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Annual Report and Audited Financial Statements for the financial year ended 31 October 2025
STATE STREET ICAV
An Irish collective asset-management vehicle constituted as an umbrella fund with segregated liability between funds with registration number C143488 under the laws of Ireland and authorised by the Central Bank of Ireland (the “Central Bank”) pursuant to the Irish Collective Asset-management Vehicles Act 2015 and the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011 (as amended)
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Organisation 2
General Information 3
Directors’ Report 6
Investment Manager’s Report 8
Depositary’s Report 17
Independent Auditors’ Report 18
Statement of Comprehensive Income 20
Statement of Financial Position 27
Statement of Changes in Equity/Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Shares 34
Statement of Cash Flows 41
Notes to the Financial Statements 48
Schedule of Investments
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State Street Emerging Markets ESG Screened Local Currency Government Bond Index Fund
State Street Emerging Markets ESG Screened Hard Currency Government Bond Index Fund
State Street Global Alternative Beta Fund
State Street Global Equity Diversified Index Fund
State Street World Quality Equity Index Fund 154
State Street Timewise 2025 Fund 162
State Street Timewise 2030 Fund 163
State Street Timewise 2035 Fund 164
State Street Timewise 2040 Fund 165
State Street Timewise 2045 Fund 166
State Street Timewise 2050 Fund 167
State Street Timewise 2055 Fund 168
State Street Timewise 2060 Fund 169
Schedule of Material Portfolio Changes (unaudited) 170
Appendix I Remuneration policy (unaudited) 196
Appendix II Investment in Collective Investment Schemes (unaudited) 198
Appendix III SFDR and Taxonomy Regulation Disclosures (unaudited) 200
STATE STREET ICAV Annual Report and Audited Financial Statements for the financial year ended 31 October 2025
Table of Contents
STATE STREET ICAV 1
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Investment Manager, Management Company and Global Distributor (“Investment Manager”, “Management Company” and “Global Distributor”) State Street Global Advisors Europe Limited 78 Sir John Rogerson’s Quay Dublin D02 HD32 Ireland
Directors Mr. Eric Linnane (Irish) Ms. Victoria Parry* (British) (resigned 2 January 2026) Mr. Terry O’Gara (Irish) (resigned 2 January 2026) Mr. Tom Coghlan* (Irish) (appointed 2 January 2026) Mr. Lim Siong Kwong (Benjamin) Lam Thuon Mine* (Luxembourgish) (appointed 2 January 2026) Ms. Barbara Healy* (Irish) (appointed 2 January 2026) Ms. Rebecca Bridger (British) (appointed 2 January 2026)
*Independent non-executive Director
Sub-Investment Manager State Street Global Advisors Limited 20 Churchill Place Canary Wharf London E14 5HJ United Kingdom
Legal Advisers in Ireland Matheson 70 Sir John Rogerson’s Quay Dublin D02 R296 Ireland
Secretary Matsack Trust Limited 70 Sir John Rogerson’s Quay Dublin D02 R296 Ireland
Depositary State Street Custodial Services (Ireland) Limited 78 Sir John Rogerson’s Quay Dublin D02 HD32 Ireland
Administrator, Registrar and Transfer Agent State Street Fund Services (Ireland) Limited 78 Sir John Rogerson’s Quay Dublin D02 HD32 Ireland
Independent Auditors PricewaterhouseCoopers Chartered Accountants and Registered Auditors One Spencer Dock North Wall Quay Dublin D01 X9R7 Ireland
STATE STREET ICAV Annual Report and Audited Financial Statements for the financial year ended 31 October 2025
Organisation
2 STATE STREET ICAV
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State Street ICAV (the “ICAV”) is an Irish collective asset-management vehicle constituted as an umbrella fund with segregated liability between sub-funds formed in Ireland on 14 August 2015 pursuant to the Irish Collective Asset-management Vehicles Act 2015 (“The ICAV Act”).
The ICAV has been authorised by the Central Bank of Ireland (the “Central Bank”), as an Undertaking for Collective Investment in Transferable Securities (“UCITS”) pursuant to the provisions of the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011, (as amended) and the Central Bank (Supervision and Enforcement) Act 2013 (section 48(1)) (Undertakings for Collective Investment in Transferable Securities) Regulations 2019 (as amended) (together the “UCITS Regulations”).
The ICAV is structured as an umbrella fund with segregated liability between sub-funds (each a “Sub-Fund”). As at 31 October 2025 the ICAV comprised of thirteen active sub-funds: State Street Emerging Markets ESG Screened Local Currency Government Bond Index Fund which launched on 24 April 2023, State Street Emerging Markets ESG Screened Hard Currency Government Bond Index Fund which launched on 20 June 2023, State Street Global Alternative Beta Fund which launched on 11 September 2024, Street Global Equity Diversified Index Fund which launched on 4 June 2025, State Street World Quality Equity Index Fund which launched on 5 August 2025 and the eight State Street Timewise (2025, 2030, 2035, 2040, 2045, 2050, 2055, 2060) Sub-Funds which launched on 8 August 2019 (the “Sub-Funds”). State Street Global Advisors Europe Limited (the “Investment Manager”, “Management Company” and “Global Distributor”), is the Investment Manager, Management Company and Global Distributor, and State Street Global Advisors Limited (the “Sub-Investment Manager”) is the Sub-Investment Manager for the ICAV.
The portfolio of assets maintained for each series of shares and comprising a Sub-Fund will be invested in accordance with the investment objective and policies applicable to such Sub-Fund as specified in the relevant Supplement. Shares may be divided into different classes to accommodate different dividend policies, charges, fee arrangements (including different total expense ratios), currencies, projected retirement dates, or to provide for foreign exchange hedging in accordance with the policies and requirements of the Central Bank from time to time.
The base currency of State Street Emerging Markets ESG Screened Local Currency Government Bond Index Fund, State Street Emerging Markets ESG Screened Hard Currency Government Bond Index Fund, State Street Global Alternative Beta Fund, State Street Global Equity Diversified Index Fund and State Street World Quality Equity Index Fund is US Dollar (“USD”), and Euro (“EUR”) for the State Street Timewise (2025, 2030, 2035, 2040, 2045, 2050, 2055, 2060) Sub-Funds (the “State Street Timewise Funds”).
Investment policies and objectives
State Street Emerging Markets ESG Screened Local Currency Government Bond Index Fund The objective of the Sub-Fund is to track the performance of the investible local currency denominated, emerging markets sovereign bonds universe.
The investment policy of the Sub-Fund is to track the performance of the Index (or any other index determined by the Directors from time to time to track substantially the same market as the Index) as closely as possible while seeking to minimise as far as possible the tracking difference between the Sub-Fund’s performance and that of the Index. The Index measures the performance of bonds issued by emerging market governments and denominated in the local currency of the issuer. The Index applies ESG screening methodology to exclude issuers based on an assessment of their adherence to certain ESG criteria including but not limited to United Nations Global Compact principles (international norms in relation to the environment, human rights & communities, labour rights & supply chains, customers and governance), and exposure to controversial weapons, tobacco, thermal coal and oil (including oil sands).
State Street Emerging Markets ESG Screened Hard Currency Government Bond Index Fund The objective of the Sub-Fund is to track the performance of the U.S. dollar-denominated emerging markets government bond universe.
The investment policy of the Sub-Fund is to track the performance of the Index (or any other index determined by the Directors from time to time to track substantially the same market as the Index) as closely as possible while seeking to minimise as far as possible the tracking difference between the Sub-Fund’s performance and that of the Index. The Index measures the performance of publicly issued U.S. dollar-denominated fixed and floating-rate debt instruments issued by emerging market sovereign and quasi-sovereign entities. The Index applies ESG screening methodology to exclude issuers based on an assessment of their adherence to certain ESG criteria including but not limited to United Nations Global Compact principles (international norms in relation to the environment, human rights & communities, labour rights & supply chains, customers and governance) and exposure to controversial weapons, tobacco, thermal coal and oil (including oil sands).
STATE STREET ICAV Annual Report and Audited Financial Statements for the financial year ended 31 October 2025
General Information
STATE STREET ICAV 3
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State Street Global Alternative Beta Fund The investment objective of the Sub-Fund is to generate capital growth over the medium to long-term by implementing a strategy that seeks to approximate the returns of hedge funds as a broad asset class.
The investment policy of the Sub-Fund builds upon the theory that the returns of hedge funds, as a broad asset class, can be driven, to a large extent, by various market exposures that hedge funds generally pursue. The Sub-Fund will seek to approximate the returns of the hedge fund universe while attempting to minimize tracking error against the Index.
State Street Global Equity Diversified Index Fund* The investment objective of the Sub-Fund is to track the performance of developed and emerging equity markets.
The investment policy of the Sub-Fund is to track the performance of the Index (or any other index determined by the Directors from time to time to track substantially the same market as the Index) as closely as possible while seeking to minimise as far as possible the tracking difference between the Sub-Fund’s performance and that of the Index. * The fund launched on 4 June 2025.
State Street World Quality Equity Index Fund** The investment objective of the Sub-Fund is to track the performance of global developed equity markets.
The investment policy of the Sub-Fund is to track the performance of the Index (or any other index determined by the Directors from time to time to track substantially the same market as the Index) as closely as possible, while seeking to minimise as far as possible the tracking difference between the Sub-Fund’s performance and that of the Index. ** The fund launched on 5 August 2025.
State Street Timewise 2025 Fund The investment objective of the Sub-Fund is to provide a balance between capital growth and capital preservation through exposure to a broad range of asset classes.
The investment policy of the Sub-Fund is to invest in a long only diversified portfolio built through investments in Underlying Funds managed by the Investment Manager or its affiliates in accordance with a long term asset allocation strategy developed by SSGA for investments by retirement plans (the “Glidepath”). The Glidepath uses an asset allocation specified by a long term asset allocation strategy developed by the Investment Manager for investors with a projected retirement date on or about 2025. Five years after the target retirement date is when the de-risking glide path ceases, and the asset allocation (benchmark) becomes static. The State Street Timewise 2025 Fund will finish its glide in 2030.
State Street Timewise 2030 Fund The investment objective of the Sub-Fund is to provide a balance between capital growth and capital preservation through exposure to a broad range of asset classes.
The investment policy of the Sub-Fund is to invest in a long only diversified portfolio built through investments in Underlying Funds managed by the Investment Manager or its affiliates in accordance with the Glidepath. The Glidepath uses an asset allocation specified by a long term asset allocation strategy developed by the Investment Manager for investors with a projected retirement date on or about 2030.
State Street Timewise 2035 Fund The investment objective of the Sub-Fund is to provide a balance between capital growth and capital preservation through exposure to a broad range of asset classes.
The investment policy of the Sub-Fund is to invest in a long only diversified portfolio built through investments in Underlying Funds managed by the Investment Manager or its affiliates in accordance with the Glidepath. The Glidepath uses an asset allocation specified by a long term asset allocation strategy developed by the Investment Manager for investors with a projected retirement date on or about 2035.
State Street Timewise 2040 Fund The investment objective of the Sub-Fund is to provide a balance between capital growth and capital preservation through exposure to a broad range of asset classes.
The investment policy of the Sub-Fund is to invest in a long only diversified portfolio built through investments in Underlying Funds managed by the Investment Manager or its affiliates in accordance with the Glidepath. The Glidepath uses an asset allocation specified by a long term asset allocation strategy developed by the Investment Manager for investors with a projected retirement date on or about 2040.
STATE STREET ICAV Annual Report and Audited Financial Statements for the financial year ended 31 October 2025
General Information (continued)
4 STATE STREET ICAV
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State Street Timewise 2045 Fund The investment objective of the Sub-Fund is to provide a balance between capital growth and capital preservation through exposure to a broad range of asset classes.
The investment policy of the Sub-Fund is to invest in a long only diversified portfolio built through investments in Underlying Funds managed by the Investment Manager or its affiliates in accordance with the Glidepath. The Glidepath uses an asset allocation specified by a long term asset allocation strategy developed by the Investment Manager for investors with a projected retirement date on or about 2045.
State Street Timewise 2050 Fund The investment objective of the Sub-Fund is to provide a balance between capital growth and capital preservation through exposure to a broad range of asset classes.
The investment policy of the Sub-Fund is to invest in a long only diversified portfolio built through investments in Underlying Funds managed by the Investment Manager or its affiliates in accordance with the Glidepath. The Glidepath uses an asset allocation specified by a long term asset allocation strategy developed by the Investment Manager for investors with a projected retirement date on or about 2050.
State Street Timewise 2055 Fund The investment objective of the Sub-Fund is to provide a balance between capital growth and capital preservation through exposure to a broad range of asset classes.
The investment policy of the Sub-Fund is to invest in a long only diversified portfolio built through investments in Underlying Funds managed by the Investment Manager or its affiliates in accordance with the Glidepath. The Glidepath uses an asset allocation specified by a long term asset allocation strategy developed by the Investment Manager for investors with a projected retirement date on or about 2055.
State Street Timewise 2060 Fund The investment objective of the Sub-Fund is to provide a balance between capital growth and capital preservation through exposure to a broad range of asset classes.
The investment policy of the Sub-Fund is to invest in a long only diversified portfolio built through investments in Underlying Funds managed by the Investment Manager or its affiliates in accordance with the Glidepath. The Glidepath uses an asset allocation specified by a long term asset allocation strategy developed by the Investment Manager for investors with a projected retirement date on or about 2060.
STATE STREET ICAV Annual Report and Audited Financial Statements for the financial year ended 31 October 2025
General Information (continued)
STATE STREET ICAV 5
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The Directors present to the shareholders the annual report together with the audited financial statements of the ICAV for the financial year ended 31 October 2025.
Statement of Directors’ Responsibilities The Directors are responsible for preparing the annual report and the ICAV’s financial statements in accordance with International Financial Reporting Standards (“IFRSs”) as adopted by the European Union (“EU”), with the ICAV Act and the UCITS Regulations.
Under the ICAV Act, the directors shall not approve the financial statements unless they are satisfied that they give a true and fair view of the ICAV’s assets, liabilities and financial position at the end of the financial year and the profit or loss of the ICAV for the financial year. The ICAV Act requires the Directors to prepare financial statements for each financial year which give a true and fair view of the assets and liabilities and financial position of the ICAV and of the profit or loss of the ICAV for that financial year and otherwise comply with the ICAV Act. In preparing these financial statements, the Directors are required to: • select suitable accounting policies and then apply them consistently; • make judgements and estimates that are reasonable and prudent; • state whether the financial statements have been prepared in accordance with IFRS and ensure that they contain the additional information required by the ICAV Act; and • prepare the financial statements on the going concern basis unless it is inappropriate to presume that the ICAV will continue in business.
The Directors are responsible for keeping adequate accounting records that are sufficient to: • correctly record and explain the transactions of the ICAV; • enable, at any time, the assets, liabilities, financial position and profit or loss of the ICAV to be determined with reasonable accuracy; and • enable the Directors to ensure that the financial statements comply with the ICAV Act and enable those financial statements to be audited.
The financial statements have been prepared on a going concern basis as the Directors are of the view that the entity can continue in operational existence for at least twelve months from the date of approval of these financial statements ( the period of assessment ). However, the Directors note, that State Street Multi-Factor Premia Emerging Markets Bond Fund, State Street Emerging Markets Hard Currency Government Bond Index Fund and State Street Emerging Markets Screened Index Equity Fund terminated in previous years.
The Directors are responsible for safeguarding the assets of the ICAV. In this regard they have entrusted the assets of the ICAV to State Street Custodial Services (Ireland) Limited (the Depositary ) who has been appointed as depositary to the ICAV pursuant to the terms of a Depositary Agreement. The Directors have a general responsibility for taking such steps as are reasonably open to them to prevent and detect fraud and other irregularities.
The financial statements are published on the www.ssga.com website. The Directors, together with the Investment Manager, are responsible for the maintenance and integrity of the financial information included on this website. Legislation in the Republic of Ireland governing the preparation and dissemination of financial statements may differ from legislation in other jurisdictions.
Corporate governance statement The ICAV is subject to corporate governance practices imposed by: • The ICAV Act which is available for inspection at the registered office of the ICAV at 78 Sir John Rogerson’s Quay, Dublin D02 HD32, Ireland; • The Instrument of Incorporation of the ICAV which is available for inspection at the registered office of the ICAV; • The Central Bank in their UCITS Regulations which can be obtained from the Central Bank’s website listed below and are available for inspection at the registered office of the ICAV: https://www.centralbank.ie/regulation/industry-market-sectors/funds
Results, activities and future developments The results of operations are set out in the Statement of Comprehensive Income. A detailed review of activities and future developments is contained in the Investment Manager’s Report.
The Net Asset Value ( NAV ) per share of the Sub-Funds is set out in Note 3.
Directors The Directors who held office at any time during the financial year are detailed below;
Mr. Eric Linnane (Irish) Ms. Victoria Parry* (British) Mr. Terry O’Gara (Irish)
*Independent non-executive Director.
STATE STREET ICAV Annual Report and Audited Financial Statements for the financial year ended 31 October 2025
Directors’ Report
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Directors’ and ICAV Secretary’s interests in shares and contracts The Directors and Matsack Trust Limited (the Secretary ) who held office at 31 October 2025 had no material interest, beneficial or non-beneficial, in the share capital of the ICAV. The Directors are not aware of any contracts or arrangements of any significance in relation to the business of the ICAV in which the Directors had any interest.
Distributions The Directors may at its discretion declare distributions out of Sub-Fund’s income and net realised gains on its investments. Each Sub-Fund typically earns income in the form of dividends from stocks and interest from debt securities. Each Sub-Fund realises capital gains or losses whenever it sells securities. Depending on the underlying market, if there are capital gains, the Sub-Fund may be subject to a capital gains tax in that underlying market.
Further information on distributions paid is included in Note 11 of these financial statements.
Accounting records The Directors ensure compliance with the ICAV’s obligation to maintain adequate accounting records by appointing competent persons to be responsible for them. The accounting records are kept by State Street Fund Services (Ireland) Limited at 78 Sir John Rogerson’s Quay, Dublin D02 HD32, Ireland.
Connected Party Transactions Regulation 43(1) of the Central Bank UCITS Regulations “Restrictions of transactions with connected persons” states that “A responsible person shall ensure that any transaction between a UCITS and a connected person is conducted a) at arm’s length; and b) in the best interest of the shareholders of the UCITS”.
As required under Central Bank UCITS Regulations 81(4), the Directors, as responsible persons, are satisfied that there are in place arrangements, evidenced by written procedures, to ensure that the obligations that are prescribed by Regulation 43(1) are applied to all transactions with a connected person; and all transactions with a connected persons that were entered into during the period to which the report relates complied with the obligations that are prescribed by Regulation 43(1).
Related Party Transactions All transactions including related parties during the financial year and prior financial year are disclosed in Note 10 to the Financial Statements.
Risk management objectives and policies The main risks arising from the ICAV’s financial instruments are market price, interest rate, foreign currency, liquidity and credit risk. Non financial risks would include management risk, market disruption/geopolitical risk, commodities risk, concentration risk, conflicts of interest risk and the impact of the Russia/Ukraine and Israel/Palestine conflicts. For further information on risk management objectives and policies, please see Note 8 of these financial statements and the Prospectus and Supplements of the ICAV.
Employees The ICAV had no employees during the financial year ended 31 October 2025 or 31 October 2024.
Significant events during the financial year See Note 17 in Notes to the financial statements.
Significant events after the financial year end See Note 18 in Notes to the financial statements.
Relevant audit information The Directors have put a framework in place to ensure the statutory auditors have been provided with all relevant audit information of which they are aware.
Independent auditors PricewaterhouseCoopers (the Auditors ) have expressed their willingness to continue in office in accordance with Section 125(1) of the ICAV Act.
On behalf of the Board of Directors
Barbara Healy Eric Linnane Date: 25 February 2026
STATE STREET ICAV Annual Report and Audited Financial Statements for the financial year ended 31 October 2025
Directors’ Report (continued)
STATE STREET ICAV 7
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State Street Emerging Markets ESG Screened Local Currency Government Bond Index Fund
Market Summary Overall, Emerging Market (“EM”) local currency sovereign debt returned 13.06% (in USD terms) for the period under review (1 November 2024 - 31 October 2025), as measured by the JP Morgan GBI - EM Global Diversified Index.
Commencing the Reporting Period, EM debt navigated a volatile period shaped by geopolitical risks, trade tensions, and shifting monetary policy. Sentiment weakened early amid Middle East conflicts and the United States (the “U.S.”) election uncertainty but improved after Donald Trump’s victory and Republican control of the Senate, though concerns over tax, trade, and regulatory changes lingered. Geopolitical risks stayed high with Ukraine-Russia tensions and fragile ceasefires in the Middle East. The U.S. Federal Reserve (the “Fed”) cut rates twice in late 2024 to 4.25% - 4.50%, but Powell’s cautious tone limited expectations for aggressive easing. In China, yields stayed near multi-decade lows as property stress persisted; People’s Bank of China (the “PBoC”) cut rates to record lows and raised local government debt ceilings while fiscal stimulus remained measured.
Entering 2025, EM debt faced headwinds from a strong dollar and tariff speculation. Trump’s inaugural speech eased fears, but February brought tariffs on Mexico, Canada, and China, alongside levies on steel and aluminium. China retaliated with tariffs and export controls, intensifying trade tensions. March delays offered temporary relief, yet volatility in EM currencies and yields persisted. Brazil hiked rates while Mexico, India, Thailand, and Turkey cut rates. China maintained its 5% growth target and kept key rates steady. EM local currency bonds gained in the first quarter of 2025 as the dollar weakened, while hard currency debt benefited from Treasury rallies.
The second quarter was dominated by tariff uncertainty and geopolitical shocks. A 10% baseline tariff and additional levies triggered a U.S. Treasury sell-off and wider EM spreads before compression followed tariff delays. U.S. - China tensions escalated before a 90-day pause in May. Geopolitical risks flared with Indian strikes in Pakistan and a brief Israel-Iran conflict. Oil prices swung on supply concerns and OPEC’s production hike. EM monetary policy was mixed: Brazil raised rates sharply, while several Latin American (LatAm) and EM Asia economies cut rates. The third quarter saw renewed tariff disputes, fiscal concerns, and geopolitical strains. The U.S. announced sector-specific levies on major EM economies, later postponing punitive measures. Passage of the “Big Beautiful Bill” raised U.S. deficit concerns. Oil softened, benefiting importers but pressuring exporters. The Fed cut rates in September to 4.00% - 4.25%, reinforcing expectations for further easing and weakening the dollar. EM central banks broadly adopted accommodative stances, with notable cuts across LatAm and EM Asia, while Turkey delivered aggressive easing.
Towards the end of the Reporting Period, EM debt benefited from extended positive momentum amid dovish global conditions and resilient growth. Trade tensions eased with a U.S. - China truce and new U.S. trade deals with ASEAN nations, while India and Brazil still faced tariffs. Oil prices declined, easing inflation for importers. The Fed cut rates again to 3.75% - 4.00% and announced an end to quantitative tightening, boosting risk sentiment and driving spreads to multi-year lows. EM local currency bonds benefited from benign inflation and favourable real yields, while hard currency debt gained from spread compression and strong issuance.
Sub-Fund Performance As of: 31 October 2025
Period
(Cumulative - Gross of Fees in EUR terms)
(Cumulative - Net of Fees in EUR terms) Sub-Fund Bnch Diff Sub-Fund Bnch Diff 1 Year 6.86 7.43 -0.57 6.76 7.43 -0.67 1 Year Tracking Error (parent fund) 0.17
The Sub-Fund (EUR share class) underperformed the Index by -57.0 basis points (“bps”) (in EUR terms, gross of fees) over the Reporting Period. Detraction to performance over the Reporting Period majorly came from taxes (-32.9 bps). These taxes were paid out of issues from India (-14.6 bps), Indonesia (-7.6 bps), Brazil (-9.1 bps) and Colombia (-2.2 bps). On 11 August, the internal fund accounting commenced accruing for capital gains tax (“CGT”) on a daily basis for this fund. This led to a one-day charge of -11 bps (-8.8 bps for Brazil and -2.2 bps for Indonesia). Going forward, all CGT will be accrued daily for this Sub-Fund. Additionally, the Sub-Fund’s NAV will have a reversal of +6.2 bps from India taxes in the fourth quarter of 2025, which reflects a conservative accrual of 20% withholding tax (“WHT”) when Irish-domiciled funds are only liable for 10%. The Sub-Fund’s first tax return for India was processed on the 4 November, wherein it was first confirmed that the fund’s WHT for India should be 10% instead of 20%.
Also, fee paid by this Sub-Fund is captured in its gross performance, which accounts for around -10 bps per year. Detraction from sampling, which includes impact from yield curve positioning, asset allocation and security selection amounted to -6.6 bps. Impact from trading cost was insignificant. The residual tracking difference was a result of pricing differences due to the interest accrual differences between JP Morgan’s official index and our internal performance attribution system, in addition to different sources used for the THB FX rate (offshore/onshore). Pricing difference tends to reverse in future. The Sub-Fund’s assets under management (“AUM”) increased from USD 571.5 million to USD 900.10 million during the period.
STATE STREET ICAV Annual Report and Audited Financial Statements for the financial year ended 31 October 2025
Investment Manager’s Report
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State Street Emerging Markets ESG Screened Hard Currency Government Bond Index Fund
Market Summary Overall, EM hard currency sovereign debt returned 12.76% (in USD terms) for the period under review (1 November 2024 31 October 2025), as measured by the JP Morgan EMBI Global Diversified Index.
Commencing the Reporting Period, EM debt navigated a volatile period shaped by geopolitical risks, trade tensions, and shifting monetary policy. Sentiment weakened early amid Middle East conflicts and U.S. election uncertainty but improved after Donald Trump’s victory and Republican control of the Senate, though concerns over tax, trade, and regulatory changes lingered. Geopolitical risks stayed high with Ukraine-Russia tensions and fragile ceasefires in the Middle East. The Fed cut rates twice in late 2024 to 4.25% - 4.50%, but Powell’s cautious tone limited expectations for aggressive easing. In China, yields stayed near multi-decade lows as property stress persisted; the PBoC cut rates to record lows and raised local government debt ceilings while fiscal stimulus remained measured.
Entering 2025, EM debt faced headwinds from a strong dollar and tariff speculation. Trump’s inaugural speech eased fears, but February brought tariffs on Mexico, Canada, and China, alongside levies on steel and aluminium. China retaliated with tariffs and export controls, intensifying trade tensions. March delays offered temporary relief, yet volatility in EM currencies and yields persisted. Brazil hiked rates while Mexico, India, Thailand, and Turkey cut rates. China maintained its 5% growth target and kept key rates steady. EM local currency bonds gained in Q1 as the dollar weakened, while hard currency debt benefited from Treasury rallies.
The second quarter was dominated by tariff uncertainty and geopolitical shocks. A 10% baseline tariff and additional levies triggered a U.S. Treasury sell-off and wider EM spreads before compression followed tariff delays. U.S.-China tensions escalated before a 90-day pause in May. Geopolitical risks flared with Indian strikes in Pakistan and a brief Israel-Iran conflict. Oil prices swung on supply concerns and OPEC’s production hike. EM monetary policy was mixed: Brazil raised rates sharply, while several Latin American (“LatAm”) and EM Asia economies cut rates. The third quarter saw renewed tariff disputes, fiscal concerns, and geopolitical strains. The U.S. announced sector-specific levies on major EM economies, later postponing punitive measures. Passage of the “Big Beautiful Bill” raised U.S. deficit concerns. Oil softened, benefiting importers but pressuring exporters. The Fed cut rates in September to 4.00% - 4.25%, reinforcing expectations for further easing and weakening the dollar. EM central banks broadly adopted accommodative stances, with notable cuts across LatAm and EM Asia, while Turkey delivered aggressive easing.
Towards the end of the Reporting Period, EM debt benefited from extended positive momentum amid dovish global conditions and resilient growth. Trade tensions eased with a U.S. - China truce and new U.S. trade deals with ASEAN nations, while India and Brazil still faced tariffs. Oil prices declined, easing inflation for importers. The Fed cut rates again to 3.75% - 4.00% and announced an end to quantitative tightening, boosting risk sentiment and driving spreads to multi-year lows. EM local currency bonds benefited from benign inflation and favourable real yields, while hard currency debt gained from spread compression and strong issuance.
Sub-Fund Performance As of: 31 October 2025
Period
(Cumulative - Gross of Fees in EUR terms)
(Cumulative - Net of Fees in EUR terms)
Sub-Fund Bnch Diff Sub-Fund Bnch Diff 1 Year 3.82 3.88 -0.06 3.74 3.88 -0.14 Tracking Error (1 year) 0.10
The Sub-Fund (EUR share class) underperformed the index by 6.0 bps (EUR gross of fees) over the Reporting Period. The Sub-Fund’s assets under management (“AUM”) increased from USD 791.8 million to USD 1,136.0 million during the period. Contribution to the performance outcome over the Reporting Period majorly came from trading costs (-12.5 bps). Contribution from sampling, which includes effects from yield curve positioning, asset allocation and security selection amounted to -3.6 bps. Specifically, yield curve positioning contributed (+3.7 bps). Key sampling detractors were Colombia (-2.3 bps), Angola (-1.7 bps) and Brazil (-1.6 bps). These detractions were partially offset by contributions from Mexico (+1.7 bps) and El Salvador (+1.1 bps). The residual tracking difference was a result of pricing differences due to the interest accrual differences between JP Morgan’s official index and our internal performance attribution system. Pricing differences tend to reverse in future.
STATE STREET ICAV Annual Report and Audited Financial Statements for the financial year ended 31 October 2025
Investment Manager’s Report (continued)
STATE STREET ICAV 9
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State Street Global Alternative Beta Fund
Market Summary Global economic activity throughout 2024 and into 2025, demonstrated resilience, with robust growth in the service sector consistently offsetting manufacturing weakness. The U.S. led the way, outperforming other regions, while Europe and China faced ongoing challenges. Inflation remained elevated in major developed economies, exceeding central bank targets, but unemployment rates stayed at or near historical lows.
The global macro cycle reached a critical juncture with the inauguration of the next U.S. presidency and announcements of broad tariffs on U.S. imports. The global easing cycle accelerated in December 2024, with lower rates in 36 countries, including the U.S., Canada, and the eurozone. The Fed was expected to cut rates three times in 2025, bringing the upper Fed funds rate to 3.75%. Other major economies, such as Canada, the UK, Australia, and the eurozone, were also projected to lower rates, while Japan continued to normalize its policy rate. Central banks adjusted policy throughout 2025, with the Bank of Japan increasing rates, the Bank of Canada easing its pace, and the European Central Bank making multiple cuts. Market expectations solidified around further rate cuts later in the year.
Trade policy and geopolitical risks were prominent throughout the year. The U.S. imposed tariffs on imports from China, Canada, and Mexico, triggering countermeasures and export restrictions. Trade friction and retaliatory tariffs burdened global markets. Europe saw significant fiscal stimulus plans and increased defence spending, reflecting a changed geopolitical outlook. Escalating trade disputes and war in the Middle East contributed to financial market volatility and investor caution.
Risk assets had a strong year in 2024, buoyed by robust earnings growth, AI-driven trades, and easing inflation. Developed Markets (“DM”), especially the U.S., outperformed emerging markets, though both saw declines in the fourth quarter. Treasuries weakened, with the yield curve steepening and significant selloffs in fourth quarter of 2025. The U.S. dollar strengthened by 7.6% for the year, marking its largest quarterly gain since the first quarter of 2015. Commodities ended the year with positive returns, largely due to gold’s performance. In 2025, risk assets displayed mixed performance. DM and value stocks led early gains, but equities pulled back in February while riskier bonds rallied. EM equities outperformed DM in the first quarter and the second quarter, supported by easing trade tensions and a weaker dollar. Growth stocks, particularly in the tech sector, drove gains. Bonds were volatile, reflecting evolving growth and inflation dynamics. Commodities posted gains, with gold outperforming.
Sub-Fund Performance As of: 31 October 2025
Period
(Cumulative - Gross of Fees in EUR terms)
(Cumulative - Net of Fees in EUR terms)
Sub-Fund Bnch Diff Sub-Fund Bnch Diff 1 Year 8.14 7.27 0.87 7.76 7.27 0.49 Tracking Error (1 year) 1.80
During the financial year ended 31 October 2025, the State Street Global Alternative Beta Fund (the “Sub-Fund”) returned 8.14% (gross of fees) versus the benchmark return of 7.27%. The Sub-Fund outperformed its benchmark by 87 bps.
The top positive contributors to the Sub-Funds’ total performance during the Reporting Period were: • Cash • US large cap equities • US Small Cap • USD High Yield Bond
The main detractors to the Sub-Funds’ total performance during the Reporting Period were: • Global ex US equities • Commodities
STATE STREET ICAV Annual Report and Audited Financial Statements for the financial year ended 31 October 2025
Investment Manager’s Report (continued)
10 STATE STREET ICAV
Page 12
State Street Global Equity Diversified Index Fund* The Sub-Fund launched on 4 June 2025. The Sub-Fund returned 15.85% on a gross of fees basis since its inception while the benchmark MSCI WTW Global Equity Diversified on ACWI Index returned 16.03%. The Sub-Fund underperformed its benchmark by 18 bps. The majority of the underperformance can be attributed to security misweights (-9.5 bps).
Market Summary Over the Reporting Period, global equity markets, as measured by the MSCI All Country World Index (“MSCI ACWI Index”) performed strongly returning 23.19% in USD terms, supported by robust growth in the service sector consistently offsetting manufacturing weakness. Inflation remained elevated in major developed economies, exceeding central bank targets, but unemployment rates stayed at or near historical lows.
Geopolitical risks escalated during the first quarter of 2025. Starting early February, a 10% tariff on Chinese goods triggered countermeasures from China-export restrictions on vital minerals and tariffs on U.S. products. Proposed 25% tariffs on Canada and Mexico were announced but subsequently delayed. Global economic activity saw modest gains in the second quarter. The services sector continued to outperform manufacturing, though the manufacturing sector showed signs of recovery, returning to production growth after a contraction in May. U.S. economic activity remained robust, while other major developed economies-such as Japan, the UK, Australia, and the Eurozone-also gained momentum.
Following a strong start to the year, UK and European equity markets delivered strong performance during the Reporting Period, returning 26.80% in USD terms as measured by FTSE 100 Index and MSCI Europe Index returning 23.97%. The European Central Bank (the “ECB”) cut rates by 25 bps in June, bringing the deposit rate to 2%, while maintaining a cautious tone to balance inflation control with growth support. Services activity supported PMI at 50.4, while industrial production remained weak, particularly in Germany. Autos and Luxury goods led gains on signs of recovering Chinese demand, partially offsetting weakness in industrial exporters. In the UK, domestic economic momentum stabilized, though headwinds remain with annual inflation rate persisted at 3.80% in September, due to ongoing trade frictions. Bank of England kept the rates unchanged at 4%, citing weakening credit growth and rising mortgage arrears.
Asia-Pacific equities delivered strong gains returning 29.12% in USD as measured by MSCI Asia ex-Japan index, supported by improving macro conditions and sector-specific tailwinds. In the third quarter , developed Asian markets posted 7.22% increase as measured by the MSCI Pacific Index, benefiting from policy support and strength in technology-related sectors. Hong Kong’s Hang Seng index led gains on Chinese tech optimism, while Japan advanced on a weaker yen, corporate reforms, and robust buyback activity. October extended the positive trend, with the MSCI AC Asia Pacific Index up 3.63%, aided by the Fed’s rate cut and progress in U.S.-China trade talks that reduced geopolitical risk. South Korea and Taiwan drove outperformance, while Australia and Hong Kong faced headwinds from elevated inflation and policy uncertainty.
EM equities delivered strong gains through the Reporting Period, with the MSCI EM Index returning 28.69%, outperforming developed markets on the back of a weaker U.S. dollar and improving macro fundamentals. Early in the year, sentiment was unsettled by President Trump’s sweeping “Liberation Day” tariffs in April, but the subsequent 90-day pause eased investor concerns and paved the way for recovery. Progress in U.S.-China trade negotiations and global rate cuts supported capital flows into EM assets, while attractive valuations and strong earnings growth reinforced the positive backdrop.
The rally broadened in the third quarter , led by Asia, as policy easing, improving trade conditions, and robust technology demand drove gains. China was the key driver, buoyed by targeted stimulus, property sector stabilization, and strong performance in technology stocks. Policy support for domestic chipmakers and accelerating AI investment fuelled optimism, while Taiwan and South Korea benefited from semiconductor demand and global enthusiasm for AI-related themes. * The Sub-Fund launched on 4 June 2025.
STATE STREET ICAV Annual Report and Audited Financial Statements for the financial year ended 31 October 2025
Investment Manager’s Report (continued)
STATE STREET ICAV 11
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State Street World Quality Equity Index Fund** The Sub-Fund launched on 5 August 2025. During the Reporting Period, the Sub-Fund returned 7.93% (gross of fees) versus the benchmark MSCI World Quality Index returned 7.99%. The Sub-Fund underperformed its benchmark by 6 bps and it can be attributed to: cash drag (-2.7 bps), security misweights (-0.5bps), tax withholding (-0.7 bps), transaction cost (-1.2 bps) and FX impact (-0.5 bps).
Market Summary Over the Reporting Period, global equity markets, as measured by the MSCI ACWI Index, performed strongly, returning 23.19% in USD terms. This was supported by robust growth in the service sector, which consistently offsetting manufacturing weakness. Inflation remained elevated in major developed economies, exceeding central bank targets, but unemployment rates stayed at or near historical lows.
Geopolitical risks escalated during the first quarter of 2025. Starting in early February, a 10% tariff on Chinese goods triggered countermeasures from China-export restrictions on vital minerals and tariffs on U.S. products. Proposed 25% tariffs on Canada and Mexico were announced but subsequently delayed. Global economic activity saw modest gains in the second quarter. The services sector continued to outperform manufacturing, though manufacturing sector showed signs of recovery, returning to production growth after a contraction in May. U.S. economic activity remained robust, while other major developed economies-such as Japan, the UK, Australia, and the Eurozone-also gained momentum.
Following a strong start to the year, UK and European equity markets delivered strong performance during the Reporting Period, returning 26.80% in USD terms, as measured by the FTSE 100 Index and MSCI Europe Index, which returned 23.97%. The ECB cut rates by 25 bps in June, bringing the deposit rate to 2%, while maintaining a cautious tone to balance inflation control with growth support. Services activity supported PMI at 50.4, while industrial production remained weak, particularly in Germany. Autos and luxury goods led gains on signs of recovering Chinese demand, partially offsetting weakness in industrial exporters. In the UK, domestic economic momentum stabilized, though headwinds remained, with annual inflation rate persisted at 3.80% in September due to ongoing trade frictions. The Bank of England kept the rates unchanged at 4%, citing weakening credit growth and rising mortgage arrears.
Asia-Pacific equities delivered strong gains, returning 29.12% in USD as measured by MSCI Asia ex-Japan Index, supported by improving macro conditions and sector-specific tailwinds. In the third quarter, developed Asian markets posted +7.22%, as measured by the MSCI Pacific Index, benefiting from policy support and strength in technology-related sectors. Hong Kong’s Hang Seng index led gains on Chinese tech optimism, while Japan advanced on a weaker yen, corporate reforms, and robust buyback activity. October extended the positive trend, with the MSCI AC Asia Pacific Index up 3.63%, aided by the Fed’s rate cut and progress in U.S.-China trade talks that reduced geopolitical risk. South Korea and Taiwan drove outperformance, while Australia and Hong Kong faced headwinds from elevated inflation and policy uncertainty.
EM equities delivered strong gains through the Reporting Period, with the MSCI EM Index returning 28.69%, outperforming developed markets on the back of a weaker U.S. dollar and improving macro fundamentals. Early in the year, sentiment was unsettled by President Trump’s sweeping “Liberation Day” tariffs in April, but the subsequent 90-day pause eased investor concerns and paved the way for recovery. Progress in U.S.-China trade negotiations and global rate cuts supported capital flows into EM assets, while attractive valuations and strong earnings growth reinforced the positive backdrop.The rally broadened in the third quarter, led by Asia, as policy easing, improving trade conditions, and robust technology demand drove gains. China was the key driver, buoyed by targeted stimulus, property sector stabilization, and strong performance in technology stocks. Policy support for domestic chipmakers and accelerating AI investment fueled optimism, while Taiwan and South Korea benefited from semiconductor demand and global enthusiasm for AI-related themes. ** The Sub-Fund launched on 5 August 2025.
STATE STREET ICAV Annual Report and Audited Financial Statements for the financial year ended 31 October 2025
Investment Manager’s Report (continued)
12 STATE STREET ICAV
Page 14
State Street ICAV - Euro Timewise Funds
Market Review Global economic activity throughout 2024 and into 2025, demonstrated resilience, with robust growth in the service sector consistently offsetting manufacturing weakness. The U.S. led the way, outperforming other regions, while Europe and China faced ongoing challenges. Inflation remained elevated in major developed economies, exceeding central bank targets, however unemployment rates stayed at or near historical lows.
The global macro cycle reached a critical juncture with the inauguration of the next U.S. presidency and announcements of broad tariffs on U.S. imports. The global easing cycle accelerated in December 2024, with lower rates in 36 countries, including the U.S., Canada, and the Eurozone. The Fed was expected to cut rates three times in 2025, bringing the highest Fed funds rate to 3.75%. Other major economies, such as Canada, the UK, Australia, and the Eurozone, were also projected to lower rates, while Japan continued to normalize its policy rate. Central banks adjusted policy throughout 2025, with the Bank of Japan increasing rates, the Bank of Canada easing its pace, and the ECB making multiple cuts. Market expectations solidified around further rate cuts later in the year.
Trade policy and geopolitical risks were prominent throughout the year. The U.S. imposed tariffs on imports from China, Canada, and Mexico, triggering countermeasures and export restrictions. Trade friction and retaliatory tariffs burdened global markets. Europe saw significant fiscal stimulus plans and increased defence spending, reflecting a changed geopolitical outlook. Escalating trade disputes and war in the Middle East contributed to financial market volatility and investor caution.
Risk assets had a strong year in 2024, buoyed by robust earnings growth, AI-driven trades, and easing inflation. DM, especially the U.S., outperformed EM, though both saw declines in the fourth quarter. Treasuries weakened, with the yield curve steepening and significant selloffs in the fourth quarter. The U.S. dollar strengthened by 7% for the year, marking its highest quarterly gain since the first quarter 2015. Commodities ended the year with positive returns, mainly due to gold’s performance. In 2025, risk assets displayed mixed performance. DM and value stocks led early gains, but equities pulled back in February while riskier bonds rallied. EM equities outperformed DM so far in 2025, supported by easing trade tensions and a weaker dollar. Growth stocks, particularly in the tech sector, drove gains. Bonds were volatile, reflecting evolving growth and inflation dynamics. Commodities posted gains, with gold outperforming.
Sub-Fund Performance As-of: 31 October 2025 for the 12 months period
Sub-Fund Returns (Cumulative Gross of Fees) (%)
Returns (Cumulative Net of Fees) (%)
State Street Timewise 2025 Fund 7.05 6.63 State Street Timewise 2030 Fund 8.86 8.43 State Street Timewise 2035 Fund 10.73 10.29 State Street Timewise 2040 Fund 12.79 12.35 State Street Timewise 2045 Fund 14.41 13.96 State Street Timewise 2050 Fund 14.42 13.96 State Street Timewise 2055 Fund 14.41 13.95 State Street Timewise 2060 Fund 14.42 13.97
STATE STREET ICAV Annual Report and Audited Financial Statements for the financial year ended 31 October 2025
Investment Manager’s Report (continued)
STATE STREET ICAV 13
Page 15
State Street ICAV - Euro Timewise Funds (continued)
State Street Timewise 2025 Fund
During the Reporting Period, the Sub-Fund returned 7.05% on a gross of fees basis. All the underlying funds contributed positively to the total performance.
The top positive contributors to the Sub-Funds’ total performance during the Reporting Period were:
• DM Equities were the primary contributor despite the headwinds caused by the U.S. Elections, tariff tension and Middle East conflict, global equities contributed to overall performance supported by resilient economic data and easing investor fears. • The Absolute Returns Component (The State Street Flexible Asset Allocation Fund) , which dynamically adjusts exposures based on anticipated market conditions, was another important contributor. DM equities, EM equities, and corporate bonds drove performance. • Climate Corporate Bonds as well as U.S. and Euro Corporate Bonds, and Global High Yield Bonds also contributed positively, supported by widening credit spreads.
State Street Timewise 2030 Fund
During the Reporting Period, the Sub-Fund returned 8.86% on a gross of fees basis. All the underlying funds contributed positively to total performance.
The top positive contributors to the Sub-Funds’ total performance during the Reporting Period were:
• DM Equities were the primary contributor despite the headwinds caused by the U.S. Elections, tariff tension and Middle East conflict, global equities contributed to overall performance supported by resilient economic data and easing investor fears. • The Absolute Returns Component (The State Street Flexible Asset Allocation Fund) , which dynamically adjusts exposures based on anticipated market conditions, was another important contributor. DM equities, EM equities, and corporate bonds drove performance. • Climate Corporate Bonds as well as U.S. and Euro Corporate Bonds, and Global High Yield Bonds contributed positively, supported by widening credit spreads.
State Street Timewise 2035 Fund
During the Reporting Period, the Sub-Fund returned 10.73% on a gross of fees basis. All the underlying funds contributed positively to total performance.
The top positive contributors to the Sub-Funds’ total performance during the Reporting Period were:
• DM Equities as well as EM equities were the primary contributors despite the headwinds caused by the U.S. Elections, tariff tension and Middle East conflict, global equities contributed to overall performance supported by resilient economic data and easing investor fears. • The Absolute Returns Component (The State Street Flexible Asset Allocation Fund) , which dynamically adjusts exposures based on anticipated market conditions, was another important contributor. DM equities, EM equities, and corporate bonds drove performance. • Climate Corporate Bonds as well as U.S. and Euro Corporate Bonds, and Global High Yield Bonds contributed. positively, supported by widening credit spreads.
STATE STREET ICAV Annual Report and Audited Financial Statements for the financial year ended 31 October 2025
Investment Manager’s Report (continued)
14 STATE STREET ICAV
Page 16
State Street ICAV - Euro Timewise Funds (continued)
State Street Timewise 2040 Fund
During the Reporting Period, the Sub-Fund returned 12.79% on a gross of fees basis. All the underlying funds contributed positively to total performance.
The top positive contributors to the Sub-Funds’ total performance during the Reporting Period were:
• DM Equities as well as EM equities were the primary contributors despite the headwinds caused by the U.S. Elections, tariff tension and Middle East conflict, global equities contributed to overall performance supported by resilient economic data and easing investor fears. • The Absolute Returns Component (The State Street Flexible Asset Allocation Fund) , which dynamically adjusts exposures based on anticipated market conditions, was another important contributor. DM equities, EM equities, and corporate bonds drove performance. • Climate Corporate Bonds as well as U.S. and Euro Corporate Bonds, and Global High Yield Bonds contributed positively, supported by widening credit spreads.
State Street Timewise 2045 Fund
During the Reporting Period, the Sub-Fund returned 14.41% on a gross of fees basis. Risky assets rallied during the Reporting Period as inflation showed signs of easing in many regions. All the underlying funds contributed positively to total performance.
The top positive contributors to the Sub-Funds’ total performance during the Reporting Period were:
• DM Equities as well as EM equities were the primary contributors despite the headwinds caused by the U.S. Elections, tariff tension and Middle East conflict, global equities contributed to overall performance supported by resilient economic data and easing investor fears. • The Absolute Returns Component (The State Street Flexible Asset Allocation Fund) , which dynamically adjusts exposures based on anticipated market conditions, was another important contributor. DM equities, EM equities, and corporate bonds drove performance. • Global High Yield Bonds contributed positively, supported by widening credit spreads.
State Street Timewise 2050 Fund
During the Reporting Period, the Sub-Fund returned 14.42% on a gross of fees basis. Risky assets rallied during the Reporting Period as inflation showed signs of easing in many regions. All the underlying funds contributed positively to total performance.
The top positive contributors to the Sub-Funds’ total performance during the Reporting Period were:
• DM Equities as well as EM equities were the primary contributors despite the headwinds caused by the U.S. Elections, tariff tension and Middle East conflict, global equities contributed to overall performance supported by resilient economic data and easing investor fears. • The Absolute Returns Component (The State Street Flexible Asset Allocation Fund) , which dynamically adjusts exposures based on anticipated market conditions, was another important contributor. DM equities, EM equities, and corporate bonds drove performance. • Global High Yield Bonds contributed positively, supported by widening credit spreads.
State Street Timewise 2055 Fund
During the Reporting Period, the Sub-Fund returned 14.41% on a gross of fees basis. Risky assets rallied during the Reporting Period as inflation showed signs of easing in many regions. All the underlying funds contributed positively to total performance.
The top positive contributors to the Sub-Funds’ total performance during the Reporting Period were:
• DM Equities as well as EM equities were the primary contributors despite the headwinds caused by the U.S. Elections, tariff tension and Middle East conflict, global equities contributed to overall performance supported by resilient economic data and easing investor fears. • The Absolute Returns Component (The State Street Flexible Asset Allocation Fund) , which dynamically adjusts exposures based on anticipated market conditions, was another important contributor. DM equities, EM equities, and corporate bonds drove performance. • Global High Yield Bonds contributed positively, supported by widening credit spreads.
STATE STREET ICAV Annual Report and Audited Financial Statements for the financial year ended 31 October 2025
Investment Manager’s Report (continued)
STATE STREET ICAV 15
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State Street ICAV - Euro Timewise Funds (continued)
State Street Timewise 2060 Fund
During the Reporting Period, the Sub-Fund returned 14.42% on a gross of fees basis. Risky assets rallied during the Reporting Period as inflation showed signs of easing in many regions. All the underlying funds contributed positively to total performance.
The top positive contributors to the Sub-Funds’ total performance during the Reporting Period were:
• DM Equities as well as EM equities were the primary contributors despite the headwinds caused by the U.S. Elections, tariff tension and Middle East conflict, global equities contributed to overall performance supported by resilient economic data and easing investor fears. • The Absolute Returns Component (The State Street Flexible Asset Allocation Fund) , which dynamically adjusts exposures based on anticipated market conditions, was another important contributor. DM equities, EM equities, and corporate bonds drove performance. • Global High Yield Bonds contributed positively, supported by widening credit spreads.
Asset Allocation (Volatility Management) Managing volatility is particularly important during a downturn. Episodes such as 2008 financial crisis reinforced the need for glide path designs and asset allocation strategies that effectively balance wealth preservation and wage replacement potential as members approach retirement. In order to manage risk within the Glidepath the Funds deploy target volatility trigger strategies, and also invests in the State Street Flexible Asset Allocation Plus Fund, which dynamically adjusts exposures based on anticipated market conditions - guided by our proprietary Market Regime Indicator (the “MRI”), a quantitative framework that attempts to identify the current market risk environment based on forwardlooking market indicators.
The absolute returns component (The State Street Flexible Asset Allocation Fund), which dynamically adjusts exposures based on anticipated market conditions, returned 9.16% for the Reporting Period. The Fund entered the Reporting Period with approximately 64% in risky assets, reflecting the team’s cautious stance on the back of concerns about geopolitical uncertainty. The Fund re-risked at the beginning of the Reporting Period and maintained a risk on stance until beginning of February, driven by favourable MRI readings, which remained in a Normal regime for most of the Reporting Period. The Fund was significantly de-risked between March and April as the MRI oscillated between High-Risk and Crisis regimes, driven by the prospect of increased tariffs raised inflation expectations, and reducing the likelihood of Fed rate cuts. The Fund had lowest exposure to risky asset in April following Liberation Day, as markets reacted to the potential implementation of trade tariffs. The risky assets exposure was reduced from 72.50% in February to 32.50% by April end. In May, risk assets rallied after the U.S. administration announced a 90-day exemption from tariffs, and trade negotiations with China showed progress, and the Fund was gradually re-risked from May to mid of September. Risky assets exposure in the Fund ranged from 32.50% to 88.00% during the Reporting Period. In the second half of October, the fund was modestly de-risked and closed the Reporting Period with about 83.50% exposure to risky assets.
STATE STREET ICAV Annual Report and Audited Financial Statements for the financial year ended 31 October 2025
Investment Manager’s Report (continued)
16 STATE STREET ICAV
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Report of the Depositary to the Shareholders We have enquired into the conduct of State Street ICAV for the financial year ended 31 October 2025, in our capacity as Depositary to the ICAV.
This report including the opinion has been prepared for and solely for the shareholders in the ICAV as a body, in accordance with Regulation 34, (1), (3) and (4) in Part 5 of the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011, as amended, (the ! UCITS Regulations ! ), and for no other purpose. We do not, in giving this opinion, accept or assume responsibility for any other purpose or to any other person to whom this report is shown.
Responsibilities of the Depositary Our duties and responsibilities are outlined in Regulation 34, (1), (3) and (4) in Part 5 of the UCITS Regulations. One of those duties is to enquire into the conduct of the ICAV in each annual accounting period and report thereon to the shareholders.
Our report shall state whether, in our opinion, the ICAV has been managed in that period in accordance with the provisions of the ICAV’s Instrument of Incorporation and the UCITS Regulations. It is the overall responsibility of the ICAV to comply with these provisions. If the ICAV has not so complied, we as Depositary must state why this is the case and outline the steps which we have taken to rectify the situation.
Basis of Depositary Opinion The Depositary conducts such reviews as it, in its reasonable opinion, considers necessary in order to comply with its duties as outlined in Regulation 34, (1), (3) and (4) in Part 5 of the UCITS Regulations and to ensure that, in all material respects, the ICAV has been managed (i) in accordance with the limitations imposed on its investment and borrowing powers by the provisions of the ICAV’s Instrument of Incorporation and the UCITS Regulations and (ii) otherwise in accordance with the ICAV’s constitutional documentation and the appropriate regulations.
Opinion In our opinion, the ICAV has been managed during the year, in all material respects: (i) in accordance with the limitations imposed on the investment and borrowing powers of the ICAV by the Instrument of Incorporation, the UCITS Regulations and the Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective Investment in Transferable Securities) Regulations 2019 (‘the Central Bank UCITS Regulations’); and (ii) otherwise in accordance with the provisions of the Instrument of Incorporation, the UCITS Regulations and the Central Bank UCITS Regulations.
State Street Custodial Services (Ireland) Limited 78 Sir John Rogerson’s Quay Dublin D02 HD32 Ireland
Date: 25 February 2026
STATE STREET ICAV Annual Report and Audited Financial Statements for the financial year ended 31 October 2025
Depositary’s Report
STATE STREET ICAV 17
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Independent auditors’ report to the shareholders of the Sub -F -Funds of State Street ICAV Report on the audit of the financial statements
Opinion In our opinion, State Street ICAV’s financial statements:
• give a true and fair view of the Sub - Funds’ assets, liabilities and financial position as at 31 October 2025 and of their results and cash flows for the year then ended;
• have been properly prepared in accordance with International Financial Reporting Standards (“IFRSs”) as adopted by the European Union; and
• have been properly prepared in accordance with the requirements of the Irish Collective Asset - management Vehicles Act 2015 and the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011 (as amended). We have audited the financial statements, included within the Annual Report and Audited Financial Statements, which comprise:
• the Statement of Financial Position as at 31 October 2025;
• the Statement of Comprehensive Income for the year then ended;
• the Statement of Cash Flows for the year then ended;
• the Statement of Changes in Equity/ Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Shares for the year then ended;
• the Schedule of Investments for each of the Sub - Funds as at 31 October 2025; and
• the notes to the financial statements for each of the Sub - Funds, which include a description of the accounting policies.
Basis for opinion We conducted our audit in accordance with International Standards on Auditing (Ireland) (“ISAs (Ireland)”) and applicable law. Our responsibilities under ISAs (Ireland) are further described in the Auditors’ responsibilities for the audit of the financial statements section of our report. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion. Independence
We remained independent of the ICAV in accordance with the ethical requirements that are relevant to our audit of the financial statements in Ireland, which includes IAASA’s Ethical Standard, and we have fulfilled our other ethical responsibilities in 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 Sub - Funds’ 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 directors’ use of the going concern basis of accounting in the preparation of the financial statements is appropriate. However, because not all future events or conditions can be predicted, this conclusion is not a guarantee as to the Sub - Funds’ ability to continue as a going concern. Our responsibilities and the responsibilities of the directors with respect to going concern are described in the relevant sections of this report.
Reporting on other information
The other information comprises all of the information in the Annual Report and Audited Financial Statements other than the financial statements and our auditors’ report thereon. The directors are responsible for the other information. Our opinion on the financial statements does not 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. In connection with our audit of the financial statements, our responsibility is to read the other information and, in doing so, consider
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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. Based on the responsibilities described above and our work undertaken in the course of the audit, the Irish Collective Asset - management Vehicles Act 2015 requires us to also report the opinion as described below:
• In our opinion, based on the work undertaken in the course of the audit, the information given in the Directors’ Report for the year ended 31 October 2025 is consistent with the financial statements.
Responsibilities for the financial statements and the audit Responsibilities of the directors for the financial statements
As explained more fully in the Statement of Directors’ Responsibilities set out on page 6 , the directors are responsible for the preparation of the financial statements in accordance with the applicable framework and for being satisfied that they give a true and fair view. The directors are 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 directors are responsible for assessing the Sub - Funds’ ability to continue as going concerns, disclosing as applicable, matters related to going concern and using the going concern basis of accounting unless the directors either intend to liquidate the ICAV or to cease operations, or have no realistic alternative but to do s o. Auditors’ responsibilities for the audit of the financial statements
Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditors’ report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with ISAs (Ireland) will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements. Our audit testing might include testing complete populations of certain transactions and balances, possibly using data auditing techniques. However, it typically involves selecting a limited number of items for testing, rather than testing complete populations. We will often seek to target particular items for testing based on their size or risk characteristics. In other cases, we will use audit sampling to enable us to draw a conclusion about the population from which the sample is selected. A further description of our responsibilities for the audit of the financial statements is located on the IAASA website at: https://www.iaasa.ie/getmedia/b2389013 - 1cf6 - 458b - 9b8f- f- a98202dc9c3a/Description_of_auditors_responsibilities_for _audit.pdf. f. 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 shareholders of each of the Sub - Funds as a body in accordance with section 120 of the Irish Collective Asset - management Vehicles Act 2015 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
Irish Collective Asset - management Vehicles Act 2015 exception reporting Directors’ remuneration
Under the Irish Collective Asset - management Vehicles Act 2015 we are required to report to you if, in our opinion, the disclosures of directors’ remuneration specified by section 117 of that Act have not been made. We have no exceptions to report arising from this responsibility.
PricewaterhouseCoopers Chartered Accountants and Statutory Audit Firm Dublin 25 February 20 2 6
Page 21
State Street Emerging Markets ESG Screened Local Currency Government Bond Index Fund
State Street Emerging Markets ESG Screened Hard Currency Government Bond Index Fund State Street Global Alternative Beta Fund State Street Global Equity Diversified Index Fund* Note USD USD USD USD Interest income from financial assets at fair value 49,943,343 61,381,588 5,795,405 2,581 Dividend income from financial assets at fair value - - 835,845 2,974,575 Realised gain/(loss) on investments and derivatives 766,694 (2,050,715) 7,335,071 2,639,816 Realised (loss)/gain on foreign exchange (1,473,419) 4,915,090 96,461 (726,529) Movement in unrealised gain/(loss) on investments and derivatives 60,272,904 44,497,356 2,602,486 63,055,126 Movement in unrealised gain/(loss) on foreign exchange 293,552 2,259,006 3,378,460 (6,523,393)
Miscellaneous income
246 6,928 64 579
Expense rebates
- - 2,736 -
Total net gain
109,803,320 111,009,253 20,046,528 61,422,755
Management fees
6 (398,682) (433,941) (561,719) -
Miscellaneous fees
(9,685) (19,229) (9,461) (4,070)
Operating fees
(373,110) (282,647) (200,170) (162,575)
Finance Costs Interest expense
- - - (45,670) Distributions to equity holders/holders of redeemable participating shares - - - (333,960)
Profit for the financial year before tax
109,021,843 110,273,436 19,275,178 60,876,480
Capital gains tax
4 (2,710,455) - - (7,549)
Withholding tax
4 (1,410,155) (64,936) - (600,924)
Increase in net assets attributable to equity holders/holders of redeemable
participating shares
104,901,233 110,208,500 19,275,178 60,268,007
* The Sub-Fund launched on 4 June 2025, therefore there are no comparatives.
All activities arose from continuing operations. There are no other gains and losses other than those noted above.
The accompanying notes form an integral part of these financial statements.
STATE STREET ICAV
Annual Report and Audited Financial Statements
for the financial year ended 31 October 2025
Statement of Comprehensive Income for the financial year ended 31 October 2025
20 STATE STREET ICAV
Page 22
State Street World Quality Equity Index Fund**
State Street Timewise 2025 Fund^ State Street Timewise 2030 Fund^ State Street Timewise 2035 Fund^ Note USD EUR EUR EUR Interest income from financial assets at fair value - 187 2,115 5,728 Dividend income from financial assets at fair value 13,103 - 1,516 - Realised (loss)/gain on investments and derivatives (81) 434,617 1,974,770 7,416,741
Realised gain/(loss) on foreign exchange
2 (21,265) (140,388) (465,389) Movement in unrealised gain/(loss) on investments and derivatives 314,852 107,090 1,004,339 2,943,783 Movement in unrealised gain/(loss) on foreign exchange (151) (7) (88) 147
Miscellaneous income
- 4 49 176
Expense rebates
- 8,469 44,667 121,940
Total net gain
327,725 529,095 2,886,980 10,023,126
Management fees
6 - (27,331) (117,890) (342,198)
Miscellaneous fees
- (1) (13) (54)
Operating fees
(3,439) - - -
Profit for the financial year before tax
324,286 501,763 2,769,077 9,680,874
Withholding tax
4 (2,763) - - -
Increase in net assets attributable to equity holders/holders of redeemable
participating shares
321,523 501,763 2,769,077 9,680,874
** The Sub-Fund launched on 5 August 2025, therefore there are no comparatives.
^ The shares in these Sub-Funds are classified as equity under FRS 102. Issued shares do not have any initial par value, therefore there is no share capit al/premium split in the statement above.
Please see Note 2(j).
All activities arose from continuing operations. There are no other gains and losses other than those noted above.
The accompanying notes form an integral part of these financial statements.
STATE STREET ICAV
Annual Report and Audited Financial Statements
for the financial year ended 31 October 2025
Statement of Comprehensive Income for the financial year ended 31 October 2025 (continued)
STATE STREET ICAV 21
Page 23
State Street Timewise 2040 Fund^
State Street Timewise 2045 Fund^ State Street Timewise 2050 Fund^ State Street Timewise 2055 Fund^ Note EUR EUR EUR EUR Interest income from financial assets at fair value 8,562 5,519 3,358 1,247 Dividend income from financial assets at fair value 5,168 227,453 142,656 56,009 Realised gain on investments and derivatives 11,645,589 10,355,950 5,702,928 2,005,682
Realised loss on foreign exchange
(810,511) (783,909) (512,689) (236,239) Movement in unrealised gain/(loss) on investments and derivatives 8,070,887 11,184,392 7,365,330 3,208,050 Movement in unrealised gain/(loss) on foreign exchange 710 998 (495) (152)
Miscellaneous income
160 127 61 51
Expense rebates
200,687 222,607 135,189 52,376
Total net gain
19,121,252 21,213,137 12,836,338 5,087,024
Management fees
6 (544,738) (537,801) (326,495) (126,506)
Miscellaneous fees
(66) (24) (23) (19)
Profit for the financial year before tax
18,576,448 20,675,312 12,509,820 4,960,499
Increase in net assets attributable to equity holders/holders of redeemable
participating shares
18,576,448 20,675,312 12,509,820 4,960,499 ^ The shares in these Sub-Funds are classified as equity under FRS 102. Issued shares do not have any initial par value, therefore there is no share capit al/premium split in the statement above.
Please see Note 2(j).
All activities arose from continuing operations. There are no other gains and losses other than those noted above.
The accompanying notes form an integral part of these financial statements.
STATE STREET ICAV
Annual Report and Audited Financial Statements
for the financial year ended 31 October 2025
Statement of Comprehensive Income for the financial year ended 31 October 2025 (continued)
22 STATE STREET ICAV
Page 24
State Street Timewise 2060 Fund^ Note EUR
Interest income from financial assets at fair value
704
Dividend income from financial assets at fair value
30,010
Realised gain on investments and derivatives
1,046,387
Realised loss on foreign exchange
(135,338)
Movement in unrealised gain/(loss) on investments and derivatives
1,807,597
Movement in unrealised gain/(loss) on foreign exchange
92
Miscellaneous income
44
Expense rebates
27,708
Total net gain
2,777,204
Management fees
(66,964)
Miscellaneous fees
(11)
Profit for the financial year before tax
2,710,229
Increase in net assets attributable to equity holders/holders of redeemable participating shares
2,710,229 ^ The shares in these Sub-Funds are classified as equity under FRS 102. Issued shares do not have any initial par value, therefore there is no share capit al/premium split in the statement above.
Please see Note 2(j).
All activities arose from continuing operations. There are no other gains and losses other than those noted above.
The accompanying notes form an integral part of these financial statements.
STATE STREET ICAV
Annual Report and Audited Financial Statements
for the financial year ended 31 October 2025
Statement of Comprehensive Income for the financial year ended 31 October 2025 (continued)
STATE STREET ICAV 23
Page 25
State Street Emerging Markets Screened Index Equity Fund^*
State Street Emerging Markets ESG Screened Local Currency Government Bond Index Fund State Street Emerging Markets ESG Screened Hard Currency Government Bond Index Fund State Street Global Alternative Beta Fund** Note USD USD USD USD Interest income from financial assets at fair value 798 36,336,157 43,286,979 583,821 Dividend income from financial assets at fair value 2,070,037 - - - Realised gain on investments and derivatives 18,379,276 954,557 430,554 126,083 Realised (loss)/gain on foreign exchange (2,793,871) (2,581,415) 7,479,973 1,197,574 Movement in unrealised gain/(loss) on investments and derivatives 1,399,773 4,223,092 38,652,709 (951,864) Movement in unrealised gain/(loss) on foreign exchange 6,096 (88,888) (6,050,448) (6,352,812)
Miscellaneous income
- 667 513 -
Expense rebates
155,851 - - 95,104
Total net (loss)/gain
19,217,960 38,844,170 83,800,280 (5,302,094)
Management fees
(143,117) (264,526) (313,375) (54,343)
Miscellaneous fees
(91,378) (641) (1,110) (262)
Operating fees
(198,546) (314,508) (265,563) (116,197)
Finance Costs Interest expense
(270) (511) - -
Profit/(loss) for the financial year before tax
18,784,649 38,263,984 83,220,232 (5,472,896)
Capital gains tax
4 (948,558) - - -
Withholding tax
4 (245,109) (889,475) (17,420) -
Increase/(Decrease) in net assets attributable to equity holders/holders
of redeemable participating shares
17,590,982 37,374,509 83,202,812 (5,472,896)
* The Sub-Fund terminated on 8 October 2024.
** The Sub-Fund launched on 11 September 2024.
^ The shares in these Sub-Funds are classified as equity under FRS 102. Issued shares do not have any initial par value, therefore there is no share capit al/premium split in the statement above.
Please see Note 2(j).
All activities arose from continuing operations, with the exception of State Street Emerging Markets Screened Index Equity Fund which terminated du ring the financial year ended 31 October 2024.
There are no other gains and losses other than those noted above.
The accompanying notes form an integral part of these financial statements.
STATE STREET ICAV
Annual Report and Audited Financial Statements
for the financial year ended 31 October 2024
Statement of Comprehensive Income for the financial year ended 31 October 2024
24 STATE STREET ICAV
Page 26
State Street Timewise 2025 Fund^
State Street Timewise 2030 Fund^ State Street Timewise 2035 Fund^ State Street Timewise 2040 Fund^ Note EUR EUR EUR EUR Interest income from financial assets at fair value 301 1,834 4,720 8,606 Dividend income from financial assets at fair value - - - 40,062 Realised gain on investments and derivatives 357,078 1,070,423 4,100,086 6,326,962 Realised gain/(loss) on foreign exchange 6,635 (22,407) (128,322) (283,532) Movement in unrealised gain/(loss) on investments and derivatives 836,581 4,311,336 14,224,572 23,830,808 Movement in unrealised gain/(loss) on foreign exchange 44 184 (81) (314)
Miscellaneous income
- 15 116 293
Expense rebates
10,035 41,851 115,414 178,609
Total net gain
1,210,674 5,403,236 18,316,505 30,101,494
Management fees
6 (29,402) (107,869) (317,519) (480,224)
Miscellaneous fees
(3) (18) (86) (183)
Profit for the financial year before tax
1,181,269 5,295,349 17,998,900 29,621,087
Increase in net assets attributable to equity holders/holders of redeemable
participating shares
1,181,269 5,295,349 17,998,900 29,621,087 ^ The shares in these Sub-Funds are classified as equity under FRS 102. Issued shares do not have any initial par value, therefore there is no share capit al/premium split in the statement above.
Please see Note 2(j).
All activities arose from continuing operations. There are no other gains and losses other than those noted above.
The accompanying notes form an integral part of these financial statements.
STATE STREET ICAV
Annual Report and Audited Financial Statements
for the financial year ended 31 October 2024
Statement of Comprehensive Income for the financial year ended 31 October 2024 (continued)
STATE STREET ICAV 25
Page 27
State Street Timewise 2045 Fund^
State Street Timewise 2050 Fund^ State Street Timewise 2055 Fund^ State Street Timewise 2060 Fund^ Note EUR EUR EUR EUR Interest income from financial assets at fair value 7,729 1,908 1,703 1,006 Dividend income from financial assets at fair value 193,924 114,851 41,140 19,751 Realised gain on investments and derivatives 5,261,095 2,577,950 785,967 345,305
Realised loss on foreign exchange
(320,016) (129,023) (23,773) (9,433) Movement in unrealised gain/(loss) on investments and derivatives 23,972,806 14,351,618 5,066,317 2,321,914 Movement in unrealised gain/(loss) on foreign exchange (579) 614 326 (14)
Miscellaneous income
8,886 - 4,504 83
Expense rebates
185,402 108,870 38,411 18,013
Total net gain
29,309,247 17,026,788 5,914,595 2,696,625
Management fees
(461,250) (270,675) (95,502) (44,795)
Miscellaneous fees
(180) (39,197) (94) (74)
Profit for the financial year before tax
28,847,817 16,716,916 5,818,999 2,651,756
Increase in net assets attributable to equity holders/holders of redeemable
participating shares
28,847,817 16,716,916 5,818,999 2,651,756 ^ The shares in these Sub-Funds are classified as equity under FRS 102. Issued shares do not have any initial par value, therefore there is no share capit al/premium split in the statement above.
Please see Note 2(j).
All activities arose from continuing operations. There are no other gains and losses other than those noted above.
The accompanying notes form an integral part of these financial statements.
STATE STREET ICAV
Annual Report and Audited Financial Statements
for the financial year ended 31 October 2024
Statement of Comprehensive Income for the financial year ended 31 October 2024 (continued)
26 STATE STREET ICAV
Page 28
State Street Emerging Markets ESG Screened Local Currency Government Bond Index Fund
State Street Emerging Markets ESG Screened Hard Currency Government Bond Index Fund State Street Global Alternative Beta Fund State Street Global Equity Diversified Index Fund* Note USD USD USD USD
Assets
Financial assets at fair value through profit or loss: 2(d)
Bonds
870,414,519 1,120,434,319 9,857,272 -
Short Terms
- - 209,895,013 -
Equities
- - - 655,806,246
Collective investment schemes
- - 17,555,434 -
Forward Foreign Currency Exchange Contracts
2,148 1,686,302 1,480,280 553,354
Futures Contracts
- - 1,472,815 196,818
Cash and cash equivalents
2(g) 6,592,333 207,625 8,539,285 13,531,335
Cash held with broker
- 106,907 1,929,245 610,060
Receivable for fund shares sold
- - - 65,805,105
Receivable for investments sold
829,078 55,830,047 - -
Interest receivable
13,782,466 15,706,264 6,177 -
Dividends receivable
1,778 - - 449,246
Other receivables
21,828 20,302 119,653 25,928
Total Assets
891,644,150 1,193,991,766 250,855,174 736,978,092
Liabilities (excluding net assets attributable to holders of redeemable participating shares)
Forward Foreign Currency Exchange Contracts
- (5,001,610) (4,454,633) (7,061,428)
Futures Contracts
- (33,094) - (10,055)
Bank overdraft
2(g) - - - (2,185,393)
Cash due to broker
- - - (18,106)
Payable for investments purchased
(1,988,201) (59,678,641) (4,949,656) (60,608,484)
Payable for fund shares repurchased
- - - (23,570)
Interest payable
- - - (43,416)
Accrued expenses
2(i) (342,459) (300,731) (350,418) (192,057)
Capital gains tax accrual
(1,384,854) - - (5,793)
Total Liabilities
(3,715,514) (65,014,076) (9,754,707) (70,148,302)
Net assets attributable to equity holders/holders of redeemable participating shares
887,928,636 1,128,977,690 241,100,467 666,829,790
* The Sub-Fund launched on 4 June 2025, therefore there are no comparatives. The accompanying notes form an integral part of these financial statements.
Signed on behalf of the Board of Directors
Barbara Healy:
Eric Linanne:
Date: 25 February 2026
STATE STREET ICAV
Annual Report and Audited Financial Statements
for the financial year ended 31 October 2025
Statement of Financial Position as at 31 October 2025
STATE STREET ICAV 27
Page 29
State Street World Quality Equity Index Fund ** State Street Timewise 2025 Fund^ State Street Timewise 2030 Fund^ State Street Timewise 2035 Fund^ Note USD EUR EUR EUR
Assets
Financial assets at fair value through profit or loss: 2(d)
Equities
5,037,313 - - -
Collective investment schemes
- 7,954,299 37,085,464 103,209,012
Cash and cash equivalents
2(g) 15,748 5,435 43,012 117,567
Receivable for fund shares sold
- - - 211,653
Dividends receivable
2,793 - - -
Other receivables
27,669 - - -
Total Assets
5,083,523 7,959,734 37,128,476 103,538,232
Liabilities (excluding net assets attributable to holders of redeemable participating shares)
Payable for investments purchased
- - - (210,517)
Accrued expenses
2(i) (31,108) (9,577) (37,955) (112,559)
Total Liabilities
(31,108) (9,577) (37,955) (323,076)
Net assets attributable to equity holders/holders of redeemable participating shares
5,052,415 7,950,157 37,090,521 103,215,156
** The Sub-Fund launched on 5 August 2025, therefore there are no comparatives.
^ The shares in these Sub-Funds are classified as equity under FRS 102. Issued shares do not have any initial par value, therefore there is no share capit al/premium split in the statement above.
Please see Note 2(j).
The accompanying notes form an integral part of these financial statements.
Signed on behalf of the Board of Directors
Barbara Healy:
Eric Linanne:
Date: 25 February 2026
STATE STREET ICAV
Annual Report and Audited Financial Statements
for the financial year ended 31 October 2025
Statement of Financial Position as at 31 October 2025 (continued)
28 STATE STREET ICAV
Page 30
State Street Timewise 2040 Fund^ State Street Timewise 2045 Fund^ State Street Timewise 2050 Fund^ State Street Timewise 2055 Fund^ Note EUR EUR EUR EUR
Assets
Financial assets at fair value through profit or loss: 2(d)
Collective investment schemes
169,916,941 170,788,091 104,785,524 42,171,865
Cash and cash equivalents
2(g) 171,733 156,657 86,485 38,143
Receivable for fund shares sold
- 30,931 15,000 -
Total Assets
170,088,674 170,975,679 104,887,009 42,210,008
Liabilities (excluding net assets attributable to holders of redeemable participating shares)
Payable for investments purchased
- (30,821) (14,929) -
Payable for fund shares repurchased
- - - (629)
Accrued expenses
2(i) (177,642) (162,972) (99,309) (39,395)
Total Liabilities
(177,642) (193,793) (114,238) (40,024)
Net assets attributable to equity holders/holders of redeemable participating shares
169,911,032 170,781,886 104,772,771 42,169,984 ^ The shares in these Sub-Funds are classified as equity under FRS 102. Issued shares do not have any initial par value, therefore there is no share capit al/premium split in the statement above.
Please see Note 2(j).
The accompanying notes form an integral part of these financial statements.
Signed on behalf of the Board of Directors
Barbara Healy:
Eric Linanne:
Date: 25 February 2026
STATE STREET ICAV
Annual Report and Audited Financial Statements
for the financial year ended 31 October 2025
Statement of Financial Position as at 31 October 2025 (continued)
STATE STREET ICAV 29
Page 31
State Street Timewise 2060 Fund^ Note EUR
Assets
Financial assets at fair value through profit or loss:
2(d)
Collective investment schemes
23,571,552
Cash and cash equivalents
2(g) 20,503
Receivable for investments sold
8,305
Total Assets
23,600,360
Liabilities (excluding net assets attributable to holders of redeemable participating shares)
Payable for fund shares repurchased
(8,356)
Accrued expenses
2(i) (21,536)
Total Liabilities
(29,892)
Net assets attributable to equity holders/holders of redeemable participating shares
23,570,468 ^ The shares in these Sub-Funds are classified as equity under FRS 102. Issued shares do not have any initial par value, therefore there is no share capit al/premium split in the statement above.
Please see Note 2(j).
The accompanying notes form an integral part of these financial statements.
Signed on behalf of the Board of Directors
Barbara Healy:
Eric Linanne:
Date: 25 February 2026
STATE STREET ICAV
Annual Report and Audited Financial Statements
for the financial year ended 31 October 2025
Statement of Financial Position as at 31 October 2025 (continued)
30 STATE STREET ICAV
Page 32
State Street Emerging Markets Screened Index Equity Fund^*
State Street Emerging Markets ESG Screened Local Currency Government Bond Index Fund State Street Emerging Markets ESG Screened Hard Currency Government Bond Index Fund State Street Global Alternative Beta Fund** Note USD USD USD USD
Assets
Financial assets at fair value through profit or loss: 2(d)
Bonds
- 556,216,875 784,645,367 20,447,298
Short Terms
- - - 141,184,529
Collective investment schemes
- - - 14,021,388
Forward Foreign Currency Exchange Contracts
- 125,018 579,478 1,851,173
Cash and cash equivalents
2(g) 1,088,253 2,655,237 517,253 15,879,262
Cash held with broker
- - 124,094 2,678,820
Receivable for fund shares sold
- - 41,800 -
Receivable for investments sold
- - 23,299,590 -
Interest receivable
- 8,572,750 10,355,461 25,937
Dividends receivable
53,852 4,768 - -
Other receivables
150,839 - 28 120,378
Total Assets
1,292,944 567,574,648 819,563,071 196,208,785
Liabilities (excluding net assets attributable to holders of redeemable participating shares)
Forward Foreign Currency Exchange Contracts
- (139,478) (6,154,580) (8,203,985)
Futures Contracts
- - (78,188) (960,614)
Payable for investments purchased
- - (23,457,110) (16,553,874)
Payable for fund shares repurchased
- - (34,845) -
Payable to Shareholders
(888,018) - - -
Accrued expenses
2(i) (396,635) (501,226) (439,486) (196,076)
Capital gains tax accrual
(8,291) - - -
Total Liabilities
(1,292,944) (640,704) (30,164,209) (25,914,549)
Net assets attributable to equity holders/holders of redeemable participating shares
- 566,933,944 789,398,862 170,294,236
* The Sub-Fund terminated on 8 October 2024.
** The Sub-Fund launched on 11 September 2024.
^ The shares in these Sub-Funds are classified as equity under FRS 102. Issued shares do not have any initial par value, therefore there is no share capit al/premium split in the statement above.
Please see Note 2(j).
The accompanying notes form an integral part of these financial statements.
STATE STREET ICAV
Annual Report and Audited Financial Statements
for the financial year ended 31 October 2024
Statement of Financial Position as at 31 October 2024
STATE STREET ICAV 31
Page 33
State Street Timewise 2025 Fund^ State Street Timewise 2030 Fund^ State Street Timewise 2035 Fund^ State Street Timewise 2040 Fund^ Note EUR EUR EUR EUR
Assets
Financial assets at fair value through profit or loss: 2(d)
Collective investment schemes
7,687,339 31,827,027 95,282,915 147,793,536
Cash and cash equivalents
2(g) 5,866 29,184 75,374 104,822
Receivable for investments sold
106,262 - - -
Total Assets
7,799,467 31,856,211 95,358,289 147,898,358
Liabilities (excluding net assets attributable to holders of redeemable participating shares)
Payable for fund shares repurchased
(127,910) - - -
Accrued expenses
2(i) (3,059) (11,145) (34,556) (52,919)
Total Liabilities
(130,969) (11,145) (34,556) (52,919)
Net assets attributable to equity holders/holders of redeemable participating shares
7,668,498 31,845,066 95,323,733 147,845,439 ^ The shares in these Sub-Funds are classified as equity under FRS 102. Issued shares do not have any initial par value, therefore there is no share capit al/premium split in the statement above.
Please see Note 2(j).
The accompanying notes form an integral part of these financial statements.
STATE STREET ICAV
Annual Report and Audited Financial Statements
for the financial year ended 31 October 2024
Statement of Financial Position as at 31 October 2024 (continued)
32 STATE STREET ICAV
Page 34
State Street Timewise 2045 Fund^ State Street Timewise 2050 Fund^ State Street Timewise 2055 Fund^ State Street Timewise 2060 Fund^ Note EUR EUR EUR EUR
Assets
Financial assets at fair value through profit or loss: 2(d)
Collective investment schemes
143,654,369 86,171,666 31,688,895 15,723,679
Cash and cash equivalents
2(g) 104,195 43,011 21,956 11,063
Total Assets
143,758,564 86,214,677 31,710,851 15,734,742
Liabilities (excluding net assets attributable to holders of redeemable participating shares)
Accrued expenses
2(i) (48,834) (29,169) (10,686) (5,255)
Total Liabilities
(48,834) (29,169) (10,686) (5,255)
Net assets attributable to equity holders/holders of redeemable participating shares
143,709,730 86,185,508 31,700,165 15,729,487 ^ The shares in these Sub-Funds are classified as equity under FRS 102. Issued shares do not have any initial par value, therefore there is no share capit al/premium split in the statement above.
Please see Note 2(j).
The accompanying notes form an integral part of these financial statements.
STATE STREET ICAV
Annual Report and Audited Financial Statements
for the financial year ended 31 October 2024
Statement of Financial Position as at 31 October 2024 (continued)
STATE STREET ICAV 33
Page 35
State Street Emerging Markets ESG Screened Local Currency Government Bond Index Fund
State Street Emerging Markets ESG Screened Hard Currency Government Bond Index Fund State Street Global Alternative Beta Fund State Street Global Equity Diversified Index Fund* USD USD USD USD
Net assets attributable to equity holders/holders of redeemable participating shares
at the beginning of the financial year
566,933,944 789,398,862 170,294,236 - Proceeds from equity shares/redeemable participating shares issued 266,794,444 301,413,316 82,244,606 668,092,271 Payments for redemption of equity shares/redeemable participating shares (50,700,985) (72,042,988) (30,713,553) (61,530,488)
Net increase from share transactions
216,093,459 229,370,328 51,531,053 606,561,783
Increase in net assets attributable to equity holders/holders of redeemable participating
shares
104,901,233 110,208,500 19,275,178 60,268,007
Net assets attributable to equity holders/holders of redeemable participating shares
at the end of the financial year
887,928,636 1,128,977,690 241,100,467 666,829,790
* The Sub-Fund launched on 4 June 2025, therefore there are no comparatives.
All activities arose from continuing operations. There are no other gains and losses other than those noted above.
The accompanying notes form an integral part of these financial statements.
STATE STREET ICAV
Annual Report and Audited Financial Statements
for the financial year ended 31 October 2025
Statement of Changes in Equity/Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Shares for the financial year ended 31 October 2025
34 STATE STREET ICAV
Page 36
State Street World Quality Equity Index Fund**
State Street Timewise 2025 Fund^ State Street Timewise 2030 Fund^ State Street Timewise 2035 Fund^ USD EUR EUR EUR
Net assets attributable to equity holders/holders of redeemable participating shares
at the beginning of the financial year
- 7,668,498 31,845,066 95,323,733 Proceeds from equity shares/redeemable participating shares issued 4,730,892 876,523 4,702,653 6,268,160 Payments for redemption of equity shares/redeemable participating shares - (1,096,627) (2,226,275) (8,057,611)
Net increase/(decrease) from share transactions
4,730,892 (220,104) 2,476,378 (1,789,451)
Increase in net assets attributable to equity holders/holders of redeemable participating
shares
321,523 501,763 2,769,077 9,680,874
Net assets attributable to equity holders/holders of redeemable participating shares
at the end of the financial year
5,052,415 7,950,157 37,090,521 103,215,156
** The Sub-Fund launched on 5 August 2025, therefore there are no comparatives.
^ The shares in these Sub-Funds are classified as equity under FRS 102. Issued shares do not have any initial par value, therefore there is no share capit al/premium split in the statement above.
Please see Note 2(j).
All activities arose from continuing operations. There are no other gains and losses other than those noted above.
The accompanying notes form an integral part of these financial statements.
STATE STREET ICAV
Annual Report and Audited Financial Statements
for the financial year ended 31 October 2025
Statement of Changes in Equity/Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Shares for the financial year ended 31 October 2025
(continued)
STATE STREET ICAV 35
Page 37
State Street Timewise 2040 Fund^
State Street Timewise 2045 Fund^ State Street Timewise 2050 Fund^ State Street Timewise 2055 Fund^ EUR EUR EUR EUR
Net assets attributable to equity holders/holders of redeemable participating shares
at the beginning of the financial year
147,845,439 143,709,730 86,185,508 31,700,165 Proceeds from equity shares/redeemable participating shares issued 8,383,188 9,623,351 9,263,918 6,632,468 Payments for redemption of equity shares/redeemable participating shares (4,894,043) (3,226,507) (3,186,475) (1,123,148)
Net increase from share transactions
3,489,145 6,396,844 6,077,443 5,509,320
Increase in net assets attributable to equity holders/holders of redeemable participating
shares
18,576,448 20,675,312 12,509,820 4,960,499
Net assets attributable to equity holders/holders of redeemable participating shares
at the end of the financial year
169,911,032 170,781,886 104,772,771 42,169,984 ^ The shares in these Sub-Funds are classified as equity under FRS 102. Issued shares do not have any initial par value, therefore there is no share capit al/premium split in the statement above.
Please see Note 2(j).
All activities arose from continuing operations. There are no other gains and losses other than those noted above.
The accompanying notes form an integral part of these financial statements.
STATE STREET ICAV
Annual Report and Audited Financial Statements
for the financial year ended 31 October 2025
Statement of Changes in Equity/Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Shares for the financial year ended 31 October 2025
(continued)
36 STATE STREET ICAV
Page 38
State Street Timewise 2060 Fund^ EUR
Net assets attributable to equity holders/holders of redeemable participating shares at the beginning of the financial year
15,729,487
Proceeds from equity shares/redeemable participating shares issued
6,154,114
Payments for redemption of equity shares/redeemable participating shares
(1,023,362)
Net increase from share transactions
5,130,752
Increase in net assets attributable to equity holders/holders of redeemable participating shares
2,710,229
Net assets attributable to equity holders/holders of redeemable participating shares at the end of the financial year
23,570,468 ^ The shares in these Sub-Funds are classified as equity under FRS 102. Issued shares do not have any initial par value, therefore there is no share capit al/premium split in the statement above.
Please see Note 2(j).
All activities arose from continuing operations. There are no other gains and losses other than those noted above.
The accompanying notes form an integral part of these financial statements.
STATE STREET ICAV
Annual Report and Audited Financial Statements
for the financial year ended 31 October 2025
Statement of Changes in Equity/Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Shares for the financial year ended 31 October 2025
(continued)
STATE STREET ICAV 37
Page 39
State Street Emerging Markets Screened Index Equity Fund^*
State Street Emerging Markets ESG Screened Local Currency Government Bond Index Fund State Street Emerging Markets ESG Screened Hard Currency Government Bond Index Fund State Street Global Alternative Beta Fund** USD USD USD USD
Net assets attributable to equity holders/holders of redeemable participating shares
at the beginning of the financial year
63,537,537 394,068,883 475,160,033 - Proceeds from equity shares/redeemable participating shares issued - 138,730,147 259,599,046 175,928,483 Payments for redemption of equity shares/redeemable participating shares (81,128,519) (3,239,595) (28,563,029) (161,351)
Net (decrease)/increase from share transactions
(81,128,519) 135,490,552 231,036,017 175,767,132
Increase/(Decrease) in net assets attributable to equity holders/holders of redeemable
participating shares
17,590,982 37,374,509 83,202,812 (5,472,896)
Net assets attributable to equity holders/holders of redeemable participating shares
at the end of the financial year
- 566,933,944 789,398,862 170,294,236
* The Sub-Fund terminated on 8 October 2024.
** The Sub-Fund launched on 11 September 2024.
^ The shares in these Sub-Funds are classified as equity under FRS 102. Issued shares do not have any initial par value, therefore there is no share capit al/premium split in the statement above.
Please see Note 2(j).
The accompanying notes form an integral part of these financial statements.
STATE STREET ICAV
Annual Report and Audited Financial Statements
for the financial year ended 31 October 2024
Statement of Changes in Equity/Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Shares for the financial year ended 31 October 2024
38 STATE STREET ICAV
Page 40
State Street Timewise 2025 Fund^
State Street Timewise 2030 Fund^ State Street Timewise 2035 Fund^ State Street Timewise 2040 Fund^ EUR EUR EUR EUR
Net assets attributable to equity holders/holders of redeemable participating shares
at the beginning of the financial year
8,353,104 27,479,726 78,700,730 115,997,398 Proceeds from equity shares/redeemable participating shares issued 648,546 1,966,603 4,596,266 7,584,143 Payments for redemption of equity shares/redeemable participating shares (2,514,421) (2,896,612) (5,972,163) (5,357,189)
Net (decrease)/increase from share transactions
(1,865,875) (930,009) (1,375,897) 2,226,954
Increase in net assets attributable to equity holders/holders of redeemable participating
shares
1,181,269 5,295,349 17,998,900 29,621,087
Net assets attributable to equity holders/holders of redeemable participating shares
at the end of the financial year
7,668,498 31,845,066 95,323,733 147,845,439 ^ The shares in these Sub-Funds are classified as equity under FRS 102. Issued shares do not have any initial par value, therefore there is no share capit al/premium split in the statement above.
Please see Note 2(j).
The accompanying notes form an integral part of these financial statements.
STATE STREET ICAV
Annual Report and Audited Financial Statements
for the financial year ended 31 October 2024
Statement of Changes in Equity/Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Shares for the financial year ended 31 October 2024
(continued)
STATE STREET ICAV 39
Page 41
State Street Timewise 2045 Fund^
State Street Timewise 2050 Fund^ State Street Timewise 2055 Fund^ State Street Timewise 2060 Fund^ EUR EUR EUR EUR
Net assets attributable to equity holders/holders of redeemable participating shares
at the beginning of the financial year
108,746,798 62,203,676 20,802,064 8,843,518 Proceeds from equity shares/redeemable participating shares issued 8,905,408 8,583,830 5,627,851 4,608,560 Payments for redemption of equity shares/redeemable participating shares (2,790,293) (1,318,914) (548,749) (374,347)
Net increase from share transactions
6,115,115 7,264,916 5,079,102 4,234,213
Increase in net assets attributable to equity holders/holders of redeemable participating
shares
28,847,817 16,716,916 5,818,999 2,651,756
Net assets attributable to equity holders/holders of redeemable participating shares
at the end of the financial year
143,709,730 86,185,508 31,700,165 15,729,487 ^ The shares in these Sub-Funds are classified as equity under FRS 102. Issued shares do not have any initial par value, therefore there is no share capit al/premium split in the statement above.
Please see Note 2(j).
The accompanying notes form an integral part of these financial statements.
STATE STREET ICAV
Annual Report and Audited Financial Statements
for the financial year ended 31 October 2024
Statement of Changes in Equity/Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Shares for the financial year ended 31 October 2024
(continued)
40 STATE STREET ICAV
Page 42
State Street Emerging Markets ESG Screened Local Currency Government Bond Index Fund
State Street Emerging Markets ESG Screened Hard Currency Government Bond Index Fund State Street Global Alternative Beta Fund State Street Global Equity Diversified Index Fund* USD USD USD USD
Cash flows from operating activities
Increase in net assets attributable to equity holders/holders of redeemable participating shares from
operations
104,901,233 110,208,500 19,275,178 60,268,007
Adjustments for:
Net movement in financial assets and financial liabilities at fair value through profit or loss (313,038,521) (332,097,878) (73,258,722) (595,197 ,762)
Unrealised movement on derivatives
(16,608) (2,304,888) (5,811,888) 6,321,311
Net movement in cash held with broker
- 17,187 749,575 (591,954) Net movement in other assets and receivables (5,228,554) (5,371,077) 20,485 (475,174) Net movement in other liabilities and accrued expenses 1,226,087 (138,755) 154,342 241,266 Distributions to equity holders/holders of redeemable participating shares - - - 333,960
Net cash outflow from operating activities
(212,156,363) (229,686,911) (58,871,030) (529,100,346)
Cash flows from financing activities
Proceeds from issue of equity shares/redeemable participating shares 266,794,444 301,455,116 82,244,606 602,287,166 Payments for equity shares/redeemable participating shares redeemed (50,700,985) (72,077,833) (30,713,553) (61,506,918) Distributions to equity holders/holders of redeemable participating shares - - - (333,960)
Net cash inflow from financing activities
216,093,459 229,377,283 51,531,053 540,446,288 Net increase/(decrease) in cash and cash equivalents 3,937,096 (309,628) (7,339,977) 11,345,942
Reconciliation of cash movement during the financial year
Net cash and cash equivalents at the beginning of the financial year 2,655,237 517,253 15,879,262 -
Net cash and cash equivalents at the end of the financial year
6,592,333 207,625 8,539,285 11,345,942
Supplementary information
Taxation paid
(4,120,610) (64,936) - (608,473)
Interest received
44,733,627 56,030,785 5,815,165 2,581
Dividend received
- - 835,845 2,403,777
* The Sub-Fund launched on 4 June 2025, therefore there are no comparatives.
All activities arose from continuing operations. There are no other gains and losses other than those noted above.
The accompanying notes form an integral part of these financial statements.
STATE STREET ICAV
Annual Report and Audited Financial Statements
for the financial year ended 31 October 2025
Statement of Cash Flows for the financial year ended 31 October 2025
STATE STREET ICAV 41
Page 43
State Street World Quality Equity Index Fund** State Street Timewise 2025 Fund^ State Street Timewise 2030 Fund^ State Street Timewise 2035 Fund^ USD EUR EUR EUR
Cash flows from operating activities
Increase in net assets attributable to equity holders/holders of redeemable participating shares from operations 321,523 501,763 2,769,077 9,680 ,874
Adjustments for:
Net movement in financial assets and financial liabilities at fair value through profit or loss (5,037,313) (160,698) (5,258,437) (7,715,580)
Net movement in other assets and receivables
(30,462) - - -
Net movement in other liabilities and accrued expenses
31,108 6,518 26,810 78,003
Net cash (outflow)/inflow from operating activities
(4,715,144) 347,583 (2,462,550) 2,043,297
Cash flows from financing activities
Proceeds from issue of equity shares/redeemable participating shares 4,730,892 876,523 4,702,653 6,056,507 Payments for equity shares/redeemable participating shares redeemed - (1,224,537) (2,226,275) (8,057,611)
Net cash inflow/(outflow) from financing activities
4,730,892 (348,014) 2,476,378 (2,001,104)
Net increase/(decrease) in cash and cash equivalents
15,748 (431) 13,828 42,193
Reconciliation of cash movement during the financial year
Net cash and cash equivalents at the beginning of the financial year - 5,866 29,184 75,374
Net cash and cash equivalents at the end of the financial year
15,748 5,435 43,012 117,567
Supplementary information
Taxation paid
(2,763) - - -
Interest received
- 187 2,115 5,728
Dividend received
9,581 - 1,516 -
** The Sub-Fund launched on 5 August 2025, therefore there are no comparatives.
^ The shares in these Sub-Funds are classified as equity under FRS 102. Issued shares do not have any initial par value, therefore there is no share capit al/premium split in the statement above.
Please see Note 2(j).
All activities arose from continuing operations. There are no other gains and losses other than those noted above.
The accompanying notes form an integral part of these financial statements.
STATE STREET ICAV
Annual Report and Audited Financial Statements
for the financial year ended 31 October 2025
Statement of Cash Flows for the financial year ended 31 October 2025 (continued)
42 STATE STREET ICAV
Page 44
State Street Timewise 2040 Fund^ State Street Timewise 2045 Fund^ State Street Timewise 2050 Fund^ State Street Timewise 2055 Fund^ EUR EUR EUR EUR
Cash flows from operating activities
Increase in net assets attributable to equity holders/holders of redeemable participating shares from operations 18,576,448 20,675,312 12,509,8 20 4,960,499
Adjustments for:
Net movement in financial assets and financial liabilities at fair value through profit or loss (22,123,405) (27,102,901) (18,598,929) (10,482,97 0)
Net movement in other liabilities and accrued expenses
124,723 114,138 70,140 28,709
Net cash outflow from operating activities
(3,422,234) (6,313,451) (6,018,969) (5,493,762)
Cash flows from financing activities
Proceeds from issue of equity shares/redeemable participating shares 8,383,188 9,592,420 9,248,918 6,632,468 Payments for equity shares/redeemable participating shares redeemed (4,894,043) (3,226,507) (3,186,475) (1,122,519)
Net cash inflow from financing activities
3,489,145 6,365,913 6,062,443 5,509,949
Net increase in cash and cash equivalents
66,911 52,462 43,474 16,187
Reconciliation of cash movement during the financial year
Net cash and cash equivalents at the beginning of the financial year 104,822 104,195 43,011 21,956
Net cash and cash equivalents at the end of the financial year
171,733 156,657 86,485 38,143
Supplementary information
Interest received
8,562 5,519 3,358 1,247
Dividend received
5,168 227,453 142,656 56,009 ^ The shares in these Sub-Funds are classified as equity under FRS 102. Issued shares do not have any initial par value, therefore there is no share capit al/premium split in the statement above.
Please see Note 2(j).
All activities arose from continuing operations. There are no other gains and losses other than those noted above.
The accompanying notes form an integral part of these financial statements.
STATE STREET ICAV
Annual Report and Audited Financial Statements
for the financial year ended 31 October 2025
Statement of Cash Flows for the financial year ended 31 October 2025 (continued)
STATE STREET ICAV 43
Page 45
State Street Timewise 2060 Fund^ EUR
Cash flows from operating activities
Increase in net assets attributable to equity holders/holders of redeemable participating shares from operations 2,710,229
Adjustments for:
Net movement in financial assets and financial liabilities at fair value through profit or loss
(7,856,178)
Net movement in other liabilities and accrued expenses
16,281
Net cash outflow from operating activities
(5,129,668)
Cash flows from financing activities
Proceeds from issue of equity shares/redeemable participating shares
6,154,114
Payments for equity shares/redeemable participating shares redeemed
(1,015,006)
Net cash inflow from financing activities
5,139,108
Net increase in cash and cash equivalents
9,440
Reconciliation of cash movement during the financial year
Net cash and cash equivalents at the beginning of the financial year
11,063
Net cash and cash equivalents at the end of the financial year
20,503
Supplementary information
Interest received
704
Dividend received
30,010 ^ The shares in these Sub-Funds are classified as equity under FRS 102. Issued shares do not have any initial par value, therefore there is no share capit al/premium split in the statement above.
Please see Note 2(j).
All activities arose from continuing operations. There are no other gains and losses other than those noted above.
The accompanying notes form an integral part of these financial statements.
STATE STREET ICAV
Annual Report and Audited Financial Statements
for the financial year ended 31 October 2025
Statement of Cash Flows for the financial year ended 31 October 2025 (continued)
44 STATE STREET ICAV
Page 46
State Street Emerging Markets Screened Index Equity Fund^*
State Street Emerging Markets ESG Screened Local Currency Government Bond Index Fund State Street Emerging Markets ESG Screened Hard Currency Government Bond Index Fund State Street Global Alternative Beta Fund** USD USD USD USD
Cash flows from operating activities
Increase/(Decrease) in net assets attributable to equity holders/holders of redeemable participating
shares from operations
17,590,982 37,374,509 83,202,812 (5,472,896)
Adjustments for:
Net movement in financial assets and financial liabilities at fair value through profit or loss 63,437,956 (238,554,767) (317,196,855) (159,099,3 41)
Unrealised movement on derivatives
(14,682) 18,649 6,128,365 7,313,426
Net movement in cash held with broker
19,864 - (124,094) (2,678,820)
Net movement in other assets and receivables
167,567 (3,853,131) (3,698,489) (146,315) Net movement in other liabilities and accrued expenses 886,766 353,919 308,457 196,076
Net cash inflow/(outflow) from operating activities
82,088,453 (204,660,821) (231,379,804) (159,887,870)
Cash flows from financing activities
Proceeds from issue of equity shares/redeemable participating shares - 206,341,308 259,557,246 175,928,483 Payments for equity shares/redeemable participating shares redeemed (81,128,519) (3,239,595) (28,528,184) (161,351)
Net cash (outflow)/inflow from financing activities
(81,128,519) 203,101,713 231,029,062 175,767,132 Net increase/(decrease) in cash and cash equivalents 959,934 (1,559,108) (350,742) 15,879,262
Reconciliation of cash movement during the financial year
Net cash and cash equivalents at the beginning of the financial year 128,319 4,214,345 867,995 -
Net cash and cash equivalents at the end of the financial year
1,088,253 2,655,237 517,253 15,879,262
Supplementary information
Taxation paid
(245,109) (889,475) (17,420) -
Interest received
798 32,485,736 39,588,518 557,884
Interest paid
(270) (511) - -
Dividend received
2,107,048 - - -
* The Sub-Fund terminated on 8 October 2024.
** The Sub-Fund launched on 11 September 2024.
^ The shares in these Sub-Funds are classified as equity under FRS 102. Issued shares do not have any initial par value, therefore there is no share capit al/premium split in the statement above.
Please see Note 2(j).
The accompanying notes form an integral part of these financial statements.
STATE STREET ICAV
Annual Report and Audited Financial Statements
for the financial year ended 31 October 2024
Statement of Cash Flows for the financial year ended 31 October 2024
STATE STREET ICAV 45
Page 47
State Street Timewise 2025 Fund^ State Street Timewise 2030 Fund^ State Street Timewise 2035 Fund^ State Street Timewise 2040 Fund^ EUR EUR EUR EUR
Cash flows from operating activities
Increase in net assets attributable to equity holders/holders of redeemable participating shares from operations 1,181,269 5,295,349 17,998,900 29,621,087
Adjustments for:
Net movement in financial assets and financial liabilities at fair value through profit or loss 553,055 (4,365,360) (16,634,579) (31,839,102)
Net movement in other liabilities and accrued expenses
(1,681) (3,147) (7,920) (7,446)
Net cash inflow/(outflow) from operating activities
1,732,643 926,842 1,356,401 (2,225,461)
Cash flows from financing activities
Proceeds from issue of equity shares/redeemable participating shares 648,546 1,966,603 4,596,266 7,584,143 Payments for equity shares/redeemable participating shares redeemed (2,386,511) (2,896,612) (5,972,163) (5,357,189)
Net cash (outflow)/inflow from financing activities
(1,737,965) (930,009) (1,375,897) 2,226,954
Net (decrease)/increase in cash and cash equivalents
(5,322) (3,167) (19,496) 1,493
Reconciliation of cash movement during the financial year
Net cash and cash equivalents at the beginning of the financial year 11,188 32,351 94,870 103,329
Net cash and cash equivalents at the end of the financial year
5,866 29,184 75,374 104,822
Supplementary information
Interest received
301 1,834 4,720 8,606
Dividend received
- - - 40,062 ^ The shares in these Sub-Funds are classified as equity under FRS 102. Issued shares do not have any initial par value, therefore there is no share capit al/premium split in the statement above.
Please see Note 2(j).
The accompanying notes form an integral part of these financial statements.
STATE STREET ICAV
Annual Report and Audited Financial Statements
for the financial year ended 31 October 2024
Statement of Cash Flows for the financial year ended 31 October 2024 (continued)
46 STATE STREET ICAV
Page 48
State Street Timewise 2045 Fund^ State Street Timewise 2050 Fund^ State Street Timewise 2055 Fund^ State Street Timewise 2060 Fund^ EUR EUR EUR EUR
Cash flows from operating activities
Increase in net assets attributable to equity holders/holders of redeemable participating shares from operations 28,847,817 16,716,916 5,818,99 9 2,651,756
Adjustments for:
Net movement in financial assets and financial liabilities at fair value through profit or loss (34,939,575) (24,026,394) (10,891,131) (6,884,891 )
Net movement in other liabilities and accrued expenses
(4,817) (1,373) 585 967
Net cash outflow from operating activities
(6,096,575) (7,310,851) (5,071,547) (4,232,168)
Cash flows from financing activities
Proceeds from issue of equity shares/redeemable participating shares 8,905,408 8,583,830 5,627,851 4,608,560 Payments for equity shares/redeemable participating shares redeemed (2,790,293) (1,318,914) (548,749) (374,347)
Net cash inflow from financing activities
6,115,115 7,264,916 5,079,102 4,234,213
Net increase/(decrease) in cash and cash equivalents
18,540 (45,935) 7,555 2,045
Reconciliation of cash movement during the financial year
Net cash and cash equivalents at the beginning of the financial year 85,655 88,946 14,401 9,018
Net cash and cash equivalents at the end of the financial year
104,195 43,011 21,956 11,063
Supplementary information
Interest received
7,729 1,908 1,703 1,006
Dividend received
193,924 114,851 41,140 19,751 ^ The shares in these Sub-Funds are classified as equity under FRS 102. Issued shares do not have any initial par value, therefore there is no share capit al/premium split in the statement above.
Please see Note 2(j).
The accompanying notes form an integral part of these financial statements.
STATE STREET ICAV
Annual Report and Audited Financial Statements
for the financial year ended 31 October 2024
Statement of Cash Flows for the financial year ended 31 October 2024 (continued)
STATE STREET ICAV 47
Page 49
1. General Information
The ICAV is a collective asset-management vehicle constituted as an umbrella fund with segregated liability between sub-funds which was formed in Ireland on 14 August 2015 under the ICAV Act 2015 and authorised by the Central Bank of Ireland (the “Central Bank”) as a UCITS pursuant to the UCITS Regulations. The ICAV is structured as an umbrella fund with segregated liability between Sub-Funds. As at 31 October 2025, the ICAV comprised of thirteen active Sub-Funds, State Street Emerging Markets ESG Screened Hard Currency Government Bond Index Fund, State Street Emerging Markets ESG Screened Local Currency Government Bond Index Fund, State Street Global Alternative Beta Fund, State Street Global Equity Diversified Index Fund, State Street World Quality Equity Index Fund and eight State Street Timewise (2025, 2030, 2035, 2040, 2045, 2050, 2055, 2060) Funds (the State Street Timewise Funds ) (together, the Sub-Funds ). The State Street Emerging Markets Screened Index Equity Fund terminated on 8 October 2024. The State Street Muti-Factor Premia Emerging Market Bond Fund was terminated in September 2020. 2. Significant Accounting policies
(a) Basis of preparation The principle accounting policies applied in the presentation of these financial statements are set out below. These policies have been applied consistently to all years presented unless otherwise stated. The ICAV’s financial statements have been prepared in accordance with International Financial Reporting Standards (“IFRS”) as adopted by the European Union (“EU”), Irish statute comprising the ICAV Act and the UCITS Regulations. The financial statements have been prepared on a going concern basis as the Directors are of the view that the ICAV can continue in operational existence for at least twelve months from the date of approval of these financial statements (“the period of assessment”) and under the historical cost convention as modified by the revaluation of certain financial assets and financial liabilities (including derivative financial instruments) held at fair value through profit and loss. State Street Emerging Markets Screened Index Equity Fund which terminated during the financial year ended 31 October 2024, State Street Emerging Markets Hard Currency Government Bond Index Fund which terminated during the financial year ended 31 October 2022 and merged into State Street Emerging Markets Hard Currency Government Bond Index Fund, a sub-fund of State Street Global Advisors Luxembourg SICAV as at 17 October 2022 and State Street Multi-Factor Premia Emerging Markets Bond Fund which terminated in September 2020, have not yet had their authorisation revoked by the Central Bank. The Manager has decided not to prepare financial statements for these Sub-Funds on the basis that only State Street Multi-Factor Premia Emerging Markets Bond Fund and State Street Emerging Markets Screened Index Equity Fund hold a cash balance and investments as at 31 October 2025 and 31 October 2024 (please refer to Note 15 and Note 16 respectively for further information). The Directors anticipate the financial assets will continue to generate enough cash flows on an ongoing basis to meet the ICAV’s liabilities as they fall due. All references to net assets throughout the document refers to net assets attributable to equity holders/holders of redeemable participating shares, unless otherwise stated. Critical Accounting Estimates and Assumptions In preparation of financial statements in conformity with IFRS, the ICAV is required to make certain accounting estimates and assumptions. Actual results may differ from these estimates and assumptions. The Directors believe that any estimates used in preparing the financial statements are reasonable and prudent. Critical accounting estimates are those which involve the most complex or subjective judgments or assessments. The areas of the ICAV’s business that typically require such estimates are the determination of the fair value of financial assets and liabilities. Fair value measurement of financial derivative instruments (“FDIs”) and securities not quoted in active market The Sub-Funds hold financial instruments that are not quoted in active markets, including FDIs. Fair value of such instruments is determined using valuation techniques and may be determined using reputable pricing sources (such as pricing agencies) or indicative prices from market makers. Broker quotes as obtained from the pricing sources may be indicative and not executable or binding. Where no market data is available, the ICAV may value positions using its own models, which are usually based on valuation methods and techniques generally recognised as standard within the industry. The models used to determine fair values are validated and periodically reviewed by experienced personnel of the Investment Manager, independent of the party that created them.
(b) New standards, amendments and interpretations issued and effective for the financial year beginning 1 November 2024 • Statement of Cash flows (Amendments to IAS 7). The new standards are not expected to have a significant impact on the ICAV’s financial position, performance or disclosures in its financial statements. There are no other standards, interpretations or amendments to existing standards that are issued and effective that would be expected to have a significant impact on any of the ICAV’s financial statements.
STATE STREET ICAV Annual Report and Audited Financial Statements for the financial year ended 31 October 2025
Notes to the Financial Statements
48 STATE STREET ICAV
Page 50
2. Significant Accounting policies (continued)
(c) New standards, amendments and interpretations issued but not effective for the financial year beginning 1 November 2024 • First-time Adoption of International Financial Reporting Standards (Amendments to IFRS 1). • Financial Instruments: Disclosures and it’s accompanying Guidance on implementing (Amendments to IFRS 7). • Financial Instruments (Amendments to IFRS 9). • Consolidated Financial Statements (Amendments to IFRS 10). • Lack of Exchangeability (Amendments to IAS 21). • IFRS 18: Presentation and Disclosure in Financial Statements. • IFRS 19: Disclosures: Subsidiaries without Public Accountability. There are no other standards, interpretations or amendments to existing standards that are not yet effective that would be expected to have a significant impact on any of the ICAV’s financial statements.
(d) Financial assets and financial liabilities at fair value through profit or loss
(i) Classification The ICAV classifies its investments in debt securities (government bonds, corporate bonds and short terms (corporate bonds with a maturity period less than one year)), equities and collective investment schemes as financial assets and financial liabilities at fair value through profit or loss. Subsequent to initial recognition, all instruments classified at fair value through profit or loss are measured at fair value with changes in their fair value recognised in the Statement of Comprehensive Income.
The ICAV’s investments give rise to cash flows that are not solely payments of principal and interest and therefore do not meet the cash flow characteristic test under IFRS 9 Financial Instruments ( IFRS 9 ). As such, the ICAV classifies the investment as a financial asset at fair value through profit or loss. Cash and receivables are held at amortised cost with a simplified expected credit loss model as they do not contain a financing component.
(ii) Recognition, derecognition and measurement Purchases and sales of investments are recognised as of the day the transaction takes place, i.e. the trade date; the date on which the ICAV commits to purchase or sell the asset.
The ICAV recognises financial assets and financial liabilities on the date it becomes a party to the contractual provisions of the instrument and all significant rights and access to the benefits from the assets, and the exposure to the risks inherent in those benefits are transferred to the ICAV. The ICAV derecognises financial assets and financial liabilities when all such benefits and risks are transferred from the ICAV.
Subsequent to initial recognition, all financial assets and financial liabilities at fair value through profit or loss are measured at fair value. Gains and losses arising from changes in the fair value of the ‘financial assets or financial liabilities at fair value through profit or loss’ category are presented in the Statement of Comprehensive Income, within net changes in fair value of financial assets and financial liabilities at fair value through profit or loss in the period in which they arise.
Dividend income from financial assets at fair value through profit or loss is recognised in the Statement of Comprehensive Income within dividend income when the Sub-Fund’s right to receive payments is established. Interest on debt securities at fair value through profit or loss is recognised based on the effective interest rate in the Statement of Comprehensive Income within interest income from financial assets at fair value.
(iii) Fair value estimation IFRS 13 Fair value measurement ( IFRS 13 ) improves consistency and reduces complexity by providing a precise definition of fair value. The Sub-Funds changed their valuation inputs for listed financial assets and liabilities to be consistent with the inputs prescribed in the Sub-Funds’ offering document.
The financial instruments of the ICAV are valued at fair value. For debt instruments, the bid price is taken as the best evidence of fair value (with exception of State Street Emerging Markets ESG Screened Local Currency Government Bond Index Fund for which mid price is taken). For equity securities, the quoted market price used is the last traded price. For collective investment schemes, the latest unaudited NAV of the relevant underlying fund is used as the best evidence of fair value. The value of any instrument which is not normally quoted, listed or traded on or under the rules of a regulated market, will be valued at its probable realisation value estimated with care and in good faith by Investment Manager in consultation with State Street Fund Services (Ireland) Limited (the Administrator ), or by a competent person, firm or corporation appointed by the Investment Manager, and approved for such purpose by the Depositary.
Collective Investment Schemes, for which market quotations are not readily available are valued at their fair value using
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(d) Financial assets and financial liabilities at fair value through profit or loss (continued)
(iii) Fair value estimation (continued) methods which are in accordance with recognised accounting and financial principles which have been approved by the Directors. In this context, funds which are not publicly traded are fair valued using the latest unaudited valuations provided by the independent administrators.
(iv) Specific Instruments
Forward and Spot Foreign Currency Exchange Contracts The fair value of open forward foreign currency exchange contracts and open spot foreign currency exchange contracts is calculated as the difference between the contracted rate and the current forward rate that would close out the contract on the Statement of Financial Position date. For each relevant Sub-Fund, gains or losses on open spot foreign currency exchange contracts are included in cash and cash equivalents in the Statement of Financial Position and gains or losses on open forward foreign currency exchange contracts are included in financial assets (or financial liabilities) at fair value through profit or loss, as appropriate, in the Statement of Financial Position and are shown in the Schedule of Investments of each relevant Sub-Fund. When the contracts are closed the difference between the proceeds from (or cost of) the closing transaction and the original transaction is recorded as net gains/(losses) on investment and derivative contracts in the Statement of Comprehensive Income.
Futures Contracts Initial margin deposits are made upon entering into futures contracts and are generally made in cash or cash equivalents. The fair value of futures contracts is based upon their quoted daily settlement prices. Changes in the value of open futures contracts are recognised as unrealised gains or losses on futures contracts until the contracts are terminated, at which time realised gains and losses are recognised. Gains or losses on open futures contracts are shown in the Schedule of Investments of each relevant Sub-Fund and on the Statement of Financial Position as financial assets or liabilities at fair value through profit or loss, as appropriate. The profits or losses arising on these contracts are included in realised gain/(loss) on investments and derivatives in the Statement of Comprehensive Income.
(e) Foreign currency Functional and presentation currency Items included in the financial statements of the ICAV are measured in the currency of the primary economic environment in which the Sub-Funds operate (the “functional currency”). The financial statements of the Sub-Funds of the ICAV are presented in USD and EUR, which are the functional and presentation currencies of the Sub-Funds. Transactions in foreign currencies are translated into USD and EUR at exchange rates ruling at the transaction dates. Gains and losses on foreign exchange transactions are recognised in the Statement of Comprehensive Income in determining the result for the period. The rates of exchange ruling at 31 October 2025 and 31 October 2024 were USD 1 =
31 October 2025 31 October 2024 Australian Dollar ( AUD ) 1.5275 1.5267 Brazilian Real (“BRL”) 5.3852 5.7888 British Pound (“GBP”) 0.7611 0.7778 Canadian Dollar (“CAD”) 1.4012 Chilean Peso (“CLP”) 942.1650 961.4300 Chinese Offshore Yuan (“CNH”) 7.1223 7.1279 Chinese Renminbi (“CNY”) 7.1134 Colombian Peso (“COP”) 3,860.6000 4,413.0000 Czech Koruna (“CZK”) 21.0860 23.3146 Danish Krone (“DKK”) 6.4696 6.8700 Dominican Peso (“DOP”) 64.2500 60.1600 Egyptian Pound (’’EGP’’) 47.2400 Euro (“EUR”) 0.8664 0.9211 Hong Kong Dollar (“HKD”) 7.7722 7.7744 Hungarian Forint (“HUF”) 336.0120 376.0881 Indian Rupee (“INR”) 88.7713 84.0863 Indonesian Rupiah (“IDR”) 16,630.0000 15,695.0000 Israeli New Shekel (“ILS”) 3.2542 Japanese Yen (“JPY”) 154.0550 152.3250 Kuwaiti Dinar (“KWD”) 0.3070 -
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(e) Foreign currency (continued)
31 October 2025 31 October 2024 Malaysian Ringgit (“MYR”) 4.1880 4.3790 Mexican Peso (“MXN”) 18.5515 20.0360 New Taiwan Dollar (“TWD”) 30.7410 32.0400 New Zealand Dollar (“NZD”) 1.7463 Norwegian Krone (“NOK”) 10.1170 Peruvian Nuevo Sol (“PEN”) 3.3716 3.7639 Philippine Peso (“PHP”) 58.8500 Polish Zloty (“PLN”) 3.6900 4.0082 Qatari Rial (“QAR”) 3.6410 Romanian Leu (“RON”) 4.4062 4.5820 Russian Ruble (“RUB”) 80.8000 97.2500 Singapore Dollar (“SGD”) 1.3015 1.3229 South African Rand (“ZAR”) 17.3325 17.6800 South Korean Won(“KRW”) 1,424.7500 1,380.0000 Swedish Krona (“SEK”) 9.4925 10.7001 Swiss Franc (“CHF”) 0.8028 0.8647 Thailand Baht (“THB”) 32.3350 33.7450 Turkish Lira (“TRY”) 42.0478 United Arab Emirates Dirham (“AED”) 3.6730 Uruguayan Peso (“UYU”) 39.8650 41.4150 The rates of exchange ruling at 31 October 2025 and 31 October 2024 were EUR 1= 31 October 2025 31 October 2024 Japanese Yen (“JPY”) 177.8103 165.3717 United States Dollar (“USD”) 1.1542 1.0857
(f) Revenue recognition Income on interest bearing securities is accounted for on an accrual basis using the effective interest rate method. Deposit interest is accounted for on a receipts basis.
(g) Cash, cash equivalents and bank overdrafts Cash and cash equivalents include cash in hand and other short-term investments in an active market with original maturities of one year or less. All amounts are subject to insignificant changes in fair value. At 31 October 2025, cash, cash equivalents and bank overdrafts are held with State Street Bank and Trust Company, whose parent company, State Street Corporation, has a Standard and Poor’s credit rating of A (31 October 2024: A). Bank overdrafts are shown in current liabilities in the Statement of Financial Position.
(h) Cash held with/due to broker Cash held with/due to broker is margin cash which is held by or due to brokers for open futures contracts or derivatives and represents the exchange traded futures contracts’ margin deposits held with brokers. This amount is the minimum deemed by the brokers and counterparties for collateral requirements and is as such restricted and is reported separately to the unrestricted cash on the Sub-Fund’s Statement of Financial Position.
(i) Expenses Expenses are accounted for on an accruals basis. Expenses are charged to the Statement of Comprehensive Income. Transaction costs incurred on the acquisition of an investment are included within the cost of that investment. Expenses arising on the disposal of investments are deducted from the disposal proceeds.
Transaction costs are incremental costs that are directly attributable to the acquisition, issue or disposal of a financial asset or financial liability. An incremental cost is one that would not have been incurred if the entity had not acquired, issued or disposed of the financial instrument. When a financial asset or financial liability is recognised initially, an entity shall measure it at its fair value through profit or loss, plus transaction costs that are directly attributable to the acquisition or issue of the financial asset or financial liability.
Transaction costs on the purchases and sales of bonds are included in the purchase and sale price of the investment, and are not separately identifiable. Purchases and sales transaction costs include identifiable brokerage charges, commissions, transaction related taxes and other market charges. Please see Note 7 for further details.
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(i) Expenses (continued)
Custody transaction costs include transaction costs paid to the Depositary and Sub-Custodian and form part of the Total Expense Ratio ( TER ) percentages.
(j) Equity shares/redeemable participating shares In accordance with the requirements of the Prospectus, the Sub-Funds issue redeemable participating shares, which are redeemable at the holder’s option. These are classified as financial liabilities in accordance with FRS 102. Redeemable participating shares can be put back into the Sub-Fund at any time for cash equal to a proportionate share of the Sub-Fund’s net assets. The redeemable participating share is carried at the redemption amount that is payable at the financial year end date if the holder exercises the right to put the share back into the Sub-Fund.
Redeemable participating shares are issued and redeemed at the holder’s option based on the Sub-Funds’ Net Asset Value ( NAV ) per share at the time of issue or redemption.
The relevant Sub-Fund’s NAV per share is calculated by dividing the net assets attributable to the holders of redeemable participating shares by the total number of outstanding redeemable participating shares. In accordance with the provisions of the Sub-Funds’ regulations, investment positions are valued based on the last traded market price for the purpose of determining the NAV per share for subscriptions and redemptions.
There are exceptions to FRS 102, where the shares in a Sub-Fund are classified as equity, if it meets the following conditions: • It entitles the holder to a pro rata share of the Sub-Funds’ net assets in the event of Sub-Funds’ liquidation; • It is in the class of instruments that is a subordinate to all other classes of instruments; • All financial instruments in the class of instruments that is subordinate to all other classes of instruments have identical features; • Apart from the contractual obligation for the Sub-Fund to repurchase or redeem the instrument for cash or another financial asset, the instrument does not include any other features that would require classification as a liability; and • The total expected cash flows attributable to the instrument over its life are based substantially on the profit or loss, the change in recognised net assets or the change in the fair value of the recognised and unrecognised net assets of the Sub-Fund over the life of the instrument.
The Sub-Funds for which shares are recognised and classified as equity are: • State Street Timewise 2025 Fund • State Street Timewise 2030 Fund • State Street Timewise 2035 Fund • State Street Timewise 2040 Fund • State Street Timewise 2045 Fund • State Street Timewise 2050 Fund • State Street Timewise 2055 Fund • State Street Timewise 2060 Fund
(k) Receivables Receivables are non-derivative financial assets with fixed or determinable payments that are not quoted in an active market.
Receivables are recognised initially at fair value plus transaction costs that are directly attributable to their acquisition/origination. They are subsequently measured at amortised cost using the effective interest yield method, less provision for impairment.
(l) Payables Payables are recognised initially at fair value and subsequently stated at amortised cost. The difference between the proceeds and the amount payable is recognised over the financial year of the payable using the effective interest method.
Trade and other creditors are payable at various dates in the next three months in accordance with the suppliers’ usual and customary credit terms.
(m)Segment Reporting Operating segments are reported in a manner consistent with the internal reporting used by the Chief Operating Decision Maker ( CODM ). The chief operating decision maker, who is responsible for allocating resources and assessing performance of the operating segments, has been identified as State Street Global Advisors Europe Limited. The ICAV is organised into one main operating segment, which invests in debt instruments, equities and collective investment schemes.
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(n) Anti-Dilution Levy The Management Company may operate an Anti-Dilution Levy in respect of the Sub-Funds as specified in the Supplements. In calculating the subscription or redemption price for the ICAV, the Management Company may on any Dealing Day when there are net subscriptions or redemptions, adjust the subscription or redemption price by adding or deducting an Anti-Dilution Levy to cover any and all dealing costs and to preserve the value of the underlying assets of the ICAV. The Anti-Dilution Levy is included in the Statement of Changes in Equity/Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Shares. Anti-Dilution Levy was applicable to the State Street Emerging Markets Screened Index Equity Fund, which terminated on 8 October 2024.
(o) Swing Pricing Swing pricing is applied to a Sub-Fund once net subscriptions or redemptions for a Sub-Fund relating to a Sub-Fund’s net asset value for a given dealing day is determined by the Management Company to exceed certain predetermined percentage thresholds. In calculating the swing pricing, the net asset value of a Sub-Fund is swung by a “swing factor” on the following basis: • Net subscriptions - the price used to process all transactions is adjusted upwards by the swing factor to a notional offer price. • Net redemptions - the price used to process all transactions is adjusted downwards by the swing factor to a notional bid price.
If the net asset value of a Sub-Fund is swung on a specific dealing day the official price for a Sub-Fund will be the swing price. In addition, all dealing activity for this dealing day will be dealt at the swing price. Swing pricing applied to a Sub-Fund during the financial year is recognised within the share transactions figure on the Statement of Changes in Equity/Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Shares. The swing factor rate are disclosed in Note 3 and it is applicable to the Timewise Sub-Funds.
3. Share capital
Authorised The authorised share capital of the ICAV is 500,000,310,002 shares of no par value divided into 310,000 capitalisation shares, 2 subscriber shares of no par value and 500,000,000,000 shares of no par value. The Directors are empowered to issue up to all of the shares of the ICAV on such terms as they think fit. The Subscriber shares entitle the holders to attend and vote at general meetings of the ICAV but do not entitle the holders to participate in the profits or assets of the ICAV except for a return of capital on a winding-up. For the purpose of complying with minimum initial capital requirements, the ICAV has issued 310,000 capitalisation shares of no par value for € 1.00 each. The capitalisation shares have subsequently been redeemed following the launch of the ICAV’s first sub-fund.
The shares (other than the subscriber shares) entitle the holders to attend and vote at general meetings of the ICAV and to participate equally in the profits and assets of the Sub-Funds to which the shares relate.
Subscriber Shares As at 31 October 2025 and 31 October 2024, there were 2 subscriber shares in issue. As at 31 October 2024, both subscriber shares were held by State Street Global Advisors Europe Limited. As at 31 October 2025, 1 subscriber share was held by State Street Global Advisors Europe Limited and 1 subscriber share was held by State Street Global Advisors Limited.
Redeemable Participating Shares The following tables show the movement in the number of redeemable participating shares for the financial year ended 31 October 2025, 31 October 2024 and 31 October 2023 and the NAV of each redeemable participating share in each Sub-Fund:
State Street Emerging Markets ESG Screened Local Currency Government Bond Index Fund 31 October 2025 Number of Shares Class I EUR Acc Class I GBP Acc Total Opening balance 4,652,264 177,967 4,830,231 Shares issued 2,124,492 112,568 2,237,060 Shares redeemed (313,883) (82,659) (396,542)
Closing balance 6,462,873 207,876 6,670,749
NAV EUR 741,956,753 GBP 24,022,670 NAV per share EUR 114.8029 GBP 115.5625
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State Street Emerging Markets ESG Screened Hard Currency Government Bond Index Fund 31 October 2025 Number of Shares Class I EUR Class I EUR Hedged Class I GBP Class I GBP Hedged Total Opening balance 4,926,562 1,642,108 164,165 13,154 6,745,989 Shares issued 2,093,339 246,277 39,460 119,681 2,498,757 Shares redeemed (227,765) (225,362) (112,833) (13,412) (579,372)
Closing balance 6,792,136 1,663,023 90,792 119,423 8,665,374
NAV EUR 761,180,039 EUR 189,129,779 GBP 10,369,584 GBP 14,085,369 NAV per share EUR 112.0678 EUR 113.7265 GBP 114.2128 GBP 117.9456
State Street Global Alternative Beta Fund 31 October 2025 Number of Shares Class I GBP Hedged Class I USD Total Opening balance 1,309,959 1,000 1,310,959 Shares issued 257,004 451,872 708,876 Shares redeemed (217,649) (6,421) (224,070)
Closing balance 1,349,314 446,451 1,795,765
NAV GBP 146,548,841 USD 48,557,299 NAV per share GBP 108.6099 USD 108.7628
State Street Global Equity Diversified Index Fund* 31 October 2025 Number of Shares Class B GBP Acc** Class B GBP Hedged** Class B GBP Unhedged Dist*** Class B GBP Hedged Dist** Opening balance - - - Shares issued 924,549 789,200 530,369 1,954,955 Shares redeemed (376,400) - (6,455) (31,152)
Closing balance 548,149 789,200 523,914 1,923,803
NAV GBP 65,588,771 GBP 91,998,759 GBP 60,408,964 GBP 223,953,493 NAV per share GBP 119.7149 GBP 116.6304 GBP 115.3032 GBP 116.4119
State Street Global Equity Diversified Index Fund* 31 October 2025 Number of Shares Class B USD Acc** Total Opening balance -Shares issued 744,274 4,943,347 Shares redeemed - (414,007)
Closing balance 744,274 4,529,340
NAV USD 86,173,880 NAV per share USD 115.8404 * The Sub-Fund launched on 4 June 2025. ** The Share Class launched on 4 June 2025. *** The Share Class launched on 2 July 2025.
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State Street World Quality Equity Index Fund**** 31 October 2025 Number of Shares Class I GBP Acc***** Class I USD Acc***** Total Opening balance - -Shares issued 113,208 318,035 431,242 Shares redeemed - --
Closing balance 113,208 318,035 431,242
NAV GBP 1,234,935 USD 3,429,896 NAV per share GBP 10.9119 USD 10.7879 **** The Sub-Fund launched on 5 August 2025. ***** The Share Class launched on 5 August 2025.
State Street Timewise 2025 Fund 31 October 2025 Number of Shares Class I EUR Total Opening balance 6,350,626 6,350,626 Shares issued 706,514 706,514 Shares redeemed (882,468) (882,468)
Closing balance 6,174,672 6,174,672
NAV EUR 7,950,157 Unswung NAV per share EUR 1.2875 Swung NAV per share EUR 1.2875
State Street Timewise 2030 Fund 31 October 2025 Number of Shares Class I EUR Total Opening balance 24,469,821 24,469,821 Shares issued 3,504,821 3,504,821 Shares redeemed (1,689,682) (1,689,682)
Closing balance 26,284,960 26,284,960
NAV EUR 37,090,521 Unswung NAV per share EUR 1.4111 Swung NAV per share EUR 1.4111
State Street Timewise 2035 Fund 31 October 2025 Number of Shares Class I EUR Total Opening balance 66,970,030 66,970,030 Shares issued 4,271,155 4,271,155 Shares redeemed (5,489,114) (5,489,114)
Closing balance 65,752,071 65,752,071
NAV EUR 103,215,156 Unswung NAV per share EUR 1.5698 Swung NAV per share EUR 1.5698
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State Street Timewise 2040 Fund 31 October 2025 Number of Shares Class I EUR Total Opening balance 96,881,895 96,881,895 Shares issued 5,298,930 5,298,930 Shares redeemed (3,072,637) (3,072,637)
Closing balance 99,108,188 99,108,188
NAV EUR 169,911,032 Unswung NAV per share EUR 1.7144 Swung NAV per share EUR 1.7146
State Street Timewise 2045 Fund 31 October 2025 Number of Shares Class I EUR Total Opening balance 93,261,515 93,261,515 Shares issued 5,999,109 5,999,109 Shares redeemed (2,006,055) (2,006,055)
Closing balance 97,254,569 97,254,569
NAV EUR 170,781,886 Unswung NAV per share EUR 1.7560 Swung NAV per share EUR 1.7562
State Street Timewise 2050 Fund 31 October 2025 Number of Shares Class I EUR Total Opening balance 55,943,467 55,943,467 Shares issued 5,773,070 5,773,070 Shares redeemed (2,040,502) (2,040,502)
Closing balance 59,676,035 59,676,035
NAV EUR 104,772,771 Unswung NAV per share EUR 1.7557 Swung NAV per share EUR 1.7559
State Street Timewise 2055 Fund 31 October 2025 Number of Shares Class I EUR Total Opening balance 20,561,964 20,561,964 Shares issued 4,139,457 4,139,457 Shares redeemed (697,852) (697,852)
Closing balance 24,003,569 24,003,569
NAV EUR 42,169,984 Unswung NAV per share EUR 1.7568 Swung NAV per share EUR 1.7570
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State Street Timewise 2060 Fund 31 October 2025 Number of Shares Class I EUR Total Opening balance 10,205,874 10,205,874 Shares issued 3,848,147 3,848,147 Shares redeemed (634,754) (634,754)
Closing balance 13,419,267 13,419,267
NAV EUR 23,570,468 Unswung NAV per share EUR 1.7565 Swung NAV per share EUR 1.7566
State Street Emerging Markets Screened Index Equity Fund* 31 October 2024 Number of Shares Class I EUR Total Opening balance 548,341 548,341 Shares issued -Shares redeemed (548,341) (548,341)
Closing balance --
NAV NAV per share * The Sub-Fund terminated on 8 October 2024.
State Street Emerging Markets ESG Screened Local Currency Government Bond Index Fund 31 October 2024 Number of Shares Class I EUR Acc Class I GBP Acc Total Opening balance 3,617,247 54,937 3,672,184 Shares issued 1,060,528 125,046 1,185,574 Shares redeemed (25,511) (2,016) (27,527)
Closing balance 4,652,264 177,967 4,830,231
NAV EUR 500,278,002 GBP 18,517,513 NAV per share EUR 107.5343 GBP 104.0505
State Street Emerging Markets ESG Screened Hard Currency Government Bond Index Fund 31 October 2024 Number of Shares Class I EUR Class I EUR Hedged Class I GBP Class I GBP Hedged Total Opening balance 2,885,936 1,738,812 42,125 14,060 4,680,933 Shares issued 2,096,415 99,611 122,040 2,067 2,320,133 Shares redeemed (55,789) (196,315) - (2,973) (255,077)
Closing balance 4,926,562 1,642,108 164,165 13,154 6,745,989
NAV EUR 532,183,297 EUR 172,697,076 GBP 17,372,595 GBP 1,408,064 NAV per share EUR 108.0233 EUR 105.1679 GBP 105.8243 GBP 107.0414
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State Street Global Alternative Beta Fund** 31 October 2024 Number of Shares Class I GBP Hedged Class I USD Total Opening balance - -Shares issued 1,311,178 1,000 1,312,178 Shares redeemed (1,219) - (1,219)
Closing balance 1,309,959 1,000 1,310,959
NAV GBP 132,379,250 USD 100,926 NAV per share GBP 101.0560 USD 100.9263 ** The Sub-Fund launched on 11 September 2024.
State Street Timewise 2025 Fund 31 October 2024 Number of Shares Class I EUR Total Opening balance 7,945,328 7,945,328 Shares issued 565,062 565,062 Shares redeemed (2,159,764) (2,159,764)
Closing balance 6,350,626 6,350,626
NAV EUR 7,668,498 Unswung NAV per share EUR 1.2075 Swung NAV per share EUR 1.2075
State Street Timewise 2030 Fund 31 October 2024 Number of Shares Class I EUR Total Opening balance 25,229,815 25,229,815 Shares issued 1,591,409 1,591,409 Shares redeemed (2,351,403) (2,351,403)
Closing balance 24,469,821 24,469,821
NAV EUR 31,845,066 Unswung NAV per share EUR 1.3014 Swung NAV per share EUR 1.3014
State Street Timewise 2035 Fund 31 October 2024 Number of Shares Class I EUR Total Opening balance 67,980,901 67,980,901 Shares issued 3,419,521 3,419,521 Shares redeemed (4,430,392) (4,430,392)
Closing balance 66,970,030 66,970,030
NAV EUR 95,323,733 Unswung NAV per share EUR 1.4234 Swung NAV per share EUR 1.4234
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State Street Timewise 2040 Fund 31 October 2024 Number of Shares Class I EUR Total Opening balance 95,322,392 95,322,392 Shares issued 5,346,819 5,346,819 Shares redeemed (3,787,316) (3,787,316)
Closing balance 96,881,895 96,881,895
NAV EUR 147,845,439 Unswung NAV per share EUR 1.5260 Swung NAV per share EUR 1.5262
State Street Timewise 2045 Fund 31 October 2024 Number of Shares Class I EUR Total Opening balance 88,919,944 88,919,944 Shares issued 6,245,706 6,245,706 Shares redeemed (1,904,135) (1,904,135)
Closing balance 93,261,515 93,261,515
NAV EUR 143,709,730 Unswung NAV per share EUR 1.5409 Swung NAV per share EUR 1.5408
State Street Timewise 2050 Fund 31 October 2024 Number of Shares Class I EUR Total Opening balance 50,836,014 50,836,014 Shares issued 6,022,780 6,022,780 Shares redeemed (915,327) (915,327)
Closing balance 55,943,467 55,943,467
NAV EUR 86,185,508 Unswung NAV per share EUR 1.5406 Swung NAV per share EUR 1.5407
State Street Timewise 2055 Fund 31 October 2024 Number of Shares Class I EUR Total Opening balance 17,002,543 17,002,543 Shares issued 3,949,294 3,949,294 Shares redeemed (389,873) (389,873)
Closing balance 20,561,964 20,561,964
NAV EUR 31,700,165 Unswung NAV per share EUR 1.5417 Swung NAV per share EUR 1.5418
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State Street Timewise 2060 Fund 31 October 2024 Number of Shares Class I EUR Total Opening balance 7,230,244 7,230,244 Shares issued 3,233,713 3,233,713 Shares redeemed (258,083) (258,083)
Closing balance 10,205,874 10,205,874
NAV EUR 15,729,487 Unswung NAV per share EUR 1.5412 Swung NAV per share EUR 1.5414
State Street Emerging Markets Screened Index Equity Fund* 31 October 2023 Number of Shares Class I EUR Total Opening balance 576,836 576,836 Shares issued -Shares redeemed (28,495) (28,495)
Closing balance 548,341 548,341
NAV EUR 60,111,212 NAV per share EUR 109.6239 * Formerly State Street Emerging Markets ESG Screened Index Equity Fund.
State Street Emerging Markets ESG Screened Local Currency Government Bond Index Fund** 31 October 2023 Number of Shares Class I EUR Acc Class I GBP Acc Total Opening balance - -Shares issued 3,715,062 54,937 3,769,999 Shares redeemed (97,815) - (97,815)
Closing balance 3,617,247 54,937 3,672,184
NAV EUR 366,422,990 GBP 5,554,895 NAV per share EUR 101.3044 GBP 101.1134 ** The Sub-Fund launched on 24 April 2023.
State Street Emerging Markets ESG Screened Hard Currency Government Bond Index Fund*** 31 October 2023 Number of Shares Class I EUR Class I EUR Hedged**** Class I GBP**** Class I GBP Hedged**** Total Opening balance - - - - Shares issued 2,988,376 1,761,371 43,026 14,060 4,806,833 Shares redeemed (102,440) (22,559) (901) - (125,900)
Closing balance 2,885,936 1,738,812 42,125 14,060 4,680,933
NAV EUR 280,182,100 EUR 163,088,145 GBP 4,132,842 GBP 1,325,552 NAV per share EUR 97.0853 EUR 93.7928 GBP 98.1090 GBP 94.2770
*** The Sub-Fund launched on 20 June 2023. **** The Share Class launched on 29 June 2023.
STATE STREET ICAV Annual Report and Audited Financial Statements for the financial year ended 31 October 2025
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3. Share capital (continued)
State Street Timewise 2025 Fund 31 October 2023 Number of Shares Class I EUR Total Opening balance 6,440,508 6,440,508 Shares issued 2,449,499 2,449,499 Shares redeemed (944,679) (944,679)
Closing balance 7,945,328 7,945,328
NAV EUR 8,353,104 Unswung NAV per share EUR 1.0513 Swung NAV per share EUR 1.0464
State Street Timewise 2030 Fund 31 October 2023 Number of Shares Class I EUR Total Opening balance 15,332,581 15,332,581 Shares issued 10,868,365 10,868,365 Shares redeemed (971,131) (971,131)
Closing balance 25,229,815 25,229,815
NAV EUR 27,479,726 Unswung NAV per share EUR 1.0892 Swung NAV per share EUR 1.0829
State Street Timewise 2035 Fund 31 October 2023 Number of Shares Class I EUR Total Opening balance 51,281,450 51,281,450 Shares issued 18,392,111 18,392,111 Shares redeemed (1,692,660) (1,692,660)
Closing balance 67,980,901 67,980,901
NAV EUR 78,700,730 Unswung NAV per share EUR 1.1577 Swung NAV per share EUR 1.1503
State Street Timewise 2040 Fund 31 October 2023 Number of Shares Class I EUR Total Opening balance 74,469,285 74,469,285 Shares issued 22,111,147 22,111,147 Shares redeemed (1,258,040) (1,258,040)
Closing balance 95,322,392 95,322,392
NAV EUR 115,997,398 Unswung NAV per share EUR 1.2169 Swung NAV per share EUR 1.2083
STATE STREET ICAV Annual Report and Audited Financial Statements for the financial year ended 31 October 2025
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3. Share capital (continued)
State Street Timewise 2045 Fund 31 October 2023 Number of Shares Class I EUR Total Opening balance 63,460,603 63,460,603 Shares issued 26,296,040 26,296,040 Shares redeemed (836,699) (836,699)
Closing balance 88,919,944 88,919,944
NAV EUR 108,746,798 Unswung NAV per share EUR 1.2230 Swung NAV per share EUR 1.2140
State Street Timewise 2050 Fund 31 October 2023 Number of Shares Class I EUR Total Opening balance 23,901,234 23,901,234 Shares issued 27,692,209 27,692,209 Shares redeemed (757,429) (757,429)
Closing balance 50,836,014 50,836,014
NAV EUR 62,203,676 Unswung NAV per share EUR 1.2236 Swung NAV per share EUR 1.2147
State Street Timewise 2055 Fund 31 October 2023 Number of Shares Class I EUR Total Opening balance 3,859,620 3,859,620 Shares issued 13,399,214 13,399,214 Shares redeemed (256,291) (256,291)
Closing balance 17,002,543 17,002,543
NAV EUR 20,802,064 Unswung NAV per share EUR 1.2235 Swung NAV per share EUR 1.2145
State Street Timewise 2060 Fund 31 October 2023 Number of Shares Class I EUR Total Opening balance 2,014,040 2,014,040 Shares issued 5,531,108 5,531,108 Shares redeemed (314,904) (314,904)
Closing balance 7,230,244 7,230,244
NAV EUR 8,843,518 Unswung NAV per share EUR 1.2231 Swung NAV per share EUR 1.2142
4. Taxation
Under current Irish law and practice, the ICAV qualifies as an investment undertaking as defined in Section 739B of the Taxes Consolidation Act, 1997, as amended (the “TCA”). Provided the ICAV continues to be resident for tax purposes in Ireland and is authorised by the Central Bank of Ireland, the ICAV should not be chargeable to Irish tax on its relevant income or gains.
However, Irish tax can arise on the happening of a “chargeable event” in the ICAV. A chargeable event includes any distribution payment to shareholders or any encashment, redemption, cancellation, or transfer of shares and any deemed
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4. Taxation (continued)
disposal of shares for Irish tax purposes arising as a result of the holding shares in the ICAV for a period of eight years or more, or the appropriation or cancellation of shares of a holder by the ICAV at the end of an eight year period beginning with the acquisition of such shares.
No Irish tax will arise in respect of chargeable events in respect of a shareholder who is an Exempt Irish Investor (as defined in Section 739D of the TCA) or who is neither Irish resident nor ordinarily resident in Ireland for tax purposes (subject to the IREF provisions below) at the time of the chargeable event, provided, in each case, that an appropriate valid declaration in accordance with Schedule 2B of the TCA is held by the ICAV or where the ICAV has been authorised by Irish Revenue to make gross payments in absence of appropriate declarations.
Under the Irish Real Estate Fund (IREF) regime, withholding tax must be operated on payments to certain unit holders. An ICAV (or sub-fund of an ICAV) is considered to be an IREF where at least 25% of the market value of its assets is derived (directly or indirectly) from IREF assets which includes Irish real estate, shares in an Irish REIT, shares in a company which derives all/most of its value from Irish real estate or a REIT, units in another IREF, and loans secured on and which derive their value (or greater part of their value) directly or indirectly from Irish property. An IREF must account for withholding tax, currently at 20%, on payments derived from IREF profits. Finance Act 2019 introduced additional IREF provisions which may give rise to Irish Tax such that any gains reflected in the market value of the unit but not in the accounts of the IREF will be subject to the IREF withholding tax. Furthermore, the IREF may be subject to a tax charge as a result of certain interest and other restrictions introduced in the Finance Act 2019.
Distributions, interest and capital gains (if any) received on investments made by the ICAV may be subject to withholding taxes imposed by the country from which the investment income/gains are received and such taxes may not be recoverable by the ICAV or its shareholders.
The Minimum Tax Directive provides for a European Union wide implementation of the Organization for Economic Cooperation and Development (“OECD”) Inclusive Framework on Base Erosion Profit Shifting (“BEPS”) Pillar Two rules. The Pillar Two legislation was enacted in Ireland and is effective for the financial year beginning on or after 1 January 2024. The ICAV meets the definition of an investment entity under BEPS Pillar Two rules, and the clause within it that seeks to protect the tax neutrality of investment funds. This excludes the ICAV from quantitative disclosures under BEPS Pillar Two requirement along with Qualified Domestic Minimum Top-up Tax (“QDMTT”) requirement. 5. Efficient portfolio management
The ICAV may use FDIs for efficient portfolio management purposes and for investment purposes. Any use of FDIs by the ICAV shall be limited to futures, forward foreign exchange contracts (including non-deliverable forwards), swaps (including total return swaps), warrants and options.
Efficient portfolio management means investment techniques involving transactions that are entered into for one or more of the following specific aims: the reduction of risk, the reduction of cost, the generation of additional capital or income for the Sub-Funds with an appropriate level of risk, taking into account the risk profile of the Sub-Funds. 6. Fees and expenses
All of the fees and expenses payable in respect of State Street Timewise Sub-Funds are paid as one single fee. This is referred to as the TER. The TER does not include extraordinary costs and certain ongoing costs and expenses as outlined below.
After deduction and payment of Directors’ fees and expenses and the Auditors’ fees and expenses, (both of which are included in the TER) in respect of State Street Timewise Sub-Funds, the balance of the TER is paid to the Management Company, and the Management Company is then responsible for the payment of all operational expenses of the Sub-Fund. This includes, but is not limited to, fees and expenses of the Management Company, Depositary, Administrator and Secretary. The Management Company may pay part or all of its fees to any person that invests in or provides services to the Sub-Funds or in respect of any Sub-Fund.
The Management Company will also be responsible for the payment of the following fees and expenses: • the cost of convening and holding Directors’ and Shareholders’ meetings; • professional fees and expenses for legal, Money Laundering Reporting and other consulting services; • the costs and expenses of preparing, printing, publishing and distributing the Instrument of Incorporation, prospectuses, supplements, annual and semi-annual reports, KIIDs, notices to shareholders and other documents to current and prospective Shareholders; • the authorization or approval of the ICAV, the Sub-Funds and Share Classes, regulatory compliance obligations and reporting requirements of the ICAV (e.g. filing fees, and any regulatory or other fees assessed by the Central Bank or other applicable regulatory authority);
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6. Fees and expenses (continued)
• initial and ongoing obligations relating to the registration and/or listing of the ICAV, a Sub-Fund or a Share Class and the distribution of Shares in Ireland and abroad (including translation fees); • taxes, charges, duties, and contingent liabilities of the ICAV as determined from time to time by the Directors; • any costs incurred as a result of periodic or sporadic updates to the ICAV documents (including Instrument of Incorporation); • fees and expenses relating to the operation of the ICAV or attributable to the investments of the Sub-Funds, including expenses associated with acquiring and disposing of investments; • fees in respect of publishing details of the Net Asset Value of each Sub-Fund (including publishing prices) and Net Asset Value per Share of each Share Class; • in respect of each financial year of the ICAV in which expenses are being determined, such proportion, if any, of the establishment expenses as are being amortised in that year; • the costs and expenses arising from any licensing or other fees payable to any index provider or other licensor of intellectual property, trademarks or service marks used by the ICAV; • the costs and expenses of any investment adviser appointed by the Investment Manager/Management Company; • all establishment costs of the ICAV and the Sub-Funds not otherwise referred to above; and • such other costs and expenses (excluding non-recurring and extraordinary costs and expenses) as may arise from time to time and which have been approved by the Directors as necessary or appropriate for the continued operation of the ICAV or of any Sub-Fund.
The TER is calculated and accrued daily from the NAV of each State Street Timewise Sub-Fund and payable monthly in arrears. The TER of each State Street Timewise Sub-Fund of the ICAV is as listed in the relevant Supplement. If a State Street Timewise Sub-Fund’s expenses exceed the TER outlined above in relation to operating the Sub-Fund, the Investment Manager will cover any shortfall from its own assets.
In the case of the State Street Emerging Markets Screened Index Equity Fund, State Street Emerging Markets ESG Screened Local Currency Government Bond Index Fund, State Street Emerging Markets ESG Screened Hard Currency Government Bond Index Fund, State Street Global Alternative Beta Fund, State Street Global Equity Diversified Index Fund and State Street World Quality Equity Index Fund, all fees and expenses are payable from the assets of the Sub-Funds as applicable. For further information on fees and expenses payable in respect of Sub-Funds, please see the Prospectus and Supplements of the ICAV.
Audit fees The audit fees for the financial year ended 31 October 2025 (excluding out of pockets and VAT) were USD 115,939 (31 October 2024: USD 98,836) and this is paid from the TER disclosed below.
Directors’ fees The Directors’ fees for the financial year ended 31 October 2025 were USD 22,236 (31 October 2024: USD 21,714) which is paid from the TER disclosed below.
Fund Share Class
31 October 2025 Annual TER bps
31 October 2024 Annual TER bps State Street Emerging Markets Screened Index Equity Fund** I EUR - 30* State Street Emerging Markets ESG Screened Local Currency Government Bond Index Fund I EUR 15 15 State Street Emerging Markets ESG Screened Local Currency Government Bond Index Fund I GBP 15 15 State Street Emerging Markets ESG Screened Hard Currency Government Bond Index Fund I EUR 15 15 State Street Emerging Markets ESG Screened Hard Currency Government Bond Index Fund I GBP 15 15 State Street Emerging Markets ESG Screened Hard Currency Government Bond Index Fund I EUR Hedged 18 18 State Street Emerging Markets ESG Screened Hard Currency Government Bond Index Fund I GBP Hedged 18 18 State Street Global Alternative Beta Fund I GBP Hedged 39 39 State Street Global Alternative Beta Fund I USD 35 35 State Street Global Equity Diversified Index Fund*** B GBP Acc - State Street Global Equity Diversified Index Fund*** B GBP Hedged - -
STATE STREET ICAV Annual Report and Audited Financial Statements for the financial year ended 31 October 2025
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6. Fees and expenses (continued)
Fund Share Class
31 October 2025 Annual TER bps
31 October 2024 Annual TER bps State Street Global Equity Diversified Index Fund*** B GBP Unhedged Dist - State Street Global Equity Diversified Index Fund*** B GBP Hedged Dist - State Street Global Equity Diversified Index Fund*** B USD Acc - State Street World Quality Equity Index Fund**** I GBP Acc 19 State Street World Quality Equity Index Fund**** I USD Acc 19 State Street Timewise 2025 Fund I EUR 35 35 State Street Timewise 2030 Fund I EUR 35 35 State Street Timewise 2035 Fund I EUR 35 35 State Street Timewise 2040 Fund I EUR 35 35 State Street Timewise 2045 Fund I EUR 35 35 State Street Timewise 2050 Fund I EUR 35 35 State Street Timewise 2055 Fund I EUR 35 35 State Street Timewise 2060 Fund I EUR 35 35 * The maximum TER applicable for the State Street Emerging Markets Screened Index Equity Fund is 0.30%, this Sub-Fund has a management fee of 0.20%. ** The Sub-Fund terminated on 8 October 2024. *** The Sub-Fund launched on 4 June 2025. **** The Sub-Fund launched on 5 August 2025. 7. Transaction costs
As disclosed in Note 2(i), transaction costs are incremental costs that are directly attributable to the acquisition, issue or disposal of a financial asset or financial liability. Purchase and sale transaction costs include identifiable brokerage charges, commissions, transaction related taxes and other market charges. Custody transaction costs include transaction costs paid to the Depositary and Sub-Depositories, and form part of the TER as disclosed in Note 6.
For the financial year ended 31 October 2025 and 31 October 2024, the Sub-Funds incurred purchase and sale transaction costs as follows:
31 October 2025 USD
31 October 2024 USD State Street Emerging Markets Screened Index Equity Fund* - 122,207 State Street Emerging Markets ESG Screened Hard Currency Government Bond Index Fund 2,678 1,172 State Street Global Alternative Beta Fund 13,398 1,113 State Street Global Equity Diversified Index Fund** 192,331 State Street World Quality Equity Index Fund*** 1,042 -
* The Sub-Fund terminated on 8 October 2024. ** The Sub-Fund launched on 4 June 2025. *** The Sub-Fund launched on 5 August 2025.
State Street Emerging Markets ESG Screened Local Currency Government Bond Index Fund and the State Street Timewise Funds incurred no transaction costs during the financial year ended 31 October 2025 or 31 October 2024. 8. Financial instruments and associated risks
As an ICAV, the management of financial instruments is fundamental to the management of its business. The Management Company is responsible, subject to the overall supervision and control of the Board of Directors (the Board ), for managing the assets and investments of the Sub-Funds of the ICAV in accordance with the investment objectives, and guidelines approved by the Board and policies set forth in the Prospectus and Supplements.
The ICAV’s activities expose it to a variety of financial risks: market risk (including market price risk, foreign exchange risk and interest rate risk), liquidity risk and credit risk.
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8. Financial instruments and associated risks (continued)
Global Exposure The ICAV uses the commitment approach for the purposes of calculating global exposure. Global exposure cannot exceed the Sub-Fund’s total net assets. The Sub-Funds may not therefore be leveraged in excess of 100% of net assets. The Investment Manager measures global exposure and leverage daily.
(a) Market price risk Market price risk is the risk that the value of the instrument will fluctuate as a result of changes in market prices (other than those arising from interest rate risk or currency risk), whether caused by factors specific to an individual investment, its issuer or all factors affecting all instruments traded in the market. The Investment Manager considers the asset allocation of the portfolio in order to manage the risk associated with particular countries or industry sectors whilst continuing to follow the Sub-Funds’ investment objectives.
The Sub-Funds are exposed to price risk through their investment in fixed income bonds, equities and collective investment schemes. At 31 October 2025 and 31 October 2024 the fair value of fixed income securities and collective investment schemes expose the Sub-Funds to price risk. The movements in the prices of these investments result in movements in the performance of the Sub-Funds. A 10% increase in benchmark prices at 31 October 2025 and 31 October 2024 would increase the net assets attributable to equity holders/holders of redeemable participating shares as shown in the table below. A 10% decrease in benchmark prices would have an equal, but opposite effect.
31 October 2025 USD
31 October 2024 USD State Street Emerging Markets ESG Screened Local Currency Government Bond Index Fund 88,792,864 56,693,394 State Street Emerging Markets ESG Screened Hard Currency Government Bond Index Fund 111,768,791 78,939,886 State Street Global Alternative Beta Fund 26,762,152 State Street Timewise 2025 Fund 1,041,471 1,004,573 State Street Timewise 2030 Fund 4,562,134 3,948,788 State Street Timewise 2035 Fund 12,385,819 11,438,848 State Street Timewise 2040 Fund 19,539,769 16,558,689 State Street Timewise 2045 Fund 18,273,662 14,945,812 State Street Timewise 2050 Fund 11,210,686 8,877,107 State Street Timewise 2055 Fund 4,512,188 3,296,817 State Street Timewise 2060 Fund 2,522,040 1,635,867
(b) Foreign currency risk Assets and Classes of Shares of a Sub-Fund may be denominated in a currency other than the base currency of the Sub-Fund and changes in the exchange rate between the base currency and the currency of the asset may lead to a depreciation of the value of the Sub-Fund’s assets as expressed in the base currency. No assurance, however, can be given that such mitigation will be successful. Where the Class is unhedged a currency conversion will take place on subscription, redemption, exchange and distributions at prevailing exchange rates. Accordingly, the value of the Shares may be affected by any currency movement between the currency of the financial assets and financial liabilities and the base currency. The functional currency of the ICAV is USD. The base currency of State Street Emerging Markets Screened Index Equity Fund, State Street Emerging Markets ESG Screened Local Currency Government Bond Index Fund, State Street Emerging Markets Hard Currency Government Bond Index Fund and State Street Global Alternative Beta Fund is USD, and the base currency of the State Street Timewise Funds is EUR. The tables below summarise the foreign currency risk exposure of the Sub-Funds’ assets and liabilities, monetary and non-monetary, in addition to the regular risk monitoring and management. The sensitivity details the effect of a 5% increase in relevant foreign currency exchange rate. A 5% decrease in exchange rates would have an equal and opposite effect.
STATE STREET ICAV Annual Report and Audited Financial Statements for the financial year ended 31 October 2025
Notes to the Financial Statements (continued)
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8. Financial instruments and associated risks (continued)
(b) Foreign currency risk (continued)
31 October 2025 State Street Emerging Markets ESG Screened Local Currency Government Bond Index Fund
Currency
Monetary assets/(liabilities) USD
Non-monetary assets USD
Net financial assets/(liabilities) USD BRL (212,845) - (212,845) CLP 546,965 - 546,965 COP 2,033,795 - 2,033,795 CZK 1,146,368 - 1,146,368 DOP 78,066 - 78,066 EUR 348,844 - 348,844 GBP 113,215 - 113,215 HUF 374,191 - 374,191 IDR 1,376,108 - 1,376,108 INR 3,205,640 - 3,205,640 MXN 2,626,211 - 2,626,211 MYR 1,104,979 - 1,104,979 PEN 420,638 - 420,638 PLN 943,255 - 943,255 RON 797,304 - 797,304 THB 835,687 - 835,687 UYU 43,911 - 43,911 ZAR 1,507,280 - 1,507,280
31 October 2025 State Street Emerging Markets ESG Screened Hard Currency Government Bond Index Fund
Currency
Monetary assets USD
Non-monetary assets USD
Net financial assets USD EUR 215,381,382 - 215,381,382 GBP 18,310,534 - 18,310,534
31 October 2025 State Street Global Alternative Beta Fund
Currency
Monetary assets/(liabilities) USD
Non-monetary assets USD
Net financial assets/(liabilities) USD AUD (535,687) - (535,687) BRL (57,342) - (57,342) CHF (772,386) - (772,386) CNH (1,181,747) - (1,181,747) DKK (183,046) - (183,046) EUR (2,822,943) - (2,822,943) GBP 189,410,835 - 189,410,835 HKD (151,779) - (151,779) INR (628,360) - (628,360) JPY (1,715,617) - (1,715,617) KRW (381,572) - (381,572) SEK (271,300) - (271,300) SGD (124,747) - (124,747) TWD (609,721) - (609,721) ZAR (132,674) - (132,674)
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Notes to the Financial Statements (continued)
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8. Financial instruments and associated risks (continued)
(b) Foreign currency risk (continued)
31 October 2025 State Street Global Equity Diversified Index Fund*
Currency
Monetary assets/(liabilities) USD
Non-monetary assets USD
Net financial assets USD AED (815,302) 1,450,279 634,977 AUD (4,416,424) 7,149,882 2,733,458 BRL (967,967) 2,099,132 1,131,165 CAD (6,083,749) 10,429,493 4,345,744 CHF (5,770,403) 9,785,671 4,015,268 CLP (19,650) 445,471 425,821 CNH 2,254,454 - 2,254,454 CNY (2,198,419) 2,710,647 512,228 COP (8,277) 197,535 189,258 CZK (28,816) 234,139 205,323 DKK (1,697,923) 2,749,688 1,051,765 EGP (3,017) 100,387 97,370 EUR (31,220,542) 53,209,805 21,989,263 GBP 426,551,756 16,051,416 442,603,172 HKD (11,182,832) 18,029,335 6,846,503 HUF (218,225) 520,826 302,601 IDR (44,573) 319,150 274,577 ILS (721,026) 1,326,818 605,792 JPY (14,855,390) 27,040,626 12,185,236 KRW (6,226,763) 13,805,214 7,578,451 KWD (207,392) 467,249 259,857 MXN 3,402 1,066,455 1,069,857 MYR (57,717) 381,071 323,354 NOK (290,316) 519,900 229,584 NZD 2,722 186,372 189,094 PHP (20,177) 304,484 284,307 PLN (487,637) 994,699 507,062 QAR 5,692 562,537 568,229 SEK (1,830,897) 3,298,082 1,467,185 SGD (1,934,162) 3,598,307 1,664,145 THB (321,476) 682,854 361,378 TRY 1,092 182,455 183,547 TWD (12,219,457) 23,426,104 11,206,647 ZAR (1,365,656) 2,554,816 1,189,160 *The Sub-Fund launched on 4 June 2025, therefore there are no comparatives.
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8. Financial instruments and associated risks (continued)
(b) Foreign currency risk (continued)
31 October 2025 State Street World Quality Equity Index Fund**
Currency
Monetary assets USD
Non-monetary assets USD
Net financial assets USD AUD 2,551 64,353 66,904 CAD 789 30,817 31,606 CHF 2,372 210,994 213,366 DKK 557 48,527 49,084 EUR 1,817 231,090 232,907 GBP 2,424 187,652 190,076 HKD 520 13,057 13,577 JPY 1,189 167,055 168,244 NOK 663 4,281 4,944 SEK 541 37,271 37,812 SGD 358 3,413 3,771 **The Sub-Fund launched on 5 August 2025, therefore there are no comparatives.
31 October 2025 State Street Timewise 2025 Fund
Currency
Monetary assets EUR
Non-monetary assets EUR
Net financial assets EUR USD 2,853 1,351,212 1,354,065
31 October 2025 State Street Timewise 2030 Fund
Currency
Monetary assets EUR
Non-monetary assets EUR
Net financial assets EUR USD 16,311 9,574,399 9,590,710
31 October 2025 State Street Timewise 2035 Fund
Currency
Monetary assets EUR
Non-monetary assets EUR
Net financial assets EUR USD 24,024 35,317,928 35,341,952
31 October 2025 State Street Timewise 2040 Fund
Currency
Monetary assets EUR
Non-monetary assets EUR
Net financial assets EUR USD 67,311 72,407,534 72,474,845
31 October 2025 State Street Timewise 2045 Fund
Currency
Monetary assets EUR
Non-monetary assets EUR
Net financial assets EUR USD 94,861 80,638,454 80,733,315
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Notes to the Financial Statements (continued)
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8. Financial instruments and associated risks (continued)
(b) Foreign currency risk (continued)
31 October 2025 State Street Timewise 2050 Fund
Currency
Monetary assets EUR
Non-monetary assets EUR
Net financial assets EUR USD 56,487 49,658,718 49,715,205
31 October 2025 State Street Timewise 2055 Fund
Currency
Monetary assets EUR
Non-monetary assets EUR
Net financial assets EUR USD 15,201 19,960,584 19,975,785
31 October 2025 State Street Timewise 2060 Fund
Currency
Monetary assets EUR
Non-monetary assets EUR
Net financial assets EUR USD 10,813 11,171,293 11,182,106
31 October 2024 State Street Emerging Markets Screened Index Equity Fund*
Currency
Monetary assets USD
Non-monetary assets USD
Net financial assets USD BRL 22,144 - 22,144 EUR 1,062,877 - 1,062,877 HKD 5,976 - 5,976 INR 12,719 - 12,719 KRW 11,213 - 11,213 MYR 243 - 243 PLN 7,015 - 7,015 THB 463 - 463 TWD 612 - 612 * The Sub-Fund terminated on 8 October 2024.
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Notes to the Financial Statements (continued)
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8. Financial instruments and associated risks (continued)
(b) Foreign currency risk (continued)
31 October 2024 State Street Emerging Markets ESG Screened Local Currency Government Bond Index Fund
Currency
Mon etary assets/liabilities USD
Non-monetary assets USD
Net financial assets USD BRL 609,634 - 609,634 CLP 101,045 - 101,045 COP 986,501 - 986,501 CZK 458,004 - 458,004 DOP 51,282 - 51,282 EUR 3,161 - 3,161 GBP 95,552 - 95,552 HUF 387,156 - 387,156 IDR 1,507,185 - 1,507,185 INR (3,708,840) - (3,708,840) MXN 1,609,970 - 1,609,970 MYR 824,630 - 824,630 PEN 246,650 - 246,650 PLN 663,399 - 663,399 RON 604,107 - 604,107 THB 654,349 - 654,349 UYU 28,020 - 28,020 ZAR 1,346,280 - 1,346,280
31 October 2024 State Street Emerging Markets ESG Screened Hard Currency Government Bond Index Fund
Currency
Monetary assets USD
Non-monetary assets USD
Net financial assets USD EUR 193,817,616 - 193,817,616 GBP 1,920,838 - 1,920,838
31 October 2024 State Street Global Alternative Beta Fund
Currency
Monetary assets/(liabilities) USD
Non-monetary assets USD
Net financial assets USD AUD (535,953) - (535,953) BRL (53,544) - (53,544) CHF (716,944) - (716,944) CNH (883,878) - (883,878) DKK (268,518) - (268,518) EUR (2,355,377) - (2,355,377) GBP 165,031,163 - 165,031,163 HKD (151,748) - (151,748) INR (663,613) - (663,613) JPY (1,581,125) - (1,581,125) KRW (195,911) - (195,911) SEK (240,623) - (240,623) SGD (34,818) - (34,818) TWD (585,506) - (585,506) ZAR (34,417) - (34,417)
STATE STREET ICAV Annual Report and Audited Financial Statements for the financial year ended 31 October 2025
Notes to the Financial Statements (continued)
STATE STREET ICAV 71
Page 73
8. Financial instruments and associated risks (continued)
(b) Foreign currency risk (continued)
31 October 2024 State Street Timewise 2025 Fund
Currency
Monetary assets EUR
Non-monetary assets EUR
Net financial assets EUR USD 3,145 1,612,315 1,615,460
31 October 2024 State Street Timewise 2030 Fund
Currency
Monetary assets EUR
Non-monetary assets EUR
Net financial assets EUR USD 12,874 9,521,518 9,534,392
31 October 2024 State Street Timewise 2035 Fund
Currency
Monetary assets EUR
Non-monetary assets EUR
Net financial assets EUR USD 24,487 36,855,297 36,879,784
31 October 2024 State Street Timewise 2040 Fund
Currency
Monetary assets EUR
Non-monetary assets EUR
Net financial assets EUR USD 59,296 69,924,274 69,983,570
31 October 2024 State Street Timewise 2045 Fund
Currency
Monetary assets EUR
Non-monetary assets EUR
Net financial assets EUR USD 83,028 73,891,820 73,974,848
31 October 2024 State Street Timewise 2050 Fund
Currency
Monetary assets EUR
Non-monetary assets EUR
Net financial assets EUR USD 48,962 44,412,334 44,461,296
31 October 2024 State Street Timewise 2055 Fund
Currency
Monetary assets EUR
Non-monetary assets EUR
Net financial assets EUR USD 20,192 16,319,374 16,339,566
31 October 2024 State Street Timewise 2060 Fund
Currency
Monetary assets EUR
Non-monetary assets EUR
Net financial assets EUR USD 6,561 8,082,637 8,089,198
STATE STREET ICAV Annual Report and Audited Financial Statements for the financial year ended 31 October 2025
Notes to the Financial Statements (continued)
72 STATE STREET ICAV
Page 74
8. Financial instruments and associated risks (continued)
(b) Foreign currency risk (continued)
Foreign Currency Risk – Sensitivity Analysis The following table summarises the impact on the value of the Sub-Funds if there is a 5% movement in the base currency against all other currencies at 31 October 2025 and 31 October 2024 with all other variables held constant. The table shows only the currencies with foreign currency risk sensitivity greater than +/- 10,000 in the relevant currency of the Sub-Funds.
Fund Currency 31 October 2025 31 October 2024 State Street Emerging Markets Screened Index Equity Fund* USD - 56,163 State Street Emerging Markets ESG Screened Local Currency Government Bond Index Fund USD 864,481 323,404 State Street Emerging Markets ESG Screened Hard Currency Government Bond Index Fund USD 11,684,596 9,786,923 State Street Global Alternative Beta Fund USD 8,992,096 7,836,459 State Street Global Equity Diversified Index Fund** USD 26,474,292 State Street World Quality Equity Index Fund*** USD 50,615 State Street Timewise 2025 Fund EUR 67,703 80,773 State Street Timewise 2030 Fund EUR 479,536 476,720 State Street Timewise 2035 Fund EUR 1,767,098 1,843,989 State Street Timewise 2040 Fund EUR 3,623,742 3,499,179 State Street Timewise 2045 Fund EUR 4,036,666 3,698,742 State Street Timewise 2050 Fund EUR 2,485,760 2,223,065 State Street Timewise 2055 Fund EUR 998,789 816,978 State Street Timewise 2060 Fund EUR 559,105 404,460
* The Sub-Fund terminated on 8 October 2024. ** The Sub-Fund launched on 4 June 2025. *** The Sub-Fund launched on 5 August 2025.
(c) Interest rate risk Interest rate risk arises from the possibility that changes in interest rates will affect future cash flows or the fair values of financial instruments. Changes to prevailing interest rates or changes in expectations of future rates may result in an increase or decrease in the value of the securities held. In general, if interest rates rise, the value of fixed income securities will decline. A decline in interest rates will in general have the opposite effect. Other assets and liabilities bear no interest rate risk. The Investment Manager monitors positions on a daily basis.
The tables below summarise the Sub-Funds’ exposure to interest rate risks and also contains interest rate sensitivity analysis. These analyses are a relative estimate of risk and are not intended to be a precise and accurate number. The calculations are based on historical data. Future price movements and correlations between securities could vary significantly from those experienced in the past.
STATE STREET ICAV Annual Report and Audited Financial Statements for the financial year ended 31 October 2025
Notes to the Financial Statements (continued)
STATE STREET ICAV 73
Page 75
8. Financial instruments and associated risks (continued)
(c) Interest rate risk (continued)
State Street Emerging Markets ESG Screened Local Currency Government Bond Index Fund
31 October 2025
Up to 1 year USD
1 - 5 years USD
Over 5 years USD
Non-interest bearing USD
Total USD Transferable Securities 46,268,454 334,665,668 489,480,397 - 870,414,519 Forward Foreign Currency Exchange Contracts - - - 2,148 2,148 Cash and cash equivalents 6,592,333 - - - 6,592,333 Other assets - - - 14,635,150 14,635,150
Total assets 52,860,787 334,665,668 489,480,397 14,637,298 891,644,150
Other liabilities - - - (3,715,514) (3,715,514)
Total liabilities - - - (3,715,514) (3,715,514)
Total Net Assets 887,928,636
State Street Emerging Markets ESG Screened Hard Currency Government Bond Index Fund
31 October 2025
Up to 1 year USD
1 - 5 years USD
Over 5 years USD
Non-interest bearing USD
Total USD Transferable Securities 12,344,389 229,954,009 878,135,921 - 1,120,434,319 Forward Foreign Currency Exchange Contracts - - - 1,686,302 1,686,302 Cash and cash equivalents 207,625 - - - 207,625 Cash held with broker 106,907 - - - 106,907 Other assets - - - 71,556,613 71,556,613
Total assets 12,658,921 229,954,009 878,135,921 73,242,915 1,193,991,766
Futures Contracts - - - (33,094) (33,094) Forward Foreign Currency Exchange Contracts - - - (5,001,610) (5,001,610) Other liabilities - - - (59,979,372) (59,979,372)
Total liabilities - - - (65,014,076) (65,014,076)
Total Net Assets 1,128,977,690
STATE STREET ICAV Annual Report and Audited Financial Statements for the financial year ended 31 October 2025
Notes to the Financial Statements (continued)
74 STATE STREET ICAV
Page 76
8. Financial instruments and associated risks (continued)
(c) Interest rate risk (continued)
State Street Global Alternative Beta Fund
31 October 2025
Up to 1 year USD
1 - 5 years USD
Over 5 years USD
Non-interest bearing USD
Total USD Transferable Securities 219,752,285 - - - 219,752,285 Collective Investment Schemes - - - 17,555,434 17,555,434 Futures Contracts - - - 1,472,815 1,472,815 Forward Foreign Currency Exchange Contracts - - - 1,480,280 1,480,280 Cash and cash equivalents 8,539,285 - - - 8,539,285 Cash held with broker 1,929,245 - - - 1,929,245 Other assets - - - 125,830 125,830
Total assets 230,220,815 - - 20,634,359 250,855,174
Forward Foreign Currency Exchange Contracts - - - (4,454,633) (4,454,633) Other liabilities - - - (5,300,074) (5,300,074)
Total liabilities - - - (9,754,707) (9,754,707)
Total Net Assets 241,100,467
STATE STREET ICAV Annual Report and Audited Financial Statements for the financial year ended 31 October 2025
Notes to the Financial Statements (continued)
STATE STREET ICAV 75
Page 77
8. Financial instruments and associated risks (continued)
(c) Interest rate risk (continued)
State Street Global Equity Diversified Index Fund*
31 October 2025
Up to 1 year USD
1 - 5 years USD
Over 5 years USD
Non-interest bearing USD
Total USD Transferable Securities - - - 655,806,246 655,806,246 Futures Contracts - - - 196,818 196,818 Forward Foreign Currency Exchange Contracts - - - 553,354 553,354 Cash and cash equivalents 13,531,335 - - - 13,531,335 Cash held with broker 610,060 - - - 610,060 Other assets - - - 66,280,279 66,280,279
Total assets 14,141,395 - - 722,836,697 736,978,092
Futures Contracts - - - (10,055) (10,055) Forward Foreign Currency Exchange Contracts - - - (7,061,428) (7,061,428) Cash due to broker (18,106) - - - (18,106) Other liabilities - - - (60,873,320) (60,873,320)
Bank overdraft (2,185,393) - - - (2,185,393)
Total liabilities (2,203,499) - - (67,944,803) (70,148,302)
Total Net Assets 666,829,790
* The Sub-Fund launched on 4 June 2025, therefore there are no comparatives.
State Street World Quality Equity Index Fund**
31 October 2025
Up to 1 year USD
1 - 5 years USD
Over 5 years USD
Non-interest bearing USD
Total USD Transferable Securities - - - 5,037,313 5,037,313 Cash and cash equivalents 15,748 - - - 15,748 Other assets - - - 30,462 30,462
Total assets 15,748 - - 5,067,775 5,083,523
Other liabilities - - - (31,108) (31,108)
Total liabilities - - - (31,108) (31,108)
Total Net Assets 5,052,415
** The Sub-Fund launched on 5 August 2025, therefore there are no comparatives.
STATE STREET ICAV Annual Report and Audited Financial Statements for the financial year ended 31 October 2025
Notes to the Financial Statements (continued)
76 STATE STREET ICAV
Page 78
8. Financial instruments and associated risks (continued)
(c) Interest rate risk (continued)
State Street Timewise 2025 Fund
31 October 2025
Up to 1 year EUR
1 - 5 years EUR
Over 5 years EUR
Non-interest bearing EUR
Total EUR Collective Investment Schemes - - - 7,954,299 7,954,299 Cash and cash equivalents 5,435 - - - 5,435
Total assets 5,435 - - 7,954,299 7,959,734
Other liabilities - - - (9,577) (9,577)
Total liabilities - - - (9,577) (9,577)
Total Net Assets 7,950,157
State Street Timewise 2030 Fund
31 October 2025
Up to 1 year EUR
1 - 5 years EUR
Over 5 years EUR
Non-interest bearing EUR
Total EUR Collective Investment Schemes - - - 37,085,464 37,085,464 Cash and cash equivalents 43,012 - - - 43,012
Total assets 43,012 - - 37,085,464 37,128,476
Other liabilities - - - (37,955) (37,955)
Total liabilities - - - (37,955) (37,955)
Total Net Assets 37,090,521
State Street Timewise 2035 Fund
31 October 2025
Up to 1 year EUR
1 - 5 years EUR
Over 5 years EUR
Non-interest bearing EUR
Total EUR Collective Investment Schemes - - - 103,209,012 103,209,012 Cash and cash equivalents 117,567 - - - 117,567 Other assets - - - 211,653 211,653
Total assets 117,567 - - 103,420,665 103,538,232
Other liabilities - - - (323,076) (323,076)
Total liabilities - - - (323,076) (323,076)
Total Net Assets 103,215,156
STATE STREET ICAV Annual Report and Audited Financial Statements for the financial year ended 31 October 2025
Notes to the Financial Statements (continued)
STATE STREET ICAV 77
Page 79
8. Financial instruments and associated risks (continued)
(c) Interest rate risk (continued)
State Street Timewise 2040 Fund
31 October 2025
Up to 1 year EUR
1 - 5 years EUR
Over 5 years EUR
Non-interest bearing EUR
Total EUR Collective Investment Schemes - - - 169,916,941 169,916,941 Cash and cash equivalents 171,733 - - - 171,733
Total assets 171,733 - - 169,916,941 170,088,674
Other liabilities - - - (177,642) (177,642)
Total liabilities - - - (177,642) (177,642)
Total Net Assets 169,911,032
State Street Timewise 2045 Fund
31 October 2025
Up to 1 year EUR
1 - 5 years EUR
Over 5 years EUR
Non-interest bearing EUR
Total EUR Collective Investment Schemes - - - 170,788,091 170,788,091 Cash and cash equivalents 156,657 - - - 156,657 Other assets - - - 30,931 30,931
Total assets 156,657 - - 170,819,022 170,975,679
Other liabilities - - - (193,793) (193,793)
Total liabilities - - - (193,793) (193,793)
Total Net Assets 170,781,886
State Street Timewise 2050 Fund
31 October 2025
Up to 1 year EUR
1 - 5 years EUR
Over 5 years EUR
Non-interest bearing EUR
Total EUR Collective Investment Schemes - - - 104,785,524 104,785,524 Cash and cash equivalents 86,485 - - - 86,485 Other assets - - - 15,000 15,000
Total assets 86,485 - - 104,800,524 104,887,009
Other liabilities - - - (114,238) (114,238)
Total liabilities - - - (114,238) (114,238)
Total Net Assets 104,772,771
STATE STREET ICAV Annual Report and Audited Financial Statements for the financial year ended 31 October 2025
Notes to the Financial Statements (continued)
78 STATE STREET ICAV
Page 80
8. Financial instruments and associated risks (continued)
(c) Interest rate risk (continued)
State Street Timewise 2055 Fund
31 October 2025
Up to 1 year EUR
1 - 5 years EUR
Over 5 years EUR
Non-interest bearing EUR
Total EUR Collective Investment Schemes - - - 42,171,865 42,171,865 Cash and cash equivalents 38,143 - - - 38,143
Total assets 38,143 - - 42,171,865 42,210,008
Other liabilities - - - (40,024) (40,024)
Total liabilities - - - (40,024) (40,024)
Total Net Assets 42,169,984
State Street Timewise 2060 Fund
31 October 2025
Up to 1 year EUR
1 - 5 years EUR
Over 5 years EUR
Non-interest bearing EUR
Total EUR Collective Investment Schemes - - - 23,571,552 23,571,552 Cash and cash equivalents 20,503 - - - 20,503 Other assets - - - 8,305 8,305
Total assets 20,503 - - 23,579,857 23,600,360
Other liabilities - - - (29,892) (29,892)
Total liabilities - - - (29,892) (29,892)
Total Net Assets 23,570,468
State Street Emerging Markets Screened Index Equity Fund*
31 October 2024
Up to 1 year USD
1 - 5 years USD
Over 5 years USD
Non-interest bearing USD
Total USD Cash and cash equivalents 1,088,253 - - - 1,088,253 Other assets - - - 204,691 204,691
Total assets 1,088,253 - - 204,691 1,292,944
Other liabilities - - - (1,292,944) (1,292,944)
Total liabilities - - - (1,292,944) (1,292,944)
Total Net Assets -
* The Sub-Fund terminated on 8 October 2024.
STATE STREET ICAV Annual Report and Audited Financial Statements for the financial year ended 31 October 2025
Notes to the Financial Statements (continued)
STATE STREET ICAV 79
Page 81
8. Financial instruments and associated risks (continued)
(c) Interest rate risk (continued)
State Street Emerging Markets ESG Screened Local Currency Government Bond Index Fund
31 October 2024
Up to 1 year USD
1 - 5 years USD
Over 5 years USD
Non-interest bearing USD
Total USD Transferable Securities 23,553,827 221,119,645 311,543,403 - 556,216,875 Forward Foreign Currency Exchange Contracts - - - 125,018 125,018 Cash and cash equivalents 2,655,237 - - - 2,655,237 Other assets - - - 8,577,518 8,577,518
Total assets 26,209,064 221,119,645 311,543,403 8,702,536 567,574,648
Forward Foreign Currency Exchange Contracts - - - (139,478) (139,478) Other liabilities - - - (501,226) (501,226)
Total liabilities - - - (640,704) (640,704)
Total Net Assets 566,933,944
State Street Emerging Markets ESG Screened Hard Currency Government Bond Index Fund
31 October 2024
Up to 1 year USD
1 - 5 years USD
Over 5 years USD
Non-interest bearing USD
Total USD Transferable Securities 12,583,222 188,738,419 583,323,726 - 784,645,367 Forward Foreign Currency Exchange Contracts - - - 579,478 579,478 Cash and cash equivalents 517,253 - - - 517,253 Cash held with broker 124,094 - - - 124,094 Other assets - - - 33,696,879 33,696,879
Total assets 13,224,569 188,738,419 583,323,726 34,276,357 819,563,071
Futures Contracts - - - (78,188) (78,188) Forward Foreign Currency Exchange Contracts - - - (6,154,580) (6,154,580) Other liabilities - - - (23,931,441) (23,931,441)
Total liabilities - - - (30,164,209) (30,164,209)
Total Net Assets 789,398,862
STATE STREET ICAV Annual Report and Audited Financial Statements for the financial year ended 31 October 2025
Notes to the Financial Statements (continued)
80 STATE STREET ICAV
Page 82
8. Financial instruments and associated risks (continued)
(c) Interest rate risk (continued)
State Street Global Alternative Beta Fund**
31 October 2024
Up to 1 year USD
1 - 5 years USD
Over 5 years USD
Non-interest bearing USD
Total USD Transferable Securities 161,631,827 - - - 161,631,827 Collective Investment Schemes - - - 14,021,388 14,021,388 Forward Foreign Currency Exchange Contracts - - - 1,851,173 1,851,173 Cash and cash equivalents 15,879,262 - - - 15,879,262 Cash held with broker 2,678,820 - - - 2,678,820 Other assets - - - 146,315 146,315
Total assets 180,189,909 - - 16,018,876 196,208,785
Futures Contracts - - - (960,614) (960,614) Forward Foreign Currency Exchange Contracts - - - (8,203,985) (8,203,985) Other liabilities - - - (16,749,950) (16,749,950)
Total liabilities - - - (25,914,549) (25,914,549)
Total Net Assets 170,294,236
**The Sub-Fund launched on 11 September 2024.
State Street Timewise 2025 Fund
31 October 2024
Up to 1 year EUR
1 - 5 years EUR
Over 5 years EUR
Non-interest bearing EUR
Total EUR Collective Investment Schemes - - - 7,687,339 7,687,339 Cash and cash equivalents 5,866 - - - 5,866 Other assets - - - 106,262 106,262
Total assets 5,866 - - 7,793,601 7,799,467
Other liabilities - - - (130,969) (130,969)
Total liabilities - - - (130,969) (130,969)
Total Net Assets 7,668,498
STATE STREET ICAV Annual Report and Audited Financial Statements for the financial year ended 31 October 2025
Notes to the Financial Statements (continued)
STATE STREET ICAV 81
Page 83
8. Financial instruments and associated risks (continued)
(c) Interest rate risk (continued)
State Street Timewise 2030 Fund
31 October 2024
Up to 1 year EUR
1 - 5 years EUR
Over 5 years EUR
Non-interest bearing EUR
Total EUR Collective Investment Schemes - - - 31,827,027 31,827,027 Cash and cash equivalents 29,184 - - - 29,184
Total assets 29,184 - - 31,827,027 31,856,211
Other liabilities - - - (11,145) (11,145)
Total liabilities - - - (11,145) (11,145)
Total Net Assets 31,845,066
State Street Timewise 2035 Fund
31 October 2024
Up to 1 year EUR
1 - 5 years EUR
Over 5 years EUR
Non-interest bearing EUR
Total EUR Collective Investment Schemes - - - 95,282,915 95,282,915 Cash and cash equivalents 75,374 - - - 75,374
Total assets 75,374 - - 95,282,915 95,358,289
Other liabilities - - - (34,556) (34,556)
Total liabilities - - - (34,556) (34,556)
Total Net Assets 95,323,733
State Street Timewise 2040 Fund
31 October 2024
Up to 1 year EUR
1 - 5 years EUR
Over 5 years EUR
Non-interest bearing EUR
Total EUR Collective Investment Schemes - - - 147,793,536 147,793,536 Cash and cash equivalents 104,822 - - - 104,822
Total assets 104,822 - - 147,793,536 147,898,358
Other liabilities - - - (52,919) (52,919)
Total liabilities - - - (52,919) (52,919)
Total Net Assets 147,845,439
STATE STREET ICAV Annual Report and Audited Financial Statements for the financial year ended 31 October 2025
Notes to the Financial Statements (continued)
82 STATE STREET ICAV
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8. Financial instruments and associated risks (continued)
(c) Interest rate risk (continued)
State Street Timewise 2045 Fund
31 October 2024
Up to 1 year EUR
1 - 5 years EUR
Over 5 years EUR
Non-interest bearing EUR
Total EUR Collective Investment Schemes - - - 143,654,369 143,654,369 Cash and cash equivalents 104,195 - - - 104,195
Total assets 104,195 - - 143,654,369 143,758,564
Other liabilities - - - (48,834) (48,834)
Total liabilities - - - (48,834) (48,834)
Total Net Assets 143,709,730
State Street Timewise 2050 Fund
31 October 2024
Up to 1 year EUR
1 - 5 years EUR
Over 5 years EUR
Non-interest bearing EUR
Total EUR Collective Investment Schemes - - - 86,171,666 86,171,666 Cash and cash equivalents 43,011 - - - 43,011
Total assets 43,011 - - 86,171,666 86,214,677
Other liabilities - - - (29,169) (29,169)
Total liabilities - - - (29,169) (29,169)
Total Net Assets 86,185,508
State Street Timewise 2055 Fund
31 October 2024
Up to 1 year EUR
1 - 5 years EUR
Over 5 years EUR
Non-interest bearing EUR
Total EUR Collective Investment Schemes - - - 31,688,895 31,688,895 Cash and cash equivalents 21,956 - - - 21,956
Total assets 21,956 - - 31,688,895 31,710,851
Other liabilities - - - (10,686) (10,686)
Total liabilities - - - (10,686) (10,686)
Total Net Assets 31,700,165
STATE STREET ICAV Annual Report and Audited Financial Statements for the financial year ended 31 October 2025
Notes to the Financial Statements (continued)
STATE STREET ICAV 83
Page 85
8. Financial instruments and associated risks (continued)
(c) Interest rate risk (continued)
State Street Timewise 2060 Fund
31 October 2024
Up to 1 year EUR
1 - 5 years EUR
Over 5 years EUR
Non-interest bearing EUR
Total EUR Collective Investment Schemes - - - 15,723,679 15,723,679 Cash and cash equivalents 11,063 - - - 11,063
Total assets 11,063 - - 15,723,679 15,734,742
Other liabilities - - - (5,255) (5,255)
Total liabilities - - - (5,255) (5,255)
Total Net Assets 15,729,487
(d) Credit risk Credit risk is the risk that a counterparty to a financial instrument will fail to discharge an obligation or commitment that it entered into with the ICAV on behalf of the Sub-Funds.
There can be no assurance that issuers of the securities or other instruments in which a Sub-Fund invests will not be subject to credit difficulties leading to the loss of some or all of the sums invested in such securities or instruments or payments due on such securities or instruments (as well as any appreciation of sums invested in such securities).
The Sub-Funds’ Depositary is State Street Custodial Services (Ireland) Limited. Substantially all of the assets and cash of the Sub-Funds’ are held within the custodial network. Bankruptcy or insolvency of the Depositary or of its parent company, State Street Corporation, may cause the Sub-Funds’ rights with respect to its investments in debt securities, equities and cash held by the Depositary to be delayed. The maximum exposure to this risk at 31 October 2025 and 31 October 2024 is the total value of investments and cash disclosed of each Sub-Fund in the Statement of Financial Position. With regard to the securities held by the Depositary, these are ring fenced from the assets of the Depositary. Cash held at the Depositary however is not segregated from the Depositary’s cash (and therefore does not benefit from Client Money Protection).
At 31 October 2025, cash and cash equivalents are held with State Street Bank and Trust Company, whose parent company, State Street Corporation, had a credit rating of A (31 October 2024: A). Cash held with broker and the open futures contracts are held with Goldman Sachs International which had a credit rating of A+ (31 October 2024: A+). All credit ratings are as provided by Standard and Poor’s and refer to long term ratings.
In the following tables, investments that were rated as BBB- and above were included within Investment Grade and all investments below BBB- were included in Below Investment Grade.
31 October 2025 State Street Emerging Markets ESG Screened Local Currency Government Bond Index Fund
Credit rating
Total USD % Investment Grade 686,454,991 78.87 Below Investment Grade 183,959,528 21.13
870,414,519 100.00
STATE STREET ICAV Annual Report and Audited Financial Statements for the financial year ended 31 October 2025
Notes to the Financial Statements (continued)
84 STATE STREET ICAV
Page 86
8. Financial instruments and associated risks (continued)
(d) Credit risk (continued)
31 October 2025 State Street Emerging Markets ESG Screened Hard Currency Government Bond Index Fund
Credit rating
Total USD % Investment Grade 675,164,257 60.26 Below Investment Grade 445,270,062 39.74
1,120,434,319 100.00
31 October 2025 State Street Global Alternative Beta Fund
Credit rating
Total USD % Investment Grade 219,752,285 100.00
219,752,285 100.00
31 October 2024 State Street Emerging Markets ESG Screened Local Currency Government Bond Index Fund
Credit rating
Total USD % Investment Grade 456,308,479 82.04 Below Investment Grade 99,908,396 17.96
556,216,875 100.00
31 October 2024 State Street Emerging Markets ESG Screened Hard Currency Government Bond Index Fund
Credit rating
Total USD % Investment Grade 486,006,653 61.94 Below Investment Grade 298,638,714 38.06
784,645,367 100.00
31 October 2024 State Street Global Alternative Beta Fund*
Credit rating
Total USD % Investment Grade 161,631,827 100.00
161,631,827 100.00
* The Sub-Fund launched on 11 September 2024.
(e) Liquidity risk Liquidity risk is the risk that the Sub-Funds will encounter difficulty in meeting obligations associated with financial liabilities. Moreover, the accumulation and disposal of holdings in some investments may be time consuming and may need to be conducted at unfavourable prices. The Sub-Funds may also encounter difficulties in disposing of assets at their fair value due to adverse market conditions leading to limited liquidity.
STATE STREET ICAV Annual Report and Audited Financial Statements for the financial year ended 31 October 2025
Notes to the Financial Statements (continued)
STATE STREET ICAV 85
Page 87
8. Financial instruments and associated risks (continued)
(e) Liquidity risk (continued)
The ICAV employs an appropriate liquidity risk management process, which takes into account efficient portfolio manage ment transactions employed by the Sub-Funds, to ensure that each Sub-Fund is able to comply with its stated redemption obligations. These tools and arrangements are detailed as follows.
Redemption Limits If redemption requests received in respect of Shares of a particular Sub-Fund on any Dealing Day total, in aggregate, more than 10% of all of the issued Shares of that Sub-Fund on that Dealing Day, the Management Company shall be entitled, at its absolute discretion, to refuse to redeem such number of Shares of that Sub-Fund on that Dealing Day, in excess of 10% of the issued Shares of the Sub-Fund, in respect of which redemption requests have been received, as the Management Company shall determine. If the Management Company refuses to redeem Shares for this reason, the requests for redemption on such date shall be reduced rateably and the Shares to which each request relates which are not redeemed shall be redeemed on each subsequent Dealing Day and such requests shall be treated as if they were received on each subsequent Dealing Day until all the Shares of the Sub-Fund to which the original request related have been redeemed.
Redemption of Shares in-kind Each Sub-Fund will allow Shareholders to redeem Shares in-kind on each Dealing Day. In this context, “in-kind” means that, with the consent of the Shareholder, rather than delivering cash proceeds in respect of a redemption, the ICAV will deliver securities or a combination of cash and securities, provided that the asset allocation is subject to the approval of the Depositary. Redemption requests must be received by the Administrator before the dealing deadline on the relevant Dealing Day. The exact value of the cash balance is determined after calculation of the Net Asset Value on the relevant Dealing Day, established on the basis of the prices used in calculating the Net Asset Value per Share, and equals the difference between the value of the Shares to be redeemed and the value of the basket of securities at the prices used in calculating the Net Asset Value per Share on the same date. All redemptions in-kind will be subject to an appropriate provision for Duties and Charges.
A determination to provide redemption in-kind shall be at the sole discretion of the Management Company where the redeeming Shareholder requests redemption of Shares in a Sub-Fund representing 5% or more of the Net Asset Value. The assets to be transferred shall be selected at the discretion of the Management Company, subject to the approval of the Depositary and taken at their value used in determining the redemption price of the Shares being so repurchased. In this event the Management Company will, if requested, sell the assets on behalf of the Shareholder at the Shareholder’s expense and give the Shareholder cash. Such distributions will not materially prejudice the interests of the remaining Shareholders. The costs of any such disposal shall be borne by the redeeming Shareholder.
Temporary Suspension of Dealings The Directors may at any time, with prior notification to the Depositary, temporarily suspend the determination of the Net Asset Value, issue, valuation, sale, purchase, redemption or conversion of Shares of any Sub-Fund, or the payment of redemption proceeds, during:
a) any period when any Recognised Market on which a substantial portion of the Investments for the time being comprised in the ICAV or relevant Sub-Fund are quoted, listed or dealt in is closed otherwise than for ordinary holidays, or during which dealings on any such Recognised Market are restricted or suspended;
b) any period when, as a result of political, military, economic or monetary events, conditions of financial markets or other circumstances beyond the control, responsibility and power of the Directors, the disposal or valuation of Investments for the time being comprised in the ICAV or relevant Sub-Fund cannot, in the opinion of the Directors, be effected or completed normally or without prejudicing the interests of Shareholders of the ICAV or relevant Sub-Fund;
c) any breakdown in the means of communication normally employed in determining the value of any Investments for the time being comprised in the ICAV or relevant Sub-Fund or during any period when for any other reason the value of Investments for the time being comprised in the ICAV or relevant Sub-Fund cannot, in the opinion of the Directors, be promptly or accurately ascertained;
d) any period when the ICAV is unable to repatriate funds for the purposes of making redemption payments or during which the realisation of Investments for the time being comprised in the ICAV or relevant Sub-Fund, or the transfer or payment of funds involved in connection therewith cannot, in the opinion of the Directors, be effected at normal prices or normal rates of exchange;
e) any period when, as a result of adverse market conditions, the payment of redemption proceeds may, in the opinion of the Directors, have an adverse impact on the ICAV or a Sub-Fund or the remaining Shareholders in the relevant Sub-Fund;
STATE STREET ICAV Annual Report and Audited Financial Statements for the financial year ended 31 October 2025
Notes to the Financial Statements (continued)
86 STATE STREET ICAV
Page 88
8. Financial instruments and associated risks (continued)
(e) Liquidity risk (continued)
Temporary Suspension of Dealings (continued) f) any period in which the repurchase of the Shares would, in the opinion of the Directors, result in a violation of applicable laws;
g) any period after a notice convening a meeting of Shareholders for the purpose of dissolving the ICAV or terminating a Sub-Fund has been issued, up to and including the date of such meeting of Shareholders;
h) any period during which dealings in a collective investment scheme in which the Sub-Fund has invested a significant portion of its assets are suspended; or
i) any period when the Directors determine that it is in the best interests of the Shareholders to do so.
Compulsory Redemptions of Shares A Sub-Fund is established for an unlimited period and may have unlimited assets. However, the ICAV may redeem all of its Shares, or the Shares of any Sub-Fund or series or class in issue if:
a) the Shareholders of the relevant Sub-Fund or class pass a special resolution providing for such redemption at a general meeting of the holders of the Shares of that class;
b) the Directors deem it appropriate because of adverse political, economic, fiscal or regulatory changes affecting the relevant Sub-Fund in any way;
c) the Net Asset Value of the relevant Sub-Fund falls below US$100,000,000 or the prevailing currency equivalent in the currency in which Shares of the relevant Sub-Fund are denominated;
d) the Net Asset Value of the relevant Class falls below US$100,000,000 or the prevailing currency equivalent in the currency in which the Class is denominated; or
e) the Directors deem it appropriate for any other reason, in which case thirty (30) days’ notice shall be provided to Shareholders
As at 31 October 2025 and 31 October 2024, all the Sub-Funds’ financial liabilities were payable within one month.
A Sub-Fund has a concentration risk in relation to its total net assets in situations where 100% of the issued units of the Sub-Funds are held by a single investor. In such a situation, if the single investor were to redeem all or a significant proportion of their investment, this could have an impact on the operations of the Sub-Funds, including the ability of the Sub-Funds to continue as a going concern.
(f) Fair value hierarchy The ICAV classifies fair value measurements using a fair value hierarchy that reflects the significance of the inputs used in making the measurements.
The fair value hierarchy has the following levels:
Level 1: Quoted prices (unadjusted) in active markets for identical assets or liabilities.
Level 2: Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly (that is, as prices) or indirectly (that is, derived from prices).
Level 3: Certain inputs for the asset or liability are not based on observable market data (that is, unobservable inputs).
Furthermore, for those instruments which have significant unobservable inputs (Level 3), the amendment requires disclosures on the transfers into and out of Level 3, a reconciliation of the opening and closing balances, total gains and losses for the period split between those recognised in the Statement of Comprehensive Income, purchases, sales, issues and settlements, and a sensitivity analysis of assumptions used in determining the fair value of Level 3 positions.
The level in the fair value hierarchy within which the fair value measurement is categorised in its entirety is determined on the basis of the lowest level input that is significant to the fair value measurement in its entirety. For this purpose, the significance of an input is assessed against the fair value measurement in its entirety. If a fair value measurement uses observable inputs that require significant adjustment based on unobservable inputs, that measurement is a Level 3 measurement. Assessing the significance of a particular input to the fair value measurement in its entirety requires judgement, considering factors specific to the asset or liability.
STATE STREET ICAV Annual Report and Audited Financial Statements for the financial year ended 31 October 2025
Notes to the Financial Statements (continued)
STATE STREET ICAV 87
Page 89
8. Financial instruments and associated risks (continued)
(f) Fair value hierarchy (continued)
The determination of what constitutes “observable” requires significant judgement by the Investment Manager. The Investment Manager considers observable data to be that market data that is readily available, regularly distributed or updated, reliable and verifiable, not proprietary, and provided by independent sources that are actively involved in the relevant market.
For each class of assets and liabilities not measured at fair value in the Statement of Financial Position but for which fair value is disclosed, IFRS 13 Fair value measurement ( IFRS 13 ) requires the ICAV to disclose the level within the fair value hierarchy which the fair value measurement would be categorised and a description of the valuation technique and inputs used in the technique. Assets and liabilities not carried at fair value are carried at amortised cost; their carrying values are a reasonable approximation of fair value.
Cash and cash equivalents, bank overdraft, cash held with broker and other short-term investments in an active market, are categorised as Level 1. Investments whose values are based on quoted market prices in active markets, and therefore classified within Level 1, include active listed equities, exchange traded collective investment schemes and futures contracts.
All forward foreign currency exchange contracts, receivable balances, payable balances and the net assets attributable to holders of redeemable shares are categorised as Level 2. Financial instruments that do not have quoted market prices but are valued based on market values, dealer quotations or alternative pricing sources supported by observable inputs are classified within Level 2. These include corporate bonds, government bonds and non exchange traded collective investment schemes. As Level 2 investments include positions that are not traded in active markets and/or are subject to transfer restrictions, valuations may be adjusted to reflect illiquidity and/or non-transferability, which are generally based on available market information.
Investments classified within Level 3 have significant unobservable inputs, as they are suspended from trading while others are traded infrequently. Level 3 instruments include equities. As observable prices are not available for these securities, the ICAV has used valuation techniques to derive the fair value. At 31 October 2025, there were no Level 3 positions.
The following tables analyse within the fair value hierarchy the ICAV’s financial assets and liabilities measured at fair value at 31 October 2025.
State Street Emerging Markets ESG Screened Local Currency Government Bond Index Fund
Level 1 USD
Level 2 USD
Level 3 USD
Total USD
Financial assets at fair value through profit or loss: Bonds - 870,414,519 - 870,414,519 Open Forward Foreign Currency Exchange Contracts - 2,148 - 2,148
- 870,416,667 - 870,416,667
STATE STREET ICAV Annual Report and Audited Financial Statements for the financial year ended 31 October 2025
Notes to the Financial Statements (continued)
88 STATE STREET ICAV
Page 90
8. Financial instruments and associated risks (continued)
(f) Fair value hierarchy (continued)
State Street Emerging Markets ESG Screened Hard Currency Government Bond Index Fund
Level 1 USD Level 2 USD Level 3 USD Total USD
Financial assets at fair value through profit or loss: Bonds - 1,120,434,319 - 1,120,434,319 Open Forward Foreign Currency Exchange Contracts - 1,686,302 - 1,686,302
- 1,122,120,621 - 1,122,120,621
Financial liabilities at fair value through profit or loss: Open Forward Foreign Currency Exchange Contracts - (5,001,610) - (5,001,610) Futures Contracts (33,094) - - (33,094)
(33,094) (5,001,610) - (5,034,704)
State Street Global Alternative Beta Fund
Level 1 USD
Level 2 USD
Level 3 USD
Total USD
Financial assets at fair value through profit or loss: Bonds - 9,857,272 - 9,857,272 Short Terms 18,989,000 190,906,013 - 209,895,013 Collective Investment Schemes 17,555,434 - - 17,555,434 Open Forward Foreign Currency Exchange Contracts - 1,480,280 - 1,480,280 Futures Contracts 1,472,815 - - 1,472,815
38,017,249 202,243,565 - 240,260,814
Financial liabilities at fair value through profit or loss: Open Forward Foreign Currency Exchange Contracts - (4,454,633) - (4,454,633)
- (4,454,633) - (4,454,633)
STATE STREET ICAV Annual Report and Audited Financial Statements for the financial year ended 31 October 2025
Notes to the Financial Statements (continued)
STATE STREET ICAV 89
Page 91
8. Financial instruments and associated risks (continued)
(f) Fair value hierarchy (continued)
State Street Global Equity Diversified Index Fund* Level 1 USD Level 2 USD Level 3 USD Total USD
Financial assets at fair value through profit or loss: Equities 655,806,246 - - 655,806,246 Open Forward Foreign Currency Exchange Contracts - 553,354 - 553,354 Futures Contracts 196,818 - - 196,818
656,003,064 553,354 - 656,556,418
Financial liabilities at fair value through profit or loss: Open Forward Foreign Currency Exchange Contracts - (7,061,428) - (7,061,428) Futures Contracts (10,055) - - (10,055)
(10,055) (7,061,428) - (7,071,483)
* The Sub-Fund launched on 4 June 2025, therefore there are no comparatives.
State Street World Quality Equity Index Fund** Level 1 USD Level 2 USD Level 3 USD Total USD
Financial assets at fair value through profit or loss: Equities 5,037,313 - - 5,037,313
5,037,313 - - 5,037,313
** The Sub-Fund launched on 5 August 2025, therefore there are no comparatives.
State Street Timewise 2025 Fund Level 1 EUR
Level 2 EUR
Level 3 EUR Total EUR Financial assets at fair value through profit or loss: Collective Investment Schemes 346,095 7,608,204 - 7,954,299
346,095 7,608,204 - 7,954,299
State Street Timewise 2030 Fund Level 1 EUR
Level 2 EUR
Level 3 EUR
Total EUR Financial assets at fair value through profit or loss: Collective Investment Schemes 4,727,996 32,357,468 - 37,085,464
4,727,996 32,357,468 - 37,085,464
STATE STREET ICAV Annual Report and Audited Financial Statements for the financial year ended 31 October 2025
Notes to the Financial Statements (continued)
90 STATE STREET ICAV
Page 92
8. Financial instruments and associated risks (continued)
(f) Fair value hierarchy (continued)
State Street Timewise 2035 Fund Level 1 EUR
Level 2 EUR
Level 3 EUR
Total EUR Financial assets at fair value through profit or loss: Collective Investment Schemes 18,176,817 85,032,195 - 103,209,012
18,176,817 85,032,195 - 103,209,012
State Street Timewise 2040 Fund Level 1 EUR
Level 2 EUR
Level 3 EUR
Total EUR Financial assets at fair value through profit or loss: Collective Investment Schemes 37,924,472 131,992,469 - 169,916,941
37,924,472 131,992,469 - 169,916,941
State Street Timewise 2045 Fund Level 1 EUR
Level 2 EUR
Level 3 EUR
Total EUR Financial assets at fair value through profit or loss: Collective Investment Schemes 48,879,903 121,908,188 - 170,788,091
48,879,903 121,908,188 - 170,788,091
State Street Timewise 2050 Fund Level 1 EUR
Level 2 EUR
Level 3 EUR
Total EUR Financial assets at fair value through profit or loss: Collective Investment Schemes 30,288,311 74,497,213 - 104,785,524
30,288,311 74,497,213 - 104,785,524
State Street Timewise 2055 Fund Level 1 EUR
Level 2 EUR
Level 3 EUR
Total EUR Financial assets at fair value through profit or loss: Collective Investment Schemes 12,191,061 29,980,804 - 42,171,865
12,191,061 29,980,804 - 42,171,865
State Street Timewise 2060 Fund Level 1 EUR
Level 2 EUR
Level 3 EUR
Total EUR Financial assets at fair value through profit or loss: Collective Investment Schemes 6,821,323 16,750,229 - 23,571,552
6,821,323 16,750,229 - 23,571,552
STATE STREET ICAV Annual Report and Audited Financial Statements for the financial year ended 31 October 2025
Notes to the Financial Statements (continued)
STATE STREET ICAV 91
Page 93
8. Financial instruments and associated risks (continued)
(f) Fair value hierarchy (continued)
The following tables analyse within the fair value hierarchy the ICAV’s financial assets and liabilities measured at fair value at 31 October 2024.
State Street Emerging Markets ESG Screened Local Currency Government Bond Index Fund
Level 1 USD
Level 2 USD
Level 3 USD
Total USD
Financial assets at fair value through profit or loss: Bonds - 556,216,875 - 556,216,875 Open Forward Foreign Currency Exchange Contracts - 125,018 - 125,018
- 556,341,893 - 556,341,893
Financial liabilities at fair value through profit or loss: Open Forward Foreign Currency Exchange Contracts - (139,478) - (139,478)
- (139,478) - (139,478)
State Street Emerging Markets ESG Screened Hard Currency Government Bond Index Fund
Level 1 USD
Level 2 USD
Level 3 USD
Total USD
Financial assets at fair value through profit or loss: Bonds - 784,645,367 - 784,645,367 Open Forward Foreign Currency Exchange Contracts - 579,478 - 579,478
- 785,224,845 - 785,224,845
Financial liabilities at fair value through profit or loss: Open Forward Foreign Currency Exchange Contracts - (6,154,580) - (6,154,580) Futures Contracts (78,188) - - (78,188)
(78,188) (6,154,580) - (6,232,768)
STATE STREET ICAV Annual Report and Audited Financial Statements for the financial year ended 31 October 2025
Notes to the Financial Statements (continued)
92 STATE STREET ICAV
Page 94
8. Financial instruments and associated risks (continued)
(f) Fair value hierarchy (continued)
State Street Global Alternative Beta Fund* Level 1 USD Level 2 USD Level 3 USD Total USD Financial assets at fair value through profit or loss: Bonds - 20,447,298 - 20,447,298 Short Terms - 141,184,529 - 141,184,529 Collective Investment Schemes 14,021,388 - - 14,021,388 Open Forward Foreign Currency Exchange Contracts - 1,851,173 - 1,851,173
14,021,388 163,483,000 - 177,504,388
Financial liabilities at fair value through profit or loss: Open Forward Foreign Currency Exchange Contracts - (8,203,985) - (8,203,985) Futures Contracts (960,614) - - (960,614)
(960,614) (8,203,985) - (9,164,599)
* The Sub-Fund launched on 11 September 2024.
State Street Timewise 2025 Fund Level 1 EUR
Level 2 EUR
Level 3 EUR
Total EUR Financial assets at fair value through profit or loss: Collective Investment Schemes 394,396 7,292,943 - 7,687,339
394,396 7,292,943 - 7,687,339
State Street Timewise 2030 Fund Level 1 EUR
Level 2 EUR
Level 3 EUR
Total EUR Financial assets at fair value through profit or loss: Collective Investment Schemes 4,757,538 27,069,489 - 31,827,027
4,757,538 27,069,489 - 31,827,027
State Street Timewise 2035 Fund Level 1 EUR
Level 2 EUR
Level 3 EUR
Total EUR Financial assets at fair value through profit or loss: Collective Investment Schemes 19,704,672 75,578,243 - 95,282,915
19,704,672 75,578,243 - 95,282,915
State Street Timewise 2040 Fund Level 1 EUR
Level 2 EUR
Level 3 EUR
Total EUR Financial assets at fair value through profit or loss: Collective Investment Schemes 38,612,340 109,181,196 - 147,793,536
38,612,340 109,181,196 - 147,793,536
STATE STREET ICAV Annual Report and Audited Financial Statements for the financial year ended 31 October 2025
Notes to the Financial Statements (continued)
STATE STREET ICAV 93
Page 95
8. Financial instruments and associated risks (continued)
(f) Fair value hierarchy (continued)
State Street Timewise 2045 Fund Level 1 EUR
Level 2 EUR
Level 3 EUR
Total EUR Financial assets at fair value through profit or loss: Collective Investment Schemes 45,402,691 98,251,678 - 143,654,369
45,402,691 98,251,678 - 143,654,369
State Street Timewise 2050 Fund Level 1 EUR
Level 2 EUR
Level 3 EUR
Total EUR Financial assets at fair value through profit or loss: Collective Investment Schemes 27,166,788 59,004,878 - 86,171,666
27,166,788 59,004,878 - 86,171,666
State Street Timewise 2055 Fund Level 1 EUR
Level 2 EUR
Level 3 EUR
Total EUR Financial assets at fair value through profit or loss: Collective Investment Schemes 9,987,305 21,701,590 - 31,688,895
9,987,305 21,701,590 - 31,688,895
State Street Timewise 2060 Fund Level 1 EUR
Level 2 EUR
Level 3 EUR
Total EUR Financial assets at fair value through profit or loss: Collective Investment Schemes 4,964,134 10,759,545 - 15,723,679
4,964,134 10,759,545 - 15,723,679
Level 3 Reconciliation The following table shows a reconciliation of all movements in the fair value of financial instruments categorised within Level 3 for the financial year ended 31 October 2025 and financial year ended 31 October 2024. The State Street Emerging Markets Screened Index Equity Fund holds Russian securities the value of which has been written down to zero and this has not changed since 2022. These are included as level 3 securities at financial year end.
State Street Emerging Markets Screened Index Equity Fund* Financial year ended 31 October 2025 31 October 2024 Opening balance - 324 Gains and losses recognised in profit and loss - 91,774 Purchases - 25,960 Sales - (118,058) Transfers into Level 3 -Closing balance --
* The Sub-Fund terminated on 8 October 2024.
STATE STREET ICAV Annual Report and Audited Financial Statements for the financial year ended 31 October 2025
Notes to the Financial Statements (continued)
94 STATE STREET ICAV
Page 96
9. Soft commissions arrangements and directed brokerage
There were no soft commission arrangements in existence or directed brokerage services utilised during the financial year ended 31 October 2025 or the financial year ended 31 October 2024.
10. Related party transactions
Parties are considered to be related if one party has the ability to control the other party or is able to exercise significant influence over the other party, in making financial or operational decisions.
In the opinion of the Directors, the Investment Manager, Global Distributor, Administrator, Registrar and Transfer Agent, Management Company and Depositary are all related parties to the ICAV. Please refer to Note 6, Fees and Expenses, for an explanation of the fee structure of the ICAV. All transactions were entered into in the normal course of business.
The following parties are related parties to the ICAV at 31 October 2025:
Investment Manager, Management Company State Street Global Advisors Europe Limited and Global Distributor Sub-Investment Manager State Street Global Advisors Limited Administrator, Registrar and Transfer Agent State Street Fund Services (Ireland) Limited Depositary State Street Custodial Services (Ireland) Limited Directors of the ICAV Eric Linnane, Victoria Parry and Terry O’Gara Directors of the ICAV in common with Eric Linnane the Investment Manager, Management Company and Global Distributor Directors of the Investment Manager, Eric Linnane, Ann Prendergast, Nigel Wightman, Scott Management Company and Global Distributor Sanderson, Margaret Cullen, Patrick Mulvihill and Marie-Anne Heeren Eric Linnane is a Managing Director and Head of State Street Global Advisors Europe Limited Investment Operations.
Terry O’Gara is a Vice President of State Street Global Advisors Europe Limited and a Senior Product Manager in the European Funds Management Team.
A total of 160 foreign exchange spot transactions of the ICAV were executed through affiliated brokers during the financial year ended 31 October 2025 (31 October 2024: 735). No other portfolio transaction types were executed through affiliated firms or brokers. Entities with joint control In the opinion of the Directors, the Investment Manager & Sub-Distributor, Global Distributor, Administrator, Registrar & Transfer Agent, Management Company and Depositary are all related parties to the ICAV. Please refer to Note 6, Fees and Expenses, for an explanation of the fee structure of the ICAV. All transactions were entered into in the normal course of business. Transactions with Key Management Personnel The Directors are entitled to receive fees and expenses, which form part of the TER rates as set out in Note 6. Total Directors’ fees for the financial year amounted to USD 22,236 (31 October 2024: USD 21,714) of which USD 13,466 (31 October 2024: USD 12,667) was payable at the financial year end. Eric Linnane and Terry O’Gara waived their right to fees and received Nil fees for the financial year ended 31 October 2025 and 31 October 2024. The State Street Timewise Funds invest in other funds for which investment management activities are undertaken by the same Investment Manager. The underlying funds have their own management, administration and depositary fee levels in place, all of which are included in the TER of the Sub-Funds. These underlying fees are offset against the total TER to ensure that the TER attributable to each Class shall not exceed the rates as set out in the relevant supplement. Management fee rebates of EUR 813,643 (31 October 2024: EUR 696,605) were received during the financial year of which EUR 416,929 (31 October 2024: EUR 130,274) remained receivable at the financial year end. Management fee rebates have been offset against management fees in the Statement of Comprehensive Income. The State Street Emerging Markets Screened Index Equity Fund* had total reimbursement of expenses in accordance with the expense cap of USD Nil (31 October 2024: USD 155,851). The State Street Global Alternative Beta Fund had total reimbursement of expenses in accordance with the expense cap of USD 2,736 (31 October 2024: Nil). This amount has been offset against management fees in the Statement of Comprehensive Income. * The Sub-Fund terminated on 8 October 2024.
STATE STREET ICAV Annual Report and Audited Financial Statements for the financial year ended 31 October 2025
Notes to the Financial Statements (continued)
STATE STREET ICAV 95
Page 97
10. Related party transactions (continued)
Transactions with Key Management Personnel (continued)
For the financial year ended 31 October 2025, there were no expense reimbursements on State Street Emerging Markets ESG Screened Local Currency Government Bond Index Fund, State Street Emerging Markets ESG Screened Hard Currency Government Bond Index Fund, State Street Global Equity Diversified Index Fund and State Street World Quality Equity Index Fund.
As at 31 October 2025, all the State Street Timewise Funds held investments in other funds for which investment management activities are undertaken by the same Investment Manager. Please refer to Schedule of Investments for further details.
The following tables disclose the aggregate purchases and sales relating to such investments for the financial year ended 31 October 2025 and 31 October 2024: 31 October 2025 Purchase EUR
Sale EUR
Realised gains/
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"text": "Organisation"
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"text": "2 STATE STREET ICAV"
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"text": "State Street ICAV (the \u201cICAV\u201d) is an Irish collective asset-management vehicle constituted as an umbrella fund with segregated"
},
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"text": "liability between sub-funds formed in Ireland on 14 August 2015 pursuant to the Irish Collective Asset-management Vehicles Act"
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"id": "0b264b03-4747-47f5-a19d-6a694d0f1124",
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"text": "2015 (\u201cThe ICAV Act\u201d)."
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"id": "9eb78a74-b2dd-49ce-9af1-a432cd5c9070",
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"text": "The ICAV has been authorised by the Central Bank of Ireland (the \u201cCentral Bank\u201d), as an Undertaking for Collective Investment in"
},
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"id": "f153b1f7-46f5-4b27-8371-b05b2e52e93a",
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"text": "Transferable Securities (\u201cUCITS\u201d) pursuant to the provisions of the European Communities (Undertakings for Collective Investment"
},
{
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"id": "fd27ccdc-c38a-4b68-aa2a-98661df38839",
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"text": "in Transferable Securities) Regulations 2011, (as amended) and the Central Bank (Supervision and Enforcement) Act 2013 (section"
},
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"id": "b6d87769-530b-41bc-b351-409d95c80e5b",
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"text": "48(1)) (Undertakings for Collective Investment in Transferable Securities) Regulations 2019 (as amended) (together the \u201cUCITS"
},
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