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 O’Malley, 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

 

 

Registrant’s telephone number, including area code: (617) 664-1465

Date of fiscal year end: September 30

Date of reporting period: September 30, 2022

 

 

 


Item 1. Report to Shareholders.

(a) The Reports to Shareholders are attached herewith.


The Select Sector SPDR Trust
Annual Report

September 30, 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

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Management’s Discussion of Fund Performance, Performance Summaries & Portfolio Statistics (Unaudited)  

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Schedules of Investments  

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[This Page Intentionally Left Blank]


Table of Contents
Notes to Performance Summaries (Unaudited)
The performance chart of a Fund’s total return at net asset value (“NAV”), the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. A Fund’s per share NAV is the value of one share of a Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of a Fund and the market return is based on the market price per share of a Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of a Fund are listed for trading, as of the time that a Fund’s NAV is calculated. NAV and market returns assume that dividends and capital gain distributions have been reinvested in a Fund at NAV. Market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower.
An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, a Fund’s performance is negatively impacted by these deductions. Index returns reflect all items of income, gain and loss and the reinvestment of dividends and other income.
The Communication Services Select Sector Index includes companies that have been identified as Communication Services companies by the Global Industry Classification Standard (GICS® ), including securities of companies from the following industries: diversified telecommunication services; wireless telecommunication services; media; entertainment; and interactive media & services.
The Consumer Discretionary Select Sector Index seeks to provide an effective representation of the consumer discretionary sector of the S&P 500 Index. The Index includes companies from the following industries: retail (specialty, multiline, internet and direct marketing); hotels, restaurants and leisure; textiles, apparel and luxury goods; household durables; automobiles; auto components; distributors; leisure products; and diversified consumer services.
The Consumer Staples Select Sector Index seeks to provide an effective representation of the consumer staple sector of the S&P 500 Index. The Index includes companies from the following industries: food and staples retailing; household products; food products; beverages; tobacco; and personal products.
The Energy Select Sector Index seeks to provide an effective representation of the energy sector of the S&P 500 Index. The Index includes companies from the following industries: oil, gas and consumable fuels; and energy equipment and services.
The Financials Select Sector Index seeks to provide an effective representation of the financial sector of the S&P 500 Index. The Index includes companies from the following industries: diversified financial services; insurance; banks; capital markets; mortgage real estate investment trusts ("REITs"); consumer finance; and thrifts and mortgage finance.
The Health Care Select Sector Index seeks to provide an effective representation of the health care sector of the S&P 500 Index. The Index includes companies from the following industries: pharmaceuticals; health care equipment and supplies; health care providers and services; biotechnology; life sciences tools and services; and health care technology.
The Industrials Select Sector Index seeks to provide an effective representation of the industrial sector of the S&P 500 Index. The Index includes companies from the following industries: aerospace and defense; industrial conglomerates; marine; transportation infrastructure; machinery; road and rail; air freight and logistics; commercial services and supplies; professional services; electrical equipment; construction and engineering; trading companies and distributors; airlines; and building products.
The Materials Select Sector Index seeks to provide an effective representation of the materials sector of the S&P 500 Index. The Index includes companies from the following industries: chemicals; metals and mining; paper and forest products; containers and packaging; and construction materials.
The Real Estate Select Sector Index seeks to provide an effective representation of the real estate sector of the S&P 500 Index. The Index includes companies from the following industries: real estate management and development and REITs, excluding mortgage REITs.
See accompanying notes to financial statements.
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Table of Contents
Notes to Performance Summaries (Unaudited)  (continued)
The Technology Select Sector Index seeks to provide an effective representation of the technology sector of the S&P 500 Index. The Index includes companies from the following industries: technology hardware, storage, and peripherals; software; communications equipment; semiconductors and semiconductor equipment; IT services; and electronic equipment, instruments and components.
The Utilities Select Sector Index seeks to provide an effective representation of the utilities sector of the S&P 500 Index. The Index includes companies from the following industries: electric utilities; water utilities; multi-utilities; independent power producers and renewable electricity producers; and gas utilities.
The S&P 500 Index includes five hundred (500) selected companies, all of which are listed on national stock exchanges and spans over 25 separate industry groups.
See accompanying notes to financial statements.
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Table of Contents
THE COMMUNICATION SERVICES SELECT SECTOR SPDR FUND
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
The Communication Services Select Sector SPDR Fund (the “Fund”) seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of publicly traded equity securities of companies in the Communication Services Select Sector Index. The Fund’s benchmark is the Communication Services Select Sector Index (the “Index”).
For the 12-month period ended September 30, 2022 (the “Reporting Period”), the total return for the Fund was –39.71%, and the Index was –39.69%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. Cash, security misweights, transaction costs and compounding (the exponential growth of outperformance or underperformance) also contributed to the difference between the Fund’s performance and that of the Index.
It was a difficult year for Communication Services as all four quarters of the Reporting Period had negative returns. The final quarter of 2021 ended only slightly in the red as top name Alphabet did enjoy gains from strengthening internet advertising business as people were spending more time using the google search function to shop online leading up to and during the holiday season. The first quarter of 2022, Facebook owner Meta Platforms retreated after the social media company revealed a weaker-than-anticipated forecast, thanks to Apple’s privacy changes and greater competition for users from rival social media platforms like TikTok., Meta also warned about extended slowing revenue growth over the Reporting Period due to heightened competition for users and shifts in online activity toward features like short videos, which generate less revenue.
Walt Disney Co. managed to enjoy increased subscription growth for its flagship Disney+ streaming service despite increased competition in an already crowded digital media market. Disney also saw record income from its theme parks and resorts as the worst of the pandemic subsided. Twitter shares benefited late spring as well on Elon Musk’s disclosed 9% stake in the social media company. Toward the end of the Reporting Period, Warner Bros. Discovery, the new company that combined Discovery with AT&T’s WarnerMedia earlier in 2022, laid out ambitious plans to expand, such as combined streaming service for HBO Max and Discovery+. Unfortunately, these successes were far outweighed by the continued struggles of the top names in the Communication Services Index. Meta Platforms and Alphabet fell by 60% and 28%, respectively, during the Reporting Period. Netflix also continued to lose subscribers to growing competitive streaming services. Overall, every name in the Index suffered negative returns for the Reporting Period, except for one. T-Mobile returned +5% for the Reporting Period as the company grabbed the 5G lead over Verizon, as the costly integration for the Sprint deal neared a close.
The Fund did not invest in derivatives during the Reporting Period.
On an individual security level, the top positive contributors to the Fund’s performance during the Reporting Period were News Corp. Class B, Discovery Inc. Class C and T-Mobile Inc. The top negative contributors to the Fund’s performance during the Reporting Period were Alphabet Inc. Class C, Alphabet Inc. Class A and Meta Platforms Inc. Class A.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
See accompanying notes to financial statements.
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Table of Contents
The Communication Services Select Sector SPDR Fund
Performance Summary (Unaudited)
Performance as of September 30, 2022
        Cumulative Total Return   Average Annual Total Return    
        Net
Asset
Value
Market
Value
Communication Services Select Sector Index S&P 500 Index   Net
Asset
Value
Market
Value
Communication Services Select Sector Index S&P 500 Index  
    ONE YEAR   39.71% 39.67% 39.69% 15.47%   39.71% 39.67% 39.69% 15.47%  
    SINCE INCEPTION (1)   0.59% 0.54% 0.16% 39.31%   0.14% 0.13% 0.04% 8.04%  
(1) For the period June 18, 2018 to September 30, 2022.
Comparison of Change in Value of a $10,000 Investment
(Based on Net Asset Value)
Line graph is based on cumulative total return.
* Inception date.
The total expense ratio for The Communication Services Select Sector SPDR Fund as stated in the Fees and Expenses table of the most recent prospectus is 0.10%. Please see the financial highlights for the total expense ratio for the fiscal period ended September 30, 2022.
Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.ssga.com for most recent month-end performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. See "Notes to Performance Summaries" on page 1 for more information.
See accompanying notes to financial statements.
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Table of Contents
The Communication Services Select Sector SPDR Fund
Portfolio Statistics (Unaudited)
Top Five Holdings as of September 30, 2022

       
  Description Market Value % of Net Assets  
  Meta Platforms, Inc. Class A 1,340,924,490 17.7%  
  Alphabet, Inc. Class A 911,071,128 12.1  
  Alphabet, Inc. Class C 818,964,452 10.8  
  T-Mobile US, Inc. 349,998,545 4.6  
  Activision Blizzard, Inc. 342,617,449 4.5  
  TOTAL 3,763,576,064 49.7%  
(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 September 30, 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.
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Table of Contents
THE CONSUMER DISCRETIONARY SELECT SECTOR SPDR FUND
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
The Consumer Discretionary Select Sector SPDR Fund (the “Fund”) seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of publicly traded equity securities of companies in the Consumer Discretionary Select Sector Index. The Fund’s benchmark is the Consumer Discretionary Select Sector Index (the “Index”).
For the 12-month period ended September 30, 2022 (the “Reporting Period”), the total return for the Fund was –20.06%, and the Index was –20.01%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. Cash, security misweights, transaction costs and compounding (the exponential growth of outperformance or underperformance) also contributed to the difference between the Fund’s performance and that of the Index.
The Fund started out the Reporting Period with positive returns the last quarter of 2021. Consumer confidence in the U.S. improved in December, helping out year-end sales during the holiday season. Increased confidence also suggested economic growth momentum will continue in 2022 despite the persistent inflation.
During the last three quarters of the Reporting Period, Amazon shares rallied in February after the e-commerce giant surprised investors with a near doubling in profit over the holiday period, especially after warning of supply chain problems.  Shortly thereafter, Amazon announced a 20:1 stock split was slated for June 2022 along with a $10 billion stock repurchase plan. Travel and leisure groups started to regain some profitability in April following the major slump caused by the COVID-19 pandemic.  Profit outlook for automotive companies even started to slowly improve.
Unfortunately, positive momentum was seriously trumped by negative news from Tesla, the Fund’s second largest weighted name, in the second quarter of 2022, helping the overall Fund’s performance to fall over 25%. Tesla had a difficult few months, thanks to concerns over inflation and possible recession. In addition, the zero-tolerance COVID-19 lockdown measures in Beijing weighed on Tesla’s ongoing supply-chain problems and surging raw material costs. CEO Elon Musk’s high-profile Twitter takeover bid also added to concern that he would sell off holdings to pay for this potential acquisition. Finally, the Fund was able to manage a small positive uptick toward the end of the Reporting Period, as names like Dollar Tree and Dollar General surged after the discount variety store chains revealed better-than-expected profits.
The Fund did not invest in derivatives during the Reporting Period.
On an individual security level, the top positive contributors to the Fund’s performance during the Reporting Period were Dollar General Corp., O’Reilly Automotive and Autozone, Inc. The top negative contributors to the Fund’s performance during the Reporting Period were Nike Inc. Class B, Tesla and Amazon.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
See accompanying notes to financial statements.
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Table of Contents
The Consumer Discretionary Select Sector SPDR Fund
Performance Summary (Unaudited)
Performance as of September 30, 2022
        Cumulative Total Return   Average Annual Total Return    
        Net
Asset
Value
Market
Value
Consumer Discretionary Select Sector Index S&P 500 Index   Net
Asset
Value
Market
Value
Consumer Discretionary Select Sector Index S&P 500 Index  
    ONE YEAR   20.06% 20.05% 20.01% 15.47%   20.06% 20.05% 20.01% 15.47%  
    FIVE YEARS   66.51% 66.60% 67.59% 55.55%   10.74% 10.75% 10.88% 9.24%  
    TEN YEARS   245.53% 245.63% 250.93% 202.44%   13.20% 13.20% 13.38% 11.70%  
Comparison of Change in Value of a $10,000 Investment
(Based on Net Asset Value)
Line graph is based on cumulative total return.
The total expense ratio for The Consumer Discretionary Select Sector SPDR Fund as stated in the Fees and Expenses table of the most recent prospectus is 0.10%. Please see the financial highlights for the total expense ratio for the fiscal period ended September 30, 2022.
Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.ssga.com for most recent month-end performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. See "Notes to Performance Summaries" on page 1 for more information.
See accompanying notes to financial statements.
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Table of Contents
The Consumer Discretionary Select Sector SPDR Fund
Portfolio Statistics (Unaudited)
Top Five Holdings as of September 30, 2022

       
  Description Market Value % of Net Assets  
  Amazon.com, Inc. 3,154,805,303 22.4%  
  Tesla, Inc. 3,062,314,964 21.7  
  Home Depot, Inc. 670,102,078 4.7  
  McDonald's Corp. 647,235,622 4.6  
  Lowe's Cos., Inc. 574,151,322 4.1  
  TOTAL 8,108,609,289 57.5%  
(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 September 30, 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.
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Table of Contents
THE CONSUMER STAPLES SELECT SECTOR SPDR FUND
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
The Consumer Staples Select Sector SPDR Fund (the “Fund”) seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of publicly traded equity securities of companies in the Consumer Staples Select Sector Index. The Fund’s benchmark is the Consumer Staples Select Sector Index (the “Index”).
For the 12-month period ended September 30, 2022 (the “Reporting Period”), the total return for the Fund was –0.63%, and the Index was –0.49%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. Expenses and cash contributed to the difference between the Fund’s performance and that of the Index.
The Reporting Period was a volatile period for the securities markets as significantly heightened geopolitical issues, lingering and growing higher inflation readings, dramatic increases in the Federal Funds rate and declining consumer sentiment surveys collectively impacted market returns. The Consumer Staples Sector (the “Sector”) did relatively well in this environment posting a very modest decline. This Sector was helped by its relatively defensive nature as though consumers may delay some discretionary purchases the nature of this segment generally precludes appreciably delaying purchases. Slight easing of supply chains also helped this sector with continuing expectations of further improvements on the input side. In a reversal from the prior period, firms who’s business model involved supplying restaurants were helped by a more mobile consumer as the impacts from COVID-19 modestly waned in terms of foot traffic. In general, the firms that have pricing power and can pass on higher input costs to the end consumers were the best performing stocks within this sector during this Reporting Period. The markets “risk off” mindset during the last two quarters of the Reporting Period also contributed to this fund’s returns.
The Fund did not invest in derivatives during the Reporting Period.
On an individual security level, the top positive contributors to the Fund’s performance during the Reporting Period were Coca-Cola Company, General Mills, Inc. and PepsiCo, Inc. The top negative contributors to the Fund’s performance during the Reporting Period were Procter & Gamble Company, Walgreens Boots Alliance, Inc. and Estee Lauder Companies Inc. Class A.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
See accompanying notes to financial statements.
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Table of Contents
The Consumer Staples Select Sector SPDR Fund
Performance Summary (Unaudited)
Performance as of September 30, 2022
        Cumulative Total Return   Average Annual Total Return    
        Net
Asset
Value
Market
Value
Consumer Staples Select Sector Index S&P 500 Index   Net
Asset
Value
Market
Value
Consumer Staples Select Sector Index S&P 500 Index  
    ONE YEAR   0.63% 0.57% 0.49% 15.47%   0.63% 0.57% 0.49% 15.47%  
    FIVE YEARS   41.37% 41.48% 42.31% 55.55%   7.17% 7.19% 7.31% 9.24%  
    TEN YEARS   143.07% 143.24% 146.93% 202.44%   9.29% 9.30% 9.46% 11.70%  
Comparison of Change in Value of a $10,000 Investment
(Based on Net Asset Value)
Line graph is based on cumulative total return.
The total expense ratio for The Consumer Staples Select Sector SPDR Fund as stated in the Fees and Expenses table of the most recent prospectus is 0.10%. Please see the financial highlights for the total expense ratio for the fiscal period ended September 30, 2022.
Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.ssga.com for most recent month-end performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. See "Notes to Performance Summaries" on page 1 for more information.
See accompanying notes to financial statements.
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Table of Contents
The Consumer Staples Select Sector SPDR Fund
Portfolio Statistics (Unaudited)
Top Five Holdings as of September 30, 2022

       
  Description Market Value % of Net Assets  
  Procter & Gamble Co. 2,098,652,740 14.5%  
  PepsiCo, Inc. 1,567,382,365 10.8  
  Coca-Cola Co. 1,516,786,764 10.5  
  Costco Wholesale Corp. 1,455,261,279 10.1  
  Walmart, Inc. 679,026,062 4.7  
  TOTAL 7,317,109,210 50.6%  
(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 September 30, 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.
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Table of Contents
THE ENERGY SELECT SECTOR SPDR FUND
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
The Energy Select Sector SPDR Fund (the “Fund”) seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of publicly traded equity securities of companies in the Energy Select Sector Index. The Fund’s benchmark is the Energy Select Sector Index (the “Index”).
For the 12-month period ended September 30, 2022 (the “Reporting Period”), the total return for the Fund was 44.34%, and the Index was 44.49%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. Cumulative security misweights between the Fund and the Index and Fund expenses contributed to the difference between the Fund’s performance and that of the Index.
The energy sector proved to be the strongest sector over the last 12 months far outpacing Utilities as the only other positive performing sector which returned over 5%. Much of the strong performance in energy can be attributed to general inflation, higher oil prices, and the Russia-Ukraine war that exacerbated supply chain and inflation problems.
Within the last 12 months, the U.S. Federal Reserve took a more hawkish turn and began fighting inflation with its first rate hikes since 2018. Inflation has remained persistent as the U.S. Federal Reserve continues to raise interest rates. With gas prices peaking in the middle of the summer months, the U.S. government released oil reserves helping to relieve pressure and reduce gas price.
The Fund used index futures contracts in order to equitize cash and receivables during the Reporting Period. The Fund’s use of index futures contracts helped the Fund track the Index.
On an individual security level, the top positive contributors to the Fund’s performance during the Reporting Period were Occidental Petroleum Corporation, Exxon Mobil Corporation, and Chevron Corporation. The top negative contributors to the Fund’s performance during the Reporting Period were E-mini SP 500 Energy (CME) Dec 21, E-mini SP 500 Energy (CME) Jun 22 and Baker Hughes Company Class A.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
See accompanying notes to financial statements.
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Table of Contents
The Energy Select Sector SPDR Fund
Performance Summary (Unaudited)
Performance as of September 30, 2022
        Cumulative Total Return   Average Annual Total Return    
        Net
Asset
Value
Market
Value
Energy Select Sector Index S&P 500 Index   Net
Asset
Value
Market
Value
Energy Select Sector Index S&P 500 Index  
    ONE YEAR   44.34% 44.42% 44.49% 15.47%   44.34% 44.42% 44.49% 15.47%  
    FIVE YEARS   33.58% 33.64% 34.47% 55.55%   5.96% 5.97% 6.10% 9.24%  
    TEN YEARS   41.17% 41.31% 42.93% 202.44%   3.51% 3.52% 3.64% 11.70%  
Comparison of Change in Value of a $10,000 Investment
(Based on Net Asset Value)
Line graph is based on cumulative total return.
The total expense ratio for The Energy Select Sector SPDR Fund as stated in the Fees and Expenses table of the most recent prospectus is 0.10%. Please see the financial highlights for the total expense ratio for the fiscal period ended September 30, 2022.
Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.ssga.com for most recent month-end performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. See "Notes to Performance Summaries" on page 1 for more information.
See accompanying notes to financial statements.
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Table of Contents
The Energy Select Sector SPDR Fund
Portfolio Statistics (Unaudited)
Top Five Holdings as of September 30, 2022

       
  Description Market Value % of Net Assets  
  Exxon Mobil Corp. 7,640,126,683 22.8%  
  Chevron Corp. 6,556,871,802 19.6  
  ConocoPhillips 1,510,057,709 4.5  
  EOG Resources, Inc. 1,496,393,298 4.5  
  Pioneer Natural Resources Co. 1,490,246,722 4.4  
  TOTAL 18,693,696,214 55.8%  
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Industry Breakdown as of September 30, 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.
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THE FINANCIAL SELECT SECTOR SPDR FUND
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
The Financial Select Sector SPDR Fund (the “Fund”) seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of publicly traded equity securities of companies in the Financial Select Sector Index. The Fund’s benchmark is the Financial Select Sector Index (the “Index”).
For the 12-month period ended September 30, 2022 (the “Reporting Period”), the total return for the Fund was –17.67%, and the Index was –17.65%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. Expenses and cash contributed to the difference between the Fund’s performance and that of the Index.
There were a number of factors that contributed to this Fund’s decline during the Reporting Period. The combination of declining loan growth and an inverted yield curve raised significant worries regarding potential revenue challenges for the banking segment. Additionally, this sector continued to be impacted by a heightened regulatory environment with a particular focus on ESG and lending standards. As markets declined during the Reporting Period, revenue concerns increased for the firms with an asset management business focus. Along with declining markets, recession concerns rose significantly bringing with it worries regarding an uptick of bad debt being on balance sheets although by many measures firms and consumers were better positioned relative to other sizable market down turns. Rising interest rates were not a negative for all constituents as there were expectations that insurance companies would be better positioned in regard to revenue and investment returns.
The Fund did not invest in derivatives during the Reporting Period.
On an individual security level, the top positive contributors to the Fund’s performance during the Reporting Period were Progressive Corporation, Arthur J. Gallagher & Co. and M&T Bank Corporation. The top negative contributors to the Fund’s performance during the Reporting Period were JPMorgan Chase & Co., Bank of America Corp. and Citigroup Inc.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
See accompanying notes to financial statements.
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Table of Contents
The Financial Select Sector SPDR Fund
Performance Summary (Unaudited)
Performance as of September 30, 2022
        Cumulative Total Return   Average Annual Total Return    
        Net
Asset
Value
Market
Value
Financial Select Sector Index S&P 500 Index   Net
Asset
Value
Market
Value
Financial Select Sector Index S&P 500 Index  
    ONE YEAR   17.67% 17.59% 17.65% 15.47%   17.67% 17.59% 17.65% 15.47%  
    FIVE YEARS   29.69% 29.81% 30.50% 55.55%   5.34% 5.36% 5.47% 9.24%  
    TEN YEARS   190.01% 190.27% 193.74% 202.44%   11.24% 11.24% 11.38% 11.70%  
Comparison of Change in Value of a $10,000 Investment
(Based on Net Asset Value)
Line graph is based on cumulative total return.
The total expense ratio for The Financial Select Sector SPDR Fund as stated in the Fees and Expenses table of the most recent prospectus is 0.10%. Please see the financial highlights for the total expense ratio for the fiscal period ended September 30, 2022.
Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.ssga.com for most recent month-end performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. See "Notes to Performance Summaries" on page 1 for more information.
See accompanying notes to financial statements.
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Table of Contents
The Financial Select Sector SPDR Fund
Portfolio Statistics (Unaudited)
Top Five Holdings as of September 30, 2022

       
  Description Market Value % of Net Assets  
  Berkshire Hathaway, Inc. Class B 3,906,129,039 14.5%  
  JPMorgan Chase & Co. 2,483,914,840 9.2  
  Bank of America Corp. 1,711,196,145 6.3  
  Wells Fargo & Co. 1,236,532,569 4.6  
  Charles Schwab Corp. 889,505,883 3.3  
  TOTAL 10,227,278,476 37.9%  
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Industry Breakdown as of September 30, 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.
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THE HEALTH CARE SELECT SECTOR SPDR FUND
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
The Health Care Select Sector SPDR Fund (the “Fund”) seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of publicly traded equity securities of companies in the Health Care Select Sector Index. The Fund’s benchmark is the Health Care Select Sector Index (the “Index”).
For the 12-month period ended September 30, 2022 (the “Reporting Period”), the total return for the Fund was –3.47%, and the Index was –3.37%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. Expenses and cash contributed to the difference between the Fund’s performance and that of the Index.
The COVID-19 pandemic and the policy and medical response to it continued to have an appreciable impact on many of the constituents of this Fund during the Reporting Period. This was most notably manifested on the demand side as the medical community continues to work down the backlog of deferred medical procedures. Additionally, market expectations are for a much higher run rate of government spending on healthcare and research than the historical norm. This change was heavily influenced by the pandemic and the responses to the pandemic. Another positive for this sector was a decline in regulatory concerns during the Reporting Period. Also, secular trends such as the continuing increased health care demands associated with the ongoing aging of the American population continue to make a positive contribution to many of this Fund’s constituents. This demographic trend is anticipated to lead to continued strong growth in the medical products, pharmaceuticals and medical services markets. Additionally, the return for many of the constituents of this Fund were helped by the sector’s continued dramatic innovation success as evidenced by a much quicker than anticipated response to the COVID-19 pandemic. This spirit and success at innovation has positively contributed to the Fund in the past and breakthroughs associated with the recent pandemic response are expected to contribute to returns in the future. Finally though slower than recent periods, mergers and acquisitions both completed and anticipated contributed to this Fund’s return.
The Fund did not invest in derivatives during the Reporting Period.
On an individual security level, the top positive contributors to the Fund’s performance during the Reporting Period were AbbVie, Inc., UnitedHealth Group Incorporated and Eli Lilly and Company. The top negative contributors to the Fund’s performance during the Reporting Period were Moderna, Inc., Intuitive Surgical, Inc. and Medtronic Plc.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
See accompanying notes to financial statements.
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Table of Contents
The Health Care Select Sector SPDR Fund
Performance Summary (Unaudited)
Performance as of September 30, 2022
        Cumulative Total Return   Average Annual Total Return    
        Net
Asset
Value
Market
Value
Health Care Select Sector Index S&P 500 Index   Net
Asset
Value
Market
Value
Health Care Select Sector Index S&P 500 Index  
    ONE YEAR   3.47% 3.38% 3.37% 15.47%   3.47% 3.38% 3.37% 15.47%  
    FIVE YEARS   61.16% 61.31% 62.25% 55.55%   10.01% 10.04% 10.16% 9.24%  
    TEN YEARS   255.21% 255.62% 260.63% 202.44%   13.51% 13.53% 13.69% 11.70%  
Comparison of Change in Value of a $10,000 Investment
(Based on Net Asset Value)
Line graph is based on cumulative total return.
The total expense ratio for The Health Care Select Sector SPDR Fund as stated in the Fees and Expenses table of the most recent prospectus is 0.10%. Please see the financial highlights for the total expense ratio for the fiscal period ended September 30, 2022.
Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.ssga.com for most recent month-end performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. See "Notes to Performance Summaries" on page 1 for more information.
See accompanying notes to financial statements.
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Table of Contents
The Health Care Select Sector SPDR Fund
Portfolio Statistics (Unaudited)
Top Five Holdings as of September 30, 2022

       
  Description Market Value % of Net Assets  
  UnitedHealth Group, Inc. 3,710,878,873 10.4%  
  Johnson & Johnson 3,373,879,307 9.4  
  Eli Lilly & Co. 2,003,166,831 5.6  
  Pfizer, Inc. 1,929,242,832 5.4  
  AbbVie, Inc. 1,864,038,529 5.2  
  TOTAL 12,881,206,372 36.0%  
(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 September 30, 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.
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Table of Contents
THE INDUSTRIAL SELECT SECTOR SPDR FUND
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
The Industrial Select Sector SPDR Fund (the “Fund”) seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of publicly traded equity securities of companies in the Industrial Select Sector Index. The Fund’s benchmark is the Industrial Select Sector Index (the “Index”).
For the 12-month period ended September 30, 2022 (the “Reporting Period”), the total return for the Fund was –13.95%, and the Index was –13.87%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. Fees and expenses contributed to the difference between the Fund’s performance and that of the Index.
After a promising first fiscal quarter (+8.6%), the Index retreated for the rest of the Reporting Period leading to an overall loss of 13.95% for the fiscal year and giving back much of the previous fiscal year’s 29% gain. The good times early in the Reporting Period led by humanity’s re-emergence from the COVID-19 pandemic gave way to conflict, global inflation, and supply chain shortcomings that were primary drivers of Fund’s performance during the Reporting Period. The slide started as the calendar turned to 2022. Investor sentiment was weighed down by concerns around the Russia-Ukraine war and the tightening stance adopted by the U.S. Federal Reserve in the wake of surging inflation. The third fiscal quarter was the primary source for the overall return losing 14.8% alone during that three month stretch. During that quarter, energy and commodity prices were pushed to extreme levels as a result of the war and the trickle effect of higher fuel prices led to increased supply chain disruptions.
The Fund used index futures contracts in order to equitize cash and receivables during the Reporting Period. The Fund’s use of index futures contracts helped the Fund track the Index.
On an individual security level, the top positive contributors to the Fund’s performance during the Reporting Period were Waste Management, Inc., Northrop Grumman Corp. and Lockheed Martin Corporation. The top negative contributors to the Fund’s performance during the Reporting Period were 3M Company, Boeing Company and General Electric Company.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
See accompanying notes to financial statements.
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Table of Contents
The Industrial Select Sector SPDR Fund
Performance Summary (Unaudited)
Performance as of September 30, 2022
        Cumulative Total Return   Average Annual Total Return    
        Net
Asset
Value
Market
Value
Industrial Select Sector Index S&P 500 Index   Net
Asset
Value
Market
Value
Industrial Select Sector Index S&P 500 Index  
    ONE YEAR   13.95% 13.84% 13.87% 15.47%   13.95% 13.84% 13.87% 15.47%  
    FIVE YEARS   27.53% 27.66% 28.51% 55.55%   4.98% 5.01% 5.14% 9.24%  
    TEN YEARS   174.67% 174.98% 179.02% 202.44%   10.63% 10.64% 10.81% 11.70%  
Comparison of Change in Value of a $10,000 Investment
(Based on Net Asset Value)
Line graph is based on cumulative total return.
The total expense ratio for The Industrial Select Sector SPDR Fund as stated in the Fees and Expenses table of the most recent prospectus is 0.10%. Please see the financial highlights for the total expense ratio for the fiscal period ended September 30, 2022.
Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.ssga.com for most recent month-end performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. See "Notes to Performance Summaries" on page 1 for more information.
See accompanying notes to financial statements.
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Table of Contents
The Industrial Select Sector SPDR Fund
Portfolio Statistics (Unaudited)
Top Five Holdings as of September 30, 2022

       
  Description Market Value % of Net Assets  
  Union Pacific Corp. 568,364,946 5.1%  
  Raytheon Technologies Corp. 564,644,903 5.1  
  United Parcel Service, Inc. Class B 552,290,398 5.0  
  Honeywell International, Inc. 525,493,160 4.7  
  Deere & Co. 433,841,307 3.9  
  TOTAL 2,644,634,714 23.8%  
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Industry Breakdown as of September 30, 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.
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THE MATERIALS SELECT SECTOR SPDR FUND
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
The Materials Select Sector SPDR Fund (the “Fund”) seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of publicly traded equity securities of companies in the Materials Select Sector Index. The Fund’s benchmark is the Materials Select Sector Index (the “Index”).
For the 12-month period ended September 30, 2022 (the “Reporting Period”), the total return for the Fund was –12.23%, and the Index was –12.15%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. Cumulative security misweights between the Fund and the Index and Fund expenses contributed to the difference between the Fund’s performance and that of the Index.
Global economic activity continued to expand in the fourth quarter of 2021, albeit at a measurably moderate pace, with several factors contributing to multiple headwinds. Supply chain bottlenecks continued to persist and sapped growth momentum during the quarter. Rising COVID-19 cases toward the end of the quarter triggered disruption to services and created further bottlenecks related to labor, transportation and goods. Key central banks across regions pivoted to a hawkish stance amid persistent high inflation, thereby increasing the risk to growth momentum in early 2022.
On the fiscal front, the U.S. Congress passed a bipartisan infrastructure bill, whereas the more ambitious “build back better” spending bill did not find enough support in the Senate. On the monetary policy front, global central banks, led by the U.S. Federal Reserve, turned mostly hawkish by varying degrees. The U.S. Federal Reserve abandoned its notion of ‘transitory inflation’, as inflation is now expected to persist longer than expected and announced that it would double the pace of tapering, paving the way for a rate hike in early 2022. With fiscal stimulus in place, this proved to be the only quarter for the Reporting Period where the Fund generated positive returns. During this quarter, the Fund was up 15.1%.
Global economic growth and equity markets faced multiple headwinds in the first quarter of 2022. Commodity prices accelerated the trend as western countries imposed strict sanctions on Russia’s economy. Hawkish pivot by western central banks amid rising inflation also weighed on stocks and bonds. The Russia-Ukraine war further exacerbated the supply chain and inflation problems at the end of February.
On the monetary policy front, the major central banks adopted a more hawkish tone in the quarter amid stubbornly high inflation. The U.S. Federal Reserve delivered its first rate hike since 2018 but surprised the markets, signaling a much more hawkish pivot with expectations of six further 25 bp hikes this year. With the back drop of rising inflation and continued supply disruptions and the Fund dropped –2.4% for the quarter.
Persistent inflation pressure forced central banks to accelerate tightening, risking a hard landing. Incoming data from key developed markets pointed toward broad-based deceleration in economic activities. However, China’s rebound helped soften the pace of the global slowdown. Geopolitical risks remained elevated amid the ongoing Russia-Ukraine war and continued escalations between the United States (U.S.) and China over Taiwan.
Markets remained volatile in the second quarter of 2022 and equities and bonds posted sharp declines. Concerns over persistent inflation, hawkish central bank actions and the ongoing Russia-Ukraine war weighed heavily on sentiment. Combined, this help drive performance down for the quarter. The Fund returned –15.9% during this quarter.
Global markets declined and growth stumbled in the third quarter of 2022 as inflation remained persistently high, geopolitical tensions escalated, and central banks raised aggressively, signaling larger-than-expected future hikes. After the Fund rallied early in the quarter, risk assets declined in August and September as central banks struggled with inflation amid slowing economic growth. This again weighed on performance for the Fund. For the quarter, the Fund returned –7.1%.
The Fund used index futures contracts in order to equitize cash and receivables during the Reporting Period. The Fund’s use of index futures contracts helped the Fund track the Index.
See accompanying notes to financial statements.
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Table of Contents
THE MATERIALS SELECT SECTOR SPDR FUND
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)  (continued)
On an individual security level, the top positive contributors to the Fund’s performance during the Reporting Period were Albemarle Corporation, Corteva Inc, and CF Industries Holdings, Inc. The top negative contributors to the Fund’s performance during the Reporting Period were Ball Corporation, Ecolab Inc. and Sherwin-Williams Company.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
See accompanying notes to financial statements.
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Table of Contents
The Materials Select Sector SPDR Fund
Performance Summary (Unaudited)
Performance as of September 30, 2022
        Cumulative Total Return   Average Annual Total Return    
        Net
Asset
Value
Market
Value
Materials Select Sector Index S&P 500 Index   Net
Asset
Value
Market
Value
Materials Select Sector Index S&P 500 Index  
    ONE YEAR   12.23% 12.14% 12.15% 15.47%   12.23% 12.14% 12.15% 15.47%  
    FIVE YEARS   32.35% 32.51% 32.82% 55.55%   5.77% 5.79% 5.84% 9.24%  
    TEN YEARS   127.29% 127.62% 129.74% 202.44%   8.56% 8.57% 8.67% 11.70%  
Comparison of Change in Value of a $10,000 Investment
(Based on Net Asset Value)
Line graph is based on cumulative total return.
The total expense ratio for The Materials Select Sector SPDR Fund as stated in the Fees and Expenses table of the most recent prospectus is 0.10%. Please see the financial highlights for the total expense ratio for the fiscal period ended September 30, 2022.
Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.ssga.com for most recent month-end performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. See "Notes to Performance Summaries" on page 1 for more information.
See accompanying notes to financial statements.
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Table of Contents
The Materials Select Sector SPDR Fund
Portfolio Statistics (Unaudited)
Top Five Holdings as of September 30, 2022

       
  Description Market Value % of Net Assets  
  Linde PLC 833,406,752 17.7%  
  Air Products & Chemicals, Inc. 320,191,330 6.8  
  Sherwin-Williams Co. 299,552,321 6.4  
  Corteva, Inc. 254,745,211 5.4  
  Freeport-McMoRan, Inc. 242,426,338 5.2  
  TOTAL 1,950,321,952 41.5%  
(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 September 30, 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.
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Table of Contents
THE REAL ESTATE SELECT SECTOR SPDR FUND
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
The Real Estate Select Sector SPDR Fund (the “Fund”) seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of publicly traded equity securities of companies in the Real Estate Select Sector Index. The Fund’s benchmark is the Real Estate Select Sector Index (the “Index”).
For the 12-month period ended September 30, 2022 (the “Reporting Period”), the total return for the Fund was –16.46%, and the Index was –16.37%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. Fees contributed to the difference between the Fund’s performance and that of the Index.
Fueled by the expansion of global activity, the real estate sector advanced nearly 17% over the first quarter of the Reporting Period and was the top performing sector in the S&P 500 Index. At the start of 2022 however, the sector along with the rest of the equity markets began to face multiple headwinds, rising COVID-19 cases, supply chain bottlenecks that sapped growth momentum and the pivot to a hawkish stance by key central banks. Amid persistent high inflation, central banks raised interest rates aggressively. Signs of higher interest rates weighed on the housing market – home prices were observed to be 40% higher compared with the start of 2020 and the number of home sales declined as 30-year mortgage rates topped 6%. These headwinds weighed on the real estate sector and the Fund declined over 30% over the last three quarters of the Reporting Period.
All sub-industries posted negative returns over the Reporting Period. Within the Specialized REITs sub-industry, self-storage REITs tend to have low economic sensitivity and performed well as demand remained strong. The Real Estate Services sub-industry performed the worst. After observing strong growth over the prior year, the stock price of CBRE Group showed weakness from the headwinds and declined over 30%.
The Fund used index equity futures in order to equitize cash and dividend receivables during the Reporting Period. The Fund’s use of index futures helped the Fund track the Index.
On an individual security level, the top positive contributors to the Fund’s performance during the Reporting Period were Public Storage, Extra Space Storage Inc. and Duke Realty Corporation. The top negative contributors to the Fund’s performance during the Reporting Period were Prologis, Inc., Equinix, Inc. and American Tower Corporation.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
See accompanying notes to financial statements.
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Table of Contents
The Real Estate Select Sector SPDR Fund
Performance Summary (Unaudited)
Performance as of September 30, 2022
        Cumulative Total Return   Average Annual Total Return    
        Net
Asset
Value
Market
Value
Real Estate Select Sector Index S&P 500 Index   Net
Asset
Value
Market
Value
Real Estate Select Sector Index S&P 500 Index  
    ONE YEAR   16.46% 16.42% 16.37% 15.47%   16.46% 16.42% 16.37% 15.47%  
    FIVE YEARS   31.79% 31.88% 32.62% 55.55%   5.68% 5.69% 5.81% 9.24%  
    SINCE INCEPTION (1)   52.57% 52.66% 54.01% 104.75%   6.23% 6.24% 6.38% 10.81%  
(1) For the period October 7, 2015 to September 30, 2021.
Comparison of Change in Value of a $10,000 Investment
(Based on Net Asset Value)
Line graph is based on cumulative total return.
* Inception date.
The total expense ratio for The Real Estate Select Sector SPDR Fund as stated in the Fees and Expenses table of the most recent prospectus is 0.10%. Please see the financial highlights for the total expense ratio for the fiscal period ended September 30, 2022.
Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.ssga.com for most recent month-end performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. See "Notes to Performance Summaries" on page 1 for more information.
See accompanying notes to financial statements.
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Table of Contents
The Real Estate Select Sector SPDR Fund
Portfolio Statistics (Unaudited)
Top Five Holdings as of September 30, 2022

       
  Description Market Value % of Net Assets  
  American Tower Corp. REIT 542,577,602 11.8%  
  Prologis, Inc. REIT 408,294,942 8.8  
  Crown Castle, Inc. REIT 339,755,668 7.4  
  Equinix, Inc. REIT 281,207,192 6.1  
  Public Storage REIT 251,159,242 5.4  
  TOTAL 1,822,994,646 39.5%  
(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 September 30, 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.
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Table of Contents
THE TECHNOLOGY SELECT SECTOR SPDR FUND
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
The Technology Select Sector SPDR Fund (the “Fund”) seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of publicly traded equity securities of companies in the Technology Select Sector Index. The Fund’s benchmark is the Technology Select Sector Index (the “Index”).
For the 12-month period ended September 30, 2022 (the “Reporting Period”), the total return for the Fund was –19.82%, and the Index was –19.73%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. Management fees, cash drag, and cumulative effects of individual security misweights contributed to the difference between the Fund’s performance and that of the Index.
The Fund had positive performance in one of the four quarters of the Reporting Period. Performance in the first quarter of the Reporting Period was positive due to the signing of the $1.2 trillion bipartisan Infrastructure Investment and Jobs Act, strong earnings growth, and progress in the fight against COVID-19 despite the emergence of the highly infectious Omicron variant. Performance in the last three quarters of the Reporting Period was negative on the back of rising inflation, tighter monetary policy, declining consumer sentiment, ongoing supply chain issues, the Russia-Ukraine war and recessionary fears despite lower levels of unemployment and positive earnings were primary drivers of the Fund’s overall performance during the Reporting Period.
The Fund used index futures contracts in order to equitize cash and receivables during the Reporting Period. The Fund’s use of index futures contracts helped the Fund track the Index.
On an individual security level, the top positive contributors to the Fund’s performance during the Reporting Period were Xilinx, Inc., Automatic Data Processing, Inc. and Enphase Energy, Inc. The top negative contributors to the Fund’s performance during the Reporting Period were PayPal Holdings, Inc. and Microsoft Corporation and Apple Inc.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
See accompanying notes to financial statements.
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Table of Contents
The Technology Select Sector SPDR Fund
Performance Summary (Unaudited)
Performance as of September 30, 2022
        Cumulative Total Return   Average Annual Total Return    
        Net
Asset
Value
Market
Value
Technology Select Sector Index S&P 500 Index   Net
Asset
Value
Market
Value
Technology Select Sector Index S&P 500 Index  
    ONE YEAR   19.82% 19.77% 19.73% 15.47%   19.82% 19.77% 19.73% 15.47%  
    FIVE YEARS   112.63% 112.74% 114.43% 55.55%   16.29% 16.30% 16.48% 9.24%  
    TEN YEARS   346.79% 347.01% 354.78% 202.54%   16.15% 16.15% 16.35% 11.70%  
Comparison of Change in Value of a $10,000 Investment
(Based on Net Asset Value)
Line graph is based on cumulative total return.
The total expense ratio for The Technology Select Sector SPDR Fund as stated in the Fees and Expenses table of the most recent prospectus is 0.10%. Please see the financial highlights for the total expense ratio for the fiscal period ended September 30, 2022.
Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.ssga.com for most recent month-end performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. See "Notes to Performance Summaries" on page 1 for more information.
See accompanying notes to financial statements.
32


Table of Contents
The Technology Select Sector SPDR Fund
Portfolio Statistics (Unaudited)
Top Five Holdings as of September 30, 2022

       
  Description Market Value % of Net Assets  
  Apple, Inc. 8,308,046,125 23.3%  
  Microsoft Corp. 8,099,263,092 22.7  
  NVIDIA Corp. 1,417,350,975 4.0  
  Visa, Inc. Class A 1,354,390,809 3.8  
  Mastercard, Inc. Class A 1,131,256,642 3.2  
  TOTAL 20,310,307,643 57.0%  
(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 September 30, 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.
33


Table of Contents
THE UTILITIES SELECT SECTOR SPDR FUND
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
The Utilities Select Sector SPDR Fund (the “Fund”) seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of publicly traded equity securities of companies in the Utilities Select Sector Index. The Fund’s benchmark is the Utilities Select Sector Index (the “Index”).
For the 12-month period ended September 30, 2022 (the “Reporting Period”), the total return for the Fund was 5.46%, and the Index was 5.58%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. Expenses and cash contributed to the difference between the Fund’s performance and that of the Index.
Despite a challenging market environment especially during the last two quarters of the Reporting Period, this Fund was still able to generate a positive return. One factor that positively contributed to this Fund’s return was a pickup in electricity demand owing to both more extreme weather conditions and a continued uptick in activity as the COVID-19 pandemic’s impact waned appreciably during the Reporting Period. Another positive contributing factor was the government’s continued support for green energy initiatives. This Fund’s returns were also buoyed by a general “risk off” market environment as investors seemed to appreciate the relative defensive nature of this sector. The last two quarters have been marked by increased investor appetite for funds with comparatively higher dividend yields which has helped this Fund as the Utilities Sector has historically from a sector perspective had one of the higher dividend yields. This Reporting Period saw dramatic increases in the Federal Funds rate which has typically hurt this Fund but in this case the relative predictability of the constituents’ businesses has over shadowed profitability concerns associated with higher interest rates. There’s also an expectation that higher input costs can be passed on to the end users in the current inflationary environment.
The Fund did not invest in derivatives during the Reporting Period.
On an individual security level, the top positive contributors to the Fund’s performance during the Reporting Period were Exelon Corporation, Sempra Energy, and Southern Company. The top negative contributors to the Fund’s performance during the Reporting Period were Public Service Enterprise Group Inc, American Water Works Company, Inc. and PPL Corporation.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
See accompanying notes to financial statements.
34


Table of Contents
The Utilities Select Sector SPDR Fund
Performance Summary (Unaudited)
Performance as of September 30, 2022
        Cumulative Total Return   Average Annual Total Return    
        Net
Asset
Value
Market
Value
Utilities Select Sector Index S&P 500 Index   Net
Asset
Value
Market
Value
Utilities Select Sector Index S&P 500 Index  
    ONE YEAR   5.46% 5.60% 5.58% 15.47%   5.46% 5.60% 5.58% 15.47%  
    FIVE YEARS   44.89% 44.05% 45.75% 55.55%   7.70% 7.72% 7.83% 9.24%  
    TEN YEARS   152.13% 152.42% 156.22% 202.44%   9.69% 9.70% 9.87% 11.70%  
Comparison of Change in Value of a $10,000 Investment
(Based on Net Asset Value)
Line graph is based on cumulative total return.
The total expense ratio for The Utilities Select Sector SPDR Fund as stated in the Fees and Expenses table of the most recent prospectus is 0.10%. Please see the financial highlights for the total expense ratio for the fiscal period ended September 30, 2022.
Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.ssga.com for most recent month-end performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. See "Notes to Performance Summaries" on page 1 for more information.
See accompanying notes to financial statements.
35


Table of Contents
The Utilities Select Sector SPDR Fund
Portfolio Statistics (Unaudited)
Top Five Holdings as of September 30, 2022

       
  Description Market Value % of Net Assets  
  NextEra Energy, Inc. 2,624,605,306 16.3%  
  Southern Co. 1,231,461,300 7.6  
  Duke Energy Corp. 1,220,194,222 7.6  
  Dominion Energy, Inc. 980,181,878 6.1  
  Sempra Energy 802,888,666 5.0  
  TOTAL 6,859,331,372 42.6%  
(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 September 30, 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.
36


Table of Contents
THE COMMUNICATION SERVICES SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS
September 30, 2022

Security Description     Shares   Value
COMMON STOCKS — 99.9%   
DIVERSIFIED TELECOMMUNICATION SERVICES — 9.8%  
AT&T, Inc.

  22,217,498   $ 340,816,419
Lumen Technologies, Inc. (a)

  9,006,112   65,564,495
Verizon Communications, Inc.

  8,929,579   339,056,115
          745,437,029
ENTERTAINMENT — 23.9%  
Activision Blizzard, Inc.

  4,608,790   342,617,449
Electronic Arts, Inc.

  2,497,487   288,984,221
Live Nation Entertainment, Inc. (b)

  1,343,354   102,148,638
Netflix, Inc. (b)

  1,439,688   338,960,143
Take-Two Interactive Software, Inc. (b)

  1,481,538   161,487,642
Walt Disney Co. (b)

  3,540,258   333,952,537
Warner Bros Discovery, Inc. (b)

  20,887,481   240,206,031
          1,808,356,661
INTERACTIVE MEDIA & SERVICES — 45.9%  
Alphabet, Inc. Class A (b)

  9,525,051   911,071,128
Alphabet, Inc. Class C (b)

  8,517,571   818,964,452
Match Group, Inc. (b)

  2,675,646   127,762,097
Meta Platforms, Inc. Class A (b)

  9,882,993   1,340,924,490
Twitter, Inc. (b)

  6,357,247   278,701,708
          3,477,423,875
MEDIA — 15.7%  
Charter Communications, Inc. Class A (b)

  1,048,164   317,960,549
Comcast Corp. Class A

  11,337,650   332,533,274
DISH Network Corp. Class A (b)

  2,373,283   32,822,504
Fox Corp. Class A

  2,897,780   88,903,890
Fox Corp. Class B

  1,330,635   37,923,098
Interpublic Group of Cos., Inc.

  3,697,241   94,649,370
News Corp. Class A

  3,645,907   55,089,655
News Corp. Class B

  1,129,421   17,415,672
Security Description     Shares   Value
Omnicom Group, Inc.

  1,936,778   $ 122,191,324
Paramount Global Class B (a)

  4,774,523   90,906,918
          1,190,396,254
WIRELESS TELECOMMUNICATION SERVICES — 4.6%  
T-Mobile US, Inc. (b)

  2,608,620   349,998,545
TOTAL COMMON STOCKS

(Cost $11,756,270,028)

        7,571,612,364
SHORT-TERM INVESTMENTS — 0.8%      
State Street Institutional Liquid Reserves Fund, Premier Class 3.01% (c)  (d)

  5,928,151   5,929,337
State Street Navigator Securities Lending Portfolio II (e)  (f)

  51,992,399   51,992,399
TOTAL SHORT-TERM INVESTMENTS

(Cost $57,920,761)

  57,921,736  
TOTAL INVESTMENTS — 100.7%

(Cost $11,814,190,789)

  7,629,534,100  
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.7)%

  (51,484,165)  
NET ASSETS — 100.0%

  $ 7,578,049,935  
(a) All or a portion of the shares of the security are on loan at September 30, 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 September 30, 2022 are shown in the Affiliate Table below.
(d) The rate shown is the annualized seven-day yield at September 30, 2022.
(e) The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended September 30, 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 September 30, 2022.
Description   Level 1 –
Quoted Prices
  Level 2 –
Other Significant
Observable Inputs
  Level 3 –
Significant
Unobservable Inputs
  Total
ASSETS:                
INVESTMENTS:                
Common Stocks

  $7,571,612,364   $—   $—   $7,571,612,364
Short-Term Investments

  57,921,736       57,921,736
TOTAL INVESTMENTS

  $7,629,534,100   $—   $—   $7,629,534,100
See accompanying notes to financial statements.
37


Table of Contents
THE COMMUNICATION SERVICES SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS  (continued)
September 30, 2022

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
9/30/22
  Value at

9/30/22
  Dividend
Income
State Street Institutional Liquid Reserves Fund, Premier Class

3,600,221   $ 3,600,941   $ 183,394,089   $ 181,067,106   $438   $975   5,928,151   $ 5,929,337   $ 92,653
State Street Navigator Securities Lending Portfolio II

76,583,434   76,583,434   1,349,498,553   1,374,089,588       51,992,399   51,992,399   252,418
Total

    $80,184,375   $1,532,892,642   $1,555,156,694   $438   $975       $57,921,736   $345,071
See accompanying notes to financial statements.
38


Table of Contents
THE CONSUMER DISCRETIONARY SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS
September 30, 2022

Security Description     Shares   Value
COMMON STOCKS — 99.9%   
AUTO COMPONENTS — 1.0%  
Aptiv PLC (a)

  1,295,914   $ 101,353,434
BorgWarner, Inc.

  1,132,827   35,570,768
          136,924,202
AUTOMOBILES — 24.8%  
Ford Motor Co.

  18,890,582   211,574,518
General Motors Co.

  6,974,153   223,800,570
Tesla, Inc. (a)

  11,545,014   3,062,314,964
          3,497,690,052
DISTRIBUTORS — 1.6%  
Genuine Parts Co.

  676,560   101,023,939
LKQ Corp.

  1,246,812   58,787,186
Pool Corp.

  189,343   60,250,836
          220,061,961
HOTELS, RESTAURANTS & LEISURE — 18.2%  
Booking Holdings, Inc. (a)

  189,972   312,163,890
Caesars Entertainment, Inc. (a)

  1,025,586   33,085,404
Carnival Corp. (a)  (b)

  4,721,403   33,191,463
Chipotle Mexican Grill, Inc. (a)

  132,827   199,607,103
Darden Restaurants, Inc.

  586,254   74,055,605
Domino's Pizza, Inc.

  171,602   53,230,940
Expedia Group, Inc. (a)

  727,207   68,132,024
Hilton Worldwide Holdings, Inc.

  1,311,924   158,244,273
Las Vegas Sands Corp. (a)

  1,571,705   58,970,372
Marriott International, Inc. Class A

  1,319,446   184,907,162
McDonald's Corp.

  2,805,043   647,235,622
MGM Resorts International

  1,560,666   46,382,994
Norwegian Cruise Line Holdings, Ltd. (a)  (b)

  2,015,511   22,896,205
Royal Caribbean Cruises, Ltd. (a)  (b)

  1,049,168   39,763,467
Starbucks Corp.

  5,488,181   462,434,131
Wynn Resorts, Ltd. (a)  (b)

  495,114   31,207,035
Yum! Brands, Inc.

  1,360,914   144,719,595
          2,570,227,285
HOUSEHOLD DURABLES — 3.1%  
D.R. Horton, Inc.

  1,512,480   101,865,528
Garmin, Ltd.

  737,976   59,266,853
Lennar Corp. Class A

  1,219,603   90,921,404
Mohawk Industries, Inc. (a)

  252,175   22,995,838
Newell Brands, Inc.

  1,800,220   25,005,056
NVR, Inc. (a)

  14,792   58,976,887
PulteGroup, Inc. (a)

  1,107,348   41,525,550
Whirlpool Corp. (b)

  260,721   35,147,798
          435,704,914
INTERNET & DIRECT MARKETING RETAIL — 23.5%  
Amazon.com, Inc. (a)

  27,918,631   3,154,805,303
eBay, Inc.

  2,627,775   96,728,397
Etsy, Inc. (a)  (b)

  605,637   60,642,433
          3,312,176,133
Security Description     Shares   Value
LEISURE EQUIPMENT & PRODUCTS — 0.3%  
Hasbro, Inc.

  620,889   $ 41,860,336
MULTILINE RETAIL — 5.1%  
Dollar General Corp.

  1,085,807   260,441,667
Dollar Tree, Inc. (a)

  1,009,580   137,403,838
Target Corp.

  2,217,912   329,115,962
          726,961,467
SPECIALTY RETAIL — 18.0%  
Advance Auto Parts, Inc.

  290,023   45,342,196
AutoZone, Inc. (a)

  93,271   199,779,953
Bath & Body Works, Inc.

  1,091,997   35,599,102
Best Buy Co., Inc.

  958,518   60,712,530
CarMax, Inc. (a)  (b)

  761,319   50,262,281
Home Depot, Inc.

  2,428,434   670,102,078
Lowe's Cos., Inc.

  3,057,086   574,151,322
O'Reilly Automotive, Inc. (a)

  304,995   214,518,233
Ross Stores, Inc.

  1,673,767   141,048,345
TJX Cos., Inc.

  5,604,125   348,128,245
Tractor Supply Co.

  530,909   98,685,365
Ulta Beauty, Inc. (a)

  247,865   99,440,959
          2,537,770,609
TEXTILES, APPAREL & LUXURY GOODS — 4.3%  
NIKE, Inc. Class B

  6,044,221   502,395,650
Ralph Lauren Corp. (b)

  205,122   17,421,011
Tapestry, Inc.

  1,204,454   34,242,627
VF Corp.

  1,579,467   47,241,858
          601,301,146
TOTAL COMMON STOCKS

(Cost $17,778,929,785)

        14,080,678,105
SHORT-TERM INVESTMENTS — 0.9%      
State Street Institutional Liquid Reserves Fund, Premier Class 3.01% (c)  (d)

  17,296,217   17,299,677
State Street Navigator Securities Lending Portfolio II (e)  (f)

  115,679,767   115,679,767
TOTAL SHORT-TERM INVESTMENTS

(Cost $132,977,073)

  132,979,444  
TOTAL INVESTMENTS — 100.8%

(Cost $17,911,906,858)

  14,213,657,549  
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.8)%

  (115,018,628)  
NET ASSETS — 100.0%

  $ 14,098,638,921  
(a) Non-income producing security.
(b) All or a portion of the shares of the security are on loan at September 30, 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 September 30, 2022 are shown in the Affiliate Table below.
(d) The rate shown is the annualized seven-day yield at September 30, 2022.
 
See accompanying notes to financial statements.
39


Table of Contents
THE CONSUMER DISCRETIONARY SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS  (continued)
September 30, 2022

(e) The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended September 30, 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 September 30, 2022.
Description   Level 1 –
Quoted Prices
  Level 2 –
Other Significant
Observable Inputs
  Level 3 –
Significant
Unobservable Inputs
  Total
ASSETS:                
INVESTMENTS:                
Common Stocks

  $14,080,678,105   $—   $—   $14,080,678,105
Short-Term Investments

  132,979,444       132,979,444
TOTAL INVESTMENTS

  $14,213,657,549   $—   $—   $14,213,657,549
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
9/30/22
  Value at

9/30/22
  Dividend
Income
State Street Institutional Liquid Reserves Fund, Premier Class

5,827,718   $ 5,828,883   $ 203,085,891   $ 191,616,109   $(1,359)   $2,371   17,296,217   $ 17,299,677   $138,429
State Street Navigator Securities Lending Portfolio II

88,081,524   88,081,524   1,685,126,436   1,657,528,193       115,679,767   115,679,767   178,845
Total

    $93,910,407   $1,888,212,327   $1,849,144,302   $(1,359)   $2,371       $132,979,444   $317,274
See accompanying notes to financial statements.
40


Table of Contents
THE CONSUMER STAPLES SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS
September 30, 2022

Security Description     Shares   Value
COMMON STOCKS — 99.6%   
BEVERAGES — 28.1%  
Brown-Forman Corp. Class B

  1,471,234   $ 97,940,048
Coca-Cola Co.

  27,075,808   1,516,786,764
Constellation Brands, Inc. Class A

  1,282,271   294,512,003
Keurig Dr. Pepper, Inc.

  6,837,973   244,936,193
Molson Coors Beverage Co. Class B

  1,516,167   72,760,854
Monster Beverage Corp. (a)

  3,095,447   269,180,071
PepsiCo, Inc.

  9,600,529   1,567,382,365
          4,063,498,298
FOOD & STAPLES RETAILING — 19.6%  
Costco Wholesale Corp.

  3,081,418   1,455,261,279
Kroger Co.

  5,240,516   229,272,575
Sysco Corp.

  4,100,261   289,929,455
Walgreens Boots Alliance, Inc.

  5,778,566   181,446,973
Walmart, Inc.

  5,235,359   679,026,062
          2,834,936,344
FOOD PRODUCTS — 19.1%  
Archer-Daniels-Midland Co.

  4,511,436   362,945,026
Campbell Soup Co. (b)

  1,627,209   76,674,088
Conagra Brands, Inc.

  3,867,919   126,210,197
General Mills, Inc.

  4,794,275   367,289,408
Hershey Co.

  1,182,008   260,597,304
Hormel Foods Corp.

  2,329,189   105,838,348
JM Smucker Co.

  857,632   117,847,213
Kellogg Co.

  2,042,302   142,266,757
Kraft Heinz Co.

  6,410,522   213,790,909
Lamb Weston Holdings, Inc.

  1,156,603   89,497,940
McCormick & Co., Inc.

  2,016,903   143,744,677
Mondelez International, Inc. Class A

  11,030,320   604,792,445
Tyson Foods, Inc. Class A

  2,330,901   153,676,303
          2,765,170,615
HOUSEHOLD PRODUCTS — 21.7%  
Church & Dwight Co., Inc.

  1,956,848   139,797,221
Clorox Co.

  992,067   127,371,482
Colgate-Palmolive Co.

  6,712,946   471,584,456
Security Description     Shares   Value
Kimberly-Clark Corp.

  2,715,583   $ 305,611,711
Procter & Gamble Co.

  16,622,992   2,098,652,740
          3,143,017,610
PERSONAL PRODUCTS — 2.8%  
Estee Lauder Cos., Inc. Class A

  1,865,573   402,777,211
TOBACCO — 8.3%  
Altria Group, Inc.

  14,493,098   585,231,297
Philip Morris International, Inc.

  7,381,172   612,711,088
          1,197,942,385
TOTAL COMMON STOCKS

(Cost $16,983,902,439)

        14,407,342,463
SHORT-TERM INVESTMENTS — 0.3%      
State Street Institutional Liquid Reserves Fund, Premier Class 3.01% (c)  (d)

  16,130,664   16,133,890
State Street Navigator Securities Lending Portfolio II (e)  (f)

  24,693,312   24,693,312
TOTAL SHORT-TERM INVESTMENTS

(Cost $40,826,695)

  40,827,202  
TOTAL INVESTMENTS — 99.9%

(Cost $17,024,729,134)

  14,448,169,665  
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1%

  17,788,409  
NET ASSETS — 100.0%

  $ 14,465,958,074  
(a) Non-income producing security.
(b) All or a portion of the shares of the security are on loan at September 30, 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 September 30, 2022 are shown in the Affiliate Table below.
(d) The rate shown is the annualized seven-day yield at September 30, 2022.
(e) The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended September 30, 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 September 30, 2022.
Description   Level 1 –
Quoted Prices
  Level 2 –
Other Significant
Observable Inputs
  Level 3 –
Significant
Unobservable Inputs
  Total
ASSETS:                
INVESTMENTS:                
Common Stocks

  $14,407,342,463   $—   $—   $14,407,342,463
Short-Term Investments

  40,827,202       40,827,202
TOTAL INVESTMENTS

  $14,448,169,665   $—   $—   $14,448,169,665
See accompanying notes to financial statements.
41


Table of Contents
THE CONSUMER STAPLES SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS  (continued)
September 30, 2022

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
9/30/22
  Value at

9/30/22
  Dividend
Income
State Street Institutional Liquid Reserves Fund, Premier Class

15,187,963   $15,191,001   $ 611,594,894   $ 610,653,175   $663   $507   16,130,664   $16,133,890   $206,665
State Street Navigator Securities Lending Portfolio II

3,227,202   3,227,202   739,892,856   718,426,746       24,693,312   24,693,312   29,648
Total

    $18,418,203   $1,351,487,750   $1,329,079,921   $663   $507       $40,827,202   $236,313
See accompanying notes to financial statements.
42


Table of Contents
THE ENERGY SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS
September 30, 2022

Security Description     Shares   Value
COMMON STOCKS — 99.8%   
ENERGY EQUIPMENT & SERVICES — 8.1%  
Baker Hughes Co.

  29,175,539   $ 611,519,297
Halliburton Co.

  26,153,222   643,892,326
Schlumberger NV (a)

  40,786,143   1,464,222,534
          2,719,634,157
OIL, GAS & CONSUMABLE FUELS — 91.7%  
APA Corp. (a)

  9,416,033   321,934,168
Chevron Corp. (a)

  45,638,420   6,556,871,802
ConocoPhillips (a)

  14,755,303   1,510,057,709
Coterra Energy, Inc.

  22,942,245   599,251,439
Devon Energy Corp. (a)

  18,882,207   1,135,387,107
Diamondback Energy, Inc.

  5,125,776   617,450,977
EOG Resources, Inc.

  13,392,941   1,496,393,298
EQT Corp.

  8,987,600   366,244,700
Exxon Mobil Corp.

  87,505,746   7,640,126,683
Hess Corp. (a)

  8,035,398   875,778,028
Kinder Morgan, Inc. (a)

  57,172,697   951,353,678
Marathon Oil Corp. (a)

  19,539,200   441,195,136
Marathon Petroleum Corp. (a)

  14,378,660   1,428,232,298
Occidental Petroleum Corp. (a)

  21,488,922   1,320,494,257
ONEOK, Inc. (a)

  12,885,980   660,277,615
Phillips 66

  13,871,856   1,119,736,216
Pioneer Natural Resources Co. (a)

  6,882,403   1,490,246,722
Valero Energy Corp. (a)

  11,360,774   1,213,898,702
Williams Cos., Inc.

  35,138,317   1,006,010,016
          30,750,940,551
TOTAL COMMON STOCKS

(Cost $33,236,445,310)

        33,470,574,708
Security Description     Shares   Value
SHORT-TERM INVESTMENTS — 0.4%      
State Street Institutional Liquid Reserves Fund, Premier Class 3.01% (b)  (c)

  97,350,272   $ 97,369,742
State Street Navigator Securities Lending Portfolio II (d)  (e)

  32,065,518   32,065,518
TOTAL SHORT-TERM INVESTMENTS

(Cost $129,432,305)

  129,435,260  
TOTAL INVESTMENTS — 100.2%

(Cost $33,365,877,615)

  33,600,009,968  
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.2)%

  (68,818,276)  
NET ASSETS — 100.0%

  $ 33,531,191,692  
(a) All or a portion of the shares of the security are on loan at September 30, 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 September 30, 2022 are shown in the Affiliate Table below.
(c) The rate shown is the annualized seven-day yield at September 30, 2022.
(d) The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended September 30, 2022 are shown in the Affiliate Table below.
(e) Investment of cash collateral for securities loaned.
 
At September 30, 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 Select Sector (long)   1,000   12/16/2022   $83,720,250   $75,350,000   $(8,370,250)
During the year ended September 30, 2022, average notional value related to futures contracts was $119,456,063.
The following table summarizes the value of the Fund's investments according to the fair value hierarchy as of September 30, 2022.
Description   Level 1 –
Quoted Prices
  Level 2 –
Other Significant
Observable Inputs
  Level 3 –
Significant
Unobservable Inputs
  Total
ASSETS:                
INVESTMENTS:                
Common Stocks

  $33,470,574,708   $—   $—   $33,470,574,708
Short-Term Investments

  129,435,260       129,435,260
TOTAL INVESTMENTS

  $33,600,009,968   $—   $—   $33,600,009,968
See accompanying notes to financial statements.
43


Table of Contents
THE ENERGY SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS  (continued)
September 30, 2022

Description   Level 1 –
Quoted Prices
  Level 2 –
Other Significant
Observable Inputs
  Level 3 –
Significant
Unobservable Inputs
  Total
LIABILITIES:                
OTHER FINANCIAL INSTRUMENTS:                
Futures Contracts(a)

  $ (8,370,250)   $—   $—   $ (8,370,250)
TOTAL OTHER FINANCIAL INSTRUMENTS:

  $ (8,370,250)   $—   $—   $ (8,370,250)
(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
9/30/22
  Value at

9/30/22
  Dividend
Income
State Street Institutional Liquid Reserves Fund, Premier Class

25,520,972   $ 25,526,076   $2,158,421,959   $2,086,578,986   $(2,262)   $2,955   97,350,272   $ 97,369,742   $688,423
State Street Navigator Securities Lending Portfolio II

204,202,820   204,202,820   2,500,809,257   2,672,946,559       32,065,518   32,065,518   131,925
Total

    $229,728,896   $4,659,231,216   $4,759,525,545   $(2,262)   $2,955       $129,435,260   $820,348
See accompanying notes to financial statements.
44


Table of Contents
THE FINANCIAL SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS
September 30, 2022

Security Description     Shares   Value
COMMON STOCKS — 99.7%   
BANKS — 33.6%  
Bank of America Corp.

  56,662,124   $ 1,711,196,145
Citigroup, Inc.

  15,701,761   654,292,381
Citizens Financial Group, Inc.

  4,017,178   138,030,236
Comerica, Inc.

  1,056,223   75,097,455
Fifth Third Bancorp

  5,547,331   177,292,699
First Republic Bank

  1,480,999   193,344,419
Huntington Bancshares, Inc. (a)

  11,689,752   154,070,931
JPMorgan Chase & Co.

  23,769,520   2,483,914,840
KeyCorp.

  7,538,284   120,763,310
M&T Bank Corp.

  1,423,335   250,962,427
PNC Financial Services Group, Inc. (a)

  3,324,638   496,767,410
Regions Financial Corp.

  7,547,026   151,468,812
Signature Bank

  508,940   76,849,940
SVB Financial Group (b)

  478,943   160,819,481
Truist Financial Corp.

  10,766,469   468,772,060
US Bancorp

  10,958,941   441,864,501
Wells Fargo & Co.

  30,744,221   1,236,532,569
Zions Bancorp NA

  1,222,799   62,191,557
          9,054,231,173
CAPITAL MARKETS — 26.9%  
Ameriprise Financial, Inc.

  876,758   220,899,178
Bank of New York Mellon Corp.

  5,960,343   229,592,412
BlackRock, Inc.

  1,222,113   672,504,342
Cboe Global Markets, Inc.

  857,423   100,635,737
Charles Schwab Corp.

  12,376,595   889,505,883
CME Group, Inc.

  2,913,475   516,063,827
FactSet Research Systems, Inc.

  308,243   123,331,107
Franklin Resources, Inc. (a)

  2,302,604   49,552,038
Goldman Sachs Group, Inc.

  2,766,652   810,767,369
Intercontinental Exchange, Inc.

  4,526,861   409,001,891
Invesco, Ltd. (a)

  3,687,070   50,512,859
MarketAxess Holdings, Inc.

  305,077   67,876,582
Moody's Corp.

  1,279,464   311,050,493
Morgan Stanley

  10,854,143   857,585,838
MSCI, Inc.

  652,424   275,185,919
Nasdaq, Inc.

  2,747,038   155,702,114
Northern Trust Corp.

  1,684,773   144,149,178
Raymond James Financial, Inc.

  1,572,239   155,368,658
S&P Global, Inc.

  2,761,632   843,264,331
State Street Corp. (c)

  2,979,555   181,186,739
T Rowe Price Group, Inc. (a)

  1,837,681   192,974,882
          7,256,711,377
CONSUMER FINANCE — 4.7%  
American Express Co.

  4,861,882   655,916,500
Capital One Financial Corp.

  3,111,353   286,773,406
Discover Financial Services

  2,214,374   201,330,884
Synchrony Financial

  3,905,056   110,083,529
          1,254,104,319
DIVERSIFIED FINANCIAL SERVICES — 14.5%  
Berkshire Hathaway, Inc. Class B (b)

  14,628,601   3,906,129,039
Security Description     Shares   Value
INSURANCE — 20.0%  
Aflac, Inc.

  4,660,888   $ 261,941,906
Allstate Corp.

  2,190,695   272,807,248
American International Group, Inc.

  6,163,757   292,655,182
Aon PLC Class A

  1,709,799   458,003,858
Arthur J Gallagher & Co.

  1,704,663   291,872,399
Assurant, Inc.

  438,530   63,705,253
Brown & Brown, Inc.

  1,892,104   114,434,450
Chubb, Ltd.

  3,384,989   615,661,799
Cincinnati Financial Corp. (a)

  1,290,316   115,573,604
Everest Re Group, Ltd.

  318,924   83,698,415
Globe Life, Inc.

  733,051   73,085,185
Hartford Financial Services Group, Inc.

  2,619,317   162,240,495
Lincoln National Corp.

  1,255,588   55,132,869
Loews Corp.

  1,621,058   80,793,531
Marsh & McLennan Cos., Inc.

  4,044,866   603,858,045
MetLife, Inc.

  5,430,472   330,064,088
Principal Financial Group, Inc. (a)

  1,879,019   135,571,221
Progressive Corp.

  4,740,906   550,940,686
Prudential Financial, Inc.

  3,015,078   258,633,391
Travelers Cos., Inc.

  1,923,712   294,712,679
W R Berkley Corp.

  1,655,638   106,921,102
Willis Towers Watson PLC

  891,184   179,074,513
          5,401,381,919
TOTAL COMMON STOCKS

(Cost $35,449,402,110)

        26,872,557,827
SHORT-TERM INVESTMENTS — 0.7%      
State Street Institutional Liquid Reserves Fund, Premier Class 3.01% (d)  (e)

  62,474,114   62,486,609
State Street Navigator Securities Lending Portfolio II (c)  (f)

  122,805,648   122,805,648
TOTAL SHORT-TERM INVESTMENTS

(Cost $185,285,866)

  185,292,257  
TOTAL INVESTMENTS — 100.4%

(Cost $35,634,687,976)

  27,057,850,084  
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.4)%

  (103,916,637)  
NET ASSETS — 100.0%

  $ 26,953,933,447  
(a) All or a portion of the shares of the security are on loan at September 30, 2022.
(b) Non-income producing security.
(c) The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended September 30, 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 September 30, 2022 are shown in the Affiliate Table below.
(e) The rate shown is the annualized seven-day yield at September 30, 2022.
(f) Investment of cash collateral for securities loaned.
 
See accompanying notes to financial statements.
45


Table of Contents
THE FINANCIAL SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS  (continued)
September 30, 2022

The following table summarizes the value of the Fund's investments according to the fair value hierarchy as of September 30, 2022.
Description   Level 1 –
Quoted Prices
  Level 2 –
Other Significant
Observable Inputs
  Level 3 –
Significant
Unobservable Inputs
  Total
ASSETS:                
INVESTMENTS:                
Common Stocks

  $26,872,557,827   $—   $—   $26,872,557,827
Short-Term Investments

  185,292,257       185,292,257
TOTAL INVESTMENTS

  $27,057,850,084   $—   $—   $27,057,850,084
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
9/30/22
  Value at

9/30/22
  Dividend
Income
State Street Corp.

3,542,553   $300,125,090   $ 296,718,146   $ 323,704,447   $(10,423,776)   $(81,528,274)   2,979,555   $181,186,739   $8,070,799
State Street Institutional Liquid Reserves Fund, Premier Class

43,504,448   43,513,149   1,266,410,020   1,247,432,294   (10,657)   6,391   62,474,114   62,486,609   374,906
State Street Navigator Securities Lending Portfolio II

3,282,379   3,282,379   1,631,237,877   1,511,714,608       122,805,648   122,805,648   100,662
Total

    $346,920,618   $3,194,366,043   $3,082,851,349   $(10,434,433)   $(81,521,883)       $366,478,996   $8,546,367
See accompanying notes to financial statements.
46


Table of Contents
THE HEALTH CARE SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS
September 30, 2022

Security Description     Shares   Value
COMMON STOCKS — 99.8%   
BIOTECHNOLOGY — 14.8%  
AbbVie, Inc.

  13,888,969   $ 1,864,038,529
Amgen, Inc. (a)

  4,202,087   947,150,410
Biogen, Inc. (b)

  1,139,857   304,341,819
Gilead Sciences, Inc.

  9,834,891   606,714,426
Incyte Corp. (a)  (b)

  1,450,240   96,643,994
Moderna, Inc. (a)  (b)

  2,642,785   312,509,326
Regeneron Pharmaceuticals, Inc. (b)

  841,963   580,003,052
Vertex Pharmaceuticals, Inc. (b)

  2,014,534   583,288,174
          5,294,689,730
HEALTH CARE EQUIPMENT & SUPPLIES — 17.8%  
Abbott Laboratories

  13,756,474   1,331,076,424
ABIOMED, Inc. (b)

  357,298   87,773,827
Align Technology, Inc. (b)

  570,589   118,174,688
Baxter International, Inc.

  3,948,020   212,640,357
Becton Dickinson & Co.

  2,240,332   499,213,180
Boston Scientific Corp. (b)

  11,245,854   435,551,926
Cooper Cos., Inc.

  386,481   101,992,336
DENTSPLY SIRONA, Inc.

  1,687,815   47,849,555
DexCom, Inc. (a)  (b)

  3,077,493   247,861,286
Edwards Lifesciences Corp. (a)  (b)

  4,877,638   403,039,228
Hologic, Inc. (b)

  1,955,270   126,154,020
IDEXX Laboratories, Inc. (b)

  653,963   213,061,145
Intuitive Surgical, Inc. (b)

  2,805,203   525,807,250
Medtronic PLC

  10,437,408   842,820,696
ResMed, Inc.

  1,146,938   250,376,565
STERIS PLC

  785,086   130,544,100
Stryker Corp. (a)

  2,644,933   535,704,730
Teleflex, Inc.

  367,776   74,092,153
Zimmer Biomet Holdings, Inc.

  1,643,176   171,794,051
          6,355,527,517
HEALTH CARE PROVIDERS & SERVICES — 24.0%  
AmerisourceBergen Corp. (a)

  1,220,995   165,237,253
Cardinal Health, Inc. (a)

  2,136,066   142,432,881
Centene Corp. (b)

  4,489,932   349,361,609
Cigna Corp.

  2,396,756   665,027,887
CVS Health Corp.

  10,312,679   983,520,196
DaVita, Inc. (b)

  437,503   36,212,123
Elevance Health, Inc.

  1,885,299   856,378,218
HCA Healthcare, Inc.

  1,691,035   310,795,323
Henry Schein, Inc. (a)  (b)

  1,069,264   70,325,493
Humana, Inc.

  994,128   482,340,964
Laboratory Corp. of America Holdings

  710,095   145,434,557
McKesson Corp.

  1,129,088   383,743,139
Molina Healthcare, Inc. (b)

  456,454   150,556,787
Quest Diagnostics, Inc. (a)

  920,333   112,915,656
UnitedHealth Group, Inc.

  7,347,693   3,710,878,873
Universal Health Services, Inc. Class B (a)

  516,271   45,524,777
          8,610,685,736
Security Description     Shares   Value
LIFE SCIENCES TOOLS & SERVICES — 12.5%  
Agilent Technologies, Inc.

  2,353,301   $ 286,043,737
Bio-Rad Laboratories, Inc. Class A (b)

  169,770   70,817,858
Bio-Techne Corp. (a)

  307,642   87,370,328
Charles River Laboratories International, Inc. (b)

  397,827   78,292,354
Danaher Corp. (a)

  5,142,882   1,328,354,992
Illumina, Inc. (b)

  1,231,780   235,011,306
IQVIA Holdings, Inc. (b)

  1,465,086   265,385,678
Mettler-Toledo International, Inc. (b)

  176,745   191,612,789
PerkinElmer, Inc. (a)

  989,058   119,013,349
Thermo Fisher Scientific, Inc.

  3,077,624   1,560,940,117
Waters Corp. (a)  (b)

  472,298   127,298,480
West Pharmaceutical Services, Inc.

  580,880   142,942,950
          4,493,083,938
PHARMACEUTICALS — 30.7%  
Bristol-Myers Squibb Co.

  16,773,138   1,192,402,380
Catalent, Inc. (a)  (b)

  1,405,198   101,680,127
Eli Lilly & Co.

  6,195,042   2,003,166,831
Johnson & Johnson

  20,653,032   3,373,879,307
Merck & Co., Inc.

  19,899,769   1,713,768,106
Organon & Co. (a)

  1,988,644   46,534,270
Pfizer, Inc.

  44,086,902   1,929,242,832
Viatris, Inc. (a)

  9,505,538   80,987,184
Zoetis, Inc.

  3,677,406   545,322,536
          10,986,983,573
TOTAL COMMON STOCKS

(Cost $39,779,734,899)

        35,740,970,494
SHORT-TERM INVESTMENTS — 0.6%      
State Street Institutional Liquid Reserves Fund, Premier Class 3.01% (c)  (d)

  40,926,004   40,934,189
State Street Navigator Securities Lending Portfolio II (e)  (f)

  158,598,098   158,598,098
TOTAL SHORT-TERM INVESTMENTS

(Cost $199,527,110)

  199,532,287  
TOTAL INVESTMENTS — 100.4%

(Cost $39,979,262,009)

  35,940,502,781  
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.4)%

  (135,435,740)  
NET ASSETS — 100.0%

  $ 35,805,067,041  
(a) All or a portion of the shares of the security are on loan at September 30, 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 September 30, 2022 are shown in the Affiliate Table below.
(d) The rate shown is the annualized seven-day yield at September 30, 2022.
 
See accompanying notes to financial statements.
47


Table of Contents
THE HEALTH CARE SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS  (continued)
September 30, 2022

(e) The Fund invested in an affiliated entity. Amounts related to these investments during the year ended September 30, 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 September 30, 2022.
Description   Level 1 –
Quoted Prices
  Level 2 –
Other Significant
Observable Inputs
  Level 3 –
Significant
Unobservable Inputs
  Total
ASSETS:                
INVESTMENTS:                
Common Stocks

  $35,740,970,494   $—   $—   $35,740,970,494
Short-Term Investments

  199,532,287       199,532,287
TOTAL INVESTMENTS

  $35,940,502,781   $—   $—   $35,940,502,781
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
9/30/22
  Value at

9/30/22
  Dividend
Income
State Street Institutional Liquid Reserves Fund, Premier Class

28,313,341   $28,319,003   $ 827,879,316   $ 815,266,128   $(294)   $2,292   40,926,004   $ 40,934,189   $491,424
State Street Navigator Securities Lending Portfolio II

27,800   27,800   2,221,465,429   2,062,895,131       158,598,098   158,598,098   104,247
Total

    $28,346,803   $3,049,344,745   $2,878,161,259   $(294)   $2,292       $199,532,287   $595,671
See accompanying notes to financial statements.
48


Table of Contents
THE INDUSTRIAL SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS
September 30, 2022

Security Description     Shares   Value
COMMON STOCKS — 99.8%   
AEROSPACE & DEFENSE — 20.8%  
Boeing Co. (a)

  2,607,643   $ 315,733,414
General Dynamics Corp.

  1,050,600   222,905,802
Howmet Aerospace, Inc.

  1,727,109   53,419,481
Huntington Ingalls Industries, Inc.

  186,612   41,334,558
L3Harris Technologies, Inc.

  893,959   185,791,499
Lockheed Martin Corp.

  1,102,319   425,814,807
Northrop Grumman Corp.

  679,339   319,506,719
Raytheon Technologies Corp.

  6,897,690   564,644,903
Textron, Inc.

  988,163   57,570,376
TransDigm Group, Inc.

  240,763   126,357,238
          2,313,078,797
AIR FREIGHT & LOGISTICS — 7.6%  
C.H. Robinson Worldwide, Inc.

  578,763   55,740,665
Expeditors International of Washington, Inc.

  764,229   67,489,063
FedEx Corp.

  1,116,824   165,814,859
United Parcel Service, Inc. Class B

  3,418,908   552,290,398
          841,334,985
AIRLINES — 2.5%  
Alaska Air Group, Inc. (a)

  592,665   23,202,835
American Airlines Group, Inc. (a)

  3,035,800   36,551,032
Delta Air Lines, Inc. (a)

  2,995,349   84,049,493
Southwest Airlines Co. (a)

  2,771,893   85,485,180
United Airlines Holdings, Inc. (a)

  1,526,413   49,654,215
          278,942,755
BUILDING PRODUCTS — 5.4%  
A.O. Smith Corp.

  600,233   29,159,319
Allegion PLC

  410,388   36,803,596
Carrier Global Corp.

  3,931,571   139,806,665
Fortune Brands Home & Security, Inc.

  604,003   32,428,921
Johnson Controls International PLC

  3,217,888   158,384,447
Masco Corp.

  1,053,577   49,191,510
Trane Technologies PLC

  1,082,531   156,761,314
          602,535,772
CAPITAL MARKETS — 0.0% (b)  
S&P Global, Inc.

  2   611
COMMERCIAL SERVICES & SUPPLIES — 6.4%  
Cintas Corp.

  401,753   155,956,497
Copart, Inc. (a)

  999,336   106,329,350
Republic Services, Inc.

  959,370   130,512,695
Rollins, Inc. (c)

  1,081,164   37,494,768
Waste Management, Inc.

  1,757,171   281,516,366
          711,809,676
CONSTRUCTION & ENGINEERING — 0.8%  
Quanta Services, Inc. (c)

  668,004   85,097,029
ELECTRICAL EQUIPMENT — 6.7%  
AMETEK, Inc.

  1,072,542   121,636,988
Eaton Corp. PLC

  1,860,683   248,140,685
Security Description     Shares   Value
Emerson Electric Co.

  2,762,331   $ 202,257,876
Generac Holdings, Inc. (a)  (c)

  298,239   53,128,296
Rockwell Automation, Inc.

  539,331   116,015,491
          741,179,336
INDUSTRIAL CONGLOMERATES — 10.2%  
3M Co.

  2,586,261   285,781,840
General Electric Co.

  5,122,670   317,144,500
Honeywell International, Inc.

  3,147,231   525,493,160
          1,128,419,500
MACHINERY — 20.5%  
Caterpillar, Inc.

  2,466,225   404,658,198
Cummins, Inc. (c)

  658,679   134,047,763
Deere & Co.

  1,299,354   433,841,307
Dover Corp.

  670,553   78,173,069
Fortive Corp.

  1,661,660   96,874,778
IDEX Corp. (c)

  352,615   70,470,108
Illinois Tool Works, Inc. (c)

  1,316,201   237,771,711
Ingersoll Rand, Inc.

  1,883,437   81,477,485
Nordson Corp. (c)

  252,537   53,606,029
Otis Worldwide Corp.

  1,963,220   125,253,436
PACCAR, Inc.

  1,624,423   135,947,961
Parker-Hannifin Corp.

  599,659   145,303,372
Pentair PLC

  768,317   31,216,720
Snap-on, Inc.

  248,915   50,119,035
Stanley Black & Decker, Inc.

  690,501   51,932,580
Westinghouse Air Brake Technologies Corp.

  849,647   69,118,783
Xylem, Inc.

  841,706   73,531,436
          2,273,343,771
PROFESSIONAL SERVICES — 5.0%  
CoStar Group, Inc. (a)  (c)

  1,849,748   128,834,948
Equifax, Inc.

  571,836   98,029,846
Jacobs Solutions, Inc. (c)

  596,032   64,663,512
Leidos Holdings, Inc.

  637,884   55,795,713
Nielsen Holdings PLC

  1,680,403   46,580,771
Robert Half International, Inc.

  511,849   39,156,449
Verisk Analytics, Inc.

  733,289   125,047,773
          558,109,012
ROAD & RAIL — 11.1%  
CSX Corp.

  10,003,155   266,484,049
JB Hunt Transport Services, Inc.

  387,902   60,675,631
Norfolk Southern Corp.

  1,097,131   230,013,514
Old Dominion Freight Line, Inc.

  428,095   106,497,193
Union Pacific Corp.

  2,917,385   568,364,946
          1,232,035,333
TRADING COMPANIES & DISTRIBUTORS — 2.8%  
Fastenal Co.

  2,684,641   123,600,872
United Rentals, Inc. (a)

  326,916   88,306,550
W.W. Grainger, Inc.

  211,576   103,500,863
          315,408,285
TOTAL COMMON STOCKS

(Cost $15,387,297,492)

        11,081,294,862
 
See accompanying notes to financial statements.
49


Table of Contents
THE INDUSTRIAL SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS  (continued)
September 30, 2022

Security Description     Shares   Value
SHORT-TERM INVESTMENTS — 1.1%      
State Street Institutional Liquid Reserves Fund, Premier Class 3.01% (d)  (e)

  17,536,831   $ 17,540,339
State Street Navigator Securities Lending Portfolio II (f)  (g)

  107,539,396   107,539,396
TOTAL SHORT-TERM INVESTMENTS

(Cost $125,076,844)

  125,079,735  
TOTAL INVESTMENTS — 100.9%

(Cost $15,512,374,336)

  11,206,374,597  
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.9)%

  (101,654,869)  
NET ASSETS — 100.0%

  $ 11,104,719,728  
    
(a) Non-income producing security.
(b) Amount is less than 0.05% of net assets.
(c) All or a portion of the shares of the security are on loan at September 30, 2022.
(d) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended September 30, 2022 are shown in the Affiliate Table below.
(e) The rate shown is the annualized seven-day yield at September 30, 2022.
(f) The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended September 30, 2022 are shown in the Affiliate Table below.
(g) Investment of cash collateral for securities loaned.
 
At September 30, 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)   243   12/16/2022   $23,493,240   $20,353,680   $(3,139,560)
During the year ended September 30, 2022, average notional value related to futures contracts was $33,010,695.
The following table summarizes the value of the Fund's investments according to the fair value hierarchy as of September 30, 2022.
Description   Level 1 –
Quoted Prices
  Level 2 –
Other Significant
Observable Inputs
  Level 3 –
Significant
Unobservable Inputs
  Total
ASSETS:                
INVESTMENTS:                
Common Stocks

  $11,081,294,862   $—   $—   $11,081,294,862
Short-Term Investments

  125,079,735       125,079,735
TOTAL INVESTMENTS

  $11,206,374,597   $—   $—   $11,206,374,597
LIABILITIES:                
OTHER FINANCIAL INSTRUMENTS:                
Futures Contracts(a)

  (3,139,560)       (3,139,560)
TOTAL OTHER FINANCIAL INSTRUMENTS:

  $ (3,139,560)   $—   $—   $ (3,139,560)
(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
9/30/22
  Value at

9/30/22
  Dividend
Income
State Street Institutional Liquid Reserves Fund, Premier Class

54,880,923   $54,891,899   $ 361,086,759   $ 398,441,789   $579   $2,891   17,536,831   $ 17,540,339   $181,417
State Street Navigator Securities Lending Portfolio II

11,459,054   11,459,054   2,431,524,085   2,335,443,743       107,539,397   107,539,396   190,741
Total

    $66,350,953   $2,792,610,844   $2,733,885,532   $579   $2,891       $125,079,735   $372,158
See accompanying notes to financial statements.
50


Table of Contents
THE MATERIALS SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS
September 30, 2022

Security Description     Shares   Value
COMMON STOCKS — 99.8%   
CHEMICALS — 70.5%  
Air Products & Chemicals, Inc.

  1,375,806   $ 320,191,330
Albemarle Corp.

  726,546   192,127,824
Celanese Corp.

  618,345   55,861,287
CF Industries Holdings, Inc.

  1,235,995   118,964,519
Corteva, Inc.

  4,457,484   254,745,211
Dow, Inc.

  4,454,806   195,699,628
DuPont de Nemours, Inc.

  3,107,085   156,597,084
Eastman Chemical Co.

  761,799   54,125,819
Ecolab, Inc.

  1,537,981   222,115,216
FMC Corp.

  781,346   82,588,272
International Flavors & Fragrances, Inc.

  1,581,463   143,644,284
Linde PLC

  3,091,386   833,406,752
LyondellBasell Industries NV Class A

  1,578,312   118,815,327
Mosaic Co.

  2,141,697   103,508,216
PPG Industries, Inc.

  1,457,689   161,351,596
Sherwin-Williams Co.

  1,463,015   299,552,321
          3,313,294,686
CONSTRUCTION MATERIALS — 5.4%  
Martin Marietta Materials, Inc.

  386,908   124,619,198
Vulcan Materials Co.

  824,367   130,010,919
          254,630,117
CONTAINERS & PACKAGING — 10.7%  
Amcor PLC

  9,321,694   100,021,777
Avery Dennison Corp.

  504,024   82,004,705
Ball Corp. (a)

  1,949,652   94,207,185
International Paper Co.

  2,245,607   71,185,742
Packaging Corp. of America

  581,464   65,292,592
Security Description     Shares   Value
Sealed Air Corp.

  900,844   $ 40,096,566
Westrock Co.

  1,577,394   48,725,701
          501,534,268
METALS & MINING — 13.2%  
Freeport-McMoRan, Inc.

  8,870,338   242,426,338
Newmont Corp.

  4,923,215   206,922,726
Nucor Corp.

  1,623,865   173,737,316
          623,086,380
TOTAL COMMON STOCKS

(Cost $6,342,967,547)

        4,692,545,451
SHORT-TERM INVESTMENT — 0.1%      
State Street Institutional Liquid Reserves Fund, Premier Class 3.01% (b) (c)

(Cost $3,340,774)

  3,340,392   3,341,060
TOTAL INVESTMENTS — 99.9%

(Cost $6,346,308,321)

  4,695,886,511  
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1%

  6,540,434  
NET ASSETS — 100.0%

  $ 4,702,426,945  
(a) All or a portion of the shares of the security are on loan at September 30, 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 September 30, 2022 are shown in the Affiliate Table below.
(c) The rate shown is the annualized seven-day yield at September 30, 2022.
 
At September 30, 2022, open futures contracts were as follows:
Description   Number of
Contracts
  Expiration
Date
  Notional
Amount
  Value   Unrealized
Appreciation
(Depreciation)
E-mini S&P 500 Materials Select Sector (long)   75   12/16/2022   $6,203,494   $5,424,750   $(778,744)
During the year ended September 30, 2022, average notional value related to futures contracts was $1,030,442.
The following table summarizes the value of the Fund's investments according to the fair value hierarchy as of September 30, 2022.
Description   Level 1 –
Quoted Prices
  Level 2 –
Other Significant
Observable Inputs
  Level 3 –
Significant
Unobservable Inputs
  Total
ASSETS:                
INVESTMENTS:                
Common Stocks

  $4,692,545,451   $—   $—   $4,692,545,451
Short-Term Investment

  3,341,060       3,341,060
TOTAL INVESTMENTS

  $4,695,886,511   $—   $—   $4,695,886,511
See accompanying notes to financial statements.
51


Table of Contents
THE MATERIALS SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS  (continued)
September 30, 2022

Description   Level 1 –
Quoted Prices
  Level 2 –
Other Significant
Observable Inputs
  Level 3 –
Significant
Unobservable Inputs
  Total
LIABILITIES:                
OTHER FINANCIAL INSTRUMENTS:                
Futures Contracts(a)

  $ (778,744)   $—   $—   $ (778,744)
TOTAL OTHER FINANCIAL INSTRUMENTS:

  $ (778,744)   $—   $—   $ (778,744)
(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
9/30/22
  Value at

9/30/22
  Dividend
Income
State Street Institutional Liquid Reserves Fund, Premier Class

8,680,014   $8,681,750   $230,420,186   $235,763,215   $2,053   $286   3,340,391   $3,341,060   $46,386
State Street Navigator Securities Lending Portfolio II

    390,260,331   390,260,331           14,930
Total

    $8,681,750   $620,680,517   $626,023,546   $2,053   $286       $3,341,060   $61,316
See accompanying notes to financial statements.
52


Table of Contents
THE REAL ESTATE SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS
September 30, 2022

Security Description     Shares   Value
COMMON STOCKS — 99.4%   
EQUITY REAL ESTATE INVESTMENT TRUSTS (REITs) — 96.9%  
Alexandria Real Estate Equities, Inc. REIT

  805,673   $ 112,947,298
American Tower Corp. REIT

  2,527,143   542,577,602
AvalonBay Communities, Inc. REIT

  759,299   139,855,283
Boston Properties, Inc. REIT

  773,930   58,021,532
Camden Property Trust REIT

  578,064   69,049,745
Crown Castle, Inc. REIT

  2,350,437   339,755,668
Digital Realty Trust, Inc. REIT

  1,560,667   154,786,953
Duke Realty Corp. REIT

  2,088,961   100,687,920
Equinix, Inc. REIT

  494,352   281,207,192
Equity Residential REIT

  1,836,717   123,464,117
Essex Property Trust, Inc. REIT

  353,401   85,604,324
Extra Space Storage, Inc. REIT

  727,171   125,589,703
Federal Realty Investment Trust REIT

  395,075   35,604,159
Healthpeak Properties, Inc. REIT

  2,927,701   67,102,907
Host Hotels & Resorts, Inc. REIT

  3,878,981   61,598,218
Invitation Homes, Inc. REIT

  3,146,153   106,245,587
Iron Mountain, Inc. REIT

  1,577,224   69,350,539
Kimco Realty Corp. REIT

  3,355,871   61,781,585
Mid-America Apartment Communities, Inc. REIT

  626,412   97,137,709
Prologis, Inc. REIT

  4,018,651   408,294,942
Public Storage REIT

  857,755   251,159,242
Realty Income Corp. REIT

  3,353,255   195,159,441
Regency Centers Corp. REIT

  835,586   44,996,306
SBA Communications Corp. REIT

  585,791   166,745,408
Simon Property Group, Inc. REIT

  1,777,578   159,537,626
Security Description     Shares   Value
UDR, Inc. REIT

  1,657,206   $ 69,122,062
Ventas, Inc. REIT

  2,168,814   87,121,258
VICI Properties, Inc. REIT

  5,229,739   156,107,709
Vornado Realty Trust REIT

  874,093   20,243,994
Welltower, Inc. REIT

  2,516,086   161,834,652
Weyerhaeuser Co. REIT

  4,016,898   114,722,607
          4,467,413,288
REAL ESTATE MANAGEMENT & DEVELOPMENT — 2.5%  
CBRE Group, Inc. Class A (a)

  1,744,150   117,747,566
TOTAL COMMON STOCKS

(Cost $6,001,947,254)

        4,585,160,854
SHORT-TERM INVESTMENT — 0.3%      
State Street Institutional Liquid Reserves Fund, Premier Class 3.01% (b) (c)

(Cost $14,200,238)

  14,197,398   14,200,238
TOTAL INVESTMENTS — 99.7%

(Cost $6,016,147,492)

  4,599,361,092  
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.3%

  12,812,130  
NET ASSETS — 100.0%

  $ 4,612,173,222  
(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 September 30, 2022 are shown in the Affiliate Table below.
(c) The rate shown is the annualized seven-day yield at September 30, 2022.
REIT Real Estate Investment Trust
 
At September 30, 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)   485   12/16/2022   $24,457,438   $21,467,313   $(2,990,125)
During the year ended September 30, 2022, average notional value related to futures contracts was $7,429,694.
The following table summarizes the value of the Fund's investments according to the fair value hierarchy as of September 30, 2022.
Description   Level 1 –
Quoted Prices
  Level 2 –
Other Significant
Observable Inputs
  Level 3 –
Significant
Unobservable Inputs
  Total
ASSETS:                
INVESTMENTS:                
Common Stocks

  $4,585,160,854   $—   $—   $4,585,160,854
Short-Term Investment

  14,200,238       14,200,238
TOTAL INVESTMENTS

  $4,599,361,092   $—   $—   $4,599,361,092
See accompanying notes to financial statements.
53


Table of Contents
THE REAL ESTATE SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS  (continued)
September 30, 2022

Description   Level 1 –
Quoted Prices
  Level 2 –
Other Significant
Observable Inputs
  Level 3 –
Significant
Unobservable Inputs
  Total
LIABILITIES:                
OTHER FINANCIAL INSTRUMENTS:                
Futures Contracts(a)

  $ (2,990,125)   $—   $—   $ (2,990,125)
TOTAL OTHER FINANCIAL INSTRUMENTS:

  $ (2,990,125)   $—   $—   $ (2,990,125)
(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
9/30/22
  Value at

9/30/22
  Dividend
Income
State Street Institutional Liquid Reserves Fund, Premier Class

4,783,509   $ 4,784,465   $283,442,794   $274,026,034   $(987)   $—   14,197,398   $14,200,238   $25,533
State Street Navigator Securities Lending Portfolio II

11,462,368   11,462,368   90,070,434   101,532,802           9,805
Total

    $16,246,833   $373,513,228   $375,558,836   $(987)   $—       $14,200,238   $35,338
See accompanying notes to financial statements.
54


Table of Contents
THE TECHNOLOGY SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS
September 30, 2022

Security Description     Shares   Value
COMMON STOCKS — 100.0%   
COMMUNICATIONS EQUIPMENT — 3.2%  
Arista Networks, Inc. (a)  (b)

  1,149,267   $ 129,740,752
Cisco Systems, Inc.

  19,309,067   772,362,680
F5, Inc. (a)

  277,688   40,189,784
Juniper Networks, Inc.

  1,504,330   39,293,099
Motorola Solutions, Inc.

  778,136   174,279,120
          1,155,865,435
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 2.5%  
Amphenol Corp. Class A

  2,773,613   185,721,127
CDW Corp.

  630,595   98,423,268
Corning, Inc.

  3,547,516   102,948,914
Keysight Technologies, Inc. (a)

  839,053   132,033,380
TE Connectivity, Ltd.

  1,491,354   164,585,827
Teledyne Technologies, Inc. (a)  (b)

  218,501   73,737,532
Trimble, Inc. (a)  (b)

  1,154,791   62,670,508
Zebra Technologies Corp. Class A (a)

  241,448   63,261,791
          883,382,347
IT SERVICES — 17.2%  
Accenture PLC Class A

  2,949,493   758,904,549
Akamai Technologies, Inc. (a)  (b)

  741,184   59,531,899
Automatic Data Processing, Inc.

  1,937,554   438,255,339
Broadridge Financial Solutions, Inc.

  546,581   78,882,570
Cognizant Technology Solutions Corp. Class A

  2,414,404   138,683,366
DXC Technology Co. (a)

  1,071,907   26,240,283
EPAM Systems, Inc. (a)

  267,451   96,868,078
Fidelity National Information Services, Inc.

  2,834,946   214,236,869
Fiserv, Inc. (a)

  2,982,389   279,062,139
FleetCor Technologies, Inc. (a)

  349,748   61,615,105
Gartner, Inc. (a)

  368,823   102,049,636
Global Payments, Inc.

  1,292,417   139,645,657
International Business Machines Corp. (b)

  4,211,437   500,360,830
Jack Henry & Associates, Inc. (b)

  339,770   61,929,878
Mastercard, Inc. Class A

  3,978,535   1,131,256,642
Paychex, Inc.

  1,493,598   167,596,631
PayPal Holdings, Inc. (a)

  5,392,567   464,138,242
VeriSign, Inc. (a)

  435,187   75,591,982
Visa, Inc. Class A (b)

  7,623,928   1,354,390,809
          6,149,240,504
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 19.0%  
Advanced Micro Devices, Inc. (a)

  7,527,505   476,942,717
Analog Devices, Inc.

  2,423,860   337,740,652
Applied Materials, Inc.

  4,056,508   332,349,701
Broadcom, Inc.

  1,883,019   836,079,266
Enphase Energy, Inc. (a)

  631,638   175,260,596
Intel Corp.

  19,146,048   493,393,657
KLA Corp.

  661,270   200,120,140
Security Description     Shares   Value
Lam Research Corp.

  638,709   $ 233,767,494
Microchip Technology, Inc.

  2,576,233   157,227,500
Micron Technology, Inc.

  5,143,901   257,709,440
Monolithic Power Systems, Inc. (b)

  207,311   75,336,817
NVIDIA Corp.

  11,676,011   1,417,350,975
NXP Semiconductors NV

  1,224,451   180,618,767
ON Semiconductor Corp. (a)  (b)

  2,020,140   125,915,326
Qorvo, Inc. (a)  (b)

  481,248   38,215,904
QUALCOMM, Inc.

  5,236,437   591,612,652
Skyworks Solutions, Inc.

  748,136   63,793,557
SolarEdge Technologies, Inc. (a)  (b)

  259,470   60,056,926
Teradyne, Inc. (b)

  731,077   54,940,437
Texas Instruments, Inc.

  4,260,555   659,448,703
          6,767,881,227
SOFTWARE — 33.8%  
Adobe, Inc. (a)

  2,182,278   600,562,906
ANSYS, Inc. (a)

  405,993   90,008,648
Autodesk, Inc. (a)

  1,013,089   189,245,025
Cadence Design Systems, Inc. (a)

  1,277,043   208,707,137
Ceridian HCM Holding, Inc. (a)  (b)

  713,704   39,881,779
Citrix Systems, Inc. (a)  (b)

  580,547   60,376,888
Fortinet, Inc. (a)

  3,051,760   149,932,969
Intuit, Inc.

  1,315,356   509,463,686
Microsoft Corp.

  34,775,711   8,099,263,092
NortonLifeLock, Inc.

  2,760,810   55,602,713
Oracle Corp.

  7,083,063   432,562,657
Paycom Software, Inc. (a)

  226,640   74,788,934
PTC, Inc. (a)

  492,916   51,559,014
Roper Technologies, Inc.

  494,334   177,782,280
Salesforce, Inc. (a)

  4,639,601   667,360,208
ServiceNow, Inc. (a)

  941,949   355,689,362
Synopsys, Inc. (a)  (b)

  713,319   217,926,088
Tyler Technologies, Inc. (a)

  193,919   67,386,852
          12,048,100,238
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 24.3%  
Apple, Inc.

  60,116,108   8,308,046,125
Hewlett Packard Enterprise Co.

  6,058,719   72,583,454
HP, Inc. (b)

  4,243,422   105,746,076
NetApp, Inc.

  1,024,606   63,371,881
Seagate Technology Holdings PLC (b)

  910,634   48,473,048
Western Digital Corp. (a)

  1,460,294   47,532,570
          8,645,753,154
TOTAL COMMON STOCKS

(Cost $41,373,579,421)

        35,650,222,905
SHORT-TERM INVESTMENTS — 0.4%      
State Street Institutional Liquid Reserves Fund, Premier Class 3.01% (c)  (d)

  60,823,039   60,835,203
 
See accompanying notes to financial statements.
55


Table of Contents
THE TECHNOLOGY SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS  (continued)
September 30, 2022

Security Description     Shares   Value
State Street Navigator Securities Lending Portfolio II (e)  (f)

  94,660,055   $ 94,660,055
TOTAL SHORT-TERM INVESTMENTS

(Cost $155,478,815)

  155,495,258  
TOTAL INVESTMENTS — 100.4%

(Cost $41,529,058,236)

  35,805,718,163  
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.4)%

  (149,187,516)  
NET ASSETS — 100.0%

  $ 35,656,530,647  
    
(a) Non-income producing security.
(b) All or a portion of the shares of the security are on loan at September 30, 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 September 30, 2022 are shown in the Affiliate Table below.
(d) The rate shown is the annualized seven-day yield at September 30, 2022.
(e) The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended September 30, 2022 are shown in the Affiliate Table below.
(f) Investment of cash collateral for securities loaned.
 
At September 30, 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   12/16/2022   $65,839,728   $57,045,900   $(8,793,828)
During the year ended September 30, 2022, average notional value related to futures contracts was $72,406,612.
The following table summarizes the value of the Fund's investments according to the fair value hierarchy as of September 30, 2022.
Description   Level 1 –
Quoted Prices
  Level 2 –
Other Significant
Observable Inputs
  Level 3 –
Significant
Unobservable Inputs
  Total
ASSETS:                
INVESTMENTS:                
Common Stocks

  $35,589,846,017   $60,376,888   $—   $35,650,222,905
Short-Term Investments

  155,495,258       155,495,258
TOTAL INVESTMENTS

  $35,745,341,275   $60,376,888   $—   $35,805,718,163
LIABILITIES:                
OTHER FINANCIAL INSTRUMENTS:                
Futures Contracts(a)

  (8,793,828)       (8,793,828)
TOTAL OTHER FINANCIAL INSTRUMENTS:

  $ (8,793,828)   $   $—   $ (8,793,828)
(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
9/30/22
  Value at

9/30/22
  Dividend
Income
State Street Institutional Liquid Reserves Fund, Premier Class

77,796,250   $77,811,810   $ 783,436,407   $ 800,419,946   $7,814   $(882)   60,823,039   $ 60,835,203   $648,317
State Street Navigator Securities Lending Portfolio II

102,000   102,000   3,082,342,115   2,987,784,060       94,660,055   94,660,055   174,931
Total

    $77,913,810   $3,865,778,522   $3,788,204,006   $7,814   $(882)       $155,495,258   $823,248
See accompanying notes to financial statements.
56


Table of Contents
THE UTILITIES SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS
September 30, 2022

Security Description     Shares   Value
COMMON STOCKS — 99.9%   
ELECTRIC UTILITIES — 64.8%  
Alliant Energy Corp. (a)

  4,274,842   $ 226,523,878
American Electric Power Co., Inc. (a)

  8,752,236   756,630,802
Constellation Energy Corp. (a)

  5,568,236   463,221,553
Duke Energy Corp. (a)

  13,117,547   1,220,194,222
Edison International

  6,498,216   367,669,061
Entergy Corp. (a)

  3,465,549   348,738,196
Evergy, Inc. (a)

  3,910,243   232,268,434
Eversource Energy

  5,902,180   460,133,953
Exelon Corp.

  16,895,987   632,923,673
FirstEnergy Corp.

  9,247,768   342,167,416
NextEra Energy, Inc. (a)

  33,472,839   2,624,605,306
NRG Energy, Inc. (a)

  4,006,020   153,310,385
PG&E Corp. (b)

  27,173,500   339,668,750
Pinnacle West Capital Corp. (a)

  1,925,911   124,240,519
PPL Corp. (a)

  12,541,974   317,939,041
Southern Co.

  18,109,725   1,231,461,300
Xcel Energy, Inc.

  9,318,784   596,402,176
          10,438,098,665
GAS UTILITIES — 1.5%  
Atmos Energy Corp. (a)

  2,383,269   242,735,948
INDEPENDENT POWER & RENEWABLE ELECTRICITY PRODUCERS — 1.6%  
AES Corp. (a)

  11,379,181   257,169,490
MULTI-UTILITIES — 29.5%  
Ameren Corp. (a)

  4,401,673   354,554,760
CenterPoint Energy, Inc. (a)

  10,724,446   302,214,888
CMS Energy Corp. (a)

  4,943,933   287,934,658
Consolidated Edison, Inc. (a)

  6,040,789   518,058,065
Dominion Energy, Inc. (a)

  14,182,924   980,181,878
DTE Energy Co.

  3,300,611   379,735,296
NiSource, Inc.

  6,915,973   174,213,360
Public Service Enterprise Group, Inc.

  8,498,823   477,888,817
Security Description     Shares   Value
Sempra Energy (a)

  5,354,733   $ 802,888,666
WEC Energy Group, Inc. (a)

  5,373,875   480,585,641
          4,758,256,029
WATER UTILITIES — 2.5%  
American Water Works Co., Inc. (a)

  3,096,977   403,102,526
TOTAL COMMON STOCKS

(Cost $18,006,761,102)

        16,099,362,658
SHORT-TERM INVESTMENTS — 0.7%      
State Street Institutional Liquid Reserves Fund, Premier Class 3.01% (c)  (d)

  27,297,775   27,303,235
State Street Navigator Securities Lending Portfolio II (e)  (f)

  92,621,035   92,621,035
TOTAL SHORT-TERM INVESTMENTS

(Cost $119,920,743)

  119,924,270  
TOTAL INVESTMENTS — 100.6%

(Cost $18,126,681,845)

  16,219,286,928  
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.6)%

  (100,234,181)  
NET ASSETS — 100.0%

  $ 16,119,052,747  
(a) All or a portion of the shares of the security are on loan at September 30, 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 September 30, 2022 are shown in the Affiliate Table below.
(d) The rate shown is the annualized seven-day yield at September 30, 2022.
(e) The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended September 30, 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 September 30, 2022.
Description   Level 1 –
Quoted Prices
  Level 2 –
Other Significant
Observable Inputs
  Level 3 –
Significant
Unobservable Inputs
  Total
ASSETS:                
INVESTMENTS:                
Common Stocks

  $16,099,362,658   $—   $—   $16,099,362,658
Short-Term Investments

  119,924,270       119,924,270
TOTAL INVESTMENTS

  $16,219,286,928   $—   $—   $16,219,286,928
See accompanying notes to financial statements.
57


Table of Contents
THE UTILITIES SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS  (continued)
September 30, 2022

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
9/30/22
  Value at

9/30/22
  Dividend
Income
State Street Institutional Liquid Reserves Fund, Premier Class

21,505,066   $21,509,367   $ 608,173,673   $ 602,377,569   $(2,183)   $(53)   27,297,775   $ 27,303,235   $225,569
State Street Navigator Securities Lending Portfolio II

2,602,779   2,602,779   1,970,937,992   1,880,919,736       92,621,035   92,621,035   90,610
Total

    $24,112,146   $2,579,111,665   $2,483,297,305   $(2,183)   $(53)       $119,924,270   $316,179
See accompanying notes to financial statements.
58


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[This Page Intentionally Left Blank]
59


Table of Contents
THE SELECT SECTOR SPDR TRUST
STATEMENTS OF ASSETS AND LIABILITIES
September 30, 2022

  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*

$ 7,571,612,364   $14,080,678,105   $14,407,342,463
Investments in affiliated issuers, at value

57,921,736   132,979,444   40,827,202
Total Investments

7,629,534,100   14,213,657,549   14,448,169,665
Foreign currency, at value

   
Net cash at broker

   
Cash

   
Receivable for investments sold

150,808,912    
Receivable for income related to Select Sector SPDR shares in-kind transactions

858    
Dividends receivable — unaffiliated issuers

3,077,673   3,489,163   45,172,986
Dividends receivable — affiliated issuers

31,070   49,912   69,401
Securities lending income receivable — unaffiliated issuers

  17,720  
Securities lending income receivable — affiliated issuers  

17,779   23,870   843
Prepaid expenses and other assets

22,106   35,248   46,221
TOTAL ASSETS

7,783,492,498   14,217,273,462   14,493,459,116
LIABILITIES          
Due to custodian

  3,327   67,557
Payable upon return of securities loaned

51,992,399   115,679,767   24,693,312
Payable for investments purchased

151,682,085    
Payable for income related to Select Sector SPDR shares in-kind transactions

  72,503   18,783
Payable to broker – accumulated variation margin on open futures contracts

   
Advisory and Administration fees payable

223,302   398,375   395,681
Custodian fees payable

38,067   89,412   77,465
Distribution fees payable

286,643   492,868   424,828
Unitary fees payable

198,396   291,506   346,307
Trustees’ fees and expenses payable

44   19   67
License fee payable

710,886   1,168,549   1,175,685
Registration and filing fees payable

37,480   59,577   36,430
Professional fees payable

56,673   73,340   58,411
Printing and postage fees payable

207,498   302,469   199,756
Accrued expenses and other liabilities

9,090   2,829   6,760
TOTAL LIABILITIES

205,442,563   118,634,541   27,501,042
NET ASSETS

$ 7,578,049,935   $14,098,638,921   $14,465,958,074
NET ASSETS CONSIST OF:          
Paid-in Capital

$12,877,413,446   $20,299,491,170   $18,264,601,050
Total distributable earnings (loss)

(5,299,363,511)   (6,200,852,249)   (3,798,642,976)
NET ASSETS

$ 7,578,049,935   $14,098,638,921   $14,465,958,074
NET ASSET VALUE PER SHARE          
Net asset value per share

$ 47.89   $ 142.48   $ 66.72
Shares outstanding (unlimited amount authorized, $0.01 par value)

158,250,000   98,953,252   216,821,809
COST OF INVESTMENTS:          
Investments in unaffiliated issuers

$11,756,270,028   $17,778,929,785   $16,983,902,439
Investments in affiliated issuers

57,920,761   132,977,073   40,826,695
Total cost of investments

$11,814,190,789   $17,911,906,858   $17,024,729,134
Foreign currency, at cost

$   $   $
* Includes investments in securities on loan, at value

$ 59,778,853   $ 194,888,318   $ 24,240,601
See accompanying notes to financial statements.
60


Table of Contents

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
                         
$33,470,574,708   $26,691,371,088   $35,740,970,494   $11,081,294,862   $ 4,692,545,451   $ 4,585,160,854   $35,650,222,905
129,435,260   366,478,996   199,532,287   125,079,735   3,341,060   14,200,238   155,495,258
33,600,009,968   27,057,850,084   35,940,502,781   11,206,374,597   4,695,886,511   4,599,361,092   35,805,718,163
  1,542          
18,184,818       4,089,661   1,104,995   5,039,205   12,451,933
40,581       40,900   446   134   971
294,403,717            
      8,541   8,476   16,650  
30,905,619   24,274,102   29,457,448   7,193,212   7,216,613   11,615,922   8,209,914
251,031   136,597   179,197   57,959   15,627   10,325   157,069
        7,139   1,730   44,312
11,695   18,149   20,035   21,213   338    
97,413   72,299   107,346   29,879   15,133   15,726   101,284
33,943,904,842   27,082,352,773   35,970,266,807   11,217,815,962   4,704,255,278   4,616,060,784   35,826,683,646
                         
  4,055   274        
32,065,518   122,805,648   158,598,098   107,539,396       94,660,055
366,267,169             59,856,996
7,533   244,077   16,248         20,303
8,367,000       3,139,560   778,500   2,990,125   8,792,700
908,607   788,211   960,886   319,242   133,185   128,662   997,684
135,016   175,187   160,469   73,516   12,277   11,418   169,018
969,584   1,041,324   1,016,897   398,350   175,128   148,476   1,181,115
880,595   732,963   937,832   269,843   116,841   106,092   975,995
1,220   111   34   4   14   41   84
2,630,586   2,299,602   2,899,480   965,714   429,977   395,647   3,088,264
81,486   123,001   91,442   47,370   21,568   12,842   130,657
83,559   108,875   88,052   62,515   48,948   45,372   110,540
285,331   96,272   426,240   279,008   109,347   44,749   167,575
29,946     3,814   1,716   2,548   4,138   2,013
412,713,150   128,419,326   165,199,766   113,096,234   1,828,333   3,887,562   170,152,999
$33,531,191,692   $26,953,933,447   $35,805,067,041   $11,104,719,728   $ 4,702,426,945   $ 4,612,173,222   $35,656,530,647
                         
$41,015,487,900   $36,653,701,816   $40,900,468,918   $16,124,925,716   $ 7,282,246,508   $ 6,218,331,598   $43,371,429,675
(7,484,296,208)   (9,699,768,369)   (5,095,401,877)   (5,020,205,988)   (2,579,819,563)   (1,606,158,376)   (7,714,899,028)
$33,531,191,692   $26,953,933,447   $35,805,067,041   $11,104,719,728   $ 4,702,426,945   $ 4,612,173,222   $35,656,530,647
                         
$ 71.98   $ 30.31   $ 121.02   $ 82.79   $ 67.98   $ 36.00   $ 118.73
465,824,200   889,145,427   295,865,324   134,126,000   69,173,725   128,100,000   300,305,897
                         
$33,236,445,310   $35,159,325,096   $39,779,734,899   $15,387,297,492   $ 6,342,967,547   $ 6,001,947,254   $41,373,579,421
129,432,305   475,362,880   199,527,110   125,076,844   3,340,774   14,200,238   155,478,815
$33,365,877,615   $35,634,687,976   $39,979,262,009   $15,512,374,336   $ 6,346,308,321   $ 6,016,147,492   $41,529,058,236
$   $ 1,542   $   $   $   $   $
$ 49,641,479   $ 121,823,457   $ 177,843,167   $ 128,835,712   $ 367,232   $   $ 210,639,808
61


Table of Contents
THE SELECT SECTOR SPDR TRUST
STATEMENTS OF ASSETS AND LIABILITIES  (continued)
September 30, 2022

  The Utilities Select Sector SPDR Fund
ASSETS  
Investments in unaffiliated issuers, at value*

$16,099,362,658
Investments in affiliated issuers, at value

119,924,270
Total Investments

16,219,286,928
Receivable for investments sold

313,992,908
Receivable for income related to Select Sector SPDR shares in-kind transactions

69,661
Dividends receivable — unaffiliated issuers

20,871,411
Dividends receivable — affiliated issuers

53,283
Securities lending income receivable — unaffiliated issuers

11,014
Prepaid expenses and other assets

45,132
TOTAL ASSETS

16,554,330,337
LIABILITIES  
Due to custodian

672
Payable upon return of securities loaned

92,621,035
Payable for investments purchased

339,736,684
Advisory and Administration fees payable

449,818
Custodian fees payable

72,817
Distribution fees payable

443,777
Unitary fees payable

381,950
Trustees’ fees and expenses payable

208
License fee payable

1,278,790
Registration and filing fees payable

35,431
Professional fees payable

56,627
Printing and postage fees payable

194,385
Accrued expenses and other liabilities

5,396
TOTAL LIABILITIES

435,277,590
NET ASSETS

$16,119,052,747
NET ASSETS CONSIST OF:  
Paid-in Capital

$18,935,392,582
Total distributable earnings (loss)

(2,816,339,835)
NET ASSETS

$16,119,052,747
NET ASSET VALUE PER SHARE  
Net asset value per share

$ 65.46
Shares outstanding (unlimited amount authorized, $0.01 par value)

246,224,160
COST OF INVESTMENTS:  
Investments in unaffiliated issuers

$18,006,761,102
Investments in affiliated issuers

119,920,743
Total cost of investments

$18,126,681,845
* Includes investments in securities on loan, at value

$ 95,823,575
See accompanying notes to financial statements.
62


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63


Table of Contents
THE SELECT SECTOR SPDR TRUST
STATEMENTS OF OPERATIONS
For the Year Ended September 30, 2022

  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

$ 113,920,230   $ 150,456,212   $ 379,099,877
Dividend income — affiliated issuers

92,653   138,429   206,665
Unaffiliated securities lending income

47,041   197,485   7,999
Affiliated securities lending income

252,418   178,845   29,648
Foreign taxes withheld

   
TOTAL INVESTMENT INCOME (LOSS)

114,312,342   150,970,971   379,344,189
EXPENSES          
Advisory and Administration fees

3,566,909   5,742,805   4,473,735
Distribution fees

2,742,675   4,411,917   3,422,580
License fees

3,689,385   5,927,824   4,529,804
Custodian fees

70,172   112,998   87,921
Unitary fees

926,654   1,473,297   1,153,945
Trustees’ fees and expenses  

147,915   226,616   162,173
Registration and filing fees

38,216   60,125   36,557
Professional fees

72,081   100,059   71,606
Printing and postage fees

396,314   677,580   546,771
Insurance expense

33,223   44,459   18,106
Miscellaneous expenses

212,765   377,717   262,649
TOTAL EXPENSES

11,896,309   19,155,397   14,765,847
NET INVESTMENT INCOME (LOSS)

$ 102,416,033   $ 131,815,574   $ 364,578,342
REALIZED AND UNREALIZED GAIN (LOSS)          
Net realized gain (loss) on:          
Investments — unaffiliated issuers

(997,553,884)   (1,186,389,835)   (232,053,224)
Investments — affiliated issuers

438   (1,359)   663
In-kind redemptions — unaffiliated issuers

1,706,260,159   2,646,179,518   1,076,507,407
Foreign currency transactions

   
Futures contracts

   
Net realized gain (loss)

708,706,713   1,459,788,324   844,454,846
Net change in unrealized appreciation/depreciation on:          
Investments — unaffiliated issuers

(6,255,707,886)   (5,746,430,837)   (1,725,653,091)
Investments — affiliated issuers

975   2,371   507
Futures contracts

   
Net change in unrealized appreciation/depreciation

(6,255,706,911)   (5,746,428,466)   (1,725,652,584)
NET REALIZED AND UNREALIZED GAIN (LOSS)

(5,547,000,198)   (4,286,640,142)   (881,197,738)
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS

$(5,444,584,165)   $(4,154,824,568)   $ (516,619,396)
See accompanying notes to financial statements.
64


Table of Contents

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
                         
$ 1,428,857,928   $ 752,020,075   $ 567,766,875   $ 252,550,111   $ 148,961,645   $ 107,086,126   $ 414,793,555
688,423   8,445,705   491,424   181,417   46,386   25,533   648,317
  78,211   47,187   4,838   75,616   5,295   347,430
131,925   100,662   104,247   190,741   14,930   9,805   174,931
            (562,184)
1,429,678,276   760,644,653   568,409,733   252,927,107   149,098,577   107,126,759   415,402,049
                         
10,297,847   11,983,348   10,951,801   4,688,537   2,194,112   1,635,946   13,589,572
7,877,973   9,213,610   8,378,785   3,601,930   1,687,563   1,254,104   10,428,788
10,409,238   12,320,346   11,128,046   4,825,601   2,253,989   1,665,830   13,941,274
202,367   235,848   215,215   92,235   43,164   32,167   267,272
2,654,931   3,072,794   2,825,347   1,204,301   563,839   422,236   3,493,344
359,244   476,646   396,828   192,534   89,729   58,656   520,519
82,933   125,183   93,016   47,579   21,797   19,240   132,316
146,303   199,033   148,170   85,863   55,337   44,884   190,438
1,324,882   1,443,124   1,349,458   550,096   278,680   230,350   1,625,613
60,813   93,459   62,581   45,613   22,417   6,222   96,143
487,625   725,894   588,039   280,089   135,104   105,896   760,597
33,904,156   39,889,285   36,137,286   15,614,378   7,345,731   5,475,531   45,045,876
$ 1,395,774,120   $ 720,755,368   $ 532,272,447   $ 237,312,729   $ 141,752,846   $ 101,651,228   $ 370,356,173
                         
                         
(729,641,789)   (271,244,478)   (120,826,322)   (106,784,645)   (32,854,568)   (88,393,741)   (1,042,064,868)
(2,262)   (10,434,433)   (294)   579   2,053   (987)   7,814
9,015,100,583   3,126,080,025   3,277,570,407   1,216,934,513   423,526,507   316,274,334   8,496,521,113
  (4)          
14,655,869       (1,067,872)   (77,813)   1,439,301   (8,644,801)
8,300,112,401   2,844,401,110   3,156,743,791   1,109,082,575   390,596,179   229,318,907   7,445,819,258
                         
1,655,441,246   (10,770,352,548)   (5,562,713,882)   (3,249,343,478)   (1,305,988,349)   (1,380,770,865)   (16,930,090,650)
2,955   (81,521,883)   2,292   2,891   286     (882)
(10,943,625)       (840,740)   (778,744)   (2,464,582)   (5,257,173)
1,644,500,576   (10,851,874,431)   (5,562,711,590)   (3,250,181,327)   (1,306,766,807)   (1,383,235,447)   (16,935,348,705)
9,944,612,977   (8,007,473,321)   (2,405,967,799)   (2,141,098,752)   (916,170,628)   (1,153,916,540)   (9,489,529,447)
$11,340,387,097   $ (7,286,717,953)   $(1,873,695,352)   $(1,903,786,023)   $ (774,417,782)   $(1,052,265,312)   $ (9,119,173,274)
65


Table of Contents
THE SELECT SECTOR SPDR TRUST
STATEMENTS OF OPERATIONS  (continued)
For the Year Ended September 30, 2022

  The Utilities Select Sector SPDR Fund
INVESTMENT INCOME  
Dividend income — unaffiliated issuers

$ 419,293,835
Dividend income — affiliated issuers

225,569
Affiliated securities lending income

90,610
TOTAL INVESTMENT INCOME (LOSS)

419,610,014
EXPENSES  
Advisory and Administration fees

4,476,805
Distribution fees

3,416,855
License fees

4,537,050
Custodian fees

87,939
Unitary fees

1,156,162
Trustees’ fees and expenses  

158,921
Registration and filing fees

35,657
Professional fees

70,518
Printing and postage fees

527,352
Insurance expense

21,814
Miscellaneous expenses

222,517
TOTAL EXPENSES

14,711,590
NET INVESTMENT INCOME (LOSS)

$ 404,898,424
REALIZED AND UNREALIZED GAIN (LOSS)  
Net realized gain (loss) on:  
Investments — unaffiliated issuers

(100,836,779)
Investments — affiliated issuers

(2,183)
In-kind redemptions — unaffiliated issuers

776,955,041
Net realized gain (loss)

676,116,079
Net change in unrealized appreciation/depreciation on:  
Investments — unaffiliated issuers

(825,343,372)
Investments — affiliated issuers

(53)
Net change in unrealized appreciation/depreciation

(825,343,425)
NET REALIZED AND UNREALIZED GAIN (LOSS)

(149,227,346)
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS

$ 255,671,078
See accompanying notes to financial statements.
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[This Page Intentionally Left Blank]
67


Table of Contents
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
  Year Ended
9/30/22
  Year Ended
9/30/21
  Year Ended
9/30/22
  Year Ended
9/30/21
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:              
Net investment income (loss)

$ 102,416,033   $ 95,495,406   $ 131,815,574   $ 122,881,343
Net realized gain (loss)

708,706,713   2,320,315,595   1,459,788,324   2,727,630,494
Net change in unrealized appreciation/depreciation

(6,255,706,911)   1,196,720,146   (5,746,428,466)   894,744,506
Net increase (decrease) in net assets resulting from operations

(5,444,584,165)   3,612,531,147   (4,154,824,568)   3,745,256,343
Net equalization credits and charges

(4,073,365)   (625,116)   (944,319)   723,053
Distributions to shareholders

(98,460,012)   (93,350,467)   (129,853,122)   (123,348,978)
FROM BENEFICIAL INTEREST TRANSACTIONS:              
Proceeds from shares sold

10,323,050,378   11,124,381,986   21,602,723,713   16,887,124,159
Cost of shares redeemed

(12,378,013,156)   (9,573,576,943)   (22,853,143,682)   (16,684,493,391)
Net income equalization

4,073,365   625,116   944,319   (723,053)
Net increase (decrease) in net assets from beneficial interest transactions

(2,050,889,413)   1,551,430,159   (1,249,475,650)   201,907,715
Net increase (decrease) in net assets during the period

(7,598,006,955)   5,069,985,723   (5,535,097,659)   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

$ 7,578,049,935   $15,176,056,890   $ 14,098,638,921   $ 19,633,736,580
SHARES OF BENEFICIAL INTEREST:              
Shares sold

150,200,000   150,900,000   123,600,000   102,250,000
Shares redeemed

(181,300,000)   (131,700,000)   (134,000,000)   (100,450,000)
Net increase (decrease) from share transactions

(31,100,000)   19,200,000   (10,400,000)   1,800,000
See accompanying notes to financial statements.
68


Table of Contents

The Consumer Staples Select Sector SPDR Fund   The Energy Select Sector SPDR Fund   The Financial Select Sector SPDR Fund
Year Ended
9/30/22
  Year Ended
9/30/21
  Year Ended
9/30/22
  Year Ended
9/30/21
  Year Ended
9/30/22
  Year Ended
9/30/21
                     
$ 364,578,342   $ 331,657,216   $ 1,395,774,120   $ 873,670,481   $ 720,755,368   $ 610,422,895
844,454,846   1,150,724,231   8,300,112,401   1,029,351,744   2,844,401,110   5,580,105,015
(1,725,652,584)   (380,759,153)   1,644,500,576   7,081,524,329   (10,851,874,431)   6,478,241,704
(516,619,396)   1,101,622,294   11,340,387,097   8,984,546,554   (7,286,717,953)   12,668,769,614
5,281,761   (2,100,389)   (30,219,502)   36,005,143   (26,262,713)   15,669,602
(366,815,541)   (330,192,564)   (1,446,908,773)   (933,129,989)   (694,964,954)   (620,652,967)
                     
29,214,101,970   19,938,578,383   38,323,878,231   28,094,738,429   49,626,705,184   58,491,980,218
(25,622,285,154)   (22,639,671,840)   (39,770,503,382)   (19,492,605,558)   (55,103,779,237)   (46,773,810,008)
(5,281,761)   2,100,389   30,219,502   (36,005,143)   26,262,713   (15,669,602)
3,586,535,055   (2,698,993,068)   (1,416,405,649)   8,566,127,728   (5,450,811,340)   11,702,500,608
2,708,381,879   (1,929,663,727)   8,446,853,173   16,653,549,436   (13,458,756,960)   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
$ 14,465,958,074   $ 11,757,576,195   $ 33,531,191,692   $ 25,084,338,519   $ 26,953,933,447   $ 40,412,690,407
                     
392,500,000   290,000,000   551,600,000   624,550,000   1,339,600,000   1,797,500,000
(346,500,000)   (332,600,000)   (567,100,000)   (424,500,000)   (1,527,200,000)   (1,412,600,000)
46,000,000   (42,600,000)   (15,500,000)   200,050,000   (187,600,000)   384,900,000
69


Table of Contents
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
  Year Ended
9/30/22
  Year Ended
9/30/21
  Year Ended
9/30/22
  Year Ended
9/30/21
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:              
Net investment income (loss)

$ 532,272,447   $ 416,801,302   $ 237,312,729   $ 236,733,176
Net realized gain (loss)

3,156,743,791   3,400,196,431   1,109,082,575   2,956,551,516
Net change in unrealized appreciation/depreciation

(5,562,711,590)   1,264,545,932   (3,250,181,327)   734,570,045
Net increase (decrease) in net assets resulting from operations

(1,873,695,352)   5,081,543,665   (1,903,786,023)   3,927,854,737
Net equalization credits and charges

10,937,354   1,274,032   (6,531,041)   1,546,005
Distributions to shareholders

(547,486,712)   (409,925,315)   (231,405,184)   (241,943,347)
FROM BENEFICIAL INTEREST TRANSACTIONS:              
Proceeds from shares sold

36,629,546,954   29,361,014,407   20,377,366,355   23,703,127,522
Cost of shares redeemed

(28,762,153,713)   (27,547,231,773)   (24,504,637,390)   (22,201,590,532)
Net income equalization

(10,937,354)   (1,274,032)   6,531,041   (1,546,005)
Net increase (decrease) in net assets from beneficial interest transactions

7,856,455,887   1,812,508,602   (4,120,739,994)   1,499,990,985
Net increase (decrease) in net assets during the period

5,446,211,177   6,485,400,984   (6,262,462,242)   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

$ 35,805,067,041   $ 30,358,855,864   $ 11,104,719,728   $ 17,367,181,970
SHARES OF BENEFICIAL INTEREST:              
Shares sold

277,250,000   242,250,000   208,050,000   252,800,000
Shares redeemed

(219,950,000)   (229,850,000)   (251,550,000)   (233,400,000)
Net increase (decrease) from share transactions

57,300,000   12,400,000   (43,500,000)   19,400,000
See accompanying notes to financial statements.
70


Table of Contents

The Materials Select Sector SPDR Fund   The Real Estate Select Sector SPDR Fund   The Technology Select Sector SPDR Fund
Year Ended
9/30/22
  Year Ended
9/30/21
  Year Ended
9/30/22
  Year Ended
9/30/21
  Year Ended
9/30/22
  Year Ended
9/30/21
                     
$ 141,752,846   $ 130,501,877   $ 101,651,228   $ 59,481,840   $ 370,356,173   $ 322,398,863
390,596,179   1,035,717,045   229,318,907   122,356,929   7,445,819,258   6,302,530,164
(1,306,766,807)   (34,117,715)   (1,383,235,447)   469,240,178   (16,935,348,705)   3,132,265,670
(774,417,782)   1,132,101,207   (1,052,265,312)   651,078,947   (9,119,173,274)   9,757,194,697
(5,327,250)   (94,204)   3,998,621   3,560,493   (660,883)   (4,599,983)
(140,291,094)   (127,713,864)   (165,006,172)   (97,886,559)   (369,413,320)   (316,074,902)
                     
9,286,163,854   12,989,379,344   6,393,738,629   4,788,360,980   31,297,130,714   23,233,034,545
(11,170,933,914)   (10,408,905,093)   (4,846,435,169)   (3,323,817,883)   (29,174,529,672)   (23,746,663,758)
5,327,250   94,204   (3,998,621)   (3,560,493)   660,883   4,599,983
(1,879,442,810)   2,580,568,455   1,543,304,839   1,460,982,604   2,123,261,925   (509,029,230)
(2,799,478,936)   3,584,861,594   330,031,976   2,017,735,485   (7,365,985,552)   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
$ 4,702,426,945   $ 7,501,905,881   $ 4,612,173,222   $ 4,282,141,246   $ 35,656,530,647   $ 43,022,516,199
                     
111,250,000   168,250,000   140,250,000   115,000,000   206,250,000   172,150,000
(136,900,000)   (135,000,000)   (108,450,000)   (82,850,000)   (194,000,000)   (176,100,000)
(25,650,000)   33,250,000   31,800,000   32,150,000   12,250,000   (3,950,000)
71


Table of Contents
THE SELECT SECTOR SPDR TRUST
STATEMENTS OF CHANGES IN NET ASSETS  (continued)

  The Utilities Select Sector SPDR Fund
  Year Ended
9/30/22
  Year Ended
9/30/21
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:      
Net investment income (loss)

$ 404,898,424   $ 349,696,232
Net realized gain (loss)

676,116,079   623,159,670
Net change in unrealized appreciation/depreciation

(825,343,425)   233,959,292
Net increase (decrease) in net assets resulting from operations

255,671,078   1,206,815,194
Net equalization credits and charges

8,627,389   (1,339,318)
Distributions to shareholders

(430,630,955)   (374,646,864)
FROM BENEFICIAL INTEREST TRANSACTIONS:      
Proceeds from shares sold

24,428,615,968   18,829,817,079
Cost of shares redeemed

(20,091,272,564)   (19,111,067,494)
Net income equalization

(8,627,389)   1,339,318
Net increase (decrease) in net assets from beneficial interest transactions

4,328,716,015   (279,911,097)
Net increase (decrease) in net assets during the period

4,162,383,527   550,917,915
Net assets at beginning of period

11,956,669,220   11,405,751,305
NET ASSETS AT END OF PERIOD

$ 16,119,052,747   $ 11,956,669,220
SHARES OF BENEFICIAL INTEREST:      
Shares sold

345,250,000   293,450,000
Shares redeemed

(286,200,000)   (298,300,000)
Net increase (decrease) from share transactions

59,050,000   (4,850,000)
See accompanying notes to financial statements.
72


Table of Contents
THE SELECT SECTOR SPDR TRUST
FINANCIAL HIGHLIGHTS
Selected data for a share outstanding throughout each period

  The Communication Services Select Sector SPDR Fund
  Year
Ended
9/30/22
  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)

0.58   0.54   0.47   0.44   0.09
Net realized and unrealized gain (loss) (c)

(32.25)   20.73   9.88   0.51   (1.17)
Total from investment operations

(31.67)   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

(0.57)   (0.52)   (0.47)   (0.45)   (0.05)
Return of Capital

        (0.08)
Total distributions

(0.57)   (0.52)   (0.47)   (0.45)   (0.13)
Net asset value, end of period

$ 47.89   $ 80.15   $ 59.40   $ 49.50   $ 48.98
Total return (e)

(39.71)%   35.88%   21.05%   2.07%   (1.78)%
Ratios and Supplemental Data:                  
Net assets, end of period (in 000s)

$7,578,050   $15,176,057   $10,106,071   $6,039,403   $2,035,011
Ratios to average net assets:                  
Total expenses

0.10%   0.11%   0.13%   0.13%   0.15%(f)
Net expenses

0.10%   0.11%   0.13%   0.13%   0.13%(f)
Net investment income (loss)

0.88%   0.73%   0.86%   0.93%   0.62%(f)
Portfolio turnover rate (g)

21%   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 year.
(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.
73


Table of Contents
THE SELECT SECTOR SPDR TRUST
FINANCIAL HIGHLIGHTS  (continued)
Selected data for a share outstanding throughout each period

  The Consumer Discretionary Select Sector SPDR Fund
  Year
Ended
9/30/22
  Year
Ended
9/30/21
  Year
Ended
9/30/20
  Year
Ended
9/30/19(a)
  Year
Ended
9/30/18(a)
Net asset value, beginning of period

$ 179.54   $ 146.99   $ 120.69   $ 117.19   $ 90.09
Income (loss) from investment operations:                  
Net investment income (loss) (b)

1.23   1.09   1.46   1.58   1.49
Net realized and unrealized gain (loss) (c)

(37.06)   32.54   26.34   3.51   26.81
Total from investment operations

(35.83)   33.63   27.80   5.09   28.30
Net equalization credits and charges (b)

(0.01)   0.01   (0.06)   (0.02)   0.09
Distributions to shareholders from:                  
Net investment income

(1.22)   (1.09)   (1.44)   (1.57)   (1.29)
Net asset value, end of period

$ 142.48   $ 179.54   $ 146.99   $ 120.69   $ 117.19
Total return (d)

(20.06)%   22.93%   23.25%   4.45%   31.63%
Ratios and Supplemental Data:                  
Net assets, end of period (in 000s)

$14,098,639   $19,633,737   $15,809,198   $13,928,314   $16,218,942
Ratios to average net assets:                  
Total expenses

0.10%   0.11%   0.13%   0.13%   0.13%
Net investment income (loss)

0.70%   0.65%   1.17%   1.40%   1.43%
Portfolio turnover rate (e)

22%   23%   11%   6%   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 year.
(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) Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions on Select Sector SPDR shares.
See accompanying notes to financial statements.
74


Table of Contents
THE SELECT SECTOR SPDR TRUST
FINANCIAL HIGHLIGHTS  (continued)
Selected data for a share outstanding throughout each period

  The Consumer Staples Select Sector SPDR Fund
  Year
Ended
9/30/22
  Year
Ended
9/30/21
  Year
Ended
9/30/20
  Year
Ended
9/30/19(a)
  Year
Ended
9/30/18(a)
Net asset value, beginning of period

$ 68.83   $ 64.13   $ 61.41   $ 53.92   $ 53.99
Income (loss) from investment operations:                  
Net investment income (loss) (b)

1.84   1.85   1.66   1.60   1.52
Net realized and unrealized gain (loss) (c)

(2.16)   4.67   2.70   7.41   (0.17)
Total from investment operations

(0.32)   6.52   4.36   9.01   1.35
Net equalization credits and charges (b)

0.03   (0.01)   0.00(d)   0.05   0.08
Distributions to shareholders from:                  
Net investment income

(1.82)   (1.81)   (1.64)   (1.57)   (1.50)
Net asset value, end of period

$ 66.72   $ 68.83   $ 64.13   $ 61.41   $ 53.92
Total return (e)

(0.63)%   10.19%   7.32%   17.14%   2.70%
Ratios and Supplemental Data:                  
Net assets, end of period (in 000s)

$14,465,958   $11,757,576   $13,687,240   $14,015,004   $9,256,716
Ratios to average net assets:                  
Total expenses

0.10%   0.11%   0.13%   0.13%   0.13%
Net investment income (loss)

2.49%   2.71%   2.73%   2.84%   2.84%
Portfolio turnover rate (f)

11%   4%   5%   10%   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 year.
(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) Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions on Select Sector SPDR shares.
See accompanying notes to financial statements.
75


Table of Contents
THE SELECT SECTOR SPDR TRUST
FINANCIAL HIGHLIGHTS  (continued)
Selected data for a share outstanding throughout each period

  The Energy Select Sector SPDR Fund
  Year
Ended
9/30/22
  Year
Ended
9/30/21
  Year
Ended
9/30/20
  Year
Ended
9/30/19(a)
  Year
Ended
9/30/18(a)
Net asset value, beginning of period

$ 52.12   $ 29.97   $ 59.18   $ 75.75   $ 68.46
Income (loss) from investment operations:                  
Net investment income (loss) (b)

2.91   2.11   2.19   4.01   1.95
Net realized and unrealized gain (loss) (c)

20.07   22.11   (27.49)   (18.36)   7.32
Total from investment operations

22.98   24.22   (25.30)   (14.35)   9.27
Net equalization credits and charges (b)

(0.06)   0.09   0.08   (0.04)   (0.02)
Contribution from Affiliate

    0.00(d)(e)    
Distributions to shareholders from:                  
Net investment income

(3.06)   (2.16)   (3.99)   (2.18)   (1.96)
Net asset value, end of period

$ 71.98   $ 52.12   $ 29.97   $ 59.18   $ 75.75
Total return (f)

44.34%   81.93%   (44.68)%(g)   (19.08)%   13.64%
Ratios and Supplemental Data:                  
Net assets, end of period (in 000s)

$33,531,192   $25,084,339   $8,430,789   $10,014,781   $18,435,159
Ratios to average net assets:                  
Total expenses

0.10%   0.11%   0.13%   0.13%   0.13%
Net investment income (loss)

4.14%   4.54%   5.08%   6.25%   2.71%
Portfolio turnover rate (h)

9%   14%   13%   10%   8%
(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 year.
(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 $290,417.
(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) Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions on Select Sector SPDR shares.
See accompanying notes to financial statements.
76


Table of Contents
THE SELECT SECTOR SPDR TRUST
FINANCIAL HIGHLIGHTS  (continued)
Selected data for a share outstanding throughout each period

  The Financial Select Sector SPDR Fund
  Year
Ended
9/30/22
  Year
Ended
9/30/21
  Year
Ended
9/30/20
  Year
Ended
9/30/19(a)
  Year
Ended
9/30/18(a)
Net asset value, beginning of period

$ 37.53   $ 24.06   $ 28.02   $ 27.58   $ 25.84
Income (loss) from investment operations:                  
Net investment income (loss) (b)

0.68   0.61   0.60   0.57   0.48
Net realized and unrealized gain (loss) (c)

(7.21)   13.44   (3.94)   0.46   1.73
Total from investment operations

(6.53)   14.05   (3.34)   1.03   2.21
Net equalization credits and charges (b)

(0.02)   0.02   (0.02)   (0.03)   0.01
Distributions to shareholders from:                  
Net investment income

(0.67)   (0.60)   (0.60)   (0.56)   (0.48)
Net asset value, end of period

$ 30.31   $ 37.53   $ 24.06   $ 28.02   $ 27.58
Total return (d)

(17.67)%   58.79%   (11.98)%   3.81%   8.58%
Ratios and Supplemental Data:                  
Net assets, end of period (in 000s)

$26,953,933   $40,412,690   $16,646,404   $22,552,204   $31,053,806
Ratios to average net assets:                  
Total expenses

0.10%   0.11%   0.13%   0.13%   0.13%
Net investment income (loss)

1.83%   1.80%   2.30%   2.13%   1.72%
Portfolio turnover rate (e)

4%   3%   4%   4%   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 year.
(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) Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions on Select Sector SPDR shares.
See accompanying notes to financial statements.
77


Table of Contents
THE SELECT SECTOR SPDR TRUST
FINANCIAL HIGHLIGHTS  (continued)
Selected data for a share outstanding throughout each period

  The Health Care Select Sector SPDR Fund
  Year
Ended
9/30/22
  Year
Ended
9/30/21
  Year
Ended
9/30/20
  Year
Ended
9/30/19(a)
  Year
Ended
9/30/18(a)
Net asset value, beginning of period

$ 127.26   $ 105.56   $ 90.13   $ 95.11   $ 81.76
Income (loss) from investment operations:                  
Net investment income (loss) (b)

1.95   1.85   1.66   2.29   1.31
Net realized and unrealized gain (loss) (c)

(6.27)   21.65   16.08   (5.75)   13.34
Total from investment operations

(4.32)   23.50   17.74   (3.46)   14.65
Net equalization credits and charges (b)

0.04   0.01   (0.00)(d)   (0.02)   0.01
Distributions to shareholders from:                  
Net investment income

(1.96)   (1.81)   (2.31)   (1.50)   (1.31)
Net asset value, end of period

$ 121.02   $ 127.26   $ 105.56   $ 90.13   $ 95.11
Total return (e)

(3.47)%   22.37%   19.90%   (3.65)%   18.10%
Ratios and Supplemental Data:                  
Net assets, end of period (in 000s)

$35,805,067   $30,358,856   $23,873,455   $16,818,717   $19,632,378
Ratios to average net assets:                  
Total expenses

0.10%   0.11%   0.13%   0.13%   0.13%
Net investment income (loss)

1.48%   1.54%   1.67%   2.53%   1.54%
Portfolio turnover rate (f)

2%   4%   3%   2%   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 year.
(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) Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions on Select Sector SPDR shares.
See accompanying notes to financial statements.
78


Table of Contents
THE SELECT SECTOR SPDR TRUST
FINANCIAL HIGHLIGHTS  (continued)
Selected data for a share outstanding throughout each period

  The Industrial Select Sector SPDR Fund
  Year
Ended
9/30/22
  Year
Ended
9/30/21
  Year
Ended
9/30/20
  Year
Ended
9/30/19(a)
  Year
Ended
9/30/18(a)
Net asset value, beginning of period

$ 97.77   $ 76.98   $ 77.66   $ 78.37   $ 70.99
Income (loss) from investment operations:                  
Net investment income (loss) (b)

1.52   1.27   1.39   1.52   1.30
Net realized and unrealized gain (loss) (c)

(14.94)   20.81   (0.68)   (0.63)   7.49
Total from investment operations

(13.42)   22.08   0.71   0.89   8.79
Net equalization credits and charges (b)

(0.04)   0.01   0.02   (0.03)   (0.02)
Contribution from Affiliate

      0.00(d)(e)  
Distributions to shareholders from:                  
Net investment income

(1.52)   (1.30)   (1.41)   (1.57)   (1.39)
Net asset value, end of period

$ 82.79   $ 97.77   $ 76.98   $ 77.66   $ 78.37
Total return (f)

(13.95)%   28.74%   1.12%   1.25%(g)   12.43%
Ratios and Supplemental Data:                  
Net assets, end of period (in 000s)

$11,104,720   $17,367,182   $12,179,734   $9,802,368   $12,925,332
Ratios to average net assets:                  
Total expenses

0.10%   0.11%   0.13%   0.13%   0.13%
Net investment income (loss)

1.54%   1.33%   1.87%   2.07%   1.74%
Portfolio turnover rate (h)

7%   2%   3%   3%   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 year.
(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) Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions on Select Sector SPDR shares.
See accompanying notes to financial statements.
79


Table of Contents
THE SELECT SECTOR SPDR TRUST
FINANCIAL HIGHLIGHTS  (continued)
Selected data for a share outstanding throughout each period

  The Materials Select Sector SPDR Fund
  Year
Ended
9/30/22
  Year
Ended
9/30/21
  Year
Ended
9/30/20
  Year
Ended
9/30/19(a)
  Year
Ended
9/30/18(a)
Net asset value, beginning of period

$ 79.11   $ 63.62   $ 58.17   $ 57.92   $ 56.80
Income (loss) from investment operations:                  
Net investment income (loss) (b)

1.64   1.45   1.23   1.20   1.09
Net realized and unrealized gain (loss) (c)

(11.02)   15.43   5.47   0.28   1.09
Total from investment operations

(9.38)   16.88   6.70   1.48   2.18
Net equalization credits and charges (b)

(0.06)   (0.00)(d)   (0.03)   (0.03)   0.02
Distributions to shareholders from:                  
Net investment income

(1.69)   (1.39)   (1.22)   (1.20)   (1.08)
Net asset value, end of period

$ 67.98   $ 79.11   $ 63.62   $ 58.17   $ 57.92
Total return (e)

(12.23)%   26.60%   11.76%   2.64%   3.84%
Ratios and Supplemental Data:                  
Net assets, end of period (in 000s)

$4,702,427   $7,501,906   $3,917,044   $4,201,473   $4,547,766
Ratios to average net assets:                  
Total expenses

0.10%   0.11%   0.13%   0.13%   0.13%
Net investment income (loss)

1.97%   1.83%   2.15%   2.18%   1.84%
Portfolio turnover rate (f)

2%   5%   4%   20%   17%
(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 year.
(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) Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions on Select Sector SPDR shares.
See accompanying notes to financial statements.
80


Table of Contents
THE SELECT SECTOR SPDR TRUST
FINANCIAL HIGHLIGHTS  (continued)
Selected data for a share outstanding throughout each period

  The Real Estate Select Sector SPDR Fund
  Year
Ended
9/30/22
  Year
Ended
9/30/21
  Year
Ended
9/30/20
  Year
Ended
9/30/19(a)
  Year
Ended
9/30/18(a)
Net asset value, beginning of period

$ 44.47   $ 35.30   $ 39.35   $ 32.62   $ 32.26
Income (loss) from investment operations:                  
Net investment income (loss) (b)

0.86   0.85   0.88   0.95   0.95
Net realized and unrealized gain (loss) (c)

(7.99)   9.66   (3.78)   6.91   0.58
Total from investment operations

(7.13)   10.51   (2.90)   7.86   1.53
Net equalization credits and charges (b)

0.03   0.05   (0.05)   0.01   0.00(d)
Distributions to shareholders from:                  
Net investment income

(1.37)   (1.39)   (1.10)   (1.14)   (1.17)
Net asset value, end of period

$ 36.00   $ 44.47   $ 35.30   $ 39.35   $ 32.62
Total return (e)

(16.46)%   30.42%   (7.46)%   24.64%   4.87%
Ratios and Supplemental Data:                  
Net assets, end of period (in 000s)

$4,612,173   $4,282,141   $2,264,406   $3,884,273   $2,732,078
Ratios to average net assets:                  
Total expenses

0.10%   0.11%   0.13%   0.13%   0.13%
Net investment income (loss)

1.90%   2.05%   2.42%   2.69%   2.94%
Portfolio turnover rate (f)

11%   4%   5%   3%   7%
(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 year.
(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) Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions on Select Sector SPDR shares.
See accompanying notes to financial statements.
81


Table of Contents
THE SELECT SECTOR SPDR TRUST
FINANCIAL HIGHLIGHTS  (continued)
Selected data for a share outstanding throughout each period

  The Technology Select Sector SPDR Fund
  Year
Ended
9/30/22
  Year
Ended
9/30/21
  Year
Ended
9/30/20
  Year
Ended
9/30/19(a)
  Year
Ended
9/30/18(a)
Net asset value, beginning of period

$ 149.35   $ 116.76   $ 80.51   $ 75.30   $ 59.13
Income (loss) from investment operations:                  
Net investment income (loss) (b)

1.24   1.11   1.20   1.05   0.93
Net realized and unrealized gain (loss) (c)

(30.62)   32.60   36.24   5.18   16.17
Total from investment operations

(29.38)   33.71   37.44   6.23   17.10
Net equalization credits and charges (b)

(0.00)(d)   (0.02)   (0.00)(d)   0.01   0.04
Distributions to shareholders from:                  
Net investment income

(1.24)   (1.10)   (1.19)   (1.03)   (0.97)
Net asset value, end of period

$ 118.73   $ 149.35   $ 116.76   $ 80.51   $ 75.30
Total return (e)

(19.82)%   28.93%   46.88%   8.44%   29.14%
Ratios and Supplemental Data:                  
Net assets, end of period (in 000s)

$35,656,531   $43,022,516   $34,095,026   $22,417,160   $22,959,484
Ratios to average net assets:                  
Total expenses

0.10%   0.11%   0.13%   0.13%   0.13%
Net investment income (loss)

0.83%   0.81%   1.24%   1.44%   1.37%
Portfolio turnover rate (f)

9%   4%   3%   6%   19%
(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 year.
(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) Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions on Select Sector SPDR shares.
See accompanying notes to financial statements.
82


Table of Contents
THE SELECT SECTOR SPDR TRUST
FINANCIAL HIGHLIGHTS  (continued)
Selected data for a share outstanding throughout each period

  The Utilities Select Sector SPDR Fund
  Year
Ended
9/30/22
  Year
Ended
9/30/21
  Year
Ended
9/30/20
  Year
Ended
9/30/19(a)
  Year
Ended
9/30/18(a)
Net asset value, beginning of period

$ 63.88   $ 59.40   $ 64.73   $ 52.68   $ 53.05
Income (loss) from investment operations:                  
Net investment income (loss) (b)

1.96   1.86   2.00   1.90   1.76
Net realized and unrealized gain (loss) (c)

1.61   4.61   (5.36)   12.01   (0.28)
Total from investment operations

3.57   6.47   (3.36)   13.91   1.48
Net equalization credits and charges (b)

0.04   (0.01)   (0.02)   0.01   (0.04)
Distributions to shareholders from:                  
Net investment income

(2.03)   (1.98)   (1.95)   (1.87)   (1.81)
Net asset value, end of period

$ 65.46   $ 63.88   $ 59.40   $ 64.73   $ 52.68
Total return (d)

5.46%   10.95%   (5.12)%   26.85%   2.89%
Ratios and Supplemental Data:                  
Net assets, end of period (in 000s)

$16,119,053   $11,956,669   $11,405,751   $11,296,483   $7,642,260
Ratios to average net assets:                  
Total expenses

0.10%   0.11%   0.13%   0.13%   0.13%
Net investment income (loss)

2.76%   2.89%   3.29%   3.30%   3.37%
Portfolio turnover rate (e)

4%   3%   3%   5%   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 year.
(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) Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions on Select Sector SPDR shares.
See accompanying notes to financial statements.
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THE SELECT SECTOR SPDR TRUST
NOTES TO FINANCIAL STATEMENTS
September 30, 2022

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 September 30, 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
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THE SELECT SECTOR SPDR TRUST
NOTES TO FINANCIAL STATEMENTS  (continued)
September 30, 2022

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 September 30, 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.
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THE SELECT SECTOR SPDR TRUST
NOTES TO FINANCIAL STATEMENTS  (continued)
September 30, 2022

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 September 30, 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.
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THE SELECT SECTOR SPDR TRUST
NOTES TO FINANCIAL STATEMENTS  (continued)
September 30, 2022

The Funds in the following tables each entered into futures contracts for cash equitization, to reduce tracking error and to facilitate daily liquidity. The following tables summarize the value of the Fund's derivative instruments as of September 30, 2022, and the related location in the accompanying Statements of Assets and Liabilities and Statements of Operations, presented by primary underlying risk exposure:
  Liability Derivatives          
  Interest
Rate
Risk
  Foreign
Exchange
Risk
  Credit
Risk
  Equity
Risk
  Commodity
Risk
  Total
The Energy Select Sector SPDR Fund                      
Futures Contracts

$—   $—   $—   $8,367,000   $—   $8,367,000
The Industrial Select Sector SPDR Fund                      
Futures Contracts

      3,139,560     3,139,560
The Materials Select Sector SPDR Fund                      
Futures Contracts

      778,500     778,500
The Real Estate Select Sector SPDR Fund                      
Futures Contracts

      2,990,125     2,990,125
The Technology Select Sector SPDR Fund                      
Futures Contracts

      8,792,700     8,792,700
  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

$—   $—   $—   $14,655,869   $—   $14,655,869
The Industrial Select Sector SPDR Fund                      
Futures Contracts

      (1,067,872)     (1,067,872)
The Materials Select Sector SPDR Fund                      
Futures Contracts

      (77,813)     (77,813)
The Real Estate Select Sector SPDR Fund                      
Futures Contracts

      1,439,301     1,439,301
The Technology Select Sector SPDR Fund                      
Futures Contracts

      (8,644,801)     (8,644,801)
  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

$—   $—   $—   (10,943,625)   $—   (10,943,625)
The Industrial Select Sector SPDR Fund                      
Futures Contracts

      (840,740)     (840,740)
The Materials Select Sector SPDR Fund                      
Futures Contracts

      (778,744)     (778,744)
The Real Estate Select Sector SPDR Fund                      
Futures Contracts

      (2,464,582)     (2,464,582)
The Technology Select Sector SPDR Fund                      
Futures Contracts

      (5,257,173)     (5,257,173)
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THE SELECT SECTOR SPDR TRUST
NOTES TO FINANCIAL STATEMENTS  (continued)
September 30, 2022

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 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 year ended September 30, 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.
Effective 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 participating affiliated 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.
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THE SELECT SECTOR SPDR TRUST
NOTES TO FINANCIAL STATEMENTS  (continued)
September 30, 2022

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 year ended September 30, 2022, are disclosed in the Funds' respective Schedules of Investments.
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, 2022, the Board limited each Fund's 12b-1 fee to an annual rate of 0.02% of its average daily net assets (prior to February 1, 2022, each applicable Fund's 12b-1 fee was limited to an annual rate of 0.03% of its average daily net assets). This limitation is in effect 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. Effective January 1, 2022, each Fund pays 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 is 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. Prior to January 1, 2022, the Trust paid 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. Each Fund paid its proportionate share of the annual sub-license fees based on the relative net assets of each Fund. Under each scenario, fees to S& P are generally paid quarterly.
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 year ended September 30, 2022, were as follows:
  Purchases   Sales
The Communication Services Select Sector SPDR Fund

$2,400,560,611   $2,417,232,523
The Consumer Discretionary Select Sector SPDR Fund

4,045,300,743   4,080,565,405
The Consumer Staples Select Sector SPDR Fund

1,621,124,686   1,635,523,718
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THE SELECT SECTOR SPDR TRUST
NOTES TO FINANCIAL STATEMENTS  (continued)
September 30, 2022

  Purchases   Sales
The Energy Select Sector SPDR Fund

$3,200,107,155   $3,058,748,020
The Financial Select Sector SPDR Fund

1,577,408,160   1,569,812,351
The Health Care Select Sector SPDR Fund

771,790,075   795,743,708
The Industrial Select Sector SPDR Fund

1,065,853,795   1,028,521,289
The Materials Select Sector SPDR Fund

144,531,616   138,328,047
The Real Estate Select Sector SPDR Fund

611,937,453   582,695,309
The Technology Select Sector SPDR Fund

4,092,245,819   3,800,625,349
The Utilities Select Sector SPDR Fund

614,142,896   594,146,780
For the year ended September 30, 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

$ 7,897,395,051   $ 9,933,861,289   $1,706,260,159
The Consumer Discretionary Select Sector SPDR Fund

14,695,589,984   15,919,435,259   2,646,179,518
The Consumer Staples Select Sector SPDR Fund

21,844,567,667   18,250,343,511   1,076,507,407
The Energy Select Sector SPDR Fund

29,994,676,504   31,560,669,710   9,015,100,583
The Financial Select Sector SPDR Fund

38,546,032,338   44,019,033,634   3,126,080,025
The Health Care Select Sector SPDR Fund

25,630,292,202   17,764,307,428   3,277,570,407
The Industrial Select Sector SPDR Fund

14,343,860,221   18,465,375,833   1,216,934,513
The Materials Select Sector SPDR Fund

6,896,502,406   8,780,607,882   423,526,507
The Real Estate Select Sector SPDR Fund

5,035,920,648   3,538,251,807   316,274,334
The Technology Select Sector SPDR Fund

21,515,208,451   19,621,716,486   8,496,521,113
The Utilities Select Sector SPDR Fund

18,162,796,774   13,825,153,377   776,955,041
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 of 1986, as amended. Each Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.
The Funds file federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA
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THE SELECT SECTOR SPDR TRUST
NOTES TO FINANCIAL STATEMENTS  (continued)
September 30, 2022

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.
Certain capital accounts in the financial statements have been adjusted for permanent book-tax differences. These adjustments have no impact on net asset values or results of operations. Temporary book-tax differences will reverse in the future. These book-tax differences are primarily due to differing treatments for in-kind transactions, nontaxable dividend adjustments to income, future contracts, corporate actions, wash sale loss deferrals and distributions in excess of current earnings.    
The tax character of distributions paid during the year ended September 30, 2022, was as follows:
  Ordinary
Income
  Long-Term
Capital Gains
  Total
The Communication Services Select Sector SPDR Fund

$ 98,460,012   $—   $ 98,460,012
The Consumer Discretionary Select Sector SPDR Fund

129,853,122     129,853,122
The Consumer Staples Select Sector SPDR Fund

366,815,541     366,815,541
The Energy Select Sector SPDR Fund

1,446,908,773     1,446,908,773
The Financial Select Sector SPDR Fund

694,964,954     694,964,954
The Health Care Select Sector SPDR Fund

547,486,712     547,486,712
The Industrial Select Sector SPDR Fund

231,405,184     231,405,184
The Materials Select Sector SPDR Fund

140,291,094     140,291,094
The Real Estate Select Sector SPDR Fund

165,006,172     165,006,172
The Technology Select Sector SPDR Fund

369,413,320     369,413,320
The Utilities Select Sector SPDR Fund

430,630,955     430,630,955
The tax character of distributions paid during the year ended September 30, 2021, was as follows:
  Ordinary
Income
  Long-Term
Capital Gains
  Total
The Communication Services Select Sector SPDR Fund

$ 93,350,467   $ —   $ 93,350,467
The Consumer Discretionary Select Sector SPDR Fund

123,348,978     123,348,978
The Consumer Staples Select Sector SPDR Fund

330,192,564     330,192,564
The Energy Select Sector SPDR Fund

933,129,989     933,129,989
The Financial Select Sector SPDR Fund

620,652,967     620,652,967
The Health Care Select Sector SPDR Fund

409,925,315     409,925,315
The Industrial Select Sector SPDR Fund

241,943,347     241,943,347
The Materials Select Sector SPDR Fund

127,713,864     127,713,864
The Real Estate Select Sector SPDR Fund

97,886,559     97,886,559
The Technology Select Sector SPDR Fund

316,074,902     316,074,902
The Utilities Select Sector SPDR Fund

374,646,864     374,646,864
At September 30, 2022, the components of distributable earnings on a tax basis were as follows:
  Undistributed
Ordinary Income
  Capital Loss
Carryforwards
  Undistributed
Long-Term
Capital Gains
  Net Unrealized
Gains (Losses)
  Total
The Communication Services Select Sector SPDR Fund

$ 6,100,960   $(1,058,265,318)   $—   $(4,247,199,153)   $(5,299,363,511)
The Consumer Discretionary Select Sector SPDR Fund

22,451,567   (2,479,550,747)     (3,743,753,069)   (6,200,852,249)
The Consumer Staples Select Sector SPDR Fund

  (1,215,383,250)     (2,583,259,726)   (3,798,642,976)
The Energy Select Sector SPDR Fund

15,778,019   (7,655,087,119)     155,012,892   (7,484,296,208)
The Financial Select Sector SPDR Fund

55,491,185   (1,161,950,471)     (8,593,309,083)   (9,699,768,369)
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THE SELECT SECTOR SPDR TRUST
NOTES TO FINANCIAL STATEMENTS  (continued)
September 30, 2022

  Undistributed
Ordinary Income
  Capital Loss
Carryforwards
  Undistributed
Long-Term
Capital Gains
  Net Unrealized
Gains (Losses)
  Total
The Health Care Select Sector SPDR Fund

$21,342,739   (1,061,981,005)   $—   (4,054,763,611)   (5,095,401,877)
The Industrial Select Sector SPDR Fund

5,907,545   (688,151,217)     (4,337,962,316)   (5,020,205,988)
The Materials Select Sector SPDR Fund

8,358,565   (935,454,824)     (1,652,723,304)   (2,579,819,563)
The Real Estate Select Sector SPDR Fund

  (163,435,208)     (1,442,723,168)   (1,606,158,376)
The Technology Select Sector SPDR Fund

9,862,133   (1,609,576,367)     (6,115,184,794)   (7,714,899,028)
The Utilities Select Sector SPDR Fund

  (902,338,736)     (1,914,001,099)   (2,816,339,835)
As of September 30, 2022, the following Funds had capital loss carryforwards available to offset future realized capital gains as follows:
  Non-Expiring
Short Term
  Non-Expiring
Long Term
The Communication Services Select Sector SPDR Fund

$ 478,335,316   $ 579,930,002
The Consumer Discretionary Select Sector SPDR Fund

1,087,104,772   1,392,445,975
The Consumer Staples Select Sector SPDR Fund

197,970,574   1,017,412,676
The Energy Select Sector SPDR Fund

474,850,653   7,180,236,466
The Financial Select Sector SPDR Fund

638,706,094   523,244,377
The Health Care Select Sector SPDR Fund

188,196,482   873,784,523
The Industrial Select Sector SPDR Fund

179,561,770   508,589,447
The Materials Select Sector SPDR Fund

280,050,292   655,404,532
The Real Estate Select Sector SPDR Fund

119,045,170   44,390,038
The Technology Select Sector SPDR Fund

780,235,154   829,341,213
The Utilities Select Sector SPDR Fund

198,660,808   703,677,928
As of September 30, 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

$11,876,733,278   $ 19,847,687   $4,267,046,865   $(4,247,199,178)
The Consumer Discretionary Select Sector SPDR Fund

17,957,410,620   69,752,340   3,813,505,411   (3,743,753,071)
The Consumer Staples Select Sector SPDR Fund

17,031,429,390   32,920,122   2,616,179,847   (2,583,259,725)
The Energy Select Sector SPDR Fund

33,436,626,826   1,790,298,420   1,635,285,528   155,012,892
The Financial Select Sector SPDR Fund

35,651,159,167   27,029,139   8,620,338,222   (8,593,309,083)
The Health Care Select Sector SPDR Fund

39,995,266,391   1,228,736,334   5,283,499,944   (4,054,763,610)
The Industrial Select Sector SPDR Fund

15,541,196,775   19,702,601   4,357,664,339   (4,337,961,738)
The Materials Select Sector SPDR Fund

6,347,831,071   43,213,787   1,695,937,091   (1,652,723,304)
The Real Estate Select Sector SPDR Fund

6,039,092,632     1,442,721,665   (1,442,721,665)
The Technology Select Sector SPDR Fund

41,912,109,129   526,026,598   6,641,211,392   (6,115,184,794)
The Utilities Select Sector SPDR Fund

18,133,288,026   143,415,551   2,057,416,649   (1,914,001,098)
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
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NOTES TO FINANCIAL STATEMENTS  (continued)
September 30, 2022

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 September 30, 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 each Fund's securities lending agreements and related cash and non-cash collateral received as of September 30, 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

  $ 59,778,853   $ 51,992,399   $ 11,046,087   $ 63,038,486
The Consumer Discretionary Select Sector SPDR Fund

  194,888,318   115,679,767   97,841,026   213,520,793
The Consumer Staples Select Sector SPDR Fund

  24,240,601   24,693,312     24,693,312
The Energy Select Sector SPDR Fund

  49,641,479   32,065,518   19,073,410   51,138,928
The Financial Select Sector SPDR Fund

  121,823,457   122,805,648   3,893,275   126,698,923
The Health Care Select Sector SPDR Fund

  177,843,167   158,598,098   25,846,652   184,444,750
The Industrial Select Sector SPDR Fund

  128,835,712   107,539,396   24,584,795   132,124,191
The Materials Select Sector SPDR Fund

  367,232     370,500   370,500
The Technology Select Sector SPDR Fund

  210,639,808   94,660,055   124,016,699   218,676,754
The Utilities Select Sector SPDR Fund

  95,823,575   92,621,035   7,572,325   100,193,360
* The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities.
The following table reflects a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged or securities loaned, and the remaining contractual maturity of those transactions as of September 30, 2022:
        Remaining Contractual Maturity of the Agreements
as of September 30, 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   $ 51,992,399   $—   $—   $—   $ 51,992,399   $ 51,992,399
The Consumer Discretionary Select Sector SPDR Fund

  Common Stocks   115,679,767         115,679,767   115,679,767
The Consumer Staples Select Sector SPDR Fund

  Common Stocks   24,693,312         24,693,312   24,693,312
The Energy Select Sector SPDR Fund

  Common Stocks   32,065,518         32,065,518   32,065,518
The Financial Select Sector SPDR Fund

  Common Stocks   122,805,648         122,805,648   122,805,648
The Health Care Select Sector SPDR Fund

  Common Stocks   158,598,098         158,598,098   158,598,098
The Industrial Select Sector SPDR Fund

  Common Stocks   107,539,396         107,539,396   107,539,396
The Technology Select Sector SPDR Fund

  Common Stocks   94,660,055         94,660,055   94,660,055
The Utilities Select Sector SPDR Fund

  Common Stocks   92,621,035         92,621,035   92,621,035
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NOTES TO FINANCIAL STATEMENTS  (continued)
September 30, 2022

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, such as COVID-19, or other public health issues, or other events could have a significant impact on a Fund and its investments.
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.
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THE SELECT SECTOR SPDR TRUST
REPORT OF INDEPENDENT REGISTERED PUBLIC
ACCOUNTING FIRM

To the Shareholders and the Board of Trustees of Select Sector SPDR Trust:
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of The Select Sector SPDR Trust (the “Trust”) (comprising 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 and The Utilities Select Sector SPDR Fund (collectively referred to as the “Funds”)), including the schedules of investments, as of September 30, 2022, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the three years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds comprising The Select Sector SPDR Trust at September 30, 2022, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and their financial highlights for each of the three years in the period then ended, in conformity with U.S. generally accepted accounting principles.
The financial highlights for periods ended prior to October 1, 2019 were audited by another independent registered public accounting firm whose report, dated November 26, 2019, expressed an unqualified opinion on those financial highlights.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2022, by correspondence with the custodian, brokers and others; when replies were not received from brokers and others, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more State Street Global Advisors investment companies since 2000.
Boston, Massachusetts
November 23, 2022
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THE SELECT SECTOR SPDR TRUST
OTHER INFORMATION
September 30, 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 April 1, 2022 to September 30, 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

0.10%   $ 699.60   $0.43   $1,024.60   $0.51
The Consumer Discretionary Select Sector SPDR Fund

0.10   773.70   0.44   1,024.60   0.51
The Consumer Staples Select Sector SPDR Fund

0.10   892.60   0.47   1,024.60   0.51
The Energy Select Sector SPDR Fund

0.10   1,036.60   0.51   1,024.60   0.51
The Financial Select Sector SPDR Fund

0.10   1,000.00   0.50   1,024.60   0.51
The Health Care Select Sector SPDR Fund

0.10   891.90   0.47   1,024.60   0.51
The Industrial Select Sector SPDR Fund

0.10   811.80   0.45   1,024.60   0.51
The Materials Select Sector SPDR Fund

0.10   781.20   0.45   1,024.60   0.51
The Real Estate Select Sector SPDR Fund

0.10   758.30   0.44   1,024.60   0.51
The Technology Select Sector SPDR Fund

0.10   751.90   0.44   1,024.60   0.51
The Utilities Select Sector SPDR Fund

0.10   1,000.00   0.50   1,024.60   0.51
(a) Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 183, then divided by 365.
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OTHER INFORMATION  (continued)
September 30, 2022 (Unaudited)

Tax Information
For federal income tax purposes, the following information is furnished with respect to the distributions of the Trust for its fiscal year ended September 30, 2022.
Dividends Received Deduction
Each Fund reports the maximum amount allowable of its net taxable income as eligible for the corporate dividends received deduction.
Qualified Dividend Income
A portion of dividends distributed by the Funds during the fiscal year ended September 30, 2022 are considered qualified dividend income and are eligible for reduced tax rates. Each Fund reports the maximum amount allowable of its net taxable income as qualified dividend income as provided in the Jobs and Growth Tax Relief Reconciliation Act of 2003.
Qualified Business Income Deduction
Each Fund reports the maximum amount allowable of qualified REIT dividends eligible for the qualified business income deduction under Section 199A.
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.
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).
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OTHER INFORMATION  (continued)
September 30, 2022 (Unaudited)

Advisory Contract Renewal
At a meeting held on May 5, 2022 (the “May Meeting”), the Board of Trustees of The Select Sector SPDR® Trust (the “Trust”) considered the renewal of the Amended and Restated Investment Advisory Agreement dated December 1, 2003, as amended effective June 18, 2018 (the “Agreement”), between the Trust and SSGA Funds Management, Inc. (the “Adviser”) with respect to each series of the Trust (each a “Fund” and collectively, the “Funds”). The Trustees who are not “interested persons” of the Trust within the meaning of the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Trustees”), also met separately with their independent legal counsel prior to a meeting held on April 13, 2022 (the “April Meeting”) to consider the Agreement and the materials provided by the Adviser and State Street Bank and Trust Company (“State Street”) in response to a request from independent legal counsel on their behalf. The April Meeting included a presentation by representatives of the Adviser and State Street during which the Independent Trustees and independent legal counsel were able to pose questions. Following the April Meeting, independent legal counsel on behalf of the Independent Trustees requested certain clarifications and supplements to the materials provided, and those materials were considered at the May Meeting, prior to which the Independent Trustees met separately with their independent legal counsel. In deciding whether to renew the Agreement, the Trustees considered various factors, including, among others, (i) the nature, extent and quality of the services provided by the Adviser under the Agreement, (ii) the investment performance of the Funds, (iii) the costs to the Adviser of its services and the profits and other benefits realized by the Adviser and its affiliate, State Street, from their relationships with the Trust, and (iv) the extent to which economies of scale would be realized if and as the Funds grow and whether the fee levels in the Agreement reflect a sharing of any such economies of scale.
Nature, Extent and Quality of Services
In considering the nature, extent and quality of the services provided by the Adviser, the Trustees relied on their prior experience as Trustees of the Trust, as well as on the materials provided at their regular quarterly board meetings and those provided specifically for purposes of reviewing the Agreement. They noted that under the Agreement the Adviser is responsible for: (i) managing the investment operations of each of the Funds in accordance with the Fund’s investment objective and policies, applicable legal and regulatory requirements, and the instructions of the Trustees; (ii) providing necessary and appropriate reports and information to the Trustees; (iii) maintaining all necessary books and records pertaining to the Trust’s securities transactions; and (iv) furnishing each Fund with the assistance, cooperation and information necessary for the Fund to meet various legal requirements regarding registration and reporting. They noted the distinctive nature of the Funds, as exchange-traded funds (“ETFs”) investing in sectors of the S&P 500 Index, and the experience and expertise appropriate in an adviser to funds of that nature. The Trustees reviewed the background and experience of the Adviser’s senior management, including those individuals responsible for the investment and compliance operations of the Trust, and the responsibilities of the latter with respect to the Funds. They also considered the resources, operational structures and practices of the Adviser in managing the Funds’ portfolios, in monitoring and securing each Fund’s compliance with its investment objective and policies and with applicable law and regulations, and in seeking best execution of portfolio transactions. Drawing upon the materials provided and their general knowledge of the business of the Adviser and its affiliate, State Street Global Advisors, with which the Adviser shares all of its senior personnel, the Trustees took into account the experience, resources and strength of the Adviser and its affiliates in the areas of indexed products generally, and ETFs in particular. On the basis of this review, the Trustees determined that the nature and extent of the services provided by the Adviser to the Trust were appropriate, had been of high quality during the past year, and could be expected to remain so.
Investment Performance of the Funds
The Trustees noted that, in view of the distinctive investment objective of each Fund, the investment performance of the Funds in absolute terms was not of the importance that normally attaches to the performance of actively managed funds. Of more importance to the Trustees was the extent to which each Fund achieved its objective to provide investment results that, before expenses, correspond generally to the price and yield performance of publicly traded equity securities of companies in its applicable index. Drawing upon information provided at the April Meeting and at the May Meeting, and upon reports provided to the Trustees by the Adviser throughout the preceding year, the Trustees determined that the Funds had tracked their sector indexes within an acceptable range; they further concluded, on the basis of the data available (see discussion in “Comparison of Fees and Expense Ratios” below), that the expense ratio of each Fund was competitive with its peers. Accordingly, they concluded that the performance of each Fund was satisfactory.
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OTHER INFORMATION  (continued)
September 30, 2022 (Unaudited)

Profitability to the Adviser and its Affiliates
The Trustees considered the profitability of the advisory arrangement with the Funds to the Adviser and of the Trust’s relationship with the Adviser’s affiliate, State Street, in its role as Sub-Administrator, Transfer Agent, Custodian, Fund Accountant and Securities Lending Agent. The Trustees received data on the Funds’ profitability to the Adviser for calendar year 2021 as well as 2020 profitability data, along with data on the Trust’s profitability to State Street for the same and prior periods. The Trustees reviewed with representatives from both the Adviser and State Street the methods by which expenses were allocated to the Trust and to each of the Funds. The Trustees noted that advisor profitability increased in 2021 for the Financials, Materials, and Energy Funds, primarily due to strong flows into the Funds and strong market appreciation. On the basis of this information and discussions at the April Meeting and the May Meeting, the Trustees concluded that, to the extent that the Adviser’s and State Street’s relationships with the Trust had been profitable to either or both of those entities, the profitability at current asset levels was not such as to render the advisory fee excessive.
Other Benefits to the Adviser or its Affiliates
In considering whether the Adviser benefits in other ways from its relationship with the Trust, the Trustees noted that the Adviser does not currently use the Funds’ assets for, or participate in, third party soft dollar arrangements. It was further noted that the Trust’s brokerage transactions are not effected through the Adviser or any of its affiliates. The Trustees noted that the Adviser serves as Administrator to the Trust and that State Street, an affiliate of the Adviser, serves the Trust as Sub-Administrator, Transfer Agent, Custodian, Fund Accountant and Securities Lending Agent. The Trustees also noted that, based on their review of the arrangements for those services, any benefit the Adviser or the Adviser’s affiliate receives or had received from providing those services appears to be appropriate. The Trustees concluded that, to the extent that the Adviser or its affiliates derive other benefits or will derive other benefits from their relationships with the Trust, those benefits are not such as to render the Adviser’s fees excessive.
Economies of Scale
On the basis of their discussions with management and their analysis of information provided at and prior to the May Meeting, the Trustees determined that the nature of the Funds and their operations is such that the potential exists for the Adviser to realize economies of scale in the management of the Funds as the Funds grow in size. They were also of the view that these economies of scale were being shared with the Funds by virtue of an advisory fee, set at a relatively low level since the inception of the Trust, that subsumed economies of scale in the fee itself. Furthermore, the Trustees took into consideration the fact that, in order to ensure that if and as the Funds grow in size the economies of scale resulting from this growth would be shared with the Funds, the Adviser and State Street had each previously agreed to institute breakpoints in their respective fee schedules.
Comparison of Fees and Expense Ratios
In order better to evaluate the Funds’ advisory fee, the Independent Trustees requested information with respect to expense ratios and advisory fees of comparable funds, and the Adviser provided: (1) data from Broadridge Financial Solutions, Inc. (“Broadridge”) on peer sector funds, and (2) data obtained from a Broadridge database of peer sector funds. The Independent Trustees also requested, and the Adviser provided, information on the advisory fees charged to other clients with comparable investment objectives, and reviewed the differences in services provided to such clients, including the Adviser’s institutional accounts. The Trustees found that, because of the distinctive nature of the Funds, the universe of comparable funds and accounts was limited. Moreover, they noted that because many ETFs pay a unitary advisory fee, encompassing all or virtually all of the ETFs’ operating expenses, while each Fund’s advisory fee covered only advisory services, as reflected in the materials, the Fund’s advisory fee may appear to be low relative to its ETF peers. The Trustees then reviewed comparable expense ratios and noted that the overall expense ratio of each Fund was below the average of its domestic sector ETF peers, but also noted that each Fund (other than The Real Estate Select Sector SPDR® Fund and The Technology Select Sector SPDR® Fund) continued to be larger than all of its ETF sector peers. The Independent Trustees noted that this had prompted them in past years to request that new breakpoints be added to the fee schedules of both the Agreement and the unitary fee payable under the Sub-Administration Agreement, Custodian Agreement and Transfer Agency Agreement. The Trustees noted that at current asset levels, shareholders are benefiting from breakpoints, and should continue to benefit in the future with additional growth in assets.
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OTHER INFORMATION  (continued)
September 30, 2022 (Unaudited)

Conclusion
Based on their review, the Trustees, including a majority of the Independent Trustees, as required by the 1940 Act, concluded that the terms of the Agreement are fair and reasonable and that renewal of the Agreement is in the best interests of each Fund. In deciding to approve the renewal of the Agreement, the Board did not identify any single factor or group of factors as all important or controlling and considered all factors together, and the Board did not allot a particular weight to any one factor or group of factors. They reasoned that, considered in themselves, the nature and extent of the services provided by the Adviser were appropriate, that the performance of the Funds had been satisfactory, and that the Adviser could be expected to provide services of high quality. As to the Adviser’s fees for each Fund, the Trustees determined that the fees, considered in relation to the services provided, were fair and reasonable, that the Trust’s relationship with the Adviser and State Street was not so profitable as to render the fees at current asset levels excessive, that any additional benefits to the Adviser and/or State Street were not of a magnitude to materially affect the outcome of the Trustees’ conclusions, and that, especially in light of the breakpoints in the Adviser’s and State Street’s fee schedules, the fees paid reflected a sharing of economies of scale with the Funds.
100


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THE SELECT SECTOR SPDR TRUST
OTHER INFORMATION  (continued)
September 30, 2022 (Unaudited)

TRUSTEES AND OFFICERS INFORMATION
Name, Address
and Year of Birth
  Position(s)
with Trust
  Term of
Office and
Length of
Time Served
  Principal
Occupation(s)
During Past
5 Years
  Number of
Portfolios
in Fund
Complex
Overseen
by Trustee†
  Other
Directorships
Held by Trustee
During the
Past 5 Years
Independent Trustees                    
ASHLEY T. RABUN
c/o The Select Sector
SPDR Trust
One Iron Street
Boston, MA 02210
1952
  Trustee, Chair of
the Board;
Member of the
Audit Committee,
Member of the
Nominating and
Governance Committee
  Term: Indefinite
Appointed:
October 2015
Elected: October
2021
  Retired; President and
Founder,
InvestorReach, Inc., a
financial services
consulting firm (1996
- 2015).
  11   Chairperson of the Board
and Member of the Audit,
Nominating and Valuation Committees,
Investment Managers
Series Trust (2007 -
present).
CHERYL BURGERMEISTER
c/o The Select Sector
SPDR Trust
One Iron Street
Boston, MA 02210
1951
  Trustee and Vice
Chair of the
Board, Member
of the Audit
Committee,
Chair of the
Nominating and
Governance
Committee
  Term: Indefinite
Elected: October
1998
  Retired; Finance
Committee Member,
Portland Community
College Foundation
(January 2001 –
present); CPA
(Retired).
  11   Director, Chair of
Audit Committee
and Member of the
Nominating and
Governance
Committee,
Russell Funds
Complex; Lead
Independent
Director and
Member of the
Audit and
Nominating and
Governance
Committees,
ALPS Series Trust
(2012 to 2016).
ALLISON GRANT WILLIAMS
c/o The Select Sector
SPDR Trust
One Iron Street
Boston, MA 02210
1956
  Trustee, Member of the Audit Committee, Member of the Nominating and Governance Committee   Term: Indefinite
Elected: October
2021
  Retired; Practice
Executive, Global
Strategic Relationship
Management/Asset
Management -
Corporate &
Institutional Services
(C&IS) Division,
Northern Trust
Corporation (2017 –
2021); and Chief
Operating Officer &
Chief Administrative
Officer, Institutional
Investor Group, N.A.,
C&IS Division,
Northern Trust
Corporation (2016 –
2017).
  11   Leadership Advisory
Committee (2019 - present) and
Membership
Committee Chair (2021
- present), Art Institute
of Chicago; Academic Affairs
Chair and
Executive Committee
Member (2018 -
present) and Board of
Trustees and
Investment Committee
Member (2012 -
present), Columbia
College Chicago.
101


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THE SELECT SECTOR SPDR TRUST
OTHER INFORMATION  (continued)
September 30, 2022 (Unaudited)

Name, Address
and Year of Birth
  Position(s)
with Trust
  Term of
Office and
Length of
Time Served
  Principal
Occupation(s)
During Past
5 Years
  Number of
Portfolios
in Fund
Complex
Overseen
by Trustee†
  Other
Directorships
Held by Trustee
During the
Past 5 Years
SHEILA HARTNETT-DEVLIN
c/o The Select Sector
SPDR Trust
One Iron Street
Boston, MA 02210
1958
  Trustee, Member of the Audit Committee, Member of the Nominating and Governance Committee   Term: Indefinite
Elected: October 2021
  Retired; Senior Vice
President and Head of
the U.S. Institutional
Business American
Century Investments,
Inc. (2008 – 2017).
  11   Director, South Jersey
Industries, Inc. (energy
services) (1999 - present)
and Director, Mannington
Mills (flooring products)
(2005 to present).
JAMES JESSEE
c/o The Select Sector
SPDR Trust
One Iron Street
Boston, MA 02210
1958
  Trustee, Member of the Audit Committee, Member of the Nominating and Governance Committee   Term: Indefinite
Elected: October
2021
  Retired; Strategic
Advisor, MFS
Investment Management
(2018); and Co-Head,
Global Distribution and
President MFS Fund
Distributors, Inc. (2011 –
2017).
  11   Trustee, Yieldstreet Prism
Fund (investment
company) (2019 -
present);
Trustee, Lanteri Charitable Trust (2018 - present); Director, Regional Board of Directors, BottomLine (charity) (2018 - present); Director, Invest in Others Charitable Foundation (2016 - present); Board Member, Board of Governors, Investment Company Institute (2014 - 2018); Director, Waddell & Reed Financial, Inc. (investment management) (2019 - 2021).
TERESA POLLEY
c/o The Select Sector
SPDR Trust
One Iron Street
Boston, MA 02210
1960
  Trustee, Chair of the Audit Committee, Member of the Nominating and Governance Committee   Term: Indefinite
Elected: October
2021
  Terri Polley
Consulting (2019 -
present); President and Chief Executive
Officer of the Financial
Accounting Foundation (FAF)
(2008 - 2019).
  11   Corporator, Fairfield County Bank Corporation (2019 - present); Trustee (2018 to present), Academic Affairs Committee Member (2018 - present), Audit Committee Chair (2021 - present), Executive Committee Member (2021 - present), Finance and Operations Committee Member (2018 - present), St. Francis University; Director (2010 - present), Chair (2015 - 2017), Vice Chair (2013 - 2015), Treasurer (2011 - 2013), Greater Norwalk (CT) Chamber of Commerce; Member (2020 - present), Investment Committee, Connecticut Society of CPAs; Director (2020 - present), Girl Scouts of Connecticut.
R. CHARLES TSCHAMPION
c/o The Select Sector
SPDR Trust
One Iron Street
Boston, MA 02210
1946
  Trustee, Member of the Audit Committee, Chair of the Nominating and Governance Committee
  Term: Indefinite
Elected: October
1998
  Retired.   11   Trustee Emeritus of Lehigh University; Director and Member of the Audit and Nominating Committees, db-X Exchange-Traded Funds, Inc. (2007 - 2015).
102


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THE SELECT SECTOR SPDR TRUST
OTHER INFORMATION  (continued)
September 30, 2022 (Unaudited)

Name, Address
and Year of Birth
  Position(s)
with Trust
  Term of
Office and
Length of
Time Served
  Principal
Occupation(s)
During Past
5 Years
  Number of
Portfolios
in Fund
Complex
Overseen
by Trustee†
  Other
Directorships
Held by Trustee
During the
Past 5 Years
Interested Trustees                    
JAMES E. ROSS*
c/o The Select Sector SPDR Trust
One Iron Street
Boston, MA 02210
1965
  Trustee   Term: Indefinite
Appointed:
November 2005
Elected:
October 2021
  Non-Executive Chairman, Fusion Acquisition Corp. (June 2020 - present); Retired Chairman and Director, SSGA Funds Management, Inc. (2005 - March 2020); Retired Executive Vice President, State Street Global Advisors (2012 - March 2020); Retired Chief Executive Officer and Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - March 2020);Director, State Street Global Markets, LLC (2013 - April 2017); President, SSGA Funds Management, Inc. (2005 - 2012); Principal, State Street Global Advisors (2000 - 2005).   132   SSGA SPDR
ETFs Europe I plc
(Director)
(November 2016 -
March 2020); SSGA
SPDR ETFs
Europe II plc
(Director)
(November 2016 -
March 2020); State Street Navigator Securities Lending
Trust (July 2016 - March 2020);
SSGA Funds (January 2014 - March 2020);
State Street Institutional Investment Trust
(February 2007 - March 2020);
State Street Master Funds (February 2007 - March 2020); Elfun Funds (July 2016 - December 2018).
RORY TOBIN*
c/o The Select Sector
SPDR Trust
One Iron Street
Boston, MA 02210
1965
  Trustee   Term: Indefinite
Elected: October
2021
  Executive Vice
President and Head of
Business EMEA, Head
of Global SPDR ETF,
Member of the SSGA
Global Executive
Management Group.
  11   None
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser.
* Mr. Ross and Mr. Tobin are each an “interested person” of the Trust, as defined in the 1940 Act. Mr. Ross is an “interested person”, because of his former position with the Adviser and ownership interest in an affiliate of the Adviser. Mr. Tobin is an “interested person” because of his position with an affiliate of the Adviser.
103


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THE SELECT SECTOR SPDR TRUST
OTHER INFORMATION  (continued)
September 30, 2022 (Unaudited)

Name, Address
and Year of Birth
  Position(s)
with Trust
  Term of
Office and
Length of
Time Served
  Principal Occupation(s) During the Past 5 Years
Officers            
ELLEN M. NEEDHAM
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
1967
  President and Principal Executive Officer   Term: Indefinite
Elected:
May 2013
  Chairman, SSGA Funds Management Inc.(March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present).
MICHAEL P. RILEY
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
1969
  Vice
President
  Term: Indefinite
Elected:
February 2005
  Managing Director, State Street Global Advisors (2005 - present).*
CHAD C. HALLETT
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
1969
  Treasurer and
Principal Financial Officer
  Term: Indefinite
Elected:
November 2007
  Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 - present); Vice President, State Street Bank and Trust Company (2001 - November 2014).*
ANN M. CARPENTER
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
1966
  Deputy
Treasurer
  Term: Indefinite
Elected:
April 2015
  Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - Present)*; Managing Director, State Street Global Advisors (April 2005 - present).*
BRUCE S. ROSENBERG
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
1961
  Deputy
Treasurer
  Term: Indefinite
Elected:
February 2016
  Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015).
DARLENE ANDERSON-VASQUEZ
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
1968
  Deputy
Treasurer
  Term: Indefinite
Elected:
February 2017
  Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 - present); Senior Vice President, John Hancock Investments (September 2007 - May 2016).
ARTHUR A. JENSEN
SSGA Funds Management, Inc.
1600 Summer Street
Stamford, CT 06905
1966
  Deputy
Treasurer
  Term: Indefinite
Elected:
November 2017
  Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 - present);

Mutual Funds Controller, GE Asset Management Incorporated (April 2011 - July 2016).
DAVID LANCASTER
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
1971
  Assistant
Treasurer
  Term: Indefinite
Elected:
November 2020
  Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011 - July 2017).*
RYAN HILL
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
1982
  Assistant Treasurer   Term: Indefinite Elected: May 2022   Vice President, State Street Global Advisors ( 2017 - present); State Street Bank and Trust (2008 - 2017).
JOHN BETTENCOURT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1976   Assistant Treasurer   Term: Indefinite Elected: May 2022   Vice President, State Street Global Advisors ( 2007 - present); State Street Bank and Trust (1999 - 2007).
SEAN O’MALLEY

SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
1969
  Chief
Legal
Officer
  Term: Indefinite
Elected:
August 2019
  Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 - present).
104


Table of Contents
THE SELECT SECTOR SPDR TRUST
OTHER INFORMATION  (continued)
September 30, 2022 (Unaudited)

Name, Address
and Year of Birth
  Position(s)
with Trust
  Term of
Office and
Length of
Time Served
  Principal Occupation(s) During the Past 5 Years
DAVID BARR
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
1974
  Assistant
Secretary
  Term: Indefinite
Elected:
November 2020
  Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President and Council, Eaton Vance Corp. (October 2010 - October 2019).
DAVID URMAN
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
1985
  Assistant
Secretary
  Term: Indefinite
Elected:
August 2019
  Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015).
BRIAN HARRIS
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
1973
  Chief Compliance
Officer; Anti-
Money
Laundering
Officer and Code of
Ethics
Compliance
Officer
  Term: Indefinite
Elected:
November 2013
  Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present)*.
 * Served in various capacities and/or with various affiliated entities during the noted time period.
The Trust's Statement of Additional Information (SAI) includes additional information about the Funds' Trustees and is available, without charge, upon request and by calling 1-866-787-2257.
105


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Table of Contents
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.


Table of Contents
Visit www.sectorspdr.com or call 1-866-SECTOR-ETF (1-866-732-8673)
SPDRSSAR


(b) Not applicable.

Item 2. Code of Ethics.

As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party (the “Code of Ethics”). During the period covered by this report, no substantive amendments were made to the Code of Ethics. During the period covered by this report, the registrant did not grant any waivers, including any implicit waivers, from any provision of the Code of Ethics.

The Code of Ethics is attached hereto as Exhibit 13(a)(1).

Item 3. Audit Committee Financial Expert.

(a)(1) The Board of Trustees of the registrant has determined that the registrant has four Board members serving on the Audit Committee that possess the attributes identified in Instructions 2(b) of Item 3 to Form N-CSR to qualify as an “audit committee financial expert.”

(2) R. Charles Tschampion and Teresa S. Polley are the registrant’s audit committee financial experts. The Board has determined that each of the foregoing persons is “independent” in that, (i) other than in his or her capacity as a member of the Audit Committee and the Board of Trustees of the registrant, he or she has not accepted, directly or indirectly, any consulting, advisory or other compensatory fee from the registrant, and (ii) he or she is not an “interested person” of the registrant as defined in Section 2(a)(19) of the Investment Company Act of 1940, as amended (the “1940 Act”).

Item 4. Principal Accountant Fees and Services.

(a) Audit Fees.

For the fiscal years ended September 30, 2022 and September 30, 2021, the aggregate audit fees billed for professional services rendered by Ernst & Young LLP (“E&Y”), the Trust’s principal accountant, for the audit of the Trust’s annual financial statements or services normally provided by E&Y in connection with the Trust’s statutory and regulatory filings and engagements were $218,196 and $176,000, respectively.

The nature of the services are (1) auditing of the statements of assets and liabilities, related statements of operations and changes in net assets, and the financial highlights of each series of the registrant; (2) auditing and reporting on the financial statements to be included in the amendment to the registrant’s registration statement on Form N-1A to be filed with the Securities and Exchange Commission; (3) review of the amendment to the registration statement; (4) issuance of a Report on Internal Control for inclusion in the registrant’s Form N-CSR and (5) Rule 17f-2 securities counts.

(b) Audit-Related Fees.

For the fiscal years ending September 30, 2022 and September 30, 2021, there were no fees for assurance and related services that were reasonably related to the performance of the audit of the Trust’s financial statements that were not reported under paragraph (a) of this Item.


(c) Tax Fees.

For the fiscal years ended September 30, 2022 and September 30, 2021, the aggregate tax fees billed were $24,024 and $60,060, respectively. Tax services related to the review of year-end distribution requirements for the fiscal year ended September 30, 2022 and the review of year-end distribution requirements as well as tax compliance, tax advice, and tax planning in the form of preparation of excise filings and income tax returns for the fiscal year ended September 30, 2021.

(d) All Other Fees.

For the fiscal years ended September 30, 2022 and September 30, 2021, there were no fees billed for professional services rendered by E&Y for products and services provided by E&Y to the Trust, other than the services reported in paragraphs (a) through (c).

For the fiscal years ended September 30, 2022 and September 30, 2021, the aggregate fees for professional services rendered by E&Y for products and services provided by E&Y to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the Trust that (i) relate directly to the operations and financial reporting of the Trust and (ii) were pre-approved by the Audit Committee were approximately $9,327,125 and $8,904,469, respectively.

(e)(1) Audit Committee Pre-Approval Policies and Procedures.

The registrant’s Audit Committee Charter states the following with respect to pre-approval procedures:

Before the independent auditors are engaged by the Trust to render audit or non-audit services, either:

 

  (a)

The Audit Committee shall pre-approve all auditing services and permissible non-audit services (e.g., tax services) provided to the Trust. The Audit Committee may delegate to one or more of its members the authority to grant pre-approvals. Any decision of any member to whom authority is delegated under this section shall be presented to the full Audit Committee at its next regularly scheduled meeting; or

 

  (b)

The engagement to render the auditing service or permissible non-audit service is entered into pursuant to pre-approval policies and procedures established by the Audit Committee. Any such policies and procedures must (1) be detailed as to the particular service and (2) not involve any delegation of the Audit Committee’s responsibilities to the investment adviser. The Audit Committee must be informed of each service entered into pursuant to the policies and procedures. A copy of any such policies and procedures shall be attached as an exhibit to the Audit Committee Charter.

 

  (c)

De Minimis Exceptions to Pre-Approval Requirements. Pre-Approval for a service provided to the Trust other than audit, review or attest services is not required if: (1) the aggregate amount of all such non-audit services provided to the Trust constitutes not more than 5 percent of the total amount of revenues paid by the Trust to the independent auditors during the fiscal year in which the non-audit services are provided; (2) such services were not recognized by the Trust at the time of the engagement to be non-audit services; and (3) such services are promptly brought to the attention of the Audit Committee and are approved by the Audit Committee or by one or more members of the Audit Committee to whom authority to grant such approvals has been delegated by the Audit Committee prior to the completion of the audit.

 

  (d)

Pre-Approval of Non-Audit Services Provided to the investment adviser and Certain Control Persons. The Audit Committee shall pre-approve any non-audit services proposed to be provided by the independent auditors to (a) the investment adviser and (b) any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Trust, if the independent auditors’ engagement with the investment adviser or any such control persons relates directly to the operations and financial reporting of the Trust. It shall be the responsibility of the independent auditors to notify the Audit Committee of any non-audit services that need to be pre-approved.


  (e)

Application of De Minimis Exception. The De Minimis exception set forth above applies to pre-approvals under this Section as well, except that the “total amount of revenues” calculation is based on the total amount of revenues paid to the independent auditors by the Trust and any other entity that has its services approved under this Section (i.e., the investment adviser or any control person).

(e)(2) Percentage of Services.

None of the services described in paragraphs (b) through (d) of this Item were performed in reliance on paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X during the period of time for which such rule was effective.

(f) Not applicable.

(g) Total Fees Paid By Adviser and Certain Affiliates

The aggregate non-audit fees billed for by E&Y for services rendered to the Trust and the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provided ongoing services to the Trust were as follows:

 

     FY 2022
(in millions)
    FY 2021
(in millions)
 

Non audit services billed to:

    

Registrant:

     See Item 4 (c)      See Item 4 (c) 

Investment Adviser:

     —         —    

Other entities in the Investment Company Complex (1)(2):

 

Audit Related Fees

   $ 18.1     $ 18.4  

Tax Fees

   $ 5.4     $ 4.4  

All Other Fees

   $ 14.5     $ 14.5  

 

(1) 

Information is for the calendar years 2022 and 2021, respectively.

(2) 

Services under the caption Audit-Related Fees consisted principally of reports on the processing of transactions by servicing organizations, audits of employee benefit plan, non-statutory audits and due diligence procedures. Services under the caption Tax Fees consisted principally of expatriate, compliance and corporate tax advisory services. Services under the caption All Other Fees primarily related to statutory and financial statement audits and the requirement to opine on the design and operating effectiveness of internal control over financial reporting.

(h) The registrant’s principal accountant notified the registrant’s Audit Committee of all non-audit services that were rendered by the principal accountant to the registrant’s adviser and any entity controlling, controlled by, or under common control with the adviser that provides services to the registrant, which services were not required to be pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, allowing the registrant’s Audit Committee to consider whether such services were compatible with maintaining the principal accountant’s independence.


(i) Not applicable.

(j) Not applicable.

Item 5. Audit Committee of Listed Registrants.

The registrant has an audit committee which was established by the Board of Trustees of the registrant in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934, as amended (the “1934 Act”). The members of the registrant’s audit committee are Cheryl Burgermeister, Ashley T. Rabun, Allison Grant Williams, Sheila Harnett-Devlin, James Jessee, Theresa Polley and R. Charles Tschampion.

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 registrant’s Board.

Item 11. Controls and Procedures.

(a) Within 90 days of the filing date of this Form N-CSR, Ellen M. Needham, the registrant’s President and Principal Executive Officer, and Chad C. Hallett, the registrant’s Treasurer and Principal Financial Officer, reviewed the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, 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 registrant’s 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 registrant’s 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) Code of Ethics referred to in Item 2.

(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:   December 7, 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:   December 7, 2022

 


ATTACHMENTS / EXHIBITS

ATTACHMENTS / EXHIBITS

CODE OF ETHICS

SECTION 302 CERTIFICATIONS

SECTION 906 CERTIFICATIONS