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State Street Authorised Contractual
Scheme
Interim Report and Unaudited Financial Statements 2026 For the period ended 30th June 2026
Page 2
Contents Page
Background information* 1
Directors' Report to Unitholders* 2
Accounting Policies 3
Fund Specific Information and Financial Statements for*:
State Street ACS Multi-Factor Global Index Equity Fund 4
State Street ACS North America Index Equity Fund 25
Directory* 30
*These collectively comprise the ACS Manager's Report.
State Street Authorised Contractual Scheme
Interim Report and Unaudited Financial Statements 2026
Page 3
The State Street Authorised Contractual Scheme State Street Authorised Contractual Scheme (the "Scheme") is an authorised contractual scheme in co-ownership form authorised by the Financial Conduct Authority (the "FCA") with effect from 5 February 2016. The Scheme is managed by State Street Unit Trust Management Limited (the "ACS Manager"). The Scheme is a UCITS scheme. The Unitholders are not liable for the debts of the Sub-Fund or Sub-Funds in which they are invested. Unitholders are not liable to make any further payment to a Sub-Fund after they have paid the purchase price of their Units. They are, however, liable for any tax arising in respect of their proportionate share of the income and gains in the Sub-Fund or Sub-Funds in which they have invested.
As a consequence of being constituted as an authorised co-ownership scheme, the Sub-Funds may be treated as tax transparent for the purposes of income and/or gains by relevant taxing jurisdictions where Unitholders are subject to taxation and therefore, in most cases, also treated as tax transparent by the jurisdictions from which any underlying income or gains arising to the Sub-Fund are derived. Such tax transparency cannot, however, be guaranteed.
The ACS has 2 Sub-Funds, the State Street ACS North America Index Equity Fund launched on 9 March 2016 and liquidated on 7 October 2020 and is in the process of being wound up, and the State Street ACS Multi-Factor Global Index Equity Fund launched on 11 December 2018.
The accounting year end of the State Street Authorised Contractual Scheme changed from 30 June to 31 December with effect from 2025. The accounting period to 30 June 2025 was extended to 31 December 2025.
Crossholdings There were no shares in any Sub-Fund held by any other Sub-Fund of the Scheme.
State Street Authorised Contractual Scheme
Interim Report and Unaudited Financial Statements 2026
Background information
For the the six month period ended 30th June 2026
1
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1. 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").
2. Adoption of IA SORP 2025
(a) 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 of the 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.
(b) 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 have been prepared on a going concern basis with the exception of the State Street ACS North America Index Equity Fund which has been prepared on a basis other than going concern. Having received notice of a full redemption, the fund liquidated in October 2020 and the ACS Manager came to the conclusion to terminate the fund. No adjustments were required in the fund's financial statements to reduce assets to their realisable values, or to provide for liabilities arising from this decision. TheACS manager will bear the costs relating to any such liabilities arising. For State Street ACS North America Index Equity Fund, Fixed Assets continue to be classified as Current Assets due to this fund being prepared on a basis other than going concern.
The Authorised Corporate Director the ("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.
State Street Authorised Contractual Scheme
Interim Report and Unaudited Financial Statements 2026
Accounting Policies
For the six month period ended 30th June 2026
3
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Investment Objective and Policy The investment objective of the State Street ACS Multi-Factor Global Index Equity Fund (the “Fund”) is to track as closely as possible, the performance of the MSCI World 5-Factor Select Advanced Target Index (the “ Index”). The Fund seeks to minimise, as far as possible, the tracking difference between the Fund’s performance and that of the Index. The benchmark Index is part of the MSCI range of equity indices which are designed to represent the performance of a strategy that seeks to systematically integrate environmental, social and governance (“ESG”) norms and carbon exposure management in factor investing, by seeking higher exposure to a combination of five style factors along with improvement in the ESG profile and reduction in carbon exposure of the Index. The Fund tracks the Index which targets a 20% improvement in ESG rating and a 50% reduction in Carbon emissions.
Performance For the 6-month period ended June 30, 2026 (the “Reporting Period"), the Fund returned 17.20% (17.08% net of fees), compared to the Index return of 16.96%. The tracking difference of the Fund compared to the index was 0.24%, primarily driven by tax withholding.
Middle East Conflict In February 2026, a geopolitical conflict escalated in the Middle East. The Investment Manager has assessed the potential impact of this event on the Funds and has determined that the Funds have minimal direct exposure to the region. Accordingly, there has been no material effect on the Funds’ operations or financial position to date. The Investment Manager will continue to monitor developments and will reflect any material impacts in future financial statements, if applicable.
Sensitivity Analysis 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 31 June 2026, the Fund had a futures holding of £1,859,792 (0.33% of the Fund).
Risk and Reward Profile Lower risk
Potentially lower reward
Higher risk
Potentially higher reward
1234 67 5 5
Risk Disclaimer
The risk category above is not a measure of capital loss or gains but of how significant the rises and falls in the Fund’s return have been historically.
For example a fund whose return has experienced significant rises and falls will be in a higher risk category, whereas a fund whose return has experienced less significant rises and falls will be in a lower risk category.
The lowest category (i.e. category 1) does not mean that a fund is a risk free investment.
As the Fund’s risk category has been calculated using historical data, it may not be a reliable indication of the Fund’s future risk profile.
The Fund’s risk category shown is not guaranteed and may change in the future.
State Street Authorised Contractual Scheme
Interim Report and Unaudited Financial Statements 2026
State Street ACS Multi-Factor Global Index Equity Fund
ACS Manager’s Report
For the the six month period ended 30th June 2026
4
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Why is this Fund in this category
The Fund is in risk category 5 as its return has experienced medium rises and falls historically.
The following are material risks relevant to the Fund which are not adequately captured by the risk category.
Derivatives Risk: The Fund’s use of derivative instruments involves risks different from, and possibly greater than, the risks associated with investing directly in securities. Derivatives may be used to reduce risk to the Fund but this may not be effective and the Fund may still suffer a loss.
ESG Risk: If the Fund invests in companies taking into account environmental, social and corporate governance (ESG) criteria then the performance of the Fund may trail the returns of a portfolio of securities that includes companies that are not excluded as a result of such ESG criteria. Investing only in a portfolio of securities that are not excluded as a result of such ESG criteria may affect the Fund's exposure to certain types of investments and may adversely impact the Fund's performance.
Index Tracking Risk: The Fund’s performance may not exactly track the Benchmark Index. This can result from factors which include, but are not limited to, transaction costs, differences in the weights held in individual securities to that of the Benchmark Index, subscriptions and redemptions, small amounts of cash not being invested in securities, the Funds being unable to trade in one or more markets, and efficient portfolio management techniques.
Currency Hedging Risk: There can be no assurance that the Fund's hedging transactions will be effective. By seeking to reduce or eliminate losses caused by exchange rate fluctuations, hedging may also reduce or eliminate gains.
Tax Status of the Fund Risk: Non-UK tax authorities may not recognise the Fund as being tax transparent, resulting in adverse tax consequences for the investor. The Fund could be liable to taxation on its profits, unable to claim in full any tax relief and/or a Unitholder may be called upon to indemnify the Fund if such Unitholder is not, or ceases to be, an Eligible Investor.
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 futures holding of 0.33%. As at 30th June 2026, the Fund had a total notional exposure to futures of £1,859,792 (31.12.25: £3,328,406).
Forward foreign exchange contracts are used to fully or partially hedge the exposure between the Base Currency of the Fund and the currencies which certain index components are denominated in and/or to hedge the exposure between the Base currency of the Fund and the base currency of the class.
As at 30th June 2026, the Fund had a total notional exposure to forward foreign exchange contracts of £563,350,670 (31.12.25: £871,722,161).
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 0.19% which was within the targeted tolerance.
State Street Authorised Contractual Scheme
Interim Report and Unaudited Financial Statements 2026
State Street ACS Multi-Factor Global Index Equity Fund
ACS Manager’s Report (continued)
For the the six month period ended 30th June 2026
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Holdings
Market Value £'000
% of Total Net Assets
Australia — 3.58% (31.12.2025 — 3.99%) Aristocrat Leisure Ltd. 54,257 1,733 0.30 ASX Ltd. 19,680 548 0.10 Brambles Ltd. 137,221 1,404 0.25 Cochlear Ltd. 5,529 351 0.06 Coles Group Ltd. 131,052 1,663 0.29 Computershare Ltd. 52,497 1,047 0.18 Evolution Mining Ltd. 197,928 1,215 0.21 Insurance Australia Group Ltd. 205,566 866 0.15 Lottery Corp. Ltd. 220,512 662 0.12 Medibank Pvt Ltd. 272,845 710 0.12 Northern Star Resources Ltd. 132,245 1,310 0.23 QBE Insurance Group Ltd. 151,763 1,991 0.35 REA Group Ltd. 4,459 323 0.06 Rio Tinto Ltd. 31,920 2,873 0.50 Sonic Healthcare Ltd. 45,836 498 0.09 Stockland* 239,989 515 0.09 Suncorp Group Ltd. 109,956 1,110 0.20 Telstra Group Ltd. 400,400 1,062 0.19 Vicinity Ltd.* 387,347 523 0.09
20,404 3.58
Austria — 0.06% (31.12.2025 — 0.00%) Verbund AG 6,741 322 0.06
Belgium — 0.77% (31.12.2025 — 0.84%) Ageas SA 4,710 284 0.05 KBC Group NV 16,980 1,738 0.30 UCB SA 10,567 2,387 0.42
4,409 0.77
Bermuda — 0.19% (31.12.2025 — 0.00%) Everest Group Ltd. 4,080 1,098 0.19
State Street Authorised Contractual Scheme
Interim Report and Unaudited Financial Statements 2026
State Street ACS Multi-Factor Global Index Equity Fund
Portfolio Statement
As at 30th June 2026
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Holdings
Market Value £'000
% of Total Net Assets
Canada — 4.06% (31.12.2025 — 3.91%) Canadian Tire Corp. Ltd. 4,700 488 0.08 Celestica, Inc. 6,500 1,788 0.31 CGI, Inc. 18,500 897 0.16 Constellation Software Warrant, Inc.~³ 2,700 - 0.00 Element Fleet Management Corp. 39,600 616 0.11 Empire Co. Ltd. 11,200 295 0.05 Fortis, Inc. 38,932 1,685 0.30 iA Financial Corp., Inc. 8,800 914 0.16 IGM Financial, Inc. 8,200 345 0.06 Keyera Corp. 28,300 855 0.15 Kinross Gold Corp. 118,100 2,107 0.37 Lundin Gold, Inc. 9,900 402 0.07 Manulife Financial Corp. 150,300 4,588 0.81 Metro, Inc. 18,900 912 0.16 Stantec, Inc. 9,400 488 0.09 Sun Life Financial, Inc. 36,300 2,143 0.38 Toromont Industries Ltd. 7,000 866 0.15 Wheaton Precious Metals Corp. 44,034 3,728 0.65
23,117 4.06
China — 0.05% (31.12.2025 — 0.00%) Yangzijiang Shipbuilding Holdings Ltd. 135,400 269 0.05
Denmark — 0.40% (31.12.2025 — 0.64%) AP Moller - Maersk AS 'A' Shares 252 439 0.08 AP Moller - Maersk AS 'B' Shares 335 598 0.10 Pandora AS 5,827 503 0.09 Rockwool AS 8,998 218 0.04 Tryg AS 29,757 510 0.09
2,268 0.40
State Street Authorised Contractual Scheme
Interim Report and Unaudited Financial Statements 2026
State Street ACS Multi-Factor Global Index Equity Fund
Portfolio Statement (continued)
As at 30th June 2026
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Holdings
Market Value £'000
% of Total Net Assets
Finland — 0.86% (31.12.2025 — 0.79%) Elisa OYJ 14,308 452 0.08 Kesko OYJ 27,060 454 0.08 Nokia OYJ 399,240 3,962 0.70
4,868 0.86
France — 2.99% (31.12.2025 — 3.99%) Amundi SA 6,134 444 0.08 AXA SA 135,415 5,114 0.90 BNP Paribas SA 17,404 1,531 0.27 Bouygues SA 18,297 769 0.14 Carrefour SA 46,932 657 0.12 Cie Generale des Etablissements Michelin SCA 61,978 1,802 0.32 Covivio SA* 5,129 238 0.04 Eiffage SA 6,868 764 0.13 Gecina SA* 4,565 290 0.05 Ipsen SA 3,414 496 0.09 Klepierre SA* 20,583 648 0.11 Orange SA 1,784 25 0.00 Societe Generale SA 63,401 4,228 0.74
17,006 2.99
Germany — 1.29% (31.12.2025 — 1.49%) Deutsche Bank AG 33,710 861 0.15 GEA Group AG 14,690 765 0.14 Henkel AG & Co. KGaA 8,963 535 0.09 Henkel AG & Co. KGaA Preference Shares 15,382 974 0.17 Merck KGaA 12,769 1,616 0.28 SAP SE 14,118 1,627 0.29 Scout24 SE 7,023 439 0.08 Talanx AG 5,447 518 0.09
7,335 1.29
State Street Authorised Contractual Scheme
Interim Report and Unaudited Financial Statements 2026
State Street ACS Multi-Factor Global Index Equity Fund
Portfolio Statement (continued)
As at 30th June 2026
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Holdings
Market Value £'000
% of Total Net Assets
Hong Kong — 0.66% (31.12.2025 — 0.63%) CK Asset Holdings Ltd. 178,500 757 0.13 Sino Land Co. Ltd. 368,315 363 0.07 SITC International Holdings Co. Ltd. 100,000 302 0.05 Sun Hung Kai Properties Ltd. 132,500 1,430 0.25 Swire Pacific Ltd. 'A' Shares 34,500 271 0.05 WH Group Ltd. 783,500 624 0.11
3,747 0.66
Ireland — 2.07% (31.12.2025 — 3.75%) AerCap Holdings NV 16,100 1,769 0.31 AIB Group PLC 129,773 1,148 0.20 Allegion PLC 8,500 900 0.16 Trane Technologies PLC 21,557 7,976 1.40
11,793 2.07
Israel — 0.37% (31.12.2025 — 0.63%) Bank Hapoalim BM 121,049 2,098 0.37 Isracard Ltd.** 1 0 0.00
2,098 0.37
Italy — 1.30% (31.12.2025 — 1.91%) Banco BPM SpA 111,131 1,448 0.26 BPER Banca SpA 827 10 0.00 Generali 80,637 2,960 0.52 Italgas SpA 60,376 529 0.09 Moncler SpA 21,615 946 0.17 Telecom Italia SpA 110,241 756 0.13 Unipol Assicurazioni SpA 35,541 747 0.13
7,396 1.30
State Street Authorised Contractual Scheme
Interim Report and Unaudited Financial Statements 2026
State Street ACS Multi-Factor Global Index Equity Fund
Portfolio Statement (continued)
As at 30th June 2026
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Page 12
Holdings
Market Value £'000
% of Total Net Assets
Japan — 3.50% (31.12.2025 — 3.66%) Bridgestone Corp. 106,300 1,679 0.30 Eisai Co. Ltd. 21,500 410 0.07 KDDI Corp. 294,100 3,736 0.66 Konami Group Corp. 9,800 801 0.14 NEC Corp. 122,600 2,232 0.39 Nitto Denko Corp. 67,800 997 0.18 Panasonic Holdings Corp. 133,000 2,780 0.49 Ryohin Keikaku Co. Ltd. 50,100 822 0.15 Secom Co. Ltd. 40,100 1,202 0.21 Seibu Holdings, Inc. 20,800 306 0.05 Shionogi & Co. Ltd. 75,500 976 0.17 SoftBank Corp. 545,700 526 0.09 Sompo Holdings, Inc. 74,600 2,159 0.38 Tokyo Gas Co. Ltd. 24,100 683 0.12 Yokogawa Electric Corp. 22,600 589 0.10
19,898 3.50
Netherlands — 1.72% (31.12.2025 — 2.50%) ABN AMRO Bank NV 56,377 1,805 0.32 ASML Holding NV 970 1,438 0.25 ASR Nederland NV 13,371 762 0.13 Koninklijke Ahold Delhaize NV 87,424 2,651 0.47 Koninklijke KPN NV 385,254 1,432 0.25 NN Group NV 25,422 1,679 0.30 Wolters Kluwer NV** 2 0 0.00
9,767 1.72
Norway — 0.21% (31.12.2025 — 0.27%) Orkla ASA 72,637 576 0.10 Telenor ASA 59,589 644 0.11
1,220 0.21
State Street Authorised Contractual Scheme
Interim Report and Unaudited Financial Statements 2026
State Street ACS Multi-Factor Global Index Equity Fund
Portfolio Statement (continued)
As at 30th June 2026
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Holdings
Market Value £'000
% of Total Net Assets
Singapore — 0.44% (31.12.2025 — 0.60%) CapitaLand Ascendas REIT* 386,544 562 0.10 Keppel Ltd. 122,900 783 0.14 Singapore Exchange Ltd. 82,000 1,153 0.20
2,498 0.44
Spain — 2.69% (31.12.2025 — 2.04%) Banco Bilbao Vizcaya Argentaria SA 130,360 2,455 0.43 Banco de Sabadell SA 470,561 1,256 0.22 Endesa SA 31,157 1,071 0.19 Iberdrola SA 347,805 6,543 1.15 Indra Sistemas SA 7,196 297 0.05 Industria de Diseno Textil SA 54,878 2,608 0.46 Mapfre SA 91,529 342 0.06 Naturgy Energy Group SA 10,336 244 0.04 Redeia Corp. SA 40,204 517 0.09
15,333 2.69
Sweden — 0.76% (31.12.2025 — 0.79%) Boliden AB 28,004 1,198 0.21 Evolution AB 12,361 643 0.11 Saab AB 11,911 469 0.08 Svenska Cellulosa AB SCA 59,221 458 0.08 Tele2 AB 53,673 706 0.13 Telia Co. AB 236,397 869 0.15
4,343 0.76
Switzerland — 2.78% (31.12.2025 — 1.38%) Alcon AG 49,716 2,536 0.45 Belimo Holding AG 969 823 0.14 Geberit AG 1,786 901 0.16 Logitech International SA 14,691 1,039 0.18 Novartis AG 16,240 1,920 0.34
State Street Authorised Contractual Scheme
Interim Report and Unaudited Financial Statements 2026
State Street ACS Multi-Factor Global Index Equity Fund
Portfolio Statement (continued)
As at 30th June 2026
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Holdings
Market Value £'000
% of Total Net Assets
Switzerland — 2.78% (31.12.2025 — 1.38%) (continued) SGS SA 724 63 0.01 Sonova Holding AG 4,506 809 0.14 STMicroelectronics NV 62,666 3,481 0.61 Swiss Prime Site AG 7,868 970 0.17 Swiss Re AG 433 52 0.01 Swisscom AG 2,558 1,490 0.26 VAT Group AG 2,669 1,759 0.31
15,843 2.78
United Kingdom — 3.25% (31.12.2025 — 2.94%) 3i Group PLC 97,221 2,418 0.42 Admiral Group PLC 25,016 891 0.16 Associated British Foods PLC 27,540 548 0.10 BT Group PLC 564,409 1,073 0.19 Bunzl PLC 32,544 856 0.15 Endeavour Mining PLC 15,135 560 0.10 International Consolidated Airlines Group SA 117,084 559 0.10 Intertek Group PLC 13,622 791 0.14 J Sainsbury PLC 170,296 545 0.10 Kingfisher PLC 169,695 481 0.08 Land Securities Group PLC* 70,120 456 0.08 Marks & Spencer Group PLC 204,190 760 0.13 Next PLC 11,241 1,635 0.29 Pearson PLC 46,039 550 0.10 Pentair PLC 16,200 936 0.16 Schroders PLC 80,295 471 0.08 Smiths Group PLC 29,829 764 0.13 Standard Chartered PLC 19,433 397 0.07 Verisure PLC 21,499 180 0.03 Vodafone Group PLC 1,813,948 1,806 0.32 Willis Towers Watson PLC 9,280 1,827 0.32
18,504 3.25
State Street Authorised Contractual Scheme
Interim Report and Unaudited Financial Statements 2026
State Street ACS Multi-Factor Global Index Equity Fund
Portfolio Statement (continued)
As at 30th June 2026
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Holdings
Market Value £'000
% of Total Net Assets
United States — 66.19% (31.12.2025 — 63.00%) 3M Co. 40,200 4,905 0.86 Adobe, Inc. 40,140 6,198 1.09 Aflac, Inc. 11,100 980 0.17 Allstate Corp. 22,800 4,087 0.72 Alphabet, Inc. 'A' Shares 54,800 14,744 2.59 Alphabet, Inc. 'C' Shares 880 234 0.04 Amazon.com, Inc. 24,600 4,415 0.78 American International Group, Inc. 52,400 2,943 0.52 Apple, Inc. 73,430 15,998 2.81 Applied Materials, Inc. 42,011 22,896 4.02 Atmos Energy Corp. 15,700 2,038 0.36 Autodesk, Inc. 18,060 2,644 0.46 AvalonBay Communities, Inc.* 11,900 1,692 0.30 Bank of New York Mellon Corp. 45,097 4,912 0.86 Best Buy Co., Inc. 20,079 1,148 0.20 Biogen, Inc. 14,300 2,328 0.41 Bristol-Myers Squibb Co. 8,600 373 0.07 Broadcom, Inc. 25,360 7,209 1.27 Broadridge Financial Solutions, Inc. 9,700 1,001 0.18 Cadence Design Systems, Inc. 9,320 2,635 0.46 Cboe Global Markets, Inc. 10,340 1,888 0.33 CH Robinson Worldwide, Inc. 11,800 1,675 0.29 Church & Dwight Co., Inc. 23,900 1,744 0.31 Ciena Corp. 13,660 5,050 0.89 Cigna Group 15,884 3,299 0.58 Cintas Corp. 5,300 679 0.12 Cisco Systems, Inc. 157,629 13,939 2.45 Clorox Co. 12,200 877 0.15 Cognizant Technology Solutions Corp. 47,200 1,377 0.24 Comfort Systems USA, Inc. 1,110 1,657 0.29 Consolidated Edison, Inc. 35,200 2,934 0.52 CRH PLC 36,700 2,959 0.52 Deckers Outdoor Corp. 14,000 1,047 0.18 DuPont de Nemours, Inc. 8,633 882 0.15
State Street Authorised Contractual Scheme
Interim Report and Unaudited Financial Statements 2026
State Street ACS Multi-Factor Global Index Equity Fund
Portfolio Statement (continued)
As at 30th June 2026
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Holdings
Market Value £'000
% of Total Net Assets
United States — 66.19% (31.12.2025 — 63.00%) (continued) eBay, Inc. 41,400 3,486 0.61 Edison International 26,600 1,492 0.26 Edwards Lifesciences Corp. 16,600 1,131 0.20 Electronic Arts, Inc. 22,600 3,491 0.61 Elevance Health, Inc. 21,600 6,294 1.11 EMCOR Group, Inc. 4,360 2,725 0.48 Evergy, Inc. 22,700 1,478 0.26 Exelon Corp. 82,200 2,886 0.51 Expeditors International of Washington, Inc. 13,216 1,623 0.28 F5, Inc. 5,680 1,781 0.31 Fair Isaac Corp. 189 170 0.03 Fastenal Co. 111,400 4,031 0.71 FedEx Corp. 1,400 330 0.06 Fedex Freight Holding Co., Inc. 760 87 0.02 Fidelity National Information Services, Inc. 50,500 1,479 0.26 First Solar, Inc. 4,000 711 0.12 Fortive Corp. 28,474 1,311 0.23 Fox Corp. 'A' Shares 20,000 785 0.14 Fox Corp. 'B' Shares 13,322 470 0.08 Gilead Sciences, Inc. 97,946 9,319 1.64 Graco, Inc. 16,500 940 0.17 Hartford Insurance Group, Inc. 27,200 2,716 0.48 Hewlett Packard Enterprise Co. 129,500 4,401 0.77 Hologic, Inc.** 21,600 0 0.00 Hubbell, Inc. 4,460 1,758 0.31 IDEXX Laboratories, Inc. 7,880 3,125 0.55 Incyte Corp. 16,101 1,375 0.24 International Paper Co. 13,874 398 0.07 Intuit, Inc. 100 20 0.00 Jabil, Inc. 2,400 697 0.12 Jacobs Solutions, Inc. 11,700 1,110 0.19 JB Hunt Transport Services, Inc. 7,258 1,583 0.28 Keysight Technologies, Inc. 8,520 2,247 0.39 Kinder Morgan, Inc. 188,100 4,530 0.80
State Street Authorised Contractual Scheme
Interim Report and Unaudited Financial Statements 2026
State Street ACS Multi-Factor Global Index Equity Fund
Portfolio Statement (continued)
As at 30th June 2026
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Holdings
Market Value £'000
% of Total Net Assets
United States — 66.19% (31.12.2025 — 63.00%) (continued) Labcorp Holdings, Inc. 7,270 1,534 0.27 Lam Research Corp. 29,600 9,666 1.70 Leidos Holdings, Inc. 12,000 931 0.16 Lennox International, Inc. 2,634 1,137 0.20 Micron Technology, Inc. 21,840 18,942 3.33 Microsoft Corp. 56,656 15,915 2.80 NetApp, Inc. 17,600 2,051 0.36 NiSource, Inc. 34,833 1,248 0.22 NVIDIA Corp. 135,886 20,453 3.59 NVR, Inc. 265 1,358 0.24 Old Dominion Freight Line, Inc. 18,400 3,002 0.53 Prudential Financial, Inc. 17,500 1,423 0.25 Public Service Enterprise Group, Inc. 48,420 2,961 0.52 PulteGroup, Inc. 15,600 1,612 0.28 Quest Diagnostics, Inc. 10,800 1,724 0.30 Ralliant Corp. 466 26 0.00 Regency Centers Corp.* 13,600 817 0.14 Regions Financial Corp. 79,092 1,801 0.32 Reliance, Inc. 1,060 299 0.05 Snap-on, Inc. 4,340 1,315 0.23 State Street Corp.∆ 27,581 3,524 0.62 STERIS PLC 9,700 1,539 0.27 Synchrony Financial 34,900 2,000 0.35 T. Rowe Price Group, Inc. 21,800 1,867 0.33 Tapestry, Inc. 19,800 2,183 0.38 Tractor Supply Co. 45,900 1,093 0.19 Travelers Cos., Inc. 21,100 5,249 0.92 Trimble, Inc. 23,700 913 0.16 Twilio, Inc. 14,400 2,239 0.39 Ulta Beauty, Inc. 2,740 931 0.16 United Rentals, Inc. 6,187 5,280 0.93 United Therapeutics Corp. 3,880 1,583 0.28 Veralto Corp. 24,000 1,604 0.28 VeriSign, Inc. 8,280 1,568 0.28
State Street Authorised Contractual Scheme
Interim Report and Unaudited Financial Statements 2026
State Street ACS Multi-Factor Global Index Equity Fund
Portfolio Statement (continued)
As at 30th June 2026
15
Page 18
Holdings
Market Value £'000
% of Total Net Assets
United States — 66.19% (31.12.2025 — 63.00%) (continued) Verizon Communications, Inc. 179,148 5,712 1.00 Visa, Inc. 19,500 5,035 0.88 Walmart, Inc. 62,000 5,288 0.93 Waters Corp. 160 45 0.01 West Pharmaceutical Services, Inc. 1,200 325 0.06 Western Digital Corp. 33,260 16,005 2.81 Williams-Sonoma, Inc. 11,798 2,072 0.36 WW Grainger, Inc. 4,349 4,456 0.78 Xylem, Inc. 23,600 2,102 0.37 Zimmer Biomet Holdings, Inc. 17,146 1,113 0.20 Zoom Communications, Inc. 24,300 1,581 0.28
376,889 66.19
Derivatives — (0.12)% (31.12.2025 — 0.65%)
Futures — 0.00% (31.12.2025 — (0.01)%) EURO STOXX 50 Index Futures September 2026† 8 6 0.00 S&P 500 E Mini Index Futures September 2026†** 5 0 0.00
Forward Currency Contracts — (0.12)% (31.12.2025 — 0.66%) Bought EUR 11,079,000 for GBP 9,536,360 Settlement 02/07/2026 7 0.00 Bought EUR 19,508,000 for GBP 16,794,437 Settlement 02/07/2026 6 0.00 Bought AUD 3,256,000 for GBP 1,693,734 Settlement 02/07/2026 6 0.00 Bought EUR 19,508,000 for GBP 16,794,437 Settlement 02/07/2026 4 0.00 Bought USD 299,000 for GBP 223,128 Settlement 02/07/2026 2 0.00 Bought USD 261,000 for GBP 194,197 Settlement 02/07/2026 2 0.00 Bought USD 677,000 for GBP 507,560 Settlement 02/07/2026 2 0.00 Bought CHF 1,897,000 for GBP 1,769,920 Settlement 02/07/2026 1 0.00 Bought USD 677,000 for GBP 507,560 Settlement 02/07/2026 1 0.00 Bought CAD 4,397,000 for GBP 2,333,777 Settlement 02/07/2026 1 0.00 Bought CHF 1,897,000 for GBP 1,769,920 Settlement 02/07/2026 1 0.00 Bought USD 126,000 for GBP 94,130 Settlement 02/07/2026 1 0.00 Bought EUR 83,000 for GBP 71,865 Settlement 02/07/2026** 0 0.00
State Street Authorised Contractual Scheme
Interim Report and Unaudited Financial Statements 2026
State Street ACS Multi-Factor Global Index Equity Fund
Portfolio Statement (continued)
As at 30th June 2026
16
Page 19
Holdings
Market Value £'000
% of Total Net Assets
Derivatives — (0.12)% (31.12.2025 — 0.65%) (continued)
Forward Currency Contracts — (0.12)% (31.12.2025 — 0.66%) (continued) Bought NOK 6,208,000 for GBP 472,958 Settlement 02/07/2026** 0 0.00 Bought NOK 6,208,000 for GBP 472,958 Settlement 02/07/2026** 0 0.00 Bought CAD 207,000 for GBP 111,619 Settlement 02/07/2026 (1) 0.00 Bought CAD 207,000 for GBP 111,619 Settlement 02/07/2026 (1) 0.00 Bought HKD 16,924,000 for GBP 1,630,505 Settlement 02/07/2026 (1) 0.00 Bought HKD 16,924,000 for GBP 1,630,505 Settlement 02/07/2026 (3) 0.00 Bought JPY 1,345,335,000 for GBP 6,262,674 Settlement 02/07/2026 (7) 0.00 Bought JPY 1,345,335,000 for GBP 6,262,674 Settlement 02/07/2026 (19) 0.00 Bought USD 60,222,500 for GBP 45,505,894 Settlement 02/07/2026 (37) 0.00 Bought USD 60,222,499 for GBP 45,523,092 Settlement 02/07/2026 (41) (0.01) Bought USD 60,222,501 for GBP 45,554,085 Settlement 02/07/2026 (50) (0.01) Bought USD 60,222,500 for GBP 45,505,894 Settlement 02/07/2026 (96) (0.02) Bought USD 60,222,499 for GBP 45,523,092 Settlement 02/07/2026 (108) (0.02) Bought USD 60,222,501 for GBP 45,554,085 Settlement 02/07/2026 (130) (0.02) Sold USD 60,222,501 for GBP 45,555,257 Settlement 04/08/2026 131 0.02 Sold CAD 11,794,000 for GBP 6,377,600 Settlement 02/07/2026 114 0.02 Sold USD 60,222,499 for GBP 45,524,194 Settlement 04/08/2026 108 0.02 Sold USD 60,222,500 for GBP 45,506,994 Settlement 04/08/2026 96 0.02 Sold AUD 8,618,000 for GBP 4,593,870 Settlement 02/07/2026 95 0.02 Sold EUR 18,822,000 for GBP 16,354,201 Settlement 02/07/2026 81 0.01 Sold EUR 10,757,000 for GBP 9,345,741 Settlement 02/07/2026 80 0.01 Sold EUR 18,822,000 for GBP 16,354,201 Settlement 02/07/2026 60 0.01 Sold JPY 976,369,000 for GBP 4,582,366 Settlement 02/07/2026 56 0.01 Sold USD 60,222,501 for GBP 45,555,257 Settlement 04/08/2026 50 0.01 Sold ILS 5,058,000 for GBP 1,346,756 Settlement 02/07/2026 49 0.01 Sold CAD 4,457,000 for GBP 2,409,468 Settlement 02/07/2026 43 0.01 Sold USD 60,222,499 for GBP 45,524,194 Settlement 04/08/2026 41 0.01 Sold USD 60,222,500 for GBP 45,506,994 Settlement 04/08/2026 37 0.01 Sold AUD 3,256,000 for GBP 1,735,773 Settlement 02/07/2026 36 0.01 Sold SEK 16,405,000 for GBP 1,322,707 Settlement 02/07/2026 33 0.01 Sold CHF 1,854,000 for GBP 1,768,781 Settlement 02/07/2026 27 0.01 Sold JPY 368,966,000 for GBP 1,731,756 Settlement 02/07/2026 21 0.00
State Street Authorised Contractual Scheme
Interim Report and Unaudited Financial Statements 2026
State Street ACS Multi-Factor Global Index Equity Fund
Portfolio Statement (continued)
As at 30th June 2026
17
Page 20
Holdings
Market Value £'000
% of Total Net Assets
Derivatives — (0.12)% (31.12.2025 — 0.65%) (continued)
Forward Currency Contracts — (0.12)% (31.12.2025 — 0.66%) (continued) Sold NOK 6,208,000 for GBP 500,359 Settlement 02/07/2026 20 0.00 Sold JPY 1,345,335,000 for GBP 6,279,129 Settlement 04/08/2026 19 0.00 Sold ILS 5,058,000 for GBP 1,346,756 Settlement 02/07/2026 19 0.00 Sold SEK 16,405,000 for GBP 1,322,707 Settlement 02/07/2026 12 0.00 Sold CHF 1,854,000 for GBP 1,768,781 Settlement 02/07/2026 10 0.00 Sold DKK 9,380,000 for GBP 1,090,949 Settlement 02/07/2026 7 0.00 Sold NOK 6,208,000 for GBP 500,359 Settlement 02/07/2026 7 0.00 Sold JPY 1,345,335,000 for GBP 6,279,129 Settlement 04/08/2026 7 0.00 Sold EUR 1,058,000 for GBP 917,214 Settlement 02/07/2026 4 0.00 Sold HKD 16,924,000 for GBP 1,632,538 Settlement 04/08/2026 3 0.00 Sold SGD 1,759,000 for GBP 1,028,612 Settlement 02/07/2026 3 0.00 Sold DKK 9,380,000 for GBP 1,090,949 Settlement 02/07/2026 3 0.00 Sold EUR 1,058,000 for GBP 917,214 Settlement 02/07/2026 2 0.00 Sold SGD 1,759,000 for GBP 1,028,830 Settlement 04/08/2026 1 0.00 Sold USD 373,000 for GBP 279,503 Settlement 02/07/2026 1 0.00 Sold CHF 43,000 for GBP 40,957 Settlement 02/07/2026 1 0.00 Sold HKD 16,924,000 for GBP 1,632,538 Settlement 04/08/2026 1 0.00 Sold SGD 1,759,000 for GBP 1,028,612 Settlement 02/07/2026 1 0.00 Sold SGD 1,759,000 for GBP 1,028,830 Settlement 04/08/2026 1 0.00 Sold DKK 9,380,000 for GBP 1,082,210 Settlement 04/08/2026** 0 0.00 Sold ILS 5,058,000 for GBP 1,280,770 Settlement 04/08/2026** 0 0.00 Sold NOK 6,208,000 for GBP 472,761 Settlement 04/08/2026** 0 0.00 Sold USD 237,000 for GBP 178,846 Settlement 02/07/2026** 0 0.00 Sold EUR 33,000 for GBP 28,557 Settlement 02/07/2026** 0 0.00 Sold NOK 6,208,000 for GBP 472,761 Settlement 04/08/2026** 0 0.00 Sold DKK 9,380,000 for GBP 1,082,210 Settlement 04/08/2026** 0 0.00 Sold ILS 5,058,000 for GBP 1,280,770 Settlement 04/08/2026** 0 0.00 Sold CHF 1,897,000 for GBP 1,776,332 Settlement 04/08/2026 (1) 0.00 Sold CAD 4,397,000 for GBP 2,337,133 Settlement 04/08/2026 (1) 0.00 Sold CHF 1,897,000 for GBP 1,776,332 Settlement 04/08/2026 (1) 0.00 Sold SEK 16,405,000 for GBP 1,274,542 Settlement 04/08/2026 (1) 0.00 Sold USD 373,000 for GBP 279,503 Settlement 02/07/2026 (2) 0.00
State Street Authorised Contractual Scheme
Interim Report and Unaudited Financial Statements 2026
State Street ACS Multi-Factor Global Index Equity Fund
Portfolio Statement (continued)
As at 30th June 2026
18
Page 21
Holdings
Market Value £'000
% of Total Net Assets
Derivatives — (0.12)% (31.12.2025 — 0.65%) (continued)
Forward Currency Contracts — (0.12)% (31.12.2025 — 0.66%) (continued) Sold SEK 16,405,000 for GBP 1,274,542 Settlement 04/08/2026 (4) 0.00 Sold EUR 19,508,000 for GBP 16,817,398 Settlement 04/08/2026 (4) 0.00 Sold HKD 16,924,000 for GBP 1,612,389 Settlement 02/07/2026 (4) 0.00 Sold CAD 11,647,000 for GBP 6,189,440 Settlement 04/08/2026 (5) 0.00 Sold EUR 19,508,000 for GBP 16,817,398 Settlement 04/08/2026 (6) 0.00 Sold AUD 3,256,000 for GBP 1,692,754 Settlement 04/08/2026 (6) 0.00 Sold EUR 11,079,000 for GBP 9,549,411 Settlement 04/08/2026 (7) 0.00 Sold HKD 16,924,000 for GBP 1,612,389 Settlement 02/07/2026 (10) 0.00 Sold AUD 8,618,000 for GBP 4,479,435 Settlement 04/08/2026 (16) 0.00 Sold USD 68,780,167 for GBP 51,230,827 Settlement 02/07/2026 (40) (0.01) Sold USD 68,780,167 for GBP 51,230,827 Settlement 02/07/2026 (102) (0.02) Sold USD 56,320,168 for GBP 42,016,619 Settlement 02/07/2026 (114) (0.02) Sold USD 56,320,165 for GBP 41,997,755 Settlement 02/07/2026 (119) (0.02) Sold CAD 1,651,000 for GBP 895,411 Settlement 05/01/2026 (123) (0.02) Sold USD 56,320,168 for GBP 42,016,619 Settlement 02/07/2026 (303) (0.05) Sold USD 56,320,165 for GBP 41,997,755 Settlement 02/07/2026 (317) (0.06) Sold USD 68,780,167 for GBP 51,230,827 Settlement 02/07/2026 (326) (0.06)
(686) (0.12)
Portfolio of investments^ 569,739 100.07 Net other liabilities (375) (0.07)
Total net assets 569,364 100.00
All holdings are ordinary shares or common stock unless otherwise stated. ^ Includes derivative liabilities. ~ Delisted * Real Estate Investment Trust. ** Market value is less than £500, therefore rounded down to 0. ∆ This investment is a related party. † Goldman Sachs is the counterparty, total notional exposure is £1,859,792 and 0.33% as a percentage of the Fund’s value. 3 Level 3 Security.
State Street Authorised Contractual Scheme
Interim Report and Unaudited Financial Statements 2026
State Street ACS Multi-Factor Global Index Equity Fund
Portfolio Statement (continued)
As at 30th June 2026
19
Page 22
U1 Accumulation 2024* Closing net asset value (£'000) Closing number of units Closing net asset value per unit (£) 0.0000 Change in net asset value per unit -% Operating charges 0.18%
* Share class was closed on 25 January 2024.
U2 Accumulation 2026 (to 30.06) 2025 2024 Closing net asset value (£'000) 372,552 336,445 72,403 Closing number of units 15,353,724 16,521,536 4,196,062 Closing net asset value per unit (£) 24.2646 20.3640 17.2549 Change in net asset value per unit 19.15% 18.02% 17.96% Operating charges 0.18% 0.18% 0.18%
B2 Accumulation 2025* 2024 Closing net asset value (£'000) - 38,920 Closing number of units - 2,347,658 Closing net asset value per unit (£) - 16.5780 Change in net asset value per unit 9.80% 18.08% Operating charges 0.08% 0.08% * Share class was closed on 25 July 2025.
B2H Accumulation 2026 (to 30.06) 2025 2024 Closing net asset value (£'000) 50,855 171,684 85,684 Closing number of units 2,358,054 9,357,632 5,756,532 Closing net asset value per unit (£) 21.5665 18.3470 14.8847 Change in net asset value per unit 17.55% 23.26% 19.82% Operating charges 0.08% 0.08% 0.08%
State Street Authorised Contractual Scheme
Interim Report and Unaudited Financial Statements 2026
State Street ACS Multi-Factor Global Index Equity Fund
Comparative Table
For the the six month period ended 30th June 2026
20
Page 23
U2H Accumulation 2026 (to 30.06) 2025** 2024* Closing net asset value (£'000) 145,957 127,880 0 Closing number of units 10,054,026 10,394,421 0 Closing net asset value per unit (£) 14.5173 12.3028 0.0000 Change in net asset value per unit 18.00% 23.03% 0.00% Operating charges 0.21% 0.21% 0.21%
* Share class was closed on 15 December 2023. ** Share class was reopened on 21 August 2024.
General risk factors The value of the Fund and the revenue from it are 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 Authorised Contractual Scheme
Interim Report and Unaudited Financial Statements 2026
State Street ACS Multi-Factor Global Index Equity Fund
Comparative Table (continued)
For the the six month period ended 30th June 2026
21
Page 24
Period ended 30.06.26
Period ended 31.12.24* £'000 £'000 £'000 £'000 Income Net capital gains 90,253 8,673 Revenue 5,829 2,600 Expenses (484) (181) Interest payable and similar charges - 9
Net revenue before taxation 5,345 2,428 Taxation (562) (137)
Net revenue after taxation 4,783 2,291
Total return before distributions 95,036 10,964 Distributions (397) 646
Change in net assets attributable to unitholders from investment activities 94,639 11,610
Statement of Change in Net Assets Attributable to Unitholders
For the six month period ended 30th June 2026
Period ended 30.06.26
Period ended 31.12.24* £’000 £’000 £’000 £’000 Opening net assets 636,009 197,007 Issue of units 21,319 171,156 Cancellation of units (183,166) (39,908)
(161,847) 131,248 Dilution adjustment 563 Change in unitholders' funds from investment activities 94,639 11,610
Closing net assets 569,364 339,865
*The Fund's reporting period changed from 31 December to 30 June during the year.
State Street Authorised Contractual Scheme
Interim Report and Unaudited Financial Statements 2026
State Street ACS Multi-Factor Global Index Equity Fund
Statement of Total Return
For the six month period ended 30th June 2026
22
Page 25
30.06.26 31.12.25 £'000 £'000 Assets Investments 571,745 639,856 Amounts receivable 6,132 2,887 Cash and Cash equivalents 1,560 2,104
Total assets 579,437 644,847
Liabilities Investments 2,006 1,285 Other amounts payable 8,067 7,553
Total liabilities 10,073 8,838
Net assets attributable to unitholders 569,364 636,009
State Street Authorised Contractual Scheme
Interim Report and Unaudited Financial Statements 2026
State Street ACS Multi-Factor Global Index Equity Fund
Balance Sheet
As at 30th June 2026
23
Page 26
1. Related party transactions The Manager exercises governance and oversight over the Fund and is a related party by virtue of the Trust Deed constituting the Fund.
Amounts paid during the Reporting Period to the Manager were £483,988 (31.12.25: £978,854).
At the Reporting Period end £82,970 (31.12.25: £85,471) 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 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.
2. 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;
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 570,425 - - 570,425 Derivatives 6 1,314 - 1,320 570,431 1,314 - 571,745 Liabilities: Derivatives - (2,006) - (2,006) - (2,006) - (2,006) 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 634,402 - - 634,402 Derivatives - 5,454 - 5,454 634,402 5,454 - 639,856 Liabilities: Equities ---Derivatives (26) (1,259) - (1,259) (26) (1,259) - (1,285)
State Street Authorised Contractual Scheme
Interim Report and Unaudited Financial Statements 2026
State Street ACS Multi-Factor Global Index Equity Fund
Notes to the Financial Statements
For the period ended 30th June 2026
24
Page 27
Investment Objective and Policy
Having received notice in October 2020 of full redemption from the sole unit holder, without commitment forthcoming for any further investment the ACS Manager concluded that the projected levels of assets under management were no longer sufficient to support the continued operation of the State Street ACS North America Index Equity Fund (the “Fund”) and approved to close the Fund, subsequently making the formal submission to the FCA in November 2020. This Fund is currently in the process of being wound up.
The objective of the Fund was to track as closely as possible the performance of the FTSE North America Index (the “Index”) net of unavoidable withholding taxes. The Fund sought to minimise, as far as possible, the tracking difference between the Fund’s performance and that of the Index. The Index is a broad-based index comprised of large and mid-cap companies in the United States and Canada. The Fund's investment policy was to primarily physically hold securities of large and mid-cap companies in the United States and Canada.
As the Fund has no unit classes in issue at the year end, no Comparative Tables are disclosed. There is no distribution, as revenue was distributed to the Unitholders along with their final redemption proceeds. There are no holdings with market value at 30 June 2026 (31 December 2025: no holdings). Please note that this Fund is no longer available for investment.
State Street Authorised Contractual Scheme
Interim Report and Unaudited Financial Statements 2026
State Street ACS North America Index Equity Fund
ACS Manager’s Report
For the the six month period ended 30th June 2026
25
Page 28
Holdings
Market Value £'000
% of Total Net Assets
Banks – 0.00% (31.12.2025 – 0.00%) First Horizon Corp.~ 5,022 - 0.00
Portfolio of investments - 0.00 Net other liabilities - 0.00
Total net assets - 0.00
~ Delisted.
State Street Authorised Contractual Scheme
Interim Report and Unaudited Financial Statements 2026
State Street ACS North America Index Equity Fund
Portfolio Statement
As at 30th June 2026
26
Page 29
Period ended 30.06.26
Period ended 31.12.24* £'000 £'000 £'000 £'000 Income Net capital gains - (22) Revenue - 22 Expenses -Interest payable and similar charges - -
Net revenue before taxation - 22 Taxation --
Net revenue after taxation - 22
Total return before distributions - Distributions -Change in net assets attributable to unitholders from investment activities - -
Statement of Change in Net Assets Attributable to Unitholders
For the six month period ended 30th June 2026
Period ended 30.06.26
Period ended 31.12.24* £’000 £’000 £’000 £’000 Opening net assets -Issue of units - Cancellation of units - -
-Change in unitholders' funds from investment activities - -
Closing net assets --
The fund was liquidated on 7th October 2020.
*The Fund's reporting period changed from 31 December to 30 June during the year.
State Street Authorised Contractual Scheme
Interim Report and Unaudited Financial Statements 2026
State Street ACS North America Index Equity Fund
Statement of Total Return
For the six month period ended 30th June 2026
27
Page 30
30.06.26 31.12.25 £'000 £'000 Assets Current assets: Amounts receivable -Cash and Cash equivalents - -
Total assets --
Liabilities Creditors Other amounts payable - -
Total liabilities --
Net assets attributable to unitholders - -
The fund was liquidated on 7th October 2020.
State Street Authorised Contractual Scheme
Interim Report and Unaudited Financial Statements 2026
State Street ACS North America Index Equity Fund
Balance Sheet
As at 30th June 2026
28
Page 31
1. Related party transactions The Manager exercises governance and oversight over the Fund and is a related party by virtue of the Co-ownership Deed constituting the Fund.
Amounts paid during the Reporting Period to the Manager were £nil (31.12.25: £nil).
At the Reporting Period end £nil (31.12.25: £nil) 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.
2. Fair value Fund has no holdings and no Fair value at the end of current and previous year.
State Street Authorised Contractual Scheme
Interim Report and Unaudited Financial Statements 2026
State Street ACS North America Index Equity Fund
Notes to the Financial Statements
For the period ended 30th June 2026
29
Page 32
THE MANAGER State Street Unit Trust Management Limited 20 Churchill Place 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 Authorised Contractual Scheme is an authorised contractual scheme formed as a co-ownership scheme under section 235A of the Financial Services and Markets Act 2000.
PROSPECTUS Copies of the Prospectus are available from the ACS 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 Authorised Contractual Scheme
Interim Report and Unaudited Financial Statements 2026
Directory
30
Page 33
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 http://www.ssga.com.
State Street Authorised Contractual Scheme
Interim Report and Unaudited Financial Statements 2026
Directory (continued)
31
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"text": "Background information*"
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"text": "Directors\u0027 Report to Unitholders*"
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"text": "Accounting Policies"
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"text": "Fund Specific Information and Financial Statements for*:"
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"text": "State Street ACS Multi-Factor Global Index Equity Fund 4"
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"text": "State Street ACS North America Index Equity Fund 25"
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"text": "*These collectively comprise the ACS Manager\u0027s Report."
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"text": "authorised by the Financial Conduct Authority (the \"FCA\") with effect from 5 February 2016. The Scheme is managed by State"
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"text": "for the debts of the Sub-Fund or Sub-Funds in which they are invested. Unitholders are not liable to make any further payment"
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"text": "- The inclusion of a going concern assessment;"
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"text": "- The inclusion of significant related party transactions;"
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"text": "- The inclusion of the fair value hierarchy of the portfolio."
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"text": "(c) Going Concern"
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"text": "The Financial Statements have been prepared on a going concern basis with the exception of the State Street ACS North"
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"text": "America Index Equity Fund which has been prepared on a basis other than going concern. Having received notice of a full"
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"text": "redemption, the fund liquidated in October 2020 and the ACS Manager came to the conclusion to terminate the fund. No"
},
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"id": "e64f05f8-f727-456b-bbf2-1931f2ac2e30",
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"text": "adjustments were required in the fund\u0027s financial statements to reduce assets to their realisable values, or to provide for"
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"text": "liabilities arising from this decision. TheACS manager will bear the costs relating to any such liabilities arising. For State Street"
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"text": "ACS North America Index Equity Fund, Fixed Assets continue to be classified as Current Assets due to this fund being"
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"text": "prepared on a basis other than going concern."
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"text": "The Authorised Corporate Director the (\"ACD\") has undertaken a detailed assessment of each of the remaining Funds ability"
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"text": "to meet its liabilities as they fall due, including liquidity, declines in global capital markets and investor redemption levels."
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"text": "Based on this assessment, the Funds continue to be open for trading and the ACD is satisfied the Funds have adequate"
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"text": "financial resources to continue in operation for the foreseeable future, being at least 12 months from the date of approval, and"
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"text": "accordingly it is appropriate to adopt the going concern basis in preparing the financial statements."
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"text": "State Street Authorised Contractual Scheme"
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"text": "Interim Report and Unaudited Financial Statements 2026"
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"text": "Accounting Policies"
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"text": "For the six month period ended 30th June 2026"
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"text": "3"
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"text": "Investment Objective and Policy"
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"text": "The investment objective of the State Street ACS Multi-Factor Global Index Equity Fund (the \u201cFund\u201d) is to track as closely as"
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"text": "possible, the performance of the MSCI World 5-Factor Select Advanced Target Index (the \u201c Index\u201d). The Fund seeks to"
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"text": "minimise, as far as possible, the tracking difference between the Fund\u2019s performance and that of the Index. The benchmark"
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"text": "Index is part of the MSCI range of equity indices which are designed to represent the performance of a strategy that seeks to"
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"text": "systematically integrate environmental, social and governance (\u201cESG\u201d) norms and carbon exposure management in factor"
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"text": "investing, by seeking higher exposure to a combination of five style factors along with improvement in the ESG profile and"
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"id": "d64a5cb2-d715-4f6a-a683-3e290597aab0",
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"text": "reduction in carbon exposure of the Index. The Fund tracks the Index which targets a 20% improvement in ESG rating and"
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"text": "a 50% reduction in Carbon emissions."
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"text": "Performance"
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"text": "For the 6-month period ended June 30, 2026 (the \u201cReporting Period\"), the Fund returned 17.20% (17.08% net of fees),"
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"text": "compared to the Index return of 16.96%. The tracking difference of the Fund compared to the index was 0.24%, primarily"
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"text": "driven by tax withholding."
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"text": "Middle East Conflict"
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"id": "22120ff1-ff42-4cbb-ba36-6f10f8128ab0",
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"text": "In February 2026, a geopolitical conflict escalated in the Middle East. The Investment Manager has assessed the potential"
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"id": "125c75d9-f77f-44c5-a0f8-5978bd983c49",
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"text": "impact of this event on the Funds and has determined that the Funds have minimal direct exposure to the region. Accordingly,"
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"text": "there has been no material effect on the Funds\u2019 operations or financial position to date. The Investment Manager will continue"
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"text": "to monitor developments and will reflect any material impacts in future financial statements, if applicable."
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"text": "Sensitivity Analysis"
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"id": "879d0fe5-269c-4761-85f3-ca7e3db35c1f",
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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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"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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"text": "As at 31 June 2026, the Fund had a futures holding of \u00a31,859,792 (0.33% of the Fund)."
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"text": "Risk and Reward Profile"
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"text": "Lower risk"
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"id": "7d9f807c-0e84-4c6a-b55b-b833f58e3ecb",
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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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"text": "1234 67 5"
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"text": "5"
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"id": "1f4b162a-b29c-4937-aa77-2ec2d1b64ff8",
"page_number": 6,
"text": "Risk Disclaimer"
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"id": "76248a9b-a704-41ba-b0b7-9879fff8faac",
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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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"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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"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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"text": "risk profile."
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"id": "95ae0546-fcf2-4a7d-be41-d795817d2095",
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"text": "The Fund\u2019s risk category shown is not guaranteed and may change in the future."
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"text": "State Street Authorised Contractual Scheme"
},
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"id": "38eb3295-21a2-4730-922f-638120bf8e44",
"page_number": 6,
"text": "Interim Report and Unaudited Financial Statements 2026"
},
{
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},
"id": "3e830377-9560-4652-b1df-97fccd4ea07f",
"page_number": 6,
"text": "State Street ACS Multi-Factor Global Index Equity Fund"
},
{
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},
"id": "c2efe94f-dc5b-43df-86ae-f055e17506d7",
"page_number": 6,
"text": "ACS Manager\u2019s Report"
},
{
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"id": "4949d753-282d-4666-aef4-e4def30632b2",
"page_number": 6,
"text": "For the the six month period ended 30th June 2026"
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"text": "4"
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"id": "f9d10875-f5ad-4dca-bf1c-e4a2631a5c4c",
"page_number": 7,
"text": "Why is this Fund in this category"
},
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"text": "The Fund is in risk category 5 as its return has experienced medium rises and falls historically."
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"id": "4138a710-8c6c-4053-83d1-9ffab11d1593",
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"text": "The following are material risks relevant to the Fund which are not adequately captured by the risk category."
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"text": "Derivatives Risk:"
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"id": "4cb3081a-80e5-4d73-a188-af1d2725b250",
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"text": "The Fund\u2019s use of derivative instruments involves risks different from, and possibly greater than, the risks"
},
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"text": "associated with investing directly in securities. Derivatives may be used to reduce risk to the Fund but this may not be effective"
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"text": "and the Fund may still suffer a loss."
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"text": "ESG Risk:"
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"text": "If the Fund invests in companies taking into account environmental, social and corporate governance (ESG)"
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"text": "criteria then the performance of the Fund may trail the returns of a portfolio of securities that includes companies that are not"
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"text": "excluded as a result of such ESG criteria. Investing only in a portfolio of securities that are not excluded as a result of such"
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"text": "ESG criteria may affect the Fund\u0027s exposure to certain types of investments and may adversely impact the Fund\u0027s"
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"text": "performance."
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"text": "Index Tracking Risk:"
},
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...