FWP 1 d330019dfwp.htm SPDR ETF TRADING REPORT DECEMBER 2016

Filed Pursuant To Rule 433 Registration No. 333-209926 January 19, 2017

SPDR® ETF Trading Report December 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(%) 12/15/2016

US Core

SPY SPDR S&P 500® ETF 0.01 0.00 0.01 86,753,884 21,128,902,182 89,212,705 16,964 16,015 3,813,846 3,495,434 281 0.40 219,812,779

MDY SPDR S&P MidCap 400® ETF 0.06 0.02 0.06 1,681,189 542,409,814 1,507,353 1,706 1,815 518,488 526,913 141 0.60 2,559,530

SLY SPDR S&P 600 Small Cap ETF 0.39 0.31 0.37 40,542 5,435,692 31,359 2,533 2,696 310,824 316,861 132 0.90 63,477

DIA SPDR Dow Jones Industrial Average ETF Trust 0.01 0.00 0.02 4,183,789 857,773,797 3,604,015 1,769 1,745 348,122 330,363 138 0.30 6,288,138

THRK SPDR Russell 3000 ETF 0.63 0.37 0.63 6,161 1,233,989 12,025 2,512 2,301 423,649 369,195 117 0.50 22,126

TWOK SPDR Russell 2000® ETF 0.27 0.33 0.27 23,245 1,963,678 32,014 5,148 5,408 414,208 404,789 127 0.70 20,908

ONEK SPDR Russell 1000 ETF 0.46 0.43 0.44 7,421 912,947 6,239 2,545 2,753 268,574 283,063 119 0.50 3,877

SMD SPDR S&P 1000 ETF 0.74 0.83 0.61 7,767 806,443 5,813 816 947 72,877 81,489 122 0.60 2,102

SPYX SPDR S&P 500 Fossil Fuel Reserves Free ETF 0.18 0.32 0.18 5,971 419,588 5,815 11,694 14,706 630,190 775,742 399 0.50 5,848

SHE SPDR SSGA Gender Diversity Index ETF 0.09 0.13 0.08 2,340 198,301 1,479 7,304 7,352 470,232 471,557 165 0.80 6,733

US Style

SPYG SPDR S&P 500 Growth ETF 0.24 0.22 0.24 87,440 9,504,020 45,732 2,573 2,839 272,095 298,152 310 0.50 250,212

SPYV SPDR S&P 500 Value ETF 0.25 0.22 0.23 26,023 2,967,639 16,263 3,132 2,943 343,173 313,959 149 0.40 234,132

MDYG SPDR S&P 400 Mid Cap Growth ETF 0.37 0.28 0.39 26,528 3,753,957 23,838 2,579 2,903 344,529 373,210 84 0.60 68,050

MDYV SPDR S&P 400 Mid Cap Value ETF 0.29 0.31 0.29 32,702 3,281,724 40,577 5,539 5,512 528,421 493,820 106 0.70 72,965

SLYG SPDR S&P 600 Small Cap Growth ETF 0.59 0.28 0.63 62,295 13,703,864 36,234 2,189 2,285 451,831 455,583 115 0.70 56,997

SLYV SPDR S&P 600 Small Cap Value ETF 0.31 0.25 0.31 96,824 12,082,136 67,128 2,019 2,182 241,271 248,966 120 0.80 74,338

US Sector

XLY Consumer Discretionary Select Sector SPDR Fund 0.01 0.01 0.01 5,757,082 631,520,312 5,975,239 9,817 9,351 813,437 752,288 168 0.60 18,273,064

XLP Consumer Staples Select Sector SPDR Fund 0.01 0.01 0.01 14,129,523 1,005,628,398 14,479,629 51,928 50,338 2,668,061 2,596,937 480 0.50 80,029,428

XLE Energy Select Sector SPDR Fund 0.01 0.01 0.01 13,816,454 1,367,355,283 14,654,141 7,724 7,977 587,565 577,615 174 0.50 41,406,633

XLF Financial Select Sector SPDR Fund 0.01 0.04 0.01 77,413,519 1,952,719,525 79,070,977 751,885 914,698 17,571,552 19,858,094 1,260 0.70 85,296,372

XLV Health Care Select Sector SPDR Fund 0.01 0.01 0.01 7,974,932 595,283,712 11,001,264 13,056 13,351 900,211 927,627 190 0.50 29,361,166

XLI Industrial Select Sector SPDR Fund 0.01 0.01 0.01 9,395,492 748,016,605 11,530,029 23,422 24,303 1,477,226 1,464,256 304 0.50 32,556,210

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

SPDR® ETF Trading Report

Consolidated Consolidated Avg. Avg. Short

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

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

Ticker ETF Name($)(%) trailing(shares) Volume ($) 3 mo. trailing(shares) 3 mo. trailing Size ($) vs. 3 mo. trailing Size(%) 12/15/2016

US Sector (cont’d)

XLB Materials Select Sector SPDR Fund 0.01 0.02 0.01 5,092,323 293,770,171 5,537,449 21,709 21,342 1,097,390 1,035,300 233 0.50 17,759,387

XLK Technology Select Sector SPDR Fund 0.01 0.02 0.01 9,908,374 589,337,270 9,674,621 54,458 55,942 2,633,589 2,663,958 385 0.60 31,605,645

XLU Utilities Select Sector SPDR Fund 0.01 0.02 0.01 14,502,592 781,643,825 17,422,423 18,657 20,799 895,723 991,280 287 0.70 69,138,568

XLRE Real Estate Select Sector SPDR Fund 0.01 0.03 0.01 2,074,522 66,953,800 2,230,647 30,117 34,566 920,074 1,057,720 325 0.80 7,082,295

US Industry

KBE SPDR S&P Bank ETF 0.01 0.02 0.01 3,578,288 164,399,699 3,905,384 7,976 10,305 344,723 400,761 174 0.90 6,176,290

KCE SPDR S&P Capital Markets ETF 0.12 0.26 0.10 11,502 619,629 10,549 12,981 8,713 594,140 375,443 261 0.80 31,752

KIE SPDR S&P Insurance ETF 0.04 0.04 0.04 217,427 18,881,719 164,075 2,969 2,817 245,358 224,825 168 0.40 200,231

KRE SPDR S&P Regional Banking ETF 0.01 0.01 0.01 7,666,658 451,466,462 7,592,679 5,412 6,339 297,768 314,478 163 1.00 29,765,222

XBI SPDR S&P Biotech ETF 0.03 0.05 0.03 5,569,515 364,556,109 6,718,766 1,353 1,302 83,196 80,425 153 1.40 20,410,881

MTK SPDR Morgan Stanley Technology ETF 0.27 0.44 0.23 26,194 1,671,373 28,623 4,401 3,394 268,197 204,115 192 0.80 25,908

XHB SPDR S&P Homebuilders ETF 0.01 0.03 0.01 1,965,454 73,805,390 2,327,413 12,776 13,244 442,944 441,423 188 0.80 12,180,155

XME SPDR S&P Metals & Mining ETF 0.01 0.03 0.01 4,409,170 161,069,837 4,752,314 4,721 5,943 151,827 172,109 164 1.20 14,990,413

XES SPDR S&P Oil & Gas Equipment & Services ETF 0.02 0.07 0.02 647,730 14,968,188 557,446 5,717 5,999 129,604 122,740 225 1.10 1,387,676

XITK SPDR FactSet Innovative Technology ETF 0.15 0.22 0.10 2,953 278,604 1,746 504 503 29,877 30,094 121 1.30 21,771

XOP SPDR S&P Oil & Gas Exploration & Production ETF 0.01 0.02 0.01 15,066,737 702,082,708 17,400,010 7,389 8,951 313,885 350,521 189 0.70 57,472,419

XPH SPDR S&P Pharmaceuticals ETF 0.03 0.08 0.04 291,175 12,027,414 268,206 2,649 3,696 103,443 148,579 198 1.00 807,506

XRT SPDR S&P Retail ETF 0.01 0.02 0.01 5,336,733 266,410,373 4,552,296 7,209 6,700 331,254 300,160 192 1.00 22,424,716

XSD SPDR S&P Semiconductor ETF 0.05 0.08 0.05 130,810 7,508,856 124,325 3,760 3,069 210,410 164,406 212 1.30 1,499,298

XHE SPDR S&P Health Care Equipment ETF 0.19 0.38 0.20 18,626 980,827 29,031 2,605 2,705 129,963 132,870 290 0.60 34,107

XTL SPDR S&P Telecom ETF 0.17 0.24 0.19 19,019 1,380,888 13,443 3,843 3,525 267,358 238,184 212 0.90 2,619

XAR SPDR S&P Aerospace & Defense ETF 0.06 0.09 0.08 153,915 10,794,763 166,203 7,528 4,985 488,944 313,557 183 0.60 2,322,444

XHS SPDR S&P Health Care Services ETF 0.07 0.14 0.07 26,818 1,485,024 25,645 4,408 5,291 231,684 274,127 256 0.50 95,374

XSW SPDR S&P Software & Services ETF 0.11 0.19 0.12 5,100 334,109 4,180 1,368 1,869 75,664 103,075 188 0.70 4,707

XTH SPDR S&P Technology Hardware ETF 0.48 0.73 0.36 222 30,819 136 5,736 5,342 365,727 333,875 71 0.90 2,273

XTN SPDR S&P Transportation ETF 0.06 0.11 0.06 90,989 5,201,882 74,888 2,688 2,462 149,184 129,944 209 0.80 152,653

XWEB SPDR S&P Internet ETF 0.29 0.47 0.21 1,781 130,346 735 3,620 3,557 211,263 208,262 129 1.40 1,272

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

State Street Global Advisors 2

SPDR® ETF Trading Report

Consolidated Consolidated Avg. Avg. Short

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

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

Ticker ETF Name($)(%) trailing(shares) Volume ($) 3 mo. trailing(shares) 3 mo. trailing Size ($) vs. 3 mo. trailing Size(%) 12/15/2016

Real Estate Equities

RWR SPDR Dow Jones REIT ETF 0.07 0.07 0.06 401,807 38,034,947 386,462 1,889 2,058 173,807 187,854 147 0.80 159,476

RWO SPDR Dow Jones Global Real Estate ETF 0.05 0.10 0.04 327,611 17,208,554 332,233 906 1,084 41,984 50,243 146 0.80 183,427

RWX SPDR Dow Jones International Real Estate ETF 0.01 0.03 0.01 1,338,823 50,928,303 953,679 10,572 8,120 386,512 307,098 364 1.00 1,384,623

Global Equities

DGT SPDR Global Dow ETF 0.38 0.53 0.27 3,576 308,946 2,090 478 418 33,584 28,875 112 0.50 5,038

GII SPDR S&P Global Infrastructure ETF 0.23 0.51 0.18 20,263 990,079 20,371 466 444 21,035 20,215 144 0.70 10,395

GNR SPDR S&P Global Natural Resources ETF 0.08 0.18 0.07 157,717 6,641,732 188,076 1,104 1,779 45,882 71,160 191 0.60 239,185

CWI SPDR MSCI ACWI ex-US ETF 0.01 0.03 0.02 684,985 22,506,996 407,389 11,408 9,232 361,748 292,285 363 0.50 95,205

ACIM SPDR MSCI ACWI IMI ETF 1.35 2.05 1.34 19,329 1,847,992 9,018 749 746 49,471 49,072 99 0.90 4,162

EFAX SPDR MSCI EAFE Fossil Fuel Reserves Free ETF 0.74 1.22 0.60 177 33,338 9,409 1,753 723 105,723 43,568 66 1.10 350

GWL SPDR S&P World ex-US ETF 0.03 0.10 0.03 158,086 4,201,684 136,858 5,921 5,289 154,301 137,091 428 0.50 670,278

GWX SPDR S&P International Small Cap ETF 0.04 0.14 0.05 182,710 5,570,740 136,251 1,142 1,122 33,758 33,716 266 0.60 154,707

LOWC SPDR MSCI ACWI Low Carbon Target ETF 0.12 0.15 0.08 3,628 460,827 1,623 948 963 71,527 72,215 43 0.50 1,186

International Developed Equities — Region/Country

FEZ SPDR EURO STOXX 50 ETF 0.01 0.03 0.01 2,433,495 91,335,516 2,073,359 63,089 59,589 2,073,735 1,930,684 419 0.60 1,937,569

FEU SPDR STOXX Europe 50 ETF 0.03 0.10 0.03 69,219 2,133,599 65,455 1,509 1,502 44,455 43,979 297 0.60 7,244

SMEZ SPDR EURO STOXX Small Cap ETF 0.12 0.26 0.12 7,061 421,914 3,852 469 722 21,569 33,198 110 0.80 1,261

HFEZ SPDR EURO STOXX 50 Currency Hedged ETF 0.13 0.36 0.12 1,717 91,014 2,271 2,180 1,913 76,344 64,124 369 0.90 969

HDWX SPDR S&P International Dividend Currency Hedged ETF 0.26 0.61 0.35 744 43,475 576 382 361 16,124 14,996 82 0.80 663

Emerging Market Equities

GMM SPDR S&P Emerging Markets ETF 0.20 0.34 0.22 32,558 1,963,848 37,999 496 508 28,689 29,962 108 0.80 46,786

GML SPDR S&P Emerging Latin America ETF 0.31 0.70 0.34 5,589 315,765 3,320 741 533 31,945 23,809 34 1.00 1,063

GAF SPDR S&P Emerging Middle East & Africa ETF 1.54 2.80 1.44 5,390 340,698 2,406 282 278 15,586 15,471 100 1.30 926

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

State Street Global Advisors 3

SPDR® ETF Trading Report

Consolidated Consolidated Avg. Avg. Short

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

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

Ticker ETF Name($)(%) trailing(shares) Volume ($) 3 mo. trailing(shares) 3 mo. trailing Size ($) vs. 3 mo. trailing Size(%) 12/15/2016

Emerging Market Equities (cont’d)

GUR SPDR S&P Emerging Europe ETF 0.19 0.70 0.20 9,582 303,960 6,521 572 574 15,627 15,268 126 1.10 5,771

GMF SPDR S&P Emerging Asia Pacific ETF 0.16 0.20 0.18 31,976 2,538,446 25,121 615 603 46,992 47,450 122 0.80 8,556

EEMX SPDR MSCI Emerging Markets Fossil Fuel Reserves 0.68 1.30 0.63 79 12,617 2,221 1,784 597 91,840 32,507 0 0.80 11

Free ETF

EWX SPDR S&P Emerging Markets Small Cap ETF 0.09 0.22 0.10 132,296 5,784,962 125,594 910 1,033 36,855 43,469 184 0.70 36,178

GXC SPDR S&P China ETF 0.11 0.15 0.13 81,171 6,578,922 80,083 787 848 58,395 65,338 114 0.70 14,273

RBL SPDR S&P Russia ETF 0.11 0.57 0.10 19,493 421,480 10,786 777 894 15,594 17,129 188 1.20 11,888

XINA SPDR MSCI China A Shares IMI ETF 0.27 1.24 0.26 188 6,477 202 229 230 4,859 4,947 14 2.60 116

International Sector Equities

IPD SPDR S&P International Consumer Discretionary 0.28 0.78 0.27 1,516 92,422 1,100 365 360 13,166 12,902 56 0.70 10

Sector ETF

IPS SPDR S&P International Consumer Staples Sector ETF 0.21 0.54 0.22 7,203 314,723 7,553 499 493 19,541 20,154 122 0.60 2,620

IPW SPDR S&P International Energy Sector ETF 0.10 0.56 0.09 23,215 446,446 24,345 909 899 16,798 16,182 188 0.50 35,220

IPF SPDR S&P International Financial Sector ETF 0.29 1.48 0.33 3,112 81,931 4,224 2,311 1,206 44,972 22,600 101 0.80 4,205

IRY SPDR S&P International Health Care Sector ETF 0.13 0.31 0.13 19,419 882,078 11,025 729 737 31,136 32,170 131 0.60 5,192

IPN SPDR S&P International Industrial Sector ETF 0.14 0.46 0.12 1,364 60,591 5,258 1,405 1,080 41,757 32,152 58 0.50 3,456

IRV SPDR S&P International Materials Sector ETF 0.17 0.83 0.18 7,231 267,681 7,424 1,524 1,515 30,602 30,255 100 0.80 2,700

IPK SPDR S&P International Technology Sector ETF 0.31 0.91 0.31 4,895 445,420 4,433 862 874 28,817 29,279 108 0.70 2,075

IST SPDR S&P International Telecommunications 0.09 0.39 0.08 30,855 716,844 14,962 1,042 1,035 23,320 23,505 153 0.70 1,343

Sector ETF

IPU SPDR S&P International Utilities Sector ETF 0.07 0.45 0.06 8,381 143,396 8,495 1,126 1,118 16,654 16,949 191 0.70 5,488

Advanced Beta — Income

EDIV SPDR S&P Emerging Markets Dividend ETF 0.06 0.22 0.06 92,469 2,502,237 92,350 752 877 19,680 23,311 193 0.90 25,842

DWX SPDR S&P International Dividend ETF 0.04 0.09 0.04 213,518 8,052,051 188,053 1,471 1,310 53,427 47,226 203 0.70 207,549

SDY SPDR S&P Dividend ETF 0.02 0.02 0.02 942,881 85,375,752 926,822 3,069 3,029 265,499 255,012 199 0.50 1,179,465

WDIV SPDR S&P Global Dividend ETF 0.09 0.14 0.08 16,434 1,156,525 14,264 565 555 34,827 33,927 147 0.50 23,885

SPYD SPDR S&P 500 High Dividend ETF 0.05 0.15 0.06 63,233 2,415,607 44,768 17,197 18,673 611,181 648,887 327 0.60 24,745

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

State Street Global Advisors 4

SPDR® ETF Trading Report

Consolidated Consolidated Avg. Avg. Short

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

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

Ticker ETF Name($)(%) trailing(shares) Volume ($) 3 mo. trailing(shares) 3 mo. trailing Size ($) vs. 3 mo. trailing Size(%) 12/15/2016

Advanced Beta — Multi Factor

QAUS SPDR MSCI Australia StrategicFactors ETF 0.04 0.08 0.05 2,524 149,787 3,223 949 987 45,694 47,771 143 0.70 1,436

QCAN SPDR MSCI Canada StrategicFactors ETF 0.06 0.10 0.06 2,826 203,334 1,554 885 882 47,684 46,852 124 0.50 3,888

QDEU SPDR MSCI Germany StrategicFactors ETF 0.05 0.10 0.06 731 65,476 613 935 926 46,974 46,457 122 0.60 385

QJPN SPDR MSCI Japan StrategicFactors ETF 0.19 0.28 0.23 1,321 110,457 1,375 518 478 34,385 32,045 163 0.80 979

QESP SPDR MSCI Spain StrategicFactors ETF 0.04 0.08 0.04 813 47,808 383 993 996 39,919 40,149 104 0.90 177

QGBR SPDR MSCI United Kingdom StrategicFactors ETF 0.16 0.34 0.17 271 19,628 235 773 742 35,589 34,036 51 0.70 185

QEFA SPDR MSCI EAFE StrategicFactors ETF 0.21 0.38 0.30 63,484 3,436,418 22,331 2,317 2,180 122,569 115,431 193 0.40 10,488

QWLD SPDR MSCI World StrategicFactors ETF 0.46 0.72 0.57 143 16,091 155 444 380 28,269 23,723 16 0.70 702

QEMM SPDR MSCI Emerging Markets StrategicFactors ETF 0.43 0.84 0.43 16,515 877,573 11,284 653 971 33,120 50,278 162 0.70 173,667

QUS SPDR MSCI USA StrategicFactors ETF 0.14 0.21 0.14 2,339 192,141 1,621 726 821 47,342 52,429 104 0.50 2,170

Advanced Beta — Single Factor

SPYB SPDR S&P 500 Buyback ETF 0.12 0.22 0.09 3,347 283,301 1,529 8,508 8,863 452,030 460,167 171 0.70 1,559

VLU SPDR S&P 1500 Value Tilt ETF 0.83 0.92 0.70 3,800 392,115 1,479 2,250 2,509 201,758 222,473 99 0.60 8,590

MMTM SPDR S&P 1500 Momentum Tilt ETF 0.31 0.33 0.29 584 76,208 431 1,650 1,840 155,018 170,163 64 0.60 225

LGLV SPDR SSGA US Large Cap Low Volatility Index ETF 0.63 0.78 0.56 5,749 538,641 5,269 523 731 42,410 57,873 136 0.70 19,329

SMLV SPDR SSGA US Small Cap Low Volatility Index ETF 0.38 0.40 0.35 24,503 2,519,519 19,583 2,588 2,534 242,961 225,982 127 0.80 18,533

ONEY SPDR Russell 1000 Yield Focus ETF 0.35 0.49 0.33 537 62,531 339 4,135 4,553 286,845 309,968 72 0.90 4,116

ONEO SPDR Russell 1000 Momentum Focus ETF 0.37 0.56 0.27 16,492 1,147,922 7,007 11,347 9,501 745,498 616,045 159 0.50 8,706

ONEV SPDR Russell 1000 Low Volatility Focus ETF 0.29 0.43 0.27 3,373 280,324 4,877 6,622 6,907 442,747 455,171 226 0.70 30,030

Advanced Beta — Fixed Income

CBND SPDR Bloomberg Barclays Issuer Scored Corporate 0.15 0.47 0.18 9,717 363,252 9,836 1,004 788 31,606 25,311 125 0.30 5,835

Bond ETF

Fixed Income — US Government

BIL SPDR Bloomberg Barclays 1–3 Month T-Bill ETF 0.01 0.02 0.01 809,318 38,346,417 887,245 2,241,912 2,005,798 102,477,798 91,705,085 1,097 0.00 1,275,774

ITE SPDR Bloomberg Barclays Intermediate Term 0.06 0.09 0.06 87,426 5,381,306 62,718 2,673 4,826 159,044 290,332 435 0.10 2,864

Treasury ETF

TLO SPDR Bloomberg Barclays Long Term Treasury ETF 0.10 0.15 0.10 139,832 10,108,727 118,651 1,326 1,472 90,579 105,469 138 0.50 9,464

IPE SPDR Bloomberg Barclays TIPS ETF 0.07 0.11 0.07 93,458 5,495,289 60,233 2,516 2,611 141,248 148,018 311 0.30 13,658

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

State Street Global Advisors 5

SPDR® ETF Trading Report

Consolidated Consolidated Avg. Avg. Short

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

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

Ticker ETF Name($)(%) trailing(shares) Volume ($) 3 mo. trailing(shares) 3 mo. trailing Size ($) vs. 3 mo. trailing Size(%) 12/15/2016

Fixed Income — US Government (cont’d)

SST SPDR Bloomberg Barclays Short Term Treasury ETF 0.04 0.13 0.04 31,238 998,516 55,584 8,975 7,590 269,340 230,129 424 0.10 14,340

SIPE SPDR Bloomberg Barclays 0–5 Year TIPS ETF 0.17 0.86 0.15 7,680 188,744 3,990 1,813 1,549 35,825 30,593 154 0.50 5,591

TIPX SPDR Bloomberg Barclays 1–10 Year TIPS ETF 0.08 0.38 0.07 14,962 312,104 10,575 869 699 16,902 13,665 312 0.20 57,745

Fixed Income — US Investment Grade Corporates

SCPB SPDR Bloomberg Barclays Short Term Corporate 0.01 0.03 0.01 755,402 23,522,965 922,515 33,393 30,177 1,018,487 922,813 472 0.10 154,457

Bond ETF

ITR SPDR Bloomberg Barclays Intermediate Term Corporate 0.03 0.07 0.03 298,703 10,395,824 364,418 3,319 2,298 112,249 78,707 202 0.10 98,702

Bond ETF

LWC SPDR Bloomberg Barclays Long Term Corporate Bond ET 0.17 0.43 0.17 52,352 2,186,702 53,020 1,237 726 48,577 29,454 182 0.40 13,818

FLRN SPDR Bloomberg Barclays Investment Grade Floating 0.03 0.11 0.04 186,787 6,029,872 114,067 5,269 3,498 161,495 107,214 331 0.00 47,721

Rate ETF

Fixed Income — High Yield

JNK SPDR Bloomberg Barclays High Yield Bond ETF 0.01 0.02 0.01 10,140,773 413,968,062 11,987,119 67,490 75,071 2,451,912 2,716,819 483 0.30 25,495,515

SJNK SPDR Bloomberg Barclays Short Term High Yield 0.01 0.03 0.01 1,482,566 41,916,043 1,662,134 17,063 19,366 470,427 531,597 217 0.20 1,266,929

Bond ETF

CJNK SPDR BofA Merrill Lynch Crossover Corporate Bond ETF 0.36 1.39 0.30 38,447 1,024,304 19,536 751 953 19,346 24,635 134 0.70 8,827

Fixed Income — US Mortgage

MBG SPDR Bloomberg Barclays Mortgage Backed Bond ETF 0.12 0.44 0.09 115,080 3,193,846 67,184 3,626 4,109 95,146 108,930 181 0.20 13,137

Fixed Income — US Aggregate

BNDS SPDR Bloomberg Barclays Aggregate Bond ETF 0.07 0.12 0.07 217,495 12,691,721 134,811 1,590 1,776 90,407 102,120 281 0.20 50,738

Fixed Income — Hybrids

CWB SPDR Bloomberg Barclays Convertible Securities ETF 0.02 0.04 0.02 976,313 47,437,668 988,754 3,284 2,594 150,046 118,053 153 0.50 1,121,589

PSK SPDR Wells Fargo Preferred Stock ETF 0.08 0.18 0.08 128,550 5,795,326 110,810 4,807 6,937 202,567 300,650 205 0.30 10,985

Fixed Income — Municipal

SHM SPDR Nuveen Bloomberg Barclays Short Term 0.02 0.03 0.02 1,397,049 67,980,218 696,913 13,571 12,013 650,187 577,585 376 0.10 265,479

Municipal Bond ETF

TFI SPDR Nuveen Bloomberg Barclays Municipal Bond ETF 0.05 0.09 0.04 877,927 42,358,880 598,464 3,026 3,628 143,039 173,709 137 0.20 203,074

HYMB SPDR Nuveen S&P High Yield Municipal Bond ETF 0.10 0.17 0.09 310,465 17,940,354 200,881 641 671 35,652 37,777 194 0.30 65,685

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

State Street Global Advisors 6

SPDR® ETF Trading Report

Consolidated Consolidated Avg. Avg. Short

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

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

Ticker ETF Name($)(%) trailing(shares) Volume ($) 3 mo. trailing(shares) 3 mo. trailing Size ($) vs. 3 mo. trailing Size(%) 12/15/2016

Fixed Income — International

WIP SPDR Citi International Government Inflation-Protected 0.27 0.52 0.28 113,716 6,049,934 107,707 1,262 685 65,990 37,175 192 0.40 7,355

Bond ETF

BWZ SPDR Bloomberg Barclays Short Term International 0.15 0.51 0.18 75,555 2,284,410 43,217 941 883 27,543 26,393 331 0.30 27,463

Treasury Bond ETF

BWX SPDR Bloomberg Barclays International Treasury 0.05 0.17 0.05 881,262 23,219,913 827,691 1,169 1,873 30,371 50,552 230 0.40 1,885,886

Bond ETF

IBND SPDR Bloomberg Barclays International Corporate 0.14 0.44 0.13 77,081 2,415,348 58,520 651 716 19,862 22,468 151 0.50 9,040

Bond ETF

EBND SPDR Bloomberg Barclays Emerging Markets Local 0.09 0.35 0.09 112,984 3,040,474 111,486 944 1,659 24,931 44,080 182 0.50 299,545

Bond ETF

Commodity

GLD® SPDR Gold Shares 0.01 0.01 0.01 7,612,500 946,901,758 9,349,588 9,660 8,600 1,059,122 1,004,652 196 0.50 8,388,493

NANR SPDR S&P North American Natural Resources ETF 0.08 0.23 0.07 90,775 3,157,828 50,745 1,693 2,120 58,070 72,080 178 0.80 26,343

Active — Asset Allocation

RLY SPDR SSGA Multi-Asset Real Return ETF 0.06 0.25 0.06 30,091 771,949 28,304 12,474 11,140 305,488 269,254 317 0.40 20,622

INKM SPDR SSGA Income Allocation ETF 0.08 0.26 0.07 6,979 239,039 6,195 7,773 9,157 238,476 281,669 226 0.40 475

GAL SPDR SSGA Global Allocation ETF 0.09 0.28 0.09 27,318 969,321 22,774 10,630 11,967 353,341 396,826 337 0.30 3,012

DWFI SPDR Dorsey Wright Fixed Income Allocation ETF 0.12 0.50 0.11 18,936 459,143 14,790 1,717 2,222 41,561 54,922 727 0.13 20,632

Active — Equity

SYE SPDR MFS Systematic Core Equity ETF 0.18 0.28 0.19 1,537 123,333 632 1,152 1,219 73,475 76,675 133 0.50 77

SYG SPDR MFS Systematic Growth Equity ETF 0.21 0.33 0.21 992 106,100 711 1,139 1,186 72,258 74,161 68 0.70 653

SYV SPDR MFS Systematic Value Equity ETF 0.32 0.55 0.31 676 66,498 456 1,180 1,178 68,664 66,816 14 0.60 734

Active — Fixed Income

TOTL SPDR DoubleLine Total Return Tactical ETF 0.03 0.06 0.03 670,840 32,883,589 436,152 3,654 3,188 177,219 156,116 327 0.20 66,885

EMTL SPDR DoubleLine Emerging Markets Fixed Income ETF 0.38 0.74 0.38 12,131 623,413 4,692 5,823 3,818 295,424 196,905 118 0.31 2,909

STOT SPDR DoubleLine Short Duration Total Return 0.15 0.31 0.17 27,902 1,384,745 19,571 9,684 8,545 481,085 427,127 303 0.19 20,135

Tactical ETF

SRLN SPDR Blackstone / GSO Senior Loan ETF 0.04 0.07 0.05 200,511 9,858,110 183,420 11,768 7,851 558,274 371,117 250 0.10 119,934

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

State Street Global Advisors 7

SPDR® ETF Trading Report

Consolidated Consolidated Avg. Avg. Short

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

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

Ticker ETF Name($)(%) trailing(shares) Volume ($) 3 mo. trailing(shares) 3 mo. trailing Size ($) vs. 3 mo. trailing Size(%) 12/15/2016

Active — Fixed Income (cont’d)

ULST SPDR SSGA Ultra Short Term Bond ETF $0.04 0.10% $0.04 4,443 $210,272 4,250 3,751 3,147 $150,790 $126,541 356 0.00% 2,577

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

Prior to 12/13/2016, the SPDR SSGA US Large Cap Low Volatility Index ETF was known as the SPDR Russell 1000® Low Volatility ETF and the SPDR SSGA US Small Cap Low Volatility Index ETF was known as the

SPDR Russell 2000® Low Volatility ETF.

Prior to October 31, 2016, the SPDR Bloomberg Barclays ETFs were known as the SPDR Barclays ETFs.

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