FWP 1 d244479dfwp.htm ETF TRADING REPORT JULY 2016

Filed Pursuant To Rule 433

Registration No. 333-209926

August 18, 2016

SPDR® ETF Trading Report INVESTMENT PROFESSIONAL USE ONLY

July 2016

Consolidated Consolidated Avg. Avg. Avg. Quote Short

Spread ($) Avg. Daily Consolidated Daily Volume Avg. Quote Size Avg. Size ($) Avg. Daily Interest

Spread Spread vs. 3 mo. Volume Avg. Daily (shares) vs. Quote Size (Shares) vs. Quote vs. 3 mo. Trade Volatility as of

Ticker ETF Name ($) (%) trailing (shares) Volume ($) 3 mo. trailing (shares) 3 mo. trailing Size ($) trailing Size (%) 7/15/2016

US Core

SPY SPDR S&P 500® ETF 0.01 0.00 0.01 82,422,694 17,684,526,824 97,039,102 11,615 9,677 2,485,958 2,020,171 271 0.40 253,123,046

MDY SPDR S&P MidCap 400® ETF 0.03 0.01 0.04 1,471,711 412,942,902 1,738,401 1,482 1,647 413,374 446,106 115 0.50 3,623,626

SLY SPDR S&P 600 Small Cap ETF 0.27 0.25 0.26 16,047 1,801,271 17,823 3,185 2,878 341,942 299,398 149 0.60 35,183

DIA SPDR Dow Jones Industrial Average ETF Trust 0.01 0.01 0.01 3,289,725 604,685,994 3,371,075 4,993 3,748 913,070 669,205 172 0.30 6,285,816

THRK SPDR Russell 3000 ETF 0.51 0.32 0.50 4,566 792,387 9,292 2,448 2,403 388,718 370,639 94 0.40 3,170

TWOK SPDR Russell 2000® ETF 0.19 0.27 0.18 8,649 641,733 7,355 6,086 5,300 430,524 363,474 306 0.70 5,398

ONEK SPDR Russell 1000 ETF 0.22 0.22 0.21 4,755 510,264 4,706 3,753 3,614 373,536 353,883 162 0.40 9,456

RSCO SPDR Russell Small Cap Completeness ETF 0.45 0.56 0.45 2,722 231,831 1,996 2,489 2,493 199,991 195,950 65 0.50 2,761

SPYX SPDR S&P 500 Fossil Fuel Free ETF 0.12 0.22 0.08 2,195 130,271 10,064 14,698 13,948 749,892 693,355 128 0.40 13,215

SHE SPDR SSGA Gender Diversity Index ETF 0.05 0.08 0.05 324 24,000 458 5,375 5,768 344,000 360,731 68 0.60 3,217

US Style

SPYG SPDR S&P 500 Growth ETF 0.13 0.12 0.16 56,200 5,988,676 39,051 2,006 2,800 207,842 284,340 148 0.40 24,976

SPYV SPDR S&P 500 Value ETF 0.13 0.13 0.15 7,903 868,958 8,332 1,805 2,317 183,984 231,561 108 0.40 3,393

MDYG SPDR S&P 400 Mid Cap Growth ETF 0.31 0.24 0.31 27,063 3,532,793 18,724 2,821 3,171 357,505 392,823 100 0.40 275,148

MDYV SPDR S&P 400 Mid Cap Value ETF 0.24 0.28 0.23 13,674 1,219,091 13,879 6,110 6,148 517,028 506,472 100 0.60 5,111

SLYG SPDR S&P 600 Small Cap Growth ETF 0.50 0.27 0.49 15,914 3,091,078 17,268 2,645 2,678 487,685 475,265 72 0.60 21,878

SLYV SPDR S&P 600 Small Cap Value ETF 0.23 0.22 0.24 34,588 3,721,109 34,437 2,312 2,333 238,922 233,463 89 0.60 26,851

US Sector

XLY Consumer Discretionary Select Sector 0.01 0.01 0.01 4,557,008 367,459,165 5,459,905 8,109 7,833 651,639 617,162 188 0.50 18,105,216

SPDR Fund

XLP Consumer Staples Select Sector SPDR Fund 0.01 0.02 0.01 11,755,464 651,095,876 10,990,720 46,833 45,323 2,586,587 2,444,269 391 0.40 51,622,095

XLE Energy Select Sector SPDR Fund 0.01 0.01 0.01 12,053,272 821,549,007 13,744,206 9,750 9,104 661,830 610,150 185 0.80 27,948,524

XLF Financial Select Sector SPDR Fund 0.01 0.04 0.01 38,192,801 891,209,921 43,215,693 958,879 908,960 22,274,759 20,906,080 1,309 0.50 85,152,449

XLV Health Care Select Sector SPDR Fund 0.01 0.01 0.01 7,608,752 563,808,371 9,378,573 14,628 13,749 1,079,693 979,891 222 0.30 35,170,026

XLI Industrial Select Sector SPDR Fund 0.01 0.02 0.01 10,974,908 632,509,776 12,326,974 31,688 30,276 1,822,060 1,697,273 303 0.50 30,477,741

Source: ArcaVision. Data is as of July 31, 2016. Past performance is not a guarantee of future results.

SPDR® ETF Trading Report

Consolidated Consolidated Avg. Avg. Avg. Quote Short

Spread ($) Avg. Daily Consolidated Daily Volume Avg. Quote Size Avg. Size ($) Avg. Daily Interest

Spread Spread vs. 3 mo. Volume Avg. Daily (shares) vs. Quote Size (Shares) vs. Quote vs. 3 mo. Trade Volatility as of

Ticker ETF Name ($) (%) trailing (shares) Volume ($) 3 mo. trailing (shares) 3 mo. trailing Size ($) trailing Size (%) 7/15/2016

US Sector (cont’d)

XLB Materials Select Sector SPDR Fund 0.01 0.02 0.01 4,449,490 213,229,127 5,492,682 22,033 20,238 1,052,516 949,365 246 0.60 15,350,297

XLK Technology Select Sector SPDR Fund 0.01 0.02 0.01 8,051,022 363,806,885 9,318,096 78,844 88,053 3,541,672 3,830,306 409 0.50 13,909,279

XLU Utilities Select Sector SPDR Fund 0.01 0.02 0.01 14,405,913 753,277,579 14,178,701 25,485 24,232 1,328,533 1,220,566 307 0.70 43,784,505

XLFS Financial Services Select Sector SPDR Fund 0.14 0.49 0.16 4,889 152,764 6,315 7,937 6,812 232,157 196,594 150 0.70 16,243

XLRE Real Estate Select Sector SPDR Fund 0.10 0.28 0.10 70,643 2,441,163 25,460 8,157 8,029 277,909 271,701 214 0.50 56,604

US Industry

KBE SPDR S&P Bank ETF 0.01 0.03 0.01 2,869,303 89,319,107 3,199,765 23,442 18,204 725,764 568,693 262 0.80 4,401,273

KCE SPDR S&P Capital Markets ETF 0.06 0.15 0.06 18,190 703,273 9,969 2,472 2,373 93,417 90,910 150 1.00 39,293

KIE SPDR S&P Insurance ETF 0.04 0.05 0.04 103,389 7,531,179 158,287 2,822 2,877 201,971 205,044 213 0.50 932,038

KRE SPDR S&P Regional Banking ETF 0.01 0.03 0.01 4,688,793 184,786,148 5,417,710 8,763 7,328 344,386 288,796 170 0.90 23,244,302

XBI SPDR S&P Biotech ETF 0.01 0.03 0.02 6,641,858 387,810,551 7,160,688 2,253 2,133 130,989 118,232 160 1.40 30,205,807

MTK SPDR Morgan Stanley Technology ETF 0.10 0.18 0.10 13,474 784,009 16,285 5,536 5,382 304,591 287,076 141 0.60 6,497

XHB SPDR S&P Homebuilders ETF 0.01 0.03 0.01 2,278,510 80,301,533 2,901,487 18,359 18,929 643,850 641,315 209 0.80 11,333,902

XME SPDR S&P Metals & Mining ETF 0.01 0.04 0.01 4,857,447 131,605,469 7,718,515 9,423 10,061 253,479 235,126 198 1.80 25,997,721

XES SPDR S&P Oil & Gas Equipment & Services ETF 0.02 0.09 0.02 586,784 10,885,325 705,216 37,085 29,322 684,218 536,886 297 2.00 671,696

XITK SPDR FactSet Innovative Technology ETF 0.06 0.11 0.07 562 37,949 752 818 605 47,567 33,239 108 1.00 18,410

XOP SPDR S&P Oil & Gas Exploration & Production ETF 0.01 0.03 0.01 13,189,718 453,263,775 15,186,353 11,092 10,352 379,901 358,179 200 1.60 56,082,176

XPH SPDR S&P Pharmaceuticals ETF 0.03 0.08 0.04 92,201 4,246,376 173,255 3,153 9,141 139,772 387,761 180 0.90 992,577

XRT SPDR S&P Retail ETF 0.01 0.02 0.01 3,835,050 168,375,319 5,116,488 8,014 8,369 351,414 354,092 158 0.80 22,898,728

XSD SPDR S&P Semiconductor ETF 0.03 0.07 0.04 166,739 7,933,915 99,792 2,322 2,380 109,088 107,862 264 1.10 1,048,434

XHE SPDR S&P Health Care Equipment ETF 0.15 0.31 0.16 5,342 280,479 3,889 1,718 2,049 84,697 96,201 136 0.60 5,189

XTL SPDR S&P Telecom ETF 0.14 0.23 0.14 3,591 237,218 3,514 3,920 4,594 235,749 265,855 133 0.70 3,834

XAR SPDR S&P Aerospace & Defense ETF 0.06 0.11 0.08 15,834 936,536 14,384 2,510 2,008 143,020 112,448 180 0.60 8,764

XHS SPDR S&P Health Care Services ETF 0.07 0.12 0.07 13,812 865,842 15,645 7,536 7,056 442,212 406,073 195 0.60 12,311

XSW SPDR S&P Software & Services ETF 0.09 0.17 0.09 3,548 215,276 3,543 2,018 2,243 106,409 114,685 216 0.70 800

XTH SPDR S&P Technology Hardware ETF 0.13 0.24 0.12 120 26,020 287 1,000 2,128 55,222 108,549 1 0.00 —

XTN SPDR S&P Transportation ETF 0.05 0.11 0.05 35,740 1,709,736 30,860 3,520 3,182 161,181 142,363 331 0.90 447,388

XWEB SPDR S&P Internet ETF 0.13 0.24 0.13 269 0 435 3,686 3,082 — 163,593 1 1.30 414

Source: ArcaVision. Data is as of July 31, 2016. Past performance is not a guarantee of future results.

State Street Global Advisors

2

SPDR® ETF Trading Report

Consolidated Consolidated Avg. Avg. Avg. Quote Short

Spread ($) Avg. Daily Consolidated Daily Volume Avg. Quote Size Avg. Size ($) Avg. Daily Interest

Spread Spread vs. 3 mo. Volume Avg. Daily (shares) vs. Quote Size (Shares) vs. Quote vs. 3 mo. Trade Volatility as of

Ticker ETF Name ($) (%) trailing (shares) Volume ($) 3 mo. trailing (shares) 3 mo. trailing Size ($) trailing Size (%) 7/15/2016

Real Estate Equities

RWR SPDR Dow Jones REIT ETF 0.04 0.04 0.05 247,462 25,509,452 257,970 3,850 3,509 389,466 339,847 179 0.60 225,236

RWO SPDR Dow Jones Global Real Estate ETF 0.04 0.08 0.04 217,311 11,401,268 214,016 1,299 1,468 66,379 73,048 229 0.50 226,896

RWX SPDR Dow Jones International Real Estate ETF 0.01 0.03 0.01 545,193 22,913,626 601,404 6,473 5,014 269,083 208,933 243 0.60 636,637

Global Equities

DGT SPDR Global Dow ETF 0.40 0.61 0.31 1,874 131,659 3,183 1,221 824 79,988 53,329 148 0.70 12,321

GII SPDR S&P Global Infrastructure ETF 0.24 0.50 0.27 9,529 467,075 11,753 1,087 1,531 51,339 71,375 167 0.60 13,485

GNR SPDR S&P Global Natural Resources ETF 0.06 0.15 0.06 193,020 7,532,856 157,545 1,837 2,093 71,055 78,467 207 0.90 107,341

CWI SPDR MSCI ACWI ex-US ETF 0.02 0.05 0.02 198,193 6,191,296 260,897 12,832 14,626 395,354 446,239 286 0.70 21,694

ACIM SPDR MSCI ACWI IMI ETF 3.78 5.32 2.42 11,336 748,502 6,199 431 490 27,675 31,012 111 1.10 4,306

GWL SPDR S&P World ex-US ETF 0.04 0.15 0.04 134,889 3,463,548 132,697 4,085 3,260 103,677 82,511 387 0.60 30,423

MDD SPDR S&P International Mid Cap ETF 0.54 1.87 0.55 3,568 114,025 5,215 460 502 13,368 14,548 148 0.90 9,405

GWX SPDR S&P International Small Cap ETF 0.06 0.20 0.06 141,206 4,326,338 136,813 1,102 999 32,355 29,321 231 0.60 19,857

LOWC SPDR MSCI ACWI Low Carbon Target ETF 0.05 0.06 0.05 299 26,279 365 1,000 1,001 71,100 70,971 79 0.60 1,899

International Developed Equities — Region/Country

JSC SPDR Russell/Nomura Small Cap Japan ETF 0.25 0.44 0.25 2,604 136,852 2,290 742 765 41,426 41,830 273 0.70 1,036

JPP SPDR Russell/Nomura PRIME Japan ETF 0.27 0.59 0.38 2,150 102,787 3,090 678 825 30,795 36,787 120 0.70 3,579

FEZ SPDR EURO STOXX 50 ETF 0.01 0.03 0.01 2,774,694 87,036,032 3,562,932 68,737 62,339 2,142,532 1,991,108 349 0.80 1,195,147

FEU SPDR STOXX Europe 50 ETF 0.05 0.17 0.05 56,774 1,778,384 89,315 1,085 1,187 32,333 35,491 281 0.70 9,984

SMEZ SPDR EURO STOXX Small Cap ETF 0.17 0.39 0.19 1,441 71,759 2,761 579 351 25,036 16,072 155 1.30 446

HFEZ SPDR EURO STOXX 50 Currency Hedged ETF 0.14 0.42 0.14 3,956 149,627 4,583 2,211 1,240 71,415 40,102 382 1.10 3,054

HREX SPDR MSCI International Real Estate Currency 0.16 0.40 0.18 123 7,141 398 370 382 15,100 15,563 81 1.30 120

Hedged ETF

HDWX SPDR S&P International Dividend Currency 0.12 0.30 0.12 117 8,218 106 362 362 14,371 14,263 74 0.90 101

Hedged ETF

Emerging Market Equities

EMBB SPDR MSCI EM Beyond BRIC ETF 0.91 1.75 0.86 1,789 99,344 973 414 465 21,462 23,687 69 0.80 1,905

EMFT SPDR MSCI EM 50 ETF 2.11 4.74 2.03 3,645 170,287 1,663 450 511 18,981 21,058 111 1.50 1,957

GMM SPDR S&P Emerging Markets ETF 0.14 0.25 0.19 14,713 866,348 31,321 650 663 36,933 35,868 165 0.70 9,575

Source: ArcaVision. Data is as of July 31, 2016. Past performance is not a guarantee of future results.

State Street Global Advisors

3

SPDR® ETF Trading Report

Consolidated Consolidated Avg. Avg. Avg. Quote Short

Spread ($) Avg. Daily Consolidated Daily Volume Avg. Quote Size Avg. Size ($) Avg. Daily Interest

Spread Spread vs. 3 mo. Volume Avg. Daily (shares) vs. Quote Size (Shares) vs. Quote vs. 3 mo. Trade Volatility as of

Ticker ETF Name ($) (%) trailing (shares) Volume ($) 3 mo. trailing (shares) 3 mo. trailing Size ($) trailing Size (%) 7/15/2016

Emerging Market Equities (cont’d)

GML SPDR S&P Emerging Latin America ETF 0.23 0.52 0.27 10,175 459,598 6,946 610 520 27,017 22,225 162 1.10 5,985

GAF SPDR S&P Emerging Middle East & Africa ETF 0.41 0.71 0.37 965 64,681 1,087 339 344 19,757 19,040 110 1.00 398

GUR SPDR S&P Emerging Europe ETF 0.10 0.40 0.19 12,320 333,212 33,639 508 666 13,035 16,810 96 0.90 32,511

GMF SPDR S&P Emerging Asia Pacific ETF 0.13 0.17 0.16 24,464 1,973,751 30,465 1,046 990 80,908 72,567 178 0.70 27,211

EWX SPDR S&P Emerging Markets Small Cap ETF 0.10 0.24 0.09 40,055 1,652,956 47,388 772 929 31,119 35,962 168 0.60 34,734

BIK SPDR S&P BRIC 40 ETF 0.03 0.17 0.04 11,221 235,483 7,967 1,005 1,348 19,758 25,531 175 0.90 219

GXC SPDR S&P China ETF 0.08 0.11 0.09 42,404 3,100,409 57,191 860 887 61,266 60,662 128 0.80 12,015

RBL SPDR S&P Russia ETF 0.10 0.56 0.10 16,670 296,130 8,237 3,769 2,737 64,751 46,064 241 1.00 5,869

XINA SPDR MSCI China A Shares IMI ETF 0.24 1.12 0.18 — 7,281 670 173 402 3,771 8,374 — 1.10 856

International Sector Equities

IPD SPDR S&P International Consumer Discretionary 0.75 2.21 0.68 1,501 54,975 2,210 415 573 14,205 19,654 55 1.20 1,878

Sector ETF

IPS SPDR S&P International Consumer Staples 0.21 0.48 0.30 4,238 200,011 3,660 377 520 16,494 22,516 129 0.40 3,007

Sector ETF

IPW SPDR S&P International Energy Sector ETF 0.07 0.40 0.09 55,569 980,867 54,626 995 893 17,353 15,270 240 0.90 19,855

IPF SPDR S&P International Financial Sector ETF 0.39 2.31 0.34 1,255 23,989 4,045 1,823 1,352 30,809 23,011 57 1.60 6,682

IRY SPDR S&P International Health Care Sector ETF 0.19 0.39 0.17 17,724 889,635 10,408 638 765 31,307 37,041 196 0.60 264,432

IPN SPDR S&P International Industrial Sector ETF 0.08 0.27 0.08 3,974 120,378 3,768 1,767 1,461 50,642 41,595 159 0.60 1

IRV SPDR S&P International Materials Sector ETF 0.14 0.74 0.13 9,241 178,505 3,343 801 879 15,259 16,613 78 1.60 1,900

IPK SPDR S&P International Technology Sector ETF 0.22 0.72 0.30 2,225 69,837 2,186 984 954 29,973 29,011 61 1.40 665

IST SPDR S&P International Telecommunications 0.06 0.26 0.08 3,446 91,934 4,862 992 872 24,631 21,835 118 0.70 194

Sector ETF

IPU SPDR S&P International Utilities Sector ETF 0.05 0.33 0.07 17,348 297,075 35,394 1,196 1,057 19,722 17,377 198 0.40 6,300

Advanced Beta — Income

EDIV SPDR S&P Emerging Markets Dividend ETF 0.04 0.16 0.05 49,977 1,439,898 48,342 818 817 22,650 21,585 214 0.80 175,093

DWX SPDR S&P International Dividend ETF 0.03 0.09 0.04 165,627 6,002,400 171,784 1,108 1,529 39,500 53,974 192 0.80 252,661

SDY SPDR S&P Dividend ETF 0.02 0.02 0.02 887,733 77,871,313 937,622 6,438 4,792 550,127 396,107 281 0.30 730,523

WDIV SPDR S&P Global Dividend ETF 0.09 0.15 0.10 11,692 763,429 11,688 609 716 37,971 43,425 162 0.50 11,959

SPYD SPDR S&P 500 High Dividend ETF 0.06 0.17 0.05 18,041 697,889 19,283 20,482 20,374 699,665 674,176 206 0.50 20,906

Source: ArcaVision. Data is as of July 31, 2016. Past performance is not a guarantee of future results.

State Street Global Advisors

4

SPDR® ETF Trading Report

Consolidated Consolidated Avg. Avg. Avg. Quote Short

Spread ($) Avg. Daily Consolidated Daily Volume Avg. Quote Size Avg. Size ($) Avg. Daily Interest

Spread Spread vs. 3 mo. Volume Avg. Daily (shares) vs. Quote Size (Shares) vs. Quote vs. 3 mo. Trade Volatility as of

Ticker ETF Name ($) (%) trailing (shares) Volume ($) 3 mo. trailing (shares) 3 mo. trailing Size ($) trailing Size (%) 7/15/2016

Advanced Beta — Multi Factor

QAUS SPDR MSCI Australia StrategicFactors ETF 0.04 0.09 0.05 422 23,814 1,298 1,014 1,014 49,514 47,212 45 1.10 129

QCAN SPDR MSCI Canada StrategicFactors ETF 0.06 0.11 0.06 2,108 113,412 2,171 996 980 51,414 50,156 164 0.80 1,824

QDEU SPDR MSCI Germany StrategicFactors ETF 0.06 0.12 0.06 602 36,275 3,263 922 983 44,828 49,956 129 1.30 395

QJPN SPDR MSCI Japan StrategicFactors ETF 0.27 0.41 0.27 244 14,397 1,487 663 592 42,976 37,888 51 1.20 338

QESP SPDR MSCI Spain StrategicFactors ETF 0.04 0.09 0.05 132 5,638 652 996 1,018 38,864 40,832 24 3.00 325

QGBR SPDR MSCI United Kingdom StrategicFactors ETF 0.16 0.33 0.13 1,055 56,940 1,084 808 1,185 38,130 54,285 121 1.20 2,046

QEFA SPDR MSCI EAFE StrategicFactors ETF 0.32 0.58 0.58 1,254 75,654 846 1,915 1,691 104,138 91,297 — 0.80 1,443

QMEX SPDR MSCI Mexico StrategicFactors ETF 0.05 0.23 0.06 310 8,236 357 667 674 14,867 14,889 56 1.60 3,726

QKOR SPDR MSCI South Korea StrategicFactors ETF 0.06 0.22 0.08 817 21,730 517 603 600 16,070 15,564 91 1.70 47

QTWN SPDR MSCI Taiwan StrategicFactors ETF 0.22 0.39 0.22 28 2,079 — 458 458 26,166 26,166 19 0.00 100

QWLD SPDR MSCI World StrategicFactors ETF 0.34 0.54 0.42 1,133 59,996 651 440 477 27,799 29,684 81 0.50 6,069

QEMM SPDR MSCI Emerging Markets 0.32 0.62 0.26 4,561 247,687 24,579 781 2,071 39,933 99,905 80 0.70 339,624

StrategicFactors ETF

QUS SPDR MSCI USA StrategicFactors ETF 0.07 0.11 0.07 1,071 79,402 1,743 1,813 1,922 114,183 116,300 116 0.40 1,902

Advanced Beta — Single Factor

SPYB SPDR S&P 500 Buyback ETF 0.07 0.15 0.06 1,419 63,875 763 7,940 6,242 377,706 292,750 165 0.80 —

VLU SPDR S&P 1500 Value Tilt ETF 0.69 0.87 0.54 112 10,813 277 5,161 5,146 411,383 402,006 16 2.00 4,136

MMTM SPDR S&P 1500 Momentum Tilt ETF 0.73 0.80 0.79 320 33,235 661 1,481 1,710 136,459 154,105 20 0.40 1,004

LGLV SPDR Russell 1000 Low Volatility ETF 0.47 0.59 0.65 8,487 713,774 16,099 933 1,073 75,368 84,434 179 0.40 4,860

SMLV SPDR Russell 2000 Low Volatility ETF 0.26 0.33 0.26 10,901 935,111 8,263 2,674 2,456 214,268 192,010 201 0.50 12,062

ONEY SPDR Russell 1000 Yield Focus ETF 0.40 0.62 0.29 170 13,808 373 4,718 2,475 308,463 155,727 38 1.50 3,541

ONEO SPDR Russell 1000 Momentum Focus ETF 0.26 0.42 2.37 1,438 85,054 1,482 3,856 2,388 242,735 145,787 61 0.50 5,449

ONEV SPDR Russell 1000 Low Volatility Focus ETF 0.16 0.25 0.15 925 63,310 866 1,741 1,570 113,705 100,449 5 1.30 2,259

Advanced Beta — Fixed Income

CBND SPDR Barclays Issuer Scored Corporate Bond ETF 0.11 0.35 0.13 6,490 222,991 12,346 372 583 12,246 18,802 136 0.20 17,253

Fixed Income — US Government

BIL SPDR Barclays 1–3 Month T-Bill ETF 0.01 0.02 0.01 942,772 43,385,979 1,193,054 1,956,760 2,367,691 89,443,500 108,227,156 1,079 0.00 392,770

ITE SPDR Barclays Intermediate Term Treasury ETF 0.06 0.10 0.06 68,470 4,287,214 66,576 4,079 6,127 250,777 375,156 328 0.10 5,478

TLO SPDR Barclays Long Term Treasury ETF 0.08 0.10 0.09 214,462 17,358,827 152,099 3,910 6,024 313,387 469,812 270 0.60 23,983

IPE SPDR Barclays TIPS ETF 0.08 0.14 0.07 55,357 3,292,837 38,497 7,176 9,236 417,428 533,102 287 0.20 27,574

Source: ArcaVision. Data is as of July 31, 2016. Past performance is not a guarantee of future results.

State Street Global Advisors

5

SPDR® ETF Trading Report

Consolidated Consolidated Avg. Avg. Avg. Quote Short

Spread ($) Avg. Daily Consolidated Daily Volume Avg. Quote Size Avg. Size ($) Avg. Daily Interest

Spread Spread vs. 3 mo. Volume Avg. Daily (shares) vs. Quote Size (Shares) vs. Quote vs. 3 mo. Trade Volatility as of

Ticker ETF Name ($) (%) trailing (shares) Volume ($) 3 mo. trailing (shares) 3 mo. trailing Size ($) trailing Size (%) 7/15/2016

Fixed Income — US Government (cont’d)

SST SPDR Barclays Short Term Treasury ETF 0.05 0.16 0.06 77,094 2,406,529 44,713 2,988 2,777 91,373 84,837 451 0.10 84,819

SIPE SPDR Barclays 0–5 Year TIPS ETF 0.15 0.77 0.16 913 13,949 675 2,423 2,882 48,048 56,862 165 0.40 9,706

TIPX SPDR Barclays 1–10 Year TIPS ETF 0.12 0.62 0.12 76,378 1,521,723 26,918 1,846 1,785 36,809 35,575 507 0.50 55,155

Fixed Income — US Investment Grade Corporates

SCPB SPDR Barclays Short Term Corporate Bond ETF 0.01 0.03 0.01 713,091 22,133,252 647,957 16,170 13,797 497,389 423,706 371 0.00 167,304

ITR SPDR Barclays Intermediate Term Corporate 0.02 0.06 0.02 347,179 12,262,793 382,013 1,581 2,984 55,145 103,127 329 0.10 199,797

Bond ETF

LWC SPDR Barclays Long Term Corporate Bond ET 0.16 0.37 0.16 23,158 1,055,685 24,698 414 483 17,814 20,049 109 0.60 18,257

FLRN SPDR Barclays Investment Grade Floating Rate ETF 0.04 0.12 0.05 33,937 1,064,485 38,701 987 696 30,133 21,256 176 0.10 20,488

Fixed Income — High Yield

JNK SPDR Barclays High Yield Bond ETF 0.01 0.03 0.01 11,402,936 411,314,070 12,190,707 78,613 74,374 2,827,710 2,626,890 439 0.40 23,580,338

SJNK SPDR Barclays Short Term High Yield Bond ETF 0.01 0.04 0.01 1,325,022 36,272,927 1,497,214 18,022 14,232 489,297 381,845 374 0.20 411,217

IJNK SPDR Barclays International High Yield Bond ETF 0.23 1.02 0.17 785 21,055 2,030 4,363 4,032 100,218 91,647 49 0.50 1,789

CJNK SPDR BofA Merrill Lynch Crossover Corporate 0.26 0.99 0.28 3,388 96,068 6,324 903 864 23,668 22,196 84 0.30 11,255

Bond ETF

Fixed Income — US Mortgage

MBG SPDR Barclays Mortgage Backed Bond ETF 0.06 0.23 0.07 31,856 888,618 33,808 2,053 2,684 55,677 72,763 185 0.10 14,740

Fixed Income — US Aggregate

BNDS SPDR Barclays Aggregate Bond ETF 0.05 0.08 0.05 65,938 4,044,432 71,202 1,440 1,419 85,666 83,721 239 0.20 13,527

Fixed Income — Hybrids

CWB SPDR Barclays Convertible Securities ETF 0.02 0.05 0.02 558,289 25,533,158 598,161 2,460 3,326 110,331 145,812 218 0.30 1,500,979

PSK SPDR Wells Fargo Preferred Stock ETF 0.04 0.08 0.05 148,341 7,015,856 111,581 12,251 8,033 565,874 369,357 241 0.10 35,676

Fixed Income — Municipal

SHM SPDR Nuveen Barclays Short Term Municipal 0.01 0.03 0.01 284,642 14,158,538 274,081 8,846 9,199 434,250 450,751 317 0.00 151,334

Bond ETF

TFI SPDR Nuveen Barclays Municipal Bond ETF 0.02 0.04 0.02 404,034 20,546,910 287,652 9,729 7,455 490,633 374,241 291 0.10 99,338

CXA SPDR Nuveen Barclays California Municipal Bond ETF 0.09 0.37 0.08 38,659 1,002,328 32,896 1,013 1,014 25,649 25,492 271 0.20 73,151

INY SPDR Nuveen Barclays New York Municipal Bond ETF 0.13 0.51 0.14 3,878 107,059 4,741 1,881 2,284 46,085 55,730 120 0.20 16,844

Source: ArcaVision. Data is as of July 31, 2016. Past performance is not a guarantee of future results.

State Street Global Advisors 6

SPDR® ETF Trading Report

Consolidated Consolidated Avg. Avg. Avg. Quote Short

Spread ($) Avg. Daily Consolidated Daily Volume Avg. Quote Size Avg. Size ($) Avg. Daily Interest

Spread Spread vs. 3 mo. Volume Avg. Daily (shares) vs. Quote Size (Shares) vs. Quote vs. 3 mo. Trade Volatility as of

Ticker ETF Name ($) (%) trailing (shares) Volume ($) 3 mo. trailing (shares) 3 mo. trailing Size ($) trailing Size (%) 7/15/2016

Fixed Income — Municipal (Cont’d)

BABS SPDR Nuveen Barclays Build America Bond ETF 0.77 1.14 0.67 12,962 933,571 7,778 639 675 43,088 44,678 204 0.50 5,874

HYMB SPDR Nuveen S&P High Yield Municipal Bond ETF 0.04 0.06 0.04 92,713 5,702,616 84,413 626 752 37,297 44,503 159 0.10 29,388

Fixed Income — International

WIP SPDR Citi International Government Inflation- 0.14 0.26 0.15 47,228 2,655,102 64,577 655 1,022 35,848 55,198 156 0.40 13,206

Protected Bond ETF

BWZ SPDR Barclays Short Term International 0.13 0.43 0.08 24,127 798,907 86,731 850 6,666 26,648 209,646 175 0.30 16,014

Treasury Bond ETF

BWX SPDR Barclays International Treasury Bond ETF 0.08 0.14 0.06 325,393 18,820,013 389,197 700 1,292 39,928 72,882 235 0.40 383,963

IBND SPDR Barclays International Corporate Bond ETF 0.10 0.30 0.09 29,691 1,000,670 44,518 837 903 27,420 29,682 142 0.30 56,529

EMCD SPDR BofA Merrill Lynch Emerging Markets 0.79 2.66 0.72 2,067 67,807 2,270 454 668 13,438 19,265 89 1.30 2,407

Corporate Bond ETF

EBND SPDR Barclays Emerging Markets Local Bond ETF 0.11 0.41 0.10 90,873 2,552,405 143,929 1,433 7,010 39,923 191,233 193 0.40 154,032

Commodity

GLD® SPDR Gold Trust 0.01 0.01 0.01 12,977,299 1,670,564,416 12,196,947 8,148 7,832 1,042,211 970,541 240 0.80 15,162,312

NANR SPDR S&P North American Natural 0.06 0.17 0.05 60,059 2,121,713 52,234 3,107 3,330 108,248 112,920 327 0.90 20,787

Resources ETF

Active — Asset Allocation

RLY SPDR SSGA Multi-Asset Real Return ETF 0.06 0.24 0.06 11,695 300,966 10,643 12,622 14,867 309,239 358,592 117 0.40 20,306

INKM SPDR SSGA Income Allocation ETF 0.06 0.19 0.06 7,025 226,617 4,912 6,033 5,768 189,738 179,212 303 0.20 1,351

GAL SPDR SSGA Global Allocation ETF 0.09 0.27 0.09 21,210 730,889 26,247 12,072 15,880 408,396 529,598 279 0.20 39,559

Active — Equity

SYE SPDR MFS Systematic Core Equity ETF 0.24 0.41 0.24 184 12,515 962 1,315 1,358 78,427 78,560 24 0.90 5

SYG SPDR MFS Systematic Growth Equity ETF 0.23 0.37 0.22 1,156 74,269 1,607 723 996 44,971 60,198 32 0.50 —

SYV SPDR MFS Systematic Value Equity ETF 0.28 0.52 0.29 371 21,531 413 1,613 1,678 85,618 87,743 13 0.70 326

RORO SPDR SSGA Risk Aware ETF 0.20 0.49 0.21 284 14,344 304 675 578 26,933 22,837 84 1.10 2,361

Source: ArcaVision. Data is as of July 31, 2016. Past performance is not a guarantee of future results.

State Street Global Advisors 7

SPDR® ETF Trading Report

Consolidated Consolidated Avg. Avg. Avg. Quote Short

Spread ($) Avg. Daily Consolidated Daily Volume Avg. Quote Size Avg. Size ($) Avg. Daily Interest

Spread Spread vs. 3 mo. Volume Avg. Daily (shares) vs. Quote Size (Shares) vs. Quote vs. 3 mo. Trade Volatility as of

Ticker ETF Name ($) (%) trailing (shares) Volume ($) 3 mo. trailing (shares) 3 mo. trailing Size ($) trailing Size (%) 7/15/2016

Active — Fixed Income

TOTL SPDR DoubleLine Total Return Tactical ETF 0.02 0.04 0.02 361,831 18,394,664 393,059 4,136 4,965 206,635 246,562 279 0.10 81,926

SRLN SPDR Blackstone / GSO Senior Loan ETF 0.05 0.10 0.05 94,109 4,537,626 90,019 2,779 2,628 130,446 123,096 327 0.10 26,934

ULST SPDR SSGA Ultra Short Term Bond ETF 0.04 0.09 0.07 17,725 720,733 11,850 4,172 3,168 167,047 126,942 668 0.10 2,416

Source: ArcaVision. Data is as of July 31, 2016. Past performance is not a guarantee of future results.

Prior to July 15, 2016, the SPDR MSCI StrategicFactorsSM ETF suite was known as the SPDR MSCI Quality Mix ETF suite. There were no changes to the investment objectives, strategies or policies of any of the funds

comprising such suite in connection with each fund’s name change.

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For investment professional use only. Not for use with the public. in GLD. Please see the GLD prospectus for a detailed discussion of the risks of investing in GLD shares. The GLD

prospectus is available here.

State Street Global Advisors, One Lincoln Street, Boston, MA 02111-2900. T: +1 617 664 7727. For more information: State Street Global Markets, LLC (Marketing Agent for GLD), One Lincoln Street,

Important Risk Information Boston, MA, 02111 T: +1 866 320 4053 spdrgoldshares.com

ETFs trade like stocks, fluctuate in market value and may trade at prices above or below the ETFs’ net asset value. The trademarks and service marks referenced herein are the property of their respective owners. Third party data

Brokerage commissions and ETF expenses will reduce returns. providers make no warranties or representations of any kind relating to the accuracy, completeness or timeliness of

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You may get these documents for free by visiting EDGAR on the SEC website at sec.gov or by visiting

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request it by calling 866.320.4053. Corporation. References to State Street may include State Street Corporation and its affiliates. Certain State Street

affiliates provide services and receive fees from the SPDR ETFs. ALPS Distributors, Inc., a registered broker-dealer,

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subject to regulation under the Commodity Exchange Act of 1936 (the “CEA”). As a result, shareholders of the Trust investment trusts. ALPS Portfolio Solutions Distributor, Inc. is distributor for Select Sector SPDRs. ALPS Distributors,

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1940 Act or the protections afforded by the CEA.

State Street Global Markets, LLC is the distributor for certain registered products on behalf of the advisor. SSGA Funds

GLD shares trade like stocks, are subject to investment risk and will fluctuate in market value. The value of GLD Management has retained GSO Capital Partners, Nuveen Asset Management & Massachusetts Financial Services

shares relates directly to the value of the gold held by GLD (less its expenses), and fluctuations in the price of Company & DoubleLine Capital LP as the sub-advisor. GSO Capital Partners, Nuveen Asset Management, MFS, and

gold could materially and adversely affect an investment in the shares. The price received upon the sale of the DoubleLine Capital LP are not affiliated with State Street Global Markets, LLC.

shares, which trade at market price, may be more or less than the value of the gold represented by them. GLD

does not generate any income, and as GLD regularly sells gold to pay for its ongoing expenses, the amount of gold Before investing, consider the funds’ investment objectives, risks, charges and expenses.

represented by each Share will decline over time. Investing involves risk, and you could lose money on an investment To obtain a prospectus or summary prospectus which contains this and other information,

call +1 617 664 7727 or visit spdrs.com. Read it carefully.

Not FDIC Insured • No Bank Guarantee • May Lose Value

© 2016 State Street Corporation. All Rights Reserved.

State Street Global Advisors ID7438-IBG-20800 0816 Exp. Date: 09/30/2016 SPD001153

SPDR® GOLD TRUST has filed a registration statement (including a prospectus) with the SEC for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the issuer has filed with the SEC for more complete information about the Trust and this offering. You may get these documents for free by visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the Trust or any Authorized Participant will arrange to send you the prospectus if you request it by calling toll free at 1-866-320-4053 or contacting State Street Global Markets, LLC, One Lincoln Street, Attn: SPDR® Gold Shares, 30th Floor, Boston, MA 02111.