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State Street AUT Japan Screened
Index Equity Fund
Annual Report and Audited Financial Statements
For the year ended 31st December 2025
Page 2
Contents Page
Manager's Report* 1
Portfolio Statement* 4
Directors' Report to Unitholders* 23
Manager's Statement of Responsibilities 24
Statement of the Depositary’s Responsibilities 25
Independent Auditors’ Report 26
Comparative Table* 29
Financial statements: 30
Statement of Total Return 30
Statement of Change in Net Assets Attributable to Unitholders 30
Balance Sheet 31
Notes to the Financial Statements 32
Distribution Tables 42
Directory* 43
Appendix I – Remuneration Policy (Unaudited) 45
* These collectively comprise the Manager’s Report.
State Street AUT Japan Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Page 3
Authorised Status The State Street AUT Japan Screened Index Equity Fund (the “Fund”) is an Authorised Unit Trust Scheme as defined in section 243 of the Financial Services and Markets Act 2000 and it is a UCITS Retail Scheme within the meaning of the FCA Collective Investment Schemes sourcebook. The unitholders are not liable for the debts of the Fund.
Investment Objective and Policy The objective of the Fund is to replicate, as closely as possible and on a “gross of fees” basis, the return of the Japan equity market as represented by the FTSE Japan ex Controversies ex CW ex Tobacco ex Thermal Coal (10%) Index, net of withholding taxes (or its recognised replacement or equivalent).
The Fund passively managed, meaning that the objective of the Fund is to achieve an investment return that is as close as possible, and on a “gross of fees” basis, to the return of the Index applicable to the Fund. The Investment Adviser seeks to achieve the objective of the Fund by using a replication strategy. This strategy seeks to hold all of the securities of the particular Index, with the approximate weightings as in that Index. The Fund may also invest in transferable securities, money market instruments, warrants, units in collective investment schemes, deposits and derivatives. The Fund may invest in collective investment schemes managed or operated by companies in the same group as the Manager or the Investment Adviser.
The Fund will seek to track the performance of the Index whilst seeking to minimise as far as possible the tracking error between the Fund’s performance and that of the Index.
The Indices include negative screens that exclude securities from the Indices based on four criteria:
1. Controversial weapons (including chemical & biological weapons, cluster munitions, antipersonnel landmines),
2. Controversies as defined by the ten principles of the UN Global Compact:
Human Rights
a) Principle 1: Businesses should support and respect the protection of internationally proclaimed human rights; and
b) Principle 2: make sure that they are not complicit in human rights abuses.
Labour
c) Principle 3: Businesses should uphold the freedom of association and the effective recognition of the right to collective bargaining;
d) Principle 4: the elimination of all forms of forced and compulsory labour;
e) Principle 5: the effective abolition of child labour; and
f) Principle 6: the elimination of discrimination in respect of employment and occupation.
Environment
g) Principle 7: Businesses should support a precautionary approach to environmental challenges;
h) Principle 8: undertake initiatives to promote greater environmental responsibility; and
i) Principle 9: encourage the development and diffusion of environmentally friendly technologies.
AntiCorruption
j) Principle 10: Businesses should work against corruption in all its forms, including extortion and bribery.
3. Tobacco (companies engaged in the production of tobacco and/or tobacco products),
4. Thermal Coal (companies with revenues greater than or equal to 10% from extraction or power generation of thermal coal).
These negative screens will therefore apply when the Fund invest in shares of companies included in the Index (but not in respect of other investments held by the Fund from time to time).
State Street AUT Japan Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Manager’s Report
For the year ended 31st December 2025
1
Page 4
Performance The Fund returned 16.47% on a net basis for the 1 year period ended 31 December 2025 (the “Reporting Period”), compared to the Index return of 16.56%. The size of the Fund’s tracking difference for the Reporting Period was -0.09%; the underperformance versus the Index was largely attributable to security mis weights. The Fund had an ex-post 1 year tracking error of 0.07% against the benchmark index.
Note: Performance returns presented above are in GBP.
Risk and Reward Profile
During the year, the Fund has changed the risk level category from 6 to 5.
Risk Disclaimer The risk category above is not a measure of capital loss or gains but of how significant the rises and falls in the Fund’s return have been historically.
For example a fund whose return has experienced significant rises and falls will be in a higher risk category, whereas a fund whose return has experienced less significant rises and falls will be in a lower risk category.
The lowest category (i.e. category 1) does not mean that a fund is a risk free investment.
As the Fund’s risk category has been calculated using historical data, it may not be a reliable indication of the Fund’s future risk profile.
The Fund’s risk category shown is not guaranteed and may change in the future.
Why is this Fund in this category? The Fund is in risk category 5 as its return has experienced medium rises and falls historically . The following are material risks relevant to the Fund which are not adequately captured by the risk category.
Concentration Risk: When the Fund focuses its investments in a particular way, the issues affecting the investments will have a greater effect than if the Fund was more diversified. This concentration may also limit the Fund's liquidity.
Counterparty Risk: The Fund will be subject to credit risk with respect to the counterparties with which it enters into derivatives contracts and other transactions. There is a risk that these institutions may not be able to perform their obligations. This could reduce the value of the Fund's investments.
Index Tracking Risk: The Fund's performance may not exactly track the Index. This can result from market fluctuations, changes in the composition of the Index, transaction costs, the costs of making changes to the Fund's portfolio and other Fund expenses. Liquidity Risk: It may be difficult for the Fund to buy or sell certain investments in difficult market conditions. Consequently the price obtained when selling securities may be lower than under normal market conditions.
State Street AUT Japan Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Manager's Report (continued)
For the year ended 31st December 2025
2
Page 5
Screening Risk: The Scheme may track an index that uses a screen to identify securities based on criteria including, but, not limited to environmental, social and governance (ESG) criteria. The screen may be fully or partially designed by the Manager or by a third party provider. There is a risk that errors are made in the screening process. There is an additional risk that a screen provider may amend or discontinue its screening services and/or that the Manager may change the screen or screen provider. In such circumstances, there is no guarantee that a replacement screen provided would result in a similar screening process or would be available.
Derivatives Usage Derivatives are used in the Fund for efficient portfolio management purposes. The Fund invests in index futures to manage client inflows and outflows and to hedge accrued income. At all times the futures exposure is covered entirely by cash or cash equivalents.
As at 31st December 2025, the Fund had a total notional exposure to futures of £291,434 (0.47% of the Fund).
Tracking Error The Tracking Error measures the standard deviation of the relative returns. It is the annualised standard deviation of the returns of a fund minus those of its benchmark (relative returns) and not the standard deviation of each fund’s unique returns. The lower the tracking error of a fund, the more the fund resembles its benchmark or the market regarding risk and return characteristics.
The size of the Fund’s tracking error for the twelve months ended 31st December 2025 was 0.07% which was within the targeted tolerance.
State Street AUT Japan Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Manager's Report (continued)
For the year ended 31st December 2025
3
Page 6
Holdings
Market Value £'000
% of Total Net Assets
Automobiles & Parts – 8.65% (31.12.2024 – 9.60%) Aisin Corp. 8,600 119 0.19 Bridgestone Corp. 16,800 280 0.46 Denso Corp. 28,100 288 0.47 GS Yuasa Corp. 1,180 21 0.03 Honda Motor Co. Ltd. 58,400 425 0.69 JTEKT Corp. 3,300 27 0.04 Koito Manufacturing Co. Ltd. 2,300 25 0.04 Mazda Motor Corp. 9,000 52 0.08 Mitsubishi Motors Corp. 9,900 17 0.03 NHK Spring Co. Ltd. 2,500 30 0.05 Nifco, Inc. 1,600 37 0.06 Nissan Motor Co. Ltd. 32,500 60 0.10 Niterra Co. Ltd. 2,900 95 0.15 NOK Corp. 700 9 0.02 NSK Ltd. 6,500 30 0.05 Stanley Electric Co. Ltd. 1,100 16 0.03 Subaru Corp. 8,500 137 0.22 Sumitomo Electric Industries Ltd. 11,500 345 0.56 Sumitomo Rubber Industries Ltd. 3,100 36 0.06 Suzuki Motor Corp. 27,100 299 0.49 Toyo Tire Corp. 1,500 31 0.05 Toyoda Gosei Co. Ltd. 1,300 24 0.04 Toyota Boshoku Corp. 700 8 0.01 Toyota Industries Corp. 2,700 228 0.37 Toyota Motor Corp. 164,600 2,619 4.26 TS Tech Co. Ltd. 1,400 12 0.02 Yokohama Rubber Co. Ltd. 1,700 49 0.08
5,319 8.65
Banks – 9.68% (31.12.2024 – 8.60%) Aozora Bank Ltd. 1,700 20 0.03 Chiba Bank Ltd. 10,800 89 0.15 Chugin Financial Group, Inc. 2,800 33 0.05 Fukuoka Financial Group, Inc. 2,700 65 0.11
State Street AUT Japan Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement
As at 31st December 2025
4
Page 7
Holdings
Market Value £'000
% of Total Net Assets
Banks – 9.68% (31.12.2024 – 8.60%) (continued) Gunma Bank Ltd. 5,000 41 0.07 Hachijuni Bank Ltd. 5,000 40 0.07 Hirogin Holdings, Inc. 4,800 36 0.06 Iyogin Holdings, Inc. 3,700 45 0.07 Japan Post Bank Co. Ltd. 27,100 284 0.46 Kyoto Financial Group, Inc. 3,400 55 0.09 Kyushu Financial Group, Inc. 5,600 27 0.04 Mebuki Financial Group, Inc. 13,400 66 0.11 Mitsubishi UFJ Financial Group, Inc. 171,570 2,028 3.30 Mizuho Financial Group, Inc. 37,842 1,022 1.66 Rakuten Bank Ltd. 1,100 36 0.06 Resona Holdings, Inc. 33,656 238 0.39 Seven Bank Ltd. 10,800 15 0.02 Shizuoka Financial Group, Inc. 7,600 88 0.14 Sumitomo Mitsui Financial Group, Inc. 57,200 1,368 2.23 Sumitomo Mitsui Trust Group, Inc. 10,000 226 0.37 Yamaguchi Financial Group, Inc. 2,100 21 0.03 Yokohama Financial Group, Inc. 17,400 107 0.17
5,950 9.68
Beverages – 0.75% (31.12.2024 – 0.90%) Asahi Group Holdings Ltd. 21,800 170 0.28 Coca-Cola Bottlers Japan Holdings, Inc. 1,275 19 0.03 Ito En Ltd. 900 13 0.02 Kagome Co. Ltd. 1,361 17 0.03 Kirin Holdings Co. Ltd. 11,500 128 0.21 Sapporo Holdings Ltd. 5,500 44 0.07 Suntory Beverage & Food Ltd. 2,200 49 0.08 Takara Holdings, Inc. 2,500 19 0.03
459 0.75
Chemicals – 3.17% (31.12.2024 – 3.48%) Aica Kogyo Co. Ltd. 900 15 0.02
State Street AUT Japan Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
5
Page 8
Holdings
Market Value £'000
% of Total Net Assets
Chemicals – 3.17% (31.12.2024 – 3.48%) (continued) Air Water, Inc. 3,300 35 0.06 Asahi Kasei Corp. 18,000 119 0.19 DIC Corp. 1,200 21 0.03 Kaneka Corp. 300 6 0.01 Kuraray Co. Ltd. 5,200 39 0.06 Mitsubishi Chemical Group Corp. 22,800 99 0.16 Mitsubishi Gas Chemical Co., Inc. 2,500 34 0.06 Mitsui Chemicals, Inc. 5,600 53 0.09 Nagase & Co. Ltd. 1,610 29 0.05 Nippon Kayaku Co. Ltd. 2,300 18 0.03 Nippon Sanso Holdings Corp. 3,200 71 0.12 Nippon Shokubai Co. Ltd. 2,000 19 0.03 Nissan Chemical Corp. 2,000 51 0.08 Nitto Denko Corp. 10,300 181 0.29 NOF Corp. 3,300 47 0.08 Resonac Holdings Corp. 2,900 90 0.15 Shin-Etsu Chemical Co. Ltd. 28,700 663 1.08 Sumitomo Chemical Co. Ltd. 23,800 50 0.08 Taiyo Holdings Co. Ltd. 1,400 32 0.05 Teijin Ltd. 3,100 20 0.03 Tokai Carbon Co. Ltd. 3,100 14 0.02 Tokyo Ohka Kogyo Co. Ltd. 1,800 50 0.08 Toray Industries, Inc. 22,000 107 0.17 Tosoh Corp. 4,300 48 0.08 UBE Corp. 1,500 18 0.03 Zeon Corp. 2,600 22 0.04
1,951 3.17
Construction & Materials – 2.44% (31.12.2024 – 2.18%) COMSYS Holdings Corp. 1,652 36 0.06 Daikin Industries Ltd. 4,200 400 0.65 EXEO Group, Inc. 2,200 27 0.04 INFRONEER Holdings, Inc. 3,124 32 0.05 JGC Holdings Corp. 3,200 29 0.05
State Street AUT Japan Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
6
Page 9
Holdings
Market Value £'000
% of Total Net Assets
Construction & Materials – 2.44% (31.12.2024 – 2.18%) (continued) Kajima Corp. 6,600 182 0.30 Kandenko Co. Ltd. 1,600 38 0.06 Kinden Corp. 1,500 48 0.08 Kraftia Corp. 900 33 0.05 Lixil Corp. 4,400 40 0.07 Obayashi Corp. 10,600 164 0.27 Sanwa Holdings Corp. 3,200 62 0.10 Shimizu Corp. 7,700 97 0.16 SHO-BOND Holdings Co. Ltd. 2,800 18 0.03 Taiheiyo Cement Corp. 1,800 33 0.05 Taisei Corp. 2,300 162 0.26 Takasago Thermal Engineering Co. Ltd. 1,300 27 0.04 Toda Corp. 3,800 23 0.04 TOTO Ltd. 2,400 49 0.08
1,500 2.44
Consumer Services – 0.14% (31.12.2024 – 0.17%) Fuyo General Lease Co. Ltd. 900 18 0.03 Tokyo Century Corp. 1,400 14 0.02 USS Co. Ltd. 6,800 55 0.09
87 0.14
Electricity – 0.49% (31.12.2024 – 0.40%) Chubu Electric Power Co., Inc. 11,200 128 0.21 Kansai Electric Power Co., Inc. 15,100 176 0.28
304 0.49
Electronic & Electrical Equipment – 3.75% (31.12.2024 – 4.04%) Amano Corp. 900 18 0.03 Azbil Corp. 7,600 51 0.08 Fuji Electric Co. Ltd. 2,300 129 0.21 Fujikura Ltd. 4,100 339 0.55
State Street AUT Japan Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
7
Page 10
Holdings
Market Value £'000
% of Total Net Assets
Electronic & Electrical Equipment – 3.75% (31.12.2024 – 4.04%) (continued) Furukawa Electric Co. Ltd. 1,200 57 0.09 Horiba Ltd. 600 45 0.07 Jeol Ltd. 600 14 0.02 Keyence Corp. 2,900 780 1.27 Kurita Water Industries Ltd. 1,800 54 0.09 Mabuchi Motor Co. Ltd. 3,600 25 0.04 Maruwa Co. Ltd. 100 20 0.03 NGK Insulators Ltd. 3,800 60 0.10 NIDEC Corp. 15,400 156 0.26 Omron Corp. 3,000 56 0.09 Organo Corp. 400 25 0.04 Shimadzu Corp. 4,100 81 0.13 TDK Corp. 28,800 302 0.49 Yokogawa Electric Corp. 4,000 95 0.16
2,307 3.75
Finance & Credit Services – 0.23% (31.12.2024 – 0.21%) Acom Co. Ltd. 5,900 14 0.02 AEON Financial Service Co. Ltd. 1,500 12 0.02 Mitsubishi HC Capital, Inc. 13,920 86 0.14 Zenkoku Hosho Co. Ltd. 1,800 27 0.05
139 0.23
Food Producers – 1.31% (31.12.2024 – 1.67%) Ajinomoto Co., Inc. 14,200 223 0.36 Calbee, Inc. 1,200 17 0.03 Ezaki Glico Co. Ltd. 900 23 0.04 Fuji Oil Co. Ltd. 100 2 0.00 House Foods Group, Inc. 1,100 15 0.02 Itoham Yonekyu Holdings, Inc. 200 5 0.01 Kewpie Corp. 1,700 35 0.06 Kikkoman Corp. 10,700 72 0.12 Kotobuki Spirits Co. Ltd. 1,500 13 0.02
State Street AUT Japan Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
8
Page 11
Holdings
Market Value £'000
% of Total Net Assets
Food Producers – 1.31% (31.12.2024 – 1.67%) (continued) MEIJI Holdings Co. Ltd. 4,300 71 0.12 Morinaga & Co. Ltd. 1,200 15 0.02 Morinaga Milk Industry Co. Ltd. 1,000 18 0.03 NH Foods Ltd. 1,500 47 0.08 Nichirei Corp. 3,600 32 0.05 Nisshin Seifun Group, Inc. 4,200 38 0.06 Nissin Foods Holdings Co. Ltd. 2,900 40 0.06 Toyo Suisan Kaisha Ltd. 1,500 76 0.12 Yakult Honsha Co. Ltd. 3,000 35 0.06 Yamazaki Baking Co. Ltd. 1,900 30 0.05
807 1.31
Gas, Water & Multiutilities – 0.55% (31.12.2024 – 0.50%) Iwatani Corp. 3,800 30 0.05 Osaka Gas Co. Ltd. 5,200 134 0.22 Toho Gas Co. Ltd. 1,200 26 0.04 Tokyo Gas Co. Ltd. 5,000 147 0.24
337 0.55
General Industrials – 8.16% (31.12.2024 – 7.39%) AGC, Inc. 2,800 69 0.11 Daicel Corp. 2,200 15 0.03 FP Corp. 700 9 0.02 Hitachi Ltd. 69,000 1,604 2.61 IHI Corp. 13,600 178 0.29 ITOCHU Corp. 98,500 923 1.50 Kansai Paint Co. Ltd. 2,700 32 0.05 Kawasaki Heavy Industries Ltd. 2,500 123 0.20 Mitsubishi Corp. 50,900 865 1.41 Mitsubishi Electric Corp. 31,100 676 1.10 Mitsubishi Materials Corp. 2,100 36 0.06 Nankai Electric Railway Co. Ltd. 1,900 27 0.04 Nippon Paint Holdings Co. Ltd. 12,800 63 0.10
State Street AUT Japan Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
9
Page 12
Holdings
Market Value £'000
% of Total Net Assets
General Industrials – 8.16% (31.12.2024 – 7.39%) (continued) Sojitz Corp. 3,240 75 0.12 Sumitomo Bakelite Co. Ltd. 500 12 0.02 Toyo Seikan Group Holdings Ltd. 1,500 27 0.04 Toyota Tsusho Corp. 11,200 280 0.46
5,014 8.16
Health Care Providers – 0.11% (31.12.2024 – 0.09%) M3, Inc. 6,800 68 0.11
Household Goods & Home Construction – 0.98% (31.12.2024 – 1.12%) Daiwa House Industry Co. Ltd. 8,900 220 0.36 Haseko Corp. 3,600 53 0.09 Iida Group Holdings Co. Ltd. 2,200 26 0.04 Rinnai Corp. 1,500 28 0.04 Sekisui Chemical Co. Ltd. 6,500 81 0.13 Sekisui House Ltd. 8,800 146 0.24 Sumitomo Forestry Co. Ltd. 6,700 51 0.08
605 0.98
Industrial Engineering – 4.62% (31.12.2024 – 4.15%) Amada Co. Ltd. 5,400 47 0.08 Daifuku Co. Ltd. 5,400 126 0.20 DMG Mori Co. Ltd. 2,100 26 0.04 Ebara Corp. 6,800 119 0.19 FANUC Corp. 14,300 413 0.67 Harmonic Drive Systems, Inc. 900 16 0.03 Hitachi Construction Machinery Co. Ltd. 1,600 35 0.06 Hoshizaki Corp. 1,900 47 0.08 Japan Steel Works Ltd. 1,000 37 0.06 Komatsu Ltd. 13,900 330 0.54 Kubota Corp. 14,600 153 0.25 Makita Corp. 3,800 85 0.14
State Street AUT Japan Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
10
Page 13
Holdings
Market Value £'000
% of Total Net Assets
Industrial Engineering – 4.62% (31.12.2024 – 4.15%) (continued) MISUMI Group, Inc. 4,100 48 0.08 Mitsubishi Heavy Industries Ltd. 49,600 904 1.47 Miura Co. Ltd. 1,400 20 0.03 Nabtesco Corp. 1,800 32 0.05 OKUMA Corp. 1,000 17 0.03 SMC Corp. 865 223 0.36 Sumitomo Heavy Industries Ltd. 1,900 37 0.06 THK Co. Ltd. 1,800 34 0.06 Yaskawa Electric Corp. 3,900 88 0.14
2,837 4.62
Industrial Materials – 0.09% (31.12.2024 – 0.07%) Oji Holdings Corp. 13,500 55 0.09
Industrial Metals & Mining – 1.13% (31.12.2024 – 0.91%) Daido Steel Co. Ltd. 2,100 16 0.02 Dowa Holdings Co. Ltd. 1,000 35 0.06 JFE Holdings, Inc. 8,400 80 0.13 JX Advanced Metals Corp. 8,200 76 0.12 Kobe Steel Ltd. 4,300 42 0.07 Maruichi Steel Tube Ltd. 1,400 10 0.02 Mitsui Kinzoku Co. Ltd. 900 75 0.12 Nippon Steel Corp. 74,890 228 0.37 Sumitomo Metal Mining Co. Ltd. 3,600 109 0.18 Yamato Kogyo Co. Ltd. 500 25 0.04
696 1.13
Industrial Support Services – 5.21% (31.12.2024 – 5.77%) ALSOK Co. Ltd. 4,100 24 0.04 BayCurrent, Inc. 2,200 68 0.11 Credit Saison Co. Ltd. 1,700 34 0.06 Dai Nippon Printing Co. Ltd. 5,800 74 0.12
State Street AUT Japan Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
11
Page 14
Holdings
Market Value £'000
% of Total Net Assets
Industrial Support Services – 5.21% (31.12.2024 – 5.77%) (continued) GMO Payment Gateway, Inc. 600 28 0.05 JMDC, Inc. 300 6 0.01 Kokuyo Co. Ltd. 6,800 28 0.05 Marubeni Corp. 22,800 471 0.77 Mitsui & Co. Ltd. 39,200 863 1.40 Nichias Corp. 600 19 0.03 Persol Holdings Co. Ltd. 22,900 32 0.05 Recruit Holdings Co. Ltd. 21,000 881 1.43 Secom Co. Ltd. 6,700 177 0.29 Sumitomo Corp. 15,600 400 0.65 TOPPAN Holdings, Inc. 3,500 77 0.12 Visional, Inc. 400 19 0.03
3,201 5.21
Industrial Transportation – 2.79% (31.12.2024 – 2.96%) Central Japan Railway Co. 13,000 267 0.43 East Japan Railway Co. 15,900 312 0.51 Hankyu Hanshin Holdings, Inc. 3,900 73 0.12 Hino Motors Ltd. 4,400 8 0.01 Isuzu Motors Ltd. 9,100 105 0.17 Japan Airport Terminal Co. Ltd. 1,300 27 0.04 Kamigumi Co. Ltd. 1,400 34 0.06 Kawasaki Kisen Kaisha Ltd. 5,000 52 0.08 Keihan Holdings Co. Ltd. 1,900 30 0.05 Keikyu Corp. 3,700 27 0.04 Keisei Electric Railway Co. Ltd. 6,900 42 0.07 Kintetsu Group Holdings Co. Ltd. 2,800 41 0.07 Mitsubishi Logistics Corp. 5,500 31 0.05 Mitsui OSK Lines Ltd. 4,580 102 0.17 Nagoya Railroad Co. Ltd. 2,800 22 0.04 Nikkon Holdings Co. Ltd. 1,400 23 0.04 Nippon Express Holdings, Inc. 3,300 52 0.08 Nippon Yusen KK 6,800 164 0.27 Park24 Co. Ltd. 2,600 26 0.04
State Street AUT Japan Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
12
Page 15
Holdings
Market Value £'000
% of Total Net Assets
Industrial Transportation – 2.79% (31.12.2024 – 2.96%) (continued) Sankyu, Inc. 800 32 0.05 Seino Holdings Co. Ltd. 800 9 0.01 SG Holdings Co. Ltd. 5,000 34 0.06 Tobu Railway Co. Ltd. 3,200 40 0.07 Tokyo Metro Co. Ltd. 3,900 29 0.05 West Japan Railway Co. 6,400 95 0.15 Yamato Holdings Co. Ltd. 3,800 40 0.06
1,717 2.79
Investment Banking & Brokerage – 1.78% (31.12.2024 – 1.57%) Daiwa Securities Group, Inc. 20,500 133 0.22 Japan Exchange Group, Inc. 15,100 120 0.19 Metaplanet, Inc. 16,400 32 0.05 Nihon M&A Center Holdings, Inc. 3,900 13 0.02 Nomura Holdings, Inc. 47,600 294 0.48 ORIX Corp. 17,700 382 0.62 SBI Holdings, Inc. 7,686 123 0.20
1,097 1.78
Leisure Goods – 6.36% (31.12.2024 – 6.54%) Bandai Namco Holdings, Inc. 9,200 182 0.30 Capcom Co. Ltd. 5,200 90 0.15 Casio Computer Co. Ltd. 2,800 17 0.03 Koei Tecmo Holdings Co. Ltd. 2,060 19 0.03 Konami Group Corp. 1,600 162 0.26 Nexon Co. Ltd. 6,600 119 0.19 Nikon Corp. 5,200 43 0.07 Nintendo Co. Ltd. 15,600 784 1.28 Panasonic Holdings Corp. 34,800 334 0.54 Sanrio Co. Ltd. 2,800 65 0.11 Sega Sammy Holdings, Inc. 2,300 27 0.04 Shimano, Inc. 1,200 94 0.15 Sony Group Corp. 93,600 1,785 2.90
State Street AUT Japan Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
13
Page 16
Holdings
Market Value £'000
% of Total Net Assets
Leisure Goods – 6.36% (31.12.2024 – 6.54%) (continued) Square Enix Holdings Co. Ltd. 4,500 61 0.10 Tomy Co. Ltd. 1,300 17 0.03 Yamaha Corp. 6,900 36 0.06 Yamaha Motor Co. Ltd. 13,800 76 0.12
3,911 6.36
Life Insurance – 1.29% (31.12.2024 – 1.20%) Dai-ichi Life Holdings, Inc. 54,300 336 0.55 Japan Post Holdings Co. Ltd. 27,000 211 0.34 Japan Post Insurance Co. Ltd. 2,700 61 0.10 Sony Financial Group, Inc. 81,400 64 0.11 T&D Holdings, Inc. 6,900 118 0.19
790 1.29
Media – 0.33% (31.12.2024 – 0.42%) Dentsu Group, Inc. 2,900 46 0.07 Fuji Media Holdings, Inc. 900 16 0.03 Hakuhodo DY Holdings, Inc. 3,800 21 0.03 Kadokawa Corp. 1,100 17 0.03 Nippon Television Holdings, Inc. 1,000 18 0.03 TBS Holdings, Inc. 200 5 0.01 Toei Animation Co. Ltd. 1,000 13 0.02 Toho Co. Ltd. 1,400 53 0.09 U-Next Holdings Co. Ltd. 1,500 14 0.02
203 0.33
Medical Equipment & Services – 1.82% (31.12.2024 – 2.45%) Asahi Intecc Co. Ltd. 3,700 52 0.08 Hoya Corp. 5,200 583 0.95 Nihon Kohden Corp. 2,600 21 0.03 Nipro Corp. 1,700 12 0.02 Olympus Corp. 16,100 151 0.25
State Street AUT Japan Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
14
Page 17
Holdings
Market Value £'000
% of Total Net Assets
Medical Equipment & Services – 1.82% (31.12.2024 – 2.45%) (continued) Sysmex Corp. 7,800 57 0.09 Terumo Corp. 22,600 243 0.40
1,119 1.82
Nonlife Insurance – 2.40% (31.12.2024 – 2.73%) MS&AD Insurance Group Holdings, Inc. 19,300 337 0.55 Sompo Holdings, Inc. 13,700 347 0.56 Tokio Marine Holdings, Inc. 28,800 794 1.29
1,478 2.40
Oil, Gas & Coal – 0.90% (31.12.2024 – 0.77%) Cosmo Energy Holdings Co. Ltd. 1,300 26 0.04 ENEOS Holdings, Inc. 42,500 223 0.36 Idemitsu Kosan Co. Ltd. 10,420 58 0.10 Inpex Corp. 13,800 205 0.34 Modec, Inc. 700 39 0.06
551 0.90
Personal Care, Drug & Grocery – 2.45% (31.12.2024 – 2.57%) Aeon Co. Ltd. 38,120 448 0.73 Blue Zones Holdings Co. Ltd. 200 8 0.01 Cosmos Pharmaceutical Corp. 600 23 0.04 Kao Corp. 6,900 205 0.33 Kobayashi Pharmaceutical Co. Ltd. 900 23 0.04 Kobe Bussan Co. Ltd. 2,400 43 0.07 Kusuri No. Aoki Holdings Co. Ltd. 600 13 0.02 Lion Corp. 4,000 31 0.05 MatsukiyoCocokara & Co. 4,900 63 0.10 Medipal Holdings Corp. 3,000 39 0.06 PALTAC Corp. 500 11 0.02 Seven & i Holdings Co. Ltd. 34,200 365 0.60 Sugi Holdings Co. Ltd. 1,800 32 0.05
State Street AUT Japan Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
15
Page 18
Holdings
Market Value £'000
% of Total Net Assets
Personal Care, Drug & Grocery – 2.45% (31.12.2024 – 2.57%) (continued) Sundrug Co. Ltd. 1,200 25 0.04 Suzuken Co. Ltd. 1,000 29 0.05 Tsuruha Holdings, Inc. 4,495 61 0.10 Unicharm Corp. 19,800 84 0.14
1,503 2.45
Personal Goods – 0.49% (31.12.2024 – 0.53%) Asics Corp. 10,300 184 0.30 Goldwin, Inc. 1,500 18 0.03 Kose Corp. 700 17 0.03 Pola Orbis Holdings, Inc. 1,300 8 0.01 Shiseido Co. Ltd. 6,600 71 0.12
298 0.49
Pharmaceuticals & Biotechnology – 4.14% (31.12.2024 – 4.69%) Alfresa Holdings Corp. 2,700 31 0.05 Astellas Pharma, Inc. 27,700 275 0.45 Chugai Pharmaceutical Co. Ltd. 9,900 387 0.63 Daiichi Sankyo Co. Ltd. 29,300 465 0.76 Eisai Co. Ltd. 3,800 84 0.14 Hisamitsu Pharmaceutical Co., Inc. 1,100 23 0.04 Kyowa Kirin Co. Ltd. 3,764 45 0.07 Nippon Shinyaku Co. Ltd. 800 21 0.03 Ono Pharmaceutical Co. Ltd. 5,600 58 0.09 Otsuka Holdings Co. Ltd. 6,800 286 0.46 PeptiDream, Inc. 1,400 11 0.02 Rohto Pharmaceutical Co. Ltd. 2,800 35 0.06 Santen Pharmaceutical Co. Ltd. 5,300 41 0.07 Sawai Group Holdings Co. Ltd. 1,800 20 0.03 Shionogi & Co. Ltd. 11,200 151 0.25 Sumitomo Pharma Co. Ltd. 3,300 36 0.06
State Street AUT Japan Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
16
Page 19
Holdings
Market Value £'000
% of Total Net Assets
Pharmaceuticals & Biotechnology – 4.14% (31.12.2024 – 4.69%) (continued) Takeda Pharmaceutical Co. Ltd. 24,200 555 0.90 Tsumura & Co. 1,000 19 0.03
2,543 4.14
Real Estate Investment & Services – 1.93% (31.12.2024 – 1.74%) Daito Trust Construction Co. Ltd. 5,000 71 0.12 Hulic Co. Ltd. 7,500 61 0.10 Mitsubishi Estate Co. Ltd. 17,300 313 0.51 Mitsui Fudosan Co. Ltd. 40,400 341 0.55 Nomura Real Estate Holdings, Inc. 9,000 41 0.07 Open House Group Co. Ltd. 900 39 0.06 Relo Group, Inc. 1,700 14 0.02 Sumitomo Realty & Development Co. Ltd. 10,600 198 0.32 Tokyo Tatemono Co. Ltd. 2,500 42 0.07 Tokyu Fudosan Holdings Corp. 9,600 65 0.11
1,185 1.93
Real Estate Investment Trusts – 1.44% (31.12.2024 – 1.47%) Activia Properties, Inc. 33 22 0.04 Advance Residence Investment Corp. 40 33 0.05 AEON REIT Investment Corp. 28 18 0.03 Daiwa House REIT Investment Corp. 70 48 0.08 Daiwa Office Investment Corp. 8 14 0.02 Daiwa Securities Living Investments Corp. 32 17 0.03 Frontier Real Estate Investment Corp. 40 18 0.03 GLP J-Reit 74 52 0.08 Industrial & Infrastructure Fund Investment Corp. 33 24 0.04 Invincible Investment Corp. 105 32 0.05 Japan Hotel REIT Investment Corp. 78 30 0.05 Japan Logistics Fund, Inc. 22 11 0.02 Japan Metropolitan Fund Invest 89 53 0.09 Japan Prime Realty Investment Corp. 64 32 0.05 Japan Real Estate Investment Corp. 90 56 0.09
State Street AUT Japan Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
17
Page 20
Holdings
Market Value £'000
% of Total Net Assets
Real Estate Investment Trusts – 1.44% (31.12.2024 – 1.47%) (continued) KDX Realty Investment Corp. 55 46 0.08 LaSalle Logiport REIT 28 21 0.03 Mitsui Fudosan Accommodations Fund, Inc. 35 22 0.04 Mitsui Fudosan Logistics Park, Inc. 31 18 0.03 Mori Hills REIT Investment Corp. 27 19 0.03 Nippon Building Fund, Inc. 130 88 0.14 Nippon Prologis REIT, Inc. 117 52 0.08 Nomura Real Estate Master Fund, Inc. 59 48 0.08 Orix JREIT, Inc. 84 42 0.07 Sekisui House Reit, Inc. 64 27 0.04 United Urban Investment Corp. 48 42 0.07
885 1.44
Retailers – 2.43% (31.12.2024 – 2.90%) ABC-Mart, Inc. 1,200 15 0.02 Bic Camera, Inc. 2,100 17 0.03 Fast Retailing Co. Ltd. 2,800 756 1.23 Isetan Mitsukoshi Holdings Ltd. 5,560 60 0.10 Izumi Co. Ltd. 500 7 0.01 J Front Retailing Co. Ltd. 4,200 44 0.07 K's Holdings Corp. 1,600 12 0.02 Marui Group Co. Ltd. 2,800 43 0.07 MonotaRO Co. Ltd. 3,700 44 0.07 Nitori Holdings Co. Ltd. 6,500 84 0.14 Pan Pacific International Holdings Corp. 30,500 135 0.22 Ryohin Keikaku Co. Ltd. 7,000 92 0.15 Shimamura Co. Ltd. 800 39 0.06 Takashimaya Co. Ltd. 3,600 28 0.05 Tokyu Corp. 6,600 57 0.09 Workman Co. Ltd. 100 3 0.01 Yamada Holdings Co. Ltd. 10,500 26 0.04 ZOZO, Inc. 4,900 30 0.05
1,492 2.43
State Street AUT Japan Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
18
Page 21
Holdings
Market Value £'000
% of Total Net Assets
Software & Computer Services – 2.49% (31.12.2024 – 2.77%) BIPROGY, Inc. 1,100 28 0.05 CyberAgent, Inc. 6,400 41 0.07 Dentsu Soken, Inc. 1,500 19 0.03 Fujitsu Ltd. 26,600 546 0.89 GMO internet group, Inc. 800 15 0.02 Justsystems Corp. 600 14 0.02 Kakaku.com, Inc. 2,300 25 0.04 LY Corp. 42,600 84 0.14 Mercari, Inc. 1,800 27 0.04 Money Forward, Inc. 700 16 0.03 Nomura Research Institute Ltd. 6,200 177 0.29 NS Solutions Corp. 700 15 0.02 OBIC Business Consultants Co. Ltd. 400 16 0.03 Obic Co. Ltd. 5,500 128 0.21 Oracle Corp. Japan 500 31 0.05 Otsuka Corp. 3,100 48 0.08 Rakus Co. Ltd. 2,600 13 0.02 Rakuten Group, Inc. 22,100 105 0.17 SCSK Corp. 900 24 0.04 SHIFT, Inc. 3,000 14 0.02 TIS, Inc. 3,000 75 0.12 Trend Micro, Inc. 2,200 68 0.11
1,529 2.49
Technology Hardware & Equipment – 9.26% (31.12.2024 – 7.73%) Advantest Corp. 11,300 1,052 1.71 Alps Alpine Co. Ltd. 1,600 15 0.02 Brother Industries Ltd. 3,600 53 0.09 Canon Marketing Japan, Inc. 800 26 0.04 Canon, Inc. 13,300 292 0.47 Dexerials Corp. 2,100 26 0.04 Disco Corp. 1,400 320 0.52 FUJIFILM Holdings Corp. 19,000 301 0.49 Hamamatsu Photonics KK 4,000 32 0.05
State Street AUT Japan Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
19
Page 22
Holdings
Market Value £'000
% of Total Net Assets
Technology Hardware & Equipment – 9.26% (31.12.2024 – 7.73%) (continued) Hirose Electric Co. Ltd. 340 28 0.05 Ibiden Co. Ltd. 3,800 121 0.20 Kioxia Holdings Corp. 2,500 124 0.20 Kokusai Electric Corp. 2,500 65 0.11 Konica Minolta, Inc. 6,200 20 0.03 Kyocera Corp. 20,200 210 0.34 Lasertec Corp. 1,300 183 0.30 Macnica Holdings, Inc. 2,100 24 0.04 Minebea Mitsumi, Inc. 5,400 80 0.13 Murata Manufacturing Co. Ltd. 25,800 397 0.65 NEC Corp. 19,200 483 0.79 Nippon Electric Glass Co. Ltd. 1,100 32 0.05 Renesas Electronics Corp. 25,100 255 0.41 Ricoh Co. Ltd. 9,000 59 0.10 Rohm Co. Ltd. 5,200 55 0.09 Rorze Corp. 1,200 13 0.02 SCREEN Holdings Co. Ltd. 1,400 101 0.16 Seiko Epson Corp. 4,200 39 0.06 Sharp Corp. 4,500 16 0.03 Socionext, Inc. 1,900 20 0.03 SUMCO Corp. 5,300 36 0.06 Taiyo Yuden Co. Ltd. 2,000 34 0.06 Tokyo Electron Ltd. 6,900 1,123 1.83 Tokyo Seimitsu Co. Ltd. 600 32 0.05 Ulvac, Inc. 800 27 0.04
5,694 9.26
Telecommunications Service Production – 0.00% (31.12.2024 – 0.65%)
Telecommunications Service Providers – 4.39% (31.12.2024 – 3.39%) Hikari Tsushin, Inc. 300 62 0.10 Internet Initiative Japan, Inc. 1,800 24 0.04 KDDI Corp. 42,800 549 0.89 NTT, Inc. 427,500 320 0.52
State Street AUT Japan Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
20
Page 23
Holdings
Market Value £'000
% of Total Net Assets
Telecommunications Service Providers – 4.39% (31.12.2024 – 3.39%) (continued) SKY Perfect JSAT Holdings, Inc. 2,700 25 0.04 SoftBank Corp. 439,100 447 0.73 SoftBank Group Corp. 60,800 1,269 2.07
2,696 4.39
Travel & Leisure – 1.29% (31.12.2024 – 1.51%) ANA Holdings, Inc. 2,600 37 0.06 Food & Life Cos. Ltd. 1,500 56 0.09 Heiwa Corp. 1,200 12 0.02 Japan Airlines Co. Ltd. 1,600 22 0.04 Keio Corp. 1,800 35 0.06 Kyushu Railway Co. 2,300 44 0.07 McDonald's Holdings Co. Japan Ltd. 1,300 39 0.06 Odakyu Electric Railway Co. Ltd. 4,900 40 0.07 Oriental Land Co. Ltd. 16,300 224 0.37 Resorttrust, Inc. 2,800 26 0.04 Round One Corp. 2,800 15 0.03 Sankyo Co. Ltd. 2,700 32 0.05 Seibu Holdings, Inc. 2,400 49 0.08 Skylark Holdings Co. Ltd. 4,000 64 0.10 Sotetsu Holdings, Inc. 1,400 19 0.03 Toridoll Holdings Corp. 700 14 0.02 Zensho Holdings Co. Ltd. 1,500 64 0.10
792 1.29
State Street AUT Japan Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
21
Page 24
Holdings
Market Value £'000
% of Total Net Assets
Derivatives – 0.00% (31.12.2024 – 0.00%) MINI Topix Index Futures March 2026† 18 1 0.00
Portfolio of investments 61,120 99.44 Net other assets 342 0.56
Total net assets 61,462 100.00
All holdings are ordinary shares or common stock unless otherwise stated. † Goldman Sachs is the counterparty, total notional exposure is £291,434 and 0.47% as a percentage of the Fund’s value.
State Street AUT Japan Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
22
Page 25
In accordance with the requirements of the Collective Investment Schemes sourcebook of the Financial Conduct Authority’s handbook of rules and guidance we hereby certify the report on behalf of the Directors of State Street Unit Trust Management Limited.
R. Bridger – Director, State Street Unit Trust Management Limited
T. Coghlan – Director, State Street Unit Trust Management Limited
22 April 2026
State Street AUT Japan Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Directors' Report to Unitholders
For the year ended 31st December 2025
23
Page 26
The Collective Investment Schemes (the "COLL") sourcebook requires the Manager to prepare financial statements for each accounting period which give a true and fair view of the financial position of the Fund as at the end of the accounting period and of its revenue for the period. In preparing the financial statements the Manager is required to:
• select suitable accounting policies and then apply them consistently
• comply with the requirements of the Statement of Recommended Practice relating to Authorised Funds issued by the Investment Management Association in May 2014 (as amended in 2017)
• comply with the requirements of the COLL
• follow generally accepted accounting principles and applicable accounting standards
• keep proper accounting records which enable it to demonstrate that the financial statements as prepared comply with the above requirements
• prepare the financial statements on the going concern basis unless it is inappropriate to presume the Fund will continue in operation
• take reasonable steps for the prevention and detection of fraud or other irregularities
The Manager is responsible for the management of the Fund in accordance with its Trust Deed, the Prospectus and the COLL.
State Street AUT Japan Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Manager's Statement of Responsibilities
For the year ended 31st December 2025
24
Page 27
Statement of the Depositary’s Responsibilities in respect of the Scheme The Depositary in its capacity as Trustee of State Street AUT Japan Screened Index Equity Fund must ensure that the Trust is managed in accordance with the Financial Conduct Authority’s Collective Investment Schemes Sourcebook, the Financial Services and Markets Act 2000, as amended, (together “the Regulations”), the Trust Deed and Prospectus (together “the Scheme documents”) as detailed below.
The Depositary must in the context of its role act honestly, fairly, professionally, independently and in the interests of the Trust and its investors.
The Depositary is responsible for the safekeeping of all custodial assets and maintaining a record of all other assets of the Trust in accordance with the Regulations.
The Depositary must ensure that:
• the Trust’s cash flows are properly monitored and that cash of the Trust is booked in cash accounts in accordance with the Regulations;
• the sale, issue, repurchase, redemption and cancellation of units are carried out in accordance with the Regulations;
• the value of units of the Trust are calculated in accordance with the Regulations;
• any consideration relating to transactions in the Trust’s assets is remitted to the Trust within the usual time limits;
• the Trust’s income is applied in accordance with the Regulations; and
• the instructions of the Authorised Fund Manager (“the AFM”), which is the UCITS Management Company, are carried out (unless they conflict with the Regulations).
The Depositary also has a duty to take reasonable care to ensure that the Trust is managed in accordance with the Regulations and the Scheme documents of the Trust in relation to the investment and borrowing powers applicable to the Trust.
Having carried out such procedures as we considered necessary to discharge our responsibilities as Depositary of the Trust, it is our opinion, based on the information available to us and the explanations provided, that, in all material respects the Trust, acting through the AFM:
(i) has carried out the issue, sale, redemption and cancellation, and calculation of the price of the Trust’s units and the application of the Trust’s income in accordance with the Regulations and the Scheme documents of the Trust; and
(ii) has observed the investment and borrowing powers and restrictions applicable to the Trust in accordance with the Regulations and the Scheme documents of the Trust.
This report is given on the basis that no breaches are subsequently advised to us before the distribution date. We therefore reserve the right to amend the report in the light of such circumstances.
Yours sincerely
Depositary HSBC Bank Plc 8 Canada Square London E14 5HQ
22 April 2026
State Street AUT Japan Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Statement of the Depositary's Responsibilities
For the year ended 31st December 2025
25
Page 28
Report on the audit of the financial statements
Opinion In our opinion, the financial statements of State Street AUT Japan Screened Index Equity Fund (the “Trust”):
• give a true and fair view of the financial position of the Trust as at 31 December 2025 and of the net revenue and the net capital gains on the scheme property for the year then ended; and
• have been properly prepared in accordance with United Kingdom Generally Accepted Accounting Practice (United Kingdom Accounting Standards, comprising FRS 102 “The Financial Reporting Standard applicable in the UK and Republic of Ireland”, and applicable law), the Statement of Recommended Practice for UK Authorised Funds, the Collective Investment Schemes sourcebook ("the sourcebook") and the Trust Deed.
We have audited the financial statements, included within the Report and Financial Statements (the “Annual Report”), which comprise:
• the Balance Sheet as at 31 December 2025;
• the Statement of Total Return for the year then ended;
• the Statement of Change in Net Assets Attributable to Unitholders for the year then ended;
• the Distribution Tables; and
• the Notes to the Financial Statements, which include a description of the significant accounting policies.
Basis for opinion We conducted our audit in accordance with International Standards on Auditing (UK) (“ISAs (UK)”) and applicable law. Our responsibilities under ISAs (UK) are further described in the Auditors’ responsibilities for the audit of the financial statements section of our report. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.
Independence We remained independent of the Trust in accordance with the ethical requirements that are relevant to our audit of the financial statements in the UK, which includes the FRC’s Ethical Standard, and we have fulfilled our other ethical responsibilities in accordance with these requirements.
Conclusions relating to going concern Based on the work we have performed, we have not identified any material uncertainties relating to events or conditions that, individually or collectively, may cast significant doubt on the Trust’s ability to continue as a going concern for a period of at least twelve months from the date on which the financial statements are authorised for issue.
In auditing the financial statements, we have concluded that the Manager’s use of the going concern basis of accounting in the preparation of the financial statements is appropriate. However, because not all future events or conditions can be predicted, this conclusion is not a guarantee as to the Trust’s ability to continue as a going concern.
Our responsibilities and the responsibilities of the Manager with respect to going concern are described in the relevant sections of this report.
Reporting on other information
The other information comprises all of the information in the Annual Report other than the financial statements and our auditors’ report thereon. The Manager is responsible for the other information. Our opinion on the financial statements does not cover the other information and, accordingly, we do not express an audit opinion or, except to the extent otherwise explicitly stated in this report, any form of assurance thereon.
State Street AUT Japan Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Independent auditors’ report to the Unitholders of State Street AUT Japan Screened Index Equity Fund
26
Page 29
In connection with our audit of the financial statements, our responsibility is to read the other information and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit, or otherwise appears to be materially misstated. If we identify an apparent material inconsistency or material misstatement, we are required to perform procedures to conclude whether there is a material misstatement of the financial statements or a material misstatement of the other information. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report that fact. We have nothing to report based on these responsibilities.
Based on our work undertaken in the course of the audit, the Collective Investment Schemes sourcebook requires us also to report certain opinions as described below.
Manager’s Report In our opinion, the information given in the Manager’s Report for the financial year for which the financial statements are prepared is consistent with the financial statements.
Responsibilities for the financial statements and the audit
Responsibilities of the Manager for the financial statements As explained more fully in the Manager’s Statement of Responsibilities, the Manager is responsible for the preparation of the financial statements in accordance with the applicable framework and for being satisfied that they give a true and fair view. The Manager is also responsible for such internal control as they determine is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. In preparing the financial statements, the Manager is responsible for assessing the Trust’s ability to continue as a going concern, disclosing, as applicable, matters related to going concern and using the going concern basis of accounting unless the Manager either intends to wind up or terminate the Trust, or has no realistic alternative but to do so.
Auditors’ responsibilities for the audit of the financial statements Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditors’ report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with ISAs (UK) will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements.
Irregularities, including fraud, are instances of non-compliance with laws and regulations. We design procedures in line with our responsibilities, outlined above, to detect material misstatements in respect of irregularities, including fraud. The extent to which our procedures are capable of detecting irregularities, including fraud, is detailed below.
Based on our understanding of the Trust and its industry, we identified that the principal risks of non-compliance with laws and regulations related to breaches of the Collective Investment Schemes sourcebook, and we considered the extent to which non-compliance might have a material effect on the financial statements, in particular those parts of the sourcebook which may directly impact on the determination of amounts and disclosures in the financial statements. We evaluated management’s incentives and opportunities for fraudulent manipulation of the financial statements (including the risk of override of controls), and determined that the principal risks were related to posting inappropriate journal entries to manipulate revenue or to increase the net asset value of the Trust. Audit procedures performed by the engagement team included:
• Discussions with the Manager, including consideration of known or suspected instances of non-compliance with laws and regulation and fraud;
• Reviewing relevant meeting minutes, including those of the Manager’s board of directors;
• Identifying and testing journal entries, specifically any journals posted as part of the financial year end close process; and
• Designing audit procedures to incorporate unpredictability around the nature, timing or extent of our testing.
State Street AUT Japan Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Independent auditors’ report to the Unitholders of State Street AUT Japan Screened Index Equity Fund (continued)
27
Page 30
There are inherent limitations in the audit procedures described above. We are less likely to become aware of instances of non-compliance with laws and regulations that are not closely related to events and transactions reflected in the financial statements. Also, the risk of not detecting a material misstatement due to fraud is higher than the risk of not detecting one resulting from error, as fraud may involve deliberate concealment by, for example, forgery or intentional misrepresentations, or through collusion.
A further description of our responsibilities for the audit of the financial statements is located on the Financial Reporting Council’s website at: www.frc.org.uk/auditorsresponsibilities. This description forms part of our auditors’ report.
Use of this report This report, including the opinions, has been prepared for and only for the Trust’s Unitholders as a body in accordance with paragraph 4.5.12 of the Collective Investment Schemes sourcebook and for no other purpose. We do not, in giving these opinions, accept or assume responsibility for any other purpose or to any other person to whom this report is shown or into whose hands it may come save where expressly agreed by our prior consent in writing.
Other required reporting
Opinion on matter required by the Collective Investment Schemes sourcebook In our opinion, we have obtained all the information and explanations we consider necessary for the purposes of the audit.
Collective Investment Schemes sourcebook exception reporting Under the Collective Investment Schemes sourcebook we are also required to report to you if, in our opinion:
• proper accounting records have not been kept; or
• the financial statements are not in agreement with the accounting records.
We have no exceptions to report arising from this responsibility.
PricewaterhouseCoopers LLP Chartered Accountants and Statutory Auditors Glasgow 22 April 2026
State Street AUT Japan Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Independent auditors’ report to the Unitholders of State Street AUT Japan Screened Index Equity Fund (continued)
28
Page 31
Comparative Table For the year ended 31st December 2025
2025 2024 2023 Change in Net Assets Per Unit (£) (£) (£) Opening net asset value per unit 2.5940 2.3596 2.0958
Return before operating charges 0.4316 0.2374 0.2665 Operating charges (0.0033) (0.0030) (0.0027) Return after operating charges* 0.4283 0.2344 0.2638
Distributions (0.0561) (0.0486) (0.0447)
Retained distributions on accumulation units 0.0561 0.0486 0.0447
Closing net asset value per unit 3.0223 2.5940 2.3596 *after direct transaction cost of: 0.0001 0.0001 0.0001 Performance Return after charges 16.51% 9.93% 12.59% Other Information Closing net asset value (£'000) 61,462 58,095 54,574 Closing number of units 20,335,995 22,396,219 23,128,647 Operating charges 0.12% 0.12% 0.12% Direct transaction costs 0.01% 0.01% 0.01% Prices Highest unit price (pence) 3.1096 2.6690 2.3686 Lowest unit price (pence) 2.2426 2.2227 2.0513
General risk factors The value of funds and the revenue from them is not guaranteed and may fall as well as rise. You may get back less than you originally invested. What you get back may depend on:
• Investment performance is not guaranteed. Past performance is no guarantee of future performance. There may also be variation in performance between funds with similar investment objectives.
• The effect of an initial charge. If you sell your investment after a short period you may not get back what you originally invested, even if the price of your investment has not fallen.
• The entire market of a particular asset class or geographical region may fall, having a greater effect on funds heavily invested in that asset class or region.
• If you make regular withdrawals from your investment be aware that if the level of withdrawal exceeds the rate of investment growth of the fund, your capital will be eroded.
• Governments may change the tax rules which affect you or the funds in which you have invested.
• Inflation will reduce what you could buy in the future, i.e. it will reduce the real value of your investment.
• There is no certainty that the investment objective of any fund will actually be achieved.
State Street AUT Japan Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
29
Page 32
Statement of Total Return For the year ended 31st December 2025
Year ended 31.12.25
Year ended 31.12.24 Note £'000 £'000 £'000 £'000 Income Net capital gains 4 8,435 4,354 Revenue 6 1,464 1,324 Expenses 7 (73) (69) Interest payable and similar charges 8 - (1)
Net revenue before taxation 1,391 1,254 Taxation 9 (148) (135)
Net revenue after taxation 1,243 1,119
Total return before distributions 9,678 5,473 Distributions 10 (1,243) (1,119)
Change in net assets attributable to unitholders from investment activities 8,435 4,354
Statement of Change in Net Assets Attributable to Unitholders For the year ended 31st December 2025
Year ended 31.12.25
Year ended 31.12.24 £’000 £’000 £’000 £’000 Opening net assets 58,095 54,574 Amounts receivable on issue of units 6,703 6,427 Amounts payable on cancellation of units (12,987) (8,383)
(6,284) (1,956) Dilution levy -3 Change in unitholders' funds from investment activities 8,435 4,354 Retained distributions on accumulation units 1,216 1,120
Closing net assets 61,462 58,095
State Street AUT Japan Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
30
Page 33
Balance Sheet As at 31st December 2025
Note 31.12.25 31.12.24 £'000 £'000 Assets Fixed assets: Investments 61,120 58,002 Current assets: Debtors 11 83 68 Cash and bank balances 12 266 482
Total assets 61,469 58,552
Liabilities Investment liabilities -1 Creditors Other creditors 13 7 456
Total liabilities 7 457
Net assets attributable to unitholders 61,462 58,095
State Street AUT Japan Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
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1. Accounting policies
(a) Basis of accounting The financial statements have been prepared under the historical cost convention by the revaluation of the investments, and in accordance with the United Kingdom Generally Accepted Accounting Practice ("UK GAAP") which comprises the UK Financial Reporting Standard 102 ("FRS 102") and the Statement of Recommended Practice ("SORP") for Authorised Funds issued by the Investment Management Association in May 2014 (as amended in 2017).
The financial statements have been prepared on a going concern basis.
(b) Basis of valuation of investments The investments of the Fund have been valued at the closing bid market prices ruling on the principal markets on which the stocks are quoted, on the last business day of the accounting year.
Market value is defined by the SORP as fair value which generally is the bid value of each security.
Where applicable, unlisted, delisted and suspended securities are based on the Manager’s assessment of their net realisable value.
Open futures contracts have been valued at fair value and the net gains/(losses) are reflected within Derivative contracts in net capital gains/(losses) on investments.
(c) Exchange rates Foreign currency receipts and payments are translated at the rate applicable on the date of settlement.
Foreign currency assets and liabilities are valued at the rates on the last day of the accounting year.
(d) Recognition of revenue Revenue is included in the Statement of Total Return on the following basis: Dividends are recognised when the security is quoted ex-dividend. Special dividends are treated as either capital or revenue depending on the facts of each particular case. Deposit interest and interest payable are recorded on an accrual basis.
(e) Treatment of expenses Management expenses are charged against the revenue of the Fund on an accruals basis.All other expenses other than bank charges and interest are met by the Manager.
(f) Taxation Provision is made for corporation tax at current rates on the excess of taxable revenue over expenses.
(g) Deferred taxation Deferred tax is provided for on all timing differences that have originated but not reversed by the balance sheet date other than those differences that are regarded as permanent. Any liability to deferred tax is provided at the average rate of tax expected to apply.
Deferred tax assets and liabilities are not discounted to reflect the time value of money. Deferred tax assets are recognised only when, on the basis of available evidence, it is more likely than not that there will be taxable profits in the future against which the deferred tax asset can be offset.
(h) Dilution adjustment In certain circumstances (as detailed in the Prospectus) the Manager may charge a dilution adjustment on the creation or cancellation of shares, which is paid into the capital of the relevant sub-fund on an accruals basis. The adjustment is intended to cover certain dealing charges not included in the mid-market value of the fund used in calculating the share price, which could have a diluting effect on the fund.
State Street AUT Japan Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements
For the year ended 31st December 2025
32
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1. Accounting policies (continued)
(i) Returns from derivatives The Fund may enter into permitted derivative contracts such as futures.
The positions are undertaken to obtain full market exposure and the returns are included within gains/(losses) on investments in the Statement of Total Return. Any open positions in these types of transactions at the period end are included in the Balance Sheet at their mark to market value.
2. Distribution policy The policy is to distribute all available revenue, after deduction of those expenses which are chargeable in calculating the distribution.
In order to conduct a controlled dividend flow to unitholders, an interim distribution will be made at the Manager’s discretion, up to a maximum of the distributable revenue available for the year. All remaining revenue is distributed in accordance with the COLL.
Distributions of revenue are paid six monthly by reference to net revenue arising in the periods ended 30th June and 31st December.
Any revenue deficit will be borne by the capital account.
(a) Treatment of stock dividends The ordinary element of stock dividends is treated as revenue and forms part of the distribution.
In the case of an enhanced stock dividend, the value of the enhancement is treated as capital and does not form part of the distribution.
(b) Expenses Management expenses are charged to revenue.
(c) Equalisation Equalisation takes account of the revenue received on the creation of shares and revenue paid on cancellation of shares and is allocated to the distribution account.
3. Risk management policies In pursuing its investment objectives the Fund holds a number of financial instruments. The Fund’s financial instruments comprise of securities and other investments, cash balances and bank overdrafts, short term fixed deposits, debtors and creditors that arise directly from its operations, for example, in respect of sales and purchases awaiting settlement, amounts receivable for creations and payable for liquidations and debtors for accrued revenue.
The main risks the Fund may face from investing are: (a) market risk, (b) market price risk, (c) foreign currency risk, (d) interest rate risk, (e) liquidity risk, (f) credit risk and (g) use of derivatives.
The Manager’s policy for managing these risks are summarised below and have been applied throughout the year.
(a) Market risk Market risk is the risk that the fair value or future cash flows of the financial instruments held by the Fund will fluctuate because of changes in underlying valuation factors. It represents the potential loss the Fund might suffer through holding market positions in the face of valuation factor movements. Market risk typically includes market price risk, foreign exchange or currency risk, and interest rate risk.
State Street AUT Japan Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
33
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3. Risk management policies (continued)
(b) Market price risk Market price risk is the risk that the value of the financial instruments held by the Fund will fluctuate because of changes in market prices. It represents the potential loss the Fund might suffer through changes in market prices of the Fund holdings. The investment manager considers the asset allocation of the portfolio in order to minimize the risk associated with particular countries or industry sectors whilst continuing to follow the investment objectives of the Fund.
As an index Fund, the investment objective is to seek to track as closely as reasonably possible the performance of the benchmark index. In order to achieve this objective, the Fund invests primarily in securities held in the equity index benchmark. Market price risk for an index Fund arises from a mismatch in the relative proportion of assets in Fund from their respective proportions in the benchmark. The Fund places limitations on the amount by which a holding may deviate from the proportion benchmark to limit the market risk from mismatched positions.
All securities investments present a risk of loss of capital. The investment manager assess the Fund’s market risk volatility to ensure that the effect of utilizing financial derivative instruments is not significant enough to cause disproportionate losses to a Fund’s overall value. The investment manager moderates this risk through careful selection of securities and financial instruments. The investment manager manages this risk through a combination of risk metrics. This includes, but is not restricted to, tracking error volatility, which measures the ex-ante volatility of excess returns of the Fund against its referenced benchmark. The tracking error volatility on the Fund is closely monitored on a regular basis, and is a key consideration when the Fund is rebalanced.
(c) Foreign currency risk Any fluctuations in foreign currency exchange rates between the base currency ("GBP") and the respective foreign currencies may significantly affect the value of the Fund investments and the returns ultimately achieved by the Fund. Local interest rates and monetary policy, as well as other government fiscal and labour policies, also can adversely impact the Fund’s currency values.
Based on the Fund mandate, there is no hedging of foreign currency risk exposure. This follows from the investment objective to track the performance of the benchmark, which is also not hedged against changes in foreign exchange rates.
(d) Interest rate risk Interest rate risk is present when the value of investment securities may fluctuate as a result of a change in market interest rates. Explicit interest rate risk occurs when there is a direct relationship between changes in interest rates and changes in the value of investment securities. The Fund invests in only equity and equity-based instruments, the values of which are not directly dependent on interest rates.
(e) Liquidity risk The Fund is exposed to daily cash redemptions of redeemable shares. So the main liability of the Fund is the redemption of any shares that investors wish to sell. Hence the Fund invest the large majority of the assets in investments that are traded in an active market and can ordinarily be readily disposed. However, liquidity risk will occur if an equity issuer becomes credit impaired or if the relevant market becomes illiquid. In such a case, it may not be possible to initiate or liquidate a position at a price that is deemed by the investment manager to be demonstrating fair value. Liquidity risk may be temporary or may last for extended periods.
State Street AUT Japan Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
34
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3. Risk management policies (continued)
The indexed Fund invests solely in securities which form part of the Benchmark Index. Benchmark Indexes are constructed using index rules requiring securities to have a specified minimum trading volume, which, although not guaranteeing liquidity, provides indication of the liquid nature of the securities underlying the Fund. The Fund is exposed to daily contributions and withdrawals which are managed to ensure that exposure to the Benchmark Indexes are maintained in order to meet the investment objective of the Fund.
(f) Credit risk The Fund invests in only equity and equity-based instruments, which are not credit instruments, and therefore the Fund is not explicitly exposed to credit risk other than revenue index futures. Index futures used for efficient portfolio management are exchange traded and marked to market daily, so counterparty risk is negligible.
(g) Use of derivatives The Fund uses equity index futures only, no other derivatives, for efficient portfolio management-index futures are used to equitize cash holdings from inflows and outflows and also anticipated cash flows (e.g. dividend receivables). As a result the exposure to futures are covered by cash and near cash at all times, and assist in meeting the investment objectives of the Fund.
4. Net capital gains
The net capital gains during the year comprise: 31.12.25 31.12.24 £'000 £'000 Non-derivative securities 8,325 4,331 Derivative contracts 171 83 Losses on foreign exchange (61) (60)
Net capital gains 8,435 4,354
5. Purchases, sales and transaction costs 31.12.25 £'000
31.12.24 £'000 Purchases excluding transaction costs Equities 6,594 7,948
Total before transaction costs 6,594 7,948
Commissions Equities 11
11
Taxes Equities --
-Total purchases transaction costs 1 1
Purchases including transaction costs 6,595 7,949
State Street AUT Japan Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
35
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5. Purchases, sales and transaction costs (continued)
31.12.25 £'000
31.12.24 £'000 Sales excluding transaction costs Equities 11,805 8,666
Total before transaction costs 11,805 8,666
Commissions Equities (2) (1)
(2) (1)
Taxes Equities --
-Total sales transaction cost (2) (1)
Sales including transaction costs 11,803 8,665
31.12.25 %
31.12.24 % Transaction costs as percentage of principal amounts Purchases – Commissions Equities 0.016 0.014 Purchases – Taxes Equities 0.000 0.000 Sales – Commission Equities 0.014 0.016 Sales – Taxes Equities 0.000 0.000 31.12.25 %
31.12.24 % Transaction costs as percentage of average net asset value Commissions 0.004 0.004 Taxes 0.000 0.000
Total 0.004 0.004 The above analysis covers any direct transaction costs suffered by the Fund during the year. However it is important to understand the nature of other transactions costs associated with different investments asset classes and instrument types.
Separately identifiable direct transactions costs (commissions, taxes etc.) are attributable to the Fund’s purchase and sale of equity shares. Additionally for equity shares, there is a dealing spread cost (the difference between the buying and selling prices) which will be suffered on purchase and sale transactions.
For the Fund’s investment in collective investment scheme holdings there will potentially be dealing spread costs applicable to purchases and sales. However, additionally there are indirect transaction costs suffered in those underlying funds, throughout the holding period for the instruments, which are not separately identifiable and do not form part of the analysis above.
State Street AUT Japan Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
36
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5. Purchases, sales and transaction costs (continued)
During the year the Fund utilised futures derivatives instruments covering different underlying asset classes. The settlements values for opening and closing derivative positions are not comparable to principal values for transactions in direct holding investments and therefore purchase and sale amounts for derivative transactions are not quantified in the analysis above. Transaction costs for derivatives positions will be either suffered as direct costs or form part of the dealing spread for the instruments. Any direct costs are identified in the analysis above.
Dealing spread costs suffered by the Fund vary considerably for the different asset/instrument types depending on a number of factors including transaction value and market sentiment.
At the balance sheet date the average portfolio dealing spread (difference between bid and offer prices of all investments expressed as a percentage of the offer price value) was 0.00% (31.12.24: 0.07%).
6. Revenue 31.12.25 31.12.24 £'000 £'000 Overseas dividends 1,455 1,323 Property income distributions 4 Bank interest 51
Revenue 1,464 1,324
7. Expenses 31.12.25 31.12.24 £'000 £'000 Manager's periodic charge 73 69
Total expenses 73 69
The audit fee for the year of £14,240 (exclusive of VAT) is borne by the Manager (31.12.24: £13,978).
As permitted by the Trust Deed, the Manager is remunerated out of the property of the Fund. This charge is expressed as an annual percentage of the value of the property of the Fund. The Manager’s periodic charge was 12 basis points for the year ended 31.12.25 (31.12.24: 12 basis points).
8. Interest payable and similar charges 31.12.25 31.12.24 £'000 £'000 Interest payable -1
-1
9. Taxation
(a) Analysis of charge in year: 31.12.25 £'000
31.12.24 £'000 Overseas tax 148 135
Total current tax 148 135
Total tax charge (note 9b) 148 135
State Street AUT Japan Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
37
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9. Taxation (continued)
(b) Factors affecting total tax charge for the year: 31.12.25 £'000
31.12.24 £'000 Net revenue before taxation 1,391 1,254 Corporation tax of 20% 278 251 Effects of: Revenue not subject to corporation tax (282) (256) Movement in excess management expenses 5 6 Overseas tax 148 135 Overseas tax expensed (1) (1)
Total tax charge for year (note 9a) 148 135
(c) Factors that may affect future tax charges: At the year end, after offset against revenue taxable on receipt, there is a potential deferred tax asset of £462,533 (31.12.24: £458,099) in relation to surplus management expenses. It is unlikely the Fund would generate sufficient taxable profits in the future to utilise these amounts and therefore no deferred tax asset has been recognised.
10. Distributions
The distributions take account of revenue received on the creation of units and income deducted on the cancellation of units, and comprises: 31.12.25 31.12.24 £'000 £'000 Interim 670 557 Final 546 562
1,216 1,119
Amounts deducted on cancellation of units 78 44 Amounts added on issue of units (51) (44)
Net distribution for the year 1,243 1,119
The net distributions of the year is represented by: Net revenue after taxation 1,243 1,119
Net distribution for the year 1,243 1,119
11. Debtors 31.12.25 31.12.24 £'000 £'000 Creations awaiting settlement 10 Accrued revenue 73 68
Total debtors 83 68
State Street AUT Japan Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
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12. Cash and bank balances 31.12.25 31.12.24 £'000 £'000 Cash and bank balances 253 474 Amounts held at brokers 13 8 Total cash and bank balances 266 482
13. Other creditors 31.12.25 31.12.24 £'000 £'000 Liquidations awaiting settlement - 450 Accrued Manager's periodic charge 7 6
Total other creditors 7 456
14. Contingent liabilities and commitments The Fund had no contingent liabilities at year end (31.12.24: £nil).
15. Related party transactions The Manager exercises governance and oversight over the Fund and is a related party by virtue of the Trust Deed constituting the Fund.
Amounts paid during the year or due to the Manager at the year end are disclosed under Expenses and Other Creditors in the Notes to the financial statements. At the year end £6,519 (31.12.24: £5,916) was due to the Manager in relation to accrued manager’s periodic charges are disclosed in Other Creditors in the Notes to the Financial Statements.
Transactions relating to the creation and cancellation of units and the purchases and sales of investments which pass through the Manager, but are not for the benefit of, either related party are disclosed in the Statement of Change in Net Assets Attributable to Unitholders.
Amounts due to or from the Fund at the year end in relation to these transactions are disclosed under Debtors and Creditors in the Notes to the Financial Statements.
16. Risk disclosures The Manager’s policy for managing these risks are summarised below and have been applied throughout the year.
(a) Foreign currency risk A substantial proportion of the net assets of the Fund are denominated in currencies other than Sterling ("GBP"), with the effect that the balance sheet and total return can be significantly affected by currency movements. The Manager will act accordingly in order to manage exchange rate risk.
The Fund’s currency exposure as at 31st December 2025 was: Net foreign currency assets Currency Monetary exposures £’000
Non-monetary exposures £’000
Total £’000
Japanese yen 319 61,119 61,438 US dollar 7 -7 Total 326 61,119 61,445
State Street AUT Japan Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
39
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16. Risk disclosures (continued)
The Fund’s currency exposure as at 31st December 2024 was: Net foreign currency assets Currency Monetary exposures £’000
Non-monetary exposures £’000
Total £’000
Japanese yen 58,002 93 58,095 Total 58,002 93 58,095
If GBP to foreign currency exchange rates had increased by 10% as at the balance sheet date, the net asset value of the Fund would have decreased by £5,585,894 (31.12.2024: £5,281,404).
If GBP to foreign currency exchange rates had decreased by 10% as at the balance sheet date, the net asset value of the Fund would have increased by £6,827,203 (31.12.2024: £6,455,049).
These calculations assume all other variables remain constant.
(b) Market price risk The Fund’s investment portfolio is exposed to market price fluctuations which are monitored by the Manager in pursuance of the investment objective and policy as set out on page 1. Adherence to investment guidelines and to investment and borrowing powers set out in the Trust Deed, the Scheme Particulars and in the Financial Conduct Authority’s Collective Investment Scheme sourcebook (the “COLL sourcebook”) mitigates the risk of excessive exposure to any particular type of security or issuer. Further information on the investment portfolio is set out in the Manager’s Report and Portfolio Statement.
If market prices had increased by 10% as at the balance sheet date, the net asset value of the Fund would have increased by £6,112,004 (31.12.24: £5,800,179). If market prices had decreased by 10% as at the balance sheet date, the net asset value of the Fund would have decreased by £6,112,004 (31.12.24: £5,800,179).
These calculations assume all other variables remain constant.
(c) Interest rate risk The majority of the Fund’s financial assets are equity shares and other investments which neither pay interest nor have a maturity date. Therefore interest rate risk is not deemed to be significant.
Interest on bank balances is calculated at the current Bank of England base rate minus 0.50%, while overdraft is calculated at the current Bank of England base rate plus 1.00% of its overseas equivalent.
(d) Liquidity risk All of the Fund’s financial assets are considered to be readily realisable in accordance with the market practices of the exchange on which they are traded. In general, the Investment Manager manages the Fund’s cash to ensure it can meet its liabilities. Where investments cannot be realised in time to meet any potential liability, the Fund may borrow up to 10% of its value to ensure settlement.
All of the Fund’s financial liabilities are payable on demand or in less than one year, therefore liquidity risk is not significant.
17. Unitholders’ funds 31.12.25 31.12.24 Opening units in issue 22,396,219 23,128,647 Issues 2,496,314 2,553,075 Cancellations (4,556,538) (3,285,503)
Closing units in issue 20,335,995 22,396,219
State Street AUT Japan Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
40
Page 43
18. Fair value of investments 31.12.25 £'000
31.12.24 £'000 Assets Level 1 – Unadjusted quoted prices in an active market for identical assets accessible at the measurement date 61,120 58,002 Level 2 – Inputs other than quoted prices included within Level 1 that are observable, either directly or indirectly - Level 3 – Price inputs are unobservable - -
61,120 58,002
Liabilities Level 1 - Unadjusted quoted prices in an active market for identical assets accessible at the measurement date - 1 Level 2 – Inputs other than quoted prices included within Level 1 that are observable, either directly or indirectly - Level 3 – Price inputs are unobservable - -
-1
61,120 58,001 There is no material difference between the value of the financial assets and liabilities, as shown in the balance sheet, and their fair value.
19. Significant events during the financial year State Street Global Advisors is now State Street Investment Management. Effective 30 June, 2025, State Street Global Advisors began operating under the marketing name State Street Investment Management. This change does not affect the legal name or structure of the State Street Global Advisors Limited or the management of the Fund.
There have been no other significant events affecting the Fund during the financial year ended 31 December 2025 that require amendment to or disclosure in the financial statements.
20. Subsequent events since the financial year Victoria Parry, Colin Fernandes and Nigel Wightman resigned as Directors on 2 January 2026.
Barbara Healy, Benjamin Lam, Eric Linnane and Thomas Coghlan were appointed as Directors on 2 January 2026.
The Annual Management Charge shall reduce to 6bps from 1 April 2026.
There have been no other significant events affecting the Fund after the financial year ended 31 December 2025 that require amendment to or disclosure in the financial statements.
State Street AUT Japan Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
41
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Dividend in pence per unit payable on 29th August 2025
Group 1: Units purchased prior to 1st January 2025
Group 2: Units purchased on or after 1st January 2025 to 30th June 2025
Net revenue pence per unit
Equalisation pence per unit
Amount paid 29.08.2025 pence per unit
Amount paid 31.08.2024 pence per unit Accumulation Units Group 1 2.9265 - 2.9265 2.3529 Group 2 0.7598 2.1667 2.9265 2.3529
Corporate Unitholder Information Franked Investment Income 100.00% Unfranked Non Foreign Investment Income 0.00% Unfranked Foreign Investment Income 0.00%
Dividend in pence per unit payable on 27th February 2026
Group 1: Units purchased prior to 1st July 2025
Group 2: Units purchased on or after 1st July 2025 to 31st December 2025
Net revenue pence per unit
Equalisation pence per unit
Amount payable 27.02.2026 pence per unit
Amount paid 28.02.2025 pence per unit Accumulation Units Group 1 2.6851 - 2.6851 2.5112 Group 2 0.8365 1.8486 2.6851 2.5112
Corporate Unitholder Information Franked Investment Income 100.00% Unfranked Non Foreign Investment Income 0.00% Unfranked Foreign Investment Income 0.00%
Equalisation applies only to units purchased during the distribution period (Group 2 units). It is the average amount of income included in the purchase price of all Group 2 units and is refunded to holders of these units as a return of capital. Being capital, it is not liable to income tax but must be deducted from the cost of units for capital gains tax purposes.
State Street AUT Japan Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Distribution Tables
For the year ended 31st December 2025
42
Page 45
THE MANAGER State Street Unit Trust Management Limited 20 Churchill Place, Canary Wharf London E14 5HJ
Regulated by The Financial Conduct Authority.
DIRECTORS V. Parry* (resigned 2 January 2026) C. Fernandes (resigned 2 January 2026) N. Wightman* (resigned 2 January 2026) R. Bridger B. Healy* (appointed 2 January 2026) B. Lam* (appointed 2 January 2026) E. Linnane (appointed 2 January 2026) T. Coghlan* (appointed 2 January 2026) * Independent non-executive Director
INVESTMENT MANAGER, REGISTRAR & TRANSFER AGENT State Street Global Advisors Limited 20 Churchill Place London E14 5HJ
Regulated by The Financial Conduct Authority.
INDEPENDENT AUDITORS PricewaterhouseCoopers LLP Chartered Accountants and Statutory Auditors 120 Bothwell Street Glasgow G2 7JS
DEPOSITARY HSBC Bank plc 8 Canada Square Canary Wharf London E14 5HQ
HSBC Bank plc is authorised by the Prudential Regulation Authority and regulated by the Prudential Regulation Authority and the Financial Conduct Authority.
CONSTITUTION State Street AUT Japan Screened Index Equity Fund is an authorised unit trust scheme within the meaning of, and governed by section 243 of the Financial Services and Markets Act 2000. The Fund is a ‘wider range’ investment scheme under the Trustee Investments Act 1961.
PROSPECTUS Copies of the Prospectus are available from the Manager upon request.
Please remember that the price of units and the income from them can go down as well as up. Past performance is not necessarily a guide to the future. Changes in exchange rates may also affect the value.
ASSESSMENT OF VALUE Assessment of Value (AoV) was introduced by the FCA to ensure UK authorised fund managers (“AFMs”) demonstrate the delivery of value for underlying investors, objectively assessing ourselves against a range of criteria. Our annual assessment of value statement can be found in a composite report on www.ssga.com.
State Street AUT Japan Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Directory
43
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TASK FORCE ON CLIMATE-RELATED FINANCIAL DISCLOSURES (TCFD) The Manager’s entity and product disclosure reports have been published separately and can be found using the fund finder page on www.ssga.com.
State Street AUT Japan Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Directory (continued)
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State Street Corporation (“SSC”), and its direct and indirect subsidiaries (together with the SSC hereafter referred to as “State Street”) operate a group-wide compensation strategy including a remuneration policy that applies to all State Street entities globally. As the Management Company, State Street Unit Trust Management Limited (“SSUTM”) does not employ any staff and has delegated certain activities in respect of the investment management and risk management to SSGA Limited and SSGA Europe Limited, Poland Branch (together, the “Investment Managers”). As a State Street subsidiary, the Investment Managers are fully integrated into State Street’s group-wide compensation strategy and subject to the global and regional governing body structure of State Street to provide appropriate and effective control of the remuneration arrangements (incl. compliance with the relevant remuneration regulations) across the State Street group of affiliated entities. Under its publicly available charter, the Human Resources Committee (“HRC”) of SSC oversees all of State Street’s compensation plans, policies, and programs in which senior executives participate and incentive, retirement, welfare and equity plans in which certain other employees of SSC participate. It also oversees the alignment of the incentive compensation arrangements with the State Street’s financial safety and soundness consistent with applicable related regulatory rules and guidance. The HRC approves the overall allocation of the Incentive Compensation (“IC”) Plan pool. State Street’s CEO allocates IC pools to business units and corporate functions based upon a variety of factors, which may include budget performance, achievement of key goals and other considerations. The final expenditure and overall allocation between current and deferred awards are then reviewed by the HRC prior to payment.
State Street also has separate UK and SSGAEL Remuneration Committees in place for the Investment Managers with the primary duties to:
• review the remuneration policy applicable to employees, management and Identified Staff of the Investment Managers and oversee its implementation;
• oversee compliance with any applicable remuneration regulations; and
• review and endorse remuneration decisions related to Identified Staff and consider recommendations for ex-post risk adjustment of Identified Staff.
State Street operates an annually reviewed global remuneration policy document (supplemented by any relevant addenda by jurisdiction or regulatory regime), which documents State Street’s existing remuneration framework. This policy is intended to comply with applicable remuneration regulatory requirements including, but not limited to, those contained in the CRD, UCITS V and AIFMD, and will be interpreted and administered accordingly. State Street’s remuneration policies and practices apply on a global basis to all employees of the State Street group (incl. the Investment Managers). The key principles that align State Street’s remuneration system with the business strategy are as follows:
• We emphasize total rewards.
• We target the aggregate annual value of our Total Rewards Program to be competitive with our business peers.
• We unequivocally support equal pay for work of equal value.
• Funding for our Total Rewards Program is subject to affordability and is designed to be flexible based on corporate performance.
• We differentiate pay based on performance.
• We align employees’ interests with shareholders’ interests.
• Our compensation plans are designed to comply with applicable regulations and related guidance, including prohibiting incentives to take excessive risks.
State Street AUT Japan Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Appendix I – Remuneration Policy (Unaudited)
45
Page 48
Given our process of structured discretion in determining incentive pool funding and individual award decisions, the deferral of incentive compensation, and the availability of ex-ante and ex-post adjustments, such as forfeitures and clawbacks, our compensation system is appropriately risk-sensitive and links current decisions and actions to future risk outcomes.
State Street operates a fully flexible, discretionary bonus policy (i.e. the amount of individual variable pay may fluctuate significantly from one year to the next, depending on performance and the other factors described below, and even could be reduced to zero for any given year). The discretionary bonus policy is structured so as to achieve a balance between fixed and variable components, but also includes specific maximum pay ratios where required by local regulations. A number of employees in sales participate in Structured Incentive Plans, which aim to bring the variable compensation granted to plan participants into line with the revenues they generate as well as taking into account non-financial qualitative performance indicators. All such participants receive sufficiently high fixed compensation. Variable compensation is assigned on an individual basis by way of a review of both quantitative and qualitative factors.
A proportionality assessment has been conducted to evaluate the risk profile of SSUTM. This analysis has concluded that the size, nature and complexity of SSUTM and, where relevant, the funds that it manages, is sufficiently low and UCITS V’s remuneration requirements on the pay-out processes and establishment of a remuneration committee were disapplied. Accordingly, State Street continues to operate current levels of deferral and stock-based compensation and has not made significant changes to Identified Staff remuneration structures in respect of SSUTM. Total amount of remuneration paid by the Investment Manager as at 31/12/2025 1
Fixed remuneration (in £ k) 55,938
Variable remuneration (in £ k) 49,726 Total Remuneration (in £ k) 105,664 Number of beneficiaries 595 Performance fee paid directly by the UCITS n/a
Aggregate amount of remuneration as at 31/12/2025 (in £ k)
Senior Management of SSUTM 2 58
Identified Staff of the Investment Manager 58,348 More details regarding State Street’s remuneration approach including (but not limited to) information on the decision-making process to determine the remuneration policy, its basic characteristics and the linkage between pay and performance, are published separately in State Street’s Proxy Statement at www.statestreet.com and the remuneration section of the UK Pillar 3 disclosure of SSGA Ltd. at: https://www.ssga.com/library-content/assets/pdf/emea/resources/2024/ssgal-pillar-3-disclosure.pdf. In light of State Street’s group-wide compensation strategy, the qualitative remuneration information included in the UK Pillar 3 disclosure equally apply to State Street employees outside the UK and the Investment Managers’ employees.
1 Disclosure is based on the remuneration of the entire staff of the investment manager, indicating the number of beneficiaries. 2 Represents remuneration paid to independent directors (Directors who are also employees of the SSC do not receive remuneration in their capacity as board members).
State Street AUT Japan Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Appendix I – Remuneration Policy (Unaudited) (continued)
46
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"text": "Annual Report and Audited Financial Statements 2025"
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"text": "The State Street AUT Japan Screened Index Equity Fund (the \u201cFund\u201d) is an Authorised Unit Trust Scheme as defined in"
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"text": "section 243 of the Financial Services and Markets Act 2000 and it is a UCITS Retail Scheme within the meaning of the FCA"
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"text": "equity market as represented by the FTSE Japan ex Controversies ex CW ex Tobacco ex Thermal Coal (10%) Index, net"
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"text": "The Fund passively managed, meaning that the objective of the Fund is to achieve an investment return that is as"
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"text": "close as possible, and on a \u201cgross of fees\u201d basis, to the return of the Index applicable to the Fund. The Investment Adviser"
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"text": "seeks to achieve the objective of the Fund by using a replication strategy. This strategy seeks to hold all of the securities of"
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"text": "the particular Index, with the approximate weightings as in that Index. The Fund may also invest in transferable securities,"
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"text": "1. Controversial weapons (including chemical \u0026 biological weapons, cluster munitions, antipersonnel landmines),"
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"text": "respect of other investments held by the Fund from time to time)."
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