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Form N-30D SPDR S&P MIDCAP 400 ETF For: Sep 30

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January 15, 2020 1:12 PM EST

STANDARD AND POOR'S MIDCAP 400 DEPOSITARY RECEIPTSTM

SPDR® S&P MIDCAP 400® ETF TRUST

A UNIT INVESTMENT TRUST

ANNUAL REPORT

SEPTEMBER 30, 2019

"Standard & Poor's®," "S&P®," "SPDR®," "S&P MidCap 400®," "Standard & Poor's MidCap 400 IndexTM," "S&P MidCap400 IndexTM" and "Standard & Poor's MidCap 400 Depositary ReceiptsTM" 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 MidCap 400 ETF Trust (the "Trust") is permitted to use these trademarks pursuant to a sublicense from State Street Advisors Funds Distributors, LLC. The Trust is not sponsored, endorsed, sold or promoted by S&P, its affiliates or its third party licensors.


SPDR S&P MidCap 400 ETF Trust
Trust Overview (unaudited)
September 30, 2019

INVESTMENT OBJECTIVE:

To replicate the total return of the S&P MidCap 400 IndexTM (the "Index").

INVESTMENT STRATEGY:

The SPDR S&P MidCap 400 ETF Trust (the "Trust") holdings are comprised of the 400 stocks in the Index. The Trust is designed to capture the price performance of the middle capitalization segment of the U.S. publicly traded stock market.

PERFORMANCE OVERVIEW:

The Trust seeks to match the total return of the Index. To accomplish its investment objective, the Trust utilizes a full replication approach. With this strategy, all 400 securities of the Index are owned by the Trust in their approximate market capitalization weight. This replication approach is intended to result in low expected tracking error of the Trust relative to the Index.

The Trust is not actively managed. Rather, the Trust attempts to track the performance of an unmanaged index of securities. This differs from an actively managed fund, which typically seeks to outperform a benchmark index. As a result, the Trust will hold constituent securities of the Index regardless of the current or projected performance of a specific security or a particular industry or market sector. Maintaining investments in securities regardless of market conditions or the performance of individual securities could cause the Trust's return to be lower than if the Trust employed an active strategy.

While the Trust is intended to track the performance of the Index as closely as possible (i.e., to achieve a high degree of correlation with the Index), the Trust's return may not match or achieve a high degree of correlation with the return of the Index due to expenses and transaction costs incurred in adjusting the portfolio of all of the common stocks of the Index. In addition, it is possible that the Trust may not always fully replicate the performance of the Index due to the unavailability of certain component stocks of the Index in the secondary market or due to other extraordinary circumstances (e.g., if trading in a security has been halted).


1


SPDR S&P MidCap 400 ETF Trust
Schedule of Investments
September 30, 2019

Common Stock

  

Shares

  

Value

  

Aaron's, Inc.

    

745,574

    

$

47,910,585

    

Acadia Healthcare Co., Inc.*

    

977,126

      

30,369,076

    

ACI Worldwide, Inc.*

    

1,288,272

      

40,355,120

    

Acuity Brands, Inc.

    

440,399

      

59,361,381

    

Adient PLC

    

961,044

      

22,065,570

    

Adtalem Global Education, Inc.*

    

606,232

      

23,091,377

    

AECOM*

    

1,740,968

      

65,390,758

    

AGCO Corp.

    

698,464

      

52,873,725

    

Alexander & Baldwin, Inc.

    

749,548

      

18,371,422

    

Alleghany Corp.*

    

159,276

      

127,064,022

    

Allegheny Technologies, Inc.*

    

1,391,642

      

28,180,751

    

ALLETE, Inc.

    

570,171

      

49,838,647

    

Allscripts Healthcare Solutions, Inc.*

    

1,839,491

      

20,197,611

    

AMC Networks, Inc., Class A*

    

487,421

      

23,961,616

    

Amedisys, Inc.*

    

355,143

      

46,527,284

    

American Campus Communities, Inc.

    

1,516,623

      

72,919,234

    

American Eagle Outfitters, Inc.

    

1,753,087

      

28,435,071

    

American Financial Group, Inc.

    

823,998

      

88,868,184

    

Antero Midstream Corp.

    

2,853,197

      

21,113,658

    

Apergy Corp.*

    

854,992

      

23,127,534

    

AptarGroup, Inc.

    

706,875

      

83,729,344

    

Aqua America, Inc.

    

2,381,715

      

106,772,283

    

Arrow Electronics, Inc.*

    

917,687

      

68,441,096

    

ASGN, Inc.*

    

583,902

      

36,704,080

    

Ashland Global Holdings, Inc.

    

668,033

      

51,471,943

    

Associated Banc-Corp.

    

1,789,976

      

36,247,014

    

AutoNation, Inc.*

    

648,915

      

32,899,991

    

Avanos Medical, Inc.*

    

526,616

      

19,727,035

    

Avis Budget Group, Inc.*

    

645,770

      

18,249,460

    

Avnet, Inc.

    

1,143,742

      

50,879,363

    

Axon Enterprise, Inc.*

    

654,048

      

37,136,845

    

BancorpSouth Bank

    

1,033,463

      

30,600,839

    

Bank of Hawaii Corp.

    

448,424

      

38,533,074

    

Bank OZK

    

1,334,311

      

36,386,661

    

Bed Bath & Beyond, Inc.

    

1,410,351

      

15,006,135

    

Belden, Inc.

    

426,436

      

22,746,096

    

Bio-Rad Laboratories, Inc., Class A*

    

237,237

      

78,938,239

    

Bio-Techne Corp.

    

420,145

      

82,209,772

    

Black Hills Corp.

    

674,004

      

51,716,327

    

Blackbaud, Inc.

    

542,764

      

49,033,300

    

The accompanying notes are an integral part of these financial statements.
2


SPDR S&P MidCap 400 ETF Trust
Schedule of Investments (continued)
September 30, 2019

Common Stock

  

Shares

  

Value

  

Boston Beer Co., Inc., Class A*

    

101,383

    

$

36,911,523

    

Boyd Gaming Corp.

    

883,260

      

21,154,077

    

Brighthouse Financial, Inc.*

    

1,229,727

      

49,767,052

    

Brinker International, Inc.

    

413,920

      

17,661,966

    

Brink's Co.

    

551,882

      

45,778,612

    

Brixmor Property Group, Inc.

    

3,287,581

      

66,705,019

    

Brown & Brown, Inc.

    

2,576,875

      

92,922,113

    

Brunswick Corp.

    

946,209

      

49,316,413

    

Cable One, Inc.

    

55,421

      

69,536,729

    

Cabot Corp.

    

637,800

      

28,905,096

    

CACI International, Inc., Class A*

    

274,644

      

63,514,171

    

Caesars Entertainment Corp.*

    

6,134,497

      

71,528,235

    

Camden Property Trust

    

1,068,762

      

118,643,270

    

Cantel Medical Corp.

    

405,674

      

30,344,415

    

Carlisle Cos., Inc.

    

624,809

      

90,934,702

    

Carpenter Technology Corp.

    

526,108

      

27,178,739

    

Carter's, Inc.

    

493,823

      

45,041,596

    

Casey's General Stores, Inc.

    

405,840

      

65,405,174

    

Catalent, Inc.*

    

1,611,792

      

76,818,007

    

Cathay General Bancorp

    

836,967

      

29,072,049

    

CDK Global, Inc.

    

1,337,777

      

64,333,696

    

Charles River Laboratories International, Inc.*

    

538,725

      

71,311,028

    

Cheesecake Factory, Inc.

    

453,225

      

18,890,418

    

Chemed Corp.

    

175,745

      

73,385,840

    

Chemours Co.

    

1,804,491

      

26,959,096

    

Chesapeake Energy Corp.*

    

12,448,238

      

17,552,016

    

Churchill Downs, Inc.

    

393,301

      

48,554,975

    

Ciena Corp.*

    

1,712,115

      

67,166,271

    

Cinemark Holdings, Inc.

    

1,176,724

      

45,468,615

    

Cirrus Logic, Inc.*

    

641,752

      

34,385,072

    

Clean Harbors, Inc.*

    

567,268

      

43,793,090

    

CNO Financial Group, Inc.

    

1,721,828

      

27,256,537

    

CNX Resources Corp.*

    

2,070,293

      

15,030,327

    

Cognex Corp.

    

1,883,731

      

92,547,704

    

Coherent, Inc.*

    

264,710

      

40,691,221

    

Colfax Corp.*

    

922,146

      

26,797,563

    

Commerce Bancshares, Inc.

    

1,090,231

      

66,122,510

    

Commercial Metals Co.

    

1,301,628

      

22,622,295

    

CommVault Systems, Inc.*

    

458,799

      

20,512,903

    

Compass Minerals International, Inc.

    

374,007

      

21,127,655

    

The accompanying notes are an integral part of these financial statements.
3


SPDR S&P MidCap 400 ETF Trust
Schedule of Investments (continued)
September 30, 2019

Common Stock

  

Shares

  

Value

  

Core Laboratories NV

    

489,672

    

$

22,828,509

    

CoreCivic, Inc.

    

1,314,564

      

22,715,666

    

CoreLogic, Inc.*

    

884,507

      

40,926,139

    

CoreSite Realty Corp.

    

407,197

      

49,616,954

    

Corporate Office Properties Trust

    

1,235,688

      

36,798,789

    

Cousins Properties, Inc.

    

1,619,949

      

60,893,883

    

Covetrus, Inc.*

    

1,075,341

      

12,785,805

    

Cracker Barrel Old Country Store, Inc.

    

265,394

      

43,166,334

    

Crane Co.

    

562,445

      

45,349,940

    

Cree, Inc.*

    

1,180,785

      

57,858,465

    

Cullen/Frost Bankers, Inc.

    

629,345

      

55,728,500

    

Curtiss-Wright Corp.

    

471,648

      

61,017,102

    

Cypress Semiconductor Corp.

    

4,076,445

      

95,144,226

    

CyrusOne, Inc.

    

1,249,397

      

98,827,303

    

Dana, Inc.

    

1,588,568

      

22,938,922

    

Deckers Outdoor Corp.*

    

318,784

      

46,976,010

    

Delphi Technologies PLC

    

961,518

      

12,884,341

    

Deluxe Corp.

    

473,866

      

23,295,253

    

Dick's Sporting Goods, Inc.

    

727,262

      

29,679,562

    

Dillard's, Inc., Class A

    

112,730

      

7,452,580

    

Domino's Pizza, Inc.

    

455,124

      

111,318,779

    

Domtar Corp.

    

690,782

      

24,736,903

    

Donaldson Co., Inc.

    

1,407,624

      

73,309,058

    

Douglas Emmett, Inc.

    

1,818,321

      

77,878,688

    

Dunkin' Brands Group, Inc.

    

913,018

      

72,457,109

    

Dycom Industries, Inc.*

    

347,615

      

17,745,746

    

Eagle Materials, Inc.

    

463,844

      

41,750,598

    

East West Bancorp, Inc.

    

1,606,527

      

71,153,081

    

EastGroup Properties, Inc.

    

414,571

      

51,829,666

    

Eaton Vance Corp.

    

1,247,741

      

56,061,003

    

Edgewell Personal Care Co.*

    

597,821

      

19,423,204

    

Eldorado Resorts, Inc.*

    

721,048

      

28,748,184

    

EMCOR Group, Inc.

    

619,610

      

53,360,813

    

Encompass Health Corp.

    

1,088,829

      

68,901,099

    

Energizer Holdings, Inc.

    

707,295

      

30,823,916

    

EnerSys

    

468,910

      

30,919,925

    

EPR Properties

    

856,063

      

65,797,002

    

EQT Corp.

    

2,820,161

      

30,006,513

    

Equitrans Midstream Corp.

    

2,251,987

      

32,766,411

    

Etsy, Inc.*

    

1,329,620

      

75,123,530

    

The accompanying notes are an integral part of these financial statements.
4


SPDR S&P MidCap 400 ETF Trust
Schedule of Investments (continued)
September 30, 2019

Common Stock

  

Shares

  

Value

  

Evercore, Inc., Class A

    

440,101

    

$

35,252,090

    

Exelixis, Inc.*

    

3,343,432

      

59,128,595

    

FactSet Research Systems, Inc.

    

422,264

      

102,597,484

    

Fair Isaac Corp.*

    

318,961

      

96,811,043

    

Federated Investors, Inc., Class B

    

1,061,058

      

34,388,890

    

First American Financial Corp.

    

1,237,332

      

73,014,961

    

First Financial Bankshares, Inc.

    

1,499,040

      

49,963,003

    

First Horizon National Corp.

    

3,449,087

      

55,875,209

    

First Industrial Realty Trust, Inc.

    

1,396,145

      

55,231,496

    

First Solar, Inc.*

    

837,597

      

48,589,002

    

FirstCash, Inc.

    

474,219

      

43,471,656

    

Five Below, Inc.*

    

614,444

      

77,481,388

    

Flowers Foods, Inc.

    

2,124,544

      

49,140,703

    

Fluor Corp.

    

1,544,494

      

29,546,170

    

FNB Corp.

    

3,585,901

      

41,345,439

    

Foot Locker, Inc.

    

1,210,864

      

52,260,890

    

Fulton Financial Corp.

    

1,835,264

      

29,694,572

    

GATX Corp.

    

394,051

      

30,550,774

    

Genesee & Wyoming, Inc., Class A*

    

624,853

      

69,052,505

    

Gentex Corp.

    

2,812,180

      

77,433,376

    

Genworth Financial, Inc., Class A*

    

5,555,507

      

24,444,231

    

GEO Group, Inc.

    

1,338,362

      

23,207,197

    

Globus Medical, Inc., Class A*

    

846,018

      

43,248,440

    

Goodyear Tire & Rubber Co.

    

2,566,533

      

36,970,908

    

Graco, Inc.

    

1,841,169

      

84,767,421

    

Graham Holdings Co., Class B

    

48,026

      

31,862,850

    

Granite Construction, Inc.

    

517,013

      

16,611,628

    

Green Dot Corp., Class A*

    

526,219

      

13,287,030

    

Greif, Inc., Class A

    

289,832

      

10,981,735

    

GrubHub, Inc.*

    

1,008,341

      

56,678,848

    

Haemonetics Corp.*

    

560,392

      

70,687,847

    

Hain Celestial Group, Inc.*

    

885,777

      

19,022,061

    

Hancock Whitney Corp.

    

1,001,255

      

38,343,060

    

Hanover Insurance Group, Inc.

    

436,591

      

59,175,544

    

Hawaiian Electric Industries, Inc.

    

1,202,828

      

54,860,985

    

Healthcare Realty Trust, Inc.

    

1,426,587

      

47,790,665

    

Healthcare Services Group, Inc.

    

818,059

      

19,870,653

    

HealthEquity, Inc.*

    

779,504

      

44,544,756

    

Helen of Troy Ltd.*

    

277,127

      

43,691,843

    

Herman Miller, Inc.

    

651,829

      

30,042,799

    

The accompanying notes are an integral part of these financial statements.
5


SPDR S&P MidCap 400 ETF Trust
Schedule of Investments (continued)
September 30, 2019

Common Stock

  

Shares

  

Value

  

Highwoods Properties, Inc.

    

1,144,890

    

$

51,451,357

    

Hill-Rom Holdings, Inc.

    

737,494

      

77,606,494

    

HNI Corp.

    

473,248

      

16,800,304

    

Home BancShares, Inc.

    

1,719,091

      

32,310,315

    

Hubbell, Inc.

    

600,559

      

78,913,453

    

ICU Medical, Inc.*

    

212,137

      

33,857,065

    

IDACORP, Inc.

    

556,275

      

62,675,504

    

II-VI, Inc.*

    

956,331

      

33,672,415

    

Ingevity Corp.*

    

462,022

      

39,197,946

    

Ingredion, Inc.

    

736,545

      

60,205,188

    

Insperity, Inc.

    

427,331

      

42,143,383

    

Integra LifeSciences Holdings Corp.*

    

783,610

      

47,071,453

    

Interactive Brokers Group, Inc., Class A

    

847,133

      

45,558,813

    

InterDigital, Inc.

    

343,575

      

18,027,380

    

International Bancshares Corp.

    

637,756

      

24,630,137

    

International Speedway Corp., Class A

    

263,319

      

11,851,988

    

ITT, Inc.

    

971,331

      

59,435,744

    

j2 Global, Inc.

    

512,940

      

46,585,211

    

Jabil, Inc.

    

1,536,072

      

54,945,295

    

Jack in the Box, Inc.

    

285,042

      

25,973,027

    

Janus Henderson Group PLC

    

1,755,758

      

39,434,325

    

JBG SMITH Properties

    

1,302,820

      

51,083,572

    

Jefferies Financial Group, Inc.

    

2,781,572

      

51,180,925

    

JetBlue Airways Corp.*

    

3,270,152

      

54,775,046

    

John Wiley & Sons, Inc., Class A

    

486,052

      

21,357,125

    

Jones Lang LaSalle, Inc.

    

568,692

      

79,082,310

    

KAR Auction Services, Inc.

    

1,473,278

      

36,168,975

    

KB Home

    

943,924

      

32,093,416

    

KBR, Inc.

    

1,562,463

      

38,342,842

    

Kemper Corp.

    

691,212

      

53,879,975

    

Kennametal, Inc.

    

910,204

      

27,979,671

    

Kilroy Realty Corp.

    

1,025,350

      

79,864,512

    

Kirby Corp.*

    

661,190

      

54,323,370

    

Knight-Swift Transportation Holdings, Inc.

    

1,355,106

      

49,190,348

    

Lamar Advertising Co., Class A

    

948,770

      

77,732,726

    

Lancaster Colony Corp.

    

218,483

      

30,292,668

    

Landstar System, Inc.

    

437,430

      

49,245,869

    

Legg Mason, Inc.

    

900,060

      

34,373,291

    

LendingTree, Inc.*

    

84,594

      

26,260,515

    

Lennox International, Inc.

    

388,985

      

94,511,685

    

The accompanying notes are an integral part of these financial statements.
6


SPDR S&P MidCap 400 ETF Trust
Schedule of Investments (continued)
September 30, 2019

Common Stock

  

Shares

  

Value

  

Liberty Property Trust

    

1,741,475

    

$

89,389,912

    

Life Storage, Inc.

    

514,916

      

54,277,296

    

Ligand Pharmaceuticals, Inc.*

    

209,841

      

20,887,573

    

Lincoln Electric Holdings, Inc.

    

681,908

      

59,162,338

    

Littelfuse, Inc.

    

271,399

      

48,121,757

    

LivaNova PLC*

    

534,144

      

39,414,486

    

Live Nation Entertainment, Inc.*

    

1,535,001

      

101,831,966

    

LiveRamp Holdings, Inc.*

    

746,600

      

32,073,936

    

LogMeIn, Inc.

    

545,667

      

38,720,530

    

Louisiana-Pacific Corp.

    

1,364,422

      

33,537,493

    

Lumentum Holdings, Inc.*

    

848,811

      

45,462,317

    

Mack-Cali Realty Corp.

    

999,522

      

21,649,647

    

Manhattan Associates, Inc.*

    

710,010

      

57,276,507

    

ManpowerGroup, Inc.

    

660,505

      

55,640,941

    

Marriott Vacations Worldwide Corp.

    

427,595

      

44,303,118

    

Masimo Corp.*

    

541,517

      

80,572,314

    

MasTec, Inc.*

    

665,428

      

43,206,240

    

Matador Resources Co.*

    

1,210,279

      

20,005,912

    

Mattel, Inc.*

    

3,813,965

      

43,441,061

    

MAXIMUS, Inc.

    

704,337

      

54,417,077

    

MDU Resources Group, Inc.

    

2,197,184

      

61,938,617

    

Medical Properties Trust, Inc.

    

4,926,117

      

96,354,849

    

Medidata Solutions, Inc.*

    

687,228

      

62,881,362

    

MEDNAX, Inc.*

    

929,531

      

21,025,991

    

Mercury General Corp.

    

299,391

      

16,729,969

    

Meredith Corp.

    

442,287

      

16,214,241

    

Minerals Technologies, Inc.

    

387,020

      

20,546,892

    

MKS Instruments, Inc.

    

601,397

      

55,496,915

    

Molina Healthcare, Inc.*

    

692,195

      

75,947,635

    

Monolithic Power Systems, Inc.

    

443,909

      

69,085,558

    

MSA Safety, Inc.

    

393,179

      

42,899,761

    

MSC Industrial Direct Co., Inc., Class A

    

496,792

      

36,032,324

    

Murphy Oil Corp.

    

1,701,353

      

37,616,915

    

Murphy USA, Inc.*

    

331,710

      

28,294,863

    

National Fuel Gas Co.

    

952,732

      

44,702,185

    

National Instruments Corp.

    

1,310,160

      

55,013,618

    

National Retail Properties, Inc.

    

1,894,504

      

106,850,026

    

Navient Corp.

    

2,238,863

      

28,657,446

    

NCR Corp.*

    

1,406,057

      

44,375,159

    

NetScout Systems, Inc.*

    

736,865

      

16,992,107

    

The accompanying notes are an integral part of these financial statements.
7


SPDR S&P MidCap 400 ETF Trust
Schedule of Investments (continued)
September 30, 2019

Common Stock

  

Shares

  

Value

  

New Jersey Resources Corp.

    

993,186

    

$

44,911,871

    

New York Community Bancorp, Inc.

    

5,158,674

      

64,741,359

    

New York Times Co., Class A

    

1,586,471

      

45,182,694

    

NewMarket Corp.

    

81,504

      

38,477,223

    

Nordson Corp.

    

564,763

      

82,602,236

    

NorthWestern Corp.

    

556,782

      

41,786,489

    

NOW, Inc.*

    

1,200,885

      

13,774,151

    

Nu Skin Enterprises, Inc., Class A

    

613,120

      

26,075,994

    

NuVasive, Inc.*

    

574,476

      

36,410,289

    

nVent Electric PLC

    

1,717,324

      

37,849,821

    

Oasis Petroleum, Inc.*

    

3,197,489

      

11,063,312

    

Oceaneering International, Inc.*

    

1,091,975

      

14,796,261

    

OGE Energy Corp.

    

2,209,513

      

100,267,700

    

Old Dominion Freight Line, Inc.

    

706,478

      

120,080,066

    

Old Republic International Corp.

    

3,145,888

      

74,148,580

    

Olin Corp.

    

1,813,497

      

33,948,664

    

Ollie's Bargain Outlet Holdings, Inc.*

    

603,627

      

35,396,687

    

Omega Healthcare Investors, Inc.

    

2,390,291

      

99,890,261

    

ONE Gas, Inc.

    

582,081

      

55,943,805

    

Oshkosh Corp.

    

754,934

      

57,223,997

    

Owens Corning

    

1,200,830

      

75,892,456

    

Owens-Illinois, Inc.

    

1,715,912

      

17,622,416

    

PacWest Bancorp

    

1,304,741

      

47,414,288

    

Papa John's International, Inc.

    

242,082

      

12,672,993

    

Park Hotels & Resorts, Inc.

    

2,646,204

      

66,075,714

    

Patterson Cos., Inc.

    

949,222

      

16,915,136

    

Patterson-UTI Energy, Inc.

    

2,236,346

      

19,120,758

    

PBF Energy, Inc., Class A

    

1,124,868

      

30,585,161

    

Pebblebrook Hotel Trust

    

1,441,908

      

40,113,881

    

Penn National Gaming, Inc.*

    

1,202,221

      

22,391,366

    

Penumbra, Inc.*

    

353,322

      

47,518,276

    

Perspecta, Inc.

    

1,522,694

      

39,772,767

    

Pilgrim's Pride Corp.*

    

577,887

      

18,518,389

    

Pinnacle Financial Partners, Inc.

    

798,401

      

45,309,257

    

Plantronics, Inc.

    

358,200

      

13,368,024

    

PNM Resources, Inc.

    

879,209

      

45,789,205

    

Polaris, Inc.

    

634,191

      

55,815,150

    

PolyOne Corp.

    

848,491

      

27,703,231

    

Pool Corp.

    

440,653

      

88,879,710

    

Post Holdings, Inc.*

    

758,113

      

80,238,680

    

The accompanying notes are an integral part of these financial statements.
8


SPDR S&P MidCap 400 ETF Trust
Schedule of Investments (continued)
September 30, 2019

Common Stock

  

Shares

  

Value

  

PotlatchDeltic Corp.

    

741,600

    

$

30,468,636

    

PRA Health Sciences, Inc.*

    

693,122

      

68,778,496

    

Prestige Consumer Healthcare, Inc.*

    

554,553

      

19,237,444

    

Primerica, Inc.

    

462,276

      

58,815,375

    

Prosperity Bancshares, Inc.

    

762,197

      

53,833,974

    

PS Business Parks, Inc.

    

221,033

      

40,216,954

    

PTC, Inc.*

    

1,144,195

      

78,011,215

    

Rayonier, Inc.

    

1,430,837

      

40,349,603

    

Regal Beloit Corp.

    

462,872

      

33,720,225

    

Reinsurance Group of America, Inc.

    

692,747

      

110,756,390

    

Reliance Steel & Aluminum Co.

    

735,728

      

73,322,652

    

RenaissanceRe Holdings Ltd.

    

487,454

      

94,297,976

    

Repligen Corp.*

    

511,914

      

39,258,685

    

Resideo Technologies, Inc.*

    

1,355,217

      

19,447,364

    

Royal Gold, Inc.

    

723,642

      

89,159,931

    

RPM International, Inc.

    

1,431,290

      

98,487,065

    

Ryder System, Inc.

    

588,704

      

30,477,206

    

Sabra Health Care REIT, Inc.

    

2,091,839

      

48,028,623

    

Sabre Corp.

    

3,020,796

      

67,650,726

    

Sally Beauty Holdings, Inc.*

    

1,330,536

      

19,811,681

    

Sanderson Farms, Inc.

    

217,622

      

32,932,737

    

Science Applications International Corp.

    

541,363

      

47,288,058

    

Scientific Games Corp.*

    

596,298

      

12,134,664

    

Scotts Miracle-Gro Co.

    

434,925

      

44,284,064

    

SEI Investments Co.

    

1,400,262

      

82,972,525

    

Selective Insurance Group, Inc.

    

655,317

      

49,273,285

    

Semtech Corp.*

    

734,348

      

35,696,656

    

Senior Housing Properties Trust

    

2,624,117

      

24,286,203

    

Sensient Technologies Corp.

    

467,111

      

32,067,170

    

Service Corp. International

    

2,012,874

      

96,235,506

    

Service Properties Trust

    

1,815,164

      

46,813,080

    

Signature Bank

    

604,135

      

72,024,975

    

Silgan Holdings, Inc.

    

858,999

      

25,800,035

    

Silicon Laboratories, Inc.*

    

478,425

      

53,272,624

    

Six Flags Entertainment Corp.

    

865,931

      

43,980,636

    

Skechers U.S.A., Inc., Class A*

    

1,476,324

      

55,140,701

    

SLM Corp.

    

4,708,693

      

41,554,216

    

Sonoco Products Co.

    

1,104,635

      

64,300,803

    

Sotheby's*

    

360,165

      

20,522,202

    

Southwest Gas Holdings, Inc.

    

599,620

      

54,589,405

    

The accompanying notes are an integral part of these financial statements.
9


SPDR S&P MidCap 400 ETF Trust
Schedule of Investments (continued)
September 30, 2019

Common Stock

  

Shares

  

Value

  

Southwestern Energy Co.*

    

5,974,978

    

$

11,531,708

    

Spectrum Brands Holdings, Inc.

    

69,548

      

3,666,584

    

Spire, Inc.

    

560,822

      

48,926,111

    

Spirit Realty Capital, Inc.

    

994,599

      

47,601,508

    

Sprouts Farmers Market, Inc.*

    

1,303,714

      

25,213,829

    

Steel Dynamics, Inc.

    

2,424,056

      

72,236,869

    

Stericycle, Inc.*

    

1,005,780

      

51,224,375

    

STERIS PLC

    

934,763

      

135,063,906

    

Sterling Bancorp

    

2,264,946

      

45,434,817

    

Stifel Financial Corp.

    

768,058

      

44,071,168

    

Synaptics, Inc.*

    

363,267

      

14,512,517

    

Syneos Health, Inc.*

    

685,351

      

36,467,527

    

SYNNEX Corp.

    

451,007

      

50,918,690

    

Synovus Financial Corp.

    

1,703,362

      

60,912,225

    

Tanger Factory Outlet Centers, Inc.

    

1,032,525

      

15,983,487

    

Taubman Centers, Inc.

    

675,616

      

27,585,401

    

TCF Financial Corp.

    

1,694,123

      

64,495,263

    

Tech Data Corp.*

    

392,970

      

40,963,193

    

TEGNA, Inc.

    

2,391,395

      

37,138,364

    

Teledyne Technologies, Inc.*

    

401,546

      

129,293,797

    

Telephone & Data Systems, Inc.

    

1,076,952

      

27,785,362

    

Tempur Sealy International, Inc.*

    

508,205

      

39,233,426

    

Tenet Healthcare Corp.*

    

1,141,844

      

25,257,589

    

Teradata Corp.*

    

1,259,419

      

39,041,989

    

Teradyne, Inc.

    

1,875,839

      

108,629,837

    

Terex Corp.

    

723,024

      

18,776,933

    

Tetra Tech, Inc.

    

603,208

      

52,334,326

    

Texas Capital Bancshares, Inc.*

    

555,226

      

30,343,101

    

Texas Roadhouse, Inc.

    

721,876

      

37,912,928

    

Thor Industries, Inc.

    

607,777

      

34,424,489

    

Timken Co.

    

755,409

      

32,867,846

    

Toll Brothers, Inc.

    

1,426,036

      

58,538,778

    

Tootsie Roll Industries, Inc.

    

186,209

      

6,915,802

    

Toro Co.

    

1,176,657

      

86,248,958

    

Transocean Ltd.*

    

6,347,815

      

28,374,733

    

TreeHouse Foods, Inc.*

    

620,338

      

34,397,742

    

Trex Co., Inc.*

    

644,887

      

58,639,575

    

TRI Pointe Group, Inc.*

    

1,570,234

      

23,616,319

    

Trimble, Inc.*

    

2,779,221

      

107,861,567

    

The accompanying notes are an integral part of these financial statements.
10


SPDR S&P MidCap 400 ETF Trust
Schedule of Investments (continued)
September 30, 2019

Common Stock

  

Shares

  

Value

  

Trinity Industries, Inc.

    

1,129,161

    

$

22,221,888

    

Trustmark Corp.

    

710,849

      

24,247,059

    

Tyler Technologies, Inc.*

    

425,874

      

111,791,925

    

UGI Corp.

    

2,306,470

      

115,946,247

    

UMB Financial Corp.

    

476,615

      

30,779,797

    

Umpqua Holdings Corp.

    

2,430,524

      

40,006,425

    

United Bankshares, Inc.

    

1,124,448

      

42,582,846

    

United States Steel Corp.

    

1,884,636

      

21,767,546

    

United Therapeutics Corp.*

    

484,010

      

38,599,798

    

Uniti Group, Inc.

    

2,131,884

      

16,554,079

    

Universal Display Corp.

    

467,961

      

78,570,652

    

Urban Edge Properties

    

1,270,589

      

25,144,956

    

Urban Outfitters, Inc.*

    

778,555

      

21,869,610

    

Valley National Bancorp

    

3,662,283

      

39,809,016

    

Valmont Industries, Inc.

    

238,782

      

33,056,980

    

Valvoline, Inc.

    

2,077,214

      

45,761,024

    

Versum Materials, Inc.

    

1,205,786

      

63,822,253

    

ViaSat, Inc.*

    

635,990

      

47,902,767

    

Vishay Intertechnology, Inc.

    

1,460,838

      

24,731,987

    

Visteon Corp.*

    

308,552

      

25,467,882

    

Washington Federal, Inc.

    

876,417

      

32,418,665

    

Watsco, Inc.

    

359,989

      

60,902,939

    

Webster Financial Corp.

    

1,017,249

      

47,678,461

    

Weingarten Realty Investors

    

1,335,028

      

38,889,366

    

Wendy's Co.

    

2,036,285

      

40,684,974

    

Werner Enterprises, Inc.

    

488,811

      

17,255,028

    

West Pharmaceutical Services, Inc.

    

814,031

      

115,445,876

    

WEX, Inc.*

    

477,663

      

96,521,362

    

Williams-Sonoma, Inc.

    

863,193

      

58,679,860

    

Wintrust Financial Corp.

    

625,725

      

40,440,607

    

Woodward, Inc.

    

621,210

      

66,985,074

    

World Fuel Services Corp.

    

721,677

      

28,823,779

    

World Wrestling Entertainment, Inc., Class A

    

524,971

      

37,351,687

    

Worthington Industries, Inc.

    

409,074

      

14,747,118

    

WPX Energy, Inc.*

    

4,662,334

      

49,374,117

    

WR Berkley Corp.

    

1,597,277

      

115,371,318

    

WW International, Inc.*

    

512,554

      

19,384,792

    

Wyndham Destinations, Inc.

    

1,017,977

      

46,847,302

    

Wyndham Hotels & Resorts, Inc.

    

1,064,391

      

55,071,590

    

The accompanying notes are an integral part of these financial statements.
11


SPDR S&P MidCap 400 ETF Trust
Schedule of Investments (continued)
September 30, 2019

Common Stock

  

Shares

  

Value

  

XPO Logistics, Inc.*

    

1,017,480

    

$

72,821,044

    

Yelp, Inc.*

    

713,432

      

24,791,762

    

Zebra Technologies Corp., Class A*

    

597,325

      

123,269,960

    
Total Investments (Cost $20,955,970,148)      

$

19,090,571,204

    

*  Non-income producing security for the year ended September 30, 2019.

The securities of the Trust's investment portfolio categorized by industry group, as a percentage of total net assets at value, are as follows:

Industry Classification

  

Value

  

Percentage

  

Real Estate Investment Trusts (REITs)

  

$

2,103,881,903

      

11.01

%

  

Banks

    

1,275,882,757

      

6.68

%

  

Insurance

    

1,115,785,512

      

5.84

%

  

Retail

    

959,520,910

      

5.02

%

  

Healthcare - Products

    

915,351,489

      

4.79

%

  

Commercial Services

    

752,398,390

      

3.94

%

  

Electronics

    

710,386,716

      

3.72

%

  

Software

    

699,617,687

      

3.66

%

  

Diversified Financial Services

    

543,060,460

      

2.84

%

  

Healthcare - Services

    

526,011,076

      

2.75

%

  

Semiconductors

    

524,081,870

      

2.75

%

  

Chemicals

    

507,347,603

      

2.66

%

  

Transportation

    

462,445,436

      

2.42

%

  

Machinery - Diversified

    

419,158,128

      

2.19

%

  

Electric

    

406,934,857

      

2.13

%

  

Miscellaneous Manufacturing

    

366,767,581

      

1.92

%

  

Building Materials

    

366,270,424

      

1.92

%

  

Gas

    

365,019,624

      

1.91

%

  

Entertainment

    

359,265,512

      

1.88

%

  

Food

    

356,877,799

      

1.87

%

  

Media

    

353,339,940

      

1.85

%

  

Electrical Components & Equipment

    

349,457,180

      

1.83

%

  

Computers

    

311,821,656

      

1.63

%

  

Oil & Gas

    

279,435,577

      

1.47

%

  

Engineering & Construction

    

264,204,197

      

1.38

%

  

Iron / Steel

    

245,308,852

      

1.28

%

  

Telecommunications

    

212,970,334

      

1.12

%

  

Distribution / Wholesale

    

205,398,988

      

1.08

%

  

The accompanying notes are an integral part of these financial statements.
12


SPDR S&P MidCap 400 ETF Trust
Schedule of Investments (continued)
September 30, 2019

Industry Classification

  

Value

  

Percentage

  

Biotechnology

  

$

197,554,205

      

1.03

%

  

Lodging

    

194,601,204

      

1.02

%

  

Hand / Machine Tools

    

190,559,558

      

1.00

%

  

Internet

    

156,594,140

      

0.82

%

  

Home Builders

    

148,673,002

      

0.78

%

  

Environmental Control

    

147,351,791

      

0.77

%

  

Apparel

    

147,158,307

      

0.77

%

  

Savings & Loans

    

142,594,841

      

0.75

%

  

Housewares

    

130,533,022

      

0.68

%

  

Aerospace/Defense

    

129,293,797

      

0.68

%

  

Office / Business Equipment

    

123,269,960

      

0.65

%

  

Auto Parts & Equipment

    

120,327,623

      

0.63

%

  

Packaging & Containers

    

118,704,989

      

0.62

%

  

Mining

    

110,287,586

      

0.58

%

  

Water

    

106,772,283

      

0.56

%

  

Leisure Time

    

105,131,563

      

0.55

%

  

Oil & Gas Services

    

93,647,213

      

0.49

%

  

Pharmaceuticals

    

88,015,940

      

0.46

%

  

Metal Fabricate / Hardware

    

80,671,944

      

0.42

%

  

Real Estate

    

79,082,310

      

0.41

%

  

Machinery - Construction & Mining

    

76,000,930

      

0.40

%

  

Airlines

    

54,775,046

      

0.29

%

  

Pipelines

    

53,880,069

      

0.28

%

  

Energy - Alternate Sources

    

48,589,002

      

0.25

%

  

Household Products / Wares

    

47,358,427

      

0.25

%

  

Office Furnishings

    

46,843,103

      

0.25

%

  

Toys / Games / Hobbies

    

43,441,061

      

0.23

%

  

Home Furnishings

    

39,233,426

      

0.21

%

  

Beverages

    

36,911,523

      

0.19

%

  

Trucking & Leasing

    

30,550,774

      

0.16

%

  

Forest Products & Paper

    

24,736,903

      

0.13

%

  

Cosmetics / Personal Care

    

19,423,204

      

0.10

%

  

Total Investments

    

19,090,571,204

      

99.95

%

  

Other Assets in Excess of Liabilities

    

9,819,387

      

0.05

%

  

Net Assets

    

19,100,390,591

      

100.00

%

  

The accompanying notes are an integral part of these financial statements.
13


SPDR S&P MidCap 400 ETF Trust
Statement of Assets and Liabilities

   

September 30, 2019

  

Assets:

  
Investments in securities of unaffiliated issuers, at value
(cost $20,955,970,148)		  

$

19,090,571,204

    

Cash

    

81,248,180

    

Receivable from securities sold

    

2,434,500

    

Dividend receivable

    

24,380,119

    

Total Assets

  

$

19,198,634,003

    

Liabilities:

  

Distribution payable

  

$

74,622,693

    

Payable to Sponsor

    

11,341,941

    

Payable for securities purchased

    

5,960,939

    

Accrued Trustee fees

    

3,420,967

    

License fee payable

    

2,253,019

    

Other accrued expenses

    

643,853

    

Total liabilities

    

98,243,412

    

Net Assets

  

$

19,100,390,591

    

Net assets presented by:

  
Interest in Unitholders (54,215,547 units of fractional
undivided interest (Units) outstanding;
unlimited units authorized)		  

Paid-in capital

  

$

22,029,698,134

    

Total distributable earnings (loss)

    

(2,929,307,543

)

  

Net Assets

  

$

19,100,390,591

    
Units of beneficial interest outstanding, no par value,
unlimited Units authorized:		    

54,215,547

    

Net asset value per Unit:

  

$

352.30

    

The accompanying notes are an integral part of these financial statements.
14


SPDR S&P MidCap 400 ETF Trust
Statements of Operations

   

Year Ended September 30,

  
   

2019

  

2018

  

2017

  

Investment Income

  

Dividend income from unaffiliated issuers

  

$

308,085,941

    

$

314,304,457

    

$

264,562,647

    

Expenses:

  

Printing and distributions expenses

    

18,820,355

      

22,820,463

      

19,650,949

    

Trustee fees and expenses

    

19,095,862

      

20,845,627

      

19,133,742

    

License fees

    

5,723,297

      

6,115,664

      

5,613,609

    

Legal fees

    

144,328

      

581,803

      

125,002

    

Audit fees

    

107,815

      

107,474

      

114,974

    

Other fees and expenses

    

111,127

      

144,674

      

145,895

    

Total expenses

    

44,002,784

      

50,615,705

      

44,784,171

    
Less: voluntary fee reduction
by the Trustee (see Note 3)		    

(1,135,360

)

    

(916,233

)

    

(739,417

)

  

Net expenses

    

42,867,424

      

49,699,472

      

44,044,754

    

Net Investment Income

  

$

265,218,517

    

$

264,604,985

    

$

220,517,893

    
Realized and unrealized gains
(losses) on investments of
unaffiliated issuers:		  

Net realized gains (losses)

  

$

(797,368,830

)

  

$

87,954,046

    

$

(137,308,970

)

  
Net realized gains from in-kind
redemptions		    

1,137,026,333

      

2,107,744,433

      

1,763,132,843

    

Net realized gains

    

339,657,503

      

2,195,698,479

      

1,625,823,873

    
Net increase (decrease) in unrealized
appreciation (depreciation) of
investments		    

(1,363,625,832

)

    

102,693,990

      

1,033,301,746

    
Net realized and unrealized
gains (losses) on investments		    

(1,023,968,329

)

    

2,298,392,469

      

2,659,125,619

    
Net increase (decrease) in
net assets resulting from
operations		  

$

(758,749,812

)

  

$

2,562,997,454

    

$

2,879,643,512

    

The accompanying notes are an integral part of these financial statements.
15


SPDR S&P MidCap 400 ETF Trust
Statements of Changes in Net Assets

   

Year Ended September 30,

  
   

2019

  

2018

  

2017

  

Increase (Decrease) in Net Assets From:

  

Operations:

  

Net investment income

  

$

265,218,517

    

$

264,604,985

    

$

220,517,893

    
Net realized gains on investments
and in-kind redemptions		    

339,657,503

      

2,195,698,479

      

1,625,823,873

    
Net increase (decrease) in
unrealized appreciation
(depreciation) on investments		    

(1,363,625,832

)

    

102,693,990

      

1,033,301,746

    
Net increase (decrease) in net assets
resulting from operations		    

(758,749,812

)

    

2,562,997,454

      

2,879,643,512

    
Net equalization credits and charges
(Note 2)		    

(1,716,018

)

    

1,399,287

      

—

    

Distributions to Unitholders

    

(270,906,411

)

    

(246,170,773

)

    

(239,114,371

)

  

Unitholder Transactions:

  
Proceeds from subscriptions of
Units		    

15,906,274,321

      

15,829,281,170

      

15,346,405,991

    
Reinvestment of dividends
and distributions		    

601,792

      

923,251

      

682,830

    

Less: Redemptions of Units

    

(17,243,824,204

)

    

(15,510,413,524

)

    

(16,352,971,553

)

  

Net income equalization (Note 2)

    

1,716,018

      

(1,399,287

)

    

—

    
Increase (decrease) in net assets due to
Unitholder transactions		    

(1,335,232,073

)

    

318,391,610

      

(1,005,885,732

)

  

Total increase (decrease)

    

(2,366,604,314

)

    

2,636,617,578

      

1,634,646,409

    

Net Assets

  

Beginning of year

    

21,466,994,905

      

18,830,377,327

      

17,195,730,918

    

End of year

  

$

19,100,390,591

    

$

21,466,994,905

    

$

18,830,377,327

    

The accompanying notes are an integral part of these financial statements.
16


SPDR S&P MidCap 400 ETF Trust
Financial Highlights

   

Year Ended September 30,

  
   

2019

  

2018

  

2017

  

2016

  

2015

  
Net Asset Value, Beginning
of Year		  

$

367.34

    

$

326.43

    

$

282.20

    

$

248.94

    

$

249.39

    

Investment Operations:

  

Net investment income(1)

    

4.76

      

4.55

      

3.63

      

3.77

      

3.34

    
Net realized and
unrealized gain (loss)
on investments		    

(14.91

)

    

40.57

      

44.56

      

33.27

      

(0.28

)

  
Total from investment
operations		    

(10.15

)

    

45.12

      

48.19

      

37.04

      

3.06

    
Net equalization credits
and charges(1)		    

(0.03

)

    

0.02

      

—

      

—

      

—

    

Less Distributions from:

  

Net investment income

    

(4.86

)

    

(4.23

)

    

(3.96

)

    

(3.78

)

    

(3.51

)

  

Net asset value, end of year

  

$

352.30

    

$

367.34

    

$

326.43

    

$

282.20

    

$

248.94

    

Total investment return(2)

    

(2.77

)%

    

13.88

%

    

17.12

%

    

14.97

%

    

1.19

%

  

Ratios and Supplemental Data

  
Net assets, end of year
(000's omitted)		  

$

19,100,391

    

$

21,466,995

    

$

18,830,377

    

$

17,195,731

    

$

14,234,511

    
Ratio to average
net assets:		  
Ratio of expenses to
average net assets(3)		    

0.22

%

    

0.24

%

    

0.24

%

    

0.25

%

    

0.25

%

  
Ratio of net investment
income to average
net assets(3)		    

1.39

%

    

1.30

%

    

1.18

%

    

1.43

%

    

1.25

%

  

Portfolio turnover rate(4)

    

19.10

%

    

17.30

%

    

23.45

%

    

24.50

%

    

22.28

%

  

(1)  Per Unit numbers have been calculated using the average shares method, which more appropriately presents per Unit data for the year.

(2)  Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption on the last day of the period. It excludes the offset of transaction fees connected to the creation and redemption of Creation Units and brokerage commissions incurred by purchasing and/or selling shares of the Trust in the secondary market.

(3)  Net of voluntary fee reduction by the Trustee, if any. Before voluntary fee reduction by the Trustee, the net investment income and expenses to average net assets ratios would have been 1.39% and 0.23% for the year ended September 30, 2019, 1.30% and 0.25% for the year ended September 30, 2018, 1.18% and 0.24% for the year ended September 30, 2017, 1.43% and 0.25% for the year ended September 30, 2016, and 1.25% and 0.25% for the year ended September 30, 2015. The Trustee has notified the Trust that the voluntary fee reduction will cease on January 31, 2020. In addition, effective February 1, 2020, the Trustee and the Sponsor have amended the Trust Agreement to provide that the Trustee's fee will be 0.08% per annum for net asset value of $30,000,000,001 and above. (See Note 3)

(4)  Portfolio turnover rate excludes securities received or delivered from processing creations or redemptions of Units.

The accompanying notes are an integral part of these financial statements.
17


SPDR S&P MidCap 400 ETF Trust
Notes to Financial Statements
September 30, 2019

Note 1 — Organization

SPDR® S&P MidCap 400® ETF Trust (the "Trust") is a unit investment trust that issues securities called "Units." The Trust is organized under New York law and is governed by a trust agreement between The Bank of New York Mellon (formerly, The Bank of New York) (the "Trustee") and PDR Services LLC (the "Sponsor"), dated and executed as of April 27, 1995, as amended (the "Trust Agreement"). The Trust is an investment company 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 "MDY", and operates under an exemptive order granted by the Securities and Exchange Commission (the "SEC"). Units represent an undivided ownership interest in a portfolio of all of the common stocks of the Standard & Poor's MidCap 400 IndexTM (the "Index").

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 Trust 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 management 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 in Financial Accounting Standards Board Accounting Standards Codification 946, Financial Services Investment Companies.

Security Valuation - Trust securities are generally valued based on the closing sale price on that day (unless the Trustee deems such price inappropriate as a basis for evaluation) on the exchange deemed to be the principal market for the security or, if there is no such appropriate closing sale price on such exchange, at the closing bid price (unless the Trustee deems such price inappropriate as a basis for evaluation). If the securities are not listed or, if so listed and the principal market for the securities is other than on such exchange or there is no such closing bid price available, such evaluation shall generally be made by the Trustee in good faith based on the closing price on the over-the-counter market (unless the Trustee deems


18


such price inappropriate as a basis for evaluation) or if there is no such appropriate closing price, (a) on current bid prices, (b) if bid prices are not available, on the basis of current bid prices for comparable securities, (c) by the Trustee's appraising the value of the securities in good faith on the bid side of the market or (d) by any combination thereof.

The Trust follows the authoritative guidance for fair value measurements and the fair value option for financial assets and financial liabilities. The guidance also establishes a hierarchy for inputs used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs be used when available.

The guidance establishes three levels of inputs that may be used to measure fair value:

• Level 1 - quoted prices in active markets for identical investments

• Level 2 - other significant observable inputs (including, but not limited to, quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

• Level 3 - significant unobservable inputs (including the Trust's own assumptions in determining the fair value of investments)

The following is a summary of the inputs used as of September 30, 2019 in valuing the Trust's assets carried at fair value:

   

Level 1

  

Level 2

  

Level 3

  

Total

  

Assets

  

Investment in Securities

  

Common Stocks

  

$

19,090,571,204

    

$

—

    

$

—

    

$

19,090,571,204

    

Total

  

$

19,090,571,204

    

$

—

    

$

—

    

$

19,090,571,204

    

Investment Risk - The Trust's investments are exposed to risks, such as market risk. Due to the level of risk associated with certain investments, it is at least reasonably possible that changes in the values of investment securities will occur in the near term and that those changes could materially affect the amounts reported in the financial statements.

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 and perceived trends in stock prices. The value of a Unit will decline, more or less, in correlation with any decline in value of the Index. The values of equity securities could decline generally or could underperform other investments. The Trust would not sell an equity security because the security's issuer was in financial trouble unless that security was removed from the Index.


19


Investment Transactions - Investment transactions are recorded on the trade date. Realized gains and losses from the sale or disposition of securities are recorded on a specific identification basis. Dividend income is recorded on the ex-dividend date. 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 Trust'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.

Distributions to Unitholders - The Trust intends to declare and distribute dividends from net investment income quarterly. The Trust will distribute net realized capital gains, if any, at least annually, unless offset by available capital loss carryforwards.

Equalization - The Trust 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.

U.S. Federal Income Tax - 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 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 the Trust distributes during each calendar year substantially all of its ordinary income and capital gains, the Trust will not be subject to U.S. federal excise tax.

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. Tax benefits of positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax expense in the current year. The Trustee has reviewed the Trust's tax positions for the tax years subject to audit as of September 30, 2019, and has determined that no provision for income taxes is necessary for the year ended


20


September 30, 2019. The tax returns of the Trust's 2016, 2017 and 2018 tax years and the year ended September 30, 2019 remain subject to audit. The Trust has not recognized any tax liabilities relating to the Trust's tax positions considered to be uncertain tax positions for the current year or prior years.

Note 3 — Transactions with the Trustee and Sponsor

In accordance with the Trust Agreement, the Trustee maintains the Trust's accounting records, acts as custodian and transfer agent to the Trust, and provides administrative services, including the filing of all required regulatory reports. The Trustee is also 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 large blocks of 25,000 Units (known as "Creation Units"), 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 Index. For these services, the Trustee receives a fee based on the following annual rates:

Net Asset Value of the Trust

   Fee as a Percentage of
Net Asset Value of the Trust		  
$0-$500,000,000*   0.14% per annum  
$500,000,001-$1,000,000,000*   0.12% per annum  
$1,000,000,001 and above*   0.10% per annum  

*  The fee indicated applies to that portion of the net asset value of the Trust, which falls in the size category indicated. Effective February 1, 2020, the Trustee and the Sponsor have amended the Trust Agreement to provide that the fee will be 0.08% per annum for net asset value of $30,000,000,001 and above.

The Trustee has voluntarily agreed to reduce its fee for the years ended September 30, 2019, 2018 and 2017 as disclosed in the Statements of Operations. The amount of the reduction equals the daily Federal Funds Rate, as published in the Wall Street Journal, multiplied by the daily balance of the Trust's cash account, reduced by the amount of reserves for that account required by the Federal Reserve Board of Governors. The Trustee reserves the right to discontinue this voluntary fee reduction in the future, and has informed the Trust that the fee reduction will cease on January 31, 2020.

In accordance with the Trust Agreement and under the terms of the exemptive order issued by the SEC, dated January 18, 1995, the Sponsor is reimbursed by the Trust for certain expenses, to the extent such expenses do not exceed 0.30% per annum of the daily net asset value of the Trust as calculated by the Trustee. The expenses reimbursed to the Sponsor for the years ended September 30, 2019, 2018 and 2017 did not exceed 0.30% per annum.


21


Note 4 — Trust Transactions in Units

Transactions in Trust Units were as follows:

   

Year Ended September 30, 2019

  

Year Ended September 30, 2018

  
   

Units

  

Amount

  

Units

  

Amount

  
Units sold    

47,200,000

    

$

15,906,274,321

      

45,550,000

    

$

15,829,281,170

    
Dividend reinvestment
Units issued		    

1,755

      

601,792

      

2,664

      

923,251

    

Units redeemed

    

(51,425,000

)

    

(17,243,824,204

)

    

(44,800,000

)

    

(15,510,413,524

)

  

Net increase/(decrease)

    

(4,223,245

)

  

$

(1,336,948,091

)

    

752,664

    

$

319,790,897

    

 

   

Year Ended September 30, 2017

  
   

Units

  

Amount

  

Units sold

    

49,975,346

    

$

15,346,405,991

    
Dividend reinvestment
Units issued		    

2,306

      

682,830

    

Units redeemed

    

(53,225,000

)

    

(16,352,971,553

)

  

Net decrease

    

(3,247,348

)

  

$

(1,005,882,732

)

  

Except under the Trust's dividend reinvestment plan, Units are issued and redeemed by the Trust for authorized participants only in Creation Units. Such transactions are permitted only 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 net asset value per Unit of the Trust on the transaction date. The transaction fee payable to the Trustee in connection with each creation and redemption of Creation Units made through the clearing process (the "Transaction Fee") is non-refundable, regardless of the net asset value of the Trust. The Transaction Fee is the lesser of $3,000 or 0.20% (20 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 Index, an additional amount not to exceed three (3) times the Transaction Fee applicable for one Creation Unit may be charged per Creation Unit per day. During the year ended September 30, 2019, the Trustee earned $1,029,000 in transaction fees. The Trustee, in its sole discretion, may voluntarily reduce or waive the transaction fee, or modify its transaction fee schedule, subject to certain limitations. There were no reductions or waivers of such fees for the year ended September 30, 2019.

At September 30, 2019, the Trustee and its affiliates held $2,522,223,504 or 13.21% of fractional undivided interest in the Trust.


22


Note 5 — Investment Transactions

For the year ended September 30, 2019, the Trust had net in-kind contributions, net in-kind redemptions, purchases and sales of investment securities of $15,852,349,500, $17,191,677,579, $3,687,668,459, and $3,656,008,475, respectively.

Note 6 — U.S. Federal Income Tax Status

The following details the distributions and net distributable earnings as of September 30, 2019. The components of distributable earnings for tax purposes differ from the amounts reflected in the Statement of Assets and Liabilities by temporary book/tax differences primarily arising from wash sales, distribution payable, post-October losses deferred and amortization of license fees.

The tax composition of dividends paid during the years ending September 30, 2019, September 30, 2018 and September 30, 2017, in the amounts disclosed on the statements of changes in net assets, was ordinary income.

At September 30, 2019, the Trust's cost of investments for federal income tax purposes and unrealized appreciation (depreciation) was as follows:

Cost of investments for federal income tax purposes

  

$

21,132,598,334

    

Gross unrealized appreciation

  

$

958,803,295

    

Gross unrealized depreciation

    

(3,000,830,425

)

  

Net unrealized depreciation

  

$

(2,042,027,130

)

  

Distributable earnings, ordinary income

  

$

67,153,765

    

Short-term capital loss carryforwards (no expiration):

  

$

—

    

Long-term capital loss carryforwards (no expiration):

  

$

65,956,156

    

During the year ended September 30, 2019, the Trust utilized $11,323,453 of capital loss carryforwards. To the extent that capital loss carryforwards are used to offset future capital gains, it is probable that the offset gains will not be distributed to Unitholders.

At September 30, 2019, the Trust deferred $782,381,598 of capital losses arising subsequent to October 31, 2018. For tax purposes, such losses will be reflected in the year ending September 30, 2020.

As of September 30, 2019, the Trust had permanent book/tax differences primarily attributable to gains or losses from in-kind redemptions and distributions received from REITs. To reflect reclassifications arising from these differences, total distributable earnings (loss) was increased by $856,656,029 and paid-in capital was increased by $856,656,029.


23


Note 7 — Representations and Indemnifications

In the normal course of business, the Trustee or the Sponsor, on behalf of the Trust, may enter into contracts that contain a variety of representations and warranties which provide general indemnifications. The Trust's maximum exposure under these arrangements is unknown as this would involve future claims which may be made against the Trust that have not yet occurred. However, based on experience, the Trust expects the risk of loss to be remote.

Note 8 — Related Party Transactions

The Trustee used BNY Mellon Capital Markets, LLC ("BNYMellon CM"), an indirect-wholly-owned subsidiary of The Bank of New York Mellon Corporation, and an affiliate of the Trustee, to execute some brokerage transactions for the Trust. During the fiscal years ended September 30, 2019, 2018 and 2017, the Trust paid $846,089, $773,337 and $975,074 in commissions to BNYMellon CM, respectively.

Note 9 — License Agreement and Distribution Expenses

A license agreement between State Street Global Advisors Funds Distributors, LLC ("SSGA FD") and S&P (the "License Agreement") grants SSGA FD a license to use the Index as a basis for determining the composition of the portfolio of all the common stocks of the Index. The Trustee (on behalf of the Trust), the Sponsor and NYSE Arca, Inc. have each received a sublicense from SSGA FD for the use of the Index and such 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 Units.

Currently, the License Agreement is scheduled to terminate on November 29, 2031, but its term may be extended beyond such date without the consent of any of the owners of Units.

In addition, the following distribution expenses are or may be charged to the Trust: (a) reimbursement to the Sponsor of amounts paid by it to S&P in respect of annual licensing fees pursuant to the License Agreement; (b) federal and state annual registration fees for the issuance of Units; and (c) expenses of the Sponsor relating to the printing and distribution of marketing materials describing Units and the Trust (including, but not limited to, associated legal, consulting, advertising, and marketing costs and other out-of-pocket expenses such as printing). With respect to the marketing expenses described in item (c) above, the Sponsor has entered into an agreement with SSGA FD, pursuant to which SSGA FD has agreed to market and promote the Trust. SSGA FD is reimbursed by the Sponsor for the expenses it incurs for providing such services out of amounts that the Trust reimburses the Sponsor. Pursuant to the provisions of the exemptive order, the expenses set forth in this paragraph may be charged to the Trust by the Trustee in an amount equal to the actual costs incurred, but in no case shall such charges exceed


24


0.30% per annum of the daily net asset value of the Trust. These distribution expenses are presented on the Trust's Statements of Operations.

Note 10 — Subsequent Event

The Trustee has evaluated the impact of all subsequent events of the Trust through the date on which the financial statements were issued and has determined that there were no subsequent events requiring adjustments or additional disclosure in the financial statements.


25


REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Trustee and Unitholders of the SPDR S&P MidCap 400 ETF Trust

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of the SPDR S&P MidCap 400 ETF Trust (the "Trust") as of September 30, 2019, the related statements of operations and of changes in net assets for each of the three years in the period ended September 30, 2019, including the related notes, and the financial highlights for each of the five years in the period ended September 30, 2019 (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, 2019, the results of its operations and the changes in its net assets for each of the three years in the period ended September 30, 2019 and the financial highlights for each of the five years in the period ended September 30, 2019 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, 2019 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
January 14, 2020

We have served as the auditor of one or more investment companies in the SPDR Funds since 1993.


26


TAX INFORMATION
(Unaudited)

For U.S. federal income tax purposes, the percentage of Trust dividend distributions that qualify for the corporate dividends received deduction for the fiscal year ended September 30, 2019 is 100.0%.

For the fiscal year ended September 30, 2019, all dividends paid by the Trust may be designated as qualified dividend income for U.S. federal income tax purposes and subject to a maximum U.S. federal income tax rate of 20% 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 2019 Form 1099-DIV.


27


ESSENTIAL INFORMATION AS OF SEPTEMBER 30, 2019
(Unaudited)

Total Trust Assets:

   $19,198,634,003  

Trust Net Assets:

   $19,100,390,591  

Number of Units:

  

54,215,547

  

Fractional Undivided Interest in Trust Represented by each Unit:

  

1/54,215,547

  

Record Date:

  

Quarterly, on the first (1st) Business Day after the third Friday in each of March, June, September and December.

  

Dividend Payment Dates:

  

Quarterly, on the last Business Day of April, July, October and January.

  

Trustee's Annual Fee:*

  

From 0.10% to 0.14%, based on the net asset value of the Trust, as the same may be reduced by certain amounts, plus the Transaction Fee.

  

Estimated Ordinary Operating Expenses of the Trust:

  

0.25% (inclusive of Trustee's annual fee)

  

Net Asset Value per Unit (based on the value of the securities, other net assets of the Trust and number of Units outstanding):

   $352.30  

Evaluation Time:

  

Closing time of the regular trading session on the New York Stock Exchange LLC (ordinarily 4:00 p.m. New York time).

  

Licensor:

  

Standard & Poor's Financial Services LLC, a division of The McGraw-Hill Companies, Inc.

  

Mandatory Termination Date:**

  

The first to occur of (i) April 27, 2120 or (ii) the date 20 years after the death of the last survivor of eleven persons named in the Trust Agreement, the oldest of whom was born in 1990 and the youngest of whom was born in 1993.

  

Discretionary Termination:

  

The Trust may be terminated if the value of the securities held by the Trust is less than $100,000,000, as such amount shall be adjusted for inflation.

  

*  The Trustee has notified the Trust that the voluntary fee reduction will cease on January 31, 2020. In addition, effective February 1, 2020, the Trustee and the Sponsor have amended the Trust Agreement to provide that the Trustee's fee will be 0.08% per annum for net asset value of $30,000,000,001 and above.

**  The Trust Agreement became effective and the initial deposit was made on April 27, 1995.


28


ESSENTIAL INFORMATION AS OF SEPTEMBER 30, 2019

SPDR S&P MidCap 400 ETF Trust
Frequency Distribution of Discounts and Premiums
Bid/Ask Price vs. Net Asset Value (NAV)
(Unaudited)

Five Year Period Ending 9/30/2019

Premium/Discount Range

   Number of
Trading Days		   Percentage of
Total Trading Days		  

Greater than 0.25%

    

0

      

0.00

%

  

Between zero and 0.25%

    

689

      

54.77

%

  

Bid/Ask Price Equal to NAV

    

10

      

0.79

%

  

Between zero and -0.25%

    

556

      

44.20

%

  

Less than -0.25%

    

3

      

0.24

%

  

Total:

    

1,258

      

100.00

%

  

Comparison of Total Returns Based on NAV and Bid/Ask Price(1)(2)
From Inception to 9/30/19 (Unaudited)

Cumulative Total Return

   

1 Year

  

5 Year

  

10 Year

   Since
Inception		  

SPDR S&P MidCap 400 ETF Trust

  
Return Based on NAV    

-2.77

%

    

50.93

%

    

216.58

%

    

1,252.83

%

  
Return Based on Bid/Ask Price    

-2.75

%

    

51.03

%

    

217.29

%

    

1,253.48

%

  
S&P MidCap 400 Index    

-2.77

%

    

50.96

%

    

216.61

%

    

1,252.90

%

  

Annualized Total Return

   

1 Year

  

5 Year

  

10 Year

   Since
Inception		  

SPDR S&P MidCap 400 ETF Trust

  
Return Based on NAV    

-2.77

%

    

8.58

%

    

12.21

%

    

11.25

%

  
Return Based on Bid/Ask Price    

-2.75

%

    

8.60

%

    

12.24

%

    

11.25

%

  
S&P MidCap 400 Index    

-2.77

%

    

8.59

%

    

12.22

%

    

11.25

%

  

(1)  Currently, the Bid/Ask Price is the midpoint of the NYSE Arca Bid/Ask price at the time the Trust's NAV was calculated, ordinarily 4:00 p.m.

(2)  The Cumulative and Annualized Total Return for the Trust and the Index are calculated from the Trust's inception date of April 27, 1995.


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SPDR S&P MidCap 400 ETF Trust
(Unaudited)

Sponsor

PDR Services LLC
c/o NYSE Holdings LLC
11 Wall Street
New York, NY 10005

Trustee

The Bank of New York Mellon
2 Hanson Place
Brooklyn, NY 11217

Distributor

ALPS Distributors, Inc.
1290 Broadway
Suite 1100
Denver, CO 80203

Independent Registered Public Accounting Firm

PricewaterhouseCoopers LLP
101 Seaport Boulevard
Suite 500
Boston, MA 02210

Legal Counsel

Davis Polk & Wardwell LLP
450 Lexington Avenue
New York, NY 10017


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