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State Street AUT Japan Screened
Index Equity Fund
Interim Report and Unaudited Financial Statements
For the period ended 30th June 2026
Page 2
Contents Page
Manager's Report* 1
Portfolio Statement* 4
Directors' Report to Unitholders* 21
Comparative Table* 22
Financial statements: 23
Statement of Total Return 23
Statement of Change in Net Assets Attributable to Unitholders 23
Balance Sheet 24
Notes to the Financial Statements 25
Directory* 27
* These collectively comprise the Manager’s Report.
State Street AUT Japan Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Page 3
Authorised Status The State Street AUT Japan Screened Index Equity Fund (the “Fund”) is an Authorised Unit Trust Scheme as defined in section 243 of the Financial Services and Markets Act 2000 and it is a UCITS Retail Scheme within the meaning of the FCA Collective Investment Schemes sourcebook. The unitholders are not liable for the debts of the Fund.
Investment Objective and Policy The objective of the Fund is to replicate, as closely as possible and on a “gross of fees” basis, the return of the Japan equity market as represented by the FTSE Japan ex Controversies ex CW ex Tobacco ex Thermal Coal (10%) Index, net of withholding taxes (or its recognised replacement or equivalent).
The Fund is passively managed, meaning that the objective of the Fund is to achieve an investment return that is as close as possible, and on a “gross of fees” basis, to the return of the Index applicable to the Fund. The Investment Adviser seeks to achieve the objective of the Fund by using a replication strategy. This strategy seeks to hold all of the securities of the particular Index, with the approximate weightings as in that Index. The Fund may also invest in transferable securities, money market instruments, warrants, units in collective investment schemes, deposits and derivatives. The Fund may invest in collective investment schemes managed or operated by companies in the same group as the Manager or the Investment Adviser.
The Fund will seek to track the performance of the Index whilst seeking to minimise as far as possible the tracking error between the Fund’s performance and that of the Index.
The Indices include negative screens that exclude securities from the Indices based on four criteria:
1. Controversial weapons (including chemical & biological weapons, cluster munitions, antipersonnel landmines),
2. Controversies as defined by the ten principles of the UN Global Compact:
Human Rights
a) Principle 1: Businesses should support and respect the protection of internationally proclaimed human rights; and
b) Principle 2: make sure that they are not complicit in human rights abuses.
Labour
c) Principle 3: Businesses should uphold the freedom of association and the effective recognition of the right to collective bargaining;
d) Principle 4: the elimination of all forms of forced and compulsory labour;
e) Principle 5: the effective abolition of child labour; and
f) Principle 6: the elimination of discrimination in respect of employment and occupation.
Environment
g) Principle 7: Businesses should support a precautionary approach to environmental challenges;
h) Principle 8: undertake initiatives to promote greater environmental responsibility; and
i) Principle 9: encourage the development and diffusion of environmentally friendly technologies.
AntiCorruption
j) Principle 10: Businesses should work against corruption in all its forms, including extortion and bribery.
3. Tobacco (companies engaged in the production of tobacco and/or tobacco products),
4. Thermal Coal (companies with revenues greater than or equal to 10% from extraction or power generation of thermal coal).
These negative screens will therefore apply when the Fund invests in shares of companies included in the Index (but not in respect of other investments held by the Fund from time to time).
State Street AUT Japan Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Manager’s Report
For the period ended 30th June 2026
1
Page 4
Performance The Fund returned 17.55% (17.50% net of fees) for the 6-month period ended 30 June 2026 (the “Reporting Period”), compared to the Index return of 17.06%. The size of the Fund’s tracking difference for the Reporting Period was 0.49%; the outperformance versus the Index was largely attributable to tax withholding effect.
Note: Performance returns presented above are in GBP.
Risk and Reward Profile Lower risk
Potentially lower reward
Higher risk
Potentially higher reward
1234 67 5 5
Risk Disclaimer The risk category above is not a measure of capital loss or gains but of how significant the rises and falls in the Fund’s return have been historically.
For example a fund whose return has experienced significant rises and falls will be in a higher risk category, whereas a fund whose return has experienced less significant rises and falls will be in a lower risk category.
The lowest category (i.e. category 1) does not mean that a fund is a risk free investment.
As the Fund's risk category has been calculated using historical data, it may not be a reliable indication of the Fund's future risk profile.
The Fund’s risk category shown is not guaranteed and may change in the future.
Why is this Fund in this category? The Fund is in risk category 5 as its return has experienced medium rises and falls historically.
The following are material risks relevant to the Fund which are not adequately captured by the risk category.
Concentration Risk: When the Fund focuses its investments in a particular way, the issues affecting the investments will have a greater effect than if the Fund was more diversified. This concentration may also limit the Fund's liquidity.
Counterparty Risk: The Fund will be subject to credit risk with respect to the counterparties with which it enters into derivatives contracts and other transactions. There is a risk that these institutions may not be able to perform their obligations. This could reduce the value of the Fund's investments.
Index Tracking Risk: The Fund's performance may not exactly track the Index. This can result from market fluctuations,changes in the composition of the Index, transaction costs, the costs of making changes to the Fund's portfolio and other Fund expenses.
Liquidity Risk: It may be difficult for the Fund to buy or sell certain investments in difficult market conditions. Consequently the price obtained when selling securities may be lower than under normal market conditions.
Screening Risk: The Fund may track an index that uses a screen to identify securities based on criteria including, but, not limited to environmental, social and governance (ESG) criteria. The screen may be fully or partially designed by the Manager or by a third party provider. There is a risk that errors are made in the screening process. There is an additional risk that a screen provider may amend or discontinue its screening services and/or that the Manager may change the screen or screen provider. In such circumstances, there is no guarantee that a replacement screen provided would result in a similar screening process or would be available.
Please refer to the Prospectus for full details about the risks associated with this Fund.
State Street AUT Japan Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Manager's Report (continued)
For the period ended 30th June 2026
2
Page 5
Derivatives Usage Derivatives are used in the Fund for efficient portfolio management purposes. The Fund invests in index futures to manage client inflows and outflows and to hedge accrued income. At all times the futures exposure is covered entirely by cash or cash equivalents.
As at 30th June 2026, the Fund had a total notional exposure to futures of £408,258.62 (1.59% of the Fund).
Tracking Error The Tracking Error measures the standard deviation of the relative returns. It is the annualised standard deviation of the returns of a fund minus those of its benchmark (relative returns) and not the standard deviation of each fund’s unique returns. The lower the tracking error of a fund, the more the fund resembles its benchmark or the market regarding risk and return characteristics.
The size of the Fund’s tracking error for the one year ended 30th June 2026 was 0.19% which was within the targeted tolerance.
State Street AUT Japan Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Manager's Report (continued)
For the period ended 30th June 2026
3
Page 6
Holdings
Market Value £'000
% of Total Net Assets
Automobiles & Parts – 6.51% (31.12.2025 – 8.65%) Aisin Corp. 2,700 27 0.11 Bridgestone Corp. 6,100 96 0.37 Denso Corp. 9,700 84 0.33 GS Yuasa Corp. 380 11 0.04 Honda Motor Co. Ltd. 20,500 141 0.55 JTEKT Corp. 800 7 0.03 Koito Manufacturing Co. Ltd. 600 7 0.03 Mazda Motor Corp. 3,400 17 0.07 Mitsubishi Motors Corp. 3,900 6 0.02 NHK Spring Co. Ltd. 800 14 0.06 Nifco, Inc. 600 14 0.05 Nissan Motor Co. Ltd. 13,000 18 0.07 Niterra Co. Ltd. 1,100 55 0.21 NOK Corp. 700 9 0.04 NSK Ltd. 2,400 13 0.05 Stanley Electric Co. Ltd. 700 11 0.04 Subaru Corp. 3,100 34 0.13 Sumitomo Electric Industries Ltd. 16,400 223 0.87 Sumitomo Rubber Industries Ltd. 1,100 11 0.04 Suzuki Motor Corp. 9,200 83 0.32 Toyo Tire Corp. 400 7 0.03 Toyoda Gosei Co. Ltd. 500 12 0.05 Toyota Boshoku Corp. 700 7 0.03 Toyota Motor Corp. 58,500 739 2.88 Yokohama Rubber Co. Ltd. 700 24 0.09
1,670 6.51
Banks – 10.42% (31.12.2025 – 9.68%) 77 Bank Ltd. 1,100 17 0.07 Aozora Bank Ltd. 600 7 0.03 Chiba Bank Ltd. 3,500 40 0.16 Chugin Financial Group, Inc. 600 9 0.04 Fukuoka Financial Group, Inc. 1,000 32 0.12 Gunma Bank Ltd. 2,000 22 0.09
State Street AUT Japan Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement
As at 30th June 2026
4
Page 7
Holdings
Market Value £'000
% of Total Net Assets
Banks – 10.42% (31.12.2025 – 9.68%) (continued) Hachijuni Nagano Bank Ltd. 2,300 25 0.10 Hirogin Holdings, Inc. 1,700 16 0.06 Hokuhoku Financial Group, Inc. 600 19 0.07 Iyogin Holdings, Inc. 1,300 19 0.07 Japan Post Bank Co. Ltd. 9,800 139 0.54 Kyoto Financial Group, Inc. 1,300 27 0.11 Kyushu Financial Group, Inc. 2,000 13 0.05 Mebuki Financial Group, Inc. 4,900 32 0.12 Mitsubishi UFJ Financial Group, Inc. 59,670 888 3.46 Mizuho Financial Group, Inc. 12,942 465 1.81 Rakuten Bank Ltd. 500 12 0.05 Resona Holdings, Inc. 11,856 116 0.45 Shizuoka Financial Group, Inc. 2,400 34 0.13 Sumitomo Mitsui Financial Group, Inc. 19,900 585 2.28 Sumitomo Mitsui Trust Group, Inc. 3,400 96 0.37 Yamaguchi Financial Group, Inc. 1,200 16 0.06 Yokohama Financial Group, Inc. 5,600 45 0.18
2,674 10.42
Beverages – 0.66% (31.12.2025 – 0.75%) Asahi Group Holdings Ltd. 7,700 55 0.21 Coca-Cola Bottlers Japan Holdings, Inc. 575 11 0.04 Kirin Holdings Co. Ltd. 4,300 56 0.22 Sapporo Holdings Ltd. 2,200 21 0.08 Suntory Beverage & Food Ltd. 700 15 0.06 Takara Holdings, Inc. 1,200 12 0.05
170 0.66
Chemicals – 3.38% (31.12.2025 – 3.17%) Air Water, Inc. 1,100 14 0.05 Asahi Kasei Corp. 7,600 63 0.24 DIC Corp. 100 2 0.01 Kaneka Corp. 500 13 0.05 Kuraray Co. Ltd. 1,900 15 0.06
State Street AUT Japan Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
5
Page 8
Holdings
Market Value £'000
% of Total Net Assets
Chemicals – 3.38% (31.12.2025 – 3.17%) (continued) Mitsubishi Chemical Group Corp. 7,300 38 0.15 Mitsubishi Gas Chemical Co., Inc. 900 21 0.08 Mitsui Chemicals, Inc. 2,000 20 0.08 Nagase & Co. Ltd. 2,330 13 0.05 Nippon Kayaku Co. Ltd. 300 3 0.01 Nippon Sanso Holdings Corp. 900 25 0.10 Nippon Shokubai Co. Ltd. 200 2 0.01 Nissan Chemical Corp. 700 27 0.10 Nitto Denko Corp. 3,700 54 0.21 NOF Corp. 1,200 15 0.06 Resonac Holdings Corp. 1,000 82 0.32 Shin-Etsu Chemical Co. Ltd. 10,200 331 1.29 Sumitomo Chemical Co. Ltd. 8,400 20 0.08 Taiyo Holdings Co. Ltd. 400 9 0.03 Teijin Ltd. 500 4 0.02 Tokyo Ohka Kogyo Co. Ltd. 600 32 0.12 Toray Industries, Inc. 7,600 40 0.16 Tosoh Corp. 1,600 22 0.09 Zeon Corp. 300 3 0.01
868 3.38
Construction & Materials – 2.25% (31.12.2025 – 2.44%) COMSYS Holdings Corp. 652 16 0.06 Daikin Industries Ltd. 1,500 172 0.67 EXEO Group, Inc. 900 12 0.05 INFRONEER Holdings, Inc. 1,124 14 0.05 JGC Holdings Corp. 1,300 15 0.06 Kajima Corp. 2,200 60 0.23 Kandenko Co. Ltd. 700 22 0.09 Kinden Corp. 600 22 0.09 Kraftia Corp. 300 13 0.05 Lixil Corp. 1,900 16 0.06 Obayashi Corp. 3,400 51 0.20 Sanwa Holdings Corp. 1,100 19 0.07
State Street AUT Japan Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
6
Page 9
Holdings
Market Value £'000
% of Total Net Assets
Construction & Materials – 2.25% (31.12.2025 – 2.44%) (continued) Shimizu Corp. 2,700 32 0.13 Taiheiyo Cement Corp. 600 11 0.04 Taisei Corp. 800 53 0.21 Takasago Thermal Engineering Co. Ltd. 400 9 0.04 Toda Corp. 900 7 0.03 TOTO Ltd. 800 32 0.12
576 2.25
Consumer Services – 0.14% (31.12.2025 – 0.14%) Fuyo General Lease Co. Ltd. 400 8 0.03 Tokyo Century Corp. 900 10 0.04 USS Co. Ltd. 2,100 19 0.07
37 0.14
Electricity – 0.43% (31.12.2025 – 0.49%) Chubu Electric Power Co., Inc. 3,900 55 0.22 Kansai Electric Power Co., Inc. 5,100 54 0.21
109 0.43
Electronic & Electrical Equipment – 4.96% (31.12.2025 – 3.75%) Amano Corp. 300 5 0.02 Azbil Corp. 2,800 22 0.09 Fuji Electric Co. Ltd. 700 44 0.17 Fujikura Ltd. 8,900 257 1.00 Furukawa Electric Co. Ltd. 4,000 88 0.34 Horiba Ltd. 200 25 0.10 Jeol Ltd. 300 10 0.04 Keyence Corp. 1,100 414 1.61 Kurita Water Industries Ltd. 600 25 0.10 Mabuchi Motor Co. Ltd. 1,000 7 0.03 NGK Corp. 1,400 49 0.19 NIDEC Corp. 5,000 61 0.24 Omron Corp. 1,000 27 0.11
State Street AUT Japan Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
7
Page 10
Holdings
Market Value £'000
% of Total Net Assets
Electronic & Electrical Equipment – 4.96% (31.12.2025 – 3.75%) (continued) Organo Corp. 100 8 0.03 Shimadzu Corp. 1,400 27 0.10 TDK Corp. 10,200 169 0.66 Yokogawa Electric Corp. 1,300 34 0.13
1,272 4.96
Finance & Credit Services – 0.21% (31.12.2025 – 0.23%) Marui Group Co. Ltd. 1,300 17 0.06 Mitsubishi HC Capital, Inc. 4,820 30 0.12 Zenkoku Hosho Co. Ltd. 500 7 0.03
54 0.21
Food Producers – 1.35% (31.12.2025 – 1.31%) Ajinomoto Co., Inc. 5,200 142 0.55 Ezaki Glico Co. Ltd. 200 5 0.02 Itoham Yonekyu Holdings, Inc. 200 4 0.02 Kewpie Corp. 700 14 0.05 Kikkoman Corp. 4,100 32 0.13 Kotobuki Spirits Co. Ltd. 300 3 0.01 MEIJI Holdings Co. Ltd. 1,400 25 0.10 Morinaga Milk Industry Co. Ltd. 2,000 12 0.05 NH Foods Ltd. 400 11 0.04 Nichirei Corp. 1,400 14 0.05 Nisshin Seifun Group, Inc. 1,700 16 0.06 Nissin Foods Holdings Co. Ltd. 1,300 17 0.07 Toyo Suisan Kaisha Ltd. 500 24 0.09 Yakult Honsha Co. Ltd. 1,400 18 0.07 Yamazaki Baking Co. Ltd. 700 10 0.04
347 1.35
Gas, Water & Multiutilities – 0.48% (31.12.2025 – 0.55%) Iwatani Corp. 1,200 11 0.04 Osaka Gas Co. Ltd. 1,900 48 0.19
State Street AUT Japan Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
8
Page 11
Holdings
Market Value £'000
% of Total Net Assets
Gas, Water & Multiutilities – 0.48% (31.12.2025 – 0.55%) (continued) Toho Gas Co. Ltd. 1,600 9 0.04 Tokyo Gas Co. Ltd. 1,900 54 0.21
122 0.48
General Industrials – 7.03% (31.12.2025 – 8.16%) AGC, Inc. 1,000 32 0.12 Daicel Corp. 1,200 8 0.03 Hitachi Ltd. 24,000 497 1.94 IHI Corp. 4,900 62 0.24 ITOCHU Corp. 34,000 292 1.14 Kansai Paint Co. Ltd. 1,000 12 0.05 Kawasaki Heavy Industries Ltd. 4,200 57 0.22 Mitsubishi Corp. 17,400 351 1.37 Mitsubishi Electric Corp. 10,900 297 1.16 Mitsubishi Materials Corp. 700 14 0.05 NANKAI Co. Ltd. 500 7 0.03 Nippon Paint Holdings Co. Ltd. 5,100 25 0.10 Sojitz Corp. 1,140 27 0.10 Sumitomo Bakelite Co. Ltd. 200 7 0.03 Toyo Seikan Group Holdings Ltd. 700 13 0.05 Toyota Tsusho Corp. 3,700 103 0.40
1,804 7.03
Health Care Providers – 0.07% (31.12.2025 – 0.11%) M3, Inc. 2,300 19 0.07
Household Goods & Home Construction – 0.74% (31.12.2025 – 0.98%) Daiwa House Industry Co. Ltd. 3,100 63 0.24 Haseko Corp. 1,400 19 0.07 Iida Group Holdings Co. Ltd. 500 5 0.02 Rinnai Corp. 400 7 0.03 Sekisui Chemical Co. Ltd. 2,000 24 0.09
State Street AUT Japan Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
9
Page 12
Holdings
Market Value £'000
% of Total Net Assets
Household Goods & Home Construction – 0.74% (31.12.2025 – 0.98%) (continued) Sekisui House Ltd. 3,600 56 0.22 Sumitomo Forestry Co. Ltd. 2,700 17 0.07
191 0.74
Industrial Engineering – 4.63% (31.12.2025 – 4.62%) Amada Co. Ltd. 1,700 23 0.09 Daifuku Co. Ltd. 1,800 60 0.23 DMG Mori Co. Ltd. 400 6 0.02 Ebara Corp. 2,500 73 0.28 FANUC Corp. 5,000 170 0.66 Harmonic Drive Systems, Inc. 300 11 0.04 Hitachi Construction Machinery Co. Ltd. 600 15 0.06 Hoshizaki Corp. 600 15 0.06 Japan Steel Works Ltd. 400 14 0.05 Komatsu Ltd. 4,900 143 0.56 Kubota Corp. 5,400 67 0.26 Makita Corp. 1,300 35 0.14 MISUMI Group, Inc. 1,500 28 0.11 Mitsubishi Heavy Industries Ltd. 17,800 303 1.18 Miura Co. Ltd. 700 10 0.04 Nabtesco Corp. 600 14 0.06 SMC Corp. 365 121 0.47 Sumitomo Heavy Industries Ltd. 600 14 0.06 THK Co. Ltd. 600 20 0.08 Yaskawa Electric Corp. 1,400 46 0.18
1,188 4.63
Industrial Materials – 0.05% (31.12.2025 – 0.09%) Oji Holdings Corp. 3,300 12 0.05
Industrial Metals & Mining – 1.27% (31.12.2025 – 1.13%) Daido Steel Co. Ltd. 1,100 14 0.05 Dowa Holdings Co. Ltd. 300 12 0.05
State Street AUT Japan Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
10
Page 13
Holdings
Market Value £'000
% of Total Net Assets
Industrial Metals & Mining – 1.27% (31.12.2025 – 1.13%) (continued) JFE Holdings, Inc. 3,200 23 0.09 JX Advanced Metals Corp. 3,000 61 0.24 Kobe Steel Ltd. 2,000 18 0.07 Maruichi Steel Tube Ltd. 1,400 12 0.05 Mitsui Kinzoku Co. Ltd. 300 59 0.23 Nippon Steel Corp. 27,290 68 0.26 Sumitomo Metal Mining Co. Ltd. 1,400 49 0.19 Yamato Kogyo Co. Ltd. 200 11 0.04
327 1.27
Industrial Support Services – 4.81% (31.12.2025 – 5.21%) ALSOK Co. Ltd. 2,100 10 0.04 BayCurrent, Inc. 800 22 0.08 Credit Saison Co. Ltd. 700 14 0.05 Dai Nippon Printing Co. Ltd. 2,100 29 0.11 GMO Payment Gateway, Inc. 300 13 0.05 Kokuyo Co. Ltd. 1,800 7 0.03 Marubeni Corp. 8,100 176 0.69 Mitsui & Co. Ltd. 13,300 277 1.08 Nichias Corp. 900 17 0.07 Persol Holdings Co. Ltd. 14,000 16 0.06 Recruit Holdings Co. Ltd. 7,300 384 1.50 Secom Co. Ltd. 2,300 69 0.27 Sumitomo Corp. 22,400 161 0.63 TOPPAN Holdings, Inc. 1,300 31 0.12 Visional, Inc. 200 7 0.03
1,233 4.81
Industrial Transportation – 2.22% (31.12.2025 – 2.79%) Central Japan Railway Co. 4,500 72 0.28 East Japan Railway Co. 5,700 90 0.35 Hankyu Hanshin Holdings, Inc. 1,200 24 0.09 Isuzu Motors Ltd. 2,900 29 0.11 Japan Airport Terminal Co. Ltd. 400 9 0.04
State Street AUT Japan Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
11
Page 14
Holdings
Market Value £'000
% of Total Net Assets
Industrial Transportation – 2.22% (31.12.2025 – 2.79%) (continued) Kamigumi Co. Ltd. 400 9 0.03 Kawasaki Kisen Kaisha Ltd. 2,000 23 0.09 Keihan Holdings Co. Ltd. 300 4 0.02 Keikyu Corp. 1,000 7 0.03 Keisei Electric Railway Co. Ltd. 2,600 14 0.05 Kintetsu Group Holdings Co. Ltd. 1,000 16 0.06 Mitsubishi Logistics Corp. 1,800 13 0.05 Mitsui E&S Co. Ltd. 500 9 0.04 Mitsui OSK Lines Ltd. 1,780 43 0.17 Nagoya Railroad Co. Ltd. 1,600 14 0.05 Nikkon Holdings Co. Ltd. 500 14 0.05 Nippon Express Holdings, Inc. 1,200 28 0.11 Nippon Yusen KK 2,100 51 0.20 Park24 Co. Ltd. 500 5 0.02 Sankyu, Inc. 300 12 0.05 Seino Holdings Co. Ltd. 500 6 0.02 SG Holdings Co. Ltd. 1,700 12 0.05 Tobu Railway Co. Ltd. 1,200 16 0.06 Tokyo Metro Co. Ltd. 1,300 9 0.04 West Japan Railway Co. 2,300 29 0.11 Yamato Holdings Co. Ltd. 1,400 12 0.05
570 2.22
Investment Banking & Brokerage – 1.67% (31.12.2025 – 1.78%) Daiwa Securities Group, Inc. 7,100 53 0.21 Japan Exchange Group, Inc. 5,600 53 0.21 Metaplanet, Inc. 7,500 7 0.03 Nomura Holdings, Inc. 15,500 101 0.39 ORIX Corp. 6,200 177 0.69 SBI Holdings, Inc. 2,986 37 0.14
428 1.67
Leisure Goods – 4.84% (31.12.2025 – 6.36%) Bandai Namco Holdings, Inc. 3,100 54 0.21
State Street AUT Japan Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
12
Page 15
Holdings
Market Value £'000
% of Total Net Assets
Leisure Goods – 4.84% (31.12.2025 – 6.36%) (continued) Capcom Co. Ltd. 2,000 28 0.11 Casio Computer Co. Ltd. 1,100 10 0.04 Konami Group Corp. 500 41 0.16 Nexon Co. Ltd. 1,700 17 0.07 Nikon Corp. 1,700 18 0.07 Nintendo Co. Ltd. 5,800 184 0.72 Panasonic Holdings Corp. 12,700 265 1.03 Sanrio Co. Ltd. 5,200 26 0.10 Sega Sammy Holdings, Inc. 600 6 0.02 Shimano, Inc. 400 32 0.12 Sony Group Corp. 32,500 494 1.93 Square Enix Holdings Co. Ltd. 1,700 19 0.07 Tomy Co. Ltd. 300 4 0.02 Yamaha Corp. 2,400 13 0.05 Yamaha Motor Co. Ltd. 5,200 30 0.12
1,241 4.84
Life Insurance – 1.33% (31.12.2025 – 1.29%) Daiichi Life Group, Inc. 18,500 153 0.60 Japan Post Holdings Co. Ltd. 9,200 93 0.36 Japan Post Insurance Co. Ltd. 2,800 20 0.08 Sony Financial Group, Inc. 31,900 21 0.08 T&D Holdings, Inc. 2,400 53 0.21
340 1.33
Media – 0.25% (31.12.2025 – 0.33%) Dentsu Group, Inc. 1,300 18 0.07 Hakuhodo DY Holdings, Inc. 2,000 11 0.04 Kadokawa Corp. 500 8 0.03 TBS Holdings, Inc. 200 6 0.03 Toho Co. Ltd. 3,500 21 0.08
64 0.25
State Street AUT Japan Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
13
Page 16
Holdings
Market Value £'000
% of Total Net Assets
Medical Equipment & Services – 1.55% (31.12.2025 – 1.82%) Asahi Intecc Co. Ltd. 1,200 21 0.08 Hoya Corp. 1,800 216 0.84 Nihon Kohden Corp. 1,200 8 0.03 Nipro Corp. 1,200 9 0.04 Olympus Corp. 5,800 46 0.18 Sysmex Corp. 2,700 18 0.07 Terumo Corp. 7,700 80 0.31
398 1.55
Nonlife Insurance – 2.37% (31.12.2025 – 2.40%) MS&AD Insurance Group Holdings, Inc. 6,500 128 0.50 Sompo Holdings, Inc. 4,900 142 0.55 Tokio Marine Holdings, Inc. 10,100 337 1.32
607 2.37
Oil, Gas & Coal – 0.75% (31.12.2025 – 0.90%) Cosmo Energy Holdings Co. Ltd. 700 12 0.05 ENEOS Holdings, Inc. 14,200 79 0.31 Idemitsu Kosan Co. Ltd. 4,020 22 0.08 Inpex Corp. 4,700 71 0.28 Modec, Inc. 200 9 0.03
193 0.75
Personal Care, Drug & Grocery – 1.57% (31.12.2025 – 2.45%) Aeon Co. Ltd. 13,320 83 0.32 Blue Zones Holdings Co. Ltd. 800 6 0.02 Cosmos Pharmaceutical Corp. 300 8 0.03 Kao Corp. 5,400 81 0.31 Kobayashi Pharmaceutical Co. Ltd. 200 5 0.02 Kobe Bussan Co. Ltd. 500 6 0.02 Kusuri No. Aoki Holdings Co. Ltd. 400 7 0.03 Lion Corp. 1,400 11 0.04 MatsukiyoCocokara & Co. 2,000 22 0.09
State Street AUT Japan Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
14
Page 17
Holdings
Market Value £'000
% of Total Net Assets
Personal Care, Drug & Grocery – 1.57% (31.12.2025 – 2.45%) (continued) Medipal Holdings Corp. 1,200 15 0.06 Seven & i Holdings Co. Ltd. 10,900 99 0.39 Sugi Holdings Co. Ltd. 600 9 0.03 Sundrug Co. Ltd. 100 2 0.01 Suzuken Co. Ltd. 300 7 0.03 Tsuruha Holdings, Inc. 1,276 12 0.05 Unicharm Corp. 6,800 30 0.12
403 1.57
Personal Goods – 0.43% (31.12.2025 – 0.49%) Asics Corp. 3,600 73 0.28 Goldwin, Inc. 1,000 10 0.04 Shiseido Co. Ltd. 2,200 27 0.11
110 0.43
Pharmaceuticals & Biotechnology – 3.29% (31.12.2025 – 4.14%) Alfresa Holdings Corp. 1,000 10 0.04 Astellas Pharma, Inc. 10,000 101 0.39 Chugai Pharmaceutical Co. Ltd. 3,400 118 0.46 Daiichi Sankyo Co. Ltd. 9,900 120 0.47 Eisai Co. Ltd. 1,500 29 0.11 Kyowa Kirin Co. Ltd. 1,264 15 0.06 Nippon Shinyaku Co. Ltd. 400 7 0.03 Ono Pharmaceutical Co. Ltd. 2,200 24 0.09 Otsuka Holdings Co. Ltd. 2,400 120 0.47 Rohto Pharmaceutical Co. Ltd. 1,000 11 0.04 Santen Pharmaceutical Co. Ltd. 1,900 19 0.08 Shionogi & Co. Ltd. 3,800 49 0.19 Sumitomo Pharma Co. Ltd. 900 6 0.02 Takeda Pharmaceutical Co. Ltd. 8,600 206 0.80 Tsumura & Co. 500 9 0.04
844 3.29
State Street AUT Japan Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
15
Page 18
Holdings
Market Value £'000
% of Total Net Assets
Real Estate Investment & Services – 1.49% (31.12.2025 – 1.93%) Daito Trust Construction Co. Ltd. 1,600 23 0.09 Hulic Co. Ltd. 2,500 20 0.08 Mitsubishi Estate Co. Ltd. 5,900 113 0.44 Mitsui Fudosan Co. Ltd. 13,900 96 0.37 Nomura Real Estate Holdings, Inc. 3,400 15 0.06 Open House Group Co. Ltd. 400 16 0.06 Sumitomo Realty & Development Co. Ltd. 3,500 61 0.24 Tokyo Tatemono Co. Ltd. 1,200 18 0.07 Tokyu Fudosan Holdings Corp. 3,500 21 0.08
383 1.49
Real Estate Investment Trusts – 1.10% (31.12.2025 – 1.44%) Activia Properties, Inc. 18 11 0.04 Advance Residence Investment Corp. 14 10 0.04 Daiwa House REIT Investment Corp. 33 19 0.07 GLP J-Reit 33 21 0.08 Industrial & Infrastructure Fund Investment Corp. 19 13 0.05 Invincible Investment Corp. 34 9 0.04 Japan Hotel REIT Investment Corp. 30 11 0.04 Japan Logistics Fund, Inc. 9 4 0.02 Japan Metropolitan Fund Invest 43 22 0.09 Japan Prime Realty Investment Corp. 21 9 0.04 Japan Real Estate Investment Corp. 30 16 0.06 KDX Realty Investment Corp. 26 19 0.07 LaSalle Logiport REIT 9 6 0.02 Mitsui Fudosan Accommodations Fund, Inc. 4 2 0.01 Mitsui Fudosan Logistics Park, Inc. 11 6 0.02 Nippon Building Fund, Inc. 40 23 0.09 Nippon Prologis REIT, Inc. 49 20 0.08 Nomura Real Estate Master Fund, Inc. 27 19 0.07 Orix JREIT, Inc. 41 19 0.08 Sekisui House Reit, Inc. 17 6 0.02 United Urban Investment Corp. 24 18 0.07
283 1.10
State Street AUT Japan Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
16
Page 19
Holdings
Market Value £'000
% of Total Net Assets
Retailers – 2.50% (31.12.2025 – 2.43%) ABC-Mart, Inc. 500 6 0.02 Fast Retailing Co. Ltd. 1,000 384 1.50 Isetan Mitsukoshi Holdings Ltd. 1,760 34 0.13 J Front Retailing Co. Ltd. 1,300 22 0.09 K's Holdings Corp. 400 4 0.02 MonotaRO Co. Ltd. 1,300 11 0.04 Nitori Holdings Co. Ltd. 2,300 26 0.10 Pan Pacific International Holdings Corp. 10,300 39 0.15 Ryohin Keikaku Co. Ltd. 2,600 43 0.17 Shimamura Co. Ltd. 800 12 0.05 Takashimaya Co. Ltd. 1,400 16 0.06 Tokyu Corp. 2,700 21 0.08 Workman Co. Ltd. 100 3 0.01 Yamada Holdings Co. Ltd. 2,700 8 0.03 ZOZO, Inc. 2,400 13 0.05
642 2.50
Software & Computer Services – 1.60% (31.12.2025 – 2.49%) BIPROGY, Inc. 200 4 0.02 CyberAgent, Inc. 2,600 16 0.06 Fujitsu Ltd. 9,200 139 0.54 GMO internet group, Inc. 600 9 0.03 Kakaku.com, Inc. 700 11 0.04 LY Corp. 12,200 25 0.10 Mercari, Inc. 700 13 0.05 Money Forward, Inc. 400 8 0.03 Nomura Research Institute Ltd. 2,300 49 0.19 NS Solutions Corp. 700 11 0.04 OBIC Business Consultants Co. Ltd. 200 6 0.02 Obic Co. Ltd. 1,600 28 0.11 Oracle Corp. Japan 200 8 0.03 Otsuka Corp. 1,400 18 0.07 Rakus Co. Ltd. 900 4 0.02 Rakuten Group, Inc. 8,000 28 0.11
State Street AUT Japan Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
17
Page 20
Holdings
Market Value £'000
% of Total Net Assets
Software & Computer Services – 1.60% (31.12.2025 – 2.49%) (continued) SHIFT, Inc. 1,300 4 0.02 TIS, Inc. 900 13 0.05 Trend Micro, Inc. 600 17 0.07
411 1.60
Technology Hardware & Equipment – 16.90% (31.12.2025 – 9.26%) Advantest Corp. 4,000 600 2.34 Alps Alpine Co. Ltd. 1,000 9 0.04 Brother Industries Ltd. 1,300 22 0.09 Canon Marketing Japan, Inc. 600 10 0.04 Canon, Inc. 4,400 85 0.33 Dexerials Corp. 900 18 0.07 Disco Corp. 500 188 0.73 FUJIFILM Holdings Corp. 6,300 102 0.40 Hamamatsu Photonics KK 1,600 20 0.08 Hirose Electric Co. Ltd. 140 19 0.07 Ibiden Co. Ltd. 1,400 155 0.60 Kioxia Holdings Corp. 1,800 749 2.92 Kokusai Electric Corp. 1,300 65 0.25 Konica Minolta, Inc. 3,400 9 0.04 Kyocera Corp. 7,000 115 0.45 Lasertec Corp. 400 92 0.36 Macnica Holdings, Inc. 900 13 0.05 Minebea Mitsumi, Inc. 2,100 46 0.18 Murata Manufacturing Co. Ltd. 9,500 502 1.96 NEC Corp. 6,700 122 0.48 Nippon Electric Glass Co. Ltd. 400 12 0.05 Renesas Electronics Corp. 9,000 201 0.78 Ricoh Co. Ltd. 3,200 21 0.08 Rohm Co. Ltd. 1,700 42 0.16 Rorze Corp. 500 11 0.04 SCREEN Holdings Co. Ltd. 1,000 83 0.32 Seiko Epson Corp. 1,600 20 0.08 Socionext, Inc. 1,000 12 0.05
State Street AUT Japan Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
18
Page 21
Holdings
Market Value £'000
% of Total Net Assets
Technology Hardware & Equipment – 16.90% (31.12.2025 – 9.26%) (continued) SUMCO Corp. 1,900 35 0.14 Taiyo Yuden Co. Ltd. 700 65 0.25 Tokyo Electron Ltd. 2,400 859 3.35 Tokyo Seimitsu Co. Ltd. 200 19 0.07 Ulvac, Inc. 300 14 0.05
4,335 16.90
Telecommunications Service Providers – 4.11% (31.12.2025 – 4.39%) Hikari Tsushin, Inc. 100 17 0.07 Internet Initiative Japan, Inc. 800 12 0.05 KDDI Corp. 15,700 199 0.78 NTT, Inc. 143,400 96 0.37 SKY Perfect JSAT Corp. 900 11 0.04 SoftBank Corp. 154,200 149 0.58 SoftBank Group Corp. 20,600 570 2.22
1,054 4.11
Travel & Leisure – 0.94% (31.12.2025 – 1.29%) ANA Holdings, Inc. 900 12 0.05 Food & Life Cos. Ltd. 1,200 27 0.10 Japan Airlines Co. Ltd. 900 12 0.05 Keio Corp. 4,100 14 0.05 Kyushu Railway Co. 900 15 0.06 McDonald's Holdings Co. Japan Ltd. 500 17 0.07 Odakyu Electric Railway Co. Ltd. 2,000 16 0.06 Oriental Land Co. Ltd. 5,800 67 0.26 Resorttrust, Inc. 600 5 0.02 Sankyo Co. Ltd. 600 4 0.02 Seibu Holdings, Inc. 900 13 0.05 Skylark Holdings Co. Ltd. 900 12 0.05 Sotetsu Holdings, Inc. 600 7 0.03 Zensho Holdings Co. Ltd. 500 19 0.07
240 0.94
State Street AUT Japan Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
19
Page 22
Holdings
Market Value £'000
% of Total Net Assets
Travel & Leisure – 0.94% (31.12.2025 – 1.29%) (continued)
Derivatives – 0.04% (31.12.2025 – 0.00%) MINI TPX IDX FUT Futures September 2026† 22 9 0.04
Portfolio of investments 25,228 98.34 Net other assets 427 1.66
Total net assets 25,655 100.00
All holdings are ordinary shares or common stock unless otherwise stated. † Goldman Sachs is the counterparty, total notional exposure is £408,259 and 1.59% as a percentage of the Fund’s value.
State Street AUT Japan Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Portfolio Statement (continued)
As at 30th June 2026
20
Page 23
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Page 24
Comparative Table For the period ended 30th June 2026
2026 (to 30.06) 2025 2024 Closing net asset value (£'000) 25,655 61,462 58,095 Closing number of units 7,219,736 20,335,995 22,396,219 Closing net asset value per unit (£) 3.5535 3.0223 2.5940 Change in net asset value per unit 17.58% 16.51% 9.93% Operating charges^ 0.10% 0.12% 0.12%
^ The Operating charge changed from 12bps to 6bps on 1 April 2026. The above Operating charge percentage represents an average for the year.
General risk factors The value of funds and the revenue from them is not guaranteed and may fall as well as rise. You may get back less than you originally invested. What you get back may depend on:
• Investment performance is not guaranteed. Past performance is no guarantee of future performance. There may also be variation in performance between funds with similar investment objectives.
• The effect of an initial charge. If you sell your investment after a short period you may not get back what you originally invested, even if the price of your investment has not fallen.
• The entire market of a particular asset class or geographical region may fall, having a greater effect on funds heavily invested in that asset class or region.
• If you make regular withdrawals from your investment be aware that if the level of withdrawal exceeds the rate of investment growth of the fund, your capital will be eroded.
• Governments may change the tax rules which affect you or the funds in which you have invested.
• Inflation will reduce what you could buy in the future, i.e. it will reduce the real value of your investment.
• There is no certainty that the investment objective of any fund will actually be achieved.
State Street AUT Japan Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
22
Page 25
Statement of Total Return For the period ended 30th June 2026
Period ended 30.06.26
Period ended 30.06.25 £'000 £'000 £'000 £'000 Income Net capital gains 4,585 977 Revenue 704 758 Expenses (24) (34)
Net revenue before taxation 680 724 Taxation (71) (76)
Net revenue after taxation 609 648
Total return before distributions 5,194 1,625 Distributions (610) (648)
Change in net assets attributable to unitholders from investment activities 4,584 977
Statement of Change in Net Assets Attributable to Unitholders For the period ended 30th June 2026
Period ended 30.06.26
Period ended 30.06.25 £’000 £’000 £’000 £’000 Opening net assets 61,462 58,095 Issue of units 5,486 3,926 Cancellation of units (46,121) (2,655)
(40,635) 1,271 Dilution adjustment 11 Change in unitholders' funds from investment activities 4,584 977 Retained distributions on accumulation units 243 671
Closing net assets 25,655 61,015
State Street AUT Japan Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
23
Page 26
Balance Sheet As at 30th June 2026
30.06.26 31.12.25 £'000 £'000 Assets Investments 25,228 61,120 Amounts receivable 22 83 Cash and Cash equivalents 407 266
Total assets 25,657 61,469
Liabilities Other amounts payable 2 7
Total liabilities 27
Net assets attributable to unitholders 25,655 61,462
All items within the Balance Sheet are deemed current.
Notes to the Financial Statements are on pages 25 to 26.
State Street AUT Japan Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
24
Page 27
1. Accounting policies
(a) Basis of accounting The financial statements have been prepared under the historical cost convention by the revaluation of the investments, and in accordance with the United Kingdom Generally Accepted Accounting Practice ("UK GAAP") which comprises the UK Financial Reporting Standard 104 ("FRS 104") and the Statement of Recommended Practice ("SORP") for Authorised Funds issued by the Investment Association ("IA") in October 2025 (the "IA SORP 2025").
(b) Adoption of IA SORP 2025 Changes in accounting policies
The following changes have been made to the accounting policies compared with the audited financial statements for the year ended 31 December 2025, following adoption of IA SORP 2025.
- In accordance with the 2025 SORP mid-market prices are an appropriate valuation basis for investments. A restatement oft he prior year comparatives is not required by the IA SORP (paragraph 1.12), the value of investments for the prior year is shown at bid market value, in line with the previous accounting policy.
Changes in presentation
The presentation of these financial statements has been changed from the previous period to comply with the requirements of IA SORP 2025. These changes include:
- Amendments to labelling of line items within the financial statements;- Removal of distribution tables;
- The inclusion of a going concern assessment;- The inclusion of significant related party transactions;
- The inclusion of the fair value hierarchy of the portfolio.
(c) Going Concern The financial statements are prepared on the going concern basis.
The Authorised Corporate Director ("ACD") has undertaken a detailed assessment of each of the remaining Funds ability to meet its liabilities as they fall due, including liquidity, declines in global capital markets and investor redemption levels. Based on this assessment, the Funds continue to be open for trading and the ACD is satisfied the Funds have adequate financial resources to continue in operation for the foreseeable future, being at least 12 months from the date of approval, and accordingly it is appropriate to adopt the going concern basis in preparing the financial statements.
2. Related party transactions The Manager exercises governance and oversight over the Fund and is a related party by virtue of the Trust Deed constituting the Fund.
Amounts paid during the period to the Manager were £23,452 (31.12.25: £73,133).
At the period end £1,261 (31.12.25: £6,519) was due to the Manager in relation to accrued manager’s periodic charges.
Transactions relating to the creation and cancellation of units and the purchases and sales of investments which pass through the Manager, but are not for the benefit of, either related party are disclosed in the Statement of Change in Net Assets Attributable to Unitholders.
State Street AUT Japan Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Notes to the Financial Statements
For the period ended 30th June 2026
25
Page 28
3. Fair value For financial instruments held at fair value in the balance sheet, the Fund is required to disclose for each class of financial instrument, an analysis of the level in the fair value:
Level 1 – The unadjusted quoted price in an active market for identical assets or liabilities that the entity can access at the measurement date;
Level 2 – Inputs other than quoted prices included within Level 1 that are observable (i.e. developed using market data) for the asset or liability, either directly or indirectly;
Level 3 – Inputs are unobservable (i.e. for which market data is unavailable) for the asset or liability.
30.06.26 Level 1 £'000
30.06.26 Level 2 £'000
30.06.26 Level 3 £'000
30.06.26 Total £'000 Assets: Equities 25,219 - - 25,219 Derivatives 9 - - 9 25,228 - - 25,228
31.12.25 Level 1 £'000
31.12.25 Level 2 £'000
31.12.25 Level 3 £'000
31.12.25 Total £'000 Assets: Equities 61,119 - - 61,119 Derivatives 1 - - 1 61,120 - - 61,120
4. Significant events during the financial period The Annual Management Charge changed from 12bps to 6bps on 1 April 2026.
5. Subsequent events since the financial year The anti-dilution mechanism shall change from dilution levy to dilution adjustment on 1 September 2026. There have been no other significant events affecting the Fund after the financial year ended 30 June 2026 that require amendment to or disclosure in the financial statements.
State Street AUT Japan Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Notes to the Financial Statements (continued)
For the period ended 30th June 2026
26
Page 29
THE MANAGER State Street Unit Trust Management Limited 20 Churchill Place, Canary Wharf London E14 5HJ
Regulated by The Financial Conduct Authority.
DIRECTORS V. Parry* (resigned 2 January 2026) C. Fernandes (resigned 2 January 2026) N. Wightman* (resigned 2 January 2026) R. Bridger B. Healy* (appointed 2 January 2026) B. Lim Siong Kwong Lam Thuon Mine* (appointed 2 January 2026) E. Linnane (appointed 2 January 2026) T. Coghlan* (appointed 2 January 2026) * Independent non-executive Director
INVESTMENT MANAGER, REGISTRAR & TRANSFER AGENT State Street Global Advisors Limited 20 Churchill Place London E14 5HJ
Regulated by The Financial Conduct Authority.
INDEPENDENT AUDITORS PricewaterhouseCoopers LLP Chartered Accountants and Statutory Auditors 120 Bothwell Street Glasgow G2 7JS
DEPOSITARY HSBC Bank plc 8 Canada Square Canary Wharf London E14 5HQ
HSBC Bank plc is authorised by the Prudential Regulation Authority and regulated by the Prudential Regulation Authority and the Financial Conduct Authority.
CONSTITUTION State Street AUT Japan Screened Index Equity Fund is an authorised unit trust scheme within the meaning of, and governed by section 243 of the Financial Services and Markets Act 2000. The Fund is a ‘wider range’ investment scheme under the Trustee Investments Act 1961.
PROSPECTUS Copies of the Prospectus are available from the Manager upon request.
Please remember that the price of units and the income from them can go down as well as up. Past performance is not necessarily a guide to the future. Changes in exchange rates may also affect the value.
ASSESSMENT OF VALUE Assessment of Value ("AoV") was introduced by the FCA to ensure UK authorised fund managers (“AFMs”) demonstrate the delivery of value for underlying investors, objectively assessing ourselves against a range of criteria. Our annual assessment of value statement can be found in a composite report on www.ssga.com.
State Street AUT Japan Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Directory
27
Page 30
TASK FORCE ON CLIMATE-RELATED FINANCIAL DISCLOSURES ("TCFD") The Manager’s entity and product disclosure reports have been published separately and can be found using the fund finder page on www.ssga.com.
State Street AUT Japan Screened Index Equity Fund
Interim Report and Unaudited Financial Statements 2026
Directory (continued)
28
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"id": "26571185-d2f4-4059-a3b0-82e4601ad9da",
"page_number": 2,
"text": "State Street AUT Japan Screened Index Equity Fund"
},
{
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},
"id": "c1dcfbf1-a9cc-41b9-b798-c948d800913a",
"page_number": 2,
"text": "Interim Report and Unaudited Financial Statements 2026"
},
{
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"box": {
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"id": "7735796e-8c58-48a0-b251-0f9343e401c3",
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"text": "Authorised Status"
},
{
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},
"id": "bd0bf214-ccd5-47e4-ae86-d3993701ccde",
"page_number": 3,
"text": "The State Street AUT Japan Screened Index Equity Fund (the \u201cFund\u201d) is an Authorised Unit Trust Scheme as defined in"
},
{
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"id": "47c1ead0-753b-4566-9824-42c1ce7d6dba",
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"text": "section 243 of the Financial Services and Markets Act 2000 and it is a UCITS Retail Scheme within the meaning of the FCA"
},
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"id": "04aad374-cff6-4727-a3fd-73e8c724d6ad",
"page_number": 3,
"text": "Collective Investment Schemes sourcebook. The unitholders are not liable for the debts of the Fund."
},
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"text": "Investment Objective and Policy"
},
{
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},
"id": "0f728389-41e6-49c8-9dd6-873ad9bcd911",
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"text": "The objective of the Fund is to replicate, as closely as possible and on a \u201cgross of fees\u201d basis, the return of the Japan equity"
},
{
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"id": "4349a62a-b472-4fe0-a0cb-96d7ec35c590",
"page_number": 3,
"text": "market as represented by the FTSE Japan ex Controversies ex CW ex Tobacco ex Thermal Coal (10%) Index, net of"
},
{
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"id": "e1a9aa94-432f-440a-be11-8e9d65b78ec5",
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"text": "withholding taxes (or its recognised replacement or equivalent)."
},
{
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},
"id": "b51f7054-c07e-49e4-8c1e-f8bfcdef353f",
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"text": "The Fund is passively managed, meaning that the objective of the Fund is to achieve an investment return that is as close as"
},
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"id": "3e9ee502-847c-4d5d-ae78-45778a6a5cf1",
"page_number": 3,
"text": "possible, and on a \u201cgross of fees\u201d basis, to the return of the Index applicable to the Fund. The Investment Adviser seeks to"
},
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},
"id": "3e11ef1e-d9d3-465c-b447-8ed8594f04d7",
"page_number": 3,
"text": "achieve the objective of the Fund by using a replication strategy. This strategy seeks to hold all of the securities of the"
},
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},
"id": "9219d02e-e04a-4403-a793-74d8ef1b8c60",
"page_number": 3,
"text": "particular Index, with the approximate weightings as in that Index. The Fund may also invest in transferable securities, money"
},
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},
"id": "80fe7c7f-77e6-43c0-bb2e-7e13bc6b7a1c",
"page_number": 3,
"text": "market instruments, warrants, units in collective investment schemes, deposits and derivatives. The Fund may invest in"
},
{
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"id": "744a29eb-2583-4f68-a967-079eb9caf05c",
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"text": "collective investment schemes managed or operated by companies in the same group as the Manager or the Investment"
},
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"text": "Adviser."
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"id": "c83e57c6-142e-4d35-98de-ec16d325b1b1",
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"text": "The Fund will seek to track the performance of the Index whilst seeking to minimise as far as possible the tracking error"
},
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"page_number": 3,
"text": "between the Fund\u2019s performance and that of the Index."
},
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"text": "The Indices include negative screens that exclude securities from the Indices based on four criteria:"
},
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},
"id": "096dc75b-2fcf-4cae-b7bf-7e2c8f4e48a0",
"page_number": 3,
"text": "1. Controversial weapons (including chemical \u0026 biological weapons, cluster munitions, antipersonnel landmines),"
},
{
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"width": 560,
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"id": "46091ac7-5e37-4e49-b1e1-2cc2a0717945",
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"text": "2. Controversies as defined by the ten principles of the UN Global Compact:"
},
{
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"text": "Human Rights"
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"id": "1711926f-d1ab-459d-90f3-fede6457bf71",
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"text": "a) Principle 1: Businesses should support and respect the protection of internationally proclaimed human rights; and"
},
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"text": "b) Principle 2: make sure that they are not complicit in human rights abuses."
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"text": "Labour"
},
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"id": "2c97083d-ab74-4166-9ead-0db94c9abcbd",
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"text": "c) Principle 3: Businesses should uphold the freedom of association and the effective recognition of the right to collective"
},
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"text": "bargaining;"
},
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"id": "5f6c2943-29ce-4784-ba6f-e223f7903509",
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"text": "d) Principle 4: the elimination of all forms of forced and compulsory labour;"
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"id": "85d48dc3-2238-4843-bb0f-25a8910e572c",
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"text": "e) Principle 5: the effective abolition of child labour; and"
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"text": "f) Principle 6: the elimination of discrimination in respect of employment and occupation."
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"text": "Environment"
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"text": "g) Principle 7: Businesses should support a precautionary approach to environmental challenges;"
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"text": "h) Principle 8: undertake initiatives to promote greater environmental responsibility; and"
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"text": "i) Principle 9: encourage the development and diffusion of environmentally friendly technologies."
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"text": "AntiCorruption"
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"id": "ebd7776e-c355-4b30-9eaa-5a951937b484",
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"text": "j) Principle 10: Businesses should work against corruption in all its forms, including extortion and bribery."
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"text": "3. Tobacco (companies engaged in the production of tobacco and/or tobacco products),"
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"text": "4. Thermal Coal (companies with revenues greater than or equal to 10% from extraction or power generation of thermal coal)."
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"text": "These negative screens will therefore apply when the Fund invests in shares of companies included in the Index (but not in"
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"text": "respect of other investments held by the Fund from time to time)."
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"text": "State Street AUT Japan Screened Index Equity Fund"
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"text": "Interim Report and Unaudited Financial Statements 2026"
},
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"text": "Manager\u2019s Report"
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"id": "4dcfea0c-2bdb-4bc6-9f48-a544786a3d63",
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"text": "For the period ended 30th June 2026"
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"text": "1"
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"text": "Performance"
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"id": "897cc666-f5df-4af2-88fc-c8a93f9a7b2b",
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"text": "The Fund returned 17.55% (17.50% net of fees) for the 6-month period ended 30 June 2026 (the \u201cReporting Period\u201d),"
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"text": "compared to the Index return of 17.06%. The size of the Fund\u2019s tracking difference for the Reporting Period was 0.49%; the"
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"id": "122f7a02-3562-4a33-9361-dcb9d0d56ed5",
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"text": "outperformance versus the Index was largely attributable to tax withholding effect."
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"text": "Note: Performance returns presented above are in GBP."
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"text": "Risk and Reward Profile"
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"text": "Lower risk"
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"text": "Higher risk"
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"text": "Potentially higher reward"
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"text": "1234 67 5"
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"text": "5"
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"text": "Risk Disclaimer"
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{
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"id": "d370ab55-665a-4982-80de-2aa021507811",
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"text": "The risk category above is not a measure of capital loss or gains but of how significant the rises and falls in the Fund\u2019s return"
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"id": "0b0077fe-00a0-4be7-8373-5fb1ed1d9a81",
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"text": "have been historically."
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"id": "5684e624-53b1-47f2-b538-c807c93bb7f2",
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"text": "For example a fund whose return has experienced significant rises and falls will be in a higher risk category, whereas a fund"
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"text": "whose return has experienced less significant rises and falls will be in a lower risk category."
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"text": "The lowest category (i.e. category 1) does not mean that a fund is a risk free investment."
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"text": "As the Fund\u0027s risk category has been calculated using historical data, it may not be a reliable indication of the Fund\u0027s future"
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"text": "risk profile."
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"id": "7f811c4c-3611-4d39-84e3-e311cf6dba8f",
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"text": "The Fund\u2019s risk category shown is not guaranteed and may change in the future."
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"text": "Why is this Fund in this category?"
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"text": "The Fund is in risk category 5 as its return has experienced medium rises and falls historically."
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"text": "The following are material risks relevant to the Fund which are not adequately captured by the risk category."
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"page_number": 4,
"text": "Concentration Risk:"
},
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},
"id": "2a898fce-7841-46e4-a898-04fd411ded11",
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"text": "When the Fund focuses its investments in a particular way, the issues affecting the investments will"
},
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"id": "8a7ed680-a619-4f67-809f-d2e4135e7505",
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"text": "have a greater effect than if the Fund was more diversified. This concentration may also limit the Fund\u0027s liquidity."
},
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"text": "Counterparty Risk:"
},
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"x": 207,
"y": 660
},
"id": "0663555e-ac98-4bb3-bf12-1a06848eaa9f",
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"text": "The Fund will be subject to credit risk with respect to the counterparties with which it enters into"
},
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"text": "derivatives contracts and other transactions. There is a risk that these institutions may not be able to perform their obligations."
},
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},
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"text": "This could reduce the value of the Fund\u0027s investments."
},
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"x": 48,
"y": 709
},
"id": "18be8e08-12f3-4c7f-8c46-fa7ff4a71f0a",
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"text": "Index Tracking Risk:"
},
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"x": 234,
"y": 709
},
"id": "da96fd4c-722c-45b5-952a-f18043504b6a",
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"text": "The Fund\u0027s performance may not exactly track the Index. This can result from market"
},
{
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"width": 904,
"x": 47,
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},
"id": "892a9bda-8338-4261-a1b7-9794d9eda39d",
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"text": "fluctuations,changes in the composition of the Index, transaction costs, the costs of making changes to the Fund\u0027s portfolio"
},
{
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"width": 193,
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"y": 738
},
"id": "db7957fc-4495-4a42-b225-ac252bc20a00",
"page_number": 4,
"text": "and other Fund expenses."
},
{
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"x": 48,
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},
"id": "87f5cf25-5096-4f46-ad44-bdb55c72c5c9",
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"text": "Liquidity Risk:"
},
{
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"width": 771,
"x": 179,
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},
"id": "2c2b43ac-c31c-4535-9a36-b31659ce31a3",
"page_number": 4,
"text": "It may be difficult for the Fund to buy or sell certain investments in difficult market conditions."
},
{
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"width": 796,
"x": 47,
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},
"id": "b6aae4c2-0f10-41c0-810c-cdfd887f570c",
"page_number": 4,
"text": "Consequently the price obtained when selling securities may be lower than under normal market conditions."
},
{
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"width": 126,
"x": 47,
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},
"id": "ebd241c1-6c54-4096-a728-afe4127f8fa0",
"page_number": 4,
"text": "Screening Risk:"
},
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"x": 181,
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},
"id": "dd39ba91-1688-42f9-9b0b-fe8620066ca1",
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"text": "The Fund may track an index that uses a screen to identify securities based on criteria including, but,"
},
{
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"x": 48,
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},
"id": "90a96b2b-42e9-448a-919f-a6dba9b84015",
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"text": "not limited to environmental, social and governance (ESG) criteria. The screen may be fully or partially designed by the"
},
{
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"x": 48,
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},
"id": "858af7ec-cb5a-4bc4-90d2-058fc02290d2",
"page_number": 4,
"text": "Manager or by a third party provider. There is a risk that errors are made in the screening process. There is an additional risk"
},
{
"block_type": "box",
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"width": 905,
"x": 47,
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},
"id": "b3bc86f3-1e91-4080-8782-9d72f1abae76",
"page_number": 4,
"text": "that a screen provider may amend or discontinue its screening services and/or that the Manager may change the screen or"
},
{
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"x": 47,
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},
"id": "2474e5e3-6fb0-47c8-b0aa-7df88f30f7d2",
"page_number": 4,
"text": "screen provider. In such circumstances, there is no guarantee that a replacement screen provided would result in a similar"
},
{
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"x": 47,
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},
"id": "0c828bf6-0340-481f-816c-a08a09510221",
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"text": "screening process or would be available."
},
{
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},
"id": "35d588d7-2c35-427e-ad1e-851aec3e3005",
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"text": "Please refer to the Prospectus for full details about the risks associated with this Fund."
},
{
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"id": "3e8dadf6-5c5e-473b-8038-f3ffe9cbdd6b",
"page_number": 4,
"text": "State Street AUT Japan Screened Index Equity Fund"
},
{
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"x": 48,
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},
"id": "c0022b8f-6b2d-4d29-9f94-da4a99c708c6",
"page_number": 4,
"text": "Interim Report and Unaudited Financial Statements 2026"
},
{
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"width": 281,
"x": 48,
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},
"id": "86fe0486-9235-4fb9-bbf2-01e96d041279",
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"text": "Manager\u0027s Report (continued)"
},
{
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},
"id": "d8513d3e-b4fd-4f5d-ac92-d10a51c2cd17",
"page_number": 4,
"text": "For the period ended 30th June 2026"
},
{
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},
"id": "b95c92a7-74db-4beb-83e6-de766c7df492",
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"text": "2"
},
{
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},
"id": "27f8fab6-57cb-4508-b921-08bf4ea00f82",
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"text": "Derivatives Usage"
},
{
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"x": 48,
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},
"id": "88c8ec6e-ab49-45cc-a1e2-3a555719b2e9",
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"text": "Derivatives are used in the Fund for efficient portfolio management purposes. The Fund invests in index futures to manage"
},
{
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},
"id": "29633862-7dec-40fc-82f4-073f9a0657d6",
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"text": "client inflows and outflows and to hedge accrued income. At all times the futures exposure is covered entirely by cash or cash"
},
{
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},
"id": "2266d81d-7e2c-4f90-9643-736e592a422e",
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"text": "equivalents."
},
{
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"x": 46,
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},
"id": "22abe120-d593-4a3e-94e9-569c0edffbe3",
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"text": "As at 30th June 2026, the Fund had a total notional exposure to futures of \u00a3408,258.62 (1.59% of the Fund)."
},
{
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"id": "e1b976b3-36d2-4359-861b-2632d4a59b23",
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"text": "Tracking Error"
},
{
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},
"id": "a9504988-39a6-473d-ab93-ea906ef8cdc5",
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"text": "The Tracking Error measures the standard deviation of the relative returns. It is the annualised standard deviation of the"
},
{
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},
"id": "c71104c0-aa6d-4045-b891-58dd219f45c1",
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"text": "returns of a fund minus those of its benchmark (relative returns) and not the standard deviation of each fund\u2019s unique returns."
},
{
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},
"id": "680eec32-cc8b-44bd-8589-02dedf264c8a",
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"text": "The lower the tracking error of a fund, the more the fund resembles its benchmark or the market regarding risk and return"
},
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"text": "characteristics."
},
{
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"id": "28ebb618-ac85-4c4a-bf1f-f0f33112e1eb",
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"text": "The size of the Fund\u2019s tracking error for the one year ended 30th June 2026 was 0.19% which was within the targeted"
},
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"id": "1176135e-8314-49f0-9b41-1097e12db2a0",
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"text": "tolerance."
},
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"id": "6a24b376-542c-43f1-932f-e7a782d8ffc1",
"page_number": 5,
"text": "State Street AUT Japan Screened Index Equity Fund"
},
{
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"width": 505,
"x": 48,
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},
"id": "f70b5e53-6467-4641-b833-1e112af7113a",
"page_number": 5,
"text": "Interim Report and Unaudited Financial Statements 2026"
},
{
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"text": "Manager\u0027s Report (continued)"
},
{
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},
"id": "de7299e3-4dab-433d-8905-ec76cf496958",
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"text": "For the period ended 30th June 2026"
},
{
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"page_number": 5,
"text": "3"
},
{
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"x": 621,
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"text": "Holdings"
},
{
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"x": 724,
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},
"id": "8b9f13e4-abca-4150-aa62-6b00d2454b3b",
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"text": "Market Value"
},
{
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},
"id": "319684b6-f2de-40c6-bb6d-b0e22e8cf007",
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"text": "\u00a3\u0027000"
},
{
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"width": 77,
"x": 873,
"y": 159
},
"id": "e95072b2-8d60-4259-8caf-6472733cde95",
"page_number": 6,
"text": "% of Total"
},
{
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"width": 84,
"x": 867,
"y": 174
},
"id": "eaa12a8c-2af1-4592-9df7-5f98eb21c853",
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"text": "Net Assets"
},
{
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"x": 46,
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},
"id": "7f8ec627-7419-4762-b167-d0f9169a6e5e",
"page_number": 6,
"text": "Automobiles \u0026 Parts \u2013 6.51% (31.12.2025 \u2013 8.65%)"
},
{
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"width": 902,
"x": 46,
"y": 228
},
"id": "ff916415-981f-44ed-b1a5-4681833b6a73",
"page_number": 6,
"text": "Aisin Corp. 2,700 27 0.11"
},
{
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"width": 903,
"x": 48,
"y": 247
},
"id": "1fefeda6-af3a-4206-a667-4c1467454159",
"page_number": 6,
"text": "Bridgestone Corp. 6,100 96 0.37"
},
{
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"width": 903,
"x": 48,
"y": 267
},
"id": "eb039844-53b3-4222-aca6-ff384017b8ed",
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"text": "Denso Corp. 9,700 84 0.33"
},
{
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"width": 904,
"x": 47,
"y": 287
},
"id": "df41744d-c715-455e-b280-62f327cbd711",
"page_number": 6,
"text": "GS Yuasa Corp. 380 11 0.04"
},
{
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"x": 48,
"y": 306
},
"id": "ff841f96-a775-424a-a237-c7e7cb1d46ff",
"page_number": 6,
"text": "Honda Motor Co. Ltd. 20,500 141 0.55"
},
{
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"width": 904,
"x": 47,
"y": 326
},
"id": "27435653-1ee2-478c-9dfe-a71c3ab63e52",
"page_number": 6,
"text": "JTEKT Corp. 800 7 0.03"
},
{
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"width": 903,
"x": 48,
"y": 346
},
"id": "f2f44175-1362-4d50-889a-3cc9e0f3204c",
"page_number": 6,
"text": "Koito Manufacturing Co. Ltd. 600 7 0.03"
},
{
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"x": 48,
"y": 365
},
"id": "b794923a-1356-4c1d-993b-5e862162b829",
"page_number": 6,
"text": "Mazda Motor Corp. 3,400 17 0.07"
},
{
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"width": 902,
"x": 48,
"y": 385
},
"id": "ef9767f0-a39d-436b-aece-4d1dd3b80739",
"page_number": 6,
"text": "Mitsubishi Motors Corp. 3,900 6 0.02"
},
{
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"x": 48,
"y": 405
},
"id": "808c4f3b-d320-4500-8057-c3c1bbe48c02",
"page_number": 6,
"text": "NHK Spring Co. Ltd. 800 14 0.06"
},
{
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"width": 71,
"x": 48,
"y": 424
},
"id": "83d7acc9-7b1a-4f9b-a553-27174d0aee98",
"page_number": 6,
"text": "Nifco, Inc."
},
{
...