UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED
SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-08837
THE SELECT SECTOR SPDR® TRUST
(Exact name of registrant as specified in charter)
One Iron
Street, Boston, Massachusetts 02210
(Address of principal executive offices) (zip code)
Sean OMalley, Esq.
Senior Vice President and General Counsel
c/o SSGA Funds Management, Inc.
One Iron Street
Boston,
Massachusetts 02210
(Name and address of agent for service)
Copy to:
W. John
McGuire, Esq.
Morgan, Lewis, & Bockius, LLP
1111 Pennsylvania Avenue, NW
Washington, D.C. 20004
Registrants telephone number, including area code: (617) 664-1465
Date of fiscal year end: September 30
Date of reporting period: March 31, 2022
Item 1. Report to Shareholders.
(a) The Reports to Shareholders are attached herewith.
The Select
Sector SPDR Trust
Semi-Annual
Report
March 31, 2022
Select Sector SPDR Funds
The Select Sector SPDR Trust consists of eleven separate investment
portfolios (each a “Select Sector SPDR Fund” or a “Fund” and collectively the “Select Sector SPDR Funds” or the “Funds”).
Select Sector SPDR Funds are “index funds” that
unbundle the benchmark S&P 500®† and give you ownership in particular sectors or groups of
industries that are represented by a specified Select Sector Index. Through a single share, investors can buy or sell any of eleven major industry sectors that make up the S&P
500®, in the same way as they would buy or sell a share of stock. Select Sector SPDR Fund shares are different from the shares of conventional mutual funds. Select Sector
SPDR Funds trade on NYSE Arca, Inc.
Eleven Select
Sector SPDR Funds
Shares are available for exchange trading in the
following Funds of The Select Sector SPDR Trust:
The
Communication Services Select Sector SPDR Fund |
XLC
|
The
Consumer Discretionary Select Sector SPDR Fund |
XLY
|
The
Consumer Staples Select Sector SPDR Fund |
XLP
|
The
Energy Select Sector SPDR Fund |
XLE
|
The
Financial Select Sector SPDR Fund |
XLF
|
The
Health Care Select Sector SPDR Fund |
XLV
|
The
Industrial Select Sector SPDR Fund |
XLI
|
The
Materials Select Sector SPDR Fund |
XLB
|
The
Real Estate Select Sector SPDR Fund |
XLRE
|
The
Technology Select Sector SPDR Fund |
XLK
|
The
Utilities Select Sector SPDR Fund |
XLU
|
Each of these Funds is designed
to, before expenses, correspond generally to the price and yield performance of a Select Sector Index. Each Fund’s portfolio is comprised principally of shares of constituent companies in the S&P 500®. Each stock in the S&P 500® is allocated to one Select Sector Index. The combined companies
of the eleven Select Sector Indexes represent all of the companies in the S& P 500®. Each Select Sector SPDR Fund can be expected to move up or down in value with its
underlying Select Sector Index. Investors cannot invest directly in an index. Funds focused on a single sector generally experience greater price fluctuations than the overall stock market.
Objective
Select Sector SPDR Funds are designed to provide investors with an
affordable way to invest in a portfolio of equity securities in a sector or group of industries in a single trade. Select Sector SPDR Funds allow you to tailor asset allocations to fit your particular investment needs or goals. One Fund may
complement another; individual Select Sector SPDR Funds can be used to increase exposure to certain industries that may be outperforming the market or to hedge other holdings in your portfolio. Although an individual Select Sector SPDR Fund may bear
a higher level of risk than a broad-market fund, because of less diversification, sector investments may also offer opportunities for returns greater than an investment in the entire constituents of the S&P 500®.
The information
contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains
important information concerning the Trust. You may obtain a current prospectus from the Distributor, ALPS Portfolio Solutions Distributor, Inc., by calling 1-866-SECTOR-ETF (1-866-732-8673). Please read the prospectus carefully before you
invest.
† S&P 500: the Standard & Poor’s composite index of 500 stocks, a widely recognized, unmanaged, index of common
stock prices.
TABLE OF CONTENTS (Unaudited)
[This Page
Intentionally Left Blank]
The Communication Services Select Sector SPDR
Fund
Portfolio Statistics (Unaudited)
Top Five Holdings as of March 31, 2022
|
|
|
|
|
|
Description
|
Market
Value |
%
of Net Assets |
|
|
Meta
Platforms, Inc. Class A |
2,355,760,555
|
19.9%
|
|
|
Alphabet,
Inc. Class A |
1,402,353,889
|
11.8
|
|
|
Alphabet,
Inc. Class C |
1,300,485,969
|
11.0
|
|
|
Netflix,
Inc. |
543,363,397
|
4.6
|
|
|
Walt
Disney Co. |
513,900,252
|
4.3
|
|
|
TOTAL
|
6,115,864,062
|
51.6%
|
|
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Industry Breakdown as of March 31,
2022*
* The Fund’s industry breakdown is
expressed as a percentage of total common stock and may change over time.
See accompanying notes to financial statements.
1
The Consumer Discretionary Select Sector SPDR
Fund
Portfolio Statistics (Unaudited)
Top Five Holdings as of March 31, 2022
|
|
|
|
|
|
Description
|
Market
Value |
%
of Net Assets |
|
|
Amazon.com,
Inc. |
4,552,741,852
|
23.0%
|
|
|
Tesla,
Inc. |
4,333,739,738
|
21.9
|
|
|
McDonald's
Corp. |
946,712,716
|
4.8
|
|
|
Home
Depot, Inc. |
881,916,578
|
4.4
|
|
|
NIKE,
Inc. Class B |
879,908,428
|
4.4
|
|
|
TOTAL
|
11,595,019,312
|
58.5%
|
|
(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 March 31,
2022*
* The Fund’s industry breakdown is
expressed as a percentage of total common stock and may change over time.
See accompanying notes to financial statements.
2
The Consumer Staples Select Sector SPDR Fund
Portfolio Statistics (Unaudited)
Top Five Holdings as of March 31, 2022
|
|
|
|
|
|
Description
|
Market
Value |
%
of Net Assets |
|
|
Procter
& Gamble Co. |
2,402,934,481
|
15.7%
|
|
|
Costco
Wholesale Corp. |
1,675,265,123
|
10.9
|
|
|
Coca-Cola
Co. |
1,581,231,446
|
10.3
|
|
|
PepsiCo,
Inc. |
1,519,141,717
|
9.9
|
|
|
Philip
Morris International, Inc. |
682,942,015
|
4.5
|
|
|
TOTAL
|
7,861,514,782
|
51.3%
|
|
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Industry Breakdown as of March 31,
2022*
* The Fund’s industry breakdown is
expressed as a percentage of total common stock and may change over time.
See accompanying notes to financial statements.
3
The Energy Select Sector SPDR Fund
Portfolio Statistics (Unaudited)
Top Five Holdings as of March 31, 2022
|
|
|
|
|
|
Description
|
Market
Value |
%
of Net Assets |
|
|
Exxon
Mobil Corp. |
8,160,706,007
|
22.2%
|
|
|
Chevron
Corp. |
7,874,208,693
|
21.4
|
|
|
EOG
Resources, Inc. |
1,750,034,452
|
4.8
|
|
|
ConocoPhillips
|
1,668,235,000
|
4.5
|
|
|
Schlumberger
NV |
1,607,757,935
|
4.4
|
|
|
TOTAL
|
21,060,942,087
|
57.3%
|
|
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Industry Breakdown as of March 31,
2022*
* The Fund’s industry breakdown is
expressed as a percentage of total common stock and may change over time.
See accompanying notes to financial statements.
4
The Financial Select Sector SPDR Fund
Portfolio Statistics (Unaudited)
Top Five Holdings as of March 31, 2022
|
|
|
|
|
|
Description
|
Market
Value |
%
of Net Assets |
|
|
Berkshire
Hathaway, Inc. Class B |
6,959,271,916
|
15.2%
|
|
|
JPMorgan
Chase & Co. |
4,337,872,119
|
9.4
|
|
|
Bank
of America Corp. |
3,155,037,209
|
6.9
|
|
|
Wells
Fargo & Co. |
2,027,610,256
|
4.4
|
|
|
S&P
Global, Inc. |
1,564,428,981
|
3.4
|
|
|
TOTAL
|
18,044,220,481
|
39.3%
|
|
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Industry Breakdown as of March 31,
2022*
* The Fund’s industry breakdown is
expressed as a percentage of total common stock and may change over time.
See accompanying notes to financial statements.
5
The Health Care Select Sector SPDR Fund
Portfolio Statistics (Unaudited)
Top Five Holdings as of March 31, 2022
|
|
|
|
|
|
Description
|
Market
Value |
%
of Net Assets |
|
|
UnitedHealth
Group, Inc. |
3,407,001,456
|
9.2%
|
|
|
Johnson
& Johnson |
3,309,516,280
|
8.9
|
|
|
Pfizer,
Inc. |
2,061,131,383
|
5.6
|
|
|
AbbVie,
Inc. |
2,032,835,083
|
5.5
|
|
|
Thermo
Fisher Scientific, Inc. |
1,650,907,505
|
4.5
|
|
|
TOTAL
|
12,461,391,707
|
33.7%
|
|
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Industry Breakdown as of March 31,
2022*
* The Fund’s industry breakdown is
expressed as a percentage of total common stock and may change over time.
See accompanying notes to financial statements.
6
The Industrial Select Sector SPDR Fund
Portfolio Statistics (Unaudited)
Top Five Holdings as of March 31, 2022
|
|
|
|
|
|
Description
|
Market
Value |
%
of Net Assets |
|
|
Union
Pacific Corp. |
932,110,284
|
5.8%
|
|
|
United
Parcel Service, Inc. Class B |
837,945,189
|
5.2
|
|
|
Raytheon
Technologies Corp. |
792,040,279
|
4.9
|
|
|
Honeywell
International, Inc. |
714,982,070
|
4.4
|
|
|
Caterpillar,
Inc. |
645,858,476
|
4.0
|
|
|
TOTAL
|
3,922,936,298
|
24.3%
|
|
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Industry Breakdown as of March 31,
2022*
* The Fund’s industry breakdown is
expressed as a percentage of total common stock and may change over time.
See accompanying notes to financial statements.
7
The Materials Select Sector SPDR Fund
Portfolio Statistics (Unaudited)
Top Five Holdings as of March 31, 2022
|
|
|
|
|
|
Description
|
Market
Value |
%
of Net Assets |
|
|
Linde
PLC |
1,261,133,597
|
16.3%
|
|
|
Freeport-McMoRan,
Inc. |
562,463,352
|
7.3
|
|
|
Newmont
Corp. |
488,015,110
|
6.3
|
|
|
Sherwin-Williams
Co. |
463,813,929
|
6.0
|
|
|
Air
Products & Chemicals, Inc. |
426,799,297
|
5.5
|
|
|
TOTAL
|
3,202,225,285
|
41.4%
|
|
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Industry Breakdown as of March 31,
2022*
* The Fund’s industry breakdown is
expressed as a percentage of total common stock and may change over time.
See accompanying notes to financial statements.
8
The Real Estate Select Sector SPDR Fund
Portfolio Statistics (Unaudited)
Top Five Holdings as of March 31, 2022
|
|
|
|
|
|
Description
|
Market
Value |
%
of Net Assets |
|
|
Prologis,
Inc. REIT |
655,603,310
|
11.4%
|
|
|
American
Tower Corp. REIT |
627,697,036
|
11.0
|
|
|
Crown
Castle International Corp. REIT |
437,740,503
|
7.6
|
|
|
Equinix,
Inc. REIT |
366,340,256
|
6.4
|
|
|
Public
Storage REIT |
326,671,775
|
5.7
|
|
|
TOTAL
|
2,414,052,880
|
42.1%
|
|
(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 March 31,
2022*
* The Fund’s industry breakdown is
expressed as a percentage of total common stock and may change over time.
See accompanying notes to financial statements.
9
The Technology Select Sector SPDR Fund
Portfolio Statistics (Unaudited)
Top Five Holdings as of March 31, 2022
|
|
|
|
|
|
Description
|
Market
Value |
%
of Net Assets |
|
|
Apple,
Inc. |
10,896,669,579
|
22.9%
|
|
|
Microsoft
Corp. |
10,537,347,960
|
22.1
|
|
|
NVIDIA
Corp. |
2,139,676,166
|
4.5
|
|
|
Visa,
Inc. Class A |
1,747,704,613
|
3.7
|
|
|
Mastercard,
Inc. Class A |
1,465,684,712
|
3.1
|
|
|
TOTAL
|
26,787,083,030
|
56.3%
|
|
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Industry Breakdown as of March 31,
2022*
* The Fund’s industry breakdown is
expressed as a percentage of total common stock and may change over time.
See accompanying notes to financial statements.
10
The Utilities Select Sector SPDR Fund
Portfolio Statistics (Unaudited)
Top Five Holdings as of March 31, 2022
|
|
|
|
|
|
Description
|
Market
Value |
%
of Net Assets |
|
|
NextEra
Energy, Inc. |
2,356,025,338
|
15.8%
|
|
|
Duke
Energy Corp. |
1,217,483,135
|
8.2
|
|
|
Southern
Co. |
1,089,276,182
|
7.3
|
|
|
Dominion
Energy, Inc. |
975,583,820
|
6.6
|
|
|
Sempra
Energy |
761,008,462
|
5.1
|
|
|
TOTAL
|
6,399,376,937
|
43.0%
|
|
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Industry Breakdown as of March 31,
2022*
* The Fund’s industry breakdown is
expressed as a percentage of total common stock and may change over time.
See accompanying notes to financial statements.
11
THE COMMUNICATION
SERVICES SELECT SECTOR SPDR FUND
SCHEDULE OF
INVESTMENTS
March 31, 2022 (Unaudited)
Security
Description |
|
|
Shares
|
|
Value
|
COMMON
STOCKS — 99.9% |
|
DIVERSIFIED
TELECOMMUNICATION SERVICES — 9.2% |
|
AT&T,
Inc.
|
|
21,284,585
|
|
$
502,954,743 |
Lumen Technologies, Inc.
(a)
|
|
10,361,856
|
|
116,778,117
|
Verizon Communications,
Inc.
|
|
9,305,485
|
|
474,021,406
|
|
|
|
|
|
1,093,754,266
|
ENTERTAINMENT
— 19.6% |
|
Activision Blizzard,
Inc.
|
|
6,145,878
|
|
492,346,287
|
Electronic Arts,
Inc.
|
|
3,162,263
|
|
400,057,892
|
Live Nation Entertainment, Inc.
(a)
(b)
|
|
1,518,934
|
|
178,687,396
|
Netflix, Inc.
(b)
|
|
1,450,555
|
|
543,363,397
|
Take-Two Interactive Software, Inc.
(a)
(b)
|
|
1,297,771
|
|
199,519,314
|
Walt Disney Co.
(b)
|
|
3,746,721
|
|
513,900,252
|
|
|
|
|
|
2,327,874,538
|
INTERACTIVE
MEDIA & SERVICES — 48.6% |
|
Alphabet, Inc. Class A
(b)
|
|
504,199
|
|
1,402,353,889
|
Alphabet, Inc. Class C
(b)
|
|
465,625
|
|
1,300,485,969
|
Match Group, Inc.
(b)
|
|
3,183,198
|
|
346,140,950
|
Meta Platforms, Inc. Class A
(b)
|
|
10,594,354
|
|
2,355,760,555
|
Twitter, Inc.
(b)
|
|
8,991,226
|
|
347,870,534
|
|
|
|
|
|
5,752,611,897
|
MEDIA
— 18.2% |
|
Charter Communications, Inc. Class A
(b)
|
|
882,506
|
|
481,424,673
|
Comcast Corp. Class
A |
|
10,964,288
|
|
513,347,964
|
Discovery, Inc. Class A
(b)
|
|
1,906,432
|
|
47,508,285
|
Discovery, Inc. Class C
(b)
|
|
3,415,314
|
|
85,280,391
|
DISH Network Corp. Class A
(b)
|
|
2,807,874
|
|
88,869,212
|
Fox Corp. Class
A |
|
3,551,113
|
|
140,091,408
|
Fox Corp. Class
B |
|
1,639,323
|
|
59,474,639
|
Interpublic Group of Cos.,
Inc.
|
|
4,426,055
|
|
156,903,650
|
News Corp. Class
A |
|
4,395,236
|
|
97,354,477
|
News Corp. Class
B |
|
1,361,438
|
|
30,659,584
|
Security
Description |
|
|
Shares
|
|
Value
|
Omnicom Group,
Inc.
|
|
2,349,960
|
|
$
199,464,605 |
Paramount Global Class B
(a)
|
|
6,822,130
|
|
257,944,735
|
|
|
|
|
|
2,158,323,623
|
WIRELESS
TELECOMMUNICATION SERVICES — 4.3% |
|
T-Mobile US, Inc.
(b)
|
|
3,962,396
|
|
508,573,527
|
TOTAL COMMON STOCKS (Cost
$13,164,669,676)
|
|
|
|
|
11,841,137,851
|
SHORT-TERM
INVESTMENTS — 2.1% |
|
|
|
State Street Institutional Liquid Reserves Fund, Premier Class 0.31%
(c)
(d)
|
|
6,761,538
|
|
6,760,862
|
State Street Navigator Securities Lending Portfolio II
(e)
(f)
|
|
239,458,019
|
|
239,458,019
|
TOTAL SHORT-TERM INVESTMENTS (Cost
$246,218,125)
|
|
246,218,881
|
|
TOTAL INVESTMENTS — 102.0% (Cost
$13,410,887,801)
|
|
12,087,356,732
|
|
LIABILITIES IN EXCESS OF OTHER ASSETS — (2.0)%
|
|
(238,196,904)
|
|
NET ASSETS —
100.0%
|
|
$
11,849,159,828 |
|
(a)
|
All
or a portion of the shares of the security are on loan at March 31, 2022. |
(b)
|
Non-income
producing security. |
(c)
|
The
Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended March 31, 2022 are shown in the Affiliate Table below. |
(d)
|
The
rate shown is the annualized seven-day yield at March 31, 2022. |
(e)
|
The
Fund invested in an affiliated entity. Amounts related to these transactions during the period ended March 31, 2022 are shown in the Affiliate Table below. |
(f)
|
Investment
of cash collateral for securities loaned. |
The following table summarizes the value
of the Fund's investments according to the fair value hierarchy as of March 31, 2022.
Description
|
|
Level
1 – Quoted Prices |
|
Level
2 – Other Significant Observable Inputs |
|
Level
3 – Significant Unobservable Inputs |
|
Total
|
ASSETS:
|
|
|
|
|
|
|
|
|
INVESTMENTS:
|
|
|
|
|
|
|
|
|
Common
Stocks
|
|
$11,841,137,851
|
|
$—
|
|
$—
|
|
$11,841,137,851
|
Short-Term
Investments
|
|
246,218,881
|
|
—
|
|
—
|
|
246,218,881
|
TOTAL
INVESTMENTS
|
|
$12,087,356,732
|
|
$—
|
|
$—
|
|
$12,087,356,732
|
See accompanying notes to financial statements.
12
THE COMMUNICATION
SERVICES SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
Affiliate Table
|
Number
of Shares Held at 9/30/21 |
|
Value
at 9/30/21 |
|
Cost
of Purchases |
|
Proceeds
from Shares Sold |
|
Realized
Gain (Loss) |
|
Change
in Unrealized Appreciation/ Depreciation |
|
Number
of Shares Held at 3/31/22 |
|
Value
at 3/31/22 |
|
Dividend
Income |
State Street Institutional Liquid Reserves Fund, Premier
Class
|
3,600,221
|
|
$
3,600,941 |
|
$117,193,658
|
|
$114,032,195
|
|
$(2,298)
|
|
$756
|
|
6,761,538
|
|
$
6,760,862 |
|
$
2,923 |
State Street Navigator Securities Lending Portfolio
II
|
76,583,434
|
|
76,583,434
|
|
625,318,721
|
|
462,444,136
|
|
—
|
|
—
|
|
239,458,019
|
|
239,458,019
|
|
129,592
|
Total
|
|
|
$80,184,375
|
|
$742,512,379
|
|
$576,476,331
|
|
$(2,298)
|
|
$756
|
|
|
|
$246,218,881
|
|
$132,515
|
See accompanying notes to financial statements.
13
THE CONSUMER
DISCRETIONARY SELECT SECTOR SPDR FUND
SCHEDULE OF
INVESTMENTS
March 31, 2022 (Unaudited)
Security
Description |
|
|
Shares
|
|
Value
|
COMMON
STOCKS — 99.9% |
|
AUTO
COMPONENTS — 1.1% |
|
Aptiv PLC
(a)
|
|
1,385,940
|
|
$
165,910,877 |
BorgWarner,
Inc.
|
|
1,228,464
|
|
47,787,250
|
|
|
|
|
|
213,698,127
|
AUTOMOBILES
— 25.2% |
|
Ford Motor
Co.
|
|
20,152,858
|
|
340,784,829
|
General Motors Co.
(a)
|
|
7,444,636
|
|
325,628,379
|
Tesla, Inc.
(a)
|
|
4,021,659
|
|
4,333,739,738
|
|
|
|
|
|
5,000,152,946
|
DISTRIBUTORS
— 1.2% |
|
Genuine Parts
Co.
|
|
729,716
|
|
91,958,810
|
LKQ
Corp.
|
|
1,373,979
|
|
62,392,387
|
Pool
Corp.
|
|
205,412
|
|
86,858,464
|
|
|
|
|
|
241,209,661
|
HOTELS,
RESTAURANTS & LEISURE — 18.6% |
|
Booking Holdings, Inc.
(a)
|
|
210,415
|
|
494,149,107
|
Caesars Entertainment, Inc.
(a)
|
|
1,095,277
|
|
84,730,629
|
Carnival Corp.
(a)
|
|
4,144,046
|
|
83,792,610
|
Chipotle Mexican Grill, Inc.
(a)
|
|
144,169
|
|
228,079,683
|
Darden Restaurants,
Inc.
|
|
654,370
|
|
86,998,492
|
Domino's Pizza,
Inc.
|
|
186,438
|
|
75,882,130
|
Expedia Group, Inc.
(a)
|
|
769,666
|
|
150,600,546
|
Hilton Worldwide Holdings, Inc.
(a)
|
|
1,428,052
|
|
216,692,610
|
Las Vegas Sands Corp.
(a)
(b)
|
|
1,761,441
|
|
68,467,212
|
Marriott International, Inc. Class A
(a)
|
|
1,401,688
|
|
246,346,666
|
McDonald's
Corp.
|
|
3,828,505
|
|
946,712,716
|
MGM Resorts
International
|
|
1,929,782
|
|
80,935,057
|
Norwegian Cruise Line Holdings, Ltd.
(a)
(b)
|
|
2,135,996
|
|
46,735,592
|
Penn National Gaming, Inc.
(a)
|
|
851,106
|
|
36,103,917
|
Royal Caribbean Cruises, Ltd.
(a)
(b)
|
|
1,148,921
|
|
96,256,601
|
Starbucks
Corp.
|
|
5,893,646
|
|
536,144,977
|
Wynn Resorts, Ltd.
(a)
(b)
|
|
539,234
|
|
42,998,519
|
Yum! Brands,
Inc.
|
|
1,480,677
|
|
175,504,645
|
|
|
|
|
|
3,697,131,709
|
HOUSEHOLD
DURABLES — 2.9% |
|
D.R. Horton,
Inc.
|
|
1,652,170
|
|
123,103,187
|
Garmin,
Ltd.
|
|
778,408
|
|
92,326,973
|
Lennar Corp. Class
A |
|
1,339,125
|
|
108,696,776
|
Mohawk Industries, Inc.
(a)
|
|
281,100
|
|
34,912,620
|
Newell Brands,
Inc.
|
|
1,939,756
|
|
41,530,176
|
NVR, Inc.
(a)
|
|
16,774
|
|
74,933,987
|
PulteGroup,
Inc.
|
|
1,273,929
|
|
53,377,625
|
Whirlpool Corp.
(b)
|
|
302,259
|
|
52,224,310
|
|
|
|
|
|
581,105,654
|
INTERNET
& DIRECT MARKETING RETAIL — 24.3% |
|
Amazon.com, Inc.
(a)
|
|
1,396,568
|
|
4,552,741,852
|
eBay,
Inc.
|
|
3,207,375
|
|
183,654,292
|
Security
Description |
|
|
Shares
|
|
Value
|
Etsy, Inc.
(a)
(b)
|
|
649,539
|
|
$
80,724,707 |
|
|
|
|
|
4,817,120,851
|
LEISURE
EQUIPMENT & PRODUCTS — 0.3% |
|
Hasbro,
Inc.
|
|
664,382
|
|
54,426,174
|
MULTILINE
RETAIL — 4.9% |
|
Dollar General
Corp.
|
|
1,187,176
|
|
264,300,993
|
Dollar Tree, Inc.
(a)
|
|
1,152,558
|
|
184,582,164
|
Target
Corp.
|
|
2,454,807
|
|
520,959,141
|
|
|
|
|
|
969,842,298
|
SPECIALTY
RETAIL — 15.8% |
|
Advance Auto Parts,
Inc.
|
|
319,441
|
|
66,111,509
|
AutoZone, Inc.
(a)
|
|
105,707
|
|
216,126,418
|
Bath & Body Works,
Inc.
|
|
1,320,431
|
|
63,116,602
|
Best Buy Co.,
Inc.
|
|
1,109,287
|
|
100,834,188
|
CarMax, Inc.
(a)
(b)
|
|
828,375
|
|
79,921,620
|
Home Depot,
Inc.
|
|
2,946,302
|
|
881,916,578
|
Lowe's Cos.,
Inc.
|
|
3,451,917
|
|
697,943,098
|
O'Reilly Automotive, Inc.
(a)
|
|
345,244
|
|
236,478,330
|
Ross Stores,
Inc.
|
|
1,810,265
|
|
163,756,572
|
TJX Cos.,
Inc.
|
|
6,111,736
|
|
370,248,967
|
Tractor Supply
Co.
|
|
583,172
|
|
136,094,850
|
Ulta Beauty, Inc.
(a)
|
|
277,256
|
|
110,408,884
|
|
|
|
|
|
3,122,957,616
|
TEXTILES,
APPAREL & LUXURY GOODS — 5.6% |
|
NIKE, Inc. Class
B |
|
6,539,153
|
|
879,908,428
|
PVH
Corp.
|
|
358,541
|
|
27,467,826
|
Ralph Lauren
Corp.
|
|
237,138
|
|
26,900,935
|
Tapestry,
Inc.
|
|
1,352,584
|
|
50,248,496
|
Under Armour, Inc. Class A
(a)
|
|
966,512
|
|
16,450,034
|
Under Armour, Inc. Class C
(a)
|
|
1,101,901
|
|
17,145,579
|
VF
Corp.
|
|
1,653,796
|
|
94,034,840
|
|
|
|
|
|
1,112,156,138
|
TOTAL COMMON STOCKS (Cost
$19,032,064,536)
|
|
|
|
|
19,809,801,174
|
SHORT-TERM
INVESTMENTS — 0.5% |
|
|
|
State Street Institutional Liquid Reserves Fund, Premier Class 0.31%
(c)
(d)
|
|
11,996,788
|
|
11,995,588
|
State Street Navigator Securities Lending Portfolio II
(e)
(f)
|
|
80,293,118
|
|
80,293,118
|
TOTAL SHORT-TERM INVESTMENTS (Cost
$92,286,932)
|
|
92,288,706
|
|
TOTAL INVESTMENTS — 100.4% (Cost
$19,124,351,468)
|
|
19,902,089,880
|
|
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.4)%
|
|
(84,879,955)
|
|
NET ASSETS —
100.0%
|
|
$
19,817,209,925 |
|
(a)
|
Non-income
producing security. |
(b)
|
All
or a portion of the shares of the security are on loan at March 31, 2022. |
See accompanying notes to financial statements.
14
THE CONSUMER
DISCRETIONARY SELECT SECTOR SPDR FUND
SCHEDULE OF
INVESTMENTS (continued)
March 31, 2022 (Unaudited)
(c)
|
The
Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended March 31, 2022 are shown in the Affiliate Table below. |
(d)
|
The
rate shown is the annualized seven-day yield at March 31, 2022. |
(e)
|
The
Fund invested in an affiliated entity. Amounts related to these transactions during the period ended March 31, 2022 are shown in the Affiliate Table below. |
(f)
|
Investment
of cash collateral for securities loaned. |
The following table summarizes the value
of the Fund's investments according to the fair value hierarchy as of March 31, 2022.
Description
|
|
Level
1 – Quoted Prices |
|
Level
2 – Other Significant Observable Inputs |
|
Level
3 – Significant Unobservable Inputs |
|
Total
|
ASSETS:
|
|
|
|
|
|
|
|
|
INVESTMENTS:
|
|
|
|
|
|
|
|
|
Common
Stocks
|
|
$19,809,801,174
|
|
$—
|
|
$—
|
|
$19,809,801,174
|
Short-Term
Investments
|
|
92,288,706
|
|
—
|
|
—
|
|
92,288,706
|
TOTAL
INVESTMENTS
|
|
$19,902,089,880
|
|
$—
|
|
$—
|
|
$19,902,089,880
|
Affiliate
Table
|
Number
of Shares Held at 9/30/21 |
|
Value
at 9/30/21 |
|
Cost
of Purchases |
|
Proceeds
from Shares Sold |
|
Realized
Gain (Loss) |
|
Change
in Unrealized Appreciation/ Depreciation |
|
Number
of Shares Held at 3/31/22 |
|
Value
at 3/31/22 |
|
Dividend
Income |
State Street Institutional Liquid Reserves Fund, Premier
Class
|
5,827,718
|
|
$
5,828,883 |
|
$110,851,302
|
|
$104,682,804
|
|
$(3,567)
|
|
$1,774
|
|
11,996,788
|
|
$11,995,588
|
|
$
4,174 |
State Street Navigator Securities Lending Portfolio
II
|
88,081,524
|
|
88,081,524
|
|
823,057,503
|
|
830,845,909
|
|
—
|
|
—
|
|
80,293,118
|
|
80,293,118
|
|
72,064
|
Total
|
|
|
$93,910,407
|
|
$933,908,805
|
|
$935,528,713
|
|
$(3,567)
|
|
$1,774
|
|
|
|
$92,288,706
|
|
$76,238
|
See accompanying notes to financial statements.
15
THE CONSUMER
STAPLES SELECT SECTOR SPDR FUND
SCHEDULE OF
INVESTMENTS
March 31, 2022 (Unaudited)
Security
Description |
|
|
Shares
|
|
Value
|
COMMON
STOCKS — 99.6% |
|
BEVERAGES
— 24.8% |
|
Brown-Forman Corp. Class
B |
|
1,417,311
|
|
$
94,988,183 |
Coca-Cola
Co.
|
|
25,503,733
|
|
1,581,231,446
|
Constellation Brands, Inc. Class
A |
|
1,274,598
|
|
293,565,411
|
Molson Coors Beverage Co. Class B
(a)
|
|
1,461,192
|
|
77,998,429
|
Monster Beverage Corp.
(b)
|
|
2,913,774
|
|
232,810,543
|
PepsiCo,
Inc.
|
|
9,076,005
|
|
1,519,141,717
|
|
|
|
|
|
3,799,735,729
|
FOOD
& STAPLES RETAILING — 21.0% |
|
Costco Wholesale
Corp.
|
|
2,909,204
|
|
1,675,265,123
|
Kroger
Co.
|
|
5,189,101
|
|
297,698,724
|
Sysco
Corp.
|
|
3,935,533
|
|
321,336,270
|
Walmart,
Inc.
|
|
4,547,631
|
|
677,233,209
|
Walgreens Boots Alliance,
Inc.
|
|
5,557,035
|
|
248,788,457
|
|
|
|
|
|
3,220,321,783
|
FOOD
PRODUCTS — 18.7% |
|
Archer-Daniels-Midland
Co.
|
|
4,339,680
|
|
391,699,517
|
Campbell Soup Co.
(a)
|
|
1,567,980
|
|
69,884,869
|
Conagra Brands,
Inc.
|
|
3,720,378
|
|
124,893,089
|
General Mills,
Inc.
|
|
4,678,283
|
|
316,813,325
|
Hershey
Co.
|
|
1,127,484
|
|
244,246,859
|
Hormel Foods
Corp.
|
|
2,188,057
|
|
112,772,458
|
J.M. Smucker
Co.
|
|
840,394
|
|
113,797,751
|
Kellogg
Co.
|
|
1,984,277
|
|
127,966,024
|
Kraft Heinz
Co.
|
|
5,506,084
|
|
216,884,649
|
Lamb Weston Holdings,
Inc.
|
|
1,112,317
|
|
66,638,911
|
McCormick & Co.,
Inc.
|
|
1,936,913
|
|
193,303,917
|
Mondelez International, Inc. Class
A |
|
10,767,358
|
|
675,974,735
|
Tyson Foods, Inc. Class
A |
|
2,268,247
|
|
203,302,979
|
|
|
|
|
|
2,858,179,083
|
HOUSEHOLD
PRODUCTS — 23.1% |
|
Church & Dwight Co.,
Inc.
|
|
1,876,887
|
|
186,525,030
|
Clorox
Co.
|
|
954,398
|
|
132,689,954
|
Colgate-Palmolive
Co.
|
|
6,536,897
|
|
495,692,899
|
Kimberly-Clark
Corp.
|
|
2,612,054
|
|
321,700,571
|
Security
Description |
|
|
Shares
|
|
Value
|
Procter & Gamble
Co.
|
|
15,726,011
|
|
$
2,402,934,481 |
|
|
|
|
|
3,539,542,935
|
PERSONAL
PRODUCTS — 3.2% |
|
Estee Lauder Cos., Inc. Class
A |
|
1,802,610
|
|
490,886,755
|
TOBACCO
— 8.8% |
|
Altria Group,
Inc.
|
|
12,798,872
|
|
668,741,062
|
Philip Morris International,
Inc.
|
|
7,269,981
|
|
682,942,015
|
|
|
|
|
|
1,351,683,077
|
TOTAL COMMON STOCKS (Cost
$15,493,729,068)
|
|
|
|
|
15,260,349,362
|
SHORT-TERM
INVESTMENTS — 0.3% |
|
|
|
State Street Institutional Liquid Reserves Fund, Premier Class 0.31%
(c)
(d)
|
|
18,274,235
|
|
18,272,407
|
State Street Navigator Securities Lending Portfolio II
(e)
(f)
|
|
28,783,386
|
|
28,783,386
|
TOTAL SHORT-TERM INVESTMENTS (Cost
$47,054,401)
|
|
47,055,793
|
|
TOTAL INVESTMENTS — 99.9% (Cost
$15,540,783,469)
|
|
15,307,405,155
|
|
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1%
|
|
13,389,945
|
|
NET ASSETS —
100.0%
|
|
$
15,320,795,100 |
|
(a)
|
All
or a portion of the shares of the security are on loan at March 31, 2022. |
(b)
|
Non-income
producing security. |
(c)
|
The
Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended March 31, 2022 are shown in the Affiliate Table below. |
(d)
|
The
rate shown is the annualized seven-day yield at March 31, 2022. |
(e)
|
The
Fund invested in an affiliated entity. Amounts related to these transactions during the period ended March 31, 2022 are shown in the Affiliate Table below. |
(f)
|
Investment
of cash collateral for securities loaned. |
The following table summarizes the value
of the Fund's investments according to the fair value hierarchy as of March 31, 2022.
Description
|
|
Level
1 – Quoted Prices |
|
Level
2 – Other Significant Observable Inputs |
|
Level
3 – Significant Unobservable Inputs |
|
Total
|
ASSETS:
|
|
|
|
|
|
|
|
|
INVESTMENTS:
|
|
|
|
|
|
|
|
|
Common
Stocks
|
|
$15,260,349,362
|
|
$—
|
|
$—
|
|
$15,260,349,362
|
Short-Term
Investments
|
|
47,055,793
|
|
—
|
|
—
|
|
47,055,793
|
TOTAL
INVESTMENTS
|
|
$15,307,405,155
|
|
$—
|
|
$—
|
|
$15,307,405,155
|
See accompanying notes to financial statements.
16
THE CONSUMER
STAPLES SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
Affiliate Table
|
Number
of Shares Held at 9/30/21 |
|
Value
at 9/30/21 |
|
Cost
of Purchases |
|
Proceeds
from Shares Sold |
|
Realized
Gain (Loss) |
|
Change
in Unrealized Appreciation/ Depreciation |
|
Number
of Shares Held at 3/31/22 |
|
Value
at 3/31/22 |
|
Dividend
Income |
State Street Institutional Liquid Reserves Fund, Premier
Class
|
15,187,963
|
|
$15,191,001
|
|
$262,722,955
|
|
$259,637,694
|
|
$(5,247)
|
|
$1,392
|
|
18,274,235
|
|
$18,272,407
|
|
$
6,703 |
State Street Navigator Securities Lending Portfolio
II
|
3,227,202
|
|
3,227,202
|
|
238,882,678
|
|
213,326,494
|
|
—
|
|
—
|
|
28,783,386
|
|
28,783,386
|
|
8,698
|
Total
|
|
|
$18,418,203
|
|
$501,605,633
|
|
$472,964,188
|
|
$(5,247)
|
|
$1,392
|
|
|
|
$47,055,793
|
|
$15,401
|
See accompanying notes to financial statements.
17
THE ENERGY SELECT
SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS
March 31, 2022 (Unaudited)
Security
Description |
|
|
Shares
|
|
Value
|
COMMON
STOCKS — 99.8% |
|
ENERGY
EQUIPMENT & SERVICES — 9.5% |
|
Baker Hughes Co.
(a)
|
|
25,116,730
|
|
$
914,500,139 |
Halliburton
Co.
|
|
24,919,533
|
|
943,702,715
|
Schlumberger
NV
|
|
38,919,340
|
|
1,607,757,935
|
|
|
|
|
|
3,465,960,789
|
OIL,
GAS & CONSUMABLE FUELS — 90.3% |
|
APA
Corp.
|
|
10,074,494
|
|
416,378,837
|
Chevron
Corp.
|
|
48,358,464
|
|
7,874,208,693
|
ConocoPhillips
|
|
16,682,350
|
|
1,668,235,000
|
Coterra Energy,
Inc.
|
|
22,562,543
|
|
608,511,785
|
Devon Energy Corp.
(a)
|
|
17,460,766
|
|
1,032,455,093
|
Diamondback Energy,
Inc.
|
|
4,722,924
|
|
647,418,422
|
EOG Resources,
Inc.
|
|
14,677,803
|
|
1,750,034,452
|
Exxon Mobil
Corp.
|
|
98,809,856
|
|
8,160,706,007
|
Hess
Corp.
|
|
7,644,721
|
|
818,290,936
|
Kinder Morgan,
Inc.
|
|
54,079,547
|
|
1,022,644,234
|
Marathon Oil
Corp.
|
|
21,590,842
|
|
542,146,043
|
Marathon Petroleum
Corp.
|
|
16,057,198
|
|
1,372,890,429
|
Occidental Petroleum
Corp.
|
|
24,606,606
|
|
1,396,178,824
|
ONEOK,
Inc.
|
|
12,367,013
|
|
873,482,128
|
Phillips
66
|
|
12,974,720
|
|
1,120,886,061
|
Pioneer Natural Resources
Co.
|
|
6,296,468
|
|
1,574,305,894
|
Valero Energy
Corp.
|
|
11,338,003
|
|
1,151,260,825
|
Security
Description |
|
|
Shares
|
|
Value
|
Williams Cos.,
Inc.
|
|
33,695,764
|
|
$
1,125,775,475 |
|
|
|
|
|
33,155,809,138
|
TOTAL COMMON STOCKS (Cost
$29,888,017,879)
|
|
|
|
|
36,621,769,927
|
SHORT-TERM
INVESTMENT — 0.2% |
|
|
|
State Street Institutional Liquid Reserves Fund, Premier Class 0.31% (b) (c) (Cost
$78,057,494)
|
|
78,070,476
|
|
78,062,669
|
TOTAL INVESTMENTS — 100.0% (Cost
$29,966,075,373)
|
|
36,699,832,596
|
|
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.0%
(d)
|
|
12,128,105
|
|
NET ASSETS —
100.0%
|
|
$
36,711,960,701 |
|
(a)
|
All
or a portion of the shares of the security are on loan at March 31, 2022. |
(b)
|
The
Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended March 31, 2022 are shown in the Affiliate Table below. |
(c)
|
The
rate shown is the annualized seven-day yield at March 31, 2022. |
(d)
|
Amount
is less than 0.05% of net assets. |
At March 31, 2022, open futures contracts
were as follows:
Description
|
|
Number
of Contracts |
|
Expiration
Date |
|
Notional
Amount |
|
Value
|
|
Unrealized
Appreciation (Depreciation) |
E-mini
S&P 500 Energy Sector Index (long) |
|
1,000
|
|
06/17/2022
|
|
$79,383,250
|
|
$79,710,000
|
|
$326,750
|
During the
period ended March 31, 2022, average notional value related to futures contracts was $96,257,657.
The following table summarizes the value
of the Fund's investments according to the fair value hierarchy as of March 31, 2022.
Description
|
|
Level
1 – Quoted Prices |
|
Level
2 – Other Significant Observable Inputs |
|
Level
3 – Significant Unobservable Inputs |
|
Total
|
ASSETS:
|
|
|
|
|
|
|
|
|
INVESTMENTS:
|
|
|
|
|
|
|
|
|
Common
Stocks
|
|
$36,621,769,927
|
|
$—
|
|
$—
|
|
$36,621,769,927
|
Short-Term
Investment
|
|
78,062,669
|
|
—
|
|
—
|
|
78,062,669
|
TOTAL
INVESTMENTS
|
|
$36,699,832,596
|
|
$—
|
|
$—
|
|
$36,699,832,596
|
OTHER
FINANCIAL INSTRUMENTS: |
|
|
|
|
|
|
|
|
Futures
Contracts(a)
|
|
326,750
|
|
—
|
|
—
|
|
326,750
|
TOTAL OTHER FINANCIAL
INSTRUMENTS:
|
|
$
326,750 |
|
$—
|
|
$—
|
|
$
326,750 |
(a)
|
Futures
Contracts are valued at unrealized appreciation (depreciation). |
See accompanying notes to financial statements.
18
THE ENERGY SELECT
SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
Affiliate Table
|
Number
of Shares Held at 9/30/21 |
|
Value
at 9/30/21 |
|
Cost
of Purchases |
|
Proceeds
from Shares Sold |
|
Realized
Gain (Loss) |
|
Change
in Unrealized Appreciation/ Depreciation |
|
Number
of Shares Held at 3/31/22 |
|
Value
at 3/31/22 |
|
Dividend
Income |
State Street Institutional Liquid Reserves Fund, Premier
Class
|
25,520,972
|
|
$
25,526,076 |
|
$
973,563,481 |
|
$
921,035,120 |
|
$3,057
|
|
$5,175
|
|
78,070,476
|
|
$78,062,669
|
|
$31,321
|
State Street Navigator Securities Lending Portfolio
II
|
204,202,820
|
|
204,202,820
|
|
606,625,429
|
|
810,828,249
|
|
—
|
|
—
|
|
—
|
|
—
|
|
20,314
|
Total
|
|
|
$229,728,896
|
|
$1,580,188,910
|
|
$1,731,863,369
|
|
$3,057
|
|
$5,175
|
|
|
|
$78,062,669
|
|
$51,635
|
See accompanying notes to financial statements.
19
THE FINANCIAL
SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS
March 31, 2022 (Unaudited)
Security
Description |
|
|
Shares
|
|
Value
|
COMMON
STOCKS — 99.8% |
|
BANKS
— 34.2% |
|
Bank of America
Corp.
|
|
76,541,417
|
|
$
3,155,037,209 |
Citigroup,
Inc.
|
|
21,367,481
|
|
1,141,023,485
|
Citizens Financial Group,
Inc.
|
|
4,589,169
|
|
208,027,031
|
Comerica,
Inc.
|
|
1,407,231
|
|
127,255,899
|
Fifth Third
Bancorp
|
|
7,362,528
|
|
316,883,205
|
First Republic
Bank
|
|
1,930,318
|
|
312,904,548
|
Huntington Bancshares,
Inc.
|
|
15,481,315
|
|
226,336,825
|
JPMorgan Chase &
Co.
|
|
31,821,245
|
|
4,337,872,119
|
KeyCorp.
|
|
10,001,432
|
|
223,832,048
|
M&T Bank Corp.
(a)
|
|
1,385,873
|
|
234,905,474
|
People's United Financial,
Inc.
|
|
4,607,828
|
|
92,110,482
|
PNC Financial Services Group,
Inc.
|
|
4,522,320
|
|
834,141,924
|
Regions Financial
Corp.
|
|
10,143,032
|
|
225,783,892
|
Signature
Bank
|
|
675,343
|
|
198,206,417
|
SVB Financial Group
(b)
|
|
632,365
|
|
353,776,599
|
Truist Financial
Corp.
|
|
14,373,553
|
|
814,980,455
|
US
Bancorp
|
|
14,540,992
|
|
772,853,725
|
Wells Fargo &
Co.
|
|
41,840,905
|
|
2,027,610,256
|
Zions Bancorp
NA
|
|
1,632,463
|
|
107,024,274
|
|
|
|
|
|
15,710,565,867
|
CAPITAL
MARKETS — 26.6% |
|
Ameriprise Financial,
Inc.
|
|
1,194,125
|
|
358,667,385
|
Bank of New York Mellon
Corp.
|
|
7,965,962
|
|
395,350,694
|
BlackRock,
Inc.
|
|
1,535,220
|
|
1,173,169,068
|
Cboe Global Markets,
Inc.
|
|
1,148,293
|
|
131,387,685
|
Charles Schwab
Corp.
|
|
16,187,841
|
|
1,364,796,875
|
CME Group,
Inc.
|
|
3,869,947
|
|
920,505,594
|
FactSet Research Systems,
Inc.
|
|
407,016
|
|
176,705,996
|
Franklin Resources, Inc.
(a)
|
|
3,027,871
|
|
84,538,158
|
Goldman Sachs Group,
Inc.
|
|
3,655,302
|
|
1,206,615,190
|
Intercontinental Exchange,
Inc.
|
|
6,049,827
|
|
799,303,143
|
Invesco,
Ltd.
|
|
3,674,997
|
|
84,745,431
|
MarketAxess Holdings,
Inc.
|
|
409,450
|
|
139,294,890
|
Moody's
Corp.
|
|
1,741,546
|
|
587,615,036
|
Morgan
Stanley
|
|
15,263,915
|
|
1,334,066,171
|
MSCI,
Inc.
|
|
875,177
|
|
440,109,010
|
Nasdaq,
Inc.
|
|
1,260,487
|
|
224,618,783
|
Northern Trust
Corp.
|
|
2,237,302
|
|
260,533,818
|
Raymond James Financial,
Inc.
|
|
2,011,846
|
|
221,121,994
|
S&P Global,
Inc.
|
|
3,814,006
|
|
1,564,428,981
|
State Street Corp.
(c)
|
|
3,940,841
|
|
343,326,068
|
T Rowe Price Group,
Inc.
|
|
2,467,791
|
|
373,105,321
|
|
|
|
|
|
12,184,005,291
|
CONSUMER
FINANCE — 5.1% |
|
American Express
Co.
|
|
6,622,904
|
|
1,238,483,048
|
Capital One Financial
Corp.
|
|
4,456,560
|
|
585,101,763
|
Discover Financial
Services
|
|
3,101,237
|
|
341,725,305
|
Synchrony
Financial
|
|
5,612,909
|
|
195,385,362
|
|
|
|
|
|
2,360,695,478
|
Security
Description |
|
|
Shares
|
|
Value
|
DIVERSIFIED
FINANCIAL SERVICES — 15.2% |
|
Berkshire Hathaway, Inc. Class B
(b)
|
|
19,719,679
|
|
$
6,959,271,916 |
INSURANCE
— 18.7% |
|
Aflac,
Inc.
|
|
6,460,119
|
|
415,967,062
|
Allstate
Corp.
|
|
3,021,191
|
|
418,465,165
|
American International Group,
Inc.
|
|
8,940,398
|
|
561,188,783
|
Aon PLC Class
A |
|
2,313,009
|
|
753,185,121
|
Arthur J Gallagher &
Co.
|
|
2,244,643
|
|
391,914,668
|
Assurant,
Inc.
|
|
613,598
|
|
111,570,524
|
Brown & Brown,
Inc.
|
|
2,524,899
|
|
182,474,451
|
Chubb,
Ltd.
|
|
4,638,094
|
|
992,088,307
|
Cincinnati Financial Corp.
(a)
|
|
1,613,283
|
|
219,341,957
|
Everest Re Group,
Ltd.
|
|
423,966
|
|
127,774,873
|
Globe Life,
Inc.
|
|
1,000,350
|
|
100,635,210
|
Hartford Financial Services Group,
Inc.
|
|
3,606,193
|
|
258,960,719
|
Lincoln National
Corp.
|
|
1,793,600
|
|
117,229,696
|
Loews
Corp.
|
|
2,111,189
|
|
136,847,271
|
Marsh & McLennan Cos.,
Inc.
|
|
5,436,372
|
|
926,466,516
|
MetLife,
Inc.
|
|
7,555,376
|
|
530,991,825
|
Principal Financial Group, Inc.
(a)
|
|
2,615,740
|
|
192,021,473
|
Progressive
Corp.
|
|
6,292,591
|
|
717,292,448
|
Prudential Financial, Inc.
(a)
|
|
4,070,026
|
|
480,954,973
|
Travelers Cos.,
Inc.
|
|
2,597,358
|
|
474,615,227
|
Willis Towers Watson
PLC
|
|
1,314,312
|
|
310,466,781
|
WR Berkley
Corp.
|
|
2,255,673
|
|
150,205,265
|
|
|
|
|
|
8,570,658,315
|
TOTAL COMMON STOCKS (Cost
$46,109,587,076)
|
|
|
|
|
45,785,196,867
|
SHORT-TERM
INVESTMENTS — 0.2% |
|
|
|
State Street Institutional Liquid Reserves Fund, Premier Class 0.31%
(d)
(e)
|
|
75,968,999
|
|
75,961,402
|
State Street Navigator Securities Lending Portfolio II
(f)
(g)
|
|
33,798,829
|
|
33,798,829
|
TOTAL SHORT-TERM INVESTMENTS (Cost
$109,756,141)
|
|
109,760,231
|
|
TOTAL INVESTMENTS — 100.0% (Cost
$46,219,343,217)
|
|
45,894,957,098
|
|
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.0)%
(h)
|
|
(12,459,164)
|
|
NET ASSETS —
100.0%
|
|
$
45,882,497,934 |
|
(a)
|
All
or a portion of the shares of the security are on loan at March 31, 2022. |
(b)
|
Non-income
producing security. |
(c)
|
The
Fund invested in an affiliated entity. Amounts related to these transactions during the period ended March 31, 2022 are shown in the Affiliate Table below. |
(d)
|
The
Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended March 31, 2022 are shown in the Affiliate Table below. |
See accompanying notes to financial statements.
20
THE FINANCIAL
SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
(e)
|
The
rate shown is the annualized seven-day yield at March 31, 2022. |
(f)
|
The
Fund invested in an affiliated entity. Amounts related to these transactions during the period ended March 31, 2022 are shown in the Affiliate Table below. |
(g)
|
Investment
of cash collateral for securities loaned. |
(h)
|
Amount
shown represents less than 0.05% of net assets. |
The following table summarizes the value
of the Fund's investments according to the fair value hierarchy as of March 31, 2022.
Description
|
|
Level
1 – Quoted Prices |
|
Level
2 – Other Significant Observable Inputs |
|
Level
3 – Significant Unobservable Inputs |
|
Total
|
ASSETS:
|
|
|
|
|
|
|
|
|
INVESTMENTS:
|
|
|
|
|
|
|
|
|
Common
Stocks
|
|
$45,785,196,867
|
|
$—
|
|
$—
|
|
$45,785,196,867
|
Short-Term
Investments
|
|
109,760,231
|
|
—
|
|
—
|
|
109,760,231
|
TOTAL
INVESTMENTS
|
|
$45,894,957,098
|
|
$—
|
|
$—
|
|
$45,894,957,098
|
Affiliate
Table
|
Number
of Shares Held at 9/30/21 |
|
Value
at 9/30/21 |
|
Cost
of Purchases |
|
Proceeds
from Shares Sold |
|
Realized
Gain (Loss) |
|
Change
in Unrealized Appreciation/ Depreciation |
|
Number
of Shares Held at 3/31/22 |
|
Value
at 3/31/22 |
|
Dividend
Income |
State Street
Corp.
|
3,542,553
|
|
$300,125,090
|
|
$
198,299,582 |
|
$
156,958,115 |
|
$9,661,127
|
|
$(7,801,616)
|
|
3,940,841
|
|
$343,326,068
|
|
$4,416,412
|
State Street Institutional Liquid Reserves Fund, Premier
Class
|
43,504,448
|
|
43,513,149
|
|
722,593,058
|
|
690,134,138
|
|
(14,757)
|
|
4,090
|
|
75,968,999
|
|
75,961,402
|
|
15,818
|
State Street Navigator Securities Lending Portfolio
II
|
3,282,379
|
|
3,282,379
|
|
788,475,015
|
|
757,958,565
|
|
—
|
|
—
|
|
33,798,829
|
|
33,798,829
|
|
31,379
|
Total
|
|
|
$346,920,618
|
|
$1,709,367,655
|
|
$1,605,050,818
|
|
$9,646,370
|
|
$(7,797,526)
|
|
|
|
$453,086,299
|
|
$4,463,609
|
See accompanying notes to financial statements.
21
THE HEALTH CARE
SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS
March 31, 2022 (Unaudited)
Security
Description |
|
|
Shares
|
|
Value
|
COMMON
STOCKS — 99.8% |
|
BIOTECHNOLOGY
— 14.3% |
|
AbbVie,
Inc.
|
|
12,539,850
|
|
$
2,032,835,083 |
Amgen, Inc.
(a)
|
|
3,995,383
|
|
966,163,517
|
Biogen, Inc.
(b)
|
|
1,042,038
|
|
219,453,203
|
Gilead Sciences,
Inc.
|
|
8,897,590
|
|
528,961,726
|
Incyte Corp.
(b)
|
|
1,331,804
|
|
105,771,874
|
Moderna, Inc.
(b)
|
|
2,502,082
|
|
431,008,645
|
Regeneron Pharmaceuticals, Inc.
(b)
|
|
757,034
|
|
528,727,686
|
Vertex Pharmaceuticals, Inc.
(b)
|
|
1,803,533
|
|
470,668,007
|
|
|
|
|
|
5,283,589,741
|
HEALTH
CARE EQUIPMENT & SUPPLIES — 21.1% |
|
Abbott
Laboratories
|
|
12,542,885
|
|
1,484,575,869
|
ABIOMED, Inc.
(b)
|
|
322,745
|
|
106,906,054
|
Align Technology, Inc.
(b)
|
|
520,104
|
|
226,765,344
|
Baxter International,
Inc.
|
|
3,551,543
|
|
275,386,644
|
Becton Dickinson &
Co.
|
|
2,020,074
|
|
537,339,684
|
Boston Scientific Corp.
(b)
|
|
10,107,747
|
|
447,672,115
|
Cooper Cos.,
Inc.
|
|
349,808
|
|
146,076,323
|
DENTSPLY SIRONA,
Inc.
|
|
1,550,647
|
|
76,322,845
|
DexCom, Inc.
(a)
(b)
|
|
687,417
|
|
351,682,537
|
Edwards Lifesciences Corp.
(b)
|
|
4,428,517
|
|
521,325,021
|
Hologic, Inc.
(b)
|
|
1,773,341
|
|
136,228,056
|
IDEXX Laboratories, Inc.
(b)
|
|
601,386
|
|
328,994,225
|
Intuitive Surgical, Inc.
(b)
|
|
2,532,188
|
|
763,910,476
|
Medtronic
PLC
|
|
9,546,014
|
|
1,059,130,253
|
ResMed,
Inc.
|
|
1,033,626
|
|
250,664,641
|
STERIS
PLC
|
|
709,437
|
|
171,520,584
|
Stryker
Corp.
|
|
2,381,531
|
|
636,702,313
|
Teleflex,
Inc.
|
|
332,248
|
|
117,891,558
|
Zimmer Biomet Holdings, Inc.
(a)
|
|
1,481,786
|
|
189,520,429
|
|
|
|
|
|
7,828,614,971
|
HEALTH
CARE PROVIDERS & SERVICES — 22.0% |
|
AmerisourceBergen
Corp.
|
|
1,061,267
|
|
164,188,618
|
Anthem,
Inc.
|
|
1,721,636
|
|
845,702,036
|
Cardinal Health,
Inc.
|
|
1,965,360
|
|
111,435,912
|
Centene Corp.
(b)
|
|
4,138,956
|
|
348,458,706
|
Cigna
Corp.
|
|
2,290,912
|
|
548,925,424
|
CVS Health
Corp.
|
|
9,310,692
|
|
942,335,137
|
DaVita, Inc.
(a)
(b)
|
|
437,221
|
|
49,454,067
|
HCA Healthcare,
Inc.
|
|
1,698,731
|
|
425,735,963
|
Henry Schein, Inc.
(b)
|
|
983,609
|
|
85,760,869
|
Humana,
Inc.
|
|
911,750
|
|
396,766,248
|
Laboratory Corp. of America Holdings
(b)
|
|
660,438
|
|
174,131,083
|
McKesson
Corp.
|
|
1,062,635
|
|
325,304,453
|
Molina Healthcare, Inc.
(b)
|
|
416,058
|
|
138,792,788
|
Quest Diagnostics,
Inc.
|
|
844,224
|
|
115,540,497
|
UnitedHealth Group,
Inc.
|
|
6,680,788
|
|
3,407,001,456
|
Universal Health Services, Inc. Class
B |
|
518,616
|
|
75,173,389
|
|
|
|
|
|
8,154,706,646
|
Security
Description |
|
|
Shares
|
|
Value
|
HEALTH
CARE TECHNOLOGY — 0.5% |
|
Cerner
Corp.
|
|
2,086,947
|
|
$
195,254,761 |
LIFE
SCIENCES TOOLS & SERVICES — 13.5% |
|
Agilent Technologies,
Inc.
|
|
2,130,728
|
|
281,959,236
|
Bio-Rad Laboratories, Inc. Class A
(b)
|
|
153,180
|
|
86,275,571
|
Bio-Techne
Corp.
|
|
278,825
|
|
120,742,378
|
Charles River Laboratories International, Inc.
(b)
|
|
357,857
|
|
101,620,652
|
Danaher
Corp.
|
|
4,511,050
|
|
1,323,226,297
|
Illumina, Inc.
(b)
|
|
1,108,601
|
|
387,345,190
|
IQVIA Holdings, Inc.
(b)
|
|
1,355,096
|
|
313,311,746
|
Mettler-Toledo International, Inc.
(b)
|
|
162,973
|
|
223,792,894
|
PerkinElmer, Inc.
(a)
|
|
895,142
|
|
156,166,473
|
Thermo Fisher Scientific,
Inc.
|
|
2,795,069
|
|
1,650,907,505
|
Waters Corp.
(b)
|
|
432,898
|
|
134,367,210
|
West Pharmaceutical Services,
Inc.
|
|
525,400
|
|
215,787,034
|
|
|
|
|
|
4,995,502,186
|
PHARMACEUTICALS
— 28.4% |
|
Bristol-Myers Squibb
Co.
|
|
15,462,510
|
|
1,129,227,105
|
Catalent, Inc.
(b)
|
|
1,270,563
|
|
140,905,437
|
Eli Lilly &
Co.
|
|
5,631,810
|
|
1,612,781,430
|
Johnson &
Johnson
|
|
18,673,567
|
|
3,309,516,280
|
Merck & Co.,
Inc.
|
|
17,916,988
|
|
1,470,088,865
|
Organon & Co.
(a)
|
|
1,798,424
|
|
62,818,950
|
Pfizer,
Inc.
|
|
39,813,239
|
|
2,061,131,383
|
Viatris,
Inc.
|
|
8,578,508
|
|
93,334,167
|
Zoetis,
Inc.
|
|
3,355,917
|
|
632,892,387
|
|
|
|
|
|
10,512,696,004
|
TOTAL COMMON STOCKS (Cost
$35,146,113,685)
|
|
|
|
|
36,970,364,309
|
SHORT-TERM
INVESTMENTS — 0.2% |
|
|
|
State Street Institutional Liquid Reserves Fund, Premier Class 0.31%
(c)
(d)
|
|
33,431,248
|
|
33,427,905
|
State Street Navigator Securities Lending Portfolio II
(e)
(f)
|
|
21,331,314
|
|
21,331,314
|
TOTAL SHORT-TERM INVESTMENTS (Cost
$54,754,900)
|
|
54,759,219
|
|
TOTAL INVESTMENTS — 100.0% (Cost
$35,200,868,585)
|
|
37,025,123,528
|
|
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.0%
(g)
|
|
6,887,018
|
|
NET ASSETS —
100.0%
|
|
$
37,032,010,546 |
|
(a)
|
All
or a portion of the shares of the security are on loan at March 31, 2022. |
(b)
|
Non-income
producing security. |
(c)
|
The
Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended March 31, 2022 are shown in the Affiliate Table below. |
See accompanying notes to financial statements.
22
THE HEALTH CARE
SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
(d)
|
The
rate shown is the annualized seven-day yield at March 31, 2022. |
(e)
|
The
Fund invested in an affiliated entity. Amounts related to these transactions during the period ended March 31, 2022 are shown in the Affiliate Table below. |
(f)
|
Investment
of cash collateral for securities loaned. |
(g)
|
Amount
is less than 0.05% of net assets. |
The following table summarizes the value
of the Fund's investments according to the fair value hierarchy as of March 31, 2022.
Description
|
|
Level
1 – Quoted Prices |
|
Level
2 – Other Significant Observable Inputs |
|
Level
3 – Significant Unobservable Inputs |
|
Total
|
ASSETS:
|
|
|
|
|
|
|
|
|
INVESTMENTS:
|
|
|
|
|
|
|
|
|
Common
Stocks
|
|
$36,970,364,309
|
|
$—
|
|
$—
|
|
$36,970,364,309
|
Short-Term
Investments
|
|
54,759,219
|
|
—
|
|
—
|
|
54,759,219
|
TOTAL
INVESTMENTS
|
|
$37,025,123,528
|
|
$—
|
|
$—
|
|
$37,025,123,528
|
Affiliate
Table
|
Number
of Shares Held at 9/30/21 |
|
Value
at 9/30/21 |
|
Cost
of Purchases |
|
Proceeds
from Shares Sold |
|
Realized
Gain (Loss) |
|
Change
in Unrealized Appreciation/ Depreciation |
|
Number
of Shares Held at 3/31/22 |
|
Value
at 3/31/22 |
|
Dividend
Income |
State Street Institutional Liquid Reserves Fund, Premier
Class
|
28,313,341
|
|
$28,319,003
|
|
$
343,066,851 |
|
$
337,949,941 |
|
$(9,442)
|
|
$1,434
|
|
33,431,248
|
|
$33,427,905
|
|
$14,807
|
State Street Navigator Securities Lending Portfolio
II
|
27,800
|
|
27,800
|
|
870,114,470
|
|
848,810,956
|
|
—
|
|
—
|
|
21,331,314
|
|
21,331,314
|
|
28,500
|
Total
|
|
|
$28,346,803
|
|
$1,213,181,321
|
|
$1,186,760,897
|
|
$(9,442)
|
|
$1,434
|
|
|
|
$54,759,219
|
|
$43,307
|
See accompanying notes to financial statements.
23
THE INDUSTRIAL
SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS
March 31, 2022 (Unaudited)
Security
Description |
|
|
Shares
|
|
Value
|
COMMON
STOCKS — 99.8% |
|
AEROSPACE
& DEFENSE — 20.0% |
|
Boeing Co.
(a)
|
|
2,935,806
|
|
$
562,206,849 |
General Dynamics
Corp.
|
|
1,234,866
|
|
297,824,982
|
Howmet Aerospace,
Inc.
|
|
2,032,728
|
|
73,056,244
|
Huntington Ingalls Industries,
Inc.
|
|
214,050
|
|
42,690,132
|
L3Harris Technologies,
Inc.
|
|
1,051,562
|
|
261,281,610
|
Lockheed Martin
Corp.
|
|
1,298,101
|
|
572,981,781
|
Northrop Grumman
Corp.
|
|
785,808
|
|
351,429,054
|
Raytheon Technologies
Corp.
|
|
7,994,754
|
|
792,040,279
|
Textron,
Inc.
|
|
1,181,147
|
|
87,853,714
|
TransDigm Group, Inc.
(a)
|
|
282,411
|
|
184,002,063
|
|
|
|
|
|
3,225,366,708
|
AIR
FREIGHT & LOGISTICS — 8.1% |
|
C.H. Robinson Worldwide, Inc.
(b)
|
|
696,509
|
|
75,020,984
|
Expeditors International of Washington,
Inc.
|
|
907,755
|
|
93,644,006
|
FedEx
Corp.
|
|
1,306,094
|
|
302,217,091
|
United Parcel Service, Inc. Class
B |
|
3,907,233
|
|
837,945,189
|
|
|
|
|
|
1,308,827,270
|
AIRLINES
— 2.9% |
|
Alaska Air Group, Inc.
(a)
|
|
674,821
|
|
39,146,366
|
American Airlines Group, Inc.
(a)
(b)
|
|
3,470,873
|
|
63,343,432
|
Delta Air Lines, Inc.
(a)
|
|
3,429,506
|
|
135,705,553
|
Southwest Airlines Co.
(a)
|
|
3,174,093
|
|
145,373,460
|
United Airlines Holdings, Inc.
(a)
|
|
1,735,215
|
|
80,444,567
|
|
|
|
|
|
464,013,378
|
BUILDING
PRODUCTS — 5.4% |
|
A.O. Smith
Corp.
|
|
703,833
|
|
44,967,891
|
Allegion
PLC
|
|
480,619
|
|
52,762,354
|
Carrier Global
Corp.
|
|
4,582,228
|
|
210,186,798
|
Fortune Brands Home & Security,
Inc.
|
|
727,322
|
|
54,025,478
|
Johnson Controls International
PLC
|
|
3,763,919
|
|
246,800,169
|
Masco
Corp.
|
|
1,284,855
|
|
65,527,605
|
Trane Technologies
PLC
|
|
1,250,670
|
|
190,977,309
|
|
|
|
|
|
865,247,604
|
CAPITAL
MARKETS — 0.0% (c) |
|
S&P Global,
Inc.
|
|
2
|
|
820
|
COMMERCIAL
SERVICES & SUPPLIES — 5.3% |
|
Cintas
Corp.
|
|
472,517
|
|
201,004,007
|
Copart, Inc.
(a)
|
|
1,143,881
|
|
143,522,749
|
Republic Services,
Inc.
|
|
1,119,025
|
|
148,270,813
|
Rollins, Inc.
(b)
|
|
1,208,962
|
|
42,374,118
|
Waste Management,
Inc.
|
|
2,062,223
|
|
326,862,345
|
|
|
|
|
|
862,034,032
|
CONSTRUCTION
& ENGINEERING — 0.6% |
|
Quanta Services,
Inc.
|
|
763,535
|
|
100,488,841
|
ELECTRICAL
EQUIPMENT — 6.7% |
|
AMETEK,
Inc.
|
|
1,239,646
|
|
165,096,054
|
Security
Description |
|
|
Shares
|
|
Value
|
Eaton Corp.
PLC
|
|
2,135,892
|
|
$
324,142,970 |
Emerson Electric
Co.
|
|
3,182,195
|
|
312,014,220
|
Generac Holdings, Inc.
(a)
(b)
|
|
338,081
|
|
100,497,958
|
Rockwell Automation, Inc.
(b)
|
|
622,742
|
|
174,386,442
|
|
|
|
|
|
1,076,137,644
|
INDUSTRIAL
CONGLOMERATES — 12.2% |
|
3M
Co.
|
|
3,059,267
|
|
455,463,671
|
General Electric
Co.
|
|
5,890,922
|
|
539,019,363
|
Honeywell International,
Inc.
|
|
3,674,489
|
|
714,982,070
|
Roper Technologies,
Inc.
|
|
565,279
|
|
266,941,702
|
|
|
|
|
|
1,976,406,806
|
MACHINERY
— 19.7% |
|
Caterpillar,
Inc.
|
|
2,898,566
|
|
645,858,476
|
Cummins,
Inc.
|
|
763,107
|
|
156,520,877
|
Deere &
Co.
|
|
1,502,575
|
|
624,259,810
|
Dover
Corp.
|
|
771,597
|
|
121,063,569
|
Fortive
Corp.
|
|
1,921,404
|
|
117,071,146
|
IDEX
Corp.
|
|
407,403
|
|
78,111,377
|
Illinois Tool Works,
Inc.
|
|
1,530,559
|
|
320,499,055
|
Ingersoll Rand,
Inc.
|
|
2,183,965
|
|
109,962,638
|
Nordson
Corp.
|
|
290,026
|
|
65,859,104
|
Otis Worldwide
Corp.
|
|
2,277,251
|
|
175,234,464
|
PACCAR,
Inc.
|
|
1,861,053
|
|
163,902,938
|
Parker-Hannifin Corp.
(b)
|
|
688,345
|
|
195,324,777
|
Pentair
PLC
|
|
886,686
|
|
48,067,248
|
Snap-on,
Inc.
|
|
286,955
|
|
58,963,513
|
Stanley Black & Decker, Inc.
(b)
|
|
873,608
|
|
122,121,662
|
Westinghouse Air Brake Technologies
Corp.
|
|
1,001,116
|
|
96,277,326
|
Xylem,
Inc.
|
|
966,317
|
|
82,388,187
|
|
|
|
|
|
3,181,486,167
|
PROFESSIONAL
SERVICES — 3.9% |
|
Equifax,
Inc.
|
|
653,673
|
|
154,985,869
|
Jacobs Engineering Group,
Inc.
|
|
692,217
|
|
95,394,425
|
Leidos Holdings,
Inc.
|
|
751,998
|
|
81,230,824
|
Nielsen Holdings
PLC
|
|
1,916,505
|
|
52,205,596
|
Robert Half International,
Inc.
|
|
586,346
|
|
66,948,986
|
Verisk Analytics, Inc.
(b)
|
|
863,678
|
|
185,371,209
|
|
|
|
|
|
636,136,909
|
ROAD
& RAIL — 12.3% |
|
CSX
Corp.
|
|
11,885,102
|
|
445,097,070
|
JB Hunt Transport Services,
Inc.
|
|
450,120
|
|
90,379,595
|
Norfolk Southern
Corp.
|
|
1,284,220
|
|
366,285,228
|
Old Dominion Freight Line, Inc.
(b)
|
|
499,202
|
|
149,101,653
|
Union Pacific
Corp.
|
|
3,411,699
|
|
932,110,284
|
|
|
|
|
|
1,982,973,830
|
TRADING
COMPANIES & DISTRIBUTORS — 2.7% |
|
Fastenal
Co.
|
|
3,084,168
|
|
183,199,579
|
United Rentals, Inc.
(a)
|
|
388,054
|
|
137,840,662
|
See accompanying notes to financial statements.
24
THE INDUSTRIAL
SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
Security
Description |
|
|
Shares
|
|
Value
|
W.W. Grainger,
Inc.
|
|
231,847
|
|
$
119,584,364 |
|
|
|
|
|
440,624,605
|
TOTAL COMMON STOCKS (Cost
$17,429,019,090)
|
|
|
|
|
16,119,744,614
|
SHORT-TERM
INVESTMENTS — 0.4% |
|
|
|
State Street Institutional Liquid Reserves Fund, Premier Class 0.31%
(d)
(e)
|
|
23,820,336
|
|
23,817,954
|
State Street Navigator Securities Lending Portfolio II
(f)
(g)
|
|
43,019,956
|
|
43,019,956
|
TOTAL SHORT-TERM INVESTMENTS (Cost
$66,835,569)
|
|
66,837,910
|
|
TOTAL INVESTMENTS — 100.2% (Cost
$17,495,854,659)
|
|
16,186,582,524
|
|
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.2)%
|
|
(35,656,680)
|
|
NET ASSETS —
100.0%
|
|
$
16,150,925,844 |
|
(a)
|
Non-income
producing security. |
(b)
|
All
or a portion of the shares of the security are on loan at March 31, 2022. |
(c)
|
Amount
is less than 0.05% of net assets. |
(d)
|
The
Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended March 31, 2022 are shown in the Affiliate Table below. |
(e)
|
The
rate shown is the annualized seven-day yield at March 31, 2022. |
(f)
|
The
Fund invested in an affiliated entity. Amounts related to these transactions during the period ended March 31, 2022 are shown in the Affiliate Table below. |
(g)
|
Investment
of cash collateral for securities loaned. |
At March 31, 2022, open futures contracts
were as follows:
Description
|
|
Number
of Contracts |
|
Expiration
Date |
|
Notional
Amount |
|
Value
|
|
Unrealized
Appreciation (Depreciation) |
E-mini
S&P 500 Industrial Select Sector Index (long) |
|
285
|
|
06/17/2022
|
|
$27,893,876
|
|
$29,537,400
|
|
$1,643,524
|
During the
period ended March 31, 2022, average notional value related to futures contracts was $40,980,414.
The following table summarizes the value
of the Fund's investments according to the fair value hierarchy as of March 31, 2022.
Description
|
|
Level
1 – Quoted Prices |
|
Level
2 – Other Significant Observable Inputs |
|
Level
3 – Significant Unobservable Inputs |
|
Total
|
ASSETS:
|
|
|
|
|
|
|
|
|
INVESTMENTS:
|
|
|
|
|
|
|
|
|
Common
Stocks
|
|
$16,119,744,614
|
|
$—
|
|
$—
|
|
$16,119,744,614
|
Short-Term
Investments
|
|
66,837,910
|
|
—
|
|
—
|
|
66,837,910
|
TOTAL
INVESTMENTS
|
|
$16,186,582,524
|
|
$—
|
|
$—
|
|
$16,186,582,524
|
OTHER
FINANCIAL INSTRUMENTS: |
|
|
|
|
|
|
|
|
Futures
Contracts(a)
|
|
1,643,524
|
|
—
|
|
—
|
|
1,643,524
|
TOTAL OTHER FINANCIAL
INSTRUMENTS:
|
|
$
1,643,524 |
|
$—
|
|
$—
|
|
$
1,643,524 |
(a)
|
Futures
Contracts are valued at unrealized appreciation (depreciation). |
See accompanying notes to financial statements.
25
THE INDUSTRIAL
SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
Affiliate Table
|
Number
of Shares Held at 9/30/21 |
|
Value
at 9/30/21 |
|
Cost
of Purchases |
|
Proceeds
from Shares Sold |
|
Realized
Gain (Loss) |
|
Change
in Unrealized Appreciation/ Depreciation |
|
Number
of Shares Held at 3/31/22 |
|
Value
at 3/31/22 |
|
Dividend
Income |
State Street Institutional Liquid Reserves Fund, Premier
Class
|
54,880,923
|
|
$54,891,899
|
|
$176,063,731
|
|
$207,134,340
|
|
$(5,677)
|
|
$2,341
|
|
23,820,336
|
|
$23,817,954
|
|
$10,660
|
State Street Navigator Securities Lending Portfolio
II
|
11,459,054
|
|
11,459,054
|
|
720,230,011
|
|
688,669,109
|
|
—
|
|
—
|
|
43,019,956
|
|
43,019,956
|
|
36,946
|
Total
|
|
|
$66,350,953
|
|
$896,293,742
|
|
$895,803,449
|
|
$(5,677)
|
|
$2,341
|
|
|
|
$66,837,910
|
|
$47,606
|
See accompanying notes to financial statements.
26
THE MATERIALS
SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS
March 31, 2022 (Unaudited)
Security
Description |
|
|
Shares
|
|
Value
|
COMMON
STOCKS — 99.8% |
|
CHEMICALS
— 65.8% |
|
Air Products & Chemicals,
Inc.
|
|
1,707,812
|
|
$
426,799,297 |
Albemarle
Corp.
|
|
900,980
|
|
199,251,727
|
Celanese
Corp.
|
|
832,095
|
|
118,881,413
|
CF Industries Holdings,
Inc.
|
|
1,652,053
|
|
170,260,582
|
Corteva,
Inc.
|
|
5,600,070
|
|
321,892,024
|
Dow,
Inc.
|
|
5,667,200
|
|
361,113,984
|
DuPont de Nemours,
Inc.
|
|
3,950,746
|
|
290,695,891
|
Eastman Chemical
Co.
|
|
993,629
|
|
111,346,066
|
Ecolab,
Inc.
|
|
1,920,347
|
|
339,056,466
|
FMC
Corp.
|
|
976,273
|
|
128,448,239
|
International Flavors & Fragrances,
Inc.
|
|
1,960,736
|
|
257,503,459
|
Linde PLC
(a)
|
|
3,948,075
|
|
1,261,133,597
|
LyondellBasell Industries NV Class
A |
|
2,025,004
|
|
208,210,911
|
Mosaic
Co.
|
|
2,853,217
|
|
189,738,930
|
PPG Industries,
Inc.
|
|
1,828,616
|
|
239,676,699
|
Sherwin-Williams
Co.
|
|
1,858,080
|
|
463,813,929
|
|
|
|
|
|
5,087,823,214
|
CONSTRUCTION
MATERIALS — 4.8% |
|
Martin Marietta Materials,
Inc.
|
|
480,505
|
|
184,941,570
|
Vulcan Materials
Co.
|
|
1,022,183
|
|
187,775,017
|
|
|
|
|
|
372,716,587
|
CONTAINERS
& PACKAGING — 11.6% |
|
Amcor PLC
(b)
|
|
11,659,812
|
|
132,105,670
|
Avery Dennison
Corp.
|
|
637,734
|
|
110,946,584
|
Ball Corp.
(b)
|
|
2,494,821
|
|
224,533,890
|
International Paper
Co.
|
|
2,983,023
|
|
137,666,512
|
Packaging Corp. of
America
|
|
731,655
|
|
114,218,662
|
Sealed Air
Corp.
|
|
1,141,217
|
|
76,415,890
|
Westrock
Co.
|
|
2,027,427
|
|
95,349,892
|
|
|
|
|
|
891,237,100
|
Security
Description |
|
|
Shares
|
|
Value
|
METALS
& MINING — 17.6% |
|
Freeport-McMoRan,
Inc.
|
|
11,308,069
|
|
$
562,463,352 |
Newmont
Corp.
|
|
6,142,418
|
|
488,015,110
|
Nucor Corp.
(b)
|
|
2,095,169
|
|
311,446,872
|
|
|
|
|
|
1,361,925,334
|
TOTAL COMMON STOCKS (Cost
$7,729,972,927)
|
|
|
|
|
7,713,702,235
|
SHORT-TERM
INVESTMENTS — 0.2% |
|
|
|
State Street Institutional Liquid Reserves Fund, Premier Class 0.31%
(c)
(d)
|
|
9,254,175
|
|
9,253,249
|
State Street Navigator Securities Lending Portfolio II
(e)
(f)
|
|
10,589,732
|
|
10,589,732
|
TOTAL SHORT-TERM INVESTMENTS (Cost
$19,841,985)
|
|
19,842,981
|
|
TOTAL INVESTMENTS — 100.0% (Cost
$7,749,814,912)
|
|
7,733,545,216
|
|
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.0)%
(g)
|
|
(3,285,834)
|
|
NET ASSETS —
100.0%
|
|
$
7,730,259,382 |
|
(a)
|
Non-income
producing security. |
(b)
|
All
or a portion of the shares of the security are on loan at March 31, 2022. |
(c)
|
The
Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended March 31, 2022 are shown in the Affiliate Table below. |
(d)
|
The
rate shown is the annualized seven-day yield at March 31, 2022. |
(e)
|
The
Fund invested in an affiliated entity. Amounts related to these transactions during the period ended March 31, 2022 are shown in the Affiliate Table below. |
(f)
|
Investment
of cash collateral for securities loaned. |
(g)
|
Amount
is less than 0.05% of net assets. |
The following table summarizes the value
of the Fund's investments according to the fair value hierarchy as of March 31, 2022.
Description
|
|
Level
1 – Quoted Prices |
|
Level
2 – Other Significant Observable Inputs |
|
Level
3 – Significant Unobservable Inputs |
|
Total
|
ASSETS:
|
|
|
|
|
|
|
|
|
INVESTMENTS:
|
|
|
|
|
|
|
|
|
Common
Stocks
|
|
$7,713,702,235
|
|
$—
|
|
$—
|
|
$7,713,702,235
|
Short-Term
Investments
|
|
19,842,981
|
|
—
|
|
—
|
|
19,842,981
|
TOTAL
INVESTMENTS
|
|
$7,733,545,216
|
|
$—
|
|
$—
|
|
$7,733,545,216
|
See accompanying notes to financial statements.
27
THE MATERIALS
SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
Affiliate Table
|
Number
of Shares Held at 9/30/21 |
|
Value
at 9/30/21 |
|
Cost
of Purchases |
|
Proceeds
from Shares Sold |
|
Realized
Gain (Loss) |
|
Change
in Unrealized Appreciation/ Depreciation |
|
Number
of Shares Held at 3/31/22 |
|
Value
at 3/31/22 |
|
Dividend
Income |
State Street Institutional Liquid Reserves Fund, Premier
Class
|
8,680,014
|
|
$8,681,750
|
|
$104,697,634
|
|
$104,126,188
|
|
$(943)
|
|
$996
|
|
9,254,175
|
|
$
9,253,249 |
|
$
— |
State Street Navigator Securities Lending Portfolio
II
|
—
|
|
—
|
|
138,189,752
|
|
127,600,020
|
|
—
|
|
—
|
|
10,589,732
|
|
10,589,732
|
|
4,378
|
Total
|
|
|
$8,681,750
|
|
$242,887,386
|
|
$231,726,208
|
|
$(943)
|
|
$996
|
|
|
|
$19,842,981
|
|
$4,378
|
See accompanying notes to financial statements.
28
THE REAL ESTATE
SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS
March 31, 2022 (Unaudited)
Security
Description |
|
|
Shares
|
|
Value
|
COMMON
STOCKS — 99.8% |
|
EQUITY
REAL ESTATE INVESTMENT TRUSTS (REITs) — 96.9% |
|
Alexandria Real Estate Equities, Inc.
REIT
|
|
798,602
|
|
$
160,718,652 |
American Tower Corp.
REIT
|
|
2,498,595
|
|
627,697,036
|
AvalonBay Communities, Inc.
REIT
|
|
766,784
|
|
190,446,142
|
Boston Properties, Inc.
REIT
|
|
779,922
|
|
100,453,954
|
Crown Castle International Corp.
REIT
|
|
2,371,292
|
|
437,740,503
|
Digital Realty Trust, Inc.
REIT
|
|
1,556,968
|
|
220,778,062
|
Duke Realty Corp.
REIT
|
|
2,089,557
|
|
121,319,679
|
Equinix, Inc.
REIT
|
|
493,973
|
|
366,340,256
|
Equity Residential
REIT
|
|
1,874,923
|
|
168,593,076
|
Essex Property Trust, Inc.
REIT
|
|
358,020
|
|
123,688,750
|
Extra Space Storage, Inc.
REIT
|
|
734,598
|
|
151,033,349
|
Federal Realty Investment Trust
REIT
|
|
388,258
|
|
47,394,654
|
Healthpeak Properties, Inc.
REIT
|
|
2,958,906
|
|
101,579,243
|
Host Hotels & Resorts, Inc.
REIT
|
|
3,917,494
|
|
76,116,908
|
Iron Mountain, Inc.
REIT
|
|
1,588,598
|
|
88,024,215
|
Kimco Realty Corp.
REIT
|
|
3,383,282
|
|
83,567,065
|
Mid-America Apartment Communities, Inc.
REIT
|
|
632,777
|
|
132,535,143
|
Prologis, Inc.
REIT
|
|
4,059,966
|
|
655,603,310
|
Public Storage
REIT
|
|
837,019
|
|
326,671,775
|
Realty Income Corp.
REIT
|
|
3,104,051
|
|
215,110,734
|
Regency Centers Corp.
REIT
|
|
845,470
|
|
60,315,830
|
SBA Communications Corp.
REIT
|
|
596,849
|
|
205,375,741
|
Simon Property Group, Inc.
REIT
|
|
1,802,871
|
|
237,185,709
|
Security
Description |
|
|
Shares
|
|
Value
|
UDR, Inc.
REIT
|
|
1,640,751
|
|
$
94,129,885 |
Ventas, Inc.
REIT
|
|
2,190,089
|
|
135,259,897
|
Vornado Realty Trust
REIT
|
|
874,697
|
|
39,641,268
|
Welltower, Inc.
REIT
|
|
2,388,163
|
|
229,597,991
|
Weyerhaeuser Co.
REIT
|
|
4,099,984
|
|
155,389,394
|
|
|
|
|
|
5,552,308,221
|
REAL
ESTATE MANAGEMENT & DEVELOPMENT — 2.9% |
|
CBRE Group, Inc. Class A
(a)
|
|
1,836,119
|
|
168,041,611
|
TOTAL COMMON STOCKS (Cost
$5,668,906,459)
|
|
|
|
|
5,720,349,832
|
SHORT-TERM
INVESTMENT — 0.3% |
|
|
|
State Street Institutional Liquid Reserves Fund, Premier Class 0.31% (b) (c) (Cost
$13,193,557)
|
|
13,194,981
|
|
13,193,662
|
TOTAL INVESTMENTS — 100.1% (Cost
$5,682,100,016)
|
|
5,733,543,494
|
|
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.1)%
|
|
(3,344,807)
|
|
NET ASSETS —
100.0%
|
|
$
5,730,198,687 |
|
(a)
|
Non-income
producing security. |
(b)
|
The
Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended March 31, 2022 are shown in the Affiliate Table below. |
(c)
|
The
rate shown is the annualized seven-day yield at March 31, 2022. |
REIT
|
Real
Estate Investment Trust |
At March 31, 2022, open futures contracts
were as follows:
Description
|
|
Number
of Contracts |
|
Expiration
Date |
|
Notional
Amount |
|
Value
|
|
Unrealized
Appreciation (Depreciation) |
E-mini
S&P 500 Real Estate Select Sector Index (long) |
|
163
|
|
06/17/2022
|
|
$9,105,141
|
|
$9,612,925
|
|
$507,784
|
During the
period ended March 31, 2022, average notional value related to futures contracts was $5,724,691.
The following table summarizes the value
of the Fund's investments according to the fair value hierarchy as of March 31, 2022.
Description
|
|
Level
1 – Quoted Prices |
|
Level
2 – Other Significant Observable Inputs |
|
Level
3 – Significant Unobservable Inputs |
|
Total
|
ASSETS:
|
|
|
|
|
|
|
|
|
INVESTMENTS:
|
|
|
|
|
|
|
|
|
Common
Stocks
|
|
$5,720,349,832
|
|
$—
|
|
$—
|
|
$5,720,349,832
|
Short-Term
Investment
|
|
13,193,662
|
|
—
|
|
—
|
|
13,193,662
|
See accompanying notes to financial statements.
29
THE REAL ESTATE
SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
Description
|
|
Level
1 – Quoted Prices |
|
Level
2 – Other Significant Observable Inputs |
|
Level
3 – Significant Unobservable Inputs |
|
Total
|
TOTAL
INVESTMENTS
|
|
$5,733,543,494
|
|
$—
|
|
$—
|
|
$5,733,543,494
|
OTHER
FINANCIAL INSTRUMENTS: |
|
|
|
|
|
|
|
|
Futures
Contracts(a)
|
|
507,784
|
|
—
|
|
—
|
|
507,784
|
TOTAL OTHER FINANCIAL
INSTRUMENTS:
|
|
$
507,784 |
|
$—
|
|
$—
|
|
$
507,784 |
(a)
|
Futures
Contracts are valued at unrealized appreciation (depreciation). |
Affiliate Table
|
Number
of Shares Held at 9/30/21 |
|
Value
at 9/30/21 |
|
Cost
of Purchases |
|
Proceeds
from Shares Sold |
|
Realized
Gain (Loss) |
|
Change
in Unrealized Appreciation/ Depreciation |
|
Number
of Shares Held at 3/31/22 |
|
Value
at 3/31/22 |
|
Dividend
Income |
State Street Institutional Liquid Reserves Fund, Premier
Class
|
4,783,509
|
|
$
4,784,465 |
|
$141,612,630
|
|
$133,203,168
|
|
$(370)
|
|
$105
|
|
13,194,981
|
|
$13,193,662
|
|
$
1,086 |
State Street Navigator Securities Lending Portfolio
II
|
11,462,368
|
|
11,462,368
|
|
67,079,975
|
|
78,542,343
|
|
—
|
|
—
|
|
—
|
|
—
|
|
9,141
|
Total
|
|
|
$16,246,833
|
|
$208,692,605
|
|
$211,745,511
|
|
$(370)
|
|
$105
|
|
|
|
$13,193,662
|
|
$10,227
|
See accompanying notes to financial statements.
30
THE TECHNOLOGY
SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS
March 31, 2022 (Unaudited)
Security
Description |
|
|
Shares
|
|
Value
|
COMMON
STOCKS — 99.8% |
|
COMMUNICATIONS
EQUIPMENT — 3.3% |
|
Arista Networks, Inc.
(a)
|
|
1,065,928
|
|
$
148,142,673 |
Cisco Systems,
Inc.
|
|
20,041,707
|
|
1,117,525,582
|
F5, Inc.
(a)
|
|
288,598
|
|
60,302,552
|
Juniper Networks,
Inc.
|
|
1,545,231
|
|
57,420,784
|
Motorola Solutions,
Inc.
|
|
802,633
|
|
194,397,713
|
|
|
|
|
|
1,577,789,304
|
ELECTRONIC
EQUIPMENT, INSTRUMENTS & COMPONENTS — 2.4% |
|
Amphenol Corp. Class
A |
|
2,846,106
|
|
214,454,087
|
CDW
Corp.
|
|
644,971
|
|
115,378,862
|
Corning,
Inc.
|
|
3,549,705
|
|
131,019,612
|
IPG Photonics Corp.
(a)
|
|
169,752
|
|
18,631,979
|
Keysight Technologies, Inc.
(a)
|
|
869,775
|
|
137,398,357
|
TE Connectivity,
Ltd.
|
|
1,547,077
|
|
202,636,145
|
Teledyne Technologies, Inc.
(a)
|
|
221,739
|
|
104,800,504
|
Trimble, Inc.
(a)
|
|
1,192,784
|
|
86,047,438
|
Zebra Technologies Corp. Class A
(a)
|
|
252,226
|
|
104,345,896
|
|
|
|
|
|
1,114,712,880
|
IT
SERVICES — 16.3% |
|
Accenture PLC Class
A |
|
3,003,153
|
|
1,012,753,286
|
Akamai Technologies, Inc.
(a)
(b)
|
|
772,066
|
|
92,176,960
|
Automatic Data Processing,
Inc.
|
|
1,996,019
|
|
454,174,163
|
Broadridge Financial Solutions,
Inc.
|
|
554,864
|
|
86,397,873
|
Cognizant Technology Solutions Corp. Class
A |
|
2,495,943
|
|
223,811,209
|
DXC Technology Co.
(a)
|
|
1,161,738
|
|
37,907,511
|
EPAM Systems, Inc.
(a)
|
|
269,535
|
|
79,946,776
|
Fidelity National Information Services,
Inc.
|
|
2,893,624
|
|
290,577,722
|
Fiserv, Inc.
(a)
|
|
2,823,649
|
|
286,318,009
|
FleetCor Technologies, Inc.
(a)
|
|
385,831
|
|
96,095,069
|
Gartner, Inc.
(a)
|
|
390,755
|
|
116,233,982
|
Global Payments,
Inc.
|
|
1,353,150
|
|
185,165,046
|
International Business Machines
Corp.
|
|
4,261,490
|
|
554,078,930
|
Jack Henry & Associates, Inc.
(b)
|
|
346,061
|
|
68,191,320
|
Mastercard, Inc. Class
A |
|
4,101,194
|
|
1,465,684,712
|
Paychex,
Inc.
|
|
1,525,725
|
|
208,215,691
|
PayPal Holdings, Inc.
(a)
|
|
5,535,994
|
|
640,237,706
|
VeriSign, Inc.
(a)
|
|
459,219
|
|
102,157,859
|
Visa, Inc. Class A
(b)
|
|
7,880,708
|
|
1,747,704,613
|
|
|
|
|
|
7,747,828,437
|
SEMICONDUCTORS
& SEMICONDUCTOR EQUIPMENT — 20.6% |
|
Advanced Micro Devices, Inc.
(a)
|
|
7,768,405
|
|
849,397,403
|
Analog Devices,
Inc.
|
|
2,496,359
|
|
412,348,580
|
Applied Materials,
Inc.
|
|
4,219,655
|
|
556,150,529
|
Broadcom,
Inc.
|
|
1,961,983
|
|
1,235,421,455
|
Enphase Energy, Inc.
(a)
|
|
636,442
|
|
128,421,267
|
Intel
Corp.
|
|
19,349,732
|
|
958,972,718
|
Security
Description |
|
|
Shares
|
|
Value
|
KLA
Corp.
|
|
716,207
|
|
$
262,174,734 |
Lam Research
Corp.
|
|
662,919
|
|
356,391,883
|
Microchip Technology,
Inc.
|
|
2,642,003
|
|
198,520,105
|
Micron Technology,
Inc.
|
|
5,321,054
|
|
414,456,896
|
Monolithic Power Systems,
Inc.
|
|
205,923
|
|
100,012,683
|
NVIDIA
Corp.
|
|
7,841,663
|
|
2,139,676,166
|
NXP Semiconductors
NV
|
|
1,263,649
|
|
233,876,157
|
Qorvo, Inc.
(a)
|
|
515,286
|
|
63,946,993
|
QUALCOMM,
Inc.
|
|
5,355,351
|
|
818,404,740
|
Skyworks Solutions,
Inc.
|
|
779,372
|
|
103,874,700
|
SolarEdge Technologies, Inc.
(a)
|
|
249,605
|
|
80,465,164
|
Teradyne, Inc.
(b)
|
|
774,594
|
|
91,580,249
|
Texas Instruments,
Inc.
|
|
4,388,633
|
|
805,226,383
|
|
|
|
|
|
9,809,318,805
|
SOFTWARE
— 33.2% |
|
Adobe, Inc.
(a)
|
|
2,241,503
|
|
1,021,273,597
|
ANSYS, Inc.
(a)
|
|
414,629
|
|
131,706,902
|
Autodesk, Inc.
(a)
|
|
1,045,243
|
|
224,047,837
|
Cadence Design Systems, Inc.
(a)
|
|
1,316,914
|
|
216,579,676
|
Ceridian HCM Holding, Inc.
(a)
|
|
650,030
|
|
44,436,051
|
Citrix Systems,
Inc.
|
|
592,667
|
|
59,800,100
|
Fortinet, Inc.
(a)
|
|
644,911
|
|
220,391,885
|
Intuit,
Inc.
|
|
1,345,564
|
|
647,000,994
|
Microsoft
Corp.
|
|
34,177,769
|
|
10,537,347,960
|
NortonLifeLock, Inc.
(b)
|
|
2,764,983
|
|
73,327,349
|
Oracle
Corp.
|
|
7,486,958
|
|
619,396,035
|
Paycom Software, Inc.
(a)
|
|
228,817
|
|
79,257,632
|
PTC, Inc.
(a)
|
|
500,141
|
|
53,875,189
|
salesforce.com, Inc.
(a)
|
|
4,680,603
|
|
993,785,629
|
ServiceNow, Inc.
(a)
|
|
950,359
|
|
529,245,424
|
Synopsys, Inc.
(a)
|
|
729,150
|
|
243,003,821
|
Tyler Technologies, Inc.
(a)
|
|
194,729
|
|
86,632,985
|
|
|
|
|
|
15,781,109,066
|
TECHNOLOGY
HARDWARE, STORAGE & PERIPHERALS — 24.0% |
|
Apple,
Inc.
|
|
62,405,759
|
|
10,896,669,579
|
Hewlett Packard Enterprise
Co.
|
|
6,146,342
|
|
102,705,375
|
HP, Inc.
(b)
|
|
5,144,984
|
|
186,762,919
|
NetApp,
Inc.
|
|
1,056,282
|
|
87,671,406
|
Seagate Technology Holdings
PLC
|
|
957,004
|
|
86,034,659
|
Western Digital Corp.
(a)
|
|
1,486,918
|
|
73,825,479
|
|
|
|
|
|
11,433,669,417
|
TOTAL COMMON STOCKS (Cost
$38,965,971,810)
|
|
|
|
|
47,464,427,909
|
SHORT-TERM
INVESTMENTS — 0.3% |
|
|
|
State Street Institutional Liquid Reserves Fund, Premier Class 0.31%
(c)
(d)
|
|
89,258,750
|
|
89,249,824
|
See accompanying notes to financial statements.
31
THE TECHNOLOGY
SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
Security
Description |
|
|
Shares
|
|
Value
|
State Street Navigator Securities Lending Portfolio II
(e)
(f)
|
|
54,400,968
|
|
$
54,400,968 |
TOTAL SHORT-TERM INVESTMENTS (Cost
$143,627,195)
|
|
143,650,792
|
|
TOTAL INVESTMENTS — 100.1% (Cost
$39,109,599,005)
|
|
47,608,078,701
|
|
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.1)%
|
|
(51,567,942)
|
|
NET ASSETS —
100.0%
|
|
$
47,556,510,759 |
|
(a)
|
Non-income
producing security. |
(b)
|
All
or a portion of the shares of the security are on loan at March 31, 2022. |
(c)
|
The
Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended March 31, 2022 are shown in the Affiliate Table below. |
(d)
|
The
rate shown is the annualized seven-day yield at March 31, 2022. |
(e)
|
The
Fund invested in an affiliated entity. Amounts related to these transactions during the period ended March 31, 2022 are shown in the Affiliate Table below. |
(f)
|
Investment
of cash collateral for securities loaned. |
At March 31,2022, open futures contracts
were as follows:
Description
|
|
Number
of Contracts |
|
Expiration
Date |
|
Notional
Amount |
|
Value
|
|
Unrealized
Appreciation (Depreciation) |
E-mini
S&P 500 Technology Select Sector Index (long) |
|
474
|
|
06/17/2022
|
|
$68,576,067
|
|
$75,972,720
|
|
$7,396,653
|
During the
period ended March 31,2022, average notional value related to futures contracts was $79,336,451.
The following table summarizes the value
of the Fund's investments according to the fair value hierarchy as of March 31, 2022.
Description
|
|
Level
1 – Quoted Prices |
|
Level
2 – Other Significant Observable Inputs |
|
Level
3 – Significant Unobservable Inputs |
|
Total
|
ASSETS:
|
|
|
|
|
|
|
|
|
INVESTMENTS:
|
|
|
|
|
|
|
|
|
Common
Stocks
|
|
$47,464,427,909
|
|
$—
|
|
$—
|
|
$47,464,427,909
|
Short-Term
Investments
|
|
143,650,792
|
|
—
|
|
—
|
|
143,650,792
|
TOTAL
INVESTMENTS
|
|
$47,608,078,701
|
|
$—
|
|
$—
|
|
$47,608,078,701
|
OTHER
FINANCIAL INSTRUMENTS: |
|
|
|
|
|
|
|
|
Futures
Contracts(a)
|
|
7,396,653
|
|
—
|
|
—
|
|
7,396,653
|
TOTAL OTHER FINANCIAL
INSTRUMENTS:
|
|
$
7,396,653 |
|
$—
|
|
$—
|
|
$
7,396,653 |
(a)
|
Futures
Contracts are valued at unrealized appreciation (depreciation). |
Affiliate Table
|
Number
of Shares Held at 9/30/21 |
|
Value
at 9/30/21 |
|
Cost
of Purchases |
|
Proceeds
from Shares Sold |
|
Realized
Gain (Loss) |
|
Change
in Unrealized Appreciation/ Depreciation |
|
Number
of Shares Held at 3/31/22 |
|
Value
at 3/31/22 |
|
Dividend
Income |
State Street Institutional Liquid Reserves Fund, Premier
Class
|
77,796,250
|
|
$77,811,810
|
|
$
361,274,812 |
|
$
349,818,859 |
|
$(24,211)
|
|
$6,272
|
|
89,258,750
|
|
$
89,249,824 |
|
$
25,915 |
State Street Navigator Securities Lending Portfolio
II
|
102,000
|
|
102,000
|
|
1,578,331,774
|
|
1,524,032,806
|
|
—
|
|
—
|
|
54,400,968
|
|
54,400,968
|
|
76,774
|
Total
|
|
|
$77,913,810
|
|
$1,939,606,586
|
|
$1,873,851,665
|
|
$(24,211)
|
|
$6,272
|
|
|
|
$143,650,792
|
|
$102,689
|
See accompanying notes to financial statements.
32
THE UTILITIES
SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS
March 31, 2022 (Unaudited)
Security
Description |
|
|
Shares
|
|
Value
|
COMMON
STOCKS — 99.8% |
|
ELECTRIC
UTILITIES — 62.9% |
|
Alliant Energy Corp.
(a)
|
|
3,548,827
|
|
$
221,730,711 |
American Electric Power Co., Inc.
(a)
|
|
7,139,055
|
|
712,263,517
|
Constellation Energy
Corp.
|
|
4,628,067
|
|
260,328,769
|
Duke Energy
Corp.
|
|
10,903,485
|
|
1,217,483,135
|
Edison
International
|
|
5,385,130
|
|
377,497,613
|
Entergy Corp.
(a)
|
|
2,848,832
|
|
332,601,136
|
Evergy, Inc.
(a)
|
|
3,250,294
|
|
222,125,092
|
Eversource
Energy
|
|
4,873,487
|
|
429,792,818
|
Exelon Corp.
(a)
|
|
13,884,155
|
|
661,302,303
|
FirstEnergy
Corp.
|
|
8,082,317
|
|
370,655,058
|
NextEra Energy,
Inc.
|
|
27,812,836
|
|
2,356,025,338
|
NRG Energy, Inc.
(a)
|
|
3,470,473
|
|
133,127,344
|
Pinnacle West Capital Corp.
(a)
|
|
1,599,145
|
|
124,893,224
|
PPL
Corp.
|
|
10,641,260
|
|
303,914,386
|
Southern Co.
(a)
|
|
15,022,427
|
|
1,089,276,182
|
Xcel Energy, Inc.
(a)
|
|
7,635,590
|
|
551,060,530
|
|
|
|
|
|
9,364,077,156
|
GAS
UTILITIES — 1.5% |
|
Atmos Energy Corp.
(a)
|
|
1,919,660
|
|
229,380,173
|
INDEPENDENT
POWER & RENEWABLE ELECTRICITY PRODUCERS — 1.6% |
|
AES
Corp.
|
|
9,450,541
|
|
243,162,420
|
MULTI-UTILITIES
— 30.9% |
|
Ameren
Corp.
|
|
3,651,507
|
|
342,365,296
|
CenterPoint Energy, Inc.
(a)
|
|
8,914,000
|
|
273,124,960
|
CMS Energy Corp.
(a)
|
|
4,107,265
|
|
287,262,114
|
Consolidated Edison, Inc.
(a)
|
|
5,014,330
|
|
474,756,764
|
Dominion Energy, Inc.
(a)
|
|
11,481,509
|
|
975,583,820
|
DTE Energy
Co.
|
|
2,746,228
|
|
363,078,804
|
NiSource,
Inc.
|
|
5,566,471
|
|
177,013,778
|
Public Service Enterprise Group,
Inc.
|
|
7,167,724
|
|
501,740,680
|
Security
Description |
|
|
Shares
|
|
Value
|
Sempra Energy
(a)
|
|
4,526,579
|
|
$
761,008,462 |
WEC Energy Group,
Inc.
|
|
4,471,183
|
|
446,268,775
|
|
|
|
|
|
4,602,203,453
|
WATER
UTILITIES — 2.9% |
|
American Water Works Co., Inc.
(a)
|
|
2,573,290
|
|
425,956,694
|
TOTAL COMMON STOCKS (Cost
$14,267,751,587)
|
|
|
|
|
14,864,779,896
|
SHORT-TERM
INVESTMENTS — 0.8% |
|
|
|
State Street Institutional Liquid Reserves Fund, Premier Class 0.31%
(b)
(c)
|
|
14,559,577
|
|
14,558,121
|
State Street Navigator Securities Lending Portfolio II
(d)
(e)
|
|
114,684,519
|
|
114,684,519
|
TOTAL SHORT-TERM INVESTMENTS (Cost
$129,238,396)
|
|
129,242,640
|
|
TOTAL INVESTMENTS — 100.6% (Cost
$14,396,989,983)
|
|
14,994,022,536
|
|
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.6)%
|
|
(94,983,974)
|
|
NET ASSETS —
100.0%
|
|
$
14,899,038,562 |
|
(a)
|
All
or a portion of the shares of the security are on loan at March 31, 2022. |
(b)
|
The
Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended March 31, 2022 are shown in the Affiliate Table below. |
(c)
|
The
rate shown is the annualized seven-day yield at March 31, 2022. |
(d)
|
The
Fund invested in an affiliated entity. Amounts related to these transactions during the period ended March 31, 2022 are shown in the Affiliate Table below. |
(e)
|
Investment
of cash collateral for securities loaned. |
The following table summarizes the value
of the Fund's investments according to the fair value hierarchy as of March 31, 2022.
Description
|
|
Level
1 – Quoted Prices |
|
Level
2 – Other Significant Observable Inputs |
|
Level
3 – Significant Unobservable Inputs |
|
Total
|
ASSETS:
|
|
|
|
|
|
|
|
|
INVESTMENTS:
|
|
|
|
|
|
|
|
|
Common
Stocks
|
|
$14,864,779,896
|
|
$—
|
|
$—
|
|
$14,864,779,896
|
Short-Term
Investments
|
|
129,242,640
|
|
—
|
|
—
|
|
129,242,640
|
TOTAL
INVESTMENTS
|
|
$14,994,022,536
|
|
$—
|
|
$—
|
|
$14,994,022,536
|
See accompanying notes to financial statements.
33
THE UTILITIES
SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
Affiliate Table
|
Number
of Shares Held at 9/30/21 |
|
Value
at 9/30/21 |
|
Cost
of Purchases |
|
Proceeds
from Shares Sold |
|
Realized
Gain (Loss) |
|
Change
in Unrealized Appreciation/ Depreciation |
|
Number
of Shares Held at 3/31/22 |
|
Value
at 3/31/22 |
|
Dividend
Income |
State Street Institutional Liquid Reserves Fund, Premier
Class
|
21,505,066
|
|
$21,509,367
|
|
$
274,215,966 |
|
$
281,164,424 |
|
$(3,453)
|
|
$664
|
|
14,559,577
|
|
$
14,558,121 |
|
$
8,907 |
State Street Navigator Securities Lending Portfolio
II
|
2,602,779
|
|
2,602,779
|
|
842,154,212
|
|
730,072,472
|
|
—
|
|
—
|
|
114,684,519
|
|
114,684,519
|
|
26,122
|
Total
|
|
|
$24,112,146
|
|
$1,116,370,178
|
|
$1,011,236,896
|
|
$(3,453)
|
|
$664
|
|
|
|
$129,242,640
|
|
$35,029
|
See accompanying notes to financial statements.
34
[This Page
Intentionally Left Blank]
THE SELECT SECTOR
SPDR TRUST
STATEMENTS OF ASSETS AND LIABILITIES
March 31, 2022 (Unaudited)
|
The
Communication Services Select Sector SPDR Fund |
|
The
Consumer Discretionary Select Sector SPDR Fund |
|
The
Consumer Staples Select Sector SPDR Fund |
ASSETS
|
|
|
|
|
|
Investments in unaffiliated issuers, at
value*
|
$11,841,137,851
|
|
$19,809,801,174
|
|
$15,260,349,362
|
Investments in affiliated issuers, at
value
|
246,218,881
|
|
92,288,706
|
|
47,055,793
|
Total
Investments
|
12,087,356,732
|
|
19,902,089,880
|
|
15,307,405,155
|
Net cash at
broker
|
—
|
|
—
|
|
—
|
Cash
|
—
|
|
1,082,013
|
|
—
|
Receivable from broker — accumulated variation margin on futures
contracts
|
—
|
|
—
|
|
—
|
Receivable for investments
sold
|
—
|
|
654,064,247
|
|
—
|
Receivable for income related to Select Sector SPDR shares in-kind
transactions
|
—
|
|
1,804
|
|
—
|
Dividends receivable — unaffiliated
issuers
|
3,501,073
|
|
4,291,473
|
|
44,806,421
|
Dividends receivable — affiliated
issuers
|
1,125
|
|
2,455
|
|
2,920
|
Securities lending income receivable — unaffiliated
issuers
|
513
|
|
21,885
|
|
—
|
Securities lending income receivable — affiliated issuers
|
34,348
|
|
18,270
|
|
1,067
|
Prepaid expenses and other
assets
|
8,578
|
|
11,258
|
|
4,121
|
TOTAL ASSETS
|
12,090,902,369
|
|
20,561,583,285
|
|
15,352,219,684
|
LIABILITIES
|
|
|
|
|
|
Net cash at
broker
|
—
|
|
—
|
|
—
|
Payable upon return of securities
loaned
|
239,458,019
|
|
80,293,118
|
|
28,783,386
|
Payable for investments
purchased
|
—
|
|
660,519,849
|
|
—
|
Payable for income related to Select Sector SPDR shares in-kind
transactions
|
34,893
|
|
—
|
|
12,968
|
Advisory and Administration fees
payable
|
300,075
|
|
484,442
|
|
396,977
|
Custodian fees
payable
|
44,371
|
|
100,284
|
|
74,882
|
Distribution fees
payable
|
321,047
|
|
522,468
|
|
402,835
|
Unitary fees
payable
|
167,729
|
|
261,008
|
|
208,047
|
License fee
payable
|
907,606
|
|
1,483,984
|
|
1,095,555
|
Registration and filing fees
payable
|
18,945
|
|
30,141
|
|
16,362
|
Professional fees
payable
|
42,395
|
|
53,337
|
|
42,076
|
Printing and postage fees
payable
|
—
|
|
—
|
|
15,767
|
Accrued expenses and other
liabilities
|
447,461
|
|
624,729
|
|
375,729
|
TOTAL LIABILITIES
|
241,742,541
|
|
744,373,360
|
|
31,424,584
|
NET ASSETS
|
$11,849,159,828
|
|
$19,817,209,925
|
|
$15,320,795,100
|
NET
ASSETS CONSIST OF: |
|
|
|
|
|
Paid-in
Capital
|
$13,625,002,399
|
|
$20,969,220,506
|
|
$16,657,299,248
|
Total distributable earnings
(loss)
|
(1,775,842,571)
|
|
(1,152,010,581)
|
|
(1,336,504,148)
|
NET ASSETS
|
$11,849,159,828
|
|
$19,817,209,925
|
|
$15,320,795,100
|
NET
ASSET VALUE PER SHARE |
|
|
|
|
|
Net asset value per
share
|
$
68.75 |
|
$
184.94 |
|
$
75.76 |
Shares outstanding (unlimited amount authorized, $0.01 par
value)
|
172,350,000
|
|
107,153,252
|
|
202,221,809
|
COST
OF INVESTMENTS: |
|
|
|
|
|
Investments in unaffiliated
issuers
|
$13,164,669,676
|
|
$19,032,064,536
|
|
$15,493,729,068
|
Investments in affiliated
issuers
|
246,218,125
|
|
92,286,932
|
|
47,054,401
|
Total cost of
investments
|
$13,410,887,801
|
|
$19,124,351,468
|
|
$15,540,783,469
|
* Includes investments in securities on loan, at
value
|
$
245,607,112 |
|
$
267,579,226 |
|
$
28,507,992 |
See accompanying notes to financial
statements.
36
The
Energy Select Sector SPDR Fund |
|
The
Financial Select Sector SPDR Fund |
|
The
Health Care Select Sector SPDR Fund |
|
The
Industrial Select Sector SPDR Fund |
|
The
Materials Select Sector SPDR Fund |
|
The
Real Estate Select Sector SPDR Fund |
|
The
Technology Select Sector SPDR Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
$36,621,769,927
|
|
$45,441,870,799
|
|
$36,970,364,309
|
|
$16,119,744,614
|
|
$7,713,702,235
|
|
$5,720,349,832
|
|
$47,464,427,909
|
78,062,669
|
|
453,086,299
|
|
54,759,219
|
|
66,837,910
|
|
19,842,981
|
|
13,193,662
|
|
143,650,792
|
36,699,832,596
|
|
45,894,957,098
|
|
37,025,123,528
|
|
16,186,582,524
|
|
7,733,545,216
|
|
5,733,543,494
|
|
47,608,078,701
|
4,100,000
|
|
—
|
|
—
|
|
—
|
|
—
|
|
7,223
|
|
—
|
—
|
|
914,255
|
|
—
|
|
1,434,290
|
|
—
|
|
—
|
|
—
|
330,000
|
|
—
|
|
—
|
|
1,644,450
|
|
—
|
|
508,238
|
|
7,398,194
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
505,324,313
|
—
|
|
—
|
|
—
|
|
—
|
|
6,436
|
|
64,689
|
|
—
|
13,666,089
|
|
26,312,682
|
|
34,269,054
|
|
7,945,398
|
|
8,627,994
|
|
8,466,892
|
|
8,070,917
|
19,427
|
|
2,267,175
|
|
6,774
|
|
4,106
|
|
1,649
|
|
626
|
|
12,642
|
4,504
|
|
5,680
|
|
19,202
|
|
11,281
|
|
3,562
|
|
—
|
|
63,250
|
742
|
|
14,873
|
|
3,361
|
|
16,014
|
|
1,690
|
|
—
|
|
50,726
|
15,908
|
|
24,081
|
|
15,737
|
|
11,793
|
|
5,854
|
|
1,458
|
|
24,516
|
36,717,969,266
|
|
45,924,495,844
|
|
37,059,437,656
|
|
16,197,649,856
|
|
7,742,192,401
|
|
5,742,592,620
|
|
48,129,023,259
|
|
|
|
|
|
|
|
|
|
|
|
|
|
—
|
|
—
|
|
—
|
|
664,050
|
|
—
|
|
—
|
|
3,677,294
|
—
|
|
33,798,829
|
|
21,331,314
|
|
43,019,956
|
|
10,589,732
|
|
—
|
|
54,400,968
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
11,464,137
|
|
506,220,722
|
26,897
|
|
42,919
|
|
13,389
|
|
7,014
|
|
—
|
|
—
|
|
28,458
|
964,384
|
|
1,159,438
|
|
911,284
|
|
416,183
|
|
188,125
|
|
138,450
|
|
1,155,869
|
126,883
|
|
204,600
|
|
152,036
|
|
81,005
|
|
15,555
|
|
12,073
|
|
181,892
|
949,684
|
|
1,225,328
|
|
931,741
|
|
439,517
|
|
200,072
|
|
146,836
|
|
1,220,192
|
551,098
|
|
782,074
|
|
543,581
|
|
236,146
|
|
100,330
|
|
72,337
|
|
742,013
|
2,517,642
|
|
3,437,848
|
|
2,543,368
|
|
1,229,902
|
|
562,640
|
|
412,078
|
|
3,415,690
|
34,976
|
|
57,661
|
|
42,583
|
|
23,546
|
|
10,583
|
|
2,158
|
|
63,903
|
48,822
|
|
67,553
|
|
60,092
|
|
49,502
|
|
33,861
|
|
28,407
|
|
79,054
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
3,729
|
|
—
|
788,179
|
|
1,221,660
|
|
897,722
|
|
557,191
|
|
232,121
|
|
113,728
|
|
1,326,445
|
6,008,565
|
|
41,997,910
|
|
27,427,110
|
|
46,724,012
|
|
11,933,019
|
|
12,393,933
|
|
572,512,500
|
$36,711,960,701
|
|
$45,882,497,934
|
|
$37,032,010,546
|
|
$16,150,925,844
|
|
$7,730,259,382
|
|
$5,730,198,687
|
|
$47,556,510,759
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$37,306,808,323
|
|
$47,252,327,909
|
|
$36,201,540,651
|
|
$18,092,894,152
|
|
$8,655,422,328
|
|
$5,796,613,224
|
|
$40,215,820,057
|
(594,847,622)
|
|
(1,369,829,975)
|
|
830,469,895
|
|
(1,941,968,308)
|
|
(925,162,946)
|
|
(66,414,537)
|
|
7,340,690,702
|
$36,711,960,701
|
|
$45,882,497,934
|
|
$37,032,010,546
|
|
$16,150,925,844
|
|
$7,730,259,382
|
|
$5,730,198,687
|
|
$47,556,510,759
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
76.42 |
|
$
38.31 |
|
$
136.77 |
|
$
102.92 |
|
$
88.12 |
|
$
48.29 |
|
$
158.70 |
480,424,200
|
|
1,197,595,427
|
|
270,765,324
|
|
156,926,000
|
|
87,723,725
|
|
118,650,000
|
|
299,655,897
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$29,888,017,879
|
|
$45,731,097,391
|
|
$35,146,113,685
|
|
$17,429,019,090
|
|
$7,729,972,927
|
|
$5,668,906,459
|
|
$38,965,971,810
|
78,057,494
|
|
488,245,826
|
|
54,754,900
|
|
66,835,569
|
|
19,841,985
|
|
13,193,557
|
|
143,627,195
|
$29,966,075,373
|
|
$46,219,343,217
|
|
$35,200,868,585
|
|
$17,495,854,659
|
|
$7,749,814,912
|
|
$5,682,100,016
|
|
$39,109,599,005
|
$
38,769,025 |
|
$
87,634,910 |
|
$
173,129,097 |
|
$
144,657,123 |
|
$
98,959,251 |
|
$
— |
|
$
606,098,654 |
THE SELECT SECTOR
SPDR TRUST
STATEMENTS OF ASSETS AND LIABILITIES (continued)
March 31, 2022 (Unaudited)
|
The
Utilities Select Sector SPDR Fund |
ASSETS
|
|
Investments in unaffiliated issuers, at
value*
|
$14,864,779,896
|
Investments in affiliated issuers, at
value
|
129,242,640
|
Total
Investments
|
14,994,022,536
|
Cash
|
5,075,048
|
Receivable for income related to Select Sector SPDR shares in-kind
transactions
|
8,798
|
Dividends receivable — unaffiliated
issuers
|
17,005,904
|
Dividends receivable — affiliated
issuers
|
5,051
|
Securities lending income receivable — unaffiliated
issuers
|
1,527
|
Securities lending income receivable — affiliated issuers
|
10,841
|
Prepaid expenses and other
assets
|
5,243
|
TOTAL ASSETS
|
15,016,134,948
|
LIABILITIES
|
|
Payable upon return of securities
loaned
|
114,684,519
|
Advisory and Administration fees
payable
|
356,772
|
Custodian fees
payable
|
65,675
|
Distribution fees
payable
|
361,442
|
Unitary fees
payable
|
181,249
|
License fee
payable
|
980,347
|
Registration and filing fees
payable
|
16,631
|
Professional fees
payable
|
42,638
|
Accrued expenses and other
liabilities
|
407,113
|
TOTAL LIABILITIES
|
117,096,386
|
NET ASSETS
|
$14,899,038,562
|
NET
ASSETS CONSIST OF: |
|
Paid-in
Capital
|
$15,112,847,003
|
Total distributable earnings
(loss)
|
(213,808,441)
|
NET ASSETS
|
$14,899,038,562
|
NET
ASSET VALUE PER SHARE |
|
Net asset value per
share
|
$
74.43 |
Shares outstanding (unlimited amount authorized, $0.01 par
value)
|
200,174,160
|
COST
OF INVESTMENTS: |
|
Investments in unaffiliated
issuers
|
$14,267,751,587
|
Investments in affiliated
issuers
|
129,238,396
|
Total cost of
investments
|
$14,396,989,983
|
* Includes investments in securities on loan, at
value
|
$
130,311,644 |
See accompanying notes to financial statements.
38
[This Page
Intentionally Left Blank]
THE SELECT SECTOR
SPDR TRUST
STATEMENTS OF OPERATIONS
For the Six Months Ended March 31, 2022 (Unaudited)
|
The
Communication Services Select Sector SPDR Fund |
|
The
Consumer Discretionary Select Sector SPDR Fund |
|
The
Consumer Staples Select Sector SPDR Fund |
INVESTMENT
INCOME |
|
|
|
|
|
Dividend income — unaffiliated
issuers
|
67,024,129
|
|
$
76,510,272 |
|
$
176,098,239 |
Dividend income — affiliated
issuers
|
2,923
|
|
4,174
|
|
6,703
|
Unaffiliated securities lending
income
|
43,379
|
|
98,499
|
|
8,309
|
Affiliated securities lending
income
|
129,592
|
|
72,064
|
|
8,698
|
Foreign taxes
withheld
|
—
|
|
—
|
|
—
|
TOTAL INVESTMENT INCOME
(LOSS)
|
67,200,023
|
|
76,685,009
|
|
176,121,949
|
EXPENSES
|
|
|
|
|
|
Advisory and Administration
fees
|
2,050,976
|
|
3,257,438
|
|
2,044,060
|
Distribution
fees
|
1,843,708
|
|
2,954,222
|
|
1,757,409
|
License
fees
|
2,221,162
|
|
3,520,282
|
|
2,177,464
|
Custodian
fees
|
40,511
|
|
64,361
|
|
40,399
|
Unitary
fees
|
521,165
|
|
822,843
|
|
516,028
|
Trustees’ fees and expenses
|
69,836
|
|
100,090
|
|
58,955
|
Registration and filing
fees
|
19,681
|
|
30,690
|
|
16,490
|
Professional
fees
|
44,440
|
|
58,279
|
|
36,681
|
Printing and postage
fees
|
392,750
|
|
444,358
|
|
380,818
|
Insurance
expense
|
15,973
|
|
21,820
|
|
9,924
|
Miscellaneous
expenses
|
249,164
|
|
397,106
|
|
205,854
|
TOTAL
EXPENSES
|
7,469,366
|
|
11,671,489
|
|
7,244,082
|
NET INVESTMENT INCOME
(LOSS)
|
$
59,730,657 |
|
$
65,013,520 |
|
$
168,877,867 |
REALIZED
AND UNREALIZED GAIN (LOSS) |
|
|
|
|
|
Net
realized gain (loss) on: |
|
|
|
|
|
Investments — unaffiliated
issuers
|
(206,553,040)
|
|
(451,050,649)
|
|
(105,738,398)
|
Investments — affiliated
issuers
|
(2,298)
|
|
(3,567)
|
|
(10,674)
|
In-kind redemptions — unaffiliated
issuers
|
1,558,003,117
|
|
2,119,575,588
|
|
603,857,240
|
In-kind redemptions — affiliated
issuers
|
—
|
|
—
|
|
5,427
|
Futures
contracts
|
—
|
|
—
|
|
—
|
Net realized gain
(loss)
|
1,351,447,779
|
|
1,668,521,372
|
|
498,113,595
|
Net
change in unrealized appreciation/depreciation on: |
|
|
|
|
|
Investments — unaffiliated
issuers
|
(3,394,582,047)
|
|
(1,270,442,519)
|
|
617,527,179
|
Investments — affiliated
issuers
|
756
|
|
1,774
|
|
1,392
|
Futures
contracts
|
—
|
|
—
|
|
—
|
Net change in unrealized
appreciation/depreciation
|
(3,394,581,291)
|
|
(1,270,440,745)
|
|
617,528,571
|
NET REALIZED AND UNREALIZED GAIN
(LOSS)
|
(2,043,133,512)
|
|
398,080,627
|
|
1,115,642,166
|
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
|
$(1,983,402,855)
|
|
$
463,094,147 |
|
$1,284,520,033
|
See accompanying notes to financial
statements.
40
The
Energy Select Sector SPDR Fund |
|
The
Financial Select Sector SPDR Fund |
|
The
Health Care Select Sector SPDR Fund |
|
The
Industrial Select Sector SPDR Fund |
|
The
Materials Select Sector SPDR Fund |
|
The
Real Estate Select Sector SPDR Fund |
|
The
Technology Select Sector SPDR Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
$
702,194,961 |
|
$
407,199,321 |
|
$
261,001,379 |
|
$
128,632,088 |
|
$
71,668,853 |
|
$
78,565,557 |
|
$
202,511,670 |
31,321
|
|
4,432,230
|
|
14,807
|
|
10,660
|
|
—
|
|
1,086
|
|
25,915
|
6,137
|
|
82,320
|
|
32,625
|
|
15,701
|
|
12,217
|
|
3,566
|
|
201,890
|
20,314
|
|
31,379
|
|
28,500
|
|
36,946
|
|
4,378
|
|
9,141
|
|
76,774
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(249,564)
|
702,252,733
|
|
411,745,250
|
|
261,077,311
|
|
128,695,395
|
|
71,685,448
|
|
78,579,350
|
|
202,566,685
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,611,918
|
|
6,873,500
|
|
5,070,504
|
|
2,609,750
|
|
1,185,821
|
|
803,971
|
|
7,192,911
|
3,933,844
|
|
5,841,647
|
|
4,527,776
|
|
2,334,171
|
|
1,018,453
|
|
656,028
|
|
6,423,526
|
4,903,835
|
|
7,369,306
|
|
5,434,981
|
|
2,812,176
|
|
1,277,186
|
|
860,182
|
|
7,746,652
|
91,147
|
|
135,827
|
|
100,203
|
|
51,560
|
|
23,431
|
|
15,891
|
|
142,128
|
1,164,378
|
|
1,735,779
|
|
1,280,329
|
|
659,349
|
|
299,519
|
|
202,928
|
|
1,816,721
|
116,859
|
|
199,919
|
|
151,956
|
|
87,159
|
|
39,085
|
|
21,271
|
|
218,841
|
36,424
|
|
59,843
|
|
44,157
|
|
23,756
|
|
10,812
|
|
8,555
|
|
65,563
|
67,954
|
|
108,472
|
|
76,908
|
|
54,755
|
|
31,473
|
|
21,272
|
|
106,223
|
626,425
|
|
675,957
|
|
590,856
|
|
463,048
|
|
439,396
|
|
173,225
|
|
984,284
|
28,821
|
|
45,033
|
|
30,934
|
|
21,896
|
|
10,644
|
|
3,290
|
|
46,841
|
430,584
|
|
791,404
|
|
508,991
|
|
303,663
|
|
128,098
|
|
81,079
|
|
771,272
|
16,012,189
|
|
23,836,687
|
|
17,817,595
|
|
9,421,283
|
|
4,463,918
|
|
2,847,692
|
|
25,514,962
|
$
686,240,544 |
|
$
387,908,563 |
|
$
243,259,716 |
|
$
119,274,112 |
|
$
67,221,530 |
|
$
75,731,658 |
|
$
177,051,723 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(249,812,378)
|
|
(154,563,532)
|
|
(41,792,456)
|
|
(13,361,684)
|
|
(5,272,293)
|
|
(9,630,484)
|
|
(150,876,494)
|
3,057
|
|
(864,500)
|
|
(9,442)
|
|
(5,677)
|
|
(943)
|
|
(370)
|
|
(24,211)
|
4,125,029,358
|
|
3,212,256,419
|
|
1,999,659,469
|
|
1,111,272,276
|
|
437,949,700
|
|
224,307,631
|
|
5,431,182,383
|
—
|
|
10,510,870
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
27,414,713
|
|
—
|
|
—
|
|
(161,684)
|
|
—
|
|
667,311
|
|
(5,370,749)
|
3,902,634,750
|
|
3,067,339,257
|
|
1,957,857,571
|
|
1,097,743,231
|
|
432,676,464
|
|
215,344,088
|
|
5,274,910,929
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,155,063,896
|
|
(2,591,625,132)
|
|
300,301,147
|
|
(252,615,324)
|
|
328,163,055
|
|
87,458,908
|
|
(2,708,278,035)
|
5,175
|
|
(7,797,526)
|
|
1,434
|
|
2,341
|
|
996
|
|
105
|
|
6,272
|
(2,246,625)
|
|
—
|
|
—
|
|
3,942,922
|
|
—
|
|
1,034,829
|
|
10,933,308
|
8,152,822,446
|
|
(2,599,422,658)
|
|
300,302,581
|
|
(248,670,061)
|
|
328,164,051
|
|
88,493,842
|
|
(2,697,338,455)
|
12,055,457,196
|
|
467,916,599
|
|
2,258,160,152
|
|
849,073,170
|
|
760,840,515
|
|
303,837,930
|
|
2,577,572,474
|
$12,741,697,740
|
|
$
855,825,162 |
|
$2,501,419,868
|
|
$
968,347,282 |
|
$828,062,045
|
|
$379,569,588
|
|
$
2,754,624,197 |
THE SELECT SECTOR
SPDR TRUST
STATEMENTS OF OPERATIONS (continued)
For the Six Months Ended March 31, 2022 (Unaudited)
|
The
Utilities Select Sector SPDR Fund |
INVESTMENT
INCOME |
|
Dividend income — unaffiliated
issuers
|
$
201,761,720 |
Dividend income — affiliated
issuers
|
8,907
|
Unaffiliated securities lending
income
|
1,803
|
Affiliated securities lending
income
|
26,122
|
TOTAL INVESTMENT INCOME
(LOSS)
|
201,798,552
|
EXPENSES
|
|
Advisory and Administration
fees
|
1,959,535
|
Distribution
fees
|
1,708,649
|
License
fees
|
2,100,702
|
Custodian
fees
|
38,720
|
Unitary
fees
|
494,903
|
Trustees’ fees and expenses
|
60,129
|
Registration and filing
fees
|
16,857
|
Professional
fees
|
39,073
|
Printing and postage
fees
|
353,240
|
Insurance
expense
|
11,270
|
Miscellaneous
expenses
|
203,521
|
TOTAL
EXPENSES
|
6,986,599
|
NET INVESTMENT INCOME
(LOSS)
|
$
194,811,953 |
REALIZED
AND UNREALIZED GAIN (LOSS) |
|
Net
realized gain (loss) on: |
|
Investments — unaffiliated
issuers
|
(5,004,915)
|
Investments — affiliated
issuers
|
(3,453)
|
In-kind redemptions — unaffiliated
issuers
|
346,328,865
|
Net realized gain
(loss)
|
341,320,497
|
Net
change in unrealized appreciation/depreciation on: |
|
Investments — unaffiliated
issuers
|
1,679,083,381
|
Investments — affiliated
issuers
|
664
|
Net change in unrealized
appreciation/depreciation
|
1,679,084,045
|
NET REALIZED AND UNREALIZED GAIN
(LOSS)
|
2,020,404,542
|
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
|
$2,215,216,495
|
See accompanying notes to financial statements.
42
[This Page
Intentionally Left Blank]
THE SELECT SECTOR
SPDR TRUST
STATEMENTS OF CHANGES IN NET ASSETS
|
The
Communication Services Select Sector SPDR Fund |
|
The
Consumer Discretionary Select Sector SPDR Fund |
|
Six
Months Ended 3/31/22 (Unaudited) |
|
Year
Ended 9/30/21 |
|
Six
Months Ended 3/31/22 (Unaudited) |
|
Year
Ended 9/30/21 |
INCREASE
(DECREASE) IN NET ASSETS FROM OPERATIONS: |
|
|
|
|
|
|
|
Net investment income
(loss)
|
$
59,730,657 |
|
$
95,495,406 |
|
$
65,013,520 |
|
$
122,881,343 |
Net realized gain
(loss)
|
1,351,447,779
|
|
2,320,315,595
|
|
1,668,521,372
|
|
2,727,630,494
|
Net change in unrealized
appreciation/depreciation
|
(3,394,581,291)
|
|
1,196,720,146
|
|
(1,270,440,745)
|
|
894,744,506
|
Net increase (decrease) in net assets resulting from
operations
|
(1,983,402,855)
|
|
3,612,531,147
|
|
463,094,147
|
|
3,745,256,343
|
Net equalization credits and
charges
|
(3,080,825)
|
|
(625,116)
|
|
(1,113,605)
|
|
723,053
|
Distributions to
shareholders
|
(58,215,714)
|
|
(93,350,467)
|
|
(63,215,042)
|
|
(123,348,978)
|
FROM
BENEFICIAL INTEREST TRANSACTIONS: |
|
|
|
|
|
|
|
Proceeds from shares
sold
|
6,678,344,508
|
|
11,124,381,986
|
|
11,410,249,715
|
|
16,887,124,159
|
Cost of shares
redeemed
|
(7,963,623,001)
|
|
(9,573,576,943)
|
|
(11,626,655,475)
|
|
(16,684,493,391)
|
Net income
equalization
|
3,080,825
|
|
625,116
|
|
1,113,605
|
|
(723,053)
|
Net increase (decrease) in net assets from beneficial interest transactions
|
(1,282,197,668)
|
|
1,551,430,159
|
|
(215,292,155)
|
|
201,907,715
|
Net increase (decrease) in net assets during the
period
|
(3,326,897,062)
|
|
5,069,985,723
|
|
183,473,345
|
|
3,824,538,133
|
Net assets at beginning of
period
|
15,176,056,890
|
|
10,106,071,167
|
|
19,633,736,580
|
|
15,809,198,447
|
NET ASSETS AT END OF
PERIOD
|
$11,849,159,828
|
|
$15,176,056,890
|
|
$
19,817,209,925 |
|
$
19,633,736,580 |
SHARES
OF BENEFICIAL INTEREST: |
|
|
|
|
|
|
|
Shares
sold
|
88,150,000
|
|
150,900,000
|
|
59,250,000
|
|
102,250,000
|
Shares
redeemed
|
(105,150,000)
|
|
(131,700,000)
|
|
(61,450,000)
|
|
(100,450,000)
|
Net increase (decrease) from share
transactions
|
(17,000,000)
|
|
19,200,000
|
|
(2,200,000)
|
|
1,800,000
|
See accompanying notes to financial
statements.
44
The
Consumer Staples Select Sector SPDR Fund |
|
The
Energy Select Sector SPDR Fund |
|
The
Financial Select Sector SPDR Fund |
Six
Months Ended 3/31/22 (Unaudited) |
|
Year
Ended 9/30/21 |
|
Six
Months Ended 3/31/22 (Unaudited) |
|
Year
Ended 9/30/21 |
|
Six
Months Ended 3/31/22 (Unaudited) |
|
Year
Ended 9/30/21 |
|
|
|
|
|
|
|
|
|
|
|
$
168,877,867 |
|
$
331,657,216 |
|
$
686,240,544 |
|
$
873,670,481 |
|
$
387,908,563 |
|
$
610,422,895 |
498,113,595
|
|
1,150,724,231
|
|
3,902,634,750
|
|
1,029,351,744
|
|
3,067,339,257
|
|
5,580,105,015
|
617,528,571
|
|
(380,759,153)
|
|
8,152,822,446
|
|
7,081,524,329
|
|
(2,599,422,658)
|
|
6,478,241,704
|
1,284,520,033
|
|
1,101,622,294
|
|
12,741,697,740
|
|
8,984,546,554
|
|
855,825,162
|
|
12,668,769,614
|
2,042,916
|
|
(2,100,389)
|
|
(14,507,498)
|
|
36,005,143
|
|
(4,297,814)
|
|
15,669,602
|
(156,668,790)
|
|
(330,192,564)
|
|
(670,704,695)
|
|
(933,129,989)
|
|
(382,762,571)
|
|
(620,652,967)
|
|
|
|
|
|
|
|
|
|
|
|
14,132,586,248
|
|
19,938,578,383
|
|
19,476,149,817
|
|
28,094,738,429
|
|
31,388,529,159
|
|
58,491,980,218
|
(11,697,218,586)
|
|
(22,639,671,840)
|
|
(19,919,520,680)
|
|
(19,492,605,558)
|
|
(26,391,784,223)
|
|
(46,773,810,008)
|
(2,042,916)
|
|
2,100,389
|
|
14,507,498
|
|
(36,005,143)
|
|
4,297,814
|
|
(15,669,602)
|
2,433,324,746
|
|
(2,698,993,068)
|
|
(428,863,365)
|
|
8,566,127,728
|
|
5,001,042,750
|
|
11,702,500,608
|
3,563,218,905
|
|
(1,929,663,727)
|
|
11,627,622,182
|
|
16,653,549,436
|
|
5,469,807,527
|
|
23,766,286,857
|
11,757,576,195
|
|
13,687,239,922
|
|
25,084,338,519
|
|
8,430,789,083
|
|
40,412,690,407
|
|
16,646,403,550
|
$
15,320,795,100 |
|
$
11,757,576,195 |
|
$
36,711,960,701 |
|
$
25,084,338,519 |
|
$
45,882,497,934 |
|
$
40,412,690,407 |
|
|
|
|
|
|
|
|
|
|
|
189,300,000
|
|
290,000,000
|
|
310,150,000
|
|
624,550,000
|
|
800,900,000
|
|
1,797,500,000
|
(157,900,000)
|
|
(332,600,000)
|
|
(311,050,000)
|
|
(424,500,000)
|
|
(680,050,000)
|
|
(1,412,600,000)
|
31,400,000
|
|
(42,600,000)
|
|
(900,000)
|
|
200,050,000
|
|
120,850,000
|
|
384,900,000
|
THE SELECT SECTOR
SPDR TRUST
STATEMENTS OF CHANGES IN NET ASSETS (continued)
|
The
Health Care Select Sector SPDR Fund |
|
The
Industrial Select Sector SPDR Fund |
|
Six
Months Ended 3/31/22 (Unaudited) |
|
Year
Ended 9/30/21 |
|
Six
Months Ended 3/31/22 (Unaudited) |
|
Year
Ended 9/30/21 |
INCREASE
(DECREASE) IN NET ASSETS FROM OPERATIONS: |
|
|
|
|
|
|
|
Net investment income
(loss)
|
$
243,259,716 |
|
$
416,801,302 |
|
$
119,274,112 |
|
$
236,733,176 |
Net realized gain
(loss)
|
1,957,857,571
|
|
3,400,196,431
|
|
1,097,743,231
|
|
2,956,551,516
|
Net change in unrealized
appreciation/depreciation
|
300,302,581
|
|
1,264,545,932
|
|
(248,670,061)
|
|
734,570,045
|
Net increase (decrease) in net assets resulting from
operations
|
2,501,419,868
|
|
5,081,543,665
|
|
968,347,282
|
|
3,927,854,737
|
Net equalization credits and
charges
|
5,902,151
|
|
1,274,032
|
|
(4,064,425)
|
|
1,546,005
|
Distributions to
shareholders
|
(246,244,887)
|
|
(409,925,315)
|
|
(117,490,402)
|
|
(241,943,347)
|
FROM
BENEFICIAL INTEREST TRANSACTIONS: |
|
|
|
|
|
|
|
Proceeds from shares
sold
|
20,558,014,635
|
|
29,361,014,407
|
|
10,438,431,747
|
|
23,703,127,522
|
Cost of shares
redeemed
|
(16,140,034,934)
|
|
(27,547,231,773)
|
|
(12,505,544,753)
|
|
(22,201,590,532)
|
Net income
equalization
|
(5,902,151)
|
|
(1,274,032)
|
|
4,064,425
|
|
(1,546,005)
|
Net increase (decrease) in net assets from beneficial interest transactions
|
4,412,077,550
|
|
1,812,508,602
|
|
(2,063,048,581)
|
|
1,499,990,985
|
Net increase (decrease) in net assets during the
period
|
6,673,154,682
|
|
6,485,400,984
|
|
(1,216,256,126)
|
|
5,187,448,380
|
Net assets at beginning of
period
|
30,358,855,864
|
|
23,873,454,880
|
|
17,367,181,970
|
|
12,179,733,590
|
NET ASSETS AT END OF
PERIOD
|
$
37,032,010,546 |
|
$
30,358,855,864 |
|
$
16,150,925,844 |
|
$
17,367,181,970 |
SHARES
OF BENEFICIAL INTEREST: |
|
|
|
|
|
|
|
Shares
sold
|
154,950,000
|
|
242,250,000
|
|
101,600,000
|
|
252,800,000
|
Shares
redeemed
|
(122,750,000)
|
|
(229,850,000)
|
|
(122,300,000)
|
|
(233,400,000)
|
Net increase (decrease) from share
transactions
|
32,200,000
|
|
12,400,000
|
|
(20,700,000)
|
|
19,400,000
|
See accompanying notes to financial
statements.
46
The
Materials Select Sector SPDR Fund |
|
The
Real Estate Select Sector SPDR Fund |
|
The
Technology Select Sector SPDR Fund |
Six
Months Ended 3/31/22 (Unaudited) |
|
Year
Ended 9/30/21 |
|
Six
Months Ended 3/31/22 (Unaudited) |
|
Year
Ended 9/30/21 |
|
Six
Months Ended 3/31/22 (Unaudited) |
|
Year
Ended 9/30/21 |
|
|
|
|
|
|
|
|
|
|
|
$
67,221,530 |
|
$
130,501,877 |
|
$
75,731,658 |
|
$
59,481,840 |
|
$
177,051,723 |
|
$
322,398,863 |
432,676,464
|
|
1,035,717,045
|
|
215,344,088
|
|
122,356,929
|
|
5,274,910,929
|
|
6,302,530,164
|
328,164,051
|
|
(34,117,715)
|
|
88,493,842
|
|
469,240,178
|
|
(2,697,338,455)
|
|
3,132,265,670
|
828,062,045
|
|
1,132,101,207
|
|
379,569,588
|
|
651,078,947
|
|
2,754,624,197
|
|
9,757,194,697
|
(1,448,291)
|
|
(94,204)
|
|
3,991,838
|
|
3,560,493
|
|
336,798
|
|
(4,599,983)
|
(68,287,263)
|
|
(127,713,864)
|
|
(80,251,700)
|
|
(97,886,559)
|
|
(177,309,440)
|
|
(316,074,902)
|
|
|
|
|
|
|
|
|
|
|
|
5,348,245,545
|
|
12,989,379,344
|
|
3,436,105,951
|
|
4,788,360,980
|
|
19,513,148,743
|
|
23,233,034,545
|
(5,879,666,826)
|
|
(10,408,905,093)
|
|
(2,287,366,398)
|
|
(3,323,817,883)
|
|
(17,556,468,940)
|
|
(23,746,663,758)
|
1,448,291
|
|
94,204
|
|
(3,991,838)
|
|
(3,560,493)
|
|
(336,798)
|
|
4,599,983
|
(529,972,990)
|
|
2,580,568,455
|
|
1,144,747,715
|
|
1,460,982,604
|
|
1,956,343,005
|
|
(509,029,230)
|
228,353,501
|
|
3,584,861,594
|
|
1,448,057,441
|
|
2,017,735,485
|
|
4,533,994,560
|
|
8,927,490,582
|
7,501,905,881
|
|
3,917,044,287
|
|
4,282,141,246
|
|
2,264,405,761
|
|
43,022,516,199
|
|
34,095,025,617
|
$
7,730,259,382 |
|
$
7,501,905,881 |
|
$
5,730,198,687 |
|
$
4,282,141,246 |
|
$
47,556,510,759 |
|
$
43,022,516,199 |
|
|
|
|
|
|
|
|
|
|
|
62,100,000
|
|
168,250,000
|
|
71,050,000
|
|
115,000,000
|
|
121,400,000
|
|
172,150,000
|
(69,200,000)
|
|
(135,000,000)
|
|
(48,700,000)
|
|
(82,850,000)
|
|
(109,800,000)
|
|
(176,100,000)
|
(7,100,000)
|
|
33,250,000
|
|
22,350,000
|
|
32,150,000
|
|
11,600,000
|
|
(3,950,000)
|
THE SELECT SECTOR
SPDR TRUST
STATEMENTS OF CHANGES IN NET ASSETS (continued)
|
The
Utilities Select Sector SPDR Fund |
|
Six
Months Ended 3/31/22 (Unaudited) |
|
Year
Ended 9/30/21 |
INCREASE
(DECREASE) IN NET ASSETS FROM OPERATIONS: |
|
|
|
Net investment income
(loss)
|
$
194,811,953 |
|
$
349,696,232 |
Net realized gain
(loss)
|
341,320,497
|
|
623,159,670
|
Net change in unrealized
appreciation/depreciation
|
1,679,084,045
|
|
233,959,292
|
Net increase (decrease) in net assets resulting from
operations
|
2,215,216,495
|
|
1,206,815,194
|
Net equalization credits and
charges
|
(1,596,951)
|
|
(1,339,318)
|
Distributions to
shareholders
|
(192,605,179)
|
|
(374,646,864)
|
FROM
BENEFICIAL INTEREST TRANSACTIONS: |
|
|
|
Proceeds from shares
sold
|
11,557,067,677
|
|
18,829,817,079
|
Cost of shares
redeemed
|
(10,637,309,651)
|
|
(19,111,067,494)
|
Net income
equalization
|
1,596,951
|
|
1,339,318
|
Net increase (decrease) in net assets from beneficial interest transactions
|
921,354,977
|
|
(279,911,097)
|
Net increase (decrease) in net assets during the
period
|
2,942,369,342
|
|
550,917,915
|
Net assets at beginning of
period
|
11,956,669,220
|
|
11,405,751,305
|
NET ASSETS AT END OF
PERIOD
|
$
14,899,038,562 |
|
$
11,956,669,220 |
SHARES
OF BENEFICIAL INTEREST: |
|
|
|
Shares
sold
|
168,250,000
|
|
293,450,000
|
Shares
redeemed
|
(155,250,000)
|
|
(298,300,000)
|
Net increase (decrease) from share
transactions
|
13,000,000
|
|
(4,850,000)
|
See accompanying notes to financial statements.
48
THE SELECT SECTOR
SPDR TRUST
FINANCIAL HIGHLIGHTS
Selected data for a share outstanding throughout each period
|
The
Communication Services Select Sector SPDR Fund |
|
Six
Months Ended 3/31/22 (Unaudited) |
|
Year
Ended 9/30/21 |
|
Year
Ended 9/30/20 |
|
Year
Ended 9/30/19(a) |
|
For
the Period 06/19/18* - 9/30/18(a) |
Net asset value, beginning of
period
|
$
80.15 |
|
$
59.40 |
|
$
49.50 |
|
$
48.98 |
|
$
50.00 |
Income
(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
Net investment income (loss)
(b)
|
0.33
|
|
0.54
|
|
0.47
|
|
0.44
|
|
0.09
|
Net realized and unrealized gain (loss)
(c)
|
(11.38)
|
|
20.73
|
|
9.88
|
|
0.51
|
|
(1.17)
|
Total from investment
operations
|
(11.05)
|
|
21.27
|
|
10.35
|
|
0.95
|
|
(1.08)
|
Net equalization credits and charges
(b)
|
(0.02)
|
|
(0.00)(d)
|
|
0.02
|
|
0.02
|
|
0.19
|
Distributions
to shareholders from: |
|
|
|
|
|
|
|
|
|
Net investment
income
|
(0.33)
|
|
(0.52)
|
|
(0.47)
|
|
(0.45)
|
|
(0.05)
|
Return of
Capital
|
—
|
|
—
|
|
—
|
|
—
|
|
(0.08)
|
Total
distributions
|
(0.33)
|
|
(0.52)
|
|
(0.47)
|
|
(0.45)
|
|
(0.13)
|
Net asset value, end of
period
|
$
68.75 |
|
$
80.15 |
|
$
59.40 |
|
$
49.50 |
|
$
48.98 |
Total return
(e)
|
(13.83)%
|
|
35.88%
|
|
21.05%
|
|
2.07%
|
|
(1.78)%
|
Ratios
and Supplemental Data: |
|
|
|
|
|
|
|
|
|
Net assets, end of period (in
000s)
|
$11,849,160
|
|
$15,176,057
|
|
$10,106,071
|
|
$6,039,403
|
|
$2,035,011
|
Ratios
to average net assets: |
|
|
|
|
|
|
|
|
|
Total
expenses
|
0.11%(f)
|
|
0.11%
|
|
0.13%
|
|
0.13%
|
|
0.15%(f)
|
Net
expenses
|
0.11%(f)
|
|
0.11%
|
|
0.13%
|
|
0.13%
|
|
0.13%(f)
|
Net investment income
(loss)
|
0.88%(f)
|
|
0.73%
|
|
0.86%
|
|
0.93%
|
|
0.62%(f)
|
Portfolio turnover rate
(g)
|
44%(h)
|
|
15%
|
|
15%
|
|
16%
|
|
7%(h)
|
*
|
Commencement
of operations. |
(a)
|
Beginning
with the year ended September 30, 2020, the Fund was audited by Ernst & Young LLP. The previous years were audited by another independent registered public accounting firm. |
(b)
|
Per
share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(c)
|
Amounts
shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values
for the Fund. |
(d)
|
Amount
is less than $0.005 per share. |
(e)
|
Total
return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net
asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(f)
|
The
ratios for periods less than one year are annualized. |
(g)
|
Portfolio
turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions on Select Sector SPDR shares. |
(h)
|
Period
less than one year are not annualized. |
See accompanying notes to financial statements.
49
THE SELECT SECTOR
SPDR TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
|
The
Consumer Discretionary Select Sector SPDR Fund |
|
Six
Months Ended 3/31/22 (Unaudited) |
|
Year
Ended 9/30/21 |
|
Year
Ended 9/30/20 |
|
Year
Ended 9/30/19(a) |
|
Year
Ended 9/30/18(a) |
|
Year
Ended 9/30/17(a) |
Net asset value, beginning of
period
|
$
179.54 |
|
$
146.99 |
|
$
120.69 |
|
$
117.19 |
|
$
90.09 |
|
$
80.03 |
Income
(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)
(b)
|
0.58
|
|
1.09
|
|
1.46
|
|
1.58
|
|
1.49
|
|
1.32
|
Net realized and unrealized gain (loss)
(c)
|
5.40
|
|
32.54
|
|
26.34
|
|
3.51
|
|
26.81
|
|
10.07
|
Total from investment
operations
|
5.98
|
|
33.63
|
|
27.80
|
|
5.09
|
|
28.30
|
|
11.39
|
Net equalization credits and charges
(b)
|
(0.01)
|
|
0.01
|
|
(0.06)
|
|
(0.02)
|
|
0.09
|
|
0.02
|
Distributions
to shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
Net investment
income
|
(0.57)
|
|
(1.09)
|
|
(1.44)
|
|
(1.57)
|
|
(1.29)
|
|
(1.35)
|
Net asset value, end of
period
|
$
184.94 |
|
$
179.54 |
|
$
146.99 |
|
$
120.69 |
|
$
117.19 |
|
$
90.09 |
Total return
(d)
|
3.31%
|
|
22.93%
|
|
23.25%
|
|
4.45%
|
|
31.63%
|
|
14.34%
|
Ratios
and Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in
000s)
|
$19,817,210
|
|
$19,633,737
|
|
$15,809,198
|
|
$13,928,314
|
|
$16,218,942
|
|
$11,518,585
|
Ratios
to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
Total
expenses
|
0.11%(e)
|
|
0.11%
|
|
0.13%
|
|
0.13%
|
|
0.13%
|
|
0.14%
|
Net investment income
(loss)
|
0.61%(e)
|
|
0.65%
|
|
1.17%
|
|
1.40%
|
|
1.43%
|
|
1.54%
|
Portfolio turnover rate
(f)
|
10%(g)
|
|
23%
|
|
11%
|
|
6%
|
|
23%
|
|
6%
|
(a)
|
Beginning
with the year ended September 30, 2020, the Fund was audited by Ernst & Young LLP. The previous years were audited by another independent registered public accounting firm. |
(b)
|
Per
share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(c)
|
Amounts
shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values
for the Fund. |
(d)
|
Total
return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net
asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(e)
|
The
ratios for periods less than one year are annualized. |
(f)
|
Portfolio
turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions on Select Sector SPDR shares. |
(g)
|
Not
annualized. |
See accompanying notes to financial statements.
50
THE SELECT SECTOR
SPDR TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
|
The
Consumer Staples Select Sector SPDR Fund |
|
Six
Months Ended 3/31/22 (Unaudited) |
|
Year
Ended 9/30/21 |
|
Year
Ended 9/30/20 |
|
Year
Ended 9/30/19(a) |
|
Year
Ended 9/30/18(a) |
|
Year
Ended 9/30/17(a) |
Net asset value, beginning of
period
|
$
68.83 |
|
$
64.13 |
|
$
61.41 |
|
$
53.92 |
|
$
53.99 |
|
$
53.21 |
Income
(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)
(b)
|
0.93
|
|
1.85
|
|
1.66
|
|
1.60
|
|
1.52
|
|
1.48
|
Net realized and unrealized gain (loss)
(c)
|
6.84
|
|
4.67
|
|
2.70
|
|
7.41
|
|
(0.17)
|
|
0.72
|
Total from investment
operations
|
7.77
|
|
6.52
|
|
4.36
|
|
9.01
|
|
1.35
|
|
2.20
|
Net equalization credits and charges
(b)
|
0.01
|
|
(0.01)
|
|
0.00(d)
|
|
0.05
|
|
0.08
|
|
0.04
|
Distributions
to shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
Net investment
income
|
(0.85)
|
|
(1.81)
|
|
(1.64)
|
|
(1.57)
|
|
(1.50)
|
|
(1.46)
|
Net asset value, end of
period
|
$
75.76 |
|
$
68.83 |
|
$
64.13 |
|
$
61.41 |
|
$
53.92 |
|
$
53.99 |
Total return
(e)
|
11.32%
|
|
10.19%
|
|
7.32%
|
|
17.14%
|
|
2.70%
|
|
4.21%
|
Ratios
and Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in
000s)
|
$15,320,795
|
|
$11,757,576
|
|
$13,687,240
|
|
$14,015,004
|
|
$9,256,716
|
|
$8,808,903
|
Ratios
to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
Total
expenses
|
0.11%(f)
|
|
0.11%
|
|
0.13%
|
|
0.13%
|
|
0.13%
|
|
0.14%
|
Net investment income
(loss)
|
2.51%(f)
|
|
2.71%
|
|
2.73%
|
|
2.84%
|
|
2.84%
|
|
2.73%
|
Portfolio turnover rate
(g)
|
8%(h)
|
|
4%
|
|
5%
|
|
10%
|
|
12%
|
|
12%
|
(a)
|
Beginning
with the year ended September 30, 2020, the Fund was audited by Ernst & Young LLP. The previous years were audited by another independent registered public accounting firm. |
(b)
|
Per
share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(c)
|
Amounts
shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values
for the Fund. |
(d)
|
Amount
is less than $0.005 per share. |
(e)
|
Total
return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net
asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(f)
|
The
ratios for periods less than one year are annualized. |
(g)
|
Portfolio
turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions on Select Sector SPDR shares. |
(h)
|
Not
annualized. |
See accompanying notes to financial statements.
51
THE SELECT SECTOR
SPDR TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
|
The
Energy Select Sector SPDR Fund |
|
Six
Months Ended 3/31/22 (Unaudited) |
|
Year
Ended 9/30/21 |
|
Year
Ended 9/30/20 |
|
Year
Ended 9/30/19(a) |
|
Year
Ended 9/30/18(a) |
|
Year
Ended 9/30/17(a) |
Net asset value, beginning of
period
|
$
52.12 |
|
$
29.97 |
|
$
59.18 |
|
$
75.75 |
|
$
68.46 |
|
$
70.62 |
Income
(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)
(b)
|
1.41
|
|
2.11
|
|
2.19
|
|
4.01
|
|
1.95
|
|
2.16(c)
|
Net realized and unrealized gain (loss)
(d)
|
24.31
|
|
22.11
|
|
(27.49)
|
|
(18.36)
|
|
7.32
|
|
(2.18)
|
Total from investment
operations
|
25.72
|
|
24.22
|
|
(25.30)
|
|
(14.35)
|
|
9.27
|
|
(0.02)
|
Net equalization credits and charges
(b)
|
(0.03)
|
|
0.09
|
|
0.08
|
|
(0.04)
|
|
(0.02)
|
|
0.00(e)
|
Voluntary Contribution from
Affiliate
|
—
|
|
—
|
|
0.00(e)(f)
|
|
—
|
|
—
|
|
—
|
Distributions
to shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
Net investment
income
|
(1.39)
|
|
(2.16)
|
|
(3.99)
|
|
(2.18)
|
|
(1.96)
|
|
(2.14)
|
Net asset value, end of
period
|
$
76.42 |
|
$
52.12 |
|
$
29.97 |
|
$
59.18 |
|
$
75.75 |
|
$
68.46 |
Total return
(g)
|
49.83%
|
|
81.93%
|
|
(44.68)%(h)
|
|
(19.08)%
|
|
13.64%
|
|
(0.01)%
|
Ratios
and Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in
000s)
|
$36,711,961
|
|
$25,084,339
|
|
$8,430,789
|
|
$10,014,781
|
|
$18,435,159
|
|
$16,617,835
|
Ratios
to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
Total
expenses
|
0.11%(i)
|
|
0.11%
|
|
0.13%
|
|
0.13%
|
|
0.13%
|
|
0.14%
|
Net investment income
(loss)
|
4.52%(i)
|
|
4.54%
|
|
5.08%
|
|
6.25%
|
|
2.71%
|
|
3.12%
|
Portfolio turnover rate
(j)
|
3%(k)
|
|
14%
|
|
13%
|
|
10%
|
|
8%
|
|
23%
|
(a)
|
Beginning
with the year ended September 30, 2020, the Fund was audited by Ernst & Young LLP. The previous years were audited by another independent registered public accounting firm. |
(b)
|
Per
share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(c)
|
Net
investment income per share and ratio of net investment income to average net assets reflect receipt of special dividend from portfolio holding. The resulting increase to net investment income amounted to $0.44 per share and 0.64% of average net
assets. If the special dividends were not received during the year ended September 30, 2017, the total return would have been (0.63)%. |
(d)
|
Amounts
shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values
for the Fund. |
(e)
|
Amount
is less than $0.005 per share. |
(f)
|
Contribution
paid by an Affiliate in the amount of $290,417. |
(g)
|
Total
return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net
asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(h)
|
The
contribution from an Affiliate had no impact on total return. |
(i)
|
The
ratios for periods less than one year are annualized. |
(j)
|
Portfolio
turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions on Select Sector SPDR shares. |
(k)
|
Not
annualized. |
See accompanying notes to financial statements.
52
THE SELECT SECTOR
SPDR TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
|
The
Financial Select Sector SPDR Fund |
|
Six
Months Ended 3/31/22 (Unaudited) |
|
Year
Ended 9/30/21 |
|
Year
Ended 9/30/20 |
|
Year
Ended 9/30/19(a) |
|
Year
Ended 9/30/18(a) |
|
Year
Ended 9/30/17(a) |
Net asset value, beginning of
period
|
$
37.53 |
|
$
24.06 |
|
$
28.02 |
|
$
27.58 |
|
$
25.84 |
|
$
19.31 |
Income
(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)
(b)
|
0.33
|
|
0.61
|
|
0.60
|
|
0.57
|
|
0.48
|
|
0.39
|
Net realized and unrealized gain (loss)
(c)
|
0.79
|
|
13.44
|
|
(3.94)
|
|
0.46
|
|
1.73
|
|
6.50
|
Total from investment
operations
|
1.12
|
|
14.05
|
|
(3.34)
|
|
1.03
|
|
2.21
|
|
6.89
|
Net equalization credits and charges
(b)
|
(0.00)(d)
|
|
0.02
|
|
(0.02)
|
|
(0.03)
|
|
0.01
|
|
0.03
|
Distributions
to shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
Net investment
income
|
(0.34)
|
|
(0.60)
|
|
(0.60)
|
|
(0.56)
|
|
(0.48)
|
|
(0.39)
|
Net asset value, end of
period
|
$
38.31 |
|
$
37.53 |
|
$
24.06 |
|
$
28.02 |
|
$
27.58 |
|
$
25.84 |
Total return
(e)
|
2.96%
|
|
58.79%
|
|
(11.98)%
|
|
3.81%
|
|
8.58%
|
|
36.01%(f)
|
Ratios
and Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in
000s)
|
$45,882,498
|
|
$40,412,690
|
|
$16,646,404
|
|
$22,552,204
|
|
$31,053,806
|
|
$27,418,852
|
Ratios
to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
Total
expenses
|
0.11%(g)
|
|
0.11%
|
|
0.13%
|
|
0.13%
|
|
0.13%
|
|
0.14%
|
Net investment income
(loss)
|
1.71%(g)
|
|
1.80%
|
|
2.30%
|
|
2.13%
|
|
1.72%
|
|
1.65%
|
Portfolio turnover rate
(h)
|
3%(i)
|
|
3%
|
|
4%
|
|
4%
|
|
3%
|
|
3%
|
(a)
|
Beginning
with the year ended September 30, 2020, the Fund was audited by Ernst & Young LLP. The previous years were audited by another independent registered public accounting firm. |
(b)
|
Per
share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(c)
|
Amounts
shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values
for the Fund. |
(d)
|
Amount
is less than $0.005 per share. |
(e)
|
Total
return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net
asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(f)
|
Includes
a non-recurring litigation payment received by the Fund from State Street Corp., an affiliate, which amounted to less than $0.005 per share outstanding as of March 20,2017. This payment resulted in an increase to total return of less than 0.005%
for the period ended September 30, 2017. |
(g)
|
The
ratios for periods less than one year are annualized. |
(h)
|
Portfolio
turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions on Select Sector SPDR shares. |
(i)
|
Not
annualized. |
See accompanying notes to financial statements.
53
THE SELECT SECTOR
SPDR TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
|
The
Health Care Select Sector SPDR Fund |
|
Six
Months Ended 3/31/22 (Unaudited) |
|
Year
Ended 9/30/21 |
|
Year
Ended 9/30/20 |
|
Year
Ended 9/30/19(a) |
|
Year
Ended 9/30/18(a) |
|
Year
Ended 9/30/17(a) |
Net asset value, beginning of
period
|
$
127.26 |
|
$
105.56 |
|
$
90.13 |
|
$
95.11 |
|
$
81.76 |
|
$
72.09 |
Income
(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)
(b)
|
0.96
|
|
1.85
|
|
1.66
|
|
2.29
|
|
1.31
|
|
1.20
|
Net realized and unrealized gain (loss)
(c)
|
9.48
|
|
21.65
|
|
16.08
|
|
(5.75)
|
|
13.34
|
|
9.64
|
Total from investment
operations
|
10.44
|
|
23.50
|
|
17.74
|
|
(3.46)
|
|
14.65
|
|
10.84
|
Net equalization credits and charges
(b)
|
0.02
|
|
0.01
|
|
(0.00)(d)
|
|
(0.02)
|
|
0.01
|
|
0.02
|
Distributions
to shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
Net investment
income
|
(0.95)
|
|
(1.81)
|
|
(2.31)
|
|
(1.50)
|
|
(1.31)
|
|
(1.19)
|
Net asset value, end of
period
|
$
136.77 |
|
$
127.26 |
|
$
105.56 |
|
$
90.13 |
|
$
95.11 |
|
$
81.76 |
Total return
(e)
|
8.22%
|
|
22.37%
|
|
19.90%
|
|
(3.65)%
|
|
18.10%
|
|
15.21%
|
Ratios
and Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in
000s)
|
$37,032,011
|
|
$30,358,856
|
|
$23,873,455
|
|
$16,818,717
|
|
$19,632,378
|
|
$17,711,627
|
Ratios
to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
Total
expenses
|
0.11%(f)
|
|
0.11%
|
|
0.13%
|
|
0.13%
|
|
0.13%
|
|
0.14%
|
Net investment income
(loss)
|
1.46%(f)
|
|
1.54%
|
|
1.67%
|
|
2.53%
|
|
1.54%
|
|
1.60%
|
Portfolio turnover rate
(g)
|
1%(h)
|
|
4%
|
|
3%
|
|
2%
|
|
5%
|
|
4%
|
(a)
|
Beginning
with the year ended September 30, 2020, the Fund was audited by Ernst & Young LLP. The previous years were audited by another independent registered public accounting firm. |
(b)
|
Per
share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(c)
|
Amounts
shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values
for the Fund. |
(d)
|
Amount
is less than $0.005 per share. |
(e)
|
Total
return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net
asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(f)
|
The
ratios for periods less than one year are annualized. |
(g)
|
Portfolio
turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions on Select Sector SPDR shares. |
(h)
|
Not
annualized. |
See accompanying notes to financial statements.
54
THE SELECT SECTOR
SPDR TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
|
The
Industrial Select Sector SPDR Fund |
|
Six
Months Ended 3/31/22 (Unaudited) |
|
Year
Ended 9/30/21 |
|
Year
Ended 9/30/20 |
|
Year
Ended 9/30/19(a) |
|
Year
Ended 9/30/18(a) |
|
Year
Ended 9/30/17(a) |
Net asset value, beginning of
period
|
$
97.77 |
|
$
76.98 |
|
$
77.66 |
|
$
78.37 |
|
$
70.99 |
|
$
58.39 |
Income
(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)
(b)
|
0.71
|
|
1.27
|
|
1.39
|
|
1.52
|
|
1.30
|
|
1.35
|
Net realized and unrealized gain (loss)
(c)
|
5.19
|
|
20.81
|
|
(0.68)
|
|
(0.63)
|
|
7.49
|
|
12.58
|
Total from investment
operations
|
5.90
|
|
22.08
|
|
0.71
|
|
0.89
|
|
8.79
|
|
13.93
|
Net equalization credits and charges
(b)
|
(0.02)
|
|
0.01
|
|
0.02
|
|
(0.03)
|
|
(0.02)
|
|
(0.01)
|
Voluntary contribution from
Affiliate
|
—
|
|
—
|
|
—
|
|
0.00(d)(e)
|
|
—
|
|
—
|
Distributions
to shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
Net investment
income
|
(0.73)
|
|
(1.30)
|
|
(1.41)
|
|
(1.57)
|
|
(1.39)
|
|
(1.32)
|
Net asset value, end of
period
|
$
102.92 |
|
$
97.77 |
|
$
76.98 |
|
$
77.66 |
|
$
78.37 |
|
$
70.99 |
Total return
(f)
|
6.00%
|
|
28.74%
|
|
1.12%
|
|
1.25%(g)
|
|
12.43%
|
|
24.03%
|
Ratios
and Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in
000s)
|
$16,150,926
|
|
$17,367,182
|
|
$12,179,734
|
|
$9,802,368
|
|
$12,925,332
|
|
$11,055,679
|
Ratios
to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
Total
expenses
|
0.11%(h)
|
|
0.11%
|
|
0.13%
|
|
0.13%
|
|
0.13%
|
|
0.14%
|
Net investment income
(loss)
|
1.39%(h)
|
|
1.33%
|
|
1.87%
|
|
2.07%
|
|
1.74%
|
|
2.07%
|
Portfolio turnover rate
(i)
|
3%(j)
|
|
2%
|
|
3%
|
|
3%
|
|
6%
|
|
5%
|
(a)
|
Beginning
with the year ended September 30, 2020, the Fund was audited by Ernst & Young LLP. The previous years were audited by another independent registered public accounting firm. |
(b)
|
Per
share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(c)
|
Amounts
shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values
for the Fund. |
(d)
|
Amount
is less than $0.005 per share. |
(e)
|
Contribution
paid by an Affiliate in the amount of $60,421. |
(f)
|
Total
return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net
asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(g)
|
The
contribution from an Affiliate had no impact on total return. |
(h)
|
The
ratios for periods less than one year are annualized. |
(i)
|
Portfolio
turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions on Select Sector SPDR shares. |
(j)
|
Not
annualized. |
See accompanying notes to financial statements.
55
THE SELECT SECTOR
SPDR TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
|
The
Materials Select Sector SPDR Fund |
|
Six
Months Ended 3/31/22 (Unaudited) |
|
Year
Ended 9/30/21 |
|
Year
Ended 9/30/20 |
|
Year
Ended 9/30/19(a) |
|
Year
Ended 9/30/18(a) |
|
Year
Ended 9/30/17(a) |
Net asset value, beginning of
period
|
$
79.11 |
|
$
63.62 |
|
$
58.17 |
|
$
57.92 |
|
$
56.80 |
|
$
47.75 |
Income
(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)
(b)
|
0.74
|
|
1.45
|
|
1.23
|
|
1.20
|
|
1.09
|
|
1.01
|
Net realized and unrealized gain (loss)
(c)
|
9.05
|
|
15.43
|
|
5.47
|
|
0.28
|
|
1.09
|
|
9.06
|
Total from investment
operations
|
9.79
|
|
16.88
|
|
6.70
|
|
1.48
|
|
2.18
|
|
10.07
|
Net equalization credits and charges
(b)
|
(0.02)
|
|
(0.00)(d)
|
|
(0.03)
|
|
(0.03)
|
|
0.02
|
|
0.03
|
Distributions
to shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
Net investment
income
|
(0.76)
|
|
(1.39)
|
|
(1.22)
|
|
(1.20)
|
|
(1.08)
|
|
(1.05)
|
Net asset value, end of
period
|
$
88.12 |
|
$
79.11 |
|
$
63.62 |
|
$
58.17 |
|
$
57.92 |
|
$
56.80 |
Total return
(e)
|
12.35%
|
|
26.60%
|
|
11.76%
|
|
2.64%
|
|
3.84%
|
|
21.33%
|
Ratios
and Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in
000s)
|
$7,730,259
|
|
$7,501,906
|
|
$3,917,044
|
|
$4,201,473
|
|
$4,547,766
|
|
$4,051,402
|
Ratios
to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
Total
expenses
|
0.11%(f)
|
|
0.11%
|
|
0.13%
|
|
0.13%
|
|
0.13%
|
|
0.14%
|
Net investment income
(loss)
|
1.72%(f)
|
|
1.83%
|
|
2.15%
|
|
2.18%
|
|
1.84%
|
|
1.95%
|
Portfolio turnover rate
(g)
|
1%(h)
|
|
5%
|
|
4%
|
|
20%
|
|
17%
|
|
10%
|
(a)
|
Beginning
with the year ended September 30, 2020, the Fund was audited by Ernst & Young LLP. The previous years were audited by another independent registered public accounting firm. |
(b)
|
Per
share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(c)
|
Amounts
shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values
for the Fund. |
(d)
|
Amount
is less than $0.005 per share. |
(e)
|
Total
return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net
asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(f)
|
The
ratios for periods less than one year are annualized. |
(g)
|
Portfolio
turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions on Select Sector SPDR shares. |
(h)
|
Not
annualized. |
See accompanying notes to financial statements.
56
THE SELECT SECTOR
SPDR TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
|
The
Real Estate Select Sector SPDR Fund |
|
Six
Months Ended 3/31/22 (Unaudited) |
|
Year
Ended 9/30/21 |
|
Year
Ended 9/30/20 |
|
Year
Ended 9/30/19(a) |
|
Year
Ended 9/30/18(a) |
|
Year
Ended 9/30/17(a) |
Net asset value, beginning of
period
|
$
44.47 |
|
$
35.30 |
|
$
39.35 |
|
$
32.62 |
|
$
32.26 |
|
$
32.74 |
Income
(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)
(b)
|
0.68
|
|
0.85
|
|
0.88
|
|
0.95
|
|
0.95
|
|
0.75
|
Net realized and unrealized gain (loss)
(c)
|
3.79
|
|
9.66
|
|
(3.78)
|
|
6.91
|
|
0.58
|
|
0.11
|
Total from investment
operations
|
4.47
|
|
10.51
|
|
(2.90)
|
|
7.86
|
|
1.53
|
|
0.86
|
Net equalization credits and charges
(b)
|
0.04
|
|
0.05
|
|
(0.05)
|
|
0.01
|
|
0.00(d)
|
|
(0.08)
|
Distributions
to shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
Net investment
income
|
(0.69)
|
|
(1.39)
|
|
(1.10)
|
|
(1.14)
|
|
(1.17)
|
|
(1.26)
|
Net asset value, end of
period
|
$
48.29 |
|
$
44.47 |
|
$
35.30 |
|
$
39.35 |
|
$
32.62 |
|
$
32.26 |
Total return
(e)
|
10.17%
|
|
30.42%
|
|
(7.46)%
|
|
24.64%
|
|
4.87%
|
|
2.52%
|
Ratios
and Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in
000s)
|
$5,730,199
|
|
$4,282,141
|
|
$2,264,406
|
|
$3,884,273
|
|
$2,732,078
|
|
$2,354,818
|
Ratios
to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
Total
expenses
|
0.11%(f)
|
|
0.11%
|
|
0.13%
|
|
0.13%
|
|
0.13%
|
|
0.14%
|
Net
expenses
|
0.11%(f)
|
|
0.11%
|
|
0.13%
|
|
0.13%
|
|
0.13%
|
|
0.14%
|
Net investment income
(loss)
|
2.86%(f)
|
|
2.05%
|
|
2.42%
|
|
2.69%
|
|
2.94%
|
|
2.38%
|
Portfolio turnover rate
(g)
|
2%(h)
|
|
4%
|
|
5%
|
|
3%
|
|
7%
|
|
16%
|
(a)
|
Beginning
with the year ended September 30, 2020, the Fund was audited by Ernst & Young LLP. The previous years were audited by another independent registered public accounting firm. |
(b)
|
Per
share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(c)
|
Amounts
shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values
for the Fund. |
(d)
|
Amount
is less than $0.005 per share. |
(e)
|
Total
return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net
asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(f)
|
The
ratios for periods less than one year are annualized. |
(g)
|
Portfolio
turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions on Select Sector SPDR shares. |
(h)
|
Not
annualized. |
See accompanying notes to financial statements.
57
THE SELECT SECTOR
SPDR TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
|
The
Technology Select Sector SPDR Fund |
|
Six
Months Ended 3/31/22 (Unaudited) |
|
Year
Ended 9/30/21 |
|
Year
Ended 9/30/20 |
|
Year
Ended 9/30/19(a) |
|
Year
Ended 9/30/18(a) |
|
Year
Ended 9/30/17(a) |
Net asset value, beginning of
period
|
$
149.35 |
|
$
116.76 |
|
$
80.51 |
|
$
75.30 |
|
$
59.13 |
|
$
47.78 |
Income
(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)
(b)
|
0.60
|
|
1.11
|
|
1.20
|
|
1.05
|
|
0.93
|
|
0.85
|
Net realized and unrealized gain (loss)
(c)
|
9.35
|
|
32.60
|
|
36.24
|
|
5.18
|
|
16.17
|
|
11.35
|
Total from investment
operations
|
9.95
|
|
33.71
|
|
37.44
|
|
6.23
|
|
17.10
|
|
12.20
|
Net equalization credits and charges
(b)
|
0.00(d)
|
|
(0.02)
|
|
(0.00)(d)
|
|
0.01
|
|
0.04
|
|
(0.00)(d)
|
Distributions
to shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
Net investment
income
|
(0.60)
|
|
(1.10)
|
|
(1.19)
|
|
(1.03)
|
|
(0.97)
|
|
(0.85)
|
Net asset value, end of
period
|
$
158.70 |
|
$
149.35 |
|
$
116.76 |
|
$
80.51 |
|
$
75.30 |
|
$
59.13 |
Total return
(e)
|
6.65%
|
|
28.93%
|
|
46.88%
|
|
8.44%
|
|
29.14%
|
|
25.72%
|
Ratios
and Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in
000s)
|
$47,556,511
|
|
$43,022,516
|
|
$34,095,026
|
|
$22,417,160
|
|
$22,959,484
|
|
$17,832,444
|
Ratios
to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
Total
expenses
|
0.11%(f)
|
|
0.11%
|
|
0.13%
|
|
0.13%
|
|
0.13%
|
|
0.14%
|
Net investment income
(loss)
|
0.75%(f)
|
|
0.81%
|
|
1.24%
|
|
1.44%
|
|
1.37%
|
|
1.62%
|
Portfolio turnover rate
(g)
|
3%(h)
|
|
4%
|
|
3%
|
|
6%
|
|
19%
|
|
4%
|
(a)
|
Beginning
with the year ended September 30, 2020, the Fund was audited by Ernst & Young LLP. The previous years were audited by another independent registered public accounting firm. |
(b)
|
Per
share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(c)
|
Amounts
shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values
for the Fund. |
(d)
|
Amount
is less than $0.005 per share. |
(e)
|
Total
return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net
asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(f)
|
The
ratios for periods less than one year are annualized. |
(g)
|
Portfolio
turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions on Select Sector SPDR shares. |
(h)
|
Not
annualized. |
See accompanying notes to financial statements.
58
THE SELECT SECTOR
SPDR TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
|
The
Utilities Select Sector SPDR Fund |
|
Six
Months Ended 3/31/22 (Unaudited) |
|
Year
Ended 9/30/21 |
|
Year
Ended 9/30/20 |
|
Year
Ended 9/30/19(a) |
|
Year
Ended 9/30/18(a) |
|
Year
Ended 9/30/17(a) |
Net asset value, beginning of
period
|
$
63.88 |
|
$
59.40 |
|
$
64.73 |
|
$
52.68 |
|
$
53.05 |
|
$
49.00 |
Income
(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)
(b)
|
1.03
|
|
1.86
|
|
2.00
|
|
1.90
|
|
1.76
|
|
1.69
|
Net realized and unrealized gain (loss)
(c)
|
10.55
|
|
4.61
|
|
(5.36)
|
|
12.01
|
|
(0.28)
|
|
4.07
|
Total from investment
operations
|
11.58
|
|
6.47
|
|
(3.36)
|
|
13.91
|
|
1.48
|
|
5.76
|
Net equalization credits and charges
(b)
|
(0.01)
|
|
(0.01)
|
|
(0.02)
|
|
0.01
|
|
(0.04)
|
|
(0.01)
|
Distributions
to shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
Net investment
income
|
(1.02)
|
|
(1.98)
|
|
(1.95)
|
|
(1.87)
|
|
(1.81)
|
|
(1.70)
|
Net asset value, end of
period
|
$
74.43 |
|
$
63.88 |
|
$
59.40 |
|
$
64.73 |
|
$
52.68 |
|
$
53.05 |
Total return
(d)
|
18.20%
|
|
10.95%
|
|
(5.12)%
|
|
26.85%
|
|
2.89%
|
|
11.88%
|
Ratios
and Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in
000s)
|
$14,899,039
|
|
$11,956,669
|
|
$11,405,751
|
|
$11,296,483
|
|
$7,642,260
|
|
$7,775,414
|
Ratios
to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
Total
expenses
|
0.11%(e)
|
|
0.11%
|
|
0.13%
|
|
0.13%
|
|
0.13%
|
|
0.14%
|
Net investment income
(loss)
|
3.02%(e)
|
|
2.89%
|
|
3.29%
|
|
3.30%
|
|
3.37%
|
|
3.32%
|
Portfolio turnover rate
(f)
|
1%(g)
|
|
3%
|
|
3%
|
|
5%
|
|
5%
|
|
2%
|
(a)
|
Beginning
with the year ended September 30, 2020, the Fund was audited by Ernst & Young LLP. The previous years were audited by another independent registered public accounting firm. |
(b)
|
Per
share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(c)
|
Amounts
shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values
for the Fund. |
(d)
|
Total
return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net
asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(e)
|
The
ratios for periods less than one year are annualized. |
(f)
|
Portfolio
turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(g)
|
Not
annualized. |
See accompanying notes to financial statements.
59
THE SELECT SECTOR
SPDR TRUST
NOTES TO FINANCIAL STATEMENTS
March 31, 2022 (Unaudited)
1. Organization
The Select Sector SPDR Trust (the
“Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.
As of March 31, 2022, the Trust consists of eleven
(11) series, each of which represents a separate series of beneficial interest in the Trust. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of an unlimited number of shares of
beneficial interest at $0.01 par value. The financial statements herein relate to the following series (each a “Fund”, and collectively, the “Funds”):
The
Communication Services Select Sector SPDR Fund |
The
Consumer Discretionary Select Sector SPDR Fund |
The
Consumer Staples Select Sector SPDR Fund |
The
Energy Select Sector SPDR Fund |
The
Financial Select Sector SPDR Fund |
The
Health Care Select Sector SPDR Fund |
The
Industrial Select Sector SPDR Fund |
The
Materials Select Sector SPDR Fund |
The
Real Estate Select Sector SPDR Fund |
The
Technology Select Sector SPDR Fund |
The
Utilities Select Sector SPDR Fund |
Each Fund is classified as a
non-diversified investment company under the 1940 Act.
Under the Trust’s organizational
documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. The Trust has entered into an Indemnification Agreement with each trustee who is not an “interested
person” (as defined in the 1940 Act) (each, an “Independent Trustee”) providing for indemnification of the Independent Trustee by the Trust consistent with the foregoing and providing procedures for seeking and obtaining
indemnification advancement of expenses. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements
is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.
2. Summary of
Significant Accounting Policies
The
following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements
in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could
differ from those estimates. Each Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation
Each Fund's investments are valued at
fair value each day that the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE is not open. Fair value is generally defined as the
price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale
and may not reflect an actual market price. The investments of each Fund are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board. The Committee provides oversight
of the valuation of investments for the Funds. The Board has responsibility for overseeing the determination of the fair value of investments.
Valuation techniques used to value each
Fund’s investments by major category are as follows:
• Equity
investments (including registered investment companies that are exchange-traded funds) traded on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as
applicable, on the primary market or exchange on which they trade. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value.
• Investments in
registered investment companies (including money market funds) or other unitized pooled investment
THE SELECT SECTOR
SPDR TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
March 31, 2022 (Unaudited)
vehicles that are not traded on an exchange are
valued at that day’s published net asset value (“NAV”) per share or unit.
• Exchange-traded
futures contracts are valued at the closing settlement price on the primary market on which they are traded most extensively. Exchange-traded futures contracts traded on a recognized exchange for which there were no sales on that day are valued at
the last reported sale price obtained from independent pricing services or brokers or at fair value.
In the event prices or quotations are not readily
available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in
accordance with the valuation policy and procedures approved by the Board.
Fair value pricing could result in a difference
between the prices used to calculate a Fund's NAV and the prices used by the Funds' respective Select Sector Index, which in turn could result in a difference between the Fund's performance and the performance of the Fund's respective Select Sector
Index. Various inputs are used in determining the value of the Funds' investments.
The Funds value their assets and liabilities at fair
value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities
(Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the
pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value hierarchy are as
follows:
• Level 1 –
Unadjusted quoted prices in active markets for an identical asset or liability;
• Level
2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical
or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities,
prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and
• Level
3 – Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.
The value of each Fund’s investments according
to the fair value hierarchy as of March 31, 2022 is disclosed in each Fund’s respective Schedule of Investments.
Investment Transactions and Income Recognition
Investment transactions are accounted for on trade
date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method.
Dividend income and capital gain distributions, if
any, are recognized on the ex-dividend date, or when the information becomes available, net of any foreign taxes withheld at source, if any. Non-cash dividends received in the form of stock, if any, are recorded as dividend income at fair value.
Distributions received by the Funds may include a return of capital that is estimated by management. Such amounts are recorded as a reduction of the cost of investments or reclassified to capital gains.
Certain Funds invest in real estate investment
trusts (“REITs”). REITs determine the tax character of their distributions annually and may characterize a portion of their distributions as a return of capital or capital gain. The Funds' policy is to record all REIT distributions
initially as dividend income and re-designate a portion to return of capital or capital gain distributions at year end based on information provided by the REIT and/or SSGA Funds Management, Inc.’s (the “Adviser” or “SSGA
FM”) estimates of such re-designations for which actual information has not yet been reported.
THE SELECT SECTOR
SPDR TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
March 31, 2022 (Unaudited)
Expenses
Certain expenses, which are directly identifiable to
a specific Fund, are applied to that Fund within the Trust. Other expenses which cannot be attributed to a specific Fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative
net assets of the Funds within the Trust.
Foreign Taxes
The Funds may be subject to foreign taxes (a portion
of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with SSGA FM's understanding of the applicable foreign
tax regulations and rates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Funds and are reflected in the Statements of Operations, if applicable. Foreign taxes payable or deferred as of
March 31, 2022, if any, are disclosed in the Funds' Statements of Assets and Liabilities.
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. Amounts related to Equalization can be found on the Statements of Changes in Net
Assets.
Distributions
Distributions from net investment income, if any,
are declared and paid quarterly. Net realized capital gains, if any, are distributed annually. Dividends may be declared and paid more frequently or at any other times to improve Index tracking or to comply with the distribution requirements of the
Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”). The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net
investment income and realized gains recognized for U.S. GAAP purposes.
3. Derivative Financial
Instruments
Futures Contracts
The Fund may enter into futures contracts to meet
its objectives. A futures contract is a standardized, exchange-traded agreement to buy or sell a financial instrument at a set price on a future date. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or
securities in an amount equal to the minimum initial margin requirements of the clearing house. Securities deposited, if any, are designated on the Schedules of Investments and cash deposited, if any, is included in Net cash at broker on the
Statements of Assets and Liabilities. Subsequent payments are made or received by Fund equal to the daily change in the contract value, accumulated, exchange rates, and or other transactional fees. The accumulation of those payments are recorded as
variation margin receivable or payable with a corresponding offset to unrealized gains or losses. The Fund recognizes a realized gain or loss when the contract is closed.
Losses may arise if the value of a futures contract
decreases due to unfavorable changes in the market rates or values of the underlying instrument during the term of the contract or if the counterparty does not perform under the contract. The use of futures contracts also involves the risk that the
movements in the price of the futures contracts do not correlate with the movement of the assets underlying such contracts.
THE SELECT SECTOR
SPDR TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
March 31, 2022 (Unaudited)
For the period ended March 31, 2022, the Energy
Select Sector SPDR Fund entered into futures contracts for cash equitization, to reduce tracking error and to facilitate daily liquidity.
|
Asset
Derivatives |
|
|
|
|
|
|
Interest
Rate Risk |
|
Foreign
Exchange Risk |
|
Credit
Risk |
|
Equity
Risk |
|
Commodity
Risk |
|
Total
|
The
Energy Select Sector SPDR Fund |
|
|
|
|
|
|
|
|
|
|
|
Futures
Contracts
|
$—
|
|
$—
|
|
$—
|
|
$
330,000 |
|
$—
|
|
$
330,000 |
The
Industrial Select Sector SPDR Fund |
|
|
|
|
|
|
|
|
|
|
|
Futures
Contracts
|
—
|
|
—
|
|
—
|
|
1,644,450
|
|
—
|
|
1,644,450
|
The
Real Estate Select Sector SPDR Fund |
|
|
|
|
|
|
|
|
|
|
|
Futures
Contracts
|
—
|
|
—
|
|
—
|
|
508,238
|
|
—
|
|
508,238
|
The
Technology Select Sector SPDR Fund |
|
|
|
|
|
|
|
|
|
|
|
Futures
Contracts
|
—
|
|
—
|
|
—
|
|
7,398,194
|
|
—
|
|
7,398,194
|
|
Net
Realized Gain (Loss) |
|
|
|
|
|
|
Interest
Rate Risk |
|
Foreign
Exchange Risk |
|
Credit
Risk |
|
Equity
Risk |
|
Commodity
Risk |
|
Total
|
The
Energy Select Sector SPDR Fund |
|
|
|
|
|
|
|
|
|
|
|
Futures
Contracts
|
$—
|
|
$—
|
|
$—
|
|
$27,414,713
|
|
$—
|
|
$27,414,713
|
The
Industrial Select Sector SPDR Fund |
|
|
|
|
|
|
|
|
|
|
|
Futures
Contracts
|
—
|
|
—
|
|
—
|
|
(161,684)
|
|
—
|
|
(161,684)
|
The
Real Estate Select Sector SPDR Fund |
|
|
|
|
|
|
|
|
|
|
|
Futures
Contracts
|
—
|
|
—
|
|
—
|
|
667,311
|
|
—
|
|
667,311
|
The
Technology Select Sector SPDR Fund |
|
|
|
|
|
|
|
|
|
|
|
Futures
Contracts
|
—
|
|
—
|
|
—
|
|
(5,370,749)
|
|
—
|
|
(5,370,749)
|
|
Net
Change in Unrealized Appreciation (Depreciation) |
|
|
|
|
|
|
Interest
Rate Risk |
|
Foreign
Exchange Risk |
|
Credit
Risk |
|
Equity
Risk |
|
Commodity
Risk |
|
Total
|
The
Energy Select Sector SPDR Fund |
|
|
|
|
|
|
|
|
|
|
|
Futures
Contracts
|
$—
|
|
$—
|
|
$—
|
|
(2,246,625)
|
|
$—
|
|
(2,246,625)
|
The
Industrial Select Sector SPDR Fund |
|
|
|
|
|
|
|
|
|
|
|
Futures
Contracts
|
—
|
|
—
|
|
—
|
|
3,942,922
|
|
—
|
|
3,942,922
|
The
Real Estate Select Sector SPDR Fund |
|
|
|
|
|
|
|
|
|
|
|
Futures
Contracts
|
—
|
|
—
|
|
—
|
|
1,034,829
|
|
—
|
|
1,034,829
|
The
Technology Select Sector SPDR Fund |
|
|
|
|
|
|
|
|
|
|
|
Futures
Contracts
|
—
|
|
—
|
|
—
|
|
10,933,308
|
|
—
|
|
10,933,308
|
4. Fees and Transactions with
Affiliates
Advisory and Administration Fee
The Trust, on behalf of each Fund, has entered into
an Investment Advisory Agreement with SSGA FM. For its advisory services to the Funds, each Fund pays the Adviser a fee accrued daily and paid monthly. The advisory fee is calculated based upon the average daily net assets of the Trust and allocated
pro rata to each Select Sector SPDR Fund based on the relative net assets of each Fund. The advisory fee is a sliding scale fee calculated as follows: (i) 0.05% of average daily net assets of the Trust up to the first $12.5 billion of net assets;
(ii) 0.04% of average daily net assets of the Trust up to the next $17.5 billion of net assets; (iii) 0.035% of average daily net assets of the Trust up to the next $20.0 billion of net assets; (iv) 0.03% of average daily net assets of the Trust up
to the next $50.0 billion of net assets; (v) 0.0285% of average daily net assets of the Trust up to
THE SELECT SECTOR
SPDR TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
March 31, 2022 (Unaudited)
the next $50.0 billion of net assets; (vi) 0.0271% of average daily
net assets of the Trust up to the next $50.0 billion of net assets; and (vii) 0.0256% of average daily net assets on the remainder of net assets of the Trust. From time to time, the Adviser may waive all or a portion of its fees.
The Adviser had contractually agreed to waive a
portion of its advisory fee and reimburse certain expenses, until January 31, 2022, so that the annual Fund operating expenses of The Communication Services Select Sector SPDR Fund were limited to no more than 0.1345% of the Fund’s average
daily net assets (exclusive of non-recurring account fees and expenses). This contractual fee waiver and/or reimbursement did not provide for the recoupment by the Adviser of any amounts waived or reimbursed. The Adviser did not waive advisory fees
or reimburse expenses for The Communication Services Select Sector SPDR Fund during the period ended March 31, 2022. This contractual waiver and/or reimbursement expired January 31, 2022.
The Trust has also entered into an Administration
Agreement with SSGA FM to serve as each Fund's Administrator. For its administration services to the Funds, each Fund pays SSGA FM a fee accrued daily and paid monthly at a rate 0.0006% of its average daily net assets.
Unitary Fee
State Street Bank and Trust Company (“State
Street”), an affiliate of the Adviser, serves as custodian, sub-administrator and transfer agent to each Fund of the Trust. A “unitary” fee is paid by each Fund to State Street for custody, sub-administration and transfer agency
services provided to the Funds. The unitary fee is calculated based upon the average daily net assets of the Trust and allocated pro rata to each Select Sector SPDR Fund based upon the relative net assets of each Fund. Effective January 1, 2018, the
unitary fee structure was amended and is calculated as follows: (i) $0 - $50 billion of net assets of the Trust, 0.015% of average daily net assets; (ii) over $50 billion - $75 billion of net assets of the Trust, 0.0125% of average daily net assets;
(iii) over $75 billion - $100 billion of net assets of the Trust, 0.01% of average daily net assets; (iv) over $100 billion - $400 billion of net assets of the Trust, 0.004% of average daily net assets; and (v) over $400 billion of net assets of the
Trust, 0.0025% of average daily net assets.
State Street is a wholly-owned subsidiary of State
Street Corporation.
Other Transactions with
Affiliates - Securities Lending
State Street,
an affiliate of the Funds, acts as the securities lending agent for the Funds, pursuant to an amended and restated securities lending authorization agreement dated July 10, 2017, as amended.
Beginning on January 1, 2022 net proceeds collected
by State Street on investment of cash collateral or any fee income less rebates payable to borrowers are paid as follows: If the calendar year to date net proceeds are below a specified threshold across the Funds, each Fund retains eighty five
percent (85%) of the net proceeds and fifteen percent (15%) of such net proceeds is payable to State Street. Starting the business day following the date that calendar year to date net proceeds exceeds a specified threshold, each Fund retains ninety
percent (90%) of the net proceeds and ten percent (10%) of such net proceeds is payable to State Street. Prior to January 1, 2022, net proceeds were 85% payable to the Funds, and 15% payable to State Street.
In addition, cash collateral from lending activities
is invested in the State Street Navigator Securities Lending Portfolio II, an affiliated fund, for which SSGA FM serves as investment adviser. See Note 10 for additional information regarding securities lending.
Other Transactions with Affiliates
The Funds may invest in affiliated entities,
including securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Funds owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to
these transactions during the period ended March 31, 2022, are disclosed in the Funds' respective Schedules of Investments.
THE SELECT SECTOR
SPDR TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
March 31, 2022 (Unaudited)
Due to Custodian
In certain circumstances, the Funds may have cash
overdrafts with the Custodian due to expense payments, capital transactions, trading of securities, investment operations or derivative transactions. The Due to Custodian amount, if any, reflects cash overdrawn with State Street, as custodian, who
is an affiliate of the Funds.
5. Additional Expenses
Distributor
ALPS Portfolio Solutions Distributor, Inc. (the
“Distributor”) serves as the distributor of the shares of each Fund. Pursuant to a Distribution and Service Plan adopted by each Fund in accordance with Rule 12b-1 under the 1940 Act, each Fund is authorized to pay fees, including fees
to the Distributor, at an annualized rate of 0.25% of the average daily net assets of the Fund. Effective February 1, 2021, the Board limited each Fund's 12b-1 fee to an annual rate of 0.03% of its average daily net assets (prior to February 1,
2021, each applicable Fund's 12b-1 fee was limited to an annual rate of 0.035% of its average daily net assets). This limitation is in effect through at least January 31, 2022. In November 2021, the Board further limited each Fund's 12b-1 fee to
annual rate of 0.02% of its average daily net assets. This limitation is effective January 31, 2022, through, at least, January 31, 2023.
License Fees
S&P Opco, LLC, a subsidiary of S&P Dow Jones
Indices LLC and S&P Global (“S&P”), and NYSE Arca, Inc. (either directly or through affiliates) have entered into a license agreement with respect to each Fund's Select Sector Index. The Trust pays an annual sub-license fee to
S&P equal to 0.06% of the average aggregate net assets of all series of the Trust, subject to certain breakpoints. The fees to S&P are generally paid quarterly. Each Fund will pay its proportionate share of the annual sub-license fees based
on the relative net assets of each Fund. Effective January 1, 2022, each Fund will pay an annual sub-license fee to S& P based on a percentage of its total expense ratio shown on the financial highlight for the most recent fiscal year. This rate
will be applied to the Fund's average daily net assets. Future years' sub-license fee rate will be based on a schedule of percentages applied to the most recent total expense ratio of a Fund shown in the, then, current annual report and applied to
the average daily net assets of that Fund.
6. Trustees’ Fees
The fees and expenses of the Independent Trustees
and one interested, non-management trustee are paid directly by the Funds. The Independent Trustees and one interested, non-management trustee are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and
industry seminars.
7. Investment
Transactions
Purchases and sales of
investments (excluding in-kind transactions and short term investments) for the period ended March 31, 2022, were as follows:
|
Purchases
|
|
Sales
|
The Communication Services Select Sector SPDR
Fund
|
$5,959,721,030
|
|
$7,247,203,335
|
The Consumer Discretionary Select Sector SPDR
Fund
|
2,190,545,851
|
|
2,214,667,113
|
The Consumer Staples Select Sector SPDR
Fund
|
1,044,812,392
|
|
1,045,478,879
|
The Energy Select Sector SPDR
Fund
|
768,354,152
|
|
791,496,928
|
The Financial Select Sector SPDR
Fund
|
1,158,883,705
|
|
1,185,232,556
|
The Health Care Select Sector SPDR
Fund
|
268,016,867
|
|
279,664,627
|
The Industrial Select Sector SPDR
Fund
|
553,160,837
|
|
523,450,247
|
The Materials Select Sector SPDR
Fund
|
65,836,247
|
|
67,927,200
|
The Real Estate Select Sector SPDR
Fund
|
147,471,938
|
|
101,252,514
|
The Technology Select Sector SPDR
Fund
|
1,565,720,692
|
|
1,561,880,740
|
The Utilities Select Sector SPDR
Fund
|
116,957,975
|
|
107,413,634
|
THE SELECT SECTOR
SPDR TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
March 31, 2022 (Unaudited)
For the period ended March 31, 2022, the following
Funds had in-kind contributions, redemptions and net realized gains/losses in the amounts as follows:
|
In-kind
Contributions |
|
In-kind
Redemptions |
|
In-kind
Net Realized Gains/(Losses) |
The Communication Services Select Sector SPDR
Fund
|
$
118,335,223 |
|
$
114,032,195 |
|
$1,558,003,117
|
The Consumer Discretionary Select Sector SPDR
Fund
|
8,111,942,750
|
|
8,302,533,978
|
|
2,119,575,588
|
The Consumer Staples Select Sector SPDR
Fund
|
10,538,653,783
|
|
8,102,000,202
|
|
603,862,667
|
The Energy Select Sector SPDR
Fund
|
15,137,522,938
|
|
15,575,591,337
|
|
4,125,029,358
|
The Financial Select Sector SPDR
Fund
|
24,686,769,089
|
|
19,689,298,179
|
|
3,222,767,289
|
The Health Care Select Sector SPDR
Fund
|
14,029,866,904
|
|
9,612,549,301
|
|
1,999,659,469
|
The Industrial Select Sector SPDR
Fund
|
6,874,249,042
|
|
8,934,520,864
|
|
1,111,272,276
|
The Materials Select Sector SPDR
Fund
|
4,097,373,597
|
|
4,628,184,639
|
|
437,949,700
|
The Real Estate Select Sector SPDR
Fund
|
2,759,974,926
|
|
1,661,372,469
|
|
224,307,631
|
The Technology Select Sector SPDR
Fund
|
12,613,179,899
|
|
10,665,407,011
|
|
5,431,182,383
|
The Utilities Select Sector SPDR
Fund
|
8,414,909,230
|
|
7,494,490,521
|
|
346,328,865
|
8. Shareholder
Transactions
Each Fund issues and redeems its
shares, at NAV, by each Fund only in aggregations of a specified number of shares or multiples thereof (“Creation Units”). Except when aggregated in Creation Units, shares of each Fund are not redeemable. Transactions in capital shares
for each Fund are disclosed in detail in the Statements of Changes in Net Assets.
The consideration for the purchase of Creation Units
of a Fund may consist of the in-kind deposit of a designated portfolio of securities and a specified amount of cash. Investors purchasing and redeeming Creation Units may pay a purchase transaction fee and a redemption transaction fee directly to
the Trust and/or custodian, to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units, including Creation Units for cash. An additional variable fee may be charged for certain transactions. Such
variable charges, if any, are included in “Other Capital” on the Statements of Changes in Net Assets.
9. Income Tax Information
The Funds have qualified and intend to continue to
qualify as regulated investment companies under Subchapter M of the Internal Revenue Code. Each Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each
fiscal year. Therefore, no provision for federal income tax is required.
The Funds file federal and various state and local
tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may
remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Funds’ tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of
a tax liability.
Distributions to shareholders
are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
As of March 31, 2022, gross unrealized appreciation
and gross unrealized depreciation of investments and other financial instruments based on cost for federal income tax purposes were as follows:
|
Tax
Cost |
|
Gross
Unrealized Appreciation |
|
Gross
Unrealized Depreciation |
|
Net
Unrealized Appreciation (Depreciation) |
The Communication Services Select Sector SPDR
Fund
|
$13,437,039,292
|
|
$
499,441,255 |
|
$1,849,123,815
|
|
$(1,349,682,560)
|
The Consumer Discretionary Select Sector SPDR
Fund
|
19,147,367,960
|
|
1,685,379,042
|
|
930,657,122
|
|
754,721,920
|
The Consumer Staples Select Sector SPDR
Fund
|
15,544,234,528
|
|
497,123,687
|
|
733,953,060
|
|
(236,829,373)
|
THE SELECT SECTOR
SPDR TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
March 31, 2022 (Unaudited)
|
Tax
Cost |
|
Gross
Unrealized Appreciation |
|
Gross
Unrealized Depreciation |
|
Net
Unrealized Appreciation (Depreciation) |
The Energy Select Sector SPDR
Fund
|
$30,096,955,114
|
|
$6,707,502,711
|
|
$
104,625,229 |
|
$
6,602,877,482 |
The Financial Select Sector SPDR
Fund
|
46,228,990,859
|
|
2,503,957,060
|
|
2,837,990,821
|
|
(334,033,761)
|
The Health Care Select Sector SPDR
Fund
|
35,204,914,967
|
|
3,229,787,956
|
|
1,409,579,395
|
|
1,820,208,561
|
The Industrial Select Sector SPDR
Fund
|
17,494,124,583
|
|
777,327,265
|
|
2,084,869,324
|
|
(1,307,542,059)
|
The Materials Select Sector SPDR
Fund
|
7,752,182,928
|
|
523,011,011
|
|
541,648,723
|
|
(18,637,712)
|
The Real Estate Select Sector SPDR
Fund
|
5,684,155,350
|
|
292,209,340
|
|
242,821,196
|
|
49,388,144
|
The Technology Select Sector SPDR
Fund
|
39,122,480,894
|
|
9,721,976,496
|
|
1,228,982,036
|
|
8,492,994,460
|
The Utilities Select Sector SPDR
Fund
|
14,405,014,332
|
|
779,746,315
|
|
190,738,111
|
|
589,008,204
|
10. Securities Lending
Each Fund may lend securities to qualified
broker-dealers or institutional investors. The loans are secured at all times by cash, cash equivalents or U.S. government securities in an amount at least equal to the market value of the securities loaned, plus accrued interest and dividends,
determined on a daily basis and adjusted accordingly. The value of the collateral with respect to a loaned security may be temporarily more or less than the value of a security due to market fluctuations of securities values. With respect to each
loan, if on any U.S. business day the aggregate market value of securities collateral plus cash collateral is less than the aggregate market value of the securities which are subject to the loan, the borrower will be notified to provide additional
collateral on the next business day.
The Funds
will regain record ownership of loaned securities to exercise certain beneficial rights; however, the Funds may bear the risk of delay in recovery of, or even loss of rights in the securities loaned should the borrower fail financially. In addition,
a Fund will bear the risk of loss of any cash collateral that it may invest. Each Fund receives compensation for lending its securities from interest or dividends earned on the cash, cash equivalents or U.S. government securities held as collateral,
net of fee rebates paid to the borrower and net of fees paid to State Street as the lending agent. Additionally, a Fund will receive a fee from the borrower for non-cash collateral equal to a percentage of the market value of the loaned
securities.
The market value of securities on
loan as of March 31, 2022, and the value of the invested cash collateral are disclosed in the Funds' Statements of Assets and Liabilities. Non-cash collateral is not disclosed in the Funds’ Statements of Assets and Liabilities as it is held by
the lending agent on behalf of the Funds, and the Funds do not have the ability to re-hypothecate those securities. Securities lending income, as disclosed in the Funds’ Statements of Operations, represents the income earned from the non-cash
collateral and the investment of cash collateral, net of fee rebates paid to the borrower and net of fees paid to State Street as lending agent.
The following is a summary of the Fund's securities
lending agreements and related cash and non-cash collateral received as of March 31, 2022:
Fund
|
|
Market
Value of Securities on Loan |
|
Cash
Collateral Received |
|
Non-Cash
Collateral Received* |
|
Total
Collateral Received |
The Communication Services Select Sector SPDR
Fund
|
|
$
245,607,112 |
|
$
239,458,019 |
|
$
14,560,006 |
|
$
254,018,025 |
The Consumer Discretionary Select Sector SPDR
Fund
|
|
267,579,226
|
|
80,293,118
|
|
198,913,086
|
|
279,206,204
|
The Consumer Staples Select Sector SPDR
Fund
|
|
28,507,992
|
|
28,783,386
|
|
—
|
|
28,783,386
|
The Energy Select Sector SPDR
Fund
|
|
38,769,025
|
|
—
|
|
40,653,295
|
|
40,653,295
|
The Financial Select Sector SPDR
Fund
|
|
87,634,910
|
|
33,798,829
|
|
57,103,693
|
|
90,902,522
|
The Health Care Select Sector SPDR
Fund
|
|
173,129,097
|
|
21,331,314
|
|
157,608,907
|
|
178,940,221
|
The Industrial Select Sector SPDR
Fund
|
|
144,657,123
|
|
43,019,956
|
|
107,278,123
|
|
150,298,079
|
The Materials Select Sector SPDR
Fund
|
|
98,959,251
|
|
10,589,732
|
|
91,086,584
|
|
101,676,316
|
The Technology Select Sector SPDR
Fund
|
|
606,098,654
|
|
54,400,968
|
|
579,915,558
|
|
634,316,526
|
The Utilities Select Sector SPDR
Fund
|
|
130,311,644
|
|
114,684,519
|
|
18,878,500
|
|
133,563,019
|
*
|
The
non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
THE SELECT SECTOR
SPDR TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
March 31, 2022 (Unaudited)
The following table reflects a breakdown of
transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged or securities loaned, and the remaining contractual maturity of those transactions as of March 31, 2022:
|
|
|
|
Remaining
Contractual Maturity of the Agreements as of March 31, 2022 |
Fund
|
|
Securities
Lending Transactions |
|
Overnight
and Continuous |
|
<30
Days |
|
Between
30 & 90 Days |
|
>90
Days |
|
Total
Borrowings |
|
Gross
Amount of Recognized Liabilities for Securities Lending Transactions |
The Communication Services Select Sector SPDR
Fund
|
|
Common
Stocks |
|
$239,458,019
|
|
$—
|
|
$—
|
|
$—
|
|
$239,458,019
|
|
$239,458,019
|
The Consumer Discretionary Select Sector SPDR
Fund
|
|
Common
Stocks |
|
80,293,118
|
|
—
|
|
—
|
|
—
|
|
80,293,118
|
|
80,293,118
|
The Consumer Staples Select Sector SPDR
Fund
|
|
Common
Stocks |
|
28,783,386
|
|
—
|
|
—
|
|
—
|
|
28,783,386
|
|
28,783,386
|
The Financial Select Sector SPDR
Fund
|
|
Common
Stocks |
|
33,798,829
|
|
—
|
|
—
|
|
—
|
|
33,798,829
|
|
33,798,829
|
The Health Care Select Sector SPDR
Fund
|
|
Common
Stocks |
|
21,331,314
|
|
—
|
|
—
|
|
—
|
|
21,331,314
|
|
21,331,314
|
The Industrial Select Sector SPDR
Fund
|
|
Common
Stocks |
|
43,019,956
|
|
—
|
|
—
|
|
—
|
|
43,019,956
|
|
43,019,956
|
The Materials Select Sector SPDR
Fund
|
|
Common
Stocks |
|
10,589,732
|
|
—
|
|
—
|
|
—
|
|
10,589,732
|
|
10,589,732
|
The Technology Select Sector SPDR
Fund
|
|
Common
Stocks |
|
54,400,968
|
|
—
|
|
—
|
|
—
|
|
54,400,968
|
|
54,400,968
|
The Utilities Select Sector SPDR
Fund
|
|
Common
Stocks |
|
114,684,519
|
|
—
|
|
—
|
|
—
|
|
114,684,519
|
|
114,684,519
|
11. Risks
Concentration Risk
As a result of the Funds' ability to invest a large
percentage of their assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Funds' investments more than if the Funds
were more broadly diversified.
Market Risk
A Fund’s investments are subject to changes in
general economic conditions, general market fluctuations and the risks inherent in investment in securities markets. Investment markets can be volatile and prices of investments can change substantially due to various factors including, but not
limited to, economic growth or recession, changes in interest rates, changes in the actual or perceived creditworthiness of issuers, and general market liquidity. A Fund is subject to the risk that geopolitical events will disrupt securities markets
and adversely affect global economies and markets. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, or other events could have a significant impact on a Fund and its
investments.
An outbreak of a respiratory
disease caused by a novel coronavirus first detected in China in December 2019 has spread globally. In an organized attempt to contain and mitigate the effects of the spread of the coronavirus known as COVID-19, governments and businesses world-wide
have taken aggressive measures, including closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines of large populations. COVID-19 has resulted in the disruption of and delays in the delivery of
healthcare services and processes, the cancellation of organized events and educational institutions, the disruption of production and supply chains, a decline in consumer demand for certain goods and services, and general concern and uncertainty,
all of which have contributed to increased volatility in global markets. The effects of COVID-19 will likely affect certain sectors and industries more dramatically than others, which may adversely affect the value of a Fund’s investments in
those sectors or industries. COVID-19, and other epidemics and pandemics that may arise in the future, could adversely affect the economies of many nations, the global economy, individual companies and capital markets in ways that cannot be foreseen
at the present time. In addition, the impact of infectious diseases in developing or emerging market countries may be greater due to limited health care resources. Political, economic and social stresses caused by COVID-19 also may exacerbate other
pre-existing political, social and economic risks in certain countries. The duration of COVID-19 and its effects cannot be determined at this time, but the effects could be present for an extended period of time.
THE SELECT SECTOR
SPDR TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
March 31, 2022 (Unaudited)
12. Subsequent Events
Management has evaluated the impact of all
subsequent events on the Funds through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
THE SELECT SECTOR
SPDR TRUST
OTHER INFORMATION
March 31, 2022 (Unaudited)
Expense Example
As a shareholder of a Fund, you incur two types of
costs: (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and/or
service fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an
investment of $1,000 made at the beginning of the period shown and held for the entire period from October 1, 2021 to March 31, 2022.
The table below illustrates your Fund’s cost
in two ways:
Based on actual fund return ——This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from each Fund's actual return, and the third column shows the
dollar amount that would have been paid by an investor who started with $1,000 in each Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide
your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading “Expenses Paid During Period”.
Based on hypothetical 5% return ——This section is intended to help you compare your Fund’s costs with those of other mutual funds. It assumes that the Fund had a yearly return of 5% before expenses, but that the expense ratio is
unchanged. In this case, because the return used is not the Fund’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the
“SEC”) requires all mutual funds to calculate expenses based on a 5% return. You can assess your Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other
funds.
Please note that the expenses
shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales load charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and
will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
|
|
|
Actual
|
|
Hypothetical
(assuming a 5% return before expenses) |
|
Annualized
Expense Ratio |
|
Ending
Account Value |
|
Expenses
Paid During Period(a) |
|
Ending
Account Value |
|
Expenses
Paid During Period(a) |
The Communication Services Select Sector SPDR
Fund
|
0.11%
|
|
$
861.70 |
|
$0.51
|
|
$1,024.40
|
|
$0.56
|
The Consumer Discretionary Select Sector SPDR
Fund
|
0.11
|
|
1,033.10
|
|
0.56
|
|
1,024.40
|
|
0.56
|
The Consumer Staples Select Sector SPDR
Fund
|
0.11
|
|
1,113.20
|
|
0.58
|
|
1,024.40
|
|
0.56
|
The Energy Select Sector SPDR
Fund
|
0.11
|
|
1,498.30
|
|
0.69
|
|
1,024.40
|
|
0.56
|
The Financial Select Sector SPDR
Fund
|
0.11
|
|
1,029.60
|
|
0.56
|
|
1,024.40
|
|
0.56
|
The Health Care Select Sector SPDR
Fund
|
0.11
|
|
1,082.20
|
|
0.57
|
|
1,024.40
|
|
0.56
|
The Industrial Select Sector SPDR
Fund
|
0.11
|
|
1,060.00
|
|
0.56
|
|
1,024.40
|
|
0.56
|
The Materials Select Sector SPDR
Fund
|
0.11
|
|
1,123.50
|
|
0.58
|
|
1,024.40
|
|
0.56
|
The Real Estate Select Sector SPDR
Fund
|
0.11
|
|
1,101.70
|
|
0.58
|
|
1,024.40
|
|
0.56
|
The Technology Select Sector SPDR
Fund
|
0.11
|
|
1,066.50
|
|
0.57
|
|
1,024.40
|
|
0.56
|
The Utilities Select Sector SPDR
Fund
|
0.11
|
|
1,182.00
|
|
0.60
|
|
1,024.40
|
|
0.56
|
(a)
|
Expenses
are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 182, then divided by 365. |
THE SELECT SECTOR
SPDR TRUST
OTHER INFORMATION (continued)
March 31, 2022 (Unaudited)
Liquidity Risk Management Program
Pursuant to Rule 22e-4 under the 1940 Act, the Funds
have adopted a liquidity risk management program (the "Program"). The Program’s principal objectives include assessing, managing and periodically reviewing each Fund’s liquidity risk, based on factors specific to the circumstances of the
Fund. Liquidity risk is defined as the risk that a Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
SSGA FM has been designated by the Board to
administer the Funds’ Program. Over the course of the prior year, SSGA FM provided the Board with reports addressing the operations of the Program and assessing its adequacy and the effectiveness of the Program's implementation for periods
ending June 2021 and December 2021 including:
•
|
the Program
supported each Fund’s ability to honor redemption requests timely; |
•
|
the Program
supported SSGA FM’s management of each Fund’s liquidity profile, including during periods of market volatility and net redemptions; |
•
|
no material
liquidity issues were identified during the period; |
•
|
there were no
material changes to the Program during the period; |
•
|
the
implementation of the Program was effective to manage each Fund’s liquidity risk; and |
•
|
the
Program operated adequately during the period. |
There can be no assurance that the Program will
achieve its objectives in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Premium/Discount Information
Information regarding how often the Shares of each
Fund traded on the exchange at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund during the past calendar year can be found at www.sectorspdr.com.
Proxy Voting Policies and Procedures and Records
The Funds have adopted the proxy voting policies of
the Adviser. A description of the Funds’ proxy voting policies and procedures that are used by the Funds’ investment Adviser to vote proxies relating to Funds’ portfolio of securities are available (i) without charge, upon request,
by calling 1-866-Sector-ETF (1-866-732-8673) (toll free) and (ii) on the SEC’s website at www.sec.gov.
Information regarding how the Funds voted for the
prior 12-month period ended June 30 is available by August 31 of each year by calling the same number and on the SEC’s website, at www.sec.gov, and on the Funds’ website at www.sectorspdr.com.
Shareholder Meeting Results
Rule 30e-1 under the Investment Company Act of 1940,
as amended, requires registered management companies to report on all subject matters put to the vote of shareholders and provide final results. Shareholders were asked to participate in a special meeting of shareholders on October 29, 2021 (the
“Shareholder Meeting”) for the purpose of electing trustees. Each Nominee was approved by the affirmative vote of a plurality of the shares voting at the Shareholder Meeting. The final results of the Shareholder Meeting are reported in
the following table.
Proposal : To elect the
following as Trustees of the Trust:
Trustee
Nominee Name |
Shares
For |
Shares
Withheld |
Allison
Grant Williams |
2,018,805,430.112
|
8,446,342,163
|
Sheila
Hartnett-Devlin |
2,018,505,396.167
|
8,746,376.108
|
James
Jessee |
2,018,682,127.524
|
8,569,644.751
|
THE SELECT SECTOR
SPDR TRUST
OTHER INFORMATION (continued)
March 31, 2022 (Unaudited)
Trustee
Nominee Name |
Shares
For |
Shares
Withheld |
Teresa
Polley |
2,018,840,484.986
|
8,411,287.289
|
Ashley
T. Rabun |
2,009,049,386.873
|
18,202,385.402
|
James
E. Ross |
2,015,282,401.356
|
11,969,370.919
|
Rory
Tobin |
2,018,755,160.639
|
8,496,611.636
|
Quarterly Portfolio
Schedule
Following the Funds' first and third
fiscal quarter-ends, complete Schedules of Investments are filed with the SEC as exhibits on Form N-PORT, which can be found on the Funds' website at www.sectorspdr.com and the SEC's website at www.sec.gov. The Funds’ Schedules of Investments are available upon request, without charge, by calling 1-866-Sector-ETF (1-866-732-8673) (toll free).
[This Page Intentionally Left Blank]
[This Page Intentionally Left Blank]
TRUSTEES
Cheryl Burgermeister
Allison Grant Williams
Sheila Hartnett-Devlin
James Jessee
Teresa Polley
Ashley T. Rabun, Chairperson
James E. Ross, Interested Non-Management Trustee
Rory Tobin, Interested Trustee
R. Charles Tschampion
INVESTMENT MANAGER AND ADMINISTRATOR
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
DISTRIBUTOR
ALPS Portfolio Solutions Distributor, Inc.
1290 Broadway, Suite 1100
Denver, Colorado 80203
CUSTODIAN, SUB-ADMINISTRATOR
AND TRANSFER AGENT
State Street Bank and Trust Company
State Street
Financial Center
One Lincoln Street
Boston, MA 02111
LEGAL COUNSEL
Morgan, Lewis & Bockius LLP
1111 Pennsylvania Avenue, NW
Washington, DC 20004
INDEPENDENT REGISTERED PUBLIC
ACCOUNTING FIRM
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
The information contained in this report
is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains
important information concerning the Trust. You may obtain a current prospectus from the Distributor, ALPS Portfolio Solutions Distributor, Inc., by calling 1-866-SECTOR-ETF (1-866-732-8673). Please read the prospectus carefully before you
invest.
Visit
www.sectorspdr.com or call 1-866-SECTOR-ETF (1-866-732-8673)
SSSPDRSAR
(b) Not applicable.
Item 2. Code of Ethics.
Not applicable to
this filing; this Form N-CSR is a Semi-Annual Report.
Item 3. Audit Committee Financial Expert.
Not applicable to this filing; this Form N-CSR is a Semi-Annual Report.
Item 4. Principal Accountant Fees and Services.
Not applicable to this filing; this Form N-CSR is a Semi-Annual Report.
Item 5. Audit Committee of Listed Registrants.
Not applicable to this filing; this Form N-CSR is a Semi-Annual Report.
Item 6. Schedule of Investments.
(a) |
The schedule of investments is included as part of the reports to shareholders filed under Item 1 of this Form N-CSR. |
(b) |
Not applicable to the registrant. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to the registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to the registrant.
Item 9. Purchases
of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable
to the registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
The registrant has not adopted any material changes to the procedures by which shareholders may recommend nominees to the registrants Board.
Item 11. Controls and Procedures.
(a) Within
90 days of the filing date of this Form N-CSR, Ellen M. Needham, the registrants President and Principal Executive Officer, and Chad C. Hallett, the registrants Treasurer and Principal Financial
Officer, reviewed the registrants disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the 1940 Act)) and evaluated their
effectiveness. Based
on their review, Ms. Needham and Mr. Hallett determined that the disclosure controls and procedures adequately ensure that information required to be disclosed by the registrant in its
periodic reports is recorded, processed, summarized and reported within the time periods required by the U.S. Securities and Exchange Commission.
(b)
There were no changes in the registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have
materially affected, or are reasonably likely to materially affect, the registrants internal control over financial reporting.
Item 12.
Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
(a) Not
applicable to the registrant.
(b) Not applicable to the registrant.
Item 13. Exhibits.
(a)(1) Not applicable to
this filing; this Form N-CSR is a Semi-Annual Report.
(a)(2) Separate certifications required
by Rule 30a-2(a) under the 1940 Act for each principal executive officer and principal financial officer of the registrant are attached.
(a)(3) Not
applicable to the registrant.
(a)(4) Not applicable to the registrant.
(b) A single certification required by Rule 30a-2(b) under the 1940 Act, Rule 13a-14(b) or Rule 15d-14(b) under the Securities Exchange Act of 1934, as amended (the 1934 Act), and Section
1350 of Chapter 63 of Title 18 of the United States Code for the principal executive officer and principal financial officer of the registrant is attached.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, the registrant has duly
caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
The Select Sector SPDR® Trust
|
|
|
By: |
|
/s/ Ellen M. Needham |
|
|
Ellen M. Needham |
|
|
President and Principal Executive Officer |
|
|
Date: |
|
June 3, 2022 |
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as
amended, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
|
|
|
By: |
|
/s/ Ellen M. Needham |
|
|
Ellen M. Needham |
|
|
President and Principal Executive Officer |
|
|
By: |
|
/s/ Chad C. Hallett |
|
|
Chad C. Hallett |
|
|
Treasurer and Principal Financial Officer |
|
|
Date: |
|
June 3, 2022 |