Report and Financial Statements For the year ended 31st December 2020

State Street AUT Screened (ex Controversies and CW) Index Equity Fund (formerly State Street Japan Equity Tracker Fund) State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Contents Page

Manager's Report* 1

Portfolio Statement* 5

Director's Report to Unitholders* 25

Manager's Statement of Responsibilities 26

Statement of the Depositary’s Responsibilities 27

Report of the Depositary to the Unitholders 27

Independent Auditors’ Report 28

Comparative Table* 31

Financial statements: 32

Statement of Total Return 32

Statement of Change in Net Assets Attributable to Unitholders 32

Balance Sheet 33

Notes to the Financial Statements 34

Distribution Tables 45

Directory* 46

Appendix I – Remuneration Policy (Unaudited) 47

Appendix II – Assessment of Value (Unaudited) 49

* These collectively comprise the Manager’s Report. State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Manager’s Report For the year ended 31st December 2020

Authorised Status The State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund (the “Fund”) is an Authorised Unit Trust Scheme as defined in section 243 of the Financial Services and Markets Act 2000 and it is a UCITS Retail Scheme within the meaning of the FCA Collective Investment Schemes sourcebook. The unitholders are not liable for the debts of the Fund. The Fund's name was changed to State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund on 18th December 2020 (formerly State Street Japan Equity Tracker Fund).

Investment Objective and Policy The objective of the Fund is to replicate, as closely as possible, and on a “gross of fees” basis, the return of the Japan equity market as represented by the FTSE Japan ex Controversies ex CW Index (the “Index”) net of unavoidable withholding taxes. The Manager will seek to achieve this objective principally by investing in the shares of certain companies included from time to time in the Index considered by the Investment Adviser to reflect accurately the performance of that Index. The Fund may also invest in transferrable securities, money market instruments, warrants, units in collective investment schemes, deposits and derivatives. The Fund may invest in collective investment schemes managed or operated by companies in the same group as the Manager or the Investment Adviser. The Fund will seek to track the performance of the Index whilst seeking to minimise as far as possible the tracking error between the Fund’s performance and that of the Index. The Index includes a negative screen that exclude securities from the Index based on two criteria: 1. Controversial weapons (including chemical & biological weapons, cluster munitions, anti-personnel landmines), and 2. Controversies as defined by the ten principles of the UN Global Compact: Human Rights a) Principle 1: Businesses should support and respect the protection of internationally proclaimed human rights; and b) Principle 2: make sure that they are not complicit in human rights abuses. Labour c) Principle 3: Businesses should uphold the freedom of association and the effective recognition of the right to collective bargaining; d) Principle 4: the elimination of all forms of forced and compulsory labour; e) Principle 5: the effective abolition of child labour; and f) Principle 6: the elimination of discrimination in respect of employment and occupation. Environment g) Principle 7: Businesses should support a precautionary approach to environmental challenges; h) Principle 8: undertake initiatives to promote greater environmental responsibility; and i) Principle 9: encourage the development and diffusion of environmentally friendly technologies. Anti-Corruption j) Principle 10: Businesses should work against corruption in all its forms, including extortion and bribery. The negative screens will therefore apply when the Schemes invest in shares of companies included in the Index (but not in respect of other investments held by the Scheme from time to time).

1 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Manager's Report (continued) For the year ended 31st December 2020

Strategy The Fund is constructed to track, on a gross of fees basis, the performance of the FTSE Japan ex-Controversies ex-CW Index (the “Index”). The Fund had a benchmark change on 18th December 2020 from FTSE Japan Index to FTSE Japan ex-Controversies ex-CW Index. The Fund is managed on a fully replicated basis and typically has a portfolio of approximately 507 stocks. The emphasis is on maintaining tracking precision, a combination of stocks is selected to minimise deviation from the Index. The Fund is managed to remain neutral on all factors contributing to risk.

Performance The Fund returned 10.66% on a net basis for the 12-month period ended 31 December 2020 (the “Reporting Period”), compared to the Index return of 10.69%. The size of the Fund’s tracking difference for the Reporting Period was -0.03%.

Market Review During the Reporting Period 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 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. Japanese equity market trended upwards during the third quarter as a gradual strengthening of the yen against the US dollar was seen during the quarter. Shinzo Abe announced his resignation as prime minister of Japan on 28 August, due to the resurgence of a long-standing health problem, just four days after he recorded the longest continuous term of any Japanese prime minister. Following his resignation, Yoshihide Suga, the Chief Cabinet Secretary, quickly emerged as the frontrunner and he duly won the LDP’s leadership election on 14 September. His position as the new prime minister was then confirmed in a special parliamentary session on 16 September. However, the change in leader had little impact on the overall market. Japanese equities continued to rally in the last quarter, driven by early November by vaccine-related news and the US presidential election result. 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.

Index Activity The Index is subject to a rebalance in March, June, September and December. In March there were seven inclusions (the largest being Lasertec), one exclusion, one up weight and no down weights. In June there were no inclusions, one exclusion, no up weights and no down weights. In September there were twenty-four inclusions, fourteen exclusions, no up weight and one down weight. In December there was no inclusion, no exclusion, ten up weights and one down weights.

Figures in USD unless specified otherwise. For Institutional Use Only – Not for Use with the Public.

Sources: Bloomberg, FactSet, J.P. Morgan, Financial Times, Barron’s, Bank of America-Merrill Lynch, Credit Suisse, Citigroup, The Wall Street Journal,MSCI,asof 1 January 2021

2 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Manager's Report (continued) For the year ended 31st December 2020

Risk and Reward Profile

Risk Disclaimer The risk category above is not a measure of capital loss or gains but of how significant the rises and falls in the Fund’s return have been historically. For example a fund whose return has experienced significant rises and falls will be in a higher risk category, whereas a fund whose return has experienced less significant rises and falls will be in a lower risk category. The lowest category (i.e. category 1) does not mean that a fund is a risk free investment. As the Fund’s risk category has been calculated using historical data, it may not be a reliable indication of the Fund’s future risk profile. The Fund’s risk category shown is not guaranteed and may change in the future.

Why is this Fund in this category? The Fund is in risk category 6 as its return has experienced very high rises and falls historically. The following are material risks relevant to the Fund which are not adequately captured by the risk category. Index Tracking Risk: The Fund's performance may not exactly track the Index. This can result from market fluctuations, changes in the composition of the Index, transaction costs, the costs of making changes to the Fund's portfolio and other Fund expenses. Liquidity Risk: It may be difficult for the Fund to buy or sell certain investments in difficult market conditions. Consequently the price obtained when selling securities may be lower than under normal market conditions. Concentration Risk: A Fund that purchases a limited number of securities, or only securities of a limited number of countries or industries, may experience higher changes in value than a fund that does not limit its investments. Counterparty Risk: The Fund will be subject to credit risk with respect to the counterparties with which it enters into derivatives contracts and other transactions. There is a risk that these institutions may not be able to perform their obligations. This could reduce the value of the Fund's investments. Screening Risk: The Scheme uses a benchmark index where the benchmark index provider screens out certain securities due to considerations relating to (i) controversial weapons and (ii) controversies as defined by the ten principles of the UN Global Compact. The use of a screened benchmark index will cause the Scheme to make different investments than funds that have a similar investment style but that do not take into account these considerations. The use of a screened benchmark index will affect the Scheme's exposure to certain securities, which will impact its investment performance.

Derivatives Usage Derivatives are used in the Fund for efficient portfolio management purposes. The Fund invests in index futures to manage client inflows and outflows and to hedge accrued income. At all times the futures exposure is covered entirely by cash or cash equivalents. As at 31st December 2020, the Fund had a total notional exposure to futures of £767,161.

3 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Manager's Report (continued) For the year ended 31st December 2020

Tracking Error The Tracking Error measures the standard deviation of the relative returns. It is the annualised standard deviation of the returns of a fund minus those of its benchmark (relative returns) and not the standard deviation of each fund’s unique returns. The lower the tracking error of a fund, the more the fund resembles its benchmark or the market regarding risk and return characteristics. The size of the Fund’s tracking error for the twelve months ended 31st December 2020 was 0.13% which was within the targeted maximum level of 1%.

Distribution There was a distribution of 1.7185 pence per unit paid on 26th February 2021 (28.2.20: 1.6627).

4 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Portfolio Statement As at 31st December 2020

Market Value % of Total Holdings £'000 Net Assets

Automobiles & Parts–8.86%(31.12.2019–9.45%) Aisin Seiki 3,200 70 0.12 10,600 254 0.42 8,400 365 0.60 Motor 32,000 652 1.07 JTEKT 2,900 16 0.03 Koito Manufacturing 2,100 104 0.17 Motor 11,700 57 0.09 15,200 23 0.04 NGK Spark Plug 3,400 43 0.07 NHK Spring 4,100 21 0.03 Nifco 1,500 43 0.07 Motor 36,900 146 0.24 Nissan Shatai 2,100 13 0.02 NOK 3,200 25 0.04 2,600 61 0.10 Subaru 11,400 167 0.27 Sumitomo Electric Industries 14,000 136 0.22 Sumitomo Rubber Industries 4,600 29 0.05 Motor 8,400 285 0.47 Tokai Rika 1,200 15 0.02 Toyo Tire & Rubber 1,400 16 0.03 Toyoda Gosei 1,200 25 0.04 Boshoku 1,400 17 0.03 Toyota Industries 3,000 174 0.29 Toyota Motor 46,000 2,594 4.27 TS Tech 700 16 0.03 Rubber 1,600 17 0.03

5,384 8.86

Banks–4.26%(31.12.2019–2.81%) 77 Bank 1,600 16 0.03 1,700 23 0.04 Bank of 1,400 53 0.09 10,900 44 0.07

5 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Portfolio Statement (continued) As at 31st December 2020

Market Value % of Total Holdings £'000 Net Assets

Banks–4.26%(31.12.2019–2.81%) (continued) Chugoku Bank 2,800 16 0.03 Concordia Financial 19,500 50 0.08 Fukuoka Financial 2,700 35 0.06 Gunma Bank 10,000 23 0.04 Hachijuni Bank 5,700 14 0.02 Hirogin 7,300 30 0.05 Hokuhoku Financial 1,400 10 0.02 Iyo Bank 6,800 31 0.05 Japan Post Bank 7,600 46 0.07 Kansai Mirai Financial 4,600 16 0.03 Kyushu Financial 5,600 17 0.03 Mebuki Financial 18,600 27 0.04 Mitsubishi UFJ Financial 232,770 752 1.24 Mizuho Financial 46,942 435 0.72 Resona 38,700 99 0.16 Seven Bank 17,600 27 0.04 Shiga Bank 1,200 18 0.03 3,100 28 0.05 10,900 58 0.09 Sumitomo Financial 24,100 544 0.89 Sumitomo Mitsui Trust 6,800 153 0.25 Yamaguchi Financial 6,000 25 0.04

2,590 4.26

Beverages–1.13%(31.12.2019–0.05%) Asahi 7,800 235 0.39 Coca-Cola Bottlers Japan 2,475 28 0.04 Ito En 1,200 56 0.09 Kirin 14,400 248 0.41 Sapporo 1,700 24 0.04 Suntory Beverage & Food 2,300 59 0.10 Takara 4,300 39 0.06

689 1.13

6 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Portfolio Statement (continued) As at 31st December 2020

Market Value % of Total Holdings £'000 Net Assets

Chemicals–4.26%(31.12.2019–4.06%) Air Water 3,300 43 0.07 22,800 170 0.28 Daicel 4,900 26 0.04 1,500 43 0.07 DIC 1,200 22 0.04 JSR 3,200 65 0.11 Kaneka 1,400 36 0.06 6,200 48 0.08 Lintec 1,500 24 0.04 Mitsubishi Chemical 23,200 103 0.17 Mitsubishi Gas Chemical 3,300 55 0.09 3,200 69 0.11 Nagase 1,610 17 0.03 2,000 13 0.02 Nippon Shokubai 800 33 0.05 Nissan Chemical 2,400 110 0.18 2,700 177 0.29 NOF 1,400 52 0.09 Shin-Etsu Chemical 7,500 959 1.58 2,600 40 0.07 Sumitomo Bakelite 800 20 0.03 26,200 77 0.13 Taiyo Nippon Sanso 2,500 34 0.06 3,100 43 0.07 2,800 26 0.04 Tokuyama 1,700 28 0.05 27,400 119 0.20 5,000 57 0.09 2,200 21 0.03 1,300 17 0.03 Zeon 3,700 39 0.06

2,586 4.26

7 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Portfolio Statement (continued) As at 31st December 2020

Market Value % of Total Holdings £'000 Net Assets

Construction & Materials–2.92%(31.12.2019–1.87%) Aica Kogyo 900 23 0.04 2,352 53 0.09 Industries 5,000 812 1.34 Haseko 4,900 41 0.07 JGC 4,200 29 0.05 8,700 85 0.14 Kandenko 700 4 0.01 Kinden 2,200 26 0.04 Kyowa Exeo 1,800 37 0.06 Kyudenko 1,100 26 0.04 LIXIL 5,000 79 0.13 Maeda 3,000 20 0.03 Maeda Road Construction 800 10 0.02 Nippo 700 14 0.02 Obayashi 12,700 80 0.13 Penta-Ocean Construction 4,100 26 0.04 Sanwa 3,200 27 0.04 Shimizu 9,600 51 0.08 SHO-BOND 700 25 0.04 Sumitomo Cement 900 19 0.03 2,500 46 0.07 Taisei 3,800 96 0.16 Toda 6,000 29 0.05 TOTO 2,700 119 0.20

1,777 2.92

Consumer Services–0.02%(31.12.2019–2.48%) Benesse 900 13 0.02

13 0.02

Electricity–0.71%(31.12.2019–0.54%) 12,300 108 0.18 Chugoku Electric Power 6,500 56 0.09

8 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Portfolio Statement (continued) As at 31st December 2020

Market Value % of Total Holdings £'000 Net Assets

Electricity–0.71%(31.12.2019–0.54%) (continued) Electric Power Development 2,500 25 0.04 Hokuriku Electric Power 5,000 24 0.04 Kansai Electric Power 12,600 87 0.14 Kyushu Electric Power 8,200 52 0.09 Shikoku Electric Power 4,300 20 0.03 Tohoku Electric Power 10,300 62 0.10

434 0.71

Electronic & Electrical Equipment–4.69%(31.12.2019–4.10%) Amano 900 16 0.03 Azbil 2,600 104 0.17 2,400 63 0.10 900 18 0.03 GS Yuasa 1,180 25 0.04 Hamamatsu Photonics 2,500 104 0.17 17,300 498 0.82 Horiba 600 26 0.04 3,400 1,397 2.30 Kurita Water Industries 2,100 59 0.10 Mabuchi Motor 900 29 0.05 Minebea Mitsumi 7,700 112 0.18 Miura 1,800 73 0.12 NGK Insulators 5,600 63 0.10 2,000 32 0.05 Shimadzu 5,100 145 0.24 TEC 500 13 0.02 Ushio 1,600 15 0.03 4,200 61 0.10

2,853 4.69

Finance & Credit Services–0.79%(31.12.2019–0.32%) Acom 9,400 30 0.05 AEON Financial Service 1,500 13 0.02

9 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Portfolio Statement (continued) As at 31st December 2020

Market Value % of Total Holdings £'000 Net Assets

Finance & Credit Services–0.79%(31.12.2019–0.32%) (continued) Fuyo General Lease 500 24 0.04 Hitachi Capital 1,200 21 0.03 Mitsubishi UFJ Lease & Finance 7,200 25 0.04 Orient 18,200 15 0.02 23,200 261 0.43 Tokyo Century 1,100 64 0.11 Zenkoku Hosho 900 30 0.05

483 0.79

Food Producers–1.88%(31.12.2019–1.11%) 8,900 147 0.24 Ariake Japan 500 26 0.04 Calbee 1,200 26 0.04 Ezaki Glico 900 29 0.05 Fuji Oil 1,300 27 0.05 House Foods 1,100 31 0.05 Itoham Yonekyu 3,500 17 0.03 Kagome 1,361 35 0.06 Kewpie 1,700 27 0.05 3,500 178 0.29 Kotobuki Spirits 500 19 0.03 Megmilk Snow Brand 300 5 0.01 MEIJI 2,500 129 0.21 Morinaga 600 17 0.03 Morinaga Milk Industry 1,000 36 0.06 NH Foods 1,700 55 0.09 1,800 37 0.06 Nisshin Seifun 4,400 51 0.08 Nissin Foods 1,300 81 0.13 Toyo Suisan Kaisha 1,600 57 0.09 Yakult Honsha 2,500 92 0.15 Yamazaki Baking 1,900 23 0.04

1,145 1.88

10 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Portfolio Statement (continued) As at 31st December 2020

Market Value % of Total Holdings £'000 Net Assets

Gas, Water & Multiutilities–0.51%(31.12.2019–1.10%) 6,900 103 0.17 Gas 1,600 78 0.13 7,700 130 0.21

311 0.51

General Industrials–3.47%(31.12.2019–0.88%) AGC 3,600 92 0.15 FP 600 18 0.03 Fuji Seal International 1,100 16 0.03 IHI 2,300 33 0.06 25,500 535 0.88 Kansai Paint 3,600 81 0.13 Mitsubishi 22,600 407 0.67 37,400 413 0.68 2,100 32 0.05 Nippon Paint 2,900 233 0.38 Nisshinbo 4,300 23 0.04 Rengo 5,391 33 0.06 Seibu 3,200 23 0.04 18,200 30 0.05 1,800 14 0.02 4,200 124 0.20

2,107 3.47

Health Care Providers–0.90%(31.12.2019–7.07%) M3 7,900 545 0.90

545 0.90

Household Goods & Home Construction–1.38%(31.12.2019–0.82%) Industry 12,300 267 0.44 General 900 18 0.03 Iida 2,700 40 0.06

11 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Portfolio Statement (continued) As at 31st December 2020

Market Value % of Total Holdings £'000 Net Assets

Household Goods & Home Construction–1.38%(31.12.2019–0.82%) (continued) Makita 4,600 168 0.27 Rinnai 700 59 0.10 Sekisui Chemical 6,400 89 0.15 11,000 164 0.27 Sumitomo Forestry 2,300 35 0.06

840 1.38

Industrial Engineering–4.92%(31.12.2019–2.74%) Amada 5,500 44 0.07 Daifuku 1,800 163 0.27 Disco 500 123 0.20 DMG Mori 1,300 15 0.03 Ebara 1,800 43 0.07 FANUC 3,600 647 1.06 Glory 1,576 23 0.04 Hitachi Construction Machinery 2,000 42 0.07 Hoshizaki 1,000 67 0.11 Komatsu 17,100 341 0.56 20,700 330 0.54 MISUMI 5,500 132 0.22 Mitsubishi Heavy Industries 5,500 123 0.20 Nabtesco 2,200 71 0.12 OKUMA 500 20 0.03 OSG 2,100 29 0.05 SMC 1,100 491 0.81 Sumitomo Heavy Industries 1,900 34 0.06 THK 2,100 50 0.08 Ulvac 800 25 0.04 Yaskawa Electric 4,900 178 0.29

2,991 4.92

12 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Portfolio Statement (continued) As at 31st December 2020

Market Value % of Total Holdings £'000 Net Assets

Industrial Materials–0.14%(31.12.2019–5.07%) 1,100 9 0.01 Oji 19,000 79 0.13

88 0.14

Industrial Metals & Mining–0.97%(31.12.2019–1.25%) Daido Steel 500 15 0.02 Dowa 600 16 0.03 Hitachi Metals 3,600 40 0.07 JFE 9,800 69 0.11 4,800 19 0.03 Maruichi Steel Tube 1,500 24 0.04 Mitsui Mining & Smelting 1,400 37 0.06 15,578 147 0.24 NSK 9,300 59 0.10 Sumitomo Metal Mining 4,400 143 0.24 Yamato Kogyo 1,000 19 0.03

588 0.97

Industrial Support Services–3.51%(31.12.2019–4.44%) ASKUL 400 11 0.02 Benefit One 900 19 0.03 2,600 22 0.04 4,800 63 0.10 GMO Payment Gateway 700 69 0.11 Kokuyo 2,100 21 0.04 28,900 140 0.23 Mitsui 30,900 414 0.68 Persol 2,900 38 0.06 Recruit 25,200 772 1.27 3,600 243 0.40 SMS 800 22 0.04 Sohgo Security Services 1,200 45 0.08

13 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Portfolio Statement (continued) As at 31st December 2020

Market Value % of Total Holdings £'000 Net Assets

Industrial Support Services–3.51%(31.12.2019–4.44%) (continued) Sumitomo 20,900 202 0.33 Printing 4,900 51 0.08

2,132 3.51

Industrial Transportation–4.04%(31.12.2019–0.51%) Central Japan Railway 3,400 351 0.58 East Japan Railway 6,900 337 0.56 Fukuyama Transporting 800 25 0.04 Hanshin 4,300 105 0.17 4,400 27 0.05 Hitachi Transport System 1,100 24 0.04 Motors 9,000 63 0.10 Japan Airport Terminal 800 35 0.06 Kamigumi 1,400 19 0.03 Kawasaki Heavy Industries 2,700 44 0.07 Keihan 1,900 67 0.11 Keikyu 5,400 68 0.11 2,500 62 0.10 Kintetsu 3,500 112 0.19 1,100 24 0.04 Mitsui OSK Lines 2,160 48 0.08 Railroad 3,600 69 0.11 2,000 37 0.06 1,400 69 0.11 3,100 53 0.09 Nishi-Nippon Railroad 1,300 28 0.05 5,900 135 0.22 Park24 1,500 19 0.03 Sankyu 800 22 0.04 Seino 2,500 26 0.04 SG 8,000 159 0.26 3,900 85 0.14 Tokyu 9,600 87 0.14

14 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Portfolio Statement (continued) As at 31st December 2020

Market Value % of Total Holdings £'000 Net Assets

Industrial Transportation–4.04%(31.12.2019–0.51%) (continued) West Japan Railway 3,500 134 0.22 Yamato 6,400 119 0.20

2,453 4.04

Investment Banking & Brokerage–1.17%(31.12.2019–1.40%) Daiwa Securities 27,800 92 0.15 Japan Exchange 10,000 187 0.31 2,900 17 0.03 Nihon M&A Center 2,300 112 0.18 Nomura 56,400 218 0.36 SBI 4,843 84 0.14

710 1.17

Leisure Goods–6.88%(31.12.2019–5.73%) Bandai Namco 3,600 228 0.38 Capcom 1,700 81 0.13 Computer 4,600 61 0.10 Daiichikosho 500 13 0.02 GungHo Online Entertainment 990 16 0.03 1,700 70 0.12 7,700 173 0.28 5,300 24 0.04 2,000 933 1.54 39,000 329 0.54 Sanrio 1,400 14 0.02 Sega Sammy 3,400 39 0.06 Shimano 1,500 256 0.42 23,000 1,676 2.76 Square Enix 1,500 67 0.11 Yamaha 2,900 125 0.21 Yamaha Motor 5,100 76 0.12

4,181 6.88

15 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Portfolio Statement (continued) As at 31st December 2020

Market Value % of Total Holdings £'000 Net Assets

Life Insurance–0.83%(31.12.2019–1.12%) Dai-ichi Life 20,500 225 0.37 Japan Post 24,600 140 0.23 Japan Post Insurance 3,400 51 0.08 T&D 10,300 89 0.15

505 0.83

Media–0.34%(31.12.2019–2.22%) 4,200 91 0.15 Hakuhodo DY 4,400 44 0.07 Shochiku 100 10 0.02 Toho 2,000 62 0.10 Tokyo Broadcasting System 100 1 0.00

208 0.34

Medical Equipment & Services–3.23%(31.12.2019–1.66%) As One 300 37 0.06 Asahi Intecc 3,600 96 0.16 Hoya 6,800 688 1.13 Mani 800 16 0.03 Miraca 1,300 26 0.04 Nihon Kohden 1,300 35 0.06 Nipro 3,000 26 0.04 Olympus 19,800 317 0.52 Ship Healthcare Holdings Inc 600 24 0.04 Sysmex 3,600 316 0.52 12,400 379 0.63

1,960 3.23

Nonlife Insurance–1.38%(31.12.2019–3.02%) MS&AD Insurance 9,000 200 0.33

16 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Portfolio Statement (continued) As at 31st December 2020

Market Value % of Total Holdings £'000 Net Assets

Nonlife Insurance–1.38%(31.12.2019–3.02%) (continued) Sompo 6,200 184 0.30 12,100 455 0.75

839 1.38

Oil, Gas & Coal–0.49%(31.12.2019–2.22%) Cosmo Energy 1,600 21 0.03 ENEOS 55,000 144 0.24 Idemitsu Kosan 4,104 66 0.11 16,500 65 0.11

296 0.49

Personal Care, Drug & Grocery–2.69%(31.12.2019–3.79%) Aeon 13,500 324 0.53 Ain 500 23 0.04 Cosmos Pharmaceutical 300 35 0.06 Kao 8,800 497 0.82 Kobe Bussan 700 16 0.03 Kusuri no Aoki 200 13 0.02 Lawson 800 27 0.04 Lion 4,700 83 0.14 Matsumotokiyoshi 1,500 47 0.08 PALTAC 500 20 0.03 Pigeon 2,100 63 0.10 Pilot 1,000 20 0.03 Sugi 700 34 0.06 Sundrug 1,200 35 0.06 Tsuruha 700 73 0.12 7,200 250 0.41 Welcia 1,700 47 0.08 Yaoko 500 25 0.04

1,632 2.69

17 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Portfolio Statement (continued) As at 31st December 2020

Market Value % of Total Holdings £'000 Net Assets

Personal Goods–1.01%(31.12.2019–7.31%) Asics 3,100 43 0.07 Fancl 1,200 35 0.06 Goldwin 700 34 0.05 Kose 600 75 0.12 Noevir 400 13 0.02 Pola Orbis 2,000 30 0.05 7,200 364 0.60 Wacoal 1,500 22 0.04

616 1.01

Pharmaceuticals & Biotechnology–6.91%(31.12.2019–0.07%) Alfresa 3,500 47 0.08 34,800 393 0.65 Chugai Pharmaceutical 12,300 480 0.79 35,800 897 1.48 4,900 256 0.42 Hisamitsu Pharmaceutical 1,300 56 0.09 JCR Pharmaceuticals 800 14 0.02 Kaken Pharmaceutical 500 14 0.02 Kissei Pharmaceutical 846 13 0.02 Kobayashi Pharmaceutical 1,200 107 0.18 Kyowa Kirin 4,464 89 0.15 Medipal 2,800 38 0.06 Mochida Pharmaceutical 600 17 0.03 Nippon Shinyaku 1,000 48 0.08 Ono Pharmaceutical 8,000 176 0.29 Otsuka 7,800 244 0.40 PeptiDream 1,500 56 0.09 Rohto Pharmaceutical 1,800 39 0.06 Santen Pharmaceutical 6,700 79 0.13 Sawai Pharmaceutical 600 20 0.03 5,100 204 0.34 Sumitomo Dainippon Pharma 2,700 29 0.05 Suzuken 1,400 37 0.06

18 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Portfolio Statement (continued) As at 31st December 2020

Market Value % of Total Holdings £'000 Net Assets

Pharmaceuticals & Biotechnology–6.91%(31.12.2019–0.07%) (continued) Taisho Pharmaceutical 800 39 0.07 Takara Bio 1,200 24 0.04 Takeda Pharmaceutical 28,600 761 1.25 Tsumura 900 20 0.03

4,197 6.91

Real Estate Investment & Services–1.68%(31.12.2019–0.16%) Aeon Mall 1,600 19 0.03 1,100 75 0.12 Hulic 7,600 61 0.10 Ichigo 4,400 10 0.02 20,900 246 0.41 17,000 260 0.43 Nomura Real Estate 2,400 39 0.06 Open House 1,400 38 0.06 Relo 1,700 30 0.05 Sumitomo Realty & Development 7,100 160 0.26 3,800 38 0.06 Tokyu Fudosan 11,900 46 0.08

1,022 1.68

Real Estate Investment Trusts – 0.96%(31.12.2019 – 0.00%) Activia Properties** 5 15 0.02 Advance Residence Investment** 9 20 0.03 Daiwa House REIT Investment** 23 42 0.07 Daiwa Office Investment 4 19 0.03 GLP J-REIT** 45 52 0.09 Industrial & Infrastructure Fund Investment 13 18 0.03 Japan Logistics Fund** 6 13 0.02 Japan Prime Realty Investment Corp 6 15 0.02 Japan Real Estate Investment Corp 14 59 0.10 Japan Retail Fund Investment Corp 30 40 0.07 Kenedix Office Investment 3 15 0.02

19 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Portfolio Statement (continued) As at 31st December 2020

Market Value % of Total Holdings £'000 Net Assets

Real Estate Investment Trusts – 0.96%(31.12.2019 – 0.00%) (continued) LaSalle Logiport REIT 11 13 0.02 Mori Hills REIT Investment** 10 10 0.02 Nippon Accommodations Fund 3 12 0.02 Nippon Building Fund Inc 16 68 0.11 Nippon Prologis REIT Inc 23 52 0.09 Nomura Real Estate Master Fund 50 52 0.09 Orix JREIT** 31 37 0.06 Sekisui House REIT 27 14 0.02 United Urban Investment Corp 20 18 0.03

584 0.96

Retailers–3.20%(31.12.2019–5.42%) ABC-Mart 700 28 0.05 Bic Camera 2,100 17 0.03 1,000 655 1.08 5,560 24 0.04 Izumi 1,000 26 0.04 J Front Retailing 3,400 20 0.03 K's 3,100 32 0.05 4,400 56 0.09 MonotaRO 2,200 82 0.14 Nitori 1,400 214 0.35 Pan Pacific International 9,500 161 0.26 Ryohin Keikaku 4,300 64 0.11 Seven & i 14,500 376 0.62 Shimamura 400 31 0.05 4,000 25 0.04 USS 3,700 55 0.09 Yamada Denki 12,100 47 0.08 ZOZO 1,600 29 0.05

1,942 3.20

20 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Portfolio Statement (continued) As at 31st December 2020

Market Value % of Total Holdings £'000 Net Assets

Software & Computer Services–2.50%(31.12.2019–1.11%) CyberAgent 1,800 91 0.15 DeNa 1,600 21 0.04 GMO internet 800 17 0.03 Itochu Techno-Solutions 1,500 39 0.06 Justsystems 600 31 0.05 Kakaku.com 2,400 48 0.08 Koei Tecmo 1,100 49 0.08 NET One Systems 1,500 39 0.06 Nihon Unisys 1,100 32 0.05 Nomura Research Institute 4,900 128 0.21 NS Solutions 800 17 0.03 NTT Data 11,600 116 0.19 OBIC 1,300 191 0.32 OBIC Business Consultants 400 20 0.03 Oracle 600 57 0.09 Otsuka 1,900 73 0.12 14,900 105 0.17 SCSK 700 29 0.05 TechnoPro 700 42 0.07 TIS 4,100 62 0.10 2,100 88 0.15 Z 50,200 222 0.37

1,517 2.50

Technology Hardware & Equipment–8.66%(31.12.2019–3.87%) 3,700 203 0.33 Alps Alpine 3,900 37 0.06 Brother Industries 4,400 66 0.11 Canon 18,900 265 0.44 Canon Marketing Japan 1,100 18 0.03 Elecom 500 19 0.03 FUJIFILM 6,600 254 0.42 Fujitsu 3,500 370 0.61 Hirose Electric 540 60 0.10

21 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Portfolio Statement (continued) As at 31st December 2020

Market Value % of Total Holdings £'000 Net Assets

Technology Hardware & Equipment–8.66%(31.12.2019–3.87%) (continued) Ibiden 1,900 65 0.11 Japan Aviation Electronics Industry 1,000 11 0.02 5,300 15 0.02 5,800 260 0.43 Lasertec 1,400 120 0.20 10,600 700 1.15 NEC 4,900 192 0.31 8,700 800 1.32 Omron 3,500 228 0.37 Renesas Electronics 13,300 102 0.17 12,200 58 0.09 Rohm 1,600 113 0.19 SCREEN 700 38 0.06 Seiko Epson 4,900 53 0.09 Sharp 2,500 28 0.05 Sumco 4,400 71 0.12 2,300 79 0.13 TDK 2,200 242 0.40 2,800 762 1.25 Tokyo Ohka Kogyo Co Ltd 600 31 0.05

5,260 8.66

Telecommunications Equipment–0.11%(31.12.2019–5.32%) Anritsu 2,700 44 0.07 NEC Networks & System Integration 1,900 24 0.04

68 0.11

Telecommunications Service Production – 0.70%(31.12.2019 – 0.00%) Nippon Telegraph & Telephone 22,800 427 0.70

427 0.70

22 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Portfolio Statement (continued) As at 31st December 2020

Market Value % of Total Holdings £'000 Net Assets

Telecommunications Service Providers–4.63%(31.12.2019–1.09%) Hikari Tsushin 400 69 0.11 KDDI 31,900 693 1.14 SKY Perfect JSAT 3,000 11 0.02 Softbank 51,700 474 0.78 SoftBank Group 27,400 1,564 2.58

2,811 4.63

Tobacco – 0.54%(31.12.2019 – 0.66%) 21,900 326 0.54

326 0.54

Travel & Leisure–1.44%(31.12.2019–1.46%) ANA 2,600 42 0.07 Heiwa 1,500 15 0.02 2,700 38 0.06 Keio 2,200 125 0.20 Kyoritsu Maintenance 600 16 0.03 Kyushu Railway 3,200 50 0.08 Oriental Land 3,500 423 0.70 Resorttrust 1,500 16 0.03 Sankyo 500 10 0.02 Skylark 3,200 36 0.06 Sotetsu 1,400 25 0.04 Sushiro Global 1,800 50 0.08 Zensho 1,500 29 0.05

875 1.44

23 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Portfolio Statement (continued) As at 31st December 2020

Market Value % of Total Holdings £'000 Net Assets

Derivatives – 0.03%(31.12.2019 – (0.00)%) Topix Index Futures March 2021† 6 18 0.03

18 0.03

Portfolio of investments 60,003 98.74 Net other assets 768 1.26

Total net assets 60,771 100.00

All holdings are ordinary shares or common stock unless otherwise stated. Comparative figures shown above in brackets relate to 31 December 2019 and were restated to disclose recently updated Industry Classification Benchmark. † Goldman Sachs is the counterparty, total notional exposure is £767,161 and 1.28% as a percentage of the Fund’s value.

24 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Director's Report to Unitholders For the year ended 31st December 2020

In accordance with the requirements of the Collective Investment Schemes sourcebook of the Financial Conduct Authority’s handbook of rules and guidance we hereby certify the report on behalf of the Directors of State Street Unit Trust Management Limited.

A. Castle – Director, State Street Unit Trust Management Limited

V. Parry – Director, State Street Unit Trust Management Limited

21 April 2021

25 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Manager's Statement of Responsibilities For the year ended 31st December 2020

The Collective Investment Schemes (COLL) sourcebook requires the Manager to prepare financial statements for each accounting period which give a true and fair view of the financial position of the Fund as at the end of the accounting period and of its revenue for the period. In preparing the financial statements the Manager is required to: • select suitable accounting policies and then apply them consistently • comply with the requirements of the Statement of Recommended Practice relating to Authorised Funds issued by the Investment Management Association in May 2014 • comply with the requirements of the COLL • follow generally accepted accounting principles and applicable accounting standards • keep proper accounting records which enable it to demonstrate that the financial statements as prepared comply with the above requirements • prepare the financial statements on the going concern basis unless it is inappropriate to presume the Fund will continue in operation • take reasonable steps for the prevention and detection of fraud or other irregularities The Manager is responsible for the management of the Fund in accordance with its Trust Deed, the Prospectus and the COLL.

ASSESSMENT OF VALUE (page 48) In accordance with FCA policy statement PS18/8 Value Assessment and Reporting Requirements, the Manager has performed a detailed assessment of whether the Fund provides value to investors. This assessment has been subject to scrutiny by the directors and the summary of the outcome is included as a report in the annual accounts.

26 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Statement of the Depositary's Responsibilities For the year ended 31st December 2020

Statement of the Depositary’s Responsibilities in respect of the Scheme The Depositary in its capacity as Trustee of State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund must ensure that the Trust is managed in accordance with the Financial Conduct Authority’s Collective Investment Schemes Sourcebook, the Financial Services and Markets Act 2000, as amended, (together “the Regulations”), the Trust Deed and Prospectus (together “the Scheme documents”) as detailed below. The Depositary must in the context of its role act honestly, fairly, professionally, independently and in the interests of the Trust and its investors. The Depositary is responsible for the safekeeping of all custodial assets and maintaining a record of all other assets of the Trust in accordance with the Regulations. The Depositary must ensure that: • the Trust’s cash flows are properly monitored and that cash of the Trust is booked in cash accounts in accordance with the Regulations; • the sale, issue, repurchase, redemption and cancellation of units are carried out in accordance with the Regulations; • the value of units of the Trust are calculated in accordance with the Regulations; • any consideration relating to transactions in the Trust’s assets is remitted to the Trust within the usual time limits; • the Trust’s income is applied in accordance with the Regulations; and • the instructions of the Authorised Fund Manager (“the AFM”), which is the UCITS Management Company, are carried out (unless they conflict with the Regulations). The Depositary also has a duty to take reasonable care to ensure that the Trust is managed in accordance with the Regulations and the Scheme documents of the Trust in relation to the investment and borrowing powers applicable to the Trust. Having carried out such procedures as we considered necessary to discharge our responsibilities as Depositary of the Trust it is our opinion, based on the information available and the explanations provided, that the manager has not in all instances managed the Trust during the period in accordance with the Regulations. Specifically, subscription monies had been reversed from the Trust. This resulted in settlement exceeding the regulatory settlement cycle resulting in a breach of COLL6.2.13R. Corrections have been made to ensure no detriment to either the affected Trust or unitholders. In addition, during the course of our reviews we have made a number of recommendations to improve the controls relating to the internal compliance arrangements of the Trust. The Depositary has requested that the Trust takes appropriate remedial action and has been monitoring progress/resolution of the work the Trust has been actively pursuing. This report is given on the basis that no breaches are subsequently advised to us before the distribution date. We therefore reserve the right to amend the report in the light of such circumstances.

Yours sincerely

Depositary HSBC Bank Plc 8 Canada Square London E14 5HQ

21 April 2021

27 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Independent auditors’ report to the Unitholders of State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Report on the audit of the financial statements

Our opinion In our opinion, the financial statements of State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund (formerly State Street Japan Equity Tracker Fund) (the “Trust”): • give a true and fair view of the financial position of the Trust as at 31 December 2020 and of the net revenue and the net capital gains on its scheme property for the year then ended; and • have been properly prepared in accordance with United Kingdom Generally Accepted Accounting Practice (United Kingdom Accounting Standards, comprising FRS 102 “The Financial Reporting Standard applicable in the UK and Republic of Ireland”, and applicable law), the Statement of Recommended Practice for UK Authorised Funds, the Collective Investment Schemes sourcebook and the Trust Deed. We have audited the financial statements, included within the Report and Financial Statements (the “Annual Report”), which comprise: the Balance Sheet as at 31 December 2020; the Statement of Total Return and the Statement of Change in Net Assets Attributable to Unitholders for the year then ended; the Distribution Tables; and the Notes to the Financial Statements, which include a description of the significant accounting policies.

Basis for opinion We conducted our audit in accordance with International Standards on Auditing (UK) (“ISAs (UK)”) and applicable law. Our responsibilities under ISAs (UK) are further described in the Auditors’ responsibilities for the audit of the financial statements section of our report. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion. Independence We remained independent of the Trust in accordance with the ethical requirements that are relevant to our audit of the financial statements in the UK, which includes the FRC’s Ethical Standard, and we have fulfilled our other ethical responsibilities in accordance with these requirements.

Conclusions relating to going concern Based on the work we have performed, we have not identified any material uncertainties relating to events or conditions that, individually or collectively, may cast significant doubt on the Trust’s ability to continue as a going concern for a period of at least twelve months from the date on which the financial statements are authorised for issue. In auditing the financial statements, we have concluded that the Manager’s use of the going concern basis of accounting in the preparation of the financial statements is appropriate. However, because not all future events or conditions can be predicted, this conclusion is not a guarantee as to the Trust’s ability to continue as a going concern. Our responsibilities and the responsibilities of the Manager with respect to going concern are described in the relevant sections of this report.

Reporting on other information The other information comprises all of the information in the Annual Report other than the financial statements and our auditors’ report thereon. The Manager is responsible for the other information. Our opinion on the financial statements does not cover the other information and, accordingly, we do not express an audit opinion or, except to the extent otherwise explicitly stated in this report, any form of assurance thereon.

28 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Independent auditors’ report to the Unitholders of State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund (continued)

In connection with our audit of the financial statements, our responsibility is to read the other information and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit, or otherwise appears to be materially misstated. If we identify an apparent material inconsistency or material misstatement, we are required to perform procedures to conclude whether there is a material misstatement of the financial statements or a material misstatement of the other information. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report that fact. We have nothing to report based on these responsibilities. Manager’s Report In our opinion, the information given in the Manager’s Report for the financial year for which the financial statements are prepared is consistent with the financial statements.

Responsibilities for the financial statements and the audit

Responsibilities of the Manager for the financial statements As explained more fully in the Manager's Statement of Responsibilities, the Manager is responsible for the preparation of the financial statements in accordance with the applicable framework and for being satisfied that they give a true and fair view. The Manager is also responsible for such internal control as they determine is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. In preparing the financial statements, the Manager is responsible for assessing the 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 wind up or terminate the Trust, or have no realistic alternative but to do so.

Auditors’ responsibilities for the audit of the financial statements Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditors’ report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with ISAs (UK) 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. Irregularities, including fraud, are instances of non-compliance with laws and regulations. We design procedures in line with our responsibilities, outlined above, to detect material misstatements in respect of irregularities, including fraud. The extent to which our procedures are capable of detecting irregularities, including fraud, is detailed below. Based on our understanding of the Trust/industry, we identified that the principal risks of non-compliance with laws and regulations related to breaches of the Collective Investment Schemes sourcebook, and we considered the extent to which non-compliance might have a material effect on the financial statements, in particular those parts of the sourcebook which may directly impact on the determination of amounts and disclosures in the financial statements. We evaluated management’s incentives and opportunities for fraudulent manipulation of the financial statements (including the risk of override of controls), and determined that the principal risks were related to posting inappropriate journal entries to increase revenue or to increase the net asset value of the Trust. Audit procedures performed included: • Discussions with the Manager, including consideration of known or suspected instances of non-compliance with laws and regulation and fraud; • Reviewing relevant meeting minutes, including those of the Manager’s board of directors; • Identifying and testing journal entries, specifically any journals posted as part of the financial year end close process; and • Designing audit procedures to incorporate unpredictability around the nature, timing or extent of our testing.

29 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Independent auditors’ report to the Unitholders of State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund (continued)

There are inherent limitations in the audit procedures described above. We are less likely to become aware of instances of non-compliance with laws and regulations that are not closely related to events and transactions reflected in the financial statements. Also, the risk of not detecting a material misstatement due to fraud is higher than the risk of not detecting one resulting from error, as fraud may involve deliberate concealment by, for example, forgery or intentional misrepresentations, or through collusion. A further description of our responsibilities for the audit of the financial statements is located on the Financial Reporting Council’s website at: www.frc.org.uk/auditorsresponsibilities. This description forms part of our auditors’ report.

Use of this report This report, including the opinions, has been prepared for and only for the Trust’s unitholders as a body in accordance with paragraph 4.5.12 of the Collective Investment Schemes sourcebook and for no other purpose. We do not, in giving these opinions, accept or assume responsibility for any other purpose or to any other person to whom this report is shown or into whose hands it may come save where expressly agreed by our prior consent in writing.

Other required reporting

Opinion on matter required by the Collective Investment Schemes sourcebook In our opinion, we have obtained all the information and explanations we consider necessary for the purposes of the audit.

Collective Investment Schemes sourcebook exception reporting Under the Collective Investment Schemes sourcebook we are also required to report to you if, in our opinion: • proper accounting records have not been kept; or • the financial statements are not in agreement with the accounting records and returns. We have no exceptions to report arising from this responsibility.

PricewaterhouseCoopers LLP Chartered Accountants and Statutory Auditors Edinburgh 21 April 2021

30 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Comparative Table For the year ended 31st December 2020 2020 2019 2018 Change in Net Assets Per Unit (£) (£) (£) Opening net asset value per unit 1.9604 1.7174 1.8647 Return before operating charges 0.2124 0.2486 (0.1417) Operating charges (0.0035) (0.0056) (0.0056) Return after operating charges* 0.2089 0.2430 (0.1473) Distributions (0.0373) (0.0356) (0.0315) Retained distributions on accumulation units 0.0373 0.0356 0.0315 Closing net asset value per unit 2.1693 1.9604 1.7174 *after direct transaction cost of: 0.0002 0.0000 0.0001 Performance Return after charges 10.66% 14.15% (7.90)% Other Information Closing net asset value (£'000) 60,771 82,743 70,727 Closing number of units 28,014,757 42,207,178 41,182,935 Operating charges 0.18%^ 0.30% 0.30% Direct transaction costs 0.01% 0.00% 0.01% Prices Highest unit price 2.2100 2.0000 1.9782 Lowest unit price 1.5700 1.7200 1.6987

^The Operating charge changed from 30bps to 12bps on 1 May 2020. The above Operating charge percentage represents an average for the year.

General risk factors The value of funds and the revenue from them is not guaranteed and may fall as well as rise. You may get back less than you originally invested. What you get back may depend on: • Investment performance is not guaranteed. Past performance is no guarantee of future performance. There may also be variation in performance between funds with similar investment objectives. • The effect of an initial charge. If you sell your investment after a short period you may not get back what you originally invested, even if the price of your investment has not fallen. • The entire market of a particular asset class or geographical region may fall, having a greater effect on funds heavily invested in that asset class or region. • If you make regular withdrawals from your investment be aware that if the level of withdrawal exceeds the rate of investment growth of the Fund, your capital will be eroded. • Governments may change the tax rules which affect you or the funds in which you have invested. • Inflation will reduce what you could buy in the future, i.e. it will reduce the real value of your investment. • There is no certainty that the investment objective of any fund will actually be achieved.

31 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Statement of Total Return For the year ended 31st December 2020 Year ended Year ended 31.12.20 31.12.19 Note £'000 £'000 £'000 £'000 Income Net capital gains 4 6,156 8,799 Revenue 6 1,839 1,936 Expenses 7 (141) (236) Interest payable and similar charges 8 (2) (4)

Net revenue before taxation 1,696 1,696 Taxation 9 (186) (195)

Net revenue after taxation 1,510 1,501

Total return before distributions 7,666 10,300 Distributions 10 (1,510) (1,501)

Change in net assets attributable to unitholders from investment activities 6,156 8,799

Statement of Change in Net Assets Attributable to Unitholders For the year ended 31st December 2020 Year ended Year ended 31.12.20 31.12.19 £’000 £’000 £’000 £’000 Opening net assets 82,743 70,727 Amounts receivable on issue of units 9,558 9,374 Amounts payable on cancellation of units (39,027) (7,678)

(29,469) 1,696 Dilution levy 92 Change in unitholders' funds from investment activities 6,156 8,799 Retained distributions on accumulation units 1,332 1,519

Closing net assets 60,771 82,743

32 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Balance Sheet As at 31st December 2020 Note 31.12.20 31.12.19 £'000 £'000 Assets Fixed assets: Investments 60,003 81,341 Current assets: Debtors 11 71 147 Cash and bank balances 12 703 1,278

Total assets 60,777 82,766

Liabilities Investment liabilities -1 Creditors Other creditors 13 6 22

Total liabilities 623

Net assets attributable to unitholders 60,771 82,743

33 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Notes to the Financial Statements For the year ended 31st December 2020

1. Accounting policies

(a) Basis of accounting The financial statements have been prepared under the historical cost convention by the revaluation of the investments, and in accordance with the United Kingdom Generally Accepted Accounting Practice ('UK GAAP') which comprises the UK Financial Reporting Standard 102 ('FRS 102') and the Statement of Recommended Practice ('SORP') for Authorised Funds issued by the Investment Management Association in May 2014 (as amended in 2017). The financial statements have been prepared on a going concern basis.

(b) Basis of valuation of investments The investments of the Fund have been valued at the closing bid market prices ruling on the principal markets on which the stocks are quoted, on the last business day of the accounting year. Market value is defined by the SORP as fair value which generally is the bid value of each security. Where applicable, unlisted and suspended securities are based on the Manager’s assessment of their net realisable value. Open futures contracts have been valued at fair value and the net gains/(losses) are reflected within Derivative contracts in net capital gains/(losses) on investments.

(c) Exchange rates Foreign currency receipts and payments are translated at the rate applicable on the date of settlement. Foreign currency assets and liabilities are valued at the rates on the last day of the accounting year.

(d) Recognition of revenue Revenue is included in the Statement of Total Return on the following basis: Dividends are recognised when the security is quoted ex-dividend. Special dividends are treated as either capital or revenue depending on the facts of each particular case. Deposit interest and interest payable are recorded on an accrual basis.

(e) Treatment of expenses Management expenses are charged against the revenue of the Fund on an accruals basis.All other expenses other than bank charges and interest are met by the Manager.

(f) Taxation Provision is made for corporation tax at current rates on the excess of taxable revenue over expenses.

(g) Deferred taxation Deferred tax is provided for on all timing differences that have originated but not reversed by the balance sheet date other than those differences that are regarded as permanent. Any liability to deferred tax is provided at the average rate of tax expected to apply. Deferred tax assets and liabilities are not discounted to reflect the time value of money. Deferred tax assets are recognised only when, on the basis of available evidence, it is more likely than not that there will be taxable profits in the future against which the deferred tax asset can be offset.

(h) Dilution adjustment In certain circumstances (as detailed in the Prospectus) the ACD may charge a dilution adjustment on the creation or cancellation of shares, which is paid into the capital of the relevant sub-fund on an accruals basis. The adjustment is intended to cover certain dealing charges not included in the mid-market value of the sub-fund used in calculating the share price, which could have a diluting effect on the sub-fund.

34 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Notes to the Financial Statements (continued) For the year ended 31st December 2020

1. Accounting policies (continued)

(i) Returns from derivatives The Fund may enter into permitted derivative contracts such as futures. The positions are undertaken to obtain full market exposure and the returns are included within gains/(losses) on investments in the Statement of Total Return. Any open positions in these types of transactions at the year-end are included in the Balance Sheet at their mark to market value.

2. Distribution policy The policy is to distribute all available revenue, after deduction of those expenses which are chargeable in calculating the distribution. In order to conduct a controlled dividend flow to unitholders, an interim distribution will be made at the Manager’s discretion, up to a maximum of the distributable revenue available for the year. All remaining revenue is distributed in accordance with the COLL. Distributions of revenue are paid six monthly by reference to net revenue arising in the period ended 30th June and 31st December. Any revenue deficit will be borne by the capital account.

(a) Treatment of stock dividends The ordinary element of stock dividends is treated as revenue and forms part of the distribution. In the case of an enhanced stock dividend, the value of the enhancement is treated as capital and does not form part of the distribution.

(b) Expenses Management expenses are charged to revenue.

(c) Equalisation Equalisation takes account of the revenue received on the creation of shares and revenue paid on cancellation of shares and is allocated to the distribution account.

3. Risk management policies In pursuing its investment objectives the Fund holds a number of financial instruments. The Fund’s financial instruments comprise of securities and other investments, cash balances and bank overdrafts, short term fixed deposits, debtors and creditors that arise directly from its operations, for example, in respect of sales and purchases awaiting settlement, amounts receivable for creations and payable for liquidations and debtors for accrued revenue. The main risks the Fund may face from investing are: (a) market risk, (b) market price risk, (c) foreign currency risk, (d) interest rate risk, (e) liquidity risk, (f) credit risk and (g) use of derivatives. The Manager’s policy for managing these risks are summarised below and have been applied throughout the year.

(a) Market risk Market risk is the risk that the fair value or future cash flows of the financial instruments held by the Fund will fluctuate because of changes in underlying valuation factors. It represents the potential loss the Fund might suffer through holding market positions in the face of valuation factor movements. Market risk typically includes market price risk, foreign exchange or currency risk, and interest rate risk.

35 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Notes to the Financial Statements (continued) For the year ended 31st December 2020

3. Risk management policies (continued)

(b) Market price risk Market price risk is the risk that the value of the financial instruments held by the Fund will fluctuate because of changes in market prices. It represents the potential loss the Fund might suffer through changes in market prices of the Fund holdings. The investment manager considers the asset allocation of the portfolio in order to minimize the risk associated with particular countries or industry sectors whilst continuing to follow the investment objectives of the Fund. As an index Fund, the investment objective is to seek to track as closely as reasonably possible the performance of the benchmark index. In order to achieve this objective, the Fund invests primarily in securities held in the equity index benchmark. Market price risk for an index Fund arises from a mismatch in the relative proportion of assets in Fund from their respective proportions in the benchmark. The Fund places limitations on the amount by which a holding may deviate from the proportion benchmark to limit the market risk from mismatched positions. All securities investments present a risk of loss of capital. The investment manager assess the Fund’s market risk volatility to ensure that the effect of utilizing financial derivative instruments is not significant enough to cause disproportionate losses to a Fund’s overall value. The investment manager moderates this risk through careful selection of securities and financial instruments. The investment manager manages this risk through a combination of risk metrics. This includes, but is not restricted to, tracking error volatility, which measures the ex-ante volatility of excess returns of the Fund against its referenced benchmark. The tracking error volatility on the Fund is closely monitored on a regular basis, and is a key consideration when the Fund is rebalanced.

(c) Foreign currency risk Any fluctuations in foreign currency exchange rates between the base currency ("GBP") and the respective foreign currencies may significantly affect the value of the Fund investments and the returns ultimately achieved by the Fund. Local interest rates and monetary policy, as well as other government fiscal and labour policies, also can adversely impact the Fund’s currency values. Based on the Fund mandate, there is no hedging of foreign currency risk exposure. This follows from the investment objective to track the performance of the benchmark, which is also not hedged against changes in foreign exchange rates.

(d) Interest rate risk Interest rate risk is present when the value of investment securities may fluctuate as a result of a change in market interest rates. Explicit interest rate risk occurs when there is a direct relationship between changes in interest rates and changes in the value of investment securities. The Fund invests in only equity and equity-based instruments, the values of which are not directly dependent on interest rates.

(e) Liquidity risk The Fund is exposed to daily cash redemptions of redeemable shares. So the main liability of the Fund is the redemption of any shares that investors wish to sell. Hence the Fund invest the large majority of the assets in investments that are traded in an active market and can ordinarily be readily disposed. However, liquidity risk will occur if an equity issuer becomes credit impaired or if the relevant market becomes illiquid. In such a case, it may not be possible to initiate or liquidate a position at a price that is deemed by the investment manager to be demonstrating fair value. Liquidity risk may be temporary or may last for extended periods.

36 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Notes to the Financial Statements (continued) For the year ended 31st December 2020

3. Risk management policies (continued)

The indexed Fund invests solely in securities which form part of the Benchmark Index. Benchmark Indexes are constructed using index rules requiring securities to have a specified minimum trading volume, which, although not guaranteeing liquidity, provides indication of the liquid nature of the securities underlying the Fund. The Fund is exposed to daily contributions and withdrawals which are managed to ensure that exposure to the Benchmark Indexes are maintained in order to meet the investment objective of the Fund.

(f) Credit risk The Fund invests in only equity and equity-based instruments, which are not credit instruments, and therefore the Fund is not explicitly exposed to credit risk other than revenue index futures. Index futures used for efficient portfolio management are exchange traded and marked to market daily, so counterparty risk is negligible.

(g) Use of derivatives The Fund uses equity index futures only, no other derivatives, for efficient portfolio management—index futures are used to equitize cash holdings from inflows and outflows and also anticipated cash flows (e.g. dividend receivables). As a result the exposure to futures are covered by cash and near cash at all times, and assist in meeting the investment objectives of the Fund.

4. Net capital gains The net capital gains during the year comprise: 31.12.20 31.12.19 £'000 £'000 Non-derivative securities 5,918 8,690 Derivative contracts 147 91 Gains on foreign exchange 91 18 Net capital gains 6,156 8,799

5. Purchases, sales and transaction costs 31.12.20 31.12.19 £'000 £'000 Purchases excluding transaction costs Equities 8,219 6,430

Total before transaction costs 8,219 6,430

Commissions Equities 11

11

Taxes Equities --

--

Total purchases transaction costs 11

Purchases including transaction costs 8,220 6,431

37 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Notes to the Financial Statements (continued) For the year ended 31st December 2020

5. Purchases, sales and transaction costs (continued)

31.12.20 31.12.19 £'000 £'000 Sales excluding transaction costs Equities 35,498 3,409

Total before transaction costs 35,498 3,409

Commissions Equities (5) (1)

(5) (1)

Taxes Equities --

--

Total sales transaction costs (5) (1)

Sales including transaction costs 35,493 3,408

31.12.20 31.12.19 % % Transaction costs as percentage of principal amounts Purchases – Commissions Equities 0.012 0.016 Purchases – Taxes Equities 0.000 0.000 Sales – Commissions Equities 0.014 0.029 Sales – Taxes Equities 0.000 0.000 31.12.20 31.12.19 % % Transaction costs as percentage of average net asset value Commissions 0.009 0.003 Taxes 0.000 0.000

Total 0.009 0.003 The above analysis covers any direct transaction costs suffered by the Fund during the year. However it is important to understand the nature of other transactions costs associated with different investments asset classes and instrument types. Separately identifiable direct transactions costs (commissions, taxes etc.) are attributable to the Fund’s purchase and sale of equity shares. Additionally for equity shares, there is a dealing spread cost (the difference between the buying and selling prices) which will be suffered on purchase and sale transactions.

38 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Notes to the Financial Statements (continued) For the year ended 31st December 2020

5. Purchases, sales and transaction costs (continued)

For the Fund’s investment in collective investment scheme holdings there will potentially be dealing spread costs applicable to purchases and sales. However, additionally there are indirect transaction costs suffered in those underlying funds, throughout the holding period for the instruments, which are not separately identifiable and do not form part of the analysis above. During the year the Fund utilised futures derivatives instruments covering different underlying asset classes. The settlements values for opening and closing derivative positions are not comparable to principal values for transactions in direct holding investments and therefore purchase and sale amounts for derivative transactions are not quantified in the analysis above. Transaction costs for derivatives positions will be either suffered as direct costs or form part of the dealing spread for the instruments. Any direct costs are identified in the analysis above. Dealing spread costs suffered by the Fund vary considerably for the different asset/instrument types depending on a number of factors including transaction value and market sentiment. At the balance sheet date the average portfolio dealing spread (difference between bid and offer prices of all investments expressed as a percentage of the offer price value) was 0.00% (31.12.19: 0.00%).

6. Revenue 31.12.20 31.12.19 £'000 £'000 Overseas dividends 1,839 1,936

Revenue 1,839 1,936

7. Expenses 31.12.20 31.12.19 £'000 £'000 Manager's periodic charge 141 236 Total expenses 141 236

The audit fee for the year of £12,317 (exclusive of VAT) is borne by the Manager (31.12.19: £11,405). As permitted by the Trust Deed, the Manager is remunerated out of the property of the Fund. This charge is expressed as an annual percentage of the value of the property of the Fund. The Manager’s periodic charge was 12 basis points for the year ended 31.12.20 (31.12.19: 30 basis points).

8. Interest payable and similar charges 31.12.20 31.12.19 £'000 £'000 Interest payable 24 24

39 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Notes to the Financial Statements (continued) For the year ended 31st December 2020

9. Taxation

(a) Analysis of charge in year: 31.12.20 31.12.19 £'000 £'000 Overseas tax 186 195 Total current tax 186 195

Total tax charge (note 9b) 186 195

(b) Factors affecting total tax charge for the year: 31.12.20 31.12.19 £'000 £'000 Net revenue before taxation 1,696 1,696 Corporation tax of 20% 339 339 Effects of: Revenue not subject to corporation tax (367) (387) Movement in excess management expenses 28 48 Overseas tax 186 195 Total tax charge for year (note 9a) 186 195

(c) Factors that may affect future tax charges: At the year end, after offset against revenue taxable on receipt, there is a potential deferred tax asset of £433,747 (31.12.19: £405,994) in relation to surplus management expenses. It is unlikely the Fund would generate sufficient taxable profits in the future to utilise these amounts and therefore no deferred tax asset has been recognised.

10. Distributions The distributions take account of revenue received on the creation of units and income deducted on the cancellation of units, and comprises: 31.12.20 31.12.19 £'000 £'000 Interim 851 817 Final 481 702 1,332 1,519 Amounts deducted on cancellation of units 225 43 Amounts added on issue of units (47) (61) Net distribution for the year 1,510 1,501

The net distributions of the year is represented by: Net revenue after taxation 1,510 1,501 Net distribution for the year 1,510 1,501

40 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Notes to the Financial Statements (continued) For the year ended 31st December 2020

11. Debtors 31.12.20 31.12.19 £'000 £'000 Creations awaiting settlement - 18 Sales awaiting settlement -17 Accrued revenue 70 111 Overseas tax recoverable 1 1 Total debtors 71 147

12. Cash and bank balances 31.12.20 31.12.19 £'000 £'000 Cash and bank balances 672 1,244 Amounts held at brokers 31 34 Total cash and bank balances 703 1,278

13. Other creditors 31.12.20 31.12.19 £'000 £'000 Accrued Manager's periodic charge 6 22 Total other creditors 622

14. Contingent liabilities and commitments The Fund had no contingent liabilities at year end (31.12.19: £nil).

15. Related party transactions The Manager exercises governance and oversight over the Fund and is a related party by virtue of the Trust Deed constituting the Fund. Amounts paid during the year or due to the Manager at the year end are disclosed under Expenses and Other Creditors in the Notes to the financial statements. At the year end £6,414 (31.12.19: £21,833) was due to the Manager in relation to accrued manager’s periodic charges are disclosed in Other Creditors in the Notes to the Financial Statements. Transactions relating to the creation and cancellation of units and the purchases and sales of investments which pass through the Manager, but are not for the benefit of, either related party are disclosed in the Statement of Change in Net Assets Attributable to Unitholders. Amounts due to or from the Fund at the year end in relation to these transactions are disclosed under Debtors and Creditors in the Notes to the Financial Statements.

16. Risk disclosures The Manager’s policy for managing these risks are summarised below and have been applied throughout the year.

(a) Foreign currency risk A substantial proportion of the net assets of the Fund are denominated in currencies other than Sterling ("GBP"), with the effect that the balance sheet and total return can be significantly affected by currency movements. The Manager will act accordingly in order to manage exchange rate risk. The Fund’s currency exposure as at 31st December 2020 was:

41 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Notes to the Financial Statements (continued) For the year ended 31st December 2020

16. Risk disclosures (continued)

Net foreign currency assets/liabilities Currency Monetary Non-monetary Total exposures exposures £’000 £’000 £’000 777 59,986 60,763 Total 777 59,986 60,763 The Fund’s currency exposure as at 31st December 2019 was: Net foreign currency assets/liabilities Currency Monetary Non-monetary Total exposures exposures £’000 £’000 £’000 Japanese yen 1,321 81,341 82,662 Total 1,321 81,341 82,662 If GBP to foreign currency exchange rates had increased by 10% as at the balance sheet date, the net asset value of the Fund would have decreased by £5,523,908 (31.12.19: £7,514,727). If GBP to foreign currency exchange rates had decreased by 10% as at the balance sheet date, the net asset value of the Fund would have increased by £6,751,443 (31.12.19: £9,184,666). These calculations assume all other variables remain constant.

(b) Market price risk The Fund’s investment portfolio is exposed to market price fluctuations which are monitored by the Manager in pursuance of the investment objective and policy as set out on page 1. Adherence to investment guidelines and to investment and borrowing powers set out in the Trust Deed, the Scheme Particulars and in the Financial Conduct Authority’s Collective Investment Scheme sourcebook (the “COLL sourcebook”) mitigates the risk of excessive exposure to any particular type of security or issuer. Further information on the investment portfolio is set out in the Manager’s Report and Portfolio Statement. If market prices had increased by 10% as at the balance sheet date, the net asset value of the Fund would have increased by £5,998,531 (31.12.19: £8,134,082). If market prices had decreased by 10% as at the balance sheet date, the net asset value of the Fund would have decreased by £5,998,531 (31.12.19: £8,134,082). These calculations assume all other variables remain constant.

(c) Interest rate risk The majority of the Fund’s financial assets are equity shares and other investments which neither pay interest nor have a maturity date. Therefore interest rate risk is not deemed to be significant. Interest on bank balances is calculated at the current Bank of England base rate minus 0.50%, while overdraft is calculated at the current Bank of England base rate plus 1.00% of its overseas equivalent.

(d) Liquidity risk All of the Fund’s financial assets are considered to be readily realisable in accordance with the market practices of the exchange on which they are traded. In general, the Investment Manager manages the Fund’s cash to ensure it can meet its liabilities. Where investments cannot be realised in time to meet any potential liability, the Fund may borrow up to 10% of its value to ensure settlement. All of the Fund’s financial liabilities are payable on demand or in less than one year, therefore liquidity risk is not significant.

42 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Notes to the Financial Statements (continued) For the year ended 31st December 2020

17. Unitholders’ funds 31.12.20 31.12.19 Opening units in issue 42,207,177 41,182,935 Issues 5,100,501 5,023,363 Cancellations (19,292,921) (3,999,121) Closing units in issue 28,014,757 42,207,177

18. Fair value of investments 31.12.20 31.12.19 £'000 £'000 Assets Level 1 – Unadjusted quoted prices in an active market for identical assets accessible at the measurement date 60,003 81,341 Level 2 – Inputs other than quoted prices included within Level 1 that are observable, either directly or indirectly - - Level 3 – Price inputs are unobservable - - 60,003 81,341 Liabilities Level 1 - Unadjusted quoted prices in an active market for identical assets accessible at the measurement date - 1 Level 2 – Inputs other than quoted prices included within Level 1 that are observable, either directly or indirectly - - Level 3 – Price inputs are unobservable - - -1 60,003 81,340 There is no material difference between the value of the financial assets and liabilities, as shown in the balance sheet, and their fair value. There are no level 3 holdings for the year to 31/12/2020. The level 3 holding for the year to 31/12/2019 is SFCG (£nil).

19. Significant events during the year

Impact of coronavirus COVID-19 An outbreak of a respiratory disease caused by a novel coronavirus (known as COVID-19) first detected in 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.

43 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Notes to the Financial Statements (continued) For the year ended 31st December 2020

19. Significant events during the year (continued)

Other significant events during the year Brexit has not had any material impact on the Fund. The investors are all UK domiciled and the Fund can continue to be invested in by UK domiciled investors following Brexit. Brexit has not had any other material impact on the Fund. The Fund's name was changed to State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund on 18th December 2020 (formerly State Street Japan Equity Tracker Fund). The Operating charge on the Fund changed from 30bps to 12bps on 1 May 2020. Rebecca Bridger was appointed as a director on 2 April 2020.

20. Post balance sheet events

Impact of coronavirus COVID-19 As of early 2021 local lockdowns continue to be deployed as necessary and the emergence of significant further outbreaks are being seen. While distribution of a vaccine began in early 2021 the pandemic and the measures taken to tackle coronavirus COVID-19 continue to affect economies, equity and debt markets globally, all of which may negatively impact a Sub-Fund’s performance. The Directors of the AUT Manager and the Scheme’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.

44 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Distribution Tables For the year ended 31st December 2020

Dividend in pence per unit payable on 31st August 2020 Group 1: Units purchased prior to 1st January 2020 Group 2: Units purchased on or after 1st January 2020 to 30th June 2020 Amount Amount Net paid paid revenue Equalisation 31.08.2020 31.08.2019 pence per pence per pence per pence per unit unit unit unit Accumulation Units Group 1 2.0087 - 2.0087 1.8945 Group 2 0.8925 1.1162 2.0087 1.8945

Corporate Unitholder Information Franked Investment Income 100.00% Unfranked Non Foreign Investment Income 0.00% Unfranked Foreign Investment Income 0.00%

Dividend in pence per unit payable on 26th February 2021 Group 1: Units purchased prior to 1st July 2020 Group 2: Units purchased on or after 1st July 2020 to 31st December 2020 Amount Amount Net payable paid revenue Equalisation 26.02.2021 28.02.2020 pence per pence per pence per pence per unit unit unit unit Accumulation Units Group 1 1.7185 - 1.7185 1.6627 Group 2 1.1884 0.5301 1.7185 1.6627

Corporate Unitholder Information Franked Investment Income 100.00% Unfranked Non Foreign Investment Income 0.00% Unfranked Foreign Investment Income 0.00%

Equalisation applies only to units purchased during the distribution period (Group 2 units). It is the average amount of income included in the purchase price of all Group 2 units and is refunded to holders of these units as a return of capital. Being capital, it is not liable to income tax but must be deducted from the cost of units for capital gains tax purposes.

45 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Directory

THE MANAGER State Street Unit Trust Management Limited 20 Churchill Place London E14 5HJ Regulated by The Financial Conduct Authority

DIRECTORS V. Parry* A. Castle N. Wightman* R. Bridger# * Independent Director #R. Bridger appointed on 2 April 2020

INVESTMENT MANAGER, REGISTRAR & TRANSFER AGENT State Street Global Advisors Limited 20 Churchill Place London E14 5HJ Regulated by The Financial Conduct Authority

INDEPENDENT AUDITORS PricewaterhouseCoopers LLP Atria One 144 Morrison Street Edinburgh EH3 8EX

DEPOSITARY HSBC Bank plc 8 Canada Square Canary Wharf London E14 5HQ HSBC Bank plc is authorised by the Prudential Regulation Authority and regulated by the Prudential Regulation Authority and the Financial Conduct Authority

CONSTITUTION State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund is an authorised unit trust scheme within the meaning of, and governed by section 243 of the Financial Services and Markets Act 2000. The Trust is a ‘wider range’ investment scheme under the Trustee Investments Act 1961.

PROSPECTUS Copies of the Prospectus are available from the Manager upon request. Please remember that the price of units and the income from them can go down as well as up. Past performance is not necessarily a guide to the future. Changes in exchange rates may also affect the value.

46 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Appendix I – Remuneration Policy (Unaudited)

State Street Corporation (“SSC”), and its direct and indirect subsidiaries (together with the SSC hereafter referred to as “State Street”) operate a group-wide compensation strategy including a remuneration policy that applies to all State Street entities globally. As the Management Company, State Street Unit Trust Management Limited does not employ any staff and has delegated certain activities in respect of the investment management and risk management to SSGA Limited (the “Investment Manager”). As a State Street subsidiary, the Investment Manager is 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 regional 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 Manager). 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.

47 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Appendix I – Remuneration Policy (Unaudited) (continued)

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 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 as at 31/12/20201 Fixed remuneration (in £ k) 31,351 Variable remuneration (in £ k) 24,139 Total Remuneration (in £ k) 55,490 Number of beneficiaries 285 Performance fee paid directly by the UCITS n/a

Aggregate amount of remuneration as at 31/12/2020 (in £ k) 48 Senior Management of State Street Unit Trust Management Limited2 Identified Staff of the Investment Manager 34,885 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 Manager’s employees.

1 Disclosure is based on the remuneration of the entire staff of the investment manager, indicating the number of beneficiaries. 2020 total remuneration data is not available as of 31 December 2020 as variable pay for 2020 will not be delivered before Q1 2021. Fixed remuneration for the performance year and 2019 variable remuneration data has been provided for beneficiaries. 2 Represents remuneration paid to independent directors (Directors who are also employees of the SSC do not receive remuneration in their capacity as board members).

48 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Appendix II – Assessment of Value (Unaudited)

ASSESSMENT OF VALUE In 2019, as part of its Asset Management Market Study, the Financial Conduct Authority (“FCA”) introduced a requirement that UK authorised fund managers (“AFMs”) carry out an annual assessment of whether its funds provide clients with value for money. It is important that the AFM does not look at fund costs in isolation when assessing value, but should take a holistic approach in terms of assessing the level of service being provided to the funds ensuring costs for such services are justified in the context of the overall quality and value that is provided to clients. It is the duty of State Street Unit Trust Management Limited (the "SSUTM") to act in the best interests of its investors. We understand that our core client base within this umbrella are sophisticated, institutional investors for whom we guarantee transparency surrounding fund fee structures and service levels, ensuring investors access the funds at competitive prices. SSUTM always has and will continue to assess value for money for its new and existing funds and exercises discipline over cost management. To help us in our assessment, we engaged a professional services company to provide us with peer review and comparables so we could ensure delivery of value, not only in the context of the fund umbrella, but market-wide. Following the assessment, we can conclude that overall, SSUTM provides value to clients invested in our UK-domiciled funds. However, we do not wish to be complacent and the assessment did highlight certain opportunities for us to improve the value provided to clients even further. Accordingly the result of the assessment led SSUTM to reduce the AMC with effect from 1 May 2020 as detailed in the following pages. We are pleased to present our annual value assessment report.

Details The FCA identified seven non-exhaustive criteria which should be considered by the AFM. The criteria focused on whether charges paid by the Funds are justified in light of value and quality of service delivered. This assessment references services provided directly by the AFM and also those services delegated by the AFM to third parties, such as, but not limited to, investment management, depositary services, custody and settlement, audit, legal, printing services, KIID production and maintenance and other costs as permitted in the fund documentation. These seven criteria are as follows:

1. Quality of Service 2. Performance 3. AFM costs – general 4. Economies of scale 5. Comparable market rates 6. Comparable services 7. Classes of units In conducting its assessment, SSUTM has considered each of the criteria in turn as detailed below and carried out a comprehensive appraisal in order to determine whether value for money is being provided, and where it is not, seek to remedy this.

Quality of Service

Board of Directors The Board of Directors of SSUTM collectively have over 90 years of experience in the asset management industry with a broad range of appropriate skills and expertise. Most recently, progress has been made towards diversity of the Board which now comprises of 50% women.

Investment Manager State Street Global Advisors Limited is the appointed investment manager to the Funds, whose mission is to invest responsibly to enable economic prosperity and social progress. SSGA is an indexing pioneer, which, over the past 40 years, has built a universe of active and index strategies across asset classes to help clients, and those who rely on them, achieve their investment goals. The quality of SSGA’s structures and systems are vital to ensuring a high quality of service, including

49 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Appendix II – Assessment of Value (Unaudited) (continued)

the processes used to manage the fund's investments. It must be highlighted that SSGA, working in conjunction with SSUTM, is committed to full integration of material ESG factors into day-to-day investment processes. SSGA practices asset stewardship by actively using its voice and voting to engage with portfolio companies on material ESG factors.

Other Service Providers Based on our review of the investment manager and all other service providers to the Funds (Depositary, Custodian, Administrator, Distributor, Auditor and Company Secretary) we believe the Funds’ service providers have provided quality to investors. In particular, SSUTM considered the nature, experience, expertise and commitment to ongoing training of personnel supporting the running of the Funds, noting any reinvestment by such entities into their infrastructure and workforce which directly and indirectly benefit the Funds. This included items such as enhancements to automated processing by the Administrator, improvements to audit quality planning and output by the auditor, and general IT enhancements by all providers to ensure seamless, uninterrupted services, particularly during the most recent period of the pandemic lock-down.

Performance Investors in index funds are generally seeking performance that closely matches the defined benchmark. SSUTM regularly monitors the Funds’ performance and believe the Funds have provided value where the performance of the Funds achieve a close match to the benchmark and also perform well in comparison to other, similar funds, over a range of time periods. The investment objective of the Funds are to track their benchmark on a gross of fees basis. Please note that the assessment asks that this criteria is measured on a net of fees performance return, which allows us to focus on pure performance output. The Funds target investors with a medium to long term investment goal. With the above in mind, the assessment concluded the State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund had been managed in line with its investment objective, however it did suffer underperformance of 0.13% over 3 years which was largely attributable to management fees. The three year tracking error was 0.12%, well within its 1% targeted maximum level in normal market conditions.

AFM costs – general The fees paid by the investor should be reasonable in light of the cost of the service the Funds are receiving. This applies not just to management fees but to all fund charges. SSUTM has a transparent approach to charging the Funds. There is one annual management charge (“AMC”) for which we do not charge a performance fee, and SSGA pays the cost of all external services out of the management fee. Effective management of costs is primary to SSUTM. Fund costs will be closely and continuously monitored across all the criteria we rely upon for setting charges and we will not hesitate to cut fees when we find opportunities to pass on reductions in the costs that we incur, as we did as recently as May 2020. This was based on a number of factors, including the growth in assets under management and expense levels: Scheme Old AMC (%) New AMC (%) State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund 0.30 0.12

Economies of Scales As a subsidiary within the State Street group, SSUTM should be able to use the State Street Group’s increasing size to negotiate with providers of services in a more effective manner than a standalone entity, and to spread the costs across more investors. SSUTM considered whether there have been economies of scale in respect of the management of SSGA’s range of funds, whether SSUTM has appropriately benefitted from any such economies of scale, and whether there is potential for realisation of any further economies of scale for these Funds.

50 State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund

Appendix II – Assessment of Value (Unaudited) (continued)

Currently the fee scales and structures are negotiated having already incorporated any benefit gained from economies of scale. Given the small number and current size of Funds in this product range, SSUTM does not see any ability to immediately benefit from further economies of scale. However, having said this, SSUTM maintains that the AMC charged (which was further lowered in May 2020) confirms that SSUTM has already passed on any cost savings to its underlying investors. SSUTM commits to continuously look for opportunities to pass on savings to its investors.

Comparable market rates SSUTM appointed an external third party service provider to carry out a competitive assessment of all fees, including management fees and ongoing charges of its Funds compared to funds of similar size and with similar objectives. The report highlighted the State Street AUT Japan Screened (ex Controversies and CW) Index Equity Fund fees were competitive and ranked first in its peer group.

Comparable services An investor should expect to pay the similar fees as investors in another fund of comparable/similar investment objective and size. Generally, in establishing any fund costs, our main aim is to ensure the outcome is fair to all types of investor in our Funds. It was challenging to conduct a review against comparable services within the State Street Group due to the fact no other funds or segregated mandates were of comparable nature, size or objective. Therefore, SSUTM concluded that the Funds’ services were not deemed to be comparable to any other funds or mandates and therefore a fair comparison could not be drawn.

Classes of units Analysis for this relates to whether investors are in the most appropriate share class and whether any share classes with substantially similar rights were subject to a different fee charging structure. The Fund does only operate a single share class, and therefore no further analysis was undertaken as all investors are charged the same fee – however should further share classes be launched in the future, the AFM will ensure fee charges are appropriately structured in light of this annual review.

51