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Annual Report and Audited Financial Statements for the financial year ended 30 April 2026
SSGA Qualified Trust
Page 2
Page Manager and Other Information 2
Background Information 3
Investment Managers’ Report 7
Statement of Responsibilities of the Manager 8
Report of the Depositary to the Unitholders of SSGA Qualified Trust 9
Independent Auditor’s Report 10
Statement of Comprehensive Income 13
Statement of Financial Position 16
Statement of Changes in Equity 19
Notes to the Financial Statements 22
Schedule of Investments State Street LDI Leveraged Conventional Gilt 2040 Fund 48 State Street LDI Leveraged Conventional Gilt 2068 Fund 49 State Street LDI Leveraged UK Inflation Rate Swap 2030 Fund 50
Appendix I Remuneration Policy (unaudited) 51
Appendix II Leverage Policy (unaudited) 53
Appendix III Securities Financing Transactions Regulation (unaudited) 55
Appendix IV SFDR and Taxonomy Regulation Disclosures (unaudited) 57
Appendix V Audited Financial Statements of the State Street Liquidity Public Limited Company for the financial year ended 31 December 2025
SSGA Qualified Trust
Annual Report and Audited Financial Statements for the financial year ended 30 April 2026 Contents
SSGA Qualified Trust 1
Page 3
Manager, Investment Manager, Alternative Investment Fund Manager & Global Distributor ( Manager r , Investment Manager r , AIFM & Global Distributor r ) State Street Global Advisors Europe Limited 78 Sir John Rogerson’s Quay Dublin D02 HD32 Ireland
Sub Investment Manager & Sub Distributor State Street Global Advisors Limited 20 Churchill Place Canary Wharf London E14 5HJ United Kingdom
Directors of the Manager Eric Linnane (Irish)* Ann Prendergast (Irish)* Nigel Wightman (British)*** Scott Sanderson (British)** Margaret Cullen (Irish)*** Patrick Mulvihill (Irish)*** Marie-Anne Heeren (Belgian)*
*Executive Director **Non-executive Director ***Independent Director
Independent Auditors PricewaterhouseCoopers One Spencer Dock North Wall Quay Dublin D01 X9R7 Ireland
Depositary/Trustee State Street Custodial Services (Ireland) Limited 78 Sir John Rogerson’s Quay Dublin D02 HD32 Ireland
Administrator, Transfer Agent & Registrar State Street Fund Services (Ireland) Limited 78 Sir John Rogerson’s Quay Dublin D02 HD32 Ireland
Legal Advisers Matheson 70 Sir John Rogerson’s Quay Dublin D02 R296 Ireland
Secretary of the Manager Matsack Trust Limited 70 Sir John Rogerson’s Quay Dublin D02 R296 Ireland
SSGA Qualified Trust
Annual Report and Audited Financial Statements for the financial year ended 30 April 2026 Manager and Other Information
2 SSGA Qualified Trust
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Organisation SSGA Qualified Trust (the “Trust”) is structured as an open-ended umbrella fund constituted as a unit trust on 20 April 2012 (as amended on 30 April 2015) by the Trust Deed between the Manager and Trustee. The Trust is authorised by the Central Bank of Ireland (the “Central Bank”) pursuant to the Unit Trusts Act, 1990 and as a Qualifying Investor Alternative Investment Fund (“QIAIF”) pursuant to the Alternative Investment Fund Managers Directive (“AIFMD”). The minimum initial subscription to the Trust will always equal or exceed EUR 100,000 or its base currency equivalent and the Trust will market its Units solely to Qualifying Investors (as defined in the Prospectus). The Trust is constituted as an umbrella fund insofar as the Units of the Trust will be divided into different series of Units representing a separate portfolio of assets which will comprise a separate fund (“Fund” together “Funds”) of the Trust. Units in any particular Fund may be divided into different classes to accommodate, without limitation, different currencies, distribution policies and charging structures. The portfolio of assets for each Fund will be invested in accordance with the investment objective and policies applicable to that Fund. As part of a rebranding exercise carried out by the Investment Manager, the names of certain Funds within the Trust have changed with effect from 4 November 2025. The changes are in line with the Prospectus of the same date, please see Note 18 for further details. When referring to a Fund throughout the audited financial statements the updated Fund name will be used. At 30 April 2026, there are 43 Funds in the Trust, 3 Funds which are active, 29 Funds which are dormant, 11 Funds which are authorised but not yet seeded. Those Funds and their investment objectives are detailed below. The following funds are either active or dormant as at 30 April 2026:
The Funds Launch Date Unit Class Base Currency State Street LDI Leveraged Conventional Gilt 2040 Fund 18 June 2014 Class B GBP SSGA LDI Leveraged Conventional Gilt 2049 Fund 15 31 July 2013 Class B GBP State Street LDI Leveraged Conventional Gilt 2060 Fund 16 18 June 2014 Class B GBP State Street LDI Leveraged Conventional Gilt 2068 Fund 14 December 2016 Class B GBP SSGA LDI Leveraged Index Linked Gilt 2022 Fund 8 8 January 2014 Class B GBP State Street LDI Leveraged Index Linked Gilt 2032 Fund 17 7 August 2013 Class B GBP State Street LDI Leveraged Index Linked Gilt 2042 Fund 16 7 August 2013 Class B GBP State Street LDI Leveraged Index Linked Gilt 2055 Fund 17 31 July 2013 Class B GBP State Street LDI Leveraged Index Linked Gilt 2062 Fund 16 8 January 2014 Class B GBP SSGA LDI Leveraged Index Linked Gilt 2068 Fund 15 7 December 2016 Class B GBP State Street LDI Leveraged UK Exposure Fund 10 10 April 2017 Class B GBP SSGA LDI Leveraged UK Inflation Rate Swap 2025 Fund 13 3 December 2014 Class B GBP State Street LDI Leveraged UK Inflation Rate Swap 2030 Fund 12 December 2016 Class B GBP State Street LDI Leveraged UK Inflation Rate Swap 2035 Fund 11 12 December 2016 Class B GBP SSGA LDI Leveraged UK Interest Rate Swap 2035 Fund 2 30 July 2015 Class B GBP SSGA LDI Leveraged UK Interest Rate Swap 2040 Fund 1 31 July 2013 Class B GBP SSGA LDI Leveraged UK Interest Rate Swap 2045 Fund 3 31 July 2013 Class B GBP SSGA LDI Leveraged UK Interest Rate Swap 2050 Fund 5 31 July 2013 Class B GBP SSGA LDI Leveraged UK Interest Rate Swap 2055 Fund 4 8 January 2014 Class B GBP SSGA LDI Leveraged UK Interest Rate Swap 2060 Fund 4 31 July 2013 Class B GBP SSGA LDI Leveraged UK Real Rate Swap 2025 Fund 6 31 July 2013 Class B GBP SSGA LDI Leveraged UK Real Rate Swap 2035 Fund 7 31 July 2013 Class B GBP SSGA LDI Leveraged UK Real Rate Swap 2040 Fund 6 30 July 2015 Class B GBP SSGA LDI Leveraged UK Real Rate Swap 2045 Fund 7 7 August 2013 Class B GBP SSGA LDI Leveraged UK Real Rate Swap 2050 Fund 7 29 January 2014 Class B GBP SSGA LDI Leveraged UK Real Rate Swap 2055 Fund 6 30 July 2015 Class B GBP State Street Target Leverage Cash Fund 14 11 November 2020 Class B GBP State Street Target Leverage Nominal Rate Short LDI Fund 14 11 November 2020 Class B GBP State Street Target Leverage Nominal Rate Long LDI Fund 12 18 November 2020 Class B GBP State Street Target Leverage Real Rate Short LDI Fund 14 11 November 2020 Class B GBP State Street Target Leverage Real Rate Long LDI Fund 12 11 November 2020 Class B GBP State Street Target Leverage UK Equity Fund 9 11 November 2020 Class B GBP
1 The Fund became dormant on 28 June 2017. 2 The Fund became dormant on 5 September 2018. 3 The Fund became dormant on 22 January 2020. 4 The Fund became dormant on 2 September 2020. 5 The Fund became dormant on 16 September 2020. 6 The Fund became dormant on 3 February 2021. 7 The Fund became dormant on 10 February 2021. 8 The Fund became dormant on 16 February 2022. 9 The Fund became dormant on 6 March 2022.
10 The Fund became dormant on 27 January 2023. 11 The Fund became dormant on 14 June 2023. 12 The Fund became dormant on 28 June 2023. 13 The Fund fully redeemed and closed on 17 July 2024. 14 The Fund closed on 26 July 2024. 15 The Fund closed on 11 April 2025. 16 The Fund closed on 12 September 2025. 17 The Fund closed on 21 November 2025.
SSGA Qualified Trust
Annual Report and Audited Financial Statements for the financial year ended 30 April 2026 Background Information
SSGA Qualified Trust 3
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Organisation (continued)
The following Funds are currently authorised but not yet seeded as at 30 April 2026:
The Funds Unit Class Base Currency SSGA LDI Leveraged Conventional Gilt 2030 Fund Class B GBP SSGA LDI Leveraged UK Inflation Rate Swap 2040 Fund Class B GBP SSGA LDI Leveraged UK Interest Rate Swap 2025 Fund Class B GBP SSGA LDI Leveraged UK Interest Rate Swap 2030 Fund Class B GBP SSGA LDI Leveraged UK Real Rate Swap 2030 Fund Class B GBP SSGA LDI Leveraged UK Real Rate Swap 2060 Fund Class B GBP State Street Target Leverage World Equity Fund Class B GBP State Street Target Leverage World Equity Hedged Fund Class B GBP State Street CDI Credit Fund 2021-2025 Screened Fund Class B GBP State Street CDI Credit Fund 2026-2030 Screened Fund Class B GBP State Street CDI Credit Fund 2031-2035 Screened Fund Class B GBP
Investment Objectives
State Street LDI Leveraged Conventional Gilt 2040 Fund The objective of the Fund is to provide a leveraged exposure to the UK Conventional Gilt 4.25% 2040 (the “Underlying Asset”). The investment policy of the Fund is to gain leveraged exposure to the Underlying Asset by investing in the Underlying Asset. The Fund also seeks to achieve its investment objective by entering into transactions including but not limited to TRS and repurchase transactions. TRS transactions may be unfunded and consequently the Fund may invest the cash held by it in permitted collective investment schemes. Although State Street Global Advisors Europe Limited (the “Investment Manager”) may consider the above in purchasing or selling, or entering into, investments (including but not limited to other fixed income and money market instruments and permitted collective investment schemes which provide similar exposures to the Underlying Asset) for the Fund, the Investment Manager may purchase, sell, enter into or continue to hold an investment for the Fund whenever it believes that doing so may benefit the Fund, on the basis of any of the factors described above or any other factors it may in its discretion consider. There can be no assurance that the Fund will achieve its objective.
State Street LDI Leveraged Conventional Gilt 2060 Fund 1 The objective of the Fund was to provide a leveraged exposure to the UK Conventional Gilt 4.00% 2060 (the “Underlying Asset”). The investment policy of the Fund was to gain leveraged exposure to the Underlying Asset by investing in the Underlying Asset. The Fund also sought to achieve its investment objective by entering into transactions including but not limited to TRS and repurchase transactions. TRS transactions may have been unfunded and consequently the Fund may have invested the cash held by it in permitted collective investment schemes. Although the Investment Manager considered the above in purchasing or selling, or entering into, investments (including but not limited to other fixed income and money market instruments and permitted collective investment schemes which provided similar exposures to the Underlying Asset) for the Fund, the Investment Manager purchased, sold, entered into or continued to hold an investment for the Fund whenever it believed that doing so may have benefited the Fund, on the basis of any of the factors described above or any other factors it may in its discretion consider. 1 The Fund closed on 12 September 2025.
State Street LDI Leveraged Conventional Gilt 2068 Fund The objective of the Fund is to provide a leveraged exposure to the UK Conventional Gilt 3.50% 2068 (the “Underlying Asset”). The investment policy of the Fund is to gain leveraged exposure to the Underlying Asset by investing in the Underlying Asset. The Fund also seeks to achieve its investment objective by entering into transactions including but not limited to TRS and repurchase transactions. TRS transactions might have been unfunded and consequently the Fund may invest the cash held by it in permitted collective investment schemes. Although the Investment Manager may consider the above in purchasing or selling, or entering into, investments (including but not limited to other fixed income and money market instruments and permitted collective investment schemes which provide similar exposures to the Underlying Asset) for the Fund, the Investment Manager may purchase, sell, enter into or continue to hold an investment for the Fund whenever it believes that doing so may benefit the Fund, on the basis of any of the factors described above or any other factors it may in its discretion consider. There can be no assurance that the Fund will achieve its objective.
SSGA Qualified Trust
Annual Report and Audited Financial Statements for the financial year ended 30 April 2026 Background Information (continued)
4 SSGA Qualified Trust
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Investment Objectives (continued)
State Street LDI Leveraged Index Linked Gilt 2032 Fund 1 The objective of the Fund was to provide a leveraged exposure to the UK Index Linked Gilt 1.25% 2032 (the “Underlying Asset”). The investment policy of the Fund was to gain leveraged exposure to the Underlying Asset by investing in the Underlying Asset. The Fund also sought to achieve its investment objective by entering into transactions including but not limited to TRS and repurchase transactions. TRS transactions may have been unfunded and consequently the Fund may have invested the cash held by it in permitted collective investment schemes. Although the Investment Manager considered the above in purchasing or selling, or entering into, investments (including but not limited to other fixed income and money market instruments and permitted collective investment schemes which provided similar exposures to the Underlying Asset) for the Fund, the Investment Manager purchased, sold, entered into or continued to hold an investment for the Fund whenever it believed that doing so may have benefited the Fund, on the basis of any of the factors described above or any other factors it may in its discretion consider. 1 The Fund closed on 21 November 2025.
State Street LDI Leveraged Index Linked Gilt 2042 Fund 1 The objective of the Fund was to provide a leveraged exposure to the UK Index Linked Gilt 0.625% 2042 (the “Underlying Asset”). The investment policy of the Fund was to gain leveraged exposure to the Underlying Asset by investing in the Underlying Asset. The Fund also sought to achieve its investment objective by entering into transactions including but not limited to TRS and repurchase transactions. TRS transactions may have been unfunded and consequently the Fund may have invested the cash held by it in permitted collective investment schemes. Although the Investment Manager considered the above in purchasing or selling, or entering into, investments (including but not limited to other fixed income and money market instruments and permitted collective investment schemes which provided similar exposures to the Underlying Asset) for the Fund, the Investment Manager purchased, sold, entered into or continued to hold an investment for the Fund whenever it believed that doing so may have benefited the Fund, on the basis of any of the factors described above or any other factors it may in its discretion consider. 1 The Fund closed on 12 September 2025.
State Street LDI Leveraged Index Linked Gilt 2055 Fund 1 The objective of the Fund was to provide a leveraged exposure to the UK Index Linked Gilt 1.25% 2055 (the “Underlying Asset”). The investment policy of the Fund was to gain leveraged exposure to the Underlying Asset by investing in the Underlying Asset. The Fund also sought to achieve its investment objective by entering into transactions including but not limited to TRS and repurchase transactions. TRS transactions may have been unfunded and consequently the Fund may have invested the cash held by it in permitted collective investment schemes. Although the Investment Manager considered the above in purchasing or selling, or entering into, investments (including but not limited to other fixed income and money market instruments and permitted collective investment schemes which provided similar exposures to the Underlying Asset) for the Fund, the Investment Manager purchased, sold, entered into or continued to hold an investment for the Fund whenever it believed that doing so may have benefited the Fund, on the basis of any of the factors described above or any other factors it may in its discretion consider. 1 The Fund closed on 21 November 2025.
State Street LDI Leveraged Index Linked Gilt 2062 Fund 1 The objective of the Fund was to provide a leveraged exposure to the UK Index Linked Gilt 0.375% 2062 (the “Underlying Asset”). The investment policy of the Fund was to gain leveraged exposure to the Underlying Asset by investing in the Underlying Asset. The Fund also sought to achieve its investment objective by entering into transactions including but not limited to TRS and repurchase transactions. TRS transactions may have been unfunded and consequently the Fund may have invested the cash held by it in permitted collective investment schemes. Although the Investment Manager considered the above in purchasing or selling, or entering into, investments (including but not limited to other fixed income and money market instruments and permitted collective investment schemes which provided similar exposures to the Underlying Asset) for the Fund, the Investment Manager purchased, sold, entered into or continued to hold an investment for the Fund whenever it believed that doing so may have benefited the Fund, on the basis of any of the factors described above or any other factors it may in its discretion consider. 1 The Fund closed on 12 September 2025.
State Street LDI Leveraged UK Inflation Rate Swap 2030 Fund The objective of the Fund is to provide a leveraged exposure to zero coupon inflation swaps maturing on 30 June 2030, the Maturity Date of the Fund (the “Underlying Asset”). The investment policy of the Fund is to gain leveraged exposure to the Underlying Asset. In order to achieve the investment objective, the Investment Manager will enter into transactions including but not limited to Inflation Swaps. Typically, each swap transaction will be unfunded and consequently the Fund will invest the cash held by it in permitted collective investment schemes. Although the Investment Manager may consider the above in purchasing or selling, or entering into, investments (including but not limited to other fixed income and money market instruments and permitted collective investment schemes which provide similar exposures to the Underlying Asset) for the Fund, the Investment Manager may purchase, sell, enter into or continue to hold an investment for the Fund whenever it believes that doing so may benefit the Fund, on the basis of any of the factors described above or any other factors it may in its discretion consider. There can be no assurance that the Fund will achieve its objective.
SSGA Qualified Trust
Annual Report and Audited Financial Statements for the financial year ended 30 April 2026 Background Information (continued)
SSGA Qualified Trust 5
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Dealing In v estment in the Tr Tr ust will only b e open to qualifying i n v estor s w ho ha v e entered into a qualifying a g r eement w ith the I n v estment Mana g e r. r. Units ma y b e i ssued or redeemed on a dealing d a y being We We dnesda y ( and/or F rida y in the case of the Ta Targ e t L e v er a g e Funds) of eac h w eek unless We Wednesda y ( or F r ida y in the case of the Ta Targ e t L e v er a g e F unds) is not a b usiness da y, y, or is a b usiness da y f alling w ithin 10 b usiness da ys fo fo llowing the i ssuance of a f unding notice w hereb y i n both cases the dealing d a y shall b e t he ne xt fo fo llowing b usiness da y, y, and suc h o ther da ys as the M ana g e r m a y deter mine and notify in ad vance to Unitholder s p ro vided tha t there will be a t least one dealing d a y per quar ter. r.
SSGA Qualified Trust
Annual Report and Audited Financial Statements for the financial year ended 30 April 2026 Background Information (continued)
6 SSGA Qualified Trust
Calculation o f N et Asset Value The N et Asset Va Va lue (the “ NAV AV”) o f eac h F und shall b e calcula t ed a t the r ele vant valua tion point. T he valua tion point means i n respect of eac h F und, unless otherwise disc losed in the r ele vant Supplement, 5 .00 p m I rish time ( GMT) o n e ac h b usiness d a y, y, o r suc h o ther time o r times as the M ana g e r m a y from time t o time deter mine in rela tion t o a n y par ticular Fund and notify the Unitholder s .
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Fund Performance For much of the period from 1 May 2025 to 30 April 2026 (the “Reporting Period”), UK gilts traded within a range much narrower than had been seen in recent years. The outbreak of the conflict in Iran however at the end of February saw inflation expectations jump higher (triggered by rising energy prices), and nominal gilt yields moved upwards too, with markets quickly shifting from expectations of further rate cuts by the Bank of England’s Monetary Policy Committee (the “MPC”), to projections that we will see hikes in the coming months. These market movements resulted in negative returns across all of the State Street Qualified Trust Conventional and Index Linked Gilt Funds (including funds liquidated during the Reporting Period), and a positive return on the State Street Qualified Trust Inflation Rate Swap Fund.
We believe that the Funds are continuing to perform in line with their stated investment objectives and to deliver intended results to clients from an LDI-hedging perspective.
During the Reporting Period, both re-leveraging capital distribution events and de-leveraging capital call events took place within the gilt and swap-based single-stock funds. No mandatory redemptions were necessary in the case of the latter de-leveraging events.
Assets Under Management at 30 April 2026 stood at £8m across 3 Funds.
Performance 1 May 2025 to 30 April 2026
Fund name
Fund Net Total Return (%)*
Comparator Net Total Return (%)**
Difference (%)
State Street LDI Leveraged Index Linked Gilt 2032 Fund*** -12.69 -12.23 -0.46 State Street LDI Leveraged Index Linked Gilt 2042 Fund*** -29.61 -28.63 -0.98 State Street LDI Leveraged Index Linked Gilt 2055 Fund*** -26.31 -26.18 -0.13 State Street LDI Leveraged Index Linked Gilt 2062 Fund*** -35.09 -34.60 -0.49 State Street LDI Leveraged Conventional Gilt 2040 Fund -11.04 -11.19 0.15 State Street LDI Leveraged Conventional Gilt 2060 Fund*** -30.39 -30.03 -0.36 State Street LDI Leveraged Conventional Gilt 2068 Fund -18.14 -17.96 -0.18 State Street LDI Leveraged UK Inflation Rate Swap 2030 Fund
16.66 16.24 0.42
* Net returns. Source: PMG FI ** Comparators developed by Bloomberg for State Street IM. Used as a reference point only *** Performance for one year period through to Fund maturity or liquidation
State Street Global Advisors Europe Limited May 2026
SSGA Qualified Trust
Annual Report and Audited Financial Statements for the financial year ended 30 April 2026 Investment Managers’ Report
SSGA Qualified Trust 7
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The Manager of SSGA Qualified Trust (the Trust ) is required by the Trust Deed to prepare financial statements for each financial year which give a true and fair view of the financial position of the Trust at the end of that financial year, the results of the Trust’s operations, and changes in net assets for the financial year then ended. In preparing these financial statements, the Manager is required to:
- select suitable accounting policies and then apply them consistently;
- make judgements and estimates that are reasonable and prudent; and
- prepare the financial statements on the basis that the Trust will continue in operation unless it is inappropriate to presume this.
The Manager is responsible for keeping proper books of account which disclose, with reasonable accuracy, at any time, the financial position of the Trust and enable them to ensure that the financial statements comply with the provisions of the Trust Deed. The Manager is also responsible for safeguarding the assets of the Trust. In this regard they entrusted the assets of the Trust to State Street Custodial Services (Ireland) Limited (the Depositary ) who has been appointed as depositary of the Trust. The Manager has a general responsibility for taking reasonable steps for the prevention and detection of fraud and other irregularities.
The financial statements are published on the www.ssga.com website. The Directors of the Manager, together with the Investment Manager are responsible for the maintenance and integrity of the financial information included on the website. Legislation in the Republic of Ireland governing preparation and dissemination of the financial statements may differ from legislation in other jurisdictions.
Connected Party Transactions The Central Bank’s AIF Rulebook section on ’Dealings by management company, general partner, depositary, investment manager or by delegates or group companies of these’ states that any transaction carried out with the Trust by a management company, general partner, depositary, investment manager or by delegates or group companies of these ( connected parties ) must be carried out as if negotiated at arm’s length. Transactions must be in the best interests of the Unitholders.
The Directors of the Manager are satisfied that there are arrangements (evidenced by written procedures) in place, to ensure that the obligations set out above are applied to all transactions with connected parties; and Directors of the Manager are satisfied that transactions with connected parties entered into during the financial year complied with the obligations set out in this paragraph.
For and on behalf of State Street Global Advisors Europe Limited
Director:
Director:
Date: 24 August 2026
SSGA Qualified Trust
Annual Report and Audited Financial Statements for the financial year ended 30 April 2026 Statement of Responsibilities of the Manager
8 SSGA Qualified Trust
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We have enquired into the conduct of State Street Global Advisors Europe Limited as the authorised AIFM in respect of SSGA Qualified Trust, the authorised Alternative Investment Fund (the AIF ), for the period from 1 May 2025 to 30 April 2026 in our capacity as depositary to the AIF.
This report including the opinion has been prepared for and solely for the Unitholders in the AIF as a body, in accordance with the Central Bank’s AIF Rulebook and for no other purpose. We do not, in giving this opinion, accept or assume responsibility for any other purpose or to any other person to whom this report is shown.
Responsibilities of the Depositary Our duties and responsibilities are outlined in Regulation 22(7)(8)&(9) of European Union (Alternative Investment Fund Managers’ Directi v e) Regulations 2013 as amended (the Regulations ) and the AIF Rulebook. One of those duties is to enquire into the conduct of the AIFM in each annual accounting period and report thereon to the Unitholders.
Our report shall state whether, in our opinion, the AIF has been managed in that period in accordance with the provisions of the AIF’s constitutional documentation and the AIF Rulebook. It is the overall responsibility of the AIFM to comply with these provisions. If the AIFM has not so complied, we as Depositary must state why this is the case and outline the steps which we have taken to rectify the situation.
Basis of Depositary opinion The Depositary conducts such reviews as it, in its reasonable opinion, considers necessary in order to comply with its duties as outlined in Regulation 22(7)(8)&(9) of the Regulations, and to ensure that, in all material respects, the AIF has been managed: (i) in accordance with the limitations imposed on its investment and borrowing powers by the provisions of its constitutional documentation and the appropriate regulations; and
(ii) otherwise in accordance with the AIF’s constitutional documentation and the appropriate regulations.
Opinion In our opinion, the AIF has been managed during the financial year, in all material respects: (i) in accordance with the limitations imposed on the investment and borrowing powers of the authorised AIF by the constitutional documents and by the Central Bank under the powers granted to the Central Bank by the investment fund legislation; and
(ii) otherwise in accordance with the provisions of the constitutional documents and the investment fund legislation.
State Street Custodial Services (Ireland) Limited
78 Sir John Rogerson’s Quay Dublin D02 HD32 Ireland
Date: 24 August 2026
SSGA Qualified Trust
Annual Report and Audited Financial Statements for the financial year ended 30 April 2026 Report of the Depositary to the Unitholders of SSGA Qualified Trust
SSGA Qualified Trust 9
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Independent auditors’ report to the unitholders of the
funds of SSGA Qualified Trust
Report on the audit of the financial statements
Opinion
In our opinion, SSGA Qualified Trust’s financial statements:
• give a true and fair view of the funds’ assets, liabilities and financial position as at 30 April 2026 and of their results for the year then ended; and • have been properly prepared in accordance with Generally Accepted Accounting Practice in Ireland (accounting standards issued by the Financial Reporting Council of the UK, including Financial Reporting Standard 102 “The Financial Reporting Standard applicable in the UK and Republic of Ireland” and Iris h law).
We have audited the financial statements, included within the Annual Report and Audited Financial Statements (the “Annual Report”), which comprise:
• the Statement of Financial Position as at 30 April 2026; • the Statement of Comprehensive Income for the year then ended; • the Statement of Changes in Equity for the year then ended; • the Schedule of Investments as at 30 April 2026; and • the notes to the financial statements, which include a description of the accounting policies.
Basis for opinion
We conducted our audit in accordance with International Standards on Auditing (Ireland) (“ISAs (Ireland)”) and applicable law. Our responsibilities under ISAs (Ireland) are further described in the Auditors’ responsibilities for the audit of the financial statements section of our report. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.
Independence
We remained independent of the trust in accordance with the ethical requirements that are relevant to our audit of the financial statements in Ireland, which includes IAASA’s Ethical Standard and we have fulfilled our other ethical responsibilities in acco rdance with these requirements.
Emphasis of matter - financial statements prepared on a basis other than
going concern
In forming our opinion on the financial statements, which is not modified, we draw attention to note 1 to the financial statements which describes the manager’s reasons why the financial statements of State Street LDI Leveraged Conventional Gilt 2060 Fund, State Street LDI Leveraged Index Linked Gilt 2032 Fund, State Street LDI Leveraged Index Linked Gilt 2042 Fund, State Street LDI Leveraged Index Linked Gilt 2055 Fund and State Street LDI Leveraged In dex Linked Gilt 2062 Fund have been prepared on a basis other than going concern.
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Conclusions relating to going concern
With the exception of State Street LDI Leveraged Conventional Gilt 2060 Fund, State Street LDI Leveraged Index Linked Gilt 2032 Fund, State Street LDI Leveraged Index Linked Gilt 2042 Fund, State Street LDI Leveraged Index Linked Gilt 2055 Fund and State Street LDI Leveraged In dex Linked Gilt 2062 Fund where a basis of accounting other than going concern has been adopted as set out in the Emphasis of matter - financial statements prepared on a basis other than going concern above, based on the work we have performed, we have not identified any material uncertainties relating to events or conditions that, individually or collectively, may cast significant doubt on the ability of the funds to continue as a going concern for a period of at least twelve months from the date o n which the financial statements are authorised for issue.
With the exception of State Street LDI Leveraged Conventional Gilt 2060 Fund, State Street LDI Leveraged Index Linked Gilt 2032 Fund, State Street LDI Leveraged Index Linked Gilt 2042 Fund, State Street LDI Leveraged Index Linked Gilt 2055 Fund and State Street LDI Leveraged In dex Linked Gilt 2062 Fund where a basis of accounting other than going concern has been adopted as set out in the Emphasis of matter - financial statements prepared on a basis other than going concern above, in auditing the financial statements , we have concluded that the manager’s use of the going concern basis of accounting in the preparation of the financial statements is appropriate.
However, because not all future events or conditions can be predicted, this conclusion is not a guarantee as to the ability of the funds to continue as a going concern.
Our responsibilities and the responsibilities of the manager with respect to going concern are described in the relevant sections of this report.
Reporting on other information
The other information comprises all of the information in the Annual Report other than the financial statements and our auditors’ report thereon. The manager is responsible for the other information. Our opinion on the financial statements does not cover t he other information and, accordingly, we do not express an audit opinion or any form of assurance thereon.
In connection with our audit of the financial statements , our responsibility is to read the other information and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit, or otherwise appears to be materially misstated. If we identify an apparent material inconsistency or material misstatement, we are required to perform procedures to conclude whether there is a material misstatement of the financial statements or a material misstatement of the other information. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report that fact. We have nothing to report based on these respons ibilities.
Responsibilities for the financial statements and the audit
Responsibilities of the manager for the financial statements
As explained more fully in the Statement of Responsibilities of the Manager set out on page 8, the manager is responsible for the preparation of the financial statements in accordance with the applicable framework giving a true and fair view.
The manager is also responsible for such internal control as they determine is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error.
In preparing the financial statements, the manager is responsible for assessing the ability of the funds to continue as a going concern, disclosing as applicable, matters related to going concern and using the going concern basis of accounting unless the manager intends to cease operations, or has no realistic alternative but to do so.
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Auditors’ responsibilities for the audit of the financial statements
Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditors’ report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with ISAs (Ireland) will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements.
Our audit testing might include testing complete populations of certain transactions and balances, possibly using data auditing techniques. However, it typically involves selecting a limited number of items for testing, rather than testing complete populat ions. We will often seek to target particular items for testing based on their size or risk characteristics. In other cases, we will use audit sampling to enable us to draw a conclusion about the population from which the sample is selected.
A further description of our responsibilities for the audit of the financial statements is located on the IAASA website at: https://iaasa.ie/wp - content/uploads/docs/media/IAASA/Documents/audit standards/Description_of_auditors_responsibilities_for_audit.pdf . This description forms part of our auditors’ report.
Use of this report
This report, including the opinion, has been prepared for and only for the unitholders of each of the funds as a body in accordance with the European Union (Alternative Investment Fund Managers) Regulations 2013 and for no other purpose. We do not, in giving this opinion, accept or assume responsibility for any other purpose or to any other person to whom this report is shown or into whose hands it may come save where expressly agreed by our prior consent in writing.
PricewaterhouseCoopers Chartered Accountants and Registered Auditors Dublin 24 August 2026
Page 14
State Street LDI Leveraged Conventional Gilt 2040 Fund GBP
State Street LDI Leveraged Conventional Gilt 2060 Fund 1 GBP
State Street LDI Leveraged Conventional Gilt 2068 Fund GBP
State Street LDI Leveraged Index Linked Gilt 2032 Fund 2 GBP
State Street LDI Leveraged Index Linked Gilt 2042 Fund 1 GBP State Street LDI Leveraged Index Linked Gilt 2055 Fund 2 GBP State Street LDI Leveraged Index Linked Gilt 2062 Fund 1 GBP State Street LDI Leveraged UK Inflation Rate Swap 2030 Fund GBP
Income
Operating income 2 755,593 64,428 552,258 134,911 72,329 99,989 58,654 57,429
Net (loss)/gain on financial assets and liabilities at fair
value through profit or loss 3 (853,478) (173,427) (1,380,388) (156,222) (112,293) (134,528) (129,172) 746,457
Total investment (expense)/income
(97,885) (108,999) (828,130) (21,311) (39,964) (34,539) (70,518) 803,886
Other fees
- - - (1,000) - (1,000) - - Fixed fees 4 (2,460) (192) (2,255) (219) (134) (282) (128) (2,564)
(Loss)/profit for the financial year
(100,345) (109,191) (830,385) (22,530) (40,098) (35,821) (70,646) 801,322
(Decrease)/increase in net assets attributable to
equity Unitholders from operations
(100,345) (109,191) (830,385) (22,530) (40,098) (35,821) (70,646) 801,322
1
The Fund closed on 12 September 2025.
2
The Fund closed on 21 November 2025.
There are no recognised gains or losses arising during the financial year other than the increase/(decrease) in net assets attributable to equity Uni
tholders of the Trust. In arriving at the results for the financial year, all amounts above
relate to continuing operations, with the exception of State Street LDI Leveraged Conventional Gilt 2060 Fund, State Street LDI Leveraged Index Link
ed Gilt 2032 Fund, State Street LDI Leveraged Index Linked Gilt 2042 Fund, State
Street LDI Leveraged Index Linked Gilt 2055 Fund and State Street Leveraged Index Gilt 2062 Fund which closed during the financial year.
The accompanying notes form an integral part of the financial statements.
SSGA Qualified Trust
Annual Report and Audited Financial Statements
for the financial year ended 30 April 2026
Statement of Comprehensive Income for the financial year ended 30 April 2026
SSGA Qualified Trust 13
Page 15
State Street LDI Leveraged Conventional Gilt 2040 Fund GBP
SSGA LDI Leveraged Conventional Gilt 2049 Fund 1 GBP
State Street LDI Leveraged Conventional Gilt 2060 Fund GBP
State Street LDI Leveraged Conventional Gilt 2068 Fund GBP
State Street LDI Leveraged Index Linked Gilt 2032 Fund GBP State Street LDI Leveraged Index Linked Gilt 2042 Fund GBP State Street LDI Leveraged Index Linked Gilt 2055 Fund GBP State Street LDI Leveraged Index Linked Gilt 2062 Fund GBP
Income
Operating income 2 2,173,176 734,825 403,801 553,683 314,570 366,901 127,186 116,147
Net loss on financial assets and liabilities at fair value
through profit or loss 3 (3,305,281) (1,600,129) (882,301) (1,810,595) (1,135,198) (1,274,058) (807,311) (575,404)
Total investment expense
(1,132,105) (865,304) (478,500) (1,256,912) (820,628) (907,157) (680,125) (459,257) Fixed fees 4 (8,510) (3,202) (1,992) (3,318) (2,442) (2,014) (1,160) (845)
Loss for the financial year
(1,140,615) (868,506) (480,492) (1,260,230) (823,070) (909,171) (681,285) (460,102)
Decrease in net assets attributable to equity
Unitholders from operations
(1,140,615) (868,506) (480,492) (1,260,230) (823,070) (909,171) (681,285) (460,102)
1
The Fund closed on 11 April 2025.
There are no recognised gains or losses arising during the financial year other than the decrease in net assets attributable to equity Unitholders of t
he Trust. In arriving at the results for the financial year ended 30 April 2025, all amounts
above relate to continuing operations, with the exception of SSGA LDI Leveraged Conventional Gilt 2049 Fund which became dormant during the financia
l year ended 30 April 2025.
The accompanying notes form an integral part of these financial statements.
SSGA Qualified Trust
Annual Report and Audited Financial Statements
for the financial year ended 30 April 2026
Statement of Comprehensive Income for the financial year ended 30 April 2025
14 SSGA Qualified Trust
Page 16
SSGA LDI Leveraged Index Linked Gilt 2068 Fund 3 GBP
SSGA LDI Leveraged UK Inflation Rate Swap 2025 Fund 1 GBP
State Street LDI Leveraged UK Inflation Rate Swap 2030 Fund GBP State Street Target Leverage Cash Fund 2 GBP State Street Target Leverage Nominal Rate Short LDI Fund 2 GBP State Street Target Leverage Real Rate Short LDI Fund 2 GBP
Income
Operating income
2 47,643 15,639 70,727 12,924 147,114 108,015 Net (loss)/gain on financial assets and liabilities at fair value through profit or loss 3 (218,911) (181,017) (637,141) 33,828 (15,337) (61,849)
Total investment (expense)/income
(171,268) (165,378) (566,414) 46,752 131,777 46,166
Fixed fees
4 (317) (518) (2,835) (398) (135) (227)
(Loss)/profit for the financial year
(171,585) (165,896) (569,249) 46,354 131,642 45,939
(Decrease)/increase in net assets attributable to equity Unitholders from operations
(171,585) (165,896) (569,249) 46,354 131,642 45,939
1
The Fund fully redeemed and closed on 17 July 2024.
2
The Fund closed on 26 July 2024.
3
The Fund closed on 11 April 2025.
There are no recognised gains or losses arising during the financial year other than the (decrease)/increase in net assets attributable to equity Uni
tholders of the Trust. In arriving at the results for the financial year ended 30 April 2025,
all amounts above relate to continuing operations, with the exception of SSGA LDI Leveraged Index Linked Gilt 2068 Fund, SSGA LDI Leveraged UK Inflati
on Rate Swap 2025 Fund, State Street Target Leverage Cash Fund, State
Street Target Leverage Nominal Rate Short LDI Fund and State Street Target Leverage Real Rate Short LDI Fund which became dormant during the financial
year ended 30 April 2025.
The accompanying notes form an integral part of these financial statements.
SSGA Qualified Trust
Annual Report and Audited Financial Statements
for the financial year ended 30 April 2026
Statement of Comprehensive Income for the financial year ended 30 April 2025 (continued)
SSGA Qualified Trust 15
Page 17
State Street LDI Leveraged Conventional Gilt 2040 Fund GBP
State Street LDI Leveraged Conventional Gilt 2060 Fund 1 GBP
State Street LDI Leveraged Conventional Gilt 2068 Fund GBP
State Street LDI Leveraged Index Linked Gilt 2032 Fund 2 GBP
State Street LDI Leveraged Index Linked Gilt 2042 Fund 1 GBP State Street LDI Leveraged Index Linked Gilt 2055 Fund 2 GBP State Street LDI Leveraged Index Linked Gilt 2062 Fund 1 GBP State Street LDI Leveraged UK Inflation Rate Swap 2030 Fund GBP
Notes
Current Assets
Financial assets at fair value through profit or loss: 1a)
Bonds 1,927,448 - 10,994,984 -
---- Collective investment schemes 25,461 - 61,410 - - - - 2,905,994 Inflation swaps at positive fair value - - - - - - - 82,330 Cash and bank balances 5 1,000 205 1,000 - - - - 1,000 Broker cash held as collateral 1j) - - - - - - - 589,833 Broker cash collateral reinvested 1j) 732 - 3,644 - - - - - Debtors 6 36,855 452 158,832 - - - - 8,625
Total Current Assets
1,991,496 657 11,219,870 - - - - 3,587,782
Equity
Capital and reserves attributable to equity
Unitholders of the Trust 536,362 - 4,250,887 - - - - 3,445,167
Total Equity
536,362 - 4,250,887 - - - - 3,445,167
Current Liabilities
Financial liabilities at fair value through profit or
loss: 1a)
Cash due to broker 1j) - - - - - - - 134,789
Broker cash due to counterparties 1j) 732 - 3,644 -
---- Repurchase agreements 1a) 1,450,163 - 6,905,640 - - - - - Inflation swaps at negative fair value - - - - - - - 7,695 Creditors (amounts falling due within one year) 7 4,239 657 59,699 - - - - 131
Total Current Liabilities
1,455,134 657 6,968,983 - - - - 142,615
Total Equity and Current Liabilities
1,991,496 657 11,219,870 - - - - 3,587,782
1
The Fund closed on 12 September 2025.
2
The Fund closed on 21 November 2025.
The accompanying notes form an integral part of these financial statements. For and on behalf of State Street Global Advisors Europe Limited
Director: Director: Date: 24 August 2026
SSGA Qualified Trust
Annual Report and Audited Financial Statements
for the financial year ended 30 April 2026
Statement of Financial Position as at 30 April 2026
16 SSGA Qualified Trust
Page 18
State Street LDI Leveraged Conventional Gilt 2040 Fund GBP
SSGA LDI Leveraged Conventional Gilt 2049 Fund 1 GBP
State Street LDI Leveraged Conventional Gilt 2060 Fund GBP
State Street LDI Leveraged Conventional Gilt 2068 Fund GBP
State Street LDI Leveraged Index Linked Gilt 2032 Fund GBP State Street LDI Leveraged Index Linked Gilt 2042 Fund GBP State Street LDI Leveraged Index Linked Gilt 2055 Fund GBP State Street LDI Leveraged Index Linked Gilt 2062 Fund GBP
Notes
Current Assets
Financial assets at fair value through profit or loss: 1a)
Bonds 21,753,751 - 2,830,340 11,543,240 3,763,118 1,863,761 1,914,750 1,096,889 Collective investment schemes 30,727 - 53,036 48,552 41,603 14,653 11,887 15,073 Cash and bank balances 5 1,000 20 1,000 1,000 1,000 1,000 1,000 1,000 Broker cash collateral reinvested 1j) 702 - - 3,497 - 102 156 - Debtors 6 1,785,539 - 38,032 151,273 20,212 6,321 13,038 764
Total Current Assets
23,571,719 20 2,922,408 11,747,562 3,825,933 1,885,837 1,940,831 1,113,726
Equity
Capital and reserves attributable to equity
Unitholders of the Trust 6,768,814 - 1,123,498 5,069,869 818,823 754,570 1,043,254 745,396
Total Equity
6,768,814 - 1,123,498 5,069,869 818,823 754,570 1,043,254 745,396
Current Liabilities
Financial liabilities at fair value through profit or
loss: 1a)
Broker cash due to counterparties 1j) 702 - - 3,497 - 102 156 - Repurchase agreements 1a) 16,743,874 - 1,777,967 6,653,726 3,004,729 1,130,244 896,683 368,008 Creditors (amounts falling due within one year) 7 58,329 20 20,943 20,470 2,381 921 738 322
Total Current Liabilities
16,802,905 20 1,798,910 6,677,693 3,007,110 1,131,267 897,577 368,330
Total Equity and Current Liabilities
23,571,719 20 2,922,408 11,747,562 3,825,933 1,885,837 1,940,831 1,113,726
1
The Fund closed on 11 April 2025.
The accompanying notes form an integral part of these financial statements.
SSGA Qualified Trust
Annual Report and Audited Financial Statements
for the financial year ended 30 April 2026
Statement of Financial Position as at 30 April 2025
SSGA Qualified Trust 17
Page 19
SSGA LDI Leveraged Index Linked Gilt 2068 Fund 3 GBP
SSGA LDI Leveraged UK Inflation Rate Swap 2025
1 Fund 1 GBP
State Street LDI Leveraged UK Inflation Rate Swap 2030 Fund GBP State Street Target Leverage Cash Fund 2 GBP State Street Target Leverage Nominal Rate Short LDI Fund 2 GBP State Street Target Leverage Real Rate Short LDI Fund 2 GBP
Notes
Current Assets
Financial assets at fair value through profit or loss: 1a)
Collective investment schemes
- - 4,078,179 - - -
Cash and bank balances
5 5 - 1,000 - - - Cash held with brokers for swap contracts 1i) - - 525,513 - - - Broker cash held as collateral 1j) - - 1,106,819 - - -
Debtors
6 - - 51,783 - - -
Total Current Assets
5 - 5,763,294 - - -
Equity
Capital and reserves attributable to equity Unitholders of the Trust - - 5,202,171 - - -
Total Equity
- - 5,202,171 - - -
Current Liabilities
Financial liabilities at fair value through profit or loss: 1a)
Inflation swaps at negative fair value
- - 560,909 - - - Creditors (amounts falling due within one year) 7 5 - 214 - - -
Total Current Liabilities
5 - 561,123 - - -
Total Equity and Current Liabilities
5 - 5,763,294 - - -
1
The Fund fully redeemed and closed on 17 July 2024.
2
The Fund closed on 26 July 2024.
3
The Fund closed on 11 April 2025.
The accompanying notes form an integral part of these financial statements.
SSGA Qualified Trust
Annual Report and Audited Financial Statements
for the financial year ended 30 April 2026
Statement of Financial Position as at 30 April 2025 (continued)
18 SSGA Qualified Trust
Page 20
State Street LDI Leveraged Conventional Gilt 2040 Fund GBP
State Street LDI Leveraged Conventional Gilt 2060 Fund 1 GBP
State Street LDI Leveraged Conventional Gilt 2068 Fund GBP
State Street LDI Leveraged Index Linked Gilt 2032 Fund 2 GBP
State Street LDI Leveraged Index Linked Gilt 2042 Fund 1 GBP State Street LDI Leveraged Index Linked Gilt 2055 Fund 2 GBP State Street LDI Leveraged Index Linked Gilt 2062 Fund 1 GBP State Street LDI Leveraged UK Inflation Rate Swap 2030 Fund GBP
Notes
Net assets attributable to equity Unitholders at the
beginning of the financial year
6,768,814 1,123,498 5,069,869 818,823 754,570 1,043,254 745,396 5,202,171
(Decrease)/increase in net assets attributable to equity
Unitholders from operations (100,345) (109,191) (830,385) (22,530) (40,098) (35,821) (70,646) 801,322 Amounts received on issue of equity Units - - 815,881 - 83,624 - - - Amounts paid on redemption of equity Units (6,132,107) (1,014,307) - (796,293) (798,096) (1,007,433) (674,750) (1,721,023) Dividends to equity Unitholders 13 - - (804,478) - - - - (837,303)
(Decrease)/increase in net assets attributable to equity
Unitholders resulting from Unit transactions (6,132,107) (1,014,307) 11,403 (796,293) (714,472) (1,007,433) (674,750) (2,558,326) Net decrease in equity Unitholders’ funds (6,232,452) (1,123,498) (818,982) (818,823) (754,570) (1,043,254) (745,396) (1,757,004)
Net assets attributable to equity Unitholders at the end
of the financial year
536,362 - 4,250,887 - - - - 3,445,167
1
The Fund closed on 12 September 2025.
2
The Fund closed on 21 November 2025.
The accompanying notes form an integral part of these financial statements.
SSGA Qualified Trust
Annual Report and Audited Financial Statements
for the financial year ended 30 April 2026
Statement of Changes in Equity for the financial year ended 30 April 2026
SSGA Qualified Trust 19
Page 21
State Street LDI Leveraged Conventional Gilt 2040 Fund GBP
SSGA LDI Leveraged Conventional Gilt 2049 Fund 1 GBP
State Street LDI Leveraged Conventional Gilt 2060 Fund GBP
State Street LDI Leveraged Conventional Gilt 2068 Fund GBP
State Street LDI Leveraged Index Linked Gilt 2032 Fund GBP State Street LDI Leveraged Index Linked Gilt 2042 Fund GBP State Street LDI Leveraged Index Linked Gilt 2055 Fund GBP State Street LDI Leveraged Index Linked Gilt 2062 Fund GBP
Notes
Net assets attributable to equity Unitholders at the
beginning of the financial year
17,378,911 6,879,046 5,966,458 5,413,908 6,298,688 5,059,113 2,407,110 1,749,202
Decrease in net assets attributable to equity Unitholders
from operations (1,140,615) (868,506) (480,492) (1,260,230) (823,070) (909,171) (681,285) (460,102) Amounts received on issue of equity Units 2,309,705 698,256 1,452,470 4,052,421 1,501,245 1,230,490 1,103,703 794,419 Amounts paid on redemption of equity Units (11,779,187) (6,068,429) (5,814,938) (2,570,301) (6,158,040) (4,625,862) (1,786,274) (1,338,123) Dividends to equity Unitholders 13 - (640,367) - (565,929) - - - -
(Decrease)/increase in net assets attributable to equity
Unitholders resulting from Unit transactions (9,469,482) (6,010,540) (4,362,468) 916,191 (4,656,795) (3,395,372) (682,571) (543,704) Net decrease in equity Unitholders’ funds (10,610,097) (6,879,046) (4,842,960) (344,039) (5,479,865) (4,304,543) (1,363,856) (1,003,806)
Net assets attributable to equity Unitholders at the end
of the financial year
6,768,814 - 1,123,498 5,069,869 818,823 754,570 1,043,254 745,396
1
The Fund closed on 11 April 2025.
The accompanying notes form an integral part of these financial statements.
SSGA Qualified Trust
Annual Report and Audited Financial Statements
for the financial year ended 30 April 2026
Statement of Changes in Equity for the financial year ended 30 April 2025
20 SSGA Qualified Trust
Page 22
SSGA LDI Leveraged Index Linked Gilt 2068 Fund 3 GBP
SSGA LDI Leveraged UK Inflation Rate Swap 2025 Fund 1 GBP
State Street LDI Leveraged UK Inflation Rate Swap 2030 Fund GBP State Street Target Leverage Cash Fund 2 GBP State Street Target Leverage Nominal Rate Short LDI Fund 2 GBP State Street Target Leverage Real Rate Short LDI Fund 2 GBP
Notes
Net assets attributable to equity Unitholders at the beginning of the financial year
678,957 4,845,197 5,140,899 3,300,517 1,131,436 1,445,428 (Decrease)/increase in net assets attributable to equity Unitholders from operations (171,585) (165,896) (569,249) 46,354 131,642 45,939
Amounts received on issue of equity Units
41,855 - 1,230,511 1,504,399 560,553 872,183
Amounts paid on redemption of equity Units
(549,227) (4,679,301) - (4,851,270) (1,823,631) (2,363,550)
Dividends to equity Unitholders
13 - - (599,990) - - - (Decrease)/increase in net assets attributable to equity Unitholders resulting from Unit transactions (507,372) (4,679,301) 630,521 (3,346,871 ) (1,263,078) (1,491,367)
Net (decrease)/increase in equity Unitholders’ funds
(678,957) (4,845,197) 61,272 (3,300,517) (1,131,436) (1,445,428)
Net assets attributable to equity Unitholders at the end of the financial year
- - 5,202,171 - - -
1
The Fund fully redeemed and closed on 17 July 2024.
2
The Fund closed on 26 July 2024.
3
The Fund closed on 11 April 2025.
The accompanying notes form an integral part of these financial statements.
SSGA Qualified Trust
Annual Report and Audited Financial Statements
for the financial year ended 30 April 2026
Statement of Changes in Equity for the financial year ended 30 April 2025 (continued)
SSGA Qualified Trust 21
Page 23
1. Significant Accounting Policies
Basis of Preparation The principal accounting policies applied in the preparation of these financial statements are set out below. These policies have been consistently applied throughout the periods.
These financial statements have been prepared for the financial year ended 30 April 2026.
Statement of Compliance These financial statements have been prepared in accordance with the Financial Reporting Standard applicable in the United Kingdom and Republic of Ireland (“FRS 102”) and Irish statute comprising the AIF Rulebook issued by the Central Bank. Accounting standards generally accepted in Ireland in preparing Financial Statements giving a true and fair view are those issued by the Institute of Chartered Accountants in Ireland and issued by the Financial Reporting Council (“FRC”).
These financial statements are prepared on a going concern basis, with the exception of the Funds noted below, as the Manager of the Trust is of the view that the Trust can continue in operational existence for at least twelve months from the date of approval of these financial statements (the period of assessment). The Trust’s management has made an assessment of the Trust’s ability to continue as a going concern and are satisfied that the Trust has the resources to continue in business for the foreseeable future. Furthermore, management is not aware of any material uncertainties that may cast significant doubt upon the Trust’s ability to continue as a going concern. Therefore, the financial statements are prepared on a going concern basis with the exception of the following Funds which are now dormant and are prepared on a basis other than going concern; State Street LDI Leveraged Conventional Gilt 2060 Fund, State Street LDI Leveraged Index Linked Gilt 2032 Fund, State Street LDI Leveraged Index Linked Gilt 2042 Fund, State Street LDI Leveraged Index Linked Gilt 2055 Fund, and State Street LDI Leveraged Index Linked Gilt 2062 Fund. There are a number of Funds which became dormant in prior financial years but have not yet had their authorisation revoked by the Central Bank (please refer to Note 14 for further information).
The Manager of the Trust anticipates that the financial assets will continue to generate enough cash flows on an ongoing basis to meet the Funds’ liabilities as they fall due.
The Trust has continued to avail of the exemption available to open-ended investment funds under FRS 102 and is not presenting a cash flow statement.
All references to net assets throughout the Annual Report and Audited Financial Statements refers to net assets attributable to equity Unitholders unless otherwise stated.
Historical Cost Convention The financial statements have been prepared under the historical cost convention as modified by the revaluation of financial assets and financial liabilities at fair value through profit or loss.
Critical Accounting Estimates and Assumptions The preparation of financial statements requires the Manager to make judgements, estimates and assumptions that affect the application of policies and the reported amounts of assets and liabilities, income and expenses. The estimates and associated assumptions are based on historical experience and various other factors that are believed to be reasonable under the circumstances, the results of which form the basis of making the judgements about carrying values of assets and liabilities that are not readily apparent from other sources. Actual results may differ from these estimates.
The estimates and underlying assumptions are reviewed on an ongoing basis. Revisions to accounting estimates are recognised in the year in which the estimate is revised if the revision affects only that financial year, or in the financial year of the revision and future financial years if the revision affects both current and future financial years.
Fair value measurement of financial derivative instruments and securities not quoted in active market The Funds may hold financial instruments that are not quoted in active markets, including financial derivative instruments. Fair value of such instruments is determined using valuation techniques and may be determined using reputable pricing sources (such as pricing agencies) or indicative prices from market makers. Broker quotes as obtained from the pricing sources may be indicative and not executable or binding. Where no market data is available, the Fund may value positions using its own models, which are usually based on valuation methods and techniques generally recognised as standard within the industry. The models used to determine fair values are validated and periodically reviewed by experienced personnel of the Investment Manager, independent of the party that created them.
SSGA Qualified Trust
Annual Report and Audited Financial Statements for the financial year ended 30 April 2026 Notes to the Financial Statements
22 SSGA Qualified Trust
Page 24
1. Significant Accounting Policies (continued)
Critical Accounting Estimates and Assumptions (continued)
Fair value measurement of financial derivative instruments and securities not quoted in active market (continued) Models use observable data, to the extent practicable. However, areas such as credit risk (both own and counterparty), volatilities and correlations require the Investment Manager to make estimates. Changes in assumptions about these factors could affect the reported fair values of financial instruments. The Funds consider observable data to be market data that is readily available, regularly distributed and updated, reliable and verifiable, not proprietary, and provided by independent sources that are actively involved in the relevant market. Refer to Note 1 a) recognition and derecognition for further information about the fair value measurement of the Funds’ financial instruments.
a) Financial Assets at Fair Value through Profit or Loss
Classification and measurement The Trust classifies its investments in debt securities, collective investment schemes and related derivatives, as financial assets and financial liabilities at fair value through profit or loss. Subsequent to initial recognition, all instruments classified at fair value through profit or loss are measured at fair value with changes in their fair value recognised in the Statement of Comprehensive Income.
Under FRS 102, in accounting for its financial instruments the Trust is required to apply either a) the full requirements of FRS 102 relating to Basic Financial Instruments and Other Financial Instruments, or b) the recognition and measurement provisions of lAS 39 Financial Instruments: Recognition and only the disclosure requirements of FRS 102 relating to Basic Financial Instruments and Other Financial Instruments. The Directors of the Manager chose to implement the recognition and measurement provisions of lAS 39 Financial Instruments: Recognition and only the disclosure requirements of FRS 102 relating to Basic Financial Instruments and Other Financial Instruments.
The financial instruments of the Funds are valued at fair value. For debt instruments, the last traded price is taken as the best evidence of fair value. For collective investment schemes, the latest unaudited NAV of the relevant underlying fund is used as the best evidence of fair value. The value of any instrument which is not normally quoted, listed or traded on or under the rules of a regulated market, will be valued at its probable realisation value estimated with care and in good faith by the Manager in consultation with the Administrator, or by a competent person, firm or corporation appointed by the Manager, and approved for such purpose by the Depositary.
Derivative financial instruments Derivative instruments which are traded on a regulated market, shall be valued at the settlement price as determined by the relevant regulated market at the close of business on such regulated market. Provided that where it is not the practice of the relevant regulated market to quote a settlement price, or if a settlement price is not available for any reason, such instruments shall be valued at their probable realisation value estimated with care and in good faith by a competent person (which may be the Administrator or the Investment Manager) appointed by the Manager and approved for the purpose by the Depositary, or by any other means provided that the value is approved by the Depositary.
Over-the counter (“OTC”) derivative contracts shall be valued on a daily basis using either an approved recognized vendor’s valuation or the OTC counterparty’s valuation or an alternative valuation. Each day, the Investment Manager compares the valuations of the OTC derivatives provided by the vendor and counterparty. If an OTC derivative instrument is valued in any other way, such alternative valuation will be reconciled to the counterparty price on a daily basis and any significant differences must be promptly investigated and explained.
Recognition and derecognition Purchases and sales of investments are recognised as of the day the transaction takes place, i.e. the trade date, the date on which the Fund commits to purchase or sell the asset.
The Funds recognise a financial asset and financial liability on the date it becomes a party to the contractual provisions of the instrument and all significant rights and access to the benefits from the assets, and the exposure to the risks inherent in those benefits are transferred to the Funds. The Funds derecognise financial assets and financial liabilities when all such benefits and risks are transferred from the Funds.
SSGA Qualified Trust
Annual Report and Audited Financial Statements for the financial year ended 30 April 2026 Notes to the Financial Statements (continued)
SSGA Qualified Trust 23
Page 25
1. Significant Accounting Policies (continued)
a) Financial Assets at Fair Value through Profit or Loss (continued)
Derivative financial instruments (continued)
Inflation swaps Inflation swaps (“Swaps”) are measured initially at fair value on the date on which the derivative contract is entered into and subsequently re-measured at fair value. Fair values are obtained from approved counterparties or from quoted market prices in active markets, including recent market transactions, and from valuation techniques using discounted cash flow models and option pricing models as appropriate. Swaps are included in assets when the fair value is positive and in liabilities when the fair value is negative, unless there is the legal ability and intention to settle the asset and liability on a net basis. Revenues/payments arising on Swaps are included in the net gain/(loss) on financial assets and liabilities at fair value through profit or loss in the Statement of Comprehensive Income. Changes in their fair value are recognised in the Statement of Comprehensive Income.
Inflation swaps may be valued by reference to freely available market quotations or, if such quotations are not available, in accordance with the provisions in respect of such OTC derivatives.
Repurchase agreements The Funds may use repurchase agreements in order to obtain leveraged exposure without limitation to the Underlying Asset. Under a repurchase agreement, a Fund sells the Underlying Asset to a counterparty and agrees at the time of sale to repurchase the Underlying Asset at a mutually agreed upon date and price. In order to achieve the leveraged exposure, the cash that the Fund receives from the counterparty as part of the repurchase agreement may be reinvested in transferable securities, including without limitation the Underlying Asset and other fixed income and money market instruments, as well as collective investment schemes that qualify as UCITS or otherwise. In exchange for the cash received, the Fund will be required to pay interest to the counterparty. Interest paid in respect of the repurchase agreements is included in net gain/(loss) on financial assets and liabilities at fair value through profit or loss in the Statement of Comprehensive Income.
b) Income from Investments
Interest income Interest income is recognised in the Statement of Comprehensive Income for all debt instruments using the effective interest method.
Interest income and interest expense on other financial assets and financial liabilities are recognised in the Statement of Comprehensive Income as they accrue.
The effective interest method is a method of calculating the amortised cost of a financial asset or financial liability and of allocating the interest income or interest expense over the relevant period. The effective interest rate is the rate that exactly discounts estimated future cash payments or receipts throughout the expected life of the financial instrument, or, when appropriate a shorter financial period, to the net carrying amount of the financial asset or financial liability.
Dividend income Dividend income is recognised in the Statement of Comprehensive Income on the dates on which the relevant securities are listed as “ex-dividend”. Dividend income is shown gross of any non-recoverable withholding taxes, which are disclosed separately in the Statement of Comprehensive Income, and net of any tax credits. Dividend income from financial assets at fair value through profit or loss is recognised in the Statement of Comprehensive Income within ’Dividend income’ when the Fund’s right to receive payment is established.
Income arising from collective investments schemes is accounted for on an ex-dividend basis.
c) Foreign Currency
Functional and presentation currency Items included in the Trust’s financial statements are measured using the currency of the primary economic environment in which it operates (the “functional currency”).
The functional currency of the Trust is the British Pound (“GBP”). Assets and liabilities expressed in currencies other than the functional currency of the Trust are translated into the functional currency at exchange rates ruling at the financial year end date. Transactions in foreign currencies are translated into GBP at exchange rates ruling at the transaction dates. Gains and losses on foreign exchange transactions are recognised in the Statement of Comprehensive Income in determining the result for the financial year. The presentation currency of the Trust is also GBP. P.
SSGA Qualified Trust
Annual Report and Audited Financial Statements for the financial year ended 30 April 2026 Notes to the Financial Statements (continued)
24 SSGA Qualified Trust
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1. Significant Accounting Policies (continued)
c) Foreign Currency (continued)
Functional and presentation currency (continued) The rates of exchange ruling at 30 April 2026 and 30 April 2025 were GBP 1=
30 April 2026 30 April 2025 EUR 1.1584 1.1750 USD 1.3589 1.3357
d) Expenses All expenses are recognised in the Statement of Comprehensive Income on an accrual basis.
e) Equity Units The Units in a Fund are classified as equity if it meets the following conditions:
• It entitles the holder to a pro rata share of the Funds’ net assets in the event of a Funds’ liquidation; • It is in the class of instruments that is subordinate to all other classes of instruments; • All financial instruments in the class of instruments that is subordinate to all other classes of instruments have identical features; • Apart from the contractual obligation for the Fund to repurchase or redeem the instrument for cash or another financial asset, the instrument does not include any other features that would require classification as a liability; and • The total expected cash flows attributable to the instrument over its life are based substantially on the profit or loss, the change in recognised net assets or the change in the fair value of the recognised and unrecognised net assets of the Fund over the life of the instrument.
Units in issue are redeemable at the Unitholder’s option and are classified as equity. The Unit is carried at the redemption amount that is payable at the Statement of Financial Position date if the holder exercises the right to put the Unit back into the Trust.
Units are issued and redeemed at the Unitholder’s option, at prices based on the relevant Fund’s NAV per Unit at the time of issue or redemption. The Funds’ NAV per Unit is calculated by dividing the net assets attributable to equity Unitholders by the total number of outstanding Units.
f) Offsetting Financial Instruments Financial assets and liabilities are offset and the net amount reported in the Statement of Financial Position when there is a legally enforceable right to offset the recognised amounts and there is an intention to settle on a net basis, or realise the asset and settle the liability simultaneously.
g) Distributions It is the intention of the Manager to declare a dividend in respect of Class B Units on each dealing day where the Fund’s leverage has decreased below an amount deemed by the Investment Manager, in its sole discretion with regard to the determining factor, to be too low. The Trust Deed permits the Manager to declare such dividends out of net income together with realised and unrealised gains less realised and unrealised losses and out of the capital of the Funds subject to such adjustments as may in the opinion of the Manager be appropriate, pursuant to the terms of the Trust Deed and which shall be paid to Unitholders by close of business on the third business day following the dealing day on which the dividend is declared. See Note 13 for further details.
h) Taxation Dividend and interest income received by the Funds may be subject to withholding tax imposed in the country of origin. Investment income is exempt from Irish income tax and capital gains taxes and is recorded gross of such taxes.
i) Cash, bank balances and bank overdrafts Cash comprises current deposits held with State Street Custodial Services (Ireland) Limited. Bank overdrafts are included as a component of cash and cash equivalents and as a characteristic of such banking arrangements the bank balance fluctuates from being positive to overdrawn.
j) Collateral
(i) Cash held with brokers for swaps contracts Cash held with brokers for swap contracts relates to margin cash held with the relevant broker.
(ii) Cash collateral pledged by the Funds Cash pledged by the Funds is recognised on the Statement of Financial Position as ‘Cash due to broker’.
SSGA Qualified Trust
Annual Report and Audited Financial Statements for the financial year ended 30 April 2026 Notes to the Financial Statements (continued)
SSGA Qualified Trust 25
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1. Significant Accounting Policies (continued)
j) Collateral (continued)
(iii) Broker cash held as collateral and Broker cash due to counterparties Broker and counterparty cash received as collateral for financial derivative instruments transactions is recorded as an asset on the Statement of Financial Position as ‘Broker cash held as collateral’, and a related liability to repay the collateral is disclosed within liabilities as ‘Broker cash due to counterparties’.
(iv) Broker cash collateral reinvested Broker cash collateral reinvested relates to cash collateral received from brokers that has been reinvested in the State Street Liquidity Public Limited Company – State Street GBP Liquidity LVNAV Fund.
(v) Non-cash collateral received Non-cash collateral received by the Funds (if any) does not form part of the NAV of the Fund and is recorded at the base of each relevant Fund’s Schedule of Investments for reference purposes only.
(vi) Non-cash collateral pledged Non-cash collateral pledged by the Funds (if any) does not form part of the NAV of the Fund and is recorded at the base of each relevant Fund’s Schedule of Investments for reference purposes only. 2. Operating income
30 April 2026 State Street LDI Leveraged Conventional Gilt 2040 Fund GBP
State Street LDI Leveraged Conventional Gilt 2060 Fund 1 GBP
State Street LDI Leveraged Conventional Gilt 2068 Fund GBP
State Street LDI Leveraged Index Linked Gilt 2032 Fund 2 GBP
State Street LDI Leveraged Index Linked Gilt 2042 Fund 1 GBP
Dividend income - - - 222 Interest income 755,593 64,428 552,258 134,689 72,329
755,593 64,428 552,258 134,911 72,329
State Street LDI Leveraged Index Linked Gilt 2055 Fund 2 GBP
State Street LDI Leveraged Index Linked Gilt 2062 Fund 1 GBP
State Street LDI Leveraged UK Inflation Rate Swap 2030 Fund GBP
Dividend income 27 - Interest income 99,962 58,654 57,429
99,989 58,654 57,429
1 The Fund closed on 12 September 2025. 2 The Fund closed on 21 November 2025.
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Annual Report and Audited Financial Statements for the financial year ended 30 April 2026 Notes to the Financial Statements (continued)
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2. Operating income (continued)
30 April 2025 State Street LDI Leveraged Conventional Gilt 2040 Fund GBP
SSGA LDI Leveraged Conventional Gilt 2049 Fund 3 GBP
State Street LDI Leveraged Conventional Gilt 2060 Fund GBP
State Street LDI Leveraged Conventional Gilt 2068 Fund GBP
State Street LDI Leveraged Index Linked Gilt 2032 Fund GBP
Dividend income 545 - - 386 Interest income 2,172,631 734,825 403,801 553,297 314,570
2,173,176 734,825 403,801 553,683 314,570
State Street LDI Leveraged Index Linked Gilt 2042 Fund GBP
State Street LDI Leveraged Index Linked Gilt 2055 Fund GBP
State Street LDI Leveraged Index Linked Gilt 2062 Fund GBP
SSGA LDI Leveraged Index Linked Gilt 2068 Fund 3 GBP
SSGA LDI Leveraged UK Inflation Rate Swap 2025 Fund 1 GBP
Interest income 366,901 127,186 116,147 47,643 15,639
366,901 127,186 116,147 47,643 15,639
State Street LDI Leveraged UK Inflation Rate Swap 2030 Fund GBP
State Street Target Leverage Cash Fund 2 GBP
State Street Target Leverage Nominal Rate Short LDI Fund 2 GBP
State Street Target Leverage Real Rate Short LDI Fund 2 GBP
Dividend income 15,256 - - Interest income 55,471 12,924 147,114 108,015
70,727 12,924 147,114 108,015
1 The Fund fully redeemed and closed on 17 July 2024. 2 The Fund closed on 26 July 2024. 3 The Fund closed on 11 April 2025.
3. Net (loss)/gain on financial assets and liabilities at fair value through profit and loss
30 April 2026
State Street LDI Leveraged Conventional Gilt 2040 Fund GBP
State Street LDI Leveraged Conventional Gilt 2060 Fund 1 GBP
State Street LDI Leveraged Conventional Gilt 2068 Fund GBP
State Street LDI Leveraged Index Linked Gilt 2032 Fund 2 GBP
State Street LDI Leveraged Index Linked Gilt 2042 Fund 1 GBP
Realised (loss)/gain on sale of investments (2,341,524) (790,970) (287,689) 1,422,751 1,216,972 Net change in unrealised appreciation/(depreciation) on investments 1,488,046 617,543 (1,092,699) (1,578,973) (1,329,265)
Net loss on financial assets and liabilities at fair value through profit or loss (853,478) (173,427) (1,380,388) (156,222) (112,293)
SSGA Qualified Trust
Annual Report and Audited Financial Statements for the financial year ended 30 April 2026 Notes to the Financial Statements (continued)
SSGA Qualified Trust 27
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3. Net (loss)/gain on financial assets and liabilities at fair value through profit and loss (continued)
30 April 2026 (continued)
State Street LDI Leveraged Index Linked Gilt 2055 Fund 2 GBP
State Street LDI Leveraged Index Linked Gilt 2062 Fund 1 GBP
State Street LDI Leveraged UK Inflation Rate Swap 2030 Fund GBP
Realised (loss)/gain on sale of investments (893,651) (770,050) 201,902 Net change in unrealised appreciation on investments 759,123 640,878 544,555
Net (loss)/gain on financial assets and liabilities at fair value through profit or loss (134,528) (129,172) 746,457
1 The Fund closed on 12 September 2025. 2 The Fund closed on 21 November 2025.
30 April 2025
State Street LDI Leveraged Conventional Gilt 2040 Fund GBP
SSGA LDI Leveraged Conventional Gilt 2049 Fund 3 GBP
State Street LDI Leveraged Conventional Gilt 2060 Fund GBP
State Street LDI Leveraged Conventional Gilt 2068 Fund GBP
State Street LDI Leveraged Index Linked Gilt 2032 Fund GBP
Realised loss on sale of investments (5,438,539) (3,041,604) (3,378,791) (2,300,981) (2,170,601) Net change in unrealised appreciation on investments 2,133,258 1,441,475 2,496,490 490,386 1,035,403
Net loss on financial assets and liabilities at fair value through profit or loss (3,305,281) (1,600,129) (882,301) (1,810,595) (1,135,198)
State Street LDI Leveraged Index Linked Gilt 2042 Fund GBP
State Street LDI Leveraged Index Linked Gilt 2055 Fund GBP
State Street LDI Leveraged Index Linked Gilt 2062 Fund GBP
SSGA LDI Leveraged Index Linked Gilt 2068 Fund 3 GBP
SSGA LDI Leveraged UK Inflation Rate Swap 2025 Fund 1 GBP
Realised (loss)/gain on sale of investments (2,607,039) (1,598,743) (1,322,098) (834,234) 1,921,474 Net change in unrealised appreciation/(depreciation) on investments 1,332,981 791,432 746,694 615,323 (2,102,491)
Net loss on financial assets and liabilities at fair value through profit or loss (1,274,058) (807,311) (575,404) (218,911) (181,017)
SSGA Qualified Trust
Annual Report and Audited Financial Statements for the financial year ended 30 April 2026 Notes to the Financial Statements (continued)
28 SSGA Qualified Trust
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3. Net (loss)/gain on financial assets and liabilities at fair value through profit and loss (continued)
30 April 2025 (continued) State Street LDI Leveraged UK Inflation Rate Swap 2030 Fund GBP
State Street Target Leverage Cash Fund 2 GBP
State Street Target Leverage Nominal Rate Short LDI Fund 2 GBP
State Street Target Leverage Real Rate Short LDI Fund 2 GBP
Realised gain/(loss) on sale of investments 170,870 124,628 (1,322,349) (1,995,082) Net change in unrealised (depreciation)/appreciation on investments (808,011) (90,800) 1,307,012 1,933,233
Net (loss)/gain on financial assets and liabilities at fair value through profit or loss (637,141) 33,828 (15,337) (61,849)
1 The Fund fully redeemed and closed on 17 July 2024. 2 The Fund closed on 26 July 2024. 3 The Fund closed on 11 April 2025.
4. Significant Agreements
Management and investment management fees Neither the Manager nor the Investment Manager will be paid any fees out of the assets of the Funds. However, both will be entitled (subject to the maximum expense ratio of 0.05%) to reimbursement of all reasonable out-of-pocket expenses incurred for the benefit of the Funds out of the assets of the Funds, in respect of which such charges and expenses were incurred in the performance of their respective obligations.
Depositary and administration fees, and operating expenses Depositary and administration fees and reasonable out-of-pocket expenses as well as operating expenses will be paid out of the assets of each Fund, subject to a combined annual rate not to exceed 0.05% (the maximum expense ratio) of the NAV of each Fund, which will accrue daily and be payable monthly in arrears at the end of each calendar month. Any fees and expenses in excess of the maximum expense ratio will be borne by the Investment Manager.
The above fee structure applies to all Funds with the exception of the dormant Funds listed on page 3.
During the financial year, fixed fees amounting to GBP 8,234 (30 April 2025: GBP 27,913) were paid to the Manager, of which GBP 366 (30 April 2025: GBP 1,086) remained payable at the financial year end.
The audit fee for the financial year ended 30 April 2026 for all funds (including out of pocket expenses) is GBP 49,033 (30 April 2025: GBP 83,047) which is net of VAT. Non-audit fees for the financial year ended 30 April 2026 for all Funds is GBP Nil (30 April 2025: GBP Nil).
Other fees amounting to GBP 2,000 (30 April 2025: GBP Nil) were paid, of which GBP Nil remained payable at the financial year end (30 April 2025: GBP Nil).
Anti-dilution levy The Manager may operate an anti-dilution levy in respect of each of the Funds. In calculating the subscription/ redemption price for Units in the Funds, the Manager or its delegate may on any dealing day when there are net subscriptions/ redemptions adjust the subscription/ redemption price by adding/ deducting an anti-dilution levy to cover any and all dealing costs and to preserve the value of the underlying assets of the Funds.
5. Cash and bank balances All cash and bank balances are held with State Street Custodial Services (Ireland) Limited with the exception of cash held with brokers for swap contracts and broker cash held as collateral for financial derivative instruments which are disclosed in a footnote on the Schedules of Investments of the relevant Fund.
SSGA Qualified Trust
Annual Report and Audited Financial Statements for the financial year ended 30 April 2026 Notes to the Financial Statements (continued)
SSGA Qualified Trust 29
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6. Debtors
30 April 2026 State Street LDI Leveraged Conventional Gilt 2040 Fund GBP
State Street LDI Leveraged Conventional Gilt 2060 Fund 1 GBP
State Street LDI Leveraged Conventional Gilt 2068 Fund GBP
State Street LDI Leveraged Index Linked Gilt 2032 Fund 2 GBP
State Street LDI Leveraged Index Linked Gilt 2042 Fund 1 GBP
Interest receivable 36,855 - 158,832 - Other Debtors - 452 - - -
36,855 452 158,832 - -
State Street LDI Leveraged Index Linked Gilt 2055 Fund 2 GBP
State Street LDI Leveraged Index Linked Gilt 2062 Fund 1 GBP
State Street LDI Leveraged UK Inflation Rate Swap 2030 Fund GBP
Dividend receivable - - 8,625
- - 8,625
1 The Fund closed on 12 September 2025. 2 The Fund closed on 21 November 2025.
30 April 2025 State Street LDI Leveraged Conventional Gilt 2040 Fund GBP
SSGA LDI Leveraged Conventional Gilt 2049 Fund 3 GBP
State Street LDI Leveraged Conventional Gilt 2060 Fund GBP
State Street LDI Leveraged Conventional Gilt 2068 Fund GBP
State Street LDI Leveraged Index Linked Gilt 2032 Fund GBP
Interest receivable 395,288 - 38,032 151,273 20,212 Receivable for securities sold 1,390,251 ----
1,785,539 - 38,032 151,273 20,212
State Street LDI Leveraged Index Linked Gilt 2042 Fund GBP
State Street LDI Leveraged Index Linked Gilt 2055 Fund GBP
State Street LDI Leveraged Index Linked Gilt 2062 Fund GBP
SSGA LDI Leveraged Index Linked Gilt 2068 Fund 3 GBP
SSGA LDI Leveraged UK Inflation Rate Swap 2025 Fund 1 GBP
Interest receivable 6,321 13,038 764 - -
6,321 13,038 764 - -
SSGA Qualified Trust
Annual Report and Audited Financial Statements for the financial year ended 30 April 2026 Notes to the Financial Statements (continued)
30 SSGA Qualified Trust
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6. Debtors (continued)
30 April 2025 (continued)
State Street LDI Leveraged UK Inflation Rate Swap 2030 Fund GBP
State Street Target Leverage Cash Fund 2 GBP
State Street Target Leverage Nominal Rate Short LDI Fund 2 GBP
State Street Target Leverage Real Rate Short LDI Fund 2 GBP
Receivable for securities sold 36,527 - - Dividend receivable 15,256 - - -
51,783 - - -
1 The Fund fully redeemed and closed on 17 July 2024. 2 The Fund closed on 26 July 2024. 3 The Fund closed on 11 April 2025.
7. Creditors (amounts falling due within one year)
30 April 2026 State Street LDI Leveraged Conventional Gilt 2040 Fund GBP
State Street LDI Leveraged Conventional Gilt 2060 Fund 1 GBP
State Street LDI Leveraged Conventional Gilt 2068 Fund GBP
State Street LDI Leveraged Index Linked Gilt 2032 Fund 2 GBP
State Street LDI Leveraged Index Linked Gilt 2042 Fund 1 GBP
Interest payable (4,192) (657) (59,511) - Fixed fee payable (47) - (188) - -
(4,239) (657) (59,699) - -
State Street LDI Leveraged Index Linked Gilt 2055 Fund 2 GBP
State Street LDI Leveraged Index Linked Gilt 2062 Fund 1 GBP
State Street LDI Leveraged UK Inflation Rate Swap 2030 Fund GBP
Fixed fee payable - - (131)
- - (131)
1 The Fund closed on 12 September 2025. 2 The Fund closed on 21 November 2025.
SSGA Qualified Trust
Annual Report and Audited Financial Statements for the financial year ended 30 April 2026 Notes to the Financial Statements (continued)
SSGA Qualified Trust 31
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7. Creditors (amounts falling due within one year) (continued)
30 April 2025 State Street LDI Leveraged Conventional Gilt 2040 Fund GBP
SSGA LDI Leveraged Conventional Gilt 2049 Fund 3 GBP
State Street LDI Leveraged Conventional Gilt 2060 Fund GBP
State Street LDI Leveraged Conventional Gilt 2068 Fund GBP
State Street LDI Leveraged Index Linked Gilt 2032 Fund GBP
Interest payable (58,033) - (20,865) (20,264) (2,284) Fixed fee payable (296) (20) (78) (206) (97)
(58,329) (20) (20,943) (20,470) (2,381)
State Street LDI Leveraged Index Linked Gilt 2042 Fund GBP
State Street LDI Leveraged Index Linked Gilt 2055 Fund GBP
State Street LDI Leveraged Index Linked Gilt 2062 Fund GBP
SSGA LDI Leveraged Index Linked Gilt 2068 Fund 3 GBP
SSGA LDI Leveraged UK Inflation Rate Swap 2025 Fund 1 GBP
Interest payable (855) (678) (278) - Fixed fee payable (66) (60) (44) (5) -
(921) (738) (322) (5) -
State Street LDI Leveraged UK Inflation Rate Swap 2030 Fund GBP
State Street Target Leverage Cash Fund 2 GBP
State Street Target Leverage Nominal Rate Short LDI Fund 2 GBP
State Street Target Leverage Real Rate Short LDI Fund 2 GBP
Fixed fee payable (214) - - -
(214) - - -
1 The Fund fully redeemed and closed on 17 July 2024. 2 The Fund closed on 26 July 2024. 3 The Fund closed on 11 April 2025.
8. Units in Issue
Fund
Unit Class
1 May 2025 Units in Issue Subscriptions Redemptions
30 April 2026 Units in Issue State Street LDI Leveraged Conventional Gilt 2040 Fund Class B 57,001,023 - (51,923,439) 5,077,584 State Street LDI Leveraged Conventional Gilt 2060 Fund 1 Class B 7,717,441 - (7,717,441) State Street LDI Leveraged Conventional Gilt 2068 Fund Class B 41,973,494 8,853,014 - 50,826,508 State Street LDI Leveraged Index Linked Gilt 2032 Fund 2 Class B 4,429,238 - (4,429,238) State Street LDI Leveraged Index Linked Gilt 2042 Fund 1 Class B 69,662,430 8,533,061 (78,195,491) State Street LDI Leveraged Index Linked Gilt 2055 Fund 2 Class B 42,201,594 - (42,201,594) State Street LDI Leveraged Index Linked Gilt 2062 Fund 1 Class B 93,631,322 - (93,631,322) State Street LDI Leveraged UK Inflation Rate Swap 2030 Fund Class B 1,110,708 - (377,525) 733,183 1 The Fund closed on 12 September 2025. 2 The Fund closed on 21 November 2025.
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8. Units in Issue (continued)
Fund
Unit Class
1 May 2024 Units in Issue Subscriptions Redemptions
30 April 2025 Units in Issue State Street LDI Leveraged Conventional Gilt 2040 Fund Class B 140,579,848 18,885,567 (102,464,392) 57,001,023 SSGA LDI Leveraged Conventional Gilt 2049 Fund 3 Class B 66,936,782 8,494,599 (75,431,381) State Street LDI Leveraged Conventional Gilt 2060 Fund Class B 34,713,661 10,177,760 (37,173,980) 7,717,441 State Street LDI Leveraged Conventional Gilt 2068 Fund Class B 34,272,877 29,217,026 (21,516,409) 41,973,494 State Street LDI Leveraged Index Linked Gilt 2032 Fund Class B 30,024,672 8,285,014 (33,880,448) 4,429,238 State Street LDI Leveraged Index Linked Gilt 2042 Fund Class B 367,691,098 106,956,276 (404,984,944) 69,662,430 State Street LDI Leveraged Index Linked Gilt 2055 Fund Class B 73,660,820 42,201,594 (73,660,820) 42,201,594 State Street LDI Leveraged Index Linked Gilt 2062 Fund Class B 168,317,341 93,631,322 (168,317,341) 93,631,322 SSGA LDI Leveraged Index Linked Gilt 2068 Fund 3 Class B 18,068,582 1,354,531 (19,423,113) SSGA LDI Leveraged UK Inflation Rate Swap 2025 Fund 1 Class B 1,760,021 - (1,760,021) State Street LDI Leveraged UK Inflation Rate Swap 2030 Fund Class B 890,700 220,008 - 1,110,708 State Street Target Leverage Cash Fund 2 Class B 2,993,109 1,353,059 (4,346,168) State Street Target Leverage Nominal Rate Short LDI Fund 2 Class B 2,693,169 1,251,815 (3,944,984) State Street Target Leverage Real Rate Short LDI Fund 2 Class B 1,504,180 876,311 (2,380,491) 1 The Fund fully redeemed and closed on 17 July 2024. 2 The Fund closed on 26 July 2024. 3 The Fund closed on 11 April 2025.
9. Taxation Under current law and practice, the Trust qualifies as an investment undertaking as defined in Section 739B of the Taxes Consolidation Act, 1997, as amended. It is not chargeable to Irish tax on its income or capital gains.
However, Irish tax can arise on the happening of a chargeable event in the Trust. A chargeable event includes any distribution payments to Unitholders or any encashment, redemption, transfer or cancellation of Units and the holding of Units at the end of each eight year period beginning with the acquisition of such Units. No Irish tax will arise on the Trust in respect of chargeable events in respect of a Unitholder who is an exempt Irish investor (as defined in Section 739D of the Taxes Consolidation Act, 1997, as amended) or who is neither Irish resident nor ordinarily resident in Ireland for tax purposes at the time of the chargeable event, provided, in each case, that an appropriate valid declaration in accordance with Schedule 2B of the Taxes Consolidation Act, 1997 (as amended) is held by the Trust or the Trust has been authorised by the Irish Revenue to make gross payments in the absence of appropriate declarations.
Capital gains, dividends, and interest received by the Trust may be subject to withholding taxes imposed by the country of origin and such taxes may not be recoverable by the Trust or its Unitholders.
The Minimum Tax Directive provides for a European Union wide implementation of the Organisation for Economic Cooperation and Development (“OECD”) Inclusive Framework on Base Erosion Profit Shifting (“BEPS”) Pillar Two rules. The Pillar Two legislation was enacted in Ireland and is effective for the financial year beginning 1 January 2024. The Trust meets the definition of an investment entity under the BEPS Pillar Two rules, and the clause within it that seeks to protect the tax neutrality of investment funds. This excludes the Trust from quantitative disclosures under the BEPS Pillar Two requirement along with the Qualified Domestic Minimum Top-up Tax (“QDMTT”) requirement. 10. Transactions with Related Parties FRS 102 “Related Party Transactions” requires the disclosure of information relating to material transactions with parties who are deemed to be related to the reporting entity. The following parties are related to the Funds as at 30 April 2026:
Manager, Investment Manager, AIFM and Global Distributor State Street Global Advisors Europe Limited Sub Investment Manager and Sub Distributor State Street Global Advisors Limited Administrator/Transfer Agent/Registrar State Street Fund Services (Ireland) Limited Depositary/Trustee State Street Custodial Services (Ireland) Limited Directors of the Manager, AIFM, Investment Manager and Global Distributor
Eric Linnane, Ann Prendergast, Nigel Wightman, Scott Sanderson, Margaret Cullen, Patrick Mulvihill and Marie Anne Heeren.
Ann Prendergast is an Executive Vice President and Head of the Europe, Middle East and Africa (EMEA) region for State Street Investment Management (State Street IM).
Marie-Anne Heeren is an Executive Vice President, Head of Europe Client Coverage Group, State Street IM, and Branch Manager of State Street Global Advisors Europe Limited’s Belgian Branch.
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Annual Report and Audited Financial Statements for the financial year ended 30 April 2026 Notes to the Financial Statements (continued)
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10. Transactions with Related Parties (continued) Eric Linnane is a Managing Director and Head of State Street IM Europe Investment Operations.
Scott Sanderson is a Managing Director and the Chief Financial Officer (CFO) for State Street IM in EMEA.
Fees of the Investment Manager, Manager, Depositary and Administrator are as disclosed in Note 4.
For the dormant funds, the Management Company will pay any expenses arising which have not been accrued for within the Funds.
The following Funds have significant Unitholders (i.e. in excess of 20%) as at 30 April 2026 and 30 April 2025:
Fund
30 April 2026 Holdings
30 April 2025 Holdings State Street LDI Leveraged Conventional Gilt 2040 Fund 100% 46% & 54% State Street LDI Leveraged Conventional Gilt 2060 Fund 1 - 100% State Street LDI Leveraged Conventional Gilt 2068 Fund 35% & 65% 35% & 65% State Street LDI Leveraged Index Linked Gilt 2032 Fund 2 - 32% & 68% State Street LDI Leveraged Index Linked Gilt 2042 Fund 1 - 100% State Street LDI Leveraged Index Linked Gilt 2055 Fund 2 - 100% State Street LDI Leveraged Index Linked Gilt 2062 Fund 1 - 100% State Street LDI Leveraged UK Inflation Rate Swap 2030 Fund 100% 100%
1 The Fund closed on 12 September 2025. 2 The Fund closed on 21 November 2025.
As at 30 April 2026 and 30 April 2025 a number of the Funds invest into State Street Liquidity Public Limited Company, which is a related party to the Trust as it has the same Investment Manager and Sub-Investment Manager. In line with AIFMD, State Street Liquidity Public Limited Company’s financial statements for the financial year ended 30 April 2026 have been included as an Appendix to these financial statements as a number of the Funds within the Trust hold investments with a value greater than 50% of their net asset value in State Street Liquidity Public Limited Company.
The following table details the holdings and fair value of State Street Liquidity Public Limited Company, State Street GBP Liquidity LVNAV Fund at 30 April 2026 as well as the purchases and sales of the security during the financial year ended 30 April 2026.
Fund
30 April 2026 Holding
Fair Value GBP
Purchases GBP
Sales GBP State Street LDI Leveraged Conventional Gilt 2040 Fund 25,461 25,461 1,192,964 (1,198,230) State Street LDI Leveraged Conventional Gilt 2060 Fund 1 - - 71,035 (124,071) State Street LDI Leveraged Conventional Gilt 2068 Fund 61,410 61,410 1,618,777 (1,605,919) State Street LDI Leveraged Index Linked Gilt 2032 Fund 2 - - 548,230 (589,833) State Street LDI Leveraged Index Linked Gilt 2042 Fund 1 - - 91,928 (106,581) State Street LDI Leveraged Index Linked Gilt 2055 Fund 2 - - 15,636 (27,523) State Street LDI Leveraged Index Linked Gilt 2062 Fund 1 - - 1,077 (16,150) State Street LDI Leveraged UK Inflation Rate Swap 2030 Fund 2,905,994 2,905,994 5,110,133 (6,282,318)
1 The Fund closed on 12 September 2025. 2 The Fund closed on 21 November 2025.
The following table details the holdings and fair value of State Street Liquidity Public Limited Company, State Street GBP Liquidity LVNAV Fund at 30 April 2025 as well as the purchases and sales of the security during the financial year ended 30 April 2025.
Fund
30 April 2025 Holding
Fair Value GBP
Purchases GBP
Sales GBP State Street LDI Leveraged Conventional Gilt 2040 Fund 30,727 30,727 12,789,882 (12,904,105) SSGA LDI Leveraged Conventional Gilt 2049 Fund 3 - - 2,733,906 (2,784,723) State Street LDI Leveraged Conventional Gilt 2060 Fund 53,036 53,036 4,279,339 (4,255,130) State Street LDI Leveraged Conventional Gilt 2068 Fund 48,552 48,552 4,402,022 (4,405,720) State Street LDI Leveraged Index Linked Gilt 2032 Fund 41,603 41,603 3,572,779 (3,596,681) State Street LDI Leveraged Index Linked Gilt 2042 Fund 14,653 14,653 2,102,084 (2,146,979)
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10. Transactions with Related Parties (continued)
Fund
30 April 2025 Holding
Fair Value GBP
Purchases GBP
Sales GBP State Street LDI Leveraged Index Linked Gilt 2055 Fund 11,887 11,887 1,367,800 (1,390,177) State Street LDI Leveraged Index Linked Gilt 2062 Fund 15,073 15,073 910,773 (928,853) SSGA LDI Leveraged Index Linked Gilt 2068 Fund 3 - - 165,486 (175,374) SSGA LDI Leveraged UK Inflation Rate Swap 2025 Fund 1 - - 691,493 (3,490,942) State Street LDI Leveraged UK Inflation Rate Swap 2030 Fund 4,078,179 4,078,179 4,604,085 (4,717,676) State Street Target Leverage Cash Fund 2 - - 1,499,368 (4,867,809) State Street Target Leverage Nominal Rate Short LDI Fund 2 - - 809,423 (1,126,561) State Street Target Leverage Real Rate Short LDI Fund 2 - - 1,048,461 (1,726,764)
1 The Fund fully redeemed and closed on 17 July 2024. 2 The Fund closed on 26 July 2024. 3 The Fund became dormant on 13 April 2025.
As at 30 April 2026, the Funds reinvested cash collateral received from brokers into the State Street GBP Liquidity LVNAV Fund:
Fund
30 April 2026 Holding
Purchases GBP
Sales GBP State Street LDI Leveraged Conventional Gilt 2040 Fund 732 30 State Street LDI Leveraged Conventional Gilt 2068 Fund 3,644 147 State Street LDI Leveraged Index Linked Gilt 2042 Fund 3 - 2 (103) State Street LDI Leveraged Index Linked Gilt 2055 Fund 4 - 4 (160) SSGA LDI Leveraged UK Real Rate Swap 2045 Fund 1 6,719 271 State Street Target Leverage Nominal Rate Long LDI Fund 2 3,691 149 State Street Target Leverage Real Rate Long LDI Fund 2 3,250 131 -
1 The Fund became dormant on 10 February 2021. 2 The Fund became dormant on 28 June 2023. 3 The Fund closed on 12 September 2025. 4 The Fund closed on 21 November 2025.
As at 30 April 2025, the Funds reinvested cash collateral received from brokers into the State Street GBP Liquidity LVNAV Fund:
Fund
30 April 2025 Holding
Purchases GBP
Sales GBP State Street LDI Leveraged Conventional Gilt 2040 Fund 702 34 SSGA LDI Leveraged Conventional Gilt 2049 Fund 4 - 674 (13,844) State Street LDI Leveraged Conventional Gilt 2068 Fund 3,497 170 State Street LDI Leveraged Index Linked Gilt 2042 Fund 102 5 State Street LDI Leveraged Index Linked Gilt 2055 Fund 156 8 SSGA LDI Leveraged Index Linked Gilt 2068 Fund 3 - 6 (118) SSGA LDI Leveraged UK Real Rate Swap 2045 Fund 1 6,448 314 State Street Target Leverage Nominal Rate Short LDI Fund 3 - 229 (13,767) State Street Target Leverage Nominal Rate Long LDI Fund 2 3,542 173 State Street Target Leverage Real Rate Short LDI Fund 3 - 86 (6,592) State Street Target Leverage Real Rate Long LDI Fund 2 3,119 152 -
1 The Fund became dormant on 10 February 2021. 2 The Fund became dormant on 28 June 2023. 3 The Fund closed on 26 July 2024. 4 The Fund closed on 11 April 2025.
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10. Transactions with Related Parties (continued) State Street UK Pension and Life Assurance Scheme held units in the following Funds at 30 April 2026 and 30 April 2025:
Fund
30 April 2026 Holding
30 April 2025 Holding State Street LDI Leveraged Conventional Gilt 2068 Fund 64.68% 64.68% State Street LDI Leveraged Index Linked Gilt 2032 Fund 1 - 31.91% State Street LDI Leveraged UK Inflation Rate Swap 2030 Fund 100% 100.00%
1 The Fund closed on 21 November 2025. 11. Financial Risk Management State Street Global Advisors Europe Limited is responsible for managing the assets and investments of the Funds of the Trust in accordance with the investment objectives, guidelines and policies set forth in the Prospectus and Supplements.
State Street Global Advisors Europe Limited has implemented a framework reasonably designed to identify key risks to the Trust and to respond to such risks, as appropriate. The risk management systems of the Trust are comprised of relevant elements of its organisational structure, with a central role for a permanent risk management function, policies and procedures related to the management of risk relevant to each of the Funds’ investment strategy, and arrangements, processes and techniques related to risk measurement and management employed by the Trust in relation to each of the Funds.
State Street Global Advisors Europe Limited has adopted a Risk Management Process ( RMP ) which is considered adequate given the nature, scale and complexity of the activities of the Trust which identifies and addresses all of the material risks which have been identified for the Funds, with a particular emphasis being placed on market, liquidity and credit and counterparty risks and the exposure of the Funds to all other relevant risks, including operational risks, which may be material for each Fund. The RMP addresses the tools and techniques used for the management of the risks that the Funds are or may be exposed to the allocation of responsibilities within the Trust for risk management and the reporting requirements of the permanent risk management function.
Strategy in using Financial Instruments State Street Global Advisors Limited acts as the Sub-Investment Manager to the Trust pursuant to the investment management agreement.
The detailed investment objectives and policies of the Trust are set out in the Prospectus and Supplements. In pursuing their investment objectives, the Funds are exposed to a variety of financial risks: market risk (including market price risk, interest rate risk and foreign currency risk), credit risk and liquidity risk that could result in a reduction in the Funds’ net assets. The Trust’s overall risk management program focuses on the unpredictability of financial markets and seeks to minimise potential adverse effects on the Funds’ financial performance.
The risks and the Sub-Investment Manager’s approach to the management of the risks are detailed below.
Market Risk The Trust’s market risk is affected by three main components: changes in inflation rates, interest rates and foreign currency movements.
Market Price Risk Market price risk is the risk that the fair value or future cash flows of a financial instrument will fluctuate because of changes in market prices. The Funds aim to provide pension fund investors with a method of managing some of the risks associated with the interest rate and inflation fluctuations inherent within their underlying liabilities. The Funds are therefore not specifically correlated to any specific Index and it is therefore not possible to provide any accurate measure of the effect of general market performance on the performance of the Funds.
Inflation Rate Risk Inflation rate risk is the risk that the fair value or the future cash flows of a financial instrument will fluctuate because of changes in inflation expectations. The Funds are exposed to inflation rate risk through investments in derivatives linked to inflation rates.
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11. Financial Risk Management (continued)
Inflation Rate Risk (continued) The following Funds are affected by movements in inflation rates. The below analysis details the approximate impact that a 1 basis point ( bps ) movement in inflation rates would have had on the net assets attributable to equity Unitholders at 30 April 2026 and 30 April 2025:
1 bps Change in Inflation Rates GBP
1 bps Change in Inflation Rates GBP Fund 30 April 2026 30 April 2025 State Street LDI Leveraged Index Linked Gilt 2032 Fund 2 - 2,640 State Street LDI Leveraged Index Linked Gilt 2042 Fund 1 - 2,978 State Street LDI Leveraged Index Linked Gilt 2055 Fund 2 - 4,537 State Street LDI Leveraged Index Linked Gilt 2062 Fund 1 - 3,562 State Street LDI Leveraged UK Inflation Rate Swap 2030 Fund 7,119 12,876
1 The Fund closed on 12 September 2025. 2 The Fund closed on 21 November 2025.
Interest Rate Risk Interest rate risk is the risk that the fair value or the future cash flows of a financial instrument will fluctuate because of changes in the prevailing interest rates. Interest rate risk is managed and monitored in accordance with the investment objective of the Funds allowing for appropriate level of yield/interest rate buffer to mitigate solvency risk concerns. In addition, a variety of stress tests, encompassing both historical and theoretical market and economic scenarios, are conducted regularly by the Investment Risk team and are reported to the Portfolio Management teams. The Funds are exposed to interest rate risk through investments in interest bearing securities and derivatives linked to interest rates. All of the Government Bonds and Inflation Linked Bonds detailed in the Schedules of Investments are fixed income securities. Repurchase agreements are short term in nature and as such are not exposed to a significant interest rate risk.
The following analysis details the approximate impact that a 1 bps movement in interest rates would have had on the net assets attributable to equity Unitholders at 30 April 2026 and 30 April 2025: 1 bps Change in Interest Rates GBP
1 bps Change in Interest Rates GBP Fund 30 April 2026 30 April 2025 State Street LDI Leveraged Conventional Gilt 2040 Fund (1,945) (23,186) State Street LDI Leveraged Conventional Gilt 2060 Fund 1 - (4,652) State Street LDI Leveraged Conventional Gilt 2068 Fund (19,254) (21,593) State Street LDI Leveraged Index Linked Gilt 2032 Fund 2 - (2,430) State Street LDI Leveraged Index Linked Gilt 2042 Fund 1 - (2,958) State Street LDI Leveraged Index Linked Gilt 2055 Fund 2 - (4,580) State Street LDI Leveraged Index Linked Gilt 2062 Fund 1 - (3,619) State Street LDI Leveraged UK Inflation Rate Swap 2030 Fund (31) 290
1 The Fund closed on 12 September 2025. 2 The Fund closed on 21 November 2025.
Foreign Currency Risk Foreign Currency risk is the risk that the fair value or future cash flows of a financial instrument will fluctuate because of changes in foreign exchange rates.
The majority of the Trust’s assets, liabilities and income are denominated in GBP, P, the functional currency. The Trust, therefore, was not exposed to significant foreign currency risk during the financial year.
Credit Risk The Funds take on exposure to credit risk, which is the risk that a counterparty or issuer will be unable to pay amounts in full when due. It comprises:
- the risk that cash, which with the exception of cash collateral and margin cash held with the relevant counterparty to the Funds may be lost; and
- the risk that counterparties may fail to pay for securities received from the Trust, to deliver securities paid for by the Trust or to meet their obligations under derivative contracts.
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11. Financial Risk Management (continued)
Credit Risk (continued) The Trust’s Depositary is State Street Custodial Services (Ireland) Limited. Bankruptcy or insolvency of the Depositary, or of its parent company, State Street Corporation, may cause the Trust’s rights with respect to investments held by the Trust to be delayed or limited. The Depositary will ensure that any agents it appoints to assist in safekeeping the assets of the Funds will segregate the assets of the Funds, with the exception of cash. Cash cannot be registered in the name of, or identified as beneficially owned by a client, nor can it practically be held in physical segregation. Thus in the event of insolvency or backruptcy of the Depositary, the Funds’ assets are segregated and protected and this further reduces counterparty risk. The Funds will, however, be exposed to the risk of the Depositary or certain depositories used by the Depositary, in relation to the Funds’ cash held by the Depositary. In the event of insolvency or bankruptcy of the Depositary, the Fund will be treated as a general creditor of the Depositary in relation to cash holdings of the Funds.
Cash and securities may be held with counterparties for derivative contracts as collateral.
The maximum exposure to credit risk at 30 April 2026 is the total value of investments and cash disclosed in the Statement of Financial Position. At 30 April 2026, State Street Corporation had a long term credit rating of A by Standard & Poor’s (2025: A).
The Funds are also subject to credit risk with respect to the counterparties with which they enter into derivatives contracts. If a counterparty becomes insolvent or otherwise fails to perform its obligations, the Funds may experience significant delays in obtaining any recovery in an insolvency, bankruptcy, or other reorganisation proceeding and may obtain only a limited recovery or no recovery.
Counterparties to the swap contracts are selected by the Investment Manager, based on their knowledge of the markets, the level of service and their financial positions, and reviewed on an on-going basis by the Investment Manager’s Credit Risk Team. The counterparties to the swaps are required under the terms of the relevant swap agreements to provide collateral to the Fund so that the risk exposure to the approved counterparty is reduced to the extent required by the Central Bank.
All transactions are settled/paid for upon delivery using approved counterparties. All counterparties have to be approved before the Trust’s Investment Manager may deal with them. The risk of default by brokers is considered minimal, as delivery of securities sold is only made once the broker has received payment. Payment is made on a purchase once the securities have been received by the approved counterparty. For these reasons, the Investment Manager considers that the risk that approved counterparties will fail to discharge their obligations to the Trust is low. The counterparties to the swaps and the collateral held is detailed on the relevant Fund’s Schedule of Investments.
In accordance with the Trust’s policy, the Investment Manager monitors the Trust’s credit position on a daily basis. The Directors of the Manager review it on a quarterly basis.
At 30 April 2026 and 30 April 2025, the counterparties to the various derivative contracts and its associated long term credit rating were BNP Paribas A+ (2025: A+), CIBC World Markets - (2025: A+), Citigroup Global Markets - (2025: A+), Credit Agricole A+ (2025: A+), Goldman Sachs A+ (2025: A+), Lloyds Bank A+ (2025: A+), Merrill Lynch A+ (2025: -), National Australia Bank AA- (2025: AA-), Societe Generale - (2025: A) and Standard Chartered Bank - (2025: A+).
The collateral for the swap contracts is held with State Street Custodial Services (Ireland) Limited either as UK Treasury Bills with a minimum credit rating of Aa2/AA or invested in the State Street GBP Liquidity LVNAV Fund wherever practicable.
30 April 2026
State Street LDI Leveraged Conventional Gilt 2040 Fund
Counterparty
Fair value of OTC Derivatives GBP
Cash Collateral Pledged/(Received) GBP
Net amount GBP
% of Net Assets
Credit Agricole (815,497) - (815,497) (152.04) Merrill Lynch (359,233) - (359,233) (66.98) National Australia Bank (275,433) - (275,433) (51.35)
Total (1,450,163) - (1,450,163) (270.37)
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11. Financial Risk Management (continued)
Credit Risk (continued)
30 April 2026 (continued)
State Street LDI Leveraged Conventional Gilt 2068 Fund
Counterparty
Fair value of OTC Derivatives GBP
Cash Collateral Pledged/(Received) GBP
Net amount GBP
% of Net Assets
BNP Paribas (2,586,613) - (2,586,613) (60.85) Credit Agricole (2,221,344) - (2,221,344) (52.26) Lloyds Bank (2,097,683) - (2,097,683) (49.35)
Total (6,905,640) - (6,905,640) (162.46)
State Street LDI Leveraged UK Inflation Rate Swap 2030 Fund
Counterparty
Fair value of OTC Derivatives GBP
Cash Collateral Pledged/(Received) GBP
Net amount GBP
% of Net Assets
Goldman Sachs 74,635 589,833 664,468 19.29
Total 74,635 589,833 664,468 19.29
30 April 2025
State Street LDI Leveraged Conventional Gilt 2040 Fund
Counterparty
Fair value of OTC Derivatives GBP
Cash Collateral Pledged/(Received) GBP
Net amount GBP
% of Net Assets
BNP Paribas (2,778,923) - (2,778,923) (41.06) Lloyds Bank (5,089,671) - (5,089,671) (75.19) National Australia Bank (4,820,415) - (4,820,415) (71.21) Societe Generale (4,054,865) - (4,054,865) (59.91)
Total (16,743,874) - (16,743,874) (247.37)
State Street LDI Leveraged Conventional Gilt 2060 Fund
Counterparty
Fair value of OTC Derivatives GBP
Cash Collateral Pledged/(Received) GBP
Net amount GBP
% of Net Assets
BNP Paribas (1,416,322) - (1,416,322) (126.06) National Australia Bank (361,645) - (361,645) (32.19)
Total (1,777,967) - (1,777,967) (158.25)
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11. Financial Risk Management (continued)
Credit Risk (continued)
30 April 2025 (continued)
State Street LDI Leveraged Conventional Gilt 2068 Fund
Counterparty
Fair value of OTC Derivatives GBP
Cash Collateral Pledged/(Received) GBP
Net amount GBP
% of Net Assets
BNP Paribas (2,678,815) - (2,678,815) (52.84) Lloyds Bank (2,306,729) - (2,306,729) (45.50) National Australia Bank (1,668,182) - (1,668,182) (32.90)
Total (6,653,726) - (6,653,726) (131.24)
State Street LDI Leveraged Index Linked Gilt 2032 Fund
Counterparty
Fair value of OTC Derivatives GBP
Cash Collateral Pledged/(Received) GBP
Net amount GBP
% of Net Assets
BNP Paribas (1,501,942) - (1,501,942) (183.43) Lloyds Bank (1,502,787) - (1,502,787) (183.53)
Total (3,004,729) - (3,004,729) (366.96)
State Street LDI Leveraged Index Linked Gilt 2042 Fund
Counterparty
Fair value of OTC Derivatives GBP
Cash Collateral Pledged/(Received) GBP
Net amount GBP
% of Net Assets
BNP Paribas (1,130,244) - (1,130,244) (149.79)
Total (1,130,244) - (1,130,244) (149.79)
State Street LDI Leveraged Index Linked Gilt 2055 Fund
Counterparty
Fair value of OTC Derivatives GBP
Cash Collateral Pledged/(Received) GBP
Net amount GBP
% of Net Assets
BNP Paribas (896,683) - (896,683) (85.95)
Total (896,683) - (896,683) (85.95)
State Street LDI Leveraged Index Linked Gilt 2062 Fund
Counterparty
Fair value of OTC Derivatives GBP
Cash Collateral Pledged/(Received) GBP
Net amount GBP
% of Net Assets
BNP Paribas (368,008) - (368,008) (49.37)
Total (368,008) - (368,008) (49.37)
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11. Financial Risk Management (continued)
Credit Risk (continued)
30 April 2025 (continued)
State Street LDI Leveraged UK Inflation Rate Swap 2030 Fund
Counterparty
Fair value of OTC Derivatives GBP
Cash Collateral Pledged/(Received) GBP
Net amount GBP
% of Net Assets
Goldman Sachs (560,909) 1,106,819 545,910 10.49
Total (560,909) 1,106,819 545,910 10.49
Detailed below is the exposure that each of the Funds had to the approved swap counterparties at 30 April 2026 and 30 April 2025.
30 April 2026
Fund
Counterparty Exposure GBP
Stock Collateral Value GBP
Cash Collateral Value GBP
Margin Cash (Paid)/Received Value GBP
Net Exposure GBP
Net Exposure % of Net Assets % State Street LDI Leveraged UK Inflation Rate Swap 2030 Fund 74,635 - 589,833 - 664,468 19.29%
30 April 2025
Fund
Counterparty Exposure GBP
Stock Collateral Value GBP
Cash Collateral Value GBP
Margin Cash (Paid)/Received Value GBP
Net Exposure GBP
Net Exposure % of Net Assets % State Street LDI Leveraged UK Inflation Rate Swap 2025 Fund 1 - - - - None N/A State Street LDI Leveraged UK Inflation Rate Swap 2030 Fund (560,909) - 1,106,819 - 545,910 10.49% 1 The Fund fully redeemed and closed on 17 July 2024.
Liquidity Risk Liquidity risk is the risk that an entity will encounter difficulty in meeting obligations associated with financial liabilities.
The Trust is exposed to weekly Unit dealing. All redemptions of redeemable Units in the Trust are payable within two business days of the dealing day on which the redemption takes place.
The Investment Manager monitors the Trust’s liquidity position on a daily basis. The Funds invest in State Street GBP Liquidity LVNAV Fund, a daily dealing short term money market fund, and swap agreements with counterparties which are negotiated to allow the Funds to meet weekly redemption requests.
All of the Trust’s financial liabilities are payable within one month.
Liquidity Management The Manager maintains a liquidity management policy to monitor the liquidity risk of the Funds, which includes, among other tools and methods of measurement, the use of stress tests under both normal and exceptional liquidity conditions. The liquidity management systems and procedures employed by the Manager allows the Manager to apply various tools and arrangements necessary to respond appropriately to redemption requests.
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11. Financial Risk Management (continued)
Liquidity Management (continued) Other arrangements may also be used in response to redemption requests, including the use of gates or similar arrangements which, if activated, will restrict the redemption rights investors benefit from in the ordinary course. The Manager may also temporarily suspend redemptions in certain circumstances. In summary, these circumstances are:
(i) any period when a Recognised Market, on which a substantial portion of the investments held in the relevant Fund are listed or traded, is closed otherwise than for ordinary holidays, or during which dealings in any such Recognised Market are restricted or suspended;
(ii) any period where, as a result of political, military, economic or monetary events or other circumstances beyond the control, responsibility and power of the Manager, the disposal of a major portion of, or valuation of the investments for the time being comprised in the relevant Fund cannot, in the opinion of the Manager, be effected or completed normally or without prejudicing the interests of Unitholders;
(iii) any breakdown in the means of communication normally employed in determining the value of any investments for the time being comprised in the relevant Fund or during any period when for any other reason the value of investments for the time being comprised in the relevant Fund cannot, in the opinion of the Directors of the Manager, be promptly or accurately ascertained;
(iv) any period when the Manager is unable to repatriate funds for the purposes of making redemption payments or during which the realisation or acquisitions of investments for the time being comprised in the relevant Fund, or the transfer or payment of funds involved in connection therewith cannot, in the opinion of the Manager and AIFM, be effected at normal prices or normal rates of exchange;
(v) any period when the Manager believes it is in the best interests of the Unitholders to suspend dealing;
(vi) or any other period specified in the Relevant Supplement in respect of a Fund and in accordance with the Trust Deed.
Redemption Restrictions If redemption requests on any Dealing Day (as defined in the Fund offering documents) exceed 10% of the Units in any Fund, the Manager may defer the excess redemption requests to subsequent Dealing Days and shall redeem such Units rateably. Any deferred redemption requests shall be treated in priority to any redemption requests received on subsequent Dealing Days.
Redemption in kind Redemption proceeds may, with the consent of the Unitholder concerned (subject to the conditions set out below), be paid by in kind transfer to the Unitholder in question provided that the Depositary is satisfied that the terms of the exchange will not be such as are likely to result in any material prejudice to the existing Unitholders. A redemption request must be completed and delivered to the Administrator and the redemption request must satisfy all the requirements of the Administrator as to such request. The assets to be transferred shall be selected at the discretion of the Manager with the approval of the Trustee and taken at their value used in determining the redemption price of the Units being so repurchased. Such distributions will only be made if the Manager considers that they will not materially prejudice the interests of the redeeming Unitholder or the remaining Unitholders.
Any decline in the value of the assets to be transferred in settlement of a redemption between the relevant Dealing Day and the day on which such assets are delivered to the redeeming Unitholder shall be borne by the redeeming Unitholder.
A redemption in kind may be solely at the discretion of the Manager where the redeeming Unitholder requests redemption of a number of Units that represent 5% or more of the Net Asset Value of the relevant Fund. In this event, the Manager will, if requested, sell the assets on behalf of the Unitholder. The costs of such sale will be charged to the relevant Unitholder.
Mandatory Redemptions The Manager may instruct the Administrator to redeem all the Units of any particular Class held by a Unitholder if its holding in the relevant Class falls below the relevant Minimum Holding. Before doing so, the Manager shall notify the Unitholder in writing and allow the Unitholder thirty days to purchase additional Units to meet the minimum requirement. The Manager reserves the right in the future to vary this mandatory redemption amount.
The Manager may instruct the Administrator to redeem the Units of any Unitholder that fails to meet a Capital Call (as defined in the Relevant Supplement) by its due date and the redemption proceeds payable to the Unitholder will be subject to any anti-dilution levy applicable (see the “Fees and Expenses” section of the Prospectus).
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11. Financial Risk Management (continued)
Mandatory Redemptions (continued) In these circumstances, this levy will include as part thereof, the redeeming Unitholder’s share of losses, costs, expenses, penalties or other assessments payable on the sale or termination of the relevant Fund’s investments, in order to fund the redemption.
Unitholders are required to notify the Manager immediately in the event that they become U.S. Persons, Irish tax residents or cease to be exempt from Irish tax or Relevant Employees (as defined in the Prospectus). Unitholders are also required to notify the Manager immediately in the event that they hold Units for the account or benefit of U.S. Persons, Irish tax residents or investors who cease to be exempt from Irish tax or Relevant Employees, or where they hold Units in breach of any law or regulation or otherwise in circumstances having, or which may have, adverse regulatory, reputational, tax or fiscal consequences or be a material administrative burden to the Trust or the Unitholders.
Where the Manager becomes aware that a Unitholder is (i) a U.S. Person; (ii) an Irish tax resident (other than an Irish resident exempt from Irish tax) or is holding Units for the account of an Irish tax resident (other than an Irish resident exempt from Irish tax); (iii) no longer holding Units in accordance with any representations given by the Unitholder in the Unitholder’s Application Form, or any such representation is false; or (iv) is holding Units in breach of any law or regulation or otherwise in circumstances having, or which may have, adverse regulatory, reputational, tax or fiscal consequences or be a material administrative burden to the Trust or the Unitholders, the Manager may (a) direct the relevant Unitholder to dispose of those Units to a person who is qualified or entitled to own or hold the Units within a specified time period (not exceeding thirty 30 days) or (b) redeem the Units at the Net Asset Value per Unit of the relevant Units on a Dealing Day prior to the end of the period specified for transfer or disposal pursuant to (a) above.
Fair Value Hierarchy FRS 102 requires disclosure relating to the fair value hierarchy in which fair value measurements are categorised for assets and liabilities. The disclosures are based on a three–level fair value hierarchy for the inputs used in valuation techniques to measure fair value.
The fair value hierarchy as required under FRS 102 is based on the valuation inputs used to fair value the financial assets and liabilities and consideration of the market activity for each individual financial asset and liability. The definition for levels 1, 2 and 3 are set out below.
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.
Assessing the significance of a particular input to the fair value measurement in its entirety requires judgement, considering factors specific to the asset or liability. The determination of what constituted “observable” requires significant judgement by the Investment Manager.
The Investment Manager considers observable data to be that market data that was readily available, regularly distributed or updated, reliable and verifiable, not proprietary, and provided by independent sources that are actively involved in the relevant market. As at 30 April 2026 and 30 April 2025 all financial assets and liabilities are deemed to be classified as Level 2. 12. NAV and published NAV per Unit 30 April 2026 30 April 2025 30 April 2024
Fund
Net Asset Value GBP
NAV per Unit GBP
Net Asset Value GBP
NAV per Unit GBP
Net Asset Value GBP
NAV per Unit GBP State Street LDI Leveraged Conventional Gilt 2040 Fund 536,362 0.11 6,768,814 0.12 17,378,911 0.12 SSGA LDI Leveraged Conventional Gilt 2049 Fund 3 - - - - 6,879,046 0.10 State Street LDI Leveraged Conventional Gilt 2060 Fund 4 - - 1,123,498 0.15 5,966,458 0.17 State Street LDI Leveraged Conventional Gilt 2068 Fund 4,250,887 0.08 5,069,869 0.12 5,413,908 0.16 State Street LDI Leveraged Index Linked Gilt 2032 Fund 5 - - 818,823 0.18 6,298,688 0.21 State Street LDI Leveraged Index Linked Gilt 2042 Fund 4 - - 754,570 0.01 5,059,113 0.01 State Street LDI Leveraged Index Linked Gilt 2055 Fund 5 - - 1,043,254 0.02 2,407,110 0.03 State Street LDI Leveraged Index Linked Gilt 2062 Fund 4 - - 745,396 0.01 1,749,202 0.01
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12. NAV and published NAV per Unit (continued) 30 April 2026 30 April 2025 30 April 2024
Fund
Net Asset Value GBP
NAV per Unit GBP
Net Asset Value GBP
NAV per Unit GBP
Net Asset Value GBP
NAV per Unit GBP SSGA LDI Leveraged Index Linked Gilt 2068 Fund 3 - - - - 678,957 0.04 SSGA LDI Leveraged UK Inflation Rate Swap 2025 Fund 1 - - - - 4,845,197 2.75 State Street LDI Leveraged UK Inflation Rate Swap 2030 Fund 3,445,167 4.70 5,202,171 4.68 5,140,899 5.77 State Street Target Leverage Cash Fund 2 - - - - 3,300,517 1.10 State Street Target Leverage Nominal Rate Short LDI Fund 2 - - - - 1,131,436 0.42 State Street Target Leverage Real Rate Short LDI Fund 2 - - - - 1,445,428 0.96 1 The Fund fully redeemed and closed on 17 July 2024. 2 The Fund closed on 26 July 2024. 3 The Fund closed on 11 April 2025. 4 The Fund closed on 12 September 2025. 5 The Fund closed on 21 November 2025.
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13. Distributions
The following distributions were made in respect of Class B Units during the financial year ended 30 April 2026:
Fund
6 May GBP 27 October GBP 12 March GBP Total GBP
State Street LDI Leveraged Conventional Gilt 2068 Fund
411,748 392,730 - 804,478
State Street LDI Leveraged UK Inflation Rate Swap 2030 Fund
- - 837,303 837,303
The following distributions were made in respect of Class B Units during the financial year ended 30 April 2025:
Fund
9 January GBP 12 February GBP Total GBP
SSGA LDI Leveraged Conventional Gilt 2049 Fund 1
- 640,367 640,367
State Street LDI Leveraged Conventional Gilt 2068 Fund
- 565,929 565,929
State Street LDI Leveraged UK Inflation Rate Swap 2030 Fund
599,990 - 599,990
1
The Fund closed on 11 April 2025.
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Annual Report and Audited Financial Statements
for the financial year ended 30 April 2026
Notes to the Financial Statements (continued)
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14. Residual Cash Balances The Funds in the below table terminated in prior financial years but have not yet had their authorisation revoked by the Central Bank. The Funds held the below cash balances as at 30 April 2026 and 30 April 2025. These cash balances are assets and liabilities of the Funds, but due to their monetary value, financial statements have not been prepared in relation to these Funds, and they are disclosed in this note only.
Fund
2026 GBP
2025 GBP SSGA LDI Leveraged Conventional Gilt 2060 Fund 7 2,727 SSGA LDI Leveraged Index Linked Gilt 2022 Fund 3 54 54 SSGA LDI Leveraged Index Linked Gilt 2032 Fund 8 54 SSGA LDI Leveraged Index Linked Gilt 2042 Fund 7 19 SSGA LDI Leveraged Index Linked Gilt 2055 Fund 8 822 SSGA LDI Leveraged Index Linked Gilt 2062 Fund 7 28 SSGA LDI Leveraged UK Interest Rate Swap 2050 Fund 1 6,463 6,208 SSGA LDI Leveraged UK Real Rate Swap 2050 Fund 2 493 493 State Street Target Leverage UK Equity Fund 4 (1,317) (1,317) SSGA LDI Leveraged UK Exposure Fund 5 44,234 108,927 State Street Target Leverage Nominal Rate Long LDI Fund 6 880 880
1 The Fund became dormant on 16 September 2020. 2 The Fund became dormant on 10 February 2021. 3 The Fund became dormant on 16 February 2022. 4 The Fund became dormant on 6 March 2022. 5 The Fund became dormant on 27 January 2023. 6 The Fund became dormant on 28 June 2023. 7 The Fund became dormant on 12 September 2025. 8 The Fund became dormant on 21 November 2025. 15. Efficient Portfolio Management The Funds may use derivative instruments and repurchase agreements for both efficient portfolio management and for investment purposes. Each Fund’s relevant Supplement will indicate how the Fund intends to use derivative instruments. A Fund’s use of derivative instruments involves risks different from, and possibly greater than, the risks associated with investing directly in securities. The Funds did not use derivative instruments for efficient portfolio management but did use them for investment purposes during the financial year ended 30 April 2026 and the financial year ended 30 April 2025. 16. Soft Commission Arrangements There were no soft commission arrangements impacting the Trust during the financial year ended 30 April 2026 and the financial year ended 30 April 2025. 17. Contingent Liabilities The Manager is not aware of any contingent liabilities as at 30 April 2026 and 30 April 2025. 18. Significant Events during the Financial Year The AUM of the State Street LDI Leveraged Conventional Gilt 2040 Fund decreased by 92.08% between the financial year end 30 April 2025 and 30 April 2026. The AUM of the State Street LDI Leveraged Conventional Gilt 2060 Fund decreased by 100% between the financial year end 30 April 2025 and 30 April 2026. The AUM of the State Street LDI Leveraged Conventional Gilt 2068 Fund decreased by 16.15% between the financial year end 30 April 2025 and 30 April 2026. The AUM of the State Street LDI Leveraged Index Linked Gilt 2032 Fund decreased by 100% between the financial year end 30 April 2025 and 30 April 2026. The AUM of the State Street LDI Leveraged Index Linked Gilt 2042 Fund decreased by 100% between the financial year end 30 April 2025 and 30 April 2026. The AUM of the State Street LDI Leveraged Index Linked Gilt 2055 Fund decreased by 100% between the financial year end 30 April 2025 and 30 April 2026. The AUM of the State Street LDI Leveraged Index Linked Gilt 2062 Fund decreased by 100% between the financial year end 30 April 2025 and 30 April 2026. The AUM of the State Street LDI Leveraged UK Inflation Rate Swap 2030 Fund decreased by 33.77% between the financial year end 30 April 2025 and 30 April 2026.
The implications for the Funds of elevated market volatility arising from global trade tensions and unrest in the Middle East continue to be monitored.
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18. Significant Events during the Financial Year (continued) State Street Global Advisors is now State Street Investment Management. Effective 30 June 2025, State Street Global Advisors began operating under the marketing name State Street Investment Management. This change does not affect the legal name or structure of the Investment Adviser, State Street Global Advisors Europe Limited, or the management of the Funds.
The following Funds were revoked by the CBI on 10 July 2025: SSGA LDI Leveraged UK Interest Rate Swap 2040 Fund and SSGA LDI Leveraged UK Interest Rate Swap 2035 Fund.
The following Funds were revoked by the CBI on 18 August 2025: SSGA LDI Leveraged UK Interest Rate Swap 2045 Fund, SSGA LDI Leveraged UK Interest Rate Swap 2050 Fund, SSGA LDI Leveraged UK Interest Rate Swap 2055 Fund, SSGA LDI Leveraged UK Interest Rate Swap 2060 Fund, SSGA LDI Leveraged UK Real Rate Swap 2025 Fund, SSGA LDI Leveraged UK Real Rate Swap 2035 Fund, SSGA LDI Leveraged UK Real Rate Swap 2040 Fund, SSGA LDI Leveraged UK Real Rate Swap 2045 Fund, SSGA LDI Leveraged UK Real Rate Swap 2050 Fund and SSGA LDI Leveraged UK Real Rate Swap 2055 Fund.
The following Funds closed on 12 September 2025: State Street LDI Leveraged Conventional Gilt 2060 Fund, State Street LDI Leveraged Index Linked Gilt 2042 Fund and State Street LDI Leveraged Index Linked Gilt 2062 Fund.
The following Funds closed on 21 November 2025: State Street LDI Leveraged Index Linked Gilt 2032 Fund and State Street LDI Leveraged Index Linked Gilt 2055 Fund.
The Prospectus has been revised on 4 November 2025 to reflect the rebranding of State Street Global Advisors to State Street Investment Management. Updates have been made to the Directory section, including revisions to associated director biographies. The Alternative Valuation section has been clarified to emphasise the Manager’s discretion, supported by the oversight and input of the Valuation Committee.
The supplements for the following Sub-Funds have been updated to reflect a new name, following the rebranding of State Street Global Advisors to State Street Investment Management:
Previous Name Updated Name SSGA LDI Leveraged Conventional Gilt 2040 Fund State Street LDI Leveraged Conventional Gilt 2040 Fund SSGA LDI Leveraged Conventional Gilt 2060 Fund State Street LDI Leveraged Conventional Gilt 2060 Fund SSGA LDI Leveraged Conventional Gilt 2068 Fund State Street LDI Leveraged Conventional Gilt 2068 Fund SSGA LDI Leveraged Index Linked Gilt 2032 Fund State Street LDI Leveraged Index Linked Gilt 2032 Fund SSGA LDI Leveraged Index Linked Gilt 2042 Fund State Street LDI Leveraged Index Linked Gilt 2042 Fund SSGA LDI Leveraged Index Linked Gilt 2055 Fund State Street LDI Leveraged Index Linked Gilt 2055 Fund SSGA LDI Leveraged Index Linked Gilt 2062 Fund State Street LDI Leveraged Index Linked Gilt 2062 Fund SSGA LDI Leveraged UK Inflation Rate Swap 2030 Fund State Street LDI Leveraged UK Inflation Rate Swap 2030 Fund
There have been no other significant events affecting the Trust during the financial year. 19. Subsequent Events since the Financial Year End On 13 May 2026, an addendum to the Prospectus was issued to incorporate enhanced disclosures relating to liquidity management tools in line with AIFMD II requirements. These updates relate to disclosure enhancements only and do not represent a change to the investment objective, investment strategy, or financial position of the Fund.
There have been no other significant events affecting the Trust since the financial year end. 20. Approval of the Financial Statements The Directors of the Manager approved the financial statements on 24 August 2026.
SSGA Qualified Trust
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State Street LDI Leveraged Conventional Gilt 2040 Fund
Holdings Financial assets at fair value through profit or loss Fair Value GBP
% of Net Assets
Government Bonds (30 April 2025: 321.38%)
United Kingdom 2,176,924 4.250% U.K. Gilts 07/12/2040* 1,927,448 359.35
Total Government Bonds 1,927,448 359.35
Collective Investment Schemes (30 April 2025: 0.46%)
Ireland 25,461 State Street Liquidity Public Limited Company State Street GBP Liquidity LVNAV Fund 25,461 4.75
Total Collective Investment Schemes 25,461 4.75
Repurchase Agreements (30 April 2025: (247.37)%) (815,497) 3.880% Credit Agricole 27/03/2027 (815,497) (152.04) (359,233) 3.870% Merrill Lynch 17/04/2027 (359,233) (66.98) (275,433) 3.940% National Australia Bank 08/05/2026 (275,433) (51.35)
Total Repurchase Agreements (1,450,163) (270.37)
Total Value of Investments 502,746 93.73 (Cost: GBP 756,956)
Cash (30 April 2025: 0.01%) 1,000 0.19
Other Net Assets (30 April 2025: 25.52%) 32,616 6.08
Net Assets attributable to equity Unitholders at published prices 536,362 100.00
* At 30 April 2026, client stock collateral of GBP 1,403,359 is held with Credit Agricole, Merrill Lynch and National Australia Bank for repurchase agr eements, which takes account of client stock collateral in transit at 30 April 2026. Cash collateral received reinvested in the State Street Liquidity Public L imited Company - State Street GBP Liquidity LVNAV Fund is detailed in Note 10. The State Street LDI Leveraged Conventional Gilt 2040 Fund invests in the Z Stable share class of the State Street GBP Liquidity LVNAV Fund, a Sub-Fund of the State Street Liquidity Public Limited Company, an open ended umbrella investment company with segregated liability between funds and variabl e capital, incorporated in Ireland with limited liability and authorised as a UCITS for the purposes of the UCITS Regulations. The TER of the Z Stable sha re class is 0.04%.
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State Street LDI Leveraged Conventional Gilt 2068 Fund
Holdings Financial assets at fair value through profit or loss Fair Value GBP
% of Net Assets
Government Bonds (30 April 2025: 227.68%)
United Kingdom 16,593,698 3.500% U.K. Gilts 22/07/2068* 10,994,984 258.65
Total Government Bonds 10,994,984 258.65
Collective Investment Schemes (30 April 2025: 0.96%)
Ireland 61,410 State Street Liquidity Public Limited Company State Street GBP Liquidity LVNAV Fund 61,410 1.44
Total Collective Investment Schemes 61,410 1.44
Repurchase Agreements (30 April 2025: (131.24)%) (2,586,613) 3.900% BNP Paribas 09/01/2027 (2,586,613) (60.85) (2,221,344) 3.930% Credit Agricole 08/05/2026 (2,221,344) (52.25) (2,097,683) 3.900% Lloyds Bank 16/01/2027 (2,097,683) (49.35)
Total Repurchase Agreements (6,905,640) (162.45)
Total Value of Investments 4,150,754 97.64 (Cost: GBP 9,433,503)
Cash (30 April 2025: 0.02%) 1,000 0.02
Other Net Assets (30 April 2025: 2.58%) 99,133 2.34
Net Assets attributable to equity Unitholders at published prices 4,250,887 100.00
* At 30 April 2026, client stock collateral of GBP 6,783,036 is held with BNP Paribas, Credit Agricole and Lloyds Bank for repurchase agreements, which takes account of client stock collateral in transit at 30 April 2026. Cash collateral received reinvested in the State Street Liquidity Public Limited Comp any - State Street GBP Liquidity LVNAV Fund is detailed in Note 10. The State Street LDI Leveraged Conventional Gilt 2068 Fund invests in the Z Stable share class of the State Street GBP Liquidity LVNAV Fund, a Sub-Fund of the State Street Liquidity Public Limited Company, an open ended umbrella investment company with segregated liability between funds and variabl e capital, incorporated in Ireland with limited liability and authorised as a UCITS for the purposes of the UCITS Regulations. The TER of the Z Stable sha re class is 0.04%.
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State Street LDI Leveraged UK Inflation Rate Swap 2030 Fund
Holdings Financial assets at fair value through profit or loss Fair Value GBP
% of Net Assets
Collective Investment Schemes (30 April 2025: 78.39%)
Ireland 2,905,994 State Street Liquidity Public Limited Company State Street GBP Liquidity LVNAV Fund 2,905,994 84.35
Total Collective Investment Schemes 2,905,994 84.35
Inflation Swaps (30 April 2025: (10.78)%)
CCY Notional Amount
Fund Pays
Fund Receives
Termination Date Counterparty Fair Value GBP % of Net Assets GBP 1,446,682 4.7230 UK RPI 30/06/2030 Goldman Sachs (1,580) (0.04) GBP 5,175,505 3.8830 UK RPI 30/06/2030 Goldman Sachs (6,115) (0.18) GBP 9,045,000 4.6130 UK RPI 30/06/2030 Goldman Sachs 82,330 2.39
Inflation swaps at positive fair value 82,330 2.39 Inflation swaps at negative fair value (7,695) (0.22)
Total Inflation Swaps 74,635 2.17
Net Swaps at positive fair value 74,635 2.17
Total Value of Investments 2,980,629 86.52 (Cost: GBP 2,824,071)
Cash (30 April 2025: 0.02%) 1,000 0.03
Cash due to broker (30 April 2025: Nil%) (134,789) (3.91)
Other Net Assets (30 April 2025: 22.27%) 598,327 17.36
Net Assets attributable to equity Unitholders at published prices 3,445,167 100.00
The State Street LDI Leveraged UK Inflation Rate Swap 2030 Fund invests in the Z Stable share class of the State Street GBP Liquidity LVNAV Fund, a Sub-Fund of the State Street Liquidity Public Limited Company, an open ended umbrella investment company with segregated liability between funds an d variable capital, incorporated in Ireland with limited liability and authorised as a UCITS for the purposes of the UCITS Regulations. The TER of the Z S table share class is 0.04%.
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Remuneration Policy (unaudited)
State Street Corporation (“SSC”), and its direct and indirect subsidiaries (together with the State Street Corporation hereafter referred to as “State Street”) operate a group-wide compensation strategy including a remuneration policy that applies to all State Street entities globally. State Street Global Advisors Europe Limited (“SSGAEL”) is the Management Company, Investment Manager and Global Distributor of SSGA Qualified Trust and delegates certain activities in respect of the investment management and risk management to SSGA Limited (together, the “Investment Managers”). The investment managers are fully integrated into State Street’s group-wide compensation strategy and subject to the global and regional governing body structure of State Street to provide appropriate and effective control of the remuneration arrangements (incl. compliance with the relevant remuneration regulations) across the State Street group of affiliated entities. Under its publicly available charter, the Human Resources Committee (“HRC”) of SSC oversees all of State Street’s compensation plans, policies, and programs in which senior executives participate and incentive, retirement, welfare and equity plans in which certain other employees of SSC participate. It also oversees the alignment of the incentive compensation arrangements with the State Street’s financial safety and soundness consistent with applicable related regulatory rules and guidance. The HRC approves the overall allocation of the Incentive Compensation (“IC”) Plan pool. The CEO allocates IC pools to business units and corporate functions based upon a variety of factors, which may include budget performance, achievement of key goals and other considerations. The final expenditure and overall allocation between current and deferred awards are then reviewed by the HRC prior to payment.
State Street also has separate UK and SSGAEL Remuneration Committees in place with the primary duties to:
• review the remuneration policy applicable to employees, management and Identified Staff of the Investment Managers and oversee its implementation; • oversee compliance with any applicable remuneration regulations; • review and endorse remuneration decisions related to Identified Staff and consider recommendations for ex-post risk adjustment of Identified Staff.
State Street operates a global remuneration policy document (supplemented by any relevant addenda by jurisdiction or regulatory regime), which documents State Street’s existing remuneration framework. This policy is intended to comply with applicable remuneration regulatory requirements including, but not limited to, those contained in the CRD, UCITS V and AIFMD, and will be interpreted and administered accordingly. State Street’s remuneration policies and practices apply on a global basis to all employees of the State Street group (incl. the Investment Managers). The key principles that align State Street’s remuneration system with the business strategy are as follows:
• We emphasize total rewards; • We target the aggregate annual value of our Total Rewards Program to be competitive with our business peers; • We unequivocally support equal pay for work of equal value; • Funding for our Total Rewards Program is subject to affordability and is designed to be flexible based on corporate performance; • We differentiate pay based on performance; • We align employees’ interests with shareholders’ interests • Our compensation plans are designed to comply with applicable regulations and related guidance, including prohibiting incentives to take excessive risks.
Given our process of structured discretion in determining incentive pool funding and individual award decisions, the deferral of incentive compensation, and the availability of ex-ante and ex-post adjustments, such as forfeitures and clawbacks, our compensation system is appropriately risk-sensitive and links current decisions and actions to future risk outcomes.
State Street operates a fully flexible, discretionary bonus policy (i.e. the amount of individual variable pay may fluctuate significantly from one year to the next, depending on performance and the other factors described below, and even could be reduced to zero for any given year). The discretionary bonus policy is structured so as to achieve a balance between fixed and variable components, but also includes specific maximum pay ratios where required by local regulations. A number of employees in sales participate in Structured Incentive Plans, which aim to bring the variable compensation granted to plan participants into line with the revenues they generate as well as taking into account non-financial qualitative performance indicators. All such participants receive sufficiently high fixed compensation. Variable compensation is assigned on an individual basis by way of a review of both quantitative and qualitative factors.
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Annual Report and Audited Financial Statements for the financial year ended 30 April 2026 Appendix I
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Remuneration Policy (unaudited) (continued)
Total amount of remuneration paid by the Investment Managers for the financial year ended 30 April 2026 1 Fixed remuneration (in £ k) 55,712 Variable remuneration (in £ k) 49,072 Total Remuneration (in £ k) 104,784 Number of beneficiaries 589 Carried interest paid by the AIF n/a
Aggregate amount of remuneration of (in £ k) Senior Management of SSGAEL 2 180 Identified Staff of the Investment Managers 57,437
More details regarding State Street’s remuneration approach including (but not limited to) information on the decision-making process to determine the remuneration policy, its basic characteristics and the linkage between pay and performance, are published separately in State Street’s Proxy Statement at www.statestreet.com and the remuneration section of the UK Pillar 3 disclosure of SSGA Ltd. at https://www.ssga.com/uk/en_gb/institutional/ic/insights/ssgal-pillar-3-disclosure-statement. In light of State Street’s group-wide compensation strategy, the qualitative remuneration information included in the UK Pillar 3 disclosure equally applies to State Street employees outside the UK and the Investment Manager’s employees.
1 Disclosure is based on the remuneration of the entire staff of the legal entity of the investment manager, indicating the number of beneficiaries. 2 Represents remuneration paid to independent directors (Directors of SSGAEL who are also employees of the Investment Manager do not receive remuneration in their capacity as board members).
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Annual Report and Audited Financial Statements for the financial year ended 30 April 2026 Appendix I (continued)
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Leverage Policy (unaudited)
The Funds may utilise leverage as part of their investment programs. Leverage may take the form of loans for borrowed money, trading on margin, derivative instruments that are inherently leveraged, including among others forward contracts, futures contracts, options, swaps, repurchase agreements, reverse repurchase agreements and other forms of direct and indirect borrowings.
There is no absolute restriction or limitation on the amount of leverage that a Fund may utilise. The amount of leverage utilised by a Fund will be determined by the Investment Manager from time to time, based on factors deemed relevant by the Investment Manager in its sole discretion, which may include available market opportunities and the forecasted volatility of underlying assets. To the extent permitted by applicable law, the Fund may also borrow from affiliates when deemed appropriate by the Investment Manager.
The use of leverage can substantially increase the adverse impact to which a Fund’s investment portfolio may be subject.
There is no rehypothecation of investments or any guarantee granted under the leveraging arrangement during the financial year ended 30 April 2026.
During the financial year ended 30 April 2026, leverage guidelines were complied with and met.
Regulation AIFMD
Methodology Gross Commitment
Numerator Non Derivatives - Cash Equivalents (in base currency) + Derivatives + Borrowing + Leverage from reinvestment collateral
Exposure from Derivatives and Non Derivatives after Hedging/netting – Cash Equivalents (in base currency) + Borrowings + Leverage from reinvestment collateral
Denominator NAV NAV
The table below shows the remaining Fund’s maximum gross leverage ratio (calculated using the gross methodology) and the Fund’s maximum net leverage ratio (calculated using the commitment approach) (each, the “Maximum Leverage”):
SSGA LDI Leveraged Conventional Gilt 2040 Fund Time to Target Date in number of years 0 to 10 10 to 30 30 to 45 Maximum Gross Leverage 15:1 10:1 7.5:1 Maximum Net Leverage 15:1 10:1 7.5:1
SSGA LDI Leveraged Conventional Gilt 2060 Fund Time to Target Date in number of years 0 to 10 10 to 30 30 to 45 Maximum Gross Leverage 15:1 10:1 7.5:1 Maximum Net Leverage 15:1 10:1 7.5:1
SSGA LDI Leveraged Conventional Gilt 2068 Fund Time to Target Date in number of years 0 to 10 10 to 30 30 to 45 45+ Maximum Gross Leverage 15:1 10:1 7.5:1 5:1 Maximum Net Leverage 15:1 10:1 7.5:1 5:1
SSGA LDI Leveraged Index Linked Gilt 2032 Fund Time to Target Date in number of years 0 to 10 10 to 20 Maximum Gross Leverage 15:1 10:1 Maximum Net Leverage 15:1 10:1
SSGA LDI Leveraged Index Linked Gilt 2042 Fund Time to Target Date in number of years 0 to 10 10 to 20 20 to 40 Maximum Gross Leverage 15:1 10:1 7.5:1 Maximum Net Leverage 15:1 10:1 7.5:1
SSGA LDI Leveraged Index Linked Gilt 2055 Fund Time to Target Date in number of years 0 to 10 10 to 20 20 to 40 40+ Maximum Gross Leverage 15:1 10:1 7.5:1 5:1 Maximum Net Leverage 15:1 10:1 7.5:1 5:1
SSGA Qualified Trust
Annual Report and Audited Financial Statements for the financial year ended 30 April 2026 Appendix II
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Leverage Policy (unaudited) (continued)
SSGA LDI Leveraged Index Linked Gilt 2062 Fund Time to Target Date in number of years 0 to 10 10 to 20 20 to 40 40+ Maximum Gross Leverage 15:1 10:1 7.5:1 5:1 Maximum Net Leverage 15:1 10:1 7.5:1 5:1
SSGA LDI Leveraged UK Inflation Rate Swap 2030 Fund Time to Target Date in number of years 0 to 10 10 to 20 Maximum Gross Leverage 15:1 10:1 Maximum Net Leverage 15:1 10:1
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Annual Report and Audited Financial Statements for the financial year ended 30 April 2026 Appendix II (continued)
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Securities Financing Transactions Regulation (unaudited)
Article 13 of Regulation (EU) 2015/2365 on transparency of securities financing transactions (SFTs) and of reuse and amending Regulation (EU) No 648/2012, requires AIFMs to provide the following information on the use made of SFTs. The SFTs held by the Funds at 30 April 2026 are repurchase agreements.
Repurchase agreements
Below is the fair value of assets engaged in repurchase agreements analysed by Fund and by counterparty at 30 April 2026:
State Street LDI Leveraged Conventional Gilt 2040 Fund
State Street LDI Leveraged Conventional Gilt 2068 Fund GBP GBP
GBP £ (815,497) (2,586,613) % of Net Assets (152.04) (60.85) Counterparty Name Credit Agricole BNP Paribas Counterparty country of establishment France United Kingdom
GBP £ (359,233) (2,221,344) % of Net Assets (66.98) (52.25) Counterparty Name Merrill Lynch Credit Agricole Counterparty country of establishment United States France
GBP £ (275,433) (2,097,683) % of Net Assets (51.35) (49.35) Counterparty Name National Australia Bank Lloyds Bank Counterparty country of establishment United Kingdom United Kingdom
The repurchase agreements held on the Funds are settled on a bi-lateral basis. The maturity tenor of the individual agreements as disclosed in the Schedule of Investments and are all due to mature within four months of the financial year end date.
The repurchase agreements are for the most part collateralised by each Funds’ United Kingdom Gilt Inflation Linked Bond holding and the cash which received is reinvested back into the Gilt holding on the relevant Fund. The balance of the exposure to the repurchase agreements is collateralised by the non-cash and cash collateral discussed below.
All non-cash collateral has a credit rating of above investment grade, rated by S&P. P. The collateral is held in the same currency as the repurchase agreements which is GBP. P. The maturity tenor of the non-cash collateral received in GBP is greater than 1 year. The collateral issuer for the non-cash collateral is the UK Government and values of which are disclosed as a footnote on the Schedule of Investments.
All cash collateral is held in the same currency as the repurchase agreements which is GBP. P. The cash collateral has an open maturity and is disclosed as a footnote on the Schedule of Investments for each relevant Fund.
The Funds have the right to reuse the stock collateral received, however the Funds do not utilise this right.
The Depositary of the collateral is State Street Custodial Services (Ireland) Limited. State Street Bank and Trust acts as Sub-Custodian for the collateral and is responsible for the safekeeping of the collateral received in relation to each of the repurchase agreements.
Returns of the repurchase agreements:
State Street LDI Leveraged Conventional Gilt 2040 Fund
State Street LDI Leveraged Conventional Gilt 2060 Fund 1
State Street LDI Leveraged Conventional Gilt 2068 Fund
State Street LDI Leveraged Index Linked Gilt 2032 Fund 2 GBP GBP GBP GBP
Net Returns (491,834) (29,632) (293,572) (71,543)
SSGA Qualified Trust
Annual Report and Audited Financial Statements for the financial year ended 30 April 2026 Appendix III
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Securities Financing Transactions Regulation (unaudited) (continued)
Repurchase agreements (continued)
State Street LDI Leveraged Index Linked Gilt 2042 Fund 1
State Street LDI Leveraged Index Linked Gilt 2055 Fund 2
State Street LDI Leveraged Index Linked Gilt 2062 Fund 1 GBP GBP GBP
Net Returns (18,333) (21,663) (3,607)
1 The Fund closed on 12 September 2025. 2 The Fund closed on 21 November 2025.
The balance of the exposure to the repurchase agreements is collateralised by the cash collateral discussed below.
The cash collateral has an open maturity and is disclosed as a footnote on the Schedule of Investments for the relevant Fund.
The Funds have the right to reuse the stock collateral received, however the Funds do not utilise this right.
The Depositary of the collateral is State Street Custodial Services (Ireland) Limited. State Street Bank and Trust acts as Sub-Custodian for the collateral and is responsible for the safe-keeping of the collateral received in relation to each of the total return swap agreement.
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Annual Report and Audited Financial Statements for the financial year ended 30 April 2026 Appendix III (continued)
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SFDR and Taxonomy Regulation Disclosures (unaudited)
The European Union’s (the “EU”) Sustainable Finance Disclosures Regulation (Regulation EU/2019/2088) (“SFDR”) requires the Trust to provide transparency on how sustainability considerations are integrated into the investment process with respect to each of the Funds. The EU’s Regulation on the Establishment of a Framework to Facilitate Sustainable Investment (Regulation EU/2020/852) (the “Taxonomy Regulation”) requires the Trust to provide additional disclosure with respect to each of the Funds in order to enhance transparency and to provide for objective comparison of financial products regarding the proportion of such financial products’ investments that contribute to environmentally sustainable economic activities, noting that the scope of environmentally sustainable economic activities, as prescribed in the Taxonomy Regulation, is narrower than the scope of sustainable investments under SFDR. Please see the Relevant Supplement for the disclosures for each Fund required under SFDR and the Taxonomy Regulation.
Each Fund of the Trust is categorised as an Article 6 fund under SFDR, meaning that a Fund does not promote any specific environmental or social characteristic as part of its investment strategy nor have sustainable investment as its investment objective. In addition, the investments underlying each of the Funds of the Trust do not take into account the EU criteria for environmentally sustainable economic activities, as set out in the Taxonomy Regulation.
SSGA Qualified Trust
Annual Report and Audited Financial Statements for the financial year ended 30 April 2026 Appendix IV
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Annual Report and Audited Financial Statements For the financial year ended 31 December 2025
State Street Liquidity
Public Limited Company
Page 60
Contents Page
Organisation 2
Background to the Company 3
Investment Manager’s Report 7
Directors’ Report 21
Report of the Depositary to the Shareholders 25
Independent auditors’ report to the members of State Street Liquidity Public Limited Company 26
Statement of Comprehensive Income 29
Statement of Financial Position 33
Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders 37
Statement of Cash Flows 41
Notes to the Financial Statements 45
Schedule of Investments 106 State Street USD Liquidity LVNAV Fund 106 State Street GBP Liquidity LVNAV Fund 111 State Street EUR Liquidity LVNAV Fund 114 State Street EUR Liquidity Standard VNAV Fund 118 State Street USD Treasury Liquidity Fund 121 State Street EUR Government Liquidity Fund 123 State Street GBP Government Liquidity Fund 125
Schedule of Significant Portfolio Changes (Unaudited) 127 State Street USD Liquidity LVNAV Fund 127 State Street GBP Liquidity LVNAV Fund 128 State Street EUR Liquidity LVNAV Fund 129 State Street EUR Liquidity Standard VNAV Fund 130 State Street USD Treasury Liquidity Fund 131 State Street EUR Government Liquidity Fund 132 State Street GBP Government Liquidity Fund 133
Supplemental Information for Investors in Switzerland (Unaudited) 134
Appendix I - Securities Financing Transactions Regulations (Unaudited) 139
Appendix II - Remuneration Policy (Unaudited) 146
Appendix III - SFDR and Taxonomy Regulation Disclosures (Unaudited) 148
State Street Liquidity Public Limited Company Annual Report and Audited Financial Statements for the financial year ended 31 December 2025
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Organisation
Board of Directors Ms. Barbara Healy* (Irish) Ms. Rebecca Bridger (British) Mr. Tom Coghlan* (Irish) Mr. Eric Linnane (Irish) (appointed 2 January 2026) Mr. Lim Siong Kwong (Benjamin) Lam Thuon Mine* (Luxembourgish) (appointed 2 January 2026)
*Independent Directors All the Directors are non-executive directors
Registered Office 78 Sir John Rogerson’s Quay Dublin 2, D02 HD32, Ireland
Investment Manager, Management Company and Global Distributor ( Investment Manager r , Management Company and Global Distributor r ) State Street Global Advisors Europe Limited 78 Sir John Rogerson’s Quay Dublin 2, D02 HD32, Ireland
Board of Directors of the Management Company Mr. Nigel Wightman (British) Ms. Ann Prendergast (Irish) Mr. Eric Linnane (Irish) Mr. Scott Sanderson (British) Ms. Margaret Cullen (Irish) Mr. Patrick Mulvihill (Irish) Ms. Marie-Anne Heeren (Belgian)
Sub-Investment Managers State Street Global Advisors Trust Company 1 Lincoln Street Boston Massachusetts 02111 United States
State Street Global Advisors Limited 20 Churchill Place Canary Wharf London E14 5HJ United Kingdom
Registered Number 256241
Administrator, Registrar and Transfer Agent State Street Fund Services (Ireland) Limited 78 Sir John Rogerson’s Quay Dublin 2, D02 HD32, Ireland
Legal Advisors in Ireland and Sponsoring Member Firm Matheson LLP 70 Sir John Rogerson’s Quay Dublin 2, D02 R296, Ireland
Depositary State Street Custodial Services (Ireland) Limited 78 Sir John Rogerson’s Quay Dublin 2, D02 HD32, Ireland
Independent Auditors PricewaterhouseCoopers Chartered Accountants and Statutory Audit Firm One Spencer Dock North Wall Quay Dublin 1, D01 X9R7, Ireland
Company Secretary Matsack Trust Limited 70 Sir John Rogerson’s Quay Dublin 2, D02 R296, Ireland
State Street Liquidity Public Limited Company Annual Report and Audited Financial Statements for the financial year ended 31 December 2025
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Background to the Company
Capitalised terms used herein shall have the same meaning as capitalised terms used in the Prospectus and the Supplements to the Prospectus, unless otherwise defined here.
State Street Liquidity Public Limited Company (the “Company ) is an open-ended investment company with variable capital organised under the laws of Ireland as a public limited company pursuant to the Companies Act 2014 and is authorised as a UCITS pursuant to the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011 (as amended) (the UCITS Regulations ). It was incorporated on 6 November 1996 under registration number 256241.
The Company is organised in the form of an umbrella fund with segregated liability between funds. Each fund (each a “Fund”, collectively the “Funds”) is regulated as a Money Market Fund ( MMF ) pursuant to the Money Market Fund Regulations (the MMF Regulations ). The Company consists of twelve Funds, seven of which are currently operating, namely:
Fund State Street USD Liquidity LVNAV Fund State Street GBP Liquidity LVNAV Fund State Street EUR Liquidity LVNAV Fund State Street USD Treasury Liquidity Fund State Street EUR Liquidity Standard VNAV Fund State Street USD Liquidity Standard VNAV Fund* State Street GBP Liquidity Standard VNAV Fund* State Street EUR Government Liquidity Fund** State Street GBP Government Liquidity Fund** State Street EUR Liquidity VNAV Fund* State Street USD Liquidity VNAV Fund* State Street GBP Liquidity VNAV Fund*
*As of 31 December 2025, these Funds had not commenced operations. **These Funds were launched during the financial year ended 2024, therefore, comparative figures presented are for a period of less than 12 months.
The Company may issue one or more classes of redeemable participating shares in respect of each Fund and, where more than one class of redeemable participating shares is issued in respect of a Fund, all classes shall participate in a common pool of assets. The Company’s active classes of redeemable participating shares in respect of each of the Funds are disclosed in Note 6.
Throughout these financial statements the term transferable securities refers to money market instruments, collective investment schemes ( CIS ) and reverse repurchase agreements.
Investment Objective - LVNAV MMFs
The investment objective of the Low Volatility Net Asset Value ( LVNAV ) MMFs is to maintain a high level of liquidity, preserve capital and provide a return in line with each Fund’s base currency money market rates.
In order to achieve their investment objectives, the LVNAV MMFs invest in a range of investment grade fixed and adjustable rate money market instruments which are transferable securities and primarily denominated in each Fund’s base currency. The LVNAV MMFs have sought and received a derogation from the Central bank of Ireland (the Central Bank ) and accordingly may invest up to 100% of their NAV in securities issued or guaranteed by the issuers. The LVNAV MMFs may invest in government securities, securities issued or guaranteed by Supranational Organisations, deposits, certificates of deposit, commercial paper, notes (including floating rate and medium term notes) and bonds (fixed or floating rate) issued by corporate issuers, asset backed commercial paper, when-issued government securities (i.e. securities which are traded on a price or yield basis prior to actual issuance) and any other money market instrument which is a transferable security that State Street Global Advisors Europe Limited (the Investment Manager ) deems to be of comparable credit quality and consistent with the LVNAV MMFs’ investment objectives and which falls within the categories specified in article 9 of the MMF Regulations. The LVNAV MMFs may also invest up to 10% of its assets in aggregate in CIS provided that they are Short Term MMFs.
If the Stable NAV of an LVNAV MMF deviates from the NAV of the LVNAV MMF by more than 20 basis points any redemption and subscription following such deviation shall be undertaken at the price equal to the NAV of the relevant Fund and not at the Stable NAV or the subscriptions and redemptions of the LVNAV MMF may be suspended.
State Street Liquidity Public Limited Company Annual Report and Audited Financial Statements for the financial year ended 31 December 2025
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Background to the Company (continued)
Investment Objective - LVNAV MMFs (continued)
The weighted average maturity ( WAM ) of the investments held by the LVNAV MMFs will be 60 days or less and the weighted average life ( WAL ) of the investments held by the LVNAV MMFs will be 120 days or less. All investments held by the LVNAV MMFs will have a residual maturity of up to and including 397 days. At least 10% of the LVNAV MMFs’ assets will be daily maturing and at least 30% of the LVNAV MMFs’ assets will be weekly maturing (provided that highly liquid Government Securities which can be redeemed and settled within one day and have a residual maturity of up to 190 days may be included in the weekly maturing assets, up to 17.5%). As such, the LVNAV MMFs are classified as Short Term MMFs and their investment objectives are designed to comply with that classification.
The LVNAV MMFs do not currently use financial derivative instruments ( FDI ) and will not be leveraged.
Investment Objective - Short Term VNAV MMFs
The investment objective of the Short Term Variable Net Asset Value ( VNAV ) MMFs is to maintain a high level of liquidity, preserve capital and provide a return in line with each Fund’s base currency money market rates.
In order to achieve their investment objectives, the Short Term VNAV MMFs invest in a range of investment grade fixed and adjustable rate money market instruments which are transferable securities and primarily denominated in each Fund’s base currency. The Short Term VNAV MMFs have sought and received a derogation from the Central Bank and accordingly may invest up to 100% of their NAV in securities issued or guaranteed by the issuers. The Short Term VNAV MMFs may invest in government securities, securities issued or guaranteed by Supranational Organisations, deposits, certificates of deposit, commercial paper, notes (including floating rate and medium term notes) and bonds (fixed or floating rate) issued by corporate issuers, asset backed commercial paper, when-issued government securities (i.e. securities which are traded on a price or yield basis prior to actual issuance) and any other money market instrument which is a transferable security that the Investment Manager deems to be of comparable credit quality and consistent with the Short Term VNAV MMFs’ investment objectives and which falls within the categories specified in article 9 of the MMF Regulations. The Short Term VNAV MMFs may also invest up to 10% of its assets in aggregate in CIS provided that they are Short Term MMFs.
The WAM of the investments held by the Short Term VNAV MMFs will be 60 days or less and the WAL of the investments held by the Short Term VNAV MMFs will be 120 days or less. All investments held by the Short Term VNAV MMFs will have a residual maturity of up to and including 397 days. At least 7.5% of the Short Term VNAV MMFs’ assets will be daily maturing and at least 15% of the Short Term VNAV MMFs’ assets will be weekly maturing (provided that money market instruments or units or shares in Short Term MMFs may be included in the weekly maturing assets, up to 7.5%, provided they are able to be redeemed and settled within five Business Days). As such, the Short Term VNAV MMFs are classified as Short Term MMFs and their investment objectives are designed to comply with that classification.
The Short Term VNAV MMFs do not currently use FDIs and will not be leveraged.
Investment Objective - Standard VNAV MMFs
The Standard VNAV MMFs seek to provide a return in excess of each Fund’s base currency money market rates, preserve capital and maintain a reasonable level of liquidity.
In order to achieve their investment objectives, the Standard VNAV MMFs invest in a range of investment grade fixed and adjustable rate money market instruments which are transferable securities and primarily denominated in each Fund’s base currency. The Standard VNAV MMFs have sought and received a derogation from the Central Bank and accordingly may invest up to 100% of their NAV in securities issued or guaranteed by the issuers. The Standard VNAV MMFs may invest in government securities, securities issued or guaranteed by Supranational Organisations, deposits, certificates of deposit, commercial paper, notes (including floating rate and medium term notes) and bonds (fixed or floating rate) issued by corporate issuers, asset backed commercial paper, when-issued government securities (i.e. securities which are traded on a price or yield basis prior to actual issuance) and any other money market instrument which is a transferable security that the Investment Manager deems to be of comparable credit quality and consistent with the Standard VNAV MMFs’ investment objectives and which falls within the categories specified in article 9 of the MMF Regulations. The structured notes in which the Standard VNAV MMFs may invest must be freely transferable and comply with the UCITS Regulations for investment in such securities. The Standard VNAV MMFs will not invest in leveraged structured notes. The Standard VNAV MMFs may also invest up to 10% of their assets in aggregate in CIS provided that they are MMFs.
State Street Liquidity Public Limited Company Annual Report and Audited Financial Statements for the financial year ended 31 December 2025
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Background to the Company (continued)
Investment Objective - Standard VNAV MMFs (continued)
The WAM of the investments held by the Standard VNAV MMFs will be 6 months or less and the WAL of the investments held by the Standard VNAV MMFs will be 12 months or less. All investments held by the Standard VNAV MMFs will have a residual maturity of up to and including 2 years. At least 7.5% of the Standard VNAV MMFs’ assets will be daily maturing and at least 15% of the Standard VNAV MMFs’ assets will be weekly maturing (provided that money market instruments or units or shares in Money Market Funds may be included in the weekly maturing assets, up to 7.5%, provided they are able to be redeemed and settled within five Business Days). As such, the Standard VNAV MMFs are classified as a Standard MMFs and their investment objective is designed to comply with that classification. Accordingly, the Standard VNAV MMFs may hold investments that the Investment Manager has assessed as having a credit quality consistent with the investment restrictions of a Standard VNAV MMFs.
The Standard VNAV MMFs do not currently use FDIs and will not be leveraged.
Investment Objective - Public debt MMFs
The investment objective of the Public debt MMFs is to maintain a high level of liquidity, preserve capital and provide a return in line with US Treasury, Euro Government or UK Government money market rates.
In order to achieve their investment objectives, the Public debt MMFs invest in a range of investment grade, fixed and adjustable rate instruments, issued or guaranteed as to principal and interest by the US Treasury, Euro and UK governments, denominated in the Fund’s base currency. The Public debt MMFs have sought and received a derogation from the Central Bank and accordingly may invest up to 100% of their NAV in securities issued or guaranteed by the issuers. The Public debt MMFs may invest in US Treasury securities including bills, notes (including floating rate and medium term notes) and bonds (fixed or floating rate), when-issued government securities (i.e. securities which are traded on a price or yield basis prior to actual issuance), Euro and UK government securities, securities issued or guaranteed by Supranational Organisations and any other money market instrument which is a transferable security that the Investment Manager deems to be of comparable credit quality and consistent with the Public debt MMFs investment objectives and which falls within the categories specified in article 9 of the MMF Regulations. The Public debt MMFs may also invest up to 10% of its assets in aggregate in CIS provided that they are Public Debt MMFs.
The WAM of the investments held by the Public debt MMFs will be 60 days or less and the WAL of the investments held by the Public debt MMFs will be 120 days or less. All investments held by the Public debt MMFs will have a residual maturity of up to and including 397 days. At least 10% of the Public debt MMFs assets will be daily maturing and at least 30% of the Public debt MMFs assets will be weekly maturing (provided that highly liquid Government Securities which can be redeemed and settled within one day and have a residual maturity of up to 190 days may be included in the weekly maturing assets, up to 17.5%). As such, the Public debt MMFs are classified as Short Term MMFs and their investment objectives are designed to comply with that classification.
The Public debt MMFs do not currently use FDIs and will not be leveraged.
LVNAV MMFs, Short Term VNAV MMFs, Standard VNAV MMFs and Public debt MMFs
A Fund may not borrow or lend cash, save that neither (i) repurchase agreements and reverse repurchase agreements; nor (ii) committed overdraft facilities constitute borrowing or lending for this purpose and which will be subject to the limitations under the UCITS Regulations.
Changes to the investment objective of each Fund and material changes to the investment policies of the Funds i.e. changes which would significantly alter the asset type, credit quality, borrowing or leverage limits or risk profile of the Funds, will not at any time be made without the passing of an ordinary resolution of that Fund. In the event of a change of investment objective and/or investment policy of a Fund, a reasonable notification period will be provided by the Company and the Company will provide facilities to enable Shareholders to redeem their Shares prior to implementation of these changes.
State Street Liquidity Public Limited Company Annual Report and Audited Financial Statements for the financial year ended 31 December 2025
State Street Liquidity Public Limited Company 5
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Background to the Company (continued)
LVNAV MMFs, Short Term VNAV MMFs, Standard VNAV MMFs and Public debt MMFs (continued)
Finance costs - Distributions
It is the intention of the Directors to declare a dividend on each Dealing Day in respect of the distributing Share Classes out of a sum equal to the aggregate of the share capital, realised and unrealised gains net of realised and unrealised losses and the net income received by the Company (whether in the form of dividends, interest or otherwise), which will be paid monthly and will, unless the Directors otherwise determine or a Shareholder elects to receive a cash payment of a dividend in the application form, be automatically reinvested in the form of additional Shares. Shareholders shall be entitled to dividends from the Dealing Day on which Shares are issued until the day preceding the Dealing Day on which Shares are redeemed.
It is not the current intention of the Directors to declare dividends in respect of certain accumulating Share Classes, but rather that the sum equal to the aggregate of the share capital, realised and unrealised gains net of realised and unrealised losses and the net income received by the Company (whether in the form of dividends, interest or otherwise) may be accumulated and reinvested on behalf of Shareholders.
Calculation of NAV
The NAV per redeemable participating share, for dealing purposes, shall be the value of the gross assets attributable to the shares less all of the liabilities attributable to such shares (including such provisions and allowances for contingencies as the Administrator considers appropriate in respect of the costs and expenses payable), and dividing the remainder by the number of the relevant redeemable participating shares outstanding at the close of business on each Dealing Day.
The NAV of each Fund is expressed in its functional currency. The calculation of the NAV of each Fund, the NAV of each class in a Fund and the NAV per redeemable participating share is prepared as at the relevant Valuation Point. The Dealing NAV per redeemable participating share of each Fund is available at the Registered office of the Company, and in the case of the Institutional Shares and the Institutional Accumulating Shares is published daily in the Financial Times and in the case of the Institutional Shares, S Shares and Institutional Accumulating Shares (for State Street EUR Liquidity LVNAV Fund, State Street GBP Liquidity LVNAV Fund and State Street USD Liquidity LVNAV Fund) are not published.
State Street Liquidity Public Limited Company Annual Report and Audited Financial Statements for the financial year ended 31 December 2025
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State Street USD Liquidity LVNAV Fund
Investment Objective
The State Street USD Liquidity LVNAV Fund (the “Fund”) seeks to maintain a high level of liquidity, preserve capital and stability of principal expressed in the Fund’s Designated Currency and, consistent with those objectives, earn current income and aims to provide a return in line with money market rates. The Fund’s benchmark is the FTSE 1Month US Treasury Bill (the “Index”).
Performance
For the period from 1 January to 31 December 2025 (the “Reporting Period”), the total gross return for the Fund was 4.53%, and the Index was 4.35%. The Fund tracked within expectations to the Index during the Reporting Period while keeping in line with its investment guidelines.
Market Summary
Over the course of 2025 the Fund adhered to its primary objective of principle preservation and liquidity while generating a market rate of return. Due to mixed economic data and slow-to-cool inflation, the Federal Reserve was slow to continue its rate cutting cycle, and short-term Treasury and spread-based strategies benefitted from yields remaining higher for longer. Ultimately the Fed cut interest rates by a total of 75 basis points (“bps”), with rate decisions taking place in the last three meetings of 2025, decreasing the Fund’s one-day yield from 4.60% at the start of the year to 3.91% by year-end. Cash Fund returns are expected to be dampened in 2026 compared to 2025 due to lowered interest rates.
Short-term yields, particularly 1-month Treasury yields, experienced headline-based fluctuations throughout the first half of 2025, before declining meaningfully at the commencement of the rate cutting cycle. One-month Bills started the year yielding 4.28% and ended the year at 3.95%.
Investor demand for money market funds (MMFs) remained robust during this period. The attractiveness of MMFs was underscored by their competitive yields relative to other investment alternatives. As a result, MMF assets in the United States reached a significant milestone, with total assets amounting to $7 trillion. This growth was driven by both retail and institutional investors, highlighting the continued confidence in the stability and returns offered by money market instruments.
Fund Summary
Assets under management (AUM) ended the Reporting Period around $26.4 billion, a decrease of about $1.5 billion from the start of the reporting period. At year end, the weighted average maturity (WAM) of the Fund, measuring interest rate sensitivity, was around 45 days, an increase from 38 days at the start of the year. The weighted average life (WAL) reflecting the credit risk for the Fund was 76 days, an increase from the 75 days reported at the beginning of the year. At the end of the Reporting Period, commercial paper, certificates of deposits, and time deposits made up a combined 70% of the Fund’s holdings. Just under 65% of the Fund’s holdings had a liquidity schedule of less than three months, with 28% having overnight liquidity. The Fund maintained its objectives of liquidity and principal preservation throughout the Reporting Period.
The top positive contributors to the Fund’s performance were:
• The portfolio was invested in asset backed commercial paper (~30% of holdings) which provided enhanced yield premium.
• Hesitation by the Fed to cut interest rates amid strong data – the higher interest rates for much of the year benefitted cash funds.
• Due to positive market sentiment, portfolio managers felt comfortable keeping the portfolio duration extended, leading to a pick-up in returns over one-month Bills.
The top negative contributors to the Fund’s performance were:
• Excess liquidity in the markets deposited with central banks.
State Street Liquidity Public Limited Company Annual Report and Audited Financial Statements for the financial year ended 31 December 2025
Investment Manager’s Report for the financial year ended 31 December 2025
State Street Liquidity Public Limited Company 7
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State Street USD Liquidity LVNAV Fund (continued)
Fund Summary (continued)
31 December 2025 Reporting Period
Since Inception
Date of Inception (%) (% p.a.) Fund 4.53 2.55 26 March 1997 Benchmark 4.35 2.34
Performance is shown annualised and gross of fees. Benchmark – FTSE 1Month US Treasury Bill. Past performance is not a guarantee of future results.
State Street Liquidity Public Limited Company Annual Report and Audited Financial Statements for the financial year ended 31 December 2025
Investment Manager’s Report for the financial year ended 31 December 2025 (continued)
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State Street GBP Liquidity LVNAV Fund
Investment Objective
State Street GBP Liquidity LVNAV Fund (the “Fund”) seeks to maintain a high level of liquidity, preserve capital and stability of principal expressed in the Fund’s Designated Currency and, consistent with those objectives, earn current income and aims to provide a return in line with money market rates. The Fund’s benchmark is SONIA Compounded Index (the “Index”).
Performance
For the period 1 January to 31 December 2025 (the “Reporting Period”), the total gross return for the Fund was 4.46% and the Index was 4.32%. The Fund tracked within expectations to the Index during the Reporting Period while keeping in line with its investment guidelines.
Market Commentary
In 2025, UK money markets remained shaped by a prolonged period of restrictive monetary policy, with sterling front-end rates staying elevated for much of the year as inflation proved slower to normalize than in peer economies. The Bank of England held Bank Rate at restrictive levels through most of the year, signaling caution and emphasizing the need for sustained evidence of disinflation before easing policy, even as growth remained sluggish and fiscal constraints tightened. Against this backdrop, SONIA and short-dated sterling instruments offered historically attractive carry, supporting strong demand for high-quality cash assets. Liquidity conditions remained orderly, though tighter than in the euro area, with money-market participants increasingly sensitive to rate volatility around MPC communications. Structural factors also played a role, including the gradual maturation of UK defined-benefit pension schemes and shifting gilt demand, which influenced collateral dynamics and repo pricing at the margin. As fiscal headroom narrowed and political uncertainty persisted, UK money markets reflected a balance between elevated income generation and heightened reinvestment and policy-timing risk. By year-end, expectations for eventual Bank Rate cuts moved closer into focus, but the overall message from the Bank remained one of patience, reinforcing the importance of liquidity discipline and active cash management in sterling portfolios.
Fund Summary
Assets under management (AUM) started the year at £6.1 billion and finished at £5.9 billion. The weighted average maturity (WAM) started at 27 days and ended at 22 days. The weighted average life (WAL) started at 67 days and ended at 61 days. Fund investments were typically kept within a one-month duration as short-term yields typically offered better returns relative to extending duration. When appropriate, term trades were added to take advantage of higher yields offered. Fund liquidity requirements, both overnight and weekly always remained comfortably more than minimum requirements. Fund liquidity was covered through a combination of government and supranational holdings, gilt repo, and bank deposits.
The top positive contributors to the Fund’s performance were:
• Selective longer-duration investments were added to lock in higher yields relative to the curve.
• Corporate and asset backed commercial paper provided enhanced yield premium and shorter-duration options compared to financial institutions.
• Investments in agency and quasi-government issuers provided liquidity and enhanced yields relative to UK Treasury bills.
• Increased number of gilt reverse repurchase agreement counterparties provided additional liquidity capacity.
The top negative contributors to the Fund’s performance were:
• Measured investment approach maintaining shorter-duration investments against timing of BoE policy action.
• Reducing fund duration in the lead up to UK Budget uncertainty and outcome for markets.
State Street Liquidity Public Limited Company Annual Report and Audited Financial Statements for the financial year ended 31 December 2025
Investment Manager’s Report for the financial year ended 31 December 2025 (continued)
State Street Liquidity Public Limited Company 9
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State Street GBP Liquidity LVNAV Fund (continued)
Fund Summary (continued)
31 December 2025 Reporting Period
Since Inception
Date of Inception (%) (% p.a.) Fund 4.46 2.98 27 July 2001 Benchmark 4.32 2.79
Performance is shown annualised and gross of fees. Benchmark - SONIA Compounded Index. Past performance is not a guarantee of future results.
State Street Liquidity Public Limited Company Annual Report and Audited Financial Statements for the financial year ended 31 December 2025
Investment Manager’s Report for the financial year ended 31 December 2025 (continued)
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State Street EUR Liquidity LVNAV Fund
Investment Objective
State Street EUR Liquidity LVNAV Fund (the “Fund”) seeks to maintain a high level of liquidity, preserve capital and stability of principal expressed in the Fund’s Designated Currency and, consistent with those objectives, earn current income and provide a return in line with money market rates. The Fund’s benchmark is Bloomberg Xestron Index (the “Index”).
Performance
For the period 1 January to 31 December 2025 (the “Reporting Period”), the Fund recorded a total return of 2.36% and the Index returned 2.19%. The Fund tracked within expectations to the Index during the Reporting Period while keeping in line with its investment guidelines.
Market Commentary
In 2025, European money markets transitioned into a more normalized phase as front-end rates moved lower and liquidity dynamics increasingly shaped pricing and activity. The European Central Bank cut its three key policy rates by 25 basis points in June, lowering the deposit facility rate to 2.00%, and subsequently held rates steady into year-end, maintaining a data-dependent approach with policy viewed as appropriately calibrated. Alongside rate easing, the ECB continued balance-sheet normalization, with asset purchase programme holdings running off and pandemic programme reinvestments having ended at the close of 2024, contributing to a gradual decline in excess liquidity. While liquidity remained ample, its uneven distribution elevated the importance of secured funding markets, with repo markets expanding significantly and playing a central role in reserve redistribution. Money-market benchmarks such as € STR tracked policy easing closely, moving lower over the course of the year as the € STR deposit rate spread narrowed. Against this backdrop, market volatility remained contained, carry values were attractive, and investor focus increasingly shifted toward reinvestment risk and liquidity management as the system edged away from peak surplus reserves.
Fund Summary
Assets under management (AUM) started the period at € 8.3 billion and finished at € 8.6 billion. The fund’s weighted average maturity (WAM) started the year at 38 days and ended at 34 days. The weighted average life (WAL) started at 60 days and ended at 55 days. The investments were made in high-quality credit issuers, out to three months, with some selective longer-dated investments. Asset-backed commercial paper continued to be in good supply, offering flexible duration and attractive returns. Investments in sovereign, agency and government-guaranteed holdings were maintained to provide high credit quality and maintain liquidity buffers.
The top positive contributors to the Fund’s performance were:
• Corporate and asset backed commercial paper provided enhanced yield premium and shorter-duration options compared to financials.
• Agency and quasi-sovereign issuers provide liquidity and enhanced yields compared to Euro treasury bills.
The top negative contributors to the Fund’s performance were:
• Bank deposit levels trade below the ECB deposit rate given the surplus liquidity in the market.
• Fund duration lowered to better understand market direction for yields in terms of direction for ECB policy.
State Street Liquidity Public Limited Company Annual Report and Audited Financial Statements for the financial year ended 31 December 2025
Investment Manager’s Report for the financial year ended 31 December 2025 (continued)
State Street Liquidity Public Limited Company 11
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State Street EUR Liquidity LVNAV Fund (continued)
Fund Summary (continued)
31 December 2025 Reporting Period
Since Inception
Date of Inception (%) (% p.a.) Fund 2.36 1.52 27 July 2001 Benchmark 2.19 1.32
Performance is shown annualised and gross of fees. Benchmark - Bloomberg Xestron Index. Past performance is not a guarantee of future results.
State Street Liquidity Public Limited Company Annual Report and Audited Financial Statements for the financial year ended 31 December 2025
Investment Manager’s Report for the financial year ended 31 December 2025 (continued)
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State Street EUR Liquidity Standard VNAV Fund
Investment Objective
State Street EUR Liquidity Standard VNAV Fund (the “Fund”) seeks to achieve a return above EUR money markets over a rolling three-year period by investing in a diversified portfolio of investment-grade debt and debt-related instruments. The Fund’s benchmark is the Bloomberg Xestron Index (the “Index”).
Performance
For the period 1 January to 31 December 2025 (“the Reporting Period”) the total return for the Fund was 2.40% and the Index was 2.19%. The Fund tracked within expectations to the Index during the Reporting Period while keeping in line with its investment guidelines.
Market Commentary
In 2025, European money markets transitioned into a more normalized phase as front-end rates moved lower and liquidity dynamics increasingly shaped pricing and activity. The European Central Bank cut its three key policy rates by 25 basis points in June, lowering the deposit facility rate to 2.00%, and subsequently held rates steady into year-end, maintaining a data-dependent approach with policy viewed as appropriately calibrated. Alongside rate easing, the ECB continued balance-sheet normalization, with asset purchase programme holdings running off and pandemic programme reinvestments having ended at the close of 2024, contributing to a gradual decline in excess liquidity. While liquidity remained ample, its uneven distribution elevated the importance of secured funding markets, with repo markets expanding significantly and playing a central role in reserve redistribution. Money-market benchmarks such as € STR tracked policy easing closely, moving lower over the course of the year as the € STR deposit rate spread narrowed. Against this backdrop, market volatility remained contained, carry values were attractive, and investor focus increasingly shifted toward reinvestment risk and liquidity management as the system edged away from peak surplus reserves.
Fund Summary
Fund net assets started the year at € 362 million and finished the period at € 2,365 million. The weighted average maturity (WAM) measuring interest rate sensitivity, started the period at 39 days and finished at 64 days. Similarly, the weighted average life (WAL) measuring credit risk started at 68 days, finishing at 115 days.
The top positive contributors to the Fund’s performance were:
• Asset Backed commercial paper that contributed additional yield over securities of the same maturity profile.
• Purchases of A2/P2 rated short term securities both financial and corporate that enhance yield and diversification of holdings.
The top negative contributors to the Fund’s performance were:
• Lack of secondary bonds offering value longer than 12 months.
• Lack of fund eligible new issued bonds longer than 12 months.
State Street Liquidity Public Limited Company Annual Report and Audited Financial Statements for the financial year ended 31 December 2025
Investment Manager’s Report for the financial year ended 31 December 2025 (continued)
State Street Liquidity Public Limited Company 13
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State Street EUR Liquidity Standard VNAV Fund (continued)
Fund Summary (continued)
31 December 2025 Reporting Period
Since Inception
Date of Inception (%) (% p.a.) Fund 2.40 1.09 25 July 2014 Benchmark 2.19 0.87
Performance is shown annualised and gross of fees. Benchmark - Bloomberg Xestron Index. Past performance is not a guarantee of future results.
State Street Liquidity Public Limited Company Annual Report and Audited Financial Statements for the financial year ended 31 December 2025
Investment Manager’s Report for the financial year ended 31 December 2025 (continued)
14 State Street Liquidity Public Limited Company
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State Street USD Treasury Liquidity Fund
Investment Objective
The State Street USD Treasury Liquidity Fund (the “Fund”) seeks to maintain a high level of liquidity, preserve capital and stability of principal expressed in the Fund’s Designated Currency and, consistent with those objectives, earn current income and aims to provide a return in line with money market rates. The Fund’s benchmark is the ICE BofAML US 3 Month Treasury Bill (the “Index”).
Performance
For the period from 1 January to 31 December 2025 (the “Reporting Period”), the total gross return for the Fund was 4.36%, and the Index was 4.18%. The Fund tracked within expectations to the Index during the Reporting Period while keeping in line with its investment guidelines.
Market Summary
Over the course of 2025 the fund adhered to its primary objective of principle preservation and liquidity while generating a market rate of return. Due to mixed economic data and slow-to-cool inflation, the Federal Reserve was slow to continue its rate cutting cycle, and short-term Treasury and spread-based strategies benefitted from yields remaining higher for longer. Ultimately the Fed cut interest rates by a total of 75 basis points (“bps”), with rate decisions taking place in the last three meetings of 2025, decreasing the Fund’s one-day yield from 4.60% at the start of the year to 3.91% by year-end. Cash fund returns are expected to be dampened in 2026 compared to 2025 due to lowered interest rates.
Short-term yields, particularly 1-month Treasury yields, experienced headline-based fluctuations throughout the first half of 2025, before declining meaningfully at the commencement of the rate cutting cycle. One-month Bills started the year yielding 4.28% and ended the year at 3.95%.
Investor demand for money market funds (MMFs) remained robust during this period. The attractiveness of MMFs was underscored by their competitive yields relative to other investment alternatives. As a result, MMF assets in the United States reached a significant milestone, with total assets amounting to $7 trillion. This growth was driven by both retail and institutional investors, highlighting the continued confidence in the stability and returns offered by money market instruments.
Fund Summary
Assets under management (AUM) ended the Reporting Period at $4.16 billion, a decrease of $64 million from the start of the year. At year-end, the weighted average maturity (WAM) of the Fund, measuring interest rate sensitivity, was around 49 days, an increase of 10 days since the start of the year. The fund’s composition changed from an almost 50/50 split of Treasury and Treasury repo at the start of the year, to 84% Treasury and 16% repo at the end of the year. The Fund maintained its objectives of liquidity and principal preservation throughout the Reporting Period.
The top positive contributors to the Fund’s performance were:
• Hesitation by the Fed to cut interest rates amid strong data – the higher interest rates benefitted cash funds.
• Investing in overnight repo as well as longer dated (>1 month) bills – increasing the WAM.
• Due to positive market sentiment, portfolio managers felt comfortable extending portfolio duration, leading to a pick-up in returns over three month Bills.
The top negative contributors to the Fund’s performance were:
• Excess liquidity in the markets deposited with central banks.
State Street Liquidity Public Limited Company Annual Report and Audited Financial Statements for the financial year ended 31 December 2025
Investment Manager’s Report for the financial year ended 31 December 2025 (continued)
State Street Liquidity Public Limited Company 15
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State Street USD Treasury Liquidity Fund (continued)
Fund Summary (continued)
31 December 2025 Reporting Period
Since Inception
Date of Inception (%) (% p.a.) Fund 4.36 2.53 12 June 2017 Benchmark 4.18 2.48
Performance is shown annualised and gross of fees. Benchmark - ICE BofA US 3 Month Treasury Bill Index. Past performance is not a guarantee of future results.
State Street Liquidity Public Limited Company Annual Report and Audited Financial Statements for the financial year ended 31 December 2025
Investment Manager’s Report for the financial year ended 31 December 2025 (continued)
16 State Street Liquidity Public Limited Company
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State Street EUR Government Liquidity Fund
Investment Objective
The State Street EUR Government Liquidity Fund (the “Fund”) seeks to maintain a high level of liquidity, preserve capital and provide a return in line with Euro Government money market rates. The Fund’s benchmark is the Bloomberg Xestron Index (the “Index”).
Performance
For the period from 1 January to 31 December 2025 (the “Reporting Period”) the fund’s yield at 2.25% and the Index was 2.19%. The Fund tracked within expectations to the Index during the period while keeping in line with its investment guidelines.
Market Commentary
In 2025, European money markets transitioned into a more normalized phase as front-end rates moved lower and liquidity dynamics increasingly shaped pricing and activity. The European Central Bank cut its three key policy rates by 25 basis points (“bps”) in June, lowering the deposit facility rate to 2.00%, and subsequently held rates steady into year-end, maintaining a data-dependent approach with policy viewed as appropriately calibrated. Alongside rate easing, the ECB continued balance-sheet normalization, with asset purchase programme holdings running off and pandemic programme reinvestments having ended at the close of 2024, contributing to a gradual decline in excess liquidity. While liquidity remained ample, its uneven distribution elevated the importance of secured funding markets, with repo markets expanding significantly and playing a central role in reserve redistribution. Money-market benchmarks such as € STR tracked policy easing closely, moving lower over the course of the year as the € STR deposit rate spread narrowed. Against this backdrop, market volatility remained contained, carry values were attractive, and investor focus increasingly shifted toward reinvestment risk and liquidity management as the system edged away from peak surplus reserves.
Fund Summary
The Fund started 2025 with € 163 and finished with € 240 million. The weighted average maturity started at 12 days and finished at 10 days. The weighted average life was the same and started at 10 days and finished at 10 days. Both overnight and weekly liquidity requirements were in excess of regulatory requirements at all times.
The top positive contributors to the Fund’s performance were:
• Euro repo paid higher than unsecured deposits
• Selective purchase of highly liquid investments in government bills that yield more than repo.
The top negative contributors to the Fund’s performance were:
• Rate cut expectations made it hard to place term investments in T-Bills
• Quarter end volatility and balance sheet challenges pressured rates
State Street Liquidity Public Limited Company Annual Report and Audited Financial Statements for the financial year ended 31 December 2025
Investment Manager’s Report for the financial year ended 31 December 2025 (continued)
State Street Liquidity Public Limited Company 17
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State Street EUR Government Liquidity Fund (continued)
Fund Summary (continued)
31 December 2025 Reporting Period
Since Inception (%) Date of Inception (%) (% p.a.) Fund 2.25 2.95 22 January 2024 Benchmark 2.19 2.89
Performance is shown annualised and gross of fees. Benchmark - Bloomberg Xestron Index. Past performance is not a guarantee of future results.
State Street Liquidity Public Limited Company Annual Report and Audited Financial Statements for the financial year ended 31 December 2025
Investment Manager’s Report for the financial year ended 31 December 2025 (continued)
18 State Street Liquidity Public Limited Company
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State Street GBP Government Liquidity Fund
Investment Objective
The State Street GBP Government Liquidity Fund (the “Fund”) seeks to maintain a high level of liquidity, preserve capital and provide a return in line with UK Government money market rates. The Fund’s benchmark is the SONIA Compounded Index (the “Index”).
Performance
For the period from 1 January to 31 December 2025 (the “Reporting Period”) the total return for the Fund was 4.35% and the Index was 4.32%. The Fund tracked within expectations to the Index during the period while keeping in line with its investment guidelines..
Market Commentary
In 2025, UK money markets remained shaped by a prolonged period of restrictive monetary policy, with sterling front-end rates staying elevated for much of the year as inflation proved slower to normalize than in peer economies. The Bank of England held Bank Rate at restrictive levels through most of the year, signaling caution and emphasizing the need for sustained evidence of disinflation before easing policy, even as growth remained sluggish and fiscal constraints tightened. Against this backdrop, SONIA and short-dated sterling instruments offered historically attractive carry, supporting strong demand for high-quality cash assets. Liquidity conditions remained orderly, though tighter than in the euro area, with money-market participants increasingly sensitive to rate volatility around MPC communications. Structural factors also played a role, including the gradual maturation of UK defined-benefit pension schemes and shifting gilt demand, which influenced collateral dynamics and repo pricing at the margin. As fiscal headroom narrowed and political uncertainty persisted, UK money markets reflected a balance between elevated income generation and heightened reinvestment and policy-timing risk. By year-end, expectations for eventual Bank Rate cuts moved closer into focus, but the overall message from the Bank remained one of patience, reinforcing the importance of liquidity discipline and active cash management in sterling portfolios.
Fund Summary
The Fund started 2025 with £430 and finished with £307 million. The weighted average maturity started at 25 days and finished at 24 days. The weighted average life was the same and started at 25 days and finished at 24 days. The Fund yield moved lower in line with Bank of England rate cuts.
The top positive contributors to the Fund’s performance were:
• Gilt repo paid higher than unsecured deposits
• Selective purchase of highly liquid investments in government bills that yield more than repo.
The top negative contributors to the Fund’s performance were:
• Rate cut expectations made it hard to place term investments in T-Bills
• Quarter end volatility and balance sheet challenges pressured rates
State Street Liquidity Public Limited Company Annual Report and Audited Financial Statements for the financial year ended 31 December 2025
Investment Manager’s Report for the financial year ended 31 December 2025 (continued)
State Street Liquidity Public Limited Company 19
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State Street GBP Government Liquidity Fund (continued)
Fund Summary (continued)
31 December 2025 Reporting Period
Since Inception (%)
Date of Inception (%) (% p.a.) Fund 4.35 4.69 10 April 2024 Benchmark 4.32 4.66
Performance is shown annualised and gross of fees. Benchmark - SONIA Compounded Index. Past performance is not a guarantee of future results.
State Street Liquidity Public Limited Company Annual Report and Audited Financial Statements for the financial year ended 31 December 2025
Investment Manager’s Report for the financial year ended 31 December 2025 (continued)
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Directors’ Report
The Directors present herewith their annual report for the financial year ended 31 December 2025.
Statement of Directors’ Responsibilities The Directors are responsible for preparing the Directors’ Report and the financial statements in accordance with the Irish law.
The Irish law requires the Directors to prepare financial statements for each financial year. Under that law the Directors have prepared the financial statements in accordance with International Financial Reporting Standards (the “IFRS”) as adopted by the European Union (the “EU”).
Under the Irish law the Directors shall not approve the financial statements unless they are satisfied that they give a true and fair view of the Company’s assets, liabilities and financial position as at the end of the financial year and of the profit or loss of the Company for the financial year.
In preparing these financial statements, the Directors are required to: • select suitable accounting policies and then apply them consistently; • make judgements and estimates that are reasonable and prudent; • state whether the financial statements have been prepared in accordance with the IFRS and ensure that they contain the additional information required by the Companies Act 2014; and • prepare the financial statements on the going concern basis unless it is inappropriate to presume that the Company will continue in business.
The Directors are responsible for keeping adequate accounting records that are sufficient to: • correctly record and explain the transactions of the Company; • enable, at any time, the assets, liabilities, financial position and profit or loss of the Company to be determined with reasonable accuracy; and • enable the Directors to ensure that the financial statements comply with the Companies Act 2014 and enable those financial statements to be audited.
The Directors are responsible for safeguarding the assets of the Company. In this regard they have entrusted the assets of the Company to State Street Custodial Services (Ireland) Limited (the “Depositary”) who has been appointed as Depositary to the Company pursuant to the terms of a Depositary Agreement. The Directors have a general responsibility for taking such steps as are reasonably open to them to prevent and detect fraud and other irregularities.
The financial statements are published on the www.ssga.com website. The Directors, together with the Investment Manager are responsible for the maintenance and integrity of the financial information included on this website. Legislation in the Republic of Ireland governing preparation and dissemination of the financial statements may differ from legislation in other jurisdictions.
Relevant Audit Information In accordance with Section 330 of the Companies Act 2014, each of the persons who are directors at the time this report is approved confirms that:
(a) so far as the director is aware, there is no relevant audit information of which the Company’s statutory auditors are unaware; and
(b) the director has taken all the steps that he or she ought to have taken as a director in order to make himself or herself aware of any relevant audit information and to establish that the Company’s statutory auditors are aware of that information.
Accounting records The Directors ensure compliance with the Company’s obligation to maintain adequate accounting records by appointing competent persons to be responsible for them. The accounting records are kept by State Street Fund Services (Ireland) Limited, at 78 Sir John Rogerson’s Quay, Dublin 2, D02 HD32, Ireland.
Review of business and future developments The Company is an open-ended investment company with variable capital which has been authorised by the Central Bank of Ireland. There was no change in the nature of the Company’s business during the financial year.
State Street Liquidity Public Limited Company Annual Report and Audited Financial Statements for the financial year ended 31 December 2025
State Street Liquidity Public Limited Company 21
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Directors’ Report (continued)
Review of business and future developments (continued) The investment objectives of the Funds are outlined in the Background to the Company. The assets under management in the Company decreased to GBP 39,138,238,205 from GBP 39,758,103,756 during the financial year. A market review, fund review and review of future developments if any, is included under the Investment Manager’s Report.
Management Company The Company has appointed State Street Global Advisors Europe Limited to be responsible for the day-to-day management of its affairs subject to the overall supervision of the Board. The Management Company is responsible for the investment management of the assets of the Company, the administration of the Company and the implementation of the Company’s and Funds’ distribution and marketing policy.
Risk management objectives and policies The main risks arising from the Company’s financial instruments are market risk, interest risk, liquidity risk and credit risk. Non financial risks would include management risk, market disruption/geopolitical risk, commodities risk, concentration risk and conflicts of interest risk. For further information on risk management objectives and policies, please see Note 12 of these financial statements and the Prospectus and Supplements of the Company.
Corporate Governance Statement
General Principles The Company is required to comply with the requirements of the Companies Act 2014 (the “Companies Act”) and UCITS Regulations, as applicable to the Company.
The Company is subject to corporate governance practices imposed by: The Companies Act 2014 which is available for inspection at the registered office of the Company and may also be obtained at http://www.irishstatutebook.ie ;
The Articles of Association of the Company which are available for inspection at the registered office of the Company and at the Companies Registration Office in Ireland; and
The Central Bank UCITS Regulations and Guidance which can be obtained from the Central Bank’s website at https://www.centralbank.ie/regulation/industry-market-sectors/funds/ucits and are available for inspection at the registered office of the Company.
On 27 November 2012, the Board of Directors (the “Board”) voluntarily adopted the IF Code for Irish domiciled collective investment schemes, as the Company’s corporate governance code effective from 1 January 2013.
Dealings with Shareholders The convening and conduct of shareholders’ meetings are governed by the Articles of Association of the Company and the Companies Act. Although the Board may convene an extraordinary general meeting of the Company at any time, the Directors were required to convene the first annual general meeting of the Company within eighteen months of incorporation and fifteen months of the date of the previous annual general meeting thereafter, provided that an annual general meeting is held within six months of the end of each financial year of the Company.
At least twenty-one clear days’ notice of every annual general meeting and any meeting convened for the passing of a special resolution must be given to shareholders and fourteen days’ notice must be given in the case of any other general meeting, unless the auditors of the Company and all the shareholders of the Company entitled to attend and vote agree to shorter notice. Two shareholders present either in person or by proxy constitutes a quorum at a general meeting. The share capital of the Company is divided into different classes of shares and the Companies Act and the Articles of Association provide that the quorum for a general meeting convened to consider any alteration to the rights attached to any class of shares, is two or more shareholders present in person or by proxy, holding or representing by proxy at least one third of the issued shares of the relevant class.
Every holder of participating shares or non-participating shares present, in person or by proxy who votes on a show of hands is entitled to one vote. On a poll, every holder of participating shares present, in person or by proxy, is entitled to one vote in respect of each share held by him, and every holder of non-participating shares is entitled to one vote in respect of all non-participating shares held by him. At any general meeting of the Company, a resolution put to the vote of the meeting is decided on a show of hands unless, before or upon the declaration of the result of the show of hands, a poll is demanded by the chairman of the general meeting, or by at least five members or shareholders present, in person or by proxy, having the right to vote at such meeting, or any holder or holders of participating shares present, in person or by proxy, representing at least one tenth of the shares in issue having the right to vote at such meeting.
State Street Liquidity Public Limited Company Annual Report and Audited Financial Statements for the financial year ended 31 December 2025
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Directors’ Report (continued)
Corporate Governance Statement (continued)
Dealings with Shareholders (continued) Shareholders may resolve to sanction an ordinary resolution or special resolution at a shareholders’ meeting. Alternatively, a resolution in writing signed by all of the shareholders and holders of non-participating shares for the time being entitled to attend and vote on such resolution at a general meeting of the Company, will be valid and effective for all purposes as if the resolution had been passed at a general meeting of the Company duly convened and held. An ordinary resolution of the Company (or of the shareholders of a particular fund or class of shares) requires a simple majority of the votes cast by the shareholders voting, in person or by proxy, at the meeting at which the resolution is proposed. A special resolution of the Company (or of the shareholders of a particular fund or class of shares) requires a majority of not less than 75% of shareholders present, in person or by proxy, and voting in general meeting in order to pass a special resolution including a resolution to amend the Articles of Association.
Board composition and activities In accordance with the Companies Act and the Articles of Association, unless otherwise determined by an ordinary resolution of the Company in general meeting, the number of Directors may not be less than two nor more than twelve. Currently the Board is comprised of three non-executive Directors, two of whom are independent. Details of the current Directors are set out below, under the heading “Directors”.
The business of the Company is managed by the Directors, who exercise all such powers of the Company as set out by the Companies Act or by the Articles of Association of the Company required to be exercised by the Company in general meeting.
The Board is responsible for the Company’s overall direction and strategy and to this end it reserves the decision making power on issues such as the determination of medium and long term goals, review of managerial performance, organisational structure and capital needs and commitments to achieve the Company’s strategic goals. To achieve these responsibilities, the Board meets four times a year to review the operations of the Company, address matters of strategic importance and to receive reports from the Administrator, Depositary and the Investment Manager. However, a Director may, and the company secretary on the requisition of a Director will, at any time summon a meeting of the Directors. Ad hoc meetings, in addition to the four meetings, are convened as required.
Questions arising at any meeting of the Directors are determined by the Chairman. In the case of an equality of votes, the Chairman of the meeting at which the show of hands takes place or at which the poll is demanded shall be entitled to a second or casting vote. The quorum necessary for the transaction of business at a meeting of the Directors is two.
Directors’ Compliance Statement In accordance with Section 225 of the Companies Act 2014, the Directors:
(a) acknowledge that they are responsible for securing the Company’s compliance with its relevant obligations; and
(b) confirm that:
i) A compliance policy statement has been prepared setting out the Company’s policies (that, in the Directors’ opinion, are appropriate to the Company) for ensuring compliance by the company with its relevant obligations; ii) An adequate structure is in place, that in the Directors’ opinion, is designed to secure material compliance with the Company’s relevant obligations; and iii) An annual review procedure has been put in place to review the Company’s relevant obligations and ensure a structure is in place to comply with these obligations.
Results and dividends The results and dividends for the financial year are set out in the Statement of Comprehensive Income.
Events during the financial year Please refer to Note 21 in the notes to the financial statements.
Events since the financial year end Please refer to Note 22 in the notes to the financial statements.
State Street Liquidity Public Limited Company Annual Report and Audited Financial Statements for the financial year ended 31 December 2025
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Directors’ Report (continued)
Directors The names of the persons who were Directors at any time during the financial year ended 31 December 2025 are set out below. Unless otherwise indicated, they served for the entire financial year:
Barbara Healy* (Irish) Rebecca Bridger (British) Tom Coghlan* (Irish)
*Independent Director. All other Directors are not independent Directors. All of the Directors are non-executive Directors.
The Directors’ fees for the independent Directors during the financial year were GBP 99,455 (31 December 2024: GBP 126,741), the amount payable to the Directors at financial year end was GBP 49,872 (31 December 2024: GBP 67,440).
Directors’ and Secretary’s Interests The Board is not aware of any shareholding in the Company by any Director or secretary during the financial year ended 31 December 2025 or 31 December 2024.
Political donations There were no political donations made during the financial year ended 31 December 2025 or 31 December 2024.
Independent Auditors The auditors, PricewaterhouseCoopers, have indicated their willingness to continue in office in accordance with Section 382(2) of the Companies Act 2014.
Audit Committee In accordance with Section 167 of Companies Act 2014, the Board of Directors of the Company has considered the requirement to establish an Audit Committee. Having regard to the nature, scale, and complexity of the Company’s current operations, the Board has determined that it is not necessary to establish a separate Audit Committee at this time. The Board is satisfied that the existing governance framework provides effective oversight of the Company’s financial reporting process, internal controls, risk management systems, and audit functions. These responsibilities are undertaken directly by the full Board, which includes directors with relevant financial and accounting expertise. The Board will continue to review this position on a periodic basis to ensure that the Company’s governance arrangements remain appropriate and in compliance with applicable legislation.
The Company had previously established an Audit Committee on 26 February 1998, comprising Barbara Healy and Tom Coghlan. The committee met at least once annually in line with the reporting and audit cycle and oversaw financial reporting, the external audit process, and related reporting responsibilities. The Audit Committee was formally dissolved on 9 December 2025.
Dealings with Connected Persons Regulation 43(1) of the UCITS Regulations “Restrictions on transactions with connected persons” states that “A responsible person shall ensure that any transaction between a UCITS and a connected person is conducted a) at arm’s length; and b) in the best interest of the shareholders of the UCITS”.
As required under UCITS Regulation 81.4, the Directors, as responsible persons are satisfied that there are in place arrangements, evidenced by written procedures, to ensure that the obligations that are prescribed by Regulation 43(1) are applied to all transactions with a connected person; and all transactions with connected persons that were entered into during the financial year to which the report relates complied with the obligations that are prescribed by Regulation 43(1).
On behalf of the Board:
Date: 22 April 2026
Director Barbara Healy Director Rebecca Bridger
State Street Liquidity Public Limited Company Annual Report and Audited Financial Statements for the financial year ended 31 December 2025
24 State Street Liquidity Public Limited Company
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Report of the Depositary to the Shareholders
Report of the Depositary to the Shareholders We have enquired into the conduct of State Street Global Advisors Europe Limited as the Manager of State Street Liquidity Public Limited Company (“the Company”) and into the conduct of the Company itself for the financial year ended 31 December 2025, in our capacity as Depositary to the Company.
This report including the opinion has been prepared for and solely for the Shareholders in the Company as a body, in accordance with Regulation 34, (1), (3) and (4) Part 5 of the European Communities UCITS Regulations 2011, as amended, (the “UCITS Regulations”), and for no other purpose. We do not, in giving this opinion, accept or assume responsibility for any other purpose or to any other person to whom this report is shown.
Responsibilities of the Depositary Our duties and responsibilities are outlined in Regulation 34, (1), (3) and (4) in Part 5 of the UCITS Regulations. One of those duties is to enquire into the conduct of the Manager and Company in each annual accounting year and report thereon to the Shareholders.
Our report shall state whether, in our opinion, the Company has been managed in that financial year in accordance with the provisions of the Company’s Constitution (the “Constitution”) and the UCITS Regulations. It is the overall responsibility of the Manager and the Company to comply with these provisions. If the Manager or the Company has not so complied, we as Depositary must state why this is the case and outline the steps which we have taken to rectify the situation.
Basis of Depositary Opinion The Depositary conducts such reviews as it, in its reasonable opinion, considers necessary in order to comply with its duties as outlined in Regulation 34, (1), (3) and (4) in Part 5 of the UCITS Regulations and to ensure that, in all material respects, the Company has been managed (i) in accordance with the limitations imposed on its investment and borrowing powers by the provisions of the Constitution and the UCITS Regulations and (ii) otherwise in accordance with the Constitution and the appropriate regulations.
Opinion In our opinion, the Company has been managed during the financial year, in all material respects:
(i) in accordance with the limitations imposed on the investment and borrowing powers of the Company by the Constitution, the UCITS Regulations and the Central Bank (Supervision And Enforcement) Act 2013 (Section 48(1)) (Undertakings For Collective Investment In Transferable Securities) Regulations 2019 (the “Central Bank UCITS Regulations); and
(ii) otherwise in accordance with the provisions of the Constitution, the UCITS Regulations and the Central Bank UCITS Regulations.
State Street Custodial Services (Ireland) Limited 78 Sir John Rogerson’s Quay Dublin 2, D02 HD32, Ireland
Date: 22 April 2026
State Street Liquidity Public Limited Company Annual Report and Audited Financial Statements for the financial year ended 31 December 2025
State Street Liquidity Public Limited Company 25
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Independent auditors’ report to the members of State
Street Liquidity Public Limited Company
Report on the audit of the financial statements
Opinion
In our opinion, State Street Liquidity Public Limited Company’s financial statements:
• give a true and fair view of the company’s and funds' assets, liabilities and financial position as at 31 December 2025 and of their results and cash flows for the year then ended; • have been properly prepared in accordance with International Financial Reporting Standards (“IFRSs”) as adopted by the European Union; and • have been properly prepared in accordance with the requirements of the Companies Act 2014 and the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011 (as amended). We have audited the financial statements, included within the Annual Report, which comprise:
• the Statement of Financial Position as at 31 December 2025; • the Statement of Comprehensive Income for the year then ended; • the Statement of Cash Flows for the year then ended; • the Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders for the year then ended; • the Schedule of Investments as at 31 December 2025; and • the notes to the financial statements, which include a description of the accounting policies.
Basis for opinion
We conducted our audit in accordance with International Standards on Auditing (Ireland) (“ISAs (Ireland)”) and applicable law. Our responsibilities under ISAs (Ireland) are further described in the Auditors’ responsibilities for the audit of the financial statements section of our report. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.
Independence
We remained independent of the company in accordance with the ethical requirements that are relevant to our audit of the financial statements in Ireland, which includes IAASA’s Ethical Standard and we have fulfilled our other ethical responsibilities in ac cordance with these requirements.
Conclusions relating to going concern
Based on the work we have performed, we have not identified any material uncertainties relating to events or conditions that, individually or collectively, may cast significant doubt on the ability of the company and the funds to continue as a going concer n for a period of at least twelve months from the date on which the financial statements are authorised for issue.
In auditing the financial statements, we have concluded that the directors’ use of the going concern basis of accounting in the preparation of the financial statements is appropriate.
However, because not all future events or conditions can be predicted, this conclusion is not a guarantee as to the ability of the company and the funds to continue as a going concern.
Our responsibilities and the responsibilities of the directors with respect to going concern are described in the relevant sections of this report.
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Reporting on other information
The other information comprises all of the information in the Annual Report other than the financial statements and our auditors’ report thereon. The directors are responsible for the other information. Our opinion on the financial statements does not cove r the other information and, accordingly, we do not express an audit opinion or any form of assurance thereon.
In connection with our audit of the financial statements, our responsibility is to read the other information and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit, or otherwise appears to be materially misstated. If we identify an apparent material inconsistency or material misstatement, we are required to perform procedures to conclude whether there is a material misstatement of the financial statements or a material misstatement of the other information. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report that fact. We have nothing to report based on these responsibilities.
With respect to the Directors’ Report, we also considered whether the disclosures required by the Companies Act 2014 have been included.
Based on the responsibilities described above and our work undertaken in the course of the audit, ISAs (Ireland) and the Companies Act 2014 require us to also report certain opinions and matters as described below:
• In our opinion, based on the work undertaken in the course of the audit, the information given in the Directors’ Report for the year ended 31 December 2025 is consistent with the financial statements and h as b een prepared in accordance with applicable lega l requirements. • Based on our knowledge and understanding of the company and its environment obtained in the course o f t he audit, we did not identify any material misstatements in the Directors’ Report.
Responsibilities f or r t he financial st atements and the audit
Responsibilities of f t he directors for r t he financial st atements
As explained more fully in the Statement of Directors’ Responsibilities set out on page 21, the directors are responsible for the preparation of the financial statements in accordance with the applicable framework and for being satisfied that they give a true and fair view.
The d irectors are al so responsible fo for su ch internal c ontrol as they determine is necessary to e nable t he preparation o f financial s tatements t hat a re fre e fro m material m isstatement, wh whether due t o fra ud o r error. In p reparing t he financial s tatements, t he d irectors a re re sponsible fo r assessing t he a bility o f the c ompany and the fu funds to co ntinue a s a g oing co ncern, di sclosing a s a pplicable, matters r elated to g oing co ncern a nd using t he g oing c oncern b asis o f acco unting u nless th e directors e ither i ntend to l iquidate th e co mpany o r to cease o perations, o r h ave n o r ealistic al ternative b ut t o d o so . Auditors’ responsibilities for r t he audi t o f the financial st atements
Our o bjectives are t o o btain r easonable assu rance ab out wh whether t he fi financial st atements as a whole a re free from m aterial m isstatement, wh whether du e to fr fraud or e rror,
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"text": "pursuant to the Alternative Investment Fund Managers Directive (\u201cAIFMD\u201d)."
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"text": "details. When referring to a Fund throughout the audited financial statements the updated Fund name will be used."
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"text": "State Street LDI Leveraged Conventional Gilt 2040 Fund 18 June 2014 Class B GBP"
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"text": "State Street LDI Leveraged Conventional Gilt 2068 Fund 14 December 2016 Class B GBP"
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...