N-30D 1 a12-24341_1n30d.htm N-30D

STANDARD AND POOR'S MIDCAP 400 DEPOSITARY RECEIPTSTM

SPDR® S&P MIDCAP 400® ETF TRUST

A UNIT INVESTMENT TRUST

ANNUAL REPORT

SEPTEMBER 30, 2012

"Standard & Poor's®," "S&P®," "SPDR®," "S&P MidCap 400®," "Standard & Poor's MidCap 400 IndexTM," "S&P MidCap 400 IndexTM" and "Standard & Poor's MidCap 400 Depositary ReceiptsTM" are trademarks of Standard & Poor's Financial Services, LLC, an affiliate of The McGraw-Hill Companies, Inc. State Street Global Markets, LLC is permitted to use these trademarks pursuant to a "License Agreement" with Standard & Poor's Financial Services, LLC and SPDR S&P MidCap 400 ETF Trust is permitted to use these trademarks pursuant to a sublicense from State Street Global Markets, LLC. SPDR S&P MidCap 400 ETF Trust, is not, however, sponsored by or affiliated with Standard & Poor's Financial Services, LLC or The McGraw-Hill Companies, Inc.




SPDR S&P MidCap 400 ETF Trust
Trust Overview
September 30, 2012

OBJECTIVE:

To replicate the total return of the S&P MidCap 400 Index.TM

STRATEGY:

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

PERFORMANCE OVERVIEW:

The Trust seeks to match the total return of the S&P MidCap 400 Index. To accomplish this, the Trust utilizes a full replication approach. With this strategy, all 400 securities of the S&P MidCap 400 Index are owned by the Trust in their approximate market capitalization weight. A replication management approach results in low expected tracking error of the Trust relative to its benchmark.


1



SPDR S&P MidCap 400 ETF Trust
Schedule of Investments
September 30, 2012

Common Stock

 

Shares

 

Value

 

Aaron's, Inc.

   

608,633

   

$

16,926,084

   

ACI Worldwide, Inc.*

   

338,578

     

14,308,306

   

Acuity Brands, Inc.

   

365,639

     

23,141,292

   

Acxiom Corp.*

   

647,772

     

11,834,794

   

ADTRAN, Inc.

   

546,246

     

9,439,131

   

Advance Auto Parts, Inc.

   

633,074

     

43,327,585

   

Advent Software, Inc.*

   

275,520

     

6,769,526

   

Aecom Technology Corp.*

   

976,256

     

20,657,577

   

Aeropostale, Inc.*

   

701,633

     

9,493,094

   

Affiliated Managers Group, Inc.*

   

443,322

     

54,528,606

   

AGCO Corp.*

   

839,380

     

39,853,762

   

Alaska Air Group, Inc.*

   

608,616

     

21,338,077

   

Albemarle Corp.

   

772,677

     

40,704,624

   

Alexander & Baldwin, Inc.*

   

366,089

     

10,810,608

   

Alexandria Real Estate Equities, Inc.

   

541,965

     

39,845,267

   

Alleghany Corp.*

   

146,169

     

50,419,535

   

Alliance Data Systems Corp.*

   

430,870

     

61,161,996

   

Alliant Energy Corp.

   

958,113

     

41,572,523

   

Alliant Techsystems, Inc.

   

282,011

     

14,131,571

   

Allscripts Healthcare Solutions, Inc.*

   

1,478,858

     

18,382,205

   

AMC Networks, Inc., Class A*

   

495,205

     

21,551,322

   

American Campus Communities, Inc.

   

794,133

     

34,846,556

   

American Eagle Outfitters, Inc.

   

1,544,579

     

32,559,725

   

American Financial Group, Inc.

   

680,740

     

25,800,046

   

Amerigroup Corp.*

   

421,196

     

38,509,950

   

AMETEK, Inc.

   

2,093,958

     

74,230,811

   

Ann, Inc.*

   

408,569

     

15,415,308

   

ANSYS, Inc.*

   

797,179

     

58,512,939

   

AOL, Inc.

   

774,269

     

27,277,497

   

Apollo Investment Corp.

   

1,751,663

     

13,785,588

   

Aptargroup, Inc.

   

574,933

     

29,729,785

   

Aqua America, Inc.

   

1,206,410

     

29,870,712

   

Arch Coal, Inc.

   

1,832,637

     

11,600,592

   

Arrow Electronics, Inc.*

   

939,355

     

31,665,657

   

Arthur J Gallagher & Co.

   

1,044,454

     

37,412,342

   

Ascena Retail Group, Inc.*

   

1,063,433

     

22,810,638

   

Ashland, Inc.

   

630,620

     

45,152,392

   

Aspen Insurance Holdings Ltd.

   

616,065

     

18,783,822

   

Associated Banc-Corp.

   

1,481,878

     

19,516,333

   

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



SPDR S&P MidCap 400 ETF Trust
Schedule of Investments (continued)
September 30, 2012

Common Stock

 

Shares

 

Value

 

Astoria Financial Corp.

   

705,251

   

$

6,967,880

   

Atmel Corp.*

   

3,799,878

     

19,987,358

   

Atmos Energy Corp.

   

778,515

     

27,863,052

   

Atwood Oceanics, Inc.*

   

490,959

     

22,314,087

   

Avnet, Inc.*

   

1,220,260

     

35,497,363

   

Bally Technologies, Inc.*

   

357,754

     

17,669,470

   

BancorpSouth, Inc.

   

717,475

     

10,575,582

   

Bank of Hawaii Corp.

   

390,194

     

17,800,650

   

Barnes & Noble, Inc.*

   

326,099

     

4,167,545

   

BE Aerospace, Inc.*

   

897,614

     

37,789,549

   

Bill Barrett Corp.*

   

415,974

     

10,303,676

   

BioMed Realty Trust, Inc.

   

1,331,164

     

24,919,390

   

Bio-Rad Laboratories, Inc., Class A*

   

173,465

     

18,512,185

   

Black Hills Corp.

   

381,490

     

13,569,599

   

Bob Evans Farms, Inc.

   

242,413

     

9,485,621

   

BRE Properties, Inc.

   

663,060

     

31,090,883

   

Brinker International, Inc.

   

638,235

     

22,529,696

   

Brink's Co.

   

412,155

     

10,588,262

   

Broadridge Financial Solutions, Inc.

   

1,078,363

     

25,158,209

   

Brown & Brown, Inc.

   

1,014,358

     

26,444,313

   

Cabot Corp.

   

513,670

     

18,784,912

   

Cadence Design Systems, Inc.*

   

2,373,315

     

30,532,697

   

Camden Property Trust

   

721,654

     

46,539,466

   

Carbo Ceramics, Inc.

   

169,402

     

10,658,774

   

Carlisle Cos., Inc.

   

540,374

     

28,056,218

   

Carpenter Technology Corp.

   

381,414

     

19,955,580

   

Carter's, Inc.*

   

437,970

     

23,580,305

   

Cathay General Bancorp

   

632,110

     

10,910,219

   

Cboe Holdings, Inc.

   

753,463

     

22,166,881

   

Charles River Laboratories International, Inc.*

   

420,725

     

16,660,710

   

Cheesecake Factory, Inc.

   

431,061

     

15,410,431

   

Chico's FAS, Inc.

   

1,433,187

     

25,955,017

   

Church & Dwight Co., Inc.

   

1,201,964

     

64,894,036

   

Ciena Corp.*

   

865,099

     

11,765,346

   

Cimarex Energy Co.

   

742,378

     

43,466,232

   

Cinemark Holdings, Inc.

   

882,675

     

19,798,400

   

City National Corp.

   

407,003

     

20,964,725

   

Clarcor, Inc.

   

432,722

     

19,312,383

   

Clean Harbors, Inc.*

   

409,997

     

20,028,353

   

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



SPDR S&P MidCap 400 ETF Trust
Schedule of Investments (continued)
September 30, 2012

Common Stock

 

Shares

 

Value

 

Cleco Corp.

   

524,180

   

$

22,005,076

   

Collective Brands, Inc.*

   

530,566

     

11,518,588

   

Commerce Bancshares, Inc.

   

643,082

     

25,935,497

   

Commercial Metals Co.

   

1,003,386

     

13,244,695

   

Community Health Systems, Inc.*

   

785,336

     

22,884,691

   

Compass Minerals International, Inc.

   

285,839

     

21,320,731

   

Compuware Corp.*

   

1,861,036

     

18,442,867

   

Concur Technologies, Inc.*

   

389,270

     

28,700,877

   

Convergys Corp.

   

970,741

     

15,211,511

   

Con-way, Inc.

   

482,947

     

13,218,259

   

Cooper Cos., Inc.

   

413,485

     

39,057,793

   

Copart, Inc.*

   

933,210

     

25,877,913

   

Corelogic, Inc.*

   

909,440

     

24,127,443

   

Corporate Executive Board Co.

   

289,512

     

15,526,529

   

Corporate Office Properties Trust SBI MD

   

622,390

     

14,918,688

   

Corrections Corp. of America

   

863,769

     

28,893,073

   

Covance, Inc.*

   

475,602

     

22,205,857

   

Crane Co.

   

415,939

     

16,608,444

   

Cree, Inc.*

   

1,001,089

     

25,557,802

   

Cullen/Frost Bankers, Inc.

   

530,142

     

30,446,055

   

Cypress Semiconductor Corp.

   

1,179,956

     

12,649,128

   

Cytec Industries, Inc.

   

397,640

     

26,053,373

   

Deckers Outdoor Corp.*

   

319,878

     

11,720,330

   

Deluxe Corp.

   

436,474

     

13,338,645

   

DeVry, Inc.

   

502,732

     

11,442,180

   

Dick's Sporting Goods, Inc.

   

838,561

     

43,479,388

   

Diebold, Inc.

   

545,752

     

18,397,300

   

Domtar Corp.

   

310,030

     

24,272,249

   

Donaldson Co., Inc.

   

1,182,837

     

41,056,272

   

DreamWorks Animation SKG, Inc., Class A*

   

618,719

     

11,897,966

   

Dresser-Rand Group, Inc.*

   

653,261

     

36,001,214

   

Dril-Quip, Inc.*

   

314,093

     

22,577,005

   

DST Systems, Inc.

   

264,749

     

14,974,203

   

Duke Realty Corp.

   

2,328,426

     

34,227,862

   

East West Bancorp, Inc.

   

1,225,438

     

25,881,251

   

Eaton Vance Corp.

   

994,502

     

28,800,778

   

Endo Pharmaceuticals Holdings, Inc.*

   

1,009,189

     

32,011,475

   

Energen Corp.

   

622,721

     

32,636,808

   

Energizer Holdings, Inc.

   

556,088

     

41,489,726

   

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



SPDR S&P MidCap 400 ETF Trust
Schedule of Investments (continued)
September 30, 2012

Common Stock

 

Shares

 

Value

 

Equinix, Inc.*

   

416,009

   

$

85,718,654

   

Equity One, Inc.

   

531,394

     

11,191,158

   

Essex Property Trust, Inc.

   

314,389

     

46,605,025

   

Esterline Technologies Corp.*

   

266,410

     

14,956,257

   

Everest Re Group Ltd.

   

447,412

     

47,855,188

   

Exelis, Inc.

   

1,612,882

     

16,677,200

   

FactSet Research Systems, Inc.

   

353,230

     

34,058,437

   

Fair Isaac Corp.

   

292,193

     

12,932,462

   
Fairchild Semiconductor International, Inc.,
Class A*
   

1,093,346

     

14,344,700

   

Federal Realty Investment Trust

   

553,512

     

58,284,814

   

Fidelity National Financial, Inc., Class A

   

1,819,829

     

38,926,142

   

First American Financial Corp.

   

918,263

     

19,898,759

   

First Niagara Financial Group, Inc.

   

3,044,535

     

24,630,288

   

FirstMerit Corp.

   

946,593

     

13,943,315

   

Flowers Foods, Inc.

   

993,867

     

20,056,236

   

Foot Locker, Inc.

   

1,303,836

     

46,286,178

   

Forest Oil Corp.*

   

1,020,675

     

8,624,704

   

Fortune Brands Home & Security, Inc.*

   

1,387,400

     

37,473,674

   

FTI Consulting, Inc.*

   

363,046

     

9,686,067

   

Fulton Financial Corp.

   

1,730,068

     

17,058,470

   

Gardner Denver, Inc.

   

422,813

     

25,542,133

   

Gartner, Inc.*

   

806,575

     

37,175,042

   

GATX Corp.

   

404,915

     

17,184,593

   

General Cable Corp.*

   

429,705

     

12,624,733

   

Gentex Corp.

   

1,248,122

     

21,230,555

   

Global Payments, Inc.

   

681,193

     

28,494,303

   

Graco, Inc.

   

522,475

     

26,270,043

   

Granite Construction, Inc.

   

307,454

     

8,830,079

   

Great Plains Energy, Inc.

   

1,321,995

     

29,427,609

   

Green Mountain Coffee Roasters, Inc.*

   

1,114,482

     

26,468,948

   

Greenhill & Co., Inc.

   

230,997

     

11,954,095

   

Greif, Inc., Class A

   

261,816

     

11,567,031

   

Guess?, Inc.

   

529,315

     

13,455,187

   

Hancock Holding Co.

   

731,946

     

22,653,729

   

Hanesbrands, Inc.*

   

842,659

     

26,863,969

   

Hanover Insurance Group, Inc.

   

386,956

     

14,417,981

   

Harris Teeter Supermarkets, Inc., Class I

   

425,607

     

16,530,576

   

Harsco Corp.

   

695,732

     

14,283,378

   

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



SPDR S&P MidCap 400 ETF Trust
Schedule of Investments (continued)
September 30, 2012

Common Stock

 

Shares

 

Value

 

Hawaiian Electric Industries, Inc.

   

838,160

   

$

22,051,990

   

HCC Insurance Holdings, Inc.

   

869,397

     

29,463,864

   

Health Management Associates, Inc., Class A*

   

2,213,258

     

18,569,235

   

Health NET, Inc.*

   

703,520

     

15,836,235

   

Helix Energy Solutions Group, Inc.*

   

844,930

     

15,436,871

   

Henry Schein, Inc.*

   

764,313

     

60,587,092

   

Herman Miller, Inc.

   

503,282

     

9,783,802

   

Highwoods Properties, Inc.

   

656,769

     

21,423,805

   

Hill-Rom Holdings, Inc.

   

536,790

     

15,599,117

   

Hillshire Brands Co.

   

1,025,618

     

27,466,050

   

HMS Holdings Corp.*

   

745,407

     

24,918,956

   

HNI Corp.

   

391,358

     

9,983,543

   

Hollyfrontier Corp.

   

1,757,398

     

72,527,815

   

Hologic, Inc.*

   

2,285,270

     

46,253,865

   

Home Properties, Inc.

   

430,774

     

26,393,523

   

Hospitality Properties Trust

   

1,066,781

     

25,368,052

   

Hsn, Inc.

   

321,923

     

15,790,323

   

Hubbell, Inc., Class B

   

461,168

     

37,234,704

   

Huntington Ingalls Industries, Inc.*

   

427,460

     

17,974,693

   

IDACORP, Inc.

   

433,010

     

18,736,343

   

IDEX Corp.

   

719,894

     

30,069,972

   

IDEXX Laboratories, Inc.*

   

475,158

     

47,206,947

   

Informatica Corp.*

   

937,006

     

32,617,179

   

Ingram Micro, Inc., Class A*

   

1,295,751

     

19,734,288

   

Ingredion, Inc.

   

657,742

     

36,281,049

   

Integrated Device Technology, Inc.*

   

1,238,550

     

7,282,674

   

InterDigital, Inc./Pa

   

371,393

     

13,845,531

   

International Bancshares Corp.

   

470,148

     

8,956,319

   

International Rectifier Corp.*

   

598,550

     

9,989,800

   

International Speedway Corp., Class A

   

220,408

     

6,252,975

   

Intersil Corp., Class A

   

1,101,544

     

9,638,510

   

Intrepid Potash, Inc.*

   

461,151

     

9,905,523

   

Itron, Inc.*

   

341,189

     

14,722,305

   

ITT Corp.

   

797,734

     

16,074,340

   

ITT Educational Services, Inc.*

   

134,884

     

4,347,311

   

Jack Henry & Associates, Inc.

   

743,798

     

28,189,944

   

Janus Capital Group, Inc.

   

1,617,319

     

15,267,491

   

Jarden Corp.*

   

648,112

     

34,246,238

   

JB Hunt Transport Services, Inc.

   

781,465

     

40,667,439

   

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



SPDR S&P MidCap 400 ETF Trust
Schedule of Investments (continued)
September 30, 2012

Common Stock

 

Shares

 

Value

 

Jefferies Group, Inc.

   

1,105,990

   

$

15,141,003

   

JetBlue Airways Corp.*

   

1,963,335

     

9,404,375

   

John Wiley & Sons, Inc., Class A

   

404,392

     

18,581,812

   

Jones Lang LaSalle, Inc.

   

380,230

     

29,030,561

   

Kansas City Southern

   

949,787

     

71,974,859

   

KB Home

   

660,667

     

9,480,571

   

KBR, Inc.

   

1,271,928

     

37,928,893

   

Kemper Corp.

   

471,025

     

14,465,178

   

Kennametal, Inc.

   

691,608

     

25,644,825

   

Kirby Corp.*

   

482,328

     

26,663,092

   

Korn/Ferry International*

   

414,034

     

6,347,141

   

Lamar Advertising Co., Class A*

   

475,541

     

17,623,549

   

Lancaster Colony Corp.

   

167,271

     

12,252,601

   

Landstar System, Inc.

   

402,748

     

19,041,925

   

Lender Processing Services, Inc.

   

731,215

     

20,393,586

   

Lennox International, Inc.

   

400,843

     

19,384,767

   

Lexmark International, Inc., Class A

   

612,597

     

13,630,283

   

Liberty Property Trust

   

1,014,837

     

36,777,693

   

Life Time Fitness, Inc.*

   

345,539

     

15,804,954

   

LifePoint Hospitals, Inc.*

   

422,038

     

18,054,786

   

Lincoln Electric Holdings, Inc.

   

721,149

     

28,160,868

   

LKQ Corp.*

   

2,557,970

     

47,322,445

   

Louisiana-Pacific Corp.*

   

1,188,721

     

14,859,013

   

Macerich Co.

   

1,149,312

     

65,775,126

   

Mack-Cali Realty Corp.

   

720,295

     

19,159,847

   

Manpower, Inc.

   

684,899

     

25,204,283

   

ManTech International Corp., Class A

   

204,075

     

4,897,800

   

Martin Marietta Materials, Inc.

   

395,805

     

32,800,360

   

Masimo Corp.*

   

449,090

     

10,858,996

   

Matson, Inc.

   

366,089

     

7,654,921

   

Matthews International Corp., Class A

   

241,266

     

7,194,552

   

MDC Holdings, Inc.

   

331,478

     

12,765,218

   

MDU Resources Group, Inc.

   

1,630,284

     

35,931,459

   

Medicis Pharmaceutical Corp., Class A

   

515,906

     

22,323,253

   

Mednax, Inc.*

   

429,243

     

31,957,141

   

Memc Electronic Materials, Inc.*

   

1,993,704

     

5,482,686

   

Mentor Graphics Corp.*

   

806,932

     

12,491,307

   

Mercury General Corp.

   

312,882

     

12,092,889

   

Meredith Corp.

   

311,099

     

10,888,465

   

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



SPDR S&P MidCap 400 ETF Trust
Schedule of Investments (continued)
September 30, 2012

Common Stock

 

Shares

 

Value

 

Mettler-Toledo International, Inc.*

   

267,874

   

$

45,736,807

   

MICROS Systems, Inc.*

   

692,522

     

34,016,681

   

Mine Safety Appliances Co.

   

268,071

     

9,991,006

   

Minerals Technologies, Inc.

   

152,364

     

10,807,179

   

Mohawk Industries, Inc.*

   

500,375

     

40,040,008

   

Monster Worldwide, Inc.*

   

1,021,136

     

7,484,927

   

MSC Industrial Direct Co., Class A

   

400,808

     

27,038,508

   

MSCI, Inc., Class A*

   

1,051,529

     

37,634,223

   

National Fuel Gas Co.

   

719,243

     

38,867,892

   

National Instruments Corp.

   

812,301

     

20,445,616

   

National Retail Properties, Inc.

   

934,064

     

28,488,952

   

NCR Corp.*

   

1,373,591

     

32,018,406

   

NeuStar, Inc., Class A*

   

573,359

     

22,951,561

   

New York Community Bancorp, Inc.

   

3,791,142

     

53,682,571

   

New York Times Co., Class A*

   

1,049,719

     

10,245,257

   

Newmarket Corp.

   

92,579

     

22,818,872

   

Nordson Corp.

   

487,036

     

28,550,050

   

Northern Oil And Gas, Inc.*

   

510,798

     

8,678,458

   

NV Energy, Inc.

   

2,037,522

     

36,695,771

   

NVR, Inc.*

   

41,765

     

35,270,543

   

Oceaneering International, Inc.

   

931,593

     

51,470,513

   

Office Depot, Inc.*

   

2,461,953

     

6,302,600

   

OGE Energy Corp.

   

851,752

     

47,238,166

   

Oil States International, Inc.*

   

472,619

     

37,554,306

   

Old Republic International Corp.

   

2,083,097

     

19,372,802

   

Olin Corp.

   

690,745

     

15,009,889

   

Omega Healthcare Investors, Inc.

   

938,249

     

21,326,400

   

Omnicare, Inc.

   

963,065

     

32,715,318

   

Oshkosh Corp.*

   

791,252

     

21,704,042

   

Owens & Minor, Inc.

   

548,256

     

16,381,889

   

Packaging Corp. of America

   

847,340

     

30,758,442

   

Panera Bread Co., Class A*

   

243,127

     

41,547,973

   

Parametric Technology Corp.*

   

1,024,947

     

22,343,845

   

Patterson-UTI Energy, Inc.

   

1,310,257

     

20,754,471

   

PetSmart, Inc.

   

934,029

     

64,429,320

   

Plains Exploration & Production Co.*

   

1,113,724

     

41,731,238

   

Plantronics, Inc.

   

365,055

     

12,897,393

   

PNM Resources, Inc.

   

687,701

     

14,462,352

   

Polaris Industries, Inc.

   

549,928

     

44,472,677

   

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



SPDR S&P MidCap 400 ETF Trust
Schedule of Investments (continued)
September 30, 2012

Common Stock

 

Shares

 

Value

 

Polycom, Inc.*

   

1,526,733

   

$

15,068,855

   

Post Holdings, Inc.*

   

282,340

     

8,487,140

   

Potlatch Corp.

   

348,261

     

13,014,514

   

Prosperity Bancshares, Inc.

   

377,445

     

16,086,706

   

Protective Life Corp.

   

691,102

     

18,113,783

   

Pvh Corp.

   

609,077

     

57,082,696

   

QLogic Corp.*

   

813,867

     

9,294,361

   

Questar Corp.

   

1,516,908

     

30,838,740

   

Quicksilver Resources, Inc.*

   

1,030,430

     

4,214,459

   

Rackspace Hosting, Inc.*

   

936,553

     

61,896,788

   

Ralcorp Holdings, Inc.*

   

475,123

     

34,683,979

   

Raymond James Financial, Inc.

   

965,188

     

35,374,140

   

Rayonier, Inc.

   

1,059,898

     

51,945,601

   

Realty Income Corp.

   

1,152,097

     

47,109,246

   

Regal-Beloit Corp.

   

359,799

     

25,358,634

   

Regency Centers Corp.

   

776,505

     

37,839,089

   

Regeneron Pharmaceuticals, Inc.*

   

646,779

     

98,737,282

   

Regis Corp.

   

495,632

     

9,109,716

   

Reinsurance Group of America, Inc., Class A

   

636,408

     

36,828,931

   

Reliance Steel & Aluminum Co.

   

649,974

     

34,026,139

   

Rent-A-Center, Inc., Class A

   

509,711

     

17,880,662

   

ResMed, Inc.

   

1,226,274

     

49,627,309

   

RF Micro Devices, Inc.*

   

2,389,012

     

9,436,597

   

Riverbed Technology, Inc.*

   

1,331,913

     

30,993,616

   

Rock-Tenn Co., Class A

   

610,982

     

44,100,681

   

Rollins, Inc.

   

567,504

     

13,273,919

   

Rosetta Resources, Inc.*

   

456,592

     

21,870,757

   

Rovi Corp.*

   

941,818

     

13,665,779

   

Royal Gold, Inc.

   

508,379

     

50,766,727

   

RPM International, Inc.

   

1,138,740

     

32,499,640

   

Saks, Inc.*

   

883,328

     

9,107,112

   

Scholastic Corp.

   

226,028

     

7,183,170

   

Scientific Games Corp., Class A*

   

489,804

     

4,050,679

   

Scotts Miracle-Gro Co., Class A

   

332,634

     

14,459,600

   

SEI Investments Co.

   

1,168,769

     

25,070,095

   

Semtech Corp.*

   

569,279

     

14,317,367

   

Senior Housing Properties Trust

   

1,523,608

     

33,184,182

   

Sensient Technologies Corp.

   

430,887

     

15,839,406

   

Service Corp. International

   

1,855,295

     

24,972,271

   

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



SPDR S&P MidCap 400 ETF Trust
Schedule of Investments (continued)
September 30, 2012

Common Stock

 

Shares

 

Value

 

Shaw Group, Inc.*

   

569,793

   

$

24,854,371

   

Signature Bank/New York NY*

   

404,584

     

27,139,495

   

Signet Jewelers Ltd.

   

698,403

     

34,054,130

   

Silgan Holdings, Inc.

   

425,642

     

18,519,683

   

Silicon Laboratories, Inc.*

   

331,765

     

12,195,681

   

Skyworks Solutions, Inc.*

   

1,647,633

     

38,826,472

   

SL Green Realty Corp.

   

778,340

     

62,321,684

   

SM Energy Co.

   

562,492

     

30,436,442

   

Smithfield Foods, Inc.*

   

1,161,486

     

22,823,200

   

Solarwinds, Inc.*

   

525,321

     

29,281,393

   

Solera Holdings, Inc.

   

603,797

     

26,488,574

   

Sonoco Products Co.

   

868,901

     

26,927,242

   

Sotheby's

   

585,063

     

18,429,485

   

SPX Corp.

   

437,979

     

28,648,206

   

StanCorp Financial Group, Inc.

   

380,935

     

11,900,409

   

Steel Dynamics, Inc.

   

1,892,186

     

21,249,249

   

STERIS Corp.

   

501,531

     

17,789,305

   

Strayer Education, Inc.

   

102,517

     

6,596,969

   

Superior Energy Services, Inc.*

   

1,356,712

     

27,839,730

   

Supervalu, Inc.

   

1,844,872

     

4,446,142

   

SVB Financial Group*

   

383,424

     

23,181,815

   

Synopsys, Inc.*

   

1,287,486

     

42,512,788

   

Synovus Financial Corp.

   

6,790,956

     

16,094,566

   

Taubman Centers, Inc.

   

532,663

     

40,871,232

   

TCF Financial Corp.

   

1,406,736

     

16,796,428

   

Tech Data Corp.*

   

325,951

     

14,765,580

   

Techne Corp.

   

298,893

     

21,502,362

   

Teleflex, Inc.

   

352,812

     

24,287,578

   

Telephone & Data Systems, Inc.

   

872,226

     

22,337,708

   

Tellabs, Inc.

   

2,981,341

     

10,553,947

   

Tempur-Pedic International, Inc.*

   

514,097

     

15,366,359

   

Terex Corp.*

   

954,007

     

21,541,478

   

Thor Industries, Inc.

   

379,065

     

13,767,641

   

Thoratec Corp.*

   

507,859

     

17,571,921

   

TIBCO Software, Inc.*

   

1,329,407

     

40,187,974

   

Tidewater, Inc.

   

430,184

     

20,876,830

   

Timken Co.

   

697,445

     

25,917,056

   

Toll Brothers, Inc.*

   

1,292,446

     

42,947,981

   

Tootsie Roll Industries, Inc.

   

177,798

     

4,796,990

   

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



SPDR S&P MidCap 400 ETF Trust
Schedule of Investments (continued)
September 30, 2012

Common Stock

 

Shares

 

Value

 

Towers Watson & Co., Class A

   

493,927

   

$

26,202,827

   

Tractor Supply Co.

   

612,037

     

60,524,339

   

Trimble Navigation Ltd.*

   

1,085,176

     

51,719,488

   

Trinity Industries, Inc.

   

682,062

     

20,441,398

   

Triumph Group, Inc.

   

431,035

     

26,952,619

   

Trustmark Corp.

   

559,282

     

13,612,924

   

Tupperware Brands Corp.

   

481,015

     

25,777,594

   

tw Telecom, Inc., Class A*

   

1,304,071

     

33,997,131

   

UDR, Inc.

   

2,160,164

     

53,615,270

   

UGI Corp.

   

970,991

     

30,828,964

   

Under Armour, Inc., Class A*

   

667,401

     

37,260,998

   

Unit Corp.*

   

373,347

     

15,493,901

   

United Rentals, Inc.*

   

800,336

     

26,178,991

   

United Therapeutics Corp.*

   

415,260

     

23,204,729

   

Universal Corp.

   

201,743

     

10,272,754

   

Universal Health Services, Inc., Class B

   

761,287

     

34,813,655

   

URS Corp.

   

663,556

     

23,430,162

   

UTI Worldwide, Inc.

   

895,700

     

12,065,079

   

Valassis Communications, Inc.*

   

343,399

     

8,478,521

   

Valley National Bancorp

   

1,704,618

     

17,080,272

   

Valmont Industries, Inc.

   

202,083

     

26,573,915

   

Valspar Corp.

   

728,883

     

40,890,336

   

ValueClick, Inc.*

   

609,408

     

10,475,724

   

VCA Antech, Inc.*

   

757,674

     

14,948,908

   

Vectren Corp.

   

708,461

     

20,261,985

   

Verifone Systems, Inc.*

   

930,791

     

25,922,529

   

Vertex Pharmaceuticals, Inc.*

   

1,863,177

     

104,244,753

   

Vishay Intertechnology, Inc.*

   

1,137,991

     

11,186,452

   

Wabtec Corp.

   

413,459

     

33,196,623

   

Waddell & Reed Financial, Inc., Class A

   

740,952

     

24,280,997

   

Warnaco Group, Inc.*

   

352,864

     

18,313,642

   

Washington Federal, Inc.

   

919,430

     

15,336,092

   

Waste Connections, Inc.

   

1,063,703

     

32,177,016

   

Watsco, Inc.

   

256,004

     

19,402,543

   

Webster Financial Corp.

   

622,181

     

14,745,690

   

Weingarten Realty Investors

   

963,143

     

27,073,950

   

WellCare Health Plans, Inc.*

   

372,078

     

21,041,011

   

Wendy's Co.

   

2,428,880

     

11,051,404

   

Werner Enterprises, Inc.

   

383,831

     

8,202,468

   

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



SPDR S&P MidCap 400 ETF Trust
Schedule of Investments (continued)
September 30, 2012

Common Stock

 

Shares

 

Value

 

Westamerica Bancorporation

   

237,984

   

$

11,197,147

   

Westar Energy, Inc.

   

1,090,554

     

32,345,832

   

WGL Holdings, Inc.

   

445,271

     

17,922,158

   

Williams-Sonoma, Inc.

   

747,800

     

32,880,766

   

WMS Industries, Inc.*

   

470,122

     

7,700,598

   

Woodward, Inc.

   

522,162

     

17,743,065

   

World Fuel Services Corp.

   

622,155

     

22,154,940

   

Worthington Industries, Inc.

   

449,160

     

9,728,806

   

WR Berkley Corp.

   

959,019

     

35,953,622

   

Wright Express Corp.*

   

333,844

     

23,275,604

   

Zebra Technologies Corp., Class A*

   

446,201

     

16,750,386

   
Total Investments Before Securities Sold,
Not Yet Purchased (Cost $11,775,336,816)
 

   

10,002,211,249

   

Securities Sold, Not Yet Purchased†

         

Common Stocks

         

Penair, Inc. *

   

(7,700

)

   

(342,727

)

 

RadioShack Corp.

   

(7,720

)

   

(18,374

)

 
Total Securities Sold, Not Yet Purchased
[Cost $(361,101)]
 

   

(361,101

)

 
Total Investments Net of Securities Sold,
Not Yet Purchased (Cost $11,774,975,715)
     

$

10,001,850,148

   

(*)  Non-income producing security for the year ended September 30, 2012.

†  Although the Fund does not generally sell securities it does not own, from time to time, withdrawals in kind and/or basket trades in response to changes in the target portfolio may result in the Fund temporarily holding short positions. Such short position may result in the Fund having risk in excess of the amount reflected in the statement of assets and liabilities.

The securities of the SPDR S&P MidCap ETF Trust's, investment portfolio categorized by industry group, as a percentage of total investments at value, are as follows:

Industry Classification

 

Value

 

Percentage

 

REITS

 

$

889,197,160

     

8.89

%

 

Retail

   

698,773,237

     

6.99

%

 

Commercial Services

   

541,038,422

     

5.41

%

 

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



SPDR S&P MidCap 400 ETF Trust
Schedule of Investments (continued)
September 30, 2012

Industry Classification

 

Value

 

Percentage

 

Insurance

 

$

458,149,607

     

4.58

%

 

Banks

   

380,577,187

     

3.81

%

 

Software

   

374,227,728

     

3.74

%

 

Healthcare-Products

   

350,342,286

     

3.50

%

 

Electric

   

314,036,720

     

3.14

%

 

Oil & Gas

   

300,416,239

     

3.00

%

 

Chemicals

   

278,466,146

     

2.78

%

 

Electronics

   

264,712,889

     

2.65

%

 

Biotechnology

   

261,359,659

     

2.61

%

 

Computers

   

257,757,226

     

2.58

%

 

Miscellaneous Manufacturing

   

254,791,805

     

2.54

%

 

Internet

   

225,556,636

     

2.26

%

 

Healthcare-Services

   

223,872,561

     

2.24

%

 

Transportation

   

220,364,872

     

2.20

%

 

Diversified Financial Services

   

207,513,992

     

2.07

%

 

Machinery-Diversified

   

200,232,970

     

2.00

%

 

Gas

   

199,219,597

     

1.99

%

 

Semiconductors

   

193,232,318

     

1.93

%

 

Food

   

187,823,962

     

1.88

%

 

Electrical Components & Equipment

   

165,579,973

     

1.66

%

 

Telecommunications

   

162,293,200

     

1.62

%

 

Household Products/Wares

   

139,377,468

     

1.39

%

 

Packaging & Containers

   

131,873,079

     

1.32

%

 

Apparel

   

117,739,243

     

1.18

%

 

Engineering & Construction

   

115,701,082

     

1.16

%

 

Home Builders

   

114,231,953

     

1.14

%

 

Aerospace/Defense

   

110,507,196

     

1.10

%

 

Oil&Gas Services

   

106,791,298

     

1.07

%

 

Building Materials

   

104,517,814

     

1.04

%

 

Distribution/Wholesale

   

102,841,165

     

1.03

%

 

Media

   

102,508,463

     

1.02

%

 

Pharmaceuticals

   

101,998,954

     

1.02

%

 

Savings & Loans

   

100,616,831

     

1.01

%

 

Oil & Oil Services

   

94,747,115

     

0.95

%

 

Forest Products & Paper

   

89,232,364

     

0.89

%

 

Hand/Machine Tools

   

79,164,327

     

0.79

%

 

Iron/Steel

   

75,230,968

     

0.76

%

 

Metal Fabricate/Hardware

   

75,464,472

     

0.75

%

 

Mining

   

72,087,458

     

0.72

%

 

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



SPDR S&P MidCap 400 ETF Trust
Schedule of Investments (continued)
September 30, 2012

Industry Classification

 

Value

 

Percentage

 

Leisure Time

 

$

67,978,230

     

0.68

%

 

Environmental Control

   

62,196,374

     

0.62

%

 

Entertainment

   

59,669,491

     

0.60

%

 

Real Estate

   

39,841,169

     

0.40

%

 

Textiles

   

40,040,008

     

0.40

%

 

Specialty Retail

   

34,054,130

     

0.34

%

 

Airlines

   

30,742,452

     

0.31

%

 

Water

   

29,870,712

     

0.30

%

 

Beverages

   

26,468,948

     

0.26

%

 

Auto Manufacturers

   

21,704,042

     

0.22

%

 

Machinery-Construction & Mining

   

21,541,478

     

0.22

%

 

Office Furnishings

   

19,767,345

     

0.20

%

 

Advertising

   

17,623,549

     

0.18

%

 

Shipbuilding

   

17,974,693

     

0.18

%

 

Trucking & Leasing

   

17,184,593

     

0.17

%

 

Home Furnishings

   

15,366,358

     

0.15

%

 

Investment Companies

   

13,785,588

     

0.14

%

 

Coal

   

11,600,592

     

0.12

%

 

Agriculture

   

10,272,754

     

0.10

%

 

Grand Total

 

$

10,001,850,148

     

100.00

%

 

Various inputs are used in determining the value of the Trust's investments. These inputs are summarized in the three broad levels listed below.

Level 1 - quoted prices in active markets for identical securities

Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

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

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



SPDR S&P MidCap 400 ETF Trust
Schedule of Investments (continued)
September 30, 2012

The following is a summary of the inputs used as of September 30, 2012 in valuing the Trust's assets carried at fair value:

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets

 
Investment in Securities  

Common Stocks

 

$

10,002,211,249

   

$

   

$

   

$

10,002,211,249

   

Liabilities

 
Investment in Securities  

Common Stocks

 

$

(361,101

)

 

$

   

$

   

$

(361,101

)

 

Total

 

$

10,001,850,148

 

$

   

$

   

$

10,001,850,148

   

†  Please refer to the Industry Classification section of the Schedule of Investments for a breakdown of valuations by industry type.

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




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

   

September 30, 2012

 

Assets:

 

Investments in securities, at value (cost $11,775,336,816)

 

$

10,002,211,249

   

Cash

   

51,759,996

   

Receivable from securities sold

   

131,434,208

 
Receivable from units created     8,932,781    

Dividends receivable

   

12,816,805

   

Total Assets

 

$

10,207,155,039

   

Liabilities:

 

Payable for units redeemed

 

$

90,035,164

   
Payable for securities purchased     64,363,396    

Distribution payable

   

23,239,723

   

Payable to Sponsor

   

5,385,784

   

License fee payable

   

1,115,398

   

Accrued Trustee fees

   

837,823

   

Securites Sold, Not Yet Purchased

   

361,101

   

Other accrued expenses

   

510,448

   
Total Liabilities     185,848,837    

NET ASSETS

 

$

10,021,306,202

   

Net Assets Represented By:

 
Interest of Unitholders (55,652,179 units of fractional
undivided interest (Units) outstanding;
unlimited units authorized)
 

Paid in capital

 

$

13,029,132,502

   
Distributions in excess of net investment income     (17,994,903

)

 
Accumulated net realized loss on investments     (1,216,705,830

)

 
Unrealized depreciation of investments     (1,773,125,567

)

 

NET ASSETS

 

$

10,021,306,202

   
Shares of beneficial interest outstanding, unlimited
shares authorized:
   

55,652,179

   
Net asset value per share: (net assets/shares of
beneficial interest outstanding)
 

$

180.07

   

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



SPDR S&P MidCap 400 ETF Trust
Statements of Operations

   

Year Ended September 30,

 
   

2012

 

2011

 

2010

 

Investment income

 

Dividend income

  $

131,965,584

   

$

136,639,649

   

$

125,278,107

   

Expenses

 

Printing and distribution expenses

    10,234,881      

12,447,233

     

9,657,134

   
Trustee fees and expenses     9,789,974      

11,390,007

     

8,975,736

   

License fees

    2,837,025      

3,310,411

     

2,589,263

   

Audit fees

    105,071      

114,910

     

113,900

   

Legal fees

    574,417      

223,266

     

103,517

   

Other fees and expenses

    134,355      

156,373

     

182,504

   
Total expenses     23,675,723      

27,642,200

     

21,622,054

   
Less: voluntary fee reduction
by the Trustee (see Note 3)
    (33,910

)

   

(55,345

)

   

(44,859

)

 

Net expenses

    23,641,813      

27,586,855

     

21,577,195

   
Net investment income     108,323,771      

109,052,794

     

103,700,912

   
Realized and unrealized gains
(losses) on investments
 
Net realized losses     (262,352,358

)

   

(124,291,616

)

   

(293,975,833

)

 
Net realized gains from in-kind
redemptions
    848,723,406      

1,592,399,110

     

774,327,401

   
Net realized gains (losses)     586,371,048      

1,468,107,494

     

480,351,568

   
Net increase (decrease) in unrealized
appreciation (depreciation) of
investments
    1,547,505,058      

(1,416,482,818

)

   

686,290,567

   
Net realized and unrealized
gains (losses) on investments
    2,133,876,106      

51,624,676

     

1,166,642,135

   
Net increase (decrease) in
net assets resulting
from operations
  $

2,242,199,877

   

$

160,677,470

   

$

1,270,343,047

   

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



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

   

Year Ended September 30,

 
   

2012

 

2011

 

2010

 

Increase (Decrease) in Net Assets From:

 

Operations:

 

Net investment income

  $

108,323,771

   

$

109,052,794

   

$

103,700,912

   
Net realized gains (losses) on
investments and in-kind
redemptions
    586,371,048      

1,468,107,494

     

480,351,568

   
Net increase (decrease) in unrealized
appreciation (depreciation) on
investments
    1,547,505,058      

(1,416,482,818

)

   

686,290,567

   
Net increase (decrease) in net assets
resulting from operations
    2,242,199,877      

160,677,470

     

1,270,343,047

   

Dividends and Distributions to Unitholders from:

 

Net investment income

    (103,618,655

)

   

(107,883,857

)

   

(98,443,107

)

 

Unitholder Transactions:

 
Proceeds from subscriptions of
Trust Units
    17,249,824,419      

16,547,945,793

     

13,313,366,931

   
Reinvestment of dividends and
distributions
    216,856      

233,644

     

444,935

   

Less: Redemptions of Trust Units

    (17,097,873,234

)

   

(19,186,517,255

)

   

(12,115,633,927

)

 
Increase (decrease) in net assets due to
Unitholder transactions
    152,168,041      

(2,638,337,818

)

   

1,198,177,939

   

Total increase (decrease)

    2,290,749,263      

(2,585,544,205

)

   

2,370,077,879

   

Net Assets:

 

Beginning of year

    7,730,556,939      

10,316,101,144

     

7,946,023,265

   

End of year

  $

10,021,306,202

   

$

7,730,556,939

   

$

10,316,101,144

   
Distributions in excess of net
investment income
  $

(17,994,903

)

 

$

(22,700,019

)

 

$

(23,066,261

)

 

The accompanying notes are an integral part of these financial statements.
18



SPDR S&P MidCap 400 ETF Trust
Financial Highlights
Selected Data for a Trust Unit

   

Year Ended September 30,

 
   

2012

 

2011

 

2010

 

2009

 

2008

 
Net Asset Value, Beginning
of Year
  $

142.04

   

$

145.66

   

$

125.49

   

$

132.13

   

$

160.79

   

Investment Operations:

 
Net investment income*     1.94      

1.64

     

1.62

     

1.51

     

1.61

   
Net realized and
unrealized gains (losses)
on investments
    37.92      

(3.62

)

   

20.09

     

(6.48

)

   

(28.56

)

 

Total from Investment Operations

    39.86      

(1.98

)

   

21.71

     

(4.97

)

   

(26.95

)

 

Less Distributions from:

 

Net investment income

    (1.83

)

   

(1.64

)

   

(1.54

)

   

(1.67

)

   

(1.71

)

 

Net Asset Value, End of Year

  $

180.07

   

$

142.04

   

$

145.66

   

$

125.49

   

$

132.13

   
Total Investment Return**     28.16

%

   

(1.52

)%

   

17.37

%

   

(3.47

)%

   

(16.84

)%

 

Ratios and Supplemental Data

 
Net assets, end of
year (000's)
  $

10,021,306

   

$

7,730,557

   

$

10,316,101

   

$

7,946,023

   

$

8,345,964

   
Ratio of expenses to average
net assets(1)
    0.25

%

   

0.25

%

   

0.25

%

   

0.25

%

   

0.25

%

 
Ratio of net investment
income to average
net assets(1)
    1.15

%

   

0.99

%

   

1.20

%

   

1.50

%

   

1.08

%

 
Portfolio turnover rate(2)     14.17

%

   

17.91

%

   

14.93

%

   

24.59

%

   

28.95

%

 

(1)  Net of voluntary fee reduction by the Trustee. Before voluntary fee reduction by the Trustee, the net investment income and expenses to average net assets ratios would have been 1.15% and 0.25% for the year ended September 30, 2012, 0.99% and 0.25% for the year ended September 30, 2011, 1.20% and 0.25% for the year ended September 30, 2010, 1.50% and 0.25% for the year ended September 30, 2009 and 1.06% and 0.26% for the year ended September 30, 2008. (See Note 3).

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

*  Per share amounts have been calculated using the average share method.

**  Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption on the last day of the period.

The accompanying notes are an integral part of these financial statements.
19




SPDR S&P MidCap 400 ETF Trust
Notes to Financial Statements
September 30, 2011

Note 1 - Organization

SPDR® S&P MidCap 400® Trust ETF ("Trust") is a unit investment trust that issues securities called "Trust Units" or "Units." The Trust is organized under New York law and is governed by a trust agreement between The Bank of New York Mellon (formerly, The Bank of New York) ("Trustee") and PDR Services LLC ("Sponsor"), dated and executed as of April 27, 1995, as amended ("Trust Agreement"). The Trust is an investment company registered under the Investment Company Act of 1940. Trust Units represent an undivided ownership interest in a portfolio of all of the common stocks of the Standard & Poor's MidCap 400 IndexTM ("S&P MidCap 400 Index").

Note 2 - Summary of Significant Accounting Policies

The financial statements of the Trust are prepared in accordance with accounting principles generally accepted in the United States of America ("GAAP").

The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from these estimates. The following is a summary of significant accounting policies followed by the Trust.

Security Valuation - Trust securities are generally valued based on the closing sale price on that day (unless the Trustee deems such price inappropriate as a basis for evaluation) on the exchange deemed to be the principal market for the security or, if there is no such appropriate closing sale price on such exchange, at the closing bid price (unless the Trustee deems such price inappropriate as a basis for evaluation). If the securities are not listed or, if so listed and the principal market therefore is other than on such exchange or there is no such closing bid price available, such evaluation shall generally be made by the Trustee in good faith based on the closing price on the over-the-counter market (unless the Trustee deems such price inappropriate as a basis for evaluation) or if there is no such appropriate closing price, (a) on current bid prices, (b) if bid prices are not available, on the basis of current bid prices for comparable securities, (c) by the Trustee's appraising the value of the securities in good faith on the bid side of the market, or (d) by any combination thereof.

The Trust follows authoritative guidance for fair value measurements. The guidance 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. These levels of inputs are summarized at the end of the Schedule of Investments.

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


20



date. The Trust records distributions received in excess of income from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates. If actual amounts are not available then actual amounts of income, realized gain and return of capital may differ from the estimated amounts.

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

U.S. Federal Income Tax - For U.S. federal income tax purposes, the Trust has qualified as a "regulated investment company" under Subchapter M of the Internal Revenue Code of 1986, as amended (a "RIC") and intends to continue to qualify as a RIC. As a RIC, the Trust will generally not be subject to U.S. federal income tax for any taxable year on income, including net capital gains, that it distributes to the holders of Units, provided that it distributes on a timely basis at least 90% of its "investment company taxable income" (generally, its taxable income other than net capital gain) for such taxable year. In addition, provided the Trust distributes during each calendar year substantially all of its ordinary income and capital gains, the Trust will not be subject to U.S. federal excise tax.

GAAP requires the evaluation of tax positions taken in the course of preparing the Trust's tax returns to determine whether the tax positions are "more-likely-than-not" to be sustained by the applicable tax authority. Tax benefits of positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax expense in the current year. The Trustee has reviewed the tax positions for the tax years subject to audit as of September 30, 2012, and has determined that no provision for income taxes is necessary for the year ended September 30, 2012. The tax returns of the Trust's 2009, 2010, and 2011 tax years and the year ended September 30, 2012 remain subject to audit. The Trust has no unrecognized tax benefits as of September 30, 2012.

Note 3 - Transactions with the Trustee and Sponsor

In accordance with the Trust Agreement, The Bank of New York Mellon (the "Trustee") maintains the Trust's accounting records, acts as custodian and transfer agent to the Trust, and provides administrative services, including filing of all required regulatory reports. The Trustee is also responsible for determining the composition of the portfolio of securities which must be delivered in exchange for the issuance of Creation Units of the Trust, and for adjusting the composition of the Trust's portfolio from time to time to conform to changes in the composition and/or weighting structure of the S&P MidCap 400 Index. For these services, the Trustee receives a fee based on the following annual rates:

Net Asset Value of the Trust

 

Fee as a Percentage of
Net Asset Value of the Trust

 

$0-$500,000,000*

 

0.14% per annum

 

$500,000,001-$1,000,000,000*

 

0.12% per annum

 

$1,000,000,001 and above*

 

0.10% per annum

 

*  The fee indicated applies to that portion of the net asset value of the Trust, which falls in the size category indicated.


21



The Trustee voluntarily agreed to reduce its fee for the years ended September 30, 2012, 2011, and 2010 as disclosed in the Statements of Operations. The amount of the reduction equals the Federal Funds Rate, as published in the Wall Street Journal, multiplied by the daily balance of the Trust's cash account, reduced by the amount of reserves for that account required by the Federal Reserve Board of Governors. The Trustee reserves the right to discontinue this voluntary fee reduction in the future.

PDR Services LLC (the "Sponsor," a wholly-owned subsidiary of NYSE Amex LLC, an indirect wholly-owned subsidiary of NYSE Euronext) agreed to reimburse the Trust for, or assume, the ordinary operating expenses of the Trust, to the extent such expenses exceed 0.30% per annum of the daily net asset value of the Trust as calculated by the Trustee. There were no expenses assumed by the Sponsor for the years ended September 30, 2012, 2011 and 2010.

The Sponsor retains the ability to be repaid by the Trust for expenses so reimbursed or assumed to the extent that subsequently during the year expenses fall below the expense limitation described above on any given day. At September 30, 2012, there is no outstanding amount to be repaid by the Trust to the Sponsor for expenses so reimbursed or assumed.

Note 4 - Trust Transactions in Units

Transactions in Trust Units were as follows:

   

Year Ended September 30, 2012

 

Year Ended September 30, 2011

 

 

Units

 

Amount

 

Units

 

Amount

 
Units sold    

103,600,000

   

$

17,249,824,419

     

101,250,000

   

$

16,547,945,793

   
Dividend reinvestment
Units issued
   

1,269

     

216,856

     

1,380

     

233,644

   
Units redeemed    

(102,375,000

)

   

(17,097,873,234

)

   

(117,650,000

)

   

(19,186,517,255

)

 
Net increase/(decrease)    

1,226,269

   

$

152,168,041

     

(16,398,620

)

 

$

(2,638,337,818

)

 

 

   

Year Ended September 30, 2010

 
   

Units

 

Amount

 

Units sold

   

97,300,000

   

$

13,313,366,931

   
Dividend reinvestment
Units issued
   

3,479

     

444,935

   

Units redeemed

   

(89,800,000

)

   

(12,115,633,927

)

 

Net increase/(decrease)

   

7,503,479

   

$

1,198,177,939

   

Except under the Trust's dividend reinvestment plan, Units are issued and redeemed by the Trust for authorized participants only in Creation Units of 25,000 Units. Such transactions are permitted only on an in-kind basis, with a balancing cash component to equate the transaction to the net asset value per Unit of the Trust on the transaction date. Transaction fees, in the amount of the lesser of 0.20% of current market value of one Creation Unit or $3,000, are charged to those persons creating or redeeming Creation Units. Transaction fees are received by the Trustee


22



directly from the authorized participants and used to offset the expense of processing orders. During the year ended September 30, 2012, the Trustee earned $1,104,000 in transaction fees. The Trustee, in its sole discretion, may voluntarily reduce or waive its fee, or modify its transaction fee schedule, subject to certain limitations. There were no reductions or waivers of such fees for the year ended September 30, 2012.

At September 30, 2012, the Trustee and its affiliates held $1,145,176,053, or 11.43% of fractional undivided interest in the Trust.

Note 5 - Investment Transactions

For the year ended September 30, 2012 the Trust had net in-kind contributions, net in-kind redemptions, purchases and sales of investment securities of $17,234,668,645, $17,083,051,151, $1,371,019,420 and $1,337,349,679, respectively.

Note 6 - U.S. Federal Income Tax Status

The following details the tax basis distributions and components of distributable earnings as of September 30, 2012. The tax basis components of distributable earnings differ from the amounts reflected in the Statement of Assets and Liabilities by temporary book/tax differences primarily arising from wash sales, distribution payable, post-October losses deferred and amortization of license fees.

Cost of investments for federal income tax purposes

 

$

11,870,352,041

   

Gross unrealized appreciation

 

$

199,192,039

   
Gross unrealized depreciation    

(2,067,332,831

)

 

Net unrealized depreciation

 

$

(1,868,140,792

)

 

Distributable earnings, ordinary income

 

$

22,495,903

   

Capital loss carryforwards expiring:

 
9/30/16  

$

(9,130,465

)

 

9/30/17

   

(163,881,388

)

 

9/30/18

   

(709,669,042

)

 
   

$

(882,680,895

)

 

Short Term Losses expiring:

 
n/a    

3,718,271

   

For the year ended September 30, 2012, the Trust expired $(80,183,853) of capital loss carryforwards.

To the extent that capital losses are used to offset future capital gains, it is probable that gains that offset will not be distributed to Unitholders.

Under the recently enacted Regulated Investment Company Modernization Act of 2010, the Trust will be permitted to carry forward capital losses incurred in


23



taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this ordering rule, pre-enactment capital loss carryforwards may have an increased likelihood to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term losses rather than being considered all short-term as under previous law.

At September 30, 2012 the Trust deferred $235,291,439 of capital losses arising subsequent to October 31, 2011. For tax purposes, such losses will be reflected in the year ending September 30, 2013.

The tax composition of dividends paid during the years ending September 30, 2012, September 30, 2011 and September 30, 2010 was ordinary income.

As of September 30, 2012, the Trust had permanent book/tax differences primarily attributable to gains or losses from in-kind redemptions, expiration of capital loss carryforwards and distributions received from real estate investment trusts. To reflect reclassifications arising from these differences, accumulated net realized loss on investments was increased by $642,525,082 and paid-in capital was increased by $642,525,082.

Note 7 - Representations and Indemnifications

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

Note 8 - Related Party Transactions

The Trustee directs all portfolio securities transactions for the Trust to BNY ConvergExecution Solutions, LLC ("ConvergEx"), an affiliate of the Trustee. During the fiscal years ended September 30, 2012, 2011 and 2010, the Trust paid $1,709,461, $2,829,012 and $2,802,928, respectively, in commissions on trades to ConvergEx.

Note 9 - License Agreement

The License Agreement grants State Street Global Markets, LLC ("SSGM") a license to use the S&P MidCap 400 Index as a basis for determining the composition of the Portfolio and to use certain trade names and trademarks of S&P in connection with the Portfolio. The Trustee on behalf of the Trust, the Sponsor and the Exchange have each received a sublicense from SSGM for the use of the S&P MidCap 400 Index and such trade names and trademarks in connection with their rights and duties with respect to the Trust. The License Agreement may be amended without the consent of any of the Beneficial Owners of Trust Units.


24



Currently, the License Agreement is scheduled to terminate on April 27, 2020, but its term may be extended beyond such date without the consent of any of the Beneficial Owners of Trust Units.

Subsequent Event

On September 15, 2012, a dividend was declared. The distribution of $0.41 per share is payable on October 31, 2012, to Unitholders of record at the close of business on September 25, 2012. The ex-dividend date is September 21, 2012.

The Trustee has evaluated subsequent transactions and events after the balance sheet date through the date on which these financial statements were issued and, except as already included in the notes to the financial statements, has determined that no additional items require disclosure.


25



REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

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

In our opinion, the accompanying statement of assets and liabilities, including the schedule 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 SPDR S&P MidCap 400 ETF Trust (the "Trust") at September 30, 2012, the results of its operations and the changes in its net assets for each of the three years in the period then ended, and the financial highlights for each of the five years in the period then ended, 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 audit 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 brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
New York, New York
December 27, 2012


26



ESSENTIAL INFORMATION AS OF SEPTEMBER 30, 2012*

Total Trust Assets:

  $10,207,155,039  

Trust Net Assets:

  $10,021,306,202  

Number of Units:

 

55,652,179

 

Fractional Undivided Interest in Trust Represented by each Unit:

 

1/55,652,179

 

Record Date:

 

Quarterly, on the second (2nd) Business Day after the third Friday in each of March, June, September and December.

 

Dividend Payment Dates:

 

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

 

Trustee's Annual Fee:

 

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

 

Estimated Ordinary Operating Expenses of the Trust:

 

0.25% (inclusive of Trustee's annual fee)

 

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

  $180.07  

Evaluation Time:

 

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

 

Licensor:

 

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

 

Mandatory Termination Date:

 

The first to occur of (i) April 27, 2020 or (ii) the date 20 years after the death of the last survivor of eleven persons named in the Trust Agreement, the oldest of whom was born in 1990 and the youngest of whom was born in 1993.

 

Discretionary Termination:

 

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

 

*  The Trust Agreement became effective and the initial deposit was made on April 27, 1995 (the "Initial Date of Deposit").


27



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

Five Year Period Ending 9/30/2012

Premium/Discount Range

  Number of
Trading Days
  Percentage of
Total Trading Days
 
Greater than 0.25%     

43

     

3.42

%

 
Between zero and 0.25%     

530

     

42,10

%

 
Bid/Ask Price Equal to NAV     

7

     

.55

%

 
Between zero and -0.25%     

649

     

51.55

%

 
Less than -0.25%     

30

     

2.38

%

 
Total:     

1,259

     

100.00

%

 

Comparision of Total Returns Based on NAV and Bid/Ask Price(1)(2)
From Inception to 9/30/12 (Unaudited)

Cumulative Total Return

 

1 Year

 

5 Year

 

10 Year

  Since
Inception
 

SPDR S&P MidCap 400 ETF Trust

 
Return Based on NAV    

28.16

%

   

18.92

%

   

169.98

%

   

532.41

%

 
Return Based on Bid/Ask Price    

27.98

%

   

18.69

%

   

171.16

%

   

531.88

%

 

S&P MidCap 400 Index

   

28.54

%

   

20.66

%

   

178.05

%

   

1002.58

%

 

Annualized Total Return

 

1 Year

 

5 Year

 

10 Year

  Since
Inception
 

SPDR S&P MidCap 400 ETF Trust

 
Return Based on NAV    

28.16

%

   

3.53

%

   

10.44

%

   

11.16

%

 
Return Based on Bid/Ask Price    

27.98

%

   

3.49

%

   

10.49

%

   

11.16

%

 

S&P MidCap 400 Index

   

28.54

%

   

3.83

%

   

10.77

%

   

11.96

%

 

(1)  Since December 1, 2008 the Bid/Ask Price was the midpoint of the NYSE Arca Bid/Ask price at the time the Trust's NAV was calculated. From April 1, 2001 to November 28, 2008, the Bid/Ask Price was the midpoint of the Bid/Ask price on NYSE Amex (formerly the American Stock Exchange), ordinarily 4:00 p.m. Prior to April 1, 2001, the Bid/Ask Price was the midpoint of the Bid/Ask price on the close of trading on the American Stock Exchange, ordinarily 4:15 p.m.

(2)  Average Annual Return and Cumulative Total Return for the period since inception is calculated from the inception date of April 27, 1995.


28



SPDR S&P MidCap 400 ETF Trust

Sponsor

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

Trustee

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

Distributor

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

Independent Registered Public Accounting Firm

PricewaterhouseCoopers LLP
PricewaterhouseCoopers Center
300 Madison Avenue
New York, NY 10017

Legal Counsel

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


29



NOTES