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State Street AUT Emerging Market
Tilted 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* 32
Manager's Statement of Responsibilities 33
Statement of the Depositary’s Responsibilities 34
Independent Auditors’ Report 35
Comparative Table* 38
Financial statements: 39
Statement of Total Return 39
Statement of Change in Net Assets Attributable to Unitholders 39
Balance Sheet 40
Notes to the Financial Statements 41
Distribution Tables 65
Directory* 66
Appendix I – Remuneration Policy (Unaudited) 68
* These collectively comprise the Manager’s Report.
State Street AUT Emerging Market Tilted Index Equity Fund
Annual Report and Audited Financial Statements 2025
Page 3
Authorised Status The State Street AUT Emerging Market Tilted 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 Robeco Scottish Widows Emerging Markets Equity Sustainability Tilted Index (the "Robeco Index"), net of withholding taxes (or its recognised replacement or equivalent).
The Manager will seek to achieve this objective principally by investing in the shares of certain companies included from time to time in the Index considered by the Investment Adviser to reflect accurately the performance of 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 objective of the Robeco Index is to reflect the return of the Selection Factors as described below via investing in global emerging markets (as determined by Robeco).
Selection Factors
The Robeco Index:
(i) seeks exposure to stocks that have positive environmental and societal contributions, underpinned by the United Nations Sustainable Development Goals (“UN SDGs”) and
(ii) seeks to significantly reduce carbon footprint of the Robeco Index relative to the S&P Emerging Plus (Korea) LargeMidCap Index (the “Parent Index”) whilst tilting towards the transition leaders and high quality companies as determined by Robeco using its proprietary climate criteria and Robeco Quality factor (the “Investable Universe”).
The Investable Universe is screened based on exclusion criteria as determined by Robeco within its screening methodology (the “ Robeco Negative Screen”).
The Robeco Negative Screen includes the following criteria which will be applied to the Investable Universe at the point of rebalance of the Robeco Index:
-Tobacco, determined as %* Value Revenue Chain (as defined by Robeco);
-Thermal Coal (excluding generation), determined as %* of Revenue (as defined by Robeco) Tar Sands, determined as %* Revenue (as defined by Robeco);
-UN Global Compact Violators (any involvement as determined by Robeco);
-Controversial Weapons (any involvement as determined by Robeco).
Performance The Fund returned 20.13% on a net basis for the 1 year period ended 31 December 2025 (the “Reporting Period”), compared to the Index return of 21.29%. The size of the Fund’s tracking difference for the Reporting Period was -1.16%; the underperformance versus the Index was largely attributable to benchmark change in March and Indian CGT accrual. The Fund realised an ex-post 1-year tracking error of 0.82% against the benchmark index.
Note: Performance returns presented above are in GBP.
State Street AUT Emerging Market Tilted Index Equity Fund
Annual Report and Audited Financial Statements 2025
Manager’s Report
For the year ended 31st December 2025
1
Page 4
Risk and Reward Profile
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.
People's Republic of China (PRC) and Greater China Investments Risk: Risks of investing in PRC and Greater China Investments include, among others, trading suspensions, currency transfer/exposure restrictions, limits on holdings of PRC Investments and use of brokers, untested concepts regarding treatment of beneficial ownership, reliance on Access Programmes which may be discontinued or substantially changed, custody risks including lack of sufficient segregation of assets from those of the RQFII licence holder and Sub-Custodian and tax uncertainty.
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.
State Street AUT Emerging Market Tilted Index Equity Fund
Annual Report and Audited Financial Statements 2025
Manager's Report (continued)
For the year ended 31st December 2025
2
Page 5
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 £80,116,294 (1.14% 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 0.82% which was within the targeted tolerance.
State Street AUT Emerging Market Tilted 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
Belgium — 0.13% (31.12.2024 — 0.03%) Cenergy Holdings SA 225,179 2,946 0.04 Titan SA 126,442 5,796 0.09
8,742 0.13
Brazil — 4.41% (31.12.2024 — 3.06%) Ambev SA 6,530,200 12,280 0.18 Axia Energia 1,324,000 9,018 0.13 Axia Energia 'B' Shares 460,300 3,272 0.05 Axia Energia 'C' Shares 117,373 781 0.01 B3 SA - Brasil Bolsa Balcao 7,967,800 15,005 0.21 Banco Bradesco SA 3,037,415 6,429 0.09 Banco Bradesco SA Preference Shares 7,192,820 17,751 0.25 Banco do Brasil SA 4,151,600 12,347 0.18 Banco Santander Brasil SA 979,500 4,493 0.06 BB Seguridade Participacoes SA 1,283,300 6,292 0.09 Caixa Seguridade Participacoes SA 1,610,200 3,629 0.05 Cia Energetica de Minas Gerais 1,197,000 2,387 0.03 Cia Energetica de Minas Gerais Preference Shares 3,907,725 5,938 0.08 CPFL Energia SA 685,600 4,956 0.07 CSN Mineracao SA 2,573,700 1,903 0.03 Engie Brasil Energia SA 974,200 4,146 0.06 Gerdau SA 2,539,360 7,022 0.10 Itau Unibanco Holding SA 1,247,227 6,151 0.09 Itau Unibanco Holding SA Preference Shares 6,388,564 34,003 0.49 Itausa SA 967,429 1,532 0.02 Klabin SA 1,933,614 4,922 0.07 Neoenergia SA 873,000 3,834 0.05 NU Holdings Ltd. 3,283,100 40,885 0.58 Petroleo Brasileiro SA - Petrobras 1,434,300 6,338 0.09 Petroleo Brasileiro SA - Petrobras Preference Shares 2,042,100 8,539 0.12 Porto Seguro SA 587,500 3,852 0.06 Raia Drogasil SA 2,739,356 8,708 0.12 Rede D'Or Sao Luiz SA 1,856,588 10,229 0.15 Rumo SA 2,277,400 4,558 0.07
State Street AUT Emerging Market Tilted 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
Brazil — 4.41% (31.12.2024 — 3.06%) (continued) Suzano SA 1,078,300 7,524 0.11 Telefonica Brasil SA 1,602,500 7,186 0.10 TIM SA 1,890,000 5,472 0.08 TOTVS SA 1,151,800 6,573 0.09 Vale SA 1,862,600 18,180 0.26 WEG SA 2,010,800 13,234 0.19
309,369 4.41
Chile — 0.66% (31.12.2024 — 0.60%) Banco de Chile 77,484,559 11,073 0.16 Banco Santander Chile 129,872,663 7,524 0.11 Empresas CMPC SA 3,435,923 3,956 0.06 Enel Americas SA 49,106,002 3,468 0.05 Enel Chile SA 71,573,133 4,320 0.06 Quinenco SA 478,479 1,724 0.02 Sociedad Quimica y Minera de Chile SA 275,371 14,408 0.20
46,473 0.66
China — 28.05% (31.12.2024 — 25.89%) 37 Interactive Entertainment Network Technology Group Co. Ltd. 1,050,100 2,637 0.04 3SBio, Inc. 2,867,500 6,623 0.09 Accelink Technologies Co. Ltd. 379,800 2,826 0.04 Agricultural Bank of China Ltd. 11,698,000 6,458 0.09 Aier Eye Hospital Group Co. Ltd. 2,593,982 3,027 0.04 AIMA Technology Group Co. Ltd. 533,300 1,685 0.02 Alibaba Group Holding Ltd. 13,476,600 183,821 2.62 All Winner Technology Co. Ltd. 415,753 1,859 0.03 Amlogic Shanghai Co. Ltd. 227,763 2,114 0.03 Anker Innovations Technology Co. Ltd. 233,900 2,837 0.04 ANTA Sports Products Ltd. 1,589,600 12,223 0.17 ApicHope Pharmaceutical Group Co. Ltd. 407,500 1,454 0.02 Ascletis Pharma, Inc. 1,566,000 1,698 0.02 ASR Microelectronics Co. Ltd. 244,407 2,148 0.03
State Street AUT Emerging Market Tilted 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
China — 28.05% (31.12.2024 — 25.89%) (continued) Autel Intelligent Technology Corp. Ltd. 581,234 2,276 0.03 Autobio Diagnostics Co. Ltd. 339,900 1,281 0.02 Baidu, Inc. 1,018,050 12,787 0.18 Bank of China Ltd. 43,045,000 18,297 0.26 Bank of Chongqing Co. Ltd. 1,704,000 1,278 0.02 Bank of Communications Co. Ltd. 7,678,000 4,716 0.07 Bank of Qingdao Co. Ltd. 'A' Shares 3,615,450 1,723 0.02 Bank of Qingdao Co. Ltd. 'H' Shares 4,365,000 1,601 0.02 Bank of Xi'an Co. Ltd. 4,019,100 1,578 0.02 Baoshan Iron & Steel Co. Ltd. 4,886,600 3,873 0.06 Beijing Aosaikang Pharmaceutical Co. Ltd. 788,100 1,369 0.02 Beijing Hotgen Biotech Co. Ltd. 102,976 1,775 0.03 Beijing Sifang Automation Co. Ltd. 740,000 2,368 0.03 Bilibili, Inc. 508,400 9,348 0.13 Bloomage Biotechnology Corp. Ltd. 262,983 1,222 0.02 Blue Moon Group Holdings Ltd. 7,190,000 1,841 0.03 Bluestar Adisseo Co. 1,864,200 1,779 0.03 Bohai Leasing Co. Ltd. 5,205,500 2,243 0.03 BYD Co. Ltd. 'A' Shares 757,500 7,875 0.11 BYD Co. Ltd. 'H' Shares 3,846,300 34,994 0.50 By-health Co. Ltd. 1,161,163 1,484 0.02 Canmax Technologies Co. Ltd. 704,230 4,092 0.06 CECEP Solar Energy Co. Ltd. 2,681,800 1,264 0.02 CECEP Wind-Power Corp. 4,534,520 1,423 0.02 CETC Potevio Science&Technology Co. Ltd. 653,600 2,398 0.03 Changchun High-Tech Industry Group Co. Ltd. 174,300 1,716 0.02 Chengdu Kanghong Pharmaceutical Group Co. Ltd. 720,800 2,298 0.03 Chifeng Jilong Gold Mining Co. Ltd. 853,200 2,835 0.04 China Communications Services Corp. Ltd. 7,014,000 3,001 0.04 China Construction Bank Corp. 62,498,000 45,907 0.66 China Datang Corp. Renewable Power Co. Ltd. 11,883,000 2,327 0.03 China Feihe Ltd. 10,127,000 3,927 0.06 China Life Insurance Co. Ltd. 2,762,000 7,223 0.10 China Literature Ltd. 1,313,400 4,137 0.06 China Medical System Holdings Ltd. 3,818,000 4,704 0.07
State Street AUT Emerging Market Tilted 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
China — 28.05% (31.12.2024 — 25.89%) (continued) China Mengniu Dairy Co. Ltd. 4,752,000 6,745 0.10 China Merchants Bank Co. Ltd. 'A' Shares 366,700 1,642 0.02 China Merchants Bank Co. Ltd. 'H' Shares 1,286,000 6,486 0.09 China Oilfield Services Ltd. A' Shares 1,023,000 1,527 0.02 China Oilfield Services Ltd. 'H' Shares 5,616,000 3,750 0.05 China Pacific Insurance Group Co. Ltd. 'H' Shares 3,933,400 13,225 0.19 China Pacific Insurance Group Co. Ltd.'A' Shares 1,245,700 5,553 0.08 China Reinsurance Group Corp. 25,268,000 4,055 0.06 China Resources Double Crane Pharmaceutical Co. Ltd. 668,000 1,300 0.02 China Resources Pharmaceutical Group Ltd. 6,858,000 2,915 0.04 China Resources Sanjiu Medical & Pharmaceutical Co. Ltd. 165,893 502 0.01 China South Publishing & Media Group Co. Ltd. 1,264,884 1,515 0.02 China Southern Power Grid Energy Storage Co. Ltd. 1,799,500 2,406 0.03 China Southern Power Grid Technology Co. Ltd. 442,896 2,106 0.03 China Three Gorges Renewables Group Co. Ltd. 6,755,300 2,939 0.04 China Tourism Group Duty Free Corp. Ltd. 'A' Shares 466,800 4,696 0.07 China Tourism Group Duty Free Corp. Ltd. 'H' Shares 442,000 3,327 0.05 China XD Electric Co. Ltd. 2,125,600 2,056 0.03 China Yangtze Power Co. Ltd. 3,085,900 8,923 0.13 Chongqing Brewery Co. Ltd. 260,900 1,450 0.02 CITIC Ltd. 1,308,000 1,505 0.02 Citic Pacific Special Steel Group Co. Ltd. 1,905,171 3,316 0.05 CMOC Group Ltd. 'A' Shares 3,026,000 6,435 0.09 CMOC Group Ltd. 'H' Shares 5,418,000 9,957 0.14 CNGR Advanced Material Co. Ltd. 453,780 2,237 0.03 CNOOC Energy Technology & Services Ltd. 3,495,800 1,424 0.02 COL Group Co. Ltd. 638,700 1,706 0.02 Contemporary Amperex Technology Co. Ltd. 489,200 19,114 0.27 COSCO SHIPPING Holdings Co. Ltd. 5,702,500 7,490 0.11 CSI Solar Co. Ltd. 1,581,817 2,508 0.04 CSPC Pharmaceutical Group Ltd. 12,278,000 9,886 0.14 DaShenLin Pharmaceutical Group Co. Ltd. 921,917 1,728 0.02 Deppon Logistics Co. Ltd. 848,300 1,234 0.02 Dongfang Electronics Co. Ltd. 1,113,300 1,404 0.02 East Buy Holding Ltd. 1,491,500 2,552 0.04
State Street AUT Emerging Market Tilted 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
China — 28.05% (31.12.2024 — 25.89%) (continued) Eastcompeace Technology Co. Ltd. 842,756 1,999 0.03 Easyhome New Retail Group Co. Ltd. 5,213,700 1,614 0.02 ENN Natural Gas Co. Ltd. 1,152,700 2,546 0.04 Estun Automation Co. Ltd. 733,400 1,849 0.03 Eve Energy Co. Ltd. 542,700 3,796 0.05 FinVolution Group 492,900 1,909 0.03 Foxconn Industrial Internet Co. Ltd. 2,295,500 15,154 0.22 Fujian Cosunter Pharmaceutical Co. Ltd. 164,900 1,564 0.02 Fujian Star-net Communication Co. Ltd. 660,900 2,130 0.03 Fulin Precision Co. Ltd. 1,299,500 2,307 0.03 Gambol Pet Group Co. Ltd. 194,800 1,350 0.02 Ganfeng Lithium Group Co. Ltd. 'A' Shares 663,120 4,436 0.06 Ganfeng Lithium Group Co. Ltd. 'H' Shares 1,466,840 7,279 0.10 GCL Energy Technology Co. Ltd. 1,893,000 2,002 0.03 Giant Biogene Holding Co. Ltd. 1,275,400 4,042 0.06 GigaDevice Semiconductor, Inc. 237,860 5,422 0.08 Ginlong Technologies Co. Ltd. 293,850 2,232 0.03 Glodon Co. Ltd. 1,003,570 1,342 0.02 Goldwind Science & Technology Co. Ltd. 'A' Shares 1,685,800 3,657 0.05 Goldwind Science & Technology Co. Ltd. 'H' Shares 3,259,400 4,175 0.06 Goneo Group Co. Ltd. 494,386 2,148 0.03 Guangdong Construction Engineering Group Co. Ltd. 4,851,000 1,853 0.03 Guangdong Provincial Expressway Development Co. Ltd. 1,251,972 1,040 0.02 Guangdong Zhongsheng Pharmaceutical Co. Ltd. 882,600 1,782 0.03 Guangxi Guiguan Electric Power Co. Ltd. 2,522,370 2,101 0.03 Guangzhou Automobile Group Co. Ltd. 10,382,000 4,046 0.06 Guangzhou Kingmed Diagnostics Group Co. Ltd. 460,100 1,388 0.02 Guangzhou Tinci Materials Technology Co. Ltd. 961,980 4,741 0.07 Haidilao International Holding Ltd. 3,564,000 4,834 0.07 Haier Smart Home Co. Ltd. 356,600 827 0.01 Hainan Strait Shipping Co. Ltd. 1,567,900 2,028 0.03 Haisco Pharmaceutical Group Co. Ltd. 575,000 3,138 0.05 Hangzhou First Applied Material Co. Ltd. 1,334,100 1,981 0.03 Hangzhou Tigermed Consulting Co. Ltd. 'A' Shares 455,702 2,748 0.04 Hangzhou Tigermed Consulting Co. Ltd. 'H' Shares 666,500 2,708 0.04
State Street AUT Emerging Market Tilted 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
China — 28.05% (31.12.2024 — 25.89%) (continued) Han's Laser Technology Industry Group Co. Ltd. 609,300 2,670 0.04 Hansoh Pharmaceutical Group Co. Ltd. 2,426,000 8,356 0.12 Hebei Yangyuan Zhihui Beverage Co. Ltd. 782,569 2,394 0.03 Hefei Meiya Optoelectronic Technology, Inc. 860,060 1,882 0.03 Henan Pinggao Electric Co. Ltd. 821,400 1,515 0.02 Hengbao Co. Ltd. 969,600 2,229 0.03 Hengdian Group DMEGC Magnetics Co. Ltd. 1,390,300 2,884 0.04 Huadong Medicine Co. Ltd. 611,700 2,567 0.04 Huaxin Building Materials Group Co. Ltd. 'A' Shares 1,025,900 2,677 0.04 Huaxin Building Materials Group Co. Ltd. 'H' Shares 2,132,700 3,661 0.05 Huizhou Desay Sv Automotive Co. Ltd. 236,700 3,029 0.04 Hunan Gold Corp. Ltd. 1,042,244 2,337 0.03 Hybio Pharmaceutical Co. Ltd. 745,900 1,420 0.02 Imeik Technology Development Co. Ltd. 144,241 2,174 0.03 Industrial & Commercial Bank of China Ltd. 41,468,000 24,875 0.36 Ingenic Semiconductor Co. Ltd. 300,000 3,384 0.05 Inner Mongolia Yili Industrial Group Co. Ltd. 1,483,600 4,513 0.06 Innovent Biologics, Inc. 2,234,000 16,260 0.23 Isoftstone Information Technology Group Co. Ltd. 493,575 2,491 0.04 JA Solar Technology Co. Ltd. 1,936,079 2,356 0.03 Jafron Biomedical Co. Ltd. 483,100 1,010 0.01 JCET Group Co. Ltd. 552,700 2,163 0.03 JD Health International, Inc. 2,091,400 11,087 0.16 JD Logistics, Inc. 4,138,800 4,511 0.06 JD.com, Inc. 3,145,535 33,501 0.48 Jiangsu Changshu Rural Commercial Bank Co. Ltd. 2,394,140 1,793 0.03 Jiangsu Hengrui Pharmaceuticals Co. Ltd. 1,027,620 6,513 0.09 Jiangsu Leili Motor Co. Ltd. 387,700 2,261 0.03 Jiangsu Nata Opto-electronic Material Co. Ltd. 479,560 2,188 0.03 Jiangsu Nhwa Pharmaceutical Co. Ltd. 591,100 1,517 0.02 Jiangsu Yuyue Medical Equipment & Supply Co. Ltd. 473,000 1,923 0.03 Jiangsu Zhongtian Technology Co. Ltd. 1,206,900 2,325 0.03 Jiangzhong Pharmaceutical Co. Ltd. 639,700 1,577 0.02 Jinduicheng Molybdenum Co. Ltd. 1,500,957 2,488 0.04 Jinko Solar Co. Ltd. 4,385,813 2,632 0.04
State Street AUT Emerging Market Tilted 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
China — 28.05% (31.12.2024 — 25.89%) (continued) Joincare Pharmaceutical Group Industry Co. Ltd. 1,228,000 1,508 0.02 Jointown Pharmaceutical Group Co. Ltd. 3,516,000 1,915 0.03 Kanzhun Ltd. 583,800 8,841 0.13 Kingdee International Software Group Co. Ltd. 6,082,000 7,715 0.11 Kingfa Sci & Tech Co. Ltd. 1,295,600 2,692 0.04 Kuaishou Technology 3,293,000 20,099 0.29 Kweichow Moutai Co. Ltd. 42,600 6,242 0.09 Lao Feng Xiang Co. Ltd. 399,783 1,026 0.01 LB Group Co. Ltd. 981,000 2,044 0.03 Lenovo Group Ltd. 11,132,000 9,836 0.14 Li Auto, Inc. 1,718,300 10,636 0.15 Li Ning Co. Ltd. 4,272,500 7,615 0.11 Livzon Pharmaceutical Group, Inc. 'A' Shares 427,700 1,568 0.02 Livzon Pharmaceutical Group, Inc. 'H' Shares 749,700 2,034 0.03 Longshine Technology Group Co. Ltd. 1,209,854 1,958 0.03 Lufax Holding Ltd. 1,411,000 2,675 0.04 Luxshare Precision Industry Co. Ltd. 1,152,200 6,950 0.10 Maanshan Iron & Steel Co. Ltd. 12,136,000 2,898 0.04 Meihua Holdings Group Co. Ltd. 1,679,800 1,810 0.03 Meinian Onehealth Healthcare Holdings Co. Ltd. 3,077,700 1,726 0.02 Meituan 5,599,400 55,196 0.79 Montage Technology Co. Ltd. 364,515 4,568 0.07 MotoMotion China Corp. 189,900 1,915 0.03 Nanjing King-Friend Biochemical Pharmaceutical Co. Ltd. 983,167 945 0.01 Nanjing Tanker Corp. 4,092,900 1,315 0.02 Nantong Jianghai Capacitor Co. Ltd. 732,400 2,313 0.03 NARI Technology Co. Ltd. 1,988,335 4,753 0.07 NetEase, Inc. 2,046,900 41,958 0.60 New China Life Insurance Co. Ltd. 'A' Shares 583,400 4,326 0.06 New China Life Insurance Co. Ltd. 'H' Shares 1,822,500 9,461 0.14 New Hope Liuhe Co. Ltd. 1,909,000 1,873 0.03 New Oriental Education & Technology Group, Inc. 2,245,000 9,054 0.13 Newland Digital Technology Co. Ltd. 773,100 2,328 0.03 Ninestar Corp. 629,300 1,353 0.02 Ningbo Deye Technology Co. Ltd. 330,809 3,033 0.04
State Street AUT Emerging Market Tilted 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
China — 28.05% (31.12.2024 — 25.89%) (continued) Ningbo Orient Wires & Cables Co. Ltd. 300,400 1,910 0.03 Ningbo Sanxing Medical Electric Co. Ltd. 945,900 2,317 0.03 Ningbo Zhongda Leader Intelligent Transmission Co. Ltd. 219,220 2,084 0.03 NIO, Inc. 3,029,420 11,847 0.17 Northking Information Technology Co. Ltd. 962,700 2,204 0.03 Offcn Education Technology Co. Ltd. 5,944,700 1,733 0.02 PDD Holdings, Inc. 766,300 64,572 0.92 People's Insurance Co. Group of China Ltd. 'A' Shares 3,046,200 2,897 0.04 People's Insurance Co. Group of China Ltd. 'H' Shares 16,679,000 10,706 0.15 PICC Property & Casualty Co. Ltd. 9,986,000 15,605 0.22 Ping An Healthcare & Technology Co. Ltd. 2,917,000 3,923 0.06 Ping An Insurance Group Co. of China Ltd. 'A' Shares 1,453,500 10,576 0.15 Ping An Insurance Group Co. of China Ltd. 'H' Shares 7,002,000 43,574 0.62 Pop Mart International Group Ltd. 1,053,800 18,893 0.27 Proya Cosmetics Co. Ltd. 255,275 1,860 0.03 Qfin Holdings, Inc. 235,000 3,365 0.05 Qingdao TGOOD Electric Co. Ltd. 863,200 2,358 0.03 Qinghai Salt Lake Industry Co. Ltd. 1,716,800 5,142 0.07 Remegen Co. Ltd. 217,176 1,797 0.03 Rockchip Electronics Co. Ltd. 198,400 3,763 0.05 Sai Micro Electronics, Inc. 426,100 2,536 0.04 Sangfor Technologies, Inc. 207,000 2,536 0.04 Sany Renewable Energy Co. Ltd. 779,135 2,091 0.03 Sensteed Hi-tech Group 9,630,500 4,262 0.06 Servyou Software Group Co. Ltd. 351,014 2,058 0.03 SF Holding Co. Ltd. 919,600 3,749 0.05 Shandong Buchang Pharmaceuticals Co. Ltd. 830,904 1,383 0.02 Shandong Iron & Steel Co. Ltd. 12,551,500 2,003 0.03 Shanghai Allist Pharmaceuticals Co. Ltd. 294,311 3,261 0.05 Shanghai Chicmax Cosmetic Co. Ltd. 337,300 2,339 0.03 Shanghai Construction Group Co. Ltd. 7,502,900 2,115 0.03 Shanghai Electric Wind Power Group Co. Ltd. 1,188,806 2,151 0.03 Shanghai Flyco Electrical Appliance Co. Ltd. 326,456 1,503 0.02 Shanghai Fudan Microelectronics Group Co. Ltd. 'A' Shares 360,352 2,825 0.04 Shanghai Fudan Microelectronics Group Co. Ltd. 'H' Shares 901,000 3,900 0.06
State Street AUT Emerging Market Tilted 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
China — 28.05% (31.12.2024 — 25.89%) (continued) Shanghai Jinjiang Shipping Group Co. Ltd. 1,494,300 1,774 0.03 Shanghai M&G Stationery, Inc. 711,300 2,048 0.03 Shanghai Mechanical & Electrical Industry Co. Ltd. 'A' Shares 710,600 2,268 0.03 Shanghai Mechanical & Electrical Industry Co. Ltd. 'B' Shares 827,681 978 0.01 Shanghai MicroPort MedBot Group Co. Ltd. 1,154,000 2,676 0.04 Shanghai Shyndec Pharmaceutical Co. Ltd. 1,061,986 1,140 0.02 Shanghai Tunnel Engineering Co. Ltd. 3,076,100 2,121 0.03 Shanghai Zhenhua Heavy Industries Co. Ltd. 6,312,096 1,295 0.02 Shanxi Taigang Stainless Steel Co. Ltd. 4,545,100 2,365 0.03 Shenyang Xingqi Pharmaceutical Co. Ltd. 212,852 1,592 0.02 Shenzhen Aisidi Co. Ltd. 1,411,000 1,888 0.03 Shenzhen Capchem Technology Co. Ltd. 413,440 2,305 0.03 Shenzhen Chipscreen Biosciences Co. Ltd. 625,048 1,942 0.03 Shenzhen Forms Syntron Information Co. Ltd. 572,100 2,363 0.03 Shenzhen Goodix Technology Co. Ltd. 79,200 666 0.01 Shenzhen Hepalink Pharmaceutical Group Co. Ltd. 'A' Shares 1,190,800 1,494 0.02 Shenzhen Hepalink Pharmaceutical Group Co. Ltd. 'H' Shares 2,955,000 1,468 0.02 Shenzhen Inovance Technology Co. Ltd. 655,400 5,253 0.08 Shenzhen Kingdom Sci-Tech Co. Ltd. 885,600 1,500 0.02 Shenzhen Mindray Bio-Medical Electronics Co. Ltd. 206,900 4,192 0.06 Shenzhen Transsion Holdings Co. Ltd. 359,574 2,531 0.04 Shenzhen Urban Transport Planning Center Co. Ltd. 695,400 1,978 0.03 Shijiazhuang Yiling Pharmaceutical Co. Ltd. 1,141,700 2,073 0.03 Siasun Robot & Automation Co. Ltd. 1,156,900 2,239 0.03 Sichuan Kelun Pharmaceutical Co. Ltd. 597,800 1,866 0.03 Simcere Pharmaceutical Group Ltd. 3,365,000 3,806 0.05 Sinopharm Group Co. Ltd. 2,916,800 5,402 0.08 Sinotruk Hong Kong Ltd. 1,871,000 4,918 0.07 Skshu Paint Co. Ltd. 596,072 2,934 0.04 Sungrow Power Supply Co. Ltd. 356,700 6,490 0.09 Sunresin New Materials Co. Ltd. 300,600 1,974 0.03 SUPCON Technology Co. Ltd. 426,553 2,239 0.03 Suzhou Centec Communications Co. Ltd. 156,260 2,352 0.03 TAL Education Group 964,600 7,817 0.11 Tasly Pharmaceutical Group Co. Ltd. 1,005,800 1,613 0.02
State Street AUT Emerging Market Tilted 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
China — 28.05% (31.12.2024 — 25.89%) (continued) TCL Electronics Holdings Ltd. 3,216,000 3,189 0.05 Tencent Holdings Ltd. 4,459,200 254,922 3.64 Tencent Music Entertainment Group 66,400 865 0.01 Tianqi Lithium Corp. 'A' Shares 585,300 3,448 0.05 Tianqi Lithium Corp. 'H' Shares 777,200 3,790 0.05 Tingyi Cayman Islands Holding Corp. 4,012,000 4,514 0.06 Tongcheng Travel Holdings Ltd. 2,717,200 5,824 0.08 Tonghua Golden-Horse Pharmaceutical Industry Co. Ltd. 891,300 2,606 0.04 Topchoice Medical Corp. 297,264 1,272 0.02 Topsports International Holdings Ltd. 9,901,000 2,743 0.04 Trip.com Group Ltd. 626,050 33,099 0.47 Uni-President China Holdings Ltd. 3,724,000 2,885 0.04 Vipshop Holdings Ltd. 638,000 8,386 0.12 Weichai Power Co. Ltd. 'A' Shares 1,812,300 3,314 0.05 Weichai Power Co. Ltd. 'H' Shares 4,316,000 7,763 0.11 Weilong Delicious Global Holdings Ltd. 2,509,000 2,696 0.04 Wingtech Technology Co. Ltd. 636,000 2,523 0.04 Wolong Electric Group Co. Ltd. 627,340 3,277 0.05 Wuhan Dameng Database Co. Ltd. 81,822 2,274 0.03 Wuliangye Yibin Co. Ltd. 550,900 6,209 0.09 WuXi AppTec Co. Ltd. 502,400 4,845 0.07 Wuxi Lead Intelligent Equipment Co. Ltd. 561,300 2,985 0.04 Xiamen Bank Co. Ltd. 2,533,600 1,976 0.03 Xiaomi Corp. 15,582,800 58,466 0.83 XPeng, Inc. 2,090,300 15,823 0.23 XTC New Energy Materials Xiamen Co. Ltd. 303,256 2,496 0.04 Xuji Electric Co. Ltd. 543,700 1,487 0.02 Yango Group Co. Ltd.~³ 30,800 - 0.00 Yangzhou Yangjie Electronic Technology Co. Ltd. 323,200 2,338 0.03 Yankershop Food Co. Ltd. 258,700 1,880 0.03 Yealink Network Technology Corp. Ltd. 673,411 2,553 0.04 Yifeng Pharmacy Chain Co. Ltd. 866,608 2,002 0.03 Yunnan Baiyao Group Co. Ltd. 470,940 2,844 0.04 Yunnan Botanee Bio-Technology Group Co. Ltd. 472,400 1,991 0.03 Yunnan Chihong Zinc&Germanium Co. Ltd. 3,047,400 2,370 0.03
State Street AUT Emerging Market Tilted Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
13
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Holdings
Market Value £'000
% of Total Net Assets
China — 28.05% (31.12.2024 — 25.89%) (continued) Yutong Bus Co. Ltd. 795,800 2,769 0.04 Zai Lab Ltd. 2,850,300 3,705 0.05 Zhangzhou Pientzehuang Pharmaceutical Co. Ltd. 174,100 3,126 0.04 Zhejiang Changsheng Sliding Bearings Co. Ltd. 240,600 2,185 0.03 Zhejiang Chint Electrics Co. Ltd. 829,400 2,460 0.04 Zhejiang Huahai Pharmaceutical Co. Ltd. 823,700 1,486 0.02 Zhejiang Leapmotor Technology Co. Ltd. 911,900 4,235 0.06 Zhejiang Medicine Co. Ltd. 809,100 1,193 0.02 Zhejiang NHU Co. Ltd. 959,884 2,571 0.04 Zhejiang Sanmei Chemical Industry Co. Ltd. 429,700 2,776 0.04 Zhejiang Supor Co. Ltd. 299,760 1,405 0.02 Zhejiang Weiming Environment Protection Co. Ltd. 829,900 2,241 0.03 Zhejiang Weixing New Building Materials Co. Ltd. 1,528,300 1,696 0.02 ZhongAn Online P&C Insurance Co. Ltd. 2,353,700 3,613 0.05 Zhongsheng Group Holdings Ltd. 2,650,500 2,942 0.04 Zhuhai CosMX Battery Co. Ltd. 1,200,152 2,748 0.04 Zhuzhou CRRC Times Electric Co. Ltd. 1,119,900 4,014 0.06 Zibo Qixiang Tengda Chemical Co. Ltd. 2,364,800 1,228 0.02 Zijin Mining Group Co. Ltd. 2,452,000 8,347 0.12 ZTO Express Cayman, Inc. 59,350 920 0.01
1,966,207 28.05
Colombia — 0.35% (31.12.2024 — 0.13%) Grupo Cibest SA 648,340 8,587 0.12 Grupo Cibest SA Preference Shares 900,070 10,597 0.15 Grupo de Inversiones SA Suramericana Preference Shares 137,869 1,154 0.02 Grupo de Inversiones Suramericana SA 394,851 4,041 0.06
24,379 0.35
Czech Republic — 0.15% (31.12.2024 — 0.07%) CEZ AS 228,348 10,699 0.15
State Street AUT Emerging Market Tilted 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
Egypt — 0.05% (31.12.2024 — 0.05%) Abou Kir Fertilizers & Chemical Industries 2,445,212 1,944 0.03 Egypt Aluminium 345,027 1,266 0.02
3,210 0.05
Greece — 0.93% (31.12.2024 — 0.61%) Alpha Bank SA 4,386,355 13,711 0.19 Eurobank SA 4,048,288 12,107 0.17 Hellenic Telecommunications Organization SA 414,820 6,107 0.09 National Bank of Greece SA 1,350,546 15,330 0.22 OPAP SA 406,441 6,743 0.10 Piraeus Bank SA 1,927,174 11,433 0.16
65,431 0.93
Hong Kong — 0.77% (31.12.2024 — 1.30%) Alibaba Health Information Technology Ltd. 12,716,000 6,134 0.09 Bosideng International Holdings Ltd. 8,376,000 3,560 0.05 China Overseas Land & Investment Ltd. 5,942,000 6,947 0.10 China Resources Beer Holdings Co. Ltd. 2,943,500 7,366 0.10 China Resources Land Ltd. 502,500 1,305 0.02 Geely Automobile Holdings Ltd. 7,604,000 13,001 0.18 Guangdong Investment Ltd. 6,504,000 4,175 0.06 StoneCo Ltd. 636,100 6,994 0.10 Want Want China Holdings Ltd. 10,491,000 4,640 0.07
54,122 0.77
Hungary — 0.36% (31.12.2024 — 0.32%) OTP Bank Nyrt 319,754 25,524 0.36
Iceland — 0.00% (31.12.2024 — 0.10%)
State Street AUT Emerging Market Tilted 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
India — 12.87% (31.12.2024 — 22.45%) 3M India Ltd. 9,229 2,683 0.04 Adani Green Energy Ltd. 751,050 6,306 0.09 Adani Ports & Special Economic Zone Ltd. 131,358 1,595 0.02 Ajanta Pharma Ltd. 121,640 2,779 0.04 Alkem Laboratories Ltd. 89,704 4,059 0.06 Apar Industries Ltd. 41,439 2,870 0.04 APL Apollo Tubes Ltd. 394,601 6,235 0.09 Apollo Hospitals Enterprise Ltd. 149,879 8,718 0.12 Ashok Leyland Ltd. 6,078,956 9,001 0.13 Asian Paints Ltd. 635,489 14,535 0.21 AWL Agri Business Ltd. 954,548 1,879 0.03 Axis Bank Ltd. 1,171,155 12,269 0.18 Bajaj Finance Ltd. 1,252,605 10,218 0.15 Bajaj Finserv Ltd. 592,397 9,972 0.14 Bandhan Bank Ltd. 2,996,956 3,613 0.05 Berger Paints India Ltd. 719,298 3,183 0.05 Bharat Electronics Ltd. 987,268 3,260 0.05 Bharti Airtel Ltd. 2,927,925 51,018 0.73 Bharti Hexacom Ltd. 102,794 1,537 0.02 Blue Star Ltd. 323,335 4,616 0.07 Bosch Ltd. 19,218 5,728 0.08 Britannia Industries Ltd. 673 34 0.00 CG Power & Industrial Solutions Ltd. 1,265,208 6,771 0.10 Cipla Ltd. 102,401 1,277 0.02 Colgate-Palmolive India Ltd. 239,513 4,115 0.06 Coromandel International Ltd. 286,627 5,373 0.08 CRISIL Ltd. 87,053 3,117 0.04 Cummins India Ltd. 237,966 8,705 0.12 Dabur India Ltd. 1,151,228 4,783 0.07 Divi's Laboratories Ltd. 26,642 1,408 0.02 Dr. Lal PathLabs Ltd. 254,090 3,109 0.04 Dr. Reddy's Laboratories Ltd. 895,141 9,417 0.13 Eicher Motors Ltd. 16,627 1,006 0.01 Eternal Ltd. 1,299,464 2,988 0.04 Fertilisers & Chemicals Travancore Ltd. 335,377 2,533 0.04
State Street AUT Emerging Market Tilted 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
India — 12.87% (31.12.2024 — 22.45%) (continued) GE Vernova T&D India Ltd. 310,908 8,050 0.11 General Insurance Corp. of India 864,184 2,711 0.04 Gillette India Ltd. 34,660 2,388 0.03 GlaxoSmithKline Pharmaceuticals Ltd. 127,743 2,615 0.04 Glenmark Pharmaceuticals Ltd. 327,341 5,513 0.08 Go Digit General Insurance Ltd. 868,040 2,452 0.03 Godrej Consumer Products Ltd. 642,944 6,493 0.09 Grasim Industries Ltd. 39,576 926 0.01 Havells India Ltd. 455,145 5,351 0.08 HCL Technologies Ltd. 1,318,315 17,667 0.25 HDFC Asset Management Co. Ltd. 362,658 8,014 0.11 HDFC Bank Ltd. 7,474,597 61,334 0.88 HDFC Life Insurance Co. Ltd. 1,579,429 9,786 0.14 Hero MotoCorp Ltd. 11,785 562 0.01 Hindalco Industries Ltd. 348,009 2,550 0.04 Hindustan Aeronautics Ltd. 14,266 517 0.01 Hindustan Copper Ltd. 1,073,768 4,601 0.07 Hindustan Unilever Ltd. 1,062,131 20,348 0.29 Hitachi Energy India Ltd. 28,483 4,303 0.06 ICICI Bank Ltd. 5,358,595 59,507 0.85 ICICI Lombard General Insurance Co. Ltd. 407,284 6,607 0.09 ICICI Prudential Life Insurance Co. Ltd. 777,285 4,290 0.06 IDBI Bank Ltd. 3,405,478 2,905 0.04 Indus Towers Ltd. 1,620,186 5,638 0.08 Infosys Ltd. 3,854,639 51,532 0.74 InterGlobe Aviation Ltd. 33,672 1,409 0.02 Ipca Laboratories Ltd. 375,929 4,409 0.06 JB Chemicals & Pharmaceuticals Ltd. 198,202 2,984 0.04 Jio Financial Services Ltd. 563,567 1,376 0.02 JSW Steel Ltd. 217,124 2,092 0.03 Kotak Mahindra Bank Ltd. 1,349,386 24,590 0.35 KPIT Technologies Ltd. 433,748 4,202 0.06 Kwality Wall's India Ltd. 1,032,424 326 0.00 Lloyds Metals & Energy Ltd. 393,144 4,309 0.06 Lupin Ltd. 393,069 6,847 0.10
State Street AUT Emerging Market Tilted Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
17
Page 20
Holdings
Market Value £'000
% of Total Net Assets
India — 12.87% (31.12.2024 — 22.45%) (continued) Mahindra & Mahindra Ltd. 441,227 13,538 0.19 Mangalore Refinery & Petrochemicals Ltd. 1,261,126 1,567 0.02 Maruti Suzuki India Ltd. 49,715 6,863 0.10 Max Financial Services Ltd. 181,627 2,508 0.04 Max Healthcare Institute Ltd. 115,358 996 0.01 Motherson Sumi Wiring India Ltd. 9,286,181 3,699 0.05 Mphasis Ltd. 238,664 5,506 0.08 Multi Commodity Exchange of India Ltd. 59,455 5,469 0.08 Narayana Hrudayalaya Ltd. 229,209 3,583 0.05 Nestle India Ltd. 1,046,747 11,128 0.16 Nippon Life India Asset Management Ltd. 484,837 3,520 0.05 NTPC Ltd. 1,590,521 4,336 0.06 One 97 Communications Ltd. 670,891 7,197 0.10 Oracle Financial Services Software Ltd. 59,204 3,761 0.05 PB Fintech Ltd. 628,846 9,504 0.14 Persistent Systems Ltd. 165,825 8,583 0.12 Petronet LNG Ltd. 1,366,445 3,208 0.05 Pidilite Industries Ltd. 503,222 6,188 0.09 Power Finance Corp. Ltd. 6,509 19 0.00 Power Grid Corp. of India Ltd. 6,162,293 13,467 0.19 Procter & Gamble Hygiene & Health Care Ltd. 32,536 3,499 0.05 Rail Vikas Nigam Ltd. 1,371,336 4,052 0.06 REC Ltd. 123,654 365 0.01 Reliance Industries Ltd. 4,645,371 60,328 0.86 Samvardhana Motherson International Ltd. 7,815,571 7,737 0.11 SBI Cards & Payment Services Ltd. 607,005 4,328 0.06 SBI Life Insurance Co. Ltd. 71,144 1,196 0.02 Schaeffler India Ltd. 108,200 3,477 0.05 Shriram Finance Ltd. 1,109,754 9,148 0.13 Siemens Ltd. 186,186 4,714 0.07 Solar Industries India Ltd. 50,709 5,143 0.07 Star Health & Allied Insurance Co. Ltd. 876,628 3,299 0.05 State Bank of India 2,373,674 19,289 0.28 Sun Pharmaceutical Industries Ltd. 475,050 6,759 0.10 Suzlon Energy Ltd. 295,135 129 0.00
State Street AUT Emerging Market Tilted Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
18
Page 21
Holdings
Market Value £'000
% of Total Net Assets
India — 12.87% (31.12.2024 — 22.45%) (continued) Swiggy Ltd. 2,438,057 7,785 0.11 Syngene International Ltd. 704,206 3,783 0.05 Tata Communications Ltd. 319,942 4,795 0.07 Tata Consumer Products Ltd. 79,913 787 0.01 Tata Elxsi Ltd. 93,007 4,008 0.06 Tata Motors Passenger Vehicles Limited 3,296,029 10,017 0.14 Tata Power Co. Ltd. 65,712 206 0.00 Tata Steel Ltd. 2,018,478 3,005 0.04 Tata Technologies Ltd. 550,307 2,922 0.04 Tech Mahindra Ltd. 945,077 12,438 0.18 Titan Co. Ltd. 125,077 4,185 0.06 Torrent Pharmaceuticals Ltd. 182,966 5,803 0.08 Trent Ltd. 42,144 1,489 0.02 UltraTech Cement Ltd. 39,304 3,831 0.05 Vedanta Ltd. 305,461 1,522 0.02 WAAREE Energies Ltd. 130,742 3,203 0.05 Wipro Ltd. 4,675,024 10,208 0.15 Zydus Lifesciences Ltd. 519,169 3,919 0.06
901,923 12.87
Indonesia — 1.08% (31.12.2024 — 1.81%) Bank Central Asia Tbk. PT 65,073,200 23,428 0.33 Bank CIMB Niaga Tbk. PT 17,800,300 1,409 0.02 Bank Mandiri Persero Tbk. PT 55,805,200 12,689 0.18 Bank Rakyat Indonesia Persero Tbk. PT 91,059,178 14,819 0.21 Cisarua Mountain Dairy Tbk. PT 7,322,300 1,845 0.03 GoTo Gojek Tokopedia Tbk. PT 1,855,253,500 5,293 0.08 Indofood CBP Sukses Makmur Tbk. PT 8,385,800 3,056 0.04 Kalbe Farma Tbk. PT 64,842,000 3,484 0.05 Mayora Indah Tbk. PT 8,554,100 812 0.01 Pertamina Geothermal Energy PT 34,545,200 1,733 0.02 Sarana Menara Nusantara Tbk. PT 57,838,000 1,509 0.02
State Street AUT Emerging Market Tilted Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
19
Page 22
Holdings
Market Value £'000
% of Total Net Assets
Indonesia — 1.08% (31.12.2024 — 1.81%) (continued) Telkom Indonesia Persero Tbk. PT 7,215,300 1,119 0.02 Unilever Indonesia Tbk. PT 39,309,500 4,557 0.07
75,753 1.08
Kuwait — 0.62% (31.12.2024 — 0.94%) Boubyan Bank KSCP 3,366,619 5,812 0.08 Kuwait Finance House KSCP 5,936,804 11,627 0.17 National Bank of Kuwait SAKP 10,516,696 25,757 0.37
43,196 0.62
Luxembourg — 0.16% (31.12.2024 — 0.01%) InPost SA 396,291 3,588 0.05 Millicom International Cellular SA 179,800 7,411 0.11
10,999 0.16
Malaysia — 1.40% (31.12.2024 — 2.01%) Axiata Group Bhd. 9,712,800 4,466 0.06 Bursa Malaysia Bhd. 1,750,500 2,700 0.04 CIMB Group Holdings Bhd. 10,336,032 15,566 0.22 Dialog Group Bhd. 12,068,700 3,693 0.05 Heineken Malaysia Bhd. 588,900 2,462 0.03 Hong Leong Bank Bhd. 1,495,100 6,064 0.09 IJM Corp. Bhd. 6,900,300 2,870 0.04 Inari Amertron Bhd. 7,227,200 2,211 0.03 Malayan Banking Bhd. 2,568,440 4,922 0.07 Nestle Malaysia Bhd. 234,600 4,900 0.07 Petronas Gas Bhd. 1,839,100 6,092 0.09 PPB Group Bhd. 2,058,200 4,171 0.06 Public Bank Bhd. 20,137,900 16,676 0.24 QL Resources Bhd. 4,240,350 2,944 0.04 RHB Bank Bhd. 4,083,205 5,768 0.08 Sime Darby Bhd. 10,415,800 4,065 0.06
State Street AUT Emerging Market Tilted Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
20
Page 23
Holdings
Market Value £'000
% of Total Net Assets
Malaysia — 1.40% (31.12.2024 — 2.01%) (continued) Telekom Malaysia Bhd. 4,305,239 6,310 0.09 Tenaga Nasional Bhd. 181,000 455 0.01 ViTrox Corp. Bhd. 508,700 371 0.01 YTL Power International Bhd. 1,840,460 1,113 0.02
97,819 1.40
Mexico — 2.22% (31.12.2024 — 2.30%) America Movil SAB de CV 25,164,800 19,344 0.28 Arca Continental SAB de CV 996,400 7,999 0.11 Cemex SAB de CV 23,371,300 19,947 0.29 Coca-Cola Femsa SAB de CV 728,799 5,142 0.07 El Puerto de Liverpool SAB de CV 707,300 2,925 0.04 Fibra Uno Administracion SA de CV* 5,779,300 6,457 0.09 Fomento Economico Mexicano SAB de CV 2,298,500 17,238 0.25 Gruma SAB de CV 369,745 4,733 0.07 Grupo Bimbo SAB de CV 2,632,300 6,409 0.09 Grupo Carso SAB de CV 1,106,400 5,366 0.08 Grupo Comercial Chedraui SA de CV 683,800 3,470 0.05 Grupo Financiero Banorte SAB de CV 3,195,100 22,010 0.31 Grupo Mexico SAB de CV 1,197,800 8,400 0.12 Kimberly-Clark de Mexico SAB de CV 3,516,100 5,585 0.08 Promotora y Operadora de Infraestructura SAB de CV 432,640 4,748 0.07 Wal-Mart de Mexico SAB de CV 6,764,800 15,670 0.22
155,443 2.22
Netherlands — 0.00% (31.12.2024 — 0.07%)
Peru — 0.29% (31.12.2024 — 0.00%) Credicorp Ltd. 94,180 20,102 0.29
Philippines — 0.14% (31.12.2024 — 0.65%) Ayala Land, Inc. 16,155,600 4,573 0.06
State Street AUT Emerging Market Tilted Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
21
Page 24
Holdings
Market Value £'000
% of Total Net Assets
Philippines — 0.14% (31.12.2024 — 0.65%) (continued) China Banking Corp. 998,070 719 0.01 Monde Nissin Corp. 30,485,800 2,231 0.03 SM Investments Corp. 55,270 488 0.01 Universal Robina Corp. 2,404,860 2,042 0.03
10,053 0.14
Poland — 1.12% (31.12.2024 — 0.00%) Alior Bank SA 222,156 5,074 0.07 Asseco Poland SA 117,006 5,517 0.08 Bank Millennium SA 2,003,432 6,886 0.10 Bank Polska Kasa Opieki SA 290,212 12,303 0.18 CD Projekt SA 152,191 7,585 0.11 Cyfrowy Polsat SA 949,360 2,395 0.03 mBank SA 27,151 5,951 0.09 Orange Polska SA 1,976,079 4,160 0.06 ORLEN SA 85,364 1,697 0.02 Powszechna Kasa Oszczednosci Bank Polski SA 331,914 5,845 0.08 Powszechny Zaklad Ubezpieczen SA 951,393 13,131 0.19 Santander Bank Polska SA 69,204 7,805 0.11
78,349 1.12
Qatar — 0.47% (31.12.2024 — 1.04%) Commercial Bank PSQC 6,174,250 5,226 0.07 Dukhan Bank 4,880,171 3,473 0.05 Qatar International Islamic Bank QSC 2,451,394 5,721 0.08 Qatar Islamic Bank QPSC 2,433,548 11,762 0.17 Qatar National Bank QPSC 1,841,965 7,018 0.10
33,200 0.47
Romania — 0.00% (31.12.2024 — 0.15%)
State Street AUT Emerging Market Tilted Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
22
Page 25
Holdings
Market Value £'000
% of Total Net Assets
Russia — 0.00% (31.12.2024 — 0.00%) Aeroflot PJSC**³ 193,640 - 0.00 Alrosa PJSC**³ 307,078 - 0.00 Federal Grid Co-Rosseti PJSC**³ 29,375,613 - 0.00 Gazprom PJSC**³ 1,361,680 - 0.00 Inter RAO UES PJSC**³ 3,994,600 - 0.00 LUKOIL PJSC**³ 49,085 - 0.00 Magnitogorsk Iron & Steel Works PJSC**³ 280,240 - 0.00 Mobile TeleSystems PJSC**³ 110,030 - 0.00 Moscow Exchange MICEX-RTS PJSC**³ 180,830 - 0.00 Novatek PJSC**³ 137,866 - 0.00 Novolipetsk Steel PJSC**³ 143,960 - 0.00 PhosAgro PJSC**³ 127 - 0.00 PhosAgro PJSC (voting rights)**³ 6,582 - 0.00 Polyus PJSC**³ 38,590 - 0.00 Polyus PJSC GDR**³ 1 - 0.00 Rosneft Oil Co. PJSC**³ 158,310 - 0.00 Rostelecom PJSC**³ 108,300 - 0.00 RusHydro PJSC**³ 12,919,000 - 0.00 Sberbank of Russia PJSC**³ 1,349,750 - 0.00 Severstal PAO**³ 23,453 - 0.00 Sistema AFK PAO**³ 452,480 - 0.00 Surgutneftegas PAO**³ 907,000 - 0.00 Surgutneftegas PAO Preference Shares**³ 962,900 - 0.00 Tatneft PJSC**³ 199,174 - 0.00 Tatneft PJSC Preference Shares**³ 29,552 - 0.00 Transneft PJSC**³ 19,600 - 0.00 VTB Bank PJSC**³ 126,906 - 0.00
- 0.00
Saudi Arabia — 1.69% (31.12.2024 — 4.33%) ACWA Power Co. 44,035 1,587 0.02 Al Rajhi Bank 2,124,135 41,009 0.59 Al Rajhi Co. for Co-operative Insurance 112,345 1,732 0.02 Alinma Bank 222,278 1,074 0.02
State Street AUT Emerging Market Tilted Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
23
Page 26
Holdings
Market Value £'000
% of Total Net Assets
Saudi Arabia — 1.69% (31.12.2024 — 4.33%) (continued) Arabian Internet & Communications Services Co. 62,082 2,769 0.04 Bupa Arabia for Cooperative Insurance Co. 111,464 3,069 0.04 Co. for Cooperative Insurance 184,782 4,285 0.06 Dr. Sulaiman Al Habib Medical Services Group Co. 10,893 555 0.01 Elm Co. 44,467 6,588 0.09 Jamjoom Pharmaceuticals Factory Co. 96,306 2,714 0.04 Mouwasat Medical Services Co. 308,888 4,081 0.06 Nahdi Medical Co. 132,140 2,482 0.04 Riyad Bank 300,876 1,619 0.02 Riyadh Cables Group Co. 161,662 4,169 0.06 Saudi Arabian Mining Co. 389,851 4,710 0.07 Saudi Arabian Oil Co. 2,999,699 14,163 0.20 Saudi Aramco Base Oil Co. 151,836 2,874 0.04 Saudi Basic Industries Corp. 219,544 2,230 0.03 Saudi National Bank 1,397,596 10,494 0.15 Saudi Telecom Co. 759,428 6,470 0.09
118,674 1.69
Singapore — 0.00% (31.12.2024 — 0.04%)
South Africa — 3.43% (31.12.2024 — 3.29%) Absa Group Ltd. 1,304,628 14,002 0.20 Bid Corp. Ltd. 503,944 9,470 0.14 Bidvest Group Ltd. 656,681 6,990 0.10 Capitec Bank Holdings Ltd. 118,051 22,006 0.31 Clicks Group Ltd. 436,949 6,568 0.09 Discovery Ltd. 956,317 9,763 0.14 FirstRand Ltd. 6,120,768 24,854 0.36 Gold Fields Ltd. 342,802 11,162 0.16 Harmony Gold Mining Co. Ltd. 922,231 13,845 0.20 MTN Group Ltd. 2,781,409 21,015 0.30 Naspers Ltd. 810,527 40,147 0.57 Nedbank Group Ltd. 686,732 8,204 0.12 Old Mutual Ltd. 10,624,844 7,103 0.10
State Street AUT Emerging Market Tilted Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
24
Page 27
Holdings
Market Value £'000
% of Total Net Assets
South Africa — 3.43% (31.12.2024 — 3.29%) (continued) OUTsurance Group Ltd. 1,784,054 5,734 0.08 Sanlam Ltd. 2,450,174 10,828 0.15 Shoprite Holdings Ltd. 751,965 9,117 0.13 Standard Bank Group Ltd. 500,044 6,488 0.09 Vodacom Group Ltd. 1,228,993 7,785 0.11 Woolworths Holdings Ltd. 2,254,481 5,621 0.08
240,702 3.43
South Korea — 13.05% (31.12.2024 — 0.00%) Alteogen, Inc. 8,252 1,912 0.03 Amorepacific Corp. 67,096 4,138 0.06 Amorepacific Corp. Preference Shares 85,121 1,922 0.03 APR Corp. 50,604 6,020 0.09 Celltrion, Inc. 195,762 18,277 0.26 CJ CheilJedang Corp. 27,410 2,935 0.04 CJ CheilJedang Corp. Preference Shares 18,059 1,286 0.02 CJ Corp. 47,768 4,235 0.06 CJ Corp. Convert 31,264 2,461 0.04 CJ Corp. Preference Shares 33,578 1,542 0.02 Coway Co. Ltd. 123,836 5,548 0.08 DB Insurance Co. Ltd. 89,555 6,055 0.09 Doosan Bobcat, Inc. 163,976 4,883 0.07 Ecopro BM Co. Ltd. 94,314 7,136 0.10 Hana Financial Group, Inc. 399,755 19,393 0.28 Hanmi Pharm Co. Ltd. 18,088 4,220 0.06 Hanwha Solutions Corp. 359,006 4,956 0.07 HD Hyundai Electric Co. Ltd. 39,268 15,686 0.22 HD Hyundai Marine Solution Co. Ltd. 39,261 3,915 0.06 HLB, Inc. 243,247 6,377 0.09 Hyundai Engineering & Construction Co. Ltd. 219,177 7,930 0.11 Hyundai Mobis Co. Ltd. 78,137 15,042 0.21 Hyundai Motor Co. 51,314 7,839 0.11 Hyundai Rotem Co. Ltd. 8,931 866 0.01 Kakao Corp. 468,201 14,522 0.21
State Street AUT Emerging Market Tilted Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
25
Page 28
Holdings
Market Value £'000
% of Total Net Assets
South Korea — 13.05% (31.12.2024 — 0.00%) (continued) KakaoBank Corp. 468,731 5,225 0.07 Kakaopay Corp. 164,159 4,160 0.06 KB Financial Group, Inc. 453,057 29,158 0.42 Kia Corp. 326,127 20,484 0.29 LG Chem Ltd. 66,407 11,413 0.16 LG Chem Ltd. Preference Shares 28,399 2,434 0.03 LG Electronics, Inc. 170,678 8,086 0.12 LG Electronics, Inc. Preference Shares 84,183 2,105 0.03 LG Energy Solution Ltd. 41,385 7,860 0.11 LG H&H Co. Ltd. 24,194 3,222 0.05 LG H&H Co. Ltd. Preference Shares 22,259 1,303 0.02 LG Innotek Co. Ltd. 36,837 5,143 0.07 LG Uplus Corp. 606,317 4,606 0.07 LS Corp. 44,818 4,624 0.07 LS Electric Co. Ltd. 42,614 10,117 0.14 Mirae Asset Securities Co. Ltd. Preference Shares 546,128 3,171 0.05 NAVER Corp. 64,121 8,008 0.11 Orion Corp. 61,637 3,359 0.05 POSCO Holdings, Inc. 22,536 3,547 0.05 Samsung Biologics Co. Ltd. 3,958 3,462 0.05 Samsung C&T Corp. 118,090 14,597 0.21 Samsung C&T Corp. Preference Shares 30,856 2,309 0.03 Samsung E&A Co. Ltd. 384,586 4,764 0.07 Samsung Electronics Co. Ltd. 4,633,607 286,729 4.09 Samsung Electronics Co. Ltd. Preference Shares 976,811 44,918 0.64 Samsung Fire & Marine Insurance Co. Ltd. 48,847 12,529 0.18 Samsung Fire & Marine Insurance Co. Ltd. Preference Shares 16,701 3,254 0.05 Samsung Life Insurance Co. Ltd. 166,917 13,568 0.19 Samsung SDI Co. Ltd. 3,225 449 0.01 Samsung SDI Co. Ltd. Preference Shares 7,826 649 0.01 Samyang Foods Co. Ltd. 11,968 7,603 0.11 Shinhan Financial Group Co. Ltd. 636,198 25,217 0.36 SK Biopharmaceuticals Co. Ltd. 64,016 4,113 0.06 SK Hynix, Inc. 505,869 169,701 2.42 SK Telecom Co. Ltd. 211,882 5,839 0.08
State Street AUT Emerging Market Tilted Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
26
Page 29
Holdings
Market Value £'000
% of Total Net Assets
South Korea — 13.05% (31.12.2024 — 0.00%) (continued) Woori Financial Group, Inc. 62,725 905 0.01 Yuhan Corp. 112,341 6,511 0.09
914,238 13.05
Switzerland — 0.31% (31.12.2024 — 0.00%) BeOne Medicines Ltd. 1,084,500 18,574 0.27 BeOne Medicines Ltd. 'A' Shares 97,437 2,784 0.04
21,358 0.31
Taiwan — 21.08% (31.12.2024 — 22.94%) Accton Technology Corp. 774,000 21,611 0.31 Acer, Inc. 7,518,000 4,687 0.07 Advanced Energy Solution Holding Co. Ltd. 103,000 3,229 0.05 Advantech Co. Ltd. 867,183 5,910 0.08 Airoha Technology Corp. 195,000 2,039 0.03 Alchip Technologies Ltd. 146,000 12,108 0.17 ASE Technology Holding Co. Ltd. 4,436,000 26,293 0.38 Asia Vital Components Co. Ltd. 447,000 15,971 0.23 ASPEED Technology, Inc. 60,400 10,369 0.15 Asustek Computer, Inc. 960,000 12,425 0.18 AUO Corp. 13,551,200 3,928 0.06 Bizlink Holding, Inc. 271,000 9,747 0.14 Cathay Financial Holding Co. Ltd. 12,071,705 21,623 0.31 Chailease Holding Co. Ltd. 3,014,121 7,524 0.11 China Airlines Ltd. 7,110,000 3,398 0.05 China Steel Corp. 19,429,000 8,735 0.12 Chung-Hsin Electric & Machinery Manufacturing Corp. 1,182,000 4,167 0.06 Chunghwa Telecom Co. Ltd. 5,116,000 15,798 0.23 Compal Electronics, Inc. 8,509,000 6,121 0.09 CTBC Financial Holding Co. Ltd. 9,100,000 10,809 0.15 Delta Electronics, Inc. 2,321,000 52,887 0.75 E Ink Holdings, Inc. 1,657,000 7,744 0.11 E.Sun Financial Holding Co. Ltd. 20,533,572 16,374 0.23
State Street AUT Emerging Market Tilted Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
27
Page 30
Holdings
Market Value £'000
% of Total Net Assets
Taiwan — 21.08% (31.12.2024 — 22.94%) (continued) Eclat Textile Co. Ltd. 588,000 5,350 0.08 Eva Airways Corp. 5,622,000 4,855 0.07 Far EasTone Telecommunications Co. Ltd. 3,153,000 6,588 0.09 First Financial Holding Co. Ltd. 2,910,638 2,021 0.03 Fortune Electric Co. Ltd. 446,200 8,077 0.12 Fubon Financial Holding Co. Ltd. 10,930,715 24,855 0.36 Gigabyte Technology Co. Ltd. 1,059,000 6,214 0.09 Global Unichip Corp. 187,000 9,403 0.13 Hon Hai Precision Industry Co. Ltd. 12,404,000 67,505 0.96 Hua Nan Financial Holdings Co. Ltd. 1,445,774 1,061 0.02 Innolux Corp. 15,162,130 6,099 0.09 International Games System Co. Ltd. 31,000 529 0.01 Inventec Corp. 5,705,000 5,791 0.08 Jentech Precision Industrial Co. Ltd. 165,000 10,717 0.15 KGI Financial Holding Co. Ltd. 25,682,170 10,483 0.15 King Yuan Electronics Co. Ltd. 2,351,000 13,768 0.20 Lien Hwa Industrial Holdings Corp. 2,498,000 2,808 0.04 Lite-On Technology Corp. 3,520,000 13,576 0.19 Lotes Co. Ltd. 191,000 5,853 0.08 Makalot Industrial Co. Ltd. 542,000 3,694 0.05 MediaTek, Inc. 1,683,000 56,947 0.81 Mega Financial Holding Co. Ltd. 3,929,741 3,719 0.05 Micro-Star International Co. Ltd. 1,878,000 4,270 0.06 momo.com, Inc. 459,339 2,255 0.03 MPI Corp. 146,000 7,773 0.11 Nanya Technology Corp. 2,372,000 10,832 0.15 Nien Made Enterprise Co. Ltd. 491,000 4,194 0.06 Novatek Microelectronics Corp. 882,000 7,805 0.11 Pegatron Corp. 3,873,000 6,278 0.09 PharmaEssentia Corp. 625,535 6,957 0.10 President Chain Store Corp. 986,000 5,168 0.07 Quanta Computer, Inc. 3,202,000 20,570 0.29 Radiant Opto-Electronics Corp. 933,000 2,737 0.04 Realtek Semiconductor Corp. 790,000 9,131 0.13 Simplo Technology Co. Ltd. 460,000 3,908 0.06
State Street AUT Emerging Market Tilted Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
28
Page 31
Holdings
Market Value £'000
% of Total Net Assets
Taiwan — 21.08% (31.12.2024 — 22.94%) (continued) Sino-American Silicon Products, Inc. 1,389,000 3,500 0.05 SinoPac Financial Holdings Co. Ltd. 2,366,190 1,601 0.02 Synnex Technology International Corp. 3,292,000 4,510 0.06 Taichung Commercial Bank Co. Ltd. 10,276,235 5,058 0.07 Taiwan Cooperative Financial Holding Co. Ltd. 1,930,913 1,108 0.02 Taiwan High Speed Rail Corp. 4,389,000 2,908 0.04 Taiwan Mobile Co. Ltd. 2,998,000 7,697 0.11 Taiwan Semiconductor Manufacturing Co. Ltd. 19,257,000 703,989 10.05 Tatung Co. Ltd. 3,956,850 2,954 0.04 Teco Electric & Machinery Co. Ltd. 3,268,000 6,495 0.09 TS Financial Holding Co. Ltd. 5,857,793 2,828 0.04 Uni-President Enterprises Corp. 6,775,000 12,360 0.18 United Integrated Services Co. Ltd. 295,000 6,617 0.09 United Microelectronics Corp. 14,914,000 17,362 0.25 VisEra Technologies Co. Ltd. 362,000 2,441 0.04 Voltronic Power Technology Corp. 184,000 4,219 0.06 Winbond Electronics Corp. 5,486,841 10,724 0.15 Wistron Corp. 4,190,000 14,871 0.21 Wiwynn Corp. 150,000 15,919 0.23 Yageo Corp. 264,184 1,441 0.02 Yuanta Financial Holding Co. Ltd. 3,951,477 3,670 0.05
1,477,560 21.08
Thailand — 0.98% (31.12.2024 — 2.16%) Advanced Info Service PCL 277,459 2,043 0.03 Airports of Thailand PCL 499,938 625 0.01 Bangkok Dusit Medical Services PCL 9,351,471 4,259 0.06 Bumrungrad Hospital PCL 945,458 3,514 0.05 Cal-Comp Electronics Thailand PCL 22,472,400 2,397 0.03 Com7 PCL 4,479,900 2,061 0.03 CP ALL PCL 53,228 54 0.00 Delta Electronics Thailand PCL 6,640,982 27,034 0.38 Gulf Development PCL 663,535 654 0.01 Home Product Center PCL 17,776,120 2,769 0.04
State Street AUT Emerging Market Tilted Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
29
Page 32
Holdings
Market Value £'000
% of Total Net Assets
Thailand — 0.98% (31.12.2024 — 2.16%) (continued) I-TAIL Corp. PCL 3,555,500 1,267 0.02 Kasikornbank PCL 808,000 1,992 0.03 Kasikornbank PCL NVDR 1,224,800 5,622 0.08 Krungthai Card PCL 3,005,761 1,862 0.03 Siam Cement PCL 966,506 4,185 0.06 Thai Life Insurance PCL 10,793,900 2,522 0.04 Thai Union Group PCL 7,220,800 2,164 0.03 Thanachart Capital PCL 2,492,300 3,426 0.05
68,450 0.98
Turkey — 0.36% (31.12.2024 — 1.29%) Akbank TAS 5,586,804 6,748 0.10 Anadolu Anonim Turk Sigorta Sirketi 4,125,189 1,655 0.02 D-MARKET Elektronik Hizmetler ve Ticaret AS 1,511,400 2,787 0.04 Hektas Ticaret TAS*** 1 - 0.00 Mavi Giyim Sanayi Ve Ticaret AS 3,896,491 2,933 0.04 Turkiye Garanti Bankasi AS 1,491,257 3,700 0.05 Turkiye Sigorta AS 12,804,141 2,614 0.04 Yapi ve Kredi Bankasi AS 7,621,409 4,777 0.07
25,214 0.36
United Arab Emirates — 1.34% (31.12.2024 — 2.10%) Abu Dhabi Commercial Bank PJSC 4,851,239 14,042 0.20 Abu Dhabi Islamic Bank PJSC 2,546,839 10,702 0.15 ADNOC Drilling Co. PJSC 4,860,300 5,254 0.08 Aldar Properties PJSC 779,560 1,371 0.02 Americana Restaurants International PLC - Foreign Co. 8,969,794 2,941 0.04 Dubai Electricity & Water Authority PJSC 13,941,246 7,817 0.11 Emaar Development PJSC 1,699,720 5,213 0.08 Emaar Properties PJSC 2,070,278 5,846 0.08 Emirates NBD Bank PJSC 3,446,014 19,392 0.28 Emirates Telecommunications Group Co. PJSC 1,367,323 5,076 0.07
State Street AUT Emerging Market Tilted Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
30
Page 33
Holdings
Market Value £'000
% of Total Net Assets
United Arab Emirates — 1.34% (31.12.2024 — 2.10%) (continued) First Abu Dhabi Bank PJSC 3,641,411 12,884 0.18 Pure Health Holding PJSC 7,125,336 3,664 0.05
94,202 1.34
United Kingdom — 0.00% (31.12.2024 — 0.17%)
United States — 0.33% (31.12.2024 — 0.20%) Legend Biotech Corp. 217,900 3,522 0.05 Southern Copper Corp. 138,955 14,816 0.21 Yum China Holdings, Inc. 128,650 4,530 0.07
22,868 0.33
Derivatives — 0.01% (31.12.2024 — (0.03)%) MSCI Emerging Markets Index Futures March 2026† 1,527 682 0.01
Portfolio of investments 6,924,941 98.81 Net other assets 83,593 1.19
Total net assets 7,008,534 100.00
All holdings are ordinary shares or common stock unless otherwise stated. Stocks shown as GDRs represent Global Depositary Receipts. Stocks shown as NVDRs represent Non-Voting Depositary Receipts. ~ Delisted. * Real Estate Investment Trust. ** Russian stocks have been written down to nil due to the sanctions put in place. It is not currently possible to dispose of the assets and realise any value from these. *** Market value is less than £500, therefore rounded down to 0. † Goldman Sachs is the counterparty, total notional exposure is £80,116,294 and 1.14% as a percentage of the Fund’s value. 3 Level 3 Security.
State Street AUT Emerging Market Tilted Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
31
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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 Emerging Market Tilted Index Equity Fund
Annual Report and Audited Financial Statements 2025
Directors' Report to Unitholders
For the year ended 31st December 2025
32
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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 Emerging Market Tilted Index Equity Fund
Annual Report and Audited Financial Statements 2025
Manager's Statement of Responsibilities
For the year ended 31st December 2025
33
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Statement of the Depositary’s Responsibilities in respect of the Scheme The Depositary in its capacity as Trustee of State Street AUT Emerging Market Tilted 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 considered necessary to discharge our responsibilities as Depositary of the Trust, it is our opinion, based on the information available to us and the explanations provided, that, in all material respects the Trust, acting through the AFM:
(i) has carried out the issue, sale, redemption and cancellation, and calculation of the price of the Trust’s units and the application of the Trust’s income in accordance with the Regulations and the Scheme documents of the Trust; and
(ii) has observed the investment and borrowing powers and restrictions applicable to the Trust in accordance with the Regulations and the Scheme documents of the Trust.
This report is given on the basis that no breaches are subsequently advised to us before the distribution date. We therefore reserve the right to amend the report in the light of such circumstances.
Yours sincerely
Depositary HSBC Bank Plc 8 Canada Square London E14 5HQ
22 April 2026
State Street AUT Emerging Market Tilted Index Equity Fund
Annual Report and Audited Financial Statements 2025
Statement of the Depositary's Responsibilities
For the year ended 31st December 2025
34
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Report on the audit of the financial statements
Opinion In our opinion, the financial statements of State Street AUT Emerging Market Tilted 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 Emerging Market Tilted Index Equity Fund
Annual Report and Audited Financial Statements 2025
Independent auditors’ report to the Unitholders of State Street AUT Emerging Market Tilted Index Equity Fund
35
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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 Emerging Market Tilted Index Equity Fund
Annual Report and Audited Financial Statements 2025
Independent auditors’ report to the Unitholders of State Street AUT Emerging Market Tilted Index Equity Fund (continued)
36
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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 Emerging Market Tilted Index Equity Fund
Annual Report and Audited Financial Statements 2025
Independent auditors’ report to the Unitholders of State Street AUT Emerging Market Tilted Index Equity Fund (continued)
37
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Comparative Table For the year ended 31st December 2025
2025 2024 2023 Change in Net Assets Per Unit (£) (£) (£) Opening net asset value per unit 10.4310 9.1852 9.0206
Return before operating charges 2.2214 1.2656 0.1825 Operating charges (0.0227) (0.0198) (0.0179) Return after operating charges* 2.1987 1.2458 0.1646
Distributions (0.2569) (0.2295) (0.2208)
Retained distributions on accumulation units 0.2569 0.2295 0.2208
Closing net asset value per unit 12.6297 10.4310 9.1852 *after direct transaction cost of: 0.0163 0.0033 0.0077 Performance Return after charges 21.08% 13.56% 1.82% Other Information Closing net asset value (£'000) 7,008,534 2,743,618 2,060,676 Closing number of units 554,926,458 263,024,889 224,348,050 Operating charges 0.20% 0.20% 0.20% Direct transaction costs 0.14% 0.03% 0.09% Prices Highest unit price (pence) 13.0220 10.9980 9.5778 Lowest unit price (pence) 9.3330 8.7871 8.6451
The published Net Asset Value per share differs from the Net Asset Value per share disclosed in the financial statements for the year ended 31 December 2025. In accordance with accounting principles of the Scheme, a provision for capital gain tax on unrealised gains for Indian equities is accrued in the financial statements. These accruals were not reflected in the published Net Asset Value.
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.
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Statement of Total Return For the year ended 31st December 2025
Year ended 31.12.25
Year ended 31.12.24 Note £'000 £'000 £'000 £'000 Income Net capital gains 4 1,079,223 274,938 Revenue 6 134,628 64,967 Expenses 7 (9,871) (4,807) Interest payable and similar charges 8 (150) (145)
Net revenue before taxation 124,607 60,015 Taxation 9 (19,471) (29,455)
Net revenue after taxation 105,136 30,560
Total return before distributions 1,184,359 305,498 Distributions 10 (111,722) (54,144)
Change in net assets attributable to unitholders from investment activities 1,072,637 251,354
Statement of Change in Net Assets Attributable to Unitholders For the year ended 31st December 2025
Year ended 31.12.25
Year ended 31.12.24 £’000 £’000 £’000 £’000 Opening net assets 2,743,618 2,060,676 Amounts receivable on issue of units 3,057,505 374,183 Amounts payable on cancellation of units (8,348) -
3,049,157 374,183 Dilution levy 5,202 677 Change in unitholders' funds from investment activities 1,072,637 251,354 Retained distributions on accumulation units 137,920 56,728
Closing net assets 7,008,534 2,743,618
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Annual Report and Audited Financial Statements 2025
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Balance Sheet As at 31st December 2025
Note 31.12.25 31.12.24 £'000 £'000 Assets Fixed assets: Investments 6,924,941 2,746,667 Current assets: Debtors 11 41,851 3,019 Cash and bank balances 12 83,738 18,253
Total assets 7,050,530 2,767,939
Liabilities Investment liabilities - 738 Provision for liabilities 13 19,629 23,113 Creditors Other creditors 14 22,367 470
Total liabilities 41,996 24,321
Net assets attributable to unitholders 7,008,534 2,743,618
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1. Accounting policies
(a) Basis of accounting The financial statements have been prepared under the historical cost convention by the revaluation of the investments, and in accordance with the United Kingdom Generally Accepted Accounting Practice ("UK GAAP") which comprises the UK Financial Reporting Standard 102 ("FRS 102") and the Statement of Recommended Practice ("SORP") for Authorised Funds issued by the Investment Management Association in May 2014 (as amended in 2017).
The financial statements have been prepared on a going concern basis.
(b) Basis of valuation of investments The investments of the Fund have been valued at the closing bid market prices ruling on the principal markets on which the stocks are quoted, on the last business day of the accounting year.
Market value is defined by the SORP as fair value which generally is the bid value of each security.
Where applicable, unlisted, delisted and suspended securities are based on the Manager’s assessment of their net realisable value.
Open futures contracts have been valued at fair value and the net gains/(losses) are reflected within Derivative contracts in net capital gains/(losses) on investments.
(c) Exchange rates Foreign currency receipts and payments are translated at the rate applicable on the date of settlement.
Foreign currency assets and liabilities are valued at the rates on the last day of the accounting year.
(d) Recognition of revenue Revenue is included in the Statement of Total Return on the following basis: Dividends are recognised when the security is quoted ex-dividend. Special dividends are treated as either capital or revenue depending on the facts of each particular case. 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. As the fund invests in certain types of Indian assets, any associated gains are subject to the Indian Capital Gains Tax regime. A provision has been included within the provisions for liabilities for capital gains tax relating to these assets, using the long-term rate of tax for investments held for more than 12 months of 12.5%. For investments held for less then 12 months the rate of 20%.
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
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Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements
For the year ended 31st December 2025
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1. Accounting policies (continued)
price, which could have a diluting effect on the fund.
(i) Returns from derivatives The Fund may enter into permitted derivative contracts such as futures.
The positions are undertaken to obtain full market exposure and the returns are included within gains/(losses) on investments in the Statement of Total Return. Any open positions in these types of transactions at the period end are included in the Balance Sheet at their mark to market value.
2. Distribution policy The policy is to distribute all available revenue, after deduction of those expenses which are chargeable in calculating the distribution.
In order to conduct a controlled dividend flow to unitholders, an interim distribution will be made at the Manager’s discretion, up to a maximum of the distributable revenue available for the year. All remaining revenue is distributed in accordance with the COLL.
Distributions of revenue are paid six monthly by reference to net revenue arising in the periods ended 30th June and 31st December.
Any revenue deficit will be borne by the capital account.
(a) Treatment of stock dividends The ordinary element of stock dividends is treated as revenue and forms part of the distribution.
In the case of an enhanced stock dividend, the value of the enhancement is treated as capital and does not form part of the distribution.
(b) Expenses Management expenses are charged to revenue.
(c) Equalisation Equalisation takes account of the revenue received on the creation of shares and revenue paid on cancellation of shares and is allocated to the distribution account.
3. Risk management policies In pursuing its investment objectives the Fund holds a number of financial instruments. The Fund’s financial instruments comprise of securities and other investments, cash balances and bank overdrafts, short term fixed deposits, debtors and creditors that arise directly from its operations, for example, in respect of sales and purchases awaiting settlement, amounts receivable for creations and payable for liquidations and debtors for accrued revenue.
The main risks the Fund may face from investing are: (a) market risk, (b) market price risk, (c) foreign currency risk, (d) interest rate risk, (e) liquidity risk, (f) credit risk, (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.
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Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
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3. Risk management policies (continued)
(b) Market price risk Market price risk is the risk that the value of the financial instruments held by the Fund will fluctuate because of changes in market prices. It represents the potential loss the Fund might suffer through changes in market prices of the Fund holdings. The investment manager considers the asset allocation of the portfolio in order to minimize the risk associated with particular countries or industry sectors whilst continuing to follow the investment objectives of the Fund.
As an index Fund, the investment objective is to seek to track as closely as reasonably possible the performance of the benchmark index. In order to achieve this objective, the Fund invests primarily in securities held in the equity index benchmark. Market price risk for an index Fund arises from a mismatch in the relative proportion of assets in Fund from their respective proportions in the benchmark. The Fund places limitations on the amount by which a holding may deviate from the proportion benchmark to limit the market risk from mismatched positions.
All securities investments present a risk of loss of capital. The investment manager assess the Fund’s market risk volatility to ensure that the effect of utilizing financial derivative instruments is not significant enough to cause disproportionate losses to a Fund’s overall value. The investment manager moderates this risk through careful selection of securities and financial instruments. The investment manager manages this risk through a combination of risk metrics. This includes, but is not restricted to, tracking error volatility, which measures the ex-ante volatility of excess returns of the Fund against its referenced benchmark. The tracking error volatility on the Fund is closely monitored on a regular basis, and is a key consideration when the Fund is rebalanced.
(c) Foreign currency risk Any fluctuations in foreign currency exchange rates between the base currency ("GBP") and the respective foreign currencies may significantly affect the value of the Fund investments and the returns ultimately achieved by the Fund. Local interest rates and monetary policy, as well as other government fiscal and labour policies, also can adversely impact the Fund’s currency values.
Based on the Fund mandate, there is no hedging of foreign currency risk exposure. This follows from the investment objective to track the performance of the benchmark, which is also not hedged against changes in foreign exchange rates.
(d) Interest rate risk Interest rate risk is present when the value of investment securities may fluctuate as a result of a change in market interest rates. Explicit interest rate risk occurs when there is a direct relationship between changes in interest rates and changes in the value of investment securities. The Fund invests in only equity and equity-based instruments, the values of which are not directly dependent on interest rates.
(e) Liquidity risk The Fund is exposed to daily cash redemptions of redeemable shares. So the main liability of the Fund is the redemption of any shares that investors wish to sell. Hence the Fund invest the large majority of the assets in investments that are traded in an active market and can ordinarily be readily disposed. However, liquidity risk will occur if an equity issuer becomes credit impaired or if the relevant market becomes illiquid. In such a case, it may not be possible to initiate or liquidate a position at a price that is deemed by the investment manager to be demonstrating fair value. Liquidity risk may be temporary or may last for extended periods.
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Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
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3. Risk management policies (continued)
The indexed Fund invests solely in securities which form part of the Benchmark Index. Benchmark Indexes are constructed using index rules requiring securities to have a specified minimum trading volume, which, although not guaranteeing liquidity, provides indication of the liquid nature of the securities underlying the Fund. The Fund is exposed to daily contributions and withdrawals which are managed to ensure that exposure to the Benchmark Indexes are maintained in order to meet the investment objective of the Fund.
(f) Credit risk The Fund invests in only equity and equity-based instruments, which are not credit instruments, and therefore the Fund is not explicitly exposed to credit risk other than revenue index futures. Index futures used for efficient portfolio management are exchange traded and marked to market daily, so counterparty risk is negligible.
(g) Use of derivatives The Fund uses equity index futures only, no other derivatives, for efficient portfolio management-index futures are used to equitize cash holdings from inflows and outflows and also anticipated cash flows (e.g. dividend receivables). As a result the exposure to futures are covered by cash and near cash at all times, and assist in meeting the investment objectives of the Fund.
(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
The net capital gains during the year comprise: 31.12.25 31.12.24 £'000 £'000 Non-derivative securities 1,063,429 274,635 Derivative contracts 22,376 903 Losses on foreign exchange (6,582) (600)
Net capital gains 1,079,223 274,938
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Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
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5. Purchases, sales and transaction costs 31.12.25 £'000
31.12.24 £'000 Purchases excluding transaction costs Equities 5,127,879 554,232
Total before transaction costs 5,127,879 554,232
Commissions Equities 1,953 290 Derivatives 27 9
1,980 299
Taxes Equities 1,940 322
1,940 322
Total purchases transaction costs 3,920 621
Purchases including transaction costs 5,131,799 554,853
31.12.25 £'000
31.12.24 £'000 Sales excluding transaction costs Equities 2,019,641 92,248
Total before transaction costs 2,019,641 92,248
Commissions Equities (1,036) (42) Derivatives (26) (10)
(1,062) (52)
Taxes Equities (2,070) (116)
(2,070) (116)
Total sales transaction cost (3,132) (168)
Sales including transaction costs 2,016,509 92,080
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Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
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5. Purchases, sales and transaction costs (continued)
31.12.25 %
31.12.24 % Transaction costs as percentage of principal amounts Purchases – Commissions Equities 0.038 0.052 Purchases – Taxes Equities 0.038 0.058 Sales – Commission Equities 0.051 0.046 Sales – Taxes Equities 0.103 0.126 31.12.25 %
31.12.24 % Transaction costs as percentage of average net asset value Commissions 0.061 0.014 Taxes 0.081 0.018
Total 0.142 0.032 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 settlement 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: 0.09%).
State Street AUT Emerging Market Tilted Index Equity Fund
Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
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6. Revenue 31.12.25 31.12.24 £'000 £'000 UK dividends 137 62 Overseas dividends 122,441 61,071 Interest on Capital 7,313 2,234 Property income distributions 148 Stock dividends 355 225 Bank interest 2,089 762 Stock lending revenue 2,075 584 Derivatives revenue 70 29
Revenue 134,628 64,967
7. Expenses 31.12.25 31.12.24 £'000 £'000 Manager's periodic charge 9,865 4,770 CSDR penalties 6 37
Total expenses 9,871 4,807
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 20 basis points for the year ended 31.12.25 (31.12.24: 20 basis points).
8. Interest payable and similar charges 31.12.25 31.12.24 £'000 £'000 Interest payable 150 145
150 145
9. Taxation
(a) Analysis of charge in year: 31.12.25 £'000
31.12.24 £'000 Capital Gain Tax 10,070 471 Indian deferred taxation* (3,484) 23,113 Overseas tax 12,885 5,871
Total current tax 19,471 29,455
Total tax charge (note 9b) 19,471 29,455
* (Decrease)/increase in the unrealised movement on Indian capital gains tax provision.
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Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
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9. Taxation (continued)
(b) Factors affecting total tax charge for the year: 31.12.25 £'000
31.12.24 £'000 Net revenue before taxation 124,607 60,015 Corporation tax of 20% 24,921 12,003 Effects of: Revenue not subject to corporation tax (24,550) (12,216) Movement in excess management expenses (140) 283 Overseas tax 12,885 5,871 Overseas tax expensed (232) (77) Capital gain tax 10,070 471 Indian deferred taxation (3,484) 23,113 Expenses not deductible for tax purposes 1 7
Total tax charge for year (note 9a) 19,471 29,455
(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 £446,355 (31.12.24: £586,008) 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.
(d) Deferred tax 31.12.25 £'000
31.12.24 £'000 Provision at start of year 23,113 Deferred tax (credit)/charge for the year (3,484) 23,113
Provision at end of year 19,629 23,113
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Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
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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 73,801 26,623 Final 64,120 30,105
137,921 56,728
Amounts deducted on cancellation of units 53 Amounts added on issue of units (26,252) (2,584)
Net distribution for the year 111,722 54,144
The net distributions of the year is represented by: Net revenue after taxation 105,136 30,560 Difference between net revenue and distributions due to tax provisions adjustment 6,586 23,584 Tax on US REITs in capital (0) -
Net distribution for the year 111,722 54,144
11. Debtors 31.12.25 31.12.24 £'000 £'000 Creations awaiting settlement 2,070 Sales awaiting settlement 27,718 258 Accrued revenue 11,952 2,754 Overseas tax recoverable 111 7
Total debtors 41,851 3,019
12. Cash and bank balances 31.12.25 31.12.24 £'000 £'000 Cash and bank balances 82,354 16,969 Amounts held at brokers 1,384 1,284
Total cash and bank balances 83,738 18,253
13. Provision for liabilities 31.12.25 31.12.24 £'000 £'000 Provision for liabilities 19,629 23,113
Total provision for liabilities 19,629 23,113
State Street AUT Emerging Market Tilted Index Equity Fund
Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
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13. Provision for liabilities (continued)
The deferred tax liability provision as at 31.12.25 of £19,628,549 (31.12.24: £23,112,537) relates to a potential liability for Indian capital gains tax that may arise on the fund’s Indian investments should they be sold in the future, based on the net unrealised taxable capital gain at the year end and on enacted Indian tax rates. The amount of any future amounts payable may differ from this provision, depending on the value and timing of any future sales of such investments and future Indian tax rates.
14. Other creditors 31.12.25 31.12.24 £'000 £'000 Purchases awaiting settlement 20,883 Accrued Manager's periodic charge 1,167 470 Capital gains tax payable 317 -
Total other creditors 22,367 470
15. Contingent liabilities and commitments The Fund had no contingent liabilities at year end (31.12.24: £nil).
16. Related party transactions The Manager exercises governance and oversight over the Fund and is a related party by virtue of the Trust Deed constituting the Fund.
Amounts paid during the year or due to the Manager at the year end are disclosed under Expenses and Other Creditors in the Notes to the financial statements. At the year end £1,167,130 (31.12.24: £470,679) was due to the Manager in relation to accrued manager’s periodic charges are disclosed in Other Creditors in the Notes to the Financial Statements.
Transactions relating to the creation and cancellation of units and the purchases and sales of investments which pass through the Manager, but are not for the benefit of, either related party are disclosed in the Statement of Change in Net Assets Attributable to Unitholders.
Amounts due to or from the Fund at the year end in relation to these transactions are disclosed under Debtors and Creditors in the Notes to the Financial Statements.
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.
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Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
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17. Risk disclosures (continued)
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
Brazilian real 12,652 268,484 281,136 Chilean peso 1,515 46,473 47,988 Chinese yuan 854 568,208 569,062 Colombian peso 309 24,379 24,688 Czech koruna 5 10,698 10,703 Egyptian pound - 3,210 3,210 Euro 590 77,761 78,351 Hong Kong dollar 9,480 1,369,285 1,378,765 Hungarian forint 72 25,524 25,596 Iceland krona 7 -7 Indian rupee (20,553) 901,923 881,370 Indonesian rupiah 3,221 75,753 78,974 Kuwaiti dinar 164 43,196 43,360 Malaysian ringgit 1,746 97,819 99,565 Mexican peso 2,497 155,443 157,940 New Taiwan dollar 2,737 1,477,560 1,480,297 Philippine peso 2,683 10,053 12,736 Polish zloty 846 78,349 79,195 Qatari rial 488 33,200 33,688 Saudi riyal - 118,674 118,674 Singapore dollar 16 - 16 South African rand 354 240,702 241,056 South Korean won 6,750 914,238 920,988 Thailand baht 205 68,450 68,655 Turkish lira 3 22,428 22,431 UAE dirham 15 94,202 94,217 US dollar 32,010 198,247 230,257 Total 58,666 6,924,259 6,982,925
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Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
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17. Risk disclosures (continued)
The Fund’s currency exposure as at 31st December 2024 was: Net foreign currency assets Currency Monetary exposures £’000
Non-monetary exposures £’000
Total £’000
Brazilian real 2,746 84,076 86,822 Chilean peso 71 16,464 16,535 Chinese yuan 339 164,836 165,175 Colombian peso 52 3,595 3,647 Czech koruna 247 1,981 2,228 Egyptian pound 15 1,406 1,421 Euro 41 17,478 17,519 Hong Kong dollar 2,282 530,968 533,250 Hungarian forint 19 8,813 8,832 Iceland krona 165 3,169 3,334 Indian rupee 601 615,829 616,430 Indonesian rupiah 237 49,766 50,003 Kuwaiti dinar 275 25,851 26,126 Malaysian ringgit 1,009 55,183 56,192 Mexican peso 1,140 63,074 64,214 New Romanian leu 21 4,048 4,069 New Taiwan dollar 1,232 633,699 634,931 Philippine peso 402 17,836 18,238 Qatari rial 56 28,619 28,675 Saudi riyal 22 118,928 118,950 Singapore dollar 40 2,698 2,738 South African rand 274 96,823 97,097 Thailand baht 885 59,202 60,087 Turkish lira 7 35,332 35,339 UAE dirham 196 57,529 57,725 US dollar 7,083 49,464 56,547 Total 19,457 2,746,667 2,766,124
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 £634,811,388 (31.12.2024: £251,465,803).
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 £775,880,585 (31.12.2024: £307,347,093).
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.
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Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
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17. Risk disclosures (continued)
If market prices had increased by 10% as at the balance sheet date, the net asset value of the Fund would have increased by £692,494,085 (31.12.24: £274,592,910). If market prices had decreased by 10% as at the balance sheet date, the net asset value of the Fund would have decreased by £692,494,085 (31.12.24: £274,592,910).
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: 3,919,529
Securities and commodities on loan 221,830 5.66%
Assets engaged in SFTs and total return swaps as at 31st December 2025 £'000 %
Fund assets under management (AUM) 7,008,534
Absolute value of assets engaged in:
Securities lending 221,830 3.17%
State Street AUT Emerging Market Tilted Index Equity Fund
Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
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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
Kingdom of Netherlands 46,753
United Kingdom Gilt 34,010
United Kingdom Inflation-Linked Gilt 8,698
Microsoft 2,418
Meta Platforms 2,394
Republic of Austria 2,369
Finland Government Bond 1,876
United States of America Treasury Inflation Indexed Bonds 1,648
Kingdom of Belgium 1,580
Heidelberg Materials 1,310
Top 10 Counterparties Name and value of outstanding transactions as at 31st December 2025 £'000
JP Morgan Securities 67,219
Barclays Capital Securities 42,792
Citigroup Global Markets (UK) 41,828
Goldman Sachs 21,585
Morgan Stanley International 16,428
UBS 10,927
Merrill Lynch 9,745
Societe Generale 3,923
HSBC Bank 3,556
BNP Paribas Financial Markets 2,539
State Street AUT Emerging Market Tilted Index Equity Fund
Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
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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 3,002
Equity Traded on recognised exchange Australian dollar 428
Equity Traded on recognised exchange Canadian dollar 1,563
Equity Traded on recognised exchange Danish krone 970
Equity Traded on recognised exchange Euro 11,280
Equity Traded on recognised exchange Hong Kong dollar 5,577
Equity Traded on recognised exchange Japanese yen 3,801
Equity Traded on recognised exchange New Zealand dollar 39
Equity Traded on recognised exchange Norwegian krone 970
Equity Traded on recognised exchange Singapore dollar 389
Equity Traded on recognised exchange Swedish krona 1,275
Equity Traded on recognised exchange Swiss franc 5,510
Equity Traded on recognised exchange US dollar 33,122
Fixed Income Investment Grade Sterling 42,708
Fixed Income Investment Grade Australian dollar 110
Fixed Income Investment Grade Canadian dollar 18,473
Fixed Income Investment Grade Danish krone 6
Fixed Income Investment Grade Euro 89,793
Fixed Income Investment Grade New Zealand dollar 60
Fixed Income Investment Grade Norwegian krone 11
Fixed Income Investment Grade Swedish krona 287
Fixed Income Investment Grade US dollar 19,350
Total Collateral held 238,724
State Street AUT Emerging Market Tilted Index Equity Fund
Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
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18. Securities Financing Transactions (SFT) (continued)
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 ----- 170,771 67,953 238,724
Counterparty details as at 31st December 2025
Type
Country of counterparty establishment Settlement and clearing £'000
Securities lending France Tri-party 6,980
Securities lending Germany Tri-party 992
Securities lending Switzerland Tri-party 14,858
Securities lending United Kingdom Tri-party 215,894
Total collateral held 238,724
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 - - - - -- 221,830 221,830
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
JP Morgan 123,338
Bank of New York 115,386
6) Safekeeping of Collateral Granted
The Fund does not borrow stock from counterparties; therefore, no collateral has been granted.
State Street AUT Emerging Market Tilted Index Equity Fund
Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
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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: 1,106,627
Securities and commodities on loan 57,277 5.18%
Assets engaged in SFTs and total return swaps as at 31st December 2024 £'000 %
Fund assets under management (AUM) 2,766,731
Absolute value of assets engaged in:
Securities lending 57,277 2.07%
2) Concentration Data
Top 10 Collateral Issuers Name and value of collateral and commodities received as at 31st December 2024 £'000
Kingdom of Belgium 5,091
United Kingdom Inflation-Linked Gilt 4,888
United Kingdom Gilt 4,263
Kingdom of Netherlands 2,944
United States of America Treasury Inflation Indexed Bonds 2,127
Finland Government Bond 811
Enel 529
NVIDIA 272
Toyota Motor 232
Microsoft 177
State Street AUT Emerging Market Tilted Index Equity Fund
Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
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18. Securities Financing Transactions (SFT) (continued)
Top 10 Counterparties Name and value of outstanding transactions as at 31st December 2024 £'000
JP Morgan Securities 16,087
Goldman Sachs 9,237
Merrill Lynch 8,885
Barclays Capital Securities 6,937
HSBC Bank 5,111
Morgan Stanley International 4,778
Citigroup Global Markets (UK) 2,777
UBS 2,491
BNP Paribas Financial Markets 974
State Street AUT Emerging Market Tilted Index Equity Fund
Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
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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 559
Equity Traded on recognised exchange Canadian dollar 403
Equity Traded on recognised exchange Euro 1,588
Equity Traded on recognised exchange Hong Kong dollar 124
Equity Traded on recognised exchange Japanese yen 3,023
Equity Traded on recognised exchange Norwegian krone 26
Equity Traded on recognised exchange Singapore dollar 914
Equity Traded on recognised exchange Swedish krona 293
Equity Traded on recognised exchange Swiss franc 3
Equity Traded on recognised exchange US dollar 2,187
Fixed Income Investment Grade Sterling 9,151
Fixed Income Investment Grade Australian dollar 135
Fixed Income Investment Grade Canadian dollar 2,771
Fixed Income Investment Grade Euro 32,519
Fixed Income Investment Grade Swedish krona 12
Fixed Income Investment Grade Swiss franc 52
Fixed Income Investment Grade US dollar 7,043
Total Collateral held 60,803
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 - - - 358 - 51,325 9,120 60,803
State Street AUT Emerging Market Tilted Index Equity Fund
Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
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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 1,030
Securities lending Switzerland Tri-party 2,642
Securities lending United Kingdom Tri-party 57,131
Total collateral held 60,803
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 - - - - - - 57,277 57,277
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 34,420
JP Morgan 26,383
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 263,024,889 224,348,050 Issues 292,576,785 38,676,839 Cancellations (675,216) -
Closing units in issue 554,926,458 263,024,889
State Street AUT Emerging Market Tilted Index Equity Fund
Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
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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 6,924,941 2,746,667 Level 2 – Inputs other than quoted prices included within Level 1 that are observable, either directly or indirectly - Level 3 – Price inputs are unobservable - -
6,924,941 2,746,667
Liabilities Level 1 - Unadjusted quoted prices in an active market for identical assets accessible at the measurement date - 738 Level 2 – Inputs other than quoted prices included within Level 1 that are observable, either directly or indirectly - Level 3 – Price inputs are unobservable - -
- 738
6,924,941 2,745,929 There is no material difference between the value of the financial assets and liabilities, as shown in the balance sheet, and their fair value.
State Street AUT Emerging Market Tilted Index Equity Fund
Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
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20. Fair value of investments (continued)
The level 3 holdings as at 31 December 2025 are:
Security Name Shares Market Value £ Aeroflot PJSC 193,640 Alrosa PJSC 307,078 Federal Grid Co-Rosseti PJSC 29,375,613 Gazprom PJSC 1,361,680 Inter RAO UES PJSC 3,994,600 LUKOIL PJSC 49,085 Magnitogorsk Iron & Steel Works PJSC 280,240 Mobile TeleSystems PJSC 110,030 Moscow Exchange MICEX-RTS PJSC 180,830 Novatek PJSC 137,866 Novolipetsk Steel PJSC 143,960 PhosAgro PJSC 127 PhosAgro PJSC (voting rights) 6,582 Polyus PJSC 38,590 Polyus PJSC GDR 1 Rosneft Oil Co. PJSC 158,310 Rostelecom PJSC 108,300 RusHydro PJSC 12,919,000 Sberbank of Russia PJSC 1,349,750 Severstal PAO 23,453 Sistema AFK PAO 452,480 Surgutneftegas PAO 907,000 Surgutneftegas PAO Preference Shares 962,900 Tatneft PJSC 199,174 Tatneft PJSC Preference Shares 29,552 Transneft PJSC 19,600 VTB Bank PJSC 126,906 Yango Group Co. Ltd. 30,800 -
State Street AUT Emerging Market Tilted Index Equity Fund
Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
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20. Fair value of investments (continued)
The level 3 holdings as at 31 December 2024 are:
Security Name Shares Market Value £ Aeroflot PJSC 193,640 Alrosa PJSC 307,078 Energy Absolute PCL NVDR 711,557 Federal Grid Co-Rosseti PJSC 29,375,613 Gazprom PJSC 1,361,680 Inter RAO UES PJSC 3,994,600 LUKOIL PJSC 49,085 Magnitogorsk Iron & Steel Works PJSC 280,240 Mobile TeleSystems PJSC 110,030 Moscow Exchange MICEX-RTS PJSC 180,830 Novatek PJSC 137,866 Novolipetsk Steel PJSC 143,960 PhosAgro PJSC 127 PhosAgro PJSC (voting rights) 6,582 Polyus PJSC 3,859 Polyus PJSC GDR 1 Rosneft Oil Co. PJSC 158,310 Rostelecom PJSC 108,300 RusHydro PJSC 12,919,000 Sberbank of Russia PJSC 1,349,750 Severstal PAO 23,453 Sistema AFK PAO 452,480 Surgutneftegas PAO 907,000 Surgutneftegas PAO Preference Shares 962,900 Tatneft PJSC 199,174 Tatneft PJSC Preference Shares 29,552 Transneft PJSC 19,600 VTB Bank PJSC 126,906 Yango Group Co. Ltd. 30,800 -
In the current and previous year, the Valuation Committee have written off the Russian stocks down to zero due to the current situation. Egypt has imposed restrictions on foreign currency transactions, which means funds cannot easily repatriate the EGP currency. Therefore, the Valuation Committee determined that the NDF rate was more representative of true value than the spot rate (which is typically used to convert local to base currency for valuation purposes).
State Street AUT Emerging Market Tilted Index Equity Fund
Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
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21. Significant events during the financial year On the 24 March 2025, the Fund changed its name and investment objective. The new investment objective is to replicate, as closely as possible the return of the Robeco Scottish Widows Emerging Markets Equity Sustainability Tilted Index and the new name of the Fund is State Street AUT Emerging Market Tilted Index Equity Fund (previously: State Street AUT Emerging Market Screened Index Equity Fund).
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.
In February 2026, a geopolitical conflict escalated in the Middle East. The Investment Manager has assessed the potential impact of this event on the Fund and has determined that the Fund has minimal direct exposure to the region. Accordingly, there has been no material effect on the Fund’s operations or financial position to date. The Investment Manager will continue to monitor developments and will reflect any material impacts in future financial statements, if applicable.
State Street AUT Emerging Market Tilted Index Equity Fund
Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
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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 14.1344 - 14.1344 11.5020 Group 2 5.7695 8.3649 14.1344 11.5020
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 11.5546 - 11.5546 11.4458 Group 2 3.7058 7.8488 11.5546 11.4458
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 Emerging Market Tilted Index Equity Fund
Annual Report and Audited Financial Statements 2025
Distribution Tables
For the year ended 31st December 2025
65
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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 Emerging Market Tilted 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 Emerging Market Tilted Index Equity Fund
Annual Report and Audited Financial Statements 2025
Directory
66
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TASK FORCE ON CLIMATE-RELATED FINANCIAL DISCLOSURES (TCFD) The Manager’s entity and product disclosure reports have been published separately and can be found using the fund finder page on www.ssga.com.
State Street AUT Emerging Market Tilted Index Equity Fund
Annual Report and Audited Financial Statements 2025
Directory (continued)
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State Street Corporation (“SSC”), and its direct and indirect subsidiaries (together with the SSC hereafter referred to as “State Street”) operate a group-wide compensation strategy including a remuneration policy that applies to all State Street entities globally. As the Management Company, State Street Unit Trust Management Limited (“SSUTM”) does not employ any staff and has delegated certain activities in respect of the investment management and risk management to SSGA Limited and SSGA Europe Limited, Poland Branch (together, the “Investment Managers”). As a State Street subsidiary, the Investment Managers are fully integrated into State Street’s group-wide compensation strategy and subject to the global and regional governing body structure of State Street to provide appropriate and effective control of the remuneration arrangements (incl. compliance with the relevant remuneration regulations) across the State Street group of affiliated entities. Under its publicly available charter, the Human Resources Committee (“HRC”) of SSC oversees all of State Street’s compensation plans, policies, and programs in which senior executives participate and incentive, retirement, welfare and equity plans in which certain other employees of SSC participate. It also oversees the alignment of the incentive compensation arrangements with the State Street’s financial safety and soundness consistent with applicable related regulatory rules and guidance. The HRC approves the overall allocation of the Incentive Compensation (“IC”) Plan pool. State Street’s CEO allocates IC pools to business units and corporate functions based upon a variety of factors, which may include budget performance, achievement of key goals and other considerations. The final expenditure and overall allocation between current and deferred awards are then reviewed by the HRC prior to payment.
State Street also has separate UK and SSGAEL Remuneration Committees in place for the Investment Managers with the primary duties to:
• review the remuneration policy applicable to employees, management and Identified Staff of the Investment Managers and oversee its implementation;
• oversee compliance with any applicable remuneration regulations; and
• review and endorse remuneration decisions related to Identified Staff and consider recommendations for ex-post risk adjustment of Identified Staff.
State Street operates an annually reviewed global remuneration policy document (supplemented by any relevant addenda by jurisdiction or regulatory regime), which documents State Street’s existing remuneration framework. This policy is intended to comply with applicable remuneration regulatory requirements including, but not limited to, those contained in the CRD, UCITS V and AIFMD, and will be interpreted and administered accordingly. State Street’s remuneration policies and practices apply on a global basis to all employees of the State Street group (incl. the Investment Managers). The key principles that align State Street’s remuneration system with the business strategy are as follows:
• We emphasize total rewards.
• We target the aggregate annual value of our Total Rewards Program to be competitive with our business peers.
• We unequivocally support equal pay for work of equal value.
• Funding for our Total Rewards Program is subject to affordability and is designed to be flexible based on corporate performance.
• We differentiate pay based on performance.
• We align employees’ interests with shareholders’ interests.
• Our compensation plans are designed to comply with applicable regulations and related guidance, including prohibiting incentives to take excessive risks.
State Street AUT Emerging Market Tilted Index Equity Fund
Annual Report and Audited Financial Statements 2025
Appendix I – Remuneration Policy (Unaudited)
68
Page 71
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 Emerging Market Tilted Index Equity Fund
Annual Report and Audited Financial Statements 2025
Appendix I – Remuneration Policy (Unaudited) (continued)
69
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"text": "Comparative Table*"
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"text": "Statement of Change in Net Assets Attributable to Unitholders 39"
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"text": "Notes to the Financial Statements"
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"text": "Distribution Tables"
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"text": "Directory*"
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"text": "Appendix I \u2013 Remuneration Policy (Unaudited)"
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"text": "* These collectively comprise the Manager\u2019s Report."
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"text": "State Street AUT Emerging Market Tilted Index Equity Fund"
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"text": "Annual Report and Audited Financial Statements 2025"
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"text": "Authorised Status"
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"text": "The State Street AUT Emerging Market Tilted Index Equity Fund (the \u201cFund\u201d) is an Authorised Unit Trust Scheme as defined"
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"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"
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"text": "Collective Investment Schemes sourcebook. The unitholders are not liable for the debts of the Fund."
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"text": "Investment Objective and Policy"
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"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 Robeco"
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"text": "Scottish Widows Emerging Markets Equity Sustainability Tilted Index (the \"Robeco Index\"), net of withholding taxes (or its"
},
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"text": "recognised replacement or equivalent)."
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"text": "The Manager will seek to achieve this objective principally by investing in the shares of certain companies included from time"
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"text": "to time in the Index considered by the Investment Adviser to reflect accurately the performance of that Index. The Fund may"
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"text": "also invest in transferable securities, money market instruments, warrants, units in collective investment schemes, deposits"
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"text": "and derivatives."
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"text": "The Fund may invest in collective investment schemes managed or operated by companies in the same group as the"
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"text": "Manager or the Investment Adviser. The Fund will seek to track the performance of the Index whilst seeking to minimise as"
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"text": "far as possible the tracking error between the Fund\u2019s performance and that of the Index."
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"text": "The objective of the Robeco Index is to reflect the return of the Selection Factors as described below via investing in global"
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"text": "emerging markets (as determined by Robeco)."
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"text": "Selection Factors"
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"text": "The Robeco Index:"
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"text": "(i) seeks exposure to stocks that have positive environmental and societal contributions, underpinned by the United Nations"
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"text": "Sustainable Development Goals (\u201cUN SDGs\u201d) and"
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"text": "(ii) seeks to significantly reduce carbon footprint of the Robeco Index relative to the S\u0026P Emerging Plus (Korea) LargeMidCap"
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"text": "Index (the \u201cParent Index\u201d) whilst tilting towards the transition leaders and high quality companies as determined by Robeco"
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"text": "using its proprietary climate criteria and Robeco Quality factor (the \u201cInvestable Universe\u201d)."
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"text": "The Investable Universe is screened based on exclusion criteria as determined by Robeco within its screening methodology"
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"text": "(the \u201c Robeco Negative Screen\u201d)."
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"text": "The Robeco Negative Screen includes the following criteria which will be applied to the Investable Universe at the point of"
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"text": "rebalance of the Robeco Index:"
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"id": "5d74ab09-2580-40f6-b939-7ee8f13c95a2",
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"text": "-Tobacco, determined as %* Value Revenue Chain (as defined by Robeco);"
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"id": "4911a949-f605-4e45-b3b6-76666d6265eb",
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"text": "-Thermal Coal (excluding generation), determined as %* of Revenue (as defined by Robeco) Tar Sands, determined as %*"
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"text": "Revenue (as defined by Robeco);"
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"text": "-UN Global Compact Violators (any involvement as determined by Robeco);"
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"text": "-Controversial Weapons (any involvement as determined by Robeco)."
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"text": "Performance"
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"text": "The Fund returned 20.13% on a net basis for the 1 year period ended 31 December 2025 (the \u201cReporting Period\u201d), compared"
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"text": "to the Index return of 21.29%. The size of the Fund\u2019s tracking difference for the Reporting Period was -1.16%; the"
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"text": "underperformance versus the Index was largely attributable to benchmark change in March and Indian CGT accrual. The"
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"text": "Fund realised an ex-post 1-year tracking error of 0.82% against the benchmark index."
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"text": "Note: Performance returns presented above are in GBP."
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"text": "State Street AUT Emerging Market Tilted Index Equity Fund"
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"text": "Annual Report and Audited Financial Statements 2025"
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"text": "Manager\u2019s Report"
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"text": "For the year ended 31st December 2025"
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"text": "Risk and Reward Profile"
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