Form N-30D SPDR S&P 500 ETF TRUST For: Sep 30
Annual Report
September 30, 2021
SPDR® S&P 500® ETF Trust
A Unit Investment Trust
“Standard & Poor’s®”, “S&P®”, “S&P 500®”, “Standard & Poor’s 500®”, “500®”, “Standard & Poor’s Depositary Receipts®”, “SPDR®” and “SPDRs®” are trademarks of Standard & Poor’s Financial Services
LLC and have been licensed for use by S&P Dow Jones Indices LLC (“S&P”) and sublicensed for use by State Street Global Advisors Funds Distributors, LLC.
SPDR® S&P 500® ETF Trust is permitted to use these trademarks pursuant to a sublicense from
State Street Global Advisors Funds Distributors, LLC. SPDR® S&P 500® ETF Trust is not
sponsored, endorsed, sold or promoted by S&P, its affiliates or its third party licensors.
SPDR S&P 500® ETF Trust
Trust Overview
INVESTMENT OBJECTIVE
SPDR S&P 500® ETF Trust (the “Trust”) seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of the S&P 500® Index (the “Index”).
INVESTMENT STRATEGY
The Trust seeks to achieve this investment objective by
holding a portfolio of the common stocks that are included in the Index (the “Portfolio”), with the weight of each stock in the Portfolio substantially corresponding to the weight of such stock in the Index.
PERFORMANCE OVERVIEW
The Trust ended its fiscal year on September 30, 2021,
with a 12-month total return of 29.79% based on net asset value (“NAV”), as compared to the Index return of 30.00%.
The Trust’s performance reflects the operating
expenses of the Trust, including brokerage expenses, marketing expenses, license fees, expenses relating to legal and audit services and Trustee fees. The Trust’s performance also reflects the impact of an expense waiver, and without this
waiver, such performance would be lower. Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
SPDR S&P 500® ETF Trust
Annual Report
September 30, 2021
Table of
Contents
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SPDR S&P 500® ETF Trust
Schedule of Investments
September 30, 2021
See accompanying notes to financial statements.
1
SPDR S&P 500® ETF Trust
Schedule of Investments (continued)
September 30, 2021
See accompanying notes to financial statements.
2
SPDR S&P 500® ETF Trust
Schedule of Investments (continued)
September 30, 2021
See accompanying notes to financial statements.
3
SPDR S&P 500® ETF Trust
Schedule of Investments (continued)
September 30, 2021
See accompanying notes to financial statements.
4
SPDR S&P 500® ETF Trust
Schedule of Investments (continued)
September 30, 2021
See accompanying notes to financial statements.
5
SPDR S&P 500® ETF Trust
Schedule of Investments (continued)
September 30, 2021
See accompanying notes to financial statements.
6
SPDR S&P 500® ETF Trust
Schedule of Investments (continued)
September 30, 2021
See accompanying notes to financial statements.
7
SPDR S&P 500® ETF Trust
Schedule of Investments (continued)
September 30, 2021
See accompanying notes to financial statements.
8
SPDR S&P 500® ETF Trust
Schedule of Investments (continued)
September 30, 2021
The following table summarizes the value of the
Trust’s investments according to the fair value hierarchy as of September 30, 2021.
Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total |
ASSETS: | ||||
INVESTMENTS: | ||||
Common Stocks | 384,802,190,946 | $— | $— | 384,802,190,946 |
See accompanying notes to financial statements.
9
SPDR S&P 500® ETF Trust
Schedule of Investments (continued)
September 30, 2021
INVESTMENTS IN AFFILIATES OF THE TRUSTEE AND THE
SPONSOR
SPDR S&P 500® ETF Trust has invested in State Street Corp., which is considered an affiliate of the Trustee and Intercontinental Exchange, Inc., which is considered an affiliate of the
Sponsor. Amounts related to these investments at September 30, 2021 and for the year then ended are (Note 3):
Number
of Shares Held at 9/30/20 |
Value
at 9/30/20 |
Cost
of Purchases* |
Proceeds
from Shares Sold* |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 9/30/21 |
Value
at 9/30/21 |
Dividend
Income | ||||||
Intercontinental Exchange,
Inc. |
5,919,844 | $592,280,392 | $613,033,804 | $610,707,388 | $114,428,631 | $(27,983,020) | 5,931,479 | $ 681,052,419 | $ 7,452,209 | |||||
State Street
Corp. |
3,723,303 | 220,903,567 | 290,400,708 | 276,829,931 | (5,672,710) | 97,440,006 | 3,850,822 | 326,241,640 | 7,869,217 | |||||
TOTAL |
$813,183,959 | $903,434,512 | $887,537,319 | $108,755,921 | $ 69,456,986 | $1,007,294,059 | $15,321,426 |
* | Purchased and Sold figures include securities received or delivered from processing creations or redemptions of Units. |
See accompanying notes to financial statements.
10
SPDR S&P 500® ETF Trust
Portfolio Statistics
September 30, 2021
INDUSTRY BREAKDOWN AS OF SEPTEMBER 30, 2021*
See accompanying notes to financial statements.
11
SPDR S&P 500® ETF Trust
Statement of Assets and Liabilities
September 30, 2021
ASSETS | |
Investments in unaffiliated issuers, at value (Note
2) |
$383,794,896,887 |
Investments in affiliates of the Trustee and the Sponsor, at value
|
1,007,294,059 |
Total
Investments |
384,802,190,946 |
Cash |
1,194,645,231 |
Dividends receivable — unaffiliated issuers (Note
2) |
236,424,350 |
Dividends receivable — affiliated issuers (Note
2) |
2,259,739 |
Total
Assets |
386,235,520,266 |
LIABILITIES | |
Payable for units of fractional undivided interest (“Units”) redeemed
in-kind |
693,609 |
Accrued Trustee expense (Note
3) |
18,454,797 |
Accrued Marketing expense (Note
3) |
7,278,879 |
Distribution
payable |
1,307,415,573 |
Accrued expenses and other
liabilities |
49,137,129 |
Total
Liabilities |
1,382,979,987 |
NET ASSETS
|
$384,852,540,279 |
NET ASSETS CONSIST OF: | |
Paid-in Capital (Note
4) |
$393,622,836,281 |
Total distributable earnings
(loss) |
(8,770,296,002) |
NET ASSETS
|
$384,852,540,279 |
NET ASSET VALUE PER UNIT
|
$ 429.22 |
UNITS OUTSTANDING (UNLIMITED UNITS AUTHORIZED)
|
896,632,116 |
COST OF INVESTMENTS: | |
Unaffiliated
issuers |
$378,966,589,394 |
Affiliates of the Trustee and the Sponsor (Note
3) |
1,041,233,480 |
Total Cost of
Investments |
$380,007,822,874 |
See accompanying notes to financial statements.
12
SPDR S&P 500® ETF Trust
Statements of Operations
Year
Ended 9/30/21 |
Year
Ended 9/30/20 |
Year
Ended 9/30/19 | |||
INVESTMENT INCOME | |||||
Dividend income - unaffiliated issuers (Note
2) |
$ 5,063,477,430 | $ 5,344,744,140 | $ 5,569,189,037 | ||
Dividend income — affiliates of the Trustee and the
Sponsor |
15,321,426 | 15,314,759 | 14,842,022 | ||
Foreign taxes
withheld |
(484,053) | — | — | ||
Total Investment
Income |
5,078,314,803 | 5,360,058,899 | 5,584,031,059 | ||
EXPENSES | |||||
Trustee expense (Note
3) |
203,372,449 | 156,390,558 | 129,443,668 | ||
S&P license fee (Note
3) |
105,207,778 | 85,102,695 | 79,275,442 | ||
Marketing expense (Note
3) |
15,493,874 | 19,590,285 | 36,911,835 | ||
Legal and audit
fees |
616,921 | 405,831 | 605,028 | ||
Other
expenses |
4,823,485 | 4,688,948 | 1,591,672 | ||
Total
Expenses |
329,514,507 | 266,178,317 | 247,827,645 | ||
NET INVESTMENT INCOME
(LOSS) |
4,748,800,296 | 5,093,880,582 | 5,336,203,414 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||
Net realized gain (loss) on: | |||||
Investments — unaffiliated
issuers |
(3,076,057,194) | (2,843,848,543) | (1,874,707,476) | ||
Investments — affiliates of the Trustee and the
Sponsor |
(6,071,948) | (8,520,407) | (2,398,982) | ||
In-kind redemptions — unaffiliated
issuers |
72,888,738,765 | 33,362,317,592 | 19,405,809,495 | ||
In-kind redemptions — affiliated
issuers |
114,827,869 | 79,983,578 | 39,060,086 | ||
Net realized gain
(loss) |
69,921,437,492 | 30,589,932,220 | 17,567,763,123 | ||
Net change in unrealized appreciation/depreciation on: | |||||
Investments — unaffiliated
issuers |
11,150,654,602 | 4,637,256,785 | (13,388,014,704) | ||
Investments — affiliates of the Trustee and the
Sponsor |
69,456,986 | (19,657,458) | (33,757,839) | ||
Net change in unrealized
appreciation/depreciation |
11,220,111,588 | 4,617,599,327 | (13,421,772,543) | ||
NET REALIZED AND UNREALIZED GAIN
(LOSS) |
81,141,549,080 | 35,207,531,547 | 4,145,990,580 | ||
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS |
$85,890,349,376 | $40,301,412,129 | $ 9,482,193,994 |
See accompanying notes to financial statements.
13
SPDR S&P 500® ETF Trust
Statements of Changes in Net Assets
Year
Ended 9/30/21 |
Year
Ended 9/30/20 |
Year
Ended 9/30/19 | |||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||
Net investment income
(loss) |
$ 4,748,800,296 | $ 5,093,880,582 | $ 5,336,203,414 | ||
Net realized gain
(loss) |
69,921,437,492 | 30,589,932,220 | 17,567,763,123 | ||
Net change in unrealized
appreciation/depreciation |
11,220,111,588 | 4,617,599,327 | (13,421,772,543) | ||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS |
85,890,349,376 | 40,301,412,129 | 9,482,193,994 | ||
NET EQUALIZATION CREDITS AND CHARGES (NOTE
2) |
14,211,571 | (28,962,904) | (53,196,888) | ||
DISTRIBUTIONS TO UNITHOLDERS
|
(4,958,580,733) | (5,149,353,080) | (5,057,184,141) | ||
INCREASE (DECREASE) IN NET ASSETS FROM UNIT TRANSACTIONS: | |||||
Proceeds from issuance of
Units |
653,742,584,343 | 615,842,536,075 | 487,497,849,720 | ||
Cost of Units
redeemed |
(643,775,317,843) | (631,300,529,687) | (497,053,054,235) | ||
Net income equalization (Note
2) |
(14,211,571) | 28,962,904 | 53,196,888 | ||
NET INCREASE (DECREASE) IN NET ASSETS FROM ISSUANCE AND REDEMPTION OF
UNITS |
9,953,054,929 | (15,429,030,708) | (9,502,007,627) | ||
NET INCREASE (DECREASE) IN NET ASSETS DURING THE PERIOD
|
90,899,035,143 | 19,694,065,437 | (5,130,194,662) | ||
NET ASSETS AT BEGINNING OF PERIOD
|
293,953,505,136 | 274,259,439,699 | 279,389,634,361 | ||
NET ASSETS AT END OF
PERIOD |
$ 384,852,540,279 | $ 293,953,505,136 | $ 274,259,439,699 | ||
UNIT TRANSACTIONS: | |||||
Units
sold |
1,652,950,000 | 2,081,250,000 | 1,753,650,000 | ||
Units
redeemed |
(1,633,250,000) | (2,128,300,000) | (1,791,100,000) | ||
NET INCREASE
(DECREASE) |
19,700,000 | (47,050,000) | (37,450,000) |
See accompanying notes to financial statements.
14
SPDR S&P 500® ETF Trust
Financial Highlights
Selected data for a Unit outstanding throughout each period
Year
Ended 9/30/21 |
Year
Ended 9/30/20 |
Year
Ended 9/30/19 |
Year
Ended 9/30/18 |
Year
Ended 9/30/17 | |||||
Net asset value, beginning of
period |
$ 335.21 | $ 296.82 | $ 290.60 | $ 251.30 | $ 216.40 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss)
(a) |
5.44 | 5.59 | 5.71 | 4.86 | 4.65 | ||||
Net realized and unrealized gain
(loss) |
94.21 | 38.51 | 6.05 | 39.46 | 34.97 | ||||
Total from investment
operations |
99.65 | 44.10 | 11.76 | 44.32 | 39.62 | ||||
Net equalization credits and charges
(a) |
0.02 | (0.03) | (0.06) | 0.00(b) | 0.06 | ||||
Less Distributions from: | |||||||||
Net investment
income |
(5.66) | (5.68) | (5.48) | (5.02) | (4.78) | ||||
Net asset value, end of
period |
$ 429.22 | $ 335.21 | $ 296.82 | $ 290.60 | $ 251.30 | ||||
Total return
(c) |
29.79% | 14.98% | 4.11% | 17.72% | 18.44%(d) | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in
000s) |
$384,852,540 | $293,953,505 | $274,259,440 | $279,389,634 | $243,299,576 | ||||
Ratios to average net assets: | |||||||||
Total expenses (excluding Trustee earnings credit and fee
waivers) |
0.09% | 0.09% | 0.10% | 0.10% | 0.09% | ||||
Total expenses (excluding Trustee earnings
credit) |
0.09% | 0.09% | 0.10% | 0.10% | 0.09% | ||||
Net expenses
(e) |
0.09% | 0.09% | 0.09% | 0.09% | 0.09% | ||||
Net investment income
(loss) |
1.36% | 1.81% | 2.03% | 1.79% | 1.98% | ||||
Portfolio turnover rate
(f) |
4% | 2% | 3% | 2% | 3% |
(a) | Per Unit numbers have been calculated using the average shares method, which more appropriately presents per Unit data for the year. |
(b) | Amount is less than $0.005 per Unit. |
(c) | Total return is calculated assuming a purchase of Units at net asset value per Unit on the first day and a sale at net asset value per Unit on the last day of each period reported. Distributions are assumed, for the purposes of this calculation, to be reinvested at the net asset value per Unit on the respective payment dates of the Trust. Total return for a period of less than one year is not annualized. Broker commission charges are not included in this calculation. |
(d) | Reflects a non-recurring litigation payment received by the Trust from State Street Corp., an affiliate, which amounted to less than $0.005 per Unit outstanding as of March 20, 2017. This payment resulted in an increase to total return of less than 0.005% for the period ended September 30, 2017. |
(e) | Net of expenses waived by the Trustee. |
(f) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions of Units. |
See accompanying notes to financial statements.
15
SPDR S&P 500® ETF Trust
Notes to Financial Statements
September 30, 2021
Note 1
— Organization
SPDR S&P 500® ETF Trust (the “Trust”) is a unit investment trust created under the laws of the State of New York and registered under the Investment Company Act of 1940, as
amended. The Trust is an "Exchange-Traded Fund", the units of which are listed on and traded on the New York Stock Exchange under the symbol "SPY", and operates under an exemptive order granted by the U.S. Securities and Exchange Commission (the
"SEC"). The Trust was created to provide investors with the opportunity to purchase a security representing a proportionate undivided interest in a portfolio of securities consisting of substantially all of the component common stocks, in
substantially the same weighting, which comprise the Standard & Poor’s 500® Index (the “S&P 500® Index”). Each unit of fractional undivided interest in the Trust is referred to as a “Unit”. The Trust commenced operations on January 22, 1993 upon the
initial issuance of 150,000 Units (equivalent to three “Creation Units” — see Note 4) in exchange for a portfolio of securities assembled to reflect the intended portfolio composition of the Trust.
Effective June 16, 2017, State Street Bank and Trust
Company (“SSBT”) resigned as trustee of the Trust. PDR Services, LLC, as sponsor of the Trust (the “Sponsor”), appointed State Street Global Advisors Trust Company, a wholly-owned subsidiary of SSBT, as trustee of the Trust
(the “Trustee”).
The services
received, and the trustee fees paid, by the Trust have not changed as a result of the change in the identity of the Trustee. SSBT continues to maintain the Trust’s accounting records, act as custodian and transfer agent to the Trust, and
provide administrative services, including the filing of certain regulatory reports.
Under the Amended and Restated Standard Terms and
Conditions of the Trust, as amended (the “Trust Agreement”), the Sponsor and the Trustee are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of
business, the Trust enters into contracts that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet
occurred. However, based on experience, the Trustee expects the risk of material loss to be remote.
The Sponsor is an indirect, wholly-owned subsidiary of
Intercontinental Exchange, Inc. (“ICE”). ICE is a publicly-traded entity, trading on the New York Stock Exchange under the symbol “ICE.”
Note 2
— Summary of Significant Accounting Policies
The following is a summary of significant accounting
policies followed by the Trustee in the preparation of the Trust's financial statements:
The preparation of financial statements in accordance
with U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Trustee to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those
estimates. The Trust is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
16
SPDR S&P 500® ETF Trust
Notes to Financial Statements (continued)
September 30, 2021
Note 2 — Summary of Significant Accounting
Policies – (continued)
Security Valuation
The Trust’s investments are valued at fair value each day that
the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE is not open. Fair value is generally defined as the price a fund would
receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect
an actual market price. The investments of the Trust are valued pursuant to the policy and procedures developed by the Oversight Committee of the Trustee (the “Committee”). The Committee provides oversight of the valuation of investments
for the Trust.
Valuation techniques used to value
the Trust’s equity investments are as follows:
Equity investments (including preferred stocks) traded
on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a
recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value.
In the event that prices or quotations are not readily
available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in
accordance with the valuation policy and procedures approved by the Trustee.
Fair value pricing could result in a difference between
the prices used to calculate the Trust’s net asset value ("NAV") and the prices used by the Trust’s underlying index, the S&P 500® Index, which in turn
could result in a difference between the Trust’s performance and the performance of the S&P 500® Index.
The Trustee values the Trust's assets and liabilities
at fair value using a hierarchy that prioritizes the inputs to valuation techniques, giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the
lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the
investment and is not necessarily an indication of the risk associated with the investment.
The three levels of the fair value hierarchy are as
follows:
• Level 1 – Unadjusted
quoted prices in active markets for identical assets or liabilities;
•
Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the assets or liabilities either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices
for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves,
volatilities, prepayment speeds, loss severities, credit risks and
17
SPDR S&P 500® ETF Trust
Notes to Financial Statements (continued)
September 30, 2021
Note 2 — Summary of Significant Accounting
Policies – (continued)
default rates) or other
market-corroborated inputs; and
•
Level 3 – Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.
Investment Transactions and Income Recognition
Investment transactions are accounted for on the trade date for
financial reporting purposes. Dividend income and capital gain distributions, if any, are recognized on the ex-dividend date, or when the information becomes available, net of any foreign taxes withheld at source, if any. Non-cash dividends received
in the form of stock, if any, are recorded as dividend income at fair value. Distributions received by the Trust may include a return of capital that is estimated by the Trustee. Such amounts are recorded as a reduction of the cost of investments or
reclassified to capital gains. The Trust invests in real estate investment trusts (“REITs”). REITs determine the characterization of their income annually and may characterize a portion of their distributions as a return of capital or
capital gain. The Trustee’s policy is to record all REIT distributions as dividend income initially and re-designate a portion to return of capital or capital gain distributions at year end based on information provided by the REIT and/or
Trustee’s estimates of such re-designations for which actual information has not yet been reported. Realized gains and losses from the sale or disposition of investments are determined using the identified cost method.
Distributions
The Trust declares and distributes dividends from net investment
income, if any, to its holders of Units (“Unitholders”), quarterly. Capital gain distributions, if any, are generally declared and paid annually. Additional distributions may be paid by the Trust to avoid imposition of federal income and
excise tax on any remaining undistributed net investment income and capital gains. The amount and character of income and gains to be distributed are determined in accordance with federal tax regulations which may differ from net investment income
and realized gains recognized for U.S. GAAP purposes.
Equalization
The Trustee follows the accounting practice known as
“Equalization” by which a portion of the proceeds from sales and costs of reacquiring the Trust's Units, equivalent on a per Unit basis to the amount of distributable net investment income on the date of the transaction, is credited or
charged to undistributed net investment income. As a result, undistributed net investment income per Unit is unaffected by sales or reacquisitions of the Trust's Units. Amounts related to Equalization can be found on the Statements of Changes in Net
Assets.
Federal Income Taxes
For U.S. federal income tax purposes, the Trust has qualified as a
“regulated investment company” under Subchapter M of the Internal Revenue Code of 1986, as amended (a “RIC”), and intends to continue to qualify as a RIC. As a RIC, the Trust will generally not be subject to U.S. federal
income tax for any taxable year on income, including net capital gains, that it distributes to its Unitholders, provided that it distributes on
18
SPDR S&P 500® ETF Trust
Notes to Financial Statements (continued)
September 30, 2021
Note 2 — Summary of Significant Accounting
Policies – (continued)
a timely basis at least 90% of its “investment
company taxable income” determined prior to the deduction for dividends paid by the Trust (generally, its taxable income other than net capital gain) for such taxable year. In addition, provided that the Trust distributes substantially all of
its ordinary income and capital gains during each calendar year, the Trust will not be subject to U.S. federal excise tax. Income and capital gain distributions are determined in accordance with U.S. federal income tax principles, which may differ
from U.S. GAAP. These book-tax differences are primarily due to differing treatments for in-kind transactions, REITs and losses deferred due to wash sales.
U.S. GAAP requires the evaluation of tax positions
taken in the course of preparing the Trust’s tax returns to determine whether the tax positions are more likely than not to be sustained by the applicable tax authority. For U.S. GAAP purposes, the Trust recognizes the tax benefits of
uncertain tax positions only when the position is more likely than not to be sustained, assuming examination by tax authorities.
The Trustee has reviewed the Trust's tax positions for
the open tax years as of September 30, 2021 and has determined that no provision for income tax is required in the Trust’s financial statements. Generally, the Trust’s tax returns for the prior three fiscal years remain subject to
examinations by the Trust’s major tax jurisdictions, which include the United States of America, the Commonwealth of Massachusetts and the State of New York. The Trustee has the Trust recognize interest and penalties, if any, related to tax
liabilities as income tax expense in the Statements of Operations. There were no such expenses for the year ended September 30, 2021.
No income tax returns are currently under examination.
The Trustee has analyzed the relevant tax laws and regulations and their application to the Trust’s facts and circumstances and does not believe there are any uncertain tax positions that require recognition of any tax liabilities. Any
potential tax liability is also subject to ongoing interpretation of laws by taxing authorities. The tax treatment of the Trust’s investments may change over time based on factors including, but not limited to, new tax laws, regulations and
interpretations thereof.
During the year ended
September 30, 2021, the Trustee reclassified $73,003,566,634 of non-taxable security gains realized from the in-kind redemption of Creation Units (Note 4) as an increase to paid in capital in the Statement of Assets and Liabilities.
At September 30, 2021, the Trust had capital loss
carryforwards that may be utilized to offset any future net realized capital gains as follows:
Non-Expiring — Short
Term |
$ 1,681,919,620 |
Non-Expiring — Long
Term |
10,636,633,400 |
19
SPDR S&P 500® ETF Trust
Notes to Financial Statements (continued)
September 30, 2021
Note 2 — Summary of Significant Accounting
Policies – (continued)
At September 30, 2021, gross unrealized appreciation and
gross unrealized depreciation of investments based on cost for federal income tax purposes were as follows:
Tax
Cost |
Gross
Unrealized Appreciation |
Gross
Unrealized Depreciation |
Net
Unrealized Appreciation (Depreciation) | ||||
SPDR S&P 500® ETF
Trust |
$380,037,747,041 | $27,183,581,167 | $22,419,137,262 | $4,764,443,905 |
The tax character of
distributions paid during the years ended September 30, 2021, 2020, and 2019 were as follows:
Distributions paid from: | 2021 | 2020 | 2019 | |||
Ordinary
Income |
$4,958,580,733 | $5,149,353,080 | $5,057,184,141 |
As of September 30, 2021, the
components of distributable earnings (excluding unrealized appreciation/ (depreciation)) were undistributed ordinary income of $91,228,684 and undistributed capital gain of $0.
Note 3
— Transactions with Affiliates of the Trustee and Sponsor
SSBT maintains the Trust’s accounting records,
acts as custodian and transfer agent to the Trust, and provides administrative services, including the filing of certain regulatory reports. The Trustee pays SSBT for such services. The Trustee oversees the services provided by SSBT and is
responsible for determining the composition of the portfolio of securities which must be delivered and/or received in exchange for the issuance and/or redemption of Creation Units of the Trust, and for adjusting the composition of the Trust’s
portfolio from time to time to conform to changes in the composition and/or weighting structure of the S&P 500® Index. For these services, the Trustee received a fee at
the following annual rates for the year ended September 30, 2021:
Net asset value of the Trust | Fee as a percentage of net asset value of the Trust | |
$0
– $499,999,999 $500,000,000 – $2,499,999,999 $2,500,000,000 and above |
0.10%
per annum plus or minus the Adjustment Amount 0.08% per annum plus or minus the Adjustment Amount 0.06% per annum plus or minus the Adjustment Amount |
The adjustment amount (the “Adjustment
Amount”) is the sum of (a) the excess or deficiency of transaction fees received by the Trustee, less the expenses incurred in processing orders for the creation and redemption of Units and (b) the amounts earned by the Trustee with respect to
the cash held by the Trustee for the benefit of the Trust. During the year ended September 30, 2021, the Adjustment Amount reduced the Trustee’s fee by $6,443,111. The Adjustment Amount included an excess of net transaction fees from
processing orders of $5,799,430 and a Trustee earnings credit of $643,681.
20
SPDR S&P 500® ETF Trust
Notes to Financial Statements (continued)
September 30, 2021
Note 3 — Transactions with Affiliates of the Trustee and Sponsor – (continued)
The Trustee has voluntarily agreed to waive a portion
of its fee, as needed, for one year until February 1, 2022, so that the total operating expenses would not exceed 0.0945% per annum of the daily NAV of the Trust. No amounts were waived for the years ended September 30, 2021, 2020 and 2019. The
Trustee has not entered into an agreement with the Trust to recapture waived fees in subsequent periods, and the Trustee may discontinue the voluntary waiver.
In accordance with the Trust Agreement and under the
terms of an exemptive order issued by the SEC, dated December 30, 1997, the Sponsor is reimbursed by the Trust for certain expenses up to a maximum of 0.20% of the Trust’s NAV on an annualized basis. The expenses reimbursed to the Sponsor for
the years ended September 30, 2021, 2020 and 2019, did not exceed 0.20% per annum. The licensing and marketing fee disclosed below are subject to both the reimbursement from the Trust to the Sponsor and expense limitation of 0.20% of the
Trust’s NAV for the years ended September 30, 2021, 2020 and 2019. The Trust reimbursed the Sponsor for $519,011, $402,393, and $549,533 of legal fees for the years ended September 30, 2021, 2020, and 2019, respectively, which are included in
Legal and audit fees on the Statements of Operations.
S&P Dow Jones Indices LLC (“S&P”),
per a license from Standard & Poor’s Financial Services LLC, and State Street Global Advisors Funds Distributors, LLC (“SSGA FD” or the “Marketing Agent”) have entered into a license agreement (the “License
Agreement”). The License Agreement grants SSGA FD, an affiliate of the Trustee, a license to use the S&P 500® Index and to use certain trade names and trademarks
of S&P in connection with the Trust. The S&P 500® Index also serves as the basis for determining the composition of the Trust’s portfolio. The Trustee (on
behalf of the Trust), the Sponsor and NYSE Arca, Inc. (“NYSE Arca”, the principal U.S. listing exchange for the Trust) have each received a sublicense from SSGA FD for the use of the S&P 500® Index and certain trade names and trademarks in connection with their rights and duties with respect to the Trust. The License Agreement may be amended without the consent of
any of the owners of beneficial interests of Units. Currently, the License Agreement is scheduled to terminate on November 29, 2031, but its term may be extended without the consent of any of the owners of beneficial interests of Units. Pursuant to
such arrangements and in accordance with the Trust Agreement, the Trust reimburses the Sponsor for payment of fees under the License Agreement to S&P equal to 0.03% of the daily size of the Trust (based on Unit closing price and outstanding
Units) plus an annual license fee of $600,000.
The Sponsor has entered into an agreement with the
Marketing Agent pursuant to which the Marketing Agent has agreed to market and promote the Trust. The Marketing Agent is reimbursed by the Sponsor for the expenses it incurs for providing such services out of amounts that the Trust reimburses the
Sponsor. Expenses incurred by the Marketing Agent include, but are not limited to: printing and distribution of marketing materials describing the Trust, associated legal, consulting, advertising and marketing costs and other out-of-pocket
expenses.
21
SPDR S&P 500® ETF Trust
Notes to Financial Statements (continued)
September 30, 2021
Note 3 — Transactions with Affiliates of the Trustee and Sponsor – (continued)
ALPS Distributors, Inc. (the
“Distributor”) serves as the distributor of the Units. The Sponsor pays the Distributor for its services a flat annual fee of $25,000, and the Trust does not reimburse the Sponsor for this fee.
Investments in Affiliates of the Trustee and the
Sponsor
The Trust has invested in companies that are considered
affiliates of the Trustee (State Street Corp.) and the Sponsor (ICE). Such investments were made according to the representative portion of the S&P 500® Index. The
market values of these investments at September 30, 2021 are listed in the Schedule of Investments.
Note 4
— Unitholder Transactions
Units are issued and redeemed by the Trust only in
Creation Unit size aggregations of 50,000 Units. Such transactions are only permitted on an in-kind basis, with a separate cash payment that is equivalent to the undistributed net investment income per Unit (income equalization) and a balancing cash
component to equate the transaction to the NAV per Unit of the Trust on the transaction date. There is a transaction fee payable to the Trustee in connection with each creation and redemption of Creation Units made through the clearing process (the
“Transaction Fee”). The Transaction Fee is non-refundable, regardless of the NAV of the Trust. The Transaction Fee is the lesser of $3,000 or 0.10% (10 basis points) of the value of one Creation Unit at the time of creation per
participating party per day, regardless of the number of Creation Units created or redeemed on such day. The Transaction Fee is currently $3,000. For creations and redemptions outside the clearing process, including orders from a participating party
restricted from engaging in transactions in one or more of the common stocks that are included in the S&P 500® Index, an additional amount not to exceed three (3) times
the Transaction Fee applicable for one Creation Unit is charged per Creation Unit per day.
Note 5
— Investment Transactions
For the year ended September 30, 2021, the Trust had
in-kind contributions, in-kind redemptions, purchases and sales of investment securities of $327,531,902,003, $317,538,556,954, $12,387,467,621, and $12,351,400,877, respectively. Net realized gain (loss) on investment transactions in the 2021
Statement of Operations includes net gains resulting from in-kind transactions of $73,003,566,634.
Note 6
— Equity Investing and Market Risk
An investment in the Trust involves risks similar to
those of investing in any fund of equity securities, such as market fluctuations caused by such factors as economic and political developments, changes in interest rates, perceived trends in securities prices, war, acts of terrorism, the spread of
infectious disease or other public health issues. Local, regional or global events such as war, acts of terrorism, the spread of infectious disease or other public health issues, recessions, or other events could have a significant impact on the
Trust and its investments and could result in increased premiums or discounts to the Trust’s net asset value.
22
SPDR S&P 500® ETF Trust
Notes to Financial Statements (continued)
September 30, 2021
Note 6 — Equity Investing and Market Risk – (continued)
An investment in the Trust is subject to the risks of
any investment in a broadly based portfolio of equity securities, including the risk that the general level of stock prices may decline, thereby adversely affecting the value of such investment. The value of common stocks actually held by the Trust
and that make up the Trust’s portfolio (the “Portfolio Securities”) may fluctuate in accordance with changes in the financial condition of the issuers of Portfolio Securities, the value of equity securities generally and other
factors. The identity and weighting of common stocks that are included in the S&P 500® Index and the Portfolio Securities change from time to time.
The financial condition of issuers of Portfolio
Securities may become impaired or the general condition of the stock market may deteriorate, either of which may cause a decrease in the value of the Trust’s portfolio and thus in the value of Units. Since the Trust is not actively managed,
the adverse financial condition of an issuer will not result in its elimination from the Trust’s portfolio unless such issuer is removed from the S&P 500® Index.
Equity securities are susceptible to general stock market fluctuations and to volatile increases and decreases in value as market confidence in and perceptions of their issuers change. These investor perceptions are based on various and
unpredictable factors, including expectations regarding government, economic, monetary and fiscal policies, inflation and interest rates, economic expansion or contraction, and global or regional political, economic and banking crises, as well as
war, acts of terrorism and the spread of infectious disease or other public health issues.
An outbreak of infectious respiratory illness caused by
a novel coronavirus known as COVID-19 was first detected in China in December 2019 and was declared a pandemic by the World Health Organization in March 2020. This coronavirus has resulted in travel restrictions, restrictions on gatherings of people
(including closings of, or limitations on, dining and entertainment establishments, as well as schools and universities), closed businesses (or businesses that are restricted in their operations), closed international borders, enhanced health
screenings at ports of entry and elsewhere, disruption of and delays in healthcare service preparation and delivery, prolonged quarantines, cancellations, supply chain disruptions, and lower consumer demand, as well as general concern and
uncertainty. The impact of COVID-19, and other infectious disease outbreaks that may arise in the future, could adversely affect the economies of many nations or the entire global economy, individual issuers and capital markets in ways that cannot
be foreseen. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The duration of the COVID-19 outbreak cannot be determined with certainty. The
risk of further spreading of COVID-19 has led to significant uncertainty and volatility in the financial markets and disruption to the global economy, the consequences of which are currently unpredictable. Certain of the Trust’s investments
are likely to have exposure to businesses that, as a result of COVID-19, experience a slowdown or temporary suspension in business activities. These factors, as well as any restrictive measures instituted in order to prevent or control a pandemic or
other public health crisis, such as the one posed by COVID-19, could have a material and adverse effect on the Trust’s investments.
23
SPDR S&P 500® ETF Trust
Notes to Financial Statements (continued)
September 30, 2021
Note 6 — Equity Investing and Market Risk – (continued)
Holders of common stocks of any given issuer incur
more risk than holders of preferred stocks and debt obligations of the issuer because the rights of common stockholders, as owners of the issuer, generally are subordinate to the rights of creditors of, or holders of debt obligations or preferred
stocks issued by, such issuer. Further, unlike debt securities that typically have a stated principal amount payable at maturity, or preferred stocks that typically have a liquidation preference and may have stated optional or mandatory redemption
provisions, common stocks have neither a fixed principal amount nor a maturity. Equity securities values are subject to market fluctuations as long as the equity securities remain outstanding. The value of the Trust’s portfolio will fluctuate
over the entire life of the Trust.
There can be
no assurance that the issuers of Portfolio Securities will pay dividends. Distributions generally depend upon the declaration of dividends by the issuers of Portfolio Securities and the declaration of such dividends generally depends upon various
factors, including the financial condition of the issuers and general economic conditions.
Note 7
— Subsequent Events
The Trustee has evaluated the impact of all subsequent
events on the Trust through the date on which the financial statements were issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
24
SPDR S&P 500® ETF Trust
Report of Independent Registered Public Accounting Firm
To the Trustee and Unitholders of SPDR S&P 500 ETF
Trust
Opinion on the Financial Statements
We have audited the accompanying statement of assets
and liabilities, including the schedule of investments, of SPDR S&P 500 ETF Trust (the "Trust") as of September 30, 2021, the related statements of operations and of changes in net assets for each of the three years in the period ended September
30, 2021, including the related notes, and the financial highlights for each of the five years in the period ended September 30, 2021 (collectively referred to as the “financial statements”). In our opinion, the financial statements
present fairly, in all material respects, the financial position of the Trust as of September 30, 2021, the results of its operations and the changes in its net assets for each of the three years in the period ended September 30, 2021 and the
financial highlights for each of the five years in the period ended September 30, 2021 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of
the Trust’s management (the Trustee). Our responsibility is to express an opinion on the Trust’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board
(United States) (PCAOB) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements
in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the
risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in
the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management (the Trustee), as well as evaluating the overall presentation of the financial statements. Our procedures
included confirmation of securities owned as of September 30, 2021 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable
basis for our opinion.
/s/PricewaterhouseCoopers
LLP
Boston, Massachusetts
November 23, 2021
Boston, Massachusetts
November 23, 2021
We have served as the auditor of one or more investment
companies in the SPDR Trusts since 1993.
25
SPDR S&P 500® ETF Trust
Other Information
September 30, 2021 (Unaudited)
For U.S. federal income tax purposes, the Trust reports
the maximum amount allowable of its net taxable income as eligible for the corporate dividends received deduction.
For the fiscal year ended September 30, 2021, certain
dividends paid by the Trust may be designated as qualified dividend income for U.S. federal income tax purposes and are eligible for reduced tax rates in the case of certain non-corporate unitholders that meet applicable holding period requirements
with respect to their Units. Complete information will be reported in conjunction with your 2021 Form 1099-DIV.
26
SPDR S&P 500® ETF Trust
Other Information (continued)
September 30, 2021 (Unaudited)
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Bid/Ask Price(1) vs Net Asset Value
As of September 30, 2021
Bid/Ask Price(1) vs Net Asset Value
As of September 30, 2021
Bid/Ask Price Above NAV | Bid/Ask Price Below NAV | |||||||||||
50-99
BASIS POINTS |
100-199
BASIS POINTS |
>200
BASIS POINTS |
50-99
BASIS POINTS |
100-199
BASIS POINTS |
>200
BASIS POINTS |
|||||||
2021 |
0 | 0 | 0 | 0 | 0 | 0 | ||||||
2020 |
0 | 0 | 0 | 0 | 0 | 0 | ||||||
2019 |
0 | 0 | 0 | 0 | 0 | 0 | ||||||
2018 |
0 | 0 | 0 | 0 | 0 | 0 | ||||||
2017 |
0 | 0 | 0 | 0 | 0 | 0 |
Comparison of Total Returns Based on NAV and Bid/Ask
Price(1)
The table below is provided to compare the
Trust’s total pre-tax return at NAV with the total pre-tax returns based on bid/ask price and the performance of the S&P 500® Index. Past performance is not
necessarily an indication of how the Trust will perform in the future. The return based on NAV shown in the table below reflects the impact of a fee waiver and, without this waiver, returns would have been lower.
Cumulative Total Return
1 Year | 5 Year | 10 Year | ||||
SPDR S&P 500® ETF Trust | ||||||
Return Based on
NAV |
29.79% | 116.65% | 359.59% | |||
Return Based on Bid/Ask
Price |
29.90% | 116.66% | 359.42% | |||
S&P 500®
Index |
30.00% | 118.26% | 365.86% |
Average Annual Total Return
1 Year | 5 Year | 10 Year | ||||
SPDR S&P 500® ETF Trust | ||||||
Return Based on
NAV |
29.79% | 16.72% | 16.48% | |||
Return Based on Bid/Ask
Price |
29.90% | 16.72% | 16.47% | |||
S&P 500®
Index |
30.00% | 16.90% | 16.63% |
(1) | The bid/ask price is the midpoint of the best bid and best offer prices on NYSE Arca at the time the Trust’s NAV is calculated, ordinarily 4:00 p.m. |
27
SPDR S&P 500® ETF Trust
(Unaudited)
Sponsor
PDR Services LLC
c/o NYSE Holdings LLC
11 Wall Street
New York, NY 10005
c/o NYSE Holdings LLC
11 Wall Street
New York, NY 10005
Trustee
State Street Global Advisors Trust Company
One Iron Street
Boston, MA 02210
One Iron Street
Boston, MA 02210
Distributor
ALPS Distributors, Inc.
1290 Broadway Suite 1000
Denver, CO 80203
1290 Broadway Suite 1000
Denver, CO 80203
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
101 Seaport Boulevard, Suite 500
Boston, MA 02210
101 Seaport Boulevard, Suite 500
Boston, MA 02210
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