State Street Global Advisors Gross Roll up Unit Trust

Annual Report and Audited Financial Statements For the year ended 30 September 2020

State Street Global Advisors Gross Roll Up Unit Trust State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020

Contents Page Manager and Other Information 1

Background Information 2

Investment Manager’s Report 5

Statement of Manager’s Responsibilities 11

Report of the Depositary to the Unitholders 13

Independent Auditors’ Report to the Unitholders of State Street Global Advisors Gross Roll Up Unit Trust 14

Statement of Comprehensive Income 17

Statement of Financial Position 22

Statement of Changes in Equity 27

Notes to the Financial Statements 32

Schedule of Investments 53

Significant Portfolio Changes (Unaudited) 96

Appendix 1 Remuneration Information (Unaudited) 102 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020

Manager and Other Information

Manager Sub Investment Manager State Street Global Advisors Fund Management Limited State Street Global Advisors Limited 78 Sir John Rogerson’s Quay 20 Churchill Place Dublin 2 London Ireland E14 5HJ United Kingdom Directors of the Manager* Eric Linnane (Irish) Depositary Ann Prendergast (Irish) Northern Trust Fiduciary Services (Ireland) Limited Nigel Wightman (British)** Georges Court Bryan Greener (British) 54 – 62 Townsend Street Scott Sanderson (British) Dublin 2 Margaret Cullen (Irish)** Ireland

Investment Manager and Global Distributor Administrator, Registrar and Transfer Agent State Street Global Advisors Ireland Limited Northern Trust International Fund Administration 78 Sir John Rogerson’s Quay Services (Ireland) Limited Dublin 2 Georges Court Ireland 54 – 62 Townsend Street Dublin 2 Independent Auditors Ireland Deloitte Ireland LLP Chartered Accountants and Statutory Audit Firm Legal Advisers Deloitte & Touche House Matheson Earlsfort Terrace 70 Sir John Rogerson’s Quay Dublin 2 Dublin 2 Ireland Ireland

* All Directors of the Manager serve in a non-executive capacity.

** Independent Director.

State Street Global Advisors Gross Roll Up Unit Trust 1 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020

Background Information

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 herein.

Organisation

State Street Global Advisors Gross Roll Up Unit Trust (the “Trust”), an open-ended unit trust, was created by a Trust Deed dated 17 October 2003. It is authorised by the Central Bank of Ireland (the “Central Bank”), pursuant to the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011 (as amended) (the “UCITS Regulations”) and the Central Bank (Supervision Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective Investment in Transferable Securities) regulations 2019 (the “Central Bank UCITS Regulations”).

The Trust is structured as an umbrella fund so that different Sub-Funds may be established with the prior approval of the Central Bank. In addition, each Sub-Fund may have more than one unit class. The assets of each Sub-Fund will be separate from one another and will be invested in accordance with the investment objectives and policies applicable to each Sub-Fund.

The Trust currently comprises of five Sub-Funds (each a ‘Sub-Fund’ or the ‘Sub-Funds’):

Sub-Fund Launch Date SSGA GRU Euro Index Equity Fund 10 December 2003 SSGA GRU World Ex Euro Index Equity Fund 10 December 2003 SSGA GRU EMU Bond Index Fund 10 December 2003 SSGA GRU Euro Cash Fund 10 December 2003 SSGA GRU Euribor Plus Fund 18 July 2014

The base currency of these five Sub-Funds is the Euro.

Investment Objective

SSGA GRU Euro Index Equity Fund

The investment objective of the Sub-Fund is to track as closely as reasonably possible the performance of the Benchmark Index, the FTSE Developed Eurozone Index (the “Index”). The Index is a market capitalisation-weighted benchmark of equity securities listed or traded on regulated markets in the Eurozone, comprising approximately 315 stocks which are weighted by the total market capitalisation of the countries comprised in the Index, and by the market capitalisation of stocks within individual countries. The Index is priced daily and is available on Bloomberg, Reuters and other principal information providers. In order to achieve this objective the Sub-Fund will invest primarily in equity securities in the Index, which are traded on regulated markets, mainly in Europe, subject to the restrictions set forth in the Prospectus.

SSGA GRU World Ex Euro Index Equity Fund

The investment objective of the Sub-Fund is to track as closely as reasonably possible the performance of the Benchmark Index, the FTSE Developed ex Eurozone Index (the “Index”). The Index is comprised of approximately 1,865 stocks which are weighted by the total market capitalisation of stocks of the countries comprised in the Index and by the market capitalisation within individual countries. The Index is priced daily and is available on Bloomberg, Reuters and other principal information providers. In order to achieve this objective, the Sub-Fund will invest primarily in equity securities in the Index, which are traded on regulated markets, mainly on a global basis, subject to the restrictions set forth in the Prospectus.

SSGA GRU EMU Bond Index Fund

The investment objective of the Sub-Fund is to track as closely as reasonably possible the performance of the FTSE EMU Government Bond Index 1-3 Years (the “Index”). The Index tracks the performance of Euro denominated sovereign debt issued by countries that are members of the European Monetary Union (“EMU”). The Index consists of qualifying securities with a maturity greater than or equal to 1 year and less than 3 years. The Index is market capitalisation weighted and is rebalanced once a month. The Index is priced daily and is available on Bloomberg, Reuters and other principal information providers. In order to seek to achieve this investment objective, the Sub-Fund will invest, using sampling methodology, primarily in the securities in the Index, at all times in accordance with the UCITS Regulations and the investment restrictions set out in the Prospectus.

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Background Information (Continued)

Investment Objective (continued)

SSGA GRU Euro Cash Fund

The investment objectives of the Sub-Fund are to maintain a high level of liquidity, preserve capital and stability of principal and, consistent with those objectives, earn current income. The Sub-Fund will invest in a wide range of transferable securities including deposits, certificates of deposit, floating rate notes, commercial paper and bonds with a diversified spread of high quality financial institutions, all of which will be traded on the regulated markets. All investments will, at the time of purchase, have received an investment grade rating from Moody’s Investors Services and from Standard & Poors respectively. If such investments held by the Sub-Fund are re-rated as below investment grade, they will be sold within six months of such re-rating.

SSGA GRU Euribor Plus Fund

The investment objective of the Sub-Fund is to achieve enhanced cash returns in excess of the ICE BofA Euro Currency 3-Month Deposit Offered Rate Constant Maturity Index (the “Index”) by using a fundamental macro and credit research approach. The Index is based on the assumed purchase of a hypothetic instrument having three months to maturity with a coupon equal to the closing quote for the Index. That issue is sold the following day (priced at a yield equal to the current day closing of the Index) and is rolled into a new three month instrument. The Index will therefore always have a constant maturity equal to exactly three months.

Impact of COVID-19

An outbreak of a respiratory disease caused by a novel coronavirus (known as COVID-19) first detected in China in December 2019 has resulted in a global pandemic and major disruptions to economies and markets around the world. Beginning in January 2020, global financial markets have experienced and may continue to experience significant volatility resulting from the spread of coronavirus COVID-19. Trading in many instruments has been disrupted along with liquidity for many instruments being greatly reduced for periods of time. Interest rates in major currencies are very low and in some cases yields are negative. Governments and central banks have taken extraordinary and unprecedented actions to support local, global economies and the financial markets. The impact of these measures, and whether they will be effective to mitigate the economic and market disruption, will not be known for some time. The outbreak of coronavirus COVID-19 has also resulted in travel and border restrictions, quarantines, supply chain disruptions, lower consumer demand and general market uncertainty.

Whilst restrictions have now been lifted in some cases, local lockdowns may continue to be deployed as necessary and the emergence of significant further outbreaks or a “second wave” are being seen. The pandemic and the measures taken to tackle COVID-19 continue to affect economies and equity markets globally, all of which may negatively impact a Sub-Fund’s performance.

In addition, the outbreak of coronavirus COVID-19, and measures taken to mitigate its effects, could result in disruptions to the services provided to the Sub-Funds by their service providers.

The Directors of the Manager and the Trust's delegates are closely monitoring the developments and the advice relating to the spread of coronavirus COVID-19. State Street Corporation has a robust global business continuity programme that prioritises the health and safety of employees. The continuity programme continues to evolve from supporting staff in work from home arrangements through a comprehensive programme to plan for the return of staff to the office environment.

Potential Implication of Brexit

Pursuant to the European Referendum Act 2015, a referendum on the United Kingdom’s membership of the EU was held on 23 June 2016 with the majority voting to leave the EU. On 29 March 2017, the UK Government exercised its right under Article 50 of the Treaty of the European Union (“Article 50”) to leave the EU. The UK formally left the EU on 31 January 2020 with a transition period lasting until 31 December 2020 (the “Transition Period”) during which EU law will continue to apply to the UK as if it were a member state. Arrangements are not yet in place to govern the relationship between the UK and the remaining member states of the EU at the end of the transition period.

The Sub-Investment Manager’s Brexit plans have assumed that there is no trade deal or mutual equivalence for financial services agreed at the end of the Transition Period and it believes that it is well positioned to continue to operate its business and service its clients in such circumstances. While the Sub-Investment Manager has conducted a detailed analysis and assumed the above for its planning purposes no assurance can be given that such matters could not adversely affect the Trust however the Sub- Investment Manager continues to monitor the status of the trade negotiations and changes to the financial services regimes in the EU to ensure it takes appropriate action as circumstances develop.

Due to the current status of the UK an EU trade negotiations there is a risk that the UK will leave the EU without any trade deal at the end of the Transition Period on 31 December 2020.

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Background Information (Continued)

Potential Implication of Brexit (continued)

Whilst the medium to long-term consequences of the decision to leave the EU remain uncertain, there could be short-term volatility around the UK failing to secure a trade deal by the end of the Transition Period which could have a negative impact on general economic conditions in the UK and business and consumer confidence in the UK, which may in turn have a negative impact elsewhere in the EU and more widely. The longer-term consequences may be affected by the terms of any future arrangements the UK has with the remaining member states of the EU once agreed. Among other things, the UK’s decision to leave the EU could lead to instability in the foreign exchange markets, including volatility in the value of the pound sterling or the euro. Deteriorating business, consumer or investor confidence could lead to (i) reduced levels of business activity; (ii) higher levels of default rates and impairment; and (iii) mark to market losses in trading portfolios resulting from changes in credit ratings, share prices and solvency of counterparties.

In order to mitigate the potential impact of Brexit on the Trust, it appointed State Street Global Advisors Ireland Limited as Global Distributor to facilitate distribution into the EU directly and through the branches of State Street Global Advisors Ireland Limited. As the Third Country provisions of UCITS permit the delegation of portfolio management to third countries (subject to conditions including the existence of a regulatory cooperation agreement between the Financial Conduct Authority and the Central Bank of Ireland) State Street Global Advisors Limited will continue to provide portfolio management services to the Trust at the end of the Transition Period. Sub-Funds that are currently registered for distribution in the UK have been registered under the UK’s Temporary Permissions Regime to ensure continued post-Brexit access to those funds for UK investors.

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Investment Manager’s Report

Market Review

Fixed Income Review

During the 12-month period to 30 September 2020 (the “Reporting Period”), macroeconomic data indicators were mixed. The second quarter of the of the Reporting Period (Q1 2020) witnessed the pandemic and consequent constrain measures in the form of social distancing, temporary lock-downs and quarantines inflicting significant harm on the global economy. Italian Bonds underperformed amid sell-offs due to the coronavirus COVID-19 crisis. A decline in operating conditions was driven by a contraction in output as the Eurozone Composite Output PMI plummeted from 51.60 to 29.70, a rate of decrease surpassing that at the height of the financial crisis. Risk-on sentiment prevailed throughout the beginning of the month, with investors shifting to core yields. Political challenges became apparent in March 2020. Leaders came to loggerheads over “Corona” bonds, a joint insurance bond aimed at spreading cost burdens across borders to lower funding costs.

However, with the rate of new daily coronavirus COVID-19 cases slowing significantly across the bloc, the Eurozone transitioned from full lockdown to a reopening phase but lingering pandemic effects kept economic activity suppressed in the second quarter of the year. Economic activity recovered quickly in the early stages of the third quarter yet coronavirus COVID-19 headwinds and job shedding fears contributed to a staggered recovery. Coronavirus spikes were dealt with through localised methods in order to prevent full economy shutdowns. The IMF’s most recent World Economic Outlook reported a 2020 real GDP change of -8.00% worldwide and in Europe a downfall of -7.90% as fears surrounding a resurgence of coronavirus COVID-19 remain. Policymakers continue a proactive stance to minimize “second wave” fears with innovative approaches as pockets reemerged in Germany and other nations. Germany, Portugal and Italy have all enforced “smart” lockdowns, shutting down smaller regions in response to new outbreaks as opposed to bringing their entire countries to a halt.

In light of this, senior European officials are supporting the recovery with a €750 billion recovery fund and Euro-area governments said they have no plans to rein in their soaring budget deficits. The rate of improvement in economic data lost momentum as localized restrictions to control new coronavirus COVID-19 cases choked businesses. Composite PMI reflected small gains from the second quarter of the year as the service sector dragged. Service centered economies continued to suffer from social distancing measures with the September 2020 Service PMI reported 48.00, below second quarter’s final reading of 48.30. Regional divergences were amplified by a significant rise in infections, most evident in Spain and France with Spain’s PMI falling to a four month low of 42.40. However manufacturing markedly improved as exports increased for the third successive month. Germany led this rally, expanding at its fastest rate in 2 years with the PMI reflecting an increase to 53.70. A strengthening Euro could be a threat to exporters as it continues to increase against other major currencies, rising 10.00% against the dollar.

Despite some signs of a re-escalation of the COVID-19, bond markets continued to recover from the lows reached in late March and April 2020. A large part of this was influenced by central bank policy. The European Central Bank (the “ECB”) announced a €600bn increase in its Pandemic Emergency Purchase Program (the “PEPP”) which now totals €1.35tn. At its September 2020 policy meeting the ECB additionally said it would maintain purchases under the €1.35 trillion PEPP through June 2021 including monthly asset purchases at €20 billion. This supported Euro bond performance, enabling government bonds from the European periphery (Spain, Italy, Greece and Portugal) to rally. Notably, Italy’s 10-year bond yield premium over Germany has fallen to near pre-pandemic levels, as 10 year yields fell to 0.66% from 2.43% during the March 2020 peak. German and French 10y yields remained in negative territory, -0.52% and -0.24%, respectively. Greece and Spain 10y yields also decreased from 3.80% and 1.22% during March 2020 peak to 1.01% and 0.25% respectively at the end of September 2020.

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Investment Manager’s Report (Continued)

Equity Review

Over the Reporting Period, global equity markets, as measured by the FTSE All-World Index, were up 10.87%. During the Reporting Period, global equities experienced stable growth until the spread of the coronavirus COVID-19 pandemic caused an unprecedented shock to the global financial markets. As the worldwide spread of the pandemic led to social distancing measures, temporary lock-downs, quarantines and mobility restriction significant harm was caused to the global economy. The drop in oil prices globally, during March 2020, due to a breakdown in the OPEC negotiations further catalyzed the coronavirus COVID-19 led aggressive sell-off seen by equity markets and resulted in high levels of volatility. Economic growth across the globe rebounded strongly in the third quarter amid relaxation in coronavirus COVID-19 related lockdowns, fiscal and monetary policy support and pent up demand release which commenced in the later part of second quarter. Equity markets rallied in July and August 2020 on the back of positive economic and earnings data but lost their momentum in September 2020 amidst resurgence in coronavirus COVID-19 cases and concerns around high valuations. Geo-political concerns related to the US election and worsening US- China relations remained key risks to recovery.

European equities excluding the UK gained 5.30% over the Reporting Period. Eurozone business had a sharp slowdown at the beginning of the Reporting Period but confidence returned owing to Brexit developments and European currencies strengthening as the US dollar weakened. However, as soon as a number of European countries started to report their first confirmed cases of coronavirus COVID-19, markets started to underperform but briefly stabilized in early March 2020 amidst encouraging statements from central bankers. As a policy response to the pandemic, the ECB launched a PEPP to buy public and private sector securities. Positive sentiment prevailed in the European equity markets in the second quarter as the spread of the virus appeared to calm across the region, and many countries began lifting lockdown restrictions. Stock markets were further supported by news of the EU’s plans for post- coronavirus COVID-19 recovery. However, as the number of coronavirus COVID-19 cases increased once again in the third quarter and countries imposed restrictions on travel and other activities, European equities lagged behind global markets. Disappointing economic data pushed equities lower. In July 2020, the European Union (the “EU”) leaders eventually agreed on a €750 billion recovery plan to cushion the economic fallout from the coronavirus COVID-19 pandemic. Germany and France announced further measures to support economic recovery. The ECB left interest rates unchanged and reiterated the bank’s willingness to adjust policy tools to accomplish inflation targeting. On the economic front, the Euro area experienced uneven growth and had few positive surprises, given the rising infection rate. Italy and Spain, which depend much on tourism and hospitality, lagged behind other countries such as Germany and France. Continued uncertainty over Brexit remained a risk to the recovery momentum in the United Kingdom and Europe. The downturn in the European economy eased after June 2020, as Flash purchasing manager’s index (PMI) data — came in at 53.70 in September 2020, exceeding the 50 mark separating growth from contraction. It had hit a record-low of 13.60 in April 2020. Eurozone annual inflation turned negative, at -0.20% in August 2020 compared to 0.40% in July 2020.

UK equities fell by 14.13% over the Reporting Period as ongoing uncertainty surrounding the timing of a Brexit bill after an extension to the Brexit deadline was granted. Boris Johnson and his Conservative Party emerged victorious in mid-December elections which enabled UK stocks and the GBP to rise. The UK formally exited the European Union and entered into a transition period. As a part of the policy response to the pandemic, the UK announced a coordinated response with the Bank of England reducing the bank rate by 50 basis points (among other measures) and the UK government put forth a budget with an additional £30 billion in fiscal stimulus. The UK markets saw a rebound in April 2020 on the back of unprecedented fiscal and monetary support early in the quarter. UK equities had their strongest three-month performance during the second quarter as massive economic stimulus actions and signs that coronavirus COVID-19 outbreak was easing drew buyers into equity markets. According to the Office for National Statistics, the UK economy collapsed by more than 20.00% in April 2020 alone (the first full month of lockdown), which was the sharpest contraction since 1979. As per the Bank of England, the coronavirus COVID-19 pandemic has plunged Britain into its worst recession in 100 years, with the economy on track to shrink by 9.50% this year. The government began to ease lockdown measures and a phased reopening of various industry sectors was confirmed on 24 May 2020. In June 2020, the UK moved to stage 2, as outdoor retail and primary schools with other non-essential retailers begun to reopen. The Bank of England added another £100 billion to its quantitative easing program in a bid to shore up the UK economy amid the fallout from the coronavirus COVID-19 crisis. The UK economy at the end of the Reporting Period recorded its fourth consecutive month of growth, as Flash purchasing manager’s index (PMI) data — came in at 54.10 in September 2020 which was lower than the August 2020 mark of 55.20 but still exceeded the 50 mark separating growth from contraction. It had hit a record-low of 32.60 in April 2020.

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Investment Manager’s Report (Continued)

Equity Review (continued)

Outside Europe, US equities returned 15.15% over the Reporting Period as positive sentiment over an apparent truce between US and China trade conflict, marked the beginning of the Reporting Period. The optimism was, however, derailed in the latter part amidst concerns surrounding the spreading coronavirus COVID-19. In fourth quarter of 2019, the signing of a Phase One deal helped in building momentum for US equities which continued during the beginning of 2020. However, rising geopolitical conflict between the United States and Iran temporarily caused US stocks to falter, but some relatively upbeat information on fourth quarter earnings alongside improved macro data helped lift US equities to new highs. While continued positive economic news and earnings information continued, ultimately coronavirus COVID-19 concerns started to dictate the direction of US stock markets. The breakdown of negotiations between OPEC and Russia on oil production combined with escalating concerns over the spread of the virus, the beginning of social distancing and worries over the economic fallout, sent markets crashing. On the policy front, the Federal Reserve conducted an emergency 0.50% rate cut early in March 2020 but implemented a second emergency rate cut and also announced plans to restart asset purchases in the middle of March 2020. US markets were able to recover some of the losses as the massive spending bill (CARES Act) was ultimately passed and signed into law at the end of the Reporting Period. US equities rebounded in April 2020 with a remarkable rally and registered their best quarter in more than 20 years. The pace of the recovery stood in contrast to the gloomy economic and political backdrop. Economic indicators had collapsed as the US lost over 20 million jobs in April 2020 with historic declines in retail sales, manufacturing and housing. However, as economies started to reopen, economic indicators showed signs of rebound. US labor market, retail sales and manufacturing data rebounded strongly in May 2020 and June 2020. The US economy added 4.80 million jobs in June 2020. US equities continued to gain in the third quarter. Despite a period of volatility that damped momentum in September 2020, the S&P 500 added 8.93%, in USD terms, over the last three months of the Reporting Period. Better than expected economic data and further progress toward a coronavirus COVID-19 vaccine propelled domestic stocks. Whilst, tensions between the U.S. and China escalated, this was overshadowed by improving economic statistics. Economic recovery continued throughout the quarter with resurgence in manufacturing, housing and consumption and the unemployment rate dropping to 8.40%. Meanwhile, the Federal Reserve approved a shift in how it sets interest rates in the third quarter, signaling it would leave them low for years. The US economy contracted by 9.00% as per annual GDP recorded at the end of second quarter 2020.

Asia Pacific markets returned 6.90% during the Reporting Period with varied results on a country-by-country basis based on the severity of the impact of coronavirus COVID-19.Taiwan was the strongest performer while Thailand was the weakest performer in the region. During the fourth quarter of 2019, markets climbed over a constructive global backdrop and a weak dollar environment that drove appreciation in most of the region’s currencies. The Chinese market was strengthened by the progress on Phase One agreement. Stock markets in the Asia Pacific region were slow to rally at the beginning of 2020, but they also fell somewhat less sharply amidst the coronavirus COVID-19 outbreak. Although China was the epicenter of the virus, its containment efforts proved successful in slowing the spread of coronavirus COVID-19 infection in China and a variety of measures announced to provide liquidity and promote financial stability helped to improve performance. Japan also began the preparation of its first fiscal stimulus since 2016 to help offset any drag due to the VAT hike introduced during the Reporting Period. Asia Pacific markets rebounded and posted strong gains in the second quarter supported by central banks stimuli, falling coronavirus COVID-19 cases and the gradual re-opening of economies. China’s macro data confirmed the news flow, led by domestic demand recovery in infrastructure, real estate and auto sectors, complemented by a normalization in production activity. China's exports were also resilient in the second quarter. China’s economic recovery continued in the third quarter with steady growth in manufacturing and services. Retail sales showed growth and decline in fixed assets investments narrowed. Japan announced a second supplementary budget and the Bank of Japan (BOJ) introduced new measures to bolster lending to small and medium-sized enterprises. While Japan managed the coronavirus COVID-19 outbreak better than others throughout the Reporting Period, it has not been unscathed. The Tokyo Metropolitan Government lifted its coronavirus COVID-19 alert in early June and the focus had been on a resumption of economic activity. Japanese manufacturing was under pressure as industrial production remained weak. The economic consequences of the virus were prominent as retail sales fell in double digits. Services begun to recover following substantial contractions in early Q2. The Bank of Japan decided to maintain the status quo in all key monetary policies, although the special program for supporting the financing of companies was increased by ¥35 trillion to just over ¥110 trillion. Manufacturing registered sustained recovery and retail sales bounced in the second half of the third quarter.

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Investment Manager’s Report (Continued)

Performance and Strategy Review:

Gross of fees performance (%, for the year ended 30 September 2020) Sub-Fund Benchmark (“Index”) Sub-Fund Benchmark Performance vs Return % Return % benchmark % SSGA GRU Euro Index Equity FTSE Developed -6.77% -7.18% 0.41% Fund Eurozone Index SSGA GRU World Ex Euro FTSE Developed ex 4.17% 3.86% 0.31% Index Equity Fund Eurozone Index SSGA GRU EMU Bond Index FTSE EMU Government -0.42% -0.42% 0.00% Fund Bond Index 1 – 3 Years SSGA GRU Euro Cash Fund 7 Day EUR LIBID -0.43% -0.67% 0.24% SSGA GRU Euribor Plus Fund ICE BofA Euro Currency -0.33% -0.51% 0.17% 3-Month Deposit Offered Rate Constant Maturity Index

Returns are for the period from 1 October 2019 to 30 September 2020 and are in Euro terms.

SSGA GRU Euro Index Equity Fund

The SSGA GRU Euro Index Equity Fund’s (the “Sub-Fund”) benchmark is the FTSE Developed Eurozone Index (the “Index”). During the Reporting Period the Sub-Fund recorded a gross return of -6.77 % (net return -6.82 %) and the index returned -7.18 %.

Prior year financial statements showed performance data net of fees. The correct gross return for the year ended 30 September 2019 was 4.49%.

SSGA GRU World Ex Euro Index Equity Fund

The SSGA GRU World Ex Euro Index Equity Fund’s (the “Sub-Fund”) benchmark is the FTSE Developed Ex Eurozone Index (the “Index”). During the Reporting Period, the Sub-Fund recorded a gross return of 4.17% (net return 4.12%) and the index returned 3.86%.

Prior year financial statements showed performance data net of fees. The correct gross return for the year ended 30 September 2019 was 8.82%.

SSGA GRU EMU Bond Index Fund

The SSGA GRU EMU Bond Index Fund’s (the “Sub-Fund”) benchmark is the FTSE EMU Government Bond Index 1-3 Years (the “Index”). During the Reporting Period, the Sub-Fund recorded a gross return of -0.42 % (net return -0.47 %) and the index returned -0.42 %.

Prior year financial statements showed performance data net of fees. The correct gross return for the year ended 30 September 2019 was 1.17%.

SSGA GRU Euro Cash Fund

The SSGA GRU Euro Cash Fund’s (the “Sub-Fund”) benchmark is the 7 Day EUR LIBID (the “Index”).

During the Reporting Period the Sub-Fund recorded a gross return of -0.43 % (net return -0.49 %) and the index returned -0.67 %.

Prior year financial statements showed performance data net of fees. The correct gross return for the year ended 30 September 2019 was -0.37 %.

Sub-Fund balances decreased over the period from €117.525 million at the beginning of October 2019, to €84.018 million at the end of September 2020, with assets under management (AUM) averaging €83.336 million over the Reporting Period. The Sub-Fund’s weighted average maturity (WAM), which measures its interest-rate sensitivity, averaged 39 days and the weighted average life (WAL), which reflects the credit risk of the Sub-Fund, averaged 44 days.

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Investment Manager’s Report (Continued)

SSGA GRU Euro Cash Fund (continued)

The Sub-Fund’s liquidity was covered with a combination of government and agency holdings, along with overnight bank deposits. Bank commercial paper and certificates of deposit remained the major holdings, while asset-backed commercial paper issuance provided yield enhancement. We continued to focus on top-tier corporates and financials, typically targeted between one-to-three- month maturity tenors and selective issuers out to six months, while managing a diversified portfolio of top-tier issuers.

As we entered March 2020, it was very clear that the spread of the coronavirus COVID-19 was the focus of the world and investments were maintained in the very shortest duration, to maintain higher liquidity ratios considering the crisis. By the end of the second quarter, with encouraging signs of recovery and confidence, duration was extended. Quarter and year-end periods were challenging but manageable, as collateral givers and bank cash deposit takers reduced their requirements due to balance sheet contractions and regulatory requirements. As always, liquidity and capital preservation remained the key drivers for the portfolio, with yield a distant third. The Sub-Fund held no derivatives over the Reporting Period.

The top positive contributors to the Sub-Fund’s performance during the Reporting Period were:

• The commitment from our direct relationships/issuers to provide short-dated products to meet our weekly liquidity buffers and support the Sub-Fund during key reporting periods;

• Agency and quasi-government issuers provided liquidity and attractive yields compared to Euro Treasury bills, while corporate and asset-backed commercial paper issuers continued to provide diversification, attractive yields and shorter-duration maturities compared to financial institutions;

• Global financial markets were less volatile in the second quarter of 2020, with European money markets showing signs of recovery as investor and market confidence returned.

The top negative contributors to the Sub-Fund’s performance during the Reporting Period were:

• Deterioration in global sentiment and economic data, political and trade tensions were the negative influences during the Reporting Period. Although, financial markets showed positive signs of recovery, the control of the coronavirus COVID-19 has not yet been contained, with many countries seeing a resurge in new cases as they have attempted to lift their lockdowns;

• Excess liquidity in the markets deposited with the ECB continued to increase over the Reporting Period, with a substantial increase seen in June 2020, coinciding with the settlement of the ECB’s fourth Targeted Long-Term Repo Operation III and again with the settlement of the fifth Targeted Long-Term repo at the end of the September 2020. This injection of cash resulted in bank deposit levels trading lower than the ECB deposit rate. This in turn resulted in rates moving lower with issuer responding and offering lower returns;

• Credit deterioration and concerns of rating agency downgrades, with many issuers being on negative outlook, reducing our investment universe and duration options;

• Reduced supply of corporate issuers and less secondary market inventory, with dealers less willing to hold inventory.

SSGA GRU Euribor Plus Fund

The SSGA GRU Euribor Plus Fund’s (the “Sub-Fund”) benchmark is the ICE BofA Euro Currency 3-Month Deposit Offered Rate Constant Maturity Index (the “Index”).

For the Reporting Period the return gross of fees for the Sub-Fund was -0.33 % (net return -0.38 %) and the Index return was -0.51 %.

Prior year financial statements showed performance data net of fees. The correct gross return for the year ended 30 September 2019 was -0.18%.

Assets under management (“AUM”) increased over the Reporting Period, from €870.406 million at the start of October 2019, to €1.006 billion at the end of September 2020. Most of this increase were the result of clients deleveraging from risker strategies during the increased global market risk in March 2020 as the coronavirus COVID-19 pandemic took hold. Balances throughout the remaining periods remained more stable. The Sub-Fund’s weighted average maturity (WAM), which measures its interest-rate sensitivity, averaged 58 days and the weighted average life (WAL), which reflects the credit risk of the Sub-Fund, averaged 141 days over the Reporting Period. Both are below maximum duration of 360-day WAM and 720-day WAL, due to wider opportunity in availability and yield for mid-duration fixed rate (6-12-month maturity) rather than longer duration fixed rate securities (12-24-month maturity). Lack of opportunity from both a yield and issuance perspective for floating rate note securities was the main contributor to the fall in WAL as these securities are generally of a longer maturity profile of around two-years.

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Investment Manager’s Report (Continued)

SSGA GRU Euribor Plus Fund (continued)

The first quarter of the Reporting Period saw market yields close to the deposit yield of -0.50% and relevant Euribor fixings along the curve but during the second quarter of the Reporting Period, Euro yields turned positive or close to zero in many instances as stressed conditions took over. As markets normalized during the latter part of the Reporting Period, yields started to move back in-line with Euribor fixings, and the yields close to zero seen in previous quarters were now a thing of the past. Euro commercial paper, both unsecured and asset-backed, mostly within a six/twelve-month maturity, remained the most active investment for the Sub-Fund over the Reporting Period providing more liquidity and yield opportunities than could be found further along the curve. The Sub-Fund’s credit profile remained high.

The top positive contributors to the Sub-Fund’s performance were:

• Short term maturity profile protecting the liquidity and credit profile of the Sub-Fund.

• Asset Backed commercial paper that contributes additional yield over securities of same maturity profile whilst adding diversification of credit.

• Yields for many very short- term credits moving out of negative territory between months March to June 2020, which resulted in positive performance against the benchmark.

The top negative contributors to the Sub-Fund’s performance were:

• Lack of opportunity / availability for longer term bonds that can add positive performance.

• Stressed markets saw increased credit risk that had a negative effect on pricing for Sub-Fnd existing holdings.

State Street Global Advisors Ireland Limited December 2020

State Street Global Advisors Gross Roll Up Unit Trust 10 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020

Statement of Manager’s Responsibilities

Statement of Responsibilities of the Manager

The Manager of State Street Global Advisors Gross Roll Up Unit Trust (the "Trust") is required by the Unit Trusts Act, 1990 and the Trust Deed to prepare financial statements for each financial year which give a true and fair view of the state of affairs of the Trust and of the profit or loss of the Trust for that period. In preparing these financial statements, the Manager is required to:

• select suitable accounting policies and then apply them consistently;

• make judgements and estimates that are reasonable and prudent; and

• prepare the financial statements on the going concern basis unless it is inappropriate to presume this.

The Manager is responsible for keeping proper books of account, which disclose, with reasonable accuracy at any time, the financial position of the Trust and to enable them to ensure that the financial statements are prepared in accordance with Financial Reporting Standard “FRS 102” the financial reporting standard applicable in the UK and the Republic of Ireland and that they comply with Irish Statute comprising of the Unit Trusts Act, 1990, and with the Trust Deed. The Manager is also responsible with respect to its duties under the Unit Trusts Act, 1990, to take reasonable steps for the prevention and detection of fraud and other irregularities. Northern Trust International Fund Administration Services (Ireland) Limited acts as Administrator to the Trust and the books and records are maintained at Georges Court, 54 - 62 Townsend Street, Dublin 2, Ireland.

The assets of the Trust have been entrusted to Northern Trust Fiduciary Services (Ireland) Limited (“the Depositary”) for safe keeping. In carrying out this duty, the Depositary has delegated custody of the Trust's assets to Northern Trust Fiduciary Services (Ireland) Limited.

Transactions with Connected and Related Parties

Under the Central Bank of Ireland requirements, any transaction carried out with the Trust by a management company, general partner, depositary, manager, investment manager or by delegates or group companies of these (“connected parties”) must be carried out as if negotiated at arm’s length. Transactions must be in the best interests of the unitholders.

The Directors of the Manager are satisfied that there are arrangements (evidenced by written procedures) in place to ensure that this requirement is applied to transactions with connected parties, and the Directors of the Manager are satisfied that transactions with connected parties during the financial year complied with the requirement.

Conflicts of Interest Statement

The Manager, State Street Global Advisors Ireland Limited (the “Investment Manager”), Northern Trust International Fund Administration Services (Ireland) Limited (the “Administrator”) and Northern Trust Fiduciary Services (Ireland) Limited (the “Depositary”) and their respective affiliates, officers, unitholders, employees and agents (collectively the "Parties") are or may be involved in other financial, investment and professional activities which may on occasion cause a conflict of interest with the management of the Trust and/or their respective roles with respect to the Trust. These activities may include managing or advising other funds (including other collective investment schemes), purchases and sales of securities, banking and investment management services, brokerage services, valuation of unlisted securities (in circumstances in which fees payable to the entity valuing such securities may increase as the value of assets increases) and serving as Directors, officers, advisers or agents of other funds or companies, including funds or companies in which the Trust may invest. In particular, the Manager and other companies within the group may be involved in advising or managing other investment funds (including other collective investment schemes) which have similar or overlapping investment objectives to or with the Trust or Funds. Each of the Parties will ensure that the performance of their respective duties will not be impaired by any such involvement they may have and that any conflicts which may arise will be resolved fairly and in the best interests of unitholders.

State Street Global Advisors Gross Roll Up Unit Trust 11 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020

Statement of Manager’s Responsibilities (Continued)

Corporate Governance Code

A voluntary corporate governance code applicable to Irish domiciled collective investment schemes was issued by the Irish Funds (the “IF”) in December 2011 (“the IF Code”). It operates on a "comply or explain" basis so that, where those charged with governance decide not to comply with any provision of the code, the reasons for non-compliance should be set out in its report or on its website. The Manager resolved to adopt the IF Code and all elements have been complied with.

Manager’s Statement

The State Street Gross Roll Up Unit Trust financial statements were approved by the Directors of the Manager.

On behalf of the board of the Manager:

Director: ______Director: ______

Date: 18 December 2020

State Street Global Advisors Gross Roll Up Unit Trust 12 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020

Report of the Depositary to the Unitholders

30 September 2020

In accordance with our Depositary obligation as provided for under the Regulations, we have enquired into the conduct of the management company of the Trust for the Annual Accounting Period and we hereby report thereon to the unitholders of the Trust

Opinion

in accordance with the limitations imposed on the investment and borrowing powers of the Trust by the constitutional

For and on behalf of

Georges Court

Dublin 2 Ireland

State Street Global Advisors Gross Roll Up Unit Trust 13

Deloitte Ireland LLP Chartered Accountants & Statutory Audit Firm

INDEPENDENT AUDITOR’S REPORT TO THE UNITHOLDERS OF STATE STREET GLOBAL ADVISORS GROSS ROLL UP UNIT TRUST

Report on the audit of the financial statements

Opinion on the financial statements of State Street Global Advisors Gross Roll Up Unit Trust (the ‘Trust’)

In our opinion the Trust’s financial statements:  give a true and fair view of the assets, liabilities and financial position of the Trust as the year ended 30 September 2020 and of the result for the financial year then ended; and  have been properly prepared in accordance with the relevant financial reporting framework, the applicable Regulations and the provisions of the Trust Deed.

The financial statements we have audited comprise:  the Statement of Comprehensive Income;  the Statement of Financial Position;  the Statement of Changes in Equity; and  the related notes 1 to 18, including a summary of significant accounting policies as set out in note 1.

The relevant financial reporting framework that has been applied in their preparation is FRS 102, the Financial Reporting Standard applicable in the UK and Republic of Ireland issued by the Financial Reporting Council (“the relevant financial reporting framework”).

The applicable regulations that have been applied in their preparation is the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations, 2011 and Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective Investment in Transferable Securities) Regulations, 2019 (“the UCITS Regulations”).

Basis for opinion We conducted our audit in accordance with International Standards on Auditing (Ireland) (ISAs (Ireland)) and applicable law. Our responsibilities under those standards are described below in the “Auditor's responsibilities for the audit of the financial statements” section of our report.

We are independent of the Trust in accordance with the ethical requirements that are relevant to our audit of the financial statements in Ireland, including the Ethical Standard issued by the Irish Auditing and Accounting Supervisory Authority, and we have fulfilled our other ethical responsibilities in accordance with these requirements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.

Conclusions relating to going concern We have nothing to report in respect of the following matters in relation to which ISAs (Ireland) require us to report to you where:

 the Manager’s use of the going concern basis of accounting in preparation of the financial statements is not appropriate; or  the Manager has not disclosed in the financial statements any identified material uncertainties that may cast significant doubt about the Trust’s ability to continue to adopt the going concern basis of accounting for a period of at least twelve months from the date when the financial statements are authorised for issue.

Continued on next page/

/Continued from previous page

INDEPENDENT AUDITOR’S REPORT TO THE UNITHOLDERS OF STATE STREET GLOBAL ADVISORS GROSS ROLL UP UNIT TRUST

Other information The Manager is responsible for the other information. The other information comprises the information included in the the Annual Report and Audited Financial Statements, other than the financial statements and our auditor’s report thereon. Our opinion on the financial statements does not cover the other information and, except to the extent otherwise explicitly stated in our report, we do not express any form of assurance conclusion thereon.

In connection with our audit of the financial statements, our responsibility is to read the other information and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit or otherwise appears to be materially misstated. If we identify such material inconsistencies or apparent material misstatements, we are required to determine whether there is a material misstatement in the financial statements or a material misstatement of the other information. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report that fact.

We have nothing to report in this regard.

Responsibilities of the Manager for the financial statements The Manager is responsible for the preparation and fair presentation of the financial statements in accordance with the relevant financial reporting framework, and for such internal control as the Manager determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error.

In preparing the financial statements, the Manager is responsible for assessing the Trust’s ability to continue as a going concern, disclosing, as applicable, matters related to going concern and using the going concern basis of accounting unless the Manager either intend to liquidate the Trust or to cease operations, or have no realistic alternative but to do so.

Auditor’s responsibilities for the audit of the financial statements Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditor's report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with ISAs (Ireland) will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements.

As part of an audit in accordance with ISAs (Ireland), we exercise professional judgment and maintain professional scepticism throughout the audit. We also:

 Identify and assess the risks of material misstatement of the financial statements, whether due to fraud or error, design and perform audit procedures responsive to those risks, and obtain audit evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control.  Obtain an understanding of internal control relevant to the audit in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control. Continued on next page/

/Continued from previous page

INDEPENDENT AUDITOR’S REPORT TO THE UNITHOLDERS OF STATE STREET GLOBAL ADVISORS GROSS ROLL UP UNIT TRUST

 Evaluate the appropriateness of accounting policies used and the reasonableness of accounting estimates and related disclosures made by the Manager.  Conclude on the appropriateness of the Manager’s use of the going concern basis of accounting and, based on the audit evidence obtained, whether a material uncertainty exists related to events or conditions that may cast significant doubt on the Trust’s ability to continue as a going concern. If we conclude that a material uncertainty exists, we are required to draw attention in our auditor’s report to the related disclosures in the financial statements or, if such disclosures are inadequate, to modify our opinion. Our conclusions are based on the audit evidence obtained up to the date of the auditor’s report. However, future events or conditions may cause the entity (or where relevant, the group) to cease to continue as a going concern.  Evaluate the overall presentation, structure and content of the financial statements, including the disclosures, and whether the financial statements represent the underlying transactions and events in a manner that achieves fair presentation.

We communicate with those charged with governance regarding, among other matters, the planned scope and timing of the audit and significant audit findings, including any significant deficiencies in internal control that the auditor identifies during the audit.

This report is made solely to the Trust’s unitholders, as a body, in accordance with the applicable Regulations and the provisions of the Trust Deed. Our audit work has been undertaken so that we might state to the Trust’s unitholders those matters we are required to state to them in an auditor’s report and for no other purpose. To the fullest extent permitted by law, we do not accept or assume responsibility to anyone other than the Trust and the Trust’s unitholders as a body, for our audit work, for this report, or for the opinions we have formed.

Report on other legal and regulatory requirements

Opinion on other matters prescribed by the applicable Regulations Based solely on the work undertaken in the course of the audit, we report that:

 We have obtained all the information and explanations which we consider necessary for the purposes of our audit.  In our opinion the accounting records of the Trust were sufficient to permit the financial statements to be readily and properly audited.  The financial statements are in agreement with the accounting records.

Christian MacManus For and on behalf of Deloitte Ireland LLP Chartered Accountants and Statutory Audit Firm Deloitte & Touche House, Earlsfort Terrace, Dublin 2

Date: 18 December 2020

State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Statement of Comprehensive Income For the year ended 30 September 2020

SSGA GRU Euro Index SSGA GRU Euro Index Equity Fund Equity Fund For the For the year ended year ended 30 September 2020 30 September 2019 Notes € €

Dividend income 2,372,734 4,522,155 Interest income 5 83 Less: non-reclaimable withholding tax on dividends and interest (198,235) (277,889) Investment income 2,174,504 4,244,349 Expenses 3, 7 (93,589) (109,278) Net Investment income 2,080,915 4,135,071 Net realised gain on: 288,146 2,346,697 -financial assets at fair value through profit or loss 504,549 2,302,984 -futures (216,381) 42,280 -foreign exchange on spot and forward contracts (22) 1,433 Net realised gain 288,146 2,346,697 Net movement in unrealised loss on: (15,160,793) (1,178,573) -financial assets at fair value through profit or loss (15,152,569) (1,158,579) -futures (7,520) (19,870) -foreign exchange translation on other assets/liabilities (704) (124) Net movement in unrealised loss (15,160,793) (1,178,573) Net realised and movement in unrealised (loss)/gain (14,872,647) 1,168,124 (Decrease)/increase in net assets attributable to redeemable unitholders from operations (12,791,732) 5,303,195

The (decrease)/increase in net assets attributable to redeemable unitholders from operations arose solely from continuing operations. There were no other recognised gains/(losses) for the year other than as set out in the above Statement of Comprehensive Income.

The accompanying notes form an integral part of these financial statements.

State Street Global Advisors Gross Roll Up Unit Trust 17 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Statement of Comprehensive Income (Continued) For the year ended 30 September 2020 SSGA GRU World Ex SSGA GRU World Ex Euro Index Equity Fund Euro Index Equity Fund For the For the year ended year ended 30 September 2020 30 September 2019 Notes € €

Dividend income 8,201,663 11,516,524 Interest income 6,613 7,551 Less: non-reclaimable withholding tax on dividends and interest (1,173,887) (1,614,029) Investment income 7,034,389 9,910,046 Expenses 3, 7 (292,738) (291,736) Net Investment income 6,741,651 9,618,310 Net realised gain on: 48,534,291 31,245,826 -financial assets at fair value through profit or loss 49,266,012 31,084,989 -futures (614,224) 116,155 -foreign exchange on investments (385,023) 191,162 -foreign exchange on spot and forward contracts 267,526 (146,480) Net realised gain 48,534,291 31,245,826 Net movement in unrealised loss on: (57,690,432) (6,561,617) -financial assets at fair value through profit or loss (57,677,039) (6,528,093) -futures (5,699) (50,887) -income exchange (3,442) 379 -currency contracts – 6,539 -receivables payables 616 (5,691) -foreign exchange translation on other assets/liabilities (4,868) 16,136 Net movement in unrealised loss (57,690,432) (6,561,617) Net realised and movement in unrealised (loss)/gain (9,156,141) 24,684,209 (Decrease)/increase in net assets attributable to redeemable unitholders from operations (2,414,490) 34,302,519

The accompanying notes form an integral part of these financial statements.

State Street Global Advisors Gross Roll Up Unit Trust 18 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Statement of Comprehensive Income (Continued) For the year ended 30 September 2020 SSGA GRU EMU Bond SSGA GRU EMU Bond Index Fund Index Fund For the For the year ended year ended 30 September 2020 30 September 2019 Notes € €

Interest income 3,531,782 4,046,768 Amortisation on bonds (3,811,110) (4,201,329) Investment expense (279,328) (154,561) Expenses 3, 7 (97,542) (104,440) Net Investment expense (376,870) (259,001) Net realised gain on: 375,825 305,161 -financial assets at fair value through profit or loss 375,825 305,228 -foreign exchange on spot and forward contracts – (67) Net realised gain 375,825 305,161 Net movement in unrealised (loss)/gain on: (945,389) 2,153,526 -financial assets at fair value through profit or loss (945,389) 2,153,362 -foreign exchange translation on other assets/liabilities – 164 Net movement in unrealised (loss)/gain (945,389) 2,153,526 Net realised and movement in unrealised (loss)/gain (569,564) 2,458,687 (Decrease)/increase in net assets attributable to redeemable unitholders from operations (946,434) 2,199,686

The accompanying notes form an integral part of these financial statements.

State Street Global Advisors Gross Roll Up Unit Trust 19 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Statement of Comprehensive Income (Continued) For the year ended 30 September 2020 SSGA GRU Euro Cash SSGA GRU Euro Cash Fund Fund For the For the year ended year ended 30 September 2020 30 September 2019 Notes € €

Amortisation on bonds (303,044) (312,115) Negative yield (33,604) (10,912) Investment expense (336,648) (323,027) Expenses 3, 7 (69,018) (57,557) Net Investment expense (405,666) (380,584) Net realised (loss)/gain on: (582) 59 -financial assets at fair value through profit or loss (582) 59 Net realised (loss)/gain (582) 59 Net movement in unrealised gain on: 55 11,591 -financial assets at fair value through profit or loss 55 11,591 Net movement in unrealised gain 55 11,591 Net realised and movement in unrealised (loss)/gain (527) 11,650 Decrease in net assets attributable to redeemable unitholders from operations (406,193) (368,934)

The decrease in net assets attributable to redeemable unitholders from operations arose solely from continuing operations. There were no other recognised gains/(losses) for the year other than as set out in the above Statement of Comprehensive Income.

The accompanying notes form an integral part of these financial statements.

State Street Global Advisors Gross Roll Up Unit Trust 20 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Statement of Comprehensive Income (Continued) For the year ended 30 September 2020 SSGA GRU Euribor Plus SSGA GRU Euribor Plus Fund Fund For the For the year ended year ended 30 September 2020 30 September 2019 Notes € €

Interest income 1,310,424 1,508,308 Amortisation on bonds (4,064,285) (3,133,991) Investment expense (2,753,861) (1,625,683) Expenses 3, 7 (461,777) (418,388) Net Investment expense (3,215,638) (2,044,071) Net realised loss on: (234,800) (84,458) -financial assets at fair value through profit or loss (234,800) (84,458) Net realised loss (234,800) (84,458) Net movement in unrealised (loss)/gain on: (257,410) 226,877 -financial assets at fair value through profit or loss (257,410) 226,877 Net movement in unrealised (loss)/gain (257,410) 226,877 Net realised and movement in unrealised (loss)/gain (492,210) 142,419 Decrease in net assets attributable to redeemable unitholders from operations (3,707,848) (1,901,652)

The accompanying notes form an integral part of these financial statements.

State Street Global Advisors Gross Roll Up Unit Trust 21 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Statement of Financial Position As at 30 September 2020

SSGA GRU Euro Index SSGA GRU Euro Index Equity Fund Equity Fund As at As at Notes 30 September 2020 30 September 2019 Current Assets € € Financial assets at fair value through profit or loss 11 94,630,139 139,685,291 Future contracts – 2,560 Cash and bank balances 4 237,822 278,133 Debtors 5 2,441,982 826,047 Total Current Assets 97,309,943 140,792,031

Equity Net assets attributable to redeemable unitholders 96,462,679 140,760,186

Current Liabilities – amounts falling due within one year Futures contracts 4,960 – Creditors 6 842,304 31,845 Total Current Liabilities 847,264 31,845

Total Equity and Liabilities 97,309,943 140,792,031

SSGA GRU Euro Index SSGA GRU Euro Index SSGA GRU Euro Index Equity Fund Equity Fund Equity Fund As at As at As at 30 September 2020 30 September 2019 30 September 2018

Class 'X' Net assets attributable to redeemable unitholders 96,462,679 140,760,186 133,505,175 Units issued and outstanding 40,337,307 54,844,836 54,323,688 Net asset value per unit 2.3914 2.5665 2.4576

The accompanying notes form an integral part of these financial statements.

State Street Global Advisors Gross Roll Up Unit Trust 22 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Statement of Financial Position (Continued) As at 30 September 2020 SSGA GRU World Ex SSGA GRU World Ex Euro Index Equity Fund Euro Index Equity Fund As at As at Notes 30 September 2020 30 September 2019 Current Assets € € Financial assets at fair value through profit or loss 11 336,355,957 506,809,558 Future contracts – 8,715 Cash and bank balances 4 1,502,714 2,519,710 Debtors 5 9,960,523 947,522 Total Current Assets 347,819,194 510,285,505

Equity Net assets attributable to redeemable unitholders 338,343,436 510,196,750

Current Liabilities – amounts falling due within one year Futures contracts 10,543 13,475 Creditors 6 9,465,215 75,280 Total Current Liabilities 9,475,758 88,755

Total Equity and Liabilities 347,819,194 510,285,505

SSGA GRU World Ex SSGA GRU World Ex SSGA GRU World Ex Euro Index Equity Fund Euro Index Equity Fund Euro Index Equity Fund As at As at As at 30 September 2020 30 September 2019 30 September 2018

Class 'X' Net assets attributable to redeemable unitholders 338,343,436 510,196,750 482,558,975 Units issued and outstanding 87,891,593 137,993,329 141,956,193 Net asset value per unit 3.8496 3.6973 3.3994

The accompanying notes form an integral part of these financial statements.

State Street Global Advisors Gross Roll Up Unit Trust 23 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Statement of Financial Position (Continued) As at 30 September 2020 SSGA GRU EMU Bond SSGA GRU EMU Bond Index Fund Index Fund As at As at Notes 30 September 2020 30 September 2019 Current Assets € € Financial assets at fair value through profit or loss 11 176,482,692 182,932,555 Cash and bank balances 4 610,691 501,347 Debtors 5 16,469,848 15,127,336 Total Current Assets 193,563,231 198,561,238

Equity Net assets attributable to redeemable unitholders 177,836,796 184,449,134

Current Liabilities – amounts falling due within one year Creditors 6 15,726,435 14,112,104 Total Current Liabilities 15,726,435 14,112,104

Total Equity and Liabilities 193,563,231 198,561,238

SSGA GRU EMU Bond SSGA GRU EMU Bond SSGA GRU EMU Bond Index Fund Index Fund Index Fund As at As at As at 30 September 2020 30 September 2019 30 September 2018

Class 'X' Net assets attributable to redeemable unitholders 177,836,796 184,449,134 211,874,015 Units issued and outstanding 108,634,792 112,140,674 130,259,543 Net asset value per unit 1.6370 1.6448 1.6266

The accompanying notes form an integral part of these financial statements.

State Street Global Advisors Gross Roll Up Unit Trust 24 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Statement of Financial Position (Continued) As at 30 September 2020 SSGA GRU Euro Cash SSGA GRU Euro Cash Fund Fund As at As at Notes 30 September 2020 30 September 2019 Current Assets € € Financial assets at fair value through profit or loss 11 84,052,874 120,556,695 Cash and bank balances 4 626 711 Debtors 5 – 89 Total Current Assets 84,053,500 120,557,495

Equity Net assets attributable to redeemable unitholders 84,018,622 117,525,539

Current Liabilities – amounts falling due within one year Creditors 6 34,878 3,031,956 Total Current Liabilities 34,878 3,031,956

Total Equity and Liabilities 84,053,500 120,557,495

SSGA GRU Euro Cash SSGA GRU Euro Cash SSGA GRU Euro Cash Fund Fund Fund As at As at As at 30 September 2020 30 September 2019 30 September 2018

Class 'X' Net assets attributable to redeemable unitholders 84,018,622 117,525,539 83,441,638 Units issued and outstanding 72,165,846 100,455,847 71,022,796 Net asset value per unit 1.1642 1.1699 1.1749

The accompanying notes form an integral part of these financial statements.

State Street Global Advisors Gross Roll Up Unit Trust 25 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Statement of Financial Position (Continued) As at 30 September 2020 SSGA GRU Euribor Plus SSGA GRU Euribor Plus Fund Fund As at As at Notes 30 September 2020 30 September 2019 Current Assets € € Financial assets at fair value through profit or loss 11 1,005,670,417 870,323,778 Cash and bank balances 4 802 17,276 Debtors 5 4,713,633 199,564 Total Current Assets 1,010,384,852 870,540,618

Equity Net assets attributable to redeemable unitholders 1,006,840,138 870,406,974

Current Liabilities – amounts falling due within one year Creditors 6 3,544,714 133,644 Total Current Liabilities 3,544,714 133,644

Total Equity and Liabilities 1,010,384,852 870,540,618

SSGA GRU Euribor Plus SSGA GRU Euribor Plus SSGA GRU Euribor Plus Fund Fund Fund As at As at As at 30 September 2020 30 September 2019 30 September 2018

Class 'X' Net assets attributable to redeemable unitholders 1,006,840,138 870,406,974 850,373,336 Units issued and outstanding 1,012,842,729 872,203,036 850,238,641 Net asset value per unit 0.9941 0.9979 1.0002

The accompanying notes form an integral part of these financial statements.

State Street Global Advisors Gross Roll Up Unit Trust 26 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Statement of Changes in Equity For the year ended 30 September 2020

o SSGA GRU Euro Index SSGA GRU Euro Index Equity Fund Equity Fund For the For the year ended year ended 30 September 2020 30 September 2019 € € Net assets attributable to redeemable unitholders at the beginning of the year 140,760,186 133,505,175

Operations (Decrease)/increase in net assets attributable to redeemable unitholders from operations (12,791,732) 5,303,195

Capital Transactions Proceeds from subscriptions of units 24,401,393 27,898,330 Payments for units redeemed (55,907,168) (25,946,514) (Decrease)/increase in net assets attributable to redeemable unitholders resulting from capital contributions (31,505,775) 1,951,816 Net assets attributable to redeemable unitholders at the end of the year 96,462,679 140,760,186

Unit transactions Units outstanding at the beginning of the year Class 'X' 54,844,836 54,323,688

Total units subscribed Class 'X' 10,148,908 11,697,085

Total units redeemed Class 'X' (24,656,437) (11,175,937)

Units outstanding at the end of the year Class 'X' 40,337,307 54,844,836

Net assets attributable to holders of redeemable units represent unitholders’ funds. The above statement reconciles the movements in unitholders’ funds for the year and represents paid-in capital and retained earnings.

The accompanying notes form an integral part of these financial statements.

State Street Global Advisors Gross Roll Up Unit Trust 27 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Statement of Changes in Equity (Continued) For the year ended 30 September 2020 SSGA GRU World Ex SSGA GRU World Ex Euro Index Equity Fund Euro Index Equity Fund For the For the year ended year ended 30 September 2020 30 September 2019 € € Net assets attributable to redeemable unitholders at the beginning of the year 510,196,750 482,558,975

Operations (Decrease)/increase in net assets attributable to redeemable unitholders from operations (2,414,490) 34,302,519

Capital Transactions Proceeds from subscriptions of units 140,627,275 186,079,629 Payments for units redeemed (310,066,099) (192,744,373) Decrease in net assets attributable to redeemable unitholders resulting from capital contributions (169,438,824) (6,664,744) Net assets attributable to redeemable unitholders at the end of the year 338,343,436 510,196,750

Unit transactions Units outstanding at the beginning of the year Class 'X' 137,993,329 141,956,193

Total units subscribed Class 'X' 37,920,453 54,801,774

Total units redeemed Class 'X' (88,022,189) (58,764,638)

Units outstanding at the end of the year Class 'X' 87,891,593 137,993,329

The accompanying notes form an integral part of these financial statements.

State Street Global Advisors Gross Roll Up Unit Trust 28 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Statement of Changes in Equity (Continued) For the year ended 30 September 2020 SSGA GRU EMU Bond SSGA GRU EMU Bond Index Fund Index Fund For the For the year ended year ended 30 September 2020 30 September 2019 € € Net assets attributable to redeemable unitholders at the beginning of the year 184,449,134 211,874,015

Operations (Decrease)/increase in net assets attributable to redeemable unitholders from operations (946,434) 2,199,686

Capital Transactions Proceeds from subscriptions of units 23,465,066 15,905,484 Payments for units redeemed (29,130,970) (45,530,051) Decrease in net assets attributable to redeemable unitholders resulting from capital contributions (5,665,904) (29,624,567) Net assets attributable to redeemable unitholders at the end of the year 177,836,796 184,449,134

Unit transactions Units outstanding at the beginning of the year Class 'X' 112,140,674 130,259,543

Total units subscribed Class 'X' 14,327,146 9,715,269

Total units redeemed Class 'X' (17,833,028) (27,834,138)

Units outstanding at the end of the year Class 'X' 108,634,792 112,140,674

The accompanying notes form an integral part of these financial statements.

State Street Global Advisors Gross Roll Up Unit Trust 29 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Statement of Changes in Equity (Continued) For the year ended 30 September 2020 SSGA GRU Euro Cash SSGA GRU Euro Cash Fund Fund For the For the year ended year ended 30 September 2020 30 September 2019 € € Net assets attributable to redeemable unitholders at the beginning of the year 117,525,539 83,441,638

Operations Decrease in net assets attributable to redeemable unitholders from operations (406,193) (368,934)

Capital Transactions Proceeds from subscriptions of units 51,468,378 76,768,113 Payments for units redeemed (84,569,102) (42,315,278) (Decrease)/increase in net assets attributable to redeemable unitholders resulting from capital contributions (33,100,724) 34,452,835 Net assets attributable to redeemable unitholders at the end of the year 84,018,622 117,525,539

Unit transactions Units outstanding at the beginning of the year Class 'X' 100,455,847 71,022,796

Total units subscribed Class 'X' 44,107,131 65,511,733

Total units redeemed Class 'X' (72,397,132) (36,078,682)

Units outstanding at the end of the year Class 'X' 72,165,846 100,455,847

The accompanying notes form an integral part of these financial statements.

State Street Global Advisors Gross Roll Up Unit Trust 30 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Statement of Changes in Equity (Continued) For the year ended 30 September 2020 SSGA GRU Euribor Plus SSGA GRU Euribor Plus Fund Fund For the For the year ended year ended 30 September 2020 30 September 2019 € € Net assets attributable to redeemable unitholders at the beginning of the year 870,406,974 850,373,336

Operations Decrease in net assets attributable to redeemable unitholders from operations (3,707,848) (1,901,652)

Capital Transactions Proceeds from subscriptions of units 604,862,292 387,353,214 Payments for units redeemed (464,721,280) (365,417,924) Increase in net assets attributable to redeemable unitholders resulting from capital contributions 140,141,012 21,935,290 Net assets attributable to redeemable unitholders at the end of the year 1,006,840,138 870,406,974

Unit transactions Units outstanding at the beginning of the year Class 'X' 872,203,036 850,238,641

Total units subscribed Class 'X' 607,580,702 387,853,517

Total units redeemed Class 'X' (466,941,009) (365,889,122)

Units outstanding at the end of the year Class 'X' 1,012,842,729 872,203,036

The accompanying notes form an integral part of these financial statements.

State Street Global Advisors Gross Roll Up Unit Trust 31 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020

Notes to the Financial Statements For the year ended 30 September 2020

1. Significant Accounting Policies (a) Basis of Accounting

The financial statements have been prepared in accordance with Financial Reporting Council (the “FRC”) Regulations, Financial Reporting Standard 102 (“FRS 102”) and Irish statute comprising the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011 (as amended) (the “UCITS Regulations”), the Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1) ) (Undertakings for Collective Investment in Transferable Securities) Regulations 2019 (the “Central Bank UCITS Regulations”) and the Trust Deed. The financial statements are presented in Euro, the currency of the primary economic environment in which State Street Global Advisors Gross Roll Up Unit Trust (“the Trust”) operates (the "functional currency").

In preparing the financial statements for the year ended 30 September 2020, the Directors of the Manager have applied Financial Reporting Standard 102 ("FRS 102") "The Financial Reporting Standard applicable in the UK and Republic of Ireland" and these financial statements comply with that standard.

The financial statements have been prepared on a historical cost basis, except for financial instruments classified at fair value through profit or loss.

The Trust has availed of the exception available under Section 7 of FRS 102, not to prepare a Cash Flow Statement. The Trust has been able to avail of this exemption due to the fact that the Sub-Funds' investments are highly liquid and a Statement of Changes in Equity is prepared.

(b) Accounting Standards not yet Effective

Interest Rate Benchmark Reform under FRS 102 is effective for accounting periods beginning on or after 1 January 2020, with early application permitted. The amendments apply to specific hedge accounting requirements. The Board are not early adopting and are currently assessing the impact of the new standard on the Sub-Funds.

All of the Sub-Funds' SSGA GRU Euro Index Equity Fund, SSGA GRU World Ex Euro Index Equity Fund, SSGA GRU EMU Bond Index Fund, SSGA GRU Euro Cash Fund and SSGA GRU Euribor Plus Fund financial assets have been designated at fair value through profit or loss.

A purchase of financial assets is recognised using trade date accounting. From this date, any gains and losses arising from changes in fair value of the financial assets or financial liabilities are recorded.

The Sub-Funds recognise financial assets and financial liabilities on the date it becomes a party to the contractual provisions of the instrument, and all significant rights and access to the benefits from the assets, and the exposure to the risks inherent in those benefits, are transferred to the Sub-Funds. The Sub-Funds derecognise financial assets and financial liabilities when all such benefits and risks are transferred from the Sub-Funds.

(d) Valuation of Investments

Under FRS 102 the Trust has opted to implement the recognition and measurement provisions of IAS 39 Financial Instruments: Recognition and only the disclosure requirements of FRS 102 relating to Basic Financial Instruments and Other Financial Instruments.

Financial assets and financial liabilities at fair value through profit or loss are valued at fair value based on quoted market prices. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. As a result of the Trust's decision to implement the recognition and measurement provisions of IAS 39, the fair value of financial assets and liabilities which are quoted, listed or normally dealt in on a Regulated Market are based on quoted market prices at the Sub-Fund’s Valuation on Point on the reporting date.

The Trust changed its fair valuation input to utilise the last traded market price for both financial assets and financial liabilities where the last traded price falls within the bid-ask spread. In circumstances where the last traded price is not within the bid- ask spread, management will determine the point within the bid-ask spread that is most representative of fair value.

The value of any investment which is not normally quoted, listed or normally dealt in on a Regulated Market is valued at such value as is estimated with care and in good faith as the probable realisation value of the investment by the Manager or by a competent professional person appointed by the Manager, and approved by the Depositary for such purpose.

State Street Global Advisors Gross Roll Up Unit Trust 32 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020

Notes to the Financial Statements (Continued) For the year ended 30 September 2020

1. Significant Accounting Policies (Continued) (d) Valuation of Investments (Continued)

Money-market investments with less than three months to maturity are calculated using the amortised cost method of valuation whereby the other investments are valued at their costs of acquisition, adjusted for amortisation of premium or accretion of discount on the investments which approximates fair value. After initial measurement, the Trust measures financial instruments which are classified as fair value through profit or loss, at their fair values. The fair value of financial instruments is based on their quoted market prices on a recognised exchange or sourced from a reputable broker/counterparty, in the case of non-exchanged traded instruments, without any deduction for estimated future selling costs.

(e) Foreign Currency Translation

Functional and presentation currency

Items included in the Trust’s financial statements are measured using Euro (€), the functional currency. Assets and liabilities expressed in currencies other than the functional currency of the Trust are translated into the functional currency at exchange rates ruling at the year end. Transactions in foreign currencies are translated into the functional currency at exchange rates ruling at the transaction dates. Gains and losses on foreign exchange transactions are recognised in the Statement of Comprehensive Income in determining the results for the year. Foreign exchange gains and losses on investments are reported separately from other changes in fair value.

(f) Interest and Dividend Income and Expenses

Investment and deposit interest income are accounted for on an accruals basis. Dividends on equities are included on an “ex-dividend” date basis. Dividends are reported gross of non-reclaimable withholding tax. Interest income and expenses are recognised in the Statement of Comprehensive Income for all financial instruments using the effective interest method. Interest is accrued on a daily basis. The effective interest method is a method of calculating the amortised cost of a financial asset or financial liability and of allocating the interest income or interest expense over the relevant period. The effective interest rate is the rate that exactly discounts estimated future cash payments or receipts throughout the expected life of the financial instruments, or a shorter period where appropriate, to the net carrying amount of the financial asset or financial liability.

(g) Cash, Bank Balances and Overdrafts

Cash comprises current deposits and overdrafts with banks. Please refer to note 4 for further details.

(h) Futures Contracts

For open futures contracts, changes in the value of the contract are recognised as unrealised appreciation or depreciation by ‘marking-to-market’ the value of the contract at the Statement of Financial Position date. When the contract is closed, the difference between the proceeds from (or cost of) the closing transactions and the original transaction is recorded as a realised gain or loss in the Statement of Comprehensive Income.

(i) Receivables

Receivables are non-derivative financial assets with fixed or determinable payments that are not quoted in an active market. Receivables are recognised initially at fair value plus transaction costs that are directly attributable to their acquisition origination. They are subsequently measured at amortised cost using the effective interest method, less provision for impairment.

(j) Payables

Payables are recognised initially at fair value and subsequently stated at amortised cost using the effective interest method. The difference between the proceeds and the amounts payable are recognised over the year of the payable using the effective interest method.

(k) Redeemable Units

Redeemable units are redeemable at the unitholder’s option and are classified as equity in accordance with FRS 102. The units provide the unitholders with the right to redeem their units on any dealing day for cash equal to a proportionate share of the Sub-Fund’s Net Asset Value. The units, which must be fully paid upon issue, have no par value. The units carry equal voting rights and each one is entitled to one vote at all general meetings of the unitholders and all meetings of the Sub-Funds in which units are held.

State Street Global Advisors Gross Roll Up Unit Trust 33 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020

Notes to the Financial Statements (Continued) For the year ended 30 September 2020

1. Significant Accounting Policies (Continued) (l) Transaction Charges

Transaction charges are incremental costs that are directly attributable to the acquisition, issue or disposal of a financial asset or financial liability. An incremental cost is one that would not have been incurred if the entity had not acquired, issued or disposed of the financial instrument. When a financial asset or financial liability is recognised initially, an entity shall measure it at its fair value through profit or loss, plus transaction charges that are directly attributable to the acquisition or issue of the financial asset or financial liability.

Transaction charges on the purchases and sales of bonds are included in the purchase and sale price of the investment, and are not separately identifiable. Transaction charges on purchases and sales of equities and futures are included in note 3. Purchases and sales transaction charges include identifiable brokerage charges, commissions, transaction related taxes and other market charges.

(m) Bonds

Bonds are fixed income securities for which periodic income is received at regular intervals at reasonably predictable levels. In an issue of bonds the indebted entity (issuer) issues a bond that states the interest rate (coupon) that will be paid and when the loaned funds (principal) are to be returned (maturity date). The amount of the bond premium is amortised to interest expense over the life of the bond using the effective interest method.

(n) Negative Bond Yield

Negative bond yield is a situation in which issuers of debt are paid to borrow. At the same time, depositors, or buyers of bonds, pay a cash flow instead of receiving interest income. Bonds trading in the open market can effectively carry a negative bond yield if the price of the bond trades at a sufficient premium. The SSGA GRU Euro Cash Fund’s investments were subject to negative bond yield during the financial year ended30 September 2020. The amounts incurred are presented as negative yield in the Statement of Comprehensive Income on page 17-21.

2. Taxation

Under current law and practice the Trust qualifies as an investment undertaking as defined in Section 739B of the Taxes Consolidation Act, 1997 (as amended). It is not chargeable to Irish tax on its income or capital gains.

However, Irish tax can arise on the happening of a chargeable event in the Trust. A chargeable event includes any distribution payments to unitholders or any encashment, redemption, transfer or cancellation of units. No tax will arise in respect of chargeable events in respect of a unitholder who is an Exempt Irish Investor (as defined in Section 739D of the Taxes Consolidation Act, 1997 (as amended)), or who is neither Irish resident nor ordinarily resident in Ireland for tax purposes at the time of the chargeable event, provided, in each case, that an appropriate valid declaration in accordance with Schedule 2B of the Taxes Consolidation Act, 1997 (as amended), is held by the Trust.

Capital gains, dividends, and interest received by the Trust may be subject to withholding taxes imposed by the country of origin and such taxes may not be recoverable by the Trust or its unitholders.

State Street Global Advisors Gross Roll Up Unit Trust 34 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020

Notes to the Financial Statements (Continued) For the year ended 30 September 2020

3. Expenses

SSGA GRU Euro Index SSGA GRU Euro Index Equity Fund Equity Fund For the For the year ended year ended Notes 30 September 2020 30 September 2019 € € Depositary fees 7 (11,329) (12,873) Transaction fees* (24,955) (32,593) Safekeeping fees 7 (10,876) (12,358) Audit fees** (9,373) (9,348) Bank interest (3,675) (4,318) Administration fees 7 (27,757) (31,539) Miscellaneous fees (5,624) (6,249) (93,589) (109,278)

SSGA GRU World Ex Euro SSGA GRU World Ex Euro Index Equity Fund Index Equity Fund For the For the year ended year ended Notes 30 September 2020 30 September 2019 € € Depositary fees 7 (38,854) (45,881) Transaction fees* (62,179) (59,054) Safekeeping fees 7 (37,300) (44,046) Audit fees** (9,373) (9,399) Bank interest (11,868) (14,794) Administration fees 7 (95,192) (112,408) Miscellaneous fees (37,972) (6,154) (292,738) (291,736)

* Transaction charges disclosed above for SSGA GRU Euro Index Equity Fund and SSGA World Ex Euro Index Equity Fund are purchases and sales transaction charges only.

** Audit fees are presented inclusive of VAT.

All fees are accrued daily based on Net Asset Value of the relevant Sub-Fund, with the exception of bank interest, audit fees, transaction fees and miscellaneous fees.

State Street Global Advisors Gross Roll Up Unit Trust 35 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020

Notes to the Financial Statements (Continued) For the year ended 30 September 2020

3. Expenses (continued)

SSGA GRU EMU Bond SSGA GRU EMU Bond Index Fund Index Fund For the For the year ended year ended Notes 30 September 2020 30 September 2019 € € Depositary fees 7 (18,116) (19,544) Safekeeping fees 7 (17,391) (18,762) Audit fees** (9,373) (9,399) Bank interest (2,740) (2,606) Administration fees 7 (44,383) (47,882) Miscellaneous fees (5,539) (6,247) (97,542) (104,440)

SSGA GRU Euro Cash SSGA GRU Euro Cash Fund Fund For the For the year ended year ended Notes 30 September 2020 30 September 2019 € € Depositary fees 7 (8,312) (8,698) Safekeeping fees 7 (7,980) (8,351) Audit fees** (9,373) (9,348) Bank interest (17,430) (3,902) Administration fees 7 (20,366) (21,312) Miscellaneous fees (5,557) (5,946) (69,018) (57,557)

SSGA GRU Euribor Plus SSGA GRU Euribor Plus Fund Fund For the For the year ended year ended Notes 30 September 2020 30 September 2019 € € Depositary fees 7 (99,158) (88,798) Safekeeping fees 7 (95,191) (85,246) Audit fees** (9,373) (9,399) Bank interest (9,750) (11,144) Administration fees 7 (242,936) (217,554) Miscellaneous fees (5,369) (6,247) (461,777) (418,388)

** Audit fees are presented inclusive of VAT.

All fees are accrued daily based on Net Asset Value of the relevant Sub-Fund, with the exception of bank interest, audit fees, transaction fees and miscellaneous fees.

State Street Global Advisors Gross Roll Up Unit Trust 36 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020

Notes to the Financial Statements (Continued) For the year ended 30 September 2020

4. Cash, Cash Balances and Overdrafts

Cash, bank balances and overdrafts are held with The Northern Trust Company (“TNTC”) except for margin cash balances for future contracts of €44,328 on SSGA GRU Euro Index Equity Fund (30 September 2019: €19,890) and €149,035 on SSGA GRU World Ex Euro Index Equity Fund (30 September 2019: €153,301), which are held with JP Morgan Securities Limited.

SSGA GRU Euro Index SSGA GRU Euro Index Equity Fund Equity Fund As at As at 30 September 2020 30 September 2019 € €

JP Morgan 44,328 19,890 TNTC 193,494 258,243 237,822 278,133

SSGA GRU World Ex Euro SSGA GRU World Ex Euro Index Equity Fund Index Equity Fund As at As at 30 September 2020 30 September 2019 € €

JP Morgan 149,035 153,301 TNTC 1,353,679 2,366,409 1,502,714 2,519,710

SSGA GRU EMU Bond SSGA GRU EMU Bond Index Fund Index Fund As at As at 30 September 2020 30 September 2019 € €

TNTC 610,691 501,347 610,691 501,347

SSGA GRU Euro Cash SSGA GRU Euro Cash Fund Fund As at As at 30 September 2020 30 September 2019 € €

TNTC 626 711 626 711

SSGA GRU Euribor Plus SSGA GRU Euribor Plus Fund Fund As at As at 30 September 2020 30 September 2019 € €

TNTC 802 17,276 802 17,276

State Street Global Advisors Gross Roll Up Unit Trust 37 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020

Notes to the Financial Statements (Continued) For the year ended 30 September 2020

5. Debtors

SSGA GRU Euro Index SSGA GRU Euro Index Equity Fund Equity Fund As at As at 30 September 2020 30 September 2019 € € Dividends receivable 531,296 534,937 Tax receivable 279,610 287,821 Receivable for securities sold 979 3,289 Receivable for units issued 1,630,097 – 2,441,982 826,047

SSGA GRU World Ex Euro SSGA GRU World Ex Euro Index Equity Fund Index Equity Fund As at As at 30 September 2020 30 September 2019 € € Dividends receivable 538,735 917,316 Tax receivable 376 25,418 Receivable for securities sold 9,421,412 4,788 9,960,523 947,522

SSGA GRU EMU Bond SSGA GRU EMU Bond Index Fund Index Fund As at As at 30 September 2020 30 September 2019 € € Interest receivable 1,265,030 1,372,296 Receivable for securities sold 11,405,958 13,755,040 Receivable for units issued 3,798,860 – 16,469,848 15,127,336

SSGA GRU Euro Cash SSGA GRU Euro Cash Fund Fund As at As at 30 September 2020 30 September 2019 € € Interest receivable – 89 – 89

SSGA GRU Euribor Plus SSGA GRU Euribor Plus Fund Fund As at As at 30 September 2020 30 September 2019 € € Interest receivable 213,633 199,564 Receivable for units issued 4,500,000 – 4,713,633 199,564

State Street Global Advisors Gross Roll Up Unit Trust 38 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020

Notes to the Financial Statements (Continued) For the year ended 30 September 2020

6. Creditors – amount falling due within one year

SSGA GRU Euro Index SSGA GRU Euro Index Equity Fund Equity Fund As at As at Notes 30 September 2020 30 September 2019

€ € Depositary fees payable 7 3,213 3,424 Safekeeping fees payable 7 3,085 3,287 Audit fees payable* 9,321 9,296 Administration fees payable 7 7,872 8,389 Miscellaneous fees payable 8,813 7,449 Payable for units redeemed 810,000 – 842,304 31,845

SSGA GRU World Ex Euro SSGA GRU World Ex Euro Index Equity Fund Index Equity Fund As at As at Notes 30 September 2020 30 September 2019

€ € Depositary fees payable 7 10,372 12,553 Safekeeping fees payable 7 9,957 12,051 Audit fees payable* 9,398 9,373 Administration fees payable 7 27,422 30,755 Miscellaneous fees payable 9,187 10,548 Payable for units redeemed 9,398,879 – 9,465,215 75,280

SSGA GRU EMU Bond SSGA GRU EMU Bond Index Fund Index Fund As at As at Notes 30 September 2020 30 September 2019

€ € Depositary fees payable 7 5,936 4,752 Safekeeping fees payable 7 5,699 4,562 Audit fees payable* 9,398 9,373 Administration fees payable 7 14,543 11,642 Miscellaneous fees payable 12,782 10,209 Payable for securities purchased 15,678,077 14,071,566 15,726,435 14,112,104

* Audit fees payable are presented inclusive of VAT.

State Street Global Advisors Gross Roll Up Unit Trust 39 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020

Notes to the Financial Statements (Continued) For the year ended 30 September 2020

6. Creditors – amount falling due within one year (continued)

SSGA GRU Euro Cash SSGA GRU Euro Cash Fund Fund As at As at Notes 30 September 2020 30 September 2019

€ €

Interest payable 140 – Depositary fees payable 7 2,949 2,908 Safekeeping fees payable 7 2,831 2,791 Audit fees payable* 9,398 9,373 Administration fees payable 7 7,225 7,123 Miscellaneous fees payable 12,335 9,761 Payable for securities purchased – 3,000,000 34,878 3,031,956

SSGA GRU Euribor Plus SSGA GRU Euribor Plus Fund Fund As at As at Notes 30 September 2020 30 September 2019

€ € Depositary fees payable 7 36,032 22,234 Safekeeping fees payable 7 34,591 21,344 Audit fees payable* 9,398 9,373 Administration fees payable 7 88,278 54,473 Miscellaneous fees payable 28,794 26,220 Payable for units redeemed 3,347,621 – 3,544,714 133,644

* Audit fees payable are presented inclusive of VAT.

State Street Global Advisors Gross Roll Up Unit Trust 40 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020

Notes to the Financial Statements (Continued) For the year ended 30 September 2020

7. Significant Agreements

Depositary and Administrator

The Depositary shall be entitled to charge all agreed fees up to 0.10% of the Net Asset Value of the Sub-Fund which shall be payable monthly in arrears out of the assets of the Sub-Fund. The Depositary shall also be entitled to receive out of the assets of each Sub-Fund transaction charges, safekeeping fees, at normal commercial rates, together with all reasonable and properly vouched out-of-pocket expenses (plus any applicable taxes), it incurs on behalf of the Sub-Fund in the performance of its duties under the Trust Deed, which shall be payable monthly in arrears.

The Depositary fees charged for the year amounted to €175,769 (30 September 2019: €175,794) with €58,502 (30 September 2019: €45,871) outstanding at year-end which are included in the Depositary fees in note 3 and note 6 respectively.

The Safekeeping fees charged for the year amounted to €168,738 (30 September 2019: €168,763) with €56,162 (30 September 2019: €44,035) outstanding at the year-end which are included in the note 3 and 6 respectively.

The Administrator shall be entitled to charge all agreed fees up to 0.10% of the Net Asset Value of the Sub-Fund which shall be payable monthly in arrears out of the assets of the Sub-Fund. The Administrator is also entitled to receive out of the assets of the Sub-Fund all reasonable and properly vouched out-of-pocket expenses (plus any applicable taxes), it incurs on behalf of the Sub-Fund in the performance of its duties, under the Administration Agreement, which shall be payable monthly in arrears.

The Administrator fees charged for the year amounted to €430,634 (30 September 2019: €430,695) with €145,340 (30 September 2019: €112,382) outstanding at the year-end, which are included in Administration fees in note 3 and note 6 respectively.

Manager

No management fee is payable to the Manager in respect of Class X units of the Sub-Funds.

8. Transactions with Related Parties

Any transaction carried out with a Trust by a management company or depositary to the Trust, the delegates or sub-delegates of the management company or depositary, and any associated or group of such a management company, depositary, delegate or sub-delegate (“connected persons”) must be carried out as if negotiated at arm’s length. Transactions must be in the best interests of the unitholders.

The Directors of the Manager are satisfied that there are arrangements (evidenced by written procedures) in place, to ensure that the obligations set out in Regulation 43(1) of the Central Bank UCITS Regulations are applied to all transactions with connected persons, and are satisfied that transactions with connected persons entered into during the year complied with the obligations set out in Regulation 43(1) of the Central Bank UCITS Regulations.

Investment Manager

State Street Global Advisors (Ireland) Limited (“SSGA”) serves as Investment Manager to the Trust and provides investment management services to the Trust. The Investment Manager’s fees are paid by the Manager.

SSGA GRU Euribor Plus Fund invests in SSGA EUR Liquidity Fund, a Sub-Fund which is managed by an affiliate to the Investment Manager.

Manager

The Manager, State Street Global Advisors Funds Management Limited, was entitled to an annual management fee of up to 2.50% of the average weekly NAV of each Sub-Fund (accrued weekly, payable monthly in arrears) in respect of Class A units. There were no Class A units issued therefore no management fees were charged during the year ended 30 September 2020 (30 September 2019: €Nil).

All Directors of the Manager who are employees of the Investment Manager have received no Directors’ fees.

State Street Global Advisors Gross Roll Up Unit Trust 41 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020

Notes to the Financial Statements (Continued) For the year ended 30 September 2020

9. Efficient Portfolio Management

The Sub-Funds may enter into options, futures, exchange rate swaps, interest rate swaps, repurchase agreements, securities lending and forward foreign currency exchange contracts for the purpose of efficient portfolio management. Forward foreign currency exchange contracts are used to hedge against anticipated future changes in exchange rates which otherwise may adversely affect the value of the Sub-Funds’ portfolio securities or adversely affect the price of securities which the Sub- Funds intend to purchase at a later date. The SSGA GRU Euro Index Equity Fund and SSGA GRU World Ex Euro Index Equity Fund held futures at 30 September 2020 (30 September 2019: the SSGA GRU Euro Index Equity Fund and the SSGA GRU World Ex Euro Index Equity Fund) for the purpose of efficient portfolio management.

10. Financial Risk Management

SSGA acts as the Investment Manager to the Trust pursuant to the Investment Management Agreement.

State Street Global Advisors Limited (“SSGA Limited”) acts as Sub-Investment Manager and is responsible for the asset selection for all of the Sub-Funds within the Trust.

The summary investment objectives of each of the Sub-Funds are set out in background information on pages 2 to 4.

In pursuing their investment objectives and policies, the Sub-Funds are exposed to a variety of financial risks: market risk (including market price risk, interest rate risk and currency risk), credit risk and liquidity risk that could result in a reduction in the Sub-Funds net assets.

The Sub-Funds’ overall risk management program focuses on the unpredictability of financial markets and seeks to minimise potential adverse effects on the Sub-Funds’ financial performance.

The risks, and the Investment Manager’s approach to the management of the risks, are as follows:

Market Risk

At 30 September 2020, the Sub-Funds’ market risk is affected by three main components: changes in actual market prices, interest rates and foreign currency movements.

a) Market Price Risk

Market price risk is the risk that the fair value or future cash flows of a financial instrument will fluctuate because of changes in market prices. The Sub-Funds’ securities are susceptible to market price risk arising from uncertainties about future prices of the instruments. The maximum risk resulting from financial instruments is determined by the fair value of the financial instruments.

The commitment approach is used to measure position exposure and is an adequate measure of risk in the context of the Sub- Funds’ use of Financial Derivative Instruments, (“FDIs”). The Directors have agreed that the global exposure and leverage of the Sub-Funds should be calculated on this basis. Under the commitment approach, positions in FDI are converted into the equivalent position in the underlying assets, based on the market value of the underlying assets.

SSGA GRU Euro Index Equity Fund (“the Sub-Fund”)

The SSGA GRU Euro Index Equity Fund seeks to track as closely as reasonably possible the performance of the FTSE Developed Eurozone Index. The Index is a market capitalisation-weighted benchmark of equity securities listed or traded on Regulated Markets in the Eurozone comprising approximately 315 stocks in the Index which are weighted by the total market capitalisation of the countries comprised in the Index, and by the market capitalisation of stocks within individual countries.

Full details of the current investment profile for the Sub-Fund are presented in the Schedule of Investments on pages 53 to 59.

SSGA GRU World Ex Euro Index Equity Fund (“the Sub-Fund”)

The SSGA GRU World Ex Euro Index Equity Fund seeks to track as closely as reasonably possible the performance of the FTSE Developed Ex Eurozone Index. The Index is comprised of approximately 1,875 stocks which are weighted by the total market capitalisation of stocks of the countries comprised in the Index and by the market capitalisation within individual countries.

Full details of the current investment profile for the Sub-Fund are presented in the Schedule of Investments on pages 60 to 89.

State Street Global Advisors Gross Roll Up Unit Trust 42 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020

Notes to the Financial Statements (Continued) For the year ended 30 September 2020

10. Financial Risk Management (Continued) Market Risk (Continued) a) Market Price Risk (Continued) SSGA GRU EMU Bond Index Fund (“the Sub-Fund”)

The SSGA GRU EMU Bond Index Fund seeks to track as closely as reasonably possible the performance of the FTSE EMU Government Bond Index 1-3 Years. The Index tracks the performance of Euro denominated sovereign debt and consists of qualifying securities with a maturity greater than or equal to 1 year and less than 3 years.

The Investment Manager monitors the current investment profile of the Sub-Fund and compares the Sub-Fund’s current positions against the index positions on a daily basis. Any divergence from the index positions that will result in a material tracking error, after taking into account any relevant transaction charges, are remedied immediately.

Full details of the current investment profile for the Sub-Fund are presented in the Schedule of Investments onpages 90 and 91.

SSGA GRU Euro Cash Fund (“the Sub-Fund”)

The Investment Manager seeks to moderate market price risk within the Sub-Fund by adhering to the investment restrictions outlined in the Prospectus and related Supplements. These investment restrictions ensure that the Sub-Fund is appropriately diversified and not overly concentrated within particular investments.

The asset allocation criteria used by the Investment Manager also ensures that the assets within the Sub-Fund are invested across different economic zones and investment sectors.

The Investment Manager monitors the current investment profile of the Sub-Fund and compares the Sub-Fund’s current positions against targeted or ideal positions on a daily basis. Any material divergence from targeted or ideal positions is remedied immediately.

Full details of the current investment profile for the Sub-Fund are presented in the Schedule of Investments onpages 92 and 93.

SSGA GRU Euribor Plus Fund (“the Sub-Fund”)

The Sub-Fund aims to achieve enhanced cash returns in excess of the BofA Merill Lynch Euro Currency 3-Month LIBID Constant Maturity Index (the “Index”) using a fundamental macro and credit research approach. The Index is based on the assumed purchase of a hypothetical instrument having three months to maturity and with a coupon equal to the closing quote for the Index. That issue is sold the following day (priced at a yield equal to the current day closing of the Index) and is rolled into a new three month instrument. The Index will therefore always have a constant maturity equal to exactly three months.

Full details of the current investment profile for the Sub-Fund are presented in the Schedule of Investments onpages 94 and 95.

The following analysis explains the impact that a 20% movement in the relevant benchmark index (calculated in Euro terms) at 30 September 2020 and 30 September 2019 for SSGA GRU Euro Index Equity Fund, GRU World EX Euro Index Equity Fund and GRU EMU Bond Index Fund with all other variables held constant, would have on the net assets attributable to redeemable unitholders of the various Sub-Funds.

Sub-Fund name Benchmark Index % change in Sub- % change in Sub- Fund's net assets Fund's net assets As at As at 30 September 2020 30 September 2019 SSGA GRU Euro Index Equity Fund FTSE Developed Eurozone Index 19.98% 19.98% SSGA GRU World Ex Euro Index Equity Fund FTSE Developed Ex Eurozone Index 19.97% 19.98% FTSE EMU Government Bond Index SSGA GRU EMU Bond Index Fund 1-3 Years 20.05% 19.99%

For example, the above analysis shows that if the FTSE Developed Eurozone Index in Euro terms at 30 September 2020 had increased by 20%, with all other variables held constant, this would have increased net assets attributable to redeemable unitholders of the SSGA GRU Euro Index Equity Fund by approximately 19.98% (30 September 2019: 19.98%).

State Street Global Advisors Gross Roll Up Unit Trust 43 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020

Notes to the Financial Statements (Continued) For the year ended 30 September 2020

10. Financial Risk Management (Continued) Market Risk (Continued) a) Market Price Risk (Continued) SSGA GRU Euribor Plus Fund (“the Sub-Fund”) (continued)

Conversely, if the FTSE Developed Eurozone Index in Euro terms had decreased by 20%, with all other variables held constant, this would have decreased net assets attributable to redeemable unitholders of the SSGA GRU Euro Index Equity Fund by approximately 19.98% (30 September 2019: 19.98%).

The following analysis explains the impact that a 1% movement in interest rates at 30 September 2020 and 30 September 2019 for SSGA GRU Euro Cash Fund and GRU Euribor Plus Cash Fund, with all other variables held constant, would have on the net assets attributable to redeemable unitholders of the various Sub-Funds.

Sub-Fund name Benchmark Index As at 30 September 2020 As at 30 September 2019 Benchmark Benchmark Return return Return return

SSGA GRU Euro Cash Fund 7 Day EUR LIBID ((0.12%) (0.02%) (0.11%) (0.02%) ICE BofA Euro Currency 3-Month Deposit Constant SSGA GRU Euribor Plus Fund Maturity Index (0.21%) (0.25%) (0.21%) (0.25%) b) Currency Risk

Currency risk is the risk that the fair value or future cash flows of a financial instrument will fluctuate because of changes in foreign exchange rates.

The SSGA GRU Euribor Plus Fund, the SSGA GRU EMU Bond Index Fund and the SSGA GRU Euro Cash Fund are not exposed to any foreign currency risks as all of the assets and liabilities are denominated in Euro, the functional currency of the Sub-Funds.

The exposure is not significant for the SSGA GRU Euro Index Equity Fund and which hold a small amount of cash denominated in British Pound and US Dollar.

Substantially all of the SSGA GRU World Ex Euro Index Equity Fund’s assets, liabilities and income are denominated in ,currencies other than Euro, the functional currency of the Sub-Fund. The signifcant currencies are US Dollar, British Pound Japanese Yen, Canadian Dollar, Australian Dollar and Swiss Franc. It is, therefore, exposed to currency risk as the value of the securities denominated in other currencies will fluctuate due to changes in exchange rates. Income denominated in foreign currencies is converted to Euro on receipt. Transactions in foreign currencies are translated into the functional currency of the Sub-Fund at the exchange rates ruling at the date of the transaction. Assets and liabilities are translated into the functional currency of the Sub-Fund at the exchange rate ruling at the year end date.

There were no material changes to the Sub-Funds’ policies and processes for managing currency risk and the methods used to measure risk during the year.

State Street Global Advisors Gross Roll Up Unit Trust 44 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020

Notes to the Financial Statements (Continued) For the year ended 30 September 2020

10. Financial Risk Management (Continued) Market Risk (Continued) b) Currency Risk (Continued)

The following table shows holdings and cash in each of the currencies for SSGA GRU World Ex Euro Index Equity Fund and the impact on the net assets attributable to redeemable unitholders of the Fund of a movement of +/-10% in any of these currencies at 30 September 2020.

Trading Currency Traded market value % holding % movement Impact to NAV € US Dollar 239,958,990 70.91% 10.00% 7.09% Japanese Yen 31,609,713 9.34% 10.00% 0.93% British Pound 16,325,285 4.82% 10.00% 0.48% Swiss Francs 11,515,501 3.40% 10.00% 0.34% Canadian Dollar 10,334,926 3.05% 10.00% 0.31% Australian Dollar 8,149,803 2.41% 10.00% 0.24% South Korean Won 6,305,936 1.86% 10.00% 0.19% Hong Kong Dollar 4,078,695 1.21% 10.00% 0.12% Swedish Krona 3,909,339 1.16% 10.00% 0.12% Danish Kroner 2,877,803 0.85% 10.00% 0.09% Singapore Dollar 1,241,786 0.37% 10.00% 0.04% Norwegian Krone 733,962 0.22% 10.00% 0.02% Israeli New Shekel 550,485 0.16% 10.00% 0.02% New Zealand Dollar 455,839 0.14% 10.00% 0.01% Polish Zloty 336,769 0.10% 10.00% 0.01% Total 338,384,832

The following table shows holdings in each of the currencies and the impact on net assets attributable to redeemable unitholders of the Sub-Fund of a movement of +/-10% in any of these currencies at 30 September 2019.

Trading Currency Traded market value % holding % movement Impact to NAV € US Dollar 347,910,091 68.21% 10.00% 6.82% Japanese Yen 50,390,823 9.88% 10.00% 0.99% British Pound 32,138,001 6.30% 10.00% 0.63% Canadian Dollar 17,747,541 3.48% 10.00% 0.35% Swiss Francs 17,444,428 3.42% 10.00% 0.34% Australian Dollar 14,434,326 2.83% 10.00% 0.28% South Korean Won 8,762,898 1.72% 10.00% 0.17% Hong Kong Dollar 6,885,112 1.35% 10.00% 0.13% Swedish Krona 4,918,472 0.96% 10.00% 0.10% Danish Kroner 3,324,068 0.65% 10.00% 0.07% Singapore Dollar 2,540,574 0.50% 10.00% 0.05% Norwegian Krone 1,375,702 0.27% 10.00% 0.03% Israeli New Shekel 968,230 0.19% 10.00% 0.02% Polish Zloty 622,485 0.12% 10.00% 0.01% New Zealand Dollar 567,305 0.12% 10.00% 0.01% Total 510,030,056 c) Interest Rate Risk

The SSGA GRU EMU Bond Index Fund, SSGA GRU Euro Cash Fund and SSGA GRU Euribor Plus Fund hold interest- bearing assets and liabilities which expose them to substantial risks associated with the effects of fluctuations in the prevailing levels of market interest rates on their financial position and cash flows. Furthermore, in a low or negative market interest rate environment, the sub-fund’s yield may be zero or negative leading to a potential loss of capital on the investment.

State Street Global Advisors Gross Roll Up Unit Trust 45 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020

Notes to the Financial Statements (Continued) For the year ended 30 September 2020

10. Financial Risk Management (Continued) Market Risk (Continued) c) Interest Rate Risk (Continued)

The investment objective of the SSGA GRU EMU Bond Index Fund is to track as closely as reasonably possible the performance of the FTSE EMU Government Bond Index 1-3 Years. The Investment Manager will therefore invest in such investments which will ensure that the performance of the Sub-Fund tracks as closely as reasonably possible the performance of the benchmark index. It does not directly seek to manage the interest rate risk exposure within the Sub-Fund.

Interest rate risk for the SSGA GRU Euro Cash Fund and SSGA GRU Euribor Plus Fund is managed, in part, by the investment selection process of the Investment Manager which includes predictions of future events and their impact on interest rates, diversification and duration. In accordance with Sub-Fund policy, the Investment Manager monitors the Sub- Fund’s overall interest sensitivity on a daily basis.

The SSGA GRU Euro Index Equity Fund and the SSGA GRU World Ex Euro Index Equity Funds do not hold interest-bearing securities and therefore no interest rate risk exposure arises in respect of these Sub-Funds.

There were no material changes to the Sub-Funds’ policies and processes for managing interest rate risk and the methods used to measure risk since the prior year end.

Interest rate sensitivity is measured by duration, being the measurement of what effect on the NAV of the Sub-Fund a 1% change in interest rates would have. The SSGA GRU Euro Cash Fund has a duration of 45 days at 30 September 2020 (30 September 2019: 41 days). The SSGA GRU Euribor Plus Fund has a duration of 74 days at 30 September 2020 (30 September 2019: 76 days). All other Sub-Funds are indexed.

The Investment Manager does not expect this position to materially change in the next reporting period.

Credit Risk

The Sub-Funds are exposed to credit risk, which is the risk that a counterparty or issuer will be unable to pay amounts in full when due.

SSGA GRU Euro Cash Fund (“the Sub-Fund”)

The SSGA Money Market Desk and the Investment Manager’s Portfolio Compliance Team monitor the current credit rating for all positions within the Sub-Fund on a daily basis to ensure that the Sub-Fund continues to meet the credit rating requirements and restrictions for the Sub-Fund as outlined in the Sub-Fund documentation.

The SSGA Money Market Desk and the Investment Manager’s Portfolio Compliance Team also ensure that there is appropriate investment diversification and that risk is not overly concentrated with a particular counterparty or issuer at any time.

SSGA GRU EMU Bond Index Fund (“the Sub-Fund”)

The Investment Manager monitors the current credit rating for all positions within the Sub-Fund on a daily basis to ensure that the Sub-Fund continues to meet the credit rating requirements and restrictions as outlined in the Sub-Fund documentation.

The Investment Manager also ensures that there is appropriate investment diversification and that risk is not overly concentrated with a particular counterparty or issuer at any time, while focusing on the core objective for the Sub-Fund which is to track as closely as reasonably possible the performance of the FTSE EMU Government Bond Index 1-3 Years.

The carrying amounts of financial assets best represent the Sub-Fund’s maximum credit risk exposure at the statement of financial position date.

State Street Global Advisors Gross Roll Up Unit Trust 46 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020

Notes to the Financial Statements (Continued) For the year ended 30 September 2020

10. Financial Risk Management (Continued) Credit Risk (Continued)

The GRU EMU Bond Index Fund, the SSGA GRU Euro Cash Fund SSGA and the SSGA GRU Euribor Plus Fund hold interest-bearing securities with the following credit exposures as at 30 September 2020 and 30 September 2019.

Sub-Fund Name As at 30 September 2020 As at 30 September 2019

Investment grade Non-investment grade Investment grade Non-investment grade SSGA GRU EMU Bond Index Fund 100% – 100% – SSGA GRU Euro Cash Fund 100% – 100% – SSGA GRU Euribor Plus Fund 100% – 100% –

The Sub-Funds take on exposure to credit risk, which is the risk that a counterparty or issuer will be unable to pay amounts in full when due. The Sub-Funds’ credit exposure comprises:

• the risk that cash, the majority of which is held with The Northern Trust Company, at the reporting date, may be lost; and

• the risk that brokers may fail to pay for securities received from the Sub-Funds, or to deliver securities paid for by the Sub-Funds.

Northern Trust Fiduciary Services (Ireland) Limited (“NTFSIL”) is the appointed Depositary of the Trust, responsible for the safe-keeping of assets. NTFSIL has TNTC as its global sub-custodian. Both NTFSIL and TNTC are wholly owned subsidiaries of Northern Trust Corporation (“NTC”). As at year-end date 30 September 2020, NTC had a long term credit rating from Standard & Poor’s of (A+).

TNTC (as global sub-custodian of NTFSIL) does not appoint external sub-custodians within the U.S., the U.K., Ireland and Canada. However, in all other markets, TNTC appoints local external sub-custodians.

NTFSIL, in the discharge of its depositary duties, verifies the Sub-Fund’s ownership of Other Assets, (as defined under Other Assets, (Art 22(5) of UCITS V Directive 2014/91/EU)), by assessing whether the Sub-Fund holds the ownership based on information or documents provided by the Sub-Fund or where available, on external evidence.

TNTC, in the discharge of its delegated depositary duties, holds in custody (i) all financial instruments that may be registered in a financial instruments account opened on the books of TNTC and (ii) all financial instruments that can be physically delivered to TNTC. TNTC ensures all financial instruments (held in a financial instruments account on the books of TNTC) are held in segregated accounts in the name of the Sub-Fund, clearly identifiable as belonging to the Sub-Fund, and distinct and separately from the proprietary assets of TNTC, NTFSIL and NTC.

In addition TNTC, as banker, holds cash of the Sub-Fund on deposit. Such cash is held on the Statement of Financial Position of TNTC. In the event of insolvency of TNTC, in accordance with standard banking practice, the Sub-Fund will rank as an unsecured creditor of TNTC in respect of any cash deposits.

Insolvency of NTFSIL and or one of its agents or affiliates may cause the Sub-Fund’s rights with respect to its assets to be delayed.

The Responsible Party manages risk by monitoring the credit quality and financial position of the Depositary and such risk is further managed by the Depositary monitoring the credit quality and financial positions of sub-custodian appointments.

Liquidity Risk

Liquidity risk is the risk that an entity will encounter difficulty in meeting obligations associated with financial liabilities that are settled by delivering cash or other financial assets.

The Sub-Funds invest all of their assets in investments that are traded in an active market and can be readily disposed of.

All of the Sub-Funds are limited to weekly dealing except for SSGA GRU Euro Cash Fund which has daily dealing. All redemptions of redeemable units in the Sub-Funds are payable within 3 business days of the dealing day on which the redemption takes place.

SSGA GRU Euro Index Equity Fund, SSGA GRU World Ex Euro Index Equity Fund and SSGA GRU EMU Bond Index Fund

The Investment Manager monitors the Sub-Funds’ liquidity position on a daily basis. The Investment Manager reviews the current and future forecasted liquidity position of the Sub-Funds on a daily basis and ensures that any cash required to meet the settlement of redemption requests is generated as appropriate.

State Street Global Advisors Gross Roll Up Unit Trust 47 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020

Notes to the Financial Statements (Continued) For the year ended 30 September 2020

10. Financial Risk Management (Continued) Liquidity Risk (Continued) SSGA GRU Euro Cash Fund and SSGA GRU Euribor Plus Fund

The Investment Manager monitors the Sub-Funds liquidity position on a daily basis. The monitoring of liquidity risk within the Sub-Fund is specifically carried out by the Investment Adviser’s Cash Team. The Investment Adviser’s Cash Team reviews the current and future forecasted liquidity position of the Sub-Fund on a daily basis and ensures that any cash required to meet the settlement of redemption requests is generated as appropriate.

All of the Sub-Funds have the ability to borrow in the short term to ensure settlement. The Sub-Funds’ Prospectus allows the Sub-Funds to borrow up to 10% of the Sub-Funds’ net assets at any time for the account of any Sub-Funds, and the Depositary may charge the assets of such Sub-Funds as security for any such borrowing, provided that such borrowing is only for temporary purposes. None of the Sub-Funds generally borrow or had borrowings as of the Balance Sheet date (30 September 2019: Nil).

As at 30 September 2020 and 30 September 2019 none of the Sub-Funds held financial liabilities.

For these reasons, the Investment Manager has assessed the risk of the Sub-Funds being affected by the lack of liquidity as low.

11. Fair Value Measurement

FRS 102 requires the Trust to classify financial instruments measured at fair value into the following hierarchy:

• 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 (that is, as prices) or indirectly (that is, derived from prices).

• Level 3 – Inputs for the asset or liability that are not based on observable market data (that is, unobservable inputs).

State Street Global Advisors Gross Roll Up Unit Trust 48 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020

Notes to the Financial Statements (Continued) For the year ended 30 September 2020

11. Fair Value Measurement (continued)

The following table analyses within the fair value hierarchy the Trust’s financial assets and liabilities measured at fair value at 30 September 2020:

Level 1 Level 2 Level 3 Total € € € € SSGA GRU Euro Index Equity Fund Financial assets at fair value through profit or loss -Equities 94,630,139 – – 94,630,139 Total 94,630,139 – – 94,630,139

Financial liabilities at fair value through profit or loss -Future contracts (4,960) – – (4,960) Total (4,960) – – (4,960)

Net financial assets and liabilities at fair value through profit or loss 94,625,179 – – 94,625,179

SSGA GRU World Ex Euro Index Equity Fund Financial assets at fair value through profit or loss -Equities 336,327,142 28,815 – 336,355,957 Total 336,327,142 28,815 – 336,355,957

Financial liabilities at fair value through profit or loss -Future contracts (10,543) – – (10,543) Total (10,543) – – (10,543)

Net financial assets and liabilities at fair value through profit or loss 336,345,414 28,815 – 336,345,414

SSGA GRU EMU Bond Index Fund Financial assets at fair value through profit or loss -Debt securities – 176,482,692 – 176,482,692 Total – 176,482,692 – 176,482,692

SSGA GRU Euro Cash Fund Financial assets at fair value through profit or loss -Cash equivalents 9,495,000 – – 9,495,000 -Debt securities – 74,557,874 – 74,557,874 Total 9,495,000 74,557,874 – 84,052,874

SSGA GRU Euribor Plus Fund Financial assets at fair value through profit or loss -Debt securities – 955,219,457 – 955,219,457 -Investment Funds – 50,450,960 – 50,450,960 Total – 1,005,670,417 – 1,005,670,417

State Street Global Advisors Gross Roll Up Unit Trust 49 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020

Notes to the Financial Statements (Continued) For the year ended 30 September 2020

11. Fair Value Measurement (continued)

The following table analyses within the fair value hierarchy the Trust’s financial assets and liabilities measured at fair value at 30 September 2019:

Level 1 Level 2 Level 3 Total € € € € SSGA GRU Euro Index Equity Fund Financial assets at fair value through profit or loss -Equities 139,685,291 – – 139,685,291 -Future contracts 2,560 – – 2,560 Total 139,687,851 – – 139,687,851

SSGA GRU World Ex Euro Index Equity Fund Financial assets at fair value through profit or loss -Equities 506,809,558 – – 506,809,558 -Future contracts 8,715 – – 8,715 Total 506,818,273 – – 506,818,273

Financial liabilities at fair value through profit or loss -Future contracts (13,475) – – (13,475) Total (13,475) – – (13,475)

Net financial assets and liabilities at fair value through profit or loss 506,804,798 – – 506,804,798

SSGA GRU EMU Bond Index Fund Financial assets at fair value through profit or loss -Debt securities – 182,932,555 – 182,932,555 Total – 182,932,555 – 182,932,555

SSGA GRU Euro Cash Fund Financial assets at fair value through profit or loss -Cash equivalents 10,491,620 – – 10,491,620 -Debt securities – 110,065,075 – 110,065,075 Total 10,491,620 110,065,075 – 120,556,695

SSGA GRU Euribor Plus Fund Financial assets at fair value through profit or loss -Debt securities – 861,055,752 – 861,055,752 -Investment Funds – 9,268,026 – 9,268,026 Total – 870,323,778 – 870,323,778

There have been transfers during 30 September 2020 from Level 1 to Level 2. In SSGA GRU World Ex Euro Index Equity Fund, 4,419 units of Hiroshima Bank Limited and 789 units of SillaJen Inc moved from level 1 to level 2 as they are stale priced. There have been no transfers during 30 September 2019 from Level 1 to Level 2 or from Level 2 to Level 1.There were no financial assets or financial liabilities classified at Level 3 during 30 September 2020 (30 September 2019: Nil).

12. Dividends

The Manager has the option to declare dividends in any class of units in respect of any Sub-Fund. However, unless specifically declared, it is intended that the classes of units shall be accumulating classes. Therefore, in the absence of such a declaration, it is not intended to distribute dividends to unitholders in these classes, with the net income and profits from these classes being accumulated and reinvested on behalf of unitholders.

However, the Manager may create classes of units that are distributing units. In respect of these units, dividends will be paid out of the net investment income of the relevant Sub-Fund and/or the excess of realised and unrealised gains over realised and unrealised losses in respect of the investments of the Sub-Fund. Any classes of distributing units created shall bear the designation “(Distributing)”, and distribution dates and payment methods shall be set out in the relevant Supplement to the Prospectus.

State Street Global Advisors Gross Roll Up Unit Trust 50 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020

Notes to the Financial Statements (Continued) For the year ended 30 September 2020

13. Exchange Rates

The following exchange rates were used to convert foreign currency assets and liabilities at 30 September 2020 and 30 September 2019:

30 September 2020 30 September 2019 Australian Dollar 1.63607 1.61643 Canadian Dollar 1.56637 1.44343 Hong Kong Dollar 9.08804 8.54652 Israeli new shekel 4.01082 3.78932 Japanese Yen 123.74976 117.82348 New Zealand Dollar 1.77405 1.73862 Norwegian Krone 10.97202 9.90551 Singapore Dollar 1.60079 1.50764 Swedish Krona 10.49522 10.71902 Danish Krone 7.44369 7.46630 Korean Won 1,371.41429 1,304.04399 Polish Zloty 4.53388 4.37078 Pound Sterling 0.90706 0.88469 Swiss Franc 1.07737 1.08709 United States Dollar 1.17265 1.09020 14. Soft Commission Arrangements

No soft commission arrangements in place for the Sub-Funds for the year ended 30 September 2020 and 30 September 2019.

15. Contingent Liability

The Manager is not aware of any contingent liabilities as at 30 September 2020 (30 September 2019: €Nil).

16. Significant Events During the Year

On 11 October 2019 an addendum to the prospectus for the fund was noted by the Central Bank of Ireland.

Whilst restrictions have been lifted in some cases, local lockdowns may continue to be deployed as necessary and the emergence of significant further outbreaks or a “second wave” are being seen. The pandemic and the measures taken to tackle COVID-19 continue to affect economies and equity markets globally, all of which may negatively impact a Sub-Fund's performance.

In addition, the outbreak of coronavirus COVID-19, and measures taken to mitigate its effects, could result in disruptions to the services provided to the Sub-Funds by their service providers.

Potential Implication of Brexit

The UK formally left the EU on 31 January 2020 with a transition period lasting until 31 December 2020 during which EU law will continue to apply to the UK as if it were a member state. Due to the current status of the UK an EU trade negotiations there is a risk that the UK will leave the EU without any trade deal at the end of the Transition Period on 31 December 2020.

17. Subsequent Events

There are no material subsequent events that affect these financial statements.

State Street Global Advisors Gross Roll Up Unit Trust 51 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020

Notes to the Financial Statements (Continued) For the year ended 30 September 2020

18. Approval of Financial Statements

The Directors of the Manager approved the financial statements and authorised them for issue on 18 December 2020.

State Street Global Advisors Gross Roll Up Unit Trust 52 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Schedule of Investments SSGA GRU Euro Index Equity Fund As at 30 September 2020

Number Fair Value % of of Shares EUR Net Assets

Equities (2019: 99.24%) Austria (2019: 0.70%) Andritz AG 1,571 41,412 0.04% Erste Group Bank AG 6,701 119,780 0.12% OMV AG 3,318 77,641 0.08% Raiffeisen Bank International AG 3,365 43,981 0.05% Telekom Austria AG 4,256 25,664 0.03% Verbund AG 1,551 72,401 0.08% Vienna Insurance Group AG 1,137 21,580 0.02% Voestalpine AG 2,957 66,532 0.07% 468,991 0.49%

Belgium (2019: 3.44%) Ackermans & van Haaren NV 517 57,232 0.06% Ageas SA/NV 4,584 159,798 0.17% Anheuser-Busch InBev NV 20,799 961,434 1.00% Colruyt SA 1,262 69,864 0.07% Elia Group SA/NV 868 73,954 0.08% Galapagos NV 1,176 142,531 0.15% Groupe Bruxelles Lambert SA 2,552 196,453 0.20% KBC Group NV 6,857 293,411 0.30% Proximus 3,603 56,117 0.06% Sofina NV 408 95,064 0.10% Solvay SA 1,639 120,401 0.12% Telenet Group Holdings NV 1,393 46,164 0.05% UCB SA 3,018 292,746 0.30% Umicore SA 5,247 186,531 0.19% 2,751,700 2.85%

Finland (2019: 3.84%) Elisa 3,317 166,779 0.17% Fortum Oyj 11,124 192,167 0.20% Huhtamaki Oyj 2,383 100,515 0.11% Kesko Oyj B Shares 6,857 150,854 0.16% Kojamo Oyj 4,925 90,324 0.09% Kone Corporation Oyj B Shares 9,809 736,264 0.76% Metso Outotec Oyj 15,445 92,593 0.10% Neles Oyj 2,671 30,863 0.03% Neste Oyj 10,405 467,913 0.49% Nokia Oyj 135,113 452,629 0.47% Nokian Renkaat Oyj 3,129 75,565 0.08% Nordea Bank Abp 81,602 529,352 0.55% Orion Oyj 3,053 118,059 0.12% Sampo Oyj A Shares 12,665 427,950 0.44% Stora Enso Oyj R Shares 13,927 186,274 0.19% UPM-Kymmene Oyj 13,305 345,797 0.36% Wartsila Oyj 13,508 90,747 0.09% 4,254,645 4.41%

France (2019: 33.61%) Accor SA 4,015 96,360 0.10% Aeroports de Paris 736 62,818 0.06% Air Liquide SA 11,732 1,589,686 1.65% Airbus Group 13,893 862,339 0.89% ALD SA 466 3,691 0.00% Alstom SA 4,723 200,822 0.21% Amundi SA 1,529 92,046 0.10% Arkema SA 1,683 152,513 0.16% Atos SE 2,138 147,094 0.15% AXA SA 47,885 755,434 0.78% BioMerieux 1,035 138,483 0.14% BNP Paribas SA 26,997 836,232 0.87% Bollore SA 29,613 94,406 0.10%

State Street Global Advisors Gross Roll Up Unit Trust 53 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Schedule of Investments SSGA GRU Euro Index Equity Fund (Continued) As at 30 September 2020

Number Fair Value % of of Shares EUR Net Assets

Equities (2019: 99.24%) (continued) France (2019: 33.61%) (continued) Bouygues SA 5,780 171,204 0.18% Bureau Veritas SA 6,508 125,344 0.13% Cap Gemini SA 3,889 426,818 0.44% Carrefour SA 14,889 203,458 0.21% Casino Guichard Perrachon SA 1,165 24,174 0.02% Cie de Saint-Gobain 11,996 431,976 0.45% Cie Generale des Etablissements Michelin 4,390 402,651 0.42% CNP Assurances 3,648 38,961 0.04% Covivio 1,057 63,526 0.07% Credit Agricole SA 29,117 217,562 0.23% Danone SA Com 14,947 825,373 0.86% Dassault Aviation SA 78 56,550 0.06% Dassault Systemes 3,296 526,536 0.55% Edenred 6,035 231,744 0.24% Eiffage SA 1,760 122,883 0.13% Electricite de France SA 13,760 124,198 0.13% Engie 40,835 466,336 0.48% Essilor International SA 7,379 857,071 0.89% Eurazeo SA 1,018 47,032 0.05% Faurecia 2,102 77,606 0.08% Gecina SA 1,343 151,356 0.16% Getlink SE 11,900 138,040 0.14% Hermes International 771 567,610 0.59% Icade 806 38,624 0.04% Iliad SA 385 60,464 0.06% Imerys SA 1,152 36,588 0.04% Ingenico Group 1,811 239,595 0.25% Ipsen SA 801 71,730 0.07% JCDecaux SA 2,072 30,603 0.03% Kering 1,844 1,046,654 1.08% Klepierre 3,640 43,625 0.04% La Francaise des Jeux SAEM 2,001 62,871 0.06% Legrand SA 6,564 447,534 0.46% L'Oreal SA 5,967 1,656,439 1.72% LVMH Louis Vuitton Moet Hennessy SA 6,198 2,475,481 2.57% Natixis Com 18,454 35,478 0.04% Orange SA 48,992 435,245 0.45% Orpea 1,156 112,201 0.12% Pernod Ricard SA 5,257 715,741 0.74% Peugeot SA 14,106 218,643 0.23% Plastic Omnium 1,162 26,215 0.03% Publicis Groupe SA 5,421 149,511 0.15% Remy Cointreau SA 597 93,013 0.10% Renault SA 4,523 100,388 0.10% Rexel SA 7,396 79,433 0.08% Rubis SCA 2,438 83,477 0.09% Safran SA 7,840 662,010 0.69% Sanofi SA 27,173 2,318,672 2.40% Sartorius Stedim Biotech 579 170,573 0.18% Schneider Electric SE 13,167 1,396,360 1.45% Scor SE 4,319 102,188 0.11% SEB SA 731 101,536 0.11% Societe Generale SA 19,766 223,712 0.23% Sodexo 2,068 126,189 0.13% Suez SA 9,803 154,936 0.16% Teleperformance 1,447 381,429 0.40% Thales SA 2,634 168,997 0.17% TOTAL SA 60,462 1,765,490 1.83% Ubisoft Entertainment SA 2,435 187,641 0.19% Unibail-Rodamco-Westfield 3,232 101,808 0.11% Valeo 6,070 159,337 0.16% Veolia Environnement SA 12,360 227,671 0.24% State Street Global Advisors Gross Roll Up Unit Trust 54 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Schedule of Investments SSGA GRU Euro Index Equity Fund (Continued) As at 30 September 2020

Number Fair Value % of of Shares EUR Net Assets

Equities (2019: 99.24%) (continued) France (2019: 33.61%) (continued) Vinci SA 11,635 832,135 0.86% Vivendi SA 19,983 475,595 0.49% Wendel SE 682 52,821 0.05% Worldline SA 3,115 218,424 0.23% 29,417,010 30.50%

Germany (2019: 26.91%) 1&1 Drillisch AG 850 16,078 0.02% Adidas AG 4,749 1,311,199 1.36% Allianz SE 10,304 1,685,940 1.75% Aroundtown SA 31,367 134,564 0.14% BASF SE 22,961 1,193,513 1.24% Bayer AG 24,612 1,312,066 1.36% Bayerische Motoren Werke A Shares AG 7,903 489,907 0.51% Bayerische Motoren Werke AG (Non Voting Preference Shares) Preference 1,324 61,831 0.06% Bechtle AG 628 108,581 0.11% Beiersdorf AG 2,525 244,925 0.25% Brenntag AG 3,897 211,607 0.22% Carl Zeiss Meditec AG 977 105,516 0.11% Commerzbank AG 27,072 113,513 0.12% Continental AG 2,766 255,800 0.27% Covestro AG 3,997 169,273 0.18% CTS Eventim AG & Co KGaA 1,145 47,266 0.05% Daimler AG 20,129 926,639 0.96% Delivery Hero AG 3,571 350,386 0.36% Deutsche Bank AG 50,548 363,440 0.38% Deutsche Boerse AG 4,587 687,133 0.71% Deutsche Lufthansa AG 5,959 43,858 0.05% Deutsche Post AG 24,233 942,664 0.98% Deutsche Telekom AG 80,584 1,151,545 1.19% Deutsche Wohnen AG 8,871 378,703 0.39% DWS Group GmbH & Co KGaA 719 21,135 0.02% E.ON AG 54,541 514,213 0.53% Evonik Industries AG 5,394 119,207 0.12% Fielmann AG 676 46,306 0.05% Fraport AG Frankfurt Airport Services Worldwide 852 28,781 0.03% Fresenius Medical Care AG & Co. KGaA 5,215 375,584 0.39% Fresenius SE & Co. KGaA 10,113 392,688 0.41% Fuchs Petrolub SE 1,096 35,072 0.04% Fuchs Petrolub SE (Non Voting Preference Shares) Preference 1,561 67,716 0.07% GEA Group AG 4,313 129,433 0.13% GRENKE AG 713 22,488 0.02% Hannover Rueck SE 1,529 202,134 0.21% HeidelbergCement AG 3,770 197,246 0.20% Hella Hueck & Co. 955 41,084 0.04% HelloFresh SE 3,550 168,909 0.18% Henkel AG & Co. KGaA 2,611 208,619 0.22% Henkel AG & Co. KGaA (Non Voting Preference Shares) Preference 4,378 391,043 0.41% Hochtief AG 569 37,810 0.04% Infineon Technologies AG 32,466 782,918 0.81% KION Group AG 1,736 127,040 0.13% Knorr-Bremse AG 1,671 168,169 0.17% Lanxess AG 2,008 98,292 0.10% LEG Immobilien 1,737 211,567 0.22% Merck KGaA 3,193 397,688 0.41% METRO AG 4,613 39,303 0.04% MTU Aero Engines AG 1,269 180,198 0.19% Muenchener Rueckversicherungs AG 3,541 766,981 0.80%

State Street Global Advisors Gross Roll Up Unit Trust 55 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Schedule of Investments SSGA GRU Euro Index Equity Fund (Continued) As at 30 September 2020

Number Fair Value % of of Shares EUR Net Assets

Equities (2019: 99.24%) (continued) Germany (2019: 26.91%) (continued) Nemetschek SE 1,355 84,687 0.09% OSRAM Licht AG 586 29,792 0.03% Porsche Automobil Holding SE (Non Voting Preference Shares) Preference 3,938 200,444 0.21% ProSiebenSat.1 Media AG 4,395 49,246 0.05% Puma SE 2,163 166,248 0.17% Rational AG 91 60,879 0.06% Rheinmetall AG 1,098 84,282 0.09% RWE AG 15,520 496,330 0.51% SAP SE 28,096 3,730,025 3.87% Sartorius AG Preference 852 298,541 0.31% Scout24 AG 2,394 178,353 0.19% Siemens AG 19,025 2,052,417 2.13% Siemens Energy AG 9,513 218,787 0.23% Siemens Healthineers AG 3,566 136,578 0.14% Suedzucker AG 1,317 21,730 0.02% Symrise AG 3,150 371,700 0.39% Talanx AG 1,076 29,612 0.03% TeamViewer AG 2,927 123,285 0.13% Telefonica Deutschland Holding AG 13,751 30,101 0.03% ThyssenKrupp AG 11,704 50,468 0.05% Traton SE 1,815 30,819 0.03% Uniper SE 2,554 70,388 0.07% United Internet AG 2,751 89,875 0.09% Varta AG 279 33,424 0.03% Volkswagen AG 804 119,957 0.12% Volkswagen AG (Non Voting Preference Shares) Preference 4,575 628,605 0.65% Vonovia SE 14,305 837,987 0.87% Wacker Chemie AG 479 39,709 0.04% Zalando SE 4,245 339,175 0.35% 28,681,015 29.73%

Ireland (2019: 0.73%) AIB Group Plc 22,639 19,832 0.02% Anglo Irish Bank 1 5,800 – 0.00% Anglo Irish Bank 2 19,336 – 0.00% Glanbia Plc 3,260 28,036 0.03% Kerry Group Plc 3,864 423,108 0.44% Kingspan Group Plc 3,770 292,587 0.30% 763,563 0.79%

Italy (2019: 7.24%) A2A SpA 37,318 46,274 0.05% Amplifon SpA 2,941 89,848 0.09% Assicurazioni Generali SpA 31,841 382,888 0.40% Atlantia SpA 12,724 170,883 0.18% Banca Mediolanum SpA 4,217 25,935 0.03% Buzzi Unicem SpA 1,307 14,665 0.01% Buzzi Unicem SpA 1,872 37,225 0.04% Davide Campari-Milano NV 14,451 134,669 0.14% DiaSorin SpA 668 114,829 0.12% Enel SpA 194,741 1,444,589 1.50% Eni SpA 61,529 411,506 0.43% Ferrari NV 3,045 476,999 0.49% FinecoBank SpA 15,862 186,458 0.19% Hera SpA 19,140 60,329 0.06% Infrastrutture Wireless Italiane SpA 8,257 77,946 0.08% Intesa Sanpaolo SpA 389,288 624,029 0.65% Italgas SpA 12,016 64,706 0.07% Leonardo SpA 9,495 47,475 0.05%

State Street Global Advisors Gross Roll Up Unit Trust 56 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Schedule of Investments SSGA GRU Euro Index Equity Fund (Continued) As at 30 September 2020

Number Fair Value % of of Shares EUR Net Assets

Equities (2019: 99.24%) (continued) Italy (2019: 7.24%) (continued) Mediobanca SpA 18,662 124,998 0.13% Moncler SpA 4,674 163,497 0.17% Nexi SpA 6,452 110,458 0.11% Pirelli & C SpA 8,401 30,764 0.03% Poste Italiane SpA 12,231 92,564 0.09% Prysmian SpA 6,073 150,853 0.16% Recordati Industria Chimica e Farmaceutica SpA 2,389 104,495 0.11% Snam SpA 52,117 228,741 0.24% Telecom Italia SpA 305,421 104,454 0.11% Telecom Italia SpA (Non Voting) 150,716 51,967 0.05% Terna Rete Elettrica Nazionale SpA 33,620 200,846 0.21% UniCredit SpA 53,496 376,879 0.39% UnipolSai SpA 6,362 14,162 0.01% 6,165,931 6.39%

Luxembourg (2019: 0.60%) ArcelorMittal SA 16,305 185,616 0.19% Eurofins Scientific Group SE 300 202,620 0.21% RTL Group SA 877 29,485 0.03% Tenaris SA 11,925 50,812 0.06% 468,533 0.49%

Netherlands (2019: 9.79%) Aalberts Industries NV 2,295 70,732 0.07% ABN AMRO 8,615 61,614 0.06% Adyen NV 678 1,066,155 1.10% Aegon NV 46,802 103,900 0.11% Akzo Nobel NV 4,804 415,137 0.43% Altice Europe NV 15,681 64,167 0.07% Argenx SE 1,149 258,525 0.27% ASM International NV 1,245 152,326 0.16% ASML Holding NV 9,983 3,141,650 3.26% ASR Nederland NV 3,681 105,645 0.11% CNH Industrial NV 24,185 160,782 0.17% Euronext NV 1,481 158,319 0.16% Exor NV 2,422 112,575 0.12% Fiat Chrysler Automobiles NV 28,171 294,894 0.31% GrandVision NV 923 22,014 0.02% Heineken Holding NV 2,519 167,388 0.17% Heineken NV 5,997 455,052 0.47% IMCD NV 1,437 145,999 0.15% ING Group NV 96,928 587,093 0.61% JDE Peet's BV 1,466 50,914 0.05% Koninklijke Ahold Delhaize NV 27,269 688,542 0.71% Koninklijke DSM NV 4,207 591,504 0.61% Koninklijke KPN NV 77,140 154,820 0.16% Koninklijke Philips NV 22,751 914,590 0.95% Koninklijke Vopak NV 1,359 65,314 0.07% NN Group NV 7,897 253,099 0.26% Qiagen NV 5,199 230,316 0.24% Randstad Holding NV 2,805 124,907 0.13% Signify NV 3,228 101,940 0.11% STMicroelectronics NV 15,678 411,704 0.43% Wolters Kluwer NV 6,672 485,988 0.50% 11,617,605 12.04%

People's Republic of China (2019: 0.67%) Prosus NV 10,761 846,891 0.88% 846,891 0.88%

State Street Global Advisors Gross Roll Up Unit Trust 57 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Schedule of Investments SSGA GRU Euro Index Equity Fund (Continued) As at 30 September 2020

Number Fair Value % of of Shares EUR Net Assets

Equities (2019: 99.24%) (continued) Portugal (2019: 0.46%) Banco Espirito Santo SA (Registered) 76,249 – 0.00% Energias de Portugal SA 69,072 289,757 0.30% Galp Energia SGPS SA 11,811 93,449 0.10% Jeronimo Martins SGPS SA 6,380 87,438 0.09% 470,644 0.49%

Spain (2019: 9.07%) Acciona SA Com 458 42,502 0.04% ACS Actividades de Construccion y Servicios SA 5,935 114,931 0.12% Aena SA 1,806 215,456 0.22% Amadeus IT Holdings SA 10,801 514,020 0.53% Banco Bilbao Vizcaya Argentaria SA 166,441 394,798 0.41% Banco Santander SA 409,942 655,743 0.68% Bankia SA 35,459 44,022 0.05% Bankinter SA 18,538 68,164 0.07% CaixaBank SA 83,544 151,465 0.16% Cellnex Telecom SA 8,466 440,232 0.46% EDP Renovaveis SA 4,882 69,031 0.07% Enagas SA 6,602 130,026 0.13% Endesa SA 8,057 183,941 0.19% Ferrovial SA 12,073 250,515 0.26% Grifols SA 7,767 190,991 0.20% Iberdrola SA 147,913 1,554,566 1.61% Industria de Diseno Textil SA 26,425 628,915 0.65% Inmobiliaria Colonial Socimi SA 6,141 43,325 0.04% Mapfre SA 33,839 45,243 0.05% Merlin Properties Socimi SA 9,041 64,417 0.07% Naturgy Energy Group SA 6,710 114,875 0.12% Red Electrica SA 11,349 181,754 0.19% Repsol SA 36,077 206,433 0.21% Siemens Gamesa Renewable Energy SA 5,009 115,658 0.12% Telefonica SA 117,655 345,553 0.36% Zardoya Otis SA 2,871 14,958 0.02% 6,781,534 7.03%

United Kingdom (2019: 2.18%) TechnipFMC Plc 12,585 68,764 0.07% Unilever NV 36,375 1,873,313 1.94% 1,942,077 2.01%

Total Equities 94,630,139 98.10%

Future contracts (2019: 0.00%) Notional market Unrealised No. of value Gain/Loss % of contracts € € net assets

34 Fut. Euro Stoxx 50 Dec20 1,090,920 (4,960) 0.00% (4,960) 0.00%

The Future Counterparty is JP Morgan Securities Limited.

State Street Global Advisors Gross Roll Up Unit Trust 58 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Schedule of Investments SSGA GRU Euro Index Equity Fund (Continued) As at 30 September 2020

Fair Value % of EUR Net Assets

Total financial assets at fair value through profit or loss (2019: 99.24%) 94,625,179 98.10%

Cash (2019: 0.20%) 237,822 0.25%

Other assets in excess of other liabilities (2019: 0.56%) 1,599,678 1.65%

Net assets attributable to redeemable unitholders 96,462,679 100.00%

% of total Analysis of total assets assets

(a) Transferable securities admitted to official stock exchange listing 97.25% (b) Other assets 2.75% Total assets 100.00%

State Street Global Advisors Gross Roll Up Unit Trust 59 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Schedule of Investments SSGA GRU World Ex Euro Index Equity Fund As at 30 September 2020

Number Fair Value % of of Shares EUR Net Assets

Equities (2019: 99.34%) Argentina (2019: 0.06%) Mercadolibre Inc 400 369,242 0.11% 369,242 0.11%

Australia (2019: 2.83%) Adelaide Brighton Limited 6,095 10,617 0.00% Afterpay Ltd 2,557 125,016 0.04% AGL Energy Limited 6,518 54,261 0.02% Altium Ltd 1,591 34,931 0.01% Amcor Limited 16,059 150,473 0.04% Amp Limited 12,842 10,243 0.00% Ampol Ltd 1,743 25,515 0.01% APA Group 14,591 92,127 0.03% Aristocrat Leisure 5,036 92,251 0.03% ASX Limited 2,220 109,937 0.03% Atlas Arteria Ltd 5,352 19,857 0.01% Aurizon Holdings Limited 16,757 43,530 0.01% Australia & New Zealand Banking Group Limited 25,083 264,005 0.08% Bank of Queensland 5,672 19,865 0.01% Beach Energy Ltd 25,861 20,865 0.01% Bendigo & Adelaide Bank Limited 6,665 24,606 0.01% BGP Holdings Plc 68,524 – 0.00% BHP Group Limited 25,080 545,729 0.16% BHP Group Plc 20,337 370,794 0.11% BlueScope Steel Limited 1,773 13,763 0.00% Boral Limited 16,630 46,351 0.01% Brambles Limited 13,346 85,571 0.03% Challenger Limited 5,539 12,967 0.00% Charter Hall Group 2,226 16,912 0.00% CIMIC Limited 1,372 15,556 0.00% Cleanaway Waste Management Ltd 19,838 25,342 0.01% Coca-Cola Amatil 2,233 12,966 0.00% Cochlear Limited 875 105,894 0.03% Coles Group Ltd 13,987 145,336 0.04% Commonwealth Bank of Australia 16,450 639,574 0.19% Computershare Limited 2,582 19,285 0.01% Crown Resorts Limited 5,281 28,373 0.01% CSL Limited 3,942 691,509 0.20% CSR Limited 7,595 19,822 0.01% Dexus Property Group 16,786 91,211 0.03% Domain Holdings Australia Limited 3,462 7,829 0.00% Domino's Pizza Enterprises 903 43,724 0.01% Downer EDI Limited 10,299 27,698 0.01% Evolution Mining Ltd 14,336 50,384 0.01% Flight Centre Travel Limited 1,334 11,228 0.00% Fortescue Metals Group Limited 13,481 134,310 0.04% Goodman Group 19,435 213,111 0.06% GPT Real Estate Investment Trust 31,198 74,369 0.02% Harvey Norman Holdings Limited 8,944 24,764 0.01% IDP Education Ltd 1,868 21,705 0.01% Insurance Australia Group Limited 15,517 41,541 0.01% IOOF Holdings Limited 7,657 14,415 0.00% James Hardie Industries SE 5,447 110,334 0.03% Lend Lease Group 6,295 42,440 0.01% Macquarie Group Limited 3,229 235,988 0.07% Magellan Financial Group Limited 889 30,777 0.01% Medibank Private Limited 21,589 33,121 0.01% Metcash Limited 17,709 29,875 0.01% Mirvac Group Reits 34,740 46,290 0.01% National Australia Bank Limited 33,238 360,606 0.11% Newcrest Mining Limited 7,676 146,570 0.04% Northern Star Resources Ltd 5,996 49,989 0.01% Nufarm Limited 4,440 10,448 0.00% State Street Global Advisors Gross Roll Up Unit Trust 60 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Schedule of Investments SSGA GRU World Ex Euro Index Equity Fund (Continued) As at 30 September 2020

Number Fair Value % of of Shares EUR Net Assets

Equities (2019: 99.34%) (continued) Australia (2019: 2.83%) (continued) Oil Search Limited 21,919 35,369 0.01% Orica Limited 2,727 25,719 0.01% Origin Energy Limited 8,722 22,924 0.01% Orora Limited 14,548 21,341 0.01% OZ Minerals Limited 4,204 36,000 0.01% Perpetual Limited 1,169 19,985 0.01% Platinum Asset Management Ltd 3,504 6,575 0.00% Qantas Airways Limited 12,501 30,946 0.01% QBE Insurance Group Limited 11,961 62,946 0.02% Qube Holdings Ltd 21,557 33,072 0.01% Ramsay Health Care Limited 1,559 62,967 0.02% REA Group Limited 722 48,530 0.01% Santos Limited 8,575 25,577 0.01% Saracen Mineral Holdings Ltd 14,225 44,951 0.01% Scentre Group 48,327 64,985 0.02% Seek Limited 2,365 30,776 0.01% Seven Group Holdings Ltd 1,767 19,354 0.01% Shopping Centres Australasia Property Group 15,096 19,746 0.01% Sonic Healthcare Limited 6,148 124,609 0.04% South32 Limited 41,067 51,206 0.01% Star Entertainment Group 12,864 24,060 0.01% Stockland 10,386 23,996 0.01% Suncorp Group Limited 12,145 62,727 0.02% Sydney Airport 10,166 36,412 0.01% Tabcorp Holdings Limited 45,428 92,740 0.03% Telstra Corporation Limited 38,074 64,695 0.02% TPG Telecom Ltd 4,872 21,738 0.01% Transurban Group 28,299 244,060 0.07% Treasury Wine Estates Limited 5,008 27,365 0.01% Tuas Ltd 1,795 587 0.00% Vicinity Centres Reits 34,493 28,989 0.01% Vocus Communications Limited 9,119 19,843 0.01% Washington H Soul Pattinson & Co Ltd 1,217 17,488 0.00% Wesfarmers Limited 10,454 283,831 0.08% Westpac Banking Corporation Limited 32,445 333,956 0.10% Whitehaven Coal Limited 12,293 7,852 0.00% WiseTech Global Ltd 1,171 18,459 0.01% Woodside Petroleum Limited 8,651 92,958 0.03% Woolworths Limited 11,366 253,085 0.07% WorleyParsons Limited 4,360 25,450 0.01% 8,214,439 2.43%

Bermuda (2019: 0.02%) RenaissanceRe Holdings Limited 500 72,375 0.02% 72,375 0.02%

Cambodia (2019: 0.01%) NagaCorp Ltd 20,000 20,268 0.01% 20,268 0.01%

Canada (2019: 3.45%) Agnico Eagle Mines Limited 2,722 184,361 0.05% Alimentation Couche Tard Inc 8,700 257,551 0.08% Bank of Montreal 6,409 318,493 0.09% Bank of Nova Scotia 12,063 426,034 0.13% Barrick Gold Corporation 17,923 427,946 0.13% BCE Inc 2,684 94,621 0.03% Brookfield Asset Management Inc 10,901 306,632 0.09% Canadian Imperial Bank of Commerce 4,624 293,818 0.09% Canadian National Railway Company 6,589 596,531 0.18% Canadian Natural Resources Limited 10,332 140,762 0.04%

State Street Global Advisors Gross Roll Up Unit Trust 61 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Schedule of Investments SSGA GRU World Ex Euro Index Equity Fund (Continued) As at 30 September 2020

Number Fair Value % of of Shares EUR Net Assets

Equities (2019: 99.34%) (continued) Canada (2019: 3.45%) (continued) Canadian Pacific Railway Limited 1,370 354,271 0.10% Canadian Tire Corporation Limited 900 77,062 0.02% Canadian Utilities Limited 600 12,166 0.00% Canopy Growth Corp 2,600 31,687 0.01% Cenovus Energy Inc 15,692 51,994 0.01% CGI Inc 2,950 170,216 0.05% Constellation Software Inc 176 166,254 0.05% Dollarama Inc 2,700 87,979 0.03% Enbridge Inc - Canada 20,343 505,209 0.15% Fairfax Financial Holdings Limited 200 50,065 0.01% Fortis Inc 5,411 188,062 0.06% Franco-Nevada Corporation 1,600 190,065 0.06% George Weston Limited 573 35,817 0.01% Great-West Lifeco Inc 3,890 64,619 0.02% Hydro One Limited 2,900 52,247 0.01% IGM Financial 1,100 21,440 0.01% Imperial Oil Limited 1,044 10,624 0.00% Intact Financial Corporation 1,400 127,436 0.04% Loblaw Companies Limited 1,570 69,892 0.02% Magna International Inc 2,600 101,137 0.03% Manulife Financial Corporation 17,666 208,875 0.06% Metro Inc 2,000 81,577 0.02% National Bank of Canada 3,679 155,346 0.05% Nutrien Limited 4,881 162,693 0.05% Pembina Pipeline Corporation 4,300 77,580 0.02% Power Corporation of Canada 5,142 85,647 0.02% Restaurant Brands International Inc 3,208 156,635 0.05% Rogers Communications Inc 2,850 96,106 0.03% Royal Bank of Canada 13,921 830,887 0.25% Saputo Inc 2,000 42,646 0.01% Shaw Communications Inc 4,100 63,606 0.02% Shopify Inc 1,000 869,330 0.26% Sun Life Financial Inc 4,826 167,176 0.05% Suncor Energy Inc 13,305 138,115 0.04% TC Energy Corporation 10,561 376,897 0.11% Teck Resources Limited 3,200 37,876 0.01% Telus Corporation 3,796 56,781 0.02% Thomson Reuters Corp 1,980 134,320 0.04% Toronto-Dominion Bank 17,861 702,984 0.21% Waste Connections 2,850 251,818 0.07% Wheaton Precious Metals Corporation 3,863 161,118 0.05% 10,273,004 3.04%

Chile (2019: 0.01%) Antofagasta Plc 4,711 53,157 0.02% 53,157 0.02%

Denmark (2019: 0.64%) Ambu A/S 906 21,908 0.01% AP Moeller - Maersk B Shares 101 136,771 0.04% Carlsberg A/S 905 104,072 0.03% Chr Hansen Holding A/S 1,003 95,103 0.03% Coloplast A/S 1,080 145,597 0.04% Danske Bank A/S 5,690 65,815 0.02% DSV A/S 2,064 287,680 0.08% Genmab A/S 538 166,235 0.05% GN Store Nord A/S 1,952 126,083 0.04% H Lundbeck A/S 883 24,852 0.01% Novo Nordisk A/S 14,911 880,094 0.26% Novozymes A/S 1,881 101,054 0.03% Orsted A/S 2,001 235,324 0.07%

State Street Global Advisors Gross Roll Up Unit Trust 62 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Schedule of Investments SSGA GRU World Ex Euro Index Equity Fund (Continued) As at 30 September 2020

Number Fair Value % of of Shares EUR Net Assets

Equities (2019: 99.34%) (continued) Denmark (2019: 0.64%) (continued) Pandora A/S 569 34,987 0.01% Rockwool International A/S 96 31,468 0.01% Tryg A/S 2,729 73,470 0.02% Vestas Wind Systems A/S 1,768 244,642 0.07% William Demant Holding A/S 1,428 38,272 0.01% 2,813,427 0.83%

France (2019: 0.01%) Adevinta ASA 191 2,791 0.00% 2,791 0.00%

Hong Kong (2019: 1.34%) AAC Technologies Holdings Inc 4,000 18,376 0.01% AIA Group Limited 120,424 1,005,738 0.30% ASM Pacific Technology Limited 1,300 11,272 0.00% BOC Hong Kong Holdings Limited 30,000 67,341 0.02% Cafe de Coral Holdings Ltd 4,000 7,183 0.00% Cathay Pacific Airways Limited 13,090 7,706 0.00% Champion REIT 26,000 10,986 0.00% Chow Tai Fook Jewellery Group Limited 14,200 15,781 0.01% CK Asset Holdings 30,331 125,989 0.04% CK Hutchison Limited 33,628 172,432 0.05% CK Infrastructure Holdings Limited 11,000 43,755 0.01% CLP Holdings Limited 18,500 146,566 0.04% Dah Sing Banking Group Ltd 4,800 3,544 0.00% Dah Sing Financial Holdings Ltd 2,400 4,917 0.00% Dairy Farm International Holdings Limited 4,000 12,860 0.00% FIH Mobile Limited 45,000 5,447 0.00% First Pacific Company Limited 16,000 3,697 0.00% Galaxy Entertainment Group Limited 19,000 108,610 0.03% Haitong International Securities Group Ltd 32,000 6,514 0.00% Hang Lung Group Limited 12,000 23,266 0.01% Hang Lung Properties Limited 14,000 30,163 0.01% Hang Seng Bank Limited 8,900 111,739 0.03% Henderson Land Development Company Limited 3,512 11,033 0.00% Hong Kong & China Gas Company Limited 89,462 109,268 0.03% Hong Kong Exchanges & Clearing Limited 12,676 504,639 0.15% Hongkong Land Holdings Limited 9,500 30,056 0.01% Huabao International Holdings Limited 13,000 10,027 0.00% Hutchison Port Holdings Trust 79,400 11,104 0.00% Hutchison Telecommunications Hong Kong Holdings Limited 12,000 1,571 0.00% Hysan Development Co Limited Class C 9,000 22,926 0.01% Jardine Matheson Holdings Limited 1,620 54,817 0.02% Jardine Strategic Holdings Limited 3,133 52,927 0.02% Johnson Electric Holdings 4,819 8,919 0.00% Kerry Logistics Network Limited 8,500 13,057 0.00% Kerry Properties Limited 8,000 17,412 0.01% Lifestyle International Holdings Limited 7,000 4,868 0.00% Link REIT 19,579 135,725 0.04% Melco International Development Limited 12,000 17,905 0.01% MGM China Holdings Limited 11,200 11,843 0.00% MTR Corporation Limited 23,233 97,784 0.03% New World Development Co Ltd 18,572 76,634 0.02% NWS Holdings Limited 21,000 13,610 0.01% Pacific Century Premium Developments Ltd 6,696 1,496 0.00% PCCW Limited 62,000 31,518 0.01% Power Assets Holdings Limited 9,000 40,207 0.01% PRADA SpA 6,500 21,600 0.01% Sa Sa International Holdings Ltd 10,000 1,474 0.00% Sands China Limited 18,400 60,436 0.02%

State Street Global Advisors Gross Roll Up Unit Trust 63 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Schedule of Investments SSGA GRU World Ex Euro Index Equity Fund (Continued) As at 30 September 2020

Number Fair Value % of of Shares EUR Net Assets

Equities (2019: 99.34%) (continued) Hong Kong (2019: 1.34%) (continued) Shangri-La Asia Limited 15,536 10,838 0.00% Shougang Fushan Resources Group Limited 40,436 7,386 0.00% Shun Tak Holdings Limited 24,000 6,549 0.00% Sino Land Company Limited 19,621 19,431 0.01% SJM Holdings Limited 28,000 28,129 0.01% Sun Art Retail Group Limited 7,500 7,056 0.00% Sun Hung Kai Properties Limited 13,142 142,872 0.04% Swire Pacific Limited 3,500 14,327 0.01% Swire Pacific Ltd 12,500 8,830 0.00% Swire Properties Limited 14,250 31,987 0.01% Techtronic Industries Company 14,000 156,513 0.05% Tingyi Cayman Islands Holding Corporation 10,000 15,031 0.01% United Energy Group Ltd 112,000 13,556 0.00% Vitasoy International Holdings Ltd 2,000 6,613 0.00% VTech Holdings Limited 2,100 11,138 0.00% Want Want China Holdings Limited 31,000 18,352 0.01% WH Group Limited 44,160 30,515 0.01% Wharf Holdings Limited 1,787 3,032 0.00% Wharf Real Estate Investment Company Limited 9,787 33,923 0.01% Wynn Macau Limited 3,200 4,352 0.00% Yue Yuen Industrial 10,500 14,465 0.01% 3,891,633 1.15%

Ireland (2019: 0.09%) CRH Plc 7,528 232,049 0.07% Smurfit Kappa Group Plc 2,983 99,975 0.03% 332,024 0.10%

Israel (2019: 0.22%) Airport City Ltd 968 8,638 0.00% Amot Investments Limited 1,733 6,775 0.00% Azrieli Group Limited 489 18,654 0.01% Bank Hapoalim BM 17,136 78,186 0.02% Bank Leumi Le-Israel BM 11,521 43,317 0.01% Bezeq The Israeli Telecommunication Corporation Limited 27,939 27,724 0.01% Check Point Software Technologies Limited 995 102,109 0.03% Elbit Systems Limited 100 10,394 0.00% First International Bank of Israel Limited 803 14,231 0.01% Harel Insurance Investments & Financial Services Ltd 1,680 8,985 0.00% Israel Discount Bank Limited 7,513 17,308 0.01% Melisron Ltd 214 5,896 0.00% Mizrahi Tefahot Bank Limited 1,766 26,744 0.01% Nice Limited 729 140,663 0.04% Paz Oil Limited 153 10,277 0.00% Phoenix Holdings Ltd 1,614 6,394 0.00% Shufersal Ltd 1,662 11,105 0.00% Strauss Group Limited 597 14,644 0.01% Teva Pharmaceutical Industries Limited 7,952 61,462 0.02% Tower Semiconductor Limited 1,451 23,063 0.01% Wix.com Ltd 220 47,812 0.01% 684,381 0.20%

Japan (2019: 9.68%) 77 Bank Limited 900 11,782 0.00% ABC-Mart Inc 400 17,681 0.01% Acom Company Limited 4,600 16,913 0.00% Advantest Corporation 1,700 69,923 0.02% Aeon Company Limited 5,900 134,735 0.04% AEON Financial Service Company Limited 1,700 13,092 0.00% Aeon Mall Company Limited 1,630 19,441 0.01% AGC Inc 1,400 34,731 0.01%

State Street Global Advisors Gross Roll Up Unit Trust 64 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Schedule of Investments SSGA GRU World Ex Euro Index Equity Fund (Continued) As at 30 September 2020

Number Fair Value % of of Shares EUR Net Assets

Equities (2019: 99.34%) (continued) Japan (2019: 9.68%) (continued) Ain Holdings Inc 400 23,790 0.01% Air Water Inc 2,300 26,392 0.01% Aisin Seiki Company Limited 1,200 32,485 0.01% Ajinomoto Company Inc 6,400 111,658 0.03% Alfresa Holdings Corporation 500 9,285 0.00% Alps Electric Company Limited 2,700 30,720 0.01% Amada Company Limited 4,300 34,122 0.01% Amano Corporation 1,000 19,758 0.01% ANA Holdings Inc 1,500 29,455 0.01% Anritsu Corp 2,000 38,675 0.01% Aozora Bank 1,600 22,536 0.01% Asahi Group Holdings Limited 4,900 144,763 0.04% Asahi Intecc Co Limited 1,400 37,333 0.01% Asahi Kasei Corporation 8,600 63,567 0.02% Asics Corporation 2,600 30,759 0.01% ASKUL Corp 300 10,388 0.00% Astellas Pharma Inc 18,900 239,324 0.07% Azbil Corporation 2,700 85,527 0.03% Bandai Namco 2,200 136,694 0.04% Benefit One Inc 800 17,144 0.00% Benesse Holdings Inc 1,100 24,044 0.01% Bic Camera Inc 2,200 20,711 0.01% Bridgestone Corporation 4,401 117,965 0.03% Brother Industries Limited 1,400 18,848 0.01% Calbee Inc 1,000 28,000 0.01% Canon Inc 8,700 122,784 0.04% Canon Marketing Japan Inc 500 8,493 0.00% Capcom Company Limited 1,200 56,824 0.02% Central Japan Railway Company 1,600 195,103 0.06% Chubu Electric Power Company Inc 5,100 52,793 0.02% Chugai Pharmaceutical Company Limited 6,200 236,227 0.07% Chugoku Bank Limited 2,300 18,716 0.01% Chugoku Electric Power Company Inc 1,300 13,856 0.00% COMSYS Holdings Corporation 400 9,442 0.00% Concordia Financial Group Limited 5,200 15,337 0.00% Cosmo Energy 1,000 12,129 0.00% COSMOS Pharmaceutical Corporation 200 29,657 0.01% Credit Saison Company Limited 2,100 18,870 0.01% CyberAgent Inc 500 26,141 0.01% Dai Nippon Printing Company Limited 3,100 53,257 0.02% Daido Steel Company Limited 500 13,172 0.00% Daifuku Company Limited 900 76,946 0.02% Dai-ichi Life Insurance Company Limited 12,300 146,805 0.04% Daiichi Sankyo Company Limited 18,900 493,157 0.15% Daiichikosho Company Limited 600 16,364 0.00% Daikin Industries Limited 2,450 382,102 0.11% Daito Trust Construction Company Limited 1,100 82,845 0.02% Daiwa House Industry Company Limited 5,700 124,249 0.04% Daiwa Securities Group Inc 17,500 62,321 0.02% Dena Company Limited 1,700 26,541 0.01% Denka Limited 1,300 33,564 0.01% Denso Corporation 3,700 137,446 0.04% Dentsu Inc 1,700 42,517 0.01% DIC Corporation 1,200 25,387 0.01% Disco Corporation 400 82,133 0.02% DMG MORI CO LTD 1,300 15,253 0.00% Pan Pacific International Holdings Corporation 5,200 102,950 0.03% Dowa Holdings Company Limited 600 14,933 0.00% East Japan Railway Company 3,200 167,564 0.05% Ebara Corporation 1,300 29,866 0.01% Eisai Company Limited 2,200 170,383 0.05% Electric Power Development Company Limited 700 9,181 0.00% State Street Global Advisors Gross Roll Up Unit Trust 65 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Schedule of Investments SSGA GRU World Ex Euro Index Equity Fund (Continued) As at 30 September 2020

Number Fair Value % of of Shares EUR Net Assets

Equities (2019: 99.34%) (continued) Japan (2019: 9.68%) (continued) Ezaki Glico Company 800 30,481 0.01% FamilyMart UNY Holdings 1,784 34,166 0.01% Fancl Corp 1,000 27,677 0.01% Fanuc Corporation 2,000 325,172 0.10% Fast Retailing Company Limited 500 266,101 0.08% FP Corp 600 21,479 0.01% Fuji Electric Company Limited 1,700 45,471 0.01% Subaru Corporation 5,700 93,595 0.03% Fuji Oil Holdings Inc 700 18,723 0.01% Fuji Seal International Inc 600 9,808 0.00% Fujifilm Holdings Corporation 3,000 125,697 0.04% Fujitsu General Ltd 700 17,253 0.01% Fujitsu Limited 1,600 185,406 0.05% Fukuoka Financial Group Inc 2,200 31,360 0.01% Fukuyama Transporting Limited 400 16,517 0.00% Furukawa Electric Company Limited 900 18,196 0.01% Glory Limited 700 13,282 0.00% GMO internet Inc 900 19,935 0.01% GMO Payment Gateway Inc 100 9,083 0.00% GungHo Online Entertainment Inc 560 10,214 0.00% Gunma Bank Limited 6,300 17,818 0.01% Hachijuni Bank Limited 6,100 20,358 0.01% Hakuhodo DY Holdings Inc 3,500 38,323 0.01% Hamamatsu Photonics 900 38,473 0.01% Hankyu Hanshin Holdings Inc 1,600 43,701 0.01% Haseko Corporation 8,400 93,673 0.03% Heiwa Corp 800 11,184 0.00% Hikari Tsushin Inc 100 20,186 0.01% Hino Motors Limited 4,000 21,948 0.01% Hiroshima Bank Limited 4,419 21,854 0.01% Hisamitsu Pharmaceutical Company Inc 100 4,339 0.00% Hitachi Capital Corp 600 11,942 0.00% Hitachi Construction Machinery Company Limited 1,600 49,131 0.01% Hitachi Limited 8,400 240,495 0.07% Hitachi Metals Limited 300 3,915 0.00% Hitachi Transport System Ltd 600 16,121 0.00% Hokuhoku Financial Group Inc 1,700 14,520 0.00% Hokuriku Electric Power Class C 2,500 15,939 0.00% Honda Motor Company Limited 15,600 311,811 0.09% Horiba Limited 600 26,570 0.01% Hoshizaki Corporation 400 27,087 0.01% House Foods Group Inc 1,100 33,245 0.01% Hoya Corporation 3,292 315,501 0.09% Hulic Company Limited 2,100 16,698 0.00% Ibiden Company Limited 1,600 45,899 0.01% Ichigo Inc 2,700 6,655 0.00% Idemitsu Kosan Company Limited 4,148 75,150 0.02% Iida Group Holdings Company Limited 2,100 36,027 0.01% Inpex Corporation 4,300 19,580 0.01% Isetan Mitsukoshi Holdings Limited 5,320 23,902 0.01% Isuzu Motors Limited 3,400 25,205 0.01% Ito En Limited 800 48,550 0.01% Itochu Corporation 12,200 264,704 0.08% Itochu Techno-Solutions Corporation 1,400 45,083 0.01% Itoham Yonekyu Holdings Inc 2,000 12,170 0.00% Iyo Bank Limited 4,100 23,059 0.01% Izumi Company Limited 600 18,545 0.01% J Front Retailing 3,700 22,663 0.01% Japan Airlines Company Limited 1,600 25,419 0.01% Japan Aviation Electronics Industry Ltd 700 8,157 0.00% Japan Exchange Group Inc 5,500 130,578 0.04% Japan Post 10,400 60,156 0.02% State Street Global Advisors Gross Roll Up Unit Trust 66 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Schedule of Investments SSGA GRU World Ex Euro Index Equity Fund (Continued) As at 30 September 2020

Number Fair Value % of of Shares EUR Net Assets

Equities (2019: 99.34%) (continued) Japan (2019: 9.68%) (continued) Japan Post Bank 200 1,327 0.00% Japan Tobacco Inc 11,900 184,631 0.05% JFE Holdings Inc 10,000 59,152 0.02% JGC Corporation 3,000 26,376 0.01% JSR Corporation 2,500 50,283 0.01% JTEKT Corporation 3,400 22,529 0.01% JXTG Holdings Inc 25,840 78,303 0.02% Kagome Company Limited 1,200 35,685 0.01% Kajima Corporation 3,000 30,594 0.01% Kakaku.com Inc 1,800 40,247 0.01% Kaken Pharmaceutical Limited 500 19,475 0.01% Kamigumi Company Limited 1,500 25,067 0.01% Kaneka Corporation 800 19,038 0.01% Kansai Electric Power Company Inc 10,000 82,424 0.02% Kansai Mirai Financial Group Inc 2,400 8,359 0.00% Kansai Paint Company Limited 1,300 27,397 0.01% Kao Corporation 4,900 312,294 0.09% Kawasaki Heavy Industries Limited 2,200 25,191 0.01% KDDI Corporation 16,900 362,719 0.11% Keihan Electric Railway Company Limited 500 17,616 0.01% Keikyu Corporation 1,200 15,651 0.00% Keio Corporation 900 47,273 0.01% Keisei Electric Railway Company Limited 800 19,194 0.01% Kewpie Corporation 1,600 28,005 0.01% Keyence Corporation 1,772 701,355 0.21% Kikkoman Corporation 2,300 108,170 0.03% Kinden Corporation 2,000 29,948 0.01% Kintetsu Corporation 1,400 50,739 0.01% Kirin Holdings Company Limited 8,300 132,364 0.04% Kissei Pharmaceutical Co Ltd 500 9,580 0.00% Kobayashi Pharmaceutical Company Limited 457 37,557 0.01% Kobe Steel Limited 4,500 14,509 0.00% Koito Manufacturing Company Limited 700 30,263 0.01% Kokuyo Co Ltd 1,300 13,867 0.00% Komatsu Limited 7,300 136,267 0.04% Konami Corporation 400 14,675 0.00% Konica Minolta Inc 6,100 14,591 0.00% Kose Corporation 100 10,384 0.00% K's Holdings Corporation 2,700 30,982 0.01% Kubota Corporation 11,500 174,475 0.05% Kuraray Company Limited 1,800 14,807 0.00% Kurita Water Industries Limited 1,500 41,939 0.01% Kusuri no Aoki Holdings Co Ltd 200 13,867 0.00% Kyocera Corporation 2,700 130,844 0.04% Kyoritsu Maintenance Co Ltd 400 12,590 0.00% Kyowa Exeo Corporation 1,400 31,021 0.01% Kyowa Hakko Kirin Company Limited 1,900 45,846 0.01% Kyushu Electric Power Company Inc 7,500 58,000 0.02% Kyushu Financial Group Inc 5,210 20,756 0.01% Kyushu Railway Company 1,000 18,158 0.01% Lasertec Corporation 700 48,703 0.01% Lawson Inc 700 28,396 0.01% LINE Corporation 100 4,331 0.00% Lintec Corp 700 13,825 0.00% Lion Corporation 1,900 33,210 0.01% LIXIL Group Corporation 4,500 76,727 0.02% M3 Inc 4,400 231,112 0.07% Mabuchi Motor Company Limited 800 26,343 0.01% Maeda Corp 2,000 12,428 0.00% Maeda Road Construction Co Ltd 320 4,967 0.00% Makita Corporation 2,800 113,584 0.03% Mani Inc 900 20,851 0.01% State Street Global Advisors Gross Roll Up Unit Trust 67 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Schedule of Investments SSGA GRU World Ex Euro Index Equity Fund (Continued) As at 30 September 2020

Number Fair Value % of of Shares EUR Net Assets

Equities (2019: 99.34%) (continued) Japan (2019: 9.68%) (continued) Marubeni Corporation 11,100 53,325 0.02% Marui Group Company Limited 1,300 21,126 0.01% Maruichi Steel Tube Limited 800 16,976 0.00% Matsui Securities Co Ltd 1,400 10,657 0.00% Matsumotokiyoshi Holdings Company Ltd 1,000 31,030 0.01% Mazda Motor Corporation 2,800 13,825 0.00% Megmilk Snow Brand Co Ltd 600 12,359 0.00% MEIJI Holdings Company Limited 1,834 119,155 0.04% Minebea Company Limited 5,400 86,837 0.03% Miraca Holdings Inc 800 18,179 0.01% MISUMI Group Inc 2,600 61,665 0.02% Mitsubishi Chemical Holdings Corporation 7,100 34,751 0.01% Mitsubishi Corporation 10,900 221,303 0.07% Mitsubishi Electric Corporation 15,800 181,493 0.05% Mitsubishi Estate Company Limited 10,000 128,243 0.04% Mitsubishi Gas Chemical Company Inc 2,500 39,313 0.01% Mitsubishi Heavy Industries Limited 1,600 30,132 0.01% Mitsubishi Logistics Corporation 900 21,731 0.01% Mitsubishi Materials Corporation 1,700 28,436 0.01% Mitsubishi Motors 9,400 17,547 0.01% Mitsubishi Shokuhin Co Ltd 200 4,478 0.00% Mitsubishi UFJ Financial Group Inc 110,203 370,550 0.11% Mitsubishi UFJ Lease & Finance Company Limited 200 784 0.00% Mitsui & Company Limited 16,200 236,030 0.07% Mitsui Chemicals 4,000 81,972 0.02% Mitsui Fudosan Company Limited 8,200 121,029 0.04% Mitsui Mining & Smelting Company Limited 700 14,396 0.00% Mitsui O.S.K Lines Limited 1,500 24,946 0.01% Miura Co Limited 200 8,307 0.00% Mizuho Financial Group Inc 23,812 252,167 0.07% Mochida Pharmaceutical Company Limited 400 13,430 0.00% MonotaRO Co Limited 1,400 59,055 0.02% Morinaga & Company Limited 600 20,097 0.01% Morinaga Milk Industry Co Ltd 500 22,384 0.01% MS&AD Insurance Group Holdings 4,943 112,800 0.03% Murata Manufacturing Company Limited 5,100 279,130 0.08% Nabtesco Corporation 1,600 49,325 0.01% Nagase & Company Limited 1,600 18,980 0.01% Nagoya Railroad 1,300 30,276 0.01% Nankai Electric Railway Class C 1,600 30,125 0.01% NEC Corporation 3,000 148,849 0.04% NET One Systems Co Ltd 1,200 46,352 0.01% Nexon Company Limited 3,800 80,514 0.02% NGK Insulators Limited 4,600 55,572 0.02% NH Foods Limited 500 18,950 0.01% NHK Spring Co Ltd 2,200 11,929 0.00% Nichirei Corporation 400 8,996 0.00% Nidec Corporation 4,900 388,239 0.11% Nifco Inc 1,200 27,753 0.01% Nihon Kohden Corporation 1,000 27,960 0.01% Nihon M&A Center 800 38,659 0.01% Nihon Unisys Ltd 1,000 26,667 0.01% Nintendo Company Limited 1,100 530,312 0.16% Nippo Corporation 800 18,773 0.01% Nippon Electric Glass Company Limited 1,200 18,987 0.01% Nippon Express Company Limited 400 19,846 0.01% Nippon Kayaku Company Limited 2,200 16,498 0.00% Nippon Paint Company Limited 1,400 122,295 0.04% Nippon Paper Industries Company Limited 1,400 14,741 0.00% Nippon Shinyaku Company Limited 1,000 69,818 0.02% Nippon Shokubai Company Limited 500 22,626 0.01% Nippon Steel & Sumitomo Metal Corporation 4,600 36,781 0.01% State Street Global Advisors Gross Roll Up Unit Trust 68 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Schedule of Investments SSGA GRU World Ex Euro Index Equity Fund (Continued) As at 30 September 2020

Number Fair Value % of of Shares EUR Net Assets

Equities (2019: 99.34%) (continued) Japan (2019: 9.68%) (continued) Nippon Telegraph & Telephone Corporation 11,300 196,324 0.06% Nippon Television Holdings Inc 300 2,737 0.00% Nipro Corp 1,600 15,838 0.00% Nishi-Nippon Railroad Co Ltd 1,000 24,606 0.01% Nissan Chemical Industries Limited 1,100 49,778 0.01% Nissan Motor Company Limited 27,900 83,824 0.02% Nissan Shatai Co Ltd 900 6,691 0.00% Nisshin Seifun 1,500 20,206 0.01% Nisshinbo Holdings Inc 1,900 10,978 0.00% Nissin Foods Holdings Company Limited 600 48,000 0.01% Nitori Holdings Company Limited 800 141,253 0.04% Nitto Denko Corporation 1,800 99,491 0.03% Noevir Holdings Co Ltd 200 7,952 0.00% NOF Corp 1,000 33,455 0.01% NOK Corporation 1,700 14,988 0.00% Nomura Holdings Inc 35,900 138,843 0.04% Nomura Real Estate Holdings Inc 1,600 25,781 0.01% Nomura Research Institute Limited 1,978 49,470 0.01% NS Solutions Corp 500 13,091 0.00% NSK Limited 2,200 14,240 0.00% NTT Data Corporation 5,100 55,307 0.02% NTT Docomo Inc 11,400 357,892 0.11% Obayashi Corporation 9,100 70,226 0.02% OBIC Business Consultants Co Ltd 200 9,859 0.00% Obic Company Limited 900 134,109 0.04% Odakyu Electric Railway Company Limited 2,200 47,005 0.01% Oji Holdings Corporation 12,900 50,245 0.01% OKUMA Corp 400 15,887 0.00% Olympus Corporation 9,000 158,691 0.05% Omron Corporation 1,400 92,542 0.03% Ono Pharmaceutical Company Limited 5,400 144,175 0.04% Open House Co Ltd 800 24,566 0.01% Oracle Corporation Japan 500 45,737 0.01% Orient Corp 8,500 7,762 0.00% Oriental Land Company Limited 1,600 190,578 0.06% ORIX Corporation 10,700 112,837 0.03% Osaka Gas Company Limited 3,200 53,010 0.02% OSG Corp 1,000 13,616 0.00% Otsuka Corporation 600 26,085 0.01% Otsuka Holdings Company Limited 4,600 165,340 0.05% Panasonic Corporation 18,600 133,590 0.04% Park24 Co Limited 1,700 23,312 0.01% Penta-Ocean Construction Co Ltd 4,300 23,872 0.01% PeptiDream Inc 400 15,903 0.00% Persol Holdings Co Ltd 2,500 34,404 0.01% Pigeon Corporation 500 18,990 0.01% Pilot Corp 400 9,988 0.00% POLA Orbis Holdings Inc 1,100 17,627 0.01% Rakuten Corporation 6,400 58,544 0.02% Recruit Limited 10,100 339,524 0.10% Relo Group Inc 1,500 30,497 0.01% Renesas Electronics Corporation 3,800 23,491 0.01% Rengo Company Limited 3,100 19,890 0.01% Resona Holdings Inc 11,261 32,541 0.01% Resorttrust Inc 900 11,651 0.00% Ricoh Company Limited 5,500 31,378 0.01% Rinnai Corporation 500 41,414 0.01% Rohm Company Limited 900 58,909 0.02% Rohto Pharmaceutical Company Limited 1,401 39,115 0.01% Ryohin Keikaku Company Limited 3,400 47,806 0.01% Sankyo Company Limited 600 13,358 0.00% Sankyu Inc 700 23,390 0.01% State Street Global Advisors Gross Roll Up Unit Trust 69 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Schedule of Investments SSGA GRU World Ex Euro Index Equity Fund (Continued) As at 30 September 2020

Number Fair Value % of of Shares EUR Net Assets

Equities (2019: 99.34%) (continued) Japan (2019: 9.68%) (continued) Sanrio Company Limited 800 12,244 0.00% Santen Pharmaceutical Company Limited 3,800 65,990 0.02% Sanwa Holdings Corporation 2,900 26,036 0.01% Sapporo Holdings Limited 900 13,724 0.00% Sawai Pharmaceutical Company Limited 600 25,746 0.01% SBI Holdings Inc 1,380 30,254 0.01% Screen Holdings Company 600 27,006 0.01% SCSK Corp 600 28,461 0.01% Secom Company Limited 2,000 155,249 0.05% Sega Sammy Holdings Inc 3,000 30,982 0.01% Seibu Holdings 2,900 26,481 0.01% Seiko Epson Corporation 1,200 11,685 0.00% Seino Holdings Company Limited 2,200 27,129 0.01% Sekisui Chemical 6,100 82,664 0.02% Sekisui House Limited 4,600 69,047 0.02% Seven & i Holdings Company Limited 7,200 189,091 0.06% Seven Bank Limited 9,900 20,400 0.01% SG Holdings Co Ltd 1,500 66,061 0.02% Sharp Corporation 2,300 24,124 0.01% Shiga Bank Limited 700 13,926 0.00% Shikoku Electric Power Company Inc 2,100 13,644 0.00% Shimadzu Corporation 4,300 110,845 0.03% Shimamura Company Limited 300 24,800 0.01% Shimano Inc 800 133,948 0.04% Shimizu Corporation 3,700 23,590 0.01% Shin-Etsu Chemical Company Limited 4,100 453,403 0.13% Shionogi & Company Limited 2,500 113,717 0.03% Shiseido Company Limited 4,400 214,578 0.06% SHO-BOND Holdings Co Ltd 600 25,309 0.01% Shochiku Co Ltd 100 12,420 0.00% Showa Denko KK 300 4,659 0.00% Skylark Company Limited 2,600 31,515 0.01% SMC Corporation 600 283,443 0.08% Softbank Corp 18,700 177,934 0.05% SoftBank Corporation 14,200 742,303 0.22% Sojitz Corporation 17,000 32,695 0.01% Sompo Japan Nipponkoa Holdings Inc 2,850 83,577 0.02% Sony Corporation 12,200 791,843 0.23% Sotetsu Holdings Inc 1,200 27,491 0.01% Square Enix Holdings Company Limited 300 16,873 0.00% ZOZO Inc 1,400 33,125 0.01% Sugi Holdings Company Limited 500 30,061 0.01% Sumco Corporation 3,200 38,141 0.01% Sumitomo Bakelite Co Ltd 500 11,644 0.00% Sumitomo Chemical Company Limited 31,200 87,486 0.03% Sumitomo Corporation 10,400 105,765 0.03% Sumitomo Dainippon Pharma Limited 2,500 27,939 0.01% Sumitomo Electric Industries Limited 4,300 40,967 0.01% Sumitomo Foresty Company 1,800 24,291 0.01% Sumitomo Metal Mining Limited 2,000 52,445 0.02% Sumitomo Mitsui Financial Group Inc 10,800 254,619 0.08% Sumitomo Mitsui Trust Holdings Inc 2,749 62,033 0.02% Sumitomo Osaka Cement Company Limited 500 13,717 0.00% Sumitomo Realty & Development Company Limited 3,300 82,720 0.02% Sumitomo Rubber Industries Limited 2,700 21,229 0.01% Sundrug Company Limited 1,000 32,040 0.01% Suntory Beverage & Food Limited 900 28,727 0.01% Suzuken Company Limited 100 3,236 0.00% Suzuki Motor Corporation 5,100 184,754 0.05% Sysmex Corporation 1,600 129,681 0.04% T&D Holdings Inc 3,300 27,520 0.01% Taisei Corporation 1,500 43,030 0.01% State Street Global Advisors Gross Roll Up Unit Trust 70 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Schedule of Investments SSGA GRU World Ex Euro Index Equity Fund (Continued) As at 30 September 2020

Number Fair Value % of of Shares EUR Net Assets

Equities (2019: 99.34%) (continued) Japan (2019: 9.68%) (continued) Taisho Pharmaceutical Holdings Company Limited 600 33,552 0.01% Taiyo Nippon Sanso Corporation 1,900 24,796 0.01% Taiyo Yuden Co Ltd 500 13,293 0.00% Takara Bio Inc 600 13,847 0.00% Takara Holdings Inc 2,600 24,498 0.01% Takashimaya Company Limited 2,000 13,430 0.00% Takeda Pharmaceutical Company Limited 15,219 460,445 0.14% TDK Corporation 1,000 92,202 0.03% TechnoPro Holdings Inc 500 26,343 0.01% Teijin Limited 2,500 32,909 0.01% Terumo Corporation 5,684 191,993 0.06% THK Company Limited 1,700 36,116 0.01% TIS Inc 1,800 32,407 0.01% Tobu Railway Company Limited 1,400 36,711 0.01% Toho Company Limited 700 24,521 0.01% Toho Gas Company Limited 200 8,436 0.00% Tohoku Electric Power Company Inc 3,000 25,600 0.01% Tokai Rika Co Ltd 700 8,853 0.00% Tokio Marine Holdings Inc 6,100 226,748 0.07% TOKUYAMA 1,000 20,396 0.01% Tokyo Broadcasting System Holdings Inc 500 7,297 0.00% Tokyo Century Corporation 700 32,299 0.01% Tokyo Electric Power Company Inc 12,800 29,893 0.01% Tokyo Electron Limited 1,500 331,273 0.10% Tokyo Gas Company Limited 4,500 87,491 0.03% Tokyo Tatemono Company Limited 2,700 27,993 0.01% Tokyu Corporation 7,800 85,910 0.03% Toppan Printing Company Limited 1,800 21,498 0.01% Toray Industries Inc 8,600 33,309 0.01% Toshiba Corporation 4,500 97,127 0.03% Tosoh Corporation 4,800 66,133 0.02% TOTO Limited 1,100 42,889 0.01% Toyo Suisan Kaisha Limited 500 22,465 0.01% Toyo Tire & Rubber Company 1,600 21,876 0.01% Toyobo Co Ltd 1,200 14,032 0.00% Toyoda Gosei Company Limited 1,000 19,434 0.01% Toyota Boshoku Corporation 900 10,800 0.00% Toyota Industries Corporation 1,200 64,388 0.02% Toyota Motor Corporation 23,340 1,307,420 0.39% Toyota Tsusho Corporation 2,300 54,680 0.02% Trend Micro 900 46,618 0.01% TS Tech Company Limited 800 19,155 0.01% Tsumura & Company 900 23,818 0.01% Tsuruha Holdings Inc 200 24,097 0.01% TV Asahi Holdings Corporation 300 4,039 0.00% Ube Industries Limited 1,500 21,467 0.01% ULVAC 600 18,449 0.01% Uni-charm Corporation 3,400 129,461 0.04% Ushio Inc 1,600 17,274 0.01% USS Company Limited 2,900 44,033 0.01% Wacoal Holdings Corporation 700 11,240 0.00% Welcia Holdings Company Limited 200 7,475 0.00% West Japan Railway Company 1,500 62,921 0.02% Z Holdings Corporation 21,700 122,572 0.04% Yakult Honsha Company Limited 1,000 47,273 0.01% Yamada Denki Company Limited 4,100 17,361 0.01% Yamaguchi Financial Group Inc 3,500 19,317 0.01% Yamaha Corporation 1,300 52,735 0.02% Yamaha Motor Company Limited 1,800 22,138 0.01% Yamato Holdings Company Limited 3,300 73,627 0.02% Yamazaki Baking Company Limited 100 1,486 0.00% Yaoko Co Ltd 300 18,933 0.01% State Street Global Advisors Gross Roll Up Unit Trust 71 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Schedule of Investments SSGA GRU World Ex Euro Index Equity Fund (Continued) As at 30 September 2020

Number Fair Value % of of Shares EUR Net Assets

Equities (2019: 99.34%) (continued) Japan (2019: 9.68%) (continued) Yaskawa Electric Corporation 3,600 119,127 0.04% Yokogawa Electric Corporation 3,300 44,400 0.01% Yokohama Rubber Company Limited 1,400 16,868 0.00% Zenkoku Hosho Company Limited 800 26,731 0.01% Zensho Holdings Company Limited 1,400 28,068 0.01% Zeon Corporation 2,200 19,573 0.01% 31,331,646 9.26%

Kazakhstan (2019: 0.00%) KAZ Minerals Plc 3,322 19,191 0.01% 19,191 0.01%

Luxembourg (2019: 0.00%) L'Occitane International SA 6,750 10,027 0.00% 10,027 0.00%

Macau (2019: 0.00%) Macau Legend Development Ltd 17,000 1,964 0.00% 1,964 0.00%

Netherlands (2019: 0.00%) Just Eat Takeaway 1,100 105,408 0.03% 105,408 0.03%

New Zealand (2019: 0.12%) a2 Milk Co Ltd 6,331 54,743 0.02% Air New Zealand Ltd 6,784 5,239 0.00% Auckland International Airport 7,073 29,045 0.01% Contact Energy Limited 9,766 36,607 0.01% Fisher & Paykel Healthcare Corporation Limited 6,196 116,198 0.03% Kiwi Property Group Ltd 25,282 15,106 0.00% Mercury NZ Ltd 9,024 25,942 0.01% Meridian Energy Ltd 16,761 46,767 0.01% Ryman Healthcare Limited 7,670 60,874 0.02% Skycity Entertainment Group Limited 9,064 15,225 0.01% Spark New Zealand Limited 15,587 41,295 0.01% Xero Limited 635 39,104 0.01% 486,145 0.14%

Norway (2019: 0.25%) Aker ASA 320 11,748 0.00% Aker BP ASA 1,567 20,837 0.01% DNB ASA 11,924 140,519 0.04% Equinor ASA 11,283 136,564 0.04% Gjensidige Forsikring ASA 3,051 52,667 0.02% Leroy Seafood Group ASA 3,427 16,741 0.00% Marine Harvest ASA 2,495 37,714 0.01% Norsk Hydro ASA 5,682 13,330 0.00% Orkla ASA 7,147 61,478 0.02% Salmar ASA 780 37,606 0.01% Schibsted ASA Class B 1,371 46,608 0.01% Telenor ASA 4,666 66,532 0.02% TOMRA Systems ASA 548 20,083 0.01% Yara International ASA 1,557 51,015 0.02% 713,442 0.21%

People's Republic of China (2019: 0.04%) Budweiser Brewing Co APAC Ltd 16,443 40,709 0.01% China Travel International Investment Hong Kong Ltd 19,000 2,279 0.00% ESR Cayman Ltd 24,200 64,041 0.02%

State Street Global Advisors Gross Roll Up Unit Trust 72 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Schedule of Investments SSGA GRU World Ex Euro Index Equity Fund (Continued) As at 30 September 2020

Number Fair Value % of of Shares EUR Net Assets

Equities (2019: 99.34%) (continued) People’s Republic of China (2019: 0.04%) (continued) Guotai Junan International Holdings Ltd 41,000 4,647 0.00% Lenovo Group Ltd 56,000 31,488 0.01% Minth Group Limited 10,000 37,027 0.01% MMG Ltd 36,000 7,645 0.00% Nexteer Automotive Group Ltd 10,000 5,909 0.00% Shui On Land Ltd 52,000 5,607 0.00% Uni-President China Holdings Limited 15,000 11,686 0.01% 211,038 0.06%

Peru (2019: 0.04%) Credicorp Ltd 700 74,014 0.02% 74,014 0.02%

Poland (2019: 0.12%) Bank Polska Kasa Opieki SA 756 8,391 0.00% CD Projekt SA 444 40,974 0.01% Cyfrowy Polsat SA 3,573 21,293 0.01% Grupa Lotos SA 1,482 11,274 0.00% KGHM Polska Miedz SA 2,212 57,570 0.02% LPP SA 13 18,838 0.01% PGE Polska Grupa Energetyczna SA 9,760 13,820 0.00% Polski Koncern Naftowy ORLEN SA 2,164 21,884 0.01% Polskie Gornictwo Naftowe i Gazownictwo SA 26,124 29,086 0.01% Powszechna Kasa Oszczednosci Bank Polski SA 14,201 66,434 0.02% Powszechny Zaklad Ubezpieczen SA 4,103 22,434 0.01% Santander Bank Polska SA 446 14,028 0.00% 326,026 0.10%

Republic of South Korea (2019: 1.70%) AmorePacific Corporation 202 24,156 0.01% AmorePacific Group 400 14,263 0.00% BGF Retail Co 75 6,754 0.00% BNK Financial Group Inc 4,525 16,695 0.01% Celltrion Healthcare Company Limited 370 23,661 0.01% Celltrion Inc 887 166,545 0.05% Cheil Worldwide Inc 922 14,085 0.00% CJ CheilJedang Corporation 117 33,699 0.01% CJ Corporation 150 8,881 0.00% CJ ENM Co Ltd 145 15,045 0.00% CJ Logistics Corp 112 14,496 0.00% Coway Company Limited 247 14,282 0.00% Daelim Industrial Company Limited 408 23,027 0.01% Daewoo Engineering & Construction Co Ltd 2,655 5,392 0.00% Daewoo Shipbuilding & Marine Engineering Company Limited 715 12,408 0.00% Dongsuh Cos Inc 411 8,886 0.00% Doosan Heavy Industries & Construction Company Limited 1,457 14,130 0.00% Doosan Infracore Company Limited 1,995 12,758 0.00% Fila Korea Ltd 783 20,925 0.01% GS Engineering & Construction Corporation 944 16,623 0.01% GS Retail Co Ltd 397 9,698 0.00% Hana Financial Group Inc 3,938 80,689 0.02% Hankook Tire Company Limited 1,120 25,725 0.01% Hanmi Pharm Company Limited 108 21,538 0.01% Hanmi Science Co ltd 181 7,760 0.00% Hanon Systems 2,414 21,739 0.01% Hanssem Co Ltd 104 8,114 0.00% Hanwha Chemical Corporation 1,229 34,457 0.01% Hanwha Corp Preference 339 3,189 0.00% Hanwha Corporation 634 11,627 0.00% Hanwha Life Insurance Co Ltd 2,666 2,965 0.00%

State Street Global Advisors Gross Roll Up Unit Trust 73 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Schedule of Investments SSGA GRU World Ex Euro Index Equity Fund (Continued) As at 30 September 2020

Number Fair Value % of of Shares EUR Net Assets

Equities (2019: 99.34%) (continued) Republic of South Korea (2019: 1.70%) (continued) Hanwha Techwin Limited 510 9,446 0.00% HDC Hyundai Development Co-Engineering & Construction 555 8,600 0.00% Helixmith Co Ltd 338 8,737 0.00% Hite Jinro Co Ltd 406 10,732 0.00% HLB Inc 37 2,798 0.00% Hotel Shilla 464 25,747 0.01% Hyundai Department Store Class C 201 8,251 0.00% Hyundai Engineering & Construction Company Limited 1,091 24,224 0.01% Hyundai Glovis Company Limited 277 29,085 0.01% Korea Shipbuilding & Offshore Engineering Co Ltd 204 12,302 0.00% Hyundai Marine & Fire Insurance Company 930 15,156 0.00% Hyundai Mipo Dockyard 304 6,584 0.00% Hyundai Mobis 505 84,693 0.03% Hyundai Motor Company 303 18,647 0.01% Hyundai Motor Company 1,251 162,827 0.05% Hyundai Steel Company 1,124 20,162 0.01% Kakao Corporation 599 159,205 0.05% Kangwon Land Inc 1,594 24,989 0.01% KB Financial Group Inc 3,024 82,799 0.02% KCC Corporation 69 7,346 0.00% Kia Motors Corporation 2,901 99,209 0.03% Korea Aerospace Industries Limited 970 16,126 0.01% Korea Electric Power Corporation 1,882 27,995 0.01% Korea Gas Corporation 352 6,327 0.00% Korea Zinc Company Limited 29 7,961 0.00% Korean Air Lines Company Limited 1,055 14,501 0.00% KT&G Corporation 1,639 98,478 0.03% Kumho Petrochemical Company Limited 262 21,015 0.01% LG Chem Limited 396 188,844 0.06% LG Corporation 439 23,720 0.01% LG Display Company Limited 3,348 37,473 0.01% LG Electronics 761 50,884 0.02% LG Electronics Inc Preference 230 5,694 0.00% LG Household & Health Care 28 14,455 0.00% LG Household & Health Care Limited 115 121,422 0.04% Lotte Shopping Company Limited Class C 148 8,471 0.00% Mando Corporation 439 11,412 0.00% Mirae Asset Daewoo Co Ltd Preference 1,874 5,999 0.00% Mirae Asset Daewoo Company Limited 5,150 31,844 0.01% Naver Corporation 1,381 298,572 0.09% NCSoft Corporation 131 76,991 0.02% Netmarble Games Corporation 270 32,682 0.01% NH Investment & Securities Company Limited 1,706 11,370 0.00% NHN Entertainment Corporation 132 7,161 0.00% NongShim Co Ltd 43 9,845 0.00% Orion Corporation 289 27,606 0.01% Ottogi Corp 18 7,455 0.00% Paradise Co Ltd 680 6,818 0.00% POSCO 978 139,774 0.04% POSCO Chemical Co Ltd 312 19,065 0.01% Posco Daewoo Corporation 655 6,400 0.00% S-1 Corporation 285 18,184 0.01% Samsung Biologics Company Limited 117 58,866 0.02% Samsung C&T Corporation 926 70,898 0.02% Samsung Card Co Ltd 405 8,328 0.00% Samsung Electro-Mechanics Class C 379 38,414 0.01% Samsung Electronics Company Limited 47,573 2,018,899 0.60% Samsung Electronics Company Limited Pref Preference 7,347 270,541 0.08% Samsung Engineering Company Limited 2,363 18,178 0.01% Samsung Fire & Marine Insurance Co Ltd Preference 36 3,636 0.00% Samsung Fire & Marine Insurance Company Limited 433 57,463 0.02% Samsung Heavy Industries Company Limited 6,552 25,464 0.01% State Street Global Advisors Gross Roll Up Unit Trust 74 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Schedule of Investments SSGA GRU World Ex Euro Index Equity Fund (Continued) As at 30 September 2020

Number Fair Value % of of Shares EUR Net Assets

Equities (2019: 99.34%) (continued) Republic of South Korea (2019: 1.70%) (continued) Samsung Life Insurance Company Limited 861 38,297 0.01% Samsung SDI Company Limited 438 138,450 0.04% Samsung SDS Company Limited 167 20,640 0.01% Samsung Securities Company Limited 1,000 22,313 0.01% Shinhan Financial Group Company Limited 6,051 121,778 0.04% Shinsegae Company Limited 107 16,580 0.01% SillaJen Inc 789 6,961 0.00% SK Holdings Company Limited 189 27,356 0.01% SK Hynix Inc 4,603 281,937 0.08% SK Innovation Company Limited 349 35,373 0.01% SK Network Company Limited 1,973 6,841 0.00% SK Telecom Company Limited 109 18,916 0.01% SKC Co Ltd 253 15,312 0.01% S-Oil Corporation 615 23,140 0.01% Ssangyong Cement Industrial Co Ltd 1,551 6,639 0.00% Woori Financial Group Inc 2,170 13,576 0.00% Yuhan Corporation 605 28,322 0.01% 6,263,413 1.85%

Russian Federation (2019: 0.01%) Evraz Plc 7,527 28,596 0.01% 28,596 0.01%

Singapore (2019: 0.50%) Ascendas Real Estate Investment Trust 34,536 69,901 0.02% BOC Aviation Ltd 2,800 16,237 0.01% CapitaLand Commercial Trust 12,496 12,802 0.00% CapitaLand Limited 22,536 38,152 0.01% CapitaLand Mall Real Estate Investment Trust 15,100 18,205 0.01% City Developments Limited 6,400 30,425 0.01% ComfortDelGro Corp Limited 30,100 26,513 0.01% DBS Group Holdings Limited 16,087 200,084 0.06% Frasers Property Ltd 4,700 3,406 0.00% Golden Agri-Resources Limited 95,941 8,511 0.00% Keppel Corporation Limited 12,600 35,027 0.01% Keppel REIT 29,600 19,785 0.01% Mapletree Commercial Trust 9,337 11,316 0.00% Mapletree Industrial Trust 4,509 9,042 0.00% Mapletree Logistics Trust 11,592 14,773 0.00% Mapletree North Asia Commercial Trust 28,292 16,525 0.01% Olam International Ltd 9,400 7,399 0.00% Oversea-Chinese Banking Corporation Limited 31,533 165,861 0.05% SATS Limited 9,500 16,795 0.01% Semb Corporation Marine Limited 131,314 11,976 0.00% Sembcorp Industries Limited 12,200 10,212 0.00% SIA Engineering Co Ltd 3,500 3,651 0.00% Singapore Exchange Limited 6,500 37,154 0.01% Singapore Post Ltd 20,100 8,099 0.00% Singapore Technologies Engineering Limited 10,600 22,911 0.01% Singapore Telecommunications Limited 61,914 81,996 0.02% StarHub Limited 8,685 6,510 0.00% Suntec Real Estate Investment Trust 28,899 26,177 0.01% United Overseas Bank Limited 17,318 205,875 0.06% UOL Group Limited 7,426 30,849 0.01% Venture Corporation Limited 900 10,817 0.00% Wilmar International Limited 20,100 55,248 0.02% 1,232,234 0.36%

Sweden (2019: 0.98%) Alfa Laval AB 2,690 50,954 0.02% Assa Abloy AB 8,789 175,944 0.05%

State Street Global Advisors Gross Roll Up Unit Trust 75 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Schedule of Investments SSGA GRU World Ex Euro Index Equity Fund (Continued) As at 30 September 2020

Number Fair Value % of of Shares EUR Net Assets

Equities (2019: 99.34%) (continued) Sweden (2019: 0.98%) (continued) Atlas Copco AB Class A 5,057 206,612 0.06% Atlas Copco AB Class B 5,147 184,003 0.05% Autoliv AB 700 43,505 0.01% Boliden AB 2,192 55,702 0.02% Castellum AB 2,408 46,805 0.01% Electrolux AB 1,739 34,696 0.01% Elekta AB 5,787 62,335 0.02% Epiroc AB Class A 9,071 112,488 0.03% EQT AB 2,588 42,956 0.01% ESSITY AB 5,257 151,671 0.05% Evolution Gaming Group AB 580 32,871 0.01% Fastighets AB Balder 573 24,852 0.01% Hennes & Mauritz AB 10,009 147,581 0.04% Hexagon AB 2,244 144,922 0.04% Husqvarna AB 5,751 54,095 0.02% ICA Gruppen AB 1,344 58,305 0.02% Industrivarden AB 2,997 68,220 0.02% Industrivarden AB Class A 3,049 70,537 0.02% Investment AB Latour 1,809 36,334 0.01% Investor AB 2,632 147,208 0.04% Investor AB 2,314 128,320 0.04% Kinnevik AB 1,773 61,602 0.02% LE Lundbergforetagen AB 986 41,731 0.01% Lundin Petroleum AB Class A 861 14,644 0.00% Nibe Industrier AB 2,206 48,575 0.01% Sandvik AB 12,111 202,981 0.06% Securitas AB Class B 1,752 22,912 0.01% Skandinaviska Enskilda Banken AB 12,989 98,563 0.03% Skanska AB 3,123 56,478 0.02% SKF AB 3,231 57,169 0.02% Svenska Cellulosa AB SCA 5,145 60,322 0.02% Svenska Handelsbanken AB A Shares 16,537 118,679 0.04% Svenska Handelsbanken AB B Shares 6,091 51,652 0.02% Swedbank AB 9,981 133,844 0.04% Swedish Match AB 1,558 108,783 0.03% Swedish Orphan Biovitrum AB 512 10,572 0.00% Tele2 AB 7,106 85,852 0.03% Telefonaktiebolaget LM Ericsson 537 5,465 0.00% Telefonaktiebolaget LM Ericsson 26,611 249,192 0.07% TeliaSonera AB 19,559 68,674 0.02% Trelleborg AB Class B 3,305 50,149 0.01% Volvo AB 16,396 270,345 0.08% 3,899,100 1.15%

Switzerland (2019: 3.60%) ABB Limited 17,850 388,522 0.11% Adecco SA 2,022 91,362 0.03% Alcon Inc 4,178 202,817 0.06% Baloise Holding AG 205 25,783 0.01% Barry Callebaut AG 26 49,424 0.01% Chocoladefabriken Lindt & Spruengli AG A Shares 1 76,111 0.02% Chocoladefabriken Lindt & Spruengli AG B Shares 8 57,733 0.02% Cie Financiere Richemont SA 5,407 309,653 0.09% Clariant AG 2,728 45,983 0.01% Coca-Cola HBC AG 1,677 35,350 0.01% Credit Suisse Group AG 22,540 193,396 0.06% EMS-Chemie Holding AG 93 71,345 0.02% Flughafen Zuerich AG 258 30,317 0.01% Geberit AG 300 151,981 0.04% Georg Fischer AG 56 49,847 0.01% Givaudan SA 89 327,955 0.10% Glencore Plc 96,738 171,664 0.05% State Street Global Advisors Gross Roll Up Unit Trust 76 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Schedule of Investments SSGA GRU World Ex Euro Index Equity Fund (Continued) As at 30 September 2020

Number Fair Value % of of Shares EUR Net Assets

Equities (2019: 99.34%) (continued) Switzerland (2019: 3.60%) (continued) Helvetia Holding AG 306 22,239 0.01% Julius Baer Group Limited 2,611 95,170 0.03% Kuehne + Nagel International AG 399 66,403 0.02% LafargeHolcim Limited 4,309 167,941 0.05% Logitech International SA 1,242 82,633 0.02% Lonza Group AG 707 373,130 0.11% Nestle SA 26,624 2,702,008 0.80% Novartis AG 21,069 1,562,713 0.46% OC Oerlikon Corporation AG 2,914 19,880 0.01% Partners Group Holding AG 159 125,090 0.04% PSP Swiss Property AG 632 65,407 0.02% Roche Holding AG 6,665 1,949,628 0.58% Roche Holding AG B Shares 238 69,851 0.02% Schindler Holding - Part Cert 375 87,539 0.03% Schindler Holding AG - Reg 237 55,127 0.02% SGS SA 54 123,751 0.04% Sika AG 1,215 255,209 0.08% Sonova Holding AG 482 104,509 0.03% Straumann 87 75,099 0.02% SULZER 235 16,152 0.00% Swatch Group AG 362 72,207 0.02% Swiss Life Holding AG 309 99,953 0.03% Swiss Prime Site AG 657 50,981 0.01% Swiss Re AG 3,080 195,199 0.06% Swisscom AG 267 121,087 0.04% TE Connectivity Limited 3,395 282,972 0.08% Temenos Group AG 746 85,895 0.02% UBS AG 34,042 325,452 0.10% VAT Group AG 120 19,614 0.01% Vifor Pharma AG 695 80,894 0.02% Zurich Insurance Group AG 1,197 356,310 0.10% 11,989,286 3.54%

Taiwan (2019: 0.00%) FIT Hon Teng Ltd 14,000 4,637 0.00% 4,637 0.00%

United Arab Emirates (2019: 0.01%)

United Kingdom (2019: 6.30%) 3i Group Plc 7,782 85,502 0.03% Admiral Group Plc 1,742 50,144 0.01% Anglo American Plc 12,796 264,621 0.08% Ashmore Group Plc 5,125 20,239 0.01% Ashtead Group Plc 5,359 165,426 0.05% Associated British Foods Plc 2,397 49,351 0.01% AstraZeneca Plc 12,838 1,196,952 0.35% Auto Trader Group Plc 7,827 48,581 0.01% Avast Plc 7,582 44,051 0.01% AVEVA Group Plc 216 11,397 0.00% Aviva Plc 35,368 111,400 0.03% B&M European Value Retail SA 11,588 63,199 0.02% BAE Systems Plc 32,036 170,235 0.05% Barclays Plc 157,347 169,323 0.05% Barratt Developments Plc 6,643 34,846 0.01% Bellway Plc 1,029 26,670 0.01% Berkeley Group Holdings Plc 1,108 51,646 0.02% BP Plc 205,094 509,195 0.15% British American Tobacco Plc 22,298 682,783 0.20% British Land Co Plc 15,572 57,923 0.02% BT Group Plc 80,982 87,833 0.03%

State Street Global Advisors Gross Roll Up Unit Trust 77 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Schedule of Investments SSGA GRU World Ex Euro Index Equity Fund (Continued) As at 30 September 2020

Number Fair Value % of of Shares EUR Net Assets

Equities (2019: 99.34%) (continued) United Kingdom (2019: 6.30%) (continued) Bunzl Plc 3,781 104,502 0.03% Burberry Group Plc 2,132 36,526 0.01% Centrica Plc 39,888 17,630 0.01% Coca-Cola European Partners Plc 2,548 84,329 0.02% Compass Group Plc 15,663 201,861 0.06% Convatec Group Plc 19,975 39,375 0.01% Croda International PLC 1,394 96,083 0.03% DCC Plc 889 58,884 0.02% Derwent London Plc 807 22,865 0.01% Diageo Plc 22,710 663,477 0.20% Direct Line Insurance Group Plc 11,030 32,759 0.01% DS Smith Plc 10,058 32,678 0.01% easyJet Plc 2,652 14,665 0.00% Experian Plc 8,625 277,655 0.08% Flutter Entertainment 1,295 174,892 0.05% Fresnillo Plc 2,776 36,633 0.01% GlaxoSmithKline Plc 44,732 716,057 0.21% GVC Holdings Plc 4,844 52,015 0.02% Halma Plc 4,735 122,412 0.04% Hargreaves Lansdown Plc 4,678 80,557 0.02% Hikma Pharmaceuticals Plc 1,912 54,679 0.02% Hiscox Ltd 3,384 33,330 0.01% HomeServe PLC 4,372 59,575 0.02% Howden Joinery Group Plc 3,403 22,157 0.01% HSBC Holdings Plc 198,061 658,338 0.19% IMI Plc 3,650 42,252 0.01% Imperial Brands Plc 8,717 131,419 0.04% Informa Plc 10,394 43,143 0.01% InterContinental Hotels Group Plc 1,243 56,102 0.02% Intermediate Capital Group PLC 864 11,364 0.00% International Consolidated Airlines Group SA 4,061 4,254 0.00% Intertek Group Plc 1,219 85,123 0.03% ITV Plc 26,595 19,826 0.01% J Sainsbury Plc 11,125 23,420 0.01% JD Sports Fashion Plc 5,331 47,570 0.01% Johnson Matthey Plc 1,611 41,862 0.01% Kingfisher Plc 14,894 48,718 0.01% Land Securities Group 11,457 65,996 0.02% Legal & General Plc 50,840 105,568 0.03% Liberty Global Plc Series A 2,600 46,583 0.01% Liberty Global Plc Series C 3,007 52,657 0.02% Linde Plc 5,068 1,029,159 0.30% Lloyds Banking Group Plc 659,278 191,555 0.06% London Stock Exchange Group Plc 2,870 280,842 0.08% M&G PLC 16,497 29,009 0.01% Meggitt Plc 5,966 16,936 0.01% Melrose Industries Plc 41,864 53,307 0.02% Micro Focus International PLC – 1 0.00% Mondi Plc 6,550 118,390 0.04% National Grid Plc 35,026 343,594 0.10% Next Plc 857 56,216 0.02% Ocado Group Plc 3,840 116,166 0.03% Pearson Plc 6,569 39,773 0.01% Pennon Group Plc 3,656 41,555 0.01% Pentair Plc 1,246 48,633 0.01% Persimmon Plc 2,498 68,105 0.02% Phoenix Group Holdings Plc 3,760 28,528 0.01% Polymetal International Plc 2,337 43,529 0.01% Prudential Plc 26,797 327,628 0.10% Quilter Plc 7,910 11,180 0.00% Reckitt Benckiser Group Plc 6,219 518,329 0.15% RELX Plc 17,720 337,184 0.10% State Street Global Advisors Gross Roll Up Unit Trust 78 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Schedule of Investments SSGA GRU World Ex Euro Index Equity Fund (Continued) As at 30 September 2020

Number Fair Value % of of Shares EUR Net Assets

Equities (2019: 99.34%) (continued) United Kingdom (2019: 6.30%) (continued) Renishaw Plc 457 28,315 0.01% Rentokil Initial Plc 15,239 89,983 0.03% Rightmove Plc 8,290 57,286 0.02% Rio Tinto Limited 3,151 181,657 0.05% Rio Tinto Plc 11,189 574,276 0.17% Rolls-Royce Holdings Plc 18,240 26,142 0.01% Royal Bank of Scotland Group Plc 39,707 46,424 0.01% Royal Dutch Shell Plc A Shares 31,178 331,317 0.10% Royal Dutch Shell Plc B Shares 44,017 456,251 0.13% RSA Insurance Group Plc 14,795 73,676 0.02% Sage Group Plc 13,774 109,456 0.03% Schroders 1,571 46,676 0.01% Segro Plc 10,165 104,489 0.03% Severn Trent Plc 2,895 77,844 0.02% Smith & Nephew Plc 8,197 137,044 0.04% Smiths Group Plc 5,215 79,053 0.02% Spirax-Sarco Engineering Plc 774 94,418 0.03% SSE Plc 9,636 128,330 0.04% St James's Place Plc 9,003 92,406 0.03% Standard Chartered Plc 21,784 85,521 0.03% Standard Life Aberdeen Plc 31,298 77,981 0.02% Tate & Lyle Plc 2,999 21,993 0.01% Taylor Wimpey Plc 23,100 27,619 0.01% Tesco Plc 90,911 212,980 0.06% Travis Perkins Plc 1,634 19,563 0.01% TUI Travel Plc 6,388 20,628 0.01% Unilever Plc 10,798 568,553 0.17% United Utilities Group Plc 8,887 83,848 0.02% Vodafone Group Plc 237,120 268,421 0.08% Weir Group Plc 1,428 19,718 0.01% Whitbread Plc 2,055 48,143 0.01% Wm Morrison Supermarkets Plc 17,909 33,594 0.01% WPP Plc 9,402 63,021 0.02% 16,407,353 4.85%

United States (2019: 67.31%) 3M Company 5,487 749,505 0.22% Abbott Laboratories 16,839 1,562,775 0.46% AbbVie Inc 17,191 1,284,066 0.38% Abiomed Inc 400 94,507 0.03% Accenture Plc 6,097 1,174,998 0.35% Activision Blizzard Inc 7,400 510,834 0.15% Adobe Systems Inc 4,644 1,942,231 0.57% Advance Auto Parts Inc 800 104,720 0.03% Advanced Micro Devices Inc 10,400 727,153 0.21% AES Corporation 5,721 88,353 0.03% Aflac Inc 6,926 214,693 0.06% Agilent Technologies Inc 2,854 245,668 0.07% AGNC Investment Corporation 4,700 55,751 0.02% Air Products & Chemicals Inc 2,188 555,765 0.16% Akamai Technologies Inc 1,704 160,628 0.05% Albemarle Corporation 1,300 98,976 0.03% Alexandria Real Estate Equities Inc 1,400 191,020 0.06% Alexion Pharmaceuticals Inc 1,856 181,113 0.05% Align Technology Inc 800 223,330 0.07% Alleghany Corporation 170 75,450 0.02% Allegion Plc 785 66,213 0.02% Alliant Energy Corporation 2,100 92,496 0.03% Allstate Corporation 3,132 251,436 0.07% Ally Financial Corporation 3,100 66,275 0.02% Alnylam Pharmaceuticals Inc 1,700 211,077 0.06% Alphabet Inc - Class A 2,873 3,590,729 1.06% State Street Global Advisors Gross Roll Up Unit Trust 79 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Schedule of Investments SSGA GRU World Ex Euro Index Equity Fund (Continued) As at 30 September 2020

Number Fair Value % of of Shares EUR Net Assets

Equities (2019: 99.34%) (continued) United States (2019: 67.31%) (continued) Alphabet Inc - Class C 2,843 3,562,932 1.05% Altice USA Inc 4,600 101,991 0.03% Altria Group Inc 18,074 595,556 0.18% Amazon.com Inc 4,006 10,756,672 3.18% Amdocs Limited 1,809 88,564 0.03% Ameren Corporation 2,516 169,671 0.05% American Airlines Group Inc 1,500 15,721 0.00% American Electric Power Company Inc 4,593 320,118 0.09% American Express Company 6,321 540,383 0.16% American International Group Inc 9,480 222,559 0.07% American Tower Corporation 4,305 887,432 0.26% American Water Works Company Inc 1,700 210,034 0.06% Ameriprise Financial Inc 1,360 178,732 0.05% AmerisourceBergen Corporation 1,468 121,331 0.04% AMETEK Inc 1,900 161,054 0.05% Amgen Inc 5,756 1,247,555 0.37% Amphenol Corporation 2,910 268,678 0.08% Analog Devices Inc 3,416 340,071 0.10% Annaly Capital Management Inc 12,900 78,325 0.02% ANSYS Inc 900 251,147 0.07% Anthem Inc 2,509 574,675 0.17% Aon Plc 1,899 334,084 0.10% Apple Inc 152,992 15,109,369 4.47% Applied Materials Inc 8,975 455,007 0.13% Aptiv Plc 2,900 226,727 0.07% Aramark 1,200 27,067 0.01% Arch Capital Group Limited 4,900 122,223 0.04% Archer-Daniels-Midland Company 5,143 203,895 0.06% Arista Networks Inc 500 88,232 0.03% Arrow Electronics Inc 800 53,663 0.02% Arthur J Gallagher & Company 2,100 189,074 0.06% Assurant Inc 800 82,760 0.02% AT&T Inc 66,884 1,626,114 0.48% Atlassian Corp PLC 1,200 186,030 0.06% Atmos Energy Corp 1,000 81,516 0.02% Autodesk Inc 2,100 413,696 0.12% Automatic Data Processing Inc 4,153 494,011 0.15% AutoZone Inc 220 220,936 0.07% AvalonBay Communities Inc 1,365 173,836 0.05% Avangrid Inc 100 4,303 0.00% Avery Dennison Corporation 720 78,493 0.02% Baker Hughes 5,495 62,277 0.02% Ball Corporation 2,804 198,754 0.06% Bank of America Corporation 75,155 1,543,925 0.46% Bank of New York Mellon Corporation 7,637 223,643 0.07% Bausch Health Cos Inc 1,640 21,673 0.01% Baxter International Inc 5,126 351,540 0.10% Becton Dickinson and Company 2,644 524,629 0.16% Berkshire Hathaway Inc A Shares 4 1,091,548 0.32% Berkshire Hathaway Inc B Shares 12,374 2,246,979 0.66% Best Buy Company Inc 2,102 199,490 0.06% Biogen Inc 1,623 392,626 0.12% BioMarin Pharmaceutical Inc 1,900 123,269 0.04% Bio-Rad Laboratories Inc 200 87,914 0.03% BlackRock Inc 1,401 673,290 0.20% Boeing Company 5,203 733,252 0.22% Booking Holdings Inc 378 551,432 0.16% BorgWarner Inc 1,698 56,096 0.02% Boston Properties Inc 1,300 89,021 0.03% Boston Scientific Corporation 13,938 454,160 0.13% Bristol-Myers Squibb Company 21,946 1,128,320 0.33% Broadcom Inc 3,499 1,087,073 0.32% State Street Global Advisors Gross Roll Up Unit Trust 80 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Schedule of Investments SSGA GRU World Ex Euro Index Equity Fund (Continued) As at 30 September 2020

Number Fair Value % of of Shares EUR Net Assets

Equities (2019: 99.34%) (continued) United States (2019: 67.31%) (continued) Broadridge Financial Solutions Inc 998 112,340 0.03% Brown & Brown Inc 2,000 77,210 0.02% Brown-Forman Corporation 1,605 103,090 0.03% Bunge Limited 1,182 46,064 0.01% Burlington Stores Inc 800 140,598 0.04% Cabot Oil & Gas Corporation 3,400 50,334 0.01% Cadence Design Systems Inc 2,800 254,606 0.08% Campbell Soup Company 1,856 76,557 0.02% Capital One Financial Corporation 4,166 255,292 0.08% Cardinal Health Inc 2,559 102,456 0.03% CarMax Inc 1,667 130,656 0.04% Carnival Corporation 3,265 42,266 0.01% Carrier Global Corporation 8,276 215,537 0.06% Caterpillar Inc 5,269 670,167 0.20% CBOE Holdings Inc 1,000 74,822 0.02% CBRE Group Inc 2,898 116,078 0.03% CDW Corporation 1,200 122,318 0.04% Celanese Corporation 999 91,538 0.03% Centene Corporation 5,200 258,659 0.08% CenterPoint Energy Inc 4,315 71,202 0.02% CenturyLink Inc 9,365 80,581 0.02% Cerner Corporation 2,600 160,281 0.05% CF Industries Holdings Inc 2,980 78,042 0.02% CH Robinson Worldwide Inc 1,100 95,859 0.03% Charles Schwab Corporation 7,913 244,479 0.07% Charter Communications Inc 1,419 755,501 0.22% Cheniere Energy Inc 1,900 74,970 0.02% Chevron Corporation 17,888 1,098,312 0.32% Chipotle Mexican Grill Inc 261 276,816 0.08% Chubb Limited 4,223 418,177 0.12% Church & Dwight Company Inc 2,200 175,809 0.05% Cigna Corp 3,608 521,239 0.15% Cincinnati Financial Corporation 1,400 93,087 0.03% Cintas Corporation 927 263,108 0.08% Cisco Systems Inc 39,931 1,341,306 0.40% Citigroup Inc 20,328 747,316 0.22% Citizens Financial Group Inc 3,600 77,609 0.02% Citrix Systems Inc 1,100 129,178 0.04% Clorox Company 1,190 213,280 0.06% CME Group Inc 3,427 488,953 0.14% CMS Energy Corporation 2,400 125,685 0.04% CNA Financial Corp 400 10,230 0.00% Coca-Cola Company 36,307 1,528,569 0.45% Cognizant Technology Solutions Corporation 4,800 284,156 0.08% Colgate-Palmolive Company 8,368 550,540 0.16% Comcast Corporation 42,884 1,691,736 0.50% Comerica Inc 676 22,050 0.01% Commerce Bancshares Inc 610 29,281 0.01% ConAgra Foods Inc 4,124 125,586 0.04% Concho Resources Inc 1,813 68,213 0.02% ConocoPhillips 9,991 279,797 0.08% Consolidated Edison Inc 3,337 221,395 0.07% Constellation Brands Inc 1,400 226,252 0.07% Continental Resources Inc 1,300 13,614 0.00% Cooper Cos Inc 550 158,117 0.05% Copart Inc 2,200 197,290 0.06% Corning Inc 7,944 219,558 0.06% Corteva Inc 6,779 166,548 0.05% CoStar Group Inc 400 289,433 0.09% Costco Wholesale Corporation 4,090 1,238,178 0.37% Coupa Software Inc 676 158,092 0.05% Crown Castle International Corporation 4,100 582,143 0.17% State Street Global Advisors Gross Roll Up Unit Trust 81 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Schedule of Investments SSGA GRU World Ex Euro Index Equity Fund (Continued) As at 30 September 2020

Number Fair Value % of of Shares EUR Net Assets

Equities (2019: 99.34%) (continued) United States (2019: 67.31%) (continued) CSX Corporation 7,428 491,991 0.15% Cummins Inc 1,532 275,868 0.08% CVS Health Corporation 12,922 643,538 0.19% Danaher Corporation 6,005 1,102,679 0.33% Darden Restaurants Inc 943 81,011 0.02% Datadog Inc 1,604 139,739 0.04% DaVita Inc 899 65,663 0.02% Deere & Company 3,036 573,802 0.17% Dell Technologies Inc 2,409 139,057 0.04% Delta Air Lines Inc 1,100 28,685 0.01% Dentsply Sirona Inc 1,918 71,525 0.02% DexCom Inc 800 281,230 0.08% Diamondback Energy Inc 1,000 25,685 0.01% Digital Realty Trust Inc 2,700 337,912 0.10% Discover Financial Services 3,698 182,212 0.05% Discovery Communications Inc 2,300 42,699 0.01% Discovery Communications Inc 1,999 33,412 0.01% DISH Network Corporation 3,167 78,402 0.02% DocuSign Inc 1,800 330,390 0.10% Dollar General Corporation 2,500 446,894 0.13% Dollar Tree Inc 2,158 168,091 0.05% Dominion Resources Inc 7,964 536,050 0.16% Domino's Pizza Inc 300 108,800 0.03% Dover Corporation 1,224 113,084 0.03% Dow Inc 5,912 237,206 0.07% DR Horton Inc 3,597 231,988 0.07% DTE Energy Company 1,740 170,698 0.05% Duke Energy Corporation 6,980 527,138 0.16% Duke Realty Corporation 3,169 99,720 0.03% DuPont de Nemours Inc 7,479 353,844 0.10% E*TRADE Financial Corporation 1,900 81,094 0.02% Eastman Chemical Company 1,100 73,280 0.02% Eaton Corporation Plc 3,889 338,374 0.10% eBay Inc 6,672 296,432 0.09% Ecolab Inc 2,499 425,873 0.13% Edison International 3,100 134,400 0.04% Edwards Lifesciences Corporation 6,200 422,022 0.12% Elanco Animal Health Inc 3,344 79,647 0.02% Electronic Arts Inc 2,965 329,737 0.10% Eli Lilly & Company 8,198 1,034,808 0.31% Emerson Electric Company 5,002 279,692 0.08% Entergy Corporation 1,993 167,459 0.05% EOG Resources Inc 6,335 194,158 0.06% EPAM Systems Inc 576 158,794 0.05% Equifax Inc 1,373 183,707 0.05% Equinix Inc 830 538,019 0.16% Equitable Holdings Inc 4,300 66,884 0.02% Equity LifeStyle Properties Inc 1,500 78,412 0.02% Equity Residential 3,879 169,794 0.05% Essex Property Trust Inc 600 102,737 0.03% Estee Lauder Companies Inc 2,184 406,479 0.12% Etsy Inc 550 57,047 0.02% Everest Re Group Limited 323 54,411 0.02% Evergy Inc 2,100 91,009 0.03% Eversource Energy Corporation 3,048 217,167 0.06% Exact Sciences Corp 1,200 104,328 0.03% Exelon Corporation 9,058 276,224 0.08% Expedia Inc 1,141 89,215 0.03% Expeditors International of Washington Inc 1,364 105,291 0.03% Extra Space Storage Inc 1,100 100,362 0.03% Exxon Mobil Corporation 40,212 1,177,229 0.35% F5 Networks Inc 794 83,127 0.02% State Street Global Advisors Gross Roll Up Unit Trust 82 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Schedule of Investments SSGA GRU World Ex Euro Index Equity Fund (Continued) As at 30 September 2020

Number Fair Value % of of Shares EUR Net Assets

Equities (2019: 99.34%) (continued) United States (2019: 67.31%) (continued) Facebook Inc 23,070 5,152,460 1.52% FactSet Research Systems Inc 364 103,949 0.03% Fair Isaac Corporation 110 39,903 0.01% Fastenal Company 4,956 190,565 0.06% Federal Realty Investment Trust 1,200 75,153 0.02% FedEx Corporation 2,031 435,626 0.13% Ferguson PLC 2,115 182,153 0.05% Fidelity National Information Services Inc 5,963 748,572 0.22% Fifth Third Bancorp 8,861 161,102 0.05% First Republic Bank 1,900 176,706 0.05% FirstEnergy Corporation 6,124 149,934 0.04% Fiserv Inc 5,614 493,346 0.15% FleetCor Technologies Inc 955 193,907 0.06% Flextronics International Limited 3,500 33,249 0.01% FMC Corporation 1,100 99,348 0.03% FNF Group 2,300 61,410 0.02% Ford Motor Company 35,700 202,756 0.06% Fortinet Inc 1,000 100,465 0.03% Fortive Corporation 2,485 161,499 0.05% Fortune Brands Home & Security Inc 1,924 141,956 0.04% Fox Corp 2,371 56,553 0.02% Fox Corp 2,162 51,310 0.02% Franklin Resources Inc 3,805 66,031 0.02% Freeport-McMoRan Copper & Gold Inc 12,159 162,168 0.05% Garmin Ltd 1,200 97,072 0.03% Gartner Inc 750 79,915 0.02% General Dynamics Corporation 2,286 269,860 0.08% General Electric Company 86,001 456,902 0.14% General Mills Inc 5,404 284,244 0.08% General Motors Company 11,355 286,526 0.08% Gentex Corporation 3,500 76,856 0.02% Genuine Parts Company 1,158 93,981 0.03% Gilead Sciences Inc 12,360 666,037 0.20% Global Payments Inc 2,432 368,289 0.11% Globe Life Inc 900 61,323 0.02% GoDaddy Inc 1,400 90,699 0.03% Goldman Sachs Group Inc 3,267 559,902 0.17% Halliburton Company 7,314 75,158 0.02% Hartford Financial Services Group Inc 3,047 95,777 0.03% Hasbro Inc 1,087 76,678 0.02% HCA Holdings Inc 2,400 255,176 0.08% Healthpeak Properties Inc 4,700 108,818 0.03% HEICO Corp - Class A 1,200 90,728 0.03% Henry Schein Inc 1,244 62,356 0.02% Herbalife Limited 300 11,935 0.00% Hershey Company 1,500 183,354 0.05% Hess Corporation 2,736 95,497 0.03% Hewlett Packard Enterprise 11,288 90,196 0.03% Hilton Worldwide Holdings Inc 2,366 172,146 0.05% Hologic Inc 2,198 124,590 0.04% Home Depot Inc 10,166 2,407,538 0.71% Honeywell International Inc 6,897 968,162 0.29% Hormel Foods Corporation 2,300 95,891 0.03% Host Hotels & Resorts Inc 6,145 56,542 0.02% Howmet Aerospace Inc 3,323 47,380 0.01% HP Inc 14,388 233,001 0.07% Humana Inc 1,300 458,838 0.14% Huntington Bancshares Inc/OH 8,402 65,703 0.02% Huntington Ingalls Industries Inc 200 24,005 0.01% IAC/InterActiveCorp 770 78,651 0.02% IDEX Corp 600 93,332 0.03% IDEXX Laboratories Inc 600 201,139 0.06% State Street Global Advisors Gross Roll Up Unit Trust 83 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Schedule of Investments SSGA GRU World Ex Euro Index Equity Fund (Continued) As at 30 September 2020

Number Fair Value % of of Shares EUR Net Assets

Equities (2019: 99.34%) (continued) United States (2019: 67.31%) (continued) IHS Markit Limited 3,600 241,023 0.07% Illinois Tool Works Inc 3,039 500,716 0.15% Illumina Inc 1,459 384,554 0.11% Incyte Corporation 1,700 130,097 0.04% Ingredion Inc 600 38,723 0.01% Insulet Corporation 276 55,685 0.02% Intel Corporation 40,210 1,775,529 0.52% Intercontinental Exchange Inc 5,185 442,382 0.13% International Business Machines Corporation 8,616 893,965 0.26% International Flavors & Fragrances Inc 893 93,248 0.03% International Paper Company 3,385 117,024 0.03% Interpublic Group of Companies Inc 5,352 76,082 0.02% Intuit Inc 2,424 674,313 0.20% Intuitive Surgical Inc 1,100 665,581 0.20% Invitation Homes Inc 4,600 109,797 0.03% IPG Photonics Corporation 200 28,989 0.01% IQVIA Holdings Inc 1,976 265,618 0.08% Iron Mountain Inc 3,727 85,146 0.03% Jack Henry & Associates Inc 330 45,755 0.01% Jacobs Engineering 1,100 87,023 0.03% Jazz Pharmaceuticals Plc 400 48,639 0.01% JB Hunt Transport Services Inc 1,000 107,773 0.03% JM Smucker Company 900 88,661 0.03% Johnson & Johnson 25,043 3,179,467 0.94% Johnson Controls International Plc 6,862 239,042 0.07% JPMorgan Chase & Company 28,238 2,318,230 0.69% Juniper Networks Inc 4,707 86,301 0.03% Kansas City Southern 800 123,365 0.04% Kellogg Company 2,939 161,881 0.05% Keurig Dr Pepper Inc 3,627 85,367 0.03% Key Corporation 8,172 83,138 0.02% Keysight Technologies Inc 1,577 132,841 0.04% Kimberly-Clark Corporation 3,347 421,454 0.12% Kimco Realty Corporation 7,034 67,542 0.02% Kinder Morgan Inc 17,807 187,234 0.06% KKR & Co Inc 5,200 152,277 0.05% KLA Corporation 1,400 231,302 0.07% Kraft Heinz Company 5,729 146,321 0.04% Kroger Company 7,224 208,899 0.06% L3Harris Technologies Inc 2,177 315,304 0.09% Laboratory Corporation of America Holdings 902 144,817 0.04% Lam Research Corporation 1,400 396,069 0.12% Lamb Weston Holdings Inc 1,274 71,998 0.02% Las Vegas Sands Corporation 2,900 115,392 0.03% Lear Corporation 900 83,695 0.02% Leidos Holdings Inc 1,200 91,229 0.03% Lennar Corporation 2,300 160,205 0.05% Liberty Broadband Corporation 800 96,745 0.03% Liberty Broadband Corporation Class C 900 109,652 0.03% Liberty Media Corporation-Liberty SiriusXM 2,800 78,987 0.02% Liberty Media Corporation-Liberty SiriusXM Class A 1,100 31,115 0.01% Lincoln National Corporation 1,714 45,793 0.01% Live Nation Entertainment Inc 1,900 87,300 0.03% LKQ Corporation 2,600 61,483 0.02% Lockheed Martin Corporation 2,432 794,898 0.24% Loews Corporation 2,200 65,194 0.02% Lowe's Cos Inc 6,670 943,407 0.28% lululemon athletica Inc 1,000 280,877 0.08% Lyft Inc 1,600 37,590 0.01% LyondellBasell Industries NV 2,150 129,240 0.04% M&T Bank Corporation 1,091 85,678 0.03% Marathon Petroleum Corporation 5,854 146,469 0.04% State Street Global Advisors Gross Roll Up Unit Trust 84 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Schedule of Investments SSGA GRU World Ex Euro Index Equity Fund (Continued) As at 30 September 2020

Number Fair Value % of of Shares EUR Net Assets

Equities (2019: 99.34%) (continued) United States (2019: 67.31%) (continued) Markel Corporation 110 91,338 0.03% MarketAxess Holdings Inc 300 123,206 0.04% Marriott International Inc 2,372 187,268 0.06% Marsh & McLennan Companies Inc 4,734 463,045 0.14% Martin Marietta Materials Inc 700 140,495 0.04% Marvell Technology Group Limited 5,900 199,744 0.06% Masco Corporation 2,642 124,209 0.04% Masimo Corporation 220 44,287 0.01% Mastercard Inc 8,175 2,357,515 0.70% Match Group Inc 2,198 207,401 0.06% Maxim Integrated Products Inc 3,030 174,697 0.05% McCormick & Company Inc 1,107 183,233 0.05% McDonald's Corporation 7,131 1,334,740 0.39% McKesson Corporation 1,520 193,044 0.06% Medtronic Plc 13,143 1,164,730 0.34% Merck & Company Inc 24,000 1,697,693 0.50% MetLife Inc 7,090 224,735 0.07% Mettler-Toledo International Inc 200 164,712 0.05% MGM Resorts International 4,858 90,105 0.03% Microchip Technology Inc 2,018 176,838 0.05% Micron Technology Inc 11,036 441,948 0.13% Microsoft Corporation 70,953 12,726,341 3.76% Mid-America Apartment Communities Inc 1,000 98,879 0.03% Moderna Inc 2,864 172,795 0.05% Mohawk Industries Inc 499 41,528 0.01% Molson Coors Brewing Company 982 28,104 0.01% Mondelez International Inc 13,688 670,597 0.20% Monster Beverage Corporation 3,988 272,748 0.08% Moody's Corporation 1,584 391,525 0.12% Morgan Stanley 10,576 436,063 0.13% Motorola Solutions Inc 1,426 190,689 0.06% MSCI Inc 900 273,826 0.08% Mylan Inc 7,028 88,880 0.03% Nasdaq Inc 1,000 104,643 0.03% NetApp Inc 1,900 71,032 0.02% Netflix Inc 4,172 1,778,983 0.53% Newell Rubbermaid Inc 3,012 44,076 0.01% Newmont Mining Corporation 8,064 436,329 0.13% News Corporation - Class A 5,600 66,953 0.02% NextEra Energy Inc 4,764 1,127,613 0.33% Nielsen Holdings Plc 2,800 33,858 0.01% NIKE Inc 11,824 1,265,838 0.37% NiSource Inc 3,245 60,879 0.02% Norfolk Southern Corporation 2,526 460,955 0.14% Northern Trust Corporation 1,512 100,534 0.03% Northrop Grumman Corporation 1,544 415,398 0.12% NortonLifeLock Inc 4,877 86,673 0.03% NRG Energy Inc 3,200 83,885 0.02% Nucor Corporation 2,599 99,425 0.03% NVIDIA Corporation 5,440 2,510,755 0.74% NVR Inc 30 104,459 0.03% NXP Semiconductors NV 2,807 298,761 0.09% Occidental Petroleum Corporation 6,985 59,625 0.02% Okta Inc 1,200 218,838 0.06% Old Dominion Freight Line Inc 900 138,855 0.04% Omnicom Group Inc 2,500 105,530 0.03% ONEOK Inc 3,500 77,542 0.02% Oracle Corporation 18,122 922,597 0.27% O'Reilly Automotive Inc 727 285,853 0.08% Otis Worldwide Corporation 4,038 214,942 0.06% Paccar Inc 2,506 182,247 0.05% Packaging Corporation of America 1,200 111,593 0.03% State Street Global Advisors Gross Roll Up Unit Trust 85 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Schedule of Investments SSGA GRU World Ex Euro Index Equity Fund (Continued) As at 30 September 2020

Number Fair Value % of of Shares EUR Net Assets

Equities (2019: 99.34%) (continued) United States (2019: 67.31%) (continued) Palo Alto Networks Inc 1,100 229,587 0.07% Parker-Hannifin Corporation 1,377 237,600 0.07% Paychex Inc 2,664 181,220 0.05% Paycom Software Inc 400 106,187 0.03% PayPal Holdings Inc 10,772 1,809,924 0.54% PepsiCo Inc 13,460 1,590,889 0.47% Perrigo Plc 1,100 43,066 0.01% Pfizer Inc 52,578 1,645,514 0.49% Philip Morris International Inc 14,328 916,264 0.27% Phillips 66 4,025 177,935 0.05% Pinnacle West Capital Corporation 1,000 63,574 0.02% Pioneer Natural Resources Company 1,386 101,635 0.03% PNC Financial Services Group Inc 4,066 381,098 0.11% Polaris Industries Inc 300 24,135 0.01% PPG Industries Inc 2,154 224,244 0.07% PPL Corporation 8,600 199,553 0.06% Principal Financial Group Inc 2,352 80,770 0.02% Procter & Gamble Company 23,101 2,738,078 0.81% Progressive Corporation 5,590 451,290 0.13% Prologis Inc 7,110 610,078 0.18% Prudential Financial Inc 3,900 211,255 0.06% PTC Inc 1,400 98,757 0.03% Public Service Enterprise Group Inc 4,634 216,990 0.06% Public Storage 1,540 292,490 0.09% PulteGroup Inc 2,200 86,844 0.03% Qorvo Corporation 1,000 110,016 0.03% QUALCOMM Inc 10,063 1,009,861 0.30% Quest Diagnostics Inc 1,278 124,776 0.04% Raymond James Financial Inc 1,100 68,252 0.02% Raytheon Technologies Corporation 13,918 682,933 0.20% Realty Income Corporation 3,850 199,452 0.06% Regency Centers Corporation 1,162 37,675 0.01% Regeneron Pharmaceuticals Inc 959 457,791 0.14% Regions Financial Corporation 8,026 78,915 0.02% Republic Services Inc 1,900 151,251 0.04% ResMed Inc 1,400 204,666 0.06% RingCentral Inc 750 175,634 0.05% Robert Half International Inc 900 40,631 0.01% Rockwell Automation Inc 1,238 232,978 0.07% Rollins Inc 1,200 55,454 0.02% Roper Technologies Inc 970 326,830 0.10% Ross Stores Inc 3,224 256,567 0.08% Royal Caribbean Cruises Limited 1,500 82,800 0.02% S&P Global Inc 2,326 715,265 0.21% salesforce.com Inc 8,400 1,800,271 0.53% Samsonite International SA 18,600 15,964 0.00% Sarepta Therapeutics Inc 330 39,519 0.01% SBA Communications Corporation 1,000 271,590 0.08% Schlumberger Limited 8,419 111,712 0.03% Seagate Technology Plc 2,972 124,871 0.04% Seattle Genetics Inc 1,100 183,566 0.05% SEI Investments Company 500 21,626 0.01% Sempra Energy 2,663 268,787 0.08% Sensata Technologies Holding Plc 1,200 44,146 0.01% ServiceNow Inc 1,820 752,739 0.22% Sherwin-Williams Company 754 447,995 0.13% Simon Property Group Inc 2,619 144,456 0.04% Sims Metal Management Ltd 2,529 11,717 0.00% Sirius XM Holdings Inc 7,500 34,281 0.01% Skyworks Solutions Inc 1,850 229,544 0.07% Slack Technologies Inc 4,600 105,365 0.03% Snap-on Inc 700 87,828 0.03% State Street Global Advisors Gross Roll Up Unit Trust 86 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Schedule of Investments SSGA GRU World Ex Euro Index Equity Fund (Continued) As at 30 September 2020

Number Fair Value % of of Shares EUR Net Assets

Equities (2019: 99.34%) (continued) United States (2019: 67.31%) (continued) Southern Company 10,200 471,619 0.14% Southern Copper Corporation 1,073 41,423 0.01% Southwest Airlines Company 2,500 79,947 0.02% Splunk Inc 1,600 256,690 0.08% Spotify Technology SA 1,400 289,599 0.09% Square Inc 3,500 485,162 0.14% SS&C Technologies Holdings Inc 1,900 98,058 0.03% Stanley Black & Decker Inc 1,678 232,100 0.07% Starbucks Corporation 10,196 747,060 0.22% State Street Corporation 3,377 170,859 0.05% Steel Dynamics Inc 1,500 36,622 0.01% STERIS PLC 700 105,175 0.03% Stryker Corporation 3,417 607,172 0.18% Sun Communities Inc 950 113,912 0.03% SVB Financial Group 400 82,077 0.02% Synchrony Financial Inc 5,534 123,502 0.04% Synopsys Inc 1,500 273,713 0.08% Sysco Corporation 5,263 279,251 0.08% T Rowe Price Group Inc 1,976 216,060 0.06% Take-Two Interactive Software Inc 1,200 169,073 0.05% Target Corporation 4,281 574,694 0.17% TD Ameritrade Holding Corporation 2,300 76,788 0.02% Teladoc Health Inc 330 61,697 0.02% Teledyne Technologies Inc 300 79,361 0.02% Teleflex Inc 400 116,120 0.03% Teradyne Inc 770 52,176 0.02% Tesla Motors Inc 7,100 2,597,511 0.77% Texas Instruments Inc 8,927 1,087,013 0.32% Textron Inc 1,964 60,445 0.02% Thermo Fisher Scientific Inc 3,594 1,353,194 0.40% Tiffany & Company 982 97,015 0.03% TJX Cos Inc 10,000 474,566 0.14% T-Mobile US Inc 5,439 530,426 0.16% Tractor Supply Company 1,000 122,236 0.04% Trade Desk Inc 414 183,153 0.05% Trane Technologies PLC 2,165 223,857 0.07% TransDigm Group Inc 500 202,584 0.06% TransUnion 1,500 107,615 0.03% Travelers Cos Inc 2,372 218,843 0.06% Trimble Inc 2,100 87,213 0.03% Truist Financial Corporation 13,281 430,940 0.13% Twilio Inc 1,400 294,995 0.09% Twitter Inc 6,800 258,048 0.08% Tyler Technologies Inc 464 137,920 0.04% Tyson Foods Inc 2,700 136,951 0.04% Uber Technologies Inc 13,500 419,972 0.12% UDR Inc 2,500 69,522 0.02% Ulta Salon Cosmetics & Fragrance Inc 478 91,300 0.03% Union Pacific Corporation 6,575 1,103,842 0.33% United Continental Holdings Inc 900 26,670 0.01% United Parcel Service Inc 6,900 980,469 0.29% United Rentals Inc 600 89,285 0.03% UnitedHealth Group Inc 8,978 2,386,962 0.71% Universal Health Services Inc 604 55,123 0.02% US Bancorp 13,206 403,731 0.12% Vail Resorts Inc 500 91,234 0.03% Valero Energy Corporation 3,712 137,129 0.04% Varian Medical Systems Inc 756 110,887 0.03% Veeva Systems Inc 1,400 335,706 0.10% Ventas Inc 3,200 114,503 0.03% VEREIT Inc 9,101 50,447 0.01% VeriSign Inc 1,000 174,690 0.05% State Street Global Advisors Gross Roll Up Unit Trust 87 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Schedule of Investments SSGA GRU World Ex Euro Index Equity Fund (Continued) As at 30 September 2020

Number Fair Value % of of Shares EUR Net Assets

Equities (2019: 99.34%) (continued) United States (2019: 67.31%) (continued) Verisk Analytics Inc 1,500 237,040 0.07% Verizon Communications Inc 39,204 1,988,868 0.59% Vertex Pharmaceuticals Inc 2,450 568,536 0.17% VF Corporation 1,936 115,980 0.03% ViacomCBS Inc 4,664 111,405 0.03% Visa Inc 15,668 2,671,837 0.79% Vistra Energy Corp 5,200 83,633 0.02% VMware Inc 626 76,696 0.02% Vornado Realty Trust 1,500 43,120 0.01% Voya Financial Inc 1,200 49,048 0.01% Vulcan Materials Company 1,523 176,035 0.05% Wabtec Corporation 1,519 80,143 0.02% Walgreens Boots Alliance Company 7,337 224,743 0.07% Walmart Inc 13,070 1,559,394 0.46% Walt Disney Company 17,233 1,823,452 0.54% Waste Management Inc 3,784 365,186 0.11% Waters Corporation 550 91,778 0.03% Wayfair Inc 630 156,344 0.05% WEC Energy Group Inc 3,106 256,659 0.08% Wells Fargo & Company 36,736 736,506 0.22% Welltower Inc 4,597 215,963 0.06% West Pharmaceutical Services Inc 780 182,852 0.05% Western Digital Corporation 2,292 71,439 0.02% Western Union Company 3,500 63,962 0.02% Westlake Chemical Corporation 500 26,956 0.01% WestRock Company 3,432 101,674 0.03% Weyerhaeuser Company 8,184 199,043 0.06% Whirlpool Corporation 900 141,134 0.04% Williams Cos Inc 10,574 177,188 0.05% Willis Towers Watson Plc 1,514 269,606 0.08% Workday Inc 1,800 330,221 0.10% WP Carey Inc 1,500 83,350 0.02% WR Berkley Corporation 1,243 64,819 0.02% WW Grainger Inc 527 160,336 0.05% Wynn Resorts Limited 800 48,990 0.01% Xcel Energy Inc 4,910 288,952 0.09% Xilinx Inc 2,265 201,342 0.06% XPO Logistics Inc 700 50,537 0.02% Xylem Inc 1,878 134,718 0.04% Yandex Class A 2,300 127,979 0.04% Yum China Holdings Inc 3,892 175,740 0.05% Yum! Brands Inc 3,302 257,087 0.08% Zebra Technologies Corporation 525 113,027 0.03% Zillow Group Inc 1,300 112,567 0.03% Zillow Group Inc 1,000 86,633 0.03% Zimmer Biomet Holdings Inc 2,243 260,403 0.08% Zions Bancorporation 2,532 63,092 0.02% Zoetis Inc 4,600 648,703 0.19% Zoom Video Communications Inc 1,600 641,433 0.19% Zscaler Inc 830 99,580 0.03% 236,525,696 69.91%

Total Equities 336,355,957 99.41%

State Street Global Advisors Gross Roll Up Unit Trust 88 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Schedule of Investments SSGA GRU World Ex Euro Index Equity Fund (Continued) As at 30 September 2020

Future contracts (2019: 0.00%) Notional market Unrealised No. of value Gain/Loss % of contracts € € net assets

1 FUT. FTSE 100 Dec 2020 65,030 (1,657) 0.00% 11 FUT. S&P 500 Emini Dec 2020 1,571,076 (8,886) 0.00% (10,543) 0.00%

The Future Counterparty is JP Morgan Securities Limited.

Fair Value % of EUR Net Assets

Total financial assets at fair value through profit or loss (2019: 99.34%) 336,345,414 99.41%

Cash (2019: 0.49%) 1,502,714 0.44%

Other assets in excess of other liabilities (2019: 0.17%) 495,308 0.15%

Net assets attributable to redeemable unitholders 338,343,436 100.00%

% of total Analysis of total assets assets

(a) Transferable securities admitted to official stock exchange listing 96.70% (b) Other assets 3.30% Total assets 100.00%

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State Street Global Advisors Gross Roll Up Unit Trust 89 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Schedule of Investments SSGA GRU EMU Bond Index As at 30 September 2020

Coupon Maturity Nominal Fair Value % of Rate date Value EUR Net Assets

Government Bonds (2019: 99.18%) Federal Republic of Germany 1.75% 04/07/2022 3,380,000 3,525,881 1.98% Federal Republic of Germany 2.00% 04/01/2022 3,135,000 3,242,499 1.82% Federal Republic of Germany 0.00% 08/10/2021 2,900,000 2,918,705 1.64% Federal Republic of Germany 1.50% 04/09/2022 2,810,000 2,930,127 1.65% Federal Republic of Germany 0.00% 08/04/2022 2,715,000 2,742,802 1.54% Federal Republic of Germany 2.00% 15/08/2023 3,300,000 3,562,251 2.00% Federal Republic of Germany 1.50% 15/05/2023 2,970,000 3,144,844 1.77% Federal Republic of Germany 1.50% 15/02/2023 2,750,000 2,896,602 1.63% Federal Republic of Germany 0.00% 14/04/2023 2,800,000 2,852,136 1.61% Federal Republic of Germany 0.00% 07/10/2022 2,500,000 2,535,600 1.43% Federal Republic of Germany 0.00% 10/06/2022 2,300,000 2,326,496 1.31% Federal Republic of Germany 0.00% 10/12/2021 2,290,000 2,308,320 1.30% Federal Republic of Germany 0.00% 16/09/2022 2,000,000 2,027,920 1.14% Federal Republic of Germany 0.00% 11/03/2022 1,800,000 1,817,298 1.02% Government of France 3.00% 25/04/2022 6,580,000 6,956,376 3.91% Government of France 3.25% 25/10/2021 4,825,000 5,025,237 2.83% Government of France 0.00% 25/05/2022 4,580,000 4,629,006 2.60% Government of France 0.00% 25/02/2022 4,250,000 4,289,100 2.41% Government of France 1.75% 25/05/2023 6,100,000 6,491,620 3.65% Government of France 0.00% 25/03/2023 5,550,000 5,639,910 3.17% Government of France 2.25% 25/10/2022 4,950,000 5,247,990 2.95% Government of France 0.00% 25/02/2023 2,300,000 2,335,190 1.31% Government of France 8.50% 25/04/2023 1,500,000 1,855,650 1.05% Kingdom of Belgium 4.25% 28/09/2022 2,290,000 2,515,913 1.42% Kingdom of Belgium 4.00% 28/03/2022 1,990,000 2,128,982 1.20% Kingdom of Belgium 2.25% 22/06/2023 1,700,000 1,836,340 1.03% Kingdom of Netherlands 2.25% 15/07/2022 2,180,000 2,294,014 1.29% Kingdom of Netherlands 0.00% 15/01/2022 1,900,000 1,915,200 1.08% Kingdom of Netherlands 1.75% 15/07/2023 2,550,000 2,723,910 1.53% Kingdom of Netherlands 7.50% 15/01/2023 1,200,000 1,427,040 0.80% Kingdom of Netherlands 3.75% 15/01/2023 600,000 661,320 0.37% Kingdom of Spain 5.85% 31/01/2022 3,370,000 3,656,283 2.06% Kingdom of Spain 0.40% 30/04/2022 2,970,000 3,012,350 1.69% Kingdom of Spain 0.05% 31/10/2021 2,640,000 2,655,305 1.49% Kingdom of Spain 5.40% 31/01/2023 2,920,000 3,320,273 1.87% Kingdom of Spain 0.00% 30/04/2023 3,150,000 3,184,240 1.79% Kingdom of Spain 0.35% 30/07/2023 2,800,000 2,861,140 1.61% Kingdom of Spain 0.45% 31/10/2022 2,660,000 2,711,712 1.52% Republic of Austria 3.65% 20/04/2022 1,050,000 1,119,930 0.63% Republic of Austria 0.00% 20/09/2022 1,090,000 1,103,516 0.62% Republic of Austria 3.40% 22/11/2022 1,500,000 1,630,950 0.92% Republic of Austria 0.00% 15/07/2023 1,250,000 1,272,500 0.72% Republic of Austria 0.00% 20/04/2023 950,000 965,675 0.54% Republic of Finland 1.63% 15/09/2022 750,000 783,743 0.44% Republic of Finland 0.00% 15/04/2022 610,000 615,984 0.35% Republic of Finland 0.00% 15/09/2023 850,000 866,796 0.49% Republic of Finland 1.50% 15/04/2023 650,000 686,101 0.38% Republic of Ireland 0.80% 15/03/2022 900,000 917,280 0.52% Republic of Ireland 3.90% 20/03/2023 950,000 1,055,355 0.59% Republic of Ireland 0.00% 18/10/2022 800,000 808,808 0.45% Republic of Italy 5.00% 01/03/2022 2,700,000 2,901,221 1.63% Republic of Italy 5.50% 01/09/2022 2,800,000 3,105,679 1.75% Republic of Italy 1.35% 15/04/2022 2,600,000 2,662,302 1.50% Republic of Italy 0.90% 01/08/2022 2,650,000 2,703,732 1.52% Republic of Italy 1.45% 15/09/2022 2,430,000 2,507,426 1.41% Republic of Italy 2.15% 15/12/2021 2,330,000 2,397,907 1.35% Republic of Italy 1.20% 01/04/2022 2,500,000 2,553,053 1.43% Republic of Italy 0.35% 01/11/2021 2,350,000 2,366,003 1.33% Republic of Italy 2.30% 15/10/2021 2,050,000 2,104,999 1.18% Republic of Italy 1.00% 15/07/2022 1,790,000 1,828,739 1.03% Republic of Italy 4.75% 01/08/2023 3,300,000 3,748,849 2.11% Republic of Italy 5.50% 01/11/2022 2,980,000 3,329,626 1.87% Republic of Italy 4.50% 01/05/2023 2,600,000 2,908,892 1.64%

State Street Global Advisors Gross Roll Up Unit Trust 90 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Schedule of Investments SSGA GRU EMU Bond Index (Continued) As at 30 September 2020

Coupon Maturity Nominal Fair Value % of Rate date Value EUR Net Assets

Government Bonds (2019: 99.18%) (continued) Republic of Italy 0.95% 15/03/2023 2,450,000 2,512,724 1.41% Republic of Italy 0.30% 15/08/2023 2,400,000 2,422,880 1.36% Republic of Italy 0.95% 01/03/2023 2,300,000 2,358,775 1.33% Republic of Italy 0.60% 15/06/2023 2,150,000 2,190,245 1.23% Republic of Italy 0.05% 15/01/2023 1,840,000 1,847,420 1.04% Total Bonds 176,482,692 99.24%

Total Debt Securities 176,482,692 99.24%

Total financial assets at fair value through profit or loss (2019: 99.18%) 176,482,692 99.24%

Cash (2019: 0.27%) 610,691 0.34%

Other assets in excess of other liabilities (2019: 0.55%) 743,413 0.42%

Net assets attributable to redeemable unitholders 177,836,796 100.00%

% of total Analysis of total assets assets

(a) Transferable securities admitted to official stock exchange listing 91.18% (b) Other assets 8.82% Total assets 100.00%

State Street Global Advisors Gross Roll Up Unit Trust 91 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Schedule of Investments SSGA GRU Euro Cash Fund As at 30 September 2020

Coupon Maturity Nominal Fair Value % of Rate date Value EUR Net Assets

Certificates of Deposit (2019: 20.43%) Bank of America NA 0.00% 09/03/2021 1,000,000 1,002,317 1.19% Citibank 0.00% 08/02/2021 3,000,000 3,006,071 3.58% Mitsubishi UFJ Trust & Banking Corp 0.00% 20/10/2020 2,000,000 2,000,667 2.38% Mizuho Bank Ltd 0.00% 30/11/2020 2,000,000 2,001,882 2.38% Mizuho Bank Ltd 0.00% 26/10/2020 1,000,000 1,000,401 1.19% Zuercher Kantonalbank 0.00% 08/01/2021 3,000,000 3,004,632 3.58% Total Certificates of Deposit 12,015,970 14.30%

Commercial Paper (2019: 71.52%) Agence Centrale des Organismes de Securite Sociale 0.00% 29/12/2020 2,000,000 2,002,729 2.39% Agence Centrale des Organismes de Securite Sociale 0.00% 04/11/2020 2,000,000 2,001,091 2.38% Antalis SA 0.00% 14/10/2020 2,000,000 2,000,330 2.38% Banque Federative du Credit Mutuel 0.00% 01/02/2021 2,000,000 2,003,748 2.39% BPCE 0.00% 01/12/2020 2,000,000 2,001,855 2.38% Colgate-Palmolive Company 0.00% 23/10/2020 4,000,000 4,001,534 4.76% Dexia Credit Local SA 0.00% 22/12/2020 1,000,000 1,001,274 1.19% Honeywell International 0.00% 12/11/2020 3,000,000 3,001,925 3.58% HSBC UK Bank Plc 0.00% 22/10/2020 2,000,000 2,000,691 2.38% Linde Finance BV 0.00% 17/11/2020 1,000,000 1,000,713 1.19% Linde Finance BV 0.00% 02/10/2020 1,000,000 1,000,030 1.19% Lloyds Bank Plc 0.00% 18/12/2020 1,000,000 1,001,219 1.19% Lloyds Bank Plc 0.00% 14/12/2020 1,000,000 1,001,164 1.19% LMA SA 0.00% 01/10/2020 7,000,000 7,000,099 8.33% L'Oreal 0.00% 09/10/2020 3,000,000 3,000,113 3.57% L'Oreal 0.00% 05/10/2020 1,000,000 1,000,077 1.19% Matchpoint Finance Plc 0.00% 13/10/2020 2,000,000 2,000,372 2.38% Mitsubishi Corporation Finance Plc 0.00% 02/10/2020 2,000,000 2,000,067 2.38% Mitsubishi Corporation Finance Plc 0.00% 18/12/2020 1,000,000 1,001,217 1.19% Mitsubishi Corporation Finance Plc 0.00% 07/10/2020 1,000,000 1,000,117 1.19% Nordea Bank 0.00% 16/03/2021 3,000,000 3,007,240 3.58% OP Corporate Bank Plc 0.00% 07/01/2021 2,000,000 2,003,278 2.38% Paccar Financial Europe BV 0.00% 28/10/2020 1,000,000 1,000,432 1.19% Paccar Financial Europe BV 0.00% 26/10/2020 1,000,000 1,000,401 1.19% Paccar Financial Europe BV 0.00% 15/10/2020 1,000,000 1,000,231 1.19% Paccar Financial Europe BV 0.00% 06/10/2020 1,000,000 1,000,093 1.19% Procter & Gamble Company 0.00% 04/12/2020 1,500,000 1,501,505 1.79% Procter & Gamble Company 0.00% 02/11/2020 1,000,000 1,000,509 1.19% SBAB Bank AB 0.00% 19/01/2021 2,000,000 2,003,274 2.38% Svenska Handelsbanken AB 0.00% 02/10/2020 2,500,000 2,500,077 2.98% Toyota Motor Finance 0.00% 19/11/2020 3,000,000 3,002,314 3.58% Total Commercial Paper 60,039,719 71.46%

Corporate Bonds (2019: 1.70%) HSBC France 0.00% 27/11/2020 2,500,000 2,502,185 2.98% Total Corporate Bonds 2,502,185 2.98%

Total Debt Securities 74,557,874 88.74%

Cash Equivalents (2019: 8.93%) BRED Banque Populaire (0.50%) 01/10/2020 5,000,000 5,000,000 5.95% KBC Bank (0.56%) 01/10/2020 4,495,000 4,495,000 5.35% Total Cash Equivalents 9,495,000 11.30%

State Street Global Advisors Gross Roll Up Unit Trust 92 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Schedule of Investments SSGA GRU Euro Cash Fund (Continued) As at 30 September 2020

Fair Value % of EUR Net Assets

Total financial assets at fair value through profit or loss (2019: 102.58%) 84,052,874 100.04%

Cash (2019: 0.00%) 626 0.00%

Other liabilities in excess of other assets (2019: (2.58%)) (34,878) (0.04%)

Net assets attributable to redeemable unitholders 84,018,622 100.00%

% of total Analysis of total assets assets

(a) Transferable securities admitted to official stock exchange listing 100.00% Total assets 100.00%

State Street Global Advisors Gross Roll Up Unit Trust 93 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Schedule of Investments SSGA GRU Euribor Plus Fund As at 30 September 2020

Coupon Maturity Nominal Fair Value % of Rate date Value EUR Net Assets

Government Bonds (2019: 0.00%) Republic of Finland 0.00% 13/10/2020 5,000,000 5,000,748 0.50% Total Bonds 5,000,748 0.50%

Certificates of Deposit (2019: 5.18%) Citibank 0.00% 26/02/2021 20,000,000 20,046,048 1.99% Credit Suisse AG 0.00% 05/08/2021 10,000,000 10,027,370 0.99% Lloyds Bank Plc 0.00% 28/10/2020 10,000,000 10,005,276 0.99% Mizuho Bank Ltd 0.00% 05/02/2021 20,000,000 20,039,545 1.99% Norinchukin Bank 0.00% 10/11/2020 19,000,000 19,011,670 1.89% Qatar National Bank 0.00% 14/10/2020 20,000,000 20,004,940 1.99% Zuercher Kantonalbank 0.00% 15/03/2021 25,000,000 25,063,564 2.49% Total Certificates of Deposit 124,198,413 12.33%

Commercial Paper (2019: 41.62%) Agence Centrale des Organismes de Securite Sociale 0.00% 03/12/2020 20,000,000 20,019,539 1.99% Albion Capital Corporation SA 0.00% 19/10/2020 20,000,000 20,006,071 1.99% Antalis SA 0.00% 14/10/2020 30,000,000 30,004,959 2.98% Antalis SA 0.00% 07/10/2020 11,000,000 11,000,909 1.09% Arabella Finance 0.00% 12/10/2020 25,000,000 25,004,551 2.48% Austria Treasury Bill 0.00% 09/10/2020 30,000,000 30,004,223 2.98% Banque Federative du Credit Mutuel 0.00% 04/02/2021 20,000,000 20,038,244 1.99% Banque Federative du Credit Mutuel 0.00% 02/11/2020 10,000,000 10,005,365 0.99% BPCE 0.00% 31/03/2021 20,000,000 20,052,107 1.99% Caterpillar International Finance 0.00% 13/11/2020 15,000,000 15,010,733 1.49% Collateralized Commercial Paper 0.00% 26/02/2021 25,000,000 25,037,825 2.49% Cooperatieve Rabobank 0.00% 08/06/2021 20,000,000 20,063,088 1.99% Fidelity National Information 0.00% 12/11/2020 25,000,000 25,000,179 2.48% Honeywell International 0.00% 26/10/2020 10,000,000 10,003,945 0.99% Land Securities Plc 0.00% 20/10/2020 20,000,000 20,006,069 1.99% Land Securities Plc 0.00% 26/02/2021 10,000,000 10,021,111 0.99% Landesbank Hessen-Thueringen Girozentrale 0.00% 02/12/2020 15,000,000 15,019,687 1.49% Linde Finance BV 0.00% 11/11/2020 25,000,000 25,015,702 2.48% LMA SA 0.00% 08/12/2020 15,000,000 15,014,850 1.49% LMA SA 0.00% 09/12/2020 10,000,000 10,010,024 1.00% LMA SA 0.00% 10/11/2020 10,000,000 10,006,199 1.00% Managed And Enhanced Tap (Magenta) 0.00% 09/12/2020 18,000,000 18,019,446 1.79% Matchpoint Finance Plc 0.00% 16/12/2020 14,500,000 14,515,026 1.44% Matchpoint Finance Plc 0.00% 16/12/2020 10,000,000 10,010,363 1.00% Mitsubishi Corporation Finance Plc 0.00% 16/10/2020 25,000,000 25,006,669 2.48% Nordea Bank Abp 0.00% 22/03/2021 25,000,000 25,062,267 2.49% Oesterreichische Kontrollbank AG 0.00% 14/12/2020 10,000,000 10,011,367 1.00% Paccar Financial Europe BV 0.00% 07/10/2020 10,000,000 10,001,079 0.99% Satellite 0.00% 07/01/2021 20,000,000 20,010,834 1.99% SBAB Bank AB 0.00% 19/01/2021 15,000,000 15,024,553 1.49% Sheffield Receivables Corp 0.00% 12/02/2021 20,000,000 20,031,173 1.99% Standard Chartered Bank 0.00% 30/11/2020 25,000,000 25,023,405 2.49% Svenska Handelsbanken AB 0.00% 15/03/2021 20,000,000 20,050,851 1.99% Svenska Handelsbanken AB 0.00% 15/10/2020 2,500,000 2,500,578 0.25% Total Commercial Paper 601,612,991 59.75%

Corporate Bonds (2019: 40.17%) Allianz Finance II BV 0.03% 07/12/2020 10,000,000 10,010,400 1.00% BASF Finance Europe NV 0.00% 10/11/2020 14,117,000 14,122,125 1.40% Credit Suisse AG 0.18% 27/08/2021 23,000,000 23,115,345 2.30% Euroclear Bank SA/NV 0.00% 08/03/2021 25,130,000 25,179,330 2.50% HSBC France SA 0.63% 03/12/2020 7,000,000 7,013,580 0.69% ING Bank NV 0.01% 26/11/2021 19,000,000 19,096,805 1.90% ING Bank NV 0.02% 08/04/2022 10,000,000 10,060,690 1.00% Morgan Stanley 0.00% 21/05/2021 5,000,000 5,013,140 0.50% Morgan Stanley 0.00% 09/11/2021 5,000,000 5,002,075 0.49% National Australia Bank Ltd 2.00% 12/11/2020 8,016,000 8,038,028 0.80% OP Corporate Bank Plc 0.88% 21/06/2021 5,000,000 5,047,590 0.50%

State Street Global Advisors Gross Roll Up Unit Trust 94 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Schedule of Investments SSGA GRU Euribor Plus Fund (Continued) As at 30 September 2020

Coupon Maturity Nominal Fair Value % of Rate date Value EUR Net Assets

Corporate Bonds (2019: 40.17%) (continued) Societe Generale SA 0.18% 06/09/2021 10,000,000 10,051,910 1.00% Societe Generale SA 0.00% 14/01/2021 5,000,000 5,006,680 0.50% UBS AG 0.11% 23/04/2021 23,300,000 23,353,194 2.32% Westpac Banking Corp 0.07% 04/12/2020 15,000,000 15,013,440 1.49% Westpac Banking Corp 0.88% 16/02/2021 3,100,000 3,115,326 0.31% Total Corporate Bonds 188,239,658 18.70%

Floating Rate Notes (2019: 11.95%) Bank of Montreal 0.15% 28/09/2021 30,000,000 30,131,700 2.99% Lanark Master Issuer Plc 0.04% 22/12/2054 6,023,334 6,035,947 0.60% Total Floating Rate Notes 36,167,647 3.59%

Total Debt Securities 955,219,457 94.87%

Investment Funds (2019: 1.07%) SSGA Euro Liquidity Fund 50,450,960 5.01% Total Investment Funds 50,450,960 5.01%

Fair Value % of EUR Net Assets

Total financial assets at fair value through profit or loss (2019: 99.99%) 1,005,670,417 99.88%

Cash (2019: 0.00%) 802 0.00%

Other assets in excess of other liabilities (2019: 0.01%) 1,168,919 0.12%

Net assets attributable to redeemable unitholders 1,006,840,138 100.00%

% of total Analysis of total assets assets

(a) Transferable securities admitted to official stock exchange listing 99.53% (b) Other assets 0.47% Total assets 100.00%

State Street Global Advisors Gross Roll Up Unit Trust 95 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Significant Portfolio Changes (Unaudited) SSGA GRU Euro Index Equity Fund For the year ended 30 September 2020

Cost Purchases Shares EUR SAP SE 7,169 901,780 Adyen NV 689 575,708 ASML Holding NV 1,525 465,384 LVMH Louis Vuitton Moet Hennessy SA 933 359,642 Sanofi SA 4,009 357,883 Siemens AG 3,246 332,474 Total SA 9,544 322,466 Unilever NV 6,130 299,151 Allianz SE 1,433 266,089 Bayer AG 4,450 254,690 L'Oreal SA 877 243,232 Air Liquide SA 1,726 227,423 Schneider Electric SE 2,155 213,884 Anheuser-Busch InBev NV 4,331 206,001 Deutsche Telekom AG 14,480 205,882 Enel SpA 26,177 201,960 Iberdrola SA 17,953 189,672 HelloFresh SE 4,540 182,298 Prosus NV 2,268 175,482 Adidas AG 685 168,729

Proceeds Sales Shares EUR ASML Holding NV 5,202 1,343,552 SAP SE 12,158 1,292,506 LVMH Louis Vuitton Moet Hennessy SA 3,243 1,189,070 Sanofi SA 13,919 1,157,647 Total SA 31,539 1,119,215 Allianz SE 5,508 982,275 Unilever NV 19,275 896,888 Siemens AG 10,101 877,610 L'Oreal SA 3,121 789,539 Bayer AG 11,766 699,060 Iberdrola SA 76,826 698,829 Air Liquide SA 5,804 681,067 Enel SpA 96,803 677,970 Adidas AG 2,615 609,387 Schneider Electric SE 6,940 605,584 Deutsche Telekom AG 44,088 594,344 Banco Santander SA 211,077 593,804 Airbus Group 6,917 579,857 BASF SE 11,508 566,452 AXA SA 26,696 499,604 BNP Paribas SA 13,522 489,660 Kering 992 488,810

State Street Global Advisors Gross Roll Up Unit Trust 96 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Significant Portfolio Changes (Unaudited) SSGA GRU World Ex Euro Index Equity Fund For the year ended 30 September 2020

Cost Purchases Shares EUR Apple Inc 12,800 4,428,699 Microsoft Corporation 23,300 4,117,794 Amazon.com Inc 1,430 3,573,138 Facebook Inc 7,100 1,511,988 Alphabet Inc - Class C 1,150 1,459,339 Alphabet Inc - Class A 870 1,120,998 UnitedHealth Group Inc 3,900 1,039,473 Johnson & Johnson 7,600 965,639 Berkshire Hathaway Inc B Shares 5,100 879,137 Nestle SA 8,733 875,481 Visa Inc 4,900 839,239 Procter & Gamble Company 7,400 819,635 JPMorgan Chase & Company 9,200 814,924 Mastercard Inc 2,700 736,416 Home Depot Inc 3,200 727,288 Zoom Video Communcations Inc 1,958 669,897 Samsung Electronics Company Limited 15,977 657,683 NVIDIA Corporation 1,900 648,587 Verizon Communications Inc 12,700 628,886 salesforce.com Inc 3,900 616,135

Proceeds Sales Shares EUR Apple Inc 47,300 10,741,297 Microsoft Corporation 63,300 9,401,415 Amazon.com Inc 3,500 6,304,084 Alphabet Inc - Class C 2,800 3,278,235 Facebook Inc 19,100 3,165,588 Alphabet Inc - Class A 2,400 2,823,533 JPMorgan Chase & Company 27,600 2,668,548 Johnson & Johnson 21,500 2,644,688 Visa Inc 14,800 2,439,081 Nestle SA 24,508 2,339,678 Berkshire Hathaway Inc B Shares 12,200 2,220,521 Procter & Gamble Company 20,600 2,175,309 Mastercard Inc 7,700 1,987,159 AT&T Inc 61,500 1,916,506 UnitedHealth Group Inc 7,600 1,904,851 Intel Corporation 37,400 1,856,353 Home Depot Inc 9,200 1,856,045 Verizon Communications Inc 34,200 1,722,724 Bank of America Corporation 71,000 1,666,917 Roche Holding AG 5,260 1,546,776

State Street Global Advisors Gross Roll Up Unit Trust 97 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Significant Portfolio Changes (Unaudited) SSGA GRU EMU Bond Index Fund For the year ended 30 September 2020

Coupon Maturity Nominal Cost Purchases Rate Date Value EUR Government of France 1.75 25/05/2023 6,600,000 7,055,334 Government of France 2.25 25/10/2022 6,450,000 7,003,827 Government of France 0.00 25/03/2023 6,400,000 6,512,812 Republic of Italy 5.50 01/11/2022 3,530,000 4,066,775 Kingdom of Spain 5.40 31/01/2023 3,320,000 3,878,492 Republic of Italy 4.75 01/08/2023 3,300,000 3,746,193 Federal Republic of Germany 2.00 15/08/2023 3,300,000 3,564,667 Kingdom of Spain 0.45 31/10/2022 3,410,000 3,484,791 Federal Republic of Germany 0.00 07/10/2022 3,300,000 3,366,147 Federal Republic of Germany 1.50 15/02/2023 3,150,000 3,365,273 Federal Republic of Germany 0.00 14/04/2023 3,200,000 3,272,684 Kingdom of Spain 0.00 30/04/2023 3,150,000 3,176,492 Federal Republic of Germany 1.50 15/05/2023 2,970,000 3,162,017 Republic of Italy 4.50 01/05/2023 2,800,000 3,119,766 Kingdom of Spain 0.35 30/07/2023 2,800,000 2,859,304 Kingdom of Netherlands 1.75 15/07/2023 2,600,000 2,787,458 Republic of Italy 0.95 15/03/2023 2,650,000 2,675,761 Republic of Italy 0.05 15/01/2023 2,420,000 2,422,891 Republic of Italy 0.30 15/08/2023 2,400,000 2,415,370 Government of France 0.00 25/02/2023 2,300,000 2,340,966 Federal Republic of Germany 0.00 10/06/2022 2,300,000 2,330,191 Federal Republic of Germany 0.00 10/12/2021 2,290,000 2,317,231 Federal Republic of Germany 0.95 01/03/2023 2,300,000 2,315,396 Federal Republic of Germany 0.60 15/06/2023 2,150,000 2,175,511 Federal Republic of Germany 0.00 11/03/2022 2,100,000 2,131,001 Federal Republic of Germany 0.00 16/09/2022 2,000,000 2,027,860 Government of France 8.50 25/04/2023 1,500,000 1,910,595 Republic of Austria 3.40 22/11/2022 1,650,000 1,846,056 Kingdom of Belgium 2.25 22/06/2023 1,700,000 1,845,588 Kingdom of Netherlands 7.50 15/01/2023 1,200,000 1,492,968 Government of France 0.00 25/05/2022 1,390,000 1,406,419 Government of France 3.00 25/04/2022 1,230,000 1,312,087 Government of France 0.00 25/02/2022 1,280,000 1,294,857 Republic of Austria 0.00 15/07/2023 1,250,000 1,273,488

State Street Global Advisors Gross Roll Up Unit Trust 98 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Significant Portfolio Changes (Unaudited) SSGA GRU EMU Bond Index Fund (Continued) For the year ended 30 September 2020

Coupon Maturity Nominal Proceeds Sales Rate Date Value EUR Government of France 3.75 25/04/2021 5,980,000 6,232,815 Government of France 0.00 25/02/2021 4,865,000 4,895,376 Government of France 0.00 25/05/2021 4,560,000 4,586,929 Republic of Italy 3.75 01/08/2021 4,390,000 4,553,689 Republic of Italy 4.75 01/09/2021 4,300,000 4,511,337 Government of France 2.50 25/10/2020 4,310,000 4,441,584 Kingdom of Spain 5.50 30/04/2021 3,855,000 4,067,169 Republic of Italy 3.75 01/03/2021 3,750,000 3,865,104 Kingdom of Spain 0.75 30/07/2021 3,525,000 3,568,853 Federal Republic of Germany 0.00 09/04/2021 3,370,000 3,388,619 Government of France 0.25 25/11/2020 3,265,000 3,292,101 Federal Republic of Germany 2.50 04/01/2021 2,975,000 3,061,846 Federal Republic of Germany 3.25 04/07/2021 2,930,000 3,036,751 Kingdom of Belgium 4.25 28/09/2021 2,820,000 2,971,221 Kingdom of Spain 0.05 31/01/2021 2,940,000 2,953,096 Republic of Italy 0.45 01/06/2021 2,830,000 2,844,222 Federal Republic of Germany 0.25 16/10/2020 2,725,000 2,748,081 Federal Republic of Germany 2.25 04/09/2021 2,650,000 2,727,904 Kingdom of Spain 4.85 31/10/2020 2,600,000 2,727,166 Republic of Italy 3.75 01/05/2021 2,580,000 2,665,984 Republic of Italy 0.05 15/04/2021 2,670,000 2,665,820 Kingdom of Netherlands 3.25 15/07/2021 2,565,000 2,662,140 Republic of Austria 3.50 15/09/2021 2,420,000 2,520,389 Federal Republic of Germany 0.00 10/09/2021 2,300,000 2,315,095 Federal Republic of Germany 0.00 12/03/2021 2,260,000 2,272,999 Republic of Italy 0.20 15/10/2020 2,250,000 2,259,630 Federal Republic of Germany 0.00 11/06/2021 2,220,000 2,234,675 Republic of Italy 0.65 01/11/2020 2,055,000 2,070,700 Federal Republic of Germany 0.00 11/12/2020 1,755,000 1,766,004 Government of France 3.00 25/04/2022 1,600,000 1,710,196 Government of France 3.25 25/10/2021 1,530,000 1,622,777 Government of France 0.00 25/05/2022 1,600,000 1,619,110 Government of France 2.25 25/10/2022 1,500,000 1,605,866

State Street Global Advisors Gross Roll Up Unit Trust 99 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Significant Portfolio Changes (Unaudited) SSGA GRU Euro Cash Fund For the year ended 30 September 2020

Maturity Nominal Cost Purchases Date Value EUR L'Oreal 06/11/2019 8,000,000 8,002,393 LMA SA 03/08/2020 8,000,000 8,000,340 LMA SA 10/08/2020 8,000,000 8,000,340 LMA SA 07/10/2019 8,000,000 8,000,340 LMA SA 17/08/2020 8,000,000 8,000,340 LMA SA 27/07/2020 8,000,000 8,000,340 LMA SA 20/07/2020 8,000,000 8,000,340 LMA SA 22/09/2020 8,000,000 8,000,113 LMA SA 06/08/2020 8,000,000 8,000,113 LMA SA 04/10/2019 8,000,000 8,000,113 LMA SA 03/10/2019 8,000,000 8,000,113 LMA SA 24/07/2020 8,000,000 8,000,113 LMA SA 14/08/2020 8,000,000 8,000,113 LMA SA 11/08/2020 8,000,000 8,000,113 LMA SA 31/07/2020 8,000,000 8,000,113 LMA SA 22/07/2020 8,000,000 8,000,113 LMA SA 21/07/2020 8,000,000 8,000,113 LMA SA 20/08/2020 8,000,000 8,000,113 LMA SA 30/07/2020 8,000,000 8,000,113 LMA SA 04/08/2020 8,000,000 8,000,113

Maturity Nominal Proceeds Sales Date Value EUR L'Oreal 06/11/2019 8,000,000 8,000,750 LMA SA 03/08/2020 8,000,000 8,000,000 LMA SA 10/08/2020 8,000,000 8,000,000 LMA SA 22/09/2020 8,000,000 8,000,000 LMA SA 06/08/2020 8,000,000 8,000,000 LMA SA 07/10/2019 8,000,000 8,000,000 LMA SA 04/10/2019 8,000,000 8,000,000 LMA SA 03/10/2019 8,000,000 8,000,000 LMA SA 17/08/2020 8,000,000 8,000,000 LMA SA 24/07/2020 8,000,000 8,000,000 LMA SA 14/08/2020 8,000,000 8,000,000 LMA SA 11/08/2020 8,000,000 8,000,000 LMA SA 31/07/2020 8,000,000 8,000,000 LMA SA 22/07/2020 8,000,000 8,000,000 LMA SA 21/07/2020 8,000,000 8,000,000 LMA SA 20/08/2020 8,000,000 8,000,000 LMA SA 30/07/2020 8,000,000 8,000,000 LMA SA 04/08/2020 8,000,000 8,000,000 LMA SA 23/07/2020 8,000,000 8,000,000 LMA SA 13/05/2020 8,000,000 8,000,000

State Street Global Advisors Gross Roll Up Unit Trust 100 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Significant Portfolio Changes (Unaudited) SSGA GRU Euribor Plus Fund For the year ended 30 September 2020

Maturity Nominal Cost Purchases Date Value EUR SSGA Euro Liquidity Fund 959,316 954,280,202 Republic of Finland 09/06/2020 30,000,000 30,041,557 Zürcher Kantonalbank 14/09/2020 30,000,000 30,040,480 FMS Wertmanagement 09/09/2020 30,000,000 30,039,920 Agence Centrale des Organismes de Securite Sociale 08/09/2020 30,000,000 30,038,048 Oesterreichische Kontrollbank AG 05/08/2020 30,000,000 30,025,311 BPCE 31/08/2020 30,000,000 30,024,954 Nestle Finance International Ltd 14/07/2020 30,000,000 30,022,767 Agence Centrale des Organismes de Securite Sociale 14/04/2020 30,000,000 30,017,343 Kingdom of Denmark 10/08/2020 30,000,000 30,015,408 Austria Treasury Bill 20/04/2020 30,000,000 30,014,941 Kingdom of Denmark 10/09/2020 30,000,000 30,014,474 Austria Treasury Bill 09/10/2020 30,000,000 30,014,257 Republic of Austria 27/07/2020 30,000,000 30,013,956 Republic of Austria 26/06/2020 30,000,000 30,013,439 Antalis SA 14/09/2020 30,000,000 30,012,005 Antalis SA 14/10/2020 30,000,000 30,011,504 Paccar Financial Europe BV 07/08/2020 30,000,000 30,011,254 Stanley Black And Decker Inc 19/03/2020 30,000,000 30,011,087 Stanley Black And Decker Inc 20/12/2019 30,000,000 30,008,944

Maturity Nominal Proceeds Sales Date Value EUR SSGA Euro Liquidity Fund 917,785 912,856,718 BPCE 31/08/2020 30,000,000 30,000,000 Antalis SA 21/04/2020 30,000,000 30,000,000 Antalis SA 28/04/2020 30,000,000 30,000,000 Republic of Finland 09/06/2020 30,000,000 30,000,000 Anglesea Funding Plc 24/07/2020 30,000,000 30,000,000 Republic of Austria 27/07/2020 30,000,000 30,000,000 Anglesea Funding Plc 19/06/2020 30,000,000 30,000,000 Qatar National Bank 05/06/2020 30,000,000 30,000,000 Antalis SA 05/05/2020 30,000,000 30,000,000 LMA SA 11/03/2020 30,000,000 30,000,000 LMA SA 09/03/2020 30,000,000 30,000,000 Stanley Black And Decker Inc 19/03/2020 30,000,000 30,000,000 Anglesea Funding Plc 26/06/2020 30,000,000 30,000,000 Nestle Finance International Ltd 14/07/2020 30,000,000 30,000,000 Citibank 30/04/2020 30,000,000 30,000,000 Antalis SA 13/08/2020 30,000,000 30,000,000 Paccar Financial Europe BV 07/08/2020 30,000,000 30,000,000 Kingdom of Denmark 10/08/2020 30,000,000 30,000,000 FMS Wertmanagement 09/09/2020 30,000,000 30,000,000

State Street Global Advisors Gross Roll Up Unit Trust 101 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Appendix 1 Remuneration Information (Unaudited)

Remuneration

State Street Corporation (“SSC”), and its direct and indirect subsidiaries (together with the SSC hereafter referred to as “State Street”), operates a group-wide compensation strategy including a remuneration policy that applies to all State Street entities globally. State Street Global Advisors Funds Management Limited (“SSGA FML”) is the Management Company of the SSGA Gross Roll Up Trust and does not employ any staff. As the Investment Manager of the SSGA Gross Roll Up Trust, SSGA Ireland Limited delegates the investment management of certain sub-funds to SSGA Limited (the “Investment Managers”). As State Street subsidiaries, the Investment Managers are fully integrated into State Street’s group-wide compensation strategy and subject to the global and regional governing body structure of State Street to provide appropriate and effective control of the remuneration arrangements (incl. compliance with the relevant remuneration regulations) across the State Street group of affiliated entities. Under its publicly available charter, the Human Resources Committee (“HRC”) of SSC oversees all of State Street’s compensation plans, policies, and programs in which senior executives participate and incentive, retirement, welfare and equity plans in which certain other employees of SSC participate. It also oversees the alignment of the incentive compensation arrangements with the State Street’s financial safety and soundness consistent with applicable related regulatory rules and guidance. The HRC approves the overall allocation of the Incentive Compensation (“IC”) Plan pool. State Street’s CEO allocates IC pools to business units and corporate functions based upon a variety of factors, which may include budget performance, achievement of key goals and other considerations. The final expenditure and overall allocation between current and deferred awards are then reviewed by the HRC prior to payment.

State Street also has a separate UK Remuneration Committee (“UK RemCo”) in place with the primary duties:

• the oversight of the process for identifying and determining the remuneration of EU Identified Staff (“EUIS”) in the UK;

• the oversight of decisions made by those with authority to determine the remuneration of EUIS in the UK; and

• holistic oversight of non-UK EUIS remuneration matters, with a view providing a central forum for consideration of issues and thereby enhancing consistency of approach across State Street EMEA.

State Street operates an annually reviewed global remuneration policy document (supplemented by any relevant addenda by jurisdiction or regulatory regime), which documents State Street’s existing remuneration framework. This policy is intended to comply with applicable remuneration regulatory requirements including, but not limited to, those contained in the EU CRD IV, UCITS V Directive and AIFMD, and will be interpreted and administered accordingly. State Street’s remuneration policies and practices apply on a global basis to all employees of the State Street group (incl. the Investment Managers). The key principles that align State Street’s remuneration system with the business strategy are as follows:

• We emphasize total rewards

• We target the aggregate annual value of our Total Rewards Program to be competitive with our business peers.

• We unequivocally support equal pay for work of equal value

• Funding for our Total Rewards Program is subject to affordability and is designed to be flexible based on corporate performance

• We differentiate pay based on performance

• We align employees’ interests with shareholders’ interests

• Our compensation plans are designed to comply with applicable regulations and related guidance, including prohibiting incentives to take excessive risks.

Given our process of structured discretion in determining incentive pool funding and individual award decisions, the deferral of incentive compensation, and the availability of ex-ante and ex-post adjustments, such as forfeitures and clawbacks, our compensation system is appropriately risk-sensitive and links current decisions and actions to future risk outcomes.

State Street operates a fully flexible, discretionary bonus policy (i.e. the amount of individual variable pay may fluctuate significantly from one year to the next, depending on performance and the other factors described below, and even could be reduced to zero for any given year). The discretionary bonus policy is structured so as to achieve a balance between fixed and variable components, but also includes specific maximum pay ratios where required by local regulations. A number of employees in sales participate in Structured Incentive Plans, which aim to bring the variable compensation granted to plan participants into line with the revenues they generate as well as taking into account non-financial qualitative performance indicators. All such participants receive sufficiently high fixed compensation. Variable compensation is assigned on an individual basis by way of a review of both quantitative and qualitative factors.

A proportionality assessment has been conducted to evaluate the risk profile of the UCITS Management Companies within SSGA. This analysis has concluded that the size, nature and complexity of the Management Companies and, where relevant, the funds State Street Global Advisors Gross Roll Up Unit Trust 102 State Street Global Advisors Gross Roll Up Unit Trust Annual Report and Audited Financial Statements for the year ended 30 September 2020 Appendix 1 Remuneration Information (Unaudited) (Continued) that they manage, is sufficiently low and UCITS V’s remuneration requirements on the pay-out processes and establishment of a remuneration committee were disapplied. Accordingly, SSGA continues to operate current levels of deferral and stock-based compensation and has not made significant changes to Identified Staff remuneration structures in respect of the Management Companies.

Total amount of remuneration paid by the Investment Manager for the year ended 30 September 2020*

Fixed remuneration (in € k) 47,569 Variable remuneration (in € k) 36,315 Total Remuneration (in € k) 83,884 Number of beneficiaries 411 Performance fee paid directly by the UCITS n/a

Aggregate amount of remuneration as at 30 September 2020 (in € k)

Senior Management of SSGA FML** 105 Identified Staff of the Investment Manager 54,516

More details regarding State Street’s remuneration approach including (but not limited to) information on the decision-making process to determine the remuneration policy, its basic characteristics and the linkage between pay and performance, are published separately in State Street’s Proxy Statement at www.statestreet.com and the remuneration section of the UK Pillar 3 disclosure of SSGA Ltd. at https://www.ssga.com/library-content/pdfs/global/2019-pillar-3-disclosure-statement.pdf. In light of State Street’s group-wide compensation strategy, the qualitative remuneration information included in the UK Pillar 3 disclosure equally apply to State Street employees outside the UK and the Investment Managers’ employees.

* Disclosure is based on the remuneration of the entire staff of the investment managers, indicating the number of beneficiaries. Variable pay for 2019 is used as 2020 will not be delivered before Q1 2021. Prorated fixed remuneration for the financial year is included. ** Represents remuneration paid to independent directors (Directors of SSGA FML who are also employees of the SSC do not receive remuneration in their capacity as board members).

State Street Global Advisors Gross Roll Up Unit Trust 103