 31, 2018

Description	Market Value	% of Net Assets
Boeing Co.	1,002,012,100	7.9%
3M Co.	722,605,619	5.7
General Electric Co.	650,646,951	5.1
Honeywell International, Inc.	600,215,638	4.7
Union Pacific Corp.	584,233,855	4.6
TOTAL	3,559,714,163	28.0%

(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.)

    Industry Breakdown as of March 31, 2018*

* The Fund’s industry breakdown is expressed as a percentage of total common stock and may change over time.

See accompanying notes to financial statements.

6

THE MATERIALS SELECT SECTOR SPDR FUND

PORTFOLIO STATISTICS (UNAUDITED)

    Top Five Holdings as of March 31, 2018

Description	Market Value	% of Net Assets
DowDuPont, Inc.	1,010,302,031	21.8%
Monsanto Co.	377,850,738	8.1
Praxair, Inc.	304,373,722	6.6
Air Products & Chemicals, Inc.	255,772,879	5.5
LyondellBasell Industries NV Class A	251,164,055	5.4
TOTAL	2,199,463,425	47.4%

(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.)

    Industry Breakdown as of March 31, 2018*

* The Fund’s industry breakdown is expressed as a percentage of total common stock and may change over time.

See accompanying notes to financial statements.

7

THE REAL ESTATE SELECT SECTOR SPDR FUND

PORTFOLIO STATISTICS (UNAUDITED)

    Top Five Holdings as of March 31, 2018

Description	Market Value	% of Net Assets
American Tower Corp. REIT	240,308,499	10.2%
Simon Property Group, Inc. REIT	180,164,883	7.6
Crown Castle International Corp. REIT	170,478,735	7.2
Prologis, Inc. REIT	125,958,583	5.3
Equinix, Inc. REIT	124,256,573	5.3
TOTAL	841,167,273	35.6%

(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.)

    Industry Breakdown as of March 31, 2018*

* The Fund’s industry breakdown is expressed as a percentage of total common stock and may change over time.

See accompanying notes to financial statements.

8

THE TECHNOLOGY SELECT SECTOR SPDR FUND

PORTFOLIO STATISTICS (UNAUDITED)

    Top Five Holdings as of March 31, 2018

Description	Market Value	% of Net Assets
Apple, Inc.	2,876,191,971	14.1%
Microsoft Corp.	2,374,292,669	11.6
Facebook, Inc. Class A	1,293,462,340	6.4
Alphabet, Inc. Class C	1,060,997,911	5.2
Alphabet, Inc. Class A	1,045,938,059	5.1
TOTAL	8,650,882,950	42.4%

(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.)    

    Industry Breakdown as of March 31, 2018*

* The Fund’s industry breakdown is expressed as a percentage of total common stock and may change over time.

See accompanying notes to financial statements.

9

THE UTILITIES SELECT SECTOR SPDR FUND

PORTFOLIO STATISTICS (UNAUDITED)

    Top Five Holdings as of March 31, 2018

Description	Market Value	% of Net Assets
NextEra Energy, Inc.	844,329,372	11.9%
Duke Energy Corp.	597,052,458	8.4
Southern Co.	494,848,565	7.0
Dominion Energy, Inc.	482,933,862	6.8
Exelon Corp.	413,760,696	5.8
TOTAL	2,832,924,953	39.9%

(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.)

    Industry Breakdown as of March 31, 2018*

* The Fund’s industry breakdown is expressed as a percentage of total common stock and may change over time.

See accompanying notes to financial statements.

10

THE CONSUMER DISCRETIONARY SELECT SECTOR SPDR FUND

SCHEDULE OF INVESTMENTS

March 31, 2018 (Unaudited)

Security Description	Shares		Value
COMMON STOCKS — 99.9%
AUTO COMPONENTS — 1.4%
Aptiv PLC		1,190,060	$	101,119,398
BorgWarner, Inc.		888,330		44,620,816
Goodyear Tire & Rubber Co.		1,120,221		29,775,474
				175,515,688
AUTOMOBILES — 3.4%
Ford Motor Co.		17,548,544		194,437,868
General Motors Co.		5,676,701		206,291,314
Harley-Davidson, Inc. (a)		759,221		32,555,396
				433,284,578
DISTRIBUTORS — 0.9%
Genuine Parts Co.		655,789		58,916,084
LKQ Corp. (b)		1,396,042		52,979,794
				111,895,878
DIVERSIFIED CONSUMER SERVICES — 0.2%
H&R Block, Inc.		951,373		24,174,388
HOTELS, RESTAURANTS & LEISURE — 14.4%
Carnival Corp.		1,825,916		119,743,571
Chipotle Mexican Grill, Inc. (a) (b)		111,648		36,074,585
Darden Restaurants, Inc.		552,043		47,061,666
Hilton Worldwide Holdings, Inc.		907,302		71,459,105
Marriott International, Inc. Class A		1,349,708		183,533,294
McDonald’s Corp.		3,581,544		560,081,851
MGM Resorts International		2,304,933		80,718,754
Norwegian Cruise Line Holdings, Ltd. (b)		921,538		48,813,868
Royal Caribbean Cruises, Ltd.		765,526		90,133,031
Starbucks Corp.		6,317,621		365,727,080
Wyndham Worldwide Corp.		457,667		52,370,835
Wynn Resorts, Ltd.		358,894		65,447,910
Yum! Brands, Inc.		1,494,850		127,256,580
				1,848,422,130
HOUSEHOLD DURABLES — 3.1%
D.R. Horton, Inc.		1,527,774		66,977,612
Garmin, Ltd.		493,584		29,086,905
Leggett & Platt, Inc.		588,405		26,101,646
Lennar Corp. Class A		1,216,257		71,686,188
Mohawk Industries, Inc. (b)		282,846		65,682,498
Newell Brands, Inc.		2,212,798		56,382,093
PulteGroup, Inc.		1,184,807		34,939,958
Whirlpool Corp.		321,134		49,168,827
				400,025,727
INTERNET & CATALOG RETAIL — 29.0%
Amazon.com, Inc. (b)		1,806,344		2,614,393,925
Booking Holdings, Inc. (b)		219,052		455,713,590
Expedia Group, Inc.		550,444		60,774,522
Netflix, Inc. (b)		1,950,833		576,178,527
TripAdvisor, Inc. (b)		491,289		20,088,807
				3,727,149,371

LEISURE EQUIPMENT & PRODUCTS — 0.5%
Hasbro, Inc.	506,502	42,698,118
Mattel, Inc. (a)	1,521,991	20,014,182
		62,712,300
MEDIA — 20.2%
CBS Corp. Class B	1,551,692	79,741,452
Charter Communications, Inc. Class A (b)	836,282	260,267,684
Comcast Corp. Class A	20,837,061	712,002,374
Discovery Communications, Inc. Class A (a) (b)	679,820	14,568,543
Discovery Communications, Inc. Class C (b)	1,360,202	26,551,143
DISH Network Corp. Class A (b)	1,020,453	38,664,964
Interpublic Group of Cos., Inc.	1,769,512	40,751,861
News Corp. Class A	1,701,435	26,882,673
News Corp. Class B	527,634	8,494,908
Omnicom Group, Inc.	1,032,099	75,002,634
Time Warner, Inc.	3,499,273	330,961,240
Twenty-First Century Fox, Inc. Class A	4,741,495	173,965,452
Twenty-First Century Fox, Inc. Class B	1,981,034	72,050,207
Viacom, Inc. Class B	1,593,891	49,506,255
Walt Disney Co.	6,759,794	678,953,709
		2,588,365,099
MULTILINE RETAIL — 3.8%
Dollar General Corp.	1,166,481	109,124,298
Dollar Tree, Inc. (b)	1,061,391	100,726,006
Kohl’s Corp.	758,685	49,701,454
Macy’s, Inc. (a)	1,360,253	40,453,924
Nordstrom, Inc.	517,576	25,055,854
Target Corp.	2,444,941	169,752,254
		494,813,790
SPECIALTY RETAIL — 17.2%
Advance Auto Parts, Inc.	328,968	38,999,156
AutoZone, Inc. (b)	123,097	79,851,793
Best Buy Co., Inc.	1,138,358	79,673,677
CarMax, Inc. (b)	816,379	50,566,515
Foot Locker, Inc.	555,358	25,291,003
Gap, Inc.	978,261	30,521,743
Home Depot, Inc.	5,245,039	934,875,751
L Brands, Inc.	1,110,907	42,447,757
Lowe’s Cos., Inc.	3,743,491	328,491,335
O’Reilly Automotive, Inc. (b)	380,739	94,187,214
Ross Stores, Inc.	1,717,972	133,967,457
Signet Jewelers, Ltd.	107	4,122
Tiffany & Co.	453,983	44,335,980
TJX Cos., Inc.	2,842,531	231,836,828
Tractor Supply Co.	572,503	36,079,139
Ulta Salon Cosmetics & Fragrance, Inc. (b)	259,541	53,016,440
		2,204,145,910

See accompanying notes to financial statements.

11

THE CONSUMER DISCRETIONARY SELECT SECTOR SPDR FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2018 (Unaudited)

Security Description	Shares		Value
TEXTILES, APPAREL & LUXURY GOODS — 5.8%
Hanesbrands, Inc. (a)		1,620,611	$	29,851,655
Michael Kors Holdings, Ltd. (b)		680,791		42,263,505
NIKE, Inc. Class B		5,834,617		387,651,953
PVH Corp.		347,054		52,554,387
Ralph Lauren Corp.		248,711		27,805,890
Tapestry, Inc.		1,273,197		66,982,894
Under Armour, Inc. Class A (a) (b)		. 806,967		13,193,910
Under Armour, Inc. Class C (a) (b)		. 812,451		11,658,672
VF Corp.		1,480,196		109,712,128
				741,674,994
TOTAL COMMON STOCKS (Cost $12,247,701,248)				12,812,179,853
SHORT-TERM INVESTMENTS — 0.4%
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.62% (c) (d)		14,773,061		14,773,061
State Street Navigator Securities Lending Government Money Market Portfolio (c) (e)		38,301,115		38,301,115
TOTAL SHORT-TERM INVESTMENTS (Cost $53,074,176)				53,074,176
TOTAL INVESTMENTS — 100.3%
(Cost $12,300,775,424)				12,865,254,029
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.3)%				(32,162,492	)
NET ASSETS — 100.0%			$	12,833,091,537

(a) All or a portion of the shares of the security are on loan at March 31, 2018.

(b) Non-income producing security.

(c) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended March 31, 2018 are shown in the Affiliate Table below.

(d) The rate shown is the annualized seven-day yield at March 31, 2018.

(e) Investment of cash collateral for securities loaned.

The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of March 31, 2018.

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Common Stocks
Auto Components	$	175,515,688	$	—	$	—	$	175,515,688
Automobiles		433,284,578		—		—		433,284,578
Distributors		111,895,878		—		—		111,895,878
Diversified Consumer Services		24,174,388		—		—		24,174,388
Hotels, Restaurants & Leisure		1,848,422,130		—		—		1,848,422,130
Household Durables		400,025,727		—		—		400,025,727
Internet & Catalog Retail		3,727,149,371		—		—		3,727,149,371
Leisure Equipment & Products		62,712,300		—		—		62,712,300
Media		2,588,365,099		—		—		2,588,365,099
Multiline Retail		494,813,790		—		—		494,813,790
Specialty Retail		2,204,145,910		—		—		2,204,145,910
Textiles, Apparel & Luxury Goods		741,674,994		—		—		741,674,994
Short-Term Investments		53,074,176		—		—		53,074,176
TOTAL INVESTMENTS	$	12,865,254,029	$	—	$	—	$	12,865,254,029

See accompanying notes to financial statements.

12

THE CONSUMER DISCRETIONARY SELECT SECTOR SPDR FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2018 (Unaudited)

Affiliate Table

	Number of Shares Held at 9/30/17		Value at 9/30/17		Cost of Purchases		Proceeds from Shares Sold		Realized Gain (Loss)		Change in Unrealized Appreciation/ Depreciation		Number of Shares Held at 3/31/18		Value at 3/31/18		Dividend Income		Capital Gains Distributions
State Street Institutional U.S. Government Money Market Fund, Class G Shares		20,785,167	$	20,785,167	$	158,960,331	$	164,972,437	$	—	$	—		14,773,061	$	14,773,061	$	119,775	$	—
State Street Navigator Securities Lending Government Money Market Portfolio		24,093,725		24,093,725		227,450,772		213,243,382		—		—		38,301,115		38,301,115		235,686		—
Total			$	44,878,892	$	386,411,103	$	378,215,819	$	—	$	—			$	53,074,176	$	355,461	$	—

See accompanying notes to financial statements.

13

THE CONSUMER STAPLES SELECT SECTOR SPDR FUND

SCHEDULE OF INVESTMENTS

March 31, 2018 (Unaudited)

Security Description	Shares		Value
COMMON STOCKS — 99.6%
BEVERAGES — 25.5%
Brown-Forman Corp. Class B		1,413,391	$	76,888,470
Coca-Cola Co.		19,468,156		845,502,015
Constellation Brands, Inc. Class A		924,068		210,613,579
Dr. Pepper Snapple Group, Inc.		970,643		114,904,718
Molson Coors Brewing Co. Class B		998,790		75,238,851
Monster Beverage Corp. (a)		2,230,187		127,588,998
PepsiCo, Inc.		7,211,474		787,132,387
				��
				2,237,869,018
FOOD & STAPLES RETAILING — 22.5%
Costco Wholesale Corp.		2,158,729		406,769,306
CVS Health Corp.		5,466,267		340,056,470
Kroger Co.		4,756,289		113,865,559
Sysco Corp.		2,589,668		155,276,493
Walmart, Inc.		7,362,418		655,034,329
Walgreens Boots Alliance, Inc.		4,593,441		300,732,582
				1,971,734,739
FOOD PRODUCTS — 16.0%
Archer-Daniels-Midland Co.		3,017,738		130,879,297
Campbell Soup Co. (b)		1,041,184		45,093,679
Conagra Brands, Inc.		2,165,306		79,856,485
General Mills, Inc.		3,068,382		138,261,293
Hershey Co.		760,838		75,292,529
Hormel Foods Corp. (b)		1,461,315		50,152,331
J.M. Smucker Co.		613,600		76,092,536
Kellogg Co. (b)		1,344,182		87,385,272
Kraft Heinz Co.		3,219,331		200,532,128
McCormick & Co., Inc.		654,388		69,620,339
Mondelez International, Inc. Class A		8,015,785		334,498,708
Tyson Foods, Inc. Class A		1,605,589		117,513,059
				1,405,177,656
HOUSEHOLD PRODUCTS — 19.6%
Church & Dwight Co., Inc.		1,319,547		66,452,387
Clorox Co.		698,477		92,974,273
Colgate-Palmolive Co.		4,717,229		338,130,975
Kimberly-Clark Corp.		1,890,632		208,215,302
Procter & Gamble Co.		12,787,535		1,013,795,775
				1,719,568,712
PERSONAL PRODUCTS — 2.6%
Coty, Inc. Class A (b)		2,555,521		46,766,034
Estee Lauder Cos., Inc. Class A		1,211,163		181,335,325
				228,101,359
TOBACCO — 13.4%
Altria Group, Inc.		6,188,077		385,640,959
Philip Morris International, Inc.		7,875,785		782,853,029
				1,168,493,988
TOTAL COMMON STOCKS (Cost $9,694,502,256)				8,730,945,472
SHORT-TERM INVESTMENT — 0.0% (c)
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.62% (d) (e) (Cost $6,115,609)		6,115,609		6,115,609
TOTAL INVESTMENTS — 99.6%
(Cost $9,700,617,865)				8,737,061,081
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.4%				31,543,767
NET ASSETS — 100.0%			$	8,768,604,848

(a) Non-income producing security.

(b) All or a portion of the shares of the security are on loan at March 31, 2018.

(c) Amount is less than 0.05% of net assets.

(d) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended March 31, 2018 are shown in the Affiliate Table below.

(e) The rate shown is the annualized seven-day yield at March 31, 2018.

The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of March 31, 2018.

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Common Stocks
Beverages	$	2,237,869,018	$	—	$	—	$	2,237,869,018
Food & Staples Retailing		1,971,734,739		—		—		1,971,734,739
Food Products		1,405,177,656		—		—		1,405,177,656
Household Products		1,719,568,712		—		—		1,719,568,712
Personal Products		228,101,359		—		—		228,101,359
Tobacco		1,168,493,988		—		—		1,168,493,988
Short-Term Investment		6,115,609		—		—		6,115,609
TOTAL INVESTMENTS	$	8,737,061,081	$	—	$	—	$	8,737,061,081

See accompanying notes to financial statements.

14

THE CONSUMER STAPLES SELECT SECTOR SPDR FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2018 (Unaudited)

Affiliate Table

	Number of Shares Held at 9/30/17		Value at 9/30/17		Cost of Purchases		Proceeds from Shares Sold		Realized Gain (Loss)		Change in Unrealized Appreciation/ Depreciation		Number of Shares Held at 3/31/18		Value at 3/31/18		Dividend Income		Capital Gains Distributions
State Street Institutional U.S. Government Money Market Fund, Class G Shares		3,856,474	$	3,856,474	$	193,488,268	$	191,229,133	$	—	$	—		6,115,609	$	6,115,609	$	85,962	$	—
State Street Navigator Securities Lending Government Money Market Portfolio		—		—		76,996,296		76,996,296		—		—		—		—		2,372		—
Total			$	3,856,474	$	270,484,564	$	268,225,429	$	—	$	—			$	6,115,609	$	88,334	$	—

See accompanying notes to financial statements.

15

THE ENERGY SELECT SECTOR SPDR FUND

SCHEDULE OF INVESTMENTS

March 31, 2018 (Unaudited)

Security Description	Shares		Value
COMMON STOCKS — 99.8%
ENERGY EQUIPMENT & SERVICES — 14.0%
Baker Hughes a GE Co.		5,867,557	$	162,942,058
Halliburton Co.		12,117,861		568,812,395
Helmerich & Payne, Inc. (a)		1,511,281		100,590,863
National Oilwell Varco, Inc.		5,277,066		194,248,799
Schlumberger, Ltd.		18,904,375		1,224,625,413
TechnipFMC PLC		6,088,044		179,292,896
				2,430,512,424
OIL, GAS & CONSUMABLE FUELS — 85.8%
Anadarko Petroleum Corp.		7,598,672		459,035,776
Andeavor		1,964,271		197,527,092
Apache Corp. (a)		5,296,871		203,823,596
Cabot Oil & Gas Corp.		6,398,085		153,426,078
Chevron Corp.		26,094,900		2,975,862,396
Cimarex Energy Co.		1,325,169		123,903,302
Concho Resources, Inc. (b)		2,070,091		311,196,780
ConocoPhillips		14,275,421		846,389,711
Devon Energy Corp.		7,305,974		232,256,913
EOG Resources, Inc.		7,647,036		805,003,480
EQT Corp.		3,399,561		161,513,143
Exxon Mobil Corp.		53,901,701		4,021,605,912
Hess Corp.		3,718,365		188,223,636
Kinder Morgan, Inc.		26,347,175		396,788,455
Marathon Oil Corp.		11,798,259		190,305,918
Marathon Petroleum Corp.		6,587,587		481,618,486
Newfield Exploration Co. (b)		2,772,436		67,702,887
Noble Energy, Inc.		6,834,634		207,089,410
Occidental Petroleum Corp.		10,626,603		690,304,131
ONEOK, Inc.		5,702,441		324,582,942
Phillips 66		5,830,950		559,304,724
Pioneer Natural Resources Co.		2,365,100		406,276,878
Range Resources Corp. (a)		3,138,409		45,632,467
Valero Energy Corp.		6,015,821		558,087,714
Williams Cos., Inc.		11,489,290		285,623,749
				14,893,085,576
TOTAL COMMON STOCKS (Cost $20,379,601,871)				17,323,598,000
SHORT-TERM INVESTMENTS — 0.4%
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.62% (c) (d)		17,135,610		17,135,610
State Street Navigator Securities Lending Government Money Market Portfolio (c) (e)		50,046,810		50,046,810
TOTAL SHORT-TERM INVESTMENTS (Cost $67,182,420)				67,182,420
TOTAL INVESTMENTS — 100.2%
(Cost $20,446,784,291)				17,390,780,420
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.2)%				(34,282,301	)
NET ASSETS — 100.0%			$	17,356,498,119

(a) All or a portion of the shares of the security are on loan at March 31, 2018.

(b) Non-income producing security.

(c) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended March 31, 2018 are shown in the Affiliate Table below.

(d) The rate shown is the annualized seven-day yield at March 31, 2018.

(e) Investment of cash collateral for securities loaned.

The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of March 31, 2018.

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Common Stocks
Energy Equipment & Services	$	2,430,512,424	$	—	$	—	$	2,430,512,424
Oil, Gas & Consumable Fuels		14,893,085,576		—		—		14,893,085,576
Short-Term Investments		67,182,420		—		—		67,182,420
TOTAL INVESTMENTS	$	17,390,780,420	$	—	$	—	$	17,390,780,420

See accompanying notes to financial statements.

16

THE ENERGY SELECT SECTOR SPDR FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2018 (Unaudited)

Affiliate Table

	Number of Shares Held at 9/30/17		Value at 9/30/17		Cost of Purchases		Proceeds from Shares Sold		Realized Gain (Loss)		Change in Unrealized Appreciation/ Depreciation		Number of Shares Held at 3/31/18		Value at 3/31/18		Dividend Income		Capital Gains Distributions
State Street Institutional U.S. Government Money Market Fund, Class G Shares		11,263,378	$	11,263,378	$	292,034,320	$	286,162,088	$	—	$	—		17,135,610	$	17,135,610	$	155,719	$	—
State Street Navigator Securities Lending Government Money Market Portfolio		42,538,543		42,538,543		326,930,374		319,422,107		—		—		50,046,810		50,046,810		325,828		—
Total			$	53,801,921	$	618,964,694	$	605,584,195	$	—	$	—			$	67,182,420	$	481,547	$	—

See accompanying notes to financial statements.

17

THE FINANCIAL SELECT SECTOR SPDR FUND

SCHEDULE OF INVESTMENTS

March 31, 2018 (Unaudited)

Security Description	Shares		Value
COMMON STOCKS — 99.8%
BANKS — 44.1%
Bank of America Corp.		92,297,331	$	2,767,996,957
BB&T Corp.		7,499,480		390,272,939
Citigroup, Inc.		24,789,289		1,673,277,008
Citizens Financial Group, Inc.		4,701,310		197,360,994
Comerica, Inc.		1,667,486		159,961,932
Fifth Third Bancorp		6,692,975		212,501,956
Huntington Bancshares, Inc.		10,639,382		160,654,668
JPMorgan Chase & Co.		33,110,290		3,641,138,591
KeyCorp		10,232,864		200,052,491
M&T Bank Corp.		1,448,924		267,123,629
People’s United Financial, Inc.		3,349,416		62,500,103
PNC Financial Services Group, Inc.		4,549,878		688,123,549
Regions Financial Corp.		10,826,702		201,160,123
SunTrust Banks, Inc.		4,518,037		307,407,237
SVB Financial Group (a)		517,018		124,089,490
US Bancorp		15,141,560		764,648,780
Wells Fargo & Co.		42,353,442		2,219,743,895
Zions Bancorp		1,895,835		99,967,380
				14,137,981,722
CAPITAL MARKETS — 21.3%
Affiliated Managers Group, Inc.		525,906		99,701,260
Ameriprise Financial, Inc.		1,411,895		208,875,746
Bank of New York Mellon Corp.		9,741,031		501,955,328
BlackRock, Inc.		1,193,921		646,770,884
Cboe Global Markets, Inc.		1,087,440		124,076,904
Charles Schwab Corp.		11,563,770		603,860,069
CME Group, Inc.		3,284,094		531,169,364
E*TRADE Financial Corp. (a)		2,569,535		142,377,934
Franklin Resources, Inc.		3,140,603		108,916,112
Goldman Sachs Group, Inc.		3,409,491		858,714,403
Intercontinental Exchange, Inc.		5,618,308		407,439,696
Invesco, Ltd.		3,928,709		125,757,975
Moody’s Corp.		1,604,141		258,747,943
Morgan Stanley		13,311,341		718,279,960
Nasdaq, Inc.		1,124,869		96,986,205
Northern Trust Corp.		2,052,280		211,651,636
Raymond James Financial, Inc.		1,250,821		111,835,906
S&P Global, Inc.		2,449,349		467,972,620
State Street Corp. (b)		3,547,394		353,781,604
T Rowe Price Group, Inc.		2,360,712		254,886,075
				6,833,757,624
CONSUMER FINANCE — 5.0%
American Express Co.		6,951,412		648,427,711
Capital One Financial Corp.		4,692,291		449,615,324
Discover Financial Services		3,421,929		246,139,353
Navient Corp.		2,537,595		33,293,247
Synchrony Financial		6,892,744		231,113,706
				1,608,589,341
DIVERSIFIED FINANCIAL SERVICES — 11.8%
Berkshire Hathaway, Inc. Class B (a)		18,570,524		3,704,448,127
Leucadia National Corp.		3,024,996		68,758,159
				3,773,206,286
INSURANCE — 17.6%
Aflac, Inc.		7,519,252		329,042,467
Allstate Corp.		3,419,644		324,182,251
American International Group, Inc.		8,673,847		472,030,754
Aon PLC		2,374,935		333,274,629
Arthur J Gallagher & Co.		1,750,462		120,309,253
Assurant, Inc.		506,314		46,282,163
Brighthouse Financial, Inc. (a) (c)		924,510		47,519,814
Chubb, Ltd.		4,478,139		612,475,071
Cincinnati Financial Corp.		1,439,853		106,923,484
Everest Re Group, Ltd.		394,018		101,191,703
Hartford Financial Services Group, Inc.		3,444,249		177,447,708
Lincoln National Corp.		2,105,918		153,858,369
Loews Corp.		2,600,971		129,346,288
Marsh & McLennan Cos., Inc.		4,897,867		404,514,836
MetLife, Inc.		10,000,983		458,945,110
Principal Financial Group, Inc.		2,599,520		158,336,763
Progressive Corp.		5,618,697		342,347,208
Prudential Financial, Inc.		4,071,626		421,616,872
Torchmark Corp.		1,023,680		86,163,146
Travelers Cos., Inc.		2,618,905		363,661,148
Unum Group		2,134,542		101,625,545
Willis Towers Watson PLC		1,275,033		194,047,272
XL Group, Ltd.		2,479,200		137,000,592
				5,622,142,446
TOTAL COMMON STOCKS (Cost $29,783,715,094)				31,975,677,419
SHORT-TERM INVESTMENT — 0.1%
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.62% (d) (e) (Cost $41,853,008)		41,853,008		41,853,008
TOTAL INVESTMENTS — 99.9%
(Cost $29,825,568,102)				32,017,530,427
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1%				39,744,097
NET ASSETS — 100.0%			$	32,057,274,524

(a) Non-income producing security.

(b) The Fund invested in an affiliated entity, State Street Corp. Amounts related to these transactions during the period ended March 31, 2018 are shown in the Affiliate Table below.

(c) All or a portion of the shares of the security are on loan at March 31, 2018.

(d) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended March 31, 2018 are shown in the Affiliate Table below.

(e) The rate shown is the annualized seven-day yield at March 31, 2018.

See accompanying notes to financial statements.

18

THE FINANCIAL SELECT SECTOR SPDR FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2018 (Unaudited)

The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of March 31, 2018.

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Common Stocks
Banks	$	14,137,981,722	$	—	$	—	$	14,137,981,722
Capital Markets		6,833,757,624		—		—		6,833,757,624
Consumer Finance		1,608,589,341		—		—		1,608,589,341
Diversified Financial Services		3,773,206,286		—		—		3,773,206,286
Insurance		5,622,142,446		—		—		5,622,142,446
Short-Term Investment		41,853,008		—		—		41,853,008
TOTAL INVESTMENTS	$	32,017,530,427	$	—	$	—	$	32,017,530,427

Affiliate Table

	Number of Shares Held at 9/30/17		Value at 9/30/17		Cost of Purchases		Proceeds from Shares Sold		Realized Gain (Loss)		Change in Unrealized Appreciation/ Depreciation			Number of Shares Held at 3/31/18		Value at 3/31/18		Dividend Income		Capital Gains Distributions
State Street Corp.		3,247,550	$	310,270,927	$	132,922,218	$	103,928,704	$	22,831,776	$	(8,314,613	)		3,547,394	$	353,781,604	$	2,993,750	$	—
State Street Institutional U.S. Government Money Market Fund, Class G Shares		39,927,132		39,927,132		418,094,481		416,168,605		—		—			41,853,008		41,853,008		345,541		—
Total			$	350,198,059	$	551,016,699	$	520,097,309	$	22,831,776	$	(8,314,613	)			$	395,634,612	$	3,339,291	$	—

See accompanying notes to financial statements.

19

THE HEALTH CARE SELECT SECTOR SPDR FUND

SCHEDULE OF INVESTMENTS

March 31, 2018 (Unaudited)

Security Description	Shares		Value
COMMON STOCKS — 99.8%
BIOTECHNOLOGY — 19.3%
AbbVie, Inc.		7,859,090	$	743,862,868
Alexion Pharmaceuticals, Inc. (a)		1,096,358		122,200,063
Amgen, Inc.		3,296,771		562,033,520
Biogen, Inc. (a)		1,043,080		285,616,165
Celgene Corp. (a)		3,709,057		330,884,975
Gilead Sciences, Inc.		6,458,185		486,882,567
Incyte Corp. (a)		859,281		71,603,886
Regeneron Pharmaceuticals, Inc. (a)		380,655		131,082,356
Vertex Pharmaceuticals, Inc. (a)		1,251,707		204,003,207
				2,938,169,607
HEALTH CARE EQUIPMENT & SUPPLIES — 20.8%
Abbott Laboratories		8,576,195		513,885,604
Align Technology, Inc. (a)		353,957		88,889,221
Baxter International, Inc.		2,450,193		159,360,553
Becton Dickinson and Co.		1,312,655		284,452,338
Boston Scientific Corp. (a)		6,802,761		185,851,431
Cooper Cos., Inc.		240,113		54,940,256
Danaher Corp.		3,026,412		296,315,999
DENTSPLY SIRONA, Inc.		1,126,993		56,699,018
Edwards Lifesciences Corp. (a)		1,038,541		144,897,240
Hologic, Inc. (a)		1,352,658		50,535,303
IDEXX Laboratories, Inc. (a)		429,601		82,221,335
Intuitive Surgical, Inc. (a)		553,658		228,566,632
Medtronic PLC		6,673,286		535,331,003
ResMed, Inc.		696,162		68,551,072
Stryker Corp.		1,588,531		255,626,409
Varian Medical Systems, Inc. (a)		449,554		55,137,798
Zimmer Biomet Holdings, Inc.		1,009,888		110,118,188
				3,171,379,400
HEALTH CARE PROVIDERS & SERVICES — 19.7%
Aetna, Inc.		1,612,086		272,442,534
AmerisourceBergen Corp.		801,568		69,103,177
Anthem, Inc.		1,260,813		277,000,616
Cardinal Health, Inc.		1,557,726		97,638,266
Centene Corp. (a)		855,413		91,417,987
Cigna Corp.		1,197,582		200,882,405
DaVita, Inc. (a)		717,903		47,338,524
Envision Healthcare Corp. (a)		596,661		22,929,682
Express Scripts Holding Co. (a)		2,782,955		192,246,532
HCA Healthcare, Inc.		1,390,105		134,840,185
Henry Schein, Inc. (a) (b)		757,838		50,934,292
Humana, Inc.		679,118		182,567,292
Laboratory Corp. of America Holdings (a)		499,589		80,808,521
McKesson Corp.		1,017,447		143,327,759
Quest Diagnostics, Inc.		668,818		67,082,445
UnitedHealth Group, Inc.		4,770,854		1,020,962,756
Universal Health Services, Inc. Class B		430,698		50,998,950
				3,002,521,923
HEALTH CARE TECHNOLOGY — 0.6%
Cerner Corp. (a)		1,549,442		89,867,636
LIFE SCIENCES TOOLS & SERVICES — 6.2%
Agilent Technologies, Inc.		1,591,009		106,438,502
Illumina, Inc. (a)		724,633		171,317,734
IQVIA Holdings, Inc. (a)		714,257		70,075,754
Mettler-Toledo International, Inc. (a)		125,336		72,071,960
PerkinElmer, Inc.		540,857		40,953,692
Thermo Fisher Scientific, Inc.		1,980,856		408,967,530
Waters Corp. (a)		390,371		77,547,199
				947,372,371
PHARMACEUTICALS — 33.2%
Allergan PLC		1,628,916		274,130,274
Bristol-Myers Squibb Co.		8,049,031		509,101,211
Eli Lilly & Co.		4,754,441		367,851,100
Johnson & Johnson		13,227,157		1,695,060,169
Merck & Co., Inc.		13,293,349		724,088,720
Mylan NV (a)		2,538,373		104,504,816
Nektar Therapeutics (a)		790,244		83,971,327
Perrigo Co. PLC		645,917		53,830,723
Pfizer, Inc.		29,348,485		1,041,577,733
Zoetis, Inc.		2,402,314		200,617,242
				5,054,733,315
TOTAL COMMON STOCKS (Cost $15,631,609,880)				15,204,044,252
SHORT-TERM INVESTMENT — 0.1%
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.62% (c) (d) (Cost $14,362,110)		14,362,110		14,362,110
TOTAL INVESTMENTS — 99.9%
(Cost $15,645,971,990)				15,218,406,362
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1%				11,751,181
NET ASSETS — 100.0%			$	15,230,157,543

(a) Non-income producing security.

(b) All or a portion of the shares of the security are on loan at March 31, 2018.

(c) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended March 31, 2018 are shown in the Affiliate Table below.

(d) The rate shown is the annualized seven-day yield at March 31, 2018.

See accompanying notes to financial statements.

20

THE HEALTH CARE SELECT SECTOR SPDR FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2018 (Unaudited)

The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of March 31, 2018.

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Common Stocks
Biotechnology	$	2,938,169,607	$	—	$	—	$	2,938,169,607
Health Care Equipment & Supplies		3,171,379,400		—		—		3,171,379,400
Health Care Providers & Services		3,002,521,923		—		—		3,002,521,923
Health Care Technology		89,867,636		—		—		89,867,636
Life Sciences Tools & Services		947,372,371		—		—		947,372,371
Pharmaceuticals		5,054,733,315		—		—		5,054,733,315
Short-Term Investment		14,362,110		—		—		14,362,110
TOTAL INVESTMENTS	$	15,218,406,362	$	—	$	—	$	15,218,406,362

Affiliate Table

	Number of Shares Held at 9/30/17		Value at 9/30/17		Cost of Purchases		Proceeds from Shares Sold		Realized Gain (Loss)		Change in Unrealized Appreciation/ Depreciation		Number of Shares Held at 3/31/18		Value at 3/31/18		Dividend Income		Capital Gains Distributions
State Street Institutional U.S. Government Money Market Fund, Class G Shares		10,549,299	$	10,549,299	$	236,691,072	$	232,878,261	$	—	$	—		14,362,110	$	14,362,110	$	188,142	$	—
State Street Navigator Securities Lending Government Money Market Portfolio		—		—		838,296		838,296		—		—		—		—		51		—
Total			$	10,549,299	$	237,529,368	$	233,716,557	$	—	$	—			$	14,362,110	$	188,193	$	—

See accompanying notes to financial statements.

21

THE INDUSTRIAL SELECT SECTOR SPDR FUND

SCHEDULE OF INVESTMENTS

March 31, 2018 (Unaudited)

Security Description	Shares		Value
COMMON STOCKS — 99.8%
AEROSPACE & DEFENSE — 28.3%
Arconic, Inc.		2,349,742	$	54,138,056
Boeing Co.		3,056,033		1,002,012,100
General Dynamics Corp.		1,524,480		336,757,632
Harris Corp.		656,587		105,894,351
Huntington Ingalls Industries, Inc.		251,110		64,726,113
L3 Technologies, Inc.		432,691		89,999,728
Lockheed Martin Corp.		1,372,441		463,788,987
Northrop Grumman Corp.		961,350		335,626,512
Raytheon Co.		1,592,667		343,729,392
Rockwell Collins, Inc.		901,622		121,583,727
Textron, Inc.		1,440,495		84,945,990
TransDigm Group, Inc.		268,471		82,404,489
United Technologies Corp.		4,110,722		517,211,042
				3,602,818,119
AIR FREIGHT & LOGISTICS — 6.8%
C.H. Robinson Worldwide, Inc.		773,001		72,437,924
Expeditors International of Washington, Inc.		976,298		61,799,663
FedEx Corp.		1,361,152		326,826,207
United Parcel Service, Inc. Class B		3,805,297		398,262,384
				859,326,178
AIRLINES — 4.9%
Alaska Air Group, Inc. (a)		680,340		42,153,866
American Airlines Group, Inc.		2,328,477		120,987,665
Delta Air Lines, Inc.		3,596,319		197,114,244
Southwest Airlines Co.		2,985,366		171,001,765
United Continental Holdings, Inc. (b)		1,337,231		92,897,438
				624,154,978
BUILDING PRODUCTS — 3.1%
Allegion PLC		526,490		44,904,332
AO Smith Corp.		804,480		51,156,883
Fortune Brands Home & Security, Inc.		840,228		49,481,027
Johnson Controls International PLC		5,122,205		180,506,505
Masco Corp.		1,729,339		69,934,469
				395,983,216
COMMERCIAL SERVICES & SUPPLIES — 3.0%
Cintas Corp.		475,114		81,044,946
Republic Services, Inc.		1,245,437		82,485,293
Stericycle, Inc. (b)		473,077		27,689,197
Waste Management, Inc.		2,202,585		185,281,450
				376,500,886
CONSTRUCTION & ENGINEERING — 0.9%
Fluor Corp.		766,804		43,876,525
Jacobs Engineering Group, Inc.		666,090		39,399,223
Quanta Services, Inc. (b)		850,319		29,208,458
				112,484,206
ELECTRICAL EQUIPMENT — 5.4%
Acuity Brands, Inc. (a)		233,134		32,449,921
AMETEK, Inc.		1,279,438		97,198,905
Eaton Corp. PLC		2,423,930		193,696,246
Emerson Electric Co.		3,506,250		239,476,875
Rockwell Automation, Inc.		702,589		122,391,004
				685,212,951
INDUSTRIAL CONGLOMERATES — 16.8%
3M Co.		3,291,753		722,605,619
General Electric Co.		48,267,578		650,646,951
Honeywell International, Inc.		4,153,454		600,215,638
Roper Technologies, Inc.		568,700		159,628,403
				2,133,096,611
MACHINERY — 16.5%
Caterpillar, Inc.		3,301,285		486,543,383
Cummins, Inc.		847,050		137,298,334
Deere & Co.		1,787,141		277,578,740
Dover Corp.		850,348		83,521,181
Flowserve Corp.		723,445		31,346,872
Fortive Corp.		1,689,856		130,997,637
Illinois Tool Works, Inc.		1,697,165		265,877,869
Ingersoll-Rand PLC		1,381,944		118,170,031
PACCAR, Inc.		1,940,520		128,404,208
Parker-Hannifin Corp.		731,966		125,188,145
Pentair PLC		916,237		62,423,227
Snap-on, Inc. (a)		313,711		46,284,921
Stanley Black & Decker, Inc.		848,178		129,940,870
Xylem, Inc.		994,989		76,534,554
				2,100,109,972
PROFESSIONAL SERVICES — 2.9%
Equifax, Inc.		659,329		77,675,550
IHS Markit, Ltd. (b)		2,001,995		96,576,239
Nielsen Holdings PLC		1,854,233		58,946,067
Robert Half International, Inc.		681,406		39,446,593
Verisk Analytics, Inc. (b)		857,901		89,221,704
				361,866,153
ROAD & RAIL — 9.3%
CSX Corp.		4,886,332		272,217,556
JB Hunt Transport Services, Inc.		473,382		55,456,701
Kansas City Southern		569,980		62,612,303
Norfolk Southern Corp.		1,565,950		212,624,691
Union Pacific Corp.		4,346,008		584,233,855
				1,187,145,106
TRADING COMPANIES & DISTRIBUTORS — 1.9%
Fastenal Co. (a)		1,590,894		86,846,903
United Rentals, Inc. (b)		467,414		80,736,420
W.W. Grainger, Inc.		280,625		79,212,019
				246,795,342
TOTAL COMMON STOCKS (Cost $12,936,134,823)				12,685,493,718
SHORT-TERM INVESTMENTS — 0.3%
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.62% (c) (d)		15,089,786		15,089,786

See accompanying notes to financial statements.

22

THE INDUSTRIAL SELECT SECTOR SPDR FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2018 (Unaudited)

Security Description	Shares		Value
State Street Navigator Securities Lending Government Money Market Portfolio (c) (e)		25,677,260	$	25,677,260
TOTAL SHORT-TERM INVESTMENTS (Cost $40,767,046)				40,767,046
TOTAL INVESTMENTS — 100.1%
(Cost $12,976,901,869)				12,726,260,764
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.1)%				(14,464,999	)
NET ASSETS — 100.0%			$	12,711,795,765

(a) All or a portion of the shares of the security are on loan at March 31, 2018.

(b) Non-income producing security.

(c) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended March 31, 2018 are shown in the Affiliate Table below.

(d) The rate shown is the annualized seven-day yield at March 31, 2018.

(e) Investment of cash collateral for securities loaned.

The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of March 31, 2018.

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Common Stocks
Aerospace & Defense	$	3,602,818,119	$	—	$	—	$	3,602,818,119
Air Freight & Logistics		859,326,178		—		—		859,326,178
Airlines		624,154,978		—		—		624,154,978
Building Products		395,983,216		—		—		395,983,216
Commercial Services & Supplies		376,500,886		—		—		376,500,886
Construction & Engineering		112,484,206		—		—		112,484,206
Electrical Equipment		685,212,951		—		—		685,212,951
Industrial Conglomerates		2,133,096,611		—		—		2,133,096,611
Machinery		2,100,109,972		—		—		2,100,109,972
Professional Services		361,866,153		—		—		361,866,153
Road & Rail		1,187,145,106		—		—		1,187,145,106
Trading Companies & Distributors		246,795,342		—		—		246,795,342
Short-Term Investments		40,767,046		—		—		40,767,046
TOTAL INVESTMENTS	$	12,726,260,764	$	—	$	—	$	12,726,260,764

Affiliate Table

	Number of Shares Held at 9/30/17		Value at 9/30/17		Cost of Purchases		Proceeds from Shares Sold		Realized Gain (Loss)		Change in Unrealized Appreciation/ Depreciation		Number of Shares Held at 3/31/18		Value at 3/31/18		Dividend Income		Capital Gains Distributions
State Street Institutional U.S. Government Money Market Fund, Class G Shares		15,980,490	$	15,980,490	$	136,754,490	$	137,645,194	$	—	$	—		15,089,786	$	15,089,786	$	152,686	$	—
State Street Navigator Securities Lending Government Money Market Portfolio		—		—		27,298,208		1,620,948		—		—		25,677,260		25,677,260		454		—
Total			$	15,980,490	$	164,052,698	$	139,266,142	$	—	$	—			$	40,767,046	$	153,140	$	—

See accompanying notes to financial statements.

23

THE MATERIALS SELECT SECTOR SPDR FUND

SCHEDULE OF INVESTMENTS

March 31, 2018 (Unaudited)

Security Description	Shares		Value
COMMON STOCKS — 99.9%
CHEMICALS — 71.9%
Air Products & Chemicals, Inc.		1,608,331	$	255,772,879
Albemarle Corp. (a)		838,778		77,788,272
CF Industries Holdings, Inc.		1,768,411		66,722,147
DowDuPont, Inc.		15,857,825		1,010,302,031
Eastman Chemical Co.		1,083,864		114,434,361
Ecolab, Inc.		1,661,207		227,701,643
FMC Corp.		1,018,415		77,980,037
International Flavors & Fragrances, Inc.		598,418		81,929,408
LyondellBasell Industries NV Class A		2,376,647		251,164,055
Monsanto Co.		3,238,073		377,850,738
Mosaic Co.		2,657,814		64,531,724
PPG Industries, Inc.		1,929,093		215,286,779
Praxair, Inc.		2,109,312		304,373,722
Sherwin-Williams Co.		532,083		208,640,386
				3,334,478,182
CONSTRUCTION MATERIALS — 4.6%
Martin Marietta Materials, Inc.		476,136		98,702,993
Vulcan Materials Co.		1,004,355		114,667,210
				213,370,203
CONTAINERS & PACKAGING — 13.0%
Avery Dennison Corp.		666,682		70,834,962
Ball Corp.		2,653,862		105,384,860
International Paper Co.		3,130,460		167,260,478
Packaging Corp. of America		715,327		80,617,353
Sealed Air Corp.		1,268,984		54,299,825
WestRock Co.		1,933,945		124,101,251
				602,498,729
METALS & MINING — 10.4%
Freeport-McMoRan, Inc. (b)		10,207,581		179,347,198
Newmont Mining Corp.		4,044,277		158,009,903
Nucor Corp.		2,410,112		147,233,742
				484,590,843
TOTALCOMMONSTOCKS (Cost $4,940,232,810)				4,634,937,957
SHORT-TERM INVESTMENT — 0.0% (c)
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.62% (d) (e) (Cost $2,067,107)		2,067,107		2,067,107
TOTAL INVESTMENTS — 99.9%
(Cost $4,942,299,917)				4,637,005,064
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1%				4,443,925
NET ASSETS — 100.0%			$	4,641,448,989

(a) All or a portion of the shares of the security are on loan at March 31, 2018.

(b) Non-income producing security.

(c) Amount is less than 0.05% of net assets.

(d) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended March 31, 2018 are shown in the Affiliate Table below.

(e) The rate shown is the annualized seven-day yield at March 31, 2018.

The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of March 31, 2018.

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Common Stocks
Chemicals	$	3,334,478,182	$	—	$	—	$	3,334,478,182
Construction Materials		213,370,203		—		—		213,370,203
Containers & Packaging		602,498,729		—		—		602,498,729
Metals & Mining		484,590,843		—		—		484,590,843
Short-Term Investment		2,067,107		—		—		2,067,107
TOTAL INVESTMENTS	$	4,637,005,064	$	—	$	—	$	4,637,005,064

Affiliate Table

	Number of Shares Held at 9/30/17		Value at 9/30/17		Cost of Purchases		Proceeds from Shares Sold		Realized Gain (Loss)		Change in Unrealized Appreciation/ Depreciation		Number of Shares Held at 3/31/18		Value at 3/31/18		Dividend Income		Capital Gains Distributions
State Street Institutional U.S. Government Money Market Fund, Class G Shares		4,874,539	$	4,874,539	$	56,536,663	$	59,344,095	$	—	$	—		2,067,107	$	2,067,107	$	43,240	$	—

See accompanying notes to financial statements.

24

THE REAL ESTATE SELECT SECTOR SPDR FUND

SCHEDULE OF INVESTMENTS

March 31, 2018 (Unaudited)

Security Description	Shares		Value
COMMON STOCKS — 99.5%
REAL ESTATE INVESTMENT TRUSTS (REITS) — 97.2%
Alexandria Real Estate Equities, Inc. REIT		379,762	$	47,428,476
American Tower Corp. REIT		1,653,423		240,308,499
Apartment Investment & Management Co. Class A REIT		590,199		24,050,609
AvalonBay Communities, Inc. REIT		518,029		85,195,049
Boston Properties, Inc. REIT		578,976		71,341,423
Crown Castle International Corp. REIT		1,555,321		170,478,735
Digital Realty Trust, Inc. REIT		770,714		81,217,841
Duke Realty Corp. REIT		1,339,231		35,462,837
Equinix, Inc. REIT		297,165		124,256,573
Equity Residential REIT		1,381,141		85,105,908
Essex Property Trust, Inc. REIT		247,713		59,619,565
Extra Space Storage, Inc. REIT		472,817		41,305,293
Federal Realty Investment Trust REIT		275,215		31,955,214
GGP, Inc. REIT		2,362,901		48,344,955
HCP, Inc. REIT		1,761,005		40,908,146
Host Hotels & Resorts, Inc. REIT		2,754,089		51,336,219
Iron Mountain, Inc. REIT		1,055,786		34,693,128
Kimco Realty Corp. REIT		1,596,019		22,982,674
Macerich Co. REIT		406,823		22,790,224
Mid-America Apartment Communities, Inc. REIT		426,232		38,889,408
Prologis, Inc. REIT		1,999,660		125,958,583
Public Storage REIT		562,004		112,619,982
Realty Income Corp. REIT (a)		1,066,306		55,160,009
Regency Centers Corp. REIT		557,407		32,875,865
SBA Communications Corp. REIT (b)		437,122		74,712,892
Simon Property Group, Inc. REIT		1,167,249		180,164,883
SL Green Realty Corp. REIT		338,899		32,815,590
UDR, Inc. REIT		1,005,967		35,832,545
Ventas, Inc. REIT		1,336,233		66,183,621
Vornado Realty Trust REIT		648,589		43,650,040
Welltower, Inc. REIT		1,389,389		75,624,443
Weyerhaeuser Co. REIT		2,833,158		99,160,530
				2,292,429,759
REAL ESTATE MANAGEMENT & DEVELOPMENT — 2.3%
CBRE Group, Inc. Class A (b)		1,133,534		53,525,475
TOTALCOMMONSTOCKS (Cost $2,569,721,731)				2,345,955,234
SHORT-TERM INVESTMENT — 0.2%
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.62% (c) (d) (Cost $4,111,289)		4,111,289		4,111,289
TOTAL INVESTMENTS — 99.7%
(Cost $2,573,833,020)				2,350,066,523
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.3%				7,601,800
NET ASSETS — 100.0%			$	2,357,668,323

(a) All or a portion of the shares of the security are on loan at March 31, 2018.

(b) Non-income producing security.

(c) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended March 31, 2018 are shown in the Affiliate Table below.

(d) The rate shown is the annualized seven-day yield at March 31, 2018.

REIT = Real Estate Investment Trust

The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of March 31, 2018.

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Common Stocks
Real Estate Investment Trusts (REITs)	$	2,292,429,759	$	—	$	—	$	2,292,429,759
Real Estate Management & Development		53,525,475		—		—		53,525,475
Short-Term Investment		4,111,289		—		—		4,111,289
TOTAL INVESTMENTS	$	2,350,066,523	$	—	$	—	$	2,350,066,523

See accompanying notes to financial statements.

25

THE REAL ESTATE SELECT SECTOR SPDR FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2018 (Unaudited)

Affiliate Table

	Number of Shares Held at 9/30/17		Value at 9/30/17		Cost of Purchases		Proceeds from Shares Sold		Realized Gain (Loss)		Change in Unrealized Appreciation/ Depreciation		Number of Shares Held at 3/31/18		Value at 3/31/18		Dividend Income		Capital Gains Distributions
State Street Institutional U.S. Government Money Market Fund, Class G Shares		6,853,382	$	6,853,382	$	67,529,963	$	70,272,056	$	—	$	—		4,111,289	$	4,111,289	$	19,114	$	—

See accompanying notes to financial statements.

26

THE TECHNOLOGY SELECT SECTOR SPDR FUND

SCHEDULE OF INVESTMENTS

March 31, 2018 (Unaudited)

Security Description	Shares		Value
COMMON STOCKS — 99.8%
COMMUNICATIONS EQUIPMENT — 4.0%
Cisco Systems, Inc.		16,276,050	$	698,079,785
F5 Networks, Inc. (a)		208,906		30,209,897
Juniper Networks, Inc.		1,161,328		28,255,110
Motorola Solutions, Inc.		547,344		57,635,323
				814,180,115
DIVERSIFIED TELECOMMUNICATION SERVICES — 7.1%
AT&T, Inc.		20,744,197		739,530,623
CenturyLink, Inc.		3,286,602		53,998,871
Verizon Communications, Inc.		13,946,530		666,923,064
				1,460,452,558
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 1.7%
Amphenol Corp. Class A		1,032,023		88,888,141
Corning, Inc.		2,936,081		81,857,938
FLIR Systems, Inc.		469,399		23,474,644
IPG Photonics Corp. (a)		127,124		29,668,199
TE Connectivity, Ltd.		1,186,477		118,529,053
				342,417,975
INTERNET SOFTWARE & SERVICES — 17.7%
Akamai Technologies, Inc. (a)		574,500		40,778,010
Alphabet, Inc. Class A (a)		1,008,483		1,045,938,059
Alphabet, Inc. Class C (a)		1,028,308		1,060,997,911
eBay, Inc. (a)		3,180,004		127,963,361
Facebook, Inc. Class A (a)		8,094,764		1,293,462,340
VeriSign, Inc. (a) (b)		282,204		33,458,106
				3,602,597,787
IT SERVICES — 16.0%
Accenture PLC Class A		2,083,383		319,799,291
Alliance Data Systems Corp.		163,020		34,700,437
Automatic Data Processing, Inc.		1,497,520		169,938,570
Cognizant Technology Solutions Corp. Class A		1,986,573		159,919,127
CSRA, Inc.		553,835		22,834,617
DXC Technology Co.		959,648		96,473,413
Fidelity National Information Services, Inc.		1,118,884		107,748,529
Fiserv, Inc. (a)		1,396,000		99,548,760
Gartner, Inc. (a)		305,020		35,876,452
Global Payments, Inc.		537,702		59,964,527
International Business Machines Corp.		2,894,283		444,069,841
Mastercard, Inc. Class A		3,118,876		546,302,320
Paychex, Inc.		1,080,024		66,518,678
PayPal Holdings, Inc. (a)		3,811,526		289,180,478
Total System Services, Inc.		558,636		48,187,941
Visa, Inc. Class A		6,090,297		728,521,327
Western Union Co.		1,551,774		29,840,614
				3,259,424,922
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 15.6%
Advanced Micro Devices, Inc. (a) (b)		2,783,065		27,969,803
Analog Devices, Inc.		1,249,399		113,857,731
Applied Materials, Inc.		3,549,763		197,402,320
Broadcom, Ltd.		1,386,816		326,803,190
Intel Corp.		15,811,474		823,461,566
KLA-Tencor Corp.		529,116		57,678,935
Lam Research Corp.		550,555		111,850,754
Microchip Technology, Inc. (b)		791,714		72,330,991
Micron Technology, Inc. (a)		3,906,628		203,691,584
NVIDIA Corp.		2,044,091		473,391,035
Qorvo, Inc. (a)		427,314		30,104,271
QUALCOMM, Inc.		5,000,970		277,103,748
Skyworks Solutions, Inc.		616,571		61,817,408
Texas Instruments, Inc.		3,323,712		345,300,440
Xilinx, Inc.		860,945		62,194,667
				3,184,958,443
SOFTWARE — 21.5%
Activision Blizzard, Inc.		2,563,008		172,900,520
Adobe Systems, Inc. (a)		1,660,823		358,870,634
ANSYS, Inc. (a)		283,280		44,387,143
Autodesk, Inc. (a)		744,141		93,449,227
CA, Inc.		1,056,420		35,812,638
Cadence Design Systems, Inc. (a)		950,259		34,941,023
Citrix Systems, Inc. (a)		437,046		40,557,869
Electronic Arts, Inc. (a)		1,036,353		125,647,438
Intuit, Inc.		822,068		142,505,488
Microsoft Corp.		26,013,944		2,374,292,669
Oracle Corp.		10,209,638		467,090,938
Red Hat, Inc. (a)		597,971		89,402,644
salesforce.com, Inc. (a)		2,318,320		269,620,616
Symantec Corp.		2,094,661		54,146,987
Synopsys, Inc. (a)		505,525		42,079,901
Take-Two Interactive Software, Inc. (a)		386,508		37,792,752
				4,383,498,487
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 16.2%
Apple, Inc.		17,142,639		2,876,191,971
Hewlett Packard Enterprise Co.		5,294,263		92,861,373
HP, Inc.		5,532,228		121,266,438
NetApp, Inc.		905,241		55,844,317
Seagate Technology PLC		962,233		56,309,875
Western Digital Corp.		1,005,362		92,764,752
Xerox Corp.		722,742		20,800,515
				3,316,039,241
TOTALCOMMONSTOCKS (Cost $17,964,689,245)				20,363,569,528
SHORT-TERM INVESTMENTS — 0.2%
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.62% (c) (d)		27,107,940		27,107,940

See accompanying notes to financial statements.

27

THE TECHNOLOGY SELECT SECTOR SPDR FUND

SCHEDULE OF INVESTMENTS (continued)

March 31, 2018 (Unaudited)

Security Description	Shares		Value
State Street Navigator Securities Lending Government Money Market Portfolio (c) (e)		7,423,352	$	7,423,352
TOTAL SHORT-TERM INVESTMENTS (Cost $34,531,292)				34,531,292
TOTAL INVESTMENTS — 100.0%
(Cost $17,999,220,537)				20,398,100,820
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.0)%				(5,450,206	)
NET ASSETS — 100.0%			$	20,392,650,614

(a) Non-income producing security.

(b) All or a portion of the shares of the security are on loan at March 31, 2018.

(c) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended March 31, 2018 are shown in the Affiliate Table below.

(d) The rate shown is the annualized seven-day yield at March 31, 2018.

(e) Investment of cash collateral for securities loaned.

The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of March 31, 2018.

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Common Stocks
Communications Equipment	$	814,180,115	$	—	$	—	$	814,180,115
Diversified Telecommunication Services		1,460,452,558		—		—		1,460,452,558
Electronic Equipment, Instruments & Components		342,417,975		—		—		342,417,975
Internet Software & Services		3,602,597,787		—		—		3,602,597,787
IT Services		3,259,424,922		—		—		3,259,424,922
Semiconductors & Semiconductor Equipment		3,184,958,443		—		—		3,184,958,443
Software		4,383,498,487		—		—		4,383,498,487
Technology Hardware, Storage & Peripherals		3,316,039,241		—		—		3,316,039,241
Short-Term Investments		34,531,292		—		—		34,531,292
TOTAL INVESTMENTS	$	20,398,100,820	$	—	$	—	$	20,398,100,820

Affiliate Table

	Number of Shares Held at 9/30/17		Value at 9/30/17		Cost of Purchases		Proceeds from Shares Sold		Realized Gain (Loss)		Change in Unrealized Appreciation/ Depreciation		Number of Shares Held at 3/31/18		Value at 3/31/18		Dividend Income		Capital Gains Distributions
State Street Institutional U.S. Government Money Market Fund, Class G Shares		26,740,576	$	26,740,576	$	298,833,670	$	298,466,306	$	—	$	—		27,107,940	$	27,107,940	$	234,890	$	—
State Street Navigator Securities Lending Government Money Market Portfolio		979,738		979,738		72,611,841		66,168,227		—		—		7,423,352		7,423,352		8,330		—
Total			$	27,720,314	$	371,445,511	$	364,634,533	$	—	$	—			$	34,531,292	$	243,220	$	—

See accompanying notes to financial statements.

28

THE UTILITIES SELECT SECTOR SPDR FUND

SCHEDULE OF INVESTMENTS

March 31, 2018 (Unaudited)

Security Description	Shares		Value
COMMON STOCKS — 99.7%
ELECTRIC UTILITIES — 62.0%
Alliant Energy Corp.		2,542,567	$	103,889,288
American Electric Power Co., Inc.		5,406,424		370,826,622
Duke Energy Corp.		7,706,886		597,052,458
Edison International		3,580,263		227,919,542
Entergy Corp.		1,986,737		156,515,141
Eversource Energy		3,482,502		205,189,018
Exelon Corp.		10,606,529		413,760,696
FirstEnergy Corp. (a)		4,913,067		167,093,409
NextEra Energy, Inc.		5,169,469		844,329,372
PG&E Corp.		5,659,158		248,606,811
Pinnacle West Capital Corp.		1,228,006		97,994,879
PPL Corp.		7,629,269		215,832,020
Southern Co.		11,080,353		494,848,565
Xcel Energy, Inc.		5,582,411		253,888,052
				4,397,745,873
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 2.6%
AES Corp.		7,257,651		82,519,492
NRG Energy, Inc.		3,316,407		101,249,906
				183,769,398
MULTI-UTILITIES — 32.8%
Ameren Corp.		2,665,915		150,970,766
CenterPoint Energy, Inc.		4,735,341		129,748,343
CMS Energy Corp.		3,102,309		140,503,575
Consolidated Edison, Inc.		3,410,678		265,828,243
Dominion Energy, Inc.		7,162,003		482,933,862
DTE Energy Co.		1,970,917		205,763,735
NiSource, Inc.		3,706,927		88,632,625
Public Service Enterprise Group, Inc.		5,546,869		278,674,699
SCANA Corp.		1,567,484		58,859,024
Sempra Energy (a)		2,806,644		312,154,946
WEC Energy Group, Inc.		3,467,652		217,421,780
				2,331,491,598
WATER UTILITIES — 2.3%
American Water Works Co., Inc.		1,962,235		161,158,361
TOTAL COMMON STOCKS (Cost $7,885,080,493)				7,074,165,230
SHORT-TERM INVESTMENT — 0.1%
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.62% (b) (c) (Cost $8,265,862)		8,265,862		8,265,862
TOTAL INVESTMENTS — 99.8%
(Cost $7,893,346,355)				7,082,431,092
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.2%				16,326,430
NET ASSETS — 100.0%			$	7,098,757,522

(a) All or a portion of the shares of the security are on loan at March 31, 2018.

(b) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended March 31, 2018 are shown in the Affiliate Table below.

(c) The rate shown is the annualized seven-day yield at March 31, 2018.

The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of March 31, 2018.

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Common Stocks
Electric Utilities	$	4,397,745,873	$	—	$	—	$	4,397,745,873
Independent Power Producers & Energy Traders		183,769,398		—		—		183,769,398
Multi-Utilities		2,331,491,598		—		—		2,331,491,598
Water Utilities		161,158,361		—		—		161,158,361
Short-Term Investment		8,265,862		—		—		8,265,862
TOTAL INVESTMENTS	$	7,082,431,092	$	—	$	—	$	7,082,431,092

Affiliate Table

	Number of Shares Held at 9/30/17		Value at 9/30/17		Cost of Purchases		Proceeds from Shares Sold		Realized Gain (Loss)		Change in Unrealized Appreciation/ Depreciation		Number of Shares Held at 3/31/18		Value at 3/31/18		Dividend Income		Capital Gains Distributions
State Street Institutional U.S. Government Money Market Fund, Class G Shares		18,133,795	$	18,133,795	$	188,758,975	$	198,626,908	$	—	$	—		8,265,862	$	8,265,862	$	111,481	$	—

See accompanying notes to financial statements.

29

THE SELECT SECTOR SPDR TRUST

STATEMENTS OF ASSETS AND LIABILITIES

March 31, 2018 (Unaudited)

	The Consumer Discretionary Select Sector SPDR Fund			The Consumer Staples Select Sector SPDR Fund			The Energy Select Sector SPDR Fund
ASSETS
Investments in unaffiliated issuers, at value *	$	12,812,179,853		$	8,730,945,472		$	17,323,598,000
Investments in affiliated issuers, at value		53,074,176			6,115,609			67,182,420
Total Investments		12,865,254,029			8,737,061,081			17,390,780,420
Cash		1,415,744			4,815,993			360,781
Receivable for fund shares sold		—			95,850			5,641
Dividends receivable — unaffiliated issuers		7,215,663			28,284,262			18,892,156
Dividends receivable — affiliated issuers		13,692			12,411			57,563
Securities lending income receivable — unaffiliated issuers		28,290			10,972			13,178
Securities lending income receivable — affiliated issuers		33,098			—			20,604
Receivable from Adviser		—			—			—
Prepaid expenses and other assets		8,656			6,461			12,502
TOTAL ASSETS		12,873,969,172			8,770,287,030			17,410,142,845
LIABILITIES
Payable upon return of securities loaned		38,301,115			—			50,046,810
Payable for investments purchased		—			—			—
Payable for fund shares repurchased		26,376			—			—
Advisory and Administration fees payable		379,028			233,651			490,579
Distribution fees payable		537,116			331,733			717,516
Unitary fees payable		122,242			91,092			209,488
License fee payable		1,264,867			807,303			1,892,568
Registration and filing fees payable		—			3,199			—
Professional fees payable		32,917			29,802			43,083
Printing and postage fees payable		213,974			185,099			244,682
Accrued expenses and other liabilities		—			303			—
TOTAL LIABILITIES		40,877,635			1,682,182			53,644,726
NET ASSETS	$	12,833,091,537		$	8,768,604,848		$	17,356,498,119
NET ASSETS CONSIST OF:
Paid-in Capital	$	12,801,919,500		$	10,013,447,425		$	24,319,901,330
Undistributed (distribution in excess of) net investment income (loss)		(2,151,872	)		(6,313,425	)		5,152,603
Accumulated net realized gain (loss) on investments		(531,154,696	)		(274,972,368	)		(3,912,551,943	)
Net unrealized appreciation (depreciation) on:
Investments — unaffiliated issuers		564,478,605			(963,556,784	)		(3,056,003,871	)
Investments — affiliated issuers		—			—			—
NET ASSETS	$	12,833,091,537		$	8,768,604,848		$	17,356,498,119
NET ASSET VALUE PER SHARE
Net asset value per share	$	101.32		$	52.63		$	67.42
Shares outstanding (unlimited amount authorized, $0.01 par value)		126,653,252			166,621,809			257,424,200
COST OF INVESTMENTS:
Investments in unaffiliated issuers	$	12,247,701,248		$	9,694,502,256		$	20,379,601,871
Investments in affiliated issuers		53,074,176			6,115,609			67,182,420
Total cost of investments	$	12,300,775,424		$	9,700,617,865		$	20,446,784,291
* Includes investments in securities on loan, at value	$	123,282,193		$	93,977,979		$	193,389,171

See accompanying notes to financial statements.

30

The Financial Select Sector SPDR Fund			The Health Care Select Sector SPDR Fund			The Industrial Select Sector SPDR Fund			The Materials Select Sector SPDR Fund			The Real Estate Select Sector SPDR Fund			The Technology Select Sector SPDR Fund			The Utilities Select Sector SPDR Fund
$	31,621,895,815		$	15,204,044,252		$	12,685,493,718		$	4,634,937,957		$	2,345,955,234		$	20,363,569,528		$	7,074,165,230
	395,634,612			14,362,110			40,767,046			2,067,107			4,111,289			34,531,292			8,265,862
	32,017,530,427			15,218,406,362			12,726,260,764			4,637,005,064			2,350,066,523			20,398,100,820			7,082,431,092
	17,244,448			1,477,363			4,392,693			77			2,326,786			705,012			5,385,637
	1,914,892			—			—			—			14,980			—			—
	28,421,597			13,353,793			9,210,064			5,474,538			5,702,986			5,133,107			12,401,437
	79,743			45,941			37,656			9,529			3,020			39,748			24,804
	1,232			622			6,947			1,255			3,837			18,437			10,230
	—			51			444			—			—			3,399			—
	—			—			—			—			4,750			—			—
	16,102			11,099			7,641			2,684			1,809			11,586			5,263
	32,065,208,441			15,233,295,231			12,739,916,209			4,642,493,147			2,358,124,691			20,404,012,109			7,100,258,463
	—			—			25,677,260			—			—			7,423,352			—
	1,586,039			—			—			—			—			—			—
	—			8,867			709			81,252			—			3,334			61,422
	930,596			448,805			358,264			140,860			66,427			598,715			195,178
	1,324,818			648,548			527,799			203,002			93,811			840,606			279,851
	388,059			152,654			77,468			40,833			22,530			239,178			76,869
	3,203,030			1,606,536			1,333,758			505,373			228,607			2,015,006			722,172
	43,295			6,854			—			—			—			30,369			9,250
	45,832			37,298			29,171			19,904			20,250			36,845			26,125
	412,248			228,126			116,015			52,536			24,743			174,090			127,451
	—			—			—			398			—			—			2,623
	7,933,917			3,137,688			28,120,444			1,044,158			456,368			11,361,495			1,500,941
$	32,057,274,524		$	15,230,157,543		$	12,711,795,765		$	4,641,448,989		$	2,357,668,323		$	20,392,650,614		$	7,098,757,522
$	30,280,636,531		$	15,974,861,471		$	13,415,102,031		$	5,868,561,065		$	2,623,416,665		$	18,681,524,863		$	8,353,129,044
	5,667,035			1,618,194			3,317,406			661,671			(361,321	)		3,396,315			9,183,700
	(420,991,367	)		(318,756,494	)		(455,982,567	)		(922,478,894	)		(41,620,524	)		(691,150,847	)		(452,639,959	)
	2,160,549,236			(427,565,628	)		(250,641,105	)		(305,294,853	)		(223,766,497	)		2,398,880,283			(810,915,263	)
	31,413,089			—			—			—			—			—			—
$	32,057,274,524		$	15,230,157,543		$	12,711,795,765		$	4,641,448,989		$	2,357,668,323		$	20,392,650,614		$	7,098,757,522
$	27.55		$	81.24		$	74.30		$	56.93		$	31.08		$	65.44		$	50.52
	1,163,645,427			187,465,324			171,076,000			81,523,725			75,850,000			311,605,897			140,524,160
$	29,461,346,579		$	15,631,609,880		$	12,936,134,823		$	4,940,232,810		$	2,569,721,731		$	17,964,689,245		$	7,885,080,493
	364,221,523			14,362,110			40,767,046			2,067,107			4,111,289			34,531,292			8,265,862
$	29,825,568,102		$	15,645,971,990		$	12,976,901,869		$	4,942,299,917		$	2,573,833,020		$	17,999,220,537		$	7,893,346,355
$	9,692,292		$	1,464,237		$	72,425,630		$	8,407,345		$	35,745,430		$	118,919,324		$	32,571,793

31

THE SELECT SECTOR SPDR TRUST

STATEMENTS OF OPERATIONS

For the Six Months Ended March 31, 2018 (Unaudited)

	The Consumer Discretionary Select Sector SPDR Fund			The Consumer Staples Select Sector SPDR Fund			The Energy Select Sector SPDR Fund
INVESTMENT INCOME
Dividend income — unaffiliated issuers	$	89,814,974		$	116,971,020		$	248,582,031
Dividend income — affiliated issuers		119,775			85,962			155,719
Unaffiliated securities lending income		235,819			58,902			177,642
Affiliated securities lending income		235,686			2,372			325,828
Foreign taxes withheld		—			—			—
TOTAL INVESTMENT INCOME (LOSS)		90,406,254			117,118,256			249,241,220
EXPENSES
Advisory and Administration fees		2,132,245			1,391,917			2,941,102
Distribution fees		2,302,847			1,483,720			3,204,185
License fees		2,462,774			1,607,754			3,396,510
Unitary fees		772,747			504,592			1,065,762
Trustees’ fees and expenses		53,341			37,975			70,034
Registration fees		37,150			22,768			52,640
Professional fees		21,588			19,097			25,726
Printing and postage fees		256,958			201,238			388,559
Insurance expense		17,311			12,924			25,005
Miscellaneous expenses		42,492			34,578			60,472
TOTAL EXPENSES		8,099,453			5,316,563			11,229,995
Expenses waived/reimbursed by the Adviser		—			—			—
NET EXPENSES		8,099,453			5,316,563			11,229,995
NET INVESTMENT INCOME (LOSS)		82,306,801			111,801,693			238,011,225
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments — unaffiliated issuers		(25,941,952	)		(39,456,945	)		(410,664,559	)
Investments — affiliated issuers		—			—			—
In-kind redemptions — unaffiliated issuers		1,018,804,298			224,844,467			318,742,454
In-kind redemptions — affiliated issuers		—			—			—
Net realized gain (loss)		992,862,346			185,387,522			(91,922,105	)
Net change in unrealized appreciation/depreciation on:
Investments — unaffiliated issuers		519,683,118			(388,725,038	)		(272,738,282	)
Investments — affiliated issuers		—			—			—
Net change in unrealized appreciation/depreciation		519,683,118			(388,725,038	)		(272,738,282	)
NET REALIZED AND UNREALIZED GAIN (LOSS)		1,512,545,464			(203,337,516	)		(364,660,387	)
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS	$	1,594,852,265		$	(91,535,823	)	$	(126,649,162	)

See accompanying notes to financial statements.

32

The Financial Select Sector SPDR Fund			The Health Care Select Sector SPDR Fund			The Industrial Select Sector SPDR Fund			The Materials Select Sector SPDR Fund			The Real Estate Select Sector SPDR Fund			The Technology Select Sector SPDR Fund		The Utilities Select Sector SPDR Fund
$	292,775,270		$	137,389,195		$	122,470,686		$	46,283,166		$	40,843,061		$	152,918,246	$	128,016,329
	3,339,291			188,142			152,686			43,240			19,114			234,890		111,481
	6,323			7,672			85,460			1,733			33,498			130,511		17,485
	—			51			454			—			—			8,330		—
	—			(497	)		—			—			—			—		—
	296,120,884			137,584,563			122,709,286			46,328,139			40,895,673			153,291,977		128,145,295
	5,306,055			2,822,874			2,190,991			808,530			395,972			3,300,328		1,240,573
	5,850,109			3,099,985			2,420,370			894,194			404,114			3,639,922		1,347,734
	6,130,711			3,261,641			2,531,076			933,890			457,016			3,811,777		1,432,747
	1,922,802			1,023,565			793,944			292,953			143,592			1,196,171		449,922
	120,165			75,830			51,965			17,756			10,322			78,386		33,063
	63,211			46,986			52,193			26,950			41,763			37,428		16,947
	34,359			24,288			20,374			14,920			17,714			24,755		17,768
	550,329			345,671			213,521			75,642			53,855			354,200		175,968
	32,203			22,197			15,281			5,367			3,617			23,172		10,525
	80,859			56,444			37,436			14,795			10,924			56,959		30,373
	20,090,803			10,779,481			8,327,151			3,084,997			1,538,889			12,523,098		4,755,620
	—			—			—			—			(4,750	)		—		—
	20,090,803			10,779,481			8,327,151			3,084,997			1,534,139			12,523,098		4,755,620
	276,030,081			126,805,082			114,382,135			43,243,142			39,361,534			140,768,879		123,389,675
	(19,737,466	)		(27,492,012	)		(38,871,330	)		(10,311,536	)		(8,010,177	)		5,411,642		(19,559,801	)
	5,667,392			—			—			—			—			—		—
	2,000,502,365			1,064,738,078			1,223,605,536			293,126,120			57,930,389			1,689,036,708		175,006,242
	17,164,384			—			—			—			—			—		—
	2,003,596,675			1,037,246,066			1,184,734,206			282,814,584			49,920,212			1,694,448,350		155,446,441
	(142,754,293	)		(1,077,939,261	)		(670,754,620	)		(328,668,897	)		(138,962,428	)		71,512,127		(506,099,347	)
	(8,314,613	)		—			—			—			—			—		—
	(151,068,906	)		(1,077,939,261	)		(670,754,620	)		(328,668,897	)		(138,962,428	)		71,512,127		(506,099,347	)
	1,852,527,769			(40,693,195	)		513,979,586			(45,854,313	)		(89,042,216	)		1,765,960,477		(350,652,906	)
$	2,128,557,850		$	86,111,887		$	628,361,721		$	(2,611,171	)	$	(49,680,682	)	$	1,906,729,356	$	(227,263,231	)

33

THE SELECT SECTOR SPDR TRUST

STATEMENTS OF CHANGES IN NET ASSETS

	The Consumer Discretionary Select Sector SPDR Fund						The Consumer Staples Select Sector SPDR Fund
	Six Months Ended 3/31/18 (Unaudited)			Year Ended 9/30/17			Six Months Ended 3/31/18 (Unaudited)			Year Ended 9/30/17
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	82,306,801		$	178,217,755		$	111,801,693		$	237,891,582
Net realized gain (loss)		992,862,346			831,914,591			185,387,522			385,188,910
Net change in unrealized appreciation/depreciation		519,683,118			517,488,053			(388,725,038	)		(364,745,665	)
Net increase (decrease) in net assets resulting from operations		1,594,852,265			1,527,620,399			(91,535,823	)		258,334,827
Net equalization credits and charges		1,567,605			3,302,274			8,970,959			6,793,597
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income		(84,458,673	)		(183,068,428	)		(118,115,118	)		(244,187,449	)
FROM BENEFICIAL INTEREST TRANSACTIONS
Proceeds from sale of shares sold		7,455,920,892			10,076,630,953			11,037,133,762			23,126,005,097
Cost of shares redeemed		(7,651,807,951	)		(9,434,526,584	)		(10,867,781,036	)		(23,224,407,701	)
Net income equalization		(1,567,605	)		(3,302,274	)		(8,970,959	)		(6,793,597	)
Net increase (decrease) in net assets from beneficial interest transactions		(197,454,664	)		638,802,095			160,381,767			(105,196,201	)
Net increase (decrease) in net assets during the period		1,314,506,533			1,986,656,340			(40,298,215	)		(84,255,226	)
Net assets at beginning of period		11,518,585,004			9,531,928,664			8,808,903,063			8,893,158,289
NET ASSETS AT END OF PERIOD	$	12,833,091,537		$	11,518,585,004		$	8,768,604,848		$	8,808,903,063
Undistributed (distribution in excess of) net investment income (loss)	$	(2,151,872	)	$	—		$	(6,313,425	)	$	—
SHARES OF BENEFICIAL INTEREST:
Shares sold		74,350,000			118,750,000			200,350,000			430,400,000
Shares redeemed		(75,550,000	)		(110,000,000	)		(196,900,000	)		(434,350,000	)
Net increase (decrease)		(1,200,000	)		8,750,000			3,450,000			(3,950,000	)

See accompanying notes to financial statements.

34

The Energy Select Sector SPDR Fund						The Financial Select Sector SPDR Fund							The Health Care Select Sector SPDR Fund
Six Months Ended 3/31/18 (Unaudited)			Year Ended 9/30/17			Six Months Ended 3/31/18 (Unaudited)			Year Ended 9/30/17				Six Months Ended 3/31/18 (Unaudited)			Year Ended 9/30/17
$	238,011,225		$	509,307,299		$	276,030,081		$	370,236,767			$	126,805,082		$	248,803,424
	(91,922,105	)		(1,205,671,094	)		2,003,596,675			2,376,039,412				1,037,246,066			674,671,613
	(272,738,282	)		566,314,820			(151,068,906	)		3,148,090,823				(1,077,939,261	)		1,394,349,669
	(126,649,162	)		(130,048,975	)		2,128,557,850			5,894,367,002				86,111,887			2,317,824,706
	(3,881,611	)		951,856			5,099,442			25,865,664				(2,056,457	)		4,430,175
												��
	(233,005,245	)		(509,160,676	)		(270,363,046	)		(390,504,087	)			(125,186,888	)		(252,388,527	)
	9,277,814,415			20,903,915,315			19,201,797,513			36,817,183,513				8,269,890,889			19,678,407,269
	(8,179,496,838	)		(18,567,122,195	)		(16,421,569,509	)		(26,875,531,255	)			(10,712,284,932	)		(16,479,429,601	)
	3,881,611			(951,856	)		(5,099,442	)		(25,865,664	)			2,056,457			(4,430,175	)
	1,102,199,188			2,335,841,264			2,775,128,562			9,915,786,594				(2,440,337,586	)		3,194,547,493
	738,663,170			1,697,583,469			4,638,422,808			15,445,515,173				(2,481,469,044	)		5,264,413,847
	16,617,834,949			14,920,251,480			27,418,851,716			11,973,336,543				17,711,626,587			12,447,212,740
$	17,356,498,119		$	16,617,834,949		$	32,057,274,524		$	27,418,851,716			$	15,230,157,543		$	17,711,626,587
$	5,152,603		$	146,623		$	5,667,035		$	—			$	1,618,194		$	—
	131,150,000			299,400,000			687,900,000			1,580,250,000				98,500,000			267,300,000
	(116,450,000	)		(267,950,000	)		(585,500,000	)		(1,139,200,000	)			(127,650,000	)		(223,350,000	)
	14,700,000			31,450,000			102,400,000			441,050,000				(29,150,000	)		43,950,000

35

THE SELECT SECTOR SPDR TRUST

STATEMENTS OF CHANGES IN NET ASSETS (continued)

	The Industrial Select Sector SPDR Fund						The Materials Select Sector SPDR Fund
	Six Months Ended 3/31/18 (Unaudited)			Year Ended 9/30/17			Six Months Ended 3/31/18 (Unaudited)			Year Ended 9/30/17
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	114,382,135		$	216,093,234		$	43,243,142		$	69,987,081
Net realized gain (loss)		1,184,734,206			1,080,111,866			282,814,584			263,923,310
Net change in unrealized appreciation/depreciation		(670,754,620	)		835,209,931			(328,668,897	)		352,929,686
Net increase (decrease) in net assets resulting from operations		628,361,721			2,131,415,031			(2,611,171	)		686,840,077
Net equalization credits and charges		(3,250,696	)		(1,024,809	)		1,693,491			2,243,728
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income		(118,301,456	)		(212,336,521	)		(42,883,730	)		(74,656,242	)
FROM BENEFICIAL INTEREST TRANSACTIONS
Proceeds from sale of shares sold		12,253,656,062			19,062,178,269			4,572,820,485			6,190,069,633
Cost of shares redeemed		(11,107,599,823	)		(17,260,781,299	)		(3,937,278,446	)		(5,645,741,524	)
Net income equalization		3,250,696			1,024,809			(1,693,491	)		(2,243,728	)
Net increase (decrease) in net assets from beneficial interest transactions		1,149,306,935			1,802,421,779			633,848,548			542,084,381
Net increase (decrease) in net assets during the period		1,656,116,504			3,720,475,480			590,047,138			1,156,511,944
Net assets at beginning of period		11,055,679,261			7,335,203,781			4,051,401,851			2,894,889,907
NET ASSETS AT END OF PERIOD	$	12,711,795,765		$	11,055,679,261		$	4,641,448,989		$	4,051,401,851
Undistributed (distribution in excess of) net investment income (loss)	$	3,317,406		$	7,236,727		$	661,671		$	302,259
SHARES OF BENEFICIAL INTEREST:
Shares sold		163,400,000			295,600,000			75,900,000			119,200,000
Shares redeemed		(148,050,000	)		(265,500,000	)		(65,700,000	)		(108,500,000	)
Net increase (decrease)		15,350,000			30,100,000			10,200,000			10,700,000

See accompanying notes to financial statements.

36

The Real Estate Select Sector SPDR Fund						The Technology Select Sector SPDR Fund						The Utilities Select Sector SPDR Fund
Six Months Ended 3/31/18 (Unaudited)			Year Ended 9/30/17			Six Months Ended 3/31/18 (Unaudited)			Year Ended 9/30/17			Six Months Ended 3/31/18 (Unaudited)			Year Ended 9/30/17
$	39,361,534		$	57,449,053		$	140,768,879		$	254,922,885		$	123,389,675		$	237,379,768
	49,920,212			15,807,172			1,694,448,350			1,704,331,508			155,446,441			300,442,690
	(138,962,428	)		(47,777,211	)		71,512,127			1,723,331,700			(506,099,347	)		186,732,287
	(49,680,682	)		25,479,014			1,906,729,356			3,682,586,093			(227,263,231	)		724,554,745
	(461,197	)		(6,048,620	)		796,758			(895,238	)		(1,796,940	)		(1,395,744	)
	(39,722,855	)		(94,128,585	)		(139,316,833	)		(254,143,361	)		(125,975,653	)		(235,607,383	)
	1,248,791,313			1,187,415,832			10,927,077,793			15,219,138,310			11,002,154,573			21,312,440,021
	(1,156,537,393	)		(1,964,582,409	)		(10,134,284,006	)		(13,818,965,634	)		(11,325,572,428	)		(21,437,700,615	)
	461,197			6,048,620			(796,758	)		895,238			1,796,940			1,395,744
	92,715,117			(771,117,957	)		791,997,029			1,401,067,914			(321,620,915	)		(123,864,850	)
	2,850,383			(845,816,148	)		2,560,206,310			4,828,615,408			(676,656,739	)		363,686,768
	2,354,817,940			3,200,634,088			17,832,444,304			13,003,828,896			7,775,414,261			7,411,727,493
$	2,357,668,323		$	2,354,817,940		$	20,392,650,614		$	17,832,444,304		$	7,098,757,522		$	7,775,414,261
$	(361,321	)	$	—		$	3,396,315		$	1,944,269		$	9,183,700		$	11,769,678
	39,750,000			37,650,000			165,400,000			293,150,000			211,950,000			420,200,000
	(36,900,000	)		(62,400,000	)		(155,400,000	)		(263,700,000	)		(218,000,000	)		(424,900,000	)
	2,850,000			(24,750,000	)		10,000,000			29,450,000			(6,050,000	)		(4,700,000	)

37

THE SELECT SECTOR SPDR TRUST

FINANCIAL HIGHLIGHTS

Selected data for a share outstanding throughout each period

	The Consumer Discretionary Select Sector SPDR Fund
	Six Months Ended 3/31/18 (Unaudited)			Year Ended 9/30/17			Year Ended 9/30/16			Year Ended 9/30/15			Year Ended 9/30/14			Year Ended 9/30/13
Net asset value, beginning of period	$	90.09		$	80.03		$	74.26		$	66.69		$	60.59		$	46.79
Income (loss) from investment operations:
Net investment income (loss) (a)		0.64			1.32			1.22			1.05			0.90			0.83
Net realized and unrealized gain (loss) (b)		11.22			10.07			5.79			7.55			6.10			13.73
Total from investment operations		11.86			11.39			7.01			8.60			7.00			14.56
Net equalization credits and charges (a)		0.01			0.02			(0.02	)		0.05			0.01			0.06
Distributions to shareholders from:
Net investment income		(0.64	)		(1.35	)		(1.22	)		(1.08	)		(0.91	)		(0.82	)
Net asset value, end of period	$	101.32		$	90.09		$	80.03		$	74.26		$	66.69		$	60.59
Total return (c)		13.18	%		14.34	%		9.48	%		12.98	%		11.59	%		31.50	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	12,833,092		$	11,518,585		$	9,531,929		$	10,117,642		$	6,712,778		$	6,734,928
Ratios to average net assets:
Total expenses		0.13	%(d)		0.14	%		0.14	%		0.15	%		0.15	%		0.17	%
Net investment income (loss)		1.29	%(d)		1.54	%		1.56	%		1.41	%		1.37	%		1.55	%
Portfolio turnover rate (e)		1	%(f)		6	%		10	%		6	%		5	%		8	%

(a) Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period.

(b) Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund.

(c) Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation.

(d) The ratios for periods less than one year are annualized.

(e) Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions on Select Sector SPDR shares.

(f) Not annualized.

See accompanying notes to financial statements.

38

THE SELECT SECTOR SPDR TRUST

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	The Consumer Staples Select Sector SPDR Fund
	Six Months Ended 3/31/18 (Unaudited)			Year Ended 9/30/17			Year Ended 9/30/16			Year Ended 9/30/15			Year Ended 9/30/14			Year Ended 9/30/13
Net asset value, beginning of period	$	53.99		$	53.21		$	47.22		$	45.10		$	39.81		$	35.83
Income (loss) from investment operations:
Net investment income (loss) (a)		0.74			1.48			1.29			1.27			1.14			1.12
Net realized and unrealized gain (loss) (b)		(1.44	)		0.72			5.99			2.14			5.19			4.00
Total from investment operations		(0.70	)		2.20			7.28			3.41			6.33			5.12
Net equalization credits and charges (a)		0.06			0.04			0.00	(c)		(0.03	)		0.10			(0.04	)
Distributions to shareholders from:
Net investment income		(0.72	)		(1.46	)		(1.29	)		(1.26	)		(1.14	)		(1.10	)
Net asset value, end of period	$	52.63		$	53.99		$	53.21		$	47.22		$	45.10		$	39.81
Total return (d)		(1.24	)%		4.21	%		15.50	%		7.45	%		16.26	%		14.35	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	8,768,605		$	8,808,903		$	8,893,158		$	7,305,874		$	7,623,200		$	5,241,330
Ratios to average net assets:
Total expenses		0.13	%(e)		0.14	%		0.14	%		0.15	%		0.15	%		0.17	%
Net investment income (loss)		2.69	%(e)		2.73	%		2.48	%		2.62	%		2.62	%		2.91	%
Portfolio turnover rate (f)		5	%(g)		12	%		4	%		3	%		4	%		5	%

(a) Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period.

(b) Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund.

(c) Amount is less than $0.005 per share.

(d) Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation.

(e) The ratios for periods less than one year are annualized.

(f) Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions on Select Sector SPDR shares.

(g) Not annualized.

See accompanying notes to financial statements.

39

THE SELECT SECTOR SPDR TRUST

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	The Energy Select Sector SPDR Fund
	Six Months Ended 3/31/18 (Unaudited)			Year Ended 9/30/17			Year Ended 9/30/16			Year Ended 9/30/15			Year Ended 9/30/14			Year Ended 9/30/13
Net asset value, beginning of period	$	68.46		$	70.62		$	61.24		$	90.58		$	82.89		$	73.45
Income (loss) from investment operations:
Net investment income (loss) (a)		0.94			2.16	(b)		1.79			2.01			1.77			1.49
Net realized and unrealized gain (loss) (c)		(1.03	)		(2.18	)		9.39			(29.45	)		7.63			9.43
Total from investment operations		(0.09	)		(0.02	)		11.18			(27.44	)		9.40			10.92
Net equalization credits and charges (a)		(0.02	)		0.00	(d)		0.04			0.09			0.07			0.02
Distributions to shareholders from:
Net investment income		(0.93	)		(2.14	)		(1.84	)		(1.99	)		(1.78	)		(1.50	)
Net asset value, end of period	$	67.42		$	68.46		$	70.62		$	61.24		$	90.58		$	82.89
Total return (e)		(0.21	)%		(0.01	)%		18.72	%		(30.52	)%		11.40	%		15.02	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	17,356,498		$	16,617,835		$	14,920,251		$	11,103,521		$	9,838,985		$	7,967,582
Ratios to average net assets:
Total expenses		0.13	%(f)		0.14	%		0.14	%		0.15	%		0.15	%		0.17	%
Net investment income (loss)		2.71	%(f)		3.12	%		2.77	%		2.63	%		1.94	%		1.92	%
Portfolio turnover rate (g)		3	%(h)		23	%		6	%		6	%		5	%		3	%

(a) Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period.

(b) Net investment income per share and ratio of net investment income to average net assets reflect receipt of special dividend from portfolio holding. The resulting increase to net investment income amounted to $0.44 per share and 0.64% of average net assets. If the special dividends were not received during the year ended September 30, 2017, the total return would have been (0.63)%.

(c) Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund.

(d) Amount is less than $0.005 per share.

(e) Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation.

(f) The ratios for periods less than one year are annualized.

(g) Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions on Select Sector SPDR shares.

(h) Not annualized.

See accompanying notes to financial statements.

40

THE SELECT SECTOR SPDR TRUST

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	The Financial Select Sector SPDR Fund
	Six Months Ended 3/31/18 (Unaudited)			Year Ended 9/30/17			Year Ended 9/30/16			Year Ended 9/30/15			Year Ended 9/30/14			Year Ended 9/30/13
Net asset value, beginning of period	$	25.84		$	19.31		$	22.66		$	23.17		$	19.91		$	15.59
Income (loss) from investment operations:
Net investment income (loss) (a)		0.24			0.39			0.43			0.42			0.34			0.30
Net realized and unrealized gain (loss) (b)		1.70			6.50			1.27			(0.50	)		3.28			4.33
Total from investment operations		1.94			6.89			1.70			(0.08	)		3.62			4.63
Net equalization credits and charges (a)		0.00	(c)		0.03			(0.01	)		0.01			0.01			0.01
Voluntary contribution from Adviser		—			—			—			0.00	(c)(d)		—			—
Distributions to shareholders from:
Net investment income		(0.23	)		(0.39	)		(2.10	)		(0.44	)		(0.37	)		(0.32	)
Return of Capital		—			—			(2.94	)		—			—			—
Total distributions		(0.23	)		(0.39	)		(5.04	)		(0.44	)		(0.37	)		(0.32	)
Net asset value, end of period	$	27.55		$	25.84		$	19.31		$	22.66		$	23.17		$	19.91
Total return (e)		7.51	%		36.01	%(f)		7.36	%		(0.39	)%(g)		18.32	%		29.94	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	32,057,275		$	27,418,852		$	11,973,337		$	16,800,919		$	18,605,018		$	14,594,535
Ratios to average net assets:
Total expenses		0.13	%(h)		0.14	%		0.14	%		0.15	%		0.15	%		0.17	%
Net investment income (loss)		1.74	%(h)		1.65	%		1.88	%		1.72	%		1.54	%		1.64	%
Portfolio turnover rate (i)		1	%(j)		3	%		6	%		3	%		5	%		4	%

(a) Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period.

(b) Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund.

(c) Amount is less than $0.005 per share.

(d) Contribution paid by an Affiliate in the amount of $461,741.

(e) Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation.

(f) Includes a non-recurring litigation payment received by the Fund from State Street Corp., an affiliate, which amounted to less than $0.005 per share 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.

(g) The contribution from an Affiliate had no impact on total return.

(h) The ratios for periods less than one year are annualized.

(i) Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions on Select Sector SPDR shares.

(j) Not annualized.

See accompanying notes to financial statements.

41

THE SELECT SECTOR SPDR TRUST

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	The Health Care Select Sector SPDR Fund
	Six Months Ended 3/31/18 (Unaudited)			Year Ended 9/30/17			Year Ended 9/30/16			Year Ended 9/30/15			Year Ended 9/30/14			Year Ended 9/30/13
Net asset value, beginning of period	$	81.76		$	72.09		$	66.30		$	63.90		$	50.59		$	40.13
Income (loss) from investment operations:
Net investment income (loss) (a)		0.63			1.20			1.08			1.02			0.89			0.84
Net realized and unrealized gain (loss) (b)		(0.51	)		9.64			5.82			2.35			13.29			10.45
Total from investment operations		0.12			10.84			6.90			3.37			14.18			11.29
Net equalization credits and charges (a)		(0.01	)		0.02			(0.01	)		0.02			0.02			0.01
Distributions to shareholders from:
Net investment income		(0.63	)		(1.19	)		(1.10	)		(0.99	)		(0.89	)		(0.84	)
Net asset value, end of period	$	81.24		$	81.76		$	72.09		$	66.30		$	63.90		$	50.59
Total return (c)		0.11	%		15.21	%		10.45	%		5.22	%		28.22	%		28.39	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	15,230,158		$	17,711,627		$	12,447,213		$	12,872,900		$	11,161,902		$	7,479,810
Ratios to average net assets:
Total expenses		0.13	%(d)		0.14	%		0.14	%		0.15	%		0.15	%		0.17	%
Net investment income (loss)		1.51	%(d)		1.60	%		1.54	%		1.43	%		1.53	%		1.84	%
Portfolio turnover rate (e)		1	%(f)		4	%		8	%		3	%		3	%		5	%

(a) Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period.

(b) Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund.

(c) Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation.

(d) The ratios for periods less than one year are annualized.

(e) Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions on Select Sector SPDR shares.

(f) Not annualized.

See accompanying notes to financial statements.

42

THE SELECT SECTOR SPDR TRUST

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	The Industrial Select Sector SPDR Fund
	Six Months Ended 3/31/18 (Unaudited)			Year Ended 9/30/17			Year Ended 9/30/16			Year Ended 9/30/15			Year Ended 9/30/14			Year Ended 9/30/13
Net asset value, beginning of period	$	70.99		$	58.39		$	49.91		$	53.14		$	46.39		$	36.54
Income (loss) from investment operations:
Net investment income (loss) (a)		0.65			1.35			1.18			1.07			1.00			0.91
Net realized and unrealized gain (loss) (b)		3.39			12.58			8.53			(3.16	)		6.71			9.79
Total from investment operations		4.04			13.93			9.71			(2.09	)		7.71			10.70
Net equalization credits and charges (a)		(0.02	)		(0.01	)		(0.01	)		(0.01	)		0.03			0.05
Distributions to shareholders from:
Net investment income		(0.71	)		(1.32	)		(1.22	)		(1.13	)		(0.99	)		(0.90	)
Net asset value, end of period	$	74.30		$	70.99		$	58.39		$	49.91		$	53.14		$	46.39
Total return (c)		5.64	%		24.03	%		19.62	%		(4.09	)%		16.71	%		29.70	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	12,711,796		$	11,055,679		$	7,335,204		$	6,257,309		$	8,575,617		$	6,860,109
Ratios to average net assets:
Total expenses		0.13	%(d)		0.14	%		0.14	%		0.15	%		0.15	%		0.17	%
Net investment income (loss)		1.75	%(d)		2.07	%		2.15	%		1.95	%		1.93	%		2.19	%
Portfolio turnover rate (e)		6	%(f)		5	%		12	%		6	%		3	%		6	%

(a) Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period.

(b) Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund.

(c) Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation.

(d) The ratios for periods less than one year are annualized.

(e) Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions on Select Sector SPDR shares.

(f) Not annualized.

See accompanying notes to financial statements.

43

THE SELECT SECTOR SPDR TRUST

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	The Materials Select Sector SPDR Fund
	Six Months Ended 3/31/18 (Unaudited)			Year Ended 9/30/17			Year Ended 9/30/16			Year Ended 9/30/15			Year Ended 9/30/14			Year Ended 9/30/13
Net asset value, beginning of period	$	56.80		$	47.75		$	39.94		$	49.58		$	42.00		$	36.80
Income (loss) from investment operations:
Net investment income (loss) (a)		0.53			1.01			0.96			0.93			0.95			0.98
Net realized and unrealized gain (loss) (b)		0.09			9.06			7.79			(9.50	)		7.57			5.21
Total from investment operations		0.62			10.07			8.75			(8.57	)		8.52			6.19
Net equalization credits and charges (a)		0.02			0.03			0.02			(0.11	)		0.00	(c)		0.02
Distributions to shareholders from:
Net investment income		(0.51	)		(1.05	)		(0.96	)		(0.96	)		(0.94	)		(1.01	)
Net asset value, end of period	$	56.93		$	56.80		$	47.75		$	39.94		$	49.58		$	42.00
Total return (d)		1.09	%		21.33	%		22.11	%		(17.75	)%		20.36	%		17.09	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	4,641,449		$	4,051,402		$	2,894,890		$	1,942,121		$	5,182,235		$	3,585,702
Ratios to average net assets:
Total expenses		0.13	%(e)		0.14	%		0.14	%		0.15	%		0.15	%		0.17	%
Net investment income (loss)		1.79	%(e)		1.95	%		2.12	%		1.94	%		2.02	%		2.50	%
Portfolio turnover rate (f)		3	%(g)		10	%		16	%		9	%		7	%		6	%

(a) Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period.

(b) Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund.

(c) Amount is less than $0.005 per share.

(d) Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation.

(e) The ratios for periods less than one year are annualized.

(f) Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions on Select Sector SPDR shares.

(g) Not annualized.

See accompanying notes to financial statements.

44

THE SELECT SECTOR SPDR TRUST

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	The Real Estate Select Sector SPDR Fund
	Six Months Ended 3/31/18 (Unaudited)			Year Ended 9/30/17			For the Period 10/8/15* - 9/30/16
Net asset value, beginning of period	$	32.26		$	32.74		$	30.00
Income (loss) from investment operations:
Net investment income (loss) (a)		0.53			0.75			2.19
Net realized and unrealized gain (loss) (b)		(1.15	)		0.11			1.40
Total from investment operations		(0.62	)		0.86			3.59
Net equalization credits and charges (a)		(0.01	)		(0.08	)		0.24
Distributions to shareholders from:
Net investment income		(0.55	)		(1.26	)		(1.09	)
Net asset value, end of period	$	31.08		$	32.26		$	32.74
Total return (c)		(1.98	)%		2.52	%		12.92	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	2,357,668		$	2,354,818		$	3,200,634
Ratios to average net assets:
Total expenses		0.13	%(d)		0.14	%		0.16	%(d)
Net expenses		0.13	%(d)		0.14	%		0.07	%(d)
Net investment income (loss)		3.33	%(d)		2.38	%		6.82	%(d)
Portfolio turnover rate (e)		2	%(f)		16	%		5	%(f)

* Commencement of operations.

(a) Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period.

(b) Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund.

(c) Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation.

(d) The ratios for periods less than one year are annualized.

(e) Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions on Select Sector SPDR shares.

(f) Not annualized.

See accompanying notes to financial statements.

45

THE SELECT SECTOR SPDR TRUST

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	The Technology Select Sector SPDR Fund
	Six Months Ended 3/31/18 (Unaudited)			Year Ended 9/30/17			Year Ended 9/30/16			Year Ended 9/30/15			Year Ended 9/30/14			Year Ended 9/30/13
Net asset value, beginning of period	$	59.13		$	47.78		$	39.56		$	39.89		$	32.04		$	30.83
Income (loss) from investment operations:
Net investment income (loss) (a)		0.46			0.85			0.83			0.75			0.68			0.61
Net realized and unrealized gain (loss) (b)		6.31			11.35			8.22			(0.30	)		7.86			1.20
Total from investment operations		6.77			12.20			9.05			0.45			8.54			1.81
Net equalization credits and charges (a)		0.00	(c)		(0.00	)(c)		0.01			(0.01	)		(0.01	)		(0.00	)(c)
Distributions to shareholders from:
Net investment income		(0.46	)		(0.85	)		(0.84	)		(0.77	)		(0.68	)		(0.60	)
Net asset value, end of period	$	65.44		$	59.13		$	47.78		$	39.56		$	39.89		$	32.04
Total return (d)		11.45	%		25.72	%		23.13	%		1.04	%		26.75	%		5.99	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	20,392,651		$	17,832,444		$	13,003,829		$	11,382,284		$	13,854,341		$	11,714,309
Ratios to average net assets:
Total expenses		0.13	%(e)		0.14	%		0.14	%		0.15	%		0.15	%		0.17	%
Net investment income (loss)		1.43	%(e)		1.62	%		1.91	%		1.80	%		1.85	%		1.99	%
Portfolio turnover rate (f)		2	%(g)		4	%		5	%		5	%		10	%		4	%

(a) Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period.

(b) Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund.

(c) Amount is less than $0.005 per share.

(d) Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation.

(e) The ratios for periods less than one year are annualized.

(f) Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions on Select Sector SPDR shares.

(g) Not annualized.

See accompanying notes to financial statements.

46

THE SELECT SECTOR SPDR TRUST

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period

	The Utilities Select Sector SPDR Fund
	Six Months Ended 3/31/18 (Unaudited)			Year Ended 9/30/17			Year Ended 9/30/16			Year Ended 9/30/15			Year Ended 9/30/14			Year Ended 9/30/13
Net asset value, beginning of period	$	53.05		$	49.00		$	43.29		$	42.10		$	37.36		$	36.39
Income (loss) from investment operations:
Net investment income (loss) (a)		0.87			1.69			1.62			1.57			1.49			1.47
Net realized and unrealized gain (loss) (b)		(2.49	)		4.07			5.76			1.22			4.77			1.01
Total from investment operations		(1.62	)		5.76			7.38			2.79			6.26			2.48
Net equalization credits and charges (a)		(0.01	)		(0.01	)		(0.03	)		(0.04	)		(0.03	)		(0.04	)
Distributions to shareholders from:
Net investment income		(0.90	)		(1.70	)		(1.64	)		(1.56	)		(1.49	)		(1.47	)
Net asset value, end of period	$	50.52		$	53.05		$	49.00		$	43.29		$	42.10		$	37.36
Total return (c)		(3.09	)%		11.88	%		17.06	%		6.51	%		16.83	%		6.78	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	7,098,758		$	7,775,414		$	7,411,727		$	6,639,689		$	5,468,273		$	5,175,145
Ratios to average net assets:
Total expenses		0.13	%(d)		0.14	%		0.14	%		0.15	%		0.15	%		0.17	%
Net investment income (loss)		3.33	%(d)		3.32	%		3.40	%		3.52	%		3.67	%		3.93	%
Portfolio turnover rate (e)		2	%(f)		2	%		8	%		4	%		5	%		4	%

(a) Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period.

(b) Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund.

(c) Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation.

(d) The ratios for periods less than one year are annualized.

(e) Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions on Select Sector SPDR shares.

(f) Not annualized.

See accompanying notes to financial statements.

47

THE SELECT SECTOR SPDR TRUST

NOTES TO FINANCIAL STATEMENTS

March 31, 2018 (Unaudited)

1. Organization

The Select Sector SPDR Trust (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.

As of March 31, 2018, the Trust consists of ten (10) series, each of which represents a separate series of beneficial interest in the Trust. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of an unlimited number of shares of beneficial interest at $0.01 par value. The financial statements herein relate to the following Funds (each a “Fund”, and collectively, the “Funds”):

The Consumer Discretionary Select Sector SPDR Fund

The Consumer Staples Select Sector SPDR Fund

The Energy Select Sector SPDR Fund

The Financial Select Sector SPDR Fund

The Health Care Select Sector SPDR Fund

The Industrial Select Sector SPDR Fund

The Materials Select Sector SPDR Fund

The Real Estate Select Sector SPDR Fund

The Technology Select Sector SPDR Fund

The Utilities Select Sector SPDR Fund

Each Fund is classified as a non-diversified investment company under the 1940 Act.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. The Trust has entered into an Indemnification Agreement with each trustee who is not an “interested person” (as defined in the 1940 Act) (each, an “Independent Trustee”) providing for indemnification of the Independent Trustee by the Trust consistent with the foregoing and providing procedures for seeking and obtaining indemnification advancement of expenses. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.

2. Summary of Significant Accounting Policies

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

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

Security Valuation

Each Fund’s investments are valued at fair value each day that the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of each Fund are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board. The Committee provides oversight of the valuation of investments for the Funds. The Board has responsibility for determining the fair value of investments.

Valuation techniques used to value each Fund’s investments by major category are as follows:

• Equity investments (including registered investment companies that are exchange-traded funds) 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.

• Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value (“NAV”) per share or unit.

48

THE SELECT SECTOR SPDR TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

March 31, 2018 (Unaudited)

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

Fair value pricing could result in a difference between the prices used to calculate a Fund’s NAV and the prices used by the Funds’ respective Select Sector Index, which in turn could result in a difference between the Fund’s performance and the performance of the Fund’s respective Select Sector Index. Various inputs are used in determining the value of the Funds’ investments.

The Funds value their assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.

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

• Level 1 — Unadjusted quoted prices in active markets for an identical asset or liability;

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

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

The value of each Fund’s investments according to the fair value hierarchy as of March 31, 2018 is disclosed in each Fund’s respective Schedule of Investments.

Changes in valuation techniques may result in transfers in or out of an assigned level within the fair value hierarchy. Transfers between different levels of the fair value hierarchy are recognized at the end of the reporting period.

The Funds had no transfers between levels for the period ended March 31, 2018.

Investment Transactions and Income Recognition

Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method.

Dividend income and capital gain distributions, if any, are recognized on the ex-dividend date, net of any foreign taxes withheld at source, if any. Non-cash dividends received in the form of stock are recorded as dividend income at fair value. Distributions received by the Funds may include a return of capital that is estimated by management. Such amounts are recorded as a reduction of the cost of investments or reclassified to capital gains.

The Funds invest in real estate investment trusts (“REITs”). REITs determine the tax character of their distributions annually and may characterize a portion of their distributions as a return of capital or capital gain. The Funds’ policy is to record all REIT distributions initially as dividend income and re-designate the prior calendar year’s to return of capital or capital gain distributions at year end based on information provided by the REIT and/or SSGA Funds Management, Inc.’s (the “Adviser” or “SSGA FM”) estimates of such re-designations for which actual information has not yet been reported.

49

THE SELECT SECTOR SPDR TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

March 31, 2018 (Unaudited)

Expenses

Certain expenses, which are directly identifiable to a specific Fund, are applied to that Fund within the Trust. Other expenses which cannot be attributed to a specific Fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Funds within the Trust.

Foreign Taxes

The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with SSGA FM’s understanding of the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Funds and are reflected in the Statements of Operations, if applicable. Foreign taxes payable or deferred as of March 31, 2018, if any, are disclosed in the Funds’ Statements of Assets and Liabilities.

Equalization

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

Distributions

Distributions from net investment income, if any, are declared and paid quarterly. Net realized capital gains, if any, are distributed annually. Dividends may be declared and paid more frequently or at any other times to improve Index tracking or to comply with the distribution requirements of the Internal Revenue Code. The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.

3. Fees and Transactions with Affiliates

Advisory and Administration Fee

The Trust, on behalf of each Fund, has entered into an Investment Advisory Agreement with SSGA FM. For its advisory services to the Funds, each Fund pays the Adviser a fee accrued daily and paid monthly. The advisory fee is calculated based upon the average daily net assets of the Trust and allocated pro rata to each Select Sector SPDR Fund based on the relative net assets of each Fund. The advisory fee is a sliding scale fee calculated as follows: (i) 0.05% of average daily net assets of the Trust up to the first $12.5 billion of net assets; (ii) 0.04% of average daily net assets of the Trust up to the next $17.5 billion of net assets; (iii) 0.035% of average daily net assets of the Trust up to the next $20.0 billion of net assets; (iv) 0.03% of average daily net assets of the Trust up to the next $50.0 billion of net assets; (v) 0.0285% of average daily net assets of the Trust up to the next $50.0 billion of net assets; (vi) 0.0271% of average daily net assets of the Trust up to the next $50.0 billion of net assets; and (vii) 0.0256% of average daily net assets on the remainder of net assets of the Trust. From time to time, the Adviser may waive all or a portion of its fees. The Adviser has contractually agreed to waive its advisory fee and reimburse certain expenses, until January 31, 2019, so that the annual Fund operating expenses of The Real Estate Select Sector SPDR Fund are limited to no more than 0.1345% of the Fund’s average daily net assets (exclusive of non-recurring account fees and expenses). The Adviser may continue such waiver and/or reimbursement from year to year, but there is no guarantee that the Adviser will do so after January 31, 2019. The waiver and/or reimbursement may not be terminated prior to January 31, 2019, except with the approval of the Board. The amount of expenses reimbursed by the Adviser during the reporting period for The Real Estate Select Sector SPDR Fund was $4,750.

The Trust has also entered into an Administration Agreement with SSGA FM to serve as each Fund’s Administrator. For its administration services to the Funds, each Fund pays SSGA FM a fee accrued daily and paid monthly at a rate 0.0006% of its average daily net assets.

50

THE SELECT SECTOR SPDR TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

March 31, 2018 (Unaudited)

Unitary Fee

State Street Bank and Trust Company (“State Street”), an affiliate of the Adviser, serves as sub-administrator to each Fund of the Trust. A “unitary” fee is paid by each Fund to SSGA FM for administration services as well as to State Street for custody, sub-administration and transfer agency services provided to the Funds. The unitary fee is calculated based upon the average daily net assets of the Trust and allocated pro rata to each Select Sector SPDR Fund based upon the relative net assets of each Fund. Effective January 1, 2018, the unitary fee structure was amended and is calculated as follows: (i) $0 — $50 billion of net assets of the Trust, 0.015% of average daily net assets; (ii) Over $50 billion — $75 billion of net assets of the Trust, 0.0125% of average daily net assets; (iii) Over $75 billion- $100 billion of net assets of the Trust, 0.01% of average daily net assets; (iv) Over $100 billion -$400 billion of net assets of the Trust, 0.004% of average net assets; and (v) Over $400 billion of net assets of the Trust, 0.0025% of average net assets. The fee is paid by each Fund to State Street for custody, sub-administration and transfer agency services provided to the Funds.

Prior to January 1, 2018, the unitary fee was a sliding scale fee calculated as follows: (i) 0.05% of average daily net assets up to the first $12.5 billion of net assets of the Trust; (ii) 0.015% of average daily net assets up to the next $12.5 billion of net assets of the Trust; (iii) 0.0075% of average daily net assets up to the next $93 billion of net assets of the Trust; (iv) 0.004% of average daily net assets up to the next $32 billion of net assets of the Trust; (v) 0.0030% of average daily net assets up to the next $50 billion of the net assets of the Trust; and (vi) 0.0020% of average daily net assets on the remainder of net assets of the Trust. State Street is a wholly-owned subsidiary of State Street Corporation.

Other Transactions with Affiliates — Securities Lending

State Street, an affiliate of the Funds, acts as the securities lending agent for the Funds, pursuant to an amended and restated securities lending authorization agreement dated July 10, 2017.

Proceeds collected by State Street on investment of cash collateral or any fee income are allocated as follows (after deduction of such other amounts payable to State Street under the terms of the securities lending agreement): 85% payable to the Fund, and 15% payable to State Street.

In addition, cash collateral from lending activities is invested in the State Street Navigator Securities Lending Government Money Market Portfolio, an affiliated money market fund, for which SSGA FM serves as investment adviser. See Note 9 for additional information regarding securities lending.

Other Transactions with Affiliates

The Funds may invest in affiliated entities, including securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Funds owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended March 31, 2018, are disclosed in the Schedules of Investments.

4. Additional Expenses

Distributor

ALPS Portfolio Solutions Distributor, Inc. (the “Distributor”) serves as the distributor of the shares of each Fund. Pursuant to a Distribution and Service Plan adopted in accordance with Rule 12b-1 under the 1940 Act, each Fund is authorized to pay fees, including fees to the Distributor, at an annualized rate of 0.25% of the average daily net assets of the Fund. Effective January 31, 2018, the Board has limited each Fund’s 12b-1 fee to 0.035% of its average daily net assets through at least January 31, 2019. Prior to January 31, 2018, each applicable Fund’s 12b-1 fee was limited to an annual rate of 0.040% of its average daily net assets.

License Fees

Standard and Poor’s Financial Services LLC, an affiliate of The McGraw-Hill Companies (“S&P”), NYSE Arca, Inc. and Merrill Lynch, Pierce, Fenner & Smith Incorporated, an affiliate of Bank of America Corporation (“BofA Merrill Lynch”), have entered into a license agreement with respect to each Select Sector Index. The Trust has entered into a sub-license

51

THE SELECT SECTOR SPDR TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

March 31, 2018 (Unaudited)

agreement whereby the Trust agrees to pay a sub-license fee per annum (i) to S&P equal to the greater of 0.03% of the aggregate net assets of the Trust up to $50 billion and 0.02% on the remainder of the assets of the Trust and (ii) to BofA Merrill Lynch equal to 0.03% of the aggregate net assets of the Trust up to $35 billion, 0.02% of the aggregate net assets of the Trust from $35 billion up to and including $50 billion and 0.01% on the remainder of net assets of the Trust over $50 billion (provided that Trust assets do not include assets that are held by accounts advised by BofA Merrill Lynch in an investment advisory program). The fees to S&P and BofA Merrill Lynch are payable on a quarterly basis. Each Select Sector SPDR Fund will pay its proportionate share of the annual sub-license fees based on the relative net assets of each Fund.

5. Trustees’ Fees

The fees and expenses of the Trust’s trustees are paid directly by the Funds. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.

6. Investment Transactions

Purchases and sales of investments (excluding in-kind transactions and short term investments) for the period ended March 31, 2018, were as follows:

	Purchases		Sales
The Consumer Discretionary Select Sector SPDR Fund	$	199,895,529	$	165,425,778
The Consumer Staples Select Sector SPDR Fund		414,666,907		424,235,424
The Energy Select Sector SPDR Fund		531,825,844		549,193,535
The Financial Select Sector SPDR Fund		380,797,438		412,064,253
The Health Care Select Sector SPDR Fund		320,755,354		232,172,705
The Industrial Select Sector SPDR Fund		600,342,389		608,237,952
The Materials Select Sector SPDR Fund		113,351,854		107,026,458
The Real Estate Select Sector SPDR Fund		37,596,303		44,376,080
The Technology Select Sector SPDR Fund		397,145,584		369,020,640
The Utilities Select Sector SPDR Fund		120,053,059		114,690,582

For the period ended March 31, 2018, the following Funds had in-kind contributions, redemptions and net realized gains/losses in the amounts as follows:

	In-kind Contributions		In-kind Redemptions		In-kind Net Realized Gains/(Losses)
The Consumer Discretionary Select Sector SPDR Fund	$	4,327,942,479	$	4,528,295,365	$	1,018,804,298
The Consumer Staples Select Sector SPDR Fund		6,826,894,173		10,621,522,914		224,844,467
The Energy Select Sector SPDR Fund		8,037,877,914		4,503,747,289		318,742,454
The Financial Select Sector SPDR Fund		11,954,342,192		9,165,321,085		2,017,666,749
The Health Care Select Sector SPDR Fund		4,603,468,547		7,044,778,462		1,064,738,078
The Industrial Select Sector SPDR Fund		8,687,059,847		7,537,530,585		1,223,605,536
The Materials Select Sector SPDR Fund		3,058,514,740		2,424,701,621		293,126,120
The Real Estate Select Sector SPDR Fund		853,449,786		761,096,529		57,930,389
The Technology Select Sector SPDR Fund		6,734,645,408		5,944,118,013		1,689,036,708
The Utilities Select Sector SPDR Fund		6,527,057,658		9,129,207,891		175,006,242

7. Shareholder Transactions

Each Fund issues and redeems its shares, at NAV, by each Fund only in aggregations of a specified number of shares or multiples thereof (“Creation Units”). Except when aggregated in Creation Units, shares of each Fund are not redeemable. Transactions in capital shares for each Fund are disclosed in detail in the Statements of Changes in Net Assets.

52

THE SELECT SECTOR SPDR TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

March 31, 2018 (Unaudited)

The consideration for the purchase of Creation Units of a Fund may consist of the in-kind deposit of a designated portfolio of securities and a specified amount of cash. Investors purchasing and redeeming Creation Units may pay a purchase transaction fee and a redemption transaction fee directly to the Trust and/or custodian, to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units, including Creation Units for cash. An additional variable fee may be charged for certain transactions. Such variable charges, if any, are included in “Other Capital” on the Statements of Changes on Net Assets.

8. Income Tax Information

The Funds have qualified and intend to continue to qualify as regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended. Each Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.

The Funds file federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. As of September 30, 2017, SSGA FM has analyzed each Fund’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.

Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.

As of March 31, 2018, gross unrealized appreciation and gross unrealized depreciation of investments and other financial instruments based on cost for federal income tax purposes were as follows:

	Tax Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
The Consumer Discretionary Select Sector SPDR Fund	$	12,303,497,615	$	1,521,910,194	$	960,153,780	$	561,756,414
The Consumer Staples Select Sector SPDR Fund		9,708,265,708		77,556,986		1,048,761,613		(971,204,627	)
The Energy Select Sector SPDR Fund		20,552,984,658		381,803,784		3,544,008,022		(3,162,204,238	)
The Financial Select Sector SPDR Fund		29,827,802,560		2,722,913,572		533,185,705		2,189,727,867
The Health Care Select Sector SPDR Fund		15,650,167,210		920,487,770		1,352,248,618		(431,760,848	)
The Industrial Select Sector SPDR Fund		12,979,061,530		604,347,068		857,147,834		(252,800,766	)
The Materials Select Sector SPDR Fund		4,950,026,407		40,103,411		353,124,754		(313,021,343	)
The Real Estate Select Sector SPDR Fund		2,575,883,788		94,996,547		320,813,812		(225,817,265	)
The Technology Select Sector SPDR Fund		18,002,921,181		2,816,431,880		421,252,241		2,395,179,639
The Utilities Select Sector SPDR Fund		7,895,581,483		58,435,507		871,585,898		(813,150,391	)

9. Securities Lending

Each Fund may lend securities to qualified broker-dealers or institutional investors. The loans are secured at all times by cash, cash equivalents or U.S. government securities in an amount at least equal to the market value of the securities loaned, plus accrued interest and dividends, determined on a daily basis and adjusted accordingly. The value of the collateral with respect to a loaned security may be temporarily more or less than the value of a security due to market fluctuations of securities values. With respect to each loan, if on any U.S. business day the aggregate market value of securities collateral plus cash collateral is less than the aggregate market value of the securities which are subject to the loan, the borrower will be notified to provide additional collateral on the next business day.

The Funds will regain record ownership of loaned securities to exercise certain beneficial rights; however, the Funds may bear the risk of delay in recovery of, or even loss of rights in the securities loaned should the borrower fail financially. In addition, a Fund will bear the risk of loss of any cash collateral that it may invest. Each Fund receives compensation for lending its securities from interest or dividends earned on the cash, cash equivalents or U.S. government securities held as collateral, net

53

THE SELECT SECTOR SPDR TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

March 31, 2018 (Unaudited)

of fee rebates paid to the borrower and net of fees paid to State Street as the lending agent. Additionally, a Fund will receive a fee from the borrower for non-cash collateral equal to a percentage of the market value of the loaned securities.

The market value of securities on loan as of March 31, 2018, and the value of the invested cash collateral are disclosed in the Funds’ Statements of Assets and Liabilities. Non-cash collateral is not disclosed in the Funds’ Statements of Assets and Liabilities as it is held by the lending agent on behalf of the Funds, and the Funds do not have the ability to re-hypothecate those securities. Securities lending income, as disclosed in the Funds’ Statements of Operations, represents the income earned from the non-cash collateral and the investment of cash collateral, net of fee rebates paid to the borrower and net of fees paid to State Street as lending agent.

The following is a summary of each Fund’s securities lending agreements and related cash and non-cash collateral received as of March 31, 2018:

Fund	Market Value of Securities on Loan		Cash Collateral Received		Non Cash Collateral Received*		Total Collateral Received
The Consumer Discretionary Select Sector SPDR Fund	$	123,282,193	$	38,301,115	$	87,955,922	$	126,257,037
The Consumer Staples Select Sector SPDR Fund		93,977,979		—		96,261,356		96,261,356
The Energy Select Sector SPDR Fund		193,389,171		50,046,810		146,255,052		196,301,862
The Financial Select Sector SPDR Fund		9,692,292		—		9,899,715		9,899,715
The Health Care Select Sector SPDR Fund		1,464,237		—		1,497,788		1,497,788
The Industrial Select Sector SPDR Fund		72,425,630		25,677,260		47,880,078		73,557,338
The Materials Select Sector SPDR Fund		8,407,345		—		8,589,561		8,589,561
The Real Estate Select Sector SPDR Fund		35,745,430		—		36,623,000		36,623,000
The Technology Select Sector SPDR Fund		118,919,324		7,423,352		114,376,576		121,799,928
The Utilities Select Sector SPDR Fund		32,571,793		—		33,252,491		33,252,491

* The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities.

The following table reflects a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged or securities loaned, and the remaining contractual maturity of those transactions as of March 31, 2018:

		Remaining Contractual Maturity of the Agreements As of March 31, 2018
Fund	Securities Lending Transactions	Overnight and Continuous		<30 Days		Between 30 & 90 Days		>90 Days		Total Borrowings		Gross Amount of Recognized Liabilities for Securities Lending Transactions
The Consumer Discretionary Select Sector SPDR Fund	Common Stocks	$	38,301,115	$	—	$	—	$	—	$	38,301,115	$	38,301,115
The Energy Select Sector SPDR Fund	Common Stocks		50,046,810		—		—		—		50,046,810		50,046,810
The Industrial Select Sector SPDR Fund	Common Stocks		25,677,260		—		—		—		25,677,260		25,677,260
The Technology Select Sector SPDR Fund	Common Stocks		7,423,352		—		—		—		7,423,352		7,423,352

10. Risks

Concentration Risk

As a result of the Funds’ ability to invest a large percentage of their assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Funds’ investments more than if the Funds’ were more broadly diversified.

54

THE SELECT SECTOR SPDR TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

March 31, 2018 (Unaudited)

Market and Credit Risk

In the normal course of business, the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the general economic conditions and fluctuations of the market (market risk). Additionally, a Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.

11. Subsequent Events

Management has evaluated the impact of all subsequent events on the Funds through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.

55

THE SELECT SECTOR SPDR TRUST

OTHER INFORMATION

March 31, 2018 (Unaudited)

Expense Example

As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and/or service fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 made at the beginning of the period shown and held for the entire period from October 1, 2017 to March 31, 2018.

The table below illustrates your Fund’s cost in two ways:

Based on actual fund return — This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from each Fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in each Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading “Expenses Paid During Period”.

Based on hypothetical 5% return — This section is intended to help you compare your Fund’s costs with those of other mutual funds. It assumes that the Fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Fund’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on a 5% return. You can assess your Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales load charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.

				Actual				Hypothetical (assuming a 5% return before expenses)
	Annualized Expense Ratio			Ending Account Value		Expenses Paid During Period(a)		Ending Account Value		Expenses Paid During Period(a)
The Consumer Discretionary Select Sector SPDR Fund		0.13	%	$	1,131.80	$	0.69	$	1,024.30	$	0.66
The Consumer Staples Select Sector SPDR Fund		0.13			987.60		0.64		1,024.30		0.66
The Energy Select Sector SPDR Fund		0.13			997.90		0.65		1,024.30		0.66
The Financial Select Sector SPDR Fund		0.13			1,075.10		0.67		1,024.30		0.66
The Health Care Select Sector SPDR Fund		0.13			1,001.10		0.65		1,024.30		0.66
The Industrial Select Sector SPDR Fund		0.13			1,056.40		0.67		1,024.30		0.66
The Materials Select Sector SPDR Fund		0.13			1,010.90		0.65		1,024.30		0.66
The Real Estate Select Sector SPDR Fund		0.13			980.20		0.64		1,024.30		0.66
The Technology Select Sector SPDR Fund		0.13			1,114.50		0.69		1,024.30		0.66
The Utilities Select Sector SPDR Fund		0.13			969.10		0.64		1,024.30		0.66

(a) Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 182, then divided by 365.

Premium/Discount Information

Information regarding how often the Shares of each Fund traded on the exchange at a price above (i.e. at a premium) or below (i.e. at a discount) the NAV of the Fund during the past calendar year can be found at www.sectorspdrs.com.

56

THE SELECT SECTOR SPDR TRUST

OTHER INFORMATION (continued)

March 31, 2018 (Unaudited)

Proxy Voting Policies and Procedures and Records

A description of the Trust’s proxy voting policies and procedures that are used by the Funds’ investment adviser to vote proxies relating to the Funds’ portfolio of securities are available (i) without charge, upon request by calling 1-866-Sector-ETF (1-866-732-8673) (toll free) or (ii) on the SEC’s website, at www.sec.gov.

Information regarding how the investment adviser voted for the prior 12-month period ended June 30, is available by August 31 of each year by calling the same number and on the SEC’s website, at www.sec.gov, and on the Funds’ website at www.sectorspdrs.com.

Quarterly Portfolio Schedule

The Funds file a complete schedule of investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The information on the Form N-Q is available upon request, without charge, by calling 1-866-Sector-ETF (1-866-732-8673).

57

TRUSTEES

Cheryl Burgermeister, Chairperson

George R. Gaspari

Ashley T. Rabun

James E. Ross

Ernest J. Scalberg

R. Charles Tschampion

INVESTMENT MANAGER AND ADMINISTRATOR

SSGA Funds Management, Inc.

One Iron Street

Boston, MA 02210

DISTRIBUTOR

ALPS Portfolio Solutions Distributor, Inc.

1290 Broadway, Suite 1100

Denver, Colorado 80203

CUSTODIAN, SUB-ADMINISTRATOR AND TRANSFER AGENT

State Street Bank and Trust Company

State Street Financial Center

One Lincoln Street

Boston, MA 02111

LEGAL COUNSEL

Morgan, Lewis & Bockius LLP

1111 Pennsylvania Avenue, NW

Washington, DC 20004

INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

PricewaterhouseCoopers LLP

101 Seaport Boulevard

Suite 500

Boston, MA 02210

The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus from the Distributor, ALPS Portfolio Solutions Distributor, Inc., by calling 1-866-SECTOR-ETF (1-866-732-8673). Please read the prospectus carefully before you invest.

Visit www.sectorspdrs.com or call 1-866-SECTOR-ETF (1-866-732-8673)

SSSPDRSAR

Item 2. Code of Ethics.

Not applicable to the registrant; this Form N-CSR is a Semi-Annual Report.

Item 3. Audit Committee Financial Expert.

Not applicable to the registrant; this Form N-CSR is a Semi-Annual Report.

Item 4. Principal Accountant Fees and Services.

Not applicable to the registrant; this Form N-CSR is a Semi-Annual Report.

Item 5. Disclosure of Audit Committees for Listed Registrants.

Not applicable to the registrant; this Form N-CSR is a Semi-Annual Report.

Item 6. Schedule of Investments.

(a) The schedule of investments is included as part of the report to shareholders filed under Item 1 of this Form N-CSR.

(b) Not applicable to the registrant.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to the registrant.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to the registrant.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable to the registrant.

Item 10. Submission of Matters to a Vote of Security Holders.

The registrant has not adopted any material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board.

Item 11. Controls and Procedures.

(a) Within 90 days of the filing date of this Form N-CSR, Ellen M. Needham, the registrant’s President and Principal Executive Officer, and Chad C. Hallett, the registrant’s Treasurer and Principal Financial Officer, reviewed the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”)) and evaluated their effectiveness. Based on their review, Ms. Needham and Mr. Hallett determined that the disclosure controls and procedures adequately ensure that information required to be disclosed by the registrant in its periodic reports is recorded, processed, summarized and reported within the time periods required by the U.S. Securities and Exchange Commission.

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

(a) Not applicable.

(b) Not applicable.

Item 13. Exhibits.

(a)(1) Not applicable to the registrant; this Form N-CSR is a Semi-Annual Report.

(a)(2) Separate certifications required by Rule 30a-2 under the 1940 Act for each principal executive officer and principal financial officer of the registrant are attached.

(a)(3) Not applicable to the registrant.

(a)(4) Not applicable to the registrant.

(b) A single certification required by Rule 30a-2(b) under the 1940 Act, Rule 13a-14(b) or Rule 15d-14(b) under the Securities Exchange Act of 1934, as amended and Section 1350 of Chapter 63 of Title 18 of the United States Code for the principal executive officer and principal financial officer of the registrant is attached.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

The Select Sector SPDR® Trust
By:	/s/ Ellen M. Needham
	Ellen M. Needham
	President and Principal Executive Officer
Date:	June 1, 2018

Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:	/s/ Ellen M. Needham
	Ellen M. Needham
	President and Principal Executive Officer
Date:	June 1, 2018

By:	/s/ Chad C. Hallett
	Chad C. Hallett
	Treasurer and Principal Financial Officer
Date:	June 1, 2018