Certified Annual Shareholder Report for Management Investment Companies (n-csr)

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-08837

THE SELECT SECTOR SPDR ^® TRUST

(Exact name of registrant as specified in charter)

One Lincoln Street, Boston, Massachusetts 02111

(Address of principal executive offices) (zip code)


(Name and Address of Agent for Service)		Copy to:

Ryan M. Louvar, Esq. State Street Bank and Trust Company One Lincoln Street/CPH0326 Boston, MA 02111		Leonard Mackey, Esq. Clifford Chance US LLP 31 West 52 ^nd Street New York, New York 10019

Registrant’s telephone number, including area code: (303) 623-2577

Date of fiscal year end: September 30

Date of reporting period: September 30, 2012

TABLE OF CONTENTS


	Item 1. Reports to Shareholders
	Item 2. Code of Ethics
	Item 3. Audit Committee Financial Expert
	Item 4. Principal Accountant Fees and Services
	Item 5. Disclosure of Audit Committees for Listed Companies
	Item 6. Schedule of Investments
	Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
	Item 8. Portfolio Managers of Closed-End Management Investment Companies
	Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
	Item 10. Submission of Matters to a Vote of Security Holders
	Item 11. Controls and Procedures
	Item 12. Exhibits
SIGNATURES

Item 1. Reports to Shareholders.

Select Sector SPDR Funds

The Select Sector SPDR Trust consists of nine separate investment portfolios (each a “Select Sector SPDR Fund“ or a “Fund“ and collectively the “Select Sector SPDR Funds“ or the “Funds“).

Select Sector SPDR Funds are “index funds” that unbundle the benchmark S&P 500 ^® and give you ownership in particular sectors or groups of industries that are represented by a specified Select Sector Index. Through a single share, investors can buy or sell any of nine major industry sectors that make up the S&P 500 ^® , much as they buy or sell a share of stock. Select Sector SPDR Fund shares are different from the shares of conventional mutual funds. Select Sector SPDR Funds trade on NYSE Arca.

Nine Select Sector SPDR Funds

Shares are available for exchange trading in the following Funds of The Select Sector SPDR Trust:


The Consumer Discretionary Select Sector SPDR Fund		XLY
The Consumer Staples Select Sector SPDR Fund		XLP
The Energy Select Sector SPDR Fund		XLE
The Financial Select Sector SPDR Fund		XLF
The Health Care Select Sector SPDR Fund		XLV
The Industrial Select Sector SPDR Fund		XLI
The Materials Select Sector SPDR Fund		XLB
The Technology Select Sector SPDR Fund		XLK
The Utilities Select Sector SPDR Fund		XLU

Each of these Funds is designed to, before expenses, correspond generally to the price and yield performance of a Select Sector Index. Each Fund’s portfolio is comprised principally of shares of constituent companies in the S&P 500 ^® . Each stock in the S&P 500 ^® is allocated to only one Select Sector Index. The combined companies of the nine Select Sector Indexes represent all of the companies in the S&P 500 ^® . Each Select Sector SPDR Fund can be expected to move up or down in value with its underlying Select Sector Index. Investors cannot invest directly in an index. Funds focused on a single sector generally experience greater price fluctuations than the overall stock market.

Objective

Select Sector SPDR Funds are designed to provide investors with an affordable way to invest in a portfolio of equity securities in a sector or group of industries in a single trade. Select Sector SPDR Funds allow you to custom tailor asset allocations to fit your particular investment needs or goals. One Fund may complement another; individual Select Sector SPDR Funds can be used to increase exposure to certain industries that may be outperforming the market or to hedge other holdings in your portfolio. Although an individual Select Sector SPDR Fund may bear a higher level of risk than a broad-market fund, because of less diversification, sector investments may also offer opportunities for returns greater than an investment in the entire constituents of the S&P 500 ^® .

TABLE OF CONTENTS


President’s Letter to Shareholders		1
Management’s Discussion and Analysis of Fund Performance
The Consumer Discretionary Select Sector SPDR Fund (XLY)		2
The Consumer Staples Select Sector SPDR Fund (XLP)		7
The Energy Select Sector SPDR Fund (XLE)		12
The Financial Select Sector SPDR Fund (XLF)		17
The Health Care Select Sector SPDR Fund (XLV)		22
The Industrial Select Sector SPDR Fund (XLI)		26
The Materials Select Sector SPDR Fund (XLB)		30
The Technology Select Sector SPDR Fund (XLK)		34
The Utilities Select Sector SPDR Fund (XLU)		39
Schedules of Investments
The Consumer Discretionary Select Sector SPDR Fund (XLY)		43
The Consumer Staples Select Sector SPDR Fund (XLP)		45
The Energy Select Sector SPDR Fund (XLE)		46
The Financial Select Sector SPDR Fund (XLF)		47
The Health Care Select Sector SPDR Fund (XLV)		49
The Industrial Select Sector SPDR Fund (XLI)		50
The Materials Select Sector SPDR Fund (XLB)		51
The Technology Select Sector SPDR Fund (XLK)		52
The Utilities Select Sector SPDR Fund (XLU)		54
Financial Statements		56
Financial Highlights		64
Notes to Financial Statements		73
Report of Independent Registered Public Accounting Firm		83
Other Information		84

President’s Letter to Shareholders

Dear Shareholders:

We are pleased to provide you with the Annual Report for the Select Sector SPDR Trust for the fiscal year ended September 30, 2012. You also will find Management’s Discussion and Analysis for each of the Select Sector SPDR Funds. We hope that you will find this information useful as you review your portfolio.

State Street launched the first Exchange Traded Fund (ETF) nearly two decades ago. The Select Sector SPDRs, representing the nine sectors that make up the S&P 500 ^® , joined the SPDR family five years later in 1998, giving investors the ability to over- or under-weight various sectors based on their own investment strategies and market outlook.

Today, whether you seek targeted sector exposure to capitalize on an emerging opportunity or seek to reduce a current risk, the Select Sector SPDR ETFs offer precise, liquid market access. Furthermore, with ongoing market uncertainty keeping the focus on risk management, we believe that ETFs’ unique product characteristics-transparency, low costs and tax efficiency-can offer investors value.

My colleagues and I take great pride in State Street’s heritage as a pioneer of the ETF industry and thank you for investing in the Select Sector SPDR Trust. We remain committed to supporting you with exceptional products and services designed to help you to achieve your financial goals.

Sincerely,

James Ross

President

The Consumer Discretionary Select Sector SPDR Fund —
Management’s Discussion and Analysis

The Consumer Discretionary Select Sector SPDR Fund (the “Fund”) seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of publicly traded equity securities of companies in the Consumer Discretionary Select Sector Index (the “Index”). In seeking to achieve this objective, the Fund uses a replication strategy.

For the 12-month period ended September 30, 2012 (the “Reporting Period”), the total return for the Fund was 36.25%, and the total return for the Index was 36.76%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

The Fund’s performance relative to the Index during the Reporting Period was within expectations. The performance differential can be attributed primarily to the expenses of managing the Fund, transaction costs, and compounding differences resulting from performance volatility.

Overall, the Fund and the Index had a very strong Reporting Period resulting in double digit positive returns. For the first three months of 2012, consumer discretionary stocks came in third place for highest return of all S&P sectors, with significant gains, as it benefited from an ample rebound in housing-related names. Despite being the weakest sector in June, the consumer discretionary sector remained an outperformer for both the second quarter and the full first half of the calendar year. Even against a backdrop of subdued earnings reports, global growth worries, and financial turmoil in Europe, stocks in the US delivered consistently impressive performance during the course of the third quarter. Despite a lackluster job market and choppy confidence readings, American consumers seem to retain deeply entrenched spending habits. The consumer discretionary sector outpaced the S&P 500 during the third quarter of 2012, with a significant calendar year-to-date return. Among the leaders in consumer discretionary have been housing-related, media and retailing names.

On an individual security level, the top positive contributors to the Fund’s performance were The Home Depot, Inc., Comcast Corp. and The Walt Disney Co. Home Depot continued to beat quarterly earnings expectations throughout the year. The company enjoyed robust top-line growth, an increase in comparable store sales year-to-date, a decent dividend yield and acquisitions to enhance customer relations. Comcast, the nation’s largest cable operator, enjoyed increased revenues thanks to success with its Xfinity venture and an increase in Internet subscribers. Disney also experienced a solid stock price performance as a result of impressive growth in earnings per share, net income and revenues, in addition to good cash flow from operations. The top negative contributors to the Fund’s performance were Best Buy Co., Inc., RadioShack Corp. and Apollo Group, Inc. Best Buy and RadioShack both suffered through the period as consumers shy away from large retailers to buy products from discount stores and via online retailers. Apollo Group, one of the world’s largest for-profit education companies, had a difficult year which required a major restructuring that

The Consumer Discretionary Select Sector SPDR Fund —
Management’s Discussion and Analysis (continued)

was still a work in progress at year end. A continued drop in enrollment and the threat of increased regulatory scrutiny put additional downward pressure on the stock return as well.

The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.

The Consumer Discretionary Select Sector SPDR Fund —
Performance Summary

The following performance chart of the Fund’s total return at net asset value, the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund’s per share net asset value (“NAV”) is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund’s NAV is calculated. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower.

An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund’s performance is negatively impacted by these deductions.

Performance quoted represents past performance and past performance does not guarantee future results. Current performance may be higher or lower than the performance quoted. For the most recent month end performance information visit www.sectorspdrs.com. Investment in the Fund poses investment risk including the possible loss of principal. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. The total expense ratio for The Consumer Discretionary Select Sector SPDR Fund as stated in the Fees and Expenses table of the prospectus dated January 31, 2012 is 0.18%. Fund returns at Net Asset Value shown in the table below reflect the impact of a fee waiver and without this waiver returns would have been lower.

PERFORMANCE AS OF SEPTEMBER 30, 2012




	CUMULATIVE TOTAL RETURN						AVERAGE ANNUAL TOTAL RETURN

					CONSUMER						CONSUMER
	NET ASSET		MARKET		DISCRETIONARY		NET ASSET		MARKET		DISCRETIONARY
	VALUE		VALUE		SELECT SECTOR INDEX		VALUE		VALUE		SELECT SECTOR INDEX

ONE YEAR		36.25%		36.24%		36.76%		36.25%		36.24%		36.76%

THREE YEARS		78.20%		78.24%		79.75%		21.24%		21.25%		21.59%

FIVE YEARS		38.24%		38.49%		39.38%		6.69%		6.73%		6.87%

TEN YEARS		132.51%		132.65%		137.26%		8.80%		8.81%		9.02%

The Consumer Discretionary Select Sector SPDR Fund —
Performance Summary (continued)

COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE)


	Consumer Discretionary		Consumer Discretionary
	Select Sector		Select Sector
	SPDR Fund(a)		Index(b)
09/30/02		10000		10000
12/31/02		10204		10210
03/31/03		10056		10068
06/30/03		11965		11990
09/30/03		12225		12262
12/31/03		13977		14030
03/31/04		14137		14202
06/30/04		14090		14164
09/30/04		13916		13998
12/31/04		15780		15893
03/31/05		14876		14988
06/30/05		14706		14824
09/30/05		14585		14707
12/31/05		14750		14880
03/31/06		15191		15321
06/30/06		15110		15248
09/30/06		15854		16008
12/31/06		17470		17653
03/31/07		17329		17523
06/30/07		17951		18164
09/30/07		16817		17022
12/31/07		15135		15321
03/31/08		14243		14420
06/30/08		13137		13295
09/30/08		13052		13208
12/31/08		10075		10190
03/31/09		9259		9365
06/30/09		10941		11064
09/30/09		13046		13199
12/31/09		14222		14402
03/31/10		15698		15910
06/30/10		13990		14177
09/30/10		16097		16328
12/31/10		18118		18400
03/31/11		18962		19267
06/30/11		19605		19935
09/30/11		17064		17348
12/31/11		19195		19546
03/31/12		22238		22666
06/30/12		21652		22077
09/30/12		23251		23726

Past performance is not a guarantee of future results.

The Consumer Discretionary Select Sector SPDR Fund —
Portfolio Summary

TOP FIVE HOLDINGS AS OF SEPTEMBER 30, 2012




		THE WALT			THE HOME DEPOT,
DESCRIPTION	COMCAST CORP. (CLASS A)	DISNEY CO.	MCDONALD’S CORP.	AMAZON.COM, INC.	INC.

MARKET VALUE	$224,645,222	220,192,068	217,153,808	215,897,080	213,572,700

% OF NET ASSETS	6.7	6.6	6.5	6.5	6.4

(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.)

INDUSTRY BREAKDOWN AS OF SEPTEMBER 30, 2012*


Media			32.0
Specialty Retail			19.1
Hotels, Restaurants & Leisure			16.6
Internet & Catalog Retail			9.5
Multiline Retail			7.0
Textiles, Apparel & Luxury Goods			5.5
Automobiles			3.3
Household Durables			2.5
Auto Components			2.1
Leisure Equipment & Products			1.2
Distributors			0.7
Diversified Consumer Services			0.5


*		The Fund’s industry breakdown is expressed as a percentage of total common stocks and may change over time.

The Consumer Staples Select Sector SPDR Fund —
Management’s Discussion and Analysis

The Consumer Staples Select Sector SPDR Fund (the “Fund”) seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of publicly traded equity securities of companies in the Consumer Staples Select Sector Index (the “Index”). In seeking this objective, the Fund uses a replication strategy.

For the 12-month period ended September 30, 2012 (the “Reporting Period”), the total return for the Fund was 24.28%, and the total return for the Index was 24.65%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

The Fund’s performance relative to the Index during the Reporting Period was within expectations. The performance differential can be attributed primarily to the expenses of managing the Fund along with the performance drag resulting from the cash balance held during a significantly positive market environment.

The fiscal year started very strongly for the equity market in October 2011 as the Index realized its first double-digit monthly gain in nearly 20 years. However, it was a bit of a chaotic quarter overall. Prospects initially brightened as Europe was thought to be moving closer to a bank recapitalization plan and the United States came through with both a solid earnings season and a respectable September unemployment report. This caused a rotation from defensive stocks like consumer staples, which had performed quite strongly for much of 2011, into cyclical stocks. However, worries about mandated austerity and headwinds to growth resumed, along with a rally in the U.S. dollar, causing defensives like consumer staples to once again become the favored issues of the market. The low interest rate environment also drew investors to higher yielding stocks which also benefitted this sector.

When the growth outlook continued to stall in the second quarter of 2012, consumer staples continued to see further gains as investors turned once again to more defensive, higher-yielding stocks. Further softening in China and a lack of follow through in the momentum of U.S. employment numbers helped to solidify the case for the rotation towards this sector. As had been the case previously, the sector’s fortunes once again took a turn. Thanks to firmer data on U.S. retail sales and housing coupled with another enormous underpinning to the market brought about by the Outright Monetary Transactions of the ECB and QE3, and the extension of the low-rate pledge by the Federal Reserve into 2015, cyclicals again began to curry favor relative to more defensive sectors. When bond yields began to surge in early August, income or yield oriented investors again turned their focus to growth stocks.

The Consumer Staples Select Sector SPDR Fund —
Management’s Discussion and Analysis (continued)

On an individual security level, the top contributors to the Fund’s performance were Wal-Mart Stores, Inc., Altria Group, Inc., and The Procter & Gamble Co. The top detractors to the Fund’s performance were SuperValu, Inc., Avon Products, Inc. and Tyson Foods, Inc. (Class A).

The Consumer Staples Select Sector SPDR Fund —
Performance Summary

Performance quoted represents past performance and past performance does not guarantee future results. Current performance may be higher or lower than the performance quoted. For the most recent month end performance information visit www.sectorspdrs.com. Investment in the Fund poses investment risk including the possible loss of principal. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. The total expense ratio for The Consumer Staples Select Sector SPDR Fund as stated in the Fees and Expenses table of the prospectus dated January 31, 2012 is 0.18%. Fund returns at Net Asset Value shown in the table below reflect the impact of a fee waiver and without this waiver returns would have been lower.

PERFORMANCE AS OF SEPTEMBER 30, 2012




	CUMULATIVE TOTAL RETURN						AVERAGE ANNUAL TOTAL RETURN

	NET ASSET		MARKET		CONSUMER STAPLES		NET ASSET		MARKET		CONSUMER STAPLES
	VALUE		VALUE		SELECT SECTOR INDEX		VALUE		VALUE		SELECT SECTOR INDEX

ONE YEAR		24.28%		24.27%		24.65%		24.28%		24.27%		24.65%

THREE YEARS		52.94%		53.02%		54.00%		15.21%		15.23%		15.48%

FIVE YEARS		46.67%		46.67%		48.12%		7.96%		7.96%		8.17%

TEN YEARS		127.23%		127.46%		133.33%		8.55%		8.57%		8.84%

The Consumer Staples Select Sector SPDR Fund —
Performance Summary (continued)

COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE)


	Consumer Staples		Consumer Staples
	Select Sector		Select Sector
	SPDR Fund(a)		Index(b)
09/30/02		10000		10000
12/31/02		10118		10125
03/31/03		9456		9467
06/30/03		10299		10320
09/30/03		10428		10459
12/31/03		11223		11265
03/31/04		11827		11881
06/30/04		11980		12044
09/30/04		11301		11364
12/31/04		12099		12179
03/31/05		12122		12211
06/30/05		12028		12122
09/30/05		12367		12474
12/31/05		12443		12558
03/31/06		12670		12796
06/30/06		13034		13174
09/30/06		13743		13901
12/31/06		14243		14458
03/31/07		14564		14796
06/30/07		14921		15165
09/30/07		15486		15753
12/31/07		16022		16304
03/31/08		15629		15915
06/30/08		14916		15194
09/30/08		15530		15827
12/31/08		13621		13867
03/31/09		12105		12328
06/30/09		13325		13583
09/30/09		14852		15151
12/31/09		15558		15881
03/31/10		16520		16874
06/30/10		15174		15499
09/30/10		16710		17081
12/31/10		17715		18120
03/31/11		18189		18618
06/30/11		19115		19577
09/30/11		18276		18720
12/31/11		20195		20708
03/31/12		21308		21859
06/30/12		21885		22464
09/30/12		22723		23333

Past performance is not a guarantee of future results.

The Consumer Staples Select Sector SPDR Fund —
Portfolio Summary

TOP FIVE HOLDINGS AS OF SEPTEMBER 30, 2012




	THE PROCTER &	PHILIP MORRIS		WAL-MART	KRAFT FOODS,
DESCRIPTION	GAMBLE CO.	INTERNATIONAL, INC.	THE COCA-COLA CO.	STORES, INC.	INC. (CLASS A)

MARKET VALUE	$819,995,769	650,751,336	630,058,795	532,366,927	297,007,581

% OF NET ASSETS	13.6	10.8	10.4	8.8	4.9

(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.)

INDUSTRY BREAKDOWN AS OF SEPTEMBER 30, 2012*


Food & Staples Retailing			23.2
Household Products			20.5
Beverages			20.0
Tobacco			17.5
Food Products			17.0
Personal Products			1.8


*		The Fund’s industry breakdown is expressed as a percentage of total common stocks and may change over time.

The Energy Select Sector SPDR Fund —
Management’s Discussion and Analysis

The Energy Select Sector SPDR Fund (the “Fund”) seeks to provide investment results that, before expenses, correspond to the price and yield performance of publicly traded equity securities of companies in the Energy Select Sector Index (the “Index”). In seeking this objective, the Fund uses a replication strategy.

For the 12-month period ended September 30, 2012 (the “Reporting Period”), the total return for the Fund was 27.68%, and the total return for the Index was 27.93%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

The Fund’s performance relative to the Index during the Reporting Period was within expectations. The performance differential can be attributed primarily to the expenses of managing the Fund and cash drag resulting from the cash balance held during a positive market environment.

The Reporting Period started very strongly for the equity market in October 2011 as the Index realized its first double-digit monthly gain in nearly 20 years. However, it was a bit of a chaotic quarter overall. Prospects initially brightened as Europe was thought to be moving closer to a bank recapitalization plan and the United States came through with both a solid earnings season and a respectable September unemployment report. No stocks benefited more from this newly found hope for stronger economic times ahead than energy and commodity stocks as investors shifted money in their direction. Strong fuel prices, thanks in part to production worries and Middle East tensions, were particularly beneficial to oil refiners. However, a Greek proposal on a referendum for accepting bailout funds and a reduced outlook for U.S. growth presented a temporary obstacle to cyclicals like energy in the latter part of the fiscal quarter.

The first quarter of 2012 arrived on the heels of a massive liquidity injection by the European Central Bank (ECB) and solid G7 manufacturing surveys. In addition, the U.S. payroll data had provided some upside surprises with jobless claims hitting a four-year low. This made it difficult to remain in the defensive issues that had garnered double digit returns in 2011. Subsequently, it made it far easier for investors to shift even further into cyclical issues like energy stocks which had suffered losses during the prior year and now seemed to be of good value in light of the positive macro environment. Steadily advancing gas and oil prices also contributed to the ascent of energy stocks through the end of February. In March, China tempered its GDP growth outlook, which caused energy stocks to give back much of their February gains.

As the growth outlook continued to stall in the second quarter of 2012, crude oil prices tumbled, sending energy stocks into a bit of a tailspin. The energy sector was the worst performing sector of the first half of the year and was the only sector to have a negative return over that time period. Then, as had been the case previously, the sector’s fortunes once again took a turn. Thanks to firmer data on U.S. retail sales and housing coupled with another enormous underpinning to the market brought about by the Outright Monetary Transactions of the ECB and QE3 and the extension of the low-rate pledge by the Federal Reserve into 2015, oil prices surged during the summer months. This led energy stocks to win the sector performance race for the three month period ending September 30, 2012.

The Energy Select Sector SPDR Fund —
Management’s Discussion and Analysis (continued)

On an individual security level, the top positive contributors to the Fund’s performance were Chevron Corp., ExxonMobil Corp. and ConocoPhillips. The top negative detractors to the Fund’s performance were Chesapeake Energy Corp., CONSOL Energy, Inc. and Transocean, Ltd.

The Energy Select Sector SPDR Fund —
Performance Summary

Performance quoted represents past performance and past performance does not guarantee future results. Current performance may be higher or lower than the performance quoted. For the most recent month end performance information visit www.sectorspdrs.com. Investment in the Fund poses investment risk including the possible loss of principal. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. The total expense ratio for The Energy Select Sector SPDR Fund as stated in the Fees and Expenses table of the prospectus dated January 31, 2012 is 0.18%. Fund returns at Net Asset Value shown in the table below reflect the impact of a fee waiver and without this waiver returns would have been lower.

PERFORMANCE AS OF SEPTEMBER 30, 2012




	CUMULATIVE TOTAL RETURN						AVERAGE ANNUAL TOTAL RETURN

	NET ASSET		MARKET		ENERGY		NET ASSET		MARKET		ENERGY
	VALUE		VALUE		SELECT SECTOR INDEX		VALUE		VALUE		SELECT SECTOR INDEX

ONE YEAR		27.68%		27.56%		27.93%		27.68%		27.56%		27.93%

THREE YEARS		43.28%		43.38%		44.08%		12.74%		12.76%		12.95%

FIVE YEARS		6.38%		6.45%		7.31%		1.24%		1.26%		1.42%

TEN YEARS		306.11%		306.65%		316.16%		15.04%		15.06%		15.33%

The Energy Select Sector SPDR Fund —
Performance Summary (continued)

COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE)


	Consumer Discretionary		Consumer Discretionary
	Select Sector		Select Sector
	SPDR Fund(a)		Index(b)
09/30/02		10000		10000
12/31/02		10604		10613
03/31/03		10676		10696
06/30/03		11548		11580
09/30/03		11586		11626
12/31/03		13399		13460
03/31/04		14290		14364
06/30/04		15403		15503
09/30/04		17180		17314
12/31/04		17876		18029
03/31/05		21178		21382
06/30/05		22055		22248
09/30/05		26671		26945
12/31/05		25067		25332
03/31/06		27184		27507
06/30/06		28421		28771
09/30/06		26909		27250
12/31/06		29654		30047
03/31/07		30506		30933
06/30/07		35100		35620
09/30/07		38176		38779
12/31/07		40430		41088
03/31/08		37900		38545
06/30/08		45367		46182
09/30/08		32883		33471
12/31/08		24746		25186
03/31/09		22149		22542
06/30/09		25115		25576
09/30/09		28344		28884
12/31/09		30086		30690
03/31/10		30490		31123
06/30/10		26474		27013
09/30/10		29987		30621
12/31/10		36622		37434
03/31/11		42990		43970
06/30/11		40767		41715
09/30/11		31807		32531
12/31/11		37713		38598
03/31/12		39304		40246
06/30/12		36554		37438
09/30/12		40611		41616

Past performance is not a guarantee of future results.

The Energy Select Sector SPDR Fund —
Portfolio Summary

TOP FIVE HOLDINGS AS OF SEPTEMBER 30, 2012




				OCCIDENTAL
DESCRIPTION	EXXON MOBIL CORP.	CHEVRON CORP.	SCHLUMBERGER, LTD.	PETROLEUM CORP.	CONOCOPHILLIPS

MARKET VALUE	$1,452,273,737	1,191,037,005	510,759,308	310,281,499	261,462,011

% OF NET ASSETS	19.2	15.7	6.7	4.1	3.4

(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.)

INDUSTRY BREAKDOWN AS OF SEPTEMBER 30, 2012*


Oil, Gas & Consumable Fuels			79.7
Energy Equipment & Services			20.3


*		The Fund’s industry breakdown is expressed as a percentage of total common stocks and may change over time.

The Financial Select Sector SPDR Fund —
Management’s Discussion and Analysis

The Financial Select Sector SPDR Fund (the “Fund”) seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of publicly traded equity securities of companies in the Financial Select Sector Index (the “Index”). In seeking this objective, the Fund uses a replication strategy.

For the 12-month period ended September 30, 2012 (the “Reporting Period”), the total return for the Fund was 34.44%, and the total return for the Index was 34.80%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

The Fund’s performance relative to the Index during the Reporting Period was within expectations. The performance differential can be attributed to the expenses of managing the Fund, cash drag resulting from the cash balance held during a positive market environment, slight variations between the Fund’s holdings and Index constituents and transaction costs.

Financials started the Reporting Period with the distinction of being one of the worst performing sectors, hounded regularly by regulatory concerns, tough business conditions, and mortgage-related distress. Even though there was a rebound in December, the returns for the first quarter of the Reporting Period lagged that of the Index. When the results of stress tests on major financial institutions arrived in mid-March 2012, demonstrating that a solid majority of the largest banks could withstand even severe market dislocations, U.S. equities seemed to acquire additional cachet as a haven from funding strains in Europe and slowdown concerns in Asia. Favorable credit conditions and well-received bank stress tests led the financial sector to significant gains in the second quarter of the Reporting Period. With improving liquidity conditions a central theme at the end of the Reporting Period, financial stocks enjoyed steady support along the way. Financial sectors outpaced the Index during this time. Banks were a key driver among financials, as a budding upturn in home prices and favorable interest rates have lifted sentiment towards lenders.

On an individual security level, the top positive contributors to the Fund’s performance were Wells Fargo & Co., JPMorgan Chase & Co. and Berkshire Hathaway, Inc. (Class B). Wells Fargo has promising metrics, a satisfactory dividend and a history of better risk management than most of the major banks. Additionally, they have been less risk-laden due to their tactical risk management and a lack of exposure to Europe’s crisis. Despite the large trading loss in recent headlines, J.P. Morgan still managed to be a top performer thanks to solid fundamentals such as profit margin, cash and long term debt. Berkshire Hathaway has experienced strong performance across all business segments, a solid balance sheet, adequate liquidity and a continuing trend of growing book value. The top negative contributors to the Fund’s performance were E*TRADE Financial Corp., Unum Group and Legg Mason, Inc. At the end of the fiscal year, E*TRADE reported significantly worse-than-expected earnings results, causing the stock to plunge lower. Unum Group exhibited a poor return on equity and profit margins and an overall disappointing performance in the stock itself. Legg Mason has experienced ongoing managerial changes and there are concerns regarding asset outflows resulting in a disappointing fiscal year for the company.

The Financial Select Sector SPDR Fund —
Management’s Discussion and Analysis (continued)

The Financial Select Sector SPDR Fund —
Performance Summary

Performance quoted represents past performance and past performance does not guarantee future results. Current performance may be higher or lower than the performance quoted. For the most recent month end performance information visit www.sectorspdrs.com. Investment in the Fund poses investment risk including the possible loss of principal. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. The total expense ratio for The Financial Select Sector SPDR Fund as stated in the Fees and Expenses table of the prospectus dated January 31, 2012 is 0.18%. Fund returns at Net Asset Value shown in the table below reflect the impact of a fee waiver and without this waiver returns would have been lower.

PERFORMANCE AS OF SEPTEMBER 30, 2012

CUMULATIVE TOTAL RETURN

AVERAGE ANNUAL TOTAL RETURN

NET ASSET

MARKET

FINANCIAL

NET ASSET

MARKET

FINANCIAL

VALUE

SELECT SECTOR INDEX

VALUE

SELECT SECTOR INDEX

ONE YEAR

34.44%

34.80%

34.44%

34.80%

THREE YEARS

8.86%

9.09%

9.44%

2.87%

2.94%

3.05%

FIVE YEARS

−49.21%

−49.13%

−49.15%

−12.67%

−12.64%

−12.65%

TEN YEARS

−5.78%

−5.83%

−4.26%

−0.59%

−0.60%

−0.43%

The Financial Select Sector SPDR Fund —
Performance Summary (continued)

COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE)


	Financial Select
	Sector SPDR		Financial Select
	Fund(a)		Sector Index(b)
09/30/02		10000		10000
12/31/02		10735		10744
03/31/03		10182		10195
06/30/03		12047		12079
09/30/03		12546		12589
12/31/03		14010		14079
03/31/04		14678		14764
06/30/04		14324		14413
09/30/04		14372		14464
12/31/04		15494		15611
03/31/05		14502		14618
06/30/05		15119		15250
09/30/05		15219		15360
12/31/05		16457		16626
03/31/06		16980		17166
06/30/06		16948		17144
09/30/06		18284		18514
12/31/06		19556		19823
03/31/07		18988		19259
06/30/07		19380		19667
09/30/07		18541		18829
12/31/07		15885		16130
03/31/08		13670		13878
06/30/08		11177		11335
09/30/08		11265		11431
12/31/08		7115		7214
03/31/09		5076		5137
06/30/09		6895		6970
09/30/09		8652		8748
12/31/09		8361		8459
03/31/10		9288		9403
06/30/10		8051		8149
09/30/10		8397		8502
12/31/10		9362		9489
03/31/11		9642		9778
06/30/11		9068		9199
09/30/11		7005		7102
12/31/11		7756		7872
03/31/12		9458		9608
06/30/12		8810		8952
09/30/12		9422		9574

Past performance is not a guarantee of future results.

The Financial Select Sector SPDR Fund —
Portfolio Summary

TOP FIVE HOLDINGS AS OF SEPTEMBER 30, 2012




	WELLS FARGO &	BERKSHIRE HATHAWAY,	JPMORGAN		BANK OF AMERICA
DESCRIPTION	CO.	INC. (CLASS B)	CHASE & CO.	CITIGROUP, INC.	CORP.

MARKET VALUE	$713,132,137	680,003,125	646,487,095	403,391,334	400,067,856

% OF NET ASSETS	9.0	8.6	8.2	5.1	5.1

(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.)

INDUSTRY BREAKDOWN AS OF SEPTEMBER 30, 2012*


Insurance			25.9
Diversified Financial Services			21.0
Commercial Banks			19.6
Real Estate Investment Trusts (REITs)			14.3
Capital Markets			12.3
Consumer Finance			6.2
Thrifts & Mortgage Finance			0.4
Real Estate Management & Development			0.3


*		The Fund’s industry breakdown is expressed as a percentage of total common stocks and may change over time.

The Health Care Select Sector SPDR Fund —
Management’s Discussion and Analysis

The Health Care Select Sector SPDR Fund (the “Fund”) seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of publicly traded equity securities of companies in the Health Care Select Sector Index (the “Index”). In seeking this objective, the Fund uses a replication strategy.

For the 12-month period ended September 30, 2012 (the “Reporting Period”), the total return for the Fund was 29.04%, and the total return for the Index was 29.41%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

There have been a number of factors that have impacted the Fund’s return over the Reporting Period. One of the more significant of these revolved around the continuing challenges to the Affordable Care Act. Notable events in regard to this ran the gamut from the Supreme Court upholding the constitutionality of the Affordable Care Act to Governor Romney’s presidential campaign as he has clearly stated his desire to repeal the Act. Another factor was the continued earnings strength for many of this Fund’s constituents. A third factor involved the pharmaceutical companies within this Fund. Their contributions to this Fund varied as patent expirations hurt some firms while new launches helped other firms.

On an individual security level, the top positive contributors to the Fund’s performance were Gilead Sciences, Inc., Express Scripts Holding Co. and DaVita, Inc. Gilead Science’s excellent performance was a result of strong revenue growth and expanding profit levels. Express Scripts’s return was caused in part by improving revenue growth due to both a movement to electronic health record systems and synergy expectations from their merger with Medco. Finally, DaVita’s strong showing was mainly due to both their continued growth in new business opportunities and their Healthcare Partners acquisition. The top negative contributors to the Fund’s performance were Hospira, Inc., WellPoint, Inc. and Cardinal Health, Inc. For Hospira, earnings decline and facility issues hurt the company’s return. In WellPoint’s case, lagging revenue growth due in part to lower enrollment and higher medical costs negatively impacted the company. Finally, Cardinal Health’s return was due broadly to an increased competitive landscape and in particular by their loss of a significant distribution contract with Express Scripts.

The Health Care Select Sector SPDR Fund —
Performance Summary

Performance quoted represents past performance and past performance does not guarantee future results. Current performance may be higher or lower than the performance quoted. For the most recent month end performance information visit www.sectorspdrs.com. Investment in the Fund poses investment risk including the possible loss of principal. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. The total expense ratio for The Health Care Select Sector SPDR Fund as stated in the Fees and Expenses table of the prospectus dated January 31, 2012 is 0.18%. Fund returns at Net Asset Value shown in the table below reflect the impact of a fee waiver and without this waiver returns would have been lower.

PERFORMANCE AS OF SEPTEMBER 30, 2012




	CUMULATIVE TOTAL RETURN						AVERAGE ANNUAL TOTAL RETURN

	NET ASSET		MARKET		HEALTH CARE		NET ASSET		MARKET		HEALTH CARE
	VALUE		VALUE		SELECT SECTOR INDEX		VALUE		VALUE		SELECT SECTOR INDEX

ONE YEAR		29.04%		29.00%		29.41%		29.04%		29.00%		29.41%

THREE YEARS		48.28%		48.39%		49.12%		14.03%		14.06%		14.25%

FIVE YEARS		25.02%		25.19%		26.10%		4.57%		4.60%		4.75%

TEN YEARS		86.53%		86.71%		90.63%		6.43%		6.44%		6.66%

The Health Care Select Sector SPDR Fund —
Performance Summary (continued)

COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE)


	Health Care		Health Care
	Select Sector		Select Sector
	SPDR Fund(a)		Index(b)
09/30/02		10000		10000
12/31/02		10498		10507
03/31/03		10600		10616
06/30/03		11644		11672
09/30/03		11117		11153
12/31/03		12048		12097
03/31/04		11988		12046
06/30/04		12300		12369
09/30/04		11626		11696
12/31/04		12222		12306
03/31/05		12142		12232
06/30/05		12636		12740
09/30/05		12825		12939
12/31/05		13009		13135
03/31/06		13158		13293
06/30/06		12485		12619
09/30/06		13745		13903
12/31/06		13932		14101
03/31/07		14058		14235
06/30/07		14765		14959
09/30/07		14912		15117
12/31/07		14898		15110
03/31/08		13160		13350
06/30/08		12993		13188
09/30/08		13041		13241
12/31/08		11449		11626
03/31/09		10541		10702
06/30/09		11483		11667
09/30/09		12574		12783
12/31/09		13716		13946
03/31/10		14188		14434
06/30/10		12515		12731
09/30/10		13606		13852
12/31/10		14117		14379
03/31/11		14911		15194
06/30/11		16075		16391
09/30/11		14449		14731
12/31/11		15871		16195
03/31/12		17301		17667
06/30/12		17581		17963
09/30/12		18653		19063

Past performance is not a guarantee of future results.

The Health Care Select Sector SPDR Fund —
Portfolio Summary

TOP FIVE HOLDINGS AS OF SEPTEMBER 30, 2012




				ABBOTT
DESCRIPTION	JOHNSON & JOHNSON	PFIZER, INC.	MERCK & CO., INC.	LABORATORIES	AMGEN, INC.

MARKET VALUE	$623,104,824	608,770,902	450,495,376	299,118,573	213,157,419

% OF NET ASSETS	12.3	12.0	8.9	5.9	4.2

(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.)

INDUSTRY BREAKDOWN AS OF SEPTEMBER 30, 2012*


Pharmaceuticals			50.9
Health Care Providers & Services			16.5
Health Care Equipment & Supplies			15.0
Biotechnology			13.4
Life Sciences Tools & Services			3.5
Health Care Technology			0.7


*		The Fund’s industry breakdown is expressed as a percentage of total common stocks and may change over time.

The Industrial Select Sector SPDR Fund —
Management’s Discussion and Analysis

The Industrial Select Sector SPDR Fund (the “Fund”) seeks to provide investment results that, before expenses, correspond to the price and yield performance of publicly traded equity securities of companies in the Industrial Select Sector Index (the “Index”). In seeking this objective, the Fund uses a replication strategy.

For the 12-month period ended September 30, 2012 (the “Reporting Period”), the total return for the Fund was 27.84%, and the total return for the Index was 28.14%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

The Fund’s performance relative to the Index during the Reporting Period was within expectations. The performance differential can be attributed primarily to the expenses of managing the Fund and a slight cash drag resulting from the cash balance held during a positive market environment.

The strong performance of the industrial sector over the Reporting Period generally resembled the performance of the overall Index. Despite the risk of budget cuts and reduced spending, aerospace and defense companies have performed very well over the past year. With geopolitical risks still lurking and technology advancing rapidly, governments have to invest in new projects to keep their militaries current. Industrial conglomerates also enjoyed a strong Reporting Period, as low interest rates have provided some new investment and earnings growth, and restructurings have provided cost savings and margin improvements.

On an individual security level, the top positive contributors to the Fund’s performance were General Electric Co., 3M Co. and Union Pacific Corp. General Electric’s infrastructure, energy and financial divisions have benefited from improving economic conditions, while 3M Company saw strong results from its health care segment. Both companies have reported improving operating margins. The railroad company Union Pacific saw decreased coal volume, but still had a strong Reporting Period due to the expiration of unfavorable long-term contracts and improved operating equipment. The top negative contributors to the Fund’s performance were CH Robinson Worldwide Inc., Expeditors International, and Pitney Bowes, Inc. Transportation companies C.H. Robinson Worldwide, Inc. and Expeditors International of Washington, Inc. struggled over the last twelve months as airfreight shipments suffered from lower global demand. Pitney Bowes has had difficulty adapting to electronic and digital communications as traditional mail volumes continue to decrease.

The Industrial Select Sector SPDR Fund —
Performance Summary

Performance quoted represents past performance and past performance does not guarantee future results. Current performance may be higher or lower than the performance quoted. For the most recent month end performance information visit www.sectorspdrs.com. Investment in the Fund poses investment risk including the possible loss of principal. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. The total expense ratio for The Industrial Select Sector SPDR Fund as stated in the Fees and Expenses table of the prospectus dated January 31, 2012 is 0.18%. Fund returns at Net Asset Value shown in the table below reflect the impact of a fee waiver and without this waiver returns would have been lower.

PERFORMANCE AS OF SEPTEMBER 30, 2012




	CUMULATIVE TOTAL RETURN						AVERAGE ANNUAL TOTAL RETURN

	NET ASSET		MARKET		INDUSTRIAL		NET ASSET		MARKET		INDUSTRIAL
	VALUE		VALUE		SELECT SECTOR INDEX		VALUE		VALUE		SELECT SECTOR INDEX

ONE YEAR		27.84%		27.85%		28.14%		27.84%		27.85%		28.14%

THREE YEARS		47.38%		47.57%		48.33%		13.80%		13.85%		14.05%

FIVE YEARS		−0.01%		0.18%		0.72%		0.00%		0.04%		0.14%

TEN YEARS		126.84%		126.81%		131.93%		8.54%		8.53%		8.78%

The Industrial Select Sector SPDR Fund —
Performance Summary (continued)

COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE)


	Industrial Select
	Sector SPDR		Industrial Select
	Fund(a)		Sector Index(b)
09/30/02		10000		10000
12/31/02		10596		10604
03/31/03		9975		9988
06/30/03		11585		11619
09/30/03		12111		12154
12/31/03		14040		14106
03/31/04		13897		13974
06/30/04		15065		15160
09/30/04		14970		15075
12/31/04		16486		16617
03/31/05		16190		16324
06/30/05		15690		15828
09/30/05		16147		16301
12/31/05		16945		17118
03/31/06		18283		18484
06/30/06		18347		18560
09/30/06		18168		18389
12/31/06		19248		19497
03/31/07		19582		19847
06/30/07		21532		21840
09/30/07		22687		23026
12/31/07		21790		22124
03/31/08		20769		21098
06/30/08		19135		19429
09/30/08		17344		17606
12/31/08		13318		13520
03/31/09		10668		10815
06/30/09		12722		12913
09/30/09		15392		15636
12/31/09		16331		16601
03/31/10		18400		18720
06/30/10		16248		16526
09/30/10		18615		18951
12/31/10		20847		21246
03/31/11		22625		23075
06/30/11		22482		22944
09/30/11		17743		18100
12/31/11		20632		21067
03/31/12		22963		23462
06/30/12		21977		22462
09/30/12		22684		23193

Past performance is not a guarantee of future results.

The Industrial Select Sector SPDR Fund —
Portfolio Summary

TOP FIVE HOLDINGS AS OF SEPTEMBER 30, 2012




	GENERAL ELECTRIC	UNITED TECHNOLOGIES	UNION PACIFIC		CATERPILLAR,
DESCRIPTION	CO.	CORP.	CORP.	3M CO.	INC.

MARKET VALUE	$435,122,169	167,207,241	149,955,965	147,718,490	146,909,256

% OF NET ASSETS	13.6	5.2	4.7	4.6	4.6

(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.)

INDUSTRY BREAKDOWN AS OF SEPTEMBER 30, 2012*


Aerospace & Defense			23.4
Machinery			21.5
Industrial Conglomerates			23.0
Road & Rail			8.8
Air Freight & Logistics			7.4
Commercial Services & Supplies			4.0
Electrical Equipment			5.6
Trading Companies & Distributors			2.1
Construction & Engineering			1.9
Professional Services			1.3
Airlines			0.5
Building Products			0.5


*		The Fund’s industry breakdown is expressed as a percentage of total common stocks and may change over time.

The Materials Select Sector SPDR Fund —
Management’s Discussion and Analysis

The Materials Select Sector SPDR Fund (the “Fund”) seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of publicly traded equity securities of companies in the Materials Select Sector Index (the “Index”). In seeking this objective, the Fund uses a replication strategy.

For the 12-month period ended September 30, 2012 (the “Reporting Period”), the total return for the Fund was 28.06%, and the total return for the Index was 28.35%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

The Fund’s performance relative to the Index during the Reporting Period was within expectations. The performance differential can be attributed primarily to the expenses of managing the Fund, securities lending, cash drag, transaction costs, compounding differences resulting from performance volatility and slight variations between the Fund’s holdings and the Index constituents.

Over the last year, the materials sector’s return was below that of the broad S&P 500 ^® . Due to its sensitivity to changes in supply and demand of raw materials, the materials sector was helped by the increase in consumer demand. The construction materials industry was the strongest performing industry in the materials sector. In addition, the chemicals industry contributed the most to performance partially due to its large weight in the sector.

On an individual security level, the top positive contributors to the Fund’s performance were Monsanto Co., Freeport-McMoRan Copper & Gold, Inc., and E.I. du Pont de Nemours & Co. Monsanto Co. continued to beat earnings estimates, helping to driving the stock price higher. It also saw an increase in its demand for its agricultural products. Freeport-McMoRan Copper & Gold Inc. reached its 52 week high in early February despite losing much of its gains during the next five months before rallying into late September. This early performance was the result of an increase in its dividend and a positive outlook for 2012. However, the fall of copper prices in May and the rally in September influenced Monsanto’s price during this time. For E.I. du Pont de Nemours & Co., fear of recession caused it to begin the Reporting Period near its 52 week low. As the recession fears receded and monetary policy was introduced, the stock price rebounded. The top negative contributors to the Fund’s performance were Newmont Mining Corp., Cliffs Natural Resources, Inc., and Alcoa, Inc. Newmont Mining Corp.’s stock price suffered as a result of the company’s asset write-down of its Hope Bay mine in Canada which resulted in a $1.61 billion quarterly loss in the first quarter of 2012. Cliffs Natural Resources, Inc. declined due to the fall in iron ore prices. Alcoa Inc. faced headwinds as it was faced with an oversupply of aluminum.

The Materials Select Sector SPDR Fund —
Performance Summary

Performance quoted represents past performance and past performance does not guarantee future results. Current performance may be higher or lower than the performance quoted. For the most recent month end performance information visit www.sectorspdrs.com. Investment in the Fund poses investment risk including the possible loss of principal. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. The total expense ratio for The Materials Select Sector SPDR Fund as stated in the Fees and Expenses table of the prospectus dated January 31, 2012 is 0.18%. Fund returns at Net Asset Value shown in the table below reflect the impact of a fee waiver and without this waiver returns would have been lower.

PERFORMANCE AS OF SEPTEMBER 30, 2012




	CUMULATIVE TOTAL RETURN						AVERAGE ANNUAL TOTAL RETURN

	NET ASSET		MARKET		MATERIALS		NET ASSET		MARKET		MATERIALS
	VALUE		VALUE		SELECT SECTOR INDEX		VALUE		VALUE		SELECT SECTOR INDEX

ONE YEAR		28.06%		28.07%		28.35%		28.06%		28.07%		28.35%

THREE YEARS		28.24%		28.33%		29.10%		8.65%		8.67%		8.89%

FIVE YEARS		−0.83%		−0.78%		−0.15%		−0.17%		−0.16%		−0.03%

TEN YEARS		162.26%		162.69%		168.30%		10.12%		10.14%		10.37%

The Materials Select Sector SPDR Fund —
Performance Summary (continued)

COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE)


	Materials Select
	Sector SPDR		Materials Select
	Fund(a)		Sector Index(b)
09/30/02		10000		10000
12/31/02		11284		11289
03/31/03		10459		10477
06/30/03		11887		11918
09/30/03		12609		12660
12/31/03		15521		15598
03/31/04		15249		15333
06/30/04		15661		15760
09/30/04		16184		16301
12/31/04		17575		17721
03/31/05		17893		18055
06/30/05		16191		16347
09/30/05		16472		16656
12/31/05		18294		18526
03/31/06		19658		19925
06/30/06		19584		19854
09/30/06		19459		19739
12/31/06		21644		21975
03/31/07		23610		23946
06/30/07		25264		25640
09/30/07		26457		26869
12/31/07		26401		26828
03/31/08		25597		26026
06/30/08		26583		27032
09/30/08		21278		21601
12/31/08		14788		14992
03/31/09		14512		14714
06/30/09		16960		17215
09/30/09		20458		20782
12/31/09		21955		22321
03/31/10		22577		22968
06/30/10		18947		19268
09/30/10		22379		22780
12/31/10		26434		26940
03/31/11		27618		28163
06/30/11		27310		27890
09/30/11		20488		20904
12/31/11		23534		24035
03/31/12		26078		26652
06/30/12		25011		25561
09/30/12		26226		26830

Past performance is not a guarantee of future results.

The Materials Select Sector SPDR Fund —
Portfolio Summary

TOP FIVE HOLDINGS AS OF SEPTEMBER 30, 2012




	MONSANTO	E.I. DU PONT DE	FREEPORT-MCMORAN		PRAXAIR,
DESCRIPTION	CO.	NEMOURS & CO.	COPPER & GOLD, INC.	THE DOW CHEMICAL CO.	INC.

MARKET VALUE	$253,179,503	244,101,217	196,092,817	181,094,062	161,658,887

% OF NET ASSETS	10.7	10.3	8.3	7.7	6.9

(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.)

INDUSTRY BREAKDOWN AS OF SEPTEMBER 30, 2012*


Chemicals			39.00
Metals & Mining			21.10
Paper & Forest Products			4.80
Containers & Packaging			3.70
Construction Materials			1.40


*		The Fund’s industry breakdown is expressed as a percentage of total common stocks and may change over time.

The Technology Select Sector SPDR Fund —
Management’s Discussion and Analysis

The Technology Select Sector SPDR Fund (the “Fund”) seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of publicly traded equity securities of companies in the Technology Select Sector Index (the “Index”). In seeking this objective, the Fund uses a replication strategy.

For the 12-month period ended September 30, 2012 (the “Reporting Period”), the total return for the Fund was 32.76%, and the total return for the Index was 33.11%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

The Fund’s performance relative to the Index during the Reporting Period was within expectations. The performance differential can be attributed primarily to the expenses of managing the Fund and slight variations between the Fund’s holdings and the Index constituents.

Technology shares generally performed well for the Reporting Period as consumers continued to drive the accelerating mobile revolution via smartphones, tablets, cloud computing, social media and other innovative technologies. The Fund performed strongly over the fourth quarter of 2011 and the first quarter of 2012. In the last quarter of 2011, stronger than expected earnings reports as well as positive macroeconomic data helped fuel positive returns. Additionally, Black Friday sales in November 2011 came in better than expected. Strong returns continued in the first quarter of 2012 driven again by good macroeconomic data and positive news surrounding the European sovereign debt crisis. The positive performance could not be sustained in the second quarter of 2012, as macroeconomic data looked mixed — better than expected retail sales and growth estimates were offset by worse than expected jobless claims, consumer confidence and home sales data. Also, the Federal Reserve signaled that it would hold off on increasing accommodation unless the economy loses momentum. The third quarter of 2012 was a positive quarter for returns despite continued mixed signals regarding the strength of the economy.

On an individual security level, the top positive contributors to the Fund’s performance were Apple, Inc., AT&T, Inc. and Google, Inc. (Class A). Apple’s positive performance was helped by continuing strong demand for its suite of products, particularly the third generation iPad tablet computer, the iPhone 4S and the newly released iPhone 5. The company’s products helped it realize strong growth and high profit margins in the first year following the death of its co-founder Steve Jobs. AT&T’s positive fortunes were due in part to it being the favored domestic iPhone wireless carrier. Google’s performance can be attributed to several factors. It realized a significant year-over-year increase in online advertising revenue, recording $12 billion in the second quarter of 2012 versus $9 billion for the same quarter in 2011. The company also made strategic moves to diversify its revenue structure most notably via its acquisition of Motorola Mobility, signaling an effort to increase its hardware presence. The top negative contributors to the Fund’s performance were Hewlett-Packard Co., Dell, Inc. and First Solar, Inc. Hewlett-Packard was hurt by its inability to keep abreast of major trends in the market as well as high CEO turnover. The overall market trend to move away from PCs to smartphones and

The Technology Select Sector SPDR Fund —
Management’s Discussion and Analysis (continued)

tablets has left the company in a poor position given that HP’s PC division makes up almost one third of its total sales. Similarly, Dell is another traditional PC maker that has suffered due to the shift in consumer demand away from PCs to more mobile products. Although the company has made efforts to enter other business segments (most notably in the higher margin enterprise space) through a combination of organic growth and acquisitions, weakness in the PC division continues to dominate the bottom line. First Solar has been hurt by the global economic downturn, reduced subsidies in key markets like Germany and Italy, lower prices and an oversupply of photovoltaic panels.

The Technology Select Sector SPDR Fund —
Performance Summary

Performance quoted represents past performance and past performance does not guarantee future results. Current performance may be higher or lower than the performance quoted. For the most recent month end performance information visit www.sectorspdrs.com. Investment in the Fund poses investment risk including the possible loss of principal. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. The total expense ratio for The Technology Select Sector SPDR Fund as stated in the Fees and Expenses table of the prospectus dated January 31, 2012 is 0.18%. Fund returns at Net Asset Value shown in the table below reflect the impact of a fee waiver and without this waiver returns would have been lower.

PERFORMANCE AS OF SEPTEMBER 30, 2012




	CUMULATIVE TOTAL RETURN						AVERAGE ANNUAL TOTAL RETURN

	NET ASSET		MARKET		TECHNOLOGY		NET ASSET		MARKET		TECHNOLOGY
	VALUE		VALUE		SELECT SECTOR INDEX		VALUE		VALUE		SELECT SECTOR INDEX

ONE YEAR		32.76%		32.75%		33.11%		32.76%		32.75%		33.11%

THREE YEARS		54.55%		54.68%		55.63%		15.62%		15.65%		15.89%

FIVE YEARS		22.92%		22.96%		24.10%		4.21%		4.22%		4.41%

TEN YEARS		194.00%		194.77%		200.47%		11.39%		11.42%		11.63%

The Technology Select Sector SPDR Fund —
Performance Summary (continued)

COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE)


	Technology Select
	Sector SPDR		Technology Select
	Fund(a)		Sector Index(b)
09/30/02		10000		10000
12/31/02		12560		12576
03/31/03		12151		12172
06/30/03		14434		14474
09/30/03		15467		15523
12/31/03		17465		17541
03/31/04		17248		17334
06/30/04		17614		17713
09/30/04		16299		16401
12/31/04		18375		18510
03/31/05		17013		17125
06/30/05		17355		17482
09/30/05		18198		18335
12/31/05		18351		18508
03/31/06		19412		19594
06/30/06		17788		17963
09/30/06		19326		19530
12/31/06		20571		20791
03/31/07		20630		20872
06/30/07		22665		22945
09/30/07		23923		24211
12/31/07		23698		23991
03/31/08		20107		20354
06/30/08		20370		20628
09/30/08		17780		18002
12/31/08		13889		14057
03/31/09		14161		14341
06/30/09		16532		16759
09/30/09		19027		19306
12/31/09		20964		21289
03/31/10		21164		21502
06/30/10		18818		19115
09/30/10		21304		21661
12/31/10		23400		23816
03/31/11		24275		24721
06/30/11		24043		24498
09/30/11		22149		22573
12/31/11		24023		24503
03/31/12		28539		29141
06/30/12		27317		27897
09/30/12		29400		30047

Past performance is not a guarantee of future results.

The Technology Select Sector SPDR Fund —
Portfolio Summary

TOP FIVE HOLDINGS AS OF SEPTEMBER 30, 2012




			INTERNATIONAL BUSINESS		GOOGLE, INC.
DESCRIPTION	APPLE, INC.	MICROSOFT CORP.	MACHINES CORP.	AT&T, INC.	(CLASS A)

MARKET VALUE	$2,197,820,988	789,514,912	783,092,633	764,212,779	702,269,737

% OF NET ASSETS	20.6	7.4	7.3	7.2	6.6

(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.)

INDUSTRY BREAKDOWN AS OF SEPTEMBER 30, 2012*


Computers & Peripherals			25.40
IT Services			16.70
Software			15.40
Diversified Telecommunication Services			12.80
Internet Software & Services			9.60
Communications Equipment			8.30
Semiconductors & Semiconductor Equipment			8.30
Electronic Equipment, Instruments & Components			1.90
Wireless Telecommunication Services			1.30
Office Electronics			0.30


*		The Fund’s industry breakdown is expressed as a percentage of total common stocks and may change over time.

The Utilities Select Sector SPDR Fund —
Management’s Discussion and Analysis

The Utilities Select Sector SPDR Fund (the “Fund”) seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of the Utilities Select Sector Index (the “Index”). In seeking this objective, the Fund uses a replication strategy.

For the 12-month period ended September 30, 2012 (the “Reporting Period”), the total return for the Fund was 12.64%, and the total return for the Index was 12.94%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

Whereas in previous periods the utilities sector was helped by its relative safety, investors in calendar year 2012 moved into a more risk-on environment which contributed to this sector lagging the broader market. This was also a period characterized by falling power prices which were mainly a result of the continued significant declines in natural gas prices. The impact of declining natural gas prices had varied effects on the constituents of this Fund as they tended to help the regulated power companies and hurt the competitive or non-regulated power companies. Finally, a period of milder weather hurt the constituents of this Fund as these conditions tended to negatively impact power demand.

On an individual security level, the top positive contributors to the Fund’s performance were Oneok, Inc., Nextra Energy and Sempra Energy. Oneok’s positive return was caused in part by both new products being put into service and positive results at their natural gas subsidiary. For Nextra Energy, strong revenue due in part to improvements in Florida’s economy fueled this stock’s return. In Sempra’s case, continued successes across their varied business lines and notable progress on the Cameron liquefaction project helped drive this stock’s performance. The top negative contributors to the Fund’s performance were Exelon Corp., Public Services Enterprise Group, Inc., and NRG Energy, Inc. Exelon Corp.’s return was hurt by higher operating and maintenance costs. In Public Service Enterprise Group’s case, declining earnings per share associated with falling power prices and milder weather impacted this stock’s performance. For NRG Energy, concerns regarding future revenues and margin compressions were partly responsible for this security’s return.

The Utilities Select Sector SPDR Fund —
Performance Summary

Performance quoted represents past performance and past performance does not guarantee future results. Current performance may be higher or lower than the performance quoted. For the most recent month end performance information visit www.sectorspdrs.com. Investment in the Fund poses investment risk including the possible loss of principal. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. The total expense ratio for The Utilities Select Sector SPDR Fund as stated in the Fees and Expenses table of the prospectus dated January 31, 2012 is 0.18%. Fund returns at Net Asset Value shown in the table below reflect the impact of a fee waiver and without this waiver returns would have been lower.

PERFORMANCE AS OF SEPTEMBER 30, 2012




	CUMULATIVE TOTAL RETURN						AVERAGE ANNUAL TOTAL RETURN

	NET ASSET		MARKET		UTILITIES		NET ASSET		MARKET		UTILITIES
	VALUE		VALUE		SELECT SECTOR INDEX		VALUE		VALUE		SELECT SECTOR INDEX

ONE YEAR		12.64%		12.61%		12.94%		12.64%		12.61%		12.94%

THREE YEARS		40.39%		40.56%		41.49%		11.97%		12.02%		12.26%

FIVE YEARS		11.24%		11.50%		12.33%		2.15%		2.20%		2.35%

TEN YEARS		182.43%		182.75%		190.05%		10.94%		10.95%		11.24%

The Utilities Select Sector SPDR Fund —
Performance Summary (continued)

COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE)


	Utilities Select
	Sector SPDR		Utilities Select
	Fund(a)		Sector Index(b)
09/30/02		10000		10000
12/31/02		10474		10487
03/31/03		10138		10159
06/30/03		12278		12328
09/30/03		12221		12267
12/31/03		13178		13242
03/31/04		13842		13924
06/30/04		13657		13745
09/30/04		14562		14669
12/31/04		16315		16456
03/31/05		17183		17349
06/30/05		18761		18965
09/30/05		20103		20342
12/31/05		19008		19228
03/31/06		18777		19005
06/30/06		19831		20087
09/30/06		21017		21313
12/31/06		22920		23263
03/31/07		25023		25424
06/30/07		24922		25326
09/30/07		25393		25821
12/31/07		27298		27771
03/31/08		24576		25010
06/30/08		26512		27001
09/30/08		21739		22119
12/31/08		19356		19693
03/31/09		17257		17548
06/30/09		18967		19311
09/30/09		20123		20500
12/31/09		21562		21988
03/31/10		20793		21217
06/30/10		20016		20420
09/30/10		22465		22943
12/31/10		22697		23193
03/31/11		23305		23836
06/30/11		24721		25299
09/30/11		25077		25682
12/31/11		27123		27806
03/31/12		26676		27361
06/30/12		28397		29147
09/30/12		28243		29005

Past performance is not a guarantee of future results.

The Utilities Select Sector SPDR Fund —
Portfolio Summary

TOP FIVE HOLDINGS AS OF SEPTEMBER 30, 2012




	DUKE ENERGY			DOMINION	NEXTERA
DESCRIPTION	CORP.	SOUTHERN CO.	EXELON CORP.	RESOURCES, INC.	ENERGY, INC.

MARKET VALUE	$564,374,239	540,197,891	407,244,197	407,003,673	398,625,025

% OF NET ASSETS	9.3	8.9	6.7	6.7	6.6

(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.)

INDUSTRY BREAKDOWN AS OF SEPTEMBER 30, 2012*


Electric Utilities			58.30
Multi-Utilities			35.80
Gas Utilities			3.30
Independent Power Producers & Energy Traders			2.60


*		The Fund’s industry breakdown is expressed as a percentage of total common stocks and may change over time.

The Consumer Discretionary Select Sector SPDR Fund
SCHEDULE OF INVESTMENTS

September 30, 2012


Security Description	Shares		Value

COMMON STOCKS — 99.7%
AUTO COMPONENTS — 2.1%
BorgWarner, Inc. (a)(b)		268,667	$	18,567,576
Johnson Controls, Inc.		1,605,378		43,987,357
The Goodyear Tire & Rubber Co. (a)		567,094		6,912,876

				69,467,809

AUTOMOBILES — 3.3%
Ford Motor Co.		8,952,294		88,269,619
Harley-Davidson, Inc.		535,779		22,700,956

				110,970,575

DISTRIBUTORS — 0.7%
Genuine Parts Co. (b)		364,041		22,217,422

DIVERSIFIED CONSUMER SERVICES — 0.5%
Apollo Group, Inc. (Class A) (a)		233,676		6,788,288
H&R Block, Inc. (b)		635,555		11,014,168

				17,802,456

HOTELS, RESTAURANTS & LEISURE — 16.6%
Carnival Corp.		1,048,809		38,218,600
Chipotle Mexican Grill, Inc. (a)		74,392		23,622,436
Darden Restaurants, Inc. (b)		300,930		16,776,847
International Game Technology		626,989		8,207,286
Marriott International, Inc. (Class A) (b)		590,656		23,094,650
McDonald’s Corp.		2,366,799		217,153,808
Starbucks Corp.		1,784,001		90,538,051
Starwood Hotels & Resorts Worldwide, Inc.		461,149		26,728,196
Wyndham Worldwide Corp.		338,148		17,746,007
Wynn Resorts, Ltd.		186,401		21,518,131
Yum! Brands, Inc.		1,069,874		70,975,441

				554,579,453

HOUSEHOLD DURABLES — 2.5%
D.R. Horton, Inc. (b)		648,426		13,383,513
Harman International Industries, Inc. (b)		157,538		7,271,954
Leggett & Platt, Inc. (b)		330,045		8,267,627
Lennar Corp. (Class A) (b)		382,131		13,286,695
Newell Rubbermaid, Inc.		677,868		12,940,500
Pulte Group, Inc. (a)(b)		792,668		12,286,354
Whirlpool Corp.		181,999		15,089,537

				82,526,180

INTERNET & CATALOG RETAIL — 9.5%
Amazon.com, Inc. (a)		848,919		215,897,080
Expedia, Inc.		222,802		12,886,868
NetFlix, Inc. (a)(b)		130,357		7,096,635
priceline.com, Inc. (a)		116,909		72,335,105
TripAdvisor, Inc. (a)		257,474		8,478,619

				316,694,307

LEISURE EQUIPMENT & PRODUCTS — 1.2%
Hasbro, Inc. (b)		270,182		10,312,847
Mattel, Inc.		800,222		28,391,877

				38,704,724

MEDIA — 31.9%
Cablevision Systems Corp. (b)		506,527		8,028,453
CBS Corp. (Class B)		1,395,723		50,706,617
Comcast Corp. (Class A)		6,280,269		224,645,222
DIRECTV (a)		1,473,023		77,274,787
Discovery Communications, Inc. (Class A) (a)		579,882		34,578,364
Gannett Co., Inc. (b)		545,214		9,677,548
McGraw-Hill Cos., Inc.		657,671		35,902,260
News Corp. (Class A)		4,776,948		117,178,534
Omnicom Group, Inc. (b)		623,323		32,138,534
Scripps Networks Interactive (Class A)		202,719		12,412,484
The Interpublic Group of Cos., Inc.		1,028,838		11,440,679
The Walt Disney Co.		4,211,784		220,192,068
The Washington Post Co. (Class B) (b)		11,177		4,057,586
Time Warner Cable, Inc.		718,987		68,346,904
Time Warner, Inc.		2,227,094		100,954,171
Viacom, Inc. (Class B)		1,109,805		59,474,450

				1,067,008,661

MULTILINE RETAIL — 6.9%
Big Lots, Inc. (a)		139,694		4,132,148
Dollar Tree, Inc. (a)		540,553		26,095,196
Family Dollar Stores, Inc.		227,179		15,061,968
J.C. Penney Co., Inc. (b)		339,340		8,242,569
Kohl’s Corp. (b)		505,803		25,907,230
Macy’s, Inc.		944,536		35,533,444
Nordstrom, Inc.		358,409		19,777,009
Target Corp.		1,537,028		97,555,167

				232,304,731

SPECIALTY RETAIL — 19.0%
Abercrombie & Fitch Co. (Class A) (b)		196,997		6,682,138
AutoNation, Inc. (a)(b)		96,182		4,200,268
AutoZone, Inc. (a)		88,164		32,591,586
Bed Bath & Beyond, Inc. (a)		544,919		34,329,897
Best Buy Co., Inc. (b)		624,011		10,726,749
CarMax, Inc. (a)		535,986		15,168,404
GameStop Corp. (Class A) (b)		289,517		6,079,857
Limited Brands, Inc.		559,308		27,551,512
Lowe’s Cos., Inc.		2,676,226		80,929,074
O’Reilly Automotive, Inc. (a)(b)		279,106		23,338,844
Ross Stores, Inc.		525,863		33,970,750
Staples, Inc. (b)		1,600,025		18,432,288
The Gap, Inc.		699,058		25,012,295
The Home Depot, Inc.		3,537,729		213,572,700
Tiffany & Co.		279,176		17,275,411
TJX Cos., Inc.		1,727,679		77,382,742
Urban Outfitters, Inc. (a)		258,352		9,703,701

				636,948,216

TEXTILES, APPAREL & LUXURY GOODS — 5.5%
Coach, Inc.		669,310		37,494,746
Fossil, Inc. (a)		128,549		10,888,100
NIKE, Inc. (Class B)		862,981		81,905,527
Ralph Lauren Corp.		143,246		21,663,093

See accompanying notes to financial statements.

The Consumer Discretionary Select Sector SPDR Fund
SCHEDULE OF INVESTMENTS (continued)

September 30, 2012


Security Description	Shares		Value

V.F. Corp.		206,429	$	32,896,525

				184,847,991

TOTAL COMMON STOCKS —
(Cost $3,402,024,941)				3,334,072,525

SHORT TERM INVESTMENTS — 4.4%
MONEY MARKET FUNDS — 4.4%
State Street Navigator Securities Lending Prime Portfolio (c)(d)		131,291,669		131,291,669
State Street Institutional Liquid Reserves Fund 0.21% (d)(e)		15,689,475		15,689,475

TOTAL SHORT TERM INVESTMENTS —
(Cost $146,981,144)				146,981,144

TOTAL INVESTMENTS — 104.1% (f)
(Cost $3,549,006,085)				3,481,053,669
OTHER ASSETS & LIABILITIES — (4.1)%				(137,894,884	)

NET ASSETS — 100.0%			$	3,343,158,785


(a)		Non-income producing security.
(b)		A portion of the security was on loan at September 30, 2012.
(c)		Investments of cash collateral for securities loaned.
(d)		Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3)
(e)		The rate shown is the annualized seven-day yield at period end.
(f)		The values of the securities of the Fund are determined based on Level 1 inputs. (Note 2)

See accompanying notes to financial statements.

The Consumer Staples Select Sector SPDR Fund
SCHEDULE OF INVESTMENTS

September 30, 2012


Security Description	Shares		Value

COMMON STOCKS — 99.6%
BEVERAGES — 19.9%
Beam, Inc.		798,153	$	45,925,724
Brown-Forman Corp. (Class B)		766,673		50,025,413
Coca-Cola Enterprises, Inc.		1,437,493		44,950,406
Constellation Brands, Inc. (Class A) (a)		959,765		31,048,398
Dr. Pepper Snapple Group, Inc. (b)		1,070,836		47,684,327
Molson Coors Brewing Co. (Class B)		847,137		38,163,522
Monster Beverage Corp. (a)		760,157		41,170,103
PepsiCo, Inc.		3,829,879		271,040,537
The Coca-Cola Co.		16,611,094		630,058,795

				1,200,067,225

FOOD & STAPLES RETAILING — 23.1%
Costco Wholesale Corp.		1,934,502		193,692,013
CVS Caremark Corp.		5,615,997		271,926,575
Safeway, Inc. (b)		1,435,610		23,098,965
Sysco Corp. (b)		2,766,164		86,497,948
The Kroger Co.		2,644,131		62,242,844
Wal-Mart Stores, Inc.		7,213,644		532,366,927
Walgreen Co.		3,921,715		142,907,294
Whole Foods Market, Inc.		816,887		79,564,794

				1,392,297,360

FOOD PRODUCTS — 16.9%
Archer-Daniels-Midland Co.		3,076,063		83,607,392
Campbell Soup Co. (b)		999,164		34,790,890
ConAgra Foods, Inc.		2,032,668		56,081,310
Dean Foods Co. (a)		1,209,315		19,772,300
General Mills, Inc.		2,974,410		118,530,239
H.J. Heinz Co. (b)		1,510,053		84,487,465
Hormel Foods Corp. (b)		811,610		23,731,476
Kellogg Co.		1,207,350		62,371,701
Kraft Foods, Inc. (Class A)		7,182,771		297,007,581
McCormick & Co., Inc. (b)		690,987		42,868,834
Mead Johnson Nutrition Co.		957,577		70,171,243
The Hershey Co.		754,280		53,470,909
The J.M. Smucker Co.		563,994		48,689,602
Tyson Foods, Inc. (Class A)		1,632,851		26,158,273

				1,021,739,215

HOUSEHOLD PRODUCTS — 20.4%
Colgate-Palmolive Co.		1,978,970		212,185,163
Kimberly-Clark Corp.		1,783,500		152,988,630
The Clorox Co. (b)		656,600		47,308,030
The Procter & Gamble Co.		11,822,315		819,995,769

				1,232,477,592

PERSONAL PRODUCTS — 1.8%
Avon Products, Inc.		2,327,024		37,116,033
The Estee Lauder Cos., Inc. (Class A)		1,172,727		72,204,801

				109,320,834

TOBACCO — 17.5%
Altria Group, Inc.		7,887,939		263,378,283
Lorillard, Inc.		615,837		71,714,219
Philip Morris International, Inc.		7,235,394		650,751,336
Reynolds American, Inc. (b)		1,558,113		67,528,618

				1,053,372,456

TOTAL COMMON STOCKS —
(Cost $5,766,445,067)				6,009,274,682

SHORT TERM INVESTMENTS — 3.2%
MONEY MARKET FUNDS — 3.2%
State Street Navigator Securities Lending Prime Portfolio (c)(d)		143,067,632		143,067,632
State Street Institutional Liquid Reserves Fund 0.21% (d)(e)		48,722,784		48,722,784

TOTAL SHORT TERM INVESTMENTS —
(Cost $191,790,416)				191,790,416

TOTAL INVESTMENTS — 102.8% (f)
(Cost $5,958,235,483)				6,201,065,098
OTHER ASSETS & LIABILITIES — (2.8)%				(169,109,545	)

NET ASSETS — 100.0%			$	6,031,955,553


(a)		Non-income producing security.
(b)		A portion of the security was on loan at September 30, 2012.
(c)		Investments of cash collateral for securities loaned.
(d)		Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3)
(e)		The rate shown is the annualized seven-day yield at period end.
(f)		The values of the securities of the Fund are determined based on Level 1 inputs. (Note 2)

See accompanying notes to financial statements.

The Energy Select Sector SPDR Fund
SCHEDULE OF INVESTMENTS

September 30, 2012


Security Description	Shares		Value

COMMON STOCKS — 100.0%
ENERGY EQUIPMENT & SERVICES — 20.4%
Baker Hughes, Inc. (a)		2,971,019	$	134,379,189
Cameron International Corp. (b)		2,013,771		112,912,140
Diamond Offshore Drilling, Inc.		577,553		38,008,763
Ensco PLC (Class A) (a)		1,183,331		64,562,539
FMC Technologies, Inc. (a)(b)		2,184,972		101,164,204
Halliburton Co.		5,666,437		190,902,262
Helmerich & Payne, Inc. (a)		538,739		25,649,364
Nabors Industries, Ltd. (a)(b)		2,703,972		37,936,727
National-Oilwell Varco, Inc.		2,759,783		221,086,216
Noble Corp. (b)		1,276,632		45,677,893
Rowan Cos., PLC (Class A) (a)(b)		1,713,503		57,864,996
Schlumberger, Ltd.		7,061,514		510,759,308

				1,540,903,601

OIL, GAS & CONSUMABLE FUELS — 79.6%
Alpha Natural Resources, Inc. (a)(b)		1,109,897		7,292,023
Anadarko Petroleum Corp.		2,967,177		207,465,016
Apache Corp.		2,300,340		198,910,400
Cabot Oil & Gas Corp.		2,322,450		104,278,005
Chesapeake Energy Corp. (a)		3,497,276		65,993,598
Chevron Corp.		10,218,231		1,191,037,005
ConocoPhillips		4,572,613		261,462,011
CONSOL Energy, Inc. (a)		1,842,594		55,369,950
Denbury Resources, Inc. (b)		4,016,122		64,900,531
Devon Energy Corp.		2,210,220		133,718,310
EOG Resources, Inc.		1,679,348		188,170,943
EQT Corp.		756,544		44,636,096
Exxon Mobil Corp.		15,880,522		1,452,273,737
Hess Corp.		1,882,372		101,121,024
Kinder Morgan, Inc./Delaware		2,909,390		103,341,533
Marathon Oil Corp.		4,221,280		124,823,250
Marathon Petroleum Corp.		1,720,761		93,936,343
Murphy Oil Corp.		1,275,595		68,486,696
Newfield Exploration Co. (b)		681,920		21,357,734
Noble Energy, Inc.		1,235,673		114,559,244
Occidental Petroleum Corp.		3,605,409		310,281,499
Peabody Energy Corp.		1,993,999		44,446,238
Phillips 66		3,197,011		148,245,400
Pioneer Natural Resources Co. (a)		1,421,903		148,446,673
QEP Resources, Inc.		902,243		28,565,013
Range Resources Corp. (a)		1,300,916		90,895,001
Southwestern Energy Co. (a)(b)		2,270,301		78,961,069
Spectra Energy Corp.		4,469,094		131,212,600
Sunoco, Inc. (a)		1,276,035		59,756,719
Tesoro Corp.		2,229,109		93,399,667
The Williams Cos., Inc.		4,508,531		157,663,329
Valero Energy Corp.		3,927,829		124,433,622
WPX Energy, Inc. (a)(b)		1,005,078		16,674,245

				6,036,114,524

TOTAL COMMON STOCKS —
(Cost $8,381,238,965)				7,577,018,125

SHORT TERM INVESTMENTS — 3.6%
MONEY MARKET FUNDS — 3.6%
State Street Navigator Securities Lending Prime Portfolio (c)(d)		234,905,982		234,905,982
State Street Institutional Liquid Reserves Fund 0.21% (d)(e)		39,318,086		39,318,086

TOTAL SHORT TERM INVESTMENTS —
(Cost $274,224,068)				274,224,068

TOTAL INVESTMENTS — 103.6% (f)
(Cost $8,655,463,033)				7,851,242,193
OTHER ASSETS & LIABILITIES — (3.6)%				(269,175,374	)

NET ASSETS — 100.0%			$	7,582,066,819


(a)		A portion of the security was on loan at September 30, 2012.
(b)		Non-income producing security.
(c)		Investments of cash collateral for securities loaned.
(d)		Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3)
(e)		The rate shown is the annualized seven-day yield at period end.
(f)		The values of the securities of the Fund are determined based on Level 1 inputs. (Note 2)

See accompanying notes to financial statements.

The Financial Select Sector SPDR Fund
SCHEDULE OF INVESTMENTS

September 30, 2012


Security Description	Shares		Value

COMMON STOCKS — 99.8%
CAPITAL MARKETS — 12.3%
Ameriprise Financial, Inc.		886,626	$	50,262,828
BlackRock, Inc.		538,361		95,989,766
E*TRADE Financial Corp. (a)		1,080,573		9,519,848
Federated Investors, Inc. (Class B) (b)		394,331		8,158,708
Franklin Resources, Inc.		581,482		72,725,954
Invesco, Ltd.		1,873,299		46,813,742
Legg Mason, Inc. (b)		505,686		12,480,331
Morgan Stanley		5,815,920		97,358,501
Northern Trust Corp.		920,480		42,724,079
State Street Corp. (c)		2,015,698		84,578,688
T. Rowe Price Group, Inc.		1,068,063		67,608,388
The Bank of New York Mellon Corp.		4,970,365		112,429,656
The Charles Schwab Corp. (b)		4,610,896		58,973,360
The Goldman Sachs Group, Inc.		1,895,400		215,469,072

				975,092,921

COMMERCIAL BANKS — 19.6%
BB&T Corp.		2,941,753		97,548,530
Comerica, Inc. (b)		814,215		25,281,376
Fifth Third Bancorp		3,866,580		59,970,656
First Horizon National Corp. (b)		1,046,929		10,081,926
Huntington Bancshares, Inc. (b)		3,611,806		24,921,461
KeyCorp		3,969,655		34,694,785
M & T Bank Corp. (b)		506,250		48,174,750
PNC Financial Services Group, Inc.		2,225,591		140,434,792
Regions Financial Corp.		5,947,050		42,878,231
SunTrust Banks, Inc.		2,265,867		64,056,060
U.S. Bancorp		7,968,090		273,305,487
Wells Fargo & Co.		20,652,538		713,132,137
Zions Bancorporation		774,918		16,005,931

				1,550,486,122

CONSUMER FINANCE — 6.2%
American Express Co.		4,146,413		235,765,043
Capital One Financial Corp.		2,444,712		139,373,031
Discover Financial Services		2,166,436		86,072,503
SLM Corp.		1,974,710		31,042,441

				492,253,018

DIVERSIFIED FINANCIAL SERVICES — 20.9%
Bank of America Corp.		45,307,798		400,067,856
Citigroup, Inc.		12,328,586		403,391,334
CME Group, Inc.		1,286,655		73,725,332
IntercontinentalExchange, Inc. (a)		306,214		40,852,010
JPMorgan Chase & Co.		15,970,531		646,487,095
Leucadia National Corp.		833,590		18,964,173
Moody’s Corp. (b)		813,673		35,939,936
NYSE Euronext		1,034,908		25,510,482
The Nasdaq OMX Group, Inc.		498,510		11,612,790

				1,656,551,008

INSURANCE — 25.9%
ACE, Ltd.		1,426,710		107,859,276
AFLAC, Inc.		1,970,430		94,344,188
American International Group, Inc. (a)		4,903,066		160,771,534
Aon PLC		1,356,511		70,931,960
Assurant, Inc.		341,152		12,724,970
Berkshire Hathaway, Inc. (Class B) (a)		7,709,786		680,003,125
Chubb Corp.		1,118,579		85,325,206
Cincinnati Financial Corp. (b)		615,061		23,304,661
Genworth Financial, Inc. (Class A) (a)		2,068,670		10,819,144
Hartford Financial Services Group, Inc.		1,833,661		35,646,370
Lincoln National Corp.		1,174,526		28,411,784
Loews Corp.		1,315,083		54,260,325
Marsh & McLennan Cos., Inc.		2,289,726		77,690,403
MetLife, Inc.		4,465,940		153,896,292
Principal Financial Group, Inc. (b)		1,166,819		31,434,104
Prudential Financial, Inc.		1,960,795		106,882,936
The Allstate Corp.		2,040,381		80,819,491
The Progressive Corp.		2,357,228		48,888,909
The Travelers Cos., Inc.		1,621,422		110,678,266
Torchmark Corp.		401,288		20,606,139
Unum Group		1,178,680		22,654,230
XL Group PLC		1,286,162		30,906,473

				2,048,859,786

REAL ESTATE INVESTMENT TRUSTS (REITS) — 14.2%
American Tower Corp.		1,662,743		118,703,223
Apartment Investment & Management Co. (Class A)		612,559		15,920,408
AvalonBay Communities, Inc. (b)		407,809		55,457,946
Boston Properties, Inc. (b)		634,281		70,157,821
Equity Residential		1,266,622		72,868,764
HCP, Inc.		1,807,564		80,400,447
Health Care REIT, Inc.		1,071,680		61,889,520
Host Hotels & Resorts, Inc. (b)		3,040,501		48,800,041
Kimco Realty Corp. (b)		1,712,386		34,710,064
Plum Creek Timber Co., Inc. (b)		679,625		29,794,760
ProLogis, Inc.		1,938,451		67,903,938
Public Storage, Inc.		606,380		84,389,905
Simon Property Group, Inc.		1,275,255		193,596,461
Ventas, Inc. (b)		1,243,088		77,382,228
Vornado Realty Trust		711,133		57,637,330
Weyerhaeuser Co.		2,262,792		59,149,383

				1,128,762,239

REAL ESTATE MANAGEMENT & DEVELOPMENT — 0.3%
CBRE Group, Inc. (a)		1,270,091		23,382,375

THRIFTS & MORTGAGE FINANCE — 0.4%
Hudson City Bancorp, Inc.		1,998,950		15,911,642
People’s United Financial, Inc. (b)		1,477,826		17,940,808

				33,852,450

TOTAL COMMON STOCKS —
(Cost $8,569,086,134)				7,909,239,919

See accompanying notes to financial statements.

The Financial Select Sector SPDR Fund
SCHEDULE OF INVESTMENTS (continued)

September 30, 2012


Security Description	Shares		Value

SHORT TERM INVESTMENTS — 2.3%
MONEY MARKET FUNDS — 2.3%
State Street Navigator Securities Lending Prime Portfolio (d)(e)		134,996,666	$	134,996,666
State Street Institutional Liquid Reserves Fund 0.21% (e)(f)		44,328,125		44,328,125

TOTAL SHORT TERM INVESTMENTS —
(Cost $179,324,791)				179,324,791

TOTAL INVESTMENTS — 102.1% (g)
(Cost $8,748,410,925)				8,088,564,710
OTHER ASSETS & LIABILITIES — (2.1)%				(167,135,565	)

NET ASSETS — 100.0%			$	7,921,429,145


(a)		Non-income producing security.
(b)		A portion of the security was on loan at September 30, 2012.
(c)		Affiliated Issuer. (Note 3)
(d)		Investments of cash collateral for securities loaned.
(e)		Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3)
(f)		The rate shown is the annualized seven-day yield at period end.
(g)		The values of the securities of the Fund are determined based on Level 1 inputs. (Note 2)

See accompanying notes to financial statements.

The Health Care Select Sector SPDR Fund
SCHEDULE OF INVESTMENTS

September 30, 2012


Security Description	Shares		Value

COMMON STOCKS — 99.9%
BIOTECHNOLOGY — 13.4%
Alexion Pharmaceuticals, Inc. (a)		633,627	$	72,486,929
Amgen, Inc.		2,527,958		213,157,419
Biogen Idec, Inc. (a)		793,228		118,373,414
Celgene Corp. (a)		1,416,389		108,212,120
Gilead Sciences, Inc. (a)		2,481,374		164,589,537

				676,819,419

HEALTH CARE EQUIPMENT & SUPPLIES — 15.0%
Baxter International, Inc.		1,822,462		109,821,560
Becton, Dickinson & Co.		672,648		52,843,227
Boston Scientific Corp. (a)		4,702,208		26,990,674
C.R. Bard, Inc.		272,811		28,549,671
CareFusion Corp. (a)		723,470		20,539,313
Covidien PLC		1,573,077		93,472,235
DENTSPLY International, Inc. (b)		462,433		17,637,195
Edwards Lifesciences Corp. (a)		379,775		40,776,442
Intuitive Surgical, Inc. (a)		131,077		64,965,693
Medtronic, Inc.		3,361,407		144,943,870
St. Jude Medical, Inc.		1,050,643		44,263,590
Stryker Corp.		966,118		53,774,128
Varian Medical Systems, Inc. (a)(b)		363,354		21,917,513
Zimmer Holdings, Inc.		583,306		39,443,152

				759,938,263

HEALTH CARE PROVIDERS & SERVICES — 16.5%
Aetna, Inc.		1,127,238		44,638,625
AmerisourceBergen Corp.		848,918		32,861,616
Cardinal Health, Inc.		1,130,952		44,073,199
CIGNA Corp.		973,000		45,896,410
Coventry Health Care, Inc.		436,685		18,205,398
DaVita, Inc. (a)		279,844		28,994,637
Express Scripts Holding Co. (a)		2,799,455		175,441,845
Humana, Inc.		571,689		40,103,983
Laboratory Corp. of America Holdings (a)		315,661		29,189,173
McKesson Corp.		797,867		68,640,498
Patterson Cos., Inc.		279,075		9,555,528
Quest Diagnostics, Inc.		536,448		34,026,896
Tenet Healthcare Corp. (a)		1,401,114		8,784,985
UnitedHealth Group, Inc.		3,414,758		189,211,741
WellPoint, Inc.		1,095,947		63,575,885

				833,200,419

HEALTH CARE TECHNOLOGY — 0.7%
Cerner Corp. (a)		477,929		36,996,484

LIFE SCIENCES TOOLS & SERVICES — 3.5%
Agilent Technologies, Inc.		1,143,656		43,973,573
Life Technologies Corp. (a)		575,454		28,128,191
PerkinElmer, Inc.		371,493		10,947,899
Thermo Fisher Scientific, Inc.		1,197,948		70,475,281
Waters Corp. (a)		287,593		23,965,125

				177,490,069

PHARMACEUTICALS — 50.8%
Abbott Laboratories		4,362,873		299,118,573
Allergan, Inc.		1,037,585		95,022,034
Bristol-Myers Squibb Co.		5,536,678		186,862,882
Eli Lilly & Co.		3,351,826		158,910,071
Forest Laboratories, Inc. (a)		777,920		27,701,731
Hospira, Inc. (a)		538,793		17,683,186
Johnson & Johnson (b)		9,042,299		623,104,824
Merck & Co., Inc.		9,988,811		450,495,376
Mylan, Inc. (a)		1,324,026		32,306,234
Perrigo Co. (b)		288,684		33,536,420
Pfizer, Inc.		24,497,823		608,770,902
Watson Pharmaceuticals, Inc. (a)		438,341		37,329,120

				2,570,841,353

TOTAL COMMON STOCKS —
(Cost $4,997,569,718)				5,055,286,007

SHORT TERM INVESTMENTS — 4.3%
MONEY MARKET FUNDS — 4.3%
State Street Navigator Securities Lending Prime Portfolio (c)(d)		194,402,560		194,402,560
State Street Institutional Liquid Reserves Fund 0.21% (d)(e)		21,286,487		21,286,487

TOTAL SHORT TERM INVESTMENTS —
(Cost $215,689,047)				215,689,047

TOTAL INVESTMENTS — 104.2% (f)
(Cost $5,213,258,765)				5,270,975,054
OTHER ASSETS & LIABILITIES — (4.2)%				(210,347,285	)

NET ASSETS — 100.0%			$	5,060,627,769


(a)		Non-income producing security.
(b)		A portion of the security was on loan at September 30, 2012.
(c)		Investments of cash collateral for securities loaned.
(d)		Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3)
(e)		The rate shown is the annualized seven-day yield at period end.
(f)		The values of the securities of the Fund are determined based on Level 1 inputs. (Note 2)

See accompanying notes to financial statements.

The Industrial Select Sector SPDR Fund
SCHEDULE OF INVESTMENTS

September 30, 2012


Security Description	Shares		Value

COMMON STOCKS — 99.9%
AEROSPACE & DEFENSE — 23.4%
General Dynamics Corp.		884,454	$	58,480,099
Honeywell International, Inc.		2,018,262		120,591,155
L-3 Communications Holdings, Inc.		236,616		16,967,733
Lockheed Martin Corp.		699,128		65,284,573
Northrop Grumman Corp.		654,487		43,477,571
Precision Castparts Corp.		356,192		58,180,401
Raytheon Co.		890,397		50,895,093
Rockwell Collins, Inc.		450,244		24,151,088
Textron, Inc. (a)		859,730		22,499,134
The Boeing Co.		1,731,857		120,571,884
United Technologies Corp.		2,135,742		167,207,241

				748,305,972

AIR FREIGHT & LOGISTICS — 7.4%
C.H. Robinson Worldwide, Inc. (a)		395,697		23,168,059
Expeditors International of Washington, Inc.		515,930		18,759,215
FedEx Corp.		767,348		64,932,988
United Parcel Service, Inc. (Class B)		1,793,586		128,366,950

				235,227,212

AIRLINES — 0.5%
Southwest Airlines Co.		1,996,674		17,510,831

BUILDING PRODUCTS — 0.5%
Masco Corp.		974,062		14,659,633

COMMERCIAL SERVICES & SUPPLIES — 4.0%
Avery Dennison Corp. (a)		307,634		9,788,914
Cintas Corp. (a)		318,110		13,185,659
Iron Mountain, Inc.		369,558		12,605,623
Pitney Bowes, Inc. (a)		563,789		7,791,564
R.R. Donnelley & Sons Co. (a)		643,254		6,818,492
Republic Services, Inc.		734,019		20,192,863
Stericycle, Inc. (a)(b)		209,876		18,997,976
Waste Management, Inc. (a)		1,165,288		37,382,439

				126,763,530

CONSTRUCTION & ENGINEERING — 1.8%
Fluor Corp.		595,081		33,491,159
Jacobs Engineering Group, Inc. (b)		317,959		12,855,082
Quanta Services, Inc. (b)		522,253		12,899,649

				59,245,890

ELECTRICAL EQUIPMENT — 5.6%
Cooper Industries PLC		391,752		29,404,905
Emerson Electric Co.		1,887,427		91,106,101
Rockwell Automation, Inc.		447,519		31,124,947
Roper Industries, Inc.		239,667		26,337,007

				177,972,960

INDUSTRIAL CONGLOMERATES — 23.0%
3M Co.		1,598,339		147,718,490
Danaher Corp.		1,607,703		88,664,821
General Electric Co.		19,159,937		435,122,169
Tyco International, Ltd.		1,131,796		63,674,843

				735,180,323

MACHINERY — 21.5%
Caterpillar, Inc.		1,707,453		146,909,256
Cummins, Inc.		799,367		73,709,631
Deere & Co.		1,071,772		88,410,472
Dover Corp.		542,101		32,249,588
Eaton Corp. (a)		1,011,569		47,806,751
Flowserve Corp.		125,275		16,002,629
Illinois Tool Works, Inc. (a)		1,123,134		66,792,779
Ingersoll-Rand PLC		702,513		31,486,633
Joy Global, Inc.		259,486		14,546,785
PACCAR, Inc. (a)		1,007,729		40,334,353
Pall Corp.		417,149		26,484,790
Parker-Hannifin Corp.		461,953		38,610,032
Pentair, Inc.		243,800		10,851,538
Snap-on, Inc.		142,568		10,246,362
Stanley Black & Decker, Inc.		412,049		31,418,736
Xylem, Inc.		454,812		11,438,522

				687,298,857

PROFESSIONAL SERVICES — 1.3%
Dun & Bradstreet Corp. (a)		109,973		8,756,050
Equifax, Inc.		399,704		18,618,212
Robert Half International, Inc. (a)		491,442		13,087,101

				40,461,363

ROAD & RAIL — 8.8%
CSX Corp.		3,072,398		63,752,258
Norfolk Southern Corp.		919,239		58,491,178
Ryder System, Inc.		227,565		8,888,689
Union Pacific Corp.		1,263,319		149,955,965

				281,088,090

TRADING COMPANIES & DISTRIBUTORS — 2.1%
Fastenal Co.		660,487		28,394,336
W.W. Grainger, Inc. (a)		192,563		40,124,353

				68,518,689

TOTAL COMMON STOCKS —
(Cost $3,623,043,643)				3,192,233,350

SHORT TERM INVESTMENTS — 3.5%
MONEY MARKET FUNDS — 3.5%
State Street Navigator Securities Lending Prime Portfolio (c)(d)		89,424,762		89,424,762
State Street Institutional Liquid Reserves Fund 0.21% (d)(e)		21,966,426		21,966,426

TOTAL SHORT TERM INVESTMENTS —
(Cost $111,391,188)				111,391,188

TOTAL INVESTMENTS — 103.4% (f)
(Cost $3,734,434,831)				3,303,624,538
OTHER ASSETS & LIABILITIES — (3.4)%				(107,412,985	)

NET ASSETS — 100.0%			$	3,196,211,553


(a)		A portion of the security was on loan at September 30, 2012.
(b)		Non-income producing security.
(c)		Investments of cash collateral for securities loaned.
(d)		Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3)
(e)		The rate shown is the annualized seven-day yield at period end.
(f)		The values of the securities of the Fund are determined based on Level 1 inputs. (Note 2)

See accompanying notes to financial statements.

The Materials Select Sector SPDR Fund
SCHEDULE OF INVESTMENTS

September 30, 2012


Security Description	Shares		Value

COMMON STOCKS — 99.7%
CHEMICALS — 68.8%
Air Products & Chemicals, Inc.		1,120,048	$	92,627,970
Airgas, Inc.		376,681		31,000,846
CF Industries Holdings, Inc.		333,095		74,027,033
E.I. du Pont de Nemours & Co.		4,855,803		244,101,217
Eastman Chemical Co.		824,837		47,023,957
Ecolab, Inc.		1,374,054		89,052,440
FMC Corp.		739,353		40,945,369
International Flavors & Fragrances, Inc.		447,088		26,637,503
LyondellBasell Industries NV (Class A)		1,770,490		91,463,513
Monsanto Co.		2,781,581		253,179,503
PPG Industries, Inc.		808,232		92,817,363
Praxair, Inc.		1,556,208		161,658,887
Sigma-Aldrich Corp. (a)		646,590		46,535,082
The Dow Chemical Co.		6,253,248		181,094,062
The Mosaic Co.		1,463,604		84,318,227
The Sherwin-Williams Co.		453,585		67,543,342

				1,624,026,314

CONSTRUCTION MATERIALS — 1.4%
Vulcan Materials Co. (a)		706,849		33,433,958

CONTAINERS & PACKAGING — 3.7%
Ball Corp.		835,936		35,368,452
Bemis Co., Inc. (a)		576,720		18,149,378
Owens-Illinois, Inc. (b)		925,347		17,359,510
Sealed Air Corp. (a)		982,385		15,187,672

				86,065,012

METALS & MINING — 21.0%
Alcoa, Inc. (a)		5,704,825		50,487,701
Allegheny Technologies, Inc. (a)		598,817		19,102,262
Cliffs Natural Resources, Inc.		768,591		30,074,966
Freeport-McMoRan Copper & Gold, Inc.		4,954,341		196,092,817
Newmont Mining Corp.		2,033,019		113,869,394
Nucor Corp. (a)		1,688,672		64,608,591
Titanium Metals Corp.		476,875		6,118,306
United States Steel Corp. (a)		812,642		15,497,083

				495,851,120

PAPER & FOREST PRODUCTS — 4.8%
International Paper Co.		2,323,869		84,402,922
MeadWestvaco Corp. (a)		948,160		29,013,697

				113,416,619

TOTAL COMMON STOCKS —
(Cost $2,593,465,781)				2,352,793,023

SHORT TERM INVESTMENTS — 3.3%
MONEY MARKET FUNDS — 3.3%
State Street Navigator Securities Lending Prime Portfolio (c)(d)		60,137,175		60,137,175
State Street Institutional Liquid Reserves Fund 0.21% (d)(e)		16,736,629		16,736,629

TOTAL SHORT TERM INVESTMENTS —
(Cost $76,873,804)				76,873,804

TOTAL INVESTMENTS — 103.0% (f)
(Cost $2,670,339,585)				2,429,666,827
OTHER ASSETS & LIABILITIES — (3.0)%				(69,942,515	)

NET ASSETS — 100.0%			$	2,359,724,312


(a)		A portion of the security was on loan at September 30, 2012.
(b)		Non-income producing security.
(c)		Investments of cash collateral for securities loaned.
(d)		Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3)
(e)		The rate shown is the annualized seven-day yield at period end.
(f)		The values of the securities of the Fund are determined based on Level 1 inputs. (Note 2)

See accompanying notes to financial statements.

The Technology Select Sector SPDR Fund
SCHEDULE OF INVESTMENTS

September 30, 2012


Security Description	Shares		Value

COMMON STOCKS — 99.7%
COMMUNICATIONS EQUIPMENT — 8.3%
Cisco Systems, Inc.		18,588,076	$	354,846,371
Comverse Technology, Inc. (a)		8,235		50,645
F5 Networks, Inc. (a)		278,009		29,107,542
Harris Corp. (b)		435,726		22,317,886
JDS Uniphase Corp. (a)(b)		1,048,902		12,990,651
Juniper Networks, Inc. (a)		1,913,116		32,733,415
Motorola Solutions, Inc.		1,029,721		52,052,397
QUALCOMM, Inc.		6,021,318		376,272,162

				880,371,069

COMPUTERS & PERIPHERALS — 25.3%
Apple, Inc.		3,293,800		2,197,820,988
Dell, Inc.		5,205,269		51,323,952
EMC Corp. (a)		7,472,784		203,782,820
Hewlett-Packard Co.		5,748,903		98,076,285
NetApp, Inc. (a)		1,343,246		44,165,928
SanDisk Corp. (a)		930,262		40,401,279
Seagate Technology PLC		1,237,801		38,371,831
Western Digital Corp.		825,400		31,967,742

				2,705,910,825

DIVERSIFIED TELECOMMUNICATION SERVICES — 12.7%
AT&T, Inc.		20,270,896		764,212,779
CenturyLink, Inc.		2,289,053		92,477,741
Frontier Communications Corp. (b)		4,189,613		20,529,104
Verizon Communications, Inc.		10,063,946		458,614,019
Windstream Corp. (b)		2,279,827		23,049,051

				1,358,882,694

ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 1.9%
Amphenol Corp. (Class A)		608,308		35,817,175
Corning, Inc.		5,332,801		70,126,333
FLIR Systems, Inc.		605,089		12,086,653
Jabil Circuit, Inc.		790,015		14,789,081
Molex, Inc. (b)		560,209		14,722,292
TE Connectivity Ltd.		1,503,254		51,125,669

				198,667,203

INTERNET SOFTWARE & SERVICES — 9.6%
Akamai Technologies, Inc. (a)		711,165		27,209,173
eBay, Inc. (a)		4,142,390		200,533,100
Google, Inc. (Class A) (a)		930,775		702,269,737
VeriSign, Inc. (a)(b)		610,501		29,725,294
Yahoo!, Inc. (a)		3,748,060		59,875,259

				1,019,612,563

IT SERVICES — 16.7%
Accenture PLC (Class A)		2,229,503		156,132,095
Automatic Data Processing, Inc.		1,740,774		102,113,803
Cognizant Technology Solutions Corp. (Class A) (a)		1,091,357		76,307,681
Computer Sciences Corp.		574,867		18,516,466
Fidelity National Information Services, Inc.		961,358		30,013,597
Fiserv, Inc. (a)		507,211		37,548,830
International Business Machines Corp.		3,774,850		783,092,633
MasterCard, Inc. (Class A)		385,527		174,057,730
Paychex, Inc. (b)		1,186,084		39,484,736
SAIC, Inc.		996,894		12,002,604
Teradata Corp. (a)		648,057		48,869,978
The Western Union Co. (b)		2,186,296		39,834,313
Total System Services, Inc.		647,139		15,337,194
Visa, Inc. (Class A)		1,836,541		246,610,726

				1,779,922,386

OFFICE ELECTRONICS — 0.3%
Xerox Corp. (b)		4,909,530		36,035,950

SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 8.2%
Advanced Micro Devices, Inc. (a)(b)		2,406,266		8,109,116
Altera Corp.		1,216,275		41,335,106
Analog Devices, Inc. (b)		1,109,646		43,487,027
Applied Materials, Inc.		4,458,668		49,781,028
Broadcom Corp. (Class A) (a)		1,870,060		64,666,675
First Solar, Inc. (a)(b)		208,289		4,612,560
Intel Corp.		14,990,624		339,987,352
KLA-Tencor Corp.		630,595		30,082,535
Lam Research Corp. (a)		639,354		20,321,867
Linear Technology Corp.		868,992		27,677,395
LSI Corp. (a)		2,238,784		15,469,997
Microchip Technology, Inc.		741,316		24,270,686
Micron Technology, Inc. (a)(b)		3,803,047		22,761,236
NVIDIA Corp. (a)		2,300,469		30,688,257
Teradyne, Inc. (a)(b)		840,417		11,950,730
Texas Instruments, Inc.		4,056,820		111,765,391
Xilinx, Inc. (b)		989,307		33,052,747

				880,019,705

SOFTWARE — 15.4%
Adobe Systems, Inc. (a)		1,784,350		57,920,001
Autodesk, Inc. (a)(b)		871,561		29,083,991
BMC Software, Inc. (a)		549,691		22,806,680
CA, Inc.		1,265,309		32,600,686
Citrix Systems, Inc. (a)		699,871		53,589,122
Electronic Arts, Inc. (a)(b)		1,193,356		15,143,688
Intuit, Inc.		1,019,118		60,005,668
Microsoft Corp.		26,511,582		789,514,912
Oracle Corp.		13,456,419		423,742,634
Red Hat, Inc. (a)		738,130		42,029,122
Salesforce.com, Inc. (a)(b)		482,551		73,680,712
Symantec Corp. (a)		2,556,736		46,021,248

				1,646,138,464

WIRELESS TELECOMMUNICATION SERVICES — 1.3%
Crown Castle International Corp. (a)		1,027,779		65,880,634
MetroPCS Communications, Inc. (a)		1,311,658		15,359,515

See accompanying notes to financial statements.

The Technology Select Sector SPDR Fund
SCHEDULE OF INVESTMENTS (continued)

September 30, 2012


Security Description	Shares		Value

Sprint Nextel Corp. (a)		10,974,610	$	60,579,847

				141,819,996

TOTAL COMMON STOCKS —
(Cost $9,908,086,151)				10,647,380,855

SHORT TERM INVESTMENTS — 1.7%
MONEY MARKET FUNDS — 1.7%
State Street Navigator Securities Lending Prime Portfolio (c)(d)		109,529,270		109,529,270
State Street Institutional Liquid Reserves Fund 0.21% (d)(e)		76,841,534		76,841,534

TOTAL SHORT TERM INVESTMENTS —
(Cost $186,370,804)				186,370,804

TOTAL INVESTMENTS — 101.4% (f)
(Cost $10,094,456,955)				10,833,751,659
OTHER ASSETS & LIABILITIES — (1.4)%				(153,806,379	)

NET ASSETS — 100.0%			$	10,679,945,280


(a)		Non-income producing security.
(b)		A portion of the security was on loan at September 30, 2012.
(c)		Investments of cash collateral for securities loaned.
(d)		Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3)
(e)		The rate shown is the annualized seven-day yield at period end.
(f)		The values of the securities of the Fund are determined based on Level 1 inputs. (Note 2)

See accompanying notes to financial statements.

The Utilities Select Sector SPDR Fund
SCHEDULE OF INVESTMENTS

September 30, 2012


Security Description	Shares		Value

COMMON STOCKS — 99.7%
ELECTRIC UTILITIES — 58.1%
American Electric Power Co., Inc.		6,532,017	$	287,016,827
Duke Energy Corp.		8,709,479		564,374,239
Edison International		4,388,390		200,505,539
Entergy Corp. (a)		2,377,772		164,779,600
Exelon Corp.		11,445,874		407,244,197
FirstEnergy Corp. (a)		5,608,078		247,316,240
NextEra Energy, Inc.		5,667,923		398,625,025
Northeast Utilities		4,207,940		160,869,546
Pepco Holdings, Inc. (a)		3,123,825		59,040,292
Pinnacle West Capital Corp. (a)		1,503,125		79,365,000
PPL Corp. (a)		7,816,687		227,074,757
Southern Co. (a)		11,720,501		540,197,891
Xcel Energy, Inc. (a)		6,594,256		182,726,834

				3,519,135,987

GAS UTILITIES — 3.3%
AGL Resources, Inc.		1,582,709		64,748,625
Oneok, Inc.		2,750,231		132,863,660

				197,612,285

INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 2.6%
NRG Energy, Inc.		3,055,235		65,351,477
The AES Corp. (b)		8,378,959		91,917,180

				157,268,657

MULTI-UTILITIES — 35.7%
Ameren Corp.		3,280,927		107,187,885
CenterPoint Energy, Inc.		5,812,542		123,807,145
CMS Energy Corp.		3,630,507		85,498,440
Consolidated Edison, Inc.		3,954,720		236,848,181
Dominion Resources, Inc.		7,688,018		407,003,673
DTE Energy Co.		2,319,605		139,037,124
Integrys Energy Group, Inc. (a)		1,064,512		55,567,526
NiSource, Inc.		3,880,288		98,869,738
PG&E Corp.		5,747,902		245,262,978
Public Service Enterprise Group, Inc. (a)		6,784,435		218,323,118
SCANA Corp. (a)		1,757,942		84,855,860
Sempra Energy (a)		3,033,259		195,614,873
TECO Energy, Inc. (a)		2,778,116		49,283,778
Wisconsin Energy Corp.		3,090,146		116,405,800

				2,163,566,119

TOTAL COMMON STOCKS —
(Cost $6,251,015,270)				6,037,583,048

SHORT TERM INVESTMENTS — 3.6%
MONEY MARKET FUNDS — 3.6%
State Street Navigator Securities Lending Prime Portfolio (c)(d)		147,218,747		147,218,747
State Street Institutional Liquid Reserves Fund 0.21% (d)(e)		70,938,865		70,938,865

TOTAL SHORT TERM INVESTMENTS —
(Cost $218,157,612)				218,157,612

TOTAL INVESTMENTS — 103.3% (f)
(Cost $6,469,172,882)				6,255,740,660
OTHER ASSETS & LIABILITIES — (3.3)%				(196,915,437	)

NET ASSETS — 100.0%			$	6,058,825,223


(a)		A portion of the security was on loan at September 30, 2012.
(b)		Non-income producing security.
(c)		Investments of cash collateral for securities loaned.
(d)		Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3)
(e)		The rate shown is the annualized seven-day yield at period end.
(f)		The values of the securities of the Fund are determined based on Level 1 inputs. (Note 2)

See accompanying notes to financial statements.

(This page intentionally left blank)

THE SELECT SECTOR SPDR TRUST
STATEMENTS OF ASSETS AND LIABILITIES

September 30, 2012


	The Consumer			The Consumer
	Discretionary			Staples			The Energy			The Financial			The Health			The Industrial			The Materials			The Technology			The Utilities
	Select Sector			Select Sector			Select Sector			Select Sector			Care Select Sector			Select Sector			Select Sector			Select Sector			Select Sector
	SPDR Fund			SPDR Fund			SPDR Fund			SPDR Fund			SPDR Fund			SPDR Fund			SPDR Fund			SPDR Fund			SPDR Fund

ASSETS
Investments in unaffiliated issuers, at value * (Note 2)	$	3,334,072,525		$	6,009,274,682		$	7,577,018,125		$	7,824,661,231		$	5,055,286,007		$	3,192,233,350		$	2,352,793,023		$	10,647,380,855		$	6,037,583,048
Investments in affiliated issuers, at value (Note 2 and Note 3)		146,981,144			191,790,416			274,224,068			263,903,479			215,689,047			111,391,188			76,873,804			186,370,804			218,157,612

Total investments		3,481,053,669			6,201,065,098			7,851,242,193			8,088,564,710			5,270,975,054			3,303,624,538			2,429,666,827			10,833,751,659			6,255,740,660
Cash		74,695			—			—			—			—			—			—			559,820			1,473,955
Receivable for investments sold		3,151,544			—			—			3,650,421			2,485,110			9,598,091			—			7,124,181			—
Receivable for income related to Select Sector SPDR shares in-kind transactions		—			—			15,081			—			30,461			17,783			46,892			—			—
Dividends receivable — unaffiliated issuers (Note 2)		3,189,181			20,190,146			4,082,185			6,654,873			6,511,244			5,988,424			4,074,970			3,633,057			12,924,304
Dividends and securities lending income receivable — affiliated issuers (Note 2)		38,589			27,046			35,863			514,408			49,855			46,152			23,147			101,884			25,500
Prepaid expenses		13,982			24,723			29,148			26,113			20,176			13,562			8,753			39,231			29,335

TOTAL ASSETS		3,487,521,660			6,221,307,013			7,855,404,470			8,099,410,525			5,280,071,900			3,319,288,550			2,433,820,589			10,845,209,832			6,270,193,754

LIABILITIES
Payable upon return of securities loaned		131,291,669			143,067,632			234,905,982			134,996,666			194,402,560			89,424,762			60,137,175			109,529,270			147,218,747
Income dividends payable (Note 2)		11,994,722			44,219,699			36,130,018			34,247,983			23,485,592			21,797,850			13,232,100			44,609,536			61,916,090
Payable for investments purchased		—			—			—			6,314,208			—			10,850,855			—			7,569,899			—
Payable for income related to Select Sector SPDR shares in-kind transactions		1,667			58,762			—			393,268			—			—			—			9,016			63,383
Accrued distribution fees (Note 3)		246,222			339,178			591,488			599,761			289,156			253,344			243,778			988,145			377,194
Accrued advisory fees (Note 3)		112,194			198,633			261,630			256,343			164,008			115,139			78,746			352,246			205,872
Accrued administration, custodian and transfer agent fees (Note 3)		65,227			116,094			152,112			147,796			95,547			67,321			45,228			204,532			120,569
Accrued trustees’ fees (Note 3)		6,428			6,375			222			6,769			6,068			1,730			1,055			15,167			4,416
Accrued expenses and other liabilities		644,746			1,345,087			1,296,199			1,018,586			1,001,200			565,996			358,195			1,986,741			1,462,260

TOTAL LIABILITIES		144,362,875			189,351,460			273,337,651			177,981,380			219,444,131			123,076,997			74,096,277			165,264,552			211,368,531

NET ASSETS	$	3,343,158,785		$	6,031,955,553		$	7,582,066,819		$	7,921,429,145		$	5,060,627,769		$	3,196,211,553		$	2,359,724,312		$	10,679,945,280		$	6,058,825,223

NET ASSETS CONSIST OF:
Paid in capital (Note 4)	$	3,603,624,981		$	5,912,735,032		$	9,760,567,698		$	9,353,147,597		$	5,165,705,455		$	3,846,713,544		$	3,203,276,354		$	10,732,167,643		$	6,595,887,012
Undistributed (distributions in excess of) net investment income		(3,113,241	)		(3,961,794	)		(2,074,761	)		(9,776,843	)		2,605,299			2,043,787			1,916,195			(7,648,397	)		966,636
Accumulated net realized gain (loss) on investments		(189,400,539	)		(119,647,300	)		(1,372,205,278	)		(762,095,394	)		(165,399,274	)		(221,735,485	)		(604,795,479	)		(783,868,670	)		(324,596,203	)
Net unrealized appreciation (depreciation) on investments		(67,952,416	)		242,829,615			(804,220,840	)		(659,846,215	)		57,716,289			(430,810,293	)		(240,672,758	)		739,294,704			(213,432,222	)

NET ASSETS	$	3,343,158,785		$	6,031,955,553		$	7,582,066,819		$	7,921,429,145		$	5,060,627,769		$	3,196,211,553		$	2,359,724,312		$	10,679,945,280		$	6,058,825,223

NET ASSET VALUE:
Net asset value per Select Sector SPDR share	$	46.79		$	35.83		$	73.45		$	15.59		$	40.13		$	36.54		$	36.80		$	30.83		$	36.39

Shares outstanding (unlimited amount authorized, $0.01 par value)		71,453,252			168,371,809			103,224,200			508,095,427			126,115,324			87,476,000			64,123,725			346,405,897			166,474,160

COST OF INVESTMENTS:
Unaffiliated issuers	$	3,402,024,941		$	5,766,445,067		$	8,381,238,965		$	8,476,640,241		$	4,997,569,718		$	3,623,043,643		$	2,593,465,781		$	9,908,086,151		$	6,251,015,270
Affiliated issuers (Note 3)		146,981,144			191,790,416			274,224,068			271,770,684			215,689,047			111,391,188			76,873,804			186,370,804			218,157,612

Total cost of investments	$	3,549,006,085		$	5,958,235,483		$	8,655,463,033		$	8,748,410,925		$	5,213,258,765		$	3,734,434,831		$	2,670,339,585		$	10,094,456,955		$	6,469,172,882

* Includes investments of securities on loan, at value	$	127,404,248		$	143,747,237		$	230,300,908		$	134,123,115		$	190,072,957		$	92,491,038		$	58,765,546		$	111,754,526		$	144,756,561

See accompanying notes to financial statements.

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THE SELECT SECTOR SPDR TRUST
STATEMENTS OF OPERATIONS

For the Year Ended September 30, 2012


	The Consumer			The Consumer
	Discretionary			Staples			The Energy			The Financial			The Health			The Industrial			The Materials			The Technology			The Utilities
	Select Sector			Select Sector			Select Sector			Select Sector			Care Select Sector			Select Sector			Select Sector			Select Sector			Select Sector
	SPDR Fund			SPDR Fund			SPDR Fund			SPDR Fund			SPDR Fund			SPDR Fund			SPDR Fund			SPDR Fund			SPDR Fund

INVESTMENT INCOME
Dividend income — unaffiliated issuers (Note 2)	$	49,314,746		$	167,288,649		$	138,212,408		$	111,431,022		$	98,088,329		$	78,228,163		$	44,935,255		$	150,478,825		$	276,897,520
Dividend income — affiliated issuers (Note 2)		13,408			29,143			23,134			1,699,506			16,729			15,929			12,040			50,346			36,488
Affiliated securities lending income — net (Note 3 and Note 7)		744,635			254,842			288,654			342,205			249,810			433,187			276,824			552,134			443,869

TOTAL INVESTMENT INCOME		50,072,789			167,572,634			138,524,196			113,472,733			98,354,868			78,677,279			45,224,119			151,081,305			277,377,877

EXPENSES
License fees (Note 3)		1,675,694			3,246,811			4,253,216			3,592,200			2,453,868			1,873,583			1,144,759			5,129,540			3,858,119
Distribution fees (Note 3)		1,473,412			2,869,446			3,757,145			3,162,736			2,164,312			1,653,026			1,009,119			4,519,526			3,416,354
Advisory fees (Note 3)		1,181,654			2,292,611			3,002,095			2,533,563			1,731,874			1,321,944			807,739			3,619,023			2,724,826
Administrator, custodian and transfer agent fees (Note 3)		625,149			1,219,160			1,594,552			1,340,013			919,890			701,981			430,833			1,915,824			1,449,880
Printing and postage expenses		135,019			264,531			343,451			287,695			198,838			151,236			91,873			414,829			316,515
Professional fees		25,200			52,830			63,973			51,660			38,535			27,794			17,080			79,329			63,718
SEC registration expenses		35,878			94,574			115,142			78,791			64,925			46,376			28,101			124,535			119,586
Trustees’ fees (Note 3)		35,671			70,983			89,957			75,025			52,905			39,602			24,012			110,031			84,853
Insurance expense		15,690			25,307			51,372			42,599			22,118			23,289			14,776			44,301			29,157
Miscellaneous expenses		19,189			37,614			48,135			37,551			27,679			20,352			12,027			58,273			45,530

TOTAL EXPENSES BEFORE WAIVERS		5,222,556			10,173,867			13,319,038			11,201,833			7,674,944			5,859,183			3,580,319			16,015,211			12,108,538

Fees waived by administrator, custodian and transfer agent (Note 3)		(9,402	)		(22,865	)		(29,766	)		(21,636	)		(15,975	)		(12,411	)		(7,341	)		(31,722	)		(29,188	)

NET EXPENSES		5,213,154			10,151,002			13,289,272			11,180,197			7,658,969			5,846,772			3,572,978			15,983,489			12,079,350

NET INVESTMENT INCOME		44,859,635			157,421,632			125,234,924			102,292,536			90,695,899			72,830,507			41,651,141			135,097,816			265,298,527

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on:
Investment transactions — unaffiliated issuers		383,613,446			458,669,492			49,041,377			261,602,356			168,495,492			115,356,035			79,782,769			535,979,358			471,152,904
Investment transactions — affiliated issuers (Note 3)		—			—			—			531,975			—			—			—			—			—
Net change in unrealized appreciation (depreciation) on:
Investment transactions — unaffiliated issuers		326,721,148			577,718,206			1,505,373,482			1,182,279,581			743,222,634			518,464,947			314,419,079			1,663,647,529			36,062,563
Investment transactions — affiliated issuers (Note 3)		—			—			—			13,236,811			—			—			—			—			—

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS		710,334,594			1,036,387,698			1,554,414,859			1,457,650,723			911,718,126			633,820,982			394,201,848			2,199,626,887			507,215,467

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	755,194,229		$	1,193,809,330		$	1,679,649,783		$	1,559,943,259		$	1,002,414,025		$	706,651,489		$	435,852,989		$	2,334,724,703		$	772,513,994

See accompanying notes to financial statements.

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THE SELECT SECTOR SPDR TRUST
STATEMENTS OF CHANGES IN NET ASSETS


	The Consumer Discretionary						The Consumer Staples						The Energy						The Financial						The Health Care
	Select Sector SPDR Fund						Select Sector SPDR Fund						Select Sector SPDR Fund						Select Sector SPDR Fund						Select Sector SPDR Fund
	Year Ended 9/30/12			Year Ended 9/30/11			Year Ended 9/30/12			Year Ended 9/30/11			Year Ended 9/30/12			Year Ended 9/30/11			Year Ended 9/30/12			Year Ended 9/30/11			Year Ended 9/30/12			Year Ended 9/30/11

INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income	$	44,859,635		$	34,024,866		$	157,421,632		$	111,015,744		$	125,234,924		$	123,567,579		$	102,292,536		$	86,983,728		$	90,695,899		$	65,207,198
Net realized gain (loss) on investment transactions		383,613,446			347,139,509			458,669,492			261,720,302			49,041,377			1,282,567,646			262,134,331			(100,285,976	)		168,495,492			120,890,129
Net change in unrealized appreciation (depreciation) on investments		326,721,148			(274,747,800	)		577,718,206			(122,298,477	)		1,505,373,482			(932,889,994	)		1,195,516,392			(1,193,778,323	)		743,222,634			(118,595,727	)

Net increase (decrease) in net assets resulting from operations		755,194,229			106,416,575			1,193,809,330			250,437,569			1,679,649,783			473,245,231			1,559,943,259			(1,207,080,571	)		1,002,414,025			67,501,600

Net equalization credits and charges		2,885,265			(1,374,615	)		4,453,368			6,334,999			1,694,841			672,208			5,408,745			(6,391,060	)		(2,229,491	)		(2,524,097	)

DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income		(47,972,876	)		(37,879,218	)		(165,074,805	)		(114,041,329	)		(127,309,685	)		(134,574,321	)		(118,336,836	)		(87,226,205	)		(88,090,600	)		(68,486,044	)

FROM SELECT SECTOR SPDR SHARE TRANSACTIONS:
Proceeds from sale of shares		8,198,357,752			8,090,841,835			6,832,947,372			7,361,693,347			24,325,132,194			25,997,518,124			23,808,462,234			24,964,537,841			7,557,357,104			8,931,934,237
Cost of shares repurchased		(7,341,659,670	)		(8,100,586,767	)		(6,961,334,956	)		(5,621,025,421	)		(24,572,245,154	)		(26,736,437,090	)		(21,632,885,907	)		(24,744,758,917	)		(7,520,830,016	)		(7,518,842,554	)
Net income equalization (Note 2)		(2,885,265	)		1,374,615			(4,453,368	)		(6,334,999	)		(1,694,841	)		(672,208	)		(5,408,745	)		6,391,060			2,229,491			2,524,097

Net increase (decrease) in net assets from SPDR share transactions (Note 4)		853,812,817			(8,370,317	)		(132,840,952	)		1,734,332,927			(248,807,801	)		(739,591,174	)		2,170,167,582			226,169,984			38,756,579			1,415,615,780

Net increase (decrease) in net assets during period		1,563,919,435			58,792,425			900,346,941			1,877,064,166			1,305,227,138			(400,248,056	)		3,617,182,750			(1,074,527,852	)		950,850,513			1,412,107,239
Net assets at beginning of period		1,779,239,350			1,720,446,925			5,131,608,612			3,254,544,446			6,276,839,681			6,677,087,737			4,304,246,395			5,378,774,247			4,109,777,256			2,697,670,017

NET ASSETS END OF PERIOD (1)	$	3,343,158,785		$	1,779,239,350		$	6,031,955,553		$	5,131,608,612		$	7,582,066,819		$	6,276,839,681		$	7,921,429,145		$	4,304,246,395		$	5,060,627,769		$	4,109,777,256

SELECT SECTOR SPDR SHARES:
Shares sold		192,700,000			214,100,000			205,700,000			243,850,000			352,700,000			367,300,000			1,685,450,000			1,663,550,000			210,850,000			269,000,000
Shares redeemed		(172,250,000	)		(214,550,000	)		(210,450,000	)		(187,450,000	)		(356,700,000	)		(379,200,000	)		(1,541,800,000	)		(1,673,900,000	)		(214,200,000	)		(228,000,000	)

Net increase (decrease)		20,450,000			(450,000	)		(4,750,000	)		56,400,000			(4,000,000	)		(11,900,000	)		143,650,000			(10,350,000	)		(3,350,000	)		41,000,000

(1) Including undistributed (distribution in excess of) net investment income	$	(3,113,241	)	$	—		$	(3,961,794	)	$	3,691,379		$	(2,074,761	)	$	—		$	(9,776,843	)	$	1,415,257		$	2,605,299		$	—

See accompanying notes to financial statements.

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


	The Industrial						The Materials						The Technology						The Utilities
	Select Sector SPDR Fund						Select Sector SPDR Fund						Select Sector SPDR Fund						Select Sector SPDR Fund
	Year Ended 9/30/12			Year Ended 9/30/11			Year Ended 9/30/12			Year Ended 9/30/11			Year Ended 9/30/12			Year Ended 9/30/11			Year Ended 9/30/12			Year Ended 9/30/11

INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income	$	72,830,507		$	71,710,314		$	41,651,141		$	48,329,537		$	135,097,816		$	94,340,332		$	265,298,527		$	182,104,712
Net realized gain (loss) on investment transactions		115,356,035			312,582,675			79,782,769			229,583,286			535,979,358			351,073,420			471,152,904			103,865,455
Net change in unrealized appreciation (depreciation) on investments		518,464,947			(537,369,356	)		314,419,079			(399,513,274	)		1,663,647,529			(416,487,828	)		36,062,563			214,330,551

Net increase (decrease) in net assets resulting from operations		706,651,489			(153,076,367	)		435,852,989			(121,600,451	)		2,334,724,703			28,925,924			772,513,994			500,300,718

Net equalization credits and charges		(1,337,493	)		(67,986	)		1,756,039			(4,398,194	)		7,353,832			2,133,243			(3,927,113	)		11,752,247

DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income		(71,350,427	)		(71,477,864	)		(43,196,352	)		(52,262,870	)		(145,527,018	)		(97,279,895	)		(264,331,891	)		(190,693,028	)

FROM SELECT SECTOR SPDR SHARE TRANSACTIONS:
Proceeds from sale of shares		16,129,536,490			12,760,825,519			8,679,055,441			10,064,644,421			6,628,595,013			7,720,612,499			6,092,066,284			6,403,397,809
Cost of shares repurchased		(15,929,711,720	)		(13,094,623,434	)		(8,355,173,918	)		(10,343,580,534	)		(4,701,770,685	)		(5,451,137,621	)		(7,183,045,935	)		(4,188,157,197	)
Net income equalization (Note 2)		1,337,493			67,986			(1,756,039	)		4,398,194			(7,353,832	)		(2,133,243	)		3,927,113			(11,752,247	)

Net increase (decrease) in net assets from SPDR share transactions (Note 4)		201,162,263			(333,729,929	)		322,125,484			(274,537,919	)		1,919,470,496			2,267,341,635			(1,087,052,538	)		2,203,488,365

Net increase (decrease) in net assets during period		835,125,832			(558,352,146	)		716,538,160			(452,799,434	)		4,116,022,013			2,201,120,907			(582,797,548	)		2,524,848,302
Net assets at beginning of period		2,361,085,721			2,919,437,867			1,643,186,152			2,095,985,586			6,563,923,267			4,362,802,360			6,641,622,771			4,116,774,469

NET ASSETS END OF PERIOD (1)	$	3,196,211,553		$	2,361,085,721		$	2,359,724,312		$	1,643,186,152		$	10,679,945,280		$	6,563,923,267		$	6,058,825,223		$	6,641,622,771

SELECT SECTOR SPDR SHARES:
Shares sold		458,450,000			365,850,000			246,050,000			273,150,000			237,700,000			307,700,000			171,050,000			196,750,000
Shares redeemed		(451,750,000	)		(378,400,000	)		(237,900,000	)		(281,100,000	)		(169,600,000	)		(218,950,000	)		(202,150,000	)		(130,350,000	)

Net increase (decrease)		6,700,000			(12,550,000	)		8,150,000			(7,950,000	)		68,100,000			88,750,000			(31,100,000	)		66,400,000

(1) Including undistributed (distribution in excess of) net investment income	$	2,043,787		$	3,627,332		$	1,916,195		$	5,261,406		$	(7,648,397	)	$	—		$	966,636		$	—

See accompanying notes to financial statements.

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THE SELECT SECTOR SPDR TRUST
FINANCIAL HIGHLIGHTS

Selected data for a Select Sector SPDR share outstanding throughout each year


	The Consumer Discretionary Select Sector SPDR Fund
	Year			Year			Year			Year			Year
	Ended			Ended			Ended			Ended			Ended
	9/30/12			9/30/11			9/30/10			9/30/09			9/30/08

Net asset value, beginning of period	$	34.88		$	33.44		$	27.48		$	28.05		$	36.74

Income (loss) from investment operations:
Net investment income (1)		0.66			0.58	(2)		0.44			0.45			0.46
Net realized and unrealized gain (loss) (3)		11.88			1.49			6.05			(0.51	)		(8.57	)

Total from investment operations		12.54			2.07			6.49			(0.06	)		(8.11	)

Net equalization credits and charges (1)		0.04			(0.02	)		(0.10	)		(0.06	)		(0.09	)

Distributions to shareholders from:
Net investment income		(0.67	)		(0.61	)		(0.43	)		(0.45	)		(0.49	)

Net asset value, end of period	$	46.79		$	34.88		$	33.44		$	27.48		$	28.05

Total return (4)		36.25	%		6.00	%(2)		23.39	%		(0.04	)%		(22.39	)%

Ratios and supplemental data:
Net assets, end of period (in 000’s)	$	3,343,159		$	1,779,239		$	1,720,447		$	1,268,295		$	995,833
Ratio of expenses to average net assets		0.18	%		0.19	%		0.20	%		0.22	%		0.22	%
Ratio of expenses to average net assets before waivers		0.18	%		0.19	%		0.20	%		0.22	%		0.22	%
Ratio of net investment income (loss) to average net assets		1.55	%		1.52	%(2)		1.42	%		1.99	%		1.44	%
Portfolio turnover rate (5)		4.80	%		6.76	%		8.29	%		4.21	%		8.56	%


(1)		Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year.
(2)		Net investment income per share and the ratio of net investment income to average assets reflects receipt of special dividends from portfolio holdings. The resulting increase to net investment income amounted to $0.05 per share and 0.14% of average net assets. If the special dividends were not received during the year ended September 30, 2011, the total return would have been 5.81%.
(3)		Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund.
(4)		Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purposes of this calculation, to be reinvested at the net asset value per share on the respective payment dates of the Fund. Broker commission charges are not included in the calculation.
(5)		Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions on Select Sector SPDR shares.

THE SELECT SECTOR SPDR TRUST
FINANCIAL HIGHLIGHTS

Selected data for a Select Sector SPDR share outstanding throughout each year


	The Consumer Staples Select Sector SPDR Fund
	Year			Year			Year			Year			Year
	Ended			Ended			Ended			Ended			Ended
	9/30/12			9/30/11			9/30/10			9/30/09			9/30/08

Net asset value, beginning of period	$	29.64		$	27.88		$	25.49		$	27.42		$	27.94

Income (loss) from investment operations:
Net investment income		0.94	(1)		0.88	(1)		0.80	(1)		0.71	(1)		0.59
Net realized and unrealized gain (loss) (2)		6.17			1.69			2.39			(1.91	)		(0.53	)

Total from investment operations		7.11			2.57			3.19			(1.20	)		0.06

Net equalization credits and charges (1)		0.03			0.05			(0.04	)		(0.05	)		0.02

Distributions to shareholders from:
Net investment income		(0.95	)		(0.86	)		(0.76	)		(0.68	)		(0.60	)

Net asset value, end of period	$	35.83		$	29.64		$	27.88		$	25.49		$	27.42

Total return (3)		24.28	%		9.38	%		12.50	%		(4.37	)%		0.28	%

Ratios and supplemental data:
Net assets, end of period (in 000’s)	$	6,031,956		$	5,131,609		$	3,254,544		$	1,885,361		$	2,916,858
Ratio of expenses to average net assets		0.18	%		0.19	%		0.20	%		0.22	%		0.22	%
Ratio of expenses to average net assets before waivers		0.18	%		0.19	%		0.20	%		0.22	%		0.22	%
Ratio of net investment income (loss) to average net assets		2.82	%		2.91	%		2.95	%		3.05	%		2.22	%
Portfolio turnover rate (4)		12.41	%		3.64	%		5.07	%		14.41	%		3.20	%


(1)		Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year.
(2)		Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund.
(3)		Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purposes of this calculation, to be reinvested at the net asset value per share on the respective payment dates of the Fund. Broker commission charges are not included in the calculation.
(4)		Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions on Select Sector SPDR shares.

THE SELECT SECTOR SPDR TRUST
FINANCIAL HIGHLIGHTS

Selected data for a Select Sector SPDR share outstanding throughout each year


	The Energy Select Sector SPDR Fund
	Year			Year			Year			Year			Year
	Ended			Ended			Ended			Ended			Ended
	9/30/12			9/30/11			9/30/10			9/30/09			9/30/08

Net asset value, beginning of period	$	58.54		$	56.05		$	53.96		$	63.87		$	74.99

Income (loss) from investment operations:
Net investment income		1.19	(1)		1.01	(1)		1.01	(1)		0.96	(1)		0.93
Net realized and unrealized gain (loss) (2)		14.91			2.55			2.15			(9.85	)		(11.07	)

Total from investment operations		16.10			3.56			3.16			(8.89	)		(10.14	)

Net equalization credits and charges (1)		0.02			0.01			(0.06	)		(0.05	)		(0.13	)

Distributions to shareholders from:
Net investment income		(1.21	)		(1.08	)		(1.01	)		(0.97	)		(0.85	)

Net asset value, end of period	$	73.45		$	58.54		$	56.05		$	53.96		$	63.87

Total return (3)		27.68	%		6.07	%		5.80	%		(13.81	)%		(13.87	)%

Ratios and supplemental data:
Net assets, end of period (in 000’s)	$	7,582,067		$	6,276,840		$	6,677,088		$	5,218,998		$	6,617,777
Ratio of expenses to average net assets		0.18	%		0.19	%		0.20	%		0.22	%		0.22	%
Ratio of expenses to average net assets before waivers		0.18	%		0.19	%		0.20	%		0.22	%		0.22	%
Ratio of net investment income (loss) to average net assets		1.71	%		1.43	%		1.80	%		1.98	%		1.08	%
Portfolio turnover rate (4)		5.47	%		3.48	%		7.68	%		24.39	%		6.87	%


(1)		Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year.
(2)		Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund.
(3)		Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purposes of this calculation, to be reinvested at the net asset value per share on the respective payment dates of the Fund. Broker commission charges are not included in the calculation.
(4)		Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions on Select Sector SPDR shares.

THE SELECT SECTOR SPDR TRUST
FINANCIAL HIGHLIGHTS

Selected data for a Select Sector SPDR share outstanding throughout each year


	The Financial Select Sector SPDR Fund
	Year			Year			Year			Year			Year
	Ended			Ended			Ended			Ended			Ended
	9/30/12			9/30/11			9/30/10			9/30/09			9/30/08

Net asset value, beginning of period	$	11.81		$	14.35		$	14.94		$	20.09		$	34.28

Income (loss) from investment operations:
Net investment income		0.24	(1)		0.19	(1)		0.15	(1)		0.35	(1)		0.86
Net realized and unrealized gain (loss) (2)		3.79			(2.52	)		(0.58	)		(5.12	)		(14.48	)

Total from investment operations		4.03			(2.33	)		(0.43	)		(4.77	)		(13.62	)

Net equalization credits and charges (1)		0.01			(0.01	)		(0.01	)		0.00	(3)		0.28

Distributions to shareholders from:
Net investment income		(0.26	)		(0.20	)		(0.15	)		(0.38	)		(0.85	)

Net asset value, end of period	$	15.59		$	11.81		$	14.35		$	14.94		$	20.09

Total return (4)		34.44	%		(16.57	)%		(2.95	)%		(23.21	)%		(39.24	)%

Ratios and supplemental data:
Net assets, end of period (in 000’s)	$	7,921,429		$	4,304,246		$	5,378,774		$	7,494,113		$	11,898,718
Ratio of expenses to average net assets		0.18	%		0.19	%		0.20	%		0.22	%		0.22	%
Ratio of expenses to average net assets before waivers		0.18	%		0.19	%		0.20	%		0.22	%		0.22	%
Ratio of net investment income (loss) to average net assets		1.65	%		1.25	%		1.01	%		2.95	%		3.20	%
Portfolio turnover rate (5)		7.69	%		7.07	%		15.57	%		16.74	%		18.24	%


(1)		Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year.
(2)		Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund.
(3)		Amount is less than $0.005 per share.
(4)		Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purposes of this calculation, to be reinvested at the net asset value per share on the respective payment dates of the Fund. Broker commission charges are not included in the calculation.
(5)		Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions on Select Sector SPDR shares.

THE SELECT SECTOR SPDR TRUST
FINANCIAL HIGHLIGHTS

Selected data for a Select Sector SPDR share outstanding throughout each year


	The Health Care Select Sector SPDR Fund
	Year			Year			Year			Year			Year
	Ended			Ended			Ended			Ended			Ended
	9/30/12			9/30/11			9/30/10			9/30/09			9/30/08

Net asset value, beginning of period	$	31.74		$	30.49		$	28.72		$	30.43		$	35.41

Income (loss) from investment operations:
Net investment income (1)		0.78			0.66			0.59			0.58			0.55
Net realized and unrealized gain (loss) (2)		8.40			1.28			1.78			(1.69	)		(4.97	)

Total from investment operations		9.18			1.94			2.37			(1.11	)		(4.42	)

Net equalization credits and charges (1)		(0.02	)		(0.03	)		(0.02	)		(0.04	)		(0.01	)

Distributions to shareholders from:
Net investment income		(0.77	)		(0.66	)		(0.58	)		(0.56	)		(0.55	)

Net asset value, end of period	$	40.13		$	31.74		$	30.49		$	28.72		$	30.43

Total return (3)		29.04	%		6.19	%		8.21	%		(3.58	)%		(12.55	)%

Ratios and supplemental data:
Net assets, end of period (in 000’s)	$	5,060,628		$	4,109,777		$	2,697,670		$	1,979,592		$	2,377,145
Ratio of expenses to average net assets		0.18	%		0.19	%		0.20	%		0.22	%		0.22	%
Ratio of expenses to average net assets before waivers		0.18	%		0.19	%		0.20	%		0.22	%		0.22	%
Ratio of net investment income (loss) to average net assets		2.15	%		1.98	%		1.96	%		2.22	%		1.68	%
Portfolio turnover rate (4)		4.70	%		6.99	%		4.38	%		5.61	%		3.69	%


(1)		Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year.
(2)		Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund.
(3)		Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purposes of this calculation, to be reinvested at the net asset value per share on the respective payment dates of the Fund. Broker commission charges are not included in the calculation.
(4)		Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions on Select Sector SPDR shares.

THE SELECT SECTOR SPDR TRUST
FINANCIAL HIGHLIGHTS

Selected data for a Select Sector SPDR share outstanding throughout each year


	The Industrial Select Sector SPDR Fund
	Year			Year			Year			Year			Year
	Ended			Ended			Ended			Ended			Ended
	9/30/12			9/30/11			9/30/10			9/30/09			9/30/08

Net asset value, beginning of period	$	29.23		$	31.28		$	26.39		$	30.66		$	40.92

Income (loss) from investment operations:
Net investment income (1)		0.80			0.69			0.60			0.67			0.69
Net realized and unrealized gain (loss) (2)		7.32			(2.05	)		4.93			(4.25	)		(10.21	)

Total from investment operations		8.12			(1.36	)		5.53			(3.58	)		(9.52	)

Net equalization credits and charges (1)		(0.01	)		(0.00	)(3)		(0.05	)		(0.01	)		(0.05	)

Distributions to shareholders from:
Net investment income		(0.80	)		(0.69	)		(0.59	)		(0.68	)		(0.69	)

Net asset value, end of period	$	36.54		$	29.23		$	31.28		$	26.39		$	30.66

Total return (4)		27.84	%		(4.67	)%		20.94	%		(11.25	)%		(23.55	)%

Ratios and supplemental data:
Net assets, end of period (in 000’s)	$	3,196,212		$	2,361,086		$	2,919,438		$	2,010,293		$	1,663,838
Ratio of expenses to average net assets		0.18	%		0.19	%		0.20	%		0.22	%		0.22	%
Ratio of expenses to average net assets before waivers		0.18	%		0.19	%		0.20	%		0.22	%		0.22	%
Ratio of net investment income (loss) to average net assets		2.26	%		1.96	%		2.04	%		2.96	%		1.85	%
Portfolio turnover rate (5)		7.63	%		4.01	%		8.82	%		9.51	%		4.27	%


(1)		Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year.
(2)		Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund.
(3)		Amount is less than $0.005 per share.
(4)		Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purposes of this calculation, to be reinvested at the net asset value per share on the respective payment dates of the Fund. Broker commission charges are not included in the calculation.
(5)		Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions on Select Sector SPDR shares.

THE SELECT SECTOR SPDR TRUST
FINANCIAL HIGHLIGHTS

Selected data for a Select Sector SPDR share outstanding throughout each year


	The Materials Select Sector SPDR Fund
	Year			Year			Year			Year			Year
	Ended			Ended			Ended			Ended			Ended
	9/30/12			9/30/11			9/30/10			9/30/09			9/30/08

Net asset value, beginning of period	$	29.36		$	32.79		$	30.96		$	33.10		$	42.15

Income (loss) from investment operations:
Net investment income (1)		0.75			0.76	(2)		1.08	(3)		0.64			0.94
Net realized and unrealized gain (loss) (4)		7.41			(3.30	)		1.93			(2.05	)		(8.78	)

Total from investment operations		8.16			(2.54	)		3.01			(1.41	)		(7.84	)

Net equalization credits and charges (1)		0.03			(0.07	)		(0.13	)		(0.05	)		(0.28	)

Distributions to shareholders from:
Net investment income		(0.75	)		(0.82	)		(1.05	)		(0.68	)		(0.93	)

Net asset value, end of period	$	36.80		$	29.36		$	32.79		$	30.96		$	33.10

Total return (5)		28.06	%		(8.45	)%		9.39	%		(3.85	)%		(19.58	)%

Ratios and supplemental data:
Net assets, end of period (in 000’s)	$	2,359,724		$	1,643,186		$	2,095,986		$	1,725,054		$	1,395,939
Ratio of expenses to average net assets		0.18	%		0.19	%		0.20	%		0.22	%		0.22	%
Ratio of expenses to average net assets before waivers		0.18	%		0.19	%		0.21	%		0.22	%		0.22	%
Ratio of net investment income (loss) to average net assets		2.11	%		2.02	%(2)		3.35	%(3)		2.54	%		2.27	%
Portfolio turnover rate (6)		11.58	%		13.86	%		13.98	%		35.67	%		12.03	%


(1)		Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year.
(2)		Net investment income per share and the ratio of net investment income to average assets reflects receipt of special dividends from portfolio holdings. The resulting increase to net investment income amounted to $0.09 per share and 0.23% of average net assets. If the special dividends were not received during the year ended September 30, 2011, the total return would have been (8.77)%.
(3)		Net investment income per share and the ratio of net investment income to average net assets reflect a special one time dividend from a portfolio holding (Weyerhauser Co.). The resulting increase to net investment income amounted to $0.52 per share and 1.61% of average net assets.
(4)		Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund.
(5)		Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purposes of this calculation, to be reinvested at the net asset value per share on the respective payment dates of the Fund. Broker commission charges are not included in the calculation.
(6)		Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions on Select Sector SPDR shares.

THE SELECT SECTOR SPDR TRUST
FINANCIAL HIGHLIGHTS

Selected data for a Select Sector SPDR share outstanding throughout each year


	The Technology Select Sector SPDR Fund
	Year			Year			Year			Year			Year
	Ended			Ended			Ended			Ended			Ended
	9/30/12			9/30/11			9/30/10			9/30/09			9/30/08

Net asset value, beginning of period	$	23.59		$	23.02		$	20.84		$	19.83		$	27.00

Income (loss) from investment operations:
Net investment income (1)		0.43			0.36			0.32			0.30			0.27
Net realized and unrealized gain (loss) (2)		7.23			0.57			2.18			1.01			(7.16	)

Total from investment operations		7.66			0.93			2.50			1.31			(6.89	)

Net equalization credits and charges (1)		0.02			0.01			(0.01	)		0.02			(0.01	)

Distributions to shareholders from:
Net investment income		(0.44	)		(0.37	)		(0.31	)		(0.32	)		(0.27	)

Net asset value, end of period	$	30.83		$	23.59		$	23.02		$	20.84		$	19.83

Total return (3)		32.76	%		3.97	%		11.97	%		7.01	%		(25.68	)%

Ratios and supplemental data:
Net assets, end of period (in 000’s)	$	10,679,945		$	6,563,923		$	4,362,802		$	3,854,165		$	2,436,742
Ratio of expenses to average net assets		0.18	%		0.19	%		0.20	%		0.22	%		0.22	%
Ratio of expenses to average net assets before waivers		0.18	%		0.19	%		0.20	%		0.22	%		0.22	%
Ratio of net investment income (loss) to average net assets		1.53	%		1.41	%		1.43	%		1.75	%		1.12	%
Portfolio turnover rate (4)		5.28	%		4.95	%		4.77	%		7.38	%		9.31	%


(1)		Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year.
(2)		Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund.
(3)		Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purposes of this calculation, to be reinvested at the net asset value per share on the respective payment dates of the Fund. Broker commission charges are not included in the calculation.
(4)		Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions on Select Sector SPDR shares.

THE SELECT SECTOR SPDR TRUST
FINANCIAL HIGHLIGHTS

Selected data for a Select Sector SPDR share outstanding throughout each year


	The Utilities Select Sector SPDR Fund
	Year			Year			Year			Year			Year
	Ended			Ended			Ended			Ended			Ended
	9/30/12			9/30/11			9/30/10			9/30/09			9/30/08

Net asset value, beginning of period	$	33.62		$	31.38		$	29.31		$	33.11		$	39.90

Income (loss) from investment operations:
Net investment income (1)		1.42			1.35			1.28			1.25			1.19
Net realized and unrealized gain (loss) (2)		2.80			2.15			2.05			(3.80	)		(6.63	)

Total from investment operations		4.22			3.50			3.33			(2.55	)		(5.44	)

Net equalization credits and charges (1)		(0.02	)		0.09			0.01			0.01			(0.15	)

Distributions to shareholders from:
Net investment income		(1.43	)		(1.35	)		(1.27	)		(1.26	)		(1.20	)

Net asset value, end of period	$	36.39		$	33.62		$	31.38		$	29.31		$	33.11

Total return (3)		12.64	%		11.63	%		11.64	%		(7.43	)%		(14.39	)%

Ratios and supplemental data:
Net assets, end of period (in 000’s)	$	6,058,825		$	6,641,623		$	4,116,774		$	2,462,725		$	2,218,518
Ratio of expenses to average net assets		0.18	%		0.19	%		0.20	%		0.22	%		0.22	%
Ratio of expenses to average net assets before waivers		0.18	%		0.19	%		0.20	%		0.22	%		0.22	%
Ratio of net investment income (loss) to average net assets		3.99	%		4.17	%		4.25	%		4.49	%		2.97	%
Portfolio turnover rate (4)		4.23	%		3.20	%		10.84	%		9.63	%		3.83	%


(1)		Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year.
(2)		Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund.
(3)		Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purposes of this calculation, to be reinvested at the net asset value per share on the respective payment dates of the Fund. Broker commission charges are not included in the calculation.
(4)		Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions on Select Sector SPDR shares.

THE SELECT SECTOR SPDR TRUST
NOTES TO FINANCIAL STATEMENTS

September 30, 2012


1.	Organization

The Select Sector SPDR Trust (the “Trust”) was organized in the Commonwealth of Massachusetts on June 10, 1998 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. 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 common stocks in substantially the same weighting, in a particular sector or group of industries that are represented by a specified market sector index (each a “Select Sector Index”). Each of the nine Select Sector Indices represents a basket of equity securities of public companies that are components of the S&P 500. The Trust is comprised of the following series: The Consumer Discretionary Select Sector SPDR Fund, The Consumer Staples Select Sector SPDR Fund, The Energy Select Sector SPDR Fund, The Financial Select Sector SPDR Fund, The Health Care Select Sector SPDR Fund, The Industrial Select Sector SPDR Fund, The Materials Select Sector SPDR Fund, The Technology Select Sector SPDR Fund and The Utilities Select Sector SPDR Fund (each a “Fund” or “Select Sector SPDR Fund” and collectively the “Funds” or “Select Sector SPDR Funds”). Each Fund operates as a non-diversified investment company. The investment objective of each Fund is to provide investment results that, before expenses and fees, correspond generally to the price and yield performance of a specific Select Sector Index.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this could involve future claims that may be made against the Trust that have not yet occurred. However, based on experience, the Trust expects the risk of loss to be remote.

Each Fund’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 investments will occur in the near term and that such changes could materially affect the amounts reported in the financial statements.

An investment in a Fund involves risks similar to those of investing in any fund of equity securities, such as market fluctuations caused by such factors as economic and political developments, changes in interest rates and perceived trends in stock prices. The value of each Fund’s shares will decline, more or less, in correlation with any decline in the value of the relevant Select Sector Index. The values of equity securities could decline generally or could underperform other investments. Generally, a Fund will not sell an equity security because the security’s issuer is in financial trouble, unless that security is removed from the relevant Select Sector Index. Each of the Select Sector SPDR Funds concentrates its investments in certain industries, subjecting them to greater risk than funds that invest in a wider range of industries.


2.	Summary of Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:

The preparation of financial statements in accordance with U.S. generally accepted accounting principles 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. These financial statements are presented in United States Dollars.

Security Valuation

The value of each Fund’s portfolio securities is based on the market price of the securities, which generally means a valuation obtained from an exchange or other market (or based on a price quotation or other equivalent indication of value supplied by an exchange or other market) or a valuation obtained from an independent pricing service. Investments in open-end investment companies are valued at their net asset value each business day. If a security’s market price is not readily available or does not otherwise accurately reflect the fair value of the security, the security will be valued by another method that the Board of Trustees of the Trust (the “Board”) believes will better reflect fair

THE SELECT SECTOR SPDR TRUST
NOTES TO FINANCIAL STATEMENTS (continued)

September 30, 2012

value in accordance with the Trust’s valuation policies and procedures. The Board has delegated the process of valuing securities for which market quotations are not readily available or do not otherwise accurately reflect the fair value of the security to the Pricing and Investment Committee (the “Committee”). The Committee, subject to oversight by the Board, may use fair value pricing in a variety of circumstances, including but not limited to, situations when trading in a security has been suspended or halted. Accordingly, a Fund’s net asset value may reflect certain portfolio securities’ fair values rather than their market prices. Fair value pricing involves subjective judgments and it is possible that the fair value determination for a security is materially different than the value that could be received on the sale of the security.

The Funds continue to follow the authoritative guidance for fair value measurements and the fair value option for financial assets and financial liabilities. The guidance for the fair value option for financial assets and financial liabilities provides funds the irrevocable option to measure many financial assets and liabilities at fair value with changes in fair value recognized in earnings. The guidance also establishes a hierarchy for inputs used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs be used when available. The guidance establishes three levels of inputs that may be used to measure fair value:


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

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

•	Level 3 — significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments)

Investments that use Level 2 or Level 3 inputs may include, but are not limited to: (i) an unlisted security related to corporate actions; (ii) a restricted security (e.g., one that may not be publicly sold without registration under the Securities Act of 1933, as amended); (iii) a security whose trading has been suspended or which has been de-listed from its primary trading exchange; (iv) a security that is thinly traded; (v) a security in default or bankruptcy proceedings for which there is no current market quotation; (vi) a security affected by currency controls or restrictions; and (vii) a security affected by a significant event (e.g., an event that occurs after the close of the markets on which the security is traded but before the time as of which the Funds’ net assets are computed and that may materially affect the value of the Funds’ investments). Examples of events that may be “significant events” are government actions, natural disasters, armed conflict, acts of terrorism, and significant market fluctuations.

Fair value pricing could result in a difference between the prices used to calculate a Fund’s net asset value and the prices used by the Fund’s respective Select Sector Index, which, in turn, could result in a difference between the Fund’s performance and the performance of the Fund’s respective Select Sector Index. The inputs or methodology used for valuation are not necessarily an indication of the risk associated with investing in those investments. The type of inputs used to value each security is identified in the Schedule of Investments, which also includes a breakdown of the Funds’ investments by industry. The Funds did not hold any investments valued using Level 2 or Level 3 inputs as of September 30, 2012 and did not have any transfers between levels for the year ended September 30, 2012.

Investment Income

Dividend income is recorded on the ex-dividend date. Interest income is recorded on the accrual basis. The value of additional securities received as dividend payments is recorded as income and as an increase to the cost basis of such securities.

Expenses

Expenses of the Trust, which are directly identifiable to a specific Fund, are applied to that Fund. Trustees’ fees and other expenses which cannot be attributed to a specific Fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Funds.

THE SELECT SECTOR SPDR TRUST
NOTES TO FINANCIAL STATEMENTS (continued)

September 30, 2012

Distributions

Each Fund declares and distributes dividends from net investment income to its shareholders quarterly. Each Fund declares and distributes net realized capital gains, if any, at least annually.

Equalization

The Funds follow the accounting practice known as “Equalization” by which a portion of the proceeds from sales and costs of reacquiring Select Sector SPDR shares, equivalent on a per share basis to the amount of distributable net investment income on the date of the transaction, is credited or charged to undistributed net investment income. As a result, undistributed net investment income per share is unaffected by sales or reacquisitions of Select Sector SPDR shares. Amounts related to Equalization can be found on the Statements of Changes in Net Assets.

Investment Transactions

Investment transactions are recorded on the trade date. Realized gains and losses from the sale or disposition of securities are recorded on the identified cost basis. Corporate actions (including cash dividends) are recorded net of nonreclaimable foreign tax withholdings on the ex-dividend date.

Subsequent Events

Events or transactions occuring after period end through the date the financial statements were issued have been evaluated by management in the preparation of the financial statements and no items were noted requiring additional disclosure or adjustment.

Federal Income Tax

Each Fund has qualified and intends to continue to qualify for and elect treatment as a “regulated investment company” (“RIC”) under Subchapter M of the Internal Revenue Code of 1986, as amended. By so qualifying and electing, each Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. In addition, by distributing during each calendar year substantially all of their net investment income and capital gains, if any, the Funds will not be subject to federal excise tax. Income and capital gain distributions are determined in accordance with income tax regulations which may differ from U.S. generally accepted accounting principles. These book-tax differences are primarily due to differing treatments for tax equalization, in-kind transactions, Real Estate Investment Trusts (REITs) and losses deferred due to wash sales. Net investment income per share calculations in the Financial Highlights for all years presented exclude these differences.

The Funds have reviewed the tax positions for the open tax years as of September 30, 2012 and have determined that no provision for income tax is required in the Funds’ financial statements. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Funds’ major tax jurisdictions, which include the United States of America and the Commonwealth of Massachusetts.

On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Act”) was enacted. The Act modernizes several of the federal income and excise tax provisions related to RICs, and, with certain exceptions, is effective for taxable years beginning after December 22, 2010. Among the changes made are changes to the capital loss carryforward rules allowing for capital losses to be carried forward indefinitely. Rules in effect previously limit the carryforward period to eight years. Capital loss carryforwards generated in taxable years beginning after the effective date of the Act must be fully used before capital loss carryforwards generated in taxable years prior to the effective date of the Act; therefore, under certain circumstances, capital loss carryforwards available as of the report date, if any, may expire unused.

THE SELECT SECTOR SPDR TRUST
NOTES TO FINANCIAL STATEMENTS (continued)

September 30, 2012

For the year ended September 30, 2012, the Funds reclassified non-taxable security gains and losses realized on the in-kind redemption of Creation Units (See Note 4) as an increase or decrease to paid in capital in the Statements of Assets and Liabilities as follows:


	Net Gain (Loss)
	Reclassified to
	Paid in Capital

The Consumer Discretionary Select Sector SPDR Fund	$	416,641,889
The Consumer Staples Select Sector SPDR Fund		524,526,972
The Energy Select Sector SPDR Fund		150,001,765
The Financial Select Sector SPDR Fund		374,336,727
The Health Care Select Sector SPDR Fund		197,538,043
The Industrial Select Sector SPDR Fund		154,501,305
The Materials Select Sector SPDR Fund		138,321,294
The Technology Select Sector SPDR Fund		625,912,856
The Utilities Select Sector SPDR Fund		526,878,619

At September 30, 2012, the Funds had the following capital loss carryforwards, which may be utilized to offset any net realized capital gains, expiring September 30:


															Non-Expiring —		Non-Expiring —
	2013		2014		2015		2016		2017		2018		2019		Short Term		Long Term

The Consumer Discretionary Select Sector SPDR Fund	$	997,052	$	9,450,752	$	7,544,551	$	4,343,910	$	17,652,701	$	44,152,294	$	41,068,081	$	14,433,723	$	49,123,879
The Consumer Staples Select Sector SPDR Fund		799,804		23,679,427		175,734		2,872,408		—		3,835,906		7,952,209		9,583,977		69,161,467
The Energy Select Sector SPDR Fund		821,860		50,406		94,186,580		16,887,031		46,397,013		932,038,288		120,300,080		—		155,207,119
The Financial Select Sector SPDR Fund		4,176,362		9,961,554		10,349,660		41,633,377		423,127,850		90,041,088		5,257,095		73,651,016		95,295,112
The Health Care Select Sector SPDR Fund		6,333,060		7,166,786		3,362,549		1,330,406		21,726,896		29,635,140		22,933,364		1,453,973		70,305,907
The Industrial Select Sector SPDR Fund		1,389,592		4,968,985		7,287,655		5,756,566		15,013,076		80,582,108		27,687,839		19,527,340		56,557,090
The Materials Select Sector SPDR Fund		1,867,693		3,631,452		400,900		2,396,678		34,304,196		254,329,658		159,773,879		82,729,421		61,873,309
The Technology Select Sector SPDR Fund		9,613,457		52,407,581		149,073,403		64,942,837		121,713,434		135,090,209		61,133,352		11,840,255		169,848,681
The Utilities Select Sector SPDR Fund		400,327		2,962,529		4,942,581		—		23,780,627		83,031,840		104,752,494		3,901,275		93,489,005

During the tax year ended September 30, 2012, the Funds utilized/expired capital loss carryforwards in the following amounts:


	Amount Utilized		Amount Expired

The Consumer Discretionary Select Sector SPDR Fund	$	—	$	2,502,233
The Consumer Staples Select Sector SPDR Fund		—		23,758,907
The Energy Select Sector SPDR Fund		—		6,684,065
The Financial Select Sector SPDR Fund		—		8,078,713
The Health Care Select Sector SPDR Fund		—		1,306,855
The Industrial Select Sector SPDR Fund		—		6,331,812
The Materials Select Sector SPDR Fund		—		2,359,563
The Technology Select Sector SPDR Fund		—		123,285,364
The Utilities Select Sector SPDR Fund		—		15,559,181

Under current tax laws, certain capital losses realized after October 31 and ordinary income losses realized after December 31, may be deferred and treated as occurring on the first day of the following fiscal year. The Funds elected

THE SELECT SECTOR SPDR TRUST
NOTES TO FINANCIAL STATEMENTS (continued)

September 30, 2012

for federal income tax purposes to defer the following current year post October 31 and post December 31 losses, as applicable, as though the losses were incurred on the first day of the next fiscal year:


	Post October		Late Year
	Capital Loss Deferral		Ordinary Loss Deferral

The Consumer Discretionary Select Sector SPDR Fund	$	—	$	—
The Consumer Staples Select Sector SPDR Fund		—		—
The Energy Select Sector SPDR Fund		—		—
The Financial Select Sector SPDR Fund		—		—
The Health Care Select Sector SPDR Fund		—		—
The Industrial Select Sector SPDR Fund		—		—
The Materials Select Sector SPDR Fund		—		—
The Technology Select Sector SPDR Fund		—		—
The Utilities Select Sector SPDR Fund		—		—

For the year ended September 30, 2012, there were no significant differences between the book basis and the tax basis character of distributions to shareholders.

The tax character of distributions paid during the year ended September 30, 2012, was as follows:


	Ordinary		Long-Term		Tax Return
	Income		Capital Gains		of Capital

The Consumer Discretionary Select Sector SPDR Fund	$	47,972,876	$	—	$	—
The Consumer Staples Select Sector SPDR Fund		165,074,805		—		—
The Energy Select Sector SPDR Fund		127,309,685		—		—
The Financial Select Sector SPDR Fund		118,336,836		—		—
The Health Care Select Sector SPDR Fund		88,090,600		—		—
The Industrial Select Sector SPDR Fund		71,350,427		—		—
The Materials Select Sector SPDR Fund		43,196,352		—		—
The Technology Select Sector SPDR Fund		145,527,018		—		—
The Utilities Select Sector SPDR Fund		264,331,891		—		—

The tax character of distributions paid during the year ended September 30, 2011, was as follows:


	Ordinary		Long-Term		Tax Return
	Income		Capital Gains		of Capital

The Consumer Discretionary Select Sector SPDR Fund	$	37,879,218	$	—	$	—
The Consumer Staples Select Sector SPDR Fund		114,041,329		—		—
The Energy Select Sector SPDR Fund		134,574,321		—		—
The Financial Select Sector SPDR Fund		87,226,205		—		—
The Health Care Select Sector SPDR Fund		68,486,044		—		—
The Industrial Select Sector SPDR Fund		71,477,864		—		—
The Materials Select Sector SPDR Fund		52,262,870		—		—
The Technology Select Sector SPDR Fund		97,279,895		—		—
The Utilities Select Sector SPDR Fund		190,693,028		—		—

THE SELECT SECTOR SPDR TRUST
NOTES TO FINANCIAL STATEMENTS (continued)

September 30, 2012

As of September 30, 2012, the components of distributable earnings on a tax basis were as follows:


	Undistributed		Undistributed		Net Unrealized
	Ordinary		Long-Term		Appreciation
	Income		Capital Gains		(Depreciation)

The Consumer Discretionary Select Sector SPDR Fund	$	8,881,481	$	—	$	(68,586,014	)
The Consumer Staples Select Sector SPDR Fund		40,257,905		—		241,243,248
The Energy Select Sector SPDR Fund		34,055,257		—		(810,537,741	)
The Financial Select Sector SPDR Fund		24,471,140		—		(668,448,495	)
The Health Care Select Sector SPDR Fund		26,090,891		—		56,565,096
The Industrial Select Sector SPDR Fund		23,841,637		—		(433,775,527	)
The Materials Select Sector SPDR Fund		15,148,295		—		(244,161,052	)
The Technology Select Sector SPDR Fund		36,961,139		—		731,089,243
The Utilities Select Sector SPDR Fund		62,882,726		—		(220,767,748	)


3.	Related Party Fees and Transactions

Adviser Fees

The Trust, on behalf of each Fund, has entered into an investment advisory agreement (“Investment Advisory Agreement” or “Agreement”) with SSgA Funds Management, Inc. (the “Adviser” or “SSgA FM”). As compensation for the services provided to each Fund under its Investment Advisory Agreement, each Fund pays the Adviser a fee accrued daily and paid monthly. The advisory fee is calculated based upon the average daily net assets of the Trust and allocated pro rata to each Select Sector SPDR Fund based on the relative net assets of each Fund. The advisory fee is a sliding fee scale calculated as follows: (i) 0.05% of average daily net assets of the Trust up to the first $12.5 billion of net assets; (ii) 0.04% of average daily net assets of the Trust up to the next $17.5 billion of net assets; (iii) 0.035% of average daily net assets of the Trust up to the next $20.0 billion of net assets; and (iv) 0.03% of average daily net assets on the remainder of net assets of the Trust. From time to time, the Adviser may waive all or a portion of its fees. The Adviser did not waive any of its fees in the current period.

Unitary Fee

A “unitary” fee is paid by each Fund to State Street Bank and Trust Company (“State Street”) for the Administration, Custody and Transfer Agency services it provides to the Funds. The unitary fee is calculated based upon the average daily net assets of the Trust and allocated pro rata to each Select Sector SPDR Fund based upon the relative net assets of each Fund. As of February 1, 2012, the unitary fee is a sliding scale fee calculated as follows: (i) 0.07% of average daily net assets of the Trust up to the first $4.5 billion of net assets; (ii) 0.05% of average daily net assets up to the next $4.5 billion of net assets of the Trust; (iii) 0.03% of average daily net assets of the next $3.5 billion of net assets of the Trust; (iv) 0.015% of average daily net assets of the next $10.0 billion of net assets of the Trust; and (v) 0.0075% of average daily net assets on the remainder of net assets. Prior to February 1, 2012, the unitary fee was a sliding scale fee calculated as follows: (i) 0.07% of average daily net assets of the Trust up to the first $4.5 billion of net assets; (ii) 0.05% of average daily net assets up to the next $4.5 billion of net assets of the Trust; (iii) 0.03% of average daily net assets of the next $3.5 billion of net assets of the Trust; and (iv) 0.015% of average daily net assets of the next $10 billion of net assets of the Trust; and (v) 0.01% of the average daily assets on the remainder of net assets. State Street had voluntarily undertaken to waive 0.0025% of its unitary fee on net assets of the Trust over $22.5 billion through January 31, 2012. State Street has not entered into an agreement with the Trust to recapture waived fees in subsequent periods.

The waiver amounts for each Fund’s allocation of the unitary fee for a portion of the year ended September 30, 2012 are identified in the Statements of Operations.

THE SELECT SECTOR SPDR TRUST
NOTES TO FINANCIAL STATEMENTS (continued)

September 30, 2012

State Street also acts as the securities lending agent for the Funds and receives a portion of any lending income. In addition, cash collateral from lending activities is invested in the State Street Navigator Securities Lending Prime Portfolio (“Prime Portfolio”) for which SSgA FM serves as investment adviser. Prime Portfolio is a series of State Street Navigator Securities Lending Trust, a registered investment company under the 1940 Act, and operates as a money market fund in compliance with Rule 2a-7 under the 1940 Act. See Note 7 for additional information regarding securities lending.

For the year ended September 30, 2012, State Street earned securities lending agent fees as follows:


	Securities Lending
	Agent Fees

The Consumer Discretionary Select Sector SPDR Fund	$	131,405
The Consumer Staples Select Sector SPDR Fund		44,965
The Energy Select Sector SPDR Fund		50,929
The Financial Select Sector SPDR Fund		60,382
The Health Care Select Sector SPDR Fund		38,077
The Industrial Select Sector SPDR Fund		76,439
The Materials Select Sector SPDR Fund		48,845
The Technology Select Sector SPDR Fund		97,429
The Utilities Select Sector SPDR Fund		78,314

Distributor

ALPS Distributors, Inc. (the “Distributor”) serves as the distributor of the shares of each Fund. Pursuant to a Distribution and Service Plan adopted in accordance with Rule 12b-1 under the 1940 Act, each Fund is authorized to pay fees, including fees to the Distributor, at an annualized rate of 0.25% of the average daily net assets of the Fund. The Board has limited each Fund’s 12b-1 fee to 0.054% of its average daily net assets through January 31, 2012, and 0.050% of average daily net assets from February 1, 2012, through at least January 31, 2014.

Trustees’ Fees

Effective January 1, 2012, the Trust pays each Trustee who is not an “interested person” (as defined in the 1940 Act) an annual fee of $88,000 plus a per meeting fee of $6,000 for each meeting of the Board attended by the Trustee and $2,000 for each telephone meeting. The Chairman of the Board receives an additional fee of $28,000 per year. The Trust also reimburses each Trustee for travel and other out-of-pocket expenses incurred by him/her in connection with attending such meetings and in connection with attending industry seminars and meetings. Audit Committee members receive $3,500 per Committee meeting attended and Nominating and Governance Committee members receive $2,000 per Committee meeting attended. The Chairperson of the Audit Committee also receives an $8,000 annual fee and the Chairperson of the Nominating and Governance Committee also receives an annual fee of $4,000.

Prior to January 1, 2012, the Trust paid each Trustee who is not an “interested person” (as defined in the 1940 Act) an annual fee of $72,000 plus a per meeting fee of $5,000 for each meeting of the Board attended by the Trustee and $1,500 for each telephone meeting. The Chairman of the Board received an additional fee of $20,000 per year. The Trust also reimbursed each Trustee for travel and other out-of-pocket expenses incurred by him/her in connection with attending such meetings and in connection with attending industry seminars and meetings. Audit Committee members received $2,500 per Committee meeting attended. The Chairperson of the Audit Committee also received a $4,000 annual fee.

Additional Expenses

Standard and Poor’s Financial Services LLC, an affiliate of The McGraw-Hill Companies (“S&P”), NYSE Arca, Inc. and Merrill Lynch, Pierce, Fenner & Smith Incorporated (“Merrill Lynch”) have entered into a license agreement with respect to each Select Sector Index. The Trust has entered into a sub-license agreement whereby the Trust agrees to pay a sub-license fee per annum (i) to S&P equal to the greater of 0.03% of the aggregate net assets of the Trust or

THE SELECT SECTOR SPDR TRUST
NOTES TO FINANCIAL STATEMENTS (continued)

September 30, 2012

$450,000 (the “Minimum Annual Fee”), and (ii) to Merrill Lynch equal to 0.03% of the aggregate net assets of the Trust up to $35 billion, 0.02% of the aggregate net assets of the Trust from $35 billion up to and including $50 billion and 0.01% on the remainder of net assets of the Trust. The fees to S&P and Merrill Lynch are payable on a quarterly basis. Each Select Sector SPDR Fund will pay its proportionate share of the annual sub-license fees based on the relative net assets of each Fund.

Transactions with Affiliated Issuers

The Financial Select Sector SPDR Fund has invested in an affiliated company, State Street Corp. Amounts relating to this investment at September 30, 2012, and for the period then ended are:


Number of													Number of
Shares Held	Cost at		Value at		Purchased				Sold				Shares Held		Value at		Dividend		Realized
at 9/30/11	9/30/11		9/30/11		Cost		Shares		Proceeds		Shares		at 9/30/12		9/30/12		Income		Gain/(Loss)

1,545,645	$	70,811,959	$	49,707,943	$	204,014,541		4,920,491	$	182,912,581		4,450,438		2,015,698	$	84,578,688	$	1,680,813	$	531,975

Each Fund may invest in certain money market funds managed by the Adviser, including the State Street Institutional Liquid Reserves Fund — Institutional Class (“Liquid Reserves Fund”), a series of State Street Institutional Investment Trust. The Liquid Reserves Fund is a feeder fund in a master/feeder fund structure that invests substantially all of its assets in the State Street Money Market Portfolio (“Master Portfolio”). The Liquid Reserves Fund does not pay an investment advisory fee to the Adviser, but the Master Portfolio in which it invests pays an investment advisory fee to the Adviser. The Liquid Reserves Fund intends to declare dividends on shares from net investment income daily and pay them as of the last business day of each month. All income distributions earned by a Fund from affiliated money market funds are recorded as dividend income on securities of affiliated issuers in the accompanying Statements of Operations. In addition, cash collateral from lending activities is invested in Prime Portfolio, for which SSgA FM serves as the investment adviser.

Amounts related to investments in Prime Portfolio and/or Liquid Reserves Fund at September 30, 2012 and for the period then ended are:


	Value at		Purchased				Sold				Value at
Prime Portfolio	9/30/11		Cost		Shares		Proceeds		Shares		9/30/12		Income

The Consumer Discretionary Select Sector SPDR Fund	$	96,892,617	$	852,507,400		852,507,400	$	818,108,348		818,108,348	$	131,291,669	$	738,841
The Consumer Staples Select Sector SPDR Fund		142,489,554		938,120,896		938,120,896		937,542,818		937,542,818		143,067,632		251,870
The Energy Select Sector SPDR Fund		100,170,748		1,883,259,335		1,883,259,335		1,748,524,101		1,748,524,101		234,905,982		288,640
The Financial Select Sector SPDR Fund		144,296,216		1,095,832,148		1,095,832,148		1,105,131,698		1,105,131,698		134,996,666		339,851
The Health Care Select Sector SPDR Fund		91,781,838		1,314,898,792		1,314,898,792		1,212,278,070		1,212,278,070		194,402,560		249,810
The Industrial Select Sector SPDR Fund		108,315,825		915,174,865		915,174,865		934,065,928		934,065,928		89,424,762		424,340
The Materials Select Sector SPDR Fund		100,601,043		738,104,934		738,104,934		778,568,802		778,568,802		60,137,175		273,367
The Technology Select Sector SPDR Fund		119,460,414		1,324,597,190		1,324,597,190		1,334,528,334		1,334,528,334		109,529,270		548,977
The Utilities Select Sector SPDR Fund		163,816,373		2,587,671,128		2,587,671,128		2,604,268,754		2,604,268,754		147,218,747		413,951


	Value at		Purchased				Sold				Value at
Liquid Reserves Fund	9/30/11		Cost		Shares		Proceeds		Shares		9/30/12		Income

The Consumer Discretionary Select Sector SPDR Fund	$	1,547,322	$	79,338,411		79,338,411	$	65,196,258		65,196,258	$	15,689,475	$	13,408
The Consumer Staples Select Sector SPDR Fund		7,061,290		294,765,847		294,765,847		253,104,353		253,104,353		48,722,784		29,143
The Energy Select Sector SPDR Fund		7,174,578		216,394,989		216,394,989		184,251,481		184,251,481		39,318,086		23,134
The Financial Select Sector SPDR Fund		8,465,728		229,453,301		229,453,301		193,590,904		193,590,904		44,328,125		18,693
The Health Care Select Sector SPDR Fund		4,118,194		156,581,059		156,581,059		139,412,766		139,412,766		21,286,487		16,729
The Industrial Select Sector SPDR Fund		4,150,289		185,463,860		185,463,860		167,647,723		167,647,723		21,966,426		15,929
The Materials Select Sector SPDR Fund		3,340,822		70,381,696		70,381,696		56,985,889		56,985,889		16,736,629		12,040
The Technology Select Sector SPDR Fund		26,793,302		310,891,193		310,891,193		260,842,961		260,842,961		76,841,534		50,346
The Utilities Select Sector SPDR Fund		13,697,413		455,619,053		455,619,053		398,377,601		398,377,601		70,938,865		36,488

THE SELECT SECTOR SPDR TRUST
NOTES TO FINANCIAL STATEMENTS (continued)

September 30, 2012


4.	Shareholder Transactions

Select Sector SPDR Fund shares are issued and redeemed by a Fund only in Creation Unit size aggregations of 50,000 shares. Such transactions are generally permitted on an in-kind basis only, with a separate cash payment which is equivalent to the undistributed net investment income per share (income equalization) and a balancing cash component to equate the transaction to the net asset value per unit of the Fund on the transaction date. Transaction fees at scheduled amounts ranging from $500 to $2,000 per Creation Unit are charged to those persons creating or redeeming Creation Units. Transaction fees are received by the Funds’ custodian and are used to defray related expenses.


5.	Aggregate Unrealized Appreciation and Depreciation

The identified cost of investments in securities owned by each Fund for federal income tax purposes and the gross unrealized appreciation and depreciation at September 30, 2012 were as follows:


			Gross		Gross		Net Unrealized
	Identified		Unrealized		Unrealized		Appreciation
	Cost		Appreciation		Depreciation		(Depreciation)

The Consumer Discretionary Select Sector SPDR Fund	$	3,549,639,683	$	189,549,984	$	258,135,998	$	(68,586,014	)
The Consumer Staples Select Sector SPDR Fund		5,959,821,850		372,088,188		130,844,940		241,243,248
The Energy Select Sector SPDR Fund		8,661,779,934		227,031,299		1,037,569,040		(810,537,741	)
The Financial Select Sector SPDR Fund		8,757,013,205		124,083,131		792,531,626		(668,448,495	)
The Health Care Select Sector SPDR Fund		5,214,409,958		217,517,864		160,952,768		56,565,096
The Industrial Select Sector SPDR Fund		3,737,400,065		8,626,267		442,401,794		(433,775,527	)
The Materials Select Sector SPDR Fund		2,673,827,879		43,316,907		287,477,959		(244,161,052	)
The Technology Select Sector SPDR Fund		10,102,662,416		1,397,023,472		665,934,229		731,089,243
The Utilities Select Sector SPDR Fund		6,476,508,408		222,309,472		443,077,220		(220,767,748	)


6.	Investment Transactions

For the year ended September 30, 2012, the Trust had in-kind contributions, in-kind redemptions and in-kind net realized gain as follows:


					Realized
	Contributions		Redemptions		Gain/(Loss)

The Consumer Discretionary Select Sector SPDR Fund	$	6,217,040,833	$	5,363,024,768	$	418,479,636
The Consumer Staples Select Sector SPDR Fund		5,572,427,595		5,705,607,805		528,471,594
The Energy Select Sector SPDR Fund		16,418,985,826		16,657,301,545		165,798,264
The Financial Select Sector SPDR Fund		16,842,353,950		14,689,162,175		396,056,724
The Health Care Select Sector SPDR Fund		6,172,209,732		6,133,537,235		209,404,543
The Industrial Select Sector SPDR Fund		12,667,839,183		12,468,015,759		159,606,770
The Materials Select Sector SPDR Fund		6,781,156,469		6,458,891,365		150,508,193
The Technology Select Sector SPDR Fund		5,430,258,830		3,511,120,122		639,241,034
The Utilities Select Sector SPDR Fund		4,450,024,378		5,537,016,720		540,978,628

The in-kind contributions and in-kind redemptions in this table may not accord with the beneficial interest transactions on the Statements of Changes. The table represents the accumulation of the Funds’ daily net shareholder transactions while the Statements of Changes reflects gross shareholder transactions including any income equalization or cash component of the transactions.

THE SELECT SECTOR SPDR TRUST
NOTES TO FINANCIAL STATEMENTS (continued)

September 30, 2012

For the year ended September 30, 2012, the Trust had purchases and sales of investment securities as follows:


	Purchases		Sales

The Consumer Discretionary Select Sector SPDR Fund	$	138,202,270	$	144,768,745
The Consumer Staples Select Sector SPDR Fund		688,168,024		688,762,439
The Energy Select Sector SPDR Fund		398,991,986		405,168,014
The Financial Select Sector SPDR Fund		492,751,011		474,612,411
The Health Care Select Sector SPDR Fund		239,245,056		202,782,999
The Industrial Select Sector SPDR Fund		249,200,578		243,191,350
The Materials Select Sector SPDR Fund		225,529,337		226,800,162
The Technology Select Sector SPDR Fund		493,005,302		463,734,983
The Utilities Select Sector SPDR Fund		298,370,547		278,539,685


7.	Securities Lending

Each Fund may lend securities up to 33 1 / 3 % of its total assets to qualified broker-dealers or institutional investors. The loans are secured at all times by cash, cash equivalents or U.S. government securities in an amount at least equal to the market value of the securities loaned, plus accrued interest and dividends, determined on a daily basis and adjusted accordingly. The value of the collateral with respect to a loaned security may be temporarily more or less than the value of a security on loan due to market fluctuation of security values. With respect to each loan, if on any business day the aggregate market value of securities collateral plus cash collateral is less than the aggregate market value of the securities which are the subject of the loan, the borrower will be notified to provide additional collateral on the next business day. The Funds will regain record ownership of loaned securities to exercise certain beneficial rights; however, the Funds may bear the risk of delay in recovery of, or even loss of rights, in the securities loaned should the borrower fail financially. In addition, a Fund will bear the risk of loss of any cash collateral that it may invest. Each Fund receives compensation for lending its securities from interest or dividends earned on the cash, cash equivalents or U.S. government securities held as collateral, net of fee rebates paid to the borrower and net of fees paid to State Street as lending agent. Additionally, a Fund will receive a fee from the borrower for non-cash collateral equal to a percentage of the market value of the loaned securities. Proceeds collected by State Street on investment of cash collateral or any fee income is partially allocated to State Street as compensation for its lending services.

The market value of securities on loan as of September 30, 2012 and the value of the invested cash collateral are disclosed in the Funds’ Statements of Assets and Liabilities. Non-cash collateral is not disclosed in the Funds’ Statement of Assets and Liabilities as it is held by the lending agent on behalf of the Funds and the Funds do not have the ability to re-hypothecate those securities. Securities lending income, as disclosed in the Funds’ Statements of Operations, represents the income earned from the investment of cash collateral, net of fee rebates paid to the borrower and net of fees paid to State Street as lending agent.


8.	Recent Accounting Pronouncements

In December 2011, FASB issued ASU No. 2011-11 “Disclosures about Offsetting Assets and Liabilities.” These common disclosure requirements are intended to help investors and other financial statement users to better assess the effect or potential effect of offsetting arrangements on a portfolio’s financial position. They also improve transparency in the reporting of how companies mitigate credit risk, including disclosure of related collateral pledged or received. In addition, ASU 2011-11 facilitates comparison between those entities that prepare their financial statements on the basis of U.S. GAAP and those entities that prepare their financial statements on the basis of International Financial Reporting Standards. ASU 2011-11 requires entities to disclose both gross and net information about both instruments and transactions eligible for offset in the financial position; and disclose instruments and transactions subject to an agreement similar to a master netting agreement. ASU 2011-11 is effective for fiscal years beginning on or after January 1, 2013, and interim periods within those annual periods. Management is currently evaluating the implications of ASU 2011-11 and its impact on financial statement disclosures.

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

September 30, 2012

To the Trustees and Shareholders of

The Select Sector SPDR Trust

In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the nine funds, listed in footnote 1, (each a “Fund”) comprising The Select Sector SPDR Trust (the “Trust”) at September 30, 2012, the results of each of their operations, the changes in each of their net assets and the financial highlights for the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Trust’s Management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2012 by correspondence with the custodian and the application of alternative auditing procedures where securities purchased had not been received, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts

November 27, 2012

THE SELECT SECTOR SPDR TRUST
OTHER INFORMATION

September 30, 2012 (Unaudited)

Shareholder Expense Example

As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, which may include creation and redemption fees or brokerage charges and (2) ongoing costs, including management fees, distribution (12b-1) fees, administration, custodian and transfer agent fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other funds. It is based on an investment of $1,000 invested at April 1, 2012 and held for the six months ended September 30, 2012.

Actual Expenses

The first table below provides information about actual account values and actual expenses. You may use the information in this table, together with the amount you invested, to estimate the expenses that you incurred over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first table under the heading entitled “Expenses Paid During Period” to estimate the expenses attributable to your investment during this period.

Hypothetical Example for Comparison Purposes

The second table below provides information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not a Fund’s actual return. Thus, you should not use the hypothetical account values and expenses to estimate the actual ending account balance or your expenses for the period. Rather, these figures are provided to enable you to compare the ongoing costs of investing in a Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Transaction fees at scheduled amounts ranging from $500 to $2,000 per Creation Unit are charged to those persons creating or redeeming Creation Units. If you buy or sell Select Sector SPDR Fund shares in the secondary market, you will incur customary brokerage commissions and charges.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as creation and redemption fees, or brokerage charges. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.


								Expenses Paid
	Annualized			Beginning Account		Ending Account		During Period*
	Expense			Value		Value		4/1/12 to
	Ratio			4/1/12		9/30/12		9/30/12

Actual
The Consumer Discretionary Select Sector SPDR Fund		0.18	%	$	1,000	$	1,045.40	$	0.92
The Consumer Staples Select Sector SPDR Fund		0.18	%	$	1,000	$	1,066.10	$	0.93
The Energy Select Sector SPDR Fund		0.18	%	$	1,000	$	1,033.30	$	0.91
The Financial Select Sector SPDR Fund		0.18	%	$	1,000	$	995.70	$	0.90
The Health Care Select Sector SPDR Fund		0.18	%	$	1,000	$	1,077.60	$	0.93
The Industrial Select Sector SPDR Fund		0.18	%	$	1,000	$	987.80	$	0.89
The Materials Select Sector SPDR Fund		0.18	%	$	1,000	$	1,006.10	$	0.90
The Technology Select Sector SPDR Fund		0.18	%	$	1,000	$	1,030.40	$	0.91
The Utilities Select Sector SPDR Fund		0.18	%	$	1,000	$	1,058.90	$	0.93

THE SELECT SECTOR SPDR TRUST
OTHER INFORMATION (continued)

September 30, 2012 (Unaudited)


								Expenses Paid
	Annualized			Beginning Account		Ending Account		During Period*
	Expense			Value		Value		4/1/12 to
	Ratio			4/1/12		9/30/12		9/30/12

Hypothetical (assuming a 5% return before expenses)
The Consumer Discretionary Select Sector SPDR Fund		0.18	%	$	1,000	$	1,024.10	$	0.91
The Consumer Staples Select Sector SPDR Fund		0.18	%	$	1,000	$	1,024.10	$	0.91
The Energy Select Sector SPDR Fund		0.18	%	$	1,000	$	1,024.10	$	0.91
The Financial Select Sector SPDR Fund		0.18	%	$	1,000	$	1,024.10	$	0.91
The Health Care Select Sector SPDR Fund		0.18	%	$	1,000	$	1,024.10	$	0.91
The Industrial Select Sector SPDR Fund		0.18	%	$	1,000	$	1,024.10	$	0.91
The Materials Select Sector SPDR Fund		0.18	%	$	1,000	$	1,024.10	$	0.91
The Technology Select Sector SPDR Fund		0.18	%	$	1,000	$	1,024.10	$	0.91
The Utilities Select Sector SPDR Fund		0.18	%	$	1,000	$	1,024.10	$	0.91


*		Expenses are equal to each Fund’s annualized expense ratio multiplied by the average account value of the period, multiplied by the number of days in the most recent six-month period, then divided by 366.

Tax Information

For federal income tax purposes, the following information is furnished with respect to the distributions of the Trust for its fiscal year ended September 30, 2012.

Percentage of distributions which qualify for the corporate dividends received deduction:


	Percentage

The Consumer Discretionary Select Sector SPDR Fund		98.15	%
The Consumer Staples Select Sector SPDR Fund		99.98
The Energy Select Sector SPDR Fund		92.26
The Financial Select Sector SPDR Fund		71.26
The Health Care Select Sector SPDR Fund		96.32
The Industrial Select Sector SPDR Fund		88.10
The Materials Select Sector SPDR Fund		93.34
The Technology Select Sector SPDR Fund		100.00
The Utilities Select Sector SPDR Fund		98.06

For the fiscal year ended September 30, 2012 certain dividends paid by the Trust may be designated as qualified dividend income and subject to a maximum tax rate of 15%, as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. Complete information will be reported in conjunction with your 2012 Form 1099-DIV.

Premium/Discount Information

Information regarding how often the Shares of each Fund traded on the Exchange at a price above (i.e. at a premium) or below (i.e. at a discount) the net asset value of the Fund during the past calendar year can be found at www.sectorspdrs.com .

THE SELECT SECTOR SPDR TRUST
OTHER INFORMATION (continued)

September 30, 2012 (Unaudited)

Proxy Voting Policies and Procedures and Records

A description of the Trust’s proxy voting policies and procedures that are used by the Adviser to vote proxies relating to the Funds’ portfolio of securities are available (i) without charge, upon request by calling 1-866-Sector-ETF (732-8673) or (ii) on the website of the Securities and Exchange Commission (“SEC”), at www.sec.gov .

Information regarding how proxies were voted relating to the Funds’ portfolio securities for the prior 12-months period ended June 30 is available by August 31 of each year by calling the same number above (toll free) and on the SEC’s website, at www.sec.gov , and on the Funds’ website at www.sectorspdrs.com .

Quarterly Portfolio Schedule

The Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The information on the Form N-Q is available upon request, without charge, by calling 1-866-Sector-ETF (732-8673).

THE SELECT SECTOR SPDR TRUST
OTHER INFORMATION (continued)

September 30, 2012 (Unaudited)

TRUSTEES AND OFFICERS OF THE TRUST


				Number of
				Portfolios
		Term of	Principal	in Fund
		Office and	Occupation(s)	Complex	Other
Name, Address	Position(s)	Length of	During Past	Overseen	Directorships
and Year of Birth	with Funds	Time Served	5 Years	by Trustee	Held by Trustee

Independent Trustees
GEORGE R. GASPARI c/o The Select Sector SPDR Trust State Street Financial Center One Lincoln Street Boston, MA 02111 1940	Trustee, Chairman (3-Year Term), Member of the Audit Committee, Member of the Nominating and Governance Committee	Unlimited Elected: October 1998	Financial Services Consultant (1996 to present).	9	Director and Member of the Audit Committee, Liberty All-Star Growth Fund, Inc.; Trustee and Member of the Audit Committee, Liberty All-Star Equity Fund.
CHERYL BURGERMEISTER c/o The Select Sector SPDR Trust State Street Financial Center One Lincoln Street Boston, MA 02111 1951	Trustee; Chair of the Audit Committee (3-Year Term), Member of the Nominating and Governance Committee	Unlimited Elected: October 1998	Retired; Trustee and Treasurer of Portland Community College Foundation (2001 to present); Finance Committee Member/Chairman Portland Community College Foundation (January 2001 to present); Active CPA in Oregon.	9	Trustee and Treasurer of Portland Community College Foundation; Lead Independent Director, ALPS Series Trust; Director and Member of the Investment Committee, Russell Fund Complex.
ERNEST J. SCALBERG c/o The Select Sector SPDR Trust State Street Financial Center One Lincoln Street Boston, MA 02111 1945	Trustee, Member of the Audit Committee, Chairman of the Nominating and Governance Committee (3-Year Term)	Unlimited Elected: October 1998	Research Professor and Director of the GLOBE Center, Monterey Institute of International Studies (2009 to present); Associate Vice President for External Programs and Dean of Fisher Graduate School of International Business (2001 to 2009); Director, Adviser or Trustee to numerous non-profit organizations (1974 to present).	9	Director and Member of the Audit and Nominating Committees, db-X Target Date Funds, Inc.; Chairman of the Board of the Foundation, International University in Geneva (IUG), Switzerland.

THE SELECT SECTOR SPDR TRUST
OTHER INFORMATION (continued)

September 30, 2012 (Unaudited)


				Number of
				Portfolios
		Term of	Principal	in Fund
		Office and	Occupation(s)	Complex	Other
Name, Address	Position(s)	Length of	During Past	Overseen	Directorships
and Year of Birth	with Funds	Time Served	5 Years	by Trustee	Held by Trustee

R. CHARLES TSCHAMPION c/o The Select Sector SPDR Trust State Street Financial Center One Lincoln Street Boston, MA 02111 1946	Trustee; Member of the Audit Committee, Member of the Nominating and Governance Committee	Unlimited Elected: October 1998	Director, Special Projects, CFA Institute (2010 to present); Director, Industry Relations, CFA Institute (2005 to 2010); Trustee of Lehigh University (October 1998 to June 2010) and Chair of the Investment Sub-Committee for the Lehigh University Endowment Fund (October 1998 to December 2008).	9	Trustee Emeritus of Lehigh University; Director, Chairman of the Audit Committee and Member of the Nominating Committee, db-X Target Date Funds, Inc.; Director, Real Estate Information Standards Board.
Interested Trustee
JAMES E. ROSS* SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1965	Trustee; President (Principal Executive Officer)	Unlimited Elected: Trustee November 2005; President November 2010	Chairman and Director, SSgA Funds Management, Inc. (2005 to present); President, SSgA Funds Management, Inc. (2005 to 2012); Senior Managing Director, State Street Global Advisors (March 2006 to present); Principal, State Street Global Advisors (2006 to present).	170	SPDR Series Trust (Trustee); SPDR Index Shares Funds (Trustee); State Street Master Funds (Trustee); State Street Institutional Investment Trust (Trustee).


*		Mr. Ross is an “interested person” of the Trust, as defined in the 1940 Act, because of his employment with the Adviser and ownership interest in an affiliate of the Adviser.

THE SELECT SECTOR SPDR TRUST
OTHER INFORMATION (continued)

September 30, 2012 (Unaudited)


		Term of	Principal
		Office and	Occupation(s)
Name, Address	Position(s)	Length of	During Past
and Year of Birth	with Funds	Time Served	5 Years

Officers
MICHAEL P. RILEY SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1969	Vice President	Unlimited Elected: February 2005	Vice President, State Street Global Advisors and SSgA Funds Management, Inc. (2008 to present); Principal, State Street Global Advisors and SSgA Funds Management, Inc. (2005 to 2008).
CHAD C. HALLETT State Street Bank and Trust Company 4 Copley Place Boston, MA 02116 1969	Treasurer and Principal Financial Officer	Unlimited Elected: November 2007	Vice President, State Street Bank and Trust Company (2001 to present).*
LAURA F. DELL State Street Bank and Trust Company 4 Copley Place Boston, MA 02116 1964	Assistant Treasurer	Unlimited Elected: November 2007	Vice President, State Street Bank and Trust Company (2002-present).*
MATTHEW FLAHERTY State Street Bank and Trust Company 4 Copley Place Boston, MA 02116 1971	Assistant Treasurer	Unlimited Elected: May 2005	Assistant Vice President, State Street Bank and Trust Company (1994 to present).*
RYAN M. LOUVAR State Street Bank and Trust Company 4 Copley Place Boston, MA 02116 1972	Secretary	Unlimited Elected: August 2008	Vice President and Senior Managing Counsel, State Street Bank and Trust Company (2005 to present).*
MARK E. TUTTLE State Street Bank and Trust Company 4 Copley Place Boston, MA 02116 1970	Assistant Secretary	Unlimited Elected: August 2007	Vice President and Counsel, State Street Bank and Trust Company (2007 to present).*
JACQUELINE ANGELL State Street Bank and Trust Company 20 Churchill Place London E14 5HJ 1974	Chief Compliance Officer	Unlimited Elected: February 2011	Head of UK Compliance, State Street Bank and Trust Company (July 2012-present); Vice President, State Street Global Advisors and SSgA Funds Management, Inc. (2008-June 2012); Director of Investment Adviser Oversight, Fidelity Investments (1999-2008).


*		Served in various capacities and/or with various affiliated companies during the noted time period.

The SPDR ^® Family of Exchange Traded Funds

The following is a list of SPDR ETFs being offered, along with their respective exchange trading symbols. Please call 1-866-787-2257 to obtain a prospectus for any SPDR ETF. The prospectus contains more complete information, including charges, expenses, investment objectives and risk factors that should be carefully considered to determine if the Fund(s) are an appropriate investment for you. Read the prospectus(es) carefully before investing. Investing involves risk, including possible loss of principal.

The Select Sector SPDR Trust

The Consumer Discretionary Select Sector SPDR Fund (XLY)

The Consumer Staples Select Sector SPDR Fund (XLP)

The Energy Select Sector SPDR Fund (XLE)

The Financial Select Sector SPDR Fund (XLF)

The Health Care Select Sector SPDR Fund (XLV)

The Industrial Select Sector SPDR Fund (XLI)

The Materials Select Sector SPDR Fund (XLB)

The Technology Select Sector SPDR Fund (XLK)

The Utilities Select Sector SPDR Fund (XLU)

SPDR Series Trust

SPDR Dow Jones Total Market ETF (TMW)

SPDR Dow Jones Large Cap ETF (ELR)

SPDR S&P 500 Growth ETF (SPYG)

SPDR S&P 500 Value ETF (SPYV)

SPDR Dow Jones Mid Cap ETF (EMM)

SPDR S&P 400 Mid Cap Growth ETF (MDYG)

SPDR S&P 400 Mid Cap Value ETF (MDYV)

SPDR S&P 600 Small Cap ETF (SLY)

SPDR S&P 600 Small Cap Growth ETF (SLYG)

SPDR S&P 600 Small Cap Value ETF (SLYV)

SPDR Global Dow ETF (DGT)

SPDR Dow Jones REIT ETF (RWR)

SPDR S&P Bank ETF (KBE)

SPDR S&P Capital Markets ETF (KCE)

SPDR S&P Insurance ETF (KIE)

SPDR S&P Mortgage Finance ETF (KME)

SPDR S&P Regional Banking ETF (KRE)

SPDR Morgan Stanley Technology ETF (MTK)

SPDR S&P Dividend ETF (SDY)

SPDR S&P Aerospace & Defense ETF (XAR)

SPDR S&P Biotech ETF (XBI)

SPDR S&P Health Care Equipment ETF (XHE)

SPDR S&P Health Care Services ETF (XHS)

SPDR S&P Homebuilders ETF (XHB)

SPDR S&P Metals & Mining ETF (XME)

SPDR S&P Oil & Gas Equipment & Services ETF (XES)

SPDR S&P Oil & Gas Exploration & Production ETF (XOP)

SPDR S&P Pharmaceuticals ETF (XPH)

SPDR S&P Retail ETF (XRT)

SPDR S&P Semiconductor ETF (XSD)

SPDR S&P Software & Services ETF (XSW)

SPDR S&P Telecom ETF (XTL)

SPDR S&P Transportation ETF (XTN)

SPDR S&P 1500 Value Tilt ETF (VLU)

SPDR S&P 1500 Momentum Tilt ETF (MMTM)

SPDR Wells Fargo Preferred Stock ETF (PSK)

SPDR Barclays 1-3 Month T-Bill ETF (BIL)

SPDR Barclays TIPS ETF (IPE)

SPDR Barclays Short Term Treasury ETF (SST)

SPDR Barclays Intermediate Term Treasury ETF (ITE)

SPDR Barclays Long Term Treasury ETF (TLO)

SDPR Barclays Short Term Corporate Bond ETF (SCPB)

SPDR Barclays Intermediate Term Corporate Bond ETF (ITR)

SPDR Barclays Long Term Corporate Bond ETF (LWC)

SPDR Barclays Issuer Scored Corporate Bond ETF (CBND)

SPDR Barclays Convertible Securities ETF (CWB)

SPDR Barclays Mortgage Backed Bond ETF (MBG)

SPDR Barclays Aggregate Bond ETF (LAG)

SPDR Nuveen Barclays Municipal Bond ETF (TFI)

SPDR Nuveen Barclays California Municipal Bond ETF (CXA)

SPDR Nuveen Barclays New York Municipal Bond ETF (INY)

SPDR Nuveen Barclays Short Term Municipal Bond ETF (SHM)

SPDR Nuveen S&P VRDO Municipal Bond ETF (VRD)

SPDR Nuveen S&P High Yield Municipal Bond ETF (HYMB)

SPDR Nuveen Barclays Build America Bond ETF (BABS)

SPDR DB International Government Inflation-Protected Bond ETF (WIP)

SPDR Barclays Short Term International Treasury Bond ETF (BWZ)

SPDR Barclays International Treasury Bond ETF (BWX)

SPDR Barclays International Corporate Bond ETF (IBND)

SPDR Barclays Emerging Markets Local Bond ETF (EBND)

SPDR Barclays High Yield Bond ETF (JNK)

SPDR Barclays Short Term High Yield Bond ETF (SJNK)

SPDR Barclays Investment Grade Floating Rate ETF (FLRN)

SPDR BofA Merrill Lynch Emerging Markets Corporate Bond ETF (EMCD)

SPDR BofA Merrill Lynch Crossover Corporate Bond ETF (XOVR)

SPDR Index Shares Funds

SPDR STOXX Europe 50 ETF (FEU)

SPDR EURO STOXX 50 ETF (FEZ)

SPDR S&P Emerging Asia Pacific ETF (GMF)

SPDR S&P Small Cap Emerging Asia Pacific ETF (GMFS)

SPDR S&P Russia ETF (RBL)

SPDR S&P China ETF (GXC)

SPDR S&P Emerging Markets ETF (GMM)

SPDR S&P Emerging Markets Dividend ETF (EDIV)

SPDR S&P BRIC 40 ETF (BIK)

SPDR S&P Emerging Europe ETF (GUR)

SPDR S&P Emerging Latin America ETF GML)

SPDR S&P Emerging Middle East & Africa ETF (GAF)

SPDR S&P World ex-US ETF (GWL)

SPDR S&P International Small Cap ETF (GWX)

SPDR Dow Jones International Real Estate ETF (RWX)

SPDR FTSE/Macquarie Global Infrastructure 100 ETF (GII)

SPDR S&P Global Natural Resources ETF (GNR)

SPDR MSCI ACWI ex-US ETF (CWI)

SPDR MSCI ACWI IMI ETF (ACIM)

SPDR MSCI EM 50 ETF (EMFT)

SPDR Russell/Nomura PRIME Japan ETF (JPP)

SPDR Russell/Nomura Small Cap Japan ETF (JSC)

SPDR S&P International Dividend ETF (DWX)

SPDR S&P International Mid Cap ETF (MDD)

SPDR S&P Emerging Markets Small Cap ETF (EWX)

SPDR Dow Jones Global Real Estate ETF (RWO)

SPDR S&P International Consumer Discretionary Sector ETF (IPD)

SPDR S&P International Consumer Staples Sector ETF (IPS)

SPDR S&P International Energy Sector ETF (IPW)

SPDR S&P International Financial Sector ETF (IPF)

SPDR S&P International Health Care Sector ETF (IRY)

SPDR S&P International Industrial Sector ETF (IPN)

SPDR S&P International Materials Sector ETF (IRV)

SPDR S&P International Technology Sector ETF (IPK)

SPDR S&P International Telecommunications Sector ETF (IST)

SPDR S&P International Utilities Sector ETF (IPU)

SSgA Active ETF Trust

SPDR SSgA Multi-Asset Real Return ETF (RLY)

SPDR SSgA Income Allocation ETF (INKM)

SPDR SSgA Global Allocation ETF (GAL)

SPDR Dow Jones Industrial Average ETF Trust (DIA)

SPDR S&P 500 ETF Trust (SPY)

State Street Global Markets, LLC, member FINRA, SIPC, is distributor for all investment portfolios of SPDR Series Trust, SPDR Index Shares Funds and SSgA Active ETF Trust. ALPS Distributors, Inc., a registered broker-dealer, is distributor for SPDR S&P 500 ETF Trust (SPY) and SPDR Dow Jones Industrial Average ETF Trust (DIA), both unit investment trusts, and all investment portfolios of The Select Sector SPDR Trust.

Trustees

Cheryl Burgermeister

George R. Gaspari, Chairman

James E. Ross

Ernest J. Scalberg

R. Charles Tschampion

Officers

James E. Ross, President

Michael P. Riley, Vice President

Chad C. Hallett, Treasurer

Matthew Flaherty, Assistant Treasurer

Laura Dell, Assistant Treasurer

Ryan M. Louvar, Secretary

Mark E. Tuttle, Assistant Secretary

Jacqueline Angell, Chief Compliance Officer

Investment Manager

SSgA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, Massachusetts 02111

Distributor

ALPS Distributors, Inc.

1290 Broadway, Suite 1100

Denver, Colorado 80203

Custodian, Administrator and Transfer Agent

State Street Bank and Trust Company

State Street Financial Center

One Lincoln Street

Boston, Massachusetts 02111

Legal Counsel

Clifford Chance US LLP

31 West 52nd Street

New York, New York 10166

Independent Registered Public Accounting Firm

PricewaterhouseCoopers LLP

125 High Street

Boston, Massachusetts 02110

The Select Sector SPDR Trust is distributed by ALPS Distributors, Inc.

The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus from the Distributor. Please read the prospectus carefully before you invest.

SPDR SS AR

Visit www.sectorspdrs.com or call 1-866-SECTOR-ETF (1-866-732-8673)

Item 2. Code of Ethics.

As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party (the “Code of Ethics”). During the period covered by this report, no substantive amendments were made to the Code of Ethics. During the period covered by this report, the registrant did not grant any waivers, including any implicit waivers, from any provision of the Code of Ethics.

The Code of Ethics is attached hereto as Exhibit 12(a)(1).

Item 3. Audit Committee Financial Expert.

(a)(1) The Board of Trustees of the registrant has determined that the registrant has four Board members serving on the Audit Committee that possess the attributes identified in Instructions 2(b) of Item 3 to Form N-CSR to qualify as an “audit committee financial expert.”

(2) Cheryl Burgermeister, George Gaspari, Ernest Scalberg and R. Charles Tschampion are the registrant’s audit committee financial experts. The Board also determined that each of the foregoing persons are not “interested person(s)” of the registrant as that term is defined in Section 2(a)(19) of the Investment Company Act of 1940, as amended.

Item 4. Principal Accountant Fees and Services.

(a) Audit Fees .

For the fiscal years ending September 30, 2012 and September 30, 2011, the aggregate audit fees billed for professional services rendered by the principal accountant were $177,900 and $177,900, respectively. The nature of the services are (1) auditing of the statements of assets and liabilities, related statements of operations and changes in net assets, and the financial highlights of each series of the registrant; (2) auditing and reporting on the financial statements to be included in the amendment to the registrant’s registration statement on Form N-1A to be filed with the Securities and Exchange Commission; (3) review of the amendment to the registration statement; (4) issuance of a Report on Internal Control for inclusion in the registrant’s Form N-SAR; and (5) Rule 17f-2 securities counts.

(b) Audit-Related Fees .

For the fiscal years ending September 30, 2012 and September 30, 2011, the principal accountant did not bill the registrant any fees for assurances and related services that are reasonably related to the performance of the audit of the registrant’s financial statements that are not reported under paragraph (a) of this Item.

For the fiscal years ending September 30, 2012 and September 30, 2011, the aggregate tax fees billed for professional services rendered by the principal accountant were $75,420 and $75,420, respectively. Services included the review of the registrant’s federal, state and local income, franchise and other tax returns.

(d) All Other Fees .

There were no other fees billed by the principal accountant for the fiscal years ending September 30, 2012 and September 30, 2011.

(e)(1) Audit Committee Pre-Approval Policies and Procedures .

The registrant’s Audit Committee Charter states the following with respect to pre-approval procedures:

Before the independent auditors are engaged by the Trust to render audit or non-audit services, either:

	a.		The Audit Committee shall pre-approve all audit services and permissible non-audit services (e.g., tax services) provided to the Trust. The Audit Committee may delegate to one or more of its members the authority to grant pre-approvals. Any decision of any member to whom authority is delegated under this section shall be presented to the full Audit Committee at the next regularly scheduled meeting of the Board of Trustees; ^*

	b.		Pre-Approval of Non-Audit Services Provided to the Investment Adviser and Certain Control Persons: The Audit Committee shall pre-approve any non-audit services proposed to be provided by the independent auditors to (a) the investment adviser and (b) any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Trust, if the independent auditors’ engagement with the investment adviser or any such control persons relates directly to the operations and financial reporting of the Trust. Any decision of any member to whom authority is delegated under this section shall be presented to the full Audit Committee at the next regularly scheduled meeting of the Board. It shall be the responsibility of the independent auditors to notify the Audit Committee of any non-audit services that need to be pre-approved. ^**

(e)(2) Percentage of Services .

One hundred percent of the services described in each of paragraphs (b) through (d) of this Item were approved by the registrant’s Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) Not applicable.

(g) The aggregate non-audit fees for services rendered by the principal accountant to the registrant and its adviser and any entity controlling, controlled by, or under common control with the adviser that provided ongoing services to the registrant for the twelve months ended December 31, 2011 and December 31, 2010 were approximately $2,705,982 and $2,518,417, respectively. Such information is not readily available on a fiscal year basis.

(h) The principal accountant notified the registrant’s Audit Committee of all non-audit services that were rendered by the principal accountant to the registrant’s adviser and any entity controlling, controlled by, or under common control with the adviser that provides services to the registrant, which services were not required to be pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, allowing the


^*		De Minimis Exceptions to Pre-Approval Requirements: Pre-approval for a service provided to the Trust other than audit, review or attest services is not required if: (1) the aggregate amount of all such non-audit services provided to the Trust constitutes not more than 5 percent of the total amount of revenues paid by the Trust to the independent auditors during the fiscal year in which the non-audit services are provided; (2) such services were not recognized by the Trust at the time of the engagement to be non-audit services; and (3) such services are promptly brought to the attention of the Audit Committee and are approved by the Audit Committee or by one or more members of the Audit Committee to whom authority to grant such approvals has been delegated by the Audit Committee prior to the completion of the audit.

^**		Application of De Minimis Exception: The De Minimis exception set forth above applies to pre-approvals under section (b) as well, except that the “total amount of revenues” calculation is based on the total amount of revenues paid to the independent auditors by the Trust and any other entity for which services are approved under section (b) (i.e., the investment adviser or any control person).

registrant’s Audit Committee to consider whether such services were compatible with maintaining the principal accountant’s independence.

Item 5. Disclosure of Audit Committees for Listed Companies.

The registrant has an audit committee which was established by the Board of Trustees of the registrant in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934, as amended. The members of the registrant’s audit committee are George Gaspari, Cheryl Burgermeister, Ernest Scalberg and R. Charles Tschampion.

Item 6. Schedule of Investments.

The schedule of investments is included as part of the report to shareholders filed under Item 1 of this Form.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to the registrant.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to the registrant.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable to the registrant.

Item 10. Submission of Matters to a Vote of Security Holders.

Registrant has not adopted any material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board.

Item 11. Controls and Procedures.

(a) Within 90 days of the filing date of this Form N-CSR, James E. Ross, the registrant’s President and Principal Executive Officer, and Chad C. Hallett, the registrant’s Treasurer and Principal Financial Officer, reviewed the registrant’s disclosure controls and procedures and evaluated their effectiveness. Based on their review, Messrs. Ross and Hallett determined that the disclosure controls and procedures adequately ensure that information required to be disclosed by the registrant in its periodic reports is recorded, processed, summarized and reported within the time periods required by the Securities and Exchange Commission.

(b) There were no significant changes in the registrant’s internal controls or in other factors that could significantly affect these controls subsequent to the date of their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.

Item 12. Exhibits.

(a)(1) Code of Ethics referred to in Item 2.

(a)(2) Separate certifications required by Rule 30a-2 under the Investment Company Act of 1940 for each principal executive officer and principal financial officer of the registrant are attached.

(a)(3) Not applicable

(b) A single certification required by Rule 30a-2(b) under the Investment Company Act of 1940, Rule 13a-14(b) or Rule 15d-14(b) under the Securities Exchange Act of 1934 and Section 1350 of Chapter 63 of Title 18 of the United States Code for the principal executive officer and principal financial officer of the registrant is attached.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

The Select Sector SPDR ^® Trust


By:		/s/ James E. Ross James E. Ross
		President and Principal Executive Officer

Date:		December 5, 2012

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.


By:		/s/ James E. Ross James E. Ross
		President and Principal Executive Officer

Date:		December 5, 2012

By:		/s/ Chad C. Hallett Chad C. Hallett
		Treasurer and Principal Financial Officer

Date:		December 5, 2012

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