UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-08839
-------------
SPDR(R) SERIES TRUST
- --------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
One Lincoln Street, Boston, MA 02111
- --------------------------------------------------------------------------------
(Address of principal executive offices) (zip code)
Ryan M. Louvar, Esq.
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
(Name and address of agent for service)
Copy to:
W. John McGuire, Esq.
Morgan, Lewis and Bockius LLP
1111 Pennsylvania Ave., NW
Washington, DC 20004
Registrant's telephone number, including area code: (866) 787-2257
Date of fiscal year end: June 30
Date of reporting period: December 31, 2009
ITEM 1: REPORTS TO SHAREHOLDERS
SPDR(R) SERIES TRUST - EQUITY FUNDS
SEMI-ANNUAL REPORT DECEMBER 31, 2009
(SPDRS LOGO) PRECISE IN A WORLD THAT ISN'T(SM)
TABLE OF CONTENTS
<Table>
PERFORMANCE & PORTFOLIO SUMMARY
SPDR Dow Jones Total Market ETF (TMW)................................... 1
SPDR Dow Jones Large Cap ETF (ELR)...................................... 4
SPDR Dow Jones Large Cap Growth ETF (ELG)............................... 7
SPDR Dow Jones Large Cap Value ETF (ELV)................................ 10
SPDR Dow Jones Mid Cap ETF (EMM)........................................ 13
SPDR Dow Jones Mid Cap Growth ETF (EMG)................................. 16
SPDR Dow Jones Mid Cap Value ETF (EMV).................................. 19
SPDR Dow Jones Small Cap ETF (DSC)...................................... 22
SPDR Dow Jones Small Cap Growth ETF (DSG)............................... 25
SPDR Dow Jones Small Cap Value ETF (DSV)................................ 28
SPDR DJ Global Titans ETF (DGT)......................................... 31
SPDR Dow Jones REIT ETF (RWR)........................................... 34
SPDR KBW Bank ETF (KBE)................................................. 37
SPDR KBW Capital Markets ETF (KCE)...................................... 40
SPDR KBW Insurance ETF (KIE)............................................ 43
SPDR KBW Mortgage Finance(SM) ETF (KME)................................. 46
SPDR KBW Regional Banking(SM) ETF (KRE)................................. 49
SPDR Morgan Stanley Technology ETF (MTK)................................ 52
SPDR S&P Dividend ETF (SDY)............................................. 55
SPDR S&P Biotech ETF (XBI).............................................. 58
SPDR S&P Homebuilders ETF (XHB)......................................... 61
SPDR S&P Metals & Mining ETF (XME)...................................... 64
SPDR S&P Oil & Gas Equipment & Services ETF (XES)....................... 67
SPDR S&P Oil & Gas Exploration & Production ETF (XOP)................... 70
SPDR S&P Pharmaceuticals ETF (XPH)...................................... 73
SPDR S&P Retail ETF (XRT)............................................... 76
SPDR S&P Semiconductor ETF (XSD)........................................ 79
SPDR Wells Fargo Preferred Stock ETF (PSK).............................. 82
SUMMARY SCHEDULES OF INVESTMENTS
SPDR Dow Jones Total Market ETF (TMW)................................... 83
SPDR Dow Jones Large Cap ETF (ELR)...................................... 86
SPDR Dow Jones Large Cap Growth ETF (ELG)............................... 89
SPDR Dow Jones Large Cap Value ETF (ELV)................................ 92
SPDR Dow Jones Mid Cap ETF (EMM)........................................ 95
SPDR Dow Jones Mid Cap Growth ETF (EMG)................................. 98
SPDR Dow Jones Mid Cap Value ETF (EMV).................................. 101
SPDR Dow Jones Small Cap ETF (DSC)...................................... 103
SPDR Dow Jones Small Cap Growth ETF (DSG)............................... 106
SPDR Dow Jones Small Cap Value ETF (DSV)................................ 109
</Table>
<Table>
SCHEDULES OF INVESTMENTS
SPDR DJ Global Titans ETF (DGT)......................................... 112
Dow Jones REIT ETF (RWR)................................................ 113
SPDR KBW Bank ETF (KBE)................................................. 115
SPDR KBW Capital Markets ETF (KCE)...................................... 116
SPDR KBW Insurance ETF (KIE)............................................ 117
SPDR KBW Mortgage Finance ETF (KME)..................................... 118
SPDR KBW Regional Banking ETF (KRE)..................................... 119
Morgan Stanley Technology ETF (MTK)..................................... 120
SPDR S&P Dividend ETF (SDY)............................................. 121
SPDR S&P Biotech ETF (XBI).............................................. 123
SPDR S&P Homebuilders ETF (XHB)......................................... 124
SPDR S&P Metals & Mining ETF (XME)...................................... 125
SPDR S&P Oil & Gas Equipment & Services ETF (XES)....................... 126
SPDR S&P Oil & Gas Exploration & Production ETF (XOP)................... 127
SPDR S&P Pharmaceuticals ETF (XPH)...................................... 128
SPDR S&P Retail ETF (XRT)............................................... 129
SPDR S&P Semiconductor ETF (XSD)........................................ 130
SPDR Wells Fargo Preferred Stock ETF (PSK).............................. 131
FINANCIAL STATEMENTS...................................................... 134
FINANCIAL HIGHLIGHTS...................................................... 158
NOTES TO FINANCIAL STATEMENTS............................................. 176
OTHER INFORMATION......................................................... 190
</Table>
(semi-annual report LOGO)
SPDR DOW JONES TOTAL MARKET ETF --
PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value to
the total return based on market price and its benchmark index is provided for
comparative purposes only and represents the periods noted. The Fund's per share
net asset value ("NAV") is the value of one share of the Fund and is calculated
by dividing the value of total assets less total liabilities by the number of
shares outstanding. The NAV return is based on the NAV of the Fund and the
market return is based on the market price per share of the Fund. The market
price used to calculate the market return is determined by using the midpoint
between the highest bid and the lowest offer on the exchange on which the shares
of the Fund are listed for trading, as of the time that the Fund's NAV is
calculated. Since shares of the Fund did not trade in the secondary market until
several days after the Fund's inception, for the period from inception to the
first day of secondary market trading in shares of the Fund (10/4/00, 10/10/00,
respectively), the NAV of the Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
dividends and capital gain distributions have been reinvested in the Fund at
NAV. Market returns do not include brokerage commissions that may be payable on
secondary market transactions. If brokerage commissions were included market
returns would be lower.
An index is a statistical measure of a specified financial market or sector. An
index does not actually hold a portfolio of securities and therefore does not
reflect deductions for fees or expenses. In comparison, the Fund's performance
is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A
GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER
THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE
RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO
FOR SPDR DOW JONES TOTAL MARKET ETF AS STATED IN THE FEES AND EXPENSES TABLE OF
THE PROSPECTUS DATED OCTOBER 31, 2009 IS 0.21%.
PERFORMANCE AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------------------------------------
DOW JONES DOW JONES
U.S. U.S.
TOTAL STOCK TOTAL STOCK
NET ASSET MARKET MARKET NET ASSET MARKET MARKET
VALUE VALUE INDEX VALUE VALUE INDEX
----------------------------------------------------------------------------------------------------------------------
SIX-MONTHS 22.86% 22.65% 23.07% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
ONE YEAR 28.08% 27.82% 28.57% 28.08% 27.82% 28.57%
----------------------------------------------------------------------------------------------------------------------
THREE YEARS -14.64% -14.89% -14.77% -5.14% -5.23% -5.19%
----------------------------------------------------------------------------------------------------------------------
FIVE YEARS (1) 4.87% 4.76% 4.97% 0.96% 0.94% 0.97%
----------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1)(2) -2.17% -2.27% -1.68% -0.24% -0.25% -0.18%
----------------------------------------------------------------------------------------------------------------------
<Table>
(1) Prior to June 14, 2005, the Fund's investment strategy sought to track the
total return performance of an index different from the Dow Jones U.S.
Total Stock Market Index. Performance of the Fund prior to June 14, 2005
is therefore based on the Fund's investment strategy to track the prior
index. Future performance may vary from past results.
(2) For the period October 4, 2000 to December 31, 2009.
</Table>
1
(semi-annual report LOGO)
SPDR DOW JONES TOTAL MARKET ETF --
PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET
VALUE)
(LINE GRAPH)
<Table>
<Caption>
DOW
SPDR DOW JONES U.S.
JONES TOTAL TOTAL STOCK
MARKET ETF MARKET INDEX
(A)(1) (B)
----------- ------------
10/4/00 10000 10000
10/31/00 10061 10061
11/30/00 9407 9406
12/31/00 9467 9467
1/31/01 9762 9766
2/28/01 9018 9022
3/31/01 8516 8520
4/30/01 9117 9123
5/31/01 9188 9195
6/30/01 8978 8987
7/31/01 8929 8938
8/31/01 8379 8387
9/30/01 7763 7771
10/31/01 7857 7865
11/30/01 8442 8454
12/31/01 8498 8514
1/31/02 8412 8429
2/28/02 8280 8297
3/31/02 8562 8583
4/30/02 8077 8098
5/31/02 8018 8039
6/30/02 7480 7498
7/31/02 6940 6957
8/31/02 6983 7002
9/30/02 6228 6245
10/31/02 6747 6767
11/30/02 7097 7120
12/31/02 6696 6720
1/31/03 6508 6531
2/28/03 6393 6417
3/31/03 6467 6494
4/30/03 6992 7025
5/31/03 7318 7354
6/30/03 7422 7461
7/31/03 7555 7597
8/31/03 7670 7714
9/30/03 7593 7638
10/31/03 8010 8060
11/30/03 8062 8114
12/31/03 8478 8536
1/31/04 8602 8663
2/29/04 8727 8790
3/31/04 8593 8656
4/30/04 8473 8537
5/31/04 8553 8620
6/30/04 8706 8776
7/31/04 8448 8517
8/31/04 8494 8564
9/30/04 8560 8632
10/31/04 8670 8746
11/30/04 9018 9098
12/31/04 9327 9414
1/31/05 9147 9235
2/28/05 9363 9454
3/31/05 9204 9296
4/30/05 9043 9135
5/31/05 9313 9410
6/30/05 9364 9486
7/31/05 9754 9879
8/31/05 9674 9790
9/30/05 9758 9868
10/31/05 9583 9686
11/30/05 9955 10073
12/31/05 9974 10086
1/31/06 10308 10446
2/28/06 10290 10442
3/31/06 10461 10635
4/30/06 10563 10753
5/31/06 10231 10407
6/30/06 10250 10426
7/31/06 10241 10414
8/31/06 10482 10657
9/30/06 10721 10892
10/31/06 11100 11287
11/30/06 11333 11542
12/31/06 11460 11677
1/31/07 11673 11898
2/28/07 11473 11710
3/31/07 11604 11840
4/30/07 12069 12313
5/31/07 12508 12765
6/30/07 12307 12559
7/31/07 11890 12130
8/31/07 12058 12299
9/30/07 12479 12740
10/31/07 12713 12981
11/30/07 12155 12398
12/31/07 12083 12318
1/31/08 11380 11571
2/29/08 11040 11223
3/31/08 10968 11146
4/30/08 11510 11701
5/31/08 11741 11945
6/30/08 10786 10973
7/31/08 10691 10878
8/31/08 10848 11049
9/30/08 9854 10022
10/31/08 8130 8261
11/30/08 7495 7600
12/31/08 7637 7731
1/31/09 7029 7100
2/28/09 6306 6361
3/31/09 6846 6915
4/30/09 7545 7642
5/31/09 7939 8047
6/30/09 7963 7989
7/31/09 8583 8708
8/31/09 8884 9022
9/30/09 9244 9292
10/31/09 9020 9153
11/30/09 9529 9667
12/31/09 9783 9832
</Table>
(1) Prior to June 14, 2005, the Fund's investment strategy sought to track the
total return performance of an index different from the Dow Jones U.S.
Total Stock Market Index. Performance of the Fund prior to June 14, 2005 is
therefore based on the Fund's investment strategy to track the prior index.
Future performance may vary from past results.
2
(semi-annual report LOGO)
SPDR DOW JONES TOTAL MARKET ETF --
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
------------------------------------------------------------------------------------------------------
DESCRIPTION EXXON MOBIL CORP. MICROSOFT CORP. APPLE, INC. JOHNSON & JOHNSON
------------------------------------------------------------------------------------------------------
MARKET VALUE $4,952,640 3,693,376 2,917,881 2,720,589
------------------------------------------------------------------------------------------------------
% OF NET ASSETS 2.7% 2.0 1.6 1.5
------------------------------------------------------------------------------------------------------
---------------------------------------------------
DESCRIPTION PROCTER & GAMBLE CO.
---------------------------------------------------
MARKET VALUE 2,716,427
---------------------------------------------------
% OF NET ASSETS 1.5
---------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2009*
<Table>
<Caption>
-----------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
-----------------------------------------------
Oil, Gas & Consumable Fuels 8.9%
Pharmaceuticals 5.5
Computers & Peripherals 5.2
Software 4.2
Diversified Financial Services 3.7
Insurance 3.6
Media 2.9
Semiconductors & Semiconductor
Equipment 2.8
Commercial Banks 2.7
Communications Equipment 2.6
Diversified Telecommunication
Services 2.5
Capital Markets 2.4
Health Care Providers &
Services 2.4
Aerospace & Defense 2.3
Food & Staples Retailing 2.3
Health Care Equipment &
Supplies 2.2
Household Products 2.2
Specialty Retail 2.2
Beverages 2.1
Machinery 2.1
Real Estate Investment Trusts 2.1
Biotechnology 1.9
Chemicals 1.9
Industrial Conglomerates 1.9
Electric Utilities 1.8
Energy Equipment & Services 1.8
Hotels, Restaurants & Leisure 1.8
Internet Software & Services 1.8
Food Products 1.7
IT Services 1.6
Tobacco 1.3
Metals & Mining 1.1
Multi-Utilities 1.1
Road & Rail 1.1
Electronic Equipment,
Instruments & Components 1.0
Air Freight & Logistics 0.8
Multiline Retail 0.8
Commercial Services & Supplies 0.7
Household Durables 0.7
Consumer Finance 0.6
Electrical Equipment 0.6
Internet & Catalog Retail 0.6
Life Sciences Tools & Services 0.6
Textiles, Apparel & Luxury
Goods 0.5
Wireless Telecommunication
Services 0.5
Diversified Consumer Services 0.4
Auto Components 0.3
Automobiles 0.3
Construction & Engineering 0.3
Containers & Packaging 0.3
Independent Power Producers &
Energy Traders 0.3
Paper & Forest Products 0.3
Personal Products 0.3
Professional Services 0.3
Thrifts & Mortgage Finance 0.3
Airlines 0.2
Leisure Equipment & Products 0.2
Building Products 0.1
Construction Materials 0.1
Distributors 0.1
Gas Utilities 0.1
Health Care Technology 0.1
Office Electronics 0.1
Real Estate Management &
Development 0.1
Trading Companies &
Distributors 0.1
Water Utilities 0.1
Short Term Investments 7.2
Other Assets & Liabilities (6.7)
-----------------------------------------------
TOTAL 100.0%
-----------------------------------------------
</Table>
<Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
</Table>
3
(semi-annual report LOGO)
SPDR DOW JONES LARGE CAP ETF --
PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value to
the total return based on market price and its benchmark index is provided for
comparative purposes only and represents the periods noted. The Fund's per share
net asset value ("NAV") is the value of one share of the Fund and is calculated
by dividing the value of total assets less total liabilities by the number of
shares outstanding. The NAV return is based on the NAV of the Fund and the
market return is based on the market price per share of the Fund. The market
price used to calculate the market return is determined by using the midpoint
between the highest bid and the lowest offer on the exchange on which the shares
of the Fund are listed for trading, as of the time that the Fund's NAV is
calculated. Since shares of the Fund did not trade in the secondary market until
several days after the Fund's inception, for the period from inception to the
first day of secondary market trading in shares of the Fund (11/8/05, 11/15/05,
respectively), the NAV of the Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
dividends and capital gain distributions have been reinvested in the Fund at
NAV. Market returns do not include brokerage commissions that may be payable on
secondary market transactions. If brokerage commissions were included market
returns would be lower.
An index is a statistical measure of a specified financial market or sector. An
index does not actually hold a portfolio of securities and therefore does not
reflect deductions for fees or expenses. In comparison, the Fund's performance
is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A
GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER
THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE
RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO
FOR SPDR DOW JONES LARGE CAP ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE
PROSPECTUS DATED OCTOBER 31, 2009 IS 0.23%.
PERFORMANCE AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------------------------------------
DOW JONES DOW JONES
U.S. U.S.
LARGE-CAP LARGE-CAP
TOTAL TOTAL
NET ASSET MARKET STOCK MARKET NET ASSET MARKET STOCK MARKET
VALUE VALUE INDEX VALUE VALUE INDEX
----------------------------------------------------------------------------------------------------------------------
SIX-MONTHS 22.36% 22.24% 22.49% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
ONE YEAR 26.89% 26.84% 26.98% 26.89% 26.84% 26.98%
----------------------------------------------------------------------------------------------------------------------
THREE YEARS -14.95% -15.18% -14.95% -5.25% -5.34% -5.26%
----------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 0.86% 0.79% 1.09% 0.21% 0.19% 0.26%
----------------------------------------------------------------------------------------------------------------------
<Table>
(1) For the period November 8, 2005 to December 31, 2009.
</Table>
4
(semi-annual report LOGO)
SPDR DOW JONES LARGE CAP ETF --
PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET
VALUE)
LINE GRAPH
<Table>
<Caption>
DOW JONES
SPDR DOW U.S. LARGE-CAP
JONES LARGE TOTAL STOCK
CAP ETF MARKET INDEX
(A) (B)
----------- --------------
11/8/05 10000 10000
11/30/05 10266 10267
12/31/05 10277 10280
1/31/06 10569 10574
2/28/06 10570 10573
3/31/06 10717 10721
4/30/06 10850 10855
5/31/06 10532 10539
6/30/06 10548 10556
7/31/06 10587 10599
8/31/06 10830 10847
9/30/06 11096 11112
10/31/06 11467 11487
11/30/06 11707 11730
12/31/06 11860 11885
1/31/07 12072 12100
2/28/07 11850 11879
3/31/07 11980 12011
4/30/07 12482 12519
5/31/07 12923 12966
6/30/07 12710 12752
7/31/07 12323 12364
8/31/07 12502 12543
9/30/07 12971 13022
10/31/07 13210 13263
11/30/07 12674 12721
12/31/07 12597 12643
1/31/08 11837 11881
2/29/08 11481 11519
3/31/08 11411 11449
4/30/08 11982 12028
5/31/08 12191 12242
6/30/08 11207 11248
7/31/08 11078 11118
8/31/08 11225 11267
9/30/08 10209 10231
10/31/08 8478 8488
11/30/08 7848 7854
12/31/08 7949 7958
1/31/09 7314 7317
2/28/09 6570 6569
3/31/09 7133 7136
4/30/09 7806 7812
5/31/09 8222 8228
6/30/09 8243 8253
7/31/09 8860 8870
8/31/09 9162 9175
9/30/09 9513 9531
10/31/09 9321 9336
11/30/09 9869 9886
12/31/09 10086 10109
</Table>
5
(semi-annual report LOGO)
SPDR DOW JONES LARGE CAP ETF --
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
-------------------------------------------------------------------------------------------------------------------------------
DESCRIPTION EXXON MOBIL CORP. MICROSOFT CORP. APPLE, INC. JOHNSON & JOHNSON PROCTER & GAMBLE CO.
-------------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $1,416,306 1,052,454 823,198 775,303 773,699
-------------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 3.0% 2.3 1.8 1.7 1.7
-------------------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2009*
<Table>
<Caption>
-----------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
-----------------------------------------------
Oil, Gas & Consumable Fuels 9.4%
Pharmaceuticals 6.0
Computers & Peripherals 5.6
Software 4.3
Diversified Financial Services 3.9
Insurance 3.7
Media 2.9
Diversified Telecommunication
Services 2.7
Semiconductors & Semiconductor
Equipment 2.7
Capital Markets 2.6
Food & Staples Retailing 2.5
Commercial Banks 2.5
Household Products 2.4
Communications Equipment 2.4
Aerospace & Defense 2.4
Beverages 2.4
Health Care Equipment &
Supplies 2.1
Health Care Providers &
Services 2.1
Industrial Conglomerates 2.1
Chemicals 2.1
Specialty Retail 2.0
Internet Software & Services 2.0
Electric Utilities 2.0
Energy Equipment & Services 1.8
Machinery 1.7
IT Services 1.7
Biotechnology 1.7
Food Products 1.6
Hotels, Restaurants & Leisure 1.6
Real Estate Investment Trusts 1.4
Tobacco 1.4
Multi-Utilities 1.4
Metals & Mining 1.1
Road & Rail 1.0
Air Freight & Logistics 0.8
Multiline Retail 0.8
Electronic Equipment,
Instruments & Components 0.7
Consumer Finance 0.7
Internet & Catalog Retail 0.6
Commercial Services & Supplies 0.6
Electrical Equipment 0.6
Life Sciences Tools & Services 0.5
Wireless Telecommunication
Services 0.5
Household Durables 0.4
Textiles, Apparel & Luxury
Goods 0.4
Automobiles 0.3
Gas Utilities 0.3
Personal Products 0.3
Independent Power Producers &
Energy Traders 0.3
Containers & Packaging 0.3
Construction & Engineering 0.3
Diversified Consumer Services 0.3
Professional Services 0.3
Auto Components 0.2
Paper & Forest Products 0.2
Thrifts & Mortgage Finance 0.2
Airlines 0.2
Trading Companies &
Distributors 0.1
Leisure Equipment & Products 0.1
Construction Materials 0.1
Real Estate Management &
Development 0.1
Health Care Technology 0.1
Building Products 0.1
Office Electronics 0.1
Distributors 0.1
Water Utilities 0.0**
Short Term Investment 28.1
Other Assets & Liabilities (27.9)
-----------------------------------------------
TOTAL 100.0%
-----------------------------------------------
</Table>
<Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
** Amount represents less then 0.05% of net assets.
</Table>
6
(semi-annual report LOGO)
SPDR DOW JONES LARGE CAP GROWTH ETF --
PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value to
the total return based on market price and its benchmark index is provided for
comparative purposes only and represents the periods noted. The Fund's per share
net asset value ("NAV") is the value of one share of the Fund and is calculated
by dividing the value of total assets less total liabilities by the number of
shares outstanding. The NAV return is based on the NAV of the Fund and the
market return is based on the market price per share of the Fund. The market
price used to calculate the market return is determined by using the midpoint
between the highest bid and the lowest offer on the exchange on which the shares
of the Fund are listed for trading, as of the time that the Fund's NAV is
calculated. Since shares of the Fund did not trade in the secondary market until
several days after the Fund's inception, for the period from inception to the
first day of secondary market trading in shares of the Fund (9/25/00, 9/29/00,
respectively), the NAV of the Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
dividends and capital gain distributions have been reinvested in the Fund at
NAV. Market returns do not include brokerage commissions that may be payable on
secondary market transactions. If brokerage commissions were included market
returns would be lower.
An index is a statistical measure of a specified financial market or sector. An
index does not actually hold a portfolio of securities and therefore does not
reflect deductions for fees or expenses. In comparison, the Fund's performance
is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A
GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER
THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE
RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO
FOR SPDR DOW JONES LARGE CAP GROWTH ETF AS STATED IN THE FEES AND EXPENSES TABLE
OF THE PROSPECTUS DATED OCTOBER 31, 2009 IS 0.20%.
PERFORMANCE AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------------------------------------
DOW JONES DOW JONES
U.S. U.S.
LARGE-CAP LARGE-CAP
GROWTH GROWTH
TOTAL STOCK TOTAL STOCK
NET ASSET MARKET MARKET NET ASSET MARKET MARKET
VALUE VALUE INDEX VALUE VALUE INDEX
----------------------------------------------------------------------------------------------------------------------
SIX-MONTHS 24.61% 24.44% 24.71% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
ONE YEAR 37.10% 37.09% 37.40% 37.10% 37.09% 37.40%
----------------------------------------------------------------------------------------------------------------------
THREE YEARS -5.05% -5.20% -4.69% -1.71% -1.76% -1.59%
----------------------------------------------------------------------------------------------------------------------
FIVE YEARS (1) 6.63% 6.51% 11.44% 1.29% 1.27% 2.19%
----------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1)(2) -45.70% -45.72% -30.06% -6.38% -6.38% -3.78%
----------------------------------------------------------------------------------------------------------------------
<Table>
(1) Prior to November 1, 2005, the Fund's investment strategy sought to track
the total return performance of an index different from the Dow Jones U.S.
Large-Cap Growth Total Stock Market Index. Performance of the Fund prior
to November 1, 2005 is therefore based on the Fund's investment strategy
to track the prior index. Future performance may vary from past results.
(2) For the period September 25, 2000 to December 31, 2009.
</Table>
7
(semi-annual report LOGO)
SPDR DOW JONES LARGE CAP GROWTH ETF --
PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET
VALUE)
LINE GRAPH
<Table>
<Caption>
DOW
JONES U.S.
SPDR DOW LARGE-CAP GROWTH
JONES TOTAL TOTAL STOCK
MARKET ETF MARKET INDEX
(A)(1) (B)
----------- ----------------
9/25/2000 10000 10000
Sep-00 9800 9865
Oct-00 9286 9344
Nov-00 7793 7899
Dec-00 7395 7726
Jan-01 8051 8266
Feb-01 6528 6932
Mar-01 5703 6199
Apr-01 6512 6923
May-01 6406 6877
Jun-01 6252 6762
Jul-01 5971 6488
Aug-01 5339 5907
Sep-01 4696 5299
Oct-01 4972 5566
Nov-01 5566 6101
Dec-01 5498 6136
Jan-02 5425 5983
Feb-02 5133 5683
Mar-02 5244 5898
Apr-02 4738 5431
May-02 4610 5317
Jun-02 4233 4881
Jul-02 3952 4592
Aug-02 3974 4637
Sep-02 3506 4156
Oct-02 3882 4579
Nov-02 4126 4824
Dec-02 3757 4496
Jan-03 3653 4385
Feb-03 3689 4347
Mar-03 3780 4454
Apr-03 4063 4809
May-03 4201 4980
Jun-03 4249 5050
Jul-03 4365 5162
Aug-03 4438 5262
Sep-03 4377 5211
Oct-03 4652 5468
Nov-03 4683 5515
Dec-03 4853 5730
Jan-04 4932 5868
Feb-04 4958 5937
Mar-04 4871 5849
Apr-04 4829 5788
May-04 4910 5875
Jun-04 4958 5980
Jul-04 4692 5715
Aug-04 4673 5713
Sep-04 4696 5780
Oct-04 4755 5824
Nov-04 4913 6057
Dec-04 5092 6277
Jan-05 4953 6100
Feb-05 4944 6166
Mar-05 4839 6054
Apr-05 4734 5886
May-05 4960 6166
Jun-05 4896 6208
Jul-05 5134 6516
Aug-05 5062 6470
Sep-05 5067 6520
Oct-05 5046 6460
Nov-05 5254 6727
Dec-05 5250 6724
Jan-06 5418 6939
Feb-06 5354 6858
Mar-06 5434 6961
Apr-06 5435 6963
May-06 5247 6722
Jun-06 5228 6700
Jul-06 5134 6580
Aug-06 5263 6747
Sep-06 5391 6912
Oct-06 5583 7160
Nov-06 5704 7317
Dec-06 5720 7339
Jan-07 5861 7521
Feb-07 5755 7386
Mar-07 5790 7431
Apr-07 6032 7745
May-07 6248 8024
Jun-07 6167 7920
Jul-07 6045 7764
Aug-07 6125 7867
Sep-07 6378 8194
Oct-07 6594 8474
Nov-07 6343 8153
Dec-07 6336 8144
Jan-08 5845 7512
Feb-08 5753 7394
Mar-08 5708 7337
Apr-08 6035 7760
May-08 6266 8059
Jun-08 5857 7533
Jul-08 5707 7341
Aug-08 5812 7477
Sep-08 5153 6627
Oct-08 4234 5441
Nov-08 3892 5000
Dec-08 3962 5091
Jan-09 3765 4837
Feb-09 3457 4441
Mar-09 3746 4817
Apr-09 4156 5346
May-09 4315 5552
Jun-09 4358 5608
Jul-09 4690 6038
Aug-09 4804 6185
Sep-09 5040 6489
Oct-09 4936 6357
Nov-09 5220 6724
Dec-09 5430 6994
</Table>
(1) Prior to November 1, 2005, the Fund's investment strategy sought to track
the total return performance of an index different from Dow Jones U.S.
Large-Cap Growth Total Stock Market Index. Performance of the Fund prior to
November 1, 2005 is therefore based on the Fund's investment strategy to
track the prior index. Future performance may vary from past results.
8
(semi-annual report LOGO)
SPDR DOW JONES LARGE CAP GROWTH ETF --
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
---------------------------------------------------------------------------------------------------------------------------
GOOGLE, INC.
DESCRIPTION MICROSOFT CORP. APPLE, INC. (CLASS A) CISCO SYSTEMS, INC. HEWLETT-PACKARD CO.
---------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $8,900,641 6,908,617 5,271,070 5,102,955 4,505,631
---------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 4.7% 3.6 2.8 2.7 2.4
---------------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2009*
<Table>
<Caption>
-----------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
-----------------------------------------------
Software 8.9%
Computers & Peripherals 8.2
Oil, Gas & Consumable Fuels 6.0
Communications Equipment 5.1
Food & Staples Retailing 4.4
Health Care Equipment &
Supplies 4.4
Internet Software & Services 4.0
Energy Equipment & Services 3.8
Health Care Providers &
Services 3.8
Biotechnology 3.4
IT Services 3.3
Semiconductors & Semiconductor
Equipment 3.3
Machinery 3.2
Media 2.9
Specialty Retail 2.8
Chemicals 2.3
Insurance 2.3
Metals & Mining 2.3
Capital Markets 2.1
Beverages 1.9
Road & Rail 1.7
Hotels, Restaurants & Leisure 1.6
Electronic Equipment,
Instruments & Components 1.4
Multiline Retail 1.3
Internet & Catalog Retail 1.2
Life Sciences Tools & Services 1.1
Diversified Financial Services 1.0
Electrical Equipment 1.0
Household Products 1.0
Real Estate Investment Trusts 0.9
Aerospace & Defense 0.8
Air Freight & Logistics 0.8
Pharmaceuticals 0.7
Textiles, Apparel & Luxury
Goods 0.7
Wireless Telecommunication
Services 0.7
Construction & Engineering 0.6
Professional Services 0.5
Commercial Services & Supplies 0.4
Diversified Consumer Services 0.4
Independent Power Producers &
Energy Traders 0.4
Personal Products 0.4
Airlines 0.3
Gas Utilities 0.3
Trading Companies &
Distributors 0.3
Construction Materials 0.2
Consumer Finance 0.2
Containers & Packaging 0.2
Food Products 0.2
Health Care Technology 0.2
Household Durables 0.2
Thrifts & Mortgage Finance 0.2
Auto Components 0.1
Electric Utilities 0.1
Industrial Conglomerates 0.1
Real Estate Management &
Development 0.1
Building Products 0.0**
Diversified Telecommunication
Services 0.0**
Short Term Investments 3.7
Other Assets & Liabilities (3.4)
-----------------------------------------------
TOTAL 100.0%
-----------------------------------------------
</Table>
<Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
** Amount represents less than 0.05% of net assets.
</Table>
9
(semi-annual report LOGO)
SPDR DOW JONES LARGE CAP VALUE ETF --
PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value to
the total return based on market price and its benchmark index is provided for
comparative purposes only and represents the periods noted. The Fund's per share
net asset value ("NAV") is the value of one share of the Fund and is calculated
by dividing the value of total assets less total liabilities by the number of
shares outstanding. The NAV return is based on the NAV of the Fund and the
market return is based on the market price per share of the Fund. The market
price used to calculate the market return is determined by using the midpoint
between the highest bid and the lowest offer on the exchange on which the shares
of the Fund are listed for trading, as of the time that the Fund's NAV is
calculated. Since shares of the Fund did not trade in the secondary market until
several days after the Fund's inception, for the period from inception to the
first day of secondary market trading in shares of the Fund (9/25/00, 9/29/00,
respectively), the NAV of the Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
dividends and capital gain distributions have been reinvested in the Fund at
NAV. Market returns do not include brokerage commissions that may be payable on
secondary market transactions. If brokerage commissions were included market
returns would be lower.
An index is a statistical measure of a specified financial market or sector. An
index does not actually hold a portfolio of securities and therefore does not
reflect deductions for fees or expenses. In comparison, the Fund's performance
is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A
GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER
THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE
RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO
FOR SPDR DOW JONES LARGE CAP VALUE ETF AS STATED IN THE FEES AND EXPENSES TABLE
OF THE PROSPECTUS DATED OCTOBER 31, 2009 IS 0.21%.
PERFORMANCE AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------------------------------------
DOW JONES DOW JONES
U.S. U.S.
LARGE-CAP LARGE-CAP
VALUE VALUE
TOTAL STOCK TOTAL STOCK
NET ASSET MARKET MARKET NET ASSET MARKET MARKET
VALUE VALUE INDEX VALUE VALUE INDEX
----------------------------------------------------------------------------------------------------------------------
SIX-MONTHS 20.34% 20.24% 20.50% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
ONE YEAR 17.17% 17.21% 17.21% 17.17% 17.21% 17.21%
----------------------------------------------------------------------------------------------------------------------
THREE YEARS -24.32% -25.06% -24.35% -8.87% -9.17% -8.88%
----------------------------------------------------------------------------------------------------------------------
FIVE YEARS (1) -2.97% -2.99% -2.53% -0.60% -0.61% -0.51%
----------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1)(2) 12.64% 12.61% 23.72% 1.29% 1.29% 2.32%
----------------------------------------------------------------------------------------------------------------------
<Table>
(1) Prior to November 1, 2005, the Fund's investment strategy sought to track
the total return performance of an index different from the Dow Jones U.S.
Large-Cap Value Total Stock Market Index. Performance of the Fund prior to
November 1, 2005 is therefore based on the Fund's investment strategy to
track the prior index. Future performance may vary from past results.
(2) For the period September 25, 2000 to December 31, 2009.
</Table>
10
(semi-annual report LOGO)
SPDR DOW JONES LARGE CAP VALUE ETF --
PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET
VALUE)
LINE GRAPH
<Table>
<Caption>
DOW JONES
SPDR DOW U.S. LARGE-CAP
JONES LARGE VALUE TOTAL
CAP VALUE STOCK MARKET
ETF (A)1 INDEX (B)
----------- --------------
9/25/2000 10000 10000
Sep-00 10175 10180
Oct-00 10519 10485
Nov-00 10244 10158
Dec-00 10592 10613
Jan-00 10512 10616
Feb-00 10166 10297
Mar-00 9812 9938
Apr-01 10244 10387
May-01 10444 10589
Jun-01 10128 10305
Jul-01 10231 10459
Aug-01 9803 10071
Sep-01 9422 9440
Oct-01 9314 9342
Nov-01 9792 9853
Dec-01 9925 10041
Jan-02 9674 10048
Feb-02 9660 10190
Mar-02 10079 10602
Apr-02 9502 10295
May-02 9569 10350
Jun-02 8881 9705
Jul-02 8293 8855
Aug-02 8334 8874
Sep-02 7418 7940
Oct-02 8096 8438
Nov-02 8538 8948
Dec-02 8175 8563
Jan-03 7975 8338
Feb-03 7710 8146
Mar-03 7726 8120
Apr-03 8451 8765
May-03 8949 9441
Jun-03 9136 9550
Jul-03 9144 9701
Aug-03 9185 9917
Sep-03 9152 9793
Oct-03 9525 10447
Nov-03 9570 10576
Dec-03 10263 11179
Jan-04 10473 11336
Feb-04 10638 11544
Mar-04 10428 11400
Apr-04 10265 11149
May-04 10317 11283
Jun-04 10556 11520
Jul-04 10449 11242
Aug-04 10610 11348
Sep-04 10690 11485
Oct-04 10833 11741
Nov-04 11239 12255
Dec-04 11608 12694
Jan-05 11346 12424
Feb-05 11708 12846
Mar-05 11518 12655
Apr-05 11419 12534
May-05 11577 12835
Jun-05 11657 12858
Jul-05 11900 13218
Aug-05 11853 13097
Sep-05 12032 13208
Oct-05 11786 12914
Nov-05 12210 13381
Dec-05 12245 13420
Jan-06 12556 13763
Feb-06 12686 13909
Mar-06 12843 14086
Apr-06 13152 14427
May-06 12835 14081
Jun-06 12913 14169
Jul-06 13220 14509
Aug-06 13501 14822
Sep-06 13830 15187
Oct-06 14265 15668
Nov-06 14554 15991
Dec-06 14881 16354
Jan-07 15058 16550
Feb-07 14778 16244
Mar-07 15012 16505
Apr-07 15646 17207
May-07 16196 17817
Jun-07 15870 17458
Jul-07 15214 16736
Aug-07 15452 17002
Sep-07 15982 17590
Oct-07 16015 17627
Nov-07 15310 16851
Dec-07 15134 16655
Jan-08 14509 15968
Feb-08 13842 15231
Mar-08 13781 15167
Apr-08 14367 15815
May-08 14293 15734
Jun-08 12878 14167
Jul-08 12945 14241
Aug-08 13041 14348
Sep-08 12187 13397
Oct-08 10228 11236
Nov-08 9537 10471
Dec-08 9612 10555
Jan-09 8551 9381
Feb-09 7494 8214
Mar-09 8157 8941
Apr-09 8810 9660
May-09 9400 10310
Jun-09 9361 10268
Jul-09 10049 11026
Aug-09 10486 11509
Sep-09 10785 11838
Oct-09 10570 11601
Nov-09 11201 12299
Dec-09 11264 12372
</Table>
(1) Prior to November 1, 2005, the Fund's investment strategy sought to track
the total return performance of an index different from the Dow Jones U.S.
Large-Cap Value Total Stock Market Index. Performance of the Fund prior to
November 1, 2005 is therefore based on the Fund's investment strategy to
track the prior index. Future performance may vary from past results.
11
(semi-annual report LOGO)
SPDR DOW JONES LARGE CAP VALUE ETF --
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
------------------------------------------------------------------------------------------------------------------------------
INTERNATIONAL
EXXON MOBIL BUSINESS MACHINES
DESCRIPTION CORP. JOHNSON & JOHNSON PROCTER & GAMBLE CO. CORP. AT&T, INC.
------------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $6,200,653 3,414,825 3,405,041 3,312,817 3,190,122
------------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 5.8% 3.2 3.2 3.1 3.0
------------------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2009*
<Table>
<Caption>
-----------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
-----------------------------------------------
Oil, Gas & Consumable Fuels 12.4%
Pharmaceuticals 11.0
Diversified Financial Services 6.6
Diversified Telecommunication
Services 5.2
Insurance 5.1
Commercial Banks 4.8
Aerospace & Defense 3.9
Industrial Conglomerates 3.9
Household Products 3.8
Electric Utilities 3.6
Capital Markets 3.1
Computers & Peripherals 3.1
Food Products 2.9
Media 2.9
Beverages 2.8
Tobacco 2.8
Multi-Utilities 2.7
Semiconductors & Semiconductor
Equipment 2.1
Real Estate Investment Trusts 2.0
Chemicals 1.9
Hotels, Restaurants & Leisure 1.6
Consumer Finance 1.2
Specialty Retail 1.2
Air Freight & Logistics 0.7
Automobiles 0.7
Commercial Services & Supplies 0.7
Food & Staples Retailing 0.7
Health Care Providers &
Services 0.6
Household Durables 0.6
Machinery 0.4
Paper & Forest Products 0.4
Road & Rail 0.4
Auto Components 0.3
Containers & Packaging 0.3
Gas Utilities 0.3
Wireless Telecommunication
Services 0.3
Electrical Equipment 0.2
Independent Power Producers &
Energy Traders 0.2
IT Services 0.2
Leisure Equipment & Products 0.2
Multiline Retail 0.2
Personal Products 0.2
Thrifts & Mortgage Finance 0.2
Biotechnology 0.1
Building Products 0.1
Distributors 0.1
Diversified Consumer Services 0.1
Electronic Equipment,
Instruments & Components 0.1
Internet & Catalog Retail 0.1
Internet Software & Services 0.1
Metals & Mining 0.1
Office Electronics 0.1
Real Estate Management &
Development 0.1
Software 0.1
Textiles, Apparel & Luxury
Goods 0.1
Water Utilities 0.1
Energy Equipment & Services 0.0**
Health Care Equipment &
Supplies 0.0**
Short Term Investment 1.9
Other Assets & Liabilities (1.6)
-----------------------------------------------
TOTAL 100.0%
-----------------------------------------------
</Table>
<Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
** Amount represents less than 0.05% of net assets.
</Table>
12
(semi-annual report LOGO)
SPDR DOW JONES MID CAP ETF --
PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value to
the total return based on market price and its benchmark index is provided for
comparative purposes only and represents the periods noted. The Fund's per share
net asset value ("NAV") is the value of one share of the Fund and is calculated
by dividing the value of total assets less total liabilities by the number of
shares outstanding. The NAV return is based on the NAV of the Fund and the
market return is based on the market price per share of the Fund. The market
price used to calculate the market return is determined by using the midpoint
between the highest bid and the lowest offer on the exchange on which the shares
of the Fund are listed for trading, as of the time that the Fund's NAV is
calculated. Since shares of the Fund did not trade in the secondary market until
several days after the Fund's inception, for the period from inception to the
first day of secondary market trading in shares of the Fund (11/8/05, 11/15/05,
respectively), the NAV of the Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
dividends and capital gain distributions have been reinvested in the Fund at
NAV. Market returns do not include brokerage commissions that may be payable on
secondary market transactions. If brokerage commissions were included market
returns would be lower.
An index is a statistical measure of a specified financial market or sector. An
index does not actually hold a portfolio of securities and therefore does not
reflect deductions for fees or expenses. In comparison, the Fund's performance
is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A
GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER
THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE
RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO
FOR SPDR DOW JONES MID CAP ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE
PROSPECTUS DATED OCTOBER 31, 2009 IS 0.30%.
PERFORMANCE AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------------------------------------
DOW JONES DOW JONES
U.S. U.S.
MID-CAP MID-CAP
NET ASSET MARKET TOTAL STOCK NET ASSET MARKET TOTAL STOCK
VALUE VALUE MARKET INDEX VALUE VALUE MARKET INDEX
----------------------------------------------------------------------------------------------------------------------
SIX-MONTHS 31.06% 31.05% 31.25% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
ONE YEAR 44.20% 44.41% 44.56% 44.20% 44.41% 44.56%
----------------------------------------------------------------------------------------------------------------------
THREE YEARS -6.71% -6.67% -6.69% -2.29% -2.27% -2.28%
----------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 10.29% 10.26% 10.60% 2.39% 2.38% 2.45%
----------------------------------------------------------------------------------------------------------------------
<Table>
(1) For the period November 8, 2005 to December 31, 2009.
</Table>
13
(semi-annual report LOGO)
SPDR DOW JONES MID CAP ETF --
PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET
VALUE)
(PERFORMANCE GRAPH)
<Table>
<Caption>
DOW JONES
SPDR DOW U.S. MID-CAP
JONES MID TOTAL STOCK
CAP ETF MARKET INDEX
(A) (B)
--------- ------------
11/8/2005 10000 10000
11/30/05 10348 10348
12/31/05 10438 10441
01/31/06 10977 10976
02/28/06 10962 10963
03/31/06 11341 11346
04/30/06 11389 11397
05/31/06 10900 10907
06/30/06 10893 10903
07/31/06 10543 10555
08/31/06 10777 10791
09/30/06 10901 10918
10/31/06 11320 11341
11/30/06 11776 11802
12/31/06 11824 11851
01/31/07 12247 12279
02/28/07 12311 12347
03/31/07 12422 12460
04/30/07 12876 12920
05/31/07 13445 13495
06/30/07 13192 13243
07/31/07 12595 12647
08/31/07 12577 12632
09/30/07 12965 13024
10/31/07 13303 13368
11/30/07 12575 12637
12/31/07 12485 12513
01/31/08 11861 11889
02/29/08 11606 11633
03/31/08 11346 11373
04/30/08 12044 12074
05/31/08 12591 12624
06/30/08 11671 11697
07/31/08 11538 11566
08/31/08 11730 11759
09/30/08 10308 10326
10/31/08 8107 8114
11/30/08 7279 7277
12/31/08 7649 7651
01/31/09 7109 7107
02/28/09 6408 6402
03/31/09 6966 6968
04/30/09 8133 8139
05/31/09 8440 8447
06/30/09 8415 8426
07/31/09 9235 9250
08/09/09 9740 9758
09/09/09 10341 10359
10/09/09 9893 9913
11/09/09 10349 10375
12/09/09 11029 11060
</Table>
14
(semi-annual report LOGO)
SPDR DOW JONES MID CAP ETF --
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------
ALPHA NATURAL CLIFFS NATURAL ADVANCED MICRO
DESCRIPTION RESOURCES, INC. SANDISK CORP. PROLOGIS RESOURCES, INC. DEVICES, INC.
----------------------------------------------------------------------------------------------------------------
MARKET VALUE $254,207 246,966 242,423 225,933 222,108
----------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 0.6% 0.5 0.5 0.5 0.5
----------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2009*
<Table>
<Caption>
-----------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
-----------------------------------------------
Insurance 6.4%
Real Estate Investment Trusts 6.3
Oil, Gas & Consumable Fuels 5.5
Machinery 4.3
Specialty Retail 3.9
Semiconductors & Semiconductor
Equipment 3.6
Software 3.3
Commercial Banks 3.2
Chemicals 3.0
Electronic Equipment,
Instruments & Components 2.9
Household Durables 2.9
Health Care Providers &
Services 2.7
IT Services 2.4
Capital Markets 2.3
Electric Utilities 2.3
Metals & Mining 2.3
Biotechnology 2.2
Health Care Equipment &
Supplies 2.2
Multi-Utilities 2.2
Hotels, Restaurants & Leisure 2.1
Commercial Services & Supplies 1.9
Containers & Packaging 1.8
Energy Equipment & Services 1.8
Gas Utilities 1.8
Food Products 1.7
Computers & Peripherals 1.6
Professional Services 1.6
Media 1.4
Electrical Equipment 1.3
Road & Rail 1.3
Construction & Engineering 1.2
Life Sciences Tools & Services 1.2
Auto Components 1.0
Communications Equipment 1.0
Internet Software & Services 1.0
Pharmaceuticals 1.0
Diversified Consumer Services 0.9
Wireless Telecommunication
Services 0.9
Real Estate Management &
Development 0.8
Aerospace & Defense 0.7
Diversified Telecommunication
Services 0.7
Beverages 0.6
Food & Staples Retailing 0.6
Industrial Conglomerates 0.6
Personal Products 0.6
Airlines 0.5
Independent Power Producers &
Energy Traders 0.5
Thrifts & Mortgage Finance 0.5
Building Products 0.4
Health Care Technology 0.4
Paper & Forest Products 0.4
Diversified Financial Services 0.3
Household Products 0.3
Trading Companies &
Distributors 0.3
Distributors 0.2
Internet & Catalog Retail 0.2
Marine 0.2
Multiline Retail 0.2
Water Utilities 0.2
Air Freight & Logistics 0.1
Office Electronics 0.1
Short Term Investments 29.2
Other Assets & Liabilities (29.0)
-----------------------------------------------
TOTAL 100.0%
-----------------------------------------------
</Table>
<Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
</Table>
15
(semi-annual report LOGO)
SPDR DOW JONES MID CAP GROWTH ETF --
PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value to
the total return based on market price and its benchmark index is provided for
comparative purposes only and represents the periods noted. The Fund's per share
net asset value ("NAV") is the value of one share of the Fund and is calculated
by dividing the value of total assets less total liabilities by the number of
shares outstanding. The NAV return is based on the NAV of the Fund and the
market return is based on the market price per share of the Fund. The market
price used to calculate the market return is determined by using the midpoint
between the highest bid and the lowest offer on the exchange on which the shares
of the Fund are listed for trading, as of the time that the Fund's NAV is
calculated. Since shares of the Fund did not trade in the secondary market until
several days after the Fund's inception, for the period from inception to the
first day of secondary market trading in shares of the Fund (11/8/05, 11/15/05,
respectively), the NAV of the Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
dividends and capital gain distributions have been reinvested in the Fund at
NAV. Market returns do not include brokerage commissions that may be payable on
secondary market transactions. If brokerage commissions were included market
returns would be lower.
An index is a statistical measure of a specified financial market or sector. An
index does not actually hold a portfolio of securities and therefore does not
reflect deductions for fees or expenses. In comparison, the Fund's performance
is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A
GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER
THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE
RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO
FOR SPDR DOW JONES MID CAP GROWTH ETF AS STATED IN THE FEES AND EXPENSES TABLE
OF THE PROSPECTUS DATED OCTOBER 31, 2009 IS 0.28%.
PERFORMANCE AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------------------------------------
DOW JONES DOW JONES
U.S. U.S.
MID-CAP MID-CAP
GROWTH GROWTH
TOTAL STOCK TOTAL STOCK
NET ASSET MARKET MARKET NET ASSET MARKET MARKET
VALUE VALUE INDEX VALUE VALUE INDEX
----------------------------------------------------------------------------------------------------------------------
SIX-MONTHS 31.33% 31.31% 31.43% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
ONE YEAR 55.37% 55.65% 55.55% 55.37% 55.65% 55.55%
----------------------------------------------------------------------------------------------------------------------
THREE YEARS 0.84% 0.88% 0.97% 0.28% 0.29% 0.32%
----------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 17.17% 17.15% 17.65% 3.89% 3.89% 3.98%
----------------------------------------------------------------------------------------------------------------------
<Table>
(1) For the period November 8, 2005 to December 31, 2009.
</Table>
16
(semi-annual report LOGO)
SPDR DOW JONES MID CAP GROWTH ETF --
PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET
VALUE)
(PERFORMANCE GRAPH)
<Table>
<Caption>
DOW JONES
SPDR DOW U.S. MID-CAP
JONES MID GROWTH TOTAL
CAP GROWTH STOCK MARKET
ETF (A) INDEX (B)
---------- ------------
11/8/2005 10000 10000
Nov-05 10327 10329
Dec-05 10439 10444
Jan-06 11007 11002
Feb-06 10942 10943
Mar-06 11426 11433
Apr-06 11469 11481
May-06 10834 10847
Jun-06 10810 10827
Jul-06 10326 10343
Aug-06 10549 10570
Sep-06 10706 10729
Oct-06 11049 11076
Nov-06 11572 11604
Dec-06 11620 11653
Jan-07 12062 12099
Feb-07 12088 12129
Mar-07 12203 12247
Apr-07 12697 12746
May-07 13340 13398
Jun-07 13211 13271
Jul-07 12786 12847
Aug-07 12813 12877
Sep-07 13336 13409
Oct-07 13829 13911
Nov-07 13015 13088
Dec-07 12901 12965
Jan-08 12126 12187
Feb-08 11947 12005
Mar-08 11625 11682
Apr-08 12395 12457
May-08 13059 13123
Jun-08 12306 12362
Jul-08 11974 12032
Aug-08 12098 12156
Sep-08 10333 10374
Oct-08 7988 8015
Nov-08 7144 7165
Dec-08 7540 7564
Jan-09 7249 7269
Feb-09 6696 6713
Mar-09 7320 7341
Apr-09 8556 8584
May-09 8947 8977
Jun-09 8922 8951
Jul-09 9777 9811
Aug-09 10136 10171
Sep-09 10906 10943
Oct-09 10391 10424
Nov-09 10875 10915
Dec-09 11717 11765
</Table>
17
(semi-annual report LOGO)
SPDR DOW JONES MID CAP GROWTH ETF --
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------
ALPHA NATURAL CLIFFS NATURAL ADVANCED MICRO HUMAN GENOME
DESCRIPTION RESOURCES, INC. SANDISK CORP. RESOURCES, INC. DEVICES, INC. SCIENCES, INC.
----------------------------------------------------------------------------------------------------------------------
MARKET VALUE $776,285 751,856 693,747 682,082 634,950
----------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 1.0% 1.0 0.9 0.9 0.8
----------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2009*
<Table>
<Caption>
-----------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
-----------------------------------------------
Oil, Gas & Consumable Fuels 7.5%
Semiconductors & Semiconductor
Equipment 6.2
Specialty Retail 5.1
Software 5.0
Machinery 4.5
IT Services 4.2
Electronic Equipment,
Instruments & Components 4.1
Health Care Equipment &
Supplies 3.5
Biotechnology 3.3
Health Care Providers &
Services 3.2
Metals & Mining 3.2
Chemicals 3.1
Hotels, Restaurants & Leisure 3.0
Energy Equipment & Services 2.9
Professional Services 2.9
Capital Markets 2.6
Computers & Peripherals 2.4
Commercial Services & Supplies 2.2
Life Sciences Tools & Services 2.0
Communications Equipment 1.8
Construction & Engineering 1.8
Food Products 1.8
Internet Software & Services 1.8
Road & Rail 1.8
Media 1.5
Auto Components 1.4
Electrical Equipment 1.3
Pharmaceuticals 1.3
Diversified Consumer Services 1.2
Household Durables 1.1
Wireless Telecommunication
Services 1.0
Airlines 0.9
Containers & Packaging 0.8
Real Estate Investment Trusts 0.8
Health Care Technology 0.7
Aerospace & Defense 0.6
Household Products 0.6
Personal Products 0.6
Diversified Financial Services 0.5
Diversified Telecommunication
Services 0.5
Food & Staples Retailing 0.5
Real Estate Management &
Development 0.5
Beverages 0.4
Building Products 0.4
Distributors 0.4
Electric Utilities 0.4
Independent Power Producers &
Energy Traders 0.4
Internet & Catalog Retail 0.4
Insurance 0.3
Marine 0.3
Trading Companies &
Distributors 0.3
Air Freight & Logistics 0.2
Office Electronics 0.2
Thrifts & Mortgage Finance 0.2
Commercial Banks 0.1
Industrial Conglomerates 0.1
Short Term Investments 29.0
Other Assets & Liabilities (28.8)
-----------------------------------------------
TOTAL 100.0%
-----------------------------------------------
</Table>
<Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
</Table>
18
(semi-annual report LOGO)
SPDR DOW JONES MID CAP VALUE ETF --
PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value to
the total return based on market price and its benchmark index is provided for
comparative purposes only and represents the periods noted. The Fund's per share
net asset value ("NAV") is the value of one share of the Fund and is calculated
by dividing the value of total assets less total liabilities by the number of
shares outstanding. The NAV return is based on the NAV of the Fund and the
market return is based on the market price per share of the Fund. The market
price used to calculate the market return is determined by using the midpoint
between the highest bid and the lowest offer on the exchange on which the shares
of the Fund are listed for trading, as of the time that the Fund's NAV is
calculated. Since shares of the Fund did not trade in the secondary market until
several days after the Fund's inception, for the period from inception to the
first day of secondary market trading in shares of the Fund (11/8/05, 11/15/05,
respectively), the NAV of the Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
dividends and capital gain distributions have been reinvested in the Fund at
NAV. Market returns do not include brokerage commissions that may be payable on
secondary market transactions. If brokerage commissions were included market
returns would be lower.
An index is a statistical measure of a specified financial market or sector. An
index does not actually hold a portfolio of securities and therefore does not
reflect deductions for fees or expenses. In comparison, the Fund's performance
is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A
GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER
THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE
RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO
FOR SPDR DOW JONES MID CAP VALUE ETF AS STATED IN THE FEES AND EXPENSES TABLE OF
THE PROSPECTUS DATED OCTOBER 31, 2009 IS 0.34%.
PERFORMANCE AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------------------------------------
DOW JONES DOW JONES
U.S. MID-CAP U.S. MID-CAP
VALUE VALUE
NET ASSET MARKET TOTAL STOCK NET ASSET MARKET TOTAL STOCK
VALUE VALUE MARKET INDEX VALUE VALUE MARKET INDEX
----------------------------------------------------------------------------------------------------------------------
SIX-MONTHS 30.59% 30.60% 30.84% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
ONE YEAR 31.64% 31.82% 32.04% 31.64% 31.82% 32.04%
----------------------------------------------------------------------------------------------------------------------
THREE YEARS -15.27% -15.36% -15.01% -5.37% -5.41% -5.28%
----------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 2.08% 2.05% 2.65% 0.50% 0.49% 0.63%
----------------------------------------------------------------------------------------------------------------------
<Table>
(1) For the period November 8, 2005 to December 31, 2009.
</Table>
19
(semi-annual report LOGO)
SPDR DOW JONES MID CAP VALUE ETF --
PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET
VALUE)
(PERFORMANCE GRAPH)
<Table>
<Caption>
DOW JONES
U.S. MID-CAP
SPDR DOW VALUE TOTAL
JONES MID STOCK MARKET
CAP VALUE INDEX (B)
ETF (A)
--------- ------------
11/8/2005 10000 10000
Nov-05 10368 10366
Dec-05 10439 10439
Jan-06 10947 10951
Feb-06 10976 10981
Mar-06 11241 11249
Apr-06 11295 11304
May-06 10963 10973
Jun-06 10976 10987
Jul-06 10779 10791
Aug-06 11022 11038
Sep-06 11114 11132
Oct-06 11613 11636
Nov-06 11999 12027
Dec-06 12048 12078
Jan-07 12452 12541
Feb-07 12554 12572
Mar-07 12660 12694
Apr-07 13065 13115
May-07 13540 13595
Jun-07 13136 13191
Jul-07 12332 12384
Aug-07 12258 12314
Sep-07 12473 12533
Oct-07 12597 12659
Nov-07 11989 12049
Dec-07 11865 11924
Jan-08 11445 11503
Feb-08 11091 11148
Mar-08 10911 10968
Apr-08 11509 11571
May-08 11893 11960
Jun-08 10748 10801
Jul-08 10892 10946
Aug-08 11178 11237
Sep-08 10259 10303
Oct-08 8228 8256
Nov-08 7414 7439
Dec-08 7755 7785
Jan-09 6919 6941
Feb-09 6044 6058
Mar-09 6531 6553
Apr-09 7615 7646
May-09 7838 7871
Jun-09 7817 7846
Jul-09 8589 8639
Aug-09 9220 9279
Sep-09 9651 9697
Oct-09 9282 9341
Nov-09 9705 9770
Dec-09 10208 10265
</Table>
20
(semi-annual report LOGO)
SPDR DOW JONES MID CAP VALUE ETF --
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
-----------------------------------------------------------------------------------------------------------------------
GENWORTH
PIONEER NATURAL FINANCIAL, INC.
DESCRIPTION PROLOGSIS WHIRLPOOL CORP. RESOURCES CO. (CLASS A) KIMCO REALTY CORP.
-----------------------------------------------------------------------------------------------------------------------
MARKET VALUE $217,137 198,746 184,058 182,860 182,195
-----------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 1.2% 1.1 1.0 1.0 1.0
-----------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2009*
<Table>
<Caption>
-----------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
-----------------------------------------------
Insurance 13.8%
Real Estate Investment Trusts 13.1
Commercial Banks 7.0
Household Durables 5.2
Multi-Utilities 5.0
Electric Utilities 4.6
Machinery 4.1
Gas Utilities 4.0
Containers & Packaging 3.2
Oil, Gas & Consumable Fuels 2.9
Chemicals 2.8
Specialty Retail 2.3
Health Care Providers &
Services 2.1
Capital Markets 1.9
Food Products 1.7
Commercial Services & Supplies 1.6
Electronic Equipment,
Instruments & Components 1.4
Electrical Equipment 1.4
Industrial Conglomerates 1.3
Media 1.3
Software 1.2
Metals & Mining 1.1
Real Estate Management &
Development 1.1
Hotels, Restaurants & Leisure 1.0
Thrifts & Mortgage Finance 1.0
Beverages 0.9
Diversified Telecommunication
Services 0.9
Biotechnology 0.8
Food & Staples Retailing 0.8
Aerospace & Defense 0.8
Paper & Forest Products 0.8
Wireless Telecommunication
Services 0.7
Computers & Peripherals 0.7
Health Care Equipment &
Supplies 0.7
Road & Rail 0.6
Independent Power Producers &
Energy Traders 0.6
Pharmaceuticals 0.6
Construction & Engineering 0.5
Personal Products 0.5
Energy Equipment & Services 0.5
Auto Components 0.5
Water Utilities 0.4
Building Products 0.4
Diversified Consumer Services 0.4
Multiline Retail 0.4
Life Sciences Tools & Services 0.3
Semiconductors & Semiconductor
Equipment 0.3
IT Services 0.3
Trading Companies &
Distributors 0.2
Short Term Investments 29.0
Other Assets & Liabilities (28.7)
-----------------------------------------------
TOTAL 100.0%
-----------------------------------------------
</Table>
<Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
</Table>
21
(semi-annual report LOGO)
SPDR DOW JONES SMALL CAP ETF --
PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value to
the total return based on market price and its benchmark index is provided for
comparative purposes only and represents the periods noted. The Fund's per share
net asset value ("NAV") is the value of one share of the Fund and is calculated
by dividing the value of total assets less total liabilities by the number of
shares outstanding. The NAV return is based on the NAV of the Fund and the
market return is based on the market price per share of the Fund. The market
price used to calculate the market return is determined by using the midpoint
between the highest bid and the lowest offer on the exchange on which the shares
of the Fund are listed for trading, as of the time that the Fund's NAV is
calculated. Since shares of the Fund did not trade in the secondary market until
several days after the Fund's inception, for the period from inception to the
first day of secondary market trading in shares of the Fund (11/8/05, 11/15/05,
respectively), the NAV of the Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
dividends and capital gain distributions have been reinvested in the Fund at
NAV. Market returns do not include brokerage commissions that may be payable on
secondary market transactions. If brokerage commissions were included market
returns would be lower.
An index is a statistical measure of a specified financial market or sector. An
index does not actually hold a portfolio of securities and therefore does not
reflect deductions for fees or expenses. In comparison, the Fund's performance
is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A
GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER
THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE
RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO
FOR SPDR DOW JONES SMALL CAP ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE
PROSPECTUS DATED OCTOBER 31, 2009 IS 0.32%.
PERFORMANCE AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------------------------------------
DOW JONES DOW JONES
U.S. SMALL- U.S. SMALL-
CAP CAP
NET ASSET MARKET TOTAL STOCK NET ASSET MARKET TOTAL STOCK
VALUE VALUE MARKET INDEX VALUE VALUE MARKET INDEX
----------------------------------------------------------------------------------------------------------------------
SIX-MONTHS 27.96% 27.88% 28.21% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
ONE YEAR 41.21% 41.62% 41.93% 41.21% 41.62% 41.93%
----------------------------------------------------------------------------------------------------------------------
THREE YEARS -10.21% -10.41% -9.98% -3.53% -3.60% -3.44%
----------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 8.44% 8.31% 9.16% 1.97% 1.94% 2.13%
----------------------------------------------------------------------------------------------------------------------
<Table>
(1) For the period November 8, 2005 to December 31, 2009.
</Table>
22
(semi-annual report LOGO)
SPDR DOW JONES SMALL CAP ETF --
PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET
VALUE)
(PERFORMANCE GRAPH)
<Table>
<Caption>
DOW
SPDR DOW JONES U.S.
JONES SMALL SMALL-CAP TOTAL
CAP ETF STOCK MARKET
(A) INDEX (B)
----------- ---------------
11/8/2005 10000 10000
Nov-05 10353 10356
Dec-05 10359 10366
Jan-06 11169 11183
Feb-06 11145 11160
Mar-06 11656 11676
Apr-06 11688 11710
May-06 11114 11136
Jun-06 11151 11177
Jul-06 10798 10827
Aug-06 11053 11086
Sep-06 11124 11159
Oct-06 11706 11748
Nov-06 12080 12127
Dec-06 12079 12127
Jan-07 12383 12438
Feb-07 12383 12440
Mar-07 12530 12590
Apr-07 12859 12926
May-07 13433 13507
Jun-07 13238 13310
Jul-07 12492 12561
Aug-07 12655 12727
Sep-07 12920 12996
Oct-07 13237 13317
Nov-07 12362 12437
Dec-07 12285 12359
Jan-08 11540 11610
Feb-08 11227 11293
Mar-08 11102 11166
Apr-08 11648 11712
May-08 12167 12232
Jun-08 11152 11202
Jul-08 11279 11330
Aug-08 11649 11704
Sep-08 10501 10537
Oct-08 8264 8284
Nov-08 7294 7305
Dec-08 7682 7692
Jan-09 6974 6979
Feb-09 6164 6165
Mar-09 6726 6736
Apr-09 8043 8073
May-09 8403 8437
Jun-09 8475 8514
Jul-09 9334 9384
Aug-09 9787 9845
Sep-09 10391 10458
Oct-09 9698 9757
Nov-09 10047 10107
Dec-09 10844 10916
</Table>
23
(semi-annual report LOGO)
SPDR DOW JONES SMALL CAP ETF --
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
------------------------------------------------------------------------------------------------------------------------
HUMAN GENOME BUCYRUS INTERNATIONAL, SL GREEN MASSEY NALCO
DESCRIPTION SCIENCES, INC. INC. (CLASS A) REALTY CORP. ENERGY CO. HOLDING CO.
------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $181,244 135,175 124,394 118,090 115,407
------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 0.4% 0.3 0.3 0.3 0.3
------------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2009*
<Table>
<Caption>
-----------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
-----------------------------------------------
Real Estate Investment Trusts 8.0%
Commercial Banks 5.5
Machinery 4.2
Semiconductors & Semiconductor
Equipment 4.0
Health Care Providers &
Services 3.8
Oil, Gas & Consumable Fuels 3.8
Software 3.8
Specialty Retail 3.8
Insurance 3.6
Biotechnology 3.0
Communications Equipment 2.6
Chemicals 2.5
Health Care Equipment &
Supplies 2.5
Energy Equipment & Services 2.4
Hotels, Restaurants & Leisure 2.4
Electronic Equipment,
Instruments & Components 2.2
Commercial Services & Supplies 1.9
Capital Markets 1.8
Electrical Equipment 1.8
Media 1.8
Textiles, Apparel & Luxury
Goods 1.8
IT Services 1.7
Metals & Mining 1.7
Household Durables 1.6
Aerospace & Defense 1.5
Food Products 1.5
Thrifts & Mortgage Finance 1.4
Internet Software & Services 1.3
Electric Utilities 1.2
Auto Components 1.1
Diversified Consumer Services 1.1
Pharmaceuticals 1.1
Airlines 1.0
Computers & Peripherals 1.0
Professional Services 1.0
Road & Rail 1.0
Containers & Packaging 0.8
Diversified Telecommunication
Services 0.8
Food & Staples Retailing 0.8
Gas Utilities 0.8
Personal Products 0.8
Building Products 0.7
Construction & Engineering 0.7
Life Sciences Tools & Services 0.7
Trading Companies &
Distributors 0.7
Consumer Finance 0.5
Leisure Equipment & Products 0.5
Paper & Forest Products 0.5
Diversified Financial Services 0.4
Health Care Technology 0.4
Internet & Catalog Retail 0.4
Marine 0.4
Multiline Retail 0.4
Real Estate Management &
Development 0.4
Air Freight & Logistics 0.3
Distributors 0.3
Industrial Conglomerates 0.3
Multi-Utilities 0.3
Wireless Telecommunication
Services 0.3
Beverages 0.2
Construction Materials 0.2
Tobacco 0.2
Water Utilities 0.2
Automobiles 0.1
Household Products 0.1
Independent Power Producers &
Energy Traders 0.1
Office Electronics 0.1
Short Term Investments 29.3
Other Assets & Liabilities (29.1)
-----------------------------------------------
TOTAL 100.0 %
-----------------------------------------------
</Table>
<Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
</Table>
24
(semi-annual report LOGO)
SPDR DOW JONES SMALL CAP GROWTH ETF --
PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value to
the total return based on market price and its benchmark index is provided for
comparative purposes only and represents the periods noted. The Fund's per share
net asset value ("NAV") is the value of one share of the Fund and is calculated
by dividing the value of total assets less total liabilities by the number of
shares outstanding. The NAV return is based on the NAV of the Fund and the
market return is based on the market price per share of the Fund. The market
price used to calculate the market return is determined by using the midpoint
between the highest bid and the lowest offer on the exchange on which the shares
of the Fund are listed for trading, as of the time that the Fund's NAV is
calculated. Since shares of the Fund did not trade in the secondary market until
several days after the Fund's inception, for the period from inception to the
first day of secondary market trading in shares of the Fund (9/25/00, 9/29/00,
respectively), the NAV of the Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
dividends and capital gain distributions have been reinvested in the Fund at
NAV. Market returns do not include brokerage commissions that may be payable on
secondary market transactions. If brokerage commissions were included market
returns would be lower.
An index is a statistical measure of a specified financial market or sector. An
index does not actually hold a portfolio of securities and therefore does not
reflect deductions for fees or expenses. In comparison, the Fund's performance
is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A
GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER
THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE
RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO
FOR SPDR DOW JONES SMALL CAP GROWTH ETF AS STATED IN THE FEES AND EXPENSES TABLE
OF THE PROSPECTUS DATED OCTOBER 31, 2009 IS 0.26%.
PERFORMANCE AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------------------------------------
DOW JONES DOW JONES
U.S. U.S.
SMALL-CAP SMALL-CAP
GROWTH GROWTH
TOTAL STOCK TOTAL STOCK
NET ASSET MARKET MARKET NET ASSET MARKET MARKET
VALUE VALUE INDEX VALUE VALUE INDEX
----------------------------------------------------------------------------------------------------------------------
SIX-MONTHS 25.19% 25.07% 25.35% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
ONE YEAR 46.84% 46.84% 47.38% 46.84% 46.84% 47.38%
----------------------------------------------------------------------------------------------------------------------
THREE YEARS -6.52% -7.29% -6.45% -2.22% -2.49% -2.20%
----------------------------------------------------------------------------------------------------------------------
FIVE YEARS (1) 15.23% 16.09% 16.74% 2.88% 3.03% 3.14%
----------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1)(2) -12.34% -12.42% 7.76% -1.41% -1.42% 0.81%
----------------------------------------------------------------------------------------------------------------------
<Table>
(1) Prior to November 1, 2005, the Fund's investment strategy sought to track
the total return performance of an index different from the Dow Jones U.S.
Small-Cap Growth Total Stock Market Index. Performance of the Fund prior
to November 1, 2005 is therefore based on the Fund's investment strategy
to track the prior index. Future performance may vary from past results.
(2) For the period September 25, 2000 to December 31, 2009.
</Table>
25
(semi-annual report LOGO)
SPDR DOW JONES SMALL CAP GROWTH ETF --
PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET
VALUE)
(PERFORMANCE GRAPH)
<Table>
<Caption>
DOW JONES
SPDR DOW U.S. SMALL-CAP
JONES SMALL GROWTH TOTAL
CAP GROWTH STOCK MARKET
ETF (A)(1) INDEX (B)
----------- --------------
9/25/2000 10000 10000
Sep-00 9988 9993
Oct-00 9321 9132
Nov-00 7568 7350
Dec-00 8019 7812
Jan-01 8629 8417
Feb-01 7391 7157
Mar-01 6585 6388
Apr-01 7499 7326
May-01 7691 7564
Jun-01 7893 7733
Jul-01 7235 7148
Aug-01 6709 6667
Sep-01 5499 5480
Oct-01 6114 6108
Nov-01 6809 6724
Dec-01 7307 7185
Jan-02 6997 6944
Feb-02 6308 6480
Mar-02 6824 7016
Apr-02 6427 6807
May-02 5971 6437
Jun-02 5396 5910
Jul-02 4599 5111
Aug-02 4536 5157
Sep-02 4090 4749
Oct-02 4368 5016
Nov-02 4884 5531
Dec-02 4462 5134
Jan-03 4397 4995
Feb-03 4284 4852
Mar-03 4338 4932
Apr-03 4744 5449
May-03 5253 6087
Jun-03 5341 6266
Jul-03 5665 6652
Aug-03 5973 7035
Sep-03 5865 6866
Oct-03 6392 7487
Nov-03 6595 7704
Dec-03 6606 7754
Jan-04 6845 8098
Feb-04 6917 8166
Mar-04 6944 8250
Apr-04 6703 7966
May-04 6810 8116
Jun-04 7007 8377
Jul-04 6583 7802
Aug-04 6506 7673
Sep-04 6735 8081
Oct-04 6884 8295
Nov-04 7308 8911
Dec-04 7607 9230
Jan-05 7401 8925
Feb-05 7576 9123
Mar-05 7393 8899
Apr-05 7086 8450
May-05 7478 9027
Jun-05 7646 9318
Jul-05 8106 9861
Aug-05 8013 9755
Sep-05 8054 9878
Oct-05 7802 9545
Nov-05 8229 10070
Dec-05 8271 10124
Jan-06 8952 10962
Feb-06 8927 10931
Mar-06 9415 11535
Apr-06 9431 11560
May-06 8824 10819
Jun-06 8793 10780
Jul-06 8390 10289
Aug-06 8584 10532
Sep-06 8643 10609
Oct-06 9140 11224
Nov-06 9421 11573
Dec-06 9376 11519
Jan-07 9651 11860
Feb-07 9664 11877
Mar-07 9808 12058
Apr-07 10105 12428
May-07 10598 13038
Jun-07 10518 12942
Jul-07 10037 12353
Aug-07 10169 12519
Sep-07 10479 12903
Oct-07 10861 13372
Nov-07 10102 12440
Dec-07 10115 12447
Jan-08 9263 11398
Feb-08 9048 11129
Mar-08 8903 10951
Apr-08 9413 11576
May-08 9941 12221
Jun-08 9361 11503
Jul-08 9324 11455
Aug-08 9572 11760
Sep-08 8338 10238
Oct-08 6436 7899
Nov-08 5632 6903
Dec-08 5969 7308
Jan-09 5550 6792
Feb-09 4988 6097
Mar-09 5444 6660
Apr-09 6506 7979
May-09 6832 8382
Jun-09 7002 8597
Jul-09 7620 9351
Aug-09 7818 9597
Sep-09 8403 10326
Oct-09 7791 9561
Nov-09 8030 9862
Dec-09 8766 10776
</Table>
(1) Prior to November 1, 2005, the Fund's investment strategy sought to track
the total return performance of an index different from the Dow Jones U.S.
Small-Cap Growth Total Stock Market Index. Performance of the Fund prior to
November 1, 2005 is therefore based on the Fund's investment strategy to
track the prior index. Future performance may vary from past results.
26
(semi-annual report LOGO)
SPDR DOW JONES SMALL CAP GROWTH ETF --
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
-------------------------------------------------------------------------------------------------------------
BUCYRUS
HUMAN GENOME INTERNATIONAL, INC.
DESCRIPTION SCIENCES, INC. (CLASS A) MASSEY ENERGY CO. NALCO HOLDING CO.
-------------------------------------------------------------------------------------------------------------
MARKET VALUE $978,772 774,084 632,040 618,311
-------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 0.8% 0.6 0.5 0.5
-------------------------------------------------------------------------------------------------------------
----------------------------------------------
DESCRIPTION JABIL CIRCUIT, INC.
----------------------------------------------
MARKET VALUE 616,600
----------------------------------------------
% OF NET ASSETS 0.5
----------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2009*
<Table>
<Caption>
-----------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
-----------------------------------------------
Semiconductors & semiconductor
Equipment 7.0%
Software 6.1
Oil, Gas & Consumable Fuels 5.6
Biotechnology 5.1
Health Care Providers &
Services 4.7
Communications Equipments 4.2
Energy Equipment & Services 4.2
Machinery 4.0
Health Care Equipment &
Supplies 3.9
Specialty Retail 3.7
Electronic Equipment,
Instruments & Components 2.7
Hotels, Restaurants & Leisure 2.7
Internet Software & Services 2.3
Aerospace & Defense 2.2
Metals & Mining 2.1
Electrical Equipment 2.0
IT Services 2.0
Professional Services 1.9
Airlines 1.7
Commercial Services & Supplies 1.7
Chemicals 1.5
Diversified Consumer Services 1.5
Media 1.7
Pharmaceuticals 1.7
Capital Markets 1.4
Real Estate Investment Trusts 1.4
Textiles, Apparel & Luxury
Goods 1.4
Household Durables 1.3
Personal Products 1.2
Commercial Banks 1.1
Road & Rail 1.1
Auto Components 1.0
Computers & Peripherals 1.0
Diversified Telecommunication
Services 1.0
Food Products 1.0
Life Sciences Tools & Services 0.9
Health Care Technology 0.7
Internet & Catalog Retail 0.7
Thrifts & Mortgage Finance 0.7
Trading Companies &
Distributors 0.6
Air Freight & Logistics 0.5
Building Products 0.5
Construction & Engineering 0.5
Consumer Finance 0.5
Containers & Packaging 0.4
Distributors 0.4
Diversified Financial Services 0.4
Food & Staples Retailing 0.4
Paper & Forest Products 0.4
Real Estate Management &
Development 0.4
Wireless Telecommunication
Services 0.4
Beverages 0.3
Insurance 0.3
Marine 0.3
Office Electronics 0.3
Automobiles 0.2
Construction Materials 0.2
Industrials Conglomerates 0.2
Leisure Equipment & Products 0.2
Independent Power Producers &
Energy Traders 0.1
Multiline Retail 0.1
Short Term Investments 29.3
Other Assets & Liabilities (29.0)
-----------------------------------------------
TOTAL 100.0%
-----------------------------------------------
</Table>
<Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
</Table>
27
(semi-annual report LOGO)
SPDR DOW JONES SMALL CAP VALUE ETF --
PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value to
the total return based on market price and its benchmark index is provided for
comparative purposes only and represents the periods noted. The Fund's per share
net asset value ("NAV") is the value of one share of the Fund and is calculated
by dividing the value of total assets less total liabilities by the number of
shares outstanding. The NAV return is based on the NAV of the Fund and the
market return is based on the market price per share of the Fund. The market
price used to calculate the market return is determined by using the midpoint
between the highest bid and the lowest offer on the exchange on which the shares
of the Fund are listed for trading, as of the time that the Fund's NAV is
calculated. Since shares of the Fund did not trade in the secondary market until
several days after the Fund's inception, for the period from inception to the
first day of secondary market trading in shares of the Fund (9/25/00, 9/29/00,
respectively), the NAV of the Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
dividends and capital gain distributions have been reinvested in the Fund at
NAV. Market returns do not include brokerage commissions that may be payable on
secondary market transactions. If brokerage commissions were included market
returns would be lower.
An index is a statistical measure of a specified financial market or sector. An
index does not actually hold a portfolio of securities and therefore does not
reflect deductions for fees or expenses. In comparison, the Fund's performance
is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A
GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER
THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE
RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO
FOR SPDR DOW JONES SMALL CAP VALUE ETF AS STATED IN THE FEES AND EXPENSES TABLE
OF THE PROSPECTUS DATED OCTOBER 31, 2009 IS 0.27%.
PERFORMANCE AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------------------------------------
DOW JONES DOW JONES
U.S. U.S.
SMALL-CAP SMALL-CAP
VALUE VALUE
TOTAL STOCK TOTAL STOCK
NET ASSET MARKET MARKET NET ASSET MARKET MARKET
VALUE VALUE INDEX VALUE VALUE INDEX
----------------------------------------------------------------------------------------------------------------------
SIX-MONTHS 31.13% 31.08% 31.25% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
ONE YEAR 36.57% 36.97% 36.83% 36.57% 36.97% 36.83%
----------------------------------------------------------------------------------------------------------------------
THREE YEARS -13.11% -13.46% -13.32% -4.58% -4.71% -4.65%
----------------------------------------------------------------------------------------------------------------------
FIVE YEARS (1) 10.08% 10.28% 9.57% 1.94% 1.98% 1.84%
----------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1)(2) 134.70% 134.65% 112.20% 9.64% 9.64% 8.45%
----------------------------------------------------------------------------------------------------------------------
<Table>
(1) Prior to November 1, 2005, the Fund's investment strategy sought to track
the total return performance of an index different from the Dow Jones U.S.
Small-Cap Value Total Stock Market Index. Performance of the Fund prior to
November 1, 2005 is therefore based on the Fund's investment strategy to
track the prior index. Future performance may vary from past results.
(2) For the period September 25, 2000 to December 31, 2009.
</Table>
28
(semi-annual report LOGO)
SPDR DOW JONES SMALL CAP VALUE ETF --
PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET
VALUE)
(PERFORMANCE GRAPH)
<Table>
<Caption>
DOW JONES
SPDR DOW U.S. SMALL-CAP
JONES SMALL VALUE TOTAL
CAP VALUE STOCK MARKET
ETF (A)(1) INDEX (B)
----------- --------------
9/25/2000 10000 10000
Sep-00 10195 10154
Oct-00 10249 10065
Nov-00 10234 9699
Dec-00 11575 10714
Jan-00 11599 10990
Feb-00 11740 10890
Mar-00 11449 10569
Apr-01 11964 11122
May-01 12426 11480
Jun-01 12669 11766
Jul-01 12790 11637
Aug-01 12735 11548
Sep-01 11504 10324
Oct-01 11667 10664
Nov-01 12418 11431
Dec-01 13002 12077
Jan-02 13228 12127
Feb-02 13527 12178
Mar-02 14476 13097
Apr-02 14872 13374
May-02 14597 12965
Jun-02 14130 12517
Jul-02 12871 11090
Aug-02 13076 11175
Sep-02 12165 10464
Oct-02 12237 10576
Nov-02 12781 11356
Dec-02 12648 11026
Jan-03 12261 10733
Feb-03 11896 10455
Mar-03 11928 10520
Apr-03 13169 11569
May-03 14421 12624
Jun-03 14634 12839
Jul-03 15172 13455
Aug-03 15640 13971
Sep-03 15391 13866
Oct-03 16569 14944
Nov-03 17289 15560
Dec-03 18075 16192
Jan-04 18646 16728
Feb-04 19189 17001
Mar-04 19358 17191
Apr-04 18068 16234
May-04 18406 16538
Jun-04 19159 17336
Jul-04 18145 16521
Aug-04 18343 16634
Sep-04 18982 17152
Oct-04 19319 17448
Nov-04 20776 18831
Dec-04 21320 19367
Jan-05 20253 18577
Feb-05 20618 18951
Mar-05 20255 18549
Apr-05 19203 17690
May-05 20364 18644
Jun-05 21077 19353
Jul-05 22447 20565
Aug-05 22263 20185
Sep-05 22305 20222
Oct-05 21674 19576
Nov-05 22645 20459
Dec-05 22575 20394
Jan-06 24257 21921
Feb-06 24220 21892
Mar-06 25128 22721
Apr-06 25213 22804
May-06 24345 22021
Jun-06 24588 22247
Jul-06 24136 21845
Aug-06 24715 22374
Sep-06 24860 22508
Oct-06 26039 23585
Nov-06 26898 24371
Dec-06 27012 24480
Jan-07 27591 25015
Feb-07 27557 24989
Mar-07 27800 25206
Apr-07 28421 25778
May-07 29575 26832
Jun-07 28924 26242
Jul-07 26970 24468
Aug-07 27312 24784
Sep-07 27617 25064
Oct-07 27954 25377
Nov-07 26212 23793
Dec-07 25872 23469
Jan-08 24988 22666
Feb-08 24208 21957
Mar-08 24062 21827
Apr-08 25044 22713
May-08 25864 23458
Jun-08 23005 20847
Jul-08 23672 21452
Aug-08 24616 22308
Sep-08 22997 20802
Oct-08 18433 16650
Nov-08 16416 14804
Dec-08 17184 15505
Jan-09 15251 13750
Feb-09 13269 11956
Mar-09 14485 13068
Apr-09 17352 15668
May-09 18037 16285
Jun-09 17899 16167
Jul-09 19982 18055
Aug-09 21440 19380
Sep-09 22493 20331
Oct-09 21146 19106
Nov-09 22001 19881
Dec-09 23470 21220
</Table>
(1) Prior to November 1, 2005, the Fund's investment strategy sought to track
the total performance of an index different from the Dow Jones U.S. Small-
Cap Value Total Stock Market Index. Performance of the Fund prior to
November 1, 2005 is therefore based on the Fund's investment strategy to
track the prior index. Future performance may vary from past results.
29
(semi-annual report LOGO)
SPDR DOW JONES SMALL CAP VALUE ETF --
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------------
SL GREEN E*TRADE
DESCRIPTION REALTY CORP. GANNETT CO., INC. THE MACERICH CO. FINANCIAL CORP. OSHKOSH CORP.
----------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $631,868 559,726 553,127 535,619 528,974
----------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 0.6% 0.6 0.6 0.5 0.5
----------------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2009*
<Table>
<Caption>
-----------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
-----------------------------------------------
Real Estate Investment Trusts 15.6%
Commercial Banks 10.4
Insurance 7.3
Machinery 4.5
Specialty Retail 3.9
Chemicals 3.7
Health Care Providers &
Services 2.8
Electric Utilities 2.6
Capital Markets 2.2
Textiles, Apparel & Luxury
Goods 2.2
Thrifts & Mortgage Finance 2.1
Commercial Services & Supplies 2.0
Food Products 2.0
Hotels, Restaurants & Leisure 2.0
Household Durables 1.8
Media 1.8
Oil, Gas & Consumable Fuels 1.8
Electrical Equipment 1.6
Electronic Equipment,
Instruments & Components 1.6
Gas Utilities 1.6
Containers & Packaging 1.4
Auto Components 1.3
IT Services 1.3
Food & Staples Retailing 1.2
Metals & Mining 1.2
Software 1.2
Health Care Equipment &
Supplies 1.1
Building Products 0.9
Computers & Peripherals 0.9
Construction & Engineering 0.9
Aerospace & Defense 0.8
Biotechnology 0.8
Communications Equipment 0.8
Diversified Consumer Services 0.8
Leisure Equipment & Products 0.8
Multiline Retail 0.8
Road & Rail 0.8
Trading Companies &
Distributors 0.8
Paper & Forest Products 0.7
Semiconductors & Semiconductor
Equipment 0.7
Industrial Conglomerates 0.6
Multi-Utilities 0.6
Consumer Finance 0.5
Diversified Telecommunication
Services 0.5
Energy Equipment & Services 0.4
Life Sciences Tools & Services 0.4
Marine 0.4
Pharmaceuticals 0.4
Real Estate Management &
Development 0.4
Tobacco 0.4
Diversified Financial Services 0.3
Personal Products 0.3
Water Utilities 0.3
Airlines 0.2
Construction Materials 0.2
Household Products 0.2
Internet Software & Services 0.2
Professional Services 0.2
Air Freight & Logistics 0.1
Automobiles 0.1
Beverages 0.1
Distributors 0.1
Wireless Telecommunication
Services 0.1
Heath Care Technology 0.0**
Internet & Catalog Retail 0.0**
Short Term Investments 21.6
Other Assets & Liabilities (21.3)
-----------------------------------------------
TOTAL 100.0%
-----------------------------------------------
</Table>
<Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
** Amount represents less than 0.05% of net assets.
</Table>
30
(semi-annual report LOGO)
SPDR DJ GLOBAL TITANS ETF --
PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value to
the total return based on market price and its benchmark index is provided for
comparative purposes only and represents the periods noted. The Fund's per share
net asset value ("NAV") is the value of one share of the Fund and is calculated
by dividing the value of total assets less total liabilities by the number of
shares outstanding. The NAV return is based on the NAV of the Fund and the
market return is based on the market price per share of the Fund. The market
price used to calculate the market return is determined by using the midpoint
between the highest bid and the lowest offer on the exchange on which the shares
of the Fund are listed for trading, as of the time that the Fund's NAV is
calculated. Since shares of the Fund did not trade in the secondary market until
several days after the Fund's inception, for the period from inception to the
first day of secondary market trading in shares of the Fund (9/25/00, 9/29/00,
respectively), the NAV of the Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
dividends and capital gain distributions have been reinvested in the Fund at
NAV. Market returns do not include brokerage commissions that may be payable on
secondary market transactions. If brokerage commissions were included market
returns would be lower.
An index is a statistical measure of a specified financial market or sector. An
index does not actually hold a portfolio of securities and therefore does not
reflect deductions for fees or expenses. In comparison, the Fund's performance
is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A
GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER
THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE
RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO
FOR SPDR DJ GLOBAL TITANS ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE
PROSPECTUS DATED OCTOBER 31, 2009 IS 0.51%.
PERFORMANCE AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------------------------------------
DOW JONES DOW JONES
GLOBAL GLOBAL
NET ASSET MARKET TITANS NET ASSET MARKET TITANS
VALUE VALUE 50 INDEX VALUE VALUE 50 INDEX
----------------------------------------------------------------------------------------------------------------------
SIX-MONTHS 22.01% 21.78% 22.06% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
ONE YEAR 23.40% 23.64% 23.15% 23.40% 23.64% 23.15%
----------------------------------------------------------------------------------------------------------------------
THREE YEARS -18.58% -18.74% -18.63% -6.62% -6.68% -6.64%
----------------------------------------------------------------------------------------------------------------------
FIVE YEARS 0.40% 0.33% 1.32% 0.08% 0.07% 0.26%
----------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -17.82% -17.89% -16.30% -2.09% -2.10% -1.89%
----------------------------------------------------------------------------------------------------------------------
<Table>
(1) For the period September 25, 2000 to December 31, 2009.
</Table>
31
(semi-annual report LOGO)
SPDR DJ GLOBAL TITANS ETF --
PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET
VALUE)
(PERFORMANCE GRAPH)
<Table>
<Caption>
DOW
JONES GLOBAL
SPDR DJ TITANS 50
GLOBAL TITANS INDEX (B)
ETF (A)
------------- ------------
9/25/2000 10000 10000
Sep-00 9982 9998
Oct-00 10111 10137
Nov-00 9346 9376
Dec-00 9147 9180
Jan-01 9502 9539
Feb-01 8601 8636
Mar-01 8107 8142
Apr-01 8815 8858
May-01 8702 8749
Jun-01 8446 8453
Jul-01 8301 8347
Aug-01 7799 7845
Sep-01 7378 7422
Oct-01 7551 7600
Nov-01 7940 7995
Dec-01 7967 8026
Jan-02 7674 7735
Feb-02 7515 7579
Mar-02 7788 7857
Apr-02 7211 7276
May-02 7202 7268
Jun-02 6765 6833
Jul-02 6265 6330
Aug-02 6264 6332
Sep-02 5547 5611
Oct-02 6168 6245
Nov-02 6511 6595
Dec-02 6106 6186
Jan-03 5904 5984
Feb-03 5765 5844
Mar-03 5822 5906
Apr-03 6320 6412
May-03 6588 6688
Jun-03 6683 6789
Jul-03 6726 6837
Aug-03 6726 6840
Sep-03 6812 6932
Oct-03 7049 7176
Nov-03 7154 7288
Dec-03 7629 7777
Jan-04 7730 7883
Feb-04 7804 7964
Mar-04 7604 7763
Apr-04 7570 7729
May-04 7624 7788
Jun-04 7717 7889
Jul-04 7541 7712
Aug-04 7590 7764
Sep-04 7590 7767
Oct-04 7683 7860
Nov-04 7929 8129
Dec-04 8186 8392
Jan-05 8010 8215
Feb-05 8288 8516
Mar-05 8083 8303
Apr-05 8038 8255
May-05 8136 8363
Jun-05 8082 8316
Jul-05 8255 8498
Aug-05 8285 8533
Sep-05 8405 8658
Oct-05 8237 8490
Nov-05 8389 8649
Dec-05 8423 8691
Jan-06 8653 8930
Feb-06 8613 8890
Mar-06 8748 9038
Apr-06 8997 9299
May-06 8759 9052
Jun-06 8800 9096
Jul-06 9071 9380
Aug-06 9351 9677
Sep-06 9441 9774
Oct-06 9710 10057
Nov-06 9887 10244
Dec-06 10094 10464
Jan-07 10143 10521
Feb-07 9834 10200
Mar-07 9942 10322
Apr-07 10392 10790
May-07 10649 11063
Jun-07 10623 11044
Jul-07 10386 10795
Aug-07 10530 10947
Sep-07 10971 11416
Oct-07 11183 11638
Nov-07 10799 11238
Dec-07 10694 11125
Jan-08 10000 10403
Feb-08 9687 10072
Mar-08 9705 10090
Apr-08 10097 10508
May-08 9976 10373
Jun-08 9213 9579
Jul-08 9101 9458
Aug-08 8991 9342
Sep-08 8304 8625
Oct-08 7000 7270
Nov-08 6585 6840
Dec-08 6660 6914
Jan-09 5928 6148
Feb-09 5369 5560
Mar-09 5810 6021
Apr-09 6191 6413
May-09 6721 6961
Jun-09 6736 6857
Jul-09 7281 7537
Aug-09 7507 7775
Sep-09 7767 7909
Oct-09 7764 8042
Nov-09 8191 8484
Dec-09 8218 8370
</Table>
32
(semi-annual report LOGO)
SPDR DJ GLOBAL TITANS ETF --
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
-----------------------------------------------------------------------------------------------------------------
EXXON HSBC
DESCRIPTION MOBIL CORP. MICROSOFT CORP. HOLDINGS PLC ADR APPLE, INC BP PLC ADR
-----------------------------------------------------------------------------------------------------------------
MARKET VALUE $5,314,183 3,961,261 3,268,402 3,066,959 2,982,093
-----------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 5.2% 3.9 3.2 3.0 2.9
-----------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2009*
<Table>
<Caption>
-----------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
-----------------------------------------------
Oil, Gas & Consumable Fuels 17.6%
Pharmaceuticals 15.5
Commercial Banks 7.7
Computers & Peripherals 7.7
Diversified Telecommunication
Services 6.8
Software 5.4
Diversified Financial Services 4.7
Industrial Conglomerates 3.8
Beverages 3.5
Semiconductors & Semiconductor
Equipment 3.2
Communications Equipment 3.0
Food Products 2.8
Household Products 2.8
Internet Software & Services 2.4
Metals & Mining 2.1
Automobiles 2.0
Food & Staples Retailing 1.9
Wireless Telecommunication
Services 1.9
Tobacco 1.5
Electric Utilities 1.3
Energy Equipment & Services 1.2
Insurance 0.9
Short Term Investments 2.6
Other Assets & Liabilities (2.3)
-----------------------------------------------
TOTAL 100.0%
-----------------------------------------------
</Table>
<Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
</Table>
33
(semi-annual report LOGO)
SPDR DOW JONES REIT ETF --
PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value to
the total return based on market price and its benchmark index is provided for
comparative purposes only and represents the periods noted. The Fund's per share
net asset value ("NAV") is the value of one share of the Fund and is calculated
by dividing the value of total assets less total liabilities by the number of
shares outstanding. The NAV return is based on the NAV of the Fund and the
market return is based on the market price per share of the Fund. The market
price used to calculate the market return is determined by using the midpoint
between the highest bid and the lowest offer on the exchange on which the shares
of the Fund are listed for trading, as of the time that the Fund's NAV is
calculated. Since shares of the Fund did not trade in the secondary market until
several days after the Fund's inception, for the period from inception to the
first day of secondary market trading in shares of the Fund (4/23/01, 4/27/01,
respectively), the NAV of the Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
dividends and capital gain distributions have been reinvested in the Fund at
NAV. Market returns do not include brokerage commissions that may be payable on
secondary market transactions. If brokerage commissions were included market
returns would be lower.
An index is a statistical measure of a specified financial market or sector. An
index does not actually hold a portfolio of securities and therefore does not
reflect deductions for fees or expenses. In comparison, the Fund's performance
is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A
GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER
THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE
RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO
FOR SPDR DOW JONES REIT ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE
PROSPECTUS DATED OCTOBER 31, 2009 IS 0.25%.
PERFORMANCE AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------------------------------------
DOW JONES DOW JONES
U.S. U.S.
NET ASSET MARKET SELECT REIT NET ASSET MARKET SELECT REIT
VALUE VALUE INDEX VALUE VALUE INDEX
----------------------------------------------------------------------------------------------------------------------
SIX-MONTHS 47.66% 47.67% 47.88% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
ONE YEAR 28.52% 28.33% 28.46% 28.52% 28.33% 28.46%
----------------------------------------------------------------------------------------------------------------------
THREE YEARS -35.41% -35.45% -35.61% -13.56% -13.58% -13.65%
----------------------------------------------------------------------------------------------------------------------
FIVE YEARS (1) -0.54% -0.46% -0.34% -0.11% -0.09% -0.07%
----------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1)(2) 109.78% 109.77% 113.21% 8.90% 8.90% 9.04%
----------------------------------------------------------------------------------------------------------------------
<Table>
(1) For the period April 23, 2001 to December 31, 2009.
</Table>
34
(semi-annual report LOGO)
SPDR DOW JONES REIT ETF --
PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET
VALUE)
(PERFORMANCE GRAPH)
<Table>
<Caption>
DOW JONES
SPDR DOW U.S. SELECT
JONES REIT REIT INDEX
ETF (A) (B)
---------- -----------
4/23/2001 10000 10000
Apr-01 10259 10252
May-01 10505 10502
Jun-01 11122 11124
Jul-01 10898 10900
Aug-01 11325 11334
Sep-01 10849 10857
Oct-01 10461 10470
Nov-01 11087 11103
Dec-01 11364 11389
Jan-02 11316 11345
Feb-02 11560 11593
Mar-02 12301 12342
Apr-02 12361 12411
May-02 12515 12578
Jun-02 12848 12910
Jul-02 12156 12211
Aug-02 12163 12222
Sep-02 11684 11737
Oct-02 11057 11108
Nov-02 11582 11639
Dec-02 11733 11797
Jan-03 11392 11454
Feb-03 11596 11662
Mar-03 11872 11946
Apr-03 12324 12406
May-03 13017 13108
Jun-03 13286 13391
Jul-03 13985 14103
Aug-03 14097 14220
Sep-03 14579 14721
Oct-03 14788 14939
Nov-03 15436 15598
Dec-03 15894 16066
Jan-04 16525 16708
Feb-04 16796 16986
Mar-04 17797 18006
Apr-04 15202 15370
May-04 16362 16543
Jun-04 16833 17029
Jul-04 16913 17116
Aug-04 18301 18528
Sep-04 18211 18439
Oct-04 19213 19463
Nov-04 20062 20335
Dec-04 21091 21390
Jan-05 19241 19512
Feb-05 19841 20125
Mar-05 19566 19849
Apr-05 20712 21020
May-05 21387 21712
Jun-05 22495 22847
Jul-05 24200 24590
Aug-05 23266 23646
Sep-05 23378 23748
Oct-05 22889 23244
Nov-05 23942 24323
Dec-05 23966 24347
Jan-06 25831 26256
Feb-06 26378 26818
Mar-06 27721 28191
Apr-06 26670 27125
May-06 25921 26374
Jun-06 27385 27875
Jul-06 28358 28864
Aug-06 29297 29834
Sep-06 29862 30416
Oct-06 31734 32332
Nov-06 33242 33874
Dec-06 32479 33109
Jan-07 35348 36059
Feb-07 34554 35251
Mar-07 33670 34349
Apr-07 33649 34335
May-07 33665 34359
Jun-07 30515 31133
Jul-07 28112 28689
Aug-07 29756 30384
Sep-07 30891 31572
Oct-07 31249 31935
Nov-07 28212 28831
Dec-07 26734 27297
Jan-08 26595 27166
Feb-08 25590 26142
Mar-08 27274 27881
Apr-08 28940 29598
May-08 29001 29663
Jun-08 25813 26377
Jul-08 26558 27139
Aug-08 27155 27755
Sep-08 27069 27638
Oct-08 18343 18689
Nov-08 13871 14101
Dec-08 16324 16597
Jan-09 13398 13596
Feb-09 10489 10625
Mar-09 10832 10967
Apr-09 14355 14566
May-09 14724 14940
Jun-09 14207 14418
Jul-09 15684 15921
Aug-09 17973 18252
Sep-09 19234 19528
Oct-09 18358 18643
Nov-09 19614 19926
Dec-09 20978 21321
</Table>
35
(semi-annual report LOGO)
SPDR DOW JONES REIT ETF --
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
--------------------------------------------------------------------------------------------------------------------
SIMON
PROPERTY VORNADO BOSTON EQUITY
DESCRIPTION GROUP, INC. REALTY TRUST PUBLIC STORAGE PROPERTIES, INC. RESIDENTIAL
--------------------------------------------------------------------------------------------------------------------
MARKET VALUE $110,203,002 61,029,085 50,718,101 45,023,890 44,807,481
--------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 10.5% 5.8 4.9 4.3 4.3
--------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2009*
<Table>
<Caption>
-----------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
-----------------------------------------------
Specialized REITs 26.3%
Retail REITs 23.8
Office REITs 18.1
Residentail REITs 16.1
Diversified REITs 9.0
Industrial REITs 6.3
Short Term Investments 22.7
Other Assets & Liabilities (22.3)
-----------------------------------------------
TOTAL 100.0%
-----------------------------------------------
</Table>
<Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
</Table>
36
(semi-annual report LOGO)
SPDR KBW BANK ETF --
PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value to
the total return based on market price and its benchmark index is provided for
comparative purposes only and represents the periods noted. The Fund's per share
net asset value ("NAV") is the value of one share of the Fund and is calculated
by dividing the value of total assets less total liabilities by the number of
shares outstanding. The NAV return is based on the NAV of the Fund and the
market return is based on the market price per share of the Fund. The market
price used to calculate the market return is determined by using the midpoint
between the highest bid and the lowest offer on the exchange on which the shares
of the Fund are listed for trading, as of the time that the Fund's NAV is
calculated. Since shares of the Fund did not trade in the secondary market until
several days after the Fund's inception, for the period from inception to the
first day of secondary market trading in shares of the Fund (11/8/05, 11/15/05,
respectively), the NAV of the Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
dividends and capital gain distributions have been reinvested in the Fund at
NAV. Market returns do not include brokerage commissions that may be payable on
secondary market transactions. If brokerage commissions were included market
returns would be lower.
An index is a statistical measure of a specified financial market or sector. An
index does not actually hold a portfolio of securities and therefore does not
reflect deductions for fees or expenses. In comparison, the Fund's performance
is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A
GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER
THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE
RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO
FOR SPDR KBW BANK ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS
DATED OCTOBER 31, 2009 IS 0.35%.
PERFORMANCE AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------------------------------------
NET ASSET MARKET KBW BANK NET ASSET MARKET KBW BANK
VALUE VALUE INDEX VALUE VALUE INDEX
----------------------------------------------------------------------------------------------------------------------
SIX-MONTHS 17.76% 17.74% 17.77% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
ONE YEAR -1.44% -1.54% -1.77% -1.44% -1.54% -1.77%
----------------------------------------------------------------------------------------------------------------------
THREE YEARS -59.46% -59.45% -59.71% -25.99% -25.98% -26.14%
----------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -50.97% -50.98% -51.03% -15.79% -15.79% -15.75%
----------------------------------------------------------------------------------------------------------------------
<Table>
(1) For the period November 8, 2005 to December 31, 2009.
</Table>
37
(semi-annual report LOGO)
SPDR KBW BANK ETF --
PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET
VALUE)
(PERFORMANCE GRAPH)
<Table>
<Caption>
SPDR KBW KBW
BANK ETF BANK INDEX
(A) (B)
-------- ----------
11/8/2005 10000 10000
Nov-05 10349 10351
Dec-05 10379 10388
Jan-06 10359 10372
Feb-06 10681 10697
Mar-06 10696 10719
Apr-06 11396 11425
May-06 11006 11035
Jun-06 10890 10921
Jul-06 11279 11316
Aug-06 11254 11295
Sep-06 11567 11615
Oct-06 11656 11707
Nov-06 11576 11631
Dec-06 12092 12156
Jan-07 12163 12232
Feb-07 11952 12022
Mar-07 11795 11874
Apr-07 12055 12134
May-07 12197 12283
Jun-07 11792 11870
Jul-07 11008 11085
Aug-07 11156 11220
Sep-07 11183 11251
Oct-07 10935 11001
Nov-07 10319 10382
Dec-07 9455 9504
Jan-08 10105 10160
Feb-08 8824 8870
Mar-08 8523 8569
Apr-08 8960 9011
May-08 8247 8294
Jun-08 6360 6383
Jul-08 7264 7295
Aug-08 7279 7308
Sep-08 7495 7522
Oct-08 6506 6525
Nov-08 5348 5358
Dec-08 4974 4984
Jan-09 3240 3241
Feb-09 2739 2738
Mar-09 3192 3196
Apr-09 3729 3731
May-09 4265 4264
Jun-09 4163 4160
Jul-09 4628 4616
Aug-09 5411 5399
Sep-09 5407 5398
Oct-09 4841 4832
Nov-09 5103 5095
Dec-09 4903 4897
</Table>
38
(semi-annual report LOGO)
SPDR KBW BANK ETF --
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
-----------------------------------------------------------------------------------------------------------------------
BANK OF JPMORGAN
DESCRIPTION AMERICA CORP. CITIGROUP, INC. WELLS FARGO & CO. CHASE & CO. U.S. BANCORP
-----------------------------------------------------------------------------------------------------------------------
MARKET VALUE $73,231,690 64,094,880 64,025,489 58,377,961 54,070,888
-----------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 9.1% 7.9 7.9 7.2 6.7
-----------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2009*
<Table>
<Caption>
-----------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
-----------------------------------------------
Regional Banks 40.9%
Other Diversified Financial
Services 24.2
Diversified Banks 18.2
Asset Management & Custody
Banks 9.6
Consumer Finance 3.9
Thrifts & Mortgage Finance 3.1
Short Term Investments 13.6
Other Asset & Liabilities (13.5)
-----------------------------------------------
TOTAL 100.0%
-----------------------------------------------
</Table>
<Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
</Table>
39
(semi-annual report LOGO)
SPDR KBW CAPITAL MARKETS ETF --
PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value to
the total return based on market price and its benchmark index is provided for
comparative purposes only and represents the periods noted. The Fund's per share
net asset value ("NAV") is the value of one share of the Fund and is calculated
by dividing the value of total assets less total liabilities by the number of
shares outstanding. The NAV return is based on the NAV of the Fund and the
market return is based on the market price per share of the Fund. The market
price used to calculate the market return is determined by using the midpoint
between the highest bid and the lowest offer on the exchange on which the shares
of the Fund are listed for trading, as of the time that the Fund's NAV is
calculated. Since shares of the Fund did not trade in the secondary market until
several days after the Fund's inception, for the period from inception to the
first day of secondary market trading in shares of the Fund (11/8/05, 11/15/05,
respectively), the NAV of the Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
dividends and capital gain distributions have been reinvested in the Fund at
NAV. Market returns do not include brokerage commissions that may be payable on
secondary market transactions. If brokerage commissions were included market
returns would be lower.
An index is a statistical measure of a specified financial market or sector. An
index does not actually hold a portfolio of securities and therefore does not
reflect deductions for fees or expenses. In comparison, the Fund's performance
is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A
GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER
THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE
RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO
FOR SPDR KBW CAPITAL MARKETS ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE
PROSPECTUS DATED OCTOBER 31, 2009 IS 0.36%.
PERFORMANCE AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------------------------------------
KBW CAPITAL KBW CAPITAL
NET ASSET MARKET MARKETS NET ASSET MARKET MARKETS
VALUE VALUE INDEX VALUE VALUE INDEX
----------------------------------------------------------------------------------------------------------------------
SIX-MONTHS 10.38% 10.32% 10.69% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
ONE YEAR 40.94% 41.13% 41.60% 40.94% 41.13% 41.60%
----------------------------------------------------------------------------------------------------------------------
THREE YEARS -43.48% -43.56% -43.10% -17.32% -17.36% -17.13%
----------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -25.27% -25.27% -24.41% -6.78% -6.78% -6.50%
----------------------------------------------------------------------------------------------------------------------
<Table>
(1) For the period November 8, 2005 to December 31, 2009.
</Table>
40
(semi-annual report LOGO)
SPDR KBW CAPITAL MARKETS ETF --
PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET
VALUE)
(PERFORMANCE GRAPH)
<Table>
<Caption>
KBW
SPDR KBW CAPITAL MARKETS
CAPITAL MARKETS INDEX (B)
ETF (A)
--------------- ---------------
11/8/2005 10000 10000
Nov-05 10275 10277
Dec-05 10293 10298
Jan-06 11191 11204
Feb-06 11492 11510
Mar-06 11761 11784
Apr-06 11862 11888
May-06 11148 11174
Jun-06 11056 11082
Jul-06 11213 11244
Aug-06 11343 11378
Sep-06 12244 12286
Oct-06 12773 12823
Nov-06 12983 13038
Dec-06 13224 13283
Jan-07 13846 13913
Feb-07 13118 13187
Mar-07 13076 13146
Apr-07 13592 13669
May-07 14171 14264
Jun-07 13614 13703
Jul-07 12812 12897
Aug-07 12397 12474
Sep-07 13085 13174
Oct-07 14135 14237
Nov-07 13210 13308
Dec-07 13348 13449
Jan-08 12334 12429
Feb-08 10880 10964
Mar-08 9986 10064
Apr-08 10860 10947
May-08 10359 10444
Jun-08 9025 9094
Jul-08 9225 9298
Aug-08 9158 9233
Sep-08 7967 8032
Oct-08 6113 6157
Nov-08 5188 5220
Dec-08 5303 5337
Jan-09 4588 4614
Feb-09 4369 4395
Mar-09 5246 5284
Apr-09 5887 5933
May-09 6632 6685
Jun-09 6770 6829
Jul-09 7236 7300
Aug-09 7421 7488
Sep-09 7866 7942
Oct-09 7341 7411
Nov-09 7336 7409
Dec-09 7473 7559
</Table>
41
(semi-annual report LOGO)
SPDR KBW CAPITAL MARKETS ETF --
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
--------------------------------------------------------------------------------------------------------------------
THE GOLDMAN
SACHS GROUP, STATE STREET THE CHARLES
DESCRIPTION MORGAN STANLEY INC. CORP.* CME GROUP, INC. SCHWAB CORP.
--------------------------------------------------------------------------------------------------------------------
MARKET VALUE $6,893,278 6,606,034 6,129,169 6,091,781 5,407,475
--------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 8.3% 8.0 7.4 7.4 6.5
--------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2009**
<Table>
<Caption>
-----------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
-----------------------------------------------
Investment Banking & Brokerage 53.3%
Asset Management & Custody
Banks 28.3
Specialized Finance 18.3
Short Term Investments 13.0
Other Assets & Liabilities (12.9)
-----------------------------------------------
TOTAL 100.0%
-----------------------------------------------
</Table>
<Table>
* Affiliated issuer. (Note 3)
** The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
</Table>
42
(semi-annual report LOGO)
SPDR KBW INSURANCE ETF --
PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value to
the total return based on market price and its benchmark index is provided for
comparative purposes only and represents the periods noted. The Fund's per share
net asset value ("NAV") is the value of one share of the Fund and is calculated
by dividing the value of total assets less total liabilities by the number of
shares outstanding. The NAV return is based on the NAV of the Fund and the
market return is based on the market price per share of the Fund. The market
price used to calculate the market return is determined by using the midpoint
between the highest bid and the lowest offer on the exchange on which the shares
of the Fund are listed for trading, as of the time that the Fund's NAV is
calculated. Since shares of the Fund did not trade in the secondary market until
several days after the Fund's inception, for the period from inception to the
first day of secondary market trading in shares of the Fund (11/8/05, 11/15/05,
respectively), the NAV of the Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
dividends and capital gain distributions have been reinvested in the Fund at
NAV. Market returns do not include brokerage commissions that may be payable on
secondary market transactions. If brokerage commissions were included market
returns would be lower.
An index is a statistical measure of a specified financial market or sector. An
index does not actually hold a portfolio of securities and therefore does not
reflect deductions for fees or expenses. In comparison, the Fund's performance
is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A
GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER
THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE
RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO
FOR SPDR KBW INSURANCE ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE
PROSPECTUS DATED OCTOBER 31, 2009 IS 0.35%.
PERFORMANCE AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------------------------------------
KBW KBW
NET ASSET MARKET INSURANCE NET ASSET MARKET INSURANCE
VALUE VALUE INDEX VALUE VALUE INDEX
----------------------------------------------------------------------------------------------------------------------
SIX-MONTHS 31.92% 31.89% 32.19% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
ONE YEAR 28.47% 28.43% 28.91% 28.47% 28.43% 28.91%
----------------------------------------------------------------------------------------------------------------------
THREE YEARS -35.63% -35.53% -35.06% -13.66% -13.61% -13.40%
----------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -28.41% -28.41% -27.47% -7.74% -7.74% -7.42%
----------------------------------------------------------------------------------------------------------------------
<Table>
(1) For the period November 8, 2005 to December 31, 2009.
</Table>
43
(semi-annual report LOGO)
SPDR KBW INSURANCE ETF --
PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET
VALUE)
(PERFORMANCE GRAPH)
<Table>
<Caption>
SPDR KBW KBW
INSURANCE ETF INSURANCE INDEX
(A) (B)
------------- ---------------
11/8/2005 10000 10000
Nov-05 10254 10257
Dec-05 10093 10098
Jan-06 9913 9920
Feb-06 10031 10041
Mar-06 9848 9859
Apr-06 10303 10320
May-06 9980 9999
Jun-06 9906 9928
Jul-06 9893 9918
Aug-06 10095 10124
Sep-06 10429 10463
Oct-06 10554 10589
Nov-06 10778 10819
Dec-06 11121 11168
Jan-07 11054 11105
Feb-07 11044 11097
Mar-07 11057 11114
Apr-07 11646 11710
May-07 11943 12012
Jun-07 11636 11706
Jul-07 10643 10709
Aug-07 10778 10848
Sep-07 11291 11371
Oct-07 10908 10988
Nov-07 10716 10798
Dec-07 10474 10554
Jan-08 9914 9991
Feb-08 9274 9347
Mar-08 9188 9262
Apr-08 9652 9733
May-08 9529 9611
Jun-08 8184 8248
Jul-08 8320 8387
Aug-08 8596 8667
Sep-08 7809 7873
Oct-08 5320 5357
Nov-08 5009 5050
Dec-08 5573 5625
Jan-09 4375 4414
Feb-09 3517 3546
Mar-09 4093 4130
Apr-09 4979 5029
May-09 5596 5656
Jun-09 5427 5486
Jul-09 6200 6269
Aug-09 7187 7270
Sep-09 7417 7507
Oct-09 6852 6934
Nov-09 7044 7131
Dec-09 7159 7253
</Table>
44
(semi-annual report LOGO)
SPDR KBW INSURANCE ETF --
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
------------------------------------------------------------------------------------------------------------------
THE TRAVELERS PRUDENTIAL
DESCRIPTION AFLAC, INC. CHUBB CORP. METLIFE, INC. COS., INC. FINANCIAL, INC.
------------------------------------------------------------------------------------------------------------------
MARKET VALUE $11,457,836 10,944,271 10,901,622 10,573,362 10,092,771
------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 7.6% 7.2 7.2 7.0 6.7
------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2009*
<Table>
<Caption>
-----------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
-----------------------------------------------
Property & Casualty Insurance 36.1%
Life & Health Insurance 33.8
Multi-Line Insurance 11.5
Insurance Brokers 6.7
Reinsurance 4.8
Asset Management & Custody
Banks 4.0
Thrifts & Mortgage Finance 2.8
Short Term Investments 3.0
Other Assets & Liabilities (2.7)
-----------------------------------------------
TOTAL 100.0%
-----------------------------------------------
</Table>
<Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
</Table>
45
(semi-annual report LOGO)
SPDR KBW MORTGAGE FINANCE ETF --
PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value to
the total return based on market price and its benchmark index is provided for
comparative purposes only and represents the periods noted. The Fund's per share
net asset value ("NAV") is the value of one share of the Fund and is calculated
by dividing the value of total assets less total liabilities by the number of
shares outstanding. The NAV return is based on the NAV of the Fund and the
market return is based on the market price per share of the Fund. The market
price used to calculate the market return is determined by using the midpoint
between the highest bid and the lowest offer on the exchange on which the shares
of the Fund are listed for trading, as of the time that the Fund's NAV is
calculated. Since shares of the Fund did not trade in the secondary market until
several days after the Fund's inception, for the period from inception to the
first day of secondary market trading in shares of the Fund (4/29/09, 4/30/09,
respectively), the NAV of the Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
dividends and capital gain distributions have been reinvested in the Fund at
NAV. Market returns do not include brokerage commissions that may be payable on
secondary market transactions. If brokerage commissions were included market
returns would be lower.
An index is a statistical measure of a specified financial market or sector. An
index does not actually hold a portfolio of securities and therefore does not
reflect deductions for fees or expenses. In comparison, the Fund's performance
is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A
GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER
THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE
RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO
FOR SPDR KBW MORTGAGE FINANCE ETF AS STATED IN THE FEES AND EXPENSES TABLE OF
THE PROSPECTUS DATED OCTOBER 31, 2009 IS 0.35%.
PERFORMANCE AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------------------------------------
KBW MORTGAGE KBW MORTGAGE
NET ASSET MARKET FINANCE NET ASSET MARKET FINANCE
VALUE VALUE INDEX VALUE VALUE INDEX
----------------------------------------------------------------------------------------------------------------------
SIX-MONTHS 14.92% 14.76% 15.13% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 1.43% 1.43% 1.65% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
<Table>
(1) For the period April 29, 2009 to December 31, 2009.
</Table>
46
(semi-annual report LOGO)
SPDR KBW MORTGAGE FINANCE ETF --
PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET
VALUE)
(PERFORMANCE GRAPH)
<Table>
<Caption>
SPDR KBW KBW MORTGAGE
MORTGAGE FINANCE FINANCE INDEX
ETF(A) (B)
---------------- -------------
4/29/2009 10000 10000
Apr-09 9737 9968
May-09 9000 9214
Jun-09 8827 9039
Jul-09 9853 10094
Aug-09 10586 10852
Sep-09 10359 10370
Oct-09 9491 9729
Nov-09 9573 9816
Dec-09 10143 10165
</Table>
47
(semi-annual report LOGO)
SPDR KBW MORTGAGE FINANCE ETF --
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
--------------------------------------------------------------------------------------------------------------------------------
NEW YORK
COMMUNITY LENDER PROCESSING HUDSON CITY
DESCRIPTION BANCORP, INC. SERVICES, INC. BANCORP, INC. D.R. HORTON, INC. PULTE HOMES, INC.
--------------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $403,697 341,381 292,888 274,576 271,610
--------------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 9.9% 8.3 7.2 6.7 6.6
--------------------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2009*
<Table>
<Caption>
-----------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
-----------------------------------------------
Thrifts & Mortgage Finance 37.6%
Household Durables 32.7
IT Services 8.3
Insurance 7.9
Commercial Banks 7.2
Diversified Financial Services 3.7
Real Estate Management &
Development 2.5
Short Term Investments 0.1
Other Assets & Liabilities 0.0**
-----------------------------------------------
TOTAL 100.0%
-----------------------------------------------
</Table>
<Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
** Amount represents less then 0.05% of net assets.
</Table>
48
(semi-annual report LOGO)
SPDR KBW REGIONAL BANKING ETF --
PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value to
the total return based on market price and its benchmark index is provided for
comparative purposes only and represents the periods noted. The Fund's per share
net asset value ("NAV") is the value of one share of the Fund and is calculated
by dividing the value of total assets less total liabilities by the number of
shares outstanding. The NAV return is based on the NAV of the Fund and the
market return is based on the market price per share of the Fund. The market
price used to calculate the market return is determined by using the midpoint
between the highest bid and the lowest offer on the exchange on which the shares
of the Fund are listed for trading, as of the time that the Fund's NAV is
calculated. Since shares of the Fund did not trade in the secondary market until
several days after the Fund's inception, for the period from inception to the
first day of secondary market trading in shares of the Fund (6/19/06, 6/22/06,
respectively), the NAV of the Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
dividends and capital gain distributions have been reinvested in the Fund at
NAV. Market returns do not include brokerage commissions that may be payable on
secondary market transactions. If brokerage commissions were included market
returns would be lower.
An index is a statistical measure of a specified financial market or sector. An
index does not actually hold a portfolio of securities and therefore does not
reflect deductions for fees or expenses. In comparison, the Fund's performance
is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A
GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER
THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE
RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO
FOR SPDR KBW REGIONAL BANKING ETF AS STATED IN THE FEES AND EXPENSES TABLE OF
THE PROSPECTUS DATED OCTOBER 31, 2009 IS 0.35%.
PERFORMANCE AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------------------------------------
KBW REGIONAL KBW REGIONAL
NET ASSET MARKET BANKING NET ASSET MARKET BANKING
VALUE VALUE INDEX VALUE VALUE INDEX
----------------------------------------------------------------------------------------------------------------------
SIX-MONTHS 22.59% 22.69% 22.59% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
ONE YEAR -22.00% -21.91% -22.13% -22.00% -21.91% -22.13%
----------------------------------------------------------------------------------------------------------------------
THREE YEARS -50.32% -50.36% -50.51% -20.80% -20.82% -20.90%
----------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -47.37% -47.39% -47.09% -16.60% -16.61% -16.28%
----------------------------------------------------------------------------------------------------------------------
<Table>
(1) For the period June 19, 2006 to December 31, 2009.
</Table>
49
(semi-annual report LOGO)
SPDR KBW REGIONAL BANKING ETF --
PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET
VALUE)
(PERFORMANCE GRAPH)
<Table>
<Caption>
KBW
SPDR KBW REGIONAL BANKING
REGIONAL BANKING INDEX (B)
ETF (A)
---------------- ----------------
6/19/2006 10000 10000
Jun-06 10066 10066
Jul-06 10127 10132
Aug-06 10189 10199
Sep-06 10256 10269
Oct-06 10246 10263
Nov-06 10441 10464
Dec-06 10593 10692
Jan-07 10456 10554
Feb-07 10317 10422
Mar-07 10183 10292
Apr-07 9916 10025
May-07 10110 10229
Jun-07 9848 9968
Jul-07 8928 9039
Aug-07 9601 9725
Sep-07 9532 9658
Oct-07 9111 9228
Nov-07 8677 8791
Dec-07 8261 8343
Jan-08 8629 8719
Feb-08 7557 7630
Mar-08 7827 7904
Apr-08 7664 7738
May-08 7365 7435
Jun-08 5956 6005
Jul-08 6789 6844
Aug-08 7227 7286
Sep-08 8036 8099
Oct-08 7374 7426
Nov-08 6721 6764
Dec-08 6745 6795
Jan-09 4777 4805
Feb-09 4192 4215
Mar-09 4503 4530
Apr-09 4852 4883
May-09 4666 4695
Jun-09 4288 4316
Jul-09 4879 4906
Aug-09 4971 5000
Sep-09 5024 5050
Oct-09 4806 4832
Nov-09 4947 4972
Dec-09 5263 5291
</Table>
50
(semi-annual report LOGO)
SPDR KBW REGIONAL BANKING ETF --
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
--------------------------------------------------------------------------------------------------------------------------
CVB FINANCIAL FULTON FINANCIAL BANK OF HAWAII OLD NATIONAL
DESCRIPTION CORP. CORP. CORP. MB FINANCIAL, INC. BANCORP
--------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $12,075,273 11,649,946 11,606,361 11,348,899 11,306,166
--------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 2.7% 2.6 2.6 2.6 2.5
--------------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2009*
<Table>
<Caption>
-----------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
-----------------------------------------------
Regional Banks 92.0%
Thrifts & Mortgage Finance 7.8
Short Term Investments 27.5
Other Assets & Liabilities (27.3)
-----------------------------------------------
TOTAL 100.0%
-----------------------------------------------
</Table>
<Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
</Table>
51
(semi-annual report LOGO)
SPDR MORGAN STANLEY TECHNOLOGY ETF --
PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value to
the total return based on market price and its benchmark index is provided for
comparative purposes only and represents the periods noted. The Fund's per share
net asset value ("NAV") is the value of one share of the Fund and is calculated
by dividing the value of total assets less total liabilities by the number of
shares outstanding. The NAV return is based on the NAV of the Fund and the
market return is based on the market price per share of the Fund. The market
price used to calculate the market return is determined by using the midpoint
between the highest bid and the lowest offer on the exchange on which the shares
of the Fund are listed for trading, as of the time that the Fund's NAV is
calculated. Since shares of the Fund did not trade in the secondary market until
several days after the Fund's inception, for the period from inception to the
first day of secondary market trading in shares of the Fund (9/25/00, 9/29/00,
respectively), the NAV of the Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
dividends and capital gain distributions have been reinvested in the Fund at
NAV. Market returns do not include brokerage commissions that may be payable on
secondary market transactions. If brokerage commissions were included market
returns would be lower.
An index is a statistical measure of a specified financial market or sector. An
index does not actually hold a portfolio of securities and therefore does not
reflect deductions for fees or expenses. In comparison, the Fund's performance
is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A
GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER
THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE
RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO
FOR SPDR MORGAN STANLEY TECHNOLOGY ETF AS STATED IN THE FEES AND EXPENSES TABLE
OF THE PROSPECTUS DATED OCTOBER 31, 2009 IS 0.50%.
PERFORMANCE AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------------------------------------
MORGAN MORGAN
STANLEY STANLEY
NET ASSET MARKET TECHNOLOGY NET ASSET MARKET TECHNOLOGY
VALUE VALUE INDEX VALUE VALUE INDEX
----------------------------------------------------------------------------------------------------------------------
SIX-MONTHS 28.01% 27.88% 28.38% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
ONE YEAR 70.21% 70.56% 71.06% 70.21% 70.56% 71.06%
----------------------------------------------------------------------------------------------------------------------
THREE YEARS 2.89% 2.79% 4.20% 0.95% 0.92% 1.38%
----------------------------------------------------------------------------------------------------------------------
FIVE YEARS 15.17% 15.24% 17.84% 2.86% 2.88% 3.34%
----------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -40.39% -40.37% -38.08% -5.43% -5.43% -5.01%
----------------------------------------------------------------------------------------------------------------------
<Table>
(1) For the period September 25, 2000 to December 31, 2009.
</Table>
52
(semi-annual report LOGO)
SPDR MORGAN STANLEY TECHNOLOGY ETF --
PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET
VALUE)
(PERFORMANCE GRAPH)
<Table>
<Caption>
MORGAN
SPDR MORGAN STANLEY TECHNOLOGY
STANLEY TECHNOLOGY INDEX (B)
ETF (A)
------------------ ------------------
9/25/2000 10000 10000
Sep-00 9725 9725
Oct-00 9485 9489
Nov-00 7243 7247
Dec-00 6876 6834
Jan-00 8096 8052
Feb-00 6106 6075
Mar-00 5391 5365
Apr-01 6245 6218
May-01 5851 5828
Jun-01 5948 5933
Jul-01 5599 5582
Aug-01 4921 4908
Sep-01 3839 3830
Oct-01 4534 4525
Nov-01 5272 5264
Dec-01 5203 5199
Jan-02 5162 5160
Feb-02 4339 4340
Mar-02 4663 4666
Apr-02 4091 4096
May-02 3956 3962
Jun-02 3404 3410
Jul-02 3072 3079
Aug-02 3002 3010
Sep-02 2444 2451
Oct-02 2979 2990
Nov-02 3500 3513
Dec-02 2943 2958
Jan-03 2951 2967
Feb-03 2947 2964
Mar-03 2941 2959
Apr-03 3245 3266
May-03 3753 3778
Jun-03 3750 3778
Jul-03 3945 3976
Aug-03 4304 4340
Sep-03 4207 4243
Oct-03 4632 4674
Nov-03 4740 4785
Dec-03 4858 4908
Jan-04 5141 5197
Feb-04 5056 5111
Mar-04 4970 5027
Apr-04 4654 4709
May-04 4838 4897
Jun-04 5029 5093
Jul-04 4469 4527
Aug-04 4303 4360
Sep-04 4546 4608
Oct-04 4675 4741
Nov-04 4965 5037
Dec-04 5177 5254
Jan-05 4828 4902
Feb-05 4822 4898
Mar-05 4642 4717
Apr-05 4452 4526
May-05 4883 4968
Jun-05 4815 4901
Jul-05 5102 5196
Aug-05 5061 5155
Sep-05 5164 5263
Oct-05 5090 5190
Nov-05 5392 5500
Dec-05 5324 5433
Jan-06 5515 5629
Feb-06 5405 5519
Mar-06 5589 5710
Apr-06 5546 5669
May-06 5120 5236
Jun-06 5037 5153
Jul-06 4764 4876
Aug-06 5188 5313
Sep-06 5416 5549
Oct-06 5639 5779
Nov-06 5867 6016
Dec-06 5794 5943
Jan-07 5769 5920
Feb-07 5756 5909
Mar-07 5673 5826
Apr-07 6051 6218
May-07 6288 6463
Jun-07 6356 6536
Jul-07 6382 6566
Aug-07 6495 6682
Sep-07 6820 7019
Oct-07 6973 7180
Nov-07 6295 6485
Dec-07 6358 6552
Jan-08 5581 5753
Feb-08 5411 5580
Mar-08 5431 5602
Apr-08 5880 6069
May-08 6324 6531
Jun-08 5678 5863
Jul-08 5691 5879
Aug-08 5737 5929
Sep-08 4872 5019
Oct-08 3862 3978
Nov-08 3404 3506
Dec-08 3503 3608
Jan-09 3440 3544
Feb-09 3283 3383
Mar-09 3732 3848
Apr-09 4338 4476
May-09 4525 4671
Jun-09 4657 4823
Jul-09 5081 5250
Aug-09 5186 5361
Sep-09 5514 5721
Oct-09 5325 5509
Nov-09 5631 5828
Dec-09 5961 6192
</Table>
53
(semi-annual report LOGO)
SPDR MORGAN STANLEY TECHNOLOGY ETF --
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
------------------------------------------------------------------------------------------------------------------------
DESCRIPTION NVIDIA CORP. SALESFORCE.COM, INC. APPLE, INC. DELL, INC. AMAZON.COM, INC.
------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $7,919,012 7,750,792 7,714,313 7,452,222 7,448,910
------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 3.1% 3.0 3.0 2.9 2.9
------------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2009*
<Table>
<Caption>
-----------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
-----------------------------------------------
Computers & Peripherals 20.1%
Software 19.8
Semiconductors & Semiconductor
Equipment 17.3
Communications Equipment 17.0
Internet Software & Services 8.7
IT Services 8.4
Electronic Equipment,
Instruments & Components 2.9
Internet & Catalog Retail 2.9
Household Durables 2.8
Short Term Investments 4.3
Other Assets & Liabilities (4.2)
-----------------------------------------------
TOTAL 100.0%
-----------------------------------------------
</Table>
<Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
</Table>
54
(semi-annual report LOGO)
SPDR S&P DIVIDEND ETF --
PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value to
the total return based on market price and its benchmark index is provided for
comparative purposes only and represents the periods noted. The Fund's per share
net asset value ("NAV") is the value of one share of the Fund and is calculated
by dividing the value of total assets less total liabilities by the number of
shares outstanding. The NAV return is based on the NAV of the Fund and the
market return is based on the market price per share of the Fund. The market
price used to calculate the market return is determined by using the midpoint
between the highest bid and the lowest offer on the exchange on which the shares
of the Fund are listed for trading, as of the time that the Fund's NAV is
calculated. Since shares of the Fund did not trade in the secondary market until
several days after the Fund's inception, for the period from inception to the
first day of secondary market trading in shares of the Fund (11/8/05, 11/15/05,
respectively), the NAV of the Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
dividends and capital gain distributions have been reinvested in the Fund at
NAV. Market returns do not include brokerage commissions that may be payable on
secondary market transactions. If brokerage commissions were included market
returns would be lower.
An index is a statistical measure of a specified financial market or sector. An
index does not actually hold a portfolio of securities and therefore does not
reflect deductions for fees or expenses. In comparison, the Fund's performance
is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A
GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER
THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE
RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO
FOR SPDR S&P DIVIDEND ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE
PROSPECTUS DATED OCTOBER 31, 2009 IS 0.35%.
PERFORMANCE AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------------------------------------
S & P HIGH S & P HIGH
YIELD YIELD
DIVIDEND DIVIDEND
NET ASSET MARKET ARISTOCRATS NET ASSET MARKET ARISTOCRATS
VALUE VALUE INDEX VALUE VALUE INDEX
----------------------------------------------------------------------------------------------------------------------
SIX-MONTHS 24.06% 24.11% 24.20% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
ONE YEAR 19.12% 19.27% 18.94% 19.12% 19.27% 18.94%
----------------------------------------------------------------------------------------------------------------------
THREE YEARS -14.16% -14.34% -14.19% -4.96% -5.03% -4.97%
----------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 2.78% 2.80% 2.99% 0.66% 0.67% 0.71%
----------------------------------------------------------------------------------------------------------------------
<Table>
(1) For the period November 8, 2005 to December 31, 2009.
</Table>
55
(semi-annual report LOGO)
SPDR S&P DIVIDEND ETF --
PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET
VALUE)
(PERFORMANCE GRAPH)
<Table>
<Caption>
S&P
HIGH YIELD
SPDR S&P DIVIDEND ARISTOCRATS
DIVIDEND ETF INDEX (B)
(A)
------------ --------------------
11/8/2005 10000 10000
11/30/05 10176 10178
12/31/05 10171 10171
01/31/06 10405 10408
02/28/06 10487 10492
03/31/06 10538 10546
04/30/06 10762 10758
05/31/06 10567 10565
06/30/06 10618 10617
07/31/06 10899 10902
08/31/06 11149 11156
09/30/06 11301 11312
10/31/06 11669 11684
11/30/06 11748 11767
12/31/06 11976 12001
01/31/07 12078 12106
02/28/07 12117 12148
03/31/07 12132 12166
04/30/07 12490 12531
05/31/07 12774 12816
06/30/07 12293 12333
07/31/07 11668 11708
08/31/07 11991 12036
09/30/07 11923 11972
10/31/07 11864 11916
11/30/07 11495 11549
12/31/07 11212 11246
01/31/08 11243 11302
02/29/08 10463 10518
03/31/08 10583 10642
04/30/08 10882 10944
05/31/08 10865 10928
06/30/08 9214 9255
07/31/08 9734 9780
08/31/08 10114 10165
09/30/08 10301 10354
10/31/08 9260 9304
11/30/08 8715 8754
12/31/08 8631 8659
01/31/09 7498 7519
02/28/09 6486 6501
03/31/09 7272 7284
04/30/09 8254 8272
05/31/09 8306 8326
06/30/09 8283 8292
07/31/09 9074 9086
08/31/09 9422 9438
09/30/09 9716 9731
10/31/09 9590 9607
11/30/09 10045 10066
12/31/09 10278 10299
</Table>
56
(semi-annual report LOGO)
SPDR S&P DIVIDEND ETF --
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
---------------------------------------------------------------------------------------------------------------------------------
INTEGRYS ENERGY CINCINNATI
DESCRIPTION GROUP, INC. BLACK HILLS CORP. FINANCIAL CORP. PITNEY BOWES, INC. VECTREN CORP.
---------------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $48,901,008 43,875,961 43,870,131 42,313,162 39,972,222
---------------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 3.9% 3.5 3.5 3.4 3.2
---------------------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2009*
<Table>
<Caption>
-----------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
-----------------------------------------------
Multi-Utilities 13.8%
Gas Utilities 9.2
Insurance 7.7
Chemicals 6.7
Pharmaceuticals 6.2
Household Products 5.3
Commercial Services & Supplies 5.0
Beverages 4.4
Machinery 4.3
Containers & Packaging 3.8
Diversified Telecommunication
Services 3.2
Household Durables 3.0
Food & Staples Retailing 2.5
Computers & Peripherals 2.4
Tobacco 2.2
Hotels, Restaurants & Leisure 1.9
Textiles, Apparel & Luxury
Goods 1.9
Electrical Equipment 1.8
IT Services 1.7
Media 1.7
Water Utilities 1.7
Industrial Conglomerates 1.6
Health Care Equipment &
Supplies 1.5
Commercial Banks 1.3
Specialty Retail 1.3
Capital Markets 1.2
Food Products 1.2
Oil, Gas & Consumable Fuels 1.2
Short Term Investments 14.6
Other Asset & Liabilities (14.3)
-----------------------------------------------
TOTAL 100.0%
-----------------------------------------------
</Table>
<Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
</Table>
57
(semi-annual report LOGO)
SPDR S&P BIOTECH ETF --
PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value to
the total return based on market price and its benchmark index is provided for
comparative purposes only and represents the periods noted. The Fund's per share
net asset value ("NAV") is the value of one share of the Fund and is calculated
by dividing the value of total assets less total liabilities by the number of
shares outstanding. The NAV return is based on the NAV of the Fund and the
market return is based on the market price per share of the Fund. The market
price used to calculate the market return is determined by using the midpoint
between the highest bid and the lowest offer on the exchange on which the shares
of the Fund are listed for trading, as of the time that the Fund's NAV is
calculated. Since shares of the Fund did not trade in the secondary market until
several days after the Fund's inception, for the period from inception to the
first day of secondary market trading in shares of the Fund (1/31/06, 2/6/06,
respectively), the NAV of the Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
dividends and capital gain distributions have been reinvested in the Fund at
NAV. Market returns do not include brokerage commissions that may be payable on
secondary market transactions. If brokerage commissions were included market
returns would be lower.
An index is a statistical measure of a specified financial market or sector. An
index does not actually hold a portfolio of securities and therefore does not
reflect deductions for fees or expenses. In comparison, the Fund's performance
is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A
GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER
THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE
RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO
FOR SPDR S&P BIOTECH ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE
PROSPECTUS DATED OCTOBER 31, 2009 IS 0.35%.
PERFORMANCE AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------------------------------------
S & P S & P
BIOTECHNOL- BIOTECHNOL-
OGY SELECT OGY SELECT
NET ASSET MARKET INDUSTRY NET ASSET MARKET INDUSTRY
VALUE VALUE INDEX VALUE VALUE INDEX
----------------------------------------------------------------------------------------------------------------------
SIX-MONTHS 5.76% 5.72% 5.73% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
ONE YEAR 0.47% 0.66% 0.49% 0.47% 0.66% 0.49%
----------------------------------------------------------------------------------------------------------------------
THREE YEARS 18.28% 18.33% 19.31% 5.76% 5.77% 6.06%
----------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 9.90% 9.90% 11.27% 2.44% 2.44% 2.76%
----------------------------------------------------------------------------------------------------------------------
<Table>
(1) For the period January 31, 2006 to December 31, 2009.
</Table>
58
(semi-annual report LOGO)
SPDR S&P BIOTECH ETF --
PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET
VALUE)
(PERFORMANCE GRAPH)
<Table>
<Caption>
S&P
SPDR S&P BIOTECHNOLOGY SELECT
BIOTECH ETF INDUSTRY INDEX
(A) (B)
----------- --------------------
1/31/2006 10000 10000
2/28/2006 10730 10733
3/31/2006 10130 10145
4/30/2006 9647 9663
5/31/2006 9059 9076
6/30/2006 9241 9262
7/31/2006 9040 9063
8/31/2006 9337 9364
9/30/2006 9161 9190
10/31/2006 10189 10225
11/30/2006 10177 10215
12/31/2006 9291 9326
1/31/2007 9631 9670
2/28/2007 9692 9735
3/31/2007 9726 9772
4/30/2007 10604 10663
5/31/2007 10844 10907
6/30/2007 10282 10342
7/31/2007 10188 10251
8/31/2007 11233 11306
9/30/2007 11713 11793
10/31/2007 12228 12316
11/30/2007 12256 12348
12/31/2007 11996 12089
1/31/2008 11356 11447
2/29/2008 10830 10918
3/31/2008 10820 10907
4/30/2008 11290 11384
5/31/2008 12118 12217
6/30/2008 11738 11838
7/31/2008 14103 14229
8/31/2008 13230 13351
9/30/2008 12388 12503
10/31/2008 10924 11025
11/30/2008 10029 10121
12/31/2008 10940 11072
1/31/2009 10779 10909
2/28/2009 9512 9627
3/31/2009 9839 9960
4/30/2009 9300 9413
5/31/2009 9652 9771
6/30/2009 10392 10524
7/31/2009 11306 11454
8/31/2009 11096 11244
9/30/2009 11009 11150
10/31/2009 9564 9687
11/30/2009 10270 10401
12/31/2009 10990 11127
</Table>
59
(semi-annual report LOGO)
SPDR S&P BIOTECH ETF --
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------------------
REGENERON
PHARMACEUTICALS, SEATTLE UNITED ISIS
DESCRIPTION INC. GENETICS, INC. INCYTE CORP. THERAPEUTICS CORP. PHARMACEUTICAL, INC
----------------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $18,625,056 16,977,309 16,588,918 16,462,760 16,242,930
----------------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 4.6% 4.2 4.1 4.1 4.0
----------------------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2009*
<Table>
<Caption>
-----------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
-----------------------------------------------
Biotechnology 99.9%
Short Term Investments 21.4
Other Assets & Liabilities (21.3)
-----------------------------------------------
TOTAL 100.0%
-----------------------------------------------
</Table>
<Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
</Table>
60
(semi-annual report LOGO)
SPDR S&P HOMEBUILDERS ETF --
PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value to
the total return based on market price and its benchmark index is provided for
comparative purposes only and represents the periods noted. The Fund's per share
net asset value ("NAV") is the value of one share of the Fund and is calculated
by dividing the value of total assets less total liabilities by the number of
shares outstanding. The NAV return is based on the NAV of the Fund and the
market return is based on the market price per share of the Fund. The market
price used to calculate the market return is determined by using the midpoint
between the highest bid and the lowest offer on the exchange on which the shares
of the Fund are listed for trading, as of the time that the Fund's NAV is
calculated. Since shares of the Fund did not trade in the secondary market until
several days after the Fund's inception, for the period from inception to the
first day of secondary market trading in shares of the Fund (1/31/06, 2/6/06,
respectively), the NAV of the Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
dividends and capital gain distributions have been reinvested in the Fund at
NAV. Market returns do not include brokerage commissions that may be payable on
secondary market transactions. If brokerage commissions were included market
returns would be lower.
An index is a statistical measure of a specified financial market or sector. An
index does not actually hold a portfolio of securities and therefore does not
reflect deductions for fees or expenses. In comparison, the Fund's performance
is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A
GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER
THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE
RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO
FOR SPDR S&P HOMEBUILDERS ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE
PROSPECTUS DATED OCTOBER 31, 2009 IS 0.35%.
PERFORMANCE AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------------------------------------
S & P S & P
HOMEBUILDERS HOMEBUILDERS
SELECT SELECT
NET ASSET MARKET INDUSTRY NET ASSET MARKET INDUSTRY
VALUE VALUE INDEX VALUE VALUE INDEX
----------------------------------------------------------------------------------------------------------------------
SIX-MONTHS 28.79% 28.81% 28.92% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
ONE YEAR 26.83% 27.22% 26.82% 26.83% 27.22% 26.82%
----------------------------------------------------------------------------------------------------------------------
THREE YEARS -57.64% -57.72% -58.02% -24.90% -24.95% -25.12%
----------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -66.08% -66.08% -66.33% -24.12% -24.11% -24.26%
----------------------------------------------------------------------------------------------------------------------
<Table>
(1) For the period January 31, 2006 to December 31, 2009.
</Table>
61
(semi-annual report LOGO)
SPDR S&P HOMEBUILDERS ETF --
PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET
VALUE)
(PERFORMANCE GRAPH)
<Table>
<Caption>
S&P
SPDR S&P HOMEBUILDERS SELECT
HOMEBUILDERS ETF INDUSTRY INDEX
(A) (B)
---------------- -------------------
1/31/2006 10000 10000
2/28/2006 9531 9533
3/31/2006 9507 9510
4/30/2006 9053 9057
5/31/2006 7837 7842
6/30/2006 7230 7232
7/31/2006 6633 6636
8/31/2006 6707 6712
9/30/2006 7035 7038
10/31/2006 7343 7349
11/30/2006 7916 7926
12/31/2006 8006 8021
1/31/2007 8227 8245
2/28/2007 7655 7672
3/31/2007 7001 7022
4/30/2007 7352 7376
5/31/2007 7665 7694
6/30/2007 6542 6565
7/31/2007 5723 5743
8/31/2007 5381 5401
9/30/2007 4623 4607
10/31/2007 4811 4804
11/30/2007 4065 4060
12/31/2007 4191 4191
1/31/2008 4866 4866
2/29/2008 4381 4379
3/31/2008 4729 4720
4/30/2008 4805 4793
5/31/2008 4328 4314
6/30/2008 3622 3604
7/31/2008 3840 3820
8/31/2008 4320 4296
9/30/2008 4307 4307
10/31/2008 3113 3111
11/30/2008 2613 2609
12/31/2008 2674 2655
1/31/2009 2275 2258
2/28/2009 2062 2046
3/31/2009 2384 2361
4/30/2009 3015 2988
5/31/2009 2700 2676
6/30/2009 2634 2612
7/31/2009 3205 3180
8/31/2009 3466 3440
9/30/2009 3363 3337
10/31/2009 3098 3075
11/30/2009 3211 3188
12/31/2009 3392 3367
</Table>
62
(semi-annual report LOGO)
SPDR S&P HOMEBUILDERS ETF --
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
-----------------------------------------------------------------------------------------------------------------
SIMPSON
AMERON MANUFACTURING CO.,
DESCRIPTION PULTE HOMES, INC. INTERNATIONAL CORP. INC. D.R. HORTON, INC.
-----------------------------------------------------------------------------------------------------------------
MARKET VALUE $28,801,440 28,657,648 28,269,027 28,035,795
-----------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 4.2% 4.2 4.1 4.1
-----------------------------------------------------------------------------------------------------------------
---------------------------------------------
DESCRIPTION RYLAND GROUP, INC.
---------------------------------------------
MARKET VALUE 27,680,194
---------------------------------------------
% OF NET ASSETS 4.0
---------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2009*
<Table>
<Caption>
-----------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
-----------------------------------------------
Building Products 34.5%
Homebuilding 32.1
Home Furnishings 11.3
Home Furnishings Retail 11.0
Home Improvement Retail 11.0
Short Term Investments 28.3
Other Assets & Liabilities (28.2)
-----------------------------------------------
TOTAL 100.0%
-----------------------------------------------
</Table>
<Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
</Table>
63
(semi-annual report LOGO)
SPDR S&P METALS & MINING ETF --
PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value to
the total return based on market price and its benchmark index is provided for
comparative purposes only and represents the periods noted. The Fund's per share
net asset value ("NAV") is the value of one share of the Fund and is calculated
by dividing the value of total assets less total liabilities by the number of
shares outstanding. The NAV return is based on the NAV of the Fund and the
market return is based on the market price per share of the Fund. The market
price used to calculate the market return is determined by using the midpoint
between the highest bid and the lowest offer on the exchange on which the shares
of the Fund are listed for trading, as of the time that the Fund's NAV is
calculated. Since shares of the Fund did not trade in the secondary market until
several days after the Fund's inception, for the period from inception to the
first day of secondary market trading in shares of the Fund (6/19/06, 6/22/06,
respectively), the NAV of the Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
dividends and capital gain distributions have been reinvested in the Fund at
NAV. Market returns do not include brokerage commissions that may be payable on
secondary market transactions. If brokerage commissions were included market
returns would be lower.
An index is a statistical measure of a specified financial market or sector. An
index does not actually hold a portfolio of securities and therefore does not
reflect deductions for fees or expenses. In comparison, the Fund's performance
is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A
GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER
THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE
RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO
FOR SPDR S&P METALS & MINING ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE
PROSPECTUS DATED OCTOBER 31, 2009 IS 0.35%.
PERFORMANCE AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------------------------------------
S & P METALS S & P METALS
& &
MINING MINING
SELECT SELECT
NET ASSET MARKET INDUSTRY NET ASSET MARKET INDUSTRY
VALUE VALUE INDEX VALUE VALUE INDEX
----------------------------------------------------------------------------------------------------------------------
SIX-MONTHS 39.96% 39.99% 40.23% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
ONE YEAR 87.93% 88.23% 88.41% 87.93% 88.23% 88.41%
----------------------------------------------------------------------------------------------------------------------
THREE YEARS 8.43% 8.22% 9.09% 2.74% 2.67% 2.94%
----------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 23.50% 23.49% 24.48% 6.15% 6.15% 6.30%
----------------------------------------------------------------------------------------------------------------------
<Table>
(1) For the period June 19, 2006 to December 31, 2009.
</Table>
64
(semi-annual report LOGO)
SPDR S&P METALS & MINING ETF --
PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET
VALUE)
(PERFORMANCE GRAPH)
<Table>
<Caption>
S&P
SPDR S&P METALS &
METALS & MINING SELECT
MINING ETF INDUSTRY INDEX
(A) (B)
---------- --------------
6/19/2006 10000 10000
6/30/2006 11570 11571
7/31/2006 10563 10568
8/31/2006 10227 10235
9/30/2006 9606 9615
10/31/2006 11003 11018
11/30/2006 12059 12081
12/31/2006 11389 11411
1/31/2007 12245 12274
2/28/2007 12538 12572
3/31/2007 13308 13353
4/30/2007 14455 14509
5/31/2007 15375 15438
6/30/2007 14569 14631
7/31/2007 13826 13887
8/31/2007 13454 13512
9/30/2007 14849 14915
10/31/2007 15987 16063
11/30/2007 15570 15643
12/31/2007 16239 16318
1/31/2008 15362 15440
2/29/2008 17296 17391
3/31/2008 16369 16460
4/30/2008 17841 17946
5/31/2008 20490 20622
6/30/2008 22031 22188
7/31/2008 18529 18662
8/31/2008 16769 16889
9/30/2008 11068 11132
10/31/2008 7355 7389
11/30/2008 6221 6245
12/31/2008 6571 6608
1/31/2009 6215 6249
2/28/2009 5554 5583
3/31/2009 5969 5999
4/30/2009 7567 7610
5/31/2009 8995 9050
6/30/2009 8824 8877
7/31/2009 9474 9534
8/31/2009 9664 9727
9/30/2009 10866 10941
10/31/2009 10122 10194
11/30/2009 11658 11746
12/31/2009 12350 12448
</Table>
65
(semi-annual report LOGO)
SPDR S&P METALS & MINING ETF --
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
--------------------------------------------------------------------------------------------------------------------
ALLEGHENY PATRIOT TITANIUM UNITED STATES CONSOL
DESCRIPTION TECHNOLOGIES, INC. COAL CORP. METALS CORP. STEEL CORP. ENERGY, INC.
--------------------------------------------------------------------------------------------------------------------
MARKET VALUE $41,607,626 40,647,401 40,048,738 39,534,159 38,190,524
--------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 4.7% 4.6 4.5 4.4 4.3
--------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2009*
<Table>
<Caption>
-----------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
-----------------------------------------------
Steel 40.0%
Coal & Consumable Fuels 25.3
Diversified Metals & Mining 16.2
Precious Metals & Minerals 7.1
Gold 7.0
Aluminum 4.2
Short Term Investments 14.8
Other Assets & Liabilities (14.6)
-----------------------------------------------
TOTAL 100.0%
-----------------------------------------------
</Table>
<Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
</Table>
66
(semi-annual report LOGO)
SPDR S&P OIL & GAS EQUIPMENT & SERVICES ETF --
PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value to
the total return based on market price and its benchmark index is provided for
comparative purposes only and represents the periods noted. The Fund's per share
net asset value ("NAV") is the value of one share of the Fund and is calculated
by dividing the value of total assets less total liabilities by the number of
shares outstanding. The NAV return is based on the NAV of the Fund and the
market return is based on the market price per share of the Fund. The market
price used to calculate the market return is determined by using the midpoint
between the highest bid and the lowest offer on the exchange on which the shares
of the Fund are listed for trading, as of the time that the Fund's NAV is
calculated. Since shares of the Fund did not trade in the secondary market until
several days after the Fund's inception, for the period from inception to the
first day of secondary market trading in shares of the Fund (6/19/06, 6/22/06,
respectively), the NAV of the Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
dividends and capital gain distributions have been reinvested in the Fund at
NAV. Market returns do not include brokerage commissions that may be payable on
secondary market transactions. If brokerage commissions were included market
returns would be lower.
An index is a statistical measure of a specified financial market or sector. An
index does not actually hold a portfolio of securities and therefore does not
reflect deductions for fees or expenses. In comparison, the Fund's performance
is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A
GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER
THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE
RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO
FOR SPDR S&P OIL & GAS EQUIPMENT & SERVICES ETF AS STATED IN THE FEES AND
EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2009 IS 0.35%.
PERFORMANCE AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------------------------------------
S & P OIL & S & P OIL &
GAS GAS
EQUIPMENT & EQUIPMENT &
SERVICES SERVICES
SELECT SELECT
NET ASSET MARKET INDUSTRY NET ASSET MARKET INDUSTRY
VALUE VALUE INDEX VALUE VALUE INDEX
----------------------------------------------------------------------------------------------------------------------
SIX-MONTHS 31.09% 31.26% 31.36% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
ONE YEAR 67.61% 67.84% 68.11% 67.61% 67.84% 68.11%
----------------------------------------------------------------------------------------------------------------------
THREE YEARS -1.44% -1.36% -0.72% -0.48% -0.46% -0.24%
----------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 3.57% 3.56% 4.51% 1.00% 0.99% 1.24%
----------------------------------------------------------------------------------------------------------------------
<Table>
(1) For the period June 19, 2006 to December 31, 2009.
</Table>
67
(semi-annual report LOGO)
SPDR S&P OIL & GAS EQUIPMENT & SERVICES ETF --
PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET
VALUE)
(PERFORMANCE GRAPH)
<Table>
<Caption>
S&P
OIL &
SPDR S&P GAS EQUIPMENT
OIL & & SERVICES
GAS EQUIPMENT SELECT INDUSTRY
& SERVICES INDEX (B)
ETF (A)
------------- ---------------
6/19/2006 10000 10000
6/30/2006 11098 11099
7/31/2006 10866 10870
8/31/2006 10200 10207
9/30/2006 9604 9614
10/31/2006 10050 10062
11/30/2006 11015 11032
12/31/2006 10507 10526
1/31/2007 10416 10444
2/28/2007 10530 10561
3/31/2007 11258 11296
4/30/2007 11968 12013
5/31/2007 12885 12938
6/30/2007 13215 13273
7/31/2007 13293 13359
8/31/2007 13400 13458
9/30/2007 14266 14334
10/31/2007 14110 14182
11/30/2007 13569 13635
12/31/2007 14582 14660
1/31/2008 12542 12612
2/29/2008 13958 14034
3/31/2008 14102 14181
4/30/2008 15766 15857
5/31/2008 17305 17411
6/30/2008 18317 18435
7/31/2008 15564 15669
8/31/2008 14992 15098
9/30/2008 11795 11877
10/31/2008 7821 7873
11/30/2008 6712 6754
12/31/2008 6178 6218
1/31/2009 6347 6389
2/28/2009 5896 5934
3/31/2009 6058 6099
4/30/2009 7520 7573
5/31/2009 8745 8812
6/30/2009 7901 7956
7/31/2009 8552 8618
8/31/2009 8823 8895
9/30/2009 10088 10172
10/31/2009 9917 10004
11/30/2009 10014 10104
12/31/2009 10357 10451
</Table>
68
(semi-annual report LOGO)
SPDR S&P OIL & GAS EQUIPMENT & SERVICES ETF --
PERFORMANCE SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------------------
SUPERIOR ENERGY CAMERON OIL STATES NABORS
DESCRIPTION SERVICES, INC INTERNATIONAL CORP. INTERNATIONAL, INC. TIDEWATER, INC INDUSTRIES, LTD.
----------------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $13,373,783 13,279,024 13,224,503 13,084,740 13,014,546
----------------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 4.4% 4.4 4.3 4.3 4.3
----------------------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2009*
<Table>
<Caption>
-----------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
-----------------------------------------------
Oil & Gas Equipment & Services 67.2%
Oil & Gas Drilling 32.7
Short Term Investments 13.6
Other Assets & Liabilities (13.5)
-----------------------------------------------
TOTAL 100.0%
-----------------------------------------------
</Table>
<Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
</Table>
69
(semi-annual report LOGO)
SPDR S&P OIL & GAS EXPLORATION & PRODUCTION ETF --
PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value to
the total return based on market price and its benchmark index is provided for
comparative purposes only and represents the periods noted. The Fund's per share
net asset value ("NAV") is the value of one share of the Fund and is calculated
by dividing the value of total assets less total liabilities by the number of
shares outstanding. The NAV return is based on the NAV of the Fund and the
market return is based on the market price per share of the Fund. The market
price used to calculate the market return is determined by using the midpoint
between the highest bid and the lowest offer on the exchange on which the shares
of the Fund are listed for trading, as of the time that the Fund's NAV is
calculated. Since shares of the Fund did not trade in the secondary market until
several days after the Fund's inception, for the period from inception to the
first day of secondary market trading in shares of the Fund (6/19/06, 6/22/06,
respectively), the NAV of the Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
dividends and capital gain distributions have been reinvested in the Fund at
NAV. Market returns do not include brokerage commissions that may be payable on
secondary market transactions. If brokerage commissions were included market
returns would be lower.
An index is a statistical measure of a specified financial market or sector. An
index does not actually hold a portfolio of securities and therefore does not
reflect deductions for fees or expenses. In comparison, the Fund's performance
is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A
GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER
THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE
RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO
FOR SPDR S&P OIL & GAS EXPLORATION & PRODUCTION ETF AS STATED IN THE FEES AND
EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2009 IS 0.35%.
PERFORMANCE AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------------------------------------
S & P OIL & S & P OIL &
GAS GAS
EXPLORATION EXPLORATION
& &
PRODUCTION PRODUCTION
SELECT SELECT
NET ASSET MARKET INDUSTRY NET ASSET MARKET INDUSTRY
VALUE VALUE INDEX VALUE VALUE INDEX
----------------------------------------------------------------------------------------------------------------------
SIX-MONTHS 30.53% 30.63% 30.82% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
ONE YEAR 39.94% 40.11% 40.35% 39.94% 40.11% 40.35%
----------------------------------------------------------------------------------------------------------------------
THREE YEARS 9.69% 9.85% 10.51% 3.13% 3.18% 3.39%
----------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 23.93% 23.95% 25.02% 6.25% 6.26% 6.43%
----------------------------------------------------------------------------------------------------------------------
<Table>
(1) For the period June 19, 2006 to December 31, 2009.
</Table>
70
(semi-annual report LOGO)
SPDR S&P OIL & GAS EXPLORATION & PRODUCTION ETF --
PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET
VALUE)
(PERFORMANCE GRAPH)
<Table>
<Caption>
S&P
OIL &
SPDR S&P GAS EXPLORATION
OIL & & PRODUCTION
GAS EXPLORATION SELECT INDUSTRY
& PRODUCTION INDEX (B)
ETF (A)
--------------- ---------------
6/19/2006 10000 10000
Jun-06 11574 11575
Jul-06 11895 11900
Aug-06 11431 11436
Sep-06 10535 10538
Oct-06 11111 11119
Nov-06 12183 12198
Dec-06 11300 11313
Jan-07 11608 11622
Feb-07 11469 11486
Mar-07 12065 12089
Apr-07 12838 12869
May-07 13802 13841
Jun-07 13623 13659
Jul-07 13078 13117
Aug-07 12796 12839
Sep-07 13961 14012
Oct-07 15709 15771
Nov-07 14397 14457
Dec-07 15471 15540
Jan-08 14331 14398
Feb-08 16127 16206
Mar-08 15970 16054
Apr-08 17526 17621
May-08 19306 19416
Jun-08 20843 20968
Jul-08 16119 16210
Aug-08 16318 16414
Sep-08 13387 13461
Oct-08 10195 10250
Nov-08 9253 9300
Dec-08 8858 8905
Jan-09 8921 8969
Feb-09 7759 7801
Mar-09 8058 8100
Apr-09 9229 9283
May-09 10812 10875
Jun-09 9495 9551
Jul-09 10464 10531
Aug-09 10565 10637
Sep-09 11615 11705
Oct-09 11541 11627
Nov-09 11529 11617
Dec-09 12393 12502
</Table>
71
(semi-annual report LOGO)
SPDR S&P OIL & GAS EXPLORATION & PRODUCTION ETF --
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
------------------------------------------------------------------------------------------------------------------------
PIONEER NATURAL NEWFIELD SOUTHWESTERN DEVON RANGE
DESCRIPTION RESOURCES CO. EXPLORATION CO. ENERGY CO. ENERGY CORP. RESOURCES CORP.
------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $13,895,263 13,767,784 13,668,990 13,519,516 13,506,309
------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 3.3% 3.3 3.3 3.2 3.2
------------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2009*
<Table>
<Caption>
-----------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
-----------------------------------------------
Oil & Gas Exploration &
Production 71.3%
Oil & Gas Refining & Marketing 17.4
Integrated Oil & Gas 11.2
Short Term 9.6
Other Assets & Liabilities (9.5)
-----------------------------------------------
TOTAL 100.0%
-----------------------------------------------
</Table>
<Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
</Table>
72
(semi-annual report LOGO)
SPDR S&P PHARMACEUTICALS ETF --
PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value to
the total return based on market price and its benchmark index is provided for
comparative purposes only and represents the periods noted. The Fund's per share
net asset value ("NAV") is the value of one share of the Fund and is calculated
by dividing the value of total assets less total liabilities by the number of
shares outstanding. The NAV return is based on the NAV of the Fund and the
market return is based on the market price per share of the Fund. The market
price used to calculate the market return is determined by using the midpoint
between the highest bid and the lowest offer on the exchange on which the shares
of the Fund are listed for trading, as of the time that the Fund's NAV is
calculated. Since shares of the Fund did not trade in the secondary market until
several days after the Fund's inception, for the period from inception to the
first day of secondary market trading in shares of the Fund (6/19/06, 6/22/06,
respectively), the NAV of the Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
dividends and capital gain distributions have been reinvested in the Fund at
NAV. Market returns do not include brokerage commissions that may be payable on
secondary market transactions. If brokerage commissions were included market
returns would be lower.
An index is a statistical measure of a specified financial market or sector. An
index does not actually hold a portfolio of securities and therefore does not
reflect deductions for fees or expenses. In comparison, the Fund's performance
is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A
GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER
THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE
RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO
FOR SPDR S&P PHARMACEUTICALS ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE
PROSPECTUS DATED OCTOBER 31, 2009 IS 0.36%.
PERFORMANCE AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------------------------------------
S & P S & P
PHARMACEUTI- PHARMACEUTI-
CALS CALS
SELECT SELECT
NET ASSET MARKET INDUSTRY NET ASSET MARKET INDUSTRY
VALUE VALUE INDEX VALUE VALUE INDEX
----------------------------------------------------------------------------------------------------------------------
SIX-MONTHS 27.59% 27.48% 27.84% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
ONE YEAR 28.06% 27.98% 28.39% 28.06% 27.98% 28.39%
----------------------------------------------------------------------------------------------------------------------
THREE YEARS 14.69% 14.74% 15.10% 4.68% 4.69% 4.80%
----------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 26.88% 26.87% 27.59% 6.96% 6.96% 7.04%
----------------------------------------------------------------------------------------------------------------------
<Table>
(1) For the period June 19, 2006 to December 31, 2009.
</Table>
73
(semi-annual report LOGO)
SPDR S&P PHARMACEUTICALS ETF --
PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET
VALUE)
(PERFORMANCE GRAPH)
<Table>
<Caption>
S&P
PHARMACEUTICALS SELECT
SPDR S&P INDUSTRY INDEX
PHARMACEUTICALS ETF (B)
(A)
------------------- ----------------------
6/19/2006 10000 10000
Jun-06 10146 10147
Jul-06 10341 10345
Aug-06 10658 10667
Sep-06 10951 10963
Oct-06 11058 11073
Nov-06 10932 10950
Dec-06 11063 11085
Jan-07 11522 11550
Feb-07 11231 11261
Mar-07 11115 11148
Apr-07 11788 11829
May-07 11911 11952
Jun-07 11482 11521
Jul-07 10691 10729
Aug-07 10723 10764
Sep-07 10941 10987
Oct-07 11124 11175
Nov-07 11054 11109
Dec-07 10908 10965
Jan-08 10413 10467
Feb-08 10214 10267
Mar-08 9910 9939
Apr-08 10296 10328
May-08 10537 10572
Jun-08 10135 10168
Jul-08 10496 10532
Aug-08 11043 11084
Sep-08 10320 10357
Oct-08 8989 9014
Nov-08 9137 9161
Dec-08 9907 9935
Jan-09 9659 9684
Feb-09 8394 8413
Mar-09 8913 8936
Apr-09 8679 8704
May-09 9279 9308
Jun-09 9444 9981
Jul-09 10321 10360
Aug-09 10866 10911
Sep-09 11708 11764
Oct-09 11176 11226
Nov-09 12212 12272
Dec-09 12688 12759
</Table>
74
(semi-annual report LOGO)
SPDR S&P PHARMACEUTICALS ETF --
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
--------------------------------------------------------------------------------------------------------------
MEDICIS
PAR PHARMACEUTICALS SALIX PHARMACEUTICAL
DESCRIPTION XENOPORT, INC CO., INC. PHARMACEUTICALS, LTD. CORP. (CLASS A)
--------------------------------------------------------------------------------------------------------------
MARKET VALUE $3,122,813 2,995,109 2,994,330 2,975,797
--------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 4.8% 4.6 4.6 4.6
--------------------------------------------------------------------------------------------------------------
-------------------------------------------
DESCRIPTION VIROPHARMA, INC.
-------------------------------------------
MARKET VALUE 2,960,814
-------------------------------------------
% OF NET ASSETS 4.6
-------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2009*
<Table>
<Caption>
-----------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
-----------------------------------------------
Pharmaceuticals 99.9%
Short Term Investments 26.6
Other Assets & Liabilities (26.5)
-----------------------------------------------
TOTAL 100.0%
-----------------------------------------------
</Table>
<Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
</Table>
75
(semi-annual report LOGO)
SPDR S&P RETAIL ETF --
PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value to
the total return based on market price and its benchmark index is provided for
comparative purposes only and represents the periods noted. The Fund's per share
net asset value ("NAV") is the value of one share of the Fund and is calculated
by dividing the value of total assets less total liabilities by the number of
shares outstanding. The NAV return is based on the NAV of the Fund and the
market return is based on the market price per share of the Fund. The market
price used to calculate the market return is determined by using the midpoint
between the highest bid and the lowest offer on the exchange on which the shares
of the Fund are listed for trading, as of the time that the Fund's NAV is
calculated. Since shares of the Fund did not trade in the secondary market until
several days after the Fund's inception, for the period from inception to the
first day of secondary market trading in shares of the Fund (6/19/06, 6/22/06,
respectively), the NAV of the Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
dividends and capital gain distributions have been reinvested in the Fund at
NAV. Market returns do not include brokerage commissions that may be payable on
secondary market transactions. If brokerage commissions were included market
returns would be lower.
An index is a statistical measure of a specified financial market or sector. An
index does not actually hold a portfolio of securities and therefore does not
reflect deductions for fees or expenses. In comparison, the Fund's performance
is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A
GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER
THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE
RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO
FOR SPDR S&P RETAIL ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE
PROSPECTUS DATED OCTOBER 31, 2009 IS 0.35%.
PERFORMANCE AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------------------------------------
S & P RETAIL S & P RETAIL
SELECT SELECT
NET ASSET MARKET INDUSTRY NET ASSET MARKET INDUSTRY
VALUE VALUE INDEX VALUE VALUE INDEX
----------------------------------------------------------------------------------------------------------------------
SIX-MONTHS 30.11% 30.07% 30.43% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
ONE YEAR 77.66% 77.98% 78.32% 77.66% 77.98% 78.32%
----------------------------------------------------------------------------------------------------------------------
THREE YEARS -8.80% -8.77% -7.80% -3.02% -3.01% -2.67%
----------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 1.26% 1.23% 2.58% 0.36% 0.35% 0.71%
----------------------------------------------------------------------------------------------------------------------
<Table>
(1) For the period June 19, 2006 to December 31, 2009.
</Table>
76
(semi-annual report LOGO)
SPDR S&P RETAIL ETF --
PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET
VALUE)
(PERFORMANCE GRAPH)
<Table>
<Caption>
S&P
SPDR S&P RETAIL SELECT
RETAIL ETF INDUSTRY INDEX
(A) (B)
---------- --------------
6/19/2006 10000 10000
Jun-06 10242 10243
Jul-06 9698 9702
Aug-06 9912 9919
Sep-06 10699 10709
Oct-06 11254 11267
Nov-06 11124 11140
Dec-06 11103 11124
Jan-07 11460 11486
Feb-07 11460 11489
Mar-07 11753 11796
Apr-07 11807 11854
May-07 12259 12311
Jun-07 11891 11948
Jul-07 10835 10886
Aug-07 10848 10902
Sep-07 10691 10750
Oct-07 10550 10610
Nov-07 9730 9789
Dec-07 9311 9366
Jan-08 9388 9444
Feb-08 8761 8807
Mar-08 8760 8837
Apr-08 9067 9148
May-08 9117 9200
Jun-08 8073 8143
Jul-08 8288 8364
Aug-08 8885 8967
Sep-08 8418 8497
Oct-08 6400 6452
Nov-08 5094 5130
Dec-08 5698 5752
Jan-09 5498 5549
Feb-09 5530 5581
Mar-09 6429 6493
Apr-09 7741 7823
May-09 7709 7791
Jun-09 7783 7864
Jul-09 8582 8675
Aug-09 9007 9108
Sep-09 9626 9737
Oct-09 9491 9601
Nov-09 9748 9861
Dec-09 10126 10258
</Table>
77
(semi-annual report LOGO)
SPDR S&P RETAIL ETF --
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
-----------------------------------------------------------------------------------------------------------------------
THE CHILDREN'S
PLACE RETAIL
DESCRIPTION CARMAX, INC. FOOT LOCKER, INC. STORES, INC. HSN, INC. SEARS HOLDINGS CORP.
-----------------------------------------------------------------------------------------------------------------------
MARKET VALUE $7,968,526 7,913,979 7,811,486 7,756,029 7,745,579
-----------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 1.8% 1.8 1.8 1.8 1.8
-----------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2009*
<Table>
<Caption>
-----------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
-----------------------------------------------
Apparel Retail 32.5%
Specialty Stores 14.6
Automotive Retail 11.5
Food Retail 9.6
Department Stores 8.0
Internet Retail 6.3
General Merchandise Stores 4.8
Computer & Electronics Retail 4.6
Drug Retail 3.1
Hypermarkets & Super Centers 3.1
Catalog Retail 1.8
Short Tem Investments 24.3
Other Assets & Liabilities (24.2)
-----------------------------------------------
TOTAL 100.0%
-----------------------------------------------
</Table>
<Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
</Table>
78
(semi-annual report LOGO)
SPDR S&P SEMICONDUCTOR ETF --
PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value to
the total return based on market price and its benchmark index is provided for
comparative purposes only and represents the periods noted. The Fund's per share
net asset value ("NAV") is the value of one share of the Fund and is calculated
by dividing the value of total assets less total liabilities by the number of
shares outstanding. The NAV return is based on the NAV of the Fund and the
market return is based on the market price per share of the Fund. The market
price used to calculate the market return is determined by using the midpoint
between the highest bid and the lowest offer on the exchange on which the shares
of the Fund are listed for trading, as of the time that the Fund's NAV is
calculated. Since shares of the Fund did not trade in the secondary market until
several days after the Fund's inception, for the period from inception to the
first day of secondary market trading in shares of the Fund (1/31/06, 2/6/06,
respectively), the NAV of the Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
dividends and capital gain distributions have been reinvested in the Fund at
NAV. Market returns do not include brokerage commissions that may be payable on
secondary market transactions. If brokerage commissions were included market
returns would be lower.
An index is a statistical measure of a specified financial market or sector. An
index does not actually hold a portfolio of securities and therefore does not
reflect deductions for fees or expenses. In comparison, the Fund's performance
is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A
GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER
THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE
RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO
FOR SPDR S&P SEMICONDUCTOR ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE
PROSPECTUS DATED OCTOBER 31, 2009 IS 0.35%.
PERFORMANCE AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------------------------------------
S & P S & P
SEMICONDUC- SEMICONDUC-
TOR TOR
SELECT SELECT
NET ASSET MARKET INDUSTRY NET ASSET MARKET INDUSTRY
VALUE VALUE INDEX VALUE VALUE INDEX
----------------------------------------------------------------------------------------------------------------------
SIX-MONTHS 40.95% 40.97% 41.26% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
ONE YEAR 99.20% 99.49% 99.92% 99.20% 99.49% 99.92%
----------------------------------------------------------------------------------------------------------------------
THREE YEARS -1.27% -1.30% -2.26% -0.43% -0.44% -0.76%
----------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -8.74% -8.74% -9.39% -2.31% -2.31% -2.49%
----------------------------------------------------------------------------------------------------------------------
<Table>
(1) For the period January 31, 2006 to December 31, 2009.
</Table>
79
(semi-annual report LOGO)
SPDR S&P SEMICONDUCTOR ETF --
PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET
VALUE)
(PERFORMANCE GRAPH)
<Table>
<Caption>
S&P
SEMICONDUCTOR SELECT
SPDR S&P INDUSTRY INDEX
SEMICONDUCTOR ETF (B)
(A)
----------------- --------------------
1/31/2006 10000 10000
Feb-06 9981 9984
Mar-06 10136 10142
Apr-06 10406 10415
May-06 9305 9315
Jun-06 8875 8885
Jul-06 8248 8261
Aug-06 9032 9050
Sep-06 9081 9101
Oct-06 9196 9220
Nov-06 9503 9530
Dec-06 9244 9271
Jan-07 9231 9261
Feb-07 9569 9603
Mar-07 9155 9194
Apr-07 9753 9799
May-07 9830 9880
Jun-07 10018 10071
Jul-07 9892 9946
Aug-07 10084 10142
Sep-07 10400 10463
Oct-07 9857 9919
Nov-07 8765 8821
Dec-07 8778 8834
Jan-08 7561 7609
Feb-08 7263 7308
Mar-08 7398 7443
Apr-08 8248 8300
May-08 8959 9017
Jun-08 7884 7931
Jul-08 7538 7582
Aug-08 7953 8002
Sep-08 6648 6582
Oct-08 5593 5533
Nov-08 4372 4320
Dec-08 4581 4532
Jan-09 4485 4436
Feb-09 4554 4504
Mar-09 5224 5171
Apr-09 5961 5902
May-09 6358 6298
Jun-09 6474 6415
Jul-09 7306 7240
Aug-09 7663 7596
Sep-09 7911 7844
Oct-09 7141 7081
Nov-09 7845 7783
Dec-09 9126 9061
</Table>
80
(semi-annual report LOGO)
SPDR S&P SEMICONDUCTOR ETF --
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
-----------------------------------------------------------------------------------------------------------------------------
MICRON ADVANCED MICRO ATHEROS
DESCRIPTION NVIDIA CORP. TECHNOLOGY, INC. RAMBUS, INC. DEVICES, INC. COMMUNICATIONS, INC.
-----------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $4,445,523 4,424,228 4,107,057 4,055,804 3,991,528
-----------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 4.6% 4.5 4.2 4.2 4.1
-----------------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2009*
<Table>
<Caption>
-----------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
-----------------------------------------------
Semiconductors 99.9%
Short Term Investments 11.0
Other Assets and Liabilities (10.9)
-----------------------------------------------
TOTAL 100.0%
-----------------------------------------------
</Table>
<Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
</Table>
81
(semi-annual report LOGO)
SPDR WELLS FARGO PREFERRED STOCK ETF --
PORTFOLIO SUMMARY
The Fund commenced operations during the reporting period and therefore does
not have performance history to provide in this report.
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
-----------------------------------------------------------------------------------------------------------------------
DEUTSCHE BANK
BARCLAYS BANK HSBC CREDIT SUISSE CONTINGENT
DESCRIPTION PLC SERIES 5, 8.13% HOLDINGS PLC, 8.13% GUERNSEY, 7.90% CAPITAL TRUST III, 7.60%
-----------------------------------------------------------------------------------------------------------------------
MARKET VALUE $595,496 498,092 412,292 385,423
-----------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 2.4% 2.0 1.7 1.5
-----------------------------------------------------------------------------------------------------------------------
----------------------------------------------
METLIFE, INC.
DESCRIPTION SERIES B, 6.50%
----------------------------------------------
MARKET VALUE 378,984
----------------------------------------------
% OF NET ASSETS 1.5
----------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2009*
<Table>
<Caption>
-----------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
-----------------------------------------------
Commercial Banks 35.7%
Diversified Financial Services 29.9
Insurance 9.5
Capital Markets 8.2
Real Estate Investment Trusts 4.5
Media 3.9
Electric Utilities 3.7
Wireless Telecommunication
Services 2.2
Multi-Utilities 1.2
Consumer Finance 0.9
Short Term Investments 0.4
Other Assets & Liabilities (0.1)
-----------------------------------------------
TOTAL 100%
-----------------------------------------------
</Table>
<Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
</Table>
82
SPDR DOW JONES TOTAL MARKET ETF
SUMMARY SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
COMMON STOCKS
AEROSPACE & DEFENSE
United Technologies Corp. .............. 13,282 $ 921,904 0.50%
Other Securities (a).................... 3,372,002 1.82
------------ ------
4,293,906 2.32
------------ ------
AIR FREIGHT & LOGISTICS
United Parcel Service, Inc. (Class B)... 11,697 671,057 0.36
Other Securities (a).................... 779,875 0.43
------------ ------
1,450,932 0.79
------------ ------
AIRLINES
Other Securities (a).................... 390,032 0.21
------------ ------
AUTO COMPONENTS
Other Securities (a).................... 566,621 0.31
------------ ------
AUTOMOBILES
Other Securities (a).................... 606,992 0.33
------------ ------
BEVERAGES
PepsiCo, Inc. .......................... 23,434 1,424,787 0.77
The Coca-Cola Co. ...................... 31,856 1,815,792 0.98
Other Securities........................ 617,889 0.34
------------ ------
3,858,468 2.09
------------ ------
BIOTECHNOLOGY
Amgen, Inc. (b)......................... 16,300 922,091 0.50
Gilead Sciences, Inc. (b)............... 14,312 619,423 0.34
Other Securities (a).................... 1,962,934 1.06
------------ ------
3,504,448 1.90
------------ ------
BUILDING PRODUCTS
Other Securities........................ 152,095 0.08
------------ ------
CAPITAL MARKETS
State Street Corp. (c).................. 6,816 296,769 0.16
The Goldman Sachs Group, Inc. .......... 6,701 1,131,397 0.61
Other Securities (a).................... 3,047,950 1.65
------------ ------
4,476,116 2.42
------------ ------
CHEMICALS
Monsanto Co. ........................... 8,558 699,617 0.38
Other Securities (a).................... 2,867,189 1.55
------------ ------
3,566,806 1.93
------------ ------
COMMERCIAL BANKS
Wells Fargo & Co. ...................... 74,876 2,020,903 1.10
Other Securities (a).................... 2,963,449 1.60
------------ ------
4,984,352 2.70
------------ ------
COMMERCIAL SERVICES & SUPPLIES
Other Securities ....................... 1,253,742 0.68
------------ ------
COMMUNICATIONS EQUIPMENT
Cisco Systems, Inc. (b)................. 89,577 2,144,473 1.16
QUALCOMM, Inc. ......................... 25,342 1,172,321 0.64
Other Securities (a).................... 1,406,068 0.76
------------ ------
4,722,862 2.56
------------ ------
COMPUTERS & PERIPHERALS
Apple, Inc. (b)......................... 13,838 2,917,881 1.58
Hewlett-Packard Co. .................... 37,973 1,955,989 1.06
International Business Machines Corp. .. 19,633 2,569,960 1.39
Other Securities (a).................... 2,119,506 1.15
------------ ------
9,563,336 5.18
------------ ------
CONSTRUCTION & ENGINEERING
Other Securities (a).................... 494,070 0.27
------------ ------
CONSTRUCTION MATERIALS
Other Securities (a).................... 221,298 0.12
------------ ------
CONSUMER FINANCE
American Express Co. ................... 16,048 650,265 0.35
Other Securities (a).................... 533,703 0.29
------------ ------
1,183,968 0.64
------------ ------
CONTAINERS & PACKAGING
Other Securities........................ 470,529 0.25
------------ ------
DISTRIBUTORS
Other Securities (a).................... 110,352 0.06
------------ ------
DIVERSIFIED CONSUMER SERVICES
Other Securities (a).................... 710,916 0.38
------------ ------
DIVERSIFIED FINANCIAL SERVICES
Bank of America Corp. .................. 138,877 2,091,488 1.13
Citigroup, Inc. ........................ 313,118 1,036,421 0.56
JPMorgan Chase & Co. ................... 62,227 2,592,999 1.40
Other Securities (a).................... 1,046,378 0.57
------------ ------
6,767,286 3.66
------------ ------
DIVERSIFIED TELECOMMUNICATION SERVICES
AT&T, Inc. ............................. 90,401 2,533,940 1.37
Verizon Communications, Inc. ........... 42,758 1,416,573 0.77
Other Securities (a).................... 593,890 0.32
------------ ------
4,544,403 2.46
------------ ------
ELECTRIC UTILITIES
Other Securities (a).................... 3,354,250 1.82
------------ ------
ELECTRICAL EQUIPMENT
Other Securities ....................... 1,183,875 0.64
------------ ------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS
Other Securities (a).................... 1,833,463 0.99
------------ ------
ENERGY EQUIPMENT & SERVICES
Schlumberger, Ltd. ..................... 18,978 1,235,278 0.67
Other Securities (a).................... 2,143,576 1.16
------------ ------
3,378,854 1.83
------------ ------
FOOD & STAPLES RETAILING
CVS Caremark Corp. ..................... 23,263 749,301 0.41
Wal-Mart Stores, Inc. .................. 32,608 1,742,898 0.94
Other Securities (a).................... 1,701,238 0.92
------------ ------
4,193,437 2.27
------------ ------
FOOD PRODUCTS
Kraft Foods, Inc. (Class A)............. 21,923 595,867 0.32
Other Securities (a).................... 2,464,855 1.34
------------ ------
3,060,722 1.66
------------ ------
GAS UTILITIES
Other Securities........................ 246,904 0.13
------------ ------
</Table>
See accompanying notes to financial statements.
83
SPDR DOW JONES TOTAL MARKET ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
HEALTH CARE EQUIPMENT & SUPPLIES
Medtronic, Inc. ........................ 17,986 $ 791,024 0.43%
Other Securities (a) ................... 3,221,849 1.74
------------ ------
4,012,873 2.17
------------ ------
HEALTH CARE PROVIDERS & SERVICES
Other Securities (a).................... 4,402,377 2.38
------------ ------
HEALTH CARE TECHNOLOGY
Other Securities (a).................... 147,912 0.08
------------ ------
HOTELS, RESTAURANTS & LEISURE
McDonald's Corp. ....................... 16,958 1,058,858 0.57
Other Securities (a).................... 2,188,787 1.19
------------ ------
3,247,645 1.76
------------ ------
HOUSEHOLD DURABLES
Other Securities (a).................... 1,251,274 0.68
------------ ------
HOUSEHOLD PRODUCTS
Colgate-Palmolive Co. .................. 7,673 630,337 0.34
Procter & Gamble Co. ................... 44,872 2,720,589 1.47
Other Securities (a).................... 733,088 0.40
------------ ------
4,084,014 2.21
------------ ------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS
Other Securities ....................... 563,754 0.30
------------ ------
INDUSTRIAL CONGLOMERATES
3M Co. ................................. 9,882 816,945 0.44
General Electric Co. ................... 163,964 2,480,776 1.35
Other Securities (a).................... 189,029 0.10
------------ ------
3,486,750 1.89
------------ ------
INSURANCE
Berkshire Hathaway, Inc. (Class A) (b).. 17 1,686,400 0.91
Other Securities (a).................... 4,948,471 2.68
------------ ------
6,634,871 3.59
------------ ------
INTERNET & CATALOG RETAIL
Amazon.com, Inc. (b).................... 4,742 637,894 0.35
Other Securities (a).................... 407,969 0.22
------------ ------
1,045,863 0.57
------------ ------
INTERNET SOFTWARE & SERVICES
Google, Inc. (Class A) (b).............. 3,514 2,178,610 1.18
Other Securities (a).................... 1,198,440 0.65
------------ ------
3,377,050 1.83
------------ ------
IT SERVICES
Other Securities (a).................... 2,917,241 1.58
------------ ------
LEISURE EQUIPMENT & PRODUCTS
Other Securities (a).................... 397,357 0.21
------------ ------
LIFE SCIENCES TOOLS & SERVICES
Other Securities (a) ................... 1,151,769 0.62
------------ ------
MACHINERY
Other Securities (a) ................... 3,842,737 2.08
------------ ------
MEDIA
Comcast Corp. (Class A)................. 42,922 723,665 0.39
The Walt Disney Co. (b)................. 26,477 853,883 0.46
Other Securities (a).................... 3,846,711 2.09
------------ ------
5,424,259 2.94
------------ ------
METALS & MINING
Other Securities (a).................... 2,077,956 1.13
------------ ------
MULTI-UTILITIES
Other Securities (a).................... 1,959,202 1.06
------------ ------
MULTILINE RETAIL
Other Securities (a).................... 1,537,726 0.83
------------ ------
OFFICE ELECTRONICS
Other Securities (a).................... 194,137 0.10
------------ ------
OIL, GAS & CONSUMABLE FUELS
Chevron Corp. .......................... 31,154 2,398,546 1.30
ConocoPhillips.......................... 20,576 1,050,816 0.57
Exxon Mobil Corp. ...................... 72,630 4,952,640 2.68
Occidental Petroleum Corp. ............. 12,780 1,039,653 0.56
Other Securities (a).................... 7,003,225 3.80
------------ ------
16,444,880 8.91
------------ ------
PAPER & FOREST PRODUCTS
Other Securities (a).................... 509,085 0.28
------------ ------
PERSONAL PRODUCTS
Other Securities (a).................... 568,673 0.31
------------ ------
PHARMACEUTICALS
Abbott Laboratories..................... 23,857 1,288,039 0.70
Bristol-Myers Squibb Co. ............... 29,161 736,315 0.40
Johnson & Johnson....................... 42,174 2,716,427 1.47
Merck & Co., Inc. ...................... 47,275 1,727,428 0.94
Pfizer, Inc. ........................... 122,933 2,236,151 1.21
Other Securities (a).................... 1,480,211 0.80
------------ ------
10,184,571 5.52
------------ ------
PROFESSIONAL SERVICES
Other Securities (a).................... 536,911 0.29
------------ ------
REAL ESTATE INVESTMENT TRUSTS
Other Securities (a).................... 3,969,013 2.15
------------ ------
REAL ESTATE MANAGEMENT & DEVELOPMENT
Other Securities (a).................... 236,465 0.13
------------ ------
ROAD & RAIL
Other Securities (a).................... 1,951,065 1.06
------------ ------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
Intel Corp. ............................ 85,657 1,747,403 0.95
Other Securities (a).................... 3,484,024 1.88
------------ ------
5,231,427 2.83
------------ ------
SOFTWARE
Microsoft Corp. ........................ 121,134 3,693,376 2.00
Oracle Corp. ........................... 61,053 1,498,241 0.81
Other Securities (a).................... 2,558,997 1.39
------------ ------
7,750,614 4.20
------------ ------
</Table>
See accompanying notes to financial statements.
84
SPDR DOW JONES TOTAL MARKET ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
SPECIALTY RETAIL
The Home Depot, Inc. ................... 27,033 $ 782,065 0.42%
Other Securities (a).................... 3,241,203 1.76
------------ ------
4,023,268 2.18
------------ ------
TEXTILES, APPAREL & LUXURY GOODS
Other Securities (a).................... 898,575 0.49
------------ ------
THRIFTS & MORTGAGE FINANCE
Other Securities (a) ................... 593,619 0.32
------------ ------
TOBACCO
Altria Group, Inc. ..................... 31,820 624,627 0.34
Philip Morris International, Inc. ...... 30,239 1,457,217 0.79
Other Securities (a).................... 351,620 0.19
------------ ------
2,433,464 1.32
------------ ------
TRADING COMPANIES & DISTRIBUTORS
Other Securities (a).................... 269,654 0.15
------------ ------
WATER UTILITIES
Other Securities (a).................... 254,031 0.14
------------ ------
WIRELESS TELECOMMUNICATION SERVICES
Other Securities (a).................... 940,203 0.51
------------ ------
TOTAL COMMON STOCKS -- (Cost
$179,780,580)......................... 183,697,320 99.48
------------ ------
SHORT TERM INVESTMENTS
MONEY MARKET FUNDS
State Street Institutional Liquid
Reserves Fund (d)..................... 733,734 733,734 0.40
State Street Navigator Securities
Lending Prime Portfolio (d)(e)........ 12,569,817 12,569,817 6.81
------------ ------
TOTAL SHORT TERM
INVESTMENTS -- (Cost $13,303,551)..... 13,303,551 7.21
------------ ------
TOTAL INVESTMENTS (F) (Cost
$193,084,131)......................... 197,000,871 106.69
OTHER ASSETS AND LIABILITIES............ (12,351,639) (6.69)
------------ ------
NET ASSETS.............................. $184,649,232 100.00
============ ======
</Table>
Other Securities are those securities, which individually are not one of the 50
largest unaffiliated issuers and which represent less than one percent of the
net assets of the Fund at December 31, 2009.
<Table>
(a) Security, or portion thereof, was on loan at
December 31, 2009.
(b) Non-income producing security.
(c) Affiliated Issuer. (Note 3)
(d) Affiliated Fund managed by SSgA Funds Management,
Inc. (Note 3)
(e) Investments of cash collateral for securities
loaned.
(f) Unless otherwise indicated, the values of the
securities of the Fund are determined based on
Level 1 inputs. (Notes 2)
</Table>
See accompanying notes to financial statements.
85
SPDR DOW JONES LARGE CAP ETF
SUMMARY SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
COMMON STOCKS
AEROSPACE & DEFENSE
United Technologies Corp. (a)........... 3,759 $ 260,912 0.56%
Other Securities (a) ................... 871,825 1.87
------------ ------
1,132,737 2.43
------------ ------
AIR FREIGHT & LOGISTICS
United Parcel Service, Inc. (Class
B) (a)................................ 3,048 174,864 0.37
Other Securities (a).................... 181,833 0.39
------------ ------
356,697 0.76
------------ ------
AIRLINES
Other Securities (a).................... 73,459 0.16
------------ ------
AUTO COMPONENTS
Other Securities (a).................... 109,854 0.24
------------ ------
AUTOMOBILES
Other Securities (a).................... 166,676 0.36
------------ ------
BEVERAGES
PepsiCo, Inc. .......................... 6,873 417,878 0.89
The Coca-Cola Co. ...................... 9,248 527,136 1.13
Other Securities (a).................... 169,999 0.37
------------ ------
1,115,013 2.39
------------ ------
BIOTECHNOLOGY
Amgen, Inc. (b)......................... 4,449 251,680 0.54
Gilead Sciences, Inc. (b)............... 4,005 173,336 0.37
Other Securities (a).................... 352,035 0.76
------------ ------
777,051 1.67
------------ ------
BUILDING PRODUCTS
Other Securities (a).................... 32,449 0.07
------------ ------
CAPITAL MARKETS
The Goldman Sachs Group, Inc. .......... 1,856 313,367 0.67
Other Securities (a).................... 917,172 1.97
------------ ------
1,230,539 2.64
------------ ------
CHEMICALS
Monsanto Co. ........................... 2,380 194,565 0.42
Other Securities (a) ................... 775,272 1.66
------------ ------
969,837 2.08
------------ ------
COMMERCIAL BANKS
U.S. Bancorp (a)........................ 8,432 189,804 0.41
Wells Fargo & Co. ...................... 21,478 579,691 1.24
Other Securities (a).................... 393,258 0.84
------------ ------
1,162,753 2.49
------------ ------
COMMERCIAL SERVICES & SUPPLIES
Other Securities (a).................... 263,602 0.56
------------ ------
COMMUNICATIONS EQUIPMENT
Cisco Systems, Inc. (b)................. 25,247 604,413 1.30
QUALCOMM, Inc. ......................... 7,212 333,627 0.71
Other Securities (a).................... 197,237 0.42
------------ ------
1,135,277 2.43
------------ ------
COMPUTERS & PERIPHERALS
Apple, Inc. (b)......................... 3,904 823,198 1.76
Hewlett-Packard Co. (a)................. 10,375 534,416 1.15
International Business Machines Corp. .. 5,747 752,282 1.61
Other Securities (a).................... 481,778 1.03
------------ ------
2,591,674 5.55
------------ ------
CONSTRUCTION & ENGINEERING
Other Securities (a).................... 127,580 0.27
------------ ------
CONSTRUCTION MATERIALS
Other Securities (a).................... 42,518 0.09
------------ ------
CONSUMER FINANCE
American Express Co. ................... 4,629 187,567 0.40
Other Securities (a).................... 132,059 0.28
------------ ------
319,626 0.68
------------ ------
CONTAINERS & PACKAGING
Other Securities (a).................... 128,696 0.28
------------ ------
DISTRIBUTORS
Other Securities (a).................... 26,724 0.06
------------ ------
DIVERSIFIED CONSUMER SERVICES
Other Securities (a).................... 123,718 0.26
------------ ------
DIVERSIFIED FINANCIAL SERVICES
Bank of America Corp. (a)............... 37,743 568,410 1.22
Citigroup, Inc. (a)..................... 89,887 297,526 0.64
JPMorgan Chase & Co. (a)................ 17,185 716,099 1.53
Other Securities (a).................... 253,468 0.54
------------ ------
1,835,503 3.93
------------ ------
DIVERSIFIED TELECOMMUNICATION SERVICES
AT&T, Inc. ............................. 25,966 727,827 1.56
Verizon Communications, Inc. ........... 12,460 412,800 0.89
Other Securities (a).................... 117,848 0.25
------------ ------
1,258,475 2.70
------------ ------
ELECTRIC UTILITIES
Other Securities (a).................... 911,535 1.95
------------ ------
ELECTRICAL EQUIPMENT
Other Securities (a).................... 258,404 0.55
------------ ------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS
Other Securities (a).................... 345,655 0.74
------------ ------
ENERGY EQUIPMENT & SERVICES
Schlumberger, Ltd. (a).................. 5,240 341,071 0.73
Other Securities (a).................... 516,701 1.11
------------ ------
857,772 1.84
------------ ------
FOOD & STAPLES RETAILING
CVS Caremark Corp. ..................... 6,200 199,702 0.43
Wal-Mart Stores, Inc. .................. 9,507 508,149 1.09
Other Securities (a).................... 462,482 0.99
------------ ------
1,170,333 2.51
------------ ------
FOOD PRODUCTS
Other Securities (a).................... 744,890 1.60
------------ ------
GAS UTILITIES
Other Securities (a).................... 147,161 0.32
------------ ------
</Table>
See accompanying notes to financial statements.
86
SPDR DOW JONES LARGE CAP ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
HEALTH CARE EQUIPMENT & SUPPLIES
Medtronic, Inc. (a)..................... 4,846 $ 213,127 0.46%
Other Securities (a).................... 787,460 1.68
------------ ------
1,000,587 2.14
------------ ------
HEALTH CARE PROVIDERS & SERVICES
Other Securities (a).................... 993,219 2.13
------------ ------
HEALTH CARE TECHNOLOGY
Other Securities........................ 39,717 0.08
------------ ------
HOTELS, RESTAURANTS & LEISURE
McDonald's Corp. (a).................... 4,698 293,343 0.63
Other Securities (a).................... 440,972 0.94
------------ ------
734,315 1.57
------------ ------
HOUSEHOLD DURABLES
Other Securities (a).................... 188,979 0.40
------------ ------
HOUSEHOLD PRODUCTS
Colgate-Palmolive Co. .................. 2,140 175,801 0.38
Procter & Gamble Co. ................... 12,761 773,699 1.66
Other Securities (a).................... 191,984 0.41
------------ ------
1,141,484 2.45
------------ ------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS
Other Securities (a).................... 133,154 0.29
------------ ------
INDUSTRIAL CONGLOMERATES
3M Co. (a).............................. 2,822 233,295 0.50
General Electric Co. ................... 46,157 698,355 1.50
Other Securities (a).................... 44,130 0.09
------------ ------
975,780 2.09
------------ ------
INSURANCE
Berkshire Hathaway, Inc. (Class A) (b).. 5 496,000 1.06
Other Securities (a).................... 1,244,231 2.67
------------ ------
1,740,231 3.73
------------ ------
INTERNET & CATALOG RETAIL
Amazon.com, Inc. (b).................... 1,360 182,947 0.39
Other Securities (a).................... 101,976 0.22
------------ ------
284,923 0.61
------------ ------
INTERNET SOFTWARE & SERVICES
Google, Inc. (Class A) (a)(b)........... 1,010 626,180 1.34
Other Securities (a).................... 286,071 0.61
------------ ------
912,251 1.95
------------ ------
IT SERVICES
Other Securities (a).................... 783,505 1.68
------------ ------
LEISURE EQUIPMENT & PRODUCTS
Other Securities (a).................... 49,142 0.11
------------ ------
LIFE SCIENCES TOOLS & SERVICES
Other Securities (a).................... 240,542 0.52
------------ ------
MACHINERY
Other Securities (a).................... 805,175 1.73
------------ ------
MEDIA
Comcast Corp. (Class A) (a)............. 12,672 213,650 0.46
The Walt Disney Co. (a)................. 7,641 246,422 0.53
Other Securities (a).................... 917,596 1.96
------------ ------
1,377,668 2.95
------------ ------
METALS & MINING
Other Securities (a).................... 522,207 1.12
------------ ------
MULTI-UTILITIES
Other Securities (a).................... 657,054 1.41
------------ ------
MULTILINE RETAIL
Other Securities (a).................... 353,488 0.76
------------ ------
OFFICE ELECTRONICS
Other Securities (a).................... 32,343 0.07
------------ ------
OIL, GAS & CONSUMABLE FUELS
Chevron Corp. .......................... 8,796 677,204 1.45
ConocoPhillips.......................... 5,667 289,414 0.62
Exxon Mobil Corp. (a)................... 20,770 1,416,306 3.04
Occidental Petroleum Corp. (a).......... 3,563 289,850 0.62
Other Securities (a).................... 1,695,153 3.63
------------ ------
4,367,927 9.36
------------ ------
PAPER & FOREST PRODUCTS
Other Securities (a).................... 105,470 0.23
------------ ------
PERSONAL PRODUCTS
Other Securities (a).................... 135,790 0.29
------------ ------
PHARMACEUTICALS
Abbott Laboratories..................... 6,761 365,026 0.78
Bristol-Myers Squibb Co. (a)............ 7,457 188,289 0.40
Johnson & Johnson (a)................... 12,037 775,303 1.66
Merck & Co., Inc. ...................... 13,301 486,019 1.04
Pfizer, Inc. ........................... 35,275 641,652 1.38
Other Securities (a).................... 359,673 0.77
------------ ------
2,815,962 6.03
------------ ------
PROFESSIONAL SERVICES
Other Securities (a).................... 115,974 0.25
------------ ------
REAL ESTATE INVESTMENT TRUSTS
Other Securities (a).................... 674,924 1.45
------------ ------
REAL ESTATE MANAGEMENT & DEVELOPMENT
Other Securities (a).................... 40,860 0.09
------------ ------
ROAD & RAIL
Other Securities (a).................... 474,902 1.02
------------ ------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
Intel Corp. ............................ 24,228 494,251 1.06
Other Securities (a).................... 762,462 1.63
------------ ------
1,256,713 2.69
------------ ------
SOFTWARE
Microsoft Corp. (a)..................... 34,518 1,052,454 2.26
Oracle Corp. ........................... 16,721 410,333 0.88
Other Securities (a).................... 551,412 1.18
------------ ------
2,014,199 4.32
------------ ------
</Table>
See accompanying notes to financial statements.
87
SPDR DOW JONES LARGE CAP ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
SPECIALTY RETAIL
The Home Depot, Inc. ................... 7,476 $ 216,281 0.46%
Other Securities (a).................... 716,877 1.54
------------ ------
933,158 2.00
------------ ------
TEXTILES, APPAREL & LUXURY GOODS
Other Securities (a).................... 176,690 0.38
------------ ------
THRIFTS & MORTGAGE FINANCE
Other Securities (a).................... 89,165 0.19
------------ ------
TOBACCO
Altria Group, Inc. (a).................. 8,970 176,081 0.38
Philip Morris International, Inc. ...... 8,287 399,350 0.85
Other Securities (a).................... 97,795 0.21
------------ ------
673,226 1.44
------------ ------
TRADING COMPANIES & DISTRIBUTORS
Other Securities (a).................... 62,432 0.13
------------ ------
WATER UTILITIES
Other Securities (a).................... 20,390 0.04
------------ ------
WIRELESS TELECOMMUNICATION SERVICES
Other Securities (a).................... 229,528 0.49
------------ ------
TOTAL COMMON STOCKS --
(Cost $39,025,331).................... 46,569,282 99.80
------------ ------
RIGHTS
DIVERSIFIED TELECOMMUNICATION SERVICES
Clearwire Corp. (expiring 6/21/10) (b)
(Cost $0)............................. 307 123 0.00
------------ ------
SHORT TERM INVESTMENTS
MONEY MARKET FUNDS
State Street Institutional Liquid
Reserves Fund (c)..................... 36,888 36,888 0.08
State Street Navigator Securities
Lending Prime Portfolio (c)(d)........ 13,064,779 13,064,779 28.00
------------ ------
TOTAL SHORT TERM
INVESTMENTS -- (Cost $13,101,667)..... 13,101,667 28.08
------------ ------
TOTAL INVESTMENTS (E) (Cost
$52,126,998).......................... 59,671,072 127.88
OTHER ASSETS AND LIABILITIES............ (13,011,077) (27.88)
------------ ------
NET ASSETS.............................. $ 46,659,995 100.00
============ ======
</Table>
Other Securities are those securities, which individually are not one of the 50
largest unaffiliated issuers and which represent less then one percent of the
net assets of the Fund at December 31, 2009.
<Table>
(a) Security, or portion thereof, was on loan at
December 31, 2009.
(b) Non-income producing security.
(c) Affiliated Fund managed by SSgA Funds Management,
Inc. (Note 3)
(d) Investments of cash collateral for securities
loaned.
(e) Unless otherwise indicated, the values of the
securities of the Fund are determined based on
Level 1 inputs. (Note 2)
</Table>
See accompanying notes to financial statements.
88
SPDR DOW JONES LARGE CAP GROWTH ETF
SUMMARY SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
COMMON STOCKS
AEROSPACE & DEFENSE
Other Securities (a) ................... $ 1,600,975 0.84%
------------ ------
AIR FREIGHT & LOGISTICS
FedEx Corp. ............................ 10,771 898,840 0.47
Other Securities (a) ................... 643,241 0.34
------------ ------
1,542,081 0.81
------------ ------
AIRLINES
Other Securities........................ 639,163 0.34
------------ ------
AUTO COMPONENTS
Other Securities (a) ................... 256,531 0.14
------------ ------
BEVERAGES
PepsiCo, Inc. .......................... 57,903 3,520,502 1.86
Other Securities ....................... 107,405 0.05
------------ ------
3,627,907 1.91
------------ ------
BIOTECHNOLOGY
Amgen, Inc. (b)......................... 37,460 2,119,112 1.12
Celgene Corp. (b)....................... 17,043 948,954 0.50
Gilead Sciences, Inc. (b)............... 33,714 1,459,142 0.77
Other Securities (a) ................... 1,893,726 1.00
------------ ------
6,420,934 3.39
------------ ------
BUILDING PRODUCTS
Other Securities ...................... 87,586 0.05
------------ ------
CAPITAL MARKETS
State Street Corp. (c).................. 797,827 0.42
Other Securities (a) ................... 3,241,486 1.71
------------ ------
4,039,313 2.13
------------ ------
CHEMICALS
Monsanto Co. ........................... 19,996 1,634,673 0.86
Praxair, Inc. .......................... 11,454 919,871 0.48
Other Securities (a) ................... 1,809,241 0.96
------------ ------
4,363,785 2.30
------------ ------
COMMERCIAL SERVICES & SUPPLIES
Other Securities (a) ................... 826,194 0.44
------------ ------
COMMUNICATIONS EQUIPMENT
Cisco Systems, Inc. (b)................. 213,156 5,102,955 2.69
QUALCOMM, Inc. ......................... 60,650 2,805,669 1.48
Other Securities (a) ................... 1,723,736 0.91
------------ ------
9,632,360 5.08
------------ ------
COMPUTERS & PERIPHERALS
Apple, Inc. (b)......................... 32,764 6,908,617 3.64
Dell, Inc. (b).......................... 63,914 917,805 0.48
EMC Corp. (b)........................... 74,595 1,303,175 0.69
Hewlett-Packard Co. .................... 87,471 4,505,631 2.38
Other Securities (a) ................... 1,890,534 1.00
------------ ------
15,525,762 8.19
------------ ------
CONSTRUCTION & ENGINEERING
Other Securities ....................... 1,049,199 0.55
------------ ------
CONSTRUCTION MATERIALS
Other Securities (a) ................... 370,177 0.19
------------ ------
CONSUMER FINANCE
Other Securities........................ 298,378 0.16
------------ ------
CONTAINERS & PACKAGING
Other Securities ....................... 447,064 0.24
------------ ------
DIVERSIFIED CONSUMER SERVICES
Other Securities (a) ................... 769,394 0.41
------------ ------
DIVERSIFIED FINANCIAL SERVICES
Other Securities (a) ................... 1,913,779 1.01
------------ ------
DIVERSIFIED TELECOMMUNICATION SERVICES
Other Securities (a) ................... 16,914 0.01
------------ ------
ELECTRIC UTILITIES
Other Securities........................ 237,720 0.13
------------ ------
ELECTRICAL EQUIPMENT
Emerson Electric Co. ................... 28,005 1,193,013 0.63
Other Securities (a) ................... 636,660 0.33
------------ ------
1,829,673 0.96
------------ ------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS
Corning, Inc. .......................... 57,977 1,119,536 0.59
Other Securities (a) ................... 1,565,350 0.83
------------ ------
2,684,886 1.42
------------ ------
ENERGY EQUIPMENT & SERVICES
Halliburton Co. ........................ 33,113 996,370 0.53
Schlumberger, Ltd. ..................... 44,113 2,871,315 1.51
Other Securities (a) ................... 3,298,612 1.74
------------ ------
7,166,297 3.78
------------ ------
FOOD & STAPLES RETAILING
Costco Wholesale Corp. ................. 16,016 947,667 0.50
CVS Caremark Corp. ..................... 51,998 1,674,855 0.88
Wal-Mart Stores, Inc. .................. 80,724 4,314,698 2.28
Walgreen Co. ........................... 36,698 1,347,550 0.71
Other Securities (a) ................... 110,459 0.06
------------ ------
8,395,229 4.43
------------ ------
FOOD PRODUCTS
Other Securities (a) ................... 315,357 0.17
------------ ------
GAS UTILITIES
Other Securities........................ 634,513 0.33
------------ ------
HEALTH CARE EQUIPMENT & SUPPLIES
Baxter International, Inc. ............. 22,364 1,312,320 0.69
Medtronic, Inc. ........................ 40,917 1,799,530 0.95
Other Securities (a) ................... 5,262,709 2.78
------------ ------
8,374,559 4.42
------------ ------
HEALTH CARE PROVIDERS & SERVICES
Medco Health Solutions, Inc. (b)........ 17,450 1,115,229 0.59
UnitedHealth Group, Inc. ............... 43,059 1,312,438 0.69
WellPoint, Inc. (b)..................... 16,875 983,644 0.52
Other Securities (a) ................... 3,731,238 1.97
------------ ------
7,142,549 3.77
------------ ------
HEALTH CARE TECHNOLOGY
Other Securities (a) ................... 329,662 0.17
------------ ------
HOTELS, RESTAURANTS & LEISURE
Other Securities (a) ................... 3,038,988 1.60
------------ ------
</Table>
See accompanying notes to financial statements.
89
SPDR DOW JONES LARGE CAP GROWTH ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
HOUSEHOLD DURABLES
Other Securities (a) ................... $ 408,724 0.22%
------------ ------
HOUSEHOLD PRODUCTS
Colgate-Palmolive Co. .................. 18,460 1,516,489 0.80
Other Securities........................ 300,971 0.16
------------ ------
1,817,460 0.96
------------ ------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS
Other Securities........................ 778,195 0.41
------------ ------
INDUSTRIAL CONGLOMERATES
Other Securities ....................... 204,877 0.11
------------ ------
INSURANCE
Berkshire Hathaway, Inc. (Class A) (b).. 43 4,265,600 2.25
Other Securities ....................... 78,691 0.04
------------ ------
4,344,291 2.29
------------ ------
INTERNET & CATALOG RETAIL
Amazon.com, Inc. (b).................... 11,454 1,540,792 0.81
Other Securities ....................... 641,407 0.34
------------ ------
2,182,199 1.15
------------ ------
INTERNET SOFTWARE & SERVICES
eBay, Inc. (b).......................... 40,649 956,877 0.51
Google, Inc. (Class A) (b).............. 8,502 5,271,070 2.78
Other Securities (a) ................... 1,388,710 0.73
------------ ------
7,616,657 4.02
------------ ------
IT SERVICES
Mastercard, Inc. (Class A).............. 3,591 919,224 0.48
Visa, Inc. (Class A).................... 15,929 1,393,150 0.73
Other Securities (a) ................... 3,962,712 2.10
------------ ------
6,275,086 3.31
------------ ------
LIFE SCIENCES TOOLS & SERVICES
Other Securities (a) ................... 2,054,917 1.08
------------ ------
MACHINERY
Caterpillar, Inc. ...................... 22,976 1,309,402 0.69
Deere & Co. ............................ 15,594 843,480 0.45
Other Securities (a) ................... 3,848,748 2.03
------------ ------
6,001,630 3.17
------------ ------
MEDIA
Comcast Corp. (Class A)................. 106,585 1,797,023 0.95
DIRECTV (Class A) (b)................... 36,413 1,214,374 0.64
Other Securities (a) ................... 2,537,411 1.34
------------ ------
5,548,808 2.93
------------ ------
METALS & MINING
Freeport-McMoRan Copper
& Gold, Inc. (b)...................... 15,249 1,224,342 0.65
Other Securities (a) ................... 3,066,013 1.61
------------ ------
4,290,355 2.26
------------ ------
MULTILINE RETAIL
Target Corp. ........................... 25,316 1,224,535 0.65
Other Securities (a) ................... 1,306,725 0.68
------------ ------
2,531,260 1.33
------------ ------
OIL, GAS & CONSUMABLE FUELS
Anadarko Petroleum Corp. ............... 18,063 1,127,493 0.60
EOG Resources, Inc. .................... 9,354 910,144 0.48
Occidental Petroleum Corp. ............. 29,970 2,438,060 1.29
XTO Energy, Inc. ....................... 21,374 994,532 0.52
Other Securities (a) ................... 5,948,141 3.13
------------ ------
11,418,370 6.02
------------ ------
PERSONAL PRODUCTS
Other Securities ....................... 695,486 0.37
------------ ------
PHARMACEUTICALS
Other Securities (a) ................... 1,290,016 0.68
------------ ------
PROFESSIONAL SERVICES
Other Securities (a) ................... 950,508 0.50
------------ ------
REAL ESTATE INVESTMENT TRUSTS
Simon Property Group, Inc. (a).......... 10,634 848,593 0.45
Other Securities (a) ................... 758,908 0.40
------------ ------
1,607,501 0.85
------------ ------
REAL ESTATE MANAGEMENT & DEVELOPMENT
Other Securities (a).................... 116,485 0.06
------------ ------
ROAD & RAIL
Burlington Northern Santa Fe Corp. ..... 10,234 1,009,277 0.53
Union Pacific Corp. .................... 18,616 1,189,562 0.63
Other Securities (a) ................... 1,012,919 0.53
------------ ------
3,211,758 1.69
------------ ------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
Texas Instruments, Inc. ................ 47,219 1,230,527 0.65
Other Securities (a) ................... 5,007,538 2.64
------------ ------
6,238,065 3.29
------------ ------
SOFTWARE
Microsoft Corp. ........................ 291,920 8,900,641 4.70
Oracle Corp. ........................... 141,461 3,471,453 1.83
Other Securities (a) ................... 4,566,834 2.40
------------ ------
16,938,928 8.93
------------ ------
SPECIALTY RETAIL
Lowe's Cos., Inc. ...................... 54,213 1,268,042 0.67
Other Securities (a) ................... 4,109,782 2.17
------------ ------
5,377,824 2.84
------------ ------
TEXTILES, APPAREL & LUXURY GOODS
Other Securities........................ 1,268,651 0.67
------------ ------
THRIFTS & MORTGAGE FINANCE
Other Securities........................ 285,716 0.15
------------ ------
TRADING COMPANIES & DISTRIBUTORS
Other Securities (a) ................... 516,316 0.27
------------ ------
WIRELESS TELECOMMUNICATION SERVICES
Other Securities (a) ................... 1,402,659 0.74
------------ ------
TOTAL COMMON STOCKS -- (Cost
$198,210,608)......................... 188,949,671 99.67
------------ ------
</Table>
See accompanying notes to financial statements.
90
SPDR DOW JONES LARGE CAP GROWTH ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
RIGHTS
DIVERSIFIED TELECOMMUNICATION SERVICES
Clearwire Corp.
(expiring 6/21/10) (b)
(Cost $0)............................. 2,502 $ 1,001 0.00%
------------ ------
SHORT TERM INVESTMENTS
MONEY MARKET FUNDS
State Street Institutional Liquid
Reserves Fund (d)..................... 389,638 389,638 0.20
State Street Navigator Securities
Lending Prime Portfolio (d)(e)........ 6,723,757 6,723,757 3.55
------------ ------
TOTAL SHORT TERM
INVESTMENTS -- (Cost $7,113,395)...... 7,113,395 3.75
------------ ------
TOTAL INVESTMENTS (F) (Cost
$205,324,003)......................... 196,064,067 103.42
OTHER ASSETS AND
LIABILITIES -- ....................... (6,480,141) (3.42)
------------ ------
NET ASSETS.............................. $189,583,926 100.00
============ ======
</Table>
Other Securities are those securities, which individually are not one of the 50
largest unaffiliated issuers and which represent less than one percent of the
net assets of the Fund at December 31, 2009.
<Table>
(a) Security, or portion thereof, was on loan at
December 31, 2009.
(b) Non-income producing security.
(c) Affiliated issuer. (Note 3)
(d) Affiliated Fund managed by SSgA Funds Management,
Inc. (Note 3)
(e) Investments of cash collateral for securities
loaned.
(f) Unless otherwise indicated, the values of the
securities of the Fund are determined based on
Level 1 inputs. (Note 2)
</Table>
See accompanying notes to financial statements.
91
SPDR DOW JONES LARGE CAP VALUE ETF
SUMMARY SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
COMMON STOCKS
AEROSPACE & DEFENSE
Boeing Co. ............................. 12,636 $ 683,987 0.64%
Honeywell International, Inc. .......... 13,324 522,301 0.49
Lockheed Martin Corp. .................. 5,859 441,476 0.42
United Technologies Corp. .............. 16,550 1,148,735 1.08
Other Securities (a) ................... 1,372,576 1.29
------------ ------
4,169,075 3.92
------------ ------
AIR FREIGHT & LOGISTICS
United Parcel Service, Inc. (Class B)... 13,447 771,454 0.72
------------ ------
AUTO COMPONENTS
Other Securities ....................... 352,513 0.33
------------ ------
AUTOMOBILES
Ford Motor Co. (a)(b)................... 61,620 616,200 0.58
Other Securities (a).................... 115,466 0.11
------------ ------
731,666 0.69
------------ ------
BEVERAGES
The Coca-Cola Co. ...................... 40,747 2,322,579 2.18
Other Securities ....................... 691,986 0.65
------------ ------
3,014,565 2.83
------------ ------
BIOTECHNOLOGY
Other Securities ....................... 78,483 0.07
------------ ------
BUILDING PRODUCTS
Other Securities ....................... 96,559 0.09
------------ ------
CAPITAL MARKETS
Morgan Stanley.......................... 23,673 700,721 0.66
The Bank of New York Mellon Corp. ...... 22,924 641,184 0.60
The Goldman Sachs Group, Inc. .......... 8,225 1,388,709 1.31
Other Securities (a) ................... 524,880 0.49
------------ ------
3,255,494 3.06
------------ ------
CHEMICALS
E. I. du Pont de Nemours & Co. ......... 16,377 551,414 0.52
The Dow Chemical Co. ................... 22,093 610,429 0.57
Other Securities (a).................... 812,666 0.76
------------ ------
1,974,509 1.85
------------ ------
COMMERCIAL BANKS
PNC Financial Services Group, Inc. ..... 8,717 460,170 0.43
U.S. Bancorp............................ 36,878 830,124 0.78
Wells Fargo & Co. ...................... 93,845 2,532,877 2.38
Other Securities (a) ................... 1,280,275 1.20
------------ ------
5,103,446 4.79
------------ ------
COMMERCIAL SERVICES & SUPPLIES
Other Securities (a).................... 734,793 0.69
------------ ------
COMPUTERS & PERIPHERALS
International Business Machines Corp. .. 25,308 3,312,817 3.11
------------ ------
CONSUMER FINANCE
American Express Co. ................... 20,142 816,154 0.77
Other Securities ....................... 426,138 0.40
------------ ------
1,242,292 1.17
------------ ------
CONTAINERS & PACKAGING
Other Securities ....................... 334,756 0.31
------------ ------
DISTRIBUTORS
Other Securities ....................... 116,993 0.11
------------ ------
DIVERSIFIED CONSUMER SERVICES
Other Securities ....................... 149,903 0.14
------------ ------
DIVERSIFIED FINANCIAL SERVICES
Bank of America Corp. .................. 165,743 2,496,090 2.34
Citigroup, Inc. ........................ 394,449 1,305,626 1.23
JPMorgan Chase & Co. ................... 75,466 3,144,668 2.95
Other Securities ....................... 123,084 0.12
------------ ------
7,069,468 6.64
------------ ------
DIVERSIFIED TELECOMMUNICATION SERVICES
AT&T, Inc. ............................. 113,811 3,190,122 3.00
Verizon Communications, Inc. ........... 54,763 1,814,298 1.70
Other Securities (a) ................... 502,604 0.47
------------ ------
5,507,024 5.17
------------ ------
ELECTRIC UTILITIES
Exelon Corp. ........................... 12,751 623,141 0.59
The Southern Co. ....................... 15,185 505,964 0.48
Other Securities ....................... 2,723,132 2.55
------------ ------
3,852,237 3.62
------------ ------
ELECTRICAL EQUIPMENT
Other Securities (a).................... 173,015 0.16
------------ ------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS
Other Securities (a) ................... 104,974 0.10
------------ ------
ENERGY EQUIPMENT & SERVICES
Other Securities ....................... 46,751 0.04
------------ ------
FOOD & STAPLES RETAILING
Other Securities ....................... 766,348 0.72
------------ ------
FOOD PRODUCTS
Kraft Foods, Inc. (Class A)............. 25,782 700,755 0.66
Other Securities (a).................... 2,410,515 2.26
------------ ------
3,111,270 2.92
------------ ------
GAS UTILITIES
Other Securities (a).................... 324,008 0.30
------------ ------
HEALTH CARE EQUIPMENT & SUPPLIES
Other Securities ....................... 41,926 0.04
------------ ------
HEALTH CARE PROVIDERS & SERVICES
Other Securities ....................... 663,296 0.62
------------ ------
HOTELS, RESTAURANTS & LEISURE
McDonald's Corp. ....................... 20,628 1,288,012 1.21
Other Securities (a) ................... 373,262 0.35
------------ ------
1,661,274 1.56
------------ ------
HOUSEHOLD DURABLES
Other Securities (a).................... 618,605 0.58
------------ ------
</Table>
See accompanying notes to financial statements.
92
SPDR DOW JONES LARGE CAP VALUE ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
HOUSEHOLD PRODUCTS
Kimberly-Clark Corp. ................... 7,998 $ 509,553 0.48%
Procter & Gamble Co. ................... 56,161 3,405,041 3.20
Other Securities ....................... 166,347 0.15
------------ ------
4,080,941 3.83
------------ ------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS
Other Securities ....................... 172,498 0.16
------------ ------
INDUSTRIAL CONGLOMERATES
3M Co. ................................. 12,253 1,012,955 0.95
General Electric Co. ................... 202,282 3,060,527 2.87
Other Securities (a) ................... 92,094 0.09
------------ ------
4,165,576 3.91
------------ ------
INSURANCE
The Travelers Cos., Inc. ............... 10,490 523,031 0.49
Other Securities (a).................... 4,926,440 4.63
------------ ------
5,449,471 5.12
------------ ------
INTERNET & CATALOG RETAIL
Other Securities ....................... 119,132 0.11
------------ ------
INTERNET SOFTWARE & SERVICES
Other Securities ....................... 48,609 0.05
------------ ------
IT SERVICES
Other Securities ....................... 169,771 0.16
------------ ------
LEISURE EQUIPMENT & PRODUCTS
Other Securities ....................... 217,908 0.21
------------ ------
MACHINERY
Other Securities ....................... 405,982 0.38
------------ ------
MEDIA
News Corp. (Class A).................... 44,408 607,946 0.57
The Walt Disney Co. .................... 33,993 1,096,274 1.03
Time Warner, Inc. ...................... 22,478 655,009 0.62
Other Securities (a).................... 772,747 0.72
------------ ------
3,131,976 2.94
------------ ------
METALS & MINING
Other Securities (a).................... 74,005 0.07
------------ ------
MULTI-UTILITIES
Dominion Resources, Inc. ............... 11,532 448,825 0.42
Other Securities (a) ................... 2,444,554 2.30
------------ ------
2,893,379 2.72
------------ ------
MULTILINE RETAIL
Other Securities ....................... 240,965 0.23
------------ ------
OFFICE ELECTRONICS
Other Securities (a).................... 137,433 0.13
------------ ------
OIL, GAS & CONSUMABLE FUELS
Apache Corp. ........................... 6,381 658,328 0.62
Chevron Corp. .......................... 38,378 2,954,722 2.77
ConocoPhillips.......................... 25,004 1,276,954 1.20
Devon Energy Corp. ..................... 7,942 583,737 0.55
Exxon Mobil Corp. ...................... 90,932 6,200,653 5.82
Other Securities (a).................... 1,541,029 1.45
------------ ------
13,215,423 12.41
------------ ------
PAPER & FOREST PRODUCTS
Other Securities ....................... 463,997 0.44
------------ ------
PERSONAL PRODUCTS
Other Securities ....................... 218,075 0.21
------------ ------
PHARMACEUTICALS
Abbott Laboratories..................... 29,526 1,594,109 1.50
Bristol-Myers Squibb Co. ............... 32,504 820,726 0.77
Eli Lilly & Co. ........................ 18,921 675,669 0.63
Johnson & Johnson....................... 53,017 3,414,825 3.21
Merck & Co., Inc. ...................... 58,412 2,134,374 2.00
Pfizer, Inc. ........................... 154,238 2,805,589 2.63
Other Securities ....................... 249,483 0.24
------------ ------
11,694,775 10.98
------------ ------
REAL ESTATE INVESTMENT TRUSTS
Other Securities (a) ................... 2,123,976 2.00
------------ ------
REAL ESTATE MANAGEMENT & DEVELOPMENT
Other Securities (a) ................... 111,390 0.11
------------ ------
ROAD & RAIL
Other Securities ....................... 405,421 0.38
------------ ------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
Intel Corp. ............................ 106,525 2,173,110 2.04
Other Securities (a) ................... 98,949 0.09
------------ ------
2,272,059 2.13
------------ ------
SOFTWARE
Other Securities ....................... 62,451 0.06
------------ ------
SPECIALTY RETAIL
The Home Depot, Inc. ................... 32,613 943,494 0.88
Other Securities (a) ................... 326,842 0.31
------------ ------
1,270,336 1.19
------------ ------
TEXTILES, APPAREL & LUXURY GOODS
Other Securities ....................... 121,945 0.11
------------ ------
THRIFTS & MORTGAGE FINANCE
Other Securities (a).................... 241,417 0.23
------------ ------
TOBACCO
Altria Group, Inc. ..................... 39,485 775,090 0.73
Philip Morris International, Inc. ...... 36,477 1,757,827 1.65
Other Securities ....................... 426,142 0.40
------------ ------
2,959,059 2.78
------------ ------
WATER UTILITIES
Other Securities (a) ................... 88,814 0.08
------------ ------
WIRELESS TELECOMMUNICATION SERVICES
Other Securities ....................... 266,827 0.25
------------ ------
TOTAL COMMON STOCKS -- (Cost
$117,128,466)......................... 106,203,125 99.73
------------ ------
</Table>
See accompanying notes to financial statements.
93
SPDR DOW JONES LARGE CAP VALUE ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
SHORT TERM INVESTMENTS
MONEY MARKET FUNDS
State Street Institutional Liquid
Reserves Fund (c)..................... 140,646 $ 140,646 0.13%
State Street Navigator Securities
Lending Prime Portfolio (c)(d)........ 1,841,327 1,841,327 1.73
------------ ------
TOTAL SHORT TERM
INVESTMENTS -- (Cost $1,981,973)...... 1,981,973 1.86
------------ ------
TOTAL INVESTMENTS (E) (Cost
$119,110,439)......................... 108,185,098 101.59
OTHER ASSETS AND LIABILITIES............ (1,694,957) (1.59)
------------ ------
NET ASSETS.............................. $106,490,141 100.00
============ ======
</Table>
Other Securities are those securities, which individually are not one of the 50
largest unaffiliated issuers and which represent less than one percent of the
net assets of the Fund at December 31, 2009.
<Table>
(a) Security, or portion thereof, was on loan as of
December 31, 2009.
(b) Non-income producing security.
(c) Affiliated Fund managed by SSgA Funds Management,
Inc. (Note 3)
(d) Investments of cash collateral for securities
loaned.
(e) Unless otherwise indicated, the values of the
securities of the Fund are determined based on
Level 1 inputs. (Note 2)
</Table>
See accompanying notes to financial statements.
94
SPDR DOW JONES MID CAP ETF
SUMMARY SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
COMMON STOCKS
AEROSPACE & DEFENSE
Other Securities (a).................... $ 303,748 0.67%
------------ ------
AIR FREIGHT & LOGISTICS
Other Securities........................ 52,769 0.12
------------ ------
AIRLINES
Other Securities (a).................... 238,638 0.52
------------ ------
AUTO COMPONENTS
Other Securities (a).................... 448,608 0.99
------------ ------
BEVERAGES
Other Securities (a).................... 287,649 0.63
------------ ------
BIOTECHNOLOGY
Alexion Pharmaceuticals, Inc. (a)(b).... 3,306 161,399 0.36
Human Genome Sciences, Inc. (a)(b)...... 6,755 206,703 0.45
Other Securities (a) ................... 625,185 1.37
------------ ------
993,287 2.18
------------ ------
BUILDING PRODUCTS
Other Securities (a).................... 171,909 0.38
------------ ------
CAPITAL MARKETS
Legg Mason, Inc. (a).................... 6,019 181,533 0.40
Other Securities (a).................... 862,743 1.89
------------ ------
1,044,276 2.29
------------ ------
CHEMICALS
Celanese Corp. (Series A)............... 5,390 173,019 0.38
Eastman Chemical Co. (a)................ 2,549 153,552 0.34
Lubrizol Corp. ......................... 2,517 183,615 0.40
Other Securities (a).................... 844,962 1.86
------------ ------
1,355,148 2.98
------------ ------
COMMERCIAL BANKS
Comerica, Inc. (a)...................... 5,651 167,100 0.37
Other Securities (a).................... 1,297,137 2.85
------------ ------
1,464,237 3.22
------------ ------
COMMERCIAL SERVICES & SUPPLIES
Avery Dennison Corp. (a)................ 4,219 153,951 0.34
R.R. Donnelley & Sons Co. .............. 7,672 170,855 0.38
Other Securities (a).................... 555,863 1.22
------------ ------
880,669 1.94
------------ ------
COMMUNICATIONS EQUIPMENT
F5 Networks, Inc. (a)(b)................ 2,953 156,450 0.34
Other Securities (a).................... 304,426 0.67
------------ ------
460,876 1.01
------------ ------
COMPUTERS & PERIPHERALS
SanDisk Corp. (a)(b).................... 8,519 246,966 0.54
Teradata Corp. ......................... 6,444 202,535 0.45
Other Securities (a).................... 292,754 0.64
------------ ------
742,255 1.63
------------ ------
CONSTRUCTION & ENGINEERING
Other Securities (a).................... 550,600 1.21
------------ ------
CONTAINERS & PACKAGING
Other Securities (a).................... 842,471 1.85
------------ ------
DISTRIBUTORS
Other Securities........................ 102,358 0.22
------------ ------
DIVERSIFIED CONSUMER SERVICES
Other Securities (a).................... 391,746 0.86
------------ ------
DIVERSIFIED FINANCIAL SERVICES
Other Securities........................ 123,130 0.27
------------ ------
DIVERSIFIED TELECOMMUNICATION SERVICES
Other Securities (a).................... 297,196 0.65
------------ ------
ELECTRIC UTILITIES
Other Securities (a).................... 1,042,422 2.29
------------ ------
ELECTRICAL EQUIPMENT
AMETEK, Inc. (a)........................ 3,986 152,425 0.33
Other Securities (a).................... 443,936 0.98
------------ ------
596,361 1.31
------------ ------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS
Avnet, Inc. (a)(b)...................... 5,660 170,706 0.38
FLIR Systems, Inc. (a)(b)............... 5,646 184,737 0.41
Other Securities (a).................... 963,508 2.11
------------ ------
1,318,951 2.90
------------ ------
ENERGY EQUIPMENT & SERVICES
Other Securities (a).................... 819,919 1.80
------------ ------
FOOD & STAPLES RETAILING
Other Securities (a).................... 280,950 0.62
------------ ------
FOOD PRODUCTS
Other Securities (a).................... 789,527 1.74
------------ ------
GAS UTILITIES
Other Securities (a).................... 816,820 1.80
------------ ------
HEALTH CARE EQUIPMENT & SUPPLIES
Other Securities (a).................... 1,013,561 2.23
------------ ------
HEALTH CARE PROVIDERS & SERVICES
Other Securities (a).................... 1,234,400 2.71
------------ ------
HEALTH CARE TECHNOLOGY
Other Securities (a).................... 188,215 0.41
------------ ------
HOTELS, RESTAURANTS & LEISURE
Other Securities (a).................... 966,662 2.12
------------ ------
HOUSEHOLD DURABLES
Newell Rubbermaid, Inc. (a)............. 10,412 156,284 0.34
NVR, Inc. (a)(b)........................ 222 157,778 0.35
Whirlpool Corp. (a)..................... 2,751 221,896 0.49
Other Securities (a) ................... 802,101 1.76
------------ ------
1,338,059 2.94
------------ ------
HOUSEHOLD PRODUCTS
Energizer Holdings, Inc. (a)(b)......... 2,609 159,880 0.35
------------ ------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS
Other Securities (a).................... 215,618 0.47
------------ ------
INDUSTRIAL CONGLOMERATES
Textron, Inc. (a)....................... 10,154 190,997 0.42
Other Securities (a).................... 97,136 0.21
------------ ------
288,133 0.63
------------ ------
</Table>
See accompanying notes to financial statements.
95
SPDR DOW JONES MID CAP ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
INSURANCE
Genworth Financial, Inc. (Class
A) (a)(b)............................. 17,987 $ 204,152 0.45%
Other Securities (a).................... 2,690,466 5.91
------------ ------
2,894,618 6.36
------------ ------
INTERNET & CATALOG RETAIL
Other Securities (a).................... 97,377 0.21
------------ ------
INTERNET SOFTWARE & SERVICES
Akamai Technologies,
Inc. (a)(b)........................... 6,492 164,442 0.36
Equinix, Inc. (a)(b).................... 1,427 151,476 0.33
Other Securities (a).................... 140,456 0.31
------------ ------
456,374 1.00
------------ ------
IT SERVICES
Global Payments, Inc. .................. 3,032 163,304 0.36
Other Securities (a).................... 944,863 2.08
------------ ------
1,108,167 2.44
------------ ------
LIFE SCIENCES TOOLS & SERVICES
Other Securities (a).................... 563,860 1.24
------------ ------
MACHINERY
Joy Global, Inc. (a).................... 3,837 197,951 0.44
Pall Corp. ............................. 4,422 160,076 0.35
The Stanley Works (a)................... 3,010 155,045 0.34
Other Securities (a).................... 1,437,038 3.16
------------ ------
1,950,110 4.29
------------ ------
MARINE
Other Securities (a).................... 70,008 0.15
------------ ------
MEDIA
Virgin Media, Inc. (a).................. 10,940 184,120 0.41
Other Securities (a).................... 446,290 0.98
------------ ------
630,410 1.39
------------ ------
METALS & MINING
Allegheny Technologies, Inc. (a)........ 3,448 154,367 0.34
Cliffs Natural Resources, Inc. (a)...... 4,902 225,933 0.50
Walter Energy, Inc. (a)................. 1,988 149,716 0.33
Other Securities (a).................... 506,171 1.11
------------ ------
1,036,187 2.28
------------ ------
MULTI-UTILITIES
NiSource, Inc. ......................... 10,222 157,214 0.35
Other Securities (a).................... 852,126 1.87
------------ ------
1,009,340 2.22
------------ ------
MULTILINE RETAIL
Other Securities (a).................... 89,548 0.20
------------ ------
OFFICE ELECTRONICS
Other Securities (a).................... 62,392 0.14
------------ ------
OIL, GAS & CONSUMABLE FUELS
Alpha Natural Resources, Inc. (b)....... 5,860 254,207 0.56
Cabot Oil & Gas Corp. .................. 3,832 167,037 0.37
Cimarex Energy Co. (a).................. 3,107 164,578 0.36
Pioneer Natural Resources Co. (a)....... 4,266 205,493 0.45
Other Securities (a).................... 1,690,334 3.71
------------ ------
2,481,649 5.45
------------ ------
PAPER & FOREST PRODUCTS
MeadWestvaco Corp. (a).................. 5,616 160,786 0.35
------------ ------
PERSONAL PRODUCTS
Other Securities (a).................... 255,534 0.56
------------ ------
PHARMACEUTICALS
Other Securities (a).................... 446,879 0.98
------------ ------
PROFESSIONAL SERVICES
Manpower, Inc. (a)...................... 2,909 158,773 0.35
Robert Half International, Inc. (a)..... 5,649 150,998 0.33
Other Securities (a).................... 406,891 0.89
------------ ------
716,662 1.57
------------ ------
REAL ESTATE INVESTMENT TRUSTS
Federal Realty Investment Trust (a)..... 2,290 155,079 0.34
Kimco Realty Corp. (a).................. 15,034 203,410 0.45
ProLogis (a)............................ 17,708 242,423 0.53
Other Securities (a).................... 2,287,001 5.03
------------ ------
2,887,913 6.35
------------ ------
REAL ESTATE MANAGEMENT & DEVELOPMENT
Other Securities (a).................... 343,062 0.75
------------ ------
ROAD & RAIL
Other Securities (a).................... 584,952 1.29
------------ ------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
Advanced Micro Devices, Inc. (b)........ 22,945 222,108 0.49
Cree, Inc. (a)(b)....................... 3,532 199,099 0.44
Lam Research Corp. (a)(b)............... 4,750 186,247 0.41
Other Securities (a).................... 1,012,710 2.22
------------ ------
1,620,164 3.56
------------ ------
SOFTWARE
Other Securities (a).................... 1,501,672 3.30
------------ ------
SPECIALTY RETAIL
CarMax, Inc. (a)(b)..................... 7,429 180,153 0.40
Limited Brands, Inc. (a)................ 10,289 197,960 0.43
Tiffany & Co. (a)....................... 4,641 199,563 0.44
Urban Outfitters, Inc. (a)(b)........... 4,928 172,431 0.38
Other Securities (a).................... 1,011,156 2.22
------------ ------
1,761,263 3.87
------------ ------
THRIFTS & MORTGAGE FINANCE
Other Securities (a).................... 246,153 0.54
------------ ------
TRADING COMPANIES & DISTRIBUTORS
Other Securities (a).................... 119,728 0.26
------------ ------
WATER UTILITIES
Other Securities (a).................... 88,758 0.20
------------ ------
</Table>
See accompanying notes to financial statements.
96
SPDR DOW JONES MID CAP ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
WIRELESS TELECOMMUNICATION SERVICES
SBA Communications Corp. (Class
A) (a)(b)............................. 4,384 $ 149,757 0.33%
Other Securities (a).................... 259,628 0.57
------------ ------
409,385 0.90
------------ ------
TOTAL COMMON STOCKS -- (Cost
$39,798,205).......................... 45,413,999 99.79
------------ ------
RIGHTS
DIVERSIFIED TELECOMMUNICATION SERVICES
Clearwire Corp.
(expiring 6/21/10) (b)
(Cost $0)............................. 2,709 1,084 0.00
------------ ------
SHORT TERM INVESTMENTS
MONEY MARKET FUNDS
State Street Institutional Liquid
Reserves Fund (c)..................... 55,781 55,781 0.13
State Street Navigator Securities
Lending Prime Portfolio (c)(d)........ 13,216,330 13,216,330 29.04
------------ ------
TOTAL SHORT TERM
INVESTMENTS -- (Cost $13,272,111)..... 13,272,111 29.17
------------ ------
TOTAL INVESTMENTS (E) (Cost
$53,070,316).......................... 58,687,194 128.96
OTHER ASSETS AND LIABILITIES............ (13,178,793) (28.96)
------------ ------
NET ASSETS.............................. $ 45,508,401 100.00
============ ======
</Table>
Other Securities are those securities, which individually are not one of the 50
largest unaffiliated issuers and which represent less then one percent of the
net assets of the Fund at December 31, 2009.
<Table>
(a) Security, or portion thereof, was on loan at
December 31, 2009.
(b) Non-income producing security.
(c) Affiliated Fund managed by SSgA Funds Management,
Inc. (Note 3)
(d) Investments of cash collateral for securities
loaned.
(e) Unless otherwise indicated, the values of the
securities of the Fund are determined based on
Level 1 inputs. (Note 2)
</Table>
See accompanying notes to financial statements.
97
SPDR DOW JONES MID CAP GROWTH ETF
SUMMARY SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
COMMON STOCKS
AEROSPACE & DEFENSE
Other Securities (a) ................... $ 434,455 0.57%
------------ ------
AIR FREIGHT & LOGISTICS
Other Securities........................ 161,658 0.21
------------ ------
AIRLINES
Other Securities (a) ................... 733,565 0.95
------------ ------
AUTO COMPONENTS
BorgWarner, Inc. (a).................... 13,289 441,461 0.57
Other Securities (a) ................... 650,929 0.85
------------ ------
1,092,390 1.42
------------ ------
BEVERAGES
Other Securities (a).................... 308,774 0.40
------------ ------
BIOTECHNOLOGY
Alexion Pharmaceuticals, Inc. (b)....... 10,081 492,154 0.64
Human Genome Sciences, Inc. (a)(b)...... 20,750 634,950 0.82
Other Securities (a).................... 1,381,805 1.80
------------ ------
2,508,909 3.26
------------ ------
BUILDING PRODUCTS
Other Securities (a).................... 290,527 0.38
------------ ------
CAPITAL MARKETS
Other Securities (a).................... 2,005,994 2.61
------------ ------
CHEMICALS
Celanese Corp. (Series A)............... 16,436 527,596 0.69
Lubrizol Corp. ......................... 7,705 562,080 0.73
Other Securities (a).................... 1,294,997 1.68
------------ ------
2,384,673 3.10
------------ ------
COMMERCIAL BANKS
Other Securities........................ 109,231 0.14
------------ ------
COMMERCIAL SERVICES & SUPPLIES
Other Securities (a).................... 1,694,272 2.20
------------ ------
COMMUNICATIONS EQUIPMENT
F5 Networks, Inc. (a)(b)................ 9,041 478,992 0.62
Other Securities (a).................... 924,260 1.20
------------ ------
1,403,252 1.82
------------ ------
COMPUTERS & PERIPHERALS
SanDisk Corp. (a)(b).................... 25,935 751,856 0.98
Teradata Corp. (b)...................... 19,720 619,799 0.80
Other Securities (a).................... 444,875 0.58
------------ ------
1,816,530 2.36
------------ ------
CONSTRUCTION & ENGINEERING
URS Corp. (a)(b)........................ 9,561 425,656 0.55
Other Securities (a).................... 931,073 1.21
------------ ------
1,356,729 1.76
------------ ------
CONTAINERS & PACKAGING
Other Securities (a).................... 583,362 0.76
------------ ------
DISTRIBUTORS
Other Securities (a).................... 311,442 0.41
------------ ------
DIVERSIFIED CONSUMER SERVICES
Other Securities (a).................... 963,431 1.25
------------ ------
DIVERSIFIED FINANCIAL SERVICES
Other Securities (a).................... 379,183 0.49
------------ ------
DIVERSIFIED TELECOMMUNICATION SERVICES
Other Securities (a).................... 351,705 0.46
------------ ------
ELECTRIC UTILITIES
Other Securities (a).................... 300,716 0.39
------------ ------
ELECTRICAL EQUIPMENT
AMETEK, Inc. (a)........................ 12,156 464,845 0.61
Other Securities (a).................... 503,273 0.65
------------ ------
968,118 1.26
------------ ------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS
Avnet, Inc. (b)......................... 17,399 524,754 0.68
FLIR Systems, Inc. (a)(b)............... 17,188 562,391 0.73
Other Securities (a).................... 2,070,586 2.70
------------ ------
3,157,731 4.11
------------ ------
ENERGY EQUIPMENT & SERVICES
Helmerich & Payne, Inc. (a)............. 11,071 441,512 0.57
Other Securities (a).................... 1,786,289 2.33
------------ ------
2,227,801 2.90
------------ ------
FOOD & STAPLES RETAILING
Other Securities (a).................... 351,827 0.46
------------ ------
FOOD PRODUCTS
Other Securities (a).................... 1,357,207 1.76
------------ ------
HEALTH CARE EQUIPMENT & SUPPLIES
ResMed, Inc. (a)(b)..................... 8,669 453,128 0.59
Other Securities (a).................... 2,231,453 2.90
------------ ------
2,684,581 3.49
------------ ------
HEALTH CARE PROVIDERS & SERVICES
Coventry Health Care, Inc. (b).......... 16,981 412,469 0.54
Other Securities (a).................... 2,043,776 2.65
------------ ------
2,456,245 3.19
------------ ------
HEALTH CARE TECHNOLOGY
IMS Health, Inc. ....................... 20,807 438,196 0.57
Other Securities (a).................... 138,818 0.18
------------ ------
577,014 0.75
------------ ------
HOTELS, RESTAURANTS & LEISURE
Wyndham Worldwide Corp. (a)............. 20,493 413,344 0.54
Other Securities (a).................... 1,893,994 2.46
------------ ------
2,307,338 3.00
------------ ------
HOUSEHOLD DURABLES
NVR, Inc. (a)(b)........................ 683 485,415 0.63
Other Securities (a).................... 382,410 0.50
------------ ------
867,825 1.13
------------ ------
HOUSEHOLD PRODUCTS
Energizer Holdings, Inc. (b)............ 7,986 489,382 0.64
------------ ------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS
Other Securities (a).................... 310,019 0.40
------------ ------
INDUSTRIAL CONGLOMERATES
Other Securities (a).................... 56,658 0.07
------------ ------
INSURANCE
Other Securities (a).................... 239,019 0.31
------------ ------
</Table>
See accompanying notes to financial statements.
98
SPDR DOW JONES MID CAP GROWTH ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
INTERNET & CATALOG RETAIL
Other Securities (a).................... $ 295,826 0.38%
------------ ------
INTERNET SOFTWARE & SERVICES
Akamai Technologies, Inc. (a)(b)........ 19,795 501,407 0.65
Equinix, Inc. (a)(b).................... 4,368 463,663 0.61
Other Securities (a).................... 427,184 0.55
------------ ------
1,392,254 1.81
------------ ------
IT SERVICES
Global Payments, Inc. .................. 9,281 499,875 0.65
Hewitt Associates, Inc. (Class
A) (a)(b)............................. 9,892 418,036 0.54
Lender Processing Services, Inc. ....... 10,914 443,763 0.58
Other Securities (a).................... 1,874,725 2.44
------------ ------
3,236,399 4.21
------------ ------
LIFE SCIENCES TOOLS & SERVICES
Other Securities (a).................... 1,513,864 1.97
------------ ------
MACHINERY
Joy Global, Inc. (a).................... 11,676 602,365 0.78
Pall Corp. ............................. 13,453 486,999 0.63
Other Securities (a).................... 2,343,820 3.05
------------ ------
3,433,184 4.46
------------ ------
MARINE
Other Securities (a).................... 213,055 0.28
------------ ------
MEDIA
Other Securities (a).................... 1,138,808 1.48
------------ ------
METALS & MINING
Cliffs Natural Resources,
Inc. (a).............................. 15,052 693,747 0.90
Steel Dynamics, Inc. (a)................ 24,695 437,595 0.57
Walter Energy, Inc. (a)................. 6,086 458,337 0.60
Other Securities (a).................... 907,498 1.18
------------ ------
2,497,177 3.25
------------ ------
OFFICE ELECTRONICS
Other Securities (a).................... 191,288 0.25
------------ ------
OIL, GAS & CONSUMABLE FUELS
Alpha Natural Resources,
Inc. (a)(b)........................... 17,895 776,285 1.01
Arch Coal, Inc. (a)..................... 18,629 414,495 0.54
Cabot Oil & Gas Corp. (a)............... 11,767 512,924 0.67
Cimarex Energy Co. (a).................. 9,464 501,308 0.65
EXCO Resources, Inc. (a)................ 19,679 417,785 0.54
Plains Exploration & Production
Co. (b)............................... 16,037 443,584 0.58
Whiting Petroleum Corp. (a)(b).......... 5,794 413,981 0.54
Other Securities (a).................... 2,297,100 2.98
------------ ------
5,777,462 7.51
------------ ------
PERSONAL PRODUCTS
Other Securities (a).................... 485,984 0.63
------------ ------
PHARMACEUTICALS
Other Securities (a).................... 1,020,272 1.33
------------ ------
PROFESSIONAL SERVICES
Equifax, Inc. .......................... 14,461 446,700 0.58
Manpower, Inc. ......................... 8,918 486,745 0.63
Robert Half International, Inc. (a)..... 17,421 465,663 0.61
Other Securities (a).................... 800,988 1.04
------------ ------
2,200,096 2.86
------------ ------
REAL ESTATE INVESTMENT TRUSTS
Other Securities (a).................... 645,612 0.84
------------ ------
REAL ESTATE MANAGEMENT & DEVELOPMENT
Other Securities (a).................... 390,952 0.51
------------ ------
ROAD & RAIL
Other Securities (a).................... 1,420,019 1.85
------------ ------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
Advanced Micro Devices, Inc. (b)........ 70,463 682,082 0.89
Cree, Inc. (a)(b)....................... 10,851 611,671 0.79
Lam Research Corp. (a)(b)............... 14,458 566,898 0.74
LSI Logic Corp. (a)(b).................. 73,999 444,734 0.58
National Semiconductor Corp. (a)........ 27,074 415,857 0.54
ON Semiconductor Corp. (a)(b)........... 48,253 425,109 0.55
Other Securities (a).................... 1,600,342 2.08
------------ ------
4,746,693 6.17
------------ ------
SOFTWARE
Ansys, Inc. (a)(b)...................... 10,049 436,729 0.57
Other Securities (a).................... 3,422,111 4.45
------------ ------
3,858,840 5.02
------------ ------
SPECIALTY RETAIL
CarMax, Inc. (a)(b)..................... 22,621 548,559 0.71
Tiffany & Co. (b)....................... 14,200 610,600 0.79
Urban Outfitters, Inc. (a)(b)........... 15,070 527,299 0.69
Other Securities (a).................... 2,237,930 2.91
------------ ------
3,924,388 5.10
------------ ------
THRIFTS & MORTGAGE FINANCE
Other Securities (a).................... 135,569 0.18
------------ ------
TRADING COMPANIES & DISTRIBUTORS
Other Securities ....................... 233,731 0.30
------------ ------
WIRELESS TELECOMMUNICATION SERVICES
SBA Communications Corp. (Class
A) (a)(b)............................. 13,421 458,461 0.59
Other Securities (a).................... 342,828 0.45
------------ ------
801,289 1.04
------------ ------
TOTAL COMMON STOCKS --
(Cost $66,388,711).................... 76,794,325 99.84
------------ ------
RIGHTS
DIVERSIFIED TELECOMMUNICATION SERVICES
Clearwire Corp.
(expiring 6/21/10) (b)
(Cost $0)............................. 8,399 3,359 0.00
------------ ------
</Table>
See accompanying notes to financial statements.
99
SPDR DOW JONES MID CAP GROWTH ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
SHORT TERM INVESTMENTS
MONEY MARKET FUNDS
State Street Institutional Liquid
Reserves Fund (c)..................... 98,944 $ 98,944 0.13%
State Street Navigator Securities
Lending Prime Portfolio (c)(d)........ 22,198,914 22,198,914 28.86
------------ ------
TOTAL SHORT TERM
INVESTMENTS -- (Cost $22,297,858)..... 22,297,858 28.99
------------ ------
TOTAL INVESTMENTS (E) (Cost
$88,686,569).......................... 99,095,542 128.83
OTHER ASSETS AND LIABILITIES............ (22,177,058) (28.83)
------------ ------
NET ASSETS.............................. $ 76,918,484 100.00
============ ======
</Table>
Other Security are those securities, which individually are not one of the 50
largest unaffiliated issuers and which represent less then one percent of the
net assets of the Fund at December 31, 2009.
<Table>
(a) Security, or portion thereof, was on loan at
December 31, 2009.
(b) Non-income producing security.
(c) Affiliated Fund managed by SSgA Funds Management,
Inc. (Note 3)
(d) Investments of cash collateral for securities
loaned.
(e) Unless otherwise indicated, the values of the
securities of the Fund are determined based on
Level 1 inputs. (Note 2)
</Table>
See accompanying notes to financial statements.
100
SPDR DOW JONES MID CAP VALUE ETF
SUMMARY SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
COMMON STOCKS
AEROSPACE & DEFENSE
Other Securities (a).................... $ 143,567 0.79%
------
AUTO COMPONENTS
Other Securities ....................... 82,378 0.45
------
BEVERAGES
Other Securities ....................... 165,695 0.91
------
BIOTECHNOLOGY
Dendreon Corp. (a)(b)................... 4,348 114,265 0.63
Other Securities (a).................... 37,325 0.20
----------- ------
151,590 0.83
------
BUILDING PRODUCTS
Other Securities (a).................... 68,359 0.37
------
CAPITAL MARKETS
Legg Mason, Inc. (a).................... 5,369 161,929 0.89
Other Securities (a).................... 182,928 1.00
----------- ------
344,857 1.89
------
CHEMICALS
Eastman Chemical Co. (a)................ 2,290 137,950 0.76
International Flavors &
Fragrances, Inc. ..................... 2,633 108,322 0.59
Other Securities (a).................... 272,750 1.50
----------- ------
519,022 2.85
------
COMMERCIAL BANKS
Comerica, Inc. (a)...................... 5,062 149,683 0.82
Other Securities (a).................... 1,127,454 6.19
----------- ------
1,277,137 7.01
------
COMMERCIAL SERVICES & SUPPLIES
Avery Dennison Corp. (a)................ 3,779 137,896 0.76
R.R. Donnelley & Sons Co. .............. 6,871 153,017 0.84
----------- ------
290,913 1.60
------
COMPUTERS & PERIPHERALS
Other Securities (a).................... 130,040 0.71
------
CONSTRUCTION & ENGINEERING
Other Securities (a).................... 96,779 0.53
------
CONTAINERS & PACKAGING
Bemis Co., Inc. ........................ 3,620 107,333 0.59
Sealed Air Corp. ....................... 5,299 115,836 0.64
Other Securities (a).................... 361,302 1.98
----------- ------
584,471 3.21
------
DIVERSIFIED CONSUMER SERVICES
Other Securities (a).................... 67,952 0.37
------
DIVERSIFIED TELECOMMUNICATION SERVICES
Other Securities (a).................... 164,119 0.90
------
ELECTRIC UTILITIES
DPL, Inc. (a)........................... 4,014 110,786 0.61
Pepco Holdings, Inc. (a)................ 7,374 124,252 0.68
Pinnacle West Capital Corp. ............ 3,373 123,384 0.68
Other Securities (a).................... 483,438 2.65
----------- ------
841,860 4.62
------
ELECTRICAL EQUIPMENT
Other Securities (a).................... 250,186 1.37
----------- ------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS
Other Securities (a).................... 258,027 1.42
------
ENERGY EQUIPMENT & SERVICES
Other Securities (a).................... 82,858 0.45
------
FOOD & STAPLES RETAILING
Other Securities (a).................... 149,457 0.82
------
FOOD PRODUCTS
Other Securities (a).................... 311,485 1.71
------
GAS UTILITIES
Energen Corp. .......................... 2,425 113,490 0.62
National Fuel Gas Co. (a)............... 2,242 112,100 0.62
Other Securities (a).................... 502,223 2.75
----------- ------
727,813 3.99
------
HEALTH CARE EQUIPMENT & SUPPLIES
Other Securities (a).................... 121,600 0.67
------
HEALTH CARE PROVIDERS & SERVICES
Other Securities (a).................... 389,598 2.14
------
HOTELS, RESTAURANTS & LEISURE
Royal Caribbean Cruises, Ltd. (a)(b).... 4,504 113,861 0.63
Other Securities (a).................... 75,755 0.41
----------- ------
189,616 1.04
------
HOUSEHOLD DURABLES
Newell Rubbermaid, Inc. (a)............. 9,353 140,389 0.77
The Black & Decker Corp. (a)............ 2,010 130,308 0.72
Whirlpool Corp. (a)..................... 2,464 198,746 1.09
Other Securities (a).................... 478,066 2.62
----------- ------
947,509 5.20
----------- ------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS
Other Securities (a).................... 104,095 0.57
------
INDUSTRIAL CONGLOMERATES
Textron, Inc. (a)....................... 9,058 170,381 0.94
Other Securities (a).................... 70,096 0.38
----------- ------
240,477 1.32
------
INSURANCE
American International Group,
Inc. (a)(b)........................... 3,960 118,721 0.65
Assurant, Inc. (a)...................... 3,952 116,505 0.64
First American Corp. (a)................ 4,047 133,996 0.74
Genworth Financial, Inc. (Class
A) (a)(b)............................. 16,111 182,860 1.00
Markel Corp. (a)(b)..................... 329 111,860 0.61
Reinsurance Group of America, Inc. ..... 2,439 116,218 0.64
RenaissanceRe Holdings, Ltd. ........... 2,089 111,030 0.61
Torchmark Corp. (a)..................... 2,773 121,873 0.67
Other Securities (a).................... 1,505,422 8.26
----------- ------
2,518,485 13.82
------
</Table>
See accompanying notes to financial statements.
101
SPDR DOW JONES MID CAP VALUE ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
IT SERVICES
Other Securities (a).................... $ 49,143 0.27%
----------- ------
LIFE SCIENCES TOOLS & SERVICES
Other Securities........................ 62,024 0.34
------
MACHINERY
Pentair, Inc. .......................... 3,294 106,396 0.59
The Stanley Works (a)................... 2,696 138,871 0.76
Other Securities (a).................... 494,503 2.71
----------- ------
739,770 4.06
------
MEDIA
Virgin Media, Inc. (a).................. 9,799 164,917 0.90
Other Securities (a).................... 68,193 0.38
----------- ------
233,110 1.28
------
METALS & MINING
Allegheny Technologies, Inc. (a)........ 3,074 137,623 0.75
Other Securities (a).................... 58,124 0.32
----------- ------
195,747 1.07
------
MULTI-UTILITIES
Alliant Energy Corp. (a)................ 3,670 111,054 0.61
CMS Energy Corp. (a).................... 7,602 119,047 0.65
Integrys Energy Group, Inc. (a)......... 2,562 107,578 0.59
NiSource, Inc. (a)...................... 9,181 141,204 0.78
NSTAR (a)............................... 3,576 131,597 0.72
OGE Energy Corp. ....................... 3,219 118,749 0.65
TECO Energy, Inc. (a)................... 6,667 108,139 0.59
Other Securities ....................... 66,982 0.37
----------- ------
904,350 4.96
------
MULTILINE RETAIL
Other Securities (a).................... 80,217 0.44
------
OIL, GAS & CONSUMABLE FUELS
Pioneer Natural Resources Co. (a)....... 3,821 184,058 1.01
Other Securities (a).................... 349,314 1.92
----------- ------
533,372 2.93
----------- ------
PAPER & FOREST PRODUCTS
MeadWestvaco Corp. ..................... 5,007 143,350 0.79
----------- ------
PERSONAL PRODUCTS
Other Securities (a).................... 86,025 0.47
----------- ------
PHARMACEUTICALS
Other Securities (a).................... 101,191 0.55
----------- ------
REAL ESTATE INVESTMENT TRUSTS
AMB Property Corp. (a).................. 4,901 125,221 0.69
Federal Realty Investment Trust (a)..... 2,042 138,284 0.76
Kimco Realty Corp. (a).................. 13,466 182,195 1.00
Liberty Property Trust.................. 3,742 119,781 0.66
Nationwide Health Properties, Inc. (a).. 3,762 132,347 0.73
ProLogis (a)............................ 15,861 217,137 1.19
Rayonier, Inc. ......................... 2,628 110,796 0.61
Other Securities (a).................... 1,369,181 7.50
----------- ------
2,394,942 13.14
----------- ------
REAL ESTATE MANAGEMENT & DEVELOPMENT
Other Securities (a).................... 193,258 1.06
----------- ------
ROAD & RAIL
Other Securities (a).................... 110,661 0.61
----------- ------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
Other Securities (a).................... 62,004 0.34
----------- ------
SOFTWARE
Synopsys, Inc. (b)...................... 4,885 108,838 0.60
Other Securities (a).................... 104,165 0.57
----------- ------
213,003 1.17
----------- ------
SPECIALTY RETAIL
Limited Brands, Inc. (a)................ 9,216 177,316 0.97
Other Securities (a).................... 250,889 1.38
----------- ------
428,205 2.35
----------- ------
THRIFTS & MORTGAGE FINANCE
Other Securities (a).................... 179,846 0.99
----------- ------
TRADING COMPANIES & DISTRIBUTORS
Other Securities (a).................... 38,525 0.21
----------- ------
WATER UTILITIES
Other Securities (a).................... 79,513 0.44
----------- ------
WIRELESS TELECOMMUNICATION SERVICES
Telephone & Data Systems, Inc. ......... 3,258 110,511 0.60
Other Securities ....................... 21,290 0.12
----------- ------
131,801 0.72
----------- ------
TOTAL COMMON STOCKS -- (Cost
$17,570,357).......................... 18,180,002 99.75
----------- ------
SHORT TERM INVESTMENTS
MONEY MARKET FUNDS
State Street Institutional Liquid
Reserves Fund (d)..................... 18,494 18,494 0.10
State Street Navigator Securities
Lending Prime Portfolio (d)(e)........ 5,265,707 5,265,707 28.90
----------- ------
TOTAL SHORT TERM
INVESTMENTS -- (Cost $5,284,201)...... 5,284,201 29.00
----------- ------
TOTAL INVESTMENTS (F) (Cost
$22,854,558).......................... 23,464,203 128.75
OTHER ASSETS AND LIABILITIES............ (5,238,998) (28.75)
----------- ------
NET ASSETS.............................. $18,225,205 100.00
=========== ======
</Table>
Other Securities are those securities, which individually are not one of the 50
largest unaffiliated issuers and which represent less then one percent of the
net assets of the Fund at December 31, 2009.
<Table>
(a) Security, or portion thereof, was on loan at
December 31, 2009.
(b) Non-income producing security.
(c) Amount shown represents less then 0.05% of net
assets.
(d) Affiliated Fund managed by SSgA Funds Management,
Inc. (Note 3)
(e) Investments of cash collateral for securities
loaned.
(f) Unless otherwise indicated, the values of the
securities of the Fund are determined based on
Level 1 inputs. (Note 2)
</Table>
See accompanying notes to financial statements.
102
SPDR DOW JONES SMALL CAP ETF
SUMMARY SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
COMMON STOCKS
AEROSPACE & DEFENSE
Other Securities (a).................... $ 645,591 1.54%
------------ ------
AIR FREIGHT & LOGISTICS
Other Securities (a).................... 126,225 0.30
------------ ------
AIRLINES
AMR Corp. (a)(b)........................ 10,592 81,876 0.19
Continental Airlines, Inc. (Class
B) (a)(b)............................. 4,437 79,511 0.19
Other Securities (a).................... 275,066 0.66
------------ ------
436,453 1.04
------------ ------
AUTO COMPONENTS
Gentex Corp. ........................... 4,549 81,200 0.19
Other Securities (a).................... 399,237 0.96
------------ ------
480,437 1.15
------------ ------
AUTOMOBILES
Other Securities (a).................... 49,920 0.12
------------ ------
BEVERAGES
Other Securities (a).................... 79,589 0.19
------------ ------
BIOTECHNOLOGY
Human Genome Sciences, Inc. (a)(b)...... 5,923 181,244 0.43
United Therapeutics Corp. (a)(b)........ 1,537 80,923 0.19
Other Securities (a).................... 1,016,895 2.43
------------ ------
1,279,062 3.05
------------ ------
BUILDING PRODUCTS
Other Securities (a).................... 297,235 0.71
------------ ------
CAPITAL MARKETS
E*TRADE Financial Corp. (a)(b).......... 61,119 106,958 0.25
Janus Capital Group, Inc. (a)........... 5,908 79,463 0.19
Teton Advisors, Inc. (Class
B) (a)(b)(c).......................... 10 23 0.00
Waddell & Reed Financial, Inc.
(Class A)............................. 2,767 84,504 0.20
Other Securities (a).................... 493,322 1.18
------------ ------
764,270 1.82
------------ ------
CHEMICALS
Ashland, Inc. (a)....................... 2,196 87,006 0.21
Nalco Holding Co. (a)................... 4,524 115,407 0.28
RPM International, Inc. (a)............. 4,243 86,260 0.21
Other Securities (a).................... 763,737 1.81
------------ ------
1,052,410 2.51
------------ ------
COMMERCIAL BANKS
Huntington Bancshares, Inc. (a)......... 22,979 83,873 0.20
Marshall & Ilsley Corp. (a)............. 16,533 90,105 0.22
Other Securities (a).................... 2,136,789 5.09
------------ ------
2,310,767 5.51
------------ ------
COMMERCIAL SERVICES & SUPPLIES
Other Securities (a).................... 781,627 1.86
------------ ------
COMMUNICATIONS EQUIPMENT
3Com Corp. (a)(b)....................... 12,810 96,075 0.23
CommScope, Inc. (a)(b).................. 3,060 81,182 0.19
Other Securities (a).................... 912,985 2.18
------------ ------
1,090,242 2.60
------------ ------
COMPUTERS & PERIPHERALS
Other Securities (a).................... 407,120 0.97
------------ ------
CONSTRUCTION & ENGINEERING
Other Securities (a).................... 282,448 0.67
------------ ------
CONSTRUCTION MATERIALS
Other Securities (a).................... 75,534 0.18
------------ ------
CONSUMER FINANCE
Other Securities (a).................... 207,987 0.50
------------ ------
CONTAINERS & PACKAGING
Other Securities (a).................... 346,123 0.83
------------ ------
DISTRIBUTORS
LKQ Corp. (a)(b)........................ 4,602 90,153 0.21
Other Securities (a).................... 15,205 0.04
------------ ------
105,358 0.25
------------ ------
DIVERSIFIED CONSUMER SERVICES
Other Securities (a).................... 482,367 1.15
------------ ------
DIVERSIFIED FINANCIAL SERVICES
Other Securities (a).................... 152,765 0.36
------------ ------
DIVERSIFIED TELECOMMUNICATION SERVICES
tw telecom, inc. (a)(b)................. 4,809 82,426 0.20
Other Securities (a).................... 234,524 0.56
------------ ------
316,950 0.76
------------ ------
ELECTRIC UTILITIES
Great Plains Energy, Inc. (a)........... 4,356 84,463 0.20
Other Securities (a).................... 425,948 1.02
------------ ------
510,411 1.22
------------ ------
ELECTRICAL EQUIPMENT
Other Securities (a).................... 760,788 1.81
------------ ------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS
Jabil Circuit, Inc. (a)................. 6,352 110,334 0.26
Other Securities (a).................... 820,345 1.96
------------ ------
930,679 2.22
------------ ------
ENERGY EQUIPMENT & SERVICES
Dresser-Rand Group,
Inc. (a)(b)........................... 2,696 85,221 0.20
Other Securities (a).................... 924,285 2.21
------------ ------
1,009,506 2.41
------------ ------
FOOD & STAPLES RETAILING
Other Securities (a).................... 330,080 0.79
------------ ------
FOOD PRODUCTS
Green Mountain Coffee Roasters,
Inc. (a)(b)........................... 1,278 104,119 0.25
Other Securities (a).................... 522,363 1.24
------------ ------
626,482 1.49
------------ ------
GAS UTILITIES
Other Securities (a).................... 317,325 0.76
------------ ------
</Table>
See accompanying notes to financial statements.
103
SPDR DOW JONES SMALL CAP ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
HEALTH CARE EQUIPMENT & SUPPLIES
Other Securities (a).................... $ 1,068,175 2.55%
------------ ------
HEALTH CARE PROVIDERS & SERVICES
MEDNAX, Inc. (a)(b)..................... 1,505 90,466 0.22
Tenet Healthcare Corp. (a)(b)........... 15,786 85,087 0.20
Other Securities (a).................... 1,421,360 3.39
------------ ------
1,596,913 3.81
------------ ------
HEALTH CARE TECHNOLOGY
Other Securities (a).................... 166,251 0.40
------------ ------
HOTELS, RESTAURANTS & LEISURE
Other Securities (a).................... 986,952 2.35
------------ ------
HOUSEHOLD DURABLES
Jarden Corp. (a)........................ 2,894 89,454 0.21
Tupperware Brands Corp. ................ 2,062 96,027 0.23
Other Securities (a).................... 470,436 1.12
------------ ------
655,917 1.56
------------ ------
HOUSEHOLD PRODUCTS
Other Securities (a).................... 38,106 0.09
------------ ------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS
Other Securities (a).................... 22,326 0.05
------------ ------
INDUSTRIAL CONGLOMERATES
Other Securities (a).................... 144,973 0.35
------------ ------
INSURANCE
Assured Guaranty, Ltd. (a).............. 4,008 87,214 0.21
Validus Holdings, Ltd. (a).............. 3,142 84,645 0.20
Other Securities (a).................... 1,352,594 3.23
------------ ------
1,524,453 3.64
------------ ------
INTERNET & CATALOG RETAIL
Other Securities (a).................... 156,760 0.37
------------ ------
INTERNET SOFTWARE & SERVICES
Other Securities (a).................... 559,248 1.33
------------ ------
IT SERVICES
Other Securities (a).................... 701,244 1.67
------------ ------
LEISURE EQUIPMENT & PRODUCTS
Other Securities (a).................... 197,644 0.47
------------ ------
LIFE SCIENCES TOOLS & SERVICES
Other Securities (a).................... 276,545 0.66
------------ ------
MACHINERY
Bucyrus International, Inc. (Class
A) (a)................................ 2,398 135,175 0.32
IDEX Corp. (a).......................... 2,662 82,921 0.20
Oshkosh Corp. (a)....................... 2,854 105,684 0.25
Snap-On, Inc. (a)....................... 1,899 80,252 0.19
Other Securities (a).................... 1,372,474 3.28
------------ ------
1,776,506 4.24
------------ ------
MARINE
Other Securities (a).................... 163,103 0.39
------------ ------
MEDIA
Gannett Co., Inc. (a)................... 7,374 109,504 0.26
Other Securities (a).................... 627,826 1.50
------------ ------
737,330 1.76
------------ ------
METALS & MINING
Other Securities (a).................... 709,536 1.69
------------ ------
MULTI-UTILITIES
Other Securities (a).................... 124,555 0.30
------------ ------
MULTILINE RETAIL
Other Securities (a).................... 177,756 0.42
------------ ------
OFFICE ELECTRONICS
Other Securities (a).................... 53,600 0.13
------------ ------
OIL, GAS & CONSUMABLE FUELS
Encore Acquisition Co. (b).............. 1,784 85,668 0.20
Massey Energy Co. (a)................... 2,811 118,090 0.28
Other Securities (a).................... 1,409,567 3.37
------------ ------
1,613,325 3.85
------------ ------
PAPER & FOREST PRODUCTS
Other Securities (a).................... 229,851 0.55
------------ ------
PERSONAL PRODUCTS
Herbalife, Ltd. ........................ 2,035 82,560 0.20
Other Securities (a).................... 250,903 0.60
------------ ------
333,463 0.80
------------ ------
PHARMACEUTICALS
Other Securities (a).................... 458,447 1.09
------------ ------
PROFESSIONAL SERVICES
Other Securities (a).................... 435,894 1.04
------------ ------
REAL ESTATE INVESTMENT TRUSTS
Alexandria Real Estate Equities,
Inc. (a).............................. 1,423 91,485 0.22
Camden Property Trust (a)............... 2,066 87,536 0.21
Duke Realty Corp. (a)................... 7,358 89,547 0.21
Hospitality Properties Trust............ 3,917 92,872 0.22
Mack-Cali Realty Corp. (a).............. 2,551 88,188 0.21
Senior Housing Properties Trust (a)..... 4,072 89,055 0.21
SL Green Realty Corp. (a)............... 2,476 124,394 0.30
The Macerich Co. (a).................... 3,151 113,278 0.27
UDR, Inc. (a)........................... 5,004 82,266 0.20
Other Securities (a).................... 2,511,013 5.99
------------ ------
3,369,634 8.04
------------ ------
REAL ESTATE MANAGEMENT & DEVELOPMENT
Jones Lang LaSalle, Inc. (a)............ 1,321 79,789 0.19
Other Securities (a).................... 89,640 0.21
------------ ------
169,429 0.40
------------ ------
ROAD & RAIL
Other Securities (a).................... 413,253 0.99
------------ ------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
Rambus, Inc. (a)(b)..................... 3,477 84,839 0.20
Other Securities (a).................... 1,587,282 3.79
------------ ------
1,672,121 3.99
------------ ------
</Table>
See accompanying notes to financial statements.
104
SPDR DOW JONES SMALL CAP ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
SOFTWARE
MICROS Systems,
Inc. (a)(b)........................... 2,652 $ 82,292 0.20%
Solera Holdings, Inc. (a)............... 2,292 82,535 0.20
Other Securities (a).................... 1,429,424 3.40
------------ ------
1,594,251 3.80
------------ ------
SPECIALTY RETAIL
RadioShack Corp. (a).................... 4,134 80,613 0.19
Other Securities (a).................... 1,495,980 3.57
------------ ------
1,576,593 3.76
------------ ------
TEXTILES, APPAREL & LUXURY GOODS
Other Securities (a).................... 736,062 1.76
------------ ------
THRIFTS & MORTGAGE FINANCE
First Niagara Financial Group, Inc. .... 5,868 81,624 0.19
Other Securities (a).................... 494,829 1.18
------------ ------
576,453 1.37
------------ ------
TOBACCO
Other Securities (a).................... 70,029 0.17
------------ ------
TRADING COMPANIES & DISTRIBUTORS
Other Securities (a).................... 299,933 0.72
------------ ------
WATER UTILITIES
Other Securities (a).................... 69,855 0.17
------------ ------
WIRELESS TELECOMMUNICATION SERVICES
Other Securities (a).................... 118,015 0.28
------------ ------
TOTAL COMMON STOCKS --
(Cost $40,789,441).................... 41,830,252 99.78
------------ ------
SHORT TERM INVESTMENTS
MONEY MARKET FUNDS
State Street Institutional Liquid
Reserves Fund (d)..................... 59,130 59,130 0.14
State Street Navigator Securities
Lending Prime Portfolio (d)(e)........ 12,221,071 12,221,071 29.15
------------ ------
TOTAL SHORT TERM
INVESTMENTS -- (Cost $12,280,201)..... 12,280,201 29.29
------------ ------
TOTAL INVESTMENTS (F) (Cost
$53,069,642).......................... 54,110,453 129.07
OTHER ASSETS AND LIABILITIES............ (12,185,534) (29.07)
------------ ------
NET ASSETS.............................. $ 41,924,919 100.00
============ ======
</Table>
Other Securities are those securities, which individually are not one of the 50
largest unaffiliated issuers and which represent less then one percent of the
net assets of the Fund at December 31, 2009.
<Table>
(a) Security, or portion thereof, was on loan at
December 31, 2009.
(b) Non-income producing security.
(c) Security is valued at fair value as determined in
good faith by the Trust's Pricing and Investment
Committee in accordance with procedures approved by
the Board of Trustees. Teton Advisors, Inc. Value
is determined based on Level 3 inputs. (Note 2)
(d) Affiliated Fund managed by SSgA Funds Management,
Inc. (Note 3)
(e) Investments of cash collateral for securities
loaned.
(f) Unless otherwise indicated, the values of the
securities of the Fund are determined based on
Level 1 inputs. (Note 2)
</Table>
See accompanying notes to financial statements.
105
SPDR DOW JONES SMALL CAP GROWTH ETF
SUMMARY SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
COMMON STOCKS
AEROSPACE & DEFENSE
BE Aerospace, Inc. (a).................. 16,715 $ 392,803 0.32%
Other Securities (b) ................... 2,224,268 1.83
------------ ------
2,617,071 2.15
------------ ------
AIR FREIGHT & LOGISTICS
Other Securities (b) ................... 568,443 0.47
------------ ------
AIRLINES
AMR Corp. (a)........................... 59,720 461,635 0.38
Continental Airlines, Inc. (Class
B) (a)(b)............................. 24,287 435,223 0.36
UAL Corp. (a)(b)........................ 29,110 375,810 0.31
Other Securities (b) ................... 834,843 0.68
------------ ------
2,107,511 1.73
------------ ------
AUTO COMPONENTS
Lear Corp. (a).......................... 6,000 405,840 0.33
Other Securities (b) ................... 855,471 0.71
------------ ------
1,261,311 1.04
------------ ------
AUTOMOBILES
Other Securities ....................... 214,745 0.18
------------ ------
BEVERAGES
Other Securities (b) ................... 389,209 0.32
------------ ------
BIOTECHNOLOGY
Human Genome Sciences, Inc. (a)(b)...... 31,986 978,772 0.80
United Therapeutics Corp. (a)(b)........ 8,365 440,417 0.36
Other Securities (b) ................... 4,745,060 3.90
------------ ------
6,164,249 5.06
------------ ------
BUILDING PRODUCTS
Other Securities (b) ................... 564,846 0.46
------------ ------
CAPITAL MARKETS
Other Securities (b) ................... 1,760,794 1.44
------------ ------
CHEMICALS
Nalco Holding Co. (b)................... 24,238 618,311 0.51
Other Securities (b) ................... 1,229,720 1.01
------------ ------
1,848,031 1.52
------------ ------
COMMERCIAL BANKS
Other Securities (b) ................... 1,380,849 1.13
------------ ------
COMMERCIAL SERVICES & SUPPLIES
Other Securities (b) ................... 2,119,801 1.74
------------ ------
COMMUNICATIONS EQUIPMENT
CommScope, Inc. (a)(b).................. 16,928 449,100 0.37
Other Securities (b) ................... 4,694,786 3.85
------------ ------
5,143,886 4.22
------------ ------
COMPUTERS & PERIPHERALS
QLogic Corp. (a)(b)..................... 20,129 379,834 0.31
Other Securities (b) ................... 843,164 0.69
------------ ------
1,222,998 1.00
------------ ------
CONSTRUCTION & ENGINEERING
Other Securities (b) ................... 585,619 0.48
------------ ------
CONSTRUCTION MATERIALS
Other Securities ....................... 203,242 0.17
------------ ------
CONSUMER FINANCE
Other Securities (b) ................... 547,868 0.45
------------ ------
CONTAINERS & PACKAGING
Other Securities (b) ................... 433,404 0.36
------------ ------
DISTRIBUTORS
LKQ Corp. (a)........................... 24,603 481,973 0.40
------------ ------
DIVERSIFIED CONSUMER SERVICES
Other Securities (b) ................... 1,778,403 1.46
------------ ------
DIVERSIFIED FINANCIAL SERVICES
Other Securities (b) ................... 437,055 0.36
------------ ------
DIVERSIFIED TELECOMMUNICATION SERVICES
tw telecom, inc. (a)(b)................. 26,682 457,329 0.38
Other Securities (b) ................... 730,319 0.59
------------ ------
1,187,648 0.97
------------ ------
ELECTRICAL EQUIPMENT
Other Securities (b) ................... 2,485,250 2.04
------------ ------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS
Jabil Circuit, Inc. .................... 35,498 616,600 0.51
Other Securities (b) ................... 2,717,184 2.23
------------ ------
3,333,784 2.74
------------ ------
ENERGY EQUIPMENT & SERVICES
Dresser-Rand Group, Inc. (a)............ 14,717 465,204 0.38
Other Securities (b) ................... 4,599,113 3.78
------------ ------
5,064,317 4.16
------------ ------
FOOD & STAPLES RETAILING
Other Securities (b) ................... 535,480 0.44
------------ ------
FOOD PRODUCTS
Green Mountain Coffee Roasters,
Inc. (a)(b)........................... 6,953 566,461 0.47
Other Securities (b) ................... 657,127 0.53
------------ ------
1,223,588 1.00
------------ ------
HEALTH CARE EQUIPMENT & SUPPLIES
Other Securities (b) ................... 4,717,334 3.87
------------ ------
HEALTH CARE PROVIDERS & SERVICES
MEDNAX, Inc. (a)........................ 8,243 495,487 0.41
VCA Antech, Inc. (a)(b)................. 15,147 377,463 0.31
Other Securities (b) ................... 4,870,971 3.99
------------ ------
5,743,921 4.71
------------ ------
HEALTH CARE TECHNOLOGY
Other Securities (b) ................... 885,312 0.73
------------ ------
HOTELS, RESTAURANTS & LEISURE
Bally Technologies, Inc. (a)(b)......... 9,756 402,825 0.33
Panera Bread Co. (Class A) (a).......... 5,605 375,367 0.31
WMS Industries, Inc. (a)................ 10,306 412,240 0.34
Other Securities (b) ................... 2,123,748 1.74
------------ ------
3,314,180 2.72
------------ ------
HOUSEHOLD DURABLES
Harman International Industries, Inc. .. 12,239 431,792 0.35
</Table>
See accompanying notes to financial statements.
106
SPDR DOW JONES SMALL CAP GROWTH ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
Jarden Corp. (b)........................ 15,411 $ 476,354 0.39%
Other Securities (b) ................... 710,119 0.59
------------ ------
1,618,265 1.33
------------ ------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS
Other Securities (b).................... 120,710 0.10
------------ ------
INDUSTRIAL CONGLOMERATES
Other Securities (b) ................... 192,218 0.16
------------ ------
INSURANCE
Other Securities (b) ................... 394,733 0.32
------------ ------
INTERNET & CATALOG RETAIL
Other Securities (b) ................... 858,104 0.70
------------ ------
INTERNET SOFTWARE & SERVICES
Other Securities (b) ................... 2,848,006 2.34
------------ ------
IT SERVICES
Other Securities (b) ................... 2,474,423 2.03
------------ ------
LEISURE EQUIPMENT & PRODUCTS
Other Securities (b) ................... 206,568 0.17
------------ ------
LIFE SCIENCES TOOLS & SERVICES
Other Securities (b) ................... 1,122,091 0.92
------------ ------
MACHINERY
Bucyrus International, Inc. (Class A)... 13,200 744,084 0.61
Gardner Denver, Inc. (b)................ 9,279 394,822 0.32
Terex Corp. (a)(b)...................... 18,942 375,241 0.31
Other Securities (b) ................... 3,364,654 2.76
------------ ------
4,878,801 4.00
------------ ------
MARINE
Other Securities (b) ................... 399,101 0.33
------------ ------
MEDIA
Sirius XM Radio, Inc. (a)(b)............ 691,149 414,689 0.34
Other Securities (b) ................... 1,644,531 1.35
------------ ------
2,059,220 1.69
------------ ------
METALS & MINING
AK Steel Holding Corp. (b).............. 19,587 418,182 0.34
Compass Minerals International,
Inc. (b).............................. 5,797 389,500 0.32
Other Securities (b) ................... 1,777,121 1.46
------------ ------
2,584,803 2.12
------------ ------
MULTILINE RETAIL
Other Securities (b) ................... 99,659 0.08
------------ ------
OFFICE ELECTRONICS
Other Securities (b) ................... 302,544 0.25
------------ ------
OIL, GAS & CONSUMABLE FUELS
Atlas Energy, Inc. (b).................. 13,747 414,747 0.34
Encore Acquisition Co. (a)(b)........... 9,633 462,577 0.38
Massey Energy Co. (b)................... 15,045 632,040 0.52
St. Mary Land & Exploration Co. ........ 10,901 373,250 0.31
Other Securities (b).................... 4,993,254 4.09
------------ ------
6,875,868 5.64
------------ ------
PAPER & FOREST PRODUCTS
Domtar Corp. (a)(b)..................... 7,579 419,953 0.35
Other Securities ...................... 113,238 0.09
------------ ------
533,191 0.44
------------ ------
PERSONAL PRODUCTS
Herbalife, Ltd. ........................ 10,820 438,967 0.36
NBTY, Inc. (a)(b)....................... 10,068 438,361 0.36
Other Securities (b).................... 544,682 0.45
------------ ------
1,422,010 1.17
------------ ------
PHARMACEUTICALS
Valeant Pharmaceuticals
International (a)(b).................. 12,280 390,381 0.32
Other Securities (b) ................... 1,670,942 1.37
------------ ------
2,061,323 1.69
------------ ------
PROFESSIONAL SERVICES
Monster Worldwide,
Inc. (a)(b)........................... 22,804 396,790 0.33
Other Securities (b) ................... 1,891,399 1.55
------------ ------
2,288,189 1.88
------------ ------
REAL ESTATE INVESTMENT TRUSTS
Corporate Office Properties Trust (b)... 10,529 385,677 0.32
Other Securities (b) ................... 1,269,698 1.04
------------ ------
1,655,375 1.36
------------ ------
REAL ESTATE MANAGEMENT & DEVELOPMENT
Jones Lang LaSalle, Inc. (b)............ 7,191 434,337 0.35
Other Securities ...................... 69,748 0.06
------------ ------
504,085 0.41
------------ ------
ROAD & RAIL
Other Securities (b) ................... 1,373,247 1.13
------------ ------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
Novellus Systems, Inc. (a)(b)........... 17,536 409,290 0.34
Rambus, Inc. (a)(b)..................... 18,841 459,720 0.38
Silicon Laboratories,
Inc. (a)(b)........................... 8,024 387,880 0.32
Skyworks Solutions,
Inc. (a)(b)........................... 29,892 424,167 0.35
Other Securities (b) ................... 6,795,319 5.57
------------ ------
8,476,376 6.96
------------ ------
SOFTWARE
Informatica Corp. (a)(b)................ 15,629 404,166 0.33
MICROS Systems, Inc. (a)(b)............. 14,044 435,785 0.36
Solera Holdings, Inc. (b)............... 12,434 447,748 0.37
Other Securities (b) ................... 6,150,659 5.05
------------ ------
7,438,358 6.11
------------ ------
SPECIALTY RETAIL
Aeropostale, Inc. (a)(b)................ 12,023 409,383 0.34
Chico's FAS, Inc. (a)................... 31,565 443,488 0.36
Dick's Sporting Goods, Inc. (a)(b)...... 15,080 375,040 0.31
J. Crew Group, Inc. (a)................. 9,144 409,102 0.33
Other Securities (b) ................... 2,833,125 2.33
------------ ------
4,470,138 3.67
------------ ------
</Table>
See accompanying notes to financial statements.
107
SPDR DOW JONES SMALL CAP GROWTH ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
TEXTILES, APPAREL & LUXURY GOODS
Other Securities (b) ................... $ 1,713,910 1.41%
------------ ------
THRIFTS & MORTGAGE FINANCE
Other Securities (b) ................... 856,630 0.70
------------ ------
TRADING COMPANIES & DISTRIBUTORS
Other Securities (b) ................... 756,172 0.62
------------ ------
WIRELESS TELECOMMUNICATION SERVICES
Other Securities (b) ................... 516,772 0.42
------------ ------
TOTAL COMMON STOCKS --
(Cost $125,376,997)................... 121,423,012 99.67
------------ ------
SHORT TERM INVESTMENTS
MONEY MARKET FUNDS
State Street Institutional Liquid
Reserves Fund (c)..................... 393,857 393,857 0.32
State Street Navigator Securities
Lending Prime Portfolio (c)(d)........ 35,306,432 35,306,432 28.98
------------ ------
TOTAL SHORT TERM
INVESTMENTS -- (Cost $35,700,289)..... 35,700,289 29.30
------------ ------
TOTAL INVESTMENTS (Cost $161,077,286)... 157,123,301 128.97
OTHER ASSETS AND LIABILITIES............ (35,293,968) (28.97)
------------ ------
NET ASSETS.............................. $121,829,333 100.00
============ ======
</Table>
Other Securities are those securities, which individually are not one of the 50
largest unaffiliated issuers and which represent less than one percent of the
net assets of the Fund at December 31, 2009.
<Table>
(a) Non-income producing security.
(b) Security or portion thereof, was on loan at December 31,
2009.
(c) Affiliated Fund managed by SSgA Funds Management, Inc.
(Note 3)
(d) Investments of cash collateral for securities loaned.
(e) Unless otherwise indicated, the values of the securities
of the Fund are determined based on Level 1 inputs. (Note
2)
</Table>
See accompanying notes to financial statements.
108
SPDR DOW JONES SMALL CAP VALUE ETF
SUMMARY SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
COMMON STOCKS
AEROSPACE & DEFENSE
Other Securities (a) ................... $ 785,320 0.79%
------------ ------
AIR FREIGHT & LOGISTICS
Other Securities (a) ................... 116,225 0.12
------------ ------
AIRLINES
Other Securities (a) ................... 245,794 0.25
------------ ------
AUTO COMPONENTS
Gentex Corp. ........................... 22,637 404,070 0.41
Other Securities (a) ................... 841,578 0.84
------------ ------
1,245,648 1.26
------------ ------
AUTOMOBILES
Other Securities (a) ................... 56,571 0.06
------------ ------
BEVERAGES
Other Securities (a) ................... 58,494 0.06
------------ ------
BIOTECHNOLOGY
Other Securities (a) ................... 759,250 0.76
------------ ------
BUILDING PRODUCTS
Other Securities (a) ................... 927,527 0.93
------------ ------
CAPITAL MARKETS
E*TRADE Financial Corp. (a)(b).......... 306,068 535,619 0.54
Janus Capital Group, Inc. (a)........... 29,483 396,546 0.40
Teton Advisors, Inc. (Class
B) (a)(b)(c).......................... 10 23 0.00
Waddell & Reed Financial, Inc.
(Class A)............................. 14,084 430,125 0.43
Other Securities (a) ................... 840,239 0.85
------------ ------
2,202,552 2.22
------------ ------
CHEMICALS
Ashland, Inc. .......................... 10,966 434,473 0.44
RPM International, Inc. ................ 21,149 429,959 0.43
Other Securities (a) ................... 2,763,134 2.78
------------ ------
3,627,566 3.65
------------ ------
COMMERCIAL BANKS
Bank of Hawaii Corp. (a)................ 7,864 370,080 0.37
Huntington Bancshares, Inc. (a)......... 114,947 419,557 0.42
Marshall & Ilsley Corp. (a)............. 82,806 451,293 0.45
Other Securities (a) ................... 9,104,437 9.18
------------ ------
10,345,367 10.42
------------ ------
COMMERCIAL SERVICES & SUPPLIES
Other Securities (a) ................... 1,996,553 2.01
------------ ------
COMMUNICATIONS EQUIPMENT
3Com Corp. (b).......................... 64,217 481,627 0.49
Other Securities (a) ................... 339,209 0.34
------------ ------
820,836 0.83
------------ ------
COMPUTERS & PERIPHERALS
Other Securities (a) ................... 931,767 0.94
------------ ------
CONSTRUCTION & ENGINEERING
Other Securities (a) ................... 854,866 0.86
------------ ------
CONSTRUCTION MATERIALS
Other Securities (a) ................... 183,416 0.18
------------ ------
CONSUMER FINANCE
Other Securities (a) ................... 528,366 0.53
------------ ------
CONTAINERS & PACKAGING
Packaging Corp. of America (a).......... 16,810 386,798 0.39
Temple-Inland, Inc. .................... 17,421 367,757 0.37
Other Securities (a) ................... 587,553 0.59
------------ ------
1,342,108 1.35
------------ ------
DISTRIBUTORS
Other Securities (a) ................... 73,795 0.07
------------ ------
DIVERSIFIED CONSUMER SERVICES
Service Corp. International............. 41,205 337,469 0.34
Other Securities (a) ................... 473,469 0.48
------------ ------
810,938 0.82
------------ ------
DIVERSIFIED FINANCIAL SERVICES
Other Securities (a) ................... 329,245 0.33
------------ ------
DIVERSIFIED TELECOMMUNICATION SERVICES
Other Securities (a) ................... 504,836 0.51
------------ ------
ELECTRIC UTILITIES
Great Plains Energy, Inc. (a)........... 22,182 430,109 0.43
Other Securities (a) ................... 2,139,259 2.16
------------ ------
2,569,368 2.59
------------ ------
ELECTRICAL EQUIPMENT
Other Securities (a) ................... 1,563,721 1.57
------------ ------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS
Tech Data Corp. (b)..................... 8,247 384,805 0.39
Other Securities (a) ................... 1,242,803 1.25
------------ ------
1,627,608 1.64
------------ ------
ENERGY EQUIPMENT & SERVICES
Other Securities (a) ................... 416,939 0.42
------------ ------
FOOD & STAPLES RETAILING
Other Securities (a) ................... 1,191,925 1.20
------------ ------
FOOD PRODUCTS
Corn Products International, Inc. ...... 12,141 354,881 0.36
Del Monte Foods Co. .................... 32,713 370,965 0.37
Other Securities (a) ................... 1,275,071 1.28
------------ ------
2,000,917 2.01
------------ ------
GAS UTILITIES
Other Securities (a) ................... 1,586,105 1.60
------------ ------
HEALTH CARE EQUIPMENT & SUPPLIES
Other Securities (a) ................... 1,089,282 1.10
------------ ------
HEALTH CARE PROVIDERS & SERVICES
Health Net, Inc. (a)(b)................. 16,980 395,464 0.40
Tenet Healthcare Corp. (b).............. 78,765 424,543 0.43
Other Securities (a) ................... 1,975,983 1.99
------------ ------
2,795,990 2.82
------------ ------
HEALTH CARE TECHNOLOGY
Other Securities (a) ................... 9,647 0.01
------------ ------
</Table>
See accompanying notes to financial statements.
109
SPDR DOW JONES SMALL CAP VALUE ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
HOTELS, RESTAURANTS & LEISURE
Other Securities (a) ................... $ 1,978,532 1.99%
------------ ------
HOUSEHOLD DURABLES
Tupperware Brands Corp. ................ 10,243 477,016 0.48
Other Securities (a) ................... 1,331,379 1.34
------------ ------
1,808,395 1.82
------------ ------
HOUSEHOLD PRODUCTS
Other Securities ...................... 185,020 0.19
------------ ------
INDUSTRIAL CONGLOMERATES
Carlisle Cos., Inc. .................... 10,070 344,998 0.35
Other Securities (a) ................... 228,163 0.23
------------ ------
573,161 0.58
------------ ------
INSURANCE
Arthur J. Gallagher & Co. .............. 16,348 367,994 0.37
Assured Guaranty, Ltd. ................. 20,592 448,082 0.45
Validus Holdings, Ltd. ................. 15,512 417,893 0.42
Other Securities (a) ................... 6,029,743 6.07
------------ ------
7,263,712 7.31
------------ ------
INTERNET & CATALOG RETAIL
Other Securities (a) ................... 17,714 0.02
------------ ------
INTERNET SOFTWARE & SERVICES
Other Securities ...................... 239,179 0.24
------------ ------
IT SERVICES
Other Securities (a) ................... 1,260,733 1.27
------------ ------
LEISURE EQUIPMENT & PRODUCTS
Other Securities (a) ................... 806,602 0.81
------------ ------
LIFE SCIENCES TOOLS & SERVICES
Other Securities (a) ................... 364,072 0.37
------------ ------
MACHINERY
IDEX Corp. ............................. 13,214 411,616 0.41
Kennametal, Inc. (a).................... 13,148 340,796 0.34
Oshkosh Corp. .......................... 14,285 528,974 0.53
Snap-On, Inc. .......................... 9,466 400,033 0.40
Other Securities (a) ................... 2,828,166 2.86
------------ ------
4,509,585 4.54
------------ ------
MARINE
Other Securities (a) ................... 434,908 0.44
------------ ------
MEDIA
Gannett Co., Inc. (a)................... 37,692 559,726 0.56
Other Securities (a) ................... 1,249,366 1.26
------------ ------
1,809,092 1.82
------------ ------
METALS & MINING
Other Securities (a) ................... 1,197,080 1.21
------------ ------
MULTI-UTILITIES
Other Securities (a) ................... 622,935 0.63
------------ ------
MULTILINE RETAIL
Big Lots, Inc. (b)...................... 13,510 391,520 0.39
Other Securities (a) ................... 391,734 0.40
------------ ------
783,254 0.79
------------ ------
OIL, GAS & CONSUMABLE FUELS
Southern Union Co. ..................... 17,123 388,692 0.39
Other Securities (a) ................... 1,379,239 1.39
------------ ------
1,767,931 1.78
------------ ------
PAPER & FOREST PRODUCTS
Other Securities (a) ................... 692,999 0.70
------------ ------
PERSONAL PRODUCTS
Other Securities (a) ................... 340,390 0.34
------------ ------
PHARMACEUTICALS
Other Securities (a) ................... 412,461 0.42
------------ ------
PROFESSIONAL SERVICES
Other Securities (a) ................... 149,976 0.15
------------ ------
REAL ESTATE INVESTMENT TRUSTS
Alexandria Real Estate Equities,
Inc. (a).............................. 7,163 460,509 0.46
Camden Property Trust................... 10,565 447,639 0.45
Chimera Investment Corp. (a)............ 103,163 400,272 0.40
Duke Realty Corp. (a)................... 36,759 447,357 0.45
Essex Property Trust, Inc. (a).......... 4,790 400,683 0.40
Highwoods Properties, Inc. (a).......... 11,629 387,827 0.39
Hospitality Properties Trust............ 20,089 476,310 0.48
Mack-Cali Realty Corp. ................. 12,832 443,602 0.45
Senior Housing Properties Trust......... 20,872 456,471 0.46
SL Green Realty Corp. (a)............... 12,577 631,868 0.64
The Macerich Co. (a).................... 15,386 553,127 0.56
UDR, Inc. (a)........................... 25,138 413,269 0.42
Weingarten Realty Investors............. 19,657 389,012 0.39
Other Securities (a) ................... 9,535,940 9.60
------------ ------
15,443,886 15.55
------------ ------
REAL ESTATE MANAGEMENT & DEVELOPMENT
Other Securities (a) ................... 381,098 0.38
------------ ------
ROAD & RAIL
Other Securities (a) ................... 787,086 0.79
------------ ------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
Other Securities (a) ................... 669,295 0.67
------------ ------
SOFTWARE
Other Securities (a) ................... 1,154,636 1.16
------------ ------
SPECIALTY RETAIL
RadioShack Corp. (a).................... 20,500 399,750 0.40
Signet Jewelers, Ltd. (b)............... 13,961 373,038 0.38
Other Securities (a) ................... 3,049,896 3.07
------------ ------
3,822,684 3.85
------------ ------
TEXTILES, APPAREL & LUXURY GOODS
Hanesbrands, Inc. (a)(b)................ 15,407 371,463 0.37
Phillips-Van Heusen Corp. .............. 8,441 343,380 0.35
Other Securities (a) ................... 1,434,007 1.44
------------ ------
2,148,850 2.16
------------ ------
THRIFTS & MORTGAGE FINANCE
First Niagara Financial Group, Inc. .... 30,031 417,731 0.42
</Table>
See accompanying notes to financial statements.
110
SPDR DOW JONES SMALL CAP VALUE ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
Washington Federal, Inc. (a)............ 18,483 $ 357,461 0.36%
Other Securities (a) ................... 1,326,551 1.34
------------ ------
2,101,743 2.12
------------ ------
TOBACCO
Other Securities (a) ................... 354,617 0.36
------------ ------
TRADING COMPANIES & DISTRIBUTORS
Other Securities (a) ................... 816,523 0.82
------------ ------
WATER UTILITIES
Other Securities (a) ................... 337,338 0.34
------------ ------
WIRELESS TELECOMMUNICATION SERVICES
Other Securities (a) ................... 122,022 0.12
------------ ------
TOTAL COMMON STOCKS --
(Cost $108,720,851)................... 98,956,051 99.65
------------ ------
RIGHTS
BUILDING PRODUCTS
Builders FirstSource, Inc. (a)(b)
(expiring 10/01/14) (Cost $0)......... 1,023 0.00
------------ ------
SHORT TERM INVESTMENTS
MONEY MARKET FUNDS
State Street Institutional Liquid
Reserves Fund (d)..................... 148,330 148,330 0.15
State Street Navigator Securities
Lending Prime Portfolio (d)(e)........ 21,341,361 21,341,361 21.49
------------ ------
TOTAL SHORT TERM
INVESTMENTS -- (Cost $21,489,691)..... 21,489,691 21.64
------------ ------
TOTAL INVESTMENTS (F) (Cost
$130,210,542)......................... 120,446,765 121.29
OTHER ASSETS AND LIABILITIES............ (21,142,724) (21.29)
------------ ------
NET ASSETS.............................. $ 99,304,041 100.00
============ ======
</Table>
Other Securities are those securities, which individually are not one of the 50
largest unaffiliated issuers and which represents less than one percent of the
net assets of the Fund at December 31, 2009.
<Table>
(a) Security, or portion thereof, was on loan at
December 31, 2009.
(b) Non-income producing security.
(c) Security is valued at fair value as determined in
good faith by the Trust's Pricing and Investment
Committee in accordance with procedures approved by
the Board of Trustees. Teton Advisor's Inc. value
is determined based on Level 3 inputs. (Note 2)
(d) Affiliated Fund managed by SSgA Funds Management,
Inc. (Note 3)
(e) Investments of cash collateral for securities
loaned.
(f) Unless otherwise indicated, the values of the
securities of the Fund are determined based on
Level 1 inputs. (Note 2)
</Table>
See accompanying notes to financial statements.
111
SPDR DJ GLOBAL TITANS ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.7%
AUSTRALIA -- 2.1%
BHP Billiton Ltd. ADR (a)............... 27,577 $ 2,111,847
------------
BRAZIL -- 1.0%
Petroleo Brasileiro SA ADR.............. 25,360 1,075,010
------------
FINLAND -- 0.8%
Nokia Oyj ADR (a)....................... 61,738 793,333
------------
FRANCE -- 5.6%
BNP Paribas............................. 16,204 1,299,601
France Telecom SA ADR (a)............... 31,856 804,045
Sanofi-Aventis SA ADR................... 34,914 1,371,073
Total SA ADR............................ 35,967 2,303,327
------------
5,778,046
------------
GERMANY -- 3.5%
Allianz SE.............................. 7,483 935,662
E.ON AG................................. 32,880 1,378,912
Siemens AG ADR.......................... 13,437 1,232,173
------------
3,546,747
------------
ITALY -- 1.0%
Eni SpA ADR............................. 19,947 1,009,518
------------
JAPAN -- 3.1%
Mitsubishi UFJ Financial Group,
Inc. ADR.............................. 227,871 1,121,125
Toyota Motor Corp. ADR.................. 24,477 2,059,985
------------
3,181,110
------------
NETHERLANDS ANTILLES -- 1.2%
Schlumberger, Ltd. ..................... 19,608 1,276,285
------------
SOUTH KOREA -- 1.4%
Samsung Electronics Co., Ltd. GDR *..... 4,028 1,409,800
------------
SPAIN -- 4.0%
Banco Santander SA ADR.................. 134,091 2,204,456
Telefonica SA ADR....................... 22,439 1,874,105
------------
4,078,561
------------
SWITZERLAND -- 6.9%
Nestle SA............................... 60,025 2,914,878
Novartis AG ADR......................... 40,172 2,186,562
Roche Holding AG........................ 11,550 1,964,198
------------
7,065,638
------------
UNITED KINGDOM -- 11.5%
BP PLC ADR.............................. 51,442 2,982,093
GlaxoSmithKline PLC ADR................. 43,040 1,818,440
HSBC Holdings PLC ADR (a)............... 57,250 3,268,402
Royal Dutch Shell PLC ADR............... 29,117 1,750,223
Vodafone Group PLC ADR.................. 86,816 2,004,581
------------
11,823,739
------------
UNITED STATES -- 57.6%
Abbott Laboratories..................... 25,193 1,360,170
Apple, Inc. (b)......................... 14,545 3,066,959
AT&T, Inc. ............................. 97,709 2,738,783
Bank of America Corp. .................. 142,257 2,142,390
Chevron Corp. .......................... 32,976 2,538,822
Cisco Systems, Inc. (b)................. 94,820 2,269,991
ConocoPhillips.......................... 21,340 1,089,834
Exxon Mobil Corp. ...................... 77,932 5,314,183
General Electric Co. ................... 173,650 2,627,325
Google, Inc. (Class A)(b)............... 3,956 2,452,641
Hewlett-Packard Co. .................... 38,952 2,006,418
Intel Corp. ............................ 91,282 1,862,153
International Business Machines Corp. .. 21,665 2,835,948
Johnson & Johnson....................... 45,488 2,929,882
JPMorgan Chase & Co. ................... 64,505 2,687,923
Merck & Co., Inc. ...................... 50,002 1,827,073
Microsoft Corp. ........................ 129,920 3,961,261
Oracle Corp. ........................... 62,898 1,543,517
PepsiCo, Inc. .......................... 25,644 1,559,155
Pfizer, Inc. ........................... 132,486 2,409,920
Philip Morris International, Inc. ...... 31,319 1,509,263
Procter & Gamble Co. ................... 48,144 2,918,971
The Coca-Cola Co. ...................... 34,951 1,992,207
Verizon Communications, Inc. ........... 46,860 1,552,472
Wal-Mart Stores, Inc. .................. 35,947 1,921,367
------------
59,118,628
------------
TOTAL COMMON STOCKS --
(Cost $113,705,205)................... 102,268,262
------------
SHORT TERM INVESTMENTS -- 2.6%
MONEY MARKET FUNDS -- 2.6%
State Street Institutional Liquid
Reserves Fund (c)..................... 70,952 70,952
State Street Navigator Securities
Lending Prime Portfolio (c)(d)........ 2,613,086 2,613,086
------------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $2,684,038)..................... 2,684,038
------------
TOTAL INVESTMENTS -- 102.3% (E)
(Cost $116,389,243)................... 104,952,300
OTHER ASSETS AND
LIABILITIES -- (2.3)%................. (2,311,504)
------------
NET ASSETS -- 100.0%.................... $102,640,796
============
</Table>
<Table>
(a) Security, or portion thereof, was on loan at
December 31, 2009.
(b) Non-income producing security.
(c) Affiliated Fund managed by SSgA Funds Management,
Inc. (Note 3)
(d) Investments of cash collateral for securities
loaned.
(e) Unless otherwise indicated, the values of the
securities of the Fund are determined based on
Level 1 inputs. (Note 2)
</Table>
ADR = American Depositary Receipt
GDR = Global Depositary Receipt
* Security purchased pursuant to Rule 144A of the Securities Act of 1933.
This security, which represents 1.4% of net assets as of December 31, 2009,
is considered liquid and may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
See accompanying notes to financial statements.
112
SPDR DOW JONES REIT ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.6%
DIVERSIFIED REITS -- 9.0%
Colonial Properties Trust (a)........... 321,229 $ 3,768,016
Liberty Property Trust.................. 540,830 17,311,968
PS Business Parks, Inc. ................ 91,014 4,555,251
Vornado Realty Trust (a)................ 872,592 61,029,085
Washington Real Estate Investment
Trust (a)............................. 289,282 7,969,719
--------------
94,634,039
--------------
INDUSTRIAL REITS -- 6.3%
AMB Property Corp. (a).................. 708,226 18,095,174
DCT Industrial Trust, Inc. (a).......... 1,004,102 5,040,592
DuPont Fabros Technology, Inc. (a)...... 202,137 3,636,445
EastGroup Properties, Inc. (a).......... 125,717 4,812,447
First Industrial Realty Trust,
Inc. (a)(b)........................... 260,864 1,364,319
First Potomac Realty Trust (a).......... 145,523 1,829,224
ProLogis (a)............................ 2,292,034 31,377,945
--------------
66,156,146
--------------
OFFICE REITS -- 18.1%
Alexandria Real Estate Equities,
Inc. (a).............................. 210,045 13,503,793
BioMed Realty Trust, Inc. (a)........... 466,534 7,361,906
Boston Properties, Inc. (a)............. 671,297 45,023,890
Brandywine Realty Trust................. 622,620 7,097,868
Corporate Office Properties Trust (a)... 280,958 10,291,492
Cousins Properties, Inc. (a)............ 401,831 3,065,970
Digital Realty Trust, Inc. (a).......... 339,291 17,059,551
Douglas Emmett, Inc. (a)................ 588,126 8,380,795
Duke Realty Corp. (a)................... 1,084,169 13,194,337
Franklin Street Properties Corp. ....... 344,865 5,038,478
Highwoods Properties, Inc. (a).......... 343,199 11,445,687
HRPT Properties Trust (a)............... 1,091,630 7,062,846
Kilroy Realty Corp. (a)................. 208,913 6,407,362
Mack-Cali Realty Corp. (a).............. 379,361 13,114,510
Parkway Properties, Inc. (a)............ 104,061 2,166,550
SL Green Realty Corp. (a)............... 372,171 18,697,871
--------------
188,912,906
--------------
RESIDENTIAL REITS -- 16.1%
American Campus Communities, Inc. (a)... 255,230 7,171,963
Apartment Investment & Management Co.
(Class A) (a)......................... 565,825 9,007,934
Avalonbay Communities, Inc. (a)......... 394,419 32,385,744
BRE Properties, Inc. (a)................ 263,223 8,707,417
Camden Property Trust (a)............... 310,536 13,157,410
Education Realty Trust, Inc. ........... 256,755 1,242,694
Equity Lifestyle Properties, Inc. (a)... 147,080 7,423,128
Equity Residential (a).................. 1,326,450 44,807,481
Essex Property Trust, Inc. (a).......... 141,020 11,796,323
Home Properties, Inc. (a)............... 162,521 7,753,877
Mid-America Apartment Communities,
Inc. (a).............................. 139,787 6,748,917
Post Properties, Inc. (a)............... 234,735 4,600,806
Sun Communities, Inc. (a)............... 83,224 1,643,674
UDR, Inc. (a)........................... 740,062 12,166,619
--------------
168,613,987
--------------
RETAIL REITS -- 23.8%
Acadia Realty Trust (a)................. 192,075 3,240,305
Alexander's, Inc. (a)(b)................ 12,754 3,882,573
CBL & Associates Properties, Inc. ...... 667,712 6,456,775
Cedar Shopping Centers, Inc. (a)........ 251,436 1,709,765
Developers Diversified Realty
Corp. (a)............................. 616,583 5,709,558
Equity One, Inc. ....................... 189,418 3,062,889
Federal Realty Investment Trust (a)..... 295,097 19,983,969
Inland Real Estate Corp. (a)............ 354,851 2,892,035
Kimco Realty Corp. (a).................. 1,945,975 26,329,042
Kite Realty Group Trust (a)............. 305,025 1,241,452
Pennsylvania Real Estate Investment
Trust (a)............................. 216,062 1,827,884
Ramco-Gershenson Properties Trust (a)... 149,148 1,422,872
Regency Centers Corp. (a)............... 427,763 14,997,371
Saul Centers, Inc. ..................... 35,833 1,173,889
Simon Property Group, Inc. (a).......... 1,380,990 110,203,002
Tanger Factory Outlet Centers,
Inc. (a).............................. 192,809 7,517,623
Taubman Centers, Inc. (a)............... 254,758 9,148,360
The Macerich Co. (a).................... 458,338 16,477,251
Weingarten Realty Investors (a)......... 579,209 11,462,546
--------------
248,739,161
--------------
SPECIALIZED REITS -- 26.3%
Ashford Hospitality Trust (a)(b)........ 299,161 1,388,107
DiamondRock Hospitality Co. ............ 572,824 4,851,819
Extra Space Storage, Inc. (a)........... 418,674 4,835,685
FelCor Lodging Trust, Inc. (b).......... 313,740 1,129,464
HCP, Inc. (a)........................... 1,408,523 43,016,292
Health Care REIT, Inc. ................. 595,818 26,406,654
Healthcare Realty Trust, Inc. (a)....... 284,918 6,114,340
Hersha Hospitality Trust................ 272,764 856,479
Hospitality Properties Trust............ 591,498 14,024,418
Host Hotels & Resorts, Inc. (a)(b)...... 3,077,129 35,910,096
LaSalle Hotel Properties (a)............ 306,967 6,516,909
Nationwide Health Properties, Inc. (a).. 543,569 19,122,757
Public Storage.......................... 622,690 50,718,101
Senior Housing Properties Trust......... 614,969 13,449,372
Sovran Self Storage, Inc. .............. 130,366 4,657,977
Sunstone Hotel Investors, Inc. (a)(b)... 460,930 4,093,058
U-Store-It Trust (a).................... 378,486 2,770,518
Universal Health Realty Income Trust.... 53,130 1,701,754
Ventas, Inc. (a)........................ 758,084 33,158,594
--------------
274,722,394
--------------
TOTAL COMMON STOCKS --
(Cost $1,336,944,457)................. 1,041,778,633
--------------
</Table>
See accompanying notes to financial statements.
113
SPDR DOW JONES REIT ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
SHORT TERM INVESTMENTS -- 22.7%
MONEY MARKET FUNDS -- 22.7%
State Street Institutional Liquid
Reserves Fund (c)..................... 1,375,428 $ 1,375,428
State Street Navigator Securities
Lending Prime Portfolio (c)(d)........ 235,536,466 235,536,466
--------------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $236,911,894)................... 236,911,894
--------------
TOTAL INVESTMENTS -- 122.3% (E)
(Cost $1,573,856,351)................. 1,278,690,527
OTHER ASSETS AND
LIABILITIES -- (22.3)%................ (233,361,322)
--------------
NET ASSETS -- 100.0%.................... $1,045,329,205
==============
</Table>
<Table>
(a) Security, or portion thereof, was on loan at
December 31, 2009.
(b) Non-income producing security.
(c) Affiliated Fund managed by SSgA Funds Management,
Inc. (Note 3)
(d) Investments of cash collateral for securities
loaned.
(e) Unless otherwise indicated, the values of the
securities of the Fund are determined based on
Level 1 inputs. (Note 2)
</Table>
REIT = Real Estate Investment Trust
See accompanying notes to financial statements.
114
SPDR KBW BANK ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.9%
ASSET MANAGEMENT & CUSTODY BANKS -- 9.6%
Northern Trust Corp. ................... 349,788 $ 18,328,891
State Street Corp. (a).................. 556,527 24,231,186
The Bank of New York Mellon Corp. ...... 1,252,927 35,044,368
-------------
77,604,445
-------------
CONSUMER FINANCE -- 3.9%
Capital One Financial Corp. ............ 833,589 31,959,802
-------------
DIVERSIFIED BANKS -- 18.2%
Comerica, Inc. (b)...................... 976,282 28,868,659
U.S. Bancorp............................ 2,402,083 54,070,888
Wells Fargo & Co. ...................... 2,372,193 64,025,489
-------------
146,965,036
-------------
OTHER DIVERSIFIED FINANCIAL SERVICES -- 24.2%
Bank of America Corp. .................. 4,862,662 73,231,690
Citigroup, Inc. ........................ 19,364,012 64,094,880
JPMorgan Chase & Co. ................... 1,400,959 58,377,961
-------------
195,704,531
-------------
REGIONAL BANKS -- 40.9%
BB&T Corp. (b).......................... 1,355,965 34,400,832
Commerce Bancshares, Inc. (b)........... 478,122 18,512,884
Cullen/Frost Bankers, Inc. (b).......... 342,388 17,119,400
Fifth Third Bancorp (b)................. 3,282,399 32,003,390
Huntington Bancshares, Inc. (b)......... 7,148,771 26,093,014
Keycorp (b)............................. 3,810,333 21,147,348
M&T Bank Corp. (b)...................... 549,971 36,787,560
Marshall & Ilsley Corp. (b)............. 5,400,749 29,434,082
PNC Financial Services Group, Inc. ..... 583,592 30,807,822
Regions Financial Corp. (b)............. 6,129,162 32,423,267
SunTrust Banks, Inc. (b)................ 1,639,046 33,256,243
Zions Bancorporation (b)................ 1,445,261 18,542,699
-------------
330,528,541
-------------
THRIFTS & MORTGAGE FINANCE -- 3.1%
First Niagara Financial Group,
Inc. (b).............................. 463,065 6,441,234
People's United Financial, Inc. (b)..... 1,127,755 18,833,509
-------------
25,274,743
-------------
TOTAL COMMON STOCKS --
(Cost $1,019,009,850)................. 808,037,098
-------------
SHORT TERM INVESTMENTS -- 13.6%
MONEY MARKET FUNDS -- 13.6%
State Street Institutional Liquid
Reserves Fund (c)..................... 442,884 442,884
State Street Navigator Securities
Lending Prime Portfolio (c)(d)........ 109,558,544 109,558,544
-------------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $110,001,428)................... 110,001,428
-------------
TOTAL INVESTMENTS -- 113.5% (E)
(Cost $1,129,011,278)................. 918,038,526
OTHER ASSETS AND
LIABILITIES -- (13.5)%................ (109,114,247)
-------------
NET ASSETS -- 100.0%.................... $ 808,924,279
=============
</Table>
<Table>
(a) Affiliated issuer. (Note 3)
(b) Security, or portion thereof, was on loan at
December 31, 2009.
(c) Affiliated Fund managed by SSgA Funds Management,
Inc. (Note 3)
(d) Investments of cash collateral for securities
loaned.
(e) Unless otherwise indicated, the values of the
securities of the Fund are determined based on
Level 1 inputs. (Note 2)
</Table>
See accompanying notes to financial statements.
115
SPDR KBW CAPITAL MARKETS ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.9%
ASSET MANAGEMENT & CUSTODY BANKS -- 28.3%
Franklin Resources, Inc. ............... 30,465 $ 3,209,488
Janus Capital Group, Inc. (a)........... 290,672 3,909,539
Legg Mason, Inc. ....................... 113,076 3,410,372
SEI Investments Co. .................... 193,543 3,390,873
State Street Corp. (b).................. 140,771 6,129,169
T. Rowe Price Group, Inc. (a)........... 63,609 3,387,179
------------
23,436,620
------------
INVESTMENT BANKING & BROKERAGE -- 53.3%
Greenhill & Co., Inc. .................. 18,315 1,469,596
Investment Technology Group, Inc. (c)... 102,978 2,028,667
Jefferies Group, Inc. (a)(c)............ 141,151 3,349,513
Knight Capital Group, Inc. (Class
A) (a)(c)............................. 141,723 2,182,534
Lazard, Ltd. (Class A).................. 90,073 3,420,072
Morgan Stanley.......................... 232,881 6,893,278
optionsXpress Holdings, Inc. ........... 174,694 2,699,022
Piper Jaffray Co., Inc. (a)(c).......... 25,182 1,274,461
Raymond James Financial, Inc. (a)....... 145,042 3,447,648
Stifel Financial Corp. (a)(c)........... 35,927 2,128,316
TD Ameritrade Holding Corp. (c)......... 160,780 3,115,916
The Charles Schwab Corp. ............... 287,326 5,407,475
The Goldman Sachs Group, Inc. .......... 39,126 6,606,034
------------
44,022,532
------------
SPECIALIZED FINANCE -- 18.3%
CME Group, Inc. (a)..................... 18,133 6,091,781
Interactive Brokers Group, Inc. (Class
A) (a)(c)............................. 89,584 1,587,429
Intercontinental Exchange, Inc. (c)..... 27,901 3,133,282
NYSE Euronext........................... 101,156 2,559,247
The Nasdaq OMX Group, Inc. (c).......... 89,288 1,769,688
------------
15,141,427
------------
TOTAL COMMON STOCKS --
(Cost $107,873,367)................... 82,600,579
------------
SHORT TERM INVESTMENTS -- 13.0%
MONEY MARKET FUNDS -- 13.0%
State Street Institutional Liquid
Reserves Fund (d)..................... 175,229 175,229
State Street Navigator Securities
Lending Prime Portfolio (d)(e)........ 10,555,072 10,555,072
------------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $10,730,301).................... 10,730,301
------------
TOTAL INVESTMENTS -- 112.9% (F)
(Cost $118,603,668)................... 93,330,880
OTHER ASSETS AND
LIABILITIES -- (12.9)%................ (10,646,098)
------------
NET ASSETS -- 100.0%.................... $ 82,684,782
============
</Table>
<Table>
(a) Security, or portion thereof, was on loan at
December 31, 2009.
(b) Affiliated issuer. (Note 3)
(c) Non-income producing security.
(d) Affiliated Fund managed by SSgA Funds Management,
Inc. (Note 3)
(e) Investments of cash collateral for securities
loaned.
(f) Unless otherwise indicated, the values of the
securities of the Fund are determined based on
Level 1 inputs. (Note 2)
</Table>
See accompanying notes to financial statements.
116
SPDR KBW INSURANCE ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.7%
ASSET MANAGEMENT & CUSTODY BANKS -- 4.0%
Ameriprise Financial, Inc. ............. 154,427 $ 5,994,856
------------
INSURANCE BROKERS -- 6.7%
AON Corp. .............................. 120,673 4,626,603
Marsh & McLennan Cos., Inc. ............ 252,058 5,565,440
------------
10,192,043
------------
LIFE & HEALTH INSURANCE -- 33.8%
AFLAC, Inc. ............................ 247,737 11,457,836
Lincoln National Corp. ................. 257,490 6,406,351
MetLife, Inc. .......................... 308,391 10,901,622
Principal Financial Group, Inc. ........ 257,799 6,197,488
Prudential Financial, Inc. ............. 202,829 10,092,771
Unum Group.............................. 305,424 5,961,877
------------
51,017,945
------------
MULTI-LINE INSURANCE -- 11.5%
Assurant, Inc. ......................... 148,828 4,387,449
Genworth Financial, Inc. (Class A) (a).. 631,168 7,163,757
Hartford Financial Services
Group, Inc. .......................... 250,850 5,834,771
------------
17,385,977
------------
PROPERTY & CASUALTY INSURANCE -- 36.1%
Axis Capital Holdings, Ltd. ............ 184,491 5,241,389
Chubb Corp. ............................ 222,535 10,944,271
Cincinnati Financial Corp. (b).......... 174,759 4,585,676
Fidelity National Financial, Inc.
(Class A)............................. 233,780 3,146,679
MBIA, Inc. (a)(b)....................... 502,728 2,000,857
The Allstate Corp. ..................... 209,812 6,302,753
The Progressive Corp. (a)............... 325,165 5,849,718
The Travelers Cos., Inc. ............... 212,061 10,573,362
XL Capital, Ltd. (Class A).............. 323,414 5,928,179
------------
54,572,884
------------
REINSURANCE -- 4.8%
Arch Capital Group, Ltd. (a)............ 37,357 2,672,894
Everest Re Group, Ltd. ................. 53,034 4,543,953
------------
7,216,847
------------
THRIFTS & MORTGAGE FINANCE -- 2.8%
MGIC Investment Corp. (a)(b)............ 739,556 4,274,634
------------
TOTAL COMMON STOCKS --
(Cost $165,694,122)................... 150,655,186
------------
SHORT TERM INVESTMENTS -- 3.0%
MONEY MARKET FUNDS -- 3.0%
State Street Institutional Liquid
Reserves Fund (c)..................... 172,892 172,892
State Street Navigator Securities
Lending Prime Portfolio (c)(d)........ 4,287,257 4,287,257
------------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $4,460,149)..................... 4,460,149
------------
TOTAL INVESTMENTS -- 102.7% (E)
(Cost $170,154,271)................... 155,115,335
OTHER ASSETS AND
LIABILITIES -- (2.7)%................. (4,075,542)
------------
NET ASSETS -- 100.0%.................... $151,039,793
============
</Table>
<Table>
(a) Non-income producing security.
(b) Security, or portion thereof, was on loan at
December 31, 2009.
(c) Affiliated Fund managed by SSgA Funds Management,
Inc. (Note 3)
(d) Investments of cash collateral for securities
loaned.
(e) Unless otherwise indicated, the values of the
securities of the Fund are determined based on
Level 1 inputs. (Note 2)
</Table>
See accompanying notes to financial statements.
117
SPDR KBW MORTGAGE FINANCE ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.9%
COMMERCIAL BANKS -- 7.2%
Popular, Inc. .......................... 61,744 $ 139,541
United Community Banks, Inc. (a)........ 45,130 152,991
----------
292,532
----------
DIVERSIFIED FINANCIAL SERVICES -- 3.7%
PHH Corp. (a)........................... 9,510 153,206
----------
HOUSEHOLD DURABLES -- 32.7%
D.R. Horton, Inc. ...................... 25,260 274,576
KB HOME................................. 9,504 130,015
Lennar Corp. (Class A).................. 11,103 141,785
M.D.C. Holdings, Inc. .................. 4,685 145,422
Meritage Homes Corp. (a)................ 7,242 139,988
Pulte Homes, Inc. (a)................... 27,161 271,610
Ryland Group, Inc. ..................... 5,285 104,115
Toll Brothers, Inc. (a)................. 7,020 132,046
----------
1,339,557
----------
INSURANCE -- 7.9%
Fidelity National Financial, Inc.
(Class A)............................. 10,821 145,651
First American Corp. ................... 5,334 176,609
----------
322,260
----------
IT SERVICES -- 8.3%
Lender Processing Services, Inc. ....... 8,396 341,381
----------
REAL ESTATE MANAGEMENT & DEVELOPMENT -- 2.5%
Avatar Holdings, Inc. (a)............... 5,884 100,087
----------
THRIFTS & MORTGAGE FINANCE -- 37.6%
Astoria Financial Corp. ................ 10,212 126,935
Capitol Federal Financial............... 3,427 107,814
Hudson City Bancorp, Inc. .............. 21,332 292,888
MGIC Investment Corp. (a)............... 10,656 61,591
NewAlliance Bancshares, Inc. ........... 12,311 147,855
New York Community Bancorp, Inc. ....... 27,822 403,697
Ocwen Financial Corp. (a)............... 15,895 152,115
TFS Financial Corp. .................... 7,472 90,710
Washington Federal, Inc. ............... 8,052 155,726
----------
1,539,331
----------
TOTAL COMMON STOCKS --
(Cost $4,189,549)..................... 4,088,354
----------
SHORT TERM INVESTMENTS -- 0.1%
MONEY MARKET FUNDS -- 0.1%
State Street Institutional Liquid
Reserves Fund (b)
(Cost $4,571)......................... 4,571 4,571
----------
TOTAL INVESTMENTS -- 100.0% (C)
(Cost $4,194,120)..................... 4,092,925
OTHER ASSETS AND
LIABILITIES -- 0.0% (D)............... 62
----------
NET ASSETS -- 100.0%.................... $4,092,987
==========
</Table>
<Table>
(a) Non-income producing security.
(b) Affiliated Fund managed by SSgA Funds Management,
Inc. (Note 3)
(c) Unless otherwise indicated, the values of the
securities of the Fund are determined based on
Level 1 inputs. (Note 2)
(d) Amount represents less then 0.05% of net assets.
</Table>
See accompanying notes to financial statements.
118
SPDR KBW REGIONAL BANKING ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.8%
REGIONAL BANKS -- 92.0%
Associated Ban-Corp. (a)................ 694,036 $ 7,641,336
BancorpSouth, Inc. (a).................. 380,357 8,923,175
Bank of Hawaii Corp. (a)................ 246,629 11,606,361
BOK Financial Corp. .................... 184,998 8,791,105
Boston Private Financial Holdings,
Inc. (a).............................. 1,639,439 9,459,563
Cathay General Bancorp (a).............. 874,188 6,600,119
City Holding Co. (a).................... 267,284 8,641,292
City National Corp. (a)................. 221,027 10,078,831
Columbia Banking System, Inc. (a)....... 550,036 8,899,583
Community Bank System, Inc. (a)......... 472,843 9,130,598
CVB Financial Corp. (a)................. 1,397,601 12,075,273
East West Bancorp, Inc. ................ 565,341 8,932,388
F.N.B. Corp. (a)........................ 1,521,104 10,328,296
First Commonwealth Financial Corp. (a).. 1,121,485 5,214,905
First Financial Bancorp (a)............. 632,198 9,204,803
First Horizon National Corp. (b)........ 591,161 7,921,564
First Midwest Bancorp, Inc. (a)......... 765,861 8,340,226
FirstMerit Corp. ....................... 549,806 11,073,093
Fulton Financial Corp. (a).............. 1,336,003 11,649,946
Glacier Bancorp, Inc. .................. 498,789 6,843,385
Hancock Holding Co. (a)................. 205,586 9,002,611
IBERIABANK Corp. ....................... 164,464 8,849,808
MB Financial, Inc. (a).................. 575,502 11,348,899
National Penn Bancshares, Inc. (a)...... 1,239,143 7,174,638
Old National Bancorp (a)................ 909,587 11,306,166
PacWest Bancorp (a)..................... 554,996 11,183,169
Pinnacle Financial Partners,
Inc. (a)(b)........................... 719,553 10,232,044
PrivateBancorp, Inc. (a)................ 494,028 4,431,431
Prosperity Bancshares, Inc. (a)......... 246,660 9,982,330
S&T Bancorp, Inc. (a)................... 385,627 6,559,515
Signature Bank (b)...................... 334,014 10,655,047
Sterling Bancshares, Inc. (a)........... 1,141,775 5,857,306
Susquehanna Bancshares, Inc. (a)........ 1,090,149 6,420,978
SVB Financial Group (a)(b).............. 262,084 10,926,282
Synovus Financial Corp. (a)............. 4,225,446 8,662,164
TCF Financial Corp. (a)................. 539,796 7,352,022
Texas Capital Bancshares, Inc. (a)(b)... 637,382 8,897,853
Trustmark Corp. (a)..................... 421,454 9,499,573
UMB Financial Corp. .................... 185,135 7,285,062
Umpqua Holdings Corp. (a)............... 796,594 10,682,326
United Bankshares, Inc. (a)............. 359,949 7,188,182
Valley National Bancorp (a)............. 714,300 10,093,059
Westamerica Bancorporation (a).......... 149,085 8,254,836
Whitney Holding Corp. (a)............... 1,043,276 9,504,244
Wilmington Trust Corp. (a).............. 570,678 7,042,166
Wintrust Financial Corp. (a)............ 298,157 9,180,254
-------------
408,927,807
-------------
THRIFTS & MORTGAGE FINANCE -- 7.8%
Brookline Bancorp, Inc. ................ 842,995 8,354,081
Hudson City Bancorp, Inc. .............. 560,385 7,694,086
Provident Financial Services, Inc. ..... 806,985 8,594,390
Webster Financial Corp. (a)............. 842,816 10,004,226
-------------
34,646,783
-------------
TOTAL COMMON STOCKS --
(Cost $575,937,784)................... 443,574,590
-------------
SHORT TERM INVESTMENTS -- 27.5%
MONEY MARKET FUNDS -- 27.5%
State Street Institutional Liquid
Reserves Fund (c)..................... 340,501 340,501
State Street Navigator Securities
Lending Prime Portfolio (c)(d)........ 122,029,837 122,029,837
-------------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $122,370,338)................... 122,370,338
-------------
TOTAL INVESTMENTS -- 127.3% (E)
(Cost $698,308,122)................... 565,944,928
OTHER ASSETS AND
LIABILITIES -- (27.3)%................ (121,248,404)
-------------
NET ASSETS -- 100.0%.................... $ 444,696,524
=============
</Table>
<Table>
(a) Security, or portion thereof, was on loan at
December 31, 2009.
(b) Non-income producing security.
(c) Affiliated Fund managed by SSgA Funds Management,
Inc. (Note 3)
(d) Investments of cash collateral for securities
loaned.
(e) Unless otherwise indicated, the values of the
securities of the Fund are determined based on
Level 1 inputs. (Note 2)
</Table>
See accompanying notes to financial statements.
119
SPDR MORGAN STANLEY TECHNOLOGY ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.9%
COMMUNICATIONS EQUIPMENT -- 17.0%
Cisco Systems, Inc. (a)................. 305,676 $ 7,317,883
Juniper Networks, Inc. (a).............. 273,242 7,287,364
Nokia Oyj ADR (b)....................... 572,754 7,359,889
QUALCOMM, Inc. ......................... 159,991 7,401,184
Research In Motion, Ltd. (a)............ 101,870 6,880,300
Telefonaktiebolaget LM Ericsson (Class
B) ADR (b)............................ 787,910 7,240,893
------------
43,487,513
------------
COMPUTERS & PERIPHERALS -- 20.1%
Apple, Inc. (a)......................... 36,585 7,714,313
Dell, Inc. (a).......................... 518,957 7,452,222
EMC Corp. (a)........................... 411,225 7,184,101
Hewlett-Packard Co. .................... 138,464 7,132,281
International Business Machines Corp. .. 55,743 7,296,759
NetApp, Inc. (a)........................ 214,575 7,379,234
Sun Microsystems, Inc. (a).............. 764,232 7,160,854
------------
51,319,764
------------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.9%
Flextronics International, Ltd. (a)..... 1,011,398 7,393,319
------------
HOUSEHOLD DURABLES -- 2.8%
Sony Corp, ADR.......................... 249,000 7,221,000
------------
INTERNET & CATALOG RETAIL -- 2.9%
Amazon.com, Inc. (a).................... 55,374 7,448,910
------------
INTERNET SOFTWARE & SERVICES -- 8.7%
eBay, Inc. (a).......................... 314,578 7,405,166
Google, Inc. (Class A) (a).............. 11,988 7,432,320
Yahoo!, Inc. (a)(b)..................... 441,815 7,413,656
------------
22,251,142
------------
IT SERVICES -- 8.4%
Accenture PLC (Class A)................. 172,373 7,153,479
Automatic Data Processing, Inc. ........ 168,352 7,208,833
Infosys Technologies, Ltd. ADR.......... 130,357 7,204,831
------------
21,567,143
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 17.3%
Analog Devices, Inc. ................... 230,570 7,281,401
Applied Materials, Inc. ................ 524,308 7,308,854
Broadcom Corp. (Class A) (a)............ 226,240 7,115,248
Intel Corp. ............................ 363,810 7,421,724
NVIDIA Corp. (a)........................ 423,930 7,919,012
Texas Instruments, Inc. ................ 280,118 7,299,875
------------
44,346,114
------------
SOFTWARE -- 19.8%
Activision Blizzard, Inc. (a)........... 644,690 7,162,506
Adobe Systems, Inc. (a)................. 190,995 7,024,796
Intuit, Inc. (a)........................ 233,611 7,174,194
Microsoft Corp. ........................ 235,779 7,188,902
Oracle Corp. ........................... 292,991 7,189,999
Salesforce.com, Inc. (a)(b)............. 105,067 7,750,792
SAP AG ADR.............................. 153,891 7,203,638
------------
50,694,827
------------
TOTAL COMMON STOCKS --
(Cost $240,651,022)................... 255,729,732
------------
SHORT TERM INVESTMENTS -- 4.3%
MONEY MARKET FUNDS -- 4.3%
State Street Institutional Liquid
Reserves Fund (c)..................... 362,970 362,970
State Street Navigator Securities
Lending Prime Portfolio (c)(d)........ 10,772,745 10,772,745
------------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $11,135,715).................... 11,135,715
------------
TOTAL INVESTMENTS -- 104.2% (E)
(Cost $251,786,737)................... 266,865,447
------------
OTHER ASSETS AND
LIABILITIES -- (4.2)%................. (10,822,308)
------------
NET ASSETS -- 100.0%.................... $256,043,139
============
</Table>
<Table>
(a) Non-income producing security.
(b) Security, or portion thereof, was on loan at
December 31, 2009.
(c) Affiliated Fund managed by SSgA Funds Management,
Inc. (Note 3)
(d) Investment of cash collateral for securities
loaned.
(e) Unless otherwise indicated, the values of the
securities of the Fund are determined based on
Level 1 inputs. (Note 2)
</Table>
ADR = American Depositary Receipt.
See accompanying notes to financial statements.
120
SPDR S&P DIVIDEND ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.7%
BEVERAGES -- 4.4%
Brown-Forman Corp. (Class B) (a)........ 307,832 $ 16,490,560
PepsiCo, Inc. .......................... 308,786 18,774,189
The Coca-Cola Co. ...................... 339,712 19,363,584
--------------
54,628,333
--------------
CAPITAL MARKETS -- 1.2%
Eaton Vance Corp. (a)................... 491,562 14,948,400
--------------
CHEMICALS -- 6.7%
Air Products & Chemicals, Inc. ......... 181,715 14,729,818
PPG Industries, Inc. ................... 413,036 24,179,127
RPM International, Inc. (a)............. 1,395,199 28,364,396
The Valspar Corp. (a)................... 580,884 15,765,192
--------------
83,038,533
--------------
COMMERCIAL BANKS -- 1.3%
Commerce Bancshares, Inc. .............. 422,660 16,365,395
--------------
COMMERCIAL SERVICES & SUPPLIES -- 5.0%
ABM Industries, Inc. (a)................ 927,811 19,168,575
Pitney Bowes, Inc. (a).................. 1,859,102 42,313,162
--------------
61,481,737
--------------
COMPUTERS & PERIPHERALS -- 2.4%
Diebold, Inc. (a)....................... 1,055,997 30,043,115
--------------
CONTAINERS & PACKAGING -- 3.8%
Bemis Co., Inc. ........................ 688,880 20,425,292
Sonoco Products Co. .................... 892,841 26,115,599
--------------
46,540,891
--------------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 3.2%
CenturyTel, Inc. (a).................... 1,102,403 39,918,013
--------------
ELECTRICAL EQUIPMENT -- 1.8%
Emerson Electric Co. ................... 528,385 22,509,201
--------------
FOOD & STAPLES RETAILING -- 2.5%
SUPERVALU, Inc. (a)..................... 2,403,313 30,546,108
--------------
FOOD PRODUCTS -- 1.2%
Hormel Foods Corp. ..................... 393,784 15,140,995
--------------
GAS UTILITIES -- 9.2%
National Fuel Gas Co. (a)............... 407,416 20,370,800
Northwest Natural Gas Co. (a)........... 596,733 26,876,854
Piedmont Natural Gas Co., Inc. (a)...... 1,259,389 33,688,656
WGL Holdings, Inc. (a).................. 977,639 32,790,012
--------------
113,726,322
--------------
HEALTH CARE EQUIPMENT & SUPPLIES -- 1.5%
Teleflex, Inc. (a)...................... 336,922 18,156,727
--------------
HOTELS, RESTAURANTS & LEISURE -- 1.9%
McDonald's Corp. ....................... 385,047 24,042,335
--------------
HOUSEHOLD DURABLES -- 3.0%
Leggett & Platt, Inc. (a)............... 1,835,821 37,450,748
--------------
HOUSEHOLD PRODUCTS -- 5.3%
Kimberly-Clark Corp. ................... 382,652 24,378,759
Procter & Gamble Co. ................... 309,792 18,782,689
The Clorox Co. ......................... 372,682 22,733,602
--------------
65,895,050
--------------
INDUSTRIAL CONGLOMERATES -- 1.6%
3M Co. ................................. 231,876 19,169,189
--------------
INSURANCE -- 7.7%
AFLAC, Inc. ............................ 364,796 16,871,815
Chubb Corp. (a)......................... 391,336 19,245,905
Cincinnati Financial Corp. (a).......... 1,671,880 43,870,131
RLI Corp. (a)........................... 280,600 14,941,950
--------------
94,929,801
--------------
IT SERVICES -- 1.7%
Automatic Data Processing, Inc. ........ 489,123 20,944,247
--------------
MACHINERY -- 4.3%
Dover Corp. ............................ 415,514 17,289,538
Pentair, Inc. (a)....................... 517,708 16,721,968
The Stanley Works (a)................... 381,967 19,675,120
--------------
53,686,626
--------------
MEDIA -- 1.7%
The McGraw-Hill Cos., Inc. (a).......... 632,606 21,198,627
--------------
MULTI-UTILITIES -- 13.8%
Black Hills Corp. (a)................... 1,647,614 43,875,961
Consolidated Edison, Inc. (a)........... 849,494 38,592,512
Integrys Energy Group, Inc. (a)......... 1,164,587 48,901,008
Vectren Corp. (a)....................... 1,619,620 39,972,222
--------------
171,341,703
--------------
OIL, GAS & CONSUMABLE FUELS -- 1.2%
Exxon Mobil Corp. ...................... 207,948 14,179,974
--------------
PHARMACEUTICALS -- 6.2%
Abbott Laboratories..................... 375,164 20,255,104
Eli Lilly & Co. (a)..................... 986,983 35,245,163
Johnson & Johnson....................... 332,208 21,397,517
--------------
76,897,784
--------------
SPECIALTY RETAIL -- 1.3%
The Sherwin-Williams Co. (a)............ 256,028 15,784,126
--------------
TEXTILES, APPAREL & LUXURY GOODS -- 1.9%
V. F. Corp. ............................ 313,691 22,974,729
--------------
TOBACCO -- 2.2%
Universal Corp. (a)..................... 607,152 27,692,203
--------------
WATER UTILITIES -- 1.7%
American States Water Co. (a)........... 599,445 21,226,347
--------------
TOTAL COMMON STOCKS --
(Cost $1,101,826,547)................. 1,234,457,259
--------------
</Table>
See accompanying notes to financial statements.
121
SPDR S&P DIVIDEND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
SHORT TERM INVESTMENTS -- 14.6%
MONEY MARKET FUNDS -- 14.6%
State Street Institutional Liquid
Reserves Fund (b)..................... 1,705,274 $ 1,705,274
State Street Navigator Securities
Lending Prime Portfolio (b)(c)........ 179,515,594 179,515,594
--------------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $181,220,868)................... 181,220,868
--------------
TOTAL INVESTMENTS -- 114.3% (D)
(Cost $1,283,047,415)................. 1,415,678,127
OTHER ASSETS AND
LIABILITIES -- (14.3)%................ (177,334,927)
--------------
NET ASSETS -- 100.0%.................... $1,238,343,200
==============
</Table>
<Table>
(a) Security, or portion thereof, was on loan at
December 31, 2009.
(b) Affiliated Fund managed by SSgA Funds Management,
Inc. (Note 3)
(c) Investments of cash collateral for securities
loaned.
(d) Unless otherwise indicated, the values of the
securities of the Fund are determined based on
Level 1 inputs. (Note 2)
</Table>
See accompanying notes to financial statements.
122
SPDR S&P BIOTECH ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.9%
BIOTECHNOLOGY -- 99.9%
Acorda Therapeutics, Inc. (a)........... 602,955 $ 15,206,525
Alexion Pharmaceuticals, Inc. (a)....... 312,230 15,243,069
Alkermes, Inc. (b)...................... 1,652,100 15,546,261
Amgen, Inc. (a)......................... 259,405 14,674,541
Amylin Pharmaceuticals, Inc. (a)(b)..... 1,044,632 14,823,328
Biogen Idec, Inc. (a)(b)................ 300,163 16,058,720
BioMarin Pharmaceutical, Inc. (a)(b).... 852,091 16,027,832
Celgene Corp. (a)....................... 276,822 15,413,449
Cephalon, Inc. (a)(b)................... 247,784 15,464,199
Cubist Pharmaceuticals, Inc. (a)........ 803,351 15,239,568
Dendreon Corp. (a)(b)................... 577,031 15,164,375
Exelixis, Inc. (a)(b)................... 1,909,058 14,069,757
Genzyme Corp. (a)....................... 293,625 14,390,561
Gilead Sciences, Inc. (a)............... 314,574 13,614,763
Human Genome Sciences, Inc. (a)(b)...... 519,321 15,891,223
Incyte Corp. (a)(b)..................... 1,820,957 16,588,918
Isis Pharmaceuticals, Inc. (a)(b)....... 1,463,327 16,242,930
Medivation, Inc. (a)(b)................. 424,406 15,978,886
Myriad Genetics, Inc. (a)............... 600,738 15,679,262
Onyx Pharmaceuticals, Inc. (a)(b)....... 488,611 14,335,847
OSI Pharmaceuticals, Inc. (a)(b)........ 420,285 13,041,444
Regeneron Pharmaceuticals, Inc. (a)..... 770,267 18,625,056
Savient Pharmaceuticals, Inc. (a)....... 1,145,468 15,589,819
Seattle Genetics, Inc. (a)(b)........... 1,670,995 16,977,309
United Therapeutics Corp. (a)(b)........ 312,683 16,462,760
Vertex Pharmaceuticals, Inc. (a)(b)..... 366,001 15,683,143
------------
402,033,545
------------
TOTAL COMMON STOCKS --
(Cost $422,489,943)................... 402,033,545
------------
SHORT TERM INVESTMENTS -- 21.4%
MONEY MARKET FUNDS -- 21.4%
State Street Institutional Liquid
Reserves Fund (c)..................... 100 100
State Street Navigator Securities
Lending Prime Portfolio (c)(d)........ 85,959,309 85,959,309
------------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $85,959,409).................... 85,959,409
------------
TOTAL INVESTMENTS -- 121.3% (E)
(Cost $508,449,352)................... 487,992,954
OTHER ASSETS AND
LIABILITIES -- (21.3)%................ (85,775,832)
------------
NET ASSETS -- 100.0%.................... $402,217,122
============
</Table>
<Table>
(a) Non-income producing security.
(b) Security, or portion thereof, was on loan at
December 31, 2009.
(c) Affiliated Fund managed by SSgA Funds Management,
Inc. (Note 3)
(d) Investments of cash collateral for securities
loaned.
(e) Unless otherwise indicated, the values of the
securities of the Fund are determined based on
Level 1 inputs. (Note 2)
</Table>
See accompanying notes to financial statements.
123
SPDR S&P HOMEBUILDERS ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.9%
BUILDING PRODUCTS -- 34.5%
Ameron International Corp. (a).......... 451,586 $ 28,657,648
Armstrong World Industries,
Inc. (a)(b)........................... 631,979 24,602,942
Lennox International, Inc. (a).......... 677,777 26,460,414
Masco Corp. (a)......................... 1,876,854 25,919,354
Owens Corning, Inc. (a)(b).............. 1,027,585 26,347,279
Quanex Building Products Corp. (a)...... 1,475,953 25,046,922
Simpson Manufacturing Co., Inc. (a)..... 1,051,284 28,269,027
Universal Forest Products, Inc. (a)..... 683,675 25,166,077
USG Corp. (a)(b)........................ 1,832,238 25,742,944
-------------
236,212,607
-------------
HOME FURNISHINGS -- 11.3%
Leggett & Platt, Inc. (a)............... 1,255,827 25,618,871
Mohawk Industries, Inc. (a)(b).......... 551,170 26,235,692
Tempur-Pedic International,
Inc. (a)(b)........................... 1,085,836 25,658,305
-------------
77,512,868
-------------
HOME FURNISHING RETAIL -- 11.0%
Aaron's, Inc. (a)....................... 923,100 25,597,563
Bed Bath & Beyond, Inc. (a)(b).......... 665,885 25,723,137
Williams-Sonoma, Inc. (a)............... 1,157,510 24,053,058
-------------
75,373,758
-------------
HOME IMPROVEMENT RETAIL -- 11.0%
Lowe's Cos., Inc. ...................... 1,064,975 24,909,766
The Home Depot, Inc. ................... 892,600 25,822,918
The Sherwin-Williams Co. (a)............ 405,291 24,986,190
-------------
75,718,874
-------------
HOMEBUILDING -- 32.1%
D.R. Horton, Inc. (a)................... 2,579,190 28,035,795
KB HOME (a)............................. 1,916,486 26,217,529
Lennar Corp. (Class A).................. 2,146,126 27,406,029
M.D.C. Holdings, Inc. (a)............... 882,415 27,390,162
NVR, Inc. (a)(b)........................ 38,857 27,616,058
Pulte Homes, Inc. (a)(b)................ 2,880,144 28,801,440
Ryland Group, Inc. (a).................. 1,405,086 27,680,194
Toll Brothers, Inc. (a)(b).............. 1,427,873 26,858,291
-------------
220,005,498
-------------
TOTAL COMMON STOCKS --
(Cost $697,266,312)................... 684,823,605
-------------
SHORT TERM INVESTMENTS -- 28.3%
MONEY MARKET FUNDS -- 28.3%
State Street Institutional Liquid
Reserves Fund (c)..................... 281,697 281,697
State Street Navigator Securities
Lending Prime Portfolio (c)(d)........ 193,779,554 193,779,554
-------------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $194,061,251)................... 194,061,251
-------------
TOTAL INVESTMENTS -- 128.2% (E)
(Cost $891,327,563)................... 878,884,856
OTHER ASSETS AND
LIABILITIES -- (28.2)%................ (193,449,686)
-------------
NET ASSETS -- 100.0%.................... $ 685,435,170
=============
</Table>
<Table>
(a) Security, or portion thereof, was on loan at
December 31, 2009.
(b) Non-income producing security.
(c) Affiliated Fund managed by SSgA Funds Management,
Inc.
(Note 3)
(d) Investments of cash collateral for securities
loaned.
(e) Unless otherwise indicated, the values of the
securities of the Fund are determined based on
Level 1 inputs. (Note 2)
</Table>
See accompanying notes to financial statements.
124
SPDR S&P METALS & MINING ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.8%
ALUMINUM -- 4.2%
Alcoa, Inc. (a)......................... 2,314,327 $ 37,306,951
--------------
COAL & CONSUMABLE FUELS -- 25.3%
Alpha Natural Resources, Inc. (b)....... 857,320 37,190,542
Arch Coal, Inc. (a)..................... 1,646,986 36,645,438
CONSOL Energy, Inc. .................... 766,878 38,190,524
Massey Energy Co. (a)................... 892,127 37,478,255
Patriot Coal Corp. (a)(b)............... 2,629,198 40,647,401
Peabody Energy Corp. ................... 796,117 35,992,450
--------------
226,144,610
--------------
DIVERSIFIED METALS & MINING -- 16.2%
Compass Minerals International,
Inc. (a).............................. 500,151 33,605,146
Freeport-McMoRan Copper & Gold,
Inc. (b).............................. 440,149 35,339,563
Titanium Metals Corp. (b)............... 3,198,781 40,048,738
Walter Energy, Inc. .................... 470,954 35,467,546
--------------
144,460,993
--------------
GOLD -- 7.0%
Newmont Mining Corp. ................... 660,606 31,253,270
Royal Gold, Inc. (a).................... 675,202 31,802,014
--------------
63,055,284
--------------
PRECIOUS METALS & MINERALS -- 7.1%
Coeur d'Alene Mines Corp. (a)(b)........ 1,751,879 31,638,935
Hecla Mining Co. (a)(b)................. 5,193,753 32,097,393
--------------
63,736,328
--------------
STEEL -- 40.0%
AK Steel Holding Corp. ................. 1,647,680 35,177,968
Allegheny Technologies, Inc. (a)........ 929,364 41,607,626
Carpenter Technology Corp. ............. 1,296,940 34,952,533
Cliffs Natural Resources, Inc. (a)...... 784,457 36,155,623
Commercial Metals Co. .................. 1,997,151 31,255,413
Nucor Corp. ............................ 800,238 37,331,103
Reliance Steel & Aluminum Co. .......... 800,673 34,605,087
Schnitzer Steel Industries, Inc.
(Class A)(a).......................... 709,567 33,846,346
Steel Dynamics, Inc. ................... 1,855,729 32,883,518
United States Steel Corp. (a)........... 717,238 39,534,159
--------------
357,349,376
--------------
TOTAL COMMON STOCKS --
(Cost $824,657,483)................... 892,053,542
--------------
SHORT TERM INVESTMENTS -- 14.8%
MONEY MARKET FUNDS -- 14.8%
State Street Institutional Liquid
Reserves Fund (c)..................... 880,772 880,772
State Street Navigator Securities
Lending Prime Portfolio (c)(d)........ 131,029,305 131,029,305
--------------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $131,910,077)................... 131,910,077
--------------
TOTAL INVESTMENTS -- 114.6% (E)
(Cost $956,567,560)................... 1,023,963,619
OTHER ASSETS AND
LIABILITIES -- (14.6)%................ (130,683,643)
--------------
NET ASSETS -- 100.0%.................... $ 893,279,976
==============
</Table>
<Table>
(a) Security, or portion thereof, was on loan at
December 31, 2009.
(b) Non-income producing security.
(c) Affiliated Fund managed by SSgA Funds Management,
Inc. (Note 3)
(d) Investments of cash collateral for securities
loaned.
(e) Unless otherwise indicated, the values of the
securities of the Fund are determined based on
Level 1 inputs. (Note 2)
</Table>
See accompanying notes to financial statements.
125
SPDR S&P OIL & GAS EQUIPMENT & SERVICES ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.9%
OIL & GAS DRILLING -- 32.7%
Atwood Oceanics, Inc. (a)(b)............ 350,745 $ 12,574,208
Diamond Offshore Drilling, Inc. (b)..... 125,498 12,351,513
Helmerich & Payne, Inc. (b)............. 314,957 12,560,485
Nabors Industries, Ltd. (a)(b).......... 594,543 13,014,546
Patterson-UTI Energy, Inc. (b).......... 793,830 12,185,291
Pride International, Inc. (a)(b)........ 381,084 12,160,390
Rowan Cos., Inc. (a).................... 520,209 11,777,532
Unit Corp. (a)(b)....................... 303,580 12,902,150
------------
99,526,115
------------
OIL & GAS EQUIPMENT & SERVICES -- 67.2%
Baker Hughes, Inc. (b).................. 306,855 12,421,490
BJ Services Co. ........................ 661,100 12,296,460
Cameron International Corp. (a)......... 317,680 13,279,024
Dresser-Rand Group, Inc. (a)............ 410,378 12,972,049
Dril-Quip, Inc. (a)..................... 228,202 12,888,849
Exterran Holdings, Inc. (a)(b).......... 581,108 12,464,767
FMC Technologies, Inc. (a)(b)........... 221,295 12,799,703
Halliburton Co. ........................ 428,913 12,905,992
National-Oilwell Varco, Inc. ........... 274,380 12,097,414
Oceaneering International, Inc. (a)..... 221,784 12,978,800
Oil States International, Inc. (a)(b)... 336,587 13,224,503
Schlumberger, Ltd. ..................... 196,470 12,788,232
SEACOR Holdings, Inc. (a)(b)............ 162,768 12,411,060
Smith International, Inc. (b)........... 458,461 12,456,385
Superior Energy Services, Inc. (a)...... 550,588 13,373,783
Tidewater, Inc. (b)..................... 272,883 13,084,740
------------
204,443,251
------------
TOTAL COMMON STOCKS --
(Cost $290,323,430)................... 303,969,366
------------
SHORT TERM INVESTMENTS -- 13.6%
MONEY MARKET FUNDS -- 13.6%
State Street Institutional Liquid
Reserves Fund (c)..................... 212,256 212,256
State Street Navigator Securities
Lending Prime Portfolio (c)(d)........ 41,222,229 41,222,229
------------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $41,434,485).................... 41,434,485
------------
TOTAL INVESTMENTS -- 113.5% (E)
(Cost $331,757,915)................... 345,403,851
OTHER ASSETS AND
LIABILITIES -- (13.5)%................ (41,178,464)
------------
NET ASSETS -- 100.0%.................... $304,225,387
============
</Table>
<Table>
(a) Non-income producing security.
(b) Security, or portion thereof, was on loan at
December 31, 2009.
(c) Affiliated Fund managed by SSgA Funds Management,
Inc. (Note 3)
(d) Investments of cash collateral for securities
loaned.
(e) Unless otherwise indicated, the values of the
securities of the Fund are determined based on
Level 1 inputs. (Note 2)
</Table>
See accompanying notes to financial statements.
126
SPDR S&P OIL & GAS EXPLORATION & PRODUCTION ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.9%
INTEGRATED OIL & GAS -- 11.2%
Chevron Corp. .......................... 151,125 $ 11,635,114
ConocoPhillips.......................... 230,838 11,788,896
Exxon Mobil Corp. ...................... 161,451 11,009,344
Occidental Petroleum Corp. ............. 154,654 12,581,103
------------
47,014,457
------------
OIL & GAS EXPLORATION & PRODUCTION -- 71.3%
Anadarko Petroleum Corp. ............... 202,634 12,648,414
Apache Corp. ........................... 124,239 12,817,738
Cabot Oil & Gas Corp. .................. 306,566 13,363,212
Chesapeake Energy Corp. ................ 510,335 13,207,470
Cimarex Energy Co. (a).................. 247,115 13,089,682
Concho Resources, Inc. (b).............. 284,891 12,791,606
Denbury Resources, Inc. (b)............. 882,427 13,059,920
Devon Energy Corp. ..................... 183,939 13,519,516
Encore Acquisition Co. (b).............. 256,318 12,308,390
EOG Resources, Inc. .................... 136,554 13,286,704
EXCO Resources, Inc. ................... 613,421 13,022,928
Forest Oil Corp. (a)(b)................. 584,716 13,009,931
Newfield Exploration Co. (b)............ 285,461 13,767,784
Noble Energy, Inc. ..................... 176,756 12,588,562
Petrohawk Energy Corp. (b).............. 530,106 12,717,243
Pioneer Natural Resources Co. (a)....... 288,463 13,895,263
Plains Exploration & Production
Co. (b)............................... 447,960 12,390,574
Range Resources Corp. (a)............... 270,939 13,506,309
Southwestern Energy Co. (b)............. 283,589 13,668,990
St. Mary Land & Exploration Co. ........ 353,527 12,104,764
Ultra Petroleum Corp. (b)............... 252,355 12,582,420
Whiting Petroleum Corp. (a)(b).......... 184,604 13,189,956
XTO Energy, Inc. ....................... 283,268 13,180,460
------------
299,717,836
------------
OIL & GAS REFINING & MARKETING -- 17.4%
Frontier Oil Corp. ..................... 1,024,734 12,337,797
Holly Corp. (a)......................... 476,446 12,211,311
Sunoco, Inc. (a)........................ 449,754 11,738,580
Tesoro Corp. (a)........................ 913,191 12,373,738
Valero Energy Corp. .................... 707,659 11,853,288
World Fuel Services Corp. (a)........... 465,504 12,470,852
------------
72,985,566
------------
TOTAL COMMON STOCKS --
(Cost $447,271,309)................... 419,717,859
------------
SHORT TERM INVESTMENTS -- 9.6%
MONEY MARKET FUNDS -- 9.6%
State Street Institutional Liquid
Reserves Fund (c)..................... 187,768 187,768
State Street Navigator Securities
Lending Prime Portfolio (c)(d)........ 40,270,878 40,270,878
------------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $40,458,646).................... 40,458,646
------------
TOTAL INVESTMENTS -- 109.5% (E)
(Cost $487,729,955)................... 460,176,505
OTHER ASSETS AND
LIABILITIES -- (9.5)%................. (40,111,895)
------------
NET ASSETS -- 100.0%.................... $420,064,610
============
</Table>
<Table>
(a) Security, or portion thereof, was on loan at
December 31, 2009.
(b) Non-income producing security.
(c) Affiliated Fund managed by SSgA Funds Management,
Inc.
(Note 3)
(d) Investments of cash collateral for securities
loaned.
(e) Unless otherwise indicated, the values of the
securities of the Fund are determined based on
Level 1 inputs. (Note 2)
</Table>
See accompanying notes to financial statements.
127
SPDR S&P PHARMACEUTICALS ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.9%
PHARMACEUTICALS -- 99.9%
Abbott Laboratories (a)................. 50,537 $ 2,728,493
Allergan, Inc. (a)...................... 45,017 2,836,521
Auxilium Pharmaceuticals, Inc. (a)(b)... 83,558 2,505,069
Bristol-Myers Squibb Co. (a)............ 105,321 2,659,355
Eli Lilly & Co. (a)..................... 77,704 2,774,810
Endo Pharmaceuticals Holdings,
Inc. (b).............................. 136,892 2,807,655
Forest Laboratories, Inc. (a)(b)........ 86,787 2,786,731
Impax Laboratories, Inc. (b)............ 216,176 2,939,994
Johnson & Johnson....................... 41,902 2,698,908
King Pharmaceuticals, Inc. (a)(b)....... 234,048 2,871,769
Medicis Pharmaceutical Corp. (Class
A) (a)................................ 110,011 2,975,797
Merck & Co., Inc. ...................... 73,301 2,678,418
Mylan, Inc. (a)(b)...................... 146,722 2,704,086
Nektar Therapeutics (a)(b).............. 295,360 2,752,755
Par Pharmaceutical Cos., Inc. (a)(b).... 110,684 2,995,109
Perrigo Co. (a)......................... 68,620 2,733,821
Pfizer, Inc. ........................... 148,486 2,700,960
Salix Pharmaceuticals, Ltd. (a)(b)...... 117,887 2,994,330
Valeant Pharmaceuticals
International (a)(b).................. 86,209 2,740,584
ViroPharma, Inc. (a)(b)................. 352,898 2,960,814
VIVUS, Inc. (a)(b)...................... 318,188 2,924,148
Watson Pharmaceuticals, Inc. (b)........ 70,984 2,811,676
XenoPort, Inc. (a)(b)................... 168,255 3,122,813
------------
TOTAL COMMON STOCKS --
(Cost $54,034,592).................... 64,704,616
------------
SHORT TERM INVESTMENTS -- 26.6%
MONEY MARKET FUNDS -- 26.6%
State Street Institutional Liquid
Reserves Fund (c)..................... 5,307 5,307
State Street Navigator Securities
Lending Prime Portfolio (c)(d)........ 17,229,650 17,229,650
------------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $17,234,957).................... 17,234,957
------------
TOTAL INVESTMENTS -- 126.5% (E)
(Cost $71,269,549).................... 81,939,573
OTHER ASSETS AND
LIABILITIES -- (26.5)%................ (17,178,273)
------------
NET ASSETS -- 100.0%.................... $ 64,761,300
============
</Table>
<Table>
(a) Security, or portion thereof, was on loan at
December 31, 2009.
(b) Non-income producing security.
(c) Affiliated Fund managed by SSgA Funds Management,
Inc. (Note 3)
(d) Investments of cash collateral for securities
loaned.
(e) Unless otherwise indicated, the values of the
securities of the Fund are determined based on
Level 1 inputs. (Note 2)
</Table>
See accompanying notes to financial statements.
128
SPDR S&P RETAIL ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.9%
APPAREL RETAIL -- 32.5%
Abercrombie & Fitch Co. (Class A) (a)... 195,811 $ 6,824,013
Aeropostale, Inc. (a)(b)................ 215,555 7,339,648
American Eagle Outfitters, Inc. ........ 425,428 7,223,767
AnnTaylor Stores Corp. (b).............. 438,730 5,984,277
Chico's FAS, Inc. (b)................... 494,004 6,940,756
Collective Brands, Inc. (b)............. 303,039 6,900,198
Foot Locker, Inc. (a)................... 710,411 7,913,979
Guess ?, Inc. .......................... 154,506 6,535,604
Gymboree Corp. (a)(b)................... 165,520 7,198,465
J. Crew Group, Inc. (b)................. 153,048 6,847,368
Jos. A. Bank Clothiers, Inc. (a)(b)..... 171,030 7,215,756
Limited Brands, Inc. (a)................ 369,753 7,114,048
Ross Stores, Inc. (a)................... 158,275 6,759,925
The Buckle, Inc. (a).................... 243,651 7,134,101
The Children's Place Retail Stores,
Inc. (a)(b)........................... 236,640 7,811,486
The Dress Barn, Inc. (b)................ 326,990 7,553,469
The Gap, Inc. (a)....................... 321,313 6,731,507
The Mens Wearhouse, Inc. (a)............ 326,990 6,886,409
The TJX Cos., Inc. ..................... 184,399 6,739,784
Urban Outfitters, Inc. (a)(b)........... 205,105 7,176,624
-------------
140,831,184
-------------
AUTOMOTIVE RETAIL -- 11.5%
Advance Auto Parts, Inc. ............... 170,766 6,912,608
AutoNation, Inc. (a)(b)................. 375,852 7,197,566
AutoZone, Inc. (b)...................... 44,223 6,990,329
CarMax, Inc. (a)(b)..................... 328,599 7,968,526
Group 1 Automotive, Inc. (a)(b)......... 253,639 7,190,666
O'Reilly Automotive, Inc. (b)........... 183,661 7,001,157
Penske Automotive Group, Inc. (a)(b).... 428,484 6,504,387
-------------
49,765,239
-------------
CATALOG RETAIL -- 1.8%
HSN, Inc. (a)(b)........................ 384,152 7,756,029
-------------
COMPUTER & ELECTRONICS RETAIL -- 4.6%
Best Buy Co., Inc. (a).................. 155,469 6,134,807
GameStop Corp. (Class A) (a)(b)......... 317,498 6,965,906
RadioShack Corp. (a).................... 354,203 6,906,958
-------------
20,007,671
-------------
DEPARTMENT STORES -- 8.0%
J. C. Penney Co., Inc. (a).............. 241,037 6,413,995
Kohl's Corp. (b)........................ 124,023 6,688,560
Macy's, Inc. ........................... 405,215 6,791,403
Nordstrom, Inc. (a)..................... 191,305 7,189,242
Sears Holdings Corp. (a)(b)............. 92,817 7,745,579
-------------
34,828,779
-------------
DRUG RETAIL -- 3.1%
CVS Caremark Corp. ..................... 213,977 6,892,199
Walgreen Co. ........................... 177,692 6,524,850
-------------
13,417,049
-------------
FOOD RETAIL -- 9.6%
Casey's General Stores, Inc. (a)........ 225,310 7,191,895
Ruddick Corp. (a)....................... 261,144 6,719,235
Safeway, Inc. (a)....................... 317,514 6,759,873
SUPERVALU, Inc. (a)..................... 515,088 6,546,769
The Kroger Co. (a)...................... 344,484 7,072,257
Whole Foods Market, Inc. (a)(b)......... 258,714 7,101,699
-------------
41,391,728
-------------
GENERAL MERCHANDISE STORES -- 4.8%
Dollar Tree Stores, Inc. (b)............ 140,965 6,808,610
Family Dollar Stores, Inc. (a).......... 244,649 6,808,582
Target Corp. (a)........................ 146,974 7,109,132
-------------
20,726,324
-------------
HYPERMARKETS & SUPER CENTERS -- 3.1%
Costco Wholesale Corp. (a).............. 116,236 6,877,684
Wal-Mart Stores, Inc. .................. 126,154 6,742,931
-------------
13,620,615
-------------
INTERNET RETAIL -- 6.3%
Amazon.com, Inc. (b).................... 51,359 6,908,813
Expedia, Inc. (a)(b).................... 268,781 6,910,360
Netflix, Inc. (a)(b).................... 123,817 6,827,269
Priceline.com, Inc. (a)(b).............. 31,189 6,814,796
-------------
27,461,238
-------------
SPECIALTY STORES -- 14.6%
Barnes & Noble, Inc. (a)................ 351,594 6,704,898
Dick's Sporting Goods, Inc. (a)(b)...... 300,262 7,467,516
Jo-Ann Stores, Inc. (a)(b).............. 209,743 7,601,086
Office Depot, Inc. (a)(b)............... 1,023,551 6,601,904
OfficeMax, Inc. (b)..................... 522,189 6,626,579
PetSmart, Inc. (a)...................... 256,771 6,853,218
Staples, Inc. .......................... 282,041 6,935,388
Tiffany & Co. (a)....................... 163,611 7,035,273
Tractor Supply Co. (a)(b)............... 138,073 7,312,346
-------------
63,138,208
-------------
TOTAL COMMON STOCKS --
(Cost $435,270,091)................... 432,944,064
-------------
SHORT TERM INVESTMENTS -- 24.3%
MONEY MARKET FUNDS -- 24.3%
State Street Institutional Liquid
Reserves Fund (c)..................... 176,314 176,314
State Street Navigator Securities
Lending Prime Portfolio (c)(d)........ 105,238,087 105,238,087
-------------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $105,414,401)................... 105,414,401
-------------
TOTAL INVESTMENTS -- 124.2% (E)
(Cost $540,684,492)................... 538,358,465
OTHER ASSETS AND
LIABILITIES -- (24.2)%................ (104,955,781)
-------------
NET ASSETS -- 100.0%.................... $ 433,402,684
=============
</Table>
<Table>
(a) Security, or portion thereof, was on loan at
December 31, 2009.
(b) Non-income producing security.
(c) Affiliated Fund managed by SSgA Funds Management,
Inc. (Note 3)
(d) Investments of cash collateral for securities
loaned.
(e) Unless otherwise indicated, the values of the
securities of the Fund are determined based on
Level 1 inputs. (Note 2)
</Table>
See accompanying notes to financial statements.
129
SPDR S&P SEMICONDUCTOR ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.9%
SEMICONDUCTORS -- 99.9%
Advanced Micro Devices, Inc. (a)........ 418,988 $ 4,055,804
Altera Corp. ........................... 161,367 3,651,735
Analog Devices, Inc. ................... 118,745 3,749,967
Atheros Communications, Inc. (a)(b)..... 116,575 3,991,528
Atmel Corp. (a)......................... 859,833 3,963,830
Broadcom Corp. (Class A) (a)............ 119,984 3,773,497
Cree, Inc. (a).......................... 70,921 3,997,817
Cypress Semiconductor Corp. (a)......... 348,102 3,675,957
Intel Corp. ............................ 181,919 3,711,148
International Rectifier Corp. (a)(b).... 178,865 3,956,494
Intersil Corp. (Class A)................ 257,860 3,955,572
Linear Technology Corp. (b)............. 128,695 3,930,345
LSI Logic Corp. (a)..................... 649,910 3,905,959
Maxim Integrated Products, Inc. ........ 191,409 3,885,603
Microchip Technology, Inc. (b).......... 128,106 3,722,760
Micron Technology, Inc. (a)(b).......... 418,961 4,424,228
National Semiconductor Corp. (b)........ 245,743 3,774,613
NVIDIA Corp. (a)........................ 237,983 4,445,523
ON Semiconductor Corp. (a).............. 446,400 3,932,784
PMC-Sierra, Inc. (a)(b)................. 418,482 3,624,054
Rambus, Inc. (a)(b)..................... 168,322 4,107,057
Silicon Laboratories, Inc. (a).......... 80,338 3,883,539
Skyworks Solutions, Inc. (a)............ 264,988 3,760,180
Texas Instruments, Inc. ................ 141,190 3,679,411
Xilinx, Inc. ........................... 152,719 3,827,138
------------
TOTAL COMMON STOCKS --
(Cost $77,618,610).................... 97,386,543
------------
SHORT TERM INVESTMENTS -- 11.0%
MONEY MARKET FUNDS -- 11.0%
State Street Institutional Liquid
Reserves Fund (c)..................... 74,414 74,414
State Street Navigator Securities
Lending Prime Portfolio (c)(d)........ 10,610,940 10,610,940
------------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $10,685,354).................... 10,685,354
------------
TOTAL INVESTMENTS -- 110.9% (E)
(Cost $88,303,964).................... 108,071,897
OTHER ASSETS AND
LIABILITIES -- (10.9)%................ (10,618,225)
------------
NET ASSETS -- 100.0%.................... $ 97,453,672
============
</Table>
<Table>
(a) Non-income producing security.
(b) Security, or portion thereof, was on loan at
December 31, 2009.
(c) Affiliated Fund managed by SSgA Funds Management,
Inc. (Note 3)
(d) Investments of cash collateral for securities
loaned.
(e) Unless otherwise indicated, the values of the
securities of the Fund are determined based on
Level 1 input. (Note 2)
</Table>
See accompanying notes to financial statements.
130
SPDR WELLS FARGO PREFERRED STOCK ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
PREFERRED STOCKS -- 99.7%
CAPITAL MARKETS -- 8.2%
Morgan Stanley Series A, 4.00% (a)...... 10,658 $ 233,304
Morgan Stanley Capital Trust
III, 6.25%............................ 8,556 181,387
Morgan Stanley Capital Trust IV, 6.25%.. 6,004 126,804
Morgan Stanley Capita1 Trust V, 5.75%... 4,854 95,381
Morgan Stanley Capital Trust VI, 6.60%.. 8,382 188,176
Morgan Stanley Capital Trust
VII, 6.60%............................ 10,658 233,836
Morgan Stanley Capital Trust
VIII, 6.25%........................... 8,006 171,729
The Bank of New York Capital V Series
F, 5.95%.............................. 3,696 92,067
The Goldman Sachs Group, Inc. Series A,
3.75% (a)............................. 7,920 173,686
The Goldman Sachs Group, Inc. Series
B, 6.20%.............................. 8,448 213,228
The Goldman Sachs Group, Inc. Series D,
4.00% (a)............................. 14,207 324,488
-----------
2,034,086
-----------
COMMERCIAL BANKS -- 35.7%
BAC Capital Trust I, 7.00%.............. 6,072 133,038
BAC Capital Trust II, 7.00%............. 9,505 211,581
BAC Capital Trust III, 7.00%............ 5,280 116,952
BAC Capital Trust IV, 5.88%............. 3,961 75,299
BAC Capital Trust V, 6.00%.............. 5,466 106,642
BAC Capital Trust VIII, 6.00%........... 5,280 100,954
BAC Capital Trust X Series B, 6.25%..... 9,505 184,302
BAC Capital Trust XII, 6.88%............ 9,109 197,665
Bank One Capital Trust VI, 7.20%........ 5,544 139,321
Barclays Bank PLC Series 2, 6.63%....... 6,774 137,715
Barclays Bank PLC Series 3, 7.10%....... 12,411 274,159
Barclays Bank PLC Series 4, 7.75%....... 10,405 247,951
Barclays Bank PLC Series 5, 8.13%....... 23,954 595,496
BB&T Capital Trust V, 8.95% (a)......... 4,752 127,639
BB&T Capital Trust VI, 9.60%............ 6,072 172,566
BB&T Capital Trust VII, 8.10%........... 3,432 88,717
Fifth Third Capital Trust V, 7.25% (a).. 6,072 124,172
Fifth Third Capital Trust VI,
7.25% (a)............................. 9,109 185,732
Fifth Third Capital Trust VII,
8.88% (a)............................. 4,225 103,597
Fleet Capital Trust VIII, 7.20%......... 5,639 125,017
HSBC Holdings PLC, Series A, 6.20%...... 12,581 269,108
HSBC Holdings PLC, 8.13%................ 19,084 498,092
HSBC USA, Inc. Series F, 3.50% (a)...... 4,483 95,488
HSBC USA, Inc. Series G, 4.00% (a)...... 3,206 69,891
HSBC USA, Inc. Series H, 6.50%.......... 3,206 78,194
KeyCorp Capital IX, 6.75%............... 3,496 67,473
KeyCorp Capital X, 8.00%................ 5,999 133,178
M&T Capital Trust IV, 8.50%............. 3,696 97,870
National Bank of Greece SA, 9.00%....... 6,601 141,921
National City Capital Trust II, 6.63%... 7,920 177,012
National City Capital Trust III, 6.63%.. 5,280 114,840
National City Capital Trust IV, 8.00%... 5,466 136,541
PNC Capital Trust D, 6.13%.............. 3,164 71,348
PNC Capital Trust E, 7.75%.............. 4,752 120,606
Santander Finance Preferred SA
Unipersonal, 10.50%................... 8,713 247,275
Suntrust Cap IX, 7.88%.................. 7,234 175,569
UBS Preferred Funding Trust IV Series D,
0.93% (a)............................. 3,164 47,460
US Bancorp Series B, 3.50% (a).......... 10,561 216,817
US Bancorp Series D, 7.88%.............. 5,280 146,784
US Bancorp Capital VI, 5.75%............ 2,897 61,996
US Bancorp Capital VII, 5.88%........... 3,164 68,532
US Bancorp Capital VIII Series
1, 6.35%.............................. 3,961 91,697
US Bancorp Capital X, 6.50%............. 5,280 126,034
US Bancorp Capital XI, 6.60%............ 8,079 195,431
US Bancorp Capital XII, 6.30%........... 5,650 129,272
Wachovia Capital Trust IV, 6.38%........ 9,241 204,781
Wachovia Capital Trust IX, 6.38%........ 8,448 185,940
Wachovia Capital Trust X, 7.85%......... 8,844 224,372
Wells Fargo & Co. Series J, 8.00%....... 14,651 376,531
Wells Fargo Capital IX, 5.63%........... 3,142 66,076
Wells Fargo Capital Trust IV, 7.00%..... 8,318 209,364
Wells Fargo Capital VII, 5.85%.......... 3,142 70,098
Wells Fargo Capital XI, 6.25%........... 6,383 143,554
Wells Fargo Capital XII, 7.88%.......... 10,045 257,855
Wells Fargo Capital XIV, 8.63%.......... 4,385 119,667
-----------
8,885,182
-----------
CONSUMER FINANCE -- 0.9%
Capital One Capital II, 7.50%........... 3,643 88,124
MBNA Capital Series D, 8.13%............ 3,168 77,426
SLM Corp., 6.00%........................ 3,164 49,453
-----------
215,003
-----------
DIVERSIFIED FINANCIAL SERVICES -- 29.9%
Citigroup Capital VII, 7.13%............ 7,833 163,631
Citigroup Capital VIII, 6.95%........... 9,558 198,329
Citigroup Capital IX, 6.00%............. 7,427 135,691
Citigroup Capital X, 6.10%.............. 3,217 59,000
Citigroup Capital XI, 6.00%............. 4,044 72,185
Citigroup Capital XIV, 6.88%............ 2,689 52,812
Citigroup Capital XV, 6.50%............. 5,500 102,465
Citigroup Capital XVI, Series W, 6.45%.. 8,353 155,199
Citigroup Capital XVII, Series E 6.35%.. 6,148 111,894
Citigroup Capital XIX, 7.25%............ 4,995 101,898
Citigroup Capital XX, 7.88%............. 3,890 86,747
Countrywide Capital IV, 6.75%........... 5,280 112,834
Countrywide Capital V, 7.00%............ 15,739 340,749
Credit Suisse Guernsey, 7.90%........... 16,055 412,292
Deutsche Bank Capital Funding Trust
VIII, 6.38%........................... 4,958 111,952
Deutsche Bank Capital Funding Trust
IX, 6.63%............................. 9,462 198,607
Deutsche Bank Capital Funding Trust
X, 7.35%.............................. 6,618 152,015
Deutsche Bank Contingent Capital Trust
II, 6.55%............................. 6,577 136,670
Deutsche Bank Contingent Capital Trust
III, 7.60%............................ 16,242 385,423
Deutsche Bank Contingent Capital Trust
V, 8.05%.............................. 10,442 263,034
General Electric Capital Corp., 5.88%... 7,511 176,509
General Electric Capital Corp., 6.00%... 9,981 241,341
General Electric Capital Corp., 6.05%... 6,008 145,153
General Electric Capital Corp., 6.10%... 9,981 239,344
General Electric Capital Corp., 6.50%... 2,521 64,159
General Electric Capital Corp., 6.63%... 9,981 249,924
General Electric Capital Corp. Series
A, 6.45%.............................. 4,990 125,149
</Table>
See accompanying notes to financial statements.
131
SPDR WELLS FARGO PREFERRED STOCK ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
HSBC Finance Corp., 6.00%............... 2,591 $ 63,480
HSBC Finance Corp., 6.36%............... 4,970 102,581
HSBC Finance Corp., 6.88%............... 2,554 56,418
JP Morgan Chase & Co., 7.00%............ 10,381 293,159
JP Morgan Chase Capital X, 7.00%........ 5,751 146,363
JP Morgan Chase Capital XI Series
K, 5.88%.............................. 6,221 137,671
JP Morgan Chase Capital XII, 6.25%...... 2,291 54,824
JP Morgan Chase Capital XIV, 6.20%...... 3,460 83,213
JP Morgan Chase Capital XVI, 6.35%...... 2,900 70,267
JP Morgan Chase Capital XIX Series
S, 6.63%.............................. 3,251 80,625
JP Morgan Chase Capital XXIV Series
X, 6.88%.............................. 4,020 101,505
JP Morgan Chase Capital XXVI,
8.00% (a)............................. 10,465 281,090
Merrill Lynch Capital Trust I Series K,
6.45% (a)............................. 11,088 212,224
Merrill Lynch Capital Trust II,
6.45% (a)............................. 10,033 191,630
Merrill Lynch Capital Trust III, 7.00%.. 7,920 162,756
Merrill Lynch Capital Trust III,
7.38% (a)............................. 7,920 172,418
Merrill Lynch Capital Trust IV, 7.12%... 4,225 88,725
Merrill Lynch Capital Trust V Series
F, 7.28%.............................. 8,976 191,638
Repsol International Capital Ltd. Series
A, 7.45%.............................. 7,393 186,673
Tennessee Valley Authority Series A,
4.50% (a)............................. 3,150 82,278
Tennessee Valley Authority Series D,
4.73% (a)............................. 3,696 96,355
-----------
7,450,899
-----------
ELECTRIC UTILITIES -- 3.7%
Alabama Power Co. Series B, 5.88%....... 2,631 67,143
American Electric Power, 8.75%.......... 3,326 93,427
BGE Capital Trust II, 6.20%............. 2,631 58,540
FPC Capital I Series A, 7.10%........... 3,168 80,721
FPL Group Capital Trust I, 5.88%........ 3,168 80,848
FPL Group Capital, Inc. Series
A, 6.60%.............................. 3,696 94,950
FPL Group Capital, Inc. Series
E, 7.45%.............................. 3,696 99,570
FPL Group Capital, Inc. Series
F, 8.75%.............................. 3,961 114,037
Georgia Power Co. Series D, 6.38%....... 3,168 84,427
Georgia Power Series X, 5.70%........... 2,631 65,959
PPL Energy Supply LLC, 7.00%............ 2,640 69,617
-----------
909,239
-----------
INSURANCE -- 9.5%
Aegon NV, 6.38%......................... 10,561 188,619
Aegon NV, 6.50%......................... 5,280 94,723
Aegon NV, 6.88%......................... 11,088 219,432
Aegon NV, 7.25%......................... 5,808 109,655
Aegon NV Series 1, 4.00% (a)............ 2,631 44,832
American International Group, Inc.,
7.70% (a)............................. 11,617 179,715
American International Group, Inc.
Series A-4, 6.45% (a)................. 7,920 103,752
Axis Capital Holdings Series A, 7.25%... 2,631 59,987
Everest RE Capital Trust II Series
B, 6.20%.............................. 3,379 69,337
Lincoln National Corp., 6.75%........... 2,897 66,225
MetLife, Inc. Series A, 4.00% (a)....... 6,336 151,747
MetLife, Inc. Series B, 6.50%........... 15,791 378,984
PartnerRe Ltd. Series C, 6.75%.......... 3,056 71,816
Principal Financial Group, Inc. Series
B, 6.52% (a).......................... 2,631 55,251
Prudential Financial, Inc., 9.00%....... 9,716 257,960
Prudential PLC, 6.50% (a)............... 3,168 71,343
Prudential PLC, 6.75%................... 2,631 63,144
RenaissanceRe Holdings Ltd., Series
C, 6.08%.............................. 2,631 51,489
RenaissanceRe Holdings Ltd. Series
D, 6.60%.............................. 3,164 66,444
W.R. Berkley Capital Trust II, 6.75%.... 2,631 60,303
-----------
2,364,758
-----------
MEDIA -- 3.9%
CBS Corp., 6.75%........................ 7,393 155,918
CBS Corp., 7.25%........................ 3,538 80,313
Comcast Corp., 6.63%.................... 6,072 146,821
Comcast Corp., 7.00%.................... 3,643 91,913
Comcast Corp. Series B, 7.00%........... 11,831 296,248
Viacom, Inc., 6.85%..................... 7,920 189,684
-----------
960,897
-----------
MULTI-UTILITIES -- 1.2%
Dominion Resources Inc. Series
A, 8.38%.............................. 7,234 198,212
Xcel Energy, Inc., 7.60%................ 4,225 112,385
-----------
310,597
-----------
REAL ESTATE INVESTMENT TRUSTS -- 4.5%
Duke Realty Corp. Series O, 8.38%....... 3,084 75,805
Harris Preferred Capital Corp. Series
A, 7.38%.............................. 2,631 60,145
Hospitality Properties Trust Series
C, 7.00%.............................. 3,354 71,306
Kimco Realty Corp. Series G, 7.75%...... 4,858 119,264
Public Storage Series I, 7.25%.......... 5,466 139,383
Public Storage Series K, 7.25%.......... 4,486 112,599
Public Storage Series M, 6.63%.......... 5,033 117,218
Vornado Realty LP 7.88%................. 4,858 118,195
Vornado Realty Trust Series I, 6.63%.... 2,845 62,704
Wachovia Preferred Funding Corp. Series
A, 7.25%.............................. 7,920 176,061
Weingarten Realty Investors Series
F, 6.50%.............................. 3,696 76,692
-----------
1,129,372
-----------
WIRELESS TELECOMMUNICATION SERVICES -- 2.2%
AT&T, Inc., 6.38%....................... 12,623 336,908
Telephone & Data Systems, 7.60%......... 5,280 129,677
US Cellular Corp., 7.50%................ 3,485 86,812
-----------
553,397
-----------
TOTAL PREFERRED STOCKS --
(Cost $24,148,256).................... 24,813,430
-----------
</Table>
See accompanying notes to financial statements.
132
SPDR WELLS FARGO PREFERRED STOCK ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
SHORT TERM INVESTMENTS -- 0.4%
MONEY MARKET FUNDS -- 0.4%
State Street Institutional Liquid
Reserves Fund (b)
(Cost $88,390)........................ 88,390 $ 88,390
-----------
TOTAL INVESTMENTS -- 100.1% (C)
(Cost $24,236,646).................... 24,901,820
OTHER ASSETS AND
LIABILITIES -- (0.1)%................. (15,211)
-----------
NET ASSETS -- 100.0%.................... $24,886,609
===========
</Table>
<Table>
(a) Variable rate security. The rate shown reflects
the rate as of December 31, 2009.
(b) Affiliated Fund managed by SSgA Funds Management,
Inc. (Note 3)
(c) Unless otherwise indicated, the values of the
securities of the Fund are determined based on
Level 1 inputs. (Note 2)
</Table>
See accompanying notes to financial statements.
133
SPDR SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR
SPDR SPDR DOW JONES
DOW JONES DOW JONES LARGE CAP
TOTAL MARKET LARGE CAP GROWTH
ETF ETF ETF
--------------- --------------- ---------------
ASSETS
Investments in securities of
unaffiliated issuers, at value*
(Note 2)........................... $183,400,551 $46,474,967 $188,152,846
Investments in securities of
affiliated issuers, at value (Note
3)................................. 13,600,320 13,196,105 7,911,221
------------ ----------- ------------
Total Investments.................. 197,000,871 59,671,072 196,064,067
Receivable for investments sold....... 89 -- 99,505
Dividends receivable (Note 2)......... 254,604 65,371 176,720
------------ ----------- ------------
TOTAL ASSETS..................... 197,255,564 59,736,443 196,340,292
------------ ----------- ------------
LIABILITIES
Payable upon return of securities
loaned............................. 12,569,817 13,064,779 6,723,757
Payable for investments purchased..... -- -- --
Accrued advisory fee (Note 3)......... 31,150 7,882 31,758
Accrued trustees fee (Note 3)......... 836 209 851
Other liabilities..................... 4,529 3,578 --
------------ ----------- ------------
TOTAL LIABILITIES................ 12,606,332 13,076,448 6,756,366
------------ ----------- ------------
NET ASSETS....................... $184,649,232 $46,659,995 $189,583,926
============ =========== ============
NET ASSETS CONSIST OF:
Paid in capital (Note 4).............. $196,119,182 $40,312,251 $249,215,805
Undistributed (distribution in excess
of) net investment income.......... 30,137 3,687 19,414
Accumulated net realized gain (loss)
on investments and foreign currency
transactions....................... (15,416,827) (1,200,017) (50,391,357)
Net unrealized appreciation
(depreciation) on:
Investments........................... 3,916,740 7,544,074 (9,259,936)
------------ ----------- ------------
NET ASSETS....................... $184,649,232 $46,659,995 $189,583,926
============ =========== ============
NET ASSET VALUE PER SHARE
Net asset value per share............. $ 82.06 $ 51.84 $ 49.24
============ =========== ============
Shares outstanding (unlimited amount
authorized, $0.01 par value)....... 2,250,138 900,000 3,850,130
============ =========== ============
COST OF INVESTMENTS:
Unaffiliated issuers.................. $179,444,288 $38,934,463 $197,214,205
Affiliated issuers.................... 13,639,843 13,192,535 8,109,798
------------ ----------- ------------
Total cost of investments............. $193,084,131 $52,126,998 $205,324,003
============ =========== ============
* Includes investments in
securities on loan, at value..... $ 12,116,679 $12,625,481 $ 6,500,471
============ =========== ============
</Table>
See accompanying notes to financial statements.
134
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR SPDR
SPDR SPDR DOW JONES SPDR SPDR DOW JONES
DOW JONES DOW JONES MID CAP DOW JONES DOW JONES SMALL CAP
LARGE CAP MID CAP GROWTH MID CAP SMALL GROWTH
VALUE ETF ETF ETF VALUE ETF CAP ETF ETF
--------------- --------------- --------------- --------------- --------------- ---------------
$106,203,125 $45,415,083 $76,797,684 $18,180,002 $41,830,252 $121,423,012
1,981,973 13,272,111 22,297,858 5,284,201 12,280,201 35,700,289
------------ ----------- ----------- ----------- ----------- ------------
108,185,098 58,687,194 99,095,542 23,464,203 54,110,453 157,123,301
-- 104,858 318,902 -- -- --
191,590 50,469 36,746 34,972 47,987 42,696
------------ ----------- ----------- ----------- ----------- ------------
108,376,688 58,842,521 99,451,190 23,499,175 54,158,440 157,165,997
------------ ----------- ----------- ----------- ----------- ------------
1,841,327 13,216,330 22,198,914 5,265,707 12,221,071 35,306,432
22,567 102,807 313,902 -- -- --
18,160 9,237 19,612 3,826 7,235 25,240
506 186 278 70 143 554
3,987 5,560 -- 4,367 5,072 4,438
------------ ----------- ----------- ----------- ----------- ------------
1,886,547 13,334,120 22,532,706 5,273,970 12,233,521 35,336,664
------------ ----------- ----------- ----------- ----------- ------------
$106,490,141 $45,508,401 $76,918,484 $18,225,205 $41,924,919 $121,829,333
============ =========== =========== =========== =========== ============
$141,722,126 $43,150,035 $75,607,329 $21,567,291 $41,909,006 $137,812,421
40,231 (13,714) (17,887) (24,005) (305) (55)
(24,346,875) (3,244,798) (9,079,931) (3,927,726) (1,024,593) (12,029,048)
(10,925,341) 5,616,878 10,408,973 609,645 1,040,811 (3,953,985)
------------ ----------- ----------- ----------- ----------- ------------
$106,490,141 $45,508,401 $76,918,484 $18,225,205 $41,924,919 $121,829,333
============ =========== =========== =========== =========== ============
$ 57.54 $ 47.90 $ 59.17 $ 45.56 $ 52.40 $ 84.01
============ =========== =========== =========== =========== ============
1,850,870 950,000 1,300,000 400,000 800,023 1,450,107
============ =========== =========== =========== =========== ============
$117,128,466 $39,798,205 $66,388,711 $17,570,357 40,789,441 $125,376,997
1,981,973 13,272,111 22,297,858 5,284,201 12,280,201 35,700,289
------------ ----------- ----------- ----------- ----------- ------------
$119,110,439 $53,070,316 $88,686,569 $22,854,558 $53,069,642 $161,077,286
============ =========== =========== =========== =========== ============
$ 1,774,891 $12,739,402 $21,446,451 $ 5,062,090 $11,733,837 $ 33,911,040
============ =========== =========== =========== =========== ============
</Table>
135
SPDR SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR DOW SPDR SPDR
JONES SMALL DJ GLOBAL DOW JONES
CAP VALUE TITANS REIT
ETF ETF ETF
--------------- --------------- ---------------
ASSETS
Investments in securities of
unaffiliated issuers, at value*
(Note 2)........................... $ 98,957,074 $102,268,262 $1,041,778,633
Investments in securities of
affiliated issuers, at value (Note
3)................................. 21,489,691 2,684,038 236,911,894
------------ ------------ --------------
Total Investments.................. 120,446,765 104,952,300 1,278,690,527
Foreign currency, at value............ -- 114,354 --
Cash.................................. -- -- 834
Receivable for Fund shares sold in-
kind............................... -- -- --
Receivable for investments sold....... -- -- --
Receivable for foreign taxes
recoverable........................ -- 1,444 --
Dividends receivable (Note 2)......... 225,058 229,584 3,715,105
------------ ------------ --------------
TOTAL ASSETS..................... 120,671,823 105,297,682 1,282,406,466
------------ ------------ --------------
LIABILITIES
Payable upon return of securities
loaned............................. 21,341,361 2,613,086 235,536,466
Payable for investments purchased..... -- -- 1,318,868
Accrued advisory fee (Note 3)......... 20,695 43,382 216,748
Accrued trustees fee (Note 3)......... 428 418 5,179
Other liabilities..................... 5,298 -- --
------------ ------------ --------------
TOTAL LIABILITIES................ 21,367,782 2,656,886 237,077,261
------------ ------------ --------------
NET ASSETS....................... $ 99,304,041 $102,640,796 $1,045,329,205
============ ============ ==============
NET ASSETS CONSIST OF:
Paid in capital (Note 4).............. $121,013,495 $140,780,213 $1,685,231,535
Undistributed (distribution in excess
of) net investment income.......... (18,532) (46,613) (13,108,684)
Accumulated net realized gain (loss)
on investments and foreign currency
transactions....................... (11,927,145) (26,655,611) (331,627,822)
Net unrealized appreciation
(depreciation) on:
Investments........................ (9,763,777) (11,436,943) (295,165,824)
Foreign currency................... -- (250) --
------------ ------------ --------------
NET ASSETS....................... $ 99,304,041 $102,640,796 $1,045,329,205
============ ============ ==============
NET ASSET VALUE PER SHARE
Net asset value per share............. $ 56.70 $ 57.00 $ 49.23
============ ============ ==============
Shares outstanding (unlimited amount
authorized, $0.01 par value)....... 1,751,340 1,800,583 21,231,892
============ ============ ==============
COST OF INVESTMENTS:
Unaffiliated issuers.................. $108,720,851 $113,705,205 $1,336,944,457
Affiliated issuers.................... 21,489,691 2,684,038 236,911,894
------------ ------------ --------------
Total cost of investments............. $130,210,542 $116,389,243 $1,573,856,351
============ ============ ==============
Foreign currency, at cost............. $ -- $ 116,047 $ --
============ ============ ==============
* Includes investments in
securities on loan, at value..... $ 20,443,860 $ 2,543,400 $ 225,742,895
============ ============ ==============
</Table>
See accompanying notes to financial statements.
136
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR SPDR SPDR SPDR
KBW SPDR KBW KBW MORGAN
SPDR CAPITAL KBW MORTGAGE REGIONAL STANLEY
KBW BANK MARKETS INSURANCE FINANCE BANKING TECHNOLOGY
ETF ETF ETF ETF ETF ETF
--------------- --------------- --------------- --------------- --------------- ---------------
$ 783,805,912 $ 76,471,410 $150,655,186 $4,088,354 $ 443,574,590 $255,729,732
134,232,614 16,859,470 4,460,149 4,571 122,370,338 11,135,715
-------------- ------------ ------------ ---------- ------------- ------------
918,038,526 93,330,880 155,115,335 4,092,925 565,944,928 266,865,447
-- -- -- -- -- --
-- -- -- -- -- --
2,464 -- -- -- 1,981 --
19,855,689 -- -- -- -- --
-- -- -- -- -- --
508,367 139,134 255,606 1,579 905,393 57,409
-------------- ------------ ------------ ---------- ------------- ------------
938,405,046 93,470,014 155,370,941 4,094,504 566,852,302 266,922,856
-------------- ------------ ------------ ---------- ------------- ------------
109,558,544 10,555,072 4,287,257 -- 122,029,837 10,772,745
19,689,269 204,579 -- -- -- --
228,891 25,126 43,051 1,489 123,825 105,879
4,063 455 840 28 2,116 1,093
-- -- -- -- -- --
-------------- ------------ ------------ ---------- ------------- ------------
129,480,767 10,785,232 4,331,148 1,517 122,155,778 10,879,717
-------------- ------------ ------------ ---------- ------------- ------------
$ 808,924,279 $ 82,684,782 $151,039,793 $4,092,987 $ 444,696,524 $256,043,139
============== ============ ============ ========== ============= ============
$1,500,713,921 $170,888,615 $186,562,906 $4,188,507 $ 829,537,309 $316,140,945
216,426 88,663 15,056 27 (62,542) (871)
(481,033,316) (63,019,708) (20,499,233) 5,648 (252,415,049) (75,175,645)
(210,972,752) (25,272,788) (15,038,936) (101,195) (132,363,194) 15,078,710
-- -- -- -- -- --
-------------- ------------ ------------ ---------- ------------- ------------
$ 808,924,279 $ 82,684,782 $151,039,793 $4,092,987 $ 444,696,524 $256,043,139
============== ============ ============ ========== ============= ============
$ 21.20 $ 36.75 $ 34.72 $ 40.93 $ 22.29 $ 57.54
============== ============ ============ ========== ============= ============
38,152,118 2,250,000 4,350,000 100,000 19,952,585 4,450,108
============== ============ ============ ========== ============= ============
$ 987,420,109 $ 98,770,291 $165,694,122 $4,189,549 $ 575,937,784 $240,651,022
141,591,169 19,833,377 4,460,149 4,571 122,370,338 11,135,715
-------------- ------------ ------------ ---------- ------------- ------------
$1,129,011,278 $118,603,668 $170,154,271 $4,194,120 $ 698,308,122 $251,786,737
============== ============ ============ ========== ============= ============
$ -- $ -- $ -- $ -- $ -- $ --
============== ============ ============ ========== ============= ============
$ 105,124,873 $ 10,249,283 $ 4,114,418 $ -- $ 117,180,836 $ 10,456,320
============== ============ ============ ========== ============= ============
</Table>
137
SPDR SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR SPDR SPDR
S&P S&P S&P
DIVIDEND BIOTECH HOMEBUILDERS
ETF ETF ETF
--------------- --------------- ---------------
ASSETS
Investments in securities of
unaffiliated issuers, at value*
(Note 2)........................... $1,234,457,259 $ 402,033,545 $ 684,823,605
Investments in securities of
affiliated issuers, at value (Note
3)................................. 181,220,868 85,959,409 194,061,251
-------------- ------------- -------------
Total Investments.................. 1,415,678,127 487,992,954 878,884,856
Receivable for Fund shares sold in-
kind............................... 24 42 2,176
Receivable for investments sold....... -- 1,679,655 --
Dividends receivable (Note 2)......... 2,540,591 113,510 541,983
Due from advisory..................... -- -- --
-------------- ------------- -------------
TOTAL ASSETS..................... 1,418,218,742 489,786,161 879,429,015
-------------- ------------- -------------
LIABILITIES
Payable for investments purchased..... -- -- --
Payable upon return of securities
loaned............................. 179,515,594 85,959,309 193,779,554
Payable for Fund shares repurchased
in-kind............................ -- -- --
Due to custodian...................... -- 1,492,859 --
Accrued advisory fee (Note 3)......... 355,412 114,833 210,510
Accrued trustees fee (Note 3)......... 4,536 2,038 3,781
-------------- ------------- -------------
TOTAL LIABILITIES................ 179,875,542 87,569,039 193,993,845
-------------- ------------- -------------
NET ASSETS....................... $1,238,343,200 $ 402,217,122 $ 685,435,170
============== ============= =============
NET ASSETS CONSIST OF:
Paid in capital (Note 4).............. $1,207,625,270 $ 549,231,275 $ 846,161,516
Undistributed (distribution in excess
of) net investment income.......... (3,308,282) (249,880) (57,032)
Accumulated net realized gain (loss)
on investments and foreign currency
transactions....................... (98,604,500) (126,307,875) (148,226,607)
Net unrealized appreciation
(depreciation) on:
Investments........................ 132,630,712 (20,456,398) (12,442,707)
-------------- ------------- -------------
NET ASSETS....................... $1,238,343,200 $ 402,217,122 $ 685,435,170
============== ============= =============
NET ASSET VALUE PER SHARE
Net asset value per share............. $ 46.20 $ 53.63 $ 15.10
============== ============= =============
Shares outstanding (unlimited amount
authorized, $0.01 par value)....... 26,803,658 7,500,000 45,400,016
============== ============= =============
COST OF INVESTMENTS:
Unaffiliated issuers.................. $1,101,826,547 $ 422,489,943 $ 697,266,312
Affiliated issuers.................... 181,220,868 85,959,409 194,061,251
-------------- ------------- -------------
Total cost of investments............. $1,283,047,415 $ 508,449,352 $ 891,327,563
============== ============= =============
* Includes investments in
securities on loan, at value..... $ 172,688,419 $ 83,017,929 $ 186,714,489
============== ============= =============
</Table>
See accompanying notes to financial statements.
138
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR SPDR
S&P OIL & S&P OIL & SPDR WELLS
SPDR GAS GAS SPDR SPDR FARGO
S&P METALS EQUIPMENT EXPLORATION & S&P SPDR S&P PREFERRED
& MINING & SERVICES PRODUCTION PHARMACEUTICALS S&P RETAIL SEMICONDUCTOR STOCK
ETF ETF ETF ETF ETF ETF ETF
--------------- --------------- --------------- --------------- --------------- --------------- ---------------
$ 892,053,542 $303,969,366 $ 419,717,859 $64,704,616 $432,944,064 $ 97,386,543 $24,813,430
131,910,077 41,434,485 40,458,646 17,234,957 105,414,401 10,685,354 88,390
-------------- ------------ ------------- ----------- ------------ ------------ -----------
1,023,963,619 345,403,851 460,176,505 81,939,573 538,358,465 108,071,897 24,901,820
-- 435 777 45 3,238 -- 3,540
-- -- -- -- -- -- 121,187
609,176 132,548 274,731 68,927 427,846 21,090 50,854
-- -- -- -- 11,147 -- --
-------------- ------------ ------------- ----------- ------------ ------------ -----------
1,024,572,795 345,536,834 460,452,013 82,008,545 538,800,696 108,092,987 25,077,401
-------------- ------------ ------------- ----------- ------------ ------------ -----------
-- -- -- -- -- -- 182,419
131,029,305 41,222,229 40,270,878 17,229,650 105,238,087 10,610,940 --
1,234 -- -- -- -- 78 --
-- -- -- -- -- -- --
258,825 87,972 114,781 17,351 157,408 27,714 8,308
3,455 1,246 1,744 244 2,517 583 65
-------------- ------------ ------------- ----------- ------------ ------------ -----------
131,292,819 41,311,447 40,387,403 17,247,245 105,398,012 10,639,315 190,792
-------------- ------------ ------------- ----------- ------------ ------------ -----------
$ 893,279,976 $304,225,387 $ 420,064,610 $64,761,300 $433,402,684 $ 97,453,672 $24,886,609
============== ============ ============= =========== ============ ============ ===========
$1,116,589,534 $357,762,066 $ 578,560,931 $54,706,239 $467,262,037 $ 98,404,838 $24,388,880
(553,227) 40,084 118,454 (7,933) 2,367,881 4,441 (137,634)
(290,152,390) (67,222,699) (131,061,325) (607,030) (33,901,207) (20,723,540) (29,811)
67,396,059 13,645,936 (27,553,450) 10,670,024 (2,326,027) 19,767,933 665,174
-------------- ------------ ------------- ----------- ------------ ------------ -----------
$ 893,279,976 $304,225,387 $ 420,064,610 $64,761,300 $433,402,684 $ 97,453,672 $24,886,609
============== ============ ============= =========== ============ ============ ===========
$ 51.63 $ 28.43 $ 41.18 $ 38.09 $ 35.67 $ 47.54 $ 41.48
============== ============ ============= =========== ============ ============ ===========
17,300,230 10,700,000 10,200,000 1,700,135 12,150,113 2,050,000 600,000
============== ============ ============= =========== ============ ============ ===========
$ 824,657,483 $290,323,430 $ 447,271,309 $54,034,592 $435,270,091 $ 77,618,610 $24,148,256
131,910,077 41,434,485 40,458,646 17,234,957 105,414,401 10,685,354 88,390
-------------- ------------ ------------- ----------- ------------ ------------ -----------
$ 956,567,560 $331,757,915 $ 487,729,955 $71,269,549 $540,684,492 $ 88,303,964 $24,236,646
============== ============ ============= =========== ============ ============ ===========
$ 126,396,025 $ 39,800,665 $ 38,778,486 $16,756,971 $101,646,236 $ 10,243,239 $ --
============== ============ ============= =========== ============ ============ ===========
</Table>
139
SPDR SERIES TRUST
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR
SPDR SPDR DOW JONES
DOW JONES DOW JONES LARGE CAP
TOTAL MARKET LARGE CAP GROWTH
ETF ETF ETF
--------------- --------------- ---------------
INVESTMENT INCOME
Dividend income on securities of
unaffiliated issuers (Note 2)...... $ 1,804,640 $ 456,492 $ 979,142
Dividend income on securities of
affiliated issuers (Note 3)........ 136 43 183
Affiliated securities lending -- net
(Note 3 and Note 8)................ 35,754 19,502 17,473
Foreign taxes withheld................ (106) (44) --
----------- ---------- -----------
TOTAL INVESTMENT INCOME............... 1,840,424 475,993 996,798
----------- ---------- -----------
EXPENSES
Advisory fee (Note 3)................. 175,552 43,865 178,777
Trustees fee (Note 3)................. 2,720 655 2,850
Miscellaneous expense................. 4,247 3,106 --
----------- ---------- -----------
TOTAL EXPENSES........................ 182,519 47,626 181,627
----------- ---------- -----------
NET INVESTMENT INCOME (LOSS).......... 1,657,905 428,367 815,171
----------- ---------- -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized gain (loss) on:
Investments in securities of
unaffiliated issuers............. 2,087,666 (86,401) (5,037,985)
Investments in securities of
affiliated issuers............... 6,006 -- (6,225)
Net change in unrealized appreciation
(depreciation) on:
Investments........................ 31,588,122 8,236,458 42,492,504
----------- ---------- -----------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS AND FOREIGN
CURRENCY TRANSACTIONS.............. 33,681,794 8,150,057 37,448,294
----------- ---------- -----------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS............. $35,339,699 $8,578,424 $38,263,465
=========== ========== ===========
</Table>
See accompanying notes to financial statements.
140
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR SPDR SPDR SPDR
DOW JONES SPDR DOW JONES DOW JONES SPDR DOW JONES
LARGE CAP DOW JONES MID CAP MID CAP DOW JONES SMALL CAP
VALUE MID CAP GROWTH VALUE SMALL CAP GROWTH
ETF ETF ETF ETF ETF ETF
--------------- --------------- --------------- --------------- --------------- ---------------
$ 1,575,051 $ 378,647 $ 281,420 $ 228,773 $ 263,066 $ 323,038
-- -- -- -- -- --
18,821 23,783 29,804 10,157 24,171 98,603
(194) (342) -- (279) (2) --
----------- ----------- ----------- ---------- ---------- -----------
1,593,678 402,088 311,224 238,651 287,235 421,641
----------- ----------- ----------- ---------- ---------- -----------
106,244 48,906 73,373 18,376 37,748 145,489
1,687 583 844 209 443 1,790
3,765 5,277 3,456 4,037 4,931 4,127
----------- ----------- ----------- ---------- ---------- -----------
111,696 54,766 77,673 22,622 43,122 151,406
----------- ----------- ----------- ---------- ---------- -----------
1,481,982 347,322 233,551 216,029 244,113 270,235
----------- ----------- ----------- ---------- ---------- -----------
2,185,804 2,023,462 1,664,355 799,208 539,600 3,939,431
-- -- -- -- -- --
15,761,675 7,752,342 13,149,401 2,319,318 5,827,937 21,923,614
----------- ----------- ----------- ---------- ---------- -----------
17,947,479 9,775,804 14,813,756 3,118,526 6,367,537 25,863,045
----------- ----------- ----------- ---------- ---------- -----------
$19,429,461 $10,123,126 $15,047,307 $3,334,555 $6,611,650 $26,133,280
=========== =========== =========== ========== ========== ===========
</Table>
141
SPDR SERIES TRUST
STATEMENTS OF OPERATIONS (CONTINUED)
FOR THE SIX MONTHS ENDED DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR
DOW JONES SPDR SPDR
SMALL CAP DJ GLOBAL DOW JONES
VALUE TITANS REIT
ETF ETF ETF
--------------- --------------- ---------------
INVESTMENT INCOME
Dividend income on securities of
unaffiliated issuers (Note 2)...... $ 1,315,240 $ 1,150,551 $ 24,839,714
Dividend income on securities of
affiliated issuers (Note 3)........ -- -- --
Affiliated securities lending -- net
(Note 3 and Note 8)................ 64,931 11,895 384,727
Foreign taxes withheld................ 5 (49,404) --
----------- ----------- ------------
TOTAL INVESTMENT INCOME............... 1,380,176 1,113,042 25,224,441
----------- ----------- ------------
EXPENSES
Advisory fee (Note 3)................. 112,448 220,153 1,358,102
Trustees fee (Note 3)................. 1,376 1,374 17,524
Miscellaneous expense................. 5,413 -- 65
----------- ----------- ------------
TOTAL EXPENSES........................ 119,237 221,527 1,375,691
----------- ----------- ------------
NET INVESTMENT INCOME (LOSS).......... 1,260,939 891,515 23,848,750
----------- ----------- ------------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized gain (loss) on:
Investments in securities of
unaffiliated issuers............. 1,335,720 (321,446) 14,147,496
Investments in securities of
affiliated issuers............... -- -- --
Foreign currency transactions...... -- (2,352) --
Net change in unrealized appreciation
(depreciation) on:
Investments........................ 20,220,679 15,550,669 358,295,161
Foreign currency transactions...... -- 5,250 --
----------- ----------- ------------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS AND FOREIGN
CURRENCY TRANSACTIONS.............. 21,556,399 15,232,121 372,442,657
----------- ----------- ------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS............. $22,817,338 $16,123,636 $396,291,407
=========== =========== ============
</Table>
See accompanying notes to financial statements.
142
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR SPDR SPDR SPDR
KBW SPDR KBW KBW MORGAN
SPDR CAPITAL KBW MORTGAGE REGIONAL STANLEY
KBW BANK MARKETS INSURANCE FINANCE BANKING TECHNOLOGY
ETF ETF ETF ETF ETF ETF
--------------- --------------- --------------- --------------- --------------- ---------------
$ 4,404,529 $ 469,290 $ 1,888,724 $ 70,765 $ 4,967,428 $ 702,613
11,884 2,933 -- -- -- --
1,551,131 11,115 15,031 -- 398,950 15,471
-- -- -- -- -- (8,108)
------------- ---------- ----------- -------- ------------- -----------
5,967,544 483,338 1,903,755 70,765 5,366,378 709,976
------------- ---------- ----------- -------- ------------- -----------
1,490,634 166,759 307,560 10,467 776,788 574,863
13,880 1,505 2,731 90 7,526 3,531
-- -- -- -- -- --
------------- ---------- ----------- -------- ------------- -----------
1,504,514 168,264 310,291 10,557 784,314 578,394
------------- ---------- ----------- -------- ------------- -----------
4,463,030 315,074 1,593,464 60,208 4,582,064 131,582
------------- ---------- ----------- -------- ------------- -----------
(169,642,415) 2,267,145 36,883,659 82,714 (110,394,242) (2,005,974)
(2,322,053) (106,684) -- -- -- --
-- -- -- -- -- --
297,970,636 4,283,488 4,796,804 562,715 173,652,489 57,041,120
-- -- -- -- -- --
------------- ---------- ----------- -------- ------------- -----------
126,006,168 6,443,949 41,680,463 645,429 63,258,247 55,035,146
------------- ---------- ----------- -------- ------------- -----------
$ 130,469,198 $6,759,023 $43,273,927 $705,637 $ 67,840,311 $55,166,728
============= ========== =========== ======== ============= ===========
</Table>
143
SPDR SERIES TRUST
STATEMENTS OF OPERATIONS (CONTINUED)
FOR THE SIX MONTHS ENDED DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR SPDR
S&P SPDR S&P
DIVIDEND S&P BIOTECH HOMEBUILDERS
ETF ETF ETF
--------------- --------------- ---------------
INVESTMENT INCOME
Dividend income on securities of
unaffiliated issuers (Note 2)...... $ 19,628,906 $ 113 $ 4,674,931
Affiliated securities lending -- net
(Note 3 and Note 8)................ 564,711 505,501 264,406
------------ ----------- ------------
TOTAL INVESTMENT INCOME............... 20,193,617 505,614 4,939,337
------------ ----------- ------------
EXPENSES
Advisory fee (Note 3)................. 1,674,376 747,970 1,385,770
Trustees fee (Note 3)................. 13,442 7,122 12,414
Miscellaneous expense................. 294 398 --
------------ ----------- ------------
TOTAL EXPENSES........................ 1,688,112 755,490 1,398,184
------------ ----------- ------------
NET INVESTMENT INCOME (LOSS).......... 18,505,505 (249,876) 3,541,153
------------ ----------- ------------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized gain (loss) on:
Investments in securities of
unaffiliated issuers............. 45,754,194 (4,712,085) 127,901,885
Net change in unrealized appreciation
(depreciation) on:
Investments........................ 120,208,303 28,649,853 12,132,913
------------ ----------- ------------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS AND FOREIGN
CURRENCY TRANSACTIONS.............. 165,962,497 23,937,768 140,034,798
------------ ----------- ------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS............. $184,468,002 $23,687,892 $143,575,951
============ =========== ============
</Table>
(1) For the period September 16, 2009 (commencement of operations) to December
31, 2009.
See accompanying notes to financial statements.
144
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR SPDR SPDR WELLS
SPDR S&P OIL & GAS S&P OIL & GAS SPDR SPDR FARGO
S&P METALS EQUIPMENT EXPLORATION & S&P SPDR S&P PREFERRED
& MINING & SERVICES PRODUCTION PHARMACEUTICALS S&P RETAIL SEMICONDUCTOR STOCK
ETF ETF ETF ETF ETF ETF ETF (1)
--------------- --------------- --------------- --------------- --------------- --------------- ---------------
$ 4,268,898 $ 1,361,954 $ 2,092,487 $ 363,097 $ 3,390,742 $ 723,402 $361,846
184,406 65,075 58,544 20,077 506,410 43,747 (311)
------------ ----------- ----------- ----------- ----------- ----------- --------
4,453,304 1,427,029 2,151,031 383,174 3,897,152 767,149 361,535
------------ ----------- ----------- ----------- ----------- ----------- --------
1,274,277 458,558 642,006 89,839 927,513 213,115 18,112
10,540 3,798 5,473 766 8,577 1,930 90
-- 124 -- 2,186 -- -- --
------------ ----------- ----------- ----------- ----------- ----------- --------
1,284,817 462,480 647,479 92,791 936,090 215,045 18,202
------------ ----------- ----------- ----------- ----------- ----------- --------
3,168,487 964,549 1,503,552 290,383 2,961,062 552,104 343,333
------------ ----------- ----------- ----------- ----------- ----------- --------
112,201,941 4,290,148 11,751,177 3,949,628 82,365,376 23,147,291 (29,811)
93,935,386 53,464,144 51,407,542 8,118,291 7,994,935 10,094,919 665,174
------------ ----------- ----------- ----------- ----------- ----------- --------
206,137,327 57,754,292 63,158,719 12,067,919 90,360,311 33,242,210 635,363
------------ ----------- ----------- ----------- ----------- ----------- --------
$209,305,814 $58,718,841 $64,662,271 $12,358,302 $93,321,373 $33,794,314 $978,696
============ =========== =========== =========== =========== =========== ========
</Table>
145
SPDR SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR SPDR
DOW JONES DOW JONES
TOTAL MARKET LARGE CAP
ETF ETF
--------------------------- -------------------------
FOR THE SIX FOR THE SIX
MONTHS MONTHS
ENDED ENDED
12/31/09 YEAR ENDED 12/31/09 YEAR ENDED
(UNAUDITED) 6/30/09 (UNAUDITED) 6/30/09
------------ ------------ ----------- -----------
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net investment income (loss)................... $ 1,657,905 $ 3,174,300 $ 428,367 $ 507,856
Net realized gain (loss) on investments and
foreign currency transactions............... 2,093,672 (1,154,421) (86,401) (701,194)
Net change in unrealized appreciation
(depreciation) on investments and foreign
currency transactions....................... 31,588,122 (34,356,107) 8,236,458 379,416
------------ ------------ ----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS............................. 35,339,699 (32,336,228) 8,578,424 186,078
------------ ------------ ----------- -----------
Net equalization credits and charges........... (21,528) 167,286 -- 98,422
------------ ------------ ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income.......................... (1,441,324) (3,248,305) (337,414) (588,582)
------------ ------------ ----------- -----------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS............ (1,441,324) (3,248,305) (337,414) (588,582)
------------ ------------ ----------- -----------
FROM BENEFICIAL INTEREST TRANSACTIONS:
Net proceeds from the sale of shares........... -- 89,281,386 -- 33,927,680
Net proceeds from reinvestment of shares
issued...................................... 1,069 487 -- --
Cost of shares redeemed........................ (7,488,223) (21,571,970) -- (4,039,406)
Net income equalization (Note 2)............... 21,528 (167,286) -- (98,422)
------------ ------------ ----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS FROM
BENEFICIAL INTEREST TRANSACTIONS............... (7,465,626) 67,542,617 -- 29,789,852
------------ ------------ ----------- -----------
Net increase (decrease) in net assets during
year........................................ 26,411,221 32,125,370 8,241,010 29,485,770
Net assets at beginning of year................ 158,238,011 126,112,641 38,418,985 8,933,215
------------ ------------ ----------- -----------
NET ASSETS END OF YEAR (1)....................... $184,649,232 $158,238,011 $46,659,995 $38,418,985
============ ============ =========== ===========
SHARES OF BENEFICIAL INTEREST:
Shares sold.................................... -- 1,300,000 -- 850,000
Shares issued to shareholders from reinvestment
of distributions............................ 14 6 -- --
Shares redeemed................................ (100,000) (300,000) -- (100,000)
------------ ------------ ----------- -----------
NET INCREASE (DECREASE).......................... (99,986) 1,000,006 -- 750,000
============ ============ =========== ===========
(1) Including undistributed (distribution in
excess of) net investment income............. $ 30,137 $ (186,444) $ 3,687 $ (87,266)
============ ============ =========== ===========
</Table>
See accompanying notes to financial statements.
146
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR SPDR SPDR
DOW JONES DOW JONES DOW JONES
LARGE CAP GROWTH LARGE CAP VALUE MID CAP
ETF ETF ETF
---------------------------------- ---------------------------------- ----------------------------------
FOR THE SIX FOR THE SIX FOR THE SIX
MONTHS MONTHS MONTHS
ENDED ENDED ENDED
12/31/09 YEAR ENDED 12/31/09 YEAR ENDED 12/31/09 YEAR ENDED
(UNAUDITED) 6/30/09 (UNAUDITED) 6/30/09 (UNAUDITED) 6/30/09
--------------- --------------- --------------- --------------- --------------- ---------------
$ 815,171 $ 2,458,527 $ 1,481,982 $ 3,442,436 $ 347,322 $ 443,343
(5,044,210) (29,719,515) 2,185,804 (22,398,253) 2,023,462 (5,130,083)
42,492,504 (52,514,346) 15,761,675 (10,478,734) 7,752,342 (1,113,940)
------------ ------------- ------------ ------------ ----------- -----------
38,263,465 (79,775,334) 19,429,461 (29,434,551) 10,123,126 (5,800,680)
------------ ------------- ------------ ------------ ----------- -----------
(6,322) (127,275) (49,401) 124,412 8,762 37,015
------------ ------------- ------------ ------------ ----------- -----------
(835,944) (2,246,413) (1,258,134) (3,648,149) (263,761) (471,074)
------------ ------------- ------------ ------------ ----------- -----------
(835,944) (2,246,413) (1,258,134) (3,648,149) (263,761) (471,074)
------------ ------------- ------------ ------------ ----------- -----------
4,259,153 18,321,830 2,777,667 53,353,954 4,388,750 16,712,294
382 327 6,518 13,625 -- --
(6,920,065) (70,498,609) (13,685,917) (14,492,257) --
6,322 127,275 49,401 (124,412) (8,762) (37,015)
------------ ------------- ------------ ------------ ----------- -----------
(2,654,208) (52,049,177) (10,852,331) 38,750,910 4,379,988 16,675,279
------------ ------------- ------------ ------------ ----------- -----------
34,766,991 (134,198,199) 7,269,595 5,792,622 14,248,115 10,440,540
154,816,935 289,015,134 99,220,546 93,427,924 31,260,286 20,819,746
------------ ------------- ------------ ------------ ----------- -----------
$189,583,926 $ 154,816,935 $106,490,141 $ 99,220,546 $45,508,401 $31,260,286
============ ============= ============ ============ =========== ===========
100,000 450,000 50,000 1,000,000 100,000 450,000
9 9 127 264 -- --
(150,000) (1,900,000) (250,000) (300,000) -- --
------------ ------------- ------------ ------------ ----------- -----------
(49,991) (1,449,991) (199,873) 700,264 100,000 450,000
============ ============= ============ ============ =========== ===========
$ 19,414 $ 40,187 $ 40,231 $ (183,617) $ (13,714) $ (97,275)
============ ============= ============ ============ =========== ===========
</Table>
147
SPDR SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR SPDR
DOW JONES DOW JONES
MID CAP GROWTH MID CAP VALUE
ETF ETF
---------------------------------- ----------------------------------
For the Six For the Six
Months Months
Ended Ended
12/31/09 Year Ended 12/31/09 Year Ended
(Unaudited) 6/30/09 (Unaudited) 6/30/09
--------------- --------------- --------------- ---------------
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net investment income (loss).......... $ 233,551 $ 250,908 $ 216,029 $ 332,131
Net realized gain (loss) on
investments and foreign currency
transactions....................... 1,664,355 (8,964,604) 799,208 (3,282,204)
Net change in unrealized appreciation
(depreciation) on investments and
foreign currency transactions...... 13,149,401 (419,371) 2,319,318 404,013
----------- ----------- ----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS.......... 15,047,307 (9,133,067) 3,334,555 (2,546,060)
----------- ----------- ----------- -----------
Net equalization credits and charges.. 12,719 10,023 20,433 (23,866)
----------- ----------- ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................. (229,285) (254,596) (190,473) (319,079)
Net realized gains.................... -- -- -- --
----------- ----------- ----------- -----------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS... (229,285) (254,596) (190,473) (319,079)
----------- ----------- ----------- -----------
FROM BENEFICIAL INTEREST TRANSACTIONS:
Net proceeds from the sale of shares.. 19,161,203 11,384,549 6,257,634 5,146,279
Net proceeds from reinvestment of
shares issued...................... -- -- -- --
Cost of shares redeemed............... -- (3,034,805) -- (3,525,839)
Net income equalization (Note 2)...... (12,719) (10,023) (20,433) 23,866
----------- ----------- ----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS
FROM BENEFICIAL INTEREST
TRANSACTIONS.......................... 19,148,484 8,339,721 6,237,201 1,644,306
----------- ----------- ----------- -----------
Net increase (decrease) in net assets
during year........................ 33,979,225 (1,037,919) 9,401,716 (1,244,699)
Net assets at beginning of year....... 42,939,259 43,977,178 8,823,489 10,068,188
----------- ----------- ----------- -----------
NET ASSETS END OF YEAR (1).............. $76,918,484 $42,939,259 $18,225,205 $ 8,823,489
=========== =========== =========== ===========
SHARES OF BENEFICIAL INTEREST:
Shares sold........................... 350,000 300,000 150,000 150,000
Shares issued to shareholders from
reinvestment of distributions...... -- -- -- --
Shares redeemed....................... -- (50,000) -- (100,000)
----------- ----------- ----------- -----------
NET INCREASE (DECREASE)................. 350,000 250,000 150,000 50,000
=========== =========== =========== ===========
(1) Including undistributed
(distribution in excess of) net
investment income................... $ (17,887) $ (22,153) $ (24,005) $ (49,561)
=========== =========== =========== ===========
</Table>
See accompanying notes to financial statements.
148
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR SPDR SPDR
DOW JONES DOW JONES DOW JONES
SMALL CAP SMALL CAP GROWTH SMALL CAP VALUE
ETF ETF ETF
---------------------------------- ---------------------------------- ----------------------------------
For the Six For the Six For the Six
Months Months Months
Ended Ended Ended
12/31/09 Year Ended 12/31/09 Year Ended 12/31/09 Year Ended
(Unaudited 6/30/09 (Unaudited) 6/30/09 (Unaudited) 6/30/09
--------------- --------------- --------------- --------------- --------------- ---------------
$ 244,113 $ 336,842 $ 270,235 $ 665,530 $ 1,260,939 $ 2,329,091
539,600 (1,529,721) 3,939,431 (10,609,089) 1,335,720 (11,897,564)
5,827,937 (2,381,697) 21,923,614 (10,871,283) 20,220,679 (12,389,930)
----------- ----------- ------------ ------------ ----------- ------------
6,611,650 (3,574,576) 26,133,280 (20,814,842) 22,817,338 (21,958,403)
----------- ----------- ------------ ------------ ----------- ------------
(1,477) 24,819 (1,451) 47,524 16,512 (27,061)
----------- ----------- ------------ ------------ ----------- ------------
(178,053) (327,907) (154,312) (683,706) (879,382) (1,928,987)
-- -- -- -- -- (266,335)
----------- ----------- ------------ ------------ ----------- ------------
(178,053) (327,907) (154,312) (683,706) (879,382) (2,195,322)
----------- ----------- ------------ ------------ ----------- ------------
12,839,260 12,736,870 13,706,478 45,604,693 10,191,253 39,138,899
636 300 -- 88 519 3,933
-- -- (11,933,379) (16,157,524) (2,711,021) (34,960,025)
1,477 (24,819) 1,451 (47,524) (16,512) 27,061
----------- ----------- ------------ ------------ ----------- ------------
12,841,373 12,712,351 1,774,550 29,399,733 7,464,239 4,209,868
----------- ----------- ------------ ------------ ----------- ------------
19,273,493 8,834,687 27,752,067 7,948,709 29,418,707 (19,970,918)
22,651,426 13,816,739 94,077,266 86,128,557 69,885,334 89,856,252
----------- ----------- ------------ ------------ ----------- ------------
$41,924,919 $22,651,426 $121,829,333 $ 94,077,266 $99,304,041 $ 69,885,334
=========== =========== ============ ============ =========== ============
250,000 300,000 200,000 700,000 200,000 700,000
14 9 -- 1 11 73
-- -- (150,000) (250,000) (50,000) (650,000)
----------- ----------- ------------ ------------ ----------- ------------
250,014 300,009 50,000 450,001 150,011 50,073
=========== =========== ============ ============ =========== ============
$ (305) $ (66,365) $ (55) $ (115,978) $ (18,532) $ (400,089)
=========== =========== ============ ============ =========== ============
</Table>
149
SPDR SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR DJ SPDR DOW JONES
GLOBAL TITANS REIT
ETF ETF
---------------------------------- ----------------------------------
For the Six For the Six
Months Months
Ended Ended
12/31/09 Year Ended 12/31/09 Year Ended
(Unaudited) 6/30/09 (Unaudited) 6/30/09
--------------- --------------- --------------- ---------------
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net investment income (loss).......... $ 891,515 $ 3,147,125 $ 23,848,750 $ 46,799,378
Net realized gain (loss) on
investments and foreign currency
transactions....................... (323,798) (20,488,317) 14,147,496 (274,749,551)
Net change in unrealized appreciation
(depreciation) on investments and
foreign currency transactions...... 15,555,919 (24,256,525) 358,295,161 (433,828,051)
------------ ------------ -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS.......... 16,123,636 (41,597,717) 396,291,407 (661,778,224)
------------ ------------ -------------- --------------
Net equalization credits and charges.. 65,654 (176,604) 48,199 2,600,928
------------ ------------ -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................. (1,119,611) (2,892,421) (22,475,622) (55,657,332)
------------ ------------ -------------- --------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS... (1,119,611) (2,892,421) (22,475,622) (55,657,332)
------------ ------------ -------------- --------------
FROM BENEFICIAL INTEREST TRANSACTIONS:
Net proceeds from the sale of shares.. 19,356,213 23,127,126 100,186,152 528,069,032
Net proceeds from reinvestment of
shares issued...................... 6,999 7,504 96,560 323,119
Cost of shares redeemed............... (2,648,973) (71,375,891) (337,659,622) (191,862,425)
Net income equalization (Note 2)...... (65,654) 176,604 (48,199) (2,600,928)
------------ ------------ -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM BENEFICIAL INTEREST
TRANSACTIONS.......................... 16,648,585 (48,064,657) (237,425,109) 333,928,798
------------ ------------ -------------- --------------
Net increase (decrease) in net assets
during year........................ 31,718,264 (92,731,399) 136,438,875 (380,905,830)
Net assets at beginning of year....... 70,922,532 163,653,931 908,890,330 1,289,796,160
------------ ------------ -------------- --------------
NET ASSETS END OF YEAR (1).............. $102,640,796 $ 70,922,532 $1,045,329,205 $ 908,890,330
============ ============ ============== ==============
SHARES OF BENEFICIAL INTEREST:
Shares sold........................... 350,000 450,000 2,400,000 11,500,000
Shares issued to shareholders from
reinvestment of distributions...... 141 157 2,402 6,899
Shares redeemed....................... (50,000) (1,400,000) (7,900,000) (4,500,000)
------------ ------------ -------------- --------------
NET INCREASE (DECREASE)................. 300,141 (949,843) (5,497,598) 7,006,899
============ ============ ============== ==============
(1) Including undistributed
(distribution in excess of) net
investment income................... $ (46,613) $ 181,483 $ (13,108,684) $ (14,481,812)
============ ============ ============== ==============
</Table>
See accompanying notes to financial statements.
150
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR KBW SPDR KBW SPDR KBW
BANK CAPITAL MARKETS INSURANCE
ETF ETF ETF
---------------------------------- ---------------------------------- ----------------------------------
For the Six For the Six For the Six
Months Months Months
Ended Ended Ended
12/31/09 Year Ended 12/31/09 Year Ended 12/31/09 Year Ended
(Unaudited) 6/30/09 (Unaudited) 6/30/09 (Unaudited) 6/30/09
--------------- --------------- --------------- --------------- --------------- ---------------
$ 4,463,030 $ 36,190,164 $ 315,074 $ 1,339,451 $ 1,593,464 $ 1,945,607
(171,964,468) (341,300,990) 2,160,461 (60,588,793) 36,883,659 (48,781,149)
297,970,636 (193,187,760) 4,283,488 17,974,335 4,796,804 9,231,599
------ -------- ------ -------- ------------- ------------- ------------- -------------
130,469,198 (498,298,586) 6,759,023 (41,275,007) 43,273,927 (37,603,943)
------ -------- ------ -------- ------------- ------------- ------------- -------------
(334,935) 1,161,281 (18,678) (69,089) (36,797) 419,502
------ -------- ------ -------- ------------- ------------- ------------- -------------
(3,662,490) (31,427,389) (315,603) (1,034,884) (1,277,239) (2,043,777)
------ -------- ------ -------- ------------- ------------- ------------- -------------
(3,662,490) (31,427,389) (315,603) (1,034,884) (1,277,239) (2,043,777)
------ -------- ------ -------- ------------- ------------- ------------- -------------
2,062,267,484 6,031,102,867 99,232,001 576,362,751 411,230,581 494,256,921
2,258 39,103 -- -- -- --
(2,201,845,773) (5,563,002,677) (103,179,006) (571,164,830) (441,392,320) (378,778,174)
334,935 (1,161,281) 18,678 69,089 36,797 (419,502)
------ -------- ------ -------- ------------- ------------- ------------- -------------
(139,241,096) 466,978,012 (3,928,327) 5,267,010 (30,124,942) 115,059,245
------ -------- ------ -------- ------------- ------------- ------------- -------------
(12,769,323) (61,586,682) 2,496,415 (37,111,970) 11,834,949 75,831,027
821,693,602 883,280,284 80,188,367 117,300,337 139,204,844 63,373,817
------ -------- ------ -------- ------------- ------------- ------------- -------------
$ 808,924,279 $ 821,693,602 $ 82,684,782 $ 80,188,367 $ 151,039,793 $ 139,204,844
====== ======== ====== ======== ============= ============= ============= =============
95,800,000 273,200,000 2,750,000 17,200,000 12,100,000 17,650,000
111 1,392 -- -- -- --
(103,100,000) (258,650,000) (2,900,000) (17,400,000) (13,000,000) (13,950,000)
------ -------- ------ -------- ------------- ------------- ------------- -------------
(7,299,889) 14,551,392 (150,000) (200,000) (900,000) 3,700,000
====== ======== ====== ======== ============= ============= ============= =============
$ 216,426 $ (584,114) $ 88,663 $ 89,192 $ 15,056 $ (301,169)
====== ======== ====== ======== ============= ============= ============= =============
</Table>
151
SPDR SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR KBW
SPDR KBW REGIONAL
MORTGAGE FINANCE BANKING
ETF ETF
---------------------------------- ----------------------------------
For the Six For the Six
Months Months
Ended For the period Ended
12/31/09 4/29/09*- 12/31/09 Year Ended
(Unaudited) 6/30/09 (Unaudited) 6/30/09
--------------- --------------- --------------- ---------------
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net investment income (loss).......... $ 60,208 $ 21,918 $ 4,582,064 $ 22,153,652
Net realized gain (loss) on
investments and foreign currency
transactions....................... 82,714 (43,361) (110,394,242) (240,638,024)
Net change in unrealized appreciation
(depreciation) on investments and
foreign currency transactions...... 562,715 (663,910) 173,652,489 (151,814,096)
----------- ---------- ------ -------- ------ --------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS.......... 705,637 (685,353) 67,840,311 (370,298,468)
----------- ---------- ------ -------- ------ --------
Net equalization credits and charges.. (7,981) 6,083 (51,591) 1,694,638
----------- ---------- ------ -------- ------ --------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................. (55,385) (26,714) (3,345,044) (30,200,435)
Net realized gains.................... (20,025) -- -- --
----------- ---------- ------ -------- ------ --------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS... (75,410) (26,714) (3,345,044) (30,200,435)
----------- ---------- ------ -------- ------ --------
FROM BENEFICIAL INTEREST TRANSACTIONS:
Net proceeds from the sale of shares.. -- 6,139,244 1,855,549,347 5,364,521,846
Net proceeds from reinvestment of
shares issued...................... -- -- 18,574 40,388
Cost of shares redeemed............... (1,964,417) -- (1,910,304,068) (5,238,409,636)
Net income equalization (Note 2)...... 7,981 (6,083) 51,591 (1,694,638)
----------- ---------- ------ -------- ------ --------
NET INCREASE (DECREASE) IN NET ASSETS
FROM BENEFICIAL INTEREST
TRANSACTIONS.......................... (1,956,436) 6,133,161 (54,684,556) 124,457,960
----------- ---------- ------ -------- ------ --------
Voluntary contribution from Advisor... -- -- -- --
----------- ---------- ------ -------- ------ --------
Net increase (decrease) in net assets
during year........................ (1,334,190) 5,427,177 9,759,120 (274,346,305)
Net assets at beginning of year....... 5,427,177 -- 434,937,404 709,283,709
----------- ---------- ------ -------- ------ --------
NET ASSETS END OF YEAR (1).............. $ 4,092,987 $5,427,177 $ 444,696,524 $ 434,937,404
=========== ========== ====== ======== ====== ========
SHARES OF BENEFICIAL INTEREST:
Shares sold........................... -- 150,000 88,650,000 189,700,000
Shares issued to shareholders from
reinvestment of distributions...... -- -- 930 1,519
Shares redeemed....................... (50,000) -- (92,450,000) (192,650,000)
----------- ---------- ------ -------- ------ --------
NET INCREASE (DECREASE)................. (50,000) 150,000 (3,799,070) (2,948,481)
=========== ========== ====== ======== ====== ========
(1) Including undistributed
(distribution in excess of) net
investment income................... $ 27 $ (4,796) $ (62,542) $ (1,299,562)
=========== ========== ====== ======== ====== ========
</Table>
<Table>
* Commencement of operations
</Table>
See accompanying notes to financial statements.
152
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR
MORGAN STANLEY SPDR SPDR
TECHNOLOGY S&P DIVIDEND S&P BIOTECH
ETF ETF ETF
---------------------------------- ---------------------------------- ----------------------------------
For the Six For the Six For the Six
Months Months Months
Ended Ended Ended
12/31/09 Year Ended 12/31/09 Year Ended 12/31/09 Year Ended
(Unaudited) 6/30/09 (Unaudited) 6/30/09 (Unaudited) 6/30/09
--------------- --------------- --------------- --------------- --------------- ---------------
$ 131,582 $ 979,357 $ 18,505,505 $ 20,602,688 $ (249,876) $ 3,877,063
(2,005,974) (34,789,154) 45,754,194 (134,987,178) (4,712,085) (94,674,335)
57,041,120 (18,399,193) 120,208,303 77,037,794 28,649,853 (24,720,840)
------------ ------------ -------------- ------------- ------------- -------------
55,166,728 (52,208,990) 184,468,002 (37,346,696) 23,687,892 (115,518,112)
------------ ------------ -------------- ------------- ------------- -------------
2,140 (10,362) 1,195,911 1,680,369 53,572 5,249
------------ ------------ -------------- ------------- ------------- -------------
(111,173) (984,816) (20,162,901) (22,069,140) (12,144) (1,461,033)
-- -- -- -- -- --
------------ ------------ -------------- ------------- ------------- -------------
(111,173) (984,816) (20,162,901) (22,069,140) (12,144) (1,461,033)
------------ ------------ -------------- ------------- ------------- -------------
10,261,444 106,881,919 424,222,499 551,760,708 123,602,712 821,819,762
-- 182 91,126 51,009 -- --
(7,092,093) (84,740,532) (8,930,691) (64,119,182) (173,569,282) (542,400,771)
(2,140) 10,362 (1,195,911) (1,680,369) (53,572) (5,249)
------------ ------------ -------------- ------------- ------------- -------------
3,167,211 22,151,931 414,187,023 486,012,166 (50,020,142) 279,413,742
------------ ------------ -------------- ------------- ------------- -------------
-- -- -- -- -- 1,726,351
------------ ------------ -------------- ------------- ------------- -------------
58,224,906 (31,052,237) 579,688,035 428,276,699 (26,290,822) 164,166,197
197,818,233 228,870,470 658,655,165 230,378,466 428,507,944 264,341,747
------------ ------------ -------------- ------------- ------------- -------------
$256,043,139 $197,818,233 $1,238,343,200 $ 658,655,165 $ 402,217,122 $ 428,507,944
============ ============ ============== ============= ============= =============
200,000 2,550,000 9,650,000 13,950,000 2,350,000 14,200,000
-- 4 2,202 1,325 -- --
(150,000) (2,300,000) (200,000) (1,800,000) (3,300,000) (10,350,000)
------------ ------------ -------------- ------------- ------------- -------------
50,000 250,004 9,452,202 12,151,325 (950,000) 3,850,000
============ ============ ============== ============= ============= =============
$ (871) $ (21,280) $ (3,308,282) $ (1,650,886) $ (249,880) $ 12,140
============ ============ ============== ============= ============= =============
</Table>
153
SPDR SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR SPDR
S&P HOMEBUILDERS S&P METALS & MINING
ETF ETF
---------------------------------- ----------------------------------
For the Six For the Six
Months Months
Ended Ended
12/31/09 Year Ended 12/31/09 Year Ended
(Unaudited) 6/30/09 (Unaudited) 6/30/09
--------------- --------------- --------------- ---------------
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net investment income (loss).......... $ 3,541,153 $ 10,266,268 $ 3,168,487 $ 4,979,970
Net realized gain (loss) on
investments and foreign currency
transactions....................... 127,901,885 (459,491,919) 112,201,941 (261,610,132)
Net change in unrealized appreciation
(depreciation) on investments and
foreign currency transactions...... 12,132,913 143,673,510 93,935,386 (66,817,314)
------ -------- ------ -------- ------ -------- ------ --------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS.......... 143,575,951 (305,552,141) 209,305,814 (323,447,476)
------ -------- ------ -------- ------ -------- ------ --------
Net equalization credits and charges.. (26,297) 618,208 (129,466) 393,942
------ -------- ------ -------- ------ -------- ------ --------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................. (3,119,928) (12,064,713) (3,864,071) (5,169,117)
Net realized gains.................... -- -- -- --
------ -------- ------ -------- ------ -------- ------ --------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS... (3,119,928) (12,064,713) (3,864,071) (5,169,117)
------ -------- ------ -------- ------ -------- ------ --------
FROM BENEFICIAL INTEREST TRANSACTIONS:
Net proceeds from the sale of shares.. 1,233,447,020 2,989,402,107 1,298,429,790 2,140,363,923
Net proceeds from reinvestment of
shares issued...................... 220 -- 5,409 2,648
Cost of shares redeemed............... (1,244,578,642) (2,651,227,691) (1,213,019,758) (2,028,519,747)
Net income equalization (Note 2)...... 26,297 (618,208) 129,466 (393,942)
------ -------- ------ -------- ------ -------- ------ --------
NET INCREASE (DECREASE) IN NET ASSETS
FROM BENEFICIAL INTEREST
TRANSACTIONS.......................... (11,105,105) 337,556,208 85,544,907 111,452,882
------ -------- ------ -------- ------ -------- ------ --------
Voluntary contribution from Adviser... -- -- -- --
------ -------- ------ -------- ------ -------- ------ --------
Net increase (decrease) in net assets
during year........................ 129,324,621 20,557,562 290,857,184 (216,769,769)
Net assets at beginning of year....... 556,110,549 535,552,987 602,422,792 819,192,561
------ -------- ------ -------- ------ -------- ------ --------
NET ASSETS END OF YEAR (1).............. $ 685,435,170 $ 556,110,549 $ 893,279,976 $ 602,422,792
====== ======== ====== ======== ====== ======== ====== ========
SHARES OF BENEFICIAL INTEREST:
Shares sold........................... 83,150,000 221,600,000 28,750,000 51,650,000
Shares issued to shareholders from
reinvestment of distributions...... 16 -- 133 92
Shares redeemed....................... (85,000,000) (206,750,000) (27,700,000) (44,100,000)
------ -------- ------ -------- ------ -------- ------ --------
NET INCREASE (DECREASE)................. (1,849,984) 14,850,000 1,050,133 7,550,092
====== ======== ====== ======== ====== ======== ====== ========
(1) Including undistributed
(distribution in excess of) net
investment income................... $ (57,032) $ (478,257) $ (553,227) $ 142,357
====== ======== ====== ======== ====== ======== ====== ========
</Table>
See accompanying notes to financial statements.
154
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR S&P OIL & GAS SPDR S&P OIL & GAS SPDR
EQUIPMENT & SERVICES EXPLORATION & PRODUCTION S&P PHARMACEUTICALS
ETF ETF ETF
---------------------------------- ---------------------------------- ----------------------------------
For the Six For the Six For the Six
Months Months Months
Ended Ended Ended
12/31/09 Year Ended 12/31/09 Year Ended 12/31/09 Year Ended
(Unaudited) 6/30/09 (Unaudited) 6/30/09 (Unaudited) 6/30/09
--------------- --------------- --------------- --------------- --------------- ---------------
$ 964,549 $ 1,132,208 $ 1,503,552 $ 2,132,239 $ 290,383 $ 533,912
4,290,148 (55,640,576) 11,751,177 (132,834,713) 3,949,628 (3,493,487)
53,464,144 (88,887,400) 51,407,542 (83,900,106) 8,118,291 2,830,730
------------ ------------- ------ -------- ------ -------- ----------- ------------
58,718,841 (143,395,768) 64,662,271 (214,602,580) 12,358,302 (128,845)
------------ ------------- ------ -------- ------ -------- ----------- ------------
(44,823) 5,007 (248,307) 169,086 5,215 38,194
------------ ------------- ------ -------- ------ -------- ----------- ------------
(901,263) (1,111,182) (1,290,608) (2,190,011) (261,592) (562,918)
-- -- -- -- -- (65,554)
------------ ------------- ------ -------- ------ -------- ----------- ------------
(901,263) (1,111,182) (1,290,608) (2,190,011) (261,592) (628,472)
------------ ------------- ------ -------- ------ -------- ----------- ------------
90,062,656 163,432,877 1,469,772,516 2,641,583,363 13,892,168 49,204,184
-- -- -- -- 35 31
(42,755,773) (99,773,052) (1,393,361,629) (2,456,461,127) (1,726,254) (17,276,711)
44,823 (5,007) 248,307 (169,086) (5,215) (38,194)
------------ ------------- ------ -------- ------ -------- ----------- ------------
47,351,706 63,654,818 76,659,194 184,953,150 12,160,734 31,889,310
------------ ------------- ------ -------- ------ -------- ----------- ------------
-- -- -- -- -- --
------------ ------------- ------ -------- ------ -------- ----------- ------------
105,124,461 (80,847,125) 139,782,550 (31,670,355) 24,262,659 31,170,187
199,100,926 279,948,051 280,282,060 311,952,415 40,498,641 9,328,454
------------ ------------- ------ -------- ------ -------- ----------- ------------
$304,225,387 $ 199,100,926 $ 420,064,610 $ 280,282,060 $64,761,300 $ 40,498,641
============ ============= ====== ======== ====== ======== =========== ============
3,150,000 7,300,000 38,950,000 75,050,000 400,000 1,700,000
-- -- -- -- 1 1
(1,600,000) (3,650,000) (37,600,000) (70,650,000) (50,000) (650,000)
------------ ------------- ------ -------- ------ -------- ----------- ------------
1,550,000 3,650,000 1,350,000 4,400,000 350,001 1,050,001
============ ============= ====== ======== ====== ======== =========== ============
$ 40,084 $ (23,202) $ 118,454 $ (94,490) $ (7,933) $ (36,724)
============ ============= ====== ======== ====== ======== =========== ============
</Table>
155
SPDR SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR
WELLS FARGO
PREFERRED
STOCK ETF
--------------
SPDR SPDR
S&P RETAIL S&P SEMICONDUCTOR
ETF ETF
--------------------------------- --------------------------
FOR THE SIX FOR THE SIX
MONTHS MONTHS FOR THE PERIOD
ENDED ENDED 9/16/09* -
12/31/09 YEAR ENDED 12/31/09 YEAR ENDED 12/31/09
(UNAUDITED) 6/30/09 (UNAUDITED) 6/30/09 (UNAUDITED)
--------------- ---------------- ------------ ------------ --------------
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income (loss)...... $ 2,961,062 $ 5,278,654 $ 552,104 $ 429,964 $ 343,333
Net realized gain (loss) on
investments and foreign
currency transactions.......... 82,365,376 (216,930,922) 23,147,291 (16,661,344) (29,811)
Net change in unrealized
appreciation (depreciation) on
investments and foreign
currency transactions.......... 7,994,935 21,099,340 10,094,919 23,342,847 665,174
--------------- ---------------- ------------ ------------ -----------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS..................... 93,321,373 (190,552,928) 33,794,314 7,111,467 978,696
--------------- ---------------- ------------ ------------ -----------
Net equalization credits and
charges........................ (4,798,321) (95,155) (36,559) 29,997 144,087
--------------- ---------------- ------------ ------------ -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income............. (720,620) (5,623,569) (509,556) (433,928) (480,967)
Net realized gains................ -- -- -- -- --
--------------- ---------------- ------------ ------------ -----------
TOTAL DISTRIBUTIONS TO
SHAREHOLDERS................... (720,620) (5,623,569) (509,556) (433,928) (480,967)
--------------- ---------------- ------------ ------------ -----------
FROM BENEFICIAL INTEREST
TRANSACTIONS:
Net proceeds from the sale of
shares......................... 8,540,168,400 11,839,508,553 45,034,962 124,086,754 24,388,880
Net proceeds from reinvestment of
shares issued.................. 1,737 1,282 -- -- --
Cost of shares redeemed........... (9,217,386,576) (10,888,760,286) (84,148,426) (67,019,898) --
Net income equalization (Note 2).. 4,798,321 95,155 36,559 (29,997) (144,087)
--------------- ---------------- ------------ ------------ -----------
NET INCREASE (DECREASE) IN NET
ASSETS FROM BENEFICIAL INTEREST
TRANSACTIONS...................... (672,418,118) 950,844,704 (39,076,905) 57,036,859 24,244,793
--------------- ---------------- ------------ ------------ -----------
Voluntary contribution from
Adviser........................ 11,147 53,830 -- -- --
--------------- ---------------- ------------ ------------ -----------
Net increase (decrease) in net
assets during year............. (584,604,539) 754,626,882 (5,828,706) 63,744,395 24,886,609
Net assets at beginning of year... 1,018,007,223 263,380,341 103,282,378 39,537,983 --
--------------- ---------------- ------------ ------------ -----------
NET ASSETS END OF YEAR(1)........... $ 433,402,684 $ 1,018,007,223 $ 97,453,672 $103,282,378 $24,886,609
=============== ================ ============ ============ ===========
SHARES OF BENEFICIAL INTEREST:
Shares sold....................... 257,550,000 470,050,000 1,150,000 4,150,000 600,000
Shares issued to shareholders from
reinvestment of distributions.. 58 53 -- -- --
Shares redeemed................... (282,150,000) (442,300,000) (2,150,000) (2,050,000) --
--------------- ---------------- ------------ ------------ -----------
NET INCREASE (DECREASE)............. (24,599,942) 27,750,053 (1,000,000) 2,100,000 600,000
=============== ================ ============ ============ ===========
(1) Including undistributed
(distribution in excess of) net
investment income............... $ 2,367,881 $ 127,439 $ 4,441 $ (38,107) $ (137,634)
=============== ================ ============ ============ ===========
</Table>
<Table>
* Commencement of operations
</Table>
See accompanying notes to financial statements.
156
(This page intentionally left blank)
157
SPDR SERIES TRUST
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR DOW JONES TOTAL MARKET ETF
-----------------------------------------------------------------
FOR THE
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
12/31/09 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 6/30/09 6/30/08 6/30/07 6/30/06 6/30/05
----------- -------- -------- -------- ------- --------
NET ASSET VALUE, BEGINNING OF PERIOD....... $ 67.33 $ 93.41 $ 108.50 $ 91.82 $ 85.26 $ 80.87
-------- -------- -------- -------- ------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)............... 0.73(4) 1.66(4) 1.74 1.61 1.50 1.69
Net realized and unrealized gain (loss)
(5)...................................... 14.65 (26.18) (15.07) 16.69 6.54 4.38
-------- -------- -------- -------- ------- --------
Total from investment operations........... 15.38 (24.52) (13.33) 18.30 8.04 6.07
-------- -------- -------- -------- ------- --------
Net equalization credits and charges (4)... (0.01) 0.09 0.03 -- -- --
-------- -------- -------- -------- ------- --------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income...................... (0.64) (1.65) (1.79) (1.62) (1.48) (1.68)
Net realized gains......................... -- -- -- -- -- --
-------- -------- -------- -------- ------- --------
Total distributions........................ (0.64) (1.65) (1.79) (1.62) (1.48) (1.68)
-------- -------- -------- -------- ------- --------
NET ASSET VALUE, END OF PERIOD............. $ 82.06 $ 67.33 $ 93.41 $ 108.50 $ 91.82 $ 85.26
======== ======== ======== ======== ======= ========
TOTAL RETURN (1)........................... 22.86% (26.18)% (12.36)% 20.06% 9.47% 7.55%
Net assets, end of period (in 000s)........ $184,649 $158,238 $126,113 $130,218 $96,416 $106,580
Ratio of expenses to average net assets.... 0.21%(2) 0.21% 0.20% 0.20% 0.21% 0.21%
Ratio of net investment income (loss) to
average net assets....................... 1.89%(2) 2.42% 1.74% 1.62% 1.62% 2.05%
Portfolio turnover rate (3)................ 1% 10% 1% 2% 2% 32%
</Table>
See accompanying notes to Financial Highlights on page 175 and notes to
financial statements.
158
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR DOW JONES LARGE CAP ETF SPDR DOW JONES LARGE CAP GROWTH ETF
----------------------------------------------------- ------------------------------------------------------------
FOR THE FOR THE
SIX MONTHS FOR THE SIX MONTHS
ENDED YEAR YEAR YEAR PERIOD ENDED YEAR YEAR YEAR YEAR YEAR
12/31/09 ENDED ENDED ENDED 11/8/05*- 12/31/09 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 6/30/09 6/30/08 6/30/07 6/30/06 (UNAUDITED) 6/30/09 6/30/08 6/30/07 6/30/06 6/30/05
----------- ------- ------- ------- --------- ----------- -------- -------- -------- -------- -------
$ 42.69 $ 59.55 $ 68.91 $ 58.17 $56.03 $ 39.70 $ 54.02 $ 57.36 $ 49.05 $ 46.27 $ 47.56
------- ------- ------- ------- ------ -------- -------- -------- -------- -------- -------
0.48(4) 1.09(4) 1.18 1.11 0.94 0.21(4) 0.52(4) 0.44 0.47 0.34 0.71
9.04 (17.02) (9.26) 10.74 2.11 9.54 (14.31) (3.33) 8.32 2.78 (1.29)
------- ------- ------- ------- ------ -------- -------- -------- -------- -------- -------
9.52 (15.93) (8.08) 11.85 3.05 9.75 (13.79) (2.89) 8.79 3.12 (0.58)
------- ------- ------- ------- ------ -------- -------- -------- -------- -------- -------
-- 0.21 (0.00)+ -- -- -- (0.03) 0.01 (0.01) -- --
------- ------- ------- ------- ------ -------- -------- -------- -------- -------- -------
(0.37) (1.14) (1.18) (1.11) (0.91) (0.21) (0.50) (0.46) (0.47) (0.34) (0.71)
-- -- (0.10) -- -- -- -- -- -- -- --
------- ------- ------- ------- ------ -------- -------- -------- -------- -------- -------
(0.37) (1.14) (1.28) (1.11) (0.91) (0.21) (0.50) (0.46) (0.47) (0.34) (0.71)
------- ------- ------- ------- ------ -------- -------- -------- -------- -------- -------
$ 51.84 $ 42.69 $ 59.55 $ 68.91 $58.17 $ 49.24 $ 39.70 $ 54.02 $ 57.36 $ 49.05 $ 46.27
======= ======= ======= ======= ====== ======== ======== ======== ======== ======== =======
22.36% (26.44)% (11.84)% 20.50% 5.47% 24.61% (25.58)% (5.04)% 17.96% 6.75% (1.25)%
$46,660 $38,419 $ 8,933 $10,337 $5,817 $189,584 $154,817 $289,015 $223,708 $137,353 $80,981
0.22%(2) 0.23% 0.20% 0.20% 0.21%(2) 0.20%(2) 0.20% 0.20% 0.20% 0.21% 0.21%
1.95%(2) 2.63% 1.80% 1.69% 1.68%(2) 0.91%(2) 1.27% 0.81% 0.92% 0.74% 1.57%
3% 10% 7% 4% 4% 9% 32% 14% 15% 43% 21%
</Table>
See accompanying notes to Financial Highlights on page 175 and notes to
financial statements.
159
SPDR SERIES TRUST
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR DOW JONES LARGE CAP VALUE ETF
----------------------------------------------------------------------
FOR THE
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
12/31/09 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 6/30/09 6/30/08 6/30/07 6/30/06 (6) 6/30/05 (6)
----------- ------- ------- -------- ----------- -----------
NET ASSET VALUE, BEGINNING OF PERIOD.... $ 48.38 $ 69.18 $ 87.77 $ 73.15 $ 67.72 $ 62.91
-------- ------- ------- -------- -------- --------
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income (loss)............ 0.77(4) 1.93(4) 2.37 1.99 1.80 1.70
Net realized and unrealized gain
(loss)(5)............................. 9.09 (20.78) (18.59) 14.61 5.44 4.81
-------- ------- ------- -------- -------- --------
Total from investment operations........ 9.86 (18.85) (16.22) 16.60 7.24 6.51
-------- ------- ------- -------- -------- --------
Net equalization credits and charges
(4)................................... (0.03) 0.07 (0.09) 0.02 -- --
-------- ------- ------- -------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................... (0.67) (2.02) (2.28) (2.00) (1.81) (1.70)
Net realized gains...................... -- -- -- -- -- --
-------- ------- ------- -------- -------- --------
Total distributions..................... (0.67) (2.02) (2.28) (2.00) (1.81) (1.70)
-------- ------- ------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD.......... $ 57.54 $ 48.38 $ 69.18 $ 87.77 $ 73.15 $ 67.72
======== ======= ======= ======== ======== ========
TOTAL RETURN (1)........................ 20.34% (27.33)% (18.85)% 22.90% 10.80% 10.43%
Net assets, end of period (in 000s)..... $106,490 $99,221 $93,428 $149,247 $102,432 $135,456
Ratio of expenses to average net
assets................................ 0.21%(2) 0.21% 0.20% 0.20% 0.21% 0.21%
Ratio of net investment income (loss) to
average net assets.................... 2.79%(2) 3.73% 2.80% 2.44% 2.52% 2.51%
Portfolio turnover rate (3)............. 10% 36% 13% 13% 42% 19%
</Table>
See accompanying notes to Financial Highlights on page 175 and notes to
financial statements.
160
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR DOW JONES MID CAP ETF SPDR DOW JONES MID CAP GROWTH ETF
----------------------------------------------------- -----------------------------------------------------
FOR THE FOR THE
SIX MONTHS FOR THE SIX MONTHS FOR THE
ENDED YEAR YEAR YEAR PERIOD ENDED YEAR YEAR YEAR PERIOD
12/31/09 ENDED ENDED ENDED 11/8/05*- 12/31/09 ENDED ENDED ENDED 11/8/05*-
(UNAUDITED) 6/30/09 6/30/08 6/30/07 6/30/06 (UNAUDITED) 6/30/09 6/30/08 6/30/07 6/30/06
----------- ------- ------- ------- --------- ----------- ------- ------- ------- ---------
$ 36.78 $ 52.05 $ 62.63 $ 53.16 $ 49.18 $ 45.20 $ 62.82 $ 68.88 $ 58.22 $ 53.95
------- ------- ------- ------- ------- ------- ------- ------- ------- -------
0.39(4) 0.74(4) 0.65 0.78 0.41 0.21(4) 0.33(4) 0.28 0.51 0.11
11.01 (15.32) (7.80) 10.28 3.96 13.94 (17.64) (5.01) 12.17 4.26
------- ------- ------- ------- ------- ------- ------- ------- ------- -------
11.40 (14.58) (7.15) 11.06 4.37 14.15 (17.31) (4.73) 12.68 4.37
------- ------- ------- ------- ------- ------- ------- ------- ------- -------
0.01 0.06 (0.01) -- -- 0.01 0.01 (0.00)+ -- --
------- ------- ------- ------- ------- ------- ------- ------- ------- -------
(0.29) (0.75) (0.72) (0.80) (0.39) (0.19) (0.32) (0.29) (0.52) (0.10)
-- -- (2.70) (0.79) -- -- -- (1.04) (1.50) --
------- ------- ------- ------- ------- ------- ------- ------- ------- -------
(0.29) (0.75) (3.42) (1.59) (0.39) (0.19) (0.32) (1.33) (2.02) (0.10)
------- ------- ------- ------- ------- ------- ------- ------- ------- -------
$ 47.90 $ 36.78 $ 52.05 $ 62.63 $ 53.16 $ 59.17 $ 45.20 $ 62.82 $ 68.88 $ 58.22
======= ======= ======= ======= ======= ======= ======= ======= ======= =======
31.06% (27.89)% (11.53)% 21.11% 8.92% 31.33% (27.51)% (6.85)% 22.22% 8.10%
$45,508 $31,260 $20,820 $25,054 $15,949 $76,918(2) $42,939 $43,977 $24,106 $20,375
0.28%(2) 0.30% 0.25% 0.25% 0.26%(2) 0.26%(2) 0.28% 0.25% 0.25% 0.26%(2)
1.78%(2) 2.02% 1.17% 1.41% 1.24%(2) 0.80%(2) 0.75% 0.45% 0.83% 0.30%(2)
18% 58% 45% 40% 25% 23% 74% 59% 55% 34%
</Table>
See accompanying notes to Financial Highlights on page 175 and notes to
financial statements.
161
SPDR SERIES TRUST
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR DOW JONES MID CAP VALUE ETF
----------------------------------------------------------------
FOR THE
SIX MONTHS
ENDED YEAR YEAR YEAR FOR THE PERIOD
12/31/09 ENDED ENDED ENDED 11/8/05*-
(UNAUDITED) 6/30/09 6/30/08 6/30/07 6/30/06
----------- ------- ------- ------- --------------
NET ASSET VALUE, BEGINNING OF PERIOD.......... $ 35.29 $ 50.34 $ 63.10 $ 54.63 $50.42
------- ------- ------- ------- ------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss).................. 0.63(4) 1.30(4) 1.28 1.28 0.73
Net realized and unrealized gain (loss)(5).... 10.09 (14.89) (12.58) 9.32 4.18
------- ------- ------- ------- ------
Total from investment operations.............. 10.72 (13.59) (11.30) 10.60 4.91
------- ------- ------- ------- ------
Net equalization credits and charges (4)...... 0.06 (0.09) (0.10) (0.01) --
------- ------- ------- ------- ------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income......................... (0.51) (1.37) (1.36) (1.29) (0.70)
Net realized gains............................ -- -- -- (0.83) --
------- ------- ------- ------- ------
Total distributions........................... (0.51) (1.37) (1.36) (2.12) (0.70)
------- ------- ------- ------- ------
NET ASSET VALUE, END OF PERIOD................ $ 45.56 $ 35.29 $ 50.34 $ 63.10 $54.63
======= ======= ======= ======= ======
TOTAL RETURN (1).............................. 30.59% (27.27)% (18.18)% 19.68% 9.76%
Net assets, end of period (in 000s)........... $18,225 $ 8,823 $10,068 $18,929 $8,194
Ratio of expenses to average net assets....... 0.31%(2) 0.34% 0.25% 0.25% 0.26%(2)
Ratio of net investment income (loss) to
average net assets.......................... 2.94%(2) 3.52% 2.18% 2.10% 2.20%(2)
Portfolio turnover rate (3)................... 31% 73% 51% 45% 29%
</Table>
See accompanying notes to Financial Highlights on page 175 and notes to
financial statements.
162
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR DOW JONES SMALL CAP ETF SPDR DOW JONES SMALL CAP GROWTH ETF
---------------------------------------------------- --------------------------------------------------------
FOR THE FOR THE
SIX MONTHS FOR THE SIX MONTHS
ENDED YEAR YEAR YEAR PERIOD ENDED YEAR YEAR YEAR YEAR YEAR
12/31/09 ENDED ENDED ENDED 11/8/05*- 12/31/09 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 6/30/09 6/30/08 6/30/07 6/30/06 (UNAUDITED) 6/30/09 6/30/08 6/30/07 6/30/06 6/30/05
----------- ------- ------- ------- --------- ----------- ------- ------- ------- ------- -------
$ 41.18 $ 55.27 $ 66.57 $58.03 $ 52.42 $ 67.19 $ 90.65 $104.00 $ 87.11 $ 75.96 $ 69.92
------- ------- ------- ------ ------- -------- ------- ------- ------- ------- -------
0.39(4) 0.86(4) 0.69 0.89 0.46 0.18(4) 0.56(4) 0.42 0.20 0.23 0.33
11.12 (14.20) (11.19) 9.78 5.56 16.74 (23.51) (11.83) 16.88 11.17 6.03
------- ------- ------- ------ ------- -------- ------- ------- ------- ------- -------
11.51 (13.34) (10.50) 10.67 6.02 16.92 (22.95) (11.41) 17.08 11.40 6.36
------- ------- ------- ------ ------- -------- ------- ------- ------- ------- -------
-- 0.06 0.04 -- -- -- 0.04 (0.00)+ -- -- --
------- ------- ------- ------ ------- -------- ------- ------- ------- ------- -------
(0.29) (0.81) (0.84) (0.99) (0.41) (0.10) (0.55) (0.45) (0.19) (0.25) (0.32)
-- -- -- (1.14) -- -- -- (1.49) -- -- --
------- ------- ------- ------ ------- -------- ------- ------- ------- ------- -------
(0.29) (0.81) (0.84) (2.13) (0.41) (0.10) (0.55) (1.94) (0.19) (0.25) (0.32)
------- ------- ------- ------ ------- -------- ------- ------- ------- ------- -------
$ 52.40 $ 41.18 $ 55.27 $66.57 $ 58.03 $ 84.01 $ 67.19 $ 90.65 $104.00 $ 87.11 $ 75.96
======= ======= ======= ====== ======= ======== ======= ======= ======= ======= =======
27.96% (23.98)% (15.76)% 18.70% 11.49% 25.19% (25.21)% (11.01)% 19.63% 15.02% 9.13%
$41,925 $22,651 $13,817 $9,985 $26,113 $121,829 $94,077 $86,129 $88,408 $78,405 $53,183
0.29%(2) 0.32% 0.25% 0.25% 0.26%(2) 0.26%(2) 0.26% 0.25% 0.25% 0.26% 0.26%
1.62%(2) 2.16% 1.34% 1.18% 1.35%(2) 0.46%(2) 0.88% 0.46% 0.22% 0.26% 0.46%
11% 28% 24% 16% 10% 18% 42% 38% 25% 84% 36%
</Table>
See accompanying notes to Financial Highlights on page 175 and notes to
financial statements.
163
SPDR SERIES TRUST
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR DOW JONES SMALL CAP VALUE ETF
--------------------------------------------------------------------
FOR THE
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
12/31/09 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 6/30/09 6/30/08 6/30/07 6/30/06(6) 6/30/05(6)
----------- ------- ------- -------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD..... $ 43.64 $ 57.92 $ 75.01 $ 65.35 $ 59.03 $ 56.97
------- ------- ------- -------- -------- -------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)............. 0.74(4) 1.52(4) 1.25 1.62 1.40(4) 1.14(4)
Net realized and unrealized gain
(loss)(5).............................. 12.82 (14.33) (16.50) 9.76 8.21 4.55
------- ------- ------- -------- -------- -------
Total from investment operations......... 13.56 (12.81) (15.25) 11.38 9.61 5.69
------- ------- ------- -------- -------- -------
Net equalization credits and charges
(4).................................... 0.01 (0.02) 0.01 0.02 -- --
------- ------- ------- -------- -------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income.................... (0.51) (1.28) (1.56) (1.73) (1.30) (1.14)
Net realized gains....................... -- (0.17) (0.29) (0.01) (1.99) (2.49)
------- ------- ------- -------- -------- -------
Total distributions...................... (0.51) (1.45) (1.85) (1.74) (3.29) (3.63)
------- ------- ------- -------- -------- -------
NET ASSET VALUE, END OF PERIOD........... $ 56.70 $ 43.64 $ 57.92 $ 75.01 $ 65.35 $ 59.03
======= ======= ======= ======== ======== =======
TOTAL RETURN (1)......................... 31.13% (22.20)% (20.46)% 17.64% 16.66% 10.07%
Net assets, end of period (in 000s)...... $99,304 $69,885 $89,856 $120,090 $101,344 $88,583
Ratio of expenses to average net assets.. 0.27%(2) 0.27% 0.25% 0.25% 0.26% 0.26%
Ratio of net investment income (loss) to
average net assets..................... 2.80%(2) 3.32% 2.12% 2.27% 2.21% 2.00%
Portfolio turnover rate (3).............. 23% 38% 28% 23% 97% 33%
</Table>
See accompanying notes to Financial Highlights on page 175 and notes to
financial statements.
164
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR DJ GLOBAL TITANS ETF SPDR DOW JONES REIT ETF
--------------------------------------------------------------------- ---------------------------------------------------
FOR THE FOR THE
SIX MONTHS SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR ENDED YEAR YEAR YEAR
12/31/09 ENDED ENDED ENDED ENDED ENDED 12/31/09 ENDED ENDED ENDED
(UNAUDITED) 6/30/09 6/30/08 6/30/07 6/30/06 6/30/05 (UNAUDITED) 6/30/09 6/30/08 6/30/07
----------- ------- -------- -------- ------- -------- ----------- -------- ---------- ----------
$ 47.27 $ 66.79 $ 79.11 $ 66.98 $ 62.88 $ 61.43 $ 34.00 $ 65.40 $ 80.93 $ 75.98
-------- ------- -------- -------- ------- -------- ---------- -------- ---------- ----------
0.55(4) 1.64(4) 1.89 1.67 1.46 1.47 0.95(4) 1.91(4) 2.43 2.57
9.79 (19.47) (12.28) 12.11 4.08 1.44 15.22 (31.15) (14.86) 6.27
-------- ------- -------- -------- ------- -------- ---------- -------- ---------- ----------
10.34 (17.83) (10.39) 13.78 5.54 2.91 16.17 (29.24) (12.43) 8.84
-------- ------- -------- -------- ------- -------- ---------- -------- ---------- ----------
0.04 (0.09) 0.03 -- -- -- -- 0.11 0.16 (0.02)
-------- ------- -------- -------- ------- -------- ---------- -------- ---------- ----------
(0.65) (1.60) (1.96) (1.65) (1.44) (1.46) (0.94) (2.27) (3.26) (3.33)
-- -- -- -- -- -- -- -- -- (0.54)
-------- ------- -------- -------- ------- -------- ---------- -------- ---------- ----------
(0.65) (1.60) (1.96) (1.65) (1.44) (1.46) (0.94) (2.27) (3.26) (3.87)
-------- ------- -------- -------- ------- -------- ---------- -------- ---------- ----------
$ 57.00 $ 47.27 $ 66.79 $ 79.11 $ 66.98 $ 62.88 $ 49.23 $ 34.00 $ 65.40 $ 80.93
======== ======= ======== ======== ======= ======== ========== ======== ========== ==========
22.01% (26.89)% (13.28)% 20.72% 8.88% 4.75% 47.66% (44.96)% (15.41)% 11.43%
$102,641 $70,923 $163,654 $170,108 $77,044 $106,904 $1,045,329 $908,890 $1,289,796 $1,247,893
0.50%(2) 0.51% 0.50% 0.51% 0.51% 0.51% 0.25%(2) 0.25% 0.25% 0.25%
2.02%(2) 3.20% 2.55% 2.33% 2.11% 2.47% 4.39%(2) 4.58% 2.79% 2.95%
4% 10% 15% 9% 9% 36% 5% 15% 14% 16%
<Caption>
SPDR DOW JONES REIT ETF
------------------------
YEAR YEAR
ENDED ENDED
6/30/06(6) 6/30/05(6)
---------- ----------
$ 65.56 $ 51.38
---------- --------
2.99 2.98(4)
10.88 14.00
---------- --------
13.87 16.98
---------- --------
-- --
---------- --------
(3.00) (2.80)
(0.45) --
---------- --------
(3.45) (2.80)
---------- --------
$ 75.98 $ 65.56
========== ========
21.73% 33.64%
$1,049,212 $659,223
0.26% 0.26%
3.57% 5.06%
11% 12%
</Table>
See accompanying notes to Financial Highlights on page 175 and notes to
financial statements.
165
SPDR SERIES TRUST
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR KBW BANK ETF
-----------------------------------------------------------------
FOR THE SIX
MONTHS ENDED YEAR YEAR YEAR FOR THE PERIOD
12/31/09 ENDED ENDED ENDED 11/8/05*-
(UNAUDITED) 6/30/09 6/30/08 6/30/07 6/30/06
------------ -------- -------- ------- --------------
NET ASSET VALUE, BEGINNING OF PERIOD.......... $ 18.08 $ 28.58 $ 55.44 $ 53.73 $ 50.17
-------- -------- -------- ------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss).................. 0.11(4) 0.94(4) 1.60 2.54 0.93
Net realized and unrealized gain (loss)(5).... 3.11 (10.67) (27.35) 1.64 3.52
-------- -------- -------- ------- --------
Total from investment operations.............. 3.22 (9.73) (25.75) 4.18 4.45
-------- -------- -------- ------- --------
Net equalization credits and charges (4)...... (0.01) 0.03 0.66 0.30 --
-------- -------- -------- ------- --------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income......................... (0.09) (0.80) (1.77) (2.77) (0.89)
-------- -------- -------- ------- --------
Total distributions........................... (0.09) (0.80) (1.77) (2.77) (0.89)
-------- -------- -------- ------- --------
NET ASSET VALUE, END OF PERIOD................ $ 21.20 $ 18.08 $ 28.58 $ 55.44 $ 53.73
======== ======== ======== ======= ========
TOTAL RETURN (1).............................. 17.76% (34.54)% (46.07)% 8.28% 8.90%
Net assets, end of period (in 000s)........... $808,924 $821,694 $883,280 $72,068 $147,756
Ratio of expenses to average net assets....... 0.35%(2) 0.35% 0.35% 0.35% 0.36%(2)
Ratio of net investment income (loss) to
average net assets.......................... 1.05%(2) 4.29% 4.46% 2.93% 3.06%(2)
Portfolio turnover rate (3)................... 14% 51% 23% 8% 22%
</Table>
See accompanying notes to Financial Highlights on page 175 and notes to
financial statements.
166
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR KBW CAPITAL MARKETS ETF SPDR KBW INSURANCE ETF
----------------------------------------------------- ------------------------------------------------------------
FOR THE SIX FOR THE FOR THE SIX
MONTHS ENDED YEAR YEAR YEAR PERIOD MONTHS ENDED YEAR YEAR YEAR FOR THE PERIOD
12/31/09 ENDED ENDED ENDED 11/8/05*- 12/31/09 ENDED ENDED ENDED 11/8/05*-
(UNAUDITED) 6/30/09 6/30/08 6/30/07 6/30/06 (UNAUDITED) 6/30/09 6/30/08 6/30/07 6/30/06
------------ ------- -------- ------- --------- ------------ -------- ------- ------- --------------
$ 33.41 $ 45.12 $ 68.80 $ 56.18 $ 53.07 $ 26.52 $ 40.89 $ 59.41 $ 51.22 $ 52.12
------- ------- -------- ------- ------- -------- -------- ------- ------- -------
0.12(4) 0.52(4) 0.53 (4) 0.41 2.63 0.31(4) 0.67(4) 1.02(4) 0.76 0.44
3.36 (11.79) (23.68) 12.60 3.09 8.16 (14.55) (18.56) 8.17 (0.93)
------- ------- -------- ------- ------- -------- -------- ------- ------- -------
3.48 (11.27) (23.15) 13.01 5.72 8.47 (13.88) (17.54) 8.93 (0.49)
------- ------- -------- ------- ------- -------- -------- ------- ------- -------
(0.01) (0.03) 0.10 (0.04) -- (0.01) 0.14 0.12 (0.02) --
------- ------- -------- ------- ------- -------- -------- ------- ------- -------
(0.13) (0.41) (0.63) (0.35) (2.61) (0.26) (0.63) (1.10) (0.72) (0.41)
------- ------- -------- ------- ------- -------- -------- ------- ------- -------
(0.13) (0.41) (0.63) (0.35) (2.61) (0.26) (0.63) (1.10) (0.72) (0.41)
------- ------- -------- ------- ------- -------- -------- ------- ------- -------
$ 36.75 $ 33.41 $ 45.12 $ 68.80 $ 56.18 $ 34.72 $ 26.52 $ 40.89 $ 59.41 $ 51.22
======= ======= ======== ======= ======= ======== ======== ======= ======= =======
10.38% (24.98)% (33.71)% 23.14% 10.55% 31.92% (33.69)% (29.67)% 17.46% (0.93)%
$82,685 $80,188 $117,300 $86,003 $50,559 $151,040 $139,205 $63,374 $59,413 $35,855
0.35%(2) 0.36% 0.35% 0.35% 0.36%(2) 0.35%(2) 0.35% 0.35% 0.35% 0.36%(2)
0.66%(2) 1.65% 0.89% 0.52% 2.42%(2) 1.81%(2) 2.56% 1.99% 1.32% 1.27%(2)
6% 52% 52% 96% 11% 11% 53% 18% 6% 16%
</Table>
See accompanying notes to Financial Highlights on page 175 and notes to
financial statements.
167
SPDR SERIES TRUST
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR KBW MORTGAGE FINANCE
ETF
----------------------------
FOR THE
SIX MONTHS
ENDED FOR THE PERIOD
12/31/09 4/29/09*-
(UNAUDITED) 6/30/09
----------- --------------
NET ASSET VALUE, BEGINNING OF PERIOD............................... $36.18 $ 41.19
------ -------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)....................................... 0.41(4) 0.15(4)
Net realized and unrealized gain (loss)(5)......................... 5.04 (5.02)
------ -------
Total from investment operations................................... 5.45 (4.87)
------ -------
Net equalization credits and charges (4)........................... (0.05) 0.04
------ -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income.............................................. (0.45) (0.18)
Net realized gains................................................. (0.20) --
Return of capital.................................................. -- --
------ -------
Total distributions................................................ (0.65) (0.18)
------ -------
NET ASSET VALUE, END OF PERIOD..................................... $40.93 $ 36.18
====== =======
TOTAL RETURN (1)................................................... 14.92% (11.73)%
Net assets, end of period (in 000s)................................ $4,093 $ 5,427
Ratio of expenses to average net assets............................ 0.35%(2) 0.35%(2)
Ratio of net investment income (loss) to average net assets........ 2.01%(2) 2.38%(2)
Portfolio turnover rate (3)........................................ 20% 5%
</Table>
See accompanying notes to Financial Highlights on page 175 and notes to
financial statements.
168
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR KBW REGIONAL BANKING ETF SPDR MORGAN STANLEY TECHNOLOGY ETF
- -------------------------------------------------------------- -------------------------------------------------------------
FOR THE FOR THE
SIX MONTHS FOR THE SIX MONTHS
ENDED YEAR YEAR YEAR PERIOD ENDED YEAR YEAR YEAR YEAR YEAR
12/31/09 ENDED ENDED ENDED 6/19/06*- 12/31/09 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 6/30/09 6/30/08 6/30/07 6/30/06 (UNAUDITED) 6/30/09 6/30/08 6/30/07 6/30/06 6/30/05
----------- -------- -------- -------- --------- ----------- -------- -------- -------- -------- -------
$ 18.31 $ 26.56 $ 45.90 $ 48.33 $ 48.02 $ 44.96 $ 55.15 $ 61.90 $ 49.11 $ 46.99 $ 49.18
-------- -------- -------- -------- ------- -------- -------- -------- -------- -------- -------
0.22(4) 0.94(4) 1.43 1.84 0.02 0.03(4) 0.23(4) 0.15 0.05 0.03 0.11
3.91 (8.04) (18.58) (2.40) 0.29 12.58 (10.18) (6.74) 12.80 2.13 (2.19)
-------- -------- -------- -------- ------- -------- -------- -------- -------- -------- -------
4.13 (7.10) (17.15) (0.56) 0.31 12.61 (9.95) (6.59) 12.85 2.16 (2.08)
-------- -------- -------- -------- ------- -------- -------- -------- -------- -------- -------
-- 0.07 (0.60) (0.43) -- -- (0.00)+ (0.01) (0.00)+ -- --
-------- -------- -------- -------- ------- -------- -------- -------- -------- -------- -------
(0.15) (1.22) (1.59) (1.44) -- (0.03) (0.24) (0.15) (0.05) (0.03) (0.11)
-- -- -- -- -- -- -- -- -- -- --
-- -- -- -- -- -- -- -- (0.01) (0.01) --
-------- -------- -------- -------- ------- -------- -------- -------- -------- -------- -------
(0.15) (1.22) (1.59) (1.44) -- (0.03) (0.24) (0.15) (0.06) (0.04) (0.11)
-------- -------- -------- -------- ------- -------- -------- -------- -------- -------- -------
$ 22.29 $ 18.31 $ 26.56 $ 45.90 $ 48.33 $ 57.54 $ 44.96 $ 55.15 $ 61.90 $ 49.11 $ 46.99
======== ======== ======== ======== ======= ======== ======== ======== ======== ======== =======
22.59% (27.94)% (39.51)% (2.16)% 0.66% 28.01% (17.97)% (10.67)% 26.19% 4.60% (4.25)%
$444,697 $434,937 $709,284 $128,523 $99,076 $256,043 $197,818 $228,870 $188,811 $144,873 $30,546
0.35%(2) 0.35% 0.35% 0.36% 0.36%(2) 0.50%(2) 0.50% 0.50% 0.50% 0.51% 0.51%
2.06%(2) 3.68% 4.04% 2.16% 4.01%(2) 0.11%(2) 0.56% 0.26% 0.09% 0.07% 0.24%
21% 51% 35% 39% 0% 16% 19% 24% 22% 23% 46%
</Table>
See accompanying notes to Financial Highlights on page 175 and notes to
financial statements.
169
SPDR SERIES TRUST
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR S&P DIVIDEND ETF
-----------------------------------------------------------
FOR THE
SIX MONTHS FOR THE
ENDED YEAR YEAR YEAR PERIOD
12/31/09 ENDED ENDED ENDED 11/8/05*-
(UNAUDITED) 6/30/09 6/30/08 6/30/07 6/30/06
----------- -------- -------- -------- ---------
NET ASSET VALUE, BEGINNING OF PERIOD............. $ 37.96 $ 44.30 $ 62.57 $ 55.70 $ 53.49
---------- -------- -------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)..................... 0.85(4) 1.97(4) 2.19(4) 1.75 1.12
Net realized and unrealized gain (loss) (5)...... 8.20 (6.47) (17.49) 6.87 2.15
---------- -------- -------- -------- --------
Total from investment operations................. 9.05 (4.50) (15.30) 8.62 3.27
---------- -------- -------- -------- --------
Net equalization credits and charges (4)......... 0.06 0.16 0.02 0.12 (0.00)+
---------- -------- -------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income............................ (0.87) (2.00) (2.19) (1.87) (1.06)
Net realized gains............................... -- -- (0.80) -- --
---------- -------- -------- -------- --------
Total distributions.............................. (0.87) (2.00) (2.99) (1.87) (1.06)
---------- -------- -------- -------- --------
Voluntary contribution from Adviser.............. -- -- -- -- --
---------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD................... $ 46.20 $ 37.96 $ 44.30 $ 62.57 $ 55.70
========== ======== ======== ======== ========
TOTAL RETURN (1)................................. 24.06% (10.06)% (25.05)% 15.78% 6.16%
Net assets, end of period (in 000s).............. $1,238,343 $658,655 $230,378 $275,319 $100,263
Ratio of expenses to average net assets.......... 0.35%(2) 0.35% 0.35% 0.34% 0.30%(2)
Ratio of net investment income (loss) to average
net assets..................................... 3.87%(2) 5.10% 3.92% 3.11% 3.45%(2)
Portfolio turnover rate (3)...................... 37% 105% 48% 41% 25%
</Table>
See accompanying notes to Financial Highlights on page 175 and notes to
financial statements.
170
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR S&P BIOTECH ETF SPDR S&P HOMEBUILDERS ETF
- --------------------------------------------------------------- --------------------------------------------------------
FOR THE FOR THE
SIX MONTHS FOR THE SIX MONTHS FOR THE
ENDED YEAR YEAR YEAR PERIOD ENDED YEAR YEAR YEAR PERIOD
12/31/09 ENDED ENDED ENDED 1/31/06*- 12/31/09 ENDED ENDED ENDED 1/31/06*-
(UNAUDITED) 6/30/09 6/30/08 6/30/07 6/30/06 (UNAUDITED) 6/30/09 6/30/08 6/30/07 6/30/06
----------- -------- -------- -------- --------- ----------- -------- -------- -------- ---------
$ 50.71 $ 57.47 $ 50.93 $ 45.90 $ 49.67 $ 11.77 $ 16.53 $ 30.37 $ 33.86 $ 46.92
-------- -------- -------- -------- ------- -------- -------- -------- -------- --------
(0.03)(4) 0.44(4) 0.66 0.18 (0.07) 0.07(4) 0.24(4) 0.36 0.28 0.07
2.94 (7.23) 6.59 5.04 (3.70) 3.32 (4.72) (13.82) (3.49) (13.06)
-------- -------- -------- -------- ------- -------- -------- -------- -------- --------
2.91 (6.79) 7.25 5.22 (3.77) 3.39 (4.48) (13.46) (3.21) (12.99)
-------- -------- -------- -------- ------- -------- -------- -------- -------- --------
0.01 (0.00)+ (0.02) (0.05) -- -- 0.01 (0.06) 0.01 (0.00)+
-------- -------- -------- -------- ------- -------- -------- -------- -------- --------
-- (0.16) (0.69) (0.14) -- (0.06) (0.29) (0.32) (0.29) (0.07)
-- -- -- -- -- -- -- -- -- --
-------- -------- -------- -------- ------- -------- -------- -------- -------- --------
-- (0.16) (0.69) (0.14) -- (0.06) (0.29) (0.32) (0.29) (0.07)
-------- -------- -------- -------- ------- -------- -------- -------- -------- --------
-- 0.19 -- -- -- -- -- -- -- --
-------- -------- -------- -------- ------- -------- -------- -------- -------- --------
$ 53.63 $ 50.71 $ 57.47 $ 50.93 $ 45.90 $ 15.10 $ 11.77 $ 16.53 $ 30.37 $ 33.86
======== ======== ======== ======== ======= ======== ======== ======== ======== ========
5.76% (11.46)%(7) 14.15% 11.26% (7.59)% 28.79% (27.30)% (44.63)% (9.51)% (27.70)%
$402,217 $428,508 $264,342 $106,957 $29,835 $685,435 $556,111 $535,553 $331,067 $165,908
0.35%(2) 0.35% 0.35% 0.35% 0.36%(2) 0.35%(2) 0.35% 0.35% 0.35% 0.36%(2)
(0.12)%(2) 0.83% 1.48% 0.51% (0.33)%(2) 0.89%(2) 1.84% 1.80% 0.64% 0.34%(2)
43% 78% 79% 74% 38% 28% 82% 76% 16% 19%
</Table>
See accompanying notes to Financial Highlights on page 175 and notes to
financial statements.
171
SPDR SERIES TRUST
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR S&P METALS & MINING ETF
--------------------------------------------------------
FOR THE
SIX MONTHS FOR THE
ENDED YEAR YEAR YEAR PERIOD
12/31/09 ENDED ENDED ENDED 6/19/06*-
(UNAUDITED) 6/30/09 6/30/08 6/30/07 6/30/06
----------- -------- -------- -------- ---------
NET ASSET VALUE, BEGINNING OF PERIOD............ $ 37.07 $ 94.16 $ 62.63 $ 50.08 $ 43.29
-------- -------- -------- -------- -------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss).................... 0.20(4) 0.55(4) 0.39 0.39 0.02
Net realized and unrealized gain (loss) (5)..... 14.61 (57.11) 31.54 12.55 6.77
-------- -------- -------- -------- -------
Total from investment operations................ 14.81 (56.56) 31.93 12.94 6.79
-------- -------- -------- -------- -------
Net equalization credits and charges (4)........ (0.01) 0.04 -- (0.03) --
-------- -------- -------- -------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income........................... (0.24) (0.57) (0.40) (0.36) --
Net realized gains.............................. -- -- -- -- --
-------- -------- -------- -------- -------
Total distributions............................. (0.24) (0.57) (0.40) (0.36) --
-------- -------- -------- -------- -------
NET ASSET VALUE, END OF PERIOD.................. $ 51.63 $ 37.07 $ 94.16 $ 62.63 $ 50.08
======== ======== ======== ======== =======
TOTAL RETURN (1)................................ 39.96% (59.95)% 51.22% 25.93% 15.70%
Net assets, end of period (in 000s)............. $893,280 $602,423 $819,193 $203,540 $30,050
Ratio of expenses to average net assets......... 0.35%(2) 0.35% 0.35% 0.35% 0.36%(2)
Ratio of net investment income (loss) to average
net assets.................................... 0.87%(2) 1.43% 0.59% 0.70% 1.65%(2)
Portfolio turnover rate (3)..................... 26% 68% 59% 31% 0%
</Table>
See accompanying notes to Financial Highlights on page 175 and notes to
financial statements.
172
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR S&P OIL & GAS SPDR S&P OIL & GAS
EQUIPMENT & SERVICES ETF EXPLORATION & PRODUCTION ETF
- ------------------------------------------------------------------ -----------------------------------------------------------
FOR THE FOR THE
SIX MONTHS FOR THE SIX MONTHS FOR THE
ENDED YEAR YEAR YEAR PERIOD ENDED YEAR YEAR YEAR PERIOD
12/31/09 ENDED ENDED ENDED 6/19/06*- 12/31/09 ENDED ENDED ENDED 6/19/06*-
(UNAUDITED) 6/30/09 6/30/08 6/30/07 6/30/06 (UNAUDITED) 6/30/09 6/30/08 6/30/07 6/30/06
----------- -------- -------- -------- --------- ----------- -------- -------- ------- ---------
$ 21.76 $ 50.90 $ 36.90 $ 31.07 $ 27.99 $ 31.67 $ 70.10 $ 45.93 $ 39.12 $ 33.80
-------- -------- -------- -------- ------- -------- -------- -------- ------- -------
0.10(4) 0.18(4) 0.11 0.08 0.00+ 0.16(4) 0.29(4) 0.13 0.10 0.00+
6.66 (29.14) 14.11 5.83 3.08 9.53 (38.46) 24.16 6.81 5.32
-------- -------- -------- -------- ------- -------- -------- -------- ------- -------
6.76 (28.96) 14.22 5.91 3.08 9.69 (38.17) 24.29 6.91 5.32
-------- -------- -------- -------- ------- -------- -------- -------- ------- -------
(0.00)+ (0.00)+ (0.00)+ (0.00)+ -- (0.03) 0.02 0.02 (0.00)+ --
-------- -------- -------- -------- ------- -------- -------- -------- ------- -------
(0.09) (0.18) (0.12) (0.08) -- (0.15) (0.28) (0.14) (0.10) --
-- -- (0.10) -- -- -- -- -- -- --
-------- -------- -------- -------- ------- -------- -------- -------- ------- -------
(0.09) (0.18) (0.22) (0.08) -- (0.15) (0.28) (0.14) (0.10) --
-------- -------- -------- -------- ------- -------- -------- -------- ------- -------
$ 28.43 $ 21.76 $ 50.90 $ 36.90 $ 31.07 $ 41.18 $ 31.67 $ 70.10 $ 45.93 $ 39.12
======== ======== ======== ======== ======= ======== ======== ======== ======= =======
31.09% (56.87)% 38.61% 19.08% 10.98% 30.53% (54.44)% 52.99% 17.68% 15.74%
$304,225 $199,101 $279,948 $143,927 $15,535 $420,065 $280,282 $311,952 $39,041 $19,560
0.35%(2) 0.35% 0.36% 0.35% 0.36%(2) 0.35%(2) 0.35% 0.35% 0.35% 0.36%(2)
0.75%(2) 0.75% 0.28% 0.36% 0.17%(2) 0.82%(2) 0.82% 0.28% 0.23% 0.10%(2)
17% 42% 51% 43% 0% 14% 45% 44% 48% 0%
</Table>
See accompanying notes to Financial Highlights on page 175 and notes to
financial statements.
173
SPDR SERIES TRUST
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR S&P PHARMACEUTICALS ETF
--------------------------------------------------------
FOR THE
SIX MONTHS FOR THE
ENDED YEAR YEAR YEAR PERIOD
12/31/09 ENDED ENDED ENDED 6/19/06*-
(UNAUDITED) 6/30/09 6/30/08 6/30/07 6/30/06
----------- ------- ------- ------- ---------
NET ASSET VALUE, BEGINNING OF PERIOD............... $ 30.00 $ 31.08 $ 35.57 $ 31.88 $ 31.42
------- ------- ------- ------- -------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)....................... 0.19(4) 0.45(4) 0.32(4) 0.38 0.00+
Net realized and unrealized gain (loss) (5)........ 8.07 (1.07) (4.51) 3.80 0.46
------- ------- ------- ------- -------
Total from investment operations................... 8.26 (0.62) (4.19) 4.18 0.46
------- ------- ------- ------- -------
Net equalization credits and charges (4)........... -- 0.03 0.03 -- --
------- ------- ------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income.............................. (0.17) (0.44) (0.33) (0.38) --
Net realized gains................................. -- (0.05) -- (0.11) --
------- ------- ------- ------- -------
Total distributions................................ (0.17) (0.49) (0.33) (0.49) --
------- ------- ------- ------- -------
Voluntary contribution from Adviser................ -- -- -- -- --
------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD..................... $ 38.09 $ 30.00 $ 31.08 $35.57 $ 31.88
======= ======= ======= ======= =======
TOTAL RETURN (1)................................... 27.59% (1.89)% (11.73)% 13.17% 1.46%
Net assets, end of period (in 000s)................ $64,761 $40,499 $ 9,328 $8,897 $15,939
Ratio of expenses to average net assets............ 0.36%(2) 0.36% 0.35% 0.35% 0.36%(2)
Ratio of net investment income (loss) to average
net assets....................................... 1.13%(2) 1.59% 0.97% 0.95% 0.29%(2)
Portfolio turnover rate (3)........................ 32% 80% 50% 23% 0%
</Table>
See accompanying notes to Financial Highlights on page 175 and notes to
financial statements.
174
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR S&P RETAIL ETF SPDR S&P SEMICONDUCTOR ETF
-------------------------------------------------------------------------- ----------------------------------------------
FOR THE FOR THE
SIX MONTHS FOR THE SIX MONTHS
ENDED YEAR YEAR YEAR PERIOD ENDED YEAR YEAR YEAR
12/31/09 ENDED ENDED ENDED 6/19/06*- 12/31/09 ENDED ENDED ENDED
(UNAUDITED) 6/30/09 6/30/08 6/30/07 6/30/06 (UNAUDITED) 6/30/09 6/30/08 6/30/07
----------- ---------- -------- -------- --------- ----------- -------- ------- --------
$ 27.70 $ 29.26 $ 43.54 $ 37.61 $ 36.72 $ 33.86 $ 41.62 $ 53.22 $ 47.29
-------- ---------- -------- -------- ------- ------- -------- ------- --------
0.19(4) 0.40(4) 0.37 0.11 0.01 0.18(4) 0.35(4) 0.24 0.16
8.45 (1.70) (14.39) 5.93 0.88 13.69 (7.84) (11.58) 5.93
-------- ---------- -------- -------- ------- ------- -------- ------- --------
8.64 (1.30) (14.02) 6.04 0.89 13.87 (7.49) (11.34) 6.09
-------- ---------- -------- -------- ------- ------- -------- ------- --------
(0.30) (0.01) (0.09) 0.02 -- (0.01) 0.02 0.01 (0.00)+
-------- ---------- -------- -------- ------- ------- -------- ------- --------
(0.37) (0.43) (0.31) (0.13) -- (0.18) (0.29) (0.27) (0.16)
-- -- -- -- -- -- -- -- --
-------- ---------- -------- -------- ------- ------- -------- ------- --------
(0.37) (0.43) (0.31) (0.13) -- (0.18) (0.29) (0.27) (0.16)
-------- ---------- -------- -------- ------- ------- -------- ------- --------
0.00+ 0.18 0.14 -- -- -- -- -- --
-------- ---------- -------- -------- ------- ------- -------- ------- --------
$ 35.67 $ 27.70 $ 29.26 $ 43.54 $ 37.61 $ 47.54 $ 33.86 $ 41.62 $ 53.22
======== ========== ======== ======== ======= ======= ======== ======= ========
30.11%(7) (3.61)%(7) (32.11)%(7) 16.12% 2.42% 40.95% (17.88)% (21.30)% 12.89%
$433,403 $1,018,007 $263,380 $134,978 $20,687 $97,454 $103,282 $39,538 $106,439
0.35%(2) 0.35% 0.35% 0.35% 0.36%(2) 0.35%(2) 0.35% 0.35% 0.35%
1.12%(2) 1.61% 1.40% 0.35% 0.82%(2) 0.91%(2) 1.12% 0.52% 0.35%
7% 69% 50% 71% 0% 12% 41% 65% 52%
<Caption>
SPDR S&P
SEMICON-
DUCTOR SPDR WELLS FARGO
ETF PREFERRED STOCK ETF
--------- -------------------
FOR THE FOR THE PERIOD
PERIOD 9/16/09* -
1/31/06*- 12/31/09
6/30/06 (UNAUDITED)
--------- -------------------
$ 53.32 $ 40.00
------- -------
0.02 1.00(4)
(6.03) 0.93
------- -------
(6.01) 1.93
------- -------
-- 0.42
------- -------
(0.02) (0.87)
-- --
------- -------
(0.02) (0.87)
------- -------
-- --
------- -------
$ 47.29 $ 41.48
======= =======
(11.26)% 5.88%
$47,290 $24,887
0.36%(2) 0.45%(2)
0.10%(2) 8.53%(2)
40% 8%
</Table>
* Commencement of operations.
+ Amount is less than $0.005 per share.
(1) Total return is calculated assuming a purchase of shares at net asset
value on the first day and a sale at net asset value on the last day of
each period reported. Distributions are assumed, for the purpose of this
calculation, to be reinvested at net asset value per share on the
respective payment dates of each Fund. Total return for periods of less
than one year is not annualized. Broker commission charges are not
included in this calculation.
(2) Annualized.
(3) Portfolio Turnover rate excludes securities received or delivered from in
kind processing of creations or redemptions.
(4) Per share numbers have been calculated using the average shares method.
(5) The amounts shown at this caption for a share outstanding may not accord
with the change in aggregate gains and losses in securities for the fiscal
period because of the timing of sales and repurchases of Fund shares in
relation to fluctuating market values for the Fund.
(6) All share amounts representing data prior to September 21, 2005 have been
adjusted for the affect of stock splits which occured on September 21,
2005, as follows: SPDR Dow Jones Large Cap Value ETF: 2 for 1; SPDR Dow
Jones Small Cap Value ETF and SPDR Dow Jones REIT ETF: 3 for 1.
(7) If the Adviser had not made a voluntary contribution during the Year Ended
6/30/09 to SPDR S&P Biotech ETF, the total return would have been
(11.79)%. If the Adviser had not made a voluntary contribution during the
Year Ended 6/30/08 to SPDR S&P Retail ETF, the total return would have
been (32.44)%. If the Adviser had not made a voluntary contribution during
the Year Ended 6/30/09 to SPDR S&P Retail ETF, the total return would have
been (3.62)%. If the Adviser had not made a voluntary contribution during
the Six Months Ended 12/31/09 to SPDR S&P Retail ETF, the total return
would have been 29.03%.
See accompanying notes to financial statements.
175
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
1. ORGANIZATION
The SPDR Series Trust (the "Trust"), which is registered under the Investment
Company Act of 1940, as amended ("1940 Act"), is an open-end investment
management company that was organized as a Massachusetts business trust on June
12, 1998.
As of December 31, 2009, the Trust offered forty-seven (47) portfolios, each of
which represents a separate series of beneficial interest in the Trust (each
referred to as a "Fund", collectively as the "Funds"). The financial statements
herein relate to the following twenty-eight (28) Funds: SPDR Dow Jones Total
Market ETF, SPDR Dow Jones Large Cap ETF, SPDR Dow Jones Large Cap Growth ETF,
SPDR Dow Jones Large Cap Value ETF, SPDR Dow Jones Mid Cap ETF, SPDR Dow Jones
Mid Cap Growth ETF, SPDR Dow Jones Mid Cap Value ETF, SPDR Dow Jones Small Cap
ETF, SPDR Dow Jones Small Cap Growth ETF, SPDR Dow Jones Small Cap Value ETF,
SPDR DJ Global Titans ETF, SPDR Dow Jones REIT ETF, SPDR KBW Bank ETF, SPDR KBW
Capital Markets ETF, SPDR KBW Insurance ETF, SPDR KBW Mortgage Finance ETF, SPDR
KBW Regional Banking ETF, SPDR Morgan Stanley Technology ETF, SPDR S&P Dividend
ETF, SPDR S&P Biotech ETF, SPDR S&P Homebuilders ETF, SPDR S&P Metals & Mining
ETF, SPDR S&P Oil & Gas Equipment & Services ETF, SPDR S&P Oil & Gas Exploration
& Production ETF, SPDR S&P Pharmaceuticals ETF, SPDR S&P Retail ETF, SPDR S&P
Semiconductor ETF and SPDR Wells Fargo Preferred Stock ETF. Each Fund operates
as a non-diversified investment company. The other nineteen (19) Funds are
included in a separate Semi-Annual Report.
Under the Trust's organizational documents, its officers and trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust. Additionally, in the normal course of business, the Trust
enters into contracts with service providers that contain general
indemnification clauses. The Trust's maximum exposure under these arrangements
is unknown as this could involve future claims that may be made against the
Trust that have not yet occurred. However, based on experience, the Trust
expects the risk of loss to be remote.
The Trust invests in various investments which are exposed to risks, such as
market risk. Due to the level of risk associated with certain investments it is
at least reasonably possible that changes in the values of investment securities
will occur in the near term and that such changes could materially affect the
amounts reported in the financial statements.
An investment in a Fund involves risks similar to those of investing in any fund
of equity securities, such as market fluctuations caused by such factors as
economic and political developments, changes in interest rates and perceived
trends in stock prices. An investor in a Fund should anticipate that the value
of a Fund's shares will decline, more or less, in correlation with any decline
in the value of the Fund's benchmark index. The values of equity securities
could decline generally or could underperform other investments. Further, a Fund
would not sell an equity security because the security's issuer was in financial
trouble unless that security is removed from a Fund's benchmark index.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the
Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
SECURITY VALUATION
The value of each Fund's portfolio securities is based on the market price of
the securities, which generally means a valuation obtained from an exchange or
other market (or based on a price quotation or other equivalent indication of
value supplied by an exchange or other market) or a valuation obtained from an
independent pricing service. Investments in open-end investment companies are
valued at their net asset value each business day. If a security's market price
is not readily available or does not otherwise accurately reflect the fair value
of the security, the security will be valued by another method that the Board of
Trustees of the Trust (the "Board") believes will better reflect fair value in
accordance with the Trust's valuation policies and procedures. The Board has
delegated the process of valuing securities for which market quotations are not
readily available or do not otherwise accurately reflect the fair value of
176
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
the security to the Pricing and Investment Committee (the "Committee"). The
Committee, subject to oversight by the Board, may use fair value pricing in a
variety of circumstances, including but not limited to, situations when trading
in a security has been suspended or halted. Accordingly, a Fund's net asset
value may reflect certain portfolio securities' fair values rather than their
market prices. Fair value pricing involves subjective judgments and it is
possible that the fair value determination for a security is materially
different than the value that could be received on the sale of the security.
Effective July 1, 2008, the Funds adopted the authoritative guidance for fair
value measurements and the fair value option for financial assets and financial
liabilities. The guidance for the fair value option for financial assets and
financial liabilities provides funds the irrevocable option to measure many
financial assets and liabilities at fair value with changes in fair value
recognized in earnings. The guidance also establishes a hierarchy for inputs
used in measuring fair value that maximizes the use of observable inputs and
minimizes the use of unobservable inputs by requiring that the most observable
inputs be used when available. The guidance establishes three levels of inputs
that may be used to measure fair value:
- - Level 1 -- quoted prices in active markets for identical investments.
- - Level 2 -- other significant observable inputs (including, but not limited to,
quoted prices for similar investments, interest rates, prepayment speeds,
credit risk, etc.).
- - Level 3 -- significant unobservable inputs (including the Funds' own
assumptions in determining the fair value of investments).
Investments that use Level 2 or Level 3 inputs may include, but are not limited
to: (i) an unlisted security related to corporate actions; (ii) a restricted
security (e.g., one that may not be publicly sold without registration under the
Securities Act of 1933, as amended); (iii) a security whose trading has been
suspended or which has been de-listed from its primary trading exchange; (iv) a
security that is thinly traded; (v) a security in default or bankruptcy
proceedings for which there is no current market quotation; (vi) a security
affected by currency controls or restrictions; and (vii) a security affected by
a significant event (e.g., an event that occurs after the close of the markets
on which the security is traded but before the time as of which the Funds' net
assets are computed and that may materially affect the value of the Funds'
investments). Examples of events that may be "significant events" are government
actions, natural disasters, armed conflict, acts of terrorism, and significant
market fluctuations.
Fair value pricing could result in a difference between the prices used to
calculate a Fund's net asset value and the prices used by the Fund's benchmark
index, which, in turn, could result in a difference between the Fund's
performance and the performance of the Fund's benchmark index. The inputs or
methodology used for valuation are not necessarily an indication of the risk
associated with investing in those investments.
177
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
The following table summarizes the inputs used in valuing the Funds'
investments, as of December 31, 2009:
<Table>
<Caption>
LEVEL 2 -- LEVEL 3 --
LEVEL 1 -- OTHER SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
SPDR SERIES TRUST PRICES INPUTS INPUTS TOTAL
- ----------------- -------------- ----------------- ------------ --------------
SPDR Dow Jones Total Market ETF......... $ 197,000,871 $ -- $ -- $ 197,000,871
SPDR Dow Jones Large Cap ETF............ 59,671,072 -- -- 59,671,072
SPDR Dow Jones Large Cap Growth ETF..... 196,064,067 -- -- 196,064,067
SPDR Dow Jones Large Cap Value ETF...... 108,185,098 -- -- 108,185,098
SPDR Dow Jones Mid Cap ETF.............. 58,687,194 -- -- 58,687,194
SPDR Dow Jones Mid Cap Growth ETF....... 99,095,542 -- -- 99,095,542
SPDR Dow Jones Mid Cap Value ETF........ 23,464,203 -- -- 23,464,203
SPDR Dow Jones Small Cap ETF............ 54,110,453 -- 2 54,110,455
SPDR Dow Jones Small Cap Growth ETF..... 157,123,301 -- -- 157,123,301
SPDR Dow Jones Small Cap Value ETF...... 120,446,765 -- 23 120,446,788
SPDR DJ Global Titans ETF............... 104,952,300 -- -- 104,952,300
SPDR Dow Jones REIT ETF................. 1,278,690,527 -- -- 1,278,690,527
SPDR KBW Bank ETF....................... 918,038,526 -- -- 918,038,526
SPDR KBW Capital Markets ETF............ 93,330,880 -- -- 93,330,880
SPDR KBW Insurance ETF.................. 155,115,335 -- -- 155,115,335
SPDR KBW Mortgage Finance ETF........... 4,092,925 -- -- 4,092,925
SPDR KBW Regional Banking ETF........... 565,944,928 -- -- 565,944,928
SPDR Morgan Stanley Technology ETF...... 266,865,447 -- -- 266,865,447
SPDR S&P Dividend ETF................... 1,415,678,127 -- -- 1,415,678,127
SPDR S&P Biotech ETF.................... 487,992,954 -- -- 487,992,954
SPDR S&P Homebuilders ETF............... 878,884,856 -- -- 878,884,856
SPDR S&P Metals & Mining ETF............ 1,023,963,619 -- -- 1,023,963,619
SPDR S&P Oil & Gas Equipment &
Services ETF.......................... 345,403,851 -- -- 345,403,851
SPDR S&P Oil & Gas Exploration &
Production ETF........................ 460,176,505 -- -- 460,176,505
SPDR S&P Pharmaceuticals ETF............ 81,939,573 -- -- 81,939,573
SPDR S&P Retail ETF..................... 538,358,465 -- -- 538,358,465
SPDR S&P Semiconductor ETF.............. 108,071,897 -- -- 108,071,897
SPDR Wells Fargo Preferred Stock ETF.... 24,901,820 -- -- 24,901,820
</Table>
The following table provides the reconciliation of investments in which
significant unobservable inputs (Level 3) were used in determining fair value at
December 31, 2009:
<Table>
<Caption>
NET CHANGE IN
REALIZED UNREALIZED
GAIN (LOSS) (DEPRECIATION)
(AMORTIZED AND CHANGE IN FROM
BALANCES AT PREMIUMS) UNREALIZED NET BALANCE INVESTMENTS
BEGINNING ACCRETED APPRECIATION PURCHASES NET TRANSFERS AT END STILL HELD AT
OF PERIOD DISCOUNTS (DEPRECIATION) SALES IN OR OUT OF PERIOD END OF PERIOD
----------- ---------- -------------- --------- ------------- --------- --------------
SPDR Dow Jones Small
Cap ETF........... $ 2 $-- $-- $-- $-- $ 2 $--
SPDR Dow Jones Small
Cap Value ETF..... 23 -- -- -- -- 23 --
</Table>
178
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
INVESTMENT INCOME
Dividend income is recorded on the ex-dividend date. Interest income, if any, is
recorded on the accrual basis. The value of additional securities received as
dividend payments is recorded as income and as an increase to the cost basis of
such securities.
EXPENSES
Advisory fees and other expenses, which are directly identifiable to a specific
Fund, are applied to that Fund. Certain Funds, based on their investments, may
incur a tax liability in the states where the investments have business
operations. The taxes incurred will increase the total expenses of the Funds and
are included in miscellaneous expenses on the Statement of Operations. Trustees
fees and other expenses which cannot be attributed to a Fund are allocated in
such a manner as deemed equitable, taking into consideration the relative net
assets of the Funds.
EQUALIZATION
The Funds follow the accounting practice known as "Equalization" by which a
portion of the proceeds from sales and costs of reacquiring Fund shares,
equivalent on a per share basis to the amount of distributable net investment
income on the date of the transaction, is credited or charged to undistributed
net investment income. As a result, undistributed net investment income per
share is unaffected by sales or reacquisition of Fund shares.
INVESTMENT TRANSACTIONS
Investment transactions are recorded on the trade date. Realized gains and
losses from the sale or disposition of securities and foreign exchange
transactions are recorded on the identified cost basis. Corporate actions
(including cash dividends) are recorded net of foreign tax withholdings.
FOREIGN CURRENCY TRANSLATION AND FOREIGN INVESTMENTS
The accounting records of the Funds are maintained in U.S. dollars. Portfolio
securities and other assets and liabilities denominated in a foreign currency
are translated to U.S. dollars at the prevailing rates of exchange at period
end. Purchases and sales of securities, income receipts and expense payments are
translated into U.S. dollars at the prevailing exchange rate on the respective
dates of transactions. The effects of changes in foreign currency exchange rates
on portfolio investments are included in the net realized and unrealized gains
and losses on investments. Net gains and losses on foreign currency transactions
include disposition of foreign currencies, and currency gains and losses between
the accrual and receipt dates of portfolio investment income and between the
trade and settlement dates of portfolio investment transactions.
Investing in securities of foreign companies and foreign governments involves
special risks and considerations not typically associated with investing in U.S.
companies and securities of the U.S. government. These risks include revaluation
of currencies and the risk of misappropriation. Moreover, the markets for
securities of many foreign companies and foreign governments may be less liquid
and the prices of such securities may be more volatile than those of comparable
U.S. companies and U.S. government securities.
FEDERAL INCOME TAX
The Funds have qualified and intend to continue to qualify for and elect
treatment as "regulated investment companies" under Subchapter M of the Internal
Revenue Code of 1986, as amended. By so qualifying and electing, each Fund will
not be subject to federal income taxes to the extent it distributes its taxable
income, including any net realized capital gains, for each fiscal year. In
addition, by distributing during each calendar year substantially all of their
net investment income and capital gains, if any, the Funds will not be subject
to federal excise tax. Income and capital gain distributions are determined in
accordance with income tax regulations which may differ from U.S. generally
accepted accounting principles. These book-tax differences are primarily due to
differing treatments for tax equalization, in-kind transactions, foreign
currencies, Real Estate Investment Trusts (REITs) and losses deferred due to
wash sales.
179
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
Additionally, based on the Funds' understanding of the tax rules and rates
related to income, gains and transactions for the foreign jurisdictions in which
the applicable Funds invest, the Funds will provide for foreign taxes and, where
appropriate, deferred foreign taxes.
The Funds have reviewed the tax positions for the open tax years as of June 30,
2009 and have determined that no provision for income tax is required in the
Funds' Financial Statements. The Funds' federal tax returns for the prior three
fiscal years remain subject to examination by the Internal Revenue Service.
For the six months ended December 31, 2009, the following Funds reclassified
non-taxable security gains and losses realized on the in-kind redemption of
Creation Units (Note 4) as an increase or decrease to paid in capital in the
Statements of Assets and Liabilities as follows:
<Table>
<Caption>
NET GAIN (LOSS)
RECLASSIFIED
TO PAID IN CAPITAL
------------------
SPDR Dow Jones Total Market ETF......... $ 2,534,397
SPDR Dow Jones Large Cap Growth ETF..... 1,228,961
SPDR Dow Jones Large Cap Value ETF...... 2,977,233
SPDR Dow Jones Small Cap Growth ETF..... 3,769,582
SPDR DJ Global Titans ETF............... 249,552
SPDR Dow Jones REIT ETF................. 63,097,251
SPDR KBW Bank ETF....................... (20,416,303)
SPDR KBW Capital Markets ETF............ 4,877,136
SPDR KBW Insurance ETF.................. 40,099,656
SPDR KBW Mortgage Finance ETF........... 13,680
SPDR KBW Regional Banking ETF........... (18,056,203)
SPDR Morgan Stanley Technology ETF...... 1,914,469
SPDR S&P Dividend ETF................... 1,197,080
SPDR S&P Biotech ETF.................... 7,644,174
SPDR S&P Homebuilders ETF............... 84,696,658
SPDR S&P Metals & Mining ETF............ 126,919,751
SPDR S&P Oil & Gas Equipment & Services
ETF................................... 12,486,030
SPDR S&P Oil & Gas Exploration &
Production ETF........................ 25,534,533
SPDR S&P Pharmaceuticals ETF............ 428,425
SPDR S&P Retail ETF..................... 81,307,386
SPDR S&P Semiconductor ETF.............. 20,645,668
</Table>
At December 31, 2009, the Funds had capital loss carryforwards which may be
utilized to offset any net realized capital gains expiring June 30:
<Table>
<Caption>
2010 2011 2012 2013 2014 2015 2016 2017
----------- ------------ ------------ ----------- ----------- ----------- ----------- -------------
SPDR Dow Jones Total
Market ETF........ $ -- $ (2,005,163) $ (1,348,494) $ (153,659) $(4,842,998) $ -- $ -- $ (1,378,715)
SPDR Dow Jones Large
Cap ETF........... -- -- -- -- -- -- -- (131,432)
SPDR Dow Jones Large
Cap Growth ETF.... (5,421,523) (4,738,409) (2,821,107) (309,686) (3,652,975) -- -- (6,452,641)
SPDR Dow Jones Large
Cap Value ETF..... -- -- -- (974,429) -- -- -- (5,372,858)
SPDR Dow Jones Mid
Cap ETF........... -- -- -- -- -- -- -- (558,343)
SPDR Dow Jones Mid
Cap Growth ETF.... -- -- -- -- -- -- -- (2,960,864)
</Table>
180
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
2010 2011 2012 2013 2014 2015 2016 2017
----------- ------------ ------------ ----------- ----------- ----------- ----------- -------------
SPDR Dow Jones Mid
Cap Value ETF..... $ -- $ -- $ -- $ -- $ -- $ -- $ (493,781) $ (1,200,592)
SPDR Dow Jones Small
Cap ETF........... -- -- -- -- -- -- -- (85,737)
SPDR Dow Jones Small
Cap Growth ETF.... -- -- -- -- -- -- -- (2,152,440)
SPDR Dow Jones Small
Cap Value ETF..... -- -- -- -- -- -- -- (1,882,152)
SPDR DJ Global
Titans ETF........ (417,404) (1,493,437) (984,760) -- -- (282,717) -- (12,535,918)
SPDR Dow Jones REIT
ETF............... -- -- -- -- -- -- -- (1,122,565)
SPDR KBW Bank ETF... -- -- -- -- -- -- (435,385) (118,852,502)
SPDR KBW Capital
Markets ETF....... -- -- -- -- -- -- (9,042,847) (23,772,407)
SPDR KBW Insurance
ETF............... -- -- -- -- -- -- (514,950) (1,401,569)
SPDR KBW Mortgage
Finance ETF....... -- -- -- -- -- -- -- --
SPDR KBW Regional
Banking ETF....... -- -- -- -- -- -- -- (24,075,194)
SPDR Morgan Stanley
Technology ETF.... (2,341,875) (10,238,030) (19,143,628) (8,746,932) (3,784,746) (2,360,832) (745,443) (2,659,957)
SPDR S&P Dividend
ETF............... -- -- -- -- -- -- -- (15,532,281)
SPDR S&P Biotech
ETF............... -- -- -- -- -- (2,145,212) (733,614) (24,363,945)
SPDR S&P
Homebuilders ETF.. -- -- -- -- -- (4,745,039) (8,203,751) (24,813,335)
SPDR S&P Metals &
Mining ETF........ -- -- -- -- -- (104,652) -- (49,841,508)
SPDR S&P Oil & Gas
Equipment &
Services ETF...... -- -- -- -- -- -- -- (1,830,538)
SPDR S&P Oil & Gas
Exploration &
Production ETF.... -- -- -- -- -- -- -- (11,779,459)
SPDR S&P
Pharmaceuticals
ETF............... -- -- -- -- -- -- -- --
SPDR S&P Retail
ETF............... -- -- -- -- -- -- (1,022,978) (250,690)
SPDR S&P
Semiconductor
ETF............... -- -- -- -- -- (1,832,423) -- (12,113,199)
SPDR Wells Fargo
Preferred Stock
ETF............... -- -- -- -- -- -- -- --
</Table>
Under current tax laws, capital losses realized after October 31, may be
deferred and treated as occurring on the first day of the following fiscal Year.
The Funds incurred the following losses during the period November 1, 2008
through June 30, 2009 that are deferred for tax purposes until fiscal 2010:
<Table>
<Caption>
DEFERRED LOSSES
---------------
SPDR Dow Jones Total Market ETF......... $ (4,813,098)
SPDR Dow Jones Large Cap ETF............ (628,727)
SPDR Dow Jones Large Cap Growth ETF..... (19,914,331)
SPDR Dow Jones Large Cap Value ETF...... (16,263,686)
SPDR Dow Jones Mid Cap ETF.............. (4,622,097)
SPDR Dow Jones Mid Cap Growth ETF....... (7,587,964)
SPDR Dow Jones Mid Cap Value ETF........ (2,966,458)
SPDR Dow Jones Small Cap ETF............ (1,420,882)
SPDR Dow Jones Small Cap Growth ETF..... (9,472,006)
SPDR Dow Jones Small Cap Value ETF...... (11,547,583)
SPDR DJ Global Titans ETF............... (9,664,574)
SPDR Dow Jones REIT ETF................. (174,705,656)
</Table>
181
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
DEFERRED LOSSES
---------------
SPDR KBW Bank ETF....................... $(192,730,377)
SPDR KBW Capital Markets ETF............ (27,417,548)
SPDR KBW Insurance ETF.................. (14,753,338)
SPDR KBW Mortgage Finance ETF........... (42,885)
SPDR KBW Regional Banking ETF........... (127,410,392)
SPDR Morgan Stanley Technology ETF...... (20,984,947)
SPDR S&P Dividend ETF................... (107,850,466)
SPDR S&P Biotech ETF.................... (82,043,991)
SPDR S&P Homebuilders ETF............... (153,472,009)
SPDR S&P Metals & Mining ETF............ (224,955,376)
SPDR S&P Oil & Gas Equipment & Services
ETF................................... (50,933,135)
SPDR S&P Oil & Gas Exploration &
Production ETF........................ (104,828,837)
SPDR S&P Pharmaceuticals ETF............ (3,063,197)
SPDR S&P Retail ETF..................... (33,685,196)
SPDR S&P Semiconductor ETF.............. (8,250,102)
SPDR Wells Fargo Preferred Stock ETF.... --
</Table>
DISTRIBUTIONS
Each Fund declares and distributes dividends from net investment income, if any,
to its shareholders quarterly. The Trust declares and distributes net realized
capital gains, if any, at least annually. Distributions are recorded on the ex-
dividend date. Income and capital gain distributions are determined in
accordance with income tax regulations, which may differ from U.S. generally
accepted accounting principles.
Effective October 30, 2009, the Trust's Dividend Reinvestment Service is no
longer available. Broker-dealers, at their own discretion, may offer a dividend
reinvestment service under which additional shares of the Fund(s) are purchased
in the secondary market at current market prices. Investors should consult their
broker-dealer for further information regarding any dividend reinvestment
service offered by such broker-dealer.
SUBSEQUENT EVENTS
Management's evaluation of the impact of all subsequent events on the Funds
financial statements was completed through February 22, 2010. Management has
determined that as of that date there were no material events requiring
adjustments or disclosure in the Funds financial statements.
3. FEES AND COMPENSATION PAID TO AFFILIATES AND OTHER RELATED PARTY
TRANSACTIONS
ADVISORY FEE
Each Fund has entered into an Investment Advisory Agreement with SSgA Funds
Management, Inc. (the "Adviser" or "SSgA FM"). As compensation for the services
rendered, facilities furnished, and expenses borne by the Adviser, each Fund
pays the Adviser a fee accrued daily and paid monthly, based on a percentage of
each Fund's average daily net assets as shown in the following table:
<Table>
<Caption>
ANNUAL RATE
-----------
SPDR Dow Jones Total Market ETF......... 0.20%
SPDR Dow Jones Large Cap ETF............ 0.20
SPDR Dow Jones Large Cap Growth ETF..... 0.20
SPDR Dow Jones Large Cap Value ETF...... 0.20
SPDR Dow Jones Mid Cap ETF.............. 0.25
</Table>
182
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
ANNUAL RATE
-----------
SPDR Dow Jones Mid Cap Growth ETF....... 0.25
SPDR Dow Jones Mid Cap Value ETF........ 0.25
SPDR Dow Jones Small Cap ETF............ 0.25
SPDR Dow Jones Small Cap Growth ETF..... 0.25
SPDR Dow Jones Small Cap Value ETF...... 0.25
SPDR DJ Global Titans ETF............... 0.50
SPDR Dow Jones REIT ETF................. 0.25
SPDR KBW Bank ETF....................... 0.35
SPDR KBW Capital Markets ETF............ 0.35
SPDR KBW Insurance ETF.................. 0.35
SPDR KBW Mortgage Finance ETF........... 0.35
SPDR KBW Regional Banking ETF........... 0.35
SPDR Morgan Stanley Technology ETF...... 0.50
SPDR S&P Dividend ETF................... 0.35
SPDR S&P Biotech ETF.................... 0.35
SPDR S&P Homebuilders ETF............... 0.35
SPDR S&P Metals & Mining ETF............ 0.35
SPDR S&P Oil & Gas Equipment & Services
ETF................................... 0.35
SPDR S&P Oil & Gas Exploration &
Production ETF........................ 0.35
SPDR S&P Pharmaceuticals ETF............ 0.35
SPDR S&P Retail ETF..................... 0.35
SPDR S&P Semiconductor ETF.............. 0.35
SPDR Wells Fargo Preferred Stock ETF.... 0.45
</Table>
The Adviser pays all operating expenses of each Fund other than management fee,
distribution fee pursuant to each Fund's Distribution and Service Plan, if any,
brokerage, taxes, interest, fees and expenses of the Independent Trustees
(including any Trustees' counsel fees), litigation expenses, acquired fund fees
and expenses and other extraordinary expenses.
On December 18, 2009 the Adviser agreed to make a voluntary contribution of
$11,147 to the SPDR S&P Retail ETF to correct for market impact of cash held
that should have been invested in securities.
State Street Bank and Trust Company ("State Street"), an affiliate of the
Adviser, receives fees for its services as Custodian, Administrator and Transfer
Agent from the Adviser. See also Note 4.
State Street also acts as the securities lending agent for the Funds and
receives a portion of any lending income. In addition, cash collateral from
lending activities is invested in the State Street Navigator Securities Lending
Prime Portfolio for which SSgA FM serves as the investment adviser. The State
Street Navigator Securities Lending Prime Portfolio is a series of State Street
Navigator Securities Lending Trust, a registered investment company under the
1940 Act, and operates as a money market fund in compliance with Rule 2a-7 under
the 1940 Act. See Note 8 for additional information regarding securities
lending.
For the six months ended December 31, 2009, State Street earned securities
lending agent fees from the following funds:
<Table>
<Caption>
SECURITIES LENDING
AGENT FEES
------------------
SPDR Dow Jones Total Market ETF......... $ 6,272
SPDR Dow Jones Large Cap ETF............ 3,391
SPDR Dow Jones Large Cap Growth ETF..... 3,080
</Table>
183
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITIES LENDING
AGENT FEES
------------------
SPDR Dow Jones Large Cap Value ETF...... $ 3,319
SPDR Dow Jones Mid Cap ETF.............. 4,166
SPDR Dow Jones Mid Cap Growth ETF....... 5,262
SPDR Dow Jones Mid Cap Value ETF........ 1,782
SPDR Dow Jones Small Cap ETF............ 3,917
SPDR Dow Jones Small Cap Growth ETF..... 17,331
SPDR Dow Jones Small Cap Value ETF...... 11,368
SPDR DJ Global Titans ETF............... 2,099
SPDR Dow Jones REIT ETF................. 67,880
SPDR KBW Bank ETF....................... 273,717
SPDR KBW Capital Markets ETF............ 1,962
SPDR KBW Insurance ETF.................. 2,652
SPDR KBW Regional Banking ETF........... 70,404
SPDR Morgan Stanley Technology ETF...... 2,729
SPDR S&P Dividend ETF................... 99,647
SPDR S&P Biotech ETF.................... 89,198
SPDR S&P Homebuilders ETF............... 46,647
SPDR S&P Metals & Mining ETF............ 32,533
SPDR S&P Oil & Gas Equipment & Services
ETF................................... 11,482
SPDR S&P Oil & Gas Exploration &
Production ETF........................ 10,329
SPDR S&P Pharmaceuticals ETF............ 3,545
SPDR S&P Retail ETF..................... 89,362
SPDR S&P Semiconductor ETF.............. 7,719
</Table>
DISTRIBUTOR
State Street Global Markets, LLC (the "Distributor"), an affiliate of the
Adviser, serves as the distributor of the shares of each Fund. Pursuant to a
Distribution and Service Plan adopted in accordance with Rule 12b-1 under the
1940 Act, each Fund, with the exception of SPDR Dow Jones Total Market ETF, is
authorized to pay an amount of up to 0.25% of its average daily net assets for
certain distribution-related activities. However, the Board of Trustees has
determined that no such payments will be made through at least October 31, 2010
and therefore no such payments have been made.
The Distributor has established an assisted trading program to aid Authorized
Participants in certain creation and redemption activity for which the
Distributor receives commissions from Authorized Participants. In addition, the
Distributor receives compensation from State Street associated with on-line
creation and redemption activity of Authorized Participants.
TRUSTEES' FEES
The Trust and SPDR Index Share Funds ("SIS Trust") pay, in the aggregate, each
Independent Trustee an annual fee of $90,000 plus $5,000 per in-person meeting
attended and $1,250 for each telephonic or video conference meeting attended.
The Chair of the Board receives an additional annual fee of $25,000 and the
Chair of the Audit Committee receives an additional annual fee of $10,000. The
Trust also reimburses each Independent Trustee for travel and other out-of-
pocket expenses incurred by him/her in connection with attending such meetings
and in connection with attending industry seminars and meetings. Trustee fees
are allocated between the Trust and SIS Trust and each of their respective
series in such a manner as deemed equitable, taking into consideration the
relative net assets of the series.
184
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
TRANSACTIONS WITH AFFILIATES
The Funds listed below have invested in an affiliated company, State Street
Corp. Amounts relating to these investments at December 31, 2009 and for the
period then ended are:
<Table>
<Caption>
NUMBER OF PURCHASED SOLD NUMBER OF
SHARES HELD VALUE AT ----------------------- ----------------------- SHARES HELD VALUE AT
FUND AT 6/30/09 6/30/09 COST SHARES PROCEEDS SHARES AT 12/31/09 12/31/09
- ---- ----------- ----------- ----------- --------- ----------- --------- ----------- -----------
SPDR Dow Jones Total
Market ETF........ 7,122 $ 336,158 $ -- -- $ 15,557 306 6,816 $ 296,769
SPDR Dow Jones Large
Cap ETF........... 2,069 97,657 5,438 100 -- -- 2,169 94,438
SPDR Dow Jones Large
Cap Growth ETF.... -- -- 1,022,288 18,800 19,659 476 18,324 797,827
SPDR Dow Jones Large
Cap Value ETF..... 10,424 492,013 -- -- 564,452 10,424 -- --
SPDR KBW Bank ETF... 726,963 34,312,654 48,705,194 1,060,214 56,649,301 1,230,650 556,527 24,231,186
SPDR KBW Capital
Markets ETF....... 149,545 7,058,524 8,049,819 164,121 8,107,305 172,895 140,771 6,129,169
<Caption>
DIVIDEND REALIZED
FUND INCOME GAIN/(LOSS)
- ---- -------- -----------
SPDR Dow Jones Total
Market ETF........ $ 136 $ 6,006
SPDR Dow Jones Large
Cap ETF........... 43 --
SPDR Dow Jones Large
Cap Growth ETF.... 371 (6,225)
SPDR Dow Jones Large
Cap Value ETF..... -- 23,929
SPDR KBW Bank ETF... 11,884 (2,322,053)
SPDR KBW Capital
Markets ETF....... 2,933 (106,684)
</Table>
Each Fund may invest in certain money market funds managed by the Adviser,
including the State Street Institutional Liquid Reserves Fund ("Liquid Reserves
Fund"), a series of State Street Institutional Investment Trust. The Liquid
Reserves Fund is a feeder fund in a master/feeder fund structure that invests
substantially all of its assets in the State Street Master Funds ("Master
Portfolio"). The Liquid Reserves Fund does not pay an investment advisory fee to
the Adviser, but the respective master portfolio in which it invests pays an
investment advisory fee to the Adviser. The Liquid Reserves Fund intends to
declare dividends on shares from net investment income daily and pay them as of
the last business day of each month. All income distributions earned by the the
Fund from affiliated money market funds are recorded as dividend income on
securities of affiliated issuers in the accompanying Statement of Operations. In
addition, cash collateral from lending activities is invested in the State
Street Navigator Securities Lending Prime Portfolio ("Navigator") for which SSgA
FM serves as the investment adviser. Navigator is a series of State Street
Navigator Securities Lending Trust, a registered investment company under the
1940 act, and operates as a money market fund in compliance with Rule 2a-7 under
the 1940 Act.
Amounts related to investments in Liquid Reserves Fund and/or Navigator at
December 31, 2009 and for the period then ended are:
<Table>
<Caption>
PURCHASED SOLD
VALUE AT ------------------------ ------------------------ VALUE AT REALIZED
FUND 6/30/09 COST SHARES PROCEEDS SHARES 12/31/09 INCOME GAIN/(LOSS)
- ---- -------- ----------- ---------- ----------- ---------- ---------- ------ -----------
SPDR Dow Jones Total
Market ETF........ $ -- $ 4,028,607 4,028,607 $ 3,294,873 3,294,873 $ 733,734 $ 409 $--
SPDR Dow Jones Large
Cap ETF........... -- 540,834 540,834 503,946 503,946 36,888 46 --
SPDR Dow Jones Large
Cap Growth ETF.... -- 2,103,177 2,103,177 1,713,539 1,713,539 389,638 133 --
SPDR Dow Jones Large
Cap Value ETF..... -- 2,849,827 2,849,827 2,709,181 2,709,181 140,646 174 --
SPDR Dow Jones Mid
Cap ETF........... -- 684,690 684,690 628,909 628,909 55,781 50 --
SPDR Dow Jones Mid
Cap Growth ETF.... -- 1,282,112 1,282,112 1,183,168 1,183,168 98,944 112 --
SPDR Dow Jones Mid
Cap Value ETF..... -- 303,889 303,889 285,395 285,395 18,494 22 --
SPDR Dow Jones Small
Cap ETF........... -- 532,160 532,160 473,030 473,030 59,130 26 --
SPDR Dow Jones Small
Cap Growth ETF.... -- 3,050,718 3,050,718 2,656,861 2,656,861 393,857 224 --
SPDR Dow Jones Small
Cap Value ETF..... -- 1,491,223 1,491,223 1,342,893 1,342,893 148,330 82 --
SPDR DJ Global
Titans ETF........ -- 1,834,138 1,834,138 1,763,186 1,763,186 70,952 82 --
SPDR Dow Jones
REIT ETF.......... -- 30,458,766 30,458,766 29,083,338 29,083,338 1,375,428 767 --
SPDR KBW Bank ETF... -- 5,397,703 5,397,703 4,954,819 4,954,819 442,884 447 --
SPDR KBW Capital
Markets ETF....... -- 739,750 739,750 564,521 564,521 175,229 95 --
SPDR KBW
Insurance ETF..... -- 1,968,738 1,968,738 1,795,846 1,795,846 172,892 116 --
SPDR KBW Mortgage
Finance ETF....... 31,581 130,844 130,844 157,854 157,854 4,571 11 --
SPDR KBW Regional
Banking ETF....... -- 9,193,211 9,193,211 8,852,710 8,852,710 340,501 285 --
</Table>
185
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PURCHASED SOLD
VALUE AT ------------------------ ------------------------ VALUE AT REALIZED
FUND 6/30/09 COST SHARES PROCEEDS SHARES 12/31/09 INCOME GAIN/(LOSS)
- ---- -------- ----------- ---------- ----------- ---------- ---------- ------ -----------
SPDR Morgan Stanley
Technology ETF.... $ -- $ 1,207,934 1,207,934 $ 844,964 844,964 $ 362,970 $ 96 $--
SPDR S&P
Dividend ETF...... -- 37,330,864 37,330,864 35,625,590 35,625,590 1,705,274 1,310 --
SPDR S&P
Biotech ETF....... -- 2,533,725 2,533,725 2,533,625 2,533,625 100 82 --
SPDR S&P
Homebuilders ETF.. -- 7,934,770 7,934,770 7,653,073 7,653,073 281,697 380 --
SPDR S&P Metals &
Mining ETF........ -- 6,450,532 6,450,532 5,569,760 5,569,760 880,772 611 --
SPDR S&P Oil & Gas
Equipment &
Services ETF...... -- 1,442,228 1,442,228 1,229,972 1,229,972 212,256 217 --
SPDR S&P Oil & Gas
Exploration &
Production ETF.... -- 2,048,870 2,048,870 1,861,102 1,861,102 187,768 263 --
SPDR S&P
Pharmaceuticals
ETF............... -- 323,305 323,305 317,998 317,998 5,307 19 --
SPDR S&P
Retail ETF........ -- 3,410,298 3,410,298 3,233,984 3,233,984 176,314 295 --
SPDR S&P
Semiconductor
ETF............... -- 709,229 709,229 634,815 634,815 74,414 99 --
SPDR Wells Fargo
Preferred
Stock ETF......... -- 833,260 833,260 744,870 744,870 88,390 19 --
</Table>
<Table>
<Caption>
PURCHASED SOLD
VALUE AT -------------------------- -------------------------- VALUE AT
FUND 6/30/09 COST SHARES PROCEEDS SHARES 12/31/09 INCOME
- ---- ------------ ------------ ----------- ------------ ----------- ------------ ----------
SPDR Dow Jones Total
Market ETF........ $ 7,113,997 $ 39,134,298 39,134,298 $ 33,678,478 33,678,478 $ 12,569,817 $ 35,753
SPDR Dow Jones Large
Cap ETF........... 10,783,247 72,612,590 72,612,590 70,331,058 70,331,058 13,064,779 19,500
SPDR Dow Jones Large
Cap Growth ETF.... 8,792,553 11,794,957 11,794,957 13,863,753 13,863,753 6,723,757 17,415
SPDR Dow Jones Large
Cap Value ETF..... 3,567,500 8,112,800 8,112,800 9,838,973 9,838,973 1,841,327 18,761
SPDR Dow Jones Mid
Cap ETF........... 9,024,333 12,594,911 12,594,911 8,402,914 8,402,914 13,216,330 23,771
SPDR Dow Jones Mid
Cap Growth ETF.... 12,397,043 24,288,422 24,288,422 14,486,551 14,486,551 22,198,914 29,803
SPDR Dow Jones Mid
Cap Value ETF..... 2,551,586 6,854,804 6,854,804 4,140,683 4,140,683 5,265,707 10,157
SPDR Dow Jones Small
Cap ETF........... 6,570,359 15,547,236 15,547,236 9,896,524 9,896,524 12,221,071 24,165
SPDR Dow Jones Small
Cap Growth ETF.... 27,383,717 49,461,227 49,461,227 41,538,512 41,538,512 35,306,432 98,603
SPDR Dow Jones Small
Cap Value ETF..... 18,673,686 42,567,021 42,567,021 39,899,346 39,899,346 21,341,361 64,923
SPDR DJ Global
Titans ETF........ 5,673,841 24,900,283 24,900,283 27,961,038 27,961,038 2,613,086 11,895
SPDR Dow Jones
REIT ETF.......... 195,862,882 629,790,245 629,790,245 590,116,661 590,116,661 235,536,466 384,725
SPDR KBW Bank ETF... 207,065,428 709,979,577 709,979,577 807,486,461 807,486,461 109,558,544 1,532,037
SPDR KBW Capital
Markets ETF....... 9,170,277 41,095,655 41,095,655 39,710,860 39,710,860 10,555,072 11,115
SPDR KBW
Insurance ETF..... 5,982,505 27,119,083 27,119,083 28,814,331 28,814,331 4,287,257 15,031
SPDR KBW Regional
Bank ETF.......... 133,202,649 287,653,531 287,653,531 298,826,343 298,826,343 122,029,837 398,950
SPDR Morgan Stanley
Technology ETF.... 13,653,424 35,120,405 35,120,405 38,001,084 38,001,084 10,772,745 15,471
SPDR S&P
Dividend ETF...... 157,934,201 487,658,279 487,658,279 466,076,886 466,076,886 179,515,594 563,759
SPDR S&P
Biotech ETF....... 109,293,810 310,009,517 310,009,517 333,344,018 333,344,018 85,959,309 505,501
SPDR S&P
Homebuilders ETF.. 125,762,270 516,816,958 516,816,958 448,799,674 448,799,674 193,779,554 264,406
SPDR S&P Metals &
Mining ETF........ 146,985,910 366,929,951 366,929,951 382,886,556 382,886,556 131,029,305 184,406
SPDR S&P Oil & Gas
Equipment &
Services ETF...... 40,191,165 136,930,360 136,930,360 135,899,296 135,899,296 41,222,229 65,075
SPDR S&P Oil & Gas
Exploration &
Production ETF.... 56,506,368 191,167,327 191,167,327 207,402,817 207,402,817 40,270,878 58,544
SPDR S&P
Pharmaceuticals
ETF............... 11,638,204 51,481,501 51,481,501 45,890,055 45,890,055 17,229,650 20,077
SPDR S&P
Retail ETF........ 65,789,143 582,350,376 582,350,376 542,901,432 542,901,432 105,238,087 506,375
SPDR S&P
Semiconductor
ETF............... 25,378,726 76,644,221 76,644,221 91,412,007 91,412,007 10,610,940 43,747
<Caption>
REALIZED
FUND GAIN/(LOSS)
- ---- -----------
SPDR Dow Jones Total
Market ETF........ $--
SPDR Dow Jones Large
Cap ETF........... --
SPDR Dow Jones Large
Cap Growth ETF.... --
SPDR Dow Jones Large
Cap Value ETF..... --
SPDR Dow Jones Mid
Cap ETF........... --
SPDR Dow Jones Mid
Cap Growth ETF.... --
SPDR Dow Jones Mid
Cap Value ETF..... --
SPDR Dow Jones Small
Cap ETF........... --
SPDR Dow Jones Small
Cap Growth ETF.... --
SPDR Dow Jones Small
Cap Value ETF..... --
SPDR DJ Global
Titans ETF........ --
SPDR Dow Jones
REIT ETF.......... --
SPDR KBW Bank ETF... --
SPDR KBW Capital
Markets ETF....... --
SPDR KBW
Insurance ETF..... --
SPDR KBW Regional
Bank ETF.......... --
SPDR Morgan Stanley
Technology ETF.... --
SPDR S&P
Dividend ETF...... --
SPDR S&P
Biotech ETF....... --
SPDR S&P
Homebuilders ETF.. --
SPDR S&P Metals &
Mining ETF........ --
SPDR S&P Oil & Gas
Equipment &
Services ETF...... --
SPDR S&P Oil & Gas
Exploration &
Production ETF.... --
SPDR S&P
Pharmaceuticals
ETF............... --
SPDR S&P
Retail ETF........ --
SPDR S&P
Semiconductor
ETF............... --
</Table>
4. SHAREHOLDER TRANSACTIONS
With the exception of the Trust's Dividend Reinvestment Service (See Note 2),
shares are issued and redeemed by a Fund only in Creation Unit size aggregations
of 50,000 shares. Such transactions are generally on an in-kind basis, with a
separate cash payment, which is a balancing cash component to equate the
transaction to the net asset value per unit
186
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
of the Fund on the transaction date. Transaction fees ranging from $250 to
$4,500 per Creation Unit regardless of the number of Creation Units that are
created or redeemed on the same day, are charged to Authorized Participants. An
additional fee, including a variable fee, may be charged for certain
transactions. Transaction fees are received by the Trust and/or Custodian and
used to defray related expenses. The Custodian also receives amounts earned on
cash collateral provided by Authorized Participants pending delivery of missing
deposit securities.
5. AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION
The identified cost of investments in securities owned by each Fund for federal
income tax purposes was substantially the same as cost for financial reporting
purposes. Accordingly, gross unrealized appreciation and depreciation at
December 31, 2009 was as follows:
<Table>
<Caption>
GROSS GROSS NET UNREALIZED
IDENTIFIED UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION DEPRECIATION (DEPRECIATION)
-------------- ------------ ------------ --------------
SPDR Dow Jones Total Market ETF......... $ 193,084,131 $ 26,273,145 $ 22,356,405 $ 3,916,740
SPDR Dow Jones Large Cap ETF............ 52,126,998 8,370,586 826,512 7,544,074
SPDR Dow Jones Large Cap Growth ETF..... 205,324,003 16,000,892 25,260,828 (9,259,936)
SPDR Dow Jones Large Cap Value ETF...... 119,110,439 8,746,640 19,671,981 (10,925,341)
SPDR Dow Jones Mid Cap ETF.............. 53,070,316 7,353,671 1,736,793 5,616,878
SPDR Dow Jones Mid Cap Growth ETF....... 88,686,569 12,486,752 2,077,779 10,408,973
SPDR Dow Jones Mid Cap Value ETF........ 22,854,558 1,694,836 1,085,191 609,645
SPDR Dow Jones Small Cap ETF............ 53,069,642 4,458,391 3,417,580 1,040,811
SPDR Dow Jones Small Cap Growth ETF..... 161,077,286 14,989,424 18,943,409 (3,953,985)
SPDR Dow Jones Small Cap Value ETF...... 130,210,542 9,331,152 19,094,929 (9,763,777)
SPDR DJ Global Titans ETF............... 116,389,243 5,492,984 16,929,927 (11,436,943)
SPDR Dow Jones REIT ETF................. 1,573,856,351 9,743,023 304,908,847 (295,165,824)
SPDR KBW Bank ETF....................... 1,129,011,278 33,123 211,005,875 (210,972,752)
SPDR KBW Capital Markets ETF............ 118,603,668 262,101 25,534,889 (25,272,788)
SPDR KBW Insurance ETF.................. 170,154,271 810,158 15,849,094 (15,038,936)
SPDR KBW Mortgage Finance ETF........... 4,194,120 320,910 422,105 (101,195)
SPDR KBW Regional Banking ETF........... 698,308,122 7,451,775 139,814,969 (132,363,194)
SPDR Morgan Stanley Technology ETF...... 251,786,737 33,988,645 18,909,935 15,078,710
SPDR S&P Dividend ETF................... 1,283,047,415 142,227,916 9,597,204 132,630,712
SPDR S&P Biotech ETF.................... 508,449,352 21,863,753 42,320,151 (20,456,398)
SPDR S&P Homebuilders ETF............... 891,327,563 15,915,187 28,357,894 (12,442,707)
SPDR S&P Metals & Mining ETF............ 956,567,560 83,130,853 15,734,794 67,396,059
SPDR S&P Oil & Gas Equipment & Services
ETF................................... 331,757,915 28,439,231 14,793,295 13,645,936
SPDR S&P Oil & Gas Exploration &
Production ETF........................ 487,729,955 7,562,803 35,116,253 (27,553,450)
SPDR S&P Pharmaceuticals ETF............ 71,269,549 11,409,529 739,505 10,670,024
SPDR S&P Retail ETF..................... 540,684,492 3,636,351 5,962,378 (2,326,027)
SPDR S&P Semiconductor ETF.............. 88,303,964 19,872,579 104,646 19,767,933
SPDR Wells Fargo Preferred Stock ETF.... 24,236,646 694,441 29,267 665,174
</Table>
187
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
6. INVESTMENT TRANSACTIONS
For the six months ended December 31, 2009, the following Funds had in-kind
contributions and in-kind redemptions as follows:
<Table>
<Caption>
CONTRIBUTIONS REDEMPTIONS
-------------- --------------
SPDR Dow Jones Total Market ETF......... $ -- $ 7,445,356
SPDR Dow Jones Large Cap ETF............ -- --
SPDR Dow Jones Large Cap Growth ETF..... 4,344,373 7,055,554
SPDR Dow Jones Large Cap Value ETF...... 2,775,102 13,669,494
SPDR Dow Jones Mid Cap ETF.............. 4,388,641 --
SPDR Dow Jones Mid Cap Growth ETF....... 19,165,175 --
SPDR Dow Jones Mid Cap Value ETF........ 6,250,696 --
SPDR Dow Jones Small Cap ETF............ 12,829,486 --
SPDR Dow Jones Small Cap Growth ETF..... 13,689,244 11,922,093
SPDR Dow Jones Small Cap Value ETF...... 7,467,162 --
SPDR DJ Global Titans ETF............... 19,355,693 2,649,063
SPDR Dow Jones REIT ETF................. 98,446,762 335,724,087
SPDR KBW Bank ETF....................... 1,455,858,531 1,595,372,402
SPDR KBW Capital Markets ETF............ 94,301,614 98,244,239
SPDR KBW Insurance ETF.................. 340,699,696 370,913,570
SPDR KBW Mortgage Finance ETF........... -- 1,963,546
SPDR KBW Regional Banking ETF........... 1,381,614,602 1,436,347,640
SPDR Morgan Stanley Technology ETF...... 10,260,697 7,092,189
SPDR S&P Dividend ETF................... 418,487,988 4,386,314
SPDR S&P Biotech ETF.................... 83,398,435 133,301,667
SPDR S&P Homebuilders ETF............... 973,313,197 984,161,309
SPDR S&P Metals & Mining ETF............ 917,591,838 831,184,279
SPDR S&P Oil & Gas Equipment & Services
ETF................................... 84,655,579 37,349,868
SPDR S&P Oil & Gas Exploration &
Production ETF........................ 1,136,761,111 1,060,336,198
SPDR S&P Pharmaceuticals ETF............ 13,891,663 1,726,281
SPDR S&P Retail ETF..................... 4,975,873,438 5,653,112,395
SPDR S&P Semiconductor ETF.............. 45,035,595 84,138,855
SPDR Wells Fargo Preferred Stock ETF.... 24,401,195 --
</Table>
The in-kind contributions and in-kind redemptions in this table may not accord
with the beneficial interest transactions on the Statement of Changes. The table
represents the accumulation of the Fund's daily net shareholder transactions
while the Statement of Changes reflect gross shareholder transactions including
any cash component of the transaction.
For the six months ended December 31, 2009, the Funds had purchases and sales of
investment securities as follows:
<Table>
<Caption>
PURCHASES SALES
------------ ------------
SPDR Dow Jones Total Market ETF......... $ 2,821,649 $ 1,947,498
SPDR Dow Jones Large Cap ETF............ 1,640,111 1,255,138
SPDR Dow Jones Large Cap Growth ETF..... 16,441,605 16,593,354
SPDR Dow Jones Large Cap Value ETF...... 11,618,300 10,098,650
SPDR Dow Jones Mid Cap ETF.............. 7,015,598 6,773,317
SPDR Dow Jones Mid Cap Growth ETF....... 13,215,434 13,302,389
SPDR Dow Jones Mid Cap Value ETF........ 4,403,018 4,372,068
</Table>
188
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PURCHASES SALES
------------ ------------
SPDR Dow Jones Small Cap ETF............ $ 3,281,908 $ 3,194,282
SPDR Dow Jones Small Cap Growth ETF..... 20,521,955 20,302,934
SPDR Dow Jones Small Cap Value ETF...... 20,376,866 20,061,935
SPDR DJ Global Titans ETF............... 3,405,704 3,791,949
SPDR Dow Jones REIT ETF................. 57,100,097 58,952,194
SPDR KBW Bank ETF....................... 119,873,265 117,974,583
SPDR KBW Capital Markets ETF............ 5,245,380 5,246,907
SPDR KBW Insurance ETF.................. 18,691,295 18,306,851
SPDR KBW Mortgage Finance ETF........... 1,161,730 1,177,233
SPDR KBW Regional Banking ETF........... 98,591,802 97,269,382
SPDR Morgan Stanley Technology ETF...... 35,952,820 36,106,986
SPDR S&P Dividend ETF................... 346,786,444 348,335,985
SPDR S&P Biotech ETF.................... 180,956,163 180,936,698
SPDR S&P Homebuilders ETF............... 215,473,868 214,854,709
SPDR S&P Metals & Mining ETF............ 186,920,411 188,917,251
SPDR S&P Oil & Gas Equipment & Services
ETF................................... 43,865,623 43,853,888
SPDR S&P Oil & Gas Exploration &
Production ETF........................ 52,543,482 52,155,502
SPDR S&P Pharmaceuticals ETF............ 16,597,707 16,541,691
SPDR S&P Retail ETF..................... 45,338,800 43,051,224
SPDR S&P Semiconductor ETF.............. 14,829,012 14,760,433
SPDR Wells Fargo Preferred Stock ETF.... 1,211,831 1,434,959
</Table>
For the six months ended December 31, 2009, the Funds did not pay any
commissions to an affiliate of the Advisor for investment transactions.
7. CONCENTRATION OF RISK
A Funds' assets may be concentrated in a particular industry, group of
industries or sector. Because each Fund will generally concentrate its
investments to approximately the same extent that its index is so concentrated,
a Fund may be adversely affected by the performance of a particular industry,
group of industries or sector, and its shares may be subject to increased price
volatility. In addition, if a Fund concentrates in a single industry or group of
industries, it may be more susceptible to any single economic, market, political
or regulatory occurrence affecting that industry or group of industries.
8. SECURITIES LENDING
Each Fund may lend securities up to 33 1/3% of its total assets to qualified
broker-dealers or institutional investors. The loans are secured at all times by
cash, cash equivalents or U.S. government securities in an amount at least equal
to the market value of the securities loaned, plus accrued interest and
dividends, determined on a daily basis and adjusted accordingly. The Funds will
regain record ownership of loaned securities to exercise certain beneficial
rights; however, the Funds may bear the risk of delay in recovery of, or even
loss of rights in the securities loaned should the borrower fail financially. In
addition, a Fund will bear the risk of loss of any cash collateral that it may
invest. Each Fund receives compensation for lending its securities from interest
or dividends earned on the cash, cash equivalents or U.S. government securities
held as collateral, net of fee rebates paid to the borrower and net of fees paid
to State Street as lending agent. Proceeds collected by State Street on
investment of cash collateral or any fee income is partially allocated to State
Street as compensation for its lending services.
The market value of securities on loan as of December 31, 2009 and the value of
the invested cash collateral are disclosed in the Statements of Assets and
Liabilities. Securities lending income, as disclosed in the Funds' Statements of
Operations, represents the income earned from the investment of cash collateral,
net of fee rebates paid to the borrower and net of fees paid to State Street as
lending agent.
189
SPDR SERIES TRUST
OTHER INFORMATION
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
SHAREHOLDER EXPENSE EXAMPLE
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs
which may include creation and redemption fees or brokerage charges and (2)
ongoing costs, including management fees, trustee fees, and other Fund expenses.
This Example is intended to help you understand your ongoing costs (in dollars)
of investing in a Fund and to compare these costs with the ongoing costs of
investing in other mutual funds. It is based on an investment of $1,000 invested
on July 1, 2009 and held for the six months ended December 31, 2009.
ACTUAL EXPENSES
The first table below provides information about actual account values and
actual expenses. You may use the information in this table, together with the
amount you invested, to estimate the expenses that you incurred over the period.
Simply divide your account value by $1,000 (for example, an $8,600 account value
divided by $1,000 = 8.6), then multiply the result by the number in the first
table under the heading entitled "Expenses Paid During Period" to estimate the
expenses attributable to your investment during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second table below provides information about hypothetical account values
and hypothetical expenses based on a Fund's actual expense ratio and an assumed
rate of return of 5% per year before expenses, which is not a Fund's actual
return. Thus, you should not use the hypothetical account values and expenses to
estimate the actual ending account balance or your expenses for the period.
Rather, these figures are provided to enable you to compare the ongoing costs of
investing in a Fund and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of the other funds. The Funds charge transaction fees at scheduled amounts
ranging from $250 to $4,500 per Creation Unit to those persons creating or
redeeming Creation Units. If you buy or sell the Funds' shares in the secondary
market, you will incur customary brokerage commissions and charges.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transaction costs, such as creation
and redemption fees on brokerage charges. Therefore, the second table is useful
in comparing ongoing costs only, and will not help you determine the relative
total costs of owning different funds. In addition, if these transaction costs
were included, your costs would have been higher.
<Table>
<Caption>
BEGINNING ENDING EXPENSES PAID
ANNUALIZED ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD*
ACTUAL EXPENSE RATIO 7/1/09 12/31/09 7/1/09-12/31/09
- ------ ------------- ------------- ------------- ---------------
SPDR Dow Jones Total Market ETF......... 0.21% $1,000 $1,228.60 $1.18
SPDR Dow Jones Large Cap ETF............ 0.22 1,000 1,223.60 1.23
SPDR Dow Jones Large Cap Growth ETF..... 0.20 1,000 1,246.10 1.13
SPDR Dow Jones Large Cap Value ETF...... 0.21 1,000 1,203.40 1.17
SPDR Dow Jones Mid Cap ETF.............. 0.28 1,000 1,310.60 1.63
SPDR Dow Jones Mid Cap Growth ETF....... 0.26 1,000 1,313.30 1.52
SPDR Dow Jones Mid Cap Value ETF........ 0.31 1,000 1,305.90 1.80
SPDR Dow Jones Small Cap ETF............ 0.29 1,000 1,279.60 1.67
SPDR Dow Jones Small Cap Growth ETF..... 0.26 1,000 1,251.90 1.48
SPDR Dow Jones Small Cap Value ETF...... 0.27 1,000 1,311.30 1.57
SPDR DJ Global Titans ETF............... 0.50 1,000 1,220.10 2.80
SPDR Dow Jones REIT ETF................. 0.25 1,000 1,476.60 1.56
SPDR KBW Bank ETF....................... 0.35 1,000 1,177.60 1.92
SPDR KBW Capital Markets ETF............ 0.35 1,000 1,103.80 1.86
SPDR KBW Insurance ETF.................. 0.35 1,000 1,319.20 2.05
SPDR KBW Mortgage Finance ETF........... 0.35 1,000 1,149.20 1.90
SPDR KBW Regional Banking ETF........... 0.35 1,000 1,225.90 1.96
SPDR Morgan Stanley Technology ETF...... 0.50 1,000 1,280.10 2.87
</Table>
190
SPDR SERIES TRUST
OTHER INFORMATION (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
BEGINNING ENDING EXPENSES PAID
ANNUALIZED ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD*
ACTUAL EXPENSE RATIO 7/1/09 12/31/09 7/1/09-12/31/09
- ------ ------------- ------------- ------------- ---------------
SPDR S&P Dividend ETF................... 0.35% $1,000 $1,240.60 $1.98
SPDR S&P Biotech ETF.................... 0.35 1,000 1,057.60 1.82
SPDR S&P Homebuilders ETF............... 0.35 1,000 1,287.90 2.02
SPDR S&P Metals & Mining ETF............ 0.35 1,000 1,399.60 2.12
SPDR S&P Oil & Gas Equipment & Services
ETF................................... 0.35 1,000 1,310.90 2.04
SPDR S&P Oil & Gas Exploration &
Production ETF........................ 0.35 1,000 1,305.30 2.03
SPDR S&P Pharmaceuticals ETF............ 0.36 1,000 1,275.90 2.07
SPDR S&P Retail ETF..................... 0.35 1,000 1,301.10 2.03
SPDR S&P Semiconductor ETF.............. 0.35 1,000 1,409.50 2.13
SPDR Wells Fargo Preferred Stock ETF**.. 0.45 1,000 1,058.80 1.35
</Table>
<Table>
<Caption>
BEGINNING ENDING EXPENSES PAID
ANNUALIZED ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD*
HYPOTHETICAL EXPENSE RATIO 7/1/09 12/31/09 7/1/09-12/31/09
- ------------ ------------- ------------- ------------- ---------------
SPDR Dow Jones Total Market ETF......... 0.21% $1,000 $1,024.16 $1.07
SPDR Dow Jones Large Cap ETF............ 0.22 1,000 1,024.11 1.12
SPDR Dow Jones Large Cap Growth ETF..... 0.20 1,000 1,024.18 1.02
SPDR Dow Jones Large Cap Value ETF...... 0.21 1,000 1,024.15 1.07
SPDR Dow Jones Mid Cap ETF.............. 0.28 1,000 1,023.79 1.43
SPDR Dow Jones Mid Cap Growth ETF....... 0.26 1,000 1,023.87 1.33
SPDR Dow Jones Mid Cap Value ETF........ 0.31 1,000 1,023.65 1.58
SPDR Dow Jones Small Cap ETF............ 0.29 1,000 1,023.77 1.48
SPDR Dow Jones Small Cap Growth ETF..... 0.26 1,000 1,023.89 1.33
SPDR Dow Jones Small Cap Value ETF...... 0.27 1,000 1,023.87 1.38
SPDR DJ Global Titans ETF............... 0.50 1,000 1,022.67 2.55
SPDR Dow Jones REIT ETF................. 0.25 1,000 1,023.93 1.28
SPDR KBW Bank ETF....................... 0.35 1,000 1,023.42 1.79
SPDR KBW Capital Markets ETF............ 0.35 1,000 1,023.43 1.79
SPDR KBW Insurance ETF.................. 0.35 1,000 1,023.43 1.79
SPDR KBW Mortgage Finance ETF........... 0.35 1,000 1,023.42 1.79
SPDR KBW Regional Banking ETF........... 0.35 1,000 1,023.42 1.79
SPDR Morgan Stanley Technology ETF...... 0.50 1,000 1,022.67 2.55
SPDR S&P Dividend ETF................... 0.35 1,000 1,023.43 1.79
SPDR S&P Biotech ETF.................... 0.35 1,000 1,023.42 1.79
SPDR S&P Homebuilders ETF............... 0.35 1,000 1,023.43 1.79
SPDR S&P Metals & Mining ETF............ 0.35 1,000 1,023.43 1.79
SPDR S&P Oil & Gas Equipment & Services
ETF................................... 0.35 1,000 1,023.43 1.79
SPDR S&P Oil & Gas Exploration &
Production ETF........................ 0.35 1,000 1,023.43 1.79
SPDR S&P Pharmaceuticals ETF............ 0.36 1,000 1,023.38 1.84
SPDR S&P Retail ETF..................... 0.35 1,000 1,023.42 1.79
SPDR S&P Semiconductor ETF.............. 0.35 1,000 1,023.43 1.79
SPDR Wells Fargo Preferred Stock ETF**.. 0.45 1,000 1,022.93 1.33
</Table>
191
SPDR SERIES TRUST
OTHER INFORMATION (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
* Expenses are equal to the Fund's annualized net expense ratio multiplied by the
average account value of the period, multiplied by the number of days in the most
recent six month period, then divided by 365.
** Actual period is from commencement of operations 9/16/09. Hypothetical period is
from 7/1/09.
</Table>
PROXY VOTING POLICIES AND PROCEDURES AND RECORD
A description of the Trust's proxy voting policies and procedures used by the
Funds' investment adviser to vote proxies relating to the Funds' portfolio
securities is available (i) without charge, upon request, by calling 1-866-787-
2257 (toll free) or (ii) on the website of the Securities and Exchange
Commission ("SEC") at www.sec.gov. Information regarding how the investment
adviser voted any proxies for the prior twelve-month period ended June 30 is
available by August 31 of each year by calling the same number and on the SEC's
website, at www.sec.gov, and on the Funds' website at www.spdrs.com.
SHAREHOLDER MEETING
On January 25, 2010, the SPDR Series Trust and the SPDR Index Shares Funds
provided notice of, and a proxy statement associated with, a Shareholder Meeting
to be held on March 19, 2010 at SSgA Funds Management, Inc.'s offices in Boston,
Massachusetts. Shareholders of record as of January 6, 2010 received such
information and are entitled to vote at the Shareholder Meeting. The purpose of
the Shareholder Meeting is to seek approval of several proposals which relate to
the following matters: to elect Trustees; to approve an investment sub-advisory
agreement between the Adviser and Nuveen Asset Management related to the
portfolio management of the SPDR Municipal Bond ETFs; to adopt a "manager of
managers" structure for all Funds which would permit the SPDR Funds to hire and
replace sub-advisers without the expense of a shareholder meeting; to modify or
eliminate certain fundamental policies and restrictions for all SPDR Funds and;
to address other matters which may properly come before the Shareholder Meeting.
More information on the Shareholder Meeting, the proposals and how to vote is
available at www.spdrs.com.
QUARTERLY PORTFOLIO SCHEDULE
The Funds file a complete schedule of portfolio holdings with the SEC for the
first and third quarters of each fiscal year on Form N-Q. The Funds' Forms N-Q
are available on the SEC's website at www.sec.gov and may be reviewed and copied
at the SEC's Public Reference Room in Washington, DC. Information on the
operation of the Public Reference Room may be obtained by calling 1-800-SEC-
0330. The information on the Form N-Q is available upon request, without charge,
by calling 1-866-787-2257 (toll free), and on the Funds' website at
www.spdrs.com.
FULL PORTFOLIO SCHEDULE
The complete schedule of portfolio holdings for the following Funds is available
on the Funds' website at www.spdrs.com. They are also available without charge,
upon request, by calling 1-866-787-2257 (toll free) and on the SEC's website at
www.sec.gov.
SPDR Dow Jones Total Market ETF
SPDR Dow Jones Large Cap ETF
SPDR Dow Jones Large Cap Growth ETF
SPDR Dow Jones Large Cap Value ETF
SPDR Dow Jones Mid Cap ETF
SPDR Dow Jones Mid Cap Growth ETF
SPDR Dow Jones Mid Cap Value ETF
SPDR Dow Jones Small Cap ETF
SPDR Dow Jones Small Cap Growth ETF
SPDR Dow Jones Small Cap Value ETF
192
SPDR SERIES TRUST
OTHER INFORMATION (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
APPROVAL OF ADVISORY AGREEMENT
At in-person meetings held during the six-month period ended December 31, 2009,
the Board of Trustees of the Trust (the "Board") evaluated proposals to continue
the Investment Advisory Agreement with respect to the operational and non-
operational series of the Trust (each, a "SPDR ETF" and collectively, the "SPDR
ETFs"). The Trustees who are not "interested persons" of the Trust within the
meaning of the Investment Company Act of 1940, as amended (the "Independent
Trustees") also met separately with their independent legal counsel to consider
the Investment Advisory Agreement.
In evaluating the Investment Advisory Agreement, the Board drew on materials
provided to them by the Adviser and on other materials provided by State Street
Bank and Trust Company, the Trust's Administrator, Transfer Agent, Custodian and
Securities Lending Agent ("State Street"). In deciding whether to approve the
Investment Advisory Agreement, the Board considered various factors, including
(i) the nature, extent and quality of services provided by, or to be provided
by, the Adviser with respect to the SPDR ETFs under the Investment Advisory
Agreement, (ii) investment performance of the SPDR ETFs, (iii) costs to the
Adviser of its services and profits realized by the Adviser from its
relationship with the Trust, and (iv) the extent to which economies of scale
would be realized if and as the SPDR ETFs grow and whether fee levels in the
Investment Advisory Agreement reflect these economies of scale.
The Board considered the nature, extent and quality of services provided by, or
to be provided by, the Adviser. In doing so, they relied on their prior
experience with the Trust and materials provided prior to and at the meeting.
The Board reviewed the Investment Advisory Agreement and the Adviser's
responsibilities for managing investment operations of the SPDR ETFs in
accordance with each SPDR ETF's investment objective, investment policies, and
applicable legal and regulatory requirements. The Board appreciated the
relatively unique nature of the SPDR ETFs, as exchange-traded funds, and the
experience and expertise of the Adviser with exchange-traded funds. The Board
considered the background and experience of the Adviser's senior management,
including those individuals responsible for portfolio management and compliance
of the SPDR ETFs. The Board also considered the portfolio management resources,
structures and practices, including those associated with monitoring and
securing each SPDR ETF's compliance with its investment objectives and policies
and with applicable laws and regulations. The Board also considered information
about the Adviser's best execution procedures and overall investment management
business, noting that the Adviser serves a wide range of clients across a broad
spectrum of asset classes. The Board looked at the Adviser's general knowledge
of the investment business and that of its affiliates which make up State Street
Global Advisors, with which the Adviser shares all of its senior personnel. The
Board considered that the Adviser and its affiliates constitute one of the
world's largest investment management enterprises for indexed products generally
and exchange-traded funds in particular. The Board considered the Adviser's
experience in managing equity exchange-traded funds. The Board then determined
that the nature, extent and quality of services provided by the Adviser to the
SPDR ETFs were necessary and appropriate.
The Board reviewed the SPDR ETFs' performance, noting that the distinctive
indexed investment objective of each of the SPDR ETFs made analysis of
investment performance, in absolute terms, less of a priority than that which
normally attaches to performance of actively-managed funds. The Board was more
concerned with the extent to which each SPDR ETF achieved its objective as a
passively managed index fund. The Board reviewed information regarding each SPDR
ETF's index tracking and tracking error, noting that each SPDR ETF
satisfactorily tracked its benchmark index. The Board also discussed the tax
efficiency of the SPDR ETFs. The Board then determined that the performance of
each SPDR ETF was satisfactory.
The Board considered the profitability of the advisory arrangement with the SPDR
ETFs to the Adviser, including data on the SPDR ETFs' historical profitability
to the Adviser. The Independent Trustees, through their counsel, had the
opportunity to discuss, with representatives of the Adviser and State Street,
methodologies used in computing costs that formed the bases of profitability
calculations and determined that these methodologies were reasonable. The Board
concluded that, to the extent that the Adviser's relationships with the SPDR
ETFs had been profitable, profitability was not excessive.
The Board considered whether the Adviser or its affiliates benefited in other
ways from their relationship with the Trust, noting that the Adviser does not
maintain soft-dollar arrangements in connection with the Trust's brokerage
transactions. The Board concluded that, to the extent that the Adviser or its
affiliates derive benefits from their
193
SPDR SERIES TRUST
OTHER INFORMATION (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
relationship with the Trust, those benefits are not so significant as to cause
the Adviser's fees with respect to the SPDR ETFs to be excessive.
The Board determined that the Adviser is likely to realize economies of scale in
managing the SPDR ETFs as assets grow in size. The Board further determined that
such economies of scale are currently shared with the SPDR ETFs by way of the
relatively low advisory fee and unitary fee structure of the Trust, although the
Board intends to continue to monitor fees as SPDR ETFs grow in size and assess
whether fee breakpoints may be warranted.
The Board evaluated the SPDR ETFs' unitary fee through review of comparative
information with respect to fees paid by similar funds -- i.e., exchange-traded
funds tracking equity indexes. The Board reviewed the universe of similar
exchange-traded funds for the SPDR ETFs based upon data from Lipper Analytical
Services and related comparative information for similar exchange-traded funds.
The Board also reviewed the historical expense ratios of the SPDR ETFs,
estimated expense ratios of the new SPDR ETFs, and the unitary fee structure.
The Board used a fund by fund analysis of the data. The Board concluded, based
on the information presented, that each SPDR ETF's fees were fair and reasonable
in light of those of their direct competitors.
The Board, including the Independent Trustees voting separately, approved the
Investment Advisory Agreement after weighing the foregoing factors, none of
which was dispositive in itself. The Board's conclusions regarding the
Investment Advisory Agreement were as follows: (a) the nature and extent of the
services provided by, or expected to be provided by, the Adviser with respect to
the SPDR ETFs were appropriate; (b) the performance and, more importantly, the
index tracking, of each SPDR ETF had been satisfactory; (c) the Adviser's fees
for each SPDR ETF and the unitary fee, considered in relation to services
provided or expected to be provided, were fair and reasonable; (d) profitability
of the Trust's relationship with the Adviser was not excessive; (e) any
additional benefits to the Adviser or its affiliates were not of a magnitude to
materially affect the Board's conclusions; and (f) fees paid to the Adviser
adequately shared the economies of scale with the SPDR ETFs by way of the
relatively low fee structure of the Trust.
The Board also considered the renewal of the Sub-Advisory Agreement (the "Sub-
Advisory Agreement") between the Trust and The Tuckerman Group LLC, an affiliate
of the Adviser (the "Sub-Adviser") with respect to the real estate series of the
Trust (the "Real Estate ETF"), after review of materials provided to them at
their request by the Adviser, Sub-Adviser and State Street. In deciding whether
to approve the Sub-Advisory Agreement, the Board considered various factors,
including (i) the nature, extent and quality of services provided by the Sub-
Adviser with respect to the Real Estate ETF under the Sub-Advisory Agreement,
(ii) investment performance of the Real Estate ETF, (iii) fees charged by the
Sub-Adviser and any additional benefits received by the Sub-Adviser due to its
relationship with the Adviser and the Trust, and (iv) the extent to which
economies of scale would be realized if and as the Real Estate ETF grows and
whether fee levels in the Sub-Advisory Agreement reflect these economies of
scale.
The Board considered the background and experience of the Sub-Adviser's senior
management and in particular the Sub-Adviser's experience in investing in real
estate investment trusts and international real estate securities. The Board
considered that the Real Estate ETF satisfactorily tracked its benchmark index.
In light of the Board's determination that the unitary fee paid to the Adviser
by the Real Estate ETF was fair and reasonable and that the Sub-Adviser's fees
are paid by the Adviser, the Board did not believe it necessary to evaluate the
Sub-Adviser's profitability.
The Board, including the Independent Trustees voting separately, approved the
Sub-Advisory Agreement after weighing the foregoing factors, none of which was
dispositive in itself. The Board's conclusions with respect to the Sub-Advisory
Agreement were as follows: (a) the nature and extent of the services provided by
the Sub-Adviser to the Real Estate ETF was appropriate; (b) the performance and,
more importantly, the index tracking, of the Real Estate ETF had been
satisfactory; (c) the Sub-Adviser's fees for the Real Estate ETF and the unitary
fee, considered in relation to the services provided, were fair and reasonable;
(d) any additional benefits to the Sub-Adviser were not of a magnitude to
materially affect the Board's conclusions; and (e) the fees paid to the Sub-
Adviser adequately shared the economies of scale with the Real Estate ETF.
194
THE SPDR FAMILY OF EXCHANGE TRADED FUNDS
The following is a list of SPDR ETFs being offered, along with their respective
exchange trading symbols. PLEASE CALL 1-866-787-2257 TO OBTAIN A PROSPECTUS FOR
ANY SPDR ETF. THE PROSPECTUS CONTAINS MORE COMPLETE INFORMATION, INCLUDING
CHARGES, EXPENSES, INVESTMENT OBJECTIVES AND RISK FACTORS THAT SHOULD BE
CAREFULLY CONSIDERED TO DETERMINE IF THE FUND(S) ARE AN APPROPRIATE INVESTMENT
FOR YOU. READ THE PROSPECTUS(ES) CAREFULLY BEFORE INVESTING. INVESTING INVOLVES
RISK, INCLUDING POSSIBLE LOSS OF PRINCIPAL.
SPDR SERIES TRUST
SPDR Dow Jones Total Market ETF (TMW)
SPDR Dow Jones Large Cap ETF (ELR)
SPDR Dow Jones Large Cap Growth ETF (ELG)
SPDR Dow Jones Large Cap Value ETF (ELV)
SPDR Dow Jones Mid Cap ETF (EMM)
SPDR Dow Jones Mid Cap Growth ETF (EMG)
SPDR Dow Jones Mid Cap Value ETF (EMV)
SPDR Dow Jones Small Cap ETF (DSC)
SPDR Dow Jones Small Cap Growth ETF (DSG)
SPDR Dow Jones Small Cap Value ETF (DSV)
SPDR DJ Global Titans ETF (DGT)
SPDR Dow Jones REIT ETF (RWR)
SPDR KBW Bank ETF (KBE)
SPDR KBW Capital Markets ETF (KCE)
SPDR KBW Insurance ETF (KIE)
SPDR KBW Mortgage Finance ETF (KME)
SPDR KBW Regional Banking ETF (KRE)
SPDR Morgan Stanley Technology ETF (MTK)
SPDR S&P Dividend ETF (SDY)
SPDR S&P Biotech ETF (XBI)
SPDR S&P Homebuilders ETF (XHB)
SPDR S&P Metals & Mining ETF (XME)
SPDR S&P Oil & Gas Equipment & Services ETF (XES)
SPDR S&P Oil & Gas Exploration & Production ETF (XOP)
SPDR S&P Pharmaceuticals ETF (XPH)
SPDR S&P Retail ETF (XRT)
SPDR S&P Semiconductor ETF (XSD)
SPDR S&P Wells Fargo Preferred Stock ETF (PSK)
SPDR Barclays Capital 1-3 Month T-Bill ETF (BIL)
SPDR Barclays Capital TIPS ETF (IPE)
SPDR Barclays Capital Intermediate Term Treasury ETF (ITE)
SPDR Barclays Capital Long Term Treasury ETF (TLO)
SPDR Barclays Capital Intermediate Term Credit Bond ETF (ITR)
SPDR Barclays Capital Long Term Credit Bond ETF (LWC)
SPDR Barclays Capital Convertible Bond ETF (CWB)
SPDR Barclays Capital Mortgage Backed Bond ETF (MBG)
SPDR Barclays Capital Aggregate Bond ETF (LAG)
SPDR Barclays Capital Municipal Bond ETF (TFI)
SPDR Barclays Capital California Municipal Bond ETF (CXA)
SPDR Barclays Capital New York Municipal Bond ETF (INY)
SPDR Barclays Capital Short Term Municipal Bond ETF (SHM)
SPDR S&P VRDO Municipal Bond ETF (VRD)
SPDR DB International Government Inflation-Protected Bond ETF (WIP)
SPDR Barclays Capital Short Term International Treasury Bond ETF (BWZ)
SPDR Barclays Capital International Treasury Bond ETF (BWX)
SPDR Barclays Capital High Yield Bond ETF (JNK)
SPDR Barclays Capital Short Term Corporate Bond ETF (SCPB)
SPDR INDEX SHARES FUNDS
SPDR DJ STOXX 50 ETF (FEU)
SPDR DJ EURO STOXX 50 ETF (FEZ)
SPDR S&P Emerging Asia Pacific ETF (GMF)
SPDR S&P China ETF (GXC)
SPDR S&P Emerging Markets ETF (GMM)
SPDR S&P BRIC 40 ETF (BIK)
SPDR S&P Emerging Europe ETF (GUR)
SPDR S&P Emerging Latin America ETF (GML)
SPDR S&P Emerging Middle East & Africa ETF (GAF)
SPDR S&P World ex-US ETF (GWL)
SPDR S&P International Small Cap ETF (GWX)
SPDR Dow Jones International Real Estate ETF (RWX)
SPDR FTSE/Macquarie Global Infrastructure 100 ETF (GII)
SPDR MSCI ACWI ex-US ETF (CWI)
SPDR Russell/Nomura PRIME Japan ETF (JPP)
SPDR Russell/Nomura Small Cap Japan ETF (JSC)
SPDR S&P International Dividend ETF (DWX)
SPDR S&P International Mid Cap ETF (MDD)
SPDR S&P Emerging Markets Small Cap ETF (EWX)
SPDR Dow Jones Global Real Estate ETF (RWO)
SPDR S&P International Consumer Discretionary Sector ETF (IPD)
SPDR S&P International Consumer Staples Sector ETF (IPS)
SPDR S&P International Energy Sector ETF (IPW)
SPDR S&P International Financial Sector ETF (IPF)
SPDR S&P International Health Care Sector ETF (IRY)
SPDR S&P International Industrial Sector ETF (IPN)
SPDR S&P International Materials Sector ETF (IRV)
SPDR S&P International Technology Sector ETF (IPK)
SPDR S&P International Telecommunications Sector ETF (IST)
SPDR S&P International Utilities Sector ETF (IPU)
SPDR DOW JONES INDUSTRIAL AVERAGE ETF TRUST (DIA)
SPDR S&P 500 ETF TRUST (SPY)
THE SELECT SECTOR SPDR TRUST
The Consumer Discretionary Select Sector SPDR Fund (XLY)
The Consumer Staples Select Sector SPDR Fund (XLP)
The Energy Select Sector SPDR Fund (XLE)
The Financial Select Sector SPDR Fund (XLF)
The Health Care Select Sector SPDR Fund (XLV)
The Industrial Select Sector SPDR Fund (XLI)
The Materials Select Sector SPDR Fund (XLB)
The Technology Select Sector SPDR Fund (XLK)
The Utilities Select Sector SPDR Fund (XLU)
STATE STREET GLOBAL MARKETS, LLC, MEMBER OF FINRA AND SIPC, IS A DISTRIBUTOR FOR
ALL INVESTMENT PORTFOLIOS OF SPDR SERIES TRUST AND SPDR INDEX SHARES FUNDS. ALPS
DISTRIBUTORS, INC., A REGISTERED BROKER-DEALER, IS DISTRIBUTOR FOR SPDR S&P 500
ETF TRUST (SPY) AND SPDR DOW JONES INDUSTRIAL AVERAGE ETF TRUST (DIA), BOTH UNIT
INVESTMENT TRUSTS; AND ALL INVESTMENT PORTFOLIOS OF THE SELECT SECTOR SPDR
TRUST.
SPDR SERIES TRUST
TRUSTEES
David M. Kelly
Frank Nesvet
OFFICERS
James E. Ross, President
Ellen M. Needham, Vice President
Michael P. Riley, Vice President
Gary L. French, Treasurer
Matthew W. Flaherty, Assistant Treasurer
Chad C. Hallett, Assistant Treasurer
Laura F. Healy, Assistant Treasurer
Ryan M. Louvar, Secretary
Mark E. Tuttle, Assistant Secretary
Julie B. Piatelli, Chief Compliance Officer
INVESTMENT MANAGER
SSgA Funds Management, Inc.
State Street Financial Center
One Lincoln Street
Boston, MA 02111
DISTRIBUTOR
State Street Global Markets, LLC
One Lincoln Street
Boston, MA 02111
CUSTODIAN, ADMINISTRATOR AND TRANSFER AGENT
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
LEGAL COUNSEL
Morgan, Lewis and Bockius LLP
1111 Pennsylvania Avenue, NW
Washington, DC 20004
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
Fund shares are distributed by State Street Global Markets, LLC, a wholly-owned
subsidiary of State Street Corporation.
State Street Global Markets, LLC is a member of FINRA and SIPC.
THE INFORMATION CONTAINED IN THIS REPORT IS INTENDED FOR THE GENERAL INFORMATION
OF SHAREHOLDERS OF THE TRUST. THIS REPORT IS NOT AUTHORIZED FOR DISTRIBUTION TO
PROSPECTIVE INVESTORS UNLESS PRECEDED OR ACCOMPANIED BY A CURRENT TRUST
PROSPECTUS WHICH CONTAINS IMPORTANT INFORMATION CONCERNING THE TRUST. YOU MAY
OBTAIN A CURRENT PROSPECTUS AND SAI FROM THE DISTRIBUTOR BY CALLING
1-866-787-2257 OR VISITING WWW.SPDRS.COM PLEASE READ THE PROSPECTUS CAREFULLY
BEFORE YOU INVEST.
State Street Global Advisors
State Street Financial Center
One Lincoln Street
Boston, MA 02111
The investment return and principal value of an investment in the Funds will
fluctuate in value, so that when shares are sold or redeemed they may be worth
more or less than when they were purchased.
ETFs trade like stocks, are subject to investment risk and will fluctuate in
market value.
For SPDR Dow Jones Small Cap ETF, SPDR Dow Jones Small Cap Growth ETF, SPDR Dow
Jones Small Cap Value ETF, SPDR Morgan Stanley Technology ETF, SPDR Dow Jones
REIT ETF, SPDR KBW Bank ETF, SPDR KBW Capital Markets ETF, SPDR KBW Insurance
ETF, SPDR KBW Regional Banking ETF, SPDR KBW Mortgage Finance ETF, SPDR S&P
Dividend ETF, SPDR S&P Biotech ETF, SPDR Homebuilders ETF, SPDR Semiconductor
ETF, SPDR S&P Metals & Mining ETF, SPDR S&P Oil & Gas Equipment & Services ETF,
SPDR S&P Oil & Gas Exploration & Production ETF, SPDR S&P Pharmaceuticals ETF
and SPDR S&P Retail ETF: In addition to the normal risks associated with equity
investing, narrowly focused investments and investments in smaller companies
typically exhibit higher volatility and price fluctuation.
For SPDR DJ Global Titans ETF: International investments may involve risk of
capital loss from unfavorable fluctuations in currency values, from differences
in generally accepted accounting principles or from economic or political
instability in other nations.
For SPDR Wells Fargo Preferred Stock ETF: Preferred Securities are subordinated
to bonds and other debt instruments, and will be subject to greater credit risk.
The fund may contain interest rate risk (as interest rates rise bond prices
usually fall); the risk of issuer default; inflation risk; and issuer call risk.
The Fund may invest in US dollar-denominated securities of foreign issuers
traded in the United States.
In general, Fund shares can be expected to move up or down in value with the
value of the applicable index. Although Fund shares may be bought and sold on
the exchange through any brokerage account, Fund shares are not individually
redeemable from the Fund. Investors may directly acquire shares of the Funds and
tender them for redemption in Creation Unit Aggregations only. Please see the
prospectus for more details.
The Funds are not sponsored, endorsed, sold, or promoted by Dow Jones & Company,
Morgan Stanley, Keefe, Bruyette & Woods, Inc., Standard & Poor's and Wells Fargo
& Company. Neither do these companies make any representation regarding the
advisability of investing in the Funds. The Funds are distributed by State
Street Global Markets, LLC, a wholly-owned subsidiary of State Street
Corporation. State Street Global Markets, LLC is a member of FINRA, SIPC, and
the Boston Stock Exchange. References to State Street may include State Street
Corporation and its affiliates. Shares of the Funds are not insured by the FDIC
or by another governmental agency; they are not obligations of the FDIC nor are
they deposits or obligations of or guaranteed by State Street Bank and Trust
Company. Fund shares are subject to investment risks, including possible loss of
the principal invested. The Funds pay State Street for its services as
investment advisor, custodian, transfer agent and administrator shareholder
servicing agent.
This information must be preceded or accompanied by a current prospectus or
summary prospectus. Please read the prospectus carefully before you invest or
send money.
(C) 2010 State Street Corporation SPDREQSAR
IBG-1402
For more complete information, please call 866.787.2257 or visit www.spdrs.com
today
(GRAPHIC)
SPDR(R) Series Trust -- Fixed Income Funds
Semi-Annual Report December 31, 2009
(SPDR(R)LOGO) Precise in a world that isn't.(SM)
STATE STREET GLOBAL ADVISORS
TABLE OF CONTENTS
<Table>
PERFORMANCE & PORTFOLIO SUMMARY
SPDR Barclays Capital 1-3 Month T-Bill ETF (BIL)........................ 1
SPDR Barclays Capital TIPS ETF (IPE).................................... 4
SPDR Barclays Capital Intermediate Term Treasury ETF (ITE).............. 7
SPDR Barclays Capital Long Term Treasury ETF (TLO)...................... 10
SPDR Barclays Capital Intermediate Term Credit Bond ETF (ITR)........... 13
SPDR Barclays Capital Long Term Credit Bond ETF (LWC)................... 16
SPDR Barclays Capital Convertible Bond ETF (CWB)........................ 19
SPDR Barclays Capital Mortgage Backed Bond ETF (MBG).................... 22
SPDR Barclays Capital Aggregate Bond ETF (LAG).......................... 25
SPDR Barclays Capital Municipal Bond ETF (TFI).......................... 28
SPDR Barclays Capital California Municipal Bond ETF (CXA)............... 31
SPDR Barclays Capital New York Municipal Bond ETF (INY)................. 34
SPDR Barclays Capital Short Term Municipal Bond ETF (SHM)............... 37
SPDR S&P(R) VRDO Municipal Bond ETF (VRD)............................... 40
SPDR DB International Government Inflation-Protected Bond ETF (WIP)..... 41
SPDR Barclays Capital Short Term International Treasury Bond ETF (BWZ).. 44
SPDR Barclays Capital International Treasury Bond ETF (BWX)............. 47
SPDR Barclays Capital High Yield Bond ETF (JNK)......................... 50
SPDR Barclays Capital Short Term Corporate Bond ETF (SCPB).............. 53
SCHEDULES OF INVESTMENTS
SPDR Barclays Capital 1-3 Month T-Bill ETF (BIL)........................ 54
SPDR Barclays Capital TIPS ETF (IPE).................................... 55
SPDR Barclays Capital Intermediate Term Treasury ETF (ITE).............. 56
SPDR Barclays Capital Long Term Treasury ETF (TLO)...................... 58
SPDR Barclays Capital Intermediate Term Credit Bond ETF (ITR)........... 59
SPDR Barclays Capital Long Term Credit Bond ETF (LWC)................... 63
SPDR Barclays Capital Convertible Bond ETF (CWB)........................ 66
SPDR Barclays Capital Mortgage Backed Bond ETF (MBG).................... 69
SPDR Barclays Capital Aggregate Bond ETF (LAG).......................... 70
SPDR Barclays Capital Municipal Bond ETF (TFI).......................... 75
SPDR Barclays Capital California Municipal Bond ETF (CXA)............... 82
SPDR Barclays Capital New York Municipal Bond ETF (INY)................. 84
SPDR Barclays Capital Short Term Municipal Bond ETF (SHM)............... 86
SPDR S&P VRDO Municipal Bond ETF (VRD).................................. 93
SPDR DB International Government Inflation-Protected Bond ETF (WIP)..... 95
SPDR Barclays Capital Short Term International Treasury Bond ETF (BWZ).. 97
SPDR Barclays Capital International Treasury Bond ETF (BWX)............. 99
</Table>
<Table>
SPDR Barclays Capital High Yield Bond ETF (JNK)......................... 102
SPDR Barclays Capital Short Term Corporate Bond ETF (SCPB).............. 106
FINANCIAL STATEMENTS...................................................... 108
FINANCIAL HIGHLIGHTS...................................................... 124
NOTES TO FINANCIAL STATEMENTS............................................. 134
OTHER INFORMATION......................................................... 149
</Table>
[streetTRACKS Logo/semi-annual report]
SPDR BARCLAYS CAPITAL 1-3 MONTH T-BILL ETF --
PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value to
the total return based on market price and its benchmark index is provided for
comparative purposes only and represents the periods noted. The Fund's per share
net asset value ("NAV") is the value of one share of the Fund and is calculated
by dividing the value of total assets less total liabilities by the number of
shares outstanding. The NAV return is based on the NAV of the Fund and the
market return is based on the market price per share of the Fund. The market
price used to calculate the market return is determined by using the midpoint
between the highest bid and the lowest offer on the exchange on which the shares
of the Fund are listed for trading, as of the time that the Fund's NAV is
calculated. Since shares of the Fund did not trade in the secondary market until
several days after the Fund's inception, for the period from inception to the
first day of secondary market trading in shares of the Fund (5/25/07, 5/30/07,
respectively), the NAV of the Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
dividends and capital gain distributions have been reinvested in the Fund at
NAV. Market returns do not include brokerage commissions that may be payable on
secondary market transactions. If brokerage commissions were included market
returns would be lower.
An index is a statistical measure of a specified financial market or sector. An
index does not actually hold a portfolio of securities and therefore does not
reflect deductions for fees or expenses. In comparison, the Fund's performance
is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A
GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER
THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE
RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO
FOR SPDR BARCLAYS CAPITAL 1-3 MONTH T-BILL ETF AS STATED IN THE FEES AND
EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2009 IS 0.1345%.
PERFORMANCE AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------------------------------------
BARCLAYS BARCLAYS
CAPITAL CAPITAL
1-3 MONTH 1-3 MONTH
U.S. U.S.
NET ASSET MARKET TREASURY NET ASSET MARKET TREASURY
VALUE VALUE BILL INDEX VALUE VALUE BILL INDEX
----------------------------------------------------------------------------------------------------------------------
SIX-MONTHS 0.00% -0.02% 0.07% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
ONE YEAR 0.07% 0.22% 0.15% 0.07% 0.22% 0.15%
----------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 4.50% 4.53% 4.68% 1.70% 1.71% 1.77%
----------------------------------------------------------------------------------------------------------------------
<Table>
(1) For the period May 25, 2007 to December 31, 2009.
</Table>
1
[streetTRACKS Logo/semi-annual report]
SPDR BARCLAYS CAPITAL 1-3 MONTH T-BILL ETF --
PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (Based on Net Asset
Value)
(Line Graph)
<Table>
<Caption>
BARCLAYS CAPITAL
SPDR BARCLAYS 1-3 MONTH
CAPITAL 1-3 U.S. TREASURY
MONTH T-BILL BILL INDEX
ETF (A) (B)
------------- ----------------
5/25/07 10000 10000
10009 10009
6/30/07 10048 10049
10084 10087
10134 10137
9/30/07 10170 10172
10199 10203
10236 10242
12/31/07 10260 10271
10298 10310
10312 10324
3/31/08 10332 10346
10343 10358
10348 10364
6/30/08 10366 10381
10380 10399
10395 10414
9/30/08 10416 10433
10428 10446
10437 10452
12/31/08 10440 10452
10440 10452
10442 10454
3/31/09 10443 10456
10445 10460
10446 10461
6/30/09 10447 10462
10447 10464
10448 10466
9/30/09 10449 10468
10449 10469
10449 10469
12/31/09 10450 10468
</Table>
2
[streetTRACKS Logo/semi-annual report]
SPDR BARCLAYS CAPITAL 1-3 MONTH T-BILL ETF --
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
--------------------------------------------------------------------------------------------------------
UNITED STATES UNITED STATES UNITED STATES UNITED STATES
TREASURY BILL TREASURY BILL TREASURY BILL TREASURY BILL
DESCRIPTION 0.06%, 4/1/2010 0.01%, 2/11/2010 0.06%, 3/11/2010 0.02%, 2/4/2010
--------------------------------------------------------------------------------------------------------
MARKET VALUE $112,298,714 102,542,163 101,316,766 73,245,541
--------------------------------------------------------------------------------------------------------
% OF NET ASSETS 14.9% 13.6 13.5 9.7
--------------------------------------------------------------------------------------------------------
--------------------------------------------------
UNITED STATES
TREASURY BILL
DESCRIPTION 0.01%, 2/18/2010
--------------------------------------------------
MARKET VALUE 73,245,094
--------------------------------------------------
% OF NET ASSETS 9.7
--------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular issue.)
ASSET ALLOCATION AS OF DECEMBER 31, 2009*
<Table>
<Caption>
-----------------------------------------------
PERCENT OF
NET ASSETS
-----------------------------------------------
U.S. Treasury Obligations 100.0%
Short Term Investments 0.0**
Other Assets & Liabilities 0.0**
-----------------------------------------------
TOTAL 100.0%
-----------------------------------------------
</Table>
<Table>
* The Fund's asset allocation is expressed as a percentage of net assets and
may change over time.
** Amount represents less than 0.05% of net assets.
</Table>
3
[streetTRACKS Logo/semi-annual report]
SPDR BARCLAYS CAPITAL TIPS ETF --
PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value to
the total return based on market price and its benchmark index is provided for
comparative purposes only and represents the periods noted. The Fund's per share
net asset value ("NAV") is the value of one share of the Fund and is calculated
by dividing the value of total assets less total liabilities by the number of
shares outstanding. The NAV return is based on the NAV of the Fund and the
market return is based on the market price per share of the Fund. The market
price used to calculate the market return is determined by using the midpoint
between the highest bid and the lowest offer on the exchange on which the shares
of the Fund are listed for trading, as of the time that the Fund's NAV is
calculated. Since shares of the Fund did not trade in the secondary market until
several days after the Fund's inception, for the period from inception to the
first day of secondary market trading in shares of the Fund (5/25/07, 5/30/07,
respectively), the NAV of the Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
dividends and capital gain distributions have been reinvested in the Fund at
NAV. Market returns do not include brokerage commissions that may be payable on
secondary market transactions. If brokerage commissions were included market
returns would be lower.
An index is a statistical measure of a specified financial market or sector. An
index does not actually hold a portfolio of securities and therefore does not
reflect deductions for fees or expenses. In comparison, the Fund's performance
is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A
GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER
THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE
RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO
FOR SPDR BARCLAYS CAPITAL TIPS ETF AS STATED IN THE FEES AND EXPENSES TABLE OF
THE PROSPECTUS DATED OCTOBER 31, 2009 IS 0.1845%.
PERFORMANCE AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------------------------------------
BARCLAYS BARCLAYS
U.S. U.S.
GOVERNMENT GOVERNMENT
INFLATION- INFLATION-
NET ASSET MARKET LINKED NET ASSET MARKET LINKED
VALUE VALUE BOND INDEX VALUE VALUE BOND INDEX
----------------------------------------------------------------------------------------------------------------------
SIX-MONTHS 4.78% 4.87% 4.89% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
ONE YEAR 11.18% 9.72% 10.48% 11.18% 9.72% 10.48%
----------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 18.80% 18.90% 19.09% 6.84% 6.87% 6.94%
----------------------------------------------------------------------------------------------------------------------
<Table>
(1) For the period May 25, 2007 to December 31, 2009.
</Table>
4
[streetTRACKS Logo/semi-annual report]
SPDR BARCLAYS CAPITAL TIPS ETF --
PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (Based on Net Asset
Value)
(Line Graph)
<Table>
<Caption>
BARCLAYS U.S.
SPDR BARCLAYS GOVERNMENT INFLATION-LINKED
CAPITAL TIPS BOND INDEX
ETF (A) (B)
------------- ---------------------------
5/25/07 10000 10000
9990 9995
6/30/07 9973 9979
10170 10207
10294 10300
9/30/07 10429 10430
10548 10551
10962 10974
12/31/07 10941 10967
11366 11372
11512 11526
3/31/08 11501 11527
11258 11283
11292 11303
6/30/08 11465 11491
11407 11414
11499 11528
9/30/08 11056 11074
10098 10157
10175 10283
12/31/08 10686 10779
10861 10869
10645 10659
3/31/09 11267 11286
11046 11068
11283 11298
6/30/09 11338 11355
11352 11369
11441 11461
9/30/09 11683 11704
11823 11847
12152 12178
12/31/09 11880 11909
</Table>
5
[streetTRACKS Logo/semi-annual report]
SPDR BARCLAYS CAPITAL TIPS ETF --
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
------------------------------------------------------------------------------------------------------------------
TREASURY INFLATION TREASURY INFLATION TREASURY INFLATION TREASURY INFLATION
PROTECTED INDEXED PROTECTED INDEXED PROTECTED INDEXED PROTECTED INDEXED
BOND BOND NOTE BOND
DESCRIPTION 2.38%, 1/15/2025 3.88%, 4/15/2029 3.00%, 7/15/2012 3.63%, 4/15/2028
------------------------------------------------------------------------------------------------------------------
MARKET VALUE $21,901,469 20,016,085 19,389,074 16,718,708
------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 6.3% 5.8 5.6 4.8
------------------------------------------------------------------------------------------------------------------
---------------------------------------------
TREASURY INFLATION
PROTECTED INDEXED
NOTE
DESCRIPTION 1.88%, 7/15/2013
---------------------------------------------
MARKET VALUE 16,224,627
---------------------------------------------
% OF NET ASSETS 4.7
---------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular issue.)
ASSET ALLOCATION AS OF DECEMBER 31, 2009*
<Table>
<Caption>
-----------------------------------------------
PERCENT OF
NET ASSETS
-----------------------------------------------
U.S. Treasury Obligations 99.1%
Short Term Investments 20.7
Other Assets & Liabilities (19.8)
-----------------------------------------------
TOTAL 100.0%
-----------------------------------------------
</Table>
<Table>
* The Fund's asset allocation is expressed as a percentage of net assets and
may change over time.
</Table>
6
[streetTRACKS Logo/semi-annual report]
SPDR BARCLAYS CAPITAL INTERMEDIATE TERM TREASURY ETF --
PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value to
the total return based on market price and its benchmark index is provided for
comparative purposes only and represents the periods noted. The Fund's per share
net asset value ("NAV") is the value of one share of the Fund and is calculated
by dividing the value of total assets less total liabilities by the number of
shares outstanding. The NAV return is based on the NAV of the Fund and the
market return is based on the market price per share of the Fund. The market
price used to calculate the market return is determined by using the midpoint
between the highest bid and the lowest offer on the exchange on which the shares
of the Fund are listed for trading, as of the time that the Fund's NAV is
calculated. Since shares of the Fund did not trade in the secondary market until
several days after the Fund's inception, for the period from inception to the
first day of secondary market trading in shares of the Fund (5/23/07, 5/30/07,
respectively), the NAV of the Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
dividends and capital gain distributions have been reinvested in the Fund at
NAV. Market returns do not include brokerage commissions that may be payable on
secondary market transactions. If brokerage commissions were included market
returns would be lower.
An index is a statistical measure of a specified financial market or sector. An
index does not actually hold a portfolio of securities and therefore does not
reflect deductions for fees or expenses. In comparison, the Fund's performance
is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A
GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER
THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE
RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO
FOR SPDR BARCLAYS CAPITAL INTERMEDIATE TERM TREASURY ETF AS STATED IN THE FEES
AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2009 IS 0.1345%.
PERFORMANCE AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------------------------------------
BARCLAYS BARCLAYS
CAPITAL CAPITAL
INTERMEDIATE INTERMEDIATE
U.S. U.S.
NET ASSET MARKET TREASURY NET ASSET MARKET TREASURY
VALUE VALUE INDEX VALUE VALUE INDEX
----------------------------------------------------------------------------------------------------------------------
SIX-MONTHS 1.01% 0.95% 1.04% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
ONE YEAR -1.44% -1.44% -1.41% -1.44% -1.44% -1.41%
----------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 17.68% 17.72% 17.77% 6.43% 6.45% 6.47%
----------------------------------------------------------------------------------------------------------------------
<Table>
(1) For the period May 23, 2007 to December 31, 2009.
</Table>
7
[streetTRACKS Logo/semi-annual report]
SPDR BARCLAYS CAPITAL INTERMEDIATE TERM TREASURY ETF --
PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (Based on Net Asset
Value)
(Line Graph)
<Table>
<Caption>
SPDR BARCLAYS BARCLAYS CAPITAL
CAPITAL INTERMEDIATE INTERMEDIATE U.S.
TERM TREASURY TREASURY INDEX
ETF (A) (B)
-------------------- -----------------
5/23/07 10000 10000
9983 9991
6/30/07 9998 10007
10129 10147
10288 10298
9/30/07 10350 10360
10414 10425
10691 10705
12/31/07 10711 10727
10979 10996
11125 11143
3/31/08 11199 11215
11015 11028
10911 10923
6/30/08 10971 10983
11030 11044
11135 11147
9/30/08 11208 11222
11286 11297
11707 11715
12/31/08 11940 11946
11767 11770
11721 11721
3/31/09 11909 11911
11777 11780
11699 11702
6/30/09 11651 11658
11696 11702
11777 11784
9/30/09 11843 11850
11864 11872
12022 12030
12/31/09 11768 11777
</Table>
8
[streetTRACKS Logo/semi-annual report]
SPDR BARCLAYS CAPITAL INTERMEDIATE TERM TREASURY ETF --
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
-------------------------------------------------------------------------------------------------------------
UNITED STATES UNITED STATES UNITED STATES UNITED STATES
TREASURY NOTE TREASURY NOTE TREASURY NOTE TREASURY NOTE
DESCRIPTION 1.38%, 11/15/2012 3.63%, 8/15/2019 2.13%, 11/30/2014 0.75%, 11/30/2011
-------------------------------------------------------------------------------------------------------------
MARKET VALUE $4,467,465 4,273,927 4,051,894 3,924,364
-------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 2.2% 2.1 2.0 1.9
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------
UNITED STATES
TREASURY NOTE
DESCRIPTION 3.13%, 10/31/2016
-------------------------------------------------
MARKET VALUE 3,752,158
-------------------------------------------------
% OF NET ASSETS 1.8
-------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular issue.)
ASSET ALLOCATION AS OF DECEMBER 31, 2009*
<Table>
<Caption>
-----------------------------------------------
PERCENT OF
NET ASSETS
-----------------------------------------------
U.S. Treasury Obligations 99.1%
Short Term Investments 20.9
Other Assets & Liabilities (20.0)
-----------------------------------------------
TOTAL 100.0%
-----------------------------------------------
</Table>
<Table>
* The Fund's asset allocation is expressed as a percentage of net assets and
may change over time.
</Table>
9
[streetTRACKS Logo/semi-annual report]
SPDR BARCLAYS CAPITAL LONG TERM TREASURY ETF --
PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value to
the total return based on market price and its benchmark index is provided for
comparative purposes only and represents the periods noted. The Fund's per share
net asset value ("NAV") is the value of one share of the Fund and is calculated
by dividing the value of total assets less total liabilities by the number of
shares outstanding. The NAV return is based on the NAV of the Fund and the
market return is based on the market price per share of the Fund. The market
price used to calculate the market return is determined by using the midpoint
between the highest bid and the lowest offer on the exchange on which the shares
of the Fund are listed for trading, as of the time that the Fund's NAV is
calculated. Since shares of the Fund did not trade in the secondary market until
several days after the Fund's inception, for the period from inception to the
first day of secondary market trading in shares of the Fund (5/23/07, 5/30/07,
respectively), the NAV of the Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
dividends and capital gain distributions have been reinvested in the Fund at
NAV. Market returns do not include brokerage commissions that may be payable on
secondary market transactions. If brokerage commissions were included market
returns would be lower.
An index is a statistical measure of a specified financial market or sector. An
index does not actually hold a portfolio of securities and therefore does not
reflect deductions for fees or expenses. In comparison, the Fund's performance
is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A
GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER
THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE
RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO
FOR SPDR BARCLAYS CAPITAL LONG TERM TREASURY ETF AS STATED IN THE FEES AND
EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2009 IS 0.1345%.
PERFORMANCE AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------------------------------------
BARCLAYS BARCLAYS
CAPITAL CAPITAL
LONG U.S. LONG U.S.
NET ASSET MARKET TREASURY NET ASSET MARKET TREASURY
VALUE VALUE INDEX VALUE VALUE INDEX
----------------------------------------------------------------------------------------------------------------------
SIX-MONTHS -1.06% -1.03% -1.04% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
ONE YEAR -12.84% -13.29% -12.92% -12.84% -13.29% -12.92%
----------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 18.72% 18.70% 18.70% 6.79% 6.79% 6.79%
----------------------------------------------------------------------------------------------------------------------
<Table>
(1) For the period May 23, 2007 to December 31, 2009.
</Table>
10
[streetTRACKS Logo/semi-annual report]
SPDR BARCLAYS CAPITAL LONG TERM TREASURY ETF --
PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (Based on Net Asset
Value)
(Line Graph)
<Table>
<Caption>
SPDR BARCLAYS BARCLAYS CAPITAL
CAPITAL LONG LONG U.S.
TERM TREASURY TREASURY INDEX
ETF (A) (B)
------------- ----------------
5/23/07 10000 10000
9996 10003
6/30/07 9910 9919
10131 10185
10364 10374
9/30/07 10391 10403
10537 10550
11017 11035
12/31/07 10971 10991
11261 11281
11310 11330
3/31/08 11409 11428
11191 11209
10969 10986
6/30/08 11161 11174
11153 11166
11429 11443
9/30/08 11473 11489
11103 11114
12468 12481
12/31/08 13620 13633
12448 12454
12323 12328
3/31/09 12918 12920
12252 12252
11920 11916
6/30/09 12000 11996
12070 12068
12300 12295
9/30/09 12540 12538
12364 12363
12582 12578
12/31/09 11872 11870
</Table>
11
[streetTRACKS Logo/semi-annual report]
SPDR BARCLAYS CAPITAL LONG TERM TREASURY ETF --
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
-----------------------------------------------------------------------------------------------------------
UNITED STATES UNITED STATES UNITED STATES UNITED STATES
TREASURY BOND TREASURY BOND TREASURY BOND TREASURY BOND
DESCRIPTION 4.50%, 8/15/2039 4.25%, 5/15/2039 7.63%, 2/15/2025 8.00%, 11/15/2021
-----------------------------------------------------------------------------------------------------------
MARKET VALUE $1,369,116 1,045,823 806,971 771,073
-----------------------------------------------------------------------------------------------------------
% OF NET ASSETS 8.6% 6.6 5.1 4.8
-----------------------------------------------------------------------------------------------------------
--------------------------------------------------
UNITED STATES
TREASURY BOND
DESCRIPTION 4.50%, 5/15/2038
--------------------------------------------------
MARKET VALUE 632,990
--------------------------------------------------
% OF NET ASSETS 4.0
--------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular issue.)
ASSET ALLOCATION AS OF DECEMBER 31, 2009*
<Table>
<Caption>
-----------------------------------------------
PERCENT OF
NET ASSETS
-----------------------------------------------
U.S. Treasury Obligations 98.6%
Short Term Investments 20.5
Other Assets & Liabilities (19.1)
-----------------------------------------------
TOTAL 100.0%
-----------------------------------------------
</Table>
<Table>
* The Fund's asset allocation is expressed as a percentage of net assets and
may change over time.
</Table>
12
[streetTRACKS Logo/semi-annual report]
SPDR BARCLAYS CAPITAL INTERMEDIATE TERM CREDIT BOND ETF --
PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value to
the total return based on market price and its benchmark index is provided for
comparative purposes only and represents the periods noted. The Fund's per share
net asset value ("NAV") is the value of one share of the Fund and is calculated
by dividing the value of total assets less total liabilities by the number of
shares outstanding. The NAV return is based on the NAV of the Fund and the
market return is based on the market price per share of the Fund. The market
price used to calculate the market return is determined by using the midpoint
between the highest bid and the lowest offer on the exchange on which the shares
of the Fund are listed for trading, as of the time that the Fund's NAV is
calculated. Since shares of the Fund did not trade in the secondary market until
several days after the Fund's inception, for the period from inception to the
first day of secondary market trading in shares of the Fund (2/10/09, 2/11/09,
respectively), the NAV of the Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
dividends and capital gain distributions have been reinvested in the Fund at
NAV. Market returns do not include brokerage commissions that may be payable on
secondary market transactions. If brokerage commissions were included market
returns would be lower.
An index is a statistical measure of a specified financial market or sector. An
index does not actually hold a portfolio of securities and therefore does not
reflect deductions for fees or expenses. In comparison, the Fund's performance
is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A
GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER
THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE
RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO
FOR SPDR BARCLAYS CAPITAL INTERMEDIATE TERM CREDIT BOND ETF AS STATED IN THE
FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2009 IS 0.15%.
PERFORMANCE AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------------------------------------
BARCLAYS BARCLAYS
CAPITAL CAPITAL
U.S. U.S.
NET ASSET MARKET INTERMEDIATE NET ASSET MARKET INTERMEDIATE
VALUE VALUE CREDIT INDEX VALUE VALUE CREDIT INDEX
----------------------------------------------------------------------------------------------------------------------
SIX-MONTHS 6.95% 5.52% 7.81% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 10.00% 10.21% 14.07% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
<Table>
(1) For the period February 10, 2009 to December 31, 2009.
</Table>
13
[streetTRACKS Logo/semi-annual report]
SPDR BARCLAYS CAPITAL INTERMEDIATE TERM CREDIT BOND ETF --
PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (Based on Net Asset
Value)
(Line Graph)
<Table>
<Caption>
SPDR BARCLAYS
CAPITAL INTERMEDIATE BARCLAYS CAPITAL
TERM CREDIT U.S. INTERMEDIATE
BOND ETF CREDIT INDEX
(A) (B)
-------------------- -----------------
2/10/09 10000 10000
9640 9819
3/31/09 9695 9835
9886 10096
10158 10395
6/30/09 10286 10580
10618 10900
10744 11074
9/30/09 10869 11226
10946 11319
11097 11496
12/31/09 11000 11407
</Table>
14
[streetTRACKS Logo/semi-annual report]
SPDR BARCLAYS CAPITAL INTERMEDIATE TERM CREDIT BOND ETF --
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
---------------------------------------------------------------------------------------------------------
WACHOVIA THE GOLDMAN SACHS BANK OF AMERICA KFW
CORP. GROUP, INC. CORP. BANKENGRUPPE
DESCRIPTION 5.50%, 5/1/2013 5.95%, 1/18/2018 4.90%, 5/1/2013 3.25%, 3/15/2013
---------------------------------------------------------------------------------------------------------
MARKET VALUE $1,704,485 1,547,429 1,449,591 1,374,614
---------------------------------------------------------------------------------------------------------
% OF NET ASSETS 3.2% 2.9 2.7 2.6
---------------------------------------------------------------------------------------------------------
------------------------------------------------
EUROPEAN
INVESTMENT BANK
DESCRIPTION 3.13%, 7/15/2011
------------------------------------------------
MARKET VALUE 1,373,260
------------------------------------------------
% OF NET ASSETS 2.6
------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular issue.)
ASSET ALLOCATION AS OF DECEMBER 31, 2009*
<Table>
<Caption>
-----------------------------------------------
PERCENT OF
NET ASSETS
-----------------------------------------------
Corporate Bond & Notes 90.2%
Foreign Government Obligations 7.2
Short Term Investments 4.1
Other Assets & Liabilities (1.5)
-----------------------------------------------
TOTAL 100.0%
-----------------------------------------------
</Table>
<Table>
* The Fund's asset allocation is expressed as a percentage of net assets and
may change over time.
</Table>
15
[streetTRACKS Logo/semi-annual report]
SPDR BARCLAYS CAPITAL LONG TERM CREDIT BOND ETF --
PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value to
the total return based on market price and its benchmark index is provided for
comparative purposes only and represents the periods noted. The Fund's per share
net asset value ("NAV") is the value of one share of the Fund and is calculated
by dividing the value of total assets less total liabilities by the number of
shares outstanding. The NAV return is based on the NAV of the Fund and the
market return is based on the market price per share of the Fund. The market
price used to calculate the market return is determined by using the midpoint
between the highest bid and the lowest offer on the exchange on which the shares
of the Fund are listed for trading, as of the time that the Fund's NAV is
calculated. Since shares of the Fund did not trade in the secondary market until
several days after the Fund's inception, for the period from inception to the
first day of secondary market trading in shares of the Fund (3/10/09, 3/11/09,
respectively), the NAV of the Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
dividends and capital gain distributions have been reinvested in the Fund at
NAV. Market returns do not include brokerage commissions that may be payable on
secondary market transactions. If brokerage commissions were included market
returns would be lower.
An index is a statistical measure of a specified financial market or sector. An
index does not actually hold a portfolio of securities and therefore does not
reflect deductions for fees or expenses. In comparison, the Fund's performance
is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A
GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER
THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE
RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO
FOR SPDR BARCLAYS CAPITAL LONG TERM CREDIT BOND ETF AS STATED IN THE FEES AND
EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2009 IS 0.15%.
PERFORMANCE AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------------------------------------
BARCLAYS BARCLAYS
CAPITAL CAPITAL
U.S. LONG U.S. LONG
NET ASSET MARKET CREDIT NET ASSET MARKET CREDIT
VALUE VALUE INDEX VALUE VALUE INDEX
----------------------------------------------------------------------------------------------------------------------
SIX-MONTHS 9.17% 9.78% 11.15% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 23.03% 23.95% 27.06% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
<Table>
(1) For the period March 10, 2009 to December 31, 2009.
</Table>
16
[streetTRACKS Logo/semi-annual report]
SPDR BARCLAYS CAPITAL LONG TERM CREDIT BOND ETF --
PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (Based on Net Asset
Value)
(Line Graph)
<Table>
<Caption>
SPDR BARCLAYS
CAPITAL LONG BARCLAYS CAPITAL
TERM CREDIT U.S. LONG
BOND ETF CREDIT INDEX
(A) (B)
------------- ----------------
3/10/09 10000 10000
3/31/09 10017 10123
10388 10436
10823 10933
6/30/09 11270 11431
12015 12162
12197 12440
9/30/09 12470 12800
12439 12774
12519 12927
12/31/09 12303 12706
</Table>
17
[streetTRACKS Logo/semi-annual report]
SPDR BARCLAYS CAPITAL LONG TERM CREDIT BOND ETF --
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
------------------------------------------------------------------------------------------------------------
JPMORGAN CHASE
AT&T CORP. CAPITAL XXV REPUBLIC OF ITALY PFIZER, INC.
DESCRIPTION 8.00%, 11/15/2031 6.80%, 10/1/2037 5.38%, 6/15/2033 7.20%, 3/15/2039
------------------------------------------------------------------------------------------------------------
MARKET VALUE $831,282 575,073 456,355 434,138
------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 3.4% 2.3 1.9 1.8
------------------------------------------------------------------------------------------------------------
----------------------------------------------
VALE
OVERSEAS, LTD.
DESCRIPTION 6.88%, 11/21/2036
----------------------------------------------
MARKET VALUE 413,460
----------------------------------------------
% OF NET ASSETS 1.7
----------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular issue.)
ASSET ALLOCATION AS OF DECEMBER 31, 2009*
<Table>
<Caption>
-----------------------------------------------
PERCENT OF
NET ASSETS
-----------------------------------------------
Corporate Bonds & Notes 86.1%
Foreign Government Obligations 9.2
Municipal Bonds & Notes 3.0
Short Term Investments 0.9
Other Assets & Liabilities 0.8
-----------------------------------------------
TOTAL 100.0%
-----------------------------------------------
</Table>
<Table>
* The Fund's asset allocation is expressed as a percentage of net assets and
may change over time.
</Table>
18
[streetTRACKS Logo/semi-annual report]
SPDR BARCLAYS CAPITAL CONVERTIBLE BOND ETF --
PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value to
the total return based on market price and its benchmark index is provided for
comparative purposes only and represents the periods noted. The Fund's per share
net asset value ("NAV") is the value of one share of the Fund and is calculated
by dividing the value of total assets less total liabilities by the number of
shares outstanding. The NAV return is based on the NAV of the Fund and the
market return is based on the market price per share of the Fund. The market
price used to calculate the market return is determined by using the midpoint
between the highest bid and the lowest offer on the exchange on which the shares
of the Fund are listed for trading, as of the time that the Fund's NAV is
calculated. Since shares of the Fund did not trade in the secondary market until
several days after the Fund's inception, for the period from inception to the
first day of secondary market trading in shares of the Fund (4/14/09, 4/15/09,
respectively), the NAV of the Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
dividends and capital gain distributions have been reinvested in the Fund at
NAV. Market returns do not include brokerage commissions that may be payable on
secondary market transactions. If brokerage commissions were included market
returns would be lower.
An index is a statistical measure of a specified financial market or sector. An
index does not actually hold a portfolio of securities and therefore does not
reflect deductions for fees or expenses. In comparison, the Fund's performance
is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A
GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER
THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE
RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO
FOR SPDR BARCLAYS CAPITAL CONVERTIBLE BOND ETF AS STATED IN THE FEES AND
EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2009 IS 0.40%.
PERFORMANCE AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------------------------------------
BARCLAYS BARCLAYS
CAPITAL CAPITAL
U.S. U.S.
CONVERTIBLE CONVERTIBLE
NET ASSET MARKET BOND >$500MM NET ASSET MARKET BOND >$500MM
VALUE VALUE INDEX VALUE VALUE INDEX
----------------------------------------------------------------------------------------------------------------------
SIX-MONTHS 22.36% 22.27% 22.78% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 30.00% 31.25% 35.57% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
<Table>
(1) For the period April 14, 2009 to December 31, 2009.
</Table>
19
[streetTRACKS Logo/semi-annual report]
SPDR BARCLAYS CAPITAL CONVERTIBLE BOND ETF --
PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (Based on Net Asset
Value)
(Line Graph)
<Table>
<Caption>
SPDR BARCLAYS BARCLAYS CAPITAL
CAPITAL CONVERTIBLE U.S. CONVERTIBLE
BOND ETF BOND >$500MM
(A) INDEX (B)
------------------- ----------------
4/14/09 10000 10000
10023 10308
10471 10877
6/30/09 10624 11040
11370 11742
11679 12154
9/30/09 12184 12690
12069 12598
12564 13098
12/31/09 13000 13557
</Table>
20
[streetTRACKS Logo/semi-annual report]
SPDR BARCLAYS CAPITAL CONVERTIBLE BOND ETF --
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
--------------------------------------------------------------------------------------------------------------------
WELLS FARGO & CO. FREEPORT-MCMORAN BANK OF AMERICA CORP.
FORD MOTOR CO. SERIES L COPPER & GOLD, INC. SERIES L
DESCRIPTION 4.25%, 11/15/2016 7.50%, 12/31/2049 6.75%, 5/1/2010 7.25%, 12/31/2049
--------------------------------------------------------------------------------------------------------------------
MARKET VALUE $6,934,125 6,793,200 6,243,840 6,196,950
--------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 3.0% 2.9 2.7 2.7
--------------------------------------------------------------------------------------------------------------------
-----------------------------------------------
AMGEN, INC.
DESCRIPTION 0.38%, 2/1/2013
-----------------------------------------------
MARKET VALUE 4,831,680
-----------------------------------------------
% OF NET ASSETS 2.1
-----------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular issue.)
ASSET ALLOCATION AS OF DECEMBER 31, 2009*
<Table>
<Caption>
-----------------------------------------------
PERCENT OF
NET ASSETS
-----------------------------------------------
Convertible Corporate Bonds &
Notes 74.7%
Convertible Preferred Stocks 20.9
Common Stocks 1.9
Short Term Investments 2.9
Other Assets & Liabilities (0.4)
-----------------------------------------------
TOTAL 100.0%
-----------------------------------------------
</Table>
<Table>
* The Fund's asset allocation is expressed as a percentage of net assets and
may change over time.
</Table>
21
[streetTRACKS Logo/semi-annual report]
SPDR BARCLAYS CAPITAL MORTGAGE BACKED BOND ETF --
PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value to
the total return based on market price and its benchmark index is provided for
comparative purposes only and represents the periods noted. The Fund's per share
net asset value ("NAV") is the value of one share of the Fund and is calculated
by dividing the value of total assets less total liabilities by the number of
shares outstanding. The NAV return is based on the NAV of the Fund and the
market return is based on the market price per share of the Fund. The market
price used to calculate the market return is determined by using the midpoint
between the highest bid and the lowest offer on the exchange on which the shares
of the Fund are listed for trading, as of the time that the Fund's NAV is
calculated. Since shares of the Fund did not trade in the secondary market until
several days after the Fund's inception, for the period from inception to the
first day of secondary market trading in shares of the Fund (1/15/09, 1/27/09,
respectively), the NAV of the Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
dividends and capital gain distributions have been reinvested in the Fund at
NAV. Market returns do not include brokerage commissions that may be payable on
secondary market transactions. If brokerage commissions were included market
returns would be lower.
An index is a statistical measure of a specified financial market or sector. An
index does not actually hold a portfolio of securities and therefore does not
reflect deductions for fees or expenses. In comparison, the Fund's performance
is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A
GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER
THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE
RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO
FOR SPDR BARCLAYS CAPITAL MORTGAGE BACKED BOND ETF AS STATED IN THE FEES AND
EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2009 IS 0.20%.
PERFORMANCE AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------------------------------------
BARCLAYS BARCLAYS
CAPITAL CAPITAL
NET ASSET MARKET U.S. MBS NET ASSET MARKET U.S. MBS
VALUE VALUE INDEX VALUE VALUE INDEX
----------------------------------------------------------------------------------------------------------------------
SIX-MONTHS 3.11% 3.39% 2.89% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 4.67% 4.63% 4.92% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
<Table>
(1) For the period January 15, 2009 to December 31, 2009.
</Table>
22
[streetTRACKS Logo/semi-annual report]
SPDR BARCLAYS CAPITAL MORTGAGE BACKED BOND ETF --
PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (Based on Net Asset
Value)
(Line Graph)
<Table>
<Caption>
SPDR BARCLAYS
CAPITAL MORTGAGE BARCLAYS CAPITAL
BACKED BOND U.S. MBS
ETF (A) INDEX (B)
---------------- ----------------
1/15/09 10000 10000
9919 9928
9973 9986
3/31/09 10108 10127
10131 10156
10145 10185
6/30/09 10151 10197
10252 10281
10313 10350
9/30/09 10394 10433
10477 10507
10619 10641
12/31/09 10467 10492
</Table>
23
[streetTRACKS Logo/semi-annual report]
SPDR BARCLAYS CAPITAL MORTGAGE BACKED BOND ETF --
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------
FANNIE MAE FREDDIE MAC FREDDIE MAC FANNIE MAE
DESCRIPTION 5.50%, 30 YR TBA 5.00%, 30 YR TBA 6.00%, 30 YR TBA 4.50%, 30 YR TBA
----------------------------------------------------------------------------------------------------------
MARKET VALUE $2,460,523 1,692,023 1,059,844 973,324
----------------------------------------------------------------------------------------------------------
% OF NET ASSETS 23.4% 16.1 10.1 9.2
----------------------------------------------------------------------------------------------------------
-----------------------------------------------------
FANNIE MAE
DESCRIPTION 5.00%, 15 YR TBA
-----------------------------------------------------
MARKET VALUE 627,750
-----------------------------------------------------
% OF NET ASSETS 6.0
-----------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular issue.)
ASSET ALLOCATION AS OF DECEMBER 31, 2009*
<Table>
<Caption>
-----------------------------------------------
PERCENT OF
NET ASSETS
-----------------------------------------------
U.S. Government Agency MBS TBA 99.8%
Short Term Investments 102.6
Other Assets & Liabilities (102.4)
-----------------------------------------------
TOTAL 100.0%
-----------------------------------------------
</Table>
<Table>
* The Fund's asset allocation is expressed as a percentage of net assets and
may change over time.
</Table>
24
[streetTRACKS Logo/semi-annual report]
SPDR BARCLAYS CAPITAL AGGREGATE BOND ETF --
PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value to
the total return based on market price and its benchmark index is provided for
comparative purposes only and represents the periods noted. The Fund's per share
net asset value ("NAV") is the value of one share of the Fund and is calculated
by dividing the value of total assets less total liabilities by the number of
shares outstanding. The NAV return is based on the NAV of the Fund and the
market return is based on the market price per share of the Fund. The market
price used to calculate the market return is determined by using the midpoint
between the highest bid and the lowest offer on the exchange on which the shares
of the Fund are listed for trading, as of the time that the Fund's NAV is
calculated. Since shares of the Fund did not trade in the secondary market until
several days after the Fund's inception, for the period from inception to the
first day of secondary market trading in shares of the Fund (5/23/07, 5/30/07,
respectively), the NAV of the Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
dividends and capital gain distributions have been reinvested in the Fund at
NAV. Market returns do not include brokerage commissions that may be payable on
secondary market transactions. If brokerage commissions were included market
returns would be lower.
An index is a statistical measure of a specified financial market or sector. An
index does not actually hold a portfolio of securities and therefore does not
reflect deductions for fees or expenses. In comparison, the Fund's performance
is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A
GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER
THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE
RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO
FOR SPDR BARCLAYS CAPITAL AGGREGATE BOND ETF AS STATED IN THE FEES AND EXPENSES
TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2009 IS 0.1845%.*
PERFORMANCE AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------------------------------------
BARCLAYS BARCLAYS
CAPITAL CAPITAL
U.S. U.S.
NET ASSET MARKET AGGREGATE NET ASSET MARKET AGGREGATE
VALUE VALUE INDEX VALUE VALUE INDEX
----------------------------------------------------------------------------------------------------------------------
SIX-MONTHS 3.79% 3.47% 3.95% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
ONE YEAR 5.11% 3.00% 5.93% 5.11% 3.00% 5.93%
----------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 18.29% 18.40% 17.66% 6.65% 6.68% 6.43%
----------------------------------------------------------------------------------------------------------------------
<Table>
(1) For the period May 23, 2007 to December 31, 2009.
* SSgA Funds Management, Inc. has contractually agreed to limit its
management fee to the extent necessary to limit annual operating expenses
to 0.1345% until October 31, 2010.
</Table>
25
[streetTRACKS Logo/semi-annual report]
SPDR BARCLAYS CAPITAL AGGREGATE BOND ETF --
PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (Based on Net Asset
Value)
(Line Graph)
<Table>
<Caption>
SPDR BARCLAYS
CAPITAL AGGREGATE BARCLAYS CAPITAL
BOND ETF U.S. AGGREGATE
(A) INDEX (B)
----------------- ----------------
5/23/07 10000 10000
9983 9993
6/30/07 9948 9963
10017 10046
10158 10169
9/30/07 10240 10247
10331 10339
10522 10525
12/31/07 10499 10554
10739 10732
10779 10747
3/31/08 10790 10783
10753 10761
10660 10682
6/30/08 10657 10673
10660 10665
10764 10766
9/30/08 10627 10622
10434 10371
10875 10708
12/31/08 11254 11108
11155 11010
11104 10968
3/31/09 11224 11121
11236 11174
11331 11256
6/30/09 11397 11320
11582 11502
11686 11622
9/30/09 11807 11744
11863 11801
12025 11953
12/31/09 11829 11766
</Table>
26
[streetTRACKS Logo/semi-annual report]
SPDR BARCLAYS CAPITAL AGGREGATE BOND ETF --
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------------------
UNITED STATES
FANNIE MAE FANNIE MAE FREDDIE MAC FREDDIE MAC TREASURY NOTES
DESCRIPTION 5.50%, 30 YR TBA 5.50%, 30 YR TBA 5.00%, 30 YR TBA 6.00%, 30 YR TBA 1.38%, 5/15/2012
----------------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $16,985,000 16,752,500 11,792,891 8,796,703 5,475,274
----------------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 8.2% 8.1 5.7 4.2 2.6
----------------------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular issue.)
ASSET ALLOCATION AS OF DECEMBER 31, 2009*
<Table>
<Caption>
-----------------------------------------------
PERCENT OF
NET ASSETS
-----------------------------------------------
U.S. Government Agency MBS TBA 45.3%
Corporate Bonds & Notes 26.5
U.S. Treasury Obligations 25.1
U.S. Government Agency
Obligations 6.9
Commercial Mortgage Backed
Securities 3.3
Foreign Government Obligations 1.6
Asset Backed 0.5
Municipal Bonds & Notes 0.3
Short Term Investments 52.7
Other Assets & Liabilities (62.2)
-----------------------------------------------
TOTAL 100.0%
-----------------------------------------------
</Table>
<Table>
* The Fund's asset allocation is expressed as a percentage of net assets and
may change over time.
</Table>
27
[streetTRACKS Logo/semi-annual report]
SPDR BARCLAYS CAPITAL MUNICIPAL BOND ETF --
PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value to
the total return based on market price and its benchmark index is provided for
comparative purposes only and represents the periods noted. The Fund's per share
net asset value ("NAV") is the value of one share of the Fund and is calculated
by dividing the value of total assets less total liabilities by the number of
shares outstanding. The NAV return is based on the NAV of the Fund and the
market return is based on the market price per share of the Fund. The market
price used to calculate the market return is determined by using the midpoint
between the highest bid and the lowest offer on the exchange on which the shares
of the Fund are listed for trading, as of the time that the Fund's NAV is
calculated. Since shares of the Fund did not trade in the secondary market until
several days after the Fund's inception, for the period from inception to the
first day of secondary market trading in shares of the Fund (9/11/07, 9/13/07,
respectively), the NAV of the Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
dividends and capital gain distributions have been reinvested in the Fund at
NAV. Market returns do not include brokerage commissions that may be payable on
secondary market transactions. If brokerage commissions were included market
returns would be lower.
An index is a statistical measure of a specified financial market or sector. An
index does not actually hold a portfolio of securities and therefore does not
reflect deductions for fees or expenses. In comparison, the Fund's performance
is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A
GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER
THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE
RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO
FOR SPDR BARCLAYS CAPITAL MUNICIPAL BOND ETF AS STATED IN THE FEES AND EXPENSES
TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2009 IS 0.30%.*
PERFORMANCE AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------------------------------------
BARCLAYS BARCLAYS
CAPITAL CAPITAL
MUNICIPAL MUNICIPAL
NET ASSET MARKET MANAGED NET ASSET MARKET MANAGED
VALUE VALUE MONEY INDEX VALUE VALUE MONEY INDEX
----------------------------------------------------------------------------------------------------------------------
SIX-MONTHS 5.35% 5.34% 5.57% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
ONE YEAR 10.52% 10.30% 11.47% 10.52% 10.30% 11.47%
----------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 11.50% 11.74% 12.64% 4.83% 4.93% 5.30%
----------------------------------------------------------------------------------------------------------------------
<Table>
(1) For the period September 11, 2007 to December 31, 2009.
* SSgA Funds Management, Inc. has contractually agreed to limit its
management fee to the extent necessary to limit annual operating expenses
to 0.20% until October 31, 2010.
</Table>
28
[streetTRACKS Logo/semi-annual report]
SPDR BARCLAYS CAPITAL MUNICIPAL BOND ETF --
PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (Based on Net Asset
Value)
(Line Graph)
<Table>
<Caption>
SPDR BARCLAYS BARCLAYS CAPITAL
CAPITAL MUNICIPAL MUNICIPAL MANAGED
BOND ETF MONEY INDEX
(A) (B)
----------------- -----------------
9/11/07 10000 10000
9/30/07 9928 9952
9967 9995
10068 10082
12/31/07 10120 10119
10252 10231
9697 9660
3/31/08 9994 10011
10143 10162
10208 10230
6/30/08 10073 10097
10128 10151
10264 10290
9/30/08 9735 9744
9726 9737
9811 9813
12/31/08 10088 10105
10397 10472
10428 10499
3/31/09 10434 10510
10646 10721
10704 10784
6/30/09 10583 10670
10753 10841
10914 11011
9/30/09 11298 11412
10996 11117
11133 11245
12/31/09 11150 11264
</Table>
29
[streetTRACKS Logo/semi-annual report]
SPDR BARCLAYS CAPITAL MUNICIPAL BOND ETF --
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
-----------------------------------------------------------------------------------------------------------------
NEW YORK, NY, TRIBOROUGH
BRIDGE & TUNNEL MASSACHUSETTS, STATE NEW JERSEY, STATE
AUTHORITY REVENUE, GENERAL OBLIGATION, GENERAL
SERIES A-2 SERIES C OBLIGATION,
DESCRIPTION 5.00%, 11/15/2029 5.50%, 12/1/2022 5.00%, 6/1/2019
-----------------------------------------------------------------------------------------------------------------
MARKET VALUE $13,350,193 13,268,090 10,878,275
-----------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 1.6% 1.6 1.3
-----------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------
NEW YORK, NY, CITY WASHINGTON, STATE
TRANSITIONAL FINANCE GENERAL OBLIGATION,
AUTHORITY, SERIES B SERIES D
DESCRIPTION 5.00%, 11/1/2026 5.00%, 1/1/2027
--------------------------------------------------------------------------------------
MARKET VALUE 10,726,900 9,633,676
--------------------------------------------------------------------------------------
% OF NET ASSETS 1.3 1.2
--------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular issue.)
ASSET ALLOCATION AS OF DECEMBER 31, 2009*
<Table>
<Caption>
-----------------------------------------------
PERCENT OF
NET ASSETS
-----------------------------------------------
Municipal Bonds & Notes 98.8%
Short Term Investments 0.3
Other Assets & Liabilities 0.9
-----------------------------------------------
TOTAL 100.0%
-----------------------------------------------
</Table>
<Table>
* The Fund's asset allocation is expressed as a percentage of net assets and
may change over time.
</Table>
30
[streetTRACKS Logo/semi-annual report]
SPDR BARCLAYS CAPITAL CALIFORNIA MUNICIPAL BOND ETF --
PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value to
the total return based on market price and its benchmark index is provided for
comparative purposes only and represents the periods noted. The Fund's per share
net asset value ("NAV") is the value of one share of the Fund and is calculated
by dividing the value of total assets less total liabilities by the number of
shares outstanding. The NAV return is based on the NAV of the Fund and the
market return is based on the market price per share of the Fund. The market
price used to calculate the market return is determined by using the midpoint
between the highest bid and the lowest offer on the exchange on which the shares
of the Fund are listed for trading, as of the time that the Fund's NAV is
calculated. Since shares of the Fund did not trade in the secondary market until
several days after the Fund's inception, for the period from inception to the
first day of secondary market trading in shares of the Fund (10/10/07, 10/15/07,
respectively), the NAV of the Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
dividends and capital gain distributions have been reinvested in the Fund at
NAV. Market returns do not include brokerage commissions that may be payable on
secondary market transactions. If brokerage commissions were included market
returns would be lower.
An index is a statistical measure of a specified financial market or sector. An
index does not actually hold a portfolio of securities and therefore does not
reflect deductions for fees or expenses. In comparison, the Fund's performance
is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A
GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER
THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE
RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO
FOR SPDR BARCLAYS CAPITAL CALIFORNIA MUNICIPAL BOND ETF AS STATED IN THE FEES
AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2009 IS 0.20%.
PERFORMANCE AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------------------------------------
BARCLAYS BARCLAYS
CAPITAL CAPITAL
MANAGED MANAGED
MONEY MONEY
MUNICIPAL MUNICIPAL
NET ASSET MARKET CALIFORNIA NET ASSET MARKET CALIFORNIA
VALUE VALUE INDEX VALUE VALUE INDEX
----------------------------------------------------------------------------------------------------------------------
SIX-MONTHS 7.04% 7.33% 6.97% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
ONE YEAR 12.32% 11.71% 12.41% 12.32% 11.71% 12.41%
----------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 9.79% 9.98% 10.39% 4.28% 4.36% 4.53%
----------------------------------------------------------------------------------------------------------------------
<Table>
(1) For the period October 10, 2007 to December 31, 2009.
</Table>
31
[streetTRACKS Logo/semi-annual report]
SPDR BARCLAYS CAPITAL CALIFORNIA MUNICIPAL BOND ETF --
PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (Based on Net Asset
Value)
(Line Graph)
<Table>
<Caption>
SPDR BARCLAYS BARCLAYS CAPITAL
CAPITAL CALIFORNIA MANAGED MONEY
MUNICIPAL BOND MUNICIPAL CALIFORNIA
ETF (A) INDEX (B)
------------------ --------------------
10/10/07 10000 10000
10014 10100
10093 10149
12/31/07 10130 10173
10184 10213
9600 9618
3/31/08 9939 9960
10110 10156
10195 10236
6/30/08 10054 10080
10075 10094
10202 10251
9/30/08 9597 9644
9554 9580
9538 9549
12/31/08 9774 9818
10111 10173
10215 10258
3/31/09 10147 10195
10395 10444
10470 10524
6/30/09 10257 10317
10401 10486
10741 10792
9/30/09 11290 11354
10909 10953
10924 10985
12/31/09 10979 11039
</Table>
32
[streetTRACKS Logo/semi-annual report]
SPDR BARCLAYS CAPITAL CALIFORNIA MUNICIPAL BOND ETF --
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
--------------------------------------------------------------------------------------------------------------------------
LOS ANGELES COUNTY, CA, GROSSMONT, CA,
METROPOLITAN UNION HIGH SACRAMENTO, CA,
TRANSPORTATION SCHOOL DISTRICT EDUCATIONAL FACILITIES LOS ANGELES, CA,
AUTHORITY, SALES TAX ELECTION AUTHORITY REVENUE, HARBOR DEPARTMENT
REVENUE, OF 2004 SERIES A REVENUE, SERIES A
DESCRIPTION 5.00%, 7/1/2026 5.00%, 8/1/2033 4.75%, 10/1/2037 5.00%, 8/1/2029
--------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $2,697,775 1,800,968 1,731,909 1,573,327
--------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 4.5% 3.0 2.9 2.6
--------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------
EI DORADO, CA,
IRRIGATION DISTRICT,
CERTIFICATES OF
PARTICIPATION,
SERIES A
DESCRIPTION 6.25%, 8/1/2029
-----------------------------------------------
MARKET VALUE 1,298,676
-----------------------------------------------
% OF NET ASSETS 2.2
-----------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular issue.)
ASSET ALLOCATION AS OF DECEMBER 31, 2009*
<Table>
<Caption>
-----------------------------------------------
PERCENT OF
NET ASSETS
-----------------------------------------------
Municipal Bonds & Notes 98.9%
Short Term Investments 0.1
Other Assets & Liabilities 1.0
-----------------------------------------------
TOTAL 100.0%
-----------------------------------------------
</Table>
<Table>
* The Fund's asset allocation is expressed as a percentage of net assets and
may change over time.
</Table>
33
[streetTRACKS Logo/semi-annual report]
SPDR BARCLAYS CAPITAL NEW YORK MUNICIPAL BOND ETF --
PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value to
the total return based on market price and its benchmark index is provided for
comparative purposes only and represents the periods noted. The Fund's per share
net asset value ("NAV") is the value of one share of the Fund and is calculated
by dividing the value of total assets less total liabilities by the number of
shares outstanding. The NAV return is based on the NAV of the Fund and the
market return is based on the market price per share of the Fund. The market
price used to calculate the market return is determined by using the midpoint
between the highest bid and the lowest offer on the exchange on which the shares
of the Fund are listed for trading, as of the time that the Fund's NAV is
calculated. Since shares of the Fund did not trade in the secondary market until
several days after the Fund's inception, for the period from inception to the
first day of secondary market trading in shares of the Fund (10/11/07, 10/15/07,
respectively), the NAV of the Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
dividends and capital gain distributions have been reinvested in the Fund at
NAV. Market returns do not include brokerage commissions that may be payable on
secondary market transactions. If brokerage commissions were included market
returns would be lower.
An index is a statistical measure of a specified financial market or sector. An
index does not actually hold a portfolio of securities and therefore does not
reflect deductions for fees or expenses. In comparison, the Fund's performance
is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A
GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER
THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE
RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO
FOR SPDR BARCLAYS CAPITAL NEW YORK MUNICIPAL BOND ETF AS STATED IN THE FEES AND
EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2009 IS 0.20%.
PERFORMANCE AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------------------------------------
BARCLAYS BARCLAYS
CAPITAL CAPITAL
MANAGED MANAGED
MONEY MONEY
MUNICIPAL MUNICIPAL
NET ASSET MARKET NEW YORK NET ASSET MARKET NEW YORK
VALUE VALUE INDEX VALUE VALUE INDEX
----------------------------------------------------------------------------------------------------------------------
SIX-MONTHS 6.19% 4.44% 5.88% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
ONE YEAR 12.57% 15.10% 13.11% 12.57% 15.10% 13.11%
----------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 11.08% 11.38% 10.98% 4.84% 4.97% 4.79%
----------------------------------------------------------------------------------------------------------------------
<Table>
(1) For the period October 11, 2007 to December 31, 2009.
</Table>
34
[streetTRACKS Logo/semi-annual report]
SPDR BARCLAYS CAPITAL NEW YORK MUNICIPAL BOND ETF --
PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (Based on Net Asset
Value)
(Line Graph)
<Table>
<Caption>
SPDR BARCLAYS BARCLAYS CAPITAL
CAPITAL NEW MANAGED MONEY
YORK MUNICIPAL MUNICIPAL NEW
BOND ETF YORK INDEX
(A) (B)
-------------- ----------------
10/11/07 10000 10000
10032 10100
10103 10147
12/31/07 10115 10171
10239 10237
9697 9644
3/31/08 10017 9996
10166 10171
10228 10239
6/30/08 10108 10111
10147 10161
10266 10278
9/30/08 9668 9666
9642 9620
9624 9582
12/31/08 9868 9811
10199 10228
10279 10274
3/31/09 10271 10258
10493 10492
10547 10555
6/30/09 10461 10482
10641 10658
10814 10848
9/30/09 11246 11312
10938 10960
11043 11070
12/31/09 11108 11098
</Table>
35
[streetTRACKS Logo/semi-annual report]
SPDR BARCLAYS CAPITAL NEW YORK MUNICIPAL BOND ETF --
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
------------------------------------------------------------------------------------------------------------------
NEW YORK, STATE
HOUSING FINANCE
NEW YORK, STATE AGENCY, PERSONAL NEW YORK, TRIBOROUGH NEW YORK, STATE
GENERAL INCOME TAX REVENUE, BRIDGE & TUNNEL POWER AUTHORITY,
OBLIGATION, SERIES A AUTHORITY, REVENUE, SERIES A
DESCRIPTION 5.00%, 4/15/2015 5.00%, 3/15/2039 5.00%, 11/15/2037 4.50%, 11/15/2047
------------------------------------------------------------------------------------------------------------------
MARKET VALUE $1,142,990 826,136 768,487 686,238
------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 5.7% 4.1 3.8 3.4
------------------------------------------------------------------------------------------------------------------
----------------------------------------------
NEW YORK, STATE
DORMITORY AUTHORITY
REVENUE, STATE
SUPPORTED DEBT
SERIES A
DESCRIPTION 5.00%, 7/1/2038
----------------------------------------------
MARKET VALUE 672,711
----------------------------------------------
% OF NET ASSETS 3.4
----------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular issue.)
ASSET ALLOCATION AS OF DECEMBER 31, 2009*
<Table>
<Caption>
-----------------------------------------------
PERCENT OF
NET ASSETS
-----------------------------------------------
Municipal Bonds & Notes 99.0%
Short Term Investments 0.2
Other Assets & Liabilities 0.8
-----------------------------------------------
TOTAL 100.0%
-----------------------------------------------
</Table>
<Table>
* The Fund's asset allocation is expressed as a percentage of net assets and
may change over time.
</Table>
36
[streetTRACKS Logo/semi-annual report]
SPDR BARCLAYS CAPITAL SHORT TERM MUNICIPAL BOND ETF --
PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value to
the total return based on market price and its benchmark index is provided for
comparative purposes only and represents the periods noted. The Fund's per share
net asset value ("NAV") is the value of one share of the Fund and is calculated
by dividing the value of total assets less total liabilities by the number of
shares outstanding. The NAV return is based on the NAV of the Fund and the
market return is based on the market price per share of the Fund. The market
price used to calculate the market return is determined by using the midpoint
between the highest bid and the lowest offer on the exchange on which the shares
of the Fund are listed for trading, as of the time that the Fund's NAV is
calculated. Since shares of the Fund did not trade in the secondary market until
several days after the Fund's inception, for the period from inception to the
first day of secondary market trading in shares of the Fund (10/10/07, 10/15/07,
respectively), the NAV of the Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
dividends and capital gain distributions have been reinvested in the Fund at
NAV. Market returns do not include brokerage commissions that may be payable on
secondary market transactions. If brokerage commissions were included market
returns would be lower.
An index is a statistical measure of a specified financial market or sector. An
index does not actually hold a portfolio of securities and therefore does not
reflect deductions for fees or expenses. In comparison, the Fund's performance
is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A
GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER
THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE
RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO
FOR SPDR BARCLAYS CAPITAL SHORT TERM MUNICIPAL BOND ETF AS STATED IN THE FEES
AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2009 IS 0.20%.
PERFORMANCE AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------------------------------------
BARCLAYS BARCLAYS
CAPITAL CAPITAL
MANAGED MANAGED
MONEY MONEY
MUNICIPAL MUNICIPAL
NET ASSET MARKET SHORT NET ASSET MARKET SHORT
VALUE VALUE TERM INDEX VALUE VALUE TERM INDEX
----------------------------------------------------------------------------------------------------------------------
SIX-MONTHS 2.45% 2.36% 2.94% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
ONE YEAR 5.18% 4.19% 5.80% 5.18% 4.19% 5.80%
----------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 12.34% 12.48% 14.09% 5.36% 5.42% 6.09%
----------------------------------------------------------------------------------------------------------------------
<Table>
(1) For the period October 10, 2007 to December 31, 2009.
</Table>
37
[streetTRACKS Logo/semi-annual report]
SPDR BARCLAYS CAPITAL SHORT TERM MUNICIPAL BOND ETF --
PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (Based on Net Asset
Value)
(Line Graph)
<Table>
<Caption>
SPDR BARCLAYS BARCLAYS CAPITAL
CAPITAL SHORT MANAGED MONEY
TERM MUNICIPAL MUNICIPAL SHORT
BOND ETF TERM INDEX
(A) (B)
-------------- ----------------
10/10/07 10000 10000
10027 10100
10114 10181
12/31/07 10161 10232
10376 10453
10213 10300
03/31/08 10370 10444
10355 10441
10385 10478
06/30/08 10316 10411
10420 10530
10523 10633
09/30/08 10386 10492
10395 10498
10551 10656
12/31/08 10681 10784
10919 11022
10875 10971
03/31/09 10921 11022
10968 11075
10956 11076
06/30/09 10965 11084
11096 11222
11076 11217
09/30/09 11163 11322
11102 11267
11232 11397
12/31/09 11234 11409
</Table>
38
[streetTRACKS Logo/semi-annual report]
SPDR BARCLAYS CAPITAL SHORT TERM MUNICIPAL BOND ETF --
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------
NEW YORK, NY, CITY FLORIDA, STATE INDIANA, STATE
NEW YORK, STATE TRANSITIONAL FINANCE BOARD OF EDUCATION, FINANCE AUTHORITY,
GENERAL OBLIGATION, AUTHORITY REVENUE, GENERAL OBLIGATION, LEASE REVENUE,
SERIES C SERIES B SERIES C SERIES A-1
DESCRIPTION 3.00%, 2/1/2014 5.00%, 11/1/2014 5.00%, 6/1/2014 5.00%, 11/1/2014
----------------------------------------------------------------------------------------------------------------------
MARKET VALUE $15,836,250 11,659,518 10,851,466 9,865,161
----------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 1.8% 1.3 1.2 1.1
----------------------------------------------------------------------------------------------------------------------
-------------------------------------------
GILBERT, AZ,
GENERAL
OBLIGATION,
DESCRIPTION 5.00%, 7/1/2013
-------------------------------------------
MARKET VALUE 9,841,852
-------------------------------------------
% OF NET ASSETS 1.1
-------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular issue.)
ASSET ALLOCATION AS OF DECEMBER 31, 2009*
<Table>
<Caption>
-----------------------------------------------
PERCENT OF
NET ASSETS
-----------------------------------------------
Municipal Bonds & Notes 98.4%
Short Term Investments 0.6
Other Assets & Liabilities 1.0
-----------------------------------------------
TOTAL 100.0%
-----------------------------------------------
</Table>
<Table>
* The Fund's asset allocation is expressed as a percentage of net assets and
may change over time.
</Table>
39
[streetTRACKS Logo/semi-annual report]
SPDR S&P VRDO MUNICIPAL BOND ETF --
PORTFOLIO SUMMARY
The Fund commenced operations during the reporting period and therefore does not
have performance history to provide in this report.
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
-----------------------------------------------------------------------------------------------------------------------------
CHICAGO, IL,
BOARD OF ILLINOIS, STATE
EDUCATION, CALIFORNIA, ECONOMIC TOLL HIGHWAY
GENERAL OBLIGATION, RECOVERY, GENERAL HANCOCK COUNTY, OH, AUTHORITY REVENUE,
SERIES B OBLIGATION, SERIES C-15 HOSPITAL REVENUE SERIES A
DESCRIPTION 0.40%, 3/1/2032 0.29%, 7/1/2023 0.50%, 12/1/2034 0.30%, 7/1/2030
-----------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $730,000 706,000 700,000 700,000
-----------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 4.9% 4.7 4.7 4.7
-----------------------------------------------------------------------------------------------------------------------------
---------------------------------------------------
SOUTHERN CALIFORNIA,
PUBLIC POWER
AUTHORITY, TRANSMISSIONS
PROJECT REVENUE,
SERIES A
DESCRIPTION 0.34%, 7/1/2023
---------------------------------------------------
MARKET VALUE 700,000
---------------------------------------------------
% OF NET ASSETS 4.7
---------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular issue.)
ASSET ALLOCATION AS OF DECEMBER 31, 2009*
<Table>
<Caption>
-----------------------------------------------
PERCENT OF
NET ASSETS
-----------------------------------------------
Municipal Bonds & Notes 95.9%
Short Term Investments 0.4
Other Assets & Liabilities 3.7
-----------------------------------------------
TOTAL 100.0%
-----------------------------------------------
</Table>
<Table>
* The Fund's asset allocation is expressed as a percentage of net assets and
may change over time.
</Table>
40
[streetTRACKS Logo/semi-annual report]
SPDR DB INTERNATIONAL GOVERNMENT INFLATION-PROTECTED BOND ETF --
PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value to
the total return based on market price and its benchmark index is provided for
comparative purposes only and represents the periods noted. The Fund's per share
net asset value ("NAV") is the value of one share of the Fund and is calculated
by dividing the value of total assets less total liabilities by the number of
shares outstanding. The NAV return is based on the NAV of the Fund and the
market return is based on the market price per share of the Fund. The market
price used to calculate the market return is determined by using the midpoint
between the highest bid and the lowest offer on the exchange on which the shares
of the Fund are listed for trading, as of the time that the Fund's NAV is
calculated. Since shares of the Fund did not trade in the secondary market until
several days after the Fund's inception, for the period from inception to the
first day of secondary market trading in shares of the Fund (3/13/08, 3/19/08,
respectively), the NAV of the Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
dividends and capital gain distributions have been reinvested in the Fund at
NAV. Market returns do not include brokerage commissions that may be payable on
secondary market transactions. If brokerage commissions were included market
returns would be lower.
An index is a statistical measure of a specified financial market or sector. An
index does not actually hold a portfolio of securities and therefore does not
reflect deductions for fees or expenses. In comparison, the Fund's performance
is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A
GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER
THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE
RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO
FOR SPDR DB INTERNATIONAL GOVERNMENT INFLATION-PROTECTED BOND ETF AS STATED IN
THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2009 IS 0.50%.
PERFORMANCE AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------------------------------------
DB GLOBAL DB GLOBAL
GOVERNMENT GOVERNMENT
EX-U.S. EX-U.S.
INFLATION- INFLATION-
LINKED LINKED
NET ASSET MARKET BOND CAPPED NET ASSET MARKET BOND CAPPED
VALUE VALUE INDEX VALUE VALUE INDEX
----------------------------------------------------------------------------------------------------------------------
SIX-MONTHS 8.03% 7.53% 7.77% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
ONE YEAR 18.51% 17.16% 18.73% 18.51% 17.16% 18.73%
----------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -4.92% -4.62% -2.36% -2.76% -2.58% -1.32%
----------------------------------------------------------------------------------------------------------------------
<Table>
(1) For the period March 13, 2008 to December 31, 2009.
</Table>
41
[streetTRACKS Logo/semi-annual report]
SPDR DB INTERNATIONAL GOVERNMENT INFLATION-PROTECTED BOND ETF --
PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (Based on Net Asset
Value)
(Line Graph)
<Table>
<Caption>
DB GLOBAL
SPDR DB GOVERNMENT EX-US
INTERNATIONAL GOVERNMENT INFLATION-LINKED BOND
INFLATION-PROTECTED BOND CAPPED INDEX
ETF (A) (B)
------------------------ ---------------------
03/13/08 10000 10000
03/31/08 9867 9939
9780 9914
9848 9999
06/30/08 9927 10111
9964 10177
9567 9776
09/30/08 8915 9100
7529 7718
7365 7562
12/31/08 8023 8223
7636 7828
7370 7563
03/31/09 7836 8040
8112 8326
8681 8934
06/30/09 8801 9059
9077 9358
9250 9520
09/30/09 9452 9744
9600 9897
9834 10134
12/31/09 9508 9764
</Table>
42
[streetTRACKS Logo/semi-annual report]
SPDR DB INTERNATIONAL GOVERNMENT INFLATION-PROTECTED BOND ETF --
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
--------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM GOVERNMENT OF JAPAN
TREASURY BOND, REPUBLIC OF FRANCE, REPUBLIC OF FRANCE, 10 YEAR BOND,
DESCRIPTION 1.25%, 11/22/2027 2.25%, 7/25/2020 1.00%, 7/25/2017 1.10%, 12/10/2016
--------------------------------------------------------------------------------------------------------------------
MARKET VALUE $93,686,503 60,335,077 55,770,595 46,147,196
--------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 9.0% 5.8 5.4 4.4
--------------------------------------------------------------------------------------------------------------------
---------------------------------------------
UNITED KINGDOM
TREASURY BOND,
DESCRIPTION 1.88%, 11/22/2022
---------------------------------------------
MARKET VALUE 43,598,864
---------------------------------------------
% OF NET ASSETS 4.2
---------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular issue.)
ASSET ALLOCATION AS OF DECEMBER 31, 2009*
<Table>
<Caption>
-----------------------------------------------
PERCENT OF
NET ASSETS
-----------------------------------------------
Foreign Government Obligations 99.5%
Short Term Investments 0.4
Other Assets & Liabilities 0.1
-----------------------------------------------
TOTAL 100.0%
-----------------------------------------------
</Table>
<Table>
* The Fund's asset allocation is expressed as a percentage of net assets and
may change over time.
</Table>
43
[streetTRACKS Logo/semi-annual report]
SPDR BARCLAYS CAPITAL SHORT TERM INTERNATIONAL TREASURY BOND ETF --
PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value to
the total return based on market price and its benchmark index is provided for
comparative purposes only and represents the periods noted. The Fund's per share
net asset value ("NAV") is the value of one share of the Fund and is calculated
by dividing the value of total assets less total liabilities by the number of
shares outstanding. The NAV return is based on the NAV of the Fund and the
market return is based on the market price per share of the Fund. The market
price used to calculate the market return is determined by using the midpoint
between the highest bid and the lowest offer on the exchange on which the shares
of the Fund are listed for trading, as of the time that the Fund's NAV is
calculated. Since shares of the Fund did not trade in the secondary market until
several days after the Fund's inception, for the period from inception to the
first day of secondary market trading in shares of the Fund (1/15/09, 1/27/09,
respectively), the NAV of the Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
dividends and capital gain distributions have been reinvested in the Fund at
NAV. Market returns do not include brokerage commissions that may be payable on
secondary market transactions. If brokerage commissions were included market
returns would be lower.
An index is a statistical measure of a specified financial market or sector. An
index does not actually hold a portfolio of securities and therefore does not
reflect deductions for fees or expenses. In comparison, the Fund's performance
is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A
GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER
THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE
RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO
FOR SPDR BARCLAYS CAPITAL SHORT TERM INTERNATIONAL TREASURY BOND ETF AS STATED
IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2009 IS
0.35%.
PERFORMANCE AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------------------------------------
BARCLAYS BARCLAYS
CAPITAL CAPITAL
1-3 YEAR 1-3 YEAR
GLOBAL GLOBAL
TREASURY EX- TREASURY EX-
NET ASSET MARKET US NET ASSET MARKET US
VALUE VALUE CAPPED INDEX VALUE VALUE CAPPED INDEX
----------------------------------------------------------------------------------------------------------------------
SIX-MONTHS 4.74% 5.38% 4.96% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 11.25% 11.93% 11.88% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
<Table>
(1) For the period January 15, 2009 to December 31, 2009.
</Table>
44
[streetTRACKS Logo/semi-annual report]
SPDR BARCLAYS CAPITAL SHORT TERM INTERNATIONAL TREASURY BOND ETF --
PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (Based on Net Asset
Value)
(Line Graph)
<Table>
<Caption>
SPDR BARCLAYS BARCLAYS CAPITAL
CAPITAL SHORT 1-3 YEAR
TERM INTERNATIONAL GLOBAL TREASURY
TREASURY BOND EX-US CAPPED
ETF (A) INDEX (B)
------------------ ----------------
1/15/09 10000 10000
9849 9886
9534 9573
03/31/09 9891 9940
10085 10120
10676 10720
06/30/09 10622 10658
10839 10880
10980 11019
09/30/09 11263 11304
11304 11358
11616 11676
12/31/09 11125 11188
</Table>
45
[streetTRACKS Logo/semi-annual report]
SPDR BARCLAYS CAPITAL SHORT TERM INTERNATIONAL TREASURY BOND ETF --
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------
GOVERNMENT OF JAPAN FEDERAL REPUBLIC GOVERNMENT OF JAPAN
5 YEAR BOND, OF GERMANY, REPUBLIC OF ITALY, 5 YEAR BOND,
DESCRIPTION 1.20%, 9/20/2011 5.00%, 7/4/2011 5.25%, 8/1/2011 1.50%, 6/20/2012
----------------------------------------------------------------------------------------------------------------------
MARKET VALUE $15,674,378 6,942,719 6,641,157 6,542,291
----------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 11.4% 5.1 4.8 4.8
----------------------------------------------------------------------------------------------------------------------
--------------------------------------------
KOREA
TREASURY BOND,
DESCRIPTION 4.75%, 12/10/2011
--------------------------------------------
MARKET VALUE 6,054,219
--------------------------------------------
% OF NET ASSETS 4.4
--------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular issue.)
ASSET ALLOCATION AS OF DECEMBER 31, 2009*
<Table>
<Caption>
-----------------------------------------------
PERCENT OF
NET ASSETS
-----------------------------------------------
Foreign Government Obligations 95.7%
Short Term Investments 1.0
Other Assets & Liabilities 3.3
-----------------------------------------------
TOTAL 100.0%
-----------------------------------------------
</Table>
<Table>
* The Fund's asset allocation is expressed as a percentage of net assets and
may change over time.
</Table>
46
[streetTRACKS Logo/semi-annual report]
SPDR BARCLAYS CAPITAL INTERNATIONAL TREASURY BOND ETF --
PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value to
the total return based on market price and its benchmark index is provided for
comparative purposes only and represents the periods noted. The Fund's per share
net asset value ("NAV") is the value of one share of the Fund and is calculated
by dividing the value of total assets less total liabilities by the number of
shares outstanding. The NAV return is based on the NAV of the Fund and the
market return is based on the market price per share of the Fund. The market
price used to calculate the market return is determined by using the midpoint
between the highest bid and the lowest offer on the exchange on which the shares
of the Fund are listed for trading, as of the time that the Fund's NAV is
calculated. Since shares of the Fund did not trade in the secondary market until
several days after the Fund's inception, for the period from inception to the
first day of secondary market trading in shares of the Fund (10/2/07, 10/5/07,
respectively), the NAV of the Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
dividends and capital gain distributions have been reinvested in the Fund at
NAV. Market returns do not include brokerage commissions that may be payable on
secondary market transactions. If brokerage commissions were included market
returns would be lower.
An index is a statistical measure of a specified financial market or sector. An
index does not actually hold a portfolio of securities and therefore does not
reflect deductions for fees or expenses. In comparison, the Fund's performance
is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A
GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER
THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE
RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO
FOR SPDR BARCLAYS CAPITAL INTERNATIONAL TREASURY BOND ETF AS STATED IN THE FEES
AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2009 IS 0.50%.
PERFORMANCE AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------------------------------------
BARCLAYS BARCLAYS
CAPITAL CAPITAL
GLOBAL GLOBAL
TREASURY TREASURY
NET ASSET MARKET EX-US CAPPED NET ASSET MARKET EX-US CAPPED
VALUE VALUE INDEX VALUE VALUE INDEX
----------------------------------------------------------------------------------------------------------------------
SIX-MONTHS 5.33% 4.58% 5.68% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
ONE YEAR 6.51% 5.49% 7.17% 6.51% 5.49% 7.17%
----------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 15.33% 15.26% 18.13% 6.54% 6.52% 7.70%
----------------------------------------------------------------------------------------------------------------------
<Table>
(1) For the period October 2, 2007 to December 31, 2009.
</Table>
47
[streetTRACKS Logo/semi-annual report]
SPDR BARCLAYS CAPITAL INTERNATIONAL TREASURY BOND ETF --
PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (Based on Net Asset
Value)
(Line Graph)
<Table>
<Caption>
SPDR BARCLAYS BARCLAYS CAPITAL
CAPITAL INTERNATIONAL GLOBAL TREASURY
TREASURY BOND EX-US CAPPED
ETF (A) INDEX (B)
--------------------- ----------------
10/2/07 10000 10000
10254 10273
10440 10477
12/31/07 10367 10411
10705 10769
10997 11075
3/31/08 11346 11438
11044 11143
10899 10998
6/30/08 10895 11010
10996 11109
10625 10749
9/30/08 10345 10474
9764 9881
10012 10177
12/31/08 10828 11025
10160 10359
9878 10080
3/31/09 10288 10500
10435 10647
10936 11164
6/30/09 10949 11182
11229 11474
11440 11699
9/30/09 11726 11996
11759 12032
12131 12428
12/31/09 11533 11813
</Table>
48
[streetTRACKS Logo/semi-annual report]
SPDR BARCLAYS CAPITAL INTERNATIONAL TREASURY BOND ETF --
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------
GOVERNMENT OF JAPAN GOVERNMENT OF JAPAN FEDERAL REPUBLIC
10 YEAR BOND, 10 YEAR BOND, REPUBLIC OF ITALY, OF GERMANY,
DESCRIPTION 1.30%, 6/20/2012 1.50%, 9/20/2014 5.25%, 8/1/2017 4.25%, 7/4/2017
----------------------------------------------------------------------------------------------------------------------
MARKET VALUE $65,957,659 63,938,192 60,903,062 60,684,258
----------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 4.4% 4.3 4.1 4.1
----------------------------------------------------------------------------------------------------------------------
-----------------------------------------------
GOVERNMENT OF JAPAN
5 YEAR BOND,
DESCRIPTION 1.50%, 3/20/2011
-----------------------------------------------
MARKET VALUE 44,791,198
-----------------------------------------------
% OF NET ASSETS 3.0
-----------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular issue.)
ASSET ALLOCATION AS OF DECEMBER 31, 2009*
<Table>
<Caption>
-----------------------------------------------
PERCENT OF
NET ASSETS
-----------------------------------------------
Foreign Government Obligations 97.7%
Short Term Investments 1.2
Other Assets & Liabilities 1.1
-----------------------------------------------
TOTAL 100.0%
-----------------------------------------------
</Table>
<Table>
* The Fund's asset allocation is expressed as a percentage of net assets and
may change over time.
</Table>
49
[streetTRACKS Logo/semi-annual report]
SPDR BARCLAYS CAPITAL HIGH YIELD BOND ETF --
PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value to
the total return based on market price and its benchmark index is provided for
comparative purposes only and represents the periods noted. The Fund's per share
net asset value ("NAV") is the value of one share of the Fund and is calculated
by dividing the value of total assets less total liabilities by the number of
shares outstanding. The NAV return is based on the NAV of the Fund and the
market return is based on the market price per share of the Fund. The market
price used to calculate the market return is determined by using the midpoint
between the highest bid and the lowest offer on the exchange on which the shares
of the Fund are listed for trading, as of the time that the Fund's NAV is
calculated. Since shares of the Fund did not trade in the secondary market until
several days after the Fund's inception, for the period from inception to the
first day of secondary market trading in shares of the Fund (11/28/07, 12/4/07,
respectively), the NAV of the Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
dividends and capital gain distributions have been reinvested in the Fund at
NAV. Market returns do not include brokerage commissions that may be payable on
secondary market transactions. If brokerage commissions were included market
returns would be lower.
An index is a statistical measure of a specified financial market or sector. An
index does not actually hold a portfolio of securities and therefore does not
reflect deductions for fees or expenses. In comparison, the Fund's performance
is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE
RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU MAY HAVE A
GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER
THAN THAT QUOTED. VISIT WWW.SPDRS.COM FOR MOST RECENT MONTH-END PERFORMANCE. THE
RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON
FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE TOTAL EXPENSE RATIO
FOR SPDR BARCLAYS CAPITAL HIGH YIELD BOND ETF AS STATED IN THE FEES AND EXPENSES
TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2009 IS 0.40%.
PERFORMANCE AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------------------------------------------
BARCLAYS BARCLAYS
CAPITAL CAPITAL
HIGH YIELD HIGH YIELD
NET ASSET MARKET VERY NET ASSET MARKET VERY
VALUE VALUE LIQUID INDEX VALUE VALUE LIQUID INDEX
----------------------------------------------------------------------------------------------------------------------
SIX-MONTHS 21.02% 18.82% 23.37% N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------
ONE YEAR 50.50% 40.41% 63.49% 50.50% 40.41% 63.49%
----------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 5.39% 6.10% 18.24% 2.54% 2.87% 8.34%
----------------------------------------------------------------------------------------------------------------------
<Table>
(1) For the period November 28, 2007 to December 31, 2009.
</Table>
50
[streetTRACKS Logo/semi-annual report]
SPDR BARCLAYS CAPITAL HIGH YIELD BOND ETF --
PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (Based on Net Asset
Value)
(Line Graph)
<Table>
<Caption>
SPDR BARCLAYS BARCLAYS CAPITAL
CAPITAL HIGH HIGH YIELD
YIELD BOND VERY LIQUID
ETF (A) INDEX (B)
------------- ----------------
11/28/07 10000 10000
10000 10053
12/31/07 10034 10095
9746 9912
9534 9718
3/31/08 9559 9752
10001 10248
10009 10306
6/30/08 9690 9986
9558 9846
9542 9848
9/30/08 8602 8863
7130 7281
6444 6567
12/31/08 7003 7233
7288 7742
6832 7318
3/31/09 7113 7619
8041 8692
8569 9364
6/30/09 8709 9586
9292 10296
9359 10432
9/30/09 9952 11116
10083 11298
10123 11343
12/31/09 10539 11824
</Table>
51
[streetTRACKS Logo/semi-annual report]
SPDR BARCLAYS CAPITAL HIGH YIELD BOND ETF --
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
-------------------------------------------------------------------------------------------------------------
COMMUNITY HEALTH HARRAH'S OPERATING
HCA, INC., GMAC LLC, SYSTEMS, INC., CO., INC.,
DESCRIPTION 9.25%, 11/15/2016 6.88%, 9/15/2011 8.88%, 7/15/2015 10.00%, 12/15/2018
-------------------------------------------------------------------------------------------------------------
MARKET VALUE $90,155,271 77,260,445 76,684,185 67,034,430
-------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 2.6% 2.3 2.2 2.0
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------
AMERICAN INTERNATIONAL
GROUP, INC.,
DESCRIPTION 8.18%, 5/15/2058
-------------------------------------------------
MARKET VALUE 66,267,300
-------------------------------------------------
% OF NET ASSETS 1.9
-------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular issue.)
ASSET ALLOCATION AS OF DECEMBER 31, 2009*
<Table>
<Caption>
-----------------------------------------------
PERCENT OF
NET ASSETS
-----------------------------------------------
Corporate Bonds & Notes 98.3%
Common Stocks 0.0**
Short Term Investments 0.8
Other Assets & Liabilities 0.9
-----------------------------------------------
TOTAL 100.0%
-----------------------------------------------
</Table>
<Table>
* The Fund's asset allocation is expressed as a percentage of net assets and
may change over time.
** Amount represents less than 0.05% of net assets.
</Table>
52
[streetTRACKS Logo/semi-annual report]
SPDR BARCLAYS CAPITAL SHORT TERM CORPORATE BOND ETF --
PORTFOLIO SUMMARY
The Fund commenced operations during the reporting period and therefore does not
have performance history to provide in this report.
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2009
----------------------------------------------------------------------------------------------------------------------------------
THE GOLDMAN SACHS CONOCO HSBC FINANCE GENERAL ELECTRIC
GROUP, INC., FUNDING CO., MORGAN STANLEY, CORP., CAPITAL CORP.,
DESCRIPTION 6.60%, 1/15/2012 6.35%, 10/15/2011 6.60%, 4/1/2012 7.00%, 5/15/2012 6.00%, 6/15/2012
----------------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $649,987 544,084 542,968 542,587 539,083
----------------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 4.4 3.7 3.6 3.6 3.6
----------------------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular issue.)
ASSET ALLOCATION AS OF DECEMBER 31, 2009*
<Table>
<Caption>
-----------------------------------------------
PERCENT OF
NET ASSETS
-----------------------------------------------
Corporate Bonds & Notes 95.6%
Short Term Investments 9.8
Other Assets & Liabilities (5.4)
-----------------------------------------------
TOTAL 100.0%
-----------------------------------------------
</Table>
<Table>
* The Fund's asset allocation is expressed as a percentage of net assets and
may change over time.
</Table>
53
SPDR BARCLAYS CAPITAL 1-3 MONTH T-BILL ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
U.S. TREASURY OBLIGATIONS -- 100.0%
Treasury Bills*
0.01%, 2/11/2010...................... $102,548,000 $102,542,163
0.01%, 2/18/2010...................... 73,249,000 73,245,094
0.02%, 2/4/2010....................... 73,249,000 73,245,541
0.03%, 2/25/2010...................... 73,249,000 73,243,406
0.06%, 3/11/2010...................... 101,327,000 101,316,766
0.06%, 3/25/2010...................... 72,028,000 72,018,348
0.06%, 4/1/2010....................... 112,315,000 112,298,714
0.06%, 3/4/2010....................... 72,028,000 72,020,797
0.07%, 3/18/2010...................... 72,028,000 72,018,492
------------
TOTAL U.S. TREASURY
OBLIGATIONS --
(Cost $751,955,724)................... 751,949,321
------------
<Caption>
SHARES
------
SHORT TERM INVESTMENTS -- 0.0% (A)
MONEY MARKET FUND -- 0.0% (A)
State Street Institutional Liquid
Reserves Fund (b)(c)
(Cost $349,733)....................... 349,733 349,733
------------
TOTAL INVESTMENTS -- 100.0% (D)
(Cost $752,305,457)................... 752,299,054
OTHER ASSETS AND
LIABILITIES -- 0.0% (A)............... (276,653)
------------
NET ASSETS -- 100.0%.................... $752,022,401
============
</Table>
<Table>
* Rate shown is the discount rate at time of purchase, not
a coupon rate.
(a) Amount shown represents less than 0.05% of net assets.
(b) Affiliated Fund managed by SSgA Funds Management, Inc.
(Note 3)
(c) Value is determined based on Level 1 inputs. (Note 2)
(d) Unless otherwise indicated, the values of the securities
of the Fund are determined based on Level 2 inputs. (Note
2)
</Table>
See accompanying notes to financial statements.
54
SPDR BARCLAYS CAPITAL TIPS ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
U.S. TREASURY OBLIGATIONS -- 99.1%
Treasury Inflation Protected
Indexed Bonds
1.75%, 1/15/2028 (a).................. $10,918,111 $ 10,486,518
2.00%, 1/15/2026 (a).................. 13,035,917 13,113,350
2.38%, 1/15/2025 (a).................. 20,741,206 21,901,469
2.38%, 1/15/2027 (a).................. 10,703,221 11,268,458
2.50%, 1/15/2029 (a).................. 8,633,739 9,279,888
3.38%, 4/15/2032 (a).................. 3,573,201 4,425,731
3.63%, 4/15/2028 (a).................. 13,520,337 16,718,708
3.88%, 4/15/2029 (a).................. 15,525,733 20,016,085
Treasury Inflation Protected
Indexed Notes
0.63%, 4/15/2013 (a).................. 9,292,525 9,456,631
1.25%, 4/15/2014 (a).................. 9,346,176 9,667,498
1.38%, 7/15/2018 (a).................. 8,967,005 8,986,642
1.63%, 1/15/2015 (a).................. 12,955,867 13,492,369
1.63%, 1/15/2018 (a).................. 11,733,280 12,017,460
1.88%, 7/15/2013 (a).................. 15,387,837 16,224,627
1.88%, 7/15/2015 (a).................. 12,949,567 13,653,764
1.88%, 7/15/2019 (a).................. 9,229,221 9,588,330
2.00%, 4/15/2012 (a).................. 10,988,466 11,493,276
2.00%, 1/15/2014 (a).................. 14,887,232 15,759,475
2.00%, 7/15/2014 (a).................. 13,198,636 13,998,738
2.00%, 1/15/2016 (a).................. 11,105,961 11,735,891
2.13%, 1/15/2019 (a).................. 9,001,239 9,551,125
2.38%, 4/15/2011 (a).................. 13,146,405 13,551,052
2.38%, 1/15/2017 (a).................. 11,195,237 12,096,118
2.50%, 7/15/2016 (a).................. 12,865,258 14,025,189
2.63%, 7/15/2017 (a).................. 8,743,553 9,622,018
3.00%, 7/15/2012 (a).................. 18,025,784 19,389,074
3.38%, 1/15/2012...................... 4,433,844 4,745,587
3.50%, 1/15/2011 (a).................. 8,264,534 8,582,223
------------
TOTAL U.S. TREASURY
OBLIGATIONS --
(Cost $334,661,118)................... 344,847,294
------------
<Caption>
SHARES
------
SHORT TERM INVESTMENTS -- 20.7%
MONEY MARKET FUNDS -- 20.7%
State Street Institutional Liquid
Reserves Fund (b)..................... 856,976 856,976
State Street Navigator Securities
Lending Prime Portfolio (b)(c)........ 71,137,330 71,137,330
------------
TOTAL SHORT TERM INVESTMENTS -- (D)
(Cost $71,994,306).................... 71,994,306
------------
TOTAL INVESTMENTS -- 119.8% (E)
(Cost $406,655,424)................... 416,841,600
OTHER ASSETS AND
LIABILITIES -- (19.8)%................ (69,012,306)
------------
NET ASSETS -- 100.0%.................... $347,829,294
============
</Table>
<Table>
(a) Security, or portion thereof, was on loan at December 31,
2009.
(b) Affiliated Fund managed by SSgA Funds Management, Inc.
(Note 3)
(c) Investments of cash collateral for securities loaned.
(d) Value is determined based on Level 1 inputs. (Note 2)
(e) Unless otherwise indicated, the values of the securities
of the Fund are determined based on Level 2 inputs. (Note
2)
</Table>
See accompanying notes to financial statements.
55
SPDR BARCLAYS CAPITAL INTERMEDIATE TERM TREASURY ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
U.S. TREASURY OBLIGATIONS -- 99.1%
Treasury Bonds
7.25%, 5/15/2016...................... $ 1,015,000 $ 1,257,128
7.50%, 11/15/2016 (a)................. 964,000 1,215,334
8.13%, 8/15/2019...................... 825,000 1,110,665
8.75%, 5/15/2017 (a).................. 870,000 1,176,962
8.88%, 8/15/2017...................... 572,000 779,962
8.88%, 2/15/2019 (a).................. 358,000 500,083
9.00%, 11/15/2018 (a)................. 421,000 591,324
9.13%, 5/15/2018 (a).................. 359,000 504,126
9.25%, 2/15/2016...................... 264,000 355,764
9.88%, 11/15/2015..................... 308,000 423,269
10.63%, 8/15/2015..................... 191,000 268,418
11.25%, 2/15/2015 (a)................. 579,000 817,230
Treasury Notes
0.75%, 11/30/2011 (a)................. 3,950,000 3,924,364
0.88%, 1/31/2011 (a).................. 2,831,000 2,839,663
0.88%, 2/28/2011 (a).................. 2,879,000 2,885,190
0.88%, 3/31/2011 (a).................. 2,334,000 2,338,481
0.88%, 4/30/2011 (a).................. 2,340,000 2,342,808
0.88%, 5/31/2011 (a).................. 1,643,000 1,645,481
1.00%, 7/31/2011 (a).................. 2,874,000 2,878,627
1.00%, 8/31/2011 (a).................. 2,586,000 2,587,448
1.00%, 9/30/2011 (a).................. 2,700,000 2,699,433
1.00%, 10/31/2011 (a)................. 3,050,000 3,047,347
1.13%, 6/30/2011 (a).................. 3,166,000 3,179,234
1.13%, 12/15/2011 (a)................. 1,579,000 1,579,742
1.13%, 1/15/2012 (a).................. 1,518,000 1,516,649
1.13%, 12/15/2012..................... 2,000,000 1,967,428
1.38%, 2/15/2012 (a).................. 1,993,000 1,998,720
1.38%, 3/15/2012...................... 1,307,000 1,310,372
1.38%, 4/15/2012 (a).................. 1,462,000 1,463,316
1.38%, 5/15/2012 (a).................. 1,993,000 1,993,100
1.38%, 9/15/2012 (a).................. 2,000,000 1,990,400
1.38%, 10/15/2012 (a)................. 2,000,000 1,988,900
1.38%, 11/15/2012 (a)................. 4,500,000 4,467,465
1.50%, 7/15/2012 (a).................. 1,440,000 1,442,333
1.50%, 12/31/2013..................... 1,933,000 1,882,065
1.75%, 11/15/2011 (a)................. 1,518,000 1,537,461
1.75%, 8/15/2012 (a).................. 2,176,000 2,190,296
1.75%, 1/31/2014 (a).................. 1,302,000 1,277,483
1.75%, 3/31/2014 (a).................. 1,751,000 1,709,834
1.88%, 6/15/2012 (a).................. 2,018,000 2,040,238
1.88%, 2/28/2014 (a).................. 1,463,000 1,439,168
1.88%, 4/30/2014 (a).................. 1,793,000 1,756,494
2.00%, 11/30/2013 (a)................. 1,533,000 1,524,860
2.13%, 11/30/2014 (a)................. 4,150,000 4,051,894
2.25%, 5/31/2014 (a).................. 2,442,000 2,425,785
2.38%, 8/31/2014 (a).................. 1,580,000 1,568,545
2.38%, 9/30/2014 (a).................. 1,600,000 1,586,608
2.38%, 10/31/2014 (a)................. 1,700,000 1,681,657
2.38%, 3/31/2016...................... 1,750,000 1,674,820
2.50%, 3/31/2013 (a).................. 945,000 966,300
2.63%, 6/30/2014...................... 3,013,000 3,035,959
2.63%, 7/31/2014 (a).................. 2,962,000 2,977,787
2.63%, 2/29/2016...................... 1,116,000 1,086,047
2.63%, 4/30/2016 (a).................. 1,391,000 1,348,324
2.75%, 2/28/2013...................... 1,090,000 1,123,158
2.75%, 10/31/2013 (a)................. 1,620,000 1,659,236
2.75%, 11/30/2016 (a)................. 2,000,000 1,926,260
2.75%, 2/15/2019 (a).................. 3,704,000 3,411,051
2.88%, 1/31/2013 (a).................. 944,000 977,418
3.00%, 8/31/2016...................... 1,057,000 1,039,929
3.00%, 9/30/2016...................... 1,000,000 981,660
3.13%, 4/30/2013...................... 1,014,000 1,056,274
3.13%, 8/31/2013 (a).................. 1,484,000 1,542,366
3.13%, 9/30/2013 (a).................. 1,113,000 1,156,763
3.13%, 10/31/2016 (a)................. 3,800,000 3,752,158
3.13%, 5/15/2019 (a).................. 3,809,000 3,607,352
3.25%, 5/31/2016 (a).................. 1,573,000 1,579,953
3.25%, 6/30/2016...................... 1,093,000 1,096,421
3.25%, 7/31/2016 (a).................. 1,616,000 1,619,183
3.25%, 12/31/2016..................... 1,500,000 1,487,525
3.38%, 11/30/2012 (a)................. 811,000 851,834
3.38%, 6/30/2013 (a).................. 872,000 915,347
3.38%, 7/31/2013...................... 1,382,000 1,450,616
3.38%, 11/15/2019 (a)................. 2,100,000 2,020,011
3.50%, 5/31/2013 (a).................. 1,272,000 1,340,497
3.50%, 2/15/2018 (a).................. 2,111,000 2,094,408
3.63%, 12/31/2012 (a)................. 873,000 923,267
3.63%, 5/15/2013 (a).................. 1,210,000 1,281,015
3.63%, 8/15/2019 (a).................. 4,347,000 4,273,927
3.75%, 11/15/2018 (a)................. 3,130,000 3,129,937
3.88%, 10/31/2012 (a)................. 875,000 931,035
3.88%, 2/15/2013...................... 957,000 1,018,994
3.88%, 5/15/2018...................... 1,534,000 1,557,946
4.00%, 11/15/2012 (a)................. 1,112,000 1,187,983
4.00%, 2/15/2014 (a).................. 1,790,000 1,913,850
4.00%, 2/15/2015...................... 1,813,000 1,927,455
4.00%, 8/15/2018 (a).................. 1,626,000 1,660,439
4.13%, 8/31/2012...................... 879,000 939,985
4.13%, 5/15/2015...................... 2,071,000 2,208,618
4.25%, 1/15/2011 (a).................. 580,000 601,843
4.25%, 9/30/2012...................... 581,000 623,529
4.25%, 8/15/2013 (a).................. 2,207,000 2,381,265
4.25%, 11/15/2013..................... 1,426,000 1,541,121
4.25%, 8/15/2014...................... 544,000 587,145
4.25%, 11/15/2014 (a)................. 1,159,000 1,248,823
4.25%, 8/15/2015...................... 1,982,000 2,121,969
4.25%, 11/15/2017..................... 1,226,000 1,285,007
4.38%, 8/15/2012...................... 521,000 560,544
4.50%, 2/28/2011...................... 997,000 1,040,190
4.50%, 9/30/2011 (a).................. 1,039,000 1,101,776
4.50%, 11/30/2011 (a)................. 950,000 1,011,598
4.50%, 3/31/2012 (a).................. 912,000 976,533
4.50%, 4/30/2012 (a).................. 910,000 976,002
4.50%, 11/15/2015 (a)................. 627,000 679,060
4.50%, 2/15/2016...................... 1,375,000 1,483,914
4.50%, 5/15/2017 (a).................. 1,253,000 1,340,334
4.63%, 8/31/2011 (a).................. 1,026,000 1,088,083
4.63%, 10/31/2011 (a)................. 796,000 847,796
4.63%, 12/31/2011 (a)................. 944,000 1,008,843
4.63%, 2/29/2012 (a).................. 856,000 917,606
4.63%, 7/31/2012 (a).................. 904,000 976,329
4.63%, 11/15/2016 (a)................. 1,410,000 1,525,944
4.63%, 2/15/2017...................... 1,343,000 1,450,789
4.75%, 3/31/2011...................... 1,004,000 1,052,845
4.75%, 1/31/2012 (a).................. 842,000 903,609
</Table>
See accompanying notes to financial statements.
56
SPDR BARCLAYS CAPITAL INTERMEDIATE TERM TREASURY ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
4.75%, 5/31/2012...................... $ 904,000 $ 976,356
4.75%, 5/15/2014 (a).................. 1,652,000 1,818,340
4.75%, 8/15/2017...................... 1,416,000 1,536,388
4.88%, 4/30/2011...................... 1,788,000 1,883,461
4.88%, 5/31/2011...................... 125,000 132,085
4.88%, 7/31/2011...................... 984,000 1,045,028
4.88%, 2/15/2012...................... 1,390,000 1,496,043
4.88%, 6/30/2012 (a).................. 860,000 932,799
4.88%, 8/15/2016 (a).................. 1,106,000 1,216,711
5.00%, 2/15/2011 (a).................. 923,000 967,313
5.00%, 8/15/2011 (a).................. 1,126,000 1,200,598
5.13%, 6/30/2011 (a).................. 987,000 1,048,944
5.13%, 5/15/2016...................... 1,243,000 1,386,939
------------
TOTAL U.S. TREASURY
OBLIGATIONS --
(Cost $203,995,921)................... 203,465,764
------------
<Caption>
SHARES
------
SHORT TERM INVESTMENTS -- 20.9%
MONEY MARKET FUNDS -- 20.9%
State Street Institutional Liquid
Reserves Fund (b)..................... 865,508 865,508
State Street Navigator Securities
Lending Prime Portfolio (b)(c)........ 42,038,164 42,038,164
------------
TOTAL SHORT TERM INVESTMENTS --(D)
(Cost $42,903,672).................... 42,903,672
------------
TOTAL INVESTMENTS -- 120.0% (E)
(Cost $246,899,593)................... 246,369,436
OTHER ASSETS AND
LIABILITIES -- (20.0)%................ (41,050,049)
------------
NET ASSETS -- 100.0%.................... $205,319,387
============
</Table>
<Table>
(a) Security, or portion thereof, was on loan at December 31,
2009.
(b) Affiliated Fund managed by SSgA Funds Management, Inc.
(Note 3)
(c) Investments of cash collateral for securities loaned.
(d) Value is determined based on Level 1 inputs. (Note 2)
(e) Unless otherwise indicated, the values of the securities
of the Fund are determined based on Level 2 inputs. (Note
2)
</Table>
See accompanying notes to financial statements.
57
SPDR BARCLAYS CAPITAL LONG TERM TREASURY ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
U.S. TREASURY OBLIGATIONS -- 98.6%
Treasury Bonds
3.50%, 2/15/2039 (a).................. $ 689,000 $ 564,422
4.25%, 5/15/2039 (a).................. 1,114,000 1,045,823
4.38%, 2/15/2038 (a).................. 487,000 468,007
4.38%, 11/15/2039..................... 650,000 622,271
4.50%, 2/15/2036 (a).................. 584,000 575,573
4.50%, 5/15/2038...................... 646,000 632,990
4.50%, 8/15/2039 (a).................. 1,400,000 1,369,116
4.75%, 2/15/2037 (a).................. 422,000 431,558
5.00%, 5/15/2037...................... 444,000 471,914
5.25%, 11/15/2028 (a)................. 180,000 195,080
5.25%, 2/15/2029...................... 270,000 292,583
5.38%, 2/15/2031 (a).................. 339,000 374,710
5.50%, 8/15/2028 (a).................. 185,000 206,181
6.00%, 2/15/2026 (a).................. 205,000 239,975
6.13%, 11/15/2027 (a)................. 528,000 629,292
6.13%, 8/15/2029 (a).................. 476,000 571,595
6.25%, 8/15/2023 (a).................. 351,000 419,392
6.25%, 5/15/2030 (a).................. 405,000 494,938
6.38%, 8/15/2027...................... 187,000 228,419
6.50%, 11/15/2026..................... 234,000 288,426
6.63%, 2/15/2027...................... 233,000 290,854
6.75%, 8/15/2026...................... 262,000 330,560
6.88%, 8/15/2025 (a).................. 99,000 125,696
7.13%, 2/15/2023...................... 337,000 432,415
7.25%, 8/15/2022 (a).................. 120,000 155,545
7.50%, 11/15/2024 (a)................. 342,000 457,449
7.63%, 11/15/2022..................... 360,000 480,370
7.63%, 2/15/2025...................... 597,000 806,971
7.88%, 2/15/2021 (a).................. 79,000 106,312
8.00%, 11/15/2021 (a)................. 566,000 771,073
8.13%, 5/15/2021 (a).................. 300,000 410,457
8.13%, 8/15/2021 (a).................. 200,000 274,664
8.50%, 2/15/2020...................... 194,000 268,960
8.75%, 5/15/2020...................... 127,000 179,136
8.75%, 8/15/2020...................... 358,000 506,527
-----------
TOTAL U.S. TREASURY
OBLIGATIONS --
(Cost $16,542,371).................... 15,719,254
-----------
<Caption>
SHARES
------
SHORT TERM INVESTMENTS -- 20.5%
MONEY MARKET FUNDS -- 20.5%
State Street Institutional Liquid
Reserves Fund (b)..................... 6,131 6,131
State Street Navigator Securities
Lending Prime Portfolio (b)(c)........ 3,265,304 3,265,304
-----------
TOTAL SHORT TERM INVESTMENTS --(D)
(Cost $3,271,435)..................... 3,271,435
-----------
TOTAL INVESTMENTS -- 119.1% (E)
(Cost $19,813,806).................... 18,990,689
OTHER ASSETS AND
LIABILITIES -- (19.1)%................ (3,042,045)
-----------
NET ASSETS -- 100.0%.................... $15,948,644
===========
</Table>
<Table>
(a) Security, or portion thereof, was on loan at December 31,
2009.
(b) Affiliated Fund managed by SSgA Funds Management, Inc.
(Note 3)
(c) Investments of cash collateral for securities loaned.
(d) Value is determined based on Level 1 inputs. (Note 2)
(e) Unless otherwise indicated, the values of the securities
of the Fund are determined based on Level 2 inputs. (Note
2)
</Table>
See accompanying notes to financial statements.
58
SPDR BARCLAYS CAPITAL INTERMEDIATE TERM CREDIT BOND ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
CORPORATE BONDS & NOTES -- 90.2%
AEROSPACE & DEFENSE -- 1.8%
Boeing Capital Corp.
6.50%, 2/15/2012...................... $ 325,000 $ 353,185
Honeywell International, Inc.
5.00%, 2/15/2019...................... 265,000 274,972
United Technologies Corp.
5.38%, 12/15/2017..................... 325,000 347,375
-----------
975,532
-----------
AUTOMOBILES -- 0.5%
Daimler Finance North America LLC
6.50%, 11/15/2013..................... 265,000 290,113
-----------
BEVERAGES -- 1.2%
Anheuser-Busch InBev Worldwide, Inc.
4.13%, 1/15/2015 (a).................. 140,000 142,422
PepsiCo, Inc.
5.00%, 6/1/2018....................... 490,000 510,757
-----------
653,179
-----------
CAPITAL MARKETS -- 6.4%
Morgan Stanley:
4.75%, 4/1/2014....................... 710,000 714,263
5.63%, 9/23/2019...................... 210,000 211,278
6.75%, 4/15/2011...................... 200,000 212,434
The Bear Stearns Cos. LLC
7.25%, 2/1/2018....................... 660,000 755,733
The Goldman Sachs Group, Inc.
5.95%, 1/18/2018...................... 1,470,000 1,547,429
-----------
3,441,137
-----------
CHEMICALS -- 1.4%
E.I. du Pont de Nemours & Co.
5.88%, 1/15/2014...................... 325,000 359,101
The Dow Chemical Co.:
7.60%, 5/15/2014...................... 140,000 158,279
8.55%, 5/15/2019...................... 190,000 225,199
-----------
742,579
-----------
COMMERCIAL BANKS -- 14.9%
Barclays Bank PLC
5.20%, 7/10/2014...................... 370,000 393,860
Deutsche Bank AG:
3.88%, 8/18/2014...................... 200,000 203,679
6.00%, 9/1/2017....................... 200,000 216,000
European Investment Bank:
3.13%, 7/15/2011...................... 1,330,000 1,373,260
4.25%, 7/15/2013...................... 1,145,000 1,219,738
Inter-American Development Bank
3.25%, 11/15/2011 (b)................. 985,000 1,021,635
KFW Bankengruppe
3.25%, 3/15/2013...................... 1,330,000 1,374,614
Kreditanstalt fuer Wiederaufbau
2.75%, 10/21/2014..................... 285,000 283,200
Wachovia Capital Trust III
5.80%, 3/29/2049 (c).................. 250,000 192,733
Wachovia Corp.
5.50%, 5/1/2013....................... 1,604,000 1,704,485
-----------
7,983,204
-----------
COMMERCIAL SERVICES & SUPPLIES -- 0.2%
Republic Services, Inc.
5.50%, 9/15/2019 (a).................. 95,000 96,476
-----------
COMMUNICATIONS EQUIPMENT -- 0.7%
Cisco Systems, Inc.
4.95%, 2/15/2019...................... 370,000 379,209
-----------
COMPUTERS & PERIPHERALS -- 1.9%
Hewlett-Packard Co.
4.75%, 6/2/2014....................... 265,000 281,334
International Business Machines Corp.
5.70%, 9/14/2017...................... 660,000 717,203
-----------
998,537
-----------
CONSUMER FINANCE -- 0.2%
SLM Corp.
8.45%, 6/15/2018...................... 95,000 92,808
-----------
DIVERSIFIED FINANCIAL SERVICES -- 16.0%
American Express Co.:
7.25%, 5/20/2014...................... 120,000 136,621
8.13%, 5/20/2019...................... 95,000 112,762
Bank of America Corp.
4.90%, 5/1/2013....................... 1,395,000 1,449,591
BP Capital Markets PLC
1.55%, 8/11/2011...................... 530,000 533,425
Capital One Bank USA NA
8.80%, 7/15/2019...................... 250,000 297,422
Capital One Financial Corp.
7.38%, 5/23/2014...................... 125,000 141,619
Citigroup, Inc.
5.50%, 4/11/2013...................... 1,175,000 1,212,479
Credit Suisse USA, Inc.:
4.88%, 1/15/2015...................... 5,000 5,235
5.30%, 8/13/2019...................... 370,000 377,183
6.13%, 11/15/2011..................... 15,000 16,162
General Electric Capital Corp.:
4.80%, 5/1/2013....................... 1,000,000 1,048,838
5.63%, 5/1/2018....................... 475,000 483,909
HSBC Finance Corp.
5.00%, 6/30/2015...................... 510,000 531,339
International Lease Finance Corp.
4.75%, 1/13/2012...................... 135,000 117,450
JPMorgan Chase & Co.
4.65%, 6/1/2014....................... 1,105,000 1,166,229
Merrill Lynch & Co., Inc.
6.88%, 4/25/2018...................... 827,000 893,861
Royal Bank of Scotland Group PLC
5.00%, 10/1/2014...................... 70,000 61,170
-----------
8,585,295
-----------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.3%
Qwest Corp.
8.38%, 5/1/2016 (a)(d)................ 140,000 148,750
-----------
ELECTRIC UTILITIES -- 5.2%
Commonwealth Edison Co.
5.80%, 3/15/2018...................... 660,000 704,648
Consolidated Edison Co. of New York
6.65%, 4/1/2019....................... 95,000 106,921
Duke Energy Corp.
3.95%, 9/15/2014...................... 570,000 577,519
</Table>
See accompanying notes to financial statements.
59
SPDR BARCLAYS CAPITAL INTERMEDIATE TERM CREDIT BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
FirstEnergy Solutions Corp.
4.80%, 2/15/2015 (a).................. $ 570,000 $ 577,946
Nevada Power Co.
6.50%, 8/1/2018....................... 95,000 102,490
PG&E Corp.
5.75%, 4/1/2014....................... 570,000 613,412
Virginia Electric and Power Co.
5.40%, 4/30/2018...................... 95,000 99,254
-----------
2,782,190
-----------
FOOD & STAPLES RETAILING -- 2.7%
CVS Caremark Corp.
5.75%, 6/1/2017....................... 285,000 300,045
Safeway, Inc.
5.00%, 8/15/2019...................... 265,000 263,147
Target Corp.
6.00%, 1/15/2018...................... 190,000 209,825
Wal-Mart Stores, Inc.
3.00%, 2/3/2014....................... 660,000 665,284
-----------
1,438,301
-----------
FOOD PRODUCTS -- 1.5%
Kraft Foods, Inc.
5.63%, 11/1/2011...................... 660,000 699,841
Unilever Capital Corp.
3.65%, 2/15/2014...................... 95,000 97,594
-----------
797,435
-----------
HEALTH CARE EQUIPMENT & SUPPLIES -- 0.6%
Baxter International, Inc.
4.00%, 3/1/2014....................... 325,000 337,099
-----------
HEALTH CARE PROVIDERS & SERVICES -- 0.7%
Humana, Inc.
7.20%, 6/15/2018...................... 325,000 335,516
WellPoint, Inc.
7.00%, 2/15/2019...................... 45,000 50,328
-----------
385,844
-----------
HOUSEHOLD PRODUCTS -- 0.8%
Fortune Brands, Inc.
6.38%, 6/15/2014...................... 150,000 160,356
The Procter & Gamble Co.
4.60%, 1/15/2014...................... 265,000 283,187
-----------
443,543
-----------
INSURANCE -- 3.4%
Allstate Life Global Funding Trusts
5.38%, 4/30/2013...................... 530,000 564,546
American International Group, Inc.
5.85%, 1/16/2018...................... 500,000 407,500
Berkshire Hathaway Finance Corp.
4.75%, 5/15/2012...................... 530,000 563,738
Genworth Financial, Inc.
5.75%, 6/15/2014...................... 45,000 43,200
Hartford Financial Services Group, Inc.
6.30%, 3/15/2018...................... 70,000 69,806
Prudential Financial, Inc.
4.75%, 9/17/2015...................... 200,000 203,578
-----------
1,852,368
-----------
MACHINERY -- 1.7%
Caterpillar Financial Services Corp.
6.20%, 9/30/2013...................... 490,000 546,288
John Deere Capital Corp.
7.00%, 3/15/2012...................... 325,000 360,296
-----------
906,584
-----------
MEDIA -- 3.6%
Comcast Corp.
5.70%, 5/15/2018...................... 525,000 550,150
Cox Communications, Inc.
4.63%, 6/1/2013....................... 140,000 146,215
DIRECTV Holdings LLC
7.63%, 5/15/2016...................... 51,000 55,781
News America, Inc.
6.90%, 3/1/2019....................... 325,000 366,316
Time Warner Cable, Inc.:
5.88%, 11/15/2016..................... 285,000 308,068
6.20%, 7/1/2013....................... 490,000 536,760
-----------
1,963,290
-----------
METALS & MINING -- 3.3%
Alcoa, Inc.
6.75%, 7/15/2018...................... 140,000 143,500
BHP Billiton Finance USA, Ltd.
5.50%, 4/1/2014....................... 450,000 492,840
Freeport-McMoRan Copper & Gold, Inc.
8.38%, 4/1/2017....................... 140,000 153,300
Rio Tinto Finance USA, Ltd.
5.88%, 7/15/2013...................... 890,000 961,581
-----------
1,751,221
-----------
MULTI-UTILITIES -- 0.6%
MidAmerican Energy Holdings Co.
5.75%, 4/1/2018....................... 310,000 324,638
-----------
OIL, GAS & CONSUMABLE FUELS -- 6.9%
Anadarko Petroleum Corp.
6.95%, 6/15/2019...................... 235,000 266,495
Canadian Natural Resources Ltd.
5.70%, 5/15/2017...................... 140,000 149,420
Conoco Funding Co.
6.35%, 10/15/2011..................... 345,000 375,418
ConocoPhillips
5.75%, 2/1/2019....................... 190,000 206,184
EnCana Corp.
6.50%, 5/15/2019...................... 190,000 211,677
Enterprise Products Operating LLC
6.30%, 9/15/2017...................... 235,000 251,342
Kinder Morgan Energy Partners LP
6.00%, 2/1/2017....................... 540,000 568,827
Nexen, Inc.
6.20%, 7/30/2019...................... 95,000 100,277
Petrobras International Finance Co.
8.38%, 12/10/2018..................... 490,000 580,013
Shell International Finance BV
4.00%, 3/21/2014...................... 255,000 265,948
XTO Energy, Inc.
5.75%, 12/15/2013..................... 660,000 735,333
-----------
3,710,934
-----------
</Table>
See accompanying notes to financial statements.
60
SPDR BARCLAYS CAPITAL INTERMEDIATE TERM CREDIT BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
PAPER & FOREST PRODUCTS -- 0.3%
International Paper Co.
9.38%, 5/15/2019...................... $ 120,000 $ 148,289
-----------
PHARMACEUTICALS -- 2.6%
Abbott Laboratories
5.60%, 11/30/2017..................... 485,000 527,169
GlaxoSmithKline Capital, Inc.
4.85%, 5/15/2013...................... 250,000 266,283
Novartis Capital Corp.
4.13%, 2/10/2014...................... 200,000 209,648
Pfizer, Inc.
6.20%, 3/15/2019...................... 370,000 409,833
-----------
1,412,933
-----------
REAL ESTATE INVESTMENT TRUSTS -- 1.6%
ERP Operating LP
5.75%, 6/15/2017...................... 490,000 487,312
Simon Property Group LP
6.75%, 5/15/2014...................... 370,000 394,506
-----------
881,818
-----------
ROAD & RAIL -- 1.2%
CSX Corp.
7.38%, 2/1/2019....................... 140,000 160,808
Union Pacific Corp.
5.13%, 2/15/2014...................... 450,000 477,097
-----------
637,905
-----------
SOFTWARE -- 0.6%
Oracle Corp.
3.75%, 7/8/2014....................... 320,000 330,193
-----------
TOBACCO -- 1.3%
Altria Group, Inc.
9.70%, 11/10/2018..................... 495,000 610,062
Reynolds American, Inc.
7.63%, 6/1/2016....................... 95,000 103,685
-----------
713,747
-----------
WIRELESS TELECOMMUNICATION SERVICES -- 6.1%
AT&T, Inc.
5.50%, 2/1/2018....................... 998,000 1,034,699
Cellco Partnership / Verizon Wireless
Capital LLC:
5.55%, 2/1/2014....................... 150,000 163,442
8.50%, 11/15/2018..................... 100,000 123,673
Deutsche Telekom International
Finance BV
4.88%, 7/8/2014....................... 150,000 157,456
Embarq Corp.
7.08%, 6/1/2016....................... 150,000 167,625
France Telecom SA
4.38%, 7/8/2014....................... 140,000 146,623
New Cingular Wireless Services, Inc.
7.88%, 3/1/2011....................... 190,000 203,849
Verizon Communications, Inc.
5.25%, 4/15/2013...................... 815,000 881,525
Vodafone Group PLC
4.15%, 6/10/2014...................... 370,000 381,482
-----------
3,260,374
-----------
TOTAL CORPORATE BONDS & NOTES --
(Cost $46,921,182).................... 48,465,525
-----------
FOREIGN GOVERNMENT OBLIGATIONS -- 7.2%
Federal Republic of Brazil:
5.88%, 1/15/2019...................... 285,000 302,813
8.00%, 1/15/2018...................... 505,278 576,017
Province of Ontario
4.10%, 6/16/2014...................... 370,000 387,338
Province of Quebec
4.63%, 5/14/2018...................... 265,000 270,274
Republic of Italy
3.50%, 7/15/2011...................... 880,000 911,162
Republic of Peru
7.13%, 3/30/2019...................... 95,000 109,250
Republic of Poland
6.38%, 7/15/2019...................... 140,000 152,250
United Mexican States
5.88%, 1/15/2014...................... 1,045,000 1,139,050
-----------
TOTAL FOREIGN GOVERNMENT OBLIGATIONS --
(Cost $3,755,629)..................... 3,848,154
-----------
<Caption>
SHARES
------
SHORT TERM INVESTMENTS -- 4.1%
MONEY MARKET FUNDS -- 4.1%
State Street Institutional Liquid
Reserves Fund (e)..................... 2,090,002 2,090,002
State Street Navigator Securities
Lending Prime Portfolio (e)(f)........ 112,890 112,890
-----------
TOTAL SHORT TERM INVESTMENTS -- (G)
(Cost $2,202,892)..................... 2,202,892
-----------
TOTAL INVESTMENTS -- 101.5% (H)
(Cost $52,879,703).................... 54,516,571
OTHER ASSETS AND
LIABILITIES -- (1.5)%................. (809,548)
-----------
NET ASSETS -- 100.0%.................... $53,707,023
===========
</Table>
See accompanying notes to financial statements.
61
SPDR BARCLAYS CAPITAL INTERMEDIATE TERM CREDIT BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
(a) Security purchased pursuant to Rule 144A of the
Securities Act of 1933. These securities, which represent
1.8% of net assets as of December 31, 2009, are
considered liquid and may be resold in transactions
exempt from registration, normally to qualified
institutional buyers.
(b) Security, or portion thereof, was on loan at December 31,
2009
(c) Variable Rate Security. Rate shown is rate in effect at
December 31, 2009.
(d) Security is valued at fair value as determined in good
faith by the Trust's Pricing and Investment Committee in
accordance with procedures approved by the Board of
Trustees.
(e) Affiliated Fund managed by SSgA Funds Management, Inc.
(Note 3)
(f) Investments of cash collateral for securities loaned.
(g) Value is determined based on Level 1 inputs. (Note 2)
(h) Unless otherwise indicated, the values of the securities
of the Fund are determined based on Level 2 inputs. (Note
2)
</Table>
See accompanying notes to financial statements.
62
SPDR BARCLAYS CAPITAL LONG TERM CREDIT BOND ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
CORPORATE BONDS & NOTES -- 86.1%
AEROSPACE & DEFENSE -- 3.2%
Lockheed Martin Corp.
6.15%, 9/1/2036 (a)................... $290,000 $ 308,272
The Boeing Co.
6.63%, 2/15/2038...................... 145,000 161,754
United Technologies Corp.
6.13%, 7/15/2038...................... 290,000 314,290
-----------
784,316
-----------
BEVERAGES -- 0.5%
Anheuser-Busch InBev Worldwide, Inc.
5.38%, 1/15/2020 (a).................. 115,000 117,043
-----------
CAPITAL MARKETS -- 2.5%
Morgan Stanley
6.25%, 8/9/2026....................... 145,000 147,431
The Goldman Sachs Group, Inc.:
6.13%, 2/15/2033...................... 175,000 179,085
6.75%, 10/1/2037...................... 282,000 288,861
-----------
615,377
-----------
CHEMICALS -- 1.3%
E.I. du Pont de Nemours & Co.
5.75%, 3/15/2019...................... 215,000 228,525
The Dow Chemical Co.
9.40%, 5/15/2039...................... 70,000 92,583
-----------
321,108
-----------
COMMERCIAL BANKS -- 2.0%
HSBC Holdings PLC
6.50%, 9/15/2037...................... 325,000 336,147
JPMorgan Chase & Co.
6.40%, 5/15/2038...................... 30,000 32,990
Wachovia Bank NA
6.60%, 1/15/2038...................... 70,000 74,305
Wachovia Corp.
Series G 5.75%, 2/1/2018.............. 35,000 36,509
-----------
479,951
-----------
COMMERCIAL SERVICES & SUPPLIES -- 0.3%
Waste Management, Inc.
7.38%, 3/11/2019...................... 70,000 80,776
-----------
COMMUNICATIONS EQUIPMENT -- 0.5%
Cisco Systems, Inc.
5.90%, 2/15/2039...................... 70,000 70,604
Motorola, Inc.
6.63%, 11/15/2037..................... 60,000 52,200
-----------
122,804
-----------
COMPUTERS & PERIPHERALS -- 0.7%
International Business Machines Corp.
5.60%, 11/30/2039..................... 162,000 162,286
-----------
DIVERSIFIED FINANCIAL SERVICES -- 8.5%
Citigroup, Inc.:
6.88%, 3/5/2038....................... 200,000 198,437
8.50%, 5/22/2019...................... 100,000 115,854
General Electric Capital Corp.:
5.88%, 1/14/2038...................... 360,000 333,860
6.75%, 3/15/2032...................... 70,000 72,558
6.88%, 1/10/2039...................... 290,000 304,602
JP Morgan Chase Capital XXV
6.80%, 10/1/2037...................... 585,000 575,073
Merrill Lynch & Co., Inc.:
6.11%, 1/29/2037...................... 145,000 134,579
7.75%, 5/14/2038...................... 325,000 359,701
-----------
2,094,664
-----------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.1%
British Telecommunications PLC
9.63%, 12/15/2030 (b)................. 215,000 272,683
-----------
ELECTRIC UTILITIES -- 10.8%
Alabama Power Co.
6.13%, 5/15/2038...................... 235,000 252,857
Appalachian Power Co.
7.95%, 1/15/2020...................... 290,000 348,172
Consolidated Edison Co. of New York
5.70%, 12/1/2036...................... 70,000 69,639
Duke Energy Indiana, Inc.
6.45%, 4/1/2039....................... 115,000 128,303
Exelon Generation Co. LLC
6.25%, 10/1/2039...................... 235,000 238,564
FirstEnergy Corp.
7.38%, 11/15/2031..................... 290,000 314,467
Florida Power Corp.
6.40%, 6/15/2038...................... 70,000 76,465
Hydro Quebec
8.50%, 12/1/2029...................... 235,000 312,233
Pacific Gas & Electric Co.:
6.05%, 3/1/2034....................... 290,000 303,693
6.25%, 3/1/2039....................... 145,000 156,535
PacifiCorp
6.00%, 1/15/2039...................... 70,000 73,604
Southern California Edison Co.
6.00%, 1/15/2034...................... 175,000 184,481
Virginia Electric and Power Co.
6.00%, 5/15/2037...................... 175,000 181,292
-----------
2,640,305
-----------
FOOD & STAPLES RETAILING -- 4.1%
CVS Caremark Corp.
6.13%, 9/15/2039...................... 235,000 231,419
Target Corp.
7.00%, 1/15/2038...................... 145,000 169,240
The Kroger Co.
7.50%, 4/1/2031....................... 145,000 168,834
Wal-Mart Stores, Inc.:
5.25%, 9/1/2035....................... 290,000 281,333
5.88%, 4/5/2027....................... 145,000 152,867
-----------
1,003,693
-----------
FOOD PRODUCTS -- 3.0%
Kellogg Co.
Series B 7.45%, 4/1/2031 (a).......... 290,000 352,541
Kraft Foods, Inc.
6.88%, 1/26/2039...................... 215,000 226,406
Unilever Capital Corp.
5.90%, 11/15/2032..................... 140,000 148,029
-----------
726,976
-----------
</Table>
See accompanying notes to financial statements.
63
SPDR BARCLAYS CAPITAL LONG TERM CREDIT BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
HEALTH CARE PROVIDERS & SERVICES -- 1.5%
Aetna, Inc.
6.63%, 6/15/2036...................... $100,000 $ 101,725
UnitedHealth Group, Inc.
6.88%, 2/15/2038...................... 145,000 151,246
WellPoint, Inc.
6.38%, 6/15/2037...................... 115,000 116,305
-----------
369,276
-----------
HOTELS, RESTAURANTS & LEISURE -- 0.5%
McDonald's Corp.
6.30%, 3/1/2038....................... 110,000 121,047
-----------
HOUSEHOLD PRODUCTS -- 0.7%
The Procter & Gamble Co.
5.55%, 3/5/2037....................... 175,000 180,801
-----------
INSURANCE -- 3.8%
AXA SA
8.60%, 12/15/2030 (c)................. 100,000 113,500
MetLife, Inc.
6.40%, 12/15/2066 (c)................. 255,000 219,300
Prudential Financial, Inc.
6.63%, 12/1/2037...................... 85,000 87,048
Swiss Re Solutions Holding Corp.
7.00%, 2/15/2026...................... 75,000 72,279
The Allstate Corp.
5.95%, 4/1/2036....................... 115,000 115,944
The Chubb Corp.
6.50%, 5/15/2038...................... 60,000 65,474
The Progressive Corp.
6.25%, 12/1/2032...................... 175,000 177,396
The Travelers Cos., Inc.
6.25%, 6/15/2037...................... 70,000 74,424
-----------
925,365
-----------
MEDIA -- 6.2%
Comcast Corp.
6.95%, 8/15/2037...................... 360,000 391,040
News America, Inc.:
5.65%, 8/15/2020 (a).................. 250,000 259,246
6.20%, 12/15/2034..................... 29,000 29,045
6.65%, 11/15/2037..................... 35,000 37,134
Time Warner Cable, Inc.
7.30%, 7/1/2038....................... 290,000 321,248
Time Warner, Inc.
7.63%, 4/15/2031...................... 145,000 166,634
Viacom, Inc.
6.88%, 4/30/2036 (a).................. 290,000 309,806
-----------
1,514,153
-----------
METALS & MINING -- 2.9%
Newmont Mining Corp.
6.25%, 10/1/2039...................... 145,000 144,251
Rio Tinto Alcan, Inc.
6.13%, 12/15/2033..................... 145,000 147,516
Vale Overseas, Ltd.
6.88%, 11/21/2036..................... 410,000 413,460
-----------
705,227
-----------
MULTI-UTILITIES -- 1.5%
MidAmerican Energy Holdings Co.:
6.13%, 4/1/2036 (a)................... 290,000 295,214
6.50%, 9/15/2037 (a).................. 70,000 74,816
-----------
370,030
-----------
OIL, GAS & CONSUMABLE FUELS -- 12.9%
Anadarko Finance Co.
7.50%, 5/1/2031....................... 350,000 392,774
Canadian Natural Resources, Ltd.
6.25%, 3/15/2038...................... 70,000 72,578
Conoco Funding Co.
7.25%, 10/15/2031..................... 145,000 169,062
Conoco, Inc.
6.95%, 4/15/2029...................... 145,000 162,607
ConocoPhillips
6.00%, 1/15/2020...................... 250,000 275,932
Devon Financing Corp. ULC
7.88%, 9/30/2031 (a).................. 145,000 181,110
Kinder Morgan Energy Partners LP
6.85%, 2/15/2020...................... 115,000 127,466
Nexen, Inc.
7.50%, 7/30/2039...................... 145,000 165,461
Pemex Project Funding Master Trust
6.63%, 6/15/2035...................... 215,000 204,035
Petro-Canada
6.80%, 5/15/2038...................... 235,000 256,118
Petrobras International Finance Co.
5.75%, 1/20/2020...................... 115,000 116,311
Petroleos Mexicanos
8.00%, 5/3/2019 (a)................... 145,000 167,505
Shell International Finance BV
6.38%, 12/15/2038..................... 165,000 184,562
Southern Natural Gas Co.
8.00%, 3/1/2032....................... 145,000 164,984
The Williams Cos., Inc.
7.63%, 7/15/2019...................... 215,000 241,053
TransCanada Pipelines, Ltd.:
6.20%, 10/15/2037..................... 60,000 62,882
7.63%, 1/15/2039...................... 145,000 179,142
Weatherford International, Ltd.
9.63%, 3/1/2019....................... 30,000 37,357
-----------
3,160,939
-----------
PAPER & FOREST PRODUCTS -- 0.5%
International Paper Co.
7.50%, 8/15/2021...................... 115,000 127,827
-----------
PHARMACEUTICALS -- 4.9%
Bristol-Myers Squibb Co.
5.88%, 11/15/2036..................... 145,000 152,210
Eli Lilly & Co.
5.50%, 3/15/2027...................... 145,000 146,316
GlaxoSmithKline Capital, Inc.
6.38%, 5/15/2038...................... 70,000 77,795
Merck & Co, Inc.
6.50%, 12/1/2033...................... 350,000 394,344
Pfizer, Inc.
7.20%, 3/15/2039...................... 360,000 434,138
-----------
1,204,803
-----------
</Table>
See accompanying notes to financial statements.
64
SPDR BARCLAYS CAPITAL LONG TERM CREDIT BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
ROAD & RAIL -- 2.2%
Canadian National Railway Co.
6.90%, 7/15/2028...................... $ 85,000 $ 96,712
CSX Corp.
7.45%, 4/1/2038....................... 215,000 250,997
Norfolk Southern Corp.
7.25%, 2/15/2031...................... 115,000 135,342
Union Pacific Corp.
6.13%, 2/15/2020...................... 60,000 64,851
-----------
547,902
-----------
SOFTWARE -- 0.5%
Oracle Corp.
6.13%, 7/8/2039....................... 115,000 121,304
-----------
TOBACCO -- 0.8%
Altria Group, Inc.
9.95%, 11/10/2038..................... 145,000 189,072
-----------
WIRELESS TELECOMMUNICATION SERVICES -- 8.7%
AT&T Corp.
8.00%, 11/15/2031..................... 680,000 831,282
AT&T, Inc.:
6.30%, 1/15/2038...................... 145,000 146,190
6.55%, 2/15/2039...................... 110,000 115,343
Deutsche Telekom International Finance
BV
8.75%, 6/15/2030 (b).................. 290,000 371,552
Telefonica Europe BV
8.25%, 9/15/2030...................... 215,000 269,280
Verizon Communications, Inc.
7.75%, 12/1/2030...................... 215,000 256,378
Vodafone Group PLC
6.15%, 2/27/2037...................... 145,000 151,123
-----------
2,141,148
-----------
TOTAL CORPORATE BONDS & NOTES --
(Cost $20,275,437).................... 21,100,876
-----------
FOREIGN GOVERNMENT OBLIGATIONS -- 9.2%
Federal Republic of Brazil
5.63%, 1/7/2041....................... 115,000 107,813
7.13%, 1/20/2037...................... 145,000 166,003
8.75%, 2/4/2025....................... 235,000 303,150
8.88%, 10/14/2019..................... 30,000 38,588
10.13%, 5/15/2027..................... 260,000 381,550
Province of Quebec
7.50%, 9/15/2029...................... 235,000 297,325
Republic of Italy
5.38%, 6/15/2033...................... 465,000 456,355
Republic of Peru
7.35%, 7/21/2025...................... 145,000 166,025
United Mexican States:
6.75%, 9/27/2034...................... 145,000 153,688
8.30%, 8/15/2031...................... 145,000 179,365
-----------
TOTAL FOREIGN GOVERNMENT OBLIGATIONS --
(Cost $2,220,694)..................... 2,249,862
-----------
MUNICIPAL BONDS AND NOTES -- 3.0%
CALIFORNIA -- 1.7%
California, State General Obligation
7.55%, 4/1/2039....................... 250,000 242,268
Los Angeles, CA, General Obligation
5.75%, 7/1/2034....................... 200,000 184,716
-----------
426,984
-----------
ILLINOIS -- 0.7%
Illinois, State General Obligation
5.10%, 6/1/2033....................... 200,000 166,580
-----------
TEXAS -- 0.6%
Texas, State General Obligation
5.52%, 4/1/2039....................... 150,000 146,442
-----------
TOTAL MUNICIPAL BONDS AND NOTES --
(Cost $778,105)....................... 740,006
-----------
<Caption>
SHARES
------
SHORT TERM INVESTMENTS -- 0.9%
MONEY MARKET FUND -- 0.9%
State Street Institutional Liquid
Reserves Fund (d)(e)
(Cost $227,845)....................... 227,845 227,845
-----------
TOTAL INVESTMENTS -- 99.2% (F)
(Cost $23,502,081).................... 24,318,589
OTHER ASSETS AND
LIABILITIES -- 0.8%................... 204,499
-----------
NET ASSETS -- 100.0%.................... $24,523,088
===========
</Table>
<Table>
(a) Security purchased pursuant to Rule 144A of the
Securities Act of 1933. These securities, which represent
8.4% of net assets as of December 31, 2009, are
considered liquid and may be resold in transactions
exempt from registration, normally to qualified
institutional buyers.
(b) Step-up Bond. Coupon rate increases in increments to
maturity. Rate disclosed is as of December 31, 2009.
Maturity date disclosed is the ultimate maturity.
(c) Security is valued at fair value as determined in good
faith by the Trust's Pricing and Investment Committee in
accordance with procedures approved by the Board of
Trustees.
(d) Affiliated Fund managed by SSgA Funds Management, Inc.
(Note 3)
(e) Value is determined based on Level 1 inputs. (Note 2)
(f) Unless otherwise indicated, the values of the securities
of the Fund are determined based on Level 2 inputs. (Note
2)
</Table>
See accompanying notes to financial statements.
65
SPDR BARCLAYS CAPITAL CONVERTIBLE BOND ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
CONVERTIBLE CORPORATE BONDS & NOTES -- 74.7%
AEROSPACE & DEFENSE -- 0.6%
L-3 Communications Holdings, Inc.
3.00%, 8/1/2035....................... $1,350,000 $ 1,407,119
------------
AIRLINES -- 0.5%
UAL Corp.
4.50%, 6/30/2021...................... 1,350,000 1,198,912
------------
AUTOMOBILES -- 4.1%
Ford Motor Co.:
4.25%, 11/15/2016..................... 5,500,000 6,934,125
4.25%, 12/15/2036..................... 1,000,000 1,263,710
Navistar International Corp.
3.00%, 10/15/2014..................... 1,300,000 1,383,330
------------
9,581,165
------------
BEVERAGES -- 0.5%
Molson Coors Brewing Co.
2.50%, 7/30/2013...................... 1,050,000 1,162,739
------------
BIOTECHNOLOGY -- 7.5%
Amgen, Inc.:
0.13%, 2/1/2011....................... 4,650,000 4,580,250
0.38%, 2/1/2013....................... 4,800,000 4,831,680
Amylin Pharmaceuticals, Inc.
3.00%, 6/15/2014...................... 1,300,000 1,012,755
Cephalon, Inc.:
2.00%, 6/1/2015....................... 1,400,000 1,983,254
2.50%, 5/1/2014....................... 1,000,000 1,118,090
Gilead Sciences, Inc.:
0.50%, 5/1/2011....................... 1,300,000 1,548,560
0.63%, 5/1/2013....................... 1,150,000 1,419,744
Millipore Corp.
3.75%, 6/1/2026....................... 900,000 927,612
------------
17,421,945
------------
COMMERCIAL BANKS -- 1.1%
National City Corp.
4.00%, 2/1/2011....................... 2,600,000 2,650,310
------------
COMMUNICATIONS EQUIPMENT -- 1.5%
Alcatel-Lucent USA, Inc.:
Series A, 2.88%, 6/15/2023............ 1,200,000 1,190,434
Series B, 2.88%, 6/15/2025............ 1,900,000 1,621,196
Ciena Corp.
0.88%, 6/15/2017...................... 1,000,000 578,535
------------
3,390,165
------------
COMPUTERS & PERIPHERALS -- 5.3%
EMC Corp.:
1.75%, 12/1/2011...................... 3,100,000 3,774,095
1.75%, 12/1/2013...................... 3,100,000 3,888,764
NetApp, Inc.
1.75%, 6/1/2013 (a)................... 2,300,000 2,863,500
SanDisk Corp.
1.00%, 5/15/2013...................... 2,070,000 1,721,273
------------
12,247,632
------------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.1%
Qwest Communications International, Inc.
3.50%, 11/15/2025..................... 2,400,000 2,493,624
------------
ELECTRICAL EQUIPMENT -- 0.3%
Suntech Power Holdings Co., Ltd.
3.00%, 3/15/2013...................... 900,000 711,900
------------
ENERGY EQUIPMENT & SERVICES -- 1.9%
Cameron International Corp.
2.50%, 6/15/2026...................... 850,000 1,138,260
Nabors Industries, Inc.
0.94%, 5/15/2011...................... 3,400,000 3,319,366
------------
4,457,626
------------
FOOD PRODUCTS -- 0.9%
Archer-Daniels-Midland Co.
0.88%, 2/15/2014...................... 2,100,000 2,203,761
------------
HEALTH CARE EQUIPMENT & SUPPLIES -- 6.0%
Beckman Coulter, Inc.
2.50%, 12/15/2036..................... 1,200,000 1,376,820
Hologic, Inc.
2.00%, 12/15/2037 (b)................. 3,050,000 2,591,814
Kinetic Concepts, Inc.
3.25%, 4/15/2015 (a).................. 1,300,000 1,288,072
Medtronic, Inc.:
1.50%, 4/15/2011...................... 4,200,000 4,263,126
1.63%, 4/15/2013...................... 4,150,000 4,350,943
------------
13,870,775
------------
HEALTH CARE PROVIDERS & SERVICES -- 1.0%
LifePoint Hospitals, Inc.
3.50%, 5/15/2014...................... 1,050,000 992,195
Omnicare, Inc.
3.25%, 12/15/2035..................... 1,588,000 1,291,430
------------
2,283,625
------------
HOTELS, RESTAURANTS & LEISURE -- 1.3%
Carnival Corp.
2.00%, 4/15/2021...................... 1,150,000 1,199,565
International Game Technology
3.25%, 5/1/2014 (a)................... 1,400,000 1,710,058
------------
2,909,623
------------
HOUSEHOLD DURABLES -- 0.5%
D.R. Horton, Inc.
2.00%, 5/15/2014...................... 1,000,000 1,105,200
------------
INDUSTRIAL CONGLOMERATES -- 0.7%
Textron, Inc.
4.50%, 5/1/2013....................... 950,000 1,533,395
------------
INTERNET SOFTWARE & SERVICES -- 0.9%
VeriSign, Inc.
3.25%, 8/15/2037...................... 2,400,000 2,149,049
------------
IT SERVICES -- 0.7%
Alliance Data Systems Corp.
1.75%, 8/1/2013....................... 1,500,000 1,519,005
------------
MACHINERY -- 0.6%
Danaher Corp.
Zero Coupon, 1/22/2021................ 1,350,000 1,489,212
------------
MEDIA -- 3.3%
Liberty Global, Inc.
4.50%, 11/15/2016 (a)................. 1,700,000 1,846,030
</Table>
See accompanying notes to financial statements.
66
SPDR BARCLAYS CAPITAL CONVERTIBLE BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
Liberty Media LLC:
3.13%, 3/30/2023...................... $2,400,000 $ 2,423,592
3.25%, 3/15/2031...................... 950,000 564,272
Virgin Media, Inc.
6.50%, 11/15/2016 (a)................. 1,800,000 2,140,200
XM Satellite Radio, Inc.
7.00%, 12/1/2014 (a).................. 850,000 678,315
------------
7,652,409
------------
METALS & MINING -- 6.6%
Alcoa, Inc.
5.25%, 3/15/2014...................... 950,000 2,474,370
AngloGold Ashanti Holdings
Finance PLC
3.50%, 5/22/2014 (a).................. 1,300,000 1,463,943
ArcelorMittal
5.00%, 5/15/2014...................... 1,400,000 2,369,010
Goldcorp, Inc.
2.00%, 8/1/2014 (a)................... 1,500,000 1,725,990
Newmont Mining Corp.:
1.25%, 7/15/2014...................... 1,000,000 1,250,950
1.63%, 7/15/2017...................... 950,000 1,181,752
3.00%, 2/15/2012...................... 1,050,000 1,321,341
Sterlite Industries India, Ltd.
4.00%, 10/30/2014..................... 800,000 845,984
United States Steel Corp.
4.00%, 5/15/2014...................... 1,450,000 2,735,135
------------
15,368,475
------------
OIL, GAS & CONSUMABLE FUELS -- 7.9%
Chesapeake Energy Corp.:
2.25%, 12/15/2038..................... 1,650,000 1,247,565
2.50%, 5/15/2037...................... 2,750,000 2,438,150
Massey Energy Co.
3.25%, 8/1/2015....................... 1,325,000 1,162,316
Peabody Energy Corp.
4.75%, 12/15/2041..................... 1,350,000 1,365,633
Transocean, Inc.:
Series A 1.63%, 12/15/2037............ 3,700,000 3,662,630
Series B 1.50%, 12/15/2037............ 4,150,000 4,027,940
Series C 1.50%, 12/15/2037............ 4,050,000 3,909,522
USEC, Inc.
3.00%, 10/1/2014...................... 850,000 557,142
------------
18,370,898
------------
PHARMACEUTICALS -- 3.3%
Allergan, Inc.
1.50%, 4/1/2026....................... 1,250,000 1,444,088
Mylan, Inc.:
1.25%, 3/15/2012...................... 750,000 779,595
3.75%, 9/15/2015 (a).................. 1,450,000 2,238,437
Teva Pharmaceutical Finance BV
Series B, 1.75%, 2/1/2026............. 1,300,000 1,599,234
Teva Pharmaceutical Finance LLC
Series C, 0.25%, 2/1/2026............. 1,350,000 1,642,950
------------
7,704,304
------------
REAL ESTATE INVESTMENT TRUSTS -- 5.2%
Boston Properties LP:
2.88%, 2/15/2037...................... 1,600,000 1,565,442
3.63%, 2/15/2014 (a).................. 1,350,000 1,339,875
Developers Diversified Realty Corp.
3.00%, 3/15/2012...................... 1,000,000 921,314
ERP Operating LP
3.85%, 8/15/2026...................... 900,000 900,117
Host Hotels & Resorts LP
2.63%, 4/15/2027 (a).................. 750,000 695,904
ProLogis:
1.88%, 11/15/2037..................... 1,900,000 1,675,842
2.25%, 4/1/2037....................... 2,200,000 2,032,080
2.63%, 5/15/2038...................... 950,000 848,469
The Macerich Co.
3.25%, 3/15/2012 (a).................. 900,000 844,658
Vornado Realty LP
3.88%, 4/15/2025...................... 1,050,000 1,158,297
------------
11,981,998
------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 7.7%
Advanced Micro Devices, Inc.
6.00%, 5/1/2015 (a)................... 3,250,000 2,955,826
Intel Corp.:
2.95%, 12/15/2035..................... 2,850,000 2,764,301
3.25%, 8/1/2039 (a)................... 3,850,000 4,445,672
Linear Technology Corp.
Series A, 3.00%, 5/1/2027............. 1,850,000 1,835,849
Microchip Technology, Inc.
2.13%, 12/15/2037..................... 2,200,000 2,245,100
Micron Technology, Inc.
1.88%, 6/1/2014....................... 2,300,000 2,244,556
Xilinx, Inc.
3.13%, 3/15/2037...................... 1,500,000 1,395,750
------------
17,887,054
------------
SOFTWARE -- 1.8%
Symantec Corp.:
0.75%, 6/15/2011...................... 1,950,000 2,130,726
1.00%, 6/15/2013...................... 1,800,000 2,035,134
------------
4,165,860
------------
WIRELESS TELECOMMUNICATION SERVICES -- 1.9%
NII Holdings, Inc.
3.13%, 6/15/2012...................... 2,300,000 2,105,551
SBA Communications Corp.:
1.88%, 5/1/2013 (a)................... 1,150,000 1,183,350
4.00%, 10/1/2014 (a).................. 800,000 1,057,600
------------
4,346,501
------------
TOTAL CONVERTIBLE CORPORATE BONDS
& NOTES --
(Cost $160,022,418)................... 173,264,281
------------
<Caption>
SHARES
------
CONVERTIBLE PREFERRED STOCKS -- 20.9% (D)
AUTOMOBILES -- 1.8%
Ford Motor Co. Capital Trust II
6.50%, 1/15/2032...................... 107,000 4,267,160
------------
COMMERCIAL BANKS -- 2.9%
Wells Fargo & Co.
Series L 7.50%, 12/31/2049............ 7,400 6,793,200
------------
</Table>
See accompanying notes to financial statements.
67
SPDR BARCLAYS CAPITAL CONVERTIBLE BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
CONSUMER FINANCE -- 0.5%
SLM Corp.
Series C 7.25%, 12/15/2010............ 1,850 $ 1,157,767
------------
DIVERSIFIED FINANCIAL SERVICES -- 2.7%
Bank of America Corp.
Series L 7.25%, 12/31/2049............ 7,050 6,196,950
------------
ELECTRIC UTILITIES -- 0.4%
AES Trust III
6.75%, 10/15/2029..................... 19,000 878,750
------------
FOOD PRODUCTS -- 2.1%
Archer-Daniels-Midland Co.
6.25%, 6/1/2011....................... 65,500 2,856,455
Bunge, Ltd.:
4.88%, 12/31/2049..................... 12,500 1,140,625
5.13%, 12/1/2010...................... 1,350 877,500
------------
4,874,580
------------
HEALTH CARE EQUIPMENT & SUPPLIES -- 0.4%
Inverness Medical Innovations, Inc.
Series B 3.00%, 12/31/2049............ 3,044 809,217
------------
INSURANCE -- 3.3%
American International Group, Inc.
8.50%, 8/1/2011....................... 110,000 1,246,300
Vale Capital II
6.75%, 6/15/2012...................... 24,500 2,027,375
Vale Capital, Ltd.
5.50%, 6/15/2010...................... 20,500 1,117,250
5.50%, 6/15/2010...................... 47,000 2,535,650
XL Capital, Ltd.
10.75%, 8/15/2011..................... 27,000 753,840
------------
7,680,415
------------
MEDIA -- 0.3%
The Interpublic Group of Cos., Inc.
Series B 5.25%, 12/31/2049............ 800 596,871
------------
METALS & MINING -- 2.7%
Freeport-McMoRan Copper & Gold, Inc.
6.75%, 5/1/2010....................... 54,200 6,243,840
------------
OIL, GAS & CONSUMABLE FUELS -- 0.2%
CenterPoint Energy, Inc.
2.64%, 9/15/2029 (c).................. 20,500 557,600
------------
PHARMACEUTICALS -- 2.0%
Mylan, Inc.
6.50%, 11/15/2010..................... 4,050 4,634,658
------------
REAL ESTATE INVESTMENT TRUST -- 0.7%
Simon Property Group, Inc.
Series I 6.00%, 12/31/2049............ 25,500 1,734,000
------------
THRIFTS & MORTGAGE FINANCE -- 0.4%
Federal National Mortgage Association
5.38%, 2/8/2010....................... 25 71,050
Sovereign Capital Trust IV
4.38%, 3/1/2034....................... 25,000 800,000
------------
871,050
------------
WIRELESS TELECOMMUNICATION SERVICES -- 0.5%
Lucent Technologies Capital Trust I
7.75%, 3/15/2017...................... 1,500 1,165,500
------------
TOTAL CONVERTIBLE PREFERRED STOCKS --
(Cost $42,288,807).................... 48,461,558
------------
COMMON STOCKS -- 1.9%
CAPITAL MARKETS -- 1.9%
E*TRADE Financial Corp. (d)(e)
(Cost $4,389,220)..................... 2,545,000 4,453,750
------------
SHORT TERM INVESTMENTS -- 2.9%
MONEY MARKET FUND -- 2.9%
State Street Institutional Liquid
Reserves Fund (d)(f)
(Cost $6,789,657)..................... 6,789,657 6,789,657
------------
TOTAL INVESTMENTS -- 100.4% (G)
(Cost $213,490,102)................... 232,969,246
OTHER ASSETS AND
LIABILITIES -- (0.4)%................. (1,018,635)
------------
NET ASSETS -- 100.0%.................... $231,950,611
============
</Table>
<Table>
(a) Security purchased pursuant to Rule 144A of the
Securities Act of 1933. These securities, which represent
12.3% of net assets as of December 31, 2009, are
considered liquid and may be resold in transactions
exempt from registration, normally to qualified
institutional buyers.
(b) Step-up Bond. Coupon rate increases in increments to
maturity. Rate disclosed is as of December 31, 2009.
(c) Variable-rate security. Rate shown is rate in effect at
December 31, 2009.
(d) Value determined based on Level 1 inputs. (Note 2)
(e) Non-income producing security.
(f) Affiliated Fund managed by SSgA Funds Management, Inc.
(Note 3)
(g) Unless otherwise indicated, the values of the securities
of the Fund are determined based on Level 2 inputs. (Note
2)
</Table>
See accompanying notes to financial statements.
68
SPDR BARCLAYS CAPITAL MORTGAGE BACKED BOND ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
U.S. GOVERNMENT AGENCY MBS TBA -- 99.8%
Fannie Mae
4.00%, 30yr TBA...................... $ 300,000 $ 289,922
4.50%, 30yr TBA...................... 975,000 973,324
5.00%, 15yr TBA...................... 600,000 627,750
5.50%, 30yr TBA...................... 2,350,000 2,460,523
6.50%, 30yr TBA...................... 400,000 428,312
Freddie Mac
4.00%, 15yr TBA...................... 300,000 302,063
4.50%, 15yr TBA...................... 350,000 359,844
4.50%, 30yr TBA...................... 350,000 349,180
5.00%, 30yr TBA...................... 1,650,000 1,692,023
5.50%, 15yr TBA...................... 150,000 158,625
6.00%, 30yr TBA...................... 1,000,000 1,059,844
Ginnie Mae
4.50%, 30yr TBA...................... 400,000 400,375
5.00%, 30yr TBA...................... 550,000 565,812
5.50%, 30yr TBA...................... 500,000 523,906
6.00%, 30yr TBA...................... 200,000 211,344
6.50%, 30yr TBA...................... 100,000 106,266
------------
TOTAL U.S. GOVERNMENT
AGENCY MBS TBA --
(Cost $10,622,454).................... 10,509,113
------------
<Caption>
SHARES
------
SHORT TERM INVESTMENTS -- 102.6%
MONEY MARKET FUND -- 102.6%
State Street Institutional Liquid
Reserves Fund (a)(b)(c)
(Cost $10,807,844).................... 10,807,844 10,807,844
------------
TOTAL INVESTMENTS -- 202.4% (D)
(Cost $21,430,298).................... 21,316,957
OTHER ASSETS AND
LIABILITIES -- (102.4)%............... (10,784,208)
------------
NET ASSETS -- 100.0%.................... $ 10,532,749
============
</Table>
<Table>
(a) Security, or a portion of the security has been
designated as collateral for TBA securities.
(b) Affiliated Fund managed by SSgA Funds Management, Inc.
(Note 3)
(c) Value is determined based on Level 1 inputs. (Note 2)
(d) Unless otherwise indicated, the values of the securities
of the Fund are determined based on Level 2 inputs. (Note
2)
</Table>
TBA = To Be Announced
See accompanying notes to financial statements.
69
SPDR BARCLAYS CAPITAL AGGREGATE BOND ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
CORPORATE BONDS & NOTES -- 26.5%
AEROSPACE & DEFENSE -- 0.7%
General Dynamics Corp.
5.25%, 2/1/2014....................... $ 220,000 $ 236,770
Honeywell International, Inc.
6.13%, 11/1/2011...................... 880,000 958,443
The Boeing Co.
6.13%, 2/15/2033 (a).................. 165,000 172,038
-------------
1,367,251
-------------
AIR FREIGHT & LOGISTICS -- 0.1%
United Parcel Service, Inc.
6.20%, 1/15/2038...................... 250,000 277,264
-------------
BANKS -- 0.7%
Asian Development Bank
2.75%, 5/21/2014...................... 205,000 205,189
Export-Import Bank of Korea
5.88%, 1/14/2015...................... 205,000 218,376
Federal Farm Credit Bank
1.88%, 12/7/2012...................... 1,025,000 1,024,151
-------------
1,447,716
-------------
BEVERAGES -- 0.3%
Anheuser-Busch InBev Worldwide, Inc.
5.38%, 1/15/2020 (b).................. 385,000 391,840
Diageo Capital PLC
5.75%, 10/23/2017 (a)................. 250,000 267,957
-------------
659,797
-------------
CAPITAL MARKETS -- 0.9%
Svensk Exportkredit AB
5.13%, 3/1/2017....................... 405,000 428,371
The Goldman Sachs Group, Inc.:
3.25%, 6/15/2012 (a).................. 205,000 213,114
5.35%, 1/15/2016...................... 755,000 776,850
5.95%, 1/15/2027...................... 595,000 568,191
-------------
1,986,526
-------------
CHEMICALS -- 0.4%
E.I. du Pont de Nemours & Co.
5.25%, 12/15/2016 (a)................. 405,000 426,866
The Dow Chemical Co.
8.55%, 5/15/2019...................... 330,000 391,135
-------------
818,001
-------------
COMMERCIAL BANKS -- 4.3%
Citibank NA
1.38%, 8/10/2011...................... 1,060,000 1,064,035
Deutsche Bank AG
6.00%, 9/1/2017 (a)................... 250,000 270,000
European Investment Bank:
2.00%, 2/10/2012 (a).................. 1,090,000 1,102,409
2.38%, 3/14/2014 (a).................. 545,000 539,100
HSBC Bank USA NA
4.63%, 4/1/2014 (a)................... 370,000 384,935
Inter-American Development Bank
5.13%, 9/13/2016...................... 405,000 440,734
International Bank for Reconstruction &
Development
4.75%, 2/15/2035...................... 80,000 76,404
JPMorgan Chase & Co.:
2.20%, 6/15/2012...................... 310,000 314,616
6.40%, 5/15/2038...................... 205,000 225,435
JPMorgan Chase Bank NA
6.00%, 10/1/2017...................... 555,000 590,542
Key Bank NA
5.80%, 7/1/2014....................... 455,000 448,978
Kreditanstalt fuer Wiederaufbau:
3.25%, 10/14/2011 (a)................. 545,000 564,400
4.00%, 10/15/2013..................... 720,000 760,117
4.50%, 7/16/2018...................... 215,000 222,967
Oesterreichische Kontrollbank AG
4.75%, 10/16/2012..................... 405,000 434,272
The Bank of New York Mellon Corp.
4.95%, 11/1/2012 (a).................. 230,000 247,679
US Bank NA
6.38%, 8/1/2011....................... 250,000 267,592
Wachovia Bank NA
5.85%, 2/1/2037....................... 275,000 264,610
Wells Fargo & Co.:
4.88%, 1/12/2011...................... 200,000 206,471
5.63%, 12/11/2017 (a)................. 150,000 156,160
Wells Fargo Bank NA
4.75%, 2/9/2015 (a)................... 245,000 250,096
-------------
8,831,552
-------------
COMMUNICATIONS EQUIPMENT -- 0.1%
Cisco Systems, Inc.
5.50%, 2/22/2016...................... 240,000 261,574
-------------
COMPUTERS & PERIPHERALS -- 0.2%
International Business Machines Corp.:
5.70%, 9/14/2017...................... 210,000 228,201
5.88%, 11/29/2032 (a)................. 165,000 171,734
-------------
399,935
-------------
DIVERSIFIED CONSUMER SERVICES -- 0.1%
Stanford University
4.75%, 5/1/2019....................... 110,000 111,301
-------------
DIVERSIFIED FINANCIAL SERVICES -- 6.9%
American Express Credit Corp.
5.88%, 5/2/2013....................... 265,000 284,286
Bank of America Corp.:
Series L 2.10%, 4/30/2012 (a)......... 205,000 207,217
Series L 3.13%, 6/15/2012 (a)......... 410,000 424,913
Bank of America NA
5.30%, 3/15/2017...................... 785,000 776,064
BP Capital Markets PLC
3.13%, 3/10/2012...................... 210,000 216,323
Capital One Capital VI
8.88%, 5/15/2040...................... 155,000 162,750
Caterpillar Financial Services Corp.
7.15%, 2/15/2019 (a).................. 220,000 255,308
Citigroup Funding, Inc.
0.20%, 5/5/2011 (c)................... 5,300,000 5,296,740
Citigroup, Inc.
5.63%, 8/27/2012...................... 1,175,000 1,213,946
Credit Suisse USA, Inc.
6.50%, 1/15/2012...................... 585,000 633,189
</Table>
See accompanying notes to financial statements.
70
SPDR BARCLAYS CAPITAL AGGREGATE BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
General Electric Capital Corp.:
2.63%, 12/28/2012..................... $ 530,000 $ 539,659
5.25%, 10/19/2012..................... 405,000 432,219
5.63%, 5/1/2018....................... 885,000 901,598
6.75%, 3/15/2032...................... 240,000 248,769
HSBC Finance Corp.
5.25%, 1/14/2011...................... 340,000 350,584
Merrill Lynch & Co., Inc.
6.88%, 4/25/2018...................... 580,000 626,891
Morgan Stanley:
2.00%, 9/22/2011 (a).................. 205,000 207,911
6.00%, 5/13/2014...................... 560,000 602,320
6.63%, 4/1/2018....................... 390,000 418,957
National Rural Utilities Cooperative
Finance Corp.
8.00%, 3/1/2032....................... 360,000 425,881
-------------
14,225,525
-------------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.4%
Deutsche Telekom International Finance
BV
6.75%, 8/20/2018...................... 210,000 232,985
Qwest Corp.
8.38%, 5/1/2016 (b)(d)................ 15,000 15,937
Telefonica Emisiones SAU
4.95%, 1/15/2015...................... 210,000 222,537
Verizon Communications, Inc.
6.40%, 2/15/2038...................... 430,000 453,954
-------------
925,413
-------------
ELECTRIC UTILITIES -- 1.3%
Duke Energy Carolinas LLC
7.00%, 11/15/2018 (a)................. 620,000 720,388
Pacific Gas & Electric Co.
4.80%, 3/1/2014....................... 880,000 927,761
Progress Energy, Inc.
7.75%, 3/1/2031....................... 405,000 476,395
San Diego Gas & Electric Co.
6.13%, 9/15/2037...................... 115,000 123,649
Virginia Electric and Power Co.
5.10%, 11/30/2012 (a)................. 360,000 387,782
-------------
2,635,975
-------------
FOOD & STAPLES RETAILING -- 0.6%
CVS Caremark Corp.
6.25%, 6/1/2027....................... 250,000 254,311
Safeway, Inc.
5.63%, 8/15/2014 (a).................. 215,000 232,511
Target Corp.
7.00%, 1/15/2038...................... 320,000 373,494
Wal-Mart Stores, Inc.
5.88%, 4/5/2027 (a)................... 330,000 347,903
-------------
1,208,219
-------------
FOOD PRODUCTS -- 0.5%
Archer-Daniels-Midland Co.
5.38%, 9/15/2035...................... 240,000 233,067
General Mills, Inc.
5.70%, 2/15/2017...................... 305,000 324,363
Kraft Foods, Inc.
5.63%, 11/1/2011 (a).................. 405,000 429,448
-------------
986,878
-------------
HEALTH CARE EQUIPMENT & SUPPLIES -- 0.1%
Baxter International, Inc.
6.25%, 12/1/2037...................... 155,000 169,425
-------------
HEALTH CARE PROVIDERS & SERVICES -- 0.5%
Express Scripts, Inc.
6.25%, 6/15/2014...................... 205,000 223,727
UnitedHealth Group, Inc.
5.25%, 3/15/2011 (a).................. 880,000 910,726
-------------
1,134,453
-------------
HOTELS, RESTAURANTS & LEISURE -- 0.2%
McDonald's Corp.
5.35%, 3/1/2018....................... 360,000 385,985
-------------
HOUSEHOLD PRODUCTS -- 0.2%
Kimberly-Clark Corp.
5.00%, 8/15/2013...................... 215,000 230,863
The Procter & Gamble Co.
5.55%, 3/5/2037 (a)................... 240,000 247,956
-------------
478,819
-------------
INDUSTRIAL CONGLOMERATES -- 0.2%
General Electric Co.
5.25%, 12/6/2017...................... 360,000 367,190
-------------
INSURANCE -- 1.0%
American International Group, Inc.
5.45%, 5/18/2017...................... 790,000 643,850
Berkshire Hathaway Finance Corp.
5.00%, 8/15/2013...................... 215,000 229,335
MetLife, Inc.
5.70%, 6/15/2035...................... 405,000 400,301
The Allstate Corp.
5.95%, 4/1/2036....................... 165,000 166,353
The Travelers Cos., Inc.
6.25%, 3/15/2037 (a)(d)(e)............ 405,000 368,550
XL Capital, Ltd.
6.50%, 12/31/2049 (a)(e).............. 405,000 299,700
-------------
2,108,089
-------------
MACHINERY -- 0.1%
Caterpillar, Inc.
6.05%, 8/15/2036...................... 165,000 175,498
-------------
MEDIA -- 0.9%
CBS Corp.
8.20%, 5/15/2014 (a).................. 210,000 241,500
Comcast Corp.:
6.40%, 5/15/2038...................... 210,000 214,496
6.50%, 1/15/2017...................... 330,000 362,300
News America, Inc.
6.15%, 3/1/2037....................... 240,000 238,801
The Walt Disney Co.
5.70%, 7/15/2011 (a).................. 215,000 229,046
Time Warner Cable, Inc.
5.85%, 5/1/2017....................... 330,000 347,185
</Table>
See accompanying notes to financial statements.
71
SPDR BARCLAYS CAPITAL AGGREGATE BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
Time Warner, Inc.
7.70%, 5/1/2032....................... $ 240,000 $ 278,760
-------------
1,912,088
-------------
METALS & MINING -- 0.5%
Alcoa, Inc.
5.38%, 1/15/2013...................... 215,000 223,600
Rio Tinto Finance USA, Ltd.
5.88%, 7/15/2013...................... 430,000 464,584
Vale Overseas, Ltd.
6.88%, 11/21/2036..................... 330,000 332,785
-------------
1,020,969
-------------
MULTI-UTILITIES -- 0.2%
MidAmerican Energy Holdings Co.
6.13%, 4/1/2036....................... 405,000 412,283
-------------
OFFICE ELECTRONICS -- 0.2%
Xerox Corp.
5.65%, 5/15/2013...................... 430,000 454,362
-------------
OIL, GAS & CONSUMABLE FUELS -- 1.9%
Anadarko Petroleum Corp.
5.95%, 9/15/2016...................... 330,000 356,576
Canadian Natural Resources, Ltd.
6.25%, 3/15/2038...................... 405,000 419,916
ConocoPhillips Canada Funding Co.
5.63%, 10/15/2016..................... 880,000 948,391
Kinder Morgan Energy Partners LP
5.80%, 3/15/2035...................... 175,000 161,161
Pemex Project Funding Master Trust
6.63%, 6/15/2035 (a).................. 115,000 109,135
Petrobras International Finance Co.:
5.75%, 1/20/2020...................... 105,000 106,197
6.88%, 1/20/2040...................... 105,000 106,885
Shell International Finance BV
6.38%, 12/15/2038..................... 220,000 246,082
Southern Natural Gas Co.
5.90%, 4/1/2017 (b)................... 880,000 901,151
Transocean, Inc.
6.00%, 3/15/2018...................... 155,000 164,865
Weatherford International, Inc.
6.80%, 6/15/2037 (a).................. 239,000 236,428
XTO Energy, Inc.
5.90%, 8/1/2012....................... 165,000 181,147
-------------
3,937,934
-------------
PHARMACEUTICALS -- 0.8%
Abbott Laboratories
5.60%, 5/15/2011...................... 305,000 323,664
AstraZeneca PLC
6.45%, 9/15/2037...................... 75,000 83,941
Eli Lilly & Co.
5.20%, 3/15/2017 (a).................. 225,000 238,966
GlaxoSmithKline Capital, Inc.
6.38%, 5/15/2038...................... 155,000 172,260
Pfizer, Inc.
6.20%, 3/15/2019 (a).................. 235,000 260,299
Schering-Plough Corp.
6.00%, 9/15/2017...................... 305,000 342,037
Wyeth
5.95%, 4/1/2037....................... 240,000 248,652
-------------
1,669,819
-------------
REAL ESTATE INVESTMENT TRUST -- 0.1%
Simon Property Group LP
5.60%, 9/1/2011....................... 265,000 277,322
-------------
ROAD & RAIL -- 0.3%
CSX Corp.
6.15%, 5/1/2037....................... 165,000 166,350
Norfolk Southern Corp.
7.70%, 5/15/2017...................... 330,000 392,370
-------------
558,720
-------------
SOFTWARE -- 0.2%
Oracle Corp.
5.00%, 1/15/2011 (a).................. 405,000 421,726
-------------
SPECIALTY RETAIL -- 0.2%
The Home Depot, Inc.
5.40%, 3/1/2016....................... 405,000 426,820
-------------
TOBACCO -- 0.2%
Philip Morris International, Inc.
4.88%, 5/16/2013...................... 430,000 454,391
-------------
WIRELESS TELECOMMUNICATION SERVICES -- 1.2%
AT&T Corp.
8.00%, 11/15/2031..................... 455,000 556,225
Embarq Corp.
7.08%, 6/1/2016 (a)................... 165,000 184,387
New Cingular Wireless Services, Inc.
8.13%, 5/1/2012....................... 405,000 458,390
Telecom Italia Capital
5.25%, 10/1/2015...................... 550,000 572,320
Verizon Global Funding Corp.
6.88%, 6/15/2012...................... 405,000 450,646
Vodafone Group PLC
5.63%, 2/27/2017 (a).................. 240,000 257,227
-------------
2,479,195
-------------
TOTAL CORPORATE BONDS & NOTES --
(Cost $52,848,018).................... 54,988,015
-------------
FOREIGN GOVERNMENT OBLIGATIONS -- 1.6%
Federal Republic of Brazil
8.25%, 1/20/2034...................... 360,000 458,100
Province of Ontario
4.95%, 6/1/2012....................... 455,000 488,561
Province of Quebec
7.50%, 9/15/2029...................... 455,000 575,672
Republic of Italy
5.63%, 6/15/2012...................... 790,000 860,011
United Mexican States
5.63%, 1/15/2017...................... 880,000 923,138
-------------
TOTAL FOREIGN GOVERNMENT OBLIGATIONS --
(Cost $3,232,822)..................... 3,305,482
-------------
U.S. GOVERNMENT AGENCY MBS TBA -- 45.3%
Fannie Mae
4.00%, 30yr TBA...................... 2,700,000 2,609,297
</Table>
See accompanying notes to financial statements.
72
SPDR BARCLAYS CAPITAL AGGREGATE BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
4.50%, 30yr TBA...................... $ 2,400,000 $ 2,395,875
5.00%, 15yr TBA...................... 2,900,000 3,034,125
5.50%, 30yr TBA...................... 16,000,000 16,752,500
5.50%, 30yr TBA...................... 16,000,000 16,985,000
6.00%, 15yr TBA...................... 700,000 749,000
6.00%, 30yr TBA...................... 1,500,000 1,588,594
6.50%, 30yr TBA...................... 4,000,000 4,283,125
Freddie Mac
4.00%, 15yr TBA...................... 2,000,000 2,013,750
4.50%, 15yr TBA...................... 3,250,000 3,341,406
4.50%, 30yr TBA...................... 5,200,000 5,187,812
5.00%, 30yr TBA...................... 11,500,000 11,792,891
5.50%, 15yr TBA...................... 2,000,000 2,115,000
6.00%, 30yr TBA...................... 8,300,000 8,796,703
Ginnie Mae
4.00%, 30yr TBA...................... 250,000 241,602
4.50%, 30yr TBA...................... 2,450,000 2,452,297
5.00%, 30yr TBA...................... 2,600,000 2,674,750
5.50%, 30yr TBA...................... 3,200,000 3,353,000
6.00%, 30yr TBA...................... 2,200,000 2,324,781
6.50%, 30yr TBA...................... 1,000,000 1,062,656
-------------
TOTAL U.S. GOVERNMENT
AGENCY MBS TBA --
(Cost $94,501,791).................... 93,754,164
-------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 6.9%
Fannie Mae
1.75%, 3/23/2011...................... 2,160,000 2,186,806
2.00%, 9/28/2012 (a).................. 545,000 542,524
2.50%, 5/15/2014 (a).................. 1,685,000 1,678,342
5.00%, 5/11/2017 (a).................. 1,210,000 1,312,385
7.13%, 1/15/2030 (a).................. 825,000 1,045,164
Federal Home Loan Bank
1.63%, 4/26/2011 (a).................. 1,025,000 1,036,191
5.13%, 8/14/2013 (a).................. 1,760,000 1,936,464
5.38%, 8/19/2011...................... 2,590,000 2,771,587
Freddie Mac
2.13%, 3/23/2012 (a).................. 1,090,000 1,107,508
5.00%, 4/18/2017 (a).................. 723,000 784,636
-------------
TOTAL U.S. GOVERNMENT
AGENCY OBLIGATIONS --
(Cost $14,131,761).................... 14,401,607
-------------
U.S. TREASURY OBLIGATIONS -- 25.1%
Treasury Bonds
3.50%, 2/15/2039 (a).................. 360,000 294,908
4.38%, 2/15/2038 (a)(f)............... 2,800,000 2,690,800
5.38%, 2/15/2031 (a).................. 875,000 967,172
6.75%, 8/15/2026 (a).................. 1,680,000 2,119,622
7.50%, 11/15/2016 (a)................. 515,000 649,271
7.88%, 2/15/2021 (a).................. 240,000 322,973
8.75%, 8/15/2020 (a).................. 1,130,000 1,598,814
8.88%, 8/15/2017 (a).................. 713,000 972,225
Treasury Notes
1.00%, 8/31/2011 (a).................. 1,000,000 1,000,560
1.13%, 12/15/2011 (a)................. 2,565,000 2,566,205
1.38%, 5/15/2012 (a)(f)............... 5,475,000 5,475,274
1.88%, 4/30/2014 (a).................. 2,055,000 2,013,160
2.38%, 10/31/2014 (a)................. 2,055,000 2,032,827
2.75%, 10/31/2013 (a)................. 2,565,000 2,627,124
2.75%, 11/30/2016 (a)................. 3,080,000 2,966,441
3.13%, 8/31/2013 (a)(f)............... 3,445,000 3,580,492
3.13%, 10/31/2016 (a)................. 2,155,000 2,127,869
3.13%, 5/15/2019 (a)(f)............... 3,850,000 3,646,181
4.13%, 5/15/2015 (a)(f)............... 3,440,000 3,668,588
4.25%, 8/15/2013 (a).................. 1,500,000 1,618,440
4.50%, 9/30/2011 (a).................. 2,250,000 2,385,945
4.75%, 8/15/2017 (a).................. 2,425,000 2,631,173
4.88%, 4/30/2011 (a)(f)............... 3,570,000 3,760,603
5.13%, 5/15/2016 (a).................. 310,000 345,898
-------------
TOTAL U.S. TREASURY
OBLIGATIONS --
(Cost $53,345,151).................... 52,062,565
-------------
COMMERCIAL MORTGAGE BACKED SECURITIES -- 3.3%
Banc of America Commercial Mortgage,
Inc.
5.66%, 6/10/2049 (b)(e)............... 250,000 206,505
Bear Stearns Commercial Mortgage
Securities
4.75%, 2/13/2046 (e).................. 550,000 538,178
Countrywide Commercial Mortgage Trust
5.38%, 8/12/2048...................... 400,000 309,265
GE Capital Commercial Mortgage Corp.
5.54%, 12/10/2049 (e)................. 400,000 319,001
Greenwich Capital Commercial Funding
Corp.
4.80%, 8/10/2042 (e).................. 500,000 473,093
GS Mortgage Securities Corp. II
5.40%, 8/10/2038 (e).................. 475,000 467,125
5.55%, 4/10/2038 (e).................. 500,000 449,637
JPMorgan Chase Commercial Mortgage
Securities Corp.
4.87%, 3/15/2046 (e).................. 250,000 240,037
4.88%, 1/12/2038 (e).................. 500,000 508,732
5.44%, 6/12/2047 (e).................. 510,000 442,736
5.81%, 6/12/2043 (e).................. 500,000 477,444
LB-UBS Commercial Mortgage Trust
4.37%, 3/15/2036 (e).................. 450,000 433,029
4.51%, 12/15/2029 (e)................. 500,000 480,856
5.07%, 6/15/2029 (e).................. 250,000 251,499
Morgan Stanley Capital I
5.51%, 11/12/2049 (e)................. 475,000 446,998
5.61%, 4/15/2049...................... 205,000 206,912
Wachovia Bank Commercial
Mortgage Trust
4.96%, 11/15/2035 (e)................. 500,000 508,937
-------------
TOTAL COMMERCIAL
MORTGAGE BACKED SECURITIES --
(Cost $6,069,147)..................... 6,759,984
-------------
</Table>
See accompanying notes to financial statements.
73
SPDR BARCLAYS CAPITAL AGGREGATE BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
ASSET BACKED -- 0.5%
CREDIT CARD RECEIVABLES -- 0.5%
Capital One Multi-Asset
Execution Trust
5.05%, 2/15/2016...................... $ 245,000 $ 260,766
Citibank Credit Card Issuance Trust:
4.90%, 6/23/2016...................... 200,000 211,128
5.35%, 2/7/2020....................... 295,000 312,473
5.65%, 9/20/2019...................... 200,000 216,141
USAA Auto Owner Trust
2.53%, 7/15/2015...................... 40,000 39,771
-------------
TOTAL ASSET BACKED --
(Cost $988,533)....................... 1,040,279
-------------
MUNICIPAL BONDS AND NOTES -- 0.3%
CALIFORNIA -- 0.1%
California, State General Obligation:
5.95%, 4/1/2016....................... 35,000 35,470
7.30%, 10/1/2039...................... 200,000 188,372
-------------
223,842
-------------
GEORGIA -- 0.1%
Georgia, State General Obligation
4.50%, 11/1/2025...................... 200,000 195,644
-------------
ILLINOIS -- 0.1%
Illinois, State General Obligation
5.10%, 6/1/2033....................... 200,000 166,580
-------------
TOTAL MUNICIPAL BONDS AND NOTES --
(Cost $613,596)....................... 586,066
-------------
<Caption>
SHARES
------
SHORT TERM INVESTMENTS -- 52.7%
MONEY MARKET FUNDS -- 52.7%
State Street Institutional Liquid
Reserves Fund (f)(g).................. 73,515,584 73,515,584
State Street Navigator Securities
Lending Prime Portfolio (g)(h)........ 35,669,261 35,669,261
-------------
TOTAL SHORT TERM INVESTMENTS -- (I)
(Cost $109,184,845)................... 109,184,845
-------------
TOTAL INVESTMENTS -- 162.2% (J)
(Cost $334,915,664)................... 336,083,007
OTHER ASSETS AND
LIABILITIES -- (62.2)%................ (128,929,457)
-------------
NET ASSETS -- 100.0%.................... $ 207,153,550
=============
</Table>
<Table>
(a) Security, or portion thereof, was on loan as of December
31, 2009.
(b) Securities purchased pursuant to Rule 144A of the
Securities Act of 1933. These securities, which represent
0.7% of net assets as of December 31, 2009, are
considered liquid and may be resold in transactions
exempt from registration, normally to qualified
institutional buyers.
(c) Floating Rate Note -- Interest rate shown is rate in
effect at December 31, 2003. Date disclosed is the next
interest rate reset date.
(d) Security is valued at fair value as determined in good
faith by the Trust's Pricing and Investment Committee in
accordance with procedures approved by the Board of
Trustees.
(e) Variable Rate Security. Rate shown is rate in effect at
December 31, 2009.
(f) Security or a portion thereof, has been designated as
collateral for TBA securities.
(g) Affiliated Fund managed by SSgA Funds Management, Inc.
(Note 3)
(h) Investments of cash collateral for securities loaned.
(i) Value determined based on Level 1 inputs. (Note 2)
(j) Unless otherwise indicated, the values of the securities
of the Fund are determined based on Level 2 inputs. (Note
2)
</Table>
TBA = To Be Announced
See accompanying notes to financial statements.
74
SPDR BARCLAYS CAPITAL MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
MUNICIPAL BONDS AND NOTES -- 98.8%
ALABAMA -- 0.6%
Alabama, Auburn University, General Fee
Revenue
5.00%, 6/1/2038 (a)................... $ 2,200,000 $ 2,255,968
Alabama, Public School & College
Authority
5.00%, 12/1/2023...................... 1,500,000 1,594,455
Birmingham, AL, Capital Investment
Series A 4.50%, 12/1/2027 (a)......... 1,000,000 980,680
------------
4,831,103
------------
ALASKA -- 0.3%
Alaska, State General Obligation
Series A 5.00%, 8/1/2024.............. 2,580,000 2,894,579
------------
ARIZONA -- 2.9%
Arizona, Salt River Project,
Agricultural Improvement & Power
District:
Series A 5.00%, 1/1/2016.............. 500,000 571,186
Series A 5.00%, 1/1/2027.............. 2,500,000 2,697,825
Arizona, State Transportation Board,
Excise Tax Revenue
5.00%, 7/1/2021....................... 1,500,000 1,652,235
Arizona, State Transportation Board,
Highway Revenue
Series A 5.00%, 7/1/2028.............. 7,145,000 7,660,155
Chandler, AZ, General Obligation
4.25%, 7/1/2026....................... 5,000,000 5,107,250
Maricopa County, AZ, Community College
District, General Obligation
Series C 3.00%, 7/1/2022.............. 2,000,000 1,870,560
Phoenix, AZ, Civic Improvement Corp.,
Wastewater System Revenue, Senior Lien
5.50%, 7/1/2019....................... 1,000,000 1,137,090
Phoenix, AZ, General Obligation
Series A 5.00%, 7/1/2017.............. 1,000,000 1,146,920
Pima County, AZ, Industrial Development
Authority, Lease Revenue
5.00%, 9/1/2039....................... 2,000,000 1,945,620
------------
23,788,841
------------
CALIFORNIA -- 11.2%
Anaheim, CA, Public Financing Authority,
Revenue
4.50%, 10/1/2037 (a).................. 4,000,000 3,537,000
Azusa, CA, Public Financing Authority,
Revenue
5.00%, 7/1/2039 (a)................... 1,200,000 1,210,548
California, Golden Empire Schools
Financing Authority, Lease Revenue
4.00%, 5/1/2010....................... 4,000,000 4,027,520
California, State Department of Water
Resources Revenue
Series AG 5.00%, 12/1/2025............ 5,760,000 6,325,805
California, State Public Works Board,
Lease Revenue
Series D 5.00%, 5/1/2025.............. 1,000,000 1,028,600
California, State University Revenue:
Series A 4.50%, 11/1/2044 (a)......... 6,090,000 5,159,083
Series A 5.00%, 11/1/2037 (a)......... 1,000,000 988,080
Foothill-De Anza, CA, Community College
District, General Obligation
Series B 5.00%, 8/1/2027 (a).......... 4,475,000 4,628,671
Los Angeles County, CA, Metropolitan
Transportation Authority, Sales Tax
Revenue
Series A 5.00%, 7/1/2027 (a).......... 3,780,000 3,962,612
Los Angeles, CA, Unified School
District:
Series B 4.75%, 7/1/2019 (a).......... 3,485,000 3,673,713
Series A-1 5.00%, 7/1/2016 (a)........ 3,000,000 3,247,470
Series A 5.00%, 7/1/2018 (a).......... 900,000 972,846
Series H 5.00%, 7/1/2021 (a).......... 2,695,000 2,905,803
Los Angeles, CA, Wastewater System
Revenue
Series A 5.00%, 6/1/2029.............. 1,000,000 1,073,640
Metropolitan Water District of Southern
California, Waterworks Revenue
Series A 5.00%, 1/1/2029.............. 4,900,000 5,228,692
Rancho Santiago, CA, Community College
District, General Obligation
5.00%, 9/1/2026 (a)................... 3,535,000 3,686,651
San Diego, CA, Community College
District
5.00%, 5/1/2020 (a)................... 2,720,000 2,905,450
San Diego, CA, Unified School District:
Series G-1 4.50%, 7/1/2029 (a)........ 4,000,000 3,948,880
Series C-2 5.50%, 7/1/2019 (a)........ 1,600,000 1,814,928
San Francisco, CA, Bay Area Rapid
Transit District:
Series B 5.00%, 8/1/2022.............. 1,500,000 1,648,455
Series B 5.00%, 8/1/2032.............. 1,600,000 1,681,152
San Francisco, CA, Bay Area Toll
Authority, Toll Bridge Revenue
Series F 5.00%, 4/1/2031.............. 7,275,000 7,414,898
San Francisco, CA, City & County Public
Utilities Commission, Water Revenue
Series A 4.50%, 11/1/2031 (a)......... 1,000,000 967,520
San Francisco, CA, Community College
District
Series B 5.00%, 6/15/2028 (a)......... 5,225,000 5,354,319
San Jose, CA, Evergreen Community
College District
Series A Zero Coupon, 9/1/2020 (a).... 2,500,000 1,412,775
University of California, Revenue:
Series J 4.50%, 5/15/2031 (a)......... 3,000,000 2,963,340
Series J 4.50%, 5/15/2035 (a)......... 2,000,000 1,926,640
Series B 4.75%, 5/15/2038............. 1,300,000 1,233,960
Series E 5.00%, 5/15/2014 (a)......... 3,180,000 3,608,950
West Valley-Mission Community College
District, CA, Election 2004-A
5.00%, 8/1/2030 (a)................... 2,000,000 2,036,900
------------
90,574,901
------------
</Table>
See accompanying notes to financial statements.
75
SPDR BARCLAYS CAPITAL MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
COLORADO -- 1.3%
Cherry Creek, CO, Arapahoe County School
District, General Obligation
Series B 5.50%, 12/15/2013 (a)........ $ 2,030,000 $ 2,344,691
Douglas County, CO, School District
Series B 5.00%, 12/15/2019............ 2,000,000 2,231,700
Platte River, CO, Power Authority
Revenue:
Series HH 5.00%, 6/1/2024............. 1,255,000 1,377,249
Series HH 5.00%, 6/1/2029............. 1,000,000 1,067,190
University of Colorado, Enterprise
System Revenue
5.00%, 6/1/2023 (a)................... 3,000,000 3,198,390
------------
10,219,220
------------
CONNECTICUT -- 1.1%
Connecticut, State General Obligation:
Series A 4.50%, 5/1/2026.............. 1,000,000 1,048,220
Series C 5.00%, 4/1/2011 (a).......... 2,000,000 2,111,780
Series B 5.00%, 4/15/2012............. 5,000,000 5,458,150
------------
8,618,150
------------
DELAWARE -- 0.5%
Delaware, State General Obligation
5.00%, 3/1/2013....................... 1,000,000 1,124,820
New Castle County, DE, General
Obligation
Series A 5.00%, 7/15/2039............. 2,500,000 2,653,075
------------
3,777,895
------------
DISTRICT OF COLUMBIA -- 1.3%
District of Columbia, Water & Sewer
Authority, Public Utility Revenue
Series A 5.50%, 10/1/2039............. 5,000,000 5,425,200
Metropolitan Washington, DC, Airports
Authority System
Series C 5.00%, 10/1/2028............. 5,000,000 5,278,450
------------
10,703,650
------------
FLORIDA -- 3.9%
Florida, State Board of Education,
Capital Outlay:
Series B 5.00%, 6/1/2015.............. 2,600,000 2,958,930
Series A 5.00%, 6/1/2016.............. 900,000 1,021,509
Series A 5.00%, 6/1/2017.............. 5,000,000 5,666,400
Series D 5.00%, 6/1/2024.............. 7,550,000 8,263,248
Florida, State Board of Education,
General Obligation
Series B 5.25%, 6/1/2013.............. 2,000,000 2,255,680
Gainesville, FL, Utility System Revenue,
Series A 5.00%, 10/1/2035 (a)
(Pre-refunded)........................ 900,000 1,044,549
JEA, FL, Bulk Power Supply System
Revenue, Scherer 4 Project
Series A 5.63%, 10/1/2033............. 5,000,000 5,297,400
Palm Beach County, FL, Public
Improvement Revenue
5.00%, 5/1/2038....................... 5,000,000 5,129,700
------------
31,637,416
------------
GEORGIA -- 3.0%
Atlanta, GA, Metropolitan Rapid Transit
Authority, Sales Tax Revenue
Series B 5.00%, 7/1/2037 (a).......... 6,875,000 7,131,163
Augusta, GA, Water & Sewer Revenue
5.00%, 10/1/2014 (a).................. 1,085,000 1,246,708
De Kalb County, GA, General Obligation
5.00%, 12/1/2014...................... 1,495,000 1,735,277
De Kalb County, GA, Water & Sewer
Revenue
Series B 5.25%, 10/1/2024............. 3,000,000 3,569,670
Georgia, State General Obligation:
Series B 5.00%, 4/1/2012.............. 2,000,000 2,190,460
Series B 5.00%, 7/1/2022.............. 4,500,000 5,094,180
Series B 5.00%, 7/1/2024.............. 1,145,000 1,281,747
Milledgeville -- Baldwin County, GA,
Development Authority,
5.50%, 9/1/2024
(Pre-refunded)........................ 1,500,000 1,778,910
------------
24,028,115
------------
HAWAII -- 1.3%
Hawaii, State General Obligation:
Series DF 5.00%, 7/1/2020 (a)......... 1,360,000 1,481,557
Series DJ 5.00%, 4/1/2023 (a)......... 900,000 986,796
Series DI 5.00%, 3/1/2025 (a)......... 5,000,000 5,374,450
Hawaii, State Highway Revenue
Series B 5.00%, 7/1/2015 (a).......... 1,285,000 1,468,549
Honolulu, HI, City & County General
Obligation
Series A 5.00%, 7/1/2029 (a).......... 1,500,000 1,577,370
------------
10,888,722
------------
ILLINOIS -- 3.4%
Chicago, IL, General Obligation:
Series A 5.00%, 1/1/2015 (a).......... 900,000 1,021,572
Series B 5.00%, 1/1/2022 (a).......... 1,000,000 1,060,440
Chicago, IL, Metropolitan Water
Reclamation District:
Series A 5.00%, 12/1/2020............. 1,000,000 1,149,630
Series C 5.25%, 12/1/2032............. 5,000,000 5,815,900
Chicago, IL, O'Hare International
Airport Revenue
Series A 5.00%, 1/1/2038 (a).......... 1,500,000 1,525,665
Chicago, IL, Water Revenue
5.25%, 11/1/2038...................... 2,500,000 2,614,700
Illinois, Finance Authority Revenue,
University of Chicago
Series B 6.25%, 7/1/2038.............. 5,000,000 5,592,850
Illinois, State General Obligation
Series A 5.00%, 6/1/2021.............. 5,000,000 5,439,700
Kendall, Kane, & Will Counties, IL,
School District No. 308, General
Obligation
Zero Coupon, 2/1/2022 (a)............. 5,000,000 2,804,000
</Table>
See accompanying notes to financial statements.
76
SPDR BARCLAYS CAPITAL MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
Southwestern, IL, Development Authority
Revenue
Zero Coupon, 12/1/2021 (a)............ $ 1,125,000 $ 646,402
------------
27,670,859
------------
INDIANA -- 1.9%
Indiana, State Finance Authority,
Highway Revenue:
Series A 4.50%, 12/1/2020 (a)......... 1,000,000 1,032,300
Series A 4.50%, 6/1/2027 (a).......... 9,000,000 9,058,050
Indiana, State Finance Authority, Lease
Revenue
Series A-1 5.00%, 11/1/2015........... 3,000,000 3,306,300
Indiana, State Finance Authority, State
Revolving Fund Program Revenue
Series B 5.00%, 2/1/2018.............. 1,535,000 1,717,819
------------
15,114,469
------------
KANSAS -- 0.3%
Kansas, State Department of
Transportation, Highway Revenue
Series A 5.00%, 9/1/2011.............. 2,000,000 2,141,740
------------
KENTUCKY -- 0.5%
Kentucky, State Property & Buildings
Commission
5.00%, 8/1/2013 (a)................... 1,000,000 1,115,280
Kentucky, State Turnpike Authority,
Economic Development Road Revenue
5.00%, 7/1/2025 (a)................... 1,500,000 1,576,245
Kentucky, State Turnpike Authority,
Economic Recovery
Series B 4.50%, 7/1/2023.............. 1,285,000 1,331,787
------------
4,023,312
------------
LOUISIANA -- 0.7%
Louisiana, State Gas & Fuels Tax Revenue
Series A 5.00%, 5/1/2031 (a).......... 5,365,000 5,573,591
------------
MARYLAND -- 1.9%
Maryland, State Department of
Transportation, Highway Revenue:
5.00%, 2/15/2015...................... 1,500,000 1,711,980
5.00%, 2/15/2017...................... 1,925,000 2,202,874
Maryland, State General Obligation:
5.00%, 8/1/2012....................... 1,250,000 1,383,250
Series C 5.00%, 3/1/2017.............. 2,900,000 3,380,327
Series A 5.25%, 2/15/2013............. 1,000,000 1,131,060
Montgomery County, MD, Public
Improvement
Series A 5.00%, 7/1/2016.............. 1,500,000 1,743,720
Montgomery, MD, General Obligation
Series A 5.00%, 9/1/2015.............. 3,430,000 3,891,438
------------
15,444,649
------------
MASSACHUSETTS -- 5.7%
Massachusetts, Bay Transportation
Authority, Revenue
Series A 5.00%, 7/1/2029.............. 3,000,000 3,468,000
Massachusetts, Bay Transportation
Authority, Sales Tax Revenue:
Series A 5.00%, 7/1/2021.............. 1,000,000 1,142,900
Series B 5.50%, 7/1/2027 (a).......... 1,200,000 1,438,344
Massachusetts, School Building
Authority:
Series A 5.00%, 8/15/2024 (a)......... 1,000,000 1,072,590
Series A 5.00%, 8/15/2026 (a)......... 3,000,000 3,189,540
Series A 5.00%, 8/15/2030 (a)......... 2,700,000 2,820,528
Massachusetts, State Construction Loan
Series B 5.00%, 8/1/2015.............. 1,310,000 1,501,260
Massachusetts, State General Obligation:
Series A 5.25%, 8/1/2019.............. 900,000 1,043,784
Series B 5.25%, 9/1/2024 (a).......... 5,000,000 5,895,200
Series C 5.50%, 12/1/2022 (a)......... 11,000,000 13,268,090
Massachusetts, State Health &
Educational Facilities Authority
Revenue
Series A 5.50%, 11/15/2036............ 2,000,000 2,218,660
Massachusetts, State Tax Revenue
5.00%, 1/1/2034 (a)................... 1,000,000 1,131,200
Massachusetts, State Water Pollution
Abatement Trust
5.25%, 8/1/2033....................... 2,000,000 2,348,740
Massachusetts, State Water Resources
Authority
Series A 5.13%, 8/1/2026 (a).......... 5,000,000 5,316,350
------------
45,855,186
------------
MICHIGAN -- 0.2%
Michigan, Municipal Bond Authority
Revenue
5.00%, 10/1/2022...................... 1,700,000 1,842,205
------------
MINNESOTA -- 0.8%
Minnesota, State General Obligation:
5.00%, 6/1/2015....................... 1,820,000 2,110,399
5.00%, 11/1/2016...................... 1,820,000 2,117,224
5.00%, 6/1/2018....................... 1,940,000 2,203,142
------------
6,430,765
------------
MISSISSIPPI -- 0.1%
Mississippi, State General Obligation
5.00%, 12/1/2013...................... 1,000,000 1,137,890
------------
MISSOURI -- 0.9%
Missouri, State Highways & Transit
Commission, State Road Revenue,
Second Lien:
5.25%, 5/1/2019....................... 4,000,000 4,570,400
5.25%, 5/1/2020....................... 1,000,000 1,133,480
Missouri, State Regional Convention &
Sports Complex Authority
5.25%, 8/15/2016 (a).................. 1,800,000 1,930,464
------------
7,634,344
------------
</Table>
See accompanying notes to financial statements.
77
SPDR BARCLAYS CAPITAL MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
MONTANA -- 0.3%
Montana, State Department of
Transportation Revenue
5.00%, 6/1/2015 (a)................... $ 2,130,000 $ 2,434,526
------------
NEBRASKA -- 0.6%
Omaha, NE, Public Power District
Series A 5.00%, 2/1/2039.............. 5,000,000 5,103,050
------------
NEVADA -- 3.0%
Clark County, NV, General Obligation:
4.50%, 6/1/2018 (a)................... 1,475,000 1,529,752
4.75%, 6/1/2025 (a)................... 1,735,000 1,776,276
5.00%, 11/1/2020 (a).................. 1,000,000 1,062,180
Clark County, NV, Highway Improvement
Revenue
5.00%, 7/1/2012 (a)................... 1,000,000 1,087,400
Clark County, NV, School District,
General Obligation:
Series B 4.50%, 6/15/2016 (a)......... 1,010,000 1,091,365
Series A 5.00%, 6/15/2014 (a)......... 900,000 1,005,660
Series D 5.00%, 6/15/2017 (a)......... 4,815,000 5,194,470
Las Vegas Valley, NV, Water District,
General Obligation
Series B 5.00%, 6/1/2015.............. 1,500,000 1,665,150
Nevada, State General Obligation
Series F 5.00%, 12/1/2021 (a)......... 8,725,000 9,262,373
Nevada, State Highway Improvement
Revenue
5.00%, 12/1/2017 (a).................. 1,000,000 1,097,030
------------
24,771,656
------------
NEW JERSEY -- 2.0%
New Jersey, Recreational Facility
Improvements Revenue
Series A 5.80%, 11/1/2018 (a)......... 1,000,000 1,157,700
New Jersey, State Educational Facilities
Authority Revenue, Higher Education
Capital Improvement
Series A 5.00%, 9/1/2018 (a).......... 735,000 782,532
New Jersey, State General Obligation
5.00%, 6/1/2019....................... 9,565,000 10,878,275
New Jersey, State Transportation Trust
Fund Authority:
Series C Zero Coupon, 12/15/2029 (a).. 2,585,000 867,655
Series A 5.25%, 6/15/2012 (a)
(Escrow to Maturity).................. 1,305,000 1,445,470
New Jersey, State Turnpike Authority
Series A 5.25%, 1/1/2027 (a).......... 1,000,000 1,099,680
------------
16,231,312
------------
NEW MEXICO -- 1.1%
Albuquerque, NM, Municipal School
District, General Obligation
Series A 4.00%, 8/1/2022.............. 6,650,000 6,879,957
New Mexico, Severance Tax
Series A-1 4.00%, 7/1/2014............ 2,000,000 2,150,840
------------
9,030,797
------------
NEW YORK -- 17.0%
Erie County, NY, Industrial Development
Agency Revenue:
Series A 5.75%, 5/1/2019 (a).......... 1,500,000 1,723,020
Series A 5.75%, 5/1/2021 (a).......... 3,000,000 3,360,390
Nassau County, NY, Sewer & Storm Water
Finance Authority, System Revenue
Series A 5.38%, 11/1/2028............. 1,275,000 1,414,128
New York & New Jersey, Port Authority
Revenue:
156th Series 4.75%, 11/1/2036......... 7,000,000 7,036,260
144th Series 5.00%, 10/1/2028......... 3,000,000 3,195,480
144th Series 5.00%, 12/1/2029......... 1,500,000 1,587,285
New York, NY, City Municipal Water
Finance Authority:
Series DD 4.50%, 6/15/2038............ 2,310,000 2,237,859
Series DD 4.63%, 6/15/2031............ 1,030,000 1,042,545
Series C 4.75%, 6/15/2033 (a)......... 5,000,000 5,002,600
Series C 4.75%, 6/15/2033............. 1,000,000 1,000,520
Series C 5.00%, 6/15/2035............. 2,320,000 2,369,903
Series A 5.00%, 6/15/2038............. 1,000,000 1,028,110
Series D 5.00%, 6/15/2038............. 1,000,000 1,023,870
New York, NY, City Transitional Finance
Authority:
Series D-1 5.00%, 11/1/2013........... 1,500,000 1,705,515
Series B 5.00%, 11/1/2014............. 1,050,000 1,200,245
Series A-2 5.00%, 11/1/2017........... 4,500,000 4,943,925
Series C-1 5.00%, 11/1/2020........... 900,000 989,028
Series B 5.00%, 8/1/2021.............. 2,725,000 2,975,700
Series B 5.00%, 11/1/2026............. 10,000,000 10,726,900
New York, NY, General Obligation:
Series C-1 5.00%, 10/1/2012........... 1,400,000 1,534,400
Series C 5.00%, 8/1/2015.............. 5,000,000 5,615,600
Series C 5.00%, 11/15/2016............ 5,000,000 5,705,350
Series B-1 5.25%, 9/1/2023............ 7,180,000 7,819,666
New York, NY, Triborough Bridge & Tunnel
Authority Revenue:
Series A-2 5.00%, 11/15/2029.......... 12,620,000 13,350,193
Series B 5.25%, 8/1/2015.............. 2,000,000 2,231,480
New York, State Dormitory Authority
Revenue, State Supported Debt
Series A 5.00%, 7/1/2038.............. 3,350,000 3,467,049
New York, State Dormitory Authority,
State Income Tax Revenue:
Series D 5.00%, 3/15/2016............. 1,800,000 2,042,226
Series B 5.00%, 3/15/2028............. 5,000,000 5,365,200
New York, State Environmental Facscorp
Series A 4.50%, 6/15/2036............. 1,500,000 1,502,790
New York, State Housing Finance Agency,
Personal Income Tax Revenue
Series A 5.00%, 3/15/2039............. 2,000,000 2,065,340
New York, State Local Government
Assistance Corp.
Series A 5.00%, 4/1/2020.............. 3,000,000 3,344,430
New York, State Thruway Authority
Series G 4.75%, 1/1/2030 (a).......... 920,000 927,507
</Table>
See accompanying notes to financial statements.
78
SPDR BARCLAYS CAPITAL MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
New York, State Thruway Authority,
Highway & Bridge Trust Fund:
Series B 5.00%, 4/1/2014 (a).......... $ 2,000,000 $ 2,257,240
5.00%, 4/1/2021 (a)................... 3,000,000 3,207,750
New York, State Thruway Authority,
Personal Income Tax Revenue:
Series A 5.00%, 3/15/2028............. 2,000,000 2,139,440
Series A 5.00%, 3/15/2029............. 2,000,000 2,135,000
New York, State Thruway Authority,
Second General Highway & Bridge
Trust Fund:
Series B 5.00%, 4/1/2019.............. 5,400,000 6,043,680
Series A 5.00%, 4/1/2020 (a).......... 3,000,000 3,225,630
Series A 5.00%, 4/1/2021.............. 500,000 547,615
New York, State Urban Development Corp.
Revenue:
Series B 3.63%, 3/15/2012............. 710,000 749,341
Series A-1 5.00%, 12/15/2016.......... 2,000,000 2,298,920
Series B 5.00%, 3/15/2020............. 3,000,000 3,285,780
Series A-1 5.00%, 12/15/2022 (a)...... 1,000,000 1,079,260
Series B-1 5.00%, 3/15/2036........... 1,000,000 1,034,950
------------
137,539,120
------------
NORTH CAROLINA -- 2.5%
Charlotte, NC, Water & Sewer System
Revenue
5.00%, 7/1/2038....................... 3,000,000 3,163,260
Mecklenburg County, NC, General
Obligation:
Series A 4.00%, 8/1/2015.............. 3,135,000 3,479,599
Series A 5.00%, 8/1/2015.............. 1,000,000 1,162,510
North Carolina, Infrastructure Finance
Corp. Certificates of Participation
Series A 5.00%, 2/1/2020 (a).......... 1,275,000 1,404,731
North Carolina, State Capital
Improvement Obligation
Series A 4.50%, 5/1/2026.............. 4,500,000 4,645,080
North Carolina, State General Obligation
Series B 5.00%, 4/1/2016.............. 2,000,000 2,325,860
University of North Carolina, Chapel
Hill
5.00%, 12/1/2031...................... 3,640,000 3,876,782
------------
20,057,822
------------
OHIO -- 1.3%
Columbus, OH, General Obligation
Series A 5.00%, 9/1/2018.............. 1,500,000 1,705,920
Ohio, State Common Schools, General
Obligation
Series C 5.00%, 9/15/2015............. 5,000,000 5,713,300
Ohio, University of Akron, General
Receipts:
Series A 5.00%, 1/1/2033 (a).......... 1,000,000 1,012,470
Series B 5.25%, 1/1/2023 (a).......... 1,970,000 2,125,729
------------
10,557,419
------------
OREGON -- 0.8%
Oregon, State Department of
Transportation Revenue:
Series C 5.00%, 11/15/2015............ 1,500,000 1,732,305
Series A 5.00%, 11/15/2033............ 1,500,000 1,601,565
Portland, OR, Sewer System Revenue
Series A 5.00%, 6/1/2015 (a).......... 1,730,000 1,987,805
Salem-Keizer, OR, School District No.
24J, General Obligation
Series B Zero Coupon, 6/15/2021....... 2,010,000 1,218,864
------------
6,540,539
------------
PENNSYLVANIA -- 3.6%
Central Bucks, PA, School District
5.00%, 5/15/2023...................... 2,500,000 2,794,575
Pennsylvania, Commonwealth Financing
Authority Revenue
Series A 5.00%, 6/1/2025 (a).......... 1,925,000 2,047,257
Pennsylvania, State General Obligation:
Series A 4.50%, 11/1/2021............. 1,390,000 1,500,102
Series A 5.00%, 11/1/2013............. 1,000,000 1,137,410
5.00%, 3/15/2015...................... 4,750,000 5,474,565
5.00%, 5/15/2015...................... 1,000,000 1,152,790
5.00%, 7/1/2015....................... 5,000,000 5,758,850
5.38%, 7/1/2016 (a)................... 3,000,000 3,521,310
5.00%, 4/15/2021...................... 5,000,000 5,687,000
------------
29,073,859
------------
RHODE ISLAND -- 0.5%
Rhode Island, State & Providence
Plantations, Consolidated Capital
Development:
Series E 4.70%, 11/1/2025............. 3,000,000 3,131,670
Series C 5.00%, 11/15/2025 (a)........ 1,000,000 1,081,210
------------
4,212,880
------------
SOUTH CAROLINA -- 0.5%
Charleston County, SC, Sales Tax Revenue
5.00%, 11/1/2018...................... 2,000,000 2,291,880
South Carolina, State Public Service
Authority
Series C 5.00%, 1/1/2016 (a).......... 1,275,000 1,445,123
------------
3,737,003
------------
TENNESSEE -- 1.3%
Chattanooga, TN, Electric Revenue
Series A 5.00%, 9/1/2027.............. 5,950,000 6,424,631
Nashville & Davidson County, TN, Health
& Educational Facilities Board
Revenue:
Series A 5.00%, 10/1/2013............. 2,000,000 2,272,900
Series B 5.00%, 10/1/2039............. 1,000,000 1,051,890
Shelby County, TN, General Obligation
5.00%, 4/1/2019....................... 1,080,000 1,238,987
------------
10,988,408
------------
</Table>
See accompanying notes to financial statements.
79
SPDR BARCLAYS CAPITAL MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
TEXAS -- 12.7%
Austin, TX, Electrical Utilities System
Revenue
5.00%, 11/15/2035 (a)................. $ 5,100,000 $ 5,203,479
Cypress-Fairbanks, TX, Independent
School District
5.00%, 2/15/2023 (a).................. 5,000,000 5,449,250
Dallas, TX, Area Rapid Transit, Sales
Tax Revenue:
4.50%, 12/1/2027 (a).................. 6,500,000 6,607,770
Series A 5.00%, 12/1/2015............. 6,785,000 7,790,605
Dallas, TX, General Obligation:
4.75%, 2/15/2026...................... 1,500,000 1,550,760
5.00%, 2/15/2024...................... 2,055,000 2,162,929
5.00%, 2/15/2027...................... 1,750,000 1,880,130
Denton, TX, Independent School District,
General Obligation
5.00%, 8/15/2028 (a).................. 1,000,000 1,073,820
Harris County, TX, General Obligation
Series A 5.25%, 10/1/2017............. 2,350,000 2,736,175
Harris County, TX, Road Revenue
Series B 5.25%, 8/15/2047............. 3,000,000 3,111,270
Houston, TX, Airport System Revenue,
Senior Lien
Series A 5.50%, 7/1/2034.............. 1,850,000 1,945,959
Houston, TX, Public Improvement:
Series D 5.00%, 3/1/2017 (a).......... 5,000,000 5,569,700
Series B 5.00%, 3/1/2023 (a).......... 4,000,000 4,252,120
Houston, TX, Utility System Revenue:
Series A 5.25%, 11/15/2017 (a)........ 900,000 1,013,274
Series A 5.25%, 11/15/2031 (a)........ 4,600,000 4,864,454
La Joya, TX, Independent School District
5.00%, 2/15/2034 (a).................. 3,300,000 3,461,205
Prosper, TX, Independent School District
5.00%, 2/15/2038 (a).................. 1,000,000 1,035,000
Texas, State General Obligation:
Series B 4.25%, 8/1/2026.............. 5,000,000 5,111,700
4.75%, 4/1/2036....................... 1,000,000 999,930
Series A 5.00%, 10/1/2014............. 3,795,000 4,360,607
5.00%, 4/1/2029....................... 3,000,000 3,204,210
Texas, State Transportation Commission:
Series A 4.50%, 4/1/2030 (a).......... 3,000,000 3,014,550
5.00%, 4/1/2019....................... 5,000,000 5,563,350
Series A 5.00%, 4/1/2020.............. 1,000,000 1,093,880
5.00%, 4/1/2024....................... 4,125,000 4,481,565
5.00%, 4/1/2026....................... 2,555,000 2,726,594
Texas, State Water Development Board,
Revenue, Sub Lien, A-1
5.00%, 7/15/2015...................... 5,620,000 6,481,827
University of Texas:
Series F 4.75%, 8/15/2026............. 1,890,000 2,003,268
Series D 5.00%, 8/15/2018............. 1,675,000 1,884,542
Williamson County, TX, General
Obligation
5.25%, 2/15/2018 (a).................. 2,000,000 2,281,960
------------
102,915,883
------------
UTAH -- 0.8%
Utah, State General Obligation,
Series A 5.00%, 7/1/2015
(Pre-refunded)........................ 2,000,000 2,268,980
Utah, Transport Authority Sales Tax
Revenue
Series A 5.00%, 6/15/2036 (a)......... 3,850,000 4,022,365
------------
6,291,345
------------
VIRGINIA -- 2.5%
Fairfax County, VA, General Obligation:
Series A 4.00%, 4/1/2011.............. 1,675,000 1,749,906
Series A 4.00%, 4/1/2020.............. 1,000,000 1,035,840
Virginia, State Public Building
Authority, Public Facilities Revenue:
Series B 5.00%, 8/1/2017.............. 3,000,000 3,447,330
Series B 5.25%, 8/1/2027.............. 2,000,000 2,225,820
Virginia, State Public School Authority
Revenue
Series B 5.25%, 8/1/2014.............. 4,300,000 4,980,647
Virginia, State Resources Authority
Revenue
Series B 5.00%, 11/1/2028............. 3,540,000 3,850,104
Virginia, Upper Occoquan Sewage
Authority, Regional Sewage Revenue
5.00%, 7/1/2022 (a)................... 2,500,000 2,718,200
------------
20,007,847
------------
WASHINGTON -- 4.2%
Central Puget Sound, WA, Regional
Transit Authority, Sales & Use Tax
Revenue:
Series A 5.00%, 11/1/2032 (a)......... 3,000,000 3,127,890
Series A 5.00%, 11/1/2036............. 2,000,000 2,070,520
Energy Northwest Washington Electric
Revenue:
Series A 5.00%, 7/1/2014.............. 1,000,000 1,143,820
Series A 5.50%, 7/1/2012 (a).......... 1,200,000 1,332,576
King County, WA, School District,
General Obligation
Series A 4.00%, 6/1/2011.............. 1,250,000 1,308,912
Pierce County, WA, School District
No. 3
5.00%, 12/1/2017 (a).................. 800,000 891,896
Seattle, WA, Municipal Light & Power
Revenue
5.50%, 4/1/2022....................... 1,435,000 1,642,688
Snohomish County, WA, School District
No. 201
5.25%, 12/1/2024...................... 3,225,000 3,616,708
Washington, State General Obligation:
Series C 4.25%, 1/1/2013.............. 1,000,000 1,091,050
Series C 5.00%, 1/1/2021 (a).......... 2,100,000 2,305,989
Series A 5.00%, 7/1/2023.............. 900,000 983,268
Series D 5.00%, 1/1/2027.............. 8,945,000 9,633,676
Series A 5.00%, 7/1/2027 (a).......... 1,000,000 1,069,590
Series A 5.00%, 7/1/2032.............. 2,000,000 2,096,620
</Table>
See accompanying notes to financial statements.
80
SPDR BARCLAYS CAPITAL MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
Washington, State Variable Purposes
Series C 5.00%, 2/1/2016.............. $ 1,215,000 $ 1,390,203
------------
33,705,406
------------
WISCONSIN -- 0.3%
Wisconsin, State General Obligation
Series C 5.00%, 5/1/2014.............. 2,000,000 2,278,180
------------
TOTAL MUNICIPAL BONDS AND NOTES --
(Cost $774,279,071)................... 800,308,654
------------
<Caption>
SHARES
------
SHORT TERM INVESTMENTS -- 0.3%
MONEY MARKET FUND -- 0.3%
State Street Institutional Tax Free
Money Market Fund (b)(c)
(Cost $2,662,520)..................... 2,662,520 2,662,520
------------
TOTAL INVESTMENTS -- 99.1% (D)
(Cost $776,941,591)................... 802,971,174
OTHER ASSETS AND LIABILITIES -- 0.9%.... 6,961,335
------------
NET ASSETS -- 100.0%.................... $809,932,509
============
</Table>
<Table>
(a) Bond is insured by one of these companies:
</Table>
<Table>
<Caption>
AS A % OF
INSURANCE COVERAGE NET ASSETS
------------------ ----------
Assured Guaranty Municipal Corp.................... 19.15%
National Public Finance Guarantee Corp............. 7.64%
Ambac Financial Group.............................. 4.52%
Public School Fund Guaranteed...................... 1.36%
Assured Guaranty Corp.............................. 0.86%
XL Capital Assurance, Inc.......................... 0.62%
Financial Guaranty Insurance Co.................... 0.32%
(b) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3)
(c) Value is determined based on Level 1 inputs. (Note 2)
(d) Unless otherwise indicated, the values of the securities of the
Fund are determined based on Level 2 inputs. (Note 2)
</Table>
Escrow to Maturity = Bonds bearing this description are collateralized usually
by the U.S. Treasury securities which are held in escrow and used to pay
principal and interest on bonds so designated.
Pre-refunded = Bonds which are pre-refunded are collateralized usually by U.S.
Treasury securities which are held in escrow and are used to pay principal
and interest on tax-exempt issues and to retire the bonds in full at the
earliest refunding date.
See accompanying notes to financial statements.
81
SPDR BARCLAYS CAPITAL CALIFORNIA MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
MUNICIPAL BONDS AND NOTES -- 98.9%
CALIFORNIA -- 98.9%
Alameda County, CA, Joint Powers
Authority, Lease Revenue
5.00%, 12/1/2034 (a).................. $1,000,000 $ 1,012,980
Anaheim, CA, Public Financing Authority,
Revenue
4.50%, 10/1/2037 (a).................. 1,000,000 884,250
Azusa, CA, Public Financing Authority,
Revenue
5.00%, 7/1/2039 (a)................... 800,000 807,032
Bakersfield, CA, Certificates of
Participation
Zero Coupon, 4/15/2021................ 1,000,000 632,800
Bakersfield, CA, Wastewater Revenue
Series A 5.00%, 9/15/2032 (a)......... 300,000 304,572
California, Educational Facilities
Authority Revenue, Stanford University
Series T-4 5.00%, 3/15/2014........... 450,000 518,297
California, Infrastructure & Economic
Development Bank Revenue, Lien A
5.00%, 7/1/2036 (a)
(Pre-refunded)........................ 175,000 204,720
California, Pollution Control Financing
Authority, Environmental Improvement
Revenue
2.60%, 9/2/2014....................... 200,000 202,898
California, State Department of Water
Resources:
Series AE 5.00%, 12/1/2022............ 1,000,000 1,100,700
5.00%, 12/1/2026...................... 760,000 817,129
California, State Public Works Board,
Lease Revenue:
Series D 5.00%, 5/1/2025.............. 500,000 514,300
Series C 5.00%, 4/1/2030.............. 850,000 854,598
Series L 5.25%, 11/1/2028 (a)......... 500,000 512,800
Chabot-Las Positas Community College
District, CA
Series B Zero Coupon, 8/1/2024 (a).... 1,400,000 579,586
Chaffey Community College District, CA,
Election of 2002
Series C 5.00%, 6/1/2032 (a).......... 1,000,000 1,014,780
Coast Community College District, CA
Series B 5.00%, 8/1/2023 (a).......... 800,000 849,592
Desert Community College District, CA
Series C 5.00%, 8/1/2037 (a).......... 300,000 303,192
Eastern Municipal Water District, CA,
Water & Sewer Revenue
Series H 5.00%, 7/1/2035.............. 1,000,000 1,020,790
El Dorado, CA, Irrigation District,
Certificates of Participation
Series A 6.25%, 8/1/2029 (a).......... 1,200,000 1,298,676
Foothill-De Anza, CA, Community College
District, General Obligation
Series B 5.00%, 8/1/2027 (a).......... 1,000,000 1,034,340
Grossmont, CA, Union High School
District Election of 2004
5.00%, 8/1/2033....................... 1,780,000 1,800,968
Los Altos, CA, School District
5.00%, 8/1/2018 (a)................... 780,000 855,793
Los Angeles County, CA, Metropolitan
Transportation Authority, Sales Tax
Revenue
5.00%, 7/1/2026....................... 2,500,000 2,697,775
Los Angeles County, CA, Public Works
Financing Authority Revenue
5.00%, 10/1/2015 (a).................. 1,000,000 1,142,550
Los Angeles, CA, Community College
District:
5.00%, 8/1/2026....................... 100,000 105,043
Series A 5.00%, 8/1/2032 (a).......... 1,000,000 1,015,070
Los Angeles, CA, Department of Airports,
Revenue
Series A 5.00%, 5/15/2021............. 1,000,000 1,074,140
Los Angeles, CA, Harbor Department
Revenue:
Series A 5.00%, 8/1/2029.............. 1,515,000 1,573,327
Series C 5.25%, 8/1/2023.............. 700,000 764,911
Los Angeles, CA, Municipal Improvement
Corp., Lease Revenue
Series A 4.50%, 1/1/2037 (a).......... 205,000 170,355
Los Angeles, CA, Public Works Financing
Authority Revenue
5.00%, 10/1/2012 (a).................. 290,000 320,479
Los Angeles, CA, Unified School
District:
Series A-1 4.50%, 1/1/2028 (a)........ 1,000,000 940,590
Series F 5.00%, 1/1/2034.............. 1,000,000 1,003,740
Los Angeles, CA, Wastewater System
Revenue
Series A 5.00%, 6/1/2029.............. 485,000 520,715
Los Angeles, CA, Water & Power Revenue
Series A-1 5.00%, 7/1/2023 (a)........ 400,000 429,132
Los Angeles, CA, Water Utility, General
Obligation
Series A 4.00%, 9/1/2018.............. 1,000,000 1,041,570
Marin, CA, Community College District
Election of 2004
Series B 4.75%, 8/1/2034.............. 1,000,000 951,250
Metropolitan Water District of Southern
California:
Series C 5.00%, 7/1/2029.............. 370,000 388,796
Series A 5.00%, 1/1/2031.............. 1,000,000 1,056,290
North Orange County, CA, Community
College District
5.00%, 8/1/2015 (a)................... 1,000,000 1,147,690
Pasadena, CA, Unified School District
5.00%, 11/1/2019 (a).................. 235,000 255,941
Redding, CA, Electric System Revenue,
Certificates of Participation
Series A 5.00%, 6/1/2030 (a).......... 555,000 557,997
Riverside, CA, Electric Revenue
Series D 5.00%, 10/1/2027 (a)......... 835,000 873,427
Sacramento County, CA, Sanitation
District Financing Authority Revenue
Series A 5.25%, 12/1/2022 (a)......... 535,000 600,725
</Table>
See accompanying notes to financial statements.
82
SPDR BARCLAYS CAPITAL CALIFORNIA MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
Sacramento, CA, Educational Facilities
Authority Revenue:
Series A 4.50%, 10/1/2033............. $ 500,000 $ 487,150
Series A 4.75%, 10/1/2037............. 1,740,000 1,731,909
Sacramento, CA, Municipal Utility
District, Electric Revenue:
5.00%, 8/15/2022 (a).................. 550,000 598,053
Series U 5.00%, 8/15/2023 (a)......... 1,000,000 1,082,020
San Bernardino, CA, Community College
District:
Series B Zero Coupon, 8/1/2028........ 1,050,000 338,499
Series D Zero Coupon, 8/1/2032........ 2,290,000 544,127
Series C 5.00%, 8/1/2031 (a).......... 900,000 925,839
San Diego County, CA, Water Authority
Revenue
Series 2008-A 5.00%, 5/1/2015 (a)..... 200,000 228,068
San Diego, CA, Community College
District
5.00%, 8/1/2032 (a)................... 1,000,000 1,034,340
San Diego, CA, Unified School District
Election of 1998:
Series F-1 4.50%, 7/1/2029 (a)........ 700,000 691,054
Series D-2 4.75%, 7/1/2026 (a)........ 710,000 726,152
San Diego, CA, Unified School District
Series G-1 4.50%, 7/1/2029 (a)........ 1,000,000 987,220
San Francisco, CA, Bay Area Rapid
Transit District
Series B 5.00%, 8/1/2022.............. 500,000 549,485
San Francisco, CA, Bay Area Toll
Authority, Toll Bridge Revenue:
Series F 5.00%, 4/1/2025.............. 800,000 841,016
Series F 5.00%, 4/1/2031.............. 500,000 509,615
San Francisco, CA, City & County Public
Utilities Commission, Water Revenue:
Series A 4.50%, 11/1/2031 (a)......... 500,000 483,760
Series A 4.75%, 11/1/2036 (a)......... 500,000 487,380
San Francisco, CA, City & County Unified
School District Election of 2006
Series B 5.25%, 6/15/2022............. 800,000 884,600
San Jose, CA, Unified School District
Santa Clara County Election of 2002:
Series C 5.00%, 8/1/2024 (a).......... 300,000 315,579
Series C 5.25%, 8/1/2019 (a).......... 1,000,000 1,089,640
San Juan, CA, Public Power Agency
Project Revenue
Series L 5.00%, 7/1/2022 (a).......... 100,000 104,210
San Mateo County, CA, Community College
District
Series B 5.00%, 9/1/2031.............. 315,000 326,885
San Mateo, CA, Union High School
District
Series C Zero Coupon, 9/1/2027 (a).... 2,535,000 969,435
San Ramon Valley, CA, Unified School
District Election of 2002
5.00%, 8/1/2025 (a)................... 750,000 788,070
Santa Clara County, CA, Financing
Authority, Lease Revenue:
Series L 5.00%, 5/15/2028............. 500,000 525,045
Series L 5.25%, 5/15/2036............. 1,000,000 1,046,740
Santa Clara Valley Transportation
Authority, CA, Sales Tax Revenue
Series A 5.00%, 4/1/2036 (a).......... 500,000 506,930
Santa Clara Valley, CA, Water District,
Certificates of Participation
Series A 5.00%, 6/1/2037 (a).......... 500,000 513,035
Santa Clarita, CA, Union High School
District, General Obligation, Election
of 2001
Series B Zero Coupon, 9/1/2028 (a).... 1,500,000 441,615
Sequoia, CA, Union High School District
Election of 2008
Series A 5.00%, 7/1/2032.............. 1,000,000 1,020,090
State of California
5.00%, 8/1/2023 (a)................... 325,000 330,038
University of California, Revenue:
Series J 4.50%, 5/15/2035 (a)......... 1,000,000 963,320
Series K 5.00%, 5/15/2020 (a)......... 250,000 270,498
Series Q 5.25%, 5/15/2023............. 1,000,000 1,112,100
-----------
TOTAL MUNICIPAL BONDS AND NOTES --
(Cost $58,017,938).................... 59,209,823
-----------
<Caption>
SHARES
------
SHORT TERM INVESTMENTS -- 0.1%
MONEY MARKET FUND -- 0.1%
State Street Institutional Tax Free
Money Market Fund (b)(c)
(Cost $69,261)........................ 69,261 69,261
-----------
TOTAL INVESTMENTS -- 99.0% (D)
(Cost $58,087,199).................... 59,279,084
OTHER ASSETS AND
LIABILITIES -- 1.0%................... 621,846
-----------
NET ASSETS -- 100.0%.................... $59,900,930
===========
</Table>
<Table>
(a) Bond is insured by one of these companies:
</Table>
<Table>
<Caption>
AS A % OF
INSURANCE COVERAGE NET ASSETS
------------------ ----------
Assured Guaranty Municipal Corp.................... 25.89%
National Public Finance Guarantee Corp............. 17.08%
Ambac Financial Group.............................. 6.03%
Assured Guaranty Corp.............................. 2.17%
(b) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3)
(c) Value is determined based on Level 1 inputs. (Note 2)
(d) Unless otherwise indicated, the values of the securities of the
Fund are determined based on Level 2 inputs. (Note 2)
</Table>
Pre-refunded = Bonds which are pre-refunded are collateralized usually by U.S.
Treasury securities which are held in escrow and are used to pay principal
and interest on tax-exempt issues and to retire the bonds in full at the
earliest refunding date.
See accompanying notes to financial statements.
83
SPDR BARCLAYS CAPITAL NEW YORK MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
MUNICIPAL BONDS AND NOTES -- 99.0%
NEW YORK -- 96.3%
Battery Park City Authority, NY, Revenue
Series A 5.25%, 11/1/2021............. $ 100,000 $ 110,918
Erie County, NY, Industrial Development
Agency
Series A 5.75%, 5/1/2024 (a).......... 500,000 553,345
Haverstraw-Stony Point Central, NY,
School District, General Obligation
3.00%, 10/15/2026 (a)................. 810,000 659,607
Nassau County, NY, General Obligation:
Series C 5.00%, 7/1/2015 (a).......... 500,000 567,825
Series C 5.13%, 10/1/2035 (a)......... 100,000 104,796
Nassau County, NY, Sewer & Storm Water
Finance Authority, System Revenue
Series A 5.38%, 11/1/2028............. 400,000 443,648
New York & New Jersey, Port Authority
Revenue:
4.50%, 9/15/2039...................... 350,000 338,289
5.00%, 7/15/2022...................... 100,000 110,895
144th Series 5.00%, 12/1/2029......... 500,000 529,095
New York City, NY, Cultural Resource
Revenue, Museum of Modern Art
Series A-1 5.00%, 4/1/2031............ 300,000 315,141
New York, NY, City Transitional Finance
Authority:
Series B 5.00%, 11/1/2015............. 200,000 229,014
Series A-1 5.00%, 11/1/2024........... 600,000 641,508
New York, NY, General Obligation:
Series G 5.00%, 8/1/2025.............. 385,000 401,132
Series J-1 5.00%, 5/15/2036........... 425,000 436,811
New York, NY, Municipal Water Finance
Authority:
Series GG-2 5.00%, 6/15/2035.......... 100,000 102,955
Series DD 5.25%, 6/15/2024............ 200,000 221,532
Series A 5.63%, 6/15/2024............. 130,000 150,552
New York, Sales Tax Asset Receivables
Corp.
Series A 5.00%, 10/15/2020 (a)........ 600,000 660,282
New York, State Dormitory Authority
Revenue, Columbia University
5.00%, 7/1/2038....................... 250,000 265,068
New York, State Dormitory Authority
Revenue, Cornell University:
Series A 5.00%, 7/1/2034.............. 125,000 133,059
Series A 5.00%, 7/1/2039.............. 300,000 314,784
New York, State Dormitory Authority
Revenue, Fordham University
Series B 5.00%, 7/1/2033 (a).......... 500,000 516,045
New York, State Dormitory Authority
Revenue, New York University
Series A 5.00%, 7/1/2029.............. 240,000 253,411
New York, State Dormitory Authority
Revenue, Non State Supported Debt
Series A 5.00%, 8/1/2014.............. 210,000 237,672
New York, State Dormitory Authority
Revenue, School Districts
Series C 5.00%, 10/1/2031 (a)......... 600,000 638,490
New York, State Dormitory Authority
Revenue, State Supported Debt
Series A 5.00%, 7/1/2038.............. 650,000 672,711
New York, State Dormitory Authority,
State Income Tax Revenue
Series B 5.00%, 3/15/2028............. 260,000 278,990
New York, State Dormitory Authority,
State Personal Income Tax Revenue:
Series B 5.00%, 2/15/2018............. 125,000 141,909
Series C 5.00%, 12/15/2020............ 500,000 546,180
New York, State Environmental Facscorp:
Series A 4.50%, 6/15/2036............. 635,000 636,181
Series A 5.25%, 12/15/2026............ 200,000 220,212
New York, State General Obligation
5.00%, 4/15/2015...................... 1,000,000 1,142,990
New York, State Housing Finance Agency,
Personal Income Tax Revenue
Series A 5.00%, 3/15/2039............. 800,000 826,136
New York, State Local Government
Assistance Corp.:
Series C 5.00%, 4/1/2018.............. 500,000 570,515
Series A 5.00%, 4/1/2020.............. 435,000 484,942
New York, State Municipal Bond Bank
Agency
Series C-1 5.00%, 2/15/2016 (a)....... 200,000 221,814
New York, State Power Authority:
Series A 4.50%, 11/15/2047 (a)........ 700,000 686,238
Series C 5.00%, 11/15/2020 (a)........ 250,000 278,465
New York, State Thruway Authority Second
General Highway & Bridge Trust:
Series B 5.00%, 4/1/2028.............. 250,000 265,610
Series B 5.00%, 4/1/2029.............. 300,000 317,961
New York, State Thruway Authority,
General Revenue
Series B 5.00%, 4/1/2027.............. 300,000 318,339
New York, State Urban Development Corp.
Revenue
Series A-1 5.00%, 12/15/2022 (a)...... 520,000 561,215
New York, State Urban Development Corp.,
Revenue
Series A-1 5.00%, 12/15/2027.......... 250,000 267,388
New York, Triborough Bridge & Tunnel
Authority, Revenue:
5.00%, 11/15/2027..................... 145,000 153,984
5.00%, 11/15/2037..................... 750,000 768,487
Suffolk County, NY, General Obligation
Series C 4.00%, 10/15/2028............ 500,000 497,360
Westchester County, NY, General
Obligation
Series A 3.75%, 11/15/2012............ 500,000 542,190
-----------
19,335,691
-----------
</Table>
See accompanying notes to financial statements.
84
SPDR BARCLAYS CAPITAL NEW YORK MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
PUERTO RICO -- 2.7%
Puerto Rico Electric Power Authority
Revenue
Series UU 5.00%, 7/1/2016 (a)......... $ 500,000 $ 549,879
-----------
TOTAL MUNICIPAL BONDS AND NOTES --
(Cost $19,347,734).................... 19,885,570
-----------
<Caption>
SHARES
------
SHORT TERM INVESTMENTS -- 0.2%
MONEY MARKET FUND -- 0.2%
State Street Institutional Tax Free
Money Market Fund (b)(c)
(Cost $33,808)........................ 33,808 33,808
-----------
TOTAL INVESTMENTS -- 99.2% (D)
(Cost $19,381,542).................... 19,919,378
OTHER ASSETS AND
LIABILITIES -- 0.8%................... 153,730
-----------
NET ASSETS -- 100.0%.................... $20,073,108
===========
</Table>
<Table>
(a) Bond is insured by one of these companies:
</Table>
<Table>
<Caption>
AS A % OF
INSURANCE COVERAGE NET ASSETS
------------------ ----------
Assured Guaranty Municipal Corp.................... 11.61%
National Public Finance Guarantee Corp............. 8.10%
Assured Guaranty Corp.............................. 7.38%
Ambac Financial Group.............................. 2.80%
(b) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3)
(c) Value determined based on Level 1 inputs. (Note 2)
(d) Unless otherwise indicated, the values of the securities of the
Fund are determined based on Level 2 inputs. (Note 2)
</Table>
See accompanying notes to financial statements.
85
SPDR BARCLAYS CAPITAL SHORT TERM MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
MUNICIPAL BONDS AND NOTES -- 98.4%
ALABAMA -- 0.2%
Alabama, Public School & College
Authority Revenue
Series A 5.00%, 5/1/2014.............. $ 1,500,000 $ 1,676,055
------------
ALASKA -- 0.1%
Alaska, State General Obligation
Series A 5.25%, 8/1/2010 (a).......... 1,000,000 1,028,720
------------
ARIZONA -- 3.7%
Arizona, Salt River Project, Electrical
Systems Revenue:
Series A 3.00%, 1/1/2014.............. 1,070,000 1,130,177
Series B 3.00%, 1/1/2014.............. 5,000,000 5,281,200
Arizona, State Transportation Board,
Excise Tax Revenue
5.00%, 7/1/2013....................... 2,750,000 3,091,687
Gilbert, AZ, General Obligation
5.00%, 7/1/2013....................... 8,740,000 9,841,852
Maricopa County, AZ, Community College
District
Series B 4.00%, 7/1/2010.............. 3,025,000 3,079,783
Phoenix, AZ, Civic Improvement Corp.,
Transit Excise Tax Revenue
5.00%, 7/1/2013 (a)................... 4,000,000 4,436,360
Phoenix, AZ, Civic Improvement Corp.,
Wastewater System Revenue
Series B 5.00%, 7/1/2012 (a).......... 1,000,000 1,086,380
Pima County, AZ, General Obligation
Series A 3.00%, 7/1/2012.............. 5,000,000 5,222,300
------------
33,169,739
------------
CALIFORNIA -- 5.9%
California, State Department of Water
Resources Revenue
Series AF 5.00%, 12/1/2012............ 5,000,000 5,593,650
Irvine, CA, Unified School District
Special Tax
5.00%, 9/1/2012 (a)................... 3,000,000 3,235,350
Long Beach, CA, Unified School District
General Obligation:
Series A 4.00%, 8/1/2011.............. 2,200,000 2,313,828
Series A 4.00%, 8/1/2012.............. 7,950,000 8,574,552
Los Angeles County, CA, Metropolitan
Transportation Authority Sales Tax
Revenue
3.00%, 7/1/2013....................... 3,000,000 3,168,000
Los Angeles, CA General Obligation
Series A 2.50%, 9/1/2014.............. 8,825,000 9,031,858
Los Angeles, CA, Public Works Financing
Authority Revenue:
5.00%, 10/1/2011 (a).................. 770,000 825,779
5.00%, 10/1/2012 (a).................. 1,000,000 1,105,100
Los Angeles, CA, Unified School
District, General Obligation
Series KRY 3.00%, 7/1/2011............ 5,000,000 5,153,900
Northern California Power Agency
Revenue, Hydroelectric No-1
Series C 5.00%, 7/1/2014 (a).......... 1,500,000 1,680,525
San Bernardino County, CA,
Transportation Authority, Sales Tax
Revenue
Series A 4.00%, 5/1/2012.............. 4,000,000 4,194,280
San Francisco, CA, City & County
Series 2008-R1 5.00%, 6/15/2013....... 3,000,000 3,356,250
University of California, Revenue:
Series J 5.00%, 5/15/2013 (a)......... 1,000,000 1,121,530
Series O 5.00%, 5/15/2013............. 3,000,000 3,368,820
------------
52,723,422
------------
COLORADO -- 0.9%
Cherry Creek, CO, Arapahoe County School
District, General Obligation
Series B 6.00%, 12/15/2012............ 1,000,000 1,140,820
Denver, CO, City & County Excise Tax
Revenue
Series A 5.00%, 9/1/2013 (a).......... 2,850,000 3,148,594
University of Colorado Enterprise System
Revenue
5.00%, 6/1/2012 (a)................... 3,700,000 4,044,914
------------
8,334,328
------------
CONNECTICUT -- 4.2%
Connecticut, State General Obligation:
Series B 4.00%, 6/1/2011.............. 2,000,000 2,094,260
Series C 5.00%, 4/1/2011 (a).......... 1,000,000 1,055,890
Series F 5.00%, 12/1/2011............. 1,500,000 1,623,480
Series A 5.00%, 1/1/2012.............. 5,000,000 5,406,750
5.00%, 3/15/2013...................... 4,670,000 5,216,203
Series D 5.00%, 11/15/2013 (a)........ 5,000,000 5,683,800
5.00%, 3/15/2015...................... 5,000,000 5,725,450
Connecticut, State Special Obligation
Rate Reduction
Series A 5.00%, 6/30/2010
(Escrow to Maturity).................. 1,200,000 1,227,756
Connecticut, State Special Tax
Obligation Revenue:
Series A 5.00%, 7/1/2012 (a).......... 1,700,000 1,859,953
Series 1 5.00%, 2/1/2013.............. 2,000,000 2,213,020
Series A 5.00%, 12/1/2014............. 5,000,000 5,727,300
------------
37,833,862
------------
DELAWARE -- 0.2%
Delaware, State General Obligation:
4.00%, 8/1/2011....................... 750,000 791,228
Series 2009A 5.00%, 1/1/2014.......... 1,200,000 1,377,972
------------
2,169,200
------------
DISTRICT OF COLUMBIA -- 0.2%
District of Columbia, Income Tax Revenue
Series B 4.00%, 12/1/2013............. 2,000,000 2,192,020
------------
FLORIDA -- 3.5%
Florida, State Board of Education,
General Obligation:
5.00%, 6/1/2013....................... 1,000,000 1,119,560
Series C 5.00%, 6/1/2014.............. 9,585,000 10,851,466
Florida, State General Obligation
Series B 5.00%, 7/1/2014.............. 8,070,000 9,144,601
</Table>
See accompanying notes to financial statements.
86
SPDR BARCLAYS CAPITAL SHORT TERM MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
Florida, State Turnpike Authority,
Turnpike Revenue
Series A 5.00%, 7/1/2012 (a).......... $ 1,115,000 $ 1,214,737
Florida, Water Pollution Control
Revenue:
Series A 3.00%, 1/15/2012............. 2,000,000 2,073,840
Series A 3.00%, 1/15/2013............. 3,535,000 3,662,507
Jacksonville, FL, Electric Authority,
Park System Revenue
Series 21 5.00%, 10/1/2011 (a)........ 1,000,000 1,069,020
Orlando, FL, Utilities Commission System
Revenue
5.00%, 10/1/2013...................... 1,975,000 2,217,530
Pasco County, FL, School District Sales
Tax Revenue
5.00%, 10/1/2011 (a).................. 300,000 315,957
------------
31,669,218
------------
GEORGIA -- 5.1%
De Kalb County, GA, School District,
General Obligation
5.00%, 2/1/2011....................... 3,000,000 3,147,120
Georgia, Emory University, Authority
Revenue
Series B 5.00%, 9/1/2011.............. 3,925,000 4,206,540
Georgia, Metropolitan Atlanta Rapid
Transit Authority, Sales Tax Revenue
Series A 5.00%, 7/1/2013 (a).......... 2,500,000 2,799,725
Georgia, State General Obligation:
Series B 5.00%, 7/1/2010.............. 1,000,000 1,023,210
Series G 5.00%, 10/1/2010............. 1,000,000 1,034,910
Series A 5.00%, 9/1/2011.............. 1,000,000 1,073,970
Series A 5.00%, 9/1/2013.............. 2,050,000 2,333,863
Series G 5.00%, 11/1/2014............. 3,410,000 3,952,497
Series C 5.50%, 7/1/2010.............. 2,590,000 2,656,408
Series C 5.50%, 7/1/2012.............. 1,100,000 1,228,161
Georgia, State Road & Tollway Authority
Revenue
Series A 5.00%, 6/1/2012.............. 3,000,000 3,275,160
Gwinnett County, GA, School District,
General Obligation:
5.00%, 2/1/2011....................... 1,000,000 1,050,590
5.00%, 2/1/2012....................... 1,500,000 1,634,235
5.00%, 2/1/2013....................... 5,135,000 5,762,600
Gwinnett County, GA, Water & Sewer
Authority Revenue
4.00%, 8/1/2014....................... 2,500,000 2,744,800
Richmond County, GA, Board of Education,
General Obligation
5.00%, 10/1/2012...................... 7,000,000 7,769,860
------------
45,693,649
------------
HAWAII -- 2.2%
Hawaii, State General Obligation:
Series DT 4.00%, 11/1/2014............ 2,000,000 2,203,180
Series DG 5.00%, 7/1/2012 (a)......... 2,500,000 2,746,225
Series DG 5.00%, 7/1/2013 (a)......... 4,000,000 4,498,440
Series DG 5.00%, 7/1/2014 (a)......... 3,000,000 3,431,460
Honolulu, HI, City & County, General
Obligation:
Series A 2.75%, 4/1/2014.............. 1,750,000 1,837,955
4.00%, 4/1/2013....................... 2,035,000 2,214,630
Series B 5.25%, 7/1/2014 (a).......... 2,125,000 2,458,476
------------
19,390,366
------------
ILLINOIS -- 2.2%
Chicago, IL, Board of Education, General
Obligation
Series D 4.00%, 12/1/2012 (a)......... 1,610,000 1,713,958
Chicago, IL, General Obligation:
Series C 5.00%, 1/1/2012 (a).......... 700,000 754,348
Series A 5.00%, 1/1/2013 (a).......... 4,700,000 5,196,038
Chicago, IL, Water Revenue
5.00%, 11/1/2011 (a).................. 2,000,000 2,143,100
Cook County, IL, General Obligation
Series B 5.00%, 11/15/2014 (a)........ 1,200,000 1,361,088
Illinois, State General Obligation:
Series B 5.00%, 1/1/2011.............. 950,000 988,247
Series B 5.00%, 3/1/2013.............. 1,000,000 1,096,980
Illinois, State Revenue
Series B 3.00%, 6/15/2014............. 1,675,000 1,725,652
Illinois, State Toll Highway Authority
Revenue
Series A 5.00%, 1/1/2014 (a).......... 4,000,000 4,486,920
------------
19,466,331
------------
INDIANA -- 2.6%
Indiana, State Finance Authority
Revenue:
Series A 5.00%, 2/1/2011.............. 5,000,000 5,251,250
Series A 5.00%, 2/1/2013.............. 2,715,000 3,027,578
Indiana, State Finance Authority, Lease
Revenue
Series A-1 5.00%, 11/1/2014........... 8,915,000 9,865,161
Whiting, IN, Environmental Facilities
Revenue
2.80%, 6/1/2044 (b)................... 5,000,000 5,112,550
------------
23,256,539
------------
KANSAS -- 0.2%
Kansas, State Department of
Transportation, Highway Revenue
Series A 5.00%, 9/1/2011.............. 1,710,000 1,831,188
------------
KENTUCKY -- 0.6%
Kentucky Asset/Liability Commission
Agency Fund Revenue
5.00%, 9/1/2012 (a)................... 4,000,000 4,365,960
Kentucky, State Turnpike Authority,
Economic Development Road Revenue
5.00%, 7/1/2011 (a)................... 750,000 796,905
------------
5,162,865
------------
LOUISIANA -- 0.6%
Louisiana, State General Obligation
Series A 5.00%, 5/1/2014.............. 5,000,000 5,684,250
------------
</Table>
See accompanying notes to financial statements.
87
SPDR BARCLAYS CAPITAL SHORT TERM MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
MARYLAND -- 3.4%
Baltimore County, MD, General Obligation
5.00%, 2/1/2012....................... $ 1,000,000 $ 1,087,750
Maryland, State Department of
Transportation Revenue
4.00%, 2/15/2014...................... 2,500,000 2,728,250
Maryland, State General Obligation:
Series A 3.00%, 3/1/2014.............. 2,725,000 2,911,662
5.00%, 3/1/2011....................... 1,000,000 1,053,560
5.00%, 8/1/2012....................... 1,750,000 1,936,550
Series A 5.00%, 8/1/2012.............. 1,575,000 1,742,895
5.00%, 7/15/2013...................... 1,000,000 1,135,220
Series A 5.25%, 2/15/2013............. 6,210,000 7,023,883
Maryland, State Transportation
Authority, Grant & Revenue
Anticipation:
5.00%, 3/1/2012....................... 1,000,000 1,089,450
5.00%, 3/1/2013....................... 3,000,000 3,362,520
Montgomery County, MD, General
Obligation:
Series A 5.00%, 5/1/2011.............. 1,000,000 1,059,780
Series A 5.00%, 5/1/2012.............. 1,450,000 1,592,129
Series A 5.00%, 5/1/2013.............. 1,500,000 1,693,815
University System of Maryland Auxiliary
Facility & Tuition Revenue
Series A 5.00%, 4/1/2014.............. 1,400,000 1,595,412
------------
30,012,876
------------
MASSACHUSETTS -- 2.8%
Boston, MA, General Obligation
Series A 5.00%, 1/1/2014.............. 1,935,000 2,215,478
Boston, MA, Water & Sewer Commission,
Water Revenue
Series B 5.00%, 11/1/2014............. 4,545,000 5,206,616
Massachusetts Bay Transportation
Authority, Sales Tax Revenue
Series B 5.00%, 7/1/2013.............. 1,000,000 1,124,980
Massachusetts, State General Obligation:
Series C 5.00%, 9/1/2010.............. 1,000,000 1,030,560
Series C 5.00%, 9/1/2013.............. 1,000,000 1,129,270
Series A 5.00%, 9/1/2014.............. 1,500,000 1,718,340
Series A 5.25%, 1/1/2017.............. 1,000,000 1,045,950
Massachusetts, State Port Authority
Revenue
Series C 5.00%, 7/1/2012 (a).......... 1,000,000 1,096,160
Massachusetts, State School Building
Authority, Sales Tax Revenue:
Series A 3.50%, 8/15/2012 (a)......... 850,000 904,570
Series A 4.00%, 5/15/2013............. 1,975,000 2,151,683
Series A 5.00%, 8/15/2010............. 1,800,000 1,851,372
Series A 5.00%, 8/15/2013 (a)......... 3,220,000 3,642,239
Series A 5.00%, 8/15/2014 (a)......... 1,000,000 1,144,700
Springfield MA, General Obligation
5.75%, 8/1/2014 (a)................... 1,025,000 1,177,059
------------
25,438,977
------------
MICHIGAN -- 0.7%
Harrison Township, MI, L'Anse Creuse
Public Schools, General Obligation
0.28%, 5/1/2035 (b)................... 1,300,000 1,300,000
Michigan, Municipal Bond Authority
Revenue:
5.00%, 10/1/2011...................... 1,630,000 1,748,957
5.00%, 10/1/2012...................... 500,000 553,125
Michigan, State Building Authority
Revenue
Series I 5.00%, 10/15/2010 (a)........ 2,155,000 2,222,193
------------
5,824,275
------------
MINNESOTA -- 2.4%
Minneapolis, MN, Special School District
No 1, Certificates of Participation
Series A 4.50%, 2/1/2014 (a).......... 5,700,000 6,372,543
Minnesota, Public Facilities Authority,
Water Pollution Control Revenue
Series D 5.00%, 3/1/2014.............. 2,000,000 2,297,300
Minnesota, State General Obligation:
5.00%, 8/1/2010....................... 1,000,000 1,027,070
Series A 5.00%, 6/1/2011.............. 4,825,000 5,132,352
Series A 5.00%, 6/1/2012.............. 4,000,000 4,403,040
5.00%, 10/1/2012...................... 1,045,000 1,162,333
Northern Municipal Power Agency,
Electric System Revenue
Series A 5.00%, 1/1/2014 (a).......... 1,000,000 1,106,300
------------
21,500,938
------------
MISSISSIPPI -- 0.8%
Mississippi, State General Obligation
Series B 5.00%, 12/1/2014............. 6,000,000 6,887,940
------------
MISSOURI -- 1.2%
Missouri, State Highways &
Transportation Commission, State Road
Revenue:
Series A 5.00%, 5/1/2010.............. 750,000 761,393
Series A 5.00%, 5/1/2013.............. 1,335,000 1,504,238
Series A 5.00%, 5/1/2014.............. 7,350,000 8,372,311
------------
10,637,942
------------
NEBRASKA -- 0.7%
Nebraska, Public Power District Revenue:
Series B 5.00%, 1/1/2012 (a).......... 1,250,000 1,344,488
Series B 5.00%, 6/1/2013 (a).......... 3,960,000 4,155,030
Omaha, NE, General Obligation
3.75%, 6/1/2013....................... 1,000,000 1,084,070
------------
6,583,588
------------
NEVADA -- 1.5%
Clark County, NV, Highway Improvement
Revenue
5.00%, 7/1/2012 (a)................... 4,300,000 4,675,820
Clark County, NV, School District
General Obligation
Series B 4.00%, 6/15/2011............. 5,000,000 5,213,400
</Table>
See accompanying notes to financial statements.
88
SPDR BARCLAYS CAPITAL SHORT TERM MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
Las Vegas Valley, NV, Water District
Series B 5.00%, 6/1/2011.............. $ 1,500,000 $ 1,581,195
Nevada, State General Obligation
Series A 5.00%, 2/1/2012.............. 1,460,000 1,573,048
------------
13,043,463
------------
NEW JERSEY -- 1.9%
Essex County, NJ
Series A 5.00%, 6/1/2010 (a).......... 2,225,000 2,267,342
New Jersey, Economic Development
Authority Revenue
5.00%, 9/1/2011 (a)................... 3,000,000 3,185,970
New Jersey, State Office of Public
Finance
5.00%, 8/1/2014....................... 8,000,000 9,159,680
Union County, NJ, General Obligation
4.00%, 3/1/2013....................... 2,000,000 2,178,560
------------
16,791,552
------------
NEW MEXICO -- 1.0%
Albuquerque Bernalillo County, NM, Water
Utility Authority, Water & Sewer
System Revenue
5.00%, 7/1/2014 (a)................... 3,250,000 3,724,987
Albuquerque County, NM, Municipal School
District, General Obligation
Series A 4.00%, 8/1/2011.............. 925,000 974,950
New Mexico, State General Obligation:
5.00%, 3/1/2012....................... 3,000,000 3,268,350
5.00%, 3/1/2012....................... 500,000 544,725
------------
8,513,012
------------
NEW YORK -- 16.8%
New York, NY, City Cultural Resource
Revenue, Juilliard
Series B 2.75%, 1/1/2036 (b).......... 1,080,000 1,116,569
New York, NY, City Cultural Resource
Revenue, Museum of Modern Art
Series 1A 5.00%, 10/1/2010............ 1,000,000 1,032,860
New York, NY, City Municipal Water
Finance Authority, Water & Sewer
System Revenue:
Series BB 5.00%, 6/15/2013............ 5,375,000 6,001,779
Series BB 5.00%, 6/15/2013............ 1,040,000 1,161,274
New York, NY, City Transitional Finance
Authority Revenue:
Series A-1 5.00%, 8/1/2012............ 6,000,000 6,613,740
Series A-1 5.00%, 11/1/2013........... 5,525,000 6,304,191
Series B 5.00%, 11/1/2013............. 1,000,000 1,137,010
Series S-2 5.00%, 1/15/2014 (a)....... 2,005,000 2,209,530
Series B 5.00%, 11/1/2014............. 10,200,000 11,659,518
New York, NY, General Obligation:
Series C 4.00%, 4/15/2012............. 1,000,000 1,070,580
Series I-1 4.00%, 2/1/2013............ 1,040,000 1,115,431
Series C 4.00%, 8/1/2014.............. 4,000,000 4,318,560
Series G 5.00%, 8/1/2011.............. 7,025,000 7,486,472
Series C-1 5.00%, 10/1/2011........... 1,800,000 1,927,800
Series J-1 5.00%, 8/1/2012............ 5,000,000 5,456,650
Series K 5.00%, 8/1/2013.............. 5,000,000 5,570,900
Series O 5.00%, 6/1/2014.............. 4,250,000 4,765,652
Series B 5.25%, 8/1/2011.............. 1,000,000 1,069,590
New York, State Dormitory Authority
Revenue
Series A 4.13%, 7/1/2011.............. 1,475,000 1,553,381
New York, State Dormitory Authority,
Personal Income Tax Revenue:
Series D 3.00%, 6/15/2011............. 5,000,000 5,166,100
Series D 4.00%, 6/15/2011............. 5,000,000 5,237,750
Series C 5.00%, 3/15/2012............. 1,500,000 1,629,390
Series A 5.00%, 3/15/2014............. 3,980,000 4,486,734
New York, State Environmental Facilities
Revenue:
Series A 3.50%, 12/15/2013............ 2,500,000 2,709,650
Series A 5.00%, 12/15/2013............ 2,000,000 2,282,600
New York, State General Obligation
Series C 3.00%, 2/1/2014.............. 15,000,000 15,836,250
New York, State Local Government
Assistance Corp. Revenue:
Series A 5.00%, 4/1/2011.............. 1,180,000 1,246,399
Series C 5.00%, 4/1/2013.............. 2,220,000 2,486,178
New York, State Thruway Authority
Highway & Bridge Revenue
Series B 5.00%, 4/1/2012 (a).......... 1,270,000 1,382,928
New York, State Thruway Authority
Personal Income Tax Revenue:
Series A 3.50%, 3/15/2014............. 2,330,000 2,481,427
Series A 4.00%, 3/15/2013............. 5,000,000 5,419,000
New York, State Thruway Authority,
General Revenue:
Series H 4.00%, 1/1/2012 (a).......... 1,000,000 1,048,940
Series A 5.25%, 4/1/2010 (a)
(Escrow to Maturity).................. 2,000,000 2,023,780
Series F 5.25%, 1/1/2012 (a).......... 1,000,000 1,073,310
New York, State Thruway Authority,
General Revenue, Bond
Anticipation Notes:
3.00%, 7/15/2011...................... 1,000,000 1,030,190
4.00%, 7/15/2011...................... 1,500,000 1,567,935
New York, State Urban Development Corp.
Revenue:
Series A-1 3.00%, 12/15/2011.......... 4,625,000 4,824,291
Series A-1 3.50%, 12/15/2012.......... 1,000,000 1,070,480
4.00%, 3/15/2011...................... 550,000 568,959
Series A-1 5.00%, 12/15/2012.......... 6,580,000 7,328,870
5.00%, 1/1/2014 (a)................... 2,500,000 2,813,575
New York, Triborough Bridge & Tunnel
Authority Revenue:
Series C 4.00%, 11/15/2011............ 2,500,000 2,644,400
Series C 5.00%, 11/15/2012............ 1,500,000 1,661,460
------------
149,592,083
------------
NORTH CAROLINA -- 4.0%
Charlotte, NC, Certificates of
Participation
5.00%, 6/1/2014....................... 5,455,000 6,195,571
Guilford County, NC, General Obligation
Series A 4.00%, 2/1/2014.............. 6,005,000 6,653,119
</Table>
See accompanying notes to financial statements.
89
SPDR BARCLAYS CAPITAL SHORT TERM MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
Mecklenburg County, NC, General
Obligation:
Series A 3.00%, 8/1/2014.............. $ 1,970,000 $ 2,108,136
Series C 5.00%, 2/1/2012.............. 1,000,000 1,089,270
North Carolina, Infrastructure Finance
Corp., Certificates of Participation:
Series A 5.00%, 2/1/2011 (a).......... 5,000,000 5,238,000
Series A 5.00%, 2/1/2014.............. 1,885,000 2,123,811
North Carolina, State Capital
Improvement Obligation
Series A 4.50%, 5/1/2014.............. 1,745,000 1,959,234
North Carolina, State General
Obligation:
Series A 5.00%, 3/1/2011.............. 1,000,000 1,053,800
Series B 5.00%, 4/1/2014.............. 1,000,000 1,152,440
Series A 5.50%, 3/1/2012.............. 5,000,000 5,511,850
Wake County, NC, General Obligation:
5.00%, 3/1/2012....................... 1,000,000 1,092,840
5.00%, 3/1/2013....................... 1,500,000 1,688,730
------------
35,866,801
------------
OHIO -- 4.0%
Cincinnati, OH, City School District
Certificates Participation
5.00%, 12/15/2011 (a)................. 1,000,000 1,077,330
Columbus, OH, General Obligation
Series D 5.00%, 12/15/2012............ 5,000,000 5,603,100
Ohio State University, General Receipts
Revenue
Series A 5.00%, 6/1/2013.............. 4,400,000 4,930,772
Ohio, State Building Authority
Series B 5.00%, 10/1/2013 (a)......... 1,440,000 1,620,187
Ohio, State General Obligation:
Series A 5.00%, 6/15/2010
(Escrow to Maturity).................. 1,000,000 1,020,820
Series K 5.00%, 5/1/2011.............. 2,000,000 2,116,000
Series K 5.00%, 5/1/2012.............. 1,000,000 1,091,470
Ohio, State Highway Capital Improvements
5.00%, 5/1/2014....................... 1,975,000 2,251,480
Ohio, State Major New Infrastructure
Project Revenue
Series 2008-1 5.00%, 6/15/2013........ 3,000,000 3,349,830
Ohio, State Major New Street
Infrastructure Project Revenue
Series 2007-1 5.00%, 6/15/2013 (a).... 4,960,000 5,563,235
Ohio, State Water Development Authority
Revenue:
Series A 4.00%, 12/1/2010............. 1,500,000 1,550,835
5.00%, 6/1/2012....................... 950,000 1,042,131
5.00%, 6/1/2013....................... 2,670,000 3,001,561
Ohio, State Water Development Authority,
Water Quality -- Loan Fund
5.00%, 12/1/2011...................... 1,000,000 1,079,940
------------
35,298,691
------------
OKLAHOMA -- 0.7%
Tulsa County, OK, Industrial Authority,
Educational Facilities Lease Revenue
4.00%, 9/1/2013....................... 5,410,000 5,860,815
------------
OREGON -- 0.9%
Oregon, State Department of
Administrative Services Revenue
Series A 3.00%, 4/1/2011.............. 1,000,000 1,028,250
Portland, OR, Sewer System Revenue
Series A 5.00%, 6/15/2012 (a)......... 3,000,000 3,294,840
Salem-Keizer, OR, School District No.
24J, General Obligation
5.00%, 6/15/2013 (a).................. 3,000,000 3,370,230
------------
7,693,320
------------
PENNSYLVANIA -- 2.5%
Pennsylvania Intergovernmental
Cooperative Authority, Special Tax
Revenue
5.00%, 6/15/2014...................... 2,000,000 2,251,960
Pennsylvania State General Obligation:
4.75%, 9/1/2014....................... 1,600,000 1,823,536
5.00%, 3/1/2011....................... 1,300,000 1,368,705
5.00%, 10/1/2012...................... 5,000,000 5,544,150
5.00%, 5/15/2013...................... 3,000,000 3,375,150
5.00%, 3/15/2014...................... 2,720,000 3,112,442
5.25%, 2/1/2010 (a)................... 1,000,000 1,003,450
5.50%, 1/1/2013....................... 2,500,000 2,824,625
University of Pittsburgh, Revenue
Series A 5.00%, 9/15/2011............. 1,000,000 1,073,410
------------
22,377,428
------------
RHODE ISLAND -- 0.1%
Rhode Island, State Economic Development
Corp., Revenue
Series A 5.00%, 6/15/2013 (a)......... 915,000 1,005,521
------------
SOUTH CAROLINA -- 1.0%
South Carolina State Public Service
Authority, Revenue:
Series D 5.00%, 1/1/2010 (a).......... 1,050,000 1,050,000
Series B 5.00%, 1/1/2011 (a).......... 2,515,000 2,627,722
Series B 5.00%, 1/1/2014 (a).......... 2,500,000 2,829,050
Series E 5.00%, 1/1/2014.............. 1,000,000 1,131,620
South Carolina, State General Obligation
Series A 5.00%, 11/1/2013............. 1,120,000 1,280,664
------------
8,919,056
------------
TENNESSEE -- 2.0%
Nashville & Davidson County, TN, General
Obligation:
Series B 5.00%, 1/1/2012.............. 3,210,000 3,475,114
Series C 5.00%, 2/1/2013.............. 1,000,000 1,116,420
Series C 5.00%, 2/1/2014.............. 3,700,000 4,229,803
Tennessee State General Obligation
Series C 2.50%, 5/1/2011.............. 1,365,000 1,401,405
Tennessee State School Bond Authority:
3.00%, 5/1/2012....................... 4,875,000 5,115,191
5.00%, 5/1/2013 (a)................... 1,900,000 2,137,538
------------
17,475,471
------------
</Table>
See accompanying notes to financial statements.
90
SPDR BARCLAYS CAPITAL SHORT TERM MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
TEXAS -- 6.8%
Arlington, TX, Independent School
District, General Obligation
5.00%, 2/15/2012 (a).................. $ 880,000 $ 957,889
Austin, TX, Electric Utility System
Revenue
Series A 5.00%, 11/15/2010 (a)........ 1,000,000 1,035,490
Dallas, TX, General Obligation:
5.00%, 2/15/2010...................... 1,500,000 1,507,680
5.00%, 2/15/2011...................... 710,000 745,507
El Paso, TX, Independent School
District, General Obligation
Zero Coupon, 8/15/2013 (a)............ 1,980,000 1,863,338
Fort Bend, TX, Independent School
District, General Obligation
4.00%, 2/15/2013...................... 1,000,000 1,072,790
Fort Worth, TX, Independent School
District, General Obligation:
5.00%, 2/15/2011 (a).................. 4,000,000 4,203,280
5.00%, 2/15/2012...................... 5,000,000 5,414,000
5.00%, 2/15/2013...................... 2,000,000 2,222,740
Garland, TX, Independent School
District, General Obligation
5.00%, 2/15/2013 (a).................. 3,190,000 3,574,331
Harris County, TX, General Obligation
Series A 5.00%, 10/1/2012............. 1,250,000 1,384,963
Houston, TX, General Obligation
Series A 5.00%, 3/1/2013 (a).......... 2,500,000 2,779,875
Lamar, TX, Consolidated Independent
School District, General Obligation
5.00%, 2/15/2013 (a).................. 4,535,000 5,087,272
Lewisville, TX, Independent School
District, General Obligation
5.00%, 8/15/2013 (a).................. 1,000,000 1,131,890
Pharr, TX, San Juan Alamo Independent
School District, General Obligation
5.00%, 2/1/2013 (a)................... 1,880,000 2,108,570
San Antonio, TX, Independent School
District
5.25%, 8/15/2012 (a).................. 1,890,000 2,099,903
San Jacinto, TX Community College
District, General Obligation
4.00%, 2/15/2012...................... 3,000,000 3,163,380
Texas, A&M University Revenue
5.00%, 5/15/2012...................... 3,000,000 3,286,350
Texas, State General Obligation
5.00%, 10/1/2012...................... 1,500,000 1,663,245
Texas, State Public Finance Authority
Building Revenue
5.00%, 2/1/2014 (a)................... 1,605,000 1,818,465
Texas, State Public Finance Authority,
General Obligation
Series A 5.00%, 10/1/2011............. 1,000,000 1,074,600
Texas, State University System Financing
Revenue:
5.00%, 3/15/2012...................... 1,000,000 1,087,400
5.00%, 3/15/2013 (a).................. 500,000 554,825
University of Texas, Permanent
University Fund
Series A 5.00%, 7/1/2012.............. 1,265,000 1,398,167
University of Texas, Revenue:
Series A 3.25%, 8/15/2013............. 2,650,000 2,835,421
Series D 5.00%, 8/15/2010............. 2,000,000 2,056,960
Series A 5.00%, 8/15/2012............. 3,400,000 3,757,612
Series B 5.00%, 8/15/2012............. 1,000,000 1,105,180
------------
60,991,123
------------
UTAH -- 0.6%
Salt Lake City, UT, General Obligation
5.00%, 6/15/2013...................... 1,500,000 1,694,865
Utah, State General Obligation:
Series A 5.00%, 7/1/2011.............. 1,975,000 2,106,120
Series A 5.00%, 7/1/2013.............. 1,150,000 1,303,824
------------
5,104,809
------------
VIRGINIA -- 5.3%
Fairfax County, VA, General Obligation
Series A 4.00%, 4/1/2011.............. 750,000 783,540
Loudoun County, VA, General Obligation:
Series B 5.00%, 6/1/2010.............. 1,100,000 1,121,153
Series B 5.00%, 6/1/2012.............. 1,000,000 1,103,030
Virginia, State College Building
Authority Revenue:
Series A 3.00%, 9/1/2010.............. 4,500,000 4,580,055
5.00%, 9/1/2011....................... 3,500,000 3,751,650
Virginia, State General Obligation
Series A 5.00%, 6/1/2012.............. 1,000,000 1,100,760
Virginia, State Public Building
Authority, Building Revenue Bonds:
Series A 5.00%, 8/1/2010.............. 1,000,000 1,026,950
Series A 5.00%, 8/1/2012.............. 7,365,000 8,138,178
Series B 5.00%, 8/1/2013.............. 5,000,000 5,669,400
Virginia, State Public School Authority:
Series B 5.00%, 8/1/2010.............. 4,445,000 4,564,793
Series B 5.00%, 8/1/2012.............. 1,000,000 1,104,980
Series C 5.00%, 8/1/2013.............. 8,570,000 9,717,351
Series B 5.00%, 8/1/2014.............. 2,025,000 2,323,343
Series B 5.25%, 8/1/2011.............. 1,000,000 1,071,220
Virginia, State Resources Authority
Clean Water Revenue
4.50%, 10/1/2011...................... 1,200,000 1,281,996
------------
47,338,399
------------
WASHINGTON -- 4.1%
Energy Northwest Washington, Electricity
Revenue:
Series A 4.00%, 7/1/2014.............. 1,375,000 1,513,545
Series A 5.00%, 7/1/2012.............. 1,000,000 1,098,230
Series D 5.00%, 7/1/2012.............. 1,000,000 1,098,230
Series D 5.00%, 7/1/2012.............. 3,000,000 3,294,690
Port of Seattle, WA, Revenue
Series A 5.00%, 3/1/2010 (a).......... 1,000,000 1,007,030
Seattle, WA, General Obligation
5.00%, 5/1/2013....................... 6,540,000 7,334,872
</Table>
See accompanying notes to financial statements.
91
SPDR BARCLAYS CAPITAL SHORT TERM MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
Seattle, WA, Municipal Light & Power
Revenue
5.00%, 4/1/2013....................... $ 3,000,000 $ 3,332,400
Washington, State General Obligation:
Series D 4.50%, 1/1/2012 (a).......... 2,450,000 2,629,266
Series D 5.00%, 1/1/2011 (a).......... 1,500,000 1,566,615
Series C 5.00%, 7/1/2011.............. 3,000,000 3,194,550
Series R-2006A 5.00%, 7/1/2014 (a).... 1,000,000 1,142,880
Series R 5.00%, 1/1/2015.............. 8,500,000 9,734,795
------------
36,947,103
------------
WISCONSIN -- 0.8%
Wisconsin, State General Obligation:
Series C 4.00%, 5/1/2013.............. 5,000,000 5,430,350
Series 1 5.00%, 5/1/2013 (a).......... 1,500,000 1,677,630
------------
7,107,980
------------
TOTAL MUNICIPAL BONDS AND NOTES --
(Cost $861,854,435)................... 878,094,915
------------
<Caption>
SHARES
------
SHORT TERM INVESTMENTS -- 0.6%
MONEY MARKET FUND -- 0.6%
State Street Institutional Tax Free
Money Market Fund (c)(d)
(Cost $5,072,984)..................... 5,072,984 5,072,984
------------
TOTAL INVESTMENTS -- 99.0% (E)
(Cost $866,927,419)................... 883,167,899
OTHER ASSETS AND
LIABILITIES -- 1.0%................... 8,877,676
------------
NET ASSETS -- 100.0%.................... $892,045,575
============
</Table>
<Table>
(a) Bond is insured by one of these companies:
</Table>
<Table>
<Caption>
AS A % OF
INSURANCE COVERAGE NET ASSETS
------------------ ----------
Assured Guaranty Municipal Corp.................... 9.17%
National Public Finance Guarantee Corp............. 5.08%
Ambac Financial Group.............................. 3.94%
Public School Fund Guaranteed...................... 2.36%
(b) Variable-rate security. Rate shown is rate in effect at December
31, 2009.
(c) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3)
(d) Value is determined based on Level 1 inputs. (Note 2)
(e) Unless otherwise indicated, the values of the securities of the
Fund are determined based on Level 2 inputs. (Note 2)
</Table>
Escrow to Maturity = Bonds bearing this description are collateralized usually
by the U.S. Treasury securities which are held in escrow and used to pay
principal and interest on bonds so designated.
See accompanying notes to financial statements.
92
SPDR S&P VRDO MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
MUNICIPAL BONDS AND NOTES -- 95.9% (A)
ARIZONA -- 2.0%
Apache County, AZ, Industrial
Development Authority Revenue
0.30%, 12/15/2018..................... $300,000 $ 300,000
-----------
CALIFORNIA -- 18.1%
Azusa, CA, Unified School District,
Certificates of Participation
1.00%, 6/1/2038 (b)................... 200,000 200,000
California, Economic Recovery, General
Obligation
Series C-15 0.29%, 7/1/2023 (b)....... 706,000 706,000
California, Health Facilities Financing
Authority Revenue
Series B 0.35%, 11/15/2036 (b)........ 200,000 200,000
California, State Department of Water
Resources Supply Revenue
Series G-7 0.23%, 5/1/2017 (b)........ 200,000 200,000
Roseville, CA, Electric System Revenue,
Certificates of Participation
Series A 0.30%, 2/1/2035.............. 200,000 200,000
San Jacinto, CA, Unified School
District, Certificates of
Participation:
Series A 1.00%, 3/1/2040 (b).......... 365,000 365,000
Series B 1.00%, 3/1/2040 (b).......... 150,000 150,000
Southern California, Public Power
Authority, Transmissions Project
Revenue
Series A 0.34%, 7/1/2023 (b).......... 700,000 700,000
-----------
2,721,000
-----------
CONNECTICUT -- 1.3%
Hartford, CT, Redevelopment Agency
Revenue
0.37%, 6/1/2020 (b)................... 200,000 200,000
-----------
DISTRICT OF COLUMBIA -- 3.3%
Metropolitan Washington DC, Airport
Authority System Revenue
Series A-1 0.45%, 10/1/2039........... 500,000 500,000
-----------
FLORIDA -- 2.0%
University of South Florida,
Certificates of Participation
Series A 0.45%, 10/1/2022............. 300,000 300,000
-----------
GEORGIA -- 4.0%
Georgia, Municipal Electric Authority
Revenue
Series B 0.38%, 1/1/2016 (b).......... 600,000 600,000
-----------
ILLINOIS -- 10.3%
Chicago, IL, Board of Education, General
Obligation
Series B 0.40%, 3/1/2032 (b).......... 730,000 730,000
Illinois, State Toll Highway Authority
Revenue
Series A 0.30%, 7/1/2030.............. 700,000 700,000
University of Illinois, Certificates of
Participation
0.29%, 8/15/2021...................... 118,000 118,000
-----------
1,548,000
-----------
MARYLAND -- 2.3%
Maryland, State Economic Development
Corp. Revenue
Series B 0.30%, 12/1/2025............. 350,000 350,000
-----------
MASSACHUSETTS -- 6.7%
Massachusetts, State General Obligation
Series B 0.29%, 1/1/2021.............. 500,000 500,000
Massachusetts, State Housing Finance
Agency, Housing Revenue
Series F 0.38%, 12/1/2037 (b)......... 500,000 500,000
-----------
1,000,000
-----------
NEW HAMPSHIRE -- 0.7%
New Hampshire, Health & Education
Facilities Authority Revenue
Series A 0.33%, 8/1/2031 (b).......... 100,000 100,000
-----------
NEW JERSEY -- 2.7%
New Jersey, Economic Development
Authority Revenue
Series V-2 0.35%, 3/1/2024............ 100,000 100,000
New Jersey, Health Care Facilities
Financing Authority Revenue
Series A 0.30%, 7/1/2035.............. 300,000 300,000
-----------
400,000
-----------
NEW YORK -- 10.0%
New York, Metropolitan Transportation
Authority Revenue
Series B 0.34%, 11/1/2022 (b)......... 100,000 100,000
New York, NY, City Municipal Water
Finance Authority Revenue
Series F-2 0.22%, 6/15/2033........... 500,000 500,000
New York, NY, City Transitional Finance
Authority Revenue
0.26%, 11/1/2022...................... 200,000 200,000
New York, NY, General Obligation
Series I-4 0.20%, 4/1/2036............ 200,000 200,000
New York, NY, Triborough Bridge & Tunnel
Authority Revenue
Series A 0.33%, 11/1/2035............. 500,000 500,000
-----------
1,500,000
-----------
NORTH CAROLINA -- 6.7%
Charlotte, NC, Health Care Systems
Revenue
Series F 0.40%, 1/15/2042 (b)......... 500,000 500,000
Durham County, NC, Industrial Facilities
& Pollution Control Financing
Authority Revenue
0.34%, 9/1/2037....................... 200,000 200,000
North Carolina, State General Obligation
Series D 0.28%, 5/1/2021.............. 300,000 300,000
-----------
1,000,000
-----------
OHIO -- 12.0%
Hancock County, OH, Hospital Revenue
0.50%, 12/1/2034 (b).................. 700,000 700,000
Montgomery County, OH, Kettering
Medical Center Hospital Revenue
Series B 0.30%, 8/1/2047 (b).......... 200,000 200,000
</Table>
See accompanying notes to financial statements.
93
SPDR S&P VRDO MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
Montgomery County, OH, Hospital Revenue
Series A 0.30%, 8/1/2047 (b).......... $500,000 $ 500,000
Ohio, State Air Quality Development
Authority Revenue
0.40%, 6/1/2033....................... 200,000 200,000
Ohio, University of Akron, General
Receipts
Series C-2 0.36%, 1/1/2029 (b)........ 200,000 200,000
-----------
1,800,000
-----------
PENNSYLVANIA -- 2.5%
Bucks County, PA, St. Mary Hospital
Authority Revenue
Series B 0.32%, 3/1/2032.............. 200,000 200,000
Lackawanna County, PA, General
Obligation
Series B 0.41%, 9/1/2035 (b).......... 175,000 175,000
-----------
375,000
-----------
TENNESSEE -- 7.3%
Johnson City, TN, Health & Educational
Facilities Board, Hospital Revenue
Series A 0.90%, 7/1/2038.............. 500,000 500,000
Montgomery County, TN, Public Building
Authority, Pooled Financing Revenue
0.25%, 11/1/2027...................... 200,000 200,000
Shelby County, TN, General Obligation
Series C 0.30%, 12/1/2031............. 400,000 400,000
-----------
1,100,000
-----------
VIRGINIA -- 0.7%
Smyth County, VA, Industrial Development
Authority, Hospital Revenue
0.90%, 7/1/2032....................... 100,000 100,000
-----------
WASHINGTON -- 3.3%
Washington, State Health Care Facilities
Authority Revenue
Series A 0.33%, 9/1/2034.............. 500,000 500,000
-----------
TOTAL MUNICIPAL BONDS AND NOTES --
(Cost $14,394,000).................... 14,394,000
-----------
<Caption>
SHARES
------
SHORT TERM INVESTMENTS -- 0.4%
MONEY MARKET FUND -- 0.4%
State Street Institutional Tax Free
Money Market Fund (c)(d)
(Cost $58,873)........................ 58,873 58,873
-----------
TOTAL INVESTMENTS -- 96.3% (E)
(Cost $14,452,873).................... 14,452,873
OTHER ASSETS AND LIABILITIES -- 3.7%.... 550,667
-----------
NET ASSETS -- 100.0%.................... $15,003,540
===========
</Table>
<Table>
(a) Variable Rate Security. Rate shown is rate in effect at
December 31, 2009.
(b) Bond is insured by the following company:
</Table>
<Table>
<Caption>
AS A % OF
INSURANCE COVERAGE NET ASSETS
------------------ ----------
Assured Guaranty Municipal Corp.................... 46.83%
(c) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3)
(d) Value is determined based on Level 1 inputs. (Note 2)
(e) Unless otherwise indicated, the values of the securities of the
Fund are determined based on Level 2 inputs. (Note 2)
</Table>
See accompanying notes to financial statements.
94
SPDR DB INTERNATIONAL GOVERNMENT INFLATION-PROTECTED BOND ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
FOREIGN GOVERNMENT OBLIGATIONS -- 99.5%
AUSTRALIA -- 3.2%
Commonwealth of Australia
3.00%, 9/20/2025...................... 9,293,840 $ 8,406,007
4.00%, 8/20/2015...................... 5,760,450 5,465,548
4.00%, 8/20/2020...................... 19,764,548 19,407,230
--------------
33,278,785
--------------
BRAZIL -- 4.9%
Federal Republic of Brazil
6.00%, 8/15/2012...................... 5,296,263 3,001,127
6.00%, 5/15/2015...................... 2,108,058 1,173,596
6.00%, 5/15/2017...................... 55,538,932 30,723,483
6.00%, 8/15/2024...................... 21,397,912 11,861,686
6.00%, 5/15/2035...................... 7,122,624 3,899,781
--------------
50,659,673
--------------
CANADA -- 4.9%
Government of Canada
2.00%, 12/1/2041...................... 1,607,471 1,720,110
3.00%, 12/1/2036...................... 6,571,842 8,304,650
4.00%, 12/1/2031...................... 22,015,726 30,761,324
4.25%, 12/1/2021...................... 2,441,858 3,061,458
4.25%, 12/1/2026...................... 5,111,254 6,840,699
--------------
50,688,241
--------------
CHILE -- 3.5%
Republic of Chile
3.00%, 5/1/2017....................... 1,591,658,880 3,104,418
3.00%, 1/1/2018....................... 14,136,444,000 27,513,868
3.00%, 3/1/2028....................... 2,450,316,960 4,436,131
5.00%, 1/1/2016....................... 502,629,120 1,092,042
--------------
36,146,459
--------------
FRANCE -- 18.0%
Republic of France
1.00%, 7/25/2017...................... 38,824,734 55,770,595
1.60%, 7/25/2011...................... 4,200,106 6,220,138
1.60%, 7/25/2015...................... 22,656,967 34,093,407
1.80%, 7/25/2040...................... 2,746,926 4,074,360
2.25%, 7/25/2020...................... 38,819,075 60,335,077
2.50%, 7/25/2013...................... 5,174,631 8,068,726
3.00%, 7/25/2012...................... 4,082,937 6,328,973
3.15%, 7/25/2032...................... 5,005,830 9,137,080
3.40%, 7/25/2029...................... 1,604,162 2,970,635
--------------
186,998,991
--------------
GERMANY -- 5.6%
Federal Republic of Germany
1.50%, 4/15/2016...................... 25,120,519 37,472,493
1.75%, 4/15/2020...................... 4,754,967 7,087,568
2.25%, 4/15/2013...................... 9,156,792 13,929,902
--------------
58,489,963
--------------
GREECE -- 3.4%
Republic of Greece
2.30%, 7/25/2030...................... 16,391,819 16,599,108
2.90%, 7/25/2025...................... 15,534,155 18,652,504
--------------
35,251,612
--------------
ISRAEL -- 4.7%
State of Israel
4.00%, 7/30/2021...................... 73,560,542 21,692,442
4.00%, 5/30/2036...................... 9,549,249 2,800,957
5.00%, 4/30/2015...................... 81,293,861 24,984,215
--------------
49,477,614
--------------
ITALY -- 4.8%
Republic of Italy
2.15%, 9/15/2014...................... 12,125,297 18,362,278
2.35%, 9/15/2035...................... 3,324,912 5,054,254
2.60%, 9/15/2023...................... 17,409,440 26,516,833
--------------
49,933,365
--------------
JAPAN -- 4.7%
Government of Japan 10 Year Bond
1.00%, 6/10/2016...................... 295,176,000 3,039,113
1.10%, 12/10/2016..................... 4,454,197,200 46,147,196
--------------
49,186,309
--------------
MEXICO -- 4.9%
United Mexican States
3.50%, 12/19/2013..................... 60,290,689 4,857,480
4.50%, 11/22/2035..................... 147,539,603 12,137,367
5.00%, 6/16/2016...................... 387,406,663 33,570,410
--------------
50,565,257
--------------
POLAND -- 2.6%
Republic of Poland
3.00%, 8/24/2016...................... 81,555,802 27,165,318
--------------
SOUTH AFRICA -- 3.8%
Republic of South Africa
3.45%, 12/7/2033...................... 108,188,921 15,581,635
6.25%, 3/31/2013...................... 158,881,350 24,325,265
--------------
39,906,900
--------------
SOUTH KOREA -- 2.5%
Republic of South Korea
2.75%, 3/10/2017...................... 30,406,203,050 25,829,448
--------------
SWEDEN -- 4.8%
Kingdom of Sweden
3.50%, 12/1/2015...................... 52,178,614 8,327,763
3.50%, 12/1/2028...................... 17,510,391 3,211,227
4.00%, 12/1/2020...................... 219,837,550 38,593,413
--------------
50,132,403
--------------
TURKEY -- 4.4%
Republic of Turkey
9.00%, 5/21/2014...................... 38,809,640 30,230,586
10.00%, 2/15/2012..................... 20,956,371 15,568,908
--------------
45,799,494
--------------
UNITED KINGDOM -- 18.8%
United Kingdom Treasury Bond
0.63%, 11/22/2042..................... 660,745 1,078,607
0.75%, 11/22/2047..................... 914,778 1,592,688
1.13%, 11/22/2037..................... 2,776,566 4,979,088
1.25%, 11/22/2017..................... 5,995,771 10,029,857
1.25%, 11/22/2027..................... 55,444,678 93,686,503
1.25%, 11/22/2055..................... 2,910,409 6,189,729
1.88%, 11/22/2022..................... 24,547,958 43,598,864
</Table>
See accompanying notes to financial statements.
95
SPDR DB INTERNATIONAL GOVERNMENT INFLATION-PROTECTED BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
2.00%, 1/26/2035...................... 1,691,612 $ 3,517,672
2.50%, 8/23/2011...................... 257,626 440,646
2.50%, 8/16/2013...................... 7,246,386 12,722,959
2.50%, 7/26/2016...................... 3,571,768 6,421,766
2.50%, 4/16/2020...................... 1,796,018 3,286,939
4.13%, 7/22/2030...................... 3,314,074 8,499,544
--------------
196,044,862
--------------
TOTAL FOREIGN GOVERNMENT OBLIGATIONS --
(Cost $1,020,671,045)................. 1,035,554,694
--------------
<Caption>
SHARES
------
SHORT TERM INVESTMENTS -- 0.4%
MONEY MARKET FUND -- 0.4%
State Street Institutional Liquid
Reserves Fund (a)(b)
(Cost $3,940,822)..................... 3,940,822 3,940,822
--------------
TOTAL INVESTMENTS -- 99.9% (C)
(Cost $1,024,611,867)................. 1,039,495,516
OTHER ASSETS AND
LIABILITIES -- 0.1%................... 1,217,447
--------------
NET ASSETS -- 100.0%.................... $1,040,712,963
==============
</Table>
<Table>
(a) Affiliated Fund managed by SSgA Funds Management, Inc.
(Note 3)
(b) Value is determined based on Level 1 inputs. (Note 2)
(c) Unless otherwise indicated, the values of the securities
of the Fund are determined based on Level 2 inputs. (Note
2)
</Table>
See accompanying notes to financial statements.
96
SPDR BARCLAYS CAPITAL SHORT TERM INTERNATIONAL TREASURY BOND ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
FOREIGN GOVERNMENT OBLIGATIONS -- 95.7%
AUSTRALIA -- 2.1%
Commonwealth of Australia
5.75%, 6/15/2011...................... 3,155,000 $ 2,890,226
------------
AUSTRIA -- 2.3%
Republic of Austria
5.00%, 7/15/2012 (a).................. 590,000 912,817
5.25%, 1/4/2011....................... 1,530,000 2,288,021
------------
3,200,838
------------
BELGIUM -- 3.3%
Kingdom of Belgium
2.00%, 3/28/2012...................... 2,300,000 3,331,107
5.00%, 9/28/2011...................... 755,000 1,149,835
------------
4,480,942
------------
CANADA -- 4.2%
Government of Canada
5.25%, 6/1/2012....................... 1,180,000 1,217,527
6.00%, 6/1/2011....................... 4,435,000 4,520,455
------------
5,737,982
------------
DENMARK -- 2.0%
Kingdom of Denmark
4.00%, 11/15/2012..................... 6,810,000 1,378,042
6.00%, 11/15/2011..................... 6,839,000 1,421,634
------------
2,799,676
------------
FRANCE -- 4.3%
Republic of France
5.00%, 4/25/2012...................... 1,760,000 2,723,762
6.50%, 4/25/2011...................... 2,090,000 3,212,398
------------
5,936,160
------------
GERMANY -- 11.4%
Federal Republic of Germany
4.00%, 4/13/2012...................... 3,390,000 5,142,301
5.00%, 7/4/2011....................... 4,575,000 6,942,719
5.00%, 7/4/2012....................... 2,335,000 3,630,110
------------
15,715,130
------------
GREECE -- 3.8%
Republic of Greece
3.80%, 3/20/2011...................... 1,500,000 2,151,263
4.30%, 3/20/2012...................... 2,090,000 2,994,907
------------
5,146,170
------------
HUNGARY -- 1.7%
Republic of Hungary
6.75%, 4/22/2011...................... 448,430,000 2,380,914
------------
ITALY -- 11.1%
Republic of Italy
3.00%, 3/1/2012....................... 2,275,000 3,344,967
4.25%, 10/15/2012..................... 3,445,000 5,216,833
5.25%, 8/1/2011....................... 4,375,000 6,641,157
------------
15,202,957
------------
JAPAN -- 22.3%
Government of Japan 5 Year Bond
0.80%, 12/20/2010..................... 524,100,000 5,670,673
1.10%, 9/20/2012...................... 216,000,000 2,377,269
1.20%, 9/20/2011...................... 1,433,750,000 15,674,378
1.50%, 6/20/2012...................... 590,100,000 6,542,291
Government of Japan 10 Year Bond
1.30%, 6/20/2012...................... 32,800,000 361,920
------------
30,626,531
------------
MEXICO -- 2.4%
United Mexican States
7.50%, 6/21/2012...................... 7,720,000 607,727
9.00%, 12/22/2011..................... 32,800,000 2,672,659
------------
3,280,386
------------
NETHERLANDS -- 3.9%
Kingdom of the Netherlands
5.00%, 7/15/2011...................... 3,235,000 4,910,801
5.00%, 7/15/2012...................... 300,000 465,926
------------
5,376,727
------------
POLAND -- 2.3%
Republic of Poland
4.75%, 4/25/2012...................... 9,230,000 3,203,662
------------
SINGAPORE -- 1.7%
Government of Singapore
3.63%, 7/1/2011....................... 3,115,000 2,319,839
------------
SOUTH AFRICA -- 1.5%
Republic of South Africa
13.00%, 8/31/2011..................... 14,060,000 2,067,633
------------
SOUTH KOREA -- 4.4%
Korea Treasury Bond
4.75%, 12/10/2011..................... 7,000,000,000 6,054,219
------------
SPAIN -- 4.4%
Kingdom of Spain
2.75%, 4/30/2012...................... 930,000 1,361,003
5.00%, 7/30/2012...................... 1,515,000 2,336,451
5.35%, 10/31/2011..................... 1,565,000 2,397,170
------------
6,094,624
------------
SWEDEN -- 1.9%
Kingdom of Sweden
5.25%, 3/15/2011...................... 15,220,000 2,253,701
5.50%, 10/8/2012...................... 2,260,000 348,377
------------
2,602,078
------------
UNITED KINGDOM -- 4.7%
United Kingdom Treasury Bond
4.25%, 3/7/2011....................... 1,350,000 2,267,466
5.00%, 3/7/2012....................... 2,375,000 4,115,700
------------
6,383,166
------------
TOTAL FOREIGN GOVERNMENT OBLIGATIONS --
(Cost $134,154,412)................... 131,499,860
------------
</Table>
See accompanying notes to financial statements.
97
SPDR BARCLAYS CAPITAL SHORT TERM INTERNATIONAL TREASURY BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
SHORT TERM INVESTMENTS -- 1.0%
MONEY MARKET FUND -- 1.0%
State Street Institutional Liquid
Reserves Fund (b)(c)
(Cost $1,430,513)..................... 1,430,513 $ 1,430,513
------------
TOTAL INVESTMENTS -- 96.7% (D)
(Cost $135,584,925)................... 132,930,373
OTHER ASSETS AND
LIABILITIES -- 3.3%................... 4,509,304
------------
NET ASSETS -- 100.0%.................... $137,439,677
============
</Table>
<Table>
(a) Security purchased pursuant to Rule 144A of the
Securities Act of 1933. This security, which represents
0.7% of net assets as of December 31, 2009, is considered
liquid and may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
(b) Affiliated Fund managed by SSgA Funds Management, Inc.
(Note 3)
(c) Value is determined based on Level 1 inputs. (Note 2)
(d) Unless otherwise indicated, the values of the securities
of the Fund are determined based on Level 2 inputs. (Note
2)
</Table>
At December 31, 2009, Open Forward Foreign Currency Exchange Contracts were as
follows:
Forwards Foreign Currency Contracts to Buy:
<Table>
<Caption>
NET UNREALIZED
CONTRACTS TO VALUE AT IN EXCHANGE APPRECIATION/
SETTLEMENT DATE DELIVER DECEMBER 31, 2009 FOR U.S. $ (DEPRECIATION)
- --------------- ------------ ----------------- ----------- --------------
3/5/2010 2,725,000 KRW $2,348,176 $2,355,832 $ (7,656)
3/5/2010 1,600,000 SGD 1,138,831 1,155,877 (17,046)
3/5/2010 94,700,000 TWD 3,012,566 2,973,743 38,823
--------
$ 14,121
========
</Table>
Forwards Foreign Currency Contracts to Sell:
<Table>
<Caption>
NET UNREALIZED
CONTRACTS TO VALUE AT IN EXCHANGE APPRECIATION/
SETTLEMENT DATE DELIVER DECEMBER 31, 2009 FOR U.S. $ (DEPRECIATION)
- --------------- ------------ ----------------- ----------- --------------
3/5/2010 2,100,000 KRW $1,809,604 $1,817,710 $ 8,106
3/5/2010 1,050,000 SGD 747,357 759,834 12,477
-------
$20,583
=======
$34,704
=======
</Table>
KRW -- South Korean Won
SGD -- Singapore Dollar
TWD -- Taiwan Dollar
See accompanying notes to financial statements.
98
SPDR BARCLAYS CAPITAL INTERNATIONAL TREASURY BOND ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
FOREIGN GOVERNMENT OBLIGATIONS -- 97.7%
AUSTRALIA -- 2.7%
Commonwealth of Australia
5.25%, 3/15/2019...................... 700,000 $ 611,389
5.75%, 6/15/2011...................... 6,400,000 5,862,899
6.00%, 2/15/2017...................... 25,065,000 23,164,151
6.50%, 5/15/2013...................... 10,570,000 9,939,991
--------------
39,578,430
--------------
AUSTRIA -- 3.6%
Republic of Austria
3.80%, 10/20/2013 (a)................. 14,050,000 21,145,776
4.65%, 1/15/2018...................... 13,835,000 21,393,071
6.25%, 7/15/2027...................... 6,565,000 11,538,054
--------------
54,076,901
--------------
BELGIUM -- 4.7%
Kingdom of Belgium
4.00%, 3/28/2019...................... 4,120,000 6,038,079
5.00%, 9/28/2012...................... 18,245,000 28,391,047
5.00%, 3/28/2035...................... 4,875,000 7,514,645
5.50%, 9/28/2017...................... 16,935,000 27,690,617
--------------
69,634,388
--------------
CANADA -- 4.5%
Government of Canada
2.75%, 12/1/2010...................... 7,675,000 7,459,469
3.75%, 6/1/2019....................... 1,300,000 1,253,684
4.00%, 6/1/2016....................... 24,520,000 24,600,693
5.00%, 6/1/2037....................... 7,300,000 8,011,303
5.25%, 6/1/2012....................... 14,340,000 14,796,046
5.75%, 6/1/2029....................... 9,360,000 10,768,888
--------------
66,890,083
--------------
DENMARK -- 2.7%
Kingdom of Denmark
4.00%, 11/15/2017..................... 27,005,000 5,401,411
4.00%, 11/15/2019..................... 16,000,000 3,161,150
4.50%, 11/15/2039..................... 42,660,000 8,558,347
5.00%, 11/15/2013..................... 111,820,000 23,500,106
--------------
40,621,014
--------------
FRANCE -- 4.5%
Republic of France
3.75%, 10/25/2019..................... 15,400,000 22,282,767
4.00%, 4/25/2013...................... 3,390,000 5,169,295
5.00%, 4/25/2012...................... 14,680,000 22,718,651
5.75%, 10/25/2032..................... 9,655,000 16,855,586
--------------
67,026,299
--------------
GERMANY -- 10.3%
Federal Republic of Germany
4.00%, 1/4/2037....................... 9,145,000 12,778,590
4.25%, 7/4/2017....................... 39,290,000 60,684,258
4.50%, 1/4/2013....................... 10,585,000 16,361,367
5.25%, 1/4/2011....................... 29,255,000 43,816,644
5.63%, 1/4/2028....................... 11,950,000 20,331,010
--------------
153,971,869
--------------
GREECE -- 4.2%
Republic of Greece
3.70%, 7/20/2015...................... 18,160,000 24,184,812
4.30%, 3/20/2012...................... 14,950,000 21,422,901
4.30%, 7/20/2017...................... 12,175,000 16,229,933
4.50%, 9/20/2037...................... 300,000 328,366
--------------
62,166,012
--------------
ITALY -- 11.5%
Republic of Italy
3.75%, 2/1/2011....................... 29,085,000 42,880,163
4.00%, 2/1/2037....................... 19,680,000 25,105,916
4.75%, 2/1/2013....................... 8,715,000 13,413,117
5.25%, 8/1/2017....................... 38,035,000 60,903,062
6.50%, 11/1/2027...................... 16,705,000 29,238,891
--------------
171,541,149
--------------
JAPAN -- 22.3%
Government of Japan 5 Year Bond
1.50%, 3/20/2011...................... 4,102,700,000 44,791,198
Government of Japan 10 Year Bond
1.30%, 6/20/2012...................... 5,977,600,000 65,957,659
1.50%, 9/20/2014...................... 5,678,400,000 63,938,192
1.70%, 12/20/2016..................... 3,255,600,000 37,142,201
Government of Japan 20 Year Bond
1.90%, 3/20/2029...................... 939,700,000 9,842,821
2.30%, 6/20/2027...................... 3,102,200,000 34,988,264
2.60%, 3/20/2019...................... 2,148,800,000 26,009,840
2.90%, 9/20/2019...................... 2,840,200,000 35,083,174
Government of Japan 30 Year Bond
2.40%, 3/20/2037...................... 1,281,750,000 14,200,460
--------------
331,953,809
--------------
MEXICO -- 2.8%
United Mexican States
7.25%, 12/15/2016..................... 135,650,000 10,219,208
9.00%, 12/20/2012..................... 231,950,000 18,816,600
10.00%, 12/5/2024..................... 136,280,000 11,961,270
--------------
40,997,078
--------------
NETHERLANDS -- 4.3%
Kingdom of the Netherlands
3.75%, 7/15/2014...................... 12,460,000 18,847,335
4.00%, 7/15/2018...................... 685,000 1,023,983
4.00%, 1/15/2037...................... 760,000 1,050,827
4.50%, 7/15/2017...................... 12,360,000 19,200,591
5.00%, 7/15/2011...................... 13,280,000 20,159,331
5.50%, 1/15/2028...................... 2,225,000 3,712,281
--------------
63,994,348
--------------
POLAND -- 2.8%
Republic of Poland
4.25%, 5/24/2011...................... 49,160,000 17,095,095
4.75%, 4/25/2012...................... 11,605,000 4,028,006
5.25%, 10/25/2017..................... 15,000,000 4,956,138
5.75%, 9/23/2022...................... 8,840,000 2,936,467
6.25%, 10/24/2015..................... 36,020,000 12,750,868
--------------
41,766,574
--------------
SOUTH AFRICA -- 2.5%
Republic of South Africa
7.25%, 1/15/2020...................... 43,105,000 5,133,304
10.50%, 12/21/2026 (b)................ 69,315,000 10,593,017
</Table>
See accompanying notes to financial statements.
99
SPDR BARCLAYS CAPITAL INTERNATIONAL TREASURY BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
13.50%, 9/15/2015..................... 130,935,000 $ 21,816,247
--------------
37,542,568
--------------
SPAIN -- 4.4%
Kingdom of Spain
3.15%, 1/31/2016...................... 18,120,000 25,848,686
4.20%, 1/31/2037...................... 6,675,000 8,784,936
4.60%, 7/30/2019...................... 13,300,000 20,031,233
6.15%, 1/31/2013...................... 6,600,000 10,539,380
--------------
65,204,235
--------------
SWEDEN -- 2.6%
Kingdom of Sweden
3.75%, 8/12/2017...................... 117,535,000 17,111,638
4.25%, 3/12/2019...................... 52,900,000 7,959,635
5.50%, 10/8/2012...................... 90,675,000 13,977,470
--------------
39,048,743
--------------
TAIWAN -- 2.7%
Government of Taiwan
0.25%, 10/21/2011..................... 250,000,000 7,800,094
1.38%, 9/9/2019....................... 350,000,000 10,813,769
2.00%, 7/20/2014...................... 375,000,000 12,292,555
2.13%, 8/13/2029...................... 250,000,000 7,816,203
2.38%, 9/21/2017...................... 50,000,000 1,686,404
--------------
40,409,025
--------------
UNITED KINGDOM -- 4.6%
United Kingdom Treasury Bond
4.25%, 3/7/2011....................... 5,135,000 8,624,768
4.50%, 3/7/2019....................... 1,600,000 2,667,989
4.75%, 9/7/2015....................... 8,560,000 14,994,476
4.75%, 12/7/2038...................... 9,902,000 16,848,909
5.00%, 3/7/2012....................... 3,750,000 6,498,475
5.00%, 3/7/2025....................... 10,995,000 18,839,576
--------------
68,474,193
--------------
TOTAL FOREIGN GOVERNMENT OBLIGATIONS --
(Cost $1,406,540,297)................. 1,454,896,718
--------------
<Caption>
SHARES
------
SHORT TERM INVESTMENTS -- 1.2%
MONEY MARKET FUNDS -- 1.2%
State Street Institutional Liquid
Reserves Fund (c)..................... 14,147,853 14,147,853
State Street Navigator Securities
Lending Prime Portfolio (c)(d)........ 2,801,235 2,801,235
--------------
TOTAL SHORT TERM INVESTMENTS -- (E)
(Cost $16,949,088).................... 16,949,088
--------------
TOTAL INVESTMENTS -- 98.9% (F)
(Cost $1,423,489,385)................. 1,471,845,806
OTHER ASSETS AND
LIABILITIES -- 1.1%................... 16,732,051
--------------
NET ASSETS -- 100.0%.................... $1,488,577,857
==============
</Table>
<Table>
(a) Security purchased pursuant to Rule 144A of the
Securities Act of 1933. This security, which represents
1.4% of net assets as of December 31, 2009, is considered
liquid and may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
(b) Security, or portion thereof, was on loan at December 31,
2009.
(c) Affiliated Fund managed by SSgA Funds Management, Inc.
(Note 3)
(d) Investments of cash collateral for securities loaned.
(e) Value is determined based on Level 1 inputs. (Note 2)
(f) Unless otherwise indicated, the values of the securities
of the Fund are determined based on Level 2 inputs. (
Note 2)
</Table>
At December 31, 2009, Open Forward Foreign Currency Exchange Contracts were as
follows:
Forwards Foreign Currency Conracts to Buy:
<Table>
<Caption>
NET UNREALIZED
CONTRACTS TO VALUE AT IN EXCHANGE APPRECIATION/
SETTLEMENT DATE DELIVER DECEMBER 31, 2009 FOR U.S. $ (DEPRECIATION)
- --------------- ------------ ----------------- ----------- --------------
3/5/2010 200,000 AUD $ 178,776 $ 183,466 $ (4,690)
3/5/2010 1,500,000 EUR 2,151,884 2,258,950 (107,066)
3/5/2010 30,000,000 JPY 322,355 342,314 (19,959)
3/5/2010 161,700,000 TWD 5,143,948 5,071,093 72,855
---------
$ (58,860)
=========
</Table>
Forwards Foreign Currency Conracts to Sell:
<Table>
<Caption>
NET UNREALIZED
CONTRACTS TO VALUE AT IN EXCHANGE APPRECIATION/
SETTLEMENT DATE DELIVER DECEMBER 31, 2009 FOR U.S. $ (DEPRECIATION)
- --------------- ------------ ----------------- ----------- --------------
3/5/2010 30,000,000 JPY $322,355 $346,460 $ 24,105
--------
$(34,755)
========
</Table>
See accompanying notes to financial statements.
100
SPDR BARCLAYS CAPITAL INTERNATIONAL TREASURY BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
AUD -- Australian Dollar
EUR -- Euro Currency
JPY -- Japanese Yen
TWD -- Taiwan Dollar
See accompanying notes to financial statements.
101
SPDR BARCLAYS CAPITAL HIGH YIELD BOND ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
CORPORATE BONDS & NOTES -- 98.3%
AEROSPACE & DEFENSE -- 0.5%
BE Aerospace, Inc.
8.50%, 7/1/2018....................... $ 16,827,000 $ 17,836,620
--------------
AIRLINES -- 1.1%
Delta Air Lines, Inc.
9.50%, 9/15/2014 (a).................. 18,360,000 19,071,450
United Air Lines, Inc.
9.75%, 1/15/2017 (b).................. 17,000,000 17,340,000
--------------
36,411,450
--------------
AUTO COMPONENTS -- 0.8%
The Goodyear Tire & Rubber Co.
10.50%, 5/15/2016..................... 24,914,000 27,529,970
--------------
AUTOMOBILES -- 0.8%
Navistar International Corp.
8.25%, 11/1/2021...................... 27,210,000 27,890,250
--------------
BEVERAGES -- 0.5%
Constellation Brands, Inc.:
7.25%, 9/1/2016....................... 14,200,000 14,413,000
7.25%, 5/15/2017...................... 4,000,000 4,055,000
--------------
18,468,000
--------------
BIOTECHNOLOGY -- 0.5%
Talecris Biotherapeutics Holdings Corp.
7.75%, 11/15/2016 (a)................. 15,875,000 16,113,125
--------------
BUILDING PRODUCTS -- 1.1%
Nortek, Inc.
11.00%, 12/15/2013.................... 18,771,058 19,615,755
Ply Gem Industries, Inc.
11.75%, 6/15/2013..................... 17,769,000 17,769,000
--------------
37,384,755
--------------
CHEMICALS -- 1.9%
Ashland, Inc.
9.13%, 6/1/2017 (a)................... 15,660,000 17,186,850
Huntsman International LLC
5.50%, 6/30/2016 (a).................. 15,000,000 13,312,500
Momentive Performance Materials, Inc.
9.75%, 12/1/2014...................... 17,425,000 16,771,562
Terra Capital, Inc.
7.75%, 11/1/2019 (a).................. 17,600,000 18,832,000
--------------
66,102,912
--------------
COMMERCIAL BANKS -- 1.0%
BAC Capital Trust XI
6.63%, 5/23/2036...................... 3,710,000 3,315,145
BAC Capital Trust XIV
5.63%, 12/31/2049 (b)(c).............. 16,505,000 11,388,450
Royal Bank of Scotland Group PLC
7.64%, 3/31/2049 (c).................. 35,965,000 19,421,100
--------------
34,124,695
--------------
COMMERCIAL SERVICES & SUPPLIES -- 4.2%
ARAMARK Corp.
8.50%, 2/1/2015....................... 33,822,000 34,836,660
Ceridian Corp.
11.25%, 11/15/2015.................... 22,100,000 21,077,875
Hertz Corp.
8.88%, 1/1/2014....................... 45,466,000 46,488,985
National Money Mart Co.
10.38%, 12/15/2016 (a)................ 12,000,000 12,270,000
Servicemaster Co. PIK
10.75%, 7/15/2015 (a)(b).............. 26,500,000 27,560,000
--------------
142,233,520
--------------
CONTAINERS & PACKAGING -- 0.5%
Owens-Brockway Glass Container, Inc.
7.38%, 5/15/2016 (a).................. 16,740,000 17,284,050
--------------
DISTRIBUTORS -- 0.7%
McJunkin Red Man Corp.
9.50%, 12/15/2016 (a)................. 24,440,000 23,890,100
--------------
DIVERSIFIED CONSUMER SERVICES -- 0.9%
Reynolds Group Issuer, Inc.
7.75%, 10/15/2016 (a)................. 28,400,000 29,039,000
--------------
DIVERSIFIED FINANCIAL SERVICES -- 7.0%
CIT Group, Inc.:
7.00%, 5/1/2013....................... 2,071,302 1,931,489
7.00%, 5/1/2014....................... 3,106,953 2,885,583
7.00%, 5/1/2015....................... 3,106,953 2,780,723
7.00%, 5/1/2016....................... 5,178,256 4,556,865
7.00%, 5/1/2017....................... 7,249,559 6,288,992
Citigroup Capital XXI
8.30%, 12/21/2077 (c)................. 62,640,000 60,291,000
Ford Motor Credit Co. LLC
7.50%, 8/1/2012....................... 46,100,000 46,489,914
GMAC LLC:
6.63%, 5/15/2012 (a).................. 3,197,000 3,133,060
6.88%, 9/15/2011 (a).................. 78,437,000 77,260,445
Nuveen Investments, Inc.
10.50%, 11/15/2015 (a)................ 20,905,000 18,971,288
Petroplus Finance, Ltd.
7.00%, 5/1/2017 (a)(b)................ 16,750,000 15,075,000
--------------
239,664,359
--------------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 7.4%
Cricket Communications, Inc.
9.38%, 11/1/2014...................... 26,243,000 26,374,215
Global Crossing Ltd.
12.00%, 9/15/2015 (a)................. 19,860,000 21,796,350
Inmarsat Finance PLC
7.38%, 12/1/2017 (a).................. 17,375,000 17,765,938
Intelsat Bermuda, Ltd.:
11.25%, 6/15/2016..................... 15,680,000 16,973,600
11.25%, 2/4/2017 (a)(d)............... 58,500,000 58,646,250
Level 3 Financing, Inc.
9.25%, 11/1/2014...................... 15,387,000 14,540,715
Virgin Media Finance PLC
9.50%, 8/15/2016...................... 35,735,000 38,370,456
Wind Acquisition Finance SA
11.75%, 7/15/2017 (a)(b).............. 52,070,000 56,886,475
--------------
251,353,999
--------------
</Table>
See accompanying notes to financial statements.
102
SPDR BARCLAYS CAPITAL HIGH YIELD BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
ELECTRIC UTILITIES -- 6.7%
Calpine Construction Finance Co. LP and
CCFC Finance Corp.
8.00%, 6/1/2016 (a)................... $ 21,200,000 $ 21,836,000
Calpine Corp.
7.25%, 10/15/2017 (a)................. 8,000,000 7,680,000
Edison Mission Energy
7.00%, 5/15/2017...................... 29,994,000 23,695,260
Intergen NV
9.00%, 6/30/2017 (a).................. 33,309,000 34,724,633
NRG Energy, Inc.
7.38%, 2/1/2016....................... 17,608,000 17,630,010
RRI Energy, Inc.
7.88%, 6/15/2017...................... 19,130,000 18,795,225
Texas Competitive Electric Holdings Co.
LLC
10.25%, 11/1/2015..................... 76,285,000 61,790,850
The AES Corp.
8.00%, 10/15/2017..................... 40,489,000 41,551,836
--------------
227,703,814
--------------
ELECTRONIC EQUIPMENT, INSTRUMENTS &
COMPONENTS -- 0.6%
NXP BV/NXP Funding LLC
9.50%, 10/15/2015 (a)................. 24,500,000 20,947,500
--------------
FOOD PRODUCTS -- 1.5%
Smithfield Foods, Inc.
10.00%, 7/15/2014 (a)................. 22,705,000 24,634,925
Tyson Foods, Inc.:
7.85%, 4/1/2016....................... 13,525,000 13,863,125
10.50%, 3/1/2014 (a).................. 10,000,000 11,425,000
--------------
49,923,050
--------------
HEALTH CARE EQUIPMENT & SUPPLIES -- 2.3%
Bausch & Lomb, Inc.
9.88%, 11/1/2015...................... 15,602,000 16,460,110
Biomet, Inc.
11.63%, 10/15/2017 (b)................ 25,787,000 28,494,635
Boston Scientific Corp.
6.00%, 1/15/2020...................... 22,890,000 23,388,476
VWR Funding, Inc. PIK
Series B 10.25%, 7/15/2015 (b)........ 11,350,000 11,804,000
--------------
80,147,221
--------------
HEALTH CARE PROVIDERS & SERVICES -- 6.8%
Apria Healthcare Group, Inc.
11.25%, 11/1/2014 (a)................. 17,010,000 18,668,475
Community Health Systems, Inc.
8.88%, 7/15/2015...................... 74,091,000 76,684,185
HCA, Inc.
9.25%, 11/15/2016 (b)................. 83,963,000 90,155,271
Tenet Healthcare Corp.:
8.88%, 7/1/2019 (a)(b)................ 7,005,000 7,565,400
10.00%, 5/1/2018 (a)(b)............... 16,625,000 18,620,000
US Oncology, Inc.
9.13%, 8/15/2017 (a)(b)............... 19,270,000 20,233,500
--------------
231,926,831
--------------
HOTELS, RESTAURANTS & LEISURE -- 3.7%
Ameristar Casinos, Inc.
9.25%, 6/1/2014 (a)................... 17,970,000 18,643,875
Harrah's Operating Co., Inc.
10.00%, 12/15/2018 (a)................ 83,532,000 67,034,430
MGM Mirage, Inc.:
11.13%, 11/15/2017 (a)................ 7,445,000 8,245,338
13.00%, 11/15/2013 (a)................ 15,111,000 17,339,872
Wyndham Worldwide Corp.
6.00%, 12/1/2016...................... 17,433,000 16,240,478
--------------
127,503,993
--------------
HOUSEHOLD DURABLES -- 1.0%
Jarden Corp.
7.50%, 5/1/2017....................... 16,192,000 16,151,520
K Hovnanian Enterprises, Inc.:
8.63%, 1/15/2017...................... 100,000 72,000
10.63%, 10/15/2016 (a)................ 16,000,000 16,720,000
--------------
32,943,520
--------------
INSURANCE -- 3.2%
American International Group, Inc.
8.18%, 5/15/2058 (c).................. 100,405,000 66,267,300
Liberty Mutual Group, Inc.
10.75%, 6/15/2058 (a)(c).............. 31,700,000 33,602,000
MBIA Insurance Corp.
14.00%, 1/15/2033 (a)(b)(c)........... 25,000,000 10,750,000
--------------
110,619,300
--------------
IT SERVICES -- 2.8%
First Data Corp.
11.25%, 3/31/2016 (a)(b).............. 61,420,000 52,514,100
First Data Corp. PIK
10.55%, 9/24/2015..................... 27,000,000 23,962,500
GXS Worldwide, Inc.
9.75%, 6/15/2015 (a).................. 18,890,000 18,559,425
--------------
95,036,025
--------------
MACHINERY -- 1.3%
Case New Holland, Inc.
7.75%, 9/1/2013 (a)................... 26,400,000 26,994,000
Terex Corp.
8.00%, 11/15/2017..................... 19,769,000 19,027,663
--------------
46,021,663
--------------
MEDIA -- 9.3%
AMC Entertainment, Inc.
8.75%, 6/1/2019....................... 15,375,000 15,682,500
Cablevision Systems Corp.
8.63%, 9/15/2017 (a).................. 24,375,000 25,380,469
CCH II LLC / CCH II Capital Corp.
13.50%, 11/30/2016.................... 12,075,000 14,218,313
Cengage Learn Aquisitions, Inc.
10.50%, 1/15/2015 (a)................. 30,820,000 29,471,625
Cequel Communications Holdings I LLC and
Cequel Capital Corp.
8.63%, 11/15/2017 (a)................. 16,075,000 16,235,750
Clear Channel Communications, Inc.
10.75%, 8/1/2016...................... 21,500,000 16,877,500
</Table>
See accompanying notes to financial statements.
103
SPDR BARCLAYS CAPITAL HIGH YIELD BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
Clear Channel Worldwide Holdings, Inc.
9.25%, 12/15/2017 (a)................. $ 31,615,000 $ 32,544,250
DISH DBS Corp.
7.88%, 9/1/2019 (a)................... 16,600,000 17,409,250
Echostar DBS Corp.
7.13%, 2/1/2016....................... 10,252,000 10,469,855
Interpublic Group of Cos, Inc.
10.00%, 7/15/2017 (a)................. 14,870,000 16,505,700
Quebecor Media, Inc.
7.75%, 3/15/2016...................... 17,432,000 17,388,420
Umbrella Acquisition, Inc. PIK
9.75%, 3/15/2015 (a).................. 38,350,000 33,604,187
UPC Germany GmbH
8.13%, 12/1/2017 (a).................. 20,880,000 21,114,900
WMG Acquisition Corp.
9.50%, 6/15/2016 (a).................. 28,715,000 30,760,944
XM Satellite Radio, Inc.
13.00%, 8/1/2013 (a).................. 19,162,000 20,814,722
--------------
318,478,385
--------------
METALS & MINING -- 2.3%
Steel Dynamics, Inc.
7.38%, 11/1/2012...................... 18,452,000 19,005,560
Teck Resources Ltd.
10.75%, 5/15/2019 (a)................. 50,365,000 60,186,175
--------------
79,191,735
--------------
MULTILINE RETAIL -- 3.6%
Dollar General Corp.
10.63%, 7/15/2015 (b)................. 29,627,000 32,811,902
JC Penney Corp, Inc.
6.38%, 10/15/2036..................... 17,025,000 15,118,200
Macy's Retail Holdings, Inc.:
5.35%, 3/15/2012...................... 5,000,000 5,106,250
5.90%, 12/1/2016...................... 24,375,000 23,765,625
Rite Aid Corp.
9.50%, 6/15/2017...................... 22,040,000 19,174,800
SUPERVALU, Inc.
8.00%, 5/1/2016 (b)................... 25,903,000 26,291,545
--------------
122,268,322
--------------
OIL, GAS & CONSUMABLE FUELS -- 9.9%
Arch Coal, Inc.
8.75%, 8/1/2016 (a)................... 15,990,000 16,909,425
Chesapeake Energy Corp.:
6.50%, 8/15/2017...................... 1,750,000 1,715,000
7.25%, 12/15/2018..................... 4,550,000 4,584,125
9.50%, 2/15/2015...................... 33,453,000 36,714,667
Citic Resources Finance, Ltd.
6.75%, 5/15/2014 (a).................. 6,500,000 6,337,500
Dynegy Holdings, Inc.
7.75%, 6/1/2019....................... 27,298,000 23,681,015
El Paso Corp.:
7.00%, 6/15/2017...................... 19,877,000 19,713,850
7.25%, 6/1/2018....................... 4,000,000 3,951,992
Energy XXI Gulf Coast, Inc.
10.00%, 6/15/2013..................... 839 776
Energy XXI Gulf Coast, Inc. PIK
16.00%, 6/15/2014 (a)................. 129 142
Enterprise Products Operating LP
7.03%, 1/15/2068 (b)(c)............... 18,775,000 17,226,063
Expro Finance Luxembourg SCA
8.50%, 12/15/2016 (a)................. 18,615,000 18,475,387
Forest Oil Corp.
7.25%, 6/15/2019...................... 26,448,000 26,117,400
Newfield Exploration Co.
7.13%, 5/15/2018...................... 14,025,000 14,165,250
OPTI Canada, Inc.
8.25%, 12/15/2014..................... 19,782,000 16,295,423
PetroHawk Energy Corp.
7.88%, 6/1/2015....................... 22,275,000 22,497,750
Plains Exploration & Production Co.
7.75%, 6/15/2015...................... 16,171,000 16,453,993
Quicksilver Resources, Inc.
11.75%, 1/1/2016...................... 15,385,000 17,461,975
Sabine Pass LNG LP
7.50%, 11/30/2016..................... 37,073,000 30,863,272
SandRidge Energy, Inc.
8.00%, 6/1/2018 (a)................... 21,045,000 20,676,712
Southern Union Co.
7.20%, 11/1/2066 (c).................. 25,000 21,375
Southwestern Energy Co.
7.50%, 2/1/2018 (a)(b)................ 15,971,000 16,929,260
Williams Partners LP/Williams Partners
Finance Corp.
7.25%, 2/1/2017....................... 8,525,000 8,611,887
--------------
339,404,239
--------------
PAPER & FOREST PRODUCTS -- 1.9%
Georgia-Pacific LLC:
7.13%, 1/15/2017 (a).................. 14,778,000 14,962,725
8.25%, 5/1/2016 (a)................... 4,000,000 4,240,000
NewPage Corp.
11.38%, 12/31/2014 (a)................ 44,715,000 45,162,150
--------------
64,364,875
--------------
PHARMACEUTICALS -- 0.4%
Elan Corp. PLC
8.75%, 10/15/2016 (a)................. 15,285,000 14,597,175
--------------
REAL ESTATE INVESTMENT TRUSTS -- 1.7%
Felcor Lodging LP
10.00%, 10/1/2014 (a)................. 16,850,000 16,997,437
Residential Capital LLC
9.63%, 5/15/2015...................... 47,165,000 40,090,250
--------------
57,087,687
--------------
REAL ESTATE MANAGEMENT & DEVELOPMENT -- 1.0%
Realogy Corp.
10.50%, 4/15/2014..................... 41,322,000 35,743,530
--------------
ROAD & RAIL -- 0.5%
RailAmerica, Inc.
9.25%, 7/1/2017 (a)................... 16,945,000 18,025,244
--------------
SEMICONDUCTORS -- 1.0%
Freescale Semiconductor, Inc.
8.88%, 12/15/2014..................... 35,413,000 32,491,428
--------------
</Table>
See accompanying notes to financial statements.
104
SPDR BARCLAYS CAPITAL HIGH YIELD BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
SPECIALTY RETAIL -- 2.5%
Blockbuster, Inc.
11.75%, 10/1/2014 (a)................. $ 16,375,000 $ 15,556,250
Limited Brands, Inc.
6.90%, 7/15/2017 (b).................. 17,521,000 17,499,099
QVC, Inc.
7.50%, 10/1/2019 (a).................. 25,815,000 26,331,300
Toys R Us Property Co. I LLC
10.75%, 7/15/2017 (a)................. 23,925,000 26,197,875
--------------
85,584,524
--------------
WIRELESS TELECOMMUNICATION SERVICES -- 5.4%
CC Holdings GS V LLC/Crown Castle GS III
Corp.
7.75%, 5/1/2017 (a)(b)................ 16,040,000 17,082,600
Clearwire Communications LLC/Clearwire
Finance, Inc.
12.00%, 12/1/2015 (a)................. 42,155,000 42,787,325
Cricket Communications, Inc.
7.75%, 5/15/2016...................... 2,500,000 2,493,750
Crown Castle International Corp.
9.00%, 1/15/2015...................... 10,600,000 11,289,000
Frontier Communications Corp.
8.25%, 5/1/2014....................... 16,025,000 16,706,062
Level 3 Financing, Inc.
8.75%, 2/15/2017...................... 2,000,000 1,825,000
NII Capital Corp.
10.00%, 8/15/2016 (a)................. 22,600,000 23,673,500
Sprint Nextel Corp.:
6.00%, 12/1/2016...................... 37,348,000 34,080,049
8.38%, 8/15/2017...................... 2,000,000 2,040,000
Telesat Canada / Telesat LLC
11.00%, 11/1/2015 (a)................. 15,725,000 17,061,625
Windstream Corp.
7.88%, 11/1/2017 (a).................. 16,000,000 15,800,000
--------------
184,838,911
--------------
TOTAL CORPORATE BONDS & NOTES --
(Cost $3,031,066,830)................. 3,360,175,777
--------------
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 0.0% (E)
BUILDING PRODUCTS -- 0.0% (E)
Nortek, Inc. (b)
(Cost $489,836)....................... 18,688 654,080
--------------
SHORT TERM INVESTMENTS -- 0.8%
MONEY MARKET FUND -- 0.8%
State Street Institutional Liquid
Reserves Fund (f)(g)
(Cost $27,304,566).................... 27,304,566 27,304,566
--------------
TOTAL INVESTMENTS -- 99.1% (H)
(Cost $3,058,861,232)................. 3,388,134,423
OTHER ASSETS AND
LIABILITIES -- 0.9%................... 30,660,152
--------------
NET ASSETS -- 100.0%.................... $3,418,794,575
==============
</Table>
<Table>
(a) Security purchased pursuant to Rule 144A of the
Securities Act of 1933. These securities, which represent
46.9% of net assets as of December 31, 2009, are
considered liquid and may be resold in transactions
exempt from registration, normally to qualified
institutional buyers.
(b) Securities are valued at fair value as determined in good
faith by the Trust's Pricing and Investment Committee in
accordance with the procedures approved by the Board of
Trustees.
(c) Variable-rate security. Rate shown is rate in effect at
December 31, 2009.
(d) Step Bond -- coupon rate increases in increments to
maturity. Rate disclosed is as of December 31, 2009.
Maturity date indicated represents the instrument's
ultimate maturity date.
(e) Amount shown represents less than 0.05% of net assets.
(f) Value determined based on Level 1 inputs. (Note 2)
(g) Affiliated Fund managed by SSgA Funds Management, Inc.
(Note 3)
(h) Unless otherwise indicated, the values of the securities
of the Fund are determined based on Level 2 inputs. (Note
2)
</Table>
PIK = Payment in Kind
At December 31, 2009, outstanding credit default swap contracts -- sell
protection were as follows:
<Table>
<Caption>
UPFRONT
RECEIVE EXPIRATION NOTIONAL MARKET PREMIUMS
COUNTERPARTY REFERENCE OBLIGATION FIXED RATE DATE AMOUNT VALUE (RECEIVED)
- ------------ -------------------- ---------- ---------- -------- ------ ----------
Barclays Capital Harrah's Operating Co., Inc. 5.00% 12/20/2018 $15,000,000 $(4,909,083) $(6,225,694)
<Caption>
UNREALIZED
APPRECIATION/
COUNTERPARTY (DEPRECIATION)
- ------------ --------------
Barclays Capital $1,316,611
</Table>
See accompanying notes to financial statements.
105
SPDR BARCLAYS CAPITAL SHORT TERM CORPORATE BOND ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
CORPORATE BONDS & NOTES -- 95.6%
AUTOMOBILES -- 1.5%
Daimler Finance North America LLC
7.30%, 1/15/2012...................... $ 200,000 $ 217,552
-----------
CAPITAL MARKETS -- 10.1%
Morgan Stanley
6.60%, 4/1/2012....................... 500,000 542,968
The Bear Stearns Cos LLC
5.35%, 2/1/2012....................... 300,000 315,129
The Goldman Sachs Group, Inc.
6.60%, 1/15/2012...................... 600,000 649,987
-----------
1,508,084
-----------
COMMERCIAL BANKS -- 6.8%
BB&T Corp.
6.50%, 8/1/2011....................... 300,000 320,474
Deutsche Bank AG
5.38%, 10/12/2012..................... 45,000 48,593
JPMorgan Chase & Co.
5.38%, 10/1/2012...................... 250,000 270,791
The Bank of New York Mellon Corp.
4.95%, 11/1/2012...................... 100,000 107,687
Wells Fargo & Co.
5.25%, 10/23/2012..................... 250,000 267,216
-----------
1,014,761
-----------
COMPUTERS & PERIPHERALS -- 3.5%
Hewlett-Packard Co.
2.25%, 5/27/2011...................... 200,000 202,654
International Business Machines Corp.
4.75%, 11/29/2012..................... 300,000 321,816
-----------
524,470
-----------
DIVERSIFIED FINANCIAL SERVICES -- 23.7%
Bank of America Corp.
5.38%, 8/15/2011...................... 150,000 158,053
Citigroup, Inc.
5.63%, 8/27/2012...................... 500,000 516,573
Countrywide Financial Corp.
5.80%, 6/7/2012....................... 400,000 426,500
Credit Suisse USA, Inc.:
5.25%, 3/2/2011....................... 200,000 207,603
6.13%, 11/15/2011..................... 350,000 377,105
General Electric Capital Corp.:
5.25%, 10/19/2012..................... 200,000 213,441
5.50%, 4/28/2011...................... 350,000 366,900
6.00%, 6/15/2012...................... 500,000 539,083
HSBC Finance Corp.
7.00%, 5/15/2012...................... 500,000 542,587
International Lease Finance Corp.
5.30%, 5/1/2012....................... 200,000 172,000
-----------
3,519,845
-----------
ELECTRIC UTILITIES -- 2.2%
Southern Power Co.
6.25%, 7/15/2012...................... 300,000 328,328
-----------
FOOD & STAPLES RETAILING -- 4.7%
Target Corp.
5.88%, 3/1/2012....................... 150,000 162,465
The Kroger Co.
6.75%, 4/15/2012...................... 300,000 326,159
Wal-Mart Stores, Inc.
4.13%, 2/15/2011...................... 200,000 206,399
-----------
695,023
-----------
FOOD PRODUCTS -- 4.3%
HJ Heinz Finance Co.
6.00%, 3/15/2012...................... 400,000 428,162
Kraft Foods, Inc.
6.25%, 6/1/2012....................... 200,000 215,822
-----------
643,984
-----------
HEALTH CARE PROVIDERS & SERVICES -- 1.8%
UnitedHealth Group, Inc.
5.25%, 3/15/2011...................... 250,000 258,729
-----------
INSURANCE -- 2.7%
Prudential Financial, Inc.
3.63%, 9/17/2012...................... 400,000 404,486
-----------
MACHINERY -- 1.9%
John Deere Capital Corp.
7.00%, 3/15/2012...................... 250,000 277,151
-----------
MEDIA -- 4.4%
The Walt Disney Co.
6.38%, 3/1/2012....................... 150,000 163,881
Time Warner Cable, Inc.
5.40%, 7/2/2012....................... 250,000 266,927
Time Warner, Inc.
6.88%, 5/1/2012....................... 200,000 218,804
-----------
649,612
-----------
METALS & MINING -- 2.8%
Alcoa, Inc.
6.50%, 6/1/2011....................... 400,000 419,000
-----------
OIL, GAS & CONSUMABLE FUELS -- 8.8%
Conoco Funding Co.
6.35%, 10/15/2011..................... 500,000 544,084
Devon Financing Corp. ULC
6.88%, 9/30/2011...................... 300,000 325,010
Enterprise Products Operating LLC
7.63%, 2/15/2012...................... 400,000 442,153
-----------
1,311,247
-----------
PHARMACEUTICALS -- 3.6%
AstraZeneca PLC
5.40%, 9/15/2012...................... 300,000 327,400
Pfizer, Inc.
4.45%, 3/15/2012...................... 200,000 211,011
-----------
538,411
-----------
SOFTWARE -- 1.4%
Oracle Corp.
5.00%, 1/15/2011...................... 200,000 208,260
-----------
</Table>
See accompanying notes to financial statements.
106
SPDR BARCLAYS CAPITAL SHORT TERM CORPORATE BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
WIRELESS TELECOMMUNICATION SERVICES -- 11.4%
Cellco Partnership / Verizon Wireless
Capital LLC
3.75%, 5/20/2011...................... $ 250,000 $ 258,103
France Telecom SA
7.75%, 3/1/2011....................... 200,000 214,655
New Cingular Wireless Services, Inc.
8.13%, 5/1/2012....................... 400,000 452,731
Verizon Global Funding Corp.
7.38%, 9/1/2012....................... 300,000 340,078
Verizon New York, Inc.
Series A 6.88%, 4/1/2012.............. 400,000 432,198
-----------
1,697,765
-----------
TOTAL CORPORATE BONDS & NOTES --
(Cost $14,299,694).................... 14,216,708
-----------
<Caption>
SHARES
------
SHORT TERM INVESTMENTS -- 9.8%
MONEY MARKET FUND -- 9.8%
State Street Institutional Liquid
Reserves Fund (a)(b)
(Cost $1,461,196)..................... 1,461,196 1,461,196
-----------
TOTAL INVESTMENTS -- 105.4% (C)
(Cost $15,760,890).................... 15,677,904
OTHER ASSETS AND
LIABILITIES -- (5.4)%................. (799,050)
-----------
NET ASSETS -- 100.0%.................... $14,878,854
===========
</Table>
<Table>
(a) Affiliated Fund managed by SSgA Funds Management, Inc.
(Note 3)
(b) Value is determined based on Level 1 inputs. (Note 2)
(c) Unless otherwise indicated, the values of the securities
of the Fund are determined based on Level 2 inputs. (Note
2)
</Table>
See accompanying notes to financial statements.
107
SPDR SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR BARCLAYS
SPDR BARCLAYS CAPITAL
CAPITAL 1-3 SPDR BARCLAYS INTERMEDIATE
MONTH CAPITAL TERM
T-BILL ETF TIPS ETF TREASURY ETF
--------------- --------------- ---------------
ASSETS
Investments in securities of
unaffiliated issuers, at value*
(Note 2)........................... $ 751,949,321 $344,847,294 $203,465,764
Investments in securities of
affiliated issuers, at value
(Note 3)........................... 349,733 71,994,306 42,903,672
-------------- ------------ ------------
Total Investments.................. 752,299,054 416,841,600 246,369,436
Cash.................................. -- -- 48,193
Receivable for investments sold....... 429,529,449 -- 3,958,236
Interest receivable................... 22,122 2,925,539 1,392,335
Receivable for when issued/
delayed securities................. -- -- --
-------------- ------------ ------------
TOTAL ASSETS....................... 1,181,850,625 419,767,139 251,768,200
-------------- ------------ ------------
LIABILITIES
Payable upon return of
securities loaned.................. -- 71,137,330 42,038,164
Payable for investments purchased..... 429,673,199 -- 3,746,832
Payable for when
issued/delayed securities.......... -- -- --
Distributions payable................. 62,568 744,550 640,293
Deferred income for dollar rolls...... -- -- --
Accrued advisory fee (Note 3)......... 88,301 54,454 22,674
Accrued trustee fees (Note 3)......... 4,156 1,511 850
-------------- ------------ ------------
TOTAL LIABILITIES.................. 429,828,224 71,937,845 46,448,813
-------------- ------------ ------------
NET ASSETS......................... $ 752,022,401 $347,829,294 $205,319,387
============== ============ ============
NET ASSETS CONSIST OF:
Paid in capital (Note 4).............. $ 752,085,073 $339,280,973 $206,157,724
Undistributed (distribution in excess
of) net investment income.......... (81,873) (41,839) (217,706)
Accumulated net realized gain (loss)
on investments and foreign
currency transactions.............. 25,604 (1,596,016) (90,474)
Net unrealized appreciation
(depreciation) on :
Investments........................ (6,403) 10,186,176 (530,157)
-------------- ------------ ------------
NET ASSETS......................... $ 752,022,401 $347,829,294 $205,319,387
============== ============ ============
NET ASSET VALUE PER SHARE
Net asset value per share............. $ 45.85 $ 51.15 $ 57.03
============== ============ ============
Shares outstanding (unlimited amount
authorized, $0.01 par value)....... 16,400,461 6,800,225 3,600,168
============== ============ ============
COST OF INVESTMENTS:
Unaffiliated issuers.................. $ 751,955,724 $334,661,118 $203,995,921
Affiliated issuers.................... 349,733 71,994,306 42,903,672
-------------- ------------ ------------
Total cost of investments............. $ 752,305,457 $406,655,424 $246,899,593
============== ============ ============
* Investments of securities on loan,
at value........................... $ -- $ 69,667,034 $ 41,087,787
============== ============ ============
</Table>
See accompanying notes to financial statements.
108
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR BARCLAYS
SPDR BARCLAYS CAPITAL SPDR BARCLAYS SPDR BARCLAYS SPDR BARCLAYS SPDR BARCLAYS
CAPITAL LONG INTERMEDIATE CAPITAL LONG CAPITAL CAPITAL CAPITAL
TERM TERM CREDIT TERM CREDIT CONVERTIBLE MORTGAGE BACKED AGGREGATE
TREASURY ETF BOND ETF BOND ETF BOND ETF BOND ETF BOND ETF
- --------------- --------------- --------------- --------------- --------------- ---------------
$15,719,254 $52,313,679 $24,090,744 $226,179,589 $10,509,113 $226,898,162
3,271,435 2,202,892 227,845 6,789,657 10,807,844 109,184,845
----------- ----------- ----------- ------------ ----------- ------------
18,990,689 54,516,571 24,318,589 232,969,246 21,316,957 336,083,007
-- -- -- 30,375 -- --
302,855 -- -- -- -- 4,210,318
219,307 726,146 384,326 899,698 22,172 1,550,257
-- -- -- -- 424,146 --
----------- ----------- ----------- ------------ ----------- ------------
19,512,851 55,242,717 24,702,915 233,899,319 21,763,275 341,843,582
----------- ----------- ----------- ------------ ----------- ------------
3,265,304 112,890 -- -- -- 35,669,261
240,867 1,145,710 -- -- -- --
-- -- -- -- 11,079,001 94,787,908
56,092 269,963 176,872 1,875,202 143,169 4,140,503
-- -- -- -- 6,625 70,374
1,869 6,911 2,895 72,895 1,694 21,024
75 220 60 611 37 962
----------- ----------- ----------- ------------ ----------- ------------
3,564,207 1,535,694 179,827 1,948,708 11,230,526 134,690,032
----------- ----------- ----------- ------------ ----------- ------------
$15,948,644 $53,707,023 $24,523,088 $231,950,611 $10,532,749 $207,153,550
=========== =========== =========== ============ =========== ============
$16,850,364 $51,910,336 $23,645,422 $212,224,622 $10,556,469 $204,780,571
(14,685) (96,837) (26,199) (726,506) (8,609) (434,470)
(63,918) 256,656 87,357 973,351 98,230 1,640,106
(823,117) 1,636,868 816,508 19,479,144 (113,341) 1,167,343
----------- ----------- ----------- ------------ ----------- ------------
$15,948,644 $53,707,023 $24,523,088 $231,950,611 $10,532,749 $207,153,550
=========== =========== =========== ============ =========== ============
$ 53.16 $ 31.59 $ 35.03 $ 37.41 $ 26.33 $ 54.51
=========== =========== =========== ============ =========== ============
300,000 1,700,072 700,000 6,200,000 400,000 3,800,132
=========== =========== =========== ============ =========== ============
$16,542,371 $50,676,811 $23,274,236 $206,700,445 $10,622,454 $225,730,819
3,271,435 2,202,892 227,845 6,789,657 10,807,844 109,184,845
----------- ----------- ----------- ------------ ----------- ------------
$19,813,806 $52,879,703 $23,502,081 $213,490,102 $21,430,298 $334,915,664
=========== =========== =========== ============ =========== ============
$ 3,189,850 $ 110,221 $ -- $ -- $ -- $ 34,871,077
=========== =========== =========== ============ =========== ============
</Table>
109
SPDR SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR BARCLAYS
SPDR BARCLAYS CAPITAL SPDR BARCLAYS
CAPITAL CALIFORNIA CAPITAL NEW
MUNICIPAL MUNICIPAL YORK MUNICIPAL
BOND ETF BOND ETF BOND ETF
--------------- --------------- ---------------
ASSETS
Investments in securities of
unaffiliated issuers, at value*
(Note 2)........................... $800,308,654 $59,209,823 $19,885,570
Investments in securities of
affiliated issuers, at value
(Note 3)........................... 2,662,520 69,261 33,808
------------ ----------- -----------
Total Investments.................. 802,971,174 59,279,084 19,919,378
Cash.................................. -- -- --
Foreign currency, at value............ -- -- --
Receivable for investments sold....... -- -- --
Receivable for fund shares sold
in- kind........................... -- -- --
Unrealized appreciation on forward
currency contracts................. -- -- --
Interest receivable................... 9,733,170 854,392 226,736
------------ ----------- -----------
TOTAL ASSETS....................... 812,704,344 60,133,476 20,146,114
------------ ----------- -----------
LIABILITIES
Payable upon return of
securities loaned.................. -- -- --
Payable for investments purchased..... -- -- --
Unrealized depreciation on forward
currency contracts................. -- -- --
Distributions payable................. 2,635,784 222,145 69,492
Swap contracts, at value (includes
upfront payment received
of $6,225,694)..................... -- -- --
Accrued advisory fee (Note 3)......... 132,585 10,153 3,428
Accrued trustee fees (Note 3)......... 3,466 248 86
------------ ----------- -----------
TOTAL LIABILITIES.................. 2,771,835 232,546 73,006
------------ ----------- -----------
NET ASSETS......................... $809,932,509 $59,900,930 $20,073,108
============ =========== ===========
NET ASSETS CONSIST OF:
Paid in capital (Note 4).............. $785,981,874 $58,919,731 $19,736,437
Undistributed (distribution in excess
of) net investment income.......... (1,227,375) (58,333) (14,413)
Accumulated net realized gain (loss)
on investments and foreign
currency transactions.............. (851,573) (152,353) (186,752)
Net unrealized appreciation
(depreciation) on :
Investments........................ 26,029,583 1,191,885 537,836
Foreign currency................... -- -- --
Swap contracts..................... -- -- --
------------ ----------- -----------
NET ASSETS......................... $809,932,509 $59,900,930 $20,073,108
============ =========== ===========
NET ASSET VALUE PER SHARE
Net asset value per share............. $ 22.62 $ 22.18 $ 22.30
============ =========== ===========
Shares outstanding (unlimited amount
authorized, $0.01 par value)....... 35,802,072 2,700,128 900,010
============ =========== ===========
COST OF INVESTMENTS:
Unaffiliated issuers.................. $774,279,071 $58,017,938 $19,347,734
Affiliated issuers.................... 2,662,520 69,261 33,808
------------ ----------- -----------
Total cost of investments............. $776,941,591 $58,087,199 $19,381,542
============ =========== ===========
Foreign currency, at cost............. $ -- $ -- $ --
============ =========== ===========
* Investments of securities on loan,
at value........................... $ -- $ -- $ --
============ =========== ===========
</Table>
See accompanying notes to financial statements.
110
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR DB SPDR BARCLAYS
INTERNATIONAL CAPITAL SHORT SPDR BARCLAYS
SPDR BARCLAYS GOVERNMENT TERM CAPITAL SPDR BARCLAYS
CAPITAL SHORT SPDR S&P VRDO INFLATION- INTERNATIONAL INTERNATIONAL SPDR BARCLAYS CAPITAL SHORT
TERM MUNICIPAL MUNICIPAL PROTECTED TREASURY TREASURY CAPITAL HIGH TERM CORPORATE
BOND ETF BOND ETF BOND ETF BOND ETF BOND ETF YIELD BOND ETF BOND ETF
- --------------- --------------- --------------- --------------- --------------- --------------- ---------------
$878,094,915 $14,394,000 $1,035,554,694 $131,499,860 $1,454,896,718 $3,360,829,857 $14,216,708
5,072,984 58,873 3,940,822 1,430,513 16,949,088 27,304,566 1,461,196
------------ ----------- -------------- ------------ -------------- -------------- -----------
883,167,899 14,452,873 1,039,495,516 132,930,373 1,471,845,806 3,388,134,423 15,677,904
30,000 -- -- -- -- 1,271,583 --
-- -- 1,480,793 3,670,851 4,238,303 -- --
-- 550,005 1,223,043 -- -- -- 279,675
-- -- 5,537,702 -- -- -- --
-- -- -- 34,704 -- -- --
10,600,420 4,948 7,853,203 2,068,063 22,813,490 67,428,338 207,069
------------ ----------- -------------- ------------ -------------- -------------- -----------
893,798,319 15,007,826 1,055,590,257 138,703,991 1,498,897,599 3,456,834,344 16,164,648
------------ ----------- -------------- ------------ -------------- -------------- -----------
-- -- -- -- 2,801,235 -- --
195,339 -- 6,626,980 825,513 -- -- 1,279,346
-- -- -- -- 34,755 -- --
1,407,321 1,676 7,833,779 398,719 6,824,738 32,020,037 5,992
-- -- -- -- -- 4,909,083 --
146,739 2,549 413,328 39,783 652,571 1,098,129 448
3,345 61 3,207 299 6,443 12,520 8
------------ ----------- -------------- ------------ -------------- -------------- -----------
1,752,744 4,286 14,877,294 1,264,314 10,319,742 38,039,769 1,285,794
------------ ----------- -------------- ------------ -------------- -------------- -----------
$892,045,575 $15,003,540 $1,040,712,963 $137,439,677 $1,488,577,857 $3,418,794,575 $14,878,854
============ =========== ============== ============ ============== ============== ===========
$876,786,471 $15,004,301 $1,046,526,254 $140,060,567 $1,460,215,237 $3,128,535,917 $14,966,682
(913,506) (761) (9,071,847) (340,829) (19,810,489) (19,626,580) (3,355)
(67,870) -- (11,562,251) 394,162 69,219 (20,704,564) (1,487)
16,240,480 -- 14,883,649 (2,654,552) 48,356,421 329,273,191 (82,986)
-- -- (62,842) (19,671) (252,531) -- --
-- -- -- -- -- 1,316,611 --
------------ ----------- -------------- ------------ -------------- -------------- -----------
$892,045,575 $15,003,540 $1,040,712,963 $137,439,677 $1,488,577,857 $3,418,794,575 $14,878,854
============ =========== ============== ============ ============== ============== ===========
$ 23.98 $ 30.01 $ 55.65 $ 36.17 $ 56.82 $ 38.62 $ 29.76
============ =========== ============== ============ ============== ============== ===========
37,202,164 500,000 18,700,483 3,800,000 26,200,019 88,523,812 500,000
============ =========== ============== ============ ============== ============== ===========
$861,854,435 $14,394,000 $1,020,671,045 $134,154,412 $1,406,540,297 $3,031,556,666 $14,299,694
5,072,984 58,873 3,940,822 1,430,513 16,949,088 27,304,566 1,461,196
------------ ----------- -------------- ------------ -------------- -------------- -----------
$866,927,419 $14,452,873 $1,024,611,867 $135,584,925 $1,423,489,385 $3,058,861,232 $15,760,890
============ =========== ============== ============ ============== ============== ===========
$ -- $ -- $ 1,480,462 $ 3,669,242 $ 4,219,011 $ -- $ --
============ =========== ============== ============ ============== ============== ===========
$ -- $ -- $ -- $ -- $ 2,835,614 $ -- $ --
============ =========== ============== ============ ============== ============== ===========
</Table>
111
SPDR SERIES TRUST
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR BARCLAYS
SPDR BARCLAYS CAPITAL
CAPITAL 1-3 SPDR BARCLAYS INTERMEDIATE
MONTH CAPITAL TERM
T-BILL ETF TIPS ETF TREASURY ETF
--------------- --------------- ---------------
INVESTMENT INCOME
Interest income on securities of
unaffiliated issuers (Note 2)...... $512,172 $ 6,621,700 $1,905,994
Interest income on securities of
affiliated issuers (Note 3)........ 433 859 506
Affiliated securities lending -- net
(Note 3 and Note 8)................ 165,305 64,503 42,633
-------- ----------- ----------
TOTAL INVESTMENT INCOME............... 677,910 6,687,062 1,949,133
-------- ----------- ----------
EXPENSES
Advisory fee (Note 3)................. 585,104 292,874 120,215
Trustees fee (Note 3)................. 14,440 4,755 2,643
Miscellaneous expenses................ -- -- 118
-------- ----------- ----------
TOTAL EXPENSES BEFORE WAIVERS......... 599,544 297,629 122,976
-------- ----------- ----------
Expenses waived by Adviser (Note 3)... -- -- --
-------- ----------- ----------
NET EXPENSES.......................... 599,544 297,629 122,976
-------- ----------- ----------
NET INVESTMENT INCOME (LOSS).......... 78,366 6,389,433 1,826,157
-------- ----------- ----------
REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS
Net realized gain (loss) on:
Investments in securities of
unaffiliated issuers............. 99,829 (242,752) 14,259
Net change in unrealized appreciation
(depreciation) on:
Investments in securities of
unaffiliated issuers............. 17,648 8,247,805 (442,366)
-------- ----------- ----------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS AND FOREIGN
CURRENCY TRANSACTIONS.............. 117,477 8,005,053 (428,107)
-------- ----------- ----------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS............. $195,843 $14,394,486 $1,398,050
======== =========== ==========
</Table>
See accompanying notes to financial statements.
112
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR BARCLAYS
SPDR BARCLAYS CAPITAL SPDR BARCLAYS SPDR BARCLAYS SPDR BARCLAYS SPDR BARCLAYS
CAPITAL LONG INTERMEDIATE CAPITAL LONG CAPITAL CAPITAL CAPITAL
TERM TERM CREDIT TERM CREDIT CONVERTIBLE MORTGAGE BACKED AGGREGATE
TREASURY ETF BOND ETF BOND ETF BOND ETF BOND ETF BOND ETF
- --------------- --------------- --------------- --------------- --------------- ---------------
$ 321,230 $1,070,252 $384,356 $ 3,679,213 $ 105,376 $3,406,100
59 1,250 185 1,862 9,850 92,190
3,309 16 11 -- -- 36,611
--------- ---------- -------- ----------- --------- ----------
324,598 1,071,518 384,552 3,681,075 115,226 3,534,901
--------- ---------- -------- ----------- --------- ----------
10,689 34,791 9,620 259,694 7,949 186,285
245 633 156 1,553 112 3,163
-- -- -- 483 382 1,697
--------- ---------- -------- ----------- --------- ----------
10,934 35,424 9,776 261,730 8,443 191,145
--------- ---------- -------- ----------- --------- ----------
-- -- -- -- -- (55,321)
--------- ---------- -------- ----------- --------- ----------
10,934 35,424 9,776 261,730 8,443 135,824
--------- ---------- -------- ----------- --------- ----------
313,664 1,036,094 374,776 3,419,345 106,783 3,399,077
--------- ---------- -------- ----------- --------- ----------
122,180 532,373 130,915 1,578,570 191,960 3,032,878
(794,761) 1,101,892 203,918 18,162,488 (113,048) 793,686
--------- ---------- -------- ----------- --------- ----------
(672,581) 1,634,265 334,833 19,741,058 78,912 3,826,564
--------- ---------- -------- ----------- --------- ----------
$(358,917) $2,670,359 $709,609 $23,160,403 $ 185,695 $7,225,641
========= ========== ======== =========== ========= ==========
</Table>
113
SPDR SERIES TRUST
STATEMENTS OF OPERATIONS (CONTINUED)
FOR THE SIX MONTHS ENDED DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR BARCLAYS
SPDR BARCLAYS CAPITAL SPDR BARCLAYS
CAPITAL CALIFORNIA CAPITAL NEW
MUNICIPAL MUNICIPAL YORK MUNICIPAL
BOND ETF BOND ETF BOND ETF
--------------- --------------- ---------------
INVESTMENT INCOME
Interest income on securities of
unaffiliated issuers (Note 2)...... $14,393,005 $1,184,409 $ 379,030
Interest income on securities of
affiliated issuers (Note 3)........ 3,420 277 162
Affiliated securities lending -- net
(Note 3 and Note 8)................ -- -- --
Foreign taxes withheld................ -- -- --
----------- ---------- ----------
TOTAL INVESTMENT INCOME............... 14,396,425 1,184,686 379,192
----------- ---------- ----------
EXPENSES
Advisory fee (Note 3)................. 1,092,861 52,239 18,194
Trustees fee (Note 3)................. 10,849 767 275
Miscellaneous expenses................ 771 -- --
----------- ---------- ----------
TOTAL EXPENSES BEFORE WAIVERS......... 1,104,481 53,006 18,469
----------- ---------- ----------
Expenses waived by Adviser (Note 3)... (375,136) -- --
----------- ---------- ----------
NET EXPENSES.......................... 729,345 53,006 18,469
----------- ---------- ----------
NET INVESTMENT INCOME (LOSS).......... 13,667,080 1,131,680 360,723
----------- ---------- ----------
REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS
Net realized gain (loss) on:
Investments in securities of
unaffiliated issuers............. 186,074 124,295 25,849
Foreign currency transactions...... -- -- --
Forward foreign
currency contracts............... -- -- --
Swap contracts..................... -- -- --
Net change in unrealized appreciation
(depreciation) on:
Investments in securities of
unaffiliated issuers............. 21,284,010 1,789,766 639,959
Foreign currency................... -- -- --
Forward foreign
currency contracts............... -- -- --
Swap contracts..................... -- -- --
----------- ---------- ----------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS AND FOREIGN
CURRENCY TRANSACTIONS.............. 21,470,084 1,914,061 665,808
----------- ---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS............. $35,137,164 $3,045,741 $1,026,531
=========== ========== ==========
</Table>
<Table>
(1) For the period September 23, 2009 (commencement of operations) to December 31,
2009.
(2) For the period December 16, 2009 (commencement of operations) to December 31,
2009.
</Table>
See accompanying notes to financial statements.
114
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR DB SPDR BARCLAYS
INTERNATIONAL CAPITAL SHORT SPDR BARCLAYS
SPDR BARCLAYS GOVERNMENT TERM CAPITAL SPDR BARCLAYS
CAPITAL SHORT SPDR S&P VRDO INFLATION- INTERNATIONAL INTERNATIONAL SPDR BARCLAYS CAPITAL SHORT
TERM MUNICIPAL MUNICIPAL PROTECTED TREASURY TREASURY CAPITAL HIGH TERM CORPORATE
BOND ETF BOND ETF(1) BOND ETF BOND ETF BOND ETF YIELD BOND ETF BOND ETF(2)
- --------------- --------------- --------------- --------------- --------------- --------------- ---------------
$ 7,256,485 $13,251 $14,459,136 $ 524,960 $21,384,235 $165,170,084 $ 3,057
5,608 50 1,583 2,719 44,002 45,825 36
-- -- 65 -- 4,918 -- --
-- -- (10,842) -- (98,238) -- --
----------- ------- ----------- ----------- ----------- ------------ --------
7,262,093 13,301 14,449,942 527,679 21,334,917 165,215,909 3,093
----------- ------- ----------- ----------- ----------- ------------ --------
705,010 6,972 1,697,200 111,792 3,385,716 5,280,475 448
10,003 91 8,957 596 20,227 37,048 8
303 325 353 -- -- 745 --
----------- ------- ----------- ----------- ----------- ------------ --------
715,316 7,388 1,706,510 112,388 3,405,943 5,318,268 456
----------- ------- ----------- ----------- ----------- ------------ --------
-- -- -- -- -- -- --
----------- ------- ----------- ----------- ----------- ------------ --------
715,316 7,388 1,706,510 112,388 3,405,943 5,318,268 456
----------- ------- ----------- ----------- ----------- ------------ --------
6,546,777 5,913 12,743,432 415,291 17,928,974 159,897,641 2,637
----------- ------- ----------- ----------- ----------- ------------ --------
5,008 -- (2,121,331) 329,267 4,688,871 74,478,945 (1,487)
-- -- (380,813) 71,676 731,853 -- --
-- -- -- 2,866 (12,238) -- --
-- -- -- -- -- 379,167 --
9,239,074 -- 21,607,880 (3,092,409) 31,558,701 243,743,998 (82,986)
-- -- (176,944) (64,658) (920,642) -- --
-- -- -- 51,918 338,630 -- --
-- -- -- -- -- 2,731,305 --
----------- ------- ----------- ----------- ----------- ------------ --------
9,244,082 -- 18,928,792 (2,701,340) 36,385,175 321,333,415 (84,473)
----------- ------- ----------- ----------- ----------- ------------ --------
$15,790,859 $ 5,913 $31,672,224 $(2,286,049) $54,314,149 $481,231,056 $(81,836)
=========== ======= =========== =========== =========== ============ ========
</Table>
115
SPDR SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR BARCLAYS CAPITAL 1-3 MONTH
T-BILL ETF SPDR BARCLAYS CAPITAL TIPS ETF
---------------------------------- ----------------------------------
Six Months Six Months
Ended 12/31/09 Year Ended Ended 12/31/09 Year Ended
(Unaudited) 6/30/09 (Unaudited) 6/30/09
--------------- --------------- --------------- ---------------
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net investment income (loss).......... $ 78,366 $ 3,704,521 $ 6,389,433 $ 1,791,846
Net realized gain (loss) on
investments and foreign currency
transactions....................... 99,829 450,914 (242,752) (683,807)
Net change in unrealized appreciation
(depreciation) on investments and
foreign currency transactions...... 17,648 (32,092) 8,247,805 838,272
------------- -------------- ------------ ------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS.......... 195,843 4,123,343 14,394,486 1,946,311
------------- -------------- ------------ ------------
Net equalization credits and charges.. (4,818) 313,729 37,415 231,125
------------- -------------- ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................. (160,239) (4,339,871) (5,918,842) (3,864,782)
Net realized gains.................... (62,568) (179,112) -- --
------------- -------------- ------------ ------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS... (222,807) (4,518,983) (5,918,842) (3,864,782)
------------- -------------- ------------ ------------
FROM BENEFICIAL INTEREST TRANSACTIONS:
Net proceeds from sale of shares
sold............................... 96,304,003 1,298,056,926 50,843,347 226,042,428
Net proceeds from reinvestment of
shares issued...................... 138 11,645 8,906 2,219
Cost of shares redeemed............... (330,197,366) (596,165,450) -- (29,228,632)
Net income equalization............... 4,818 (313,729) (37,415) (231,125)
Other capital (Note 4)................ -- -- -- 1,500
------------- -------------- ------------ ------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM BENEFICIAL INTEREST
TRANSACTIONS....................... (233,888,407) 701,589,392 50,814,838 196,586,390
------------- -------------- ------------ ------------
Net increase (decrease) in net assets
during the period.................. (233,920,189) 701,507,481 59,327,897 194,899,044
Net assets at beginning of period..... 985,942,590 284,435,109 288,501,397 93,602,353
------------- -------------- ------------ ------------
NET ASSETS END OF PERIOD (1) ........... $ 752,022,401 $ 985,942,590 $347,829,294 $288,501,397
============= ============== ============ ============
SHARES OF BENEFICIAL INTEREST:
Shares sold........................... 2,100,000 28,300,000 1,000,000 4,600,000
Shares issued to shareholders from
reinvestment of distributions...... 3 254 177 45
Shares redeemed....................... (7,200,000) (13,000,000) -- (600,000)
------------- -------------- ------------ ------------
NET INCREASE (DECREASE)............... (5,099,997) 15,300,254 1,000,177 4,000,045
============= ============== ============ ============
(1) Including undistributed
(distribution in excess of) net
investment income..................... $ (81,873) -- $ (41,839) $ (512,430)
============= ============== ============ ============
</Table>
<Table>
* Commencement of operations
</Table>
See accompanying notes to financial statements.
116
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR BARCLAYS CAPITAL INTERMEDIATE SPDR BARCLAYS CAPITAL LONG TERM SPDR BARCLAYS CAPITAL INTERMEDIATE
TERM TREASURY ETF TREASURY ETF TERM CREDIT BOND ETF
- ---------------------------------- ---------------------------------- ----------------------------------
Six Months Six Months Six Months For the Period
Ended 12/31/09 Year Ended Ended 12/31/09 Year Ended Ended 12/31/09 2/10/09*-
(Unaudited) 6/30/09 (Unaudited) 6/30/09 (Unaudited) 6/30/09
- --------------- --------------- --------------- --------------- --------------- ---------------
$ 1,826,157 $ 2,259,169 $ 313,664 $ 682,711 $ 1,036,094 $ 403,870
14,259 921,361 122,180 1,692,300 532,373 8,042
(442,366) 379,999 (794,761) (128,581) 1,101,892 534,976
------------ ------------ ------------ ------------ ----------- -----------
1,398,050 3,560,529 (358,917) 2,246,430 2,670,359 946,888
------------ ------------ ------------ ------------ ----------- -----------
57,505 90,656 17,654 2,382 55,455 33,950
------------ ------------ ------------ ------------ ----------- -----------
(2,134,160) (2,206,659) (384,070) (675,285) (1,215,770) (321,031)
(278,156) -- -- -- (76,151) --
------------ ------------ ------------ ------------ ----------- -----------
(2,412,316) (2,206,659) (384,070) (675,285) (1,291,921) (321,031)
------------ ------------ ------------ ------------ ----------- -----------
63,263,539 109,202,917 16,634,884 33,644,679 28,176,220 26,723,365
-- 734 -- -- 2,274 --
-- (11,748,735) (16,441,959) (29,395,291) (3,199,131) --
(57,505) (90,656) (17,654) (2,382) (55,455) (33,950)
-- -- -- -- -- --
------------ ------------ ------------ ------------ ----------- -----------
63,206,034 97,364,260 175,271 4,247,006 24,923,908 26,689,415
------------ ------------ ------------ ------------ ----------- -----------
62,249,273 98,808,786 (550,062) 5,820,533 26,357,801 27,349,222
143,070,114 44,261,328 16,498,706 10,678,173 27,349,222 --
------------ ------------ ------------ ------------ ----------- -----------
$205,319,387 $143,070,114 $ 15,948,644 $ 16,498,706 $53,707,023 $27,349,222
============ ============ ============ ============ =========== ===========
1,100,000 1,900,000 300,000 600,000 900,000 900,000
-- 13 -- -- 72 --
-- (200,000) (300,000) (500,000) (100,000) --
------------ ------------ ------------ ------------ ----------- -----------
1,100,000 1,700,013 -- 100,000 800,072 900,000
============ ============ ============ ============ =========== ===========
$ (217,706) $ 90,297 $ (14,685) $ 55,721 $ (96,837) $ 82,839
============ ============ ============ ============ =========== ===========
</Table>
117
SPDR SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR BARCLAYS CAPITAL LONG TERM SPDR BARCLAYS CAPITAL CONVERTIBLE
CREDIT BOND ETF BOND ETF
---------------------------------- ----------------------------------
Six Months For the Period Six Months For the Period
Ended 12/31/09 3/10/09*- Ended 12/31/09 4/14/09*-
(Unaudited) 6/30/09 (Unaudited) 6/30/09
--------------- --------------- --------------- ---------------
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net investment income (loss).......... $ 374,776 $ 130,404 $ 3,419,345 $ 342,721
Net realized gain (loss) on
investments and foreign currency
transactions....................... 130,915 12,214 1,578,570 147,326
Net change in unrealized appreciation
(depreciation) on investments and
foreign currency transactions...... 203,918 612,590 18,162,488 1,316,656
----------- ---------- ------------ -----------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS.......... 709,609 755,208 23,160,403 1,806,703
----------- ---------- ------------ -----------
Net equalization credits and charges.. 21,897 -- 268,919 53,993
----------- ---------- ------------ -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................. (437,511) (93,868) (4,327,049) (238,677)
Net realized gains.................... (55,772) -- (681,002) --
----------- ---------- ------------ -----------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS... (493,283) (93,868) (5,008,051) (238,677)
----------- ---------- ------------ -----------
FROM BENEFICIAL INTEREST TRANSACTIONS:
Net proceeds from sale of shares
sold............................... 17,645,422 6,000,000 176,708,838 42,690,265
Net proceeds from reinvestment of
shares issued...................... -- -- -- --
Cost of shares redeemed............... -- -- (7,287,625) --
Net income equalization............... (21,897) -- (268,919) (53,993)
Other capital (Note 4)................ -- -- 69,729 49,026
----------- ---------- ------------ -----------
NET INCREASE (DECREASE) IN NET ASSETS
FROM BENEFICIAL INTEREST
TRANSACTIONS....................... 17,623,525 6,000,000 169,222,023 42,685,298
----------- ---------- ------------ -----------
Net increase (decrease) in net assets
during the period.................. 17,861,748 6,661,340 187,643,294 44,307,317
Net assets at beginning of period..... 6,661,340 -- 44,307,317 --
----------- ---------- ------------ -----------
NET ASSETS END OF PERIOD (1) ........... $24,523,088 $6,661,340 $231,950,611 $44,307,317
=========== ========== ============ ===========
SHARES OF BENEFICIAL INTEREST:
Shares sold........................... 500,000 200,000 5,000,000 1,400,000
Shares issued to shareholders from
reinvestment of distributions...... -- -- -- --
Shares redeemed....................... -- -- (200,000) --
----------- ---------- ------------ -----------
NET INCREASE (DECREASE)............... 500,000 200,000 4,800,000 1,400,000
=========== ========== ============ ===========
(1) Including undistributed
(distribution in excess of) net
investment income..................... $ (26,199) $ 36,536 $ (726,506) $ 181,198
=========== ========== ============ ===========
</Table>
<Table>
* Commencement of operations
</Table>
See accompanying notes to financial statements.
118
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR BARCLAYS CAPITAL MORTGAGE SPDR BARCLAYS CAPITAL AGGREGATE SPDR BARCLAYS CAPITAL MUNICIPAL
BACKED BOND ETF BOND ETF BOND ETF
- ---------------------------------- ---------------------------------- ----------------------------------
Six Months For the Period Six Months Six Months
Ended 12/31/09 1/15/09*- Ended 12/31/09 Year Ended Ended 12/31/09 Year Ended
(Unaudited) 6/30/09 (Unaudited) 6/30/09 (Unaudited) 6/30/09
- --------------- --------------- --------------- --------------- --------------- ---------------
$ 106,783 $ 50,976 $ 3,399,077 $ 6,337,345 $ 13,667,080 $ 15,373,058
191,960 28,799 3,032,878 2,754,144 186,074 (1,100,131)
(113,048) (293) 793,686 1,786,741 21,284,010 8,026,582
----------- ---------- ------------ ------------ ------------ ------------
185,695 79,482 7,225,641 10,878,230 35,137,164 22,299,509
----------- ---------- ------------ ------------ ------------ ------------
7,506 -- 42,819 98,508 352,146 562,214
----------- ---------- ------------ ------------ ------------ ------------
(130,048) (36,320) (4,045,987) (6,254,005) (15,969,721) (14,785,405)
(122,529) -- (3,548,974) (197,445) -- --
----------- ---------- ------------ ------------ ------------ ------------
(252,577) (36,320) (7,594,961) (6,451,450) (15,969,721) (14,785,405)
----------- ---------- ------------ ------------ ------------ ------------
5,336,696 5,209,100 22,387,705 80,138,674 206,772,253 328,557,065
-- -- 4,890 2,294 30,160 6,771
-- -- (10,959,435) (5,372,862) -- (8,670,066)
(7,506) -- (42,819) (98,508) (352,146) (562,214)
10,673 -- -- 14,935 103,386 46,930
----------- ---------- ------------ ------------ ------------ ------------
5,339,863 5,209,100 11,390,341 74,684,533 206,553,653 319,378,486
----------- ---------- ------------ ------------ ------------ ------------
5,280,487 5,252,262 11,063,840 79,209,821 226,073,242 327,454,804
5,252,262 -- 196,089,710 116,879,889 583,859,267 256,404,463
----------- ---------- ------------ ------------ ------------ ------------
$10,532,749 $5,252,262 $207,153,550 $196,089,710 $809,932,509 $583,859,267
=========== ========== ============ ============ ============ ============
200,000 200,000 400,000 1,500,000 9,200,000 15,200,000
-- -- 88 43 1,341 308
-- -- (200,000) (100,000) -- (400,000)
----------- ---------- ------------ ------------ ------------ ------------
200,000 200,000 200,088 1,400,043 9,201,341 14,800,308
=========== ========== ============ ============ ============ ============
$ (8,609) $ 14,656 $ (434,470) $ 212,440 $ (1,227,375) $ 1,075,266
=========== ========== ============ ============ ============ ============
</Table>
119
SPDR SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR BARCLAYS CAPITAL CALIFORNIA SPDR BARCLAYS CAPITAL NEW YORK
MUNICIPAL BOND ETF MUNICIPAL BOND ETF
---------------------------------- ----------------------------------
Six Months Six Months
Ended 12/31/09 Year Ended Ended 12/31/09 Year Ended
(Unaudited) 6/30/09 (Unaudited) 6/30/09
--------------- --------------- --------------- ---------------
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net investment income (loss).......... $ 1,131,680 $ 1,205,952 $ 360,723 $ 524,623
Net realized gain (loss) on
investments and foreign currency
transactions....................... 124,295 (268,851) 25,849 (202,776)
Net change in unrealized appreciation
(depreciation) on investments and
foreign currency transactions...... 1,789,766 (375,343) 639,959 123,117
----------- ----------- ----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS.......... 3,045,741 561,758 1,026,531 444,964
----------- ----------- ----------- -----------
Net equalization credits and charges.. 28,177 21,992 8,682 5,016
----------- ----------- ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................. (1,302,686) (1,135,504) (419,007) (524,366)
Return of capital..................... -- -- -- --
----------- ----------- ----------- -----------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS... (1,302,686) (1,135,504) (419,007) (524,366)
----------- ----------- ----------- -----------
FROM BENEFICIAL INTEREST TRANSACTIONS:
Net proceeds from sale of shares
sold............................... 17,770,270 23,551,126 4,417,831 2,137,971
Net proceeds from reinvestment of
shares issued...................... 2,612 237 -- 152
Cost of shares redeemed............... -- -- -- --
Net income equalization............... (28,177) (21,992) (8,682) (5,016)
Other capital (Note 4)................ 8,885 6,317 2,209 1,069
----------- ----------- ----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS
FROM BENEFICIAL INTEREST
TRANSACTIONS....................... 17,753,590 23,535,688 4,411,358 2,134,176
----------- ----------- ----------- -----------
Net increase (decrease) in net assets
during the period.................. 19,524,822 22,983,934 5,027,564 2,059,790
Net assets at beginning of period..... 40,376,108 17,392,174 15,045,544 12,985,754
----------- ----------- ----------- -----------
NET ASSETS END OF PERIOD (1) ........... $59,900,930 $40,376,108 $20,073,108 $15,045,544
=========== =========== =========== ===========
SHARES OF BENEFICIAL INTEREST:
Shares sold........................... 800,000 1,100,000 200,000 100,000
Shares issued to shareholders from
reinvestment of distributions...... 117 11 -- 7
Shares redeemed....................... -- -- -- --
----------- ----------- ----------- -----------
NET INCREASE (DECREASE)............... 800,117 1,100,011 200,000 100,007
=========== =========== =========== ===========
(1) Including undistributed
(distribution in excess of) net
investment income..................... $ (58,333) $ 112,673 $ (14,413) $ 43,871
=========== =========== =========== ===========
</Table>
<Table>
* Commencement of operations
</Table>
See accompanying notes to financial statements.
120
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR S&P VRDO
SPDR BARCLAYS CAPITAL SHORT TERM MUNICIPAL BOND SPDR DB INTERNATIONAL GOVERNMENT
MUNICIPAL BOND ETF ETF INFLATION-PROTECTED BOND ETF
- ---------------------------------- --------------- ----------------------------------
Six Months For the Period Six Months
Ended 12/31/09 Year Ended 9/23/09*- Ended 12/31/09 Year Ended
(Unaudited) 6/30/09 12/31/09 (Unaudited) 6/30/09
- --------------- --------------- --------------- --------------- ---------------
$ 6,546,777 $ 6,437,771 $ 5,913 $ 12,743,432 $ 10,018,005
5,008 (117,102) -- (2,502,144) (34,252,055)
9,239,074 7,956,750 -- 21,430,936 (7,396,973)
------------ ------------ ----------- -------------- ------------
15,790,859 14,277,419 5,913 31,672,224 (31,631,023)
------------ ------------ ----------- -------------- ------------
327,728 348,221 552 9,055,899 122,652
------------ ------------ ----------- -------------- ------------
(7,855,997) (6,169,703) (6,674) (7,833,779) (183,415)
-- -- -- -- (8,197,947)
------------ ------------ ----------- -------------- ------------
(7,855,997) (6,169,703) (6,674) (7,833,779) (8,381,362)
------------ ------------ ----------- -------------- ------------
382,089,740 379,490,167 15,001,301 620,530,824 312,491,936
42,234 9,212 -- -- 22,236
-- (9,107,605) -- -- (84,788,483)
(327,728) (348,221) (552) (9,055,899) (122,652)
191,045 63,666 3,000 1,861,593 354,791
------------ ------------ ----------- -------------- ------------
381,995,291 370,107,219 15,003,749 613,336,518 227,957,828
------------ ------------ ----------- -------------- ------------
390,257,881 378,563,156 15,003,540 646,230,862 188,068,095
501,787,694 123,224,538 -- 394,482,101 206,414,006
------------ ------------ ----------- -------------- ------------
$892,045,575 $501,787,694 $15,003,540 $1,040,712,963 $394,482,101
============ ============ =========== ============== ============
16,000,000 16,200,000 500,000 11,100,000 6,000,000
1,771 393 -- -- 481
-- (400,000) -- -- (1,800,000)
------------ ------------ ----------- -------------- ------------
16,001,771 15,800,393 500,000 11,100,000 4,200,481
============ ============ =========== ============== ============
$ (913,506) $ 395,714 $ (761) $ (9,071,847) $(13,981,500)
============ ============ =========== ============== ============
</Table>
121
SPDR SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR BARCLAYS CAPITAL SHORT TERM
INTERNATIONAL TREASURY BOND ETF
----------------------------------
Six Months For the Period
Ended 12/31/09 1/15/09*-
(Unaudited) 6/30/09
--------------- ---------------
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net investment income (loss).......... $ 415,291 $ 50,291
Net realized gain (loss) on
investments and foreign currency
transactions....................... 403,809 103,697
Net change in unrealized appreciation
(depreciation) on investments and
foreign currency transactions...... (3,105,149) 430,926
------------ -----------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS.......... (2,286,049) 584,914
------------ -----------
Net equalization credits and charges.. 209,240 (15,074)
------------ -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................. (895,839) (9,738)
Net realized gains.................... (14,178) --
------------ -----------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS... (910,017) (9,738)
------------ -----------
FROM BENEFICIAL INTEREST TRANSACTIONS:
Net proceeds from sale of shares
sold............................... 129,930,077 9,922,581
Net proceeds from reinvestment of
shares issued...................... -- --
Cost of shares redeemed............... -- --
Net income equalization............... (209,240) 15,074
Other capital (Note 4)................ 191,346 16,563
------------ -----------
NET INCREASE (DECREASE) IN NET ASSETS
FROM BENEFICIAL INTEREST
TRANSACTIONS....................... 129,912,183 9,954,218
------------ -----------
Net increase (decrease) in net assets
during the period.................. 126,925,357 10,514,320
Voluntary contribution from Adviser... -- --
Net assets at beginning of period..... 10,514,320 --
------------ -----------
NET ASSETS END OF PERIOD (1) ........... $137,439,677 $10,514,320
============ ===========
SHARES OF BENEFICIAL INTEREST:
Shares sold........................... 3,500,000 300,000
Shares issued to shareholders from
reinvestment of distributions...... -- --
Shares redeemed....................... -- --
------------ -----------
NET INCREASE (DECREASE)............... 3,500,000 300,000
============ ===========
(1) Including undistributed
(distribution in excess of) net
investment income..................... $ (340,829) $ 139,719
============ ===========
</Table>
<Table>
* Commencement of operations
</Table>
See accompanying notes to financial statements.
122
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR BARCLAYS
CAPITAL SHORT
SPDR BARCLAYS CAPITAL SPDR BARCLAYS CAPITAL HIGH YIELD TERM CORPORATE
INTERNATIONAL TREASURY BOND ETF BOND ETF BOND ETF
- ---------------------------------- ---------------------------------- ---------------
Six Months Six Months For the Period
Ended 12/31/09 Year Ended Ended 12/31/09 Year Ended 12/16/09*-
(Unaudited) 6/30/09 (Unaudited) 6/30/09 12/31/09
- --------------- --------------- --------------- --------------- --------
$ 17,928,974 $ 25,350,415 $ 159,897,641 $ 120,433,956 $ 2,637
5,408,486 (39,101,838) 74,858,112 (98,184,325) (1,487)
30,976,689 14,512,853 246,475,303 96,648,814 (82,986)
-------------- -------------- -------------- -------------- -----------
54,314,149 761,430 481,231,056 118,898,445 (81,836)
-------------- -------------- -------------- -------------- -----------
3,164,440 (238,876) 7,738,933 9,921,224 1,987
-------------- -------------- -------------- -------------- -----------
(6,824,738) (18,485,525) (190,698,215) (111,409,271) (5,992)
-- -- -- -- --
-------------- -------------- -------------- -------------- -----------
(6,824,738) (18,485,525) (190,698,215) (111,409,271) (5,992)
-------------- -------------- -------------- -------------- -----------
373,841,861 496,661,958 1,288,382,045 1,556,404,405 14,953,200
-- 878 624,635 207,168 --
(22,976,227) (151,065,448) (61,454,094) (65,463,641) --
(3,164,440) 238,876 (7,738,933) (9,921,224) (1,987)
992,045 367,860 -- 82,500 13,482
-------------- -------------- -------------- -------------- -----------
348,693,239 346,204,124 1,219,813,653 1,481,309,208 14,964,695
-------------- -------------- -------------- -------------- -----------
399,347,090 328,241,153 1,518,085,427 1,498,719,606 14,878,854
-- -- -- 7,643,517 --
1,089,230,767 760,989,614 1,900,709,148 394,346,025 --
-------------- -------------- -------------- -------------- -----------
$1,488,577,857 $1,089,230,767 $3,418,794,575 $1,900,709,148 $14,878,854
============== ============== ============== ============== ===========
6,500,000 9,300,000 34,800,000 48,500,000 500,000
-- 17 17,314 6,498 --
(400,000) (3,000,000) (1,700,000) (2,100,000) --
-------------- -------------- -------------- -------------- -----------
6,100,000 6,300,017 33,117,314 46,406,498 500,000
============== ============== ============== ============== ===========
$ (19,810,489) $ (30,914,725) $ (19,626,580) $ 11,173,994 $ (3,355)
============== ============== ============== ============== ===========
</Table>
123
SPDR SERIES TRUST
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR BARCLAYS CAPITAL 1-3 MONTH T-BILL ETF
-------------------------------------------------------
Six Months For the
Ended Period
12/31/09 Year Ended Year Ended 5/25/07*-
(Unaudited) 6/30/09 6/30/08 6/30/07
------------- ------------- ------------- -------------
NET ASSET VALUE, BEGINNING OF PERIOD.... $ 45.86 $ 45.88 $ 45.96 $ 45.74
-------- -------- -------- -------
INCOME (LOSS) FROM
INVESTMENT OPERATIONS:
Net investment income (loss)............ 0.00(5) (6) 0.23(6) 1.32 0.20
Net realized and unrealized gain
(loss) (1)............................ 0.00(5) 0.11 0.03 0.02
-------- -------- -------- -------
Total from investment operations........ 0.00(5) 0.34 1.35 0.22
-------- -------- -------- -------
Net equalization credits and
charges (6)........................... 0.00(5) 0.02 0.09 --
-------- -------- -------- -------
Other Capital (6)....................... -- -- -- --
-------- -------- -------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................... (0.01) (0.37) (1.52) --
Net realized gains...................... (0.00)(5) (0.01) -- --
-------- -------- -------- -------
Total distributions..................... (0.01) (0.38) (1.52) --
-------- -------- -------- -------
NET ASSET VALUE, END OF PERIOD.......... $ 45.85 $ 45.86 $ 45.88 $ 45.96
======== ======== ======== =======
TOTAL RETURN (2)........................ 0.00%(7) 0.79% 3.18% 0.48%
Net Assets, end of period (in 000's).... $752,022 $985,943 $284,435 $36,766
Ratio of expenses to average
net assets............................ 0.14%(3) 0.14% 0.14% 0.14%(3)
Ratio of net investment income (loss) to
average net assets.................... 0.02%(3) 0.49% 2.72% 4.49%(3)
Portfolio turnover rate (4)............. 324% 692% 583% 2%
</Table>
<Table>
* Commencement of operations
(1) Amounts shown in this caption for a share outstanding may not accord with the
change in aggregate gains and losses in securities for the fiscal period because
of the timing of sales and repurchases of Fund shares in relation to fluctuating
market values for the Fund.
(2) Total return is calculated assuming a purchase of shares at net asset value on
the first day and a sale at net asset value on the last day of each period
reported. Distributions are assumed, for the purpose of this calculation, to be
reinvested at net asset value per share on the respective payment dates of each
Fund. Total return for periods of less than one year is not annualized. Broker
commission charges are not included in this calculation.
(3) Annualized
(4) Portfolio Turnover rate excludes securities received or delivered from in kind
processing of creations or redemptions.
(5) Amount is less than $0.005 per share.
(6) Per share numbers have been calculated using the average shares method.
(7) Amount is less than 0.005%.
</Table>
124
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR BARCLAYS CAPITAL TIPS ETF SPDR BARCLAYS CAPITAL INTERMEDIATE TERM TREASURY ETF
- ------------------------------------------------------- -------------------------------------------------------
Six Months For the Six Months For the
Ended Period Ended Period
12/31/09 Year Ended Year Ended 5/25/07*- 12/31/09 Year Ended Year Ended 5/23/07*-
(Unaudited) 6/30/09 6/30/08 6/30/07 (Unaudited) 6/30/09 6/30/08 6/30/07
- ------------- ------------- ------------- ------------- ------------- ------------- ------------- -------------
$ 49.74 $ 52.00 $ 47.88 $ 48.01 $ 57.22 $ 55.32 $ 52.56 $ 52.57
-------- -------- ------- ------- -------- -------- ------- -------
1.03(6) 0.54(6) 2.86 0.41 0.59(6) 1.43(6) 2.06 0.22
1.32 (1.19) 4.24 (0.57) (0.03) 1.92 2.81 (0.23)
-------- -------- ------- ------- -------- -------- ------- -------
2.35 (0.65) 7.10 (0.16) 0.56 3.35 4.87 (0.01)
-------- -------- ------- ------- -------- -------- ------- -------
0.01 0.07 (0.12) 0.03 0.02 0.06 0.17 --
-------- -------- ------- ------- -------- -------- ------- -------
-- 0.00(5) -- -- -- -- -- --
-------- -------- ------- ------- -------- -------- ------- -------
(0.95) (1.68) (2.86) -- (0.69) (1.51) (2.24) --
-- -- -- -- (0.08) -- (0.04) --
-------- -------- ------- ------- -------- -------- ------- -------
(0.95) (1.68) (2.86) -- (0.77) (1.51) (2.28) --
-------- -------- ------- ------- -------- -------- ------- -------
$ 51.15 $ 49.74 $ 52.00 $ 47.88 $ 57.03 $ 57.22 $ 55.32 $ 52.56
======== ======== ======= ======= ======== ======== ======= =======
4.78% (1.11)% 14.96% (0.27)% 1.01% 6.20% 9.73% (0.02)%
$347,829 $288,501 $93,602 $57,457 $205,319 $143,070 $44,261 $10,513
0.19%(3) 0.19% 0.19% 0.19%(3) 0.14%(3) 0.14% 0.14% 0.14%(3)
4.03%(3) 1.11% 6.49% 10.23%(3) 2.04%(3) 2.50% 3.51% 4.13%(3)
9% 21% 16% 0% 22% 49% 36% 7%
</Table>
125
SPDR SERIES TRUST
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR BARCLAYS CAPITAL LONG TERM TREASURY ETF
-------------------------------------------------------
Six Months For the
Ended Period
12/31/09 Year Ended Year Ended 5/23/07*-
(Unaudited) 6/30/09 6/30/08 6/30/07
------------- ------------- ------------- -------------
NET ASSET VALUE, BEGINNING OF PERIOD.... $ 55.00 $ 53.39 $ 49.67 $50.12
------- ------- ------- ------
INCOME (LOSS) FROM
INVESTMENT OPERATIONS:
Net investment income (loss)............ 1.10(5) 2.36(5) 2.47 0.22
Net realized and unrealized gain
(loss) (1)............................ (1.72) 1.64 3.72 (0.67)
------- ------- ------- ------
Total from investment operations........ (0.62) 4.00 6.19 (0.45)
------- ------- ------- ------
Net equalization credits and
charges (5)........................... 0.06 0.01 (0.01) --
------- ------- ------- ------
Other Capital (5)....................... -- -- -- --
------- ------- ------- ------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................... (1.28) (2.40) (2.45) --
Net realized gains...................... -- -- (0.01) --
------- ------- ------- ------
Total distributions..................... (1.28) (2.40) (2.46) --
------- ------- ------- ------
NET ASSET VALUE, END OF PERIOD.......... $ 53.16 $ 55.00 $ 53.39 $49.67
======= ======= ======= ======
TOTAL RETURN (2)........................ (1.06)% 7.51% 12.62% (0.90)%
Net Assets, end of period (in 000's).... $15,949 $16,499 $10,678 $9,934
Ratio of expenses to average
net assets............................ 0.14%(3) 0.14% 0.14% 0.14%(3)
Ratio of net investment income (loss) to
average net assets.................... 3.95%(3) 4.14% 4.58% 4.29%(3)
Portfolio turnover rate (4)............. 28% 17% 11% 4%
</Table>
<Table>
* Commencement of operations
(1) Amounts shown in this caption for a share outstanding may not accord with the
change in aggregate gains and losses in securities for the fiscal period because
of the timing of sales and repurchases of Fund shares in relation to fluctuating
market values for the Fund.
(2) Total return is calculated assuming a purchase of shares at net asset value on
the first day and a sale at net asset value on the last day of each period
reported. Distributions are assumed, for the purpose of this calculation, to be
reinvested at net asset value per share on the respective payment dates of each
Fund. Total return for periods of less than one year is not annualized. Broker
commission charges are not included in this calculation.
(3) Annualized
(4) Portfolio Turnover rate excludes securities received or delivered from in kind
processing of creations or redemptions.
(5) Per share numbers have been calculated using the average shares method.
</Table>
126
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR BARCLAYS CAPITAL
INTERMEDIATE SPDR BARCLAYS CAPITAL LONG SPDR BARCLAYS CAPITAL SPDR BARCLAYS CAPITAL
TERM CREDIT BOND ETF TERM CREDIT BOND ETF CONVERTIBLE BOND ETF MORTGAGE BACKED BOND ETF
- --------------------------- --------------------------- --------------------------- ---------------------------
Six Months For the Six Months For the Six Months For the Six Months For the
Ended Period Ended Period Ended Period Ended Period
12/31/09 2/10/09*- 12/31/09 3/10/09*- 12/31/09 4/14/09*- 12/31/09 1/15/09*-
(Unaudited) 6/30/09 (Unaudited) 6/30/09 (Unaudited) 6/30/09 (Unaudited) 6/30/09
- ------------- ------------- ------------- ------------- ------------- ------------- ------------- -------------
$ 30.39 $ 30.00 $ 33.31 $30.00 $ 31.65 $ 30.00 $ 26.26 $26.05
------- ------- ------- ------ -------- ------- ------- ------
0.71(5) 0.59(5) 1.03(5) 0.65(5) 0.94(5) 0.35(5) 0.36(5) 0.25(5)
1.34 0.20 1.95 3.13 5.97 1.42 0.39 0.14
------- ------- ------- ------ -------- ------- ------- ------
2.05 0.79 2.98 3.78 6.91 1.77 0.75 0.39
------- ------- ------- ------ -------- ------- ------- ------
0.04 0.05 0.06 -- 0.07 0.05 0.03 --
------- ------- ------- ------ -------- ------- ------- ------
-- -- -- -- 0.02 0.05 0.04 --
------- ------- ------- ------ -------- ------- ------- ------
(0.85) (0.45) (1.24) (0.47) (1.13) (0.22) (0.44) (0.18)
(0.04) -- (0.08) -- (0.11) -- (0.31) --
------- ------- ------- ------ -------- ------- ------- ------
(0.89) (0.45) (1.32) (0.47) (1.24) (0.22) (0.75) (0.18)
------- ------- ------- ------ -------- ------- ------- ------
$ 31.59 $ 30.39 $ 35.03 $33.31 $ 37.41 $ 31.65 $ 26.33 $26.26
======= ======= ======= ====== ======== ======= ======= ======
6.95% 2.86% 9.17% 12.70% 22.36% 6.24% 3.11% 1.51%
$53,707 $27,349 $24,523 $6,661 $231,951 $44,307 $10,533 $5,252
0.15%(3) 0.15%(3) 0.15%(3) 0.15%(3) 0.40%(3) 0.40%(3) 0.21%(3) 0.20%(3)
4.47%(3) 5.22%(3) 5.84%(3) 6.82%(3) 5.27%(3) 5.33%(3) 2.69%(3) 2.14%(3)
30% 4% 33% 27% 15% 9% 515% 619%
</Table>
127
SPDR SERIES TRUST
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR BARCLAYS CAPITAL AGGREGATE BOND ETF
-------------------------------------------------------
Six Months For the
Ended Period
12/31/09 Year Ended Year Ended 5/23/07*-
(Unaudited) 6/30/09 6/30/08 6/30/07
------------- ------------- ------------- -------------
NET ASSET VALUE, BEGINNING OF PERIOD.... $ 54.47 $ 53.13 $ 52.09 $ 52.36
-------- -------- -------- -------
INCOME (LOSS) FROM
INVESTMENT OPERATIONS:
Net investment income (loss)............ 0.94(6) 2.13(6) 2.44 0.24
Net realized and unrealized gain
(loss) (1)............................ 1.13 1.41 0.91 (0.51)
-------- -------- -------- -------
Total from investment operations........ 2.07 3.54 3.35 (0.27)
-------- -------- -------- -------
Net equalization credits and
charges (6)........................... 0.01 0.03 0.31 --
-------- -------- -------- -------
Other Capital (6)....................... -- 0.01 -- --
-------- -------- -------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................... (1.11) (2.18) (2.62) --
Net realized gains...................... (0.93) (0.06) -- --
-------- -------- -------- -------
Total distributions..................... (2.04) (2.24) (2.62) --
-------- -------- -------- -------
NET ASSET VALUE, END OF PERIOD.......... $ 54.51 $ 54.47 $ 53.13 $ 52.09
======== ======== ======== =======
TOTAL RETURN (2)........................ 3.79% 6.90% 7.13% (0.52)%
Net Assets, end of period (in 000's).... $207,154 $196,090 $116,880 $10,419
Ratio of expenses to average
net assets............................ 0.13%(3) 0.13% 0.13% 0.13%(3)
Ratio of expense to average net assets
before waivers........................ 0.18%(3) 0.19% 0.19% 0.19%(3)
Ratio of net investment income (loss) to
average net assets.................... 3.37%(3) 3.98% 4.13% 4.42%(3)
Portfolio turnover rate (4)............. 219% 475% 151% 17%
</Table>
<Table>
* Commencement of operations
(1) Amounts shown in this caption for a share outstanding may not accord with the
change in aggregate gains and losses in securities for the fiscal period because
of the timing of sales and repurchases of Fund shares in relation to fluctuating
market values for the Fund.
(2) Total return is calculated assuming a purchase of shares at net asset value on
the first day and a sale at net asset value on the last day of each period
reported. Distributions are assumed, for the purpose of this calculation, to be
reinvested at net asset value per share on the respective payment dates of each
Fund. Total return for periods of less than one year is not annualized. Broker
commission charges are not included in this calculation.
(3) Annualized
(4) Portfolio Turnover rate excludes securities received or delivered from in kind
processing of creations or redemptions.
(5) Amount is less than $0.005 per share.
(6) Per share numbers have been calculated using the average shares method.
</Table>
128
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR BARCLAYS CAPITAL CALIFORNIA SPDR BARCLAYS CAPITAL NEW YORK MUNICIPAL
SPDR BARCLAYS CAPITAL MUNICIPAL BOND ETF MUNICIPAL BOND ETF BOND ETF
- ----------------------------------------- ----------------------------------------- -----------------------------------------
Six Months For the Six Months For the Six Months For the
Ended Period Ended Period Ended Period
12/31/09 Year Ended 9/11/07*- 12/31/09 Year Ended 10/10/07*- 12/31/09 Year Ended 10/11/07*-
(Unaudited) 6/30/09 6/30/08 (Unaudited) 6/30/09 6/30/08 (Unaudited) 6/30/09 6/30/08
- ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- -------------
$ 21.95 $ 21.73 $ 22.16 $ 21.25 $ 21.74 $ 22.18 $ 21.49 $ 21.64 $ 21.96
-------- -------- -------- ------- ------- ------- ------- ------- -------
0.43(6) 0.86(6) 0.64 0.48(6) 0.92(6) 0.62 0.44(6) 0.87(6) 0.63
0.73 0.18 (0.53) 1.00 (0.52) (0.52) 0.87 (0.16) (0.39)
-------- -------- -------- ------- ------- ------- ------- ------- -------
1.16 1.04 0.11 1.48 0.40 0.10 1.31 0.71 0.24
-------- -------- -------- ------- ------- ------- ------- ------- -------
0.01 0.03 0.05 0.01 0.02 0.02 0.01 0.01 --
-------- -------- -------- ------- ------- ------- ------- ------- -------
0.00(5) 0.00(5) 0.00(5) 0.00(5) 0.00(5) 0.00(5) 0.00(5) 0.00(5) --
-------- -------- -------- ------- ------- ------- ------- ------- -------
(0.50) (0.85) (0.59) (0.56) (0.91) (0.56) (0.51) (0.87) (0.56)
-- -- -- -- -- -- -- -- --
-------- -------- -------- ------- ------- ------- ------- ------- -------
(0.50) (0.85) (0.59) (0.56) (0.91) (0.56) (0.51) (0.87) (0.56)
-------- -------- -------- ------- ------- ------- ------- ------- -------
$ 22.62 $ 21.95 $ 21.73 $ 22.18 $ 21.25 $ 21.74 $ 22.30 $ 21.49 $ 21.64
======== ======== ======== ======= ======= ======= ======= ======= =======
5.35% 5.07% 0.73% 7.04% 2.02% 0.54% 6.19% 3.49% 1.08%
$809,933 $583,859 $256,404 $59,901 $40,376 $17,392 $20,073 $15,046 $12,986
0.20%(3) 0.20% 0.20%(3) 0.20%(3) 0.20% 0.20%(3) 0.20%(3) 0.20% 0.20%(3)
0.30%(3) 0.30% 0.30%(3) -- -- -- -- -- --
3.75%(3) 3.96% 3.79%(3) 4.33%(3) 4.33% 4.04%(3) 3.97%(3) 4.11% 4.02%(3)
1% 3% 0% 11% 24% 17% 10% 33% 32%
</Table>
129
SPDR SERIES TRUST
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR BARCLAYS CAPITAL SHORT TERM
MUNICIPAL BOND ETF
-----------------------------------------
Six Months For the
Ended Period
12/31/09 Year Ended 10/10/07*-
(Unaudited) 6/30/09 6/30/08
------------- ------------- -------------
NET ASSET VALUE, BEGINNING OF PERIOD.... $ 23.67 $ 22.82 $ 22.53
-------- -------- --------
INCOME (LOSS) FROM
INVESTMENT OPERATIONS:
Net investment income (loss)............ 0.22(5) 0.55(5) 0.45
Net realized and unrealized gain
(loss) (1)............................ 0.34 0.83 0.19
-------- -------- --------
Total from investment operations........ 0.56 1.38 0.64
-------- -------- --------
Net equalization credits and
charges (5)........................... 0.01 0.03 0.06
-------- -------- --------
Other Capital (5)....................... 0.01 0.01 0.01
-------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................... (0.27) (0.57) (0.42)
Return of capital....................... -- -- --
-------- -------- --------
Total distributions..................... (0.27) (0.57) (0.42)
-------- -------- --------
NET ASSET VALUE, END OF PERIOD.......... $ 23.98 $ 23.67 $ 22.82
======== ======== ========
TOTAL RETURN (2)........................ 2.45% 6.29% 3.16%
Net Assets, end of period (in 000's).... $892,046 $501,788 $123,225
Ratio of expenses to average
net assets............................ 0.20%(3) 0.20% 0.20%(3)
Ratio of net investment income (loss) to
average net assets.................... 1.86%(3) 2.35% 2.66%(3)
Portfolio turnover rate (4)............. 4% 4% 2%
</Table>
<Table>
* Commencement of operations
(1) Amounts shown in this caption for a share outstanding may not accord with the
change in aggregate gains and losses in securities for the fiscal period because
of the timing of sales and repurchases of Fund shares in relation to fluctuating
market values for the Fund.
(2) Total return is calculated assuming a purchase of shares at net asset value on
the first day and a sale at net asset value on the last day of each period
reported. Distributions are assumed, for the purpose of this calculation, to be
reinvested at net asset value per share on the respective payment dates of each
Fund. Total return for periods of less than one year is not annualized. Broker
commission charges are not included in this calculation.
(3) Annualized
(4) Portfolio Turnover rate excludes securities received or delivered from in kind
processing of creations or redemptions.
(5) Per share numbers have been calculated using the average shares method.
(6) Amount is less than $0.005 per share.
</Table>
130
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR S&P VRDO SPDR BARCLAYS CAPITAL SHORT
MUNICIPAL SPDR DB INTERNATIONAL GOVERNMENT TERM INTERNATIONAL TREASURY
BOND ETF INFLATION-PROTECTED BOND ETF BOND ETF
- ------------- ----------------------------------------- ---------------------------
For the
Period Six Months For the Six Months For the
9/23/09*- Ended Period Ended Period
12/31/09 12/31/09 Year Ended 3/13/08*- 12/31/09 1/15/09*-
(Unaudited) (Unaudited) 6/30/09 6/30/08 (Unaudited) 6/30/09
- ------------- ------------- ------------- ------------- ------------- -------------
$ 30.00 $ 51.90 $ 60.71 $ 61.85 $ 35.05 $ 33.05
------- ---------- -------- -------- -------- -------
0.01(5) 1.05(5) 2.08(5) 0.73 0.24(5) 0.21(5)
-- 2.23 (9.07) (1.35) 1.19 1.83
------- ---------- -------- -------- -------- -------
0.01 3.28 (6.99) (0.62) 1.43 2.04
------- ---------- -------- -------- -------- -------
0.00(6) 0.74 0.03 0.10 0.12 (0.06)
------- ---------- -------- -------- -------- -------
0.01 0.15 0.07 0.05 0.11 0.07
------- ---------- -------- -------- -------- -------
(0.01) (0.42) (0.04) (0.67) (0.54) (0.05)
-- -- (1.88) -- -- --
------- ---------- -------- -------- -------- -------
(0.01) (0.42) (1.92) (0.67) (0.54) (0.05)
------- ---------- -------- -------- -------- -------
$ 30.01 $ 55.65 $ 51.90 $ 60.71 $ 36.17 $ 35.05
======= ========== ======== ======== ======== =======
0.08% 8.03% (11.34)% (0.73)% 4.74% 6.22%
$15,004 $1,040,713 $394,482 $206,414 $137,440 $10,514
0.21%(3) 0.50%(3) 0.50% 0.50%(3) 0.35%(3) 0.36%(3)
0.17%(3) 3.75%(3) 4.20% 6.89%(3) 1.30%(3) 1.39%(3)
53% 13% 50% 2% 23% 39%
</Table>
131
SPDR SERIES TRUST
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR BARCLAYS CAPITAL INTERNATIONAL
TREASURY BOND ETF
-----------------------------------------
Six Months For the
Ended Period
12/31/09 Year Ended 10/2/07*-
(Unaudited) 6/30/09 6/30/08
------------- ------------- -------------
NET ASSET VALUE, BEGINNING OF PERIOD.... $ 54.19 $ 55.14 $ 51.55
---------- ---------- --------
INCOME (LOSS) FROM
INVESTMENT OPERATIONS:
Net investment income (loss)............ 0.76(6) 1.51(6) 0.97
Net realized and unrealized gain
(loss) (1)............................ 1.96 (1.32) 3.49
---------- ---------- --------
Total from investment operations........ 2.72 0.19 4.46
---------- ---------- --------
Net equalization credits and
charges (6)........................... 0.13 (0.01) 0.11
---------- ---------- --------
Other Capital (6)....................... 0.04 0.02 0.03
---------- ---------- --------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................... (0.26) (1.15) (1.01)
---------- ---------- --------
NET ASSET VALUE, END OF PERIOD.......... $ 56.82 $ 54.19 $ 55.14
========== ========== ========
TOTAL RETURN (2)........................ 5.33% 0.50% 8.95%
Net Assets, end of period (in 000's).... $1,488,578 $1,089,231 $760,990
Ratio of expenses to average
net assets............................ 0.50%(3) 0.50% 0.50%(3)
Ratio of net investment income (loss) to
average net assets.................... 2.65%(3) 2.91% 3.03%(3)
Portfolio turnover rate (4)............. 15% 43% 54%
</Table>
<Table>
* Commencement of operations
(1) Amounts shown in this caption for a share outstanding may not accord with the
change in aggregate gains and losses in securities for the fiscal period because
of the timing of sales and repurchases of Fund shares in relation to fluctuating
market values for the Fund.
(2) Total return is calculated assuming a purchase of shares at net asset value on
the first day and a sale at net asset value on the last day of each period
reported. Distributions are assumed, for the purpose of this calculation, to be
reinvested at net asset value per share on the respective payment dates of each
Fund. Total return for periods of less than one year is not annualized. Broker
commission charges are not included in this calculation.
(3) Annualized
(4) Portfolio Turnover rate excludes securities received or delivered from in kind
processing of creations or redemptions.
(5) Amount is less than $0.005 per share.
(6) Per share numbers have been calculated using the average shares method.
(7) If the Adviser had not made a coluntary contribution during the Year Ended
6/30/09 to the SPDR Barclays Capital High Yield Bond ETF, the total return would
have been (10.44)%.
</Table>
132
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR BARCLAYS
CAPITAL SHORT
TERM
CORPORATE
SPDR BARCLAYS CAPITAL HIGH YIELD BOND ETF BOND ETF
- ----------------------------------------- -------------
For the
Six Months For the Period
Ended Period 12/16/09*-
12/31/09 Year Ended 11/28/07*- 12/31/09
(Unaudited) 6/30/09 6/30/08 (Unaudited)
- ------------- ------------- ------------- -------------
$ 34.30 $ 43.82 $ 47.29 $ 30.00
---------- ---------- -------- -------
2.25(6) 4.75(6) 2.19 0.01(6)
4.64 (10.11) (4.04) (0.29)
---------- ---------- -------- -------
6.89 (5.36) (1.85) (0.28)
---------- ---------- -------- -------
0.11 0.39 0.39 0.01
---------- ---------- -------- -------
-- 0.00(5) 0.01 0.04
---------- ---------- -------- -------
(2.68) (4.55) (2.02) (0.01)
---------- ---------- -------- -------
$ 38.62 $ 34.30 $ 43.82 $ 29.76
========== ========== ======== =======
21.02% (10.13)%(7) (3.10)% (0.76)%
$3,418,795 $1,900,709 $394,346 $14,879
0.40%(3) 0.40% 0.40%(3) 0.12%(3)
12.11%(3) 14.81% 9.43%(3) 0.69%(3)
26% 30% 19% 6%
</Table>
133
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
1. ORGANIZATION
The SPDR Series Trust (the "Trust"), which is registered under the Investment
Company Act of 1940, as amended ("1940 Act"), is an open-end investment
management company that was organized as a Massachusetts business trust on June
12, 1998.
As of December 31, 2009, the Trust offered forty-seven (47) portfolios, each of
which represents a separate series of beneficial interest in the Trust (each
referred to as a "Fund", collectively as the "Funds"). The financial statements
herein relate to the following nineteen (19) Funds: SPDR Barclays Capital 1-3
Month T-Bill ETF, SPDR Barclays Capital TIPS ETF, SPDR Barclays Capital
Intermediate Term Treasury ETF, SPDR Barclays Capital Long Term Treasury ETF,
SPDR Barclays Capital Intermediate Term Credit Bond ETF, SPDR Barclays Capital
Long Term Credit Bond ETF, SPDR Barclays Capital Convertible Bond ETF, SPDR
Barclays Capital Mortgage Backed Bond ETF, SPDR Barclays Capital Aggregate Bond
ETF, SPDR Barclays Capital Municipal Bond ETF, SPDR Barclays Capital California
Municipal Bond ETF, SPDR Barclays Capital New York Municipal Bond ETF, SPDR
Barclays Capital Short Term Municipal Bond ETF, SPDR S&P VRDO Municipal Bond
ETF, SPDR DB International Government Inflation-Protected Bond ETF, SPDR
Barclays Capital Short Term International Treasury Bond ETF, SPDR Barclays
Capital International Treasury Bond ETF, SPDR Barclays Capital High Yield Bond
ETF and SPDR Barclays Capital Short Term Corporate Bond ETF. Each Fund operates
as a non-diversified investment company. The other twenty-eight (28) Funds are
included in a separate Semi-Annual Report.
Under the Trust's organizational documents, its officers and trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust. Additionally, in the normal course of business, the Trust
enters into contracts with service providers that contain general
indemnification clauses. The Trust's maximum exposure under these arrangements
is unknown as this could involve future claims that may be made against the
Trust that have not yet occurred. However, based on experience, the Trust
expects the risk of loss to be remote.
The Trust invests in various investments which are exposed to risks, such as
market risk. Due to the level of risk associated with certain investments it is
at least reasonably possible that changes in the values of investment securities
will occur in the near term and that such changes could materially affect the
amounts reported in the financial statements.
An investment in a Fund involves risks similar to those of investing in any fund
of fixed income securities, such as market fluctuations caused by such factors
as economic and political developments, changes in interest rates and perceived
trends in bond prices. The value of each Fund's shares will decline, more or
less, in correlation with any decline in the value of the Fund's benchmark
index. The values of fixed income securities could decline generally or could
underperform other investments. Further, Funds will not sell a fixed income
security because the security's issuer was in financial trouble, unless that
security is removed from the Fund's respective benchmark index.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the
Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
SECURITY VALUATION
The value of each Fund's portfolio securities and other financial instruments
are based on the market price of the securities, which generally means a
valuation obtained from an exchange or other market (or based on a price
quotation or other equivalent indication of value supplied by an exchange or
other market) or a valuation obtained from an independent pricing service.
Investments in open-end investment companies are valued at their net asset value
each business day. Variable Rate Demand Obligations are valued at par. Forward
foreign currency contracts are valued at the forward rate and are marked-to-
market daily. U.S. fixed income securities may be valued as of the announced
closing time for trading in fixed income instruments on any day that the
Securities Industry and Financial Markets Association announces an early closing
time. If a security's market price is not readily available or does not
otherwise
134
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
accurately reflect the fair value of the security, the security will be valued
by another method that the Board of Trustees of the Trust (the "Board") believes
will better reflect fair value in accordance with the Trust's valuation policies
and procedures. The Board has delegated the process of valuing securities for
which market quotations are not readily available or do not otherwise accurately
reflect the fair value of the security to the Pricing and Investment Committee
(the "Committee"). The Committee, subject to oversight by the Board, may use
fair value pricing in a variety of circumstances including, but not limited to,
situations when trading in a security has been suspended or halted. Accordingly,
a Fund's net asset value may reflect certain portfolio securities' fair values
rather than their market prices. Fair value pricing involves subjective
judgments and it is possible that the fair value determination for a security is
materially different than the value that could be received on the sale of the
security.
Effective July 1, 2008, the first day of the Funds' fiscal year 2009, the Funds
adopted the authoritative guidance for fair value measurements and the fair
value option for financial assets and financial liabilities. The guidance for
the fair value option for financial assets and financial liabilities provides
funds the irrevocable option to measure many financial assets and liabilities at
fair value with changes in fair value recognized in earnings. The guidance also
establishes a hierarchy for inputs used in measuring fair value that maximizes
the use of observable inputs and minimizes the use of unobservable inputs by
requiring that the most observable inputs be used when available. The guidance
establishes three levels of inputs that may be used to measure fair value:
- - Level 1 -- quoted prices in active markets for identical investments.
- - Level 2 -- other significant observable inputs (including, but not limited to,
quoted prices for similar investments, interest rates, prepayment speeds,
credit risk, etc.)
- - Level 3 -- significant unobservable inputs (including the Funds' own
assumptions in determining the fair value of investments)
Investments that use Level 2 or Level 3 inputs may include, but are not limited
to: (i) an unlisted security related to corporate actions; (ii) a restricted
security (e.g., one that may not be publicly sold without registration under the
Securities Act of 1933, as amended); (iii) a security whose trading has been
suspended or which has been de-listed from its primary trading exchange; (iv) a
security that is thinly traded; (v) a security in default or bankruptcy
proceedings for which there is no current market quotation; (vi) a security
affected by currency controls or restrictions; and (vii) a security affected by
a significant event (e.g., an event that occurs after the close of the markets
on which the security is traded but before the time as of which the Funds' net
assets are computed and that may materially affect the value of the Funds'
investments). Examples of events that may be "significant events" are government
actions, natural disasters, armed conflict, acts of terrorism, and significant
market fluctuations.
Fair value pricing could result in a difference between the prices used to
calculate a Fund's net asset value and the prices used by the Fund's benchmark
index, which, in turn, could result in a difference between the Fund's
performance and the performance of the benchmark index. The inputs or
methodology used for valuation are not necessarily an indication of the risk
associated with investing in those investments.
The type of inputs used to value each security is identified in the Schedule of
Investments, which also includes a breakdown of the Fund's investments by debt
securities issued by the U.S. government or U.S. government agencies, corporate
debt securities, commercial mortgage obligations, debt issued by state of the
U.S. and political subdivisions of states.
135
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
The following table summarizes the inputs used in valuing the Funds'
investments, as of December 31, 2009:
<Table>
<Caption>
LEVEL 2 -- LEVEL 3 --
LEVEL 1 -- OTHER SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
SPDR SERIES TRUST PRICES INPUTS INPUTS TOTAL
- ----------------- ------------ ----------------- ------------ --------------
SPDR Barclays Capital 1-3 Month T-
Bill ETF.............................. $ 349,733 $ 751,949,321 $-- $ 752,299,054
SPDR Barclays Capital TIPS ETF.......... 71,994,306 344,847,294 -- 416,841,600
SPDR Barclays Capital Intermediate Term
Treasury ETF.......................... 42,903,672 203,465,764 -- 246,369,436
SPDR Barclays Capital Long Term
Treasury ETF.......................... 3,271,435 15,719,254 -- 18,990,689
SPDR Barclays Capital Intermediate Term
Credit Bond ETF....................... 2,202,892 52,313,679 -- 54,516,571
SPDR Barclays Capital Long Term Credit
Bond ETF.............................. 227,845 24,090,744 -- 24,318,589
SPDR Barclays Capital Convertible
Bond ETF.............................. 59,704,965 173,264,281 -- 232,969,246
SPDR Barclays Capital Mortgage Backed
Bond ETF.............................. 10,807,844 10,509,113 -- 21,316,957
SPDR Barclays Capital Aggregate
Bond ETF.............................. 109,184,845 226,898,162 -- 336,083,007
SPDR Barclays Capital Municipal
Bond ETF.............................. 2,662,520 800,308,654 -- 802,971,174
SPDR Barclays Capital California
Municipal Bond ETF.................... 69,261 59,209,823 -- 59,279,084
SPDR Barclays Capital New York Municipal
Bond ETF.............................. 33,808 19,885,570 -- 19,919,378
SPDR Barclays Capital Short Term
Municipal Bond ETF.................... 5,072,984 878,094,915 -- 883,167,899
SPDR S&P VRDO Municipal Bond ETF........ 58,873 14,394,000 -- 14,452,873
SPDR DB International Government
Inflation-Protected Bond ETF.......... 3,940,822 1,035,554,694 -- 1,039,495,516
SPDR Barclays Capital Short Term
International Treasury ETF............ 1,430,513 131,499,860 -- 132,930,373
SPDR Barclays Capital International
Treasury Bond ETF..................... 16,949,088 1,454,896,718 -- 1,471,845,806
SPDR Barclays Capital High Yield
Bond ETF.............................. 27,304,566 3,360,829,857 -- 3,388,134,423
SPDR Barclays Capital Short Term
Corporate Bond ETF.................... 1,461,196 14,216,708 -- 15,677,904
<Caption>
LEVEL 2 -- LEVEL 3 --
LEVEL 1 -- OTHER SIGNIFICANT SIGNIFICANT
SPDR SERIES TRUST -- OTHER QUOTED OBSERVABLE UNOBSERVABLE
FINANCIAL INSTRUMENTS* PRICES INPUTS INPUTS TOTAL
- -------------------------- ------------ ----------------- ------------ --------------
SPDR Barclays Capital Short Term
International Treasury Bond ETF....... $ -- $ 34,704 $-- $ 34,704
SPDR Barclays Capital International
Treasury Bond ETF..................... -- (34,755) -- (34,755)
SPDR Barclays Capital High Yield
Bond ETF.............................. -- 1,335,224 -- 1,335,224
</Table>
<Table>
* Other Financial Instruments are derivative instruments not reflected
in the Schedule of Investments, such as futures, forward foreign
currency contracts, and swap contracts, which are valued at the
unrealized appreciation/depreciation on the instrument.
</Table>
136
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
The following is a summary of the fair valuations of the Funds' derivative
instruments categorized by risk exposure at December 31, 2009:
<Table>
<Caption>
ASSET/LIABILITY DERIVATIVE
-------------------------------------------------------------------------------------
Interest Foreign
Rate Exchange Credit Equity Commodity Other
Contracts Contracts Contracts Contracts Contracts Contracts
Risk Risk Risk Risk Risk Risk Total
--------- --------- ----------- --------- --------- --------- -----------
SPDR Barclays
Capital Short Term
International
Treasury
Bond ETF(a)....... Forward Contract $-- $ 34,704 $ -- $-- $-- $-- $ 34,704
SPDR Barclays
Capital
International
Treasury
Bond ETF(a)....... Forward Contract -- (34,755) -- -- -- -- (34,755)
SPDR Barclays
Capital High Yield
Bond ETF(b)....... Swaps Contract -- -- (4,909,083) -- -- -- (4,909,083)
</Table>
<Table>
(a) Unrealized appreciation (depreciation) on Forward Foreign Currency
Contracts
(b) Swap Contracts, at value
</Table>
<Table>
<Caption>
REALIZED GAIN (LOSS)
--------------------------------------------------------------------------------
Interest Foreign
Rate Exchange Credit Equity Commodity Other
Contracts Contracts Contracts Contracts Contracts Contracts
Risk Risk Risk Risk Risk Risk Total
--------- --------- --------- --------- --------- --------- --------
SPDR Barclays
Capital Short Term
International
Treasury
Bond ETF(a)....... Forward Contract $-- $ 2,866 $ -- $-- $-- $-- $ 2,866
SPDR Barclays
Capital
International
Treasury
Bond ETF(a)....... Forward Contract -- (12,238) -- -- -- -- (12,238)
SPDR Barclays
Capital High Yield
Bond ETF(b)....... Swaps Contract -- -- 379,167 -- -- -- 379,167
</Table>
<Table>
(a) Realized gain (loss) on Forward Foreign Currency Contracts
(b) Realized gain (loss) on Swap Contracts
</Table>
<Table>
<Caption>
CHANGE IN APPRECIATION (DEPRECIATION)
-----------------------------------------------------------------------------------
Interest Foreign
Rate Exchange Credit Equity Commodity Other
Contracts Contracts Contracts Contracts Contracts Contracts
Risk Risk Risk Risk Risk Risk Total
--------- --------- ---------- --------- --------- --------- ----------
SPDR Barclays
Capital Short Term
International
Treasury
Bond ETF(a)....... Forward Contract $-- $ 51,918 $ -- $-- $-- $-- $ 51,918
SPDR Barclays
Capital
International
Treasury
Bond ETF(a)....... Forward Contract -- 338,630 -- -- -- -- 338,630
SPDR Barclays
Capital High Yield
Bond ETF(b)....... Swaps Contract -- -- 2,731,305 -- -- -- 2,731,305
</Table>
<Table>
(a) Unrealized appreciation (depreciation) on Forward Foreign Currency
Contracts
(b) Unrealized appreciation (depreciation) on Swap Contracts
</Table>
INVESTMENT INCOME
Interest income is recorded on the accrual basis. All premiums and discounts are
amortized/accreted for financial reporting purposes.
137
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
EXPENSES
Advisory fees and other expenses, which are directly identifiable to a specific
Fund, are applied to that Fund. Trustees fees and other expenses which cannot be
attributed to a Fund are allocated in such a manner as deemed equitable, taking
into consideration the relative net assets of the Funds.
EQUALIZATION
The Funds follow the accounting practice known as "Equalization" by which a
portion of the proceeds from sales and costs of reacquiring Fund shares,
equivalent on a per share basis to the amount of distributable net investment
income on the date of the transaction, is credited or charged to undistributed
net investment income. As a result, undistributed net investment income per
share is unaffected by sales or reacquisition of Fund shares.
INVESTMENT TRANSACTIONS
Investment transactions are recorded on the trade date. Realized gains and
losses from the sale or disposition of securities and foreign exchange
transactions are recorded on the identified cost basis. Corporate actions
(including cash dividends) are recorded net of foreign tax withholdings on the
ex-dividend date.
FOREIGN CURRENCY TRANSLATION AND FOREIGN INVESTMENTS
The accounting records of the Funds are maintained in U.S. dollars. Portfolio
securities and other assets and liabilities denominated in a foreign currency
are translated to U.S. dollars at the prevailing rates of exchange at period
end. Purchases and sales of securities, income receipts and expense payments are
translated into U.S. dollars at the prevailing exchange rate on the respective
dates of transactions. The effects of changes in foreign currency exchange rates
on portfolio investments are included in the net realized and unrealized gains
and losses on investments and foreign currency transactions on the Statement of
Operations. Net gains and losses on foreign currency transactions include
disposition of foreign currencies, currency gains and losses between the accrual
and receipt dates of portfolio investment income and between the trade and
settlement dates of portfolio investment transactions.
Investing in securities of foreign companies and foreign governments involves
special risks and considerations not typically associated with investing in U.S.
companies and securities of the U.S. government. These risks include revaluation
of currencies and the risk of expropriation. Moreover, the markets for
securities of many foreign companies and foreign governments may be less liquid
and the prices of such securities may be more volatile than those of comparable
U.S. companies and the U.S. government.
FORWARD FOREIGN CURRENCY CONTRACTS
The SPDR DB International Government Inflation-Protected Bond ETF, SPDR Barclays
Capital Short Term International Treasury Bond ETF and the SPDR Barclays Capital
International Treasury Bond ETF may enter into forward foreign currency
contracts to hedge their portfolio holdings against future movements in certain
foreign currency exchange rates. A forward currency contract is a commitment to
purchase or sell a foreign currency at a future date at a set price. The forward
currency contracts are valued at the forward rate and are marked-to-market
daily. The change in market value is recorded by the Fund as an unrealized gain
or loss. When the contract is closed, the Fund recognizes a realized gain or
loss equal to the difference between the value of the contract at the time it
was opened and the value at the time it was closed.
The use of forward foreign currency contracts does not eliminate fluctuations in
the underlying prices of the securities of the Fund, but it does establish a
rate of exchange that can be achieved in the future. Although forward foreign
currency contracts to sell limit the risk of loss due to a decline in the value
of the currency holdings, they also limit any potential gain that might result
should the value of the currency increase. In addition, the Fund could be
exposed to risks if the counterparties to the contracts are unable to meet the
terms of the contracts.
138
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
MORTGAGE DOLLAR ROLLS
The SPDR Barclays Capital Aggregate Bond ETF and the SPDR Barclays Capital
Mortgage Backed Bond ETF may enter into mortgage dollar roll transactions with
respect to mortgage-backed securities for delivery in the current month and
simultaneously contracts to repurchase similar, but not identical, securities on
a fixed date.
The counterparty receives all principal and interest payments, including
prepayments, made on the security while it is the holder. The Fund receives
compensation as consideration for entering into the commitment to repurchase.
The compensation is paid in the form of a lower price for the security upon its
repurchase, or alternatively, a fee. Mortgage dollar rolls may be renewed with a
new sale and repurchase price and a cash settlement made at each renewal without
physical delivery of the securities subject to the contract. Certain risks may
arise upon entering into mortgage dollar rolls from the potential inability of
counterparties to meet the terms of their commitments. Additionally, the value
of such securities may change adversely before the Fund is able to repurchase
them. There can be no assurance that the Funds' use of the cash that it receives
from a mortgage dollar roll will provide a return that exceeds its costs. The
Funds' use of to-be announced ("TBA") mortgage dollar rolls may cause the fund
to experience higher transaction costs.
WHEN ISSUED/DELAYED DELIVERY SECURITIES
The SPDR Barclays Capital Aggregate Bond ETF and SPDR Barclays Capital Mortgage
Backed Bond ETF may purchase securities with delivery or payment to occur at a
later date beyond the normal settlement period. At the time the Fund enters into
a commitment to purchase a security, the transaction is recorded and the value
of the security is reflected in the net asset value. The price of such security
and the date when the security will be delivered and paid for are fixed at the
time the transaction is negotiated. The value of the security may vary with
market fluctuations. At the time the Fund enters into this type of transaction
it is required to segregate cash or other liquid assets at least equal to the
amount of the commitment. Certain risks may arise upon entering into when-issued
or delayed delivery securities from the potential inability of counterparties to
meet the terms of their contracts or if the issuer does not issue the securities
due to political, economic, or other factors. Additionally, losses may arise due
to changes in the value of the underlying securities.
INFLATION-INDEXED INSTRUMENTS
The SPDR Barclays Capital TIPS ETF and SPDR DB International Government
Inflation-Protected Bond ETF may invest almost exclusively in inflation-indexed
instruments which are fixed income securities whose principal value is
periodically adjusted to the rate of inflation. The interest rate on these
instruments is generally fixed at issuance at a rate lower than typical bonds or
notes. Over the life of an inflation-indexed instrument, however, interest will
be paid based on a principal value, which is adjusted for any inflation or
deflation. Any increase or decrease in the principal amount of an inflation-
indexed instrument will result in an adjustment of interest income which is
distributed to shareholders monthly. Investors will receive their inflation-
adjusted principal at maturity. Deflation may cause dividends to be suspended.
SWAP AGREEMENTS
Each Fund may enter into swap agreements, including interest rate, index, total
return and credit default swap agreements. The Funds will enter into swap
agreements to gain market exposure. Swap agreements are contracts between
parties in which one party agrees to make periodic payments to the other party
based on the change in market value or level of a specified rate, index or
asset. In return, the other party agrees to make payments to the first party
based on the return of a different specified rate, index or asset. Swap
agreements will usually be done on a net basis, i.e., where the two parties make
net payments with a Fund receiving or paying, as the case may be, only the net
amount of the two payments. The net amount of the excess, if any, of a Fund's
obligations over its entitlements with respect to each swap is accrued on a
daily basis and an amount of cash or equivalents having an aggregate value at
least equal to the accrued excess is maintained by the Fund. Entering into this
agreements involves, to varying degrees, market risk, liquidity risk, interest
rate risk, and counterparty risk.
139
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
In the case of a credit default swap ("CDS"), the contract gives one party (the
buyer) the right to recoup the economic value of a decline in the value of debt
securities of the reference issuer if a credit event (a downgrade or default)
occurs. This value is obtained by delivering a debt security of the reference
issuer to the party in return for a previously agreed payment from the other
party (frequently, the par value of the debt security). If a Fund buys
protection through a CDS contract and no credit event occurs, its payments are
limited to the periodic payments previously made to the counterparty. As the
seller of a CDS contract, a Fund would be required to pay the par (or other
agreed upon) value of a referenced debt obligation to the counterparty in the
event of a default or other credit event by the reference issuer, such as a U.S.
or foreign corporate issuer, with respect to debt obligations. In return, the
Fund would receive from the counterparty a periodic stream of payments over the
term of the contract provided that no event of default has occurred. If no
default occurs, a Fund would keep the stream of payments and would have no
payment obligations. As the seller, the Fund would be subject to investment
exposure on the notional amount of the swap. Under the terms of a CDS contract,
a Fund receives or makes payments quarterly based on a specific interest rate on
a notional amount. Payments received or made as a result of a credit event
termination of the contract are recognized, net of a proportional amount of
upfront payment, as realized gains or losses.
FEDERAL INCOME TAX
The Funds have qualified and intend to continue to qualify for and elect
treatment as "regulated investment companies" under Subchapter M of the Internal
Revenue Code of 1986, as amended. By so qualifying and electing, each Fund will
not be subject to federal income taxes to the extent it distributes its taxable
income, including any net realized capital gains, for each fiscal year. In
addition, by distributing during each calendar year substantially all of their
net investment income and capital gains, if any, the Funds will not be subject
to federal excise tax. Income and capital gain distributions are determined in
accordance with income tax regulations which may differ from U.S. generally
accepted accounting principles. These book-tax differences are primarily due to
differing treatments for tax equalization, in-kind transactions, foreign
currencies, losses deferred due to wash sales, and the realization of unrealized
gains on investments in passive foreign investment companies.
Additionally, based on the Fund's understanding of the tax rules and rates
related to income, gains and transactions for the foreign jurisdictions in which
the applicable Funds invest, the Funds will provide for foreign taxes and, where
appropriate, deferred foreign taxes.
The Funds have reviewed the tax positions for the open tax years as of June 30,
2009 and have determined that no provision for income tax is required in the
Funds' Financial Statements. The Funds' federal tax returns for the prior three
fiscal years remain subject to examination by the Internal Revenue Service.
For the six-months ended December 31, 2009, the following Funds reclassified
non-taxable security gains and losses realized on the in-kind redemption of
Creation Units (Note 4) as an increase or decrease to paid in capital in the
Statements of Assets and Liabilities as follows:
<Table>
<Caption>
NET GAIN (LOSS)
RECLASSIFIED
TO PAID IN CAPITAL
------------------
SPDR Barclays Capital 1-3 Month T-Bill
ETF................................... $ 11,198
SPDR Barclays Capital Long Term Treasury
ETF................................... 186,098
SPDR Barclays Capital Intermediate Term
Credit Bond ETF....................... 207,608
SPDR Barclays Capital Convertible Bond
ETF................................... (4,861)
SPDR Barclays Capital Aggregate Bond
ETF................................... 372,703
SPDR Barclays Capital High Yield Bond
ETF................................... 1,245,498
</Table>
140
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
At December 31, 2009, the Funds had capital loss carryforwards which may be
utilized to offset any net realized capital gains expiring June 30:
<Table>
<Caption>
2016 2017
------- -----------
SPDR Barclays Capital 1-3 Month T-Bill
ETF................................... $ -- $ --
SPDR Barclays Capital TIPS ETF.......... (1,158) (663,850)
SPDR Barclays Capital Intermediate Term
Treasury ETF.......................... -- --
SPDR Barclays Capital Long Term Treasury
ETF................................... -- --
SPDR Barclays Capital Intermediate Term
Credit Bond ETF....................... -- --
SPDR Barclays Capital Long Term Credit
Bond ETF.............................. -- --
SPDR Barclays Capital Convertible Bond
ETF................................... -- --
SPDR Barclays Capital Mortgage Backed
Bond ETF.............................. -- --
SPDR Barclays Capital Aggregate Bond
ETF................................... -- --
SPDR Barclays Capital Municipal Bond
ETF................................... -- (154,251)
SPDR Barclays Capital California
Municipal Bond ETF.................... -- (63,199)
SPDR Barclays Capital New York Municipal
Bond ETF.............................. -- (99,863)
SPDR Barclays Capital Short Term
Municipal Bond ETF.................... -- (5,908)
SPDR S&P VRDO Municipal Bond ETF........ -- --
SPDR DB International Government
Inflation-Protected Bond ETF.......... -- (3,663,114)
SPDR Barclays Capital Short Term
International Treasury Bond ETF....... -- --
SPDR Barclays Capital International
Treasury Bond ETF..................... -- --
SPDR Barclays Capital High Yield Bond
ETF................................... -- (4,963,127)
SPDR Barclays Capital Short Term
Corporate Bond ETF.................... -- --
</Table>
Under current tax laws, capital losses realized after October 31, may be
deferred and treated as occurring on the first day of the following year. The
Funds incurred the following losses during the period November 1, 2008 through
June 30, 2009 that are deferred for tax purposes until fiscal 2010:
<Table>
<Caption>
DEFERRED LOSSES
---------------
SPDR Barclays Capital 1-3 Month T-Bill
ETF................................... $ --
SPDR Barclays Capital TIPS ETF.......... (407,120)
SPDR Barclays Capital Intermediate Term
Treasury ETF.......................... --
SPDR Barclays Capital Long Term Treasury
ETF................................... --
SPDR Barclays Capital Intermediate Term
Credit Bond ETF....................... --
SPDR Barclays Capital Long Term Credit
Bond ETF.............................. --
SPDR Barclays Capital Convertible Bond
ETF................................... --
SPDR Barclays Capital Mortgage Backed
Bond ETF.............................. --
SPDR Barclays Capital Aggregate Bond
ETF................................... --
SPDR Barclays Capital Municipal Bond
ETF................................... (941,578)
SPDR Barclays Capital California
Municipal Bond ETF.................... (218,078)
SPDR Barclays Capital New York Municipal
Bond ETF.............................. (113,102)
SPDR Barclays Capital Short Term
Municipal Bond ETF.................... (66,970)
SPDR S&P VRDO Municipal Bond ETF........ --
SPDR DB International Government
Inflation-Protected Bond ETF.......... (9,078,355)
SPDR Barclays Capital Short Term
International Treasury Bond ETF....... --
SPDR Barclays Capital International
Treasury Bond ETF..................... (13,854,592)
SPDR Barclays Capital High Yield Bond
ETF................................... (71,278,235)
SPDR Barclays Capital Short Term
Corporate Bond ETF.................... --
</Table>
141
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
DISTRIBUTIONS
Each Fund declares and distributes dividends from net investment income, if any,
to its shareholders monthly. The Trust declares and distributes net realized
capital gains, if any, at least annually. Distributions are recorded on the ex-
dividend date. Income and capital gain distributions are determined in
accordance with income tax regulations, which may differ from U.S. generally
accepted accounting principles.
Effective October 30, 2009, the Trust's Dividend Reinvestment Service is no
longer available. Broker-dealers, at their own discretion, may offer a dividend
reinvestment service under which additional shares of the Fund(s) are purchased
in the secondary market at current market prices. Investors should consult their
broker-dealer for further information regarding any dividend reinvestment
service offered by such broker-dealer.
SUBSEQUENT EVENTS
Management has evaluated the possibility of subsequent events existing in the
Funds' financial statements through February 22, 2010. Management has determined
that there are no material events that would require disclosure in the Fund's
financial statements through this date except as noted below.
3. FEES AND COMPENSATION PAID TO AFFILIATES AND OTHER RELATED PARTY
TRANSACTIONS
ADVISORY FEE
Each Fund has entered into an Investment Advisory Agreement with SSgA Funds
Management, Inc. (the "Adviser" or "SSgA FM"). As compensation for the services
rendered, facilities furnished, and expenses borne by the Adviser, each Fund
pays the Adviser a fee accrued daily and paid monthly, based on a percentage of
each Fund's average daily net assets as shown in the following table:
<Table>
<Caption>
ANNUAL RATE
-----------
SDPR Barclays Capital 1-3 Month T-Bill
ETF................................... 0.1345%
SDPR Barclays Capital TIPS ETF.......... 0.1845
SDPR Barclays Capital Intermediate Term
Treasury ETF.......................... 0.1345
SDPR Barclays Capital Long Term
Treasury.............................. 0.1345
SDPR Barclays Capital Intermediate Term
Credit Bond ETF....................... 0.1500
SDPR Barclays Capital Long Term Credit
Bond ETF.............................. 0.1500
SDPR Barclays Capital Convertible Bond
ETF................................... 0.4000
SDPR Barclays Capital Mortgage Backed
Bond ETF.............................. 0.2000
SDPR Barclays Capital Aggregate Bond
ETF................................... 0.1845*
SDPR Barclays Capital Municipal Bond
ETF................................... 0.3000*
SDPR Barclays Capital California
Municipal Bond ETF.................... 0.2000
SDPR Barclays Capital New York Municipal
Bond ETF.............................. 0.2000
SDPR Barclays Capital Short Term
Municipal Bond ETF.................... 0.2000
SDPR S&P VRDO Municipal Bond ETF........ 0.2000
SDPR DB International Government
Inflation-Protected Bond ETF.......... 0.5000
SDPR Barclays Capital Short Term
International Treasury Bond ETF....... 0.3500
SDPR Barclays Capital International
Treasury Bond ETF..................... 0.5000
SDPR Barclays Capital High Yield Bond
ETF................................... 0.4000
SDPR Barclays Capital Short Term
Corporate Bond ETF.................... 0.1245
</Table>
<Table>
* The Adviser has contractually agreed to limit its management fee to
the extent necessary to limit annual operating expenses to 0.1345% and
0.2000% until October 31, 2010 for the SPDR Barclays Capital Aggregate
Bond ETF and the SPDR Barclays Capital Municipal Bond ETF,
respectively.
</Table>
The Adviser pays all operating expenses of each Fund other than the advisory
fee, distribution fee pursuant to each Fund's Distribution and Service Plan, if
any, brokerage, taxes, interest, fees and expenses of the Independent Trustees
142
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
(including any Trustee's counsel fees), litigation expenses, acquired fund fees
and expenses and other extraordinary expenses.
State Street Bank and Trust Company ("State Street"), an affiliate of the
Adviser, receives fees for its services as Custodian, Administrator and Transfer
Agent from the Adviser. See also Note 4.
State Street also acts as the securities lending agent for the Funds and
receives a portion of any lending income. In addition, cash collateral from
lending activities is invested in the State Street Navigator Securities Lending
Prime Portfolio for which SSgA FM serves as the investment adviser. The State
Street Navigator Securities Lending Prime Portfolio is a series of State Street
Navigator Securities Lending Trust, a registered investment company under the
1940 Act, and operates as a money market fun in compliance with Rule 2a-7 under
the 1940 Act. See Note 8 for additional information regarding securities
lending.
For the six months ended December 31, 2009, State Street earned securities
lending agent fees, from the following Funds:
<Table>
<Caption>
SECURITIES LENDING
AGENT FEES
------------------
SPDR Barclays Capital 1-3 Month T-Bill
ETF................................... $29,159
SPDR Barclays Capital TIPS ETF.......... 11,384
SPDR Barclays Capital Intermediate Term
Treasury ETF.......................... 7,527
SPDR Barclays Capital Long Term Treasury
ETF................................... 586
SPDR Barclays Capital Intermediate Term
Credit Bond ETF....................... 3
SPDR Barclays Capital Long Term Credit
Bond ETF.............................. 2
SPDR Barclays Capital Aggregate Bond
ETF................................... 6,462
SPDR DB International Government
Inflation-Protected Bond ETF.......... 12
SPDR Barclays Capital International
Treasury Bond ETF..................... 868
</Table>
DISTRIBUTOR
State Street Global Markets, LLC (the "Distributor"), an affiliate of the
Adviser, serves as the distributor of the shares of each Fund. Pursuant to a
Distribution and Service Plan adopted in accordance with Rule 12b-1 under the
1940 Act, each Fund is authorized to pay an amount of up to 0.25% of its average
daily net assets for certain distribution-related activities. However, the Board
of Trustees has determined that no such payments will be made through at least
October 31, 2010 and therefore no such payments have been made.
The Distributor has established an assisted trading program to aid Authorized
Participants in certain creation and redemption activity for which the
distributor receives commissions from Authorized Participants. In addition, the
Distributor receives compensation from State Street associated with on-line
creation and redemption activity of Authorized Participants.
TRUSTEES' FEES
The Trust and SPDR Index Share Funds ("SIS Trust") pay, in the aggregate, each
Independent Trustee an annual fee of $90,000 plus $5,000 per in-person meeting
attended and $1,250 for each telephonic or video conference meeting attended.
The Chair of the Board receives an additional annual fee of $25,000 and the
Chair of the Audit Committee receives an additional annual fee of $10,000. The
Trust also reimburses each Independent Trustee for travel and other out-of-
pocket expenses incurred by him/her in connection with attending such meetings
and in connection with attending industry seminars and meetings. Trustee fees
are allocated between the Trust and SIS Trust and each of their respective
series in such a manner as deemed equitable, taking into consideration the
relative net assets of the series.
143
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
TRANSACTIONS WITH AFFILIATES
Each Fund may invest in certain money market funds managed by the Adviser,
including the State Street Institutional Liquid Reserves Fund ("Liquid Reserves
Fund") and State Street Institutional Tax Free Money Market Fund ("Tax Free
Money Market Fund"), both a series of State Street Institutional Investment
Trust. The Liquid Reserves Fund and Tax Free Money Market Fund are both feeder
funds in a master/feeder fund structure that invest substantially all of their
assets in the State Street Money Market Portfolio and State Street Tax Free
Money Market Portfolio, respectively, each a series of State Street Master Funds
("Master Portfolio"). The Liquid Reserves Fund and Tax Free Money Market Fund do
not pay an investment advisory fee to the Adviser, but the respective Master
Portfolio in which they invest pays an investment advisory fee to the Adviser.
The Liquid Reserves Fund and Tax Free Money Market Fund intend to declare
dividends on shares from net investment income daily and pay them as of the last
business day of each month. All income distributions earned by the Funds from
affiliated money market funds are recorded as interest income on securities of
affiliated issuers in the accompanying Statement of Operations. In addition,
cash collateral from lending activities is invested in the State Street
Navigator Securities Lending Prime Portfolio ("Navigator") for which SSgA FM
serves as the investment adviser. Navigator is a series of State Street
Navigator Securities Lending Trust, a registered investment company under the
1940 act, and operates as a money market fund in compliance with Rule 2a-7 under
the 1940 Act.
Amounts related to investments in Liquid Reserves Fund, Tax Free Money Market
Fund and/or Navigator at December 31, 2009 and for the period then ended are:
<Table>
<Caption>
PURCHASED SOLD
VALUE AT -------------------------- -------------------------- VALUE AT REALIZED
LIQUID RESERVES 6/30/09 COST SHARES PROCEEDS SHARES 12/31/09 INCOME GAIN/(LOSS)
- --------------- ----------- ------------ ----------- ------------ ----------- ----------- ------- -----------
SPDR Barclays
Capital 1-3 Month
T-Bill ETF........ $ 509,341 $ 75,800,573 75,800,573 $ 75,960,181 75,960,181 $ 349,733 $ 433 $--
SPDR Barclays
Capital TIPS ETF.. 266,601 9,423,788 9,423,788 8,833,413 8,833,413 856,976 859 --
SPDR Barclays
Capital
Intermediate Term
Treasury ETF...... 162,579 9,496,672 9,496,672 8,793,743 8,793,743 865,508 506 --
SPDR Barclays
Capital Long Term
Treasury ETF...... 14,771 771,733 771,733 780,373 780,373 6,131 59 --
SPDR Barclays
Capital
Intermediate Term
Credit Bond ETF... 762,741 5,114,448 5,114,448 3,787,187 3,787,187 2,090,002 1,250 --
SPDR Barclays
Capital Long Term
Credit Bond ETF... 55,527 2,611,130 2,611,130 2,438,812 2,438,812 227,845 185 --
SPDR Barclays
Capital
Convertible
Bond ETF.......... 727,042 34,837,654 34,837,654 28,775,039 28,775,039 6,789,657 1,862 --
SPDR Barclays
Capital Mortgage
Backed Bond ETF... 5,203,681 5,745,687 5,745,687 141,524 141,524 10,807,844 9,850 --
SPDR Barclays
Capital Aggregate
Bond ETF.......... 69,853,146 27,932,480 27,932,480 24,270,042 24,270,042 73,515,584 92,190 --
SPDR DB
International
Government
Inflation-
Protected
Bond ETF.......... 23,869 142,979,464 142,979,464 139,062,511 139,062,511 3,940,822 1,583 --
SPDR Barclays
Capital Short Term
International
Treasury
Bond ETF.......... 923,049 15,276,098 15,276,098 14,768,634 14,768,634 1,430,513 2,719 --
SPDR Barclays
Capital
International
Treasury
Bond ETF.......... 29,529,317 89,374,605 89,374,605 104,756,069 104,756,069 14,147,853 44,002 --
SPDR Barclays
Capital High Yield
Bond ETF.......... 17,410,929 510,091,958 510,091,958 500,198,321 500,198,321 27,304,566 45,825 --
SPDR Barclays
Capital Short Term
Corporate
Bond EFT.......... -- 1,461,196 1,461,196 -- -- 1,461,196 36 --
</Table>
144
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PURCHASED SOLD
TAX FREE MONEY VALUE AT -------------------------- -------------------------- VALUE AT REALIZED
MARKET FUND 6/30/09 COST SHARES PROCEEDS SHARES 12/31/09 INCOME GAIN/(LOSS)
- -------------- ---------- ------------ ----------- ------------ ----------- ---------- ------ -----------
SPDR Barclays
Capital Municipal
Bond ETF.......... $5,708,553 $188,009,909 188,009,909 $191,055,942 191,055,942 $2,662,520 $3,420 $--
SPDR Barclays
Capital California
Municipal
Bond ETF.......... 216,644 15,334,522 15,334,522 15,481,905 15,481,905 69,261 277 --
SPDR Barclays
Capital New York
Municipal
Bond ETF.......... 728,368 5,017,731 5,017,731 5,712,291 5,712,291 33,808 162 --
SPDR Barclays
Capital Short Term
Municipal
Bond ETF.......... 6,006,808 236,367,975 236,367,975 237,301,799 237,301,799 5,072,984 5,608 --
SPDR S&P VRDO
Municipal
Bond ETF.......... -- 1,589,934 1,589,934 1,531,061 1,531,061 58,873 50 --
</Table>
<Table>
<Caption>
PURCHASED SOLD
VALUE AT ----------------------------- ----------------------------- VALUE AT REALIZED
NAVIGATOR 6/30/09 COST SHARES PROCEEDS SHARES 12/31/09 INCOME GAIN/(LOSS)
- --------- ----------- -------------- ------------- -------------- ------------- ----------- -------- -----------
SPDR Barclays
Capital 1-3 Month
T-Bill ETF........ $ -- $1,253,726,960 1,253,726,960 $1,253,726,960 1,253,726,960 $ -- $165,305 $--
SPDR Barclays
Capital TIPS ETF.. 58,425,040 41,489,315 41,489,315 28,777,025 28,777,025 71,137,330 64,503 --
SPDR Barclays
Capital
Intermediate Term
Treasury ETF...... 29,226,029 44,229,937 44,229,937 31,417,802 31,417,802 42,038,164 42,633 --
SPDR Barclays
Capital Long Term
Treasury ETF...... 3,366,905 5,665,228 5,665,228 5,766,829 5,776,829 3,265,304 3,309 --
SPDR Barclays
Capital
Intermediate Term
Credit Bond ETF... -- 113,028 113,028 138 138 112,890 16 --
SPDR Barclays
Capital Long Term
Credit Bond ETF... -- 53,956 53,956 53,956 53,956 -- 11 --
SPDR Barclays
Capital Aggregate
Bond ETF.......... 29,519,870 70,692,652 70,692,652 64,543,261 64,543,261 35,669,261 36,611 --
SPDR DB
International
Government
Inflation-
Protected
Bond ETF.......... 563,360 -- -- 563,360 563,360 -- 65 --
SPDR Barclays
Capital
International
Treasury
Bond ETF.......... 13,535,645 589,831 589,831 11,324,241 11,324,241 2,801,235 4,918 --
</Table>
4. SHAREHOLDER TRANSACTIONS
With the exception of the Trust's Dividend Reinvestment Service (See Note 2),
Shares are issued and redeemed by a Fund only in Creation Unit size aggregations
of 100,000 shares. Such transactions are generally permitted on an in-kind
basis, with a separate cash payment, which is a balancing cash component to
equate the transaction to the net asset value per unit of the Fund on the
transaction date and in the case of SPDR Barclays Capital Aggregate Bond ETF,
cash in lieu of TBA positions. Transaction fees ranging from of $250 to $1,500
per Creation Unit for each Fund, regardless of the number of Creation Units that
are created or redeemed on the same day, are charged to those persons creating
or redeeming Creation Units. An additional variable fee may be charged for
certain transactions. Transaction fees are received by the Trust and/or
Custodian and are used to defray related expenses. The Custodian also receives
amounts earned on cash collateral provided by Authorized Participants pending
delivery of missing deposit securities.
145
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
5. AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION
The identified cost of investments in securities owned by each Fund for federal
income tax purposes was substantially the same as the cost for financial
reporting purposes. Accordingly, gross unrealized appreciation and depreciation
at December 31, 2009 was as follows:
<Table>
<Caption>
GROSS GROSS NET UNREALIZED
IDENTIFIED UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION DEPRECIATION (DEPRECIATION)
-------------- ------------ ------------ --------------
SPDR Barclays Capital 1-3 Month T-Bill
ETF................................... $ 752,305,457 $ -- $ (6,403) $ (6,403)
SPDR Barclays Capital TIPS ETF.......... 406,655,424 10,186,176 -- 10,186,176
SPDR Barclays Capital Intermediate Term
Treasury ETF.......................... 246,899,593 849,816 (1,379,973) (530,157)
SPDR Barclays Capital Long Term Treasury
ETF................................... 19,813,806 -- (823,117) (823,117)
SPDR Barclays Capital Intermediate Term
Credit Bond ETF....................... 52,879,703 1,765,627 (128,759) 1,636,868
SPDR Barclays Capital Long Term Credit
Bond ETF.............................. 23,502,081 1,034,915 (218,407) 816,508
SPDR Barclays Capital Convertible Bond
ETF................................... 213,490,102 19,479,144 -- 19,479,144
SPDR Barclays Capital Mortgage Backed
Bond ETF.............................. 21,430,298 312 (113,653) (113,341)
SPDR Barclays Capital Aggregate Bond
ETF................................... 334,915,664 3,438,925 (2,271,582) 1,167,343
SPDR Barclays Capital Municipal Bond
ETF................................... 776,941,591 27,941,025 (1,911,442) 26,029,583
SPDR Barclays Capital California
Municipal Bond ETF.................... 58,087,199 1,676,210 (484,325) 1,191,885
SPDR Barclays Capital New York Municipal
Bond ETF.............................. 19,381,542 564,145 (26,309) 537,836
SPDR Barclays Capital Short Term
Municipal Bond ETF.................... 866,927,419 16,477,308 (236,828) 16,240,480
SPDR S&P VRDO Municipal Bond ETF........ 14,452,873 -- -- --
SPDR DB International Government
Inflation-Protected Bond ETF.......... 1,024,611,867 28,335,016 (13,451,367) 14,883,649
SPDR Barclays Capital Short Term
International Treasury Bond ETF....... 135,584,925 207,152 (2,861,704) (2,654,552)
SPDR Barclays Capital International
Treasury Bond ETF..................... 1,423,489,385 62,679,566 (14,323,145) 48,356,421
SPDR Barclays Capital High Yield Bond
ETF................................... 3,058,861,232 332,659,672 (3,386,481) 329,273,191
SPDR Barclays Capital Short Term
Corporate Bond ETF.................... 15,760,890 -- (82,986) (82,986)
</Table>
6. INVESTMENT TRANSACTIONS
For the six months ended December 31, 2009, the following Funds had in-kind
contributions and in-kind redemptions as follows:
<Table>
<Caption>
CONTRIBUTIONS REDEMPTIONS
-------------- ------------
SPDR Barclays Capital 1-3 Month T-Bill
ETF................................... $ 96,297,493 $330,178,851
SPDR Barclays Capital TIPS ETF.......... 50,551,201 --
SPDR Barclays Capital Intermediate Term
Treasury ETF.......................... 56,323,459 --
SPDR Barclays Capital Long Term Treasury
ETF................................... 16,376,273 16,193,787
SPDR Barclays Capital Intermediate Term
Credit Bond ETF....................... 28,002,879 3,042,425
SPDR Barclays Capital Long Term Credit
Bond ETF.............................. 16,259,731 --
SPDR Barclays Capital Convertible Bond
ETF................................... 141,868,726 6,782,726
SPDR Barclays Capital Aggregate Bond
ETF................................... 12,751,699 6,185,224
SPDR Barclays Capital High Yield Bond
ETF................................... 1,144,371,269 54,239,291
SPDR Barclays Capital Short Term
Corporate Bond ETF.................... 5,305,296 --
</Table>
146
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
The in-kind contributions and in-kind redemptions in this table may not accord
with the beneficial interest transactions on the Statement of Changes. The table
represents the accumulation of the Fund's daily net shareholder transactions
while the Statement of Changes reflect gross shareholder transactions including
any cash component of the transaction.
For the six months ended December 31, 2009, the Funds had purchases and sales of
investment securities (excluding short-term securities -- with the exception of
short term U.S. Treasury Bills in the case of SPDR Barclays Capital 1-3 Month T-
Bill ETF), as follows:
<Table>
<Caption>
U.S. GOVERNMENT OBLIGATIONS OTHER SECURITIES
------------------------------- ---------------------------
PURCHASES SALES PURCHASES SALES
-------------- -------------- ------------ ------------
SPDR Barclays Capital 1-3 Month T-Bill
ETF................................... $2,772,288,444 $2,772,521,908 $ -- $ --
SPDR Barclays Capital TIPS ETF.......... 28,224,554 30,935,702 -- --
SPDR Barclays Capital Intermediate Term
Treasury ETF.......................... 44,573,619 38,106,856 -- --
SPDR Barclays Capital Long Term Treasury
ETF................................... 4,545,127 4,524,578 -- --
SPDR Barclays Capital Intermediate Term
Credit Bond ETF....................... -- -- 13,073,756 14,008,199
SPDR Barclays Capital Long Term Credit
Bond ETF.............................. -- -- 5,089,399 4,077,981
SPDR Barclays Capital Convertible Bond
ETF................................... -- -- 47,166,050 19,166,460
SPDR Barclays Capital Mortgage Backed
Bond ETF.............................. -- -- 46,080,125 40,838,668
SPDR Barclays Capital Aggregate Bond
ETF................................... 793,514,434 780,324,991 5,596,308 2,612,174
SPDR Barclays Capital Municipal Bond
ETF................................... -- -- 220,267,811 8,196,467
SPDR Barclays Capital California
Municipal Bond ETF.................... -- -- 22,818,957 5,416,769
SPDR Barclays Capital New York Municipal
Bond ETF.............................. -- -- 6,288,565 1,713,570
SPDR Barclays Capital Short Term
Municipal Bond ETF.................... -- -- 412,388,632 24,409,360
SPDR S&P VRDO Municipal Bond ETF........ -- -- 21,354,000 6,960,000
SPDR DB International Government
Inflation-Protected Bond ETF.......... -- -- 711,104,885 87,664,006
SPDR Barclays Capital Short Term
International Treasury Bond ETF....... -- -- 139,454,794 13,865,840
SPDR Barclays Capital International
Treasury Bond ETF..................... -- -- 574,628,174 190,430,419
SPDR Barclays Capital High Yield Bond
ETF................................... -- -- 739,990,287 669,525,720
SPDR Barclays Capital Short Term
Corporate Bond ETF.................... -- -- 9,869,136 865,770
</Table>
For the six months ended December 31, 2009, the Trust did not pay any
commissions to an affiliate of the Adviser for the investment transactions.
7. CONCENTRATION OF RISK
The Funds' assets may be concentrated in a particular state or geographic area,
or in a particular industry, group of industries or sector. Because each Fund
will generally concentrate its investments to approximately the same extent that
its index is so concentrated, a Fund may be adversely affected by the
performance of bonds of a particular state or geographic area, or in a
particular industry, group of industries or sector, and its shares may be
subject to increased price volatility. In addition, if a Fund concentrates in a
single industry, group of industries or type of instrument, it may be more
susceptible to any single economic, market, political or regulatory occurrence
affecting that industry, group of industries or type of instrument.
8. SECURITIES LENDING
Each Fund may lend securities up to 33 1/3% of its total assets to qualified
broker-dealers or institutional investors. The loans are secured at all times by
cash, cash equivalents or U.S. government securities in an amount at least equal
to the market value of the securities loaned, plus accrued interest and
dividends, determined on a daily basis and adjusted accordingly. The Funds will
regain record ownership of loaned securities to exercise certain beneficial
rights; however, the Funds may bear the risk of delay in recovery of, or even
loss of rights in, the securities loaned should the borrower
147
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
fail financially. In addition, a Fund will bear the risk of loss of any cash
collateral that it may invest. Each Fund receives compensation for lending its
securities from interest or dividends earned on the cash, cash equivalents or
U.S. government securities held as collateral, net of fee rebates paid to the
borrower and net of fees paid to State Street as lending agent. Proceeds
collected by State Street on investment of cash collateral or any fee income is
partially allocated to State Street as compensation for its lending services.
The market value of securities on loan as of December 31, 2009 and the value of
the invested cash collateral are disclosed in the Statements of Assets and
Liabilities. Securities lending income, as disclosed in the Funds' Statements of
Operations, represent the income earned from the investment of cash collateral,
net of fee rebates paid to the borrower and net of fees paid to State Street as
lending agent.
148
SPDR SERIES TRUST
OTHER INFORMATION
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
SHAREHOLDER EXPENSE EXAMPLE
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs
which may include creation and redemption fees or brokerage charges and (2)
ongoing costs, including management fees, trustee fees, and other Fund expenses.
This Example is intended to help you understand your ongoing costs (in dollars)
of investing in a Fund and to compare these costs with the ongoing costs of
investing in other mutual funds. It is based on an investment of $1,000 invested
on July 1, 2009 and held for the six months ended December 31, 2009.
ACTUAL EXPENSES
The first table below provides information about actual account values and
actual expenses. You may use the information in this table, together with the
amount you invested, to estimate the expenses that you incurred over the period.
Simply divide your account value by $1,000 (for example, an $8,600 account value
divided by $1,000 = 8.6), then multiply the result by the number in the first
table under the heading entitled "Expenses Paid during Period" to estimate the
expenses attributable to your investment during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second table below provides information about hypothetical account values
and hypothetical expenses based on a Fund's actual expense ratio and an assumed
rate of return of 5% per year before expenses, which is not a Fund's actual
return. Thus, you should not use the hypothetical account values and expenses to
estimate the actual ending account balance or your expenses for the period.
Rather, these figures are provided to enable you to compare the ongoing costs of
investing in a Fund and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of the other funds. The Funds charge transaction fees at scheduled amounts
ranging from $250 to $1,500 per transaction to those persons creating or
redeeming Creation Units. If you buy or sell Shares of the Fund in the secondary
market, you will incur customary brokerage commissions and charges.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transaction costs, such as creation
and redemption fees, or brokerage charges. Therefore, the second table is useful
in comparing ongoing costs only, and will not help you determine the relative
total costs of owning different funds. In addition, if these transaction costs
were included, your costs would have been higher.
149
SPDR SERIES TRUST
OTHER INFORMATION (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
EXPENSES PAID
BEGINNING ACCOUNT ENDING ACCOUNT DURING PERIOD*
ANNUALIZED VALUE VALUE 7/1/09-
EXPENSE RATIO 7/1/09 12/31/09 12/31/09
------------- ----------------- -------------- --------------
ACTUAL
SPDR Barclays Capital 1-3 Month T-Bill
ETF................................ 0.14% $1,000 $1,000.00 $0.71
SPDR Barclays Capital TIPS ETF........ 0.19 1,000 1,047.80 0.98
SPDR Barclays Capital Intermediate
Term Treasury ETF.................. 0.14 1,000 1,010.10 0.71
SPDR Barclays Capital Long Term
Treasury ETF....................... 0.14 1,000 989.40 0.70
SPDR Barclays Capital Intermediate
Term Credit Bond ETF............... 0.15 1,000 1,069.50 0.78
SPDR Barclays Capital Long Term Credit
Bond ETF........................... 0.15 1,000 1,091.70 0.79
SPDR Barclays Capital Convertible Bond
ETF................................ 0.40 1,000 1,223.60 2.24
SPDR Barclays Capital Mortgage Backed
Bond ETF........................... 0.21 1,000 1,031.10 1.08
SPDR Barclays Capital Aggregate Bond
ETF................................ 0.13 1,000 1,037.90 0.67
SPDR Barclays Capital Municipal Bond
ETF................................ 0.20 1,000 1,053.50 1.04
SPDR Barclays Capital California
Municipal Bond ETF................. 0.20 1,000 1,070.40 1.04
SPDR Barclays Capital New York
Municipal Bond ETF................. 0.20 1,000 1,061.90 1.04
SPDR Barclays Capital Short Term
Municipal Bond ETF................. 0.20 1,000 1,024.50 1.02
SPDR S&P VRDO Municipal Bond ETF **... 0.21 1,000 1,000.80 0.58
SPDR DB International Government
Inflation-Protected Bond ETF....... 0.50 1,000 1,080.30 2.62
SPDR Barclays Capital Short Term
International Treasury Bond ETF.... 0.35 1,000 1,047.40 1.81
SPDR Barclays Capital International
Treasury Bond ETF.................. 0.50 1,000 1,053.30 2.59
SPDR Barclays Capital High Yield Bond
ETF................................ 0.40 1,000 1,210.20 2.23
SPDR Barclays Capital Short Term
Corporate Bond ETF ***............. 0.12 1,000 992.40 0.06
</Table>
150
SPDR SERIES TRUST
OTHER INFORMATION (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
EXPENSES PAID
BEGINNING ACCOUNT ENDING ACCOUNT DURING PERIOD*
ANNUALIZED VALUE VALUE 7/1/09-
EXPENSE RATIO 7/1/09 12/31/09 12/31/09
------------- ----------------- -------------- --------------
HYPOTHETICAL
SPDR Barclays Capital 1-3 Month T-Bill
ETF................................ 0.14% $1,000 $1,024.50 $0.71
SPDR Barclays Capital TIPS ETF........ 0.19 1,000 1,024.25 0.97
SPDR Barclays Capital Intermediate
Term Treasury ETF.................. 0.14 1,000 1,024.50 0.71
SPDR Barclays Capital Long Term
Treasury ETF....................... 0.14 1,000 1,024.50 0.71
SPDR Barclays Capital Intermediate
Term Credit Bond ETF............... 0.15 1,000 1,024.45 0.77
SPDR Barclays Capital Long Term Credit
Bond ETF........................... 0.15 1,000 1,024.45 0.77
SPDR Barclays Capital Convertible Bond
ETF................................ 0.40 1,000 1,023.19 2.04
SPDR Barclays Capital Mortgage Backed
Bond ETF........................... 0.21 1,000 1,024.15 1.07
SPDR Barclays Capital Aggregate Bond
ETF................................ 0.13 1,000 1,024.55 0.66
SPDR Barclays Capital Municipal Bond
ETF................................ 0.20 1,000 1,024.20 1.02
SPDR Barclays Capital California
Municipal Bond ETF................. 0.20 1,000 1,024.20 1.02
SPDR Barclays Capital New York
Municipal Bond ETF................. 0.20 1,000 1,024.20 1.02
SPDR Barclays Capital Short Term
Municipal Bond ETF................. 0.20 1,000 1,024.20 1.02
SPDR S&P VRDO Municipal Bond ETF **... 0.21 1,000 1,013.12 0.58
SPDR DB International Government
Inflation-Protected Bond ETF....... 0.50 1,000 1,022.68 2.55
SPDR Barclays Capital Short Term
International Treasury Bond ETF.... 0.35 1,000 1,023.44 1.79
SPDR Barclays Capital International
Treasury Bond ETF.................. 0.50 1,000 1,022.68 2.55
SPDR Barclays Capital High Yield Bond
ETF................................ 0.40 1,000 1,023.19 2.04
SPDR Barclays Capital Short Term
Corporate Bond ETF ***............. 0.12 1,000 1,024.55 0.66
</Table>
<Table>
* Expenses are equal to the Fund's annualized net expense ratio
multiplied by the average account value over the period,
multiplied by the number of days in the most recent six month period,
then divided by 365.
** Actual period is from commencement of operations 9/23/09. Hypothetical
period is from 7/1/09.
*** Actual period is from commencement of operations 12/16/09.
Hypothetical period is from 7/1/09.
</Table>
PROXY VOTING POLICIES AND PROCEDURES AND RECORD
A description of the Trust's proxy voting policies and procedures that are used
by the Funds' investment adviser to vote proxies relating to the Funds'
portfolio of securities are available (i) without charge, upon request, by
calling 1-866-787-2257 (toll free) or (ii) on the website of the Securities and
Exchange Commission ("SEC") at www.sec.gov. Information regarding how the
investment adviser voted for the prior 12-month period ended June 30 is
available by August 31 of each year by calling the same number and on the SEC's
website, at www.sec.gov , and on the Fund's website at www.spdrs.com.
151
SPDR SERIES TRUST
OTHER INFORMATION (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
SHAREHOLDER MEETING
On January 25, 2010, the SPDR Series Trust and the SPDR Index Shares Funds
provided notice of, and a proxy statement associated with, a Shareholder Meeting
to be held on March 19, 2010 at SSgA Funds Management, Inc.'s offices in Boston,
Massachusetts. Shareholders of record as of January 6, 2010 received such
information and are entitled to vote at the Shareholder Meeting. The purpose of
the Shareholder Meeting is to seek approval of several proposals which relate to
the following matters: to elect Trustees; to approve an investment sub-advisory
agreement between the Adviser and Nuveen Asset Management related to the
portfolio management of certain SPDR Municipal Bond ETFs; to adopt a "manager of
managers" structure for all Funds which would permit the SPDR Funds to hire and
replace sub-advisers without the expense of a shareholder meeting; to modify or
eliminate certain fundamental policies and restrictions for all SPDR Funds and;
to address other matters which may properly come before the Shareholder Meeting.
More information on the Shareholder Meeting, the proposals and how to vote is
available at www.spdrs.com.
QUARTERLY PORTFOLIO SCHEDULE
The Funds file a complete schedule of portfolio holdings with the SEC of the
first and third quarters of each fiscal year on Form N-Q. The Funds' Forms N-Q
are available on the SEC's website at www.sec.gov and may be reviewed and copied
at the SEC's Public Reference Room in Washington, DC. Information on the
operation of the Public Reference Room may be obtained by calling 1-800-SEC-
0330. The information on the Form N-Q is available upon request, without charge,
by calling 1-866-787-2257 (toll free), and on the Funds' website at
www.spdrs.com.
ADVISORY CONTRACT RENEWAL
At in-person meetings held during the six-month period ended December 31, 2009,
the Board of Trustees of the Trust (the "Board") evaluated the proposals to
continue the Investment Advisory Agreement (the "Agreement") between the Trust
and SSgA Funds Management, Inc. (the "Adviser") with respect to the operational
fixed income series of the Trust (each a "Current ETF", collectively, the
"Current ETFs") and to continue and/or approve, as the case may be, the
Agreement with respect to the previously approved non-operational series of the
Trust and SPDR Barclays Capital Short Term Corporate Bond ETF, a newly
operational series of the Trust (collectively, the "New ETFs" and together with
the Current ETFs, the "ETFs"). The Trustees who are not "interested persons" of
the Trust within the meaning of the Investment Company Act of 1940, as amended
(the "Independent Trustees") also met separately with their independent legal
counsel to consider the Agreement.
In evaluating the Agreement, the Board drew on materials provided to them by the
Adviser and on other materials provided by State Street Bank and Trust Company,
the Trust's Administrator, Transfer Agent and Custodian ("State Street"). In
deciding whether to approve the Agreement, the Board considered various factors,
including (i) the nature, extent and quality of services provided by, or to be
provided by, the Adviser with respect to the ETFs under the Agreement, (ii)
investment performance of the Current ETFs, (iii) costs to the Adviser of its
services and profits realized by the Adviser from its relationship with the
Trust, and (iv) the extent to which economies of scale would be realized if and
as the ETFs grow and whether fee levels in the Agreement reflect these economies
of scale.
The Board considered the nature, extent and quality of services provided by, or
to be provided by, the Adviser. In doing so, they relied on their prior
experience with the Trust and materials provided prior to and at the meeting.
The Board reviewed the Agreement and the Adviser's responsibilities for managing
the investment operations of each of the Current ETFs and anticipated
responsibilities for managing investment operations of the New ETFs, in
accordance with each ETF's investment objective, investment policies, and
applicable legal and regulatory requirements. The Board appreciated the
relatively unique nature of the ETFs, as exchange-traded funds, and the
experience and expertise of the Adviser with exchange-traded funds. The Board
considered the background and experience of the Adviser's senior management,
including those individuals responsible for portfolio management and compliance
of the ETFs. The Board also considered the portfolio management resources,
structures and practices, including those associated with monitoring and
securing each ETF's compliance with its investment objectives and policies and
with applicable laws and regulations. The Board also considered information
about the Adviser's best execution procedures and overall investment management
business, noting that the Adviser serves a wide range of clients across a broad
spectrum of
152
SPDR SERIES TRUST
OTHER INFORMATION (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
asset classes. The Board looked at the Adviser's general knowledge of the
investment business and that of its affiliates which make up State Street Global
Advisors, with which the Adviser shares all of its senior personnel. The Board
considered that the Adviser and its affiliates constitute one of the world's
largest investment management enterprises for indexed products generally and
exchanched-traded funds in particular. The Board considered the Adviser's
experience in managing fixed income ETFs. The Board then determined that the
nature, extent and quality of services provided by the Adviser to the Trust were
necessary and appropriate.
The Board then reviewed the Current ETFs' performance, noting that that the
distinctive indexed investment objective of each of the Current ETFs made
analysis of investment performance, in absolute terms, less of a priority than
that which normally attaches to the performance of actively-managed funds. The
Board was more concerned with the extent to which each Current ETF achieved its
objective as a passively managed index fund. The Board reviewed information
regarding the Current ETFs' index tracking and tracking error, noting that each
Current ETF satisfactorily tracked its benchmark index. The Board also reviewed
the tax efficiency of the Current ETFs. The Board then determined that the
performance of each Current ETF was satisfactory.
The Board considered the profitability of the advisory arrangement with the
Current ETFs to the Adviser, including data on the Current ETFs' historical
profitability to the Adviser. The Independent Trustees, through their counsel,
had the opportunity to discuss, with representatives of the Adviser and State
Street, methodologies used in computing costs that formed the bases of
profitability calculations and determined that these methodologies were
reasonable. The Board concluded that, to the extent that the Adviser's
relationships with the Current ETFs had been profitable, profitability was not
excessive.
The Board considered whether the Adviser or its affiliates benefited in other
ways from their relationship with the Trust, noting that the Adviser does not
maintain soft-dollar arrangements in connection with the Trust's brokerage
transactions. The Board concluded that, to the extent that the Adviser or its
affiliates derive benefits from their relationship with the Trust, those
benefits are not so significant as to cause the Adviser's fees with respect to
the ETFs to be excessive.
The Board determined that the Adviser is likely to realize economies of scale in
managing the ETFs as assets grow in size. The Board further determined that such
economies of scale are currently shared with the ETFs by way of the relatively
low advisory fee and unitary fee structure of the Trust, although the Board
intends to continue to monitor fees as ETFs grow in size and assess whether fee
breakpoints may be warranted.
The Board evaluated the ETFs' unitary fee through the review of comparative
information with respect to fees paid by similar funds-i.e., exchanged-traded
funds tracking fixed income indexes. The Board reviewed the universe of similar
exchanged-traded funds for the ETFs based upon data from Lipper Analytical
Services and related comparative information for similar exchanged-traded funds.
The Board also reviewed the historical expense ratios of the Current ETFs,
estimated expense ratios of the New ETFs, and the unitary fee structure. The
Board used a fund by fund analysis of the data. The Board concluded, based on
the information presented, that each ETF's fees were fair and reasonable in
light of those of their direct competitors.
The Board, including the Independent Trustees voting separately, approved the
Agreement after weighing the foregoing factors, none of which was dispositive in
itself. The Board's conclusions regarding the Agreement were as follows: (a) the
nature and extent of the services provided by the Adviser with respect to the
Current ETFs and expected to be provided by the Adviser with respect to the New
ETFs were appropriate; (b) the performance and, more importantly, the index
tracking, of each Current ETF had been satisfactory; (c) the Adviser's fees for
each ETF and the unitary fee, considered in relation to services provided or
expected to be provided, were fair and reasonable; (d) profitability of the
Trust's relationships with the Adviser was not excessive; (e) any additional
benefits to the Adviser or its affiliates were not of a magnitude to materially
affect the Board's conclusions; and (f) the fees paid to the Adviser adequately
shared the economies of scale with the ETFs by way of the relatively low fee
structure of the Trust.
153
THE SPDR(R) FAMILY OF EXCHANGE TRADED FUNDS
The following is a list of SPDR ETFs being offered, along with their respective
exchange trading symbols. PLEASE CALL 1-866-787-2257 TO OBTAIN A PROSPECTUS FOR
ANY SPDR ETF. THE PROSPECTUS CONTAINS MORE COMPLETE INFORMATION, INCLUDING
CHARGES, EXPENSES, INVESTMENT OBJECTIVES AND RISK FACTORS THAT SHOULD BE
CAREFULLY CONSIDERED TO DETERMINE IF THE FUND(S) ARE AN APPROPRIATE INVESTMENT
FOR YOU. READ THE PROSPECTUS(ES) CAREFULLY BEFORE INVESTING. INVESTING INVOLVES
RISK, INCLUDING POSSIBLE LOSS OF PRINCIPAL.
SPDR SERIES TRUST
SPDR Dow Jones Total Market ETF (TMW)
SPDR Dow Jones Large Cap ETF (ELR)
SPDR Dow Jones Large Cap Growth ETF (ELG)
SPDR Dow Jones Large Cap Value ETF (ELV)
SPDR Dow Jones Mid Cap ETF (EMM)
SPDR Dow Jones Mid Cap Growth ETF (EMG)
SPDR Dow Jones Mid Cap Value ETF (EMV)
SPDR Dow Jones Small Cap ETF (DSC)
SPDR Dow Jones Small Cap Growth ETF (DSG)
SPDR Dow Jones Small Cap Value ETF (DSV)
SPDR DJ Global Titans ETF (DGT)
SPDR Dow Jones REIT ETF (RWR)
SPDR KBW Bank ETF (KBE)
SPDR KBW Capital Markets ETF (KCE)
SPDR KBW Insurance ETF (KIE)
SPDR Morgan Stanley Technology ETF (MTK)
SPDR S&P Dividend ETF (SDY)
SPDR S&P Biotech ETF (XBI)
SPDR S&P Homebuilders ETF (XHB)
SPDR S&P Metals & Mining ETF (XME)
SPDR S&P Oil & Gas Equipment & Services ETF (XES)
SPDR S&P Oil & Gas Exploration & Production ETF (XOP)
SPDR S&P Pharmaceuticals ETF (XPH)
SPDR S&P Retail ETF (XRT)
SPDR S&P Semiconductor ETF (XSD)
SPDR KBW Regional Banking ETF (KRE)
SPDR KBW Mortgage Finance ETF(KME)
SPDR Wells Fargo Preferred Stock ETF (PSK)
SPDR Barclays Capital 1-3 Month T-Bill ETF (BIL)
SPDR Barclays Capital TIPS ETF (IPE)
SPDR Barclays Capital Intermediate Term Treasury ETF (ITE)
SPDR Barclays Capital Long Term Treasury ETF (TLO)
SPDR Barclays Capital Intermediate Term Credit Bond ETF (ITR)
SPDR Barclays Capital Long Term Credit Bond ETF (LWC)
SPDR Barclays Capital Convertible Bond ETF (CWB)
SPDR Barclays Capital Mortgage Backed Bond ETF (MBG)
SPDR Barclays Capital Aggregate Bond ETF (LAG)
SPDR Barclays Capital Municipal Bond ETF (TFI)
SPDR Barclays Capital California Municipal Bond ETF (CXA)
SPDR Barclays Capital New York Municipal Bond ETF (INY)
SPDR Barclays Capital Short Term Municipal Bond ETF (SHM)
SPDR S&P VRDO Municipal Bond ETF (VRD)
SPDR DB International Government Inflation-Protected Bond ETF (WIP)
SPDR Barclays Capital Short Term International Treasury Bond ETF (BWZ)
SPDR Barclays Capital International Treasury Bond ETF (BWX)
SPDR Barclays Capital High Yield Bond ETF (JNK)
SDPR Barclays Capital Short Term Corporate Bond ETF (SCPB)
SPDR INDEX SHARES FUNDS
SPDR DJ STOXX 50 ETF (FEU)
SPDR DJ EURO STOXX 50 ETF (FEZ)
SPDR S&P Emerging Asia Pacific ETF (GMF)
SPDR S&P China ETF (GXC)
SPDR S&P Emerging Markets ETF (GMM)
SPDR S&P BRIC 40 ETF (BIK)
SPDR S&P Emerging Europe ETF (GUR)
SPDR S&P Emerging Latin America ETF (GML)
SPDR S&P Emerging Middle East & Africa ETF (GAF)
SPDR S&P World ex-US ETF (GWL)
SPDR S&P International Small Cap ETF (GWX)
SPDR Dow Jones International Real Estate ETF (RWX)
SPDR FTSE/Macquarie Global Infrastructure 100 ETF (GII)
SPDR MSCI ACWI ex-US ETF (CWI)
SPDR Russell/Nomura PRIME Japan ETF (JPP)
SPDR Russell/Nomura Small Cap Japan ETF (JSC)
SPDR S&P International Dividend ETF (DWX)
SPDR S&P International Mid Cap ETF (MDD)
SPDR S&P Emerging Markets Small Cap ETF (EWX)
SPDR Dow Jones Global Real Estate ETF (RWO)
SPDR S&P International Consumer Discretionary Sector ETF (IPD)
SPDR S&P International Consumer Staples Sector ETF (IPS)
SPDR S&P International Energy Sector ETF (IPW)
SPDR S&P International Financial Sector ETF (IPF)
SPDR S&P International Health Care Sector ETF (IRY)
SPDR S&P International Industrial Sector ETF (IPN)
SPDR S&P International Materials Sector ETF (IRV)
SPDR S&P International Technology Sector ETF (IPK)
SPDR S&P International Telecommunications Sector ETF (IST)
SPDR S&P International Utilities Sector ETF (IPU)
SPDR DOW JONES INDUSTRIAL AVERAGE ETF TRUST (DIA)
SPDR S&P 500 ETF TRUST (SPY)
THE SELECT SECTOR SPDR TRUST
The Consumer Discretionary Select Sector SPDR Fund (XLY)
The Consumer Staples Select Sector SPDR Fund (XLP)
The Energy Select Sector SPDR Fund (XLE)
The Financial Select Sector SPDR Fund (XLF)
The Health Care Select Sector SPDR Fund (XLV)
The Industrial Select Sector SPDR Fund (XLI)
The Materials Select Sector SPDR Fund (XLB)
The Technology Select Sector SPDR Fund (XLK)
The Utilities Select Sector SPDR Fund (XLU)
STATE STREET GLOBAL MARKETS, LLC, MEMBER FINRA AND SIPC, IS DISTRIBUTOR FOR ALL
INVESTMENT PORTFOLIOS OF SPDR SERIES TRUST AND SPDR INDEX SHARES FUNDS. ALPS
DISTRIBUTORS, INC., A REGISTERED BROKER-DEALER, IS DISTRIBUTOR FOR SPDR S&P 500
ETF TRUST (SPY) AND SPDR DOW JONES INDUSTRIAL AVERAGE ETF TRUST (DIA), BOTH UNIT
INVESTMENT TRUSTS; AND ALL INVESTMENT PORTFOLIOS OF THE SELECT SECTOR SPDR
TRUST.
SPDR SERIES TRUST
TRUSTEES
David M. Kelly
Frank Nesvet
OFFICERS
James E. Ross, President
Ellen M. Needham, Vice President
Michael P. Riley, Vice President
Gary L. French, Treasurer
Matthew W. Flaherty, Assistant Treasurer
Chad C. Hallett, Assistant Treasurer
Laura F. Healy, Assistant Treasurer
Ryan M. Louvar, Secretary
Mark E. Tuttle, Assistant Secretary
Julie B. Piatelli, Chief Compliance Officer
INVESTMENT MANAGER
SSgA Funds Management, Inc.
State Street Financial Center
One Lincoln Street
Boston, MA 02111
DISTRIBUTOR
State Street Global Markets, LLC
One Lincoln Street
Boston, MA 02111
CUSTODIAN, ADMINISTRATOR AND TRANSFER AGENT
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
LEGAL COUNSEL
Morgan, Lewis and Bockius LLP
1111 Pennsylvania Avenue, NW
Washington, DC 20004
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
Fund shares are distributed by State Street Global Markets, LLC, a wholly-owned
subsidiary of State Street Corporation. State Street Global Markets, LLC is a
member of FINRA and SIPC.
THE INFORMATION CONTAINED IN THIS REPORT IS INTENDED FOR THE GENERAL INFORMATION
OF SHAREHOLDERS OF THE TRUST. THIS REPORT IS NOT AUTHORIZED FOR DISTRIBUTION TO
PROSPECTIVE INVESTORS UNLESS PRECEDED OR ACCOMPANIED BY A CURRENT TRUST
PROSPECTUS WHICH CONTAINS IMPORTANT INFORMATION CONCERNING THE TRUST. YOU MAY
OBTAIN A CURRENT PROSPECTUS AND SAI FROM THE DISTRIBUTOR BY CALLING
1-866-787-2257 OR VISITING WWW.SPDRS.COM PLEASE READ THE PROSPECTUS CAREFULLY
BEFORE YOU INVEST.
(GRAPHIC)
State Street Global Advisors
State Street Financial Center
One Lincoln Street
Boston, MA 02111
The investment return and principal value of an investment in the Funds will fl
uctuate in value, so that when shares are sold or redeemed they may be worth
more or less than when they were purchased.
ETFs trade like stocks, are subject to investment risk and will fl uctuate in
market value.
Bond funds contain interest rate risk (as interest rates rise bond prices
usually fall); the risk of issuer default; and infl ation risk.
The "SPDR" trademark is used under license from The McGraw-Hill Companies, Inc.
("McGraw-Hill"). No fi nancial product offered by State Street Corporation or
its affi liates is sponsored, endorsed, sold or promoted by McGraw Hill.
Standard & Poor's(R), S&P(R), SPDR(R), S&P 500(R) and Select Sector SPDRs(R) are
trademarks of The McGraw-Hill Companies, Inc., and have been licensed for use by
State Street Bank and Trust Company or its affiliates.
In general, Fund shares can be expect to move up or down in value with the value
of the applicable index. Although Fund shares may be bought and sold on the
exchange through any brokerage account, Fund shares are not individually
redeemable from the Fund. Investors may directly acquire shares of the Funds and
tender them for redemption in Creation Unit Aggregations only. Please see the
prospectus for more details.
"Barclays Capital" is a trademark of Barclays Capital, the investment banking
division of Barclays Bank PLC ("Barclays Capital") and is used by State Street
Global Advisors under license. Barclays Capital compiles, maintains and owns
rights in and to the Barclays U.S. Government Infl ation-linked Bond Index. The
SPDR Barclays Capital ETFs are not sponsored, endorsed, sold or promoted by
Barclays Capital. Barclays Capital or one of its affi liated entities may act as
an Authorized Participant and/or as an initial purchaser of shares of the SPDR
Barclays Capital ETFs. Barclays Capital makes no representation regarding the
advisability of investing in the SPDR Barclays Capital ETFs or use of any
Barclays Index or any data included therein.
Barclays Capital is a trademark of Barclays Capital, the investment banking
division of Barclays Bank PLC ("Barclays Capital") and has been licensed for use
in connection with the listing and trading of the SPDR Barclays Capital ETFs.
The products are not sponsored by, endorsed, sold or promoted by Barclays
Capital and Barclays Capital makes no representation regarding the advisability
of investing in them.
"Deutsche Bank" and "DB Global Government ex-US Infl ation-Linked Bond Capped
IndexSM" are reprinted with permission. (C)Copyright 2008 Deutsche Bank AG. All
rights reserved. "Deutsche Bank" and DB Global Government ex-US Infl
ation-Linked Bond Capped IndexSM are service marks of Deutsche Bank AG and have
been licensed for use for certain purposes by State Street Global Advisors. The
SPDR DB International Government Infl ation-Protected Bond is not sponsored,
endorsed, sold or promoted by Deutsche Bank AG. Deutsche Bank AG, as Index
Provider, makes no representation, express or implied, regarding the
advisability of investing in this product.
This information must be preceded or accompanied by a current prospectus or
summary prospectus. Please read the prospectus carefully before you invest or
send money. (C) 2010 State Street Corporation SPDR FISAR
IBG-1403
For more complete information, please call 866.787.2257 or visit www.spdrs.com
today
ITEM 2. CODE OF ETHICS
Not applicable to the Registrant; this Form N-CSR is a Semi-Annual Report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT
Not applicable to the Registrant; this Form N-CSR is a Semi-Annual Report.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES
Not applicable to the Registrant; this Form N-CSR is a Semi-Annual Report.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS
Not applicable to the Registrant; this Form N-CSR is a Semi-Annual Report.
ITEM 6. SCHEDULE OF INVESTMENTS
A Schedule of Investments for each series of the Registrant, except for those
series set forth below, is included as a part of the semi-annual reports to
shareholders filed under Item 1 of this Form N-CSR.
The Schedule of Investments for the following series of the Registrant is set
forth below:
SPDR(R) Dow Jones Total Market ETF
SPDR(R) Dow Jones Large Cap ETF
SPDR(R) Dow Jones Large Cap Growth ETF
SPDR(R) Dow Jones Large Cap Value ETF
SPDR(R) Dow Jones Mid Cap ETF
SPDR(R) Dow Jones Mid Cap Growth ETF
SPDR(R) Dow Jones Mid Cap Value ETF
SPDR(R) Dow Jones Small Cap ETF
SPDR(R) Dow Jones Small Cap Growth ETF
SPDR(R) Dow Jones Small Cap Value ETF
SPDR DOW JONES TOTAL MARKET ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.5%
AEROSPACE & DEFENSE -- 2.3%
BE Aerospace, Inc. (a)(b)..... 3,049 $ 71,651
Boeing Co. ................... 10,358 560,679
Ceradyne, Inc. (a)............ 527 10,124
General Dynamics Corp. ....... 4,785 326,193
Goodrich Corp. ............... 2,868 184,269
Honeywell International,
Inc. ....................... 10,584 414,893
ITT Corp. .................... 3,537 175,930
L-3 Communications Holdings,
Inc. ....................... 2,182 189,725
Lockheed Martin Corp. ........ 4,923 370,948
Northrop Grumman Corp. ....... 5,518 308,180
Precision Castparts Corp. .... 1,866 205,913
Raytheon Co. ................. 6,947 357,909
Rockwell Collins, Inc. ....... 3,455 191,269
Taser International, Inc.
(a)(b)...................... 986 4,319
United Technologies Corp. .... 13,282 921,904
------------
4,293,906
------------
AIR FREIGHT & LOGISTICS -- 0.8%
C.H. Robinson Worldwide, Inc.
(b)......................... 2,508 147,295
Expeditors International
Washington, Inc. ........... 3,263 113,324
FedEx Corp. .................. 4,534 378,362
Forward Air Corp. (b)......... 3,590 89,929
United Parcel Service, Inc.
(Class B)................... 11,697 671,057
UTI Worldwide, Inc. .......... 3,559 50,965
------------
1,450,932
------------
AIRLINES -- 0.2%
AMR Corp. (a)................. 5,072 39,207
Continental Airlines, Inc.
(Class B) (a)(b)............ 2,146 38,456
Delta Air Lines, Inc. (a)..... 9,347 106,369
JetBlue Airways Corp. (a)..... 5,284 28,798
Southwest Airlines Co. ....... 11,466 131,056
UAL Corp. (a)(b).............. 2,476 31,965
US Airways Group, Inc.
(a)(b)...................... 2,930 14,181
------------
390,032
------------
AUTO COMPONENTS -- 0.3%
BorgWarner, Inc. (b).......... 1,269 42,156
Gentex Corp. ................. 5,599 99,942
Johnson Controls, Inc. ....... 9,951 271,065
Modine Manufacturing Co.
(a)(b)...................... 3,312 39,214
The Goodyear Tire & Rubber Co.
(a)......................... 5,260 74,166
WABCO Holdings, Inc. ......... 1,554 40,078
------------
566,621
------------
AUTOMOBILES -- 0.3%
Ford Motor Co. (a)............ 47,086 470,860
Harley-Davidson, Inc. (b)..... 4,718 118,893
Thor Industries, Inc. ........ 549 17,239
------------
606,992
------------
BEVERAGES -- 2.1%
Central European Distribution
Corp. (a)................... 719 20,427
Coca-Cola Enterprises, Inc. .. 5,999 127,179
Constellation Brands, Inc.
(Class A) (a)............... 4,281 68,196
Dr. Pepper Snapple Group,
Inc. ....................... 4,006 113,370
Hansen Natural Corp. (a)...... 1,257 48,269
Molson Coors Brewing Co.
(Class B)................... 2,237 101,023
PepsiCo, Inc. ................ 23,434 1,424,787
The Coca-Cola Co. ............ 31,856 1,815,792
The Pepsi Bottling Group,
Inc. ....................... 3,718 139,425
------------
3,858,468
------------
BIOTECHNOLOGY -- 1.9%
Acorda Therapeutics, Inc.
(a)(b)...................... 1,046 26,380
Alexion Pharmaceuticals, Inc.
(a)......................... 1,283 62,636
Alkermes, Inc. (a)(b)......... 2,512 23,638
Alnylam Pharmaceuticals, Inc.
(a)(b)...................... 1,152 20,298
AMAG Pharmaceuticals, Inc.
(a)(b)...................... 316 12,018
Amgen, Inc. (a)............... 16,300 922,091
Amylin Pharmaceuticals, Inc.
(a)(b)...................... 2,655 37,674
AVI BioPharma, Inc. (a)....... 5,176 7,557
Biogen Idec, Inc. (a)......... 4,763 254,821
BioMarin Pharmaceutical, Inc.
(a)(b)...................... 2,020 37,996
Celgene Corp. (a)............. 7,392 411,587
Cephalon, Inc. (a)(b)......... 1,394 87,000
Chelsea Therapeutics
International, Inc. (a)..... 7,166 19,348
Cubist Pharmaceuticals, Inc.
(a)......................... 1,369 25,970
Dendreon Corp. (a)............ 1,627 42,758
Facet Biotech Corp. (a)(b).... 3,689 64,853
Genzyme Corp. (a)............. 4,219 206,773
Gilead Sciences, Inc. (a)..... 14,312 619,423
Human Genome Sciences, Inc.
(a)......................... 6,472 198,043
InterMune, Inc. (a)(b)........ 493 6,429
Isis Pharmaceuticals, Inc.
(a)(b)...................... 2,191 24,320
Martek Biosciences Corp.
(a)(b)...................... 1,018 19,281
Medivation, Inc. (a)(b)....... 1,479 55,684
Myriad Genetics, Inc. (a)..... 1,473 38,445
Myriad Pharmaceuticals, Inc.
(a)(b)...................... 368 1,851
Neurocrine Biosciences, Inc.
(a)(b)...................... 2,058 5,598
Novavax, Inc. (a)(b).......... 3,778 10,049
Onyx Pharmaceuticals, Inc.
(a)(b)...................... 973 28,548
OSI Pharmaceuticals, Inc.
(a)(b)...................... 1,172 36,367
PDL BioPharma, Inc. (b)....... 3,744 25,684
Pharmasset, Inc. (a)(b)....... 390 8,073
SIGA Technologies, Inc.
(a)(b)...................... 8,358 48,476
Spectrum Pharmaceuticals, Inc.
(a)(b)...................... 3,273 14,532
StemCells, Inc. (a)(b)........ 5,628 7,091
Vertex Pharmaceuticals, Inc.
(a)(b)...................... 2,174 93,156
------------
3,504,448
------------
BUILDING PRODUCTS -- 0.1%
Masco Corp. .................. 6,266 86,533
Quanex Building Products
Corp. ...................... 592 10,046
Simpson Manufacturing Co.,
Inc. (b).................... 1,483 39,878
USG Corp. (a)(b).............. 1,113 15,638
------------
152,095
------------
CAPITAL MARKETS -- 2.4%
Affiliated Managers Group,
Inc. (a)(b)................. 706 47,549
Ameriprise Financial, Inc. ... 3,469 134,667
BlackRock, Inc. (b)........... 276 64,087
Diamond Hill Investment Group,
Inc. (b).................... 130 8,350
E*TRADE Financial Corp.
(a)(b)...................... 9,050 15,837
Eaton Vance Corp. ............ 2,012 61,185
Federated Investors, Inc.
(Class B) (b)............... 942 25,905
Franklin Resources, Inc. ..... 2,459 259,056
International Assets Holding
Corp. (a)................... 2,784 40,479
Invesco, Ltd. ................ 6,023 141,480
Janus Capital Group, Inc. .... 5,790 77,875
Jefferies Group, Inc. (a)(b).. 2,250 53,392
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES TOTAL MARKET ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
KBW, Inc. (a)(b).............. 816 $ 22,326
Knight Capital Group, Inc.
(Class A) (a)............... 732 11,273
Legg Mason, Inc. (b).......... 3,097 93,405
Morgan Stanley................ 17,519 518,562
Northern Trust Corp. ......... 3,519 184,396
Raymond James Financial, Inc.
(b)......................... 1,728 41,075
SEI Investments Co. .......... 5,504 96,430
State Street Corp. (c)........ 6,816 296,769
T. Rowe Price Group, Inc.
(b)......................... 3,783 201,445
TD Ameritrade Holding Corp.
(a)......................... 4,180 81,008
The Bank of New York Mellon
Corp. ...................... 17,347 485,196
The Charles Schwab Corp. ..... 15,356 289,000
The Goldman Sachs Group,
Inc. ....................... 6,701 1,131,397
Waddell & Reed Financial, Inc.
(Class A)................... 3,077 93,972
------------
4,476,116
------------
CHEMICALS -- 1.9%
Air Products & Chemicals,
Inc. ....................... 2,990 242,369
Airgas, Inc. ................. 1,235 58,786
Ashland, Inc. ................ 1,694 67,116
Cabot Corp. .................. 1,950 51,149
Calgon Carbon Corp. (a)(b).... 1,674 23,269
Celanese Corp. (Series A)..... 2,852 91,549
CF Industries Holdings,
Inc. ....................... 954 86,604
E. I. du Pont de Nemours &
Co. ........................ 14,102 474,814
Eastman Chemical Co. (b)...... 2,103 126,685
Ecolab, Inc. ................. 3,777 168,379
FMC Corp. .................... 1,172 65,351
Monsanto Co. ................. 8,558 699,617
Nalco Holding Co. ............ 3,502 89,336
PPG Industries, Inc. ......... 3,047 178,371
Praxair, Inc. ................ 5,304 425,964
Sigma-Aldrich Corp. (b)....... 1,656 83,678
Terra Industries, Inc. ....... 1,956 62,964
The Dow Chemical Co. ......... 15,529 429,066
The Mosaic Co. ............... 2,373 141,739
------------
3,566,806
------------
COMMERCIAL BANKS -- 2.7%
Arrow Financial Corp. (b)..... 4,305 107,625
Bank of Hawaii Corp. (b)...... 799 37,601
BB&T Corp. (b)................ 8,673 220,034
CapitalSource, Inc. (b)....... 1,702 6,757
Capitol Bancorp, Ltd. (b)..... 3,055 5,988
Cathay General Bancorp (b).... 1,116 8,426
Centerstate Banks of Florida,
Inc. (b).................... 2,272 22,924
Citizens Republic Bancorp,
Inc. (a).................... 4,479 3,091
Columbia Banking System, Inc.
(b)......................... 4,356 70,480
Comerica, Inc. ............... 1,736 51,334
CVB Financial Corp. (b)....... 6,844 59,132
F.N.B. Corp. (b).............. 6,195 42,064
Farmers Capital Bank Corp.
(b)......................... 2,012 20,563
Fifth Third Bancorp........... 8,273 80,662
First Bancorp- North Carolina
(b)......................... 2,559 35,749
First Commonwealth Financial
Corp. (b)................... 6,081 28,277
First Horizon National Corp.
(a)(b)...................... 3,640 48,772
First Merchants Corp. (b)..... 4,895 29,076
Horizon Financial Corp.
(a)(b)...................... 3,550 800
Huntington Bancshares, Inc.
(b)......................... 5,757 21,013
Independent Bank
Corp. -- Massachusetts (b).. 3,385 70,713
Integra Bank Corp. (b)........ 3,192 2,362
International Bancshares Corp.
(b)......................... 1,506 28,509
Keycorp (b)................... 5,654 31,380
Lakeland Financial Corp. ..... 4,682 80,764
M&T Bank Corp. (b)............ 1,200 80,268
Marshall & Ilsley Corp. ...... 3,321 18,099
National Penn Bancshares, Inc.
(b)......................... 6,744 39,048
Old National Bancorp (b)...... 1,305 16,221
PacWest Bancorp (b)........... 1,830 36,874
PNC Financial Services Group,
Inc. (b).................... 8,274 436,784
Popular, Inc. ................ 3,585 8,102
Regions Financial Corp. ...... 11,869 62,787
Renasant Corp. (b)............ 5,706 77,602
Sandy Spring Bancorp, Inc.
(b)......................... 3,429 30,484
Simmons First National Corp.
(b)......................... 3,507 97,495
StellarOne Corp. (b).......... 5,999 59,750
SunTrust Banks, Inc. (b)...... 5,595 113,523
Susquehanna Bancshares, Inc.
(b)......................... 5,897 34,733
Synovus Financial Corp. (b)... 1,446 2,964
Trustmark Corp. (b)........... 1,245 28,062
U.S. Bancorp.................. 25,725 579,070
Umpqua Holdings Corp. ........ 5,220 70,000
United Bankshares, Inc. (b)... 960 19,171
United Community Banks, Inc.
(a)......................... 3,832 12,990
Wells Fargo & Co. ............ 74,876 2,020,903
Zions Bancorporation.......... 1,974 25,326
------------
4,984,352
------------
COMMERCIAL SERVICES & SUPPLIES -- 0.7%
Avery Dennison Corp. ......... 2,444 89,182
Cintas Corp. (b).............. 3,350 87,267
Courier Corp. (b)............. 2,897 41,282
Covanta Holding Corp. (a)(b).. 2,378 43,018
Ennis, Inc. (b)............... 5,762 96,744
Herman Miller, Inc. .......... 3,148 50,305
Iron Mountain, Inc. (a)(b).... 4,181 95,160
Kimball International, Inc.
(Class B) (b)............... 5,751 48,999
Pitney Bowes, Inc. (b)........ 4,038 91,905
R.R. Donnelley & Sons Co. .... 5,119 114,000
Republic Services, Inc. ...... 4,356 123,318
Stericycle, Inc. (a)(b)....... 1,152 63,556
Waste Connections, Inc.
(a)(b)...................... 1,547 51,577
Waste Management, Inc. (b).... 7,614 257,429
------------
1,253,742
------------
COMMUNICATIONS EQUIPMENT -- 2.6%
3Com Corp. (a)................ 18,501 138,758
ADC Telecommunications, Inc.
(a)(b)...................... 3,714 23,064
Arris Group, Inc. (a)......... 4,117 47,057
Brocade Communications
Systems, Inc. (a)(b)........ 4,351 33,198
CIENA Corp. (a)(b)............ 3,576 38,764
Cisco Systems, Inc. (a)....... 89,577 2,144,473
CommScope, Inc. (a)(b)........ 1,943 51,548
Comtech Telecommunications
Corp. (a)(b)................ 829 29,056
EchoStar Corp. (Class A) (a).. 991 19,959
Emulex Corp. (a)(b)........... 587 6,398
F5 Networks, Inc. (a)......... 1,565 82,914
Finisar Corp. (a)............. 746 6,654
Harmonic, Inc. (a)(b)......... 2,288 14,483
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES TOTAL MARKET ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Harris Corp. ................. 2,907 $ 138,228
Harris Stratex Networks, Inc.
(Class A) (a)............... 722 4,989
InterDigital, Inc. (a)(b)..... 1,226 32,538
JDS Uniphase Corp. (a)........ 5,135 42,364
Juniper Networks, Inc. (a).... 9,297 247,951
Motorola, Inc. (a)............ 35,342 274,254
Palm, Inc. (a)(b)............. 3,066 30,783
Phazar Corp. (a).............. 1,390 4,670
Plantronics, Inc. ............ 799 20,758
Polycom, Inc. (a)(b).......... 1,863 46,519
QUALCOMM, Inc. ............... 25,342 1,172,321
Riverbed Technology, Inc.
(a)(b)...................... 574 13,185
Tellabs, Inc. (a)............. 10,207 57,976
------------
4,722,862
------------
COMPUTERS & PERIPHERALS -- 5.2%
Apple, Inc. (a)............... 13,838 2,917,881
Avid Technology, Inc. (a)(b).. 1,337 17,060
Dell, Inc. (a)................ 27,708 397,887
EMC Corp. (a)................. 31,708 553,939
Hewlett-Packard Co. .......... 37,973 1,955,989
Icad, Inc. (a)(b)............. 7,167 10,894
International Business
Machines Corp. ............. 19,633 2,569,960
Lexmark International, Inc.
(Class A) (a)............... 1,693 43,984
NCR Corp. (a)................. 3,726 41,470
NetApp, Inc. (a).............. 6,521 224,257
Novatel Wireless, Inc.
(a)(b)...................... 1,481 11,804
QLogic Corp. (a).............. 4,651 87,764
SanDisk Corp. (a)(b).......... 5,003 145,037
Seagate Technology............ 8,110 147,521
Sun Microsystems, Inc. (a).... 13,419 125,736
Teradata Corp. (a)............ 3,404 106,988
Western Digital Corp. (a)..... 4,647 205,165
------------
9,563,336
------------
CONSTRUCTION & ENGINEERING -- 0.3%
Aecom Technology Corp. (a).... 1,360 37,400
EMCOR Group, Inc. (a)(b)...... 1,324 35,616
Fluor Corp. .................. 3,054 137,552
Jacobs Engineering Group, Inc.
(a)(b)...................... 2,014 75,747
KBR, Inc. .................... 2,498 47,462
Quanta Services, Inc. (a)..... 2,974 61,978
The Shaw Group, Inc. (a)...... 1,436 41,285
URS Corp. (a)................. 1,281 57,030
------------
494,070
------------
CONSTRUCTION MATERIALS -- 0.1%
Eagle Materials, Inc. ........ 1,326 34,542
Headwaters, Inc. (a)(b)....... 592 3,860
Martin Marietta Materials,
Inc. (b).................... 944 84,403
Vulcan Materials Co. (b)...... 1,870 98,493
------------
221,298
------------
CONSUMER FINANCE -- 0.6%
American Express Co. ......... 16,048 650,265
AmeriCredit Corp. (a)(b)...... 3,744 71,286
Capital One Financial Corp. .. 6,899 264,508
Discover Financial Services... 7,305 107,456
SLM Corp. (a)................. 8,026 90,453
------------
1,183,968
------------
CONTAINERS & PACKAGING -- 0.3%
Crown Holdings, Inc. (a)...... 4,158 106,362
Myers Industries, Inc. ....... 542 4,932
Owens-Illinois, Inc. (a)...... 3,422 112,481
Pactiv Corp. (a).............. 3,975 95,957
Sealed Air Corp. ............. 4,656 101,780
Temple-Inland, Inc. .......... 2,322 49,017
------------
470,529
------------
DISTRIBUTORS -- 0.1%
Genuine Parts Co. (b)......... 1,412 53,600
LKQ Corp. (a)................. 2,897 56,752
------------
110,352
------------
DIVERSIFIED CONSUMER SERVICES -- 0.4%
Apollo Group, Inc. (a)(b)..... 2,371 143,635
Capella Education Co. (a)(b).. 732 55,120
Career Education Corp.
(a)(b)...................... 2,603 60,676
Corinthian Colleges, Inc.
(a)(b)...................... 2,000 27,540
DeVry, Inc. .................. 1,013 57,467
H&R Block, Inc. .............. 5,075 114,797
ITT Educational Services, Inc.
(a)(b)...................... 815 78,207
Service Corp. International... 10,821 88,624
Sotheby's (b)................. 1,090 24,503
Strayer Education, Inc. (b)... 284 60,347
------------
710,916
------------
DIVERSIFIED FINANCIAL SERVICES -- 3.7%
Bank of America Corp. ........ 138,877 2,091,488
CIT Group, Inc. (a)........... 3,100 85,591
Citigroup, Inc. .............. 313,118 1,036,421
CME Group, Inc. .............. 1,076 361,482
Intercontinental Exchange,
Inc. (a).................... 1,305 146,551
JPMorgan Chase & Co. ......... 62,227 2,592,999
Leucadia National Corp. (a)... 3,997 95,089
Medallion Financial Corp. .... 1,030 8,415
Moody's Corp. (b)............. 3,809 102,081
MSCI, Inc. (Class A) (a)...... 1,674 53,233
NYSE Euronext................. 4,689 118,632
PHH Corp. (a)(b).............. 1,077 17,350
The Nasdaq OMX Group, Inc.
(a)(b)...................... 2,924 57,954
------------
6,767,286
------------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 2.5%
AT&T, Inc. ................... 90,401 2,533,940
CenturyTel, Inc. ............. 4,776 172,939
Cogent Communications Group,
Inc. (a)(b)................. 2,784 27,450
Frontier Communications Corp.
(b)......................... 9,590 74,898
Level 3 Communications, Inc.
(a)(b)...................... 13,940 21,328
Qwest Communications
International, Inc. ........ 26,978 113,577
SureWest Communications
(a)(b)...................... 2,834 28,227
tw telecom, inc. (a)(b)....... 3,718 63,727
Verizon Communications,
Inc. ....................... 42,758 1,416,573
Windstream Corp. (b).......... 8,348 91,744
------------
4,544,403
------------
ELECTRIC UTILITIES -- 1.8%
Allegheny Energy, Inc. ....... 3,704 86,970
American Electric Power Co.,
Inc. ....................... 6,596 229,475
Central Vermont Public Service
Corp. ...................... 4,790 99,632
Duke Energy Corp. ............ 16,458 283,242
Edison International.......... 5,365 186,595
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES TOTAL MARKET ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Entergy Corp. ................ 2,876 $ 235,372
Exelon Corp. ................. 10,227 499,793
FirstEnergy Corp. ............ 4,975 231,089
FPL Group, Inc. .............. 5,717 301,972
Maine & Maritimes Corp. ...... 130 4,524
MGE Energy, Inc. (b).......... 3,355 119,908
Northeast Utilities........... 2,316 59,730
Pepco Holdings, Inc. ......... 6,656 112,153
Pinnacle West Capital Corp. .. 1,580 57,796
PNM Resources, Inc. .......... 4,462 56,444
PPL Corp. .................... 5,746 185,653
Progress Energy, Inc. ........ 3,129 128,320
The Southern Co. ............. 12,540 417,833
Unitil Corp. (b).............. 2,513 57,749
------------
3,354,250
------------
ELECTRICAL EQUIPMENT -- 0.6%
Capstone Turbine Corp.
(a)(b)...................... 8,358 10,782
Emerson Electric Co. ......... 12,051 513,373
Energy Conversion Devices,
Inc. (a)(b)................. 1,256 13,276
First Solar, Inc. (a)(b)...... 871 117,934
General Cable Corp. (a)(b).... 1,466 43,130
GrafTech International, Ltd.
(a)......................... 2,726 42,389
Hubbell, Inc. (Class B)....... 2,234 105,668
PowerSecure International,
Inc. (a)(b)................. 3,187 22,978
Rockwell Automation, Inc.
(b)......................... 2,847 133,752
Roper Industries, Inc. ....... 2,403 125,845
SunPower Corp. (Class A)
(a)(b)...................... 2,312 54,748
------------
1,183,875
------------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.0%
Agilent Technologies, Inc.
(a)......................... 6,529 202,856
Amphenol Corp. (Class A)...... 3,779 174,514
Arrow Electronics, Inc. (a)... 3,634 107,603
Avnet, Inc. (a)............... 4,180 126,069
Benchmark Electronics, Inc.
(a)......................... 3,075 58,148
Corning, Inc. ................ 23,940 462,281
Dolby Laboratories, Inc.
(Class A) (a)............... 1,104 52,694
FLIR Systems, Inc. (a)(b)..... 2,132 69,759
Itron, Inc. (a)............... 687 46,421
Jabil Circuit, Inc. .......... 4,108 71,356
L-1 Identity Solutions, Inc.
(a)(b)...................... 2,321 17,384
Lightpath Technologies, Inc.
(Class A) (a)(b)............ 8,160 13,790
Molex, Inc. (b)............... 3,901 84,067
National Instruments Corp.
(b)......................... 1,531 45,088
Sanmina-SCI Corp. (a)(b)...... 2,486 27,421
Tech Data Corp. (a)........... 2,760 128,782
Trimble Navigation, Ltd. (a).. 3,832 96,566
Vishay Intertechnology, Inc.
(a)(b)...................... 5,828 48,664
------------
1,833,463
------------
ENERGY EQUIPMENT & SERVICES -- 1.8%
Baker Hughes, Inc. (b)........ 5,210 210,901
BJ Services Co. .............. 5,686 105,760
Cameron International Corp.
(a)......................... 3,455 144,419
Diamond Offshore Drilling,
Inc. (b).................... 799 78,638
Exterran Holdings, Inc.
(a)(b)...................... 1,866 40,026
FMC Technologies, Inc. (a).... 2,101 121,522
Halliburton Co. .............. 14,358 432,032
Helix Energy Solutions Group,
Inc. (a).................... 574 6,744
Helmerich & Payne, Inc. (b)... 1,828 72,901
Nabors Industries, Ltd.
(a)(b)...................... 5,538 121,227
National-Oilwell Varco,
Inc. ....................... 6,834 301,311
Omni Energy Services Corp.
(a)(b)...................... 7,958 9,947
Patterson-UTI Energy, Inc.
(b)......................... 4,275 65,621
Pride International, Inc.
(a)(b)...................... 3,030 96,687
Rowan Cos., Inc. (a)(b)....... 3,572 80,870
Schlumberger, Ltd. ........... 18,978 1,235,278
Seahawk Drilling, Inc.
(a)(b)...................... 201 4,530
Smith International, Inc.
(b)......................... 3,154 85,694
Superior Energy Services, Inc.
(a)......................... 3,620 87,930
TGC Industries, Inc. (a)(b)... 5,678 22,201
Tidewater, Inc. (b)........... 1,139 54,615
------------
3,378,854
------------
FOOD & STAPLES RETAILING -- 2.3%
Costco Wholesale Corp. ....... 7,146 422,829
CVS Caremark Corp. ........... 23,263 749,301
Safeway, Inc. ................ 7,405 157,652
SUPERVALU, Inc. (b)........... 4,190 53,255
Sysco Corp. .................. 10,064 281,188
The Kroger Co. ............... 9,251 189,923
Wal-Mart Stores, Inc. ........ 32,608 1,742,898
Walgreen Co. ................. 14,508 532,734
Whole Foods Market, Inc.
(a)(b)...................... 2,319 63,657
------------
4,193,437
------------
FOOD PRODUCTS -- 1.7%
Archer-Daniels-Midland Co. ... 9,362 293,124
Bunge, Ltd. .................. 2,298 146,681
Campbell Soup Co. ............ 5,145 173,901
ConAgra Foods, Inc. .......... 9,280 213,904
Dean Foods Co. (a)............ 3,649 65,828
Del Monte Foods Co. .......... 9,676 109,726
Flowers Foods, Inc. (b)....... 3,376 80,214
General Mills, Inc. .......... 5,644 399,652
H.J. Heinz Co. ............... 4,834 206,702
Kellogg Co. .................. 3,213 170,931
Kraft Foods, Inc. (Class A)... 21,923 595,867
McCormick & Co., Inc. (b)..... 1,791 64,709
Sanderson Farms, Inc. (b)..... 186 7,842
Sara Lee Corp. ............... 13,259 161,494
Smithfield Foods, Inc.
(a)(b)...................... 2,567 38,993
The Hershey Co. (b)........... 2,811 100,606
The J.M. Smucker Co. ......... 1,593 98,368
TreeHouse Foods, Inc. (a)(b).. 1,506 58,523
Tyson Foods, Inc. (Class A)... 6,003 73,657
------------
3,060,722
------------
GAS UTILITIES -- 0.1%
Chesapeake Utilities Corp.
(b)......................... 4,086 130,956
Delta Natural Gas Co., Inc.
(b)......................... 260 7,439
Energy, Inc. ................. 516 5,315
Questar Corp. ................ 2,390 99,352
RGC Resources, Inc. (b)....... 130 3,842
------------
246,904
------------
HEALTH CARE EQUIPMENT & SUPPLIES -- 2.2%
ABIOMED, Inc. (a)(b).......... 1,882 16,449
American Medical Systems
Holdings, Inc. (a)(b)....... 3,664 70,679
Angeion Corp. (a)(b).......... 3,384 13,841
Baxter International, Inc. ... 9,581 562,213
Becton, Dickinson & Co. ...... 3,929 309,841
Boston Scientific Corp. (a)... 22,153 199,377
Bovie Medical Corp. (a)(b).... 1,290 10,075
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES TOTAL MARKET ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
C.R. Bard, Inc. .............. 2,056 $ 160,162
CareFusion Corp. (a).......... 3,046 76,180
DENTSPLY International, Inc.
(b)......................... 1,925 67,702
Edwards Lifesciences Corp.
(a)......................... 1,621 140,784
ev3, Inc. (a)................. 2,728 36,392
Gen-Probe, Inc. (a)(b)........ 964 41,356
Hologic, Inc. (a)............. 5,657 82,026
Hospira, Inc. (a)............. 3,441 175,491
Immucor, Inc. (a)............. 1,554 31,453
Intuitive Surgical, Inc. (a).. 541 164,096
Inverness Medical Innovations,
Inc. (a)(b)................. 1,792 74,386
Kinetic Concepts, Inc.
(a)(b)...................... 1,427 53,727
MAKO Surgical Corp. (a)(b).... 640 7,104
Masimo Corp. (a)(b)........... 1,257 38,238
Medtronic, Inc. .............. 17,986 791,024
NuVasive, Inc. (a)(b)......... 916 29,294
ResMed, Inc. (a)(b)........... 1,264 66,069
St. Jude Medical, Inc. (a).... 5,640 207,439
Stryker Corp. (b)............. 4,398 221,527
Thoratec Corp. (a)............ 1,112 29,935
Varian Medical Systems, Inc.
(a)(b)...................... 2,551 119,514
Vascular Solutions, Inc.
(a)(b)...................... 1,160 9,732
Zimmer Holdings, Inc. (a)..... 3,498 206,767
------------
4,012,873
------------
HEALTH CARE PROVIDERS & SERVICES -- 2.4%
Aetna, Inc. .................. 6,982 221,329
Almost Family, Inc. (a)....... 130 5,139
Amedisys, Inc. (a)(b)......... 749 36,371
AmerisourceBergen Corp. ...... 4,269 111,293
athenahealth, Inc. (a)........ 732 33,116
Cardinal Health, Inc. ........ 6,093 196,438
CIGNA Corp. (b)............... 5,060 178,466
Community Health Systems, Inc.
(a)(b)...................... 1,046 37,238
Coventry Health Care, Inc.
(a)......................... 3,000 72,870
DaVita, Inc. (a).............. 2,249 132,106
Express Scripts, Inc. (Class
A) (a)...................... 3,877 335,167
Health Management Associates,
Inc. (Class A) (a).......... 4,623 33,609
Health Net, Inc. (a)(b)....... 3,010 70,103
HEALTHSOUTH Corp. (a)(b)...... 3,111 58,394
Healthways, Inc. (a).......... 400 7,336
Henry Schein, Inc. (a)(b)..... 2,663 140,074
Humana, Inc. (a).............. 3,142 137,902
Laboratory Corp. of America
Holdings (a)(b)............. 1,625 121,615
Lincare Holdings, Inc.
(a)(b)...................... 2,470 91,686
McKesson Corp. ............... 4,934 308,375
Medco Health Solutions, Inc.
(a)......................... 8,163 521,697
Omnicare, Inc. (b)............ 2,592 62,675
Patterson Cos., Inc. (a)(b)... 2,595 72,608
PharMerica Corp. (a)(b)....... 362 5,749
PSS World Medical, Inc.
(a)(b)...................... 2,354 53,130
Psychiatric Solutions, Inc.
(a)(b)...................... 1,640 34,670
Quest Diagnostics, Inc. ...... 2,109 127,341
Tenet Healthcare Corp. (a).... 9,462 51,000
UnitedHealth Group, Inc. ..... 18,903 576,163
VCA Antech, Inc. (a)(b)....... 2,736 68,181
WellCare Health Plans, Inc.
(a)......................... 352 12,940
WellPoint, Inc. (a)........... 8,365 487,596
------------
4,402,377
------------
HEALTH CARE TECHNOLOGY -- 0.1%
IMS Health, Inc. ............. 5,517 116,188
Phase Forward, Inc. (a)(b).... 1,524 23,394
Transcend Services, Inc.
(a)(b)...................... 390 8,330
------------
147,912
------------
HOTELS, RESTAURANTS & LEISURE -- 1.8%
Bob Evans Farms, Inc. ........ 4,524 130,970
Boyd Gaming Corp. (a)......... 382 3,197
Brinker International, Inc. .. 2,276 33,958
Carnival Corp. (a)............ 6,581 208,552
Darden Restaurants, Inc. ..... 2,778 97,425
Gaylord Entertainment Co.
(a)......................... 592 11,692
International Game
Technology.................. 6,346 119,114
Interval Leisure Group, Inc.
(a)(b)...................... 890 11,098
Las Vegas Sands Corp. (a)(b).. 5,176 77,330
Marriott International, Inc.
(Class A) (b)............... 6,336 172,656
McDonald's Corp. ............. 16,958 1,058,858
MGM MIRAGE, Inc. (a)(b)....... 2,669 24,341
Orient-Express Hotels, Ltd.
(Class A) (a)(b)............ 436 4,421
Panera Bread Co. (Class A)
(a)......................... 714 47,817
Penn National Gaming, Inc.
(a)(b)...................... 2,068 56,208
Royal Caribbean Cruises, Ltd.
(a)(b)...................... 1,723 43,558
Scientific Games Corp. (Class
A) (a)...................... 3,151 45,847
Starbucks Corp. (a)........... 11,536 266,020
Starwood Hotels & Resorts
Worldwide, Inc. (b)......... 3,790 138,600
The Cheesecake Factory, Inc.
(a)(b)...................... 3,375 72,866
The Steak N Shake Co. (a)(b).. 208 67,417
Wendy's/Arby's Group, Inc.
(Class A)................... 9,267 43,462
Wyndham Worldwide Corp. ...... 5,479 110,511
Wynn Resorts, Ltd. (b)........ 1,897 110,462
Yum! Brands, Inc. ............ 8,329 291,265
------------
3,247,645
------------
HOUSEHOLD DURABLES -- 0.7%
American Greetings Corp.
(Class A)................... 3,306 72,038
Bassett Furniture Industries,
Inc. (a)(b)................. 5,303 18,666
D.R. Horton, Inc. (b)......... 5,641 61,318
Fortune Brands, Inc. ......... 2,368 102,298
Garmin, Ltd. (b).............. 2,373 72,851
Harman International
Industries, Inc. ........... 1,741 61,422
KB HOME (b)................... 3,112 42,572
Leggett & Platt, Inc. (b)..... 4,526 92,330
Lennar Corp. (Class A)........ 3,780 48,271
Mohawk Industries, Inc.
(a)(b)...................... 799 38,032
National Presto Industries,
Inc. (b).................... 708 77,335
Newell Rubbermaid, Inc. (b)... 6,193 92,957
NVR, Inc. (a)(b).............. 135 95,946
Pulte Homes, Inc. (a)(b)...... 8,258 82,580
Ryland Group, Inc. (b)........ 1,293 25,472
The Black & Decker Corp. ..... 1,587 102,885
Toll Brothers, Inc. (a)(b).... 2,607 49,038
Whirlpool Corp. (b)........... 1,429 115,263
------------
1,251,274
------------
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES TOTAL MARKET ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
HOUSEHOLD PRODUCTS -- 2.2%
Church & Dwight Co., Inc.
(b)......................... 2,381 $ 143,931
Colgate-Palmolive Co. ........ 7,673 630,337
Energizer Holdings, Inc. (a).. 1,353 82,912
Kimberly-Clark Corp. ......... 5,922 377,291
Procter & Gamble Co. ......... 44,872 2,720,589
The Clorox Co. ............... 2,114 128,954
------------
4,084,014
------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.3%
Calpine Corp. (a)............. 5,502 60,522
Constellation Energy Group,
Inc. ....................... 3,201 112,579
Mirant Corp. (a).............. 3,966 60,561
NRG Energy, Inc. (a).......... 5,507 130,020
RRI Energy, Inc. (a).......... 8,055 46,075
The AES Corp. (a)............. 11,570 153,997
------------
563,754
------------
INDUSTRIAL CONGLOMERATES -- 1.9%
3M Co. ....................... 9,882 816,945
General Electric Co. ......... 163,964 2,480,776
McDermott International, Inc.
(a)......................... 4,628 111,118
Textron, Inc. (b)............. 4,142 77,911
------------
3,486,750
------------
INSURANCE -- 3.6%
AFLAC, Inc. .................. 7,365 340,631
American International Group,
Inc. (a)(b)................. 5,198 155,836
American Physicians Service
Group, Inc. (b)............. 1,885 43,487
AON Corp. .................... 4,128 158,268
Arthur J. Gallagher & Co.
(b)......................... 1,666 37,502
Assurant, Inc. ............... 2,339 68,954
Berkshire Hathaway, Inc.
(Class A) (a)............... 17 1,686,400
Chubb Corp. .................. 6,068 298,424
Cincinnati Financial Corp. ... 2,560 67,174
Crawford & Co. (Class B)
(a)(b)...................... 516 2,033
Donegal Group, Inc. (Class A)
(b)......................... 2,190 34,033
Eastern Insurance Holdings,
Inc. (b).................... 1,030 8,879
Everest Re Group, Ltd. ....... 1,058 90,649
Fidelity National Financial,
Inc. (Class A).............. 4,250 57,205
Genworth Financial, Inc.
(Class A) (a)............... 5,711 64,820
Hartford Financial Services
Group, Inc. ................ 4,770 110,950
Lincoln National Corp. ....... 5,888 146,493
Loews Corp. .................. 7,393 268,736
Marsh & McLennan Cos., Inc. .. 7,426 163,966
Max Capital Group, Ltd. ...... 1,988 44,332
MBIA, Inc. (a)(b)............. 2,743 10,917
Mercer Insurance Group, Inc.
(b)......................... 390 7,086
MetLife, Inc. ................ 7,490 264,772
NYMAGIC, Inc. (b)............. 1,781 29,547
Old Republic International
Corp. (b)................... 4,509 45,270
PartnerRe, Ltd. .............. 1,155 86,232
PMA Capital Corp. (Class A)
(a)......................... 3,663 23,077
Principal Financial Group,
Inc. ....................... 5,236 125,873
ProAssurance Corp. (a)........ 2,084 111,932
Protective Life Corp. ........ 478 7,911
Prudential Financial, Inc. ... 6,862 341,453
Reinsurance Group of America,
Inc. ....................... 1,210 57,657
RenaissanceRe Holdings,
Ltd. ....................... 1,302 69,201
Seabright Insurance Holdings
(a)......................... 2,557 29,380
Selective Insurance Group,
Inc. ....................... 4,032 66,326
The Allstate Corp. ........... 9,087 272,974
The Hanover Insurance Group,
Inc. (b).................... 1,787 79,396
The Phoenix Cos., Inc.
(a)(b)...................... 7,229 20,097
The Progressive Corp. (a)..... 10,106 181,807
The Travelers Cos., Inc. ..... 10,077 502,439
Torchmark Corp. .............. 1,349 59,289
Transatlantic Holdings,
Inc. ....................... 990 51,589
Unum Group.................... 7,093 138,455
Validus Holdings, Ltd. ....... 2,397 64,575
W.R. Berkley Corp. (b)........ 2,262 55,736
XL Capital, Ltd. (Class A).... 4,534 83,108
------------
6,634,871
------------
INTERNET & CATALOG RETAIL -- 0.6%
Amazon.com, Inc. (a).......... 4,742 637,894
Expedia, Inc. (a)(b).......... 4,440 114,152
HSN, Inc. (a)(b).............. 890 17,969
Liberty Media
Corp -- Interactive (Class
A) (a)...................... 10,143 109,950
Netflix, Inc. (a)............. 628 34,628
Priceline.com, Inc. (a)(b).... 551 120,394
Ticketmaster Entertainment,
Inc. (a).................... 890 10,876
------------
1,045,863
------------
INTERNET SOFTWARE & SERVICES -- 1.8%
Akamai Technologies, Inc.
(a)(b)...................... 3,454 87,490
AOL, Inc. (a)................. 1,843 42,905
Art Technology Group, Inc.
(a)......................... 5,773 26,036
EarthLink, Inc. (b)........... 6,061 50,367
eBay, Inc. (a)................ 15,986 376,310
Equinix, Inc. (a)(b).......... 645 68,467
Google, Inc. (Class A) (a).... 3,514 2,178,610
IAC/InterActiveCorp. (a)(b)... 2,219 45,445
Internap Network Services
Corp. (a)(b)................ 4,651 21,860
Local.com Corp. (a)(b)........ 4,974 28,899
Terremark Worldwide, Inc.
(a)(b)...................... 3,270 22,367
VeriSign, Inc. (a)(b)......... 3,540 85,809
WebMD Health Corp. (a)(b)..... 920 35,411
Yahoo!, Inc. (a).............. 18,300 307,074
------------
3,377,050
------------
IT SERVICES -- 1.6%
Affiliated Computer Services,
Inc. (Class A) (a).......... 2,370 141,465
Alliance Data Systems Corp.
(a)(b)...................... 1,038 67,044
Automatic Data Processing,
Inc. ....................... 8,490 363,542
Broadridge Financial
Solutions, Inc. ............ 2,953 66,620
Cognizant Technology Solutions
Corp. (Class A) (a)......... 5,345 242,128
Computer Sciences Corp. (a)... 3,164 182,025
Fidelity National Information
Services, Inc. ............. 7,405 173,573
Fiserv, Inc. (a).............. 3,714 180,055
Lender Processing Services,
Inc. ....................... 2,118 86,118
Mastercard, Inc. (Class A).... 1,252 320,487
Paychex, Inc. (b)............. 5,918 181,328
SAIC, Inc. (a)(b)............. 2,442 46,251
The Western Union Co. ........ 10,397 195,983
Total System Services, Inc.
(b)......................... 3,325 57,423
Unisys Corp. (a)(b)........... 978 37,712
Visa, Inc. (Class A).......... 6,580 575,487
------------
2,917,241
------------
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES TOTAL MARKET ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
LEISURE EQUIPMENT & PRODUCTS -- 0.2%
Brunswick Corp. (b)........... 2,642 $ 33,580
Eastman Kodak Co. (a)(b)...... 5,531 23,341
Hasbro, Inc. (b).............. 3,684 118,109
Mattel, Inc. ................. 8,297 165,774
Pool Corp. ................... 2,964 56,553
------------
397,357
------------
LIFE SCIENCES TOOLS & SERVICES -- 0.6%
Affymetrix, Inc. (a)(b)....... 1,717 10,027
Charles River Laboratories
International, Inc. (a)..... 1,098 36,992
Covance, Inc. (a)(b).......... 1,009 55,061
Illumina, Inc. (a)(b)......... 2,079 63,721
Life Technologies Corp. (a)... 3,192 166,718
Millipore Corp. (a)........... 1,432 103,605
PerkinElmer, Inc. ............ 3,798 78,201
Pharmaceutical Product
Development, Inc. .......... 1,256 29,441
Pure Bioscience (a)(b)........ 13,923 20,049
Sequenom, Inc. (a)(b)......... 1,332 5,514
Techne Corp. ................. 1,576 108,051
Thermo Fisher Scientific, Inc.
(a)......................... 7,180 342,414
Waters Corp. (a).............. 2,130 131,975
------------
1,151,769
------------
MACHINERY -- 2.1%
AGCO Corp. (a)(b)............. 1,209 39,099
Bucyrus International, Inc.
(Class A)................... 1,465 82,582
Caterpillar, Inc. (b)......... 9,597 546,933
CLARCOR, Inc. ................ 1,113 36,106
Crane Co. .................... 2,159 66,109
Cummins, Inc. ................ 2,596 119,053
Danaher Corp. ................ 3,591 270,043
Deere & Co. .................. 6,538 353,640
Donaldson Co., Inc. .......... 1,243 52,877
Dover Corp. .................. 2,830 117,756
Eaton Corp. .................. 2,698 171,647
Federal Signal Corp. ......... 5,658 34,061
Flowserve Corp. .............. 818 77,326
Harsco Corp. ................. 2,223 71,647
IDEX Corp. ................... 3,988 124,226
Illinois Tool Works, Inc. .... 9,893 474,765
John Bean Technologies
Corp. ...................... 451 7,672
Joy Global, Inc. (b).......... 2,173 112,105
Lincoln Electric Holdings,
Inc. ....................... 1,012 54,102
Mueller Water Products, Inc.
(Class A)................... 4,606 23,951
Navistar International Corp.
(a)(b)...................... 1,248 48,235
Oshkosh Corp. ................ 2,248 83,243
PACCAR, Inc. (b).............. 5,219 189,293
Pall Corp. ................... 3,955 143,171
Parker-Hannifin Corp. ........ 3,191 171,931
Pentair, Inc. ................ 2,609 84,271
SPX Corp. .................... 1,393 76,197
Terex Corp. (a)(b)............ 1,695 33,578
The Manitowoc Co., Inc. (b)... 2,424 24,167
The Timken Co. ............... 3,072 72,837
Watts Water Technologies, Inc.
(b)......................... 2,591 80,114
------------
3,842,737
------------
MEDIA -- 2.9%
Ascent Media Corp. (Class A)
(a)(b)...................... 221 5,642
Cablevision Systems Corp.
(Class A)................... 4,423 114,202
CBS Corp. .................... 10,855 152,513
Comcast Corp. (Class A)....... 42,922 723,665
DIRECTV (Class A) (a)......... 17,107 570,518
Discovery Communications, Inc.
Series A (a)(b)............. 4,925 151,050
DISH Network Corp. (Class A).. 4,974 103,310
Gannett Co., Inc. (b)......... 6,657 98,856
Journal Communications,
Inc. ....................... 5,791 22,527
Knology, Inc. (a)(b).......... 3,980 43,581
Lamar Advertising Co. (Class
A) (a)(b)................... 1,988 61,807
Liberty Global, Inc. Series A
(a)......................... 6,613 144,891
Liberty Media -- Starz Series
A (a)(b).................... 811 37,428
Liberty Media Corp.-
Interactive (Class A) (a)... 2,025 48,357
Live Nation, Inc. (a)(b)...... 1,112 9,463
Marvel Entertainment, Inc.
(a)(b)...................... 2,400 129,792
News Corp. (Class A).......... 35,071 480,122
Omnicom Group, Inc. .......... 4,801 187,959
Scripps Networks Interactive
(Class A)................... 1,114 46,231
Sirius XM Radio, Inc. (a)(b).. 41,137 24,682
The Interpublic Group of Cos.,
Inc. (a).................... 9,258 68,324
The McGraw-Hill Cos., Inc. ... 6,117 204,981
The New York Times Co. (Class
A) (a)...................... 1,841 22,755
The Walt Disney Co. (b)....... 26,477 853,883
Time Warner Cable, Inc. ...... 4,753 196,727
Time Warner, Inc. ............ 20,280 590,959
Viacom, Inc. (a).............. 8,347 248,156
Virgin Media, Inc. (b)........ 4,865 81,878
------------
5,424,259
------------
METALS & MINING -- 1.1%
AK Steel Holding Corp. ....... 2,571 54,891
Alcoa, Inc. .................. 13,529 218,087
Allegheny Technologies, Inc.
(b)......................... 1,576 70,557
Cliffs Natural Resources, Inc.
(b)......................... 1,994 91,903
Commercial Metals Co. ........ 2,378 37,216
Freeport-McMoRan Copper &
Gold, Inc. (a).............. 6,334 508,557
Newmont Mining Corp. ......... 6,983 330,366
Nucor Corp. .................. 4,587 213,984
Reliance Steel & Aluminum
Co. ........................ 838 36,218
Royal Gold, Inc. (b).......... 1,152 54,259
Schnitzer Steel Industries,
Inc. (Class A) (b).......... 628 29,956
Southern Copper Corp. ........ 3,366 110,775
Steel Dynamics, Inc. (b)...... 3,401 60,266
Titanium Metals Corp. (a)(b).. 2,000 25,040
United States Steel Corp.
(b)......................... 2,405 132,564
Walter Energy, Inc. .......... 1,215 91,502
Worthington Industries,
Inc. ....................... 904 11,815
------------
2,077,956
------------
MULTI-UTILITIES -- 1.1%
Ameren Corp. ................. 3,183 88,965
CMS Energy Corp. ............. 6,280 98,345
Consolidated Edison, Inc. .... 4,181 189,943
Dominion Resources, Inc. ..... 9,589 373,204
DTE Energy Co. (b)............ 1,915 83,475
NiSource, Inc. ............... 4,495 69,133
PG&E Corp. ................... 5,494 245,307
Public Service Enterprise
Group, Inc. ................ 7,004 232,883
Sempra Energy................. 3,683 206,174
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES TOTAL MARKET ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
TECO Energy, Inc. (b)......... 6,633 $ 107,587
Wisconsin Energy Corp. ....... 1,576 78,532
Xcel Energy, Inc. ............ 8,749 185,654
------------
1,959,202
------------
MULTILINE RETAIL -- 0.8%
Big Lots, Inc. (a)(b)......... 2,838 82,245
Dillard's, Inc. (Class A)
(b)......................... 992 18,303
Dollar Tree Stores, Inc. (a).. 2,069 99,933
Family Dollar Stores, Inc. ... 2,667 74,223
J. C. Penney Co., Inc. (b).... 3,648 97,073
Kohl's Corp. (a).............. 4,623 249,318
Macy's, Inc. ................. 8,136 136,359
Nordstrom, Inc. .............. 4,085 153,514
Sears Holdings Corp. (a)(b)... 1,330 110,989
Target Corp. ................. 10,663 515,769
------------
1,537,726
------------
OFFICE ELECTRONICS -- 0.1%
Xerox Corp. (b)............... 15,033 127,179
Zebra Technologies Corp.
(Class A) (a)(b)............ 2,361 66,958
------------
194,137
------------
OIL, GAS & CONSUMABLE FUELS -- 8.9%
Abraxas Petroleum Corp.
(a)(b)...................... 5,969 11,460
Adams Resources & Energy,
Inc. ....................... 390 8,599
Alpha Natural Resources, Inc.
(a)......................... 3,198 138,729
Anadarko Petroleum Corp. ..... 7,646 477,263
Apache Corp. ................. 5,410 558,150
Approach Resources, Inc.
(a)(b)...................... 516 3,984
Arch Coal, Inc. (b)........... 3,188 70,933
Arena Resources, Inc. (a)(b).. 1,279 55,150
Barnwell Industries, Inc.
(a)......................... 900 4,050
Blue Dolphin Energy Co. (a)... 15,717 5,108
BPZ Resources, Inc. (a)(b).... 1,290 12,255
Cabot Oil & Gas Corp. ........ 1,046 45,595
Chesapeake Energy Corp. ...... 8,902 230,384
Chevron Corp. ................ 31,154 2,398,546
Cimarex Energy Co. ........... 942 49,898
Clayton Williams Energy, Inc.
(a)(b)...................... 130 4,555
Concho Resources, Inc. (a).... 1,700 76,330
ConocoPhillips................ 20,576 1,050,816
CONSOL Energy, Inc. .......... 3,222 160,456
Contango Oil & Gas Co. (a).... 260 12,223
CREDO Petroleum Corp. (a)(b).. 516 4,799
Cross Timbers Royalty Trust
(b)......................... 2,499 84,266
Delta Petroleum Corp. (a)(b).. 1,153 1,199
Denbury Resources, Inc. (a)... 5,787 85,648
Devon Energy Corp. ........... 6,835 502,372
Double Eagle Petroleum Co.
(a)(b)...................... 900 3,888
El Paso Corp. ................ 12,879 126,601
Encore Acquisition Co. (a).... 1,430 68,669
EOG Resources, Inc. .......... 4,093 398,249
EXCO Resources, Inc. ......... 3,350 71,120
Exxon Mobil Corp. ............ 72,630 4,952,640
Forest Oil Corp. (a)(b)....... 1,950 43,387
Frontier Oil Corp. ........... 2,515 30,281
Gasco Energy, Inc. (a)........ 10,151 5,380
GMX Resources, Inc. (a)(b).... 260 3,572
Goodrich Petroleum Corp.
(a)(b)...................... 838 20,405
Hess Corp. ................... 4,499 272,189
Holly Corp. .................. 1,216 31,166
Houston American Energy Corp.
(b)......................... 8,161 50,272
Hugoton Royalty Trust (b)..... 368 5,917
Marathon Oil Corp. ........... 11,526 359,842
Massey Energy Co. (b)......... 2,477 104,059
Murphy Oil Corp. ............. 3,142 170,296
Newfield Exploration Co. (a).. 2,116 102,055
Noble Energy, Inc. ........... 3,264 232,462
Occidental Petroleum Corp. ... 12,780 1,039,653
Panhandle Oil & Gas, Inc.
(b)......................... 390 10,101
Patriot Coal Corp. (a)(b)..... 1,041 16,094
Peabody Energy Corp. ......... 4,308 194,765
Petrohawk Energy Corp. (a).... 4,035 96,800
Pioneer Natural Resources Co.
(b)......................... 2,977 143,402
Plains Exploration &
Production Co. (a).......... 2,718 75,180
PrimeEnergy Corp. (a)(b)...... 130 4,731
Quicksilver Resources, Inc.
(a)(b)...................... 766 11,498
Range Resources Corp. (b)..... 3,078 153,438
Rex Energy Corp. (a)(b)....... 1,160 13,920
SandRidge Energy, Inc.
(a)(b)...................... 862 8,129
Southwestern Energy Co. (a)... 5,726 275,993
Spectra Energy Corp. ......... 9,642 197,757
St. Mary Land & Exploration
Co. ........................ 3,142 107,582
Sunoco, Inc. (b).............. 2,471 64,493
Tesoro Corp. (b).............. 3,567 48,333
The Williams Cos., Inc. ...... 9,859 207,828
Toreador Resources Corp. (b).. 1,030 10,197
Ultra Petroleum Corp. (a)..... 1,960 97,726
Valero Energy Corp. .......... 8,632 144,586
XTO Energy, Inc. ............. 8,638 401,926
Zion Oil & Gas, Inc. (a)(b)... 2,172 15,530
------------
16,444,880
------------
PAPER & FOREST PRODUCTS -- 0.3%
International Paper Co. ...... 8,042 215,365
MeadWestvaco Corp. ........... 5,246 150,193
Weyerhaeuser Co. (b).......... 3,327 143,527
------------
509,085
------------
PERSONAL PRODUCTS -- 0.3%
Avon Products, Inc. .......... 7,426 233,919
Herbalife, Ltd. .............. 1,466 59,475
Mead Johnson Nutrition Co.
(b)......................... 3,100 135,470
The Estee Lauder Cos., Inc.
(Class A)................... 2,891 139,809
------------
568,673
------------
PHARMACEUTICALS -- 5.5%
Abbott Laboratories........... 23,857 1,288,039
Allergan, Inc. ............... 4,766 300,306
Auxilium Pharmaceuticals, Inc.
(a)(b)...................... 953 28,571
Bristol-Myers Squibb Co. ..... 29,161 736,315
Eli Lilly & Co. .............. 14,370 513,153
Endo Pharmaceuticals Holdings,
Inc. (a).................... 2,068 42,415
Forest Laboratories, Inc.
(a)......................... 5,462 175,385
Johnson & Johnson............. 42,174 2,716,427
King Pharmaceuticals, Inc.
(a)......................... 4,073 49,976
Merck & Co., Inc. ............ 47,275 1,727,428
Middlebrook Pharmaceuticals,
Inc. (a)(b)................. 10,148 5,175
Mylan, Inc. (a)(b)............ 6,059 111,667
Nektar Therapeutics (a)(b).... 1,200 11,184
Perrigo Co. (b)............... 1,733 69,043
Pfizer, Inc. ................. 122,933 2,236,151
Questcor Pharmaceuticals, Inc.
(a)(b)...................... 1,417 6,731
Repros Therapeutics, Inc.
(a)......................... 3,584 2,855
ViroPharma, Inc. (a)(b)....... 2,094 17,569
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES TOTAL MARKET ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
VIVUS, Inc. (a)(b)............ 4,114 $ 37,808
Watson Pharmaceuticals, Inc.
(a)......................... 2,736 108,373
------------
10,184,571
------------
PROFESSIONAL SERVICES -- 0.3%
Equifax, Inc. ................ 3,258 100,640
IHS, Inc. (Class A) (a)....... 970 53,166
Manpower, Inc. ............... 1,470 80,232
Monster Worldwide, Inc.
(a)(b)...................... 3,390 58,986
Robert Half International,
Inc. (b).................... 4,399 117,585
The Dun & Bradstreet Corp. ... 1,497 126,302
------------
536,911
------------
REAL ESTATE INVESTMENT TRUSTS -- 2.1%
Agree Realty Corp. (b)........ 3,930 91,530
AMB Property Corp. ........... 1,495 38,197
American Campus Communities,
Inc. ....................... 1,863 52,350
Annaly Capital Management,
Inc. ....................... 9,570 166,040
Apartment Investment &
Management Co. (Class A)
(b)......................... 3,186 50,721
Ashford Hospitality Trust
(a)(b)...................... 8,767 40,679
Avalonbay Communities, Inc. .. 1,412 115,939
BioMed Realty Trust, Inc.
(b)......................... 2,830 44,657
Boston Properties, Inc. ...... 3,573 239,641
BRE Properties, Inc. (b)...... 1,159 38,340
Camden Property Trust......... 382 16,185
Care Investment Trust, Inc.
(b)......................... 3,130 24,351
CBL & Associates Properties,
Inc. ....................... 1,513 14,631
Cedar Shopping Centers, Inc.
(b)......................... 2,673 18,176
Cogdell Spencer, Inc. (b)..... 1,847 10,454
Corporate Office Properties
Trust (b)................... 2,526 92,527
Developers Diversified Realty
Corp. (b)................... 2,547 23,585
Digital Realty Trust, Inc.
(b)......................... 1,181 59,381
Duke Realty Corp. ............ 3,064 37,289
Equity Residential............ 5,164 174,440
Extra Space Storage, Inc. .... 2,288 26,426
Glimcher Realty Trust (b)..... 4,711 12,720
HCP, Inc. .................... 3,846 117,457
Health Care REIT, Inc. ....... 1,351 59,876
Home Properties, Inc. (b)..... 808 38,550
Hospitality Properties Trust.. 2,495 59,156
Host Hotels & Resorts, Inc.
(a)......................... 11,259 131,393
Investors Real Estate Trust
(b)......................... 10,965 98,685
Kimco Realty Corp. ........... 3,928 53,146
LaSalle Hotel Properties (b).. 3,676 78,042
Lexington Realty Trust (b).... 2,394 14,556
Liberty Property Trust........ 1,768 56,594
Monmouth Real Estate
Investment Corp. (b)........ 6,671 49,632
National Retail Properties,
Inc. ....................... 4,730 100,371
Nationwide Health Properties,
Inc. ....................... 1,586 55,796
Pennsylvania Real Estate
Investment Trust (b)........ 3,140 26,564
Pittsburgh & West Virginia
Railroad.................... 2,879 30,201
Plum Creek Timber Co., Inc.
(b)......................... 3,590 135,558
Post Properties, Inc. ........ 592 11,603
ProLogis...................... 5,735 78,512
Public Storage................ 1,505 122,582
Realty Income Corp. (b)....... 2,288 59,282
Regency Centers Corp. (b)..... 192 6,732
Senior Housing Properties
Trust....................... 2,002 43,784
Simon Property Group, Inc.
(b)......................... 3,931 313,694
SL Green Realty Corp. (b)..... 862 43,307
Sunstone Hotel Investors, Inc.
(a)(b)...................... 96 852
Tanger Factory Outlet Centers,
Inc. ....................... 2,201 85,817
The Macerich Co. (b).......... 2,342 84,195
Transcontinental Realty
Investors, Inc. (a)(b)...... 884 10,528
UDR, Inc. (b)................. 2,711 44,569
Urstadt Biddle Properties
(Class A) (b)............... 6,032 92,109
Ventas, Inc. ................. 2,326 101,739
Vornado Realty Trust.......... 4,777 334,103
Walter Investment Management
Corp. (b)................... 440 6,305
Weingarten Realty Investors
(b)......................... 1,792 35,464
------------
3,969,013
------------
REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.1%
Brookfield Properties Corp.
(b)......................... 2,504 30,349
CB Richard Ellis Group, Inc.
(Class A) (a)(b)............ 6,104 82,831
Forestar Real Estate Group,
Inc. (a)(b)................. 848 18,639
Jones Lang LaSalle, Inc. (b).. 1,028 62,091
The St. Joe Co. (a)(b)........ 1,473 42,555
------------
236,465
------------
ROAD & RAIL -- 1.1%
Burlington Northern Santa Fe
Corp. ...................... 4,833 476,630
CSX Corp. .................... 6,973 338,121
J.B. Hunt Transport Services,
Inc. (b).................... 4,397 141,891
Kansas City Southern (a)...... 1,934 64,383
Landstar Systems, Inc. ....... 2,649 102,702
Norfolk Southern Corp. ....... 6,658 349,012
Union Pacific Corp. .......... 7,462 476,822
YRC Worldwide, Inc. (a)(b).... 1,791 1,504
------------
1,951,065
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.8%
Advanced Micro Devices, Inc.
(a)......................... 8,881 85,968
Aetrium, Inc. (a)(b).......... 7,763 20,106
Altera Corp. ................. 5,211 117,925
Anadigics, Inc. (a)(b)........ 2,593 10,942
Analog Devices, Inc. ......... 5,583 176,311
Applied Materials, Inc. ...... 22,598 315,016
Atheros Communications, Inc.
(a)......................... 2,383 81,594
AXT, Inc. (a)(b).............. 8,559 27,817
Broadcom Corp. (Class A) (a).. 7,722 242,857
Cypress Semiconductor Corp.
(a)(b)...................... 2,679 28,290
FEI Co. (a)................... 2,179 50,901
Intel Corp. .................. 85,657 1,747,403
International Rectifier Corp.
(a)(b)...................... 1,838 40,657
Intersil Corp. (Class A)...... 4,844 74,307
KLA-Tencor Corp. ............. 3,665 132,526
Lam Research Corp. (a)........ 3,272 128,295
Linear Technology Corp. (b)... 4,880 149,035
LSI Logic Corp. (a)(b)........ 10,307 61,945
Marvell Technology Group, Ltd.
(a)......................... 7,293 151,330
Maxim Integrated Products,
Inc. ....................... 2,721 55,236
MEMC Electronic Materials,
Inc. (a).................... 4,500 61,290
Microchip Technology, Inc.
(b)......................... 4,035 117,257
Micron Technology, Inc.
(a)(b)...................... 12,541 132,433
Microsemi Corp. (a)........... 2,562 45,476
MKS Instruments, Inc. (a)(b).. 322 5,606
National Semiconductor
Corp. ...................... 6,521 100,163
Novellus Systems, Inc. (a).... 3,727 86,988
NVIDIA Corp. (a)(b)........... 10,153 189,658
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES TOTAL MARKET ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
ON Semiconductor Corp. (a).... 4,759 $ 41,927
Rambus, Inc. (a)(b)........... 2,065 50,386
Sigma Designs, Inc. (a)....... 542 5,799
Teradyne, Inc. (a)(b)......... 5,379 57,717
Texas Instruments, Inc. ...... 20,236 527,350
Xilinx, Inc. (b).............. 4,426 110,916
------------
5,231,427
------------
SOFTWARE -- 4.2%
Activision Blizzard, Inc.
(a)......................... 10,073 111,911
Adobe Systems, Inc. (a)....... 9,215 338,928
Autodesk, Inc. (a)............ 4,259 108,221
BMC Software, Inc. (a)........ 3,842 154,064
CA, Inc. ..................... 7,392 166,024
Cadence Design Systems, Inc.
(a)......................... 7,580 45,404
Citrix Systems, Inc. (a)...... 3,699 153,915
Compuware Corp. (a)........... 8,521 61,607
Concur Technologies, Inc.
(a)(b)...................... 1,152 49,248
Electronic Arts, Inc. (a)(b).. 4,752 84,348
Intuit, Inc. (a).............. 5,679 174,402
Jack Henry & Associates,
Inc. ....................... 2,246 51,928
McAfee, Inc. (a).............. 2,919 118,424
Microsoft Corp. .............. 121,134 3,693,376
Novell, Inc. (a).............. 11,201 46,484
Nuance Communications, Inc.
(a)(b)...................... 3,804 59,114
Oracle Corp. ................. 61,053 1,498,241
Parametric Technology Corp.
(a)(b)...................... 5,114 83,563
Red Hat, Inc. (a)............. 3,936 121,622
Salesforce.com, Inc. (a)(b)... 1,525 112,499
Smith Micro Software, Inc.
(a)(b)...................... 2,005 18,326
Solera Holdings, Inc. ........ 1,780 64,098
Symantec Corp. (a)............ 14,403 257,670
Synopsys, Inc. (a)............ 4,209 93,776
TiVo, Inc. (a)(b)............. 3,140 31,965
Versant Corp. (a)(b).......... 2,547 38,867
Websense, Inc. (a)(b)......... 721 12,589
------------
7,750,614
------------
SPECIALTY RETAIL -- 2.2%
Abercrombie & Fitch Co. (Class
A).......................... 1,849 64,438
Advance Auto Parts, Inc. (b).. 2,470 99,986
Aeropostale, Inc. (a)(b)...... 838 28,534
American Eagle Outfitters,
Inc. ....................... 4,347 73,812
AutoNation, Inc. (a)(b)....... 4,584 87,784
AutoZone, Inc. (a)............ 697 110,175
Bed Bath & Beyond, Inc. (a)... 4,835 186,776
Best Buy Co., Inc. ........... 5,433 214,386
Chico's FAS, Inc. (a)......... 3,406 47,854
Dick's Sporting Goods, Inc.
(a)......................... 1,704 42,378
Foot Locker, Inc. ............ 3,862 43,023
GameStop Corp. (Class A)
(a)(b)...................... 2,375 52,107
Genesco, Inc. (a)............. 391 10,737
Limited Brands, Inc. (b)...... 6,032 116,056
Lowe's Cos., Inc. ............ 21,205 495,985
O'Reilly Automotive, Inc.
(a)......................... 3,337 127,206
Office Depot, Inc. (a)........ 6,107 39,390
PetSmart, Inc. ............... 3,590 95,817
RadioShack Corp. ............. 3,506 68,367
Rent-A-Center, Inc. (a)....... 2,455 43,503
Ross Stores, Inc. ............ 3,142 134,195
Staples, Inc. ................ 11,568 284,457
The Gap, Inc. ................ 9,210 192,949
The Home Depot, Inc. ......... 27,033 782,065
The Mens Wearhouse, Inc. (b).. 799 16,827
The Sherwin-Williams Co. (b).. 1,245 76,754
The TJX Cos., Inc. ........... 6,275 229,351
Tiffany & Co. ................ 2,658 114,294
Urban Outfitters, Inc. (a).... 2,819 98,637
Williams-Sonoma, Inc. (b)..... 2,186 45,425
------------
4,023,268
------------
TEXTILES, APPAREL & LUXURY GOODS -- 0.5%
Carter's, Inc. (a)............ 1,562 41,002
Coach, Inc. .................. 5,862 214,139
Hanesbrands, Inc. (a)......... 2,180 52,560
Iconix Brand Group, Inc.
(a)(b)...................... 714 9,032
Jones Apparel Group, Inc. .... 3,666 58,876
Liz Claiborne, Inc. (a)(b).... 3,172 17,858
NIKE, Inc. (Class B).......... 4,440 293,351
Quiksilver, Inc. (a)(b)....... 5,303 10,712
Under Armour, Inc. (Class A)
(a)......................... 907 24,734
V. F. Corp. .................. 1,066 78,074
Wolverine World Wide, Inc. ... 3,609 98,237
------------
898,575
------------
THRIFTS & MORTGAGE FINANCE -- 0.3%
Astoria Financial Corp. (b)... 2,022 25,133
Berkshire Hills Bancorp, Inc.
(b)......................... 2,663 55,071
Fannie Mae (a)(b)............. 18,061 21,312
Freddie Mac (a)............... 12,794 18,807
Hudson City Bancorp, Inc. .... 4,924 67,607
MGIC Investment Corp. (a)(b).. 2,130 12,311
New York Community Bancorp,
Inc. ....................... 4,263 61,856
NewAlliance Bancshares, Inc.
(b)......................... 8,537 102,529
OceanFirst Financial Corp.
(b)......................... 5,012 56,636
People's United Financial,
Inc. ....................... 5,455 91,099
Radian Group, Inc. (b)........ 2,509 18,341
TF Financial Corp. ........... 260 4,932
TrustCo Bank Corp. NY (b)..... 9,204 57,985
------------
593,619
------------
TOBACCO -- 1.3%
Altria Group, Inc. ........... 31,820 624,627
Lorillard, Inc. .............. 2,262 181,480
Philip Morris International,
Inc. ....................... 30,239 1,457,217
Reynolds American, Inc. (b)... 3,212 170,140
------------
2,433,464
------------
TRADING COMPANIES & DISTRIBUTORS -- 0.1%
Fastenal Co. (b).............. 3,229 134,456
Kaman Corp. (Class A)......... 2,811 64,906
W.W. Grainger, Inc. (b)....... 646 62,552
Willis Lease Finance Corp.
(a)(b)...................... 516 7,740
------------
269,654
------------
WATER UTILITIES -- 0.1%
Aqua America, Inc. (b)........ 1,791 31,360
Artesian Resources Corp.
(Class A) (b)............... 516 9,448
Cadiz, Inc. (a)(b)............ 898 10,749
Connecticut Water Service,
Inc. (b).................... 1,256 31,111
Middlesex Water Co. (b)....... 6,166 108,707
Pennichuck Corp. (b).......... 260 5,494
Southwest Water Co. .......... 2,583 15,214
The York Water Co. (b)........ 2,891 41,948
------------
254,031
------------
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES TOTAL MARKET ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
WIRELESS TELECOMMUNICATION SERVICES -- 0.5%
American Tower Corp. (Class A)
(a)......................... 6,818 $ 294,606
Crown Castle International
Corp. (a)................... 4,694 183,254
Leap Wireless International,
Inc. (a).................... 1,220 21,411
MetroPCS Communications, Inc.
(a)(b)...................... 3,620 27,620
NII Holdings, Inc. (a)........ 3,198 107,389
SBA Communications Corp.
(Class A) (a)(b)............ 2,250 76,860
Sprint Nextel Corp. (a)....... 41,001 150,063
Telephone & Data Systems,
Inc. ....................... 2,329 79,000
------------
940,203
------------
TOTAL COMMON STOCKS --
(Cost $179,780,580)......... 183,697,320
------------
SHORT TERM INVESTMENTS -- 7.2%
MONEY MARKET FUNDS -- 7.2%
State Street Institutional
Liquid Reserves Fund (d).... 733,734 733,734
State Street Navigator
Securities Lending Prime
Portfolio (d)(e)............ 12,569,817 12,569,817
------------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $13,303,551).......... 13,303,551
------------
TOTAL INVESTMENTS -- 106.7%
(F)
(Cost $193,084,131)......... 197,000,871
OTHER ASSETS AND
LIABILITIES -- (6.7)%....... (12,351,639)
------------
NET ASSETS -- 100.0%.......... $184,649,232
============
</Table>
(a) Non-income producing security.
(b) Security, or portion thereof, was on loan at December 31, 2009.
(c) Affiliated issuer. (Note 3)
(d) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3)
(e) Investments of cash collateral for securities loaned.
(f) Unless otherwise indicated, the values of the securities of the Fund are
determined based on Level 1 inputs. (Notes 2)
REIT = Real Estate Investment Trust
See accompanying notes to financial statements.
SPDR DOW JONES LARGE CAP ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.8%
AEROSPACE & DEFENSE -- 2.4%
Alliant Techsystems, Inc.
(a)(b)...................... 146 $ 12,887
Boeing Co. (b)................ 2,852 154,379
General Dynamics Corp. ....... 1,423 97,006
Goodrich Corp. (b)............ 545 35,016
Honeywell International,
Inc. ....................... 3,034 118,933
ITT Corp. (b)................. 793 39,444
L-3 Communications Holdings,
Inc. ....................... 520 45,214
Lockheed Martin Corp. ........ 1,289 97,126
Northrop Grumman Corp. (b).... 1,227 68,528
Precision Castparts Corp.
(b)......................... 611 67,424
Raytheon Co. (b).............. 1,721 88,666
Rockwell Collins, Inc. (b).... 693 38,364
Spirit Aerosystems Holdings,
Inc. (a)(b)................. 445 8,838
United Technologies Corp.
(b)......................... 3,759 260,912
------------
1,132,737
------------
AIR FREIGHT & LOGISTICS -- 0.8%
C.H. Robinson Worldwide, Inc.
(b)......................... 743 43,636
Expeditors International
Washington, Inc. (b)........ 930 32,299
FedEx Corp. (b)............... 1,269 105,898
United Parcel Service, Inc.
(Class B) (b)............... 3,048 174,864
------------
356,697
------------
AIRLINES -- 0.2%
Delta Air Lines, Inc. (a)(b).. 3,224 36,689
Southwest Airlines Co. (b).... 3,217 36,770
------------
73,459
------------
AUTO COMPONENTS -- 0.2%
BorgWarner, Inc. (b).......... 499 16,577
Johnson Controls, Inc. (b).... 2,888 78,669
The Goodyear Tire & Rubber Co.
(a)(b)...................... 1,036 14,608
------------
109,854
------------
AUTOMOBILES -- 0.4%
Ford Motor Co. (a)(b)......... 14,067 140,670
Harley-Davidson, Inc. (b)..... 1,032 26,006
------------
166,676
------------
BEVERAGES -- 2.4%
Brown-Forman Corp. (Class B)
(b)......................... 495 26,517
Coca-Cola Enterprises, Inc. .. 1,383 29,320
Constellation Brands, Inc.
(Class A) (a)(b)............ 840 13,381
Dr. Pepper Snapple Group,
Inc. ....................... 1,012 28,640
Hansen Natural Corp. (a)(b)... 315 12,096
Molson Coors Brewing Co.
(Class B) (b)............... 646 29,173
PepsiAmericas, Inc. .......... 281 8,222
PepsiCo, Inc. ................ 6,873 417,878
The Coca-Cola Co. ............ 9,248 527,136
The Pepsi Bottling Group,
Inc. ....................... 604 22,650
------------
1,115,013
------------
BIOTECHNOLOGY -- 1.7%
Alexion Pharmaceuticals, Inc.
(a)(b)...................... 341 16,648
Amgen, Inc. (a)............... 4,449 251,680
Amylin Pharmaceuticals, Inc.
(a)(b)...................... 597 8,471
Biogen Idec, Inc. (a)(b)...... 1,299 69,496
Celgene Corp. (a)(b).......... 1,975 109,968
Cephalon, Inc. (a)(b)......... 303 18,910
Dendreon Corp. (a)(b)......... 500 13,140
Genzyme Corp. (a)(b).......... 1,181 57,881
Gilead Sciences, Inc. (a)..... 4,005 173,336
Myriad Genetics, Inc. (a)(b).. 408 10,649
OSI Pharmaceuticals, Inc.
(a)(b)...................... 250 7,758
Talecris Biotherapeutics
Holdings Corp. (a)(b)....... 219 4,877
Vertex Pharmaceuticals, Inc.
(a)(b)...................... 799 34,237
------------
777,051
------------
BUILDING PRODUCTS -- 0.1%
Masco Corp. (b)............... 1,607 22,193
Owens Corning, Inc. (a)(b).... 400 10,256
------------
32,449
------------
CAPITAL MARKETS -- 2.6%
Affiliated Managers Group,
Inc. (a)(b)................. 179 12,056
Ameriprise Financial, Inc.
(b)......................... 1,163 45,148
BlackRock, Inc. (b)........... 189 43,886
Eaton Vance Corp. (b)......... 504 15,327
Federated Investors, Inc.
(Class B) (b)............... 413 11,357
Franklin Resources, Inc. (b).. 697 73,429
Invesco, Ltd. ................ 1,903 44,701
Jefferies Group, Inc. (a)(b).. 505 11,984
Legg Mason, Inc. (b).......... 711 21,444
Morgan Stanley (b)............ 5,483 162,297
Northern Trust Corp. (b)...... 1,070 56,068
Raymond James Financial, Inc.
(b)......................... 428 10,174
SEI Investments Co. .......... 609 10,670
State Street Corp. (c)........ 2,169 94,438
T. Rowe Price Group, Inc.
(b)......................... 1,137 60,545
TD Ameritrade Holding Corp.
(a)(b)...................... 1,053 20,407
The Bank of New York Mellon
Corp. (b)................... 5,216 145,891
The Charles Schwab Corp. (b).. 4,110 77,350
The Goldman Sachs Group,
Inc. ....................... 1,856 313,367
------------
1,230,539
------------
CHEMICALS -- 2.1%
Air Products & Chemicals,
Inc. ....................... 861 69,793
Airgas, Inc. (b).............. 304 14,470
Albemarle Corp. .............. 397 14,439
Celanese Corp. (Series A)..... 647 20,769
CF Industries Holdings,
Inc. ....................... 251 22,786
E. I. du Pont de Nemours & Co.
(b)......................... 3,723 125,353
Eastman Chemical Co. (b)...... 313 18,855
Ecolab, Inc. (b).............. 1,073 47,834
FMC Corp. (b)................. 324 18,066
International Flavors &
Fragrances, Inc. ........... 344 14,152
Intrepid Potash, Inc. (a)(b).. 143 4,171
Lubrizol Corp. ............... 294 21,447
Monsanto Co. ................. 2,380 194,565
PPG Industries, Inc. (b)...... 718 42,032
Praxair, Inc. ................ 1,360 109,222
Sigma-Aldrich Corp. .......... 467 23,598
Terra Industries, Inc. (b).... 446 14,357
The Dow Chemical Co. (b)...... 4,949 136,741
The Mosaic Co. ............... 648 38,705
The Scotts Miracle-Gro Co.
(Class A) (b)............... 194 7,626
The Valspar Corp. (b)......... 400 10,856
------------
969,837
------------
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES LARGE CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMERCIAL BANKS -- 2.5%
BB&T Corp. (b)................ 3,006 $ 76,262
BOK Financial Corp. (b)....... 95 4,514
City National Corp. (b)....... 181 8,254
Comerica, Inc. (b)............ 666 19,694
Commerce Bancshares, Inc.
(b)......................... 280 10,842
Cullen/Frost Bankers, Inc.
(b)......................... 247 12,350
Fifth Third Bancorp (b)....... 3,300 32,175
First Horizon National Corp.
(a)(b)...................... 913 12,240
Keycorp (b)................... 3,593 19,941
M&T Bank Corp. (b)............ 340 22,743
PNC Financial Services Group,
Inc. (b).................... 1,968 103,891
Regions Financial Corp. (b)... 4,765 25,207
SunTrust Banks, Inc. (b)...... 2,225 45,145
U.S. Bancorp (b).............. 8,432 189,804
Wells Fargo & Co. ............ 21,478 579,691
------------
1,162,753
------------
COMMERCIAL SERVICES & SUPPLIES -- 0.6%
Avery Dennison Corp. ......... 509 18,573
Cintas Corp. (b).............. 582 15,161
Copart, Inc. (a)(b)........... 277 10,147
Corrections Corp. of America
(a)(b)...................... 549 13,478
Covanta Holding Corp. (a)..... 538 9,732
Iron Mountain, Inc. (a)(b).... 788 17,935
Pitney Bowes, Inc. (b)........ 920 20,939
R.R. Donnelley & Sons Co. .... 908 20,221
Republic Services, Inc. ...... 1,353 38,304
Stericycle, Inc. (a)(b)....... 385 21,241
Waste Connections, Inc. (a)... 345 11,502
Waste Management, Inc. (b).... 1,963 66,369
------------
263,602
------------
COMMUNICATIONS EQUIPMENT -- 2.4%
Brocade Communications
Systems, Inc. (a)(b)........ 1,600 12,208
Cisco Systems, Inc. (a)....... 25,247 604,413
F5 Networks, Inc. (a)(b)...... 300 15,894
Harris Corp. ................. 588 27,960
Juniper Networks, Inc.
(a)(b)...................... 2,305 61,474
Motorola, Inc. (a)(b)......... 9,246 71,749
QUALCOMM, Inc. ............... 7,212 333,627
Tellabs, Inc. (a)............. 1,400 7,952
------------
1,135,277
------------
COMPUTERS & PERIPHERALS -- 5.6%
Apple, Inc. (a)............... 3,904 823,198
Dell, Inc. (a)(b)............. 7,531 108,145
EMC Corp. (a)(b).............. 8,694 151,884
Hewlett-Packard Co. (b)....... 10,375 534,416
International Business
Machines Corp. ............. 5,747 752,282
NCR Corp. (a)................. 718 7,991
NetApp, Inc. (a)(b)........... 1,435 49,350
SanDisk Corp. (a)(b).......... 989 28,671
Seagate Technology............ 2,121 38,581
Sun Microsystems, Inc. (a).... 3,221 30,181
Teradata Corp. (a)............ 781 24,547
Western Digital Corp. (a)..... 961 42,428
------------
2,591,674
------------
CONSTRUCTION & ENGINEERING -- 0.3%
Aecom Technology Corp.
(a)(b)...................... 421 11,577
Fluor Corp. .................. 790 35,582
Jacobs Engineering Group, Inc.
(a)(b)...................... 537 20,197
KBR, Inc. .................... 715 13,585
Quanta Services, Inc. (a)..... 860 17,922
The Shaw Group, Inc. (a)...... 429 12,334
URS Corp. (a)(b).............. 368 16,383
------------
127,580
------------
CONSTRUCTION MATERIALS -- 0.1%
Martin Marietta Materials,
Inc. (b).................... 181 16,183
Vulcan Materials Co. (b)...... 500 26,335
------------
42,518
------------
CONSUMER FINANCE -- 0.7%
American Express Co. ......... 4,629 187,567
Capital One Financial Corp.
(b)......................... 1,931 74,035
Discover Financial Services
(b)......................... 2,377 34,966
SLM Corp. (a)................. 2,046 23,058
------------
319,626
------------
CONTAINERS & PACKAGING -- 0.3%
Aptargroup, Inc. ............. 282 10,079
Ball Corp. (b)................ 412 21,300
Bemis Co., Inc. .............. 449 13,313
Crown Holdings, Inc. (a)...... 699 17,881
Owens-Illinois, Inc. (a)(b)... 744 24,455
Pactiv Corp. (a)(b)........... 573 13,832
Sealed Air Corp. (b).......... 698 15,258
Sonoco Products Co. .......... 430 12,578
------------
128,696
------------
DISTRIBUTORS -- 0.1%
Genuine Parts Co. (b)......... 704 26,724
------------
DIVERSIFIED CONSUMER SERVICES -- 0.3%
Apollo Group, Inc. (a)(b)..... 576 34,894
Career Education Corp.
(a)(b)...................... 192 4,476
DeVry, Inc. (b)............... 270 15,317
Education Management Corp.
(a)(b)...................... 87 1,915
H&R Block, Inc. (b)........... 1,479 33,455
ITT Educational Services, Inc.
(a)(b)...................... 170 16,313
Strayer Education, Inc. (b)... 59 12,537
Weight Watchers International,
Inc. (b).................... 165 4,811
------------
123,718
------------
DIVERSIFIED FINANCIAL SERVICES -- 3.9%
Bank of America Corp. (b)..... 37,743 568,410
CIT Group,Inc. (a)............ 900 24,849
Citigroup, Inc. (b)........... 89,887 297,526
CME Group, Inc. (b)........... 290 97,426
Intercontinental Exchange,
Inc. (a)(b)................. 318 35,711
JPMorgan Chase & Co. (b)...... 17,185 716,099
Leucadia National Corp.
(a)(b)...................... 756 17,985
Moody's Corp. (b)............. 838 22,458
MSCI, Inc. (Class A) (a)(b)... 400 12,720
NYSE Euronext (b)............. 1,129 28,564
The Nasdaq OMX Group, Inc.
(a)(b)...................... 694 13,755
------------
1,835,503
------------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 2.7%
AT&T, Inc. ................... 25,966 727,827
CenturyTel, Inc. (b).......... 1,300 47,073
Clearwire Corp. (Class A)
(a)(b)...................... 307 2,075
Frontier Communications Corp.
(b)......................... 1,371 10,708
Level 3 Communications, Inc.
(a)(b)...................... 6,953 10,638
Qwest Communications
International, Inc. (b)..... 6,202 26,110
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES LARGE CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Verizon Communications,
Inc. ....................... 12,460 $ 412,800
Windstream Corp. (b).......... 1,933 21,244
------------
1,258,475
------------
ELECTRIC UTILITIES -- 2.0%
Allegheny Energy, Inc. (b).... 739 17,352
American Electric Power Co.,
Inc. (b).................... 2,081 72,398
DPL, Inc. (b)................. 499 13,772
Duke Energy Corp. (b)......... 5,673 97,632
Edison International (b)...... 1,311 45,597
Entergy Corp. ................ 825 67,518
Exelon Corp. (b).............. 2,908 142,114
FirstEnergy Corp. (b)......... 1,327 61,639
FPL Group, Inc. .............. 1,642 86,731
ITC Holdings Corp. (b)........ 215 11,199
Northeast Utilities........... 798 20,580
NV Energy, Inc. .............. 1,020 12,628
Pepco Holdings, Inc. (b)...... 945 15,923
Pinnacle West Capital Corp.
(b)......................... 442 16,168
PPL Corp. (b)................. 1,626 52,536
Progress Energy, Inc. (b)..... 1,253 51,386
The Southern Co. (b).......... 3,486 116,154
Westar Energy, Inc. (b)....... 470 10,208
------------
911,535
------------
ELECTRICAL EQUIPMENT -- 0.6%
AMETEK, Inc. (b).............. 461 17,629
Emerson Electric Co. (b)...... 3,286 139,984
First Solar, Inc. (a)(b)...... 198 26,809
Hubbell, Inc. (Class B)....... 234 11,068
Rockwell Automation, Inc.
(b)......................... 664 31,195
Roper Industries, Inc. (b).... 390 20,424
SunPower Corp. (Class A)
(a)(b)...................... 477 11,295
------------
258,404
------------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.7%
Agilent Technologies, Inc.
(a)(b)...................... 1,555 48,314
Amphenol Corp. (Class A)...... 768 35,466
Arrow Electronics, Inc. (a)... 526 15,575
Avnet, Inc. (a)............... 646 19,483
Corning, Inc. ................ 6,911 133,451
Dolby Laboratories, Inc.
(Class A) (a)............... 232 11,073
FLIR Systems, Inc. (a)(b)..... 618 20,221
Ingram Micro, Inc. (Class A)
(a)......................... 624 10,889
Itron, Inc. (a)(b)............ 144 9,730
Mettler-Toledo International,
Inc. (a)(b)................. 144 15,119
Molex, Inc. (b)............... 580 12,499
Trimble Navigation, Ltd.
(a)(b)...................... 549 13,835
------------
345,655
------------
ENERGY EQUIPMENT & SERVICES -- 1.8%
Baker Hughes, Inc. (b)........ 1,344 54,405
BJ Services Co. (b)........... 1,291 24,013
Cameron International Corp.
(a)(b)...................... 1,052 43,974
Diamond Offshore Drilling,
Inc. (b).................... 288 28,345
FMC Technologies, Inc.
(a)(b)...................... 560 32,390
Halliburton Co. .............. 3,900 117,351
Helmerich & Payne, Inc. (b)... 410 16,351
Nabors Industries, Ltd.
(a)(b)...................... 1,245 27,253
National-Oilwell Varco, Inc.
(b)......................... 1,795 79,141
Oceaneering International,
Inc. (a).................... 200 11,704
Patterson-UTI Energy, Inc.
(b)......................... 679 10,423
Pride International, Inc.
(a)(b)...................... 751 23,964
Rowan Cos., Inc. (a).......... 471 10,663
Schlumberger, Ltd. (b)........ 5,240 341,071
Smith International, Inc.
(b)......................... 951 25,839
Tidewater, Inc. (b)........... 227 10,885
------------
857,772
------------
FOOD & STAPLES RETAILING -- 2.5%
Costco Wholesale Corp. (b).... 1,881 111,299
CVS Caremark Corp. ........... 6,200 199,702
Safeway, Inc. (b)............. 1,872 39,855
SUPERVALU, Inc. (b)........... 928 11,795
Sysco Corp. (b)............... 2,573 71,890
The Kroger Co. (b)............ 2,677 54,959
Wal-Mart Stores, Inc. ........ 9,507 508,149
Walgreen Co. (b).............. 4,323 158,740
Whole Foods Market, Inc.
(a)(b)...................... 508 13,944
------------
1,170,333
------------
FOOD PRODUCTS -- 1.6%
Archer-Daniels-Midland Co. ... 2,561 80,185
Bunge, Ltd. (b)............... 523 33,383
Campbell Soup Co. (b)......... 978 33,056
ConAgra Foods, Inc. (b)....... 1,976 45,547
Dean Foods Co. (a)(b)......... 766 13,819
Flowers Foods, Inc. (b)....... 374 8,886
General Mills, Inc. (b)....... 1,354 95,877
H.J. Heinz Co. ............... 1,369 58,538
Hormel Foods Corp. (b)........ 321 12,343
Kellogg Co. (b)............... 1,043 55,488
Kraft Foods, Inc. (a)(b)...... 5,819 158,160
McCormick & Co., Inc. (b)..... 503 18,173
Ralcorp Holdings, Inc.
(a)(b)...................... 248 14,808
Sara Lee Corp. (b)............ 2,873 34,993
Smithfield Foods, Inc.
(a)(b)...................... 588 8,932
The Hershey Co. (b)........... 705 25,232
The J.M. Smucker Co. (b)...... 516 31,863
Tyson Foods, Inc. (Class A)
(b)......................... 1,272 15,607
------------
744,890
------------
GAS UTILITIES -- 0.3%
AGL Resources, Inc. .......... 336 12,254
Atmos Energy Corp. (b)........ 398 11,701
Energen Corp. ................ 283 13,245
EQT Corp. (b)................. 572 25,122
National Fuel Gas Co. (b)..... 296 14,800
ONEOK, Inc. (b)............... 432 19,254
Piedmont Natural Gas Co., Inc.
(b)......................... 302 8,079
Questar Corp. ................ 755 31,385
UGI Corp. .................... 468 11,321
------------
147,161
------------
HEALTH CARE EQUIPMENT & SUPPLIES -- 2.1%
Baxter International, Inc. ... 2,678 157,145
Beckman Coulter, Inc. ........ 267 17,472
Becton, Dickinson & Co. (b)... 987 77,835
Boston Scientific Corp. (a)... 6,470 58,230
C.R. Bard, Inc. .............. 433 33,731
CareFusion Corp. (a)(b)....... 778 19,458
DENTSPLY International, Inc.
(b)......................... 607 21,348
Edwards Lifesciences Corp.
(a)......................... 247 21,452
Gen-Probe, Inc. (a)(b)........ 234 10,039
Hologic, Inc. (a)(b).......... 1,107 16,051
Hospira, Inc. (a)(b).......... 698 35,598
IDEXX Laboratories, Inc.
(a)(b)...................... 264 14,108
Intuitive Surgical, Inc. (a).. 164 49,744
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES LARGE CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Inverness Medical Innovations,
Inc. (a)(b)................. 338 $ 14,030
Kinetic Concepts, Inc.
(a)(b)...................... 227 8,546
Medtronic, Inc. (b)........... 4,846 213,127
ResMed, Inc. (a)(b)........... 328 17,145
St. Jude Medical, Inc. (a).... 1,502 55,243
Stryker Corp. (b)............. 1,326 66,791
Teleflex, Inc. ............... 175 9,431
Varian Medical Systems, Inc.
(a)(b)...................... 549 25,721
Zimmer Holdings, Inc. (a)..... 987 58,342
------------
1,000,587
------------
HEALTH CARE PROVIDERS & SERVICES -- 2.1%
Aetna, Inc. (b)............... 1,913 60,642
AmerisourceBergen Corp. (b)... 1,328 34,621
Cardinal Health, Inc. (b)..... 1,556 50,166
CIGNA Corp. (b)............... 1,199 42,289
Community Health Systems, Inc.
(a)(b)...................... 407 14,489
Coventry Health Care, Inc.
(a)......................... 649 15,764
DaVita, Inc. (a).............. 463 27,197
Express Scripts, Inc. (Class
A) (a)...................... 1,115 96,392
Henry Schein, Inc. (a)(b)..... 404 21,250
Humana, Inc. (a)(b)........... 745 32,698
Laboratory Corp. of America
Holdings (a)(b)............. 469 35,100
Lincare Holdings, Inc.
(a)(b)...................... 315 11,693
McKesson Corp. ............... 1,196 74,750
Medco Health Solutions, Inc.
(a)......................... 2,067 132,102
Omnicare, Inc. (b)............ 474 11,461
Patterson Cos., Inc. (a)(b)... 434 12,143
Quest Diagnostics, Inc. (b)... 642 38,764
UnitedHealth Group, Inc. ..... 5,059 154,198
Universal Health Services,
Inc. (Class B) (b).......... 402 12,261
WellPoint, Inc. (a)........... 1,977 115,239
------------
993,219
------------
HEALTH CARE TECHNOLOGY -- 0.1%
Cerner Corp. (a).............. 282 23,248
IMS Health, Inc. ............. 782 16,469
------------
39,717
------------
HOTELS, RESTAURANTS & LEISURE -- 1.6%
Burger King Holdings, Inc.
(b)......................... 397 7,472
Carnival Corp. (a)(b)......... 1,849 58,595
Chipotle Mexican Grill, Inc.
(a)......................... 138 12,166
Darden Restaurants, Inc. (b).. 550 19,288
Hyatt Hotels Corp. (Class A)
(a)(b)...................... 166 4,948
International Game Technology
(b)......................... 1,306 24,514
Las Vegas Sands Corp. (a)(b).. 1,967 29,387
Marriott International, Inc.
(Class A) (b)............... 1,347 36,706
McDonald's Corp. (b).......... 4,698 293,343
MGM MIRAGE, Inc. (a)(b)....... 1,080 9,850
Penn National Gaming, Inc.
(a)(b)...................... 360 9,785
Royal Caribbean Cruises, Ltd.
(a)(b)...................... 597 15,092
Starbucks Corp. (a)(b)........ 3,202 73,838
Starwood Hotels & Resorts
Worldwide, Inc. (b)......... 745 27,245
Wendy's/Arby's Group, Inc.
(Class A) (b)............... 1,916 8,986
Wyndham Worldwide Corp. (b)... 700 14,119
Wynn Resorts, Ltd. (b)........ 315 18,342
Yum! Brands, Inc. (b)......... 2,020 70,639
------------
734,315
------------
HOUSEHOLD DURABLES -- 0.4%
D.R. Horton, Inc. (b)......... 1,199 13,033
Fortune Brands, Inc. (b)...... 665 28,728
Garmin, Ltd. (b).............. 533 16,363
Leggett & Platt, Inc. (b)..... 694 14,158
Mohawk Industries, Inc.
(a)(b)...................... 235 11,186
Newell Rubbermaid, Inc. (b)... 1,208 18,132
NVR, Inc. (a)(b).............. 26 18,478
Pulte Homes, Inc. (a)(b)...... 1,411 14,110
The Black & Decker Corp. ..... 272 17,634
Toll Brothers, Inc. (a)(b).... 586 11,023
Whirlpool Corp. (b)........... 324 26,134
------------
188,979
------------
HOUSEHOLD PRODUCTS -- 2.4%
Church & Dwight Co., Inc.
(b)......................... 304 18,377
Colgate-Palmolive Co. ........ 2,140 175,801
Energizer Holdings, Inc.
(a)(b)...................... 349 21,387
Kimberly-Clark Corp. ......... 1,810 115,315
Procter & Gamble Co. ......... 12,761 773,699
The Clorox Co. (b)............ 605 36,905
------------
1,141,484
------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.3%
Calpine Corp. (a)(b).......... 1,553 17,083
Constellation Energy Group,
Inc. (b).................... 779 27,397
Dynegy, Inc. (Class A)
(a)(b)...................... 2,249 4,071
Mirant Corp. (a)(b)........... 682 10,414
NRG Energy, Inc. (a).......... 1,134 26,774
RRI Energy, Inc. (a)(b)....... 1,504 8,603
The AES Corp. (a)............. 2,916 38,812
------------
133,154
------------
INDUSTRIAL CONGLOMERATES -- 2.1%
3M Co. (b).................... 2,822 233,295
General Electric Co. ......... 46,157 698,355
McDermott International, Inc.
(a)(b)...................... 995 23,890
Textron, Inc. (b)............. 1,076 20,240
------------
975,780
------------
INSURANCE -- 3.7%
AFLAC, Inc. (b)............... 2,036 94,165
Alleghany Corp. (a)........... 23 6,348
Allied World Assurance Company
Holdings, Ltd. ............. 155 7,141
American Financial Group, Inc.
(b)......................... 338 8,433
American International Group,
Inc. (a)(b)................. 514 15,410
AON Corp. (b)................. 1,038 39,797
Arch Capital Group, Ltd.
(a)(b)...................... 218 15,598
Assurant, Inc. ............... 516 15,212
Axis Capital Holdings, Ltd.
(b)......................... 619 17,586
Berkshire Hathaway, Inc.
(Class A) (a)............... 5 496,000
Brown & Brown, Inc. (b)....... 496 8,913
Chubb Corp. (b)............... 1,454 71,508
Cincinnati Financial Corp.
(b)......................... 661 17,345
CNA Financial Corp. (a)(b).... 120 2,880
Everest Re Group, Ltd. ....... 255 21,848
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES LARGE CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Fidelity National Financial,
Inc. (Class A) (b).......... 984 $ 13,245
First American Corp. (b)...... 537 17,780
Genworth Financial, Inc.
(Class A) (a)(b)............ 2,200 24,970
Hartford Financial Services
Group, Inc. ................ 1,740 40,472
HCC Insurance Holdings, Inc.
(b)......................... 501 14,013
Lincoln National Corp. (b).... 1,326 32,991
Loews Corp. (b)............... 1,549 56,306
Markel Corp. (a)(b)........... 40 13,600
Marsh & McLennan Cos., Inc. .. 2,242 49,503
MetLife, Inc. ................ 2,503 88,481
Old Republic International
Corp. (b)................... 1,005 10,090
PartnerRe, Ltd. (b)........... 238 17,769
Principal Financial Group,
Inc. (b).................... 1,345 32,334
Prudential Financial, Inc.
(b)......................... 2,069 102,953
Reinsurance Group of America,
Inc. ....................... 318 15,153
RenaissanceRe Holdings,
Ltd. ....................... 267 14,191
The Allstate Corp. (b)........ 2,363 70,985
The Hanover Insurance Group,
Inc. (b).................... 228 10,130
The Progressive Corp. (a)(b).. 2,770 49,832
The Travelers Cos., Inc. ..... 2,347 117,021
Torchmark Corp. (b)........... 380 16,701
Transatlantic Holdings, Inc.
(b)......................... 209 10,891
Unum Group (b)................ 1,446 28,226
W.R. Berkley Corp. (b)........ 625 15,400
Wesco Financial Corp. (b)..... 4 1,372
White Mountains Insurance
Group, Ltd. ................ 36 11,976
XL Capital, Ltd. (Class A).... 1,400 25,662
------------
1,740,231
------------
INTERNET & CATALOG RETAIL -- 0.6%
Amazon.com, Inc. (a).......... 1,360 182,947
Expedia, Inc. (a)(b).......... 904 23,242
Liberty Media
Corp -- Interactive (Class
A) (a)(b)................... 2,658 28,813
Netflix, Inc. (a)(b).......... 200 11,028
Priceline.com, Inc. (a)(b).... 178 38,893
------------
284,923
------------
INTERNET SOFTWARE & SERVICES -- 2.0%
Akamai Technologies, Inc.
(a)(b)...................... 734 18,592
AOL, Inc. (a)(b).............. 468 10,895
eBay, Inc. (a)................ 4,790 112,757
Equinix, Inc. (a)(b).......... 200 21,230
Google, Inc. (Class A)
(a)(b)...................... 1,010 626,180
IAC/InterActive Corp. (a)(b).. 370 7,578
VeriSign, Inc. (a)............ 847 20,531
Yahoo!, Inc. (a)(b)........... 5,631 94,488
------------
912,251
------------
IT SERVICES -- 1.7%
Affiliated Computer Services,
Inc. (Class A) (a)(b)....... 404 24,115
Alliance Data Systems Corp.
(a)(b)...................... 228 14,727
Automatic Data Processing,
Inc. (b).................... 2,221 95,103
Broadridge Financial
Solutions, Inc. ............ 611 13,784
Cognizant Technology Solutions
Corp. (Class A) (a)......... 1,258 56,987
Computer Sciences Corp.
(a)(b)...................... 663 38,142
DST Systems, Inc. (a)(b)...... 181 7,883
Fidelity National Information
Services, Inc. (b).......... 1,357 31,808
Fiserv, Inc. (a)(b)........... 711 34,469
Genpact, Ltd. (a)............. 300 4,470
Global Payments, Inc. (b)..... 350 18,851
Hewitt Associates, Inc. (Class
A) (a)(b)................... 384 16,228
Lender Processing Services,
Inc. ....................... 413 16,793
ManTech International Corp.
(Class A) (a)............... 90 4,345
Mastercard, Inc. (Class A)
(b)......................... 421 107,768
Paychex, Inc. (b)............. 1,418 43,448
SAIC, Inc. (a)(b)............. 893 16,913
The Western Union Co. ........ 3,124 58,887
Total System Services, Inc.
(b)......................... 872 15,059
Visa, Inc. (Class A) (b)...... 1,872 163,725
------------
783,505
------------
LEISURE EQUIPMENT & PRODUCTS -- 0.1%
Hasbro, Inc. (b).............. 555 17,793
Mattel, Inc. ................. 1,569 31,349
------------
49,142
------------
LIFE SCIENCES TOOLS & SERVICES -- 0.5%
Charles River Laboratories
International, Inc. (a)(b).. 304 10,242
Covance, Inc. (a)(b).......... 283 15,443
Illumina, Inc. (a)(b)......... 539 16,520
Life Technologies Corp.
(a)(b)...................... 752 39,277
Millipore Corp. (a)........... 236 17,075
PerkinElmer, Inc. (b)......... 520 10,707
Pharmaceutical Product
Development, Inc. (b)....... 454 10,642
Techne Corp. (b).............. 163 11,175
Thermo Fisher Scientific, Inc.
(a)(b)...................... 1,734 82,694
Waters Corp. (a).............. 432 26,767
------------
240,542
------------
MACHINERY -- 1.7%
AGCO Corp. (a)(b)............. 393 12,710
Caterpillar, Inc. (b)......... 2,727 155,412
Cummins, Inc. ................ 806 36,963
Danaher Corp. (b)............. 1,075 80,840
Deere & Co. (b)............... 1,839 99,472
Donaldson Co., Inc. .......... 299 12,719
Dover Corp. (b)............... 823 34,245
Eaton Corp. .................. 719 45,743
Flowserve Corp. (b)........... 252 23,822
Harsco Corp. ................. 367 11,828
Illinois Tool Works, Inc.
(b)......................... 1,916 91,949
Joy Global, Inc. (b).......... 464 23,938
Lincoln Electric Holdings,
Inc. (b).................... 179 9,569
Navistar International Corp.
(a)......................... 271 10,474
PACCAR, Inc. (b).............. 1,503 54,514
Pall Corp. ................... 522 18,896
Parker-Hannifin Corp. ........ 701 37,770
Pentair, Inc. (b)............. 427 13,792
SPX Corp. (b)................. 234 12,800
The Stanley Works (b)......... 344 17,719
------------
805,175
------------
MEDIA -- 2.9%
Cablevision Systems Corp.
(Class A)................... 1,004 25,923
CBS Corp. .................... 2,660 37,373
Clear Channel Outdoor
Holdings, Inc. (Class A)
(a)(b)...................... 174 1,808
Comcast Corp. (Class A) (b)... 12,672 213,650
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES LARGE CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
DIRECTV (Class A) (a)(b)...... 4,259 $ 142,038
Discovery Communications, Inc.
(Series A) (a)(b)........... 1,224 37,540
DISH Network Corp. (Class A).. 928 19,275
DreamWorks Animation SKG, Inc.
(Class A) (a)(b)............ 252 10,067
Interactive Data Corp. (b).... 158 3,997
John Wiley & Sons, Inc. (Class
A) (b)...................... 219 9,172
Liberty Global, Inc. (Series
A) (a)(b)................... 1,080 23,663
Liberty Media -- Starz (Series
A) (a)...................... 227 10,476
Marvel Entertainment, Inc.
(a)(b)...................... 229 12,384
News Corp. (Class A).......... 10,124 138,598
Omnicom Group, Inc. (b)....... 1,357 53,127
Scripps Networks Interactive
(Class A) (b)............... 358 14,857
The Interpublic Group of Cos.,
Inc. (a)(b)................. 2,124 15,675
The McGraw-Hill Cos., Inc.
(b)......................... 1,402 46,981
The Walt Disney Co. (b)....... 7,641 246,422
The Washington Post Co. (Class
B) (b)...................... 24 10,550
Time Warner Cable, Inc. (b)... 1,512 62,582
Time Warner, Inc. (b)......... 5,152 150,129
Viacom, Inc. (a).............. 2,344 69,687
Virgin Media, Inc. (b)........ 1,289 21,694
------------
1,377,668
------------
METALS & MINING -- 1.1%
Alcoa, Inc. (b)............... 4,244 68,413
Allegheny Technologies, Inc.
(b)......................... 408 18,266
Cliffs Natural Resources, Inc.
(b)......................... 580 26,732
Freeport-McMoRan Copper &
Gold, Inc. (a)(b)........... 1,767 141,872
Newmont Mining Corp. ......... 2,076 98,216
Nucor Corp. (b)............... 1,253 58,453
Reliance Steel & Aluminum Co.
(b)......................... 282 12,188
Southern Copper Corp. ........ 967 31,824
Steel Dynamics, Inc. (b)...... 828 14,672
United States Steel Corp.
(b)......................... 620 34,174
Walter Energy, Inc. (a)(b).... 231 17,397
------------
522,207
------------
MULTI-UTILITIES -- 1.4%
Alliant Energy Corp. (b)...... 486 14,706
Ameren Corp. (b).............. 916 25,602
CenterPoint Energy, Inc. (b).. 1,553 22,534
CMS Energy Corp. (b).......... 969 15,174
Consolidated Edison, Inc.
(b)......................... 1,196 54,334
Dominion Resources, Inc. (b).. 2,638 102,671
DTE Energy Co. (b)............ 717 31,254
Integrys Energy Group, Inc.
(b)......................... 336 14,109
MDU Resources Group, Inc. .... 738 17,417
NiSource, Inc. (b)............ 1,189 18,287
NSTAR......................... 465 17,112
OGE Energy Corp. (b).......... 413 15,236
PG&E Corp. (b)................ 1,595 71,217
Public Service Enterprise
Group, Inc. (b)............. 2,219 73,782
SCANA Corp. (b)............... 484 18,237
Sempra Energy (b)............. 987 55,252
TECO Energy, Inc. (b)......... 872 14,144
Vectren Corp. (b)............. 355 8,761
Wisconsin Energy Corp. (b).... 514 25,613
Xcel Energy, Inc. ............ 1,961 41,612
------------
657,054
------------
MULTILINE RETAIL -- 0.8%
Dollar General Corp. (a)(b)... 149 3,342
Dollar Tree Stores, Inc.
(a)(b)...................... 395 19,079
Family Dollar Stores, Inc.
(b)......................... 576 16,030
J. C. Penney Co., Inc. (b).... 861 22,911
Kohl's Corp. (a)(b)........... 1,253 67,574
Macy's, Inc. (b).............. 1,827 30,621
Nordstrom, Inc. (b)........... 744 27,960
Sears Holdings Corp. (a)(b)... 261 21,780
Target Corp. ................. 2,981 144,191
------------
353,488
------------
OFFICE ELECTRONICS -- 0.1%
Xerox Corp. (b)............... 3,823 32,343
------------
OIL, GAS & CONSUMABLE FUELS -- 9.4%
Alpha Natural Resources, Inc.
(a)(b)...................... 706 30,626
Anadarko Petroleum Corp. ..... 2,103 131,269
Apache Corp. ................. 1,469 151,557
Arch Coal, Inc. (b)........... 625 13,906
Cabot Oil & Gas Corp. (b)..... 464 20,226
Chesapeake Energy Corp. (b)... 2,849 73,732
Chevron Corp. ................ 8,796 677,204
Cimarex Energy Co. (b)........ 355 18,804
CNX Gas Corp. (a)(b).......... 122 3,602
Cobalt International Energy,
Inc. (a).................... 276 3,820
Concho Resources, Inc. (a).... 271 12,168
ConocoPhillips................ 5,667 289,414
CONSOL Energy, Inc. (b)....... 806 40,139
Continental Resources, Inc.
(a)(b)...................... 144 6,176
Denbury Resources, Inc.
(a)(b)...................... 1,073 15,881
Devon Energy Corp. ........... 1,828 134,358
El Paso Corp. ................ 3,092 30,394
EOG Resources, Inc. (b)....... 1,076 104,695
EXCO Resources, Inc. (b)...... 748 15,880
Exxon Mobil Corp. (b)......... 20,770 1,416,306
Forest Oil Corp. (a)(b)....... 477 10,613
Hess Corp. ................... 1,291 78,106
Marathon Oil Corp. ........... 3,097 96,688
Murphy Oil Corp. ............. 826 44,769
Newfield Exploration Co.
(a)(b)...................... 569 27,443
Noble Energy, Inc. ........... 747 53,201
Occidental Petroleum Corp.
(b)......................... 3,563 289,850
Peabody Energy Corp. (b)...... 1,178 53,257
Petrohawk Energy Corp.
(a)(b)...................... 1,298 31,139
Pioneer Natural Resources Co.
(b)......................... 523 25,193
Plains Exploration &
Production Co. (a).......... 570 15,766
Quicksilver Resources, Inc.
(a)(b)...................... 494 7,415
Range Resources Corp. (b)..... 677 33,749
Southwestern Energy Co.
(a)(b)...................... 1,496 72,107
Spectra Energy Corp. ......... 2,844 58,331
Sunoco, Inc. (b).............. 520 13,572
Tesoro Corp. (b).............. 596 8,076
The Williams Cos., Inc. (b)... 2,528 53,290
Ultra Petroleum Corp. (a)..... 662 33,007
Valero Energy Corp. (b)....... 2,353 39,413
Whiting Petroleum Corp.
(a)(b)...................... 218 15,576
XTO Energy, Inc. (b).......... 2,519 117,209
------------
4,367,927
------------
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES LARGE CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
PAPER & FOREST PRODUCTS -- 0.2%
International Paper Co. ...... 1,693 $ 45,339
MeadWestvaco Corp. (b)........ 711 20,356
Weyerhaeuser Co. (b).......... 922 39,775
------------
105,470
------------
PERSONAL PRODUCTS -- 0.3%
Alberto-Culver Co. (b)........ 380 11,130
Avon Products, Inc. (b)....... 1,872 58,968
Mead Johnson Nutrition Co..... 930 40,641
The Estee Lauder Cos., Inc.
(Class A) (b)............... 518 25,051
------------
135,790
------------
PHARMACEUTICALS -- 6.0%
Abbott Laboratories........... 6,761 365,026
Allergan, Inc. (b)............ 1,353 85,253
Bristol-Myers Squibb Co. (b).. 7,457 188,289
Eli Lilly & Co. (b)........... 4,259 152,089
Endo Pharmaceuticals Holdings,
Inc. (a)(b)................. 451 9,250
Forest Laboratories, Inc.
(a)(b)...................... 1,335 42,867
Johnson & Johnson (b)......... 12,037 775,303
King Pharmaceuticals, Inc.
(a)(b)...................... 1,068 13,104
Merck & Co., Inc. ............ 13,301 486,019
Mylan, Inc. (a)(b)............ 1,321 24,346
Perrigo Co. .................. 371 14,781
Pfizer, Inc. ................. 35,275 641,652
Watson Pharmaceuticals, Inc.
(a)(b)...................... 454 17,983
------------
2,815,962
------------
PROFESSIONAL SERVICES -- 0.2%
Equifax, Inc. (b)............. 557 17,206
FTI Consulting, Inc. (a)(b)... 216 10,187
IHS, Inc. (Class A) (a)(b).... 204 11,181
Manpower, Inc. ............... 338 18,448
Robert Half International,
Inc. (b).................... 719 19,219
The Dun & Bradstreet Corp. ... 234 19,743
Verisk Analytics, Inc. (Class
A) (a)(b)................... 373 11,294
Watson Wyatt Worldwide, Inc.
(Class A) (b)............... 183 8,696
------------
115,974
------------
REAL ESTATE INVESTMENT TRUSTS -- 1.4%
AMB Property Corp. (b)........ 679 17,348
Annaly Capital Management,
Inc. (b).................... 2,346 40,703
Avalonbay Communities, Inc.
(b)......................... 348 28,574
Boston Properties, Inc. (b)... 622 41,718
Digital Realty Trust, Inc.
(b)......................... 305 15,335
Equity Residential (b)........ 1,192 40,266
Federal Realty Investment
Trust (b)................... 253 17,133
HCP, Inc. (b)................. 1,202 36,709
Health Care REIT, Inc. ....... 583 25,839
Host Hotels & Resorts, Inc.
(a)(b)...................... 2,646 30,879
Kimco Realty Corp. (b)........ 1,774 24,002
Liberty Property Trust........ 428 13,700
Nationwide Health Properties,
Inc. ....................... 447 15,726
Plum Creek Timber Co., Inc.
(b)......................... 744 28,093
ProLogis (b).................. 1,977 27,065
Public Storage (b)............ 559 45,531
Rayonier, Inc. (b)............ 341 14,377
Realty Income Corp. (b)....... 452 11,711
Regency Centers Corp. (b)..... 405 14,199
Simon Property Group, Inc.
(b)......................... 1,251 99,830
Ventas, Inc. ................. 728 31,843
Vornado Realty Trust (b)...... 777 54,343
------------
674,924
------------
REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.1%
Brookfield Properties Corp.
(b)......................... 1,191 14,435
CB Richard Ellis Group, Inc.
(Class A) (a)(b)............ 1,100 14,927
The St. Joe Co. (a)(b)........ 398 11,498
------------
40,860
------------
ROAD & RAIL -- 1.0%
Burlington Northern Santa Fe
Corp. ...................... 1,208 119,133
CSX Corp. (b)................. 1,741 84,421
Hertz Global Holdings, Inc.
(a)(b)...................... 976 11,634
J.B. Hunt Transport Services,
Inc. (b).................... 384 12,392
Kansas City Southern (a)(b)... 397 13,216
Norfolk Southern Corp. (b).... 1,598 83,767
Ryder Systems, Inc. (b)....... 251 10,334
Union Pacific Corp. (b)....... 2,191 140,005
------------
474,902
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.7%
Advanced Micro Devices, Inc.
(a)(b)...................... 2,433 23,551
Altera Corp. (b).............. 1,304 29,510
Analog Devices, Inc. (b)...... 1,281 40,454
Applied Materials, Inc. ...... 5,856 81,633
Broadcom Corp. (Class A) (a).. 1,854 58,308
Cree, Inc. (a)(b)............. 453 25,536
Intel Corp. .................. 24,228 494,251
KLA-Tencor Corp. (b).......... 755 27,301
Lam Research Corp. (a)(b)..... 557 21,840
Linear Technology Corp. (b)... 899 27,455
LSI Logic Corp. (a)........... 2,806 16,864
Marvell Technology Group, Ltd.
(a)(b)...................... 2,103 43,637
Maxim Integrated Products,
Inc. (b).................... 1,396 28,339
MEMC Electronic Materials,
Inc. (a)(b)................. 988 13,457
Microchip Technology, Inc.
(b)......................... 801 23,277
Micron Technology, Inc.
(a)(b)...................... 3,822 40,360
National Semiconductor Corp.
(b)......................... 1,005 15,437
NVIDIA Corp. (a)(b)........... 2,344 43,786
ON Semiconductor Corp.
(a)(b)...................... 1,772 15,611
Texas Instruments, Inc. ...... 5,541 144,398
Varian Semiconductor Equipment
Associates, Inc. (a) (b).... 318 11,410
Xilinx, Inc. (b).............. 1,209 30,298
------------
1,256,713
------------
SOFTWARE -- 4.3%
Activision Blizzard, Inc.
(a)(b)...................... 2,576 28,619
Adobe Systems, Inc. (a)....... 2,288 84,153
Ansys, Inc. (a)............... 393 17,080
Autodesk, Inc. (a)(b)......... 992 25,207
BMC Software, Inc. (a)(b)..... 806 32,321
CA, Inc. (b).................. 1,799 40,406
Citrix Systems, Inc. (a)...... 791 32,913
Electronic Arts, Inc. (a)(b).. 1,400 24,850
Factset Research Systems, Inc.
(b)......................... 192 12,647
Intuit, Inc. (a)(b)........... 1,295 39,769
McAfee, Inc. (a)(b)........... 669 27,141
Microsoft Corp. (b)........... 34,518 1,052,454
Nuance Communications, Inc.
(a)(b)...................... 951 14,779
Oracle Corp. ................. 16,721 410,333
Red Hat, Inc. (a)(b).......... 829 25,616
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES LARGE CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Rovi Corp. (a)(b)............. 400 $ 12,748
Salesforce.com, Inc. (a)(b)... 447 32,975
Sybase, Inc. (a)(b)........... 355 15,407
Symantec Corp. (a)(b)......... 3,582 64,082
Synopsys, Inc. (a)(b)......... 619 13,791
VMware, Inc. (Class A)
(a)(b)...................... 163 6,908
------------
2,014,199
------------
SPECIALTY RETAIL -- 2.0%
Abercrombie & Fitch Co. (Class
A) (b)...................... 376 13,104
Advance Auto Parts, Inc. (b).. 412 16,678
American Eagle Outfitters,
Inc. (b).................... 781 13,261
AutoNation, Inc. (a)(b)....... 300 5,745
AutoZone, Inc. (a)(b)......... 148 23,394
Bed Bath & Beyond, Inc.
(a)(b)...................... 1,144 44,193
Best Buy Co., Inc. (b)........ 1,465 57,809
CarMax, Inc. (a)(b)........... 867 21,025
GameStop Corp. (Class A)
(a)(b)...................... 662 14,524
Guess ?, Inc. (b)............. 269 11,379
Limited Brands, Inc. (b)...... 1,318 25,358
Lowe's Cos., Inc. ............ 6,380 149,228
O'Reilly Automotive, Inc.
(a)(b)...................... 591 22,529
PetSmart, Inc. (b)............ 562 15,000
Ross Stores, Inc. (b)......... 567 24,216
Staples, Inc. (b)............. 3,104 76,327
The Gap, Inc. (b)............. 2,291 47,996
The Home Depot, Inc. ......... 7,476 216,281
The Sherwin-Williams Co. (b).. 432 26,633
The TJX Cos., Inc. (b)........ 1,838 67,179
Tiffany & Co. (b)............. 543 23,349
Urban Outfitters, Inc.
(a)(b)...................... 513 17,950
------------
933,158
------------
TEXTILES, APPAREL & LUXURY GOODS -- 0.4%
Coach, Inc. .................. 1,399 51,105
NIKE, Inc. (Class B) (b)...... 1,174 77,566
Polo Ralph Lauren Corp. (b)... 252 20,407
V. F. Corp. (b)............... 377 27,612
------------
176,690
------------
THRIFTS & MORTGAGE FINANCE -- 0.2%
Capitol Federal Financial
(b)......................... 92 2,894
Hudson City Bancorp, Inc.
(b)......................... 2,130 29,245
New York Community Bancorp,
Inc. (b).................... 1,802 26,147
People's United Financial,
Inc. (b).................... 1,551 25,902
TFS Financial Corp. (b)....... 410 4,977
------------
89,165
------------
TOBACCO -- 1.4%
Altria Group, Inc. (b)........ 8,970 176,081
Lorillard, Inc. .............. 733 58,809
Philip Morris International,
Inc. ....................... 8,287 399,350
Reynolds American, Inc. (b)... 736 38,986
------------
673,226
------------
TRADING COMPANIES & DISTRIBUTORS -- 0.1%
Fastenal Co. (b).............. 621 25,858
MSC Industrial Direct Co.,
Inc. (Class A) (b).......... 191 8,977
W.W. Grainger, Inc. (b)....... 285 27,597
------------
62,432
------------
WATER UTILITIES -- 0.0% (D)
American Water Works Co.,
Inc. ....................... 452 10,129
Aqua America, Inc. (b)........ 586 10,261
------------
20,390
------------
WIRELESS TELECOMMUNICATION SERVICES -- 0.5%
American Tower Corp. (Class A)
(a)(b)...................... 1,730 74,753
Crown Castle International
Corp. (a)(b)................ 1,059 41,343
MetroPCS Communications, Inc.
(a)(b)...................... 1,073 8,187
NII Holdings, Inc. (a)........ 724 24,312
SBA Communications Corp.
(Class A) (a)(b)............ 506 17,285
Sprint Nextel Corp. (a)(b).... 12,413 45,432
Telephone & Data Systems, Inc.
(b)......................... 447 15,162
US Cellular Corp. (a)......... 72 3,054
------------
229,528
------------
TOTAL COMMON STOCKS --
(Cost $39,025,331).......... 46,569,282
------------
RIGHTS -- 0.0% (D)
DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.0% (D)
Clearwire Corp. (expiring
6/21/10) (a)(b)
(Cost $0)................... 307 123
------------
SHORT TERM INVESTMENTS -- 28.1%
MONEY MARKET FUNDS -- 28.1%
State Street Institutional
Liquid Reserves Fund (e).... 36,888 36,888
State Street Navigator
Securities Lending Prime
Portfolio (e)(f)............ 13,064,779 13,064,779
------------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $13,101,667).......... 13,101,667
------------
TOTAL INVESTMENTS -- 127.9%
(g)
(Cost $52,126,998).......... 59,671,072
OTHER ASSETS AND
LIABILITIES -- (27.9)%...... (13,011,077)
------------
NET ASSETS -- 100.0%.......... $ 46,659,995
============
</Table>
(a) Non-income producing security.
(b) Security, or portion thereof, was on loan at December 31, 2009.
(c) Affiliated issuer. (Note 3)
(d) Amount shown represents less than 0.05% of net assets.
(e) Affiliated Fund managed by SsgA Funds Management, Inc. (Note 3)
(f) Investments of cash collateral for securities loaned.
(g) Unless otherwise indicated, the values of the securities of the Fund are
determined based on Level 1 inputs. (Note 2)
REIT = Real Estate
Investment Trust
See accompanying notes to financial statements.
SPDR DOW JONES LARGE CAP GROWTH ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.7%
AEROSPACE & DEFENSE -- 0.8%
Goodrich Corp. ............... 4,582 $ 294,394
ITT Corp. .................... 6,728 334,651
Precision Castparts Corp. .... 5,138 566,978
Rockwell Collins, Inc. ....... 5,801 321,143
Spirit Aerosystems Holdings,
Inc. (a)(b)................. 4,220 83,809
------------
1,600,975
------------
AIR FREIGHT & LOGISTICS -- 0.8%
C.H. Robinson Worldwide, Inc.
(b)......................... 6,311 370,645
Expeditors International
Washington, Inc. ........... 7,849 272,596
FedEx Corp. .................. 10,771 898,840
------------
1,542,081
------------
AIRLINES -- 0.3%
Delta Air Lines, Inc. (a)..... 28,858 328,404
Southwest Airlines Co. ....... 27,188 310,759
------------
639,163
------------
AUTO COMPONENTS -- 0.1%
BorgWarner, Inc. (b).......... 4,114 136,667
The Goodyear Tire & Rubber Co.
(a)......................... 8,501 119,864
------------
256,531
------------
BEVERAGES -- 1.9%
Hansen Natural Corp. (a)...... 2,797 107,405
PepsiCo, Inc. ................ 57,903 3,520,502
------------
3,627,907
------------
BIOTECHNOLOGY -- 3.4%
Alexion Pharmaceuticals, Inc.
(a)......................... 3,342 163,156
Amgen, Inc. (a)............... 37,460 2,119,112
Amylin Pharmaceuticals, Inc.
(a)(b)...................... 4,635 65,771
Biogen Idec, Inc. (a)......... 10,693 572,076
Celgene Corp. (a)............. 17,043 948,954
Cephalon, Inc. (a)(b)......... 2,715 169,443
Genzyme Corp. (a)............. 9,713 476,034
Gilead Sciences, Inc. (a)..... 33,714 1,459,142
Myriad Genetics, Inc. (a)..... 3,589 93,673
OSI Pharmaceuticals, Inc.
(a)(b)...................... 2,025 62,836
Vertex Pharmaceuticals, Inc.
(a)(b)...................... 6,785 290,737
------------
6,420,934
------------
BUILDING PRODUCTS -- 0.0% (c)
Owens Corning, Inc. (a)....... 3,416 87,586
------------
CAPITAL MARKETS -- 2.1%
Affiliated Managers Group,
Inc. (a)(b)................. 1,456 98,062
BlackRock, Inc. .............. 1,495 347,139
Eaton Vance Corp. ............ 4,096 124,559
Franklin Resources, Inc. ..... 5,724 603,023
Jefferies Group, Inc. (a)(b).. 3,988 94,635
Northern Trust Corp. ......... 8,969 469,976
Raymond James Financial, Inc.
(b)......................... 3,504 83,290
SEI Investments Co. .......... 5,623 98,515
State Street Corp. (d)........ 18,324 797,827
T. Rowe Price Group, Inc.
(b)......................... 9,404 500,763
TD Ameritrade Holding Corp.
(a)......................... 8,423 163,238
The Charles Schwab Corp. ..... 34,978 658,286
------------
4,039,313
------------
CHEMICALS -- 2.3%
Airgas, Inc. ................. 2,471 117,619
Albemarle Corp. .............. 3,237 117,730
Celanese Corp. Series A....... 5,081 163,100
Ecolab, Inc. ................. 8,783 391,546
FMC Corp. .................... 2,730 152,225
Intrepid Potash, Inc. (a)(b).. 1,758 51,281
Lubrizol Corp. ............... 2,536 185,001
Monsanto Co. ................. 19,996 1,634,673
Praxair, Inc. ................ 11,454 919,871
Sigma-Aldrich Corp. .......... 3,828 193,429
Terra Industries, Inc. ....... 3,621 116,560
The Mosaic Co. ............... 5,370 320,750
------------
4,363,785
------------
COMMERCIAL SERVICES & SUPPLIES -- 0.4%
Cintas Corp. ................. 4,698 122,383
Copart, Inc. (a).............. 2,483 90,952
Corrections Corp. of America
(a)......................... 4,439 108,977
Covanta Holding Corp. (a)(b).. 4,800 86,832
Iron Mountain, Inc. (a)(b).... 6,774 154,176
Stericycle, Inc. (a).......... 3,057 168,655
Waste Connections, Inc.
(a)(b)...................... 2,826 94,219
------------
826,194
------------
COMMUNICATIONS EQUIPMENT -- 5.1%
Brocade Communications
Systems, Inc. (a)(b)........ 15,116 115,335
Cisco Systems, Inc. (a)....... 213,156 5,102,955
F5 Networks, Inc. (a)......... 3,024 160,211
Harris Corp. ................. 4,774 227,004
Juniper Networks, Inc. (a).... 19,598 522,679
Motorola, Inc. (a)............ 79,803 619,271
QUALCOMM, Inc. ............... 60,650 2,805,669
Tellabs, Inc. (a)............. 13,950 79,236
------------
9,632,360
------------
COMPUTERS & PERIPHERALS -- 8.2%
Apple, Inc. (a)............... 32,764 6,908,617
Dell, Inc. (a)................ 63,914 917,805
EMC Corp. (a)................. 74,595 1,303,175
Hewlett-Packard Co. .......... 87,471 4,505,631
NCR Corp. (a)................. 6,275 69,841
NetApp, Inc. (a).............. 12,583 432,729
SanDisk Corp. (a)(b).......... 8,540 247,575
Seagate Technology............ 18,134 329,857
Sun Microsystems, Inc. (a).... 27,350 256,270
Teradata Corp. (a)............ 6,237 196,029
Western Digital Corp. (a)..... 8,114 358,233
------------
15,525,762
------------
CONSTRUCTION & ENGINEERING -- 0.6%
Aecom Technology Corp. (a).... 3,424 94,160
Fluor Corp. .................. 6,730 303,119
Jacobs Engineering Group, Inc.
(a)......................... 4,636 174,360
KBR, Inc. .................... 5,720 108,680
Quanta Services, Inc. (a)..... 6,985 145,568
The Shaw Group, Inc. (a)...... 2,936 84,410
URS Corp. (a)................. 3,120 138,902
------------
1,049,199
------------
CONSTRUCTION MATERIALS -- 0.2%
Martin Marietta Materials,
Inc. (b).................... 1,659 148,331
Vulcan Materials Co. (b)...... 4,212 221,846
------------
370,177
------------
CONSUMER FINANCE -- 0.2%
Discover Financial Services... 20,284 298,378
------------
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES LARGE CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
CONTAINERS & PACKAGING -- 0.2%
Ball Corp. ................... 3,551 $ 183,587
Crown Holdings, Inc. (a)...... 5,659 144,757
Pactiv Corp. (a).............. 4,918 118,720
------------
447,064
------------
DIVERSIFIED CONSUMER SERVICES -- 0.4%
Apollo Group, Inc. (a)........ 4,795 290,481
Career Education Corp.
(a)(b)...................... 2,398 55,897
DeVry, Inc. .................. 2,193 124,409
Education Management Corp.
(a)(b)...................... 780 17,168
ITT Educational Services, Inc.
(a)(b)...................... 1,378 132,233
Strayer Education, Inc. (b)... 501 106,457
Weight Watchers International,
Inc. ....................... 1,466 42,749
------------
769,394
------------
DIVERSIFIED FINANCIAL SERVICES -- 1.0%
CIT Group,Inc. (a)............ 7,300 201,553
CME Group, Inc. .............. 2,430 816,359
Intercontinental Exchange,
Inc. (a).................... 2,658 298,493
Leucadia National Corp. (a)... 7,319 174,119
Moody's Corp. (b)............. 7,149 191,593
MSCI, Inc. (Class A) (a)...... 3,804 120,967
The Nasdaq OMX Group, Inc.
(a)......................... 5,585 110,695
------------
1,913,779
------------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.0% (C)
Clearwire Corp. (Class A)
(a)(b)...................... 2,502 16,914
------------
ELECTRIC UTILITIES -- 0.1%
Allegheny Energy, Inc. ....... 6,242 146,562
ITC Holdings Corp. ........... 1,750 91,158
------------
237,720
------------
ELECTRICAL EQUIPMENT -- 1.0%
AMETEK, Inc. ................. 3,754 143,553
Emerson Electric Co. ......... 28,005 1,193,013
First Solar, Inc. (a)(b)...... 1,706 230,992
Roper Industries, Inc. ....... 3,337 174,759
SunPower Corp. (Class A) (a).. 3,689 87,356
------------
1,829,673
------------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.4%
Agilent Technologies, Inc.
(a)......................... 12,905 400,958
Amphenol Corp. (Class A)...... 6,208 286,686
Arrow Electronics, Inc. (a)... 4,238 125,487
Avnet, Inc. (a)............... 5,295 159,697
Corning, Inc. ................ 57,977 1,119,536
Dolby Laboratories, Inc.
(Class A) (a)............... 1,832 87,441
FLIR Systems, Inc. (a)........ 5,416 177,212
Itron, Inc. (a)............... 1,383 93,449
Mettler-Toledo International,
Inc. (a).................... 1,211 127,143
Trimble Navigation, Ltd.
(a)(b)...................... 4,257 107,277
------------
2,684,886
------------
ENERGY EQUIPMENT & SERVICES -- 3.8%
Baker Hughes, Inc. (b)........ 11,441 463,132
BJ Services Co. .............. 10,982 204,265
Cameron International Corp.
(a)......................... 8,979 375,322
Diamond Offshore Drilling,
Inc. (b).................... 2,418 237,980
FMC Technologies, Inc. (a).... 4,630 267,799
Halliburton Co. .............. 33,113 996,370
Helmerich & Payne, Inc. ...... 3,583 142,890
Nabors Industries, Ltd.
(a)(b)...................... 10,678 233,742
National-Oilwell Varco,
Inc. ....................... 15,490 682,954
Oceaneering International,
Inc. (a).................... 1,950 114,114
Patterson-UTI Energy, Inc.
(b)......................... 5,475 84,041
Pride International, Inc.
(a)......................... 5,754 183,610
Rowan Cos., Inc. (a).......... 3,856 87,300
Schlumberger, Ltd. ........... 44,113 2,871,315
Smith International, Inc. .... 8,151 221,463
------------
7,166,297
------------
FOOD & STAPLES RETAILING -- 4.4%
Costco Wholesale Corp. ....... 16,016 947,667
CVS Caremark Corp. ........... 51,998 1,674,855
Wal-Mart Stores, Inc. ........ 80,724 4,314,698
Walgreen Co. ................. 36,698 1,347,550
Whole Foods Market, Inc.
(a)(b)...................... 4,024 110,459
------------
8,395,229
------------
FOOD PRODUCTS -- 0.2%
Dean Foods Co. (a)............ 6,382 115,131
Flowers Foods, Inc. (b)....... 3,034 72,088
Ralcorp Holdings, Inc. (a).... 2,146 128,138
------------
315,357
------------
GAS UTILITIES -- 0.3%
EQT Corp. .................... 4,605 202,251
ONEOK, Inc. .................. 3,733 166,380
Questar Corp. ................ 6,396 265,882
------------
634,513
------------
HEALTH CARE EQUIPMENT & SUPPLIES -- 4.4%
Baxter International, Inc. ... 22,364 1,312,320
Beckman Coulter, Inc. ........ 2,509 164,189
Becton, Dickinson & Co. ...... 8,421 664,080
Boston Scientific Corp. (a)... 55,998 503,982
C.R. Bard, Inc. .............. 3,616 281,686
CareFusion Corp. (a).......... 6,728 168,267
DENTSPLY International,
Inc. ....................... 5,424 190,762
Edwards Lifesciences Corp.
(a)......................... 1,994 173,179
Gen-Probe, Inc. (a)(b)........ 1,911 81,982
Hologic, Inc. (a)............. 9,041 131,095
Hospira, Inc. (a)............. 5,946 303,246
IDEXX Laboratories, Inc. (a).. 2,104 112,438
Intuitive Surgical, Inc. (a).. 1,389 421,311
Inverness Medical Innovations,
Inc. (a).................... 3,024 125,526
Kinetic Concepts, Inc.
(a)(b)...................... 2,204 82,981
Medtronic, Inc. .............. 40,917 1,799,530
ResMed, Inc. (a)(b)........... 2,678 139,979
St. Jude Medical, Inc. (a).... 12,280 451,658
Stryker Corp. ................ 11,294 568,879
Varian Medical Systems, Inc.
(a)......................... 4,708 220,570
Zimmer Holdings, Inc. (a)..... 8,068 476,899
------------
8,374,559
------------
HEALTH CARE PROVIDERS & SERVICES -- 3.8%
Aetna, Inc. .................. 16,226 514,364
AmerisourceBergen Corp. ...... 10,990 286,509
Community Health Systems, Inc.
(a)......................... 3,302 117,551
Coventry Health Care, Inc.
(a)......................... 5,244 127,377
DaVita, Inc. (a).............. 3,898 228,969
Express Scripts, Inc. (Class
A) (a)...................... 9,431 815,310
Henry Schein, Inc. (a)(b)..... 3,392 178,419
Laboratory Corp. of America
Holdings (a)(b)............. 3,896 291,577
Lincare Holdings, Inc.
(a)(b)...................... 2,474 91,835
McKesson Corp. ............... 9,989 624,313
Medco Health Solutions, Inc.
(a)......................... 17,450 1,115,229
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES LARGE CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Patterson Cos., Inc. (a)...... 3,761 $ 105,233
Quest Diagnostics, Inc. ...... 5,793 349,781
UnitedHealth Group, Inc. ..... 43,059 1,312,438
WellPoint, Inc. (a)........... 16,875 983,644
------------
7,142,549
------------
HEALTH CARE TECHNOLOGY -- 0.2%
Cerner Corp. (a)(b)........... 2,358 194,394
IMS Health, Inc. ............. 6,423 135,268
------------
329,662
------------
HOTELS, RESTAURANTS & LEISURE -- 1.6%
Burger King Holdings, Inc.
(b)......................... 3,258 61,315
Carnival Corp. (a)............ 15,694 497,343
Chipotle Mexican Grill, Inc.
(a)......................... 1,170 103,147
Darden Restaurants, Inc. ..... 5,237 183,661
International Game
Technology.................. 11,018 206,808
Las Vegas Sands Corp. (a)(b).. 15,638 233,632
MGM MIRAGE, Inc. (a)(b)....... 9,507 86,704
Penn National Gaming, Inc.
(a)......................... 2,425 65,911
Starbucks Corp. (a)........... 27,167 626,471
Wendy's/Arby's Group, Inc.
(Class A)................... 15,623 73,272
Wyndham Worldwide Corp. ...... 6,828 137,721
Wynn Resorts, Ltd. (b)........ 2,769 161,239
Yum! Brands, Inc. ............ 17,208 601,764
------------
3,038,988
------------
HOUSEHOLD DURABLES -- 0.2%
Garmin, Ltd. (b).............. 4,252 130,536
NVR, Inc. (a)................. 222 157,778
Pulte Homes, Inc. (a)......... 12,041 120,410
------------
408,724
------------
HOUSEHOLD PRODUCTS -- 1.0%
Church & Dwight Co., Inc. .... 2,480 149,916
Colgate-Palmolive Co. ........ 18,460 1,516,489
Energizer Holdings, Inc. (a).. 2,465 151,055
------------
1,817,460
------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.4%
Calpine Corp. (a)............. 12,692 139,612
Constellation Energy Group,
Inc. ....................... 6,617 232,720
RRI Energy, Inc. (a).......... 14,262 81,578
The AES Corp. (a)............. 24,364 324,285
------------
778,195
------------
INDUSTRIAL CONGLOMERATES -- 0.1%
McDermott International, Inc.
(a)......................... 8,533 204,877
------------
INSURANCE -- 2.3%
Berkshire Hathaway, Inc.
(Class A) (a)............... 43 4,265,600
Brown & Brown, Inc. .......... 4,379 78,691
------------
4,344,291
------------
INTERNET & CATALOG RETAIL -- 1.2%
Amazon.com, Inc. (a).......... 11,454 1,540,792
Expedia, Inc. (a)............. 7,531 193,622
Netflix, Inc. (a)............. 1,638 90,319
Priceline.com, Inc. (a)....... 1,636 357,466
------------
2,182,199
------------
INTERNET SOFTWARE & SERVICES -- 4.0%
Akamai Technologies, Inc.
(a)(b)...................... 6,392 161,909
eBay, Inc. (a)................ 40,649 956,877
Equinix, Inc. (a)(b).......... 1,464 155,404
Google, Inc. (Class A) (a).... 8,502 5,271,070
IAC/InterActiveCorp. (a)(b)... 3,941 80,712
VeriSign, Inc. (a)............ 7,287 176,637
Yahoo!, Inc. (a).............. 48,513 814,048
------------
7,616,657
------------
IT SERVICES -- 3.3%
Affiliated Computer Services,
Inc. (Class A) (a).......... 3,478 207,602
Alliance Data Systems Corp.
(a)(b)...................... 1,896 122,463
Automatic Data Processing,
Inc. ....................... 18,668 799,364
Broadridge Financial
Solutions, Inc. ............ 4,971 112,146
Cognizant Technology Solutions
Corp. (Class A) (a)......... 10,875 492,637
DST Systems, Inc. (a)(b)...... 1,346 58,618
Fidelity National Information
Services, Inc. ............. 11,584 271,529
Fiserv, Inc. (a).............. 5,679 275,318
Genpact, Ltd. (a)............. 2,444 36,416
Global Payments, Inc. ........ 3,027 163,034
Hewitt Associates, Inc. (Class
A) (a)...................... 3,145 132,908
Lender Processing Services,
Inc. ....................... 3,608 146,701
ManTech International Corp.
(Class A) (a)............... 737 35,582
Mastercard, Inc. (Class A).... 3,591 919,224
Paychex, Inc. ................ 12,078 370,070
SAIC, Inc. (a)................ 6,884 130,383
The Western Union Co. ........ 25,863 487,517
Total System Services, Inc.
(b)......................... 6,973 120,424
Visa, Inc. (Class A).......... 15,929 1,393,150
------------
6,275,086
------------
LIFE SCIENCES TOOLS & SERVICES -- 1.1%
Charles River Laboratories
International, Inc. (a)..... 2,407 81,092
Covance, Inc. (a)(b).......... 2,258 123,219
Illumina, Inc. (a)(b)......... 4,582 140,438
Life Technologies Corp. (a)... 6,597 344,561
Millipore Corp. (a)........... 2,130 154,106
PerkinElmer, Inc. ............ 4,194 86,355
Pharmaceutical Product
Development, Inc. .......... 4,123 96,643
Techne Corp. ................. 1,326 90,911
Thermo Fisher Scientific, Inc.
(a)......................... 15,057 718,068
Waters Corp. (a).............. 3,543 219,524
------------
2,054,917
------------
MACHINERY -- 3.2%
AGCO Corp. (a)(b)............. 3,239 104,749
Caterpillar, Inc. ............ 22,976 1,309,402
Cummins, Inc. ................ 6,775 310,702
Danaher Corp. (b)............. 9,154 688,381
Deere & Co. .................. 15,594 843,480
Donaldson Co., Inc. .......... 2,389 101,628
Dover Corp. .................. 6,887 286,568
Flowserve Corp. .............. 2,146 202,862
Harsco Corp. ................. 2,983 96,142
Illinois Tool Works, Inc. .... 15,966 766,208
Joy Global, Inc. ............. 3,817 196,919
Lincoln Electric Holdings,
Inc. ....................... 1,436 76,769
Navistar International Corp.
(a)(b)...................... 2,182 84,334
PACCAR, Inc. (b).............. 12,797 464,147
Pall Corp. ................... 4,200 152,040
Parker-Hannifin Corp. ........ 5,889 317,299
------------
6,001,630
------------
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES LARGE CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
MEDIA -- 2.9%
Cablevision Systems Corp.
(Class A)................... 8,671 $ 223,885
Clear Channel Outdoor
Holdings, Inc. (Class A)
(a)......................... 1,094 11,367
Comcast Corp. (Class A)....... 106,585 1,797,023
DIRECTV (Class A) (a)......... 36,413 1,214,374
Discovery Communications, Inc.
Series A (a)(b)............. 10,318 316,453
DISH Network Corp. (Class A).. 7,480 155,360
DreamWorks Animation SKG, Inc.
(Class A) (a)............... 2,632 105,148
John Wiley & Sons, Inc. (Class
A) (b)...................... 1,794 75,133
Liberty Global, Inc. Series A
(a)(b)...................... 9,432 206,655
Liberty Media -- Starz Series
A (a)....................... 1,929 89,023
Omnicom Group, Inc. .......... 11,606 454,375
Scripps Networks Interactive
(Class A)................... 2,940 122,010
The Interpublic Group of Cos.,
Inc. (a).................... 18,742 138,316
The Washington Post Co. (Class
B).......................... 224 98,470
Time Warner Cable, Inc. ...... 13,076 541,216
------------
5,548,808
------------
METALS & MINING -- 2.3%
Alcoa, Inc. .................. 36,164 582,964
Cliffs Natural Resources,
Inc. ....................... 4,670 215,240
Freeport-McMoRan Copper &
Gold, Inc. (a).............. 15,249 1,224,342
Newmont Mining Corp. ......... 17,670 835,968
Nucor Corp. .................. 10,655 497,056
Reliance Steel & Aluminum
Co. ........................ 2,269 98,066
Southern Copper Corp. ........ 7,695 253,242
Steel Dynamics, Inc. ......... 7,536 133,538
United States Steel Corp.
(b)......................... 5,362 295,553
Walter Energy, Inc. .......... 2,050 154,386
------------
4,290,355
------------
MULTILINE RETAIL -- 1.3%
Dollar General Corp. (a)(b)... 1,268 28,441
Dollar Tree Stores, Inc. (a).. 3,189 154,028
Family Dollar Stores, Inc. ... 4,694 130,634
Kohl's Corp. (a).............. 10,647 574,193
Nordstrom, Inc. .............. 6,400 240,512
Sears Holdings Corp. (a)(b)... 2,144 178,917
Target Corp. ................. 25,316 1,224,535
------------
2,531,260
------------
OIL, GAS & CONSUMABLE FUELS -- 6.0%
Alpha Natural Resources, Inc.
(a)......................... 5,885 255,291
Anadarko Petroleum Corp. ..... 18,063 1,127,493
Arch Coal, Inc. .............. 6,099 135,703
Cabot Oil & Gas Corp. ........ 3,639 158,624
Chesapeake Energy Corp. ...... 23,259 601,943
Cimarex Energy Co. ........... 3,060 162,088
CNX Gas Corp. (a)............. 1,032 30,465
Cobalt International Energy,
Inc. (a).................... 2,200 30,448
Concho Resources, Inc. (a).... 2,596 116,560
CONSOL Energy, Inc. .......... 6,803 338,789
Continental Resources, Inc.
(a)......................... 1,059 45,421
Denbury Resources, Inc. (a)... 9,198 136,130
EOG Resources, Inc. .......... 9,354 910,144
EXCO Resources, Inc. ......... 6,054 128,527
Hess Corp. ................... 10,986 664,653
Murphy Oil Corp. ............. 7,022 380,592
Noble Energy, Inc. ........... 6,444 458,942
Occidental Petroleum Corp. ... 29,970 2,438,060
Peabody Energy Corp. ......... 9,945 449,614
Petrohawk Energy Corp. (a).... 11,294 270,943
Plains Exploration &
Production Co. (a).......... 5,115 141,481
Quicksilver Resources, Inc.
(a)......................... 4,244 63,703
Range Resources Corp. ........ 5,866 292,420
Southwestern Energy Co. (a)... 12,742 614,164
Tesoro Corp. (b).............. 4,837 65,541
Ultra Petroleum Corp. (a)..... 5,584 278,418
Whiting Petroleum Corp. (a)... 1,787 127,681
XTO Energy, Inc. ............. 21,374 994,532
------------
11,418,370
------------
PERSONAL PRODUCTS -- 0.4%
Avon Products, Inc. .......... 15,918 501,417
The Estee Lauder Cos., Inc.
(Class A)................... 4,013 194,069
------------
695,486
------------
PHARMACEUTICALS -- 0.7%
Allergan, Inc. ............... 11,461 722,158
Endo Pharmaceuticals Holdings,
Inc. (a).................... 3,897 79,927
Mylan, Inc. (a)(b)............ 11,408 210,249
Perrigo Co. .................. 2,995 119,321
Watson Pharmaceuticals, Inc.
(a)......................... 3,998 158,361
------------
1,290,016
------------
PROFESSIONAL SERVICES -- 0.5%
Equifax, Inc. ................ 4,475 138,233
FTI Consulting, Inc. (a)...... 1,799 84,841
IHS, Inc. (Class A) (a)....... 1,688 92,519
Manpower, Inc. ............... 2,958 161,448
Robert Half International,
Inc. (b).................... 5,361 143,299
The Dun & Bradstreet Corp. ... 1,913 161,400
Verisk Analytics, Inc. (Class
A) (a)...................... 3,218 97,441
Watson Wyatt Worldwide, Inc.
(Class A)................... 1,501 71,327
------------
950,508
------------
REAL ESTATE INVESTMENT TRUSTS -- 0.9%
Digital Realty Trust, Inc.
(b)......................... 2,481 124,745
Public Storage................ 4,755 387,295
Simon Property Group, Inc.
(b)......................... 10,634 848,593
Ventas, Inc. ................. 5,644 246,868
------------
1,607,501
------------
REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.1%
CB Richard Ellis Group, Inc.
(Class A) (a)............... 8,584 116,485
------------
ROAD & RAIL -- 1.7%
Burlington Northern Santa Fe
Corp. ...................... 10,234 1,009,277
CSX Corp. .................... 14,524 704,269
Hertz Global Holdings, Inc.
(a)(b)...................... 6,442 76,789
J.B. Hunt Transport Services,
Inc. ....................... 3,463 111,751
Kansas City Southern (a)...... 3,608 120,110
Union Pacific Corp. .......... 18,616 1,189,562
------------
3,211,758
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.3%
Advanced Micro Devices, Inc.
(a)......................... 21,654 209,611
Altera Corp. ................. 10,625 240,444
Analog Devices, Inc. ......... 10,599 334,716
Applied Materials, Inc. ...... 49,885 695,397
Broadcom Corp. (Class A) (a).. 15,775 496,124
Cree, Inc. (a)................ 3,535 199,268
KLA-Tencor Corp. (b).......... 6,383 230,809
Lam Research Corp. (a)........ 4,823 189,110
Linear Technology Corp. (b)... 7,802 238,273
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES LARGE CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
LSI Logic Corp. (a)........... 22,845 $ 137,298
Marvell Technology Group, Ltd.
(a)......................... 17,856 370,512
Maxim Integrated Products,
Inc. ....................... 11,213 227,624
MEMC Electronic Materials,
Inc. (a).................... 8,004 109,015
Micron Technology, Inc.
(a)(b)...................... 31,734 335,111
National Semiconductor Corp.
(b)......................... 9,014 138,455
NVIDIA Corp. (a).............. 19,712 368,220
ON Semiconductor Corp. (a).... 15,596 137,401
Texas Instruments, Inc. ...... 47,219 1,230,527
Varian Semiconductor Equipment
Associates, Inc. (a)(b)..... 2,572 92,283
Xilinx, Inc. (b).............. 10,290 257,867
------------
6,238,065
------------
SOFTWARE -- 8.9%
Activision Blizzard, Inc.
(a)......................... 20,961 232,877
Adobe Systems, Inc. (a)....... 19,480 716,474
Ansys, Inc. (a)............... 3,181 138,246
Autodesk, Inc. (a)............ 8,515 216,366
BMC Software, Inc. (a)........ 6,837 274,164
CA, Inc. ..................... 15,670 351,948
Citrix Systems, Inc. (a)...... 6,736 280,285
Electronic Arts, Inc. (a)..... 11,998 212,964
Factset Research Systems, Inc.
(b)......................... 1,537 101,242
Intuit, Inc. (a).............. 10,929 335,630
McAfee, Inc. (a).............. 5,654 229,383
Microsoft Corp. .............. 291,920 8,900,641
Nuance Communications, Inc.
(a)(b)...................... 7,733 120,171
Oracle Corp. ................. 141,461 3,471,453
Red Hat, Inc. (a)............. 6,754 208,699
Rovi Corp. (a)................ 3,720 118,556
Salesforce.com, Inc. (a)(b)... 3,854 284,309
Sybase, Inc. (a).............. 3,169 137,535
Symantec Corp. (a)............ 30,725 549,670
Vmware, Inc. (Class A)
(a)(b)...................... 1,376 58,315
------------
16,938,928
------------
SPECIALTY RETAIL -- 2.8%
Abercrombie & Fitch Co. (Class
A).......................... 3,086 107,547
Advance Auto Parts, Inc. ..... 3,350 135,608
American Eagle Outfitters,
Inc. ....................... 6,449 109,504
AutoZone, Inc. (a)............ 1,131 178,777
Bed Bath & Beyond, Inc. (a)... 9,836 379,965
Best Buy Co., Inc. ........... 12,612 497,670
CarMax, Inc. (a)(b)........... 7,555 183,209
GameStop Corp. (Class A)
(a)(b)...................... 5,885 129,117
Guess ?, Inc. ................ 2,151 90,987
Lowe's Cos., Inc. ............ 54,213 1,268,042
O'Reilly Automotive, Inc.
(a)......................... 5,136 195,784
PetSmart, Inc. ............... 4,509 120,345
Ross Stores, Inc. ............ 4,585 195,826
Staples, Inc. ................ 26,187 643,938
The Sherwin-Williams Co. (b).. 3,502 215,898
The TJX Cos., Inc. ........... 15,387 562,395
Tiffany & Co. ................ 4,593 197,499
Urban Outfitters, Inc. (a).... 4,736 165,713
------------
5,377,824
------------
TEXTILES, APPAREL & LUXURY GOODS -- 0.7%
Coach, Inc. .................. 11,873 433,721
NIKE, Inc. (Class B).......... 9,970 658,718
Polo Ralph Lauren Corp. ...... 2,176 176,212
------------
1,268,651
------------
THRIFTS & MORTGAGE FINANCE -- 0.2%
Hudson City Bancorp, Inc. .... 17,867 245,314
TFS Financial Corp. .......... 3,328 40,402
------------
285,716
------------
TRADING COMPANIES & DISTRIBUTORS -- 0.3%
Fastenal Co. (b).............. 5,230 217,777
MSC Industrial Direct Co.,
Inc. (Class A).............. 1,531 71,957
W.W. Grainger, Inc. .......... 2,340 226,582
------------
516,316
------------
WIRELESS TELECOMMUNICATION SERVICES -- 0.7%
American Tower Corp. (Class A)
(a)......................... 14,698 635,101
Crown Castle International
Corp. (a)................... 9,043 353,039
MetroPCS Communications, Inc.
(a)(b)...................... 8,705 66,419
NII Holdings, Inc. (a)........ 6,167 207,088
SBA Communications Corp.
(Class A) (a)(b)............ 4,128 141,012
------------
1,402,659
------------
TOTAL COMMON STOCKS --
(Cost $198,210,608)......... 188,949,671
------------
RIGHTS -- 0.0% (c)
DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.0% (c)
Clearwire Corp. (expiring
6/21/10) (a)
(Cost $0)................... 2,502 1,001
------------
SHORT TERM INVESTMENTS -- 3.7%
MONEY MARKET FUNDS -- 3.7%
State Street Institutional
Liquid Reserves Fund (e).... 389,638 389,638
State Street Navigator
Securities Lending Prime
Portfolio (e)(f)............ 6,723,757 6,723,757
------------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $7,113,395)........... 7,113,395
------------
TOTAL INVESTMENTS -- 103.4%
(g)
(Cost $205,324,003)......... 196,064,067
OTHER ASSETS AND
LIABILITIES -- (3.4)%....... (6,480,141)
------------
NET ASSETS -- 100.0%.......... $189,583,926
============
</Table>
(a) Non-income producing security.
(b) Security, or portion thereof, was on loan at December 31, 2009.
(c) Amount shown represents less than 0.05% of net assets.
(d) Affiliated issuer. (Note 3)
(e) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3)
(f) Investments of cash collateral for securities loaned.
(g) Unless otherwise indicated, the values of the securities of the Fund are
determined based on Level 1 inputs. (Note 2)
See accompanying notes to financial statements.
SPDR DOW JONES LARGE CAP VALUE ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.7%
AEROSPACE & DEFENSE -- 3.9%
Alliant Techsystems, Inc.
(a)(b)...................... 686 $ 60,553
Boeing Co. ................... 12,636 683,987
General Dynamics Corp. ....... 6,242 425,517
Honeywell International,
Inc. ....................... 13,324 522,301
L-3 Communications Holdings,
Inc. ....................... 2,246 195,290
Lockheed Martin Corp. ........ 5,859 441,476
Northrop Grumman Corp. ....... 5,562 310,638
Raytheon Co. ................. 7,387 380,578
United Technologies Corp. .... 16,550 1,148,735
------------
4,169,075
------------
AIR FREIGHT & LOGISTICS -- 0.7%
United Parcel Service, Inc.
(Class B)................... 13,447 771,454
------------
AUTO COMPONENTS -- 0.3%
Johnson Controls, Inc. ....... 12,941 352,513
------------
AUTOMOBILES -- 0.7%
Ford Motor Co. (a)............ 61,620 616,200
Harley-Davidson, Inc. (b)..... 4,582 115,466
------------
731,666
------------
BEVERAGES -- 2.8%
Brown-Forman Corp. (Class B).. 2,042 109,390
Coca-Cola Enterprises, Inc. .. 6,181 131,037
Constellation Brands, Inc.
(Class A) (a)............... 3,794 60,438
Dr. Pepper Snapple Group,
Inc. ....................... 4,551 128,793
Molson Coors Brewing Co.
(Class B)................... 2,869 129,564
PepsiAmericas, Inc. .......... 1,168 34,176
The Coca-Cola Co. ............ 40,747 2,322,579
The Pepsi Bottling Group,
Inc. ....................... 2,629 98,588
------------
3,014,565
------------
BIOTECHNOLOGY -- 0.1%
Dendreon Corp. (a)............ 2,139 56,213
Talecris Biotherapeutics
Holdings Corp. (a).......... 1,000 22,270
------------
78,483
------------
BUILDING PRODUCTS -- 0.1%
Masco Corp. .................. 6,992 96,559
------------
CAPITAL MARKETS -- 3.1%
Ameriprise Financial, Inc. ... 5,036 195,498
Federated Investors, Inc.
(Class B) (b)............... 1,889 51,947
Invesco, Ltd. ................ 7,783 182,823
Legg Mason, Inc. (b).......... 3,137 94,612
Morgan Stanley................ 23,673 700,721
The Bank of New York Mellon
Corp. ...................... 22,924 641,184
The Goldman Sachs Group,
Inc. ....................... 8,225 1,388,709
------------
3,255,494
------------
CHEMICALS -- 1.9%
Air Products & Chemicals,
Inc. ....................... 3,770 305,596
CF Industries Holdings,
Inc. ....................... 1,069 97,044
E. I. du Pont de Nemours &
Co. ........................ 16,377 551,414
Eastman Chemical Co. (b)...... 1,328 79,999
International Flavors &
Fragrances, Inc. ........... 1,639 67,428
PPG Industries, Inc. ......... 3,131 183,289
The Dow Chemical Co. ......... 22,093 610,429
The Scotts Miracle-Gro Co.
(Class A)................... 877 34,475
The Valspar Corp. ............ 1,652 44,835
------------
1,974,509
------------
COMMERCIAL BANKS -- 4.8%
BB&T Corp. ................... 12,808 324,939
BOK Financial Corp. (b)....... 388 18,438
City National Corp. (b)....... 899 40,994
Comerica, Inc. ............... 2,950 87,232
Commerce Bancshares, Inc. .... 1,397 54,092
Cullen/Frost Bankers, Inc.
(b)......................... 1,071 53,550
Fifth Third Bancorp........... 14,886 145,138
First Horizon National Corp.
(a)......................... 4,046 54,212
Keycorp....................... 17,790 98,735
M&T Bank Corp. ............... 1,357 90,770
PNC Financial Services Group,
Inc. ....................... 8,717 460,170
Regions Financial Corp. ...... 21,497 113,719
SunTrust Banks, Inc. (b)...... 9,781 198,456
U.S. Bancorp.................. 36,878 830,124
Wells Fargo & Co. ............ 93,845 2,532,877
------------
5,103,446
------------
COMMERCIAL SERVICES & SUPPLIES -- 0.7%
Avery Dennison Corp. ......... 2,105 76,811
Pitney Bowes, Inc. ........... 4,095 93,202
R.R. Donnelley & Sons Co. .... 4,162 92,688
Republic Services, Inc. ...... 6,116 173,144
Waste Management, Inc. (b).... 8,842 298,948
------------
734,793
------------
COMPUTERS & PERIPHERALS -- 3.1%
International Business
Machines Corp. ............. 25,308 3,312,817
------------
CONSUMER FINANCE -- 1.2%
American Express Co. ......... 20,142 816,154
Capital One Financial Corp. .. 8,458 324,280
SLM Corp. (a)................. 9,038 101,858
------------
1,242,292
------------
CONTAINERS & PACKAGING -- 0.3%
Aptargroup, Inc. ............. 1,266 45,247
Bemis Co., Inc. .............. 1,984 58,825
Owens-Illinois, Inc. (a)...... 3,253 106,926
Sealed Air Corp. ............. 2,917 63,766
Sonoco Products Co. .......... 2,051 59,992
------------
334,756
------------
DISTRIBUTORS -- 0.1%
Genuine Parts Co. ............ 3,082 116,993
------------
DIVERSIFIED CONSUMER SERVICES -- 0.1%
H&R Block, Inc. .............. 6,627 149,903
------------
DIVERSIFIED FINANCIAL SERVICES -- 6.6%
Bank of America Corp. ........ 165,743 2,496,090
Citigroup, Inc. .............. 394,449 1,305,626
JPMorgan Chase & Co. ......... 75,466 3,144,668
NYSE Euronext................. 4,865 123,084
------------
7,069,468
------------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 5.2%
AT&T, Inc. ................... 113,811 3,190,122
CenturyTel, Inc. ............. 5,740 207,845
Frontier Communications Corp.
(b)......................... 5,995 46,821
Level 3 Communications, Inc.
(a)......................... 28,858 44,153
Qwest Communications
International, Inc. (b)..... 27,336 115,085
Verizon Communications,
Inc. ....................... 54,763 1,814,298
Windstream Corp. (b).......... 8,071 88,700
------------
5,507,024
------------
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES LARGE CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
ELECTRIC UTILITIES -- 3.6%
American Electric Power Co.,
Inc. ....................... 8,925 $ 310,501
DPL, Inc. .................... 2,433 67,151
Duke Energy Corp. ............ 24,209 416,637
Edison International.......... 5,627 195,707
Entergy Corp. ................ 3,644 298,225
Exelon Corp. ................. 12,751 623,141
FirstEnergy Corp. ............ 5,751 267,134
FPL Group, Inc. .............. 7,319 386,590
Northeast Utilities........... 3,414 88,047
NV Energy, Inc. .............. 4,581 56,713
Pepco Holdings, Inc. ......... 4,238 71,410
Pinnacle West Capital Corp. .. 1,932 70,673
PPL Corp. .................... 6,940 224,231
Progress Energy, Inc. ........ 5,451 223,545
The Southern Co. ............. 15,185 505,964
Westar Energy, Inc. .......... 2,144 46,568
------------
3,852,237
------------
ELECTRICAL EQUIPMENT -- 0.2%
Hubbell, Inc. (Class B)....... 989 46,780
Rockwell Automation, Inc.
(b)......................... 2,687 126,235
------------
173,015
------------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.1%
Ingram Micro, Inc. (Class A)
(a)......................... 3,137 54,741
Molex, Inc. (b)............... 2,331 50,233
------------
104,974
------------
ENERGY EQUIPMENT & SERVICES -- 0.0% (C)
Tidewater, Inc. .............. 975 46,751
------------
FOOD & STAPLES RETAILING -- 0.7%
Safeway, Inc. ................ 7,769 165,402
SUPERVALU, Inc. .............. 4,489 57,055
Sysco Corp. .................. 11,092 309,911
The Kroger Co. ............... 11,397 233,980
------------
766,348
------------
FOOD PRODUCTS -- 2.9%
Archer-Daniels-Midland Co. ... 11,393 356,715
Bunge, Ltd. .................. 2,366 151,022
Campbell Soup Co. ............ 4,147 140,169
ConAgra Foods, Inc. .......... 8,465 195,118
General Mills, Inc. .......... 5,836 413,247
H.J. Heinz Co. ............... 5,856 250,402
Hormel Foods Corp. ........... 1,390 53,445
Kellogg Co. .................. 4,513 240,092
Kraft Foods, Inc. (Class A)
(a)......................... 25,782 700,755
McCormick & Co., Inc. (b)..... 2,313 83,569
Sara Lee Corp. ............... 12,956 157,804
Smithfield Foods, Inc. (a).... 2,803 42,578
The Hershey Co. (b)........... 3,133 112,130
The J.M. Smucker Co. ......... 2,338 144,371
Tyson Foods, Inc. (Class A)... 5,693 69,853
------------
3,111,270
------------
GAS UTILITIES -- 0.3%
AGL Resources, Inc. .......... 1,459 53,210
Atmos Energy Corp. ........... 1,753 51,538
Energen Corp. ................ 1,363 63,788
National Fuel Gas Co. ........ 1,342 67,100
Piedmont Natural Gas Co., Inc.
(b)......................... 1,363 36,460
UGI Corp. .................... 2,146 51,912
------------
324,008
------------
HEALTH CARE EQUIPMENT & SUPPLIES -- 0.0% (c)
Teleflex, Inc. ............... 778 41,926
------------
HEALTH CARE PROVIDERS & SERVICES -- 0.6%
Cardinal Health, Inc. ........ 7,016 226,196
CIGNA Corp. .................. 5,286 186,437
Humana, Inc. (a).............. 3,211 140,931
Omnicare, Inc. ............... 2,139 51,721
Universal Health Services,
Inc. (Class B).............. 1,902 58,011
------------
663,296
------------
HOTELS, RESTAURANTS & LEISURE -- 1.6%
Hyatt Hotels Corp. (Class A)
(a)......................... 900 26,829
Marriott International, Inc.
(Class A)................... 5,855 159,549
McDonald's Corp. ............. 20,628 1,288,012
Royal Caribbean Cruises, Ltd.
(a)(b)...................... 2,613 66,057
Starwood Hotels & Resorts
Worldwide, Inc. (b)......... 3,304 120,827
------------
1,661,274
------------
HOUSEHOLD DURABLES -- 0.6%
D.R. Horton, Inc. (b)......... 5,344 58,089
Fortune Brands, Inc. ......... 2,918 126,057
Leggett & Platt, Inc. ........ 2,957 60,323
Mohawk Industries, Inc. (a)... 1,173 55,835
Newell Rubbermaid, Inc. (b)... 5,368 80,574
The Black & Decker Corp. ..... 1,131 73,323
Toll Brothers, Inc. (a)(b).... 2,531 47,608
Whirlpool Corp. (b)........... 1,448 116,796
------------
618,605
------------
HOUSEHOLD PRODUCTS -- 3.8%
Kimberly-Clark Corp. ......... 7,998 509,553
Procter & Gamble Co. ......... 56,161 3,405,041
The Clorox Co. ............... 2,727 166,347
------------
4,080,941
------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.2%
Dynegy, Inc. (Class A) (a).... 8,440 15,276
Mirant Corp. (a).............. 2,624 40,069
NRG Energy, Inc. (a).......... 4,962 117,153
------------
172,498
------------
INDUSTRIAL CONGLOMERATES -- 3.9%
3M Co. ....................... 12,253 1,012,955
General Electric Co. ......... 202,282 3,060,527
Textron, Inc. (b)............. 4,896 92,094
------------
4,165,576
------------
INSURANCE -- 5.1%
AFLAC, Inc. .................. 8,962 414,493
Alleghany Corp. (a)........... 138 38,088
Allied World Assurance Company
Holdings, Ltd. ............. 682 31,420
American Financial Group,
Inc. ....................... 1,460 36,427
American International Group,
Inc. (a)(b)................. 2,310 69,254
AON Corp. .................... 4,518 173,220
Arch Capital Group, Ltd. (a).. 1,092 78,133
Assurant, Inc. ............... 2,272 66,979
Axis Capital Holdings, Ltd. .. 2,725 77,417
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES LARGE CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Chubb Corp. .................. 6,588 $ 323,998
Cincinnati Financial Corp. ... 2,956 77,565
CNA Financial Corp. (a)(b).... 600 14,400
Everest Re Group, Ltd. ....... 1,109 95,019
Fidelity National Financial,
Inc. (Class A).............. 4,561 61,391
First American Corp. ......... 2,358 78,073
Genworth Financial, Inc.
(Class A) (a)............... 9,099 103,274
Hartford Financial Services
Group, Inc. ................ 7,474 173,845
HCC Insurance Holdings,
Inc. ....................... 2,247 62,849
Lincoln National Corp. ....... 5,844 145,399
Loews Corp. .................. 6,646 241,582
Markel Corp. (a)(b)........... 177 60,180
Marsh & McLennan Cos., Inc. .. 10,095 222,898
MetLife, Inc. ................ 10,901 385,350
Old Republic International
Corp. (b)................... 4,373 43,905
PartnerRe, Ltd. .............. 1,134 84,664
Principal Financial Group,
Inc. ....................... 5,712 137,316
Prudential Financial, Inc. ... 8,740 434,902
Reinsurance Group of America,
Inc. ....................... 1,461 69,617
RenaissanceRe Holdings,
Ltd. ....................... 1,156 61,441
The Allstate Corp. ........... 10,095 303,254
The Hanover Insurance Group,
Inc. ....................... 975 43,319
The Progressive Corp. (a)..... 11,869 213,523
The Travelers Cos., Inc. ..... 10,490 523,031
Torchmark Corp. .............. 1,638 71,990
Transatlantic Holdings,
Inc. ....................... 1,147 59,770
Unum Group.................... 6,466 126,216
W.R. Berkley Corp. ........... 2,626 64,705
Wesco Financial Corp. ........ 48 16,464
White Mountains Insurance
Group, Ltd. ................ 145 48,236
XL Capital, Ltd. (Class A).... 6,321 115,864
------------
5,449,471
------------
INTERNET & CATALOG RETAIL -- 0.1%
Liberty Media
Corp -- Interactive (Class
A) (a)...................... 10,990 119,132
------------
INTERNET SOFTWARE & SERVICES -- 0.1%
AOL, Inc. (a)................. 2,088 48,609
------------
IT SERVICES -- 0.2%
Computer Sciences Corp. (a)... 2,951 169,771
------------
LEISURE EQUIPMENT & PRODUCTS -- 0.2%
Hasbro, Inc. ................. 2,412 77,329
Mattel, Inc. ................. 7,036 140,579
------------
217,908
------------
MACHINERY -- 0.4%
Eaton Corp. .................. 3,230 205,493
Pentair, Inc. ................ 1,913 61,790
SPX Corp. .................... 1,028 56,232
The Stanley Works............. 1,601 82,467
------------
405,982
------------
MEDIA -- 2.9%
CBS Corp. .................... 11,846 166,436
Interactive Data Corp. ....... 580 14,674
News Corp. (Class A).......... 44,408 607,946
The McGraw-Hill Cos., Inc. ... 5,835 195,531
The Walt Disney Co. .......... 33,993 1,096,274
Time Warner, Inc. ............ 22,478 655,009
Viacom, Inc. (a).............. 10,125 301,016
Virgin Media, Inc. (b)........ 5,650 95,090
------------
3,131,976
------------
METALS & MINING -- 0.1%
Allegheny Technologies, Inc.
(b)......................... 1,653 74,005
------------
MULTI-UTILITIES -- 2.7%
Alliant Energy Corp. ......... 2,111 63,879
Ameren Corp. ................. 4,121 115,182
CenterPoint Energy, Inc. ..... 7,024 101,918
CMS Energy Corp. (b).......... 4,356 68,215
Consolidated Edison, Inc. .... 5,180 235,327
Dominion Resources, Inc. ..... 11,532 448,825
DTE Energy Co. ............... 3,225 140,578
Integrys Energy Group, Inc.
(b)......................... 1,482 62,229
MDU Resources Group, Inc. .... 3,111 73,420
NiSource, Inc. ............... 5,346 82,221
NSTAR......................... 2,081 76,581
OGE Energy Corp. ............. 1,849 68,210
PG&E Corp. ................... 7,176 320,408
Public Service Enterprise
Group, Inc. ................ 9,538 317,139
SCANA Corp. .................. 2,146 80,861
Sempra Energy................. 4,203 235,284
TECO Energy, Inc. ............ 3,848 62,415
Vectren Corp. ................ 1,558 38,451
Wisconsin Energy Corp. ....... 2,320 115,606
Xcel Energy, Inc. ............ 8,795 186,630
------------
2,893,379
------------
MULTILINE RETAIL -- 0.2%
J. C. Penney Co., Inc. ....... 3,892 103,566
Macy's, Inc. ................. 8,198 137,399
------------
240,965
------------
OFFICE ELECTRONICS -- 0.1%
Xerox Corp. (b)............... 16,245 137,433
------------
OIL, GAS & CONSUMABLE FUELS -- 12.4%
Apache Corp. ................. 6,381 658,328
Chevron Corp. ................ 38,378 2,954,722
ConocoPhillips................ 25,004 1,276,954
Devon Energy Corp. ........... 7,942 583,737
El Paso Corp. ................ 13,824 135,890
Exxon Mobil Corp. ............ 90,932 6,200,653
Forest Oil Corp. (a)(b)....... 2,016 44,856
Marathon Oil Corp. ........... 13,730 428,651
Newfield Exploration Co. (a).. 2,534 122,215
Pioneer Natural Resources
Co. ........................ 2,154 103,758
Spectra Energy Corp. ......... 12,005 246,222
Sunoco, Inc. ................. 2,138 55,802
The Williams Cos., Inc. ...... 10,799 227,643
Valero Energy Corp. .......... 10,507 175,992
------------
13,215,423
------------
PAPER & FOREST PRODUCTS -- 0.4%
International Paper Co. ...... 7,684 205,777
MeadWestvaco Corp. ........... 2,778 79,534
Weyerhaeuser Co. ............. 4,142 178,686
------------
463,997
------------
PERSONAL PRODUCTS -- 0.2%
Alberto-Culver Co. ........... 1,655 48,475
Mead Johnson Nutrition Co..... 3,881 169,600
------------
218,075
------------
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES LARGE CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
PHARMACEUTICALS -- 11.0%
Abbott Laboratories........... 29,526 $ 1,594,109
Bristol-Myers Squibb Co. ..... 32,504 820,726
Eli Lilly & Co. .............. 18,921 675,669
Forest Laboratories, Inc.
(a)......................... 5,945 190,894
Johnson & Johnson............. 53,017 3,414,825
King Pharmaceuticals, Inc.
(a)......................... 4,775 58,589
Merck & Co., Inc. ............ 58,412 2,134,374
Pfizer, Inc. ................. 154,238 2,805,589
------------
11,694,775
------------
REAL ESTATE INVESTMENT TRUSTS -- 2.0%
AMB Property Corp. ........... 2,733 69,828
Annaly Capital Management,
Inc. ....................... 10,591 183,754
Avalonbay Communities, Inc.
(b)......................... 1,592 130,719
Boston Properties, Inc. ...... 2,696 180,821
Equity Residential............ 5,294 178,831
Federal Realty Investment
Trust (b)................... 1,126 76,253
HCP, Inc. .................... 5,588 170,658
Health Care REIT, Inc. ....... 2,243 99,410
Host Hotels & Resorts, Inc.
(a)......................... 11,849 138,278
Kimco Realty Corp. ........... 7,257 98,187
Liberty Property Trust........ 2,073 66,357
Nationwide Health Properties,
Inc. ....................... 1,947 68,495
Plum Creek Timber Co., Inc.
(b)......................... 3,117 117,698
ProLogis (b).................. 9,096 124,524
Rayonier, Inc. ............... 1,638 69,058
Realty Income Corp. (b)....... 2,045 52,986
Regency Centers Corp. (b)..... 1,553 54,448
Vornado Realty Trust.......... 3,484 243,671
------------
2,123,976
------------
REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.1%
Brookfield Properties Corp.
(b)......................... 5,012 60,746
The St. Joe Co. (a)(b)........ 1,753 50,644
------------
111,390
------------
ROAD & RAIL -- 0.4%
Norfolk Southern Corp. ....... 6,911 362,275
Ryder Systems, Inc. .......... 1,048 43,146
------------
405,421
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.1%
Intel Corp. .................. 106,525 2,173,110
Microchip Technology, Inc.
(b)......................... 3,405 98,949
------------
2,272,059
------------
SOFTWARE -- 0.1%
Synopsys, Inc. (a)............ 2,803 62,451
------------
SPECIALTY RETAIL -- 1.2%
AutoNation, Inc. (a)(b)....... 1,261 24,148
Limited Brands, Inc. ......... 5,349 102,915
The Gap, Inc. ................ 9,536 199,779
The Home Depot, Inc. ......... 32,613 943,494
------------
1,270,336
------------
TEXTILES, APPAREL & LUXURY GOODS -- 0.1%
V. F. Corp. .................. 1,665 121,945
------------
THRIFTS & MORTGAGE FINANCE -- 0.2%
Capitol Federal Financial
(b)......................... 389 12,238
New York Community Bancorp,
Inc. ....................... 8,142 118,141
People's United Financial,
Inc. ....................... 6,649 111,038
------------
241,417
------------
TOBACCO -- 2.8%
Altria Group, Inc. ........... 39,485 775,090
Lorillard, Inc. .............. 3,142 252,083
Philip Morris International,
Inc. ....................... 36,477 1,757,827
Reynolds American, Inc. ...... 3,286 174,059
------------
2,959,059
------------
WATER UTILITIES -- 0.1%
American Water Works Co.,
Inc. ....................... 1,909 42,780
Aqua America, Inc. (b)........ 2,629 46,034
------------
88,814
------------
WIRELESS TELECOMMUNICATION SERVICES -- 0.3%
Sprint Nextel Corp. (a)....... 53,290 195,041
Telephone & Data Systems,
Inc. ....................... 1,750 59,360
US Cellular Corp. (a)......... 293 12,426
------------
266,827
------------
TOTAL COMMON STOCKS --
(Cost $117,128,466)......... 106,203,125
------------
SHORT TERM INVESTMENTS -- 1.9%
MONEY MARKET FUNDS -- 1.9%
State Street Institutional
Liquid Reserves Fund (d).... 140,646 140,646
State Street Navigator
Securities Lending Prime
Portfolio (d)(e)............ 1,841,327 1,841,327
------------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $1,981,973)........... 1,981,973
------------
TOTAL INVESTMENTS -- 101.6%
(f)
(Cost $119,110,439)......... 108,185,098
OTHER ASSETS AND
LIABILITIES -- (1.6)%....... (1,694,957)
------------
NET ASSETS -- 100.0%.......... $106,490,141
============
</Table>
(a) Non-income producing security.
(b) Security, or portion thereof, was on loan as of December 31, 2009.
(c) Amount shown represents less than 0.05% of net assets.
(d) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3)
(e) Investments of cash collateral for securities loaned.
(f) Unless otherwise indicated, the values of the securities of the Fund are
determined based on Level 1 inputs. (Note 2)
See accompanying notes to financial statements.
SPDR DOW JONES MID CAP ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.8%
AEROSPACE & DEFENSE -- 0.7%
Alliant Techsystems, Inc.
(a)(b)...................... 1,231 $ 108,660
Curtiss-Wright Corp. ......... 1,692 52,994
Spirit Aerosystems Holdings,
Inc. (a)(b)................. 3,819 75,845
TransDigm Group, Inc. (b)..... 1,395 66,249
------------
303,748
------------
AIR FREIGHT & LOGISTICS -- 0.1%
UTI Worldwide, Inc. .......... 3,685 52,769
------------
AIRLINES -- 0.5%
AMR Corp. (a)(b).............. 12,441 96,169
Continental Airlines, Inc.
(Class B) (a)(b)............ 5,162 92,503
JetBlue Airways Corp. (a)(b).. 9,168 49,966
------------
238,638
------------
AUTO COMPONENTS -- 1.0%
BorgWarner, Inc. (b).......... 4,331 143,876
Gentex Corp. (b).............. 5,152 91,963
Lear Corp. (a)................ 1,277 86,376
The Goodyear Tire & Rubber Co.
(a)(b)...................... 8,964 126,393
------------
448,608
------------
BEVERAGES -- 0.6%
Constellation Brands, Inc.
(Class A) (a)............... 7,356 117,181
Hansen Natural Corp. (a)(b)... 2,673 102,643
PepsiAmericas, Inc. .......... 2,318 67,825
------------
287,649
------------
BIOTECHNOLOGY -- 2.2%
Alexion Pharmaceuticals, Inc.
(a)(b)...................... 3,306 161,399
Amylin Pharmaceuticals, Inc.
(a)(b)...................... 4,789 67,956
BioMarin Pharmaceutical, Inc.
(a)(b)...................... 3,757 70,669
Dendreon Corp. (a)............ 4,914 129,140
Human Genome Sciences, Inc.
(a)(b)...................... 6,755 206,703
Isis Pharmaceuticals, Inc.
(a)(b)...................... 3,449 38,284
Onyx Pharmaceuticals, Inc.
(a)(b)...................... 2,137 62,699
OSI Pharmaceuticals, Inc.
(a)(b)...................... 2,169 67,304
Regeneron Pharmaceuticals,
Inc. (a)(b)................. 2,327 56,267
Talecris Biotherapeutics
Holdings Corp. (a).......... 1,843 41,044
United Therapeutics Corp.
(a)(b)...................... 1,744 91,822
------------
993,287
------------
BUILDING PRODUCTS -- 0.4%
Lennox International, Inc.
(b)......................... 1,955 76,323
Owens Corning, Inc. (a)(b).... 3,728 95,586
------------
171,909
------------
CAPITAL MARKETS -- 2.3%
Affiliated Managers Group,
Inc. (a)(b)................. 1,557 104,864
Eaton Vance Corp. ............ 4,364 132,709
Federated Investors, Inc.
(Class B) (b)............... 3,834 105,435
Greenhill & Co., Inc. ........ 973 78,073
Jefferies Group, Inc. (a)(b).. 4,159 98,693
Knight Capital Group, Inc.
(Class A) (a)(b)............ 3,514 54,116
Legg Mason, Inc. (b).......... 6,019 181,533
Raymond James Financial, Inc.
(b)......................... 3,696 87,854
SEI Investments Co. .......... 5,823 102,019
Waddell & Reed Financial, Inc.
(Class A)................... 3,241 98,980
------------
1,044,276
------------
CHEMICALS -- 3.0%
Albemarle Corp. (b)........... 3,408 123,949
Celanese Corp. (Series A)..... 5,390 173,019
Eastman Chemical Co. (b)...... 2,549 153,552
International Flavors &
Fragrances, Inc. ........... 2,928 120,458
Intrepid Potash, Inc. (a)(b).. 1,576 45,972
Lubrizol Corp. ............... 2,517 183,615
Nalco Holding Co. (b)......... 5,128 130,815
RPM International, Inc. (b)... 4,811 97,808
Sensient Technologies Corp.
(b)......................... 1,811 47,629
Terra Industries, Inc. (b).... 3,716 119,618
The Scotts Miracle-Gro Co.
(Class A)................... 1,639 64,429
The Valspar Corp. (b)......... 3,474 94,284
------------
1,355,148
------------
COMMERCIAL BANKS -- 3.2%
Associated Ban-Corp. (b)...... 4,416 48,620
BancorpSouth, Inc. (b)........ 2,943 69,043
Bank of Hawaii Corp. (b)...... 1,785 84,002
BOK Financial Corp. (b)....... 830 39,442
City National Corp. (b)....... 1,576 71,866
Comerica, Inc. (b)............ 5,651 167,100
Commerce Bancshares, Inc.
(b)......................... 2,519 97,536
Cullen/Frost Bankers, Inc.
(b)......................... 2,090 104,500
First Citizens BancShares,
Inc. (Class A).............. 215 35,262
First Horizon National Corp.
(a)(b)...................... 8,234 110,336
FirstMerit Corp. (b).......... 3,200 64,448
Fulton Financial Corp. (b).... 6,497 56,654
Marshall & Ilsley Corp. (b)... 18,872 102,852
Prosperity Bancshares, Inc.
(b)......................... 1,738 70,337
Synovus Financial Corp. (b)... 15,624 32,029
TCF Financial Corp. (b)....... 4,471 60,895
UMB Financial Corp. (b)....... 1,233 48,518
Valley National Bancorp (b)... 5,302 74,917
Westamerica Bancorporation
(b)......................... 1,075 59,523
Zions Bancorporation (b)...... 5,172 66,357
------------
1,464,237
------------
COMMERCIAL SERVICES & SUPPLIES -- 1.9%
Avery Dennison Corp. (b)...... 4,219 153,951
Clean Harbors, Inc. (a)(b).... 850 50,669
Copart, Inc. (a).............. 2,784 101,978
Corrections Corp. of America
(a)(b)...................... 4,335 106,424
Covanta Holding Corp. (a)..... 4,843 87,610
KAR Auction Services, Inc.
(a)......................... 861 11,873
R.R. Donnelley & Sons Co. .... 7,672 170,855
Rollins, Inc. (b)............. 1,902 36,671
Tetra Tech, Inc. (a).......... 2,274 61,785
Waste Connections, Inc.
(a)(b)...................... 2,965 98,853
------------
880,669
------------
COMMUNICATIONS EQUIPMENT -- 1.0%
Brocade Communications
Systems, Inc. (a)(b)........ 15,673 119,585
EchoStar Corp. (Class A) (a).. 1,498 30,170
F5 Networks, Inc. (a)(b)...... 2,953 156,450
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES MID CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Polycom, Inc. (a)(b).......... 3,115 $ 77,781
Tellabs, Inc. (a)(b).......... 13,537 76,890
------------
460,876
------------
COMPUTERS & PERIPHERALS -- 1.6%
Diebold, Inc. (b)............. 2,456 69,873
Lexmark International, Inc.
(Class A) (a)............... 2,934 76,225
NCR Corp. (a)................. 5,905 65,723
QLogic Corp. (a).............. 4,289 80,933
SanDisk Corp. (a)(b).......... 8,519 246,966
Teradata Corp. (a)............ 6,444 202,535
------------
742,255
------------
CONSTRUCTION & ENGINEERING -- 1.2%
Aecom Technology Corp.
(a)(b)...................... 3,603 99,083
EMCOR Group, Inc. (a)(b)...... 2,445 65,771
Granite Construction, Inc.
(b)......................... 1,267 42,647
KBR, Inc. .................... 6,031 114,589
The Shaw Group, Inc. (a)(b)... 3,123 89,786
URS Corp. (a)(b).............. 3,116 138,724
------------
550,600
------------
CONTAINERS & PACKAGING -- 1.8%
Aptargroup, Inc. ............. 2,340 83,632
Bemis Co., Inc. .............. 4,025 119,341
Greif, Inc. (Class A) (b)..... 1,277 68,932
Packaging Corp. of America
(b)......................... 3,832 88,174
Pactiv Corp. (a)(b)........... 4,926 118,914
Rock-Tenn Co. (Class A) (b)... 1,423 71,733
Sealed Air Corp. ............. 5,893 128,821
Silgan Holdings, Inc. ........ 942 54,523
Sonoco Products Co. .......... 3,706 108,401
------------
842,471
------------
DISTRIBUTORS -- 0.2%
LKQ Corp. (a)................. 5,225 102,358
------------
DIVERSIFIED CONSUMER SERVICES -- 0.9%
Brink's Home Security
Holdings, Inc. (a)(b)....... 1,694 55,292
Career Education Corp.
(a)(b)...................... 2,288 53,333
Corinthian Colleges, Inc.
(a)(b)...................... 2,937 40,443
Education Management Corp.
(a)(b)...................... 737 16,221
Service Corp. International
(b)......................... 9,391 76,912
Strayer Education, Inc. (b)... 524 111,345
Weight Watchers International,
Inc. (b).................... 1,310 38,200
------------
391,746
------------
DIVERSIFIED FINANCIAL SERVICES -- 0.3%
MSCI, Inc. (Class A) (a)...... 3,872 123,130
------------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.7%
Clearwire Corp. (Class A)
(a)(b)...................... 2,709 18,313
Frontier Communications Corp.
(b)......................... 11,642 90,924
Level 3 Communications, Inc.
(a)(b)...................... 60,697 92,866
tw telecom, inc. (a)(b)....... 5,548 95,093
------------
297,196
------------
ELECTRIC UTILITIES -- 2.3%
Cleco Corp. (b)............... 2,260 61,766
DPL, Inc. (b)................. 4,482 123,703
Great Plains Energy, Inc.
(b)......................... 5,054 97,997
Hawaiian Electric Industries,
Inc. (b).................... 3,407 71,206
IDACORP, Inc. (b)............. 1,769 56,520
ITC Holdings Corp. ........... 1,900 98,971
NV Energy, Inc. .............. 8,711 107,842
Pepco Holdings, Inc. (b)...... 8,273 139,400
Pinnacle West Capital Corp. .. 3,785 138,455
Portland General Electric Co.
(b)......................... 2,839 57,944
Westar Energy, Inc. (b)....... 4,080 88,618
------------
1,042,422
------------
ELECTRICAL EQUIPMENT -- 1.3%
A123 Systems, Inc. (a)........ 1,038 23,293
Acuity Brands, Inc. .......... 1,606 57,238
AMETEK, Inc. (b).............. 3,986 152,425
Brady Corp. (Class A)......... 1,768 53,058
Hubbell, Inc. (Class B) (b)... 2,068 97,816
SunPower Corp. (Class A)
(a)(b)...................... 3,606 85,390
Thomas & Betts Corp. (a)...... 1,995 71,401
Woodward Governor Co. (b)..... 2,163 55,740
------------
596,361
------------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.9%
Anixter International, Inc.
(a)......................... 1,133 53,364
Arrow Electronics, Inc. (a)... 4,459 132,031
Avnet, Inc. (a)(b)............ 5,660 170,706
AVX Corp. .................... 1,901 24,086
FLIR Systems, Inc. (a)(b)..... 5,646 184,737
Ingram Micro, Inc. (Class A)
(a)......................... 6,034 105,293
Itron, Inc. (a)(b)............ 1,506 101,760
Jabil Circuit, Inc. (b)....... 7,387 128,312
Mettler-Toledo International,
Inc. (a).................... 1,250 131,238
Molex, Inc. (b)............... 4,939 106,435
National Instruments Corp.
(b)......................... 2,313 68,118
Trimble Navigation, Ltd.
(a)(b)...................... 4,479 112,871
------------
1,318,951
------------
ENERGY EQUIPMENT & SERVICES -- 1.8%
Dresser-Rand Group, Inc.
(a)(b)...................... 3,063 96,821
Helmerich & Payne, Inc. (b)... 3,620 144,366
Oceaneering International,
Inc. (a)(b)................. 1,900 111,188
Patterson-UTI Energy, Inc.
(b)......................... 5,779 88,708
Rowan Cos., Inc. (a).......... 3,883 87,911
SEACOR Holdings, Inc. (a)(b).. 702 53,528
Superior Energy Services, Inc.
(a)......................... 2,901 70,465
Tidewater, Inc. (b)........... 1,917 91,920
Unit Corp. (a)(b)............. 1,765 75,012
------------
819,919
------------
FOOD & STAPLES RETAILING -- 0.6%
BJ's Wholesale Club, Inc.
(a)(b)...................... 2,028 66,336
SUPERVALU, Inc. (b)........... 7,901 100,422
Whole Foods Market, Inc.
(a)(b)...................... 4,160 114,192
------------
280,950
------------
FOOD PRODUCTS -- 1.7%
Corn Products International,
Inc. ....................... 2,790 81,552
Dean Foods Co. (a)(b)......... 6,724 121,301
Del Monte Foods Co. .......... 7,405 83,973
Flowers Foods, Inc. (b)....... 3,205 76,151
Fresh Del Monte Produce, Inc.
(a)......................... 1,543 34,100
Green Mountain Coffee
Roasters, Inc. (a)(b)....... 1,454 118,457
Lancaster Colony Corp. (b).... 751 37,325
Ralcorp Holdings, Inc. (a).... 2,103 125,570
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES MID CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Smithfield Foods, Inc.
(a)(b)...................... 5,780 $ 87,798
Tootsie Roll Industries, Inc.
(b)......................... 851 23,300
------------
789,527
------------
GAS UTILITIES -- 1.8%
AGL Resources, Inc. (b)....... 2,878 104,961
Atmos Energy Corp. (b)........ 3,450 101,430
Energen Corp. ................ 2,697 126,220
National Fuel Gas Co. (b)..... 2,512 125,600
New Jersey Resources Corp.
(b)......................... 1,561 58,381
Nicor, Inc. (b)............... 1,694 71,317
Piedmont Natural Gas Co., Inc.
(b)......................... 2,601 69,577
UGI Corp. .................... 4,012 97,050
WGL Holdings, Inc. (b)........ 1,857 62,284
------------
816,820
------------
HEALTH CARE EQUIPMENT & SUPPLIES -- 2.2%
Gen-Probe, Inc. (a)(b)........ 1,873 80,352
Haemonetics Corp. (a)(b)...... 961 52,999
IDEXX Laboratories, Inc.
(a)(b)...................... 2,216 118,423
Immucor, Inc. (a)(b).......... 2,585 52,320
Inverness Medical Innovations,
Inc. (a)(b)................. 3,114 129,262
Kinetic Concepts, Inc.
(a)(b)...................... 2,320 87,348
Masimo Corp. (a)(b)........... 1,962 59,684
NuVasive, Inc. (a)(b)......... 1,410 45,092
ResMed, Inc. (a)(b)........... 2,846 148,760
STERIS Corp. (b).............. 1,999 55,912
Teleflex, Inc. (b)............ 1,484 79,973
Thoratec Corp. (a)(b)......... 2,076 55,886
West Pharmaceutical Services,
Inc. (b).................... 1,213 47,550
------------
1,013,561
------------
HEALTH CARE PROVIDERS & SERVICES -- 2.7%
AMERIGROUP Corp. (a)(b)....... 1,962 52,896
athenahealth, Inc. (a)(b)..... 1,167 52,795
Community Health Systems, Inc.
(a)(b)...................... 3,476 123,746
Coventry Health Care, Inc.
(a)(b)...................... 5,529 134,299
Emdeon, Inc. (Class A)
(a)(b)...................... 876 13,359
Health Net, Inc. (a)(b)....... 3,881 90,388
LifePoint Hospitals, Inc.
(a)(b)...................... 2,050 66,645
Lincare Holdings, Inc.
(a)(b)...................... 2,525 93,728
MEDNAX, Inc. (a).............. 1,717 103,209
Omnicare, Inc. (b)............ 4,405 106,513
Owens & Minor, Inc. (b)....... 1,560 66,971
Patterson Cos., Inc. (a)(b)... 3,740 104,645
Psychiatric Solutions, Inc.
(a)(b)...................... 1,974 41,730
Universal Health Services,
Inc. (Class B) (b).......... 3,428 104,554
VCA Antech, Inc. (a)(b)....... 3,167 78,922
------------
1,234,400
------------
HEALTH CARE TECHNOLOGY -- 0.4%
Allscripts-Misys Healthcare
Solutions, Inc. (a)(b)...... 2,205 44,607
IMS Health, Inc. ............. 6,819 143,608
------------
188,215
------------
HOTELS, RESTAURANTS & LEISURE -- 2.1%
Bally Technologies, Inc.
(a)(b)...................... 2,036 84,066
Brinker International, Inc.
(b)......................... 3,787 56,502
Burger King Holdings, Inc.
(b)......................... 3,406 64,101
Chipotle Mexican Grill, Inc.
(a)......................... 1,179 103,941
Choice Hotels International,
Inc. (b).................... 1,098 34,763
International Speedway Corp.
(Class A) (b)............... 1,032 29,360
MGM MIRAGE, Inc. (a)(b)....... 9,305 84,862
Panera Bread Co. (Class A)
(a)......................... 1,158 77,551
Penn National Gaming, Inc.
(a)(b)...................... 2,513 68,303
Royal Caribbean Cruises, Ltd.
(a)(b)...................... 5,009 126,627
Scientific Games Corp. (Class
A) (a)...................... 2,563 37,292
Wendy's/Arby's Group, Inc.
(Class A) (b)............... 13,864 65,022
Wyndham Worldwide Corp. (b)... 6,657 134,272
------------
966,662
------------
HOUSEHOLD DURABLES -- 2.9%
Leggett & Platt, Inc. (b)..... 5,692 116,117
Lennar Corp. (Class A) (b).... 5,931 75,739
M.D.C. Holdings, Inc. ........ 1,328 41,221
Mohawk Industries, Inc.
(a)(b)...................... 2,058 97,961
Newell Rubbermaid, Inc. (b)... 10,412 156,284
NVR, Inc. (a)(b).............. 222 157,778
Pulte Homes, Inc. (a)(b)...... 12,473 124,730
The Black & Decker Corp. (b).. 2,238 145,089
Toll Brothers, Inc. (a)(b).... 4,898 92,131
Tupperware Brands Corp. ...... 2,343 109,113
Whirlpool Corp. (b)........... 2,751 221,896
------------
1,338,059
------------
HOUSEHOLD PRODUCTS -- 0.3%
Energizer Holdings, Inc.
(a)(b)...................... 2,609 159,880
------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.5%
Dynegy, Inc. (Class A)
(a)(b)...................... 18,445 33,385
Mirant Corp. (a)(b)........... 5,365 81,924
Ormat Technologies, Inc. (b).. 672 25,428
RRI Energy, Inc. (a)(b)....... 13,091 74,881
------------
215,618
------------
INDUSTRIAL CONGLOMERATES -- 0.6%
Carlisle Cos., Inc. (b)....... 2,284 78,250
Seaboard Corp. (b)............ 14 18,886
Textron, Inc. (b)............. 10,154 190,997
------------
288,133
------------
INSURANCE -- 6.4%
Alleghany Corp. (a)........... 243 67,068
Allied World Assurance Company
Holdings, Ltd. (b)......... 1,524 70,211
American Financial Group,
Inc. ....................... 2,893 72,180
American International Group,
Inc. (a)(b)................. 4,408 132,152
American National Insurance
Co. (b)..................... 601 71,783
Arthur J. Gallagher & Co.
(b)......................... 3,713 83,580
Aspen Insurance Holdings,
Ltd. ....................... 2,816 71,667
Assurant, Inc. ............... 4,401 129,742
Assured Guaranty, Ltd. ....... 4,717 102,642
Brown & Brown, Inc. (b)....... 4,303 77,325
Endurance Specialty Holdings,
Ltd. (b).................... 1,926 71,705
Erie Indemnity Co. (Class A)
(b)......................... 1,172 45,731
Fidelity National Financial,
Inc. (Class A) (b).......... 8,596 115,702
First American Corp. (b)...... 4,518 149,591
Genworth Financial, Inc.
(Class A) (a)(b)............ 17,987 204,152
HCC Insurance Holdings, Inc.
(b)......................... 4,182 116,971
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES MID CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Markel Corp. (a).............. 367 $ 124,780
Mercury General Corp. (b)..... 971 38,121
Montpelier Re Holdings, Ltd.
(b)......................... 2,966 51,371
Old Republic International
Corp. (b)................... 8,404 84,376
OneBeacon Insurance Group,
Ltd. (Class A) (b).......... 876 12,071
Platinum Underwriters
Holdings, Ltd. (b).......... 1,850 70,837
ProAssurance Corp. (a)(b)..... 1,226 65,849
Reinsurance Group of America,
Inc. ....................... 2,712 129,227
RenaissanceRe Holdings,
Ltd. ....................... 2,323 123,467
StanCorp Financial Group, Inc.
(b)......................... 1,834 73,397
The Hanover Insurance Group,
Inc. (b).................... 1,872 83,173
Torchmark Corp. (b)........... 3,089 135,762
Transatlantic Holdings,
Inc. ....................... 2,131 111,046
Validus Holdings, Ltd. ....... 3,537 95,287
Wesco Financial Corp. (b)..... 53 18,179
White Mountains Insurance
Group, Ltd. ................ 287 95,473
------------
2,894,618
------------
INTERNET & CATALOG RETAIL -- 0.2%
Netflix, Inc. (a)(b).......... 1,766 97,377
------------
INTERNET SOFTWARE & SERVICES -- 1.0%
Akamai Technologies, Inc.
(a)(b)...................... 6,492 164,442
Equinix, Inc. (a)(b).......... 1,427 151,476
IAC/InterActiveCorp. (a)(b)... 3,620 74,138
WebMD Health Corp. (Class A)
(a)(b)...................... 1,723 66,318
------------
456,374
------------
IT SERVICES -- 2.4%
Alliance Data Systems Corp.
(a)(b)...................... 1,956 126,338
Broadridge Financial
Solutions, Inc. ............ 5,233 118,056
CACI International, Inc.
(Class A) (a)(b)............ 1,110 54,223
DST Systems, Inc. (a)(b)...... 1,494 65,064
Gartner, Inc. (a)............. 2,363 42,629
Genpact, Ltd. (a)(b).......... 2,162 32,214
Global Payments, Inc. ........ 3,032 163,304
Hewitt Associates, Inc. (Class
A) (a)(b)................... 3,202 135,317
Lender Processing Services,
Inc. ....................... 3,565 144,953
ManTech International Corp.
(Class A) (a)(b)............ 780 37,658
NeuStar, Inc. (Class A) (a)... 2,678 61,701
Total System Services, Inc.
(b)......................... 7,337 126,710
------------
1,108,167
------------
LIFE SCIENCES TOOLS & SERVICES -- 1.2%
Bio-Rad Laboratories, Inc.
(Class A) (a)............... 728 70,223
Charles River Laboratories
International, Inc. (a)(b).. 2,458 82,810
Covance, Inc. (a)(b).......... 2,380 129,877
PerkinElmer, Inc. (b)......... 4,337 89,299
Pharmaceutical Product
Development, Inc. .......... 4,096 96,010
Techne Corp. (b).............. 1,395 95,641
------------
563,860
------------
MACHINERY -- 4.3%
AGCO Corp. (a)(b)............. 3,410 110,279
CLARCOR, Inc. (b)............. 1,888 61,247
Crane Co. (b)................. 1,917 58,699
Donaldson Co., Inc. (b)....... 2,669 113,539
Gardner Denver, Inc. (b)...... 1,936 82,377
Graco, Inc. (b)............... 2,267 64,768
Harsco Corp. ................. 2,993 96,464
IDEX Corp. (b)................ 3,003 93,544
Joy Global, Inc. (b).......... 3,837 197,951
Kennametal, Inc. (b).......... 2,982 77,293
Lincoln Electric Holdings,
Inc. (b).................... 1,517 81,099
Navistar International Corp.
(a)......................... 1,969 76,102
Nordson Corp. (b)............. 1,135 69,439
Pall Corp. ................... 4,422 160,076
Pentair, Inc. ................ 3,663 118,315
Snap-On, Inc. (b)............. 2,148 90,775
SPX Corp. (b)................. 1,826 99,882
The Stanley Works (b)......... 3,010 155,045
The Timken Co. (b)............ 2,914 69,091
Wabtec Corp. ................. 1,815 74,125
------------
1,950,110
------------
MARINE -- 0.2%
Kirby Corp. (a)(b)............ 2,010 70,008
------------
MEDIA -- 1.4%
Clear Channel Outdoor
Holdings, Inc. (Class A)
(a)(b)...................... 1,496 15,544
DreamWorks Animation SKG, Inc.
(Class A) (a)(b)............ 2,615 104,469
Interactive Data Corp. (b).... 1,324 33,497
John Wiley & Sons, Inc. (Class
A) (b)...................... 1,870 78,316
Morningstar, Inc. (a)......... 812 39,252
Regal Entertainment Group
(b)......................... 2,873 41,486
The Interpublic Group of Cos.,
Inc. (a)(b)................. 18,120 133,726
Virgin Media, Inc. (b)........ 10,940 184,120
------------
630,410
------------
METALS & MINING -- 2.3%
Allegheny Technologies, Inc.
(b)......................... 3,448 154,367
Cliffs Natural Resources, Inc.
(b)......................... 4,902 225,933
Commercial Metals Co. ........ 4,203 65,777
Compass Minerals
International, Inc. (b)..... 1,212 81,434
Reliance Steel & Aluminum
Co. ........................ 2,412 104,247
Royal Gold, Inc. (b).......... 1,525 71,827
Steel Dynamics, Inc. (b)...... 8,091 143,373
Titanium Metals Corp. (a)(b).. 3,156 39,513
Walter Energy, Inc. (b)....... 1,988 149,716
------------
1,036,187
------------
MULTI-UTILITIES -- 2.2%
Alliant Energy Corp. ......... 4,112 124,429
CMS Energy Corp. (b).......... 8,469 132,625
Integrys Energy Group, Inc.
(b)......................... 2,860 120,091
NiSource, Inc. ............... 10,222 157,214
NSTAR......................... 4,012 147,642
OGE Energy Corp. (b).......... 3,586 132,288
TECO Energy, Inc. (b)......... 7,415 120,271
Vectren Corp. ................ 3,030 74,780
------------
1,009,340
------------
MULTILINE RETAIL -- 0.2%
Big Lots, Inc. (a)(b)......... 3,090 89,548
------------
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES MID CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
OFFICE ELECTRONICS -- 0.1%
Zebra Technologies Corp.
(Class A) (a)(b)............ 2,200 $ 62,392
------------
OIL, GAS & CONSUMABLE FUELS -- 5.5%
Alpha Natural Resources, Inc.
(a)......................... 5,860 254,207
Arch Coal, Inc. (b)........... 6,110 135,948
BP Prudhoe Bay Royalty Trust
(b)......................... 793 65,660
Cabot Oil & Gas Corp. ........ 3,832 167,037
Cimarex Energy Co. (b)........ 3,107 164,578
Comstock Resources, Inc.
(a)(b)...................... 1,722 69,862
Concho Resources, Inc. (a).... 2,677 120,197
Encore Acquisition Co. (a).... 2,079 99,834
EXCO Resources, Inc. ......... 6,384 135,532
Forest Oil Corp. (a)(b)....... 3,768 83,838
Frontier Oil Corp. ........... 3,833 46,149
Massey Energy Co. (b)......... 3,199 134,390
Pioneer Natural Resources Co.
(b)......................... 4,266 205,493
Plains Exploration &
Production Co. (a)(b)....... 5,213 144,192
Quicksilver Resources, Inc.
(a)(b)...................... 4,472 67,125
SandRidge Energy, Inc.
(a)(b)...................... 6,777 63,907
Southern Union Co. ........... 3,903 88,598
St. Mary Land & Exploration
Co. (b)..................... 2,327 79,677
Sunoco, Inc. ................. 4,383 114,396
Teekay Corp. (b).............. 1,559 36,184
Tesoro Corp. (b).............. 5,178 70,162
Whiting Petroleum Corp.
(a)(b)...................... 1,885 134,683
------------
2,481,649
------------
PAPER & FOREST PRODUCTS -- 0.4%
MeadWestvaco Corp. (b)........ 5,616 160,786
------------
PERSONAL PRODUCTS -- 0.6%
Alberto-Culver Co. (b)........ 3,260 95,485
Chattem, Inc. (a)(b).......... 714 66,616
Herbalife, Ltd. .............. 2,303 93,433
------------
255,534
------------
PHARMACEUTICALS -- 1.0%
Auxilium Pharmaceuticals, Inc.
(a)......................... 1,601 47,998
Endo Pharmaceuticals Holdings,
Inc. (a).................... 3,865 79,271
King Pharmaceuticals, Inc.
(a)(b)...................... 9,260 113,620
Perrigo Co. (b)............... 3,087 122,986
Valeant Pharmaceuticals
International (a)(b)........ 2,611 83,004
------------
446,879
------------
PROFESSIONAL SERVICES -- 1.6%
Equifax, Inc. (b)............. 4,749 146,696
FTI Consulting, Inc. (a)(b)... 1,919 90,500
IHS, Inc. (Class A) (a)(b).... 1,721 94,328
Manpower, Inc. (b)............ 2,909 158,773
Robert Half International,
Inc. (b).................... 5,649 150,998
Watson Wyatt Worldwide, Inc.
(Class A) (b)............... 1,586 75,367
------------
716,662
------------
REAL ESTATE INVESTMENT TRUSTS -- 6.3%
Alexandria Real Estate
Equities, Inc. (b).......... 1,633 104,986
AMB Property Corp. (b)........ 5,499 140,499
Camden Property Trust (b)..... 2,414 102,281
Corporate Office Properties
Trust (b)................... 2,171 79,524
Digital Realty Trust, Inc.
(b)......................... 2,612 131,331
Douglas Emmett, Inc. (b)...... 4,545 64,766
Duke Realty Corp. (b)......... 8,343 101,534
Essex Property Trust, Inc.
(b)......................... 1,090 91,179
Federal Realty Investment
Trust (b)................... 2,290 155,079
Highwoods Properties, Inc.
(b)......................... 2,651 88,411
Hospitality Properties Trust.. 4,597 108,995
Kimco Realty Corp. (b)........ 15,034 203,410
Liberty Property Trust........ 4,200 134,442
Mack-Cali Realty Corp. (b).... 2,920 100,944
MFA Financial, Inc. (b)....... 10,205 75,007
National Retail Properties,
Inc. (b).................... 3,084 65,442
Nationwide Health Properties,
Inc. (b).................... 4,200 147,756
OMEGA Healthcare Investors,
Inc. ....................... 3,185 61,948
ProLogis (b).................. 17,708 242,423
Rayonier, Inc. ............... 2,922 123,192
Realty Income Corp. (b)....... 3,887 100,712
Regency Centers Corp. (b)..... 3,305 115,873
Senior Housing Properties
Trust (b)................... 4,780 104,539
UDR, Inc. (b)................. 5,719 94,020
Washington Real Estate
Investment Trust (b)........ 2,235 61,574
Weingarten Realty Investors... 4,449 88,046
------------
2,887,913
------------
REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.8%
Brookfield Properties Corp.
(b)......................... 9,677 117,285
CB Richard Ellis Group, Inc.
(Class A) (a)(b)............ 9,359 127,002
The St. Joe Co. (a)........... 3,419 98,775
------------
343,062
------------
ROAD & RAIL -- 1.3%
Heartland Express, Inc. (b)... 2,042 31,181
Hertz Global Holdings, Inc.
(a)(b)...................... 6,839 81,521
J.B. Hunt Transport Services,
Inc. (b).................... 3,519 113,558
Kansas City Southern (a)(b)... 3,593 119,611
Knight Transportation, Inc.
(b)......................... 2,189 42,226
Landstar Systems, Inc. (b).... 1,906 73,896
Ryder Systems, Inc. (b)....... 2,081 85,675
Werner Enterprises, Inc. (b).. 1,884 37,284
------------
584,952
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.6%
Advanced Micro Devices, Inc.
(a)......................... 22,945 222,108
Atmel Corp. (a)(b)............ 15,167 69,920
Cree, Inc. (a)(b)............. 3,532 199,099
Intersil Corp. (Class A) (b).. 4,612 70,748
Lam Research Corp. (a)(b)..... 4,750 186,247
LSI Logic Corp. (a)(b)........ 24,076 144,697
MEMC Electronic Materials,
Inc. (a)(b)................. 8,330 113,455
National Semiconductor Corp.
(b)......................... 8,890 136,550
Novellus Systems, Inc. (a).... 3,655 85,308
ON Semiconductor Corp.
(a)(b)...................... 15,692 138,246
PMC-Sierra, Inc. (a)(b)....... 8,513 73,723
Silicon Laboratories, Inc.
(a)(b)...................... 1,709 82,613
Varian Semiconductor Equipment
Associates, Inc. (a) (b).... 2,716 97,450
------------
1,620,164
------------
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES MID CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
SOFTWARE -- 3.3%
Ansys, Inc. (a)............... 3,271 $ 142,158
Cadence Design Systems, Inc.
(a)(b)...................... 9,954 59,625
Compuware Corp. (a)(b)........ 8,827 63,819
Concur Technologies, Inc.
(a)(b)...................... 1,587 67,844
Factset Research Systems, Inc.
(b)......................... 1,619 106,644
Informatica Corp. (a)(b)...... 3,347 86,553
Jack Henry & Associates,
Inc. ....................... 3,161 73,082
MICROS Systems, Inc. (a)(b)... 3,014 93,524
Novell, Inc. (a).............. 12,787 53,066
Nuance Communications, Inc.
(a)(b)...................... 8,359 129,899
Parametric Technology Corp.
(a)(b)...................... 4,375 71,488
Quality Systems, Inc. (b)..... 663 41,630
Quest Software, Inc. (a)...... 2,348 43,203
Rovi Corp. (a)(b)............. 3,824 121,871
Solera Holdings, Inc. (b)..... 2,592 93,338
Sybase, Inc. (a)(b)........... 3,051 132,413
Synopsys, Inc. (a)............ 5,454 121,515
------------
1,501,672
------------
SPECIALTY RETAIL -- 3.9%
Aaron's, Inc. (b)............. 1,807 50,108
Abercrombie & Fitch Co. (Class
A) (b)...................... 3,248 113,193
Aeropostale, Inc. (a)......... 2,494 84,921
American Eagle Outfitters,
Inc. ....................... 6,565 111,474
AutoNation, Inc. (a)(b)....... 2,789 53,409
CarMax, Inc. (a)(b)........... 7,429 180,153
Dick's Sporting Goods, Inc.
(a)(b)...................... 3,158 78,540
Foot Locker, Inc. (b)......... 5,741 63,955
Guess ?, Inc. (b)............. 2,197 92,933
Limited Brands, Inc. (b)...... 10,289 197,960
PetSmart, Inc. (b)............ 4,765 127,178
RadioShack Corp. (b).......... 4,676 91,182
Rent-A-Center, Inc. (a)(b).... 2,443 43,290
The Buckle, Inc. (b).......... 976 28,577
Tiffany & Co. (b)............. 4,641 199,563
Tractor Supply Co. (a)(b)..... 1,367 72,396
Urban Outfitters, Inc.
(a)(b)...................... 4,928 172,431
------------
1,761,263
------------
THRIFTS & MORTGAGE FINANCE -- 0.5%
Capitol Federal Financial
(b)......................... 805 25,325
First Niagara Financial Group,
Inc. (b).................... 6,846 95,228
NewAlliance Bancshares, Inc.
(b)......................... 3,693 44,353
Washington Federal, Inc. ..... 4,201 81,247
------------
246,153
------------
TRADING COMPANIES & DISTRIBUTORS -- 0.3%
GATX Corp. (b)................ 1,521 43,729
MSC Industrial Direct Co.,
Inc. (Class A) (b).......... 1,617 75,999
------------
119,728
------------
WATER UTILITIES -- 0.2%
Aqua America, Inc. (b)........ 5,069 88,758
------------
WIRELESS TELECOMMUNICATION SERVICES -- 0.9%
Leap Wireless International,
Inc. (a)(b)................. 2,301 40,383
MetroPCS Communications, Inc.
(a)(b)...................... 9,371 71,501
SBA Communications Corp.
(Class A) (a)(b)............ 4,384 149,757
Telephone & Data Systems, Inc.
(b)......................... 3,623 122,892
US Cellular Corp. (a)......... 586 24,852
------------
409,385
------------
TOTAL COMMON STOCKS --
(Cost $39,798,205).......... 45,413,999
------------
RIGHTS -- 0.0% (C)
DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.0% (C)
Clearwire Corp. (expiring
6/21/10) (a)
(Cost $0)................... 2,709 1,084
------------
SHORT TERM INVESTMENTS -- 29.2%
MONEY MARKET FUNDS -- 29.2%
State Street Institutional
Liquid Reserves Fund (d).... 55,781 55,781
State Street Navigator
Securities Lending Prime
Portfolio (d)(e)............ 13,216,330 13,216,330
------------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $13,272,111).......... 13,272,111
------------
TOTAL INVESTMENTS -- 129.0%
(F)
(Cost $53,070,316).......... 58,687,194
OTHER ASSETS AND
LIABILITIES -- (29.0)%...... (13,178,793)
------------
NET ASSETS -- 100.0%.......... $ 45,508,401
============
</Table>
(a) Non-income producing security.
(b) Security, or portion thereof, was on loan at December 31, 2009.
(c) Amount shown represents less than 0.05% of net assets.
(d) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3)
(e) Investments of cash collateral for securities loaned.
(f) Unless otherwise indicated, the values of the securities of the Fund are
determined based on Level 1 inputs. (Note 2)
See accompanying notes to financial statements.
SPDR DOW JONES MID CAP GROWTH ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.8%
AEROSPACE & DEFENSE -- 0.6%
Spirit Aerosystems Holdings,
Inc. (a)(b)................. 11,804 $ 234,427
TransDigm Group, Inc. (b)..... 4,212 200,028
------------
434,455
------------
AIR FREIGHT & LOGISTICS -- 0.2%
UTI Worldwide, Inc. .......... 11,289 161,658
------------
AIRLINES -- 0.9%
AMR Corp. (a)(b).............. 38,377 296,654
Continental Airlines, Inc.
(Class B) (a)(b)............ 15,927 285,412
JetBlue Airways Corp. (a)(b).. 27,798 151,499
------------
733,565
------------
AUTO COMPONENTS -- 1.4%
BorgWarner, Inc. (b).......... 13,289 441,461
Lear Corp. (a)................ 3,879 262,375
The Goodyear Tire & Rubber Co.
(a)......................... 27,557 388,554
------------
1,092,390
------------
BEVERAGES -- 0.4%
Hansen Natural Corp. (a)(b)... 8,041 308,774
------------
BIOTECHNOLOGY -- 3.3%
Alexion Pharmaceuticals, Inc.
(a)......................... 10,081 492,154
Amylin Pharmaceuticals, Inc.
(a)(b)...................... 14,538 206,294
BioMarin Pharmaceutical, Inc.
(a)(b)...................... 11,299 212,534
Human Genome Sciences, Inc.
(a)(b)...................... 20,750 634,950
Isis Pharmaceuticals, Inc.
(a)(b)...................... 10,477 116,295
Onyx Pharmaceuticals, Inc.
(a)(b)...................... 6,485 190,270
OSI Pharmaceuticals, Inc.
(a)(b)...................... 6,583 204,271
Regeneron Pharmaceuticals,
Inc. (a)(b)................. 7,163 173,201
United Therapeutics Corp.
(a)(b)...................... 5,298 278,940
------------
2,508,909
------------
BUILDING PRODUCTS -- 0.4%
Owens Corning, Inc. (a)(b).... 11,331 290,527
------------
CAPITAL MARKETS -- 2.6%
Affiliated Managers Group,
Inc. (a)(b)................. 4,741 319,306
Eaton Vance Corp. (b)......... 13,393 407,281
Greenhill & Co., Inc. (b)..... 2,954 237,029
Jefferies Group, Inc. (a)(b).. 12,476 296,055
Knight Capital Group, Inc.
(Class A) (a)(b)............ 10,564 162,686
Raymond James Financial, Inc.
(b)......................... 11,363 270,099
SEI Investments Co. .......... 17,896 313,538
------------
2,005,994
------------
CHEMICALS -- 3.1%
Albemarle Corp. (b)........... 10,532 383,049
Celanese Corp. (Series A)..... 16,436 527,596
Intrepid Potash, Inc. (a)(b).. 4,838 141,124
Lubrizol Corp. ............... 7,705 562,080
Nalco Holding Co. (b)......... 15,791 402,828
Terra Industries, Inc. (b).... 11,432 367,996
------------
2,384,673
------------
COMMERCIAL BANKS -- 0.1%
First Citizens BancShares,
Inc. (Class A).............. 666 109,231
------------
COMMERCIAL SERVICES & SUPPLIES -- 2.2%
Clean Harbors, Inc. (a)(b).... 2,611 155,642
Copart, Inc. (a).............. 8,459 309,853
Corrections Corp. of America
(a)(b)...................... 13,217 324,477
Covanta Holding Corp. (a)(b).. 15,039 272,056
KAR Auction Services, Inc.
(a)......................... 2,565 35,371
Rollins, Inc. (b)............. 5,814 112,094
Tetra Tech, Inc. (a)(b)....... 6,860 186,386
Waste Connections, Inc.
(a)(b)...................... 8,950 298,393
------------
1,694,272
------------
COMMUNICATIONS EQUIPMENT -- 1.8%
Brocade Communications
Systems, Inc. (a)(b)........ 48,270 368,300
EchoStar Corp. (Class A) (a).. 4,556 91,758
F5 Networks, Inc. (a)(b)...... 9,041 478,992
Polycom, Inc. (a)(b).......... 9,448 235,917
Tellabs, Inc. (a)(b).......... 40,191 228,285
------------
1,403,252
------------
COMPUTERS & PERIPHERALS -- 2.4%
NCR Corp. (a)(b).............. 17,888 199,093
QLogic Corp. (a)(b)........... 13,025 245,782
SanDisk Corp. (a)(b).......... 25,935 751,856
Teradata Corp. (a)............ 19,720 619,799
------------
1,816,530
------------
CONSTRUCTION & ENGINEERING -- 1.8%
Aecom Technology Corp.
(a)(b)...................... 11,111 305,552
KBR, Inc. .................... 18,532 352,108
The Shaw Group, Inc. (a)(b)... 9,510 273,413
URS Corp. (a)(b).............. 9,561 425,656
------------
1,356,729
------------
CONTAINERS & PACKAGING -- 0.8%
Pactiv Corp. (a)(b)........... 15,107 364,683
Rock-Tenn Co. (Class A)....... 4,338 218,679
------------
583,362
------------
DISTRIBUTORS -- 0.4%
LKQ Corp. (a)(b).............. 15,898 311,442
------------
DIVERSIFIED CONSUMER SERVICES -- 1.2%
Brink's Home Security
Holdings, Inc. (a)(b)....... 5,180 169,075
Career Education Corp.
(a)(b)...................... 7,003 163,240
Corinthian Colleges, Inc.
(a)(b)...................... 9,030 124,343
Education Management Corp.
(a)(b)...................... 2,240 49,302
Strayer Education, Inc. (b)... 1,607 341,472
Weight Watchers International,
Inc. (b).................... 3,978 115,999
------------
963,431
------------
DIVERSIFIED FINANCIAL SERVICES -- 0.5%
MSCI, Inc. (Class A) (a)(b)... 11,924 379,183
------------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.5%
Clearwire Corp. (Class A)
(a)(b)...................... 8,399 56,777
tw telecom, inc. (a)(b)....... 17,207 294,928
------------
351,705
------------
ELECTRIC UTILITIES -- 0.4%
ITC Holdings Corp. (b)........ 5,773 300,716
------------
ELECTRICAL EQUIPMENT -- 1.3%
A123 Systems, Inc. (a)(b)..... 3,220 72,257
AMETEK, Inc. (b).............. 12,156 464,845
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES MID CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
SunPower Corp. (Class A)
(a)(b)...................... 11,091 $ 262,635
Woodward Governor Co. (b)..... 6,534 168,381
------------
968,118
------------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 4.1%
Arrow Electronics, Inc. (a)... 13,780 408,026
Avnet, Inc. (a)............... 17,399 524,754
FLIR Systems, Inc. (a)(b)..... 17,188 562,391
Itron, Inc. (a)(b)............ 4,615 311,835
Jabil Circuit, Inc. (b)....... 22,779 395,671
Mettler-Toledo International,
Inc. (a)(b)................. 3,821 401,167
National Instruments Corp.
(b)......................... 6,953 204,766
Trimble Navigation, Ltd.
(a)(b)...................... 13,854 349,121
------------
3,157,731
------------
ENERGY EQUIPMENT & SERVICES -- 2.9%
Dresser-Rand Group, Inc.
(a)(b)...................... 9,406 297,324
Helmerich & Payne, Inc. (b)... 11,071 441,512
Oceaneering International,
Inc. (a).................... 5,877 343,922
Patterson-UTI Energy, Inc.
(b)......................... 17,581 269,868
Rowan Cos., Inc. (a)(b)....... 11,876 268,873
SEACOR Holdings, Inc. (a)(b).. 2,157 164,471
Superior Energy Services, Inc.
(a)(b)...................... 8,808 213,946
Unit Corp. (a)(b)............. 5,362 227,885
------------
2,227,801
------------
FOOD & STAPLES RETAILING -- 0.5%
Whole Foods Market, Inc.
(a)(b)...................... 12,817 351,827
------------
FOOD PRODUCTS -- 1.8%
Dean Foods Co. (a)(b)......... 20,790 375,052
Flowers Foods, Inc. (b)....... 9,732 231,232
Green Mountain Coffee
Roasters, Inc. (a)(b)....... 4,454 362,868
Ralcorp Holdings, Inc. (a).... 6,499 388,055
------------
1,357,207
------------
HEALTH CARE EQUIPMENT & SUPPLIES -- 3.5%
Gen-Probe, Inc. (a)(b)........ 5,579 239,339
Haemonetics Corp. (a)(b)...... 2,946 162,472
IDEXX Laboratories, Inc. (a).. 6,820 364,461
Immucor, Inc. (a)(b).......... 7,953 160,969
Inverness Medical Innovations,
Inc. (a).................... 9,586 397,915
Kinetic Concepts, Inc.
(a)(b)...................... 7,121 268,106
Masimo Corp. (a)(b)........... 5,933 180,482
NuVasive, Inc. (a)(b)......... 4,389 140,360
ResMed, Inc. (a)(b)........... 8,669 453,128
Thoratec Corp. (a)(b)......... 6,344 170,780
West Pharmaceutical Services,
Inc. (b).................... 3,739 146,569
------------
2,684,581
------------
HEALTH CARE PROVIDERS & SERVICES -- 3.2%
AMERIGROUP Corp. (a)(b)....... 6,151 165,831
athenahealth, Inc. (a)........ 3,596 162,683
Community Health Systems, Inc.
(a)(b)...................... 10,746 382,558
Coventry Health Care, Inc.
(a)......................... 16,981 412,469
Emdeon, Inc. (Class A)
(a)(b)...................... 2,623 40,001
Lincare Holdings, Inc.
(a)(b)...................... 7,804 289,685
MEDNAX, Inc. (a)(b)........... 5,186 311,730
Patterson Cos., Inc. (a)(b)... 11,478 321,154
Psychiatric Solutions, Inc.
(a)(b)...................... 6,046 127,812
VCA Antech, Inc. (a)(b)....... 9,724 242,322
------------
2,456,245
------------
HEALTH CARE TECHNOLOGY -- 0.7%
Allscripts-Misys Healthcare
Solutions, Inc. (a)(b)...... 6,862 138,818
IMS Health, Inc. ............. 20,807 438,196
------------
577,014
------------
HOTELS, RESTAURANTS & LEISURE -- 3.0%
Bally Technologies, Inc.
(a)(b)...................... 6,253 258,186
Burger King Holdings, Inc.
(b)......................... 10,444 196,556
Chipotle Mexican Grill, Inc.
(a)......................... 3,611 318,346
Choice Hotels International,
Inc. (b).................... 3,357 106,283
MGM MIRAGE, Inc. (a)(b)....... 28,387 258,889
Panera Bread Co. (Class A)
(a)......................... 3,533 236,605
Penn National Gaming, Inc.
(a)(b)...................... 7,644 207,764
Scientific Games Corp. (Class
A) (a)(b)................... 7,877 114,610
Wendy's/Arby's Group, Inc.
(Class A) (b)............... 41,952 196,755
Wyndham Worldwide Corp. (b)... 20,493 413,344
------------
2,307,338
------------
HOUSEHOLD DURABLES -- 1.1%
NVR, Inc. (a)(b).............. 683 485,415
Pulte Homes, Inc. (a)(b)...... 38,241 382,410
------------
867,825
------------
HOUSEHOLD PRODUCTS -- 0.6%
Energizer Holdings, Inc. (a).. 7,986 489,382
------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.4%
Ormat Technologies, Inc. (b).. 2,077 78,594
RRI Energy, Inc. (a)(b)....... 40,459 231,425
------------
310,019
------------
INDUSTRIAL CONGLOMERATES -- 0.1%
Seaboard Corp. (b)............ 42 56,658
------------
INSURANCE -- 0.3%
Brown & Brown, Inc. (b)....... 13,301 239,019
------------
INTERNET & CATALOG RETAIL -- 0.4%
Netflix, Inc. (a)(b).......... 5,365 295,826
------------
INTERNET SOFTWARE & SERVICES -- 1.8%
Akamai Technologies, Inc.
(a)(b)...................... 19,795 501,407
Equinix, Inc. (a)(b).......... 4,368 463,663
IAC/InterActiveCorp. (a)(b)... 10,988 225,034
WebMD Health Corp. (Class A)
(a)(b)...................... 5,252 202,150
------------
1,392,254
------------
IT SERVICES -- 4.2%
Alliance Data Systems Corp.
(a)(b)...................... 6,022 388,961
Broadridge Financial
Solutions, Inc. ............ 16,111 363,464
DST Systems, Inc. (a)(b)...... 4,500 195,975
Gartner, Inc. (a)............. 7,279 131,313
Genpact, Ltd. (a)............. 6,595 98,266
Global Payments, Inc. ........ 9,281 499,875
Hewitt Associates, Inc. (Class
A) (a)(b)................... 9,892 418,036
Lender Processing Services,
Inc. ....................... 10,914 443,763
ManTech International Corp.
(Class A) (a)(b)............ 2,430 117,320
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES MID CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
NeuStar, Inc. (Class A)
(a)(b)...................... 8,222 $ 189,435
Total System Services, Inc.
(b)......................... 22,582 389,991
------------
3,236,399
------------
LIFE SCIENCES TOOLS & SERVICES -- 2.0%
Charles River Laboratories
International, Inc. (a)
(b)......................... 7,588 255,640
Covance, Inc. (a)(b).......... 7,301 398,415
PerkinElmer, Inc. (b)......... 13,254 272,900
Pharmaceutical Product
Development, Inc. (b)....... 12,526 293,609
Techne Corp. (b).............. 4,278 293,300
------------
1,513,864
------------
MACHINERY -- 4.5%
AGCO Corp. (a)(b)............. 10,547 341,090
CLARCOR, Inc. ................ 5,824 188,931
Donaldson Co., Inc. .......... 8,222 349,764
Gardner Denver, Inc. (b)...... 5,879 250,151
Harsco Corp. ................. 9,206 296,709
Joy Global, Inc. (b).......... 11,676 602,365
Lincoln Electric Holdings,
Inc. (b).................... 4,639 248,001
Navistar International Corp.
(a)(b)...................... 6,013 232,402
Nordson Corp. (b)............. 3,463 211,866
Pall Corp. ................... 13,453 486,999
Wabtec Corp. (b).............. 5,507 224,906
------------
3,433,184
------------
MARINE -- 0.3%
Kirby Corp. (a)(b)............ 6,117 213,055
------------
MEDIA -- 1.5%
Clear Channel Outdoor
Holdings, Inc. (Class A)
(a)(b)...................... 4,406 45,778
DreamWorks Animation SKG, Inc.
(Class A) (a)(b)............ 8,060 321,997
John Wiley & Sons, Inc. (Class
A) (b)...................... 5,758 241,145
Morningstar, Inc. (a)......... 2,444 118,143
The Interpublic Group of Cos.,
Inc. (a)(b)................. 55,792 411,745
------------
1,138,808
------------
METALS & MINING -- 3.2%
Cliffs Natural Resources, Inc.
(b)......................... 15,052 693,747
Compass Minerals
International, Inc. (b)..... 3,682 247,393
Reliance Steel & Aluminum Co.
(b)......................... 7,391 319,439
Royal Gold, Inc. (b).......... 4,652 219,109
Steel Dynamics, Inc. (b)...... 24,695 437,595
Titanium Metals Corp. (a)(b).. 9,709 121,557
Walter Energy, Inc. (b)....... 6,086 458,337
------------
2,497,177
------------
OFFICE ELECTRONICS -- 0.2%
Zebra Technologies Corp.
(Class A) (a)(b)............ 6,745 191,288
------------
OIL, GAS & CONSUMABLE FUELS -- 7.5%
Alpha Natural Resources, Inc.
(a)(b)...................... 17,895 776,285
Arch Coal, Inc. (b)........... 18,629 414,495
Cabot Oil & Gas Corp. (b)..... 11,767 512,924
Cimarex Energy Co. (b)........ 9,464 501,308
Comstock Resources, Inc.
(a)(b)...................... 5,327 216,116
Concho Resources, Inc. (a).... 8,209 368,584
Encore Acquisition Co. (a).... 6,317 303,342
EXCO Resources, Inc. (b)...... 19,679 417,785
Frontier Oil Corp. (b)........ 11,737 141,314
Massey Energy Co. (b)......... 9,816 412,370
Plains Exploration &
Production Co. (a).......... 16,037 443,584
Quicksilver Resources, Inc.
(a)(b)...................... 13,575 203,761
SandRidge Energy, Inc.
(a)(b)...................... 20,566 193,937
St. Mary Land & Exploration
Co. (b)..................... 7,065 241,906
Tesoro Corp. (b).............. 15,924 215,770
Whiting Petroleum Corp.
(a)(b)...................... 5,794 413,981
------------
5,777,462
------------
PERSONAL PRODUCTS -- 0.6%
Chattem, Inc. (a)(b).......... 2,165 201,994
Herbalife, Ltd. .............. 7,000 283,990
------------
485,984
------------
PHARMACEUTICALS -- 1.3%
Auxilium Pharmaceuticals, Inc.
(a)(b)...................... 4,821 144,534
Endo Pharmaceuticals Holdings,
Inc. (a).................... 11,791 241,833
Perrigo Co. (b)............... 9,507 378,759
Valeant Pharmaceuticals
International (a)(b)........ 8,026 255,146
------------
1,020,272
------------
PROFESSIONAL SERVICES -- 2.9%
Equifax, Inc. ................ 14,461 446,700
FTI Consulting, Inc. (a)(b)... 5,861 276,405
IHS, Inc. (Class A) (a)(b).... 5,340 292,685
Manpower, Inc. ............... 8,918 486,745
Robert Half International,
Inc. (b).................... 17,421 465,663
Watson Wyatt Worldwide, Inc.
(Class A) (b)............... 4,880 231,898
------------
2,200,096
------------
REAL ESTATE INVESTMENT TRUSTS -- 0.8%
Corporate Office Properties
Trust (b)................... 6,607 242,014
Digital Realty Trust, Inc.
(b)......................... 8,027 403,598
------------
645,612
------------
REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.5%
CB Richard Ellis Group, Inc.
(Class A) (a)(b)............ 28,810 390,952
------------
ROAD & RAIL -- 1.8%
Heartland Express, Inc. (b)... 6,297 96,155
Hertz Global Holdings, Inc.
(a)(b)...................... 21,273 253,574
J.B. Hunt Transport Services,
Inc. (b).................... 10,823 349,258
Kansas City Southern (a)(b)... 11,065 368,354
Knight Transportation, Inc.
(b)......................... 6,672 128,703
Landstar Systems, Inc. ....... 5,777 223,975
------------
1,420,019
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 6.2%
Advanced Micro Devices, Inc.
(a)......................... 70,463 682,082
Atmel Corp. (a)(b)............ 46,541 214,554
Cree, Inc. (a)(b)............. 10,851 611,671
Lam Research Corp. (a)(b)..... 14,458 566,898
LSI Logic Corp. (a)(b)........ 73,999 444,734
MEMC Electronic Materials,
Inc. (a)(b)................. 25,584 348,454
National Semiconductor Corp.
(b)......................... 27,074 415,857
Novellus Systems, Inc.
(a)(b)...................... 11,229 262,085
ON Semiconductor Corp.
(a)(b)...................... 48,253 425,109
PMC-Sierra, Inc. (a)(b)....... 25,822 223,618
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES MID CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Silicon Laboratories, Inc.
(a)(b)...................... 5,190 $ 250,885
Varian Semiconductor Equipment
Associates, Inc. (a)(b)..... 8,382 300,746
------------
4,746,693
------------
SOFTWARE -- 5.0%
Ansys, Inc. (a)(b)............ 10,049 436,729
Cadence Design Systems, Inc.
(a)(b)...................... 29,884 179,005
Concur Technologies, Inc.
(a)(b)...................... 4,769 203,875
Factset Research Systems, Inc.
(b)......................... 4,932 324,871
Informatica Corp. (a)(b)...... 10,167 262,919
Jack Henry & Associates,
Inc. ....................... 9,531 220,357
MICROS Systems, Inc. (a)...... 9,059 281,101
Nuance Communications, Inc.
(a)(b)...................... 25,732 399,875
Parametric Technology Corp.
(a)(b)...................... 13,363 218,351
Quality Systems, Inc. (b)..... 2,035 127,778
Quest Software, Inc. (a)(b)... 7,312 134,541
Rovi Corp. (a)(b)............. 11,776 375,301
Solera Holdings, Inc. (b)..... 7,958 286,568
Sybase, Inc. (a)(b)........... 9,391 407,569
------------
3,858,840
------------
SPECIALTY RETAIL -- 5.1%
Aaron's, Inc. (b)............. 5,638 156,342
Abercrombie & Fitch Co. (Class
A) (b)...................... 9,994 348,291
Aeropostale, Inc. (a)(b)...... 7,619 259,427
American Eagle Outfitters,
Inc. (b).................... 20,206 343,098
CarMax, Inc. (a)(b)........... 22,621 548,559
Dick's Sporting Goods, Inc.
(a)(b)...................... 9,589 238,478
Guess ?, Inc. (b)............. 6,697 283,283
PetSmart, Inc. (b)............ 14,611 389,968
Tiffany & Co. (b)............. 14,200 610,600
Tractor Supply Co. (a)(b)..... 4,136 219,043
Urban Outfitters, Inc.
(a)(b)...................... 15,070 527,299
------------
3,924,388
------------
THRIFTS & MORTGAGE FINANCE -- 0.2%
NewAlliance Bancshares, Inc.
(b)......................... 11,288 135,569
------------
TRADING COMPANIES & DISTRIBUTORS -- 0.3%
MSC Industrial Direct Co.,
Inc. (Class A).............. 4,973 233,731
------------
WIRELESS TELECOMMUNICATION SERVICES -- 1.0%
Leap Wireless International,
Inc. (a)(b)................. 6,952 122,008
MetroPCS Communications, Inc.
(a)(b)...................... 28,941 220,820
SBA Communications Corp.
(Class A) (a)(b)............ 13,421 458,461
------------
801,289
------------
TOTAL COMMON STOCKS --
(Cost $66,388,711).......... 76,794,325
------------
RIGHTS -- 0.0% (C)
DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.0% (C)
Clearwire Corp. (expiring
06/21/10) (a)
(Cost $0)................... 8,399 3,359
------------
SHORT TERM INVESTMENTS -- 29.0%
MONEY MARKET FUNDS -- 29.0%
State Street Institutional
Liquid Reserves Fund (d).... 98,944 98,944
State Street Navigator
Securities Lending Prime
Portfolio (d)(e)............ 22,198,914 22,198,914
------------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $22,297,858).......... 22,297,858
------------
TOTAL INVESTMENTS -- 128.8%
(F)
(Cost $88,686,569).......... 99,095,542
OTHER ASSETS AND
LIABILITIES -- (28.8)%...... (22,177,058)
------------
NET ASSETS -- 100.0%.......... $ 76,918,484
============
</Table>
(a) Non-income producing security.
(b) Security, or portion thereof, was on loan as of December 31, 2009.
(c) Amount shown represents less than 0.05% of net assets.
(d) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3)
(e) Investments of cash collateral for securities loaned.
(f) Unless otherwise indicated, the values of the securities of the Fund are
determined based on Level 1 inputs. (Note 2)
See accompanying notes to financial statements.
SPDR DOW JONES MID CAP VALUE ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.7%
AEROSPACE & DEFENSE -- 0.8%
Alliant Techsystems, Inc.
(a)(b)....................... 1,096 $ 96,744
Curtiss-Wright Corp. .......... 1,495 46,823
-----------
143,567
-----------
AUTO COMPONENTS -- 0.5%
Gentex Corp. .................. 4,615 82,378
-----------
BEVERAGES -- 0.9%
Constellation Brands, Inc.
(Class A) (a)................ 6,614 105,361
PepsiAmericas, Inc. ........... 2,062 60,334
-----------
165,695
-----------
BIOTECHNOLOGY -- 0.8%
Dendreon Corp. (a)(b).......... 4,348 114,265
Talecris Biotherapeutics
Holdings Corp. (a)(b)........ 1,676 37,325
-----------
151,590
-----------
BUILDING PRODUCTS -- 0.4%
Lennox International, Inc.
(b).......................... 1,751 68,359
-----------
CAPITAL MARKETS -- 1.9%
Federated Investors, Inc.
(Class B) (b)................ 3,448 94,820
Legg Mason, Inc. (b)........... 5,369 161,929
Waddell & Reed Financial, Inc.
(Class A).................... 2,885 88,108
-----------
344,857
-----------
CHEMICALS -- 2.8%
Eastman Chemical Co. (b)....... 2,290 137,950
International Flavors &
Fragrances, Inc. ............ 2,633 108,322
RPM International, Inc. ....... 4,315 87,724
Sensient Technologies Corp.
(b).......................... 1,633 42,948
The Scotts Miracle-Gro Co.
(Class A).................... 1,463 57,510
The Valspar Corp. (b).......... 3,116 84,568
-----------
519,022
-----------
COMMERCIAL BANKS -- 7.0%
Associated Ban-Corp. (b)....... 3,994 43,974
BancorpSouth, Inc. (b)......... 2,579 60,503
Bank of Hawaii Corp. (b)....... 1,599 75,249
BOK Financial Corp. (b)........ 754 35,830
City National Corp. (b)........ 1,390 63,384
Comerica, Inc. (b)............. 5,062 149,683
Commerce Bancshares, Inc. (b).. 2,266 87,740
Cullen/Frost Bankers, Inc.
(b).......................... 1,880 94,000
First Horizon National Corp.
(a)(b)....................... 7,353 98,536
FirstMerit Corp. (b)........... 2,838 57,157
Fulton Financial Corp. (b)..... 5,878 51,256
Marshall & Ilsley Corp. (b).... 16,904 92,127
PNC Financial Services Group,
Inc. ........................ 1 53
Prosperity Bancshares, Inc.
(b).......................... 1,523 61,636
Synovus Financial Corp. (b).... 13,781 28,251
TCF Financial Corp. (b)........ 3,990 54,344
UMB Financial Corp. ........... 1,117 43,954
Valley National Bancorp (b).... 4,685 66,199
Westamerica Bancorporation
(b).......................... 972 53,820
Zions Bancorporation (b)....... 4,633 59,441
-----------
1,277,137
-----------
COMMERCIAL SERVICES & SUPPLIES -- 1.6%
Avery Dennison Corp. (b)....... 3,779 137,896
R.R. Donnelley & Sons Co. ..... 6,871 153,017
-----------
290,913
-----------
COMPUTERS & PERIPHERALS -- 0.7%
Diebold, Inc. (b).............. 2,171 61,765
Lexmark International, Inc.
(Class A) (a)(b)............. 2,628 68,275
-----------
130,040
-----------
CONSTRUCTION & ENGINEERING -- 0.5%
EMCOR Group, Inc. (a)(b)....... 2,160 58,104
Granite Construction, Inc.
(b).......................... 1,149 38,675
-----------
96,779
-----------
CONTAINERS & PACKAGING -- 3.2%
Aptargroup, Inc. (b)........... 2,108 75,340
Bemis Co., Inc. ............... 3,620 107,333
Greif, Inc. (Class A) (b)...... 1,128 60,890
Packaging Corp. of America..... 3,432 78,970
Sealed Air Corp. .............. 5,299 115,836
Silgan Holdings, Inc. ......... 852 49,314
Sonoco Products Co. ........... 3,309 96,788
-----------
584,471
-----------
DIVERSIFIED CONSUMER SERVICES -- 0.4%
Service Corp. International
(b).......................... 8,297 67,952
-----------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.9%
Frontier Communications Corp.
(b).......................... 10,435 81,497
Level 3 Communications, Inc.
(a)(b)....................... 54,001 82,622
-----------
164,119
-----------
ELECTRIC UTILITIES -- 4.6%
Cleco Corp. (b)................ 2,023 55,289
DPL, Inc. (b).................. 4,014 110,786
Great Plains Energy, Inc. (b).. 4,531 87,856
Hawaiian Electric Industries,
Inc. (b)..................... 3,027 63,264
IDACORP, Inc. (b).............. 1,580 50,481
NV Energy, Inc. ............... 7,834 96,985
Pepco Holdings, Inc. (b)....... 7,374 124,252
Pinnacle West Capital Corp. ... 3,373 123,384
Portland General Electric
Co. ......................... 2,485 50,719
Westar Energy, Inc. (b)........ 3,630 78,844
-----------
841,860
-----------
ELECTRICAL EQUIPMENT -- 1.4%
Acuity Brands, Inc. ........... 1,444 51,464
Brady Corp. (Class A) (b)...... 1,580 47,416
Hubbell, Inc. (Class B) (b).... 1,852 87,600
Thomas & Betts Corp. (a)....... 1,780 63,706
-----------
250,186
-----------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.4%
Anixter International, Inc.
(a).......................... 993 46,770
AVX Corp. ..................... 1,722 21,818
Ingram Micro, Inc. (Class A)
(a).......................... 5,426 94,684
Molex, Inc. (b)................ 4,397 94,755
-----------
258,027
-----------
ENERGY EQUIPMENT & SERVICES -- 0.5%
Tidewater, Inc. (b)............ 1,728 82,858
-----------
FOOD & STAPLES RETAILING -- 0.8%
BJ's Wholesale Club, Inc.
(a)(b)....................... 1,808 59,140
SUPERVALU, Inc. (b)............ 7,106 90,317
-----------
149,457
-----------
FOOD PRODUCTS -- 1.7%
Corn Products International,
Inc. (b)..................... 2,481 72,520
Del Monte Foods Co. ........... 6,680 75,751
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES MID CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Fresh Del Monte Produce, Inc.
(a).......................... 1,405 $ 31,050
Lancaster Colony Corp. (b)..... 683 33,945
Smithfield Foods, Inc. (a)(b).. 5,152 78,259
Tootsie Roll Industries, Inc.
(b).......................... 729 19,960
-----------
311,485
-----------
GAS UTILITIES -- 4.0%
AGL Resources, Inc. (b)........ 2,563 93,473
Atmos Energy Corp. (b)......... 3,072 90,317
Energen Corp. ................. 2,425 113,490
National Fuel Gas Co. (b)...... 2,242 112,100
New Jersey Resources Corp.
(b).......................... 1,393 52,098
Nicor, Inc. (b)................ 1,485 62,518
Piedmont Natural Gas Co., Inc.
(b).......................... 2,279 60,963
UGI Corp. ..................... 3,608 87,278
WGL Holdings, Inc. (b)......... 1,657 55,576
-----------
727,813
-----------
HEALTH CARE EQUIPMENT & SUPPLIES -- 0.7%
STERIS Corp. (b)............... 1,785 49,926
Teleflex, Inc. (b)............. 1,330 71,674
-----------
121,600
-----------
HEALTH CARE PROVIDERS & SERVICES -- 2.1%
Health Net, Inc. (a)........... 3,476 80,956
LifePoint Hospitals, Inc.
(a)(b)....................... 1,836 59,688
Omnicare, Inc. (b)............. 3,961 95,777
Owens & Minor, Inc. ........... 1,377 59,115
Universal Health Services, Inc.
(Class B) (b)................ 3,084 94,062
-----------
389,598
-----------
HOTELS, RESTAURANTS & LEISURE -- 1.0%
Brinker International, Inc. ... 3,346 49,922
International Speedway Corp.
(Class A).................... 908 25,833
Royal Caribbean Cruises, Ltd.
(a)(b)....................... 4,504 113,861
-----------
189,616
-----------
HOUSEHOLD DURABLES -- 5.2%
Leggett & Platt, Inc. (b)...... 5,099 104,020
Lennar Corp. (Class A) (b)..... 5,312 67,834
M.D.C. Holdings, Inc. (b)...... 1,208 37,496
Mohawk Industries, Inc.
(a)(b)....................... 1,851 88,108
Newell Rubbermaid, Inc. (b).... 9,353 140,389
The Black & Decker Corp. (b)... 2,010 130,308
Toll Brothers, Inc. (a)(b)..... 4,405 82,858
Tupperware Brands Corp. ....... 2,099 97,750
Whirlpool Corp. (b)............ 2,464 198,746
-----------
947,509
-----------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.6%
Dynegy, Inc. (Class A) (a)(b).. 16,729 30,280
Mirant Corp. (a)............... 4,834 73,815
-----------
104,095
-----------
INDUSTRIAL CONGLOMERATES -- 1.3%
Carlisle Cos., Inc. (b)........ 2,046 70,096
Textron, Inc. (b).............. 9,058 170,381
-----------
240,477
-----------
INSURANCE -- 13.8%
Alleghany Corp. (a)............ 214 59,064
Allied World Assurance Company
Holdings, Ltd. (b)........... 1,365 62,886
American Financial Group,
Inc. ........................ 2,556 63,772
American International Group,
Inc. (a)(b).................. 3,960 118,721
American National Insurance Co.
(b).......................... 533 63,662
Arthur J. Gallagher & Co. (b).. 3,346 75,319
Aspen Insurance Holdings,
Ltd. ........................ 2,523 64,210
Assurant, Inc. (b)............. 3,952 116,505
Assured Guaranty, Ltd. ........ 4,199 91,370
Endurance Specialty Holdings,
Ltd. (b)..................... 1,688 62,844
Erie Indemnity Co. (Class A)
(b).......................... 1,062 41,439
Fidelity National Financial,
Inc. (Class A) (b)........... 7,669 103,225
First American Corp. (b)....... 4,047 133,996
Genworth Financial, Inc. (Class
A) (a)(b).................... 16,111 182,860
HCC Insurance Holdings, Inc.
(b).......................... 3,733 104,412
Markel Corp. (a)(b)............ 329 111,860
Mercury General Corp. (b)...... 882 34,627
Montpelier Re Holdings, Ltd.
(b).......................... 2,602 45,067
Old Republic International
Corp. (b).................... 7,557 75,872
OneBeacon Insurance Group, Ltd.
(Class A) (b)................ 730 10,060
Platinum Underwriters Holdings,
Ltd. (b)..................... 1,646 63,025
ProAssurance Corp. (a)(b)...... 1,094 58,759
Reinsurance Group of America,
Inc. ........................ 2,439 116,218
RenaissanceRe Holdings, Ltd. .. 2,089 111,030
StanCorp Financial Group, Inc.
(b).......................... 1,621 64,873
The Hanover Insurance Group,
Inc. (b)..................... 1,677 74,509
Torchmark Corp. (b)............ 2,773 121,873
Transatlantic Holdings, Inc. .. 1,902 99,113
Validus Holdings, Ltd. (b)..... 3,168 85,346
Wesco Financial Corp. ......... 49 16,807
White Mountains Insurance
Group, Ltd. (b).............. 256 85,161
-----------
2,518,485
-----------
IT SERVICES -- 0.3%
CACI International, Inc. (Class
A) (a)(b).................... 1,006 49,143
-----------
LIFE SCIENCES TOOLS & SERVICES -- 0.3%
Bio-Rad Laboratories, Inc.
(Class A) (a)................ 643 62,024
-----------
MACHINERY -- 4.1%
Crane Co. (b).................. 1,700 52,054
Graco, Inc. (b)................ 1,985 56,711
IDEX Corp. (b)................. 2,705 84,261
Kennametal, Inc. (b)........... 2,689 69,699
Pentair, Inc. ................. 3,294 106,396
Snap-On, Inc. (b).............. 1,925 81,351
SPX Corp. (b).................. 1,643 89,872
The Stanley Works (b).......... 2,696 138,871
The Timken Co. (b)............. 2,554 60,555
-----------
739,770
-----------
MEDIA -- 1.3%
Interactive Data Corp. ........ 1,204 30,461
Regal Entertainment Group (b).. 2,613 37,732
Virgin Media, Inc. (b)......... 9,799 164,917
-----------
233,110
-----------
METALS & MINING -- 1.1%
Allegheny Technologies, Inc.
(b).......................... 3,074 137,623
Commercial Metals Co. (b)...... 3,714 58,124
-----------
195,747
-----------
MULTI-UTILITIES -- 5.0%
Alliant Energy Corp. (b)....... 3,670 111,054
CMS Energy Corp. (b)........... 7,602 119,047
Integrys Energy Group, Inc.
(b).......................... 2,562 107,578
NiSource, Inc. (b)............. 9,181 141,204
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES MID CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
NSTAR (b)...................... 3,576 $ 131,597
OGE Energy Corp. .............. 3,219 118,749
TECO Energy, Inc. (b).......... 6,667 108,139
Vectren Corp. ................. 2,714 66,982
-----------
904,350
-----------
MULTILINE RETAIL -- 0.4%
Big Lots, Inc. (a)(b).......... 2,768 80,217
-----------
OIL, GAS & CONSUMABLE FUELS -- 2.9%
BP Prudhoe Bay Royalty Trust
(b).......................... 708 58,622
Forest Oil Corp. (a)(b)........ 3,396 75,561
Pioneer Natural Resources Co.
(b).......................... 3,821 184,058
Southern Union Co. (b)......... 3,497 79,382
Sunoco, Inc. (b)............... 3,941 102,860
Teekay Corp. (b)............... 1,417 32,889
-----------
533,372
-----------
PAPER & FOREST PRODUCTS -- 0.8%
MeadWestvaco Corp. ............ 5,007 143,350
-----------
PERSONAL PRODUCTS -- 0.5%
Alberto-Culver Co. (b)......... 2,937 86,025
-----------
PHARMACEUTICALS -- 0.6%
King Pharmaceuticals, Inc.
(a)(b)....................... 8,247 101,191
-----------
REAL ESTATE INVESTMENT TRUSTS -- 13.1%
Alexandria Real Estate
Equities, Inc. (b)........... 1,454 93,478
AMB Property Corp. (b)......... 4,901 125,221
Camden Property Trust (b)...... 2,149 91,053
Douglas Emmett, Inc. (b)....... 4,017 57,242
Duke Realty Corp. (b).......... 7,503 91,312
Essex Property Trust, Inc.
(b).......................... 976 81,642
Federal Realty Investment Trust
(b).......................... 2,042 138,284
Highwoods Properties, Inc.
(b).......................... 2,375 79,206
Hospitality Properties Trust... 4,094 97,069
Kimco Realty Corp. (b)......... 13,466 182,195
Liberty Property Trust......... 3,742 119,781
Mack-Cali Realty Corp. (b)..... 2,626 90,781
MFA Financial, Inc. (b)........ 9,141 67,186
National Retail Properties,
Inc. (b)..................... 2,762 58,610
Nationwide Health Properties,
Inc. (b)..................... 3,762 132,347
OMEGA Healthcare Investors,
Inc. (b)..................... 2,853 55,491
ProLogis (b)................... 15,861 217,137
Rayonier, Inc. ................ 2,628 110,796
Realty Income Corp. (b)........ 3,495 90,555
Regency Centers Corp. (b)...... 2,960 103,778
Senior Housing Properties Trust
(b).......................... 4,256 93,079
UDR, Inc. (b).................. 5,122 84,206
Washington Real Estate
Investment Trust (b)......... 2,002 55,155
Weingarten Realty Investors.... 4,009 79,338
-----------
2,394,942
-----------
REAL ESTATE MANAGEMENT & DEVELOPMENT -- 1.1%
Brookfield Properties Corp.
(b).......................... 8,618 104,450
The St. Joe Co. (a)(b)......... 3,074 88,808
-----------
193,258
-----------
ROAD & RAIL -- 0.6%
Ryder Systems, Inc. (b)........ 1,864 76,741
Werner Enterprises, Inc. (b)... 1,714 33,920
-----------
110,661
-----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 0.3%
Intersil Corp. (Class A) (b)... 4,042 62,004
-----------
SOFTWARE -- 1.2%
Compuware Corp. (a)(b)......... 7,854 56,784
Novell, Inc. (a)............... 11,417 47,381
Synopsys, Inc. (a)............. 4,885 108,838
-----------
213,003
-----------
SPECIALTY RETAIL -- 2.3%
AutoNation, Inc. (a)(b)........ 2,495 47,779
Foot Locker, Inc. (b).......... 5,122 57,059
Limited Brands, Inc. (b)....... 9,216 177,316
RadioShack Corp. (b)........... 4,192 81,744
Rent-A-Center, Inc. (a)(b)..... 2,213 39,214
The Buckle, Inc. (b)........... 857 25,093
-----------
428,205
-----------
THRIFTS & MORTGAGE FINANCE -- 1.0%
Capitol Federal Financial (b).. 689 21,676
First Niagara Financial Group,
Inc. ........................ 6,139 85,394
Washington Federal, Inc. ...... 3,763 72,776
-----------
179,846
-----------
TRADING COMPANIES & DISTRIBUTORS -- 0.2%
GATX Corp. (b)................. 1,340 38,525
-----------
WATER UTILITIES -- 0.4%
Aqua America, Inc. (b)......... 4,541 79,513
-----------
WIRELESS TELECOMMUNICATION SERVICES -- 0.7%
Telephone & Data Systems,
Inc. ........................ 3,258 110,511
US Cellular Corp. (a).......... 502 21,290
-----------
131,801
-----------
TOTAL COMMON STOCKS --
(Cost $17,570,357)........... 18,180,002
-----------
SHORT TERM INVESTMENTS -- 29.0%
MONEY MARKET FUNDS -- 29.0%
State Street Institutional
Liquid Reserves Fund (c)..... 18,494 18,494
State Street Navigator
Securities Lending Prime
Portfolio (c)(d)............. 5,265,707 5,265,707
-----------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $5,284,201)............ 5,284,201
-----------
TOTAL INVESTMENTS -- 128.7% (E)
(Cost $22,854,558)........... 23,464,203
OTHER ASSETS AND
LIABILITIES -- (28.7)%....... (5,238,998)
-----------
NET ASSETS -- 100.0%........... $18,225,205
===========
</Table>
(a) Non-income producing security.
(b) Security, or portion thereof, was on loan at December 31, 2009.
(c) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3)
(d) Investments of cash collateral for securities loaned.
(e) Unless otherwise indicated, the values of the securities of the Fund are
determined based on Level 1 inputs. (Note 2)
See accompanying notes to financial statements.
SPDR DOW JONES SMALL CAP ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.8%
AEROSPACE & DEFENSE -- 1.5%
AAR Corp. (a)(b).............. 1,281 $ 29,437
Aerovironment, Inc. (a)(b).... 528 15,354
American Science &
Engineering, Inc. (b)....... 299 22,676
Applied Signal Technology,
Inc. (b).................... 438 8,449
Argon ST, Inc. (a)............ 414 8,992
BE Aerospace, Inc. (a)(b)..... 3,141 73,813
Ceradyne, Inc. (a)(b)......... 863 16,578
Cubic Corp. (b)............... 500 18,650
Curtiss-Wright Corp. (b)...... 1,461 45,759
DigitalGlobe, Inc. (a)(b)..... 1,064 25,749
Ducommun, Inc. (b)............ 349 6,530
DynCorp International, Inc.
(a)(b)...................... 784 11,250
Esterline Technologies Corp.
(a)......................... 1,010 41,178
GenCorp, Inc. (a)(b).......... 1,826 12,782
GeoEye, Inc. (a)(b)........... 651 18,150
Heico Corp. (Class A)......... 657 23,626
Hexcel Corp. (a)(b)........... 3,110 40,368
Ladish Co., Inc. (a)(b)....... 439 6,620
Moog, Inc. (Class A) (a)(b)... 1,272 37,181
Orbital Sciences Corp.
(a)(b)...................... 1,813 27,666
Stanley, Inc. (a)(b).......... 633 17,351
Taser International, Inc.
(a)(b)...................... 1,925 8,431
Teledyne Technologies, Inc.
(a)(b)...................... 1,188 45,572
TransDigm Group, Inc. (b)..... 1,200 56,988
Triumph Group, Inc. (b)....... 548 26,441
------------
645,591
------------
AIR FREIGHT & LOGISTICS -- 0.3%
Atlas Air Worldwide Holdings,
Inc. (a)(b)................. 519 19,333
Forward Air Corp. (b)......... 950 23,797
HUB Group, Inc. (Class A)
(a)......................... 1,242 33,323
Pacer International, Inc.
(a)(b)...................... 1,050 3,318
UTI Worldwide, Inc. .......... 3,244 46,454
------------
126,225
------------
AIRLINES -- 1.0%
AirTran Holdings, Inc.
(a)(b)...................... 4,543 23,714
Alaska Air Group, Inc. (a).... 1,180 40,781
Allegiant Travel Co. (a)(b)... 445 20,991
AMR Corp. (a)(b).............. 10,592 81,876
Continental Airlines, Inc.
(Class B) (a)(b)............ 4,437 79,511
Hawaiian Holdings, Inc.
(a)(b)...................... 1,629 11,403
JetBlue Airways Corp. (a)(b).. 8,357 45,546
Republic Airways Holdings,
Inc. (a)(b)................. 1,065 7,870
SkyWest, Inc. (b)............. 1,868 31,607
UAL Corp. (a)(b).............. 5,346 69,017
US Airways Group, Inc.
(a)(b)...................... 4,987 24,137
------------
436,453
------------
AUTO COMPONENTS -- 1.1%
ArvinMeritor, Inc. (a)(b)..... 2,396 26,787
Cooper Tire & Rubber Co. (b).. 1,893 37,955
Dana Holding Corp. (a)(b)..... 4,652 50,428
Drew Industries, Inc. (a)(b).. 598 12,349
Exide Technologies (a)(b)..... 1,772 12,599
Federal-Mogul Corp. (Class A)
(a)(b)...................... 761 13,165
Fuel Systems Solutions, Inc.
(a)(b)...................... 468 19,300
Gentex Corp. ................. 4,549 81,200
Lear Corp. (a)................ 1,107 74,877
Raser Technologies, Inc.
(a)(b)...................... 1,423 1,764
Superior Industries
International, Inc. (b)..... 659 10,083
Tenneco, Inc. (a)(b).......... 1,887 33,456
TRW Automotive Holdings Corp.
(a)(b)...................... 2,262 54,017
WABCO Holdings, Inc. ......... 2,034 52,457
------------
480,437
------------
AUTOMOBILES -- 0.1%
Thor Industries, Inc. (b)..... 1,251 39,282
Winnebago Industries, Inc.
(a)(b)...................... 872 10,638
------------
49,920
------------
BEVERAGES -- 0.2%
Boston Beer Co., Inc. (Class
A) (a)...................... 300 13,980
Central European Distribution
Corp. (a)(b)................ 1,928 54,775
Coca-Cola Hellenic Bottling
Co. SA (b).................. 120 6,482
National Beverage Corp.
(a)(b)...................... 314 4,352
------------
79,589
------------
BIOTECHNOLOGY -- 3.0%
Abraxis BioScience, Inc.
(a)(b)...................... 200 8,110
Acorda Therapeutics, Inc.
(a)(b)...................... 1,230 31,021
Affymax, Inc. (a)(b).......... 463 11,455
Alkermes, Inc. (a)(b)......... 3,092 29,096
Allos Therapeutics, Inc.
(a)(b)...................... 2,518 16,543
Alnylam Pharmaceuticals, Inc.
(a)(b)...................... 1,175 20,703
AMAG Pharmaceuticals, Inc.
(a)(b)...................... 537 20,422
Amicus Therapeutics, Inc.
(a)(b)...................... 289 1,147
Arena Pharmaceuticals, Inc.
(a)(b)...................... 3,068 10,891
Ariad Pharmaceuticals, Inc.
(a)(b)...................... 3,760 8,573
ArQule, Inc. (a)(b)........... 1,058 3,904
Array BioPharma, Inc. (a)(b).. 1,613 4,532
BioCryst Pharmaceuticals, Inc.
(a)(b)...................... 826 5,336
BioMarin Pharmaceutical, Inc.
(a)(b)...................... 3,208 60,342
Celera Corp. (a)(b)........... 2,647 18,291
Cell Therapeutics, Inc.
(a)(b)...................... 19,534 22,269
Cepheid, Inc. (a)(b).......... 1,934 24,136
Clinical Data, Inc. (a)(b).... 557 10,171
Cubist Pharmaceuticals, Inc.
(a)(b)...................... 1,873 35,531
Emergent Biosolutions, Inc.
(a)(b)...................... 506 6,877
Enzon Pharmaceuticals, Inc.
(a)(b)...................... 1,219 12,836
Exelixis, Inc. (a)(b)......... 3,508 25,854
Facet Biotech Corp. (a)(b).... 738 12,974
Genomic Health, Inc. (a)(b)... 485 9,487
Geron Corp. (a)(b)............ 2,860 15,873
GTX, Inc. (a)(b).............. 486 2,041
Halozyme Therapeutics, Inc.
(a)(b)...................... 2,538 14,898
Human Genome Sciences, Inc.
(a)(b)...................... 5,923 181,244
Idenix Pharmaceuticals, Inc.
(a)(b)...................... 726 1,561
Immunogen, Inc. (a)(b)........ 1,747 13,731
Immunomedics, Inc. (a)(b)..... 2,248 7,216
Incyte Corp. (a)(b)........... 3,677 33,497
InterMune, Inc. (a)(b)........ 1,148 14,970
Isis Pharmaceuticals, Inc.
(a)(b)...................... 2,962 32,878
Lexicon Pharmaceuticals, Inc.
(a)(b)...................... 4,372 7,432
Ligand Pharmaceuticals, Inc.
(Class B) (a)(b)............ 3,108 6,744
MannKind Corp. (a)(b)......... 2,081 18,230
Martek Biosciences Corp.
(a)(b)...................... 1,046 19,811
Maxygen, Inc. (a)(b).......... 895 5,451
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Medivation, Inc. (a).......... 1,098 $ 41,340
Metabolix, Inc. (a)(b)........ 692 7,660
Micromet, Inc. (a)(b)......... 2,242 14,932
Momenta Pharmaceuticals, Inc.
(a)(b)...................... 1,320 16,645
Nabi Biopharmaceuticals
(a)(b)...................... 1,763 8,639
Neurocrine Biosciences, Inc.
(a)(b)...................... 1,132 3,079
Novavax, Inc. (a)(b).......... 2,572 6,841
NPS Pharmaceuticals, Inc.
(a)(b)...................... 1,618 5,501
Onyx Pharmaceuticals, Inc.
(a)(b)...................... 1,926 56,509
Opko Health, Inc. (a)(b)...... 4,263 7,801
Orexigen Therapeutics, Inc.
(a)(b)...................... 980 7,291
Osiris Therapeutics, Inc.
(a)(b)...................... 557 3,977
PDL BioPharma, Inc. (b)....... 3,902 26,768
Pharmasset, Inc. (a)(b)....... 763 15,794
Progenics Pharmaceuticals,
Inc. (a)(b)................. 788 3,499
Regeneron Pharmaceuticals,
Inc. (a)(b)................. 2,032 49,134
Rigel Pharmaceuticals, Inc.
(a)(b)...................... 1,585 15,073
Sangamo Biosciences, Inc.
(a)(b)...................... 1,134 6,713
Savient Pharmaceuticals, Inc.
(a)(b)...................... 1,937 26,363
Seattle Genetics, Inc.
(a)(b)...................... 2,548 25,888
SIGA Technologies, Inc.
(a)(b)...................... 1,006 5,835
StemCells, Inc. (a)(b)........ 3,237 4,079
Synta Pharmaceuticals Corp.
(a)(b)...................... 271 1,371
Targacept, Inc. (a)(b)........ 630 13,180
Theravance, Inc. (a)(b)....... 1,711 22,363
United Therapeutics Corp.
(a)(b)...................... 1,537 80,923
Vanda Pharmaceuticals, Inc.
(a)(b)...................... 787 8,846
Zymogenetics, Inc. (a)(b)..... 1,086 6,940
------------
1,279,062
------------
BUILDING PRODUCTS -- 0.7%
AAON, Inc. (b)................ 480 9,355
American Woodmark Corp. (b)... 284 5,589
Ameron International Corp.
(b)......................... 290 18,403
Apogee Enterprises, Inc. (b).. 849 11,886
Armstrong World Industries,
Inc. (a)(b)................. 654 25,460
Builders FirstSource, Inc.
(a)(b)...................... 650 159
Builders FirstSource, Inc.
(a)(b)...................... 1,783 6,865
Gibraltar Industries, Inc.
(a)......................... 814 12,804
Griffon Corp. (a)(b).......... 1,644 20,090
Lennox International, Inc.
(b)......................... 1,728 67,461
Quanex Building Products Corp.
(b)......................... 1,303 22,112
Simpson Manufacturing Co.,
Inc. (b).................... 1,237 33,263
Trex Co., Inc. (a)(b)......... 498 9,761
Universal Forest Products,
Inc. (b).................... 607 22,344
USG Corp. (a)(b).............. 2,255 31,683
------------
297,235
------------
CAPITAL MARKETS -- 1.8%
Artio Global Investors, Inc.
(a)......................... 824 21,004
BGC Partners, Inc. (Class A)
(b)......................... 1,008 4,657
Broadpoint Gleacher
Securities, Inc. (a)(b)..... 2,228 9,937
Calamos Asset Management, Inc.
(Class A) (b)............... 594 6,849
Cohen & Steers, Inc. (b)...... 671 15,326
Duff & Phelps Corp. (Class A)
(b)......................... 814 14,864
E*TRADE Financial Corp.
(a)(b)...................... 61,119 106,958
Evercore Partners, Inc. (Class
A) (b)...................... 528 16,051
FBR Capital Markets Corp.
(a)(b)...................... 1,409 8,708
GAMCO Investors, Inc. (Class
A) (b)...................... 124 5,988
GFI Group, Inc. (b)........... 1,964 8,975
GLG Partners, Inc. (a)(b)..... 5,421 17,456
Greenhill & Co., Inc. (b)..... 811 65,075
Investment Technology Group,
Inc. (a)(b)................. 1,415 27,875
Janus Capital Group, Inc.
(b)......................... 5,908 79,463
KBW, Inc. (a)(b).............. 1,098 30,041
Knight Capital Group, Inc.
(Class A) (a)(b)............ 2,970 45,738
LaBranche & Cos., Inc.
(a)(b)...................... 1,674 4,754
MF Global, Ltd. (a)(b)........ 3,173 22,052
optionsXpress Holdings, Inc.
(b)......................... 1,430 22,094
Penson Worldwide, Inc.
(a)(b)...................... 630 5,708
Piper Jaffray Co., Inc.
(a)(b)...................... 639 32,340
Pzena Investment Management,
Inc. (Class A) (a)(b)....... 171 1,392
Riskmetrics Group, Inc.
(a)(b)...................... 1,020 16,228
Stifel Financial Corp.
(a)(b)...................... 1,025 60,721
SWS Group, Inc. (b)........... 942 11,398
Teton Advisors, Inc. (Class B)
(a)(c)...................... 1 2
Thomas Weisel Partners Group,
Inc. (a)(b)................. 663 2,506
TradeStation Group, Inc.
(a)(b)...................... 1,043 8,229
Waddell & Reed Financial, Inc.
(Class A)................... 2,767 84,504
Westwood Holdings Group, Inc.
(b)......................... 203 7,377
------------
764,270
------------
CHEMICALS -- 2.5%
A. Schulman, Inc. ............ 708 14,287
American Vanguard Corp. (b)... 629 5,221
Arch Chemicals, Inc. (b)...... 775 23,932
Ashland, Inc. (b)............. 2,196 87,006
Balchem Corp. (b)............. 555 18,598
Cabot Corp. .................. 1,660 43,542
Calgon Carbon Corp. (a)(b).... 1,777 24,700
Cytec Industries, Inc. (b).... 1,564 56,961
Ferro Corp. (b)............... 2,659 21,910
H.B. Fuller Co. .............. 1,587 36,104
Huntsman Corp. (b)............ 5,268 59,476
Innophos Holdings, Inc. ...... 577 13,265
Koppers Holdings, Inc. (b).... 697 21,217
Kronos Worldwide, Inc.
(a)(b)...................... 97 1,576
LSB Industries, Inc. (a)(b)... 581 8,192
Minerals Technologies, Inc.
(b)......................... 616 33,554
Nalco Holding Co. (b)......... 4,524 115,407
NewMarket Corp. (b)........... 348 39,940
NL Industries, Inc. (b)....... 222 1,541
Olin Corp. (b)................ 2,247 39,367
OM Group, Inc. (a)(b)......... 1,002 31,453
PolyOne Corp. (a)(b).......... 2,876 21,484
Rockwood Holdings, Inc. (a)... 1,613 38,002
RPM International, Inc. (b)... 4,243 86,260
Sensient Technologies Corp.
(b)......................... 1,559 41,002
Solutia, Inc. (a)............. 3,840 48,768
Spartech Corp. (b)............ 915 9,388
Stepan Co. (b)................ 258 16,721
STR Holdings, Inc. (a)........ 399 6,268
Valhi, Inc. (b)............... 346 4,834
W.R. Grace & Co. (a)(b)....... 1,920 48,672
Westlake Chemical Corp. (b)... 594 14,808
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Zep, Inc. (b)................. 638 $ 11,050
Zoltek Cos., Inc. (a)(b)...... 832 7,904
------------
1,052,410
------------
COMMERCIAL BANKS -- 5.5%
1st Source Corp. (b).......... 421 6,774
Arrow Financial Corp. (b)..... 366 9,150
Associated Ban-Corp. (b)...... 3,788 41,706
Bancfirst Corp. (b)........... 225 8,334
BancorpSouth, Inc. (b)........ 2,510 58,885
Bank of Hawaii Corp. (b)...... 1,579 74,308
Bank of the Ozarks, Inc. (b).. 380 11,123
Boston Private Financial
Holdings, Inc. (b).......... 2,327 13,427
Camden National Corp. (b)..... 259 8,469
Capital City Bank Group, Inc.
(b)......................... 388 5,370
CapitalSource, Inc. (b)....... 8,464 33,602
Capitol Bancorp, Ltd. (b)..... 482 945
Cathay General Bancorp (b).... 1,860 14,043
Chemical Financial Corp. (b).. 737 17,378
City Holding Co. (b).......... 493 15,939
CoBiz Financial, Inc. (b)..... 727 3,453
Columbia Banking System, Inc.
(b)......................... 807 13,057
Community Bank System, Inc.
(b)......................... 1,013 19,561
Community Trust Bancorp, Inc.
(b)......................... 457 11,174
CVB Financial Corp. (b)....... 3,093 26,724
Danvers Bancorp, Inc. (b)..... 610 7,924
East West Bancorp, Inc. (b)... 2,944 46,515
F.N.B. Corp. (b).............. 3,576 24,281
First Bancorp- North Carolina
(b)......................... 499 6,971
First BanCorp- Puerto Rico
(b)......................... 2,350 5,405
First Busey Corp. (b)......... 1,997 7,768
First Citizens BancShares,
Inc. (Class A) (b).......... 191 31,326
First Commonwealth Financial
Corp. (b)................... 2,563 11,918
First Community Bancshares,
Inc. (b).................... 562 6,772
First Financial Bancorp (b)... 1,761 25,640
First Financial Bankshares,
Inc. (b).................... 658 35,683
First Financial Corp. (b)..... 319 9,736
First Merchants Corp. (b)..... 671 3,986
First Midwest Bancorp, Inc.
(b)......................... 1,484 16,161
FirstMerit Corp. (b).......... 2,765 55,687
Fulton Financial Corp. (b).... 5,660 49,355
Glacier Bancorp, Inc. (b)..... 1,960 26,891
Great Southern Bancorp, Inc.
(b)......................... 376 8,031
Guaranty Bancorp (a)(b)....... 1,529 2,018
Hampton Roads Bankshares, Inc.
(b)......................... 768 1,329
Hancock Holding Co. (b)....... 994 43,527
Harleysville National Corp.
(b)......................... 1,264 8,140
Heartland Financial USA, Inc.
(b)......................... 505 7,247
Home Bancshares, Inc. (b)..... 721 17,354
Hudson Valley Holding Corp. .. 398 9,815
Huntington Bancshares, Inc.
(b)......................... 22,979 83,873
IBERIABANK Corp. (b).......... 656 35,299
Independent Bank
Corp. -- Massachusetts (b).. 654 13,662
International Bancshares Corp.
(b)......................... 1,737 32,881
Investors Bancorp, Inc.
(a)(b)...................... 1,375 15,043
Lakeland Financial Corp. (b).. 393 6,779
Marshall & Ilsley Corp. (b)... 16,533 90,105
MB Financial, Inc. (b)........ 1,559 30,744
Nara Bancorp, Inc. (a)(b)..... 1,159 13,143
National Penn Bancshares, Inc.
(b)......................... 4,092 23,693
NBT Bancorp, Inc. (b)......... 1,080 22,000
Northfield Bancorp, Inc. (b).. 613 8,288
Old National Bancorp (b)...... 2,702 33,586
Oriental Financial Group, Inc.
(b)......................... 875 9,450
Orrstown Financial Services,
Inc. (b).................... 177 6,174
Pacific Capital Bancorp (b)... 1,398 1,342
PacWest Bancorp (b)........... 785 15,818
Park National Corp. (b)....... 371 21,844
Pinnacle Financial Partners,
Inc. (a)(b)................. 1,072 15,244
Popular, Inc. ................ 21,218 47,953
PrivateBancorp, Inc. (b)...... 2,208 19,806
Prosperity Bancshares, Inc.
(b)......................... 1,495 60,503
Renasant Corp. (b)............ 633 8,609
Republic Bancorp, Inc.-
Kentucky (b)................ 304 6,262
S&T Bancorp, Inc. (b)......... 901 15,326
S.Y. Bancorp, Inc. (b)........ 360 7,686
Sandy Spring Bancorp, Inc.
(b)......................... 519 4,614
Santander Bancorp (a)(b)...... 161 1,977
SCBT Financial Corp. (b)...... 397 10,993
Signature Bank (a)(b)......... 1,289 41,119
Simmons First National Corp.
(b)......................... 500 13,900
South Financial Group, Inc.
(b)......................... 5,108 3,293
Southside Bancshares, Inc.
(b)......................... 468 9,182
StellarOne Corp. (b).......... 751 7,480
Sterling Bancorp (b).......... 575 4,106
Sterling Bancshares, Inc.
(b)......................... 2,557 13,117
Sterling Financial Corp.
(a)(b)...................... 1,573 975
Suffolk Bancorp (b)........... 290 8,613
Sun Bancorp, Inc. (a)(b)...... 581 2,179
Susquehanna Bancshares, Inc.
(b)......................... 2,805 16,521
SVB Financial Group (a)(b).... 1,318 54,947
Synovus Financial Corp. (b)... 13,755 28,198
TCF Financial Corp. (b)....... 3,836 52,246
Texas Capital Bancshares, Inc.
(a)(b)...................... 1,142 15,942
Tompkins Trustco, Inc. (b).... 236 9,558
TowneBank (b)................. 749 8,748
Trico Bancshares (b).......... 449 7,476
Trustmark Corp. (b)........... 1,873 42,217
UMB Financial Corp. (b)....... 1,137 44,741
Umpqua Holdings Corp. (b)..... 2,774 37,199
Union Bankshares Corp. (b).... 690 8,549
United Bankshares, Inc. (b)... 1,409 28,138
United Community Banks, Inc.
(a)(b)...................... 2,737 9,278
Univest Corp. of Pennsylvania
(b)......................... 466 8,169
Valley National Bancorp (b)... 4,703 66,453
Washington Trust Bancorp, Inc.
(b)......................... 467 7,276
Webster Financial Corp. (b)... 2,239 26,577
WesBanco, Inc. (b)............ 778 9,601
Westamerica Bancorporation
(b)......................... 942 52,159
Western Alliance Bancorp
(a)(b)...................... 2,222 8,399
Whitney Holding Corp. (b)..... 3,086 28,113
Wilmington Trust Corp. (b).... 2,230 27,518
Wintrust Financial Corp. (b).. 816 25,125
Zions Bancorporation (b)...... 4,525 58,056
------------
2,310,767
------------
COMMERCIAL SERVICES & SUPPLIES -- 1.9%
ABM Industries, Inc. (b)...... 1,468 30,329
ACCO Brands Corp. (a)(b)...... 1,640 11,939
American Ecology Corp. (b).... 498 8,486
American Reprographics Co.
(a)(b)...................... 1,182 8,286
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
APAC Customer Services, Inc.
(a)(b)...................... 1,048 $ 6,246
ATC Technology Corp. (a)(b)... 618 14,739
Bowne & Co., Inc. (b)......... 1,351 9,025
Cenveo, Inc. (a)(b)........... 1,884 16,485
Clean Harbors, Inc. (a)(b).... 732 43,635
Consolidated Graphics, Inc.
(a)(b)...................... 299 10,471
Cornell Companies, Inc.
(a)(b)...................... 399 9,057
Courier Corp. (b)............. 326 4,646
Deluxe Corp. (b).............. 1,613 23,856
EnergySolutions, Inc. (b)..... 2,562 21,751
EnerNOC, Inc. (a)(b).......... 560 17,018
Ennis, Inc. (b)............... 772 12,962
Fuel Tech, Inc. (a)........... 555 4,534
G & K Services, Inc. (Class A)
(b)......................... 587 14,751
Healthcare Services Group,
Inc. (b).................... 1,276 27,383
Herman Miller, Inc. (b)....... 1,780 28,445
HNI Corp. (b)................. 1,245 34,399
Innerworkings, Inc. (a)(b).... 888 5,239
Interface, Inc. (Class A)
(b)......................... 1,639 13,620
KAR Auction Services, Inc.
(a)......................... 741 10,218
Kimball International, Inc.
(Class B) (b)............... 764 6,509
Knoll, Inc. (b)............... 1,460 15,082
M&F Worldwide Corp. (a)....... 376 14,852
McGrath Rentcorp (b).......... 786 17,575
Metalico, Inc. (a)(b)......... 1,285 6,322
Mine Safety Appliances Co.
(b)......................... 1,037 27,512
Mobile Mini, Inc. (a)(b)...... 1,175 16,556
RINO International Corp.
(a)(b)...................... 255 7,051
Rollins, Inc. (b)............. 1,687 32,525
Schawk, Inc. (b).............. 391 5,318
Standard Parking Corp.
(a)(b)...................... 251 3,986
Steelcase, Inc. (Class A)
(b)......................... 1,978 12,580
Sykes Enterprises, Inc. (a)... 1,145 29,163
Team, Inc. (a)(b)............. 563 10,590
Tetra Tech, Inc. (a)(b)....... 1,939 52,683
The Brink's Co. .............. 1,567 38,141
The Geo Group, Inc. (a)(b).... 1,666 36,452
The Standard Register Co.
(b)......................... 582 2,968
United Stationers, Inc. (a)... 773 43,945
Viad Corp. (b)................ 693 14,297
------------
781,627
------------
COMMUNICATIONS EQUIPMENT -- 2.6%
3Com Corp. (a)(b)............. 12,810 96,075
Acme Packet, Inc. (a)(b)...... 965 10,615
ADC Telecommunications, Inc.
(a)(b)...................... 3,054 18,965
Adtran, Inc. (b).............. 2,026 45,686
Airvana, Inc. (a)(b).......... 995 7,562
Anaren, Inc. (a)(b)........... 509 7,660
Arris Group, Inc. (a)(b)...... 4,006 45,789
Aruba Networks, Inc. (a)(b)... 2,052 21,874
Bel Fuse, Inc. (Class B)...... 336 7,221
BigBand Networks, Inc.
(a)(b)...................... 1,253 4,310
Black Box Corp. (b)........... 561 15,899
Blue Coat Systems, Inc.
(a)(b)...................... 1,260 35,960
CIENA Corp. (a)(b)............ 2,964 32,130
CommScope, Inc. (a)(b)........ 3,060 81,182
Comtech Telecommunications
Corp. (a)(b)................ 949 33,262
DG Fastchannel, Inc. (a)(b)... 581 16,227
Digi International, Inc.
(a)(b)...................... 861 7,852
EchoStar Corp. (Class A) (a).. 1,328 26,746
EMS Technologies, Inc. (a).... 511 7,410
Emulex Corp. (a)(b)........... 2,720 29,648
Extreme Networks, Inc.
(a)(b)...................... 2,846 8,168
Finisar Corp. (a)(b).......... 2,029 18,099
Harmonic, Inc. (a)(b)......... 3,123 19,769
Harris Stratex Networks, Inc.
(Class A) (a)(b)............ 1,906 13,170
Hughes Communications, Inc.
(a)(b)...................... 263 6,846
Infinera Corp. (a)(b)......... 3,085 27,364
InterDigital, Inc. (a)(b)..... 1,414 37,528
Ixia (a)(b)................... 1,081 8,043
JDS Uniphase Corp. (a)........ 6,837 56,405
Loral Space & Communications,
Inc. (a).................... 361 11,411
Netgear, Inc. (a)(b).......... 1,061 23,013
OpNext, Inc. (a)(b)........... 1,772 3,367
Palm, Inc. (a)(b)............. 4,703 47,218
Plantronics, Inc. (b)......... 1,566 40,685
Polycom, Inc. (a)(b).......... 2,747 68,593
Riverbed Technology, Inc.
(a)(b)...................... 1,772 40,703
SeaChange International, Inc.
(a)......................... 991 6,511
ShoreTel, Inc. (a)(b)......... 585 3,381
Sonus Networks, Inc. (a)(b)... 6,586 13,896
Sycamore Networks, Inc. (a)... 629 13,152
Tekelec (a)(b)................ 2,086 31,874
UTStarcom, Inc. (a)(b)........ 3,908 8,559
ViaSat, Inc. (a).............. 957 30,414
------------
1,090,242
------------
COMPUTERS & PERIPHERALS -- 1.0%
3PAR, Inc. (a)(b)............. 1,070 12,679
Adaptec, Inc. (a)(b).......... 3,177 10,643
Avid Technology, Inc. (a)(b).. 885 11,293
Compellent Technologies, Inc.
(a)(b)...................... 524 11,884
Diebold, Inc. (b)............. 2,168 61,680
Electronics for Imaging, Inc.
(a)(b)...................... 1,565 20,361
Hutchinson Technology, Inc.
(a)(b)...................... 705 7,233
Hypercom Corp. (a)............ 1,526 4,837
Imation Corp. (a)(b).......... 954 8,319
Intermec, Inc. (a)(b)......... 1,588 20,422
Isilon Systems, Inc. (a)(b)... 759 5,207
Lexmark International, Inc.
(Class A) (a)(b)............ 2,536 65,885
Novatel Wireless, Inc.
(a)(b)...................... 937 7,468
QLogic Corp. (a)(b)........... 3,804 71,781
Quantum Corp. (a)(b).......... 6,308 18,482
Silicon Graphics International
Corp. (a)(b)................ 870 6,099
STEC, Inc. (a)(b)............. 1,152 18,824
Stratasys, Inc. (a)(b)........ 632 10,921
Synaptics, Inc. (a)(b)........ 1,080 33,102
------------
407,120
------------
CONSTRUCTION & ENGINEERING -- 0.7%
Comfort Systems USA, Inc.
(b)......................... 1,318 16,264
Dycom Industries, Inc.
(a)(b)...................... 1,214 9,748
EMCOR Group, Inc. (a)(b)...... 2,079 55,925
Furmanite Corp. (a)(b)........ 1,108 4,222
Granite Construction, Inc.
(b)......................... 1,161 39,079
Great Lakes Dredge & Dock
Corp. (b)................... 1,323 8,573
Insituform Technologies, Inc.
(a)(b)...................... 1,294 29,400
Layne Christensen Co. (a)(b).. 679 19,494
Mastec, Inc. (a)(b)........... 1,594 19,925
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Michael Baker Corp. (a)(b).... 269 $ 11,137
MYR Group, Inc. (a)........... 617 11,155
Northwest Pipe Co. (a)(b)..... 275 7,387
Orion Marine Group, Inc.
(a)(b)...................... 869 18,301
Pike Electric Corp. (a)(b).... 537 4,983
Primoris Services Corp. ...... 388 3,092
Sterling Construction Co.,
Inc. (a)(b)................. 449 8,612
Tutor Perini Corp. (a)(b)..... 838 15,151
------------
282,448
------------
CONSTRUCTION MATERIALS -- 0.2%
Eagle Materials, Inc. (b)..... 1,415 36,861
Headwaters, Inc. (a)(b)....... 1,810 11,801
Texas Industries, Inc. (b).... 768 26,872
------------
75,534
------------
CONSUMER FINANCE -- 0.5%
Advance America Cash Advance
Centers, Inc. (b)........... 1,536 8,540
AmeriCredit Corp. (a)(b)...... 2,256 42,954
Cardtronics, Inc. (a)(b)...... 524 5,801
Cash America International,
Inc. (b).................... 1,008 35,240
CompuCredit Holdings Corp.
(b)......................... 950 3,164
Credit Acceptance Corp.
(a)(b)...................... 205 8,630
Dollar Financial Corp.
(a)(b)...................... 762 18,029
Ezcorp, Inc. (a)(b)........... 1,468 25,264
First Cash Financial Services,
Inc. (a)(b)................. 889 19,727
Nelnet, Inc. (Class A) (b).... 864 14,887
The First Marblehead Corp.
(a)(b)...................... 1,947 4,147
The Student Loan Corp. (b).... 120 5,588
World Acceptance Corp.
(a)(b)...................... 447 16,016
------------
207,987
------------
CONTAINERS & PACKAGING -- 0.8%
Bway Holding Co. (a).......... 396 7,611
Graphic Packaging Holding Co.
(a)(b)...................... 2,422 8,404
Greif, Inc. (Class A) (b)..... 1,099 59,324
Myers Industries, Inc. (b).... 1,090 9,919
Packaging Corp. of America
(b)......................... 3,382 77,820
Rock-Tenn Co. (Class A) (b)... 1,257 63,366
Silgan Holdings, Inc. (b)..... 820 47,462
Temple-Inland, Inc. (b)....... 3,421 72,217
------------
346,123
------------
DISTRIBUTORS -- 0.3%
Audiovox Corp. (Class A)
(a)(b)...................... 550 3,900
Core-Mark Holding Co., Inc.
(a)(b)...................... 343 11,305
LKQ Corp. (a)(b).............. 4,602 90,153
------------
105,358
------------
DIVERSIFIED CONSUMER SERVICES -- 1.1%
American Public Education,
Inc. (a)(b)................. 578 19,860
Bridgepoint Education, Inc.
(a)(b)...................... 623 9,358
Brink's Home Security
Holdings, Inc. (a)(b)....... 1,525 49,776
Cambium Learning Group, Inc.
(a)......................... 820 3,215
Capella Education Co. (a)(b).. 470 35,391
Coinstar, Inc. (a)(b)......... 881 24,474
Corinthian Colleges, Inc.
(a)(b)...................... 2,571 35,403
Grand Canyon Education, Inc.
(a)(b)...................... 586 11,140
Hillenbrand, Inc. ............ 2,018 38,019
Jackson Hewitt Tax Service,
Inc. (a)(b)................. 783 3,445
K12, Inc. (a)(b).............. 668 13,540
Lincoln Educational Services
Corp. (a)(b)................ 300 6,501
Matthews International Corp.
(Class A)................... 968 34,296
Pre-Paid Legal Services, Inc.
(a)(b)...................... 240 9,859
Regis Corp. (b)............... 1,741 27,107
Service Corp. International
(b)......................... 8,122 66,519
Sotheby's (b)................. 2,260 50,805
Steiner Leisure, Ltd. (a)(b).. 434 17,256
Stewart Enterprises, Inc.
(Class A) (b)............... 2,542 13,091
Universal Technical Institute,
Inc. (a).................... 659 13,312
------------
482,367
------------
DIVERSIFIED FINANCIAL SERVICES -- 0.4%
Asset Acceptance Capital Corp.
(a)(b)...................... 385 2,610
Encore Capital Group, Inc.
(a)(b)...................... 512 8,909
Financial Federal Corp. (b)... 849 23,347
Interactive Brokers Group,
Inc. (Class A) (a).......... 1,321 23,408
Life Partners Holdings, Inc.
(b)......................... 241 5,107
MarketAxess Holdings, Inc.
(b)......................... 1,053 14,637
NewStar Financial, Inc. (a)... 766 3,003
PHH Corp. (a)(b).............. 1,770 28,515
Pico Holdings, Inc. (a)(b).... 605 19,802
Portfolio Recovery Associates,
Inc. (a)(b)................. 522 23,427
------------
152,765
------------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.8%
AboveNet, Inc. (a)............ 696 45,268
Alaska Communications Systems
Group, Inc. (b)............. 1,358 10,837
Atlantic Tele-Network, Inc.
(b)......................... 288 15,843
Cbeyond, Inc. (a)(b).......... 838 13,198
Cincinnati Bell, Inc. (a)(b).. 6,928 23,902
Cogent Communications Group,
Inc. (a)(b)................. 1,306 12,877
Consolidated Communications
Holdings, Inc. (b).......... 703 12,303
General Communication, Inc.
(Class A) (a)(b)............ 1,150 7,337
Global Crossing, Ltd. (a)(b).. 1,047 14,920
Iowa Telecommunications
Services, Inc. (b).......... 973 16,307
Neutral Tandem, Inc. (a)(b)... 1,132 25,753
PAETEC Holding Corp. (a)...... 3,847 15,965
Premiere Global Services, Inc.
(a)......................... 1,896 15,642
SureWest Communications
(a)(b)...................... 439 4,372
tw telecom, inc. (a)(b)....... 4,809 82,426
------------
316,950
------------
ELECTRIC UTILITIES -- 1.2%
ALLETE, Inc. (b).............. 904 29,543
Central Vermont Public Service
Corp. ...................... 350 7,280
Cleco Corp. (b)............... 1,947 53,212
El Paso Electric Co. (a)(b)... 1,410 28,595
Empire District Electric Co.
(b)......................... 1,187 22,233
Great Plains Energy, Inc.
(b)......................... 4,356 84,463
Hawaiian Electric Industries,
Inc. (b).................... 2,946 61,571
IDACORP, Inc. (b)............. 1,591 50,832
MGE Energy, Inc. (b).......... 737 26,340
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
PNM Resources, Inc. (b)....... 2,570 $ 32,510
Portland General Electric Co.
(b)......................... 2,403 49,045
UIL Holdings Corp. (b)........ 982 27,575
Unisource Energy Corp. (b).... 1,156 37,212
------------
510,411
------------
ELECTRICAL EQUIPMENT -- 1.8%
A.O. Smith Corp. (b).......... 779 33,801
A123 Systems, Inc. (a)(b)..... 871 19,545
Acuity Brands, Inc. (b)....... 1,443 51,429
Advanced Battery Technologies,
Inc. (a)(b)................. 1,348 5,392
American Superconductor Corp.
(a)(b)...................... 1,281 52,393
AZZ, Inc. (a)(b).............. 388 12,688
Baldor Electric Co. (b)....... 1,387 38,961
Belden CDT, Inc. (b).......... 1,539 33,735
Brady Corp. (Class A) (b)..... 1,575 47,266
Broadwind Energy, Inc.
(a)(b)...................... 1,043 8,438
Encore Wire Corp. (b)......... 576 12,136
Ener1, Inc. (a)(b)............ 1,660 10,524
Energy Conversion Devices,
Inc. (a)(b)................. 1,499 15,844
EnerSys (a)................... 1,372 30,006
Evergreen Solar, Inc. (a)(b).. 5,906 8,918
Franklin Electric Co., Inc.
(b)......................... 653 18,989
FuelCell Energy, Inc. (a)(b).. 2,422 9,107
General Cable Corp. (a)(b).... 1,715 50,455
GrafTech International, Ltd.
(a)(b)...................... 3,807 59,199
GT Solar International, Inc.
(a)(b)...................... 915 5,087
II-VI, Inc. (a)(b)............ 838 26,648
Plug Power, Inc. (a).......... 2,245 1,594
Polypore International, Inc.
(a)(b)...................... 807 9,603
Powell Industries, Inc. (a)... 233 7,347
Power-One, Inc. (a)(b)........ 2,423 10,540
Regal-Beloit Corp. (b)........ 1,250 64,925
Thomas & Betts Corp. (a)(b)... 1,708 61,129
Valence Technology, Inc. (a).. 1,965 1,788
Vicor Corp. (a)(b)............ 580 5,394
Woodward Governor Co. (b)..... 1,859 47,907
------------
760,788
------------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.2%
Agilysys, Inc. (b)............ 602 5,478
Anixter International, Inc.
(a)(b)...................... 994 46,817
AVX Corp. .................... 1,697 21,501
Benchmark Electronics, Inc.
(a)(b)...................... 2,131 40,297
Brightpoint, Inc. (a)(b)...... 2,226 16,361
Checkpoint Systems, Inc. (a).. 1,193 18,193
Cogent, Inc. (a)(b)........... 1,631 16,946
Cognex Corp. (b).............. 1,125 19,935
Coherent, Inc. (a)(b)......... 759 22,565
CTS Corp. .................... 1,020 9,812
Daktronics, Inc. (b).......... 1,149 10,582
DTS Inc. (a)(b)............... 539 18,439
Echelon Corp. (a)(b).......... 997 11,525
Electro Rent Corp. (b)........ 638 7,363
Electro Scientific Industries,
Inc. (a)(b)................. 772 8,353
FARO Technologies, Inc.
(a)(b)...................... 452 9,691
ICx Technologies, Inc.
(a)(b)...................... 370 3,522
Insight Enterprises, Inc.
(a)(b)...................... 1,403 16,022
IPG Photonics Corp. (a)(b).... 840 14,062
Jabil Circuit, Inc. (b)....... 6,352 110,334
L-1 Identity Solutions, Inc.
(a)(b)...................... 2,883 21,594
Littelfuse, Inc. (a)(b)....... 747 24,016
Maxwell Technologies, Inc.
(a)(b)...................... 788 14,058
Methode Electronics, Inc.
(Class A)................... 1,144 9,930
MTS Systems Corp. ............ 518 14,887
Multi-Fineline Electronix,
Inc. (a).................... 274 7,773
National Instruments Corp.
(b)......................... 2,000 58,900
Newport Corp. (a)............. 1,105 10,155
OSI Systems, Inc. (a)......... 491 13,395
Park Electrochemical Corp. ... 570 15,755
Plexus Corp. (a)(b)........... 1,293 36,851
Rofin-Sinar Technologies, Inc.
(a)......................... 988 23,327
Rogers Corp. (a).............. 517 15,670
Sanmina-SCI Corp. (a)......... 2,584 28,502
Scansource, Inc. (a)(b)....... 870 23,229
Smart Modular Technologies
(WWH), Inc. (a)(b).......... 1,149 7,227
SYNNEX Corp. (a)(b)........... 651 19,960
Tech Data Corp. (a)........... 1,665 77,689
Technitrol, Inc. (b).......... 1,200 5,256
TTM Technologies, Inc.
(a)(b)...................... 1,501 17,307
Universal Display Corp.
(a)(b)...................... 977 12,076
Vishay Intertechnology, Inc.
(a)......................... 5,428 45,324
------------
930,679
------------
ENERGY EQUIPMENT & SERVICES -- 2.4%
Allis-Chalmers Energy, Inc.
(a)(b)...................... 1,009 3,804
Atwood Oceanics, Inc. (a)(b).. 1,852 66,394
Basic Energy Services, Inc.
(a)(b)...................... 724 6,444
Bristow Group, Inc. (a)(b).... 1,142 43,910
Bronco Drilling Co., Inc.
(a)(b)...................... 850 4,310
Cal Dive International, Inc.
(a)......................... 3,153 23,837
CARBO Ceramics, Inc. (b)...... 646 44,038
Complete Production Services,
Inc. (a)(b)................. 1,989 25,857
Dawson Geophysical Co.
(a)(b)...................... 227 5,246
Dresser-Rand Group, Inc.
(a)(b)...................... 2,696 85,221
Dril-Quip, Inc. (a)(b)........ 982 55,463
ENGlobal Corp. (a)(b)......... 561 1,756
Exterran Holdings, Inc.
(a)(b)...................... 2,008 43,072
Global Industries, Ltd.
(a)(b)...................... 3,268 23,301
Gulf Island Fabrication, Inc.
(b)......................... 372 7,823
Gulfmark Offshore, Inc.
(a)(b)...................... 876 24,800
Helix Energy Solutions Group,
Inc. (a).................... 3,107 36,507
Hercules Offshore, Inc.
(a)(b)...................... 3,851 18,408
Hornbeck Offshore Services,
Inc. (a)(b)................. 815 18,973
ION Geophysical Corp. (a)(b).. 3,135 18,559
Key Energy Services, Inc.
(a)(b)...................... 4,063 35,714
Lufkin Industries, Inc. (b)... 484 35,429
Matrix Service Co. (a)........ 806 8,584
Newpark Resources, Inc.
(a)(b)...................... 2,687 11,366
Oil States International, Inc.
(a)......................... 1,581 62,117
Parker Drilling Co. (a)(b).... 3,820 18,909
PHI, Inc. (a)(b).............. 417 8,632
Pioneer Drilling Co. (a)...... 1,479 11,684
RPC, Inc. (b)................. 985 10,244
SEACOR Holdings, Inc. (a)(b).. 628 47,885
Seahawk Drilling, Inc. (a).... 384 8,655
Superior Energy Services, Inc.
(a)......................... 2,563 62,255
Superior Well Services, Inc.
(a)(b)...................... 969 13,818
T-3 Energy Services, Inc.
(a)......................... 381 9,715
Tesco Corp. (a)(b)............ 1,030 13,297
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Tetra Technologies, Inc.
(a)(b)...................... 2,453 $ 27,179
Unit Corp. (a)(b)............. 1,560 66,300
------------
1,009,506
------------
FOOD & STAPLES RETAILING -- 0.8%
Arden Group, Inc. (Class A)
(b)......................... 37 3,538
BJ's Wholesale Club, Inc.
(a)(b)...................... 1,809 59,172
Casey's General Stores, Inc.
(b)......................... 1,645 52,509
Great Atlantic & Pacific Tea
Co. (a)(b).................. 1,065 12,556
Ingles Markets, Inc. (b)...... 359 5,432
Nash Finch Co. (b)............ 389 14,428
Pantry, Inc. (a).............. 696 9,459
PriceSmart, Inc. ............. 439 8,973
Rite Aid Corp. (a)(b)......... 19,191 28,979
Ruddick Corp. (b)............. 1,376 35,405
Spartan Stores, Inc. (b)...... 670 9,574
Susser Holdings Corp. (a)..... 363 3,118
The Andersons, Inc. (b)....... 648 16,731
United Natural Foods, Inc.
(a)(b)...................... 1,285 34,361
Village Super Market, Inc.
(Class A) (b)............... 172 4,699
Weis Markets, Inc. (b)........ 364 13,235
Winn-Dixie Stores, Inc.
(a)(b)...................... 1,784 17,911
------------
330,080
------------
FOOD PRODUCTS -- 1.5%
Alico, Inc. (b)............... 112 3,188
American Italian Pasta Co.
(a)(b)...................... 679 23,622
B&G Foods, Inc. (b)........... 1,655 15,193
Cal-Maine Foods, Inc. (b)..... 443 15,097
Calavo Growers, Inc. (b)...... 405 6,885
Chiquita Brands International,
Inc. (a)(b)................. 1,421 25,635
Corn Products International,
Inc. (b).................... 2,443 71,409
Darling International, Inc.
(a)(b)...................... 2,678 22,442
Del Monte Foods Co. (b)....... 6,573 74,538
Diamond Foods, Inc. (b)....... 544 19,334
Dole Food Co., Inc. (a)(b).... 1,156 14,346
Farmer Brothers Co. (b)....... 189 3,731
Fresh Del Monte Produce, Inc.
(a)......................... 1,333 29,459
Green Mountain Coffee
Roasters, Inc. (a)(b)....... 1,278 104,119
Hain Celestial Group, Inc.
(a)(b)...................... 1,306 22,215
J&J Snack Foods Corp. (b)..... 462 18,461
Lancaster Colony Corp. (b).... 664 33,001
Lance, Inc. (b)............... 1,038 27,299
Sanderson Farms, Inc. (b)..... 564 23,778
Smart Balance, Inc. (a)(b).... 2,085 12,510
Tootsie Roll Industries, Inc.
(b)......................... 756 20,699
TreeHouse Foods, Inc. (a)(b).. 1,017 39,521
------------
626,482
------------
GAS UTILITIES -- 0.8%
Chesapeake Utilities Corp.
(b)......................... 349 11,185
Laclede Group, Inc. (b)....... 675 22,795
New Jersey Resources Corp.
(b)......................... 1,363 50,976
Nicor, Inc. (b)............... 1,454 61,213
Northwest Natural Gas Co.
(b)......................... 863 38,870
South Jersey Industries,
Inc. ....................... 959 36,615
Southwest Gas Corp. (b)....... 1,443 41,169
WGL Holdings, Inc. (b)........ 1,625 54,502
------------
317,325
------------
HEALTH CARE EQUIPMENT & SUPPLIES -- 2.5%
Abaxis, Inc. (a)(b)........... 751 19,188
ABIOMED, Inc. (a)(b).......... 1,019 8,906
Accuray, Inc. (a)(b).......... 1,212 6,799
AGA Medical Holdings, Inc.
(a)(b)...................... 446 6,587
Align Technology, Inc.
(a)(b)...................... 2,161 38,509
American Medical Systems
Holdings, Inc. (a)(b)....... 2,378 45,872
Analogic Corp. (b)............ 398 15,327
AngioDynamics, Inc. (a)(b).... 783 12,591
Cantel Medical Corp. (a)(b)... 441 8,899
Conceptus, Inc. (a)(b)........ 805 15,102
CONMED Corp. (a)(b)........... 970 22,116
CryoLife, Inc. (a)(b)......... 807 5,181
Cyberonics, Inc. (a)(b)....... 910 18,600
DexCom, Inc. (a)(b)........... 1,568 12,670
ev3, Inc. (a)(b).............. 2,176 29,028
Greatbatch, Inc. (a)(b)....... 700 13,461
Haemonetics Corp. (a)(b)...... 826 45,554
Hill-Rom Holdings, Inc. (b)... 1,988 47,692
ICU Medical, Inc. (a)(b)...... 425 15,487
Immucor, Inc. (a)(b).......... 2,268 45,904
Insulet Corp. (a)(b).......... 996 14,223
Integra LifeSciences Holdings
Corp. (a)(b)................ 700 25,746
Invacare Corp. (b)............ 1,067 26,611
IRIS International, Inc. (a).. 622 7,688
Kensey Nash Corp. (a)(b)...... 271 6,911
MAKO Surgical Corp. (a)(b).... 833 9,246
Masimo Corp. (a)(b)........... 1,702 51,775
Meridian Bioscience, Inc.
(b)......................... 1,320 28,446
Merit Medical Systems, Inc.
(a)(b)...................... 863 16,647
Natus Medical, Inc. (a)(b).... 985 14,568
Neogen Corp. (a)(b)........... 738 17,424
NuVasive, Inc. (a)(b)......... 1,182 37,800
OraSure Technologies, Inc.
(a)(b)...................... 1,536 7,803
Orthofix International N.V.
(a)(b)...................... 509 15,764
Orthovita, Inc. (a)(b)........ 2,582 9,063
Palomar Medical Technologies,
Inc. (a)(b)................. 566 5,705
Quidel Corp. (a)(b)........... 870 11,989
RTI Biologics, Inc. (a)(b).... 1,538 5,906
Sirona Dental Systems, Inc.
(a)(b)...................... 614 19,488
SonoSite, Inc. (a)(b)......... 521 12,311
STERIS Corp. (b).............. 1,741 48,696
SurModics, Inc. (a)(b)........ 482 10,922
Symmetry Medical, Inc.
(a)(b)...................... 1,000 8,060
Synovis Life Technologies,
Inc. (a).................... 403 5,203
The Cooper Cos., Inc. (b)..... 1,474 56,189
Thoratec Corp. (a)(b)......... 1,782 47,972
TomoTherapy, Inc. (a)(b)...... 1,604 6,256
Trans1, Inc. (a)(b)........... 297 1,173
Volcano Corp. (a)(b).......... 1,330 23,115
West Pharmaceutical Services,
Inc. (b).................... 1,057 41,434
Wright Medical Group, Inc.
(a)(b)...................... 1,244 23,574
Zoll Medical Corp. (a)(b)..... 636 16,994
------------
1,068,175
------------
HEALTH CARE PROVIDERS & SERVICES -- 3.8%
Air Methods Corp. (a)(b)...... 331 11,128
Alliance HealthCare Services,
Inc. (a)(b)................. 859 4,905
Almost Family, Inc. (a)(b).... 274 10,831
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Amedisys, Inc. (a)(b)......... 882 $ 42,830
AMERIGROUP Corp. (a)(b)....... 1,681 45,320
AMN Healthcare Services, Inc.
(a)(b)...................... 1,005 9,105
AmSurg Corp. (a)(b)........... 961 21,161
Assisted Living Concepts, Inc.
(Class A) (a)(b)............ 317 8,359
athenahealth, Inc. (a)(b)..... 1,002 45,330
Bio-Reference Laboratories,
Inc. (a)(b)................. 401 15,715
Brookdale Senior Living, Inc.
(a)(b)...................... 1,742 31,687
CardioNet, Inc. (a)(b)........ 728 4,324
Catalyst Health Solutions,
Inc. (a)(b)................. 1,274 46,463
Centene Corp. (a)............. 1,455 30,802
Chemed Corp. (b).............. 729 34,970
Clarient, Inc. (a)(b)......... 1,684 4,463
Corvel Corp. (a)(b)........... 237 7,949
Cross Country Healthcare, Inc.
(a)(b)...................... 858 8,503
Emdeon, Inc. (Class A)
(a)(b)...................... 842 12,840
Emergency Medical Services
Corp. (Class A) (a)......... 667 36,118
Emeritus Corp. (a)(b)......... 614 11,512
Genoptix, Inc. (a)(b)......... 534 18,973
Gentiva Health Services, Inc.
(a)(b)...................... 960 25,930
Hanger Orthopedic Group, Inc.
(a)(b)...................... 974 13,470
Health Management Associates,
Inc. (Class A) (a)(b)....... 7,847 57,048
Health Net, Inc. (a).......... 3,340 77,789
HEALTHSOUTH Corp. (a)(b)...... 3,115 58,469
Healthspring, Inc. (a)(b)..... 1,771 31,187
Healthways, Inc. (a)(b)....... 1,028 18,854
HMS Holdings Corp. (a)........ 824 40,121
inVentiv Health, Inc. (a)(b).. 1,147 18,547
IPC The Hospitalist Co. (a)... 471 15,661
Kindred Healthcare, Inc.
(a)(b)...................... 1,315 24,275
Landauer, Inc. (b)............ 282 17,315
LHC Group, Inc. (a)(b)........ 519 17,444
LifePoint Hospitals, Inc.
(a)(b)...................... 1,801 58,550
Magellan Health Services, Inc.
(a)......................... 1,124 45,781
Medcath Corp. (a)............. 482 3,813
MEDNAX, Inc. (a)(b)........... 1,505 90,466
Molina Healthcare, Inc.
(a)(b)...................... 405 9,262
MWI Veterinary Supply, Inc.
(a)(b)...................... 356 13,421
National Healthcare Corp.
(b)......................... 270 9,750
Nighthawk Radiology Holdings,
Inc. (a)(b)................. 674 3,053
Odyssey Healthcare, Inc.
(a)(b)...................... 1,050 16,359
Owens & Minor, Inc. (b)....... 1,379 59,200
PharMerica Corp. (a)(b)....... 1,006 15,975
PSS World Medical, Inc.
(a)(b)...................... 1,969 44,440
Psychiatric Solutions, Inc.
(a)(b)...................... 1,718 36,319
RehabCare Group, Inc. (a)..... 770 23,431
Res-Care, Inc. (a)............ 795 8,904
Select Medical Holdings Corp.
(a)......................... 889 9,441
Skilled Healthcare Group, Inc.
(Class A) (a)(b)............ 608 4,530
Sun Healthcare Group, Inc.
(a)(b)...................... 1,444 13,241
Team Health Holdings, Inc.
(a)......................... 723 10,136
Tenet Healthcare Corp.
(a)(b)...................... 15,786 85,087
The Ensign Group, Inc. (b).... 361 5,549
Triple-S Management Corp.
(Class B) (a)............... 674 11,862
Universal American Financial
Corp. (a)................... 1,347 15,760
VCA Antech, Inc. (a)(b)....... 2,796 69,676
Virtual Radiologic Corp.
(a)(b)...................... 215 2,743
WellCare Health Plans, Inc.
(a)(b)...................... 1,381 50,766
------------
1,596,913
------------
HEALTH CARE TECHNOLOGY -- 0.4%
Allscripts-Misys Healthcare
Solutions, Inc. (a)(b)...... 1,850 37,425
Computer Programs and Systems,
Inc. (b).................... 350 16,118
Eclipsys Corp. (a)(b)......... 1,815 33,614
MedAssets, Inc. (a)........... 1,506 31,942
Medidata Solutions, Inc.
(a)(b)...................... 742 11,575
MedQuist, Inc. (b)............ 372 2,489
Omnicell, Inc. (a)(b)......... 979 11,445
Phase Forward, Inc. (a)(b).... 1,410 21,643
------------
166,251
------------
HOTELS, RESTAURANTS & LEISURE -- 2.4%
AFC Enterprises, Inc. (a)(b).. 785 6,406
Ambassadors Group, Inc. (b)... 579 7,695
Ameristar Casinos, Inc. (b)... 707 10,768
Bally Technologies, Inc.
(a)(b)...................... 1,795 74,116
BJ's Restaurants, Inc.
(a)(b)...................... 555 10,445
Bob Evans Farms, Inc. (b)..... 1,016 29,413
Boyd Gaming Corp. (a)(b)...... 1,744 14,597
Brinker International, Inc.
(b)......................... 3,214 47,953
Buffalo Wild Wings, Inc.
(a)(b)...................... 556 22,390
California Pizza Kitchen, Inc.
(a)(b)...................... 748 10,061
CEC Entertainment, Inc.
(a)(b)...................... 715 22,823
Choice Hotels International,
Inc. (b).................... 945 29,919
Churchill Downs, Inc. (b)..... 310 11,578
CKE Restaurants, Inc. ........ 1,675 14,170
Cracker Barrel Old Country
Store, Inc. (b)............. 733 27,847
Denny's Corp. (a)(b).......... 3,301 7,229
DineEquity, Inc. (a)(b)....... 464 11,271
Domino's Pizza, Inc. (a)(b)... 1,275 10,684
Gaylord Entertainment Co.
(a)(b)...................... 1,160 22,910
International Speedway Corp.
(Class A) (b)............... 890 25,320
Interval Leisure Group, Inc.
(a)(b)...................... 1,188 14,814
Isle of Capri Casinos, Inc.
(a)(b)...................... 547 4,092
Jack in the Box, Inc. (a)..... 1,842 36,232
Krispy Kreme Doughnuts, Inc.
(a)......................... 1,709 5,042
Landry's Restaurants, Inc.
(a)......................... 296 6,302
Life Time Fitness, Inc.
(a)(b)...................... 1,373 34,229
Marcus Corp. (b).............. 656 8,410
Morgans Hotel Group Co.
(a)(b)...................... 824 3,733
Orient-Express Hotels, Ltd.
(Class A) (a)(b)............ 2,496 25,309
P F Chang's China Bistro, Inc.
(a)(b)...................... 736 27,902
Panera Bread Co. (Class A)
(a)(b)...................... 997 66,769
Papa John's International,
Inc. (a).................... 726 16,959
Peet's Coffee & Tea, Inc.
(a)(b)...................... 425 14,165
Pinnacle Entertainment, Inc.
(a)(b)...................... 2,055 18,454
Red Robin Gourmet Burgers,
Inc. (a)(b)................. 445 7,965
Ruby Tuesday, Inc. (a)........ 1,970 14,184
Scientific Games Corp. (Class
A) (a)(b)................... 2,256 32,825
Shuffle Master, Inc. (a)(b)... 1,620 13,349
Sonic Corp. (a)(b)............ 2,002 20,160
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Speedway Motorsports, Inc.
(b)......................... 423 $ 7,453
Texas Roadhouse, Inc. (Class
A) (a)(b)................... 1,590 17,856
The Cheesecake Factory, Inc.
(a)(b)...................... 1,780 38,430
The Steak N Shake Co. (a)..... 43 13,937
Vail Resorts, Inc. (a)(b)..... 1,152 43,546
WMS Industries, Inc. (a)(b)... 1,931 77,240
------------
986,952
------------
HOUSEHOLD DURABLES -- 1.6%
American Greetings Corp.
(Class A) (b)............... 1,166 25,407
Blyth, Inc. (b)............... 199 6,710
Brookfield Homes Corp.
(a)(b)...................... 307 2,456
CSS Industries, Inc. (b)...... 251 4,879
Ethan Allen Interiors, Inc.
(b)......................... 824 11,058
Furniture Brands
International, Inc. (a)(b).. 1,085 5,924
Harman International
Industries, Inc. (b)........ 2,241 79,063
Helen of Troy, Ltd. (a)....... 881 21,549
Hovnanian Enterprises, Inc.
(a)(b)...................... 1,647 6,324
iRobot Corp. (a)(b)........... 587 10,331
Jarden Corp. (b).............. 2,894 89,454
KB HOME (b)................... 2,425 33,174
La-Z-Boy, Inc. (a)(b)......... 1,720 16,392
Lennar Corp. (Class A) (b).... 5,266 67,247
M.D.C. Holdings, Inc. (b)..... 1,171 36,348
M/I Homes, Inc. (a)(b)........ 673 6,992
Meritage Homes Corp. (a)(b)... 970 18,750
National Presto Industries,
Inc. (b).................... 150 16,385
Ryland Group, Inc. (b)........ 1,398 27,541
Sealy Corp. (a)(b)............ 1,352 4,272
Skyline Corp. (b)............. 205 3,772
Standard Pacific Corp.
(a)(b)...................... 3,432 12,836
Tempur-Pedic International,
Inc. (a)(b)................. 2,244 53,026
Tupperware Brands Corp. ...... 2,062 96,027
------------
655,917
------------
HOUSEHOLD PRODUCTS -- 0.1%
Central Garden & Pet Co.
(Class A) (a)(b)............ 2,144 21,311
WD-40 Co. .................... 519 16,795
------------
38,106
------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.1%
Ormat Technologies, Inc. (b).. 590 22,326
------------
INDUSTRIAL CONGLOMERATES -- 0.3%
Carlisle Cos., Inc. (b)....... 2,017 69,102
Otter Tail Corp. (b).......... 1,046 25,941
Raven Industries, Inc. (b).... 543 17,251
Seaboard Corp. (b)............ 10 13,490
Standex International Corp.
(b)......................... 374 7,514
Tredegar Corp. (b)............ 738 11,675
------------
144,973
------------
INSURANCE -- 3.6%
AMBAC Financial Group, Inc.
(a)(b)...................... 8,772 7,281
American Equity Investment
Life Holding Co. (b)........ 1,656 12,321
American National Insurance
Co. (b)..................... 515 61,512
American Physicians Capital,
Inc. (b).................... 330 10,006
AMERISAFE, Inc. (a)(b)........ 632 11,357
Amtrust Financial Services,
Inc. (b).................... 810 9,574
Argo Group International
Holdings, Ltd. (a)(b)....... 999 29,111
Arthur J. Gallagher & Co.
(b)......................... 3,238 72,887
Aspen Insurance Holdings,
Ltd. ....................... 2,490 63,371
Assured Guaranty, Ltd. (b).... 4,008 87,214
Baldwin & Lyons, Inc. (Class
B) (b)...................... 306 7,531
Citizens, Inc. (a)(b)......... 1,068 6,974
CNA Surety Corp. (a)(b)....... 482 7,177
Conseco, Inc. (a)(b).......... 6,087 30,435
Crawford & Co. (Class B)
(a)(b)...................... 762 3,002
Delphi Financial Group........ 1,501 33,577
Donegal Group, Inc. (Class A)
(b)......................... 398 6,185
eHealth, Inc. (a)(b).......... 747 12,273
EMC Insurance Group, Inc.
(b)......................... 210 4,517
Employers Holdings, Inc. (b).. 1,467 22,504
Endurance Specialty Holdings,
Ltd. (b).................... 1,660 61,802
Enstar Group, Ltd. (a)........ 217 15,845
Erie Indemnity Co. (Class A)
(b)......................... 1,005 39,215
FBL Financial Group, Inc.
(Class A) (b)............... 393 7,278
First Mercury Financial Corp.
(b)......................... 531 7,280
Flagstone Reinsurance
Holdings, Ltd. (b).......... 1,160 12,690
FPIC Insurance Group, Inc.
(a)(b)...................... 237 9,153
Greenlight Capital Re, Ltd.
(Class A) (a)............... 988 23,287
Harleysville Group, Inc. (b).. 404 12,843
Hilltop Holdings, Inc.
(a)(b)...................... 1,458 16,971
Horace Mann Educators Corp. .. 1,194 14,925
Infinity Property & Casualty
Corp. ...................... 442 17,963
Kansas City Life Insurance Co.
(b)......................... 129 3,838
Maiden Holdings, Ltd. (b)..... 1,826 13,366
Max Capital Group, Ltd. (b)... 1,544 34,431
MBIA, Inc. (a)(b)............. 5,137 20,445
Meadowbrook Insurance Group,
Inc. ....................... 1,942 14,371
Mercury General Corp. (b)..... 860 33,764
Montpelier Re Holdings, Ltd.
(b)......................... 2,535 43,906
National Financial Partners
Corp. (a)(b)................ 1,419 11,480
National Interstate Corp. .... 190 3,222
National Western Life
Insurance Co. (Class A)
(b)......................... 70 12,153
Navigators Group, Inc. (a).... 452 21,294
OneBeacon Insurance Group,
Ltd. (Class A) (b).......... 695 9,577
Platinum Underwriters
Holdings, Ltd. (b).......... 1,650 63,179
PMA Capital Corp. (Class A)
(a)(b)...................... 1,116 7,031
Presidential Life Corp. (b)... 665 6,085
ProAssurance Corp. (a)(b)..... 1,096 58,866
Protective Life Corp. (b)..... 2,786 46,108
RLI Corp. (b)................. 625 33,281
Safety Insurance Group, Inc.
(b)......................... 524 18,985
Seabright Insurance Holdings
(a)(b)...................... 726 8,342
Selective Insurance Group,
Inc. ....................... 1,730 28,459
StanCorp Financial Group,
Inc. ....................... 1,618 64,752
State Auto Financial Corp.
(b)......................... 431 7,974
Stewart Information Services
Corp. (b)................... 515 5,809
The Phoenix Cos., Inc.
(a)(b)...................... 3,296 9,163
Tower Group, Inc. (b)......... 1,308 30,620
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
United America Indemnity, Ltd.
(Class A) (a)(b)............ 1,023 $ 8,102
United Fire & Casualty Co.
(b)......................... 759 13,837
Unitrin, Inc. (b)............. 1,502 33,119
Validus Holdings, Ltd. (b).... 3,142 84,645
Zenith National Insurance
Corp. (b)................... 1,216 36,188
------------
1,524,453
------------
INTERNET & CATALOG RETAIL -- 0.4%
1-800-FLOWERS.COM, Inc. (Class
A) (a)...................... 710 1,882
Blue Nile, Inc. (a)(b)........ 461 29,195
Gaiam, Inc. (Class A) (a)(b).. 436 3,353
HSN, Inc. (a)(b).............. 1,373 27,721
NutriSystem, Inc. (b)......... 986 30,734
Orbitz Worldwide, Inc.
(a)(b)...................... 1,119 8,213
Overstock.com, Inc. (a)(b).... 479 6,495
PetMed Express, Inc. (b)...... 780 13,751
Shutterfly, Inc. (a)(b)....... 640 11,398
Stamps.com, Inc. (a).......... 453 4,077
Ticketmaster Entertainment,
Inc. (a)(b)................. 1,405 17,169
Vitacost.com, Inc. (a)........ 266 2,772
------------
156,760
------------
INTERNET SOFTWARE & SERVICES -- 1.3%
Ancestry.com, Inc. (a)........ 240 3,362
Archipelago Learning, Inc.
(a)......................... 239 4,947
Art Technology Group, Inc.
(a)......................... 4,430 19,979
comScore, Inc. (a)(b)......... 752 13,198
Constant Contact, Inc.
(a)(b)...................... 843 13,488
DealerTrack Holdings, Inc.
(a)(b)...................... 1,167 21,928
Dice Holdings, Inc. (a)(b).... 703 4,605
Digital River, Inc. (a)(b).... 1,218 32,874
DivX, Inc. (a)................ 862 4,862
EarthLink, Inc. (b)........... 3,369 27,996
GSI Commerce, Inc. (a)(b)..... 1,517 38,517
InfoSpace, Inc. (a)........... 1,070 9,170
Internap Network Services
Corp. (a)(b)................ 1,494 7,022
Internet Brands, Inc. (Class
A) (a)(b)................... 920 7,204
j2 Global Communications, Inc.
(a)(b)...................... 1,439 29,284
Limelight Networks, Inc. (a).. 1,216 4,779
Liquidity Services, Inc. (a).. 524 5,277
LogMeIn, Inc. (a)(b).......... 269 5,367
LoopNet, Inc. (a)(b).......... 1,082 10,755
Marchex, Inc. (Class B) (b)... 792 4,023
ModusLink Global Solutions,
Inc. (a).................... 1,444 13,588
Move, Inc. (a)(b)............. 4,539 7,535
NIC, Inc. (b)................. 1,818 16,616
OpenTable, Inc. (a)........... 495 12,603
Perficient, Inc. (a)(b)....... 940 7,924
Rackspace Hosting, Inc.
(a)(b)...................... 2,464 51,374
RealNetworks, Inc. (a)........ 2,783 10,325
SAVVIS, Inc. (a)(b)........... 1,288 18,096
Switch & Data Facilities Co.,
Inc. (a)(b)................. 674 13,622
TechTarget, Inc. (a)(b)....... 342 1,925
Terremark Worldwide, Inc.
(a)(b)...................... 1,473 10,075
The Knot, Inc. (a)(b)......... 930 9,365
United Online, Inc. .......... 2,787 20,038
ValueClick, Inc. (a)(b)....... 2,713 27,456
Vocus, Inc. (a)(b)............ 589 10,602
WebMD Health Corp. (Class A)
(a)(b)...................... 1,545 59,467
------------
559,248
------------
IT SERVICES -- 1.7%
Acxiom Corp. (a)(b)........... 2,540 34,087
CACI International, Inc.
(Class A) (a)(b)............ 975 47,629
Cass Information Systems, Inc.
(b)......................... 251 7,630
CIBER, Inc. (a)(b)............ 1,681 5,799
Convergys Corp. (a)(b)........ 3,764 40,463
CSG Systems International,
Inc. (a)(b)................. 1,072 20,464
CyberSource Corp. (a)(b)...... 2,264 45,529
Echo Global Logistics, Inc.
(a)(b)...................... 136 1,726
Euronet Worldwide, Inc.
(a)(b)...................... 1,517 33,298
ExlService Holdings, Inc.
(a)(b)...................... 447 8,118
Forrester Research, Inc.
(a)(b)...................... 454 11,781
Gartner, Inc. (a)(b).......... 2,026 36,549
Global Cash Access Holdings,
Inc. (a)(b)................. 1,192 8,928
Heartland Payment Systems,
Inc. (b).................... 1,317 17,292
iGate Corp. .................. 837 8,370
infoUSA, Inc. (a)(b).......... 977 7,836
Integral Systems Inc. (a)(b).. 521 4,512
Lionbridge Technologies, Inc.
(a)(b)...................... 1,608 3,698
MAXIMUS, Inc. (b)............. 546 27,300
MoneyGram International, Inc.
(a)(b)...................... 2,477 7,134
NCI, Inc. (Class A) (a)(b).... 225 6,221
NeuStar, Inc. (Class A) (a)... 2,398 55,250
RightNow Technologies, Inc.
(a)(b)...................... 719 12,489
Sapient Corp. (a)............. 2,997 24,785
SRA International, Inc. (Class
A) (a)(b)................... 1,400 26,740
Syntel, Inc. (b).............. 749 28,484
TeleTech Holdings, Inc. (a)... 1,119 22,414
TNS, Inc. (a)................. 846 21,734
Unisys Corp. (a).............. 1,226 47,275
VeriFone Holdings, Inc.
(a)(b)...................... 2,377 38,935
Wright Express Corp. (a)...... 1,217 38,774
------------
701,244
------------
LEISURE EQUIPMENT & PRODUCTS -- 0.5%
Brunswick Corp. (b)........... 2,849 36,211
Callaway Golf Co. (b)......... 1,980 14,929
Eastman Kodak Co. (a)(b)...... 8,084 34,114
JAKKS Pacific, Inc. (a)(b).... 832 10,084
Leapfrog Enterprises, Inc.
(a)(b)...................... 1,087 4,250
Marine Products Corp. (b)..... 434 2,140
Polaris Industries, Inc. (b).. 1,064 46,422
Pool Corp. (b)................ 1,567 29,898
RC2 Corp. (a)................. 757 11,166
Smith & Wesson Holding Corp.
(a)(b)...................... 2,061 8,430
------------
197,644
------------
LIFE SCIENCES TOOLS & SERVICES -- 0.7%
Affymetrix, Inc. (a)(b)....... 2,314 13,514
Albany Molecular Research,
Inc. (a)(b)................. 683 6,202
Bio-Rad Laboratories, Inc.
(Class A) (a)(b)............ 642 61,927
Bruker Corp. (a)(b)........... 1,749 21,093
Cambrex Corp. (a)(b).......... 872 4,866
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Dionex Corp. (a)(b)........... 564 $ 41,663
Enzo Biochem, Inc. (a)(b)..... 1,170 6,295
eResearch Technology, Inc.
(a)(b)...................... 1,653 9,934
Kendle International, Inc.
(a)(b)...................... 410 7,507
Luminex Corp. (a)(b).......... 1,317 19,663
PAREXEL International Corp.
(a)......................... 1,909 26,917
Sequenom, Inc. (a)(b)......... 1,746 7,228
Varian, Inc. (a)(b)........... 965 49,736
------------
276,545
------------
MACHINERY -- 4.2%
Actuant Corp. (Class A) (b)... 2,134 39,543
Albany International Corp.
(Class A) (b)............... 877 19,697
Altra Holdings, Inc. (a)(b)... 804 9,929
American Railcar Industries,
Inc. (b).................... 264 2,909
Ampco-Pittsburgh Corp. (b).... 253 7,977
Astec Industries, Inc.
(a)(b)...................... 523 14,090
Badger Meter, Inc. (b)........ 489 19,472
Barnes Group, Inc. (b)........ 1,346 22,747
Blount International, Inc.
(a)(b)...................... 1,210 12,221
Briggs & Stratton Corp. (b)... 1,616 30,235
Bucyrus International, Inc.
(Class A) (b)............... 2,398 135,175
Cascade Corp. (b)............. 284 7,807
Chart Industries, Inc.
(a)(b)...................... 976 16,153
CIRCOR International, Inc.
(b)......................... 508 12,791
CLARCOR, Inc. (b)............. 1,617 52,456
Colfax Corp. (a)(b)........... 818 9,849
Columbus McKinnon Corp.
(a)(b)...................... 577 7,882
Crane Co. (b)................. 1,613 49,390
Dynamic Materials Corp. (b)... 382 7,659
Energy Recovery, Inc. (a)(b).. 949 6,529
EnPro Industries, Inc.
(a)(b)...................... 606 16,004
ESCO Technologies, Inc. (b)... 846 30,329
Federal Signal Corp. (b)...... 1,457 8,771
Force Protection, Inc.
(a)(b)...................... 2,146 11,181
Freightcar America, Inc. (b).. 354 7,020
Gardner Denver, Inc. (b)...... 1,683 71,612
Graco, Inc. (b)............... 2,008 57,369
Graham Corp. (b).............. 304 6,293
IDEX Corp. (b)................ 2,662 82,921
John Bean Technologies Corp.
(b)......................... 925 15,734
K-Tron International, Inc.
(a)(b)...................... 78 8,482
Kaydon Corp. (b).............. 1,053 37,655
Kennametal, Inc. (b).......... 2,644 68,533
L.B. Foster Co. (a)........... 325 9,688
Lindsay Corp. (b)............. 343 13,669
Middleby Corp. (a)(b)......... 578 28,334
Mueller Industries, Inc. (b).. 1,210 30,056
Mueller Water Products, Inc.
(Class A) (b)............... 4,998 25,990
NACCO Industries, Inc. (b).... 165 8,217
Nordson Corp. (b)............. 982 60,079
Oshkosh Corp. (b)............. 2,854 105,684
RBC Bearings, Inc. (a)(b)..... 664 16,155
Robbins & Myers, Inc. (b)..... 802 18,863
Sauer-Danfoss, Inc. (a)(b).... 331 3,975
Snap-On, Inc. (b)............. 1,899 80,252
Sun Hydraulics Corp. (b)...... 365 9,581
Tecumseh Products Co. (Class
A) (a)(b)................... 479 5,600
Tennant Co. (b)............... 596 15,609
Terex Corp. (a)(b)............ 3,462 68,582
The Gorman-Rupp Co. (b)....... 437 12,079
The Greenbrier Cos., Inc.
(b)......................... 470 4,879
The Manitowoc Co., Inc. (b)... 4,269 42,562
The Timken Co. ............... 2,557 60,626
The Toro Co. (b).............. 1,149 48,040
Titan International, Inc.
(b)......................... 1,047 8,491
Trinity Industries, Inc. (b).. 2,527 44,071
Valmont Industries, Inc. (b).. 683 53,581
Wabtec Corp. (b).............. 1,603 65,467
Watts Water Technologies, Inc.
(b)......................... 969 29,961
------------
1,776,506
------------
MARINE -- 0.4%
Alexander & Baldwin, Inc.
(b)......................... 1,348 46,142
American Commercial Lines,
Inc. (a)(b)................. 292 5,352
Eagle Bulk Shipping, Inc.
(a)(b)...................... 2,215 10,964
Excel Maritime Carriers, Ltd.
(a)(b)...................... 1,623 9,998
Genco Shipping & Trading, Ltd.
(a)(b)...................... 906 20,276
Horizon Lines, Inc. (Class A)
(b)......................... 917 5,108
Kirby Corp. (a)(b)............ 1,775 61,823
TBS International, Ltd.
(a)(b)...................... 468 3,440
------------
163,103
------------
MEDIA -- 1.8%
Arbitron, Inc. (b)............ 815 19,087
Ascent Media Corp. (Class A)
(a)(b)...................... 470 11,999
Belo Corp. (b)................ 2,764 15,036
Cinemark Holdings, Inc. (b)... 1,185 17,029
CKX, Inc. (a)(b).............. 2,006 10,572
Crown Media Holdings, Inc.
(Class A) (a)(b)............ 285 413
Dolan Media Co. (a)(b)........ 897 9,158
Fisher Communications, Inc.
(a)(b)...................... 181 2,941
Gannett Co., Inc. (b)......... 7,374 109,504
Harte-Hanks, Inc. (b)......... 1,163 12,537
Journal Communications,
Inc. ....................... 1,252 4,870
Knology, Inc. (a)(b).......... 997 10,917
Lamar Advertising Co. (Class
A) (a)(b)................... 1,833 56,988
Liberty Media Corp.-
Interactive (Class A)
(a)(b)...................... 2,823 67,413
Live Nation, Inc. (a)(b)...... 2,802 23,845
Martha Stewart Living
Omnimedia, Inc. (Class A)
(a)(b)...................... 820 4,051
Mediacom Communications Corp.
(Class A) (a)............... 1,195 5,342
Meredith Corp. (b)............ 1,168 36,033
Morningstar, Inc. (a)......... 726 35,095
National CineMedia, Inc. (b).. 1,381 22,883
PRIMEDIA, Inc. (b)............ 565 2,040
RCN Corp. (a)(b).............. 1,126 12,217
Regal Entertainment Group
(b)......................... 2,539 36,663
Scholastic Corp. (b).......... 947 28,249
Sinclair Broadcast Group, Inc.
(a)(b)...................... 1,515 6,105
Sirius XM Radio, Inc. (a)(b).. 126,941 76,165
The E.W. Scripps Co. (Class A)
(a)(b)...................... 924 6,431
The New York Times Co. (Class
A) (a)(b)................... 3,160 39,058
Valassis Communications, Inc.
(a)......................... 1,632 29,800
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Value Line, Inc. (b).......... 21 $ 527
Warner Music Group Corp.
(a)(b)...................... 1,723 9,752
World Wrestling Entertainment,
Inc. (Class A) (b).......... 953 14,610
------------
737,330
------------
METALS & MINING -- 1.7%
A.M. Castle & Co. (b)......... 537 7,352
AK Steel Holding Corp. (b).... 3,599 76,839
Allied Nevada Gold Corp.
(a)(b)...................... 2,047 30,869
AMCOL International Corp.
(b)......................... 882 25,066
Brush Engineered Materials,
Inc. (a).................... 617 11,439
Carpenter Technology Corp.
(b)......................... 1,442 38,862
Century Aluminum Co. (a)(b)... 2,159 34,954
Coeur d'Alene Mines Corp.
(a)(b)...................... 2,454 44,319
Commercial Metals Co. (b)..... 3,706 57,999
Compass Minerals
International, Inc. (b)..... 1,064 71,490
Haynes International, Inc.
(b)......................... 361 11,902
Hecla Mining Co. (a).......... 7,946 49,106
Horsehead Holding Corp.
(a)(b)...................... 1,306 16,652
Kaiser Aluminum Corp. (b)..... 532 22,142
Olympic Steel, Inc. (b)....... 287 9,350
Royal Gold, Inc. (b).......... 1,346 63,397
RTI International Metals, Inc.
(a)(b)...................... 938 23,609
Schnitzer Steel Industries,
Inc. (Class A) (b).......... 661 31,530
Stillwater Mining Co. (a)..... 1,346 12,760
Titanium Metals Corp. (a)(b).. 2,722 34,079
US Gold Corp. (a)............. 3,023 7,497
Worthington Industries, Inc.
(b)......................... 2,167 28,323
------------
709,536
------------
MULTI-UTILITIES -- 0.3%
Avista Corp. (b).............. 1,777 38,365
Black Hills Corp. (b)......... 1,263 33,634
CH Energy Group, Inc. (b)..... 517 21,983
NorthWestern Corp. (b)........ 1,175 30,573
------------
124,555
------------
MULTILINE RETAIL -- 0.4%
99 Cents Only Stores (a)(b)... 1,594 20,834
Big Lots, Inc. (a)(b)......... 2,652 76,855
Dillard's, Inc. (Class A)
(b)......................... 1,785 32,933
Fred's, Inc. (Class A) (b).... 1,145 11,679
Retail Ventures, Inc. (a)(b).. 630 5,601
Saks, Inc. (a)(b)............. 4,551 29,854
------------
177,756
------------
OFFICE ELECTRONICS -- 0.1%
Zebra Technologies Corp.
(Class A) (a)(b)............ 1,890 53,600
------------
OIL, GAS & CONSUMABLE FUELS -- 3.8%
Alon USA Energy, Inc. (b)..... 363 2,483
APCO Oil and Gas
International, Inc. (b)..... 280 6,188
Arena Resources, Inc. (a)..... 1,238 53,383
Atlas Energy, Inc. (b)........ 2,547 76,843
ATP Oil & Gas Corp. (a)(b).... 1,407 25,720
Berry Petroleum Co. (Class A)
(b)......................... 1,327 38,682
Bill Barrett Corp. (a)(b)..... 1,086 33,785
BP Prudhoe Bay Royalty Trust
(b)......................... 678 56,138
BPZ Resources, Inc. (a)(b).... 3,454 32,813
Brigham Exploration Co.
(a)(b)...................... 3,054 41,382
Carrizo Oil & Gas, Inc.
(a)(b)...................... 932 24,689
Cheniere Energy, Inc. (a)(b).. 1,725 4,175
Clayton Williams Energy, Inc.
(a)(b)...................... 287 10,056
Clean Energy Fuels Corp.
(a)(b)...................... 1,267 19,524
Cloud Peak Energy, Inc.
(a)(b)...................... 1,092 15,900
Comstock Resources, Inc.
(a)(b)...................... 1,522 61,748
Contango Oil & Gas Co.
(a)(b)...................... 422 19,838
Crosstex Energy, Inc. (b)..... 1,390 8,410
CVR Energy, Inc. (a)(b)....... 1,883 12,917
Delek US Holdings, Inc. (b)... 435 2,962
Delta Petroleum Corp. (a)(b).. 5,879 6,114
DHT Maritime, Inc. (b)........ 1,314 4,836
Encore Acquisition Co. (a).... 1,784 85,668
Frontier Oil Corp. ........... 3,354 40,382
Gastar Exploration, Ltd.
(a)(b)...................... 1,493 7,151
General Maritime Corp. (b).... 1,727 12,072
GMX Resources, Inc. (a)(b).... 977 13,424
Goodrich Petroleum Corp.
(a)(b)...................... 820 19,967
Gulfport Energy Corp. (a)..... 808 9,252
Harvest Natural Resources,
Inc. (a)(b)................. 1,053 5,570
Holly Corp. (b)............... 1,363 34,934
Hugoton Royalty Trust (b)..... 1,234 19,843
International Coal Group, Inc.
(a)(b)...................... 3,122 12,051
Isramco, Inc. (a)............. 43 3,075
James River Coal Co. (a)(b)... 869 16,103
Mariner Energy, Inc. (a)(b)... 3,350 38,894
Massey Energy Co. (b)......... 2,811 118,090
McMoRan Exploration Co.
(a)(b)...................... 2,502 20,066
Overseas Shipholding Group,
Inc. (b).................... 800 35,160
Patriot Coal Corp. (a)(b)..... 2,466 38,124
Penn Virginia Corp. (b)....... 1,438 30,615
Petroleum Development Corp.
(a)(b)...................... 582 10,598
Petroquest Energy, Inc.
(a)(b)...................... 1,831 11,224
Rentech, Inc. (a)(b).......... 6,528 8,029
Resolute Energy Corp. (a)..... 1,370 15,782
Rosetta Resources, Inc.
(a)(b)...................... 1,764 35,157
SandRidge Energy, Inc.
(a)(b)...................... 5,939 56,005
Ship Finance International,
Ltd. (b).................... 1,294 17,637
Southern Union Co. (b)........ 3,445 78,201
St. Mary Land & Exploration
Co. (b)..................... 2,055 70,363
Stone Energy Corp. (a)........ 1,311 23,664
Swift Energy Co. (a).......... 1,175 28,153
Teekay Corp. (b).............. 1,385 32,146
USEC, Inc. (a)(b)............. 3,664 14,106
VAALCO Energy, Inc. (b)....... 1,944 8,845
Venoco, Inc. (a)(b)........... 629 8,202
W & T Offshore, Inc. (b)...... 1,173 13,724
Warren Resources, Inc.
(a)(b)...................... 1,858 4,552
Western Refining, Inc.
(a)(b)...................... 1,710 8,054
World Fuel Services Corp.
(b)......................... 1,861 49,856
------------
1,613,325
------------
PAPER & FOREST PRODUCTS -- 0.5%
Buckeye Technologies, Inc.
(a)(b)...................... 1,159 11,312
Clearwater Paper Corp. (a).... 342 18,800
Deltic Timber Corp. (b)....... 347 16,024
Domtar Corp. (a)(b)........... 1,361 75,413
Glatfelter.................... 1,577 19,161
Louisiana-Pacific Corp.
(a)(b)...................... 4,084 28,506
Neenah Paper, Inc. (b)........ 439 6,124
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Schweitzer-Mauduit
International, Inc. (b)..... 530 $ 37,285
Wausau-Mosinee Paper Corp.
(b)......................... 1,485 17,226
------------
229,851
------------
PERSONAL PRODUCTS -- 0.8%
Bare Escentuals, Inc. (a)(b).. 2,243 27,432
Chattem, Inc. (a)(b).......... 615 57,379
Elizabeth Arden, Inc. (a)(b).. 810 11,696
Herbalife, Ltd. .............. 2,035 82,560
Inter Parfums, Inc. (b)....... 427 5,197
NBTY, Inc. (a)(b)............. 1,794 78,111
Nu Skin Enterprises, Inc.
(Class A) (b)............... 1,629 43,771
Prestige Brands Holdings, Inc.
(a)......................... 1,507 11,845
Revlon, Inc. (a)(b)........... 452 7,688
USANA Health Sciences, Inc.
(a)(b)...................... 244 7,784
------------
333,463
------------
PHARMACEUTICALS -- 1.1%
Acura Pharmaceuticals, Inc.
(a)(b)...................... 316 1,684
Akorn, Inc. (a)(b)............ 1,570 2,810
Ardea Biosciences, Inc.
(a)(b)...................... 454 6,356
Auxilium Pharmaceuticals, Inc.
(a)(b)...................... 1,434 42,991
Biodel, Inc. (a)(b)........... 444 1,927
Cadence Pharmaceuticals, Inc.
(a)(b)...................... 1,041 10,066
Caraco Pharmaceutical
Laboratories, Ltd. (a)(b)... 339 2,048
Cumberland Pharmaceuticals,
Inc. (a)(b)................. 258 3,506
Cypress Bioscience, Inc.
(a)(b)...................... 1,273 7,332
Durect Corp. (a)(b)........... 2,603 6,429
Impax Laboratories, Inc.
(a)(b)...................... 1,642 22,331
Inspire Pharmaceuticals, Inc.
(a)(b)...................... 2,053 11,333
MAP Pharmaceuticals, Inc.
(a)(b)...................... 463 4,412
Medicis Pharmaceutical Corp.
(Class A) (b)............... 1,860 50,313
Nektar Therapeutics (a)(b).... 2,882 26,860
Optimer Pharmaceuticals, Inc.
(a)(b)...................... 939 10,592
Pain Therapeutics, Inc.
(a)(b)...................... 1,033 5,537
Par Pharmaceutical Cos., Inc.
(a)(b)...................... 1,147 31,038
POZEN, Inc. (a)(b)............ 834 4,996
Questcor Pharmaceuticals, Inc.
(a)(b)...................... 1,841 8,745
Salix Pharmaceuticals, Ltd.
(a)(b)...................... 1,812 46,025
Sucampo Pharmaceuticals, Inc.
(a)(b)...................... 225 909
The Medicines Co. (a)(b)...... 1,714 14,295
Valeant Pharmaceuticals
International (a)(b)........ 2,312 73,499
ViroPharma, Inc. (a)(b)....... 2,384 20,002
VIVUS, Inc. (a)(b)............ 2,563 23,554
XenoPort, Inc. (a)(b)......... 1,016 18,857
------------
458,447
------------
PROFESSIONAL SERVICES -- 1.0%
Administaff, Inc. (b)......... 692 16,324
Advisory Board Co. (a)(b)..... 556 17,047
CBIZ, Inc. (a)(b)............. 1,554 11,966
CDI Corp. (b)................. 415 5,374
CoStar Group, Inc. (a)(b)..... 647 27,025
CRA International, Inc.
(a)(b)...................... 326 8,688
Exponent, Inc. (a)(b)......... 435 12,110
Heidrick & Struggles
International, Inc. (b)..... 510 15,932
Hill International, Inc.
(a)(b)...................... 894 5,579
Huron Consulting Group, Inc.
(a)(b)...................... 691 15,921
ICF International, Inc.
(a)(b)...................... 349 9,353
Kelly Services, Inc. (Class A)
(a)(b)...................... 830 9,902
Kforce, Inc. (a).............. 1,120 14,000
Korn/Ferry International
(a)(b)...................... 1,392 22,968
Mistras Group, Inc. (a)....... 254 3,825
Monster Worldwide, Inc.
(a)(b)...................... 4,161 72,401
MPS Group, Inc. (a)(b)........ 2,959 40,657
Navigant Consulting, Inc.
(a)(b)...................... 1,596 23,717
Odyssey Marine Exploration,
Inc. (a)(b)................. 1,841 2,596
Resources Connection, Inc.
(a)(b)...................... 1,410 29,920
School Specialty, Inc.
(a)(b)...................... 498 11,648
Spherion Corp. (a)............ 1,627 9,144
The Corporate Executive Board
Co. (b)..................... 1,156 26,380
TrueBlue, Inc. (a)(b)......... 1,330 19,697
Volt Information Sciences,
Inc. (a).................... 372 3,720
------------
435,894
------------
REAL ESTATE INVESTMENT TRUSTS -- 8.0%
Acadia Realty Trust (b)....... 1,258 21,222
Alexander's, Inc. (a)(b)...... 88 26,789
Alexandria Real Estate
Equities, Inc. (b).......... 1,423 91,485
American Campus Communities,
Inc. (b).................... 1,726 48,501
American Capital Agency Corp.
(b)......................... 611 16,216
Anworth Mortgage Asset Corp.
(b)......................... 3,645 25,515
Apartment Investment &
Management Co. (Class A)
(b)......................... 3,733 59,429
ARMOUR Residential REIT, Inc.
(a)(b)...................... 810 6,683
Ashford Hospitality Trust
(a)(b)...................... 2,228 10,338
BioMed Realty Trust, Inc.
(b)......................... 3,090 48,760
Brandywine Realty Trust (b)... 4,154 47,356
BRE Properties, Inc. (b)...... 1,785 59,048
Camden Property Trust (b)..... 2,066 87,536
Capital Lease Funding, Inc.
(b)......................... 1,408 6,167
Capstead Mortgage Corp. (b)... 2,104 28,720
CBL & Associates Properties,
Inc. (b).................... 4,485 43,370
Cedar Shopping Centers, Inc.
(b)......................... 1,409 9,581
Chimera Investment Corp. (b).. 20,313 78,814
Colonial Properties Trust
(b)......................... 2,252 26,416
Colony Financial, Inc. (b).... 378 7,700
Corporate Office Properties
Trust (b)................... 1,930 70,696
Cousins Properties, Inc. (b).. 2,666 20,342
CreXus Investment Corp.
(a)(b)...................... 381 5,319
DCT Industrial Trust, Inc.
(b)......................... 6,723 33,749
Developers Diversified Realty
Corp. (b)................... 4,312 39,929
DiamondRock Hospitality Co.
(b)......................... 3,919 33,194
Douglas Emmett, Inc. (b)...... 3,902 55,603
Duke Realty Corp. (b)......... 7,358 89,547
DuPont Fabros Technology, Inc.
(b)......................... 1,353 24,340
EastGroup Properties, Inc.
(b)......................... 874 33,457
Education Realty Trust,
Inc. ....................... 1,687 8,165
Entertainment Properties Trust
(b)......................... 1,319 46,521
Equity Lifestyle Properties,
Inc. (b).................... 1,007 50,823
Equity One, Inc. (b).......... 1,198 19,372
Essex Property Trust, Inc.
(b)......................... 916 76,623
Extra Space Storage, Inc.
(b)......................... 2,829 32,675
FelCor Lodging Trust, Inc.
(a)(b)...................... 1,928 6,941
First Industrial Realty Trust,
Inc. (a)(b)................. 1,873 9,796
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
First Potomac Realty Trust
(b)......................... 869 $ 10,923
Franklin Street Properties
Corp. (b)................... 2,334 34,100
Getty Realty Corp. (b)........ 547 12,871
Government Properties Income
Trust (b)................... 325 7,469
Hatteras Financial Corp. (b).. 1,178 32,937
Healthcare Realty Trust, Inc.
(b)......................... 1,919 41,182
Highwoods Properties, Inc.
(b)......................... 2,325 77,539
Home Properties, Inc. (b)..... 1,063 50,716
Hospitality Properties Trust.. 3,917 92,872
HRPT Properties Trust (b)..... 7,280 47,102
Inland Real Estate Corp. (b).. 2,401 19,568
Invesco Mortgage Capital, Inc.
(b)......................... 286 6,509
Investors Real Estate Trust
(b)......................... 2,408 21,672
iStar Financial, Inc. (a)(b).. 3,172 8,120
Kilroy Realty Corp. (b)....... 1,404 43,061
Kite Realty Group Trust (b)... 2,160 8,791
LaSalle Hotel Properties (b).. 2,016 42,800
Lexington Realty Trust (b).... 3,265 19,851
LTC Properties, Inc. (b)...... 736 19,688
Mack-Cali Realty Corp. (b).... 2,551 88,188
Medical Properties Trust, Inc.
(b)......................... 2,666 26,660
MFA Financial, Inc. (b)....... 9,000 66,150
Mid-America Apartment
Communities, Inc. (b)....... 926 44,707
National Health Investors,
Inc. (b).................... 745 27,558
National Retail Properties,
Inc. (b).................... 2,579 54,726
NorthStar Realty Finance Corp.
(b)......................... 1,915 6,568
OMEGA Healthcare Investors,
Inc. (b).................... 2,686 52,243
Parkway Properties, Inc. (b).. 649 13,512
Pebblebrook Hotel Trust (a)... 608 13,382
Pennsylvania Real Estate
Investment Trust (b)........ 1,235 10,448
Pennymac Mortgage Investment
Trust (a)................... 530 9,105
Post Properties, Inc. (b)..... 1,484 29,086
Potlatch Corp. (b)............ 1,289 41,093
PS Business Parks, Inc. ...... 603 30,180
RAIT Investment Trust (a)..... 1,796 2,353
Ramco-Gershenson Properties
Trust (b)................... 1,031 9,836
Redwood Trust, Inc. (b)....... 2,263 32,723
Saul Centers, Inc. (b)........ 203 6,650
Senior Housing Properties
Trust (b)................... 4,072 89,055
SL Green Realty Corp. (b)..... 2,476 124,394
Sovran Self Storage, Inc.
(b)......................... 871 31,121
Starwood Property Trust, Inc.
(b)......................... 1,344 25,388
Sun Communities, Inc. (b)..... 514 10,152
Sunstone Hotel Investors, Inc.
(a)(b)...................... 3,127 27,768
Tanger Factory Outlet Centers,
Inc. (b).................... 1,297 50,570
Taubman Centers, Inc. (b)..... 1,742 62,555
The Macerich Co. (b).......... 3,151 113,278
U-Store-It Trust.............. 2,575 18,849
UDR, Inc. (b)................. 5,004 82,266
Universal Health Realty Income
Trust (b)................... 338 10,826
Urstadt Biddle Properties
(b)......................... 104 1,560
Urstadt Biddle Properties
(Class A) (b)............... 583 8,902
Walter Investment Management
Corp. (b)................... 828 11,865
Washington Real Estate
Investment Trust (b)........ 1,941 53,475
Weingarten Realty Investors
(b)......................... 3,938 77,933
------------
3,369,634
------------
REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.4%
Avatar Holdings, Inc. (a)(b).. 283 4,814
Forest City Enterprises, Inc.
(Class A) (a)(b)............ 3,936 46,366
Forestar Real Estate Group,
Inc. (a)(b)................. 1,230 27,035
Jones Lang LaSalle, Inc. (b).. 1,321 79,789
Tejon Ranch Co. (a)........... 391 11,425
------------
169,429
------------
ROAD & RAIL -- 1.0%
AMERCO, Inc. (a)(b)........... 189 9,397
Arkansas Best Corp. (b)....... 754 22,190
Avis Budget Group, Inc.
(a)(b)...................... 3,303 43,335
Con-way, Inc. (b)............. 1,600 55,856
Dollar Thrifty Automotive
Group, Inc. (a)(b).......... 897 22,972
Genesee & Wyoming, Inc. (Class
A) (a)(b)................... 1,200 39,168
Heartland Express, Inc. (b)... 1,758 26,845
Knight Transportation, Inc.
(b)......................... 1,861 35,899
Landstar Systems, Inc. (b).... 1,704 66,064
Marten Transport, Ltd.
(a)(b)...................... 460 8,257
Old Dominion Freight Line,
Inc. (a).................... 995 30,547
Patriot Transportation
Holding, Inc. (a)(b)........ 59 5,573
RailAmerica, Inc. (a)......... 714 8,711
Universal Truckload Services,
Inc. (b).................... 212 3,837
Werner Enterprises, Inc. (b).. 1,674 33,128
YRC Worldwide, Inc. (a)(b).... 1,755 1,474
------------
413,253
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 4.0%
Actel Corp. (a)(b)............ 777 9,231
Advanced Analogic
Technologies, Inc. (a)...... 1,346 5,303
Advanced Energy Industries,
Inc. (a)(b)................. 1,011 15,246
Amkor Technology, Inc.
(a)(b)...................... 3,740 26,778
Anadigics, Inc. (a)(b)........ 1,907 8,048
Applied Micro Circuits Corp.
(a)(b)...................... 2,171 16,217
Atheros Communications, Inc.
(a)(b)...................... 1,978 67,727
Atmel Corp. (a)(b)............ 12,774 58,888
ATMI, Inc. (a)(b)............. 1,054 19,625
Brooks Automation, Inc. (a)... 1,815 15,573
Cabot Microelectronics Corp.
(a)(b)...................... 772 25,445
Cavium Networks, Inc. (a)(b).. 1,211 28,858
Cirrus Logic, Inc. (a)(b)..... 1,773 12,092
Cohu, Inc. (b)................ 651 9,081
Cymer, Inc. (a)(b)............ 937 35,962
Cypress Semiconductor Corp.
(a)(b)...................... 5,162 54,511
Diodes, Inc. (a)(b)........... 1,059 21,657
DSP Group, Inc. (a)(b)........ 714 4,020
Entegris, Inc. (a)(b)......... 4,272 22,556
Exar Corp. (a)(b)............. 1,157 8,226
Fairchild Semiconductor
International, Inc. (a)..... 3,943 39,391
FEI Co. (a)(b)................ 1,219 28,476
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Formfactor, Inc. (a)(b)....... 1,597 $ 34,751
Hittite Microwave Corp.
(a)(b)...................... 630 25,672
Integrated Device Technology,
Inc. (a).................... 5,233 33,858
International Rectifier Corp.
(a)......................... 2,365 52,314
Intersil Corp. (Class A) (b).. 3,992 61,237
IXYS Corp. (a)................ 753 5,587
Kulicke & Soffa Industries,
Inc. (a)(b)................. 2,370 12,774
Lattice Semiconductor Corp.
(a)(b)...................... 3,412 9,212
Micrel, Inc. (b).............. 1,455 11,931
Microsemi Corp. (a)(b)........ 2,644 46,931
MKS Instruments, Inc. (a)..... 1,428 24,861
Monolithic Power Systems, Inc.
(a)(b)...................... 1,152 27,613
Netlogic Microsystems, Inc.
(a)(b)...................... 614 28,404
Novellus Systems, Inc.
(a)(b)...................... 3,229 75,365
OmniVision Technologies, Inc.
(a)(b)...................... 1,702 24,730
PMC-Sierra, Inc. (a)(b)....... 7,272 62,976
Power Integrations, Inc. (b).. 877 31,888
Rambus, Inc. (a)(b)........... 3,477 84,839
RF Micro Devices, Inc.
(a)(b)...................... 7,740 36,920
Rubicon Technology, Inc.
(a)(b)...................... 412 8,368
Semtech Corp. (a)............. 1,908 32,455
Sigma Designs, Inc. (a)(b).... 803 8,592
Silicon Image, Inc. (a)(b).... 2,225 5,740
Silicon Laboratories, Inc.
(a)(b)...................... 1,440 69,610
Silicon Storage Technology,
Inc. (a)(b)................. 2,642 6,764
Skyworks Solutions, Inc. (a).. 5,401 76,640
Standard Microsystems Corp.
(a)......................... 683 14,193
Supertex, Inc. (a)(b)......... 379 11,294
Teradyne, Inc. (a)(b)......... 5,566 59,723
Tessera Technologies, Inc.
(a)......................... 1,614 37,558
Trident Microsystems, Inc.
(a)(b)...................... 1,848 3,437
TriQuint Semiconductor, Inc.
(a)(b)...................... 5,046 30,276
Ultratech, Inc. (a)(b)........ 684 10,164
Veeco Instruments, Inc.
(a)(b)...................... 1,175 38,822
Volterra Semiconductor Corp.
(a)(b)...................... 861 16,462
Zoran Corp. (a)............... 1,561 17,249
------------
1,672,121
------------
SOFTWARE -- 3.8%
ACI Worldwide, Inc. (a)(b).... 1,127 19,328
Advent Software, Inc. (a)(b).. 451 18,369
ArcSight, Inc. (a)(b)......... 962 24,608
Ariba, Inc. (a)............... 2,820 35,306
Blackbaud, Inc. (b)........... 1,434 33,885
Blackboard, Inc. (a)(b)....... 943 42,803
Bottomline Technologies, Inc.
(a)(b)...................... 806 14,161
Cadence Design Systems, Inc.
(a)(b)...................... 8,456 50,651
Commvault Systems, Inc.
(a)(b)...................... 1,287 30,489
Compuware Corp. (a)(b)........ 7,718 55,801
Concur Technologies, Inc.
(a)(b)...................... 1,335 57,071
Deltek, Inc. (a)(b)........... 1,217 9,468
DemandTec, Inc. (a)(b)........ 614 5,385
Ebix, Inc. (a)(b)............. 388 18,946
Epicor Software Corp. (a)(b).. 1,580 12,040
EPIQ Systems, Inc. (a)(b)..... 1,036 14,494
Fair Isaac Corp. (b).......... 1,587 33,819
FalconStor Software, Inc.
(a)(b)...................... 1,096 4,450
Fortinet, Inc. (a)(b)......... 475 8,346
i2 Technologies, Inc. (a)(b).. 515 9,847
Informatica Corp. (a)(b)...... 2,898 74,942
Jack Henry & Associates, Inc.
(b)......................... 2,769 64,019
JDA Software Group, Inc. (a).. 1,069 27,227
Kenexa Corp. (a).............. 599 7,817
Lawson Software, Inc. (a)(b).. 4,804 31,947
Manhattan Associates, Inc.
(a)(b)...................... 722 17,350
Mentor Graphics Corp. (a)(b).. 3,107 27,435
MICROS Systems, Inc. (a)(b)... 2,652 82,292
MicroStrategy, Inc. (a)....... 288 27,078
Monotype Imaging Holdings,
Inc. (a)(b)................. 695 6,276
Netscout Systems, Inc. (a).... 1,123 16,441
NetSuite, Inc. (a)............ 797 12,736
Novell, Inc. (a).............. 11,464 47,576
OPNET Technologies, Inc. (b).. 473 5,766
Parametric Technology Corp.
(a)(b)...................... 3,784 61,831
Pegasystems, Inc. (b)......... 469 15,946
Progress Software Corp. (a)... 1,342 39,200
Quality Systems, Inc. (b)..... 589 36,983
Quest Software, Inc. (a)(b)... 2,013 37,039
Radiant Systems, Inc. (a)(b).. 848 8,819
Renaissance Learning, Inc.
(b)......................... 221 2,511
Rosetta Stone, Inc. (a)(b).... 316 5,672
S1 Corp. (a).................. 1,517 9,891
Smith Micro Software, Inc.
(a)......................... 1,046 9,560
Solarwinds, Inc. (a)(b)....... 992 22,826
Solera Holdings, Inc. (b)..... 2,292 82,535
SonicWALL, Inc. (a)........... 1,695 12,899
Sourcefire, Inc. (a)(b)....... 675 18,056
SuccessFactors, Inc. (a)(b)... 1,792 29,711
Symyx Technologies, Inc.
(a)(b)...................... 1,041 5,726
Synchronoss Technologies, Inc.
(a)......................... 566 8,948
Take-Two Interactive Software,
Inc. (a)(b)................. 2,564 25,768
Taleo Corp. (Class A) (a)(b).. 999 23,497
TeleCommunication Systems,
Inc. (Class A) (a)(b)....... 1,233 11,935
THQ, Inc. (a)(b).............. 2,038 10,272
TIBCO Software, Inc. (a)(b)... 5,765 55,517
TiVo, Inc. (a)(b)............. 3,495 35,579
Tyler Technologies, Inc.
(a)(b)...................... 1,120 22,299
Ultimate Software Group, Inc.
(a)(b)...................... 846 24,847
Vasco Data Security
International (a)(b)........ 866 5,430
Websense, Inc. (a)(b)......... 1,305 22,785
------------
1,594,251
------------
SPECIALTY RETAIL -- 3.8%
Aaron's, Inc. (b)............. 1,569 43,508
Aeropostale, Inc. (a)(b)...... 2,201 74,944
AnnTaylor Stores Corp.
(a)(b)...................... 1,892 25,807
Asbury Automotive Group, Inc.
(a)(b)...................... 960 11,069
Barnes & Noble, Inc. (b)...... 1,245 23,742
Bebe Stores, Inc. (b)......... 899 5,637
Big 5 Sporting Goods Corp.
(b)......................... 571 9,810
Blockbuster, Inc. (Class A)
(a)(b)...................... 5,293 3,546
Brown Shoe Co., Inc. (b)...... 1,387 13,690
Cabela's, Inc. (a)(b)......... 1,439 20,520
Charming Shoppes, Inc.
(a)(b)...................... 2,961 19,158
Chico's FAS, Inc. (a)(b)...... 5,625 79,031
Christopher & Banks Corp.
(b)......................... 1,057 8,054
Citi Trends, Inc. (a)(b)...... 512 14,141
Coldwater Creek, Inc. (a)(b).. 1,781 7,943
Collective Brands, Inc.
(a)(b)...................... 2,143 48,796
Conn's, Inc. (a)(b)........... 342 1,997
Dick's Sporting Goods, Inc.
(a)(b)...................... 2,739 68,119
DSW, Inc. (Class A) (a)(b).... 437 11,310
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Foot Locker, Inc. (b)......... 4,921 $ 54,820
Genesco, Inc. (a)(b).......... 707 19,414
Group 1 Automotive, Inc.
(a)(b)...................... 818 23,190
Gymboree Corp. (a)(b)......... 973 42,316
hhgregg, Inc. (a)(b).......... 732 16,126
Hibbett Sports, Inc. (a)(b)... 939 20,649
Hot Topic, Inc. (a)(b)........ 1,371 8,720
J. Crew Group, Inc. (a)(b).... 1,660 74,268
Jo-Ann Stores, Inc. (a)....... 863 31,275
Jos. A. Bank Clothiers, Inc.
(a)(b)...................... 600 25,314
Lumber Liquidators Holdings,
Inc. (a).................... 508 13,614
Monro Muffler Brake, Inc.
(b)......................... 638 21,335
New York & Co., Inc. (a)(b)... 808 3,466
Office Depot, Inc. (a)(b)..... 8,740 56,373
OfficeMax, Inc. (a)(b)........ 2,498 31,700
Pacific Sunwear of California,
Inc. (a)(b)................. 2,062 8,207
Penske Automotive Group, Inc.
(a)(b)...................... 1,249 18,960
RadioShack Corp. (b).......... 4,134 80,613
Rent-A-Center, Inc. (a)(b).... 2,098 37,177
Rue21, Inc. (a)............... 242 6,798
Sally Beauty Holdings, Inc.
(a)(b)...................... 2,886 22,078
Signet Jewelers, Ltd. (a)..... 2,734 73,052
Sonic Automotive, Inc. (Class
A) (a)(b)................... 1,163 12,084
Stage Stores, Inc. (b)........ 1,176 14,535
Stein Mart, Inc. (a)(b)....... 912 9,722
Systemax, Inc. (b)............ 116 1,822
The Buckle, Inc. (b).......... 909 26,616
The Cato Corp. (Class A) (b).. 912 18,295
The Children's Place Retail
Stores, Inc. (a)(b)......... 615 20,301
The Dress Barn, Inc. (a)(b)... 2,055 47,471
The Finish Line, Inc. (Class
A).......................... 1,705 21,398
The Mens Wearhouse, Inc. (b).. 1,530 32,222
The Pep Boys -- Manny, Moe &
Jack (b).................... 1,614 13,654
The Talbots, Inc. (a)(b)...... 690 6,148
The Wet Seal, Inc. (Class A)
(a)(b)...................... 3,059 10,554
Tractor Supply Co. (a)(b)..... 1,153 61,063
Ulta Salon Cosmetics &
Fragrance, Inc. (a)(b)...... 1,196 21,719
Vitamin Shoppe, Inc. (a)...... 293 6,516
Williams-Sonoma, Inc. (b)..... 3,098 64,376
Zumiez, Inc. (a)(b)........... 614 7,810
------------
1,576,593
------------
TEXTILES, APPAREL & LUXURY GOODS -- 1.8%
American Apparel, Inc.
(a)(b)...................... 1,027 3,184
Carter's, Inc. (a)(b)......... 1,840 48,300
Columbia Sportswear Co. (b)... 452 17,646
Crocs, Inc. (a)(b)............ 2,466 14,179
Deckers Outdoor Corp. (a)(b).. 429 43,638
FGX International Holdings,
Ltd. (a)(b)................. 501 9,815
Fossil, Inc. (a)(b)........... 1,544 51,817
Hanesbrands, Inc. (a)(b)...... 3,006 72,475
Iconix Brand Group, Inc.
(a)(b)...................... 2,368 29,955
Jones Apparel Group, Inc. .... 2,783 44,695
K-Swiss, Inc. (Class A)
(a)(b)...................... 789 7,843
Kenneth Cole Productions, Inc.
(Class A) (a)(b)............ 247 2,383
Liz Claiborne, Inc. (a)(b).... 3,277 18,449
Maidenform Brands, Inc. (a)... 561 9,363
Movado Group, Inc. (b)........ 542 5,268
Oxford Industries, Inc. (b)... 424 8,768
Phillips-Van Heusen Corp.
(b)......................... 1,695 68,953
Quiksilver, Inc. (a)(b)....... 3,836 7,749
Skechers USA, Inc. (a)(b)..... 1,070 31,469
Steven Madden, Ltd. (a)....... 557 22,971
The Timberland Co. (Class A)
(a)(b)...................... 1,468 26,321
The Warnaco Group, Inc.
(a)(b)...................... 1,511 63,749
True Religion Apparel, Inc.
(a)(b)...................... 804 14,866
Under Armour, Inc. (Class A)
(a)(b)...................... 1,256 34,251
UniFirst Corp. ............... 420 20,206
Volcom, Inc. (a)(b)........... 567 9,492
Weyco Group, Inc. (b)......... 252 5,957
Wolverine World Wide, Inc. ... 1,554 42,300
------------
736,062
------------
THRIFTS & MORTGAGE FINANCE -- 1.4%
Astoria Financial Corp. (b)... 2,864 35,600
Bank Mutual Corp. (b)......... 1,458 10,089
BankFinancial Corp. (b)....... 686 6,791
Beneficial Mutual Bancorp,
Inc. (a)(b)................. 1,122 11,041
Berkshire Hills Bancorp, Inc.
(b)......................... 419 8,665
Brookline Bancorp, Inc. (b)... 1,936 19,186
Clifton Savings Bancorp, Inc.
(b)......................... 335 3,139
Dime Community Bancshares
(b)......................... 971 11,380
Doral Financial Corp. (a)(b).. 181 657
ESSA Bancorp, Inc. (b)........ 461 5,394
Fannie Mae (a)(b)............. 35,407 41,780
First Financial Holdings, Inc.
(b)......................... 599 7,781
First Financial Northwest,
Inc. (b).................... 492 3,223
First Niagara Financial Group,
Inc. ....................... 5,868 81,624
Flagstar Bancorp, Inc.
(a)(b)...................... 252 151
Flushing Financial Corp. (b).. 865 9,740
Freddie Mac (a)............... 21,184 31,141
Kearny Financial Corp. (b).... 655 6,602
Meridian Interstate Bancorp,
Inc. (a)(b)................. 386 3,354
MGIC Investment Corp. (a)(b).. 4,077 23,565
NewAlliance Bancshares, Inc.
(b)......................... 3,247 38,996
Northwest Bancshares, Inc. ... 1,344 15,214
Ocwen Financial Corp. (a)(b).. 2,402 22,987
Oritani Financial Corp. (b)... 322 4,421
Provident Financial Services,
Inc. (b).................... 1,850 19,703
Provident New York Bancorp
(b)......................... 1,144 9,655
Radian Group, Inc. (b)........ 2,538 18,553
Rockville Financial, Inc.
(b)......................... 312 3,276
Roma Financial Corp. (b)...... 240 2,966
The PMI Group, Inc. (a)(b).... 2,420 6,098
TrustCo Bank Corp. NY (b)..... 2,532 15,952
United Financial Bancorp, Inc.
(b)......................... 563 7,381
ViewPoint Financial Group
(b)......................... 344 4,957
Washington Federal, Inc. (b).. 3,709 71,732
Waterstone Financial, Inc.
(a)(b)...................... 279 572
Westfield Financial, Inc.
(b)......................... 996 8,217
WSFS Financial Corp. (b)...... 190 4,870
------------
576,453
------------
TOBACCO -- 0.2%
Alliance One International,
Inc. (a)(b)................. 2,676 13,059
Star Scientific, Inc. (a)(b).. 2,456 1,719
Universal Corp. (b)........... 824 37,583
Vector Group, Ltd. (b)........ 1,262 17,668
------------
70,029
------------
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
TRADING COMPANIES & DISTRIBUTORS -- 0.7%
Aceto Corp. (b)............... 854 $ 4,398
Aircastle, Ltd. (b)........... 1,352 13,317
Applied Industrial
Technologies, Inc. (b)...... 1,272 28,073
Beacon Roofing Supply, Inc.
(a)(b)...................... 1,475 23,600
GATX Corp. (b)................ 1,312 37,720
H&E Equipment Services, Inc.
(a)(b)...................... 814 8,539
Interline Brands, Inc. (a).... 1,114 19,239
Kaman Corp. (Class A) (b)..... 866 19,996
Lawson Products, Inc. (b)..... 129 2,277
RSC Holdings, Inc. (a)(b)..... 1,480 10,419
Rush Enterprises, Inc. (Class
A) (a)(b)................... 989 11,759
TAL International Group, Inc.
(b)......................... 354 4,683
Textainer Group Holdings, Ltd.
(b)......................... 547 9,244
Titan Machinery, Inc. (a)(b).. 498 5,747
United Rentals, Inc. (a)(b)... 2,023 19,846
Watsco, Inc. (b).............. 918 44,964
WESCO International, Inc.
(a)(b)...................... 1,337 36,112
------------
299,933
------------
WATER UTILITIES -- 0.2%
American States Water Co.
(b)......................... 648 22,946
California Water Service Group
(b)......................... 630 23,196
Connecticut Water Service,
Inc. (b).................... 288 7,134
Middlesex Water Co. (b)....... 436 7,687
SJW Corp. (b)................. 394 8,892
------------
69,855
------------
WIRELESS TELECOMMUNICATION SERVICES -- 0.3%
ICO Global Communications
Holdings, Ltd. (a).......... 3,402 3,674
Leap Wireless International,
Inc. (a)(b)................. 2,000 35,100
NTELOS Holdings Corp. (b)..... 952 16,965
Shenandoah Telecommunications
Co. (b)..................... 776 15,792
Syniverse Holdings, Inc. (a).. 2,226 38,910
USA Mobility, Inc. (b)........ 688 7,574
------------
118,015
------------
TOTAL COMMON STOCKS --
(Cost $40,789,441).......... 41,830,252
------------
SHORT TERM INVESTMENTS -- 29.3%
MONEY MARKET FUNDS -- 29.3%
State Street Institutional
Liquid Reserves Fund (d).... 59,130 59,130
State Street Navigator
Securities Lending Prime
Portfolio (d)(e)............ 12,221,071 12,221,071
------------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $12,280,201).......... 12,280,201
------------
TOTAL INVESTMENTS -- 129.1%
(F)
(Cost $53,069,642).......... 54,110,453
OTHER ASSETS AND
LIABILITIES -- (29.1)%...... (12,185,534)
------------
NET ASSETS -- 100.0%.......... $ 41,924,919
============
</Table>
(a) Non-income producing security.
(b) Security, or portion thereof, was on loan at December 31, 2009.
(c) Security is value at fair value as determined in good faith by Trust's
Pricing and Investment Committee in accordance with procedures approved
by the Board of Trustees. Teton Advisors, Inc.'s value is determined
based on Level 3 inputs.
(d) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3)
(e) Investments of cash collateral for securities loaned.
(f) Unless otherwise indicated, the values of the securities of the Fund are
determined based on Level 1 inputs. (Note 2)
REIT = Real Estate Investment Trust
See accompanying notes to financial statements.
SPDR DOW JONES SMALL CAP GROWTH ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.7%
AEROSPACE & DEFENSE -- 2.2%
AAR Corp. (a)(b).............. 6,938 $ 159,435
Aerovironment, Inc. (a)....... 2,563 74,532
American Science &
Engineering, Inc. .......... 1,489 112,926
Argon ST, Inc. (a)............ 2,282 49,565
BE Aerospace, Inc. (a)........ 16,715 392,803
Ceradyne, Inc. (a)(b)......... 4,665 89,615
DigitalGlobe, Inc. (a)(b)..... 5,226 126,469
DynCorp International, Inc.
(a)......................... 4,338 62,250
GeoEye, Inc. (a)(b)........... 3,450 96,186
Heico Corp. (Class A)......... 3,574 128,521
Hexcel Corp. (a).............. 17,281 224,307
Ladish Co., Inc. (a)(b)....... 2,533 38,198
Moog, Inc. (Class A) (a)(b)... 6,928 202,505
Orbital Sciences Corp. (a).... 10,233 156,156
Stanley, Inc. (a)............. 3,145 86,204
Taser International, Inc.
(a)(b)...................... 11,124 48,723
Teledyne Technologies, Inc.
(a)(b)...................... 6,561 251,680
TransDigm Group, Inc. ........ 6,675 316,996
------------
2,617,071
------------
AIR FREIGHT & LOGISTICS -- 0.5%
Forward Air Corp. (b)......... 5,202 130,310
HUB Group, Inc. (Class A)
(a)(b)...................... 6,789 182,149
UTI Worldwide, Inc. .......... 17,876 255,984
------------
568,443
------------
AIRLINES -- 1.7%
AirTran Holdings, Inc.
(a)(b)...................... 21,450 111,969
Allegiant Travel Co. (a)(b)... 2,443 115,236
AMR Corp. (a)................. 59,720 461,635
Continental Airlines, Inc.
(Class B) (a)(b)............ 24,287 435,223
Hawaiian Holdings, Inc.
(a)(b)...................... 9,311 65,177
JetBlue Airways Corp. (a)(b).. 42,626 232,312
SkyWest, Inc. ................ 10,229 173,075
UAL Corp. (a)(b).............. 29,110 375,810
US Airways Group, Inc.
(a)(b)...................... 28,321 137,074
------------
2,107,511
------------
AUTO COMPONENTS -- 1.0%
ArvinMeritor, Inc. (a)(b)..... 13,085 146,290
Drew Industries, Inc. (a)(b).. 3,295 68,042
Exide Technologies (a)........ 8,349 59,361
Fuel Systems Solutions, Inc.
(a)(b)...................... 2,346 96,749
Lear Corp. (a)................ 6,000 405,840
Raser Technologies, Inc.
(a)(b)...................... 7,315 9,071
Tenneco, Inc. (a)(b).......... 10,546 186,981
WABCO Holdings, Inc. ......... 11,205 288,977
------------
1,261,311
------------
AUTOMOBILES -- 0.2%
Thor Industries, Inc. ........ 6,839 214,745
------------
BEVERAGES -- 0.3%
Boston Beer Co., Inc. (Class
A) (a)(b)................... 1,816 84,625
Central European Distribution
Corp. (a)................... 10,721 304,584
------------
389,209
------------
BIOTECHNOLOGY -- 5.1%
Abraxis BioScience, Inc.
(a)(b)...................... 1,027 41,645
Acorda Therapeutics, Inc.
(a)(b)...................... 6,716 169,377
Affymax, Inc. (a)(b).......... 2,231 55,195
Alkermes, Inc. (a)(b)......... 17,024 160,196
Allos Therapeutics, Inc.
(a)(b)...................... 14,178 93,149
Alnylam Pharmaceuticals, Inc.
(a)(b)...................... 6,746 118,864
AMAG Pharmaceuticals, Inc.
(a)(b)...................... 2,989 113,672
Amicus Therapeutics, Inc.
(a)(b)...................... 1,738 6,900
Arena Pharmaceuticals, Inc.
(a)(b)...................... 16,469 58,465
Ariad Pharmaceuticals, Inc.
(a)(b)...................... 18,664 42,554
Array BioPharma, Inc. (a)(b).. 7,862 22,092
BioCryst Pharmaceuticals, Inc.
(a)(b)...................... 5,572 35,995
BioMarin Pharmaceutical, Inc.
(a)(b)...................... 17,463 328,479
Celera Corp. (a)(b)........... 14,452 99,863
Cepheid, Inc. (a)(b).......... 10,337 129,006
Cubist Pharmaceuticals, Inc.
(a)(b)...................... 10,247 194,386
Emergent Biosolutions, Inc.
(a)......................... 2,758 37,481
Enzon Pharmaceuticals, Inc.
(a)(b)...................... 7,137 75,153
Exelixis, Inc. (a)(b)......... 19,744 145,513
Facet Biotech Corp. (a)(b).... 4,035 70,935
Genomic Health, Inc. (a)(b)... 2,720 53,203
Geron Corp. (a)(b)............ 16,434 91,209
GTX, Inc. (a)(b).............. 2,492 10,466
Halozyme Therapeutics, Inc.
(a)(b)...................... 14,301 83,947
Human Genome Sciences, Inc.
(a)(b)...................... 31,986 978,772
Immunogen, Inc. (a)(b)........ 9,983 78,466
Incyte Corp. (a)(b)........... 18,972 172,835
InterMune, Inc. (a)(b)........ 6,354 82,856
Isis Pharmaceuticals, Inc.
(a)(b)...................... 16,611 184,382
Lexicon Pharmaceuticals, Inc.
(a)(b)...................... 20,534 34,908
MannKind Corp. (a)(b)......... 11,176 97,902
Martek Biosciences Corp.
(a)(b)...................... 5,854 110,875
Maxygen, Inc. (a)(b).......... 6,149 37,447
Medivation, Inc. (a)(b)....... 6,140 231,171
Metabolix, Inc. (a)(b)........ 4,008 44,369
Micromet, Inc. (a)(b)......... 11,824 78,748
Momenta Pharmaceuticals, Inc.
(a)(b)...................... 7,194 90,716
NPS Pharmaceuticals, Inc.
(a)(b)...................... 9,282 31,559
Onyx Pharmaceuticals, Inc.
(a)(b)...................... 10,003 293,488
Opko Health, Inc. (a)......... 21,483 39,314
Orexigen Therapeutics, Inc.
(a)(b)...................... 5,676 42,229
Osiris Therapeutics, Inc.
(a)(b)...................... 3,055 21,813
Pharmasset, Inc. (a)(b)....... 4,267 88,327
Progenics Pharmaceuticals,
Inc. (a)(b)................. 4,613 20,482
Regeneron Pharmaceuticals,
Inc. (a)(b)................. 11,158 269,800
Sangamo Biosciences, Inc.
(a)(b)...................... 6,311 37,361
Seattle Genetics, Inc.
(a)(b)...................... 14,129 143,551
SIGA Technologies, Inc.
(a)(b)...................... 5,017 29,099
Synta Pharmaceuticals Corp.
(a)(b)...................... 3,063 15,499
Targacept, Inc. (a)(b)........ 2,952 61,756
Theravance, Inc. (a)(b)....... 9,668 126,361
United Therapeutics Corp.
(a)(b)...................... 8,365 440,417
Zymogenetics, Inc. (a)(b)..... 6,573 42,001
------------
6,164,249
------------
BUILDING PRODUCTS -- 0.5%
AAON, Inc. (b)................ 2,566 50,012
Quanex Building Products Corp.
(b)......................... 6,769 114,870
Simpson Manufacturing Co.,
Inc. (b).................... 6,781 182,341
Trex Co., Inc. (a)............ 2,527 49,529
USG Corp. (a)(b).............. 11,964 168,094
------------
564,846
------------
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES SMALL CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
CAPITAL MARKETS -- 1.4%
Cohen & Steers, Inc. ......... 3,647 $ 83,298
Duff & Phelps Corp. (Class A)
(b)......................... 3,488 63,691
GFI Group, Inc. (b)........... 11,592 52,975
Greenhill & Co., Inc. ........ 4,598 368,944
KBW, Inc. (a)(b).............. 6,239 170,699
Knight Capital Group, Inc.
(Class A) (a)............... 16,639 256,241
MF Global, Ltd. (b)........... 17,431 121,145
optionsXpress Holdings, Inc.
(b)......................... 8,097 125,099
Penson Worldwide, Inc.
(a)(b)...................... 3,515 31,846
Pzena Investment Management,
Inc. (Class A) (a)(b)....... 989 8,050
Riskmetrics Group, Inc.
(a)(b)...................... 5,496 87,441
Stifel Financial Corp.
(a)(b)...................... 5,168 306,152
TradeStation Group, Inc.
(a)(b)...................... 5,683 44,839
Westwood Holdings Group, Inc.
(b)......................... 1,111 40,374
------------
1,760,794
------------
CHEMICALS -- 1.5%
American Vanguard Corp. ...... 3,225 26,768
Balchem Corp. ................ 3,359 112,560
Calgon Carbon Corp. (a)(b).... 9,675 134,483
LSB Industries, Inc. (a)(b)... 3,147 44,373
Nalco Holding Co. (b)......... 24,238 618,311
NewMarket Corp. (b)........... 1,964 225,408
PolyOne Corp. (a),(b)......... 15,873 118,571
Rockwood Holdings, Inc.
(a)(b)...................... 9,131 215,126
STR Holdings, Inc. (a)(b)..... 2,223 34,923
W.R. Grace & Co. (a)(b)....... 10,752 272,563
Zoltek Cos., Inc. (a)(b)...... 4,731 44,945
------------
1,848,031
------------
COMMERCIAL BANKS -- 1.1%
East West Bancorp, Inc. ...... 15,765 249,087
First Citizens BancShares,
Inc. (Class A) (b).......... 1,028 168,602
Nara Bancorp, Inc. (a)........ 5,846 66,294
Orrstown Financial Services,
Inc. (b).................... 1,030 35,926
Pinnacle Financial Partners,
Inc. (a)(b)................. 5,638 80,172
PrivateBancorp, Inc. (b)...... 11,985 107,505
Signature Bank (a)............ 7,234 230,765
Sterling Financial Corp.
(a)(b)...................... 9,348 5,796
SVB Financial Group (a)(b).... 7,342 306,088
Texas Capital Bancshares, Inc.
(a)(b)...................... 6,306 88,032
Western Alliance Bancorp (a).. 11,265 42,582
------------
1,380,849
------------
COMMERCIAL SERVICES & SUPPLIES -- 1.7%
American Ecology Corp. ....... 3,051 51,989
American Reprographics Co.
(a)......................... 6,891 48,306
Cenveo, Inc. (a)(b)........... 10,416 91,140
Clean Harbors, Inc. (a)(b).... 4,168 248,454
EnergySolutions, Inc. (b)..... 13,976 118,656
EnerNOC, Inc. (a)(b).......... 3,075 93,449
Fuel Tech, Inc. (a)........... 3,181 25,989
Innerworkings, Inc. (a)(b).... 6,302 37,182
Interface, Inc. (Class A)
(b)......................... 9,811 81,529
KAR Auction Services, Inc.
(a)......................... 3,600 49,644
Knoll, Inc. (b)............... 8,917 92,113
M&F Worldwide Corp. (a)(b).... 2,168 85,636
Metalico, Inc. (a)(b)......... 6,064 29,835
Mobile Mini, Inc. (a)(b)...... 6,307 88,866
RINO International Corp.
(a)(b)...................... 934 25,825
Rollins, Inc. (b)............. 9,233 178,012
Schawk, Inc. (b).............. 2,186 29,730
Standard Parking Corp.
(a)(b)...................... 1,504 23,884
Sykes Enterprises, Inc.
(a)(b)...................... 6,365 162,117
Team, Inc. (a)................ 3,392 63,803
Tetra Tech, Inc. (a)(b)....... 10,776 292,784
The Geo Group, Inc. (a)....... 9,180 200,858
------------
2,119,801
------------
COMMUNICATIONS EQUIPMENT -- 4.2%
Acme Packet, Inc. (a)(b)...... 6,026 66,286
ADC Telecommunications, Inc.
(a)(b)...................... 17,208 106,862
Adtran, Inc. (b).............. 11,161 251,681
Airvana, Inc. (a)(b).......... 5,562 42,271
Anaren, Inc. (a).............. 2,673 40,229
Arris Group, Inc. (a)(b)...... 22,203 253,780
Aruba Networks, Inc. (a)(b)... 12,006 127,984
Bel Fuse, Inc. (Class B)...... 1,901 40,852
BigBand Networks, Inc.
(a)(b)...................... 7,557 25,996
Blue Coat Systems, Inc.
(a)(b)...................... 6,696 191,104
CIENA Corp. (a)(b)............ 16,183 175,424
CommScope, Inc. (a)(b)........ 16,928 449,100
Comtech Telecommunications
Corp. (a)(b)................ 5,014 175,741
DG Fastchannel, Inc. (a)(b)... 3,405 95,102
Digi International, Inc. (a).. 4,468 40,748
EchoStar Corp. (Class A) (a).. 7,200 145,008
Finisar Corp. (a)(b).......... 10,347 92,295
Harmonic, Inc. (a)(b)......... 16,644 105,357
Harris Stratex Networks, Inc.
(Class A) (a)............... 10,661 73,668
Hughes Communications, Inc.
(a)(b)...................... 1,697 44,173
Infinera Corp. (a)(b)......... 17,587 155,997
InterDigital, Inc. (a)(b)..... 7,782 206,534
Ixia (a)(b)................... 6,169 45,897
JDS Uniphase Corp. (a)........ 38,408 316,866
Loral Space & Communications,
Inc. (a)(b)................. 2,055 64,959
Netgear, Inc. (a)............. 6,344 137,601
OpNext, Inc. (a)(b)........... 10,545 20,035
Palm, Inc. (a)(b)............. 25,982 260,859
Plantronics, Inc. (b)......... 8,692 225,818
Polycom, Inc. (a)(b).......... 14,864 371,154
Riverbed Technology, Inc.
(a)(b)...................... 10,028 230,343
SeaChange International, Inc.
(a)(b)...................... 5,744 37,738
ShoreTel, Inc. (a)(b)......... 2,938 16,982
Sonus Networks, Inc. (a)(b)... 38,973 82,233
Sycamore Networks, Inc. (a)... 3,431 71,742
Tekelec (a)(b)................ 11,891 181,694
ViaSat, Inc. (a).............. 5,468 173,773
------------
5,143,886
------------
COMPUTERS & PERIPHERALS -- 1.0%
3PAR, Inc. (a)(b)............. 5,897 69,879
Compellent Technologies, Inc.
(a)(b)...................... 2,901 65,795
Hypercom Corp. (a)............ 10,031 31,798
Intermec, Inc. (a)............ 8,618 110,828
Isilon Systems, Inc. (a)(b)... 5,328 36,550
Novatel Wireless, Inc.
(a)(b)...................... 5,165 41,165
QLogic Corp. (a)(b)........... 20,129 379,834
Quantum Corp. (a)(b).......... 32,416 94,979
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES SMALL CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Silicon Graphics International
Corp. (a)(b)................ 4,919 $ 34,482
STEC, Inc. (a)(b)............. 6,435 105,148
Stratasys, Inc. (a)(b)........ 3,864 66,770
Synaptics, Inc. (a)(b)........ 6,061 185,770
------------
1,222,998
------------
CONSTRUCTION & ENGINEERING -- 0.5%
Dycom Industries, Inc. (a).... 6,784 54,476
Furmanite Corp. (a)(b)........ 6,131 23,359
Great Lakes Dredge & Dock
Corp. (b)................... 7,377 47,803
Layne Christensen Co. (a)(b).. 3,618 103,873
Mastec, Inc. (a),(b).......... 8,696 108,700
MYR Group, Inc. (a)(b)........ 3,342 60,423
Orion Marine Group, Inc.
(a)(b)...................... 4,547 95,760
Pike Electric Corp. (a)(b).... 2,966 27,524
Primoris Services Corp. ...... 1,868 14,888
Sterling Construction Co.,
Inc. (a)(b)................. 2,545 48,813
------------
585,619
------------
CONSTRUCTION MATERIALS -- 0.2%
Eagle Materials, Inc. ........ 7,802 203,242
------------
CONSUMER FINANCE -- 0.5%
AmeriCredit Corp. (a)(b)...... 11,742 223,568
Cardtronics, Inc. (a)(b)...... 2,710 30,000
Credit Acceptance Corp.
(a)(b)...................... 1,185 49,888
Ezcorp, Inc. (a)(b)........... 7,987 137,456
First Cash Financial Services,
Inc. (a)(b)................. 4,820 106,956
------------
547,868
------------
CONTAINERS & PACKAGING -- 0.4%
Bway Holding Co. (a).......... 2,054 39,478
Graphic Packaging Holding Co.
(a)(b)...................... 13,241 45,946
Rock-Tenn Co. (Class A)....... 6,903 347,980
------------
433,404
------------
DISTRIBUTORS -- 0.4%
LKQ Corp. (a)................. 24,603 481,973
------------
DIVERSIFIED CONSUMER SERVICES -- 1.5%
American Public Education,
Inc. (a)(b)................. 3,278 112,632
Bridgepoint Education, Inc.
(a)(b)...................... 3,327 49,972
Brink's Home Security
Holdings, Inc. (a)(b)....... 8,169 266,636
Capella Education Co. (a)(b).. 2,721 204,891
Coinstar, Inc. (a)(b)......... 5,026 139,622
Corinthian Colleges, Inc.
(a)(b)...................... 14,174 195,176
Grand Canyon Education, Inc.
(a)(b)...................... 2,937 55,832
K12, Inc. (a)(b).............. 3,791 76,844
Lincoln Educational Services
Corp. (a)(b)................ 1,732 37,532
Matthews International Corp.
(Class A) (b)............... 5,443 192,846
Sotheby's (b)................. 12,110 272,233
Steiner Leisure, Ltd. (a)..... 2,458 97,730
Universal Technical Institute,
Inc. (a)(b)................. 3,785 76,457
------------
1,778,403
------------
DIVERSIFIED FINANCIAL SERVICES -- 0.4%
Interactive Brokers Group,
Inc. (Class A) (a),(b)...... 7,252 128,505
MarketAxess Holdings, Inc.
(b)......................... 4,430 61,577
NewStar Financial, Inc. (a)... 3,972 15,570
Pico Holdings, Inc. (a)(b).... 3,365 110,137
Portfolio Recovery Associates,
Inc. (a)(b)................. 2,702 121,266
------------
437,055
------------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.0%
AboveNet, Inc. (a)............ 3,639 236,680
Cbeyond, Inc. (a)(b).......... 3,973 62,575
General Communication, Inc.
(Class A) (a)(b)............ 6,699 42,740
Global Crossing, Ltd. (a)(b).. 5,575 79,444
Neutral Tandem, Inc. (a)(b)... 5,796 131,859
PAETEC Holding Corp. (a)(b)... 22,452 93,176
Premiere Global Services, Inc.
(a)(b)...................... 10,163 83,845
tw telecom, inc. (a)(b)....... 26,682 457,329
------------
1,187,648
------------
ELECTRICAL EQUIPMENT -- 2.0%
A123 Systems, Inc. (a)(b)..... 5,024 112,739
American Superconductor Corp.
(a)......................... 7,204 294,644
AZZ, Inc. (a)(b).............. 2,084 68,147
Baldor Electric Co. (b)....... 7,571 212,669
Broadwind Energy, Inc.
(a)(b)...................... 5,792 46,857
Encore Wire Corp. (b)......... 3,601 75,873
Ener1, Inc. (a)(b)............ 9,250 58,645
Energy Conversion Devices,
Inc. (a)(b)................. 8,204 86,716
EnerSys (a)................... 7,392 161,663
Evergreen Solar, Inc. (a)(b).. 32,208 48,634
FuelCell Energy, Inc. (a)(b).. 12,590 47,338
General Cable Corp. (a)(b).... 9,297 273,518
GT Solar International, Inc.
(a)(b)...................... 5,245 29,162
II-VI, Inc. (a)(b)............ 4,500 143,100
Plug Power, Inc. (a).......... 12,454 8,842
Polypore International, Inc.
(a)(b)...................... 4,146 49,337
Powell Industries, Inc.
(a)(b)...................... 1,405 44,300
Power-One, Inc. (a)(b)........ 15,010 65,294
Regal-Beloit Corp. (b)........ 6,555 340,467
Valence Technology, Inc.
(a)(b)...................... 17,095 15,557
Vicor Corp. (a)............... 4,124 38,353
Woodward Governor Co. (b)..... 10,221 263,395
------------
2,485,250
------------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.7%
Benchmark Electronics, Inc.
(a)......................... 11,687 221,001
Brightpoint, Inc. (a)(b)...... 11,684 85,877
Cogent, Inc. (a)(b)........... 7,182 74,621
Cognex Corp. ................. 6,686 118,476
CTS Corp. .................... 5,350 51,467
Daktronics, Inc. (b).......... 6,431 59,230
DTS Inc. (a)(b)............... 3,047 104,238
Echelon Corp. (a)(b).......... 5,576 64,459
Electro Scientific Industries,
Inc. (a).................... 4,307 46,602
FARO Technologies, Inc.
(a)(b)...................... 2,531 54,265
ICx Technologies, Inc.
(a)(b)...................... 2,314 22,029
Insight Enterprises, Inc.
(a)......................... 8,724 99,628
IPG Photonics Corp. (a)(b).... 4,597 76,954
Jabil Circuit, Inc. .......... 35,498 616,600
L-1 Identity Solutions, Inc.
(a)(b)...................... 15,165 113,586
Maxwell Technologies, Inc.
(a)(b)...................... 4,113 73,376
MTS Systems Corp. (b)......... 3,208 92,198
Multi-Fineline Electronix,
Inc. (a)(b)................. 1,763 50,016
National Instruments Corp.
(b)......................... 10,976 323,243
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES SMALL CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Newport Corp. (a)............. 6,902 $ 63,429
OSI Systems, Inc. (a)......... 2,765 75,429
Plexus Corp. (a).............. 6,992 199,272
Rofin-Sinar Technologies, Inc.
(a)(b)...................... 5,139 121,332
Rogers Corp. (a).............. 2,769 83,928
Sanmina-SCI Corp. (a)(b)...... 14,729 162,461
Scansource, Inc. (a)(b)....... 4,756 126,985
TTM Technologies, Inc.
(a)(b)...................... 7,159 82,543
Universal Display Corp.
(a)(b)...................... 5,707 70,539
------------
3,333,784
------------
ENERGY EQUIPMENT & SERVICES -- 4.2%
Allis-Chalmers Energy, Inc.
(a)(b)...................... 5,393 20,332
Atwood Oceanics, Inc. (a)(b).. 10,045 360,113
Basic Energy Services, Inc.
(a)(b)...................... 4,136 36,810
Bronco Drilling Co., Inc.
(a)(b)...................... 4,808 24,377
Cal Dive International, Inc.
(a)......................... 15,806 119,493
CARBO Ceramics, Inc. (b)...... 3,669 250,116
Complete Production Services,
Inc. (a)(b)................. 11,326 147,238
Dawson Geophysical Co.
(a)(b)...................... 1,253 28,957
Dresser-Rand Group, Inc. (a).. 14,717 465,204
Dril-Quip, Inc. (a)(b)........ 5,403 305,161
ENGlobal Corp. (a)(b)......... 3,146 9,847
Exterran Holdings, Inc.
(a)(b)...................... 11,124 238,610
Global Industries, Ltd.
(a)(b)...................... 18,044 128,654
Helix Energy Solutions Group,
Inc. (a).................... 16,894 198,505
Hercules Offshore, Inc.
(a)(b)...................... 20,311 97,087
Hornbeck Offshore Services,
Inc. (a)(b)................. 4,252 98,987
ION Geophysical Corp. (a)(b).. 15,921 94,252
Key Energy Services, Inc.
(a)(b)...................... 21,817 191,771
Lufkin Industries, Inc. (b)... 2,727 199,616
Matrix Service Co. (a)........ 5,118 54,507
Newpark Resources, Inc.
(a)(b)...................... 16,954 71,715
Oil States International, Inc.
(a)(b)...................... 8,895 349,485
Parker Drilling Co. (a)(b).... 20,638 102,158
Pioneer Drilling Co. (a)(b)... 8,385 66,242
RPC, Inc. (b)................. 5,895 61,308
SEACOR Holdings, Inc. (a)..... 3,465 264,206
Seahawk Drilling, Inc.
(a)(b)...................... 1,870 42,150
Superior Energy Services, Inc.
(a)(b)...................... 13,850 336,416
Superior Well Services, Inc.
(a)(b)...................... 4,388 62,573
T-3 Energy Services, Inc.
(a)......................... 2,119 54,035
Tesco Corp. (a)............... 6,074 78,415
Tetra Technologies, Inc. (a).. 13,273 147,065
Unit Corp. (a)(b)............. 8,445 358,912
------------
5,064,317
------------
FOOD & STAPLES RETAILING -- 0.4%
Arden Group, Inc. (Class A)... 306 29,260
Great Atlantic & Pacific Tea
Co. (a)(b).................. 6,671 78,651
Pantry, Inc. (a).............. 4,242 57,649
Rite Aid Corp. (a)(b)......... 108,553 163,915
Susser Holdings Corp. (a)(b).. 2,095 17,996
United Natural Foods, Inc.
(a)(b)...................... 7,031 188,009
------------
535,480
------------
FOOD PRODUCTS -- 1.0%
Calavo Growers, Inc. (b)...... 2,117 35,989
Darling International, Inc.
(a)......................... 15,256 127,845
Diamond Foods, Inc. (b)....... 2,908 103,351
Green Mountain Coffee
Roasters, Inc. (a)(b)....... 6,953 566,461
J&J Snack Foods Corp. ........ 2,448 97,822
Smart Balance, Inc. (a)(b).... 11,271 67,626
TreeHouse Foods, Inc. (a)(b).. 5,777 224,494
------------
1,223,588
------------
HEALTH CARE EQUIPMENT & SUPPLIES -- 3.9%
Abaxis, Inc. (a).............. 3,888 99,338
ABIOMED, Inc. (a)(b).......... 5,725 50,036
Accuray, Inc. (a)(b).......... 7,361 41,295
AGA Medical Holdings, Inc.
(a)(b)...................... 2,514 37,132
Align Technology, Inc.
(a)(b)...................... 11,447 203,986
American Medical Systems
Holdings, Inc. (a),(b)...... 13,422 258,910
AngioDynamics, Inc. (a)(b).... 4,419 71,058
Cantel Medical Corp. (a)(b)... 2,534 51,136
Conceptus, Inc. (a)(b)........ 4,434 83,182
CryoLife, Inc. (a)(b)......... 5,821 37,371
Cyberonics, Inc. (a)(b)....... 4,067 83,129
DexCom, Inc. (a)(b)........... 8,035 64,923
ev3, Inc. (a)(b).............. 12,632 168,511
Greatbatch, Inc. (a)(b)....... 4,146 79,728
Haemonetics Corp. (a)(b)...... 4,434 244,535
ICU Medical, Inc. (a)......... 2,437 88,804
Immucor, Inc. (a)(b).......... 12,131 245,531
Insulet Corp. (a)(b).......... 5,400 77,112
Integra LifeSciences Holdings
Corp. (a)................... 3,880 142,706
IRIS International, Inc. (a).. 3,242 40,071
Kensey Nash Corp. (a)(b)...... 1,685 42,968
MAKO Surgical Corp. (a)(b).... 4,602 51,082
Masimo Corp. (a)(b)........... 9,303 282,997
Meridian Bioscience, Inc.
(b)......................... 7,218 155,548
Merit Medical Systems, Inc.
(a)(b)...................... 4,998 96,411
Natus Medical, Inc. (a)....... 5,410 80,014
Neogen Corp. (a)(b)........... 3,860 91,135
NuVasive, Inc. (a)(b)......... 6,522 208,574
OraSure Technologies, Inc.
(a)(b)...................... 9,059 46,020
Orthofix International N.V.
(a)......................... 2,801 86,747
Orthovita, Inc. (a)(b)........ 13,618 47,799
Palomar Medical Technologies,
Inc. (a)(b)................. 3,321 33,476
Quidel Corp. (a)(b)........... 4,777 65,827
RTI Biologics, Inc. (a)(b).... 9,878 37,932
Sirona Dental Systems, Inc.
(a)......................... 3,293 104,520
SonoSite, Inc. (a)(b)......... 3,338 78,877
SurModics, Inc. (a)(b)........ 2,844 64,445
Symmetry Medical, Inc. (a).... 5,455 43,967
Synovis Life Technologies,
Inc. (a)(b)................. 2,116 27,318
Thoratec Corp. (a)(b)......... 10,045 270,411
TomoTherapy, Inc. (a)(b)...... 9,556 37,268
Trans1, Inc. (a)(b)........... 1,655 6,537
Volcano Corp. (a)(b).......... 7,324 127,291
West Pharmaceutical Services,
Inc. (b).................... 5,967 233,906
Wright Medical Group, Inc.
(a)(b)...................... 6,746 127,837
Zoll Medical Corp. (a)........ 3,740 99,933
------------
4,717,334
------------
HEALTH CARE PROVIDERS & SERVICES -- 4.7%
Air Methods Corp. (a)(b)...... 2,006 67,442
Alliance HealthCare Services,
Inc. (a).................... 4,814 27,488
Almost Family, Inc. (a)....... 1,341 53,010
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES SMALL CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Amedisys, Inc. (a)(b)......... 4,937 $ 239,741
AMERIGROUP Corp. (a).......... 9,454 254,880
AMN Healthcare Services, Inc.
(a)......................... 6,212 56,281
AmSurg Corp. (a)(b)........... 5,535 121,881
Assisted Living Concepts, Inc.
(Class A) (a)(b)............ 1,781 46,965
athenahealth, Inc. (a)........ 5,652 255,696
Bio-Reference Laboratories,
Inc. (a)(b)................. 2,122 83,161
Brookdale Senior Living, Inc.
(a)(b)...................... 9,718 176,770
CardioNet, Inc. (a)(b)........ 4,324 25,685
Catalyst Health Solutions,
Inc. (a).................... 6,736 245,662
Centene Corp. (a)............. 8,137 172,260
Chemed Corp. (b).............. 3,973 190,585
Clarient, Inc. (a)(b)......... 8,413 22,294
Corvel Corp. (a)(b)........... 1,369 45,916
Emdeon, Inc. (Class A)
(a)(b)...................... 4,205 64,126
Emergency Medical Services
Corp. (Class A) (a)(b)...... 3,554 192,449
Emeritus Corp. (a)(b)......... 3,909 73,294
Genoptix, Inc. (a)(b)......... 3,044 108,153
Health Management Associates,
Inc. (Class A) (a).......... 44,117 320,731
Healthspring, Inc. (a)(b)..... 9,323 164,178
Healthways, Inc. (a)(b)....... 6,009 110,205
HMS Holdings Corp. (a)........ 4,680 227,869
inVentiv Health, Inc. (a)(b).. 5,959 96,357
IPC The Hospitalist Co. (a)... 2,667 88,678
LHC Group, Inc. (a)(b)........ 2,791 93,806
MEDNAX, Inc. (a).............. 8,243 495,487
MWI Veterinary Supply, Inc.
(a)......................... 2,050 77,285
Nighthawk Radiology Holdings,
Inc. (a)(b)................. 3,574 16,190
Odyssey Healthcare, Inc. (a).. 6,109 95,178
PharMerica Corp. (a)(b)....... 5,478 86,991
PSS World Medical, Inc.
(a)(b)...................... 10,853 244,952
Psychiatric Solutions, Inc.
(a)......................... 9,761 206,348
Select Medical Holdings Corp.
(a)(b)...................... 5,313 56,424
Team Health Holdings, Inc.
(a)(b)...................... 3,100 43,462
The Ensign Group, Inc. (b).... 2,274 34,951
Universal American Financial
Corp. (a)(b)................ 7,563 88,487
VCA Antech, Inc. (a)(b)....... 15,147 377,463
Virtual Radiologic Corp.
(a)(b)...................... 1,198 15,286
WellCare Health Plans, Inc.
(a)......................... 7,613 279,854
------------
5,743,921
------------
HEALTH CARE TECHNOLOGY -- 0.7%
Allscripts-Misys Healthcare
Solutions, Inc. (a)(b)...... 10,383 210,048
Computer Programs and Systems,
Inc. (b).................... 1,989 91,594
Eclipsys Corp. (a)(b)......... 10,187 188,663
MedAssets, Inc. (a)(b)........ 7,654 162,341
Medidata Solutions, Inc. (a).. 3,120 48,672
Omnicell, Inc. (a)(b)......... 5,626 65,768
Phase Forward, Inc. (a)....... 7,702 118,226
------------
885,312
------------
HOTELS, RESTAURANTS & LEISURE -- 2.7%
Ambassadors Group, Inc. (b)... 3,247 43,153
Bally Technologies, Inc.
(a)(b)...................... 9,756 402,825
BJ's Restaurants, Inc.
(a)(b)...................... 3,264 61,429
Buffalo Wild Wings, Inc.
(a)(b)...................... 3,188 128,381
California Pizza Kitchen, Inc.
(a)(b)...................... 4,229 56,880
CEC Entertainment, Inc.
(a)(b)...................... 4,257 135,883
Choice Hotels International,
Inc. (b).................... 5,334 168,875
Denny's Corp. (a)(b).......... 16,981 37,188
DineEquity, Inc. (a)(b)....... 2,708 65,777
Domino's Pizza, Inc. (a)(b)... 7,384 61,878
Interval Leisure Group, Inc.
(a)(b)...................... 7,353 91,692
Life Time Fitness, Inc.
(a)(b)...................... 7,600 189,468
Morgans Hotel Group Co.
(a)(b)...................... 4,974 22,532
P F Chang's China Bistro, Inc.
(a)(b)...................... 3,880 147,091
Panera Bread Co. (Class A)
(a)......................... 5,605 375,367
Papa John's International,
Inc. (a).................... 3,934 91,898
Peet's Coffee & Tea, Inc.
(a)(b)...................... 2,375 79,159
Red Robin Gourmet Burgers,
Inc. (a)(b)................. 2,818 50,442
Scientific Games Corp. (Class
A) (a)...................... 12,384 180,187
Shuffle Master, Inc. (a)(b)... 9,700 79,928
Sonic Corp. (a)(b)............ 10,843 109,189
Texas Roadhouse, Inc. (Class
A) (a)(b)................... 9,260 103,990
The Cheesecake Factory, Inc.
(a)(b)...................... 10,131 218,728
WMS Industries, Inc. (a)...... 10,306 412,240
------------
3,314,180
------------
HOUSEHOLD DURABLES -- 1.3%
Harman International
Industries, Inc. ........... 12,239 431,792
iRobot Corp. (a)(b)........... 3,744 65,894
Jarden Corp. (b).............. 15,411 476,354
Meritage Homes Corp. (a)(b)... 5,331 103,048
National Presto Industries,
Inc. (b).................... 840 91,753
Ryland Group, Inc. (b)........ 7,665 151,001
Tempur-Pedic International,
Inc. (a)(b)................. 12,629 298,423
------------
1,618,265
------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.1%
Ormat Technologies, Inc. (b).. 3,190 120,710
------------
INDUSTRIAL CONGLOMERATES -- 0.2%
Raven Industries, Inc. (b).... 3,078 97,788
Seaboard Corp. (b)............ 70 94,430
------------
192,218
------------
INSURANCE -- 0.3%
Amtrust Financial Services,
Inc. (b).................... 4,291 50,720
Citizens, Inc. (a)(b)......... 5,748 37,534
Crawford & Co. (Class B)
(a)(b)...................... 4,189 16,505
eHealth, Inc. (a)(b).......... 4,265 70,074
Seabright Insurance Holdings
(a)......................... 4,198 48,235
Tower Group, Inc. (b)......... 7,333 171,665
------------
394,733
------------
INTERNET & CATALOG RETAIL -- 0.7%
1-800-FLOWERS.COM, Inc. (Class
A) (a)(b)................... 3,596 9,529
Blue Nile, Inc. (a)........... 2,583 163,581
Gaiam, Inc. (Class A) (a)(b).. 3,495 26,877
HSN, Inc. (a)(b).............. 7,258 146,539
NutriSystem, Inc. (b)......... 5,659 176,391
Orbitz Worldwide, Inc.
(a)(b)...................... 6,060 44,480
Overstock.com, Inc. (a)(b).... 3,080 41,765
PetMed Express, Inc. (b)...... 4,153 73,217
Shutterfly, Inc. (a)(b)....... 3,310 58,951
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES SMALL CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Stamps.com, Inc. (a)(b)....... 2,801 $ 25,209
Ticketmaster Entertainment,
Inc. (a).................... 7,493 91,565
------------
858,104
------------
INTERNET SOFTWARE & SERVICES -- 2.3%
Ancestry.com, Inc. (a)........ 1,354 18,970
Archipelago Learning, Inc.
(a)......................... 800 16,560
Art Technology Group, Inc.
(a)......................... 23,727 107,009
comScore, Inc. (a)(b)......... 3,971 69,691
Constant Contact, Inc.
(a)(b)...................... 4,786 76,576
DealerTrack Holdings, Inc.
(a)(b)...................... 6,690 125,705
Dice Holdings, Inc. (a)(b).... 3,901 25,552
Digital River, Inc. (a)(b).... 6,848 184,827
DivX, Inc. (a)(b)............. 5,450 30,738
GSI Commerce, Inc. (a)(b)..... 7,766 197,179
InfoSpace, Inc. (a)(b)........ 5,916 50,700
Internap Network Services
Corp. (a)(b)................ 9,902 46,539
Internet Brands, Inc. (Class
A) (a)(b)................... 5,284 41,374
j2 Global Communications, Inc.
(a)(b)...................... 8,176 166,382
Limelight Networks, Inc.
(a)(b)...................... 7,813 30,705
Liquidity Services, Inc.
(a)(b)...................... 2,709 27,280
LogMeIn, Inc. (a)............. 1,217 24,279
LoopNet, Inc. (a)(b).......... 6,132 60,952
Marchex, Inc. (Class B) (b)... 4,667 23,708
ModusLink Global Solutions,
Inc. (a)(b)................. 8,123 76,437
Move, Inc. (a)(b)............. 27,767 46,093
NIC, Inc. .................... 9,520 87,013
OpenTable, Inc. (a)(b)........ 2,721 69,277
Perficient, Inc. (a)(b)....... 5,322 44,864
Rackspace Hosting, Inc.
(a)(b)...................... 13,311 277,534
RealNetworks, Inc. (a)........ 15,231 56,507
SAVVIS, Inc. (a)(b)........... 7,014 98,547
Switch & Data Facilities Co.,
Inc. (a), b)................ 4,139 83,649
TechTarget, Inc. (a)(b)....... 2,848 16,034
Terremark Worldwide, Inc.
(a)(b)...................... 6,433 44,002
The Knot, Inc. (a)(b)......... 5,727 57,671
ValueClick, Inc. (a)(b)....... 15,522 157,083
Vocus, Inc. (a)(b)............ 3,186 57,348
WebMD Health Corp. (a)........ 9,125 351,221
------------
2,848,006
------------
IT SERVICES -- 2.0%
Acxiom Corp. (a).............. 14,128 189,598
Cass Information Systems, Inc.
(b)......................... 1,434 43,594
CyberSource Corp. (a)(b)...... 12,430 249,967
Euronet Worldwide, Inc. (a)... 8,539 187,431
ExlService Holdings, Inc.
(a)......................... 2,687 48,796
Forrester Research, Inc. (a).. 2,598 67,418
Gartner, Inc. (a)............. 11,391 205,494
Heartland Payment Systems,
Inc. (b).................... 6,191 81,288
Integral Systems Inc. (a)(b).. 2,913 25,227
Lionbridge Technologies, Inc.
(a)(b)...................... 8,619 19,824
NCI, Inc. (Class A) (a)(b).... 1,320 36,498
NeuStar, Inc. (Class A)
(a)(b)...................... 12,937 298,068
RightNow Technologies, Inc.
(a)......................... 4,153 72,138
Sapient Corp. (a)(b).......... 16,082 132,998
Syntel, Inc. (b).............. 4,039 153,603
TeleTech Holdings, Inc. (a)... 5,518 110,525
TNS, Inc. (a)................. 4,521 116,144
VeriFone Holdings, Inc.
(a)(b)...................... 13,273 217,412
Wright Express Corp. (a)...... 6,855 218,400
------------
2,474,423
------------
LEISURE EQUIPMENT & PRODUCTS -- 0.2%
Pool Corp. (b)................ 8,554 163,210
Smith & Wesson Holding Corp.
(a)(b)...................... 10,601 43,358
------------
206,568
------------
LIFE SCIENCES TOOLS & SERVICES -- 0.9%
Affymetrix, Inc. (a)(b)....... 12,571 73,414
Bruker Corp. (a).............. 9,231 111,326
Dionex Corp. (a).............. 3,200 236,384
Enzo Biochem, Inc. (a)(b)..... 6,142 33,044
eResearch Technology, Inc.
(a)(b)...................... 8,790 52,828
Kendle International, Inc.
(a)(b)...................... 2,612 47,826
Luminex Corp. (a)............. 7,397 110,437
PAREXEL International Corp.
(a)......................... 10,407 146,739
Sequenom, Inc. (a)(b)......... 9,655 39,972
Varian, Inc. (a)(b)........... 5,241 270,121
------------
1,122,091
------------
MACHINERY -- 4.0%
Actuant Corp. (Class A) (b)... 11,736 217,468
Altra Holdings, Inc. (a)(b)... 5,046 62,318
American Railcar Industries,
Inc. (b).................... 1,384 15,252
Badger Meter, Inc. ........... 2,628 104,647
Bucyrus International, Inc.
(Class A)................... 13,200 744,084
Chart Industries, Inc.
(a)(b)...................... 5,068 83,875
CLARCOR, Inc. ................ 9,105 295,366
Columbus McKinnon Corp.
(a)(b)...................... 3,314 45,269
Dynamic Materials Corp. (b)... 2,506 50,245
Energy Recovery, Inc. (a)(b).. 5,437 37,407
ESCO Technologies, Inc. (b)... 4,616 165,484
Force Protection, Inc.
(a)(b)...................... 12,468 64,958
Gardner Denver, Inc. (b)...... 9,279 394,822
Graham Corp. (b).............. 1,680 34,776
John Bean Technologies Corp.
(b)......................... 4,917 83,638
K-Tron International, Inc.
(a)(b)...................... 522 56,762
L.B. Foster Co. (a)........... 1,802 53,718
Lindsay Corp. (b)............. 2,140 85,279
Middleby Corp. (a)(b)......... 3,320 162,746
Nordson Corp. (b)............. 5,373 328,720
RBC Bearings, Inc. (a)........ 3,954 96,201
Sauer-Danfoss, Inc. (a)(b).... 1,964 23,588
Sun Hydraulics Corp. (b)...... 2,070 54,338
Terex Corp. (a)(b)............ 18,942 375,241
The Gorman-Rupp Co. .......... 2,727 75,374
The Greenbrier Cos., Inc.
(b)......................... 2,801 29,074
The Manitowoc Co., Inc. (b)... 23,327 232,570
The Toro Co. (b).............. 5,954 248,937
Valmont Industries, Inc. (b).. 3,838 301,091
Wabtec Corp. ................. 8,706 355,553
------------
4,878,801
------------
MARINE -- 0.3%
Excel Maritime Carriers, Ltd.
(a)......................... 8,507 52,403
Kirby Corp. (a)(b)............ 9,391 327,088
TBS International, Ltd.
(a)(b)...................... 2,668 19,610
------------
399,101
------------
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES SMALL CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
MEDIA -- 1.7%
CKX, Inc. (a)(b).............. 11,218 $ 59,119
Crown Media Holdings, Inc.
(Class A) (a)(b)............ 1,511 2,191
Dolan Media Co. (a)(b)........ 5,288 53,990
Fisher Communications, Inc.
(a)......................... 932 15,145
Knology, Inc. (a)(b).......... 5,282 57,838
Lamar Advertising Co. (Class
A) (a)(b)................... 10,335 321,315
Liberty Media Corp.-
Interactive (Class A) (a)... 15,318 365,794
Live Nation, Inc. (a)(b)...... 15,027 127,880
Mediacom Communications Corp.
(Class A) (a)(b)............ 6,441 28,791
Morningstar, Inc. (a)......... 3,699 178,810
National CineMedia, Inc. ..... 7,503 124,325
RCN Corp. (a)................. 6,602 71,632
Sirius XM Radio, Inc. (a)(b).. 691,149 414,689
Valassis Communications, Inc.
(a)......................... 8,502 155,246
Warner Music Group Corp.
(a)(b)...................... 9,752 55,196
------------
2,059,220
------------
METALS & MINING -- 2.1%
AK Steel Holding Corp. (b).... 19,587 418,182
Allied Nevada Gold Corp. (a).. 11,518 173,691
Brush Engineered Materials,
Inc. (a)(b)................. 3,475 64,427
Century Aluminum Co. (a)(b)... 11,035 178,657
Compass Minerals
International, Inc. (b)..... 5,797 389,500
Haynes International, Inc.
(b)......................... 2,152 70,951
Hecla Mining Co. (a)(b)....... 43,099 266,352
Horsehead Holding Corp.
(a)(b)...................... 8,188 104,397
Royal Gold, Inc. (b).......... 7,280 342,888
RTI International Metals, Inc.
(a)(b)...................... 4,923 123,912
Schnitzer Steel Industries,
Inc. (Class A)(b)........... 3,741 178,446
Stillwater Mining Co. (a)..... 8,525 80,817
Titanium Metals Corp. (a)..... 15,382 192,583
------------
2,584,803
------------
MULTILINE RETAIL -- 0.1%
99 Cents Only Stores (a)(b)... 7,625 99,659
------------
OFFICE ELECTRONICS -- 0.3%
Zebra Technologies Corp.
(Class A) (a)(b)............ 10,668 302,544
------------
OIL, GAS & CONSUMABLE FUELS -- 5.6%
Alon USA Energy, Inc. ........ 2,516 17,209
Apco Oil and Gas
International, Inc. (b)..... 1,586 35,051
Arena Resources, Inc. (a)(b).. 6,884 296,838
Atlas Energy, Inc. (b)........ 13,747 414,747
ATP Oil & Gas Corp. (a)(b).... 7,604 139,001
Berry Petroleum Co. (Class A)
(b)......................... 7,089 206,644
Bill Barrett Corp. (a)(b)..... 5,974 185,851
BPZ Resources, Inc. (a)(b).... 18,417 174,961
Brigham Exploration Co.
(a)(b)...................... 17,218 233,304
Carrizo Oil & Gas, Inc.
(a)(b)...................... 4,899 129,775
Cheniere Energy, Inc. (a),
b).......................... 9,587 23,201
Clean Energy Fuels Corp.
(a)(b)...................... 6,669 102,769
Comstock Resources, Inc.
(a)(b)...................... 8,010 324,966
Contango Oil & Gas Co. (a).... 2,335 109,768
CVR Energy, Inc. (a)(b)....... 9,790 67,159
Delek US Holdings, Inc. (b)... 2,536 17,270
Delta Petroleum Corp. (a)(b).. 32,514 33,815
Encore Acquisition Co.
(a)(b)...................... 9,633 462,577
Frontier Oil Corp. (b)........ 18,520 222,981
Gastar Exploration, Ltd. (a).. 7,622 36,509
GMX Resources, Inc. (a)(b).... 5,107 70,170
Goodrich Petroleum Corp.
(a)(b)...................... 4,699 114,421
Gulfport Energy Corp. (a)..... 5,273 60,376
Holly Corp. (b)............... 7,448 190,892
International Coal Group, Inc.
(a)......................... 15,102 58,294
Isramco, Inc. (a)(b).......... 186 13,299
Mariner Energy, Inc. (a)(b)... 18,152 210,745
Massey Energy Co. (b)......... 15,045 632,040
McMoRan Exploration Co.
(a)(b)...................... 13,833 110,941
Patriot Coal Corp. (a)(b)..... 13,765 212,807
Penn Virginia Corp. (b)....... 8,135 173,194
Petroleum Development Corp.
(a)......................... 3,314 60,348
Petroquest Energy, Inc.
(a)(b)...................... 9,543 58,499
Rentech, Inc. (a)(b).......... 34,301 42,190
Resolute Energy Corp. (a)(b).. 7,924 91,284
Rosetta Resources, Inc. (a)... 9,287 185,090
SandRidge Energy, Inc.
(a)(b)...................... 31,620 298,177
St. Mary Land & Exploration
Co. ........................ 10,901 373,250
Swift Energy Co. (a).......... 6,407 153,512
VAALCO Energy, Inc. (b)....... 11,190 50,914
Venoco, Inc. (a)(b)........... 3,590 46,814
W & T Offshore, Inc. (b)...... 6,542 76,541
Warren Resources, Inc.
(a)(b)...................... 13,886 34,021
Western Refining, Inc.
(a)(b)...................... 9,562 45,037
World Fuel Services Corp.
(b)......................... 10,400 278,616
------------
6,875,868
------------
PAPER & FOREST PRODUCTS -- 0.4%
Clearwater Paper Corp. (a).... 2,060 113,238
Domtar Corp. (a)(b)........... 7,579 419,953
------------
533,191
------------
PERSONAL PRODUCTS -- 1.2%
Bare Escentuals, Inc. (a)(b).. 12,095 147,922
Chattem, Inc. (a)(b).......... 3,462 323,005
Herbalife, Ltd. .............. 10,820 438,967
Inter Parfums, Inc. (b)....... 2,375 28,904
NBTY, Inc. (a)(b)............. 10,068 438,361
USANA Health Sciences, Inc.
(a)(b)...................... 1,406 44,851
------------
1,422,010
------------
PHARMACEUTICALS -- 1.7%
Acura Pharmaceuticals, Inc.
(a)(b)...................... 1,801 9,599
Akorn, Inc. (a)(b)............ 8,537 15,281
Ardea Biosciences, Inc.
(a)(b)...................... 2,427 33,978
Auxilium Pharmaceuticals, Inc.
(a)(b)...................... 7,664 229,767
Biodel, Inc. (a).............. 2,352 10,208
Cadence Pharmaceuticals, Inc.
(a)(b)...................... 5,971 57,740
Caraco Pharmaceutical
Laboratories, Ltd. (a)(b)... 1,965 11,869
Cumberland Pharmaceuticals,
Inc. (a)(b)................. 938 12,747
Cypress Bioscience, Inc.
(a)(b)...................... 6,807 39,208
Durect Corp. (a)(b)........... 14,906 36,818
Impax Laboratories, Inc.
(a)(b)...................... 9,464 128,710
Inspire Pharmaceuticals, Inc.
(a)(b)...................... 12,327 68,045
MAP Pharmaceuticals, Inc.
(a)(b)...................... 2,805 26,732
Nektar Therapeutics (a)(b).... 16,433 153,156
Optimer Pharmaceuticals, Inc.
(a)(b)...................... 5,202 58,679
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES SMALL CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Pain Therapeutics, Inc.
(a)(b)...................... 5,817 $ 31,179
POZEN, Inc. (a)(b)............ 4,840 28,992
Questcor Pharmaceuticals, Inc.
(a)(b)...................... 9,715 46,146
Salix Pharmaceuticals, Ltd.
(a)(b)...................... 9,581 243,357
Sucampo Pharmaceuticals, Inc.
(a)(b)...................... 1,250 5,050
The Medicines Co. (a)......... 9,662 80,581
Valeant Pharmaceuticals
International (a)(b)........ 12,280 390,381
ViroPharma, Inc. (a)(b)....... 13,065 109,615
VIVUS, Inc. (a)(b)............ 14,636 134,505
XenoPort, Inc. (a)(b)......... 5,333 98,980
------------
2,061,323
------------
PROFESSIONAL SERVICES -- 1.9%
Administaff, Inc. ............ 4,027 94,997
Advisory Board Co. (a)(b)..... 2,915 89,374
CBIZ, Inc. (a)(b)............. 8,347 64,272
CoStar Group, Inc. (a)(b)..... 3,789 158,266
CRA International, Inc. (a),
b).......................... 1,844 49,143
Exponent, Inc. (a)............ 2,672 74,388
Heidrick & Struggles
International, Inc. (b)..... 3,207 100,187
Hill International, Inc. (a).. 5,192 32,398
Huron Consulting Group, Inc.
(a)(b)...................... 3,857 88,865
ICF International, Inc. (a)... 1,705 45,694
Kforce, Inc. (a).............. 6,726 84,075
Korn/Ferry International (a).. 8,240 135,960
Mistras Group, Inc. (a)(b).... 1,546 23,283
Monster Worldwide, Inc.
(a)(b)...................... 22,804 396,790
MPS Group, Inc. (a)(b)........ 16,526 227,067
Navigant Consulting, Inc.
(a)......................... 8,641 128,405
Odyssey Marine Exploration,
Inc. (a)(b)................. 10,373 14,626
Resources Connection, Inc.
(a)(b)...................... 8,017 170,121
Spherion Corp. (a)(b)......... 9,865 55,441
The Corporate Executive Board
Co. ........................ 6,122 139,704
TrueBlue, Inc. (a)(b)......... 7,774 115,133
------------
2,288,189
------------
REAL ESTATE INVESTMENT TRUSTS -- 1.4%
Alexander's, Inc. (a)(b)...... 493 150,079
Cedar Shopping Centers, Inc.
(b)......................... 8,605 58,514
Corporate Office Properties
Trust (b)................... 10,529 385,677
Equity Lifestyle Properties,
Inc. (b).................... 5,294 267,188
Extra Space Storage, Inc.
(b)......................... 15,327 177,027
Tanger Factory Outlet Centers,
Inc. (b).................... 7,121 277,648
Taubman Centers, Inc. (b)..... 9,447 339,242
------------
1,655,375
------------
REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.4%
Jones Lang LaSalle, Inc. (b).. 7,191 434,337
Tejon Ranch Co. (a)........... 2,387 69,748
------------
504,085
------------
ROAD & RAIL -- 1.1%
AMERCO, Inc. (a)(b)........... 1,026 51,013
Dollar Thrifty Automotive
Group, Inc. (a)(b).......... 4,616 118,216
Genesee & Wyoming, Inc. (Class
A) (a)(b)................... 6,379 208,210
Heartland Express, Inc. (b)... 9,882 150,898
Knight Transportation, Inc.
(b)......................... 10,451 201,600
Landstar Systems, Inc. ....... 8,905 345,247
Marten Transport, Ltd.
(a)(b)...................... 2,717 48,770
Old Dominion Freight Line,
Inc. (a)(b)................. 5,398 165,718
Patriot Transportation
Holding, Inc. (a)(b)........ 279 26,354
RailAmerica, Inc. (a)(b)...... 3,963 48,349
YRC Worldwide, Inc. (a)(b).... 10,564 8,872
------------
1,373,247
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 7.0%
Advanced Analogic
Technologies, Inc. (a)...... 8,290 32,663
Advanced Energy Industries,
Inc. (a)(b)................. 6,187 93,300
Amkor Technology, Inc.
(a)(b)...................... 20,928 149,844
Anadigics, Inc. (a)(b)........ 12,291 51,868
Applied Micro Circuits Corp.
(a)(b)...................... 11,626 86,846
Atheros Communications, Inc.
(a)(b)...................... 10,781 369,141
Atmel Corp. (a)(b)............ 72,019 332,008
ATMI, Inc. (a)(b)............. 5,665 105,482
Brooks Automation, Inc.
(a)(b)...................... 10,062 86,332
Cabot Microelectronics Corp.
(a)......................... 4,149 136,751
Cavium Networks, Inc. (a)(b).. 6,467 154,109
Cirrus Logic, Inc. (a)........ 11,035 75,259
Cohu, Inc. (b)................ 4,305 60,055
Cymer, Inc. (a)(b)............ 4,942 189,674
Cypress Semiconductor Corp.
(a)......................... 27,008 285,204
Diodes, Inc. (a)(b)........... 5,775 118,099
Entegris, Inc. (a)(b)......... 22,712 119,919
FEI Co. (a)................... 6,347 148,266
Formfactor, Inc. (a)(b)....... 8,755 190,509
Hittite Microwave Corp.
(a)(b)...................... 3,475 141,606
Integrated Device Technology,
Inc. (a).................... 29,491 190,807
International Rectifier Corp.
(a)(b)...................... 13,025 288,113
IXYS Corp. (a)(b)............. 4,185 31,053
Kulicke & Soffa Industries,
Inc. (a)(b)................. 12,097 65,203
Micrel, Inc. ................. 6,772 55,530
Microsemi Corp. (a)(b)........ 14,519 257,712
MKS Instruments, Inc. (a)(b).. 7,737 134,701
Monolithic Power Systems, Inc.
(a)(b)...................... 6,068 145,450
Netlogic Microsystems, Inc.
(a)(b)...................... 3,275 151,501
Novellus Systems, Inc.
(a)(b)...................... 17,536 409,290
OmniVision Technologies, Inc.
(a)(b)...................... 8,930 129,753
PMC-Sierra, Inc. (a)(b)....... 40,551 351,172
Power Integrations, Inc. (b).. 4,813 175,001
Rambus, Inc. (a)(b)........... 18,841 459,720
RF Micro Devices, Inc.
(a)(b)...................... 41,859 199,667
Rubicon Technology, Inc.
(a)(b)...................... 2,250 45,698
Semtech Corp. (a)(b).......... 10,801 183,725
Sigma Designs, Inc. (a)(b).... 4,695 50,236
Silicon Image, Inc. (a)(b).... 11,972 30,888
Silicon Laboratories, Inc.
(a)(b)...................... 8,024 387,880
Silicon Storage Technology,
Inc. (a)(b)................. 14,903 38,152
Skyworks Solutions, Inc.
(a)(b)...................... 29,892 424,167
Standard Microsystems Corp.
(a)......................... 3,910 81,250
Supertex, Inc. (a)(b)......... 2,009 59,868
Teradyne, Inc. (a)(b)......... 31,416 337,094
Tessera Technologies, Inc.
(a)......................... 9,099 211,734
Trident Microsystems, Inc.
(a)(b)...................... 10,003 18,606
TriQuint Semiconductor, Inc.
(a)(b)...................... 27,505 165,030
Ultratech, Inc. (a)........... 4,137 61,476
Veeco Instruments, Inc.
(a)(b)...................... 6,673 220,476
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES SMALL CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Volterra Semiconductor Corp.
(a)(b)...................... 4,573 $ 87,436
Zoran Corp. (a)............... 9,145 101,052
------------
8,476,376
------------
SOFTWARE -- 6.1%
ACI Worldwide, Inc. (a)(b).... 6,379 109,400
Advent Software, Inc. (a)..... 2,541 103,495
ArcSight, Inc. (a)(b)......... 5,000 127,900
Ariba, Inc. (a)(b)............ 16,064 201,121
Blackbaud, Inc. .............. 7,834 185,117
Blackboard, Inc. (a)(b)....... 5,276 239,478
Bottomline Technologies, Inc.
(a)......................... 4,391 77,150
Cadence Design Systems, Inc.
(a)......................... 47,557 284,866
Commvault Systems, Inc. (a)... 6,995 165,712
Concur Technologies, Inc.
(a)(b)...................... 7,542 322,421
Deltek, Inc. (a)(b)........... 6,094 47,411
DemandTec, Inc. (a)(b)........ 3,524 30,906
Ebix, Inc. (a)(b)............. 1,550 75,687
EPIQ Systems, Inc. (a)(b)..... 5,882 82,289
FalconStor Software, Inc.
(a)(b)...................... 6,298 25,570
Fortinet, Inc. (a)(b)......... 1,900 33,383
Informatica Corp. (a)(b)...... 15,629 404,166
Jack Henry & Associates,
Inc. ....................... 15,043 347,794
Kenexa Corp. (a).............. 3,812 49,747
Lawson Software, Inc. (a)..... 24,374 162,087
Manhattan Associates, Inc.
(a)......................... 3,998 96,072
Mentor Graphics Corp. (a)..... 17,842 157,545
MICROS Systems, Inc. (a)(b)... 14,044 435,785
MicroStrategy, Inc. (a)....... 1,691 158,988
Monotype Imaging Holdings,
Inc. (a)(b)................. 3,902 35,235
Netscout Systems, Inc.
(a)(b)...................... 5,028 73,610
NetSuite, Inc. (a)(b)......... 4,131 66,013
Parametric Technology Corp.
(a)(b)...................... 20,812 340,068
Pegasystems, Inc. (b)......... 2,641 89,794
Progress Software Corp.
(a)(b)...................... 7,177 209,640
Quality Systems, Inc. (b)..... 3,243 203,628
Quest Software, Inc. (a)(b)... 10,891 200,394
Radiant Systems, Inc. (a)..... 5,566 57,886
Rosetta Stone, Inc. (a)(b).... 1,988 35,685
Smith Micro Software, Inc.
(a)(b)...................... 5,233 47,830
Solarwinds, Inc. (a)(b)....... 5,484 126,187
Solera Holdings, Inc. (b)..... 12,434 447,748
SonicWALL, Inc. (a)........... 9,648 73,421
Sourcefire, Inc. (a)(b)....... 3,553 95,043
SuccessFactors, Inc. (a)(b)... 9,719 161,141
Symyx Technologies, Inc.
(a)(b)...................... 5,316 29,238
Synchronoss Technologies, Inc.
(a)(b)...................... 3,562 56,315
Taleo Corp. (Class A) (a)(b).. 5,558 130,724
TeleCommunication Systems,
Inc. (Class A) (a)(b)....... 7,731 74,836
THQ, Inc. (a)(b).............. 12,009 60,525
TIBCO Software, Inc. (a)...... 29,598 285,029
TiVo, Inc. (a)(b)............. 19,341 196,891
Tyler Technologies, Inc.
(a)(b)...................... 6,341 126,249
Ultimate Software Group, Inc.
(a)(b)...................... 4,542 133,399
Vasco Data Security
International (a)(b)........ 4,590 28,779
Websense, Inc. (a)(b)......... 7,386 128,960
------------
7,438,358
------------
SPECIALTY RETAIL -- 3.7%
Aaron's, Inc. (b)............. 8,800 244,024
Aeropostale, Inc. (a)(b)...... 12,023 409,383
AnnTaylor Stores Corp.
(a)(b)...................... 10,503 143,261
Bebe Stores, Inc. (b)......... 5,338 33,469
Cabela's, Inc. (a)(b)......... 7,395 105,453
Charming Shoppes, Inc.
(a)(b)...................... 17,568 113,665
Chico's FAS, Inc. (a)......... 31,565 443,488
Citi Trends, Inc. (a)(b)...... 2,527 69,796
Coldwater Creek, Inc. (a)(b).. 10,533 46,977
Dick's Sporting Goods, Inc.
(a)(b)...................... 15,080 375,040
DSW, Inc. (Class A) (a)(b).... 2,669 69,074
Gymboree Corp. (a)(b)......... 5,340 232,237
hhgregg, Inc. (a)(b).......... 3,447 75,937
Hibbett Sports, Inc. (a)(b)... 5,299 116,525
J. Crew Group, Inc. (a)....... 9,144 409,102
Jos. A. Bank Clothiers, Inc.
(a)(b)...................... 3,372 142,265
Lumber Liquidators Holdings,
Inc. (a)(b)................. 2,720 72,896
Monro Muffler Brake, Inc.
(b)......................... 3,460 115,702
New York & Co., Inc. (a)(b)... 4,696 20,146
Office Depot, Inc. (a)(b)..... 48,866 315,186
Pacific Sunwear of California,
Inc. (a), (b)............... 11,587 46,116
Systemax, Inc. (b)............ 859 13,495
The Dress Barn, Inc. (a)...... 11,037 254,955
The Talbots, Inc. (a)(b)...... 4,113 36,647
The Wet Seal, Inc. (Class A)
(a)(b)...................... 16,937 58,433
Tractor Supply Co. (a)(b)..... 6,573 348,106
Ulta Salon Cosmetics &
Fragrance, Inc. (a)(b)...... 6,164 111,938
Zumiez, Inc. (a)(b)........... 3,681 46,822
------------
4,470,138
------------
TEXTILES, APPAREL & LUXURY GOODS -- 1.4%
American Apparel, Inc. (a).... 5,492 17,025
Carter's, Inc. (a)............ 10,173 267,041
Crocs, Inc. (a)(b)............ 13,997 80,483
Deckers Outdoor Corp. (a)(b).. 2,407 244,840
FGX International Holdings,
Ltd. (a)(b)................. 2,863 56,086
Fossil, Inc. (a).............. 8,452 283,649
Iconix Brand Group, Inc.
(a)(b)...................... 12,697 160,617
K-Swiss, Inc. (Class A)
(a)(b)...................... 5,049 50,187
Maidenform Brands, Inc. (a)... 3,657 61,036
Quiksilver, Inc. (a)(b)....... 23,112 46,686
Steven Madden, Ltd. (a)....... 2,933 120,957
True Religion Apparel, Inc.
(a)(b)...................... 4,532 83,797
Under Armour, Inc. (Class A)
(a)......................... 6,885 187,754
Volcom, Inc. (a)(b)........... 3,211 53,752
------------
1,713,910
------------
THRIFTS & MORTGAGE FINANCE -- 0.7%
Beneficial Mutual Bancorp,
Inc. (a)(b)................. 6,235 61,352
Fannie Mae (a)(b)............. 196,835 232,265
Freddie Mac (a)............... 114,872 168,862
NewAlliance Bancshares, Inc.
(b)......................... 17,857 214,463
Ocwen Financial Corp. (a)(b).. 12,620 120,774
Oritani Financial Corp. (b)... 2,027 27,831
ViewPoint Financial Group
(b)......................... 1,937 27,912
Waterstone Financial, Inc.
(a)(b)...................... 1,547 3,171
------------
856,630
------------
TRADING COMPANIES & DISTRIBUTORS -- 0.6%
Beacon Roofing Supply, Inc.
(a)(b)...................... 8,050 128,800
H&E Equipment Services, Inc.
(a)(b)...................... 5,032 52,786
Interline Brands, Inc.
(a)(b)...................... 5,780 99,820
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES SMALL CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
RSC Holdings, Inc. (a)(b)..... 9,158 $ 64,472
Rush Enterprises, Inc. (Class
A) (a)(b)................... 5,873 69,830
Titan Machinery, Inc. (a)(b).. 2,853 32,924
United Rentals, Inc. (a)(b)... 10,653 104,506
WESCO International, Inc.
(a)(b)...................... 7,517 203,034
------------
756,172
------------
WIRELESS TELECOMMUNICATION SERVICES -- 0.4%
ICO Global Communications
Holdings, Ltd. (a)(b)....... 18,518 19,999
Leap Wireless International,
Inc. (a)(b)................. 10,936 191,927
Shenandoah Telecommunications
Co. (b)..................... 4,420 89,947
Syniverse Holdings, Inc. (a).. 12,294 214,899
------------
516,772
------------
TOTAL COMMON STOCKS --
(Cost $125,376,997)......... 121,423,012
------------
SHORT TERM INVESTMENTS -- 29.3%
MONEY MARKET FUNDS -- 29.3%
State Street Institutional
Liquid Reserves Fund (c).... 393,857 393,857
State Street Navigator
Securities Lending Prime
Portfolio (c)(d)............ 35,306,432 35,306,432
------------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $35,700,289).......... 35,700,289
------------
TOTAL INVESTMENTS -- 129.0%
(E)
(Cost $161,077,286)......... 157,123,301
OTHER ASSETS AND
LIABILITIES -- (29.0)%...... (35,293,968)
------------
NET ASSETS -- 100.0%.......... $121,829,333
============
</Table>
(a) Non-income producing security.
(b) Security, or portion thereof, was on loan at December 31, 2009.
(c) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3)
(d) Investments of cash collateral for securities loaned
(e) Unless otherwise indicated, the values of the securities of the Fund are
determined based on Level 1 inputs. (Note 2)
See accompanying notes to financial statements.
SPDR DOW JONES SMALL CAP VALUE ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.7%
AEROSPACE & DEFENSE -- 0.8%
Applied Signal Technology,
Inc. ....................... 2,043 $ 39,410
Cubic Corp. .................. 2,571 95,898
Curtiss-Wright Corp. ......... 7,379 231,110
Ducommun, Inc. ............... 1,565 29,281
Esterline Technologies Corp.
(a)......................... 4,812 196,185
GenCorp, Inc. (a)(b).......... 8,830 61,810
Triumph Group, Inc. (b)....... 2,728 131,626
------------
785,320
------------
AIR FREIGHT & LOGISTICS -- 0.1%
Atlas Air Worldwide Holdings,
Inc. (a).................... 2,660 99,085
Pacer International, Inc.
(a)(b)...................... 5,424 17,140
------------
116,225
------------
AIRLINES -- 0.2%
Alaska Air Group, Inc.
(a)(b)...................... 5,945 205,459
Republic Airways Holdings,
Inc. (a)(b)................. 5,458 40,335
------------
245,794
------------
AUTO COMPONENTS -- 1.3%
Cooper Tire & Rubber Co. ..... 9,990 200,299
Dana Holding Corp. (a)........ 22,862 247,824
Federal-Mogul Corp. (Class A)
(a)(b)...................... 3,961 68,525
Gentex Corp. ................. 22,637 404,070
Superior Industries
International, Inc. (b)..... 3,335 51,026
TRW Automotive Holdings Corp.
(a)(b)...................... 11,470 273,904
------------
1,245,648
------------
AUTOMOBILES -- 0.1%
Winnebago Industries, Inc.
(a)(b)...................... 4,637 56,571
------------
BEVERAGES -- 0.1%
Coca-Cola Hellenic Bottling
Co. SA (b).................. 690 37,274
National Beverage Corp.
(a)(b)...................... 1,531 21,220
------------
58,494
------------
BIOTECHNOLOGY -- 0.8%
ArQule, Inc. (a)(b)........... 4,666 17,218
Cell Therapeutics, Inc.
(a)(b)...................... 94,938 108,229
Clinical Data, Inc. (a)(b).... 2,765 50,489
Idenix Pharmaceuticals, Inc.
(a)......................... 5,047 10,851
Immunomedics, Inc. (a)(b)..... 10,713 34,389
Ligand Pharmaceuticals, Inc.
(Class B) (a)(b)............ 16,584 35,987
Nabi Biopharmaceuticals
(a)(b)...................... 8,074 39,563
Neurocrine Biosciences, Inc.
(a)(b)...................... 6,181 16,812
Novavax, Inc. (a)(b).......... 14,343 38,152
PDL BioPharma, Inc. (b)....... 19,452 133,441
Rigel Pharmaceuticals, Inc.
(a)(b)...................... 7,869 74,834
Savient Pharmaceuticals, Inc.
(a)......................... 10,181 138,563
StemCells, Inc. (a)(b)........ 16,042 20,213
Vanda Pharmaceuticals, Inc.
(a)......................... 3,604 40,509
------------
759,250
------------
BUILDING PRODUCTS -- 0.9%
American Woodmark Corp. ...... 1,450 28,536
Ameron International Corp.
(b)......................... 1,400 88,844
Apogee Enterprises, Inc. (b).. 4,506 63,084
Armstrong World Industries,
Inc. (a).................... 2,937 114,337
Builders FirstSource, Inc.
(a)(b)...................... 5,196 20,005
Gibraltar Industries, Inc.
(a)(b)...................... 4,130 64,965
Griffon Corp. (a)............. 8,007 97,846
Lennox International, Inc. ... 8,575 334,768
Universal Forest Products,
Inc. ....................... 3,128 115,142
------------
927,527
------------
CAPITAL MARKETS -- 2.2%
Artio Global Investors, Inc.
(a)......................... 4,000 101,960
BGC Partners, Inc. (Class A)
(b)......................... 5,601 25,877
Broadpoint Gleacher
Securities, Inc. (a)(b)..... 10,674 47,606
Calamos Asset Management, Inc.
(Class A)................... 3,090 35,628
E*TRADE Financial Corp.
(a)(b)...................... 306,068 535,619
Evercore Partners, Inc. (Class
A) (b)...................... 2,473 75,179
FBR Capital Markets Corp.
(a)(b)...................... 6,041 37,333
GAMCO Investors, Inc. (Class
A) (b)...................... 659 31,823
GLG Partners, Inc. (a)(b)..... 27,060 87,133
Investment Technology Group,
Inc. (a).................... 6,946 136,836
Janus Capital Group, Inc.
(b)......................... 29,483 396,546
LaBranche & Cos., Inc.
(a)(b)...................... 8,809 25,017
Piper Jaffray Co., Inc. (a)... 3,142 159,017
SWS Group, Inc. (b)........... 5,328 64,469
Teton Advisors, Inc. (Class B)
(a)(b)(c)................... 10 23
Thomas Weisel Partners Group,
Inc. (a)(b)................. 3,270 12,361
Waddell & Reed Financial, Inc.
(Class A)................... 14,084 430,125
------------
2,202,552
------------
CHEMICALS -- 3.7%
A. Schulman, Inc. ............ 3,676 74,182
Arch Chemicals, Inc. ......... 3,929 121,328
Ashland, Inc. ................ 10,966 434,473
Cabot Corp. .................. 8,230 215,873
Cytec Industries, Inc. ....... 8,012 291,797
Ferro Corp. (b)............... 12,814 105,587
H.B. Fuller Co. .............. 7,890 179,498
Huntsman Corp. ............... 27,258 307,743
Innophos Holdings, Inc. ...... 2,866 65,889
Koppers Holdings, Inc. ....... 3,203 97,499
Kronos Worldwide, Inc.
(a)(b)...................... 461 7,491
Minerals Technologies, Inc. .. 3,032 165,153
NL Industries, Inc. (b)....... 1,030 7,148
Olin Corp. ................... 11,185 195,961
OM Group, Inc. (a)............ 5,085 159,618
RPM International, Inc. ...... 21,149 429,959
Sensient Technologies Corp.
(b)......................... 7,905 207,902
Solutia, Inc. (a)............. 19,973 253,657
Spartech Corp. ............... 4,796 49,207
Stepan Co. ................... 1,377 89,244
Valhi, Inc. (b)............... 2,195 30,664
Westlake Chemical Corp. (b)... 3,168 78,978
Zep, Inc. (b)................. 3,390 58,715
------------
3,627,566
------------
COMMERCIAL BANKS -- 10.4%
1st Source Corp. (b).......... 2,158 34,722
Arrow Financial Corp. (b)..... 1,730 43,250
Associated Ban-Corp. (b)...... 19,373 213,297
Bancfirst Corp. (b)........... 1,117 41,374
BancorpSouth, Inc. (b)........ 12,842 301,273
Bank of Hawaii Corp. (b)...... 7,864 370,080
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES SMALL CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Bank of the Ozarks, Inc. (b).. 1,958 $ 57,311
Boston Private Financial
Holdings, Inc. (b).......... 10,782 62,212
Camden National Corp. (b)..... 1,096 35,839
Capital City Bank Group, Inc.
(b)......................... 1,799 24,898
CapitalSource, Inc. (b)....... 42,433 168,459
Capitol Bancorp, Ltd. (b)..... 2,202 4,316
Cathay General Bancorp (b).... 9,124 68,886
Chemical Financial Corp. (b).. 3,625 85,478
City Holding Co. (b).......... 2,559 82,732
CoBiz Financial, Inc. (b)..... 6,095 28,951
Columbia Banking System, Inc.
(b)......................... 4,301 69,590
Community Bank System, Inc.
(b)......................... 5,358 103,463
Community Trust Bancorp, Inc.
(b)......................... 2,132 52,127
CVB Financial Corp. (b)....... 14,962 129,272
Danvers Bancorp, Inc. (b)..... 3,165 41,113
F.N.B. Corp. (b).............. 18,112 122,980
First Bancorp- North Carolina
(b)......................... 2,616 36,546
First BanCorp- Puerto Rico
(b)......................... 12,057 27,731
First Busey Corp. (b)......... 8,826 34,333
First Commonwealth Financial
Corp. (b)................... 12,148 56,488
First Community Bancshares,
Inc. (b).................... 2,703 32,571
First Financial Bancorp (b)... 8,177 119,057
First Financial Bankshares,
Inc. (b).................... 3,358 182,104
First Financial Corp. (b)..... 1,741 53,135
First Merchants Corp. (b)..... 3,361 19,964
First Midwest Bancorp, Inc.
(b)......................... 8,107 88,285
FirstMerit Corp. (b).......... 13,936 280,671
Fulton Financial Corp. (b).... 28,573 249,157
Glacier Bancorp, Inc. (b)..... 10,048 137,859
Great Southern Bancorp, Inc.
(b)......................... 1,544 32,980
Guaranty Bancorp (a)(b)....... 8,017 10,582
Hampton Roads Bankshares, Inc.
(b)......................... 3,384 5,854
Hancock Holding Co. (b)....... 5,179 226,788
Harleysville National Corp.
(b)......................... 6,678 43,006
Heartland Financial USA, Inc.
(b)......................... 2,292 32,890
Home Bancshares, Inc. (b)..... 3,655 87,976
Hudson Valley Holding Corp. .. 1,870 46,114
Huntington Bancshares, Inc.
(b)......................... 114,947 419,557
IBERIABANK Corp. (b).......... 3,408 183,385
Independent Bank Corp.-
Massachusetts (b)........... 3,406 71,151
International Bancshares Corp.
(b)......................... 8,531 161,492
Investors Bancorp, Inc.
(a)(b)...................... 7,809 85,430
Lakeland Financial Corp. (b).. 2,288 39,468
Marshall & Ilsley Corp. (b)... 82,806 451,293
MB Financial, Inc. (b)........ 8,034 158,431
National Penn Bancshares, Inc.
(b)......................... 20,757 120,183
NBT Bancorp, Inc. (b)......... 5,603 114,133
Northfield Bancorp, Inc. (b).. 3,138 42,426
Old National Bancorp (b)...... 14,399 178,980
Oriental Financial Group, Inc.
(b)......................... 3,992 43,114
Pacific Capital Bancorp (b)... 7,242 6,952
PacWest Bancorp (b)........... 4,059 81,789
Park National Corp. (b)....... 1,910 112,461
Popular, Inc. ................ 105,140 237,616
Prosperity Bancshares, Inc.
(b)......................... 7,618 308,300
Renasant Corp. (b)............ 3,268 44,445
Republic Bancorp, Inc.-
Kentucky (b)................ 1,778 36,627
S&T Bancorp, Inc. (b)......... 4,278 72,769
S.Y. Bancorp, Inc. (b)........ 1,881 40,159
Sandy Spring Bancorp, Inc.
(b)......................... 2,596 23,078
Santander Bancorp (a)(b)...... 791 9,713
SCBT Financial Corp. (b)...... 2,014 55,768
Simmons First National Corp.
(b)......................... 2,406 66,887
South Financial Group, Inc. .. 27,014 17,416
Southside Bancshares, Inc.
(b)......................... 2,456 48,187
StellarOne Corp. (b).......... 3,494 34,800
Sterling Bancorp (b).......... 2,899 20,699
Sterling Bancshares, Inc.
(b)......................... 13,099 67,198
Suffolk Bancorp (b)........... 1,466 43,540
Sun Bancorp, Inc. (a)(b)...... 2,879 10,796
Susquehanna Bancshares, Inc.
(b)......................... 13,612 80,175
Synovus Financial Corp. (b)... 67,861 139,115
TCF Financial Corp. (b)....... 19,625 267,293
Tompkins Trustco, Inc. (b).... 1,203 48,722
TowneBank (b)................. 4,017 46,919
Trico Bancshares (b).......... 2,297 38,245
Trustmark Corp. (b)........... 9,114 205,430
UMB Financial Corp. (b)....... 5,348 210,444
Umpqua Holdings Corp. (b)..... 14,259 191,213
Union Bankshares Corp. (b).... 2,858 35,411
United Bankshares, Inc. (b)... 7,019 140,169
United Community Banks, Inc.
(a)......................... 13,922 47,196
Univest Corp. of Pennsylvania
(b)......................... 2,569 45,035
Valley National Bancorp (b)... 23,246 328,466
Washington Trust Bancorp, Inc.
(b)......................... 2,201 34,292
Webster Financial Corp. (b)... 11,721 139,128
WesBanco, Inc. (b)............ 3,863 47,669
Westamerica Bancorporation
(b)......................... 4,709 260,737
Whitney Holding Corp. (b)..... 14,683 133,762
Wilmington Trust Corp. (b).... 11,277 139,158
Wintrust Financial Corp. (b).. 3,929 120,974
Zions Bancorporation (b)...... 22,748 291,857
------------
10,345,367
------------
COMMERCIAL SERVICES & SUPPLIES -- 2.0%
ABM Industries, Inc. (b)...... 6,886 142,265
ACCO Brands Corp. (a)......... 8,607 62,659
APAC Customer Services, Inc.
(a)(b)...................... 4,842 28,858
ATC Technology Corp. (a)...... 3,140 74,889
Bowne & Co., Inc. (b)......... 6,713 44,843
Consolidated Graphics, Inc.
(a)......................... 1,550 54,281
Cornell Companies, Inc. (a)... 2,106 47,806
Courier Corp. (b)............. 1,577 22,472
Deluxe Corp. (b).............. 8,406 124,325
Ennis, Inc. .................. 4,049 67,983
G & K Services, Inc. (Class
A).......................... 3,040 76,395
Healthcare Services Group,
Inc. ....................... 6,180 132,623
Herman Miller, Inc. (b)....... 9,123 145,785
HNI Corp. (b)................. 6,109 168,792
Kimball International, Inc.
(Class B)................... 4,071 34,685
McGrath Rentcorp (b).......... 3,841 85,885
Mine Safety Appliances Co.
(b)......................... 5,029 133,419
Steelcase, Inc. (Class A)
(b)......................... 9,874 62,799
The Brink's Co. .............. 7,857 191,239
The Standard Register Co.
(b)......................... 2,415 12,316
United Stationers, Inc. (a)... 3,816 216,940
Viad Corp. ................... 3,165 65,294
------------
1,996,553
------------
COMMUNICATIONS EQUIPMENT -- 0.8%
3Com Corp. (a)................ 64,217 481,627
Black Box Corp. (b)........... 2,898 82,129
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES SMALL CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
EMS Technologies, Inc. (a).... 2,402 $ 34,829
Emulex Corp. (a).............. 13,080 142,572
Extreme Networks, Inc.
(a)(b)...................... 14,009 40,206
UTStarcom, Inc. (a)........... 18,024 39,473
------------
820,836
------------
COMPUTERS & PERIPHERALS -- 0.9%
Adaptec, Inc. (a)(b).......... 16,055 53,784
Avid Technology, Inc. (a)(b).. 4,539 57,917
Diebold, Inc. ................ 10,802 307,317
Electronics for Imaging, Inc.
(a)......................... 7,769 101,075
Hutchinson Technology, Inc.
(a)......................... 3,351 34,381
Imation Corp. (a)(b).......... 4,944 43,112
Lexmark International, Inc.
(Class A) (a)............... 12,863 334,181
------------
931,767
------------
CONSTRUCTION & ENGINEERING -- 0.9%
Comfort Systems USA, Inc.
(b)......................... 6,106 75,348
EMCOR Group, Inc. (a)(b)...... 10,607 285,329
Granite Construction, Inc.
(b)......................... 5,488 184,726
Insituform Technologies, Inc.
(a)(b)...................... 6,316 143,500
Michael Baker Corp. (a)....... 1,208 50,011
Northwest Pipe Co. (a)(b)..... 1,405 37,738
Tutor Perini Corp. (a)(b)..... 4,326 78,214
------------
854,866
------------
CONSTRUCTION MATERIALS -- 0.2%
Headwaters, Inc. (a)(b)....... 8,055 52,519
Texas Industries, Inc. (b).... 3,741 130,897
------------
183,416
------------
CONSUMER FINANCE -- 0.5%
Advance America Cash Advance
Centers, Inc. .............. 7,820 43,479
Cash America International,
Inc. (b).................... 4,737 165,605
CompuCredit Holdings Corp.
(b)......................... 4,945 16,467
Dollar Financial Corp.
(a)(b)...................... 3,828 90,570
Nelnet, Inc. (Class A)........ 4,533 78,104
The First Marblehead Corp.
(a)(b)...................... 9,995 21,289
The Student Loan Corp. (b).... 666 31,016
World Acceptance Corp.
(a)(b)...................... 2,284 81,836
------------
528,366
------------
CONTAINERS & PACKAGING -- 1.4%
Greif, Inc. (Class A)......... 5,585 301,478
Myers Industries, Inc. (b).... 4,901 44,599
Packaging Corp. of America
(b)......................... 16,810 386,798
Silgan Holdings, Inc. (b)..... 4,172 241,476
Temple-Inland, Inc. .......... 17,421 367,757
------------
1,342,108
------------
DISTRIBUTORS -- 0.1%
Audiovox Corp. (Class A) (a).. 3,133 22,213
Core-Mark Holding Co., Inc.
(a)(b)...................... 1,565 51,582
------------
73,795
------------
DIVERSIFIED CONSUMER SERVICES -- 0.8%
Hillenbrand, Inc. ............ 10,086 190,020
Jackson Hewitt Tax Service,
Inc. (a)(b)................. 3,992 17,565
Pre-Paid Legal Services, Inc.
(a)(b)...................... 1,235 50,734
Regis Corp. (b)............... 9,430 146,825
Service Corp. International... 41,205 337,469
Stewart Enterprises, Inc.
(Class A) (b)............... 13,267 68,325
------------
810,938
------------
DIVERSIFIED FINANCIAL SERVICES -- 0.3%
Asset Acceptance Capital Corp.
(a)(b)...................... 1,751 11,872
Encore Capital Group, Inc.
(a)(b)...................... 2,164 37,654
Financial Federal Corp. ...... 4,229 116,297
Life Partners Holdings,
Inc. ....................... 1,031 21,847
PHH Corp. (a)................. 8,788 141,575
------------
329,245
------------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.5%
Alaska Communications Systems
Group, Inc. (b)............. 7,004 55,892
Atlantic Tele-Network, Inc. .. 1,488 81,855
Cincinnati Bell, Inc. (a)(b).. 34,115 117,697
Cogent Communications Group,
Inc. (a).................... 7,152 70,519
Consolidated Communications
Holdings, Inc. (b).......... 3,713 64,977
Iowa Telecommunications
Services, Inc. ............. 5,291 88,677
SureWest Communications
(a)(b)...................... 2,532 25,219
------------
504,836
------------
ELECTRIC UTILITIES -- 2.6%
ALLETE, Inc. (b).............. 4,782 156,276
Central Vermont Public Service
Corp. ...................... 1,570 32,656
Cleco Corp. (b)............... 9,807 268,025
El Paso Electric Co. (a)(b)... 7,460 151,289
Empire District Electric Co.
(b)......................... 5,997 112,324
Great Plains Energy, Inc.
(b)......................... 22,182 430,109
Hawaiian Electric Industries,
Inc. (b).................... 14,796 309,236
IDACORP, Inc. (b)............. 7,720 246,654
MGE Energy, Inc. (b).......... 3,710 132,595
PNM Resources, Inc. (b)....... 12,823 162,211
Portland General Electric Co.
(b)......................... 12,156 248,104
UIL Holdings Corp. ........... 4,750 133,380
Unisource Energy Corp. ....... 5,794 186,509
------------
2,569,368
------------
ELECTRICAL EQUIPMENT -- 1.6%
A.O. Smith Corp. (b).......... 4,004 173,734
Acuity Brands, Inc. (b)....... 7,016 250,050
Advanced Battery Technologies,
Inc. (a)(b)................. 7,724 30,896
Belden CDT, Inc. ............. 7,597 166,526
Brady Corp. (Class A)......... 7,799 234,048
Franklin Electric Co., Inc.
(b)......................... 3,080 89,566
GrafTech International, Ltd.
(a)......................... 19,611 304,951
Thomas & Betts Corp. (a)...... 8,772 313,950
------------
1,563,721
------------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.6%
Agilysys, Inc. (b)............ 2,280 20,748
Anixter International, Inc.
(a)......................... 4,957 233,475
AVX Corp. .................... 8,375 106,111
Checkpoint Systems, Inc. (a).. 6,123 93,376
Coherent, Inc. (a)(b)......... 3,741 111,220
Electro Rent Corp. ........... 2,887 33,316
Littelfuse, Inc. (a)(b)....... 3,559 114,422
Methode Electronics, Inc.
(Class A)................... 6,192 53,746
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES SMALL CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Park Electrochemical Corp. ... 2,874 $ 79,437
Smart Modular Technologies
(WWH), Inc. (a)............. 6,076 38,218
SYNNEX Corp. (a)(b)........... 3,263 100,044
Tech Data Corp. (a)........... 8,247 384,805
Technitrol, Inc. ............. 6,144 26,911
Vishay Intertechnology, Inc.
(a)......................... 27,758 231,779
------------
1,627,608
------------
ENERGY EQUIPMENT & SERVICES -- 0.4%
Bristow Group, Inc. (a)(b).... 5,590 214,936
Gulf Island Fabrication, Inc.
(b)......................... 1,927 40,525
Gulfmark Offshore, Inc.
(a)(b)...................... 4,088 115,731
PHI, Inc. (a)................. 2,210 45,747
------------
416,939
------------
FOOD & STAPLES RETAILING -- 1.2%
BJ's Wholesale Club, Inc.
(a)(b)...................... 8,994 294,194
Casey's General Stores,
Inc. ....................... 8,296 264,808
Ingles Markets, Inc. (b)...... 1,878 28,414
Nash Finch Co. (b)............ 2,024 75,070
PriceSmart, Inc. (b).......... 2,267 46,337
Ruddick Corp. (b)............. 6,876 176,920
Spartan Stores, Inc. (b)...... 3,501 50,029
The Andersons, Inc. .......... 2,856 73,742
Village Super Market, Inc.
(Class A)................... 730 19,944
Weis Markets, Inc. (b)........ 2,090 75,992
Winn-Dixie Stores, Inc.
(a)(b)...................... 8,613 86,475
------------
1,191,925
------------
FOOD PRODUCTS -- 2.0%
Alico, Inc. (b)............... 507 14,429
American Italian Pasta Co.
(a)(b)...................... 3,496 121,626
B&G Foods, Inc. .............. 7,821 71,797
Cal-Maine Foods, Inc. (b)..... 2,048 69,796
Chiquita Brands International,
Inc. (a).................... 7,293 131,566
Corn Products International,
Inc. ....................... 12,141 354,881
Del Monte Foods Co. .......... 32,713 370,965
Dole Food Co., Inc. (a)(b).... 5,600 69,496
Farmer Brothers Co. (b)....... 916 18,082
Fresh Del Monte Produce, Inc.
(a)......................... 6,845 151,275
Hain Celestial Group, Inc.
(a)(b)...................... 6,384 108,592
Lancaster Colony Corp. (b).... 3,295 163,761
Lance, Inc. (b)............... 5,071 133,367
Sanderson Farms, Inc. (b)..... 2,925 123,318
Tootsie Roll Industries, Inc.
(b)......................... 3,578 97,966
------------
2,000,917
------------
GAS UTILITIES -- 1.6%
Chesapeake Utilities Corp.
(b)......................... 1,481 47,466
Laclede Group, Inc. .......... 3,264 110,225
New Jersey Resources Corp.
(b)......................... 6,793 254,058
Nicor, Inc. (b)............... 7,426 312,635
Northwest Natural Gas Co.
(b)......................... 4,292 193,312
South Jersey Industries, Inc.
(b)......................... 4,860 185,555
Southwest Gas Corp. .......... 7,288 207,927
WGL Holdings, Inc. (b)........ 8,197 274,927
------------
1,586,105
------------
HEALTH CARE EQUIPMENT & SUPPLIES -- 1.1%
Analogic Corp. ............... 2,045 78,753
CONMED Corp. (a)(b)........... 4,768 108,710
Hill-Rom Holdings, Inc. (b)... 10,309 247,313
Invacare Corp. (b)............ 5,246 130,835
STERIS Corp. (b).............. 8,689 243,031
The Cooper Cos., Inc. (b)..... 7,362 280,640
------------
1,089,282
------------
HEALTH CARE PROVIDERS & SERVICES -- 2.8%
Cross Country Healthcare, Inc.
(a)(b)...................... 4,456 44,159
Gentiva Health Services, Inc.
(a)......................... 4,634 125,164
Hanger Orthopedic Group, Inc.
(a)(b)...................... 5,065 70,049
Health Net, Inc. (a)(b)....... 16,980 395,464
HEALTHSOUTH Corp. (a)(b)...... 15,320 287,556
Kindred Healthcare, Inc. (a).. 6,200 114,452
Landauer, Inc. (b)............ 1,494 91,732
LifePoint Hospitals, Inc.
(a)(b)...................... 8,958 291,225
Magellan Health Services, Inc.
(a)......................... 5,760 234,605
Medcath Corp. (a)............. 2,555 20,210
Molina Healthcare, Inc.
(a)(b)...................... 2,060 47,112
National Healthcare Corp.
(b)......................... 1,459 52,684
Owens & Minor, Inc. .......... 6,750 289,778
RehabCare Group, Inc. (a)..... 3,820 116,243
Res-Care, Inc. (a)............ 3,972 44,486
Skilled Healthcare Group, Inc.
(Class A) (a)(b)............ 3,626 27,014
Sun Healthcare Group, Inc.
(a)(b)...................... 6,901 63,282
Tenet Healthcare Corp. (a).... 78,765 424,543
Triple-S Management Corp.
(Class B) (a)............... 3,195 56,232
------------
2,795,990
------------
HEALTH CARE TECHNOLOGY -- 0.0% (D)
MedQuist, Inc. (b)............ 1,442 9,647
------------
HOTELS, RESTAURANTS & LEISURE -- 2.0%
AFC Enterprises, Inc. (a)..... 3,864 31,530
Ameristar Casinos, Inc. (b)... 3,733 56,854
Bob Evans Farms, Inc. ........ 5,073 146,863
Boyd Gaming Corp. (a)......... 9,288 77,740
Brinker International, Inc. .. 16,484 245,941
Churchill Downs, Inc. (b)..... 1,608 60,059
CKE Restaurants, Inc. (b)..... 8,034 67,968
Cracker Barrel Old Country
Store, Inc. ................ 3,595 136,574
Gaylord Entertainment Co.
(a)(b)...................... 5,576 110,126
International Speedway Corp.
(Class A) (b)............... 4,448 126,546
Isle of Capri Casinos, Inc.
(a)......................... 2,692 20,136
Jack in the Box, Inc. (a)(b).. 9,194 180,846
Krispy Kreme Doughnuts, Inc.
(a)(b)...................... 9,201 27,143
Landry's Restaurants, Inc.
(a)(b)...................... 1,113 23,696
Marcus Corp. ................. 3,346 42,896
Orient-Express Hotels, Ltd.
(Class A) (a)............... 12,556 127,318
Pinnacle Entertainment, Inc.
(a)(b)...................... 9,520 85,490
Ruby Tuesday, Inc. (a)(b)..... 9,704 69,869
Speedway Motorsports, Inc.
(b)......................... 2,173 38,288
The Steak N Shake Co. (a)(b).. 236 76,492
Vail Resorts, Inc. (a)(b)..... 5,983 226,157
------------
1,978,532
------------
HOUSEHOLD DURABLES -- 1.8%
American Greetings Corp.
(Class A) (b)............... 6,026 131,307
Blyth, Inc. .................. 976 32,911
Brookfield Homes Corp.
(a)(b)...................... 1,424 11,392
CSS Industries, Inc. (b)...... 1,245 24,203
Ethan Allen Interiors, Inc. .. 4,371 58,659
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES SMALL CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Furniture Brands
International, Inc. (a)(b).. 5,569 $ 30,407
Helen of Troy, Ltd. (a)....... 4,457 109,018
Hovnanian Enterprises, Inc.
(a)(b)...................... 8,767 33,665
KB HOME....................... 12,428 170,015
La-Z-Boy, Inc. (a)............ 8,240 78,527
Lennar Corp. (Class A)........ 26,081 333,054
M.D.C. Holdings, Inc. (b)..... 5,866 182,081
M/I Homes, Inc. (a)........... 2,813 29,227
Sealy Corp. (a)(b)............ 8,561 27,053
Skyline Corp. (b)............. 1,022 18,805
Standard Pacific Corp.
(a)(b)...................... 16,325 61,055
Tupperware Brands Corp. ...... 10,243 477,016
------------
1,808,395
------------
HOUSEHOLD PRODUCTS -- 0.2%
Central Garden & Pet Co.
(Class A) (a)............... 10,286 102,243
WD-40 Co. .................... 2,558 82,777
------------
185,020
------------
INDUSTRIAL CONGLOMERATES -- 0.6%
Carlisle Cos., Inc. .......... 10,070 344,998
Otter Tail Corp. (b).......... 5,240 129,952
Standex International Corp. .. 1,897 38,111
Tredegar Corp. ............... 3,799 60,100
------------
573,161
------------
INSURANCE -- 7.3%
AMBAC Financial Group, Inc.
(a)(b)...................... 44,764 37,154
American Equity Investment
Life Holding Co. (b)........ 9,691 72,101
American National Insurance
Co. (b)..................... 2,606 311,261
American Physicians Capital,
Inc. ....................... 1,647 49,937
AMERISAFE, Inc. (a)(b)........ 2,987 53,676
Argo Group International
Holdings, Ltd. (a).......... 5,019 146,254
Arthur J. Gallagher & Co. .... 16,348 367,994
Aspen Insurance Holdings,
Ltd. ....................... 12,387 315,249
Assured Guaranty, Ltd. ....... 20,592 448,082
Baldwin & Lyons, Inc. (Class
B) (b)...................... 1,563 38,465
CNA Surety Corp. (a).......... 2,470 36,778
Conseco, Inc. (a)............. 30,131 150,655
Delphi Financial Group........ 7,391 165,337
Donegal Group, Inc. (Class A)
(b)......................... 2,061 32,028
EMC Insurance Group, Inc.
(b)......................... 748 16,090
Employers Holdings, Inc. ..... 7,450 114,283
Endurance Specialty Holdings,
Ltd. (b).................... 8,357 311,131
Enstar Group, Ltd. (a)(b)..... 1,184 86,456
Erie Indemnity Co. (Class A)
(b)......................... 5,137 200,446
FBL Financial Group, Inc.
(Class A) (b)............... 2,091 38,725
First Mercury Financial
Corp. ...................... 2,369 32,479
Flagstone Reinsurance
Holdings, Ltd. ............. 5,945 65,038
FPIC Insurance Group, Inc.
(a)(b)...................... 1,139 43,988
Greenlight Capital Re, Ltd.
(Class A) (a)(b)............ 4,738 111,675
Harleysville Group, Inc. (b).. 2,019 64,184
Hilltop Holdings, Inc.
(a)(b)...................... 6,821 79,396
Horace Mann Educators Corp. .. 6,350 79,375
Infinity Property & Casualty
Corp. ...................... 2,167 88,067
Kansas City Life Insurance
Co. ........................ 566 16,839
Maiden Holdings, Ltd. (b)..... 9,524 69,716
Max Capital Group, Ltd. (b)... 7,644 170,461
MBIA, Inc. (a)(b)............. 26,348 104,865
Meadowbrook Insurance Group,
Inc. ....................... 9,166 67,828
Mercury General Corp. (b)..... 4,199 164,853
Montpelier Re Holdings, Ltd.
(b)......................... 13,061 226,217
National Financial Partners
Corp. (a)(b)................ 6,830 55,255
National Interstate Corp. .... 947 16,061
National Western Life
Insurance Co. (Class A)
(b)......................... 353 61,288
Navigators Group, Inc. (a).... 2,300 108,353
OneBeacon Insurance Group,
Ltd. (Class A).............. 3,622 49,911
Platinum Underwriters
Holdings, Ltd. ............. 8,199 313,940
PMA Capital Corp. (Class A)
(a)(b)...................... 4,941 31,128
Presidential Life Corp. (b)... 3,442 31,494
ProAssurance Corp. (a)(b)..... 5,349 287,295
Protective Life Corp. ........ 13,895 229,962
RLI Corp. (b)................. 3,128 166,566
Safety Insurance Group, Inc.
(b)......................... 2,404 87,097
Selective Insurance Group,
Inc. ....................... 8,663 142,506
StanCorp Financial Group, Inc.
(b)......................... 8,020 320,960
State Auto Financial Corp. ... 2,141 39,609
Stewart Information Services
Corp. (b)................... 2,655 29,948
The Phoenix Cos., Inc.
(a)(b)...................... 17,101 47,541
United America Indemnity, Ltd.
(Class A) (a)(b)............ 4,534 35,909
United Fire & Casualty Co. ... 3,616 65,920
Unitrin, Inc. ................ 7,568 166,874
Validus Holdings, Ltd. ....... 15,512 417,893
Zenith National Insurance
Corp. (b)................... 6,086 181,119
------------
7,263,712
------------
INTERNET & CATALOG RETAIL -- 0.0% (D)
Vitacost.com, Inc. (a)(b)..... 1,700 17,714
------------
INTERNET SOFTWARE & SERVICES -- 0.2%
EarthLink, Inc. .............. 17,291 143,688
United Online, Inc. .......... 13,281 95,491
------------
239,179
------------
IT SERVICES -- 1.3%
CACI International, Inc.
(Class A) (a)(b)............ 4,896 239,170
CIBER, Inc. (a)............... 9,580 33,051
Convergys Corp. (a)(b)........ 18,914 203,325
CSG Systems International,
Inc. (a).................... 5,561 106,159
Echo Global Logistics, Inc.
(a)(b)...................... 800 10,152
Global Cash Access Holdings,
Inc. (a).................... 5,459 40,888
iGate Corp. .................. 3,708 37,080
infoUSA, Inc. (a)(b).......... 4,709 37,766
MAXIMUS, Inc. ................ 2,856 142,800
MoneyGram International, Inc.
(a)(b)...................... 14,653 42,201
SRA International, Inc. (Class
A) (a)...................... 6,592 125,907
Unisys Corp. (a).............. 6,282 242,234
------------
1,260,733
------------
LEISURE EQUIPMENT & PRODUCTS -- 0.8%
Brunswick Corp. (b)........... 14,442 183,558
Callaway Golf Co. (b)......... 10,216 77,029
Eastman Kodak Co. (a)(b)...... 41,469 174,999
JAKKS Pacific, Inc. (a)(b).... 4,320 52,358
Leapfrog Enterprises, Inc.
(a)......................... 6,068 23,726
Marine Products Corp. (b)..... 2,267 11,176
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES SMALL CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Polaris Industries, Inc. ..... 5,289 $ 230,759
RC2 Corp. (a)................. 3,593 52,997
------------
806,602
------------
LIFE SCIENCES TOOLS & SERVICES -- 0.4%
Albany Molecular Research,
Inc. (a).................... 3,605 32,733
Bio-Rad Laboratories, Inc.
(Class A) (a)............... 3,169 305,682
Cambrex Corp. (a)(b).......... 4,598 25,657
------------
364,072
------------
MACHINERY -- 4.5%
Albany International Corp.
(Class A) (b)............... 4,195 94,220
Ampco-Pittsburgh Corp. (b).... 1,274 40,169
Astec Industries, Inc.
(a)(b)...................... 2,784 75,001
Barnes Group, Inc. ........... 7,234 122,255
Blount International, Inc.
(a)(b)...................... 6,052 61,125
Briggs & Stratton Corp. (b)... 8,271 154,750
Cascade Corp. (b)............. 1,349 37,084
CIRCOR International, Inc. ... 2,781 70,026
Colfax Corp. (a)(b)........... 4,042 48,666
Crane Co. (b)................. 8,294 253,962
EnPro Industries, Inc.
(a)(b)...................... 3,136 82,822
Federal Signal Corp. ......... 8,430 50,749
Freightcar America, Inc. (b).. 1,919 38,054
Graco, Inc. (b)............... 9,878 282,215
IDEX Corp. ................... 13,214 411,616
Kaydon Corp. (b).............. 5,357 191,566
Kennametal, Inc. (b).......... 13,148 340,796
Mueller Industries, Inc. ..... 5,891 146,332
Mueller Water Products, Inc.
(Class A)................... 24,578 127,806
NACCO Industries, Inc. ....... 858 42,728
Oshkosh Corp. ................ 14,285 528,974
Robbins & Myers, Inc. ........ 4,136 97,279
Snap-On, Inc. ................ 9,466 400,033
Tecumseh Products Co. (Class
A) (a)...................... 2,515 29,400
Tennant Co. .................. 2,601 68,120
The Timken Co. ............... 12,516 296,754
Titan International, Inc.
(b)......................... 5,563 45,116
Trinity Industries, Inc. (b).. 12,930 225,499
Watts Water Technologies, Inc.
(b)......................... 4,737 146,468
------------
4,509,585
------------
MARINE -- 0.4%
Alexander & Baldwin, Inc.
(b)......................... 6,767 231,634
American Commercial Lines,
Inc. (a)(b)................. 1,546 28,338
Eagle Bulk Shipping, Inc.
(a)(b)...................... 10,396 51,460
Genco Shipping & Trading, Ltd.
(a)(b)...................... 4,338 97,085
Horizon Lines, Inc. (Class A)
(b)......................... 4,738 26,391
------------
434,908
------------
MEDIA -- 1.8%
Arbitron, Inc. (b)............ 4,223 98,903
Ascent Media Corp. (Class A)
(a)(b)...................... 2,266 57,851
Belo Corp. ................... 14,384 78,249
Cinemark Holdings, Inc. ...... 5,870 84,352
Gannett Co., Inc. (b)......... 37,692 559,726
Harte-Hanks, Inc. (b)......... 6,264 67,526
Journal Communications,
Inc. ....................... 6,578 25,588
Meredith Corp. ............... 5,893 181,799
PRIMEDIA, Inc. (b)............ 3,090 11,155
Regal Entertainment Group
(b)......................... 12,742 183,995
Scholastic Corp. ............. 4,431 132,177
Sinclair Broadcast Group, Inc.
(a)(b)...................... 7,327 29,528
The E.W. Scripps Co. (Class A)
(a)(b)...................... 4,327 30,116
The New York Times Co. (Class
A) (a)...................... 15,909 196,635
Value Line, Inc. (b).......... 236 5,926
World Wrestling Entertainment,
Inc. (Class A) (b).......... 4,277 65,566
------------
1,809,092
------------
METALS & MINING -- 1.2%
A.M. Castle & Co. (b)......... 2,883 39,468
AMCOL International Corp.
(b)......................... 4,159 118,199
Carpenter Technology Corp. ... 7,245 195,253
Coeur d'Alene Mines Corp.
(a)(b)...................... 12,849 232,053
Commercial Metals Co. ........ 18,448 288,711
Kaiser Aluminum Corp. (b)..... 2,457 102,260
Olympic Steel, Inc. (b)....... 1,512 49,261
US Gold Corp. (a)(b).......... 14,152 35,097
Worthington Industries,
Inc. ....................... 10,465 136,778
------------
1,197,080
------------
MULTI-UTILITIES -- 0.6%
Avista Corp. (b).............. 8,841 190,877
Black Hills Corp. (b)......... 6,349 169,074
CH Energy Group, Inc. ........ 2,572 109,362
NorthWestern Corp. (b)........ 5,904 153,622
------------
622,935
------------
MULTILINE RETAIL -- 0.8%
Big Lots, Inc. (a)............ 13,510 391,520
Dillard's, Inc. (Class A)
(b)......................... 9,064 167,231
Fred's, Inc. (Class A) (b).... 5,873 59,905
Retail Ventures, Inc. (a)..... 2,059 18,304
Saks, Inc. (a)(b)............. 22,301 146,294
------------
783,254
------------
OIL, GAS & CONSUMABLE FUELS -- 1.8%
BP Prudhoe Bay Royalty Trust
(b)......................... 3,546 293,609
Clayton Williams Energy, Inc.
(a)......................... 1,516 53,120
Cloud Peak Energy, Inc.
(a)(b)...................... 5,200 75,712
Crosstex Energy, Inc. ........ 7,118 43,064
DHT Maritime, Inc. (b)........ 7,494 27,578
General Maritime Corp. (b).... 8,104 56,647
Harvest Natural Resources,
Inc. (a)(b)................. 4,923 26,043
Hugoton Royalty Trust......... 6,513 104,729
James River Coal Co. (a)(b)... 4,306 79,790
Overseas Shipholding Group,
Inc. (b).................... 3,860 169,647
Ship Finance International,
Ltd. (b).................... 6,822 92,984
Southern Union Co. ........... 17,123 388,692
Stone Energy Corp. (a)(b)..... 6,943 125,321
Teekay Corp. (b).............. 6,921 160,636
USEC, Inc. (a)(b)............. 18,275 70,359
------------
1,767,931
------------
PAPER & FOREST PRODUCTS -- 0.7%
Buckeye Technologies, Inc.
(a)......................... 6,183 60,346
Deltic Timber Corp. (b)....... 1,844 85,156
Glatfelter.................... 7,408 90,007
Louisiana-Pacific Corp.
(a)(b)...................... 19,499 136,103
Neenah Paper, Inc. ........... 2,352 32,811
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES SMALL CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Schweitzer-Mauduit
International, Inc. (b)..... 2,834 $ 199,372
Wausau-Mosinee Paper Corp. ... 7,690 89,204
------------
692,999
------------
PERSONAL PRODUCTS -- 0.3%
Elizabeth Arden, Inc. (a)(b).. 4,224 60,995
Nu Skin Enterprises, Inc.
(Class A) (b)............... 8,303 223,102
Prestige Brands Holdings, Inc.
(a)......................... 7,162 56,293
------------
340,390
------------
PHARMACEUTICALS -- 0.4%
Medicis Pharmaceutical Corp.
(Class A) (b)............... 9,572 258,923
Par Pharmaceutical Cos., Inc.
(a)......................... 5,674 153,538
------------
412,461
------------
PROFESSIONAL SERVICES -- 0.2%
CDI Corp. .................... 2,007 25,991
Kelly Services, Inc. (Class A)
(a)......................... 4,304 51,347
School Specialty, Inc. (a).... 2,498 58,428
Volt Information Sciences,
Inc. (a)(b)................. 1,421 14,210
------------
149,976
------------
REAL ESTATE INVESTMENT TRUSTS -- 15.6%
Acadia Realty Trust........... 6,288 106,079
Alexandria Real Estate
Equities, Inc. (b).......... 7,163 460,509
American Campus Communities,
Inc. (b).................... 8,711 244,779
American Capital Agency Corp.
(b)......................... 3,182 84,450
Anworth Mortgage Asset
Corp. ...................... 17,107 119,749
Apartment Investment &
Management Co. (Class A)
(b)......................... 18,999 302,464
ARMOUR Residential REIT, Inc.
(a)(b)...................... 3,900 32,175
Ashford Hospitality Trust
(a)(b)...................... 10,347 48,010
BioMed Realty Trust, Inc. .... 15,646 246,894
Brandywine Realty Trust (b)... 20,909 238,363
BRE Properties, Inc. (b)...... 8,911 294,776
Camden Property Trust......... 10,565 447,639
Capital Lease Funding, Inc.
(b)......................... 7,728 33,849
Capstead Mortgage Corp. ...... 10,370 141,551
CBL & Associates Properties,
Inc. (b).................... 22,427 216,869
Chimera Investment Corp. (b).. 103,163 400,272
Colonial Properties Trust
(b)......................... 10,916 128,045
Colony Financial, Inc. (b).... 2,000 40,740
Cousins Properties, Inc. (b).. 13,227 100,922
CreXus Investment Corp. (a)... 2,100 29,316
DCT Industrial Trust, Inc.
(b)......................... 33,258 166,955
Developers Diversified Realty
Corp. (b)................... 20,778 192,404
DiamondRock Hospitality Co.
(b)......................... 19,501 165,173
Douglas Emmett, Inc. ......... 19,981 284,729
Duke Realty Corp. (b)......... 36,759 447,357
DuPont Fabros Technology,
Inc. ....................... 6,591 118,572
EastGroup Properties, Inc. ... 4,163 159,360
Education Realty Trust,
Inc. ....................... 9,223 44,639
Entertainment Properties
Trust....................... 6,870 242,305
Equity One, Inc. ............. 6,232 100,771
Essex Property Trust, Inc.
(b)......................... 4,790 400,683
FelCor Lodging Trust, Inc.
(a)(b)...................... 9,884 35,582
First Industrial Realty Trust,
Inc. (a)(b)................. 8,374 43,796
First Potomac Realty Trust.... 4,700 59,079
Franklin Street Properties
Corp. ...................... 11,371 166,130
Getty Realty Corp. (b)........ 2,718 63,955
Government Properties Income
Trust (b)................... 1,680 38,606
Hatteras Financial Corp. (b).. 5,903 165,048
Healthcare Realty Trust, Inc.
(b)......................... 9,545 204,836
Highwoods Properties, Inc.
(b)......................... 11,629 387,827
Home Properties, Inc. (b)..... 5,497 262,262
Hospitality Properties Trust.. 20,089 476,310
HRPT Properties Trust (b)..... 36,727 237,624
Inland Real Estate Corp. (b).. 11,640 94,866
Invesco Mortgage Capital,
Inc. ....................... 1,309 29,793
Investors Real Estate Trust... 11,534 103,806
iStar Financial, Inc. (a)(b).. 15,312 39,199
Kilroy Realty Corp. (b)....... 6,991 214,414
Kite Realty Group Trust....... 10,014 40,757
LaSalle Hotel Properties (b).. 10,353 219,794
Lexington Realty Trust (b).... 15,379 93,504
LTC Properties, Inc. ......... 3,798 101,597
Mack-Cali Realty Corp. ....... 12,832 443,602
Medical Properties Trust,
Inc. ....................... 12,703 127,030
MFA Financial, Inc. .......... 44,779 329,126
Mid-America Apartment
Communities, Inc. .......... 4,721 227,930
National Health Investors,
Inc. ....................... 3,901 144,298
National Retail Properties,
Inc. (b).................... 13,498 286,428
NorthStar Realty Finance Corp.
(b)......................... 10,022 34,375
OMEGA Healthcare Investors,
Inc. ....................... 14,005 272,397
Parkway Properties, Inc. (b).. 3,346 69,664
Pebblebrook Hotel Trust (a)... 2,900 63,829
Pennsylvania Real Estate
Investment Trust (b)........ 7,381 62,443
Pennymac Mortgage Investment
Trust (a)(b)................ 2,677 45,991
Post Properties, Inc. ........ 7,957 155,957
Potlatch Corp. (b)............ 6,429 204,957
PS Business Parks, Inc. ...... 3,063 153,303
RAIT Investment Trust (a)(b).. 9,920 12,995
Ramco-Gershenson Properties
Trust (b)................... 5,113 48,778
Redwood Trust, Inc. .......... 11,354 164,179
Saul Centers, Inc. ........... 1,196 39,181
Senior Housing Properties
Trust....................... 20,872 456,471
SL Green Realty Corp. (b)..... 12,577 631,868
Sovran Self Storage, Inc.
(b)......................... 4,346 155,283
Starwood Property Trust, Inc.
(b)......................... 6,797 128,395
Sun Communities, Inc. (b)..... 2,651 52,357
Sunstone Hotel Investors, Inc.
(a)(b)...................... 15,267 135,571
The Macerich Co. (b).......... 15,386 553,127
U-Store-It Trust (b).......... 12,376 90,592
UDR, Inc. (b)................. 25,138 413,269
Universal Health Realty Income
Trust (b)................... 1,690 54,131
Urstadt Biddle Properties
(b)......................... 583 8,745
Urstadt Biddle Properties
(Class A) (b)............... 2,821 43,077
Walter Investment Management
Corp. (b)................... 3,992 57,205
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES SMALL CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Washington Real Estate
Investment Trust (b)........ 9,769 $ 269,136
Weingarten Realty Investors... 19,657 389,012
------------
15,443,886
------------
REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.4%
Avatar Holdings, Inc. (a)(b).. 1,220 20,752
Forest City Enterprises, Inc.
(Class A) (a)(b)............ 19,678 231,807
Forestar Real Estate Group,
Inc. (a)(b)................. 5,848 128,539
------------
381,098
------------
ROAD & RAIL -- 0.8%
Arkansas Best Corp. (b)....... 3,688 108,538
Avis Budget Group, Inc.
(a)(b)...................... 16,598 217,766
Con-way, Inc. ................ 8,019 279,943
Universal Truckload Services,
Inc. ....................... 926 16,760
Werner Enterprises, Inc. (b).. 8,291 164,079
------------
787,086
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 0.7%
Actel Corp. (a)(b)............ 3,993 47,437
DSP Group, Inc. (a)........... 3,717 20,927
Exar Corp. (a)(b)............. 6,342 45,091
Fairchild Semiconductor
International, Inc. (a)(b).. 20,222 202,018
Intersil Corp. (Class A)...... 19,866 304,744
Lattice Semiconductor Corp.
(a)......................... 18,177 49,078
------------
669,295
------------
SOFTWARE -- 1.2%
Compuware Corp. (a)........... 37,999 274,733
Epicor Software Corp. (a)(b).. 7,725 58,865
Fair Isaac Corp. (b).......... 7,895 168,242
i2 Technologies, Inc. (a)(b).. 2,575 49,234
JDA Software Group, Inc.
(a)(b)...................... 5,722 145,739
Novell, Inc. (a).............. 56,251 233,442
OPNET Technologies, Inc. (b).. 2,162 26,355
Renaissance Learning, Inc. ... 1,065 12,098
S1 Corp. (a).................. 8,822 57,519
Take-Two Interactive Software,
Inc. (a)(b)................. 12,777 128,409
------------
1,154,636
------------
SPECIALTY RETAIL -- 3.9%
Asbury Automotive Group, Inc.
(a)......................... 5,105 58,861
Barnes & Noble, Inc. (b)...... 6,210 118,425
Big 5 Sporting Goods Corp.
(b)......................... 2,987 51,317
Blockbuster, Inc. (Class A)
(a)(b)...................... 25,853 17,321
Brown Shoe Co., Inc. (b)...... 6,743 66,553
Christopher & Banks Corp. .... 5,664 43,160
Collective Brands, Inc.
(a)(b)...................... 10,426 237,400
Conn's, Inc. (a)(b)........... 1,853 10,822
Foot Locker, Inc. (b)......... 25,042 278,968
Genesco, Inc. (a)(b).......... 3,545 97,346
Group 1 Automotive, Inc.
(a)(b)...................... 3,836 108,751
Hot Topic, Inc. (a)(b)........ 7,004 44,545
Jo-Ann Stores, Inc. (a)(b).... 4,357 157,898
OfficeMax, Inc. (a)(b)........ 12,356 156,798
Penske Automotive Group, Inc.
(a)(b)...................... 6,307 95,740
RadioShack Corp. (b).......... 20,500 399,750
Rent-A-Center, Inc. (a)....... 10,771 190,862
Rue21, Inc. (a)............... 1,000 28,090
Sally Beauty Holdings, Inc.
(a)(b)...................... 13,756 105,233
Signet Jewelers, Ltd. (a)..... 13,961 373,038
Sonic Automotive, Inc. (Class
A) (a)(b)................... 5,315 55,223
Stage Stores, Inc. ........... 6,047 74,741
Stein Mart, Inc. (a)(b)....... 4,222 45,006
The Buckle, Inc. (b).......... 4,246 124,323
The Cato Corp. (Class A)...... 4,499 90,250
The Children's Place Retail
Stores, Inc. (a)(b)......... 3,241 106,985
The Finish Line, Inc. (Class
A).......................... 8,137 102,119
The Mens Wearhouse, Inc. (b).. 7,616 160,393
The Pep Boys -- Manny, Moe &
Jack (b).................... 7,876 66,631
Vitamin Shoppe, Inc. (a)(b)... 1,400 31,136
Williams-Sonoma, Inc. (b)..... 15,640 324,999
------------
3,822,684
------------
TEXTILES, APPAREL & LUXURY GOODS -- 2.2%
Columbia Sportswear Co. (b)... 2,335 91,158
Hanesbrands, Inc. (a)(b)...... 15,407 371,463
Jones Apparel Group, Inc. .... 13,884 222,977
Kenneth Cole Productions, Inc.
(Class A) (a)(b)............ 1,143 11,030
Liz Claiborne, Inc. (a)(b).... 15,051 84,737
Movado Group, Inc. (b)........ 2,616 25,427
Oxford Industries, Inc. ...... 2,176 45,000
Phillips-Van Heusen Corp. .... 8,441 343,380
Skechers USA, Inc. (a)........ 5,210 153,226
The Timberland Co. (Class A)
(a)......................... 7,357 131,911
The Warnaco Group, Inc. (a)... 7,511 316,889
UniFirst Corp. ............... 2,170 104,399
Weyco Group, Inc. (b)......... 1,228 29,030
Wolverine World Wide, Inc.
(b)......................... 8,017 218,223
------------
2,148,850
------------
THRIFTS & MORTGAGE FINANCE -- 2.1%
Astoria Financial Corp. (b)... 14,540 180,732
Bank Mutual Corp. (b)......... 7,666 53,049
BankFinancial Corp. (b)....... 3,127 30,957
Berkshire Hills Bancorp, Inc.
(b)......................... 2,135 44,152
Brookline Bancorp, Inc. (b)... 9,212 91,291
Clifton Savings Bancorp, Inc.
(b)......................... 1,545 14,477
Dime Community Bancshares
(b)......................... 4,789 56,127
Doral Financial Corp. (a)(b).. 645 2,341
ESSA Bancorp, Inc. (b)........ 2,059 24,090
First Financial Holdings, Inc.
(b)......................... 2,601 33,787
First Financial Northwest,
Inc. (b).................... 2,248 14,724
First Niagara Financial Group,
Inc. ....................... 30,031 417,731
Flagstar Bancorp, Inc.
(a)(b)...................... 4,843 2,906
Flushing Financial Corp. ..... 4,414 49,702
Kearny Financial Corp. (b).... 3,347 33,738
Meridian Interstate Bancorp,
Inc. (a)(b)................. 1,574 13,678
MGIC Investment Corp. (a)(b).. 20,368 117,727
Northwest Bancshares, Inc.
(b)......................... 7,264 82,228
Provident Financial Services,
Inc. ....................... 9,191 97,884
Provident New York Bancorp
(b)......................... 5,970 50,387
Radian Group, Inc. (b)........ 13,055 95,432
Rockville Financial, Inc.
(b)......................... 1,321 13,870
Roma Financial Corp. (b)...... 1,142 14,115
The PMI Group, Inc. (a)(b).... 13,359 33,665
TrustCo Bank Corp. NY (b)..... 12,140 76,482
</Table>
See accompanying notes to financial statements.
SPDR DOW JONES SMALL CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2009 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
United Financial Bancorp,
Inc. ....................... 2,369 $ 31,058
Washington Federal, Inc. (b).. 18,483 357,461
Westfield Financial, Inc. .... 4,580 37,785
WSFS Financial Corp. ......... 1,177 30,167
------------
2,101,743
------------
TOBACCO -- 0.4%
Alliance One International,
Inc. (a)(b)................. 13,681 66,763
Star Scientific, Inc. (a)(b).. 10,980 7,686
Universal Corp. (b)........... 4,041 184,310
Vector Group, Ltd. (b)........ 6,847 95,858
------------
354,617
------------
TRADING COMPANIES & DISTRIBUTORS -- 0.8%
Aceto Corp. .................. 3,852 19,838
Aircastle, Ltd. (b)........... 6,978 68,733
Applied Industrial
Technologies, Inc. (b)...... 6,317 139,416
GATX Corp. (b)................ 6,553 188,399
Kaman Corp. (Class A)......... 4,116 95,038
Lawson Products, Inc. ........ 614 10,837
TAL International Group, Inc.
(b)......................... 2,036 26,936
Textainer Group Holdings, Ltd.
(b)......................... 2,721 45,985
Watsco, Inc. ................. 4,519 221,341
------------
816,523
------------
WATER UTILITIES -- 0.3%
American States Water Co. .... 2,897 102,583
California Water Service
Group....................... 3,181 117,125
Connecticut Water Service,
Inc. (b).................... 1,321 32,721
Middlesex Water Co. (b)....... 2,234 39,385
SJW Corp. (b)................. 2,017 45,524
------------
337,338
------------
WIRELESS TELECOMMUNICATION SERVICES -- 0.1%
NTELOS Holdings Corp. ........ 4,635 82,596
USA Mobility, Inc. (b)........ 3,581 39,426
------------
122,022
------------
TOTAL COMMON STOCKS -- (Cost
$108,720,851)............... 98,956,051
------------
RIGHTS -- 0.0% (D)
BUILDING PRODUCTS -- 0.0% (D)
Builders FirstSource, Inc.
(a)(b) (expiring 10/01/14)
(Cost $0)................... 4,182 1,023
------------
SHORT TERM INVESTMENTS -- 21.6%
MONEY MARKET FUNDS -- 21.6%
State Street Institutional
Liquid
Reserves Fund (e)........... 148,330 148,330
State Street Navigator
Securities
Lending Prime Portfolio
(e)(f)...................... 21,341,361 21,341,361
------------
TOTAL SHORT TERM
INVESTMENTS -- (Cost
$21,489,691)................ 21,489,691
------------
TOTAL INVESTMENTS -- 121.3%
(G) (Cost $130,210,542)..... 120,446,765
OTHER ASSETS AND
LIABILITIES -- (21.3)%...... (21,142,724)
------------
NET ASSETS -- 100.0%.......... $ 99,304,041
============
</Table>
(a) Non-income producing security.
(b) Security, or portion thereof, was on loan at December 31, 2009.
(c) Security is valued at fair value as determined in good faith by Trust's
Pricing and Investment Committee in accordance with procedures approved
by the Board of Trustees. Teton Advisor's Inc. value is determined based
on Level 3 inputs. (Note 2)
(d) Amount represents less than 0.05% of net assets.
(e) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3)
(f) Investments of cash collateral for securities loaned.
(g) Unless otherwise indicated, the values of the securities of the Fund are
determined based on Level 1 inputs. (Note 2)
REIT = Real Estate Investment Trust
See accompanying notes to financial statements.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the Registrant.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES
Not applicable to the Registrant.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS
Not applicable to the Registrant.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
Registrant has not adopted any material changes to the procedures by which
shareholders may recommend nominees to the Registrant's Board.
ITEM 11. CONTROLS AND PROCEDURES
(a) Within 90 days of the filing date of this Form N-CSR, James E. Ross, the
registrant's President, and Gary L. French, the registrant's Principal Financial
Officer, reviewed the Registrant's disclosure controls and procedures and
evaluated their effectiveness. Based on the review, Messrs. Ross and French
determined that the disclosure controls and procedures adequately ensure that
information required to be disclosed by the registrant in its periodic reports
is recorded, processed, summarized and reported within the time periods required
by the Securities and Exchange Commission.
(b) In the Registrant's second fiscal quarter covered by this form N-CSR filing,
there were no significant changes in the Registrant's internal controls or in
other factors that have materially affected, or are reasonably likely to
materially affect, its controls over financial reporting subsequent to the date
of their evaluation, including any corrective actions with regard to significant
deficiencies and material weaknesses.
ITEM 12. EXHIBITS
(a)(1) Not applicable to the Registrant; this Form N-CSR is a Semi-Annual
Report.
(2) Certifications of principal executive officer and principal financial
officer of the registrant as required by Rule 30a-2(a) under the 1940 Act are
attached hereto.
(3) Not applicable
(b) Certifications of principal executive officer and principal financial
officer of the registrant as required by Rule 30a-2(b) under the 1940 Act and
Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the Registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
SPDR(R) SERIES TRUST
By: /s/ James E. Ross
--------------------------------------------
James E. Ross
President and Principal Executive Officer
Date: March 4, 2010
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By: /s/ James E. Ross
---------------------------------------------
James E. Ross
President and Principal Executive Officer
Date: March 4, 2010
By: /s/ Gary L. French
---------------------------------------------
Gary L. French
Treasurer and Principal Financial Officer
Date: March 4, 2010