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Interim Report and Condensed Unaudited Financial Statements For the financial period ended 30 June 2026
State Street Liquidity
Public Limited Company
Page 2
Contents Page
Organisation 2
Background to the Company 3
Investment Manager’s Report 7
Statement of Comprehensive Income 14
Statement of Financial Position 18
Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders 22
Statement of Cash Flows 26
Notes to the Financial Statements 30
Schedule of Investments 58 State Street USD Liquidity LVNAV Fund 58 State Street GBP Liquidity LVNAV Fund 63 State Street EUR Liquidity LVNAV Fund 66 State Street EUR Liquidity Standard VNAV Fund 71 State Street USD Treasury Liquidity Fund 74 State Street EUR Government Liquidity Fund 76 State Street GBP Government Liquidity Fund 78
Schedule of Significant Portfolio Changes 80 State Street USD Liquidity LVNAV Fund 80 State Street GBP Liquidity LVNAV Fund 81 State Street EUR Liquidity LVNAV Fund 82 State Street EUR Liquidity Standard VNAV Fund 83 State Street USD Treasury Liquidity Fund 84 State Street EUR Government Liquidity Fund 85 State Street GBP Government Liquidity Fund 86
Supplemental Information for Investors in Switzerland 87
Appendix I - Securities Financing Transactions Regulations 89
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
State Street Liquidity Public Limited Company 1
Page 3
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) Dr. 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 02211 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 Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
2 State Street Liquidity Public Limited Company
Page 4
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 30 June 2026, these Funds had not commenced operations.
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 3.
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 Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
State Street Liquidity Public Limited Company 3
Page 5
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 Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
4 State Street Liquidity Public Limited Company
Page 6
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 Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
State Street Liquidity Public Limited Company 5
Page 7
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 Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
6 State Street Liquidity Public Limited Company
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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 2026 to 30 June 2026 (the “Reporting Period”), the total gross return for the Fund was 1.94%, and the Index was 1.85%. The Fund tracked within expectations to the Index during the Reporting Period while keeping in line with its investment guidelines.
Market Summary
During the Reporting Period, Fund performance was primarily driven by uncertainty around the path of the U.S. Federal Reserve (the “Fed”) policy, elevated short-term interest rates and persistent inflation. The Fed remained data dependent, keeping rates on hold as inflation stayed above target and labor market conditions remained generally stable. Policy uncertainty, including tariffs, immigration measures and geopolitical tensions, contributed to bond market volatility; however, credit spreads generally ended the period tighter than where they began, supporting Fund performance.
Fund Summary
Assets under management (“AUM”) ended the Reporting Period at $30.3 billion, an increase of $4 billion from the start of the year. At period-end, the weighted average maturity (“WAM”) of the Fund, measuring interest rate sensitivity, was around 43 days, a decrease of 4 days since the start of the year. The composition of the Fund changed from the start of the year: allocations to time deposits increased to 27.32% (an increase of 7.6%), allocations to Certificates of Deposits ( CDs ) increased to 21.53% (an increase of 2.14%), allocations to repos decreased to 1.65% (a decrease of 5.8%), allocations to Asset-Backed Commercial Paper ( ABCP ) decreased to 12.45% (a decrease of 1.66%), and allocations to commercial paper decreased to 21.53% (a decrease of 1.03%). Allocations to sovereigns (3%), banknotes (2%), corporates (1%), and treasuries (1%) remained relatively unchanged during the Reporting Period. The Fund maintained its objectives of liquidity and principal preservation throughout the Reporting Period.
The top positive contributors to the Fund’s performance were:
• Stability increase in assets has allowed the fund to modestly maintain duration, even with over 25 basis points (“bps”) of a hike priced in by the end of this year. • Shift in the Fed outlook and re-pricing from cuts to hikes has steepened curves, allowing for the purchase of fixed rate paper at attractive yields relative to the benchmark and potential policy moves in the future. • With the softness in repo markets, the portfolio has pivoted to an increase of investment in time deposits to pick up yield.
The top negative contributor to the Fund’s performance was:
• Favored liquidity over peak credit spread widening during geo-political tensions with Iran.
30 June 2026 Reporting Period
Since Inception (%)
Date of Inception (%) (% p.a.) Fund 1.94 2.57 26 March 1997 Benchmark 1.85 2.36
Performance is shown annualised and gross of fees. Benchmark – FTSE 1 Month US Treasury Bill. Past performance is not a guarantee of future results.
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Investment Manager’s Report for the financial period ended 30 June 2026
State Street Liquidity Public Limited Company 7
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State Street GBP Liquidity LVNAV Fund
Investment Objective
The 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 (the ”Index”).
Performance
For the Reporting Period the total gross return for the Fund was 1.96%, and the Index was 1.87%. The Fund tracked within expectations to the Index during the Reporting Period while keeping in line with its investment guidelines.
Market Summary
During the Reporting Period, Fund performance was primarily driven by uncertainty around the path of Bank of England (“BoE”) policy, elevated sterling short-term interest rates and above-target UK inflation. The BoE remained data dependent, maintaining Bank Rate at 3.75% in June as CPI inflation fell to 2.8%, while energy-price volatility and geopolitical tensions created uncertainty around the inflation outlook. Although UK growth remained subdued and the labour market continued to loosen, credit spreads generally ended the period tighter than where they began, supporting Fund performance.
Fund Summary
AUM ended the Reporting Period at £6.8 billion, an increase of £609 million from the start of the year. At period end, the WAM of the Fund, measuring interest rate sensitivity, was around 4 days, unchanged since the start of the year. The composition of the Fund did change from the start of the year. Allocations to certificates of deposit was increased to 36.82% (an increase of 11.87%), allocations to commercial paper was increased to 16.74% (an increase of 5.05%), allocations to time deposits was increased to 16.74% (an increase of 4.39%), allocations to government commercial paper was increased to 4.28% (an increase of 3.42%), allocations to asset backed commercial paper was increased to 7.64% (an increase of 2.20%), allocations to repurchase agreements was decreased to 1.96% (a decrease of 13.96%), allocations to government guaranteed was decreased to 3.38% (a decrease of 4.09%), allocations to corporate and banknotes was decreased to 5.82% (a decrease of 3.38%), allocations to government agency was decreased to 1.66% (a decrease of 2.77%). Allocations to cash (2.16%), money market mutual funds (1.66%) and government bills (0.66%) remained relatively unchanged during the period. The Fund maintained its objectives of liquidity and principal preservation throughout the Reporting Period.
The top positive contributors to the Fund’s performance were:
• Increased interest rate expectation leading to higher yields. • WAM positioning. • Investments in floating rate securities mitigating interest rate volatility. • ABCP providing enhanced yield in short term maturities. • Selective investment in longer dated investments at peak yields. • Agency and quasi-sovereign issuers providing enhanced yields compared to treasury bills. • Increased repo yields due to ongoing QT reducing liquidity in the market.
The top negative contributors to the Fund’s performance were:
• Some drag from prior longer dated issuance purchased before yields rose. • Reduced number of deposit and collateral givers at quarter and half year ends.
30 June 2026 Reporting Period
Since Inception (%)
Date of Inception (%) (% p.a.) Fund 1.96 2.42 27 July 2001 Benchmark 1.87 2.23
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 Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Investment Manager’s Report for the financial period ended 30 June 2026 (continued)
8 State Street Liquidity Public Limited Company
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State Street EUR Liquidity LVNAV Fund
Investment Objective
The 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 Reporting Period, the total gross return for the Fund was 1.07%, and the Index was 0.95%. The Fund tracked within expectations to the Index during the Reporting Period while keeping in line with its investment guidelines.
Market Summary
During the Reporting Period, Fund performance was primarily driven by uncertainty around the path of ECB policy, euro area inflation and elevated short-term interest rates. The ECB remained data dependent, keeping rates unchanged earlier in the period before raising its key rates by 25 bps in June, bringing the deposit facility rate to 2.25%, as renewed energy-price pressures and geopolitical tensions lifted the inflation outlook. While euro area growth remained subdued and policy uncertainty contributed to bond market volatility, labor market conditions were resilient and credit spreads generally ended the period tighter than where they began, supporting Fund performance.
Fund Summary
AUM ended the Reporting Period at € 11.2 Billion, an increase of € 2.7 Billion from the start of the year. At period-end, the WAM of the Fund, measuring interest rate sensitivity, was around 2 days, same as since the start of the year. The composition of the Fund did change from the start of the year. Allocations to certificates of deposit was increased to 31.74% (an increase of 7.61%), allocations to commercial paper was increased to 22.68% (an increase of 3.53%), allocations to repurchase agreements was decreased to 10.44% (a decrease of 7.48%), allocations to government commercial paper were decreased to 1.00% (a decrease of 4.95%), allocations to government agency was decreased to 1.79% (a decrease of 1.63%). Allocations to time deposits (12.12%), asset backed commercial paper (9.24%), collateralized commercial paper (2.49%), cash (1.61%), corporate and banknotes (1.07%), and money market funds (0.92%) did not change significantly over the quarter. The Fund maintained its objectives of liquidity and principal preservation throughout the Reporting Period.
The top positive contributors to the Fund’s performance were:
• Increased interest rate expectation leading to higher yields. • WAM positioning. • Investments in floating rate securities enhancing yield on the back of central bank hike. • Selective investment in longer dated investments at peak yields. • ABCP providing enhanced yield in short term maturities. • Issuers providing short dated products to meet enhanced demand. • Agency and quasi-sovereign issuers providing enhanced yields compared to treasury bills.
The top negative contributors to the Fund’s performance were:
• Some drag from prior longer dated issuance purchased before yields rose. • Bank deposit and repo levels trade below the ECB deposit rate. • Reduced number of deposit and collateral givers at quarter and half year ends.
30 June 2026 Reporting Period
Since Inception (%)
Date of Inception (%) (% p.a.) Fund 1.07 1.53 27 July 2001 Benchmark 0.95 1.33
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 Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Investment Manager’s Report for the financial period ended 30 June 2026 (continued)
State Street Liquidity Public Limited Company 9
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State Street EUR Liquidity Standard VNAV Fund
Investment Objective
The 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 Bloomberg Xestron Index (the “Index”).
Performance
For the Reporting Period the total gross return for the Fund was 1.08%, and the Index was 0.95%. The Fund tracked within expectations to the Index during the Reporting Period while keeping in line with its investment guidelines.
Market Summary
During the Reporting Period, Fund performance was primarily driven by uncertainty around the path of ECB policy, euro area inflation and elevated short-term interest rates. The ECB remained data dependent, keeping rates unchanged earlier in the period before raising its key rates by 25 bps in June, bringing the deposit facility rate to 2.25%, as renewed energy-price pressures and geopolitical tensions lifted the inflation outlook. While euro area growth remained subdued and policy uncertainty contributed to bond market volatility, labor market conditions were resilient and credit spreads generally ended the period tighter than where they began, supporting Fund performance.
Fund Summary
AUM ended the Reporting Period at € 2.03 billion, a decrease of € 333 million from the start of the year. At period end, the WAM of the Fund, measuring interest rate sensitivity, was around 2 days, unchanged since the start of the year. The composition of the Fund did change from the start of the year. Allocations to corporate and banknotes was increased to 14.31% (an increase of 5.55%), allocations to repurchase agreements was increased to 10.43% (an increase of 3.02%), allocations to time deposits was increased to 2.49% (an increase of 1.69%), allocations to government agencies was increased to 3.69% (an increase of 0.82%), allocation to commercial paper was decreased to 30.75% (a decrease of 7.35%), allocations to certificated of deposit was decreased to 27.45% ( a decrease of 2.85%), allocations to asset backed commercial paper was decreased to 9.03% ( a decrease of 1.28%). Allocation to government bills and government commercial paper were both reduced to 0% (from 1.02% and 0.4% respectively), and an allocation of 1.85% to collateralized commercial paper was added. The Fund maintained its objectives of liquidity and principal preservation throughout the Reporting Period.
The top positive contributors to the Fund’s performance were:
• Increased interest rate expectation leading to higher yields. • WAM positioning. • Investments in floating rate securities enhancing yield on the back of central bank hike. • Selective investment in longer dated investments at peak yields. • ABCP providing enhanced yield in short term maturities. • Purchases of A2/P2 rated short term securities that enhance yield and diversify holdings.
The top negative contributors to the Fund’s performance were:
• Some drag from prior longer dated issuance purchased before yields rose. • Lack of secondary bonds offering value beyond 12 months. • Lack of fund eligible new issued bonds longer than 12 months.
30 June 2026 Reporting Period
Since Inception (%)
Date of Inception (%) (% p.a.) Fund 1.08 1.12 25 July 2014 Benchmark 0.95 0.90
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 Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Investment Manager’s Report for the financial period ended 30 June 2026 (continued)
10 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 BofA US 3 Month Treasury Bill (the “Index”).
Performance
For the Reporting Period the total gross return for the Fund was 1.86%, and the Index returned 1.74%. The Fund tracked within expectations relative to the Index during the Reporting Period while remaining in line with its investment guidelines.
Market Summary
During the Reporting Period, Fund performance was primarily driven by uncertainty around the path of the Fed policy, elevated short-term interest rates and persistent inflation. The Fed remained data dependent, keeping rates on hold as inflation stayed above target and labor market conditions remained generally stable. Policy uncertainty, including tariffs, immigration measures and geopolitical tensions, contributed to bond market volatility; however, credit spreads generally ended the period tighter than where they began, supporting Fund performance.
Fund Summary
AUM ended the Reporting Period at $4.4 billion, an increase of $274 million from the start of the year. At period end, the WAM of the Fund, measuring interest rate sensitivity, was around 35 days, a decrease of 15 days since the start of the year. The composition of the Fund changed substantially from the start of the year, as allocations to repurchase agreements increased to 63.24% (an increase of 48% year to date), while allocations to Treasuries declined by the same amount to 36.76%. The Fund maintained its objectives of liquidity and principal preservation throughout the Reporting Period.
The top positive contributors to the Fund’s performance were:
• Reduction in fund duration as WAM. • Increase in allocation to overnight repo as well as selective addition of longer dated (>1 month) bills when bills traded attractive vs OIS. • High yielding treasuries purchased prior to the Fed cutting rates last fall continued to benefit fund yield.
The top negative contributors to the Fund’s performance were:
• Bills purchased when market was pricing in cuts (vs current market pricing in hikes as of June 30, 2026). • Wider bid/ask spreads in treasury floaters at times.
30 June 2026 Reporting Period
Since Inception (%)
Date of Inception (%) (% p.a.) Fund 1.86 2.60 12 June 2017 Benchmark 1.74 2.54
Performance is shown annualised and gross of fees. Benchmark - ICE BofAML US 3 Month Treasury Bill Index. Past performance is not a guarantee of future results.
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Investment Manager’s Report for the financial period ended 30 June 2026 (continued)
State Street Liquidity Public Limited Company 11
Page 13
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 Reporting Period the total gross return for the Fund was 1.00%, and the Index was 0.95%. The Fund tracked within expectations to the Index during the Reporting Period while keeping in line with its investment guidelines.
Market Summary
During the Reporting Period, Fund performance was primarily driven by uncertainty around the path of ECB policy, euro area inflation and elevated short-term interest rates. The ECB remained data dependent, keeping rates unchanged earlier in the period before raising its key rates by 25 bps in June, bringing the deposit facility rate to 2.25%, as renewed energy-price pressures and geopolitical tensions lifted the inflation outlook. While euro area growth remained subdued and policy uncertainty contributed to bond market volatility, labor market conditions were resilient and credit spreads generally ended the period tighter than where they began, supporting Fund performance.
Fund Summary
AUM ended the Reporting Period at € 289 million, an increase of € 49 million from the start of the year. At period end, the WAM of the Fund, measuring interest rate sensitivity, was around 16 days, an increase of 5 days since the start of the year. The composition of the Fund did change from the start of the year. Allocations to government bills was increased to 22.75% (an increase of 2.03%) while allocations to government commercial paper was decreased to 2.76% (a decrease of 2.63%). Allocations to repurchase agreements (65%), cash (7%) and supernational (3%) remained relatively unchanged during the Reporting Period. The Fund maintained its objectives of liquidity and principal preservation throughout the Reporting Period.
The top positive contributors to the Fund’s performance were:
• Increased interest rate expectation leading to higher yields. • Deep pool of repo counterparties allowing full investment at competitive rates. • Above ESTR average repo rates. • Spreads on French Bills enhancing yield. • Government CP provides a strong yielding alternative to bills.
The top negative contributors to the Fund’s performance were:
• Some drag from prior longer dated issuance purchased before yields rose. • Repo levels still trade below the ECB Deposit rate.
30 June 2026 Reporting Period
Since Inception (%) Date of Inception (%) (% p.a.) Fund 1.00 2.76 22 January 2024 Benchmark 0.95 2.70
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 Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Investment Manager’s Report for the financial period ended 30 June 2026 (continued)
12 State Street Liquidity Public Limited Company
Page 14
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 Reporting Period the total gross return for the Fund was 1.90%, and the Index was 1.87%. The Fund tracked within expectations to the Index during the Reporting Period while keeping in line with its investment guidelines.
Market Summary
During the Reporting Period, Fund performance was primarily driven by uncertainty around the path of BoE policy, elevated sterling short-term interest rates and above-target UK inflation. The BoE remained data dependent, maintaining Bank Rate at 3.75% in June as CPI inflation fell to 2.8%, while energy-price volatility and geopolitical tensions created uncertainty around the inflation outlook. Although UK growth remained subdued and the labour market continued to loosen, credit spreads generally ended the period tighter than where they began, supporting Fund performance.
Fund Summary
AUM ended the Reporting Period at £345 million, an increase of £37 million from the start of the year. At period end, the WAM of the Fund, measuring interest rate sensitivity, was around 3 days, unchanged since the start of the year. The composition of the Fund did change from the start of the year. Allocations to government bills was decreased to 25.79% (a decrease of 10.78%) while allocations to repurchase agreements was increased to 57.72% (an increase of 5.93%), allocations to government commercial paper was increased to 7.50% (an increase of 2.32%) and allocations to government guaranteed were increased to 2.02% (from 0%). The Fund maintained its objectives of liquidity and principal preservation throughout the Reporting Period.
The top positive contributors to the Fund’s performance were:
• Increased interest rate expectation leading to higher yields. • Increased repo yields due to ongoing QT reducing liquidity in the market. • Deep pool of repo counterparties allowing full investment at competitive rates. • UK Treasury Bill ( UKTB ) purchases at auction higher than market rate. • Government CP provides a strong yielding alternative to Treasury bills. • Repo trading on par or above bank rate with enhanced yields around month and quarter end.
The top negative contributors to the Fund’s performance were:
• Some drag from prior longer dated issuance purchased before yields rose. • A lack of alternative short-term investment options can constrain portfolio diversification.
30 June 2026 Reporting Period
Since Inception (%)
Date of Inception (%) (% p.a.) Fund 1.90 4.51 10 April 2024 Benchmark 1.87 4.46
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 Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Investment Manager’s Report for the financial period ended 30 June 2026 (continued)
State Street Liquidity Public Limited Company 13
Page 15
Company Total 30 Jun 2026
State Street USD Liquidity LVNAV Fund 30 Jun 2026
State Street GBP Liquidity LVNAV Fund 30 Jun 2026
State Street EUR Liquidity LVNAV Fund 30 Jun 2026 State Street EUR Liquidity Standard VNAV Fund 30 Jun 2026 State Street USD Treasury Liquidity Fund 30 Jun 2026 GBP USD GBP EUR EUR USD Income from financial assets at fair value 715,880,687 555,560,599 127,599,379 104,237,825 24,654,832 74,540,826
Realised gain/(loss) on financial assets at fair value through profit
or loss
6,551 2,208 16,838 35,891 (20,968) (38,228)
Net movement on unrealised (loss)/gain on financial assets at fair
value (5,014,573) (7,111,612) 632,511 (298,143) (115,613) - Total investment income 710,872,665 548,451,195 128,248,728 103,975,573 24,518,251 74,502,598 Other income 13,845,577 6,521,223 2,730,290 1,796,432 6,468 5,537,347 Total income 724,718,242 554,972,418 130,979,018 105,772,005 24,524,719 80,039,945 Operating expenses (26,451,268) (18,930,188) (4,095,894) (5,413,283) (559,288) (3,607,020) Operating profit 698,266,974 536,042,230 126,883,124 100,358,722 23,965,431 76,432,925
Finance Costs:
Distributions to redeemable participating Shareholders (595,181,358) (471,418,459) (119,016,720) (69,945,478) - (76,436,068)
Net increase/(decrease) in net assets attributable to
redeemable participating Shareholders resulting from
operations 103,085,616 64,623,771 7,866,404 30,413,244 23,965,431 (3,143) There were no gains or losses other than those dealt with in the Statement of Comprehensive Income. Gains and losses arose solely from continuing opera tions during the financial period.
State Street Liquidity Public Limited Company
Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Statement of Comprehensive Income
For the financial period ended 30 June 2026
The accompanying notes are an integral part of the financial statements.
14
State Street Liquidity Public Limited Company
Page 16
State Street EUR Government Liquidity Fund 30 Jun 2026 State Street GBP Government Liquidity Fund 30 Jun 2026 EUR GBP
Income from financial assets at fair value
2,336,413 5,911,409
Realised gain/(loss) on financial assets at fair value through profit or loss
3,165 808
Net movement on unrealised (loss)/gain on financial assets at fair value
--
Total investment income
2,339,578 5,912,217
Other income
202,097 409,424
Total income
2,541,675 6,321,641
Operating expenses
(201,399) (241,483)
Operating profit
2,340,276 6,080,158
Finance Costs:
Distributions to redeemable participating Shareholders
(2,340,276) (6,080,158)
Net increase/(decrease) in net assets attributable to
redeemable participating Shareholders resulting from
operations
-- There were no gains or losses other than those dealt with in the Statement of Comprehensive Income. Gains and losses arose solely from continuing opera tions during the financial period.
State Street Liquidity Public Limited Company
Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Statement of Comprehensive Income
For the financial period ended 30 June 2026
(continued)
The accompanying notes are an integral part of the financial statements.
State Street Liquidity Public Limited Company 15
Page 17
Company Total 30 Jun 2025
State Street USD Liquidity LVNAV Fund 30 Jun 2025
State Street GBP Liquidity LVNAV Fund 30 Jun 2025
State Street EUR Liquidity LVNAV Fund 30 Jun 2025 State Street EUR Liquidity Standard VNAV Fund 30 Jun 2025 State Street USD Treasury Liquidity Fund 30 Jun 2025 GBP USD GBP EUR EUR USD Income from financial assets at fair value 814,662,180 632,972,880 149,082,908 107,600,099 19,384,212 79,423,758
Realised gain/(loss) on financial assets at fair value through profit
or loss 402,969 (131,362) 359,741 219,452 (4,873) (47,170)
Net movement on unrealised (loss)/gain on financial assets at fair
value (762,556) (1,795,766) 410,959 (231,711) 481,099 - Total investment income 814,302,593 631,045,752 149,853,608 107,587,840 19,860,438 79,376,588 Other income 16,217,380 8,650,879 2,986,572 2,215,530 382 5,396,699 Total income 830,519,973 639,696,631 152,840,180 109,803,370 19,860,820 84,773,287 Operating expenses (25,387,808) (18,288,499) (4,068,723) (4,281,409) (401,296) (3,736,774) Operating profit 805,132,165 621,408,132 148,771,457 105,521,961 19,459,524 81,036,513
Finance Costs:
Distributions to redeemable participating Shareholders (714,247,474) (568,176,055) (144,340,639) (71,050,288) - (81,035,162)
Net increase in net assets attributable to
redeemable participating Shareholders resulting from
operations 90,884,691 53,232,077 4,430,818 34,471,673 19,459,524 1,351 There were no gains or losses other than those dealt with in the Statement of Comprehensive Income. Gains and losses arose solely from continuing opera tions during the financial period.
State Street Liquidity Public Limited Company
Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Statement of Comprehensive Income
For the financial period ended 30 June 2025
The accompanying notes are an integral part of the financial statements.
16
State Street Liquidity Public Limited Company
Page 18
State Street EUR Government Liquidity Fund 30 Jun 2025 State Street GBP Government Liquidity Fund 30 Jun 2025 EUR GBP
Income from financial assets at fair value
2,105,957 7,921,131
Realised gain/(loss) on financial assets at fair value through profit or loss
--
Net movement on unrealised (loss)/gain on financial assets at fair value
--
Total investment income
2,105,957 7,921,131
Other income
175,969 392,031
Total income
2,281,926 8,313,162
Operating expenses
(188,687) (244,514)
Operating profit
2,093,239 8,068,648
Finance Costs:
Distributions to redeemable participating Shareholders
(2,093,239) (8,068,648)
Net increase in net assets attributable to
redeemable participating Shareholders resulting from
operations
-- There were no gains or losses other than those dealt with in the Statement of Comprehensive Income. Gains and losses arose solely from continuing opera tions during the financial period.
State Street Liquidity Public Limited Company
Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Statement of Comprehensive Income
For the financial period ended 30 June 2025
(continued)
The accompanying notes are an integral part of the financial statements.
State Street Liquidity Public Limited Company 17
Page 19
Company Total 30 Jun 2026 GBP
State Street USD Liquidity LVNAV Fund 30 Jun 2026 USD
State Street GBP Liquidity LVNAV Fund 30 Jun 2026 GBP
State Street EUR Liquidity LVNAV Fund 30 Jun 2026 EUR State Street EUR Liquidity Standard VNAV Fund 30 Jun 2026 EUR State Street USD Treasury Liquidity Fund 30 Jun 2026 USD
Assets
Financial assets at fair value through profit or loss:
Money market instruments 40,898,538,729 29,776,976,450 6,496,434,083 10,357,489,205 1,960,581,742 1,532,063,427 Reverse repurchase agreements 4,642,674,183 500,000,000 135,000,000 1,734,169,671 225,000,000 2,650,000,000 Collective investment schemes - - 113,904,311 104,618,731 - - Cash and bank balances 852,609,168 350,000,460 148,646,263 181,213,007 163 322,067,488 Other assets 2,219,571,325 2,730,486,651 20,519,731 11,090,424 2,322,176 172,641,901 Total Assets 48,613,393,405 33,357,463,561 6,914,504,388 12,388,581,038 2,187,904,081 4,676,772,816
Liabilities
Creditors (amounts falling due within one year) (3,011,448,799) (2,044,207,987) (54,876,430) (1,190,053,026) (155,650,621) (214,892,418) Total Liabilities (3,011,448,799) (2,044,207,987) (54,876,430) (1,190,053,026) (155,650,621) (214,892,418)
Net Assets attributable to redeemable participating
Shareholders 45,601,944,606 31,313,255,574 6,859,627,958 11,198,528,012 2,032,253,460 4,461,880,398
State Street Liquidity Public Limited Company
Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Statement of Financial Position
As at 30 June 2026
The accompanying notes are an integral part of the financial statements.
18
State Street Liquidity Public Limited Company
Page 20
State Street EUR Government Liquidity Fund 30 Jun 2026 EUR State Street GBP Government Liquidity Fund 30 Jun 2026 GBP
Assets
Financial assets at fair value through profit or loss:
Money market instruments
81,756,796 131,401,557
Reverse repurchase agreements
286,397,556 200,000,000
Collective investment schemes
--
Cash and bank balances
20,187,372 24,113,793
Other assets
95,659 88,132
Total Assets
388,437,383 355,603,482
Liabilities
Creditors (amounts falling due within one year)
(98,810,655) (10,167,377)
Total Liabilities
(98,810,655) (10,167,377)
Net Assets attributable to redeemable participating Shareholders
289,626,728 345,436,105
State Street Liquidity Public Limited Company
Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Statement of Financial Position
As at 30 June 2026
(continued)
The accompanying notes are an integral part of the financial statements.
State Street Liquidity Public Limited Company 19
Page 21
Company Total 31 Dec 2025 GBP
State Street USD Liquidity LVNAV Fund 31 Dec 2025 USD
State Street GBP Liquidity LVNAV Fund 31 Dec 2025 GBP
State Street EUR Liquidity LVNAV Fund 31 Dec 2025 EUR State Street EUR Liquidity Standard VNAV Fund 31 Dec 2025 EUR State Street USD Treasury Liquidity Fund 31 Dec 2025 USD
Assets
Financial assets at fair value through profit or loss:
Money market instruments 33,661,131,036 23,996,923,487 5,159,819,052 6,981,915,437 2,266,771,900 3,224,446,888 Reverse repurchase agreements 5,175,200,567 1,950,000,000 995,000,000 2,044,554,491 180,000,000 600,000,000 Collective investment schemes - - 111,790,253 103,611,969 - - Cash and bank balances 1,146,448,339 749,649,033 148,254,638 180,090,640 60 332,253,590 Other assets 1,178,949,542 1,344,906,527 14,825,586 14,221,255 8,311,440 194,180,486 Total Assets 41,161,729,484 28,041,479,047 6,429,689,529 9,324,393,792 2,455,083,400 4,350,880,964
Liabilities
Creditors (amounts falling due within one year) (2,023,491,279) (1,118,004,975) (180,587,136) (848,428,783) (89,886,342) (194,672,226) Total Liabilities (2,023,491,279) (1,118,004,975) (180,587,136) (848,428,783) (89,886,342) (194,672,226)
Net Assets attributable to redeemable participating
Shareholders 39,138,238,205 26,923,474,072 6,249,102,393 8,475,965,009 2,365,197,058 4,156,208,738
State Street Liquidity Public Limited Company
Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Statement of Financial Position
As at 31 December 2025
The accompanying notes are an integral part of the financial statements.
20
State Street Liquidity Public Limited Company
Page 22
State Street EUR Government Liquidity Fund 31 Dec 2025 EUR State Street GBP Government Liquidity Fund 31 Dec 2025 GBP
Assets
Financial assets at fair value through profit or loss:
Money market instruments
67,812,812 128,277,562
Reverse repurchase agreements
208,386,814 160,000,000
Collective investment schemes
--
Cash and bank balances
19,032,008 19,967,781
Other assets
89,800 110,376
Total Assets
295,321,434 308,355,719
Liabilities
Creditors (amounts falling due within one year)
(54,246,731) (301,476)
Total Liabilities
(54,246,731) (301,476)
Net Assets attributable to redeemable participating Shareholders
241,074,703 308,054,243
State Street Liquidity Public Limited Company
Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Statement of Financial Position
As at 31 December 2025
(continued)
The accompanying notes are an integral part of the financial statements.
State Street Liquidity Public Limited Company 21
Page 23
Company Total 30 Jun 2026 GBP
State Street USD Liquidity LVNAV Fund 30 Jun 2026 USD
State Street GBP Liquidity LVNAV Fund 30 Jun 2026 GBP
State Street EUR Liquidity LVNAV Fund 30 Jun 2026 EUR State Street EUR Liquidity Standard VNAV Fund 30 Jun 2026 EUR State Street USD Treasury Liquidity Fund 30 Jun 2026 USD
Net assets attributable to redeemable participating
Shareholders at beginning of the financial period 39,138,238,205 26,923,474,072 6,249,102,393 8,475,965,009 2,365,197,058 4,156,208,738
Net increase/(decrease) in net assets attributable to redeemable
participating Shareholders resulting from operations 103,085,616 64,623,771 7,866,404 30,413,244 23,965,431 (3,143) Proceeds from redeemable participating shares issued 173,078,551,746 140,884,991,645 21,118,706,311 25,229,447,178 452,827,006 32,116,326, 811 Cost of redeemable participating shares redeemed (166,930,341,210) (136,559,833,914) (20,516,047,150) (22,537,297,419) (809,736,035) (31,8 10,652,008) Net increase/(decrease) in net assets from share transactions 6,148,210,536 4,325,157,731 602,659,161 2,692,149,759 (356,909,029) 305,674,80 3 Notional exchange adjustment 212,410,249 - - - - -
Net increase/(decrease) in net assets attributable to
redeemable participating Shareholders 6,463,706,401 4,389,781,502 610,525,565 2,722,563,003 (332,943,598) 305,671,660
Net assets attributable to redeemable participating
Shareholders at end of the financial period 45,601,944,606 31,313,255,574 6,859,627,958 11,198,528,012 2,032,253,460 4,461,880,398
State Street Liquidity Public Limited Company
Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders
For the financial period ended 30 June 2026
The accompanying notes are an integral part of the financial statements.
22
State Street Liquidity Public Limited Company
Page 24
State Street EUR Government Liquidity Fund 30 Jun 2026 EUR State Street GBP Government Liquidity Fund 30 Jun 2026 GBP Net assets attributable to redeemable participating Shareholders at beginning of the financial period 241,074,703 308,054,243 Net increase in net assets attributable to redeemable participating Shareholders resulting from operations - -
Proceeds from redeemable participating shares issued
511,584,219 598,803,068
Cost of redeemable participating shares redeemed
(463,032,194) (561,421,206)
Net increase in net assets from share transactions
48,552,025 37,381,862
Notional exchange adjustment
-- Net increase in net assets attributable to redeemable participating Shareholders 48,552,025 37,381,862 Net assets attributable to redeemable participating Shareholders at end of the financial period 289,626,728 345,436,105
State Street Liquidity Public Limited Company
Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders
For the financial period ended 30 June 2026
(continued)
The accompanying notes are an integral part of the financial statements.
State Street Liquidity Public Limited Company 23
Page 25
Company Total 30 Jun 2025 GBP
State Street USD Liquidity LVNAV Fund 30 Jun 2025 USD
State Street GBP Liquidity LVNAV Fund 30 Jun 2025 GBP
State Street EUR Liquidity LVNAV Fund 30 Jun 2025 EUR State Street EUR Liquidity Standard VNAV Fund 30 Jun 2025 EUR State Street USD Treasury Liquidity Fund 30 Jun 2025 USD
Net assets attributable to redeemable participating
Shareholders at beginning of the financial period 39,758,103,756 28,303,535,008 6,157,239,024 8,350,003,269 363,382,314 4,219,813,429
Net increase in net assets attributable to redeemable participating
Shareholders resulting from operations 90,884,691 53,232,077 4,430,818 34,471,673 19,459,524 1,351 Proceeds from redeemable participating shares issued 150,836,515,043 127,007,347,060 20,507,805,506 20,349,865,203 2,285,886,674 16,882,86 5,877 Cost of redeemable participating shares redeemed (147,271,549,847) (125,489,911,720) (20,323,958,419) (19,891,841,599) (237,420,972) (16,6 01,229,343) Net increase in net assets from share transactions 3,564,965,196 1,517,435,340 183,847,087 458,023,604 2,048,465,702 281,636,534 Notional exchange adjustment (2,012,203,701) - - - - -
Net increase in net assets attributable to redeemable
participating Shareholders 1,643,646,186 1,570,667,417 188,277,905 492,495,277 2,067,925,226 281,637,885
Net assets attributable to redeemable participating
Shareholders at end of the financial period 41,401,749,942 29,874,202,425 6,345,516,929 8,842,498,546 2,431,307,540 4,501,451,314
State Street Liquidity Public Limited Company
Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders
For the financial period ended 30 June 2025
The accompanying notes are an integral part of the financial statements.
24
State Street Liquidity Public Limited Company
Page 26
State Street EUR Government Liquidity Fund 30 Jun 2025 EUR State Street GBP Government Liquidity Fund 30 Jun 2025 GBP Net assets attributable to redeemable participating Shareholders at beginning of the financial period 163,356,203 431,167,861 Net increase in net assets attributable to redeemable participating Shareholders resulting from operations - -
Proceeds from redeemable participating shares issued
319,265,755 178,662,649
Cost of redeemable participating shares redeemed
(294,397,289) (259,912,807)
Net increase/(decrease) in net assets from share transactions
24,868,466 (81,250,158)
Notional exchange adjustment
-- Net increase/(decrease) in net assets attributable to redeemable participating Shareholders 24,868,466 (81,250,158) Net assets attributable to redeemable participating Shareholders at end of the financial period 188,224,669 349,917,703
State Street Liquidity Public Limited Company
Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders
For the financial period ended 30 June 2025
(continued)
The accompanying notes are an integral part of the financial statements.
State Street Liquidity Public Limited Company 25
Page 27
Company Total 30 Jun 2026 GBP
State Street USD Liquidity LVNAV Fund 30 Jun 2026 USD
State Street GBP Liquidity LVNAV Fund 30 Jun 2026 GBP
State Street EUR Liquidity LVNAV Fund 30 Jun 2026 EUR State Street EUR Liquidity Standard VNAV Fund 30 Jun 2026 EUR State Street USD Treasury Liquidity Fund 30 Jun 2026 USD
Cash flow from operating activities
Increase/(decrease) in net assets attributable 103,085,616 64,623,771 7,866,404 30,413,244 23,965,431 (3,143)
Adjustment for:
Distributions to redeemable participating Shareholders 595,181,358 471,418,459 119,016,720 69,945,478 - 76,436,068 Movement in financial assets at fair value through profit or loss (6,244,364,224) (4,401,281,221) (605,459,122) (2,726,779,523) 326,953,126 (29 1,432,624) Movement in receivables 4,864,768 880,215 (5,694,145) 3,130,831 5,989,264 2,658,124 Movement in payables 3,235,128 1,827,053 813,883 1,123,067 1,311 106,742 Net cash (outflow)/inflow from operating activities (5,537,997,354) (3,862,531,723) (483,456,260) (2,622,166,903) 356,909,132 (212,234,833 )
Cash flows from financing activities
Proceeds from issue of redeemable participating shares* 171,619,411,975 139,150,537,433 21,014,647,395 25,183,476,293 452,827,006 32,090,64 5,980 Payment of redeemable participating shared redeemed (166,223,618,283) (135,563,538,305) (20,516,047,150) (22,537,297,419) (809,736,035) (3 1,856,540,751) Distributions to redeemable participating Shareholders (152,457,927) (124,115,978) (14,752,360) (22,889,604) - (32,056,498) Net cash inflow/(outflow) from financing activities 5,243,335,765 3,462,883,150 483,847,885 2,623,289,270 (356,909,029) 202,048,731 Net (decrease)/increase in cash and cash equivalents (294,661,589) (399,648,573) 391,625 1,122,367 103 (10,186,102) Cash and cash equivalents at the start of the financial period 1,146,448,339 749,649,033 148,254,638 180,090,640 60 332,253,590 Unrealised movement on foreign exchange 822,418 - - - - - Cash and cash equivalent at the end of the financial period 852,609,168 350,000,460 148,646,263 181,213,007 163 322,067,488 * There were a number of dividends reinvested on the Funds during the financial period which are not included in the Statement of Cash Flows. The value of which were USD 347,993,873 for State Street USD Liquidity LVNAV Fund, GBP 104,058,934 for State Street GBP Liquidity LVNAV Fund, EUR 45,970,883 for State Street EUR Liquidity LV NAV Fund, USD 44,561,292
for State Street USD Treasury Liquidity Fund in the financial period ended 30 June 2026.
State Street Liquidity Public Limited Company
Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Statement of Cash Flows
For the financial period ended 30 June 2026
The accompanying notes are an integral part of the financial statements.
26
State Street Liquidity Public Limited Company
Page 28
State Street EUR Government Liquidity Fund 30 Jun 2026 EUR State Street GBP Government Liquidity Fund 30 Jun 2026 GBP
Cash flow from operating activities
Increase in net assets attributable to redeemable participating Shareholders
--
Adjustment for:
Distributions to redeemable participating Shareholders
2,340,276 6,080,158
Movement in financial assets at fair value through profit or loss
(47,429,040) (33,252,237)
Movement in receivables
(5,859) 22,244
Movement in payables
(8,201) 15,118
Net cash outflow from operating activities
(45,102,824) (27,134,717)
Cash flows from financing activities
Proceeds from issue of redeemable participating shares*
509,953,695 593,848,122
Payment of redeemable participating shared redeemed
(463,032,194) (561,421,206)
Distributions to redeemable participating Shareholders
(663,313) (1,146,187)
Net cash inflow from financing activities
46,258,188 31,280,729
Net increase in cash and cash equivalents
1,155,364 4,146,012
Cash and cash equivalents at the start of the financial period
19,032,008 19,967,781
Unrealised movement on foreign exchange
--
Cash and cash equivalent at the end of the financial period
20,187,372 24,113,793 * There were a number of dividends reinvested on the Funds during the financial period which are not included in the Statement of Cash Flows. The value of which were EUR 1,630,525 for State Street EUR Government Liquidity Fund, GBP 4,954,945 for State Street GBP Government Liquidity Fund in the financial period ended 30 June 202 6.
State Street Liquidity Public Limited Company
Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Statement of Cash Flows
For the financial period ended 30 June 2026
(continued)
The accompanying notes are an integral part of the financial statements.
State Street Liquidity Public Limited Company 27
Page 29
Company Total 30 Jun 2025 GBP
State Street USD Liquidity LVNAV Fund 30 Jun 2025 USD
State Street GBP Liquidity LVNAV Fund 30 Jun 2025 GBP
State Street EUR Liquidity LVNAV Fund 30 Jun 2025 EUR State Street EUR Liquidity Standard VNAV Fund 30 Jun 2025 EUR State Street USD Treasury Liquidity Fund 30 Jun 2025 USD
Cash flow from operating activities
Increase in net assets attributable to redeemable participating
Shareholders 90,884,691 53,232,077 4,430,818 34,471,673 19,459,524 1,351
Adjustment for:
Distributions to redeemable participating Shareholders 714,247,474 568,176,055 144,340,639 71,050,288 - 81,035,162 Movement in financial assets at fair value through profit or loss (4,832,504,631) (3,136,427,783) (198,884,966) (508,362,701) (2,065,715,753) ( 219,499,184) Movement in receivables (5,262,596) (2,409,741) (6,614,020) 10,233,034 (2,555,744) (4,336,087) Movement in payables (1,943,867) (1,774,597) (406,836) (454,388) 345,533 (92,204) Net cash outflow from operating activities (4,034,578,929) (2,519,203,989) (57,134,365) (393,062,094) (2,048,466,440) (142,890,962)
Cash flows from financing activities
Proceeds from issue of redeemable participating shares* 150,187,049,102 126,512,552,376 20,401,749,492 20,307,712,821 2,285,886,674 16,727, 810,504 Payment of redeemable participating shared redeemed (146,082,512,054) (124,068,666,855) (20,323,958,419) (19,891,841,599) (237,420,972) (1 6,479,260,490) Distributions to redeemable participating Shareholders (162,265,231) (138,406,439) (20,634,369) (23,077,785) - (18,287,321) Net cash inflow from financing activities 3,942,271,817 2,305,479,082 57,156,704 392,793,437 2,048,465,702 230,262,693 Net (decrease)/increase in cash and cash equivalents (92,307,112) (213,724,907) 22,339 (268,657) (738) 87,371,731 Cash and cash equivalents at the start of the financial period 859,058,372 463,725,851 148,000,227 179,582,062 976 204,934,807 Unrealised movement on foreign exchange (37,400,019) - - - - - Cash and cash equivalent at the end of the financial period 729,351,241 250,000,944 148,022,566 179,313,405 238 292,306,538 * There were a number of dividends reinvested on the Funds during the financial period which are not included in the Statement of Cash Flows. The value of which were USD 434,197,946 for State Street USD Liquidity LVNAV Fund, GBP 127,545,643 for State Street GBP Liquidity LVNAV Fund, EUR 50,945,657 for State Street EUR Liquidity LV NAV Fund and USD
65,265,916 for State Street USD Treasury Liquidity Fund in the financial period ended 30 June 2025.
State Street Liquidity Public Limited Company
Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Statement of Cash Flows
For the financial period ended 30 June 2025
The accompanying notes are an integral part of the financial statements.
28
State Street Liquidity Public Limited Company
Page 30
State Street EUR Government Liquidity Fund 30 Jun 2025 EUR State Street GBP Government Liquidity Fund 30 Jun 2025 GBP
Cash flow from operating activities
Increase in net assets attributable to redeemable participating Shareholders
--
Adjustment for:
Distributions to redeemable participating Shareholders
2,093,239 8,068,648
Movement in financial assets at fair value through profit or loss
(23,187,700) 81,409,675
Movement in receivables
(7,086) 86,791
Movement in payables
(10,548) 1,928
Net cash (outflow)/inflow from operating activities
(21,112,095) 89,567,042
Cash flows from financing activities
Proceeds from issue of redeemable participating shares*
317,929,561 172,598,412
Payment of redeemable participating shared redeemed
(294,397,289) (259,912,807)
Distributions to redeemable participating Shareholders
(568,847) (976,545)
Net cash inflow/(outflow) from financing activities
22,963,425 (88,290,940)
Net increase in cash and cash equivalents
1,851,330 1,276,102
Cash and cash equivalents at the start of the financial period
15,050,258 16,229,410
Unrealised movement on foreign exchange
--
Cash and cash equivalent at the end of the financial period
16,901,588 17,505,512 * There were a number of dividends reinvested on the Funds during the financial period which are not included in the Statement of Cash Flows. The value of which were EUR 1,641,227 for State Street EUR Government Liquidity Fund and GBP 7,163,188 for State Street GBP Government Liquidity Fund in the financial period ended 30 June 2 025.
State Street Liquidity Public Limited Company
Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Statement of Cash Flows
For the financial period ended 30 June 2025
(continued)
The accompanying notes are an integral part of the financial statements.
State Street Liquidity Public Limited Company 29
Page 31
1. Accounting Policies
The condensed interim financial statements as at 30 June 2026 are unaudited. We note that the statutory auditor’s report in the audited year end financial statements as at 31 December 2025 was unqualified.
The principal accounting policies applied in the preparation of these financial statements are set out below. These policies have been consistently applied to all the periods presented unless otherwise stated.
Basis of preparation These condensed unaudited interim financial statements of the Company for the financial period ended 30 June 2026, have been prepared in accordance with IAS 34, “Interim Financial Reporting” issued by Financial Reporting Council and the UCITS Regulations.
These condensed unaudited interim financial statements of the Company should be read in conjunction with the Company’s annual audited financial statements for the financial year ended 31 December 2025 which have been prepared in accordance with International Financial Reporting Standards (“IFRS”) as adopted by the European Union (“EU”), the interpretations adopted by International Accounting Standard Board (“IASB”) and Irish statute comprising the Companies Act 2014, the UCITS Regulations and the Central Bank (Supervision And Enforcement) Act 2013 (Section 48(1) (Undertakings For Collective Investment In Transferable Securities) Regulations 2026) (the “Central Bank UCITS Regulations”).
The same accounting policies and methods of computation have been followed in these financial statements as were applied in the preparation of the Company’s annual financial statements.
The condensed unaudited interim financial statements have been prepared on a going concern basis and under the historical cost convention, as modified by the revaluation of financial assets and financial liabilities at fair value through profit or loss.
Accounting Standards
New standards, amendments and interpretations issued and effective for the financial period beginning 1 January 2026 There are a number of standards, amendments to standards or interpretations that are effective for financial period beginning on 1 January 2026.
The following new and amended standards and interpretations are not expected to have a significant impact on the Fund’s financial statements:
- Lack of Exchangeability – Amendments to IAS 21 The Effects of Changes in Foreign Exchange Rates
New standards, amendments and interpretations issued but not effective for the financial period beginning 1 January 2026 and not early adopted A number of new standards, amendments to standards and interpretations are not effective for financial period beginning 1 January 2026, and have not been early adopted in preparing these financial statements.
IFRS 18 “Presentation and Disclosure in Financial Statements” was issued in April 2024 and applies to an annual reporting period beginning on or after 1 January 2027. IFRS 18 replaces IAS 1 “Presentation of Financial Statements”. IFRS 18 aims to improve financial reporting by requiring additional defined subtotals in the statement of profit or loss, requiring disclosures about management-defined performance measures and adding new principles for grouping (aggregation and disaggregation) of information.
The following new and amended standards and interpretations are not expected to have a significant impact on the Fund’s financial statements:
- Amendment to IFRS 9 and IFRS 7 - Classification and Measurement of Financial Instruments.
- Annual Improvements to IFRS Accounting Standards (Amendments to IFRS 1, IFRS 7, IFRS 9, IFRS 10, IAS 7).
- Contracts Referencing Nature-dependent Electricity (Amendments to IFRS 9 and IFRS 7).
- IFRS 19 – Subsidiaries without Public Accountability: Disclosures.
- The third edition of IFRS for SMEs Accounting Standard.
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Notes to the financial statements for the financial period ended 30 June 2026
30 State Street Liquidity Public Limited Company
Page 32
1. Accounting Policies (continued)
Critical Accounting Estimates and Assumptions The Investment Manager makes estimates and assumptions concerning the future. The resulting accounting estimates will, by definition, seldom equal the related actual results. The estimates and assumptions that have a significant risk of causing a material adjustment to the carrying amounts of assets and liabilities within the next financial period are outlined below.
The Investment Manager and Administrator have an agreed documented pricing policy in place which sets out the policies, sources and approach to the pricing methodologies.
2. Foreign Currency
The financial statements of the Funds are prepared using the functional currency which reflects its primary economic environment. This is US Dollar for State Street USD Liquidity LVNAV Fund and State Street USD Treasury Liquidity Fund, GBP for State Street GBP Liquidity LVNAV Fund, and State Street GBP Government Liquidity Fund, Euro for the State Street EUR Liquidity LVNAV Fund, State Street EUR Liquidity Standard VNAV Fund and State Street EUR Government Liquidity Fund. The Funds have also adopted these currencies as their presentation currencies of the Funds. Company totals are presented in GBP, P, which reflects the fact that the Company’s investor base is largely located in the United Kingdom.
Transactions in other currencies have been translated at the rate of exchange ruling at the date of the transaction. Assets and liabilities have been translated at the rate of exchange ruling at the financial period end. Resulting profits or losses are dealt with in the Statement of Comprehensive Income.
The rates of exchange ruling at the financial period/year end were GBP 1 =
30 June 2026 31 December 2025 30 June 2025 EUR 1.1609 1.1453 1.1674 USD 1.3272 1.3450 1.3703
The average exchange rates used in the company Statement of Comprehensive Income, the company Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders and the company Statement of Cash Flow for the financial period/year were GBP 1 =
30 June 2026 31 December 2025 30 June 2025 EUR 1.1529 1.1673 1.1869 USD 1.3448 1.3187 1.2979
Notional Exchange Adjustment For the purpose of combining the financial statements of the Funds to arrive at Company figures (required under Irish Company Law), the amounts in the Statement of Comprehensive Income and Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders have been translated to GBP, P, at the average month end exchange rates ruling for the financial period. The amounts in the Statement of Financial Position have been translated to GBP using period end exchange rates. This method of translation has no effect on the Net Asset Value per redeemable participating share attributable to the individual Funds. The presentation currency of the Company is the currency in which the financial statements are prepared.
The value of the Company has been determined using the exchange rate ruling at 30 June 2026. The resulting notional exchange gain of GBP 212,410,249 is owing to the movement in exchange rates between 1 January 2026 and 30 June 2026, the difference between the average exchange rates for the financial period used to calculate the Statement of Comprehensive Income and the subscriptions and redemptions compared to the year end rates. The difference is reflected as a foreign currency translation adjustment in the Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders. In the financial period ended 30 June 2025 there was a resulting gain of GBP there was a resulting loss of GBP (2,012,203,701).
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Notes to the financial statements for the financial period ended 30 June 2026 (continued)
State Street Liquidity Public Limited Company 31
Page 33
3. Share Capital
The initial capital of the Company is EUR 38,902 represented by 30,000 Subscriber shares of no par value. As Subscriber shares are not redeemable participating shares of the Company and do not form part of the NAV of the Funds, they are disclosed in the financial statements by way of this note only.
Each redeemable participating share entitles the Shareholder to participate equally on a pro-rata basis in the dividends and net assets of the Funds in respect of which they are issued, save in the case of dividends declared prior to becoming a Shareholder. Each share entitles the holder to attend and vote at meetings of the Funds and are represented by those shares. No class of shares confers on the holder thereof any preferential or pre-emptive rights or any rights to participate in the profits and dividends of any other class of shares or any voting rights in relation to matters relating solely to any other class of shares.
Redeemable participating shares may be redeemed on any Dealing Day at the applicable NAV per share per the dealing prices obtained on the Dealing Day on which the repurchase is effected.
For the LVNAV range if the Stable NAV 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 Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Notes to the financial statements for the financial period ended 30 June 2026 (continued)
32 State Street Liquidity Public Limited Company
Page 34
3. Share Capital
(continued)
For the financial period ending 30 June 2026
State Street USD Liquidity LVNAV Fund
INSTITUTIONAL SHARES
GLOBAL SECURITIES LENDING SHARES
INSTITUTIONAL ACCUMULATING
SHARES S2 SHARES S3 SHARES Z ACCUMULATING SHARES
Redeemable participating shares in issue at beginning of the
financial period 4,991,842,671 501,245,295 29,310,961 17,655,838 456,527,824 2,073,612 Redeemable participating shares issued 27,363,543,560 1,296,849,598 126,194,744 3,553,164,319 3,125,046,036 1,831,015 Redeemable participating shares redeemed (27,939,904,704) (1,443,393,760) (103,279,932) (3,549,985,521) (2,829,175,391) (1,244,540)
Redeemable participating shares in issue at end of the financial
period 4,415,481,527 354,701,133 52,225,773 20,834,636 752,398,469 2,660,087 Proportionate NAV for redeemable participating Shareholders $4,414,928,075 $354,772,855 $709,153,605 $20,846,558 $752,370,128 $36,830,233
NAV per redeemable participating share
30 June 2026
$1.00 $1.00 $13.58 $1.00 $1.00 $13.85 31 December 2025 $1.00 $1.00 $13.33 $1.00 $1.00 $13.59
30 June 2025
$1.00 $1.00 $13.05 $1.00 $1.00 $13.29
State Street Liquidity Public Limited Company
Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Notes to the financial statements
for the financial period ended 30 June 2026
(continued)
State Street Liquidity Public Limited Company 33
Page 35
3. Share Capital
(continued)
For the financial period ending 30 June 2026
(continued)
State Street USD Liquidity LVNAV Fund
(continued)
Z SHARES
PREMIER SHARES
SELECT SHARES
DISTRIBUTOR SHARES UOB SHARES INVESTMENT SHARES
Redeemable participating shares in issue at beginning of the
financial period 85,581 12,512,953,839 551,776,357 4,150,574,654 462,677,262 764,327,867 Redeemable participating shares issued 2,101,453 51,670,322,973 8,333,870,863 25,877,014,884 315,223,499 4,164,764,381 Redeemable participating shares redeemed (156,918) (51,327,457,953) (6,974,013,485) (25,212,748,038) (364,946,897) (4,090,786,300)
Redeemable participating shares in issue at end of the financial
period
2,030,116 12,855,818,859 1,911,633,735 4,814,841,500 412,953,864 838,305,948 Proportionate NAV for redeemable participating Shareholders $2,029,630 $12,854,333,788 $1,911,711,419 $4,814,533,202 $412,852,537 $838,263 ,787
NAV per redeemable participating share
30 June 2026
$1.00 $1.00 $1.00 $1.00 $1.00 $1.00 31 December 2025 $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
30 June 2025
$1.00 $1.00 $1.00 $1.00 $1.00 $1.00
State Street Liquidity Public Limited Company
Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Notes to the financial statements
for the financial period ended 30 June 2026
(continued)
34
State Street Liquidity Public Limited Company
Page 36
3. Share Capital
(continued)
For the financial period ending 30 June 2026
(continued)
State Street USD Liquidity LVNAV Fund
(continued)
PREMIER ACCUMULATING SHARES SELECT ACCUMULATING SHARES
Redeemable participating shares in issue at beginning of the financial period
167,653,977 10,298,334
Redeemable participating shares issued
1,131,022,396 8,697,849
Redeemable participating shares redeemed
(963,418,901) (4,519,214)
Redeemable participating shares in issue at end of the financial period
335,257,472 14,476,969
Proportionate NAV for redeemable participating Shareholders
$4,030,379,135 $160,250,622
NAV per redeemable participating share
30 June 2026
$12.02 $11.07
31 December 2025
$11.80 $10.87
30 June 2025
$11.55 $10.64
State Street Liquidity Public Limited Company
Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Notes to the financial statements
for the financial period ended 30 June 2026
(continued)
State Street Liquidity Public Limited Company 35
Page 37
3. Share Capital
(continued)
For the financial period ending 30 June 2026
(continued)
State Street GBP Liquidity LVNAV Fund
INSTITUTIONAL SHARES
INSTITUTIONAL ACCUMULATING
SHARES S2 SHARES S3 SHARES* Z ACCUMULATING SHARES Z SHARES
Redeemable participating shares in issue at beginning of the
financial period 465,581,477 62,925 48 - 12,293,198 1,600,948,400 Redeemable participating shares issued 3,230,012,142 1,272,744 - - 18,979,579 1,485,244,325 Redeemable participating shares redeemed (3,338,877,665) (806,155) - - (11,604,829) (1,218,661,219)
Redeemable participating shares in issue at end of the financial
period
356,715,954 529,514 48 - 19,667,948 1,867,531,506 Proportionate NAV for redeemable participating Shareholders £356,842,675 £7,172,912 £48 - £271,211,066 £1,867,576,296
NAV per redeemable participating share
30 June 2026
£1.00 £13.55 £1.00 - £13.79 £1.00 31 December 2025 £1.00 £13.30 £1.00 - £13.53 £1.00
30 June 2025
£1.00 £13.03 £1.00 £1.00 £13.25 £1.00
* The S3 Shares Class of the State Street GBP Liquidity LVNAV Fund terminated on 19 August 2025
State Street Liquidity Public Limited Company
Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Notes to the financial statements
for the financial period ended 30 June 2026
(continued)
36
State Street Liquidity Public Limited Company
Page 38
3. Share Capital
(continued)
For the financial period ending 30 June 2026
(continued)
State Street GBP Liquidity LVNAV Fund
(continued)
PREMIER SHARES
SELECT SHARES DISTRIBUTOR SHARES PREMIER ACCUMULATING SHARES Redeemable participating shares in issue at beginning of the financial period 1,321,954,585 85,935,862 2,509,949,467 8,729,173
Redeemable participating shares issued
6,890,788,440 640,318,681 7,565,390,353 91,238,353
Redeemable participating shares redeemed
(6,281,145,004) (569,344,762) (7,901,945,877) (91,676,221) Redeemable participating shares in issue at end of the financial period 1,931,598,021 156,909,781 2,173,393,943 8,291,305 Proportionate NAV for redeemable participating Shareholders £1,931,798,721 £156,954,123 £2,173,413,523 £94,658,594
NAV per redeemable participating share
30 June 2026
£1.00 £1.00 £1.00 £11.42
31 December 2025
£1.00 £1.00 £1.00 £11.20
30 June 2025
£1.00 £1.00 £1.00 £10.98
State Street Liquidity Public Limited Company
Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Notes to the financial statements
for the financial period ended 30 June 2026
(continued)
State Street Liquidity Public Limited Company 37
Page 39
3. Share Capital
(continued)
For the financial period ending 30 June 2026
(continued)
State Street EUR Liquidity LVNAV Fund
INSTITUTIONAL SHARES
GLOBAL SECURITIES LENDING SHARES
INSTITUTIONAL ACCUMULATING
SHARES S2 SHARES Z ACCUMULATING SHARES Z SHARES
Redeemable participating shares in issue at beginning of the
financial period 1,101,766,829 228,274,282 438,217 9,419,105 1,895,259 246,397,148 Redeemable participating shares issued 5,326,276,037 525,038,223 514,054 43,491,459 1,014,971 238,704,391 Redeemable participating shares redeemed (4,546,298,293) (546,537,386) (732,488) (51,792,905) (865,923) (150,461,062)
Redeemable participating shares in issue at end of the financial
period 1,881,744,573 206,775,119 219,783 1,117,659 2,044,307 334,640,477
Proportionate NAV for redeemable participating Shareholders
€
1,881,662,067
€
206,720,533
€
238,418,660
€ 1,113,000 € 2,233,870,142 € 334,681,026
NAV per redeemable participating share
30 June 2026
€
1.00
€
1.00
€
1,084.79
€ 1.00 € 1,092.73 € 1.00
31 December 2025
€
1.00
€
1.00
€
1,074.27
€ 1.00 € 1,081.52 € 1.00
30 June 2025
€
1.00
€
1.00
€
1,063.92
€ 1.00 € 1,070.50 € 1.00
State Street Liquidity Public Limited Company
Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Notes to the financial statements
for the financial period ended 30 June 2026
(continued)
38
State Street Liquidity Public Limited Company
Page 40
3. Share Capital
(continued)
For the financial period ending 30 June 2026
(continued)
State Street EUR Liquidity LVNAV Fund
(continued)
PREMIER SHARES
DISTRIBUTOR SHARES
PREMIER ACCUMULATING SHARES INVESTMENT SHARES SELECT SHARES Redeemable participating shares in issue at beginning of the financial period 2,777,642,460 1,209,841,381 171,541 30,484,006 163,370,497 Redeemable participating shares issued 7,363,962,355 6,987,537,537 1,806,083 155,591,891 937,497,773 Redeemable participating shares redeemed (6,745,135,331) (6,488,517,007) (1,233,884) (30,185,007) (884,723,022) Redeemable participating shares in issue at end of the financial period 3,396,469,484 1,708,861,911 743,740 155,890,890 216,145,248
Proportionate NAV for redeemable participating Shareholders
€
3,396,304,865
€
1,708,802,722
€
824,941,318 € 155,912,043 € 216,101,636
NAV per redeemable participating share
30 June 2026
€
1.00
€
1.00
€ 1,109.18 € 1.00 € 1.00
31 December 2025
€
1.00
€
1.00
€ 1,098.15 € 1.00 € 1.00
30 June 2025
€
1.00
€
1.00
€ 1,087.30 € 1.00 € 1.00
State Street Liquidity Public Limited Company
Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Notes to the financial statements
for the financial period ended 30 June 2026
(continued)
State Street Liquidity Public Limited Company 39
Page 41
3. Share Capital
(continued)
For the financial period ending 30 June 2026
(continued)
State Street EUR Liquidity Standard VNAV Fund
GLOBAL SECURITIES LENDING SHARES* Z SHARES INSTITUTIONAL SHARES
Redeemable participating shares in issue at beginning of the financial period
- 2,171,622 9,997
Redeemable participating shares issued
- 413,658 553
Redeemable participating shares redeemed
- (740,664) (722)
Redeemable participating shares in issue at end of the financial period
- 1,844,616 9,828
Proportionate NAV for redeemable participating Shareholders
- € 2,021,562,129 € 10,691,331
NAV per redeemable participating share
30 June 2026
- € 1,095.93 € 1,087.84
31 December 2025
- € 1,084.18 € 1,076.74
30 June 2025
€ 1,083.93 € 1,072.64 € 1,065.87 * The Global Securities Lending Shares Class of the State Street EUR Liquidity Standard VNAV Fund terminated on 3 October 2025.
State Street Liquidity Public Limited Company
Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Notes to the financial statements
for the financial period ended 30 June 2026
(continued)
40
State Street Liquidity Public Limited Company
Page 42
3. Share Capital
(continued)
For the financial period ending 30 June 2026
(continued)
State Street USD Treasury Liquidity Fund
INSTITUTIONAL SHARES
INVESTMENT SHARES PREMIER SHARES DISTRIBUTOR SHARES Redeemable participating shares in issue at beginning of the financial period 560,043,199 52,582,052 1,153,081,180 2,390,493,584
Redeemable participating shares issued
720,547,404 247,066,040 4,005,380,551 27,227,658,505
Redeemable participating shares redeemed
(1,249,731,909) (262,637,554) (3,581,165,294) (26,801,442,942) Redeemable participating shares in issue at end of the financial period 30,858,694 37,010,538 1,577,296,437 2,816,709,147 Proportionate NAV for redeemable participating Shareholders $30,857,826 $37,010,472 $1,577,301,849 $2,816,710,251
NAV per redeemable participating share
30 June 2026
$1.00 $1.00 $1.00 $1.00
31 December 2025
$1.00 $1.00 $1.00 $1.00
30 June 2025
$1.00 $1.00 $1.00 $1.00
State Street Liquidity Public Limited Company
Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Notes to the financial statements
for the financial period ended 30 June 2026
(continued)
State Street Liquidity Public Limited Company 41
Page 43
3. Share Capital
(continued)
For the financial period ending 30 June 2026
(continued)
State Street EUR Government Liquidity Fund
INSTITUTIONAL SHARES
INVESTMENT SHARES
DISTRIBUTOR SHARES Z SHARES PREMIER SHARES* Redeemable participating shares in issue at beginning of the financial period 7,693 33,400,000 63,254,318 103,781,384 40,631,308 Redeemable participating shares issued 18,985,854 124,300,000 319,102,957 1,015,211 48,180,196 Redeemable participating shares redeemed (14,813,661) (109,450,000) (307,768,533) - (31,000,000) Redeemable participating shares in issue at end of the financial period 4,179,886 48,250,000 74,588,742 104,796,595 57,811,504
Proportionate NAV for redeemable participating Shareholders
€
4,179,886
€
48,250,000
€ 74,588,743 € 104,796,595 € 57,811,504
NAV per redeemable participating share
30 June 2026
€
1.00
€
1.00
€ 1.00 € 1.00 € 1.00
31 December 2025
€
1.00
€
1.00
€ 1.00 € 1.00 € 1.00
30 June 2025
€
1.00
€
1.00
€ 1.00 € 1.00 -
* The Premier Shares of the State Street EUR Government Liquidity Fund launched on 23 July 2025.
State Street Liquidity Public Limited Company
Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Notes to the financial statements
for the financial period ended 30 June 2026
(continued)
42
State Street Liquidity Public Limited Company
Page 44
3. Share Capital
(continued)
For the financial period ending 30 June 2026
(continued)
State Street GBP Government Liquidity Fund
INSTITUTIONAL SHARES
INVESTMENT SHARES
DISTRIBUTOR SHARES Z SHARES PREMIER SHARES Redeemable participating shares in issue at beginning of the financial period 1,102 40,900,050 28,737,612 112,157,814 126,257,666 Redeemable participating shares issued 2,043,754 82,245,100 490,054,978 2,099,472 22,359,764 Redeemable participating shares redeemed (220,177) (82,290,100) (478,910,930) - - Redeemable participating shares in issue at end of the financial period 1,824,679 40,855,050 39,881,660 114,257,286 148,617,430 Proportionate NAV for redeemable participating Shareholders £1,824,679 £40,855,050 £39,881,660 £114,257,286 £148,617,430
NAV per redeemable participating share
30 June 2026
£1.00 £1.00 £1.00 £1.00 £1.00
31 December 2025
£1.00 £1.00 £1.00 £1.00 £1.00
30 June 2025
£1.00 £1.00 £1.00 £1.00 £1.00
Total Net Assets of the
Fund
State Street USD Liquidity LVNAV Fund
State Street GBP Liquidity LVNAV Fund
State Street EUR Liquidity LVNAV Fund
State Street EUR Liquidity Standard VNAV Fund
State Street USD Treasury Liquidity Fund State Street EUR Government Liquidity Fund State Street GBP Government Liquidity Fund
30 June 2026 $31,313,255,574 £6,859,627,958
€
11,198,528,012
€
2,032,253,460 $4,461,880,398 € 289,626,728 £345,436,105
31 December 2025 $26,923,474,072 £6,249,102,393
€
8,475,965,009
€
2,365,197,058 $4,156,208,738 € 241,074,703 £308,054,243
30 June 2025 $29,874,202,425 £6,345,516,929
€
8,842,498,546
€
2,431,307,540 $4,501,451,314 € 188,224,669 £349,917,703
State Street Liquidity Public Limited Company
Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Notes to the financial statements
for the financial period ended 30 June 2026
(continued)
State Street Liquidity Public Limited Company 43
Page 45
3. Share Capital
(continued)
For the financial year ending 31 December 2025
State Street USD Liquidity LVNAV Fund
INSTITUTIONAL SHARES
GLOBAL SECURITIES LENDING SHARES
INSTITUTIONAL ACCUMULATING
SHARES S2 SHARES S3 SHARES Z ACCUMULATING SHARES
Redeemable participating shares in issue at beginning of the
financial year 4,016,347,676 775,999,312 74,065,817 287,803,628 1,200,712,063 5,016,541 Redeemable participating shares issued 63,885,420,101 8,762,685,940 201,231,519 5,714,619,030 8,503,895,306 6,050,616 Redeemable participating shares redeemed (62,909,925,106) (9,037,439,957) (245,986,375) (5,984,766,820) (9,248,079,545) (8,993,545) Redeemable participating shares in issue at end of the financial year 4,991,842,671 501,245,295 29,310,961 17,655,838 456,527,824 2,073,612 Proportionate NAV for redeemable participating Shareholders $4,992,582,728 $501,420,822 $390,849,963 $17,654,217 $456,699,609 $28,177,539
State Street USD Liquidity LVNAV Fund
(continued)
Z SHARES
PREMIER SHARES
SELECT SHARES
DISTRIBUTOR SHARES UOB SHARES INVESTMENT SHARES
Redeemable participating shares in issue at beginning of the
financial year 1,555,771 13,157,297,700 505,926,473 4,388,913,945 254,857,629 1,065,622,978 Redeemable participating shares issued 1,682,810 86,481,168,108 11,914,733,333 46,164,927,776 1,088,115,508 7,385,351,137 Redeemable participating shares redeemed (3,153,000) (87,125,511,969) (11,868,883,449) (46,403,267,067) (880,295,875) (7,686,646,248) Redeemable participating shares in issue at end of the financial year 85,581 12,512,953,839 551,776,357 4,150,574,654 462,677,262 764,327,867 Proportionate NAV for redeemable participating Shareholders $85,614 $12,514,815,340 $552,004,361 $4,151,313,758 $462,693,875 $764,456,353
State Street Liquidity Public Limited Company
Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Notes to the financial statements
for the financial period ended 30 June 2026
(continued)
44
State Street Liquidity Public Limited Company
Page 46
3. Share Capital
(continued)
For the financial year ending 31 December 2025
(continued)
State Street USD Liquidity LVNAV Fund
(continued)
PREMIER ACCUMULATING SHARES SELECT ACCUMULATING SHARES
Redeemable participating shares in issue at beginning of the financial year
142,646,478 2,057,809
Redeemable participating shares issued
1,319,495,203 13,502,339
Redeemable participating shares redeemed
(1,294,487,704) (5,261,814)
Redeemable participating shares in issue at end of the financial year
167,653,977 10,298,334
Proportionate NAV for redeemable participating Shareholders
$1,978,788,836 $111,931,057
State Street GBP Liquidity LVNAV Fund
INSTITUTIONAL SHARES
INSTITUTIONAL ACCUMULATING
SHARES S2 SHARES S3 SHARES Z ACCUMULATING SHARES Z SHARES
Redeemable participating shares in issue at beginning of the
financial year 438,089,788 872,907 254 46,546,421 8,157,101 1,624,726,982 Redeemable participating shares issued 3,918,124,273 3,763,907 3 19,922,785 8,290,504 2,459,266,833 Redeemable participating shares redeemed (3,890,632,584) (4,573,889) (209) (66,469,206) (4,154,407) (2,483,045,415) Redeemable participating shares in issue at end of the financial year 465,581,477 62,925 48 - 12,293,198 1,600,948,400 Proportionate NAV for redeemable participating Shareholders £465,647,379 £836,654 £48 - £166,305,223 £1,600,875,899
State Street Liquidity Public Limited Company
Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Notes to the financial statements
for the financial period ended 30 June 2026
(continued)
State Street Liquidity Public Limited Company 45
Page 47
3. Share Capital
(continued)
For the financial year ending 31 December 2025
(continued)
State Street GBP Liquidity LVNAV Fund
(continued)
PREMIER SHARES
SELECT SHARES DISTRIBUTOR SHARES PREMIER ACCUMULATING SHARES Redeemable participating shares in issue at beginning of the financial year 1,611,736,216 57,806,390 2,216,698,632 4,195,755
Redeemable participating shares issued
12,577,919,648 1,262,745,776 17,559,235,396 147,743,991
Redeemable participating shares redeemed
(12,867,701,279) (1,234,616,304) (17,265,984,561) (143,210,573) Redeemable participating shares in issue at end of the financial year 1,321,954,585 85,935,862 2,509,949,467 8,729,173 Proportionate NAV for redeemable participating Shareholders £1,321,887,852 £85,934,048 £2,509,818,443 £97,796,847
State Street EUR Liquidity LVNAV Fund
INSTITUTIONAL SHARES
GLOBAL SECURITIES LENDING SHARES
INSTITUTIONAL ACCUMULATING
SHARES S2 SHARES Z ACCUMULATING SHARES Z SHARES
Redeemable participating shares in issue at beginning of the
financial year 450,918,608 195,646,172 303,152 1,666,377 2,069,693 376,232,080 Redeemable participating shares issued 6,385,185,332 1,180,698,483 869,391 19,659,324 1,937,688 1,504,845,441 Redeemable participating shares redeemed (5,734,337,111) (1,148,070,373) (734,326) (11,906,596) (2,112,122) (1,634,680,373) Redeemable participating shares in issue at end of the financial year 1,101,766,829 228,274,282 438,217 9,419,105 1,895,259 246,397,148
Proportionate NAV for redeemable participating Shareholders
€
1,101,722,120
€
228,257,059
€
470,762,390
€ 9,413,160 € 2,049,758,375 € 246,443,570
State Street Liquidity Public Limited Company
Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Notes to the financial statements
for the financial period ended 30 June 2026
(continued)
46
State Street Liquidity Public Limited Company
Page 48
3. Share Capital
(continued)
For the financial year ending 31 December 2025
(continued)
State Street EUR Liquidity LVNAV Fund
(continued)
PREMIER SHARES
DISTRIBUTOR SHARES
PREMIER ACCUMULATING SHARES INVESTMENT SHARES SELECT SHARES Redeemable participating shares in issue at beginning of the financial year 3,015,065,346 1,287,623,769 406,003 16,036,573 63,816,305 Redeemable participating shares issued 12,899,936,417 11,380,541,077 2,524,400 30,510,209 1,029,157,192 Redeemable participating shares redeemed (13,137,359,303) (11,458,323,465) (2,758,862) (16,062,776) (929,603,000) Redeemable participating shares in issue at end of the financial year 2,777,642,460 1,209,841,381 171,541 30,484,006 163,370,497
Proportionate NAV for redeemable participating Shareholders
€
2,777,541,679
€
1,209,843,246
€
188,378,012 € 30,483,849 € 163,361,549
State Street EUR Liquidity Standard VNAV Fund
GLOBAL SECURITIES LENDING SHARES Z SHARES INSTITUTIONAL SHARES
Redeemable participating shares in issue at beginning of the financial year
20,001 318,430 4,588
Redeemable participating shares issued
46,432 2,156,525 32,610
Redeemable participating shares redeemed
(66,433) (303,333) (27,201)
Redeemable participating shares in issue at end of the financial year
- 2,171,622 9,997
Proportionate NAV for redeemable participating Shareholders
- € 2,354,432,865 € 10,764,193
State Street Liquidity Public Limited Company
Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Notes to the financial statements
for the financial period ended 30 June 2026
(continued)
State Street Liquidity Public Limited Company 47
Page 49
3. Share Capital
(continued)
For the financial year ending 31 December 2025
(continued)
State Street USD Treasury Liquidity Fund
INSTITUTIONAL SHARES
INVESTMENT SHARES PREMIER SHARES DISTRIBUTOR SHARES Redeemable participating shares in issue at beginning of the financial year 229,361,071 19,209,773 274,020,139 3,697,222,447
Redeemable participating shares issued
735,563,185 313,528,686 5,420,051,922 34,671,772,027
Redeemable participating shares redeemed
(404,881,057) (280,156,407) (4,540,990,881) (35,978,500,890) Redeemable participating shares in issue at end of the financial year 560,043,199 52,582,052 1,153,081,180 2,390,493,584 Proportionate NAV for redeemable participating Shareholders $560,044,324 $52,582,124 $1,153,083,852 $2,390,498,438
State Street EUR Government Liquidity Fund
INSTITUTIONAL SHARES
INVESTMENT SHARES
DISTRIBUTOR SHARES Z SHARES PREMIER SHARES* Redeemable participating shares in issue at beginning of the financial year 20,894,535 60,524,494 20,010,786 61,926,389 - Redeemable participating shares issued 1,492,729 125,484,725 530,882,220 41,854,995 40,636,308 Redeemable participating shares redeemed (22,379,571) (152,609,219) (487,638,688) - (5,000) Redeemable participating shares in issue at end of the financial year 7,693 33,400,000 63,254,318 103,781,384 40,631,308
Proportionate NAV for redeemable participating Shareholders
€
7,693
€
33,400,000
€ 63,254,318 € 103,781,384 € 40,631,308
* The Premier Shares of the State Street EUR Government Liquidity Fund launched on 23 July 2025.
State Street Liquidity Public Limited Company
Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Notes to the financial statements
for the financial period ended 30 June 2026
(continued)
48
State Street Liquidity Public Limited Company
Page 50
3. Share Capital
(continued)
For the financial year ending 31 December 2025
(continued)
State Street GBP Government Liquidity Fund
INSTITUTIONAL SHARES
INVESTMENT SHARES
DISTRIBUTOR SHARES Z SHARES PREMIER SHARES Redeemable participating shares in issue at beginning of the financial year 8,687,577 35,167,931 10,002,003 87,801,830 289,508,520 Redeemable participating shares issued 252,089 122,911,118 396,194,479 24,355,984 12,914,546 Redeemable participating shares redeemed (8,938,564) (117,178,999) (377,458,870) - (176,165,400) Redeemable participating shares in issue at end of the financial year 1,102 40,900,050 28,737,612 112,157,814 126,257,666 Proportionate NAV for redeemable participating Shareholders £1,102 £40,900,050 £28,737,612 £112,157,814 £126,257,665
State Street Liquidity Public Limited Company
Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Notes to the financial statements
for the financial period ended 30 June 2026
(continued)
State Street Liquidity Public Limited Company 49
Page 51
4. Fees
Management Company fee waivers have been applied to a number of Share Classes on the Funds as described in further detail below.
The Management Company has voluntarily agreed to waive such portion of its fees as is necessary to ensure that the total expense ratio attributable to the classes of shares of the Funds shall not exceed the below rate.
This undertaking shall continue in force at the sole discretion of the Management Company. The Management Company may from time to time elect to decrease or increase the below rates by notice to the Company, and the Company will notify in advance the Shareholders of the relevant shares if the above rates are increased.
Class
% of average daily NAV Global Securities Lending Shares 0.04% Institutional Accumulating Shares 0.15% Institutional Shares 0.15% S2 Shares 0.15% S3 Shares 0.10% Z Accumulating Shares 0.05% Z Shares 0.05% Premier Shares 0.10% Select Shares 0.12% Distributor Shares 0.20% Investment Shares 0.45% Investment Shares 0.45% Premier Accumulating Shares 0.10%
During the financial period ended 30 June 2026 and 30 June 2025, none of the share classes on the Funds exceeded the expense limits as set out above, therefore no waiver of Investment Manager fees applied with the exception of the State Street EUR Liquidity Standard VNAV Fund.
The total expense ratios attributable to each class of Shares of the Fund and as set out above, include, but are not limited to, the fees of the Investment Manager or any sub-investment manager, investment advisor or other delegate appointed by it in respect of the Funds, the fees of the Administrator, the fees of the Depositary, and any distribution fees not covered by the subscription fee and all of the Funds’ expenses and its due proportion of any expenses allocated to it. The out-of-pocket expenses of the Investment Manager, any sub-investment manager, any investment advisor, the Depositary and the Administrator shall be borne by the Funds. Such expenses shall be at normal commercial rates.
The Directors shall be entitled to a fee by way of remuneration for their services. Refer to Note 6 for details of Directors’ fees during the financial period.
5. Taxation
Under current law and practice, the Company qualifies as an investment undertaking as defined in Section 739B of the Taxes Consolidation Act, 1997, as amended. On that basis, it is not chargeable to Irish tax on its income or gains.
However, Irish tax may arise on the happening of a “chargeable event”. A chargeable event includes any distribution payments to Shareholders or any encashment, redemption, cancellation or transfer of shares and the holding of shares at the end of each eight year period beginning with the acquisition of such shares.
No Irish tax will arise in respect of chargeable events in respect of a Shareholder who is an Exempt Irish Investor (as defined in Section 739D of the TCA) 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 TCA is held by the Company and the Company is not in possession of any information which would reasonably suggest that the information contained therein is no longer materially correct or where the Company has been authorised by Irish Revenue to make gross payments in the absence of appropriate declarations.
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Notes to the financial statements for the financial period ended 30 June 2026 (continued)
50 State Street Liquidity Public Limited Company
Page 52
5. Taxation (continued)
Dividends, interest and capital gains (if any) received on investments made by the Company may be subject to withholding taxes imposed by the country from which the investment income/gains are received and such taxes may not be recoverable by the Company or its Shareholders.
The Minimum Tax Directive provides for a EU 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 01 January 2025. The Company meets the definition of an investment entity under BEPS Pillar Two rules, and the clause within it that seeks to protect the tax neutrality of investment funds. This excludes the Company from quantitative disclosures under BEPS Pillar Two requirement along with Qualified Domestic Minimum Top-up Tax (“QDMTT”) requirement.
6. Related Party Transactions
In the opinion of the Directors, the Management Company, Investment Manager, Sub-Investment Manager, Global Distributor, Sub-Distributor, Administrator, Registrar, Transfer Agent and Depositary are all related parties under International Accounting Standard 24 (“IAS 24”) “Related Party Transactions”. All transactions with related parties were entered into in the normal course of business.
Investment Manager, Management Company State Street Global Advisors Europe Limited and Global Distributor Administrator/Registrar/Transfer Agent State Street Fund Services (Ireland) Limited Depositary State Street Custodial Services (Ireland) Limited Sub-Investment Managers State Street Global Advisors Trust Company, State Street Global Advisors Limited Board of Directors Barbara Healy, Rebecca Bridger, Tom Coghlan, Eric Linnane (appointed on 2 January 2026), Lim Siong Kwong (Benjamin) Lam Thuon Mine (appointed on 2 January 2026) Board of Directors of the Management Company Nigel Wightman, Ann Prendergast, Eric Linnane, 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).
Rebecca Bridger is also Managing Director and Head of EMEA Funds Management in the EMEA Funds Management Team for State Street IM.
Eric Linnane is a Managing Director and Head of State Street Global Advisors Europe Investment Operations.
Marie-Anne Heeren is 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.
Scott Sanderson is a Managing Director and the Chief Financial Officer (CFO) for State Street Global Advisors in EMEA.
Transactions with Entities with Significant Influence Management Company fees net of fees waived for the financial period were GBP 18,427,165 (30 June 2025: GBP 17,618,925) and the amount payable at the financial period end was GBP 3,463,610 (31 December 2025: GBP 4,437,477). Please refer to Note 4 for details of gross Investment Management fees for the financial period ended 30 June 2026.
Distributor fees for the financial period were GBP 870,810 (30 June 2025: GBP 1,678,202) and the amount payable at the financial period end was GBP Nil (31 December 2025: GBP Nil).
Transactions with Key Management Personnel The Directors fees for the independent Directors during the financial period were GBP 17,983 (30 June 2025: GBP 49,843), the amount payable to the Directors at the financial period end was GBP 49,622 (31 December 2025: GBP 49,872).
Rebecca Bridger and Eric Linnane did not receive any Director fees for the financial period ended 30 June 2026.
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Notes to the financial statements for the financial period ended 30 June 2026 (continued)
State Street Liquidity Public Limited Company 51
Page 53
6. Related Party Transactions (continued)
Cross Holdings State Street GBP Liquidity LVNAV Fund held 113,904,310 shares with fair value of GBP 113,904,310 in State Street GBP Government Liquidity Fund (31 December 2025: 111,790,253 shares with fair value of GBP 111,790,253) at the financial period end.
State Street EUR Liquidity LVNAV Fund held 104,618,731 shares with fair value of EUR 104,618,731 in State Street EUR Government Liquidity Fund (31 December 2025: 103,611,969 shares with fair value of EUR 103,611,969) at the financial period end.
The movement of Cross Holdings for the financial period ended 30 June 2026 and financial year ended 31 December 2025 were:
Cross-holdings eliminations State Street GBP Liquidity LVNAV Fund
State Street EUR Liquidity LVNAV Fund Converted 30 June 2026 GBP EUR to GBP
Opening market value 111,790,253 103,611,969 197,457,936 Issue of shares 2,114,057 1,006,762 2,987,308 Redemptions of shares --Realised gain --Movement in unrealised gain/(loss) - - Notional exchange adjustment - - 3,578,242
Closing market value 113,904,310 104,618,731 204,023,486
Cross-holdings eliminations State Street GBP Liquidity LVNAV Fund
State Street EUR Liquidity LVNAV Fund Converted 31 December 2025 GBP EUR to GBP
Opening market value 87,454,574 61,768,683 138,525,700 Issue of shares 24,335,679 41,843,286 59,755,653 Redemptions of shares --Realised gain --Movement in unrealised gain/(loss) - - Notional exchange adjustment - - (823,417)
Closing market value 111,790,253 103,611,969 197,457,936
The impact of the cross investment transaction has been eliminated from the total column for the Company in the Statement of Financial Position, Statement of Comprehensive Income and Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders.
Significant Concentrations of Shareholders The Funds may have a risk of concentration of Shareholders holding a significant percentage of the shares outstanding in the Funds. Investment activities of these Shareholders could have a material impact on the Funds.
As at 30 June 2026, the State Street EUR Liquidity Standard VNAV Fund had two Shareholders with a shareholdings of 61.00% and 21.46% (31 December 2025: one Shareholder with a shareholding of 67.01%).
As at 30 June 2026, the State Street GBP Liquidity LVNAV Fund had one Shareholder with a shareholding of 25.05% (31 December 2025: one Shareholder with a shareholding of 23.09%).
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Notes to the financial statements for the financial period ended 30 June 2026 (continued)
52 State Street Liquidity Public Limited Company
Page 54
6. Related Party Transactions (continued)
Significant Concentrations of Shareholders (continued)
As at 30 June 2026, the State Street GBP Government Liquidity Fund had two Shareholders with shareholdings of 39.78% and 33.05% (31 December 2025: two Shareholders with shareholdings of 39.97% and 36.39%).
As at 30 June 2026, the State Street EUR Government Liquidity Fund had one Shareholder with a shareholding of 36.16% (31 December 2025: one Shareholder with a shareholding of 43.02%).
The remaining Funds have no concentration of shareholders as at the 30 June 2026 or 31 December 2025.
Transactions with Other Related Parties State Street Global Advisors Limited is a wholly-owned subsidiary of State Street Global Advisors Holdings Inc, whose ultimate parent entity is State Street Corporation. The Depositary and Administrator are ultimately owned by State Street Corporation.
During the financial period, State Street Custodial Services (Ireland) Limited and State Street Fund Services (Ireland) Limited fees earned were GBP 6,303,663 (30 June 2025: GBP 4,592,426) and the amount payable at the financial period end was GBP 2,938,070 (31 December 2025: GBP 663,327).
During the financial period companies related to the Depositary were also selected by the Investment Manager on behalf of the Company to: - execute foreign currency spot transactions - accept deposits, and - act as counterparty for OTC derivative transactions.
The following Funds are related parties because their Investment Manager is State Street Global Advisors Europe Limited as at 30 June 2026 and 31 December 2025:
Fund Shareholder
% of Fund Holdings 30 June 2026
% of Fund Holdings 31 December 2025 State Street EUR Government Liquidity Fund State Street EUR Liquidity LVNAV Fund 36.160 43.024 State Street EUR Liquidity LVNAV Fund State Street Global Advisors Lux SICAV State Street Europe Value Spotlight Fund - 0.000* State Street EUR Liquidity LVNAV Fund State Street Global Advisors Lux SICAV State Street Eurozone Value Spotlight - 0.000* State Street EUR Liquidity LVNAV Fund State Street IUT Balanced Fund 0.206 0.261 State Street EUR Liquidity LVNAV Fund State Street IUT Euro Liquidity Fund 1.895 1.729 State Street EUR Liquidity LVNAV Fund Windwise Property Unit Trust 0.185 0.340 State Street EUR Liquidity Standard VNAV Fund State Street IUT Active Ethically Managed Fund 0.011 0.000* State Street EUR Liquidity Standard VNAV Fund State Street IUT Euro Ultra Short Bond Fund 9.298 13.919 State Street GBP Government Liquidity Fund State Street GBP Liquidity LVNAV Fund 33.055 36.389 State Street GBP Liquidity LVNAV Fund State Street LDI Leveraged Conventional Gilt 2040 Collateral 0.000* 0.000* State Street GBP Liquidity LVNAV Fund State Street LDI Leveraged Conventional Gilt 2060 Collateral 0.000* 0.000* State Street GBP Liquidity LVNAV Fund State Street LDI Leveraged Conventional Gilt 2068 Collateral 0.000* 0.000* State Street GBP Liquidity LVNAV Fund State Street LDI Leveraged Conventional Gilt 2068 Fund 0.000* 0.003 State Street GBP Liquidity LVNAV Fund SSGA LDI Leveraged Index Linked Gilt 2040 Fund 0.000* 0.004
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Notes to the financial statements for the financial period ended 30 June 2026 (continued)
State Street Liquidity Public Limited Company 53
Page 55
6. Related Party Transactions (continued)
Transactions with Other Related Parties (continued)
Fund Shareholder
% of Fund Holdings 30 June 2026
% of Fund Holdings 31 December 2025 State Street GBP Liquidity LVNAV Fund SSGA LDI Leveraged UK Inflation Rate Swap 2045 Fund 0.030 0.063 State Street GBP Liquidity LVNAV Fund SSGA LDI UK Real Rate Swap 2045 Fund 0.000* 0.000* State Street GBP Liquidity LVNAV Fund State Street Target Leverage Nominal Long LDI Fund Collateral 0.000* 0.000* State Street GBP Liquidity LVNAV Fund State Street Target Leverage Real Long Duration LDI Fund Collateral 0.000* 0.000* State Street USD Liquidity LVNAV Fund State Street Global Advisors Lux SICAV State Street Asia Pac Value Spotlight Fund - 0.000* State Street USD Liquidity LVNAV Fund State Street Global Advisors Lux SICAV State Street Global Value Spotlight Fund - 0.000* State Street USD Liquidity LVNAV Fund State Street Global Advisors Lux SICAV State Street US Value Spotlight Fund - 0.000* State Street USD Liquidity LVNAV Fund State Street IUT Global Ethical Value Equity Fund - 0.000* * 0.000 amounts represent value less than 0.0005.
Transactions with Connected Parties Regulation 46 of the CBI UCITS Regulations “Restrictions on transactions with connected parties” states that “A responsible person shall ensure that any transaction between a UCITS and a connected party is conducted a) at arm’s length; and b) in the best interest of the unitholders of the UCITS”.
As required under UCITS Regulation 84.4, 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 46(1) are applied to all transactions with a connected party that were entered into during the financial period to which the report relates, complied with the obligations that are prescribed by Regulation 46(1).
7. Soft Commission Arrangements and Directed Brokerage
The Company has not entered into any soft commission arrangements and no direct brokerage services were utilised during the financial period ended 30 June 2026 or financial year ended 31 December 2025.
8. Efficient Portfolio Management
The Company may, on behalf of the Funds and subject to the conditions and within the limits laid down by the Central Bank, employ techniques and instruments relating to transferable securities as set out in the Prospectus, including investments in derivative instruments, provided that such techniques and instruments are used for efficient portfolio management purposes or to provide protection against exchange risk or, where disclosed in the Supplements, as part of the Funds’ investment policy.
In particular, the Company may use Repurchase Agreements and Reverse Repurchase Agreements for efficient portfolio management purposes. Efficient portfolio management means investment techniques involving transactions that are entered into for one or more of the following specific aims: the reduction of risk, the reduction of cost, or the generation of additional capital or income for the Fund with an appropriate level of risk, taking into account the risk profile of the Funds. New techniques and instruments may be developed which may be suitable for use by the Company and the Company (subject as aforesaid and to the requirements of the Central Bank) may employ such techniques and instruments.
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Notes to the financial statements for the financial period ended 30 June 2026 (continued)
54 State Street Liquidity Public Limited Company
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8. Efficient Portfolio Management (continued)
Currently, the Funds use Reverse Repurchase Agreements as an efficient portfolio management tool and the realised and unrealised gains or losses arising from these Reverse Repurchase Agreements are included in the Statement of Comprehensive Income in the financial period in which they arise, on an Average Cost basis, if the mark to market value is materially different to the amortised cost. The interest income earned by the Funds on Reverse Repurchase Agreements for the financial period ended 30 June 2026 was GBP 82,754,079 (30 June 2025: GBP 218,982,321). Any transaction costs relating to the Reverse Repurchase Agreements are embedded in the interest rate applied to each contract therefore they are not separately identifiable.
9. Securities Lending
The Funds did not engage in any securities lending activities during the current and prior periods.
10. Contingent Liabilities
There were no contingent liabilities on the Funds as at 30 June 2026 and 30 June 2025.
11. Fair Value Hierarchy
IFRS 13 Financial Instruments Disclosure ( IFRS 13 ) requires the Company to classify fair value measurements using a fair value hierarchy that reflects the significance of the inputs used in making the measurements.
The fair value hierarchy is as follows:
Level 1 - Quoted prices (unadjusted) in active markets for identical assets or liabilities. Level 2 - Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly (as prices) or indirectly (derived from prices). Level 3 - Inputs for the asset or liability that are not based on observable market data (unobservable inputs).
The level in the fair value hierarchy within which the fair value measurement is categorised in its entirety is determined on the basis of the lowest level input that is significant to the fair value measurement in its entirety. For this purpose, the significance of an input is assessed against the fair value measurement in its entirety. If a fair value measurement uses observable inputs that require significant adjustment based on unobservable inputs, that measurement is a Level 3 measurement. 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 constitutes ‘observable’ requires significant judgement by the Investment Manager. The Investment Manager considers observable data to be that market data that is readily available, regularly distributed or updated, reliable and verifiable, not proprietary, and provided by independent sources that are actively involved in the relevant market.
All of the Company’s financial assets and liabilities measured at fair value as at 30 June 2026 were Level 2 (31 December 2025: Level 2), with the exception of Time Deposits and cash which were Level 1 (31 December 2025: Level 1).
Investments whose values are based on quoted market prices in active markets, and therefore classified within Level 1, include active listed equities, exchange traded derivatives and certain non-US sovereign obligations. The Company does not adjust the quoted price for these instruments. The Company does not hold any of these assets as at 30 June 2026 (31 December 2025: Nil).
Financial instruments that trade in markets that are not considered to be active but are valued based on quoted market prices, dealer quotations or alternative pricing sources supported by observable inputs are classified within Level 2. These include, investment-grade corporate bonds and certain non-US sovereign obligations, listed equities, over the counter derivatives and investment funds. As Level 2 investments include positions that are not traded in active markets and/or are subject to transfer restrictions, valuations may be adjusted to reflect illiquidity and/or nontransferability, which are generally based on available market information.
Investments classified within Level 3 have significant unobservable inputs, as they trade infrequently. There were no Level 3 securities held at 30 June 2026 (31 December 2025: Nil).
There were no transfers between levels of the fair value hierarchy for financial assets and financial liabilities which are recorded at fair value for the financial period ended to 30 June 2026 and in the financial year ended 31 December 2025.
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Notes to the financial statements for the financial period ended 30 June 2026 (continued)
State Street Liquidity Public Limited Company 55
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12. Segment Information
IFRS 8 Operating Segments (the “IFRS 8”) requires a “management approach”, under which segment information is presented on the same basis as that used for internal reporting purposes.
The Directors are charged with the overall governance of the Company in accordance with the Prospectus, Articles of Association and Memorandum of Association. The Directors have appointed State Street Global Advisors Europe Limited as the Investment Manager and Distributor. State Street Global Advisors Europe Limited are considered the Chief Operating Decision Maker (the “CODM”) for the purposes of IFRS 8.
For management purposes, the Company is organised into one main operating segment, which invests in equity securities, debt instruments and related derivatives. All of the Company’s activities are interrelated, and each activity is dependent on the others. Accordingly, all significant operating decisions are based upon analysis of the Company as one segment. The financial results from this segment are equivalent to the financial statements of the Company as a whole.
The Company has no assets classified as non-current assets.
The Funds have highly diversified portfolios of investments, and no single investment accounts for a significant portion of the Company’s income.
Products and services All of the Company’s revenues are derived from one product grouping, namely the portfolio securities and derivative instruments invested in by the Funds in order to track the performance of their respective indices.
Geographical areas The Company does not separately monitor revenues from different geographical areas. However, by their nature of tracking indices which represent specific markets in specific regions, each Fund’s revenue may be considered as being attributed to the region stated in its investment objective.
Major customers As the Company is an investment company, its distinct major customers are the institutional investors who make the primary market for the Funds’ shares.
The investments are allocated across seven distinct Funds which each have a separate Schedule of Investments.
13. Interest in Unconsolidated Entities
IFRS 12 defines a structured entity as an entity that has been designed so that voting or similar rights are not the dominant factor in deciding who controls the entity, such as when any voting rights relate to the administrative tasks only and the relevant activities are directed by means of contractual agreements. A structured entity often has some of the following features or attributes:
(1) restricted activities; (2) narrow and well defined objectives; (3) insufficient equity to permit the structured entity to finance its activities without subordinated financial support; and (4) financing in the form of contractually linked instruments that create concentration of credit or other risk.
IFRS 12 states that examples of structured entities include: securitisation vehicles, asset-backed financings and some investment funds.
All of the Funds currently invest in asset backed securities, furthermore, the State Street Liquidity Standard VNAV Fund invests into Funds of the Company. The nature and rationale behind each of these investments are in order to meet each respective Fund’s investment objectives and policies.
Such individual holdings can be viewed in the Schedule of Investments. The Schedule of Investments shows the nominal and fair value amounts of such holdings and the fair value of such assets can also be found on the Statement of Financial Position with the gains and losses recognised in the Statement of Comprehensive Income.
The Company confirms that the carrying value of each of the investments in asset backed securities and investment funds is equivalent to the fair value and there is no potential exposure to the Funds over and above the fair value in the Statement of Financial Position. The Funds have not provided, and would not be required to provide, any financial support in respect of these investments.
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Notes to the financial statements for the financial period ended 30 June 2026 (continued)
56 State Street Liquidity Public Limited Company
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14. Offsetting financial instruments
Financial assets and liabilities are offset and the net amount reported in the Statement of Financial Position where 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 assets and settle the liability simultaneously. Income and expenses are presented on a net basis for gains and losses from financial instruments at fair value through profit or loss and foreign exchange gain and losses.
15. Segregated Liability
The Company has segregated liability between its Funds. As a consequence, the assets of a Fund should not be available to pay the debts of any other Fund of the Company.
16. Prospectus
The Prospectus of the Company was updated effective date 30 September 2025.
17. Seasonal or Cyclical changes
The Funds are not subject to seasonal or cyclical changes.
18. Significant Events During the Financial Period
Mr. Eric Linnane (Irish) was appointed to the Board of Directors effective 2 January 2026.
Mr. Lim Siong Kwong (Benjamin) Lam Thuon Mine (Luxembourgish) was appointed to the Board of Directors as an Independent Non-Executive Director effective 2 January 2026.
The following parties became related parties to the Company effective 2 January 2026: Eric Linnane and Lim Siong Kwong (Benjamin) Lam Thuon Mine.
On 13 May 2026, an addendum to the Prospectus was issued incorporating updates to liquidity management, dealing and redemption provisions. These updates were disclosure and operational enhancements only and did not represent a change to the investment objective, investment strategy or financial position of the Fund.
Middle East Conflict
In February 2026, a geopolitical conflict escalated in the Middle East. The Investment Manager has assessed the potential impact of this event on the Funds and has determined that the Funds have minimal direct exposure to the region. Accordingly, there has been no material effect on the Funds’ operations or financial position to date. The Investment Manager will continue to monitor developments and will reflect any material impacts in future financial statements, if applicable.
There were no other significant events affecting the Company during the financial period end.
19. Subsequent Events Since the Financial Period End
There were no significant events affecting the Company since the financial period end.
20. Approval of the Financial Statements
The financial statements were approved by the Directors on 20 August 2026.
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Notes to the financial statements for the financial period ended 30 June 2026 (continued)
State Street Liquidity Public Limited Company 57
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Holdings Financial assets at fair value through profit or loss
Fair Value USD
% of Net Assets
Asset Backed Commercial Paper – 7.83% (December 2025 – 9.62%) 70,000,000 0.000% Antalis SA 05/08/2026 69,737,986 0.22% 112,750,000 0.000% Antalis SA 13/08/2026 112,232,853 0.36% 100,000,000 0.000% Aquitaine Funding Co. LLC 06/07/2026 99,948,333 0.32% 100,000,000 3.990% Aquitaine Funding Co. LLC 17/12/2026* 100,002,757 0.32% 74,200,000 0.010% Britannia Funding Co. LLC 04/08/2026 73,930,201 0.24% 189,400,000 0.000% Britannia Funding Co. LLC 06/08/2026 188,670,810 0.60% 117,250,000 4.040% Britannia Funding Co. LLC 15/10/2026* 117,279,328 0.37% 208,750,000 3.970% Britannia Funding Co. LLC 10/11/2026* 208,739,500 0.67% 60,000,000 0.000% Chesham Finance Ltd./Chesham Finance LLC 01/07/2026 60,000,000 0.19% 50,000,000 0.000% Concord Minutemen Capital Co. LLC 24/07/2026 49,877,972 0.16% 112,500,000 4.020% Legacy Capital Co. LLC 09/09/2026* 112,500,000 0.36% 112,500,000 4.020% Legacy Capital Co. LLC 10/09/2026* 112,500,000 0.36% 150,000,000 0.010% Liberty Street Funding LLC 13/07/2026 149,807,500 0.48% 50,000,000 0.010% Liberty Street Funding LLC 13/08/2026 49,768,875 0.16% 18,309,000 0.000% Lime Funding LLC 01/07/2026 18,309,000 0.06% 100,000,000 0.000% Lime Funding LLC 02/07/2026 99,989,556 0.32% 51,050,000 0.010% LMA-Americas LLC 01/10/2026 50,533,823 0.16% 70,000,000 0.010% LMA-Americas LLC 02/10/2026 69,284,362 0.22% 92,000,000 0.000% Mackinac Funding Co. LLC 11/12/2026 90,320,199 0.29% 230,000,000 0.000% Reliance Funding Co. LLC 24/07/2026 229,426,916 0.73% 115,000,000 0.000% Reliance Funding Co. LLC 10/09/2026 114,101,850 0.36% 50,000,000 0.000% Reliance Funding Co. LLC 11/12/2026 49,080,235 0.16% 150,000,000 0.000% Verto Capital I Compartment C 01/07/2026 150,000,000 0.48% 75,000,000 0.000% Verto Capital I Compartment C 20/08/2026 74,603,125 0.24% 2,450,645,181 7.83%
Certificate of Deposit – 20.86% (December 2025 – 17.90%) 150,000,000 3.870% Bank of America NA 04/09/2026 150,000,000 0.48% 110,000,000 4.100% Bank of America NA 07/04/2027 109,905,840 0.35% 85,000,000 3.920% Bank of Montreal 13/10/2026* 85,003,038 0.27% 81,500,000 3.870% Bank of Montreal 13/11/2026* 81,511,386 0.26% 82,250,000 3.910% Bank of Nova Scotia 08/02/2027* 82,258,579 0.26% 100,000,000 4.000% Barclays Bank PLC 23/09/2026 100,006,110 0.32% 125,000,000 4.100% Barclays Bank PLC 25/09/2026 125,023,187 0.40% 164,000,000 3.800% Barclays Bank PLC 31/12/2026 163,652,271 0.52% 250,000,000 4.000% BNP Paribas SA 23/12/2026 249,890,525 0.80% 100,000,000 4.000% BNP Paribas SA 31/12/2026 99,952,090 0.32% 100,000,000 3.890% Canadian Imperial Bank of Commerce 04/01/2027* 99,994,810 0.32% 200,000,000 4.110% Canadian Imperial Bank of Commerce 13/04/2027 199,777,260 0.64% 200,000,000 0.000% Credit Agricole Corporate & Investment Bank SA 27/07/2026 199,453,116 0.64% 145,000,000 3.830% Credit Agricole Corporate & Investment Bank SA 31/07/2026 145,000,000 0.46% 160,000,000 4.010% Credit Agricole Corporate & Investment Bank SA 05/11/2026 160,043,568 0.51% 100,000,000 3.750% Credit Industriel et Commercial 16/10/2026 99,930,490 0.32% 172,000,000 4.040% Credit Industriel et Commercial 16/02/2027 171,826,555 0.55% 200,000,000 4.090% Credit Industriel et Commercial 27/04/2027 199,647,320 0.64% 175,000,000 3.920% DNB Bank ASA 04/11/2026 174,960,047 0.56% 125,000,000 4.020% DNB Bank ASA 12/02/2027 124,893,537 0.40% 193,000,000 3.920% Goldman Sachs Bank USA 03/08/2026* 193,009,029 0.62% 175,000,000 3.800% ING Bank NV 27/07/2026 175,000,000 0.56% 150,000,000 3.870% KBC Bank NV 01/09/2026 150,000,000 0.48% 150,000,000 3.800% Mizuho Bank Ltd. 03/08/2026 150,000,000 0.48% 120,000,000 3.820% Mizuho Bank Ltd. 24/08/2026* 120,000,000 0.38% 58,250,000 3.950% MUFG Bank Ltd. 19/10/2026* 58,265,908 0.19%
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Schedule of Investments State Street USD Liquidity LVNAV Fund As at 30 June 2026
58 State Street Liquidity Public Limited Company
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Holdings Financial assets at fair value through profit or loss
Fair Value USD
% of Net Assets
Certificate of Deposit – 20.86% (December 2025 – 17.90%) (continued) 100,000,000 3.970% Nordea Bank Abp 04/01/2027* 100,035,980 0.32% 164,000,000 3.970% Nordea Bank Abp 08/01/2027* 164,059,729 0.52% 100,000,000 3.670% Norinchukin Bank 02/07/2026 100,000,000 0.32% 100,000,000 3.820% Norinchukin Bank 15/07/2026 100,000,000 0.32% 50,000,000 0.000% Norinchukin Bank 10/08/2026 49,785,517 0.16% 100,000,000 3.840% Norinchukin Bank 25/08/2026 100,000,000 0.32% 125,000,000 3.650% Oversea-Chinese Banking Corp. Ltd. 02/07/2026 125,000,000 0.40% 225,000,000 3.860% Oversea-Chinese Banking Corp. Ltd. 02/07/2026* 225,000,000 0.72% 180,000,000 3.870% Oversea-Chinese Banking Corp. Ltd. 28/07/2026 180,000,000 0.57% 100,000,000 3.740% Royal Bank of Canada 06/10/2026 99,945,730 0.32% 150,000,000 4.180% Royal Bank of Canada 03/06/2027 149,793,900 0.48% 119,250,000 3.890% Standard Chartered Bank 15/09/2026* 119,250,582 0.38% 122,000,000 3.820% Sumitomo Mitsui Banking Corp. 31/08/2026* 122,000,000 0.39% 170,000,000 3.930% Sumitomo Mitsui Banking Corp. 08/10/2026* 170,080,937 0.54% 200,000,000 3.930% Sumitomo Mitsui Trust 13/07/2026 200,000,000 0.64% 170,000,000 3.900% Sumitomo Mitsui Trust 10/08/2026 170,000,000 0.54% 150,000,000 0.000% Sumitomo Mitsui Trust Bank Ltd. 17/08/2026 149,247,306 0.48% 111,000,000 3.850% Swedbank AB 01/07/2026 111,000,000 0.35% 109,940,000 3.960% Swedbank AB 22/12/2026* 109,990,638 0.35% 125,000,000 4.000% Toronto-Dominion Bank 26/10/2026 125,008,000 0.40% 125,000,000 3.920% Wells Fargo Bank NA 18/03/2027* 125,007,725 0.40% 67,000,000 3.890% Westpac Banking Corp. 05/02/2027* 67,002,573 0.21% 6,531,213,283 20.86%
Collateralised Commercial Paper – 4.20% (December 2025 – 3.95%) 70,000,000 0.000% Barclays Bank PLC 06/08/2026 69,731,900 0.22% 200,000,000 3.910% Bedford Row Funding Corp. 04/11/2026* 200,076,440 0.64% 250,000,000 0.000% Collateralized Commercial Paper III Co., LLC 05/11/2026 246,520,050 0.78% 212,500,000 3.810% Collateralized Commercial Paper V Co. LLC 09/10/2026 212,369,546 0.68% 175,000,000 4.060% Collateralized Commercial Paper V Co. LLC 10/11/2026 174,965,018 0.56% 100,000,000 3.910% Park Avenue Collateralized Notes Co. LLC 10/11/2026* 100,022,920 0.32% 222,000,000 4.070% Park Avenue Collateralized Notes Co. LLC 13/11/2026 221,935,376 0.71% 90,500,000 3.970% Park Avenue Collateralized Notes Co. LLC 23/11/2026* 90,538,272 0.29% 1,316,159,522 4.20%
Commercial Paper – 28.78% (December 2025 – 30.50%) 200,000,000 0.010% Australia & New Zealand Banking Group Ltd. 14/08/2026 199,083,334 0.64% 125,000,000 3.920% Australia & New Zealand Banking Group Ltd. 17/12/2026* 125,037,400 0.40% 200,000,000 3.890% Australia & New Zealand Banking Group Ltd. 04/02/2027* 200,003,720 0.64% 125,000,000 0.010% Bank of Montreal 23/07/2026 124,712,014 0.40% 56,750,000 0.000% Bank of New York Mellon 02/06/2027 54,554,734 0.17% 152,000,000 4.020% Bank of Nova Scotia 08/04/2027* 152,113,118 0.49% 139,850,000 0.010% Barclays Bank U.K. PLC 02/07/2026 139,835,781 0.45% 100,000,000 3.900% Canadian Imperial Bank of Commerce 07/01/2027* 99,999,960 0.32% 100,000,000 0.000% CDP Financial, Inc. 07/07/2026 99,938,667 0.32% 100,000,000 3.820% Commonwealth Bank of Australia 07/07/2026* 100,000,000 0.32% 100,000,000 3.820% Commonwealth Bank of Australia 09/07/2026* 100,000,000 0.32% 80,000,000 3.810% Commonwealth Bank of Australia 13/07/2026* 80,000,000 0.25% 246,650,000 3.810% Commonwealth Bank of Australia 17/09/2026* 246,687,071 0.79% 100,000,000 0.000% Commonwealth Bank of Australia 04/01/2027* 99,987,880 0.32% 250,000,000 0.000% Commonwealth Bank of Australia 05/01/2027* 250,000,000 0.80% 149,750,000 0.010% DBS Bank Ltd. 07/07/2026 149,655,658 0.48%
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Schedule of Investments State Street USD Liquidity LVNAV Fund (continued) As at 30 June 2026
State Street Liquidity Public Limited Company 59
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Holdings Financial assets at fair value through profit or loss
Fair Value USD
% of Net Assets
Commercial Paper – 28.78% (December 2025 – 30.50%) (continued) 213,000,000 0.010% DNB Bank ASA 02/07/2026 212,976,184 0.68% 190,000,000 0.000% DNB Bank ASA 06/07/2026 189,903,153 0.61% 95,000,000 0.010% DNB Bank ASA 30/07/2026 94,707,664 0.30% 158,000,000 3.970% HSBC Bank PLC 12/08/2026* 158,000,000 0.50% 150,000,000 4.000% HSBC Bank PLC 18/12/2026* 150,066,600 0.48% 150,000,000 3.970% HSBC Bank PLC 10/05/2027* 150,026,205 0.48% 148,750,000 3.960% HSBC Bank PLC 13/05/2027* 148,760,740 0.47% 150,000,000 3.900% ING Bank NV 21/09/2026* 150,027,150 0.48% 250,000,000 0.000% ING Bank NV 13/10/2026 247,108,850 0.79% 100,000,000 0.000% ING Bank NV 01/04/2027 96,841,450 0.31% 200,000,000 0.010% Kreditanstalt fuer Wiederaufbau 22/07/2026 199,574,166 0.64% 150,000,000 0.000% Kreditanstalt fuer Wiederaufbau 06/08/2026 149,443,500 0.48% 81,000,000 0.000% Kreditanstalt fuer Wiederaufbau 17/09/2026 80,335,395 0.26% 170,000,000 0.000% Lloyds Bank PLC 05/08/2026 169,385,166 0.54% 100,000,000 0.010% Lloyds Bank PLC 15/10/2026 98,843,900 0.32% 110,000,000 3.850% Macquarie Bank Ltd. 04/11/2026* 110,006,864 0.35% 75,000,000 0.000% Macquarie Bank Ltd. 24/11/2026 73,748,048 0.24% 100,000,000 3.920% Macquarie Bank Ltd. 24/11/2026* 100,021,950 0.32% 75,000,000 0.010% Macquarie Bank Ltd. 25/01/2027 73,183,343 0.23% 100,000,000 3.820% National Australia Bank Ltd. 07/07/2026* 100,000,214 0.32% 92,000,000 3.870% National Australia Bank Ltd. 17/07/2026* 92,000,000 0.29% 100,000,000 3.870% National Australia Bank Ltd. 21/07/2026* 100,000,000 0.32% 150,000,000 3.870% National Australia Bank Ltd. 22/07/2026* 149,998,953 0.48% 150,000,000 3.820% National Australia Bank Ltd. 14/08/2026* 150,000,000 0.48% 100,000,000 3.810% National Australia Bank Ltd. 20/08/2026* 100,000,000 0.32% 100,000,000 3.810% National Australia Bank Ltd. 18/09/2026* 100,015,010 0.32% 150,000,000 0.000% National Australia Bank Ltd. 06/11/2026 147,919,875 0.47% 100,000,000 3.880% National Australia Bank Ltd. 05/01/2027* 100,002,300 0.32% 150,000,000 0.000% Nederlandse Waterschapsbank NV 07/07/2026 149,908,249 0.48% 100,000,000 0.000% Nordea Bank Abp 11/01/2027 97,834,700 0.31% 67,000,000 3.890% Nordea Bank Abp 04/02/2027* 66,994,734 0.21% 150,000,000 0.000% Oversea-Chinese Banking Corp. Ltd. 13/07/2026 149,806,500 0.48% 135,000,000 0.010% Oversea-Chinese Banking Corp. Ltd. 14/07/2026 134,811,338 0.43% 140,000,000 0.000% Oversea-Chinese Banking Corp. Ltd. 28/08/2026 139,136,122 0.44% 90,000,000 0.010% Royal Bank of Canada 06/10/2026 89,046,297 0.28% 100,000,000 0.000% Royal Bank of Canada 01/02/2027 97,571,200 0.31% 100,000,000 0.010% Skandinaviska Enskilda Banken AB 07/07/2026 99,931,500 0.32% 189,500,000 0.000% Sumitomo Mitsui Trust Bank Ltd. 10/07/2026 189,315,237 0.60% 143,785,000 0.000% Sumitomo Mitsui Trust Bank Ltd. 17/08/2026 143,062,281 0.46% 175,000,000 0.010% Svenska Handelsbanken AB 15/12/2026 171,774,802 0.55% 100,000,000 0.010% Svenska Handelsbanken AB 11/01/2027 97,840,920 0.31% 142,275,000 0.000% Svenska Handelsbanken AB 26/04/2027 137,387,242 0.44% 200,000,000 0.000% Toronto-Dominion Bank 07/07/2026 199,874,000 0.64% 193,500,000 0.010% Toronto-Dominion Bank 03/11/2026 190,831,364 0.61% 58,000,000 0.010% Toyota Motor Credit Corp. 13/10/2026 57,355,475 0.18% 140,000,000 0.010% Toyota Motor Credit Corp. 17/11/2026 137,902,072 0.44% 121,000,000 4.010% UBS AG 11/01/2027 120,902,958 0.39% 145,000,000 4.080% UBS AG 04/03/2027 144,858,219 0.46% 100,000,000 3.860% United Overseas Bank Ltd. 16/11/2026* 100,014,280 0.32% 205,750,000 0.010% Westpac Banking Corp. 31/08/2026 204,470,521 0.65% 117,250,000 3.920% Westpac Banking Corp. 13/10/2026* 117,301,473 0.37% 60,000,000 3.920% Westpac Banking Corp. 14/10/2026* 60,027,618 0.19% 9,012,465,119 28.78%
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Schedule of Investments State Street USD Liquidity LVNAV Fund (continued) As at 30 June 2026
60 State Street Liquidity Public Limited Company
Page 62
Holdings Financial assets at fair value through profit or loss
Fair Value USD
% of Net Assets
Corporate and Bank Note – 2.90% (December 2025 – 3.45%) 150,000,000 3.840% Bank of America NA 18/09/2026* 150,001,728 0.48% 150,000,000 3.980% Bank of America NA 05/02/2027 149,836,683 0.47% 200,000,000 4.020% Bank of America NA 02/07/2027* 200,014,770 0.64% 200,000,000 3.970% Toyota Motor Credit Corp. 09/12/2026* 200,096,468 0.64% 60,000,000 3.920% Toyota Motor Credit Corp. 12/02/2027* 59,994,000 0.19% 150,000,000 3.970% Toyota Motor Credit Corp. 11/06/2027* 149,970,444 0.48% 909,914,093 2.90%
Government Agency – 3.18% (December 2025 – 3.13%) 200,000,000 0.000% Agence Centrale des Organismes de Securite Sociale 02/07/2026 199,979,162 0.64% 200,000,000 0.000% Agence Centrale des Organismes de Securite Sociale 06/07/2026 199,896,290 0.64% 200,000,000 0.000% Agence Centrale des Organismes de Securite Sociale 29/07/2026 199,413,980 0.64% 200,000,000 0.000% Agence Centrale des Organismes de Securite Sociale 01/10/2026 198,017,758 0.63% 200,000,000 0.000% Agence Centrale des Organismes de Securite Sociale 15/10/2026 197,686,600 0.63% 994,993,790 3.18%
Government Bill – 0.87% (December 2025 – 1.56%) 125,000,000 0.010% U.S. Treasury Bills 27/08/2026 124,302,344 0.40% 150,000,000 0.010% U.S. Treasury Bills 08/10/2026 148,466,118 0.47% 272,768,462 0.87%
Time Deposit – 26.47% (December 2025 – 19.02%) 200,000,000 3.630% ABN AMRO Bank NV 01/07/2026 200,000,000 0.64% 200,000,000 3.650% ABN AMRO Bank NV 01/07/2026 200,000,000 0.64% 250,000,000 3.650% ABN AMRO Bank NV 02/07/2026 250,000,000 0.80% 300,000,000 3.650% ABN AMRO Bank NV 06/07/2026 300,000,000 0.96% 662,317,000 3.620% Abu Dhabi Islamic Bank PJSC 01/07/2026 662,317,000 2.11% 625,000,000 3.630% Australia & New Zealand Banking Group Ltd. 01/07/2026 625,000,000 1.99% 100,000,000 3.640% Banco Santander Central Hispano SA 02/07/2026 100,000,000 0.32% 350,000,000 3.630% Bank of Montreal 01/07/2026 350,000,000 1.12% 250,000,000 3.630% Canadian Imperial Bank of Commerce 01/07/2026 250,000,000 0.80% 750,000,000 3.620% Citibank NA 01/07/2026 750,000,000 2.39% 50,000,000 3.630% Credit Agricole Corporate & Investment Bank SA 01/07/2026 50,000,000 0.16% 200,000,000 3.660% Credit Agricole Corporate & Investment Bank SA 01/07/2026 200,000,000 0.64% 200,000,000 3.660% Credit Agricole Corporate & Investment Bank SA 02/07/2026 200,000,000 0.64% 225,000,000 3.650% Credit Agricole Corporate & Investment Bank SA 06/07/2026 225,000,000 0.72% 150,000,000 3.660% ING Bank NV 01/07/2026 150,000,000 0.48% 200,000,000 3.660% ING Bank NV 02/07/2026 200,000,000 0.64% 200,000,000 3.660% ING Bank NV 06/07/2026 200,000,000 0.64% 150,000,000 3.660% ING Bank NV 07/07/2026 150,000,000 0.48% 600,000,000 3.630% KBC Bank NV 01/07/2026 600,000,000 1.91% 349,750,000 3.630% Mizuho Bank Ltd. 01/07/2026 349,750,000 1.11% 25,000,000 3.660% National Bank of Canada 01/07/2026 25,000,000 0.08% 224,750,000 3.660% National Bank of Canada 02/07/2026 224,750,000 0.72% 237,250,000 3.660% National Bank of Canada 07/07/2026 237,250,000 0.76% 125,000,000 3.650% NRW Bank 02/07/2026 125,000,000 0.40% 200,000,000 3.640% NRW Bank 06/07/2026 200,000,000 0.64% 100,000,000 3.650% NRW Bank 07/07/2026 100,000,000 0.32% 689,750,000 3.670% Royal Bank of Canada 01/07/2026 689,750,000 2.20% 250,000,000 3.630% Societe Generale SA 01/07/2026 250,000,000 0.80%
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Schedule of Investments State Street USD Liquidity LVNAV Fund (continued) As at 30 June 2026
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Holdings Financial assets at fair value through profit or loss
Fair Value USD
% of Net Assets
Time Deposit – 26.47% (December 2025 – 19.02%) (continued) 175,000,000 3.660% Toronto-Dominion Bank 02/07/2026 175,000,000 0.56% 250,000,000 3.660% Toronto-Dominion Bank 07/07/2026 250,000,000 0.80% 8,288,817,000 26.47%
Money Market Instruments 29,776,976,450 95.09%
Tri-party Reverse Repurchase Agreement** – 1.60% (31 December 2025 – 7.24%) 150,000,000 3.640% BBVA Tri Party A 01/07/2026 150,000,000 0.48% 200,000,000 3.650% Goldman Sach Tri Party D 01/07/2026 200,000,000 0.64% 150,000,000 3.650% RBC Dominion Securities Tri Party A 01/07/2026 150,000,000 0.48% Tri-party Reverse Repurchase Agreement 500,000,000 1.60%
Total value of financial assets at fair value through profit or loss 30,276,976,450 96.69%
Other Net Assets 1,036,279,124 3.31%
Net Assets attributable to redeemable participating shareholders 31,313,255,574 100.00%
* Floating rate security. ** The Fund held 700,000,000 shares of collateral for these reverse repurchase agreements to the value of USD 714,000,038. Collateral consists of highly-rated securities or other Sovereign debt that meets fund and ESMA guidelines. All collateral is held with Bank of New York Mellon.
All of the above securities are listed on a recognised stock exchange or traded on a regulated market except for the Time Deposits and Reverse Repurchase Agreements.
Analysis of Total Assets
% of Total Assets Other transferable securities of the type referred to in Regulation 68(1)(a), (b) and (c) 64.42% Repurchase agreements 1.50% Time deposits 24.85% Other assets 9.23%
100.00%
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Schedule of Investments State Street USD Liquidity LVNAV Fund (continued) As at 30 June 2026
62 State Street Liquidity Public Limited Company
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Holdings Financial assets at fair value through profit or loss
Fair Value GBP
% of Net Assets
Asset Backed Commercial Paper – 6.02% (December 2025 – 5.44%) 50,000,000 3.916% Anglesea Funding PLC 03/08/2026 49,821,466 0.73% 25,000,000 3.748% LMA SA 02/07/2026 24,997,399 0.37% 25,000,000 3.916% Portdalon SAS 20/07/2026 24,949,333 0.36% 70,000,000 4.014% Portdalon SAS 28/09/2026 69,273,896 1.01% 130,000,000 3.847% Verto Capital Compartment B 03/07/2026 129,972,326 1.89% 20,000,000 3.847% Verto Capital I Compartment 17/07/2026 19,965,914 0.29% 45,000,000 3.995% Verto Capital I Compartment 22/09/2026 44,597,466 0.65% 50,000,000 4.044% Verto Capital I Compartment C 17/09/2026 49,582,505 0.72% 413,160,305 6.02%
Certificate of Deposit – 23.76% (December 2025 – 17.50%) 50,000,000 3.807% ABN AMRO Bank NV 02/07/2026 49,994,776 0.73% 75,000,000 4.004% Banco Santander SA 13/07/2026 74,900,893 1.09% 50,000,000 4.192% Banco Santander SA 20/10/2026 49,400,200 0.72% 50,000,000 4.212% Banco Santander SA 07/01/2027 48,960,550 0.71% 100,000,000 4.182% Bank of America NA 02/11/2026 98,654,850 1.44% 50,000,000 4.064% Bank of Montreal 01/10/2026 49,504,875 0.72% 90,000,000 4.152% Citibank NA 30/07/2026 89,703,133 1.31% 100,000,000 4.103% Citibank NA 07/09/2026 99,235,701 1.45% 35,000,000 3.945% Euroclear Bank SA 20/07/2026 34,927,843 0.51% 140,000,000 4.093% KBC Bank NV 01/10/2026 140,050,386 2.04% 50,000,000 4.133% KBC Bank NV 01/12/2026 50,025,430 0.73% 65,000,000 3.955% Macquarie Bank Ltd. 14/12/2026 63,782,752 0.93% 140,000,000 4.044% Mizuho Bank Ltd. 24/08/2026 139,160,973 2.03% 50,000,000 4.073% MUFG Bank Ltd. 21/09/2026 49,549,415 0.72% 75,000,000 4.192% MUFG Bank Ltd. 11/12/2026 73,621,260 1.07% 65,000,000 3.847% Nordea Bank Abp 01/07/2026 65,000,000 0.95% 100,000,000 3.827% Nordea Bank Abp 01/10/2026 99,016,620 1.44% 90,000,000 4.039% Norinchukin Bank 26/08/2026 89,440,330 1.31% 50,000,000 3.856% Royal Bank of Canada 03/08/2026 49,827,190 0.73% 90,000,000 4.113% Societe Generale SA 01/07/2026 90,000,000 1.31% 125,000,000 3.896% Sumitomo Mitsui Banking Corp. 09/07/2026 124,893,860 1.82% 1,629,651,037 23.76%
Collateralised Commercial Paper – Nil (December 2025 – 1.83%)
Commercial Paper – 29.79% (December 2025 – 25.57%) 100,000,000 3.945% Agence Centrale des Organismes de Securite Sociale 08/09/2026 99,251,383 1.45% 50,000,000 4.073% Credit Agricole Corporate & Investment Bank SA 21/12/2026 49,036,890 0.72% 75,000,000 4.537% Danske Bank AS 17/05/2027 72,279,832 1.05% 85,000,000 3.807% DZ Bank AG Deutsche Zentral-Genossenschaftsbank 10/08/2026 84,647,228 1.23% 65,000,000 4.024% DZ Privatbank AG 21/09/2026 64,428,858 0.94% 40,000,000 3.768% Federation des Caisses Desjardins du Quebec 02/07/2026 39,995,823 0.58% 70,000,000 3.748% Great Bear Funding DAC 08/07/2026 69,949,060 1.02% 150,000,000 3.847% ING Bank NV 20/07/2026 149,701,257 2.18% 82,000,000 3.775% Kingdom of Belgium Government Bonds 07/07/2026 81,948,742 1.19% 100,000,000 3.758% Kingdom of Belgium Government Bonds 13/07/2026 99,875,183 1.46% 88,000,000 3.849% Kreditanstalt fuer Wiederaufbau 17/07/2026 87,850,910 1.28% 65,000,000 3.699% Kreditanstalt fuer Wiederaufbau 31/07/2026 64,803,335 0.95% 50,000,000 3.950% Kreditanstalt fuer Wiederaufbau 19/01/2027 48,907,480 0.71% 60,000,000 3.718% Landwirtschaftliche Rentenbank 14/07/2026 59,919,552 0.87% 25,000,000 4.290% Lloyds Bank PLC 23/12/2026 24,518,273 0.36% 40,000,000 3.827% LMA SA 07/07/2026 39,974,566 0.58%
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Schedule of Investments State Street GBP Liquidity LVNAV Fund As at 30 June 2026
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Holdings Financial assets at fair value through profit or loss
Fair Value GBP
% of Net Assets
Commercial Paper – 29.79% (December 2025 – 25.57%) (continued) 50,000,000 3.768% Mitsubishi Corp. Finance PLC 01/07/2026 50,000,000 0.73% 75,000,000 3.768% Mitsubishi Corp. Finance PLC 06/07/2026 74,960,782 1.09% 50,000,000 0.000% Mitsubishi Corp. Finance PLC 08/07/2026 49,963,493 0.73% 90,000,000 3.827% Nestle Finance International Ltd. 03/07/2026 89,980,969 1.31% 14,000,000 3.787% OMERS Finance Trust 13/07/2026 13,982,383 0.20% 75,000,000 4.202% OP Corporate Bank PLC 10/11/2026 73,941,292 1.08% 30,000,000 3.847% PACCAR Financial PLC 03/07/2026 29,993,609 0.44% 32,000,000 3.748% Republic of Austria Government Bonds 07/07/2026 31,980,137 0.47% 25,000,000 4.093% Royal Bank of Canada 04/01/2027 24,470,988 0.36% 75,000,000 3.886% Royal Bank of Scotland NV 13/07/2026 74,904,711 1.09% 50,000,000 4.162% Royal Bank of Scotland NV 09/11/2026 49,267,940 0.72% 55,000,000 3.738% State of Netherlands 02/07/2026 54,994,301 0.80% 25,000,000 3.743% State of Netherlands 06/07/2026 24,987,032 0.36% 100,000,000 3.856% Swedbank AB 02/07/2026 99,989,491 1.46% 75,000,000 3.797% Swedbank AB 10/08/2026 74,689,522 1.09% 50,000,000 3.827% Toyota Finance Australia Ltd. 09/09/2026 49,635,083 0.72% 40,000,000 4.340% Westpac Banking Corp. 22/03/2027 38,799,776 0.57% 2,043,629,881 29.79%
Corporate and Bank Note – 17.71% (December 2025 – 18.64%) 80,000,000 4.047% Australia & New Zealand Banking Group Ltd. 21/12/2026* 79,991,945 1.16% 25,000,000 4.065% Bank of Montreal 10/07/2026* 25,000,000 0.36% 100,000,000 3.935% Bank of Nova Scotia 13/07/2026* 100,000,000 1.46% 75,000,000 4.041% Canadian Imperial Bank of Commerce 09/06/2027* 74,982,517 1.09% 100,000,000 4.161% DNB Bank ASA 16/07/2026* 100,000,000 1.46% 100,000,000 4.033% HSBC U.K. Bank PLC 25/05/2027* 99,970,630 1.46% 140,000,000 4.146% Lloyds Bank PLC 31/07/2026* 140,000,000 2.04% 85,000,000 4.042% National Australia Bank Ltd. 08/12/2026* 84,997,912 1.24% 100,000,000 4.096% National Bank of Canada 02/09/2026* 100,000,000 1.46% 100,000,000 4.108% Oversea-Chinese Banking Corp. Ltd. 05/02/2027* 100,023,470 1.46% 100,000,000 4.128% Royal Bank of Canada 31/03/2027* 100,021,920 1.46% 100,000,000 4.093% Toyota Motor Finance Netherlands BV 19/01/2027* 100,063,000 1.46% 110,000,000 4.051% Westpac Banking Corp. 10/12/2026* 109,986,204 1.60% 1,215,037,598 17.71%
Government Bill – 0.66% (December 2025 – 1.24%) 250,000 3.738% U.K. Treasury Bills 06/07/2026 249,871 0.00% 10,000,000 3.707% U.K. Treasury Bills 03/08/2026 9,966,648 0.15% 500,000 3.753% U.K. Treasury Bills 24/08/2026 497,233 0.01% 500,000 3.736% U.K. Treasury Bills 01/09/2026 496,840 0.01% 250,000 3.897% U.K. Treasury Bills 14/09/2026 248,059 0.00% 7,000,000 3.748% U.K. Treasury Bills 28/09/2026 6,935,590 0.10% 10,000,000 4.059% U.K. Treasury Bills 16/11/2026 9,855,066 0.15% 10,000,000 3.943% U.K. Treasury Bills 30/11/2026 9,839,398 0.14% 7,000,000 3.896% U.K. Treasury Bills 29/12/2026 6,866,557 0.10% 44,955,262 0.66%
Time Deposit – 16.76% (December 2025 – 12.35%) 250,000,000 3.679% BRED Banque Populaire COBPFA 01/07/2026 250,000,000 3.64% 175,000,000 3.679% Cooperatieve Rabobank UA 01/07/2026 175,000,000 2.55% 100,000,000 3.669% Credit Agricole Corporate & Investment Bank SA 01/07/2026 100,000,000 1.46%
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Schedule of Investments State Street GBP Liquidity LVNAV Fund (continued) As at 30 June 2026
64 State Street Liquidity Public Limited Company
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Holdings Financial assets at fair value through profit or loss
Fair Value GBP
% of Net Assets
Time Deposit – 16.76% (December 2025 – 12.35%) (continued) 125,000,000 3.669% KBC Bank NV 01/07/2026 125,000,000 1.82% 500,000,000 3.718% U.K. Debt Management 01/07/2026 500,000,000 7.29% 1,150,000,000 16.76%
Money Market Instruments 6,496,434,083 94.70%
Collective Investment Schemes – 1.66% (31 December 2025 – 1.79%) 113,904,310 State Street GBP Government Liquidity Fund 113,904,311 1.66% Collective Investment Schemes 113,904,311 1.66%
Bilateral Reverse Repurchase Agreement** – 1.97% (31 December 2025 – 15.92%) 10,000,000 3.847% Bank of Nova Scotia 01/07/2026 10,000,000 0.15% 20,000,000 3.975% Citigroup Global Markets 01/07/2026 20,000,000 0.29% 10,000,000 3.797% Commonwealth Bank of Australia 01/07/2026 10,000,000 0.15% 15,000,000 3.768% Credit Agricole 01/07/2026 15,000,000 0.22% 15,000,000 3.748% HSBC Bank 01/07/2026 15,000,000 0.22% 15,000,000 3.748% ING Bank NV 01/07/2026 15,000,000 0.22% 15,000,000 3.748% JPMorgan Nominees Ltd. 01/07/2026 15,000,000 0.22% 10,000,000 3.797% Merrill Lynch 01/07/2026 10,000,000 0.14% 10,000,000 3.748% National Australia Bank 01/07/2026 10,000,000 0.14% 15,000,000 3.847% Societe Generale 01/07/2026 15,000,000 0.22% Bilateral Reverse Repurchase Agreement 135,000,000 1.97%
Total value of financial assets at fair value through profit or loss 6,745,338,394 98.33%
Other Net Assets 114,289,564 1.67%
Net Assets attributable to redeemable participating shareholders 6,859,627,958 100.00%
* Floating rate security. ** The Fund held 141,342,841 shares of collateral for these reverse repurchase agreements to the value of GBP 113,200,778. Collateral consists of highly-rated securities or other Sovereign debt that meets fund and ESMA guidelines. Collateral was held with State Street Custodial Services Irela nd Limited.
All of the above securities are listed on a recognised stock exchange or traded on a regulated market except for the Time Deposits, Investment Funds and Reverse Repurchase Agreements.
Analysis of Total Assets
% of Total Assets Other transferable securities of the type referred to in Regulation 68(1)(a), (b) and (c) 77.32% Repurchase agreements 1.95% Investment Funds 1.65% Time deposits 16.63% Other assets 2.45%
100.00%
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Schedule of Investments State Street GBP Liquidity LVNAV Fund (continued) As at 30 June 2026
State Street Liquidity Public Limited Company 65
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Holdings Financial assets at fair value through profit or loss
Fair Value EUR
% of Net Assets
Asset Backed Commercial Paper – 11.58% (December 2025 – 10.14%) 100,000,000 2.380% Anglesea Funding PLC 03/08/2026 99,782,523 0.89% 50,000,000 2.150% Barclays Bank PLC 03/08/2026 49,902,512 0.44% 50,000,000 2.150% Barclays Bank PLC 04/09/2026 49,808,024 0.44% 50,000,000 2.190% Barclays Bank PLC 03/12/2026 49,476,300 0.44% 50,000,000 2.540% Collateralized Commercial Paper III Co., LLC 12/11/2026 49,510,845 0.44% 50,000,000 2.550% Collateralized Commercial Paper III Co., LLC 03/12/2026 49,429,235 0.44% 200,000,000 2.230% Halkin Finance PLC 01/07/2026 200,000,000 1.79% 90,766,000 2.220% LMA SA 01/07/2026 90,766,000 0.81% 30,000,000 2.300% Managed & Enhanced Tap (Magenta) Funding ST 07/07/2026 29,988,566 0.27% 50,000,000 2.370% Managed & Enhanced Tap (Magenta) Funding ST 09/07/2026 49,973,839 0.45% 50,000,000 2.350% Portdalon SAS 09/07/2026 49,974,043 0.45% 25,000,000 2.570% Portdalon SAS 16/11/2026 24,752,438 0.22% 30,000,000 2.320% Satellite SAS 17/08/2026 29,909,681 0.27% 50,000,000 2.110% Toyota Motor Finance Netherlands BV 27/07/2026 49,924,500 0.45% 75,000,000 2.310% Verto Capital I Compartment 15/07/2026 74,932,754 0.67% 50,000,000 2.300% Verto Capital I Compartment 21/07/2026 49,936,480 0.45% 55,000,000 2.450% Verto Capital I Compartment 16/09/2026 54,713,593 0.49% 95,000,000 2.500% Verto Capital I Compartment 16/10/2026 94,305,161 0.84% 50,000,000 2.260% Verto Capital I Compartment C 02/07/2026 49,996,862 0.45% 50,000,000 2.350% Verto Capital I Compartment C 28/08/2026 49,811,813 0.44% 50,000,000 2.420% Verto Capital I Compartment C 09/09/2026 49,766,169 0.44% 1,296,661,338 11.58%
Certificate of Deposit – 22.76% (December 2025 – 14.95%) 50,000,000 2.580% Bank of America Europe DAC 16/11/2026 49,537,845 0.44% 75,000,000 2.455% Bank of America NA 02/11/2026 74,381,587 0.66% 50,000,000 2.460% Citibank NA 08/10/2026 49,664,165 0.44% 50,000,000 2.180% Credit Agricole Corporate & Investment Bank SA 06/07/2026 49,985,025 0.45% 50,000,000 2.170% Credit Agricole Corporate & Investment Bank SA 20/07/2026 49,943,358 0.45% 50,000,000 0.010% Credit Agricole Corporate & Investment Bank SA 04/01/2027 49,342,268 0.44% 50,000,000 2.550% Credit Agricole Corporate & Investment Bank SA 04/01/2027 49,340,610 0.44% 50,000,000 2.900% Credit Agricole Corporate & Investment Bank SA 05/05/2027 48,868,590 0.44% 50,000,000 2.330% Goldman Sachs International Bank 21/07/2026 49,935,399 0.45% 50,000,000 2.120% ING Bank NV 13/07/2026 49,965,225 0.45% 50,000,000 2.330% KBC Bank NV 31/08/2026 49,803,992 0.44% 100,000,000 2.570% KBC Bank NV 04/01/2027 98,681,020 0.88% 25,000,000 2.170% Lloyds Bank Corporate Markets PLC 24/09/2026 24,855,988 0.22% 50,000,000 2.400% Mitsubishi UFJ Trust & Banking Corp. 24/08/2026 49,820,753 0.45% 50,000,000 2.400% Mitsubishi UFJ Trust & Banking Corp. 28/09/2026 49,691,500 0.44% 50,000,000 0.000% Mitsubishi UFJ Trust & Banking Corp. 02/10/2026 49,686,369 0.44% 100,000,000 2.320% Mizuho Bank Ltd. 05/08/2026 99,775,328 0.89% 100,000,000 2.400% Mizuho Bank Ltd. 07/08/2026 99,755,323 0.89% 50,000,000 2.393% Mizuho Bank Ltd. 10/08/2026 49,868,161 0.45% 100,000,000 2.320% Mizuho Bank Ltd. 24/08/2026 99,654,737 0.89% 50,000,000 2.260% MUFG Bank Ltd. 15/07/2026 49,956,138 0.45% 50,000,000 2.390% MUFG Bank Ltd. 07/09/2026 49,775,677 0.44% 50,000,000 2.390% MUFG Bank Ltd. 16/09/2026 49,735,840 0.44% 50,000,000 2.460% MUFG Bank Ltd. 05/10/2026 49,666,355 0.44% 50,000,000 2.200% Nordea Bank Abp 06/11/2026 49,564,685 0.44% 20,000,000 2.190% Nordea Bank Abp 11/12/2026 19,771,878 0.18% 25,000,000 2.520% Nordea Bank Abp 04/01/2027 24,667,785 0.22% 50,000,000 2.365% Norinchukin Bank 04/09/2026 49,787,775 0.44% 50,000,000 2.440% Norinchukin Bank 14/09/2026 49,743,135 0.44%
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Schedule of Investments State Street EUR Liquidity LVNAV Fund As at 30 June 2026
66 State Street Liquidity Public Limited Company
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Holdings Financial assets at fair value through profit or loss
Fair Value EUR
% of Net Assets
Certificate of Deposit – 22.76% (December 2025 – 14.95%) (continued) 50,000,000 2.460% Norinchukin Bank 15/09/2026 49,739,495 0.44% 50,000,000 2.450% Norinchukin Bank 17/09/2026 49,732,185 0.44% 50,000,000 2.460% Norinchukin Bank 18/09/2026 49,728,520 0.44% 50,000,000 2.200% Oversea-Chinese Banking Corp. Ltd. 01/07/2026 50,000,000 0.45% 15,000,000 2.080% Royal Bank of Canada 07/08/2026 14,968,596 0.13% 17,000,000 2.150% Royal Bank of Canada 24/09/2026 16,904,266 0.15% 15,000,000 2.150% Royal Bank of Canada 25/09/2026 14,914,469 0.13% 50,000,000 2.570% Royal Bank of Canada 04/01/2027 49,347,155 0.44% 100,000,000 2.140% Santander U.K. PLC 13/07/2026 99,929,426 0.89% 50,000,000 2.440% Skandinaviska Enskilda Banken AB 21/10/2026 50,005,850 0.45% 50,000,000 2.520% Skandinaviska Enskilda Banken AB 04/12/2026 50,005,395 0.45% 50,000,000 2.400% Sumitomo Mitsui Banking Corp. 13/07/2026 49,960,278 0.45% 50,000,000 2.170% Sumitomo Mitsui Banking Corp. 16/07/2026 49,955,279 0.45% 50,000,000 2.250% Sumitomo Mitsui Banking Corp. 20/07/2026 49,940,961 0.45% 100,000,000 2.290% Sumitomo Mitsui Banking Corp. 11/08/2026 99,740,712 0.89% 50,000,000 2.300% Sumitomo Mitsui Trust Bank Ltd. 14/07/2026 49,958,712 0.45% 50,000,000 2.350% Sumitomo Mitsui Trust Bank Ltd. 20/08/2026 49,838,095 0.45% 20,000,000 2.140% Swedbank AB 03/08/2026 19,961,228 0.18% 50,000,000 2.150% Wells Fargo Bank International PLC 06/07/2026 49,985,229 0.45% 50,000,000 2.250% Wells Fargo Bank International PLC 26/02/2027 49,123,120 0.44% 2,548,965,482 22.76%
Commercial Paper – 31.51% (December 2025 – 27.52%) 50,000,000 2.260% Agence Centrale des Organismes de Securite Sociale 10/07/2026 49,971,910 0.45% 51,000,000 2.240% Agence Centrale des Organismes de Securite Sociale 15/07/2026 50,955,664 0.45% 50,000,000 2.300% Agence Centrale des Organismes de Securite Sociale 10/08/2026 49,872,735 0.45% 50,000,000 2.340% Agence Centrale des Organismes de Securite Sociale 01/09/2026 49,799,737 0.44% 36,000,000 2.450% Antalis SA 17/09/2026 35,800,258 0.32% 50,000,000 2.340% Australia & New Zealand Banking Group Ltd. 04/08/2026 49,890,426 0.45% 50,000,000 2.550% Australia & New Zealand Banking Group Ltd. 06/01/2027 49,351,155 0.44% 50,000,000 0.000% Banco Santander SA 04/01/2027 49,336,000 0.44% 25,000,000 2.880% Banco Santander SA 01/04/2027 24,494,120 0.22% 25,000,000 2.840% Banco Santander SA 07/05/2027 24,423,938 0.22% 200,000,000 2.230% Bank of England 02/07/2026 199,987,622 1.79% 25,000,000 2.860% Barclays Bank PLC 21/05/2027 24,420,985 0.22% 50,000,000 0.000% Barclays Bank PLC 01/07/2027 48,628,199 0.43% 25,000,000 2.160% BRED Banque Populaire COBPFA 02/07/2026 24,998,516 0.22% 45,000,000 2.050% BRED Banque Populaire COBPFA 13/07/2026 44,969,874 0.40% 50,000,000 2.900% Danske Bank AS 04/05/2027 48,883,955 0.44% 50,000,000 2.390% DBS Bank Ltd. 18/09/2026 49,744,645 0.44% 25,000,000 2.150% Deutsche Bank AG 02/07/2026 24,998,523 0.22% 50,000,000 2.270% Deutsche Bank AG 10/07/2026 49,971,787 0.45% 50,000,000 2.150% Deutsche Bank AG 20/07/2026 49,943,870 0.45% 50,000,000 2.170% Deutsche Bank AG 24/08/2026 49,839,016 0.44% 50,000,000 2.500% Deutsche Bank AG 25/08/2026 49,810,945 0.44% 50,000,000 2.560% Deutsche Bank AG 17/12/2026 49,412,795 0.44% 50,000,000 2.620% Deutsche Bank AG 04/01/2027 49,344,160 0.44% 50,000,000 2.550% DNB Bank ASA 17/12/2026 49,424,810 0.44% 50,000,000 2.220% DNB Bank ASA 13/01/2027 49,325,500 0.44% 100,000,000 2.280% Kingdom of Belgium Government Bonds 17/08/2026 99,703,460 0.89% 50,000,000 2.320% Kreditanstalt fuer Wiederaufbau 21/09/2026 49,740,280 0.44% 100,000,000 2.223% Landesbank Baden-Wuerttemberg 03/07/2026 99,987,663 0.89% 30,000,000 2.180% Macquarie Bank Ltd. 30/11/2026 29,683,728 0.26%
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Schedule of Investments State Street EUR Liquidity LVNAV Fund (continued) As at 30 June 2026
State Street Liquidity Public Limited Company 67
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Holdings Financial assets at fair value through profit or loss
Fair Value EUR
% of Net Assets
Commercial Paper – 31.51% (December 2025 – 27.52%) (continued) 50,000,000 2.290% Mitsubishi Corp. Finance PLC 02/07/2026 49,996,838 0.45% 50,000,000 2.260% Mitsubishi Corp. Finance PLC 03/07/2026 49,993,725 0.45% 150,000,000 0.010% Mitsubishi Corp. Finance PLC 09/07/2026 149,933,238 1.34% 50,000,000 2.340% Mitsubishi Corp. Finance PLC 02/09/2026 49,796,467 0.44% 25,000,000 2.390% Mitsubishi Corp. Finance PLC 09/09/2026 24,884,525 0.22% 200,000,000 2.240% NRW Bank 01/07/2026 200,000,000 1.79% 50,000,000 2.095% Oesterreichische Kontrollbank AG 30/07/2026 49,916,497 0.45% 100,000,000 0.000% Oesterreichische Kontrollbank AG 03/08/2026 99,788,241 0.89% 50,000,000 2.315% Oesterreichische Kontrollbank AG 04/09/2026 49,792,236 0.44% 46,000,000 2.375% Oesterreichische Kontrollbank AG 23/09/2026 45,744,562 0.41% 20,000,000 0.000% Oesterreichische Kontrollbank AG 01/10/2026 19,877,744 0.18% 39,500,000 2.230% OP Corporate Bank PLC 10/07/2026 39,478,102 0.35% 25,000,000 2.520% OP Corporate Bank PLC 16/11/2026 24,763,418 0.22% 50,000,000 2.245% Procter & Gamble Co. 02/07/2026 49,996,899 0.45% 15,000,000 2.240% Procter & Gamble Co. 16/07/2026 14,986,074 0.13% 55,000,000 0.010% Procter & Gamble Co. 02/10/2026 54,664,029 0.49% 50,000,000 2.120% Royal Bank of Scotland NV 31/07/2026 49,913,520 0.45% 15,000,000 2.320% Skandinaviska Enskilda Banken AB 14/09/2026 14,926,997 0.13% 35,000,000 2.310% Skandinaviska Enskilda Banken AB 21/09/2026 34,813,121 0.31% 12,000,000 2.240% State of Netherlands 31/07/2026 11,977,643 0.11% 150,000,000 2.085% Svenska Handelsbanken AB 30/07/2026 149,753,263 1.34% 30,000,000 2.175% Svenska Handelsbanken AB 21/10/2026 29,771,127 0.27% 25,000,000 2.480% Svenska Handelsbanken AB 02/11/2026 24,787,668 0.22% 50,000,000 2.190% Svenska Handelsbanken AB 19/02/2027 49,163,230 0.44% 50,000,000 2.175% Svenska Handelsbanken AB 24/02/2027 49,143,585 0.44% 50,000,000 2.510% Swedbank AB 01/12/2026 49,474,055 0.44% 100,000,000 0.000% TotalEnergies Capital Canada Ltd. 08/07/2026 99,955,298 0.89% 58,000,000 2.130% Toyota Finance Australia Ltd. 20/07/2026 57,935,489 0.52% 50,000,000 2.390% Toyota Motor Finance Netherlands BV 28/09/2026 49,699,320 0.44% 50,000,000 2.550% UBS AG 04/01/2027 49,340,510 0.44% 50,000,000 2.210% Unilever Finance Netherlands BV 01/07/2026 50,000,000 0.45% 109,000,000 2.340% Unilever Finance Netherlands BV 03/08/2026 108,766,877 0.97% 50,000,000 2.320% Volvo Treasury AB 20/07/2026 49,938,904 0.45% 50,000,000 2.180% Westpac Banking Corp. 01/03/2027 49,123,865 0.44% 3,528,813,343 31.51%
Corporate and Bank Note – 13.83% (December 2025 – 14.64%) 20,000,000 2.474% Australia & New Zealand Banking Group Ltd. 21/05/2027* 20,025,391 0.18% 50,000,000 2.503% Bank of Montreal 06/01/2027* 50,008,170 0.45% 50,000,000 2.551% Bank of Montreal 09/04/2027* 50,021,580 0.45% 50,000,000 2.504% Bank of Nova Scotia 07/01/2027* 50,010,305 0.45% 50,000,000 2.510% Bank of Nova Scotia 19/03/2027* 50,002,540 0.45% 50,000,000 2.537% Bank of Nova Scotia 06/05/2027* 50,012,695 0.45% 50,000,000 2.524% Barclays Bank PLC 26/10/2026* 49,996,555 0.44% 50,000,000 2.546% Barclays Bank PLC 21/05/2027* 50,012,500 0.45% 50,000,000 2.518% BRED Banque Populaire COBPFA 11/03/2027* 50,008,250 0.45% 30,000,000 2.483% Collateralized Commercial Paper III Co. LLC 14/10/2026* 30,002,643 0.27% 100,000,000 2.463% Commonwealth Bank of Australia 17/12/2026* 99,991,248 0.89% 50,000,000 2.472% Cooperatieve Rabobank UA 22/02/2027* 49,998,505 0.44% 50,000,000 2.528% Credit Agricole Corporate & Investment Bank SA 28/04/2027* 49,993,400 0.44% 50,000,000 2.501% DNB Bank ASA 18/12/2026* 50,006,575 0.45% 50,000,000 2.543% HSBC Bank PLC 28/06/2027* 50,000,000 0.45% 100,000,000 2.518% ING Bank NV 01/02/2027* 100,025,100 0.89%
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Schedule of Investments State Street EUR Liquidity LVNAV Fund (continued) As at 30 June 2026
68 State Street Liquidity Public Limited Company
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Holdings Financial assets at fair value through profit or loss
Fair Value EUR
% of Net Assets
Corporate and Bank Note – 13.83% (December 2025 – 14.64%) (continued) 48,000,000 2.505% ING Bank NV 04/06/2027* 47,991,979 0.43% 50,000,000 2.549% Lloyds Bank Corporate Markets PLC 25/03/2027* 50,016,430 0.45% 50,000,000 2.451% MUFG Bank Ltd. 24/11/2026* 49,993,230 0.44% 50,000,000 2.528% National Australia Bank Ltd. 22/12/2026* 50,010,970 0.45% 50,000,000 2.498% Nordea Bank Abp 10/07/2026* 50,000,000 0.45% 75,000,000 2.555% Nordea Bank Abp 14/05/2027* 75,011,617 0.67% 50,000,000 2.472% Oversea-Chinese Banking Corp. Ltd. 26/11/2026* 50,003,570 0.45% 50,000,000 2.514% Oversea-Chinese Banking Corp. Ltd. 25/06/2027* 49,996,365 0.44% 50,000,000 2.497% Royal Bank of Canada 04/12/2026* 50,001,915 0.45% 25,000,000 2.486% Royal Bank of Canada 04/01/2027* 24,997,578 0.22% 50,000,000 2.551% Royal Bank of Canada 07/04/2027* 50,006,350 0.45% 50,000,000 2.497% Royal Bank of Canada 17/05/2027* 49,977,665 0.44% 50,000,000 2.532% Toronto-Dominion Bank 22/06/2027* 49,989,415 0.44% 50,000,000 2.475% UBS AG 22/10/2026* 50,000,840 0.45% 1,548,113,381 13.83%
Government Bill – Nil (December 2025 – 2.18%)
Time Deposit – 12.81% (December 2025 – 12.95%) 75,000,000 2.210% Clearstream Banking SA 15/07/2026 74,935,661 0.67% 100,000,000 2.170% KBC Bank NV 01/07/2026 100,000,000 0.89% 250,000,000 2.180% La Banque Postale SA 01/07/2026 250,000,000 2.23% 400,000,000 2.200% Landeskreditbank Baden-Wuerttemberg Foerderbank 01/07/2026 400,000,000 3.57% 210,000,000 2.170% MUFG Bank Ltd. 01/07/2026 210,000,000 1.88% 400,000,000 2.180% Royal Bank of Scotland NV 01/07/2026 400,000,000 3.57% 1,434,935,661 12.81%
Money Market Instruments 10,357,489,205 92.49%
Collective Investment Schemes – 0.93% (31 December 2025 – 1.22%) 104,618,731 State Street EUR Government Liquidity Fund 104,618,731 0.93% Collective Investment Schemes 104,618,731 0.93%
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Schedule of Investments State Street EUR Liquidity LVNAV Fund (continued) As at 30 June 2026
State Street Liquidity Public Limited Company 69
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Holdings Financial assets at fair value through profit or loss
Fair Value EUR
% of Net Assets
Bilateral Reverse Repurchase Agreement** – 15.49% (31 December 2025 – 24.12%) 99,020,440 2.180% Bank of Montreal 29/06/2027 99,020,440 0.88% 225,000,000 2.200% Bank of Nova Scotia 01/07/2026 225,000,000 2.01% 75,000,000 2.180% Canadian Imperial Bank of Commerce 01/07/2026 75,000,000 0.67% 100,000,000 2.200% Citigroup Global Markets 01/07/2026 100,000,000 0.89% 125,000,000 2.190% Commonwealth Bank of Australia 01/07/2026 125,000,000 1.12% 25,000,000 2.200% HSBC Bank PLC 01/07/2026 25,000,000 0.22% 60,000,000 2.200% ING Bank NV 01/07/2026 60,000,000 0.54% 124,516,886 2.200% Merrill Lynch International 01/07/2026 124,516,886 1.11% 201,902,886 2.190% Mizuho International PLC 17/06/2027 201,902,886 1.81% 25,000,000 2.180% MUFG Bank Ltd. 01/07/2026 25,000,000 0.22% 285,587,976 2.180% National Australia Bank Ltd. 29/06/2027 285,587,976 2.55% 289,565,410 2.190% Royal Bank of Canada 29/06/2027 289,565,410 2.59% 98,576,073 2.150% Societe Generale SA 29/06/2027 98,576,073 0.88% Bilateral Reverse Repurchase Agreement 1,734,169,671 15.49%
Total value of financial assets at fair value through profit or loss 12,196,277,607 108.91%
Other Net Liabilities (997,749,595) (8.91)%
Net Assets attributable to redeemable participating shareholders 11,198,528,012 100.00%
* Floating rate security. ** The Fund held 1,203,129,414 shares of collateral for these reverse repurchase agreements to the value of EUR 1,183,104,516. Collateral consists o f highly-rated securities or other Sovereign debt that meets fund and ESMA guidelines. Collateral was held with State Street Custodial Services Irela nd Limited. All of the above securities are listed on a recognised stock exchange or traded on a regulated market except for the Time Deposits, Investment Funds and Reverse Repurchase Agreements.
Analysis of Total Assets
% of Total Assets Other transferable securities of the type referred to in Regulation 68(1)(a), (b) and (c) 72.02% Repurchase agreements 14.00% Investment Funds 0.85% Time deposits 11.58% Other assets 1.55%
100.00%
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Schedule of Investments State Street EUR Liquidity LVNAV Fund (continued) As at 30 June 2026
70 State Street Liquidity Public Limited Company
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Holdings Financial assets at fair value through profit or loss
Fair Value EUR
% of Net Assets
Asset Backed Commercial Paper – 10.57% (December 2025 – 9.33%) 10,000,000 2.150% Barclays Bank PLC 04/09/2026 9,958,592 0.49% 10,000,000 2.190% Barclays Bank PLC 03/12/2026 9,895,260 0.49% 75,000,000 2.230% Halkin Finance PLC 01/07/2026 74,995,354 3.69% 25,000,000 2.350% Portdalon SAS 09/07/2026 24,985,110 1.23% 20,000,000 2.280% Sunderland Receivables SA 23/07/2026 19,968,950 0.98% 25,000,000 2.310% Verto Capital I Compartment 15/07/2026 24,975,500 1.23% 25,000,000 2.260% Verto Capital I Compartment C 02/07/2026 24,996,675 1.23% 25,000,000 2.260% Verto Capital I Compartment C 03/07/2026 24,995,013 1.23% 214,770,454 10.57%
Certificate of Deposit – 19.44% (December 2025 – 17.75%) 35,000,000 2.550% Credit Agricole Corporate & Investment Bank SA 04/01/2027 34,538,427 1.70% 20,000,000 2.850% Credit Agricole Corporate & Investment Bank SA 21/05/2027 19,522,276 0.96% 25,000,000 2.190% Lloyds Bank Corporate Markets PLC 12/11/2026 24,768,262 1.22% 25,000,000 2.150% Macquarie Bank Ltd. 26/10/2026 24,802,825 1.22% 15,000,000 2.240% Macquarie Bank Ltd. 25/01/2027 14,776,762 0.73% 50,000,000 2.400% Mizuho Bank Ltd. 07/08/2026 49,880,410 2.45% 25,000,000 2.393% Mizuho Bank Ltd. 10/08/2026 24,935,270 1.23% 15,000,000 2.993% MUFG Bank Ltd. 09/03/2027 14,724,119 0.72% 9,500,000 2.190% Nordea Bank Abp 11/12/2026 9,391,642 0.46% 10,000,000 2.080% Royal Bank of Canada 07/08/2026 9,975,676 0.49% 50,000,000 2.150% Royal Bank of Canada 24/09/2026 49,718,430 2.45% 20,000,000 2.600% Royal Bank of Canada 19/03/2027 19,620,642 0.97% 25,000,000 2.140% Santander U.K. PLC 13/07/2026 24,978,982 1.23% 30,000,000 2.290% Sumitomo Mitsui Banking Corp. 06/07/2026 29,988,753 1.48% 10,000,000 2.170% Sumitomo Mitsui Banking Corp. 16/07/2026 9,990,010 0.49% 34,000,000 2.250% Wells Fargo Bank International PLC 26/02/2027 33,403,722 1.64% 395,016,208 19.44%
Commercial Paper – 35.58% (December 2025 – 37.78%) 30,000,000 2.240% Agence Centrale des Organismes de Securite Sociale 17/07/2026 29,969,400 1.47% 25,000,000 2.340% Agence Centrale des Organismes de Securite Sociale 20/08/2026 24,919,775 1.23% 25,000,000 2.520% Agence Centrale des Organismes de Securite Sociale 18/11/2026 24,759,648 1.22% 25,000,000 0.000% Amcor U.K. Finance PLC 03/08/2026 24,940,125 1.23% 10,000,000 2.880% Banco Santander SA 01/04/2027 9,797,648 0.48% 25,000,000 2.840% Banco Santander SA 07/05/2027 24,423,938 1.20% 10,000,000 2.800% Banco Santander SA 14/06/2027 9,739,571 0.48% 10,000,000 2.860% Barclays Bank PLC 21/05/2027 9,768,394 0.48% 25,000,000 2.270% BASF SE 15/07/2026 24,976,272 1.23% 25,000,000 0.000% BRED Banque Populaire COBPFA 01/07/2027 24,321,274 1.20% 20,000,000 0.010% Commerzbank AG 01/07/2027 19,452,236 0.96% 25,000,000 2.190% Danske Bank AS 27/10/2026 24,801,823 1.22% 20,000,000 2.735% Danske Bank AS 28/04/2027 19,563,002 0.96% 25,000,000 2.150% Deutsche Bank AG 02/07/2026 24,996,792 1.23% 10,000,000 2.500% Deutsche Bank AG 25/08/2026 9,964,229 0.49% 25,000,000 2.150% Deutsche Bank AG 23/09/2026 24,861,553 1.22% 10,000,000 2.830% Deutsche Bank AG 03/06/2027 9,751,591 0.48% 15,000,000 2.220% DNB Bank ASA 13/01/2027 14,797,650 0.73% 30,000,000 2.430% Fiserv, Inc. 23/07/2026 29,956,293 1.47% 36,000,000 2.500% Fiserv, Inc. 06/08/2026 35,915,173 1.77% 25,000,000 2.440% Holcim Finance Luxembourg SA 10/08/2026 24,934,510 1.23% 5,000,000 2.590% Honda Bank GmbH 31/08/2026 4,979,846 0.24%
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Schedule of Investments State Street EUR Liquidity Standard VNAV Fund As at 30 June 2026
State Street Liquidity Public Limited Company 71
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Holdings Financial assets at fair value through profit or loss
Fair Value EUR
% of Net Assets
Commercial Paper – 35.58% (December 2025 – 37.78%) (continued) 10,000,000 2.600% Honda Bank GmbH 28/09/2026 9,939,864 0.49% 25,000,000 2.540% ISS Global AS 17/07/2026 24,971,750 1.23% 25,000,000 2.200% Macquarie Bank Ltd. 09/10/2026 24,833,785 1.22% 25,000,000 2.290% Mitsubishi Corp. Finance PLC 02/07/2026 24,996,787 1.23% 25,000,000 0.010% Mitsubishi Corp. Finance PLC 09/07/2026 24,988,873 1.23% 25,000,000 2.400% Realty Income Corp. 01/07/2026 24,998,240 1.23% 37,000,000 0.000% Realty Income Corp. 14/08/2026 36,884,143 1.81% 25,000,000 2.105% Standard Chartered Bank 31/07/2026 24,950,887 1.23% 25,000,000 2.420% Sumitomo Corp. Capital Europe PLC 07/07/2026 24,988,500 1.23% 25,000,000 2.460% Sumitomo Corp. Capital Europe PLC 23/07/2026 24,964,115 1.23% 25,000,000 2.085% Svenska Handelsbanken AB 30/07/2026 24,952,512 1.23% 723,060,199 35.58%
Corporate and Bank Note – 28.24% (December 2025 – 28.47%) 15,000,000 2.543% ABN AMRO Bank NV 21/01/2028* 15,037,802 0.74% 23,224,000 2.719% Amazon.com, Inc. 16/03/2028* 23,250,941 1.15% 25,000,000 2.551% Bank of Montreal 09/04/2027* 25,010,790 1.23% 15,000,000 2.504% Bank of Nova Scotia 07/01/2027* 15,003,092 0.74% 5,000,000 2.594% Banque Federative du Credit Mutuel SA 14/01/2028* 5,002,400 0.25% 10,000,000 2.546% Barclays Bank PLC 21/05/2027* 10,002,500 0.49% 25,000,000 2.787% Barclays Bank PLC 17/06/2028* 25,012,849 1.23% 8,000,000 2.559% BMW Finance NV 15/07/2027* 8,000,184 0.39% 17,000,000 2.755% BMW Finance NV 11/09/2027* 16,998,834 0.84% 6,900,000 2.575% BMW U.S. Capital LLC 29/01/2027* 6,899,136 0.34% 20,000,000 2.483% Collateralized Commercial Paper III Co. LLC 14/10/2026* 20,001,762 0.99% 10,000,000 2.720% Commonwealth Bank of Australia 15/12/2027* 10,027,640 0.49% 10,000,000 2.574% Danske Bank AS 19/05/2028* 10,007,292 0.49% 10,000,000 2.518% ING Bank NV 01/02/2027* 10,002,510 0.49% 50,000,000 2.549% Lloyds Bank Corporate Markets PLC 25/03/2027* 50,016,430 2.46% 10,000,000 2.557% Macquarie Bank Ltd. 22/01/2027* 9,998,558 0.49% 15,000,000 2.451% MUFG Bank Ltd. 24/11/2026* 14,997,969 0.74% 50,000,000 2.558% MUFG Bank Ltd. 19/03/2027* 50,011,965 2.46% 41,500,000 2.515% National Bank of Canada 07/08/2026* 41,500,703 2.04% 35,000,000 2.771% NatWest Markets NV 30/06/2027* 35,056,461 1.73% 37,500,000 2.782% NatWest Markets PLC 14/05/2027* 37,578,938 1.85% 25,000,000 2.555% Nordea Bank Abp 14/05/2027* 25,003,875 1.23% 26,000,000 2.729% Nordea Bank Abp 17/06/2027* 26,033,207 1.28% 10,000,000 2.486% Royal Bank of Canada 04/01/2027* 9,999,030 0.49% 8,600,000 2.556% Standard Chartered Bank 15/10/2026* 8,601,909 0.42% 10,000,000 2.742% Standard Chartered Bank 10/04/2028* 10,001,932 0.49% 10,000,000 2.619% Toyota Finance Australia Ltd. 02/12/2026* 10,003,600 0.49% 10,000,000 2.632% Toyota Finance Australia Ltd. 01/06/2028* 10,005,082 0.49% 9,000,000 2.465% Toyota Motor Finance Netherlands BV 21/08/2026* 9,001,634 0.44% 20,000,000 2.589% Toyota Motor Finance Netherlands BV 20/08/2027* 19,981,800 0.98% 1,000,000 2.752% Wells Fargo & Co. 24/05/2027 989,306 0.05% 5,000,000 2.485% Westpac Banking Corp. 14/01/2028* 5,013,750 0.25% 574,053,881 28.24%
Government Bill – Nil (December 2025 – 1.69%)
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Schedule of Investments State Street EUR Liquidity Standard VNAV Fund (continued) As at 30 June 2026
72 State Street Liquidity Public Limited Company
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Holdings Financial assets at fair value through profit or loss
Fair Value EUR
% of Net Assets
Time Deposit – 2.64% (December 2025 – 0.82%) 53,681,000 2.200% Landeskreditbank Baden-Wuerttemberg Foerderbank 01/07/2026 53,681,000 2.64% 53,681,000 2.64%
Money Market Instruments 1,960,581,742 96.47%
Bilateral Reverse Repurchase Agreement** – 11.07% (31 December 2025 – 7.61%) 25,000,000 2.180% Bank of Montreal 01/07/2026 25,000,000 1.23% 50,000,000 2.200% Citigroup Global Markets 01/07/2026 50,000,000 2.46% 25,000,000 2.190% Commonwealth Bank of Australia 01/07/2026 25,000,000 1.23% 50,000,000 2.200% ING Bank NV 01/07/2026 50,000,000 2.46% 50,000,000 2.200% Merrill Lynch International 01/07/2026 50,000,000 2.46% 25,000,000 2.180% MUFG Bank Ltd. 01/07/2026 25,000,000 1.23% Bilateral Reverse Repurchase Agreement 225,000,000 11.07%
Total value of financial assets at fair value through profit or loss 2,185,581,742 107.54%
Other Net Liabilities (153,328,282) (7.54)%
Net Assets attributable to redeemable participating shareholders 2,032,253,460 100.00%
* Floating rate security. ** The Fund held 232,630,588 shares of collateral for these reverse repurchase agreements to the value of USD 229,559,477. Collateral consists of highly-rated securities or other Sovereign debt that meets fund and ESMA guidelines. All collateral is held with Bank of New York Mellon.
All of the above securities are listed on a recognised stock exchange or traded on a regulated market except for the Time Deposits and Reverse Repurchase Agreements.
Analysis of Total Assets
% of Total Assets Other transferable securities of the type referred to in Regulation 68(1)(a), (b) and (c) 87.16% Repurchase agreements 10.28% Time deposits 2.45% Other assets 0.11%
100.00%
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Schedule of Investments State Street EUR Liquidity Standard VNAV Fund (continued) As at 30 June 2026
State Street Liquidity Public Limited Company 73
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Holdings Financial assets at fair value through profit or loss
Fair Value USD
% of Net Assets
Government Bill – 34.34% (December 2025 – 77.58%) 17,000,000 0.010% U.S. Treasury Bills 27/08/2026 16,905,119 0.38% 48,900,000 0.010% U.S. Treasury Bills 08/10/2026 48,414,287 1.09% 20,050,000 0.000% United States Treasury Bill 02/07/2026 20,048,053 0.45% 45,810,000 0.000% United States Treasury Bill 09/07/2026 45,774,604 1.03% 21,900,000 0.000% United States Treasury Bill 23/07/2026 21,851,686 0.49% 32,322,000 0.625% United States Treasury Bill 31/07/2026 32,242,562 0.72% 9,200,000 1.875% United States Treasury Bill 31/07/2026 9,186,939 0.21% 32,223,000 4.375% United States Treasury Bill 31/07/2026 32,240,656 0.72% 27,400,000 0.000% United States Treasury Bill 06/08/2026 27,303,312 0.61% 25,400,000 0.000% United States Treasury Bill 13/08/2026 25,293,814 0.57% 10,800,000 0.000% United States Treasury Bill 18/08/2026 10,747,800 0.24% 28,700,000 0.000% United States Treasury Bill 20/08/2026 28,560,518 0.64% 17,288,000 0.750% United States Treasury Bill 31/08/2026 17,205,903 0.39% 1,900,000 1.375% United States Treasury Bill 31/08/2026 1,892,834 0.04% 8,160,000 3.750% United States Treasury Bill 31/08/2026 8,161,695 0.18% 27,000,000 0.000% United States Treasury Bill 01/09/2026 26,831,670 0.60% 21,000,000 0.000% United States Treasury Bill 15/09/2026 20,839,735 0.47% 18,200,000 0.000% United States Treasury Bill 24/09/2026 18,044,011 0.40% 40,700,000 0.875% United States Treasury Bill 30/09/2026 40,428,018 0.91% 3,200,000 1.625% United States Treasury Bill 30/09/2026 3,183,165 0.07% 41,200,000 3.500% United States Treasury Bill 30/09/2026 41,172,978 0.92% 86,700,000 0.000% United States Treasury Bill 01/10/2026 85,881,523 1.92% 54,700,000 0.000% United States Treasury Bill 15/10/2026 54,119,130 1.21% 9,490,000 4.625% United States Treasury Bill 15/10/2026 9,514,903 0.21% 44,100,000 0.000% United States Treasury Bill 22/10/2026 43,603,054 0.98% 13,890,000 1.125% United States Treasury Bill 31/10/2026 13,771,892 0.31% 26,850,000 4.125% United States Treasury Bill 31/10/2026 26,888,173 0.60% 78,000,000 0.000% United States Treasury Bill 05/11/2026 77,006,648 1.73% 62,200,000 0.000% United States Treasury Bill 12/11/2026 61,363,673 1.38% 6,330,000 4.625% United States Treasury Bill 15/11/2026 6,354,416 0.14% 64,000,000 0.000% United States Treasury Bill 19/11/2026 63,093,781 1.41% 14,220,000 1.250% United States Treasury Bill 30/11/2026 14,080,185 0.32% 6,970,000 1.625% United States Treasury Bill 30/11/2026 6,912,824 0.16% 65,220,000 4.250% United States Treasury Bill 30/11/2026 65,381,616 1.47% 83,160,000 1.250% United States Treasury Bill 31/12/2026 82,178,414 1.84% 28,340,000 1.750% United States Treasury Bill 31/12/2026 28,080,170 0.63% 28,680,000 4.250% United States Treasury Bill 31/12/2026 28,768,443 0.64% 10,600,000 1.500% United States Treasury Bill 31/01/2027 10,474,101 0.23% 4,000,000 4.125% United States Treasury Bill 31/01/2027 4,012,485 0.09% 25,200,000 4.125% United States Treasury Bill 15/02/2027 25,285,590 0.57% 3,300,000 4.125% United States Treasury Bill 28/02/2027 3,311,688 0.07% 2,900,000 0.625% United States Treasury Bill 31/03/2027 2,832,143 0.06% 43,640,000 2.500% United States Treasury Bill 31/03/2027 43,271,392 0.97% 19,700,000 3.875% United States Treasury Bill 31/03/2027 19,733,320 0.44% 8,300,000 3.750% United States Treasury Bill 30/04/2027 8,299,284 0.19% 181,000,000 3.958% United States Treasury Floating Rate Note 31/07/2026* 181,002,828 4.06% 70,500,000 3.981% United States Treasury Floating Rate Note 31/10/2026* 70,512,392 1.58% 1,532,063,427 34.34%
Money Market Instruments 1,532,063,427 34.34%
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Schedule of Investments State Street USD Treasury Liquidity Fund As at 30 June 2026
74 State Street Liquidity Public Limited Company
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Holdings Financial assets at fair value through profit or loss
Fair Value USD
% of Net Assets
Tri-party Reverse Repurchase Agreement** – 59.39% (31 December 2025 – 14.44%) 175,000,000 3.640% Bank of Montreal Tri Party A 01/07/2026 175,000,000 3.92% 300,000,000 3.640% Bank of Nova Scotia Tri Party A 01/07/2026 300,000,000 6.72% 550,000,000 3.640% BBVA Tri Party A 01/07/2026 550,000,000 12.33% 300,000,000 3.640% BNP Paribas Tri Party A 01/07/2026 300,000,000 6.72% 200,000,000 3.640% Goldman Sachs Tri Party A 01/07/2026 200,000,000 4.48% 200,000,000 3.640% Merrill Lynch Tri Party A 01/07/2026 200,000,000 4.48% 550,000,000 3.640% RBC Dominion Securities Tri Party A 01/07/2026 550,000,000 12.33% 375,000,000 3.640% TD Securities USA Tri Party A 01/07/2026 375,000,000 8.41% Tri-party Reverse Repurchase Agreement 2,650,000,000 59.39%
Total value of financial assets at fair value through profit or loss 4,182,063,427 93.73%
Other Net Assets 279,816,971 6.27%
Net Assets attributable to redeemable participating shareholders 4,461,880,398 100.00%
* Floating rate security. ** The Fund held 2,620,000,000 shares of collateral for these reverse repurchase agreements to the value of USD 2,672,400,230. Collateral consists o f highly-rated securities or other Sovereign debt that meets fund and ESMA guidelines. Collateral was held with Bank of New York Mellon.
All of the above securities are listed on a recognised stock exchange or traded on a regulated market except for the Reverse Repurchase Agreements.
Analysis of Total Assets
% of Total Assets Other transferable securities of the type referred to in Regulation 68(1)(a), (b) and (c) 32.76% Repurchase agreements 56.66% Other assets 10.58%
100.00%
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Schedule of Investments State Street USD Treasury Liquidity Fund (continued) As at 30 June 2026
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Holdings Financial assets at fair value through profit or loss
Fair Value EUR
% of Net Assets
Commercial Paper – 2.76% (December 2025 – 5.39%) 8,000,000 2.240% State of Netherlands 31/07/2026 7,985,095 2.76% 7,985,095 2.76%
Corporate and Bank Note – 2.76% (December 2025 – 2.04%) 3,000,000 2.108% European Union Bills 03/07/2026 2,999,650 1.04% 5,000,000 2.280% European Union Bills 07/08/2026 4,988,321 1.72% 7,987,971 2.76%
Government Bill – 22.71% (December 2025 – 20.70%) 5,000,000 2.285% Austria Treasury Bills 24/09/2026 4,973,178 1.72% 8,000,000 2.095% Finland Treasury Bills 13/11/2026 7,938,062 2.74% 5,000,000 2.092% France Treasury Bills BTF 01/07/2026 5,000,000 1.73% 5,000,000 2.238% France Treasury Bills BTF 08/07/2026 4,997,837 1.73% 5,000,000 2.148% France Treasury Bills BTF 15/07/2026 4,995,839 1.72% 5,000,000 2.157% France Treasury Bills BTF 22/07/2026 4,993,732 1.72% 5,000,000 2.284% France Treasury Bills BTF 05/08/2026 4,988,936 1.72% 5,000,000 2.300% France Treasury Bills BTF 12/08/2026 4,986,637 1.72% 5,000,000 2.327% France Treasury Bills BTF 19/08/2026 4,984,231 1.72% 5,000,000 2.320% France Treasury Bills BTF 26/08/2026 4,982,028 1.72% 5,000,000 2.380% France Treasury Bills BTF 30/09/2026 4,970,111 1.72% 5,000,000 2.206% Kingdom of Belgium Treasury Bills 13/08/2026 4,986,898 1.72% 3,000,000 2.337% Kingdom of Belgium Treasury Bills 10/09/2026 2,986,241 1.03% 65,783,730 22.71%
Money Market Instruments 81,756,796 28.23%
Bilateral Reverse Repurchase Agreement* – 98.88% (31 December 2025 – 86.44%) 40,000,000 2.200% Bank of Nova Scotia 01/07/2026 40,000,000 13.81% 35,000,000 2.180% Canadian Imperial Bank of Commerce 01/07/2026 35,000,000 12.08% 20,000,000 2.200% Citigroup Global Markets 01/07/2026 20,000,000 6.90% 40,000,000 2.190% Commonwealth Bank of Australia 01/07/2026 40,000,000 13.82% 15,000,000 2.200% HSBC Bank PLC 01/07/2026 15,000,000 5.18% 15,000,000 2.200% ING Bank NV 01/07/2026 15,000,000 5.18% 14,738,805 2.200% Merrill Lynch International 01/07/2026 14,738,805 5.09% 14,837,293 2.200% Merrill Lynch International 17/06/2027 14,837,293 5.12% 14,648,964 2.190% Mizuho International PLC 17/06/2027 14,648,964 5.06% 10,000,000 2.180% MUFG Bank Ltd. 01/07/2026 10,000,000 3.45% 28,474,830 2.180% National Australia Bank Ltd. 29/06/2027 28,474,830 9.83% 14,294,622 2.190% Royal Bank of Canada 17/06/2027 14,294,622 4.94% 14,403,042 2.190% Royal Bank of Canada 29/06/2027 14,403,042 4.97% 10,000,000 2.180% Standard Chartered Bank 01/07/2026 10,000,000 3.45% Bilateral Reverse Repurchase Agreement 286,397,556 98.88%
Total value of financial assets at fair value through profit or loss 368,154,352 127.11%
Other Net Liabilities (78,527,624) (27.11)%
Net Assets attributable to redeemable participating shareholders 289,626,728 100.00%
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Schedule of Investments State Street EUR Government Liquidity Fund As at 30 June 2026
76 State Street Liquidity Public Limited Company
Page 78
* The Fund held 186,924,939 shares of collateral for these reverse repurchase agreements to the value of USD 191,323,937. Collateral consists of highly-rated securities or other Sovereign debt that meets fund and ESMA guidelines. All collateral is held with Bank of New York Mellon.
All of the above securities are listed on a recognised stock exchange or traded on a regulated market except for the Reverse Repurchase Agreements.
Analysis of Total Assets
% of Total Assets Other transferable securities of the type referred to in Regulation 68(1)(a), (b) and (c) 21.05% Repurchase agreements 73.73% Other assets 5.22%
100.00%
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Schedule of Investments State Street EUR Government Liquidity Fund (continued) As at 30 June 2026
State Street Liquidity Public Limited Company 77
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Holdings Financial assets at fair value through profit or loss
Fair Value GBP
% of Net Assets
Commercial Paper – 12.40% (December 2025 – 5.19%) 10,000,000 0.010% European Investment Bank 02/11/2026 9,871,758 2.86% 8,000,000 3.775% Kingdom of Belgium Government Bonds 07/07/2026 7,994,999 2.31% 7,000,000 3.849% Kreditanstalt fuer Wiederaufbau 17/07/2026 6,988,141 2.02% 8,000,000 3.748% Republic of Austria Government Bonds 07/07/2026 7,995,034 2.32% 10,000,000 3.743% State of Netherlands 06/07/2026 9,994,813 2.89% 42,844,745 12.40%
Government Bill – 25.64% (December 2025 – 36.45%) 10,000,000 3.738% U.K. Treasury Bills 06/07/2026 9,994,577 2.89% 10,000,000 3.707% U.K. Treasury Bills 03/08/2026 9,966,649 2.89% 6,369,000 3.969% U.K. Treasury Bills 10/08/2026 6,341,328 1.84% 9,000,000 3.753% U.K. Treasury Bills 24/08/2026 8,950,193 2.59% 7,000,000 3.736% U.K. Treasury Bills 01/09/2026 6,955,754 2.01% 20,000,000 3.748% U.K. Treasury Bills 28/09/2026 19,807,153 5.74% 10,000,000 4.059% U.K. Treasury Bills 16/11/2026 9,847,547 2.85% 7,000,000 3.943% U.K. Treasury Bills 30/11/2026 6,885,684 1.99% 10,000,000 3.896% U.K. Treasury Bills 29/12/2026 9,807,927 2.84% 88,556,812 25.64%
Money Market Instruments 131,401,557 38.04%
Bilateral Reverse Repurchase Agreement* – 57.90% (31 December 2025 – 51.94%) 10,000,000 3.748% Banco Santander Central Hispano SA 01/07/2026 10,000,000 2.89% 15,000,000 3.847% Bank of Montreal 01/07/2026 15,000,000 4.34% 10,000,000 3.847% Bank of Nova Scotia 01/07/2026 10,000,000 2.89% 10,000,000 3.748% Canadian Imperial Bank of Commerce 01/07/2026 10,000,000 2.90% 20,000,000 3.975% Citigroup Global Markets 01/07/2026 20,000,000 5.79% 20,000,000 3.797% Commonwealth Bank of Australia 01/07/2026 20,000,000 5.79% 25,000,000 3.768% Credit Agricole 01/07/2026 25,000,000 7.24% 20,000,000 3.748% HSBC Bank 01/07/2026 20,000,000 5.79% 20,000,000 3.748% ING Bank NV 01/07/2026 20,000,000 5.79% 10,000,000 3.748% JPMorgan Nominees Ltd. 01/07/2026 10,000,000 2.90% 10,000,000 3.797% Merrill Lynch International 01/07/2026 10,000,000 2.90% 10,000,000 3.748% RBC Europe Limited 01/07/2026 10,000,000 2.89% 20,000,000 3.847% Societe Generale 01/07/2026 20,000,000 5.79% Bilateral Reverse Repurchase Agreement 200,000,000 57.90%
Total value of financial assets at fair value through profit or loss 331,401,557 95.94%
Other Net Assets 14,034,548 4.06%
Net Assets attributable to redeemable participating shareholders 345,436,105 100.00%
* The Fund held 226,226,331 shares of collateral for these reverse repurchase agreements to the value of USD 171,632,847. Collateral consists of highly-rated securities or other Sovereign debt that meets fund and ESMA guidelines. All collateral is held with Bank of New York Mellon.
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Schedule of Investments State Street GBP Government Liquidity Fund As at 30 June 2026
78 State Street Liquidity Public Limited Company
Page 80
All of the above securities are listed on a recognised stock exchange or traded on a regulated market except for the Reverse Repurchase Agreements.
Analysis of Total Assets
% of Total Assets Other transferable securities of the type referred to in Regulation 68(1)(a), (b) and (c) 36.95% Repurchase agreements 56.24% Other assets 6.81%
100.00%
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Schedule of Investments State Street GBP Government Liquidity Fund (continued) As at 30 June 2026
State Street Liquidity Public Limited Company 79
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Listed below are the largest cumulative investment purchases and sales during the financial period ended 30 June 2026 in excess of 1% of total purchases and in excess of 1% of total sales. At a minimum the largest 20 purchases and 20 sales must be given or all purchases and sales if less than 20.
Largest Purchases Securities 89,566,490,000 3.640% Goldman Sachs Tri Party D 06/02/2026 83,945,000,000 3.630% RBC Dominion Securities Tri Party A 09/02/2026 42,859,000,000 3.630% BBVA Tri Party A 06/02/2026 18,840,875,000 3.620% RBC Dominion Securities Tri Party A 09/02/2026 1,250,000,000 3.620% Abu Dhabi International Bank 24/04/2026 1,199,800,000 3.660% Royal Bank of Canada 26/03/2026 1,002,207,000 3.620% Abu Dhabi International Bank 25/06/2026 1,000,000,000 3.660% BofA Securities Tri Party A 02/02/2026 987,234,000 3.620% Abu Dhabi International Bank 01/05/2026 916,435,000 3.620% Abu Dhabi International Bank 02/04/2026 874,221,000 3.620% Abu Dhabi International Bank 03/03/2026 846,600,000 3.620% Abu Dhabi International Bank 13/04/2026 808,869,000 3.620% Abu Dhabi International Bank 24/03/2026 800,051,000 3.620% Time Deposit 30/01/2026 796,317,000 3.620% Abu Dhabi International Bank 01/04/2026 791,945,000 3.620% Abu Dhabi International Bank 29/06/2026 775,000,000 3.650% JP Morgan Securities Tri Party A 05/03/2026 773,808,000 3.620% Abu Dhabi International Bank 01/06/2026 765,000,000 3.610% Royal Bank of Canada 20/05/2026 764,900,000 3.630% Royal Bank of Canada 26/05/2026
Largest Sales Securities 99,938,833 0.010% Lloyds Bank 21/04/2026
There were no other sales during the financial period.
A copy of the list of changes in the portfolio during the financial period may be obtained free of charge from the Administrator.
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Schedule of Portfolio Changes State Street USD Liquidity LVNAV Fund For the financial period ended 30 June 2026
80 State Street Liquidity Public Limited Company
Page 82
Listed below are the largest cumulative investment purchases and sales during the financial period ended 30 June 2026 in excess of 1% of total purchases and in excess of 1% of total sales. At a minimum the largest 20 purchases and 20 sales must be given or all purchases and sales if less than 20.
Largest Purchases Securities 13,830,000,000 3.760% Credit Agricole SA 09/01/2026 9,405,000,000 3.750% Citigroup Global Markets 12/01/2026 7,725,000,000 3.750% Commonwealth Bank of Australia 07/01/2026 7,685,000,000 3.750% Bank of Nova Scotia 07/01/2026 7,605,000,000 3.750% JPMorgan Nominees Ltd. 09/01/2026 7,565,000,000 3.750% BofA Securities 09/01/2026 7,550,000,000 3.750% National Australia Bank Ltd. 12/01/2026 7,505,000,000 3.750% Royal Bank of Canada 06/01/2026 7,495,000,000 3.750% Canadian Imperial Bank of Commerce 07/01/2026 7,490,000,000 3.750% Bank of Montreal 09/01/2026 5,880,000,000 3.750% Societe Generale SA 09/01/2026 4,135,000,000 3.730% MUFG Securities EMEA PLC 09/01/2026 3,885,000,000 3.770% HSBC Bank 04/03/2026 3,560,000,000 3.750% Mizuho International PLC 23/01/2026 3,051,000,000 3.770% Banco Santander 16/04/2026 2,830,000,000 3.730% Standard Chartered Bank 09/01/2026 2,661,000,000 3.750% ING Bank 13/05/2026 500,000,000 3.770% U.K. Debt Management Office 19/01/2026 500,000,000 3.770% U.K. Debt Management Office 28/01/2026 500,000,000 3.770% U.K. Debt Management Office 09/01/2026
Largest Sales Securities 49,621,625 0.010% ABN AMRO Bank 08/09/2026
There were no other sales during the financial period.
A copy of the list of changes in the portfolio during the financial period may be obtained free of charge from the Administrator.
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Schedule of Portfolio Changes State Street GBP Liquidity LVNAV Fund For the financial period ended 30 June 2026
State Street Liquidity Public Limited Company 81
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Listed below are the largest cumulative investment purchases and sales during the financial period ended 30 June 2026 in excess of 1% of total purchases and in excess of 1% of total sales. At a minimum the largest 20 purchases and 20 sales must be given or all purchases and sales if less than 20.
Largest Purchases Securities 13,960,000,000 1.940% Bank of Nova Scotia 09/01/2026 13,530,000,000 1.950% Citigroup Global Markets 20/02/2026 12,110,000,000 1.940% Commonwealth Bank of Australia 28/04/2026 8,334,783,107 1.950% BofA Securities 18/02/2026 7,195,000,000 1.930% Canadian Imperial Bank of Commerce 09/01/2026 6,500,000,000 1.930% JP Morgan Securities 07/05/2026 6,245,000,000 1.930% MUFG Securities EMEA PLC 27/04/2026 6,100,000,000 2.000% HSBC Bank 27/02/2026 5,070,816,095 1.940% Royal Bank of Canada 05/01/2027 3,321,431,717 1.880% National Australia Bank Ltd. 02/01/2026 3,095,000,000 1.920% Standard Chartered Bank 19/02/2026 2,527,420,785 1.900% Societe Generale SA 05/01/2027 2,101,000,000 1.950% ING Bank 27/05/2026 1,912,783,060 1.930% Bank of Montreal 11/12/2026 1,800,000,000 1.920% Credit Agricole SA 09/01/2026 1,701,819,639 1.940% Mizuho International PLC 09/01/2026 1,002,958,463 1.950% Mizuho International PLC 09/04/2027 600,000,000 1.930% Bank of Montreal 20/02/2026 400,000,000 2.200% Landesbank Baden-Wuerttemberg 01/07/2026 400,000,000 1.930% The Royal Bank of Scotland 25/03/2026
There were no sales during the financial period.
A copy of the list of changes in the portfolio during the financial period may be obtained free of charge from the Administrator.
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Schedule of Portfolio Changes State Street EUR Liquidity LVNAV Fund For the financial period ended 30 June 2026
82 State Street Liquidity Public Limited Company
Page 84
Listed below are the largest cumulative investment purchases and sales during the financial period ended 30 June 2026 in excess of 1% of total purchases and in excess of 1% of total sales. At a minimum the largest 20 purchases and 20 sales must be given or all purchases and sales if less than 20.
Largest Purchases Securities 6,370,000,000 1.950% BofA Securities 18/02/2026 5,905,000,000 1.950% Citigroup Global Markets 20/02/2026 3,755,000,000 1.930% Bank of Montreal 20/02/2026 3,390,000,000 1.930% JP Morgan Securities 07/05/2026 1,521,000,000 1.940% Commonwealth Bank of Australia 28/04/2026 1,275,000,000 1.930% MUFG Securities EMEA PLC 27/04/2026 1,081,000,000 1.950% ING Bank 27/05/2026 785,000,000 1.920% Standard Chartered Bank 19/02/2026 112,709,000 1.950% Landesbank Baden-Wuerttemberg 09/06/2026 87,655,000 1.950% Landesbank Baden-Wuerttemberg 08/06/2026 86,077,000 1.940% Landesbank Baden-Wuerttemberg 05/03/2026 84,074,000 1.940% Landesbank Baden-Wuerttemberg 09/03/2026 79,307,000 1.940% Landesbank Baden-Wuerttemberg 06/03/2026 75,995,820 0.010% Halkin Finance PLC 20/01/2026 74,995,875 0.010% Halkin Finance PLC 21/01/2026 74,995,875 0.010% Halkin Finance PLC 05/02/2026 74,995,875 0.010% Halkin Finance PLC 27/01/2026 74,995,875 0.001% Halkin Finance PLC 13/01/2026 74,995,875 0.010% Halkin Finance PLC 28/01/2026 74,995,875 0.010% Halkin Finance PLC 16/01/2026
Largest Sales Securities 39,921,986 0.010% ABN AMRO Bank 07/04/2026 25,845,573 0.010% ABN AMRO Bank 09/09/2026 25,000,288 2.110% Skandinaviska Enskilda Banken AB 04/06/2026 24,981,687 0.010% Deutsche Bank AG London 10/06/2026 24,977,465 0.010% Mitsubishi Corporation 19/03/2026 24,976,058 0.010% Credit Agricole SA 20/03/2026 24,957,987 0.010% Svenska Handelsbanken 02/04/2026 24,816,660 0.010% Macquarie Bank Ltd. 28/09/2026 9,991,119 0.010% Westpac Banking 19/03/2026 2,994,430 0.010% Bunzl plc 05/02/2026
There were no other sales during the financial period.
A copy of the list of changes in the portfolio during the financial period may be obtained free of charge from the Administrator.
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Schedule of Portfolio Changes State Street EUR Liquidity Standard VNAV Fund For the financial period ended 30 June 2026
State Street Liquidity Public Limited Company 83
Page 85
Listed below are the largest cumulative investment purchases and sales during the financial period ended 30 June 2026 in excess of 1% of total purchases and in excess of 1% of total sales. At a minimum the largest 20 purchases and 20 sales must be given or all purchases and sales if less than 20.
Largest Purchases Securities 34,297,315,000 3.660% TD Securities USA Tri Party A 02/03/2026 33,872,754,000 3.620% RBC Dominion Securities Tri Party A 09/02/2026 31,856,000,000 3.630% BBVA Tri Party A 06/02/2026 30,460,000,000 3.660% Bank of Nova Scotia Tri Party A 02/03/2026 27,600,000,000 3.650% BNP Paribas Tri Party A 27/02/2026 24,145,000,000 3.660% BofA Securities Tri Party A 02/02/2026 20,473,020,000 3.650% Calyon Tri Party A 26/02/2026 19,700,000,000 3.650% Bank of Montreal Tri Patry A 27/02/2026 17,492,030,000 3.660% Goldman Sachs Tri Party A 02/03/2026 85,881,523 0.010% United States Treasury Bill 01/10/2026 76,576,457 0.010% United States Treasury Bill 05/11/2026 70,082,049 1.250% United States Treasury Bill 31/12/2026 62,830,271 0.010% United States Treasury Bill 19/11/2026 61,064,093 0.010% United States Treasury Bill 12/11/2026 53,702,656 0.010% United States Treasury Bill 15/10/2026 48,007,073 0.010% United States Treasury Bill 08/10/2026 46,887,494 4.250% United States Treasury Bill 30/11/2026 45,004,750 0.010% United States Treasury Bill 09/07/2026 43,299,610 0.010% United States Treasury Bill 22/10/2026 43,123,091 2.500% United States Treasury Bill 31/03/2027
Largest Sales Securities 182,969,650 1.000% US Treasury Floating Rate Note 31/01/2026 31,062,172 0.010% United States Treasury Bill 16/06/2026 14,997,587 4.625% United States Treasury Bill 28/02/2026 5,618,463 0.500% United States Treasury Bill 28/02/2026
There were no other sales during the financial period.
A copy of the list of changes in the portfolio during the financial period may be obtained free of charge from the Administrator.
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Schedule of Portfolio Changes State Street USD Treasury Liquidity Fund For the financial period ended 30 June 2026
84 State Street Liquidity Public Limited Company
Page 86
Listed below are the largest cumulative investment purchases and sales during the financial period ended 30 June 2026 in excess of 1% of total purchases and in excess of 1% of total sales. At a minimum the largest 20 purchases and 20 sales must be given or all purchases and sales if less than 20.
Largest Purchases Securities 2,395,000,000 1.940% Bank of Nova Scotia 09/01/2026 2,283,000,000 1.940% Commonwealth Bank of Australia 28/04/2026 2,259,000,000 1.950% Citigroup Global Markets 20/02/2026 2,044,000,000 1.930% Canadian Imperial Bank of Commerce 09/01/2026 1,839,000,000 1.930% JP Morgan Securities 07/05/2026 1,091,000,000 1.920% Standard Chartered Bank 19/02/2026 992,000,000 2.000% HSBC Bank 27/02/2026 754,403,209 1.880% National Australia Bank Ltd. 02/01/2026 570,000,000 1.930% MUFG Securities EMEA PLC 27/04/2026 541,000,000 1.950% ING Bank 27/05/2026 285,964,142 1.950% BofA Securities 18/02/2026 283,425,078 1.940% Royal Bank of Canada 29/04/2027 190,994,662 1.940% Mizuho International PLC 09/01/2026 45,446,724 1.900% Societe Generale SA 05/01/2027 26,000,000 1.950% Banco Santander 23/04/2026 14,403,042 1.940% Royal Bank of Canada 05/01/2027 7,996,913 0.010% Kingdom of the Netherlands 15/06/2026 7,993,099 0.010% Kingdom of the Netherlands 30/06/2026 7,984,599 0.010% Kingdom of the Netherlands 31/07/2026 7,883,923 0.010% Finland Treasury Bill 13/11/2026
There were no sales during the financial period.
A copy of the list of changes in the portfolio during the financial period may be obtained free of charge from the Administrator.
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Schedule of Portfolio Changes State Street EUR Government Liquidity Fund For the financial period ended 30 June 2026
State Street Liquidity Public Limited Company 85
Page 87
Listed below are the largest cumulative investment purchases and sales during the financial period ended 30 June 2026 in excess of 1% of total purchases and in excess of 1% of total sales. At a minimum the largest 20 purchases and 20 sales must be given or all purchases and sales if less than 20.
Largest Purchases Securities 2,873,000,000 3.760% Credit Agricole SA 09/01/2026 2,375,000,000 3.780% Citigroup Global Markets 02/02/2026 2,216,000,000 3.750% Bank of Montreal 09/01/2026 2,191,000,000 3.750% Bank of Nova Scotia 07/01/2026 2,174,000,000 3.750% Canadian Imperial Bank of Commerce 07/01/2026 2,174,000,000 3.750% JPMorgan Nominees Ltd. 09/01/2026 2,058,000,000 3.750% Royal Bank of Canada 06/01/2026 2,024,000,000 3.750% Merrill Lynch 02/02/2026 1,557,000,000 3.750% Societe Generale SA 09/01/2026 1,440,000,000 3.730% Standard Chartered Bank 09/01/2026 809,000,000 3.750% Commonwealth Bank of Australia 07/05/2026 773,000,000 3.750% National Australia Bank Ltd. 12/01/2026 763,000,000 3.770% HSBC Bank 04/03/2026 738,000,000 3.770% Banco Santander 16/04/2026 676,000,000 3.750% ING Bank 13/05/2026 370,000,000 3.750% Mizuho International PLC 23/01/2026 134,000,000 3.750% BofA Securities 09/01/2026 131,000,000 3.750% Citigroup Global Markets 12/01/2026 78,000,000 3.750% Royal Bank of Canada 21/04/2026 19,699,490 0.010% UK Treasury Bill 28/09/2026
There were no sales during the financial period.
A copy of the list of changes in the portfolio during the financial period may be obtained free of charge from the Administrator.
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
Schedule of Portfolio Changes State Street GBP Government Liquidity Fund For the financial period ended 30 June 2026
86 State Street Liquidity Public Limited Company
Page 88
Supplemental Information for Investors in Switzerland
For shares distributed in or from Switzerland, State Street Fondsleitung AG, Beethovenstrasse 19, Postfach, 8027 Zürich, Switzerland is the Representative Agent in Switzerland while State Street Bank GmbH, München, Zweigniederlassung Zürich, Beethovenstrasse 19, 8027 Zürich, Switzerland is the Paying Agent in Switzerland.
The Prospectus, the Key Investor Information Document, the Articles of the Company as well as the annual and semi-annual reports can be obtained free of charge from the representative in Switzerland, State Street Fondsleitung AG, Beethovenstrasse 19, Postfach, 8027 Zürich or on-line at www.ssga.com. A list containing all purchases and sales which have been made during the Reporting Period can be obtained free of charge from the representative in Switzerland.
Total Expense Ratio (‘TER’) The Average Total Expense Ratio table shows the actual expenses incurred by each share class of each Fund during the 6 months ended 30 June 2026, expressed as a percentage of the average (avg.) net asset value (“NAV”) of the Fund for the corresponding period.
State Street USD Liquidity LVNAV Fund Annualised % of avg. NAV Class Management Fee Other Fees Total Fees Institutional Shares 0.12% 0.03% 0.15% Global Securities Lending Shares 0.01% 0.03% 0.04% Institutional Accumulating Shares 0.12% 0.03% 0.15% S2 Shares 0.12% 0.03% 0.15% S3 Shares 0.07% 0.03% 0.10% Z Accumulating Shares 0.00% 0.03% 0.03% Z Shares 0.00% 0.03% 0.03% Premier Shares 0.07% 0.03% 0.10% Select Shares 0.09% 0.03% 0.12% Distributor Shares 0.17% 0.03% 0.20% UOB Shares 0.09% 0.03% 0.12% Investment Shares 0.42% 0.03% 0.45% Premier Accumulating Shares 0.07% 0.03% 0.10% Select Accumulating Shares 0.09% 0.03% 0.12%
State Street GBP Liquidity LVNAV Fund Annualised % of avg. NAV Class Management Fee Other Fees Total Fees Institutional Shares 0.11% 0.04% 0.15% Institutional Accumulating Shares 0.11% 0.04% 0.15% Z Accumulating Shares 0.00% 0.04% 0.04% Z Shares 0.00% 0.04% 0.04% Premier Shares 0.06% 0.04% 0.10% Select Shares 0.08% 0.04% 0.12% Distributor Shares 0.16% 0.04% 0.20% Premier Accumulating Shares 0.06% 0.04% 0.10%
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
State Street Liquidity Public Limited Company 87
Page 89
Supplemental Information for Investors in Switzerland (continued)
Total Expense Ratio (‘TER’) (continued)
State Street EUR Liquidity LVNAV Fund Annualised % of avg. NAV Class Management Fee Other Fees Total Fees Institutional Shares 0.11% 0.04% 0.15% Global Securities Lending Shares 0.00% 0.04% 0.04% Institutional Accumulating Shares 0.11% 0.04% 0.15% S2 Shares 0.12% 0.03% 0.15% Z Accumulating Shares 0.00% 0.04% 0.04% Z Shares 0.00% 0.04% 0.04% Premier Shares 0.06% 0.04% 0.10% Distributor Shares 0.16% 0.04% 0.20% Premier Accumulating Shares 0.07% 0.03% 0.10% Investment Shares 0.42% 0.03% 0.45% Select Shares 0.08% 0.04% 0.12%
State Street EUR Liquidity Standard VNAV Fund Annualised % of avg. NAV Class Management Fee Other Fees Total Fees Z Shares 0.02% 0.03% 0.05% Premier Shares 0.12% 0.03% 0.15%
State Street USD Treasury Liquidity Fund Annualised % of avg. NAV Class Management Fee Other Fees Total Fees Institutional Shares 0.12% 0.03% 0.15% Investment Shares 0.42% 0.03% 0.45% Premier Shares 0.07% 0.03% 0.10% Distributor Shares 0.17% 0.03% 0.20%
State Street EUR Government Liquidity Fund Annualised % of avg. NAV Class Management Fee Other Fees Total Fees Distributor Shares 0.12% 0.08% 0.20% Institutional Shares 0.07% 0.08% 0.15% Investment Shares 0.37% 0.08% 0.45% Premier Shares 0.02% 0.08% 0.10% Z Shares (0.03)% 0.08% 0.05%
State Street GBP Government Liquidity Fund Annualised % of avg. NAV Class Management Fee Other Fees Total Fees Distributor Shares 0.13% 0.07% 0.20% Institutional Shares 0.08% 0.07% 0.15% Investment Shares 0.38% 0.07% 0.45% Premier Shares 0.03% 0.07% 0.10% Z Shares (0.02)% 0.07% 0.05%
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
88 State Street Liquidity Public Limited Company
Page 90
Appendi x I - Securities Financing Transactions Regulations
Article 13 of Regulation (the EU ) 2015/2365 on transparency of securities financing transactions ( SFTs ) and of reuse and amending Regulation (the EU ) No 648/2012, requires UCITS investment companies to provide the following information on the use made of SFTs and total return swaps ( TRSs ).
Below is the market value of assets engaged in securities financing transactions at 30 June 2026.
Fund Name: State Street USD Liquidity LVNAV Fund
Fund Name: State Street GBP Liquidity LVNAV Fund
Fund Name: State Street EUR Liquidity LVNAV Fund Reverse repurchase transactions Value (’000) 200,000 20,000 289,565 % of Net Assets 0.64 0.29 2.59 Counterparty Name Goldman Sachs Citigroup Global Markets Royal Bank of Canada Counterparty country of establishment United States of America United States of America Canada
Value (’000) 150,000 15,000 285,588 % of Net Assets 0.48 0.22 2.55 Counterparty Name BBVA Credit Agricole National Australia Bank Ltd. Counterparty country of establishment Spain France Australia
Value (’000) 150,000 15,000 225,000 % of Net Assets 0.48 0.22 2.01 Counterparty Name RBC Dominion Securities Inc. HSBC Bank PLC Bank of Nova Scotia Counterparty country of establishment Canada United Kingdom Canada
Value (’000) 15,000 201,903 % of Net Assets 0.22 1.81 Counterparty Name ING Bank NV Mizuho International PLC Counterparty country of establishment Netherlands United Kingdom
Value (’000) 15,000 125,000 % of Net Assets 0.22 1.12
Counterparty Name JPMorgan Securities LLC Commonwealth Bank of Australia Counterparty country of establishment United States of America Australia
Value (’000) 15,000 124,517 % of Net Assets 0.22 1.11 Counterparty Name Societe Generale Merrill Lynch Counterparty country of establishment France United States of America
Value (’000) 10,000 100,000 % of Net Assets 0.15 0.89 Counterparty Name Bank of Nova Scotia Citigroup Global Markets Counterparty country of establishment Canada United States of America
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
State Street Liquidity Public Limited Company 89
Page 91
Appendi x I - Securities Financing Transactions Regulations (continued)
Fund Name: State Street USD Liquidity LVNAV Fund
Fund Name: State Street GBP Liquidity LVNAV Fund
Fund Name: State Street EUR Liquidity LVNAV Fund Reverse repurchase transactions (cont/d)
Value (’000) 10,000 99,020 % of Net Assets 0.15 0.88
Counterparty Name Commonwealth Bank of Australia Bank of Montreal
Counterparty country of establishment Australia Canada
Value (’000) 10,000 98,576 % of Net Assets 0.14 0.88 Counterparty Name Merrill Lynch Societe Generale Counterparty country of establishment United States of America France
Value (’000) 10,000 75,000 % of Net Assets 0.14 0.67
Counterparty Name National Australia Bank Ltd. Canadian Imperial Bank of Commerce Counterparty country of establishment Australia Canada
Value (’000) 60,000 % of Net Assets 0.54 Counterparty Name ING Bank NV Counterparty country of establishment Netherlands
Value (’000) 25,000 % of Net Assets 0.22 Counterparty Name HSBC Bank PLC Counterparty country of establishment United Kingdom
Value (’000) 25,000 % of Net Assets 0.22 Counterparty Name MUFG Bank Ltd. Counterparty country of establishment Japan
Type and Quality of Collateral
Type and Quality of Collateral
Type and Quality of Collateral Settlement/clearing for each type of SFT & TRS
Tri-Party Bilateral Bilateral
Collateral Type Bonds Bonds Bonds Collateral Rating Investment Grade Investment Grade Investment Grade
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
90 State Street Liquidity Public Limited Company
Page 92
Appendi x I - Securities Financing Transactions Regulations (continued)
Fund Name: State Street USD Liquidity LVNAV Fund
Fund Name: State Street GBP Liquidity LVNAV Fund
Fund Name: State Street EUR Liquidity LVNAV Fund Reverse repurchase transactions (cont/d)
Maturity tenor of the Collateral USD(’000)
Maturity tenor of the Collateral GBP(’000)
Maturity tenor of the Collateral EUR(’000) Less than 1 day --1 day to 1 week --1 week to 1 month --1 to 3 months --3 months to 1 year --Greater than 1 year 714,000 113,201 1,183,104 Open Maturity ---
Largest Collateral Issuers
Largest Collateral Issuers
Largest Collateral Issuers
1. Collateral Issuer United States (Government of) United Kingdom (Government of) France (Government of)
Volume of collateral received (’000) 714,000 113,201 574,502
2. Collateral Issuer Italy (Government of) Volume of collateral received (’000) 348,215
3. Collateral Issuer European Union Volume of collateral received (’000) 165,462
4. Collateral Issuer Kingdom of Belgium (Government of) Volume of collateral received (’000) 51,011
5. Collateral Issuer KfW Volume of collateral received (’000) 43,914
Fund Name: State Street EUR Liquidity Standard VNAV Fund
Fund Name: State Street USD Treasury Liquidity Fund
Fund Name: State Street EUR Government Liquidity Fund
Reverse repurchase transactions Value (’000) 50,000 550,000 40,000 % of Net Assets 2.46 12.33 13.81 Counterparty Name Citigroup Global Markets BBVA Bank of Nova Scotia Counterparty country of establishment United States of America Spain Canada
Value (’000) 50,000 550,000 40,000 % of Net Assets 2.46 12.33 13.82
Counterparty Name ING Bank NV RBC Dominion Securities Inc. Commonwealth Bank of Australia Counterparty country of establishment Netherlands Canada Australia
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
State Street Liquidity Public Limited Company 91
Page 93
Appendi x I - Securities Financing Transactions Regulations (continued)
Fund Name: State Street EUR Liquidity Standard VNAV Fund
Fund Name: State Street USD Treasury Liquidity Fund
Fund Name: State Street EUR Government Liquidity Fund
Reverse repurchase transactions (cont/d) Value (’000) 50,000 375,000 35,000 % of Net Assets 2.46 8.41 12.08
Counterparty Name Merrill Lynch TD Securities USA Canadian Imperial Bank of Commerce Counterparty country of establishment United States of America United States of America Canada
Value (’000) 25,000 300,000 29,576 % of Net Assets 1.23 6.72 10.21 Counterparty Name Bank of Montreal Bank of Nova Scotia Merrill Lynch Counterparty country of establishment Canada Canada United States of America
Value (’000) 25,000 300,000 28,698 % of Net Assets 1.23 6.72 9.91
Counterparty Name Commonwealth Bank of Australia BNP Paribas Royal Bank of Canada
Counterparty country of establishment Australia France Canada
Value (’000) 25,000 200,000 28,475 % of Net Assets 1.23 4.48 9.83 Counterparty Name MUFG Bank Ltd. Goldman Sachs National Australia Bank Ltd. Counterparty country of establishment Japan United States of America Australia
Value (’000) 200,000 20,000 % of Net Assets 4.48 6.90 Counterparty Name Merrill Lynch Citigroup Global Markets Counterparty country of establishment United States of America United States of America
Value (’000) 175,000 15,000 % of Net Assets 3.92 5.18 Counterparty Name Bank of Montreal HSBC Bank PLC Counterparty country of establishment Canada United Kingdom
Value (’000) 15,000 % of Net Assets 5.18 Counterparty Name ING Bank NV Counterparty country of establishment Netherlands
Value (’000) 14,649 % of Net Assets 5.06 Counterparty Name Mizuho International PLC Counterparty country of establishment United Kingdom
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
92 State Street Liquidity Public Limited Company
Page 94
Appendi x I - Securities Financing Transactions Regulations (continued)
Fund Name: State Street EUR Liquidity Standard VNAV Fund
Fund Name: State Street USD Treasury Liquidity Fund
Fund Name: State Street EUR Government Liquidity Fund
Reverse repurchase transactions (cont/d) Value (’000) 10,000 % of Net Assets 3.45 Counterparty Name MUFG Bank Ltd. Counterparty country of establishment Japan
Value (’000) 10,000 % of Net Assets 3.45 Counterparty Name Standard Chartered Bank Counterparty country of establishment United Kingdom
Type and Quality of Collateral
Type and Quality of Collateral
Type and Quality of Collateral Settlement/clearing for each type of SFT & TRS
Bilateral Tri-Party Bilateral
Collateral Type Bonds Bonds Bonds Collateral Rating Investment Grade Investment Grade Investment Grade
Maturity tenor of the Collateral EUR(’000)
Maturity tenor of the Collateral USD(’000)
Maturity tenor of the Collateral EUR(’000) Less than 1 day - 1,356,004 1 day to 1 week --1 week to 1 month --1 to 3 months - 269,335 3 months to 1 year - 398 Greater than 1 year 229,559 1,046,663 191,323 Open Maturity ---
Largest Collateral Issuers
Largest Collateral Issuers
Largest Collateral Issuers
1. Collateral Issuer French Republic (Government of) United States (Government of) France (Government of)
Volume of collateral received (’000) 76,192 2,672,400 79,583
2. Collateral Issuer Kingdom of Spain (Government of) Italy (Government of)
Volume of collateral received (’000) 51,991 76,275
3. Collateral Issuer Italy (Government of) Kingdom of Belgium (Government of) Volume of collateral received (’000) 50,708 20,404
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
State Street Liquidity Public Limited Company 93
Page 95
Appendi x I - Securities Financing Transactions Regulations (continued)
Fund Name: State Street EUR Liquidity Standard VNAV Fund
Fund Name: State Street USD Treasury Liquidity Fund
Fund Name: State Street EUR Government Liquidity Fund
Reverse repurchase transactions (cont/d)
4. Collateral Issuer Kingdom of Belgium (Government of) European Union
Volume of collateral received (’000) 25,503 15,061
5. Collateral Issuer IBRD Volume of collateral received (’000) 25,165
Fund Name: State Street GBP Government Liquidity Fund Reverse repurchase
transactions Value (’000) 25,000 % of Net Assets 7.24 Counterparty Name Credit Agricole Counterparty country of establishment France
Value (’000) 20,000 % of Net Assets 5.79 Counterparty Name Citigroup Global Markets Counterparty country of establishment United States of America
Value (’000) 20,000 % of Net Assets 5.79
Counterparty Name Commonwealth Bank of Australia Counterparty country of establishment Australia
Value (’000) 20,000 % of Net Assets 5.79 Counterparty Name HSBC Bank PLC Counterparty country of establishment United Kingdom
Value (’000) 20,000 % of Net Assets 5.79 Counterparty Name ING Bank NV Counterparty country of establishment Netherlands
Value (’000) 20,000 % of Net Assets 5.79 Counterparty Name Societe Generale Counterparty country of establishment France
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
94 State Street Liquidity Public Limited Company
Page 96
Appendi x I - Securities Financing Transactions Regulations (continued)
Fund Name: State Street GBP Government Liquidity Fund Reverse repurchase
transactions (cont/d) Value (’000) 15,000 % of Net Assets 4.34 Counterparty Name Bank of Montreal Counterparty country of establishment Canada
Value (’000) 10,000 % of Net Assets 2.89
Counterparty Name Banco Santander Central Hispano SA Counterparty country of establishment Spain
Value (’000) 10,000 % of Net Assets 2.89 Counterparty Name Bank of Nova Scotia Counterparty country of establishment Canada
Value (’000) 10,000 % of Net Assets 2.90
Counterparty Name Canadian Imperial Bank of Commerce Counterparty country of establishment Canada
Value (’000) 10,000 % of Net Assets 2.90 Counterparty Name JPMorgan Securities LLC Counterparty country of establishment United States of America
Value (’000) 10,000 % of Net Assets 2.90 Counterparty Name Merrill Lynch Counterparty country of establishment United States of America
Value (’000) 10,000 % of Net Assets 2.89 Counterparty Name RBC Europe Limited Counterparty country of establishment Canada
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
State Street Liquidity Public Limited Company 95
Page 97
Appendi x I - Securities Financing Transactions Regulations (continued)
Fund Name: State Street GBP Government Liquidity Fund Reverse repurchase
transactions (cont/d)
Type and Quality of Collateral Settlement/clearing for each type of SFT & TRS
Bilateral
Collateral Type Bonds Collateral Rating Investment Grade
Maturity tenor of the Collateral GBP(’000) Less than 1 day 1 day to 1 week 1 week to 1 month 1 to 3 months 3 months to 1 year Greater than 1 year 171,633 Open Maturity -
Largest Collateral Issuers
1. Collateral Issuer United Kingdom (Government of) Volume of collateral received (’000) 171,633
The depositary of the collateral for State Street USD Treasury Liquidity Fund and State Street USD Liquidity LVNAV Fund is Bank of New York Mellon. At 30 June 2026, the Funds received USD 714,000,038 and USD 2,672,400,230, respectively, from Bank of New York Mellon as collateral in relation to the reverse repurchase agreements. The depositary of the collateral for State Street EUR Liquidity LVNAV Fund ,State Street GBP Liquidity LVNAV Fund, State Street GBP Government Liquidity Fund and State Street EUR Government Liquidity Fund is State Street Custodial Services (Ireland) Limited and at 30 June 2026, the State Street GBP Liquidity LVNAV Fund received GBP 113,200,778, the State Street EUR Liquidity LVNAV Fund received EUR 1,183,104,516, the State Street EUR Liquidity Standard VNAV Fund received EUR 229,559,477, the State Street EUR Government Liquidity Fund received EUR 191,323,937, and the State Street GBP Government Liquidity Fund received GBP 171,632,847 as collateral in relation to the reverse repurchase agreements.
The net returns to the State Street EUR Government Liquidity Fund, State Street EUR Liquidity LVNAV Fund, State Street EUR Liquidity Standard VNAV Fund,State Street GBP Government Liquidity Fund, State Street GBP Liquidity LVNAV Fund, State Street USD Liquidity LVNAV Fundand State Street USD Treasury Liquidity Fund from reverse repurchase agreements for the financial period ended 30 June 2026 amounted to EUR 1,552,084, EUR 13,183,214, EUR 1,645,465, GBP 3,526,885, GBP 14,829,500, USD 35,489,635, USD 32,005,292, respectively. The costs relating to the reverse repurchase agreements are not separately identifiable as they are embedded in the purchase/sale price of the transactions.
State Street Liquidity Public Limited Company Interim Report and Condensed Unaudited Financial Statements for the financial period ended 30 June 2026
96 State Street Liquidity Public Limited Company
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"text": "*As of 30 June 2026, these Funds had not commenced operations."
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"text": "The Company may issue one or more classes of redeemable participating shares in respect of each Fund and, where more"
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