<PAGE> 1
THE SELECT SECTOR SPDR(R) TRUST
---------------------------------
SEMI-ANNUAL REPORT
---------------------------------
MARCH 31, 1999
(UNAUDITED)
LOGO
"Standard & Poor's(R)", "S&P 500(R)", "Standard & Poor's 500(R)", "500",
"Standard & Poor's Depositary Receipts(R)", "SPDRs(R)", "Select Sector SPDR",
"Select Sector SPDRs" and "Select Sector Standard & Poor's Depositary Receipts"
are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use
in connection with the listing and trading of Select Sector SPDRs on the AMEX.
The stocks included in each Select Sector Index (upon which the Select Sector
SPDRs are based) were selected by Merrill Lynch, Pierce, Fenner & Smith
Incorporated ("Merrill Lynch" and sometimes referred to as the "Index
Compilation Agent") in consultation with Standard & Poor's ("S&P") from the
universe of companies represented by the Standard & Poor's 500 Composite Stock
Index ("S&P"). The composition and weighting of the stocks included in each
Select Sector Index can be expected to differ from the composition and weighting
of stocks included in any similar S&P 500 sector index that is published and
disseminated by S&P.
<PAGE> 2
SELECT SECTOR SPDR FUNDS
Select Sector SPDR Funds are unique investments that unbundle the benchmark
S&P 500 and give you ownership in particular sectors or groups of industries
that are represented by a specified Select Sector Index. Through a single share,
investors can buy or sell any of nine major industry sectors that make up the
S&P 500 much as they buy or sell a share of stock. Select Sector SPDR Fund
shares are different from the shares of conventional mutual funds. Select Sector
SPDRs trade on the American Stock Exchange.
NINE SELECT SECTOR SPDR FUNDS
Shares are available for exchange trading in the following Funds of the
Select Sector SPDR Trust:
THE BASIC INDUSTRIES SELECT SECTOR SPDR FUND XLB
THE CONSUMER SERVICES SELECT SECTOR SPDR FUND XLV
THE CONSUMER STAPLES SELECT SECTOR SPDR FUND XLP
THE CYCLICAL TRANSPORTATION SELECT SECTOR SPDR FUND XLY
THE ENERGY SELECT SECTOR SPDR FUND XLE
THE FINANCIAL SELECT SECTOR SPDR FUND XLF
THE INDUSTRIAL SELECT SECTOR SPDR FUND XLI
THE TECHNOLOGY SELECT SECTOR SPDR FUND XLK
THE UTILITIES SELECT SECTOR SPDR FUND XLU
Each of these Funds is designed to, before expenses, closely track the
price performance and dividend yield of a Select Sector Index. Each Fund's
portfolio is comprised principally of shares of constituent companies in the S&P
500. Each stock in the S&P 500 is allocated to only one Select Sector Index. The
combined companies of the nine Select Sector Indexes represent all of the
companies in the S&P 500. Of course, each Select Sector SPDR Fund can be
expected to move up or down in value with its underlying Select Sector Index.
OBJECTIVE
Select Sector SPDR Funds are designed to provide investors with an
affordable way to invest in a portfolio of equity securities in a sector or
group of industries in a single trade. Select Sector SPDR Funds allow you to
custom tailor asset allocations to fit your particular investment needs or
goals. One Fund may complement another; individual Select Sector SPDR Funds can
be used to increase exposure to certain industries that may be outperforming the
market or to hedge other holdings in your portfolio. Although an individual
Select Sector SPDR Fund may bear a higher level of risk than a broad-market
fund, because of less diversity, sector investments may also offer opportunities
for returns greater than an investment in the entire S&P 500 Index.
<PAGE> 3
THE SELECT SECTOR SPDR TRUST
CHAIRMAN'S LETTER TO SHAREHOLDERS
Dear shareholders:
I am pleased to present the first semi-annual report for The Select Sector SPDR
Trust. Provided on the following pages are Management's Discussion and Analysis
for each of The Select Sector SPDR Funds, as well as the unaudited semi-annual
financial statements for the period ended March 31, 1999.
The first quarter of 1999 will be remembered for the Dow Jones Industrial
Average surpassing the 10,000 mark for the first time in history, yet not
everyone was in a celebratory mood. The performance trends witnessed by
investors since 1996 held true to form throughout the first quarter of 1999,
which meant more bad news for investors in small and mid-cap stocks. Market
outperformance has continued to come from an extremely narrow field, as large
cap growth companies have again dominated U.S. equity performance. Large cap
stocks continued their domination of small cap stocks as the S&P 500 outpaced
the S&P SmallCap 600 and the Russell 2000 by 14% and 10.4%, respectively, for
the first quarter of 1999. Another example of just how the U.S. market has
become influenced by a few stocks is the fact that only 21 stocks contributed to
the S&P 500 Index advance for the first quarter. In fact, one third of the
Index's performance was generated from only two stocks, America Online and
Microsoft.
The other current phenomenon of the first quarter of 1999 was the dominance
exhibited among Internet related stocks across the U.S. equity market.
Technology and telecommunications stocks were once again the driving forces
behind returns in the U.S. marketplace. Even within these outperforming sectors
discrimination existed between large and small caps.
We appreciate your support of The Select Sector SPDR Trust and look forward to
serving your investment needs in the years to come.
Sincerely,
/s/ John W. English
John W. English
Chairman of the Board
1
<PAGE> 4
MANAGEMENT'S DISCUSSION AND ANALYSIS
THE BASIC INDUSTRIES SELECT SECTOR SPDR FUND
The Basic Industries Select Sector SPDR Fund underperformed the Standard &
Poor's 500 Composite Stock Index ("S&P 500") Index and The Basic Industries
Select Sector Index ("Sector Index") during the period from December 16, 1998
(commencement of operations) to March 31, 1999. The total return for the Fund
was 5.67%* versus 11.11% for the S&P 500 Index and 5.88% for the Sector Index.
Although the Basic Industries Select Sector provided a positive total return for
the first quarter of 1999 with the Sector Index returning 1.47% and the Fund
returning 1.33%, both trailed the performance of the S&P 500 Index which posted
a return of 4.98%. The Basic Industries Select Sector SPDR Fund utilizes a
"passive" or indexing investment approach and attempts to approximate the
investment performance of its benchmark Sector Index, before expenses, by
investing in a portfolio of stocks that seek to replicate the relevant Sector
Index. The Basic Industries Select Sector SPDR Fund consists of 56 companies.
THE CONSUMER SERVICES SELECT SECTOR SPDR FUND
The Consumer Services Select Sector SPDR Fund outperformed the S&P 500 Index
during the period from December 16, 1998 (commencement of operations) to March
31, 1999. The total return for the Fund was 16.59%* versus 11.11% for the S&P
500 Index. During the same period, the Fund underperformed the Consumer Services
Select Sector Index ("Sector Index"), which returned 17.07%. Additionally, the
Consumer Services Select Sector experienced a strong first quarter of 1999
relative to the S&P 500. The total return for the Sector Index and the Fund over
the quarter was 8.12% and 7.77%, respectively, compared to 4.98% for the S&P 500
index. The Consumer Services Select Sector SPDR Fund utilizes a "passive" or
indexing investment approach and attempts to approximate the investment
performance of its benchmark Sector Index, before expenses, by investing in a
portfolio of stocks that seek to replicate the relevant Sector Index. The
Consumer Services Select Sector SPDR Fund consists of 45 companies.
THE CONSUMER STAPLES SELECT SECTOR SPDR FUND
The Consumer Staples Select Sector SPDR Fund underperformed the S&P 500 Index
and the Consumer Staples Select Sector Index ("Sector Index") during the period
from December 16, 1998 (commencement of operations) to March 31, 1999. The total
return for the Fund was 1.93%* versus 11.11% for the S&P 500 Index and 2.01% for
the Sector Index. The Consumer Staples Select Sector was one of only two Select
Sectors to post negative returns for the first quarter of 1999 (Utilities being
the other). The Sector Index and the Fund posted returns of (2.41)% and (2.49)%,
respectively, versus a 4.98% return for the S&P 500 Index. A rising market did
not favor the defensive characteristics of consumer staples and utilities. The
Consumer Staples Select Sector SPDR Fund utilizes a "passive" or indexing
investment approach and attempts to approximate the investment performance of
its benchmark Sector Index, before expenses, by investing in a portfolio of
stocks that seek to replicate the relevant Sector Index. The Consumer Staples
Select Sector SPDR Fund consists of 70 companies.
2
<PAGE> 5
MANAGEMENT'S DISCUSSION AND ANALYSIS - (CONTINUED)
THE CYCLICAL/TRANSPORTATION SELECT SECTOR SPDR FUND
The Cyclical/Transportation Select Sector SPDR Fund outperformed the S&P 500
Index during the period from December 16, 1998 (commencement of operations) to
March 31, 1999. The total return for the Fund was 16.52%* versus 11.11% for the
S&P 500 Index. During the same period, the Fund underperformed the
Cyclical/Transportation Select Sector Index ("Sector Index"), which returned
16.59%. Performance was favorable during the first quarter of 1999 for the
Cyclical/Transportation Select Sector relative to the S&P 500. The total return
for the Sector Index and the Fund over the quarter was 8.86% and 8.84%,
respectively, compared to 4.98% for the S&P 500 Index. The Cyclical sector was
one of the major contributors to the S&P 500 earnings growth for the first three
months of this year. The Cyclical/Transportation Select Sector SPDR Fund
utilizes a "passive" or indexing investment approach and attempts to approximate
the investment performance of its benchmark Sector Index, before expenses, by
investing in a portfolio of stocks that seek to replicate the relevant Sector
Index. The Cyclical/Transportation Select Sector SPDR Fund consists of 67
companies.
THE ENERGY SELECT SECTOR SPDR FUND
The Energy Select Sector SPDR Fund underperformed the S&P 500 Index and the
Energy Select Sector Index ("Sector Index") during the period from December 16,
1998 (commencement of operations) to March 31, 1999. The total return for the
Fund was 4.83%* versus 11.11% for the S&P 500 Index and 5.11% for the Sector
Index. The Energy Select Sector experienced positive results for the first
quarter of 1999 with the Sector Index and the Fund returning 6.62% and 6.60%,
respectively, versus 4.98% for the S&P 500 Index. The sharp drop in crude oil
prices coupled with one of the warmest winters on record resulted in a slow
start to the quarter for the Energy Select Sector. Planned production cuts by
OPEC and merger talks spurred the Energy sector in the last two months of the
quarter, as the Fund posted a return of 13.83% in the month of March alone. The
Energy Select Sector SPDR Fund utilizes a "passive" or indexing investment
approach and attempts to approximate the investment performance of its benchmark
Sector Index, before expenses, by investing in a portfolio of stocks that seek
to replicate the relevant Sector Index. The Energy Select Sector SPDR Fund
consists of 30 companies.
THE FINANCIAL SELECT SECTOR SPDR FUND
The Financial Select Sector SPDR Fund outperformed the S&P 500 Index and the
Financial Select Sector Index ("Sector Index") during the period from December
16, 1998 (commencement of operations) to March 31, 1999. The total return for
the Fund was 13.71%* versus 11.11% for the S&P 500 Index and 13.62% for the
Sector Index. The Financial Select Sector experienced a strong first quarter of
1999 relative to the S&P 500. The total return for the Sector Index and the Fund
over the quarter was 7.34% and 7.30%, respectively, versus 4.98% for the S&P 500
Index. While first quarter market performance continued to be dominated by
large-cap growth stocks, there were a few segments of the value universe,
financials being one of them, which performed quite well. The Financial Select
Sector SPDR Fund utilizes a "passive" or indexing investment approach and
attempts to approximate the investment performance of its benchmark Sector
Index, before expenses, by investing in a portfolio of stocks that seek to
replicate the relevant Sector Index. The Financial Select Sector SPDR Fund
consists of 73 companies.
3
<PAGE> 6
MANAGEMENT'S DISCUSSION AND ANALYSIS - (CONTINUED)
THE INDUSTRIAL SELECT SECTOR SPDR FUND
The Industrial Select Sector SPDR Fund underperformed the S&P 500 Index and the
Industrial Select Sector Index ("Sector Index") during the period from December
16, 1998 (commencement of operations) to March 31, 1999. The total return for
the Fund was 10.10%* versus 11.11% for the S&P 500 Index and 10.27% for the
Sector Index. During the first quarter of 1999, the Industrial Select Sector
underperformed relative to the S&P 500, with the Sector Index and the Fund
returning 2.43% and 2.35%, respectively, versus 4.98% for the S&P 500 Index.
Although most of the larger cap names advanced, the collective weight of the
smaller caps prevented the sector from realizing a more sizable gain. The news
for many companies within the industrial sector was mixed for the first quarter.
Although a number of companies were hurt by the weak demand from energy, mining
and agricultural-related customers, they were able to find solace in a continued
strong domestic homebuilding market. The Industrial Select Sector SPDR Fund
utilizes a "passive" or indexing investment approach and attempts to approximate
the investment performance of its benchmark Sector Index, before expenses, by
investing in a portfolio of stocks that seek to replicate the relevant Sector
Index. The Industrial Select Sector SPDR Fund consists of 35 companies.
THE TECHNOLOGY SELECT SECTOR SPDR FUND
The Technology Select Sector SPDR Fund outperformed the S&P 500 Index and the
Technology Select Sector Index ("Sector Index") during the period from December
16, 1998 (commencement of operations) to March 31, 1999. The total return for
the Fund was 21.89%* versus 11.11% for the S&P 500 Index and 21.78% for the
Sector Index. The Technology sector was the best performing sector of the S&P
500 Index for the first quarter of 1999. The Sector Index and the Fund returned
12.48% and 12.35%, respectively, over the quarter, versus 4.98% for the S&P 500
Index. The sector was primarily driven by the .com phenomenon as internet
related stocks continued their dominance across the U.S. equity market. The
Computer Services industry, which is a component of the Technology Sector, was
up nearly 25% for the first quarter. The Technology Select Sector SPDR Fund
utilizes a "passive" or indexing investment approach and attempts to approximate
the investment performance of its benchmark Sector Index, before expenses, by
investing in a portfolio of stocks that seek to replicate the relevant Sector
Index. The Technology Select Sector SPDR Fund consists of 83 companies.
4
<PAGE> 7
MANAGEMENT'S DISCUSSION AND ANALYSIS - (CONTINUED)
THE UTILITIES SELECT SECTOR SPDR FUND
The Utilities Select Sector SPDR Fund underperformed the S&P 500 Index during
the period from December 16, 1998 (commencement of operations) to March 31,
1999. The total return for the Fund was (7.61)%* versus 11.11% for the S&P 500
Index. During the same period, the Fund outperformed the Utilities Select Sector
Index ("Sector Index"), which had a return of (7.70)%. The Utility sector was
the worst performing of the nine sectors for the first quarter of 1999. The
total return for the Sector Index and the Fund over the quarter was (10.99)% and
(10.90)%, respectively, versus 4.98% for the S&P 500 Index. The less than
favorable performance for the first quarter of 1999 can be tied to problems with
electric companies and power producers. On the positive side, strong demand for
basic telephone services has continued, while demand for consumer services,
particularly data and value-added services, has exploded so far this year and is
expected to continue beyond the first quarter of 1999. The Utilities Select
Sector SPDR Fund utilizes a "passive" or indexing investment approach and
attempts to approximate the investment performance of its benchmark Sector
Index, before expenses, by investing in a portfolio of stocks that seek to
replicate the relevant Sector Index. The Utilities Select Sector SPDR Fund
consists of 41 companies.
* Results represent past performance and do not indicate future results. The
value of an investment in the Trust and the return on investment both will
fluctuate and redemption proceeds may be higher or lower than an investor's
original cost.
5
<PAGE> 8
THE BASIC INDUSTRIES SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS
MARCH 31, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
<S> <C> <C>
COMMON STOCK--100.1%
CHEMICALS--50.1%
Air Products & Chemicals, Inc. ............... 15,740 $ 539,095
Avery Dennison Corp. ......................... 7,960 457,700
Dow Chemical Co. ............................. 15,141 1,410,952
Du Pont (E.I.) de Nemours .................... 77,246 4,485,096
Eastman Chemical Co. ......................... 5,417 227,853
Ecolab, Inc. ................................. 8,854 314,317
Engelhard Corp. .............................. 9,806 166,089
FMC Corp. (a) ................................ 2,261 111,637
Great Lakes Chemical Corp. ................... 4,037 148,360
Hercules, Inc. ............................... 6,881 173,745
Morton International, Inc. ................... 8,301 305,062
Nalco Chemical Co. ........................... 4,480 119,000
PPG Industries, Inc. ......................... 12,121 621,201
Praxair, Inc. ................................ 10,797 389,367
Rohm & Haas Co. .............................. 11,499 385,935
Sealed Air Corp. (a) ......................... 5,697 280,221
Tenneco, Inc. ................................ 11,741 328,014
Union Carbide Corp. .......................... 9,099 411,161
W.R. Grace & Co. (a) ......................... 5,032 61,013
-----------
10,935,818
-----------
DRUGS--9.9%
Monsanto Co. ................................. 42,973 1,974,072
Sigma-Aldrich Corp. .......................... 6,977 204,077
-----------
2,178,149
-----------
FINANCIAL SERVICES--1.1%
Temple-Inland, Inc. .......................... 3,797 238,262
-----------
FOREST PRODUCTS--17.3%
Bemis Co., Inc. .............................. 3,589 111,483
Boise Cascade Corp. .......................... 3,857 124,388
Champion International Corp. ................. 6,537 268,426
Georgia-Pacific Group ........................ 6,020 446,985
International Paper Co. ...................... 21,132 891,506
Louisiana-Pacific Corp. ...................... 7,446 138,682
Mead Corp. ................................... 7,046 216,664
Potlatch Corp. ............................... 1,980 67,196
Union Camp Corp. ............................. 4,737 317,971
Westvaco Corp. ............................... 6,917 145,257
Weyerhaeuser Co. ............................. 13,620 755,910
Willamette Industries, Inc. .................. 7,597 286,787
-----------
3,771,255
-----------
GOLD--5.2%
Barrick Gold Corp. .......................... 25,621 437,158
Battle Mountain Gold Co. .................... 15,708 43,197
Freeport-McMoran Copper &
Gold, Inc. ............................. 11,322 123,127
Homestake Mining Co. ........................ 16,348 141,002
Newmont Mining Corp. ........................ 11,531 201,792
Placer Dome, Inc. ........................... 17,188 192,291
------------
1,138,567
------------
HEAVY ELECTRICAL
EQUIPMENT--0.9%
Phelps Dodge Corp. .......................... 3,966 195,325
------------
INDUSTRIAL PRODUCTS--0.3%
Timken Co. .................................. 4,252 69,095
------------
MINING--15.3%
Alcan Aluminum Ltd. ......................... 15,680 404,740
Alcoa, Inc. ................................. 25,222 1,038,831
Allegheny Teledyne, Inc. .................... 13,520 256,035
ASARCO, Inc. ................................ 2,717 37,359
Ball Corp. .................................. 2,097 98,428
Bethlehem Steel Corp. (a) ................... 8,888 73,326
Crown Cork & Seal Co., Inc. ................. 8,379 239,325
Cyprus Amax Minerals Co. .................... 6,244 75,709
Inco Ltd. ................................... 11,351 151,110
Nucor Corp. ................................. 6,000 264,375
Owens-Illinois, Inc. (a) .................... 10,731 268,275
Reynolds Metals Co. ......................... 4,419 213,493
USX-U.S. Steel Group ........................ 6,134 144,149
Worthington Industries, Inc. ................ 6,321 74,272
------------
3,339,427
------------
TOTAL COMMON STOCK--
(Cost $21,281,105) ..................... 21,865,898
------------
SHORT TERM INVESTMENTS--0.2%
MONEY MARKET FUND--0.2%
AIM Short Term Investment Class
Prime Fund (Cost $36,444) ............. 36,444 36,444
------------
TOTAL INVESTMENTS--100.3%
(Cost $21,317,549) ..................... 21,902,342
OTHER ASSETS AND LIABILITIES--(0.3)% ........ (56,715)
NET ASSETS--100.0% .......................... $ 21,845,627
============
</TABLE>
(a) Non-income producing security
The accompanying notes are an integral part of the financial statements
6
<PAGE> 9
THE CONSUMER SERVICES SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS
MARCH 31, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
<S> <C> <C>
COMMON STOCK--100.0%
ALCOHOL--3.3%
Seagram Co. Ltd. ............................ 39,880 $ 1,994,000
------------
ENTERTAINMENT--5.2%
Carnival Corp. .............................. 61,166 2,970,374
King World Productions, Inc.(a) ............. 7,145 218,369
------------
3,188,743
------------
FINANCIAL SERVICES--2.9%
Cendant Corp. (a) ........................... 85,262 1,342,877
H&R Block, Inc. ............................. 9,759 462,333
------------
1,805,210
------------
HOTELS--2.9%
Harrah's Entertainment, Inc.(a) ............. 12,646 241,064
Hilton Hotels Corp. ......................... 26,053 366,370
Marriott International, Inc. ................ 24,213 814,162
Mirage Resorts, Inc. (a) .................... 17,973 381,926
------------
1,803,522
------------
INFORMATION SERVICES--6.9%
Dun & Bradstreet Corp. ...................... 16,457 586,281
Interpublic Group of Cos., Inc. ............. 13,843 1,078,024
IMS Health, Inc. ............................ 31,781 1,052,746
Omnicom Group, Inc. ......................... 16,887 1,349,904
Shared Medical Systems Corp. ................ 2,639 146,959
------------
4,213,914
------------
LIFE INSURANCE--1.9%
Aetna, Inc. ................................. 14,238 1,181,754
------------
MEDIA--51.3%
CBS Corp. ................................... 70,542 2,887,813
Clear Channel Communications,
Inc. (a) ............................... 26,370 1,768,438
Comcast Corp. ............................... 36,873 2,320,694
Gannett Co., Inc. ........................... 28,166 1,774,458
MediaOne Group, Inc. ........................ 60,602 3,848,227
Meredith Corp. .............................. 5,237 164,638
Time Warner, Inc. ........................... 122,480 8,703,735
Tribune Co. ................................. 11,819 773,406
Viacom, Inc. (a) ............................ 34,770 2,918,507
Walt Disney Co. ............................. 205,332 6,390,959
------------
31,550,875
------------
MEDICAL PROVIDERS--6.8%
Columbia/HCA Healthcare Corp. ............... 64,509 1,221,639
HCR Manor Care, Inc. (a) .................... 11,042 251,896
Healthsouth Corp. (a) ....................... 42,336 439,236
Humana, Inc. (a) ............................ 16,782 289,490
Service Corp. International ................. 27,384 390,222
Tenet Healthcare Corp. (a) .................. 30,926 585,661
United Healthcare Corp. ..................... 18,652 981,561
------------
4,159,705
------------
PUBLISHING--6.1%
American Greetings Corp. .................... 7,109 180,391
Deluxe Corp. ................................ 8,036 234,048
Dow Jones & Co., Inc. ....................... 9,412 444,129
Jostens, Inc. ............................... 3,515 74,694
Knight Ridder, Inc. ......................... 7,832 391,600
McGraw-Hill Cos., Inc. ...................... 19,656 1,071,252
New York Times Co. .......................... 18,239 519,811
R.R. Donnelley & Sons Co. ................... 13,435 432,439
Times Mirror Co. ............................ 7,948 429,689
------------
3,778,053
------------
RESTAURANTS--12.7%
Darden Restaurants, Inc. .................... 13,742 283,429
McDonald's Corp. ............................ 135,090 6,121,266
Tricon Global Restaurants, Inc. (a) ......... 15,249 1,071,242
Wendy's International, Inc. ................. 12,465 354,473
------------
7,830,410
------------
TOTAL COMMON STOCK--
(Cost $57,194,807) ..................... 61,506,186
------------
SHORT TERM INVESTMENTS--0.0%(b)
MONEY MARKET FUND--0.0%(b)
AIM Short Term Investment Class
Prime Fund (Cost $16,490) ............. 16,490 16,490
------------
TOTAL INVESTMENTS--100.0%
(Cost $57,211,297) ..................... 61,522,676
OTHER ASSETS AND LIABILITIES--0.0%(b) ....... (24,747)
------------
NET ASSETS--100.0% .......................... $ 61,497,929
============
</TABLE>
(a) Non-income producing security.
(b) Amount shown represents less than 0.01%.
The accompanying notes are an integral part of the financial statements
7
<PAGE> 10
THE CONSUMER STAPLES SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
MARCH 31, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
COMMON STOCK--100.0%
ALCOHOL--1.9%
<S> <C> <C>
Adolph Coors Co. (Class B) ................... 1,980 $ 106,920
Anheuser-Busch Cos., Inc. .................... 25,773 1,963,580
Brown-Forman Corp. (Class B) ................. 3,651 210,389
-----------
2,280,889
-----------
DEPARTMENT STORES--0.4%
Fred Meyer, Inc. (a) ......................... 8,331 490,488
-----------
DRUGS--40.3%
Allergan, Inc. ............................... 3,600 316,350
ALZA Corp. (Class A) ......................... 5,352 204,714
American Home Products Corp. ................. 71,108 4,639,797
Bristol-Myers Squibb Co. ..................... 107,181 6,893,078
Cardinal Health, Inc. ........................ 14,589 962,874
Eli Lilly & Co. .............................. 59,294 5,032,578
Mckesson HBOC, Inc. .......................... 14,938 985,908
Merck & Co., Inc. ............................ 128,496 10,303,773
Pfizer, Inc. ................................. 69,969 9,708,199
Pharmacia & Upjohn, Inc. ..................... 27,374 1,707,453
Schering-Plough Corp. ........................ 79,272 4,384,733
Warner-Lambert Co. ........................... 44,273 2,930,319
-----------
48,069,776
-----------
FOOD AND BEVERAGES--19.7%
Archer Daniels Midland Co. ................... 31,934 469,031
Bestfoods .................................... 15,387 723,189
Campbell Soup Co. ............................ 23,965 975,076
Coca-Cola Enterprises, Inc. .................. 21,105 638,426
Coca-Cola Co. ................................ 132,945 8,159,500
ConAgra, Inc. ................................ 26,394 674,697
General Mills, Inc. .......................... 8,244 622,937
H.J. Heinz Co. ............................... 19,482 922,960
Hershey Foods Corp. .......................... 7,701 431,256
Kellogg Co. .................................. 21,839 738,431
PepsiCo, Inc. ................................ 79,155 3,101,887
Pioneer Hi-Bred International, Inc. .......... 12,883 484,723
Quaker Oats Co. .............................. 7,341 459,271
RJR Nabisco Holdings Corp. ................... 17,544 438,600
Sara Lee Corp. ............................... 49,155 1,216,586
SUPERVALU, Inc. .............................. 6,455 133,134
SYSCO Corp. .................................. 17,969 472,809
Unilever N.V ................................. 34,545 2,295,084
W.M. Wrigley Jr. Co. ......................... 6,261 566,229
-----------
23,523,826
-----------
FOREST PRODUCTS--1.5%
Fort James Corp. ............................. 11,913 377,493
Kimberly-Clark Corp. ......................... 29,178 1,398,721
-----------
1,776,214
-----------
GROCERY--3.1%
Albertson's, Inc. ............................ 13,224 718,228
American Stores Co. .......................... 14,783 487,839
Great Atlantic & Pacific Tea Co. ............. 2,070 62,100
Kroger Co. (a) ............................... 13,793 825,856
Safeway, Inc. (a) ............................ 26,217 1,345,260
Winn-Dixie Stores, Inc. ...................... 8,040 300,495
-----------
3,739,778
-----------
HOME PRODUCTS--12.2%
Alberto-Culver Co. (Class B) ................. 3,031 70,850
Avon Products, Inc. .......................... 14,135 665,228
Clorox Co. ................................... 6,285 736,523
Colgate-Palmolive Co. ........................ 15,837 1,457,004
Fortune Brands, Inc. ......................... 9,234 357,240
Gillette Co. ................................. 59,866 3,558,285
International Flavors &
Fragrances, Inc. ........................ 5,721 214,895
Procter & Gamble Co. ......................... 71,570 7,009,387
Ralston-Ralston Purina Group ................. 17,724 473,009
-----------
14,542,421
-----------
MEDICAL PRODUCTS--14.3%
Abbott Laboratories .......................... 81,882 3,833,101
Bausch & Lomb, Inc. .......................... 3,060 198,900
Baxter International, Inc. ................... 15,395 1,016,070
Becton, Dickinson & Co. ...................... 13,411 513,809
Biomet, Inc. ................................. 6,102 255,903
Boston Scientific Corp. (a) .................. 21,189 859,479
C.R. Bard, Inc. .............................. 2,844 143,444
Guidant Corp. ................................ 16,284 985,182
Johnson & Johnson ............................ 72,549 6,796,935
Mallinckrodt, Inc. ........................... 3,834 102,080
Medtronic, Inc. .............................. 31,495 2,259,766
St. Jude Medical Center, Inc.(a) ............. 4,572 111,443
-----------
17,076,112
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements
8
<PAGE> 11
THE CONSUMER STAPLES SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
MARCH 31, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
COMMON STOCK--(CONTINUED)
SPECIALITY RETAIL--2.5%
<S> <C> <C>
CVS Corp. ................................. 21,012 $ 998,070
Longs Drug Stores Corp. ................... 2,131 64,862
Rite Aid Corp. ............................ 13,941 348,525
Walgreen Co. .............................. 53,868 1,521,771
-------------
2,933,228
-------------
TOBACCO--4.1%
Philip Morris Cos., Inc. .................. 131,305 4,620,295
UST, Inc. ................................. 10,023 261,851
-------------
4,882,146
-------------
TOTAL COMMON STOCK--
(Cost $118,659,576) .................. 119,314,878
-------------
SHORT TERM INVESTMENTS--0.1%
MONEY MARKET FUND--0.1%
AIM Short Term Investment Class
Prime Fund (Cost $112,334) ........... 112,334 112,334
-------------
TOTAL INVESTMENTS--100.1%
(Cost $118,771,910) .................. 119,427,212
OTHER ASSETS AND LIABILITIES--(0.1)% ...... (116,570)
NET ASSETS--100.0% ........................ $ 119,310,642
=============
</TABLE>
(a) Non-Income producing security.
The accompanying notes are an integral part of the financial statements
9
<PAGE> 12
THE CYCLICAL/TRANSPORTATION SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS
MARCH 31, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCK--99.8%
AIRLINES--3.9%
<S> <C> <C>
AMR Corp. (a) .................................. 5,504 $ 322,328
Delta Air Lines, Inc. .......................... 4,288 298,016
Southwest Airlines Co. ......................... 10,206 308,731
US Airways Group, Inc. (a) ..................... 2,650 129,353
----------
1,058,428
----------
APPAREL--3.0%
Fruit of the Loom, Inc. (a) .................... 2,155 22,358
Liz Claiborne, Inc. ............................ 1,928 62,901
Nike, Inc. ..................................... 8,544 492,882
Reebok International Ltd. (a) .................. 1,683 26,718
Russell Corp. .................................. 1,078 21,695
Springs Industries, Inc. ....................... 530 14,343
V.F. Corp. ..................................... 3,601 169,922
----------
810,819
----------
CHEMICALS--0.5%
Sherwin-Williams Co. ........................... 5,165 145,266
----------
CLOTHING--7.5%
Gap, Inc. ...................................... 17,243 1,160,670
Harcourt General, Inc. ......................... 2,125 94,164
Limited, Inc. .................................. 6,849 271,392
Nordstrom, Inc. ................................ 4,309 176,130
TJX Cos., Inc. ................................. 9,780 332,520
----------
2,034,876
----------
CONSTRUCTION--1.9%
Armstrong World Industries, Inc. ............... 1,192 53,863
Centex Corp. ................................... 1,777 59,307
Kaufman & Broad Home Corp. ..................... 1,468 33,122
Masco Corp. .................................... 10,291 290,721
Owens Corning .................................. 1,616 51,409
Pulte Corp. .................................... 1,286 26,765
----------
515,187
----------
CONSUMER DURABLES--1.6%
Black & Decker Corp. ........................... 2,641 146,410
Maytag Corp. ................................... 2,725 164,522
Whirlpool Corp. ................................ 2,276 123,758
----------
434,690
----------
DEPARTMENT STORES--36.4%
Costco Cos., Inc. (a) .......................... 6,630 607,059
Dayton Hudson Corp. ............................ 13,343 888,977
Dillard's, Inc. ................................ 3,185 80,819
Federated Department Stores, Inc. (a) .......... 6,358 255,115
J.C. Penney Co., Inc. .......................... 7,931 321,205
K-Mart Corp. (a) ............................... 14,910 250,674
Kohl's Corp. (a) ............................... 4,754 336,940
May Department Stores Co. ...................... 10,570 413,551
Sears, Roebuck & Co. ........................... 11,555 522,142
Wal-Mart Stores, Inc. .......................... 67,222 6,197,028
----------
9,873,510
----------
HOME PRODUCTS--1.6%
Newell Rubbermaid, Inc. ........................ 8,441 400,934
Tupperware Corp. ............................... 1,720 30,960
----------
431,894
----------
INDUSTRIAL PRODUCTS--0.4%
Snap-on, Inc. .................................. 1,758 50,982
Stanley Works .................................. 2,654 68,009
----------
118,991
----------
INDUSTRIAL SERVICES--0.2%
Ryder System, Inc. ............................. 2,144 59,228
----------
LEISURE TIME--1.6%
Brunswick Corp. ................................ 2,864 54,595
Hasbro, Inc. ................................... 5,892 170,500
Mattel, Inc. ................................... 8,745 217,532
----------
442,627
----------
MOTOR VEHICLES--16.1%
Cooper Tire & Rubber Co. ....................... 2,259 41,509
Fleetwood Enterprises, Inc. .................... 1,039 29,741
Ford Motor Co. ................................. 36,538 2,073,531
General Motors Corp. ........................... 19,804 1,720,473
Genuine Parts Co. .............................. 5,408 155,818
Goodyear Tire & Rubber Co. ..................... 4,682 233,222
ITT Industries, Inc. ........................... 3,114 110,158
----------
4,364,452
----------
</TABLE>
The accompanying notes are an integral part of the financial statements
10
<PAGE> 13
THE CYCLICAL/TRANSPORTATION SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
MARCH 31, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCK--(CONTINUED)
RAILROADS--5.3%
<S> <C> <C>
Burlington Northern Santa Fe Corp. .......... 14,151 $ 465,214
CSX Corp. ................................... 6,557 255,313
Norfolk Southern Corp. ...................... 11,448 301,941
Union Pacific Corp. ......................... 7,467 399,018
------------
1,421,486
------------
SPECIALTY RETAIL--18.1%
AutoZone, Inc. (a) .......................... 4,592 139,482
Circuit City Stores Inc. .................... 3,010 230,641
Consolidated Stores Corp. (a) ............... 3,267 99,031
Dollar General Corp. ........................ 5,348 181,832
Home Depot, Inc. ............................ 44,583 2,775,292
Lowe's Cos., Inc. ........................... 10,615 642,207
Pep Boys - Manny, Moe & Jack ................ 1,554 23,699
Staples, Inc. (a) ........................... 13,910 457,291
Tandy Corp. ................................. 3,000 191,438
Toys "R" Us, Inc. (a) ....................... 7,644 143,803
------------
4,884,716
------------
TRUCKING AND FREIGHT--1.7%
FDX Corp. (a) ............................... 4,454 413,387
Laidlaw, Inc ................................ 9,843 57,212
------------
470,599
------------
TOTAL COMMON STOCK--
(Cost $25,319,032) ..................... 27,066,769
------------
SHORT TERM INVESTMENTS--0.3%
MONEY MARKET FUND--0.3%
AIM Short Term Investment Class
Prime Fund (Cost $70,075) ............. 70,075 70,075
------------
TOTAL INVESTMENTS--100.1%
(Cost $25,389,107) ..................... 27,136,844
OTHER ASSETS AND LIABILITIES--(0.1)% ........ (22,481)
------------
NET ASSETS--100.0% .......................... $ 27,114,363
============
</TABLE>
(a) Non-income producing security.
The accompanying notes are an integral part of the financial statements
11
<PAGE> 14
THE ENERGY SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS
MARCH 31, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
<S> <C> <C>
COMMON STOCK--100.3%
CHEMICALS--2.6%
Ashland, Inc. ............................. 33,252 $ 1,361,254
Occidental Petroleum Corp. ................ 115,037 2,070,666
-------------
3,431,920
-------------
ENERGY RESOURCES--70.3%
Amerada Hess Corp. ........................ 34,165 1,718,926
Anadarko Petroleum Corp. .................. 45,349 1,711,925
Apache Corp. .............................. 48,608 1,266,846
Atlantic Richfield Co. .................... 77,653 5,668,669
Burlington Resources, Inc. ................ 54,998 2,196,483
Chevron Corp. ............................. 69,231 6,122,616
Exxon Corp. ............................... 420,109 29,643,941
Kerr-McGee Corp. .......................... 40,421 1,326,314
Mobil Corp. ............................... 67,603 5,949,064
Phillips Petroleum Co. .................... 68,432 3,233,412
Royal Dutch Petroleum Co. ................. 436,002 22,672,104
Texaco, Inc. .............................. 110,957 6,296,810
Union Pacific Resources Group, Inc. ....... 122,311 1,452,443
Unocal Corp. .............................. 70,483 2,594,656
-------------
91,854,209
-------------
INDUSTRIAL PRODUCTS--0.8%
McDermott International, Inc. ............. 42,062 1,064,694
-------------
GAS UTILITY--2.6%
Columbia Energy Group ..................... 32,195 1,682,189
Consolidated Natural Gas Co. .............. 34,564 1,682,835
-------------
3,365,024
-------------
TELEPHONE--3.2%
Williams Cos., Inc. ....................... 106,292 $ 4,198,534
-------------
OIL REFINING--9.6%
Coastal Corp. ............................. 65,377 2,157,441
Enron Corp. ............................... 78,632 5,052,106
Sonat, Inc. ............................... 48,134 1,444,020
Sunoco, Inc. .............................. 40,319 1,454,004
USX-Marathon Group ........................ 90,599 2,491,473
-------------
12,599,044
-------------
OIL SERVICES--11.2%
Baker Hughes, Inc. ........................ 98,964 2,406,062
Halliburton Co. ........................... 109,051 4,198,464
Helmerich & Payne, Inc. ................... 43,390 984,410
Rowan Cos., Inc. (a) ...................... 76,533 971,012
Schlumberger Ltd. ......................... 101,288 6,096,271
-------------
14,656,219
-------------
TOTAL COMMON STOCK--
(Cost $128,414,052) .................. 131,169,644
-------------
SHORT TERM INVESTMENTS--0.1%
MONEY MARKET FUND--0.1%
AIM Short Term Investment Class
Prime Fund (Cost $88,001) ........... 88,001 88,001
-------------
TOTAL INVESTMENTS--100.4%
(Cost $128,502,053) .................. 131,257,645
OTHER ASSETS AND LIABILITIES--(0.4)% ...... (594,969)
-------------
NET ASSETS--100.0% ........................ $ 130,662,676
=============
</TABLE>
(a) Non-income producing security.
The accompanying notes are an integral part of the financial statements
12
<PAGE> 15
THE FINANCIAL SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS
MARCH 31, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
<S> <C> <C>
COMMON STOCK -- 100.2%
BANKS -- 51.8%
AmSouth Bancorp .............................. 7,476 $ 340,158
Bank One Corp. ............................... 73,938 4,071,211
BankAmerica Corp. ............................ 108,883 7,689,862
BankBoston Corp. ............................. 18,625 806,695
Bank of New York Co., Inc. ................... 47,843 1,719,358
Bankers Trust Corp. .......................... 5,986 528,264
BB&T Corp. ................................... 19,542 707,176
Chase Manhattan Corp. ........................ 53,261 4,330,785
Citigroup, Inc. .............................. 142,122 9,078,043
Comerica, Inc. ............................... 9,803 612,075
Fifth Third Bancorp .......................... 16,759 1,105,046
First Union Corp. ............................ 62,390 3,333,966
Firstar Corp. ................................ 14,470 1,295,065
Fleet Financial Group, Inc. .................. 35,770 1,345,846
Huntington Bancshares, Inc. .................. 13,349 412,985
J.P. Morgan & Co., Inc. ...................... 11,007 1,357,989
KeyCorp ...................................... 28,773 872,181
Mellon Bank Corp. ............................ 16,423 1,155,769
Mercantile Bancorporation, Inc. .............. 9,900 470,250
National City Corp. .......................... 20,568 1,365,201
Northern Trust Corp. ......................... 6,948 617,069
PNC Bank Corp. ............................... 18,937 1,052,187
Regions Financial Corp. ...................... 13,972 483,780
Republic New York Corp. ...................... 6,751 311,390
SouthTrust Corp. ............................. 10,428 389,095
State Street Corp. ........................... 10,143 833,628
Summit Bancorp ............................... 11,019 429,741
SunTrust Banks, Inc. ......................... 20,199 1,257,388
Synovus Financial Corp. ...................... 16,902 345,435
U.S. Bancorp ................................. 45,883 1,562,890
Union Planters Corp. ......................... 8,642 379,708
Wachovia ..................................... 12,787 1,038,144
Wells Fargo & Co. ............................ 103,436 3,626,725
----------
54,925,105
----------
FINANCIAL SERVICES -- 18.0%
American Express Co. ......................... 28,491 3,347,692
Aon Corp. .................................... 10,741 679,368
Associates First Capital Corp. (Class A) ..... 45,841 2,062,845
Capital One Financial Corp. .................. 4,166 629,066
Countrywide Credit Industries, Inc. .......... 7,105 266,437
Freddie Mac .................................. 42,714 2,440,037
Fannie Mae ................................... 65,198 4,514,962
FINANCIAL SERVICES (CONTINUED)
Household International, Inc. ................ 30,348 $ 1,384,628
Marsh & McLennan Cos., Inc. .................. 16,168 1,199,463
MBNA Corp. ................................... 50,431 1,204,040
Providian Financial Corp. .................... 8,889 977,790
SLM Holding Corp. ............................ 10,467 436,997
----------
19,143,325
----------
LIFE INSURANCE -- 5.1%
American General Corp. ................. 15,924 1,122,642
CIGNA Corp. ............................ 13,038 1,092,748
Conseco, Inc. .......................... 20,192 623,428
Jefferson-Pilot Corp. .................. 6,666 451,622
Lincoln National Corp. ................. 6,328 625,681
Provident Cos., Inc. ................... 8,528 294,749
Torchmark Corp. ........................ 8,903 281,557
Transamerica Corp. ..................... 7,847 557,137
UNUM Corp. ............................. 8,706 414,079
----------
5,463,643
----------
PROPERTY INSURANCE -- 14.8%
Allstate Corp. ............................. 51,650 1,914,278
American International Group, Inc. ......... 77,251 9,318,402
Chubb Corp. ................................ 10,242 599,797
Cincinnati Financial Corp. ................. 10,594 386,019
Hartford Financial Services
Group, Inc. ........................... 14,740 837,416
Loews Corp. ................................ 7,218 538,643
MBIA, Inc. ................................. 6,241 361,978
MGIC Investment Corp. ...................... 6,969 244,351
Progressive Corp. .......................... 4,593 659,095
SAFECO Corp. ............................... 8,672 350,674
St. Paul Cos., Inc. ........................ 14,901 462,862
----------
15,673,515
----------
SECURITY DEALERS/
ASSET MANAGEMENT -- 8.7%
Bear Stearns Cos., Inc. .................... 7,044 314,779
Charles Schwab Corp. ....................... 25,209 2,423,215
Franklin Resources, Inc. ................... 16,006 450,169
Lehman Brothers Holdings, Inc. ............. 7,169 428,348
Merrill Lynch & Co., Inc. .................. 22,336 1,975,340
Morgan Stanley, Dean Witter & Co. .......... 36,369 3,634,627
----------
9,226,478
----------
</TABLE>
The accompanying notes are an integral part of the financial statements
13
<PAGE> 16
THE FINANCIAL SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
MARCH 31, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
<S> <C> <C>
COMMON STOCK -- (CONTINUED)
THRIFTS -- 1.8%
Golden West Financial Corp. .............. 3,623 $ 345,997
Washington Mutual, Inc. .................. 37,373 1,527,621
----------
1,873,618
----------
TOTAL COMMON STOCK --
(Cost $100,748,889) 106,305,684
-------------
SHORT TERM INVESTMENTS -- 0.1%
MONEY MARKET FUND -- 0.1%
AIM Short Term Investment Class
Prime Fund (Cost $144,886) 144,886 144,886
---------
TOTAL INVESTMENTS -- 100.3%
(Cost $100,893,775) 106,450,570
OTHER ASSETS AND LIABILITIES -- (0.3)% (313,884)
-------------
NET ASSETS -- 100.0% $ 106,136,686
=============
</TABLE>
The accompanying notes are an integral part of the financial statements
14
<PAGE> 17
THE INDUSTRIAL SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS
MARCH 31, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
<S> <C> <C>
COMMON STOCK -- 100.1%
CHEMICALS -- 11.0%
Allied Signal, Inc. ...................... 19,539 $ 961,074
Minnesota Mining &
Manufacturing Co. ................... 13,468 952,861
---------
1,913,935
---------
DEFENSE/AEROSPACE -- 1.2%
Aeroquip-Vickers, Inc. ................... 3,694 211,713
---------
ELECTRICAL EQUIPMENT -- 9.7%
Corning, Inc. ............................ 10,987 659,220
Eaton Corp. .............................. 4,058 290,147
Honeywell, Inc. .......................... 5,493 416,438
Johnson Controls, Inc. ................... 5,127 319,797
---------
1,685,602
---------
ENVIRONMENTAL SERVICES -- 6.4%
Browning-Ferris Industries, Inc. ......... 8,419 324,658
Waste Management, Inc. ................... 17,705 785,659
---------
1,110,317
---------
FINANCIAL SERVICES -- 27.1%
General Electric Co. ..................... 38,097 4,214,481
Textron, Inc. ............................ 6,646 514,234
----------
4,728,715
---------
HEAVY ELECTRICAL
EQUIPMENT -- 6.6%
Cooper Industries, Inc. .................. 5,466 232,988
Emerson Electric Co. ..................... 15,150 802,003
Foster Wheeler Corp. ..................... 8,818 106,918
---------
1,141,909
---------
HEAVY MACHINERY -- 8.4%
Case Corp. ............................... 5,758 146,109
Caterpillar, Inc. ........................ 13,257 608,994
Cummins Engine Co., Inc. ................. 4,603 163,694
Deere & Co. .............................. 9,867 381,113
Harnischfeger Industries, Inc. ........... 8,185 46,552
Nacco Industries, Inc. (Class A) ......... 1,488 110,205
---------
1,456,667
---------
HOME PRODUCTS -- 0.8%
National Service Industries, Inc .......... 4,263 $ 145,208
------------
INDUSTRIAL PARTS -- 14.4%
Briggs & Stratton Corp. ................... 4,520 222,892
Crane Co. ................................. 6,788 164,185
Danaher Corp. ............................. 4,193 219,084
Dover Corp. ............................... 10,927 359,225
Illinois Tool Works, Inc. ................. 9,565 591,834
Ingersoll-Rand Co. ........................ 8,189 406,379
Milacron, Inc. ............................ 7,453 117,385
Pall Corp. ................................ 10,906 180,631
Parker-Hannifin Corp. ..................... 7,164 245,367
------------
2,506,982
------------
MEDICAL PRODUCTS -- 8.9%
Tyco International Ltd. ................... 21,534 1,545,065
------------
CONSTRUCTION -- 0.8%
Fluor Corp. ............................... 5,049 136,323
------------
MOTOR VEHICLES -- 4.8%
Dana Corp. ................................ 9,192 349,296
Navistar International Corp. (a) .......... 7,110 285,733
PACCAR, Inc. .............................. 5,258 216,564
------------
851,593
------------
TOTAL COMMON STOCK --
(Cost $16,273,707) ................... 17,434,029
------------
SHORT TERM INVESTMENTS -- 0.2%
MONEY MARKET FUND -- 0.2%
AIM Short Term Investment Class
Prime Fund (Cost $30,784) ............ 30,784 30,784
------------
TOTAL INVESTMENTS -- 100.3%
(Cost $16,304,491) ................... 17,464,813
OTHER ASSETS AND LIABILITIES -- (0.3)% .... (45,502)
------------
NET ASSETS -- 100.0% ...................... $ 17,419,311
============
</TABLE>
(a) Non-income producing security.
The accompanying notes are an integral part of the financial statements
15
<PAGE> 18
THE TECHNOLOGY SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS
MARCH 31, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ -----
<S> <C> <C>
COMMON STOCK -- 100.0%
COMPUTER HARDWARE -- 27.9%
3Com Corp. (a) ......................... 73,233 $ 1,707,244
Apple Computer, Inc. (a) ............... 27,904 1,002,800
Ascend Communications, Inc.(a) ......... 43,737 3,660,240
Cabletron Systems, Inc. (a) ............ 36,892 302,053
Cisco Systems, Inc. (a) ................ 316,217 34,645,525
Compaq Computer Corp. .................. 338,483 10,725,680
Data General Corp. (a) ................. 13,704 138,753
Dell Computer Corp. (a) ................ 510,078 20,849,438
EMC Corp. (a) .......................... 100,670 12,860,593
Gateway 2000, Inc. (a) ................. 31,644 2,169,592
Hewlett-Packard Co. .................... 203,583 13,805,472
IKON Office Solutions, Inc. ............ 31,133 398,892
International Business
Machines Corp. .................... 184,822 32,759,699
Pitney Bowes, Inc. ..................... 54,932 3,501,915
Seagate Technology, Inc. (a) ........... 49,623 1,466,980
Silicon Graphics, Inc. (a) ............. 38,956 650,078
Sun Microsystems, Inc. (a) ............. 77,290 9,666,081
Xerox Corp. ............................ 131,704 7,029,701
-----------
157,340,736
-----------
COMPUTER SOFTWARE -- 20.3%
Adobe Systems, Inc. .................... 12,518 710,397
Autodesk, Inc. ......................... 12,347 499,282
BMC Software, Inc. (a) ................. 45,052 1,669,740
Computer Associates
International, Inc. ............... 108,454 3,856,895
Compuware Corp. (a) .................... 73,684 1,759,205
Microsoft Corp. (a) .................... 1,042,654 93,447,865
Novell, Inc. (a) ....................... 68,427 1,723,505
Oracle Corp. (a) ....................... 289,078 7,624,432
Parametric Technology Corp.(a) ......... 54,562 1,077,600
PeopleSoft, Inc. ....................... 48,007 702,102
Unisys Corp. (a) ....................... 52,898 1,464,613
-----------
114,535,636
-----------
DEFENSE/AEROSPACE -- 2.9%
B.F. Goodrich Co. ...................... 15,534 533,010
Boeing Co. ............................. 188,473 6,431,641
General Dynamics Corp. ................. 25,741 1,653,859
Lockheed Martin Corp. .................. 79,098 2,981,006
Northrop Grumman Corp. ................. 14,143 846,812
Raytheon Co. (Class B) ................. 67,801 3,974,834
-----------
16,421,162
-----------
DRUGS -- 1.4%
Amgen, Inc. (a) ........................ 102,171 $ 7,650,054
-----------
ELECTRICAL EQUIPMENT -- 9.8%
Andrew Corp. (a) ......................... 20,423 251,458
General Instrument Corp. (a) ............. 34,177 1,035,990
Harris Corp. ............................. 16,420 470,023
KLA-Tencor Corp. (a) ..................... 17,956 871,988
Lucent Technologies, Inc. ................ 249,419 26,874,897
Millipore Corp. .......................... 9,664 233,144
Motorola, Inc. ........................... 120,430 8,821,497
Northern Telecom Ltd. .................... 133,187 8,274,243
Perkin-Elmer Corp. ....................... 10,184 988,485
Raychem Corp. ............................ 16,420 370,476
Scientific-Atlanta, Inc. ................. 15,840 431,640
Solectron Corp. (a) ...................... 50,530 2,453,863
Tektronix, Inc. .......................... 10,216 257,954
Tellabs, Inc. (a) ........................ 39,128 3,824,762
Thermo Electron Corp. (a) ................ 33,278 451,333
-----------
55,611,753
-----------
FINANCIAL SERVICES -- 0.2%
Equifax, Inc. ............................ 30,174 1,037,231
-----------
HEAVY ELECTRICAL
EQUIPMENT -- 0.9%
AMP, Inc. ................................ 44,160 2,370,840
Rockwell International Corp. ............. 38,466 1,632,401
Thomas & Betts Corp. ..................... 11,875 446,055
W.W. Grainger, Inc. ...................... 19,505 839,934
-----------
5,289,230
-----------
INDUSTRIAL PARTS -- 1.1%
United Technologies Corp. ................ 45,369 6,144,664
-----------
INFORMATION SERVICES -- 8.0%
America Online, Inc. ..................... 185,247 27,046,062
Automatic Data Processing, Inc. .......... 123,852 5,124,376
Ceridian Corp. (a) ....................... 29,179 1,066,857
Computer Sciences Corp. .................. 32,198 1,776,927
Electronic Data Systems Corp. ............ 99,059 4,822,935
First Data Corp. ......................... 89,134 3,810,479
Paychex, Inc. ............................ 33,184 1,574,166
-----------
45,221,802
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements
16
<PAGE> 19
THE TECHNOLOGY SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
MARCH 31, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
<S> <C> <C>
COMMON STOCK -- (CONTINUED)
LEISURE TIME -- 0.8%
Eastman Kodak Co. ........................ 65,234 $ 4,166,822
Polaroid Corp. ........................... 9,715 194,907
-----------
4,361,729
-----------
MOTOR VEHICLES -- 0.2%
TRW, Inc. ................................ 24,407 1,110,519
-----------
PUBLISHING -- 0.0%(b)
Moore Corp. Ltd. ......................... 19,734 194,873
-----------
SEMI-CONDUCTORS -- 10.0%
Advanced Micro Devices, Inc.(a) .......... 31,328 485,584
Applied Materials, Inc. (a) .............. 74,283 4,582,333
EG & G, Inc. ............................. 9,723 256,444
Intel Corp. .............................. 333,791 39,679,405
LSI Logic Corp. (a) ...................... 29,079 906,902
Micron Technology, Inc. (a) .............. 49,989 2,411,969
National Semiconductor Corp.(a) .......... 35,633 331,832
Texas Instruments, Inc. .................. 78,265 7,767,801
-----------
56,422,270
-----------
TELEPHONE -- 13.5%
AT&T Corp. ................................. 420,082 33,527,794
Century Telephone Enterprises, Inc. ........ 18,440 1,295,410
MCI WorldCom, Inc. (a) ..................... 367,182 32,518,556
Sprint Corp. ............................... 89,709 8,802,696
-----------
76,144,456
-----------
WIRELESS COMMUNICATIONS -- 3.0%
AirTouch Communications, Inc.(a) ........... 114,791 $ 11,091,681
Nextel Communications, Inc. ................
(Class A) (a) ......................... 58,134 2,129,158
Sprint Corp. (PCS Group) (a) ............... 88,529 3,922,941
-----------
17,143,780
-----------
TOTAL COMMON STOCK --
(Cost $544,063,943) ................... 564,629,895
------------
SHORT TERM INVESTMENTS -- 0.0%(b)
MONEY MARKET FUNDS -- 0.0%(b)
AIM Short Term Investment Class
Prime Fund ............................ 150,794 150,794
Federated Prime Obligations Fund ........... 24,161 24,161
------------
TOTAL SHORT TERM INVESTMENTS --
(Cost $174,955) ....................... 174,955
------------
TOTAL INVESTMENTS -- 100.0%
(Cost $544,238,898) ................... 564,804,850
OTHER ASSETS AND LIABILITIES -- 0.0%(b) .... 30,831
------------
NET ASSETS -- 100.0% ....................... $564,835,681
============
</TABLE>
(a) Non-income producing security.
(b) Amount shown represents less than 0.1%.
The accompanying notes are an integral part of the financial statements
17
<PAGE> 20
THE UTILITIES SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS
MARCH 31, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
<S> <C> <C>
COMMON STOCK -- 100.3%
ELECTRIC UTILITIES -- 36.8%
AES Corp. (a) ............................. 16,623 $ 619,207
Ameren Corp. .............................. 13,278 480,498
American Electric Power Co., Inc. ......... 17,423 691,475
Baltimore Gas & Electric Co. .............. 15,252 387,020
Carolina Power & Light Co. ................ 14,297 540,605
Central & South West Corp. ................ 20,476 479,906
Cinergy Corp. ............................. 15,699 431,723
Consolidated Edison, Inc. ................. 20,586 932,803
Dominion Resources, Inc. .................. 17,872 660,147
DTE Energy Co. ............................ 13,699 526,555
Duke Energy Corp. ......................... 30,729 1,678,572
Edison International ...................... 31,878 709,286
Entergy Corp. ............................. 22,723 624,883
FirstEnergy Corp. ......................... 21,968 613,731
FPL Group, Inc. ........................... 16,018 852,958
GPU, Inc. ................................. 12,481 465,697
New Century Energies, Inc. ................ 11,541 393,115
Niagara Mohawk Holdings, Inc.(a) .......... 20,972 281,811
Northern States Power Co. ................. 15,678 363,534
PacifiCorp ................................ 28,579 492,988
PECO Energy Co. ........................... 19,840 917,600
PG&E Corp. ................................ 33,440 1,038,730
PP&L Resources, Inc. ...................... 15,409 381,373
Public Service Enterprise Group, Inc. ..... 20,087 767,072
Reliant Energy, Inc. ...................... 25,912 675,331
Southern Co. .............................. 59,647 1,390,521
Texas Utilities Co. ....................... 24,656 1,027,847
Unicom Corp. .............................. 19,688 719,842
-----------
19,144,830
-----------
GAS UTILITIES -- 2.2%
Eastern Enterprises ....................... 3,957 143,936
NICOR, Inc. ............................... 6,151 221,051
ONEOK, Inc. ............................... 5,764 142,659
Peoples Energy Corp. ...................... 5,315 171,741
Sempra Energy ............................. 23,471 450,350
-----------
1,129,737
-----------
TELEPHONE -- 61.3%
ALLTEL Corp. .............................. 23,368 1,457,579
Ameritech Corp. ........................... 40,594 2,349,378
Bell Atlantic Corp. ....................... 125,463 6,484,869
BellSouth Corp. ........................... 157,642 6,315,533
Frontier Corp. ............................ 15,444 801,158
GTE Corp. ................................. 78,001 4,719,060
SBC Communications, Inc. .................. 158,179 7,454,185
U.S. West, Inc. ........................... 42,120 2,319,232
-----------
31,900,994
-----------
TOTAL COMMON STOCK --
(Cost $58,836,450) ................... 52,175,561
-----------
SHORT TERM INVESTMENTS -- 0.2%
MONEY MARKET FUND -- 0.2%
AIM Short Term Investment Class
Prime Fund (Cost $123,677) ........... 123,677 123,677
-----------
TOTAL INVESTMENTS -- 100.5%
(Cost $58,960,127) ................... 52,299,238
OTHER ASSETS AND LIABILITIES -- (0.5)% .... (283,238)
-----------
NET ASSETS -- 100.0% ...................... $52,016,000
===========
</TABLE>
(a) Non-income producing security.
The accompanying notes are an integral part of the financial statements
18
<PAGE> 21
(This page has been left blank intentionally.)
19
<PAGE> 22
THE SELECT SECTOR SPDR TRUST
STATEMENTS OF ASSETS AND LIABILITIES
MARCH 31, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
THE BASIC THE CONSUMER THE CONSUMER THE CYCLICAL/
INDUSTRIES SERVICES STAPLES TRANSPORTATION
SELECT SECTOR SELECT SECTOR SELECT SECTOR SELECT SECTOR
SPDR FUND SPDR FUND SPDR FUND SPDR FUND
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
ASSETS
Investments in securities, at value (Note 2) .......... $ 21,902,342 $ 61,522,676 $ 119,427,212 $ 27,136,844
Cash .................................................. 9,009 8,995 10,059 9,600
Receivable for investments sold ....................... 0 0 0 0
Dividends receivable (Note 2) ......................... 23,786 11,295 188,637 15,968
Prepaid expenses ...................................... 850 1,574 2,331 996
------------- ------------- ------------- -------------
TOTAL ASSETS ...................................... 21,935,987 61,544,540 119,628,239 27,163,408
------------- ------------- ------------- -------------
LIABILITIES
Payable for investments purchased ..................... 0 0 0 0
Payable for income delivered for Select Sector
SPDRs redeemed in-kind .............................. 0 0 0 0
Distributions payable (Note 2) ........................ 74,555 0 220,323 30,410
Accrued advisory fees (Note 3) ........................ 881 2,600 5,215 1,015
Accrued trustees fees (Note 3) ........................ 0 0 3,179 0
Accrued distribution fees (Note 3) .................... 4,405 12,993 26,073 5,073
Accrued expenses and other liabilities ................ 10,519 31,018 62,807 12,547
------------- ------------- ------------- -------------
TOTAL LIABILITIES ................................. 90,360 46,611 317,597 49,045
------------- ------------- ------------- -------------
NET ASSETS ........................................ $ 21,845,627 $ 61,497,929 $ 119,310,642 $ 27,114,363
============= ============= ============= =============
NET ASSETS REPRESENTED BY:
Paid in surplus (Note 4) .............................. $ 21,249,176 $ 56,667,895 $ 118,732,698 $ 25,379,223
Undistributed net investment income (loss) ............ 12,925 (38,806) 6,852 (3,176)
Accumulated net realized gain (loss) on investments ... (1,267) 557,461 (84,210) (9,421)
Net unrealized appreciation (depreciation)
on investments ...................................... 584,793 4,311,379 655,302 1,747,737
------------- ------------- ------------- -------------
NET ASSETS ........................................ $ 21,845,627 $ 61,497,929 $ 119,310,642 $ 27,114,363
============= ============= ============= =============
NET ASSET VALUE PER SELECT SECTOR SPDR
Net asset value per Select Sector SPDR ................ $ 21.83 $ 27.95 $ 26.51 $ 28.53
============= ============= ============= =============
Shares outstanding (unlimited amount authorized,
$0.001 par value) ................................... 1,000,536 2,200,463 4,500,426 950,453
============= ============= ============= =============
Cost of investments ................................... $ 21,317,549 $ 57,211,297 $ 118,771,910 $ 25,389,107
============= ============= ============= =============
</TABLE>
The accompanying notes are an integral part of the financial statements
20
<PAGE> 23
<TABLE>
<CAPTION>
THE ENERGY THE FINANCIAL THE INDUSTRIAL THE TECHNOLOGY THE UTILITIES
SELECT SECTOR SELECT SECTOR SELECT SECTOR SELECT SECTOR SELECT SECTOR
SPDR FUND SPDR FUND SPDR FUND SPDR FUND SPDR FUND
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C>
$ 131,257,645 $ 106,450,570 $ 17,464,813 $ 564,804,850 $ 52,299,238
7,280 6,563 6,581 78,301 0
9,118,389 0 0 8,698,967 639,978
44,920 129,438 26,007 291,628 122,161
1,648 2,074 1,003 4,807 1,816
- ------------- ------------- ------------- ------------- -------------
140,429,882 106,588,645 17,498,404 573,878,553 53,063,193
- ------------- ------------- ------------- ------------- -------------
9,141,886 81,449 0 8,635,345 628,204
0 0 0 1,620 0
556,176 294,619 65,517 0 368,732
4,371 4,444 745 23,593 2,417
2,114 0 0 20,041 257
21,854 22,218 3,725 117,963 12,087
40,805 49,229 9,106 244,310 35,496
- ------------- ------------- ------------- ------------- -------------
9,767,206 451,959 79,093 9,042,872 1,047,193
- ------------- ------------- ------------- ------------- -------------
$ 130,662,676 $ 106,136,686 $ 17,419,311 $ 564,835,681 $ 52,016,000
============= ============= ============= ============= =============
$ 128,607,478 $ 100,499,775 $ 16,225,825 $ 546,095,381 $ 58,727,216
(19,850) 17,290 826 (115,771) 13,014
(680,544) 62,826 32,338 (1,709,881) (63,341)
2,755,592 5,556,795 1,160,322 20,565,952 (6,660,889)
- ------------- ------------- ------------- ------------- -------------
$ 130,662,676 $ 106,136,686 $ 17,419,311 $ 564,835,681 $ 52,016,000
============= ============= ============= ============= =============
$ 24.65 $ 24.97 $ 24.87 $ 36.68 $ 26.67
============= ============= ============= ============= =============
5,300,471 4,250,505 700,490 15,400,369 1,950,382
============= ============= ============= ============= =============
$ 128,502,053 $ 100,893,775 $ 16,304,491 $ 544,238,898 $ 58,960,127
============= ============= ============= ============= =============
</TABLE>
21
<PAGE> 24
THE SELECT SECTOR SPDR TRUST
STATEMENTS OF OPERATIONS
FOR THE PERIOD DECEMBER 16, 1998* THROUGH MARCH 31, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
THE BASIC THE CONSUMER THE CONSUMER THE CYCLICAL/
INDUSTRIES SERVICES STAPLES TRANSPORTATION
SELECT SECTOR SELECT SECTOR SELECT SECTOR SELECT SECTOR
SPDR FUND SPDR FUND SPDR FUND SPDR FUND
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Dividend income (Note 2) ............................... $ 99,149 $ 65,341 $ 369,006 $ 49,925
----------- ----------- ----------- -----------
EXPENSES
Distribution fee (Note 3) .............................. 10,505 35,310 67,557 12,670
License fee (Note 3) ................................... 6,035 16,622 29,968 6,814
Administration, custody
and transfer agency fee (Note 3) ..................... 4,202 14,124 27,023 5,068
Advisory fee (Note 3) .................................. 2,101 7,062 13,512 2,534
Professional fees ...................................... 1,504 5,309 10,047 1,764
Trustee fees (Note 3) .................................. 1,136 4,011 7,591 1,333
SEC registration expense ............................... 929 3,280 6,207 1,090
Printing and postage expense ........................... 902 3,185 6,028 1,058
Blue sky fees .......................................... 336 335 336 336
Insurance expense ...................................... 254 897 1,697 298
Miscellaneous expenses ................................. 89 177 177 88
----------- ----------- ----------- -----------
TOTAL EXPENSES ....................................... 27,993 90,312 170,143 33,053
----------- ----------- ----------- -----------
NET INVESTMENT INCOME (LOSS) ......................... 71,156 (24,971) 198,863 16,872
----------- ----------- ----------- -----------
REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS
Net realized gain (loss) on investment transactions .... 58,860 1,128,601 1,269,513 374,715
Net change in unrealized appreciation (depreciation) ... 584,793 4,311,379 655,302 1,747,737
----------- ----------- ----------- -----------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS ......................... 643,653 5,439,980 1,924,815 2,122,452
----------- ----------- ----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS .............................. $ 714,809 $ 5,415,009 $ 2,123,678 $ 2,139,324
=========== =========== =========== ===========
</TABLE>
* Commencement of investment operations
The accompanying notes are an integral part of the financial statements
22
<PAGE> 25
<TABLE>
<CAPTION>
THE ENERGY THE FINANCIAL THE INDUSTRIAL THE TECHNOLOGY THE UTILITIES
SELECT SECTOR SELECT SECTOR SELECT SECTOR SELECT SECTOR SELECT SECTOR
SPDR FUND SPDR FUND SPDR FUND SPDR FUND SPDR FUND
<S> <C> <C> <C> <C>
$ 299,302 $ 399,815 $ 91,202 $ 566,097 $ 458,174
- -------------- ------------ ------------ ------------ ------------
45,728 56,263 11,681 269,370 38,073
18,792 25,048 6,799 112,219 18,273
18,291 22,505 4,672 107,748 15,229
9,146 11,252 2,336 53,874 7,615
5,769 8,265 1,815 39,064 5,969
4,359 6,245 1,372 29,515 4,510
3,564 5,106 1,121 24,133 3,687
3,461 4,959 1,089 23,438 3,581
336 336 336 336 336
974 1,396 307 6,597 1,008
87 264 177 265 178
- -------------- ------------ ------------ ------------ ------------
110,507 141,639 31,705 666,559 98,459
- -------------- ------------ ------------ ------------ ------------
188,795 258,176 59,497 (100,462) 359,715
- -------------- ------------ ------------ ------------ ------------
1,992,243 140,073 32,338 14,652,323 (82,462)
2,755,592 5,556,795 1,160,322 20,565,952 (6,660,889)
- -------------- ------------ ------------ ------------ ------------
4,747,835 5,696,868 1,192,660 35,218,275 (6,743,351)
- -------------- ------------ ------------ ------------ ------------
$ 4,936,630 $ 5,955,044 $ 1,252,157 $ 35,117,813 $ (6,383,636)
============== ============ ============ ============ ============
</TABLE>
23
<PAGE> 26
THE SELECT SECTOR SPDR TRUST
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD DECEMBER 16, 1998* THROUGH MARCH 31, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
THE BASIC THE CONSUMER THE CONSUMER THE CYCLICAL/
INDUSTRIES SERVICES STAPLES TRANSPORTATION
SELECT SECTOR SELECT SECTOR SELECT SECTOR SELECT SECTOR
SPDR FUND SPDR FUND SPDR FUND SPDR FUND
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS:
Net investment income (loss) ......................... $ 71,156 $ (24,971) $ 198,863 $ 16,872
Net realized gain (loss) on investment transactions .. 58,860 1,128,601 1,269,513
374,715
Net change in unrealized appreciation (depreciation) . 584,793 4,311,379 655,302 1,747,737
------------- ------------- ------------- -------------
NET CHANGE IN NET ASSETS FROM OPERATIONS ............... 714,809 5,415,009 2,123,678 2,139,324
------------- ------------- ------------- -------------
UNDISTRIBUTED NET INVESTMENT INCOME INCLUDED IN
PRICE OF UNITS ISSUED AND REDEEMED, NET ................ 16,324 (13,835) 28,312 10,362
------------- ------------- ------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ................................ (71,156) 0 (198,863) (16,872)
In excess of net investment income ................... (3,399) 0 (21,460) (13,538)
------------- ------------- ------------- -------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS .................... (74,555) 0 (220,323) (30,410)
------------- ------------- ------------- -------------
NET INCREASE IN NET ASSETS FROM ISSUANCE
AND REDEMPTION OF SPDRS (NOTE 4) ....................... 21,177,938 56,085,644 117,367,864 24,983,976
------------- ------------- ------------- -------------
Net increase in net assets during period ............. 21,834,516 61,486,818 119,299,531 27,103,252
Net assets at beginning of period .................... 11,111 11,111 11,111 11,111
------------- ------------- ------------- -------------
NET ASSETS END OF PERIOD (1) ............................... $ 21,845,627 $ 61,497,929 $ 119,310,642 $ 27,114,363
============= ============= ============= =============
(1) Including undistributed (distribution
in excess of) net investment income.................. $ 12,925 $ (38,806) $ 6,852 $ (3,176)
============= ============= ============= =============
</TABLE>
* Commencement of investment operations
The accompanying notes are an integral part of the financial statements
24
<PAGE> 27
<TABLE>
<CAPTION>
THE ENERGY THE FINANCIAL THE INDUSTRIAL THE TECHNOLOGY THE UTILITIES
SELECT SECTOR SELECT SECTOR SELECT SECTOR SELECT SECTOR SELECT SECTOR
SPDR FUND SPDR FUND SPDR FUND SPDR FUND SPDR FUND
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C>
$ 188,795 $ 258,176 $ 59,497 $ (100,462) $ 359,715
1,992,243 140,073 32,338 14,652,323 (82,462)
2,755,592 5,556,795 1,160,322 20,565,952 (6,660,889)
- ------------- ------------- ------------- ------------- -------------
4,936,630 5,955,044 1,252,157 35,117,813 (6,383,636)
- ------------- ------------- ------------- ------------- -------------
347,531 53,733 6,846 (15,309) 22,030
- ------------- ------------- ------------- ------------- -------------
(188,795) (258,176) (59,497) 0 (359,715)
(367,381) (36,443) (6,020) 0 (9,016)
- ------------- ------------- ------------- ------------- -------------
(556,176) (294,619) (65,517) 0 (368,731)
- ------------- ------------- ------------- ------------- -------------
125,923,580 100,411,417 16,214,714 529,722,066 58,735,226
- ------------- ------------- ------------- ------------- -------------
130,651,565 106,125,575 17,408,200 564,824,570 52,004,889
11,111 11,111 11,111 11,111 11,111
- ------------- ------------- ------------- ------------- -------------
$ 130,662,676 $ 106,136,686 $ 17,419,311 $ 564,835,681 $ 52,016,000
============= ============= ============= ============= =============
$ (19,850) $ 17,290 $ 826 $ (115,771) $ 13,014
============= ============= ============= ============= =============
</TABLE>
25
<PAGE> 28
THE SELECT SECTOR SPDR TRUST
FINANCIAL HIGHLIGHTS (UNAUDITED)
For a Select Sector SPDR outstanding for the period indicated
<TABLE>
<CAPTION>
THE BASIC THE CONSUMER THE CONSUMER THE CYCLICAL/
INDUSTRIES SERVICES STAPLES TRANSPORTATION
SELECT SECTOR SELECT SECTOR SELECT SECTOR SELECT SECTOR
SPDR FUND SPDR FUND SPDR FUND SPDR FUND
12/16/98 - 12/16/98 - 12/16/98 - 12/16/98 -
3/31/99 (1) 3/31/99 (1) 3/31/99 (1) 3/31/99 (1)
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
Net asset value, beginning of period ........... $ 20.717 $ 23.974 $ 26.064 $ 24.512
------------ ------------ ------------ ------------
Net investment income (loss) ................... 0.071 (0.011) 0.044 0.018
Net realized and unrealized gain (loss) ........ 1.105 3.991 0.446 4.019
------------ ------------ ------------ ------------
Total from investment operations ............... 1.176 3.980 0.490 4.037
------------ ------------ ------------ ------------
Undistributed net investment income included
in price of units issued and redeemed .......... 0.016 (0.006) 0.006 0.011
------------ ------------ ------------ ------------
Distributions to shareholders from:
Net investment income .......................... (0.071) (0.000) (0.044) (0.018)
In excess of net investment income ............. (0.004) (0.000) (0.005) (0.014)
------------ ------------ ------------ ------------
Total distributions ............................ (0.075) (0.000) (0.049) (0.032)
------------ ------------ ------------ ------------
Net asset value, end of period ................. $ 21.834 $ 27.948 $ 26.511 $ 28.528
============ ============ ============ ============
Total return (2) ............................... 5.67% 16.59% 1.93% 16.52%
Net assets, end of period (in 000's) ........... $ 21,846 $ 61,498 $ 119,311 $ 27,114
Ratio of expenses to average net assets (3) .... 0.66% 0.64% 0.63% 0.65%
Ratio of net investment income (loss)
to average net assets (3) .................. 1.68% (0.18)% 0.73% 0.33%
Portfolio turnover rate (4) .................... 0.16% 10.52% 1.29% 1.40%
</TABLE>
(1) Investment operations commenced on December 16, 1998.
(2) Total return is calculated assuming a purchase of shares at net asset value
per share on the first day and a sale at net asset value per share on the
last day of each period reported. Distributions are assumed, for the
purposes of this calculation, to be reinvested at the net asset value per
share on the respective payment dates of each Fund. Total return for a
period of less than one year is not annualized.
(3) Annualized.
(4) Portfolio turnover rate excludes securities received or delivered from
processing creations or redemptions on Select Sector SPDRs.
The beginning net asset values shown above have been adjusted to reflect reverse
stock splits which were effective on December 16, 1998, in order to adjust the
net asset value per share of each Fund to be approximately 1/10th of the value
of its respective Select Sector Index. The ratio of the reverse stock split for
The Basic Industries Select Sector SPDR Fund, The Consumer Services Select
Sector SPDR Fund, The Consumer Staples Select Sector SPDR Fund, The
Cyclical/Transportation Select Sector SPDR Fund, The Energy Select Sector SPDR
Fund, The Financial Select Sector SPDR Fund, The Industrial Select Sector SPDR
Fund, The Technology Select Sector SPDR Fund, and The Utilities Select Sector
SPDR Fund was 1 for 2.072, 1 for 2.397, 1 for 2.606, 1 for 2.451, 1 for 2.359, 1
for 2.202, 1 for 2.266, 1 for 3.009,and 1 for 2.906, respectively.
26
<PAGE> 29
<TABLE>
<CAPTION>
THE ENERGY THE FINANCIAL THE INDUSTRIAL THE TECHNOLOGY THE UTILITIES
SELECT SECTOR SELECT SECTOR SELECT SECTOR SELECT SECTOR SELECT SECTOR
SPDR FUND SPDR FUND SPDR FUND SPDR FUND SPDR FUND
12/16/98 - 12/16/98 - 12/16/98 - 12/16/98 - 12/16/98 -
3/31/99 (1) 3/31/99 (1) 3/31/99 (1) 3/31/99 (1) 3/31/99 (1)
----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
$ 23.588 $ 22.020 $ 22.656 $ 30.086 $ 29.060
- ------------ ------------ ------------ ------------ ------------
0.020 0.061 0.080 (0.010) 0.184
1.067 2.945 2.215 6.602 (2.396)
- ------------ ------------ ------------ ------------ ------------
1.087 3.006 2.295 6.592 (2.212)
- ------------ ------------ ------------ ------------ ------------
0.066 0.013 0.010 (0.001) 0.011
- ------------ ------------ ------------ ------------ ------------
(0.020) (0.061) (0.080) (0.000) (0.184)
(0.070) (0.008) (0.014) (0.000) (0.005)
- ------------ ------------ ------------ ------------ ------------
(0.090) (0.069) (0.094) (0.000) (0.189)
- ------------ ------------ ------------ ------------ ------------
$ 24.651 $ 24.970 $ 24.867 $ 36.677 $ 26.670
============ ============ ============ ============ ============
4.83% 13.71% 10.10% 21.89% (7.61)%
$ 130,663 $ 106,137 $ 17,419 $ 564,836 $ 52,016
0.60% 0.63% 0.67% 0.62% 0.64%
1.03% 1.15% 1.26% (0.09)% 2.35%
22.71% 2.36% 3.50% 6.31% 1.52%
</TABLE>
27
<PAGE> 30
THE SELECT SECTOR SPDR TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 1999 (UNAUDITED)
1. ORGANIZATION
The Select Sector SPDR Trust (the "Trust") was organized in the Commonwealth of
Massachusetts on June 10, 1998 and is registered under the Investment Company
Act of 1940 (the "1940 Act"), as amended, as an open-end management investment
company. The Trust was created to provide investors with the opportunity to
purchase a security representing a proportionate undivided interest in a
portfolio of securities consisting of substantially all of the common stocks in
substantially the same weighting, in a particular sector or group of industries
as specified by a specified market sector index (each a "Select Sector Index").
Each of the nine Select Sector Indexes represents a basket of equity securities
of public companies that are components of the S & P 500 Index and are included
in a specific sector. The Trust is comprised of nine funds (collectively the
"Funds" and each individually a "Fund") as follows: The Basic Industries Select
Sector SPDR Fund, The Consumer Services Select Sector SPDR Fund, The Consumer
Staples Select Sector SPDR Fund, The Cyclical/Transportation Select Sector SPDR
Fund, The Energy Select Sector SPDR Fund, The Financial Select Sector SPDR Fund,
The Industrial Select Sector SPDR Fund, The Technology Select Sector SPDR Fund,
and The Utilities Select Sector SPDR Fund. Each Fund operates as a
non-diversified investment company.
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the
Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts and disclosures in the financial statements. Actual
results could differ from those estimates.
SECURITY VALUATION
Portfolio securities are valued at the last quoted current price. Price
information on listed securities is taken from the exchange where the securities
are primarily traded. Securities regularly traded in an over-the-counter market
are valued at the latest quoted bid price in such market. Other portfolio
securities and assets for which market quotations are not readily available are
valued based on fair value as determined in good faith by the Advisor in
accordance with procedures adopted by the Board of Trustees.
FEDERAL INCOME TAX
The Funds intend to qualify for and elect treatment as a "regulated investment
company" under Subchapter M of the Internal Revenue Code of 1986, as amended. By
so qualifying and electing, each Fund will not be subject to federal income
taxes to the extent they distribute their taxable income, including any net
realized capital gains, for each fiscal year. In addition, by distributing
during each calendar year substantially all of their net investment income and
capital gains, if any, the Funds will not be subject to federal excise tax.
Income and capital gain distributions are determined in accordance with income
tax regulations which may differ from generally accepted accounting principles.
These book-tax differences are primarily due to differing treatments for income
equalization, in-kind transactions and losses deferred due to wash sales.
28
<PAGE> 31
THE SELECT SECTOR SPDR TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
MARCH 31, 1999 (UNAUDITED)
During the fiscal period ended March 31, 1999, the Funds reclassified
non-taxable security gains and losses realized in the in-kind redemption of
Creation Units (Note 4) as an increase to paid in surplus in the Statements of
Assets and Liabilities as follows:
<TABLE>
<CAPTION>
NET GAIN (LOSS)
RECLASS AMOUNT
--------------
<S> <C>
The Basic Industries Select Sector SPDR Fund $ 60,127
The Consumer Services Select Sector SPDR Fund 571,140
The Consumer Staples Select Sector SPDR Fund 1,353,723
The Cyclical/Transportation Select Sector SPDR Fund 384,136
The Energy Select Sector SPDR Fund 2,672,787
The Financial Select Sector SPDR Fund 77,247
The Industrial Select Sector SPDR Fund 0
The Technology Select Sector SPDR Fund 16,362,204
The Utilities Select Sector SPDR Fund (19,121)
</TABLE>
INVESTMENT INCOME
Corporate actions (including cash dividends) are recorded net of nonreclaimable
tax withholdings on the ex-dividend date. Dividend income is recorded on the
ex-dividend date. Interest income is recorded on the accrual basis. The value of
additional securities received as dividend payments is recorded as income and as
the cost basis of such securities.
EXPENSES
Expenses of the Trust, which are directly identifiable to a specific Fund, are
allocated to that Fund. Expenses, which are not readily identifiable to a
specific Fund, are allocated in such a manner as deemed equitable, taking into
consideration the nature and type of expense and the relative net assets of the
Funds.
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.
DISTRIBUTIONS
The Trust declares and distributes dividends from net investment income to its
shareholders quarterly. The Trust will distribute net realized capital gains, if
any, at least annually.
REPURCHASE AGREEMENTS
Each Fund may enter into repurchase agreements with commercial banks. In a
repurchase agreement, a Fund buys a security and the seller simultaneously
agrees to repurchase the security on a specified future date at an agreed-upon
price. The repurchase price reflects an agreed-upon interest rate during the
time the Fund's money is invested in the security. Because the security
constitutes collateral for the repurchase obligation, a repurchase agreement can
be considered a collateralized loan. The Fund's risk is the ability of the
seller to pay the agreed-upon price on the maturity date. If the seller is
unable to make a timely repurchase, the Fund could experience delays in the
receipt of expected proceeds, suffer a loss in principal or current interest, or
incur costs in liquidating the collateral. At March 31, 1999, the Trust had no
open repurchase agreements.
29
<PAGE> 32
THE SELECT SECTOR SPDR TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
MARCH 31, 1999 (UNAUDITED)
OTHER
Each of the Select Sector SPDR Funds concentrates its investments in certain
industries, subjecting them to greater risk than funds that invest in a wider
range of industries.
3. FEES AND COMPENSATION PAID TO AFFILIATES AND OTHER PARTIES
ADVISORY FEE
Each Fund has entered into an Investment Advisory Agreement with State Street
Global Advisors ("The Advisor"). As compensation for the services rendered,
facilities furnished, and expenses borne by the Advisor, each Fund pays the
Advisor a fee accrued daily and paid monthly, at the annualized rate of 0.05% of
average daily net assets of each of the Funds.
UNITARY FEE
A "Unitary" Fee is paid by each of the Funds to State Street Bank for the
Administration, Custody and Transfer Agency services it provides to the Funds.
The unitary fee is calculated based upon the aggregate net assets of the Trust
and allocated pro rata to each Select Sector SPDR Fund based upon the relative
net assets of each Fund. The unitary fee is equal to the greater of: (a) a
sliding scale fee calculated as follows: (i) 0.10% of average daily net assets
of the Trust up to the first $4.5 billion of net assets (such $4.5 billion to be
increased by $500 million each time a new Select Sector SPDR Fund is added):
(ii) 0.08% of average daily net assets up to the next $4.5 billion of net assets
of the Trust (such $4.5 billion to be increased by $500 million each time a new
Select Sector SPDR Fund is added): and (iii) 0.06% of average daily net assets
on the remainder of net assets; or (b) a minimum annual fee of $3.15 million
increased by $350,000 each time a new Select Sector SPDR Fund is added. The
minimum fee will not be in effect for the first two years of the Trust's
operation. Each Select Sector SPDR Fund will also bear all other expenses of its
operation.
DISTRIBUTOR
ALPS Mutual Fund Services, Inc. (the "Distributor") serves as the distributor of
the shares of each Fund pursuant to a Distribution Plan and Agreement, pursuant
to Rule 12b-1 under the 1940 Act, between the Distributor and the Trust. The
Rule 12b-1 Plan and Agreement provides for payment of a fee to the Distributor
at an annualized rate of 0.25% of the average daily net assets of each of the
Funds.
ADDITIONAL EXPENSES
Standard and Poor's ("S&P"), the American Stock Exchange LLC (the "AMEX"), and
Merrill Lynch, Pierce, Fenner & Smith Incorporated ("Merrill Lynch") have
entered into a license agreement with respect to each Select Sector SPDR Fund's
Select Sector Index. Pursuant to such license agreement, the Trust has entered
into a sub-license agreement which provides that each Select Sector SPDR Fund
will pay a one time fee to S&P of $5,000 (the "One Time Fee"). In addition, the
Trust will pay a sub-license fee per annum (i) to S&P equal to the greater of
0.03% of the aggregate net assets of the Trust or $450,000 (the "Minimum Annual
Fee"), and (ii) to Merrill Lynch equal to 0.03% of the aggregate net assets of
the Trust. The Minimum Annual Fee (plus the One Time Fee) is payable in full to
S&P during the first year of the sub-license agreement six months from the date
after the first day of trading of any Select Sector SPDR Fund on the AMEX (the
"First Trading Day"). Thereafter, the Minimum Annual Fee is payable in full on
each anniversary of the First Trading Day. The fee to Merrill Lynch is payable
on a quarterly basis. Each Select Sector SPDR Fund will pay its proportionate
share of the annual sub license fees based on the relative net assets of such
Fund.
30
<PAGE> 33
THE SELECT SECTOR SPDR TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
MARCH 31, 1999 (UNAUDITED)
TRUSTEES FEES
Trustees receive an annual fee of $12,000, and a meeting fee of $ 2,000 per
meeting attended. The Funds will reimburse the Trustees for any out of pocket
expenses related to attending meetings of the Board of Trustees.
4. SHAREHOLDER TRANSACTIONS IN SELECT SECTOR SPDRS WERE AS FOLLOWS FOR THE
PERIOD* ENDED MARCH 31, 1999
THE BASIC INDUSTRIES SELECT SECTOR SPDR FUND
<TABLE>
<CAPTION>
Select Sector
SPDRs Amount
----- ------
<S> <C> <C>
SPDRs sold 1,150,000 $ 24,318,542
Dividend reinvestment
SPDRs issued -- --
SPDRs redeemed (150,000) (3,124,280)
Net income equalization -- (16,324)
--------- ------------
Net increase 1,000,000 $ 21,177,938
========= ============
</TABLE>
THE CONSUMER STAPLES SELECT SECTOR SPDR FUND
<TABLE>
<CAPTION>
Select Sector
SPDRs Amount
----- ------
<S> <C> <C>
SPDRs sold 5,100,000 $ 133,772,868
Dividend reinvestment
SPDRs issued -- --
SPDRs redeemed (600,000) $ (16,376,692)
Net income equalization -- (28,312)
--------- -------------
Net increase 4,500,000 $ 117,367,864
========= =============
</TABLE>
THE ENERGY SELECT SECTOR SPDR FUND
<TABLE>
<CAPTION>
Select Sector
SPDRs Amount
----- ------
<S> <C> <C>
SPDRs sold 6,500,000 $ 155,085,858
Dividend reinvestment
SPDRs issued -- --
SPDRs redeemed (1,200,000) (28,814,747)
Net income equalization -- (347,531)
---------- -------------
Net increase 5,300,000 $ 125,923,580
========== =============
</TABLE>
THE CONSUMER SERVICES SELECT SECTOR SPDR FUND
<TABLE>
<CAPTION>
Select Sector
SPDRs Amount
----- ------
<S> <C> <C>
SPDRs sold 2,400,000 $ 61,410,261
Dividend reinvestment
SPDRs issued -- --
SPDRs redeemed (200,000) (5,338,452)
Net income equalization -- 13,835
---------- ------------
Net increase 2,200,000 $ 56,085,644
========== ============
</TABLE>
THE CYCLICAL/TRANSPORTATION SELECT SECTOR SPDR FUND
<TABLE>
<CAPTION>
Select Sector
SPDRs Amount
----- ------
<S> <C> <C>
SPDRs sold 1,100,000 $ 29,027,059
Dividend reinvestment
SPDRs issued -- --
SPDRs redeemed (150,000) $ (4,032,721)
Net income equalization -- (10,362)
---------- ------------
Net increase 950,000 $ 24,983,976
========== ============
</TABLE>
THE FINANCIAL SELECT SECTOR SPDR FUND
<TABLE>
<CAPTION>
Select Sector
SPDRs Amount
----- ------
<S> <C> <C>
SPDRs sold 4,450,000 $ 105,018,850
Dividend reinvestment
SPDRs issued -- --
SPDRs redeemed (200,000) (4,553,700)
Net income equalization -- (53,733)
---------- -------------
Net increase 4,250,000 $ 100,411,417
========== =============
</TABLE>
31
<PAGE> 34
THE SELECT SECTOR SPDR TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
MARCH 31, 1999 (UNAUDITED)
THE INDUSTRIAL SELECT SECTOR SPDR FUND
<TABLE>
<CAPTION>
Select Sector
SPDRs Amount
----- ------
<S> <C> <C>
SPDRs sold 700,000 $ 16,221,560
Dividend reinvestment
SPDRs issued -- --
SPDRs redeemed -- --
Net income equalization -- (6,846)
------- ------------
Net increase 700,000 $ 16,214,714
======= ============
</TABLE>
THE TECHNOLOGY SELECT SECTOR SPDR FUND
<TABLE>
<CAPTION>
Select Sector
SPDRs Amount
----- ------
<S> <C> <C>
SPDRs sold 19,950,000 $ 688,296,387
Dividend reinvestment
SPDRs issued -- --
SPDRs redeemed (4,550,000) (158,589,630)
Net income equalization -- 15,309
----------- -------------
Net increase 15,400,000 $ 529,722,066
=========== =============
</TABLE>
THE UTILITIES SELECT SECTOR SPDR FUND
<TABLE>
<CAPTION>
Select Sector
SPDRs Amount
----- ------
<S> <C> <C>
SPDRs sold 2,100,000 $ 63,049,777
Dividend reinvestment
SPDRs issued -- --
SPDRs redeemed (150,000) (4,292,521)
Net income equalization -- (22,030)
---------- ------------
Net increase 1,950,000 $ 58,735,226
========== ============
</TABLE>
* Funds commenced investment operations on December 16, 1998.
Except for under the Trust's dividend reinvestment plan, Select Sector SPDRs are
issued and redeemed by a Fund only in Creation Unit size aggregations of 50,000
Select Sector SPDRs. 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 Select Sector SPDR (income equalization) and a balancing
cash component to equate the transaction to the net asset value per unit of the
Fund on the transaction date. Transaction fees at scheduled amounts ranging from
$1,000 to $4,000 per Creation Unit are charged to those persons creating or
redeeming Creation Units. Transaction fees are received by the Transfer Agent
and used to offset the expense of processing orders.
5. AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION
The identified cost of investments in securities owned by each Fund for both
financial statement and federal income tax purposes, and their respective gross
unrealized appreciation and depreciation at March 31, 1999 were as follows:
<TABLE>
<CAPTION>
GROSS GROSS NET UNREALIZED
IDENTIFIED UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION DEPRECIATION (DEPRECIATION)
---- ------------ ------------ --------------
<S> <C> <C> <C> <C>
The Basic Industries Select Sector SPDR Fund $ 21,317,549 $ 1,019,393 $ 434,600 $ 584,793
The Consumer Services Select Sector SPDR Fund 57,211,297 6,489,837 2,178,458 4,311,379
The Consumer Staples Select Sector SPDR Fund 118,771,910 6,730,220 6,074,918 655,302
The Cyclical/Transportation Select Sector SPDR Fund 25,389,107 2,042,816 295,079 1,747,737
The Energy Select Sector SPDR Fund 128,502,053 5,241,177 2,485,585 2,755,592
The Financial Select Sector SPDR Fund 100,893,775 8,715,462 3,158,667 5,556,795
The Industrial Select Sector SPDR Fund 16,304,491 1,566,297 405,975 1,160,322
The Technology Select Sector SPDR Fund 544,238,898 44,488,342 23,922,390 20,565,952
The Utilities Select Sector SPDR Fund 58,960,127 453,565 7,114,454 (6,660,889)
</TABLE>
32
<PAGE> 35
THE SELECT SECTOR SPDR TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
MARCH 31, 1999 (UNAUDITED)
6. INVESTMENT TRANSACTIONS
For the period* ended March 31, 1999, the Trust had in-kind contributions and
in-kind redemptions as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
--------- -----
<S> <C> <C>
The Basic Industries Select Sector SPDR Fund $ 24,304,078 $ 3,124,259
The Consumer Services Select Sector SPDR Fund 61,434,617 5,342,596
The Consumer Staples Select Sector SPDR Fund 129,775,393 12,418,796
The Cyclical/Transportation Select Sector SPDR Fund 29,021,544 4,033,998
The Energy Select Sector SPDR Fund 154,722,435 28,796,300
The Financial Select Sector SPDR Fund 100,997,439 2,182,284
The Industrial Select Sector SPDR Fund 16,214,659 0
The Technology Select Sector SPDR Fund 688,365,301 158,637,134
The Utilities Select Sector SPDR Fund 63,003,860 4,264,464
</TABLE>
For the period* ended March 31, 1999, the Trust had purchases and sales of
investment securities as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
--------- -----
<S> <C> <C>
The Basic Industries Select Sector SPDR Fund $ 71,133 $ 28,706
The Consumer Services Select Sector SPDR Fund 6,325,402 6,351,218
The Consumer Staples Select Sector SPDR Fund 1,555,570 1,522,104
The Cyclical/Transportation Select Sector SPDR Fund 186,965 116,890
The Energy Select Sector SPDR Fund 19,122,021 18,626,345
The Financial Select Sector SPDR Fund 4,038,531 2,244,870
The Industrial Select Sector SPDR Fund 712,442 685,731
The Technology Select Sector SPDR Fund 30,046,812 30,363,358
The Utilities Select Sector SPDR Fund 1,156,771 977,255
</TABLE>
*The Funds commenced investment operations on December 16, 1998.
7. INITIAL CAPITALIZATION AND OFFERING OF SHARES
During the period from December 14, 1998 to the commencement of investment
operations for each of the Funds, each Fund had no operations other than those
related to organizational matters, including the initial capital contribution of
$11,111 for each Fund and the issuance of 1,111 shares for each of the Funds. On
December 16, 1998 (commencement of investment operations) the Board of Trustees
declared reverse stock splits with an effective date of December 16, 1998 in
order to adjust the net asset value per share of each portfolio to be
approximately 1/10th of the value of its respective Select Sector Index. All
capital share activity and per share data have been restated to reflect the
reverse stock split. The ratio of the reverse stock split for The Basic
Industries Select Sector SPDR Fund, The Consumer Services Select Sector SPDR
Fund, The Consumer Staples Select Sector SPDR Fund, The Cyclical/Transportation
Select Sector SPDR Fund, The Energy Select Sector SPDR Fund, The Financial
Select Sector SPDR Fund, The Industrial Select Sector SPDR Fund, The Technology
Select Sector SPDR Fund, and The Utilities Select Sector SPDR Fund was 1 for
2.072, 1 for 2.397, 1 for 2.606, 1 for 2.451, 1 for 2.359, 1 for 2.202, 1 for
2.266, 1 for 3.009,and 1 for 2.906, respectively.
33
<PAGE> 36
(This page has been left blank intentionally.)
34
<PAGE> 37
(This page has been left blank intentionally.)
35
<PAGE> 38
(This page has been left blank intentionally.)
36
<PAGE> 39
THE SELECT SECTOR SPDR(R) TRUST
- --------------------------------------------------------------------------------
TRUSTEES
John W. English, Chairman
Cheryl Burgermeister
George R. Gaspari
Burton G. Malkiel
Ernest J. Scalberg
R. Charles Tschampion
OFFICERS
Howard H. Fairweather, President and Secretary
E. Davis Hawkes, Jr., Treasurer and Assistant Secretary
INVESTMENT MANAGER
State Street Bank and Trust Company
225 Franklin Street
Boston, Massachusetts 02110
DISTRIBUTOR
ALPS Mutual Funds Services
370 17(th) Street, Suite 3100
Denver, Colorado 80202
CUSTODIAN, ADMINISTRATOR AND TRANSFER AGENT
State Street Bank and Trust Company
225 Franklin Street
Boston, Massachusetts 02110
LEGAL COUNSEL
Gordon, Altman, Butowsky, Wetzen, Shalov & Wein
114 West 47(th) Street
New York, New York 10036
INDEPENDENT PUBLIC ACCOUNTANTS
PricewaterhouseCoopers LLP
160 Federal Street
Boston, Massachusetts 02110
The Select Sector SPDR Trust is distributed by ALPS Mutual Funds Services,
Inc., a member of the NASD.
The information contained in this report is intended for the general
information of shareholders of the Trust. This report is not authorized for
distribution to prospective investors unless preceded or accompanied by a
current Trust prospectus which contains important information concerning the
Trust. You may obtain a current prospectus from the Distributor. Please read the
prospectus carefully before you invest.
<PAGE> 40
THE SELECT SECTOR SPDR(R) TRUST
225 Franklin Street
Boston, Massachusetts 02110
