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State Street AUT Europe ex-UK
Screened Index Equity Fund
Interim Report and Unaudited Financial Statements
For the period ended 30th June 2026
Page 2
Contents Page
Manager's Report* 1
Portfolio Statement* 4
Directors' Report to Unitholders* 18
Comparative Table* 19
Financial statements: 20
Statement of Total Return 20
Statement of Change in Net Assets Attributable to Unitholders 20
Balance Sheet 21
Notes to the Financial Statements 22
Directory* 32
* These collectively comprise the Manager’s Report.
State Street AUT Europe ex-UK Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Page 3
Authorised Status The State Street AUT Europe ex-UK Screened Index Equity Fund (the “Fund”) is an Authorised Unit Trust Scheme as defined in section 243 of the Financial Services and Markets Act 2000 and it is a UCITS Retail Scheme within the meaning of the FCA Collective Investment Schemes sourcebook. The unitholders are not liable for the debts of the Fund.
Investment Objective and Policy The objective of the Fund is to replicate, as closely as possible and on a “gross of fees” basis, the return of the Europe 'ex UK' equity market as represented by the FTSE Developed Europe 'ex UK' ex Controversies ex CW ex Tobacco ex Thermal Coal (10%) Index, net of withholding taxes (or its recognised replacement or equivalent).
The Fund is passively managed, meaning that the objective of the Scheme is to achieve an investment return that is as close as possible, and on a “gross of fees” basis, to the return of the Index applicable to the Fund. The Investment Adviser seeks to achieve the objective by using a replication strategy. This strategy seeks to hold all of the securities of the particular Index, with the approximate weightings as in that Index. The Fund may also invest in transferable securities, money market instruments, warrants, units in collective investment schemes, deposits and derivatives.
The Fund may invest in collective investment schemes managed or operated by companies in the same group as the Manager or the Investment Adviser. The Fund will seek to track the performance of the Index whilst seeking to minimise as far as possible the tracking error between the Fund’s performance and that of the Index.
The Indices include negative screens that exclude securities from the Indices based on four criteria:
1. Controversial weapons (including chemical & biological weapons, cluster munitions, anti-personnel landmines),
2. Controversies as defined by the ten principles of the UN Global Compact:
Human Rights
a) Principle 1: Businesses should support and respect the protection of internationally proclaimed human rights; and
b) Principle 2: make sure that they are not complicit in human rights abuses.
Labour
c) Principle 3: Businesses should uphold the freedom of association and the effective recognition of the right to collective bargaining;
d) Principle 4: the elimination of all forms of forced and compulsory labour;
e) Principle 5: the effective abolition of child labour; and
f) Principle 6: the elimination of discrimination in respect of employment and occupation.
Environment
g) Principle 7: Businesses should support a precautionary approach to environmental challenges;
h) Principle 8: undertake initiatives to promote greater environmental responsibility; and
i) Principle 9: encourage the development and diffusion of environmentally friendly technologies.
Anti-Corruption
j) Principle 10: Businesses should work against corruption in all its forms, including extortion and bribery.
The negative screens will therefore apply when the Fund invest in shares of companies included in the Index (but not in respect of other investments held by the Fund from time to time).
3. Tobacco (companies engaged in the production of tobacco and/or tobacco products),
4. Thermal Coal (companies with revenues greater than or equal to 10% from extraction or power generation of thermal coal).
State Street AUT Europe ex-UK Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Manager’s Report
For the period ended 30th June 2026
1
Page 4
Performance The Fund returned 9.89% (9.85% net of fees) for the 6-month period ended 30 June 2026 (the “Reporting Period”), compared to the Index return of 9.52%. The size of the Fund’s tracking difference for the Reporting Period was -0.37%; the outperformance versus the Index was largely attributable to withholding tax.
Note: Performance returns presented above are in GBP.
Risk and Reward Profile Lower risk
Potentially lower reward
Higher risk
Potentially higher reward
1234 67 5 5
Risk Disclaimer The risk category above is not a measure of capital loss or gains but of how significant the rises and falls in the Fund’s return have been historically.
For example a fund whose return has experienced significant rises and falls will be in a higher risk category, whereas a fund whose return has experienced less significant rises and falls will be in a lower risk category.
The lowest category (i.e. category 1) does not mean that a fund is a risk free investment.
As the Fund's risk category has been calculated using historical data, it may not be a reliable indication of the Fund's future risk profile.
The Fund’s risk category shown is not guaranteed and may change in the future.
Why is this Fund in this category? The Fund is in risk category 5 as its return has experienced medium rises and falls historically.
The following are material risks relevant to the Fund which are not adequately captured by the risk category.
Concentration Risk: When the Fund focuses its investments in a particular way, the issues affecting the investments will have a greater effect than if the Fund was more diversified. This concentration may also limit the Fund's liquidity.
Counterparty Risk: The Fund will be subject to credit risk with respect to the counterparties with which it enters into derivatives contracts and other transactions. There is a risk that these institutions may not be able to perform their obligations. This could reduce the value of the Fund's investments.
Index Tracking Risk: The Fund's performance may not exactly track the Index. This can result from market fluctuations,changes in the composition of the Index, transaction costs, the costs of making changes to the Fund's portfolio and other Fund expenses.
Liquidity Risk: It may be difficult for the Fund to buy or sell certain investments in difficult market conditions. Consequently the price obtained when selling securities may be lower than under normal market conditions.
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 Europe ex-UK Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Manager's Report (continued)
For the period ended 30th June 2026
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 30th June 2026, the Fund had a total notional exposure to futures of £2,102,046.13 (2.00% 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 one year ended 30th June 2026 was 0.23% which was within the targeted tolerance.
State Street AUT Europe ex-UK Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Manager's Report (continued)
For the period ended 30th June 2026
3
Page 6
Holdings
Market Value £'000
% of Total Net Assets
Austria — 0.75% (31.12.25 — 0.68%) ANDRITZ AG 784 51 0.05 BAWAG Group AG 926 139 0.13 Erste Group Bank AG 3,415 344 0.33 OMV AG 1,720 81 0.08 Raiffeisen Bank International AG 1,534 74 0.07 Strabag SE 290 22 0.02 Telekom Austria AG 1,508 13 0.01 Verbund AG 795 38 0.04 Vienna Insurance Group AG Wiener Versicherung Gruppe 424 24 0.02
786 0.75
Belgium — 1.84% (31.12.25 — 1.68%) Ackermans & van Haaren NV 257 63 0.06 Ageas SA 2,215 134 0.13 Anheuser-Busch InBev SA 11,706 733 0.70 D'ieteren Group 247 36 0.03 Elia Group SA 531 64 0.06 Financiere de Tubize SA 233 46 0.04 Groupe Bruxelles Lambert NV 942 65 0.06 KBC Group NV 2,731 280 0.27 Lotus Bakeries NV 5 50 0.05 Sofina SA 173 33 0.03 Syensqo SA 838 47 0.05 UCB SA 1,488 336 0.32 Warehouses De Pauw CVA* 2,362 45 0.04
1,932 1.84
Curacao — 0.03% (31.12.25 — 0.00%) HAL Trust 207 29 0.03
Denmark — 3.19% (31.12.25 — 3.57%) AP Moller - Maersk AS 'A' Shares 32 56 0.05 AP Moller - Maersk AS 'B' Shares 37 66 0.06
State Street AUT Europe ex-UK Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement
As at 30th June 2026
4
Page 7
Holdings
Market Value £'000
% of Total Net Assets
Denmark — 3.19% (31.12.25 — 3.57%) (continued) Carlsberg AS 1,091 108 0.10 Coloplast AS 1,620 70 0.07 Danske Bank AS 7,660 309 0.29 Demant AS 983 30 0.03 DSV AS 2,352 422 0.40 Genmab AS 742 153 0.15 H Lundbeck AS 'A' Shares 1,107 5 0.01 H Lundbeck AS 'B' Shares 2,841 14 0.01 Novo Nordisk AS 38,646 1,400 1.33 Novonesis Novozymes B 4,142 198 0.19 Orsted AS 5,541 94 0.09 Pandora AS 919 79 0.08 Rockwool AS 973 24 0.02 Tryg AS 3,684 63 0.06 Vestas Wind Systems AS 12,130 260 0.25
3,351 3.19
Finland — 2.33% (31.12.25 — 2.24%) Elisa OYJ 1,680 53 0.05 Fortum OYJ 5,068 88 0.08 Kesko OYJ 3,172 53 0.05 Kone OYJ 3,764 161 0.15 Metso OYJ 8,320 109 0.10 Neste OYJ 4,932 121 0.12 Nokia OYJ 61,142 607 0.58 Nordea Bank Abp 39,219 559 0.53 Orion OYJ 1,262 78 0.07 Sampo OYJ 30,057 238 0.23 Stora Enso OYJ 7,013 57 0.05 UPM-Kymmene OYJ 6,249 125 0.12 Valmet OYJ 1,705 31 0.03 Wartsila OYJ Abp 6,036 173 0.17
2,453 2.33
State Street AUT Europe ex-UK Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
5
Page 8
Holdings
Market Value £'000
% of Total Net Assets
France — 17.17% (31.12.25 — 18.57%) Abivax SA 810 81 0.08 Accor SA 2,547 111 0.11 Aeroports de Paris SA 471 46 0.04 Air Liquide SA 7,704 1,150 1.09 Alstom SA 4,061 53 0.05 Amundi SA 707 51 0.05 AXA SA 19,672 743 0.71 Ayvens SA 4,109 41 0.04 BioMerieux 527 31 0.03 BNP Paribas SA 11,984 1,054 1.00 Bollore SE 8,212 29 0.03 Bouygues SA 2,668 112 0.11 Bureau Veritas SA 4,184 96 0.09 Capgemini SE 1,860 141 0.13 Carrefour SA 6,780 95 0.09 Cie de Saint-Gobain SA 5,633 384 0.37 Cie Generale des Etablissements Michelin SCA 7,831 228 0.22 Covivio SA* 761 35 0.03 Credit Agricole SA 11,192 170 0.16 Danone SA 7,819 483 0.46 Dassault Aviation SA 212 52 0.05 Dassault Systemes SE 7,970 123 0.12 Edenred SE 2,719 53 0.05 Eiffage SA 917 102 0.10 Engie SA 22,235 528 0.50 EssilorLuxottica SA 3,548 501 0.48 FDJ UNITED 1,356 25 0.02 Gecina SA* 619 39 0.04 Getlink SE 3,728 60 0.06 Hermes International SCA 419 577 0.55 Ipsen SA 421 61 0.06 Kering SA 845 180 0.17 Klepierre SA* 2,513 79 0.07 Legrand SA 3,116 396 0.38 L'Oreal SA 2,795 925 0.88
State Street AUT Europe ex-UK Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
6
Page 9
Holdings
Market Value £'000
% of Total Net Assets
France — 17.17% (31.12.25 — 18.57%) (continued) LVMH Moet Hennessy Louis Vuitton SE 3,013 1,256 1.19 Orange SA 25,216 359 0.34 Pernod Ricard SA 2,301 127 0.12 Publicis Groupe SA 2,953 220 0.21 Renault SA 2,214 48 0.05 Rexel SA 2,690 88 0.08 Safran SA 4,204 1,249 1.19 Sanofi SA 13,041 843 0.80 Sartorius Stedim Biotech 336 53 0.05 Schneider Electric SE 6,607 1,624 1.55 SCOR SE 2,092 57 0.05 Societe Generale SA 8,138 543 0.52 Sodexo SA 979 43 0.04 SPIE SA 1,774 77 0.07 Thales SA 1,083 210 0.20 TotalEnergies SE 23,478 1,376 1.31 Unibail-Rodamco-Westfield* 1,470 130 0.12 Veolia Environnement SA 7,920 248 0.24 Vinci SA 5,931 653 0.62
18,039 17.17
Germany — 16.01% (31.12.25 — 17.91%) adidas AG 2,007 310 0.29 Allianz SE 4,646 1,654 1.57 Aumovio SE 614 19 0.02 BASF SE 10,979 443 0.42 Bayer AG 12,180 505 0.48 Bayerische Motoren Werke AG 3,331 165 0.16 Bayerische Motoren Werke AG Preference Shares 645 32 0.03 Bechtle AG 989 27 0.03 Beiersdorf AG 1,246 81 0.08 Brenntag SE 1,391 63 0.06 Commerzbank AG 7,900 253 0.24 Continental AG 1,320 82 0.08
State Street AUT Europe ex-UK Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
7
Page 10
Holdings
Market Value £'000
% of Total Net Assets
Germany — 16.01% (31.12.25 — 17.91%) (continued) CTS Eventim AG & Co. KGaA 689 30 0.03 Daimler Truck Holding AG 6,202 225 0.21 Delivery Hero SE 2,691 83 0.08 Deutsche Bank AG 21,279 543 0.52 Deutsche Boerse AG 2,229 458 0.44 Deutsche Lufthansa AG 7,198 62 0.06 Deutsche Post AG 11,241 514 0.49 Deutsche Telekom AG 41,522 851 0.81 Deutsche Wohnen SE 729 12 0.01 DWS Group GmbH & Co. KGaA 426 24 0.02 E.ON SE 26,789 417 0.40 Evonik Industries AG 2,937 40 0.04 Fraport AG Frankfurt Airport Services Worldwide 437 28 0.03 Fresenius Medical Care AG 2,531 86 0.08 Fresenius SE & Co. KGaA 4,972 171 0.16 FUCHS SE 524 15 0.01 FUCHS SE Preference Shares 718 24 0.02 GEA Group AG 1,731 90 0.09 Hannover Rueck SE 723 151 0.14 Heidelberg Materials AG 1,519 219 0.21 Henkel AG & Co. KGaA 1,131 67 0.06 Henkel AG & Co. KGaA Preference Shares 1,897 120 0.11 Hensoldt AG 726 43 0.04 HOCHTIEF AG 182 79 0.08 Infineon Technologies AG 15,944 1,114 1.06 KION Group AG 845 28 0.03 Knorr-Bremse AG 796 70 0.07 LEG Immobilien SE 901 43 0.04 Mercedes-Benz Group AG 9,285 351 0.33 Merck KGaA 1,559 197 0.19 MTU Aero Engines AG 649 204 0.19 Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen 1,588 668 0.64 Nemetschek SE 681 31 0.03 Rational AG 61 34 0.03 RENK Group AG 930 34 0.03
State Street AUT Europe ex-UK Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
8
Page 11
Holdings
Market Value £'000
% of Total Net Assets
Germany — 16.01% (31.12.25 — 17.91%) (continued) Rheinmetall AG 553 473 0.45 SAP SE 12,544 1,446 1.38 Schaeffler AG 2,885 21 0.02 Scout24 SE 844 53 0.05 Siemens AG 8,954 2,168 2.06 Siemens Energy AG 9,223 1,319 1.25 Siemens Healthineers AG 4,816 142 0.13 Symrise AG 1,591 121 0.12 Talanx AG 720 68 0.06 Traton SE 747 21 0.02 Vonovia SE 9,422 174 0.17 Zalando SE 2,859 63 0.06
16,829 16.01
Ireland — 0.70% (31.12.25 — 0.71%) AIB Group PLC 25,804 228 0.22 Bank of Ireland Group PLC 11,608 174 0.16 Kerry Group PLC 1,954 135 0.13 Kingspan Group PLC 1,830 127 0.12 Ryanair Holdings PLC 3,170 75 0.07
739 0.70
Italy — 6.65% (31.12.25 — 6.13%) A2A SpA 18,912 37 0.04 Banca Mediolanum SpA 2,595 49 0.05 Banca Monte dei Paschi di Siena SpA 25,088 235 0.22 Banco BPM SpA 17,746 231 0.22 BPER Banca SpA 18,452 218 0.21 Brunello Cucinelli SpA 405 29 0.03 Buzzi SpA 989 38 0.04 Davide Campari-Milano NV 6,744 32 0.03 Enel SpA 91,946 796 0.76 Eni SpA 22,980 408 0.39 Ferrari NV 1,436 401 0.38
State Street AUT Europe ex-UK Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
9
Page 12
Holdings
Market Value £'000
% of Total Net Assets
Italy — 6.65% (31.12.25 — 6.13%) (continued) FinecoBank Banca Fineco SpA 7,381 140 0.13 Generali 11,400 418 0.40 Hera SpA 9,362 29 0.03 Infrastrutture Wireless Italiane SpA 3,769 20 0.02 Interpump Group SpA 913 27 0.03 Intesa Sanpaolo SpA 184,306 951 0.90 Italgas SpA 7,444 65 0.06 Leonardo SpA 4,854 196 0.19 Mediobanca Banca di Credito Finanziario SpA 1,051 24 0.02 Moncler SpA 2,700 118 0.11 Nexi SpA 4,874 15 0.01 Pirelli & C SpA 5,135 29 0.03 Poste Italiane SpA 5,546 137 0.13 Prysmian SpA 3,542 446 0.42 Recordati Industria Chimica e Farmaceutica SpA 1,309 58 0.05 Reply SpA 264 21 0.02 Snam SpA 24,818 135 0.13 Technoprobe SpA 1,819 55 0.05 Telecom Italia SpA 22,070 151 0.14 Terna - Rete Elettrica Nazionale 16,912 149 0.14 UniCredit SpA 18,409 1,239 1.18 Unipol Assicurazioni SpA 4,543 96 0.09
6,993 6.65
Luxembourg — 0.42% (31.12.25 — 0.42%) ArcelorMittal SA 5,104 232 0.22 CVC Capital Partners PLC 2,547 28 0.03 Eurofins Scientific SE 1,377 81 0.08 RTL Group SA 600 16 0.01 Tenaris SA 4,072 85 0.08
442 0.42
Netherlands — 13.20% (31.12.25 — 11.79%) ABN AMRO Bank NV 7,294 234 0.22
State Street AUT Europe ex-UK Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
10
Page 13
Holdings
Market Value £'000
% of Total Net Assets
Netherlands — 13.20% (31.12.25 — 11.79%) (continued) Adyen NV 321 227 0.22 Aegon Ltd. 15,591 100 0.09 Airbus SE 7,150 1,198 1.14 Akzo Nobel NV 2,010 103 0.10 Argenx SE 763 533 0.51 ASM International NV 574 495 0.47 ASML Holding NV 4,710 6,983 6.64 ASR Nederland NV 1,890 108 0.10 BE Semiconductor Industries NV 853 211 0.20 CTP NV 1,574 22 0.02 Euronext NV 1,047 126 0.12 EXOR NV 1,039 60 0.06 Ferrovial NV 5,706 295 0.28 Heineken Holding NV 1,364 78 0.07 Heineken NV 3,257 207 0.20 IMCD NV 701 48 0.05 ING Groep NV 35,482 844 0.80 Koninklijke Ahold Delhaize NV 11,104 337 0.32 Koninklijke KPN NV 44,781 166 0.16 Koninklijke Philips NV 9,604 197 0.19 Magnum Ice Cream Co. NV 5,823 76 0.07 NN Group NV 3,188 210 0.20 Prosus NV 14,684 480 0.46 Qiagen NV 2,443 71 0.07 Randstad NV 1,303 28 0.03 Stellantis NV 25,813 111 0.11 Universal Music Group NV 11,981 189 0.18 Wolters Kluwer NV 2,720 132 0.12
13,869 13.20
Norway — 1.15% (31.12.25 — 1.10%) Aker ASA 249 22 0.02 Aker BP ASA 3,706 86 0.08 DNB Bank ASA 10,281 231 0.22
State Street AUT Europe ex-UK Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
11
Page 14
Holdings
Market Value £'000
% of Total Net Assets
Norway — 1.15% (31.12.25 — 1.10%) (continued) Equinor ASA 8,422 201 0.19 Gjensidige Forsikring ASA 2,221 45 0.04 Kongsberg Gruppen ASA 4,959 113 0.11 Kongsberg Maritime AS 4,959 19 0.02 Mowi ASA 5,331 74 0.07 Norsk Hydro ASA 15,560 107 0.10 Orkla ASA 8,003 63 0.06 Salmar ASA 832 29 0.03 Telenor ASA 7,591 82 0.08 Var Energi ASA 10,492 33 0.03 Vend Marketplaces ASA 1,996 36 0.04 Yara International ASA 1,951 65 0.06
1,206 1.15
Poland — 0.97% (31.12.25 — 0.81%) Allegro.eu SA 10,835 82 0.08 Bank Polska Kasa Opieki SA 2,133 98 0.09 Dino Polska SA 5,773 33 0.03 Erste Bank Polska SA 510 66 0.06 InPost SA 3,070 41 0.04 KGHM Polska Miedz SA 1,784 118 0.11 LPP SA 16 59 0.06 mBank SA 159 43 0.04 ORLEN SA 7,023 178 0.17 Powszechna Kasa Oszczednosci Bank Polski SA 10,365 215 0.20 Powszechny Zaklad Ubezpieczen SA 6,879 90 0.09
1,023 0.97
Portugal — 0.35% (31.12.25 — 0.32%) Banco Comercial Portugues SA 108,249 96 0.09 EDP SA 35,994 142 0.13
State Street AUT Europe ex-UK Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
12
Page 15
Holdings
Market Value £'000
% of Total Net Assets
Portugal — 0.35% (31.12.25 — 0.32%) (continued) Galp Energia SGPS SA 4,976 80 0.08 Jeronimo Martins SGPS SA 3,312 48 0.05
366 0.35
Spain — 7.53% (31.12.25 — 7.27%) Acciona SA 287 69 0.07 ACS Actividades de Construccion y Servicios SA 2,230 247 0.24 ACS Actividades de Construccion y Servicios SA Rights 2,230 3 0.00 Aena SME SA 8,357 192 0.18 Amadeus IT Group SA 5,433 239 0.23 Banco Bilbao Vizcaya Argentaria SA 68,168 1,284 1.22 Banco de Sabadell SA 60,218 161 0.15 Banco Santander SA 176,560 1,838 1.75 Bankinter SA 7,490 94 0.09 CaixaBank SA 45,333 484 0.46 Cellnex Telecom SA 6,814 154 0.15 Corp. ACCIONA Energias Renovables SA 460 9 0.01 EDP Renewables SA 3,748 46 0.04 Endesa SA 3,807 131 0.12 Grifols SA 3,628 28 0.03 Grifols SE Preference Shares 2,898 16 0.02 Iberdrola SA 82,361 1,549 1.47 Indra Sistemas SA 1,054 43 0.04 Industria de Diseno Textil SA 13,427 638 0.61 Mapfre SA 10,999 41 0.04 Merlin Properties Socimi SA* 5,000 66 0.06 Naturgy Energy Group SA 5,758 136 0.13 Redeia Corp. SA 4,867 63 0.06 Repsol SA 12,965 245 0.23 Telefonica SA 44,537 135 0.13
7,911 7.53
Sweden — 6.30% (31.12.25 — 6.65%) AAK AB 2,161 39 0.04
State Street AUT Europe ex-UK Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
13
Page 16
Holdings
Market Value £'000
% of Total Net Assets
Sweden — 6.30% (31.12.25 — 6.65%) (continued) AddTech AB 2,717 73 0.07 Alfa Laval AB 3,282 147 0.14 Assa Abloy AB 12,168 325 0.31 Atlas Copco AB 'A' Shares 30,348 465 0.44 Atlas Copco AB 'B' Shares 18,826 253 0.24 Axfood AB 1,260 25 0.02 Beijer Ref AB 5,256 58 0.06 Boliden AB 3,368 144 0.14 Castellum AB 4,028 40 0.04 Epiroc AB 'B' Shares 5,024 88 0.08 Epiroc AB 'A' Shares 7,639 159 0.15 EQT AB 6,470 138 0.13 Essity AB 7,061 152 0.14 Evolution AB 1,522 79 0.08 Fastighets AB Balder 8,186 33 0.03 Getinge AB 2,621 41 0.04 H&MH ennes & Mauritz AB 5,252 68 0.07 Hexagon AB 24,790 156 0.15 Holmen AB 801 19 0.02 Industrivarden AB 'A' Shares 1,070 45 0.04 Industrivarden AB 'C' Shares 2,084 86 0.08 Indutrade AB 3,217 50 0.05 Investment AB Latour 1,614 24 0.02 Investor AB 'A' Shares 6,170 191 0.18 Investor AB 'B' Shares 21,408 674 0.64 L E Lundbergforetagen AB 859 38 0.04 Lifco AB 2,635 65 0.06 Nibe Industrier AB 17,477 49 0.05 Saab AB 3,776 149 0.14 Sagax AB 'B' Shares 2,718 33 0.03 Sagax AB 'D' Shares 3,718 9 0.01 Sandvik AB 12,488 390 0.37 Securitas AB 5,677 70 0.07 Skandinaviska Enskilda Banken AB 'A' Shares 18,393 277 0.26 Skandinaviska Enskilda Banken AB 'C' Shares 732 11 0.01
State Street AUT Europe ex-UK Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
14
Page 17
Holdings
Market Value £'000
% of Total Net Assets
Sweden — 6.30% (31.12.25 — 6.65%) (continued) Skanska AB 3,980 81 0.08 SKF AB 4,023 78 0.07 SSAB AB 'A' Shares 1,292 9 0.01 SSAB AB 'B' Shares 8,442 59 0.06 Svenska Cellulosa AB SCA 6,973 54 0.05 Svenska Handelsbanken AB 'A' Shares 17,061 190 0.18 Svenska Handelsbanken AB 'B' Shares 698 13 0.01 Sweco AB 2,439 24 0.02 Swedbank AB 9,756 275 0.26 Swedish Orphan Biovitrum AB 2,236 80 0.08 Tele2 AB 6,569 86 0.08 Telefonaktiebolaget LM Ericsson 32,910 277 0.26 Telia Co. AB 27,408 101 0.10 Trelleborg AB 2,365 74 0.07 Volvo AB 'A' Shares 2,591 67 0.06 Volvo AB 'B' Shares 18,812 485 0.46 Volvo Car AB 5,959 9 0.01
6,625 6.30
Switzerland — 19.17% (31.12.25 — 19.05%) ABB Ltd. 18,945 1,550 1.47 Alcon AG 5,941 303 0.29 Amrize Ltd. 6,486 259 0.25 Avolta AG 1,199 60 0.06 Bachem Holding AG 524 37 0.04 Banque Cantonale Vaudoise 339 37 0.04 Barry Callebaut AG 43 45 0.04 Belimo Holding AG 119 101 0.10 BKW AG 236 30 0.03 Chocoladefabriken Lindt & Spruengli AG 1 90 0.09 Chocoladefabriken Lindt & Spruengli AG (Non-Voting) 12 105 0.10 Cie Financiere Richemont SA 6,492 1,131 1.08 DSM-Firmenich AG 2,348 168 0.16 EMS-Chemie Holding AG 79 51 0.05
State Street AUT Europe ex-UK Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
15
Page 18
Holdings
Market Value £'000
% of Total Net Assets
Switzerland — 19.17% (31.12.25 — 19.05%) (continued) Flughafen Zurich AG 228 53 0.05 Galderma Group AG 2,212 380 0.36 Geberit AG 396 200 0.19 Georg Fischer AG 938 37 0.04 Givaudan SA 96 307 0.29 Helvetia Baloise Holding AG 922 180 0.17 Holcim AG 6,152 419 0.40 Julius Baer Group Ltd. 2,470 161 0.15 Kuehne & Nagel International AG 558 102 0.10 Logitech International SA 1,797 127 0.12 Lonza Group AG 855 436 0.41 Nestle SA 31,443 2,440 2.32 Novartis AG 22,771 2,692 2.56 Partners Group Holding AG 259 160 0.15 PSP Swiss Property AG 546 74 0.07 Roche Holding AG 387 123 0.12 Roche Holding AG (Non-Voting) 8,598 2,672 2.54 Sandoz Group AG 4,981 340 0.32 Schindler Holding AG 242 58 0.06 Schindler Holding AG Participating Certificates 491 123 0.12 SGS SA 2,084 182 0.17 SIG Group AG 3,930 50 0.05 Sika AG 1,941 302 0.29 Sonova Holding AG 594 107 0.10 STMicroelectronics NV 7,745 430 0.41 Straumann Holding AG 1,303 130 0.12 Swatch Group AG 588 22 0.02 Swatch Group AG (Bearer) 337 62 0.06 Swiss Life Holding AG 344 286 0.27 Swiss Prime Site AG 965 119 0.11 Swiss Re AG 3,633 436 0.41 Swisscom AG 322 188 0.18 Swissquote Group Holding SA 1,300 46 0.04 Temenos AG 656 40 0.04 UBS Group AG 38,358 1,435 1.37
State Street AUT Europe ex-UK Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
16
Page 19
Holdings
Market Value £'000
% of Total Net Assets
Switzerland — 19.17% (31.12.25 — 19.05%) (continued) VAT Group AG 325 214 0.20 VZ Holding AG 176 25 0.02 Zurich Insurance Group AG 1,823 1,019 0.97
20,144 19.17
United Kingdom — 0.03% (31.12.25 — 0.00%) Verisure PLC 3,605 30 0.03
Derivatives — 0.03% (31.12.25 — 0.01%)
Futures — 0.03% (31.12.25 — 0.01%) EURO STOXX 50 Index Futures September 2026† 27 19 0.02 OMXS 30 Index Futures July 2026† 9 4 0.00 Swiss Market Index Futures September 2026† 3 10 0.01
33 0.03
Portfolio of investments 102,800 97.82 Net other assets 2,291 2.18
Total net assets 105,091 100.00
All holdings are ordinary shares or common stock unless otherwise stated. * Real Estate Investment Trust. † Goldman Sachs is the counterparty, total notional exposure is £2,102,046 and 2.00% as a percentage of the Fund’s value.
State Street AUT Europe ex-UK Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
17
Page 20
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Page 21
Comparative Table For the period ended 30th June 2026
2026 (to 30.06) 2025 2024 Closing net asset value (£'000) 105,091 179,006 6,036,971 Closing number of units 25,738,428 48,162,990 2,073,591,413 Closing net asset value per unit (£) 4.0830 3.7167 2.9114 Change in net asset value per unit 9.86% 27.66% 2.40% Operating charges^ 0.10% 0.12% 0.12%
^ The Operating charge changed from 12bps to 5bps on 1 April 2026. The above Operating charge percentage represents an average for the year.
General risk factors The value of funds and the revenue from them is not guaranteed and may fall as well as rise. You may get back less than you originally invested. What you get back may depend on:
• Investment performance is not guaranteed. Past performance is no guarantee of future performance. There may also be variation in performance between funds with similar investment objectives.
• The effect of an initial charge. If you sell your investment after a short period you may not get back what you originally invested, even if the price of your investment has not fallen.
• The entire market of a particular asset class or geographical region may fall, having a greater effect on funds heavily invested in that asset class or region.
• If you make regular withdrawals from your investment be aware that if the level of withdrawal exceeds the rate of investment growth of the fund, your capital will be eroded.
• Governments may change the tax rules which affect you or the funds in which you have invested.
• Inflation will reduce what you could buy in the future, i.e. it will reduce the real value of your investment.
• There is no certainty that the investment objective of any fund will actually be achieved.
State Street AUT Europe ex-UK Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
19
Page 22
Statement of Total Return For the period ended 30th June 2026
Period ended 30.06.26
Period ended 30.06.25 £'000 £'000 £'000 £'000 Income Net capital gains 4,795 688,651 Revenue 3,059 154,243 Expenses (67) (3,662) Interest payable and similar charges - (2)
Net revenue before taxation 2,992 150,579 Taxation (334) (14,340)
Net revenue after taxation 2,658 136,239
Total return before distributions 7,453 824,890 Distributions (2,658) (136,238)
Change in net assets attributable to unitholders from investment activities 4,795 688,652
Statement of Change in Net Assets Attributable to Unitholders For the period ended 30th June 2026
Period ended 30.06.26
Period ended 30.06.25 £’000 £’000 £’000 £’000 Opening net assets 179,006 6,036,971 Issue of units 9,504 143,708 Cancellation of units (90,372) (1,066,631)
(80,868) (922,923) Dilution adjustment (17) 419 Change in unitholders' funds from investment activities 4,795 688,652 Retained distributions on accumulation units 2,175 131,255
Closing net assets 105,091 5,934,374
State Street AUT Europe ex-UK Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
20
Page 23
Balance Sheet As at 30th June 2026
30.06.26 31.12.25 £'000 £'000 Assets Investments 102,800 177,125 Amounts receivable 38,443 40,287 Cash and Cash equivalents 909 2,571
Total assets 142,152 219,983
Liabilities Bank overdrafts -5 Other amounts payable 37,061 40,972
Total liabilities 37,061 40,977
Net assets attributable to unitholders 105,091 179,006
All items within the Balance Sheet are deemed current.
Notes to the Financial Statements are on pages 22 to 31.
State Street AUT Europe ex-UK Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
21
Page 24
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 104 ("FRS 104") and the Statement of Recommended Practice ("SORP") for Authorised Funds issued by the Investment Association ("IA") in October 2025 (the "IA SORP 2025").
(b) Adoption of IA SORP 2025 Changes in accounting policies
The following changes have been made to the accounting policies compared with the audited financial statements for the year ended 31 December 2025, following adoption of IA SORP 2025.
- In accordance with the 2025 SORP mid-market prices are an appropriate valuation basis for investments. A restatement oft he prior year comparatives is not required by the IA SORP (paragraph 1.12), the value of investments for the prior year is shown at bid market value, in line with the previous accounting policy.
Changes in presentation
The presentation of these financial statements has been changed from the previous period to comply with the requirements of IA SORP 2025. These changes include:
- Amendments to labelling of line items within the financial statements;- Removal of distribution tables;
- The inclusion of a going concern assessment;- The inclusion of significant related party transactions;
- The inclusion of the fair value hierarchy of the portfolio.
(c) Going Concern The financial statements are prepared on the going concern basis.
The Authorised Corporate Director ("ACD") has undertaken a detailed assessment of each of the remaining Funds ability to meet its liabilities as they fall due, including liquidity, declines in global capital markets and investor redemption levels. Based on this assessment, the Funds continue to be open for trading and the ACD is satisfied the Funds have adequate financial resources to continue in operation for the foreseeable future, being at least 12 months from the date of approval, and accordingly it is appropriate to adopt the going concern basis in preparing the financial statements.
2. Related party transactions The Manager exercises governance and oversight over the Fund and is a related party by virtue of the Trust Deed constituting the Fund.
Amounts paid during the period to the Manager were £66,832 (31.12.25: £4,352,951).
At the period end £4,240 (31.12.25: £19,143) was due to the Manager in relation to accrued manager’s periodic charges.
Transactions relating to the creation and cancellation of units and the purchases and sales of investments which pass through the Manager, but are not for the benefit of, either related party are disclosed in the Statement of Change in Net Assets Attributable to Unitholders.
State Street AUT Europe ex-UK Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Notes to the Financial Statements
For the period ended 30th June 2026
22
Page 25
3. Securities Financing Transactions ("SFT")
1) Global Data
Proportion of securities and commodities on loan as at 30th June 2026 £'000 %
Total lendable assets excluding cash and cash equivalents: 97,515
Securities and commodities on loan 2,736 2.81%
Assets engaged in SFTs and total return swaps as at 30th June 2026 £'000 %
Fund assets under management ("AUM") 105,091
Absolute value of assets engaged in:
Securities lending 2,736 2.60%
2) Concentration Data
Top 10 Collateral Issuers Name and value of collateral and commodities received as at 30th June 2026 £'000
United Kingdom Gilt 135
United Kingdom Inflation-Linked Gilt 124
Republic of Austria 117
Tencent 67
Alibaba Group Holding 63
Apple 36
United States of America Treasury Inflation Indexed Bonds 36
Kingdom of Netherlands 34
JD.com 31
Frontline 27
State Street AUT Europe ex-UK Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Notes to the Financial Statements (continued)
For the period ended 30th June 2026
23
Page 26
3. Securities Financing Transactions ("SFT") (continued)
Top 10 Counterparties Name and value of outstanding transactions as at 30th June 2026 £'000
UBS 622
Societe Generale 602
HSBC Bank 510
Barclays Capital Securities 412
Morgan Stanley International 269
BNP Paribas Financial Markets 126
Citigroup Global Markets (UK) 87
Goldman Sachs 64
ING Bank 44
The table includes a full list of counterparties.
State Street AUT Europe ex-UK Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Notes to the Financial Statements (continued)
For the period ended 30th June 2026
24
Page 27
3. Securities Financing Transactions ("SFT") (continued)
3) Aggregate Transaction Data
Type, Quality and Currency of Collateral as at 30th June 2026
Type Quality Currency £'000
Securities lending
Equity Traded on recognised exchange Sterling 142
Equity Traded on recognised exchange Australian Dollar 60
Equity Traded on recognised exchange Canadian Dollar 65
Equity Traded on recognised exchange Danish Krone 21
Equity Traded on recognised exchange Euro 445
Equity Traded on recognised exchange Hong Kong Dollar 498
Equity Traded on recognised exchange Japanese Yen 205
Equity Traded on recognised exchange Norwegian Krone 21
Equity Traded on recognised exchange Singapore Dollar 242
Equity Traded on recognised exchange Swedish Krona 61
Equity Traded on recognised exchange Swiss Franc 97
Equity Traded on recognised exchange US Dollar 313
Fixed Income Investment Grade Sterling 260
Fixed Income Investment Grade Australian Dollar 1
Fixed Income Investment Grade Canadian Dollar 36
Fixed Income Investment Grade Euro 276
Fixed Income Investment Grade Swedish Krona 9
Fixed Income Investment Grade US Dollar 191
Total Collateral held 2,943
Maturity Tenor of Collateral (remaining period to maturity) as at 30th June 2026
Less than one day
One day to one week
One week to one month
One to three months
Three months to one year
Above one year
Open maturity Total
Type £'000 £'000 £'000 £'000 £'000 £'000 £'000 £'000
Securities lending - - - - - 774 2,169 2,943
State Street AUT Europe ex-UK Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Notes to the Financial Statements (continued)
For the period ended 30th June 2026
25
Page 28
3. Securities Financing Transactions ("SFT") (continued)
Counterparty details as at 30th June 2026
Type
Country of counterparty establishment Settlement and clearing £'000
Securities lending France Tri-party 786
Securities lending Netherlands Tri-party 48
Securities lending Switzerland Tri-party 672
Securities lending United Kingdom Tri-party 1,437
Total collateral held 2,943
Maturity Tenor of SFTs and Total Return Swaps (remaining period to maturity) as at 30th June 2026
Less than one day
One day to one week
One week to one month
One to three months
Three months to one year
Above one year
Open maturity Total
Type £'000 £'000 £'000 £'000 £'000 £'000 £'000 £'000
Securities lending - - - - - - 2,736 2,736
4) Re-use of Collateral
The Fund does not engage in re-use of collateral.
5) Safekeeping of Collateral Received
Names and value of custodians safekeeping collateral as at 30th June 2026 £'000
Bank of New York 2,166
JP Morgan 777
6) Safekeeping of Collateral Granted
The Fund does not borrow stock from counterparties; therefore, no collateral has been granted.
State Street AUT Europe ex-UK Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Notes to the Financial Statements (continued)
For the period ended 30th June 2026
26
Page 29
3. Securities Financing Transactions ("SFT") (continued)
1) Global Data
Proportion of securities and commodities on loan as at 31st December 2025 £'000 %
Total lendable assets excluding cash and cash equivalents: 167,893
Securities and commodities on loan 4,989 2.97%
Assets engaged in SFTs and total return swaps as at 31st December 2025 £'000 %
Fund assets under management ("AUM") 179,006
Absolute value of assets engaged in:
Securities lending 4,989 2.79%
2) Concentration Data
Top 10 Collateral Issuers Name and value of collateral and commodities received as at 31st December 2025 £'000
Heidelberg Materials 167
Erste Group Bank 166
UniCredit 131
Tencent 124
JD.com 118
Danske Bank 115
United Kingdom Inflation-Linked Gilt 104
Republic of Austria 101
Kingdom of Netherlands 98
Ryanair Holdings 80
State Street AUT Europe ex-UK Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Notes to the Financial Statements (continued)
For the period ended 30th June 2026
27
Page 30
3. Securities Financing Transactions ("SFT") (continued)
Top 10 Counterparties Name and value of outstanding transactions as at 31st December 2025 £'000
BNP Paribas Financial Markets 1,201
Societe Generale 1,049
Barclays Capital Securities 903
Citigroup Global Markets (UK) 503
Nomura 363
HSBC Bank 280
UBS 250
Morgan Stanley International 233
Merrill Lynch 85
Goldman Sachs 77
State Street AUT Europe ex-UK Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Notes to the Financial Statements (continued)
For the period ended 30th June 2026
28
Page 31
3. Securities Financing Transactions ("SFT") (continued)
3) Aggregate Transaction Data
Type, Quality and Currency of Collateral as at 31st December 2025
Type Quality Currency £'000
Securities lending
Equity Traded on recognised exchange Sterling 122
Equity Traded on recognised exchange Australian Dollar 91
Equity Traded on recognised exchange Canadian Dollar 85
Equity Traded on recognised exchange Danish Krone 133
Equity Traded on recognised exchange Euro 1,659
Equity Traded on recognised exchange Hong Kong Dollar 474
Equity Traded on recognised exchange Japanese Yen 534
Equity Traded on recognised exchange Norwegian Krone 45
Equity Traded on recognised exchange Singapore Dollar 183
Equity Traded on recognised exchange Swedish Krona 100
Equity Traded on recognised exchange Swiss Franc 96
Equity Traded on recognised exchange US Dollar 1,078
Fixed Income Investment Grade Sterling 173
Fixed Income Investment Grade Australian Dollar 14
Fixed Income Investment Grade Canadian Dollar 1
Fixed Income Investment Grade Danish Krone 1
Fixed Income Investment Grade Euro 416
Fixed Income Investment Grade Norwegian Krone 1
Fixed Income Investment Grade Swedish Krona 1
Fixed Income Investment Grade US Dollar 184
Total Collateral held 5,391
Maturity Tenor of Collateral (remaining period to maturity) as at 31st December 2025
Less than one day
One day to one week
One week to one month
One to three months
Three months to one year
Above one year
Open maturity Total
Type £'000 £'000 £'000 £'000 £'000 £'000 £'000 £'000
Securities lending - - - - - 791 4,600 5,391
State Street AUT Europe ex-UK Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Notes to the Financial Statements (continued)
For the period ended 30th June 2026
29
Page 32
3. Securities Financing Transactions ("SFT") (continued)
Counterparty details as at 31st December 2025
Type
Country of counterparty establishment Settlement and clearing £'000
Securities lending France Tri-party 2,436
Securities lending Switzerland Tri-party 281
Securities lending United Kingdom Tri-party 2,674
Total collateral held 5,391
Maturity Tenor of SFTs and Total Return Swaps (remaining period to maturity) as at 31st December 2025
Less than one day
One day to one week
One week to one month
One to three months
Three months to one year
Above one year
Open maturity Total
Type £'000 £'000 £'000 £'000 £'000 £'000 £'000 £'000
Securities lending - - - - - - 4,989 4,989
4) Re-use of Collateral
The Fund does not engage in re-use of collateral.
5) Safekeeping of Collateral Received
Names and value of custodians safekeeping collateral as at 31st December 2025 £'000
Bank of New York 2,866
JP Morgan 2,525
6) Safekeeping of Collateral Granted
The Fund does not borrow stock from counterparties; therefore, no collateral has been granted.
4. Fair value For financial instruments held at fair value in the balance sheet, the Fund is required to disclose for each class of financial instrument, an analysis of the level in the fair value:
Level 1 – The unadjusted quoted price in an active market for identical assets or liabilities that the entity can access at the measurement date;
Level 2 – Inputs other than quoted prices included within Level 1 that are observable (i.e. developed using market data) for the asset or liability, either directly or indirectly;
State Street AUT Europe ex-UK Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Notes to the Financial Statements (continued)
For the period ended 30th June 2026
30
Page 33
4. Fair value (continued)
Level 3 – Inputs are unobservable (i.e. for which market data is unavailable) for the asset or liability.
30.06.26 Level 1 £'000
30.06.26 Level 2 £'000
30.06.26 Level 3 £'000
30.06.26 Total £'000 Assets: Equities 102,767 - - 102,767 Derivatives 33 - - 33 102,800 - - 102,800
31.12.25 Level 1 £'000
31.12.25 Level 2 £'000
31.12.25 Level 3 £'000
31.12.25 Total £'000 Assets: Equities 177,101 - - 177,101 Derivatives 24 - - 24 177,125 - - 177,125
5. Significant events during the financial period The Annual Management Charge changed from 12bps to 5bps on 1 April 2026.
6. Subsequent events since the financial year The anti-dilution mechanism shall change from dilution levy to dilution adjustment on 1 September 2026. There have been no other significant events affecting the Fund after the financial year ended 30 June 2026 that require amendment to or disclosure in the financial statements.
State Street AUT Europe ex-UK Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Notes to the Financial Statements (continued)
For the period ended 30th June 2026
31
Page 34
THE MANAGER State Street Unit Trust Management Limited 20 Churchill Place, Canary Wharf London E14 5HJ
Regulated by The Financial Conduct Authority.
DIRECTORS V. Parry* (resigned 2 January 2026) C. Fernandes (resigned 2 January 2026) N. Wightman* (resigned 2 January 2026) R. Bridger B. Healy* (appointed 2 January 2026) B. Lim Siong Kwong Lam Thuon Mine* (appointed 2 January 2026) E. Linnane (appointed 2 January 2026) T. Coghlan* (appointed 2 January 2026) * Independent non-executive Director
INVESTMENT MANAGER, REGISTRAR & TRANSFER AGENT State Street Global Advisors Limited 20 Churchill Place London E14 5HJ
Regulated by The Financial Conduct Authority.
INDEPENDENT AUDITORS PricewaterhouseCoopers LLP Chartered Accountants and Statutory Auditors 120 Bothwell Street Glasgow G2 7JS
DEPOSITARY HSBC Bank plc 8 Canada Square Canary Wharf London E14 5HQ
HSBC Bank plc is authorised by the Prudential Regulation Authority and regulated by the Prudential Regulation Authority and the Financial Conduct Authority.
CONSTITUTION State Street AUT Europe ex-UK Screened Index Equity Fund is an authorised unit trust scheme within the meaning of, and governed by section 243, of the Financial Services and Markets Act 2000. The Fund is a ‘wider range’ investment scheme under the Trustee Investments Act 1961.
PROSPECTUS Copies of the Prospectus are available from the Manager upon request.
Please remember that the price of units and the income from them can go down as well as up. Past performance is not necessarily a guide to the future. Changes in exchange rates may also affect the value.
ASSESSMENT OF VALUE Assessment of Value ("AoV") was introduced by the FCA to ensure UK authorised fund managers (“AFMs”) demonstrate the delivery of value for underlying investors, objectively assessing ourselves against a range of criteria. Our annual assessment of value statement can be found in a composite report on www.ssga.com.
State Street AUT Europe ex-UK Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Directory
32
Page 35
TASK FORCE ON CLIMATE-RELATED FINANCIAL DISCLOSURES ("TCFD") The Manager’s entity and product disclosure reports have been published separately and can be found using the fund finder page on www.ssga.com.
State Street AUT Europe ex-UK Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Directory (continued)
33
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"text": "Statement of Change in Net Assets Attributable to Unitholders 20"
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"text": "Directory*"
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"text": "* These collectively comprise the Manager\u2019s Report."
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"text": "State Street AUT Europe ex-UK Screened Index Equity Fund"
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"text": "Interim Report and Unaudited Financial Statements 2026"
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"text": "The State Street AUT Europe ex-UK Screened 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": "The objective of the Fund is to replicate, as closely as possible and on a \u201cgross of fees\u201d basis, the return of the Europe \u0027ex UK\u0027"
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"text": "equity market as represented by the FTSE Developed Europe \u0027ex UK\u0027 ex Controversies ex CW ex Tobacco ex Thermal Coal"
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"text": "(10%) Index, net of withholding taxes (or its recognised replacement or equivalent)."
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"text": "The Fund is passively managed, meaning that the objective of the Scheme is to achieve an investment return that is as close"
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"text": "as possible, and on a \u201cgross of fees\u201d basis, to the return of the Index applicable to the Fund. The Investment Adviser seeks"
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"text": "to achieve the objective by using a replication strategy. This strategy seeks to hold all of the securities of the particular Index,"
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"text": "with the approximate weightings as in that Index. The Fund may also invest in transferable securities, money market"
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"text": "instruments, warrants, units in collective investment schemes, deposits 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 Indices include negative screens that exclude securities from the Indices based on four criteria:"
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"text": "1. Controversial weapons (including chemical \u0026 biological weapons, cluster munitions, anti-personnel landmines),"
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"text": "2. Controversies as defined by the ten principles of the UN Global Compact:"
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"text": "Human Rights"
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"text": "a) Principle 1: Businesses should support and respect the protection of internationally proclaimed human rights; and"
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"text": "b) Principle 2: make sure that they are not complicit in human rights abuses."
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"text": "c) Principle 3: Businesses should uphold the freedom of association and the effective recognition of the right to collective"
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"text": "bargaining;"
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"text": "d) Principle 4: the elimination of all forms of forced and compulsory labour;"
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"text": "e) Principle 5: the effective abolition of child labour; and"
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"text": "f) Principle 6: the elimination of discrimination in respect of employment and occupation."
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"text": "g) Principle 7: Businesses should support a precautionary approach to environmental challenges;"
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"text": "j) Principle 10: Businesses should work against corruption in all its forms, including extortion and bribery."
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"text": "The negative screens will therefore apply when the Fund invest in shares of companies included in the Index (but not in"
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"text": "respect of other investments held by the Fund from time to time)."
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"text": "3. Tobacco (companies engaged in the production of tobacco and/or tobacco products),"
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"text": "4. Thermal Coal (companies with revenues greater than or equal to 10% from extraction or power generation of thermal coal)."
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"text": "State Street AUT Europe ex-UK Screened Index Equity Fund"
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"text": "Interim Report and Unaudited Financial Statements 2026"
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"text": "For the period ended 30th June 2026"
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"text": "The Fund returned 9.89% (9.85% net of fees) for the 6-month period ended 30 June 2026 (the \u201cReporting Period\u201d), compared"
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"text": "to the Index return of 9.52%. The size of the Fund\u2019s tracking difference for the Reporting Period was -0.37%; the"
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"text": "outperformance versus the Index was largely attributable to withholding tax."
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"text": "Note: Performance returns presented above are in GBP."
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"text": "1234 67 5"
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"text": "The risk category above is not a measure of capital loss or gains but of how significant the rises and falls in the Fund\u2019s return"
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"id": "ea0c73cd-9b0c-4bbe-984e-efb904f3d3ae",
"page_number": 4,
"text": "have been historically."
},
{
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"text": "For example a fund whose return has experienced significant rises and falls will be in a higher risk category, whereas a fund"
},
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"id": "ab97640c-9566-4ff8-9d16-e8fb18bdf811",
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"text": "whose return has experienced less significant rises and falls will be in a lower risk category."
},
{
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"y": 478
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"id": "27a1be4a-1413-45b3-8b72-31bbad8c871e",
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"text": "The lowest category (i.e. category 1) does not mean that a fund is a risk free investment."
},
{
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"id": "fdabdada-2faa-4a12-91ac-52e7fbad9078",
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"text": "As the Fund\u0027s risk category has been calculated using historical data, it may not be a reliable indication of the Fund\u0027s future"
},
{
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"x": 48,
"y": 514
},
"id": "d75e0260-cb7b-4690-87cf-ec1c10bdae66",
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"text": "risk profile."
},
{
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"x": 47,
"y": 535
},
"id": "e7e5b915-47d0-4741-9ab4-a18e06ad2430",
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"text": "The Fund\u2019s risk category shown is not guaranteed and may change in the future."
},
{
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"width": 272,
"x": 46,
"y": 564
},
"id": "3ad71e66-caae-4150-b753-13b6987f2e9c",
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"text": "Why is this Fund in this category?"
},
{
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"width": 695,
"x": 47,
"y": 581
},
"id": "37f54a63-87ea-47ca-819e-f414ccf26abb",
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"text": "The Fund is in risk category 5 as its return has experienced medium rises and falls historically."
},
{
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"id": "2f8b8576-0dfa-4fb0-85ac-cd1c6ba9eba6",
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"text": "The following are material risks relevant to the Fund which are not adequately captured by the risk category."
},
{
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},
"id": "d4fc452a-a1bc-440e-b2ec-475ce2fc6c28",
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"text": "Concentration Risk:"
},
{
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"width": 739,
"x": 211,
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},
"id": "78722512-766b-4008-959e-2c69e2691f32",
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"text": "When the Fund focuses its investments in a particular way, the issues affecting the investments will"
},
{
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"id": "1c779f3a-14b5-42b8-b696-5b197d00ae14",
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"text": "have a greater effect than if the Fund was more diversified. This concentration may also limit the Fund\u0027s liquidity."
},
{
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"width": 151,
"x": 47,
"y": 659
},
"id": "e2e46366-7808-47cf-ae6a-f73950412384",
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"text": "Counterparty Risk:"
},
{
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"width": 744,
"x": 207,
"y": 660
},
"id": "47ff2c7e-2e6e-44f2-ace7-ea7d9a253ec2",
"page_number": 4,
"text": "The Fund will be subject to credit risk with respect to the counterparties with which it enters into"
},
{
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"x": 47,
"y": 674
},
"id": "22893091-c577-44a1-a80e-c5f91d3a3455",
"page_number": 4,
"text": "derivatives contracts and other transactions. There is a risk that these institutions may not be able to perform their obligations."
},
{
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"width": 403,
"x": 47,
"y": 688
},
"id": "2bff2632-5ea6-454d-aec1-1dfcc78cfe24",
"page_number": 4,
"text": "This could reduce the value of the Fund\u0027s investments."
},
{
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"x": 48,
"y": 709
},
"id": "da378b47-8935-4b03-87f1-5db5e8fcccf4",
"page_number": 4,
"text": "Index Tracking Risk:"
},
{
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"box": {
"height": 11,
"width": 717,
"x": 234,
"y": 709
},
"id": "ab2e1671-f35d-44ef-aaad-3a3b5f88f184",
"page_number": 4,
"text": "The Fund\u0027s performance may not exactly track the Index. This can result from market"
},
{
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"width": 904,
"x": 47,
"y": 723
},
"id": "13a4e299-af92-482e-82f2-2212fb9aaeb8",
"page_number": 4,
"text": "fluctuations,changes in the composition of the Index, transaction costs, the costs of making changes to the Fund\u0027s portfolio"
},
{
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"box": {
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"width": 193,
"x": 47,
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},
"id": "1c4cd065-f20b-4f9f-8f2b-b7e5c209db48",
"page_number": 4,
"text": "and other Fund expenses."
},
{
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"box": {
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"width": 112,
"x": 48,
"y": 759
},
"id": "4f72a963-9b2f-46e6-915d-5b77f36964e5",
"page_number": 4,
"text": "Liquidity Risk:"
},
{
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"width": 784,
"x": 167,
"y": 759
},
"id": "583773c9-6ecd-4742-82a3-70a7800b31f9",
"page_number": 4,
"text": "It may be difficult for the Fund to buy or sell certain investments in difficult market conditions. Consequently"
},
{
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"width": 689,
"x": 47,
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},
"id": "556fc1ee-8609-4d8b-b06e-f6143cc02726",
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"text": "the price obtained when selling securities may be lower than under normal market conditions."
},
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"x": 47,
"y": 795
},
"id": "69d4edf2-2140-48da-b82b-bff160138eab",
"page_number": 4,
"text": "Screening Risk:"
},
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"x": 175,
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},
"id": "38a4a046-a26f-4423-b9c8-4a08f8d3f99f",
"page_number": 4,
"text": "The Scheme may track an index that uses a screen to identify securities based on criteria including, but, not"
},
{
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"x": 47,
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},
"id": "67d2eb7e-eb71-42ea-b48e-1448a4ac7a40",
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"text": "limited to environmental, social and governance (ESG) criteria. The screen may be fully or partially designed by the Manager"
},
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},
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"text": "or by a third party provider. There is a risk that errors are made in the screening process. There is an additional risk that a"
},
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"width": 903,
"x": 47,
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},
"id": "71639e63-2cae-4775-8577-5a7b7be8e3b4",
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"text": "screen provider may amend or discontinue its screening services and/or that the Manager may change the screen or screen"
},
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},
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"page_number": 4,
"text": "provider. In such circumstances, there is no guarantee that a replacement screen provided would result in a similar screening"
},
{
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"x": 48,
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},
"id": "74436c9f-9d7d-4270-a4d7-c2596e8a508b",
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"text": "process or would be available."
},
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"id": "714359a6-f1cc-4bfb-81ef-d8f4b88d6df1",
"page_number": 4,
"text": "State Street AUT Europe ex-UK Screened Index Equity Fund"
},
{
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"width": 505,
"x": 48,
"y": 65
},
"id": "e05ab932-8840-4000-b84e-ce38a0244b0a",
"page_number": 4,
"text": "Interim Report and Unaudited Financial Statements 2026"
},
{
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"width": 281,
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},
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"text": "Manager\u0027s Report (continued)"
},
{
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"x": 48,
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"id": "3558c9a2-826c-4844-9ca9-3dd1492fb1e8",
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"text": "For the period ended 30th June 2026"
},
{
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"id": "944e5c04-e059-46d3-b1f2-277a2bd86c14",
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"text": "2"
},
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"text": "Derivatives Usage"
},
{
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},
"id": "fb7109f2-0949-4e9d-aa0e-688608b0c941",
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"text": "Derivatives are used in the Fund for efficient portfolio management purposes. The Fund invests in index futures to manage"
},
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},
"id": "1f4f0799-90b4-48a4-965f-c3a0ddb8e442",
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"text": "client inflows and outflows and to hedge accrued income. At all times the futures exposure is covered entirely by cash or cash"
},
{
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"id": "af13b5e6-a064-457d-9c8f-d26ba26e26de",
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"text": "equivalents."
},
{
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},
"id": "1dd6cb8d-c8a4-4797-a8e3-082a7f1eb732",
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"text": "As at 30th June 2026, the Fund had a total notional exposure to futures of \u00a32,102,046.13 (2.00% of the Fund)."
},
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"text": "Tracking Error"
},
{
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"id": "0b7a5808-e339-4516-bdc5-7ccacc7792a5",
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"text": "The Tracking Error measures the standard deviation of the relative returns. It is the annualised standard deviation of the"
},
{
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"id": "c96b7207-b111-4f3b-9af4-90c75368001f",
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"text": "returns of a fund minus those of its benchmark (relative returns) and not the standard deviation of each fund\u2019s unique returns."
},
{
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"id": "b7287f42-3541-42dd-970d-4971cbeab930",
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"text": "The lower the tracking error of a fund, the more the fund resembles its benchmark or the market regarding risk and return"
},
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"text": "characteristics."
},
{
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"id": "d6923ee0-d88f-44fc-803c-ac1930b26a8f",
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"text": "The size of the Fund\u2019s tracking error for the one year ended 30th June 2026 was 0.23% which was within the"
},
{
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},
"id": "b100c17f-b2bf-405f-bb37-fa138fffdf38",
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"text": "targeted tolerance."
},
{
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"x": 47,
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},
"id": "4ee94455-61f8-42b7-ba67-4287e43bdba9",
"page_number": 5,
"text": "State Street AUT Europe ex-UK Screened Index Equity Fund"
},
{
"block_type": "box",
"box": {
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"width": 505,
"x": 48,
"y": 65
},
"id": "42a236d7-bac6-43d0-90be-fd951f4dff23",
"page_number": 5,
"text": "Interim Report and Unaudited Financial Statements 2026"
},
{
"block_type": "box",
"box": {
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"x": 48,
"y": 123
},
"id": "e727093b-f9b6-41b7-9904-fee4b35bd5f6",
"page_number": 5,
"text": "Manager\u0027s Report (continued)"
},
{
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"width": 273,
"x": 48,
"y": 147
},
"id": "ba8b2e90-c127-4c73-940b-3df61fe002de",
"page_number": 5,
"text": "For the period ended 30th June 2026"
},
{
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"box": {
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"width": 6,
"x": 496,
"y": 956
},
"id": "c4e556bb-78e1-487c-a729-38778a53bf97",
"page_number": 5,
"text": "3"
},
{
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"width": 70,
"x": 621,
"y": 174
},
"id": "58c65fe1-5e43-4973-b212-44b31ba2377e",
"page_number": 6,
"text": "Holdings"
},
{
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"width": 101,
"x": 724,
"y": 159
},
"id": "0a2d1333-86ee-4107-8e32-40bd80f02f8b",
"page_number": 6,
"text": "Market Value"
},
{
"block_type": "box",
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"width": 40,
"x": 785,
"y": 173
},
"id": "2960927d-b6d5-494b-a74b-c1f13519236b",
"page_number": 6,
"text": "\u00a3\u0027000"
},
{
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"box": {
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"width": 77,
"x": 873,
"y": 159
},
"id": "12708d54-7d0d-4f2f-b6f3-7e3fda414c89",
"page_number": 6,
"text": "% of Total"
},
{
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"width": 84,
"x": 867,
"y": 174
},
"id": "628722fd-fc92-4e38-b86c-3a5c894c4d2e",
"page_number": 6,
"text": "Net Assets"
},
{
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"width": 285,
"x": 46,
"y": 208
},
"id": "7f71c17f-949e-4eac-9c1a-da5193cc0f14",
"page_number": 6,
"text": "Austria \u2014 0.75% (31.12.25 \u2014 0.68%)"
},
{
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"width": 905,
"x": 46,
"y": 228
},
"id": "791f93d5-f450-4e05-a756-d7a2f57b2a6a",
"page_number": 6,
"text": "ANDRITZ AG 784 51 0.05"
},
{
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"width": 903,
"x": 48,
"y": 247
},
"id": "2dc206b3-76a7-478c-b639-e6dfc9a37b34",
"page_number": 6,
"text": "BAWAG Group AG 926 139 0.13"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 903,
"x": 48,
"y": 267
},
"id": "53605f86-118d-4c48-b0ab-00d31783407b",
"page_number": 6,
"text": "Erste Group Bank AG 3,415 344 0.33"
},
{
"block_type": "box",
"box": {
"height": 8,
"width": 64,
"x": 47,
"y": 287
},
"id": "f1280340-a1c8-4891-94f5-6a338d7006a2",
"page_number": 6,
"text": "OMV AG"
},
{
"block_type": "box",
"box": {
"height": 10,
"width": 300,
"x": 651,
"y": 287
},
"id": "ea70d961-6cc4-45b0-a888-08803d353a53",
"page_number": 6,
"text": "1,720 81 0.08"
},
{
"block_type": "box",
"box": {
"height": 11,
"width": 903,
"x": 48,
"y": 306
},
"id": "d91c9b92-c215-49fc-bbfb-258135265e69",
"page_number": 6,
"text": "Raiffeisen Bank International AG 1,534 74 0.07"
},
{
"block_type": "box",
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"width": 903,
"x": 47,
"y": 326
},
"id": "29a66a08-fffc-473c-8335-c1b3bcb65f4d",
"page_number": 6,
"text": "Strabag SE 290 22 0.02"
},
{
"block_type": "box",
"box": {
"height": 10,
"width": 901,
"x": 47,
"y": 346
},
"id": "b99b5b3f-16ed-48f8-8700-750cbd5a18a3",
"page_number": 6,
"text": "Telekom Austria AG 1,508 13 0.01"
},
{
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"box": {
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"width": 905,
"x": 46,
"y": 365
},
"id": "b57493f4-c43c-40dc-8247-55d329d7077f",
"page_number": 6,
"text": "Verbund AG 795 38 0.04"
},
{
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"width": 904,
"x": 46,
"y": 385
},
"id": "23d8fcd3-5d4b-47e4-ba9f-dce819b423f3",
"page_number": 6,
"text": "Vienna Insurance Group AG Wiener Versicherung Gruppe 424 24 0.02"
},
{
"block_type": "box",
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"width": 153,
"x": 798,
"y": 413
},
"id": "e6d8c47d-23d2-4b5d-9d9c-a526be1989e3",
"page_number": 6,
"text": "786 0.75"
},
{
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"box": {
"height": 11,
"width": 292,
"x": 48,
"y": 461
},
"id": "b22a974a-ca46-47ba-ae57-006d1868ae31",
"page_number": 6,
"text": "Belgium \u2014 1.84% (31.12.25 \u2014 1.68%)"
},
{
"block_type": "box",
"box": {
"height": 9,
"width": 905,
"x": 46,
"y": 481
},
"id": "cbf9e329-deca-4078-8c61-dba46dfb4be8",
"page_number": 6,
"text": "Ackermans \u0026 van Haaren NV 257 63...