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State Street AUT North America
Screened Index Equity Fund
Annual Report and Audited Financial Statements
For the year ended 31st December 2025
Page 2
Contents Page
Manager's Report* 1
Portfolio Statement* 4
Directors' Report to Unitholders* 25
Manager's Statement of Responsibilities 26
Statement of the Depositary's Responsibilities 27
Independent Auditors’ Report 28
Comparative Table* 31
Financial statements: 32
Statement of Total Return 32
Statement of Change in Net Assets Attributable to Unitholders 32
Balance Sheet 33
Notes to the Financial Statements 34
Distribution Tables 45
Directory* 46
Appendix I – Remuneration Policy (Unaudited) 48
* These collectively comprise the Manager’s Report.
State Street AUT North America Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Page 3
Authorised Status The State Street AUT North America 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 North America equity market as represented by the FTSE North America ex Controversies ex CW ex Tobacco ex Thermal Coal (10%) 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 transferrable securities, money market instruments, warrants, units in collective investment schemes, deposits and derivatives.
The Fund may invest in collective investment schemes managed or operated by companies in the same group as the Manager or the Investment Adviser. The Fund will seek to track the performance of the Index whilst seeking to minimise as far as possible the tracking error between the Fund’s performance and that of the Index.
The Indices include negative screens that exclude securities from the Indices based on four criteria:
1. Controversial weapons (including chemical & biological weapons, cluster munitions, antipersonnel landmines),
2. Controversies as defined by the ten principles of the UN Global Compact:
Human Rights
a) Principle 1: Businesses should support and respect the protection of internationally proclaimed human rights; and
b) Principle 2: make sure that they are not complicit in human rights abuses.
Labour
c) Principle 3: Businesses should uphold the freedom of association and the effective recognition of the right to collective bargaining;
d) Principle 4: the elimination of all forms of forced and compulsory labour;
e) Principle 5: the effective abolition of child labour; and
f) Principle 6: the elimination of discrimination in respect of employment and occupation.
Environment
g) Principle 7: Businesses should support a precautionary approach to environmental challenges;
h) Principle 8: undertake initiatives to promote greater environmental responsibility; and
i) Principle 9: encourage the development and diffusion of environmentally friendly technologies.
AntiCorruption
j) Principle 10: Businesses should work against corruption in all its forms, including extortion and bribery.
3. Tobacco (companies engaged in the production of tobacco and/or tobacco products)
4. Thermal Coal (companies with revenues greater than or equal to 10% from extraction or power generation of thermal coal)
These negative screens will therefore apply when the Fund invest in shares of companies included in the Index (but not in respect of other investments held by the Fund from time to time).
State Street AUT North America Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Manager’s Report
For the year ended 31st December 2025
1
Page 4
Performance The Fund returned 9.54% on a net basis for the 1 year period ended 31 December 2025 (the “Reporting Period”), compared to the Index return of 9.46%. The size of the Fund’s tracking difference for the Reporting Period was 0.07% which was within the targeted tolerance; the outperformance versus the Index was largely attributable to withholding tax effect. The Fund had an ex-post 1 year tracking error of 0.04% against the benchmark index.
Note: Performance returns presented above are in GBP.
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 6 as its return has experienced very high 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 North America Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Manager's Report (continued)
For the year ended 31st December 2025
2
Page 5
Derivatives Usage Derivatives are used in the Fund for efficient portfolio management purposes. The Fund invests in index futures to manage client inflows and outflows and to hedge accrued income. At all times the futures exposure is covered entirely by cash or cash equivalents.
As at 31st December 2025, the Fund had a total notional exposure to futures of £1,281,086 (0.39% 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 0.04% which was within the targeted tolerance.
State Street AUT North America Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Manager's Report (continued)
For the year ended 31st December 2025
3
Page 6
Holdings
Market Value £'000
% of Total Net Assets
Aerospace & Defence – 1.55% (31.12.2024 – 1.28%) Axon Enterprise, Inc. 600 253 0.08 Boeing Co. 5,615 906 0.27 Bombardier, Inc. 700 88 0.03 CAE, Inc. 2,600 59 0.02 General Dynamics Corp. 1,809 453 0.14 General Electric Co. 7,933 1,817 0.55 HEICO Corp. 300 72 0.02 HEICO Corp. 'A' Shares 500 94 0.03 Howmet Aerospace, Inc. 2,872 438 0.13 Northrop Grumman Corp. 980 415 0.12 Textron, Inc. 1,400 91 0.03 TransDigm Group, Inc. 430 425 0.13
5,111 1.55
Alternative Energy – 0.11% (31.12.2024 – 0.10%) Cameco Corp. 3,600 245 0.07 First Solar, Inc. 600 117 0.04
362 0.11
Automobiles & Parts – 2.36% (31.12.2024 – 2.38%) Aptiv PLC 1,900 107 0.03 Ford Motor Co. 31,320 306 0.09 Genuine Parts Co. 900 82 0.03 Magna International, Inc. 2,400 95 0.03 Rivian Automotive, Inc. 3,800 56 0.02 Tesla, Inc. 21,386 7,148 2.16
7,794 2.36
Banks – 4.09% (31.12.2024 – 3.98%) Bank of America Corp. 49,922 2,041 0.62 Bank of Montreal 5,511 533 0.16 Bank of Nova Scotia 9,686 531 0.16
State Street AUT North America Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement
As at 31st December 2025
4
Page 7
Holdings
Market Value £'000
% of Total Net Assets
Banks – 4.09% (31.12.2024 – 3.98%) (continued) Canadian Imperial Bank of Commerce 6,822 460 0.14 Citigroup, Inc. 13,462 1,168 0.35 Citizens Financial Group, Inc. 3,023 131 0.04 Credicorp Ltd. 400 85 0.03 Fifth Third Bancorp 4,200 146 0.04 First Citizens BancShares, Inc. 80 128 0.04 Huntington Bancshares, Inc. 10,844 140 0.04 JPMorgan Chase & Co. 20,545 4,923 1.49 KeyCorp 6,000 92 0.03 M&T Bank Corp. 1,025 154 0.05 National Bank of Canada 3,008 281 0.09 PNC Financial Services Group, Inc. 2,984 463 0.14 Regions Financial Corp. 5,665 114 0.03 Royal Bank of Canada 10,535 1,337 0.40 Truist Financial Corp. 9,122 334 0.10 U.S. Bancorp 11,250 446 0.14
13,507 4.09
Beverages – 0.97% (31.12.2024 – 1.18%) Brown-Forman Corp. 1,537 30 0.01 Coca-Cola Co. 29,118 1,514 0.46 Constellation Brands, Inc. 820 84 0.02 Keurig Dr. Pepper, Inc. 10,687 222 0.07 Monster Beverage Corp. 4,848 276 0.08 PepsiCo, Inc. 10,122 1,080 0.33
3,206 0.97
Chemicals – 0.68% (31.12.2024 – 0.86%) Air Products & Chemicals, Inc. 1,800 331 0.10 CF Industries Holdings, Inc. 1,100 63 0.02 Ecolab, Inc. 1,991 389 0.12 International Flavors & Fragrances, Inc. 2,051 103 0.03 Linde PLC 3,468 1,099 0.33
State Street AUT North America Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
5
Page 8
Holdings
Market Value £'000
% of Total Net Assets
Chemicals – 0.68% (31.12.2024 – 0.86%) (continued) LyondellBasell Industries NV 2,335 75 0.02 Nutrien Ltd. 3,995 183 0.06
2,243 0.68
Construction & Materials – 0.69% (31.12.2024 – 0.66%) AtkinsRealis Group, Inc. 1,400 67 0.02 Builders FirstSource, Inc. 500 38 0.01 Carrier Global Corp. 6,000 236 0.07 CRH PLC 4,900 455 0.14 Martin Marietta Materials, Inc. 400 185 0.06 Masco Corp. 1,500 71 0.02 Quanta Services, Inc. 1,040 326 0.10 Stantec, Inc. 900 63 0.02 Trane Technologies PLC 1,684 488 0.15 Vulcan Materials Co. 902 191 0.06 WSP Global, Inc. 1,100 148 0.04
2,268 0.69
Consumer Services – 0.63% (31.12.2024 – 0.60%) Copart, Inc. 7,200 210 0.06 eBay, Inc. 3,866 250 0.08 MercadoLibre, Inc. 340 509 0.15 RB Global, Inc. 1,500 112 0.03 Rollins, Inc. 2,400 107 0.03 Uber Technologies, Inc. 15,000 911 0.28
2,099 0.63
Electricity – 1.21% (31.12.2024 – 1.11%) Alliant Energy Corp. 2,400 116 0.03 Consolidated Edison, Inc. 2,331 172 0.05 Constellation Energy Corp. 2,416 635 0.19 Dominion Energy, Inc. 6,288 274 0.08
State Street AUT North America Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
6
Page 9
Holdings
Market Value £'000
% of Total Net Assets
Electricity – 1.21% (31.12.2024 – 1.11%) (continued) Edison International 2,837 127 0.04 Emera, Inc. 2,400 88 0.03 Entergy Corp. 3,684 253 0.08 Eversource Energy 2,471 124 0.04 Exelon Corp. 7,398 240 0.07 Fortis, Inc. 3,384 131 0.04 Hydro One Ltd. 1,500 44 0.01 NextEra Energy, Inc. 15,355 916 0.28 NRG Energy, Inc. 1,519 180 0.05 PG&E Corp. 18,100 216 0.07 Public Service Enterprise Group, Inc. 3,757 224 0.07 Xcel Energy, Inc. 4,900 269 0.08
4,009 1.21
Electronic & Electrical Equipment – 0.87% (31.12.2024 – 0.89%) Allegion PLC 428 51 0.02 AMETEK, Inc. 1,787 273 0.08 Emerson Electric Co. 4,521 446 0.14 Fortive Corp. 2,675 110 0.03 Hubbell, Inc. 340 112 0.03 IDEX Corp. 600 79 0.02 Johnson Controls International PLC 5,157 459 0.14 Keysight Technologies, Inc. 1,400 212 0.06 Mettler-Toledo International, Inc. 150 156 0.05 Pentair PLC 1,038 80 0.02 Rockwell Automation, Inc. 800 232 0.07 Teledyne Technologies, Inc. 400 152 0.05 Trimble, Inc. 1,600 93 0.03 Veralto Corp. 1,866 138 0.04 Xylem, Inc. 2,017 204 0.06 Zebra Technologies Corp. 450 81 0.03
2,878 0.87
State Street AUT North America Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
7
Page 10
Holdings
Market Value £'000
% of Total Net Assets
Finance & Credit Services – 0.59% (31.12.2024 – 0.70%) FactSet Research Systems, Inc. 300 65 0.02 Moody's Corp. 1,128 428 0.13 MSCI, Inc. 610 260 0.08 NU Holdings Ltd. 26,500 330 0.10 S&P Global, Inc. 2,261 879 0.26
1,962 0.59
Food Producers – 0.46% (31.12.2024 – 0.69%) Archer-Daniels-Midland Co. 3,888 166 0.05 Corteva, Inc. 5,172 258 0.08 General Mills, Inc. 4,141 143 0.04 Hershey Co. 1,160 157 0.05 Hormel Foods Corp. 2,300 40 0.01 Kraft Heinz Co. 7,325 132 0.04 McCormick & Co., Inc. 1,890 96 0.03 Mondelez International, Inc. 10,475 419 0.13 Saputo, Inc. 700 16 0.00 Tyson Foods, Inc. 2,201 96 0.03
1,523 0.46
Gas, Water & Multiutilities – 0.23% (31.12.2024 – 0.25%) AltaGas Ltd. 2,400 54 0.02 American Water Works Co., Inc. 1,202 117 0.03 Atmos Energy Corp. 1,300 162 0.05 CenterPoint Energy, Inc. 4,400 125 0.04 Sempra 4,582 301 0.09
759 0.23
General Industrials – 1.59% (31.12.2024 – 1.65%) 3M Co. 4,167 496 0.15 Amcor PLC 19,900 123 0.04 Ball Corp. 2,255 89 0.03
State Street AUT North America Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
8
Page 11
Holdings
Market Value £'000
% of Total Net Assets
General Industrials – 1.59% (31.12.2024 – 1.65%) (continued) Dover Corp. 1,000 145 0.04 Dow, Inc. 6,269 109 0.03 DuPont de Nemours, Inc. 3,086 92 0.03 Eaton Corp. PLC 2,880 682 0.21 GE Vernova, Inc. 2,058 1,000 0.30 Honeywell International, Inc. 4,731 686 0.21 Illinois Tool Works, Inc. 2,239 410 0.12 Packaging Corp. of America 539 83 0.02 Parker-Hannifin Corp. 937 612 0.19 PPG Industries, Inc. 1,800 137 0.04 Sherwin-Williams Co. 1,880 453 0.14 Smurfit WestRock PLC 4,300 124 0.04
5,241 1.59
Health Care Providers – 1.12% (31.12.2024 – 1.74%) Centene Corp. 3,908 120 0.03 Cigna Group 1,978 405 0.12 Elevance Health, Inc. 1,632 425 0.13 HCA Healthcare, Inc. 1,302 452 0.14 Humana, Inc. 964 184 0.05 IQVIA Holdings, Inc. 1,152 193 0.06 Molina Healthcare, Inc. 500 64 0.02 UnitedHealth Group, Inc. 6,820 1,674 0.51 Veeva Systems, Inc. 1,220 202 0.06
3,719 1.12
Household Goods & Home Construction – 0.17% (31.12.2024 – 0.25%) DR Horton, Inc. 2,078 222 0.07 Lennar Corp. 1,500 115 0.03 NVR, Inc. 18 97 0.03 PulteGroup, Inc. 1,477 129 0.04
563 0.17
State Street AUT North America Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
9
Page 12
Holdings
Market Value £'000
% of Total Net Assets
Industrial Engineering – 0.91% (31.12.2024 – 0.90%) Caterpillar, Inc. 3,451 1,470 0.44 CNH Industrial NV 7,900 54 0.02 Cummins, Inc. 1,024 388 0.12 Deere & Co. 1,935 670 0.20 Ingersoll Rand, Inc. 2,689 158 0.05 Otis Worldwide Corp. 3,200 208 0.06 Snap-on, Inc. 300 77 0.02
3,025 0.91
Industrial Materials – 0.07% (31.12.2024 – 0.07%) Avery Dennison Corp. 400 54 0.02 International Paper Co. 4,200 123 0.04 Solstice Advanced Materials, Inc. 1,282 46 0.01
223 0.07
Industrial Metals & Mining – 0.43% (31.12.2024 – 0.22%) Fastenal Co. 9,440 282 0.09 First Quantum Minerals Ltd. 5,600 111 0.03 Freeport-McMoRan, Inc. 10,100 381 0.12 Ivanhoe Mines Ltd. 7,800 66 0.02 Lundin Mining Corp. 5,900 94 0.03 Nucor Corp. 1,522 185 0.06 Southern Copper Corp. 424 45 0.01 Steel Dynamics, Inc. 1,100 139 0.04 Teck Resources Ltd. 3,000 107 0.03
1,410 0.43
Industrial Support Services – 3.81% (31.12.2024 – 4.31%) Accenture PLC 4,872 972 0.29 American Express Co. 4,072 1,120 0.34 Automatic Data Processing, Inc. 3,000 574 0.17 Block, Inc. 4,200 203 0.06
State Street AUT North America Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
10
Page 13
Holdings
Market Value £'000
% of Total Net Assets
Industrial Support Services – 3.81% (31.12.2024 – 4.31%) (continued) Capital One Financial Corp. 4,793 864 0.26 Cintas Corp. 2,400 336 0.10 Corpay, Inc. 500 112 0.03 Equifax, Inc. 1,000 161 0.05 Fair Isaac Corp. 180 226 0.07 Ferguson Enterprises, Inc. 1,400 232 0.07 Fidelity National Information Services, Inc. 4,327 214 0.06 Fiserv, Inc. 4,192 209 0.06 Global Payments, Inc. 1,999 115 0.04 Jack Henry & Associates, Inc. 500 68 0.02 Jacobs Solutions, Inc. 1,000 98 0.03 Mastercard, Inc. 6,130 2,602 0.79 Paychex, Inc. 2,250 188 0.06 PayPal Holdings, Inc. 6,736 292 0.09 Synchrony Financial 2,925 181 0.06 TransUnion 1,200 77 0.02 Verisk Analytics, Inc. 970 161 0.05 Visa, Inc. 12,877 3,359 1.02 WW Grainger, Inc. 300 225 0.07
12,589 3.81
Industrial Transportation – 1.29% (31.12.2024 – 1.48%) Canadian National Railway Co. 3,910 288 0.09 Canadian Pacific Kansas City Ltd. 6,981 382 0.11 CSX Corp. 14,649 395 0.12 Element Fleet Management Corp. 3,300 64 0.02 Expeditors International of Washington, Inc. 1,100 122 0.04 FedEx Corp. 1,549 333 0.10 JB Hunt Transport Services, Inc. 600 87 0.03 Norfolk Southern Corp. 1,733 372 0.11 Old Dominion Freight Line, Inc. 1,200 140 0.04 PACCAR, Inc. 3,972 323 0.10 TFI International, Inc. 800 62 0.02 Union Pacific Corp. 4,701 808 0.24
State Street AUT North America Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
11
Page 14
Holdings
Market Value £'000
% of Total Net Assets
Industrial Transportation – 1.29% (31.12.2024 – 1.48%) (continued) United Parcel Service, Inc. 5,701 420 0.13 United Rentals, Inc. 500 301 0.09 Westinghouse Air Brake Technologies Corp. 1,099 174 0.05
4,271 1.29
Investment Banking & Brokerage – 5.00% (31.12.2024 – 4.86%) Ameriprise Financial, Inc. 664 242 0.07 Apollo Global Management, Inc. 2,900 312 0.09 ARES Management Corp. 1,400 168 0.05 Bank of New York Mellon Corp. 5,326 460 0.14 Berkshire Hathaway, Inc. 'A' Shares 3 1,681 0.51 Berkshire Hathaway, Inc. 'B' Shares 10,255 3,833 1.16 Blackrock, Inc. 1,140 907 0.27 Blackstone, Inc. 5,675 650 0.20 Broadridge Financial Solutions, Inc. 975 162 0.05 Brookfield Asset Management Ltd. 2,783 109 0.03 Brookfield Corp. 16,396 560 0.17 Carlyle Group, Inc. 2,408 106 0.03 Cboe Global Markets, Inc. 800 149 0.05 Charles Schwab Corp. 13,285 987 0.30 CME Group, Inc. 2,750 558 0.17 Coinbase Global, Inc. 1,700 286 0.09 Equitable Holdings, Inc. 2,100 74 0.02 Franklin Resources, Inc. 2,700 48 0.01 Goldman Sachs Group, Inc. 2,264 1,479 0.45 Intercontinental Exchange, Inc. 4,297 518 0.16 KKR & Co., Inc. 4,930 467 0.14 LPL Financial Holdings, Inc. 623 165 0.05 Morgan Stanley 8,563 1,130 0.34 Nasdaq, Inc. 3,124 226 0.07 Northern Trust Corp. 1,300 132 0.04 Principal Financial Group, Inc. 1,726 113 0.03 Raymond James Financial, Inc. 1,400 167 0.05 Robinhood Markets, Inc. 5,700 479 0.15
State Street AUT North America Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
12
Page 15
Holdings
Market Value £'000
% of Total Net Assets
Investment Banking & Brokerage – 5.00% (31.12.2024 – 4.86%) (continued) State Street Corp. 1,885 181 0.06 T. Rowe Price Group, Inc. 1,300 99 0.03 TMX Group Ltd. 2,300 65 0.02
16,513 5.00
Leisure Goods – 0.32% (31.12.2024 – 0.27%) Electronic Arts, Inc. 2,042 310 0.09 Garmin Ltd. 1,352 204 0.06 ROBLOX Corp. 4,800 289 0.09 Take-Two Interactive Software, Inc. 1,321 252 0.08
1,055 0.32
Life Insurance – 0.48% (31.12.2024 – 0.53%) Aflac, Inc. 3,766 309 0.10 F&G Annuities & Life, Inc. 150 4 0.00 Great-West Lifeco, Inc. 2,353 86 0.03 iA Financial Corp., Inc. 800 77 0.02 Manulife Financial Corp. 12,529 338 0.10 MetLife, Inc. 3,913 230 0.07 Power Corp. of Canada 3,363 133 0.04 Prudential Financial, Inc. 2,635 221 0.07 Sun Life Financial, Inc. 3,800 176 0.05
1,574 0.48
Media – 1.46% (31.12.2024 – 1.61%) Fox Corp. 'A' Shares 1,116 60 0.02 Fox Corp. 'B' Shares 500 24 0.01 Liberty Media Corp.-Liberty Formula One 1,700 124 0.04 Netflix, Inc. 31,990 2,230 0.67 News Corp. 'A' Shares 3,037 59 0.02 News Corp. 'B' Shares 1,400 31 0.01 Omnicom Group, Inc. 2,417 145 0.04
State Street AUT North America Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
13
Page 16
Holdings
Market Value £'000
% of Total Net Assets
Media – 1.46% (31.12.2024 – 1.61%) (continued) Spotify Technology SA 1,200 518 0.16 Trade Desk, Inc. 3,400 96 0.03 Walt Disney Co. 13,489 1,141 0.34 Warner Bros Discovery, Inc. 18,656 400 0.12
4,828 1.46
Medical Equipment & Services – 2.83% (31.12.2024 – 3.17%) Abbott Laboratories 12,898 1,201 0.36 Agilent Technologies, Inc. 2,000 202 0.06 Align Technology, Inc. 600 70 0.02 Baxter International, Inc. 4,832 69 0.02 Becton Dickinson & Co. 2,046 295 0.09 Boston Scientific Corp. 10,912 774 0.23 Cooper Cos., Inc. 1,600 97 0.03 Danaher Corp. 4,900 834 0.25 Dexcom, Inc. 3,408 168 0.05 Edwards Lifesciences Corp. 4,700 298 0.09 GE HealthCare Technologies, Inc. 3,871 236 0.07 Hologic, Inc. 1,400 77 0.02 IDEXX Laboratories, Inc. 620 312 0.09 Insulet Corp. 500 106 0.03 Intuitive Surgical, Inc. 2,739 1,153 0.35 Labcorp Holdings, Inc. 700 131 0.04 Medtronic PLC 9,478 677 0.21 Quest Diagnostics, Inc. 900 116 0.04 ResMed, Inc. 1,220 218 0.07 STERIS PLC 700 132 0.04 Stryker Corp. 2,492 651 0.20 Thermo Fisher Scientific, Inc. 2,811 1,211 0.37 Waters Corp. 413 117 0.04 West Pharmaceutical Services, Inc. 600 123 0.04 Zimmer Biomet Holdings, Inc. 1,200 80 0.02
9,348 2.83
State Street AUT North America Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
14
Page 17
Holdings
Market Value £'000
% of Total Net Assets
Mortgage Real Estate Investment Trusts – 0.00% (31.12.2024 – 0.02%)
Nonlife Insurance – 1.63% (31.12.2024 – 1.89%) Allstate Corp. 2,112 327 0.10 American International Group, Inc. 4,104 261 0.08 Aon PLC 1,685 442 0.13 Arch Capital Group Ltd. 2,700 193 0.06 Arthur J Gallagher & Co. 1,790 344 0.10 Brown & Brown, Inc. 1,811 107 0.03 Chubb Ltd. 2,802 650 0.20 Cincinnati Financial Corp. 940 114 0.03 CNA Financial Corp. 400 14 0.00 Everest Group Ltd. 200 50 0.02 Fairfax Financial Holdings Ltd. 156 221 0.07 Fidelity National Financial, Inc. 1,400 57 0.02 Hartford Insurance Group, Inc. 1,900 195 0.06 Intact Financial Corp. 1,400 216 0.07 Loews Corp. 1,300 102 0.03 Markel Group, Inc. 101 161 0.05 Marsh & McLennan Cos., Inc. 3,912 540 0.16 Progressive Corp. 4,304 729 0.22 Travelers Cos., Inc. 1,614 348 0.11 W.R. Berkley Corp. 2,062 108 0.03 Willis Towers Watson PLC 806 197 0.06
5,376 1.63
Oil & Gas Producers – 0.06% (31.12.2024 – 0.00%) EQT Corp. 4,700 187 0.06
Oil, Gas & Coal – 2.96% (31.12.2024 – 3.34%) ARC Resources Ltd. 4,800 67 0.02 Baker Hughes Co. 7,726 261 0.08 Canadian Natural Resources Ltd. 15,862 400 0.12 Cenovus Energy, Inc. 10,416 131 0.04
State Street AUT North America Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
15
Page 18
Holdings
Market Value £'000
% of Total Net Assets
Oil, Gas & Coal – 2.96% (31.12.2024 – 3.34%) (continued) Cheniere Energy, Inc. 1,800 260 0.08 ConocoPhillips 9,441 657 0.20 Coterra Energy, Inc. 6,832 134 0.04 Devon Energy Corp. 5,100 139 0.04 Diamondback Energy, Inc. 1,300 145 0.04 Enbridge, Inc. 15,684 558 0.17 EOG Resources, Inc. 4,367 341 0.10 Expand Energy Corp. 1,900 156 0.05 Exxon Mobil Corp. 31,988 2,861 0.87 Halliburton Co. 5,342 112 0.03 Imperial Oil Ltd. 899 58 0.02 Keyera Corp. 2,200 52 0.02 Kinder Morgan, Inc. 14,282 292 0.09 Marathon Petroleum Corp. 2,473 299 0.09 Occidental Petroleum Corp. 5,277 161 0.05 ONEOK, Inc. 4,294 235 0.07 Pembina Pipeline Corp. 4,000 113 0.03 Phillips 66 2,955 284 0.09 SLB Ltd. 11,726 334 0.10 Suncor Energy, Inc. 8,379 276 0.08 Targa Resources Corp. 1,400 192 0.06 TC Energy Corp. 8,216 335 0.10 Texas Pacific Land Corp. 300 64 0.02 Tourmaline Oil Corp. 2,400 80 0.02 Valero Energy Corp. 2,500 303 0.09 Whitecap Resources, Inc. 10,100 63 0.02 Williams Cos., Inc. 9,749 436 0.13
9,799 2.96
Personal Care, Drug & Grocery – 1.51% (31.12.2024 – 1.77%) Cencora, Inc. 1,400 352 0.11 Church & Dwight Co., Inc. 1,758 110 0.03 Clorox Co. 1,242 93 0.03 Colgate-Palmolive Co. 6,004 353 0.11
State Street AUT North America Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
16
Page 19
Holdings
Market Value £'000
% of Total Net Assets
Personal Care, Drug & Grocery – 1.51% (31.12.2024 – 1.77%) (continued) CVS Health Corp. 9,088 536 0.16 George Weston Ltd. 1,116 57 0.02 Kenvue, Inc. 15,900 204 0.06 Kimberly-Clark Corp. 2,687 202 0.06 Kroger Co. 5,000 232 0.07 Loblaw Cos. Ltd. 3,952 133 0.04 McKesson Corp. 925 564 0.17 Metro, Inc. 1,500 80 0.02 Procter & Gamble Co. 17,693 1,885 0.57 Sysco Corp. 3,468 190 0.06
4,991 1.51
Personal Goods – 0.25% (31.12.2024 – 0.36%) Deckers Outdoor Corp. 1,300 100 0.03 Estee Lauder Cos., Inc. 1,900 148 0.04 Gildan Activewear, Inc. 1,300 61 0.02 Lululemon Athletica, Inc. 757 117 0.04 NIKE, Inc. 8,298 393 0.12
819 0.25
Pharmaceuticals & Biotechnology – 4.31% (31.12.2024 – 4.21%) AbbVie, Inc. 13,330 2,264 0.69 Alnylam Pharmaceuticals, Inc. 900 266 0.08 Amgen, Inc. 4,138 1,007 0.30 Biogen, Inc. 1,091 143 0.04 Bristol-Myers Squibb Co. 15,037 603 0.18 Cardinal Health, Inc. 1,823 279 0.08 Eli Lilly & Co. 6,052 4,836 1.46 Gilead Sciences, Inc. 9,284 847 0.26 Illumina, Inc. 1,300 127 0.04 Incyte Corp. 1,000 73 0.02 Merck & Co., Inc. 18,816 1,473 0.45 Pfizer, Inc. 44,069 816 0.25
State Street AUT North America Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
17
Page 20
Holdings
Market Value £'000
% of Total Net Assets
Pharmaceuticals & Biotechnology – 4.31% (31.12.2024 – 4.21%) (continued) Regeneron Pharmaceuticals, Inc. 805 462 0.14 Royalty Pharma PLC 3,200 92 0.03 Vertex Pharmaceuticals, Inc. 1,900 640 0.19 Zoetis, Inc. 3,369 315 0.10
14,243 4.31
Precious Metals & Mining – 0.63% (31.12.2024 – 0.25%) Agnico Eagle Mines Ltd. 3,608 455 0.14 Alamos Gold, Inc. 3,400 97 0.03 Franco-Nevada Corp. 1,500 230 0.07 Kinross Gold Corp. 10,100 212 0.06 Lundin Gold, Inc. 1,000 62 0.02 Newmont Corp. 7,990 593 0.18 Pan American Silver Corp. 3,400 131 0.04 Wheaton Precious Metals Corp. 3,432 298 0.09
2,078 0.63
Real Estate Investment & Services – 0.84% (31.12.2024 – 0.16%) Alexandria Real Estate Equities, Inc. 1,300 47 0.02 American Tower Corp. 3,323 434 0.13 CBRE Group, Inc. 2,139 256 0.08 CoStar Group, Inc. 2,900 145 0.04 Crown Castle, Inc. 3,550 235 0.07 Digital Realty Trust, Inc. 2,543 293 0.09 Equinix, Inc. 715 407 0.12 FirstService Corp. 400 46 0.02 Kimco Realty Corp. 4,915 74 0.02 Public Storage 1,058 204 0.06 Simon Property Group, Inc. 2,451 337 0.10 Ventas, Inc. 3,727 214 0.07 Zillow Group, Inc. 1,400 71 0.02
2,763 0.84
State Street AUT North America Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
18
Page 21
Holdings
Market Value £'000
% of Total Net Assets
Real Estate Investment Trusts – 0.99% (31.12.2024 – 2.00%) AvalonBay Communities, Inc. 1,215 164 0.05 Equity Residential 3,133 147 0.04 Essex Property Trust, Inc. 360 70 0.02 Extra Space Storage, Inc. 1,700 165 0.05 Invitation Homes, Inc. 5,400 112 0.03 Iron Mountain, Inc. 2,391 147 0.04 Mid-America Apartment Communities, Inc. 900 93 0.03 Prologis, Inc. 7,359 698 0.21 Realty Income Corp. 6,294 264 0.08 Regency Centers Corp. 1,600 82 0.03 SBA Communications Corp. 800 115 0.03 Sun Communities, Inc. 1,000 92 0.03 UDR, Inc. 2,200 60 0.02 VICI Properties, Inc. 8,088 169 0.05 Welltower, Inc. 5,200 717 0.22 Weyerhaeuser Co. 5,834 103 0.03 WP Carey, Inc. 1,800 86 0.03
3,284 0.99
Retailers – 6.49% (31.12.2024 – 7.14%) Alimentation Couche-Tard, Inc. 6,332 257 0.08 Amazon.com, Inc. 72,431 12,430 3.76 AutoZone, Inc. 135 340 0.10 Best Buy Co., Inc. 1,370 68 0.02 Burlington Stores, Inc. 400 86 0.03 Canadian Tire Corp. Ltd. 600 56 0.02 Carvana Co. 1,000 314 0.09 Costco Wholesale Corp. 3,344 2,143 0.65 Coupang, Inc. 9,398 165 0.05 Dollar General Corp. 1,900 188 0.06 Dollar Tree, Inc. 1,780 163 0.05 Dollarama, Inc. 1,742 194 0.06 Home Depot, Inc. 7,503 1,920 0.58 Lowe's Cos., Inc. 4,313 773 0.23
State Street AUT North America Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
19
Page 22
Holdings
Market Value £'000
% of Total Net Assets
Retailers – 6.49% (31.12.2024 – 7.14%) (continued) O'Reilly Automotive, Inc. 6,250 424 0.13 Ross Stores, Inc. 2,300 308 0.09 Target Corp. 3,122 227 0.07 TJX Cos., Inc. 8,309 949 0.29 Tractor Supply Co. 4,500 167 0.05 Ulta Beauty, Inc. 370 166 0.05 Williams-Sonoma, Inc. 800 106 0.03
21,444 6.49
Software & Computer Services – 20.20% (31.12.2024 – 19.09%) Adobe, Inc. 3,136 816 0.25 Alphabet, Inc. 43,920 10,218 3.09 Alphabet, Inc. 'C' Shares 35,680 8,324 2.52 AppLovin Corp. 1,780 891 0.27 Atlassian Corp. 1,400 169 0.05 Autodesk, Inc. 1,542 339 0.10 Cadence Design Systems, Inc. 2,165 503 0.15 CGI, Inc. 1,839 126 0.04 Check Point Software Technologies Ltd. 500 69 0.02 Cloudflare, Inc. 2,300 337 0.10 Cognizant Technology Solutions Corp. 3,354 207 0.06 Constellation Software, Inc. 140 249 0.08 Constellation Software, Inc. Warrant~³ 150 - 0.00 Crowdstrike Holdings, Inc. 1,900 662 0.20 Datadog, Inc. 2,200 222 0.07 Descartes Systems Group, Inc. 700 46 0.01 Docusign, Inc. 1,600 81 0.02 DoorDash, Inc. 2,885 486 0.15 F5, Inc. 400 76 0.02 Fortinet, Inc. 4,800 283 0.09 Gartner, Inc. 600 113 0.03 Gen Digital, Inc. 3,715 75 0.02 GoDaddy, Inc. 1,100 101 0.03 Hewlett Packard Enterprise Co. 10,100 180 0.05
State Street AUT North America Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
20
Page 23
Holdings
Market Value £'000
% of Total Net Assets
Software & Computer Services – 20.20% (31.12.2024 – 19.09%) (continued) HubSpot, Inc. 400 119 0.04 International Business Machines Corp. 6,960 1,533 0.46 Intuit, Inc. 2,041 1,005 0.30 Leidos Holdings, Inc. 1,100 148 0.04 Meta Platforms, Inc. 16,562 8,125 2.46 Microsoft Corp. 56,122 20,178 6.11 MongoDB, Inc. 562 175 0.05 Okta, Inc. 1,200 77 0.02 Open Text Corp. 2,100 51 0.02 Oracle Corp. 12,519 1,814 0.55 Palantir Technologies, Inc. 16,500 2,180 0.66 Palo Alto Networks, Inc. 5,200 712 0.22 Pinterest, Inc. 4,611 89 0.03 PTC, Inc. 1,100 143 0.04 Roper Technologies, Inc. 884 293 0.09 Salesforce, Inc. 6,988 1,376 0.42 ServiceNow, Inc. 7,995 910 0.28 Shopify, Inc. 9,040 1,082 0.33 Snowflake, Inc. 2,500 408 0.12 SS&C Technologies Holdings, Inc. 1,600 104 0.03 Strategy, Inc. 2,100 237 0.07 Synopsys, Inc. 1,371 479 0.15 Thomson Reuters Corp. 979 96 0.03 Twilio, Inc. 800 85 0.03 Tyler Technologies, Inc. 350 118 0.04 VeriSign, Inc. 764 138 0.04 Workday, Inc. 1,700 271 0.08 Zoom Communications, Inc. 1,639 105 0.03 Zscaler, Inc. 800 134 0.04
66,758 20.20
Technology Hardware & Equipment – 21.80% (31.12.2024 – 19.29%) Advanced Micro Devices, Inc. 12,111 1,928 0.58 Amphenol Corp. 9,480 953 0.29
State Street AUT North America Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
21
Page 24
Holdings
Market Value £'000
% of Total Net Assets
Technology Hardware & Equipment – 21.80% (31.12.2024 – 19.29%) (continued) Analog Devices, Inc. 3,672 740 0.22 Apple, Inc. 110,255 22,283 6.74 Applied Materials, Inc. 5,928 1,132 0.34 Broadcom, Inc. 34,880 8,972 2.72 CDW Corp. 1,100 111 0.03 Celestica, Inc. 900 198 0.06 Corning, Inc. 5,803 378 0.11 Dell Technologies, Inc. 2,300 215 0.06 Flex Ltd. 2,962 133 0.04 GLOBALFOUNDRIES, Inc. 900 23 0.01 HP, Inc. 8,194 136 0.04 Intel Corp. 32,569 894 0.27 KLA Corp. 1,000 903 0.27 L3Harris Technologies, Inc. 1,520 332 0.10 Lam Research Corp. 9,500 1,208 0.37 Marvell Technology, Inc. 6,875 434 0.13 Microchip Technology, Inc. 4,308 204 0.06 Micron Technology, Inc. 8,400 1,782 0.54 Monolithic Power Systems, Inc. 320 216 0.07 NetApp, Inc. 1,500 119 0.04 NVIDIA Corp. 177,080 24,552 7.43 NXP Semiconductors NV 2,029 327 0.10 ON Semiconductor Corp. 3,300 133 0.04 Pure Storage, Inc. 2,600 129 0.04 Qnity Electronics, Inc. 1,543 94 0.03 QUALCOMM, Inc. 7,932 1,009 0.31 Seagate Technology Holdings PLC 1,554 318 0.10 Super Micro Computer, Inc. 4,000 87 0.03 TE Connectivity PLC 2,337 395 0.12 Teradyne, Inc. 1,100 158 0.05 Texas Instruments, Inc. 6,730 868 0.26 Vertiv Holdings Co. 3,000 361 0.11 Western Digital Corp. 2,449 314 0.09
72,039 21.80
State Street AUT North America Screened 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
Telecommunications Equipment – 0.86% (31.12.2024 – 0.65%) Arista Networks, Inc. 7,680 748 0.23 Cisco Systems, Inc. 30,089 1,723 0.52 Motorola Solutions, Inc. 1,270 362 0.11
2,833 0.86
Telecommunications Service Providers – 0.99% (31.12.2024 – 1.24%) AT&T, Inc. 52,210 965 0.29 BCE, Inc. 1,908 34 0.01 Charter Communications, Inc. 707 110 0.03 Comcast Corp. 28,900 642 0.19 TELUS Corp. 1,584 15 0.01 TELUS Corp.(Non-Canadian Shares) 1,154 11 0.00 T-Mobile U.S., Inc. 3,650 551 0.17 Verizon Communications, Inc. 31,456 953 0.29
3,281 0.99
Travel & Leisure – 1.82% (31.12.2024 – 2.00%) Airbnb, Inc. 3,300 333 0.10 Booking Holdings, Inc. 252 1,003 0.30 Carnival Corp. 7,640 173 0.05 Chipotle Mexican Grill, Inc. 10,800 297 0.09 Darden Restaurants, Inc. 834 114 0.03 Delta Air Lines, Inc. 1,800 93 0.03 Domino's Pizza, Inc. 300 93 0.03 Expedia Group, Inc. 750 158 0.05 Flutter Entertainment PLC 1,400 224 0.07 Hilton Worldwide Holdings, Inc. 1,800 384 0.12 Las Vegas Sands Corp. 2,300 111 0.03 Live Nation Entertainment, Inc. 1,000 106 0.03 Marriott International, Inc. 1,794 414 0.12 McDonald's Corp. 5,351 1,216 0.37 Restaurant Brands International, Inc. 2,184 111 0.03 Royal Caribbean Cruises Ltd. 1,796 372 0.11
State Street AUT North America Screened 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
Travel & Leisure – 1.82% (31.12.2024 – 2.00%) (continued) Southwest Airlines Co. 800 25 0.01 Starbucks Corp. 8,208 514 0.16 United Airlines Holdings, Inc. 300 25 0.01 Yum! Brands, Inc. 2,261 254 0.08
6,020 1.82
Waste & Disposal Services – 0.32% (31.12.2024 – 0.33%) GFL Environmental, Inc. 2,200 70 0.02 Republic Services, Inc. 1,600 252 0.08 Waste Connections, Inc. 2,100 271 0.08 Waste Management, Inc. 2,950 482 0.14
1,075 0.32
Derivatives – 0.00% (31.12.2024 – (0.02)%) S&P 500 E-Mini Index Futures March 2026† 5 (8) 0.00
Portfolio of investments^ 329,062 99.58 Net other assets 1,387 0.42
Total net assets 330,449 100.00
All holdings are ordinary shares or common stock unless otherwise stated.
^ Includes derivative liabilities ~ Delisted † Goldman Sachs is the counterparty, total notional exposure is £1,281,086 and 0.39% as a percentage of the Fund’s value. ³ Level 3 Security
State Street AUT North America Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Portfolio Statement (continued)
As at 31st December 2025
24
Page 27
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 North America Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Directors' Report to Unitholders
For the year ended 31st December 2025
25
Page 28
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 North America Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Manager's Statement of Responsibilities
For the year ended 31st December 2025
26
Page 29
Statement of the Depositary’s Responsibilities in respect of the Scheme The Depositary in its capacity as Trustee of State Street AUT North America Screened Index Equity Fund must ensure that the Trust is managed in accordance with the Financial Conduct Authority’s Collective Investment Schemes Sourcebook, the Financial Services and MarketsAct 2000, as amended, (together “the Regulations”), the Trust Deed and Prospectus (together “the Scheme documents”) as detailed below.
The Depositary must in the context of its role act honestly, fairly, professionally, independently and in the interests of the Trust and its investors.
The Depositary is responsible for the safekeeping of all custodial assets and maintaining a record of all other assets of the Trust in accordance with the Regulations.
The Depositary must ensure that:
• the Trust’s cash flows are properly monitored and that cash of the Trust is booked in cash accounts in accordance with the Regulations;
• the sale, issue, repurchase, redemption and cancellation of units are carried out in accordance with the Regulations;
• the value of units of the Trust are calculated in accordance with the Regulations;
• any consideration relating to transactions in the Trust’s assets is remitted to the Trust within the usual time limits;
• the Trust’s income is applied in accordance with the Regulations; and
• the instructions of the Authorised Fund Manager (“the AFM”), which is the UCITS Management Company, are carried out (unless they conflict with the Regulations).
The Depositary also has a duty to take reasonable care to ensure that the Trust is managed in accordance with the Regulations and the Scheme documents of the Trust in relation to the investment and borrowing powers applicable to the Trust.
Having carried out such procedures as we 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 North America Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Statement of the Depositary's Responsibilities
For the year ended 31st December 2025
27
Page 30
Report on the audit of the financial statements
Opinion In our opinion, the financial statements of State Street AUT North America Screened Index Equity Fund (the “Trust”):
• give a true and fair view of the financial position of the Trust as at 31 December 2025 and of the net revenue and the net capital gains on the scheme property for the year then ended; and
• have been properly prepared in accordance with United Kingdom Generally Accepted Accounting Practice (United Kingdom Accounting Standards, comprising FRS 102 “The Financial Reporting Standard applicable in the UK and Republic of Ireland”, and applicable law), the Statement of Recommended Practice for UK Authorised Funds, the Collective Investment Schemes sourcebook ("the sourcebook") and the Trust Deed.
We have audited the financial statements, included within the Report and Financial Statements (the “Annual Report”), which comprise:
• the Balance Sheet as at 31 December 2025;
• the Statement of Total Return for the year then ended;
• the Statement of Change in Net Assets Attributable to Unitholders for the year then ended;
• the Distribution Tables; and
• the Notes to the Financial Statements, which include a description of the significant accounting policies.
Basis for opinion We conducted our audit in accordance with International Standards on Auditing (UK) (“ISAs (UK)”) and applicable law. Our responsibilities under ISAs (UK) are further described in the Auditors’ responsibilities for the audit of the financial statements section of our report. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.
Independence We remained independent of the Trust in accordance with the ethical requirements that are relevant to our audit of the financial statements in the UK, which includes the FRC’s Ethical Standard, and we have fulfilled our other ethical responsibilities in accordance with these requirements.
Conclusions relating to going concern Based on the work we have performed, we have not identified any material uncertainties relating to events or conditions that, individually or collectively, may cast significant doubt on the Trust’s ability to continue as a going concern for a period of at least twelve months from the date on which the financial statements are authorised for issue.
In auditing the financial statements, we have concluded that the Manager’s use of the going concern basis of accounting in the preparation of the financial statements is appropriate. However, because not all future events or conditions can be predicted, this conclusion is not a guarantee as to the Trust’s ability to continue as a going concern.
Our responsibilities and the responsibilities of the Manager with respect to going concern are described in the relevant sections of this report.
Reporting on other information
The other information comprises all of the information in the Annual Report other than the financial statements and our auditors’ report thereon. The Manager is responsible for the other information. Our opinion on the financial statements does not cover the other information and, accordingly, we do not express an audit opinion or, except to the extent otherwise explicitly stated in this report, any form of assurance thereon.
State Street AUT North America Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Independent auditors’ report to the Unitholders of State Street AUT North America Screened Index Equity Fund
28
Page 31
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 North America Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Independent auditors’ report to the Unitholders of State Street AUT North America Screened Index Equity Fund (continued)
29
Page 32
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 North America Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Independent auditors’ report to the Unitholders of State Street AUT North America Screened Index Equity Fund (continued)
30
Page 33
Comparative Table For the year ended 31st December 2025
2025 2024 2023 Change in Net Assets Per Unit (£) (£) (£) Opening net asset value per unit 7.7137 6.1017 5.0704
Return before operating charges 0.7444 1.6203 1.0379 Operating charges (0.0093) (0.0083) (0.0066) Return after operating charges* 0.7351 1.6120 1.0313
Distributions (0.0728) (0.0723) (0.0728)
Retained distributions on accumulation units 0.0728 0.0723 0.0728
Closing net asset value per unit 8.4488 7.7137 6.1017 *after direct transaction cost of: 0.0001 0.0000 0.0000 Performance Return after charges 9.53% 26.42% 20.34% Other Information Closing net asset value (£'000) 330,449 321,631 262,723 Closing number of units 39,112,160 41,696,165 43,057,534 Operating charges 0.12% 0.12% 0.12% Direct transaction costs 0.00% 0.00% 0.00% Prices Highest unit price (pence) 8.6616 7.9128 6.1158 Lowest unit price (pence) 6.4073 5.9971 5.0360
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 North America Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
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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 28,360 67,549 Revenue 6 4,044 4,084 Expenses 7 (395) (363) Interest payable and similar charges - -
Net revenue before taxation 3,649 3,721 Taxation 8 (567) (574)
Net revenue after taxation 3,082 3,147
Total return before distributions 31,442 70,696 Distributions 9 (3,085) (3,152)
Change in net assets attributable to unitholders from investment activities 28,357 67,544
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 321,631 262,723 Amounts receivable on issue of units 38,141 32,837 Amounts payable on cancellation of units (60,680) (44,551)
(22,539) (11,714) Dilution levy -2 Change in unitholders' funds from investment activities 28,357 67,544 Retained distributions on accumulation units 3,000 3,076
Closing net assets 330,449 321,631
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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 329,070 319,938 Current assets: Debtors 10 147 168 Cash and bank balances 11 1,306 16,317
Total assets 330,523 336,423
Liabilities Investment liabilities 8 56 Creditors Other creditors 12 66 14,736
Total liabilities 74 14,792
Net assets attributable to unitholders 330,449 321,631
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Annual Report and Audited Financial Statements 2025
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1. Accounting policies
(a) Basis of accounting The financial statements have been prepared under the historical cost convention by the revaluation of the investments, and in accordance with the United Kingdom Generally Accepted Accounting Practice ("UK GAAP") which comprises the UK Financial Reporting Standard 102 ("FRS 102") and the Statement of Recommended Practice ("SORP") for Authorised Funds issued by the Investment Management Association in May 2014 (as amended in 2017).
The financial statements have been prepared on a going concern basis.
(b) Basis of valuation of investments The investments of the Fund have been valued at the closing bid market prices ruling on the principal markets on which the stocks are quoted, on the last business day of the accounting year.
Market value is defined by the SORP as fair value which generally is the bid value of each security.
Where applicable, unlisted, delisted and suspended securities are based on the Manager’s assessment of their net realisable value.
Open futures contracts have been valued at fair value and the net gains/(losses) are reflected within Derivative contracts in net capital gains/(losses) on investments.
(c) Exchange rates Foreign currency receipts and payments are translated at the rate applicable on the date of settlement.
Foreign currency assets and liabilities are valued at the rates on the last day of the accounting year.
(d) Recognition of revenue Revenue is included in the Statement of Total Return on the following basis: Dividends are recognised when the security is quoted ex-dividend. Special dividends are treated as either capital or revenue depending on the facts of each particular case. Deposit interest and interest payable are recorded on an accrual basis.
(e) Treatment of expenses Management expenses are charged against the revenue of the Fund on an accruals basis.All other expenses other than bank charges and interest are met by the Manager.
(f) Taxation Provision is made for corporation tax at current rates on the excess of taxable revenue over expenses.
(g) Deferred taxation Deferred tax is provided for on all timing differences that have originated but not reversed by the balance sheet date other than those differences that are regarded as permanent. Any liability to deferred tax is provided at the average rate of tax expected to apply.
Deferred tax assets and liabilities are not discounted to reflect the time value of money. Deferred tax assets are recognised only when, on the basis of available evidence, it is more likely than not that there will be taxable profits in the future against which the deferred tax asset can be offset.
(h) Dilution adjustment In certain circumstances (as detailed in the Prospectus) the Manager may charge a dilution adjustment on the creation or cancellation of shares, which is paid into the capital of the relevant sub-fund on an accruals basis. The adjustment is intended to cover certain dealing charges not included in the mid-market value of the fund used in calculating the share price, which could have a diluting effect on the fund.
(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
State Street AUT North America Screened Index Equity Fund
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)
included in the Balance Sheet at their mark to market value.
2. Distribution policy The policy is to distribute all available revenue, after deduction of those expenses which are chargeable in calculating the distribution.
In order to conduct a controlled dividend flow to unitholders, an interim distribution will be made at the Manager’s discretion, up to a maximum of the distributable revenue available for the year. All remaining revenue is distributed in accordance with the COLL.
Distributions of revenue are paid six monthly by reference to net revenue arising in the periods ended 30th June and 31st December.
Any revenue deficit will be borne by the capital account.
(a) Treatment of stock dividends The ordinary element of stock dividends is treated as revenue and forms part of the distribution.
In the case of an enhanced stock dividend, the value of the enhancement is treated as capital and does not form part of the distribution.
(b) Expenses Management expenses are charged to revenue.
(c) Equalisation Equalisation takes account of the revenue received on the creation of shares and revenue paid on cancellation of shares and is allocated to the distribution account.
3. Risk management policies In pursuing its investment objectives the Fund holds a number of financial instruments. The Fund’s financial instruments comprise of securities and other investments, cash balances and bank overdrafts, short term fixed deposits, debtors and creditors that arise directly from its operations, for example, in respect of sales and purchases awaiting settlement, amounts receivable for creations and payable for liquidations and debtors for accrued revenue.
The main risks the Fund may face from investing are: (a) market risk, (b) market price risk, (c) foreign currency risk, (d) interest rate risk, (e) liquidity risk, (f) credit risk and (g) use of derivatives.
The Manager’s policy for managing these risks are summarised below and have been applied throughout the year.
(a) Market risk Market risk is the risk that the fair value or future cash flows of the financial instruments held by the Fund will fluctuate because of changes in underlying valuation factors. It represents the potential loss the Fund might suffer through holding market positions in the face of valuation factor movements. Market risk typically includes market price risk, foreign exchange or currency risk, and interest rate risk.
State Street AUT North America Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
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3. Risk management policies (continued)
(b) Market price risk Market price risk is the risk that the value of the financial instruments held by the Fund will fluctuate because of changes in market prices. It represents the potential loss the Fund might suffer through changes in market prices of the Fund holdings. The investment manager considers the asset allocation of the portfolio in order to minimize the risk associated with particular countries or industry sectors whilst continuing to follow the investment objectives of the Fund.
As an index Fund, the investment objective is to seek to track as closely as reasonably possible the performance of the benchmark index. In order to achieve this objective, the Fund invests primarily in securities held in the equity index benchmark. Market price risk for an index Fund arises from a mismatch in the relative proportion of assets in Fund from their respective proportions in the benchmark. The Fund places limitations on the amount by which a holding may deviate from the proportion benchmark to limit the market risk from mismatched positions.
All securities investments present a risk of loss of capital. The investment manager assess the Fund’s market risk volatility to ensure that the effect of utilizing financial derivative instruments is not significant enough to cause disproportionate losses to a Fund’s overall value. The investment manager moderates this risk through careful selection of securities and financial instruments. The investment manager manages this risk through a combination of risk metrics. This includes, but is not restricted to, tracking error volatility, which measures the ex-ante volatility of excess returns of the Fund against its referenced benchmark. The tracking error volatility on the Fund is closely monitored on a regular basis, and is a key consideration when the Fund is rebalanced.
(c) Foreign currency risk Any fluctuations in foreign currency exchange rates between the base currency ("GBP") and the respective foreign currencies may significantly affect the value of the Fund investments and the returns ultimately achieved by the Fund. Local interest rates and monetary policy, as well as other government fiscal and labour policies, also can adversely impact the Fund’s currency values.
Based on the Fund mandate, there is no hedging of foreign currency risk exposure. This follows from the investment objective to track the performance of the benchmark, which is also not hedged against changes in foreign exchange rates.
(d) Interest rate risk Interest rate risk is present when the value of investment securities may fluctuate as a result of a change in market interest rates. Explicit interest rate risk occurs when there is a direct relationship between changes in interest rates and changes in the value of investment securities. The Fund invests in only equity and equity-based instruments, the values of which are not directly dependent on interest rates.
(e) Liquidity risk The Fund is exposed to daily cash redemptions of redeemable shares. So the main liability of the Fund is the redemption of any shares that investors wish to sell. Hence the Fund invest the large majority of the assets in investments that are traded in an active market and can ordinarily be readily disposed. However, liquidity risk will occur if an equity issuer becomes credit impaired or if the relevant market becomes illiquid. In such a case, it may not be possible to initiate or liquidate a position at a price that is deemed by the investment manager to be demonstrating fair value. Liquidity risk may be temporary or may last for extended periods.
State Street AUT North America Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
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3. Risk management policies (continued)
The indexed Fund invests solely in securities which form part of the Benchmark index. Benchmark indexes are constructed using index rules requiring securities to have a specified minimum trading volume, which, although not guaranteeing liquidity, provides indication of the liquid nature of the securities underlying the Fund. The Fund is exposed to daily contributions and withdrawals which are managed to ensure that exposure to the benchmark indexes are maintained in order to meet the investment objective of the Fund.
(f) Credit risk The Fund invests in only equity and equity-based instruments, which are not credit instruments, and therefore the Fund is not explicitly exposed to credit risk other than revenue index futures. Index futures used for efficient portfolio management are exchange traded and marked to market daily, so counterparty risk is negligible.
(g) Use of derivatives The Fund uses equity index futures only, no other derivatives, for efficient portfolio management-index futures are used to equitize cash holdings from inflows and outflows and also anticipated cash flows (e.g. dividend receivables). As a result the exposure to futures are covered by cash and near cash at all times, and assist in meeting the investment objectives of the Fund.
4. Net capital gains
The net capital gains during the year comprise: 31.12.25 31.12.24 £'000 £'000 Non-derivative securities 28,238 67,222 Derivative contracts 338 341 Losses on foreign exchange (257) (60) Capital gains on US REIT 41 46
Net capital gains 28,360 67,549
5. Purchases, sales and transaction costs 31.12.25 £'000
31.12.24 £'000 Purchases excluding transaction costs Equities 24,985 23,575
Total before transaction costs 24,985 23,575
Commissions Equities 1-
1-
Taxes Equities --
-Total purchases transaction costs 1 -
Purchases including transaction costs 24,986 23,575
State Street AUT North America Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
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5. Purchases, sales and transaction costs (continued)
31.12.25 £'000
31.12.24 £'000 Sales excluding transaction costs Equities 44,090 32,395
Total before transaction costs 44,090 32,395
Commissions Equities (1) (1)
(1) (1)
Taxes Equities - (1)
- (1)
Total sales transaction cost (1) (2)
Sales including transaction costs 44,089 32,393
31.12.25 %
31.12.24 % Transaction costs as percentage of principal amounts Purchases – Commissions Equities 0.006 0.000 Purchases – Taxes Equities 0.000 0.000 Sales – Commission Equities 0.001 0.002 Sales – Taxes Equities 0.000 0.002 31.12.25 %
31.12.24 % Transaction costs as percentage of average net asset value Commissions 0.001 0.000 Taxes 0.000 0.000
Total 0.001 0.000 The above analysis covers any direct transaction costs suffered by the Fund during the year. However it is important to understand the nature of other transactions costs associated with different investments asset classes and instrument types.
Separately identifiable direct transactions costs (commissions, taxes etc.) are attributable to the Fund’s purchase and sale of equity shares. Additionally for equity shares, there is a dealing spread cost (the difference between the buying and selling prices) which will be suffered on purchase and sale transactions.
For the Fund’s investment in collective investment scheme holdings there will potentially be dealing spread costs applicable to purchases and sales. However, additionally there are indirect transaction costs suffered in those underlying funds, throughout the holding period for the instruments, which are not separately identifiable and do not form part of the analysis above.
State Street AUT North America Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
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5. Purchases, sales and transaction costs (continued)
During the year the Fund utilised futures derivatives instruments covering different underlying asset classes. The settlements values for opening and closing derivative positions are not comparable to principal values for transactions in direct holding investments and therefore purchase and sale amounts for derivative transactions are not quantified in the analysis above. Transaction costs for derivatives positions will be either suffered as direct costs or form part of the dealing spread for the instruments. Any direct costs are identified in the analysis above.
Dealing spread costs suffered by the Fund vary considerably for the different asset/instrument types depending on a number of factors including transaction value and market sentiment.
At the balance sheet date the average portfolio dealing spread (difference between bid and offer prices of all investments expressed as a percentage of the offer price value) was 0.00% (31.12.24: 0.01%).
6. Revenue 31.12.25 31.12.24 £'000 £'000 UK dividends 26 Overseas dividends 3,932 3,985 Property income distributions 7 13 Stock dividends 16 1 Bank interest 83 76 Derivatives revenue 43
Revenue 4,044 4,084
7. Expenses 31.12.25 31.12.24 £'000 £'000 Manager's periodic charge 395 363
Total expenses 395 363
The audit fee for the year of £14,240 (exclusive of VAT) is borne by the Manager (31.12.24: £13,978).
As permitted by the Trust Deed, the Manager is remunerated out of the property of the Fund. This charge is expressed as an annual percentage of the value of the property of the Fund. The Manager’s periodic charge was 12 basis points for the year ended 31.12.25 (31.12.24: 12 basis points).
8. Taxation
(a) Analysis of charge in year: 31.12.25 £'000
31.12.24 £'000 Tax on US REITs in capital 3 5 Overseas tax 564 569
Total current tax 567 574
Total tax charge (note 8b) 567 574
State Street AUT North America Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
39
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8. Taxation (continued)
(b) Factors affecting total tax charge for the year: 31.12.25 £'000
31.12.24 £'000 Net revenue before taxation 3,649 3,721 Corporation tax of 20% 730 744 Effects of: Revenue not subject to corporation tax (752) (760) Movement in excess management expenses 24 16 Overseas tax 564 569 Overseas tax expensed (6) (6) Capital income subject to taxation 4 6 Tax on US REITs in capital 3 5
Total tax charge for year (note 8a) 567 574
(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 £863,078 (31.12.24: £839,132) 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.
9. 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 1,565 1,524 Final 1,435 1,552
3,000 3,076
Amounts deducted on cancellation of units 172 148 Amounts added on issue of units (87) (72)
Net distribution for the year 3,085 3,152
The net distributions of the year is represented by: Net revenue after taxation 3,082 3,147 Tax on US REITs in capital 3 5
Net distribution for the year 3,085 3,152
State Street AUT North America Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
40
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10. Debtors 31.12.25 31.12.24 £'000 £'000 Creations awaiting settlement - 1 Accrued revenue 147 167 Total debtors 147 168
11. Cash and bank balances 31.12.25 31.12.24 £'000 £'000 Cash and bank balances 1,216 16,172 Amounts held at brokers 90 145
Total cash and bank balances 1,306 16,317
12. Other creditors 31.12.25 31.12.24 £'000 £'000 Liquidations awaiting settlement 30 14,701 Purchases awaiting settlement 1 1 Accrued Manager's periodic charge 35 34
Total other creditors 66 14,736
13. Contingent liabilities and commitments The Fund had no contingent liabilities at year end (31.12.24: £nil).
14. 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 £34,879 (31.12.24: £34,636) 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.
15. 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.
State Street AUT North America Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
41
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15. 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
Canadian dollar 106 14,553 14,659 Euro 9 -9 US dollar 1,154 314,517 315,671 Total 1,269 329,070 330,339
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
Canadian dollar 81 11,680 11,761 Euro 8 -8 US dollar 1,547 308,258 309,805 Total 1,636 319,938 321,574
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 £30,030,853 (31.12.2024: £29,233,993).
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 £36,704,376 (31.12.2024: £35,730,436).
These calculations assume all other variables remain constant.
(b) Market price risk The Fund’s investment portfolio is exposed to market price fluctuations which are monitored by the Manager in pursuance of the investment objective and policy as set out on page 1. Adherence to investment guidelines and to investment and borrowing powers set out in the Trust Deed, the Scheme Particulars and in the Financial Conduct Authority’s Collective Investment Scheme sourcebook (the “COLL sourcebook”) mitigates the risk of excessive exposure to any particular type of security or issuer. Further information on the investment portfolio is set out in the Manager’s Report and Portfolio Statement.
If market prices had increased by 10% as at the balance sheet date, the net asset value of the Fund would have increased by £32,906,178 (31.12.24: £31,993,797). If market prices had decreased by 10% as at the balance sheet date, the net asset value of the Fund would have decreased by £32,906,178 (31.12.24: £31,993,797).
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.
State Street AUT North America Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
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15. Risk disclosures (continued)
All of the Fund’s financial liabilities are payable on demand or in less than one year, therefore liquidity risk is not significant.
16. Unitholders’ funds 31.12.25 31.12.24 Opening units in issue 41,696,165 43,057,534 Issues 5,089,204 4,857,209 Cancellations (7,673,209) (6,218,578)
Closing units in issue 39,112,160 41,696,165
17. 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 329,070 319,938 Level 2 – Inputs other than quoted prices included within Level 1 that are observable, either directly or indirectly - Level 3 – Price inputs are unobservable - -
329,070 319,938
Liabilities Level 1 - Unadjusted quoted prices in an active market for identical assets accessible at the measurement date 8 56 Level 2 – Inputs other than quoted prices included within Level 1 that are observable, either directly or indirectly - Level 3 – Price inputs are unobservable - -
8 56
329,062 319,882 There is no material difference between the value of the financial assets and liabilities, as shown in the balance sheet, and their fair value.
The level 3 holding as at 31 December 2025 is:
Security Name Shares Market Value £ Constellation Software, Inc. Warrant 150 -
The level 3 holding as at 31 December 2024 is:
Security Name Shares Market Value £ Constellation Software, Inc. Warrant 150 -
State Street AUT North America Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
43
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18. Significant events during the financial year State Street Global Advisors is now State Street Investment Management. Effective 30 June, 2025, State Street Global Advisors began operating under the marketing name State Street Investment Management. This change does not affect the legal name or structure of the State Street Global Advisors Limited or the management of the Fund.
There have been no other significant events affecting the Fund during the financial year ended 31 December 2025 that require amendment to or disclosure in the financial statements.
19. Subsequent events since the financial year Victoria Parry, Colin Fernandes and Nigel Wightman resigned as Directors on 2 January 2026.
Barbara Healy, Benjamin Lam, Eric Linnane and Thomas Coghlan were appointed as Directors on 2 January 2026.
The Annual Management Charge shall reduce to 6bps from 1 April 2026.
There have been no other significant events affecting the Fund after the financial year ended 31 December 2025 that require amendment to or disclosure in the financial statements.
State Street AUT North America Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Notes to the Financial Statements (continued)
For the year ended 31st December 2025
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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 3.6151 - 3.6151 3.5090 Group 2 1.9783 1.6368 3.6151 3.5090
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 3.6688 - 3.6688 3.7227 Group 2 1.7762 1.8926 3.6688 3.7227
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 North America Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Distribution Tables
For the year ended 31st December 2025
45
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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 North America 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 North America Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Directory
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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.
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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 North America Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Appendix I – Remuneration Policy (Unaudited)
48
Page 51
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 North America Screened Index Equity Fund
Annual Report and Audited Financial Statements 2025
Appendix I – Remuneration Policy (Unaudited) (continued)
49
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"id": "3e99cb49-f1da-4b1b-870e-1a554c36e8ed",
"page_number": 3,
"text": "f) Principle 6: the elimination of discrimination in respect of employment and occupation."
},
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"text": "Environment"
},
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},
"id": "12d4cb1c-11d9-42f9-a9f2-7f7432a14443",
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"text": "g) Principle 7: Businesses should support a precautionary approach to environmental challenges;"
},
{
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"id": "ea26030c-a22c-414e-ab59-bbe660fabb94",
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"text": "h) Principle 8: undertake initiatives to promote greater environmental responsibility; and"
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"id": "0ac1f457-434a-448c-a8d0-18b94ce9e7af",
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"text": "i) Principle 9: encourage the development and diffusion of environmentally friendly technologies."
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"id": "4e87de42-791f-4c80-b4b1-a7991ecae5f7",
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"text": "AntiCorruption"
},
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"y": 796
},
"id": "561219f0-6d54-4752-818f-13d8e25fe290",
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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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"id": "6082b028-33d1-46e8-ad0e-1745d5253295",
"page_number": 3,
"text": "3. Tobacco (companies engaged in the production of tobacco and/or tobacco products)"
},
{
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"y": 838
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"id": "872acca7-f2cd-4bd7-b59d-1ef8fba315e4",
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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": "These 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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"id": "d5c0bbe8-e487-4e70-a0f4-4630b1bde9be",
"page_number": 3,
"text": "State Street AUT North America Screened Index Equity Fund"
},
{
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"x": 46,
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"id": "e0d17956-9229-4e94-9448-a1fd517618d7",
"page_number": 3,
"text": "Annual Report and Audited Financial Statements 2025"
},
{
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"width": 168,
"x": 48,
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"id": "814a96d2-88d6-486d-a769-983bc998ced1",
"page_number": 3,
"text": "Manager\u2019s Report"
},
{
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"width": 300,
"x": 48,
"y": 147
},
"id": "ec624924-41d8-4a54-90eb-0d82637043a3",
"page_number": 3,
"text": "For the year ended 31st December 2025"
},
{
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"x": 497,
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"id": "a216be68-def7-4b03-aabc-7995479b822b",
"page_number": 3,
"text": "1"
},
{
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"text": "Performance"
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{
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"id": "aafdf2e0-d3b5-4cbd-9440-28e813adb269",
"page_number": 4,
"text": "The Fund returned 9.54% on a net basis for the 1 year period ended 31 December 2025 (the \u201cReporting Period\u201d), compared"
},
{
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"id": "9a4fe8bc-8357-429d-9387-fc37bb19cc6b",
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"text": "to the Index return of 9.46%. The size of the Fund\u2019s tracking difference for the Reporting Period was 0.07% which was within"
},
{
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},
"id": "95aed814-894d-4c9c-b006-d6183b0e04f1",
"page_number": 4,
"text": "the targeted tolerance; the outperformance versus the Index was largely attributable to withholding tax effect. The Fund had"
},
{
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"width": 525,
"x": 47,
"y": 236
},
"id": "95686674-6f97-4104-9f1f-4a4b4adabab2",
"page_number": 4,
"text": "an ex-post 1 year tracking error of 0.04% against the benchmark index."
},
{
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"id": "2e11c62f-4b0a-4785-9f80-944f950f6970",
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"text": "Note: Performance returns presented above are in GBP."
},
{
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"id": "ae454843-b65a-4fce-af06-5fa50c594289",
"page_number": 4,
"text": "Risk and Reward Profile"
},
{
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"width": 123,
"x": 48,
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"id": "3ae88c08-8d0c-4a58-98c5-e5f658f2e013",
"page_number": 4,
"text": "Risk Disclaimer"
},
{
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"id": "0cf23ec2-8d55-4a99-8f8a-d094d9ba4d6d",
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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": "a7be8890-67b4-42e9-a7a9-c3f71fe7029d",
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"text": "have been historically."
},
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"id": "bcbe973b-ffb8-4cc2-9918-6ef905920201",
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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": "20a0c7eb-b0db-414b-b875-1fd5e860964a",
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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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"x": 47,
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"id": "a51794d2-518a-4bf7-94f7-9c324e870488",
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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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"x": 46,
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"id": "9c6e6bd0-3e20-44a8-af6a-1360fe73db2d",
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"text": "As the Fund\u2019s risk category has been calculated using historical data, it may not be a reliable indication of the Fund\u2019s future"
},
{
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},
"id": "5ef08b6f-ef3a-4b21-9d41-02cc39f9bd03",
"page_number": 4,
"text": "risk profile."
},
{
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},
"id": "bd03c5b6-39a7-4218-ab14-48d61f79b4c8",
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"text": "The Fund\u2019s risk category shown is not guaranteed and may change in the future."
},
{
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"x": 46,
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"id": "c74451a4-9436-4b53-b685-f7489f615c1b",
"page_number": 4,
"text": "Why is this Fund in this category?"
},
{
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"x": 47,
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},
"id": "0c43b0f2-f8b5-43f1-bc8b-6a9336bbaba8",
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"text": "The Fund is in risk category 6 as its return has experienced very high rises and falls historically."
},
{
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"id": "3effc34b-9bae-4202-afac-1b981e40e31d",
"page_number": 4,
"text": "The following are material risks relevant to the Fund which are not adequately captured by the risk category."
},
{
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"id": "21082681-ed79-4716-9565-0b0b6f44a6a4",
"page_number": 4,
"text": "Concentration Risk:"
},
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"id": "e1e5ec1c-0457-45a1-8b8a-2883f1b0ab78",
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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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"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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"text": "Counterparty Risk:"
},
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"id": "e30f8a65-4776-425e-a0d4-a9165ebf623c",
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"text": "The Fund will be subject to credit risk with respect to the counterparties with which it enters into"
},
{
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"id": "5c331af7-5b41-4b7d-9512-f023d87cb01c",
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"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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"id": "88745e7a-b53e-45f2-83fd-7d53f451b3f5",
"page_number": 4,
"text": "This could reduce the value of the Fund\u0027s investments."
},
{
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"id": "1402c34e-0de1-4499-9be4-feb87954a24b",
"page_number": 4,
"text": "Index Tracking Risk:"
},
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},
"id": "c27ca038-ec6f-4ccf-a92f-13850d0c4378",
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"text": "The Fund\u0027s performance may not exactly track the Index. This can result from market fluctuations,"
},
{
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"id": "7468f68b-cc8f-477a-a9af-793de63f2830",
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"text": "changes in the composition of the Index, transaction costs, the costs of making changes to the Fund\u0027s portfolio and other Fund"
},
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"text": "expenses."
},
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"id": "5040df59-bb66-43bb-a005-f455ad7d440f",
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"text": "Liquidity Risk:"
},
{
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"id": "62609218-8478-4309-9f27-7b26f75276d8",
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"text": "It may be difficult for the Fund to buy or sell certain investments in difficult market conditions. Consequently"
},
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"text": "the price obtained when selling securities may be lower than under normal market conditions."
},
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"text": "Screening Risk:"
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"id": "2fa4eb99-4f67-4616-ad84-12f464badc57",
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"text": "The Scheme may track an index that uses a screen to identify securities based on criteria including, but, not"
},
{
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"id": "5ca7524a-1227-4807-be4f-694a713420b7",
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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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"text": "or by a third party provider. There is a risk that errors are made in the screening process. There is an additional risk that a"
},
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"id": "5f3e044c-d4f3-431f-9d8c-a2f3e095d192",
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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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"text": "provider. In such circumstances, there is no guarantee that a replacement screen provided would result in a similar screening"
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"text": "process or would be available."
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"id": "23f1eb82-7b21-4015-8422-2d12e26ffb30",
"page_number": 4,
"text": "State Street AUT North America Screened Index Equity Fund"
},
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"id": "718616d5-044e-4f32-9afe-922119b8db12",
"page_number": 4,
"text": "Annual Report and Audited Financial Statements 2025"
},
{
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"text": "Manager\u0027s Report (continued)"
},
{
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"id": "bd348969-5f7c-4549-91ea-34d9c15bb9b0",
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"text": "For the year ended 31st December 2025"
},
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"text": "2"
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"text": "Derivatives Usage"
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{
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"id": "6b4c4467-92be-4a7e-b70a-bd542121cbe2",
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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": "44c5737b-c4af-4412-905f-b2b051225306",
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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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"text": "equivalents."
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"id": "caa5ab70-ca20-478e-9a0d-d51b54271a4e",
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"text": "As at 31st December 2025, the Fund had a total notional exposure to futures of \u00a31,281,086 (0.39% of the Fund)."
},
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"text": "Tracking Error"
},
{
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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": "46077269-7b4e-4470-b187-ea7e63de291b",
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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": "cb5ef88c-2e08-40e5-93d1-ea26a28294f4",
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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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"text": "The size of the Fund\u2019s tracking error for the twelve months ended 31st December 2025 was 0.04% which was within the"
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"text": "State Street AUT North America Screened Index Equity Fund"
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"text": "Annual Report and Audited Financial Statements 2025"
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"text": "Manager\u0027s Report (continued)"
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"text": "Holdings"
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"text": "Market Value"
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"text": "\u00a3\u0027000"
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"text": "% of Total"
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"text": "Net Assets"
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"text": "Aerospace \u0026 Defence \u2013 1.55% (31.12.2024 \u2013 1.28%)"
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"text": "Axon Enterprise, Inc. 600 253 0.08"
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"text": "Boeing Co. 5,615 906 0.27"
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"text": "Bombardier, Inc. 700 88 0.03"
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"text": "General Dynamics Corp. 1,809 453 0.14"
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"text": "General Electric Co. 7,933 1,817 0.55"
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"text": "HEICO Corp. 300 72 0.02"
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"text": "HEICO Corp. \u0027A\u0027 Shares 500 94 0.03"
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