nv30d
SPDR®
Dow Jones Industrial
AverageSM
ETF Trust
(SPDR DJIA
TRUST)
A Unit Investment
Trust
Annual Report
October 31, 2011
Dow Jones Industrial
Averagesm,
DJIA®,
Dow
Jones®
and The
Dow®
are trademarks and service marks of Dow Jones &
Company, Inc. (Dow Jones) and have been licensed for
use for certain purposes by State Street Global Markets, LLC
pursuant to a License Agreement with Dow Jones and
have been sublicensed for use for certain purposes to the Trust,
PDR Services LLC and NYSE Arca, Inc. pursuant to separate
Sublicenses. SPDR DJIA Trust is not sponsored,
endorsed, sold or promoted by Dow Jones and Dow Jones makes no
representation regarding the advisability of investing in the
Trust.
SPDR is a registered trademark of
Standard & Poors Financial Services LLC
(S&P) and has been licensed for use by State
Street Corporation. No financial product offered by State Street
Corporation or its affiliates is sponsored, endorsed, sold or
promoted by S&P or its affiliates, and S&P and its
affiliates make no representation, warranty or condition
regarding the advisability of buying, selling or holding units/
shares in such products.
Precise
in a world that
isnt. sm
SPDR Dow Jones Industrial
Average ETF Trust
Trust Overview
OBJECTIVE:
The SPDR Dow Jones Industrial Average ETF Trust (the
Trust) is an exchange traded fund designed to
generally correspond to the price and yield performance of the
Dow Jones Industrial Average (the Index).
STRATEGY:
To accomplish this, the Trust utilizes a full replication
approach. With this strategy, all component securities of the
Index are owned by the Trust in their relative weight. A
replication management approach should result in low expected
tracking error of the Trust relative to its benchmark.
PERFORMANCE
OVERVIEW:
The Trust ended its fiscal year on October 31, 2011 with a
12-month
total return of 10.17% on net asset value as compared to the
Index return of 10.39%.
The Trusts performance reflects the operating expenses of
the Trust, including brokerage and Trustee fees. The Index
returns do not reflect fees and expenses of any kind, which
would have a negative impact on returns.
1
SPDR Dow Jones Industrial
Average ETF Trust
Schedule of
Investments
October 31, 2011
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Common Stocks
|
|
Shares
|
|
|
Value
|
|
|
|
|
3M Co.
|
|
|
7,010,850
|
|
|
$
|
553,997,367
|
|
Alcoa, Inc.
|
|
|
7,010,850
|
|
|
|
75,436,746
|
|
American Express Co.
|
|
|
7,010,850
|
|
|
|
354,889,227
|
|
AT&T, Inc.
|
|
|
7,010,850
|
|
|
|
205,488,013
|
|
Bank of America Corp.
|
|
|
7,010,850
|
|
|
|
47,884,106
|
|
Caterpillar, Inc.
|
|
|
7,010,850
|
|
|
|
662,244,891
|
|
Chevron Corp.
|
|
|
7,010,850
|
|
|
|
736,489,792
|
|
Cisco Systems, Inc.
|
|
|
7,010,850
|
|
|
|
129,911,051
|
|
E. I. du Pont de Nemours & Co.
|
|
|
7,010,850
|
|
|
|
337,011,560
|
|
Exxon Mobil Corp.
|
|
|
7,010,850
|
|
|
|
547,477,276
|
|
General Electric Co.
|
|
|
7,010,850
|
|
|
|
117,151,304
|
|
Hewlett-Packard Co.
|
|
|
7,010,850
|
|
|
|
186,558,719
|
|
Intel Corp.
|
|
|
7,010,850
|
|
|
|
172,046,259
|
|
International Business Machines Corp.
|
|
|
7,010,850
|
|
|
|
1,294,413,235
|
|
Johnson & Johnson
|
|
|
7,010,850
|
|
|
|
451,428,631
|
|
JPMorgan Chase & Co.
|
|
|
7,010,850
|
|
|
|
243,697,146
|
|
Kraft Foods, Inc. (Class A)
|
|
|
7,010,850
|
|
|
|
246,641,703
|
|
McDonalds Corp.
|
|
|
7,010,850
|
|
|
|
650,957,422
|
|
Merck & Co., Inc.
|
|
|
7,010,850
|
|
|
|
241,874,325
|
|
Microsoft Corp.
|
|
|
7,010,850
|
|
|
|
186,698,936
|
|
Pfizer, Inc.
|
|
|
7,010,850
|
|
|
|
135,028,971
|
|
The Boeing Co.
|
|
|
7,010,850
|
|
|
|
461,243,821
|
|
The
Coca-Cola
Co.
|
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7,010,850
|
|
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|
478,981,272
|
|
The Home Depot, Inc.
|
|
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7,010,850
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|
|
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250,988,430
|
|
The Procter & Gamble Co.
|
|
|
7,010,850
|
|
|
|
448,624,291
|
|
The Travelers Cos., Inc.
|
|
|
7,010,850
|
|
|
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409,083,098
|
|
The Walt Disney Co.
|
|
|
7,010,850
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|
|
|
244,538,448
|
|
United Technologies Corp.
|
|
|
7,010,850
|
|
|
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546,706,083
|
|
Verizon Communications, Inc.
|
|
|
7,010,850
|
|
|
|
259,261,233
|
|
Wal-Mart Stores, Inc.
|
|
|
7,010,850
|
|
|
|
397,655,412
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Common Stocks(a)
(Cost $12,651,552,724)
|
|
|
|
|
|
$
|
11,074,408,768
|
|
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|
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|
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|
(a) |
The values of the securities of the Trust are determined based
on Level 1 inputs. (Note 2)
|
See accompanying notes to financial statements.
2
SPDR Dow Jones Industrial
Average ETF Trust
Schedule of Investments
(continued)
October 31, 2011
INDUSTRY BREAKDOWN AS OF
OCTOBER 31, 2011*
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|
PERCENT OF
|
|
|
INDUSTRY
|
|
NET ASSETS**
|
|
|
|
|
|
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IT Services
|
|
|
11.68
|
|
%
|
Oil, Gas & Consumable Fuels
|
|
|
11.59
|
|
|
Aerospace & Defense
|
|
|
9.10
|
|
|
Pharmaceuticals
|
|
|
7.48
|
|
|
Industrial Conglomerates
|
|
|
6.06
|
|
|
Machinery
|
|
|
5.98
|
|
|
Hotels, Restaurants & Leisure
|
|
|
5.87
|
|
|
Beverages
|
|
|
4.32
|
|
|
Diversified Telecommunication Services
|
|
|
4.19
|
|
|
Household Products
|
|
|
4.05
|
|
|
Insurance
|
|
|
3.69
|
|
|
Food & Staples Retailing
|
|
|
3.59
|
|
|
Consumer Finance
|
|
|
3.20
|
|
|
Chemicals
|
|
|
3.04
|
|
|
Diversified Financial Services
|
|
|
2.63
|
|
|
Specialty Retail
|
|
|
2.27
|
|
|
Food Products
|
|
|
2.23
|
|
|
Media
|
|
|
2.21
|
|
|
Software
|
|
|
1.68
|
|
|
Computers & Peripherals
|
|
|
1.68
|
|
|
Semiconductors & Semiconductor Equipment
|
|
|
1.55
|
|
|
Communications Equipment
|
|
|
1.17
|
|
|
Metals & Mining
|
|
|
0.68
|
|
|
Other Assets & Liabilities
|
|
|
0.06
|
|
|
|
|
|
|
|
|
Total
|
|
|
100.00
|
|
%
|
|
|
|
|
|
|
|
|
*
|
SPDR DJIA Trusts industry breakdown is expressed as a
percentage of Total Net Assets and may change over time.
|
|
**
|
Each security is valued based on Level 1 inputs.
(Note 2)
|
See accompanying notes to financial statements.
3
SPDR Dow Jones Industrial
Average ETF Trust
Statement of Assets and
Liabilities
October 31, 2011
|
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|
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|
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ASSETS
|
|
|
|
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Investments in securities, at value
|
|
$
|
11,074,408,768
|
|
Cash
|
|
|
14,676,691
|
|
Receivable for units of fractional undivided interest
(Units) issued in-kind
|
|
|
12,589
|
|
Dividends receivable
|
|
|
13,994,878
|
|
|
|
|
|
|
Total Assets
|
|
|
11,103,092,926
|
|
|
|
|
|
|
|
|
|
|
|
LIABILITIES
|
|
|
|
|
Income distribution payable
|
|
|
16,715,237
|
|
Accrued Trustee expense
|
|
|
518,368
|
|
Accrued expenses and other liabilities
|
|
|
5,195,062
|
|
|
|
|
|
|
Total Liabilities
|
|
|
22,428,667
|
|
|
|
|
|
|
NET ASSETS
|
|
$
|
11,080,664,259
|
|
|
|
|
|
|
|
|
|
|
|
NET ASSETS CONSIST OF:
|
|
|
|
|
Paid in Capital (Note 4)
|
|
$
|
14,175,120,930
|
|
Undistributed net investment income
|
|
|
163,512
|
|
Accumulated net realized loss on investments
|
|
|
(1,517,476,227
|
)
|
Net unrealized depreciation on investments
|
|
|
(1,577,143,956
|
)
|
|
|
|
|
|
NET ASSETS
|
|
$
|
11,080,664,259
|
|
|
|
|
|
|
|
|
|
|
|
NET ASSET VALUE PER UNIT
|
|
$
|
119.28
|
|
|
|
|
|
|
UNITS OUTSTANDING, UNLIMITED UNITS AUTHORIZED, $0.00 PAR
VALUE
|
|
|
92,892,867
|
|
|
|
|
|
|
|
|
|
|
|
COST OF INVESTMENTS
|
|
$
|
12,651,552,724
|
|
|
|
|
|
|
See accompanying notes to financial statements.
4
SPDR Dow Jones Industrial
Average ETF Trust
Statements of
Operations
|
|
|
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|
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|
|
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|
|
For the Year Ended
|
|
|
For the Year Ended
|
|
|
For the Year Ended
|
|
|
|
October 31, 2011
|
|
|
October 31, 2010
|
|
|
October 31, 2009
|
|
|
INVESTMENT INCOME
|
|
|
|
|
|
|
|
|
|
|
|
|
Dividend income
|
|
$
|
245,115,563
|
|
|
$
|
222,616,182
|
|
|
$
|
258,082,109
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
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|
|
EXPENSES
|
|
|
|
|
|
|
|
|
|
|
|
|
Trustee expense
|
|
|
5,743,266
|
|
|
|
5,170,959
|
|
|
|
4,465,047
|
|
Marketing expense
|
|
|
5,660,417
|
|
|
|
4,956,465
|
|
|
|
4,583,583
|
|
DJIA license fee
|
|
|
3,873,611
|
|
|
|
3,404,310
|
|
|
|
3,155,722
|
|
Legal and audit services
|
|
|
219,322
|
|
|
|
436,458
|
|
|
|
199,547
|
|
Other expenses
|
|
|
593,467
|
|
|
|
596,111
|
|
|
|
337,558
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Expenses
|
|
|
16,090,083
|
|
|
|
14,564,303
|
|
|
|
12,741,457
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NET INVESTMENT INCOME
|
|
|
229,025,480
|
|
|
|
208,051,879
|
|
|
|
245,340,652
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gain (loss) on investment transactions
|
|
|
684,673,417
|
|
|
|
56,806,457
|
|
|
|
(1,286,963,860
|
)
|
Net change in unrealized appreciation (depreciation)
|
|
|
(84,349,814
|
)
|
|
|
908,029,583
|
|
|
|
1,286,025,132
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
|
|
|
600,323,603
|
|
|
|
964,836,040
|
|
|
|
(938,728
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
|
|
$
|
829,349,083
|
|
|
$
|
1,172,887,919
|
|
|
$
|
244,401,924
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
5
SPDR Dow Jones Industrial
Average ETF Trust
Statements of Changes in Net
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the Year Ended
|
|
|
For the Year Ended
|
|
|
For the Year Ended
|
|
|
|
October 31, 2011
|
|
|
October 31, 2010
|
|
|
October 31, 2009
|
|
|
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS:
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
$
|
229,025,480
|
|
|
$
|
208,051,879
|
|
|
$
|
245,340,652
|
|
Net realized gain (loss) on investment transactions
|
|
|
684,673,417
|
|
|
|
56,806,457
|
|
|
|
(1,286,963,860
|
)
|
Net change in unrealized appreciation (depreciation)
|
|
|
(84,349,814
|
)
|
|
|
908,029,583
|
|
|
|
1,286,025,132
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS:
|
|
|
829,349,083
|
|
|
|
1,172,887,919
|
|
|
|
244,401,924
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NET EQUALIZATION CREDITS AND CHARGES
|
|
|
(718,146
|
)
|
|
|
(6,394,413
|
)
|
|
|
(12,761,900
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
DISTRIBUTIONS TO UNITHOLDERS FROM NET INVESTMENT INCOME
|
|
|
(251,674,959
|
)
|
|
|
(201,712,941
|
)
|
|
|
(231,359,719
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
INCREASE (DECREASE) IN NET ASSETS FROM UNIT TRANSACTIONS:
|
|
|
|
|
|
|
|
|
|
|
|
|
Net proceeds from sale of Units
|
|
|
21,998,536,680
|
|
|
|
13,886,085,189
|
|
|
|
24,458,446,137
|
|
Net proceeds from reinvestment of distributions
|
|
|
|
|
|
|
70,649
|
|
|
|
1,820,420
|
|
Cost of Units repurchased
|
|
|
(19,554,185,652
|
)
|
|
|
(14,187,655,154
|
)
|
|
|
(26,198,575,593
|
)
|
Net income equalization
|
|
|
718,146
|
|
|
|
6,394,413
|
|
|
|
12,761,900
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NET INCREASE (DECREASE) IN NET ASSETS FROM ISSUANCE AND
REDEMPTION OF UNITS
|
|
|
2,445,069,174
|
|
|
|
(295,104,903
|
)
|
|
|
(1,725,547,136
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NET INCREASE (DECREASE) IN NET ASSETS DURING PERIOD
|
|
|
3,022,025,152
|
|
|
|
669,675,662
|
|
|
|
(1,725,266,831
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NET ASSETS AT BEGINNING OF PERIOD
|
|
|
8,058,639,107
|
|
|
|
7,388,963,445
|
|
|
|
9,114,230,276
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NET ASSETS AT END OF PERIOD*
|
|
$
|
11,080,664,259
|
|
|
$
|
8,058,639,107
|
|
|
$
|
7,388,963,445
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
UNIT TRANSACTIONS:
|
|
|
|
|
|
|
|
|
|
|
|
|
Units sold
|
|
|
185,350,000
|
|
|
|
131,950,000
|
|
|
|
286,350,000
|
|
Units issued from reinvestment of distributions
|
|
|
|
|
|
|
679
|
|
|
|
21,340
|
|
Units redeemed
|
|
|
(164,900,000
|
)
|
|
|
(135,550,000
|
)
|
|
|
(308,100,000
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NET INCREASE (DECREASE)
|
|
$
|
20,450,000
|
|
|
$
|
(3,599,321
|
)
|
|
$
|
(21,728,660
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*Includes undistributed (distributions in excess of) net
investment income
|
|
$
|
163,512
|
|
|
$
|
22,812,991
|
|
|
$
|
16,474,053
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
6
SPDR Dow Jones Industrial
Average ETF Trust
Financial Highlights
Selected data for a Unit
outstanding throughout each period
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the Year
|
|
|
For the Year
|
|
|
For the Year
|
|
|
For the Year
|
|
|
For the Year
|
|
|
|
Ended
|
|
|
Ended
|
|
|
Ended
|
|
|
Ended
|
|
|
Ended
|
|
|
|
October 31,
|
|
|
October 31,
|
|
|
October 31,
|
|
|
October 31,
|
|
|
October 31,
|
|
|
|
2011
|
|
|
2010
|
|
|
2009
|
|
|
2008
|
|
|
2007
|
|
|
Net asset value, beginning of year
|
|
$
|
111.24
|
|
|
$
|
97.17
|
|
|
$
|
93.22
|
|
|
$
|
139.17
|
|
|
$
|
120.69
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Operations:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income(1)
|
|
|
2.88
|
|
|
|
2.64
|
|
|
|
2.76
|
|
|
|
2.96
|
|
|
|
2.85
|
|
Net realized and unrealized gain (loss)
|
|
|
8.37
|
|
|
|
14.14
|
|
|
|
4.01
|
|
|
|
(45.91
|
)
|
|
|
18.57
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total from investment operations
|
|
|
11.25
|
|
|
|
16.78
|
|
|
|
6.77
|
|
|
|
(42.95
|
)
|
|
|
21.42
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net equalization credits and charges(1)
|
|
|
(0.01
|
)
|
|
|
(0.08
|
)
|
|
|
(0.14
|
)
|
|
|
0.02
|
|
|
|
(0.24
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Less distributions from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
(3.20
|
)
|
|
|
(2.63
|
)
|
|
|
(2.68
|
)
|
|
|
(3.02
|
)
|
|
|
(2.70
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, end of year
|
|
$
|
119.28
|
|
|
$
|
111.24
|
|
|
$
|
97.17
|
|
|
$
|
93.22
|
|
|
$
|
139.17
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total investment return(2)
|
|
|
10.17
|
%
|
|
|
17.36
|
%
|
|
|
7.56
|
%
|
|
|
(31.23
|
)%
|
|
|
17.72
|
%
|
Ratios and supplemental data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratio to average net assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
2.43
|
%
|
|
|
2.52
|
%
|
|
|
3.21
|
%
|
|
|
2.49
|
%
|
|
|
2.19
|
%
|
Total expenses
|
|
|
0.17
|
%
|
|
|
0.18
|
%
|
|
|
0.17
|
%
|
|
|
0.17
|
%
|
|
|
0.16
|
%
|
Total expenses excluding Trustee earnings credit
|
|
|
0.17
|
%
|
|
|
0.18
|
%
|
|
|
0.17
|
%
|
|
|
0.17
|
%
|
|
|
0.14
|
%
|
Portfolio turnover rate(3)
|
|
|
0.00
|
%
|
|
|
0.12
|
%
|
|
|
5.39
|
%
|
|
|
11.27
|
%
|
|
|
1.45
|
%
|
Net assets, end of year (000s)
|
|
$
|
11,080,664
|
|
|
$
|
8,058,639
|
|
|
$
|
7,388,963
|
|
|
$
|
9,114,230
|
|
|
$
|
9,339,891
|
|
|
|
(1)
|
Per Unit numbers have been calculated using the average shares
method, which more appropriately presents per Unit data for the
year.
|
|
(2)
|
Total return is calculated assuming a purchase of Units at net
asset value per Unit on the first day and a sale at net asset
value per Unit on the last day of each period reported.
Distributions are assumed, for the purposes of this calculation,
to be reinvested at the net asset value per Unit on the
respective payment dates of the Trust. Broker commission charges
are not included in this calculation.
|
|
(3)
|
Portfolio turnover rate does not include securities received or
delivered from processing creations or redemptions of Units.
|
See accompanying notes to financial statements.
7
SPDR Dow Jones Industrial
Average ETF Trust
Notes to Financial Statements
October 31, 2011
SPDR Dow Jones Industrial Average ETF Trust (the
Trust) is a unit investment trust created under the
laws of the State of New York and registered under the
Investment Company Act of 1940, as amended. The Trust was
created to provide investors with the opportunity to purchase a
security representing a proportionate undivided interest in a
portfolio of securities consisting of substantially all of the
component common stocks, in substantially the same weighting,
which comprise the Dow Jones Industrial Average (the
DJIA). Each unit of fractional undivided interest in
the Trust is referred to as a Unit. The Trust
commenced operations on January 14, 1998 upon the initial
issuance of 500,000 Units (equivalent to ten Creation
Units see Note 4) in exchange for a
portfolio of securities assembled to reflect the intended
portfolio composition of the Trust.
Under the Amended and Restated Standard Terms and Conditions of
the Trust, as amended (Trust Agreement), PDR
Services, LLC, as Sponsor of the Trust (Sponsor),
and State Street Bank and Trust Company, as Trustee of the
Trust (Trustee), are indemnified against certain
liabilities arising from the performance of their duties to the
Trust. Additionally, in the normal course of business, the Trust
enters into contracts that contain general indemnification
clauses. The Trusts maximum exposure under these
arrangements is unknown as this would involve future claims that
may be made against the Trust that have not yet occurred.
However, based on experience, the Trust expects the risk of
material loss to be remote.
On February 15, 2011, NYSE Euronext (the parent of the
Sponsor) and Deutsche Börse AG announced that they have
entered into a business combination agreement which was
subsequently approved by their shareholders. This transaction is
subject to approval by the relevant regulatory authorities in
the U.S. and Europe, and other closing conditions.
|
|
Note 2
|
Significant
Accounting Policies
|
The following is a summary of significant accounting policies
followed by the Trust in the preparation of its financial
statements:
The preparation of financial statements in accordance with
U.S. generally accepted accounting principles requires
management to make estimates and assumptions that affect the
reported amounts and disclosures in the financial statements.
Actual results could differ from these estimates. These
financial statements are presented in United States dollars.
Security
Valuation
The value of the Trusts portfolio securities is based on
the market price of the securities, which generally means a
valuation obtained from an exchange or other market (or based on
a price quotation or other equivalent indication of value
supplied by an exchange or other market) or a valuation obtained
from an independent pricing service. If a securitys market
price is not readily available or does not otherwise accurately
reflect the fair value of the security, the security will be
valued by another method that the Trustee believes will better
reflect fair value in accordance with the Trusts valuation
policies and procedures. The Trustee has established a Pricing
and Investment Committee (the Committee) for
purposes of valuing securities for which market quotations are
not readily available or do not otherwise accurately reflect the
fair value of the security. The Committee, subject to oversight
by the Trustee, may
8
SPDR Dow Jones Industrial
Average ETF Trust
Notes to Financial
Statements (continued)
October 31, 2011
|
|
Note 2
|
Significant
Accounting Policies (continued)
|
use fair value pricing in a variety of circumstances, including
but not limited to, situations when trading in a security has
been suspended or halted. Accordingly, the Trusts net
asset value may reflect certain portfolio securities fair
values rather than their market prices. Fair value pricing
involves subjective judgments and it is possible that the fair
value determination for a security is materially different than
the value that could be received on the sale of the security.
The Trust continues to follow the authoritative guidance for
fair value measurements and the fair value option for financial
assets and financial liabilities. The guidance for the fair
value option for financial assets and financial liabilities
provides the Trust the irrevocable option to measure many
financial assets and liabilities at fair value with changes in
fair value recognized in earnings. The guidance also establishes
a hierarchy for inputs used in measuring fair value that
maximizes the use of observable inputs and minimizes the use of
unobservable inputs by requiring that the most observable inputs
be used when available. The guidance establishes three levels of
inputs that may be used to measure fair value:
|
|
|
Level 1 quoted prices in active markets
for identical investments
|
|
|
Level 2 other significant observable
inputs (including, but not limited to, quoted prices for similar
investments, interest rates, prepayment speeds, credit risk,
etc.)
|
|
|
Level 3 significant unobservable inputs
(including the Trusts own assumptions in determining the
fair value of investments)
|
Investments that use Level 2 or Level 3 inputs may
include, but are not limited to: (i) an unlisted security
related to corporate actions; (ii) a restricted security
(e.g., one that may not be publicly sold without registration
under the Securities Act of 1933, as amended); (iii) a
security whose trading has been suspended or which has been
de-listed from its primary trading exchange; (iv) a
security that is thinly traded; (v) a security in default
or bankruptcy proceedings for which there is no current market
quotation; (vi) a security affected by currency controls or
restrictions; and (vii) a security affected by a
significant event (e.g., an event that occurs after the close of
the markets on which the security is traded but before the time
as of which the Trusts net assets are computed and that
may materially affect the value of the Trusts
investments). Examples of events that may be significant
events are government actions, natural disasters, armed
conflict, acts of terrorism, and significant market fluctuations.
Fair value pricing could result in a difference between the
prices used to calculate the Trusts net asset value and
the prices used by the DJIA, which, in turn, could result in a
difference between the Trusts performance and the
performance of the DJIA. The inputs or methodology used for
valuation are not necessarily an indication of the risk
associated with investing in those investments. The type of
inputs used to value each security is identified in the Schedule
of Investments, which also includes a breakdown of the
Trusts investment by industry.
9
SPDR Dow Jones Industrial
Average ETF Trust
Notes to Financial
Statements (continued)
October 31, 2011
|
|
Note 2
|
Significant
Accounting Policies (continued)
|
Subsequent
Events
Events or transactions occurring after the year end through the
date the financial statements were issued have been evaluated by
management in the preparation of the financial statements and no
items were noted requiring additional disclosure or adjustment.
Investment
Risk
The Trusts investments are exposed to risks, such as
market risk. Due to the level of risk associated with certain
investments it is at least reasonably possible that changes in
the values of investment securities will occur in the near term
and that such changes could materially affect the amounts
reported in the financial statements.
An investment in the Trust involves risks similar to those of
investing in any fund of equity securities, such as market
fluctuations caused by such factors as economic and political
developments, changes in interest rates and perceived trends in
stock prices. The value of a Unit will decline, more or less, in
correlation with any decline in value of the DJIA. The values of
equity securities could decline generally or could underperform
other investments. The Trust would not sell an equity security
because the securitys issuer was in financial trouble
unless that security were removed from the DJIA.
Investment
Transactions
Investment transactions are recorded on the trade date. Realized
gains and losses from the sale or disposition of securities are
recorded on the identified cost basis. Dividend income is
recorded on the ex-dividend date.
Distributions
to Unitholders
The Trust declares and distributes dividends from net investment
income to its holders of Units (Unitholders)
monthly. The Trust declares and distributes net realized capital
gains, if any, at least annually.
Broker-dealers, at their own discretion, may offer a dividend
reinvestment service under which additional Units may be
purchased in the secondary market at current market prices.
Investors should consult their broker-dealer for further
information regarding any dividend reinvestment service offered
by such broker-dealer.
Equalization
The Trust follows the accounting practice known as
Equalization by which a portion of the proceeds from
sales and costs of reacquiring the Trusts Units,
equivalent on a per Unit basis to the amount of distributable
net investment income on the date of the transaction, is
credited or charged to undistributed net investment income. As a
result, undistributed net investment income per Unit is
unaffected by sales or reacquisitions of the Trusts Units.
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,
10
SPDR Dow Jones Industrial
Average ETF Trust
Notes to Financial
Statements (continued)
October 31, 2011
|
|
Note 2
|
Significant
Accounting Policies (continued)
|
including net capital gains, that it distributes to the
Unitholders, 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 that 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.
The Trust has reviewed the tax positions for the open tax years
as of October 31, 2011 and has determined that no provision
for income tax is required in the Trusts Financial
Statements. The Trusts federal tax returns for the prior
three fiscal years remain subject to examination by the
Trusts major tax jurisdictions, which include the
United States of America and the State of New York. The
Trust recognized interest and penalties, if any, related to tax
liabilities as income tax expense in the Statement Operations.
There were none for the year ending October 31, 2011.
On December 22, 2010, the Regulated Investment Company
Modernization Act of 2010 (the Act) was enacted. The
Act modernizes several of the federal income and excise tax
provisions related to RICs, and, with certain exceptions, is
effective for taxable years beginning after December 22,
2010. Among the changes made are changes to the capital loss
carryforward rules allowing for capital losses to be carried
forward indefinitely. Rules in effect previously limit the
carryforward period to eight years. Capital loss carryforwards
generated in taxable years beginning after effective date of the
Act must be fully used before capital loss carryforwards
generated in taxable years prior to effective date of the Act;
therefore, under certain circumstances, capital loss
carryforwards available as of the report date, if any, may
expire unused.
During the year ended October 31, 2011, the Trust
reclassified $688,055,722 of non-taxable security gains realized
in the in-kind redemption of Creation Units
(Note 4) as an increase to paid in capital in the
Statement of Assets and Liabilities. At October 31, 2011,
the cost of investments for federal income tax purposes was
$12,653,118,708, accordingly, gross unrealized appreciation was
$196,829,766 and gross unrealized depreciation was
$1,775,539,706, resulting in net unrealized depreciation of
$1,578,709,940.
At October 31, 2011, the Trust had capital loss
carryforwards which may be used to offset any net realized
gains, expiring October 31:
|
|
|
|
2012
|
|
$
|
221,460,584
|
2014
|
|
|
52,316
|
2016
|
|
|
506,750,845
|
2017
|
|
|
779,537,215
|
2018
|
|
|
4,715,695
|
2019
|
|
|
3,393,588
|
During the tax year ended October 31, 2011, $68,716,435 of
capital loss carryforwards expired.
11
SPDR Dow Jones Industrial
Average ETF Trust
Notes to Financial
Statements (continued)
October 31, 2011
|
|
Note 2
|
Significant
Accounting Policies (continued)
|
The tax character of distributions paid during the years ended
October 31, 2011, 2010 and 2009 were as follows:
|
|
|
|
|
|
|
Distributions paid
from:
|
|
2011
|
|
2010
|
|
2009
|
Ordinary Income
|
|
$251,674,959
|
|
$201,712,941
|
|
$231,359,719
|
As of October 31, 2011, the components of distributable
earnings (excluding unrealized appreciation/depreciation) on the
tax basis were undistributed ordinary income of $16,878,749,
undistributed long term capital gain of $0 and unrealized
depreciation of $1,578,709,940.
|
|
Note 3
|
Transactions
with the Trustee and Sponsor
|
In accordance with the Trust Agreement, the Trustee
maintains the Trusts accounting records, acts as custodian
and transfer agent to the Trust, and provides administrative
services, including filing of certain regulatory reports. The
Trustee is also responsible for determining the composition of
the portfolio of securities which must be delivered
and/or
received in exchange for the issuance
and/or
redemption of Creation Units of the Trust, and for adjusting the
composition of the Trusts portfolio from time to time to
conform to changes in the composition
and/or
weighting structure of the DJIA. For these services, the Trustee
received a fee at the following annual rates for the year ended
October 31, 2011:
|
|
|
Net asset value of the Trust
|
|
Fee as a percentage of net asset value of the Trust
|
|
$0 $499,999,999
|
|
10/100 of 1% per annum plus or minus the Adjustment Amount
|
$500,000,000 $2,499,999,999
|
|
8/100 of 1% per annum plus or minus the Adjustment Amount
|
$2,500,000,000 and above
|
|
6/100 of 1% per annum plus or minus the Adjustment Amount
|
The Adjustment Amount is the sum of (a) the excess or
deficiency of transaction fees received by the Trustee, less the
expenses incurred in processing orders for creation and
redemption of Units and (b) the amounts earned by the
Trustee with respect to the cash held by the Trustee for the
benefit of the Trust. During the year ended October 31,
2011, the Adjustment Amount reduced the Trustees fee by
$527,613. The Adjustment Amount included an excess of net
transaction fees from processing orders of $506,415 and a
Trustee earning credit of $21,198.
The Sponsor, a wholly-owned subsidiary of NYSE Euronext, agreed
to reimburse the Trust for, or assume, the ordinary operating
expenses of the Trust which exceeded 18.00/100 of 1% per annum
of the daily net asset value of the Trust. There were no such
reimbursements by the Sponsor for the fiscal years ended
October 31, 2011, October 31, 2010 and
October 31, 2009.
Dow Jones & Company, Inc. (Dow Jones) and
State Street Global Markets, LLC (SSGM) have entered
into a License Agreement. The License Agreement grants SSGM, an
affiliate of the Trustee, a license to use the DJIA as a basis
for determining the composition of the portfolio and to use
certain trade names and trademarks of Dow Jones in connection
with the portfolio. The Trustee on behalf of the Trust, the
Sponsor and NYSE Arca, Inc. have each
12
SPDR Dow Jones Industrial
Average ETF Trust
Notes to Financial
Statements (continued)
October 31, 2011
|
|
Note 3
|
Transactions
with the Trustee and
Sponsor (continued)
|
received a sublicense from SSGM for the use of the DJIA and such
trade names and trademarks in connection with their rights and
duties with respect to the Trust. The License Agreement may be
amended without the consent of any of the owners of beneficial
interest of Units. Currently, the License Agreement is scheduled
to terminate on December 31, 2017, but its term may be
extended without the consent of any of the owners of beneficial
interests of Units. Pursuant to such arrangements and in
accordance with the Trust Agreement, the Trust reimburses
the Sponsor for payment of fees under the License Agreement to
Dow Jones equal to 0.05% on the first $1 billion of the
then rolling average asset balance, and 0.04% on any excess
rolling average asset balance over and above $1 billion.
The minimum annual fee for the Trust is $1 million.
The Sponsor has entered into an agreement with SSGM (the
Marketing Agent) pursuant to which the Marketing
Agent has agreed to market and promote the Trust. The Marketing
Agent is reimbursed by the Sponsor for the expenses it incurs
for providing such services out of amounts that the Trust
reimburses the Sponsor. Expenses incurred by the Marketing Agent
include but are not limited to: printing and distribution of
marketing materials describing the Trust, associated legal,
consulting, advertising and marketing costs and other
out-of-pocket
expenses.
|
|
Note 4
|
Unitholder
Transactions
|
Units are issued and redeemed by the Trust only in Creation Unit
size aggregations of 50,000 Units. Such transactions are only
permitted on an in-kind basis, with a separate cash payment
which is equivalent to the undistributed net investment income
per Unit (income equalization) and a balancing cash component to
equate the transaction to the net asset value per Unit of the
Trust on the transaction date. A transaction fee of $1,000 is
charged in connection with each creation or redemption of
Creation Units through the clearing process per participating
party per day, regardless of the number of Creation Units
created or redeemed. In the case of creations and redemptions
outside of the clearing process, the transaction fee plus an
additional amount not to exceed three (3) times the
transaction fee applicable for one Creation Unit per Creation
Unit redeemed, and such amount is deducted from the amount
delivered to the redeemer. Transaction fees are received by the
Trustee and used to defray the expense of processing orders.
|
|
Note 5
|
Investment
Transactions
|
For the year ended October 31, 2011, the Trust had net
in-kind contributions, net in-kind redemptions, purchases and
sales of investment securities of $13,905,575,250,
$11,461,062,135, $0 and $14,071,990, respectively. Net realized
gain (loss) on investment transactions in the Statement of
Operations includes net gains resulting from in-kind
transactions of $688,067,005.
13
SPDR Dow Jones Industrial
Average ETF Trust
Report of Independent
Registered Public Accounting Firm
To the
Trustee and Unitholders of
SPDR Dow Jones Industrial Average 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 Dow Jones Industrial
Average ETF Trust (the Trust) at October 31,
2011, and the results of its operations, the changes in its net
assets and the financial highlights for the periods indicated,
in conformity with accounting principles generally accepted in
the United States of America. These financial statements and
financial highlights (hereafter referred to as financial
statements) are the responsibility of the Trustee. 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 October 31, 2011 by correspondence with the
custodian, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
December 16, 2011
14
SPDR Dow Jones Industrial
Average ETF Trust
Other Information
October 31, 2011
(Unaudited)
Tax
Information
For Federal income tax purposes, the percentage of Trust
distributions which qualify for the corporate dividends paid
deduction for the fiscal year ended October 31, 2011 is
100.00%.
For the fiscal year ended October 31, 2011 certain
dividends paid by the Trust may be designated as qualified
dividend income and subject to a maximum tax rate of 15%, as
provided for the Jobs and Growth Tax Relief Reconciliation Act
of 2003. Complete information will be reported in conjunction
with your 2011
Form 1099-DIV.
FREQUENCY
DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Bid/Ask
Price(1) vs. Net Asset Value
As of
October 31, 2011
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Bid/Ask Price
|
|
Bid/Ask Price
|
|
|
Above NAV
|
|
Below NAV
|
|
|
50-99
|
|
100-199
|
|
> 200
|
|
50-99
|
|
100-199
|
|
> 200
|
|
|
BASIS
|
|
BASIS
|
|
BASIS
|
|
BASIS
|
|
BASIS
|
|
BASIS
|
|
|
POINTS
|
|
POINTS
|
|
POINTS
|
|
POINTS
|
|
POINTS
|
|
POINTS
|
|
2011
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
2010
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
2009
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
2008
|
|
3
|
|
2
|
|
2
|
|
2
|
|
0
|
|
0
|
2007
|
|
1
|
|
0
|
|
0
|
|
0
|
|
0
|
|
0
|
COMPARISON
OF TOTAL RETURNS BASED ON NAV AND BID/ASK PRICE (1)
As of October 31, 2011
The table below is provided to compare the Trusts total
pre-tax returns at NAV with the total pre-tax returns based on
bid/ask price and the performance of the DJIA. Past performance
is not necessarily an indication of how the Trust will perform
in the future.
Cummulative
Total Return
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|
|
|
|
|
|
|
|
|
|
|
|
|
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1 Year
|
|
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5 Year
|
|
|
10 Year
|
|
|
SPDR DJIA Trust
|
|
|
|
|
|
|
|
|
|
|
|
|
Return Based on NAV
|
|
|
10.17
|
%
|
|
|
12.60
|
%
|
|
|
65.77
|
%
|
Return Based on Bid/Ask Price
|
|
|
10.15
|
%
|
|
|
12.71
|
%
|
|
|
66.10
|
%
|
DJIA
|
|
|
10.39
|
%
|
|
|
13.41
|
%
|
|
|
68.57
|
%
|
Average
Annual Total Return
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 Year
|
|
|
5 Year
|
|
|
10 Year
|
|
|
SPDR DJIA Trust
|
|
|
|
|
|
|
|
|
|
|
|
|
Return Based on NAV
|
|
|
10.17
|
%
|
|
|
2.40
|
%
|
|
|
5.18
|
%
|
Return Based on Bid/Ask Price
|
|
|
10.15
|
%
|
|
|
2.42
|
%
|
|
|
5.21
|
%
|
DJIA
|
|
|
10.39
|
%
|
|
|
2.55
|
%
|
|
|
5.36
|
%
|
|
|
(1) |
The Bid/Ask Price is the midpoint of the NYSE Arca Bid/Ask price
at the time the Trusts NAV is calculated. From
April 3, 2001 to November 28, 2008, the Bid/Ask price
was the Bid/Ask price on the NYSE Amex (formerly the American
Stock Exchange) at the close of trading, ordinarily
4:00 p.m.
|
15
SPDR Dow Jones Industrial
Average ETF Trust
Sponsor
PDR Services LLC
c/o NYSE Euronext
11 Wall Street
New York, NY 10005
Trustee
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
Distributor
ALPS Distributors, Inc.
1290 Broadway, Suite 1100
Denver, CO 80203
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
125 High Street
Boston, MA 02110
SPDRDIA AR