open/document-extraction
View Schema
This view of the annotation often reflects the precision of the extraction model or annotator, as well as the complexity of the document.
State Street AUT Europe ex-UK
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* 18
Manager's Statement of Responsibilities 19
Statement of the Depositary’s Responsibilities 20
Independent Auditors’ Report 21
Comparative Table* 24
Financial statements: 25
Statement of Total Return 25
Statement of Change in Net Assets Attributable to Unitholders 25
Balance Sheet 26
Notes to the Financial Statements 27
Distribution Tables 46
Directory* 47
Appendix I – Remuneration Policy (Unaudited) 49
* These collectively comprise the Manager’s Report.
State Street AUT Europe ex-UK Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Page 3
Authorised Status The State Street AUT Europe ex-UK 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 Europe 'ex UK' equity market as represented by the FTSE Developed Europe 'ex UK' ex Controversies ex CW ex Tobacco ex Thermal Coal (10%) Index, net of withholding taxes (or its recognised replacement or equivalent).
The Fund is passively managed, meaning that the objective of the Scheme 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 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, anti-personnel 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.
Anti-Corruption
j) Principle 10: Businesses should work against corruption in all its forms, including extortion and bribery.
The 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).
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).
State Street AUT Europe ex-UK 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 27.46% on a net basis for the 1 year period ended 31 December 2025 (the “Reporting Period”), compared to the Index return of 26.80%. The size of the Fund’s tracking difference for the Reporting Period was 0.66% which was within the targeted tolerance; the outperformance versus the Index was largely attributable to withholding tax. The Fund had an ex-post 1 year tracking error of 0.23% 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 Europe ex-UK 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 £1,912,301 (1.07% 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 0.23% which was within the targeted tolerance.
State Street AUT Europe ex-UK 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
Austria — 0.68% (31.12.2024 — 0.47%) ANDRITZ AG 1,592 93 0.05 BAWAG Group AG 1,777 199 0.11 Erste Group Bank AG 6,288 564 0.31 OMV AG 2,922 121 0.07 Raiffeisen Bank International AG 3,077 102 0.06 Strabag SE 433 30 0.02 Telekom Austria AG 1,508 12 0.01 Verbund AG 1,617 87 0.05
1,208 0.68
Belgium — 1.68% (31.12.2024 — 1.60%) Ackermans & van Haaren NV 527 107 0.06 Ageas SA 4,010 209 0.12 Anheuser-Busch InBev SA 21,531 1,032 0.58 D'ieteren Group 507 68 0.04 Elia Group SA 850 81 0.04 Groupe Bruxelles Lambert NV 1,769 117 0.06 KBC Group NV 5,060 492 0.27 Lotus Bakeries NV 10 68 0.04 Sofina SA 391 84 0.05 Syensqo SA 1,701 101 0.06 UCB SA 2,679 555 0.31 Warehouses De Pauw CVA* 4,496 87 0.05
3,001 1.68
Denmark — 3.57% (31.12.2024 — 5.58%) AP Moller - Maersk AS 'A' Shares 62 106 0.06 AP Moller - Maersk AS 'B' Shares 82 140 0.08 Carlsberg AS 2,088 204 0.11 Coloplast AS 3,045 195 0.11 Danske Bank AS 14,439 537 0.30 Demant AS 2,106 53 0.03 DSV AS 4,307 811 0.45
State Street AUT Europe ex-UK 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
Denmark — 3.57% (31.12.2024 — 5.58%) (continued) Genmab AS 1,363 322 0.18 H Lundbeck AS 'A' Shares 1,107 5 0.00 H Lundbeck AS 'B' Shares 6,662 33 0.02 Novo Nordisk AS 71,381 2,717 1.52 Novonesis Novozymes B 7,660 365 0.20 Orsted AS 9,571 135 0.08 Pandora AS 1,602 132 0.07 Rockwool AS 2,031 53 0.03 Tryg AS 6,129 119 0.07 Vestas Wind Systems AS 22,632 459 0.26
6,386 3.57
Finland — 2.24% (31.12.2024 — 1.99%) Elisa OYJ 2,782 91 0.05 Fortum OYJ 10,114 160 0.09 Kesko OYJ 5,188 87 0.05 Kone OYJ 6,933 367 0.21 Metso OYJ 15,653 205 0.11 Neste OYJ 9,595 163 0.09 Nokia OYJ 112,826 550 0.31 Nordea Bank Abp 72,159 1,016 0.57 Orion OYJ 2,192 122 0.07 Sampo OYJ 56,293 509 0.28 Stora Enso OYJ 14,334 134 0.07 UPM-Kymmene OYJ 11,772 256 0.14 Valmet OYJ 3,536 88 0.05 Wartsila OYJ Abp 9,899 263 0.15
4,011 2.24
France — 18.57% (31.12.2024 — 19.99%) Accor SA 4,738 199 0.11 Aeroports de Paris SA 944 91 0.05 Air Liquide SA 12,888 1,802 1.01
State Street AUT Europe ex-UK 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
France — 18.57% (31.12.2024 — 19.99%) (continued) Alstom SA 8,111 177 0.10 Amundi SA 1,399 86 0.05 Arkema SA 1,489 67 0.04 AXA SA 37,632 1,346 0.75 Ayvens SA 6,670 66 0.04 BioMerieux 881 85 0.05 BNP Paribas SA 22,126 1,561 0.87 Bollore SE 17,170 71 0.04 Bouygues SA 3,969 154 0.09 Bureau Veritas SA 8,249 196 0.11 Capgemini SE 3,503 434 0.24 Carrefour SA 12,791 159 0.09 Cie de Saint-Gobain SA 10,211 775 0.43 Cie Generale des Etablissements Michelin SCA 15,053 370 0.21 Covivio SA* 1,003 49 0.03 Credit Agricole SA 20,384 312 0.17 Danone SA 14,105 946 0.53 Dassault Aviation SA 444 106 0.06 Dassault Systemes SE 14,486 302 0.17 Edenred SE 6,117 100 0.06 Eiffage SA 1,759 187 0.10 Engie SA 39,847 780 0.44 EssilorLuxottica SA 6,441 1,518 0.85 Eurazeo SE 1,049 49 0.03 FDJ UNITED 2,552 52 0.03 Gecina SA* 1,289 91 0.05 Getlink SE 7,668 105 0.06 Hermes International SCA 771 1,429 0.80 Ipsen SA 827 86 0.05 Kering SA 1,594 419 0.23 Klepierre SA* 4,232 124 0.07 Legrand SA 5,732 634 0.35 L'Oreal SA 5,121 1,639 0.91 LVMH Moet Hennessy Louis Vuitton SE 5,716 3,198 1.79 Orange SA 46,669 579 0.32
State Street AUT Europe ex-UK 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
France — 18.57% (31.12.2024 — 19.99%) (continued) Pernod Ricard SA 4,338 277 0.15 Publicis Groupe SA 5,175 400 0.22 Renault SA 4,573 141 0.08 Rexel SA 4,696 137 0.08 Safran SA 7,780 2,016 1.13 Sanofi SA 23,994 1,733 0.97 Sartorius Stedim Biotech 683 124 0.07 Schneider Electric SE 12,138 2,490 1.39 SCOR SE 4,223 106 0.06 SEB SA 602 26 0.01 Societe Generale SA 15,703 942 0.53 Sodexo SA 2,009 76 0.04 SPIE SA 3,051 131 0.07 Teleperformance SE 1,327 72 0.04 Thales SA 2,030 406 0.23 TotalEnergies SE 41,383 2,008 1.12 Unibail-Rodamco-Westfield* 2,764 224 0.12 Veolia Environnement SA 13,712 356 0.20 Vinci SA 11,301 1,185 0.66 Wendel SE 600 43 0.02
33,237 18.57
Germany — 17.91% (31.12.2024 — 17.97%) adidas AG 3,756 556 0.31 Allianz SE 8,787 3,005 1.68 Aumovio SE 1,334 50 0.03 BASF SE 20,180 785 0.44 Bayer AG 22,190 716 0.40 Bayerische Motoren Werke AG 6,799 554 0.31 Bayerische Motoren Werke AG Preference Shares 1,070 85 0.05 Bechtle AG 1,946 74 0.04 Beiersdorf AG 2,468 201 0.11 Brenntag SE 2,490 108 0.06 Carl Zeiss Meditec AG 883 31 0.02
State Street AUT Europe ex-UK 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
Germany — 17.91% (31.12.2024 — 17.97%) (continued) Commerzbank AG 15,318 484 0.27 Continental AG 2,215 131 0.07 CTS Eventim AG & Co. KGaA 1,426 98 0.05 Daimler Truck Holding AG 11,300 367 0.21 Delivery Hero SE 5,415 107 0.06 Deutsche Bank AG 40,095 1,164 0.65 Deutsche Boerse AG 4,155 815 0.46 Deutsche Lufthansa AG 15,144 111 0.06 Deutsche Post AG 21,425 877 0.49 Deutsche Telekom AG 78,982 1,916 1.07 Deutsche Wohnen SE 1,176 21 0.01 DWS Group GmbH & Co. KGaA 771 38 0.02 E.ON SE 50,070 703 0.39 Evonik Industries AG 6,189 72 0.04 Fielmann Group AG 551 21 0.01 Fraport AG Frankfurt Airport Services Worldwide 959 58 0.03 Fresenius Medical Care AG 5,205 185 0.10 Fresenius SE & Co. KGaA 9,161 391 0.22 FUCHS SE 638 17 0.01 FUCHS SE Preference Shares 1,636 55 0.03 GEA Group AG 3,324 167 0.09 Hannover Rueck SE 1,319 308 0.17 Heidelberg Materials AG 2,822 551 0.31 Henkel AG & Co. KGaA 1,953 111 0.06 Henkel AG & Co. KGaA Preference Shares 3,705 226 0.13 Hensoldt AG 1,509 97 0.05 HOCHTIEF AG 378 110 0.06 Infineon Technologies AG 29,400 964 0.54 KION Group AG 1,753 104 0.06 Knorr-Bremse AG 1,376 115 0.06 LEG Immobilien SE 1,448 78 0.04 Mercedes-Benz Group AG 17,088 899 0.50 Merck KGaA 2,940 314 0.18 MTU Aero Engines AG 1,197 371 0.21 Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen 2,963 1,459 0.82
State Street AUT Europe ex-UK 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
Germany — 17.91% (31.12.2024 — 17.97%) (continued) Nemetschek SE 1,287 105 0.06 Rational AG 133 77 0.04 RENK Group AG 1,775 83 0.05 Rheinmetall AG 1,021 1,384 0.77 SAP SE 23,389 4,278 2.39 Scout24 SE 1,597 120 0.07 Siemens AG 16,705 3,486 1.95 Siemens Energy AG 16,895 1,777 0.99 Siemens Healthineers AG 7,141 279 0.16 Symrise AG 3,018 182 0.10 Talanx AG 1,232 122 0.07 Traton SE 1,539 41 0.02 Vonovia SE 15,533 333 0.19 Zalando SE 5,742 127 0.07
32,064 17.91
Ireland — 0.71% (31.12.2024 — 0.58%) AIB Group PLC 48,631 390 0.22 Bank of Ireland Group PLC 21,269 303 0.17 Kerry Group PLC 3,749 254 0.14 Kingspan Group PLC 3,484 226 0.12 Ryanair Holdings PLC 3,953 102 0.06
1,275 0.71
Italy — 6.13% (31.12.2024 — 5.69%) A2A SpA 37,666 76 0.04 Amplifon SpA 3,188 38 0.02 Banca Mediolanum SpA 4,004 68 0.04 Banca Monte dei Paschi di Siena SpA 45,612 364 0.20 Banco BPM SpA 32,252 367 0.21 BPER Banca SpA 30,651 310 0.17 Brunello Cucinelli SpA 815 70 0.04 Buzzi SpA 2,003 91 0.05
State Street AUT Europe ex-UK 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
Italy — 6.13% (31.12.2024 — 5.69%) (continued) DiaSorin SpA 581 35 0.02 Enel SpA 176,587 1,368 0.77 Eni SpA 45,093 635 0.36 FinecoBank Banca Fineco SpA 13,333 258 0.14 Generali 21,842 682 0.38 Hera SpA 20,504 72 0.04 Infrastrutture Wireless Italiane SpA 8,237 57 0.03 Interpump Group SpA 1,885 77 0.04 Intesa Sanpaolo SpA 343,331 1,775 0.99 Italgas SpA 14,413 120 0.07 Leonardo SpA 8,937 383 0.21 Mediobanca Banca di Credito Finanziario SpA 2,890 45 0.03 Moncler SpA 4,886 234 0.13 Nexi SpA 12,309 45 0.03 Pirelli & C SpA 9,522 49 0.03 Poste Italiane SpA 10,343 194 0.11 Prysmian SpA 6,397 482 0.27 Recordati Industria Chimica e Farmaceutica SpA 2,697 114 0.06 Reply SpA 549 55 0.03 Snam SpA 44,401 219 0.12 Telecom Italia SpA 218,339 98 0.06 Telecom Italia SpA Savings Shares 141,241 77 0.04 Terna - Rete Elettrica Nazionale 31,898 252 0.14 UniCredit SpA 34,228 2,119 1.18 Unipol Assicurazioni SpA 7,817 140 0.08
10,969 6.13
Jersey — 0.04% (31.12.2024 — 0.00%) CVC Capital Partners PLC 5,224 65 0.04
Luxembourg — 0.42% (31.12.2024 — 0.34%) Allegro.eu SA 19,792 127 0.07 ArcelorMittal SA 9,369 320 0.18
State Street AUT Europe ex-UK 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
Luxembourg — 0.42% (31.12.2024 — 0.34%) (continued) Eurofins Scientific SE 2,353 128 0.07 InPost SA 5,967 54 0.03 RTL Group SA 920 28 0.01 Tenaris SA 7,208 103 0.06
760 0.42
Netherlands — 11.79% (31.12.2024 — 10.97%) ABN AMRO Bank NV 13,177 342 0.19 Adyen NV 599 719 0.40 Aegon Ltd. 32,113 186 0.10 Airbus SE 13,081 2,263 1.26 Akzo Nobel NV 4,139 214 0.12 Argenx SE 1,378 862 0.48 ASM International NV 1,034 467 0.26 ASML Holding NV 8,835 7,094 3.96 ASR Nederland NV 3,556 188 0.11 BE Semiconductor Industries NV 1,511 176 0.10 CTP NV 3,352 52 0.03 Davide Campari-Milano NV 14,558 70 0.04 Euronext NV 2,022 226 0.13 EXOR NV 1,730 109 0.06 Ferrari NV 2,691 749 0.42 Ferrovial SE 10,570 511 0.29 Heineken Holding NV 2,519 137 0.08 Heineken NV 6,301 384 0.21 IMCD NV 1,443 97 0.05 ING Groep NV 67,378 1,412 0.79 JDE Peet's NV 3,736 104 0.06 Koninklijke Ahold Delhaize NV 20,364 620 0.35 Koninklijke KPN NV 82,689 287 0.16 Koninklijke Philips NV 17,277 350 0.20 Koninklijke Vopak NV 1,326 44 0.02 Magnum Ice Cream Co. NV 11,967 141 0.08 NN Group NV 5,894 338 0.19
State Street AUT Europe ex-UK 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
Netherlands — 11.79% (31.12.2024 — 10.97%) (continued) Prosus NV 27,351 1,262 0.70 Qiagen NV 4,524 153 0.09 Randstad NV 2,644 74 0.04 Stellantis NV 47,877 396 0.22 STMicroelectronics NV 14,052 274 0.15 Universal Music Group NV 20,971 405 0.23 Wolters Kluwer NV 5,125 395 0.22
21,101 11.79
Norway — 1.10% (31.12.2024 — 1.25%) Aker ASA 561 32 0.02 Aker BP ASA 6,908 131 0.07 DNB Bank ASA 18,090 375 0.21 Equinor ASA 14,804 259 0.14 Gjensidige Forsikring ASA 4,474 99 0.06 Kongsberg Gruppen ASA 8,776 167 0.09 Mowi ASA 9,848 176 0.10 Norsk Hydro ASA 27,294 157 0.09 Orkla ASA 13,364 111 0.06 Salmar ASA 1,711 78 0.04 Telenor ASA 13,267 143 0.08 Var Energi ASA 20,127 49 0.03 Vend Marketplaces ASA 3,403 70 0.04 Yara International ASA 4,024 123 0.07
1,970 1.10
Poland — 0.81% (31.12.2024 — 0.71%) Bank Polska Kasa Opieki SA 3,758 159 0.09 Dino Polska SA 9,321 80 0.05 KGHM Polska Miedz SA 2,837 165 0.09 LPP SA 26 112 0.06 mBank SA 332 73 0.04 ORLEN SA 12,662 252 0.14
State Street AUT Europe ex-UK 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
Poland — 0.81% (31.12.2024 — 0.71%) (continued) Powszechna Kasa Oszczednosci Bank Polski SA 18,593 327 0.18 Powszechny Zaklad Ubezpieczen SA 12,925 178 0.10 Santander Bank Polska SA 995 112 0.06
1,458 0.81
Portugal — 0.32% (31.12.2024 — 0.28%) Banco Comercial Portugues SA 186,839 146 0.08 EDP SA 67,855 232 0.13 Galp Energia SGPS SA 8,319 105 0.06 Jeronimo Martins SGPS SA 5,449 97 0.05
580 0.32
Spain — 7.27% (31.12.2024 — 5.44%) Acciona SA 451 73 0.04 ACS Actividades de Construccion y Servicios SA 4,043 300 0.17 Aena SME SA 15,764 328 0.18 Amadeus IT Group SA 10,087 553 0.31 Banco Bilbao Vizcaya Argentaria SA 126,839 2,221 1.24 Banco de Sabadell SA 113,581 334 0.19 Banco Santander SA 332,255 2,921 1.63 Bankinter SA 13,246 164 0.09 CaixaBank SA 81,070 739 0.41 Cellnex Telecom SA 12,375 296 0.17 Corp. ACCIONA Energias Renovables SA 460 9 0.00 EDP Renovaveis SA 7,806 81 0.05 Endesa SA 7,689 206 0.11 Grifols SA 7,016 66 0.04 Grifols SE Preference Shares 6,340 43 0.02 Iberdrola SA 149,316 2,407 1.34 Industria de Diseno Textil SA 25,043 1,232 0.69 Mapfre SA 21,809 81 0.05 Merlin Properties Socimi SA* 7,564 82 0.05 Naturgy Energy Group SA 5,688 129 0.07
State Street AUT Europe ex-UK 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
Spain — 7.27% (31.12.2024 — 5.44%) (continued) Redeia Corp. SA 8,213 109 0.06 Repsol SA 24,683 343 0.19 Telefonica SA 98,257 300 0.17
13,017 7.27
Sweden — 6.65% (31.12.2024 — 6.61%) AAK AB 4,663 99 0.06 AddTech AB 4,711 124 0.07 Alfa Laval AB 6,188 233 0.13 Assa Abloy AB 21,926 637 0.36 Atlas Copco AB 'A' Shares 57,128 768 0.43 Atlas Copco AB 'B' Shares 33,328 401 0.22 Axfood AB 2,540 59 0.03 Beijer Ref AB 10,244 123 0.07 Boliden AB 6,728 280 0.16 Castellum AB 7,005 60 0.03 Epiroc AB 'B' Shares 8,536 129 0.07 Epiroc AB 'A' Shares 14,280 242 0.14 EQT AB 11,752 349 0.19 Essity AB 13,338 286 0.16 Evolution AB 2,876 146 0.08 Fastighets AB Balder 16,472 90 0.05 Getinge AB 5,500 97 0.05 H&MH ennes & Mauritz AB 10,418 157 0.09 Hexagon AB 45,515 403 0.23 Holmen AB 2,279 65 0.04 Industrivarden AB 'A' Shares 2,524 85 0.05 Industrivarden AB 'C' Shares 3,065 103 0.06 Indutrade AB 6,611 128 0.07 Investment AB Latour 3,453 63 0.04 Investor AB 'A' Shares 10,537 280 0.16 Investor AB 'B' Shares 39,802 1,064 0.59 L E Lundbergforetagen AB 1,913 79 0.04 Lifco AB 4,576 130 0.07
State Street AUT Europe ex-UK 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
Sweden — 6.65% (31.12.2024 — 6.61%) (continued) Nibe Industrier AB 36,091 104 0.06 Saab AB 7,942 345 0.19 Sagax AB 'B' Shares 4,861 77 0.04 Sagax AB 'D' Shares 4,278 12 0.01 Sandvik AB 23,069 561 0.31 Securitas AB 9,798 116 0.06 Skandinaviska Enskilda Banken AB 'A' Shares 34,011 536 0.30 Skandinaviska Enskilda Banken AB 'C' Shares 792 13 0.01 Skanska AB 6,935 142 0.08 SKF AB 7,005 139 0.08 SSAB AB 'A' Shares 5,420 31 0.02 SSAB AB 'B' Shares 14,982 84 0.05 Svenska Cellulosa AB SCA 12,141 121 0.07 Svenska Handelsbanken AB 'A' Shares 31,673 344 0.19 Svenska Handelsbanken AB 'B' Shares 1,279 24 0.01 Sweco AB 5,347 65 0.04 Swedbank AB 17,957 466 0.26 Swedish Orphan Biovitrum AB 4,590 123 0.07 Tele2 AB 13,280 166 0.09 Telefonaktiebolaget LM Ericsson 60,875 445 0.25 Telia Co. AB 56,316 180 0.10 Trelleborg AB 4,218 133 0.07 Volvo AB 'A' Shares 4,671 112 0.06 Volvo AB 'B' Shares 35,376 847 0.47 Volvo Car AB 13,470 33 0.02
11,899 6.65
Switzerland — 19.05% (31.12.2024 — 19.74%) ABB Ltd. 35,342 1,963 1.10 Adecco Group AG 3,880 84 0.05 Alcon AG 11,160 663 0.37 Amrize Ltd. 11,132 455 0.25 Avolta AG 2,159 96 0.05 Bachem Holding AG 579 33 0.02
State Street AUT Europe ex-UK 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
Switzerland — 19.05% (31.12.2024 — 19.74%) (continued) Banque Cantonale Vaudoise 654 62 0.03 Barry Callebaut AG 68 83 0.05 Belimo Holding AG 209 153 0.09 BKW AG 494 78 0.04 Chocoladefabriken Lindt & Spruengli AG 2 218 0.12 Chocoladefabriken Lindt & Spruengli AG (Non-Voting) 23 250 0.14 Cie Financiere Richemont SA 11,896 1,921 1.07 DKSH Holding AG 820 44 0.02 DSM-Firmenich AG 4,136 248 0.14 Emmi AG 48 33 0.02 EMS-Chemie Holding AG 128 66 0.04 Flughafen Zurich AG 383 91 0.05 Galderma Group AG 3,861 587 0.33 Geberit AG 747 434 0.24 Georg Fischer AG 1,958 98 0.05 Givaudan SA 171 505 0.28 Helvetia Baloise Holding AG 1,790 351 0.20 Holcim AG 11,006 803 0.45 Julius Baer Group Ltd. 4,452 261 0.15 Kuehne & Nagel International AG 984 158 0.09 Logitech International SA 3,349 256 0.14 Lonza Group AG 1,563 789 0.44 Nestle SA 56,878 4,203 2.35 Novartis AG 43,054 4,428 2.47 Partners Group Holding AG 479 442 0.25 PSP Swiss Property AG 1,112 150 0.08 Roche Holding AG 660 208 0.12 Roche Holding AG Genusschein 15,811 4,870 2.72 Sandoz Group AG 9,229 501 0.28 Schindler Holding AG 421 111 0.06 Schindler Holding AG Participating Certificates 921 258 0.14 SGS SA 3,773 322 0.18 SIG Group AG 8,102 86 0.05 Sika AG 3,403 519 0.29 Sonova Holding AG 1,118 217 0.12
State Street AUT Europe ex-UK 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
Switzerland — 19.05% (31.12.2024 — 19.74%) (continued) Straumann Holding AG 2,456 215 0.12 Swatch Group AG 835 27 0.02 Swatch Group AG (Bearer) 551 87 0.05 Swiss Life Holding AG 637 548 0.31 Swiss Prime Site AG 1,709 197 0.11 Swiss Re AG 6,646 829 0.46 Swisscom AG 602 325 0.18 Swissquote Group Holding SA 282 129 0.07 Temenos AG 1,203 90 0.05 UBS Group AG 71,711 2,487 1.39 VAT Group AG 582 211 0.12 VZ Holding AG 364 51 0.03 Zurich Insurance Group AG 3,198 1,806 1.01
34,100 19.05
Derivatives — 0.01% (31.12.2024 — (0.01)%) EURO STOXX 50 Index Futures March 2026† 27 13 0.01 OMXS 30 Index Futures January 2026† 7 3 0.00 Swiss Market Index Futures March 2026† 3 8 0.00
24 0.01
Portfolio of investments 177,125 98.95 Net other assets 1,881 1.05
Total net assets 179,006 100.00
All holdings are ordinary shares or common stock unless otherwise stated. * Real Estate Investment Trust. † Goldman Sachs is the counterparty, total notional exposure is £1,912,301 and 1.07% as a percentage of the Fund’s value.
State Street AUT Europe ex-UK Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
17
Page 20
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 Europe ex-UK Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Directors' Report to Unitholders
For the year ended 31st December 2025
18
Page 21
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 Europe ex-UK Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Manager's Statement of Responsibilities
For the year ended 31st December 2025
19
Page 22
Statement of the Depositary’s Responsibilities in respect of the Scheme The Depositary in its capacity as Trustee of State Street AUT Europe ex-UK 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 MarketsAct 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 consider 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 Europe ex-UK Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Statement of the Depositary's Responsibilities
For the year ended 31st December 2025
20
Page 23
Report on the audit of the financial statements
Opinion In our opinion, the financial statements of State Street AUT Europe ex-UK 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 Europe ex-UK Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Independent auditors’ report to the Unitholders of State Street AUT Europe ex-UK Screened Index Equity Fund
21
Page 24
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 Europe ex-UK Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Independent auditors’ report to the Unitholders of State Street AUT Europe ex-UK Screened Index Equity Fund (continued)
22
Page 25
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 Europe ex-UK Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Independent auditors’ report to the Unitholders of State Street AUT Europe ex-UK Screened Index Equity Fund (continued)
23
Page 26
Comparative Table For the year ended 31st December 2025
2025 2024 2023 Change in Net Assets Per Unit (£) (£) (£) Opening net asset value per unit 2.9114 2.8432 2.4676
Return before operating charges 0.8092 0.0718 0.3789 Operating charges (0.0039) (0.0036) (0.0033) Return after operating charges* 0.8053 0.0682 0.3756
Distributions (0.1022) (0.0813) (0.0752)
Retained distributions on accumulation units 0.1022 0.0813 0.0752
Closing net asset value per unit 3.7167 2.9114 2.8432 *after direct transaction cost of: 0.0006 0.0004 0.0005 Performance Return after charges 27.66% 2.40% 15.22% Other Information Closing net asset value (£'000) 179,006 6,036,971 5,360,245 Closing number of units 48,162,990 2,073,591,413 1,885,256,027 Operating charges 0.12% 0.12% 0.12% Direct transaction costs 0.02% 0.01% 0.02% Prices Highest unit price (pence) 3.7171 3.1329 2.8514 Lowest unit price (pence) 2.8610 2.7524 2.4994
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 Europe ex-UK Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
24
Page 27
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/(losses) 4 828,087 (41,513) Revenue 6 161,178 179,184 Expenses 7 (4,354) (6,990) Interest payable and similar charges 8 (4) -
Net revenue before taxation 156,820 172,194 Taxation 9 (14,655) (16,587)
Net revenue after taxation 142,165 155,607
Total return before distributions 970,252 114,094 Distributions 10 (142,165) (155,607)
Change in net assets attributable to unitholders from investment activities 828,087 (41,513)
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 6,036,971 5,360,245 In specie transfer (5,879,994) Amounts receivable on issue of units 149,695 580,728 Amounts payable on cancellation of units (1,088,842) (20,237)
(6,819,141) 560,491 Dilution levy 452 634 Change in unitholders' funds from investment activities 828,087 (41,513) Retained distributions on accumulation units 132,637 157,114
Closing net assets 179,006 6,036,971
State Street AUT Europe ex-UK Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
25
Page 28
Balance Sheet As at 31st December 2025
Note 31.12.25 31.12.24 £'000 £'000 Assets Fixed assets: Investments 177,125 5,989,517 Current assets: Debtors 11 40,287 35,134 Cash and bank balances 12 2,571 13,765
Total assets 219,983 6,038,416
Liabilities Investment liabilities - 806 Creditors Bank overdrafts 13 5 Other creditors 14 40,972 639
Total liabilities 40,977 1,445
Net assets attributable to unitholders 179,006 6,036,971
State Street AUT Europe ex-UK Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
26
Page 29
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. Stock lending, deposit interest and interest payable are recorded on an accrual basis. Any income arising from stock lending is treated as revenue on an accruals basis and is disclosed in the Notes to the Financial Statements net of directly attributable fees. The value of the collateral must always exceed the value of the stock on loan. The accepted collateral includes cash, equities, certain types of bonds and money market instruments as agreed with the Depositary.
(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 Europe ex-UK Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements
For the year ended 31st December 2025
27
Page 30
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 period 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, (g) use of derivatives and (h) stock lending risk.
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 Europe ex-UK Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
28
Page 31
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 Europe ex-UK Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
29
Page 32
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.
(h) Stock lending risk Stock lending transactions may involve a risk that a counterparty will wholly or partially fail to honour its contractual obligations.
In order to mitigate that risk of counterparty default, the counterparties to these transactions may be required to provide collateral to suitably cover their obligations to the Schemes. In the event of default by the counterparty, it will forfeit its collateral on the transaction. However, there is risk that the collateral, especially where it is in the form of stocks, when realised will not raise sufficient cash to settle the counterparty’s liability to the Schemes. Stock lending transactions may, in the event of a default by the counterparty, result in the stocks lent being recovered late or only in part. This may result in loss for the Lending Schemes.
4. Net capital gains/(losses)
The net capital gains/(losses) during the year comprise: 31.12.25 31.12.24 £'000 £'000 Non-derivative securities 821,748 (41,305) Derivative contracts 5,266 1,941 Gains/(losses) on foreign exchange 1,073 (2,149)
Net capital gains/(losses) 828,087 (41,513)
State Street AUT Europe ex-UK Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
30
Page 33
5. Purchases, sales and transaction costs 31.12.25 £'000
31.12.24 £'000 Purchases excluding transaction costs Equities 305,581 851,813
Total before transaction costs 305,581 851,813
Commissions Equities 67 172 Derivatives 8 12
75 184
Taxes Equities 331 642
331 642
Total purchases transaction costs 406 826
Purchases including transaction costs 305,987 852,639
31.12.25 £'000
31.12.24 £'000 Sales excluding transaction costs Equities 1,120,677 121,888
Total before transaction costs 1,120,677 121,888
Commissions Equities (233) (21) Derivatives (10) (11)
(243) (32)
Taxes Equities --
-Total sales transaction cost (243) (32)
Sales including transaction costs 1,120,434 121,856
State Street AUT Europe ex-UK Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
31
Page 34
5. Purchases, sales and transaction costs (continued)
31.12.25 %
31.12.24 % Transaction costs as percentage of principal amounts Purchases – Commissions Equities 0.022 0.020 Purchases – Taxes Equities 0.108 0.075 Sales – Commission Equities 0.021 0.018 Sales – Taxes Equities 0.000 0.000 31.12.25 %
31.12.24 % Transaction costs as percentage of average net asset value Commissions 0.008 0.003 Taxes 0.009 0.011
Total 0.017 0.014 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.
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% (31.12.2024: 0.17%).
State Street AUT Europe ex-UK Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
32
Page 35
6. Revenue 31.12.25 31.12.24 £'000 £'000 UK dividends - 28 Overseas dividends 157,998 175,805 Property income distributions 31 2 Stock dividends 2,465 1,947 Bank interest 298 844 Stock lending revenue 343 497 Derivatives revenue 43 61
Revenue 161,178 179,184
7. Expenses 31.12.25 31.12.24 £'000 £'000 Manager's periodic charge 4,353 6,988 CSDR penalties 12
Total expenses 4,354 6,990
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 4-
4-
9. Taxation
(a) Analysis of charge in year: 31.12.25 £'000
31.12.24 £'000 Overseas tax 14,655 16,587
Total current tax 14,655 16,587
Total tax charge (note 9b) 14,655 16,587
State Street AUT Europe ex-UK 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
Page 36
9. Taxation (continued)
(b) Factors affecting total tax charge for the year: 31.12.25 £'000
31.12.24 £'000 Net revenue before taxation 156,820 172,194 Corporation tax of 20% 31,364 34,439 Effects of: Revenue not subject to corporation tax (32,099) (35,556) Movement in excess management expenses 735 1,117 Overseas tax 14,655 16,587
Total tax charge for year (note 9a) 14,655 16,587
(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 £14,378,535 (31.12.24: £13,643,192) 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 131,255 128,980 Final 1,382 28,135
132,637 157,115
Amounts deducted on cancellation of units 11,696 101 Amounts added on issue of units (2,168) (1,609)
Net distribution for the year 142,165 155,607
The net distributions of the year is represented by: Net revenue after taxation 142,165 155,607
Net distribution for the year 142,165 155,607
State Street AUT Europe ex-UK 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
Page 37
11. Debtors 31.12.25 31.12.24 £'000 £'000 Creations awaiting settlement - 2,467 Sales awaiting settlement 1,535 Accrued revenue 42 42 Overseas tax recoverable* 38,710 32,623 Dilution adjustment receivable - 2 Total debtors 40,287 35,134
* This balance consists of £24,531k (31.12.24: £17,222k) of withholding tax amounts between 2021 and 2025 that are due from Swiss Tax Authorities. The amounts are undiscounted and have been recognised in full. Filings in respect of the periods from 2021 to 2025, totalling £24,531k, have been submitted. Based on investment manager’s assessment and the outcomes of previous filings, the amounts are expected to be received within 12 months from the date of approval of these financial statements. However, the timing of receipt is subject to uncertainty and cannot be guaranteed.
12. Cash and bank balances 31.12.25 31.12.24 £'000 £'000 Cash and bank balances 2,430 9,844 Amounts held at brokers 141 3,921
Total cash and bank balances 2,571 13,765
13. Bank overdrafts 31.12.25 31.12.24 £'000 £'000 Overdraft amounts held at brokers 5 -
Total bank overdrafts 5-
14. Other creditors 31.12.25 31.12.24 £'000 £'000 Liquidations awaiting settlement 2,049 17 Accrued Manager's periodic charge 19 622 Inspecie transfer payable* 38,904 -
Total other creditors 40,972 639
* This payable balance represents the outstanding tax reclaim due to the departing investor, arising from the full share redemption in July 2025. The Investment Manager has agreed to transfer the tax reclaim cash received to the departing investor on a monthly basis. The outstanding amount payable to the investor was £38,903,720 for the year ended 31.12.25.
15. Contingent liabilities and commitments The Fund had no contingent liabilities at year end (31.12.24: £nil).
State Street AUT Europe ex-UK 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
Page 38
16. Related party transactions 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.
17. 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
Danish krone 1,977 6,386 8,363 Euro 13,835 121,410 135,245 Norwegian krone 18 1,970 1,988 Polish zloty 142 1,585 1,727 Swedish krona 52 11,899 11,951 Swiss franc 24,563 33,851 58,414 US dollar 211 - 211 Total 40,798 177,101 217,899
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
Danish krone 2,843 336,919 339,762 Euro 20,069 3,971,317 3,991,386 Norwegian krone 390 75,707 76,097 Polish zloty 1,371 40,012 41,383 Swedish krona 1,142 399,313 400,455 Swiss franc 18,557 1,166,249 1,184,806 US dollar 1,039 - 1,039 Total 45,411 5,989,517 6,034,928
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 £19,809,003 (31.12.2024: £548,629,839).
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 £24,211,004 (31.12.2024: £670,547,581).
State Street AUT Europe ex-UK 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
Page 39
17. Risk disclosures (continued)
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 £17,712,497 (31.12.24: £598,951,713). If market prices had decreased by 10% as at the balance sheet date, the net asset value of the Fund would have decreased by £17,712,497 (31.12.24: £598,951,713).
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.
18. Securities Financing Transactions (SFT)
1) Global Data
Proportion of securities and commodities on loan as at 31st December 2025 £'000 %
Total lendable assets excluding cash and cash equivalents: 167,893
Securities and commodities on loan 4,989 2.97%
Assets engaged in SFTs and total return swaps as at 31st December 2025 £'000 %
Fund assets under management (AUM) 179,006
Absolute value of assets engaged in:
Securities lending 4,989 2.79%
State Street AUT Europe ex-UK 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
Page 40
18. Securities Financing Transactions (SFT) (continued)
2) Concentration Data
Top 10 Collateral Issuers Name and value of collateral and commodities received as at 31st December 2025 £'000
Heidelberg Materials 167
Erste Group Bank 166
UniCredit 131
Tencent 124
JD.com 118
Danske Bank 115
United Kingdom Inflation-Linked Gilt 104
Republic of Austria 101
Kingdom of Netherlands 98
Ryanair Holdings 80
Top 10 Counterparties Name and value of outstanding transactions as at 31st December 2025 £'000
BNP Paribas Financial Markets 1,201
Societe Generale 1,049
Barclays Capital Securities 903
Citigroup Global Markets (UK) 503
Nomura 363
HSBC Bank 280
UBS 250
Morgan Stanley International 233
Merrill Lynch 85
Goldman Sachs 77
State Street AUT Europe ex-UK Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
38
Page 41
18. Securities Financing Transactions (SFT) (continued)
3) Aggregate Transaction Data
Type, Quality and Currency of Collateral as at 31st December 2025
Type Quality Currency £'000
Securities lending
Equity Traded on recognised exchange Sterling 122
Equity Traded on recognised exchange Australian dollar 91
Equity Traded on recognised exchange Canadian dollar 85
Equity Traded on recognised exchange Danish krone 133
Equity Traded on recognised exchange Euro 1,659
Equity Traded on recognised exchange Hong Kong dollar 474
Equity Traded on recognised exchange Japanese yen 534
Equity Traded on recognised exchange Norwegian krone 45
Equity Traded on recognised exchange Singapore dollar 183
Equity Traded on recognised exchange Swedish krona 100
Equity Traded on recognised exchange Swiss franc 96
Equity Traded on recognised exchange US dollar 1,078
Fixed Income Investment Grade Sterling 173
Fixed Income Investment Grade Australian dollar 14
Fixed Income Investment Grade Canadian dollar 1
Fixed Income Investment Grade Danish krone 1
Fixed Income Investment Grade Euro 416
Fixed Income Investment Grade Norwegian krone 1
Fixed Income Investment Grade Swedish krona 1
Fixed Income Investment Grade US dollar 184
Total Collateral held 5,391
Maturity Tenor of Collateral (remaining period to maturity) as at 31st December 2025
Less than one day
One day to one week
One week to one month
One to three months
Three months to one year
Above one year
Open maturity Total
Type £'000 £'000 £'000 £'000 £'000 £'000 £'000 £'000
Securities lending - - - - - 791 4,600 5,391
State Street AUT Europe ex-UK 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
Page 42
18. Securities Financing Transactions (SFT) (continued)
Counterparty details as at 31st December 2025
Type
Country of counterparty establishment Settlement and clearing £'000
Securities lending France Tri-party 2,436
Securities lending Switzerland Tri-party 281
Securities lending United Kingdom Tri-party 2,674
Total collateral held 5,391
Maturity Tenor of SFTs and Total Return Swaps (remaining period to maturity) as at 31st December 2025
Less than one day
One day to one week
One week to one month
One to three months
Three months to one year
Above one year
Open maturity Total
Type £'000 £'000 £'000 £'000 £'000 £'000 £'000 £'000
Securities lending - - - - - - 4,989 4,989
4) Re-use of Collateral The Fund does not engage in re-use of collateral.
5) Safekeeping of Collateral Received
Names and value of custodians safekeeping collateral as at 31st December 2025 £'000
Bank of New York 2,866
JP Morgan 2,525
6) Safekeeping of Collateral Granted
The Fund does not borrow stock from counterparties; therefore, no collateral has been granted.
State Street AUT Europe ex-UK 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. Securities Financing Transactions (SFT) (continued)
1) Global Data
Proportion of securities and commodities on loan as at 31st December 2024 £'000 %
Total lendable assets excluding cash and cash equivalents: 5,702,405
Securities and commodities on loan 126,294 2.21%
Assets engaged in SFTs and total return swaps as at 31st December 2024 £'000 %
Fund assets under management (AUM) 6,036,971
Absolute value of assets engaged in:
Securities lending 126,294 2.09%
2) Concentration Data
Top 10 Collateral Issuers Name and value of collateral and commodities received as at 31st December 2024 £'000
Kingdom of Belgium 5,935
Meta Platforms 4,895
Kingdom of Netherlands 4,371
Sumitomo 3,567
United Kingdom Inflation-Linked Gilt 3,106
United Kingdom Gilt 2,560
Enel 1,914
Teijin 1,707
Finland Government Bond 1,544
NVIDIA 1,297
State Street AUT Europe ex-UK 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
Page 44
18. Securities Financing Transactions (SFT) (continued)
Top 10 Counterparties Name and value of outstanding transactions as at 31st December 2024 £'000
Barclays Capital Securities 50,782
UBS 26,256
Merrill Lynch 14,578
Goldman Sachs 10,205
Citigroup Global Markets (UK) 6,364
HSBC Bank 6,231
Societe Generale 4,914
JP Morgan Securities 2,971
Morgan Stanley International 2,081
BNP Paribas Financial Markets 1,779
State Street AUT Europe ex-UK Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
42
Page 45
18. Securities Financing Transactions (SFT) (continued)
3) Aggregate Transaction Data
Type, Quality and Currency of Collateral as at 31st December 2024
Type Quality Currency £'000
Securities lending
Equity Traded on recognised exchange Sterling 2,388
Equity Traded on recognised exchange Australian dollar 2,856
Equity Traded on recognised exchange Canadian dollar 1,281
Equity Traded on recognised exchange Euro 13,657
Equity Traded on recognised exchange Hong Kong dollar 570
Equity Traded on recognised exchange Japanese yen 44,592
Equity Traded on recognised exchange Norwegian krone 252
Equity Traded on recognised exchange Singapore dollar 711
Equity Traded on recognised exchange Swedish krona 1,687
Equity Traded on recognised exchange Swiss franc 3
Equity Traded on recognised exchange US dollar 33,931
Fixed Income Investment Grade Sterling 5,667
Fixed Income Investment Grade Australian dollar 169
Fixed Income Investment Grade Canadian dollar 120
Fixed Income Investment Grade Danish krone 1,156
Fixed Income Investment Grade Euro 25,762
Fixed Income Investment Grade New Zealand dollar 40
Fixed Income Investment Grade Swedish krona 2
Fixed Income Investment Grade US dollar 1,832
Total Collateral held 136,676
Maturity Tenor of Collateral (remaining period to maturity) as at 31st December 2024
Less than one day
One day to one week
One week to one month
One to three months
Three months to one year
Above one year
Open maturity Total
Type £'000 £'000 £'000 £'000 £'000 £'000 £'000 £'000
Securities lending - - - - - 34,748 101,928 136,676
State Street AUT Europe ex-UK Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
43
Page 46
18. Securities Financing Transactions (SFT) (continued)
Counterparty details as at 31st December 2024
Type
Country of counterparty establishment Settlement and clearing £'000
Securities lending France Tri-party 7,293
Securities lending Netherlands Tri-party 143
Securities lending Switzerland Tri-party 28,358
Securities lending United Kingdom Tri-party 100,882
Total collateral held 136,676
Maturity Tenor of SFTs and Total Return Swaps (remaining period to maturity) as at 31st December 2024
Less than one day
One day to one week
One week to one month
One to three months
Three months to one year
Above one year
Open maturity Total
Type £'000 £'000 £'000 £'000 £'000 £'000 £'000 £'000
Securities lending - - - - -- 126,294 126,294
4) Re-use of Collateral
The Fund does not engage in re-use of collateral.
5) Safekeeping of Collateral Received
Names and value of custodians safekeeping collateral as at 31st December 2024 £'000
Bank of New York 117,850
JP Morgan 18,826
6) Safekeeping of Collateral Granted
The Fund does not borrow stock from counterparties; therefore, no collateral has been granted.
19. Unitholders’ funds 31.12.25 31.12.24 Opening units in issue 2,073,591,413 1,885,256,027 Issues 48,041,444 195,107,866 Cancellations (2,073,469,867) (6,772,480)
Closing units in issue 48,162,990 2,073,591,413
State Street AUT Europe ex-UK Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
44
Page 47
20. 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 177,125 5,989,517 Level 2 – Inputs other than quoted prices included within Level 1 that are observable, either directly or indirectly - Level 3 – Price inputs are unobservable - -
177,125 5,989,517
Liabilities Level 1 - Unadjusted quoted prices in an active market for identical assets accessible at the measurement date - 806 Level 2 – Inputs other than quoted prices included within Level 1 that are observable, either directly or indirectly - Level 3 – Price inputs are unobservable - -
- 806
177,125 5,988,711 There is no material difference between the value of the financial assets and liabilities, as shown in the balance sheet, and their fair value.
21. 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.
22. 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 Europe ex-UK Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
45
Page 48
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 7.3503 - 7.3503 6.7724 Group 2 3.6241 3.7262 7.3503 6.7724
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 2.8700 - 2.8700 1.3568 Group 2 1.3647 1.5053 2.8700 1.3568
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 Europe ex-UK Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Distribution Tables
For the year ended 31st December 2025
46
Page 49
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 Europe ex-UK 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 Europe ex-UK Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Directory
47
Page 50
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 Europe ex-UK Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Directory (continued)
48
Page 51
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 Europe ex-UK Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Appendix I – Remuneration Policy (Unaudited)
49
Page 52
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 Europe ex-UK Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Appendix I – Remuneration Policy (Unaudited) (continued)
50
Truncated: This annotation is too large to fit.
View the raw JSON.
{
"annotation_id": "184f41f2-5fbd-48e6-ad01-05bc0c9f371e",
"date_created": "2026-10-05T20:50:42.980000Z",
"date_modified": "2026-10-05T20:50:42.980000Z",
"file_hash": "a1beac571ea095fb1e91e33f3f50f8f980d3e19110013840c5e28e0b8bd0f291",
"private": false,
"record": {
"attributes": {
"chunk_type": "page_range",
"end_page": 52,
"start_page": 1
},
"blocks": [
{
"block_type": "box",
"box": {
"height": 33,
"width": 739,
"x": 67,
"y": 177
},
"id": "d4f2053b-1ecf-4ac5-b18e-b025d28b1705",
"page_number": 1,
"text": "State Street AUT Europe ex-UK"
},
{
"block_type": "box",
"box": {
"height": 34,
"width": 671,
"x": 67,
"y": 215
},
"id": "d60b6d9e-fff8-4c47-b83c-f21946073e24",
"page_number": 1,
"text": "Screened Index Equity Fund"
},
{
"block_type": "box",
"box": {
"height": 22,
"width": 775,
"x": 65,
"y": 44
},
"id": "3eaebaa1-b94d-4229-947b-e6bae955917f",
"page_number": 1,
"text": "Annual Report and Audited Financial Statements"
},
{
"block_type": "box",
"box": {
"height": 13,
"width": 359,
"x": 67,
"y": 69
},
"id": "3c3dc64f-ab3c-415d-9576-f56d8fc59870",
"page_number": 1,
"text": "For the year ended 31st December 2025"
},
{
"block_type": "box",
"box": {
"height": 10,
"width": 86,
"x": 52,
"y": 102
},
"id": "2f0cdafa-3391-4b8b-bd44-502a799e61f9",
"page_number": 2,
"text": "Contents"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 36,
"x": 910,
"y": 117
},
"id": "5f6e6414-39e3-4bb4-b4ef-50170791da4f",
"page_number": 2,
"text": "Page"
},
{
"block_type": "box",
"box": {
"height": 10,
"width": 130,
"x": 53,
"y": 141
},
"id": "41c45c70-4c7a-4df0-b429-fb1f6aa07a1c",
"page_number": 2,
"text": "Manager\u0027s Report*"
},
{
"block_type": "box",
"box": {
"height": 8,
"width": 4,
"x": 939,
"y": 141
},
"id": "b9128e22-fa40-48f1-89db-bec95453f26f",
"page_number": 2,
"text": "1"
},
{
"block_type": "box",
"box": {
"height": 9,
"width": 139,
"x": 53,
"y": 164
},
"id": "c702818b-b1ba-4a9d-ad44-985e20a41673",
"page_number": 2,
"text": "Portfolio Statement*"
},
{
"block_type": "box",
"box": {
"height": 8,
"width": 8,
"x": 938,
"y": 165
},
"id": "fb877f7c-8391-4c1a-81c4-e806ee7f67b6",
"page_number": 2,
"text": "4"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 226,
"x": 53,
"y": 188
},
"id": "79406718-8ae6-40cb-8794-1bfee5e69ec8",
"page_number": 2,
"text": "Directors\u0027 Report to Unitholders*"
},
{
"block_type": "box",
"box": {
"height": 8,
"width": 16,
"x": 930,
"y": 188
},
"id": "ac65c8ff-a56a-4f7a-a9ed-fee430f84359",
"page_number": 2,
"text": "18"
},
{
"block_type": "box",
"box": {
"height": 10,
"width": 281,
"x": 53,
"y": 212
},
"id": "3f280e34-c2fb-4b2f-87db-681d40342fcb",
"page_number": 2,
"text": "Manager\u0027s Statement of Responsibilities"
},
{
"block_type": "box",
"box": {
"height": 8,
"width": 16,
"x": 930,
"y": 212
},
"id": "3babddeb-267f-40e5-92a0-efb4cbd9943f",
"page_number": 2,
"text": "19"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 322,
"x": 52,
"y": 235
},
"id": "2bf1868b-87a4-4485-b4c1-3a28b6fa5131",
"page_number": 2,
"text": "Statement of the Depositary\u2019s Responsibilities"
},
{
"block_type": "box",
"box": {
"height": 8,
"width": 17,
"x": 929,
"y": 236
},
"id": "7d4d1cfe-938b-4554-8887-e1887d655a9a",
"page_number": 2,
"text": "20"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 204,
"x": 53,
"y": 259
},
"id": "58b33204-7f53-4669-8476-18eacb2f5620",
"page_number": 2,
"text": "Independent Auditors\u2019 Report"
},
{
"block_type": "box",
"box": {
"height": 8,
"width": 14,
"x": 929,
"y": 259
},
"id": "f05342f1-1236-4863-bf13-a9e5a86e0f62",
"page_number": 2,
"text": "21"
},
{
"block_type": "box",
"box": {
"height": 10,
"width": 138,
"x": 52,
"y": 283
},
"id": "9b340e0c-9c49-460f-98cc-a64198c3b782",
"page_number": 2,
"text": "Comparative Table*"
},
{
"block_type": "box",
"box": {
"height": 8,
"width": 17,
"x": 929,
"y": 283
},
"id": "93d2084f-2037-4ce9-9151-e07619bcd339",
"page_number": 2,
"text": "24"
},
{
"block_type": "box",
"box": {
"height": 8,
"width": 147,
"x": 53,
"y": 307
},
"id": "57aaa830-8513-41a5-a9ab-585eb093ae90",
"page_number": 2,
"text": "Financial statements:"
},
{
"block_type": "box",
"box": {
"height": 8,
"width": 17,
"x": 929,
"y": 307
},
"id": "990170a5-d3ba-4ea2-b366-d5e9391a83ee",
"page_number": 2,
"text": "25"
},
{
"block_type": "box",
"box": {
"height": 9,
"width": 179,
"x": 92,
"y": 330
},
"id": "7cef20f6-004e-4f11-a75b-4865324dfea4",
"page_number": 2,
"text": "Statement of Total Return"
},
{
"block_type": "box",
"box": {
"height": 9,
"width": 17,
"x": 929,
"y": 330
},
"id": "5b43d541-5cd4-436b-81fb-e70bac32b19f",
"page_number": 2,
"text": "25"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 854,
"x": 92,
"y": 354
},
"id": "50cc2f6c-cb23-4bb0-b3c8-2c2261ccc087",
"page_number": 2,
"text": "Statement of Change in Net Assets Attributable to Unitholders 25"
},
{
"block_type": "box",
"box": {
"height": 8,
"width": 102,
"x": 93,
"y": 378
},
"id": "7212c406-3047-483e-883d-675ad9567065",
"page_number": 2,
"text": "Balance Sheet"
},
{
"block_type": "box",
"box": {
"height": 8,
"width": 17,
"x": 929,
"y": 378
},
"id": "4aa19d1d-4247-4dd8-8a3f-6c0a57752f27",
"page_number": 2,
"text": "26"
},
{
"block_type": "box",
"box": {
"height": 9,
"width": 237,
"x": 93,
"y": 401
},
"id": "bb3fd7fe-414f-45a1-b9a6-c16cde577fe4",
"page_number": 2,
"text": "Notes to the Financial Statements"
},
{
"block_type": "box",
"box": {
"height": 8,
"width": 17,
"x": 929,
"y": 402
},
"id": "6cd05a52-beca-472b-b47b-7b331566ce7c",
"page_number": 2,
"text": "27"
},
{
"block_type": "box",
"box": {
"height": 9,
"width": 128,
"x": 53,
"y": 425
},
"id": "a403e8b2-5891-42f0-bc3a-3830bbe7204b",
"page_number": 2,
"text": "Distribution Tables"
},
{
"block_type": "box",
"box": {
"height": 9,
"width": 17,
"x": 929,
"y": 425
},
"id": "743ede8c-ee5b-4e16-8d4d-477dc8890dd1",
"page_number": 2,
"text": "46"
},
{
"block_type": "box",
"box": {
"height": 10,
"width": 68,
"x": 53,
"y": 449
},
"id": "8be5bbca-4aa0-4ef8-ab76-ae1bab85cc4f",
"page_number": 2,
"text": "Directory*"
},
{
"block_type": "box",
"box": {
"height": 8,
"width": 17,
"x": 929,
"y": 449
},
"id": "8ec460cb-1e84-4175-b951-90ca244b7534",
"page_number": 2,
"text": "47"
},
{
"block_type": "box",
"box": {
"height": 10,
"width": 327,
"x": 51,
"y": 473
},
"id": "1e633685-1d0f-44b1-ae10-90a4048b56f5",
"page_number": 2,
"text": "Appendix I \u2013 Remuneration Policy (Unaudited)"
},
{
"block_type": "box",
"box": {
"height": 8,
"width": 17,
"x": 929,
"y": 473
},
"id": "5e61b2ac-75de-459f-8663-d1c72be6ed99",
"page_number": 2,
"text": "49"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 365,
"x": 47,
"y": 500
},
"id": "47fbd99d-1683-4c8d-aacc-82ba2ce914e3",
"page_number": 2,
"text": "* These collectively comprise the Manager\u2019s Report."
},
{
"block_type": "box",
"box": {
"height": 13,
"width": 571,
"x": 47,
"y": 44
},
"id": "7cc933ae-86a0-4c7f-8be6-9c3b53bd7761",
"page_number": 2,
"text": "State Street AUT Europe ex-UK Screened Index Equity Fund"
},
{
"block_type": "box",
"box": {
"height": 13,
"width": 484,
"x": 46,
"y": 65
},
"id": "acff2939-1c19-4112-a85e-df1191f953c6",
"page_number": 2,
"text": "Annual Report and Audited Financial Statements 2025"
},
{
"block_type": "box",
"box": {
"height": 8,
"width": 144,
"x": 46,
"y": 175
},
"id": "58e50ca8-9f0f-495a-ae46-8fcbd54f8a09",
"page_number": 3,
"text": "Authorised Status"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 903,
"x": 47,
"y": 194
},
"id": "503bc72e-361f-45f7-8b17-3ab1033e9da5",
"page_number": 3,
"text": "The State Street AUT Europe ex-UK Screened Index Equity Fund (the \u201cFund\u201d) is an Authorised Unit Trust Scheme as defined"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 904,
"x": 48,
"y": 208
},
"id": "186bc21e-5fdc-4d98-878f-f2ca789b001a",
"page_number": 3,
"text": "in section 243 of the Financial Services and Markets Act 2000 and it is a UCITS Retail Scheme within the meaning of the FCA"
},
{
"block_type": "box",
"box": {
"height": 9,
"width": 740,
"x": 47,
"y": 222
},
"id": "60e53ce9-efeb-47c1-a0b0-44a83729d255",
"page_number": 3,
"text": "Collective Investment Schemes sourcebook. The unitholders are not liable for the debts of the Fund."
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 255,
"x": 48,
"y": 258
},
"id": "46808b5d-0096-4187-8c2d-df976759d81f",
"page_number": 3,
"text": "Investment Objective and Policy"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 904,
"x": 47,
"y": 277
},
"id": "4141c457-f093-47ed-bcc2-b849fc5f2daa",
"page_number": 3,
"text": "The objective of the Fund is to replicate, as closely as possible and on a \u201cgross of fees\u201d basis, the return of the Europe \u0027ex UK\u0027"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 903,
"x": 47,
"y": 291
},
"id": "36823301-9251-49a5-b83e-0fddf0a5c621",
"page_number": 3,
"text": "equity market as represented by the FTSE Developed Europe \u0027ex UK\u0027 ex Controversies ex CW ex Tobacco ex Thermal Coal"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 614,
"x": 47,
"y": 305
},
"id": "f6469df3-010c-40e5-8eb8-a5ec1985f265",
"page_number": 3,
"text": "(10%) Index, net of withholding taxes (or its recognised replacement or equivalent)."
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 904,
"x": 47,
"y": 326
},
"id": "8a485b12-138a-4985-86cf-088d1d3e042e",
"page_number": 3,
"text": "The Fund is passively managed, meaning that the objective of the Scheme is to achieve an investment return that is as close"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 904,
"x": 47,
"y": 341
},
"id": "000c0218-5ff9-421f-b12d-4a4e02fbce2b",
"page_number": 3,
"text": "as possible, and on a \u201cgross of fees\u201d basis, to the return of the Index applicable to the Fund. The Investment Adviser seeks"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 903,
"x": 47,
"y": 355
},
"id": "1947a9ae-6433-43c4-b2e5-6d90f355f663",
"page_number": 3,
"text": "to achieve the objective by using a replication strategy. This strategy seeks to hold all of the securities of the particular Index,"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 905,
"x": 46,
"y": 369
},
"id": "140e308d-0478-4463-b072-a2eb2a4c03c3",
"page_number": 3,
"text": "with the approximate weightings as in that Index. The Fund may also invest in transferable securities, money market"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 644,
"x": 48,
"y": 383
},
"id": "29d7b62a-2189-49d5-acf7-a01669fd003b",
"page_number": 3,
"text": "instruments, warrants, units in collective investment schemes, deposits and derivatives."
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 904,
"x": 47,
"y": 405
},
"id": "53f28094-62bb-47ac-bb57-6fa12d37b20c",
"page_number": 3,
"text": "The Fund may invest in collective investment schemes managed or operated by companies in the same group as the"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 903,
"x": 48,
"y": 419
},
"id": "4cb0fc9e-cd2e-49ff-90d7-aeaceba691c9",
"page_number": 3,
"text": "Manager or the Investment Adviser. The Fund will seek to track the performance of the Index whilst seeking to minimise as"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 649,
"x": 47,
"y": 433
},
"id": "747cf536-3304-4e6f-b06f-0ca6da1d605c",
"page_number": 3,
"text": "far as possible the tracking error between the Fund\u2019s performance and that of the Index."
},
{
"block_type": "box",
"box": {
"height": 12,
"width": 735,
"x": 47,
"y": 454
},
"id": "5ea1f842-c5a7-4122-b0a6-89c580043358",
"page_number": 3,
"text": "The Indices include negative screens that exclude securities from the Indices based on four criteria:"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 837,
"x": 48,
"y": 476
},
"id": "6f46b6ba-7d77-4dd8-912e-250e646e89f9",
"page_number": 3,
"text": "1. Controversial weapons (including chemical \u0026 biological weapons, cluster munitions, anti-personnel landmines),"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 560,
"x": 47,
"y": 497
},
"id": "ea01dd8d-3eba-4462-a34d-cd3f9fe469e4",
"page_number": 3,
"text": "2. Controversies as defined by the ten principles of the UN Global Compact:"
},
{
"block_type": "box",
"box": {
"height": 10,
"width": 106,
"x": 47,
"y": 519
},
"id": "3f1bf13f-fe9d-41b9-a16c-27fc4b3f0cf5",
"page_number": 3,
"text": "Human Rights"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 905,
"x": 47,
"y": 540
},
"id": "dca962b8-dba7-494c-baa2-a60e29c3f95c",
"page_number": 3,
"text": "a) Principle 1: Businesses should support and respect the protection of internationally proclaimed human rights; and"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 612,
"x": 47,
"y": 561
},
"id": "79b91a92-154c-4921-854b-60dd71b68b8b",
"page_number": 3,
"text": "b) Principle 2: make sure that they are not complicit in human rights abuses."
},
{
"block_type": "box",
"box": {
"height": 8,
"width": 53,
"x": 47,
"y": 583
},
"id": "8ca0b1c4-ec1f-4b9b-b1fd-93409c7d58f1",
"page_number": 3,
"text": "Labour"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 904,
"x": 47,
"y": 604
},
"id": "73577002-76f1-4897-9692-4468b1972bdb",
"page_number": 3,
"text": "c) Principle 3: Businesses should uphold the freedom of association and the effective recognition of the right to collective"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 82,
"x": 47,
"y": 618
},
"id": "d771284d-ad6d-4247-a568-9cde109cf834",
"page_number": 3,
"text": "bargaining;"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 601,
"x": 47,
"y": 639
},
"id": "97ec5d66-3a9d-4626-8a74-91667f3a4058",
"page_number": 3,
"text": "d) Principle 4: the elimination of all forms of forced and compulsory labour;"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 467,
"x": 47,
"y": 661
},
"id": "e57f790d-9e9b-4d51-a0d0-8402c0464de4",
"page_number": 3,
"text": "e) Principle 5: the effective abolition of child labour; and"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 705,
"x": 47,
"y": 682
},
"id": "0844c48b-c130-4f31-b6c4-72eb74c25674",
"page_number": 3,
"text": "f) Principle 6: the elimination of discrimination in respect of employment and occupation."
},
{
"block_type": "box",
"box": {
"height": 9,
"width": 94,
"x": 47,
"y": 703
},
"id": "29d309e5-4155-44ec-91a2-f51daefb6649",
"page_number": 3,
"text": "Environment"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 770,
"x": 47,
"y": 725
},
"id": "009f2f75-d7c6-4ea5-9b7c-8b6056937656",
"page_number": 3,
"text": "g) Principle 7: Businesses should support a precautionary approach to environmental challenges;"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 698,
"x": 47,
"y": 746
},
"id": "7e6e7662-e7d4-4388-baab-cb11ae602f6e",
"page_number": 3,
"text": "h) Principle 8: undertake initiatives to promote greater environmental responsibility; and"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 770,
"x": 47,
"y": 767
},
"id": "4eb2dc6a-62c1-4c35-b1d2-f53536e40f37",
"page_number": 3,
"text": "i) Principle 9: encourage the development and diffusion of environmentally friendly technologies."
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 113,
"x": 46,
"y": 789
},
"id": "2e2fa387-3713-4254-a661-751ee0228d5c",
"page_number": 3,
"text": "Anti-Corruption"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 833,
"x": 44,
"y": 810
},
"id": "7e8a6260-a7f0-42f9-8bf1-341821ad8c1c",
"page_number": 3,
"text": "j) Principle 10: Businesses should work against corruption in all its forms, including extortion and bribery."
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 903,
"x": 47,
"y": 831
},
"id": "15789820-08e7-4f72-8f86-961e432dc5c4",
"page_number": 3,
"text": "The negative screens will therefore apply when the Fund invest in shares of companies included in the Index (but not in"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 477,
"x": 48,
"y": 846
},
"id": "d16fee71-d839-473f-ae28-90edd8e7b60e",
"page_number": 3,
"text": "respect of other investments held by the Fund from time to time)."
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 645,
"x": 47,
"y": 867
},
"id": "876f67d7-852b-4ca3-870b-e916e7db55e8",
"page_number": 3,
"text": "3. Tobacco (companies engaged in the production of tobacco and/or tobacco products),"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 903,
"x": 47,
"y": 888
},
"id": "45972983-68df-40d4-ae7d-8fd3b462d962",
"page_number": 3,
"text": "4. Thermal Coal (companies with revenues greater than or equal to 10% from extraction or power generation of thermal coal)."
},
{
"block_type": "box",
"box": {
"height": 13,
"width": 571,
"x": 47,
"y": 44
},
"id": "f732df09-4d60-4497-b9e3-37d8f90e21cd",
"page_number": 3,
"text": "State Street AUT Europe ex-UK Screened Index Equity Fund"
},
{
"block_type": "box",
"box": {
"height": 13,
"width": 484,
"x": 46,
"y": 65
},
"id": "8886cc31-c135-47cf-bc48-9111f9b2055d",
"page_number": 3,
"text": "Annual Report and Audited Financial Statements 2025"
},
{
"block_type": "box",
"box": {
"height": 13,
"width": 168,
"x": 48,
"y": 123
},
"id": "64aaa4fc-b028-4867-bb70-f313799111de",
"page_number": 3,
"text": "Manager\u2019s Report"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 300,
"x": 48,
"y": 147
},
"id": "1b5f11a1-a91b-4055-9d6d-33a3ae83bde6",
"page_number": 3,
"text": "For the year ended 31st December 2025"
},
{
"block_type": "box",
"box": {
"height": 7,
"width": 3,
"x": 497,
"y": 956
},
"id": "05fc6109-2344-4382-a1d7-a6fb247fc215",
"page_number": 3,
"text": "1"
},
{
"block_type": "box",
"box": {
"height": 8,
"width": 100,
"x": 48,
"y": 175
},
"id": "4ddeb62b-ad3f-4dad-86c0-eadba02c65a4",
"page_number": 4,
"text": "Performance"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 903,
"x": 47,
"y": 194
},
"id": "4c46a14b-3f65-486a-a1ce-b89f7826aadc",
"page_number": 4,
"text": "The Fund returned 27.46% on a net basis for the 1 year period ended 31 December 2025 (the \u201cReporting Period\u201d), compared"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 903,
"x": 47,
"y": 208
},
"id": "8fed58cd-a433-4208-87b7-6cd1ba056308",
"page_number": 4,
"text": "to the Index return of 26.80%. The size of the Fund\u2019s tracking difference for the Reporting Period was 0.66% which was within"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 903,
"x": 47,
"y": 222
},
"id": "ec32c7f7-84a6-4395-b8b7-bc69ab86d1a2",
"page_number": 4,
"text": "the targeted tolerance; the outperformance versus the Index was largely attributable to withholding tax. The Fund had an"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 502,
"x": 47,
"y": 236
},
"id": "179688ee-5d19-4a6e-8dba-de3b9d674e1f",
"page_number": 4,
"text": "ex-post 1 year tracking error of 0.23% against the benchmark index."
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 414,
"x": 47,
"y": 258
},
"id": "355a3359-441d-4c3e-b0b4-67181f410328",
"page_number": 4,
"text": "Note: Performance returns presented above are in GBP."
},
{
"block_type": "box",
"box": {
"height": 9,
"width": 190,
"x": 48,
"y": 293
},
"id": "e2881f01-b4fa-41f4-98b2-466e270f2519",
"page_number": 4,
"text": "Risk and Reward Profile"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 543,
"x": 48,
"y": 431
},
"id": "aa73e526-846d-4bf7-8f23-56a859999af5",
"page_number": 4,
"text": "During the year, the Fund has changed the risk level category from 6 to 5."
},
{
"block_type": "box",
"box": {
"height": 9,
"width": 123,
"x": 48,
"y": 459
},
"id": "573a794e-ef51-44f0-9057-90d62c875d4c",
"page_number": 4,
"text": "Risk Disclaimer"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 903,
"x": 47,
"y": 477
},
"id": "658f7afe-8b02-4b1f-8f58-1558a370c6f5",
"page_number": 4,
"text": "The risk category above is not a measure of capital loss or gains but of how significant the rises and falls in the Fund\u2019s return"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 161,
"x": 48,
"y": 491
},
"id": "fb3831e8-be06-4420-844e-ca344b8c9c8e",
"page_number": 4,
"text": "have been historically."
},
{
"block_type": "box",
"box": {
"height": 12,
"width": 902,
"x": 48,
"y": 512
},
"id": "1db4cdfa-1382-4159-b0a6-cc177ce0526f",
"page_number": 4,
"text": "For example a fund whose return has experienced significant rises and falls will be in a higher risk category, whereas a fund"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 675,
"x": 46,
"y": 527
},
"id": "07dedc9c-5ee5-4999-826e-14110b522129",
"page_number": 4,
"text": "whose return has experienced less significant rises and falls will be in a lower risk category."
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 654,
"x": 47,
"y": 548
},
"id": "46a812da-7b4d-4021-9c91-ce454316c47f",
"page_number": 4,
"text": "The lowest category (i.e. category 1) does not mean that a fund is a risk free investment."
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 905,
"x": 46,
"y": 569
},
"id": "8b96b877-28cf-4b27-af78-0a7b8583382d",
"page_number": 4,
"text": "As the Fund\u2019s risk category has been calculated using historical data, it may not be a reliable indication of the Fund\u2019s future"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 78,
"x": 48,
"y": 584
},
"id": "71333b39-4fc6-4c8f-8d26-5050d93809f3",
"page_number": 4,
"text": "risk profile."
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 595,
"x": 47,
"y": 605
},
"id": "f98c54d1-5875-4c18-9a05-b7a4e960b788",
"page_number": 4,
"text": "The Fund\u2019s risk category shown is not guaranteed and may change in the future."
},
{
"block_type": "box",
"box": {
"height": 12,
"width": 272,
"x": 46,
"y": 633
},
"id": "156a33f5-ccb0-4303-b575-8ef09ad1ba3d",
"page_number": 4,
"text": "Why is this Fund in this category?"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 695,
"x": 47,
"y": 651
},
"id": "e823a6dd-87ad-484d-9995-a22aee558c8c",
"page_number": 4,
"text": "The Fund is in risk category 5 as its return has experienced medium rises and falls historically."
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 797,
"x": 47,
"y": 673
},
"id": "6d2738ba-feb6-495e-9078-2862f5e9e9ce",
"page_number": 4,
"text": "The following are material risks relevant to the Fund which are not adequately captured by the risk category."
},
{
"block_type": "box",
"box": {
"height": 9,
"width": 157,
"x": 47,
"y": 694
},
"id": "960bab77-ccb9-4394-9a6e-c35ee7c56726",
"page_number": 4,
"text": "Concentration Risk:"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 739,
"x": 211,
"y": 694
},
"id": "78a5dbca-8d3c-4a26-bc17-517b9e7bd51b",
"page_number": 4,
"text": "When the Fund focuses its investments in a particular way, the issues affecting the investments will"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 827,
"x": 48,
"y": 708
},
"id": "453678e2-9cca-4343-ba6f-c556a419d694",
"page_number": 4,
"text": "have a greater effect than if the Fund was more diversified. This concentration may also limit the Fund\u0027s liquidity."
},
{
"block_type": "box",
"box": {
"height": 12,
"width": 151,
"x": 47,
"y": 729
},
"id": "7b0fba2a-87ac-4aec-9f07-601fdc4df496",
"page_number": 4,
"text": "Counterparty Risk:"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 744,
"x": 207,
"y": 730
},
"id": "9f862d07-6eef-490a-9851-c8f1916be181",
"page_number": 4,
"text": "The Fund will be subject to credit risk with respect to the counterparties with which it enters into"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 903,
"x": 47,
"y": 744
},
"id": "97d5b8f4-969b-48c9-b6f9-b01a5db8dc28",
"page_number": 4,
"text": "derivatives contracts and other transactions. There is a risk that these institutions may not be able to perform their obligations."
},
{
"block_type": "box",
"box": {
"height": 9,
"width": 403,
"x": 47,
"y": 758
},
"id": "f38f3203-bf5c-4e4d-b5cf-418b0b4e67c6",
"page_number": 4,
"text": "This could reduce the value of the Fund\u0027s investments."
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 161,
"x": 48,
"y": 779
},
"id": "9195225d-205c-4af3-bd91-a5fa8b6b69ee",
"page_number": 4,
"text": "Index Tracking Risk:"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 733,
"x": 217,
"y": 779
},
"id": "5fff85ed-0041-4da3-a50b-862628043608",
"page_number": 4,
"text": "The Fund\u0027s performance may not exactly track the Index. This can result from market fluctuations,"
},
{
"block_type": "box",
"box": {
"height": 12,
"width": 903,
"x": 47,
"y": 793
},
"id": "afaea77c-288d-497c-ace9-6ec7aaa8b332",
"page_number": 4,
"text": "changes in the composition of the Index, transaction costs, the costs of making changes to the Fund\u0027s portfolio and other Fund"
},
{
"block_type": "box",
"box": {
"height": 9,
"width": 74,
"x": 47,
"y": 810
},
"id": "4ef2c11f-6a51-4bcb-9b44-4beb738c324a",
"page_number": 4,
"text": "expenses."
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 112,
"x": 48,
"y": 829
},
"id": "7d7db563-32e4-4862-a07f-20c97547bcd0",
"page_number": 4,
"text": "Liquidity Risk:"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 784,
"x": 167,
"y": 829
},
"id": "33a22630-3957-4193-b1d1-24af1ef17b72",
"page_number": 4,
"text": "It may be difficult for the Fund to buy or sell certain investments in difficult market conditions. Consequently"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 689,
"x": 47,
"y": 843
},
"id": "b7eb4893-005f-4c2b-807e-3454494382dc",
"page_number": 4,
"text": "the price obtained when selling securities may be lower than under normal market conditions."
},
{
"block_type": "box",
"box": {
"height": 13,
"width": 571,
"x": 47,
"y": 44
},
"id": "a873bb40-769c-4b41-b22d-62a96bfaf7ea",
"page_number": 4,
"text": "State Street AUT Europe ex-UK Screened Index Equity Fund"
},
{
"block_type": "box",
"box": {
"height": 13,
"width": 484,
"x": 46,
"y": 65
},
"id": "f67c496d-3807-4f41-b8e1-c5c6e1e3eef9",
"page_number": 4,
"text": "Annual Report and Audited Financial Statements 2025"
},
{
"block_type": "box",
"box": {
"height": 13,
"width": 281,
"x": 48,
"y": 123
},
"id": "ca055b6a-2b8e-45f9-8056-50777a086488",
"page_number": 4,
"text": "Manager\u0027s Report (continued)"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 300,
"x": 48,
"y": 147
},
"id": "b3e21dc8-34ff-4ce1-8c84-bf03e17f2633",
"page_number": 4,
"text": "For the year ended 31st December 2025"
},
{
"block_type": "box",
"box": {
"height": 7,
"width": 6,
"x": 496,
"y": 956
},
"id": "215eeca5-7cf0-4398-84d3-38109e1de4c1",
"page_number": 4,
"text": "2"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 123,
"x": 47,
"y": 175
},
"id": "405027b9-a772-4520-8a95-49233a6efbb4",
"page_number": 5,
"text": "Screening Risk:"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 776,
"x": 175,
"y": 175
},
"id": "8f28e203-b96b-48a9-9ac4-18320903589e",
"page_number": 5,
"text": "The Scheme may track an index that uses a screen to identify securities based on criteria including, but, not"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 905,
"x": 47,
"y": 189
},
"id": "409071ac-2379-440a-8bd9-001834b371e1",
"page_number": 5,
"text": "limited to environmental, social and governance (ESG) criteria. The screen may be fully or partially designed by the Manager"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 904,
"x": 47,
"y": 203
},
"id": "cb18252c-7be0-45e8-8fbe-0dd8cfd048ee",
"page_number": 5,
"text": "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"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 903,
"x": 47,
"y": 217
},
"id": "22a84061-c88b-4f76-a4fb-bac79944013a",
"page_number": 5,
"text": "screen provider may amend or discontinue its screening services and/or that the Manager may change the screen or screen"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 902,
"x": 48,
"y": 232
},
"id": "7af7b339-6175-465c-97b1-b821ca1e299c",
"page_number": 5,
"text": "provider. In such circumstances, there is no guarantee that a replacement screen provided would result in a similar screening"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 222,
"x": 48,
"y": 246
},
"id": "567e975e-968c-4f7c-a8c4-acef9d163a3c",
"page_number": 5,
"text": "process or would be available."
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 142,
"x": 48,
"y": 281
},
"id": "599e118c-5108-4af5-8477-b2c3005bae5d",
"page_number": 5,
"text": "Derivatives Usage"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 903,
"x": 48,
"y": 300
},
"id": "e122e54a-76f3-4149-b00c-f4eaf2d39e38",
"page_number": 5,
"text": "Derivatives are used in the Fund for efficient portfolio management purposes. The Fund invests in index futures to manage"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 903,
"x": 47,
"y": 315
},
"id": "2514d5cf-ac0e-4826-9cdc-9b6b2c71567a",
"page_number": 5,
"text": "client inflows and outflows and to hedge accrued income. At all times the futures exposure is covered entirely by cash or cash"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 87,
"x": 47,
"y": 329
},
"id": "c557594d-a3aa-401d-9b99-dc9e971090e9",
"page_number": 5,
"text": "equivalents."
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 832,
"x": 46,
"y": 350
},
"id": "a4c36fb4-b48e-44af-9b21-b187fca8edc9",
"page_number": 5,
"text": "As at 31st December 2025, the Fund had a total notional exposure to futures of \u00a31,912,301 (1.07% of the Fund)."
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 114,
"x": 47,
"y": 379
},
"id": "fcda1c35-3964-4ea4-88d1-96f265ba6202",
"page_number": 5,
"text": "Tracking Error"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 904,
"x": 47,
"y": 396
},
"id": "0e731fd9-1cb2-4967-b40f-f9e1ff56b799",
"page_number": 5,
"text": "The Tracking Error measures the standard deviation of the relative returns. It is the annualised standard deviation of the"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 902,
"x": 48,
"y": 411
},
"id": "c66506af-7e77-4842-af60-69d20770b9ef",
"page_number": 5,
"text": "returns of a fund minus those of its benchmark (relative returns) and not the standard deviation of each fund\u2019s unique returns."
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 903,
"x": 47,
"y": 425
},
"id": "be07e74e-ae4e-4243-b78c-782884b7eaf8",
"page_number": 5,
"text": "The lower the tracking error of a fund, the more the fund resembles its benchmark or the market regarding risk and return"
},
{
"block_type": "box",
"box": {
"height": 9,
"width": 110,
"x": 47,
"y": 439
},
"id": "6f6a3c69-76ee-4bd9-9618-291f7b6f0f0f",
"page_number": 5,
"text": "characteristics."
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 904,
"x": 47,
"y": 460
},
"id": "d0a55c97-8d75-4df3-a5c1-23691a12a3bd",
"page_number": 5,
"text": "The size of the Fund\u2019s tracking error for the twelve months ended 31st December 2025 was 0.23% which was within the"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 138,
"x": 47,
"y": 475
},
"id": "b3a73da6-26f8-44a5-9982-1f9a2e68407b",
"page_number": 5,
"text": "targeted tolerance."
},
{
"block_type": "box",
"box": {
"height": 13,
"width": 571,
"x": 47,
"y": 44
},
"id": "c90b758a-0473-46b2-aa58-84d69c73eed6",
"page_number": 5,
"text": "State Street AUT Europe ex-UK Screened Index Equity Fund"
},
{
"block_type": "box",
"box": {
"height": 13,
"width": 484,
"x": 46,
"y": 65
},
"id": "a1e6cdb6-cb6b-4b9d-8c90-7cf03c6a26f9",
"page_number": 5,
"text": "Annual Report and Audited Financial Statements 2025"
},
{
"block_type": "box",
"box": {
"height": 13,
"width": 281,
"x": 48,
"y": 123
},
"id": "59b4a31a-ac99-4356-af94-fc64f24e3485",
"page_number": 5,
"text": "Manager\u0027s Report (continued)"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 300,
"x": 48,
"y": 147
},
"id": "e6ca3693-5961-4ad9-9cf0-0bb453075d73",
"page_number": 5,
"text": "For the year ended 31st December 2025"
},
{
"block_type": "box",
"box": {
"height": 7,
"width": 6,
"x": 496,
"y": 956
},
"id": "3c270de2-4c35-461b-aa57-23c3049d1ab9",
"page_number": 5,
"text": "3"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 69,
"x": 628,
"y": 174
},
"id": "910766b5-731f-4cfe-862d-adb3ee683dea",
"page_number": 6,
"text": "Holdings"
},
{
"block_type": "box",
"box": {
"height": 9,
"width": 101,
"x": 724,
"y": 159
},
"id": "b3c99c96-6721-4192-85a4-ceecc915e231",
"page_number": 6,
"text": "Market Value"
},
{
"block_type": "box",
"box": {
"height": 9,
"width": 40,
"x": 785,
"y": 173
},
"id": "e2b2fb5a-7316-44d7-86ea-a620d8bd86cf",
"page_number": 6,
"text": "\u00a3\u0027000"
},
{
"block_type": "box",
"box": {
"height": 9,
"width": 77,
"x": 873,
"y": 159
},
"id": "c11b1892-8008-4a86-8a64-7cd2f10817e4",
"page_number": 6,
"text": "% of Total"
},
{
"block_type": "box",
"box": {
"height": 8,
"width": 84,
"x": 867,
"y": 174
},
"id": "cce6e8f8-6aea-4f33-8e1d-0a33cfbe415a",
"page_number": 6,
"text": "Net Assets"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 304,
"x": 46,
"y": 222
},
"id": "d372513c-eecb-4774-be01-315a1d47cb4e",
"page_number": 6,
"text": "Austria \u2014 0.68% (31.12.2024 \u2014 0.47%)"
},
{
"block_type": "box",
"box": {
"height": 10,
"width": 905,
"x": 46,
"y": 242
},
"id": "7f3d4aad-4f32-4013-b957-c3a37f66e6bd",
"page_number": 6,
"text": "ANDRITZ AG 1,592 93 0.05"
},
{
"block_type": "box",
"box": {
"height": 10,
"width": 900,
"x": 48,
"y": 262
},
"id": "14a6a604-7d6e-4076-bab0-39c2a2746172",
"page_number": 6,
"text": "BAWAG Group AG 1,777 199 0.11"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 900,
"x": 48,
"y": 281
},
"id": "a895d1a2-1b0b-490a-8c7c-157b02d9b49b",
"page_number": 6,
"text": "Erste Group Bank AG 6,288 564 0.31"
},
{
"block_type": "box",
"box": {
"height": 9,
"width": 64,
"x": 47,
"y": 301
},
"id": "8794489e-38cc-4780-bb80-58d45d462c29",
"page_number": 6,
"text": "OMV AG"
},
{
"block_type": "box",
"box": {
"height": 10,
"width": 294,
"x": 657,
"y": 301
},
"id": "bddbcb16-59fe-46bc-a099-1309668ea75a",
"page_number": 6,
"text": "2,922 121 0.07"
},
{
"block_type": "box",
"box": {
"height": 10,
"width": 903,
"x": 48,
"y": 321
},
"id": "a0c5d316-d0d4-4c3c-b828-0211099283ac",
"page_number": 6,
"text": "Raiffeisen Bank International AG 3,077 102 0.06"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 84,
"x": 47,
"y": 340
},
...