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State Street AUT North America
Screened Index Equity Fund
Interim Report and Unaudited Financial Statements
For the period ended 30th June 2026
Page 2
Contents Page
Manager's Report* 1
Portfolio Statement* 4
Directors' Report to Unitholders* 25
Comparative Table* 26
Financial statements: 27
Statement of Total Return 27
Statement of Change in Net Assets Attributable to Unitholders 27
Balance Sheet 28
Notes to the Financial Statements 29
Directory* 31
* These collectively comprise the Manager’s Report.
State Street AUT North America Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
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
Interim Report and Unaudited Financial Statements 2026
Manager’s Report
For the period ended 30th June 2026
1
Page 4
Performance The Fund returned 11.27% (11.23% net of fees) for the 6-month period ended 30 June 2026 (the “Reporting Period”), compared to the Index return of 11.20%. 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.
Note: Performance returns presented above are in GBP.
Risk and Reward Profile Lower risk
Potentially lower reward
Higher risk
Potentially higher reward
1234 7 5 6 5 6
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 medium rises and falls historically.
The following are material risks relevant to the Fund which are not adequately captured by the risk category.
Concentration Risk: When the Fund focuses its investments in a particular way, the issues affecting the investments will have a greater effect than if the Fund was more diversified. This concentration may also limit the Fund's liquidity.
Counterparty Risk: The Fund will be subject to credit risk with respect to the counterparties with which it enters into derivatives contracts and other transactions. There is a risk that these institutions may not be able to perform their obligations. This could reduce the value of the Fund's investments.
Index Tracking Risk: The Fund's performance may not exactly track the Index. This can result from market fluctuations, changes in the composition of the Index, transaction costs, the costs of making changes to the Fund's portfolio and other Fund expenses.
Liquidity Risk: It may be difficult for the Fund to buy or sell certain investments in difficult market conditions. Consequently the price obtained when selling securities may be lower than under normal market conditions.
Screening Risk: The Scheme may track an index that uses a screen to identify securities based on criteria including, but, not limited to environmental, social and governance (ESG) criteria. The screen may be fully or partially designed by the Manager or by a third party provider. There is a risk that errors are made in the screening process. There is an additional risk that a screen provider may amend or discontinue its screening services and/or that the Manager may change the screen or screen provider. In such circumstances, there is no guarantee that a replacement screen provided would result in a similar screening process or would be available.
State Street AUT North America Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Manager's Report (continued)
For the period ended 30th June 2026
2
Page 5
Derivatives Usage Derivatives are used in the Fund for efficient portfolio management purposes. The Fund invests in index futures to manage client inflows and outflows and to hedge accrued income. At all times the futures exposure is covered entirely by cash or cash equivalents.
As at 30th June 2026, the Fund had a total notional exposure to futures of £568,713.50 (0.26% of the Fund).
Tracking Error The Tracking Error measures the standard deviation of the relative returns. It is the annualised standard deviation of the returns of a fund minus those of its benchmark (relative returns) and not the standard deviation of each fund’s unique returns. The lower the tracking error of a fund, the more the fund resembles its benchmark or the market regarding risk and return characteristics.
The size of the Fund’s tracking error for the one year ended 30th June 2026 was 0.05% which was within the targeted tolerance.
State Street AUT North America Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Manager's Report (continued)
For the period ended 30th June 2026
3
Page 6
Holdings
Market Value £'000
% of Total Net Assets
Aerospace & Defence – 1.75% (31.12.2025 – 1.55%) Axon Enterprise, Inc. 360 152 0.07 Boeing Co. 3,415 557 0.25 Bombardier, Inc. 400 69 0.03 CAE, Inc. 800 15 0.01 General Dynamics Corp. 1,129 301 0.14 General Electric Co. 4,693 1,320 0.60 HEICO Corp. 140 38 0.02 HEICO Corp. 'A' Shares 460 89 0.04 Honeywell Aerospace, Inc. 1,515 252 0.11 Howmet Aerospace, Inc. 1,807 366 0.17 Northrop Grumman Corp. 580 223 0.10 Rocket Lab Corp. 2,200 168 0.08 Textron, Inc. 800 55 0.02 TransDigm Group, Inc. 250 251 0.11
3,856 1.75
Alternative Energy – 0.11% (31.12.2025 – 0.11%) Cameco Corp. 2,000 153 0.07 First Solar, Inc. 444 79 0.04
232 0.11
Automobiles & Parts – 2.07% (31.12.2025 – 2.36%) Aptiv PLC 1,000 46 0.02 Ford Motor Co. 17,520 183 0.08 Genuine Parts Co. 500 45 0.02 Magna International, Inc. 1,229 61 0.03 Rivian Automotive, Inc. 2,400 31 0.01 Tesla, Inc. 13,206 4,182 1.90 Versigent PLC 333 11 0.01
4,559 2.07
Banks – 4.27% (31.12.2025 – 4.09%) Bank of America Corp. 30,322 1,301 0.59
State Street AUT North America Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement
As at 30th June 2026
4
Page 7
Holdings
Market Value £'000
% of Total Net Assets
Banks – 4.27% (31.12.2025 – 4.09%) (continued) Bank of Montreal 3,211 427 0.19 Bank of Nova Scotia 5,786 379 0.17 Canadian Imperial Bank of Commerce 4,253 368 0.17 Citigroup, Inc. 7,862 829 0.38 Citizens Financial Group, Inc. 1,923 102 0.05 Credicorp Ltd. 342 100 0.04 Fifth Third Bancorp 4,100 174 0.08 First Citizens BancShares, Inc. 50 78 0.03 Huntington Bancshares, Inc. 9,044 121 0.05 JPMorgan Chase & Co. 12,095 2,982 1.36 KeyCorp 3,300 57 0.03 M&T Bank Corp. 725 130 0.06 National Bank of Canada 1,808 215 0.10 NU Holdings Ltd. 15,000 151 0.07 PNC Financial Services Group, Inc. 1,934 359 0.16 Regions Financial Corp. 3,865 88 0.04 Royal Bank of Canada 6,416 1,000 0.45 Truist Financial Corp. 5,722 215 0.10 U.S. Bancorp 7,050 321 0.15
9,397 4.27
Beverages – 0.98% (31.12.2025 – 0.97%) Coca-Cola Co. 17,518 1,072 0.49 Constellation Brands, Inc. 820 86 0.04 Keurig Dr. Pepper, Inc. 5,787 143 0.06 Monster Beverage Corp. 3,148 228 0.10 PepsiCo, Inc. 6,222 635 0.29
2,164 0.98
Chemicals – 0.71% (31.12.2025 – 0.68%) Air Products & Chemicals, Inc. 1,000 221 0.10 DuPont de Nemours, Inc. 628 64 0.03 Ecolab, Inc. 1,111 233 0.10 International Flavors & Fragrances, Inc. 1,151 69 0.03
State Street AUT North America Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
5
Page 8
Holdings
Market Value £'000
% of Total Net Assets
Chemicals – 0.71% (31.12.2025 – 0.68%) (continued) Linde PLC 2,148 840 0.38 LyondellBasell Industries NV 935 37 0.02 Nutrien Ltd. 2,195 104 0.05
1,568 0.71
Construction & Materials – 0.86% (31.12.2025 – 0.69%) AtkinsRealis Group, Inc. 500 23 0.01 Carrier Global Corp. 3,500 193 0.09 Comfort Systems USA, Inc. 170 254 0.12 CRH PLC 2,980 240 0.11 EMCOR Group, Inc. 200 125 0.06 Martin Marietta Materials, Inc. 280 122 0.05 Quanta Services, Inc. 657 356 0.16 Stantec, Inc. 300 16 0.01 Trane Technologies PLC 1,004 372 0.17 Vulcan Materials Co. 582 129 0.06 WSP Global, Inc. 600 56 0.02
1,886 0.86
Consumer Services – 0.29% (31.12.2025 – 0.63%) Copart, Inc. 4,000 85 0.04 eBay, Inc. 2,066 174 0.08 MercadoLibre, Inc. 212 271 0.12 RB Global, Inc. 800 70 0.03 Rollins, Inc. 1,300 41 0.02
641 0.29
Electricity – 1.14% (31.12.2025 – 1.21%) Alliant Energy Corp. 1,200 69 0.03 Consolidated Edison, Inc. 1,631 136 0.06 Constellation Energy Corp. 1,466 274 0.13 Dominion Energy, Inc. 4,288 221 0.10 Edison International 1,737 98 0.04
State Street AUT North America Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
6
Page 9
Holdings
Market Value £'000
% of Total Net Assets
Electricity – 1.14% (31.12.2025 – 1.21%) (continued) Emera, Inc. 1,400 56 0.03 Entergy Corp. 1,984 172 0.08 Eversource Energy 1,671 91 0.04 Exelon Corp. 4,498 158 0.07 Hydro One Ltd. 2,000 62 0.03 NextEra Energy, Inc. 9,655 638 0.29 NRG Energy, Inc. 919 101 0.05 PG&E Corp. 9,900 125 0.06 Public Service Enterprise Group, Inc. 2,257 138 0.06 Xcel Energy, Inc. 2,700 163 0.07
2,502 1.14
Electronic & Electrical Equipment – 1.35% (31.12.2025 – 0.87%) Allegion PLC 552 58 0.03 AMETEK, Inc. 987 180 0.08 Emerson Electric Co. 2,521 272 0.12 Fortive Corp. 1,475 68 0.03 GE Vernova, Inc. 1,218 1,078 0.49 Hubbell, Inc. 260 102 0.05 IDEX Corp. 300 51 0.02 Johnson Controls International PLC 2,757 303 0.14 Keysight Technologies, Inc. 800 211 0.10 Mettler-Toledo International, Inc. 90 87 0.04 Pentair PLC 1,038 60 0.03 Rockwell Automation, Inc. 494 184 0.08 Teledyne Technologies, Inc. 220 111 0.05 Trimble, Inc. 800 31 0.01 Veralto Corp. 1,066 71 0.03 Xylem, Inc. 1,117 100 0.05
2,967 1.35
Finance & Credit Services – 0.39% (31.12.2025 – 0.59%) Moody's Corp. 728 249 0.11 MSCI, Inc. 270 114 0.05
State Street AUT North America Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
7
Page 10
Holdings
Market Value £'000
% of Total Net Assets
Finance & Credit Services – 0.39% (31.12.2025 – 0.59%) (continued) S&P Global, Inc. 1,381 423 0.19 SoFi Technologies, Inc. 5,500 74 0.04
860 0.39
Food Producers – 0.41% (31.12.2025 – 0.46%) Archer-Daniels-Midland Co. 2,188 126 0.06 Corteva, Inc. 3,072 196 0.09 General Mills, Inc. 2,441 64 0.03 Hershey Co. 660 87 0.04 Kraft Heinz Co. 3,825 68 0.03 McCormick & Co., Inc. 790 30 0.01 Mondelez International, Inc. 5,875 256 0.12 Saputo, Inc. 700 15 0.01 Tyson Foods, Inc. 1,201 52 0.02
894 0.41
Gas, Water & Multiutilities – 0.23% (31.12.2025 – 0.23%) AltaGas Ltd. 900 25 0.01 American Water Works Co., Inc. 902 90 0.04 Atmos Energy Corp. 700 91 0.04 CenterPoint Energy, Inc. 2,900 96 0.04 Sempra 2,982 208 0.10
510 0.23
General Industrials – 1.20% (31.12.2025 – 1.59%) 3M Co. 2,367 289 0.13 Amcor PLC 2,080 68 0.03 Ball Corp. 1,255 59 0.03 Dover Corp. 600 101 0.04 Dow, Inc. 3,169 65 0.03 Eaton Corp. PLC 1,760 565 0.26 Honeywell International, Inc. 1,515 255 0.12 Illinois Tool Works, Inc. 1,319 269 0.12
State Street AUT North America Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
8
Page 11
Holdings
Market Value £'000
% of Total Net Assets
General Industrials – 1.20% (31.12.2025 – 1.59%) (continued) Packaging Corp. of America 339 61 0.03 Parker-Hannifin Corp. 587 433 0.20 PPG Industries, Inc. 1,000 91 0.04 Sherwin-Williams Co. 1,040 270 0.12 Smurfit Westrock PLC 2,300 80 0.04 Thomson Reuters Corp. 388 24 0.01
2,630 1.20
Health Care Providers – 1.28% (31.12.2025 – 1.12%) Centene Corp. 2,208 107 0.05 Cigna Group 1,178 245 0.11 Elevance Health, Inc. 992 289 0.13 HCA Healthcare, Inc. 742 218 0.10 Hologic, Inc.* 800 0 0.00 Humana, Inc. 524 157 0.07 IQVIA Holdings, Inc. 752 109 0.05 Medtronic PLC 5,778 341 0.16 UnitedHealth Group, Inc. 4,040 1,264 0.57 Veeva Systems, Inc. 660 88 0.04
2,818 1.28
Household Goods & Home Construction – 0.15% (31.12.2025 – 0.17%) Dr. Horton, Inc. 1,178 145 0.06 Lennar Corp. 900 61 0.03 NVR, Inc. 8 41 0.02 PulteGroup, Inc. 877 91 0.04
338 0.15
Industrial Engineering – 1.29% (31.12.2025 – 0.91%) Caterpillar, Inc. 2,043 1,639 0.75 Cummins, Inc. 624 335 0.15 Deere & Co. 1,175 561 0.26 Ingersoll Rand, Inc. 1,789 111 0.05
State Street AUT North America Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
9
Page 12
Holdings
Market Value £'000
% of Total Net Assets
Industrial Engineering – 1.29% (31.12.2025 – 0.91%) (continued) Otis Worldwide Corp. 1,800 97 0.04 Snap-on, Inc. 300 91 0.04
2,834 1.29
Industrial Materials – 0.05% (31.12.2025 – 0.07%) Avery Dennison Corp. 400 49 0.02 International Paper Co. 2,400 69 0.03
118 0.05
Industrial Metals & Mining – 0.46% (31.12.2025 – 0.43%) Fastenal Co. 5,140 186 0.08 First Quantum Minerals Ltd. 3,100 64 0.03 Freeport-McMoRan, Inc. 6,400 303 0.14 Ivanhoe Mines Ltd. 1,400 8 0.00 Lundin Mining Corp. 3,100 57 0.02 LunR Royalties Corp.* 41 0 0.00 Nucor Corp. 1,050 176 0.08 Southern Copper Corp. 282 37 0.02 Steel Dynamics, Inc. 600 104 0.05 Teck Resources Ltd. 1,800 81 0.04
1,016 0.46
Industrial Support Services – 3.07% (31.12.2025 – 3.81%) Accenture PLC 2,772 260 0.12 American Express Co. 2,432 620 0.28 Automatic Data Processing, Inc. 1,800 304 0.14 Block, Inc. 2,400 138 0.06 Capital One Financial Corp. 2,793 422 0.19 Cintas Corp. 1,500 192 0.09 Corpay, Inc. 300 75 0.04 Equifax, Inc. 560 67 0.03 Fair Isaac Corp. 100 90 0.04 Fedex Freight Holding Co., Inc. 474 54 0.03
State Street AUT North America Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
10
Page 13
Holdings
Market Value £'000
% of Total Net Assets
Industrial Support Services – 3.07% (31.12.2025 – 3.81%) (continued) Ferguson Enterprises, Inc. 900 161 0.07 Fidelity National Information Services, Inc. 2,327 68 0.03 Fiserv, Inc. 2,392 88 0.04 Global Payments, Inc. 1,099 60 0.03 Jack Henry & Associates, Inc. 500 52 0.02 Jacobs Solutions, Inc. 500 47 0.02 Mastercard, Inc. 3,610 1,397 0.64 Paychex, Inc. 1,450 107 0.05 PayPal Holdings, Inc. 4,236 138 0.06 Synchrony Financial 1,525 87 0.04 Toromont Industries Ltd. 500 62 0.03 TransUnion 1,200 65 0.03 Verisk Analytics, Inc. 610 83 0.04 Visa, Inc. 7,437 1,920 0.87 WW Grainger, Inc. 180 184 0.08
6,741 3.07
Industrial Transportation – 1.60% (31.12.2025 – 1.29%) Canadian National Railway Co. 2,410 217 0.10 Canadian Pacific Kansas City Ltd. 4,081 267 0.12 CSX Corp. 8,449 302 0.14 Element Fleet Management Corp. 1,000 16 0.01 Expeditors International of Washington, Inc. 600 74 0.03 FedEx Corp. 949 224 0.10 JB Hunt Transport Services, Inc. 300 65 0.03 Norfolk Southern Corp. 1,013 240 0.11 Old Dominion Freight Line, Inc. 800 131 0.06 PACCAR, Inc. 2,272 206 0.09 TFI International, Inc. 400 43 0.02 Uber Technologies, Inc. 9,100 494 0.23 Union Pacific Corp. 2,701 553 0.25 United Parcel Service, Inc. 3,301 267 0.12
State Street AUT North America Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
11
Page 14
Holdings
Market Value £'000
% of Total Net Assets
Industrial Transportation – 1.60% (31.12.2025 – 1.29%) (continued) United Rentals, Inc. 300 256 0.12 Westinghouse Air Brake Technologies Corp. 799 162 0.07
3,517 1.60
Investment Banking & Brokerage – 4.25% (31.12.2025 – 5.00%) Ameriprise Financial, Inc. 424 147 0.07 Apollo Global Management, Inc. 1,900 169 0.08 ARES Management Corp. 1,000 84 0.04 Bank of New York Mellon Corp. 3,126 341 0.15 Berkshire Hathaway, Inc. 6,175 2,327 1.06 Berkshire Hathaway, Inc. 'A' Shares 1 565 0.26 Blackrock, Inc. 690 500 0.23 Blackstone, Inc. 3,375 299 0.14 Broadridge Financial Solutions, Inc. 575 59 0.03 Brookfield Asset Management Ltd. 1,683 57 0.02 Brookfield Corp. 9,496 306 0.14 Carlyle Group, Inc. 1,208 38 0.02 Cboe Global Markets, Inc. 500 91 0.04 Charles Schwab Corp. 7,385 513 0.23 CME Group, Inc. 1,630 271 0.12 Coinbase Global, Inc. 1,020 112 0.05 Equitable Holdings, Inc. 1,300 43 0.02 Goldman Sachs Group, Inc. 1,304 994 0.45 Interactive Brokers Group, Inc. 1,900 125 0.06 Intercontinental Exchange, Inc. 2,597 241 0.11 KKR & Co., Inc. 2,830 196 0.09 LPL Financial Holdings, Inc. 383 81 0.04 Morgan Stanley 5,163 813 0.37 Nasdaq, Inc. 2,224 132 0.06 Northern Trust Corp. 900 118 0.05 Principal Financial Group, Inc. 1,026 83 0.04 Raymond James Financial, Inc. 800 92 0.04 Robinhood Markets, Inc. 3,400 257 0.12 State Street Corp. 1,285 164 0.07
State Street AUT North America Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
12
Page 15
Holdings
Market Value £'000
% of Total Net Assets
Investment Banking & Brokerage – 4.25% (31.12.2025 – 5.00%) (continued) T. Rowe Price Group, Inc. 900 77 0.03 TMX Group Ltd. 2,300 57 0.02
9,352 4.25
Leisure Goods – 0.31% (31.12.2025 – 0.32%) Carnival Corp. Ltd. 5,140 111 0.05 Electronic Arts, Inc. 1,142 176 0.08 Garmin Ltd. 752 134 0.06 ROBLOX Corp. 2,800 115 0.05 Take-Two Interactive Software, Inc. 821 155 0.07
691 0.31
Life Insurance – 0.49% (31.12.2025 – 0.48%) Aflac, Inc. 2,166 191 0.09 Great-West Lifeco, Inc. 1,153 55 0.03 iA Financial Corp., Inc. 400 42 0.02 Manulife Financial Corp. 7,529 230 0.10 MetLife, Inc. 2,513 160 0.07 Power Corp. of Canada 2,363 111 0.05 Prudential Financial, Inc. 1,735 141 0.06 Sun Life Financial, Inc. 2,500 148 0.07
1,078 0.49
Media – 6.22% (31.12.2025 – 1.46%) Alphabet, Inc. 'A' Shares 26,311 7,079 3.22 Fox Corp. 'A' Shares 1,116 44 0.02 Fox Corp. 'B' Shares 1,100 39 0.02 Liberty Media Corp.-Liberty Formula One 900 64 0.03 Meta Platforms, Inc. 9,962 4,226 1.92 Netflix, Inc. 19,060 1,025 0.47 News Corp. 1,037 19 0.01 News Corp. 'B' Shares 1,400 30 0.01 Omnicom Group, Inc. 1,417 78 0.03
State Street AUT North America Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
13
Page 16
Holdings
Market Value £'000
% of Total Net Assets
Media – 6.22% (31.12.2025 – 1.46%) (continued) Spotify Technology SA 760 263 0.12 Trade Desk, Inc. 1,200 16 0.01 Walt Disney Co. 8,089 586 0.27 Warner Bros Discovery, Inc. 10,456 210 0.09
13,679 6.22
Medical Equipment & Services – 1.94% (31.12.2025 – 2.83%) Abbott Laboratories 7,898 540 0.25 Agilent Technologies, Inc. 1,300 130 0.06 Becton Dickinson & Co. 1,246 142 0.06 Boston Scientific Corp. 6,612 213 0.10 Cooper Cos., Inc. 900 49 0.02 Danaher Corp. 2,800 402 0.18 Dexcom, Inc. 1,808 92 0.04 Edwards Lifesciences Corp. 2,600 177 0.08 GE HealthCare Technologies, Inc. 2,071 100 0.05 IDEXX Laboratories, Inc. 420 166 0.08 Insulet Corp. 220 25 0.01 Intuitive Surgical, Inc. 1,579 473 0.21 Labcorp Holdings, Inc. 380 80 0.04 Natera, Inc. 600 123 0.06 Quest Diagnostics, Inc. 500 80 0.04 ResMed, Inc. 660 97 0.04 STERIS PLC 400 63 0.03 Stryker Corp. 1,532 363 0.16 Thermo Fisher Scientific, Inc. 1,731 653 0.30 Waters Corp. 449 127 0.06 West Pharmaceutical Services, Inc. 320 86 0.04 Zimmer Biomet Holdings, Inc. 1,200 78 0.03
4,259 1.94
Nonlife Insurance – 1.46% (31.12.2025 – 1.63%) Allstate Corp. 1,212 217 0.10 American International Group, Inc. 2,404 135 0.06
State Street AUT North America Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
14
Page 17
Holdings
Market Value £'000
% of Total Net Assets
Nonlife Insurance – 1.46% (31.12.2025 – 1.63%) (continued) Aon PLC 965 241 0.11 Arch Capital Group Ltd. 1,600 117 0.05 Arthur J Gallagher & Co. 1,150 199 0.09 Brown & Brown, Inc. 1,011 49 0.02 Chubb Ltd. 1,682 432 0.20 Cincinnati Financial Corp. 540 75 0.03 Everest Group Ltd. 200 54 0.03 Fairfax Financial Holdings Ltd. 96 119 0.05 Fidelity National Financial, Inc. 1,400 50 0.02 Hartford Insurance Group, Inc. 1,300 130 0.06 Intact Financial Corp. 800 124 0.06 Loews Corp. 800 68 0.03 Markel Group, Inc. 61 90 0.04 Marsh & McLennan Cos., Inc. 2,212 278 0.13 Progressive Corp. 2,704 444 0.20 Travelers Cos., Inc. 974 242 0.11 W.R. Berkley Corp. 1,162 62 0.03 Willis Towers Watson PLC 446 88 0.04
3,214 1.46
Oil & Gas Producers – 0.00% (31.12.2025 – 0.06%)
Oil, Gas & Coal – 3.28% (31.12.2025 – 2.96%) ARC Resources Ltd. 2,600 41 0.02 Baker Hughes Co. 4,426 185 0.08 Canadian Natural Resources Ltd. 9,162 273 0.13 Cenovus Energy, Inc. 6,116 114 0.05 Cheniere Energy, Inc. 1,050 189 0.09 ConocoPhillips 5,641 442 0.20 Devon Energy Corp. 5,102 159 0.07 Diamondback Energy, Inc. 900 119 0.05 Enbridge, Inc. 9,784 400 0.18 EOG Resources, Inc. 2,467 241 0.11 EQT Corp. 2,700 108 0.05 Expand Energy Corp. 1,000 69 0.03
State Street AUT North America Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
15
Page 18
Holdings
Market Value £'000
% of Total Net Assets
Oil, Gas & Coal – 3.28% (31.12.2025 – 2.96%) (continued) Exxon Mobil Corp. 18,988 1,952 0.89 Halliburton Co. 3,742 96 0.04 Imperial Oil Ltd. 499 42 0.02 Keyera Corp. 1,000 30 0.01 Kinder Morgan, Inc. 8,782 212 0.10 Marathon Petroleum Corp. 1,373 264 0.12 Occidental Petroleum Corp. 3,177 116 0.05 ONEOK, Inc. 2,794 183 0.08 Pembina Pipeline Corp. 2,600 91 0.04 Phillips 66 1,855 236 0.11 SLB Ltd. 6,726 236 0.11 Suncor Energy, Inc. 5,379 218 0.10 Targa Resources Corp. 1,000 202 0.09 TC Energy Corp. 4,716 237 0.11 Texas Pacific Land Corp. 261 86 0.04 Tourmaline Oil Corp. 1,300 41 0.02 Valero Energy Corp. 1,400 275 0.13 Whitecap Resources, Inc. 5,400 42 0.02 Williams Cos., Inc. 5,449 305 0.14
7,204 3.28
Personal Care, Drug & Grocery – 1.41% (31.12.2025 – 1.51%) Cencora, Inc. 840 179 0.08 Church & Dwight Co., Inc. 1,058 77 0.04 Colgate-Palmolive Co. 3,604 249 0.11 CVS Health Corp. 5,888 459 0.21 George Weston Ltd. 416 23 0.01 Kenvue, Inc. 8,500 122 0.06 Kimberly-Clark Corp. 1,487 123 0.06 Kroger Co. 2,600 109 0.05 Loblaw Cos. Ltd. 2,552 87 0.04 McKesson Corp. 551 314 0.14 Metro, Inc. 900 43 0.02
State Street AUT North America Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
16
Page 19
Holdings
Market Value £'000
% of Total Net Assets
Personal Care, Drug & Grocery – 1.41% (31.12.2025 – 1.51%) (continued) Procter & Gamble Co. 10,593 1,169 0.53 Sysco Corp. 2,168 137 0.06
3,091 1.41
Personal Goods – 0.17% (31.12.2025 – 0.25%) Deckers Outdoor Corp. 700 52 0.02 Estee Lauder Cos., Inc. 1,100 66 0.03 Gildan Activewear, Inc. 1,300 51 0.02 Lululemon Athletica, Inc. 457 39 0.02 NIKE, Inc. 5,298 164 0.08
372 0.17
Pharmaceuticals & Biotechnology – 4.29% (31.12.2025 – 4.31%) AbbVie, Inc. 8,130 1,539 0.70 Alnylam Pharmaceuticals, Inc. 566 128 0.06 Amgen, Inc. 2,458 671 0.31 Biogen, Inc. 691 112 0.05 Bristol-Myers Squibb Co. 9,137 397 0.18 Cardinal Health, Inc. 1,023 183 0.08 Eli Lilly & Co. 3,633 3,283 1.49 Gilead Sciences, Inc. 5,630 536 0.24 Illumina, Inc. 700 93 0.04 Incyte Corp. 713 61 0.03 Insmed, Inc. 900 72 0.03 Merck & Co., Inc. 11,199 1,084 0.49 Pfizer, Inc. 25,569 464 0.21 Regeneron Pharmaceuticals, Inc. 445 209 0.10 Royalty Pharma PLC 1,700 72 0.03 Vertex Pharmaceuticals, Inc. 1,148 429 0.20 Zoetis, Inc. 1,969 107 0.05
9,440 4.29
State Street AUT North America Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
17
Page 20
Holdings
Market Value £'000
% of Total Net Assets
Precious Metals & Mining – 0.57% (31.12.2025 – 0.63%) Agnico Eagle Mines Ltd. 2,221 260 0.12 Alamos Gold, Inc. 1,900 44 0.02 Equinox Gold Corp. 5,500 40 0.02 First Majestic Silver Corp. 3,600 46 0.02 Franco-Nevada Corp. 900 141 0.07 IAMGOLD Corp. 1,700 20 0.01 Kinross Gold Corp. 5,400 96 0.04 Lundin Gold, Inc. 200 8 0.00 Newmont Corp. 4,990 351 0.16 Pan American Silver Corp. 1,900 64 0.03 Wheaton Precious Metals Corp. 2,039 173 0.08
1,243 0.57
Real Estate Investment & Services – 0.22% (31.12.2025 – 0.84%) American Tower Corp. 2,123 262 0.12 CBRE Group, Inc. 1,339 136 0.06 CoStar Group, Inc. 1,900 40 0.02 FirstService Corp. 400 42 0.02 Zillow Group, Inc. 'H' Shares 300 7 0.00
487 0.22
Real Estate Investment Trusts – 1.53% (31.12.2025 – 0.99%) AvalonBay Communities, Inc. 615 87 0.04 Crown Castle, Inc. 1,950 111 0.05 Digital Realty Trust, Inc. 1,543 209 0.09 Equinix, Inc. 435 342 0.16 Equity Residential 1,733 89 0.04 Essex Property Trust, Inc. 360 79 0.04 Extra Space Storage, Inc. 900 99 0.04 Invitation Homes, Inc. 2,800 64 0.03 Iron Mountain, Inc. 1,291 123 0.06 Kimco Realty Corp. 3,015 58 0.03 Mid-America Apartment Communities, Inc. 500 52 0.02 Prologis, Inc. 4,159 424 0.19
State Street AUT North America Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
18
Page 21
Holdings
Market Value £'000
% of Total Net Assets
Real Estate Investment Trusts – 1.53% (31.12.2025 – 0.99%) (continued) Public Storage 698 167 0.08 Realty Income Corp. 4,094 191 0.09 SBA Communications Corp. 500 66 0.03 Simon Property Group, Inc. 1,451 245 0.11 Sun Communities, Inc. 600 54 0.02 Ventas, Inc. 2,127 142 0.06 VICI Properties, Inc. 4,788 96 0.04 Welltower, Inc. 3,300 564 0.26 Weyerhaeuser Co. 3,234 58 0.03 WP Carey, Inc. 1,000 54 0.02
3,374 1.53
Retailers – 6.09% (31.12.2025 – 6.49%) Alimentation Couche-Tard, Inc. 3,332 160 0.07 Amazon.com, Inc. 43,895 7,878 3.58 AutoZone, Inc. 75 180 0.08 Best Buy Co., Inc. 570 33 0.02 Burlington Stores, Inc. 240 57 0.03 Canadian Tire Corp. Ltd. 200 21 0.01 Carvana Co. 3,000 149 0.07 Costco Wholesale Corp. 2,004 1,412 0.64 Coupang, Inc. 5,898 77 0.04 Dollar General Corp. 1,000 87 0.04 Dollar Tree, Inc. 797 73 0.03 Dollarama, Inc. 1,142 114 0.05 Home Depot, Inc. 4,583 1,217 0.55 Lowe's Cos., Inc. 2,513 417 0.19 O'Reilly Automotive, Inc. 3,750 260 0.12 Ross Stores, Inc. 1,550 249 0.11 Target Corp. 2,022 199 0.09 TJX Cos., Inc. 5,109 583 0.27 Tractor Supply Co. 2,400 57 0.03
State Street AUT North America Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
19
Page 22
Holdings
Market Value £'000
% of Total Net Assets
Retailers – 6.09% (31.12.2025 – 6.49%) (continued) Ulta Beauty, Inc. 210 71 0.03 Williams-Sonoma, Inc. 500 88 0.04
13,382 6.09
Software & Computer Services – 11.74% (31.12.2025 – 20.20%) Adobe, Inc. 1,856 287 0.13 Alphabet, Inc. 'C' Shares 21,575 5,744 2.61 AppLovin Corp. 1,130 438 0.20 Atlassian Corp. 700 41 0.02 Autodesk, Inc. 942 138 0.06 Cadence Design Systems, Inc. 1,245 352 0.16 CGI, Inc. 939 46 0.02 Check Point Software Technologies Ltd. 500 49 0.02 Cloudflare, Inc. 1,400 259 0.12 Cognizant Technology Solutions Corp. 2,154 63 0.03 Constellation Software Warrant, Inc.~³ 150 - 0.00 Constellation Software, Inc. 89 127 0.06 CoreWeave, Inc. 1,700 127 0.06 Crowdstrike Holdings, Inc. 1,160 667 0.30 Datadog, Inc. 1,400 274 0.12 Descartes Systems Group, Inc. 700 36 0.02 Docusign, Inc. 500 17 0.01 DoorDash, Inc. 1,645 229 0.10 F5, Inc. 200 63 0.03 Fortinet, Inc. 2,800 324 0.15 Gartner, Inc. 320 31 0.01 Gen Digital, Inc. 1,515 28 0.01 GoDaddy, Inc. 400 26 0.01 Hewlett Packard Enterprise Co. 6,000 204 0.09 HubSpot, Inc. 160 22 0.01 International Business Machines Corp. 4,200 890 0.41 Intuit, Inc. 1,241 244 0.11 Leidos Holdings, Inc. 600 46 0.02 Microsoft Corp. 33,737 9,477 4.31
State Street AUT North America Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
20
Page 23
Holdings
Market Value £'000
% of Total Net Assets
Software & Computer Services – 11.74% (31.12.2025 – 20.20%) (continued) MongoDB, Inc. 362 92 0.04 Okta, Inc. 900 92 0.04 Open Text Corp. 2,100 35 0.02 Oracle Corp. 7,655 846 0.39 Palantir Technologies, Inc. 10,200 896 0.41 Palo Alto Networks, Inc. 3,750 962 0.44 Pinterest, Inc. 1,711 27 0.01 PTC, Inc. 400 34 0.02 Reddit, Inc. 600 79 0.04 Roper Technologies, Inc. 484 123 0.06 Salesforce, Inc. 3,588 424 0.19 ServiceNow, Inc. 4,715 353 0.16 Shopify, Inc. 5,540 477 0.22 Snowflake, Inc. 1,500 287 0.13 SS&C Technologies Holdings, Inc. 900 42 0.02 Strategy, Inc. 1,420 93 0.04 Synopsys, Inc. 851 286 0.13 Twilio, Inc. 611 95 0.04 Tyler Technologies, Inc. 190 42 0.02 VeriSign, Inc. 374 71 0.03 Workday, Inc. 1,000 92 0.04 Zoom Communications, Inc. 939 61 0.03 Zscaler, Inc. 440 47 0.02
25,805 11.74
Technology Hardware & Equipment – 28.19% (31.12.2025 – 21.80%) Advanced Micro Devices, Inc. 7,425 3,247 1.48 Amphenol Corp. 5,480 728 0.33 Analog Devices, Inc. 2,252 674 0.31 Apple, Inc. 65,588 14,289 6.50 Applied Materials, Inc. 3,609 1,967 0.89 Astera Labs, Inc. 600 218 0.10 Broadcom, Inc. 21,057 5,986 2.72 CDW Corp. 600 64 0.03
State Street AUT North America Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
21
Page 24
Holdings
Market Value £'000
% of Total Net Assets
Technology Hardware & Equipment – 28.19% (31.12.2025 – 21.80%) (continued) Celestica, Inc. 500 137 0.06 Coherent Corp. 800 238 0.11 Corning, Inc. 3,703 713 0.32 Dell Technologies, Inc. 1,400 455 0.21 Everpure, Inc. 1,400 83 0.04 Flex Ltd. 1,662 203 0.09 GLOBALFOUNDRIES, Inc. 900 56 0.03 HP, Inc. 4,094 68 0.03 Intel Corp. 19,869 2,088 0.95 KLA Corp. 6,000 1,363 0.62 L3Harris Technologies, Inc. 840 184 0.08 Lam Research Corp. 5,700 1,861 0.85 Marvell Technology, Inc. 3,975 891 0.41 Microchip Technology, Inc. 2,408 165 0.08 Micron Technology, Inc. 5,092 4,416 2.01 Monolithic Power Systems, Inc. 220 229 0.10 NetApp, Inc. 900 105 0.05 NVIDIA Corp. 105,665 15,904 7.23 NXP Semiconductors NV 1,129 239 0.11 ON Semiconductor Corp. 1,800 128 0.06 Qnity Electronics, Inc. 943 116 0.05 QUALCOMM, Inc. 4,792 667 0.30 Sandisk Corp. 670 1,147 0.52 Seagate Technology Holdings PLC 1,008 733 0.33 Super Micro Computer, Inc. 2,800 62 0.03 TE Connectivity PLC 1,337 203 0.09 Teradyne, Inc. 681 248 0.11 Texas Instruments, Inc. 4,128 927 0.42 Vertiv Holdings Co. 1,700 429 0.20 Western Digital Corp. 1,570 755 0.34
61,986 28.19
Telecommunications Equipment – 1.21% (31.12.2025 – 0.86%) Arista Networks, Inc. 4,650 595 0.27
State Street AUT North America Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
22
Page 25
Holdings
Market Value £'000
% of Total Net Assets
Telecommunications Equipment – 1.21% (31.12.2025 – 0.86%) (continued) Ciena Corp. 680 251 0.11 Cisco Systems, Inc. 17,889 1,582 0.72 Motorola Solutions, Inc. 750 235 0.11 Ubiquiti, Inc. 1 1 0.00
2,664 1.21
Telecommunications Service Providers – 0.81% (31.12.2025 – 0.99%) AT&T, Inc. 31,510 491 0.22 BCE, Inc. 1,908 31 0.01 Charter Communications, Inc. 387 41 0.02 Comcast Corp. 16,300 301 0.14 TELUS Corp. 1,584 13 0.01 TELUS Corp. (Non-Canadian Shares) 1,219 10 0.01 T-Mobile U.S., Inc. 2,150 272 0.12 Verizon Communications, Inc. 19,256 614 0.28
1,773 0.81
Travel & Leisure – 1.58% (31.12.2025 – 1.82%) Airbnb, Inc. 1,900 205 0.09 Booking Holdings, Inc. 3,675 493 0.22 Chipotle Mexican Grill, Inc. 5,900 151 0.07 Darden Restaurants, Inc. 534 83 0.04 Delta Air Lines, Inc. 600 42 0.02 Domino's Pizza, Inc. 140 31 0.01 Expedia Group, Inc. 550 106 0.05 Flutter Entertainment PLC 720 55 0.03 Hilton Worldwide Holdings, Inc. 1,040 259 0.12 Las Vegas Sands Corp. 1,400 49 0.02 Live Nation Entertainment, Inc. 700 97 0.04 Marriott International, Inc. 994 277 0.13 McDonald's Corp. 3,231 658 0.30 Restaurant Brands International, Inc. 1,584 87 0.04 Royal Caribbean Cruises Ltd. 1,154 276 0.13 Southwest Airlines Co. 800 31 0.01
State Street AUT North America Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
23
Page 26
Holdings
Market Value £'000
% of Total Net Assets
Travel & Leisure – 1.58% (31.12.2025 – 1.82%) (continued) Starbucks Corp. 5,108 393 0.18 United Airlines Holdings, Inc. 300 31 0.01 Yum! Brands, Inc. 1,261 152 0.07
3,476 1.58
Waste & Disposal Services – 0.27% (31.12.2025 – 0.32%) GFL Environmental, Inc. 800 22 0.01 Republic Services, Inc. 900 144 0.06 Waste Connections, Inc. 1,200 151 0.07 Waste Management, Inc. 1,650 277 0.13
594 0.27
Derivatives – 0.00% (31.12.2025 – 0.00%) S&P 500 E Mini Index Futures September 2026† 2 (1) 0.00
Portfolio of investments^ 219,211 99.69 Net other assets 691 0.31
Total net assets 219,902 100.00
All holdings are ordinary shares or common stock unless otherwise stated.
^ Includes derivative liabilities
* Market value is less than £500, therefore rounded down to 0. ~ Delisted † Goldman Sachs is the counterparty, total notional exposure is £568,714 and 0.26% as a percentage of the Fund’s value. ³ Level 3 Security
State Street AUT North America Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
24
Page 27
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03
Page 28
Comparative Table For the period ended 30th June 2026
2026 (to 30.06) 2025 2024 Closing net asset value (£'000) 219,902 330,449 321,631 Closing number of units 23,409,112 39,112,160 41,696,165 Closing net asset value per unit (£) 9.3939 8.4488 7.7137 Change in net asset value per unit 11.19% 9.53% 26.42% Operating charges* 0.09% 0.12% 0.12%
* The Operating charge changed from 12bps to 4bps on 1 April 2026. The above Operating charge percentage represents an average for the year.
General risk factors The value of funds and the revenue from them is not guaranteed and may fall as well as rise. You may get back less than you originally invested. What you get back may depend on:
• Investment performance is not guaranteed. Past performance is no guarantee of future performance. There may also be variation in performance between funds with similar investment objectives.
• The effect of an initial charge. If you sell your investment after a short period you may not get back what you originally invested, even if the price of your investment has not fallen.
• The entire market of a particular asset class or geographical region may fall, having a greater effect on funds heavily invested in that asset class or region.
• If you make regular withdrawals from your investment be aware that if the level of withdrawal exceeds the rate of investment growth of the fund, your capital will be eroded.
• Governments may change the tax rules which affect you or the funds in which you have invested.
• Inflation will reduce what you could buy in the future, i.e. it will reduce the real value of your investment.
• There is no certainty that the investment objective of any fund will actually be achieved.
State Street AUT North America Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
26
Page 29
Statement of Total Return For the period ended 30th June 2026
Period ended 30.06.26
Period ended 30.06.25 £'000 £'000 £'000 £'000 Income Net capital gains/(losses) 16,509 (10,374) Revenue 1,552 2,012 Expenses (117) (188)
Net revenue before taxation 1,435 1,824 Taxation (217) (283)
Net revenue after taxation 1,218 1,541
Total return before distributions 17,727 (8,833) Distributions (1,222) (1,546)
Change in net assets attributable to unitholders from investment activities 16,505 (10,379)
Statement of Change in Net Assets Attributable to Unitholders For the period ended 30th June 2026
Period ended 30.06.26
Period ended 30.06.25 £’000 £’000 £’000 £’000 Opening net assets 330,449 321,631 Issue of units 12,341 29,742 Cancellation of units (140,317) (17,842)
(127,976) 11,900 Change in unitholders' funds from investment activities 16,505 (10,379) Retained distributions on accumulation units 924 1,565
Closing net assets 219,902 324,717
State Street AUT North America Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
27
Page 30
Balance Sheet As at 30th June 2026
30.06.26 31.12.25 £'000 £'000 Assets Investments 219,212 329,070 Amounts receivable 215 147 Cash and Cash equivalents 704 1,306
Total assets 220,131 330,523
Liabilities Investments 18 Other amounts payable 228 66
Total liabilities 229 74
Net assets attributable to unitholders 219,902 330,449
All items within the Balance Sheet are deemed current.
Notes to the Financial Statements are on pages 29 to 30.
State Street AUT North America Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
28
Page 31
1. Accounting policies
(a) Basis of accounting The financial statements have been prepared under the historical cost convention by the revaluation of the investments, and in accordance with the United Kingdom Generally Accepted Accounting Practice ("UK GAAP") which comprises the UK Financial Reporting Standard 104 ("FRS 104") and the Statement of Recommended Practice ("SORP") for Authorised Funds issued by the Investment Association ("IA") in October 2025 (the "IA SORP 2025").
(b) Adoption of IA SORP 2025 Changes in accounting policies
The following changes have been made to the accounting policies compared with the audited financial statements for the year ended 31 December 2025, following adoption of IA SORP 2025.
- In accordance with the 2025 SORP mid-market prices are an appropriate valuation basis for investments. A restatement oft he prior year comparatives is not required by the IA SORP (paragraph 1.12), the value of investments for the prior year is shown at bid market value, in line with the previous accounting policy.
Changes in presentation
The presentation of these financial statements has been changed from the previous period to comply with the requirements of IA SORP 2025. These changes include:
- Amendments to labelling of line items within the financial statements;- Removal of distribution tables;
- The inclusion of a going concern assessment;- The inclusion of significant related party transactions;
- The inclusion of the fair value hierarchy of the portfolio.
(c) Going Concern The financial statements are prepared on the going concern basis.
The Authorised Corporate Director ("ACD") has undertaken a detailed assessment of each of the remaining Funds ability to meet its liabilities as they fall due, including liquidity, declines in global capital markets and investor redemption levels. Based on this assessment, the Funds continue to be open for trading and the ACD is satisfied the Funds have adequate financial resources to continue in operation for the foreseeable future, being at least 12 months from the date of approval, and accordingly it is appropriate to adopt the going concern basis in preparing the financial statements.
2. Related party transactions The Manager exercises governance and oversight over the Fund and is a related party by virtue of the Trust Deed constituting the Fund.
Amounts paid during the period to the Manager were £117,404 (31.12.25: £395,143).
At the period end £7,141 (31.12.25: £34,879) was due to the Manager in relation to accrued manager’s periodic charges.
Transactions relating to the creation and cancellation of units and the purchases and sales of investments which pass through the Manager, but are not for the benefit of, either related party are disclosed in the Statement of Change in Net Assets Attributable to Unitholders.
3. Fair value For financial instruments held at fair value in the balance sheet, the Fund is required to disclose for each class of financial instrument, an analysis of the level in the fair value:
Level 1 – The unadjusted quoted price in an active market for identical assets or liabilities that the entity can access at the measurement date;
Level 2 – Inputs other than quoted prices included within Level 1 that are observable (i.e. developed using market data) for the asset or liability, either directly or indirectly;
State Street AUT North America Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Notes to the Financial Statements
For the period ended 30th June 2026
29
Page 32
3. Fair value (continued)
Level 3 – Inputs are unobservable (i.e. for which market data is unavailable) for the asset or liability.
30.06.26 Level 1 £'000
30.06.26 Level 2 £'000
30.06.26 Level 3 £'000
30.06.26 Total £'000 Assets: Equities 219,212 - - 219,212 219,212 - - 219,212 Liabilities: Derivatives (1) - - (1) (1) - - (1)
31.12.25 Level 1 £'000
31.12.25 Level 2 £'000
31.12.25 Level 3 £'000
31.12.25 Total £'000 Assets: Equities 329,070 - - 329,070 329,070 - - 329,070 Liabilities: Derivatives (8) - - (8) (8) - - (8)
4. Significant events during the financial period The Annual Management Charge changed from 12bps to 4bps on 1 April 2026.
5. Subsequent events since the financial year The anti-dilution mechanism shall change from dilution levy to dilution adjustment on 1 September 2026. There have been no other significant events affecting the Fund after the financial year ended 30 June 2026 that require amendment to or disclosure in the financial statements.
State Street AUT North America Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Notes to the Financial Statements (continued)
For the period ended 30th June 2026
30
Page 33
THE MANAGER State Street Unit Trust Management Limited 20 Churchill Place, Canary Wharf London E14 5HJ
Regulated by The Financial Conduct Authority.
DIRECTORS V. Parry* (resigned 2 January 2026) C. Fernandes (resigned 2 January 2026) N. Wightman* (resigned 2 January 2026) R. Bridger B. Healy* (appointed 2 January 2026) B. Lim Siong Kwong Lam Thuon Mine* (appointed 2 January 2026) E. Linnane (appointed 2 January 2026) T. Coghlan* (appointed 2 January 2026) * Independent non-executive Director
INVESTMENT MANAGER, REGISTRAR & TRANSFER AGENT State Street Global Advisors Limited 20 Churchill Place London E14 5HJ
Regulated by The Financial Conduct Authority.
INDEPENDENT AUDITORS PricewaterhouseCoopers LLP Chartered Accountants and Statutory Auditors 120 Bothwell Street Glasgow G2 7JS
DEPOSITARY HSBC Bank plc 8 Canada Square Canary Wharf London E14 5HQ
HSBC Bank plc is authorised by the Prudential Regulation Authority and regulated by the Prudential Regulation Authority and the Financial Conduct Authority.
CONSTITUTION State Street AUT 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
Interim Report and Unaudited Financial Statements 2026
Directory
31
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TASK FORCE ON CLIMATE-RELATED FINANCIAL DISCLOSURES ("TCFD") The Manager’s entity and product disclosure reports have been published separately and can be found using the fund finder page on www.ssga.com.
State Street AUT North America Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Directory (continued)
32
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"text": "compared to the Index return of 11.20%. The size of the Fund\u2019s tracking difference for the Reporting Period was 0.07% which"
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"id": "3ddd7d93-2148-4cf4-b712-5051c70206d1",
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"text": "Potentially lower reward"
},
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"text": "Higher risk"
},
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"text": "Potentially higher reward"
},
{
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},
"id": "4266c987-22d5-4b89-9494-d00e2e68bb93",
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"text": "1234 7 5 6"
},
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"id": "a7efeff8-6111-476c-ab8c-9137d990d198",
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"text": "5"
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"text": "6"
},
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"id": "8cd535dd-cced-44c8-a471-f5f065130f4b",
"page_number": 4,
"text": "Risk Disclaimer"
},
{
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"id": "bd7539ce-37ce-4326-a566-7dc8c919e7b5",
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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": "a2631610-12bb-4860-bb63-7cf4532544c1",
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"text": "have been historically."
},
{
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"text": "For example a fund whose return has experienced significant rises and falls will be in a higher risk category, whereas a fund"
},
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"text": "whose return has experienced less significant rises and falls will be in a lower risk category."
},
{
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"text": "The lowest category (i.e. category 1) does not mean that a fund is a risk free investment."
},
{
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"id": "d7795c2e-fa19-426f-9ca1-5a56156cf21f",
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"text": "As the Fund\u0027s risk category has been calculated using historical data, it may not be a reliable indication of the Fund\u0027s future"
},
{
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},
"id": "3de68dfa-d5b0-4e85-928e-860fa266e72c",
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"text": "risk profile."
},
{
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},
"id": "bf721c7c-062a-4991-bb84-3d40f500ab83",
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"text": "The Fund\u2019s risk category shown is not guaranteed and may change in the future."
},
{
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},
"id": "581a71d0-bab4-4a18-9bb5-f29abf6e7272",
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"text": "Why is this Fund in this category?"
},
{
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"x": 47,
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},
"id": "e2a81108-f01d-4a3e-8c85-73ba518d1ac6",
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"text": "The Fund is in risk category 6 as its return has experienced medium rises and falls historically."
},
{
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"id": "8b464990-2b4b-4bd2-a4a4-cf165ffda52a",
"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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"text": "Concentration Risk:"
},
{
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"width": 739,
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},
"id": "1910c750-da8d-467e-b6cc-66707ba2442a",
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"text": "When the Fund focuses its investments in a particular way, the issues affecting the investments will"
},
{
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"id": "9d6a5c97-2599-4442-86e6-a5aa00ec8873",
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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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},
"id": "e313516e-78b8-49d9-bd4b-77c6da4aa8d2",
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"text": "Counterparty Risk:"
},
{
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"x": 207,
"y": 660
},
"id": "2e1ca862-d2d5-4e06-bdd4-48a49e62394c",
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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": "455e75d4-ed3e-44fb-9955-4c7573f43f6a",
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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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"x": 47,
"y": 688
},
"id": "eb3d4dc1-0b19-4cca-bdb7-b776540411bc",
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"text": "This could reduce the value of the Fund\u0027s investments."
},
{
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},
"id": "24c087f2-c39e-4115-97d6-e7893637807d",
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"text": "Index Tracking Risk:"
},
{
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},
"id": "617c2933-548c-45b8-b04c-9135418a8acd",
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"text": "The Fund\u0027s performance may not exactly track the Index. This can result from market"
},
{
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"width": 904,
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},
"id": "58303aa4-58ce-491a-83ea-9be07a22eb74",
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"text": "fluctuations, changes in the composition of the Index, transaction costs, the costs of making changes to the Fund\u0027s portfolio"
},
{
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"width": 193,
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},
"id": "48064620-734c-4aec-8176-b2f089ca8291",
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"text": "and other Fund expenses."
},
{
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"x": 48,
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},
"id": "5eb0fb99-0a0f-4a4d-9016-8e05c30a31ec",
"page_number": 4,
"text": "Liquidity Risk:"
},
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"x": 179,
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},
"id": "adb7729b-c798-4d10-9943-ffe24e6bf3ff",
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"text": "It may be difficult for the Fund to buy or sell certain investments in difficult market conditions."
},
{
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"id": "4d8ec367-17ff-4149-a570-2d6d9bd9846d",
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"text": "Consequently 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": "14ca7d2c-fa65-4982-aef5-4981c05a2c27",
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"text": "The Scheme may track an index that uses a screen to identify securities based on criteria including, but,"
},
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"id": "1ca41371-320d-4431-a838-02bd1d63b674",
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"text": "not limited to environmental, social and governance (ESG) criteria. The screen may be fully or partially designed by the"
},
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},
"id": "e058329c-138b-4087-88e8-a60afbf28be7",
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"text": "Manager or by a third party provider. There is a risk that errors are made in the screening process. There is an additional risk"
},
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"text": "that a screen provider may amend or discontinue its screening services and/or that the Manager may change the screen or"
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"text": "screen provider. In such circumstances, there is no guarantee that a replacement screen provided would result in a similar"
},
{
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"x": 47,
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},
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"text": "screening process or would be available."
},
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"id": "977f8215-01ca-4394-a736-47623851a598",
"page_number": 4,
"text": "State Street AUT North America Screened Index Equity Fund"
},
{
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},
"id": "9a71647e-9c96-4169-85e8-25578bb95760",
"page_number": 4,
"text": "Interim Report and Unaudited Financial Statements 2026"
},
{
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},
"id": "945f1e14-b68c-4bbf-aae8-6ce38767f211",
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"text": "Manager\u0027s Report (continued)"
},
{
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"id": "59c5ec81-f261-4da5-8ad7-f409250d0d9d",
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"text": "For the period ended 30th June 2026"
},
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"text": "2"
},
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"text": "Derivatives Usage"
},
{
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},
"id": "0f1464ae-344a-41d0-ad00-00561ef514ee",
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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": "56d5e4b7-778f-4478-9e5f-1d73f8fba907",
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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": "84b902b9-d0e6-4cb0-993d-2b65802e0d2f",
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"text": "As at 30th June 2026, the Fund had a total notional exposure to futures of \u00a3568,713.50 (0.26% 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": "bcc410d4-799c-4de5-82e4-03598f75dd2c",
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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": "9b715a0e-7fe8-45f1-9e85-fd7b5ea01895",
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"text": "The lower the tracking error of a fund, the more the fund resembles its benchmark or the market regarding risk and return"
},
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"text": "characteristics."
},
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"id": "a1611760-e713-4179-8234-f948d27fe1aa",
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"text": "The size of the Fund\u2019s tracking error for the one year ended 30th June 2026 was 0.05% which was within the targeted"
},
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"id": "c75a03e5-dbf8-462a-b943-b4da07ce8801",
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"text": "tolerance."
},
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},
"id": "1fe5ec17-58aa-46f9-92f1-3f0b7cd81e5e",
"page_number": 5,
"text": "State Street AUT North America Screened Index Equity Fund"
},
{
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"width": 505,
"x": 48,
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},
"id": "1dcb841a-739d-4297-b9d7-7ac66f6afcd8",
"page_number": 5,
"text": "Interim Report and Unaudited Financial Statements 2026"
},
{
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},
"id": "b311327b-883d-423e-b95c-8fac508b760c",
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"text": "Manager\u0027s Report (continued)"
},
{
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"x": 48,
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},
"id": "309f675a-87d7-4602-94b9-94cdd8977526",
"page_number": 5,
"text": "For the period ended 30th June 2026"
},
{
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"x": 496,
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},
"id": "5150c978-ad32-43be-bb5b-3622e5bd52c9",
"page_number": 5,
"text": "3"
},
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"x": 621,
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},
"id": "40964907-e4b6-4261-8f57-b98483b27b13",
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"text": "Holdings"
},
{
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"x": 724,
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},
"id": "def7dbed-8ca2-4246-be86-ccae2f7f40f5",
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"text": "Market Value"
},
{
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"x": 785,
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},
"id": "5bff84fd-5486-4aef-9ad9-e85741f52183",
"page_number": 6,
"text": "\u00a3\u0027000"
},
{
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"width": 77,
"x": 873,
"y": 159
},
"id": "e41c21a8-145a-4613-8655-d794cfa5691a",
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"text": "% of Total"
},
{
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"box": {
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"width": 84,
"x": 867,
"y": 174
},
"id": "c16761d5-573f-4365-beef-5965a36b323c",
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"text": "Net Assets"
},
{
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"width": 404,
"x": 46,
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},
"id": "7c4252bb-bd9a-4e59-b3b0-778527b6d9c8",
"page_number": 6,
"text": "Aerospace \u0026 Defence \u2013 1.75% (31.12.2025 \u2013 1.55%)"
},
{
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"width": 905,
"x": 46,
"y": 228
},
"id": "8b363287-4bf2-4920-8d78-8ff5f39c3c12",
"page_number": 6,
"text": "Axon Enterprise, Inc. 360 152 0.07"
},
{
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"x": 48,
"y": 247
},
"id": "bfd4c168-4869-4869-84f4-a0b4fbac324b",
"page_number": 6,
"text": "Boeing Co. 3,415 557 0.25"
},
{
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"width": 903,
"x": 48,
"y": 267
},
"id": "ac6159a1-2496-4434-8449-d798e0856d41",
"page_number": 6,
"text": "Bombardier, Inc. 400 69 0.03"
},
{
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"width": 69,
"x": 47,
"y": 287
},
"id": "cd6ff0fd-2156-43a5-bfa2-e48d83eb4836",
"page_number": 6,
"text": "CAE, Inc."
},
{
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"box": {
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"width": 284,
"x": 664,
"y": 287
},
"id": "9549c710-b118-47ff-ad10-cedf50cf546d",
"page_number": 6,
"text": "800 15 0.01"
},
{
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"width": 904,
"x": 47,
"y": 306
},
"id": "c4e0e49d-3a71-40df-a93c-44337855208c",
"page_number": 6,
"text": "General Dynamics Corp. 1,129 301 0.14"
},
{
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