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State Street AUT Global Treasury
5-15 Year Bond Index Fund
Interim Report and Unaudited Financial Statements
For the period ended 30th June 2026
Page 2
Contents Page
Manager's Report* 1
Portfolio Statement* 3
Directors' Report to Unitholders* 15
Comparative Table* 16
Financial statements: 17
Statement of Total Return 17
Statement of Change in Net Assets Attributable to Unitholders 17
Balance Sheet 18
Notes to the Financial Statements 19
Directory* 25
* These collectively comprise the Manager’s Report.
State Street AUT Global Treasury 5-15 Year Bond Index Fund
Interim Report and Unaudited Financial Statements 2026
Page 3
Authorised Status The State Street AUT Global Treasury 5-15 Year Bond Index 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 global government bond market with a maturity between 5 and 15 years hedged back to Pound Sterling as represented by the Bloomberg 5-15Y G7 Treasury GBP Hedged Index , net of withholding taxes (or its recognised replacement or equivalent). The Index measures the performance of the global government bond markets of the G7 countries, whose maturities range between 5-15 years with currency exchange rate exposures hedged to Pound Sterling and consists of G7 Treasury bonds with maturity between 5 to 15 years. Securities within the Index must be fixed rate and rated investment grade as defined by the Index methodology.
The Fund is passively managed, meaning that the objective of the Fund is to achieve an investment return that is as close as possible, and on a “gross of fees” basis, to the return of the Index. The Investment Adviser seeks to achieve the objective by applying a stratified sampling strategy. This strategy seeks to build a representative portfolio that matches the risk and return characteristics of the Index in the most efficient way, including, but not limited to, risks related to currencies, countries, sectors, quality, maturity duration and issuers. Stratified sampling is used because the Index contains too many securities to efficiently purchase and, at times, certain securities included in the Index may be difficult, or too costly, to purchase in the open markets. Consequently, the Fund will typically hold only a subset of the securities included in the Index.
The Investment Adviser also may, in exceptional circumstances, invest in securities not included in the Index but that it believes closely reflect the risk and distribution characteristics of securities of the Index. From time to time securities are added to or removed from the Index. The InvestmentAdviser may sell securities that are represented in the Index, or purchase securities that are not yet represented in the Index, in anticipation of their removal from or addition to the Index. Where such securities remain non-Index constituents, they will be sold or transferred as soon as reasonably practicable.
The Fund may 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.
Performance The Fund returned 1.24% (1.23% net of fees) for the Reporting Period ended 30 June 2026, compared to the Bloomberg G7 Treasury 5–15 Years Index return of 1.27%. The size of the Fund’s tracking difference for the Reporting Period was -0.04%. The tracking difference of the Fund primarily reflects timing and pricing methodology differences up until 31 May 2026. From 1 June 2026, the Index pricing moved to 12:00pm, bringing the benchmark valuations more closely in line.
Note: Performance returns presented above are in GBP.
Risk and Reward Profile Lower risk
Potentially lower reward
Higher risk
Potentially higher reward
123 67 4 5 4 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.
State Street AUT Global Treasury 5-15 Year Bond Index Fund
Interim Report and Unaudited Financial Statements 2026
Manager’s Report
For the first Reporting Period from 6th October 2025 (launch date) to 30th June 2026.
1
Page 4
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 4 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.
Screening Risk: The Fund 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.
Currency Hedging Risk: There can be no assurance that the Fund's hedging transactions will be effective. By seeking to reduce or eliminate losses caused by exchange rate fluctuations, hedging may also reduce or eliminate gains.
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. Please refer to the Prospectus for full details about the risks associated with this Fund.
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 30 June 2026, the Fund had no exposure to futures contracts.
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.
As the Fund has been in operation for less than one year as at 30 June 2026, a tracking error for the one-year period is not available.
State Street AUT Global Treasury 5-15 Year Bond Index Fund
Interim Report and Unaudited Financial Statements 2026
Manager's Report (continued)
For the first Reporting Period from 6th October 2025 (launch date) to 30th June 2026.
2
Page 5
Nominal
Market Value £'000
% of Total Net Assets
Government Bonds — 100.46%
Canada — 2.87% Canada Government Bonds 1.500% 01/06/2031 CAD 2,810,000 1,390 0.04 Canada Government Bonds 1.500% 01/12/2031 CAD 10,620,000 5,204 0.16 Canada Government Bonds 2.000% 01/06/2032 CAD 16,240,000 8,117 0.25 Canada Government Bonds 2.500% 01/12/2032 CAD 14,840,000 7,593 0.24 Canada Government Bonds 2.750% 01/06/2033 CAD 19,590,000 10,140 0.32 Canada Government Bonds 3.000% 01/09/2031 CAD 2,100,000 1,113 0.03 Canada Government Bonds 3.000% 01/03/2032 CAD 8,820,000 4,669 0.15 Canada Government Bonds 3.000% 01/06/2034 CAD 14,580,000 7,618 0.24 Canada Government Bonds 3.250% 01/12/2033 CAD 14,100,000 7,515 0.23 Canada Government Bonds 3.250% 01/12/2034 CAD 11,840,000 6,284 0.20 Canada Government Bonds 3.250% 01/06/2035 CAD 18,160,000 9,611 0.30 Canada Government Bonds 3.250% 01/12/2035 CAD 24,320,000 12,828 0.40 Canada Government Bonds 3.250% 01/03/2036 CAD 400,000 211 0.01 Canada Government Bonds 3.250% 01/06/2036 CAD 6,980,000 3,670 0.11 Canada Government Bonds 3.500% 01/03/2034 CAD 7,780,000 4,210 0.13 Canada Government Bonds 5.000% 01/06/2037 CAD 1,450,000 881 0.03 Canada Government Bonds 5.750% 01/06/2033 CAD 1,420,000 874 0.03
91,928 2.87
France — 9.53% French Republic Government Bonds OAT 0.010% 25/11/2031 EUR 19,440,000 14,270 0.45 French Republic Government Bonds OAT 0.010% 25/05/2032 EUR 22,380,000 16,119 0.50 French Republic Government Bonds OAT 0.500% 25/05/2040 EUR 9,780,000 5,366 0.17 French Republic Government Bonds OAT 1.250% 25/05/2034 EUR 37,420,000 27,605 0.86 French Republic Government Bonds OAT 1.250% 25/05/2036 EUR 23,340,000 16,257 0.51 French Republic Government Bonds OAT 1.250% 25/05/2038 EUR 11,030,000 7,226 0.23 French Republic Government Bonds OAT 1.750% 25/06/2039 EUR 19,820,000 13,486 0.42 French Republic Government Bonds OAT 2.000% 25/11/2032 EUR 34,170,000 27,503 0.86 French Republic Government Bonds OAT 3.000% 25/05/2033 EUR 29,870,000 25,389 0.79 French Republic Government Bonds OAT 3.000% 25/11/2034 EUR 24,320,000 20,347 0.63 French Republic Government Bonds OAT 3.200% 25/05/2035 EUR 30,780,000 26,002 0.81 French Republic Government Bonds OAT 3.250% 25/02/2032 EUR 2,600,000 2,262 0.07
State Street AUT Global Treasury 5-15 Year Bond Index Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement
As at 30th June 2026
3
Page 6
Nominal
Market Value £'000
% of Total Net Assets
Government Bonds — 100.46% (continued)
France — 9.53% (continued) French Republic Government Bonds OAT 3.500% 25/11/2033 EUR 34,490,000 30,133 0.94 French Republic Government Bonds OAT 3.500% 25/11/2035 EUR 23,470,000 20,191 0.63 French Republic Government Bonds OAT 3.800% 25/06/2037 EUR 10,600,000 9,240 0.29 French Republic Government Bonds OAT 4.000% 25/10/2038 EUR 16,890,000 14,868 0.46 French Republic Government Bonds OAT 4.500% 25/04/2041 EUR 23,350,000 21,388 0.67 French Republic Government Bonds OAT 4.750% 25/04/2035 EUR 3,000,000 2,840 0.09 French Republic Government Bonds OAT 5.750% 25/10/2032 EUR 4,980,000 4,929 0.15
305,421 9.53
Germany — 7.01% Bundesrepublik Deutschland Bundesanleihe 0.010% 15/08/2031 EUR 6,120,000 4,628 0.14 Bundesrepublik Deutschland Bundesanleihe 0.010% 15/02/2032 EUR 7,320,000 5,456 0.17 Bundesrepublik Deutschland Bundesanleihe 0.010% 15/05/2035 EUR 2,730,000 1,838 0.06 Bundesrepublik Deutschland Bundesanleihe 0.010% 15/05/2036 EUR 18,480,000 12,022 0.37 Bundesrepublik Deutschland Bundesanleihe 1.000% 15/05/2038 EUR 10,100,000 6,956 0.22 Bundesrepublik Deutschland Bundesanleihe 1.700% 15/08/2032 EUR 17,700,000 14,458 0.45 Bundesrepublik Deutschland Bundesanleihe 2.200% 15/02/2034 EUR 22,490,000 18,663 0.58 Bundesrepublik Deutschland Bundesanleihe 2.300% 15/02/2033 EUR 21,340,000 17,966 0.56 Bundesrepublik Deutschland Bundesanleihe 2.300% 15/02/2033 EUR 10,180,000 8,571 0.27 Bundesrepublik Deutschland Bundesanleihe 2.500% 15/11/2032 EUR 15,840,000 13,515 0.42 Bundesrepublik Deutschland Bundesanleihe 2.500% 15/02/2035 EUR 19,160,000 16,142 0.50 Bundesrepublik Deutschland Bundesanleihe 2.500% 15/02/2035 EUR 5,210,000 4,391 0.14 Bundesrepublik Deutschland Bundesanleihe 2.600% 15/08/2033 EUR 19,810,000 16,947 0.53 Bundesrepublik Deutschland Bundesanleihe 2.600% 15/08/2034 EUR 13,480,000 11,475 0.36 Bundesrepublik Deutschland Bundesanleihe 2.600% 15/08/2035 EUR 18,400,000 15,577 0.48 Bundesrepublik Deutschland Bundesanleihe 2.600% 15/05/2041 EUR 5,850,000 4,692 0.15 Bundesrepublik Deutschland Bundesanleihe 2.900% 15/02/2036 EUR 9,890,000 8,558 0.27 Bundesrepublik Deutschland Bundesanleihe 4.000% 04/01/2037 EUR 10,790,000 10,209 0.32 Bundesrepublik Deutschland Bundesanleihe 4.250% 04/07/2039 EUR 13,060,000 12,663 0.39 Bundesrepublik Deutschland Bundesanleihe 4.750% 04/07/2034 EUR 3,840,000 3,785 0.12 Bundesrepublik Deutschland Bundesanleihe 4.750% 04/07/2040 EUR 16,110,000 16,415 0.51
224,927 7.01
State Street AUT Global Treasury 5-15 Year Bond Index Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
4
Page 7
Nominal
Market Value £'000
% of Total Net Assets
Government Bonds — 100.46% (continued)
Italy — 9.64% Italy Buoni Poliennali Del Tesoro 0.600% 01/08/2031 EUR 8,910,000 6,821 0.21 Italy Buoni Poliennali Del Tesoro 0.950% 01/12/2031 EUR 4,370,000 3,378 0.10 Italy Buoni Poliennali Del Tesoro 0.950% 01/06/2032 EUR 4,980,000 3,801 0.12 Italy Buoni Poliennali Del Tesoro 0.950% 01/03/2037 EUR 4,500,000 2,966 0.09 Italy Buoni Poliennali Del Tesoro 1.450% 01/03/2036 EUR 370,000 265 0.01 Italy Buoni Poliennali Del Tesoro 1.650% 01/03/2032 EUR 9,810,000 7,841 0.24 Italy Buoni Poliennali Del Tesoro 1.800% 01/03/2041 EUR 700,000 461 0.01 Italy Buoni Poliennali Del Tesoro 2.250% 01/09/2036 EUR 1,540,000 1,179 0.04 Italy Buoni Poliennali Del Tesoro 2.450% 01/09/2033 EUR 4,930,000 4,039 0.13 Italy Buoni Poliennali Del Tesoro 2.500% 01/12/2032 EUR 12,220,000 10,138 0.32 Italy Buoni Poliennali Del Tesoro 2.950% 01/09/2038 EUR 3,650,000 2,904 0.09 Italy Buoni Poliennali Del Tesoro 3.100% 01/03/2040 EUR 10,040,000 7,962 0.25 Italy Buoni Poliennali Del Tesoro 3.150% 15/11/2031 EUR 14,830,000 12,846 0.40 Italy Buoni Poliennali Del Tesoro 3.150% 15/03/2033 EUR 5,200,000 4,463 0.14 Italy Buoni Poliennali Del Tesoro 3.250% 15/07/2032 EUR 15,970,000 13,849 0.43 Italy Buoni Poliennali Del Tesoro 3.250% 15/11/2032 EUR 12,940,000 11,197 0.35 Italy Buoni Poliennali Del Tesoro 3.250% 01/03/2038 EUR 15,390,000 12,679 0.40 Italy Buoni Poliennali Del Tesoro 3.350% 01/03/2035 EUR 4,650,000 3,989 0.12 Italy Buoni Poliennali Del Tesoro 3.450% 15/07/2031 EUR 2,710,000 2,384 0.07 Italy Buoni Poliennali Del Tesoro 3.450% 01/02/2036 EUR 13,330,000 11,408 0.36 Italy Buoni Poliennali Del Tesoro 3.600% 01/10/2035 EUR 13,130,000 11,400 0.36 Italy Buoni Poliennali Del Tesoro 3.650% 01/08/2035 EUR 14,990,000 13,083 0.41 Italy Buoni Poliennali Del Tesoro 3.800% 01/07/2036 EUR 3,700,000 3,247 0.10 Italy Buoni Poliennali Del Tesoro 3.850% 01/07/2034 EUR 15,730,000 14,008 0.44 Italy Buoni Poliennali Del Tesoro 3.850% 01/02/2035 EUR 16,490,000 14,647 0.46 Italy Buoni Poliennali Del Tesoro 3.850% 01/10/2040 EUR 11,550,000 9,882 0.31 Italy Buoni Poliennali Del Tesoro 4.000% 30/10/2031 EUR 10,310,000 9,312 0.29 Italy Buoni Poliennali Del Tesoro 4.000% 30/04/2035 EUR 10,490,000 9,427 0.29 Italy Buoni Poliennali Del Tesoro 4.000% 01/02/2037 EUR 10,640,000 9,503 0.30 Italy Buoni Poliennali Del Tesoro 4.050% 30/10/2037 EUR 9,680,000 8,632 0.27 Italy Buoni Poliennali Del Tesoro 4.150% 01/10/2039 EUR 11,200,000 9,960 0.31 Italy Buoni Poliennali Del Tesoro 4.200% 01/03/2034 EUR 15,810,000 14,423 0.45 Italy Buoni Poliennali Del Tesoro 4.350% 01/11/2033 EUR 13,390,000 12,331 0.38
State Street AUT Global Treasury 5-15 Year Bond Index Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
5
Page 8
Nominal
Market Value £'000
% of Total Net Assets
Government Bonds — 100.46% (continued)
Italy — 9.64% (continued) Italy Buoni Poliennali Del Tesoro 4.400% 01/05/2033 EUR 12,810,000 11,838 0.37 Italy Buoni Poliennali Del Tesoro 5.000% 01/08/2034 EUR 4,300,000 4,133 0.13 Italy Buoni Poliennali Del Tesoro 5.000% 01/08/2039 EUR 14,110,000 13,646 0.43 Italy Buoni Poliennali Del Tesoro 5.000% 01/09/2040 EUR 11,300,000 10,928 0.34 Italy Buoni Poliennali Del Tesoro 5.750% 01/02/2033 EUR 4,030,000 3,997 0.12
308,967 9.64
Japan — 22.83%
Japan Government Ten Year Bonds 0.100% 20/06/2031
JPY 1,684,000,000 7,166 0.22
Japan Government Ten Year Bonds 0.100% 20/09/2031
JPY 2,306,000,000 9,750 0.30
Japan Government Ten Year Bonds 0.100% 20/12/2031
JPY 2,426,000,000 10,190 0.32
Japan Government Ten Year Bonds 0.200% 20/03/2032
JPY 3,974,000,000 16,677 0.52
Japan Government Ten Year Bonds 0.200% 20/06/2032
JPY 2,657,000,000 11,076 0.35
Japan Government Ten Year Bonds 0.200% 20/09/2032
JPY 2,592,000,000 10,729 0.33
Japan Government Ten Year Bonds 0.400% 20/06/2033
JPY 2,527,000,000 10,384 0.32
Japan Government Ten Year Bonds 0.500% 20/12/2032
JPY 2,412,000,000 10,122 0.32
Japan Government Ten Year Bonds 0.500% 20/03/2033
JPY 2,342,000,000 9,765 0.30
Japan Government Ten Year Bonds 0.600% 20/12/2033
JPY 2,336,000,000 9,604 0.30
Japan Government Ten Year Bonds 0.700% 20/12/2033
JPY 761,000,000 3,149 0.10
Japan Government Ten Year Bonds 0.800% 20/09/2033
JPY 3,017,000,000 12,671 0.40
Japan Government Ten Year Bonds 0.800% 20/03/2034
JPY 2,621,000,000 10,871 0.34
Japan Government Ten Year Bonds 0.900% 20/09/2034
JPY 2,949,000,000 12,168 0.38
State Street AUT Global Treasury 5-15 Year Bond Index Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
6
Page 9
Nominal
Market Value £'000
% of Total Net Assets
Government Bonds — 100.46% (continued)
Japan — 22.83% (continued)
Japan Government Ten Year Bonds 1.000% 20/03/2034
JPY 1,892,000,000 7,966 0.25
Japan Government Ten Year Bonds 1.100% 20/06/2034
JPY 4,358,000,000 18,391 0.57
Japan Government Ten Year Bonds 1.200% 20/12/2034
JPY 5,547,000,000 23,326 0.73
Japan Government Ten Year Bonds 1.400% 20/03/2035
JPY 5,605,000,000 23,828 0.74
Japan Government Ten Year Bonds 1.500% 20/06/2035
JPY 5,447,000,000 23,246 0.72
Japan Government Ten Year Bonds 1.700% 20/09/2035
JPY 5,407,000,000 23,353 0.73
Japan Government Ten Year Bonds 2.100% 20/12/2035
JPY 5,291,000,000 23,568 0.74
Japan Government Ten Year Bonds 2.400% 20/03/2036
JPY 3,270,000,000 14,894 0.46
Japan Government Thirty Year Bonds 2.000% 20/09/2040
JPY 695,000,000 2,796 0.09
Japan Government Thirty Year Bonds 2.200% 20/09/2039
JPY 552,000,000 2,322 0.07
Japan Government Thirty Year Bonds 2.300% 20/03/2035
JPY 164,000,000 751 0.02
Japan Government Thirty Year Bonds 2.300% 20/06/2035
JPY 143,000,000 653 0.02
Japan Government Thirty Year Bonds 2.300% 20/03/2039
JPY 548,000,000 2,355 0.07
Japan Government Thirty Year Bonds 2.300% 20/03/2040
JPY 723,000,000 3,050 0.10
Japan Government Thirty Year Bonds 2.400% 20/03/2037
JPY 221,000,000 992 0.03
Japan Government Thirty Year Bonds 2.400% 20/09/2038
JPY 517,000,000 2,265 0.07
Japan Government Thirty Year Bonds 2.500% 20/06/2034
JPY 174,000,000 816 0.03
Japan Government Thirty Year Bonds 2.500% 20/06/2036
JPY 168,000,000 769 0.02
Japan Government Thirty Year Bonds 2.500% 20/09/2037
JPY 204,000,000 918 0.03
Japan Government Thirty Year Bonds 2.500% 20/03/2038
JPY 239,000,000 1,067 0.03
State Street AUT Global Treasury 5-15 Year Bond Index Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
7
Page 10
Nominal
Market Value £'000
% of Total Net Assets
Government Bonds — 100.46% (continued)
Japan — 22.83% (continued)
Japan Government Twenty Year Bonds 0.200% 20/06/2036
JPY 160,000,000 584 0.02 Japan Government Twenty Year Bonds 0.300% 20/12/2039 JPY 8,000,000 26 0.00
Japan Government Twenty Year Bonds 0.400% 20/03/2036
JPY 145,000,000 546 0.02
Japan Government Twenty Year Bonds 0.400% 20/03/2039
JPY 2,050,000,000 6,899 0.22
Japan Government Twenty Year Bonds 0.400% 20/03/2040
JPY 2,087,000,000 6,753 0.21
Japan Government Twenty Year Bonds 0.400% 20/06/2040
JPY 2,693,000,000 8,631 0.27
Japan Government Twenty Year Bonds 0.400% 20/09/2040
JPY 4,368,000,000 13,862 0.43
Japan Government Twenty Year Bonds 0.500% 20/09/2036
JPY 479,000,000 1,791 0.06
Japan Government Twenty Year Bonds 0.500% 20/03/2038
JPY 4,192,000,000 14,862 0.46
Japan Government Twenty Year Bonds 0.500% 20/06/2038
JPY 3,570,000,000 12,537 0.39
Japan Government Twenty Year Bonds 0.500% 20/12/2038
JPY 3,993,000,000 13,760 0.43
Japan Government Twenty Year Bonds 0.500% 20/12/2040
JPY 4,517,000,000 14,445 0.45
Japan Government Twenty Year Bonds 0.500% 20/03/2041
JPY 1,275,000,000 4,041 0.13
Japan Government Twenty Year Bonds 0.600% 20/12/2036
JPY 130,000,000 487 0.02
Japan Government Twenty Year Bonds 0.600% 20/06/2037
JPY 950,000,000 3,500 0.11
Japan Government Twenty Year Bonds 0.600% 20/09/2037
JPY 4,000,000,000 14,618 0.46
Japan Government Twenty Year Bonds 0.600% 20/12/2037
JPY 3,019,000,000 10,939 0.34
Japan Government Twenty Year Bonds 0.700% 20/03/2037
JPY 360,000,000 1,355 0.04
Japan Government Twenty Year Bonds 0.700% 20/09/2038
JPY 3,751,000,000 13,401 0.42
Japan Government Twenty Year Bonds 1.000% 20/12/2035
JPY 3,027,000,000 12,190 0.38
State Street AUT Global Treasury 5-15 Year Bond Index Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
8
Page 11
Nominal
Market Value £'000
% of Total Net Assets
Government Bonds — 100.46% (continued)
Japan — 22.83% (continued)
Japan Government Twenty Year Bonds 1.200% 20/12/2034
JPY 3,914,000,000 16,454 0.51
Japan Government Twenty Year Bonds 1.200% 20/03/2035
JPY 3,841,000,000 16,057 0.50
Japan Government Twenty Year Bonds 1.200% 20/09/2035
JPY 112,000,000 463 0.01
Japan Government Twenty Year Bonds 1.300% 20/06/2035
JPY 3,955,000,000 16,576 0.52
Japan Government Twenty Year Bonds 1.400% 20/09/2034
JPY 4,045,000,000 17,386 0.54
Japan Government Twenty Year Bonds 1.500% 20/03/2034
JPY 3,381,000,000 14,793 0.46
Japan Government Twenty Year Bonds 1.500% 20/06/2034
JPY 3,532,000,000 15,380 0.48
Japan Government Twenty Year Bonds 1.600% 20/06/2032
JPY 2,487,000,000 11,274 0.35
Japan Government Twenty Year Bonds 1.600% 20/12/2033
JPY 3,530,000,000 15,634 0.49
Japan Government Twenty Year Bonds 1.700% 20/09/2031
JPY 2,249,000,000 10,340 0.32
Japan Government Twenty Year Bonds 1.700% 20/12/2031
JPY 2,578,000,000 11,823 0.37
Japan Government Twenty Year Bonds 1.700% 20/03/2032
JPY 2,251,000,000 10,296 0.32
Japan Government Twenty Year Bonds 1.700% 20/06/2032
JPY 2,335,000,000 10,646 0.33
Japan Government Twenty Year Bonds 1.700% 20/09/2032
JPY 3,481,000,000 15,823 0.49
Japan Government Twenty Year Bonds 1.700% 20/12/2032
JPY 1,599,000,000 7,248 0.23
Japan Government Twenty Year Bonds 1.700% 20/06/2033
JPY 282,000,000 1,269 0.04
Japan Government Twenty Year Bonds 1.700% 20/09/2033
JPY 3,329,000,000 14,911 0.47
Japan Government Twenty Year Bonds 1.800% 20/06/2031
JPY 354,000,000 1,638 0.05
Japan Government Twenty Year Bonds 1.800% 20/09/2031
JPY 2,923,000,000 13,505 0.42
Japan Government Twenty Year Bonds 1.800% 20/12/2031
JPY 2,579,000,000 11,887 0.37
State Street AUT Global Treasury 5-15 Year Bond Index Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
9
Page 12
Nominal
Market Value £'000
% of Total Net Assets
Government Bonds — 100.46% (continued)
Japan — 22.83% (continued)
Japan Government Twenty Year Bonds 1.800% 20/03/2032
JPY 2,605,000,000 11,979 0.37
Japan Government Twenty Year Bonds 1.800% 20/12/2032
JPY 2,160,000,000 9,850 0.31
732,107 22.83
United Kingdom — 9.88% U.K. Gilts 0.250% 31/07/2031 GBP 12,320,000 10,115 0.31 U.K. Gilts 0.625% 31/07/2035 GBP 8,800,000 6,192 0.19 U.K. Gilts 0.875% 31/07/2033 GBP 17,620,000 13,796 0.43 U.K. Gilts 1.000% 31/01/2032 GBP 16,950,000 14,182 0.44 U.K. Gilts 1.125% 31/01/2039 GBP 5,390,000 3,473 0.11 U.K. Gilts 1.750% 07/09/2037 GBP 19,540,000 14,348 0.45 U.K. Gilts 3.250% 31/01/2033 GBP 18,620,000 17,380 0.54 U.K. Gilts 3.750% 29/01/2038 GBP 20,860,000 18,704 0.58 U.K. Gilts 4.000% 22/10/2031 GBP 20,420,000 20,128 0.63 U.K. Gilts 4.125% 07/03/2033 GBP 13,070,000 12,838 0.40 U.K. Gilts 4.250% 07/06/2032 GBP 7,430,000 7,409 0.23 U.K. Gilts 4.250% 31/07/2034 GBP 22,900,000 22,389 0.70 U.K. Gilts 4.250% 07/03/2036 GBP 3,270,000 3,146 0.10 U.K. Gilts 4.250% 07/09/2039 GBP 13,330,000 12,354 0.38 U.K. Gilts 4.250% 07/12/2040 GBP 9,800,000 8,964 0.28 U.K. Gilts 4.375% 31/01/2040 GBP 18,470,000 17,247 0.54 U.K. Gilts 4.500% 07/09/2034 GBP 17,280,000 17,197 0.54 U.K. Gilts 4.500% 07/03/2035 GBP 23,690,000 23,435 0.73 U.K. Gilts 4.625% 31/01/2034 GBP 21,090,000 21,209 0.66 U.K. Gilts 4.625% 07/03/2037 GBP 6,950,000 6,822 0.21 U.K. Gilts 4.750% 22/10/2035 GBP 23,235,000 23,298 0.73 U.K. Gilts 4.750% 07/12/2038 GBP 4,790,000 4,697 0.15 U.K. Gilts 4.875% 31/07/2036 GBP 5,000,000 5,034 0.16 U.K. Gilts 5.250% 31/01/2041 GBP 12,410,000 12,583 0.39
316,940 9.88
State Street AUT Global Treasury 5-15 Year Bond Index Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
10
Page 13
Nominal
Market Value £'000
% of Total Net Assets
Government Bonds — 100.46% (continued)
United States — 38.70% U.S. Treasury Bonds 1.125% 15/05/2040 USD 33,480,000 16,181 0.50 U.S. Treasury Bonds 1.125% 15/08/2040 USD 33,650,000 16,097 0.50 U.S. Treasury Bonds 1.375% 15/11/2040 USD 31,450,000 15,532 0.48 U.S. Treasury Bonds 1.875% 15/02/2041 USD 20,950,000 11,101 0.35 U.S. Treasury Bonds 2.250% 15/05/2041 USD 11,200,000 6,236 0.19 U.S. Treasury Bonds 3.875% 15/08/2040 USD 2,390,000 1,663 0.05 U.S. Treasury Bonds 4.250% 15/05/2039 USD 2,140,000 1,575 0.05 U.S. Treasury Bonds 4.250% 15/11/2040 USD 1,000,000 724 0.02 U.S. Treasury Bonds 4.375% 15/02/2038 USD 220,000 166 0.01 U.S. Treasury Bonds 4.375% 15/11/2039 USD 5,070,000 3,753 0.12 U.S. Treasury Bonds 4.375% 15/05/2040 USD 8,210,000 6,050 0.19 U.S. Treasury Bonds 4.500% 15/05/2038 USD 1,000,000 762 0.02 U.S. Treasury Bonds 4.500% 15/08/2039 USD 4,060,000 3,051 0.10 U.S. Treasury Bonds 4.625% 15/02/2040 USD 6,770,000 5,132 0.16 U.S. Treasury Bonds 4.750% 15/02/2037 USD 750,000 587 0.02 U.S. Treasury Bonds 4.750% 15/02/2041 USD 11,900,000 9,077 0.28 U.S. Treasury Notes 1.250% 15/08/2031 USD 39,320,000 25,769 0.80 U.S. Treasury Notes 1.375% 15/11/2031 USD 45,930,000 30,082 0.94 U.S. Treasury Notes 1.875% 15/02/2032 USD 38,050,000 25,459 0.79 U.S. Treasury Notes 2.750% 15/08/2032 USD 40,030,000 27,893 0.87 U.S. Treasury Notes 2.875% 15/05/2032 USD 49,910,000 35,149 1.10 U.S. Treasury Notes 3.375% 15/05/2033 USD 52,580,000 37,700 1.18 U.S. Treasury Notes 3.500% 15/02/2033 USD 37,100,000 26,866 0.84 U.S. Treasury Notes 3.625% 30/09/2031 USD 16,090,000 11,858 0.37 U.S. Treasury Notes 3.750% 31/08/2031 USD 16,340,000 12,117 0.38 U.S. Treasury Notes 3.750% 31/10/2032 USD 23,690,000 17,445 0.54 U.S. Treasury Notes 3.750% 30/11/2032 USD 23,690,000 17,437 0.54 U.S. Treasury Notes 3.750% 28/02/2033 USD 16,100,000 11,835 0.37 U.S. Treasury Notes 3.875% 31/08/2032 USD 23,690,000 17,586 0.55 U.S. Treasury Notes 3.875% 30/09/2032 USD 23,460,000 17,406 0.54 U.S. Treasury Notes 3.875% 31/12/2032 USD 20,390,000 15,109 0.47 U.S. Treasury Notes 3.875% 15/08/2033 USD 41,320,000 30,504 0.95 U.S. Treasury Notes 3.875% 15/08/2034 USD 49,080,000 36,010 1.12
State Street AUT Global Treasury 5-15 Year Bond Index Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
11
Page 14
Nominal
Market Value £'000
% of Total Net Assets
Government Bonds — 100.46% (continued)
United States — 38.70% (continued) U.S. Treasury Notes 4.000% 30/04/2032 USD 29,080,000 21,767 0.68 U.S. Treasury Notes 4.000% 30/06/2032 USD 24,410,000 18,259 0.57 U.S. Treasury Notes 4.000% 31/07/2032 USD 24,610,000 18,399 0.57 U.S. Treasury Notes 4.000% 31/01/2033 USD 19,770,000 14,749 0.46 U.S. Treasury Notes 4.000% 15/02/2034 USD 57,820,000 42,901 1.34 U.S. Treasury Notes 4.000% 15/11/2035 USD 58,800,000 43,229 1.35 U.S. Treasury Notes 4.125% 31/07/2031 USD 9,640,000 7,277 0.23 U.S. Treasury Notes 4.125% 31/10/2031 USD 23,580,000 17,789 0.56 U.S. Treasury Notes 4.125% 30/11/2031 USD 27,000,000 20,364 0.64 U.S. Treasury Notes 4.125% 29/02/2032 USD 28,510,000 21,491 0.67 U.S. Treasury Notes 4.125% 31/03/2032 USD 23,650,000 17,822 0.56 U.S. Treasury Notes 4.125% 31/05/2032 USD 23,770,000 17,902 0.56 U.S. Treasury Notes 4.125% 15/11/2032 USD 48,520,000 36,487 1.14 U.S. Treasury Notes 4.125% 30/04/2033 USD 14,600,000 10,961 0.34 U.S. Treasury Notes 4.125% 15/02/2036 USD 53,140,000 39,412 1.23 U.S. Treasury Notes 4.250% 30/06/2031 USD 6,250,000 4,744 0.15 U.S. Treasury Notes 4.250% 31/03/2033 USD 21,100,000 15,965 0.50 U.S. Treasury Notes 4.250% 31/05/2033 USD 37,300,000 28,208 0.88 U.S. Treasury Notes 4.250% 30/06/2033 USD 35,000,000 26,345 0.82 U.S. Treasury Notes 4.250% 15/11/2034 USD 58,060,000 43,675 1.36 U.S. Treasury Notes 4.250% 15/05/2035 USD 61,060,000 45,849 1.43 U.S. Treasury Notes 4.250% 15/08/2035 USD 51,310,000 38,497 1.20 U.S. Treasury Notes 4.375% 31/01/2032 USD 30,730,000 23,453 0.73 U.S. Treasury Notes 4.375% 15/05/2034 USD 57,950,000 44,037 1.37 U.S. Treasury Notes 4.375% 15/05/2036 USD 19,700,000 14,895 0.46 U.S. Treasury Notes 4.500% 31/12/2031 USD 27,370,000 21,019 0.66 U.S. Treasury Notes 4.500% 15/11/2033 USD 55,190,000 42,321 1.32 U.S. Treasury Notes 4.625% 15/02/2035 USD 63,570,000 49,066 1.53
1,240,795 38.70
3,221,085 100.46
State Street AUT Global Treasury 5-15 Year Bond Index Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
12
Page 15
Market Value £'000
% of Total Net Assets
Derivatives — (0.02)%
Forward Currency Contracts — (0.02)% Bought USD 15,155,000 for GBP 11,248,181 Settlement 02/07/2026 202 0.01 Bought JPY 1,883,555,000 for GBP 8,800,268 Settlement 02/07/2026 (33) 0.00 Bought CAD 162,826,000 for GBP 86,826,317 Settlement 02/07/2026 (383) (0.01) Bought EUR 492,396,500 for GBP 424,962,799 Settlement 02/07/2026 (796) (0.02) Bought EUR 492,396,500 for GBP 424,987,419 Settlement 02/07/2026 (821) (0.03) Bought USD 528,621,999 for GBP 400,289,262 Settlement 02/07/2026 (892) (0.03) Bought USD 528,622,002 for GBP 400,350,199 Settlement 02/07/2026 (953) (0.03) Bought USD 528,621,999 for GBP 400,471,879 Settlement 02/07/2026 (1,075) (0.03) Bought JPY 77,230,527,500 for GBP 361,261,706 Settlement 02/07/2026 (1,791) (0.06) Bought JPY 77,230,527,500 for GBP 361,346,220 Settlement 02/07/2026 (1,875) (0.06) Sold EUR 477,751,000 for GBP 414,738,738 Settlement 02/07/2026 3,188 0.10 Sold EUR 470,433,000 for GBP 408,347,134 Settlement 02/07/2026 3,101 0.10 Sold JPY 76,317,194,500 for GBP 358,083,015 Settlement 02/07/2026 2,864 0.09 Sold JPY 76,317,194,500 for GBP 358,024,556 Settlement 02/07/2026 2,805 0.09 Sold JPY 77,230,527,500 for GBP 362,302,279 Settlement 04/08/2026 1,887 0.06 Sold JPY 77,230,527,500 for GBP 362,216,468 Settlement 04/08/2026 1,801 0.06 Sold CAD 151,298,000 for GBP 81,573,874 Settlement 02/07/2026 1,250 0.04 Sold USD 528,621,999 for GBP 400,484,015 Settlement 04/08/2026 1,077 0.03 Sold USD 528,622,002 for GBP 400,362,327 Settlement 04/08/2026 956 0.03 Sold USD 528,621,999 for GBP 400,301,993 Settlement 04/08/2026 895 0.03 Sold EUR 492,396,500 for GBP 425,570,909 Settlement 04/08/2026 824 0.02 Sold EUR 492,396,500 for GBP 425,548,259 Settlement 04/08/2026 802 0.02 Sold CAD 162,826,000 for GBP 86,951,042 Settlement 04/08/2026 383 0.01 Sold EUR 17,756,000 for GBP 15,408,822 Settlement 02/07/2026 113 0.00 Sold CAD 11,528,000 for GBP 6,215,698 Settlement 02/07/2026 96 0.00 Sold JPY 1,167,586,000 for GBP 5,462,520 Settlement 02/07/2026 28 0.00 Sold JPY 1,458,949,000 for GBP 6,814,585 Settlement 02/07/2026 24 0.00 Sold EUR 9,281,000 for GBP 8,017,162 Settlement 02/07/2026 22 0.00 Sold EUR 5,041,000 for GBP 4,360,490 Settlement 02/07/2026 18 0.00 Sold EUR 1,857,000 for GBP 1,610,203 Settlement 02/07/2026 11 0.00 Sold EUR 2,674,000 for GBP 2,310,807 Settlement 02/07/2026 7 0.00 Sold USD 2,427,000 for GBP 1,838,710 Settlement 04/08/2026 5 0.00 Sold JPY 663,449,000 for GBP 3,086,729 Settlement 02/07/2026 (1) 0.00
State Street AUT Global Treasury 5-15 Year Bond Index Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
13
Page 16
Market Value £'000
% of Total Net Assets
Derivatives — (0.02)% (continued)
Forward Currency Contracts — (0.02)% (continued) Sold JPY 420,237,000 for GBP 1,954,848 Settlement 02/07/2026 (1) 0.00 Sold USD 2,780,000 for GBP 2,070,378 Settlement 02/07/2026 (30) 0.00 Sold USD 14,922,000 for GBP 11,205,136 Settlement 02/07/2026 (69) 0.00 Sold USD 6,644,000 for GBP 4,949,501 Settlement 02/07/2026 (70) 0.00 Sold USD 11,900,000 for GBP 8,858,222 Settlement 02/07/2026 (133) 0.00 Sold USD 521,712,666 for GBP 389,615,095 Settlement 02/07/2026 (4,562) (0.14) Sold USD 518,734,668 for GBP 387,133,914 Settlement 02/07/2026 (4,793) (0.15) Sold USD 524,327,666 for GBP 391,258,123 Settlement 02/07/2026 (4,895) (0.15)
(814) (0.02)
Portfolio of investments^ 3,220,271 100.44 Net other liabilities (14,057) (0.44)
Total net assets 3,206,214 100.00
All holdings are ordinary shares or common stock unless otherwise stated. ^Including investment liabilities. Fund was launched on 6th October 2025 therefore there are no comparatives.
State Street AUT Global Treasury 5-15 Year Bond Index Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
14
Page 17
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-1
Page 18
Comparative Table For the period ended 30th June 2026
2026 (to 30.06) Closing net asset value (£'000) 3,206,214 Closing number of units 316,671,373 Closing net asset value per unit (£) 10.1247 Change in net asset value per unit 0.00% Operating charges 0.01%
Fund was launched on 6th October 2025 therefore there are no comparatives.
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 Global Treasury 5-15 Year Bond Index Fund
Interim Report and Unaudited Financial Statements 2026
16
Page 19
Statement of Total Return For the period ended 30th June 2026
Period ended 30.06.26 £'000 £'000 Income Net capital losses (32,797) Revenue 55,427 Expenses (133)
Net revenue before taxation 55,294
Net revenue after taxation 55,294
Total return before distributions 22,497 Distributions 13,707
Change in net assets attributable to unitholders from investment activities 36,204
Statement of Change in Net Assets Attributable to Unitholders For the period ended 30th June 2026
Period ended 30.06.26 £’000 £’000 Opening net assets Issue of units 4,112,453 Cancellation of units (942,739)
3,169,714 Dilution adjustment 296 Change in unitholders' funds from investment activities 36,204
Closing net assets 3,206,214
Fund was launched on 6th October 2025 therefore there are no comparatives.
State Street AUT Global Treasury 5-15 Year Bond Index Fund
Interim Report and Unaudited Financial Statements 2026
17
Page 20
Balance Sheet As at 30th June 2026
30.06.26 £'000 Assets Investments 3,243,444 Amounts receivable 27,089 Cash and Cash equivalents 5,290
Total assets 3,275,823
Liabilities Investments 23,173 Other amounts payable 46,436
Total liabilities 69,609
Net assets attributable to unitholders 3,206,214
All items within the Balance Sheet are deemed current.
Notes to the Financial Statements are on pages 19 to 24.
Fund was launched on 6th October 2025 therefore there are no comparatives.
State Street AUT Global Treasury 5-15 Year Bond Index Fund
Interim Report and Unaudited Financial Statements 2026
18
Page 21
1. Accounting policies The Fund was launched on 6th October 2025. As this is the Fund's first accounting period, there are no comparative figures presented in these financial statements.
(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 104 ("FRS 104") and the Statement of Recommended Practice ("SORP") for Authorised Funds issued by the Investment Association ("IA") in October 2025 (the "IA SORP 2025").
At the reporting date, investments are measured using market prices from approved pricing sources. EMEA listed securities and Fixed Income securities use 12:00 GMT mid-market prices. American listed securities use Official Close/Last Trade prices Prior Day, while Asian Pacific listed securities use Official Close/Last Trade prices. This approach is applied consistently across the portfolio and uses the most appropriate pricing source available for each asset class and market.
(b) Going Concern The financial statements are prepared on the going concern basis.
The Authorised Corporate Director ("ACD") has undertaken a detailed assessment of each of the remaining Funds ability to meet its liabilities as they fall due, including liquidity, declines in global capital markets and investor redemption levels. Based on this assessment, the Funds continue to be open for trading and the ACD is satisfied the Funds have adequate financial resources to continue in operation for the foreseeable future, being at least 12 months from the date of approval, and accordingly it is appropriate to adopt the going concern basis in preparing the financial statements.
2. Related party transactions The Manager exercises governance and oversight over the Fund and is a related party by virtue of the Trust Deed constituting the Fund.
Amounts paid during the Reporting Period to the Manager were £132,344.
At the Reporting Period end £19,379 was due to the Manager in relation to accrued manager’s periodic charges.
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.
State Street AUT Global Treasury 5-15 Year Bond Index Fund
Interim Report and Unaudited Financial Statements 2026
Notes to the Financial Statements
For the period ended 30th June 2026
19
Page 22
3. Securities Financing Transactions ("SFT")
1) Global Data
Proportion of securities and commodities on loan as at 30th June 2026 £'000 %
Total lendable assets excluding cash and cash equivalents: 1,992,562
Securities and commodities on loan 1,128,648 56.64%
Assets engaged in SFTs and total return swaps as at 30th June 2026 £'000 %
Fund assets under management ("AUM") 3,206,214
Absolute value of assets engaged in:
Securities lending 1,128,648 35.20%
2) Concentration Data
Top 10 Collateral Issuers Name and value of collateral and commodities received as at 30th June 2026 £'000
Tencent 29,252
Microsoft 24,665
NVIDIA 14,815
Airbus 14,232
British American Tobacco 12,935
Apple 12,875
Intel Corp 8,350
Tesla 8,349
UniCredit 7,728
Alibaba Group Holding 7,537
State Street AUT Global Treasury 5-15 Year Bond Index Fund
Interim Report and Unaudited Financial Statements 2026
Notes to the Financial Statements (continued)
For the period ended 30th June 2026
20
Page 23
3. Securities Financing Transactions ("SFT") (continued)
Top 10 Counterparties Name and value of outstanding transactions as at 30th June 2026 £'000
Morgan Stanley International 245,478
Natixis 214,353
HSBC Bank 139,280
RBC Europe 99,731
Societe Generale 96,711
Goldman Sachs 71,131
Citigroup Global Markets (UK) 69,801
NBC Global Finance 53,786
Merrill Lynch 45,441
Barclays Capital Securities 42,971
State Street AUT Global Treasury 5-15 Year Bond Index Fund
Interim Report and Unaudited Financial Statements 2026
Notes to the Financial Statements (continued)
For the period ended 30th June 2026
21
Page 24
3. Securities Financing Transactions ("SFT") (continued)
3) Aggregate Transaction Data
Type, Quality and Currency of Collateral as at 30th June 2026
Type Quality Currency £'000
Securities lending
Equity Traded on recognised exchange Sterling 87,713
Equity Traded on recognised exchange Australian Dollar 64,785
Equity Traded on recognised exchange Canadian Dollar 1,897
Equity Traded on recognised exchange Danish Krone 4,387
Equity Traded on recognised exchange Euro 110,699
Equity Traded on recognised exchange Hong Kong Dollar 151,566
Equity Traded on recognised exchange Japanese Yen 159,051
Equity Traded on recognised exchange Norwegian Krone 8,124
Equity Traded on recognised exchange Singapore Dollar 2,214
Equity Traded on recognised exchange Swedish Krona 6,043
Equity Traded on recognised exchange Swiss Franc 33,038
Equity Traded on recognised exchange US Dollar 497,107
Fixed Income Investment Grade Sterling 19,623
Fixed Income Investment Grade Australian Dollar 255
Fixed Income Investment Grade Canadian Dollar 87
Fixed Income Investment Grade Euro 24,865
Fixed Income Investment Grade Norwegian Krone 4,951
Fixed Income Investment Grade Swedish Krona 5,426
Fixed Income Investment Grade US Dollar 53,601
Total Collateral held 1,235,432
Maturity Tenor of Collateral (remaining period to maturity) as at 30th June 2026
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 ----- 107,420 1,128,012 1,235,432
State Street AUT Global Treasury 5-15 Year Bond Index Fund
Interim Report and Unaudited Financial Statements 2026
Notes to the Financial Statements (continued)
For the period ended 30th June 2026
22
Page 25
3. Securities Financing Transactions ("SFT") (continued)
Counterparty details as at 30th June 2026
Type
Country of counterparty establishment Settlement and clearing £'000
Securities lending Canada Tri-party 14,673
Securities lending France 377,219
Securities lending Ireland 59,165
Securities lending Switzerland 4,290
Securities lending United Kingdom 780,085
Total collateral held 1,235,432
Maturity Tenor of SFTs and Total Return Swaps (remaining period to maturity) as at 30th June 2026
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 - - - - - - 1, 128,648 1,128,648
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 30th June 2026 £'000
Bank of New York 962,203
JP Morgan 164,496
Euroclear 108,733
6) Safekeeping of Collateral Granted
The Fund does not borrow stock from counterparties; therefore, no collateral has been granted.
4. Fair value For financial instruments held at fair value in the balance sheet, the Fund is required to disclose for each class of financial instrument, an analysis of the level in the fair value:
Level 1 – The unadjusted quoted price in an active market for identical assets or liabilities that the entity can access at the measurement date;
Level 2 – Inputs other than quoted prices included within Level 1 that are observable (i.e. developed using market data) for the asset or liability, either directly or indirectly;
State Street AUT Global Treasury 5-15 Year Bond Index Fund
Interim Report and Unaudited Financial Statements 2026
Notes to the Financial Statements (continued)
For the period ended 30th June 2026
23
Page 26
4. Fair value (continued)
Level 3 – Inputs are unobservable (i.e. for which market data is unavailable) for the asset or liability.
30.06.26 Level 1 £'000
30.06.26 Level 2 £'000
30.06.26 Level 3 £'000
30.06.26 Total £'000 Assets: Debt instruments 3,194,740 26,345 - 3,221,085 Derivatives - 22,359 - 22,359 3,194,740 48,704 - 3,243,444 Liabilities: Derivatives - (23,173) - (23,173) - (23,173) - (23,173)
5. Subsequent events since the financial year The anti-dilution mechanism shall change from dilution levy to dilution adjustment on 1 September 2026. There have been no other significant events affecting the Fund after the financial year ended 30 June 2026 that require amendment to or disclosure in the financial statements.
State Street AUT Global Treasury 5-15 Year Bond Index Fund
Interim Report and Unaudited Financial Statements 2026
Notes to the Financial Statements (continued)
For the period ended 30th June 2026
24
Page 27
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. Lim Siong Kwong Lam Thuon Mine* (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 Global Treasury 5-15 Year Bond Index 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 Global Treasury 5-15 Year Bond Index Fund
Interim Report and Unaudited Financial Statements 2026
Directory
25
Page 28
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 Global Treasury 5-15 Year Bond Index Fund
Interim Report and Unaudited Financial Statements 2026
Directory (continued)
26
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"text": "1 June 2026, the Index pricing moved to 12:00pm, bringing the benchmark valuations more closely in line."
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"id": "e915bced-b4df-4559-a059-5a72877ad817",
"page_number": 3,
"text": "123 67 4 5"
},
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"id": "cf20e63e-c1ba-46ba-86d3-f2b3a2e28661",
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"text": "4"
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"text": "5"
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"page_number": 3,
"text": "Risk Disclaimer"
},
{
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"id": "70dd72fc-f2d8-48eb-bda7-d77df4915728",
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"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"
},
{
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"id": "69aca1fe-5805-4f66-8ff7-bce89b9f3522",
"page_number": 3,
"text": "have been historically."
},
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"id": "6d1d5c5e-027e-43d2-8b34-4b51d95b9009",
"page_number": 3,
"text": "State Street AUT Global Treasury 5-15 Year Bond Index Fund"
},
{
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"x": 48,
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"id": "f05026ba-cdc9-480c-8591-c3a70e39d80c",
"page_number": 3,
"text": "Interim Report and Unaudited Financial Statements 2026"
},
{
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"width": 168,
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"id": "42caac86-ddeb-488d-bbf2-3c88d4277850",
"page_number": 3,
"text": "Manager\u2019s Report"
},
{
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"x": 48,
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},
"id": "b4db5883-fe5f-43c3-a08e-c791452aeb1e",
"page_number": 3,
"text": "For the first Reporting Period from 6th October 2025 (launch date) to 30th June 2026."
},
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"id": "70b16a99-88c1-4961-bbe4-d54a06af81f4",
"page_number": 3,
"text": "1"
},
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"id": "6a8a75ed-37bd-4043-a649-c5ab29a866ea",
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"text": "For example a fund whose return has experienced significant rises and falls will be in a higher risk category, whereas a fund"
},
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"id": "b7e20012-339f-40cb-aa4d-1acb8feef1f9",
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"text": "whose return has experienced less significant rises and falls will be in a lower risk category."
},
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"id": "ba2fd8a7-680b-4800-85c5-13b0e7054dbf",
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"text": "The lowest category (i.e. category 1) does not mean that a fund is a risk free investment."
},
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"id": "e0960757-a12a-4c70-826e-936cf3c06669",
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"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"
},
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"id": "9ce552de-04c7-4b39-8d58-60569a745012",
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"text": "risk profile."
},
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},
"id": "659489eb-8843-421a-8739-b7a8118b7742",
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"text": "The Fund\u2019s risk category shown is not guaranteed and may change in the future."
},
{
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"id": "930ba6ee-4170-49ac-9a05-a1b822396828",
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"text": "Why is this Fund in this category?"
},
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"id": "be81816f-f5d0-439f-8bbd-c14925c82b34",
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"text": "The Fund is in risk category 4 as its return has experienced medium rises and falls historically."
},
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"id": "dc4f9c76-4fa3-4bf9-a304-c4b83dc12152",
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"text": "The following are material risks relevant to the Fund which are not adequately captured by the risk category."
},
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"text": "Screening Risk:"
},
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"id": "c531bbb8-e356-4340-99e3-1e5331dd60bd",
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"text": "The Fund may track an index that uses a screen to identify securities based on criteria including, but, not"
},
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"id": "80d57558-cf8d-45a8-9f48-0d454baa4c8c",
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"text": "limited to environmental, social and governance (ESG) criteria. The screen may be fully or partially designed by the Manager"
},
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},
"id": "1bd8ff94-9726-48ac-86bd-aa77110db617",
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"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"
},
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},
"id": "634f1692-d227-4d93-bfad-8a0516cbfdeb",
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"text": "screen provider may amend or discontinue its screening services and/or that the Manager may change the screen or screen"
},
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"x": 48,
"y": 409
},
"id": "cf4ecad6-7f43-4448-b439-3796ae6ba0c1",
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"text": "provider. In such circumstances, there is no guarantee that a replacement screen provided would result in a similar screening"
},
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"x": 48,
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},
"id": "ca07ddd8-91e6-47fe-aa0b-d840b912aa3c",
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"text": "process or would be available."
},
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"x": 47,
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},
"id": "f6a2876a-409f-44a4-9663-25e3d80ea30f",
"page_number": 4,
"text": "Currency Hedging Risk:"
},
{
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},
"id": "3bacf5e3-0cba-4541-afbf-91a2575567d5",
"page_number": 4,
"text": "There can be no assurance that the Fund\u0027s hedging transactions will be effective. By seeking to"
},
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},
"id": "3655595a-41e0-43dd-a482-1c2b0239419e",
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"text": "reduce or eliminate losses caused by exchange rate fluctuations, hedging may also reduce or eliminate gains."
},
{
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},
"id": "245028ec-eb3f-430f-9a46-158dc81367a8",
"page_number": 4,
"text": "Index Tracking Risk:"
},
{
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"x": 217,
"y": 480
},
"id": "364b71d5-bbf1-4067-906f-742a68254f61",
"page_number": 4,
"text": "The Fund\u0027s performance may not exactly track the Index. This can result from market fluctuations,"
},
{
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},
"id": "a5ce1052-c98f-48ed-9663-61bb8eb5ce2f",
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"text": "changes in the composition of the Index, transaction costs, the costs of making changes to the Fund\u0027s portfolio and other Fund"
},
{
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},
"id": "e97ec65a-7e62-4877-9e66-da169790f88c",
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"text": "expenses."
},
{
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},
"id": "ff48a648-fa7f-4569-9ac7-f2f1822fe89d",
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"text": "Please refer to the Prospectus for full details about the risks associated with this Fund."
},
{
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"text": "Derivatives Usage"
},
{
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},
"id": "c92318b4-5efe-4cda-b192-63dea71cacd7",
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"text": "Derivatives are used in the Fund for efficient portfolio management purposes. The Fund invests in index futures to manage"
},
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"id": "f2c8e121-f671-491c-ad17-b5304a42888b",
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"text": "client inflows and outflows and to hedge accrued income. At all times the futures exposure is covered entirely by cash or cash"
},
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"id": "57a5707a-8634-43c4-ac1c-26617894f7c9",
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"text": "equivalents."
},
{
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"id": "1a038457-604b-447d-9b67-729f609592e8",
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"text": "As at 30 June 2026, the Fund had no exposure to futures contracts."
},
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"text": "Tracking Error"
},
{
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"id": "76c3eb0e-4378-45ef-866b-31ad2e860272",
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"text": "The Tracking Error measures the standard deviation of the relative returns. It is the annualised standard deviation of the"
},
{
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"id": "b6851c78-0087-44b7-9c25-7130b8ab08a0",
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"text": "returns of a fund minus those of its benchmark (relative returns) and not the standard deviation of each fund\u2019s unique returns."
},
{
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"text": "The lower the tracking error of a fund, the more the fund resembles its benchmark or the market regarding risk and return"
},
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"text": "characteristics."
},
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"id": "c54da5be-e8a8-47a1-b092-709122191364",
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"text": "As the Fund has been in operation for less than one year as at 30 June 2026, a tracking error for the one-year period is not"
},
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"id": "2f7e8c64-dceb-4495-b832-916d921ec3eb",
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"text": "available."
},
{
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"id": "cd0c5c53-4afe-4a86-8475-8fedc75a5c26",
"page_number": 4,
"text": "State Street AUT Global Treasury 5-15 Year Bond Index Fund"
},
{
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"id": "f8e11602-5cb3-4696-9ec2-09bed87d00cb",
"page_number": 4,
"text": "Interim Report and Unaudited Financial Statements 2026"
},
{
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"id": "d399e341-79ce-4991-92e7-5138062b0204",
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"text": "Manager\u0027s Report (continued)"
},
{
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"id": "90430220-3a63-4d92-b5e3-6574838a0455",
"page_number": 4,
"text": "For the first Reporting Period from 6th October 2025 (launch date) to 30th June 2026."
},
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"x": 496,
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"id": "5f0e1a65-a888-4253-bff2-b0f2e0b93ad8",
"page_number": 4,
"text": "2"
},
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"id": "a76f45ee-d0cf-41ec-bd74-bb4c631402f3",
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"text": "Nominal"
},
{
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"x": 724,
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},
"id": "61e4e8aa-9575-4bd7-bf6e-bbc4c0b0a118",
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"text": "Market Value"
},
{
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"x": 785,
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},
"id": "11ee446b-f50d-4e08-8ccb-5accc882eb1c",
"page_number": 5,
"text": "\u00a3\u0027000"
},
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"width": 77,
"x": 873,
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},
"id": "e6ed9a9d-8dc5-41e7-8691-c8fce451ed72",
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"text": "% of Total"
},
{
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"box": {
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"width": 84,
"x": 867,
"y": 174
},
"id": "82e58680-6e0b-4d4e-b3ea-754425f33dc1",
"page_number": 5,
"text": "Net Assets"
},
{
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"width": 246,
"x": 47,
"y": 222
},
"id": "9fa24d91-fbef-4c59-af02-aaf3b4fa8b8c",
"page_number": 5,
"text": "Government Bonds \u2014 100.46%"
},
{
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"box": {
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"width": 133,
"x": 47,
"y": 249
},
"id": "e5ccd0f7-dfa2-494d-b017-a612f6e875ab",
"page_number": 5,
"text": "Canada \u2014 2.87%"
},
{
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"width": 904,
"x": 47,
"y": 269
},
"id": "31d1c141-272b-4af0-ae9c-b0237380dc84",
"page_number": 5,
"text": "Canada Government Bonds 1.500% 01/06/2031 CAD 2,810,000 1,390 0.04"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 904,
"x": 47,
"y": 288
},
"id": "ee6a4be1-7c7c-47a0-9c05-ca0d017e6cc3",
"page_number": 5,
"text": "Canada Government Bonds 1.500% 01/12/2031 CAD 10,620,000 5,204 0.16"
},
{
"block_type": "box",
"box": {
"height": 10,
"width": 904,
"x": 47,
"y": 308
},
"id": "bd4a24a6-1716-4c74-8191-145c167f9a67",
"page_number": 5,
"text": "Canada Government Bonds 2.000% 01/06/2032 CAD 16,240,000 8,117 0.25"
},
{
"block_type": "box",
"box": {
"height": 10,
"width": 904,
"x": 47,
"y": 328
},
"id": "98dc70bb-9ff0-4ad5-bf25-745f8b7d24e9",
"page_number": 5,
"text": "Canada Government Bonds 2.500% 01/12/2032 CAD 14,840,000 7,593 0.24"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 903,
"x": 47,
"y": 347
},
"id": "05ddeb55-ee9e-4edb-81d0-b2cdbe2a9c9f",
"page_number": 5,
"text": "Canada Government Bonds 2.750% 01/06/2033 CAD 19,590,000 10,140 0.32"
},
{
"block_type": "box",
"box": {
"height": 10,
"width": 904,
"x": 47,
"y": 367
},
"id": "7ddb058a-ae94-48dc-8daa-173616832c11",
"page_number": 5,
"text": "Canada Government Bonds 3.000% 01/09/2031 CAD 2,100,000 1,113 0.03"
},
{
"block_type": "box",
"box": {
"height": 10,
"width": 904,
"x": 47,
"y": 387
},
"id": "d0bf0ab0-b37d-449d-96aa-0db5e539ee54",
"page_number": 5,
"text": "Canada Government Bonds 3.000% 01/03/2032 CAD 8,820,000 4,669 0.15"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 904,
"x": 47,
"y": 406
},
"id": "d1196fd3-23e1-43ff-b8a4-6fd8bd270190",
"page_number": 5,
"text": "Canada Government Bonds 3.000% 01/06/2034 CAD 14,580,000 7,618 0.24"
},
{
"block_type": "box",
"box": {
"height": 10,
"width": 904,
"x": 47,
"y": 426
},
"id": "78857255-aff9-4a9a-9c3a-3f09b8bff80d",
"page_number": 5,
"text": "Canada Government Bonds 3.250% 01/12/2033 CAD 14,100,000 7,515 0.23"
},
{
"block_type": "box",
"box": {
"height": 10,
"width": 904,
"x": 47,
"y": 446
},
"id": "63bc095e-43ee-4d63-b485-5285b3a6bbc2",
"page_number": 5,
"text": "Canada Government Bonds 3.250% 01/12/2034 CAD 11,840,000 6,284 0.20"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 904,
"x": 47,
"y": 465
},
"id": "60ede6dd-ee76-45cf-a0f6-01359a1a7fb4",
"page_number": 5,
"text": "Canada Government Bonds 3.250% 01/06/2035 CAD 18,160,000 9,611 0.30"
},
{
"block_type": "box",
"box": {
"height": 10,
"width": 904,
"x": 47,
"y": 485
},
"id": "e146e2a1-89ce-4633-aab3-313ba1c05b5c",
"page_number": 5,
"text": "Canada Government Bonds 3.250% 01/12/2035 CAD 24,320,000 12,828 0.40"
},
{
"block_type": "box",
"box": {
"height": 10,
"width": 901,
"x": 47,
"y": 505
},
"id": "98562eb1-8c9e-424f-bb6a-99541ce36764",
"page_number": 5,
"text": "Canada Government Bonds 3.250% 01/03/2036 CAD 400,000 211 0.01"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 901,
"x": 47,
"y": 524
},
"id": "df9443be-f435-4095-84b3-1ffe30021199",
"page_number": 5,
"text": "Canada Government Bonds 3.250% 01/06/2036 CAD 6,980,000 3,670 0.11"
},
{
"block_type": "box",
"box": {
"height": 10,
"width": 904,
"x": 47,
"y": 544
},
"id": "15069006-9ed7-43ef-9c3b-e5157c8fe351",
"page_number": 5,
"text": "Canada Government Bonds 3.500% 01/03/2034 CAD 7,780,000 4,210 0.13"
},
{
"block_type": "box",
"box": {
"height": 10,
"width": 904,
"x": 47,
"y": 564
},
"id": "c90c2c35-7986-4c16-ad0b-ecbf551f034d",
"page_number": 5,
"text": "Canada Government Bonds 5.000% 01/06/2037 CAD 1,450,000 881 0.03"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 904,
"x": 47,
"y": 583
},
"id": "57d6be27-a6c0-4615-8fd0-49226d41f3c2",
"page_number": 5,
"text": "Canada Government Bonds 5.750% 01/06/2033 CAD 1,420,000 874 0.03"
},
{
"block_type": "box",
"box": {
"height": 10,
"width": 176,
"x": 775,
"y": 611
},
"id": "391bacfc-01ce-4f43-abf0-d2522db84ab6",
"page_number": 5,
"text": "91,928 2.87"
},
{
"block_type": "box",
"box": {
"height": 9,
"width": 126,
"x": 48,
"y": 660
},
"id": "9c9344a6-ab4f-4fb5-b850-9f8030e77747",
"page_number": 5,
"text": "France \u2014 9.53%"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 903,
"x": 48,
"y": 679
},
"id": "ad9d82b3-ce6d-4969-a381-8d8a13f2f437",
"page_number": 5,
"text": "French Republic Government Bonds OAT 0.010% 25/11/2031 EUR 19,440,000 14,270 0.45"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 903,
"x": 48,
"y": 699
},
"id": "121205a0-1a1e-4aa3-b080-a7e27982501b",
"page_number": 5,
"text": "French Republic Government Bonds OAT 0.010% 25/05/2032 EUR 22,380,000 16,119 0.50"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 903,
"x": 48,
"y": 719
},
"id": "97dc04d4-d382-4cc8-9864-7002bfa17c0a",
"page_number": 5,
"text": "French Republic Government Bonds OAT 0.500% 25/05/2040 EUR 9,780,000 5,366 0.17"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 903,
"x": 48,
"y": 738
},
"id": "261612eb-292c-48d1-90d8-90486331e4f5",
"page_number": 5,
"text": "French Republic Government Bonds OAT 1.250% 25/05/2034 EUR 37,420,000 27,605 0.86"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 900,
"x": 48,
"y": 758
},
"id": "f21d5791-10b2-47b8-ae58-fa884f13cf8b",
"page_number": 5,
"text": "French Republic Government Bonds OAT 1.250% 25/05/2036 EUR 23,340,000 16,257 0.51"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 903,
"x": 48,
"y": 778
},
"id": "7f143973-5cda-43d1-932a-1fd765452f96",
"page_number": 5,
"text": "French Republic Government Bonds OAT 1.250% 25/05/2038 EUR 11,030,000 7,226 0.23"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 902,
"x": 48,
"y": 797
},
"id": "f43a76b2-3277-4ddd-98a9-2f1f016d52e6",
"page_number": 5,
"text": "French Republic Government Bonds OAT 1.750% 25/06/2039 EUR 19,820,000 13,486 0.42"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 903,
"x": 48,
"y": 817
},
"id": "27ac3514-fdb5-4500-b8ed-c75ec0564a66",
"page_number": 5,
"text": "French Republic Government Bonds OAT 2.000% 25/11/2032 EUR 34,170,000 27,503 0.86"
...