THREADNEEDLE INVESTMENT FUNDS ICVC

Transcription

1 AUDITED ANNUAL REPORT AND FINANCIAL STATEMENTS THREADNEEDLE INVESTMENT FUNDS ICVC MARCH 2015 THREADNEEDLE INVESTMENT FUNDS ICVC COLUMBIATHREADNEEDLE.COM

2 Contents Company Information*... 3 Director s Report*... 4 Aggregated Financial Statements for Threadneedle Investment Funds ICVC... 5 Notes to the Aggregated Financial Statements for Threadneedle Investment Funds ICVC UK: UK Fund UK Select Fund UK Smaller Companies Fund UK Growth & Income Fund UK Equity Income Fund UK Monthly Income Fund Monthly Extra Income Fund UK Corporate Bond Fund Sterling Bond Fund Sterling Fund Europe: European Fund European Select Fund European Smaller Companies Fund Pan European Smaller Companies Fund Pan European Fund European Bond Fund European Corporate Bond Fund European High Yield Bond Fund Strategic Bond Fund US: American Fund American Select Fund American Smaller Companies Fund (US) Dollar Bond Fund Japan: Japan Fund Pacific Basin & Emerging Markets: Asia Fund Latin America Fund Emerging Market Bond Fund International: High Yield Bond Fund Global Select Fund Global Bond Fund Institutional Funds: UK Institutional Fund UK Overseas Earnings Fund Statement of Authorised Corporate Director s (ACD) Responsibilities Statement of the Depositary s Responsibilities and Report of the Depositary Independent Auditors Report Portfolio Statements*: UK Fund UK Select Fund UK Smaller Companies Fund

3 Contents UK Growth & Income Fund UK Equity Income Fund UK Monthly Income Fund Monthly Extra Income Fund UK Corporate Bond Fund Sterling Bond Fund Sterling Fund European Fund European Select Fund European Smaller Companies Fund Pan European Smaller Companies Fund Pan European Fund Comparative Tables* Performance Summaries* Ongoing Charges Figure Summary* Risk and Reward Profiles* Shares Issued and Redeemed Summary* Further Information* Directory* Important Information* Please note that the Sterling Fund is currently registered for public offer in the UK only and it is not intended to be registered outside the UK unless otherwise decided by the ACD. Shares in the Sterling Fund must not be marketed to the public in any other jurisdiction. *These pages, together with the investment reports of the individual funds comprise the Authorised Corporate Director s Report. European Bond Fund European Corporate Bond Fund European High Yield Bond Fund Strategic Bond Fund American Fund American Select Fund American Smaller Companies Fund (US) Dollar Bond Fund Japan Fund Asia Fund Latin America Fund Emerging Market Bond Fund High Yield Bond Fund Global Select Fund Global Bond Fund UK Institutional Fund UK Overseas Earnings Fund

4 Company Information Company Threadneedle Investment Funds ICVC (the Company) Registered Number IC Board of Directors of the ACD Chairman and Chief Executive C D Fleming Registered Office Cannon Place, 78 Cannon Street, London EC4N 6AG Director There is a sole director, the Authorised Corporate Director (the ACD), which is Threadneedle Investment Services Limited. Other Directors T N Gillbanks D Jordison (Appointed to the Board 29 July 2014) P J W Reed (Resigned from the Board 30 June 2014) N J Ring A Roughead (Appointed to the Board 7 July 2014) 3

5 Director s Report The ACD, Threadneedle Investment Services Limited, has pleasure in presenting the Annual Report and Financial Statements for Threadneedle Investment Funds ICVC for the 12 months to 7 March The financial statements have been presented on an aggregated basis. However, separate financial information is also provided on a sub-fund basis to enable investors to review the status and performance of those funds for the period under review. We hope that you find the report informative. Should you require any further information regarding any aspect of your investment, or about other Columbia Threadneedle products, we would be pleased to help. Alternatively, you may find it helpful to visit columbiathreadneedle.com for further information about Columbia Threadneedle. Thank you for your continued support. Thank you for your continued support. Campbell Fleming Director 4

6 Aggregated Financial Statements for Threadneedle Investment Funds ICVC STATEMENT OF TOTAL RETURN for the accounting period 8 March 2014 to 7 March 2015 Notes Income Net capital gains 2 1,548,921 1,597, , ,958 Expenses 4 (276,749) (294,061) Finance costs: Derivative expense (4,434) (2,236) Interest (101) (10) Net revenue before taxation 415, ,651 Taxation 5 (21,291) (27,553) Net revenue after taxation 394, ,098 Total return before distributions 1,943,394 1,980,573 Finance costs: s (474,956) (466,376) Change in net assets attributable to shareholders from investment activities 1,468,438 1,514,197 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 8 March 2014 to 7 March 2015 Opening net assets attributable to shareholders 23,971,917 22,953,572 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 5,582,390 7,339,410 Amounts payable on the cancellation of shares (7,284,378) (7,706,665) Amounts payable on inspecie transfer (185,100) (338,866) (1,887,088) (706,121) Dilution adjustment 8,588 10,955 Stamp duty reserve tax (1,660) (6,424) Change in net assets attributable to shareholders from investment activities (see statement of total return above) 1,468,438 1,514,197 Retained distribution on accumulation shares 194, ,578 Unclaimed distribution monies brought back into account Closing net assets attributable to shareholders 23,754,613 23,971,917 BALANCE SHEET as at 7 March 2015 Notes Assets Investment assets 23,406,204 23,455,869 Other assets Debtors 6 289, ,203 Cash and bank balances 362, ,384 Total other assets 651,356 1,033,587 Total assets 24,057,560 24,489,456 Liabilities Derivative liabilities (13,090) (8,367) Other liabilities Creditors 7 (221,962) (423,866) Bank overdrafts (3,940) (25,849) payable on income shares (63,955) (59,457) Total other liabilities (289,857) (509,172) Total liabilities (302,947) (517,539) Net assets attributable to shareholders 23,754,613 23,971,917 The aggregated financial statements represent the sum of the individual funds within the Company. Further analysis of the distribution and the net asset position can be found within the financial statements of the individual funds. DIRECTORS STATEMENT We hereby certify the Final Report and Financial Statements on behalf of the Directors of Threadneedle Investment Services Limited. N J Ring Director 20 May 2015 T N Gillbanks Director 5

7 Notes to the Aggregated Financial Statements for Threadneedle Investment Funds ICVC Notes to the financial statements for the accounting period 8 March 2014 to 7 March ACCOUNTING POLICIES (1) Basis of accounting The financial statements have been prepared under the historical cost basis, as modified by the revaluation of investments and in accordance with UK Generally Accepted Accounting Practice (UKGAAP), and in accordance with the Statement of Recommended Practice (the SORP) for Financial Statements of Authorised Funds issued by the Investment Management Association (IMA) in October (2) Aggregation The aggregated financial statements represent the sum of the individual funds within the umbrella company. Further analysis of the distribution and the net asset position can be found within the financial statements of the individual funds. (3) Recognition of revenue is included in the Statement of Total Return on the following bases: Dividends on quoted equities and preference shares are recognised when the security is traded ex-dividend. Dividends, interest and other income receivable include any withholding taxes but exclude any other taxes such as attributable tax credits. Special dividends are treated as either revenue or capital depending on the facts of each particular case. Stock dividends are recognised as revenue on the basis of the market value of the shares at the date they are quoted ex-dividend. Interest on debt securities and bank and short-term deposits is recognised on an earned basis. In the case of debt securities any difference between acquisition cost and maturity value is recognised as revenue over the life of the security using the effective yield basis of calculating amortisation. Dividends and distributions from collective investment schemes are recognised when the security is quoted ex-dividend. Underwriting commission is recognised when the issue takes place, except where the fund is required to take up all or some of the shares underwritten, in which case an appropriate proportion of the commission is deducted from the cost of those shares. Underwriting commission is treated as revenue except for the proportion that is deducted from the cost of shares, which is capital. Stocklending revenue and any associated charges are recognised on an accruals basis. Equalisation on distributions received is treated as a repayment of capital and deducted from the cost of the investment. Management fee rebates In the absence of a rebate mechanism an indirect charge for management fees would occur in respect of investments in other Threadneedle funds. Any such target funds themselves bear a management fee, which reduces the values of those funds from what they otherwise would be. The rebate mechanism operates to ensure that investors in the fund bear only the fee validly applicable to them. Depending upon the ACD s treatment of management fees within the underlying funds, where management fees are charged to capital, any rebate is classified as a capital item and does not form part of the amount available for distribution. (4) Treatment of expenses (including management expenses) All expenses other than those relating to the purchase and sale of investments, are included in expenses, in the Statement of Total Return. Expenses are recognised on an accrual basis and include irrecoverable VAT where appropriate. (5) Allocation of revenue and expenses to multiple share classes The allocation of revenue and expenses to each share class is based upon the proportion of the fund s capital net assets attributable to each share class, on the day the revenue is earned or the expense is suffered. equalisation, annual management charge and registration fees are specific to each share class. (6) Allocation of return on hedged share classes Hedged share classes allow the ACD to use currency hedging transactions to reduce the effect of exchange rate fluctuations between the Reference Currency or Reference Currencies and the Hedged Currency (for further definitions refer to page 278). Where undertaken, the allocation of return in relation to hedging transactions is applied in respect of that hedged share class only. (7) policy In accordance with the Collective Investment Schemes Sourcebook, where the revenue from investments exceeds the expenses for any share class, a distribution will be made from that share class. Should expenses exceed revenue for any share class, there will be no distribution for that share class and a transfer from capital will be made to cover the shortfall. attributable to Accumulation shareholders is retained at the end of each distribution period and represents a reinvestment of revenue. The following funds distribute on a monthly basis and use a fixed rate distribution for the first 11 months as set by the Fund Manager at the beginning of the accounting year: Monthly Extra Income Fund UK Monthly Income Fund Where distributions are unclaimed for a period of six years these are brought back into the relevant fund as capital. The ACD s charges in respect of the following funds are added back for the purpose of determining the amount available for distribution: Dollar Bond Fund Emerging Market Bond Fund European Bond Fund Global Bond Fund High Yield Bond Fund Monthly Extra Income Fund Sterling Bond Fund Strategic Bond Fund UK Equity Income Fund UK Growth & Income Fund UK Monthly Income Fund (8) Basis of valuation of investments The investments of the fund are valued at fair market prices at 12 noon (UK time), being the valuation point on the last working day of the accounting period, where this is not materially different from close of business of the accounting period. Investments are stated at their fair value which generally is the bid valuation of each security. These bid values are sourced from independent pricing sources; to the extent that an independent pricing source is not available then quotes are obtained from a broker. Where the ACD deems that these valuations are unrepresentative of a fair valuation of the security, a fair valuation adjustment is applied based upon the ACD s opinion of fair value. (9) Exchange rates Assets and liabilities expressed in foreign currencies at the end of the accounting period are translated into sterling at the exchange rates ruling at 12 noon (UK time), being the valuation point on the last working day of the accounting period. Transactions denominated in a foreign currency are translated into sterling at the exchange rates ruling at the date of the transaction. (10) Deferred tax Deferred tax liabilities are provided in full in respect of all items for which recognition falls in different accounting periods for accounting and taxation purposes and deferred tax assets are recognised to the extent that they are considered recoverable. Further analysis of the deferred tax assets can be found within the financial statements of the individual funds. (11) Derivatives The return in respect of any derivative transaction is treated as capital or revenue depending on the motive and circumstances of the transaction. Where positions are undertaken to protect or enhance capital the returns are capital and where they are generating or protecting revenue the returns are revenue. Where positions generate total returns the returns are apportioned between capital and income to reflect the nature of the transaction. Any capital gains/losses are included within Net capital gains/(losses) and any revenue or expenses is included within revenue or finance costs respectively in the statement of total return. Derivative revenue and expense are netted off for the purposes of disclosure. The net balance is disclosed within either the revenue or finance cost note depending on whether the balance is in a net revenue or expense position respectively. The revenue return element in respect of futures is calculated by reference to the quoted yield of the index upon which the future is based compared to LIBOR. The revenue so calculated may represent revenue or expenses in a fund s financial statements, in accordance with whether the fund has held a net long or short position, when considering the accounting period as a whole. The revenue or expense position is reversed where LIBOR exceeds the quoted yield of the relevant index. Any positions open at the period end are reflected in the Balance Sheet at their market value, either using available market prices or the ACD s assessment of the fair value, based on counterparty valuations and appropriate pricing models. Cash held at future brokers as margin is reflected separately within Cash and bank balances. 6

8 Notes to the Aggregated Financial Statements for Threadneedle Investment Funds ICVC Notes to the financial statements 2 NET CAPITAL GAINS Net capital gains during the period comprise: Non-derivative securities 1,502,963 1,573,471 Derivative contracts (8,523) 1,077 Forward currency contracts 52,961 53,361 Other gains/(losses) 1,701 (30,061) Transaction costs (181) (373) Net capital gains 1,548,921 1,597,475 3 REVENUE UK dividends 293, ,388 Overseas dividends 218, ,550 Stock dividends 1,363 2,865 UK franked dividend distributions 529 Interest on debt securities 179, ,791 Interest on short term investments Derivative revenue 976 1,177 Bank interest Underwriting commission Stocklending commission 325 3,701 Management fee rebate on collective investment scheme holdings Total revenue 697, ,958 4 EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Annual management charge (251,818) (268,357) Registration fees (20,880) (22,676) (272,698) (291,033) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary s fees (1,966) (773) Safe custody fees (1,271) (1,397) collection expenses (108) (365) (3,345 ) (2,535) Other expenses: Regulatory fee (237) (225) Audit fee (339) (264) Professional fees (130) (4) (706) (493) *Total expenses (276,749) (294,061) *Including irrecoverable VAT where applicable. 5 TAXATION a) Analysis of charge in period Overseas taxes (20,841) (27,293) Total current tax (note 5b) (20,841) (27,293) Capital gains tax (note 5c) (450) (260) Total tax charge for the period (21,291) (27,553) b) Factors affecting taxation charge for period Net revenue before taxation 415, ,651 Net revenue before taxation multiplied by the standard rate of corporation tax of 20% (83,153) (82,130) not subject to taxation 100,271 91,371 Overseas taxes (20,841) (27,293) Overseas taxes expensed Excess expenses (37,703) (31,577) taxable in other periods 38 s treated as tax deductible 20,687 21,638 Retail Review (RDR) conversion transfer from capital (239) Current tax charge for period (note 5a) (20,841) (27,293) c) Capital gains tax Provision at start of period (478) (741) Capital gains tax charge in statement of total return for period (note 5a) (450) (260) Exchange loss on capital tax refund 42 Capital gains tax paid in year Provision at end of period (927) (478) 6 DEBTORS Amounts receivable for the issue of shares 105, ,017 Sales awaiting settlement 69, ,093 Accrued revenue 100, ,534 Foreign withholding tax recoverable 13,337 7,550 United Kingdom income tax recoverable 45 9 Total debtors 289, ,203 7 CREDITORS Amounts payable for the cancellation of shares (94,052) (200,308) Purchases awaiting settlement (92,074) (191,568) Accrued expenses (747) (562) Amounts payable to ACD (26,221) (22,133) Income tax payable (4,820) (5,696) Corporation tax payable (3,121) (3,121) Capital gains tax provision (927) (478) Total creditors (221,962) (423,866) 8 RELATED PARTY TRANSACTIONS Threadneedle Investment Services Limited, as ACD is a related party and acts as principal in respect of all transactions of shares in the funds. The aggregate monies received through issues and paid on cancellations are disclosed in the Statement of Change in s Attributable to Shareholders. Any amounts due to or from Threadneedle Investment Services Limited at the end of the accounting period are disclosed in Notes 6 and 7. Amounts payable to Threadneedle Investment Services Limited in respect of fund management and registration services are disclosed in Note 4 and amounts outstanding at the year end in Note 7. In addition any fees paid to Threadneedle Investment Services Limited in respect of stocklending are disclosed in Note 10. 7

9 Notes to the Aggregated Financial Statements for Threadneedle Investment Funds ICVC Notes to the financial statements The following funds invest in a number of sub-funds of Threadneedle Specialist Investment Funds ICVC, all transactions in respect of which are transacted with Threadneedle Investment Services Limited: Asia Fund UK Institutional Fund Details of the investments held are shown in the portfolio statement, with revenue received from these investments included within UK franked dividend distributions and Management fee rebate on collective investment scheme holdings in Note 3 and any capital gains within the Non-derivative securities in Note 2. All transactions have been entered into the ordinary course of business on normal commercial terms. 9 SHARES Funds currently may have up to eight share classes; Class 1, Class 1 Hedged, Class 2, Class 2 Hedged, Class X, Class Z, Class Z Hedged, and Limited Issue Class shares. Where a fund has more than one share class, each class may suffer different expenses. Consequently the level of net revenue attributable to each share class will differ. Further analysis of the annual management charge and registration fees on each share class can be found within the Shareholder Funds note of the individual funds. 10 STOCKLENDING During the period under review, the company has entered into certain stocklending transactions to increase the revenue of the funds. The funds have earned 325,000 (2014: 5,205,000) of which Nil (2014: 440,000) was outstanding at year end. They have paid fees of Nil (2014: 727,000) of which Nil (2014: 57,000) was outstanding at year end to Threadneedle Investment Services Limited. In addition they have paid fees of Nil (2014: 777,000) of which Nil (2014: 62,000) was outstanding at year end to J.P. Morgan as the security lending agent to process these arrangements and hold the collateral. There was no stock on loan at the end of the accounting period (2014: m), and there was no collateral held (2014: m). The collateral was held as either securities transferred in CREST by a DBV (Delivery by ) or Gilt DBV, or in the form of overseas government bonds, supranational bonds or certificates of deposit. The nature and value of collateral held is analysed by asset class in the table below. Details of the amounts relating to the individual funds can be found in the Stocklending note for those funds. Analysis of Collateral Held Total 2015 Total Total 2014 Total Bonds 617, , DILUTION ADJUSTMENT Under certain circumstances the ACD has the power to charge a dilution adjustment on the purchase and/or redemption of shares. If charged, the dilution adjustment will be paid into the fund. Full details of the operation of the scheme can be found in the Prospectus. 12 DERIVATIVES AND OTHER FINANCIAL INSTRUMENTS In pursuing their investment objectives, each of the funds may hold a number of financial instruments. These financial instruments comprise securities, derivatives and other investments, cash balances, debtors and creditors that arise directly from the funds operations, for example, in respect of sales and purchases awaiting settlement, amounts receivable for creations and payable for cancellations and debtors for accrued revenue. The funds may also enter into a range of derivative transactions whose purpose is efficient portfolio management. In addition the funds only execute derivative contracts where both the derivative instrument and the counterparty have been approved by the ACD. Sensitivity analysis or value at risk is not shown since the funds hold no derivatives that could impact the funds significantly. The main risks arising from financial instruments and the ACD s policies for managing these risks are stated below. These policies have been applied throughout the period under review. These policies have been consistent for both the current and prior period to which these financial statements relate. Market price risk Market price risk arises mainly from uncertainty about future prices of financial instruments held. It represents the potential loss the funds might suffer through holding market positions in the face of price movements. This means the value of an investor s holding may go down as well as up and an investor may not recover the amount invested. Bond funds hold a range of fixed interest instruments which may be difficult to value and/or liquidate. Investors should consider the degree of exposure of these funds in the context of all their investments. The funds investment portfolios are exposed to market price fluctuations, which are monitored by the ACD as per the policies as set out in the Prospectus. The investment guidelines and investment and borrowing powers set out in the Instrument of Incorporation, the Prospectus and in the Financial Conduct Authority s Collective Investment Schemes Sourcebook describe the nature of the market price risk to which the fund will be exposed. Liquidity risk Liquidity risk is the risk that the funds cannot raise sufficient cash to meet their liabilities when due. One of the key factors influencing this will be the ability to sell investments at, or close to, the fair value without a significant loss being realised. Under normal circumstances, the funds will remain close to fully invested. However, where circumstances require: either because a view of illiquid securities markets or high levels of cancellations in the funds the funds may hold cash and/ or more liquid assets. Temporary higher liquidity levels may also arise during the carrying out of a change in asset allocation policy, or following a large issue of shares. The ACD manages the funds cash to ensure they can meet their liabilities. The ACD receives daily reports of issues and cancellations enabling the ACD to raise cash from the funds portfolios in order to meet cancellations requests. In addition the ACD monitors market liquidity of all securities, with particular focus on the floating rate note (FRN) market, seeking to ensure the funds maintain sufficient liquidity to meet known and potential redemption activity. Fund cash balances are monitored daily by the ACD and Administrator. Where investments cannot be realised in time to meet any potential liability, the funds may borrow up to 10 their value to ensure settlement. All of the funds financial liabilities are payable on demand or in less than one year. Credit risk Credit risk arises from three main sources. Firstly, the possibility that the issuer of a security will be unable to pay interest and principal in a timely manner. Secondly, for asset backed investments (including FRNs) there is the possibility of default of the issuer and default in the underlying assets meaning that the funds may not receive back the full principal originally invested. Thirdly, there is counterparty risk, which is the risk that the counterparty will not deliver the investment for a purchase, or cash for a sale after the funds have fulfilled their responsibilities, which could result in the funds suffering a loss. In order to manage credit risk the funds are subject to investment limits for issuers of securities. Issuer credit ratings are evaluated periodically and an approved issuer list is maintained and monitored. In addition the funds only buy and sell investments through brokers which have been approved by the ACD as an acceptable counterparty and limits are set and monitored to cover the exposure to any individual broker. Changes in brokers financial ratings are periodically reviewed. Some funds will invest in what are considered riskier bonds (below investment grade). This brings the potential for increased risk of default and could affect both the income and the capital value of the fund. Further details can be found in the sub-fund financial statements. Interest rate risk Interest rate risk is the risk that the value of the funds investments will fluctuate as a result of changes in interest rates. All the funds invest in floating rate securities. The income of these funds may be affected by changes in interest rates relevant to particular securities or as a result of the ACD being unable to secure similar returns on the expiry of contracts or sale of securities. The value of fixed interest securities may be affected by interest rate movements or the expectation of such movements in the future. Interest receivable on bank deposits or payable on bank overdraft positions will be affected by fluctuations in interest rates. The interest rate risk profile for the relevant funds is shown in their notes to the financial statements, contained within the full accounts. 8

10 Notes to the Aggregated Financial Statements for Threadneedle Investment Funds ICVC Notes to the financial statements Foreign currency risk Foreign currency risk is the risk that the value of the funds investments will fluctuate as a result of changes in foreign currency exchange rates. For those funds where a proportion of the net assets of the fund are denominated in currencies other than the fund s base currency, the balance sheet can be affected by movements in exchange rates. The ACD monitors the foreign currency exposure of the funds and may seek to manage exposure to currency movements by using forward exchange contracts or by hedging the value of investments that are priced in other currencies. The foreign currency risk profile for the relevant funds is shown in their notes to the financial statements, contained within the full accounts. Further analysis including numerical disclosures can be found within the Derivative and Other Financial Instruments note of the individual funds. 9

11 Threadneedle UK Fund Investment Report Investment Objective To achieve capital growth. Investment Policy The ACD s investment policy is to invest the assets of the Fund principally in equities of companies domiciled in the UK or which have significant UK operations. If the ACD considers it desirable, it may further invest in other securities (including fixed interest securities, other equities and money market securities). Performance of Net Income Class 1 Shares* Over the twelve months to 7 March 2015, the published share price of the Threadneedle UK Fund has risen from p to p. Looking at performance within its peer group, the total return on the fund for the twelve months ending 28 February 2015, including net reinvested income, is +6.18% as compared to a median return of +4.26% over the same period. (For information the FTSE All-Share Total Return Index returned +5.56% over the same period). Portfolio Activity UK equities had a turbulent 12 months but ended the period in positive territory, with the FTSE 100 index hitting a new record high in February The first half of the year showed increasing signs of economic recovery, including improving industrial production and robust GDP-growth figures. Though the recovery continued into the second half, numerous headwinds held the UK market back, including faltering growth in the eurozone economies, slowing demand in China and, towards the year-end, slumping commodity prices, which battered the stock prices of UK-listed resource companies. Our low exposure to energy and mining companies benefited performance relative to the index. Over the period, we reduced our position in BP (oil & gas) as we re-evaluated our exposure to the sector. We used the proceeds to increase our holding in Rio Tinto (mining). We are cautious on the sector overall but, relative to its peers, Rio has a strong balance sheet, superior overall asset quality, and a management team that is more focused on cash generation. We increased our position in Diageo (beverages) and opened a holding in InterContinental Hotels. Relative to its peers, Diageo has a better portfolio and preferred geographical mix, with a dominant presence across most developed markets as well as India. Thanks to a high quality business model, InterContinental looks set to continue increasing its revenue-per-available-room. We reduced the overall number of holdings through a move out of higher-risk off-index positions such as First Quantum Minerals and Signet Jewellers. We redeployed those funds across the core portfolio. Lower food and energy prices are benefiting consumers at a time when employment is rising and wage growth is beginning to accelerate, which should support discretionary spending over the course of The Bank of England has revised up its UK economic growth forecasts for both this year and next. We do, however, feel that those focused on UK political risk will start to fret about the UK general election on 7 May. Noise around the election and uncertainty in Europe, China and elsewhere will give us an opportunity to add to our favoured names those stocks should become attractive from a valuation perspective because of their perceived exposure to domestic and global events. STATEMENT OF TOTAL RETURN for the accounting period 8 March 2014 to 7 March 2015 Notes Income Net capital gains 2 113, , ,745 46,834 Expenses 4 (22,827) (18,707) Finance costs: Interest 6 (5) Net revenue before taxation 36,913 28,127 Taxation 5 (94) (41) Net revenue after taxation 36,819 28,086 Total return before distributions 150, ,780 Finance costs: s 6 (36,965) (28,302) Change in net assets attributable to shareholders from investment activities 113, ,478 BALANCE SHEET as at 7 March 2015 Notes Assets Investment assets 1,961,805 1,766,571 Other assets Debtors 7 12,351 44,421 Cash and bank balances 11,426 50,632 Total other assets 23,777 95,053 Total assets 1,985,582 1,861,624 Liabilities Other liabilities Creditors 8 (8,853) (18,802) payable on income shares (7,930) (8,835) Total other liabilities (16,783) (27,637) Total liabilities (16,783) (27,637) Net assets attributable to shareholders 1,968,799 1,833,987 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 8 March 2014 to 7 March 2015 Opening net assets attributable to shareholders 1,833,987 1,201,729 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 642, ,539 Amounts payable on the cancellation of shares (630,766) (228,177) Amounts receivable on inspecie transfers (98,664) 11, ,698 Dilution adjustment 1, Stamp duty reserve tax (355) (1,738) Change in net assets attributable to shareholders from investment activities (see statement of total return above) 113, ,478 Retained distribution on accumulation shares 8,847 4,975 Unclaimed distributions monies brought back into account Closing net assets attributable to shareholders 1,968,799 1,833,987 DISTRIBUTION TABLE for the accounting period 8 March 2014 to 7 March 2015 Dividend distribution in pence per share Class 1 Shares Net Income Net Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/09/ /09/14 to 07/03/ Group 2 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period Class 1 Shares Net Accumulation* Net Equalisation Net Accumulated 2014/2015 Group 1 11/09/14 to 07/03/ Group 2 11/09/14 to 07/03/ Total distributions in the period *In pound Sterling and against UK peer group. Please refer to pages for comparative tables. 10

12 Threadneedle UK Fund DISTRIBUTION TABLE Class 2 Shares Net Income Net Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/09/ /09/14 to 07/03/ Group 2 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period Class 2 Shares Net Accumulation Net Equalisation Net Net Accumulated Accumulated Group 1 08/03/14 to 07/09/ /09/14 to 07/03/ Group 2 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period Class Z Shares Net Income Net Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/09/ /09/14 to 07/03/ Group 2 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period Class Z Shares Net Accumulation Net Equalisation Net Net Accumulated Accumulated Group 1 08/03/14 to 07/09/ /09/14 to 07/03/ Group 2 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period Group 2: shares purchased during a distribution period *Class 1 Net accumulation shares commenced 11 September

13 Threadneedle UK Fund Notes to the financial statements for the accounting period 8 March 2014 to 7 March ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 6. 2 NET CAPITAL GAINS Net capital gains during the period comprise: Non-derivative securities 113, ,706 Other losses (46) (3) Transaction costs (9) (9) Net capital gains 113, ,694 3 REVENUE UK dividends 58,495 44,555 Overseas dividends 1,031 1,511 Stock dividends 577 Interest on short term investments Bank interest Underwriting commission 107 Stocklending commission Total revenue 59,745 46,834 4 EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Annual management charge (20,879) (17,185) Registration fees (1,715) (1,460) (22,594) (18,645) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary s fees (165) (33) Safe custody fees (52) (15) (217) (48) Other expenses: Regulatory fee (7) (7) Audit fee (9) (7) (16) (14) * Total expenses (22,827) (18,707) *Including irrecoverable VAT where applicable. 5 TAXATION a) Analysis of charge in period Overseas taxes (94) (41) Total current tax (note 5b) (94) (41) Total tax charge for the period (94) (41) b) Factors affecting taxation charge for period Net revenue before taxation 36,913 28,127 Net revenue before taxation multiplied by the standard rate of corporation tax of 20% (7,383) (5,625) Effects of: not subject to taxation 11,836 9,329 Overseas taxes (94) (41) Excess expenses (4,424) (3,704) Retail Review (RDR) conversion transfer from capital (29) Current tax charge for period (note 5a) (94) (41) The fund has not recognised a deferred tax asset of 55,170,900 (2014: 50,746,522) arising as a result of having unutilised management expenses. It is unlikely that these expenses will be utilised in future years. 6 FINANCE COSTS s and Interest The distribution takes account of revenue received on the creation of shares and revenue deducted on the cancellation of shares and comprises: Interim 26,269 18,691 Final 11,410 10,862 37,679 29,553 Add: deducted on cancellation of shares 1,545 2,462 Deduct: received on creation of shares (2,259) (3,713) Net distribution for the period 36,965 28,302 Interest 5 Total finance costs 36,970 28,302 Net revenue after taxation 36,819 28,086 Equalisation on conversion Undistributed revenue carried forward (1) Net distribution for the period 36,965 28,302 Details of the distribution per share are set out in the table on pages 10 and DEBTORS Amounts receivable for the issue of shares 2,887 36,650 Sales awaiting settlement 1,528 Accrued revenue 7,936 7,697 Foreign withholding tax recoverable 74 Total debtors 12,351 44,421 8 CREDITORS Amounts payable for the cancellation of shares (6,675) (15,478) Purchases awaiting settlement (1,629) Accrued expenses (39) (13) Amounts payable to ACD (2,139) (1,682) Total creditors (8,853) (18,802) 9 RELATED PARTY TRANSACTIONS The related parties are set out in detail in Note 8 of the aggregated financial statements on page 7. The aggregate monies received through issues and paid on cancellations are disclosed in the Statement of Change in s Attributable to Shareholders. Any amounts due to or from Threadneedle Investment Services Limited at the end of the accounting period are disclosed in Notes 7 and 8. Amounts payable to Threadneedle Investment Services Limited in respect of fund management and registration services are disclosed in Note 4 and amounts outstanding at the year end in Note 8. In addition any fees paid to Threadneedle Investment Services Limited in respect of stocklending are disclosed in Note 11. All transactions have been entered into in the ordinary course of business on normal commercial terms. 12

14 Threadneedle UK Fund Notes to the financial statements 10 SHAREHOLDER FUNDS Threadneedle UK Fund currently has three share classes; Class 1, Class 2, and Class Z shares. The charges on each share class are as follows: Annual management charge Class 1 shares 1.50% Class 2 shares 1.00% Class Z shares 0.75% Registration fees Class 1 shares 0.150% Class 2 shares 0.035% Class Z shares 0.060% For the period 8 March to 30 June 2014 the registration fees for Class Z shares were 0.110%. The net asset value of each share class, the net asset value per share, and the number of shares in each class are given in the comparative table on page 244. The distribution per share class is given in the distribution table on pages 10 and 11. All classes have the same rights on winding up. 11 STOCKLENDING During the period under review the Threadneedle UK Fund has earned 16,000 (2014: 135,000) of which Nil (2014: 13,000) was outstanding at year end. They have paid fees of Nil (2014: 19,000) of which Nil (2014: 2,000) was outstanding at the year end to Threadneedle Investment Services Limited. In addition they have paid fees of Nil (2014: 20,000) of which Nil (2014: 2,000) was outstanding at the year end to J.P. Morgan as the security lending agent to process these arrangements and hold the collateral. There was no stock on loan at the end of the accounting period (2014: 49.64m), and there was no collateral held (2014: 52.82m). The collateral was held as either securities transferred in CREST by a DBV (Delivery by ) or Gilt DBV, or in the form of overseas government bonds, supranational bonds or certificates of deposit. The nature and value of collateral held is analysed by asset class in the table below. Analysis of Collateral Held Total Total Bonds 52, , DERIVATIVES AND OTHER FINANCIAL INSTRUMENTS The analysis and tables provided below refer to the narrative disclosure on derivatives and other financial instruments risks on pages 8 and 9. Currency exposures A small proportion of the net assets of the fund are denominated in currencies other than Sterling, with the effect that the balance sheet and total return can be affected by currency movements. Net foreign currency assets Non- Monetary exposures monetary exposures Total Currency 2015 US Dollar 2,149 2,149 Currency 2014 Euro 16,259 16,259 Interest rate risk profile of financial assets and financial liabilities The interest rate risk profile of the fund s financial assets and financial liabilities at 7 March 2015 was: Floating rate financial assets Fixed rate financial assets Financial assets not carrying interest Total Currency 2015 UK Sterling 11,426 1,972,007 1,983,433 US Dollar 2,149 2,149 Currency 2014 Euro 16,259 16,259 UK Sterling 8,110 42,522 1,794,733 1,845,365 Floating rate financial liabilities Fixed rate financial liabilities Financial liabilities not carrying interest Total Currency 2015 UK Sterling (16,783) (16,783) Currency 2014 UK Sterling (27,637) (27,637) The floating rate financial assets include deposits which have a weighted average interest rate of 0.35% (2014: 0.40%). There are no material amounts of non interest-bearing financial assets, other than equities, which do not have maturity dates. Cash balances are held in floating rate accounts where interest is calculated with reference to prevailing market rates. Fair value of financial assets and financial liabilities There is no material difference between the value of the financial assets and liabilities, as shown in the balance sheet, and their fair value. 13 CONTINGENT LIABILITIES AND COMMITMENTS There are no contingent liabilities and commitments outstanding (2014: Nil). 14 PORTFOLIO TRANSACTION COSTS Analysis of total purchase costs Purchases in period before transaction costs 772, ,897 Commissions Taxes 3,455 3,255 Fees 12 Total purchase costs 4,065 4,050 Gross purchases total 776, ,947 Analysis of total sale costs Gross sales before transaction costs 695, ,723 Commissions (587) (331) Taxes (1) Total sale costs (588) (331) Total sales net of transaction costs 695, ,392 13

15 Threadneedle UK Select Fund Investment Report Investment Objective To achieve above average capital growth. Investment Policy The ACD s investment policy is to invest the assets of the Fund for growth, through a concentrated, actively managed portfolio. The select investment approach means that the ACD has the flexibility to take significant stock and sector positions which may lead to increased levels of volatility. The portfolio will consist primarily of equities of companies domiciled in the UK, or which have significant UK operations. If the ACD considers it desirable, it may further invest in other securities (including fixed interest securities, other equities and money market securities). Performance of Net Income Class 1 Shares* Over the twelve months to 7 March 2015, the published share price of the Threadneedle UK Select Fund has risen from p to p. Looking at performance within its peer group, the total return on the fund for the twelve months ending 28 February 2015, including net reinvested income, is +9.97% as compared to a median return of +4.26% over the same period. (For information the FTSE All-Share Total Return Index returned +5.56% over the same period). Portfolio Activity UK equities had a turbulent 12 months but ended the period in positive territory, with the FTSE 100 index hitting a new record high in February The first half of the year showed increasing signs of economic recovery, including improving industrial production and robust GDP-growth figures. Though the recovery continued into the second half, numerous headwinds held the UK market back, including faltering growth in the eurozone economies, slowing demand in China and, towards the year-end, slumping commodity prices, which battered the stock prices of UK-listed resource companies. Our low exposure to energy and mining companies benefited performance relative to the index. Over the period, we built a position in AstraZeneca, which is the favoured name in the pharmaceuticals sector. There is a sense that a new generation of drugs is coming through that should continue to fuel positive performance. We also started a position in DS Smith (containers and packaging) whose encouraging firsthalf-results statement spoke of a significant number of acquisition opportunities to maintain growth and margin momentum. Also over the period, we closed our position in BP (oil & gas) as we re-evaluated our exposure to the sector. Lower food and energy prices are benefiting consumers at a time when employment is rising and wage growth is beginning to accelerate, which should support discretionary spending over the course of The Bank of England has revised up its UK economic growth forecasts for both this year and next. We do, however, feel that those focused on UK political risk will start to fret about the UK general election on 7 May. Noise around the election and uncertainty in Europe, China and elsewhere will give us an opportunity to add to our favoured names those stocks should become attractive from a valuation perspective because of their perceived exposure to domestic and global events. STATEMENT OF TOTAL RETURN for the accounting period 8 March 2014 to 7 March 2015 Notes Income Net capital gains 2 17,543 29, ,008 7,388 Expenses 4 (2,893) (2,978) Net revenue before taxation 4,115 4,410 Taxation 5 (5) Net revenue after taxation 4,110 4,410 Total return before distributions 21,653 34,112 Finance costs: s 6 (4,114) (4,418) Change in net assets attributable to shareholders from investment activities 17,539 29,694 BALANCE SHEET as at 7 March 2015 Notes Assets Investment assets 204, ,895 Other assets Debtors 7 1,564 2,296 Cash and bank balances 11,886 4,209 Total other assets 13,450 6,505 Total assets 217, ,400 Liabilities Other liabilities Creditors 8 (501) (3,663) payable on income shares (805) (821) Total other liabilities (1,306) (4,484) Total liabilities (1,306) (4,484) Net assets attributable to shareholders 216, ,916 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 8 March 2014 to 7 March 2015 Opening net assets attributable to shareholders 207, ,522 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 16,218 22,518 Amounts payable on the cancellation of shares (25,207) (64,751) (8,989) (42,233) Dilution adjustment 28 Stamp duty reserve tax (17) (104) Change in net assets attributable to shareholders from investment activities (see statement of total return above) 17,539 29,694 Unclaimed distributions monies brought back into account 8 9 Closing net assets attributable to shareholders 216, ,916 *In pound Sterling and against UK peer group. Please refer to pages for comparative tables. DISTRIBUTION TABLE for the accounting period 8 March 2014 to 7 March 2015 Dividend distribution in pence per share Class 1 Shares Net Income Net Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/09/ /09/14 to 07/03/ Group 2 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period Class 2 Shares Net Income Net Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/09/ /09/14 to 07/03/ Group 2 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period

16 Threadneedle UK Select Fund DISTRIBUTION TABLE Class Z Shares Net Income Net Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/09/ /09/14 to 07/03/ Group 2 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period Group 2: shares purchased during a distribution period 15

17 Threadneedle UK Select Fund Notes to the financial statements for the accounting period 8 March 2014 to 7 March ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 6. 2 NET CAPITAL GAINS Net capital gains during the period comprise: Non-derivative securities 17,561 29,706 Other losses (16) Transaction costs (2) (4) Net capital gains 17,543 29,702 3 REVENUE UK dividends 6,941 7,143 Overseas dividends Stock dividends 158 Interest on short term investments Bank interest 6 5 Underwriting commission 7 8 Stocklending commission 2 19 Total revenue 7,008 7,388 4 EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Annual management charge (2,626) (2,711) Registration fees (220) (233) (2,846) (2,944) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary s fees (19) (18) Safe custody fees (12) (2) (31) (20) Other expenses: Regulatory fee (7) (7) Audit fee (9) (7) (16) (14) * Total expenses (2,893) (2,978) *Including irrecoverable VAT where applicable. 5 TAXATION a) Analysis of charge in period Overseas taxes (5) Total current tax (note 5b) (5) Total tax charge for the period (5) b) Factors affecting taxation charge for period Net revenue before taxation 4,115 4,410 Net revenue before taxation multiplied by the standard rate of corporation tax of 20% (823) (882) Effects of: not subject to taxation 1,383 1,468 Overseas taxes (5) Excess expenses (559) (586) Retail Review (RDR) conversion transfer from capital (1) Current tax charge for period (note 5a) (5) The fund has not recognised a deferred tax asset of 9,798,075 (2014: 9,238,406) arising as a result of having unutilised management expenses. It is unlikely that these expenses will be utilised in future years. 6 FINANCE COSTS s The distribution takes account of revenue received on the creation of shares and revenue deducted on the cancellation of shares and comprises: Interim 3,271 3,282 Final ,076 4,103 Add: deducted on cancellation of shares Deduct: received on creation of shares (67) (117) Net distribution for the period 4,114 4,418 Total finance costs 4,114 4,418 Net revenue after taxation 4,110 4,410 Equalisation on conversion 4 8 Net distribution for the period 4,114 4,418 Details of the distribution per share are set out in the table on page 14 and DEBTORS Amounts receivable for the issue of shares Sales awaiting settlement 1,066 Accrued revenue Total debtors 1,564 2,296 8 CREDITORS Amounts payable for the cancellation of shares (206) (2,731) Purchases awaiting settlement (697) Accrued expenses (10) (7) Amounts payable to ACD (285) (228) Total creditors (501) (3,663) 9 RELATED PARTY TRANSACTIONS The related parties are set out in detail in Note 8 of the aggregated financial statements on page 7. The aggregate monies received through issues and paid on cancellations are disclosed in the Statement of Change in s Attributable to Shareholders. Any amounts due to or from Threadneedle Investment Services Limited at the end of the accounting period are disclosed in Notes 7 and 8. Amounts payable to Threadneedle Investment Services Limited in respect of fund management and registration services are disclosed in Note 4 and amounts outstanding at the year end in Note 8. In addition any fees paid to Threadneedle Investment Services Limited in respect of stocklending are disclosed in Note 11. All transactions have been entered into in the ordinary course of business on normal commercial terms. 10 SHAREHOLDER FUNDS Threadneedle UK Select Fund currently has three share classes; Class 1, Class 2, and Class Z shares. The charges on each share class are as follows: Annual management charge Class 1 shares 1.50% Class 2 shares 1.00% Class Z shares 0.75% Registration fees Class 1 shares 0.150% Class 2 shares 0.035% Class Z shares 0.110% 16

18 Threadneedle UK Select Fund Notes to the financial statements The net asset value of each share class, the net asset value per share, and the number of shares in each class are given in the comparative table on page 244. The distribution per share class is given in the distribution table on pages 14 and 15. All classes have the same rights on winding up. 11 STOCKLENDING During the period under review the Threadneedle UK Select Fund has earned 2,000 (2014: 27,000) of which Nil (2014: 2,000) was outstanding at year end. They have paid fees of Nil (2014: 4,000) to Threadneedle Investment Services Limited. In addition they have paid fees of Nil (2014: 4,000) to J.P. Morgan as the security lending agent to process these arrangements and hold the collateral. There was no stock on loan at the end of the accounting period (2014: 4.44m), and there was no collateral held (2014: 4.70m). The collateral was held as either securities transferred in CREST by a DBV (Delivery by ) or Gilt DBV, or in the form of overseas government bonds, supranational bonds or certificates of deposit. The nature and value of collateral held is analysed by asset class in the table below. Analysis of Collateral Held Total Total Bonds 4, , DERIVATIVES AND OTHER FINANCIAL INSTRUMENTS The analysis and tables provided below refer to the narrative disclosure on derivatives and other financial instruments risks on pages 8 and 9. Currency exposures A small proportion of the net assets of the fund are denominated in currencies other than Sterling, with the effect that the balance sheet and total return can be affected by currency movements. Net foreign currency assets Non- Monetary exposures monetary exposures Total Currency 2015 US Dollar Currency 2014 Euro 8 8 US Dollar 2,653 2,653 Interest rate risk profile of financial assets and financial liabilities The interest rate risk profile of the fund s financial assets and financial liabilities at 7 March 2015 was: Floating rate financial assets Fixed rate financial assets Financial assets not carrying interest Total Currency 2015 UK Sterling 11, , ,463 US Dollar Currency 2014 Euro 8 8 UK Sterling 2,700 1, , ,739 US Dollar 2,653 2,653 There are no material amounts of non interest-bearing financial assets, other than equities, which do not have maturity dates. Cash balances are held in floating rate accounts where interest is calculated with reference to prevailing market rates. Fair value of financial assets and financial liabilities There is no material difference between the value of the financial assets and liabilities, as shown in the balance sheet, and their fair value. 13 CONTINGENT LIABILITIES AND COMMITMENTS There are no contingent liabilities and commitments outstanding (2014: Nil). 14 PORTFOLIO TRANSACTION COSTS Analysis of total purchase costs Purchases in period before transaction costs 79,772 82,883 Commissions Taxes Fees 2 Total purchase costs Gross purchases total 80,262 83,325 Analysis of total sale costs Gross sales before transaction costs 99, ,728 Commissions (140) (170) Total sale costs (140) (170) Total sales net of transaction costs 99, ,558 Floating rate financial liabilities Fixed rate financial liabilities Financial liabilities not carrying interest Total Currency 2015 UK Sterling (1,306) (1,306) Currency 2014 UK Sterling (4,484) (4,484) The floating rate financial assets include deposits which have a weighted average interest rate of 0.35% (2014: 0.40%). 17

19 Threadneedle UK Smaller Companies Fund Investment Report Investment Objective To achieve capital growth. Investment Policy The ACD s investment policy is to invest the assets of the Fund primarily in the equities of smaller companies that are domiciled in the UK or have significant UK operations. If the ACD considers it desirable it may further invest up to one third of the total assets of the Fund in other securities (including fixed interest securities, other equities and money market securities). For liquidity purposes it may invest in cash and near cash. Performance of Net Income Class 1 Shares* Over the twelve months to 7 March 2015, the published share price of the Threadneedle UK Smaller Companies Fund has risen from p to p. Looking at performance within its peer group, the total return on the fund for the twelve months ending 28 February 2015, including net reinvested income, is +2.77% as compared to a median return of -3.68% over the same period. (For information the Numis Smaller Companies (ex Investment Trusts) Index returned -1.83% over the same period). Portfolio Activity The global economy has faced a broad range of challenges over the last 12 months, and markets have seen a more volatile profile over this period. Global markets reacted positively at the start of the period to the improving economic data in the US and the perception that rates would stay lower for longer across the globe. However, concerns around Europe and monetary tightening in the US, slowing growth in China and anaemic corporate earnings saw markets retreat into the year end. The dramatic fall in the oil price, which began in September 2014 and hit a low of US$50 a barrel in January 2015, generated increased volatility. So far, 2015 has seen several global indexes rise to new highs as comfort seems to have been reinstated around the Federal Reserve s tightening policy. Meanwhile, China s growth target has been firmed up at lower levels, and, in the short term, Europe is working around Greece. The UK economy has retained solid growth, with low inflation and improving jobs data facilitating a sustained increase in domestic consumption. The Numis Smaller Companies Index (ex Investment Trusts) has been broadly flat over the period but has underperformed the larger UK indexes. The fund performed well as it was a major beneficiary of increased mergers and acquisitions (M&A) activity; Optos, Hyder, CSR, Spirit and Kentz all received bids during the period. The fund also benefited from its increased exposure to the UK domestic economy through holdings such as Crest Nicholson and Secure Trust Bank. We believe there is still scope for earnings progression from domesticexposed companies going forward. The fund exited several of the companies where bids have completed. We also sold out of Entertainment One and Euromoney, where we saw a reduced conviction in the investment case at the valuation. We have moved funds out of stocks where we felt valuations looked full, and moved into stocks which presented better value; companies such as N Brown, Pets at Home and Mears Group are all generating strong cashflow with good growth prospects. The focus remains on high-quality companies with sustainable returns and can deliver progress in a relatively benign economic environment. We can see M&A remaining a theme, and would expect more of our companies to look to be on the acquiring side going forward as they look to strengthen their market positions. STATEMENT OF TOTAL RETURN for the accounting period 8 March 2014 to 7 March 2015 Notes Income Net capital gains 2 1,556 33, ,434 2,737 Expenses 4 (1,733) (1,971) Net revenue before taxation Taxation 5 (62) (12) Net revenue after taxation Total return before distributions 2,195 34,404 Finance costs: s 6 (727) (802) Change in net assets attributable to shareholders from investment activities 1,468 33,602 BALANCE SHEET as at 7 March 2015 Notes Assets Investment assets 145, ,995 Other assets Debtors ,071 Cash and bank balances 1,404 11,514 Total other assets 1,731 12,585 Total assets 147, ,580 Liabilities Other liabilities Creditors 8 (1,997) (3,533) payable on income shares (86) (197) Total other liabilities (2,083) (3,730) Total liabilities (2,083) (3,730) Net assets attributable to shareholders 145, ,850 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 8 March 2014 to 7 March 2015 Opening net assets attributable to shareholders 173, ,171 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 33,566 54,344 Amounts payable on the cancellation of shares (64,120) (53,438) Amounts receivable on inspecie transfers (11,333) (30,554) (10,427) Dilution adjustment Stamp duty reserve tax (38) (68) Change in net assets attributable to shareholders from investment activities (see statement of total return above) 1,468 33,602 Retained distribution on accumulation shares 41 Unclaimed distributions monies brought back into account 1 1 Closing net assets attributable to shareholders 145, ,850 DISTRIBUTION TABLE for the accounting period 8 March 2014 to 7 March 2015 Dividend distribution in pence per share Class 1 Shares Net Income Net Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/09/ /09/14 to 07/03/15 Group 2 08/03/14 to 07/09/ /09/14 to 07/03/15 Total distributions in the period Class 2 Shares Net Income Net Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/09/ /09/14 to 07/03/ Group 2 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period *In pound Sterling and against UK peer group. Please refer to pages for comparative tables. 18

20 Threadneedle UK Smaller Companies Fund DISTRIBUTION TABLE Class Z Shares Net Income Net Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/09/ /09/14 to 07/03/ Group 2 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period Class Z Shares Net Accumulation Net Equalisation Net Net Accumulated Accumulated Group 1 08/03/14 to 07/09/ /09/14 to 07/03/ Group 2 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period Group 2: shares purchased during a distribution period 19

21 Threadneedle UK Smaller Companies Fund Notes to the financial statements for the accounting period 8 March 2014 to 7 March ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 6. 2 NET CAPITAL GAINS Net capital gains during the period comprise: Non-derivative securities 1,549 33,663 Other gains/(losses) 10 (7) Transaction costs (3) (6) Net capital gains 1,556 33,650 3 REVENUE UK dividends 1,971 2,521 Overseas dividends Bank interest 7 12 Underwriting commission Stocklending commission Total revenue 2,434 2,737 4 EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Annual management charge (1,579) (1,800) Registration fees (115) (140) (1,694) (1,940) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary s fees (13) (16) Safe custody fees (10) (2) (23) (18) Other expenses: Regulatory fee (7) (6) Audit fee (9) (7) (16) (13) * Total expenses (1,733) (1,971) *Including irrecoverable VAT where applicable. 5 TAXATION a) Analysis of charge in period Overseas taxes (62) (12) Total current tax (note 5b) (62) (12) Total tax charge for the period (62) (12) b) Factors affecting taxation charge for period Net revenue before taxation Net revenue before taxation multiplied by the standard rate of corporation tax of 20% (140) (153) Effects of: not subject to taxation Overseas taxes (62) (12) Overseas taxes expensed 2 Excess expenses (241) (375) Retail Review (RDR) conversion transfer from capital (1) Current tax charge for period (note 5a) (62) (12) The fund has not recognised a deferred tax asset of 4,971,463 (2014: 4,730,650) arising as a result of having unutilised management expenses. It is unlikely that these expenses will be utilised in future years. 6 FINANCE COSTS s The distribution takes account of revenue received on the creation of shares and revenue deducted on the cancellation of shares and comprises: Interim Final Add: deducted on cancellation of shares Deduct: received on creation of shares (40) (200) Net distribution for the period Total finance costs Net revenue after taxation Shortfall transfer from capital to revenue Equalisation on conversion 3 2 Net distribution for the period Details of the distribution per share are set out in the table on pages 18 and DEBTORS Amounts receivable for the issue of shares Sales awaiting settlement Accrued revenue Total debtors 327 1,071 8 CREDITORS Amounts payable for the cancellation of shares (125) (397) Purchases awaiting settlement (1,700) (2,955) Accrued expenses (10) (8) Amounts payable to ACD (162) (173) Total creditors (1,997) (3,533) 9 RELATED PARTY TRANSACTIONS The related parties are set out in detail in Note 8 of the aggregated financial statements on page 7. The aggregate monies received through issues and paid on cancellations are disclosed in the Statement of Change in s Attributable to Shareholders. Any amounts due to or from Threadneedle Investment Services Limited at the end of the accounting period are disclosed in Notes 7 and 8. Amounts payable to Threadneedle Investment Services Limited in respect of fund management and registration services are disclosed in Note 4 and amounts outstanding at the year end in Note 8. In addition any fees paid to Threadneedle Investment Services Limited in respect of stocklending are disclosed in Note 11. All transactions have been entered into in the ordinary course of business on normal commercial terms. 20

22 Threadneedle UK Smaller Companies Fund Notes to the financial statements 10 SHAREHOLDER FUNDS Threadneedle UK Smaller Companies Fund currently has three share classes; Class 1, Class 2, and Class Z shares. The charges on each share class are as follows: Annual management charge Class 1 shares 1.50% Class 2 shares 1.00% Class Z shares 0.75% Registration fees Class 1 shares 0.150% Class 2 shares 0.035% Class Z shares 0.110% The net asset value of each share class, the net asset value per share, and the number of shares in each class are given in the comparative table on page 245. The distribution per share class is given in the distribution table on pages 18 and 19. All classes have the same rights on winding up. 11 STOCKLENDING During the period under review the Threadneedle UK Smaller Companies Fund has earned 16,000 (2014: 72,000) of which Nil (2014: 7,000) was outstanding at year end. They have paid fees of Nil (2014: 10,000) of which Nil (2014: 1,000) was outstanding at the year end to Threadneedle Investment Services Limited. In addition they have paid fees of Nil (2014: 11,000) of which Nil (2014: 1,000) was outstanding at the year end to J.P. Morgan as the security lending agent to process these arrangements and hold the collateral. There was no stock on loan at the end of the accounting period (2014: 11.61m), and there was no collateral held (2014: 12.32m). The collateral was held as either securities transferred in CREST by a DBV (Delivery by ) or Gilt DBV, or in the form of overseas government bonds, supranational bonds or certificates of deposit. The nature and value of collateral held is analysed by asset class in the table below. Analysis of Collateral Held Total Total Bonds 12, , DERIVATIVES AND OTHER FINANCIAL INSTRUMENTS The analysis and tables provided below refer to the narrative disclosure on derivatives and other financial instruments risks on pages 8 and 9. Currency exposures A small proportion of the net assets of the fund are denominated in currencies other than Sterling, with the effect that the balance sheet and total return can be affected by currency movements. Net foreign currency assets Non- Monetary exposures monetary exposures Total Currency 2015 Euro Currency 2014 Euro 7 1,277 1,284 Interest rate risk profile of financial assets and financial liabilities The interest rate risk profile of the fund s financial assets and financial liabilities at 7 March 2015 was: Floating rate financial assets Fixed rate financial assets Financial assets not carrying interest Total Currency 2015 UK Sterling 1, , ,338 Currency 2014 Euro 7 1,277 1,284 UK Sterling 11, , ,296 Floating rate financial liabilities Fixed rate financial liabilities Financial liabilities not carrying interest Total Currency 2015 UK Sterling (2,083) (2,083) Currency 2014 UK Sterling (3,730) (3,730) There are no material amounts of non interest-bearing financial assets, other than equities, which do not have maturity dates. Cash balances are held in floating rate accounts where interest is calculated with reference to prevailing market rates. Fair value of financial assets and financial liabilities There is no material difference between the value of the financial assets and liabilities, as shown in the balance sheet, and their fair value. 13 CONTINGENT LIABILITIES AND COMMITMENTS There are no contingent liabilities and commitments outstanding (2014: Nil). 14 PORTFOLIO TRANSACTION COSTS Analysis of total purchase costs Purchases in period before transaction costs 67,171 89,361 Commissions Taxes Fees 5 Total purchase costs Gross purchases total 67,382 89,825 Analysis of total sale costs Gross sales before transaction costs 88,444 99,513 Commissions (126) (123) Total sale costs (126) (123) Total sales net of transaction costs 88,318 99,390 21

23 Threadneedle UK Growth & Income Fund Investment Report Investment Objective To provide long term capital growth with a reasonable and growing income. Investment Policy The ACD s investment policy is to invest the assets of the Fund primarily in blue chip large capitalised UK companies, but including, when deemed appropriate small and medium-sized companies, predominately from the UK. Performance of Net Income Class 1 Shares* Over the twelve months to 7 March 2015, the published share price of the Threadneedle UK Growth & Income Fund has risen from 85.45p to 88.33p. Looking at performance within its peer group, the total return on the fund for the twelve months ending 28 February 2015, including net reinvested income, is +6.59% as compared to a median return of +4.26% over the same period. (For information the FTSE All-Share Total Return Index returned +5.56% over the same period). Portfolio Activity UK equities had a turbulent 12 months but ended the period in positive territory, with the FTSE 100 index hitting a new record high in February The first half of the year showed increasing signs of economic recovery, including improving industrial production and robust GDP-growth figures. Though the recovery continued into the second half, numerous headwinds held the UK market back, including faltering growth in the eurozone economies, slowing demand in China and, toward the year-end, slumping commodity prices, which battered the stock prices of UK-listed resource companies. Our low exposure to energy and mining companies benefited performance relative to the index. Over the period, we started a new position in Secure Trust (banking) and added to an existing position in FirstGroup (transport). FirstGroup s shares have weakened substantially over the last few years, but we view it as a potentially interesting recovery story under the leadership of a new chairman who has a record of delivering. Secure Trust is a well-funded challenger bank that should benefit from government interest in improving conditions for the challengers. We also increased our holdings in Pearson (educational services) and Morrisons (supermarket). Pearson is emerging from a period of restructuring with much greater growth potential from digital services, while Morrisons, in our view, is an interesting contrarian stock. It is early days, but progress has been made with the company s strategy under the new chairman, and much is expected of the well-regarded incoming CEO. We sold out of CSR and F&C Asset Management after shares rose significantly following takeover bids from overseas firms. As stated, we were able to outperform as we do not mimic the index and we have zero weightings in many of the sectors affected by the decline in commodity prices. The portfolio s unconstrained approach should continue to provide resilience and generate attractive returns as volatility returns to global markets. Noise around the UK election and uncertainty in Europe, China and elsewhere will give us an opportunity to add to our favoured names those stocks should become attractive from a valuation perspective because of their perceived exposure to domestic and global events. STATEMENT OF TOTAL RETURN for the accounting period 8 March 2014 to 7 March 2015 Notes Income Net capital gains 2 15,275 42, ,416 8,539 Expenses 4 (4,461) (3,736) Finance costs: Interest 6 (1) Net revenue before taxation 5,954 4,803 Taxation 5 Net revenue after taxation 5,954 4,803 Total return before distributions 21,229 47,086 Finance costs: s 6 (10,061) (8,263) Change in net assets attributable to shareholders from investment activities 11,168 38,823 BALANCE SHEET as at 7 March 2015 Notes Assets Investment assets 319, ,810 Other assets Debtors 7 1,915 5,344 Cash and bank balances 2,814 23,016 Total other assets 4,729 28,360 Total assets 323, ,170 Liabilities Other liabilities Creditors 8 (2,813) (11,139) payable on income shares (3,517) (3,811) Total other liabilities (6,330) (14,950) Total liabilities (6,330) (14,950) Net assets attributable to shareholders 317, ,220 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 8 March 2014 to 7 March 2015 Opening net assets attributable to shareholders 303, ,755 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 54,263 88,166 Amounts payable on the cancellation of shares (51,110) (53,497) 3,153 34,669 Dilution adjustment Stamp duty reserve tax (40) (180) Change in net assets attributable to shareholders from investment activities (see statement of total return above) 11,168 38,823 Unclaimed distributions monies brought back into account 11 9 Closing net assets attributable to shareholders 317, ,220 DISTRIBUTION TABLE for the accounting period 8 March 2014 to 7 March 2015 Dividend distribution in pence per share Class 1 Shares Net Income Net Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/09/ /09/14 to 07/03/ Group 2 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period Class 2 Shares Net Income Net Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/09/ /09/14 to 07/03/ Group 2 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period *In pound Sterling and against UK peer group. Please refer to pages for comparative tables. 22

24 Threadneedle UK Growth & Income Fund DISTRIBUTION TABLE Class Z Shares Net Income Net Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/09/ /09/14 to 07/03/ Group 2 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period Group 2: shares purchased during a distribution period 23

25 Threadneedle UK Growth & Income Fund Notes to the financial statements for the accounting period 8 March 2014 to 7 March ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 6. 2 NET CAPITAL GAINS Net capital gains during the period comprise: Non-derivative securities 15,276 42,288 Other losses (2) Transaction costs (1) (3) Net capital gains 15,275 42,283 3 REVENUE UK dividends 10,324 8,292 Overseas dividends 11 Stock dividends Interest on short term investments 7 16 Bank interest 6 7 Underwriting commission 42 Stocklending commission 20 Total revenue 10,416 8,539 4 EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Annual management charge (4,107) (3,460) Registration fees (296) (241) (4,403) (3,701) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary s fees (28) (19) Safe custody fees (14) (3) (42) (22) Other expenses: Regulatory fee (7) (6) Audit fee (9) (7) (16) (13) * Total expenses (4,461) (3,736) *Including irrecoverable VAT where applicable. 5 TAXATION a) Analysis of charge in period Total current tax (note 5b) Total tax charge for the period b) Factors affecting taxation charge for period Net revenue before taxation 5,954 4,803 Net revenue before taxation multiplied by the standard rate of corporation tax of 20% (1,191) (961) Effects of: not subject to taxation 2,070 1,699 Excess expenses (879) (738) Current tax charge for period (note 5a) The fund has not recognised a deferred tax asset of 14,416,655 (2014: 13,537,388) arising as a result of having unutilised management expenses. It is unlikely that these expenses will be utilised in future years. 6 FINANCE COSTS s and Interest The distribution takes account of revenue received on the creation of shares and revenue deducted on the cancellation of shares and comprises: Interim 6,563 4,785 Final 3,517 3,811 10,080 8,596 Add: deducted on cancellation of shares Deduct: received on creation of shares (369) (898) Net distribution for the period 10,061 8,263 Interest 1 Total finance costs 10,062 8,263 Net revenue after taxation 5,954 4,803 Annual management charge to capital 4,107 3,460 Net distribution for the period 10,061 8,263 Details of the distribution per share are set out in the table on pages 22 and DEBTORS Amounts receivable for the issue of shares 598 3,817 Sales awaiting settlement 242 Accrued revenue 1,075 1,527 Total debtors 1,915 5,344 8 CREDITORS Amounts payable for the cancellation of shares (2,368) (75) Purchases awaiting settlement (10,730) Accrued expenses (12) (8) Amounts payable to ACD (433) (326) Total creditors (2,813) (11,139) 9 RELATED PARTY TRANSACTIONS The related parties are set out in detail in Note 8 of the aggregated financial statements on page 7. The aggregate monies received through issues and paid on cancellations are disclosed in the Statement of Change in s Attributable to Shareholders. Any amounts due to or from Threadneedle Investment Services Limited at the end of the accounting period are disclosed in Notes 7 and 8. Amounts payable to Threadneedle Investment Services Limited in respect of fund management and registration services are disclosed in Note 4 and amounts outstanding at the year end in Note 8. In addition any fees paid to Threadneedle Investment Services Limited in respect of stocklending are disclosed in Note 11. All transactions have been entered into in the ordinary course of business on normal commercial terms. 10 SHAREHOLDER FUNDS Threadneedle UK Growth & Income Fund currently has three share classes; Class 1, Class 2, and Class Z shares. The charges on each share class are as follows: Annual management charge Class 1 shares 1.50% Class 2 shares 1.00% Class Z shares 0.75% Registration fees Class 1 shares 0.110% Class 2 shares 0.035% Class Z shares 0.110% 24

26 Threadneedle UK Growth & Income Fund Notes to the financial statements The net asset value of each share class, the net asset value per share, and the number of shares in each class are given in the comparative table on page 245. The distribution per share class is given in the distribution table on pages 22 and 23. All classes have the same rights on winding up. 11 STOCKLENDING During the period under review the Threadneedle UK Growth & Income Fund has earned Nil (2014: 28,000) of which Nil (2014: 3,000) was outstanding at year end. They have paid fees of Nil (2014: 4,000) to Threadneedle Investment Services Limited. In addition they have paid fees of Nil (2014: 4,000) to J.P. Morgan as the security lending agent to process these arrangements and hold the collateral. There was no stock on loan at the end of the accounting period (2014: 3.83m), and there was no collateral held (2014: 4.05m). The collateral was held as either securities transferred in CREST by a DBV (Delivery by ) or Gilt DBV, or in the form of overseas government bonds, supranational bonds or certificates of deposit. The nature and value of collateral held is analysed by asset class in the table below. Analysis of Collateral Held Total Total Bonds 4, , DERIVATIVES AND OTHER FINANCIAL INSTRUMENTS The analysis and tables provided below refer to the narrative disclosure on derivatives and other financial instruments risks on pages 8 and 9. Currency exposures A small proportion of the net assets of the fund are denominated in currencies other than Sterling, with the effect that the balance sheet and total return can be affected by currency movements. Net foreign currency assets Non- Monetary exposures monetary exposures Total Currency 2015 Euro 9 9 US Dollar Currency 2014 Euro US Dollar 7 7 Interest rate risk profile of financial assets and financial liabilities The interest rate risk profile of the fund s financial assets and financial liabilities at 7 March 2015 was: Floating rate financial assets Fixed rate financial assets Financial assets not carrying interest Total Currency 2015 Euro 9 9 UK Sterling 2, , ,772 US Dollar Currency 2014 Euro UK Sterling 7,996 15, , ,151 US Dollar 7 7 Floating rate financial liabilities Fixed rate financial liabilities Financial liabilities not carrying interest Total Currency 2015 UK Sterling (6,330) (6,330) Currency 2014 UK Sterling (14,950) (14,950) There are no material amounts of non interest-bearing financial assets, other than equities, which do not have maturity dates. Cash balances are held in floating rate accounts where interest is calculated with reference to prevailing market rates. Fair value of financial assets and financial liabilities There is no material difference between the value of the financial assets and liabilities, as shown in the balance sheet, and their fair value. 13 CONTINGENT LIABILITIES AND COMMITMENTS There are no contingent liabilities and commitments outstanding (2014: Nil). 14 PORTFOLIO TRANSACTION COSTS Analysis of total purchase costs Purchases in period before transaction costs 29,877 50,824 Commissions Taxes Total purchase costs Gross purchases total 30,002 51,134 Analysis of total sale costs Gross sales before transaction costs 15,923 27,166 Commissions (14) (20) Total sale costs (14) (20) Total sales net of transaction costs 15,909 27,146 25

27 Threadneedle UK Equity Income Fund Investment Report Investment Objective To achieve an above average rate of income combined with sound prospects for capital growth. Investment Policy The ACD s investment policy is to invest the assets of the Fund primarily in UK equities. It may, however, invest in other securities such as convertibles and gilts. Performance of Net Income Class 1 Shares* Over the twelve months to 7 March 2015, the published share price of the Threadneedle UK Equity Income Fund has risen from 89.48p to 93.65p. Looking at performance within its peer group, the total return on the fund for the twelve months ending 28 February 2015, including net reinvested income, is +7.92% as compared to a median return of +6.27% over the same period. (For information the FTSE All-Share Total Return Index returned +5.56% over the same period). Portfolio Activity UK equities had a turbulent 12 months but ended the period in positive territory, with the FTSE 100 index hitting a new record high in February The first half of the year showed increasing signs of economic recovery, including improving industrial production and robust GDP-growth figures. Though the recovery continued into the second half, numerous headwinds held the UK market back, including faltering growth in the eurozone economies, slowing demand in China and, toward the year-end, slumping commodity prices, which battered the stock prices of UK-listed resource companies. Our low exposure to energy and mining stocks benefited the fund s performance relative to the index. Over the period, we added to GlaxoSmithKline and AstraZeneca (both pharmaceuticals). We see GlaxoSmithKline as an interesting contrarian stock, in a similar position to when we built our holding in AstraZeneca a few years ago. AstraZeneca is a favoured name within pharmaceuticals, and there is a sense that a new generation of drugs is coming through that should continue to fuel positive performance. We also continued to build our position in Centrica on weakness, as we view it as our next contrarian recovery play; we draw comparisons with when we built our position in Aviva following its dividend cut in 2013, which turned out to be the perfect time to buy. As stated, we were able to outperform as we do not mimic the index and we have zero weightings in many of the sectors affected by the decline in commodity prices. The portfolio should continue to provide resilience and generate an attractive yield as volatility returns to global markets. Noise around the UK election and uncertainty in Europe, China and elsewhere will give us an opportunity to add to our favoured names those stocks should become attractive from a valuation perspective because of their perceived exposure to domestic and global events. STATEMENT OF TOTAL RETURN for the accounting period 8 March 2014 to 7 March 2015 Notes Income Net capital gains 2 211, , ,554 87,193 Expenses 4 (35,651) (29,270) Finance costs: Interest 6 (14) Net revenue before taxation 93,889 57,923 Taxation 5 Net revenue after taxation 93,889 57,923 Total return before distributions 304, ,499 Finance costs: s 6 (126,976) (85,189) Change in net assets attributable to shareholders from investment activities 177, ,310 BALANCE SHEET as at 7 March 2015 Notes Assets Investment assets 3,431,141 2,656,686 Other assets Debtors 7 23,507 28,582 Cash and bank balances ,409 Total other assets 23,537 80,991 Total assets 3,454,678 2,737,677 Liabilities Derivative liabilities (92) Other liabilities Creditors 9 (10,174) (40,633) Bank overdrafts 8 (937) payable on income shares (22,869) (15,837) Total other liabilities (33,980) (56,470) Total liabilities (34,072) (56,470) Net assets attributable to shareholders 3,420,606 2,681,207 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 8 March 2014 to 7 March 2015 Opening net assets attributable to shareholders 2,681,207 1,855,165 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 924, ,025 Amounts payable on the cancellation of shares (384,532) (195,722) 540, ,303 Dilution adjustment 424 Stamp duty reserve tax (680) (2,226) Change in net assets attributable to shareholders from investment activities (see statement of total return above) 177, ,310 Retained distribution on accumulation shares 21,535 7,638 Unclaimed distributions monies brought back into account Closing net assets attributable to shareholders 3,420,606 2,681,207 DISTRIBUTION TABLE for the accounting period 8 March 2014 to 7 March 2015 Dividend distribution in pence per share Class 1 Shares Net Income Net Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/06/ /06/14 to 07/09/ /09/14 to 07/12/ /12/14 to 07/03/ Group 2 08/03/14 to 07/06/ /06/14 to 07/09/ /09/14 to 07/12/ /12/14 to 07/03/ Total distributions in the period *In pound Sterling and against UK peer group. Please refer to pages for comparative tables. 26

28 Threadneedle UK Equity Income Fund DISTRIBUTION TABLE Class 1 Shares Net Accumulation Net Equalisation Net Net Accumulated Accumulated Group 1 08/03/14 to 07/06/ /06/14 to 07/09/ /09/14 to 07/12/ /12/14 to 07/03/ Group 2 08/03/14 to 07/06/ /06/14 to 07/09/ /09/14 to 07/12/ /12/14 to 07/03/ Total distributions in the period Class 1 CHF Hedged Shares Net Accumulation* Net Equalisation Net Accumulated 2014/2015 Group 1 03/04/14 to 07/06/ /06/14 to 07/09/ /09/14 to 07/12/ /12/14 to 07/03/ Group 2 03/04/14 to 07/06/ /06/14 to 07/09/ /09/14 to 07/12/ /12/14 to 07/03/ Total distributions in the period Class 1 EUR Hedged Shares Net Accumulation* Net Equalisation Net Accumulated 2014/2015 Group 1 03/04/14 to 07/06/ /06/14 to 07/09/ /09/14 to 07/12/ /12/14 to 07/03/ Group 2 03/04/14 to 07/06/ /06/14 to 07/09/ /09/14 to 07/12/ /12/14 to 07/03/ Total distributions in the period Class 1 USD Hedged Shares Net Accumulation* Net Equalisation Net Accumulated 2014/2015 Group 1 03/04/14 to 07/06/ /06/14 to 07/09/ /09/14 to 07/12/ /12/14 to 07/03/ Group 2 03/04/14 to 07/06/ /06/14 to 07/09/ /09/14 to 07/12/ /12/14 to 07/03/ Total distributions in the period Class 2 Shares Net Income Net Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/06/ /06/14 to 07/09/ /09/14 to 07/12/ /12/14 to 07/03/ Group 2 08/03/14 to 07/06/ /06/14 to 07/09/ /09/14 to 07/12/ /12/14 to 07/03/ Total distributions in the period Class X Shares Net Income** Net Equalisation Paid/Payable 2014/2015 Group 1 28/07/14 to 07/09/ /09/14 to 07/12/ /12/14 to 07/03/ Group 2 28/07/14 to 07/09/ /09/14 to 07/12/ /12/14 to 07/03/ Total distributions in the period Class Z Shares Net Income Net Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/06/ /06/14 to 07/09/ /09/14 to 07/12/ /12/14 to 07/03/ Group 2 08/03/14 to 07/06/ /06/14 to 07/09/ /09/14 to 07/12/ /12/14 to 07/03/ Total distributions in the period Class Z Shares Net Accumulation Net Equalisation Net Net Accumulated Accumulated Group 1 08/03/14 to 07/06/ /06/14 to 07/09/ /09/14 to 07/12/ /12/14 to 07/03/ Group 2 08/03/14 to 07/06/ /06/14 to 07/09/ /09/14 to 07/12/ /12/14 to 07/03/ Total distributions in the period Class Z CHF Hedged Shares Net Accumulation* Net Equalisation Net Accumulated 2014/2015 Group 1 03/04/14 to 07/06/ /06/14 to 07/09/ /09/14 to 07/12/ /12/14 to 07/03/ Group 2 03/04/14 to 07/06/ /06/14 to 07/09/ /09/14 to 07/12/ /12/14 to 07/03/ Total distributions in the period Class Z EUR Hedged Shares Net Accumulation* Net Equalisation Net Accumulated 2014/2015 Group 1 03/04/14 to 07/06/ /06/14 to 07/09/ /09/14 to 07/12/ /12/14 to 07/03/ Group 2 03/04/14 to 07/06/ /06/14 to 07/09/ /09/14 to 07/12/ /12/14 to 07/03/ Total distributions in the period Class Z USD Hedged Shares Net Accumulation* Net Equalisation Net Accumulated 2014/2015 Group 1 03/04/14 to 07/06/ /06/14 to 07/09/ /09/14 to 07/12/ /12/14 to 07/03/ Group 2 03/04/14 to 07/06/ /06/14 to 07/09/ /09/14 to 07/12/ /12/14 to 07/03/ Total distributions in the period Group 2: shares purchased during a distribution period *Class 1 CHF Hedged Net accumulation shares, Class 1 EUR Hedged Net accumulation shares, Class 1 USD Hedged Net accumulation shares, Class Z CHF Hedged Net accumulation shares, Class Z EUR Hedged Net accumulation shares and Class Z USD Hedged Net accumulation shares commenced 3 April **Class X Net income shares commenced 28 July

29 Threadneedle UK Equity Income Fund Notes to the financial statements for the accounting period 8 March 2014 to 7 March ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 6. 2 NET CAPITAL GAINS Net capital gains during the period comprise: Non-derivative securities 211, ,580 Forward currency contracts (341) Other gains 18 Transaction costs (2) (4) Net capital gains 211, ,576 3 REVENUE UK dividends 124,730 86,539 Overseas dividends 4,298 Stock dividends 291 Interest on short term investments Bank interest Underwriting commission 416 Stocklending commission 182 Total revenue 129,554 87,193 4 EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Annual management charge (33,075) (27,268) Registration fees (2,227) (1,924) (35,302) (29,192) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary s fees (257) (42) Safe custody fees (76) (23) (333) (65) Other expenses: Regulatory fee (7) (6) Audit fee (9) (7) (16) (13) * Total expenses (35,651) (29,270) *Including irrecoverable VAT where applicable. 5 TAXATION a) Analysis of charge in period Total current tax for period (see note b) Total tax charge for the period b) Factors affecting taxation charge for period Net revenue before taxation 93,889 57,923 Net revenue before taxation multiplied by the standard rate of corporation tax of 20% (18,778) (11,585) Effects of: not subject to taxation 25,781 17,366 Excess expenses (7,000) (5,781) Retail Review (RDR) conversion transfer from capital (3) Current tax charge for the period (a) The fund has not recognised a deferred tax asset of 31,892,037 (2014: 24,892,407) arising as a result of having unutilised management expenses. It is unlikely that these expenses will be utilised in future years. 6 FINANCE COSTS s and Interest The distribution takes account of revenue received on the creation of shares and revenue deducted on the cancellation of shares and comprises: Interim 101,749 69,608 Final 28,384 17, ,133 87,545 Undistributed 1 Add: deducted on cancellation of shares 1, Deduct: received on creation of shares (4,816) (2,605) Net distribution for the period 126,976 85,189 Interest 14 Total finance costs 126,990 85,189 Net revenue after taxation 93,889 57,923 Annual management charge to capital 33,075 27,268 Equalisation on conversion 14 (2) Undistributed revenue carried forward (2) Net distribution for the period 126,976 85,189 Details of the distribution per share are set out in the table on pages 26 and DEBTORS Amounts receivable for the issue of shares 6,280 18,360 Sales awaiting settlement 1,639 Accrued revenue 15,588 10,222 Total debtors 23,507 28,582 8 CASH AND BANK BALANCES Amounts held at futures clearing houses and brokers 30 Cash and bank balances 52, ,409 Bank overdrafts (937) Total cash and bank balances (907) 52,409 9 CREDITORS Amounts payable for the cancellation of shares (6,543) (6,213) Purchases awaiting settlement (31,877) Accrued expenses (58) (16) Amounts payable to ACD (3,573) (2,527) Total creditors (10,174) (40,633) 10 RELATED PARTY TRANSACTIONS The related parties are set out in detail in Note 8 of the aggregated financial statements on page 7. The aggregate monies received through issues and paid on cancellations are disclosed in the Statement of Change in s Attributable to Shareholders. Any amounts due to or from Threadneedle Investment Services Limited at the end of the accounting period are disclosed in Notes 7 and 9. Amounts payable to Threadneedle Investment Services Limited in respect of fund management and registration services are disclosed in Note 4 and amounts outstanding at the year end in Note 9. In addition any fees paid to Threadneedle Investment Services Limited in respect of stocklending are disclosed in Note 12. All transactions have been entered into in the ordinary course of business on normal commercial terms. 28

30 Threadneedle UK Equity Income Fund Notes to the financial statements 11 SHAREHOLDER FUNDS Threadneedle UK Equity Income Fund currently has six share classes; Class 1, Class 1 Hedged, Class 2, Class X, Class Z, and Class Z Hedged shares. The charges on each share class are as follows: Annual management charge Class 1 shares 1.50% Class 1 Hedged shares 1.50% Class 2 shares 1.00% Class X shares N/A* Class Z shares 0.75% Class Z Hedged shares 0.75% Registration fees Class 1 shares 0.110% Class 1 Hedged shares 0.110% Class 2 shares 0.035% Class X shares 0.035% Class Z shares 0.060% Class Z Hedged shares 0.060% The net asset value of each share class, the net asset value per share, and the number of shares in each class are given in the comparative table on page 246. The distribution per share class is given in the distribution table on pages 26 and 27. All classes have the same rights on winding up. *X Shares are not subject to an Annual Management Charge. 12 STOCKLENDING During the period under review the Threadneedle UK Equity Income Fund has earned Nil (2014: 257,000) of which Nil (2014: 24,000) was outstanding at year end. The fund paid fees of Nil (2014: 36,000) of which Nil (2014: 3,000) was outstanding at the year end to Threadneedle Investment Services Limited. In addition they have paid fees of Nil (2014: 39,000) of which Nil (2014: 4,000) was outstanding at the year end to J.P. Morgan as the security lending agent to process these arrangements and hold the collateral. There was no stock on loan at the end of the accounting period (2014: 30.08m), and there was no collateral held (2014: 32.14m). The collateral was held as either securities transferred in CREST by a DBV (Delivery by ) or Gilt DBV, or in the form of overseas government bonds, supranational bonds or certificates of deposit. The nature and value of collateral held is analysed by asset class in the table below. Analysis of Collateral Held Total Total Bonds 32, , DERIVATIVES AND OTHER FINANCIAL INSTRUMENTS The analysis and tables provided below refer to the narrative disclosure on derivatives and other financial instruments risks on pages 8 and 9. Currency exposures A small proportion of the net assets of the fund are denominated in currencies other than Sterling, with the effect that the balance sheet and total return can be affected by currency movements. In 2014 there were no assets of the fund denominated in currencies other than Sterling. Net foreign currency assets Nonmonetary Monetary exposures exposures Total Currency 2015 Euro 3,908 3,908 Swiss Franc 2,740 2,740 US Dollar 1,901 1,363 3, Interest rate risk profile of financial assets and financial liabilities The interest rate risk profile of the fund s financial assets and financial liabilities at 7 March 2015 was: Floating rate financial assets Fixed rate financial assets Financial assets not carrying interest Total Currency 2015 Euro 3,998 3,998 Swiss Franc 2,740 2,740 UK Sterling 30 3,452,789 3,452,819 US Dollar 3,398 3,398 Currency 2014 UK Sterling 28,397 24,011 2,685,269 2,737,677 Floating rate financial liabilities Fixed rate financial liabilities Financial liabilities not carrying interest Total Currency 2015 Euro (90) (90) UK Sterling (938) (41,187) (42,125) US Dollar (134) (134) Currency 2014 UK Sterling (56,470) (56,470) The floating rate financial assets include deposits which have a weighted average interest rate of 0.00% (2014: 0.40%). Other than equities which do not have maturity dates, non interest-bearing assets relate to forward foreign exchange contracts. Derivatives including forwards are used in this portfolio to take active positions in FX markets. Derivatives are employed when they are the cheapest and most efficient method of gaining exposure. This increases the risk profile of the fund and may result in a higher degree of volatility. All open positions are regularly reviewed by the fund manager. The fund has entered into various forward foreign exchange contracts during this accounting period. Such contracts commit the fund to future deliveries or receipts, typically three months forward, of assets and liabilities, at prices decided at the point of striking the contract. They therefore allow the fund manager to limit risk, or to enhance fund performance in return for the acceptance of greater risk. At 7 March 2015, the fund had outstanding forward foreign exchange contracts with an asset value of 26,000 (2014: Nil) and a liability value of 92,000 (2014: Nil). Cash balances are held in floating rate accounts where interest is calculated with reference to prevailing market rates. Fair value of financial assets and financial liabilities There is no material difference between the value of the financial assets and liabilities, as shown in the balance sheet, and their fair value. Sensitivity analysis Sensitivity or value at risk is not shown since the fund holds no derivatives that could impact the fund significantly. 14 CONTINGENT LIABILITIES AND COMMITMENTS There are no contingent liabilities and commitments outstanding (2014: Nil). 15 PORTFOLIO TRANSACTION COSTS Analysis of total purchase costs Purchases in period before transaction costs 927, ,607 Commissions 1, Taxes 4,311 2,655 Fees 3 Total purchase costs 5,577 3,469 Gross purchases total 933, ,076 Analysis of total sale costs Gross sales before transaction costs 370,179 86,454 Commissions (64) (116) Total sale costs (64) (116) Total sales net of transaction costs 370,115 86,338

31 Threadneedle UK Monthly Income Fund Investment Report Investment Objective To achieve an above average income combined with sound prospects for capital growth. Income will be paid monthly. Investment Policy The ACD s investment policy is to invest the assets of the Fund primarily in UK equities. It may, however, invest in other securities such as convertibles and gilts. Performance of Net Income Class 1 Shares* Over the twelve months to 7 March 2015, the published share price of the Threadneedle UK Monthly Income Fund has risen from 75.00p to 78.78p. Looking at performance within its peer group, the total return on the fund for the twelve months ending 28 February 2015, including net reinvested income, is +8.26% as compared to a median return of +6.27% over the same period. (For information the FTSE All-Share Total Return Index returned +5.56% over the same period). Portfolio Activity During 2014, UK economic growth recovered to 2.6%. Elsewhere, growth in the US steadied, belatedly started to recover in Europe and weakened in China. The big change during the second half of the period under review was the collapse in oil prices, which roughly halved to $50 per barrel. The market traded within a relatively narrow 13% range during the year, ending the period up 2%. This nudged the FTSE to just above its previous record high, seen in It is important to continue to frame thoughts about economics and markets in the context of global monetary policy; this remains extraordinarily accommodative. Anglo- Saxon interest rates remained for a fifth consecutive year at 300+ year record lows of effectively zero. This is not normal. After the 30-year fall in US 10-year Treasury yields, when rates do eventually rise this period may be seen as having been the calm before the storm. Anticipating this, the US dollar rallied to multi-year highs. May s UK general election looks likely to be the closest in post-war history. The precarious position of Greece within the eurozone was highlighted by the Greek election result in January. Activity on the fund remained low, with changes to approximately 20 the fund. However, judicious dealing enabled three changes to its shape. First, the number of holdings was reduced from 74 to 66, primarily by exiting long-standing industrial holdings which had simply become too expensive. These included Croda, Essentra and IMI. Coincidentally, the fund moved underweight in this area for the first time in five years. Second, in searching for better value and yield, the fund moved slightly more defensive, primarily by adding to existing holding of BAT. And third, in the latter half of the period, the fund s cash position was increased to, and consistently maintained at, 3%. This is as high as it has been since markets troughed five years ago. The fund also made large additions to its position in the closed-end life assurer Phoenix, yielding a sustainable 7%, and HSBC, yielding a modestly growing 5.5%. The fund also benefited from a bid for the long-standing and large holding in Lloyds insurer Catlin. Although UK corporate profitability remained flat for a third consecutive year, company balance sheets remain strong and dividend cover almost 2.0x; roughly in line with its longterm average. The fund s monthly dividends during the year were increased to 0.22p per class 1 share from 0.21p previously. This follows on from payments of 0.20p, 0.19p and 0.18p in the three prior years. For the year as a whole, the fund s dividend was increased by 7.5% for the second consecutive year; the same rate by which it has grown on average over the past four years. At period end, on an ex-dividend basis, the fund s Class 1 shares yielded 3.8%. The rate on Class 2 shares increased to 0.33p per share and the Class Z shares increased to 0.39p per share. For the current year, the intention is to increase the fund s monthly payments on these shares to 0.23p per Class 1 share. STATEMENT OF TOTAL RETURN for the accounting period 8 March 2014 to 7 March 2015 Notes Income Net capital gains 2 41,020 93, ,877 25,001 Expenses 4 (10,004) (9,711) Net revenue before taxation 16,873 15,290 Taxation 5 5 Net revenue after taxation 16,873 15,295 Total return before distributions 57, ,602 Finance costs: s 6 (26,084) (24,400) Change in net assets attributable to shareholders from investment activities 31,809 84,202 BALANCE SHEET as at 7 March 2015 Notes Assets Investment assets 660, ,946 Other assets Debtors 7 4,295 6,919 Cash and bank balances 15,284 12,187 Total other assets 19,579 19,106 Total assets 680, ,052 Liabilities Other liabilities Creditors 8 (1,967) (5,623) payable on income shares (4,865) (4,527) Total other liabilities (6,832) (10,150) Total liabilities (6,832) (10,150) Net assets attributable to shareholders 673, ,902 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 8 March 2014 to 7 March 2015 Opening net assets attributable to shareholders 655, ,054 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 30,907 35,251 Amounts payable on the cancellation of shares (45,294) (41,500) (14,387) (6,249) Stamp duty reserve tax (54) (193) Change in net assets attributable to shareholders from investment activities (see statement of total return above) 31,809 84,202 Unclaimed distributions monies brought back into account Closing net assets attributable to shareholders 673, ,902 DISTRIBUTION TABLE for the accounting period 8 March 2014 to 7 March 2015 Dividend distribution in pence per share Class 1 Shares Net Income Net Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/04/ /04/14 to 07/05/ /05/14 to 07/06/ /06/14 to 07/07/ /07/14 to 07/08/ /08/14 to 07/09/ /09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ *In pound Sterling and against UK peer group. Please refer to pages for comparative tables. 30

32 Threadneedle UK Monthly Income Fund DISTRIBUTION TABLE Class 1 Shares Net Income Net Equalisation Paid/Payable Paid Group 2 08/03/14 to 07/04/ /04/14 to 07/05/ /05/14 to 07/06/ /06/14 to 07/07/ /07/14 to 07/08/ /08/14 to 07/09/ /09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ Total distributions in the period Class 2 Shares Net Income Net Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/04/ /04/14 to 07/05/ /05/14 to 07/06/ /06/14 to 07/07/ /07/14 to 07/08/ /08/14 to 07/09/ /09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ Group 2 08/03/14 to 07/04/ /04/14 to 07/05/ /05/14 to 07/06/ /06/14 to 07/07/ /07/14 to 07/08/ /08/14 to 07/09/ /09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ Total distributions in the period Class Z Shares Net Income Net Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/04/ /04/14 to 07/05/ /05/14 to 07/06/ /06/14 to 07/07/ /07/14 to 07/08/ /08/14 to 07/09/ /09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ Group 2 08/03/14 to 07/04/ /04/14 to 07/05/ /05/14 to 07/06/ /06/14 to 07/07/ /07/14 to 07/08/ /08/14 to 07/09/ /09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ Total distributions in the period Group 2: shares purchased during a distribution period 31

33 Threadneedle UK Monthly Income Fund Notes to the financial statements for the accounting period 8 March 2014 to 7 March ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 6. 2 NET CAPITAL GAINS Net capital gains during the period comprise: Non-derivative securities 41,010 93,310 Other gains 12 Transaction costs (2) (3) Net capital gains 41,020 93,307 3 REVENUE UK dividends 26,459 24,000 Overseas dividends Stock dividends 60 Interest on short term investments Bank interest Underwriting commission Stocklending commission 4 60 Total revenue 26,877 25,001 4 EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Annual management charge (9,206) (8,998) Registration fees (706) (669) (9,912) (9,667) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary s fees (56) (23) Safe custody fees (21) (6) (77) (29) Other expenses: Regulatory fee (6) (6) Audit fee (9) (7) Miscellaneous expenses (2) (15) (15) * Total expenses (10,004) (9,711) *Including irrecoverable VAT where applicable. 5 TAXATION a) Analysis of charge in period Overseas taxes 5 Total current tax (note 5b) 5 Total tax charge for the period 5 b) Factors affecting taxation charge for period Net revenue before taxation 16,873 15,290 Net revenue before taxation multiplied by the standard rate of corporation tax of 20% (3,375) (3,058) Effects of: not subject to taxation 5,286 4,969 Overseas taxes 5 Excess expenses (1,910) (1,911) Retail Review (RDR) conversion transfer from capital (1) Current tax charge for period (note 5a) 5 32 The fund has not recognised a deferred tax asset of 37,320,782 (2014: 35,410,523) arising as a result of having unutilised management expenses. It is unlikely that these expenses will be utilised in future years. 6 FINANCE COSTS s The distribution takes account of revenue received on the creation of shares and revenue deducted on the cancellation of shares and comprises: Interim 21,146 19,989 Final 4,865 4,527 26,011 24,516 Add: deducted on cancellation of shares Deduct: received on creation of shares (183) (147) Net distribution for the period 26,084 24,400 Total finance costs 26,084 24,400 Net revenue after taxation 16,873 15,295 Annual management charge to capital 9,206 8,998 Equalisation on conversion Net distribution for the period 26,084 24,400 Details of the distribution per share are set out in the table on pages 30 and DEBTORS Amounts receivable for the issue of shares 807 1,178 Sales awaiting settlement 371 3,054 Accrued revenue 3,117 2,682 United Kingdom income tax recoverable 5 Total debtors 4,295 6,919 8 CREDITORS Amounts payable for the cancellation of shares (980) (555) Purchases awaiting settlement (4,272) Accrued expenses (17) (9) Amounts payable to ACD (970) (787) Total creditors (1,967) (5,623) 9 RELATED PARTY TRANSACTIONS The related parties are set out in detail in Note 8 of the aggregated financial statements on page 7. The aggregate monies received through issues and paid on cancellations are disclosed in the Statement of Change in s Attributable to Shareholders. Any amounts due to or from Threadneedle Investment Services Limited at the end of the accounting period are disclosed in Notes 7 and 8. Amounts payable to Threadneedle Investment Services Limited in respect of fund management and registration service are disclosed in Note 4 and amounts outstanding at the year end in Note 9. In addition any fees paid to Threadneedle Investment Services Limited in respect of stocklending are disclosed in Note 11. All transactions have been entered into in the ordinary course of business on normal commercial terms. 10 SHAREHOLDER FUNDS Threadneedle UK Monthly Income Fund currently has three share classes; Class 1, Class 2, and Class Z shares. The charges on each share class are as follows: Annual management charge Class 1 shares 1.50% Class 2 shares 1.00% Class Z shares 0.75% Registration fees Class 1 shares 0.110% Class 2 shares 0.035% Class Z shares 0.110%

34 Threadneedle UK Monthly Income Fund Notes to the financial statements The net asset value of each share class, the net asset value per share, and the number of shares in each class are given in the comparative table on page 246. The distribution per share class is given in the distribution table on pages 30 and 31. All classes have the same rights on winding up. 11 STOCKLENDING During the period under review the Threadneedle UK Monthly Income Fund has earned 4,000 (2014: 85,000) of which Nil (2014: 8,000) was outstanding at year end. They have paid fees of Nil (2014: 12,000) of which Nil (2014: 1,000) was outstanding at the year end to Threadneedle Investment Services Limited. In addition they have paid fees of Nil (2014: 13,000) of which Nil (2014: 1,000) was outstanding at the year end to J.P. Morgan as the security lending agent to process these arrangements and hold the collateral. There was no stock on loan at the end of the accounting period (2014: 20.19m), and there was no collateral held (2014: 21.36m). The collateral was held as either securities transferred in CREST by a DBV (Delivery by ) or Gilt DBV, or in the form of overseas government bonds, supranational bonds or certificates of deposit. The nature and value of collateral held is analysed by asset class in the table below. Analysis of Collateral Held Total Total Bonds 21, , DERIVATIVES AND OTHER FINANCIAL INSTRUMENTS The analysis and tables provided below refer to the narrative disclosure on derivatives and other financial instruments risks on pages 8 and 9. Currency exposures A small proportion of the net assets of the fund are denominated in currencies other than Sterling, with the effect that the balance sheet and total return can be affected by currency movements. Net foreign currency assets Non- Monetary exposures monetary exposures Total Currency 2015 US Dollar 1,016 1,016 Currency 2014 US Dollar 3,054 4,936 7,990 Interest rate risk profile of financial assets and financial liabilities The interest rate risk profile of the fund s financial assets and financial liabilities at 7 March 2015 was: Floating rate financial assets Fixed rate financial assets Financial assets not carrying interest Total Currency 2015 UK Sterling 15, , ,201 US Dollar 1,016 1,016 Currency 2014 UK Sterling 7,181 5, , ,062 US Dollar 7,990 7,990 The floating rate financial assets include deposits which have a weighted average interest rate of 0.35% (2014: 0.40%). There are no material amounts of non interest-bearing financial assets, other than equities, which do not have maturity dates. Cash balances are held in floating rate accounts where interest is calculated with reference to prevailing market rates. Fair value of financial assets and financial liabilities There is no material difference between the value of the financial assets and liabilities, as shown in the balance sheet, and their fair value. 13 CONTINGENT LIABILITIES AND COMMITMENTS There are no contingent liabilities and commitments outstanding (2014: Nil). 14 PORTFOLIO TRANSACTION COSTS Analysis of total purchase costs Purchases in period before transaction costs 109, ,177 Commissions Taxes Fees 2 Total purchase costs Gross purchases total 110, ,903 Analysis of total sale costs Gross sales before transaction costs 137, ,763 Commissions (205) (212) Total sale costs (205) (212) Total sales net of transaction costs 137, ,551 Floating rate financial liabilities Fixed rate financial liabilities Financial liabilities not carrying interest Total Currency 2015 UK Sterling (6,832) (6,832) Currency 2014 UK Sterling (10,150) (10,150) 33

35 Threadneedle Monthly Extra Income Fund Investment Report Investment Objective To achieve a high level of income with prospects of capital growth. Income will be paid monthly. Investment Policy The ACD s investment policy is to invest the assets of the Fund primarily in Sterling denominated fixed interest securities and UK equities. Performance of Net Income Class 1 Shares* Over the twelve months to 7 March 2015, the published share price of the Threadneedle Monthly Extra Income Fund has risen from 74.90p to 78.49p. Looking at performance within its peer group, the total return on the fund for the twelve months ending 28 February 2015, including net reinvested income, is +8.52% as compared to a median return of +6.77% over the same period. In view of the nature of the fund, and its investment remit, there is no directly comparable market index. Portfolio Activity UK equities had a turbulent 12 months but ended the period in positive territory, with the FTSE 100 index hitting a new record high in February The first half of the year showed increasing signs of economic recovery, including improving industrial production and robust GDP-growth figures. Though the recovery continued into the second half, numerous headwinds held the UK market back, including faltering growth in the eurozone economies, slowing demand in China and, toward the yearend, slumping commodity prices, which battered the stock prices of UK-listed resource companies. In the equity portion of the fund, we added to GlaxoSmithKline and AstraZeneca (both pharmaceuticals). We see GlaxoSmithKline as an interesting contrarian stock, in a similar position to when we built our holding in AstraZeneca a few years ago. AstraZeneca is a favoured name within pharmaceuticals, and there is a sense that a new generation of drugs is coming through that should continue to fuel positive performance. We also continued to build our position in Centrica on weakness, as we view it as our next contrarian recovery play drawing comparisons with when we built our position in Aviva following its dividend cut in 2013, which turned out to be the perfect time to buy. Further down the market-cap spectrum we started a new position in Secure Trust, a well-funded challenger bank that should benefit from government interest in improving conditions for the challengers. In the fixed-income component of the portfolio, we continue to have a strong focus on issuer selection, implementing the best bottom-up credit ideas from our global team of 14 investment-grade analysts, using the best risk-adjusted securities issued by those issuers. Examples of our larger issuer positions have included Citigroup and RBS which have both continued to build capital and liquidity ratios and wind down bad bank assets. We sold a short-dated Virgin Media bond and bought a long-dated issue from Juturna European Loan Conduit. In emerging markets, we sold Mexican government bonds, a medium-dated issue from Qatar National Bank and a perpetual bond from Banco Bilbao Vizcaya Argentaria. We also sold perpetual bonds issued by Standard Chartered Bank over the period. As stated, we were able to outperform as we do not mimic the index and we have zero-weightings in many of the sectors impacted by the decline in commodity prices. The portfolio should continue to provide resilience and generate an attractive yield as volatility returns to global markets. Noise around the UK election and uncertainty in Europe, China and elsewhere will give us an opportunity to add to our favoured names those stocks should become attractive from a valuation perspective because of their perceived exposure to domestic and global events. STATEMENT OF TOTAL RETURN for the accounting period 8 March 2014 to 7 March 2015 Notes Income Net capital gains 2 20,814 25, ,195 7,697 Expenses 4 (3,230) (2,454) Net revenue before taxation 8,965 5,243 Taxation 5 Net revenue after taxation 8,965 5,243 Total return before distributions 29,779 30,738 Finance costs: s 6 (11,318) (7,195) Change in net assets attributable to shareholders from investment activities 18,461 23,543 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 8 March 2014 to 7 March 2015 Opening net assets attributable to shareholders 216, ,191 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 152,213 53,742 Amounts payable on the cancellation of shares (13,530) (23,173) 138,683 30,569 Dilution adjustment Stamp duty reserve tax (2) (115) Change in net assets attributable to shareholders from investment activities (see statement of total return above) 18,461 23,543 Retained distribution on accumulation shares 167 Unclaimed distributions monies brought back into account 1 1 Closing net assets attributable to shareholders 373, ,235 BALANCE SHEET as at 7 March 2015 Notes Assets Investment assets 367, ,424 Other assets Debtors 7 5,961 3,610 Cash and bank balances 5,794 8,712 Total other assets 11,755 12,322 Total assets 378, ,746 Liabilities Derivative liabilities (87) (17) Other liabilities Creditors 8 (1,711) (2,591) payable on income shares (3,230) (1,903) Total other liabilities (4,941) (4,494) Total liabilities (5,028) (4,511) Net assets attributable to shareholders 373, ,235 DISTRIBUTION TABLE for the accounting period 8 March 2014 to 7 March 2015 Dividend distribution in pence per share Class 1 Shares Net Income Net Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/04/ /04/14 to 07/05/ /05/14 to 07/06/ /06/14 to 07/07/ /07/14 to 07/08/ /08/14 to 07/09/ /09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ *In pound Sterling and against UK peer group. Please refer to pages for comparative tables. 34

36 Threadneedle Monthly Extra Income Fund DISTRIBUTION TABLE Class 1 Shares Net Income Net Equalisation Paid/Payable Paid Group 2 08/03/14 to 07/04/ /04/14 to 07/05/ /05/14 to 07/06/ /06/14 to 07/07/ /07/14 to 07/08/ /08/14 to 07/09/ /09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ Total distributions in the period Class Z Shares Net Income Net Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/04/ /04/14 to 07/05/ /05/14 to 07/06/ /06/14 to 07/07/ /07/14 to 07/08/ /08/14 to 07/09/ /09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ Group 2 08/03/14 to 07/04/ /04/14 to 07/05/ /05/14 to 07/06/ /06/14 to 07/07/ /07/14 to 07/08/ /08/14 to 07/09/ /09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ Total distributions in the period Class Z Shares Net Accumulation* Net Equalisation Paid/Payable 2014/2015 Group 1 20/08/14 to 07/09/ /09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ Group 2 20/08/14 to 07/09/ /09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ Total distributions in the period Group 2: shares purchased during a distribution period *Class Z Net accumulation shares commenced 20 August

37 Threadneedle Monthly Extra Income Fund Notes to the financial statements for the accounting period 8 March 2014 to 7 March ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 6. 2 NET CAPITAL GAINS Net capital gains during the period comprise: Non-derivative securities 20,798 25,005 Forward currency contracts Other losses (35) (4) Transaction costs (4) (4) Net capital gains 20,814 25,495 3 REVENUE UK dividends 8,893 5,667 Overseas dividends 530 Stock dividends 20 Interest on debt securities 2,717 1,974 Interest on short term investments 17 3 Bank interest 8 16 Underwriting commission 30 Stocklending commission 17 Total revenue 12,195 7,697 4 EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Annual management charge (2,854) (2,212) Registration fees (315) (205) (3,169) (2,417) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary s fees (27) (18) Safe custody fees (16) (3) (43) (21) Other expenses: Regulatory fee (6) (6) Audit fee (12) (10) (18) (16) * Total expenses (3,230) (2,454) *Including irrecoverable VAT where applicable. 5 TAXATION a) Analysis of charge in period Total current tax (note 5b) Total tax charge for the period b) Factors affecting taxation charge for period Net revenue before taxation 8,965 5,243 Net revenue before taxation multiplied by the standard rate of corporation tax of 20% (1,793) (1,049) Effects of: not subject to taxation 1,863 1,138 Excess expenses (70) (89) Current tax charge for period (note 5a) The fund has not recognised a deferred tax asset of 196,178 (2014: 126,541) arising as a result of having unutilised management expenses. It is unlikely that these expenses will be utilised in future years. 6 FINANCE COSTS s The distribution takes account of revenue received on the creation of shares and revenue deducted on the cancellation of shares and comprises: Interim 8,943 5,619 Final 3,309 1,903 12,252 7,522 Add: deducted on cancellation of shares Deduct: received on creation of shares (1,038) (359) Net distribution for the period 11,318 7,195 Total finance costs 11,318 7,195 Net revenue after taxation 8,965 5,243 Annual management charge to capital 2,854 2,212 Tax thereon (501) (316) Equalisation on conversion 56 Net distribution for the period 11,318 7,195 Details of the distribution per share are set out in the table on pages 34 and DEBTORS Amounts receivable for the issue of shares 2,979 2,048 Sales awaiting settlement 282 Accrued revenue 2,700 1,562 Total debtors 5,961 3,610 8 CREDITORS Amounts payable for the cancellation of shares (56) (1) Purchases awaiting settlement (1,251) (2,345) Accrued expenses (14) (10) Amounts payable to ACD (358) (203) Corporation tax payable (32) (32) Total creditors (1,711) (2,591) 9 RELATED PARTY TRANSACTIONS The related parties are set out in detail in Note 8 of the aggregated financial statements on page 7. The aggregate monies received through issues and paid on cancellations are disclosed in the Statement of Change in s Attributable to Shareholders. Any amounts due to or from Threadneedle Investment Services Limited at the end of the accounting period are disclosed in Notes 7 and 8. Amounts payable to Threadneedle Investment Services Limited in respect of fund management and registration services are disclosed in Note 4 and amounts outstanding at the year end in Note 8. In addition any fees paid to Threadneedle Investment Services Limited in respect of stocklending are disclosed in Note 11. All transactions have been entered into in the ordinary course of business on normal commercial terms. 36

38 Threadneedle Monthly Extra Income Fund Notes to the financial statements 10 SHAREHOLDER FUNDS Monthly Extra Income Fund currently has two share classes; Class 1, and Class Z shares. The charges on each share class are as follows: Annual management charge Class 1 shares 1.25% Class Z shares 0.60% Registration fees Class 1 shares 0.110% Class Z shares 0.110% The net asset value of each share class, the net asset value per share, and the number of shares in each class are given in the comparative table on page 247. The distribution per share class is given in the distribution table on pages 34 and 35. All classes have the same rights on winding up. 11 STOCKLENDING During the period under review the Threadneedle Monthly Extra Income Fund has earned Nil (2014: 24,000) of which Nil (2014: 2,000) was outstanding at year end. They have paid fees of Nil (2014: 3,000) to Threadneedle Investment Services Limited. In addition they have paid fees of Nil (2014: 4,000) to J.P. Morgan as the security lending agent to process these arrangements and hold the collateral. There was no stock on loan at the end of the accounting period (2014: 1.87m), and there was no collateral held (2014: 1.95m). The collateral was held as either securities transferred in CREST by a DBV (Delivery by ) or Gilt DBV, or in the form of overseas government bonds, supranational bonds or certificates of deposit. The nature and value of collateral held is analysed by asset class in the table below. Analysis of Collateral Held Total Total Bonds 1, , DERIVATIVES AND OTHER FINANCIAL INSTRUMENTS The analysis and tables provided below refer to the narrative disclosure on derivatives and other financial instruments risks on pages 8 and 9. Currency exposures A small proportion of the net assets of the fund are denominated in currencies other than Sterling, with the effect that the balance sheet and total return can be affected by currency movements. Net foreign currency assets Non- Monetary exposures monetary exposures Total Currency 2015 Euro 301 (273) 28 US Dollar 465 (316) 149 Currency 2014 Euro 45 (26) 19 US Dollar 105 (75) 30 Interest rate risk profile of financial assets and financial liabilities The interest rate risk profile of the fund s financial assets and financial liabilities at 7 March 2015 was: Floating rate financial assets Fixed rate financial assets Financial assets not carrying interest Total Currency 2015 Euro 2, ,226 UK Sterling 19,111 44, , ,570 US Dollar 2,794 2, ,503 Currency 2014 Euro 200 2, ,436 UK Sterling 7,196 35, , ,589 US Dollar 32 4, ,967 Floating rate financial liabilities Fixed rate financial liabilities Financial liabilities not carrying interest Total Currency 2015 Euro (3,198) (3,198) UK Sterling (4,943) (4,943) US Dollar (5,355) (5,355) Currency 2014 Euro (109) (2,217) (91) (2,417) UK Sterling (4,403) (4,403) US Dollar (4,937) (4,937) Fixed rate financial assets Weighted average interest rate Fixed rate financial assets Weighted average period for which rate is fixed Currency % % years years Euro UK Sterling US Dollar The floating rate financial assets include deposits which have a weighted average interest rate of 0.35% (2014: 0.40%). Other than equities which do not have maturity dates, non interest-bearing assets relate to forward foreign exchange contracts. Derivatives including forwards are used in this portfolio to take active positions in FX markets. Derivatives are employed when they are the cheapest and most efficient method of gaining exposure. This increases the risk profile of the fund and may result in a higher degree of volatility. All open positions are regularly reviewed by the fund manager. The fund has entered into various forward foreign exchange contracts during this accounting period. Such contracts commit the fund to future deliveries or receipts, typically three months forward, of assets and liabilities, at prices decided at the point of striking the contract. They therefore allow the fund manager to limit risk, or to enhance fund performance in return for the acceptance of greater risk. At 7 March 2015, the fund had outstanding forward foreign exchange contracts with an asset value of 62,000 (2014: 20,000) and a liability value of 87,000 (2014: 17,000). The fund s floating rate investments earn interest which is variable, based on LIBOR or its overseas equivalent. Cash balances are held in floating rate accounts where interest is calculated with reference to prevailing market rates. Fair value of financial assets and financial liabilities There is no material difference between the value of the financial assets and liabilities, as shown in the balance sheet, and their fair value. Sensitivity analysis Sensitivity or value at risk is not shown since the fund holds no derivatives that could impact the fund significantly. 13 CONTINGENT LIABILITIES AND COMMITMENTS There are no contingent liabilities and commitments outstanding (2014: Nil). 14 PORTFOLIO TRANSACTION COSTS Analysis of total purchase costs Purchases in period before transaction costs 166,074 55,304 Commissions Taxes Total purchase costs Gross purchases total 166,723 55,498 Analysis of total sale costs Gross sales before transaction costs 28,722 22,463 Commissions (3) (15) Total sale costs (3) (15) Total sales net of transaction costs 28,719 22,448 37

39 Threadneedle UK Corporate Bond Fund Investment Report Investment Objective To achieve a high level of income. Investment Policy The ACD s investment policy is to invest the assets of the fund primarily in fixed interest investments in the UK and Continental Europe. Performance of Net Income Class 1 Shares* Over the twelve months to 7 March 2015, the published share price of the Threadneedle UK Corporate Bond Fund has risen from 56.94p to 59.53p. Looking at performance within its peer group, the total return on the fund for the twelve months ending 28 February 2015, including net reinvested income, is +8.46% as compared to a median return of +9.48% over the same period. The fund return equates approximately to +9.93% gross of tax and charges**. (For information the iboxx Non-Gilts (Linked with UBS Warburg All Stocks Investment Grade Index pre 30/06/2003) gave a total return of % for the same period). Portfolio Activity Over the course of the 12-month period, returns for the UK Corporate Bond Fund were reasonably positive. This was driven by a sharp fall in gilt yields through the year, as well as a generally stable-to-constructive environment for corporate-bond spreads. Through the last 12 months, the benchmark 10-year gilt fell in yield from around 2.8% to less than 2% by early March Gilts have followed the broader global theme of dwindling governmentbond yields. This decline has been driven by the combination of lower inflation, muted economic performance and the consequent reduced expectation of interest-rate rises. UK inflation at the core level has fallen from 3.7% in the spring of 2011, to 1.4% at the latest reading. In turn, inflation has been driven lower by a sharp decline in fuel prices as well as low levels of wage increases in the broader economy. Corporate-bond spreads have traded in a narrow range through the last year. The average corporate bond offered around 1.15% percent more than gilts at the start of the period and ended at around 1% by the start of March this year. While corporate fundamentals are not improving, and these valuations are fairly average, the effects of low interest rates globally and the provision of extraordinary liquidity from central banks in the form of asset purchases continues to make the corporate market a favoured area for investors. The UK market has been further supported by a real lack of new issuance. For banks, the process of rehabilitation since the global financial crisis remains on track with rising levels of capital, improved liquidity and, more recently, higher levels of profitability. This trend has meant that bank and financials have outperformed the overall market. The fund was invested with a defensive or lower duration position which we retain to date. We felt that gilt yields offered a poor level of risk/reward to investors. Yields at current levels are historically very low, both in an absolute sense and also when compared to present and anticipated levels of inflation and growth. This has not been a successful strategy so far. As mentioned, the decline in yields would have benefited a longer-duration position in the fund. At the sector level, we were invested in areas where the balance of fundamental and structural outlook compares well with valuations or spreads. This included banks in general, and bank capital in particular. We retained a preference for banks domiciled in areas such as the UK, USA and Switzerland. Key overweight credits include Bank of America, Barclays, ING Group and UBS where there is reduced tail-risk from any re-emergence of eurozone worries. We were also invested with an overweight position in consumer services and goods companies including Tesco, Morrisons, Anhauser Busch Inbev, GKN and more recently Mondelez the US food giant which issued a relatively attractive new issue in February of this year. The fund had an overweight in credit risk relative to the index which aided fund performance given the compression of credit spreads through the last year. Key underweights include the healthcare sector, as well as sovereign and sub-sovereign issuers where spreads are very tight to present gilt yields. The outlook for the market seems rather less attractive than a year ago, at least from a total-return perspective. The sharp decline in gilt yields in recent years and contraction of credit spreads make valuations less compelling at least in an absolute sense. That said, the recent strength in sterling, a fall in inflation, generally less rosy economic data as well as the uncertainty that a general election brings, means that a material rise in interest rates and a consequent large-scale sell off in the gilt market appear unlikely; though not impossible. Meanwhile, unless companies embrace a more aggressive attitude towards releveraging, or valuations/spreads compress further, we anticipate remaining invested with an overweight in credit risk in general and a skew towards bank and financials. Nonetheless, it should be noted that the credit-improvement trend described above is fairly mature and banks balance sheets seem to have been, by and large, adequately repaired. STATEMENT OF TOTAL RETURN for the accounting period 8 March 2014 to 7 March 2015 Notes Income Net capital gains/(losses) 2 30,677 (2,804) 3 32,518 33,367 Expenses 4 (4,134) (4,139) Finance costs: Derivative expense 6 (652) (632) Interest 6 (1) Net revenue before taxation 27,731 28,596 Taxation 5 Net revenue after taxation 27,731 28,596 Total return before distributions 58,408 25,792 Finance costs: s 6 (27,732) (28,599) Change in net assets attributable to shareholders from investment activities 30,676 (2,807) BALANCE SHEET as at 7 March 2015 Notes Assets Investment assets 724, ,886 Other assets Debtors 7 14,371 24,704 Cash and bank balances 8 18,712 13,593 Total other assets 33,083 38,297 Total assets 757, ,183 Liabilities Derivative liabilities (2,760) (51) Other liabilities Creditors 9 (14,854) (11,474) Bank overdrafts 8 (595) payable on income shares (1,958) (2,020) Total other liabilities (17,407) (13,494) Total liabilities (20,167) (13,545) Net assets attributable to shareholders 737, ,638 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 8 March 2014 to 7 March 2015 Opening net assets attributable to shareholders 670, ,589 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 106,560 52,169 Amounts payable on the cancellation of shares (87,838) (136,587) 18,722 (84,418) Dilution adjustment 101 Change in net assets attributable to shareholders from investment activities (see statement of total return above) 30,676 (2,807) Retained distribution on accumulation shares 17,542 17,163 Unclaimed distributions monies brought back into account Closing net assets attributable to shareholders 737, ,638 DISTRIBUTION TABLE for the accounting period 8 March 2014 to 7 March 2015 Interest distribution in pence per share Class 1 Shares Net Income Gross Income Tax Net Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/06/ /06/14 to 07/09/ /09/14 to 07/12/ /12/14 to 07/03/ Group 2 08/03/14 to 07/06/ /06/14 to 07/09/ /09/14 to 07/12/ /12/14 to 07/03/ Total distributions in the period *In pound Sterling and against UK peer group. **Gross performance is calculated in Factset using daily cash flows and daily global close valuations. Please refer to pages for comparative tables. 38

40 Threadneedle UK Corporate Bond Fund DISTRIBUTION TABLE Class 1 Shares Gross Income Gross Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/06/ /06/14 to 07/09/ /09/14 to 07/12/ /12/14 to 07/03/ Group 2 08/03/14 to 07/06/ /06/14 to 07/09/ /09/14 to 07/12/ /12/14 to 07/03/ Total distributions in the period Class 2 Shares Net Income Gross Income Tax Net Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/06/ /06/14 to 07/09/ /09/14 to 07/12/ /12/14 to 07/03/ Group 2 08/03/14 to 07/06/ /06/14 to 07/09/ /09/14 to 07/12/ /12/14 to 07/03/ Total distributions in the period Class 2 Shares Gross Accumulation Gross Gross Gross Equalisation Accumulated Accumulated Group 1 08/03/14 to 07/06/ /06/14 to 07/09/ /09/14 to 07/12/ /12/14 to 07/03/ Group 2 08/03/14 to 07/06/ /06/14 to 07/09/ /09/14 to 07/12/ /12/14 to 07/03/ Total distributions in the period Class X Shares Gross Income* Gross Equalisation Paid/Payable 2014/2015 Group 1 08/03/14 to 07/06/14 08/06/14 to 07/09/ /09/14 to 07/12/ /12/14 to 07/03/ Group 2 08/03/14 to 07/06/14 08/06/14 to 07/09/ /09/14 to 07/12/ /12/14 to 07/03/ Total distributions in the period Group 2: shares purchased during a distribution period *Class X Gross income shares commenced 28 July

41 Threadneedle UK Corporate Bond Fund Notes to the financial statements for the accounting period 8 March 2014 to 7 March ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 6. 2 NET CAPITAL GAINS/(LOSSES) Net capital gains/(losses) during the period comprise: Non-derivative securities 30,835 (12,035) Derivative contracts (203) (571) Forward currency contracts 89 9,970 Other losses (40) (161) Transaction costs (4) (7) Net capital gains/(losses) 30,677 (2,804) 3 REVENUE Interest on debt securities 32,472 33,291 Interest on short term investments Bank interest Stocklending commission 4 34 Total revenue 32,518 33,367 4 EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Annual management charge (3,674) (3,703) Registration fees (339) (364) (4,013) (4,067) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary s fees (60) (24) Safe custody fees (44) (34) (104) (58) Other expenses: Regulatory fee (6) (6) Audit fee (11) (8) (17) (14) * Total expenses (4,134) (4,139) *Including irrecoverable VAT where applicable. 5 TAXATION a) Analysis of charge in period Total current tax (note 5b) Total tax charge for the period b) Factors affecting taxation charge for period Net revenue before taxation 27,731 28,596 Net revenue before taxation multiplied by the standard rate of corporation tax of 20% (5,546) (5,719) Effects of: Excess expenses 1 s treated as tax deductible 5,546 5,718 Current tax charge for period (note 5a) Interest distributions have been made in respect of all distributions during the period. Income Tax at 20% on net share classes will be accounted for on shareholders behalf to HM & Customs. 6 FINANCE COSTS s and Interest The distribution takes account of revenue received on the creation of shares and revenue deducted on the cancellation of shares and comprises: Interim 21,562 21,381 Final 6,249 6,774 27,811 28,155 Add: deducted on cancellation of shares Deduct: received on creation of shares (516) (272) Net distribution for the period 27,732 28,599 Derivative expense Interest 1 Total finance costs 28,385 29,231 Net revenue after taxation 27,731 28,596 Equalisation on conversion 1 3 Net distribution for the period 27,732 28,599 Details of the distribution per share are set out in the table on pages 38 and DEBTORS Amounts receivable for the issue of shares ,570 Sales awaiting settlement 550 Accrued revenue 14,128 13,584 Total debtors 14,371 24,704 8 CASH AND BANK BALANCES Amounts held at futures clearing houses and brokers 1,674 1,123 Cash and bank balances 17,038 12,470 18,712 13,593 Bank overdrafts (595) Total cash and bank balances 18,117 13,593 9 CREDITORS Amounts payable for the cancellation of shares (8,587) (841) Purchases awaiting settlement (4,876) (9,347) Accrued expenses (25) (15) Amounts payable to ACD (418) (297) Income tax payable (948) (974) Total creditors (14,854) (11,474) 10 RELATED PARTY TRANSACTIONS The related parties are set out in detail in Note 8 of the aggregated financial statements on page 7. The aggregate monies received through issues and paid on cancellations are disclosed in the Statement of Change in s Attributable to Shareholders. Any amounts due to or from Threadneedle Investment Services Limited at the end of the accounting period are disclosed in Notes 7 and 8. Amounts payable to Threadneedle Investment Services Limited in respect of fund management and registration services are disclosed in Note 4 and amounts outstanding at the year end in Note 9. In addition any fees paid to Threadneedle Investment Services Limited in respect of stocklending are disclosed in Note 12. All transactions have been entered into in the ordinary course of business on normal commercial terms. 40

42 Threadneedle UK Corporate Bond Fund Notes to the financial statements 11 SHAREHOLDER FUNDS Threadneedle UK Corporate Bond Fund currently has three share classes; Class 1, Class 2, and Class X shares. The charges on each share class are as follows: Annual management charge Class 1 shares 0.75% Class 2 shares 0.50% Class X shares N/A* Registration fees Class 1 shares 0.150% Class 2 shares 0.035% Class X shares 0.035% The net asset value of each share class, the net asset value per share, and the number of shares in each class are given in the comparative table on page 247. The distribution per share class is given in the distribution table on pages 38 and 39. All classes have the same rights on winding up. * X Shares are not subject to an Annual Management Charge. 12 STOCKLENDING During the period under review the Threadneedle UK Corporate Bond Fund has earned 4,000 (2014: 48,000) of which Nil (2014: 5,000) was outstanding at year end. They have paid fees of Nil (2014: 7,000) of which Nil (2014: 1,000) was outstanding at the year end to Threadneedle Investment Services Limited. In addition they have paid fees of Nil (2014: 7,000) of which Nil (2014: 1,000) was outstanding at the year end to J.P. Morgan as the security lending agent to process these arrangements and hold the collateral. There was no stock on loan at the end of the accounting period (2014: 21.57m), and there was no collateral held (2014: 22.56m). The collateral was held as either securities transferred in CREST by a DBV (Delivery by ) or Gilt DBV, or in the form of overseas government bonds, supranational bonds or certificates of deposit. The nature and value of collateral held is analysed by asset class in the table below. Analysis of Collateral Held Total Total Bonds 22, , DERIVATIVES AND OTHER FINANCIAL INSTRUMENTS The analysis and tables provided below refer to the narrative disclosure on derivatives and other financial instruments risks on pages 8 and 9. Currency exposures A small proportion of the net assets of the fund are denominated in currencies other than Sterling, with the effect that the balance sheet and total return can be affected by currency movements. Net foreign currency assets Non- Monetary exposures monetary exposures Total Currency 2015 Euro (3,158) 3, US Dollar 779 1,008 1,787 Currency 2014 Euro 2,498 (2,044) 454 US Dollar 2,236 (1,706) 530 Interest rate risk profile of financial assets and financial liabilities The interest rate risk profile of the fund s financial assets and financial liabilities at 7 March 2015 was: Floating rate financial assets Fixed rate financial assets Financial assets not carrying interest Total Currency 2015 Euro 19,127 18,697 4,515 42,339 UK Sterling 141, , , ,881 US Dollar 30,895 33,887 6,303 71,085 Currency 2014 Euro 7,064 38, ,015 UK Sterling 64, ,983 22, ,028 US Dollar 1,178 73,242 1,635 76,055 Floating rate financial liabilities Fixed rate financial liabilities Financial liabilities not carrying interest Total Currency 2015 Euro (595) (41,717) (42,312) UK Sterling (21,103) (21,103) US Dollar (69,298) (69,298) Currency 2014 Euro (4,507) (39,892) (1,162) (45,561) UK Sterling (12,374) (12,374) US Dollar (583) (74,942) (75,525) Fixed rate financial assets Weighted average interest rate Fixed rate financial assets Weighted average period for which rate is fixed Non interest bearing assets Weighted average period Currency Euro UK Sterling US Dollar The floating rate financial assets include deposits which have a weighted average interest rate of 0.35% (2014: 0.40%). Non interest-bearing assets relate to forward foreign exchange contracts and futures. Derivatives including forwards and futures are used in this portfolio to take active positions in FX markets. Derivatives are employed when they are the cheapest and most efficient method of gaining exposure. This increases the risk profile of the fund and may result in a higher degree of volatility. All open positions are regularly reviewed by the fund manager. The fund has entered into various forward foreign exchange contracts and futures during this accounting period. Such contracts commit the fund to future deliveries or receipts, typically three months forward, of assets and liabilities, at prices decided at the point of striking the contract. They therefore allow the fund manager to limit risk, or to enhance fund performance in return for the acceptance of greater risk. At 7 March 2015, the fund had outstanding futures and open forward foreign exchange contracts with an asset value of 4,335,000 (2014: 1,858,000) and a liability value of 2,760,000 (2014: 51,000). The fund s floating rate investments earn interest which is variable, based on LIBOR or its overseas equivalent. Cash balances are held in floating rate accounts where interest is calculated with reference to prevailing market rates. Fair value of financial assets and financial liabilities There is no material difference between the value of the financial assets and liabilities, as shown in the balance sheet, and their fair value. Sensitivity analysis Sensitivity or value at risk is not shown since the fund holds no derivatives that could impact the fund significantly. 14 CONTINGENT LIABILITIES AND COMMITMENTS There are no contingent liabilities and commitments outstanding (2014: Nil). 15 PORTFOLIO TRANSACTION COSTS The purchases and sales are not subject to portfolio transaction costs. The total cost of purchases during the period was 285,822,588 (2014: 271,432,669) and proceeds received from sales were 237,673,390 (2014: 315,728,187). 41

43 Threadneedle Sterling Bond Fund Investment Report Investment Objective To achieve total return primarily by way of income with some capital growth. Investment Policy The ACD s investment policy is to invest the assets of the Fund primarily in UK Government Securities denominated in Sterling and Sterling denominated securities issued by Governments, Government Agencies and Supranational Borrowers. If the ACD considers it desirable it may further invest up to one third of the total assets of the Fund in other securities (including other fixed interest securities and money market securities). For liquidity purposes it may invest in cash and near cash. Performance of Net Income Class 1 Shares* Over the twelve months to 7 March 2015, the published share price of the Threadneedle Sterling Bond Fund has risen from 50.52p to 54.08p. Looking at performance within its peer group, the total return on the fund for the twelve months ending 28 February 2015, including net reinvested income, is % as compared to a median return of % over the same period. The fund return equates approximately to % gross of tax and charges**. (For information the FTSE All Stocks Index gave a total return of % for the same period). Portfolio Activity The period proved a strong one for gilts and other core bond markets. Despite a strong performance by the UK economy, gilts rallied impressively from the end of June, coinciding with the collapsing oil price, which contributed to the disinflationary global outlook, especially in Europe. Geopolitical tensions were another factor providing support to core bond markets. In the first six months of the period in review, and in anticipation of a tightening cycle commencing in the first quarter of 2015, we managed the portfolio with a defensive bias in terms of interest-rate risk. The portfolio has held overweight positions in five-year gilts and small underweight positions in ten-year and 30-year bonds. We flattened off duration around the Scottish referendum and moved long afterwards, which proved positive in rallying markets. Within longer-dated bonds, the fund invested in War Loan 3½%, which looked very attractive compared to other long-dated bonds. The Debt Management Office called the bond in December, crystallising relative outperformance in the ultra-long sector. The portfolio has marginally underperformed the proxy benchmark of the FTA All-Stocks Index. The main underperformance drivers were an underweight allocation to long-dated gilts in the first six months of the period, along with owning off-benchmark indexlinked gilts. Looking ahead, the inflation outlook remains extremely benign, which will limit pressure on the UK and the US to raise interest rates. The overnight index swap (OIS) curve now prices the first hike toward the end of the first quarter of Amid factors such as a very strong US currency, the slowdown in China, and loose monetary policy at the European Central Bank and other central banks, our view is that we are unlikely to see a sharp rise in yields. The UK s tax-light recovery is set to persist, with growth continuing admirably but tax revenues to the treasury seeing little improvement. The fiscal uncertainty surrounding the general election is a potential negative factor for long-dated gilts, but a positive one for short-dated issues. STATEMENT OF TOTAL RETURN for the accounting period 8 March 2014 to 7 March 2015 Notes Income Net capital gains/(losses) 2 10,660 (4,843) 3 3,157 2,964 Expenses 4 (1,717) (1,776) Net revenue before taxation 1,440 1,188 Taxation 5 Net revenue after taxation 1,440 1,188 Total return before distributions 12,100 (3,655) Finance costs: s 6 (2,895) (2,698) Change in net assets attributable to shareholders from investment activities 9,205 (6,353) BALANCE SHEET as at 7 March 2015 Notes Assets Investment assets 143, ,779 Other assets Debtors 7 1,594 6,836 Cash and bank balances 208 2,460 Total other assets 1,802 9,296 Total assets 145, ,075 Liabilities Other liabilities Creditors 8 (1,978) (8,930) payable on income shares (682) (702) Total other liabilities (2,660) (9,632) Total liabilities (2,660) (9,632) Net assets attributable to shareholders 142, ,443 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 8 March 2014 to 7 March 2015 Opening net assets attributable to shareholders 136, ,641 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 56,812 15,580 Amounts payable on the cancellation of shares (60,708) (54,247) (3,896) (38,667) Dilution adjustment 11 6 Change in net assets attributable to shareholders from investment activities (see statement of total return above) 9,205 (6,353) Retained distribution on accumulation shares 1, Closing net assets attributable to shareholders 142, ,443 *In pound Sterling and against UK peer group. **Gross performance is calculated in Factset using daily cash flows and daily global close valuations. Please refer to pages for comparative tables. DISTRIBUTION TABLE for the accounting period 8 March 2014 to 7 March 2015 Interest distribution in pence per share Class 1 Shares Net Income Gross Income Tax Net Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/09/ /09/14 to 07/03/ Group 2 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period Class 1 Shares Gross Accumulation Gross Gross Gross Equalisation Accumulated Accumulated Group 1 08/03/14 to 07/09/ /09/14 to 07/03/ Group 2 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period

44 Threadneedle Sterling Bond Fund DISTRIBUTION TABLE Class X Shares Gross Income* Gross Equalisation Paid/Payable 2014/2015 Group 1 28/07/14 to 07/09/ /09/14 to 07/03/ Group 2 28/07/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period Class Z Shares Net Income Gross Income Tax Net Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/09/ /09/14 to 07/03/ Group 2 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period Class Z Shares Gross Accumulation Gross Gross Gross Equalisation Accumulated Accumulated Group 1 08/03/14 to 07/09/ /09/14 to 07/03/ Group 2 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period Group 2: shares purchased during a distribution period *Class X Gross income shares commenced 28 July

45 Threadneedle Sterling Bond Fund Notes to the financial statements for the accounting period 8 March 2014 to 7 March ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 6. 2 NET CAPITAL GAINS/(LOSSES) Net capital gains/(losses) during the period comprise: Non-derivative securities 10,770 (5,096) Forward currency contracts (115) 273 Other gains/(losses) 7 (15) Transaction costs (2) (5) Net capital gains/(losses) 10,660 (4,843) 3 REVENUE Interest on debt securities 3,147 2,932 Bank interest 9 9 Stocklending commission 1 23 Total revenue 3,157 2,964 4 EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Annual management charge (1,454) (1,510) Registration fees (220) (234) (1,674) (1,744) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary s fees (14) (16) Safe custody fees (11) (2) (25) (18) Other expenses: Regulatory fee (7) (6) Audit fee (11) (8) (18) (14) * Total expenses (1,717) (1,776) *Including irrecoverable VAT where applicable. 5 TAXATION a) Analysis of charge in period Total current tax (note 5b) Total tax charge for the period b) Factors affecting taxation charge for period Net revenue before taxation 1,440 1,188 Net revenue before taxation multiplied by the standard rate of corporation tax of 20% (288) (238) Effects of: Excess expenses The fund has not recognised a deferred tax asset of 6,566,961 (2014: 6,855,125) arising as a result of having unutilised management expenses. Interest distributions have been made in respect of all distributions during the period. Income tax at 20% on net share classes will be accounted for on shareholders behalf to HM & Customs FINANCE COSTS s The distribution takes account of revenue received on the creation of shares and revenue deducted on the cancellation of shares and comprises: Interim 1,407 1,215 Final 1,340 1,308 2,747 2,523 Add: deducted on cancellation of shares Deduct: received on creation of shares (236) (63) Net distribution for the period 2,895 2,698 Total finance costs 2,895 2,698 Net revenue after taxation 1,440 1,188 Annual management charge to capital 1,454 1,510 Equalisation on conversion 1 Net distribution for the period 2,895 2,698 Details of the distribution per share are set out in the table on pages 42 and DEBTORS Amounts receivable for the issue of shares Sales awaiting settlement 6,142 Accrued revenue 1, Total debtors 1,594 6,836 8 CREDITORS Amounts payable for the cancellation of shares (457) (426) Purchases awaiting settlement (1,163) (8,201) Accrued expenses (11) (8) Amounts payable to ACD (178) (121) Income tax payable (169) (174) Total creditors (1,978) (8,930) 9 RELATED PARTY TRANSACTIONS The related parties are set out in detail in Note 8 of the aggregated financial statements on page 7. The aggregate monies received through issues and paid on cancellations are disclosed in the Statement of Change in s Attributable to Shareholders. Any amounts due to or from Threadneedle Investment Services Limited at the end of the accounting period are disclosed in Notes 7 and 8. Amounts payable to Threadneedle Investment Services Limited in respect of fund management and registration services are disclosed in Note 4 and amounts outstanding at the year end in Note 8. In addition any fees paid to Threadneedle Investment Services Limited in respect of stocklending are disclosed in Note 11. All transactions have been entered into in the ordinary course of business on normal commercial terms. 10 SHAREHOLDER FUNDS Threadneedle Sterling Bond Fund currently has three share classes; Class 1, Class X, and Class Z shares. The charges on each share class are as follows: Annual management charge Class 1 shares 1.00% Class X shares N/A** Class Z shares 0.40% Registration fees Class 1 shares 0.150% Class X shares 0.035% Class Z shares 0.110% The net asset value of each share class, the net asset value per share, and the number of shares in each class are given in the comparative table on page 248. The distribution per share class is given in the distribution table on pages 42 and 43. All classes have the same rights on winding up. **X Shares are not subject to an Annual Management Charge.

46 Threadneedle Sterling Bond Fund Notes to the financial statements 11 STOCKLENDING During the period under review the Threadneedle Sterling Bond Fund has earned 1,000 (2014: 33,000) of which Nil (2014: 3,000) was outstanding at year end. They have paid fees of Nil (2014: 5,000) to Threadneedle Investment Services Limited. In addition they have paid fees of Nil (2014: 5,000) of which Nil (2014: 1,000) was outstanding at the year end to J.P. Morgan as the security lending agent to process these arrangements and hold the collateral. There was no stock on loan at the end of the accounting period (2014: 17.38m), and there was no collateral held (2014: 17.82m). The collateral was held as either securities transferred in CREST by a DBV (Delivery by ) or Gilt DBV, or in the form of overseas government bonds, supranational bonds or certificates of deposit. The nature and value of collateral held is analysed by asset class in the table below. Analysis of Collateral Held Total Total Bonds 17, , DERIVATIVES AND OTHER FINANCIAL INSTRUMENTS The analysis and tables provided below refer to the narrative disclosure on derivatives and other financial instruments risks on pages 8 and 9. Currency exposures A small proportion of the net assets of the fund are denominated in currencies other than Sterling, with the effect that the balance sheet and total return can be affected by currency movements. Net foreign currency assets Non- Monetary exposures monetary exposures Total Currency 2015 US Dollar 6 6 Currency 2014 US Dollar 2 2 Interest rate risk profile of financial assets and financial liabilities The interest rate risk profile of the fund s financial assets and financial liabilities at 7 March 2015 was: Floating rate financial assets Fixed rate financial assets Financial assets not carrying interest Total Currency 2015 UK Sterling ,621 1, ,417 US Dollar 6 6 Currency 2014 UK Sterling 2, ,779 6, ,073 US Dollar 2 2 Non interest-bearing assets relate to forward foreign exchange contracts. Derivatives including forwards are used in this portfolio to take active positions in FX markets. Derivatives are employed when they are the cheapest and most efficient method of gaining exposure. This increases the risk profile of the fund and may result in a higher degree of volatility. All open positions are regularly reviewed by the fund manager. Such contracts commit the fund to future deliveries or receipts, typically three months forward, of assets and liabilities, at prices decided at the point of striking the contract. They therefore allow the fund manager to limit risk, or to enhance fund performance in return for the acceptance of greater risk. At 7 March 2015, the fund had no outstanding open forward foreign exchange contracts (2014: 2,000). Cash balances are held in floating rate accounts where interest is calculated with reference to prevailing market rates. Fair value of financial assets and financial liabilities There is no material difference between the value of the financial assets and liabilities, as shown in the balance sheet, and their fair value. Sensitivity analysis Sensitivity or value at risk is not shown since the fund holds no derivatives that could impact the fund significantly. 13 CONTINGENT LIABILITIES AND COMMITMENTS There are no contingent liabilities and commitments outstanding (2014: Nil). 14 PORTFOLIO TRANSACTION COSTS The purchases and sales are not subject to portfolio transaction costs. The total cost of purchases during the period was 274,324,445 (2014: 400,587,720) and proceeds received from sales were 277,060,529 (2014: 437,471,441). Floating rate financial liabilities Fixed rate financial liabilities Financial liabilities not carrying interest Total Currency 2015 UK Sterling (2,660) (2,660) Currency 2014 UK Sterling (9,632) (9,632) Fixed rate financial assets Weighted average interest rate Fixed rate financial assets Weighted average period for which rate is fixed Currency % % years years UK Sterling

47 Threadneedle Sterling Fund** Investment Report Investment Objective To achieve a high level of capital security and provide income. Investment Policy The ACD s investment policy is to invest the assets of the Fund in Sterling denominated cash deposits and certificates of deposit and UK Government issued Treasury Bills. If the ACD considers it desirable it may also invest up to 50 the total assets of the Fund in Sterling denominated commercial paper. The investment policy shall be subject to the following credit rating restrictions: (i) Bank deposits shall be held with certificates of deposit shall be issued by a deposit taking institution with a minimum long term credit rating of either (a) Standard & Poor s AA-, or (b) Moody s AA3; (ii) Commercial paper issued by institutions with a minimum short term credit rating either (a) Standard & Poor s A1, or (b) Moody s P1, and with a maximum term to maturity of 184 days; and (iii) UK Government issued treasury bills shall have a maximum term to maturity of 184 days. Performance of Net Income Class 1 Shares* Over the twelve months to 7 March 2015, the published share price of the Threadneedle Sterling Fund has risen from 99.89p to 99.90p. The total return on the fund for the twelve months ending 28 February 2015, including net reinvested income, is +0.15%. (Source: Threadneedle, bid-bid, net income reinvested.) Portfolio Activity Throughout the 12-month period under review, continuing strength in the UK and US economies has caused market speculation over when rates in each country might rise from their historic lows. In both countries, falling unemployment and rising GDP have been among key factors increasing pressure on central bankers to raise rates. Counteracting this, however, wage growth has been persistently sluggish, and more recently inflation has fallen to multi-year lows, helped along by a precipitous decline in oil prices. In July 2014, two members of the Bank of England s ninestrong Monetary Policy Committee began voting for an immediate interest-rate hike. The committee voted seven to two against raising rates at each subsequent meeting until February 2015, when record-low inflation persuaded the two dissenters to fall back into line. Nevertheless, the Bank of England s quarterly inflation report in February, which predicted that inflation would reach the targeted rate of 2% within two years, was perceived by the market as hawkish in tone. As at the time of writing in March, the market expects the first UK rate rise to come early in In the US, the Federal Reserve wound up its bond-buying programme as planned in October Janet Yellen, the Fed s chair, had long been reassuring markets that this would not herald an immediate rise in rates, and she proved as good as her word. While subsequent policy statements have been carefully ambiguous, the language has been subtly changed to afford the Fed more flexibility. In February 2015, for example, Ms Yellen hinted that the word patient an implied assurance that rates would not rise for at least the next two meetings might be removed from the next policy statement, keeping the door open for a potential rate hike as early as June With further strong US job creation figures having emerged in March, the market now thinks the Fed will raise rates at some point this summer. In Europe, worries about deflation and a lack of growth prompted the European Central Bank (ECB) to cut interest rates twice, from 0.25% to 0.15% in June and to 0.05% in September. At the same time the bank also unveiled a huge asset-backed-security and covered-bond-buying programme. As inflation and growth continued to disappoint, full-blown quantitative easing looked increasingly likely, and in January 2015 it duly arrived: the ECB announced it expanding its purchase programme to include government bonds. While the move itself was expected, it was bigger than the market had anticipated, boosting European equity and bond prices and further weakening an already weak euro. In this environment, the pound lost about 10% versus the dollar over the year in review, but gained roughly 15% against the euro, as investors weighed up the diverging policy outlooks described above. Over the period, the three-month UK Libor rate increased slightly, from 0.52% to 0.56%. Generally, we have been investing cash in the three-month area as the pick-up in rates to extend further out was minimal. As the rate increase gets closer, there may be opportunities to extend the fund s maturity profile to take advantage of expected higher rates. At the end of the period, the weighted average maturity was approximately 34 days, and the weighted average yield around 0.46%. The holdings were split roughly 58% bank certificates of deposit, 14% short-dated bank deposits and 28% in euro commercial paper issued by banks or supranationals (i.e. government-backed issuers). We have kept the fund diversified, liquid, and invested in a mixture of well-rated banks and sovereign-backed institutions. The financial strength of these banks and financial institutions is taken into account when selecting suitable investments. The portfolio will comprise very short-dated instruments with a view to achieving a competitive rate of interest. STATEMENT OF TOTAL RETURN for the accounting period 8 March 2014 to 7 March 2015 Notes Income Net capital (losses)/gains 2 (7) , Expenses 4 (615) (610) Finance costs: Interest 6 (1) Net revenue before taxation Taxation 5 Net revenue after taxation Total return before distributions Finance costs: s 6 (414) (382) Change in net assets attributable to shareholders from investment activities (6) 19 BALANCE SHEET as at 7 March 2015 Notes Assets Investment assets 138, ,523 Other assets Debtors ,103 Cash and bank balances 29,774 46,465 Total other assets 29,829 47,568 Total assets 167, ,091 Liabilities Other liabilities Creditors 8 (7,594) (95) payable on income shares (136) (167) Total other liabilities (7,730) (262) Total liabilities (7,730) (262) Net assets attributable to shareholders 160, ,829 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 8 March 2014 to 7 March 2015 Opening net assets attributable to shareholders 234, ,628 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 40,061 79,385 Amounts payable on the cancellation of shares (114,721) (68,203) (74,660) 11,182 Change in net assets attributable to shareholders from investment activities (see statement of total return above) (6) 19 Closing net assets attributable to shareholders 160, ,829 DISTRIBUTION TABLE for the accounting period 8 March 2014 to 7 March 2015 Interest distribution in pence per share Class 1 Shares Net Income Gross Income Tax Net Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/09/ /09/14 to 07/03/ Group 2 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period Group 2: shares purchased during a distribution period *In pound Sterling and against UK peer group. ** Please note that the Sterling Fund is currently registered for public offer in the UK only and it is not intended to be registered outside the UK unless otherwise decided by the ACD. Shares in the Sterling Fund must not be marketed to the public in any other jurisdiction. Please refer to pages for comparative tables. 46

48 Threadneedle Sterling Fund Notes to the financial statements for the accounting period 8 March 2014 to 7 March ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 6. 2 NET CAPITAL (LOSSES)/GAINS Net capital (losses)/gains during the period comprise: Non-derivative securities (6) 20 Transaction costs (1) (1) Net capital (losses)/gains (7) 19 3 REVENUE Interest on debt securities Interest on short term investments Bank interest 2 1 Total revenue 1, EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Annual management charge (329) (334) Registration fees (242) (245) (571) (579) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary s fees (20) (19) Safe custody fees (14) (5) (34) (24) Other expenses: Audit fee (10) (7) (10) (7) * Total expenses (615) (610) *Including irrecoverable VAT where applicable. 5 TAXATION a) Analysis of charge in period Total current tax (note 5b) Total tax charge for the period b) Factors affecting taxation charge for period Net revenue before taxation Net revenue before taxation multiplied by the standard rate of corporation tax of 20% (83) (76) Effects of: s treated as tax deductible Current tax charge for period (note 5a) Interest distributions have been made in respect of all distributions during the period. Income Tax at 20% on net share classes will be accounted for on shareholders behalf to HM & Customs. 6 FINANCE COSTS s and Interest The distribution takes account of revenue received on the creation of shares and revenue deducted on the cancellation of shares and comprises: Interim Final Add: deducted on cancellation of shares Deduct: received on creation of shares (11) (19) Net distribution for the period Interest 1 Total finance costs Details of the distribution per share are set out in the table on page DEBTORS Amounts receivable for the issue of shares 1,000 Accrued revenue Total debtors 55 1,103 8 CREDITORS Purchases awaiting settlement (7,500) Accrued expenses (11) (8) Amounts payable to ACD (41) (47) Income tax payable (42) (40) Total creditors (7,594) (95) 9 RELATED PARTY TRANSACTIONS The related parties are set out in detail in Note 8 of the aggregated financial statements on page 7. The aggregate monies received through issues and paid on cancellations are disclosed in the Statement of Change in s Attributable to Shareholders. Any amounts due to or from Threadneedle Investment Services Limited at the end of the accounting period are disclosed in Notes 7 and 8. Amounts payable to Threadneedle Investment Services Limited in respect of fund management and registration services are disclosed in Note 4 and amounts outstanding at the year end in Note 8. All transactions have been entered into in the ordinary course of business on normal commercial terms. 10 SHAREHOLDER FUNDS Sterling Fund currently has one share class; Class 1 shares. The charges are as follows: Annual management charge Class 1 shares 0.15% The lower annual management charge of 0.15% is charged at the ACD s discretion subject to market conditions and can be increased to a maximum of the 0.5% fee disclosed in the prospectus. Registration fees Class 1 shares 0.110% The net asset value, the net asset value per share, and the number of shares are given in the comparative table on page 248. The distribution is given in the distribution table on page

49 Threadneedle Sterling Fund Notes to the financial statements 11 DERIVATIVES AND OTHER FINANCIAL INSTRUMENTS The analysis and tables provided below refer to the narrative disclosure on derivatives and other financial instruments risks on pages 8 and 9. Currency exposures There are no material assets denominated in currencies other than Sterling. Interest rate risk profile of financial assets and financial liabilities The interest rate risk profile of the fund s financial assets and financial liabilities at 7 March 2015 was: Floating rate financial assets Fixed rate financial assets Financial assets not carrying interest Total Currency 2015 UK Sterling 29, , ,893 Currency 2014 UK Sterling ,946 1, ,091 Floating rate financial liabilities Fixed rate financial liabilities Financial liabilities not carrying interest Total Currency 2015 UK Sterling (7,730) (7,730) Currency 2014 UK Sterling (262) (262) Fixed rate financial assets Weighted average interest rate Fixed rate financial assets Weighted average period for which rate is fixed Currency % % years years UK Sterling The floating rate financial assets include deposits which have a weighted average interest rate of 0.31% (2014: 0.45%). Cash balances are held in floating rate accounts where interest is calculated with reference to prevailing market rates. Fair value of financial assets and financial liabilities There is no material difference between the value of the financial assets and liabilities, as shown in the balance sheet, and their fair value. 12 CONTINGENT LIABILITIES AND COMMITMENTS There are no contingent liabilities and commitments outstanding (2014: Nil). 13 PORTFOLIO TRANSACTION COSTS The purchases and sales are not subject to portfolio transaction costs. The total cost of purchases during the period was 612,303,537 (2014: 691,464,290) and proceeds received from sales were 662,075,897 (2014: 679,578,078). 48

50 Threadneedle European Fund Investment Report Investment Objective To achieve capital growth. Investment Policy The ACD s investment policy is to invest the assets of the Fund primarily in equities of companies domiciled in Continental Europe or which have significant Continental European operations with growth prospects. If the ACD considers it desirable, it may further invest in other securities (including fixed interest securities, other equities and money market securities). Performance of Net Accumulation Class 1 Shares* Over the twelve months to 7 March 2015, the published share price of the Threadneedle European Fund has risen from p to p. Looking at the sterling performance within its peer group, the total return on the fund for the twelve months ending 28 February 2015, including net reinvested income, is +7.14% as compared to a median return of +4.18% over the same period. (For information the FTSE World Europe ex UK Index returned +5.17% over the same period). Portfolio Activity European stocks delivered a positive return over the year, with much of the rise in the opening weeks of 2015; the best returns were achieved for the euro investor owing to the weakness of the currency. The fund returns were well ahead of the index. The first half of the year under review was relatively dull, and there was some weakness in July and August owing to concerns over Chinese growth (which impacts the global economy), conflict in Ukraine and weak economic indicators from Europe. The Greek election proved a concern later in the year, but the incoming Syriza government reached a shortterm deal with the EU which allayed investors worst fears. The policies of the European Central Bank (ECB) headed by Mario Draghi continued to support markets, and a massive quantitative easing (QE) programme of bond purchases was announced in January. This served to depress the value of the euro but to drive asset prices up. Shortly before the QE announcement, the Swiss National Bank removed their peg to the euro, prompting a rise in the Swiss franc. Over the year, we decreased the weighting in financials, and increased the exposure to pharmaceuticals. On a country basis, the exposure to Germany was reduced and the exposure to Spain was increased. Major transactions over the year included the purchase of Linde, the German-based industrial gases company, where a concentrated market gives good pricing power and the potential for sustainable strong returns. We bought Novartis following the deal with GlaxoSmithKline (GSK) where the Swiss business sold its vaccines business and bought GSK s cancer-treatment drugs, as this gives Novartis critical mass in a key area. We bought a position in Total, the French oil major, which offered an attractive valuation after prolonged underperformance, but sold it later owing to the potential damage from a lower oil price. QE will be an immediate positive factor for many European companies when lower energy prices, a weak euro and loosening credit conditions are also providing a tailwind. The ECB s commitment to do whatever it takes to combat deflation should boost confidence. Critically for equity investors, QE is likely to boost asset prices and depress bond yields; QE may succeed in improving overall eurozone GDP growth, but this will take some time. It is too early to determine the full long-term ramifications of Greece s debt negotiations; the outcome may prove critical in the forthcoming Spanish and UK general elections. Escalating tensions between Europe and Russia continue to cause concern; these pose risks to European gas supplies and companies with Russian exposure, but also to sentiment more generally. Many companies in Europe (outside the financial sector) have strong balance sheets and cash flow, leading to the likelihood of further dividend growth, cash returns and mergers and acquisitions activity; in our opinion, valuations are not stretched. We continue to favour companies with robust earnings prospects and pricing power. STATEMENT OF TOTAL RETURN for the accounting period 8 March 2014 to 7 March 2015 Notes Income Net capital gains 2 38,937 26, ,150 11,865 Expenses 4 (7,710) (6,845) Finance costs: Interest 6 (2) Net revenue before taxation 6,438 5,020 Taxation 5 (868) (1,348) Net revenue after taxation 5,570 3,672 Total return before distributions 44,507 30,206 Finance costs: s 6 (5,592) (3,672) Change in net assets attributable to shareholders from investment activities 38,915 26,534 BALANCE SHEET as at 7 March 2015 Notes Assets Investment assets 660, ,578 Other assets Debtors 7 15,846 7,856 Cash and bank balances 985 1,554 Total other assets 16,831 9,410 Total assets 677, ,988 Liabilities Other liabilities Creditors 8 (14,196) (2,124) payable on income shares (1) Total other liabilities (14,197) (2,124) Total liabilities (14,197) (2,124) Net assets attributable to shareholders 663, ,864 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 8 March 2014 to 7 March 2015 Opening net assets attributable to shareholders 566, ,544 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 159, ,134 Amounts payable on the cancellation of shares (107,563) (107,359) Amounts payable on inspecie transfers (17,786) 51,794 11,989 Dilution adjustment Change in net assets attributable to shareholders from investment activities (see statement of total return above) 38,915 26,534 Retained distribution on accumulation shares 5,592 3,672 Closing net assets attributable to shareholders 663, ,864 DISTRIBUTION TABLE for the accounting period 8 March 2014 to 7 March 2015 Dividend distribution in pence per share Class 1 Shares Net Accumulation Net Net Accumulated Net Accumulated 08/03/14 to 07/03/ Total distributions in the period Class 2 Shares Net Accumulation Net Net Accumulated Net Accumulated 08/03/14 to 07/03/ Total distributions in the period *In pound Sterling and against UK peer group. Please refer to pages for comparative tables. 49

51 Threadneedle European Fund DISTRIBUTION TABLE Class Z Shares Net Income* Net Payable Paid 08/03/14 to 07/03/ Total distributions in the period Class Z Shares Net Accumulation Net Net Accumulated Net Accumulated 08/03/14 to 07/03/ Total distributions in the period *Class Z Shares Net Income shares launched on 20 September

52 Threadneedle European Fund Notes to the financial statements for the accounting period 8 March 2014 to 7 March ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 6. 2 NET CAPITAL GAINS Net capital gains during the period comprise: Non-derivative securities 39,276 27,171 Forward currency contracts (195) 7 Other losses (134) (632) Transaction costs (10) (12) Net capital gains 38,937 26,534 3 REVENUE UK dividends 156 Overseas dividends 13,990 11,728 Bank interest 1 1 Stocklending commission Total revenue 14,150 11,865 4 EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Annual management charge (7,065) (6,288) Registration fees (510) (473) (7,575) (6,761) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary s fees (51) (22) Safe custody fees (42) (43) (93) (65) Other expenses: Regulatory fee (7) (12) Audit fee (9) (7) Professional fees (26) (42) (19) * Total expenses (7,710) (6,845) *Including irrecoverable VAT where applicable. 5 TAXATION a) Analysis of charge in period Overseas taxes (868) (1,348) Total current tax (note 5b) (868) (1,348) Total tax charge for the period (868) (1,348) b) Factors affecting taxation charge for period Net revenue before taxation 6,438 5,020 Net revenue before taxation multiplied by the standard rate of corporation tax of 20% (1,288) (1,004) Effects of: not subject to taxation 2,871 1,700 Overseas taxes (868) (1,348) Overseas taxes expensed 94 Excess expenses (1,578) (790) Retail Review (RDR) conversion transfer from capital (5) Current tax charge for period (note 5a) (868) (1,348) The fund has not recognised a deferred tax asset of 4,668,135 (2014: 3,089,807) arising as a result of having unutilised management expenses. It is unlikely that these expenses will be utilised in future years. 6 FINANCE COSTS s and Interest Final 5,592 3,672 Net distribution for the period 5,592 3,672 Interest 2 Total finance costs 5,594 3,672 Net revenue after taxation 5,570 3,672 Equalisation on conversion 22 Net distribution for the period 5,592 3,672 Details of the distribution per share are set out in the table on pages 49 and DEBTORS Amounts receivable for the issue of shares 12,368 6,208 Sales awaiting settlement 1, Accrued revenue Foreign withholding tax recoverable 1, Total debtors 15,846 7,856 8 CREDITORS Amounts payable for the cancellation of shares (246) (1,544) Purchases awaiting settlement (13,137) Accrued expenses (23) (16) Amounts payable to ACD (790) (564) Total creditors (14,196) (2,124) 9 RELATED PARTY TRANSACTIONS The related parties are set out in detail in Note 8 of the aggregated financial statements on page 7. Any amounts due to or from Threadneedle Investment Services Limited at the end of the accounting period are disclosed in Notes 7 and 8. The aggregate monies received through issues and paid on cancellations are disclosed in the Statement of Change in s Attributable to Shareholders. Amounts payable to Threadneedle Investment Services Limited in respect of fund management and registration services are disclosed in Note 4 and amounts outstanding at the year end in Note 8. In addition any fees paid to Threadneedle Investment Services Limited in respect of stocklending are disclosed in Note 11. All transactions have been entered into in the ordinary course of business on normal commercial terms. 10 SHAREHOLDER FUNDS Threadneedle European Fund currently has three share classes; Class 1, Class 2, and Class Z shares. The charges on each share class are as follows: Annual management charge Class 1 shares 1.50% Class 2 shares 1.00% Class Z shares 0.75% Registration fees Class 1 shares 0.150% Class 2 shares 0.035% Class Z shares 0.110% The net asset value of each share class, the net asset value per share, and the number of shares in each class are given in the comparative table on page 248. The distribution per share class is given in the distribution table on pages 49 and 50. All classes have the same rights on winding up. 51

53 Threadneedle European Fund Notes to the financial statements 11 STOCKLENDING During the period under review the Threadneedle European Fund has earned 3,000 (2014: 191,000) of which Nil (2014: 21,000) was outstanding at year end. They have paid fees of Nil (2014: 27,000) of which Nil (2014: 3,000) was outstanding at the year end to Threadneedle Investment Services Limited. In addition they have paid fees of Nil (2014: 28,000) of which Nil (2014: 3,000) was outstanding at the year end to J.P. Morgan as the security lending agent to process these arrangements and hold the collateral. There was no stock on loan at the end of the accounting period (2014: 0.52m), and there was no collateral held (2014: 0.55m). The collateral was held as either securities transferred in CREST by a DBV (Delivery by ) or Gilt DBV, or in the form of overseas government bonds, supranational bonds or certificates of deposit. The nature and value of collateral held is analysed by asset class in the table below. Analysis of Collateral Held Total Total Bonds DERIVATIVES AND OTHER FINANCIAL INSTRUMENTS The analysis and tables provided below refer to the narrative disclosure on derivatives and other financial instruments risks on pages 8 and 9. Currency exposures A substantial proportion of the net assets of the fund are denominated in currencies other than Sterling, with the effect that the balance sheet and total return can be significantly affected by currency movements. Net foreign currency assets Non- Monetary exposures monetary exposures Total Currency 2015 Danish Krone 9 41,133 41,142 Euro 1, , ,036 Norwegian Krone Swedish Krona 38 50,259 50,297 Swiss Franc 1,196 98,101 99,297 Currency 2014 Danish Krone 26,984 26,984 Euro 2, , ,384 Norwegian Krone Swedish Krona 6 64,875 64,881 Swiss Franc ,585 88,250 Interest rate risk profile of financial assets and financial liabilities The interest rate risk profile of the fund s financial assets and financial liabilities at 7 March 2015 was: Floating rate financial assets Fixed rate financial assets Financial assets not carrying interest Total Currency 2015 Danish Krone 41,906 41,906 Euro , ,199 Norwegian Krone Swedish Krona 52,265 52,265 Swiss Franc , ,551 UK Sterling ,451 12,690 Currency 2014 Danish Krone 26,984 26,984 Euro 1, , ,384 Norwegian Krone Swedish Krona 64,881 64,881 Swiss Franc 88,250 88,250 UK Sterling 48 6,224 6,272 Floating rate financial liabilities Fixed rate financial liabilities Financial liabilities not carrying interest Total Currency 2015 Danish Krone (764) (764) Euro (13,163) (13,163) Swedish Krona (1,968) (1,968) Swiss Franc (2,254) (2,254) UK Sterling (13,313) (13,313) Currency 2014 UK Sterling (2,124) (2,124) There are no material amounts of non interest-bearing financial assets, other than equities, which do not have maturity dates. Cash balances are held in floating rate accounts where interest is calculated with reference to prevailing market rates. Fair value of financial assets and financial liabilities There is no material difference between the value of the financial assets and liabilities, as shown in the balance sheet, and their fair value. 13 CONTINGENT LIABILITIES AND COMMITMENTS There are no contingent liabilities and commitments outstanding (2014: Nil). 14 PORTFOLIO TRANSACTION COSTS Analysis of total purchase costs Purchases in period before transaction costs 456, ,764 Commissions Taxes Fees 2 86 Total purchase costs Gross purchases total 457, ,407 Analysis of total sale costs Gross sales before transaction costs 396, ,213 Commissions (361) (343) Total sale costs (361) (343) Total sales net of transaction costs 395, ,870 52

54 Threadneedle European Select Fund Investment Report Investment Objective To achieve above average capital growth. Investment Policy The ACD s investment policy is to invest the assets of the Fund mainly in a relatively concentrated portfolio of equities of companies domiciled in Continental Europe or which have significant Continental European operations. The select investment approach means that the ACD has the flexibility to take significant stock and sector positions which may lead to increased levels of volatility. If the ACD considers it desirable, it may further invest in other securities (including fixed interest securities, other equities and money market securities). Performance of Net Accumulation Class 1 Shares* Over the twelve months to 7 March 2015, the published share price of the Threadneedle European Select Fund has risen from p to p. Looking at the sterling performance within its peer group, the total return on the fund for the twelve months ending 28 February 2015, including net reinvested income, is % as compared to a median return of +4.18% over the same period. (For information the FTSE World Europe ex UK Index returned +5.17% over the same period). Portfolio Activity European stocks delivered a positive return over the year, with much of the rise in the opening weeks of 2015; the best returns were achieved for the euro investor owing to the weakness of the currency. The fund returns were well ahead of the index. The first half of the year under review was relatively dull, and there was some weakness in July and August owing to concerns over Chinese growth (which impacts the global economy), conflict in Ukraine and weak economic indicators from Europe. The Greek election proved a concern later in the year, but the incoming Syriza government reached a shortterm deal with the EU which allayed investors worst fears. The policies of the European Central Bank (ECB) headed by Mario Draghi continued to support markets, and a massive quantitative easing (QE) programme of bond purchases was announced in January. This served to depress the value of the euro but to drive asset prices up. Shortly before the QE announcement, the Swiss National Bank removed their peg to the euro, prompting a rise in the Swiss franc. Over the year, we increased the fund s weighting in healthcare; the weightings in financials and materials decreased. On a country basis, we reduced exposure to Germany and increased exposure to the Netherlands. Major transactions over the year included the purchase of Novartis following its deal with GlaxoSmithKline (GSK), under which the Swiss business sold its vaccines business and bought GSK s cancer-treatment drugs; this gives Novartis critical mass in a key area. We bought Ferrovial, whose Toronto ring-road concession has been successful, with price rises and strong volumes boosting returns. We sold flavours-andfragrances business Symrise, following good returns, and sold BASF owing to the business s sensitivity to the oil price and to the weakness of the Russian economy. QE will be an immediate positive factor for many European companies when lower energy prices, a weak euro and loosening credit conditions are also providing a tailwind. The ECB s commitment to do whatever it takes to combat deflation should boost confidence. Critically for equity investors, QE is likely to boost asset prices and depress bond yields; QE may succeed in improving overall eurozone GDP growth, but this will take some time. It is too early to determine the full long-term ramifications of Greece s debt negotiations; the outcome may prove critical in the forthcoming Spanish and UK general elections. Escalating tensions between Europe and Russia continue to cause concern; these pose risks to European gas supplies and companies with Russian exposure, but also to sentiment more generally. Many companies in Europe (outside the financial sector) have strong balance sheets and cash flow, leading to the likelihood of further dividend growth, cash returns and mergers and acquisitions activity; in our opinion, valuations are not stretched. We continue to favour companies with robust earnings prospects and pricing power. STATEMENT OF TOTAL RETURN for the accounting period 8 March 2014 to 7 March 2015 Notes Income Net capital gains 2 212, , ,070 50,769 Expenses 4 (28,983) (28,543) Finance costs: Interest 6 (7) Net revenue before taxation 31,080 22,226 Taxation 5 (5,206) (6,080) Net revenue after taxation 25,874 16,146 Total return before distributions 238, ,413 Finance costs: s 6 (25,926) (16,149) Change in net assets attributable to shareholders from investment activities 212, ,264 BALANCE SHEET as at 7 March 2015 Notes Assets Investment assets 2,550,470 2,244,683 Other assets Debtors 7 36,039 12,523 Cash and bank balances 34,943 32,392 Total other assets 70,982 44,915 Total assets 2,621,452 2,289,598 Liabilities Derivative liabilities (100) (17) Other liabilities Creditors 8 (25,993) (23,724) payable on income shares (3,245) (4,526) Total other liabilities (29,238) (28,250) Total liabilities (29,338) (28,267) Net assets attributable to shareholders 2,592,114 2,261,331 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 8 March 2014 to 7 March 2015 Opening net assets attributable to shareholders 2,261,331 1,933,035 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 554, ,753 Amounts payable on the cancellation of shares (459,133) (577,040) Amounts payable on inspecie transfers (16,782) 95, ,931 Dilution adjustment Change in net assets attributable to shareholders from investment activities (see statement of total return above) 212, ,264 Retained distribution on accumulation shares 22,682 11,624 Closing net assets attributable to shareholders 2,592,114 2,261,331 *In pound Sterling and against UK peer group. Please refer to pages for comparative tables. DISTRIBUTION TABLE for the accounting period 8 March 2014 to 7 March 2015 Dividend distribution in pence per share Class 1 Shares Net Accumulation Net Net Net Accumulated Accumulated 08/03/14 to 07/03/ Total distributions in the period Class 1 SGD Hedged Shares Net Accumulation Net Net Accumulated 2014/ /03/14 to 07/03/ Total distributions in the period Class 1 USD Hedged Shares Net Accumulation* Net Net Accumulated 2014/ /01/15 to 07/03/ Total distributions in the period

55 Threadneedle European Select Fund DISTRIBUTION TABLE Class 2 Shares Net Income Net Payable Paid 08/03/14 to 07/03/ Total distributions in the period Class 2 Shares Net Accumulation Net Net Net Accumulated Accumulated 08/03/14 to 07/03/ Total distributions in the period Class 2 USD Hedged Shares Net Accumulation** Net Net Accumulated 2014/ /01/15 to 07/03/ Total distributions in the period Class Z Shares Net Income Net Payable Payable 08/03/14 to 07/03/ Total distributions in the period Class Z Shares Net Accumulation Net Net Net Accumulated Accumulated 08/03/14 to 07/03/ Total distributions in the period *Class 1 USD Hedged Net accumulation shares commenced 14 January **Class 2 USD Hedged Net accumulation shares commenced 14 January

56 Threadneedle European Select Fund Notes to the financial statements for the accounting period 8 March 2014 to 7 March ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 6. 2 NET CAPITAL GAINS Net capital gains during the period comprise: Non-derivative securities 215, ,216 Forward currency contracts 359 (26) Other losses (2,814) (2,900) Transaction costs (5) (23) Net capital gains 212, ,267 3 REVENUE UK dividends 1,772 Overseas dividends 58,090 50,202 Interest on short term investments 1 Bank interest 25 2 Stocklending commission Total revenue 60,070 50,769 4 EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Annual management charge (26,556) (26,201) Registration fees (2,049) (2,100) (28,605) (28,301) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary s fees (187) (41) Safe custody fees (138) (181) (325) (222) Other expenses: Regulatory fee (7) (11) Audit fee (11) (9) Professional Fee (35) (53) (20) * Total expenses (28,983) (28,543) *Including irrecoverable VAT where applicable. 5 TAXATION a) Analysis of charge in period Overseas taxes (5,206) (6,080) Total current tax (note 5b) (5,206) (6,080) Total tax charge for the period (5,206) (6,080) b) Factors affecting taxation charge for period Net revenue before taxation 31,080 22,226 Net revenue before taxation multiplied by the standard rate of corporation tax of 20% (6,216) (4,445) Effects of: not subject to taxation 11,911 8,104 Overseas taxes (5,206) (6,080) Overseas taxes expensed 288 Excess expenses (5,681) (3,947) Retail Review (RDR) conversion transfer from capital (14) Current tax charge for period (note 5a) (5,206) (6,080) The fund has not recognised a deferred tax asset of 16,752,558 (2014: 11,066,352) arising as a result of having unutilised management expenses. It is unlikely that these expenses will be utilised in future years. 6 FINANCE COSTS s and Interest Final 25,926 16,149 Net distribution for the period 25,926 16,149 Interest 7 Total finance costs 25,933 16,149 Net revenue after taxation 25,874 16,146 Shortfall transfer from capital to revenue 3 Equalisation on conversion 53 Undistributed revenue carried forward (1) Net distribution for the period 25,926 16,149 Details of the distribution per share and any share class with a shortfall are set out in the table pages 53 and DEBTORS Amounts receivable for the issue of shares 28,184 7,972 Accrued revenue 2,093 1,894 Foreign withholding tax recoverable 5,762 2,657 Total debtors 36,039 12,523 8 CREDITORS Amounts payable for the cancellation of shares (6,762) (21,433) Purchases awaiting settlement (16,217) Accrued expenses (63) (47) Amounts payable to ACD (2,951) (2,244) Total creditors (25,993) (23,724) 9 RELATED PARTY TRANSACTIONS The related parties are set out in detail in Note 8 of the aggregated financial statements on page 7. The aggregate monies received through issues and paid on cancellations are disclosed in the Statement of Change in s Attributable to Shareholders. Any amounts due to or from Threadneedle Investment Services Limited at the end of the accounting period are disclosed in Notes 7 and 8. Amounts payable to Threadneedle Investment Services Limited in respect of fund management and registration services are disclosed in Note 4 and amounts outstanding at the year end in Note 8. In addition any fees paid to Threadneedle Investment Services Limited in respect of stocklending are disclosed in Note 11. All transactions have been entered into in the ordinary course of business on normal commercial terms. 10 SHAREHOLDER FUNDS Threadneedle European Select Fund currently has three share classes; Class 1, Class 2, and Class Z shares. The charges on each share class are as follows: Annual management charge Class 1 shares 1.50% Class 2 shares 1.00% Class Z shares 0.75% Registration fees Class 1 shares 0.150% Class 2 shares 0.035% Class Z shares 0.060% The net asset value of each share class, the net asset value per share, and the number of shares in each class are given in the comparative table on page 249. The distribution per share class is given in the distribution table on pages 53 and 54. All classes have the same rights on winding up. 55

57 Threadneedle European Select Fund Notes to the financial statements 11 STOCKLENDING During the period under review the Threadneedle European Select Fund has earned 183,000 (2014: 795,000) of which Nil (2014: 76,000) was outstanding at year end. They have paid fees of Nil (2014: 112,000) of which Nil (2014: 10,000) was outstanding at the year end to Threadneedle Investment Services Limited. In addition they have paid fees of Nil (2014: 119,000) of which Nil (2014: 11,000) was outstanding at the year end to J.P. Morgan as the security lending agent to process these arrangements and hold the collateral. There was no stock on loan at the end of the accounting period (2014: 3.05m), and there was no collateral held (2014: 3.26m). The collateral was held as either securities transferred in CREST by a DBV (Delivery by ) or Gilt DBV, or in the form of overseas government bonds, supranational bonds or certificates of deposit. The nature and value of collateral held is analysed by asset class in the table below. Analysis of Collateral Held Total Total Bonds 3, , DERIVATIVES AND OTHER FINANCIAL INSTRUMENTS The analysis and tables provided below refer to the narrative disclosure on derivatives and other financial instruments risks on pages 8 and 9. Currency exposures A substantial proportion of the net assets of the fund are denominated in currencies other than Sterling, with the effect that the balance sheet and total return can be significantly affected by currency movements. Net foreign currency assets Non- Monetary exposures monetary exposures Total Currency 2015 Danish Krone , ,062 Euro 25,805 1,584,922 1,610,727 Norwegian Krone Singapore Dollar 3,221 3,221 Swedish Krona , ,232 Swiss Franc 4, , ,806 US Dollar 13 30,587 30,600 Currency 2014 Danish Krone , ,373 Euro 22,095 1,471,773 1,493,868 Norwegian Krone Singapore Dollar 1,365 1,365 Swedish Krona 306, ,450 Swiss Franc 2, , ,927 Interest rate risk profile of financial assets and financial liabilities The interest rate risk profile of the fund s financial assets and financial liabilities at 7 March 2015 was: Floating rate financial assets Fixed rate financial assets Financial assets not carrying interest Total Currency 2015 Danish Krone 206, ,062 Euro 33,139 1,605,321 1,638,460 Norwegian Krone Singapore Dollar 4,162 4,162 Swedish Krona 326, ,232 Swiss Franc 1, , ,494 UK Sterling ,514 31,654 US Dollar 31,708 31,708 Currency 2014 Danish Krone 162, ,373 Euro 3,523 16,589 1,475,138 1,495,250 Norwegian Krone Singapore Dollar 1,365 1,365 Swedish Krona 306, ,450 Swiss Franc 304, ,927 UK Sterling 12,279 8,026 20,305 Floating rate financial liabilities Fixed rate financial liabilities Financial liabilities not carrying interest Total Currency 2015 Euro (27,733) (27,733) Singapore Dollar (941) (941) Swiss Franc (1,688) (1,688) UK Sterling (33,341) (33,341) US Dollar (1,108) (1,108) Currency 2014 Euro (1,382) (1,382) UK Sterling (28,250) (28,250) The floating rate financial assets include deposits which have a weighted average interest rate of 0.00% (2014: 0.01%). Other than equities which do not have maturity dates, non interest-bearing assets relate to forward foreign exchange contracts. Derivatives including forwards are used in this portfolio to take active positions in FX markets. Derivatives are employed when they are the cheapest and most efficient method of gaining exposure. This increases the risk profile of the fund and may result in a higher degree of volatility. All open positions are regularly reviewed by the fund manager. The fund has entered into various forward foreign exchange contracts during this accounting period. Such contracts commit the fund to future deliveries or receipts, typically three months forward, of assets and liabilities, at prices decided at the point of striking the contract. They therefore allow the fund manager to limit risk, or to enhance fund performance in return for the acceptance of greater risk. At 7 March 2015, the fund had outstanding open forward foreign exchange contracts with an asset value of 269,000 (2014: Nil) and a liability value of 100,000 (2014: 17,000). Cash balances are held in floating rate accounts where interest is calculated with reference to prevailing market rates. Fair value of financial assets and financial liabilities There is no material difference between the value of the financial assets and liabilities, as shown in the balance sheet, and their fair value. Sensitivity analysis Sensitivity or value at risk is not shown since the fund holds no derivatives that could impact the fund significantly. 13 CONTINGENT LIABILITIES AND COMMITMENTS There are no contingent liabilities and commitments outstanding (2014: Nil). 14 PORTFOLIO TRANSACTION COSTS Analysis of total purchase costs Purchases in period before transaction costs 891,495 1,800,106 Commissions 884 1,938 Taxes Fees Total purchase costs 1,267 2,687 Gross purchases total 892,762 1,802,793 Analysis of total sale costs Gross sales before transaction costs 803,389 1,583,092 Commissions (766) (1,663) Total sale costs (766) (1,663) Total sales net of transaction costs 802,623 1,581,429 56

58 Threadneedle European Smaller Companies Fund Investment Report Investment Objective To achieve capital growth. Investment Policy The ACD s investment policy is to invest the assets of the Fund primarily in the equities of smaller companies domiciled in Continental Europe or with significant Continental European operations. If the ACD considers it desirable it may further invest in other securities (including fixed interest securities, other equities and money market securities). Performance of Net Accumulation Class 1 Shares* Over the twelve months to 7 March 2015, the published share price of the Threadneedle European Smaller Companies Fund has risen from p to p. Looking at the sterling performance within its peer group, the total return on the fund for the twelve months ending 28 February 2015, including net reinvested income, is +3.64% as compared to a median return of -1.57% over the same period. (For information the HSBC European Smaller Companies ex UK Index returned -0.45% over the same period). Portfolio Activity European stocks delivered a positive return over the year in euro terms, with much of the rise in the opening weeks of 2015; returns for sterling-based investors were affected by euro weakness. The fund returns were well ahead of the index. The first half of the year under review was relatively dull, and there was some weakness in July and August owing to concerns over Chinese growth (which impacts the global economy), conflict in Ukraine and weak economic indicators from Europe. The Greek election proved a concern later in the year, but the incoming Syriza government reached a shortterm deal with the EU which allayed investors worst fears. The policies of the European Central Bank (ECB) headed by Mario Draghi continued to support markets, and a massive quantitative easing (QE) programme of bond purchases was announced in January. This served to depress the value of the euro but to drive asset prices up. Shortly before the QE announcement, the Swiss National Bank removed their peg to the euro, prompting a rise in the Swiss franc. Sector weightings were little changed over the year. At the period end, overweight positions included healthcare and materials, and underweight positions included financials and utilities. On a country basis, the principal overweightings included France and Ireland, and the main underweightings included Spain and Norway. We trimmed some Swiss positions following the currency move. Major transactions over the year included the purchase of a number of new issues in IPOs. We bought Applus, the Spanish-based testing business, and bought more shares when they were weak following a profit warning. We also bought Finecobank, an Italian online bank, which is able to grow market share profitably as it has a low cost base. Other purchases included IMCD, a Dutch-based chemicals distribution business. We sold flavours-and-fragrances business Symrise, following good returns. We sold Vacon after the company was bid for by Danfoss at a large premium to the market price, and reduced Bank of Ireland after a rally in the shares. QE will be an immediate positive factor for many European companies when lower energy prices, a weak euro and loosening credit conditions are also providing a tailwind. The ECB s commitment to do whatever it takes to combat deflation should boost confidence. Critically for equity investors, QE is likely to boost asset prices and depress bond yields; QE may succeed in improving overall eurozone GDP growth, but this will take some time. It is too early to determine the full long-term ramifications of Greece s debt negotiations; the outcome may prove critical in the forthcoming Spanish and UK general elections. Escalating tensions between Europe and Russia continue to cause concern; these pose risks to European gas supplies and companies with Russian exposure, but also to sentiment more generally. Many companies in Europe (outside the financial sector) have strong balance sheets and cash flow, leading to the likelihood of further dividend growth, cash returns and mergers and acquisitions activity; in our opinion, valuations are not stretched. We continue to favour smaller companies with robust earnings prospects and pricing power. Small cap valuations appear more attractive relative to large cap after a period of underperformance. STATEMENT OF TOTAL RETURN for the accounting period 8 March 2014 to 7 March 2015 Notes Income Net capital gains 2 3, , ,037 40,847 Expenses 4 (17,238) (20,986) Finance costs: Interest 6 (5) Net revenue before taxation 7,794 19,861 Taxation 5 (1,456) (4,446) Net revenue after taxation 6,338 15,415 Total return before distributions 9, ,625 Finance costs: s 6 (6,594) (15,415) Change in net assets attributable to shareholders from investment activities 3, ,210 BALANCE SHEET as at 7 March 2015 Notes Assets Investment assets 1,095,507 1,380,816 Other assets Debtors 7 3,768 5,640 Cash and bank balances 26,801 22,121 Total other assets 30,569 27,761 Total assets 1,126,076 1,408,577 Liabilities Other liabilities Creditors 8 (6,747) (26,660) Bank overdrafts (143) payable on income shares (176) (240) Total other liabilities (6,923) (27,043) Total liabilities (6,923) (27,043) Net assets attributable to shareholders 1,119,153 1,381,534 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 8 March 2014 to 7 March 2015 Opening net assets attributable to shareholders 1,381,534 1,450,865 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 109, ,246 Amounts payable on the cancellation of shares (381,751) (714,703) (272,202) (205,457) Dilution adjustment Stamp duty reserve tax (13) (39) Change in net assets attributable to shareholders from investment activities (see statement of total return above) 3, ,210 Retained distribution on accumulation shares 6,418 15,176 Closing net assets attributable to shareholders 1,119,153 1,381,534 *In pound Sterling and against UK peer group. Please refer to pages for comparative tables. DISTRIBUTION TABLE for the accounting period 8 March 2014 to 7 March 2015 Dividend distribution in pence per share Class 1 Shares Net Income Net Payable Paid 08/03/14 to 07/03/ Total distributions in the period Class 1 Shares Net Accumulation Net Net Net Accumulated Accumulated 08/03/14 to 07/03/ Total distributions in the period Class 2 Shares Net Accumulation Net Net Net Accumulated Accumulated 08/03/14 to 07/03/ Total distributions in the period

59 Threadneedle European Smaller Companies Fund DISTRIBUTION TABLE Class Z Shares Net Income Net Payable Paid 08/03/14 to 07/03/ Total distributions in the period Class Z Shares Net Accumulation Net Net Net Accumulated Accumulated 08/03/14 to 07/03/ Total distributions in the period

60 Threadneedle European Smaller Companies Fund Notes to the financial statements for the accounting period 8 March 2014 to 7 March ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 6. 2 NET CAPITAL GAINS Net capital gains during the period comprise: Non-derivative securities 5, ,213 Forward currency contracts (85) 12 Other (losses)/gains (2,299) 14 Transaction costs (10) (29) Net capital gains 3, ,210 3 REVENUE UK dividends 596 Overseas dividends 23,979 40,519 Stock dividends 456 Interest on short term investments 1 Bank interest 6 3 Stocklending commission 324 Total revenue 25,037 40,847 4 EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Annual management charge (15,562) (19,134) Registration fees (1,440) (1,658) (17,002) (20,792) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary s fees (100) (34) Safe custody fees (82) (141) (182) (175) Other expenses: Regulatory fee (7) (12) Audit fee (9) (7) Professional fees (38) (54) (19) * Total expenses (17,238) (20,986) *Including irrecoverable VAT where applicable. 5 TAXATION a) Analysis of charge in period Overseas taxes (1,456) (4,446) Total current tax (note 5b) (1,456) (4,446) Total tax charge for the period (1,456) (4,446) b) Factors affecting taxation charge for period Net revenue before taxation 7,794 19,861 Net revenue before taxation multiplied by the standard rate of corporation tax of 20% (1,559) (3,972) Effects of: not subject to taxation 5,092 6,962 Overseas taxes (1,456) (4,446) Overseas taxes expensed Excess expenses (3,482) (3,148) Retail Review (RDR) conversion transfer from capital (52) Current tax charge for period (note 5a) (1,456) (4,446) 59 The fund has not recognised a deferred tax asset of 12,871,606 (2014: 9,389,584) arising as a result of having unutilised management expenses. It is unlikely that these expenses will be utilised in future years. 6 FINANCE COSTS s and Interest Final 6,594 15,415 Net distribution for the period 6,594 15,415 Interest 5 Total finance costs 6,599 15,415 Net revenue after taxation 6,338 15,415 Equalisation on conversion 256 Net distribution for the period 6,594 15,415 Details of the distribution per share are set out in the table on pages 57 and DEBTORS Amounts receivable for the issue of shares 708 1,053 Sales awaiting settlement 2,369 Accrued revenue Foreign withholding tax recoverable 2,951 1,832 Total debtors 3,768 5,640 8 CREDITORS Amounts payable for the cancellation of shares (4,356) (20,196) Purchases awaiting settlement (892) (4,925) Accrued expenses (34) (38) Amounts payable to ACD (1,465) (1,501) Total creditors (6,747) (26,660) 9 RELATED PARTY TRANSACTIONS The related parties are set out in detail in Note 8 of the aggregated financial statements on page 7. The aggregate monies received through issues and paid on cancellations are disclosed in the Statement of Change in s Attributable to Shareholders. Any amounts due to or from Threadneedle Investment Services Limited at the end of the accounting period are disclosed in Notes 7 and 8. Amounts payable to Threadneedle Investment Services Limited in respect of fund management and registration services are disclosed in Note 4 and amounts outstanding at the year end in Note 8. In addition any fees paid to Threadneedle Investment Services Limited in respect of stocklending are disclosed in Note 11. All transactions have been entered into in the ordinary course of business on normal commercial terms. 10 SHAREHOLDER FUNDS Threadneedle European Smaller Companies Fund currently has three share classes; Class 1, Class 2, and Class Z shares. The charges on each share class are as follows: Annual management charge Class 1 shares 1.50% Class 2 shares 1.00% Class Z shares 0.75% Registration fees Class 1 shares 0.150% Class 2 shares 0.035% Class Z shares 0.110% The net asset value of each share class, the net asset value per share, and the number of shares in each class are given in the comparative table on page 249. The distribution per share class is given in the distribution table on pages 57 and 58. All classes have the same rights on winding up.

61 Threadneedle European Smaller Companies Fund Notes to the financial statements 11 STOCKLENDING During the period under review the Threadneedle European Smaller Companies Fund has earned Nil (2014: 456,000) of which Nil (2014: 49,000) was outstanding at year end. They have paid fees of Nil (2014: 64,000) of which Nil (2014: 7,000) was outstanding at the year end to Threadneedle Investment Services Limited. In addition they have paid fees of Nil (2014: 68,000) of which Nil (2014: 7,000) was outstanding at the year end to J.P. Morgan as the security lending agent to process these arrangements and hold the collateral. There was no stock on loan at the end of the accounting period (2014: 25.49m), and there was no collateral held (2014: 26.79m). The collateral was held as either securities transferred in CREST by a DBV (Delivery by ) or Gilt DBV, or in the form of overseas government bonds, supranational bonds or certificates of deposit. The nature and value of collateral held is analysed by asset class in the table below. Analysis of Collateral Held Total Total Bonds 26, , DERIVATIVES AND OTHER FINANCIAL INSTRUMENTS The analysis and tables provided below refer to the narrative disclosure on derivatives and other financial instruments risks on pages 8 and 9. Currency exposures A substantial proportion of the net assets of the fund are denominated in currencies other than Sterling, with the effect that the balance sheet and total return can be significantly affected by currency movements. Net foreign currency assets Non- Monetary exposures monetary exposures Total Currency 2015 Danish Krone 26 48,018 48,044 Euro 25, , ,945 Norwegian Krone ,908 18,219 Swedish Krona , ,891 Swiss Franc 1, , ,250 US Dollar Currency 2014 Danish Krone ,784 89,886 Euro 17, , ,174 Norwegian Krone ,322 30,629 Swedish Krona , ,868 Swiss Franc , ,780 Interest rate risk profile of financial assets and financial liabilities The interest rate risk profile of the fund s financial assets and financial liabilities at 7 March 2015 was: Floating rate financial assets Fixed rate financial assets Financial assets not carrying interest Total Currency 2015 Danish Krone 48,044 48,044 Euro 26, , ,420 Norwegian Krone 18,219 18,219 Swedish Krona 122, ,931 Swiss Franc 101, ,250 UK Sterling ,155 25,367 US Dollar Currency 2014 Danish Krone 89,886 89,886 Euro 6,621 12, , ,099 Norwegian Krone 30,629 30,629 Swedish Krona 148, ,011 Swiss Franc 162, ,780 UK Sterling 3,058 8,113 11,171 Floating rate financial liabilities Fixed rate financial liabilities Financial liabilities not carrying interest Total Currency 2015 Euro (3,475) (3,475) Swedish Krona (40) (40) UK Sterling (6,603) (6,603) Currency 2014 Euro (4,925) (4,925) Swedish Krona (143) (143) UK Sterling (21,975) (21,975) The floating rate financial assets include deposits which have a weighted average interest rate of 0.00% (2014: 0.00%). There are no material amounts of non interest-bearing financial assets, other than equities, which do not have maturity dates. Cash balances are held in floating rate accounts where interest is calculated with reference to prevailing market rates. Fair value of financial assets and financial liabilities There is no material difference between the value of the financial assets and liabilities, as shown in the balance sheet, and their fair value. 13 CONTINGENT LIABILITIES AND COMMITMENTS There are no contingent liabilities and commitments outstanding (2014: Nil). 14 PORTFOLIO TRANSACTION COSTS Analysis of total purchase costs Purchases in period before transaction costs 354, ,685 Commissions Taxes Fees 281 Total purchase costs 822 1,785 Gross purchases total 355, ,470 Analysis of total sale costs Gross sales before transaction costs 647, ,998 Commissions (661) (989) Total sale costs (661) (989) Total sales net of transaction costs 646, ,009 60

62 Threadneedle Pan European Smaller Companies Fund Investment Report Investment Objective To achieve capital growth. Investment Policy The ACD s investment policy is to invest the assets of the Fund primarily in the equities of smaller companies domiciled in Continental Europe and the UK, or, with significant Continental European or UK operations. If the ACD considers it desirable it may further invest in other securities (including fixed interest securities, other equities and money market securities). Performance of Net Accumulation Class 1 Shares* Over the twelve months to 7 March 2015, the published share price of the Threadneedle Pan European Smaller Companies Fund has risen from p to p. The total return on the fund for the twelve months ending 28 February 2015, including net reinvested income, is +5.22% as compared to a median return of 1.57% over the same period. (For information the Euromoney Smaller Europe Inc UK Index gave a total return of 0.85% for the same period). Portfolio Activity European stocks delivered a positive return over the year in euro terms, with much of the rise in the opening weeks of 2015; returns for sterling-based investors were affected by euro weakness. The fund returns were well ahead of the index. The first half of the year under review was relatively dull, and there was some weakness in July and August owing to concerns over Chinese growth (which impacts the global economy), conflict in Ukraine and weak economic indicators from Europe. The Greek election proved a concern later in the year, but the incoming Syriza government reached a shortterm deal with the EU which allayed investors worst fears. The policies of the European Central Bank (ECB) headed by Mario Draghi continued to support markets, and a massive quantitative easing (QE) programme of bond purchases was announced in January. This served to depress the value of the euro but to drive asset prices up. Shortly before the QE announcement, the Swiss National Bank removed their peg to the euro, prompting a rise in the Swiss franc. Sector weightings were little changed over the year. At the period end, overweight positions included healthcare and IT, and underweight positions included energy and utilities. On a country basis, the principal overweights were in the UK, Ireland and France, and the main underweights included Sweden and Switzerland. Major transactions over the year included the purchase of a number of new issues in IPOs. We bought Applus, the Spanish-based testing business, and bought more shares when they were weak following a profit warning. We also bought Finecobank, an Italian online bank which is able to grow market share profitably as it has a low cost base. Other purchases included IMCD, a Dutch-based chemicals distribution business. Sales included Croda International, the UK-quoted speciality chemicals company. QE will be an immediate positive factor for many European companies when lower energy prices, a weak euro and loosening credit conditions are also providing a tailwind. The ECB s commitment to do whatever it takes to combat deflation should boost confidence. Critically for equity investors, QE is likely to boost asset prices and depress bond yields; QE may succeed in improving overall eurozone GDP growth, but this will take some time. It is too early to determine the full long-term ramifications of Greece s debt negotiations; the outcome may prove critical in the forthcoming Spanish and UK general elections. Escalating tensions between Europe and Russia continue to cause concern; these pose risks to European gas supplies and companies with Russian exposure, but also to sentiment more generally. Many companies in Europe (outside the financial sector) have strong balance sheets and cash flow, leading to the likelihood of further dividend growth, cash returns and mergers and acquisitions activity; in our opinion, valuations are not stretched. We continue to favour smaller companies with robust earnings prospects and pricing power. Small cap valuations appear more attractive relative to large cap after a period of underperformance. STATEMENT OF TOTAL RETURN for the accounting period 8 March 2014 to 7 March 2015 Notes Income Net capital (losses)/gains 2 (3,632) 145, ,779 33,123 Expenses 4 (14,329) (14,361) Finance costs: Interest 6 (5) Net revenue before taxation 15,445 18,762 Taxation 5 (1,925) (2,467) Net revenue after taxation 13,520 16,295 Total return before distributions 9, ,013 Finance costs: s 6 (13,533) (16,358) Change in net assets attributable to shareholders from investment activities (3,645) 145,655 BALANCE SHEET as at 7 March 2015 Notes Assets Investment assets 1,159,517 1,509,193 Other assets Debtors 7 12,358 22,461 Cash and bank balances 26,290 18,837 Total other assets 38,648 41,298 Total assets 1,198,165 1,550,491 Liabilities Derivative liabilities (17) Other liabilities Creditors 8 (6,215) (19,327) Total other liabilities (6,215) (19,327) Total liabilities (6,232) (19,327) Net assets attributable to shareholders 1,191,933 1,531,164 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 8 March 2014 to 7 March 2015 Opening net assets attributable to shareholders 1,531,164 1,164,412 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 434, ,482 Amounts payable on the cancellation of shares (593,326) (428,424) Amounts payable on inspecie transfers (185,100) (344,083) 203,058 Dilution levy 243 Stamp duty reserve tax (233) (779) Change in net assets attributable to shareholders from investment activities (see statement of total return above) (3,645) 145,655 Retained distribution on accumulation shares 8,487 18,818 Closing net assets attributable to shareholders 1,191,933 1,531,164 *In pound Sterling and against UK peer group. Please refer to pages for comparative tables. DISTRIBUTION TABLE for the accounting period 8 March 2014 to 7 March 2015 Dividend distribution in pence per share Class 1 Shares Net Accumulation Net Equalisation Net Net Accumulated Accumulated Group 1 08/03/14 to 07/03/ Group 2 08/03/14 to 07/03/ Total distributions in the period Class 1 USD Hedged* Net Accumulation Net Equalisation Net Accumulated 2014/2015 Group 1 25/02/15 to 07/03/ Group 2 25/02/15 to 07/03/ Total distributions in the period

63 Threadneedle Pan European Smaller Companies Fund DISTRIBUTION TABLE Class 2 Shares Net Accumulation Net Equalisation Net Net Accumulated Accumulated Group 1 08/03/14 to 07/03/ Group 2 08/03/14 to 07/03/ Total distributions in the period Class X Shares Net Accumulation Net Equalisation Net Net Accumulated Accumulated Group 1 08/03/14 to 07/03/ Group 2 08/03/14 to 07/03/ Total distributions in the period Class Z Shares Net Accumulation Net Equalisation Net Net Accumulated Accumulated Group 1 08/03/14 to 07/03/ Group 2 08/03/14 to 07/03/ Total distributions in the period Group 2: shares purchased during a distribution period *Class 1 USD Hedged Net accumulation shares commenced 25th February

64 Threadneedle Pan European Smaller Companies Fund Notes to the financial statements for the accounting period 8 March 2014 to 7 March ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 6. 2 NET CAPITAL (LOSSES)/GAINS Net capital (losses)/gains during the period comprise: Non-derivative securities (1,212) 147,548 Forward currency contracts (225) (4) Other losses (2,183) (1,809) Transaction costs (12) (17) Net capital (losses)/gains (3,632) 145,718 3 REVENUE UK dividends 12,604 8,893 Overseas dividends 16,264 23,991 Stock dividends 881 Interest on short term investments 1 Bank interest 8 3 Underwriting commission 22 Stocklending commission 235 Total revenue 29,779 33,123 4 EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Annual management charge (12,809) (13,007) Registration fees (1,311) (1,220) (14,120) (14,227) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary s fees (108) (31) Safe custody fees (72) (89) (180) (120) Other expenses: Professional fees (13) Audit fee (9) (7) Regulatory fee (7) (7) (29) (14) * Total expenses (14,329) (14,361) *Including irrecoverable VAT where applicable. 5 TAXATION a) Analysis of charge in period Overseas taxes (1,925) (2,467) Total current tax (note 5b) (1,925) (2,467) Total tax charge for the period (1,925) (2,467) b) Factors affecting taxation charge for period Net revenue before taxation 15,445 18,762 Net revenue before taxation multiplied by the standard rate of corporation tax of 20% (3,089) (3,752) Effects of: not subject to taxation 5,959 5,805 Overseas taxes (1,925) (2,467) Overseas taxes expensed 111 Excess expenses (2,867) (2,164) Retail Review (RDR) conversion transfer from capital (3) Current tax charge for period (note 5a) (1,925) (2,467) 63 The fund has not recognised a deferred tax asset of 7,478,025 (2014: 4,610,658) arising as a result of having unutilised management expenses. It is unlikely that these expenses will be utilised in future years. 6 FINANCE COSTS s and Interest The distribution takes account of revenue received on the creation of shares and revenue deducted on the cancellation of shares and comprises: Final 8,487 18,818 Add: deducted on cancellation of shares 7,587 5,247 Deduct: received on creation of shares (2,541) (7,707) Net distribution for the period 13,533 16,358 Interest 5 Total finance costs 13,538 16,358 Net revenue after taxation 13,520 16,295 Equalisation on conversion Net distribution for the period 13,533 16,358 Details of the distribution per share are set out in the table on pages 61 and DEBTORS Amounts receivable for the issue of shares 10,124 6,163 Sales awaiting settlement 14,383 Accrued revenue Foreign withholding tax recoverable 1,577 1,193 Total debtors 12,358 22,461 8 CREDITORS Amounts payable for the cancellation of shares (1,242) (11,211) Purchases awaiting settlement (3,722) (6,884) Accrued expenses (31) (27) Amounts payable to ACD (1,220) (1,205) Total creditors (6,215) (19,327) 9 RELATED PARTY TRANSACTIONS The related parties are set out in detail in Note 8 of the aggregated financial statements on page 7. The aggregate monies received through issues and paid on cancellations are disclosed in the Statement of Change in s Attributable to Shareholders. Any amounts due to or from Threadneedle Investment Services Limited at the end of the accounting period are disclosed in Notes 7 and 8. Amounts payable to Threadneedle Investment Services Limited in respect of fund management and registration services are disclosed in Note 4 and amounts outstanding at the year end in Note 8. In addition any fees paid to Threadneedle Investment Services Limited in respect of stocklending are disclosed in Note 11. All transactions have been entered into in the ordinary course of business on normal commercial terms. 10 SHAREHOLDER FUNDS Threadneedle Pan European Smaller Companies Fund currently has five share classes; Class 1, Class 1 Hedged, Class 2, Class X, and Class Z shares. The charges on each share class are as follows: Annual management charge Class 1 shares 1.50% Class 1 Hedged shares 1.50% Class 2 shares 1.00% Class X shares N/A** Class Z shares 0.75% Registration fees Class 1 shares 0.150% Class 1 Hedged shares 0.150% Class 2 shares 0.035% Class X shares 0.035% Class Z shares 0.110%

65 Threadneedle Pan European Smaller Companies Fund Notes to the financial statements The net asset value of each share class, the net asset value per share, and the number of shares in each class are given in the comparative table on page 250. The distribution per share class is given in the distribution table on pages 61 and 62. All classes have the same rights on winding up. **X Shares are not subject to an Annual Management Charge. 11 STOCKLENDING During the period under review the Threadneedle Pan European Smaller Companies Fund has earned Nil (2014: 331,000) of which Nil (2014: 34,000) was outstanding at year end. They have paid fees of Nil (2014: 46,000) of which Nil (2014: 5,000) was outstanding at the year end to Threadneedle Investment Services Limited. In addition they have paid fees of Nil (2014: 50,000) of which Nil (2014: 5,000) was outstanding at the year end to J.P. Morgan as the security lending agent to process these arrangements and hold the collateral. The were no stock on loan at the end of the accounting period (2014: 24.36m), and there was no collateral held (2014: 25.88m). The collateral was held as either securities transferred in CREST by a DBV (Delivery by ) or Gilt DBV, or in the form of overseas government bonds, supranational bonds or certificates of deposit. The nature and value of collateral held is analysed by asset class in the table below. Analysis of Collateral Held Total Total Bonds 25, , DERIVATIVES AND OTHER FINANCIAL INSTRUMENTS The analysis and tables provided below refer to the narrative disclosure on derivatives and other financial instruments risks on pages 8 and 9. Currency exposures A substantial proportion of the net assets of the fund are denominated in currencies other than Sterling, with the effect that the balance sheet and total return can be significantly affected by currency movements. Net foreign currency assets Non- Monetary exposures monetary exposures Total Currency 2015 Danish Krone 15 52,154 52,169 Euro 26, , ,584 Norwegian Krone 289 5,365 5,654 Swedish Krona (26) 39,942 39,916 Swiss Franc ,977 42,184 US Dollar 1, ,839 Currency 2014 Danish Krone 35 90,328 90,363 Euro 23, , ,121 Norwegian Krone ,991 21,364 Swedish Krona 24 51,785 51,809 Swiss Franc 10 76,755 76,765 Interest rate risk profile of financial assets and financial liabilities The interest rate risk profile of the fund s financial assets and financial liabilities at 7 March 2015 was: Floating rate financial assets Fixed rate financial assets Financial assets not carrying interest Total Currency 2015 Danish Krone 52,169 52,169 Euro 25, , ,621 Norwegian Krone 5,654 5,654 Swedish Krona 39,962 39,962 Swiss Franc 42,184 42,184 UK Sterling , ,056 US Dollar 46 2,582 2,628 Floating rate financial assets Fixed rate financial assets Financial assets not carrying interest Total Currency 2014 Danish Krone 90,363 90,363 Euro 4,830 8, , ,485 Norwegian Krone 21,364 21,364 Swedish Krona 51,809 51,809 Swiss Franc 76,765 76,765 UK Sterling 5, , ,705 Floating rate financial liabilities Fixed rate financial liabilities Financial liabilities not carrying interest Total Currency 2015 Euro (5,037) (5,037) Swedish Krona (46) (46) UK Sterling (8,469) (8,469) US Dollar (789) (789) Currency 2014 Euro (5,364) (5,364) UK Sterling (13,963) (13,963) The floating rate financial assets include deposits which have a weighted average interest rate of 0.00% (2014: 0.03%). Other than equities which do not have maturity dates, non interest-bearing assets relate to forward foreign exchange contracts. Derivatives including forwards are used in this portfolio to take active positions in FX markets. Derivatives are employed when they are the cheapest and most efficient method of gaining exposure. This increases the risk profile of the fund and may result in a higher degree of volatility. All open positions are regularly reviewed by the fund manager. The fund has entered into various forward foreign exchange contracts during this accounting period. Such contracts commit the fund to future deliveries or receipts, typically three months forward, of assets and liabilities, at prices decided at the point of striking the contract. They therefore allow the fund manager to limit risk, or to enhance fund performance in return for the acceptance of greater risk. At 7 March 2015, the fund had outstanding forward foreign exchange contracts with an asset value of 11,000 (2014: Nil) and a liability value of 17,000 (2014: Nil). Cash balances are held in floating rate accounts where interest is calculated with reference to prevailing market rates. Fair value of financial assets and financial liabilities There is no material difference between the value of the financial assets and liabilities, as shown in the balance sheet, and their fair value. Sensitivity analysis Sensitivity or value at risk is not shown since the fund holds no derivatives that could impact the fund significantly. 13 CONTINGENT LIABILITIES AND COMMITMENTS There are no contingent liabilities and commitments outstanding (2014: Nil). 14 PORTFOLIO TRANSACTION COSTS Analysis of total purchase costs Purchases in period before transaction costs 439, ,204 Commissions Taxes 835 1,066 Fees Total purchase costs 1,299 2,102 Gross purchases total 440, ,306 Analysis of total sale costs Gross sales before transaction costs 790, ,334 Commissions (604) (525) Total sale costs (604) (525) Total sales net of transaction costs 789, ,809 64

66 Threadneedle Pan European Fund Investment Report Investment Objective To achieve capital growth. Investment Policy The ACD s investment policy is to invest the assets of the fund primarily in the equity of large companies domiciled in Continental Europe or the UK or with significant Continental European or UK activities. The ACD may, however, invest in the equity of smaller companies. Performance of Net Accumulation Class 1 Shares* Over the twelve months to 7 March 2015, the published share price of the Threadneedle Pan European Fund has risen from p to p. Looking at the sterling performance within its peer group, the total return on the fund for the twelve months ending 28 February 2015, including net reinvested income, is +4.18% as compared to a median return of +5.22% over the same period. (For information the MSCI World Europe Index returned +5.35% over the same period). Portfolio Activity European stocks delivered a positive return over the year, with much of the rise in the opening weeks of 2015; the best returns were achieved for the euro investor owing to the weakness of the currency. The first half of the year under review was relatively dull, and there was some weakness in July and August owing to concerns over Chinese growth (which impacts the global economy), conflict in Ukraine and weak economic indicators from Europe. The Greek election proved a concern later in the year, but the incoming Syriza government reached a shortterm deal with the EU which allayed investors worst fears. The policies of the European Central Bank (ECB) headed by Mario Draghi continued to support markets, and a massive quantitative easing (QE) programme of bond purchases was announced in January. This served to depress the value of the euro but to drive asset prices up. Shortly before the QE announcement, the Swiss National Bank removed their peg to the euro, prompting a rise in the Swiss franc. Over the year, we reduced financials and telecoms, using the money raised to make purchases in the consumer sectors and healthcare. Our exposure to Germany and France was decreased and the UK weighting topped up. Major transactions over the year included the purchase of Novartis following the deal with GlaxoSmithKline (GSK) where the Swiss business sold its vaccines business and bought GSK s cancer-treatment drugs, as this gives Novartis critical mass in a key area. We bought a position in Royal Dutch, the Anglo-Dutch oil major, which offered an attractive valuation after prolonged underperformance, but reduced it later owing to the potential damage from a lower oil price. We also sold BASF owing to the business s sensitivity to the oil price and to the weakness of the Russian economy. QE will be an immediate positive factor for many European companies when lower energy prices, a weak euro and loosening credit conditions are also providing a tailwind. The ECB s commitment to do whatever it takes to combat deflation should boost confidence. Critically for equity investors, QE is likely to boost asset prices and depress bond yields; QE may succeed in improving overall eurozone GDP growth, but this will take some time. It is too early to determine the full long-term ramifications of Greece s debt negotiations; the outcome may prove critical in the forthcoming Spanish and UK general elections. Escalating tensions between Europe and Russia continue to cause concern; these pose risks to European gas supplies and companies with Russian exposure, but also to sentiment more generally. Many companies in Europe (outside the financial sector) have strong balance sheets and cash flow, leading to the likelihood of further dividend growth, cash returns and mergers and acquisitions activity; in our opinion, valuations are not stretched. We continue to favour companies with robust earnings prospects and pricing power. STATEMENT OF TOTAL RETURN for the accounting period 8 March 2014 to 7 March 2015 Notes Income Net capital gains 2 12,352 32, ,819 5,778 Expenses 4 (3,485) (2,607) Finance costs: Interest 6 (3) (1) Net revenue before taxation 4,331 3,170 Taxation 5 (381) (536) Net revenue after taxation 3,950 2,634 Total return before distributions 16,302 35,170 Finance costs: s 6 (3,956) (2,651) Change in net assets attributable to shareholders from investment activities 12,346 32,519 BALANCE SHEET as at 7 March 2015 Notes Assets Investment assets 362, ,512 Other assets Debtors 7 9,333 13,441 Cash and bank balances 3,709 5,384 Total other assets 13,042 18,825 Total assets 375, ,337 Liabilities Other liabilities Creditors 8 (7,007) (13,447) Total other liabilities (7,007) (13,447) Total liabilities (7,007) (13,447) Net assets attributable to shareholders 368, ,890 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 8 March 2014 to 7 March 2015 Opening net assets attributable to shareholders 314, ,786 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 179, ,087 Amounts payable on the cancellation of shares (142,461) (139,316) 36,918 37,771 Dilution adjustment Stamp duty reserve tax (45) (130) Change in net assets attributable to shareholders from investment activities (see statement of total return above) 12,346 32,519 Retained distribution on accumulation shares 3,956 2,651 Closing net assets attributable to shareholders 368, ,890 DISTRIBUTION TABLE for the accounting period 8 March 2014 to 7 March 2015 Dividend distribution in pence per share Class 1 Shares Net Accumulation Net Net Net Accumulated Accumulated 08/03/14 to 07/03/ Total distributions in the period Class 2 Shares Net Accumulation Net Net Net Accumulated Accumulated 08/03/14 to 07/03/ Total distributions in the period *In pound Sterling and against UK peer group. Please refer to pages for comparative tables. 65

67 Threadneedle Pan European Fund DISTRIBUTION TABLE Class 2i Shares Net Accumulation Net Net Accumulated Net Accumulated 08/03/14 to 07/03/ Total distributions in the period Class X Shares Net Accumulation Net Net Accumulated Net Accumulated 08/03/14 to 07/03/ Total distributions in the period Class Z Shares Net Income Net Payable Paid 08/03/14 to 07/03/ Total distributions in the period Class Z Shares Net Accumulation Net Net Accumulated Net Accumulated 08/03/14 to 07/03/ Total distributions in the period

68 Threadneedle Pan European Fund Notes to the financial statements for the accounting period 8 March 2014 to 7 March ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 6. 2 NET CAPITAL GAINS Net capital gains during the period comprise: Non-derivative securities 12,249 32,574 Forward currency contracts (13) (5) Other gains/(losses) 126 (13) Transaction costs (10) (20) Net capital gains 12,352 32,536 3 REVENUE UK dividends 3,466 2,180 Overseas dividends 4,328 3,526 Bank interest 12 6 Underwriting commission 5 Stocklending commission 8 66 Total revenue 7,819 5,778 4 EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Annual management charge (3,173) (2,379) Registration fees (238) (180) (3,411) (2,559) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary s fees (29) (19) Safe custody fees (26) (14) (55) (33) Other expenses: Regulatory fee (6) (7) Audit fee (10) (8) Professional fee (3) (19) (15) * Total expenses (3,485) (2,607) *Including irrecoverable VAT where applicable. 5 TAXATION a) Analysis of charge in period Overseas taxes (381) (536) Total current tax (note 5b) (381) (536) Total tax charge for the period (381) (536) b) Factors affecting taxation charge for period Net revenue before taxation 4,331 3,170 Net revenue before taxation multiplied by the standard rate of corporation tax of 20% (866) (634) Effects of: not subject to taxation 1, Overseas taxes (381) (536) Overseas taxes expensed 29 Excess expenses (703) (342) Retail Review (RDR) conversion transfer from capital (1) Current tax charge for period (note 5a) (381) (536) 67 The fund has not recognised a deferred tax asset of 1,801,288 (2014: 1,097,837) arising as a result of having unutilised management expenses. It is unlikely that these expenses will be utilised in future years. 6 FINANCE COSTS s and Interest Final 3,956 2,651 Net distribution for the period 3,956 2,651 Interest 3 1 Total finance costs 3,959 2,652 Net revenue after taxation 3,950 2,634 Shortfall transfer from capital to revenue 17 Equalisation on conversion 6 Net distribution for the period 3,956 2,651 Details of the distribution per share and any share class with a shortfall are set out in the table on pages 65 and DEBTORS Amounts receivable for the issue of shares 8,121 12,387 Sales awaiting settlement 129 Accrued revenue Foreign withholding tax recoverable Total debtors 9,333 13,441 8 CREDITORS Amounts payable for the cancellation of shares (5,746) (7,760) Purchases awaiting settlement (890) (5,434) Accrued expenses (17) (13) Amounts payable to ACD (354) (240) Total creditors (7,007) (13,447) 9 RELATED PARTY TRANSACTIONS The related parties are set out in detail in Note 8 of the aggregated financial statements on page 7. The aggregate monies received through issues and paid on cancellations are disclosed in the Statement of Change in s Attributable to Shareholders. Any amounts due to or from Threadneedle Investment Services Limited at the end of the accounting period are disclosed in Notes 7 and 8. Amounts payable to Threadneedle Investment Services Limited in respect of fund management and registration services are disclosed in Note 4 and amounts outstanding at the year end in Note 8. In addition any fees paid to Threadneedle Investment Services Limited in respect of stocklending are disclosed in Note 11. All transactions have been entered into in the ordinary course of business on normal commercial terms. 10 SHAREHOLDER FUNDS Threadneedle Pan European Fund currently has five share classes; Class 1, Class 2, Class 2i, Class X, and Class Z shares. The charges on each share class are as follows: Annual management charge Class 1 shares 1.50% Class 2 shares 1.00% Class 2i shares 1.00% Class X shares N/A** Class Z shares 0.75% Registration fees Class 1 shares 0.150% Class 2 shares 0.035% Class 2i shares 0.035% Class X shares 0.035% Class Z shares 0.110%

69 Threadneedle Pan European Fund Notes to the financial statements The net asset value of each share class, the net asset value per share, and the number of shares in each class are given in the comparative table on page 250. The distribution per share class is given in the distribution table on pages 65 and 66. All classes have the same rights on winding up. **X Shares are not subject to an Annual Management Charge. 11 STOCKLENDING During the period under review the Threadneedle Pan European Fund has earned 8,000 (2014: 93,000) of which Nil (2014: 9,000) was outstanding at year end. They have paid fees of Nil (2014: 13,000) of which Nil (2014: 1,000) was outstanding at the year end to Threadneedle Investment Services Limited. In addition they have paid fees of Nil (2014: 14,000) of which Nil (2014: 2,000) was outstanding at the year end to J.P. Morgan as the security lending agent to process these arrangements and hold the collateral. There was no stock on loan at the end of the accounting period (2014: 1.04m), and there was no collateral held (2014: 1.10m). The collateral was held as either securities transferred in CREST by a DBV (Delivery by ) or Gilt DBV, or in the form of overseas government bonds, supranational bonds or certificates of deposit. The nature and value of collateral held is analysed by asset class in the table below. Analysis of Collateral Held Total Total Bonds 1, , DERIVATIVES AND OTHER FINANCIAL INSTRUMENTS The analysis and tables provided below refer to the narrative disclosure on derivatives and other financial instruments risks on pages 8 and 9. Currency exposures A substantial proportion of the net assets of the fund are denominated in currencies other than Sterling, with the effect that the balance sheet and total return can be significantly affected by currency movements. Net foreign currency assets Non- Monetary exposures monetary exposures Total Currency 2015 Danish Krone 15,487 15,487 Euro , ,872 Norwegian Krone 30 4,030 4,060 Swedish Krona 18 11,080 11,098 Swiss Franc ,118 37,439 US Dollar Currency 2014 Danish Krone 9,864 9,864 Euro , ,515 Norwegian Krone 22 3,666 3,688 Swedish Krona 5 9,987 9,992 Swiss Franc ,921 30,208 US Dollar 5 3,397 3,402 Interest rate risk profile of financial assets and financial liabilities The interest rate risk profile of the fund s financial assets and financial liabilities at 7 March 2015 was: Floating rate financial assets Fixed rate financial assets Financial assets not carrying interest Total Currency 2015 Danish Krone 15,487 15,487 Euro , ,761 Norwegian Krone 4,060 4,060 Swedish Krona 11,099 11,099 Swiss Franc ,439 37,613 UK Sterling 3, , ,889 US Dollar Currency 2014 Danish Krone 9,864 9,864 Euro , ,146 Norwegian Krone 3,688 3,688 Swedish Krona 9,992 9,992 Swiss Franc ,208 31,156 UK Sterling 3,779 95,310 99,089 US Dollar 3,402 3,402 Floating rate financial liabilities Fixed rate financial liabilities Financial liabilities not carrying interest Total Currency 2015 Euro (890) (890) Swedish Krona (174) (174) UK Sterling (6,640) (6,640) Currency 2014 Euro (631) (631) Swiss Franc (948) (948) UK Sterling (11,868) (11,868) There are no material amounts of non interest-bearing financial assets, other than equities, which do not have maturity dates. Cash balances are held in floating rate accounts where interest is calculated with reference to prevailing market rates. Fair value of financial assets and financial liabilities There is no material difference between the value of the financial assets and liabilities, as shown in the balance sheet, and their fair value. 13 CONTINGENT LIABILITIES AND COMMITMENTS There are no contingent liabilities and commitments outstanding (2014: Nil). 14 PORTFOLIO TRANSACTION COSTS Analysis of total purchase costs Purchases in period before transaction costs 299, ,587 Commissions Taxes Fees 16 Total purchase costs Gross purchases total 300, ,248 Analysis of total sale costs Gross sales before transaction costs 260, ,225 Commissions (226) (192) Total sale costs (226) (192) Total sales net of transaction costs 260, ,033 68

70 Threadneedle European Bond Fund Investment Report Investment Objective To achieve total return primarily by way of income with some capital growth. Investment Policy The ACD s investment policy is to invest the assets of the Fund in European public sector sovereign bonds and corporate bonds, issued by companies domiciled in Europe or with significant European operations, denominated in a range of European currencies or other Euro denominated public sector sovereign bonds and corporate bonds. The Fund has the flexibility to invest in bonds issued by Eastern European issuers. Performance of Net Income Class 1 Shares* Over the twelve months to 7 March 2015, the published share price of the Threadneedle European Bond Fund has fallen from 69.70p to 67.54p. The sterling total return on the fund for the twelve months ending 28 February 2015, including net reinvested income, is +0.21%, which equates approximately to +1.65% gross of tax and charges**. For information the ML Pan Euro Large Cap. Index returned +0.37% over the same period. Portfolio Activity Government- and corporate-bond indices rose in sterling terms over the one-year period under review. Yields fell, particularly in the eurozone against a background of ongoing accommodative monetary policy. The euro depreciated against sterling, which reduced returns somewhat. The fund continued to hold a well-diversified allocation across sovereign, corporate and collateralised bonds, predominantly denominated in euros, but also in other European currencies. Through the period, we held a more cautious position with respect to interest-rate risk versus the benchmark index due to the low level of prospective returns associated with such low yields. This position was adjusted tactically through the period, particularly following the increasingly activist policies of the European Central Bank, which caused us to increase exposure to German bonds during January. We maintained a preference for lower-rated securities versus high-rated. We favoured holdings in so-called peripheral government bonds Portuguese, Slovenian and Italian, for example versus German or French government bonds, where we held a lower weight than the benchmark index. Exposure to Italian bonds was reduced in August, increased once again in January and reduced in February, as we adjusted to valuations and the ebb and flow of the Greek political situation. Throughout the period, the fund had a larger allocation to corporate bonds than the benchmark index as we expected spreads on those securities to decrease. These holdings were adjusted in line with the process of the investment-grade credit team. Within this sector, too, we favoured lower-rated securities over highrated. The fund continued to hold the debt of selective emerging-market sovereigns, such as Romania and Mexico, and during the period we added new positions in Brazilian, Chilean and Indonesian bonds, while selling holdings of Russian bonds. The fund adjusted currency exposure on a tactical basis through the period, positioning for sterling strength versus the euro in June and once again in January. These positions were held versus the benchmark weights. STATEMENT OF TOTAL RETURN for the accounting period 8 March 2014 to 7 March 2015 Notes Income Net capital losses 2 (3,559) (2,243) 3 4,931 5,004 Expenses 4 (2,278) (2,153) Finance costs: Derivative expense 6 (186) (10) Interest 6 (7) Net revenue before taxation 2,460 2,841 Taxation 5 Net revenue after taxation 2,460 2,841 Total return before distributions (1,099) 598 Finance costs: s 6 (4,410) (4,671) Change in net assets attributable to shareholders from investment activities (5,509) (4,073) BALANCE SHEET as at 7 March 2015 Notes Assets Investment assets 193, ,782 Other assets Debtors 7 9,386 8,772 Cash and bank balances 8 4,523 25,649 Total other assets 13,909 34,421 Total assets 207, ,203 Liabilities Derivative liabilities (135) (137) Other liabilities Creditors 9 (9,382) (27,087) payable on income shares (444) (545) Total other liabilities (9,826) (27,632) Total liabilities (9,961) (27,769) Net assets attributable to shareholders 197, ,434 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 8 March 2014 to 7 March 2015 Opening net assets attributable to shareholders 206, ,790 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 264,327 67,251 Amounts payable on the cancellation of shares (271,744) (35,116) (7,417) 32,135 Dilution adjustment Change in net assets attributable to shareholders from investment activities (see statement of total return above) (5,509) (4,073) Retained distribution on accumulation shares 3,023 3,509 Closing net assets attributable to shareholders 197, ,434 *In pound Sterling and against UK peer group. **Gross performance is calculated in Factset using daily cash flows and daily global close valuations. Please refer to pages for comparative tables. DISTRIBUTION TABLE for the accounting period 8 March 2014 to 7 March 2015 Interest distribution in pence per share Class 1 Shares Net Income Gross Income Tax Net Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/09/ /09/14 to 07/03/ Group 2 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period Class 1 Shares Gross Accumulation Gross Gross Gross Equalisation Accumulated Accumulated Group 1 08/03/14 to 07/09/ /09/14 to 07/03/ Group 2 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period

71 Threadneedle European Bond Fund DISTRIBUTION TABLE Class 2 Shares Gross Accumulation Gross Gross Gross Equalisation Accumulated Accumulated Group 1 08/03/14 to 07/09/ /09/14 to 07/03/ Group 2 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period Class Z Shares Net Income Gross Income Tax Net Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/09/ /09/14 to 07/03/ Group 2 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period Group 2: shares purchased during a distribution period 70

72 Threadneedle European Bond Fund Notes to the financial statements for the accounting period 8 March 2014 to 7 March ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 6. 2 NET CAPITAL LOSSES Net capital losses during the period comprise: Non-derivative securities (476) (1,976) Derivative contracts (2,127) (230) Forward currency contracts (265) 382 Other losses (684) (411) Transaction costs (7) (8) Net capital losses (3,559) (2,243) 3 REVENUE Interest on debt securities 4,916 4,970 Bank interest 13 9 Stocklending commission 2 25 Total revenue 4,931 5,004 4 EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Annual management charge (1,950) (1,830) Registration fees (270) (281) (2,220) (2,111) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary s fees (21) (18) Safe custody fees (19) (9) (40) (27) Other expenses: Regulatory fee (7) (7) Audit fee (11) (8) (18) (15) * Total expenses (2,278) (2,153) *Including irrecoverable VAT where applicable. 5 TAXATION a) Analysis of charge in period Total current tax (note 5b) Total tax charge for the period b) Factors affecting taxation charge for period Net revenue before taxation 2,460 2,841 Net revenue before taxation multiplied by the standard rate of corporation tax of 20% (492) (568) Effects of: Excess expenses The fund has not recognised a deferred tax asset of 1,466,748 (2014: 1,958,830) arising as a result of having unutilised management expenses. It is unlikely that these expenses will be utilised in future years. Interest distributions have been made in respect of all distributions during the period. Income Tax at 20% on net share classes will be accounted for on shareholders behalf to HM & Customs. 6 FINANCE COSTS s and Interest The distribution takes account of revenue received on the creation of shares and revenue deducted on the cancellation of shares and comprises: Interim 2,528 2,378 Final 1,671 2,537 4,199 4,915 Add: deducted on cancellation of shares 1, Deduct: received on creation of shares (1,539) (551) Net distribution for the period 4,410 4,671 Derivative expense Interest 7 Total finance costs 4,603 4,681 Net revenue after taxation 2,460 2,841 Annual management charge to capital 1,950 1,830 Net distribution for the period 4,410 4,671 Details of the distribution per share are set out in the table on pages 69 and DEBTORS Amounts receivable for the issue of shares 1,771 1,343 Sales awaiting settlement 5,203 4,753 Accrued revenue 2,412 2,676 Total debtors 9,386 8,772 8 CASH AND BANK BALANCES Amounts held at futures clearing houses and brokers 384 Cash and bank balances 4,139 25,649 Total cash and bank balances 4,523 25,649 9 CREDITORS Amounts payable for the cancellation of shares (4,118) (11,360) Purchases awaiting settlement (4,941) (15,394) Accrued expenses (14) (10) Amounts payable to ACD (208) (187) Income tax payable (101) (136) Total creditors (9,382) (27,087) 10 RELATED PARTY TRANSACTIONS The related parties are set out in detail in Note 8 of the aggregated financial statements on page 7. The aggregate monies received through issues and paid on cancellations are disclosed in the Statement of Change in s Attributable to Shareholders. Any amounts due to or from Threadneedle Investment Services Limited at the end of the accounting period are disclosed in Notes 7 and 9. Amounts payable to Threadneedle Investment Services Limited in respect of fund management and registration services are disclosed in Note 4 and amounts outstanding at the year end in Note 9. In addition any fees paid to Threadneedle Investment Services Limited in respect of stocklending are disclosed in Note 12. All transactions have been entered into in the ordinary course of business on normal commercial terms. 71

73 Threadneedle European Bond Fund Notes to the financial statements 11 SHAREHOLDER FUNDS Threadneedle European Bond Fund currently has three share classes; Class 1, Class 2, and Class Z shares. The charges on each share class are as follows: Annual management charge Class 1 shares 1.00% Class 2 shares 0.50% Class Z shares 0.50% Registration fees Class 1 shares 0.150% Class 2 shares 0.035% Class Z shares 0.110% The net asset value of each share class, the net asset value per share, and the number of shares in each class are given in the comparative table on page 251. The distribution per share class is given in the distribution table on pages 69 and 70. All classes have the same rights on winding up. 12 STOCKLENDING During the period under review the Threadneedle European Bond Fund has earned 2,000 (2014: 35,000) of which Nil (2014: 3,000) was outstanding at year end. They have paid fees of Nil (2014: 5,000) to Threadneedle Investment Services Limited. In addition they have paid fees of Nil (2014: 5,000) to J.P. Morgan as the security lending agent to process these arrangements and hold the collateral. There was no stock on loan at the end of the accounting period (2014: 8.15m), and there was no collateral held (2014: 8.37m). The collateral was held as either securities transferred in CREST by a DBV (Delivery by ) or Gilt DBV, or in the form of overseas government bonds, supranational bonds or certificates of deposit. The nature and value of collateral held is analysed by asset class in the table below. Analysis of Collateral Held Total Total Bonds 8, , DERIVATIVES AND OTHER FINANCIAL INSTRUMENTS The analysis and tables provided below refer to the narrative disclosure on derivatives and other financial instruments risks on pages 8 and 9. Currency exposures A substantial proportion of the net assets of the fund are denominated in currencies other than Sterling, with the effect that the balance sheet and total return can be significantly affected by currency movements. Net foreign currency assets Non- Monetary exposures monetary exposures Total Currency 2015 Danish Krone 64 3,388 3,452 Euro (1,606) 157, ,069 Swedish Krona Swiss Franc 1,547 (1,553) (6) Currency 2014 Euro 11, , ,255 Hungarian Forint Polish Zloty 1,608 (1,463) 145 Swedish Krona Interest rate risk profile of financial assets and financial liabilities The interest rate risk profile of the fund s financial assets and financial liabilities at 7 March 2015 was: Floating rate financial assets Fixed rate financial assets Financial assets not carrying interest Total Currency 2015 Danish Krone 1 3, ,452 Euro 7, ,157 15, ,563 Swedish Krona Swiss Franc 1,546 1, ,931 UK Sterling 7,403 37,294 2,919 47,616 Currency 2014 Euro 6, ,670 5, ,482 Hungarian Forint Polish Zloty 3,278 1,608 4,886 Swedish Krona UK Sterling 7,783 32,543 1,979 42,305 Floating rate financial liabilities Fixed rate financial liabilities Financial liabilities not carrying interest Total Currency 2015 Euro (5,494) (5,494) Swiss Franc (2,937) (2,937) UK Sterling (10,135) (10,135) Currency 2014 Euro (13,227) (13,227) Polish Zloty (4,741) (4,741) UK Sterling (14,560) (14,560) Fixed rate financial assets Weighted average interest rate Fixed rate financial assets Weighted average period for which rate is fixed Non interest bearing assets Weighted average period Currency % % years years years years Danish Krone Euro Polish Zloty UK Sterling Swiss Franc The floating rate financial assets include deposits which have a weighted average interest rate of 0.00% (2014: 0.01%). Non interest-bearing assets relate to forward foreign exchange contracts and futures. Derivatives including forwards and futures are used in this portfolio to take active positions in FX markets. Derivatives are employed when they are the cheapest and most efficient method of gaining exposure. This increases the risk profile of the fund and may result in a higher degree of volatility. All open positions are regularly reviewed by the fund manager. The fund has entered into various forward foreign exchange and futures during this accounting period. Such contracts commit the fund to future deliveries or receipts, typically three months forward, of assets and liabilities, at prices decided at the point of striking the contract. They therefore allow the fund manager to limit risk, or to enhance fund performance in return for the acceptance of greater risk. At 7 March 2015, the fund had outstanding open futures and forward foreign exchange contracts with an asset value of 100,000 (2014: 33,000) and a liability value of 135,000 (2014: 137,000). The fund s floating rate investments earn interest which is variable, based on LIBOR or its overseas equivalent. Cash balances are held in floating rate accounts where interest is calculated with reference to prevailing market rates. 72

74 Threadneedle European Bond Fund Notes to the financial statements Fair value of financial assets and financial liabilities There is no material difference between the value of the financial assets and liabilities, as shown in the balance sheet, and their fair value. Sensitivity analysis Sensitivity or value at risk is not shown since the fund holds no derivatives that could impact the fund significantly. 14 CONTINGENT LIABILITIES AND COMMITMENTS There are no contingent liabilities and commitments outstanding (2014: Nil). 15 PORTFOLIO TRANSACTION COSTS The purchases and sales are not subject to portfolio transaction costs. The total cost of purchases during the period was 631,695,679 (2014: 450,933,599) and proceeds received from sales were 636,509,829 (2014: 418,425,033). 73

75 Threadneedle European Corporate Bond Fund Investment Report Investment Objective To achieve total return. Investment Policy The ACD s investment policy is to invest the assets of the Fund in a managed portfolio of fixed interest securities which are primarily Euro denominated. The portfolio will consist primarily of a broad range of investment grade corporate fixed interest investments in companies domiciled in Europe or which have significant European operations. From time to time, it may also invest in securities issued by investment grade sovereign and supranational borrowers. However, it is intended that the portfolio will not be more than 25% invested in securities rated AAA (Standard & Poor s) or equivalent rating by another leading rating agency. A maximum of 10 the portfolio can be invested in below investment grade securities. Where securities are non-euro denominated it is intended that they will typically be hedged into Euro. Performance of Net Accumulation Class 1 Shares* Over the twelve months to 7 March 2015, the published share price of the Threadneedle European Corporate Bond Fund has fallen from 94.31p to 88.08p. Looking at performance within its peer group, the total return on the fund for the twelve months ending 28 February 2015, including net reinvested income, is -5.24%. The fund return equates approximately to -4.22% gross of tax and charges**. (For information the iboxx European All Corporate Bond Index gave a total return of -5.03% for the same period). Portfolio Activity It was a strong year for European investment-grade corporate bonds. Market expectations regarding the commencement of quantitative easing (QE) by the European Central Bank (ECB) drove German bund yields to all-time lows and aided a material tightening in corporate credit spreads. With interest rates remaining low across the developed world and inflation expectations progressively falling, European corporate bonds have remained in demand from income-seeking investors. Over the summer months, economic growth in the eurozone faltered and in response the ECB announced a further loosening of monetary policy. In early June eurozone interest rates were cut from 0.25% to a record low of 0.15% and for the first time in its history, the ECB announced that it would be charging banks to leave money on deposit. With inflation continuing to fall, the ECB cut rates again to 0.05% in September and moved the bank deposit rate deeper into negative territory. Faced with a more challenging environment, the ECB initiated unconventional policy measures. Initially, the ECB embarked on a policy of purchasing assetbacked securities and covered bonds, before finally announcing fullblown QE encompassing the purchase of euro-denominated government bonds. Full QE began shortly after the period end on 9 March, and the ECB is expected to spend a total of 1.1 trillion between March this year and September 2016 to stimulate the eurozone economy and combat deflationary trends. European corporate bonds were buoyed by this ongoing policy support from the ECB. The portfolio continued to have a strong focus on issuer selection, implementing the best bottom-up credit ideas from our global team of 14 investment-grade analysts, using the best risk-adjusted securities issued by those issuers. Examples of our larger issuer positions have included Citibank and RBS which have both continued to build capital and liquidity ratios and wind down bad bank assets as well as Talanx, which operates in the German insurance sector. The portfolio benefited from a number of industry-level positions. In the banking sector, the EU Bail-in Directive, effective 1 January 2016, means senior bonds will take losses in any bank in difficulty and as such can effectively be thought of as low-beta capital. The fund was underweight the senior part of the capital structure against being overweight subordinated bonds where the spread ratio between the two was attractive. We remain overweight in property as an increase in issuance in the European market by new entrants has resulted in attractive valuations, and this has been against a backdrop of improving credit fundamentals for a number of issuers in the sector. This has resulted in rating-agency upgrades to companies including Deutsche Annington, Grand City Properties (both German residential property), Citycon (Nordic shopping centres) and Goodman European Logistics. We are also overweight insurance based on our expectation of improving fundamentals, and have been underweight in telecommunications given high competition in Europe resulting in a less certain fundamental outlook. The outperformance of European credit over sterling and dollar credit also presented a number of tactical opportunities, and we have opportunistically held a small number of short-dated sterling positions to take advantage of the significantly higher yield on offer, while at the same time hedging out any exchange-rate risk. The portfolio was broadly invested with more credit risk than the index and less duration (interest-rate risk). This construction was driven by our view that the commencement of QE would be beneficial for European corporate-bond spreads which have been broadly at their long-term average and by our view that government bond yields are unappealing at historically low levels. STATEMENT OF TOTAL RETURN for the accounting period 8 March 2014 to 7 March 2015 Notes Income Net capital losses 2 (5,999) (1,548) 3 1,958 2,263 Expenses 4 (752) (744) Finance costs: Derivative expense 6 (105) Interest 6 (2) Net revenue before taxation 1,099 1,519 Taxation 5 Net revenue after taxation 1,099 1,519 Total return before distributions (4,900) (29) Finance costs: s 6 (1,099) (1,519) Change in net assets attributable to shareholders from investment activities (5,999) (1,548) BALANCE SHEET as at 7 March 2015 Notes Assets Investment assets 70,375 75,976 Other assets Debtors 7 6,738 1,399 Cash and bank balances 8 4,044 2,583 Total other assets 10,782 3,982 Total assets 81,157 79,958 Liabilities Derivative liabilities (516) (27) Other liabilities Creditors 9 (5,864) (947) Total other liabilities (5,864) (947) Total liabilities (6,380) (974) Net assets attributable to shareholders 74,777 78,984 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 8 March 2014 to 7 March 2015 Opening net assets attributable to shareholders 78,984 67,212 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 60,812 28,553 Amounts payable on the cancellation of shares (60,190) (16,640) ,913 Dilution adjustment Change in net assets attributable to shareholders from investment activities (see statement of total return above) (5,999) (1,548) Retained distribution on accumulation shares 991 1,340 Closing net assets attributable to shareholders 74,777 78,984 DISTRIBUTION TABLE for the accounting period 8 March 2014 to 7 March 2015 Interest distribution in pence per share Class 1 Shares Net Accumulation Gross Income Tax Net Net Net Accumulated Accumulated 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period Class 1 Shares Gross Accumulation Gross Gross Gross Accumulated Accumulated 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period *In pound Sterling and against UK peer group. **Gross performance is calculated in Factset using daily cash flows and daily global close valuations. Please refer to pages for comparative tables. 74

76 Threadneedle European Corporate Bond Fund DISTRIBUTION TABLE Class 2 Shares Gross Accumulation Gross Gross Gross Accumulated Accumulated 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period Class Z Shares Net Accumulation Gross Income Tax Net Net Accumulated Net Accumulated 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period

77 Threadneedle European Corporate Bond Fund Notes to the financial statements for the accounting period 8 March 2014 to 7 March ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 6. 2 NET CAPITAL LOSSES Net capital losses during the period comprise: Non-derivative securities (3,655) (1,053) Derivative contracts (296) (4) Forward currency contracts (1,629) (499) Other (losses)/gains (415) 18 Transaction costs (4) (10) Net capital losses (5,999) (1,548) 3 REVENUE Interest on debt securities 1,955 2,250 Derivative revenue 2 Bank interest 3 1 Stocklending commission 10 Total revenue 1,958 2,263 4 EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Annual management charge (631) (625) Registration fees (85) (89) (716) (714) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary s fees (8) (13) Safe custody fees (11) (3) (19) (16) Other expenses: Regulatory fee (6) (6) Audit fee (11) (8) (17) (14) * Total expenses (752) (744) *Including irrecoverable VAT where applicable. 5 TAXATION a) Analysis of charge in period Total current tax (note 5b) Total tax charge for the period b) Factors affecting taxation charge for period Net revenue before taxation 1,099 1,519 Net revenue before taxation multiplied by the standard rate of corporation tax of 20% (220) (304) Effects of: s treated as tax deductible Current tax charge for period (note 5a) Interest distributions have been made in respect of all distributions during the period. Income Tax at 20% on net share classes will be accounted for on shareholders behalf to HM & Customs. 6 FINANCE COSTS s and Interest Interim Final ,099 1,519 Net distribution for the period 1,099 1,519 Derivative expense 105 Interest 2 Total finance costs 1,206 1,519 Net revenue after taxation 1,099 1,519 Net distribution for the period 1,099 1,519 Details of the distribution per share are set out in the table on pages 74 and DEBTORS Amounts receivable for the issue of shares 4, Sales awaiting settlement 1, Accrued revenue 951 1,182 Total debtors 6,738 1,399 8 CASH AND BANK BALANCES Amounts held at futures clearing houses and brokers Cash and bank balances 3,727 2,449 Total cash and bank balances 4,044 2,583 9 CREDITORS Amounts payable for the cancellation of shares (878) (102) Purchases awaiting settlement (4,867) (687) Accrued expenses (10) (9) Amounts payable to ACD (68) (59) Income tax payable (41) (90) Total creditors (5,864) (947) 10 RELATED PARTY TRANSACTIONS The related parties are set out in detail in Note 8 of the aggregated financial statements on page 7. The aggregate monies received through issues and paid on cancellations are disclosed in the Statement of Change in s Attributable to Shareholders. Any amounts due to or from Threadneedle Investment Services Limited at the end of the accounting period are disclosed in Notes 7 and 9. Amounts payable to Threadneedle Investment Services Limited in respect of fund management and registration services are disclosed in Note 4 and amounts outstanding at the year end in Note 9. In addition any fees paid to Threadneedle Investment Services Limited in respect of stocklending are disclosed in Note 12. All transactions have been entered into in the ordinary course of business on normal commercial terms. 76

78 Threadneedle European Corporate Bond Fund Notes to the financial statements 11 SHAREHOLDER FUNDS Threadneedle European Corporate Bond Fund currently has three share classes; Class 1, Class 2, and Class Z shares. The charges on each share class are as follows: Annual management charge Class 1 shares 1.00% Class 2 shares 0.50% Class Z shares 0.50% Registration fees Class 1 shares 0.15% Class 2 shares 0.035% Class Z shares 0.11% The net asset value of each share class, the net asset value per share, and the number of shares in each class are given in the comparative table on page 251. The distribution per share class is given in the distribution table on pages 74 and 75. All classes have the same rights on winding up. 12 STOCKLENDING During the period under review the Threadneedle European Corporate Bond Fund has earned Nil (2014: 14,000) of which Nil (2014: 1,000) was outstanding at year end. They have paid fees of Nil (2014: 2,000) to Threadneedle Investment Services Limited. In addition they have paid fees of Nil (2014: 2,000) to J.P. Morgan as the security lending agent to process these arrangements and hold the collateral. There was no stock on loan at the end of the accounting period (2014: 6.73m), and there was no collateral held (2014: 6.90m). The collateral was held as either securities transferred in CREST by a DBV (Delivery by ) or Gilt DBV, or in the form of overseas government bonds, supranational bonds or certificates of deposit. The nature and value of collateral held is analysed by asset class in the table below. Analysis of Collateral Held Total Total Bonds 6, , DERIVATIVES AND OTHER FINANCIAL INSTRUMENTS The analysis and tables provided below refer to the narrative disclosure on derivatives and other financial instruments risks on pages 8 and 9. Currency exposures A substantial proportion of the net assets of the fund are denominated in currencies other than Sterling, with the effect that the balance sheet and total return can be significantly affected by currency movements. Net foreign currency assets Non- Monetary exposures monetary exposures Total Currency 2015 Euro 1,145 69,868 71,013 US Dollar (518) 499 (19) Currency 2014 Euro 2,882 76,176 79,058 Interest rate risk profile of financial assets and financial liabilities The interest rate risk profile of the fund s financial assets and financial liabilities at 7 March 2015 was: Floating rate financial assets Fixed rate financial assets Financial assets not carrying interest Total Currency 2015 Euro 13,108 48,175 15,633 76,916 UK Sterling 4,492 6,898 5,606 16,996 US Dollar ,289 Currency 2014 Euro 4,114 74,174 1,183 79,471 UK Sterling 496 9, ,579 Floating rate financial liabilities Fixed rate financial liabilities Financial liabilities not carrying interest Total Currency 2015 Euro (5,903) (5,903) UK Sterling (13,213) (13,213) US Dollar (2,308) (2,308) Currency 2014 Euro (413) (413) UK Sterling (148) (9,971) (533) (10,652) Fixed rate Fixed rate financial assets financial assets Weighted average Weighted average period for which interest rate rate is fixed Non interest bearing assets Weighted average period Currency % % years years years years Euro UK Sterling US Dollar Non interest-bearing assets relate to credit default swaps, forward foreign exchange contracts and futures. Derivatives including credit default swaps, forwards and futures are used in this portfolio to take active positions in credit markets and FX markets. Derivatives are employed when they are the cheapest and most efficient method of gaining exposure. This increases the risk profile of the fund and may result in a higher degree of volatility. All open positions are regularly reviewed by the fund manager. The fund has entered into various credit default swaps, forward foreign exchange contracts and futures during this accounting period. Such contracts commit the fund to future deliveries or receipts, typically three months forward, of assets and liabilities, at prices decided at the point of striking the contract. They therefore allow the fund manager to limit risk, or to enhance fund performance in return for the acceptance of greater risk. At 7 March 2015, the fund had outstanding credit default swaps, forward foreign exchange and futures contracts with an asset value of 34,000 (2014: 111,000) and a liability value of 516,000 (2014: 27,000). The fund s floating rate investments earn interest which is variable, based on LIBOR or its overseas equivalent. Cash balances are held in floating rate accounts where interest is calculated with reference to prevailing market rates. Fair value of financial assets and financial liabilities There is no material difference between the value of the financial assets and liabilities, as shown in the balance sheet, and their fair value. Sensitivity analysis Sensitivity or value at risk is not shown since the fund holds no derivatives that could impact the fund significantly. 14 CONTINGENT LIABILITIES AND COMMITMENTS There are no contingent liabilities and commitments outstanding (2014: Nil) PORTFOLIO TRANSACTION COSTS The purchases and sales are not subject to portfolio transaction costs. The total cost of purchases during the period was 151,016,635 (2014: 114,355,057) and proceeds received from sales were 152,548,383 (2014: 102,845,214).

79 Threadneedle European High Yield Bond Fund Investment Report Investment Objective To achieve total return. Over time this will be predominantly by way of income. Investment Policy The ACD s investment policy is to invest the assets of the Fund primarily in corporate fixed interest securities of corporates with higher risk (that is non-investment grade credit) issued predominantly in Euro or Sterling. Where securities are non- Euro denominated it is intended they will typically be hedged into Euro. The ACD will invest predominantly in issues issued by companies domiciled in Europe, or with significant European operations. If the ACD considers it desirable it may further invest in other securities (including fixed interest securities, other equities and money market securities). Performance of Net Accumulation Class 1 Shares* Over the twelve months to 7 March 2015, the published share price of the Threadneedle European High Yield Bond Fund has fallen from p to p. The sterling total return on the fund for the twelve months ending 28 February 2015, including net reinvested income, is -8.87%, which equates approximately to -6.30% gross of tax and charges** and compares against a return of -6.86% for the Merrill Lynch European High Yield Index 3% constrained ex sub-financials (100% Hedged). The gross returns equate to approximately +6.40% for the fund and +5.76% for the index when quoted in Euros**. Portfolio Activity The early part of the period under review saw modest spread tightening in high-yield markets. This trend reversed over the summer months, as high-yield credit spreads widened and volatility returned to the market. This was mainly driven by geopolitical tensions in Russia and Ukraine and the default of Banco Espirito Santo, the Portuguese bank. In the final three months of 2014, both European and US high-yield spreads widened as the oil price fell sharply. However, the European market held up better than the US, due to the latter s large exposure to the energy sector. From the turn of the year onwards, global and European high-yield markets were buoyed by increased risk appetite. Investors fears over geopolitical events in Greece and Ukraine abated, while a stabilisation in the price of oil lent additional support to markets. February marked 2015 s first European high-yield default, as Towergate agreed a debt restructuring led by subordinated bondholders. We had no exposure to these bonds in our portfolios. We selectively participated in new issues during the period under review, including the large and long-expected issue from Italian telecom Wind Telecom. A notable market event was the financing for Numericable/Altice s acquisition of SFR, one of the largest ever European high-yield deals. We participated in both issues (Numericable and Altice). Meanwhile, we built our exposure to European telecoms and media names due to our positive view on the potential for consolidation in these sectors. We were also very active in financials new issues, a sector that has been an important contributor to relative returns. Latterly, we took positions in companies where the refinancing of existing issues was called or tendered, for example Unity, Jaguar Land Rover and Viridian. In the secondary market, we reduced our holdings in names such as HeidelbergCement and Elli. Recent economic data indicate an improvement in global growth, a trend we expect to continue. These improving economic fundamentals, in tandem with the European Central Bank s quantitative easing programme, should provide support to high-yield markets. We expect European sovereign yields to remain low in the short term, anchored by the disinflationary state of the global economy and recent fresh injections of liquidity by the central bank. In the long- to-medium term, we expect yields to rise as expectations for growth and inflation improve. Looking ahead, credit selection is likely to be an increasingly important driver of returns in Overall, high-yield credit fundamentals remain intact, while the outlook for default rates appears to be benign. Encouragingly, leveraged buyout activity has been limited, with issuance largely driven by companies undertaking mergers and acquisitions. STATEMENT OF TOTAL RETURN for the accounting period 8 March 2014 to 7 March 2015 Notes Income Net capital losses 2 (90,121) (11,849) 3 41,719 56,899 Expenses 4 (7,671) (8,640) Finance costs: Interest 6 (12) (1) Net revenue before taxation 34,036 48,258 Taxation 5 (25) Net revenue after taxation 34,036 48,233 Total return before distributions (56,085) 36,384 Finance costs: s 6 (34,061) (48,233) Change in net assets attributable to shareholders from investment activities (90,146) (11,849) STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 8 March 2014 to 7 March 2015 Opening net assets attributable to shareholders 895, ,001 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 233, ,507 Amounts payable on the cancellation of shares (494,287) (328,933) (261,022) 59,574 Dilution adjustment Change in net assets attributable to shareholders from investment activities (see statement of total return above) (90,146) (11,849) Retained distribution on accumulation shares 29,913 44,563 Closing net assets attributable to shareholders 574, ,462 *In pound Sterling and against UK peer group. **Gross performance is calculated in Factset using daily cash flows and daily global close valuations. Please refer to pages for comparative tables. BALANCE SHEET as at 7 March 2015 Notes Assets Investment assets 529, ,754 Other assets Debtors 7 18,147 46,786 Cash and bank balances 8 38,782 58,930 Total other assets 56, ,716 Total assets 586, ,470 Liabilities Derivative liabilities (4,474) (366) Other liabilities Creditors 9 (3,567) (10,908) Bank overdrafts (4,440) payable on income shares (3,797) (3,294) Total other liabilities (7,364) (18,642) Total liabilities (11,838) (19,008) Net assets attributable to shareholders 574, ,462 DISTRIBUTION TABLE for the accounting period 8 March 2014 to 7 March 2015 Interest distribution in pence per share Class 1 Shares Gross Income Gross Payable Paid 08/03/14 to 07/03/ Total distributions in the period Class 1 Shares Net Accumulation Gross Income Tax Net Net Accumulated Net Accumulated 08/03/14 to 07/03/ Total distributions in the period Class 1 Shares Gross Accumulation Gross Gross Gross Accumulated Accumulated 08/03/14 to 07/03/ Total distributions in the period

80 Threadneedle European High Yield Bond Fund DISTRIBUTION TABLE Class 2 Shares Gross Income Gross Payable Paid 08/03/14 to 07/03/ Total distributions in the period Class 2 Shares Gross Accumulation Gross Gross Gross Accumulated Accumulated 08/03/14 to 07/03/ Total distributions in the period Class 2 CHF Hedged Shares Gross Accumulation Gross Gross Gross Accumulated Accumulated 08/03/14 to 07/03/ Total distributions in the period Class X Shares Gross Accumulation Gross Gross Gross Accumulated Accumulated 08/03/14 to 07/03/ Total distributions in the period Class Z Shares Gross Income Gross Payable Paid 08/03/14 to 07/03/ Total distributions in the period Class Z Shares Net Accumulation* Gross Income Tax Net Net Accumulated Net Accumulated 08/03/14 to 07/03/ Total distributions in the period Class Z Shares Gross Accumulation Gross Gross Gross Accumulated Accumulated 08/03/14 to 07/03/ Total distributions in the period *Class Z Shares Net Accumulation shares launched on 26 September

81 Threadneedle European High Yield Bond Fund Notes to the financial statements for the accounting period 8 March 2014 to 7 March ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 6. 2 NET CAPITAL LOSSES Net capital losses during the period comprise: Non-derivative securities (57,125) (5,284) Derivative contracts 240 2,406 Forward currency contracts (32,375) (5,771) Other losses (855) (3,191) Transaction costs (6) (9) Net capital losses (90,121) (11,849) 3 REVENUE Interest on debt securities 41,374 55,711 Interest on short term investments 3 Derivative revenue Bank interest Stocklending commission 361 Total revenue 41,719 56,899 4 EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Annual management charge (6,843) (7,735) Registration fees (705) (818) (7,548) (8,553) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary s fees (56) (26) Safe custody fees (43) (40) (99) (66) Other expenses: Regulatory fee (7) (7) Audit fee (17) (14) (24) (21) * Total expenses (7,671) (8,640) *Including irrecoverable VAT where applicable. 5 TAXATION a) Analysis of charge in period Overseas taxes (25) Total current tax (note 5b) (25) Total tax charge for the period (25) b) Factors affecting taxation charge for period Net revenue before taxation 34,036 48,258 Net revenue before taxation multiplied by the standard rate of corporation tax of 20% (6,807) (9,652) Effects of: Overseas taxes (25) Excess expenses 14 s treated as tax deductible 6,812 9,638 Retail Review (RDR) conversion transfer from capital (5) Current tax charge for period (note 5a) (25) Interest distributions have been made in respect of all distributions during the period. Income Tax at 20% will be accounted for on shareholders behalf to HM & Customs FINANCE COSTS s and Interest Final 34,061 48,233 Net distribution for the period 34,061 48,233 Interest 12 1 Total finance costs 34,073 48,234 Net revenue after taxation 34,036 48,233 Equalisation on conversion 25 Net distribution for the period 34,061 48,233 Details of the distribution per share are set out in the table on pages 78 and DEBTORS Amounts receivable for the issue of shares 8,628 27,798 Sales awaiting settlement 2,014 Accrued revenue 9,519 16,974 Total debtors 18,147 46,786 8 CASH AND BANK BALANCES Amounts held at futures clearing houses and brokers Cash and bank balances 38,752 58,350 38,782 58,930 Bank overdrafts (4,440) Total cash and bank balances 38,782 54,490 9 CREDITORS Amounts payable for the cancellation of shares (189) (297) Purchases awaiting settlement (2,386) (9,523) Accrued expenses (24) (22) Amounts payable to ACD (625) (691) Income tax payable (343) (375) Total creditors (3,567) (10,908) 10 RELATED PARTY TRANSACTIONS The related parties are set out in detail in Note 8 of the aggregated financial statements on page 7. The aggregate monies received through issues and paid on cancellations are disclosed in the Statement of Change in s Attributable to Shareholders. Any amounts due to or from Threadneedle Investment Services Limited at the end of the accounting period are disclosed in Notes 7 and 9. Amounts payable to Threadneedle Investment Services Limited in respect of fund management and registration services are disclosed in Note 4 and amounts outstanding at the year end in Note 9. In addition any fees paid to Threadneedle Investment Services Limited in respect of stocklending are disclosed in Note 12. All transactions have been entered into in the ordinary course of business on normal commercial terms. 11 SHAREHOLDER FUNDS Threadneedle European High Yield Bond Fund currently has four share classes; Class 1, Class 2, Class X, and Class Z shares. The charges on each share class are as follows: Annual management charge Class 1 shares 1.25% Class 2 shares 0.75% Class X shares N/A** Class Z shares 0.60%

82 Threadneedle European High Yield Bond Fund Notes to the financial statements Registration fees Class 1 shares 0.150% Class 2 shares 0.035% Class X shares 0.035% Class Z shares 0.110% The net asset value of each share class, the net asset value per share, and the number of shares in each class are given in the comparative table on page 252. The distribution per share class is given in the distribution table on pages 78 and 79. All classes have the same rights on winding up. **X Shares are not subject to an Annual Management Charge. 12 STOCKLENDING During the period under review the Threadneedle European High Yield Bond Fund has earned Nil (2014: 508,000) of which Nil (2014: 50,000) was outstanding at year end. They have paid fees of Nil (2014: 71,000) of which Nil (2014: 7,000) was outstanding at the year end to Threadneedle Investment Services Limited. In addition they have paid fees of Nil (2014: 76,000) of which Nil (2014: 7,000) was outstanding at the year end to J.P. Morgan as the security lending agent to process these arrangements and hold the collateral. There was no stock on loan at the end of the accounting period (2014: m), and there was no collateral held (2014: m). The collateral was held as either securities transferred in CREST by a DBV (Delivery by ) or Gilt DBV, or in the form of overseas government bonds, supranational bonds or certificates of deposit. The nature and value of collateral held is analysed by asset class in the table below. Analysis of Collateral Held Total Total Bonds 117, , DERIVATIVES AND OTHER FINANCIAL INSTRUMENTS The analysis and tables provided below refer to the narrative disclosure on derivatives and other financial instruments risks on pages 8 and 9. Currency exposures A substantial proportion of the net assets of the fund are denominated in currencies other than Sterling, with the effect that the balance sheet and total return can be significantly affected by currency movements. Net foreign currency assets Non- Monetary exposures monetary exposures Total Currency 2015 Euro 35, , ,878 Swiss Franc 209 (55) 154 US Dollar 1,504 (2,037) (533) Currency 2014 Euro 63, , ,521 Swiss Franc US Dollar 3,790 (3,547) 243 Interest rate risk profile of financial assets and financial liabilities The interest rate risk profile of the fund s financial assets and financial liabilities at 7 March 2015 was: Floating rate financial assets Fixed rate financial assets Financial assets not carrying interest Total Currency 2015 Euro 69, , , ,642 Swiss Franc 804 4, ,646 UK Sterling 36, ,199 11, ,621 US Dollar 8,002 22, ,065 Currency 2014 Euro 76, ,023 14, ,890 Swiss Franc , ,177 UK Sterling 7, ,423 31, ,887 US Dollar 5,816 40,165 1,587 47, Floating rate financial liabilities Fixed rate financial liabilities Financial liabilities not carrying interest Total Currency 2015 Euro (2,764) (2,764) Swiss Franc (5,492) (5,492) UK Sterling (162,381) (162,381) US Dollar (31,598) (31,598) Currency 2014 Euro (6,369) (6,369) Swiss Franc (695) (11,017) (11,712) UK Sterling (12,228) (187,612) (7,812) (207,652) US Dollar (3,523) (43,446) (356) (47,325) Fixed rate financial assets Weighted average interest rate Fixed rate financial assets Weighted average period for which rate is fixed Non interest bearing assets Weighted average period Currency % % years years years years Euro Swiss Franc UK Sterling US Dollar The floating rate financial assets include deposits which have a weighted average interest rate of 0.00% (2014: 0.03%). Non interest-bearing assets relate to credit default swaps and forward foreign exchange contracts. Derivatives including credit default swaps and forwards are used in this portfolio to take active positions in credit markets and FX markets. Derivatives are employed when they are the cheapest and most efficient method of gaining exposure. This increases the risk profile of the fund and may result in a higher degree of volatility. All open positions are regularly reviewed by the fund manager. The fund has entered into various credit default swaps and forward foreign exchange contracts during this accounting period. Such contracts commit the fund to future deliveries or receipts, typically three months forward, of assets and liabilities, at prices decided at the point of striking the contract. They therefore allow the fund manager to limit risk, or to enhance fund performance in return for the acceptance of greater risk. At 7 March 2015, the fund had outstanding credit default swaps and forward foreign exchange with an asset value of 821,000 (2014: 2,375,000) and a liability value of 4,474,000 (2014: 366,000). The fund s floating rate investments earn interest which is variable, based on LIBOR or its overseas equivalent. Cash balances are held in floating rate accounts where interest is calculated with reference to prevailing market rates. Fair value of financial assets and financial liabilities There is no material difference between the value of the financial assets and liabilities, as shown in the balance sheet, and their fair value. Sensitivity analysis Sensitivity or value at risk is not shown since the fund holds no derivatives that could impact the fund significantly. 14 CONTINGENT LIABILITIES AND COMMITMENTS There are no contingent liabilities and commitments outstanding (2014: Nil). 15 PORTFOLIO TRANSACTION COSTS The purchases and sales are not subject to portfolio transaction costs. The total cost of purchases during the period was 323,165,892 (2014: 356,752,471) and proceeds received from sales were 543,034,199 (2014: 294,659,885).

83 Threadneedle Strategic Bond Fund Investment Report Investment Objective To achieve a total return principally by way of income. Income will be paid monthly. Investment Policy The ACD s investment policy is to primarily invest the assets of the Fund directly or indirectly in UK and European debt securities. The ACD s strategic investment approach allocates the Fund s investments between corporate investment grade and noninvestment grade, sovereign and supranational debt. The ACD may invest up to one third of the assets of the Fund in money market instruments, cash or near cash and other securities (other than equities) including non-uk and non-european debt. The ACD may invest in derivatives and forward transactions. The ACD may take long and short positions through derivatives. Where securities are non-sterling denominated it is intended that they will typically be hedged back into Sterling. Performance of Net Income Class 1 Shares* Over the twelve months to 7 March 2015, the published share price of the Threadneedle Strategic Bond Fund has fallen from 48.49p to 48.28p. The total return on the fund for the twelve months ending 28 February 2015, including net reinvested income, is +3.72%, which equates approximately to +5.91% gross of tax and charges**. This compares against a return of +6.32% for a composite index of 60% iboxx Sterling Non Gilts Index and 40% Merrill Lynch European Currency High Yield Index 3% constrained B-BB(100% Hedged). Portfolio Activity Fixed-income markets in general performed well during the past year. Government-bond yields have continued on their downward trend, with the yield on the 10-year gilt falling from around 2.8% to less than 1.9% over the period under review. The total return of the UK investment-grade market was 10.5%, with returns being mostly government-led. In credit markets, spreads have been mixed, with investment-grade spreads tightening, whereas European high-yield spreads widened by 72 basis points. The period also witnessed a small amount of volatility, driven by a combination of geopolitical tensions in Russia and Ukraine, the global fall in energy prices, and in the high-yield market, by the defaults of Portuguese bank Banco Espirito Santo and Phones4u (neither of which we held). The fundamentals for fixed income remain driven by the improving US and UK economies, which come with the threat of higher interest rates. This has been ameliorated by lower levels of inflation and associated wage growth. In spite of the US Federal Reserve ending its quantitative easing (QE) programme in October 2014, there has been a continued provision of excess liquidity by developedmarket central banks, which has been buttressed by increased action from the European Central Bank (ECB). In January 2015, the ECB announced the launch of a substantial QE programme that surpassed expectations and will begin in March. Valuations for government bonds look stretched, both in an absolute sense and relative to actual and expected inflation levels. Credit and high-yield bonds appear close to longterm fair-value levels. With this in mind, the fund managers have a preference for taking credit risk over duration risk. In practice, this means that the fund was invested with a low level of interest-rate risk, with an average duration of less than 2.5 years. While longer duration in corporate bonds and government gilts would have been more beneficial to the portfolio over the period, our attitude to credit risk remains unchanged given current valuations. The portfolio remains overweight high-yield and investment-grade bonds. Within both the investmentgrade and high-yield portfolios, we retain a preference for financials over corporate bonds, as we expect the trend toward credit improvement in this area to continue during the year. Furthermore, corporates will continue to be subject to equity-friendly activity, such as share buybacks and merger-and-acquisitions activity. STATEMENT OF TOTAL RETURN for the accounting period 8 March 2014 to 7 March 2015 Notes Income Net capital gains 2 3,021 3, ,318 22,728 Expenses 4 (3,657) (4,307) Finance costs: Derivative expense 6 (2,318) (1,390) Interest 6 (7) (2) Net revenue before taxation 13,336 17,029 Taxation 5 Net revenue after taxation 13,336 17,029 Total return before distributions 16,357 20,721 Finance costs: s 6 (16,596) (20,884) Change in net assets attributable to shareholders from investment activities (239) (163) STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 8 March 2014 to 7 March 2015 Opening net assets attributable to shareholders 371, ,276 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 26,439 47,893 Amounts payable on the cancellation of shares (74,493) (73,475) (48,054) (25,582) Dilution adjustment 89 Change in net assets attributable to shareholders from investment activities (see statement of total return above) (239) (163) Retained distribution on accumulation shares 6,251 6,942 Unclaimed distributions monies brought back into account 4 4 Closing net assets attributable to shareholders 329, ,566 BALANCE SHEET as at 7 March 2015 Notes Assets Investment assets 312, ,262 Other assets Debtors 7 6,681 7,910 Cash and bank balances 8 17,451 11,423 Total other assets 24,132 19,333 Total assets 336, ,595 Liabilities Derivative liabilities (2,752) (2,776) Other liabilities Creditors 9 (3,148) (4,131) Bank overdrafts 8 (629) (308) payable on income shares (596) (814) Total other liabilities (4,373) (5,253) Total liabilities (7,125) (8,029) Net assets attributable to shareholders 329, ,566 DISTRIBUTION TABLE for the accounting period 8 March 2014 to 7 March 2015 Interest distribution in pence per share Class 1 Shares Net Income Gross Income Tax Net Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/04/ /04/14 to 07/05/ /05/14 to 07/06/ /06/14 to 07/07/ /07/14 to 07/08/ /08/14 to 07/09/ /09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ *In pound Sterling and against UK peer group. **Gross performance is calculated in Factset using daily cash flows and daily global close valuations. Please refer to pages for comparative tables. 82

84 Threadneedle Strategic Bond Fund DISTRIBUTION TABLE Class 1 Shares Net Income Gross Income Tax Net Equalisation Paid/Payable Paid Group 2 08/03/14 to 07/04/ /04/14 to 07/05/ /05/14 to 07/06/ /06/14 to 07/07/ /07/14 to 07/08/ /08/14 to 07/09/ /09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ Total distributions in the period Class 1 Shares Gross Income Gross Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/04/ /04/14 to 07/05/ /05/14 to 07/06/ /06/14 to 07/07/ /07/14 to 07/08/ /08/14 to 07/09/ /09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ Group 2 08/03/14 to 07/04/ /04/14 to 07/05/ /05/14 to 07/06/ /06/14 to 07/07/ /07/14 to 07/08/ /08/14 to 07/09/ /09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ Total distributions in the period Class 2 Shares Net Income Gross Income Tax Net Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/04/ /04/14 to 07/05/ /05/14 to 07/06/ /06/14 to 07/07/ /07/14 to 07/08/ /08/14 to 07/09/ /09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ Group 2 08/03/14 to 07/04/ /04/14 to 07/05/ /05/14 to 07/06/ /06/14 to 07/07/ /07/14 to 07/08/ /08/14 to 07/09/ /09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ Total distributions in the period Class 2 Shares Gross Income Gross Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/04/ /04/14 to 07/05/ /05/14 to 07/06/ /06/14 to 07/07/ /07/14 to 07/08/ /08/14 to 07/09/ /09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ Group 2 08/03/14 to 07/04/ /04/14 to 07/05/ /05/14 to 07/06/ /06/14 to 07/07/ /07/14 to 07/08/ /08/14 to 07/09/ /09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ Total distributions in the period Class 2 Shares Gross Accumulation Gross Gross Gross Equalisation Accumulated Accumulated Group 1 08/03/14 to 07/04/ /04/14 to 07/05/ /05/14 to 07/06/ /06/14 to 07/07/ /07/14 to 07/08/ /08/14 to 07/09/ /09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ Group 2 08/03/14 to 07/04/ /04/14 to 07/05/ /05/14 to 07/06/ /06/14 to 07/07/ /07/14 to 07/08/ /08/14 to 07/09/ /09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ Total distributions in the period Class Z Shares Net Income Gross Income Tax Net Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/04/ /04/14 to 07/05/ /05/14 to 07/06/ /06/14 to 07/07/ /07/14 to 07/08/ /08/14 to 07/09/ /09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ Group 2 08/03/14 to 07/04/ /04/14 to 07/05/ /05/14 to 07/06/ /06/14 to 07/07/ /07/14 to 07/08/ /08/14 to 07/09/ /09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ Total distributions in the period

85 Threadneedle Strategic Bond Fund DISTRIBUTION TABLE Class Z Shares Gross Income Gross Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/04/ /04/14 to 07/05/ /05/14 to 07/06/ /06/14 to 07/07/ /07/14 to 07/08/ /08/14 to 07/09/ /09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ Group 2 08/03/14 to 07/04/ /04/14 to 07/05/ /05/14 to 07/06/ /06/14 to 07/07/ /07/14 to 07/08/ /08/14 to 07/09/ /09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ Total distributions in the period Class Z Shares Gross Accumulation Gross Gross Gross Equalisation Accumulated Accumulated Group 1 08/03/14 to 07/04/ /04/14 to 07/05/ /05/14 to 07/06/ /06/14 to 07/07/ /07/14 to 07/08/ /08/14 to 07/09/ /09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ Group 2 08/03/14 to 07/04/ /04/14 to 07/05/ /05/14 to 07/06/ /06/14 to 07/07/ /07/14 to 07/08/ /08/14 to 07/09/ /09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ Total distributions in the period Group 2: shares purchased during a distribution period 84

86 Threadneedle Strategic Bond Fund Notes to the financial statements for the accounting period 8 March 2014 to 7 March ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 6. 2 NET CAPITAL GAINS Net capital gains during the period comprise: Non-derivative securities (8,676) (5,856) Derivative contracts (4,900) (921) Forward currency contracts 16,423 10,606 Other gains/(losses) 182 (120) Transaction costs (8) (17) Net capital gains 3,021 3,692 3 REVENUE Interest on debt securities 19,294 22,640 Interest on short term investments 3 2 Bank interest Stocklending commission 2 73 Total revenue 19,318 22,728 4 EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Annual management charge (3,260) (3,856) Registration fees (322) (397) (3,582) (4,253) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary s fees (30) (20) Safe custody fees (26) (18) (56) (38) Other expenses: Regulatory fee (7) (6) Audit fee (12) (9) Miscellaneous expenses (1) (19) (16) * Total expenses (3,657) (4,307) *Including irrecoverable VAT where applicable. 5 TAXATION a) Analysis of charge in period Total current tax (note 5b) Total tax charge for the period b) Factors affecting taxation charge for period Net revenue before taxation 13,336 17,029 Net revenue before taxation multiplied by the standard rate of corporation tax of 20% (2,667) (3,406) Effects of: Excess expenses 2,667 3,406 Current tax charge for period (note 5a) The fund has not recognised a deferred tax asset of 2,614,993 (2014: 5,282,438) arising as a result of having unutilised management expenses. Interest distributions have been made in respect of all distributions during the period. Income Tax at 20% will be accounted for on shareholders behalf to HM & Customs. 6 FINANCE COSTS s and Interest The distribution takes account of revenue received on the creation of shares and revenue deducted on the cancellation of shares and comprises: Interim 15,340 19,365 Final 1,152 1,503 16,492 20,868 Add: deducted on cancellation of shares Deduct: received on creation of shares (54) (137) Net distribution for the period 16,596 20,884 Derivative expense 2,318 1,390 Interest 7 2 Total finance costs 18,921 22,276 Net revenue after taxation 13,336 17,029 Annual management charge to capital 3,260 3,856 Equalisation on conversion (1) Net distribution for the period 16,596 20,884 Details of the distribution per share are set out in the table on pages DEBTORS Amounts receivable for the issue of shares Sales awaiting settlement Accrued revenue 5,785 7,301 Total debtors 6,681 7,910 8 CASH AND BANK BALANCES Amounts held at futures clearing houses and brokers 3,875 2,358 Cash and bank balances 13,576 9,065 17,451 11,423 Bank overdrafts (629) (308) Total cash and bank balances 16,822 11,115 9 CREDITORS Amounts payable for the cancellation of shares (491) (1,047) Purchases awaiting settlement (1,832) (2,113) Accrued expenses (17) (13) Amounts payable to ACD (314) (315) Income tax payable (494) (643) Total creditors (3,148) (4,131) 10 RELATED PARTY TRANSACTIONS The related parties are set out in detail in Note 8 of the aggregated financial statements on page 7. The aggregate monies received through issues and paid on cancellations are disclosed in the Statement of Change in s Attributable to Shareholders. Any amounts due to or from Threadneedle Investment Services Limited at the end of the accounting period are disclosed in Notes 7 and 9. Amounts payable to Threadneedle Investment Services Limited in respect of fund management and registration services are disclosed in Note 4 and amounts outstanding at the year end in Note 9. All transactions have been entered into in the ordinary course of business on normal commercial terms. 85

87 Threadneedle Strategic Bond Fund Notes to the financial statements 11 SHAREHOLDER FUNDS Threadneedle Strategic Bond Fund currently has three share classes; Class 1, Class 2, and Class Z shares. The charges on each share class are as follows: Annual management charge Class 1 shares 1.25% Class 2 shares 0.75% Class Z shares 0.60% Registration fees Class 1 shares 0.150% Class 2 shares 0.035% Class Z shares 0.110% The net asset value of each share class, the net asset value per share, and the number of shares in each class are given in the comparative table on page 253. The distribution per share class is given in the distribution table on pages All classes have the same rights on winding up. 12 STOCKLENDING During the period under review the Threadneedle Strategic Bond Fund has earned 2,000 (2014: 103,000) of which Nil (2014: 10,000) was outstanding at year end. They have paid fees of Nil (2014: 14,000) and Nil (2014: 1,000) was outstanding at the year end to Threadneedle Investment Services Limited. In addition they have paid fees of Nil (2014: 16,000) and Nil (2014: 1,000) was outstanding at the year end to J.P. Morgan as the security lending agent to process these arrangements and hold the collateral. There was no stock on loan at the end of the accounting period (2014: 29.72m), and there was no collateral held (2014: 30.72m). The nature and value of collateral held is analysed by asset class in the table below. Analysis of Collateral Held Total Total Bonds 30, , DERIVATIVES AND OTHER FINANCIAL INSTRUMENTS The analysis and tables provided below refer to the narrative disclosure on derivatives and other financial instruments risks on pages 8 and 9. Currency exposures A small proportion of the net assets of the fund are denominated in currencies other than Sterling, with the effect that the balance sheet and total return can be affected by currency movements. Net foreign currency assets Non- Monetary exposures monetary exposures Total Currency 2015 Euro 2,286 (1,939) 347 Japanese Yen 426 (210) 216 Swiss Franc 5 (4) 1 US Dollar 1,252 (1,239) 13 Currency 2014 Euro 390 (3,030) (2,640) Japanese Yen (308) (308) Swiss Franc 2 (3) (1) US Dollar 869 (1,077) (208) Interest rate risk profile of financial assets and financial liabilities The interest rate risk profile of the fund s financial assets and financial liabilities at 7 March 2015 was: Floating rate financial assets Fixed rate financial assets Financial assets not carrying interest Total Currency 2015 Euro 14, ,902 4, ,361 Japanese Yen Swiss Franc UK Sterling 50, , , ,504 US Dollar 9,651 15, ,426 Currency 2014 Euro 9, , ,451 Japanese Yen 190 1,691 1,881 UK Sterling 33, ,440 7, ,605 US Dollar 1,747 31, ,786 Floating rate financial liabilities Fixed rate financial liabilities Financial liabilities not carrying interest Total Currency 2015 Euro (629) (130,385) (131,014) Japanese Yen (210) (210) Swiss Franc (746) (746) UK Sterling (4,553) (4,553) US Dollar (25,413) (25,413) Currency 2014 Euro (8,188) (138,150) (3,753) (150,091) Japanese Yen (308) (308) Swiss Franc (188) (1,694) (1,882) UK Sterling (3,882) (3,882) US Dollar (1,049) (32,945) (33,994) Fixed rate financial assets Weighted average interest rate Fixed rate financial assets Weighted average period for which rate is fixed Non interest bearing assets Weighted average period Currency % % years years years years Euro Japanese Yen Swiss Franc US Dollar UK Sterling The floating rate financial assets include deposits which have a weighted average interest rate of 0.35% (2014: 0.40%). Non interest-bearing assets relate to credit default swaps, forward foreign exchange contracts, futures, interest rate swaps and options. Derivatives including credit default swaps, forwards, futures, interest rate swaps, and options are used in this portfolio to take active positions in credit markets, FX markets and interest rate markets. Derivatives are employed when they are the cheapest and most efficient method of gaining exposure. This increases the risk profile of the fund and may result in a higher degree of volatility. All open positions are regularly reviewed by the fund manager. The fund has entered into various credit default swaps, forward foreign exchange contracts, futures, interest rate swaps and options during this accounting period. Such contracts commit the fund to future deliveries or receipts, typically three months forward, of assets and liabilities, at prices decided at the point of striking the contract. They therefore allow the fund manager to limit risk, or to enhance fund performance in return for the acceptance of greater risk. At 7 March 2015, the fund had outstanding credit default swaps, interest rate swaps, futures and options and forward foreign exchange contracts with an asset value of 3,402,000 (2014: 549,000) and a liability value of 2,752,000 (2014: 2,776,000). 86

88 Threadneedle Strategic Bond Fund Notes to the financial statements The fund s floating rate investments earn interest which is variable, based on LIBOR or its overseas equivalent. Cash balances are held in floating rate accounts where interest is calculated with reference to prevailing market rates. Fair value of financial assets and financial liabilities There is no material difference between the value of the financial assets and liabilities, as shown in the balance sheet, and their fair value. Sensitivity analysis Sensitivity or value at risk is not shown since the fund holds no derivatives that could impact the fund significantly. 14 CONTINGENT LIABILITIES AND COMMITMENTS There are no contingent liabilities and commitments outstanding (2014: Nil). 15 PORTFOLIO TRANSACTION COSTS The purchases and sales are not subject to portfolio transaction costs. The total cost of purchases during the period was 145,023,622 (2014: 149,720,329) and proceeds received from sales were 186,385,911 (2014: 169,705,429). 87

89 Threadneedle American Fund Investment Report Investment Objective To achieve capital growth. Investment Policy The ACD s investment policy is to invest the assets of the Fund primarily in the stock of medium to large companies domiciled in North America or which have significant North American operations. If the ACD considers it desirable, it may further invest in other securities (including fixed interest securities, other equities and money market securities). Performance of Net Accumulation Class 1 Shares* Over the twelve months to 7 March 2015, the published share price of the Threadneedle American Fund has risen from p to p. Looking at the sterling performance within its peer group, the total return on the fund for the twelve months ending 28 February 2015, including net reinvested income, is % as compared to a median return of % over the same period. (For information the S&P 500 Composite Index returned % over the same period). Portfolio Activity Over the 12 months to 7 March 2015, the S&P 500 index rose by around 25.3% in sterling terms. In addition to the appreciation of the dollar relative to sterling, market gains were driven primarily by corporate earnings as the recovery gathered strength. This was despite macro headwinds for some areas of the market, including the slide in oil prices, a decline in bond yields and the prolonged rise of the dollar, which threatened to harm exports. The fund underperformed its benchmark primarily due to relative performance in the fourth quarter of the year. Decisions in the financial and energy sectors, in particular, weighed on performance as the decline in interest rates and energy prices negatively affected our holdings. The fund began 2015 brightly, recovering relative performance. We increased our exposure to Apple, as we believe the business can achieve a good average selling price for its new products and that the business offers some upside optionality as it moves to diversify into payments. We also added Berkshire Hathaway to the portfolio as a play on the generally improving industrial environment in the American economy; we also believe the business has opportunities to expand returns on equity by developing its speciality commercial enterprises. We exited positions including Alliance Data Systems and Priceline, where we no longer found the risk/reward profile compelling. In the case of Priceline, we were also looking to reduce our overseas earnings exposure. Given the reduced global-growth outlook for 2015, we believe that companies demonstrating secular growth can attain a premium relative to the market. Within the US we believe the recent slide in oil prices should continue to boost disposable incomes, especially for lower- and middle-income consumers. We also note that historically, the third year of the presidential cycle has seen added fiscal stimulus, and that the US government is now adding jobs. We expect this environment to support mid to high single-digit earnings growth in 2015 and that this, rather than further multiple expansion, will drive markets. We still see US valuations as reasonable relative to history and cheap relative to bonds, and note the country s better GDP growth than other regions. STATEMENT OF TOTAL RETURN for the accounting period 8 March 2014 to 7 March 2015 Notes Income Net capital gains 2 366, , ,500 33,555 Expenses 4 (24,515) (29,220) Finance costs: Interest 6 (1) (2) Net revenue before taxation 5,984 4,333 Taxation 5 (4,102) (4,116) Net revenue after taxation 1, Total return before distributions 367, ,951 Finance costs: s 6 (4,538) (3,605) Change in net assets attributable to shareholders from investment activities 363, ,346 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 8 March 2014 to 7 March 2015 Opening net assets attributable to shareholders 2,110,892 2,219,531 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 182, ,764 Amounts payable on the cancellation of shares (665,873) (909,837) Amounts payable on inspecie transfers (32,779) (483,349) (393,852) Dilution adjustment Stamp duty reserve tax (1) Change in net assets attributable to shareholders from investment activities (see statement of total return above) 363, ,346 Retained distribution on accumulation shares 4,414 3,268 Closing net assets attributable to shareholders 1,996,049 2,110,892 BALANCE SHEET as at 7 March 2015 Notes Assets Investment assets 1,993,582 2,091,791 Other assets Debtors 7 19,039 16,220 Cash and bank balances 8 5,559 57,254 Total other assets 24,598 73,474 Total assets 2,018,180 2,165,265 Liabilities Derivative liabilities (337) (5) Other liabilities Creditors 9 (21,670) (42,428) Bank overdrafts 8 (11,603) payable on income shares (124) (337) Total other liabilities (21,794) (54,368) Total liabilities (22,131) (54,373) Net assets attributable to shareholders 1,996,049 2,110,892 DISTRIBUTION TABLE for the accounting period 8 March 2014 to 7 March 2015 Dividend distribution in pence per share Class 1 Shares Net Income There is no distribution for the accounting period 8 March 2014 to 7 March 2015, as expenses exceed revenue (2014: Nil). Class 1 Shares Net Accumulation There is no distribution for the accounting period 8 March 2014 to 7 March 2015, as expenses exceed revenue (2014: Nil). Class 1 EUR Hedged Shares Net Accumulation There is no distribution for the accounting period 8 March 2014 to 7 March 2015, as expenses exceed revenue (2014: Nil). *In pound Sterling and against UK peer group. Please refer to pages for comparative tables. 88

90 Threadneedle American Fund DISTRIBUTION TABLE Class 2 Shares Net Accumulation Net Net Accumulated Net Accumulated 08/03/14 to 07/03/ Total distributions in the period Class X Shares Net Accumulation Net Net Accumulated Net Accumulated 08/03/14 to 07/03/ Total distributions in the period Class Z Shares Net Income Net Payable Paid 08/03/14 to 07/03/ Total distributions in the period Class Z Shares Net Accumulation Net Net Accumulated Net Accumulated 08/03/14 to 07/03/ Total distributions in the period Class Z EUR Hedged Shares Net Accumulation Net Net Accumulated Net Accumulated 08/03/14 to 07/03/ Total distributions in the period

91 Threadneedle American Fund Notes to the financial statements for the accounting period 8 March 2014 to 7 March ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 6. 2 NET CAPITAL GAINS Net capital gains during the period comprise: Non-derivative securities 367, ,640 Forward currency contracts (2,145) 10 Other gains/(losses) 556 (4,908) Transaction costs (5) (8) Net capital gains 366, ,734 3 REVENUE Overseas dividends 30,480 33,525 Interest on short term investments Bank interest 3 2 Stocklending commission (2) Total revenue 30,500 33,555 4 EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Annual management charge (22,620) (26,959) Registration fees (1,655) (2,170) (24,275) (29,129) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary s fees (162) (43) Safe custody fees (53) (33) (215) (76) Other expenses: Regulatory fee (14) (6) Audit fee (11) (9) (25) (15) * Total expenses (24,515) (29,220) *Including irrecoverable VAT where applicable. 5 TAXATION a) Analysis of charge in period Overseas taxes (4,102) (4,116) Total current tax (note 5b) (4,102) (4,116) Total tax charge for the period (4,102) (4,116) b) Factors affecting taxation charge for period Net revenue before taxation 5,984 4,333 Net revenue before taxation multiplied by the standard rate of corporation tax of 20% (1,197) (867) Effects of: not subject to taxation 5,828 6,707 Overseas taxes (4,102) (4,116) Overseas taxes expensed 27 Excess expenses (4,604) (5,840) Retail Review (RDR) conversion transfer from capital (54) Current tax charge for period (note 5a) (4,102) (4,116) The fund has not recognised a deferred tax asset of 26,573,721 (2014: 21,969,646) arising as a result of having unutilised management expenses. It is unlikely that these expenses will be utilised in future years. 6 FINANCE COSTS s and Interest Final 4,538 3,605 Net distribution for the period 4,538 3,605 Interest 1 2 Total finance costs 4,539 3,607 Net revenue after taxation 1, Shortfall transfer from capital to revenue 2,384 3,388 Equalisation on conversion 272 Net distribution for the period 4,538 3,605 Details of the distribution per share and any share class with a shortfall are set out in the table on pages 88 and DEBTORS Amounts receivable for the issue of shares 5,293 3,380 Sales awaiting settlement 12,031 10,773 Accrued revenue 1,623 1,988 Foreign withholding tax recoverable Total debtors 19,039 16,220 8 CASH AND BANK BALANCES Amounts held at futures clearing houses and brokers 121 Cash and bank balances 5,438 57,254 5,559 57,254 Bank overdrafts (11,603) Total cash and bank balances 5,559 45,651 9 CREDITORS Amounts payable for the cancellation of shares (19,271) (30,175) Purchases awaiting settlement (10,182) Accrued expenses (39) (17) Amounts payable to ACD (2,360) (2,054) Total creditors (21,670) (42,428) 10 RELATED PARTY TRANSACTIONS The related parties are set out in detail in Note 8 of the aggregated financial statements on page 7. The aggregate monies received through issues and paid on cancellations are disclosed in the Statement of Change in s Attributable to Shareholders. Any amounts due to or from Threadneedle Investment Services Limited at the end of the accounting period are disclosed in Notes 7 and 9. Amounts payable to Threadneedle Investment Services Limited in respect of fund management and registration services are disclosed in Note 4 and amounts outstanding at the year end in Note 9. In addition any fees paid to Threadneedle Investment Services Limited in respect of stocklending are disclosed in Note 12. All transactions have been entered into in the ordinary course of business on normal commercial terms. 90

92 Threadneedle American Fund Notes to the financial statements 11 SHAREHOLDER FUNDS Threadneedle American Fund currently has six share classes; Class 1, Class 1 Hedged, Class 2, Class X, Class Z, and Class Z Hedged shares. The charges on each share class are as follows: Annual management charge Class 1 shares 1.50% Class 1 Hedged shares 1.50% Class 2 shares 1.00% Class X shares N/A* Class Z shares 0.75% Class Z Hedged shares 0.75% Registration fees Class 1 shares 0.150% Class 1 Hedged shares 0.150% Class 2 shares 0.035% Class X shares 0.035% Class Z shares 0.060% Class Z Hedged shares 0.060% The net asset value of each share class, the net asset value per share, and the number of shares in each class are given in the comparative table on page 254. The distribution per share class is given in the distribution table on pages 88 and 89. All classes have the same rights on winding up. *X Shares are not subject to an Annual Management Charge. 12 STOCKLENDING During the period under review the Threadneedle American Fund has earned Nil (2014: 2,000). There was no stock on loan at the end of the accounting period (2014: Nil), and there was no collateral held (2014: Nil). The collateral was held as either securities transferred in CREST by a DBV (Delivery by ) or Gilt DBV, or in the form of overseas government bonds, supranational bonds or certificates of deposit. 13 DERIVATIVES AND OTHER FINANCIAL INSTRUMENTS The analysis and tables provided below refer to the narrative disclosure on derivatives and other financial instruments risks on pages 8 and 9. Currency exposures A substantial proportion of the net assets of the fund are denominated in currencies other than Sterling, with the effect that the balance sheet and total return can be significantly affected by currency movements. Net foreign currency assets Non- Monetary exposures monetary exposures Total Currency 2015 Euro 4 8,796 8,800 US Dollar 15,867 1,980,074 1,995,941 Currency 2014 Euro 2 7,927 7,929 US Dollar 25,057 2,080,160 2,105,217 Interest rate risk profile of financial assets and financial liabilities The interest rate risk profile of the fund s financial assets and financial liabilities at 7 March 2015 was: Floating rate financial assets Fixed rate financial assets Financial assets not carrying interest Total Currency 2015 Euro 4 8,910 8,914 UK Sterling 80 12,965 13,045 US Dollar 5,515 2,007,385 2,012,900 Currency 2014 Euro 7,929 7,929 UK Sterling 26,948 3,380 30,328 US Dollar 34,003 2,104,514 2,138,517 Floating rate financial liabilities Fixed rate financial liabilities Financial liabilities not carrying interest Total Currency 2015 Euro (114) (114) UK Sterling (21,737) (21,737) US Dollar (16,959) (16,959) Currency 2014 UK Sterling (32,581) (32,581) US Dollar (11,603) (21,696) (33,299) The floating rate financial assets include deposits which have a weighted average interest rate of 0.12% (2014: 0.06%). Other than equities which do not have maturity dates, non interest-bearing assets relate to forward foreign exchange contracts. Derivatives including forwards are used in this portfolio to take active positions in FX markets. Derivatives are employed when they are the cheapest and most efficient method of gaining exposure. This increases the risk profile of the fund and may result in a higher degree of volatility. All open positions are regularly reviewed by the fund manager. The fund has entered into various forward foreign exchange contracts during this accounting period. Such contracts commit the fund to future deliveries or receipts, typically three months forward, of assets and liabilities, at prices decided at the point of striking the contract. They therefore allow the fund manager to limit risk, or to enhance fund performance in return for the acceptance of greater risk. At 7 March 2015, the fund had outstanding forward foreign exchange contracts with an asset value of 1,000 (2014: 117,000) and a liability value of 337,000 (2014: 5,000). Cash balances are held in floating rate accounts where interest is calculated with reference to prevailing market rates. Fair value of financial assets and financial liabilities There is no material difference between the value of the financial assets and liabilities, as shown in the balance sheet, and their fair value. Sensitivity analysis Sensitivity or value at risk is not shown since the fund holds no derivatives that could impact the fund significantly. 14 CONTINGENT LIABILITIES AND COMMITMENTS There are no contingent liabilities and commitments outstanding (2014: Nil). 15 PORTFOLIO TRANSACTION COSTS Analysis of total purchase costs Purchases in period before transaction costs 2,594, ,767 Commissions 2,989 1,069 Total purchase costs 2,989 1,069 Gross purchases total 2,597, ,836 Analysis of total sale costs Gross sales before transaction costs 3,066,983 1,325,698 Commissions (3,455) (1,413) Taxes (57) (4) Total sale costs (3,512) (1,417) Total sales net of transaction costs 3,063,471 1,324,281 91

93 Threadneedle American Select Fund Investment Report Investment Objective To achieve above average capital growth. Investment Policy The ACD s investment policy is to invest the assets of the fund in companies domiciled in North America or which have significant North American operations. These include smaller and emerging growth companies, those with potential for merger or takeover, those with new management recovery situations and exploration companies. There will be no particular specialisation. The select investment approach means that the ACD has the flexibility to take significant stock and sector positions which may lead to increased levels of volatility. Performance of Net Accumulation Class 1 Shares* Over the twelve months to 7 March 2015, the published share price of the Threadneedle American Select Fund has risen from p to p. Looking at the sterling performance within its peer group, the total return on the fund for the twelve months ending 28 February 2015, including net reinvested income, is % as compared to a median return of % over the same period. (For information the S&P 500 Composite Index returned % over the same period, and the NASDAQ Composite Index returned %). Portfolio Activity Over the 12 months to 7 March 2015, the S&P 500 index rose by around 25.3% in sterling terms. In addition to the appreciation of the dollar relative to sterling, market gains were driven primarily by corporate earnings as the recovery gathered strength. This was despite macro headwinds for some areas of the market, including the slide in oil prices, a decline in bond yields and the prolonged rise of the dollar, which threatened to harm exports. The fund underperformed its benchmark in particular during the fourth quarter of the year, when our holdings in the financial and energy sectors were negatively affected by the decline in interest rates and energy prices. At the stock level, the fund s holding in Google detracted, as the internet giant faced regulatory headwinds in the EU. We believe the challenges to Google will prove transitory. The fund began 2015 brightly, recovering relative performance. We increased our exposure to Apple, as we believe the business can achieve a good average selling price for its new products and that the business offers some upside optionality as it moves to diversify into payments. We also added Boeing, as we felt that market was undervaluing the cashflow generation potential of the new 787 aircraft and overestimating capital-spending requirements. Given the reduced global-growth outlook for 2015, we believe that companies demonstrating secular growth can attain a premium relative to the market. Within the US we believe the recent slide in oil prices should continue to boost disposable incomes, especially for lower- and middle-income consumers. We also note that historically, the third year of the presidential cycle has seen added fiscal stimulus, and that the US government is now adding jobs. We expect this environment to support mid to high singledigit earnings growth in 2015 and that this, rather than further multiple expansion, will drive markets. We still see US valuations as reasonable relative to history and cheap relative to bonds, and note the country s better GDP growth than other regions. STATEMENT OF TOTAL RETURN for the accounting period 8 March 2014 to 7 March 2015 Notes Income Net capital gains 2 167, , ,319 24,531 Expenses 4 (18,548) (29,119) Finance costs: Interest 6 (1) (2) Net expenses before taxation (230) (4,590) Taxation 5 (2,324) (3,098) Net expenses after taxation (2,554) (7,688) Total return before distributions 164, ,038 Finance costs: s 6 (1,495) (295) Change in net assets attributable to shareholders from investment activities 163, ,743 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 8 March 2014 to 7 March 2015 Opening net assets attributable to shareholders 2,007,915 2,036,798 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 86, ,139 Amounts payable on the cancellation of shares (975,100) (1,204,933) (888,426) (295,794) Dilution adjustment 1, Stamp duty reserve tax (12) (29) Change in net assets attributable to shareholders from investment activities (see statement of total return above) 163, ,743 Retained distribution on accumulation shares 1, Closing net assets attributable to shareholders 1,285,468 2,007,915 BALANCE SHEET as at 7 March 2015 Notes Assets Investment assets 1,275,760 1,983,053 Other assets Debtors 7 24,467 38,369 Cash and bank balances 13,664 32,489 Total other assets 38,131 70,858 Total assets 1,313,891 2,053,911 Liabilities Derivative liabilities (137) (48) Other liabilities Creditors 8 (28,141) (42,740) Bank overdrafts (3,115) payable on income shares (145) (93) Total other liabilities (28,286) (45,948) Total liabilities (28,423) (45,996) Net assets attributable to shareholders 1,285,468 2,007,915 DISTRIBUTION TABLE for the accounting period 8 March 2014 to 7 March 2015 Dividend distribution in pence per share Class 1 Shares Net Income There is no distribution for the accounting period 8 March 2014 to 7 March 2015, as expenses exceed revenue (2014: Nil). Class 1 Shares Net Accumulation There is no distribution for the accounting period 8 March 2014 to 7 March 2015, as expenses exceed revenue (2014: Nil). Class 1 EUR Hedged Shares Net Accumulation There is no distribution for the accounting period 8 March 2014 to 7 March 2015, as expenses exceed revenue (2014: Nil). *In pound Sterling and against UK peer group. Please refer to pages for comparative tables. 92

94 Threadneedle American Select Fund DISTRIBUTION TABLE Class 2 Shares Net Accumulation Net Net Net Accumulated Accumulated 08/03/14 to 07/03/ Total distributions in the period Class 2 EUR Hedged Shares Net Accumulation Net Net Net Accumulated Accumulated 08/03/14 to 07/03/ Total distributions in the period Class Z Shares Net Income Net Payable Paid 08/03/14 to 07/03/ Total distributions in the period Class Z Shares Net Accumulation Net Net Net Accumulated Accumulated 08/03/14 to 07/03/ Total distributions in the period Class Z CHF Hedged Shares Net Accumulation* Net Net Accumulated 2014/ /03/14 to 07/03/ Total distributions in the period Class Z EUR Hedged Shares Net Accumulation Net Net Net Accumulated Accumulated 08/03/14 to 07/03/ Total distributions in the period Class Z GBP Hedged Shares Net Accumulation** Net Net Accumulated 2014/ /03/14 to 07/03/ Total distributions in the period *Class Z CHF Hedged Net accumulation shares commenced 13 March ** Class Z GBP Hedged Net accumulation shares commenced 13 March

95 Threadneedle American Select Fund Notes to the financial statements for the accounting period 8 March 2014 to 7 March ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 6. 2 NET CAPITAL GAINS Net capital gains during the period comprise: Non-derivative securities 165, ,217 Forward currency contracts (1,942) 3,549 Other gains/(losses) 3,694 (4,029) Transaction costs (5) (11) Net capital gains 167, ,726 3 REVENUE Overseas dividends 18,298 24,361 Interest on short term investments Bank interest 2 1 Stocklending commission 148 Total revenue 18,319 24,531 4 EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Annual management charge (16,942) (26,729) Registration fees (1,431) (2,299) (18,373) (29,028) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary s fees (113) (42) Safe custody fees (39) (33) (152) (75) Other expenses: Regulatory fee (12) (7) Audit fee (11) (9) (23) (16) * Total expenses (18,548) (29,119) *Including irrecoverable VAT where applicable. 5 TAXATION a) Analysis of charge in period Overseas taxes (2,324) (3,098) Total current tax (note 5b) (2,324) (3,098) Total tax charge for the period (2,324) (3,098) b) Factors affecting taxation charge for period Net expenses before taxation (230) (4,590) Net expenses before taxation multiplied by the standard rate of corporation tax of 20% Effects of: not subject to taxation 3,318 4,875 Overseas taxes (2,324) (3,098) Overseas taxes expensed 33 Excess expenses (3,358) (5,793) Retail Review (RDR) conversion transfer from capital (39) Current tax charge for period (note 5a) (2,324) (3,098) The fund has not recognised a deferred tax asset of 29,551,876 (2014: 26,194,134) arising as a result of having unutilised management expenses. It is unlikely that these expenses will be utilised in future years. 6 FINANCE COSTS s and Interest Final 1, Net distribution for the period 1, Interest 1 2 Total finance costs 1, Net expenses after taxation (2,554) (7,688) Shortfall transfer from capital to revenue 3,851 7,983 Equalisation on conversion 198 Net distribution for the period 1, Details of the distribution per share and any share class with a shortfall are set out in the table on pages 92 and DEBTORS Amounts receivable for the issue of shares Sales awaiting settlement 23,524 36,071 Accrued revenue 812 1,191 Foreign withholding tax recoverable Total debtors 24,467 38,369 8 CREDITORS Amounts payable for the cancellation of shares (9,231) (25,955) Purchases awaiting settlement (17,273) (14,796) Accrued expenses (28) (17) Amounts payable to ACD (1,609) (1,972) Total creditors (28,141) (42,740) 9 RELATED PARTY TRANSACTIONS The related parties are set out in detail in Note 8 of the aggregated financial statements on page 7. The aggregate monies received through issues and paid on cancellations are disclosed in the Statement of Change in s Attributable to Shareholders. Any amounts due to or from Threadneedle Investment Services Limited at the end of the accounting period are disclosed in Notes 7 and 8. Amounts payable to Threadneedle Investment Services Limited in respect of fund management and registration services are disclosed in Note 4 and amounts outstanding at the year end in Note 8. In addition any fees paid to Threadneedle Investment Services Limited in respect of stocklending are disclosed in Note 11. All transactions have been entered into in the ordinary course of business on normal commercial terms. 10 SHAREHOLDER FUNDS Threadneedle American Select Fund currently has six share classes; Class 1, Class 1 Hedged, Class 2, Class 2 Hedged, Class Z, and Class Z Hedged shares. The charges on each share class are as follows: Annual management charge Class 1 shares 1.50% Class 1 Hedged shares 1.50% Class 2 shares 1.00% Class 2 Hedged shares 1.00% Class Z shares 0.75% Class Z Hedged shares 0.75% 94

96 Threadneedle American Select Fund Notes to the financial statements Registration fees Class 1 shares 0.150% Class 1 Hedged shares 0.150% Class 2 shares 0.035% Class 2 Hedged shares 0.035% Class Z shares 0.060% Class Z Hedged shares 0.060% The net asset value of each share class, the net asset value per share, and the number of shares in each class are given in the comparative table on page 255. The distribution per share class is given in the distribution table on pages 92 and 93. All classes have the same rights on winding up. 11 STOCKLENDING During the period under review the Threadneedle American Select Fund has earned Nil (2014: 208,000). They have paid fees of Nil (2014: 29,000) to Threadneedle Investment Services Limited. In addition they have paid fees of Nil (2014: 31,000) to J.P. Morgan as the security lending agent to process these arrangements and hold the collateral. There was no stock on loan at the end of the accounting period (2014: Nil), and there was no collateral held (2014: Nil). The collateral was held as either securities transferred in CREST by a DBV (Delivery by ) or Gilt DBV, or in the form of overseas government bonds, supranational bonds or certificates of deposit. 12 DERIVATIVES AND OTHER FINANCIAL INSTRUMENTS The analysis and tables provided below refer to the narrative disclosure on derivatives and other financial instruments risks on pages 8 and 9. Currency exposures A substantial proportion of the net assets of the fund are denominated in currencies other than Sterling, with the effect that the balance sheet and total return can be significantly affected by currency movements. Net foreign currency assets Non- Monetary exposures monetary exposures Total Currency 2015 Euro 3 3,302 3,305 Swiss Franc US Dollar 17,440 1,268,170 1,285,610 Currency 2014 Euro 3 54,305 54,308 US Dollar 29,878 1,926,214 1,956,092 Interest rate risk profile of financial assets and financial liabilities The interest rate risk profile of the fund s financial assets and financial liabilities at 7 March 2015 was: Floating rate financial assets Fixed rate financial assets Financial assets not carrying interest Total Currency 2015 Euro 5 3,302 3,307 Swiss Franc UK Sterling 172 7,381 7,553 US Dollar 13,526 1,300,221 1,313,747 Currency 2014 Euro 54,308 54,308 UK Sterling 24, ,552 US Dollar 10,141 2,019,998 2,030,139 Floating rate financial liabilities Fixed rate financial liabilities Financial liabilities not carrying interest Total Currency 2015 Euro (2) (2) UK Sterling (11,011) (11,011) US Dollar (28,137) (28,137) Currency 2014 UK Sterling (28,037) (28,037) US Dollar (3,115) (70,932) (74,047) The floating rate financial assets include deposits which have a weighted average interest rate of 0.08% (2014: 0.10%). Other than equities which do not have maturity dates, non interest-bearing assets relate to forward foreign exchange contracts. Derivatives including forwards are used in this portfolio to take active positions in FX markets. Derivatives are employed when they are the cheapest and most efficient method of gaining exposure. This increases the risk profile of the fund and may result in a higher degree of volatility. All open positions are regularly reviewed by the fund manager. The fund has entered into various forward foreign exchange contracts during this accounting period. Such contracts commit the fund to future deliveries or receipts, typically three months forward, of assets and liabilities, at prices decided at the point of striking the contract. They therefore allow the fund manager to limit risk, or to enhance fund performance in return for the acceptance of greater risk. At 7 March 2015, the fund had outstanding forward foreign exchange contracts with an asset value of Nil (2014: 703,000) and a liability value of 136,000 (2014: 48,000). Cash balances are held in floating rate accounts where interest is calculated with reference to prevailing market rates. Fair value of financial assets and financial liabilities There is no material difference between the value of the financial assets and liabilities, as shown in the balance sheet, and their fair value. Sensitivity analysis Sensitivity or value at risk is not shown since the fund holds no derivatives that could impact the fund significantly. 13 CONTINGENT LIABILITIES AND COMMITMENTS There are no contingent liabilities and commitments outstanding (2014: Nil). 14 PORTFOLIO TRANSACTION COSTS Analysis of total purchase costs Purchases in period before transaction costs 988,665 2,580,293 Commissions 3,974 3,057 Total purchase costs 3,974 3,057 Gross purchases total 992,639 2,583,350 Analysis of total sale costs Gross sales before transaction costs 1,869,687 2,928,857 Commissions (4,744) (3,360) Taxes (37) (8) Total sale costs (4,781) (3,368) Total sales net of transaction costs 1,864,906 2,925,489 95

97 Threadneedle American Smaller Companies Fund (US) Investment Report Investment Objective To achieve capital growth. Investment Policy The ACD s investment policy is to invest the assets of the fund primarily in the equities of smaller companies that are domiciled in the US or have significant US operations. If the ACD considers it desirable it may further invest up to one third of the total assets of the fund in other securities (including fixed interest securities, other equities and money market securities). For liquidity purposes it may invest in cash and near cash. Performance of Net Accumulation Class 1 Shares* Over the twelve months to 7 March 2015, the published share price of the Threadneedle American Smaller Companies Fund (US) has risen from p to p. Looking at the sterling performance within its peer group, the total return on the fund for the twelve months ending 28 February 2015, including net reinvested income, is % as compared to a median return of % over the same period. (For information the S&P MidCap 400 Index returned % over the same period). Portfolio Activity Over the 12 months to 7 March 2015, the S&P MidCap 400 index rose 20.52% in sterling terms. Smallercapitalisation stocks lagged large for the first part of 2014, but began recovering relative performance towards the end of the year. In addition to the appreciation of the dollar relative to sterling, market gains were driven by healthy corporate-earnings growth as the domestic recovery gathered strength. The fund underperformed its benchmark, with excess returns driven by security-selection decisions. Positive selection effects were broadly based across sectors, with energy a notable source of strength; the fund s relatively defensive holdings, such as refiners, outperformed as the sector was impacted by lower oil and gas prices. Some benefit was also derived from corporate activity, where holdings were positively impacted by mergers and acquisitions. Additions to the fund over the period included Towers Watson, a professional services firm. The company stands to benefit from the general uptrend in corporate activity and the labour market, but should also be able to expand its margins through the expansion of private health exchanges that assist small and medium-sized enterprises in selecting coverage plans for employees; this process is one of the key requirements of the Affordable Healthcare Act, also known as Obamacare. We took profits in positions including Avis Budget and Synaptics, where the risk/reward profile was no longer compelling. Within the US we continue to favour the recovery in consumer and cyclical areas of the economy. We believe that recent slide in oil prices should continue to boost disposable incomes, especially for lower- and middle-income consumers. We expect this environment to support high single-digit earnings growth in 2015 and that this, rather than further multiple expansion, will drive markets. We still see US valuations as reasonable relative to history and cheap relative to bonds, and note the country s better GDP growth than other regions. STATEMENT OF TOTAL RETURN for the accounting period 8 March 2014 to 7 March 2015 Notes Income Net capital gains 2 94,098 87, ,886 4,631 Expenses 4 (6,703) (7,130) Net expenses before taxation (817) (2,499) Taxation 5 (883) (610) Net expenses after taxation (1,700) (3,109) Total return before distributions 92,398 84,152 Finance costs: s 6 (103) (1) Change in net assets attributable to shareholders from investment activities 92,295 84,151 BALANCE SHEET as at 7 March 2015 Notes Assets Investment assets 588, ,434 Other assets Debtors 7 15,454 10,043 Cash and bank balances 7,062 22,344 Total other assets 22,516 32,387 Total assets 610, ,821 Liabilities Other liabilities Creditors 8 (2,342) (13,142) payable on income shares (6) Total other liabilities (2,348) (13,142) Total liabilities (2,348) (13,142) Net assets attributable to shareholders 608, ,679 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 8 March 2014 to 7 March 2015 Opening net assets attributable to shareholders 625, ,934 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 179, ,017 Amounts payable on the cancellation of shares (289,696) (209,732) (109,801) 143,285 Dilution adjustment Change in net assets attributable to shareholders from investment activities (see statement of total return above) 92,295 84,151 Retained distribution on accumulation shares 96 1 Closing net assets attributable to shareholders 608, ,679 DISTRIBUTION TABLE for the accounting period 8 March 2014 to 7 March 2015 Dividend distribution in pence per share Class 1 Shares Net Income There is no distribution for the accounting period 8 March 2014 to 7 March 2015, as expenses exceed revenue (2014: Nil). Class 1 Shares Net Accumulation There is no distribution for the accounting period 8 March 2014 to 7 March 2015, as expenses exceed revenue (2014: Nil). Class 2 Shares Net Accumulation There is no distribution for the accounting period 8 March 2014 to 7 March 2015, as expenses exceed revenue (2014: Nil). *In pound Sterling and against UK peer group. Please refer to pages for comparative tables. 96

98 Threadneedle American Smaller Companies Fund (US) DISTRIBUTION TABLE Class X Shares Net Accumulation Net Net Accumulated Net Accumulated 08/03/14 to 07/03/ Total distributions in the period Class Z Shares Net Income Net Payable Paid 08/03/14 to 07/03/ Total distributions in the period Class Z Shares Net Accumulation Net Net Accumulated Net Accumulated 08/03/14 to 07/03/ Total distributions in the period

99 Threadneedle American Smaller Companies Fund (US) Notes to the financial statements for the accounting period 8 March 2014 to 7 March ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 6. 2 NET CAPITAL GAINS Net capital gains during the period comprise: Non-derivative securities 92,481 90,464 Forward currency contracts 26 9 Other gains/(losses) 1,595 (3,205) Transaction costs (4) (7) Net capital gains 94,098 87,261 3 REVENUE Overseas dividends 5,837 4,148 Interest on short term investments Bank interest 2 1 Stocklending commission Total revenue 5,886 4,631 4 EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Annual management charge (6,143) (6,607) Registration fees (480) (477) (6,623) (7,084) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary s fees (44) (23) Safe custody fees (19) (8) (63) (31) Other expenses: Regulatory fee (7) (7) Audit fee (10) (8) (17) (15) * Total expenses (6,703) (7,130) *Including irrecoverable VAT where applicable. 5 TAXATION a) Analysis of charge in period Overseas taxes (883) (610) Total current tax (note 5b) (883) (610) Total tax charge for the period (883) (610) b) Factors affecting taxation charge for period Net expenses before taxation (817) (2,499) Net expenses before taxation multiplied by the standard rate of corporation tax of 20% Effects of: not subject to taxation Overseas taxes (883) (610) Excess expenses (1,110) (1,334) Retail Review (RDR) conversion transfer from capital (2) Current tax charge for period (note 5a) (883) (610) The fund has not recognised a deferred tax asset of 6,060,821 (2014: 4,950,444) arising as a result of having unutilised management expenses. It is unlikely that these expenses will be utilised in future years FINANCE COSTS s Final Net distribution for the period Total finance costs Net expenses after taxation (1,701) (3,109) Shortfall transfer from capital to revenue 1,794 3,110 Equalisation on conversion 10 Net distribution for the period Details of the distribution per share and any share class with a shortfall are set out in the table on pages 96 and DEBTORS Amounts receivable for the issue of shares 4,015 2,712 Sales awaiting settlement 10,814 6,717 Accrued revenue Foreign withholding tax recoverable Total debtors 15,454 10,043 8 CREDITORS Amounts payable for the cancellation of shares (1,637) (4,543) Purchases awaiting settlement (7,968) Accrued expenses (17) (10) Amounts payable to ACD (688) (621) Total creditors (2,342) (13,142) 9 RELATED PARTY TRANSACTIONS The related parties are set out in detail in Note 8 of the aggregated financial statements on page 7. The aggregate monies received through issues and paid on cancellations are disclosed in the Statement of Change in s Attributable to Shareholders. Any amounts due to or from Threadneedle Investment Services Limited at the end of the accounting period are disclosed in Notes 7 and 8. Amounts payable to Threadneedle Investment Services Limited in respect of fund management and registration services are disclosed in Note 4 and amounts outstanding at the year end in Note 8. In addition any fees paid to Threadneedle Investment Services Limited in respect of stocklending are disclosed in Note 11. All transactions have been entered into in the ordinary course of business on normal commercial terms. 10 SHAREHOLDER FUNDS Threadneedle American Smaller Companies Fund (US) currently has four share classes; Class 1, Class 2, Class X, and Class Z shares. The charges on each share class are as follows: Annual management charge Class 1 shares 1.50% Class 2 shares 1.00% Class X shares N/A** Class Z shares 0.75% Registration fees Class 1 shares 0.150% Class 2 shares 0.035% Class X shares 0.035% Class Z shares 0.110% The net asset value of each share class, the net asset value per share, and the number of shares in each class are given in the comparative table on page 256. The distribution per share class is given in the distribution table on pages 96 and 97. All classes have the same rights on winding up. **X Shares are not subject to an Annual Management Charge.

100 Threadneedle American Smaller Companies Fund (US) Notes to the financial statements 11 STOCKLENDING During the period under review the Threadneedle American Smaller Companies Fund (US) has earned 34,000 (2014: 649,000) of which Nil (2014: 12,000) was outstanding at year end. The fund paid fees of Nil (2014: 88,000) of which Nil (2014: 2,000) was outstanding at the year end to Threadneedle Investment Services Limited. In addition they have paid fees of Nil (2014: 94,000) of which Nil (2014: 2,000) was outstanding at the year end to J.P. Morgan as the security lending agent to process these arrangements and hold the collateral. There was no stock on loan at the end of the accounting period (2014: 10.66m), and there was no collateral held (2014: 11.38m). The collateral was held as either securities transferred in CREST by a DBV (Delivery by ) or Gilt DBV, or in the form of overseas government bonds, supranational bonds or certificates of deposit. The nature and value of collateral held is analysed by asset class in the table below. Analysis of Collateral Held Total Total Bonds 11, , DERIVATIVES AND OTHER FINANCIAL INSTRUMENTS The analysis and tables provided below refer to the narrative disclosure on derivatives and other financial instruments risks on pages 8 and 9. Currency exposures A substantial proportion of the net assets of the fund are denominated in currencies other than Sterling, with the effect that the balance sheet and total return can be significantly affected by currency movements. Net foreign currency assets Non- Monetary exposures monetary exposures Total Currency 2015 Euro 1 1 US Dollar 19, , ,480 Currency 2014 US Dollar 21, , ,741 Interest rate risk profile of financial assets and financial liabilities The interest rate risk profile of the fund s financial assets and financial liabilities at 7 March 2015 was: Floating rate financial assets Fixed rate financial assets Financial assets not carrying interest Total Currency 2015 Euro 1 1 UK Sterling 132 4,739 4,871 US Dollar 6, , ,211 Currency 2014 UK Sterling 3,392 2,721 6,113 US Dollar 7,442 14, , ,507 Other than equities which do not have maturity dates, non interest-bearing assets relate to forward foreign exchange contracts. Derivatives including forwards are used in this portfolio to take active positions in FX markets. Derivatives are employed when they are the cheapest and most efficient method of gaining exposure. This increases the risk profile of the fund and may result in a higher degree of volatility. All open positions are regularly reviewed by the fund manager. The fund has entered into various forward foreign exchange contracts during this accounting period. Such contracts commit the fund to future deliveries or receipts, typically three months forward, of assets and liabilities, at prices decided at the point of striking the contract. They therefore allow the fund manager to limit risk, or to enhance fund performance in return for the acceptance of greater risk. At 7 March 2015, the fund had no outstanding forward foreign exchange contracts (2014: 12,000). Cash balances are held in floating rate accounts where interest is calculated with reference to prevailing market rates. Fair value of financial assets and financial liabilities There is no material difference between the value of the financial assets and liabilities, as shown in the balance sheet, and their fair value. Sensitivity analysis Sensitivity or value at risk is not shown since the fund holds no derivatives that could impact the fund significantly. 13 CONTINGENT LIABILITIES AND COMMITMENTS There are no contingent liabilities and commitments outstanding (2014: Nil). 14 PORTFOLIO TRANSACTION COSTS Analysis of total purchase costs Purchases in period before transaction costs 370, ,735 Commissions Taxes 3 Total purchase costs Gross purchases total 371, ,187 Analysis of total sale costs Gross sales before transaction costs 482, ,589 Commissions (363) (317) Taxes (9) (1) Total sale costs (372) (318) Total sales net of transaction costs 481, ,271 Floating rate financial liabilities Fixed rate financial liabilities Financial liabilities not carrying interest Total Currency 2015 UK Sterling (3,752) (3,752) US Dollar (731) (731) Currency 2014 UK Sterling (5,175) (5,175) US Dollar (10,766) (10,766) The floating rate financial assets include deposits which have a weighted average interest rate of 0.10% (2014: 0.10%). 99

101 Threadneedle Dollar Bond Fund Investment Report Investment Objective To achieve total return primarily by way of income with some capital growth. Investment Policy The ACD s investment policy is to invest the assets of the Fund primarily in US Government Securities denominated in Dollar and Dollar denominated securities issued by Governments, Government Agencies, Corporations and Supranational Borrowers. If the ACD considers it desirable it may further invest up to one third of the total assets of the Fund in other securities (including other fixed interest securities and money market securities). For liquidity purposes it may invest in cash and near cash. Performance of Net Income Class 1 Shares* Over the twelve months to 7 March 2015, the published share price of the Threadneedle Dollar Bond Fund has risen from 48.66p to 54.74p. The sterling total return on the fund for the twelve months ending 28 February 2015, including gross reinvested income, is % gross of tax and charges**. (For information the 50% ML Euro- Dollar & Globals/50% ML US Treasuries Master Index gave a total return of % in sterling terms for the same period). Portfolio Activity The last 12 months have been a positive period for returns in the US-dollar bond market in aggregate. Total returns have been positive, but there has been some disparity within the headline numbers. For the US government-bond market, which returned around 6%, it has been an almost exclusively constructive period. Yields have fallen through most of the year, a trend that has continued into The benchmark 10-year Treasury began 2014 with a yield of 3% and ended the period 75 basis points lower. This performance has been mirrored in most developed economies and reflects the market s perception of a more benign outlook for inflation and, importantly, the future direction of interest rates. This dovish prognosis about monetary policy may seem a little surprising given what has been, excluding the weather-blighted first quarter, a good year for the US economy. Many indicators of economic performance have improved, including, perhaps most notably, a steady decline in the jobless rate from 6.7% at the end of last year to 5.5% at the most recent reading. The headline inflation rate ended the period at 1.6%, helped by a near halving in the price of oil and a lack of indications that tighter labour conditions are leading to upward pressures on wages. For the corporate-credit market, it s been a more challenging period. Spreads were under considerable pressure in the last month of the year: having been nearly 100 basis points above US Treasuries in mid-june, spreads rose to around 150 basis points by the end of the year before rallying to near 130 at the end of February. Much of the damage was done in the energy sector, because of the reasons described above and the consequences of the falling oil price. However, weakness was also felt in mining and in long-dated credits, where curves steepened. Emerging markets also endured a rather volatile period, seemingly jumping from crisis to crisis. The market was neatly divided between the oil importers such as South Africa and Turkey, and the oil exporters including Russia and Venezuela. For Eastern European countries such as Hungary, the prospect of quantitative easing from the European Central Bank helped performance. The US Dollar Bond Fund had a mixed year but ended the period well head of the median fund. Against the benchmark index, the fund was ahead for the year. With US yields declining further than we expected, performance was hampered by a generally defensive duration position. We allocated an overweight position to corporate debt and, to a smaller extent, emerging-market debt. While these positions weren t particularly helpful in aggregate, stock-picking was successful in a number of companies, and this aided the fund s performance overall. Companies of particular note include Time Warner Cable, DTV and Medtronic. Given the starting point in terms of yields, both real and nominal, it is hard to conjure up an overly bullish outlook for the coming year in terms of total return. There also seems to be a fair amount of complacency about the direction of interest rates and the timing of any change. Certainly, the decline of oil will reduce inflation, but if the price remains low for a protracted period it will deliver a decent stimulus or tax cut to the real economy. Secondly, given the decline in the unemployment rate, there must come a point at which this transfers into higher wage costs, about which the Federal Reserve will need be vigilant. Lastly, the recent decline in bond yields has brought the US mortgage rate lower, which will be a benefit to homeowners. We are less concerned about corporate credit spreads, where the recent widening has taken the market back to an area of decent value. Moreover, any rebound from the present levels in oil should make this sector appear more valuable. The investmentgrade corporate bond market is likely to remain a choice area for investors seeking income with some degree of perceived safety. Through the coming quarter, we expect to maintain a more cautious duration position in the fund as well as an overweight in corporate credit. STATEMENT OF TOTAL RETURN for the accounting period 8 March 2014 to 7 March 2015 Notes Income Net capital gains/(losses) 2 8,454 (9,023) 3 2,222 2,019 Expenses 4 (751) (818) Finance costs: Derivative expense 6 (537) (115) Net revenue before taxation 934 1,086 Taxation 5 Net revenue after taxation 934 1,086 Total return before distributions 9,388 (7,937) Finance costs: s 6 (1,554) (1,768) Change in net assets attributable to shareholders from investment activities 7,834 (9,705) BALANCE SHEET as at 7 March 2015 Notes Assets Investment assets 65,183 61,087 Other assets Debtors 7 1, Cash and bank balances ,819 Total other assets 1,442 3,715 Total assets 66,625 64,802 Liabilities Other liabilities Creditors 9 (419) (1,408) Bank overdrafts 8 (6) (138) payable on income shares (419) (513) Total other liabilities (844) (2,059) Total liabilities (844) (2,059) Net assets attributable to shareholders 65,781 62,743 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 8 March 2014 to 7 March 2015 Opening net assets attributable to shareholders 62,743 74,565 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 14,907 8,684 Amounts payable on the cancellation of shares (20,114) (11,221) (5,207) (2,537) Dilution adjustment 17 Change in net assets attributable to shareholders from investment activities (see statement of total return above) 7,834 (9,705) Retained distribution on accumulation shares Closing net assets attributable to shareholders 65,781 62,743 *In pound Sterling and against UK peer group. **Gross performance is calculated in Factset using daily cash flows and daily global close valuations. Please refer to pages for comparative tables. DISTRIBUTION TABLE for the accounting period 8 March 2014 to 7 March 2015 Interest distribution in pence per share Class 1 Shares Net Income Gross Income Tax Net Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/09/ /09/14 to 07/03/ Group 2 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period Class 1 Shares Gross Accumulation Gross Gross Gross Equalisation Accumulated Accumulated Group 1 08/03/14 to 07/09/ /09/14 to 07/03/ Group 2 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period

102 Threadneedle Dollar Bond Fund DISTRIBUTION TABLE Class Z Shares Net Income Gross Income Tax Net Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/09/ /09/14 to 07/03/ Group 2 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period Class Z Shares Gross Accumulation Gross Gross Gross Equalisation Accumulated Accumulated Group 1 08/03/14 to 07/09/ /09/14 to 07/03/ Group 2 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period Group 2: shares purchased during a distribution period 101

103 Threadneedle Dollar Bond Fund Notes to the financial statements for the accounting period 8 March 2014 to 7 March ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 6. 2 NET CAPITAL GAINS/(LOSSES) Net capital gains/(losses) during the period comprise: Non-derivative securities 8,680 (8,686) Derivative contracts (339) (73) Forward currency contracts (20) Other gains/(losses) 135 (258) Transaction costs (2) (6) Net capital gains/(losses) 8,454 (9,023) 3 REVENUE Interest on debt securities 2,221 2,012 Interest on short term investments 1 Bank interest 1 1 Stocklending commission 5 Total revenue 2,222 2,019 4 EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Annual management charge (620) (682) Registration fees (96) (106) (716) (788) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary s fees (7) (13) Safe custody fees (10) (2) (17) (15) Other expenses: Regulatory fee (7) (7) Audit fee (11) (8) (18) (15) * Total expenses (751) (818) *Including irrecoverable VAT where applicable. 5 TAXATION a) Analysis of charge in period Total current tax (note 5b) Total tax charge for the period b) Factors affecting taxation charge for period Net revenue before taxation 934 1,086 Net revenue before taxation multiplied by the standard rate of corporation tax of 20% (187) (217) Effects of: Excess expenses Current tax charge for period (note 5a) The fund has not recognised a deferred tax asset of 1,310,110 (2014: 1,496,944) arising as a result of having unutilised management expenses. It is unlikely that these expenses will be utilised in future years. Interest distributions have been made in respect of all distributions during the period. Income tax at 20% on net share classes will be accounted for on shareholders behalf to HM & Customs. 6 FINANCE COSTS s The distribution takes account of revenue received on the creation of shares and revenue deducted on the cancellation of shares and comprises: Interim Final ,537 1,751 Add: deducted on cancellation of shares Deduct: received on creation of shares (87) (27) Net distribution for the period 1,554 1,768 Derivative expense Total finance costs 2,091 1,883 Net revenue after taxation 934 1,086 Annual management charge to capital Net distribution for the period 1,554 1,768 Details of the distribution per share are set out in the table on pages 100 and DEBTORS Amounts receivable for the issue of shares Sales awaiting settlement Accrued revenue Total debtors 1, CASH AND BANK BALANCES Amounts held at futures clearing houses and brokers 107 Cash and bank balances 421 2, ,819 Bank overdrafts (6) (138) Total cash and bank balances 415 2,681 9 CREDITORS Amounts payable for the cancellation of shares (80) (78) Purchases awaiting settlement (151) (1,140) Accrued expenses (10) (8) Amounts payable to ACD (69) (54) Income tax payable (109) (128) Total creditors (419) (1,408) 10 RELATED PARTY TRANSACTIONS The related parties are set out in detail in Note 8 of the aggregated financial statements on page 7. The aggregate monies received through issues and paid on cancellations are disclosed in the Statement of Change in s Attributable to Shareholders. Any amounts due to or from Threadneedle Investment Services Limited at the end of the accounting period are disclosed in Notes 7 and 9. Amounts payable to Threadneedle Investment Services Limited in respect of fund management and registration services are disclosed in Note 4 and amounts outstanding at the year end in Note 9. In addition any fees paid to Threadneedle Investment Services Limited in respect of stocklending are disclosed in Note 12. All transactions have been entered into in the ordinary course of business on normal commercial terms. 102

104 Threadneedle Dollar Bond Fund Notes to the financial statements 11 SHAREHOLDER FUNDS Threadneedle Dollar Bond Fund currently has two share classes; Class 1, and Class Z shares. The charges on each share class are as follows: Annual management charge Class 1 shares 1.00% Class Z shares 0.50% Registration fees Class 1 shares 0.150% Class Z shares 0.110% The net asset value of each share class, the net asset value per share, and the number of shares in each class are given in the comparative table on page 256. The distribution per share class is given in the distribution table on pages 100 and 101. All classes have the same rights on winding up. 12 STOCKLENDING During the period under review the Threadneedle Dollar Bond Fund has earned Nil (2014: 7,000) of which Nil (2014: 1,000) was outstanding at year end. They have paid fees of Nil (2014: 1,000) of which Nil (2014: Nil) was outstanding at year end to Threadneedle Investment Services Limited. In addition they have paid fees of Nil (2014: 1,000) of which Nil (2014:Nil) was outstanding at year end to J.P. Morgan as the security lending agent to process these arrangements and hold the collateral. There was no stock on loan at the end of the accounting period (2014: 1.21m), and there was no collateral held (2014: 1.28m). The collateral was held as either securities transferred in CREST by a DBV (Delivery by ) or Gilt DBV, or in the form of overseas government bonds, supranational bonds or certificates of deposit. The nature and value of collateral held is analysed by asset class in the table below. Analysis of Collateral Held Total Total Bonds 1, , DERIVATIVES AND OTHER FINANCIAL INSTRUMENTS The analysis and tables provided below refer to the narrative disclosure on derivatives and other financial instruments risks on pages 8 and 9. Currency exposures A substantial proportion of the net assets of the fund are denominated in currencies other than Sterling, with the effect that the balance sheet and total return can be significantly affected by currency movements. Net foreign currency assets Non- Monetary exposures monetary exposures Total Currency 2015 US Dollar 1,082 65,183 66,265 Currency 2014 US Dollar 2,355 61,087 63,442 Interest rate risk profile of financial assets and financial liabilities The interest rate risk profile of the fund s financial assets and financial liabilities at 7 March 2015 was: Floating rate financial assets Fixed rate financial assets Financial assets not carrying interest Total Currency 2015 UK Sterling US Dollar 6,434 58,774 1,219 66,427 Currency 2014 UK Sterling US Dollar 3,433 60, ,582 Floating rate financial liabilities Fixed rate financial liabilities Financial liabilities not carrying interest Total Currency 2015 UK Sterling (827) (827) US Dollar (6) (156) (162) Currency 2014 UK Sterling (138) (781) (919) US Dollar (1,140) (1,140) Fixed rate financial assets Weighted average interest rate Fixed rate financial assets Weighted average period for which rate is fixed Non interest bearing assets Weighted average period Currency % % years years years years US Dollar Non interest-bearing assets relate to futures. Derivatives including futures are used in this portfolio to take active positions in interest rate markets. Derivatives are employed when they are the cheapest and most efficient method of gaining exposure. This increases the risk profile of the fund and may result in a higher degree of volatility. All open positions are regularly reviewed by the fund manager. The fund has entered into various futures during this accounting period. Such contracts commit the fund to future deliveries or receipts, typically three months forward, of assets and liabilities, at prices decided at the point of striking the contract. They therefore allow the fund manager to limit risk, or to enhance fund performance in return for the acceptance of greater risk. At 7 March 2015, the fund had outstanding futures with an asset value of 287,000 (2014: 2,000) and a liability value of Nil (2014: Nil). The fund s floating rate investments earn interest which is variable, based on LIBOR or its overseas equivalent. Cash balances are held in floating rate accounts where interest is calculated with reference to prevailing market rates. Fair value of financial assets and financial liabilities There is no material difference between the value of the financial assets and liabilities, as shown in the balance sheet, and their fair value. Sensitivity analysis Sensitivity or value at risk is not shown since the fund holds no derivatives that could impact the fund significantly. 14 CONTINGENT LIABILITIES AND COMMITMENTS There are no contingent liabilities and commitments outstanding (2014: Nil). 15 PORTFOLIO TRANSACTION COSTS The purchases and sales are not subject to portfolio transaction costs. The total cost of purchases during the period was 70,378,146 (2014: 79,615,030) and proceeds received from sales were 75,257,773 (2014: 79,514,131). 103

105 Threadneedle Japan Fund Investment Report Investment Objective To achieve capital growth. Investment Policy The ACD s investment policy is to invest the assets of the Fund primarily in the equities of companies domiciled in Japan or with significant Japanese operations. If the ACD considers it desirable it may further invest up to one third of the total assets of the Fund in other securities (including fixed interest securities, warrants and convertible bonds, other equities and money market securities). For liquidity purposes it may invest in cash and near cash. Performance of Net Accumulation Class 1 Shares* Over the twelve months to 7 March 2015, the published share price of the Threadneedle Japan Fund has risen from 37.62p to 43.08p. Looking at the sterling performance within its peer group, the total return on the fund for the twelve months ending 28 February 2015, including net reinvested income, is % as compared to a median return of % over the same period. (For information the TOPIX Index returned % over the same period). Portfolio Activity During the review period the Japanese market has been extremely strong in local currency terms, and the index is finally approaching the levels last seen prior to the global financial crisis and the great East Japan earthquake. At the interim stage, we were reporting some volatility in the market surrounding the implementation of the increase in Japan s consumption tax (VAT). In the event, this market volatility continued into the second half of the reporting period, with a very sharp correction in October as markets started to doubt that Japan s policy makers would have the confidence to continue with their bold attempt to recover Japan from deflation. Subsequent to this, the Bank of Japan announced a further extension to its quantitative easing (QE) policy and Prime Minister Shinzo Abe called and won another general election, thus proving to any doubters that he has his mandate for reform. Since the wobble in October, the market has been particularly firm. Earnings revisions continue to be extremely positive for Japanese companies. The yen continues to weaken and is also approaching levels not seen since the global financial crisis. As fast as earnings forecasts adjust upwards for a new weaker yen level, the currency moves again and prompts another round of upward revisions. The weaker yen is not only having a strongly positive effect on exporters but also on some domestic companies as, together with relaxed visa restrictions, it is encouraging huge growth in the number of foreign visitors to Japan, who are keen to enjoy the tax-free shopping opportunities and to visit major attractions such as Tokyo Disneyland. This upward revision momentum means that valuations are not expanding and there is no reason to argue that the market is becoming expensive. In addition, there is growing evidence that concerted attempts to improve the focus on shareholder returns in Japan, through both corporate governance and stewardship, are starting to have a meaningful impact. One aspect of this, namely accelerating share buyback announcements, is strongly supportive of valuations. Activity in the portfolio continued to focus on stockspecific opportunities, underpinned by an ongoing belief that Japan is better off with Abenomics than without it. New names added to the portfolio included Oriental Land, which runs Tokyo Disneyland and is seeing strong numbers of domestic visitors as well as overseas tourists, as mentioned above. We altered some positions in the retail sector towards companies that can benefit more clearly from overseas visitors and rising real wages, buying Don Quijote and selling Lawson. Although it isn t a retailer, we also added cosmetics company Kose for the same reasons. Within exporters, we added Hoya and Hitachi Hi Technologies, both quality companies where the weaker yen helps an already strong investment case. STATEMENT OF TOTAL RETURN for the accounting period 8 March 2014 to 7 March 2015 Notes Income Net capital gains/(losses) 2 46,029 (752) 3 4,397 3,537 Expenses 4 (3,590) (2,545) Finance costs: Interest 6 (1) Net revenue before taxation Taxation 5 (439) (286) Net revenue after taxation Total return before distributions 46,396 (46) Finance costs: s 6 (636) (706) Change in net assets attributable to shareholders from investment activities 45,760 (752) BALANCE SHEET as at 7 March 2015 Notes Assets Investment assets 343, ,632 Other assets Debtors 7 5,522 10,015 Cash and bank balances 8 5 8,282 Total other assets 5,527 18,297 Total assets 348, ,929 Liabilities Derivative liabilities (3) (9) Other liabilities Creditors 9 (5,197) (12,172) Bank overdrafts 8 (118) (4,768) payable on income shares (1) Total other liabilities (5,316) (16,940) Total liabilities (5,319) (16,949) Net assets attributable to shareholders 343, ,980 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 8 March 2014 to 7 March 2015 Opening net assets attributable to shareholders 215, ,304 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 227, ,321 Amounts payable on the cancellation of shares (147,043) (141,921) 80,547 68,400 Dilution adjustment Change in net assets attributable to shareholders from investment activities (see statement of total return above) 45,760 (752) Retained distribution on accumulation shares Closing net assets attributable to shareholders 343, ,980 DISTRIBUTION TABLE for the accounting period 8 March 2014 to 7 March 2015 Dividend distribution in pence per share Class 1 Shares Net Accumulation Net Net Accumulated Net Accumulated 08/03/14 to 07/03/ Total distributions in the period Class 2 Shares Net Accumulation Net Net Accumulated Net Accumulated 08/03/14 to 07/03/ Total distributions in the period *In pound Sterling and against UK peer group. Please refer to pages for comparative tables. 104

106 Threadneedle Japan Fund DISTRIBUTION TABLE Class X Shares Net Income* Net Payable 2014/ /08/14 to 07/03/ Total distributions in the period Class Z Shares Net Accumulation Net Net Accumulated Net Accumulated 08/03/14 to 07/03/ Total distributions in the period *Class X Net income shares commenced 4 August

107 Threadneedle Japan Fund Notes to the financial statements for the accounting period 8 March 2014 to 7 March ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 6. 2 NET CAPITAL GAINS/(LOSSES) Net capital gains/(losses) during the period comprise: Non-derivative securities 45,918 (520) Forward currency contracts (313) 36 Other gains/(losses) 433 (255) Transaction costs (9) (13) Net capital gains/(losses) 46,029 (752) 3 REVENUE Overseas dividends 4,394 3,525 Bank interest 1 Stocklending commission 2 12 Total revenue 4,397 3,537 4 EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Annual management charge (3,292) (2,339) Registration fees (224) (159) (3,516) (2,498) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary s fees (26) (18) Safe custody fees (28) (15) (54) (33) Other expenses: Regulatory fee (10) (7) Audit fee (9) (7) Professional fees (1) (20) (14) * Total expenses (3,590) (2,545) *Including irrecoverable VAT where applicable. 5 TAXATION a) Analysis of charge in period Overseas taxes (439) (286) Total current tax (note 5b) (439) (286) Total tax charge for the period (439) (286) b) Factors affecting taxation charge for period Net revenue before taxation Net revenue before taxation multiplied by the standard rate of corporation tax of 20% (161) (198) Effects of: not subject to taxation Overseas taxes (439) (286) Overseas taxes expensed 1 Excess expenses (731) (507) taxable in other periods 21 Current tax charge for period (note 5a) (439) (286) The fund has not recognised a deferred tax asset of 4,587,279 (2014: 3,856,709) arising as a result of having unutilised management expenses. It is unlikely that these expenses will be utilised in future years FINANCE COSTS s and Interest Final Net distribution for the period Interest 1 Total finance costs Net revenue after taxation Equalisation on conversion 3 Shortfall transfer from capital to revenue 266 Net distribution for the period Details of the distribution per share are set out in the table on pages 104 and DEBTORS Amounts receivable for the issue of shares 1,176 7,648 Sales awaiting settlement 4,016 2,107 Accrued revenue Total debtors 5,522 10,015 8 CASH AND BANK BALANCES Amounts held at futures clearing houses and brokers 5 Cash and bank balances 8, ,282 Bank overdrafts (118) (4,768) Total cash and bank balances (113) 3,514 9 CREDITORS Amounts payable for the cancellation of shares (3,196) (3,232) Purchases awaiting settlement (1,580) (8,724) Accrued expenses (18) (11) Amounts payable to ACD (403) (205) Total creditors (5,197) (12,172) 10 RELATED PARTY TRANSACTIONS The related parties are set out in detail in Note 8 of the aggregated financial statements on page 7. The aggregate monies received through issues and paid on cancellations are disclosed in the Statement of Change in s Attributable to Shareholders. Any amounts due to or from Threadneedle Investment Services Limited at the end of the accounting period are disclosed in Notes 7 and 9. Amounts payable to Threadneedle Investment Services Limited in respect of fund management and registration services are disclosed in Note 4 and amounts outstanding at the year end in Note 9. In addition any fees paid to Threadneedle Investment Services Limited in respect of stocklending are disclosed in Note 12. All transactions have been entered into in the ordinary course of business on normal commercial terms.

108 Threadneedle Japan Fund Notes to the financial statements 11 SHAREHOLDER FUNDS Threadneedle Japan Fund currently has four share classes; Class 1, Class 2, Class X, and Class Z shares. The charges on each share class are as follows: Annual management charge Class 1 shares 1.50% Class 2 shares 1.00% Class X shares N/A* Class Z shares 0.75% Registration fees Class 1 shares 0.150% Class 2 shares 0.035% Class X shares 0.035% Class Z shares 0.110% The net asset value of each share class, the net asset value per share, and the number of shares in each class are given in the comparative table on page 257. The distribution per share class is given in the distribution table on pages 104 and 105. All classes have the same rights on winding up. *X Shares are not subject to an Annual Management Charge. 12 STOCKLENDING During the period under review the Threadneedle Japan Fund has earned 2,000 (2014: 17,000) of which Nil (2014: 2,000) was outstanding at year end. They have paid fees of Nil (2014: 2,000) to Threadneedle Investment Services Limited. In addition they have paid fees of Nil (2014: 3,000) to J.P. Morgan as the security lending agent to process these arrangements and hold the collateral. There was no stock on loan at the end of the accounting period (2014: 6.63m), and there was no collateral held (2014: 7.02m). The collateral was held as either securities transferred in CREST by a DBV (Delivery by ) or Gilt DBV, or in the form of overseas government bonds, supranational bonds or certificates of deposit. The nature and value of collateral held is analysed by asset class in the table below. Analysis of Collateral Held Total Total Bonds 7, , DERIVATIVES AND OTHER FINANCIAL INSTRUMENTS The analysis and tables provided below refer to the narrative disclosure on derivatives and other financial instruments risks on pages 8 and 9. Currency exposures A substantial proportion of the net assets of the fund are denominated in currencies other than Sterling, with the effect that the balance sheet and total return can be significantly affected by currency movements. Net foreign currency assets Non- Monetary exposures monetary exposures Total Currency 2015 Japanese Yen , ,697 Currency 2014 Japanese Yen 1, , ,149 Interest rate risk profile of financial assets and financial liabilities The interest rate risk profile of the fund s financial assets and financial liabilities at 7 March 2015 was: Floating rate financial assets Fixed rate financial assets Financial assets not carrying interest Total Currency 2015 Japanese Yen 4 348, ,534 UK Sterling 16 4,300 4,316 Currency 2014 Japanese Yen 8, , ,873 UK Sterling 7,650 7,650 Floating rate financial liabilities Fixed rate financial liabilities Financial liabilities not carrying interest Total Currency 2015 Japanese Yen (118) (4,719) (4,837) UK Sterling (4,797) (4,797) Currency 2014 Japanese Yen (8,724) (8,724) UK Sterling (5,371) (3,448) (8,819) Other than equities which do not have maturity dates, non interest-bearing assets relate to forward foreign exchange contracts. Derivatives including forwards are used in this portfolio to take active positions in FX markets. Derivatives are employed when they are the cheapest and most efficient method of gaining exposure. This increases the risk profile of the fund and may result in a higher degree of volatility. All open positions are regularly reviewed by the fund manager. The fund has entered into various forward foreign exchange contracts during this accounting period. Such contracts commit the fund to future deliveries or receipts, typically three months forward, of assets and liabilities, at prices decided at the point of striking the contract. They therefore allow the fund manager to limit risk, or to enhance fund performance in return for the acceptance of greater risk. At 7 March 2015, the fund had outstanding forward foreign exchange contracts with an asset value of 1,000 (2014: Nil) and a liability value of 3,000 (2014: 9,000). Cash balances are held in floating rate accounts where interest is calculated with reference to prevailing market rates. Fair value of financial assets and financial liabilities There is no material difference between the value of the financial assets and liabilities, as shown in the balance sheet, and their fair value. Sensitivity analysis Sensitivity or value at risk is not shown since the fund holds no derivatives that could impact the fund significantly. 14 CONTINGENT LIABILITIES AND COMMITMENTS There are no contingent liabilities and commitments outstanding (2014: Nil). 15 PORTFOLIO TRANSACTION COSTS Analysis of total purchase costs Purchases in period before transaction costs 350, ,880 Commissions Total purchase costs Gross purchases total 350, ,134 Analysis of total sale costs Gross sales before transaction costs 268, ,236 Commissions (252) (210) Total sale costs (252) (210) Total sales net of transaction costs 268, ,

109 Threadneedle Asia Fund Investment Report Investment Objective To achieve capital growth. Investment Policy The ACD s investment policy is to invest the assets of the Fund primarily in the equity of companies domiciled in Asia (with the exclusion of Japan) or with significant Asian (excluding Japan) operations. It may further invest in other securities including fixed interest securities, other equities and money market securities. Performance of Net Accumulation Class 1 Shares* Over the twelve months to 7 March 2015, the published share price of the Threadneedle Asia Fund has risen from p to p. Looking at the sterling performance within its peer group, the total return on the fund for the twelve months ending 28 February 2015, including net reinvested income, is % as compared to a median return of % over the same period. (For information the MSCI AC Asia Pacific Ex Japan Index returned % over the same period). Portfolio Activity The region s stock markets rose during the period under review. This was driven by selective stimulus by Chinese authorities to alleviate slowing growth, low oil prices resulting in improving prospects for current-account balances, benign inflation and a declining interest-rate environment across the region. Additionally, market-friendly outcomes in elections held in India and Indonesia, and relative political stability after a military coup in Thailand in May, helped sentiment within the asset class. Asset allocation contributed positively to performance, as the portfolio was overweight India, China and Philippines which outperformed, and underweight Australia, Korea and Malaysia which underperformed. Stock selection also contributed positively to performance, particularly in Australia, Taiwan, Korea and Malaysia. In the first half of the period, in response to the new Indian prime minister winning a mandate for reform after his landslide election victory, the fund increased its overweight in the Indian stock market with a focus on areas to benefit from anticipated recovery in economic momentum. This was funded primarily by taking profits in the consumer space in the Philippines following strong performance. We also increased the weighting in China s industrial and energy sectors, where we felt companies will benefit from increased focus by the Chinese authorities on restructuring and state-owned enterprise reform. The net result during this period, was that the fund tilted its exposure further towards more cyclical sectors of energy, industrials, financials and IT at the expense of more defensive areas of consumer staples and utilities. In the second half of the period, with lower oil prices and increased prospects for interest-rate cuts across the region, the weighting in Chinese financials was increased, along with the consumer-discretionary sector. This move was funded primarily by reducing the weighting in Malaysia, which is the only netoil exporter in Asia and is expected to suffer a deteriorating current-account balance with lower global oil prices. We continue to focus on identifying companies with attractive franchises, and strong free-cashflowgenerating capabilities that should fare well under a scenario of tighter global liquidity, and continue to look for companies where earnings may be at an inflection point as a result of top-down reform or bottom-up restructuring. STATEMENT OF TOTAL RETURN for the accounting period 8 March 2014 to 7 March 2015 Notes Income Net capital gains/(losses) 2 78,591 (57,081) 3 12,238 16,187 Expenses 4 (5,885) (7,627) Net revenue before taxation 6,353 8,560 Taxation 5 (268) (1,068) Net revenue after taxation 6,085 7,492 Total return before distributions 84,676 (49,589) Finance costs: s 6 (5,733) (7,752) Change in net assets attributable to shareholders from investment activities 78,943 (57,341) STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 8 March 2014 to 7 March 2015 Opening net assets attributable to shareholders 428, ,193 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 99,119 44,405 Amounts payable on the cancellation of shares (92,262) (233,347) Amounts payable on inspecie transfers (118,979) 6,857 (307,921) Dilution adjustment Change in net assets attributable to shareholders from investment activities (see statement of total return above) 78,943 (57,341) Retained distribution on accumulation shares 5,733 7,752 Closing net assets attributable to shareholders 520, ,267 BALANCE SHEET as at 7 March 2015 Notes Assets Investment assets 515, ,850 Other assets Debtors 7 5,372 3,855 Cash and bank balances 3,092 12,214 Total other assets 8,464 16,069 Total assets 524, ,919 Liabilities Derivative liabilities (1) Other liabilities Creditors 8 (4,206) (4,652) Total other liabilities (4,206) (4,652) Total liabilities (4,207) (4,652) Net assets attributable to shareholders 520, ,267 DISTRIBUTION TABLE for the accounting period 8 March 2014 to 7 March 2015 Dividend distribution in pence per share Class 1 Shares Net Accumulation Net Net Net Accumulated Accumulated 08/03/14 to 07/03/ Total distributions in the period Class 2 Shares Net Accumulation Net Net Net Accumulated Accumulated 08/03/14 to 07/03/ Total distributions in the period Class X Shares Net Income* Net Payable 2014/ /08/14 to 07/03/ Total distributions in the period *In pound Sterling and against UK peer group. Please refer to pages for comparative tables. 108

110 Threadneedle Asia Fund DISTRIBUTION TABLE Class Z Shares Net Accumulation Net Net Net Accumulated Accumulated 08/03/14 to 07/03/ Total distributions in the period *Class X Net income shares commenced 4 August

111 Threadneedle Asia Fund Notes to the financial statements for the accounting period 8 March 2014 to 7 March ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 6. 2 NET CAPITAL GAINS/(LOSSES) Net capital gains/(losses) during the period comprise: Non-derivative securities 77,824 (56,091) Forward currency contracts 61 Other gains/(losses) 722 (972) Transaction costs (16) (18) Net capital gains/(losses) 78,591 (57,081) 3 REVENUE Overseas dividends 11,929 15,657 UK franked dividend distributions Interest on short term investments 2 3 Bank interest 4 11 Stocklending commission 15 Management fee rebate on collective investment scheme holdings Total revenue 12,238 16,187 4 EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Annual management charge (5,341) (6,896) Registration fees (344) (435) (5,685) (7,331) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary s fees (41) (23) Safe custody fees (109) (229) collection expenses (23) (18) (173) (270) Other expenses: Regulatory fee (7) (19) Audit fee (9) (7) Professional fee (11) (27) (26) * Total expenses (5,885) (7,627) *Including irrecoverable VAT where applicable. 5 TAXATION a) Analysis of charge in period Overseas taxes (572) (808) Total current tax (note 5b) (572) (808) Capital gains tax (note 5c) 304 (260) Total tax charge for the period (268) (1,068) b) Factors affecting taxation charge for period Net revenue before taxation 6,353 8,560 Net revenue before taxation multiplied by the standard rate of corporation tax of 20% (1,270) (1,712) Effects of: not subject to taxation 2,265 3,180 Overseas taxes (572) (808) Overseas taxes expensed 4 Excess expenses (1,011) (1,468) taxable in other periods 17 Retail Review (RDR) conversion transfer from capital (5) Current tax charge for period (note 5a) (572) (808) c) Capital gains tax Provision at start of period (478) (741) Capital gains tax gain/(charge) in statement of total return for period (note 5a) 304 (260) Exchange loss on capital tax refund 42 Capital gains tax paid in year 481 Provision at end of period (174) (478) The fund has not recognised a deferred tax asset of 11,726,597 (2014: 10,715,413) arising as a result of having unutilised management expenses. It is unlikely that these expenses will be utilised in future years. 6 FINANCE COSTS s Final 5,733 7,752 Net distribution for the period 5,733 7,752 Total finance costs 5,733 7,752 Net revenue after taxation 6,085 7,492 Capital gains tax (304) 260 Equalisation on conversion (48) Net distribution for the period 5,733 7,752 Details of the distribution per share are set out in the table on pages 108 and DEBTORS Amounts receivable for the issue of shares 1, Sales awaiting settlement 2,049 1,674 Accrued revenue 1,752 1,843 Total debtors 5,372 3,

112 Threadneedle Asia Fund Notes to the financial statements 8 CREDITORS Amounts payable for the cancellation of shares (461) (1,305) Purchases awaiting settlement (1,760) (1,210) Accrued expenses (40) (66) Amounts payable to ACD (592) (414) Corporation tax payable (1,179) (1,179) Capital gains tax provision (174) (478) Total creditors (4,206) (4,652) 9 RELATED PARTY TRANSACTIONS The related parties are set out in detail in Note 8 of the aggregated financial statements on page 7. The aggregate monies received through issues and paid on cancellations are disclosed in the Statement of Change in s Attributable to Shareholders. Any amounts due to or from Threadneedle Investment Services Limited at the end of the accounting period are disclosed in Notes 7 and 8. Amounts payable to Threadneedle Investment Services Limited in respect of fund management and registration services are disclosed in Note 4 and amounts outstanding at the year end in Note 8. A balance of 42,000 (2014: 46,000) in respect of annual management rebates is receivable at the end of the accounting period. In addition any fees paid to Threadneedle Investment Services Limited in respect of stocklending are disclosed in Note 11. The fund invests in a sub-fund of Threadneedle Specialist Investment Funds ICVC, all transactions in respect of which are transacted with Threadneedle Investment Services Limited. Details of the investment are shown in the portfolio statement. The fund has received 126,000 (2014: 242,000) UK franked dividend distributions and 177,000 (2014: 259,000) Management fee rebate on collective investment scheme holdings. In addition this investment has produced a non-derivative security gain of 2,791,000 (2014: 1,759,000). All transactions have been entered into in the ordinary course of business on normal commercial terms. 10 SHAREHOLDER FUNDS Threadneedle Asia Fund currently has four share classes; Class 1, Class 2, Class X, and Class Z shares. The charges on each share class are as follows: Annual management charge Class 1 shares 1.50% Class 2 shares 1.00% Class X shares N/A* Class Z shares 0.75% Registration fees Class 1 shares 0.150% Class 2 shares 0.035% Class X shares 0.035% Class Z shares 0.110% The net asset value of each share class, the net asset value per share, and the number of shares in each class are given in the comparative table on page 257. The distribution per share class is given in the distribution table on pages 108 and 109. All classes have the same rights on winding up. *X Shares are not subject to an Annual Management Charge. 11 STOCKLENDING During the period under review the Threadneedle Asia Fund has earned Nil (2014: 21,000) of which Nil (2014: 2,000) was outstanding at year end. They have paid fees of Nil (2014: 3,000) to Threadneedle Investment Services Limited. In addition they have paid fees of Nil (2014: 3,000) to J.P. Morgan as the security lending agent to process these arrangements and hold the collateral. There was no stock on loan at the end of the accounting period (2014: 0.06m), and there was no collateral held (2014: 0.06m). The collateral was held as either securities transferred in CREST by a DBV (Delivery by ) or Gilt DBV, or in the form of overseas government bonds, supranational bonds or certificates of deposit. The nature and value of collateral held is analysed by asset class in the table below. Analysis of Collateral Held Total Total Bonds DERIVATIVES AND OTHER FINANCIAL INSTRUMENTS The analysis and tables provided below refer to the narrative disclosure on derivatives and other financial instruments risks on pages 8 and 9. Currency exposures A substantial proportion of the net assets of the fund are denominated in currencies other than Sterling, with the effect that the balance sheet and total return can be significantly affected by currency movements. Net foreign currency assets Non- Monetary exposures monetary exposures Total Currency 2015 Australian Dollar , ,226 Hong Kong Dollar 148, ,793 Indian Rupee (893) 42,257 41,364 Indonesian Rupiah 17,485 17,485 Malaysian Ringgit 7,480 7,480 Philippines Peso ,595 17,753 Singapore Dollar 12,365 12,365 South Korean Won ,389 61,021 Taiwan Dollar 31 59,776 59,807 Thai Baht 9,692 9,692 US Dollar 5,750 15,135 20,885 Currency 2014 Australian Dollar ,576 91,561 Hong Kong Dollar 119, ,030 Indian Rupee ,486 26,670 Indonesian Rupiah 7,840 7,840 Malaysian Ringgit 6,823 6,823 Philippines Peso 52 15,733 15,785 Singapore Dollar 320 9,544 9,864 South Korean Won 1,577 50,986 52,563 Taiwan Dollar 1,050 49,018 50,068 Thai Baht ,160 14,696 US Dollar 8,499 9,427 17,926 Interest rate risk profile of financial assets and financial liabilities The interest rate risk profile of the fund s financial assets and financial liabilities at 7 March 2015 was: Floating rate financial assets Fixed rate financial assets Financial assets not carrying interest Total Currency 2015 Australian Dollar 105, ,783 Hong Kong Dollar 150, ,426 Indian Rupee 42,567 42,567 Indonesian Rupiah 17,485 17,485 Malaysian Ringgit 7,480 7,480 Philippines Peso 17,753 17,753 Singapore Dollar 12,365 12,365 South Korean Won 61,021 61,021 Taiwan Dollar 31 59,776 59,807 Thai Baht 9,692 9,692 UK Sterling 41 22,024 22,065 US Dollar 3,003 18,745 21,

113 Threadneedle Asia Fund Notes to the financial statements Floating rate financial assets Fixed rate financial assets Financial assets not carrying interest Total Currency 2014 Australian Dollar 91,561 91,561 Hong Kong Dollar 119, ,030 Indian Rupee ,486 26,670 Indonesian Rupiah 7,840 7,840 Malaysian Ringgit 6,823 6,823 Philippines Peso 15,785 15,785 Singapore Dollar 9,864 9,864 South Korean Won 52,563 52,563 Taiwan Dollar 2,260 49,018 51,278 Thai Baht 14,696 14,696 UK Sterling 1,270 17,613 18,883 US Dollar 2,534 5,965 9,427 17,926 Floating rate financial liabilities Fixed rate financial liabilities Financial liabilities not carrying interest Total Currency 2015 Australian Dollar (557) (557) Hong Kong Dollar (1,633) (1,633) Indian Rupee (1,203) (1,203) UK Sterling (3,925) (3,925) US Dollar (863) (863) Currency 2014 Taiwan Dollar (1,210) (1,210) UK Sterling (3,442) (3,442) The floating rate financial assets include deposits which have a weighted average interest rate of 0.10% (2014: 0.04%). Other than equities which do not have maturity dates, non interest-bearing assets relate to forward foreign exchange contracts. Derivatives including forwards are used in this portfolio to take active positions in FX markets. Derivatives are employed when they are the cheapest and most efficient method of gaining exposure. This increases the risk profile of the fund and may result in a higher degree of volatility. All open positions are regularly reviewed by the fund manager. The fund has entered into various forward foreign exchange contracts during this accounting period. Such contracts commit the fund to future deliveries or receipts, typically three months forward, of assets and liabilities, at prices decided at the point of striking the contract. They therefore allow the fund manager to limit risk, or to enhance fund performance in return for the acceptance of greater risk. At 7 March 2015, the fund had outstanding forward foreign exchange contracts with an asset value of Nil (2014: Nil) and a liability value of 1,000 (2014: Nil). Cash balances are held in floating rate accounts where interest is calculated with reference to prevailing market rates. Fair value of financial assets and financial liabilities There is no material difference between the value of the financial assets and liabilities, as shown in the balance sheet, and their fair value. Sensitivity analysis Sensitivity or value at risk is not shown since the fund holds no derivatives that could impact the fund significantly. 14 PORTFOLIO TRANSACTION COSTS Analysis of total purchase costs Purchases in period before transaction costs 184, ,640 Commissions Taxes Fees 7 53 Total purchase costs Gross purchases total 185, ,119 Analysis of total sale costs Gross sales before transaction costs 165, ,734 Commissions (335) (593) Taxes (189) (28) Fees (27) (513) Total sale costs (551) (1,134) Total sales net of transaction costs 164, , CONTINGENT LIABILITIES AND COMMITMENTS There are no contingent liabilities and commitments outstanding (2014: Nil). 112

114 Threadneedle Latin America Fund Investment Report Investment Objective To achieve capital growth. Investment Policy The ACD s investment policy is to invest the assets of the Fund mainly in equities of companies domiciled in Latin America or which have significant Latin American operations and it may further invest in fixed income securities such as sovereign and corporate Latin American debt, other equities and money market securities. Performance of Net Accumulation Class 1 Shares* Over the twelve months to 7 March 2015, the published share price of the Threadneedle Latin America Fund has fallen from p to p. Looking at the sterling performance within its peer group, the total return on the fund for the twelve months ending 28 February 2015, including net reinvested income, is -2.72%. (For information the MSCI 10/40 Latin America Index returned +1.15% over the same period). Portfolio Activity Latin American equity markets generated negative returns over the period in review, mainly driven by currency depreciation. In fact, with the exception of Colombia, all the markets in MSCI Latin America (Brazil, Mexico, Chile and Peru) had positive performance when measured in local-currency terms. The worst-performing currency was the Brazilian real, followed by the Colombian peso and the Mexican peso. Brazil was volatile overall. The country s market rallied on hopes of political change in the first half of the period under review, but the incumbent candidate ultimately prevailed in the second round of the presidential election on 26 October. Following the election, Brazil s performance was negatively affected by the Petrobras corruption scandal and fears that the current policy mix will lead the country to lose its investmentgrade status. Mexico was the best-performing market in the period under review when measured in local-currency terms. The country benefited from its proximity to the US, a competitive manufacturing sector and early signs of economic recovery after two disappointing years. After a solid performance in the first six months under review, Colombia s market declined significantly as the oil price fell. Oil accounts for 22 the country s fiscal revenue. Stock selection in Chile, Colombia and Peru added value to the fund, but detracted in Brazil and Mexico. We continued to maintain a concentrated portfolio of highconviction ideas during the reporting period. In Brazil we reduced exposure to Petrobras due to the election outcome, the corruption scandal and the decline in the oil price. We also slimmed our holding in Vale because of declining iron ore prices. We are still cautious with regulated sectors in Brazil, notably telecoms and utilities, where we are not invested. The utilities sector is also suffering from poor hydro conditions in Brazil. Even though the macro outlook in Brazil is challenging, we maintain exposure to sectors such as IT and insurance that can generate strong growth in a low GDPgrowth environment. We maintain exposure to more resilient and less credit-dependent areas in the consumer sector, such as supermarkets, low-ticket items and medicine. In Mexico, we maintained our overweight position, adding to companies with more gearing to a pick-up in economic activity and consumption. We continue to like Mexico s manufacturing sector, where we gain exposure through industrial real-estate company Vesta. We slightly reduced our exposure to Colombian banks, which have suffered due to falling oil prices and an increase in the corporate-tax rate. We are still positive on the long-term prospects of Colombia s banking industry. We increased our exposure to Chile, where we see a potential pick-up in economic activity and normalisation of the political situation. At the sector level, the fund reduced its exposure to energy and materials and increased its position in financials. Within consumer staples, the fund owns food & beverage businesses where domestic demand has proved to be robust even in periods when economic growth loses momentum. Within the materials sector, the fund retains exposure to copper and cement. STATEMENT OF TOTAL RETURN for the accounting period 8 March 2014 to 7 March 2015 Notes Income Net capital losses 2 (28,403) (264,327) 3 13,338 18,601 Expenses 4 (6,484) (9,352) Net revenue before taxation 6,854 9,249 Taxation 5 (1,972) (1,996) Net revenue after taxation 4,882 7,253 Total return before distributions (23,521) (257,074) Finance costs: s 6 (5,700) (7,253) Change in net assets attributable to shareholders from investment activities (29,221) (264,327) BALANCE SHEET as at 7 March 2015 Notes Assets Investment assets 403, ,703 Other assets Debtors 7 1,761 7,856 Cash and bank balances 17,392 20,808 Total other assets 19,153 28,664 Total assets 422, ,367 Liabilities Derivative liabilities (4) Other liabilities Creditors 8 (6,848) (9,530) Bank overdrafts (487) Total other liabilities (7,335) (9,530) Total liabilities (7,339) (9,530) Net assets attributable to shareholders 414, ,837 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 8 March 2014 to 7 March 2015 Opening net assets attributable to shareholders 527, ,782 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 57,202 25,623 Amounts payable on the cancellation of shares (146,820) (155,493) (89,618) (129,870) Dilution adjustment 155 Stamp duty reserve tax (1) Change in net assets attributable to shareholders from investment activities (see statement of total return above) (29,221) (264,327) Retained distribution on accumulation shares 5,700 7,253 Closing net assets attributable to shareholders 414, ,837 DISTRIBUTION TABLE for the accounting period 8 March 2014 to 7 March 2015 Dividend distribution in pence per share Class 1 Shares Net Accumulation Net Net Net Accumulated Accumulated Group 1 08/03/14 to 07/03/ Total distributions in the period Class 2 Shares Net Accumulation Net Net Net Accumulated Accumulated Group 1 08/03/14 to 07/03/ Total distributions in the period *In pound Sterling and against UK peer group. Please refer to pages for comparative tables. 113

115 Threadneedle Latin America Fund DISTRIBUTION TABLE Class X Shares Net Accumulation Net Net Net Accumulated Accumulated Group 1 08/03/14 to 07/03/ Total distributions in the period Class Z Shares Net Accumulation Net Net Net Accumulated Accumulated Group 1 08/03/14 to 07/03/ Total distributions in the period

116 Threadneedle Latin America Fund Notes to the financial statements for the accounting period 8 March 2014 to 7 March ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 6. 2 NET CAPITAL LOSSES Net capital losses during the period comprise: Non-derivative securities (29,543) (262,263) Forward currency contracts 33 5 Other gains/(losses) 1,113 (2,021) Transaction costs (6) (48) Net capital losses (28,403) (264,327) 3 REVENUE Overseas dividends 13,326 18,574 Interest on short term investments 8 7 Bank interest 4 4 Stocklending commission 16 Total revenue 13,338 18,601 4 EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Annual management charge (5,862) (8,175) Registration fees (368) (544) (6,230) (8,719) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary s fees (45) (24) Safe custody fees (109) (254) collection expenses (76) (342) (230) (620) Other expenses: Regulatory fee (15) (6) Audit fee (9) (7) (24) (13) * Total expenses (6,484) (9,352) *Including irrecoverable VAT where applicable. 5 TAXATION a) Analysis of charge in period Overseas taxes (1,218) (1,996) Total current tax (note 5b) (1,218) (1,996) Capital gains tax (note 5c) (754) Total tax charge for the period (1,972) (1,996) b) Factors affecting taxation charge for period Net revenue before taxation 6,854 9,249 Net revenue before taxation multiplied by the standard rate of corporation tax of 20% (1,371) (1,850) Effects of: not subject to taxation 1,437 3,715 Overseas taxes (1,218) (1,996) Excess expenses (53) (1,865) Retail Review (RDR) conversion transfer from capital (13) Current tax charge for period (note 5a) (1,218) (1,996) c) Capital gains tax Capital gains tax charge in statement of total return for period (note 5a) (754) Capital gains tax paid in year 1 Provision at end of period (753) The fund has not recognised a deferred tax asset of 11,239,359 (2014: 11,186,095) arising as a result of having unutilised management expenses. It is unlikely that these expenses will be utilised in future years. 6 FINANCE COSTS s Final 5,700 7,253 Net distribution for the period 5,700 7,253 Total finance costs 5,700 7,253 Net revenue after taxation 4,882 7,253 Equalisation on conversion 65 Capital gains tax 753 Net distribution for the period 5,700 7,253 Details of the distribution per share are set out in the table on pages 113 and DEBTORS Amounts receivable for the issue of shares 2 96 Sales awaiting settlement 542 5,897 Accrued revenue 1,217 1,859 Foreign withholding tax recoverable 4 Total debtors 1,761 7,856 8 CREDITORS Amounts payable for the cancellation of shares (1,595) (2,367) Purchases awaiting settlement (2,063) (4,703) Accrued expenses (34) (49) Amounts payable to ACD (493) (501) Corporation tax payable (1,910) (1,910) Capital gains tax provision (753) Total creditors (6,848) (9,530) 115

117 Threadneedle Latin America Fund Notes to the financial statements 9 RELATED PARTY TRANSACTIONS The related parties are set out in detail in Note 8 of the aggregated financial statements on page 7. The aggregate monies received through issues and paid on cancellations are disclosed in the Statement of Change in s Attributable to Shareholders. Any amounts due to or from Threadneedle Investment Services Limited at the end of the accounting period are disclosed in Notes 7 and 8. Amounts payable to Threadneedle Investment Services Limited in respect of fund management and registration services are disclosed in Note 4 and amounts outstanding at the year end in Note 8. In addition any fees paid to Threadneedle Investment Services Limited in respect of stocklending are disclosed in Note 11. All transactions have been entered into in the ordinary course of business on normal commercial terms. 10 SHAREHOLDER FUNDS Threadneedle Latin America Fund currently has four share classes; Class 1, Class 2, Class X, and Class Z shares. The charges on each share class are as follows: Annual management charge Class 1 shares 1.50% Class 2 shares 1.00% Class X shares N/A* Class Z shares 0.75% Registration fees Class 1 shares 0.150% Class 2 shares 0.035% Class X shares 0.035% Class Z shares 0.110% The net asset value of each share class, the net asset value per share, and the number of shares in each class are given in the comparative table on page 258. The distribution per share class is given in the distribution table on pages 113 and 114. All classes have the same rights on winding up. *X Shares are not subject to an Annual Management Charge. 11 STOCKLENDING During the period under review the Threadneedle Latin America Fund has earned Nil (2014: 23,000) of which Nil (2014: 2,000) was outstanding at year end. They have paid fees of Nil (2014: 3,000) to Threadneedle Investment Services Limited. In addition they have paid fees of Nil (2014: 4,000) to J.P. Morgan as the security lending agent to process these arrangements and hold the collateral. There was no stock on loan at the end of the accounting period (2014: 0.56m), and there was no collateral held (2014: 0.59m). The collateral was held as either securities transferred in CREST by a DBV (Delivery by ) or Gilt DBV, or in the form of overseas government bonds, supranational bonds or certificates of deposit. The nature and value of collateral held is analysed by asset class in the table below. Analysis of Collateral Held Total Total Bonds DERIVATIVES AND OTHER FINANCIAL INSTRUMENTS The analysis and tables provided below refer to the narrative disclosure on derivatives and other financial instruments risks on pages 8 and 9. Currency exposures A substantial proportion of the net assets of the fund are denominated in currencies other than Sterling, with the effect that the balance sheet and total return can be significantly affected by currency movements. Net foreign currency assets Non- Monetary exposures monetary exposures Total Currency 2015 Brazilian Real , ,825 Chilean Peso (1,945) 7,442 5,497 Colombian Peso 542 1,444 1,986 Mexican Peso 2 69,240 69,242 US Dollar 16, , ,345 Currency 2014 Brazilian Real , ,954 Canadian Dollar 7,835 7,835 Chilean Peso 18,675 18,675 Mexican Peso 4 97,251 97,255 US Dollar 21, , ,184 Interest rate risk profile of financial assets and financial liabilities The interest rate risk profile of the fund s financial assets and financial liabilities at 7 March 2015 was: Floating rate financial assets Fixed rate financial assets Financial assets not carrying interest Total Currency 2015 Brazilian Real , ,825 Chilean Peso 7,442 7,442 Colombian Peso 1,986 1,986 Mexican Peso 1 69,241 69,242 UK Sterling 629 2,114 2,743 US Dollar 16, , ,943 Currency 2014 Brazilian Real 103, ,099 Canadian Dollar 7,835 7,835 Chilean Peso 18,675 18,675 Mexican Peso 1,461 99, ,812 UK Sterling 2, ,761 US Dollar , , ,636 Floating rate financial liabilities Fixed rate financial liabilities Financial liabilities not carrying interest Total Currency 2015 Chilean Peso (487) (1,458) (1,945) UK Sterling (4,785) (4,785) US Dollar (1,598) (1,598) Currency 2014 Brazilian Real (1,145) (1,145) Mexican Peso (3,557) (3,557) UK Sterling (4,827) (4,827) US Dollar (452) (452) The floating rate financial assets include deposits which have a weighted average interest rate of 0.08% (2014: 0.03%). Other than equities which do not have maturity dates, non interest-bearing assets relate to forward foreign exchange contracts. Derivatives including forwardsare used in this portfolio to take active positions in FX markets. Derivatives are employed when they are the cheapest and most efficient method of gaining exposure. This increases the risk profile of the fund and may result in a higher degree of volatility. All open positions are regularly reviewed by the fund manager. The fund has entered into various forward foreign exchange contracts during this accounting period. Such contracts commit the fund to future deliveries or receipts, typically three months forward, of assets and liabilities, at prices decided at the point of striking the contract. They therefore allow the fund manager to limit risk, or to enhance fund performance in return for the acceptance of greater risk. At 7 March 2015, the fund had outstanding forward foreign exchange contracts with an asset value of Nil (2014: 2,000) and a liability value of 4,000 (2014: Nil). 116

118 Threadneedle Latin America Fund Notes to the financial statements Cash balances are held in floating rate accounts where interest is calculated with reference to prevailing market rates. Fair value of financial assets and financial liabilities There is no material difference between the value of the financial assets and liabilities, as shown in the balance sheet, and their fair value. Sensitivity analysis Sensitivity or value at risk is not shown since the fund holds no derivatives that could impact the fund significantly. 13 CONTINGENT LIABILITIES AND COMMITMENTS There are no contingent liabilities and commitments outstanding (2014: Nil). 14 PORTFOLIO TRANSACTION COSTS Analysis of total purchase costs Purchases in period before transaction costs 219, ,226 Commissions Total purchase costs Gross purchases total 219, ,668 Analysis of total sale costs Gross sales before transaction costs 296, ,765 Commissions (544) (695) Taxes (4) Total sale costs (548) (695) Total sales net of transaction costs 295, ,

119 Threadneedle Emerging Market Bond Fund Investment Report Investment Objective To achieve a total return primarily by way of income with some capital growth. Investment Policy The ACD s investment policy is to invest the assets of the Fund primarily in high yielding public sector sovereign and corporate bonds issued by emerging market borrowers. Emerging Market countries are those characterised as developing or emerging by either the World Bank, the United Nations or the JPMorgan Global Diversified Emerging Market Bond Index. If the ACD considers it desirable it may further invest up to one third of the total assets of the Fund in other fixed interest securities, including bonds issued by countries making up the G7, deposits, cash and near cash. In addition, the ACD may use derivatives (including currency, interest rate and credit default swaps) and forward transactions for purposes that are limited to EPM techniques. Performance of Net Income Class 1 Shares* Over the twelve months to 7 March 2015, the published share price of the Threadneedle Emerging Market Bond Fund has risen from 54.28p to 57.74p. The sterling total return on the fund for the twelve months ending 28 February 2015, including net reinvested income, is %. The fund return equates approximately to % gross of tax and charges**. (For information the JP Morgan Emerging Market Bonds Global Index gave a total return of % for the same period). Portfolio Activity Emerging-market (EM) bonds performed well early in the period, with spreads tightening until the summer months. From July onwards, however, spreads widened on the back of geopolitical events, such as escalating tensions in Ukraine following President Putin s attempt to absorb Crimea into the Russian Federation, and a renewed conflict between Israel and Palestine. Another notable event was Argentina s default on its bond obligations, in late July. Throughout the period, government elections took place across EM countries, leading to some market-friendly outcomes, such as the presidential election of Joko Widodo in Indonesia (July), and the prime ministerial election of Narendra Modi in India (May). Elsewhere, Brazil s presidential campaign in October prompted volatility for the country s bonds and currency, as the market appeared to look more favourably on the right-of-centre candidate Aecio Neves (who was narrowly defeated). In the fourth quarter of 2014, the oil price fell sharply and US Treasury yields continued to be low, supported by the disinflationary effect of lower prices. The calendar year closed on a volatile note due to the falling oil price and some idiosyncratic market themes including the Petrobras scandal in Brazil, the prosecution of corruption cases in China, and the plummeting Russian rouble. In January 2015, Russia was downgraded to junk status by ratings agency Standard & Poor s having spent more than a decade as an investment-grade country. During the period, we participated in a new issue from Hungary, as we were increasingly optimistic about the country s falling debt levels and its commitment to fiscal discipline. As Argentina s default loomed, we sold our positions in Argentine local-currency-denominated bonds. In addition, we added some attractive issues in Ivory Coast and Senegal. Towards the end of the period, we added to our overweight position in Turkey on the back of weak energy prices, which should push Turkey s inflation lower, provide support for growth and also help country to shrink its current-account deficit. Finally, we bought a new issue in Tunisia, as the bonds were priced very cheaply and we believe that they offer a lot of value compared with those of regional peers such as Morocco and Kenya. Overall, we expect to see divergent performance between countries importing and exporting oil, as low oil prices become the new normal. Although investors expect the US Federal Reserve to raise rates this year, there are signs that central banks in Europe, Japan and an increasing number of EM could embark on further monetary policy easing. Indeed, the European Central Bank recently committed to a programme of quantitative easing. It is therefore likely that EM currencies will remain under pressure and that the dollar will continue to be strong. A rebound in oil, or in commodity prices in general, could possibly provide a relief rally for several EM countries. STATEMENT OF TOTAL RETURN for the accounting period 8 March 2014 to 7 March 2015 Notes Income Net capital gains/(losses) 2 17,713 (137,017) 3 15,229 30,531 Expenses 4 (3,394) (8,583) Finance costs: Derivative expense 6 (352) (84) Interest 6 (2) (1) Net revenue before taxation 11,481 21,863 Taxation 5 Net revenue after taxation 11,481 21,863 Total return before distributions 29,194 (115,154) Finance costs: s 6 (14,496) (29,504) Change in net assets attributable to shareholders from investment activities 14,698 (144,658) BALANCE SHEET as at 7 March 2015 Notes Assets Investment assets 220, ,954 Other assets Debtors 7 4,051 4,699 Cash and bank balances 8 10,638 13,550 Total other assets 14,689 18,249 Total assets 235, ,203 Liabilities Derivative liabilities (260) (131) Other liabilities Creditors 9 (2,206) (2,293) Bank overdrafts 8 (1,166) (129) payable on income shares (4,584) (5,427) Total other liabilities (7,956) (7,849) Total liabilities (8,216) (7,980) Net assets attributable to shareholders 227, ,223 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 8 March 2014 to 7 March 2015 Opening net assets attributable to shareholders 257,223 1,012,718 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 70,985 67,542 Amounts payable on the cancellation of shares (119,223) (685,751) (48,239) (618,209) Dilution adjustment 245 4,130 Change in net assets attributable to shareholders from investment activities (see statement of total return above) 14,698 (144,658) Retained distribution on accumulation shares 3,524 3,241 Unclaimed distributions monies brought back into account 1 1 Closing net assets attributable to shareholders 227, ,223 *In pound Sterling and against UK peer group. **Gross performance is calculated in Factset using daily cash flows and daily global close valuations. Please refer to pages for comparative tables. DISTRIBUTION TABLE for the accounting period 8 March 2014 to 7 March 2015 Interest distribution in pence per share Class 1 Shares Net Income Gross Income Tax Net Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/09/ /09/14 to 07/03/ Group 2 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period Class 1 Shares Gross Income Gross Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/09/ /09/14 to 07/03/ Group 2 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period

120 Threadneedle Emerging Market Bond Fund DISTRIBUTION TABLE Class 1 Shares Gross Accumulation Gross Gross Gross Equalisation Accumulated Accumulated Group 1 08/03/14 to 07/09/ /09/14 to 07/03/ Group 2 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period Class 2 Shares Net Income Gross Income Tax Net Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/09/ /09/14 to 07/03/ Group 2 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period Class 2 Shares Gross Accumulation Gross Gross Gross Equalisation Accumulated Accumulated Group 1 08/03/14 to 07/09/ /09/14 to 07/03/ Group 2 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period Class X Shares Gross Income* Gross Equalisation Paid/Payable 2014/2015 Group 1 28/07/14 to 07/09/ /09/14 to 07/03/ Group 2 28/07/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period Class X Shares Gross Accumulation Gross Gross Gross Equalisation Accumulated Accumulated Group 1 08/03/14 to 07/09/ /09/14 to 07/03/ Group 2 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period Class Z Shares Net Income Gross Income Tax Net Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/09/ /09/14 to 07/03/ Group 2 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period Class Z Shares Gross Income Gross Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/09/ /09/14 to 07/03/ Group 2 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period Class Z Shares Gross Accumulation Gross Gross Gross Equalisation Accumulated Accumulated Group 1 08/03/14 to 07/09/ /09/14 to 07/03/ Group 2 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period Group 2: shares purchased during a distribution period *Class X Gross income shares commenced 28 July

121 Threadneedle Emerging Market Bond Fund Notes to the financial statements for the accounting period 8 March 2014 to 7 March ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 6. 2 NET CAPITAL GAINS/(LOSSES) Net capital gains/(losses) during the period comprise: Non-derivative securities 15,723 (132,836) Derivative contracts (697) (506) Forward currency contracts 2,380 (716) Other gains/(losses) 311 (2,935) Transaction costs (4) (24) Net capital gains/(losses) 17,713 (137,017) 3 REVENUE Interest on debt securities 15,197 30,395 Interest on short term investments 2 9 Bank interest 4 6 Stocklending commission Total revenue 15,229 30,531 4 EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Annual management charge (3,013) (7,645) Registration fees (307) (806) (3,320) (8,451) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary s fees (22) (22) Safe custody fees (21) (90) collection expenses (6) (49) (112) Other expenses: Regulatory fee (7) (6) Audit fee (17) (14) Professional fees (1) (25) (20) * Total expenses (3,394) (8,583) *Including irrecoverable VAT where applicable. 5 TAXATION a) Analysis of charge in period Total current tax (note 5b) Total tax charge for the period b) Factors affecting taxation charge for period Net revenue before taxation 11,481 21,863 Net revenue before taxation multiplied by the standard rate of corporation tax of 20% (2,296) (4,373) Effects of: Excess expenses 2,296 (1,529) s treated as tax deductible 5,902 Current tax charge for period (note 5a) The fund has not recognised a deferred tax asset of 8,446,229 (2014: 10,742,892) arising as a result of having unutilised management expenses. Interest distributions have been made in respect of all distributions during the period. Income tax at 20% on net share classes will be accounted for on shareholders behalf to HM & Customs FINANCE COSTS s and Interest The distribution takes account of revenue received on the creation of shares and revenue deducted on the cancellation of shares and comprises: Interim 6,824 9,956 Final 6,950 7,523 13,774 17,479 Add: deducted on cancellation of shares 1,645 12,247 Deduct: received on creation of shares (923) (222) Net distribution for the period 14,496 29,504 Derivative expense Interest 2 1 Total finance costs 14,850 29,589 Net revenue after taxation 11,481 21,863 Annual management charge to capital 3,013 7,645 Equalisation on conversion 2 (4) Net distribution for the period 14,496 29,504 Details of the distribution per share are set out in the table on pages 118 and DEBTORS Amounts receivable for the issue of shares Accrued revenue 3,523 3,910 Total debtors 4,051 4,699 8 CASH AND BANK BALANCES Amounts held at futures clearing houses and brokers 1, Cash and bank balances 9,187 13,301 10,638 13,550 Bank overdrafts (1,166) (129) Total cash and bank balances 9,472 13,421 9 CREDITORS Amounts payable for the cancellation of shares (897) (1,281) Purchases awaiting settlement (511) Accrued expenses (16) (22) Amounts payable to ACD (295) (294) Income tax payable (487) (696) Total creditors (2,206) (2,293) 10 RELATED PARTY TRANSACTIONS The related parties are set out in detail in Note 8 of the aggregated financial statements on page 7. The aggregate monies received through issues and paid on cancellations are disclosed in the Statement of Change in s Attributable to Shareholders. Any amounts due to or from Threadneedle Investment Services Limited at the end of the accounting period are disclosed in Notes 7 and 9. Amounts payable to Threadneedle Investment Services Limited in respect of fund management and registration services are disclosed in Note 4 and amounts outstanding at the year end in Note 9. In addition any fees paid to Threadneedle Investment Services Limited in respect of stocklending are disclosed in Note 12. All transactions have been entered into in the ordinary course of business on normal commercial terms.

122 Threadneedle Emerging Market Bond Fund Notes to the financial statements 11 SHAREHOLDER FUNDS Threadneedle Emerging Market Bond Fund currently has four share classes; Class 1, Class 2, Class X, and Class Z shares. The charges on each share class are as follows: Annual management charge Class 1 shares 1.50% Class 2 shares 1.00% Class X shares N/A* Class Z shares 0.60% Registration fees Class 1 shares 0.150% Class 2 shares 0.035% Class X shares 0.035% Class Z shares 0.110% The net asset value of each share class, the net asset value per share, and the number of shares in each class are given in the comparative table on page 259. The distribution per share class is given in the distribution table on pages 118 and 119. All classes have the same rights on winding up. *X Shares are not subject to an Annual Management Charge. 12 STOCKLENDING During the period under review the Threadneedle Emerging Market Bond Fund has earned 26,000 (2014: 170,000) of which Nil (2014: 15,000) was outstanding at year end. They have paid fees of Nil (2014: 24,000) of which Nil (2014: 2,000) was outstanding at the year end to Threadneedle Investment Services Limited. In addition they have paid fees of Nil (2014: 25,000) of which Nil (2014: 2,000) was outstanding at the year end to J.P. Morgan as the security lending agent to process these arrangements and hold the collateral. There was no stock on loan at the end of the accounting period (2014: 32.9m), and there was no collateral held (2014: 34.74m). The collateral was held as either securities transferred in CREST by a DBV (Delivery by ) or Gilt DBV, or in the form of overseas government bonds, supranational bonds or certificates of deposit. The nature and value of collateral held is analysed by asset class in the table below. Analysis of Collateral Held Total Total Bonds 34, , DERIVATIVES AND OTHER FINANCIAL INSTRUMENTS The analysis and tables provided below refer to the narrative disclosure on derivatives and other financial instruments risks on pages 8 and 9. Currency exposures A substantial proportion of the net assets of the fund are denominated in currencies other than Sterling, with the effect that the balance sheet and total return can be significantly affected by currency movements. Net foreign currency assets Non- Monetary exposures monetary exposures Total Currency 2015 Brazilian Real 3,349 3,349 Colombian Peso 208 (82) 126 Dominican Peso 23 2,196 2,219 Euro (1,123) (1,123) Indonesian Rupiah 116 3,776 3,892 Mexican Peso 86 7,004 7,090 Peruvian Nuevo Sol ,048 Romanian Leu 8 8 Russian Ruble Serbian Dinar 1 1,129 1,130 Turkish Lira ,022 Uruguayan Peso Uruguayo 52 2,531 2,583 US Dollar 9, , ,454 Currency 2014 Brazilian Real 86 6,387 6,473 Dominican Peso 23 1,895 1,918 Egyptian Pound 3 3 Euro 1 1 Mexican Peso 127 8,155 8,282 Romanian Leu 9 9 Russian Ruble 31 (328) (297) Uruguayan Peso Uruguayo 101 4,910 5,011 US Dollar 15, , ,601 Interest rate risk profile of financial assets and financial liabilities The interest rate risk profile of the fund s financial assets and financial liabilities at 7 March 2015 was: Floating rate financial assets Fixed rate financial assets Financial assets not carrying interest Total Currency 2015 Brazilian Real 3,349 3,349 Colombian Peso 4,522 1,311 5,833 Dominican Peso 2, ,219 Indonesian Rupiah 3, ,892 Mexican Peso 7, ,090 Peruvian Nuevo Sol ,048 Romanian Leu 8 8 Russian Ruble 1, ,861 Serbian Dinar 1, ,130 Turkish Lira ,022 UK Sterling 1,815 3,232 5,047 Uruguayan Peso Uruguayo 2, ,583 US Dollar 13, ,705 16, ,924 Currency 2014 Brazilian Real 6, ,473 Dominican Peso 1, ,918 Egyptian Pound 3 3 Euro 1 1 Mexican Peso 8, ,282 Romanian Leu 9 9 Russian Ruble 5, ,318 UK Sterling 1, ,405 Uruguayan Peso Uruguayo 4, ,011 US Dollar 2, ,806 3, ,730 Floating rate financial liabilities Fixed rate financial liabilities Financial liabilities not carrying interest Total Currency 2015 Colombian Peso (5,707) (5,707) Euro (1,123) (1,123) Russian Ruble (1,721) (1,721) UK Sterling (10,532) (10,532) US Dollar (1,166) (4,304) (5,470) Currency 2014 Russian Ruble (5,615) (5,615) UK Sterling (463) (7,720) (8,183) US Dollar (129) (129) 121

123 Threadneedle Emerging Market Bond Fund Notes to the financial statements Fixed rate financial assets Weighted average interest rate % % Fixed rate financial assets Weighted average period for which rate is fixed years years Non interest bearing assets Weighted average period years years Brazilian Real Colombian Peso Dominican Peso Indonesian Rupiah Mexican Peso Peruvian Nuevo Sol Russian Ruble Serbian Dinar 10 Turkish Lira 9 Uruguayan Peso Uruguayo US Dollar The floating rate financial assets include deposits which have a weighted average interest rate of 0.08% (2014: 0.08%). Non interest-bearing assets relate to forward foreign exchange contracts and futures. Derivatives including forwards and futures are used in this portfolio to take active positions in FX markets and interest rate markets. Derivatives are employed when they are the cheapest and most efficient method of gaining exposure. This increases the risk profile of the fund and may result in a higher degree of volatility. All open positions are regularly reviewed by the fund manager. The fund has entered into various forward foreign exchange contracts and futures during this accounting period. Such contracts commit the fund to future deliveries or receipts, typically three months forward, of assets and liabilities, at prices decided at the point of striking the contract. They therefore allow the fund manager to limit risk, or to enhance fund performance in return for the acceptance of greater risk. At 7 March 2015, the fund had open forward foreign exchange contracts and futures with an asset value of 593,000 (2014: 700,000) and a liability value of 260,000 (2014: 131,000). The fund s floating rate investments earn interest which is variable, based on LIBOR or its overseas equivalent. Cash balances are held in floating rate accounts where interest is calculated with reference to prevailing market rates. Fair value of financial assets and financial liabilities There is no material difference between the value of the financial assets and liabilities, as shown in the balance sheet, and their fair value. Sensitivity analysis Sensitivity or value at risk is not shown since the fund holds no derivatives that could impact the fund significantly. 14 CONTINGENT LIABILITIES AND COMMITMENTS There are no contingent liabilities and commitments outstanding (2014: Nil). 15 PORTFOLIO TRANSACTION COSTS The purchases and sales are not subject to portfolio transaction costs. The total cost of purchases during the period was 107,681,217 (2014: 387,557,577) and proceeds received from sales were 149,543,642 (2014: 975,544,303). 122

124 Threadneedle High Yield Bond Fund Investment Report Investment Objective To achieve a higher level of income. Income will be paid monthly. Investment Policy The ACD s investment policy is to invest the assets of the Fund principally in higher risk UK and international fixed interest securities. It may also invest in equities. Performance of Net Income Class 1 Shares* Over the twelve months to 7 March 2015, the published share price of the Threadneedle High Yield Bond Fund has fallen from 44.86p to 44.38p. The total return on the fund for the twelve months ending 28 February 2015, including net reinvested income, is +4.09%, which equates approximately +6.40% gross of tax and charges**. (For information the ML European High Yield 3% constrained ex sub-financials (100% UK Sterling Hedged) Index gave a total return of +6.11% for the same period). Portfolio Activity The early part of the period under review saw modest spread tightening in high-yield markets. This trend reversed over the summer months, as high-yield credit spreads widened and volatility returned to the market. This was mainly driven by geopolitical tensions in Russia and Ukraine and the default of Banco Espirito Santo, the Portuguese bank. In the final three months of 2014, both European and US high-yield spreads widened as the oil price fell sharply. However, the European market held up better than the US, due to the latter s large exposure to the energy sector. From the turn of the year to date, global and European high-yield markets were buoyed by increased risk appetite. Investors fears over geopolitical events in Greece and Ukraine abated, while a stabilisation in the price of oil lent additional support to markets. February marked 2015 s first European high-yield default, as Towergate agreed a debt restructuring led by subordinated bondholders. We had no exposure to these bonds in our portfolios. We selectively participated in new issues during the period under review, including the large and long-expected issue from Italian telecom Wind Telecom. A notable market event was the financing for Numericable/Altice s acquisition of SFR, one of the largest ever European highyield deals. We participated in both issues (Numericable and Altice). Meanwhile, we built our exposure to European telecoms and media names due to our positive view on the potential for consolidation in these sectors. We were also very active in financials new issues, a sector that has been an important contributor to relative returns. Latterly, we took positions in companies where the refinancing of existing issues was called or tendered, for example Unity, Jaguar Land Rover and Viridian. In the secondary market, we invested in Pizza Express, and reduced our holding in HeidelbergCement. Recent economic data indicate an improvement in global growth, a trend we expect to continue. These improving economic fundamentals, in tandem with the European Central Bank s quantitative easing programme, should provide support to high-yield markets. We expect European sovereign yields to remain low in the short term, anchored by the disinflationary state of the global economy and recent fresh injections of liquidity by the central bank. In the long- to-medium term, we expect yields to rise as expectations for growth and inflation improve. Looking ahead, credit selection is likely to be an increasingly important driver of returns in Overall, high-yield credit fundamentals remain intact, while the outlook for default rates appears to be benign. Encouragingly, leveraged buyout activity has been limited, with issuance largely driven by companies undertaking mergers and acquisitions. STATEMENT OF TOTAL RETURN for the accounting period 8 March 2014 to 7 March 2015 Notes Income Net capital gains 2 1,853 26, ,178 58,615 Expenses 4 (8,587) (9,377) Finance costs: Interest 6 (21) (1) Net revenue before taxation 42,570 49,237 Taxation 5 Net revenue after taxation 42,570 49,237 Total return before distributions 44,423 75,671 Finance costs: s 6 (50,175) (57,641) Change in net assets attributable to shareholders from investment activities (5,752) 18,030 BALANCE SHEET as at 7 March 2015 Notes Assets Investment assets 769, ,207 Other assets Debtors 7 16,322 22,530 Cash and bank balances 6,350 24,869 Total other assets 22,672 47,399 Total assets 792, ,606 Liabilities Derivative liabilities (732) (4,290) Other liabilities Creditors 8 (8,002) (22,203) payable on income shares (2,417) (2,757) Total other liabilities (10,419) (24,960) Total liabilities (11,151) (29,250) Net assets attributable to shareholders 781, ,356 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 8 March 2014 to 7 March 2015 Opening net assets attributable to shareholders 818, ,987 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 163, ,440 Amounts payable on the cancellation of shares (204,300) (162,928) Amounts payable on inspecie transfers (42,543) (41,136) (47,031) Dilution adjustment 324 Change in net assets attributable to shareholders from investment activities (see statement of total return above) (5,752) 18,030 Retained distribution on accumulation shares 9,546 11,364 Unclaimed distributions monies brought back into account 10 6 Closing net assets attributable to shareholders 781, ,356 DISTRIBUTION TABLE for the accounting period 8 March 2014 to 7 March 2015 Interest distribution in pence per share Class 1 Shares Net Income Gross Income Tax Net Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/04/ /04/14 to 07/05/ /05/14 to 07/06/ /06/14 to 07/07/ /07/14 to 07/08/ /08/14 to 07/09/ /09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ *In pound Sterling and against UK peer group. **Gross performance is calculated in Factset using daily cash flows and daily global close valuations. Please refer to pages for comparative tables. 123

125 Threadneedle High Yield Bond Fund DISTRIBUTION TABLE Class 1 Shares Net Income Gross Income Tax Net Equalisation Paid/Payable Paid Group 2 08/03/14 to 07/04/ /04/14 to 07/05/ /05/14 to 07/06/ /06/14 to 07/07/ /07/14 to 07/08/ /08/14 to 07/09/ /09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ Total distributions in the period Class 1 Shares Gross Income Gross Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/04/ /04/14 to 07/05/ /05/14 to 07/06/ /06/14 to 07/07/ /07/14 to 07/08/ /08/14 to 07/09/ /09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ Group 2 08/03/14 to 07/04/ /04/14 to 07/05/ /05/14 to 07/06/ /06/14 to 07/07/ /07/14 to 07/08/ /08/14 to 07/09/ /09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ Total distributions in the period Class 1 USD Hedged Shares Gross Income** Gross Equalisation Paid/Payable 2014/2015 Group 1 11/09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ Group 2 11/09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ Total distributions in the period Class 2 Shares Net Income Gross Income Tax Net Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/04/ /04/14 to 07/05/ /05/14 to 07/06/ /06/14 to 07/07/ /07/14 to 07/08/ /08/14 to 07/09/ /09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ Group 2 08/03/14 to 07/04/ /04/14 to 07/05/ /05/14 to 07/06/ /06/14 to 07/07/ /07/14 to 07/08/ /08/14 to 07/09/ /09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ Total distributions in the period Class 2 Shares Gross Income Gross Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/04/ /04/14 to 07/05/ /05/14 to 07/06/ /06/14 to 07/07/ /07/14 to 07/08/ /08/14 to 07/09/ /09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ Group 2 08/03/14 to 07/04/ /04/14 to 07/05/ /05/14 to 07/06/ /06/14 to 07/07/ /07/14 to 07/08/ /08/14 to 07/09/ /09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ Total distributions in the period Class 2 Shares Gross Accumulation Gross Gross Gross Equalisation Accumulated Accumulated Group 1 08/03/14 to 07/04/ /04/14 to 07/05/ /05/14 to 07/06/ /06/14 to 07/07/ /07/14 to 07/08/ /08/14 to 07/09/ /09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ Group 2 08/03/14 to 07/04/ /04/14 to 07/05/ /05/14 to 07/06/ /06/14 to 07/07/ /07/14 to 07/08/ /08/14 to 07/09/ /09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ Total distributions in the period

126 Threadneedle High Yield Bond Fund DISTRIBUTION TABLE Class X Shares Gross Income* Gross Equalisation Paid/Payable 2014/2015 Group 1 31/07/14 to 07/08/ /08/14 to 07/09/ /09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ Group 2 31/07/14 to 07/08/ /08/14 to 07/09/ /09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ Total distributions in the period Class Z Shares Net Income Gross Income Tax Net Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/04/ /04/14 to 07/05/ /05/14 to 07/06/ /06/14 to 07/07/ /07/14 to 07/08/ /08/14 to 07/09/ /09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ Group 2 08/03/14 to 07/04/ /04/14 to 07/05/ /05/14 to 07/06/ /06/14 to 07/07/ /07/14 to 07/08/ /08/14 to 07/09/ /09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ Total distributions in the period Class Z Shares Net Accumulation*** Gross Income Tax Net Equalisation Net Accumulated 2014/2015 Group 1 11/09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ Group 2 11/09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ Total distributions in the period Class Z Shares Gross Income Gross Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/04/ /04/14 to 07/05/ /05/14 to 07/06/ /06/14 to 07/07/ /07/14 to 07/08/ /08/14 to 07/09/ /09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ Group 2 08/03/14 to 07/04/ /04/14 to 07/05/ /05/14 to 07/06/ /06/14 to 07/07/ /07/14 to 07/08/ /08/14 to 07/09/ /09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ Total distributions in the period Class Z Shares Gross Accumulation Gross Gross Gross Equalisation Accumulated Accumulated Group 1 08/03/14 to 07/04/ /04/14 to 07/05/ /05/14 to 07/06/ /06/14 to 07/07/ /07/14 to 07/08/ /08/14 to 07/09/ /09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ Group 2 08/03/14 to 07/04/ /04/14 to 07/05/ /05/14 to 07/06/ /06/14 to 07/07/ /07/14 to 07/08/ /08/14 to 07/09/ /09/14 to 07/10/ /10/14 to 07/11/ /11/14 to 07/12/ /12/14 to 07/01/ /01/15 to 07/02/ /02/15 to 07/03/ Total distributions in the period Group 2: shares purchased during a distribution period *Class X Gross income shares commenced 31 July ** Class 1 USD Hedged Gross income shares commenced 11 September *** Class Z Net accumulation shares commenced 11 September

127 Threadneedle High Yield Bond Fund Notes to the financial statements for the accounting period 8 March 2014 to 7 March ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 6. 2 NET CAPITAL GAINS Net capital gains during the period comprise: Non-derivative securities (75,623) (8,127) Derivative contracts 935 1,095 Forward currency contracts 75,893 33,670 Other gains/(losses) 654 (191) Transaction costs (6) (13) Net capital gains 1,853 26,434 3 REVENUE Interest on debt securities 50,428 57,692 Interest on short term investments Derivative revenue Bank interest Stocklending commission 436 Total revenue 51,178 58,615 4 EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Annual management charge (7,609) (8,403) Registration fees (836) (889) (8,445) (9,292) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary s fees (69) (26) Safe custody fees (51) (40) (120) (66) Other expenses: Regulatory fee (7) (6) Audit fee (15) (12) Miscellaneous expenses (1) (22) (19) * Total expenses (8,587) (9,377) *Including irrecoverable VAT where applicable. 5 TAXATION a) Analysis of charge in period Total current tax (note 5b) Total tax charge for the period b) Factors affecting taxation charge for period Net revenue before taxation 42,570 49,237 Net revenue before taxation multiplied by the standard rate of corporation tax of 20% (8,514) (9,847) Effects of: Excess expenses 488 9,847 s treated as tax deductible 8,026 The fund has not recognised a deferred tax asset of Nil (2014: 487,931) arising as a result of having unutilised management expenses. Interest distributions have been made in respect of all distributions during the period. Income Tax at 20% will be accounted for on shareholders behalf to HM & Customs FINANCE COSTS s and Interest The distribution takes account of revenue received on the creation of shares and revenue deducted on the cancellation of shares and comprises: Interim 46,472 53,412 Final 3,589 4,126 50,061 57,538 Add: deducted on cancellation of shares Deduct: received on creation of shares (345) (368) Net distribution for the period 50,175 57,641 Interest 21 1 Total finance costs 50,196 57,642 Net revenue after taxation 42,570 49,237 Annual management charge to capital 7,609 8,403 Equalisation on conversion (4) 1 Net distribution for the period 50,175 57,641 Details of the distribution per share are set out in the table on pages DEBTORS Amounts receivable for the issue of shares 1,762 2,102 Sales awaiting settlement 1,120 3,766 Accrued revenue 13,440 16,662 Total debtors 16,322 22,530 8 CREDITORS Amounts payable for the cancellation of shares (1,861) (12,185) Purchases awaiting settlement (3,298) (6,902) Accrued expenses (29) (21) Amounts payable to ACD (760) (702) Income tax payable (2,054) (2,393) Total creditors (8,002) (22,203) 9 RELATED PARTY TRANSACTIONS The related parties are set out in detail in Note 8 of the aggregated financial statements on page 7. The aggregate monies received through issues and paid on cancellations are disclosed in the Statement of Change in s Attributable to Shareholders. Any amounts due to or from Threadneedle Investment Services Limited at the end of the accounting period are disclosed in Notes 7and 8. Amounts payable to Threadneedle Investment Services Limited in respect of fund management and registration services are disclosed in Note 4 and amounts outstanding at the year end in Note 8. In addition any fees paid to Threadneedle Investment Services Limited in respect of stocklending are disclosed in Note 11. All transactions have been entered into in the ordinary course of business on normal commercial terms. 10 SHAREHOLDER FUNDS The Threadneedle High Yield Bond Fund currently has four share classes; Class 1, Class 2, Class X, and Class Z shares. The charges on each share class are as follows: Annual management charge Class 1 shares 1.25% Class 2 shares 0.75% Class X shares N/A* Class Z shares 0.60% Registration fees Class 1 shares 0.150% Class 2 shares 0.035% Class X shares 0.035% Class Z shares 0.110%

128 Threadneedle High Yield Bond Fund Notes to the financial statements The net asset value of each share class, the net asset value per share, and the number of shares in each class are given in the comparative table on page 260. The distribution per share class is given in the distribution table on pages All classes have the same rights on winding up. *X Shares are not subject to an Annual Management Charge. 11 STOCKLENDING During the period under review the Threadneedle High Yield Bond Fund has earned Nil (2014: 614,000) of which Nil (2014: 60,000) was outstanding at year end. They have paid fees of Nil (2014: 86,000) of which Nil (2014: 8,000) was outstanding at the year end to Threadneedle Investment Services Limited. In addition they have paid fees of Nil (2014: 92,000) of which (2014: 9,000) was outstanding at the year end to J.P. Morgan as the security lending agent to process these arrangements and hold the collateral. There was no stock on loan at the end of the accounting period (2014: 99.89m), and there was no collateral held (2014: m). The collateral was held as either securities transferred in CREST by a DBV (Delivery by ) or Gilt DBV, or in the form of overseas government bonds, supranational bonds or certificates of deposit. The nature and value of collateral held is analysed by asset class in the table below. Analysis of Collateral Held Total Total Bonds 103, , DERIVATIVES AND OTHER FINANCIAL INSTRUMENTS The analysis and tables provided below refer to the narrative disclosure on derivatives and other financial instruments risks on pages 8 and 9. Currency exposures A small proportion of the net assets of the fund are denominated in currencies other than Sterling, with the effect that the balance sheet and total return can be affected by currency movements. Net foreign currency assets Non- Monetary exposures monetary exposures Total Currency 2015 Euro 10,719 (8,978) 1,741 Swiss Franc 785 (749) 36 US Dollar 1,004 (1,023) (19) Currency 2014 Euro 20,270 (16,597) 3,673 Swiss Franc 160 (104) 56 US Dollar 4,327 (4,105) 222 Interest rate risk profile of financial assets and financial liabilities The interest rate risk profile of the fund s financial assets and financial liabilities at 7 March 2015 was: Floating rate financial assets Fixed rate financial assets Financial assets not carrying interest Total Currency 2015 Euro 56, ,951 19, ,367 Swiss Franc 1,687 6, ,638 UK Sterling 30, , , ,455 US Dollar 8,325 31, ,965 Currency 2014 Euro 31, ,701 15, ,009 Swiss Franc 1,028 10, ,630 UK Sterling 32, ,270 5, ,942 US Dollar 5,676 38,727 1,838 46,241 Floating rate financial liabilities Fixed rate financial liabilities Financial liabilities not carrying interest Total Currency 2015 Euro (540,626) (540,626) Swiss Franc (8,602) (8,602) UK Sterling (15,865) (15,865) US Dollar (40,984) (40,984) Currency 2014 Euro (30,191) (558,607) (5,538) (594,336) Swiss Franc (1,036) (10,538) (11,574) UK Sterling (20,537) (20,537) US Dollar (3,499) (42,520) (46,019) Fixed rate financial assets Weighted average interest rate Fixed rate financial assets Weighted average period for which rate is fixed Non interest bearing assets Weighted average period Currency % % years years years years Euro Swiss Franc UK Sterling US Dollar The floating rate financial assets include deposits which have a weighted average interest rate of 0.00% (2014: 0.24%). Non interest-bearing assets relate to credit default swaps and forward foreign exchange contracts. Derivatives including credit default swaps and forwards are used in this portfolio to take active positions in credit markets and FX markets. Derivatives are employed when they are the cheapest and most efficient method of gaining exposure. This increases the risk profile of the fund and may result in a higher degree of volatility. All open positions are regularly reviewed by the fund manager. The fund has entered into various credit default swaps and forward foreign exchange contracts during this accounting period. Such contracts commit the fund to future deliveries or receipts, typically three months forward, of assets and liabilities, at prices decided at the point of striking the contract. They therefore allow the fund manager to limit risk, or to enhance fund performance in return for the acceptance of greater risk. At 7 March 2015, the fund had outstanding open credit default swaps and forward foreign exchange contracts with an asset value of 12,420,000 (2014: 949,000) and a liability value of 732,000 (2014: 4,290,000). The fund s floating rate investments earn interest which is variable, based on LIBOR or its overseas equivalent. Cash balances are held in floating rate accounts where interest is calculated with reference to prevailing market rates. Fair value of financial assets and financial liabilities There is no material difference between the value of the financial assets and liabilities, as shown in the balance sheet, and their fair value. Sensitivity analysis Sensitivity or value at risk is not shown since the fund holds no derivatives that could impact the fund significantly. 13 CONTINGENT LIABILITIES AND COMMITMENTS There are no contingent liabilities and commitments outstanding (2014: Nil). 14 PORTFOLIO TRANSACTION COSTS The purchases and sales are not subject to portfolio transaction costs. The total cost of purchases during the period was 397,944,341 (2014: 323,615,577) and proceeds received from sales were 364,151,946 (2014: 334,924,406). 127

129 Threadneedle Global Select Fund Investment Report Investment Objective To achieve above average capital growth. Investment Policy The ACD s investment policy is to invest the assets of the Fund primarily in equities issued by companies worldwide. The portfolio may be concentrated geographically or with respect to stock and sector positions, which may lead to increased levels of volatility. If the ACD considers it desirable, it may further invest in other securities (including fixed interest securities, other equities and money market securities). Performance of Net Accumulation Class 1 Shares* Over the twelve months to 7 March 2015, the published share price of the Threadneedle Global Select Fund has risen from p to p. Looking at the sterling performance within its peer group, the total return on the fund for the twelve months ending 28 February 2015, including net reinvested income, is % as compared to a median return of % over the same period. (For information the MSCI AC World Free Index returned % over the same period). Portfolio Activity Global markets were supported over the period by improving US economic data, low interest rates and falling commodity prices. Most notably, rising oil production in the US tipped the market into oversupply, and resulted in Brent crude falling from over US$100 per barrel to around US$60 between August and March. This development should prove positive for the global economy, and reduced expectations for inflation and interest rates in the coming year. The US economic recovery continues, with positive signs from labour-market surveys. Commentators are still watching for signs that Americans will return to the labour force, as the participation rate remains at historically low levels. Recently introduced quantitative easing in Europe has boosted market sentiment, while helping drown out concerns about the impact of potential trade sanctions with Russia, and new leadership in Greece. The UK economy has continued to strengthen, supported by a housing-market and construction boom, and by improving employment. Within the portfolio we sold positions in US equipmentrental company United Rentals. The stock had performed well as investors noted the acceleration in US economic activity. We reduced our position in consumer-goods company Nestle after strong performance and following a surprise gain in the Swiss franc. We sold ebay, which we think faces increasing challenges in the global e-commerce market. Within the energy sector we responded to lower oil prices by selling out of Canadian tar-sands miner Suncor. We bought a new position in pharmacy-benefits manager Express Scripts, which we think is set for accelerating growth after working through a merger. We added Wolseley to the portfolio. The building-supplies company is well invested, and should benefit from improving demand in the US market. We added to Bank of Ireland, which we see benefitting from improving economic conditions and house prices in Ireland. During the remainder of the year, we expect market participants to closely monitor economic data for signs the current recovery is stalling. Equity valuations have risen sharply and although earnings growth is now coming through, volatility is likely, as variables such as the oil price and interest rates have the potential to move significantly. STATEMENT OF TOTAL RETURN for the accounting period 8 March 2014 to 7 March 2015 Notes Income Net capital gains 2 118,030 54, ,792 14,173 Expenses 4 (11,646) (11,559) Net revenue before taxation 1,146 2,614 Taxation 5 (1,285) (1,371) Net (expenses)/revenue after taxation (139) 1,243 Total return before distributions 117,891 56,040 Finance costs: s 6 (1,384) (1,243) Change in net assets attributable to shareholders from investment activities 116,507 54,797 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 8 March 2014 to 7 March 2015 Opening net assets attributable to shareholders 790, ,370 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 217, ,754 Amounts payable on the cancellation of shares (262,253) (267,887) (45,110) (13,133) Dilution adjustment Stamp duty reserve tax (36) (145) Change in net assets attributable to shareholders from investment activities (see statement of total return above) 116,507 54,797 Retained distribution on accumulation shares 1,384 1,243 Closing net assets attributable to shareholders 863, ,180 BALANCE SHEET as at 7 March 2015 Notes Assets Investment assets 861, ,145 Other assets Debtors 7 1,439 2,638 Cash and bank balances 6,858 16,265 Total other assets 8,297 18,903 Total assets 869, ,048 Liabilities Derivative liabilities (3) Other liabilities Creditors 8 (6,066) (9,663) Bank overdrafts (2) (1,205) Total other liabilities (6,068) (10,868) Total liabilities (6,071) (10,868) Net assets attributable to shareholders 863, ,180 DISTRIBUTION TABLE for the accounting period 8 March 2014 to 7 March 2015 Dividend distribution in pence per share Class 1 Shares Net Accumulation There is no distribution for the accounting period 8 March 2014 to 7 March 2015, as expenses exceed revenue (2014: ). Class 2 Shares Net Accumulation Net Net Accumulated Net Accumulated 08/03/14 to 07/03/ Total distributions in the period Class X Shares Net Accumulation Net Net Accumulated Net Accumulated 08/03/14 to 07/03/ Total distributions in the period *In pound Sterling and against UK peer group. Please refer to pages for comparative tables. 128

130 Threadneedle Global Select Fund DISTRIBUTION TABLE Class Z Shares Net Income* Net Payable 2014/ /03/14 to 07/03/ Total distributions in the period Class Z Shares Net Accumulation Net Net Accumulated Net Accumulated 08/03/14 to 07/03/ Total distributions in the period *Class Z Net income shares commenced 27 March

131 Threadneedle Global Select Fund Notes to the financial statements for the accounting period 8 March 2014 to 7 March ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 6. 2 NET CAPITAL GAINS Net capital gains during the period comprise: Non-derivative securities 116,588 56,444 Forward currency contracts Other gains/(losses) 1,102 (1,641) Transaction costs (3) (8) Net capital gains 118,030 54,797 3 REVENUE UK dividends 1,714 2,294 Overseas dividends 11,058 11,853 Interest on short term investments 1 Bank interest 8 1 Stocklending commission Total revenue 12,792 14,173 4 EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Annual management charge (10,454) (10,438) Registration fees (1,046) (1,038) (11,500) (11,476) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary s fees (73) (25) Safe custody fees (47) (38) collection expenses (3) (5) (123) (68) Other expenses: Regulatory fee (12) (8) Audit fee (9) (7) Professional fees (2) (23) (15) * Total expenses (11,646) (11,559) *Including irrecoverable VAT where applicable. 5 TAXATION a) Analysis of charge in period Overseas taxes (1,285) (1,371) Total current tax (note 5b) (1,285) (1,371) Total tax charge for the period (1,285) (1,371) b) Factors affecting taxation charge for period Net revenue before taxation 1,146 2,614 Net revenue before taxation multiplied by the standard rate of corporation tax of 20% (229) (523) Effects of: not subject to taxation 2,407 2,726 Overseas taxes (1,285) (1,371) Overseas taxes expensed Excess expenses (2,200) (2,219) Retail Review (RDR) conversion transfer from capital (11) Current tax charge for period (note 5a) (1,285) (1,371) The fund has not recognised a deferred tax asset of 12,743,712 (2014: 10,544,247) arising as a result of having unutilised management expenses. It is unlikely that these expenses will be utilised in future years. 6 FINANCE COSTS s Final 1,384 1,243 Net distribution for the period 1,384 1,243 Total finance costs 1,384 1,243 Net (expenses)/revenue after taxation (139) 1,243 Shortfall transfer from capital to revenue 1,467 Equalisation on conversion 56 Net distribution for the period 1,384 1,243 Details of the distribution per share and any share class with a shortfall are set out in the table on pages 128 and DEBTORS Amounts receivable for the issue of shares 594 1,605 Accrued revenue Foreign withholding tax recoverable Total debtors 1,439 2,638 8 CREDITORS Amounts payable for the cancellation of shares (4,937) (667) Purchases awaiting settlement (8,133) Accrued expenses (27) (16) Amounts payable to ACD (1,102) (847) Total creditors (6,066) (9,663) 9 RELATED PARTY TRANSACTIONS The related parties are set out in detail in Note 8 of the aggregated financial statements on page 7. The aggregate monies received through issues and paid on cancellations are disclosed in the Statement of Change in s Attributable to Shareholders. Any amounts due to or from Threadneedle Investment Services Limited at the end of the accounting period are disclosed in Notes 7 and 8. Amounts payable to Threadneedle Investment Services Limited in respect of fund management and registration services are disclosed in Note 4 and amounts outstanding at the year end in Note 8. In addition any fees paid to Threadneedle Investment Services Limited in respect of stocklending are disclosed in Note 11. All transactions have been entered into in the ordinary course of business on normal commercial terms. 130

132 Threadneedle Global Select Fund Notes to the financial statements 10 SHAREHOLDER FUNDS Threadneedle Global Select Fund currently has four share classes; Class 1, Class 2, Class X, and Class Z shares. The charges on each share class are as follows: Annual management charge Class 1 shares 1.50% Class 2 shares 1.00% Class X shares N/A* Class Z shares 0.75% Registration fees Class 1 shares 0.150% Class 2 shares 0.035% Class X shares 0.035% Class Z shares 0.110% The net asset value of each share class, the net asset value per share, and the number of shares in each class are given in the comparative table on page 261. The distribution per share class is given in the distribution table on pages 128 and 129. All classes have the same rights on winding up. *X Shares are not subject to an Annual Management Charge. 11 STOCKLENDING During the period under review the Threadneedle Global Select Fund has earned 11,000 (2014: 35,000) of which Nil (2014: 4,000) was outstanding at year end. They have paid fees of Nil (2014: 5,000) of which Nil (2014: Nil) was outstanding at the year end to Threadneedle Investment Services Limited. In addition they have paid fees of Nil (2014: 5,000) to J.P. Morgan as the security lending agent to process these arrangements and hold the collateral. There was no stock on loan at the end of the accounting period (2014: 9.10m), and there was no collateral held (2014: 9.64m). The collateral was held as either securities transferred in CREST by a DBV (Delivery by ) or Gilt DBV, or in the form of overseas government bonds, supranational bonds or certificates of deposit. The nature and value of collateral held is analysed by asset class in the table below. Analysis of Collateral Held Total Total Bonds 9, , DERIVATIVES AND OTHER FINANCIAL INSTRUMENTS The analysis and tables provided below refer to the narrative disclosure on derivatives and other financial instruments risks on pages 8 and 9. Currency exposures A substantial proportion of the net assets of the fund are denominated in currencies other than Sterling, with the effect that the balance sheet and total return can be significantly affected by currency movements. Net foreign currency assets Non- Monetary exposures monetary exposures Total Currency 2015 Australian Dollar 1 1 Canadian Dollar 12,463 12,463 Danish Krone 9,181 9,181 Euro ,950 75,092 Hong Kong Dollar 24,727 24,727 Indian Rupee 11,683 11,683 Indonesian Rupiah 16,266 16,266 Japanese Yen 23 97,559 97,582 Mexican Peso 5,870 5,870 Singapore Dollar 4,923 4,923 Swiss Franc ,196 25,468 Taiwan Dollar US Dollar 7, , ,325 Currency 2014 Brazilian Real Canadian Dollar 48 15,062 15,110 Euro 65 43,290 43,355 Hong Kong Dollar 11,337 11,337 Indonesian Rupiah 3,878 3,878 Japanese Yen 75 79,966 80,041 Singapore Dollar 3,780 3,780 South Korean Won 96 9,607 9,703 Swiss Franc ,032 45,415 Turkish Lira 3,896 3,896 US Dollar 8, , ,944 Interest rate risk profile of financial assets and financial liabilities The interest rate risk profile of the fund s financial assets and financial liabilities at 7 March 2015 was: Floating rate financial assets Fixed rate financial assets Financial assets not carrying interest Total Currency 2015 Australian Dollar 1 1 Canadian Dollar 12,463 12,463 Danish Krone 9,181 9,181 Euro 1 75,091 75,092 Hong Kong Dollar 24,727 24,727 Indian Rupee 11,683 11,683 Indonesian Rupiah 16,266 16,266 Japanese Yen 97,582 97,582 Mexican Peso 5,870 5,870 Singapore Dollar 4,923 4,923 Swiss Franc 25,468 25,468 Taiwan Dollar UK Sterling 48,944 48,944 US Dollar 6, , ,688 Currency 2014 Brazilian Real Canadian Dollar 15,110 15,110 Euro 8,133 43,355 51,488 Hong Kong Dollar 11,337 11,337 Indonesian Rupiah 3,878 3,878 Japanese Yen 80,041 80,041 Singapore Dollar 3,780 3,780 South Korean Won 9,703 9,703 Swiss Franc ,204 45,415 Turkish Lira 3,896 3,896 UK Sterling 52,412 52,412 US Dollar 7, , ,944 Floating rate financial liabilities Fixed rate financial liabilities Financial liabilities not carrying interest Total Currency 2015 Taiwan Dollar (2) (2) UK Sterling (2) (6,280) (6,282) US Dollar (363) (363) Currency 2014 Euro (8,133) (8,133) UK Sterling (1,205) (1,530) (2,735) 131

133 Threadneedle Global Select Fund Notes to the financial statements The floating rate financial assets include deposits which have a weighted average interest rate of 0.10% (2014: 0.00%). Other than equities which do not have maturity dates, non interest-bearing assets relate to forward foreign exchange contracts. Derivatives including forwards are used in this portfolio to take active positions in FX markets. Derivatives are employed when they are the cheapest and most efficient method of gaining exposure. This increases the risk profile of the fund and may result in a higher degree of volatility. All open positions are regularly reviewed by the fund manager. The fund has entered into various forward foreign exchange contracts during this accounting period. Such contracts commit the fund to future deliveries or receipts, typically three months forward, of assets and liabilities, at prices decided at the point of striking the contract. They therefore allow the fund manager to limit risk, or to enhance fund performance in return for the acceptance of greater risk. At 7 March 2015, the fund had outstanding forward foreign exchange contracts with an asset value of Nil (2014: Nil) and a liability value of 3,000 (2014: Nil). Cash balances are held in floating rate accounts where interest is calculated with reference to prevailing market rates. Fair value of financial assets and financial liabilities There is no material difference between the value of the financial assets and liabilities, as shown in the balance sheet, and their fair value. Sensitivity analysis Sensitivity or value at risk is not shown since the fund holds no derivatives that could impact the fund significantly. 13 CONTINGENT LIABILITIES AND COMMITMENTS There are no contingent liabilities and commitments outstanding (2014: Nil). 14 PORTFOLIO TRANSACTION COSTS Analysis of total purchase costs Purchases in period before transaction costs 553, ,072 Commissions Taxes Fees Total purchase costs Gross purchases total 554, ,690 Analysis of total sale costs Gross sales before transaction costs 593, ,304 Commissions (593) (465) Taxes (54) (1) Fees (63) Total sale costs (647) (529) Total sales net of transaction costs 592, ,

134 Threadneedle Global Bond Fund Investment Report Investment Objective To achieve a total return comprising primarily income with some capital growth. Investment Policy The ACD s investment policy is to invest the assets of the Fund in a managed portfolio of fixed income securities worldwide. Performance of Net Income Class 1 Shares* Over the twelve months to 7 March 2015, the published share price of the Threadneedle Global Bond Fund has risen from 55.12p to 57.03p. Looking at the sterling performance within its peer group, the total return on the fund for the twelve months ending 28 February 2015, including net reinvested income, is +4.64% as compared to a median return of +4.28% over the same period. The fund return equates approximately to +6.49% gross of tax and charges**. (For information the JPM GBI Global (Traded) Index (prior to 31/07/2012 JPM Global ex Japan) gave a total return of +5.04% for the same period). Portfolio Activity Government- and corporate-bond indices rose in sterling terms over the one-year period under review. Yields fell, particularly in the eurozone against a background of ongoing accommodative monetary policy. Sterling appreciated over the period, which reduced returns somewhat. Throughout the period, the fund continued to hold a well-diversified allocation across mostly developed-market sovereign bonds, but also selective corporate and emerging-market sovereign bonds. We maintained a more cautious position with respect to interest-rate risk versus the benchmark index. This was characterised by an underweight position in US dollar bonds and Japanese government bonds. We increased exposure to US dollar duration during October, thereby reducing our underweight position, but the underlying bias remained. We reduced exposure to Canadian dollar and Australian dollar duration during the period and added to duration risk in the New Zealand dollar. Within Europe, we favoured holdings in so-called peripheral government bonds Portuguese, Slovenian and Italian, for example versus German or French equivalents, where we held a lower weight than the benchmark index. Exposure to Italian bonds was reduced in August, increased once again in January and reduced in February, as we adjusted to valuations and the ebb and flow of the Greek political situation. The fund continued to hold the debt of selective emerging-market sovereigns, such as Romania and Mexico, but overall these positions were reduced during the second half of the period, particularly in corporates and sovereigns with a high exposure to commodity prices. We maintained an allocation in selective corporate bonds. In order to reduce overall credit risk, these holdings characteristically had a shorter maturity than our sovereign holdings. During the year under review, we positioned the fund for a strengthening of the US dollar, mostly versus the euro, but also against the Australian dollar, using foreign-exchange forwards to hedge exposure in underlying bond holdings. These positions were held versus the benchmark weights. STATEMENT OF TOTAL RETURN for the accounting period 8 March 2014 to 7 March 2015 Notes Income Net capital gains/(losses) 2 10,171 (23,587) 3 4,749 5,162 Expenses 4 (2,771) (2,799) Finance costs: Derivative expense 6 (284) (5) Interest 6 (3) Net revenue before taxation 1,691 2,358 Taxation 5 Net revenue after taxation 1,691 2,358 Total return before distributions 11,862 (21,229) Finance costs: s 6 (4,133) (4,833) Change in net assets attributable to shareholders from investment activities 7,729 (26,062) BALANCE SHEET as at 7 March 2015 Notes Assets Investment assets 215, ,373 Other assets Debtors 7 2,803 8,460 Cash and bank balances 8 11,790 7,217 Total other assets 14,593 15,677 Total assets 230, ,050 Liabilities Derivative liabilities (681) (493) Other liabilities Creditors 9 (600) (11,151) payable on income shares (1,376) (1,406) Total other liabilities (1,976) (12,557) Total liabilities (2,657) (13,050) Net assets attributable to shareholders 227, ,000 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 8 March 2014 to 7 March 2015 Opening net assets attributable to shareholders 191, ,943 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 75,725 22,543 Amounts payable on the cancellation of shares (48,238) (61,105) 27,487 (38,562) Dilution adjustment 32 7 Change in net assets attributable to shareholders from investment activities (see statement of total return above) 7,729 (26,062) Retained distribution on accumulation shares 1,328 1,674 Closing net assets attributable to shareholders 227, ,000 *In pound Sterling and against UK peer group. **Gross performance is calculated in Factset using daily cash flows and daily global close valuations. Please refer to pages for comparative tables. DISTRIBUTION TABLE for the accounting period 8 March 2014 to 7 March 2015 Interest distribution in pence per share Class 1 Shares Net Income Gross Income Tax Net Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/09/ /09/14 to 07/03/ Group 2 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period Class 1 Shares Gross Income Gross Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/09/ /09/14 to 07/03/ Group 2 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period

135 Threadneedle Global Bond Fund DISTRIBUTION TABLE Class 1 Shares Net Accumulation Gross Income Tax Net Equalisation Net Net Accumulated Accumulated Group 1 08/03/14 to 07/09/ /09/14 to 07/03/ Group 2 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period Class 1 Shares Gross Accumulation Gross Gross Gross Equalisation Accumulated Accumulated Group 1 08/03/14 to 07/09/ /09/14 to 07/03/ Group 2 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period Class 2 Shares Net Income Gross Income Tax Net Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/09/ /09/14 to 07/03/ Group 2 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period Class 2 Shares Gross Accumulation Gross Gross Gross Equalisation Accumulated Accumulated Group 1 08/03/14 to 07/09/ /09/14 to 07/03/ Group 2 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period Class Z Shares Net Income Gross Income Tax Net Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/09/ /09/14 to 07/03/ Group 2 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period Class Z Shares Gross Income Gross Equalisation Paid/Payable Paid Group 1 08/03/14 to 07/09/ /09/14 to 07/03/ Group 2 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period Class Z Shares Gross Accumulation Gross Gross Gross Equalisation Accumulated Accumulated Group 1 08/03/14 to 07/09/ /09/14 to 07/03/ Group 2 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period Group 2: shares purchased during a distribution period 134

136 Threadneedle Global Bond Fund Notes to the financial statements for the accounting period 8 March 2014 to 7 March ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 6. 2 NET CAPITAL GAINS/(LOSSES) Net capital gain/(losses) during the period comprise: Non-derivative securities 13,797 (24,414) Derivative contracts (1,136) (119) Forward currency contracts (3,038) 1,353 Other gains/(losses) 552 (397) Transaction costs (4) (10) Net capital gains/(losses) 10,171 (23,587) 3 REVENUE Interest on debt securities 4,723 5,138 Interest on short term investments 1 Bank interest 25 7 Stocklending commission 17 Total revenue 4,749 5,162 4 EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Annual management charge (2,441) (2,475) Registration fees (273) (280) (2,714) (2,755) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary s fees (20) (18) Safe custody fees (17) (10) (37) (28) Other expenses: Regulatory fee (7) (6) Audit fee (13) (10) (20) (16) * Total expenses (2,771) (2,799) *Including irrecoverable VAT where applicable. 5 TAXATION a) Analysis of charge in period Total current tax (note 5b) Total tax charge for the period b) Factors affecting taxation charge for period Net revenue before taxation 1,691 2,358 Net revenue before taxation multiplied by the standard rate of corporation tax of 20% (338) (472) Effects of: Excess expenses Current tax charge for period (note 5a) The fund has not recognised a deferred tax asset of 6,352,821 (2014: 6,691,170) arising as a result of having unutilised management expenses. It is unlikely that these expenses will be utilised in future years. Interest distributions have been made in respect of all distributions during the period. Income Tax at 20% will be accounted for on shareholders behalf to HM & Customs. 6 FINANCE COSTS s and Interest The distribution takes account of revenue received on the creation of shares and revenue deducted on the cancellation of shares and comprises: Interim 2,185 2,323 Final 2,049 2,291 4,234 4,614 Add: deducted on cancellation of shares Deduct: received on creation of shares (326) (128) Net distribution for the period 4,133 4,833 Derivative expense Interest 3 Total finance costs 4,420 4,838 Net revenue after taxation 1,691 2,358 Annual management charge to capital 2,441 2,475 Equalisation on conversion 1 Net distribution for the period 4,133 4,833 Details of the distribution per share are set out in the table on pages 133 and DEBTORS Amounts receivable for the issue of shares 271 2,185 Sales awaiting settlement 572 4,566 Accrued revenue 1,960 1,709 Total debtors 2,803 8,460 8 CASH AND BANK BALANCES Amounts held at futures clearing houses and brokers Cash and bank balances 11,462 7,195 Total cash and bank balances 11,790 7,217 9 CREDITORS Amounts payable for the cancellation of shares (273) (1,273) Purchases awaiting settlement (9,631) Accrued expenses (14) (12) Amounts payable to ACD (281) (188) Income tax payable (32) (47) Total creditors (600) (11,151) 10 RELATED PARTY TRANSACTIONS The related parties are set out in detail in Note 8 of the aggregated financial statements on page 7. The aggregate monies received through issues and paid on cancellations are disclosed in the Statement of Change in s Attributable to Shareholders. Any amounts due to or from Threadneedle Investment Services Limited at the end of the accounting period are disclosed in Notes 7 and 9. Amounts payable to Threadneedle Investment Services Limited in respect of fund management and registration services are disclosed in Note 4 and amounts outstanding at the year end in Note 9. In addition any fees paid to Threadneedle Investment Services Limited in respect of stocklending are disclosed in Note 12. All transactions have been entered into in the ordinary course of business on normal commercial terms. 135

137 Threadneedle Global Bond Fund Notes to the financial statements 11 SHAREHOLDER FUNDS Threadneedle Global Bond Fund currently has three share classes; Class1, Class 2, and Class Z shares. The charges on each share class are as follows: Annual management charge Class 1 shares 1.25% Class 2 shares 0.75% Class Z shares 0.50% Registration fees Class 1 shares 0.150% Class 2 shares 0.035% Class Z shares 0.110% The net asset value of each share class, the net asset value per share, and the number of shares in each class are given in the comparative table on page 262. The distribution per share class is given in the distribution table on pages 133 and 134. All classes have the same rights on winding up. 12 STOCKLENDING During the period under review the Threadneedle Global Bond Fund has earned Nil (2014: 24,000) of which Nil (2014: 2,000) was outstanding at year end. They have paid fees of Nil (2014: 3,000) to Threadneedle Investment Services Limited. In addition they have paid fees of Nil (2014: 4,000) to J.P. Morgan as the security lending agent to process these arrangements and hold the collateral. There was no stock on loan at the end of the accounting period (2014: 6.21m), and there was no collateral held (2014: 6.44m). The collateral was held as either securities transferred in CREST by a DBV (Delivery by ) or Gilt DBV, or in the form of overseas government bonds, supranational bonds or certificates of deposit. The nature and value of collateral held is analysed by asset class in the table below. Analysis of Collateral Held Total Total Bonds 6, , DERIVATIVES AND OTHER FINANCIAL INSTRUMENTS The analysis and tables provided below refer to the narrative disclosure on derivatives and other financial instruments risks on pages 8 and 9. Currency exposures A substantial proportion of the net assets of the fund are denominated in currencies other than Sterling, with the effect that the balance sheet and total return can be significantly affected by currency movements. Net foreign currency assets Non- Monetary exposures monetary exposures Total Currency 2015 Australian Dollar Canadian Dollar 305 2,872 3,177 Euro 1,889 50,612 52,501 Japanese Yen ,911 50,061 New Zealand Dollar Philippines Peso 3 3 Swedish Krona US Dollar 10,452 94, ,320 Currency 2014 Australian Dollar 418 1,705 2,123 Canadian Dollar 153 2,587 2,740 Euro (2,208) 47,373 45,165 Japanese Yen ,044 48,207 Polish Zloty 1,546 (1,542) 4 Swedish Krona US Dollar 4,890 75,161 80,051 Interest rate risk profile of financial assets and financial liabilities The interest rate risk profile of the fund s financial assets and financial liabilities at 7 March 2015 was: Floating rate financial assets Fixed rate financial assets Financial assets not carrying interest Total Currency 2015 Australian Dollar 234 8, ,688 Canadian Dollar , ,616 Euro ,753 5,849 57,496 Japanese Yen 18 18,571 31,472 50,061 New Zealand Dollar , ,893 Philippines Peso 3 3 Swedish Krona UK Sterling ,844 7,895 26,160 US Dollar 10,982 97,836 40, ,384 Currency 2014 Australian Dollar , ,480 Canadian Dollar 24 15, ,430 Euro 2,312 47,364 2,796 52,472 Japanese Yen 29 48, ,207 Polish Zloty 1,546 1,546 Swedish Krona UK Sterling ,553 2,254 17,406 US Dollar 7,345 91,554 1, ,246 Floating rate financial liabilities Fixed rate financial liabilities Financial liabilities not carrying interest Total Currency 2015 Australian Dollar (8,180) (8,180) Canadian Dollar (7,439) (7,439) Euro (4,995) (4,995) New Zealand Dollar (10,015) (10,015) UK Sterling (11,072) (11,072) US Dollar (44,064) (44,064) Currency 2014 Australian Dollar (9,357) (9,357) Canadian Dollar (12,690) (12,690) Euro (7,307) (7,307) Polish Zloty (1,542) (1,542) UK Sterling (4,743) (4,743) US Dollar (684) (19,004) (507) (20,195) Fixed rate financial assets Weighted average interest rate Fixed rate financial assets Weighted average period for which rate is fixed Non interest bearing assets Weighted average period Currency % % years years years years Australian Dollar Canadian Dollar Euro Japanese Yen New Zealand Dollar 6 8 Swedish Krona UK Sterling US Dollar

138 Threadneedle Global Bond Fund Notes to the financial statements The floating rate financial assets include deposits which have a weighted average interest rate of 0.10% (2014: 0.00%). Non interest-bearing assets relate to forward foreign exchange contracts, futures and options. Derivatives including forwards, futures and options are used in this portfolio to take active positions in FX markets and interest rate markets. Derivatives are employed when they are the cheapest and most efficient method of gaining exposure. This increases the risk profile of the fund and may result in a higher degree of volatility. All open positions are regularly reviewed by the fund manager. The fund has entered into various forward foreign exchange contracts, futures and options during this accounting period. Such contracts commit the fund to future deliveries or receipts, typically three months forward, of assets and liabilities, at prices decided at the point of striking the contract. They therefore allow the fund manager to limit risk, or to enhance fund performance in return for the acceptance of greater risk. At 7 March 2015, the fund had outstanding forward foreign exchange contracts, futures and options with an asset value of 341,000 (2014: 137,000) and a liability value of 681,000 (2014: 493,000). The fund s floating rate investments earn interest which is variable, based on LIBOR or its overseas equivalent. Cash balances are held in floating rate accounts where interest is calculated with reference to prevailing market rates. Fair value of financial assets and financial liabilities There is no material difference between the value of the financial assets and liabilities, as shown in the balance sheet, and their fair value. Sensitivity analysis Sensitivity or value at risk is not shown since the fund holds no derivatives that could impact the fund significantly. 14 CONTINGENT LIABILITIES AND COMMITMENTS There are no contingent liabilities and commitments outstanding (2014: Nil). 15 PORTFOLIO TRANSACTION COSTS The purchases and sales are not subject to portfolio transaction costs. The total cost of purchases during the period was 448,801,288 (2014: 330,607,006) and proceeds received from sales were 434,502,805 (2014: 358,335,644). 137

139 Threadneedle UK Institutional Fund Investment Report Investment Objective To achieve long term capital growth. Investment Policy The ACD s investment policy is to invest the assets of the Fund in a wide spread of primarily UK companies, which are considered to have good potential for capital growth. Investment will tend to focus on large companies with sound long-term prospects. Performance of Net Accumulation Class 1 Shares* Over the twelve months to 7 March 2015, the published share price of the Threadneedle UK Institutional Fund has risen from p to p. Looking at performance within its peer group, the total return on the fund for the twelve months ending 28 February 2015, including net reinvested income, is +4.79% as compared to a median return of +4.26% over the same period. (For information the FTSE All-Share Total Return Index returned +5.56% over the same period). Portfolio Activity The UK equities market experienced gyrations over the last 12 months but ended the period in positive territory, with the FTSE 100 index hitting a new record high in February The first half of the year showed increasing signs of economic recovery, including improving industrial production and robust GDP-growth figures. This continued into the second half, although numerous headwinds increased investor uncertainty and market volatility. Faltering growth in the eurozone economies, slowing demand in China and, towards the year-end, slumping commodity prices all undermined the market. However, plentiful liquidity, easy monetary policy and the introduction of quantitative easing in the eurozone all prevented markets from falling too far. Downgrades highlighted that, for a third year in a row, UK market earnings are showing little sign of progress. The worst-performing area of the market was the resources sector, where the fund is underweight, thus benefiting relative performance. At the stock level, we added to GlaxoSmithKline as an underperforming pharmaceutical and potential recovery story. We have also built up a position in British American Tobacco, a defensive name offering an attractive yield and growth potential. We started a new position in Burberry, which is a cash generative business that is growing strongly. There is momentum behind the brand as it continues to take market share, especially in the digital arena. We have been reducing our position in BP as part of a continuing re-evaluation of our oil-sector exposure. We also exited our position in AZ Electronic Materials upon completion of its takeover by Merck. The sharp decrease in the oil price, along with lower food prices as the major supermarket groups battle for market share, has resulted in a pronounced fall in consumer price inflation. However, the UK is not experiencing persistent deflation and the Bank of England is expecting inflation to pick up again towards the end of the year. Lower food and energy prices are benefiting consumers at a time when employment is rising and wage growth is beginning to accelerate, which should support discretionary spending over the course of The Bank of England has revised up its UK economic-growth forecasts for both this year and next, and this gives us confidence that corporate profits and dividends will advance in the years ahead. At these levels, the market is, in our view, fairly valued ahead of the uncertainty of the general election, but has scope to progress beyond that as the global economic recovery continues. STATEMENT OF TOTAL RETURN for the accounting period 8 March 2014 to 7 March 2015 Notes Income Net capital gains 2 34, , ,356 39,113 Expenses 4 (8,665) (9,488) Net revenue before taxation 23,691 29,625 Taxation 5 (21) (58) Net revenue after taxation 23,670 29,567 Total return before distributions 57, ,270 Finance costs: s 6 (23,670) (29,567) Change in net assets attributable to shareholders from investment activities 34, ,703 BALANCE SHEET as at 7 March 2015 Notes Assets Investment assets 1,004,528 1,072,437 Other assets Debtors 7 6,998 17,179 Cash and bank balances 22,296 14,521 Total other assets 29,294 31,700 Total assets 1,033,822 1,104,137 Liabilities Other liabilities Creditors 8 (1,377) (16,339) Total other liabilities (1,377) (16,339) Total liabilities (1,377) (16,339) Net assets attributable to shareholders 1,032,445 1,087,798 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 8 March 2014 to 7 March 2015 Opening net assets attributable to shareholders 1,087,798 1,119,181 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 124, ,509 Amounts payable on the cancellation of shares (238,010) (299,624) (113,338) (175,115) Dilution adjustment Stamp duty reserve tax (134) (648) Change in net assets attributable to shareholders from investment activities (see statement of total return above) 34, ,703 Retained distribution on accumulation shares 23,670 29,567 Closing net assets attributable to shareholders 1,032,445 1,087,798 DISTRIBUTION TABLE for the accounting period 8 March 2014 to 7 March 2015 Dividend distribution in pence per share Class 1 Shares Net Accumulation Net Net Accumulated Net Accumulated 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period Class 2 Shares Net Accumulation Net Net Accumulated Net Accumulated 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period *In pound Sterling and against UK peer group. Please refer to pages for comparative tables. 138

140 Threadneedle UK Institutional Fund Notes to the financial statements for the accounting period 8 March 2014 to 7 March ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 6. 2 NET CAPITAL GAINS Net capital gains during the period comprise: Non-derivative securities 34, ,722 Other losses (1) (7) Transaction costs (13) (12) Net capital gains 34, ,703 3 REVENUE UK dividends 31,600 36,884 Overseas dividends Stock dividends 1,433 UK franked dividend distributions 403 Interest on short term investments Bank interest Underwriting commission 28 Stocklending commission Management fee rebate on collective investment scheme holdings Total revenue 32,356 39,113 4 EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Annual management charge (8,084) (8,936) Registration fees (454) (499) (8,538) (9,435) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary's fees (83) (29) Safe custody fees (29) (11) (112) (40) Other expenses: Regulatory fee (6) (6) Audit fee (9) (7) (15) (13) * Total expenses (8,665) (9,488) *Including irrecoverable VAT where applicable. 5 TAXATION a) Analysis of charge in period Overseas taxes (21) (58) Total current tax (note 5b) (21) (58) Total tax charge for the period (21) (58) b) Factors affecting taxation charge for period Net revenue before taxation 23,691 29,625 Net revenue before taxation multiplied by the standard rate of corporation tax of 20% (4,738) (5,925) Effects of: not subject to taxation 6,372 7,756 Overseas taxes (21) (58) Excess expenses (1,634) (1,831) Current tax charge for period (note 5a) (21) (58) The fund has not recognised a deferred tax asset of 52,544,635 (2014: 50,910,934) arising as a result of having unutilised management expenses. It is unlikely that these expenses will be utilised in future years. 6 FINANCE COSTS s Interim 16,928 20,735 Final 6,742 8,832 23,670 29,567 Net distribution for the period 23,670 29,567 Total finance costs 23,670 29,567 Details of the distribution per share are set out in the table on page DEBTORS Amounts receivable for the issue of shares 30 2,920 Sales awaiting settlement 2,691 7,556 Accrued revenue 4,232 6,699 United Kingdom income tax recoverable 45 4 Total debtors 6,998 17,179 8 CREDITORS Amounts payable for the cancellation of shares (446) (14,987) Purchases awaiting settlement (64) (607) Accrued expenses (26) (9) Amounts payable to ACD (841) (736) Total creditors (1,377) (16,339) 9 RELATED PARTY TRANSACTIONS The related parties are set out in detail in Note 8 of the aggregated financial statements on page 7. The aggregate monies received through issues and paid on cancellations are disclosed in the Statement of Change in s Attributable to Shareholders. Any amounts due to or from Threadneedle Investment Services Limited at the end of the accounting period are disclosed in Notes 7 and 8. Amounts payable to Threadneedle Investment Services Limited in respect of fund management and registration services are disclosed in Note 4 and amounts outstanding at the year end in Note 8. A balance of 38,000 (2014: 31,000) in respect of annual management rebates is receivable at the end of the accounting period. In addition any fees paid to Threadneedle Investment Services Limited in respect of stocklending are disclosed in Note 11. The fund invests in a sub-fund of Threadneedle Specialist Investment Funds ICVC, all transactions in respect of which are transacted with Threadneedle Investment Services Limited. Details of the investment are shown in the portfolio statement. The fund has received 403,000 (2014: 310,000) UK franked dividend distributions and 186,000 (2014: 169,000) Management fee rebate on collective investment scheme holdings. In addition this investment has produced a non-derivative security gain of 1,336,000 (2014: 3,512,000). All transactions have been entered into in the ordinary course of business on normal commercial terms. 139

141 Threadneedle UK Institutional Fund Notes to the financial statements 10 SHAREHOLDER FUNDS Threadneedle UK Institutional Fund currently has two share classes; Class 1, and Class 2 shares. The charges on each share class are as follows: Annual management charge Class 1 shares 1.50% Class 2 shares 0.75% Registration fees Class 1 shares 0.150% Class 2 shares 0.035% The net asset value of each share class, the net asset value per share, and the number of shares in each class are given in the comparative table on page 262. The distribution per share class is given in the distribution table on page 138. All classes have the same rights on winding up. 11 STOCKLENDING During the period under review the Threadneedle UK Institutional Fund has earned 11,000 (2014: 188,000) of which Nil (2014: 18,000) was outstanding at year end. They have paid fees of Nil (2014: 27,000) of which Nil (2014: 3,000) was outstanding at the year end to Threadneedle Investment Services Limited. In addition they have paid fees of Nil (2014: 28,000) of which Nil (2014: 3,000) was outstanding at the year end to J.P. Morgan as the security lending agent to process these arrangements and hold the collateral. There was no stock on loan at the end of the accounting period (2014: 45.68m), and there was no collateral held (2014: 48.54m). The collateral was held as either securities transferred in CREST by a DBV (Delivery by ) or Gilt DBV, or in the form of overseas government bonds, supranational bonds or certificates of deposit. The nature and value of collateral held is analysed by asset class in the table below. Analysis of Collateral Held Total Total Bonds 48, , DERIVATIVES AND OTHER FINANCIAL INSTRUMENTS The analysis and tables provided below refer to the narrative disclosure on derivatives and other financial instruments risks on pages 8 and 9. Currency exposures A small proportion of the net assets of the fund are denominated in currencies other than Sterling, with the effect that the balance sheet and total return can be affected by currency movements. Net foreign currency assets Non- Monetary exposures monetary exposures Total Currency 2015 Euro US Dollar 1,264 1,264 Currency 2014 Euro Interest rate risk profile of financial assets and financial liabilities The interest rate risk profile of the fund s financial assets and financial liabilities at 7 March 2015 was: Floating rate financial assets Fixed rate financial assets Financial assets not carrying interest Total Currency 2015 Euro UK Sterling 22,263 1,010,263 1,032,526 US Dollar 1,264 1,264 Currency 2014 Euro UK Sterling 7,002 7,500 1,089,616 1,104,118 Floating rate financial liabilities Fixed rate financial liabilities Financial liabilities not carrying interest Total Currency 2015 UK Sterling (1,377) (1,377) Currency 2014 UK Sterling (16,339) (16,339) The floating rate financial assets include deposits which have a weighted average interest rate of 0.35% (2014: 0.40%). There are no material amounts of non interest-bearing financial assets, other than equities, which do not have maturity dates. Cash balances are held in floating rate accounts where interest is calculated with reference to prevailing market rates. Fair value of financial assets and financial liabilities There is no material difference between the value of the financial assets and liabilities, as shown in the balance sheet, and their fair value. 13 CONTINGENT LIABILITIES AND COMMITMENTS There are no contingent liabilities and commitments outstanding (2014: Nil). 14 PORTFOLIO TRANSACTION COSTS Analysis of total purchase costs Purchases in period before transaction costs 245, ,818 Commissions Taxes 1, Fees 3 82 Total purchase costs 1, Gross purchases total 246, ,569 Analysis of total sale costs Gross sales before transaction costs 349, ,215 Commissions (198) (130) Taxes (1) (1) Total sale costs (199) (131) Total sales net of transaction costs 349, ,

142 Threadneedle UK Overseas Earnings Fund Investment Report Investment Objective To achieve capital growth. Investment Policy The ACD s investment policy is to invest the assets of the Fund primarily in the shares of UK companies deriving more than half their earnings from overseas activities and/or exports. Performance of Net Income Class 2 Shares* Over the twelve months to 7 March 2015, the published share price of the Threadneedle UK Overseas Earnings Fund has risen from p to p. Looking at performance within its peer group, the total return on the fund for the twelve months ending 28 February 2015, including net reinvested income, is +5.54% as compared to a median return of +4.26% over the same period. (For information the FTSE All-Share Total Return Index returned +5.56% over the same period). Portfolio Activity The UK equities market experienced gyrations over the last 12 months but ended the period in positive territory, with the FTSE 100 index hitting a new record high in February The first half of the year showed increasing signs of economic recovery, including improving industrial production and robust GDP-growth figures. This continued into the second half, although numerous headwinds increased investor uncertainty and market volatility. Faltering growth in the eurozone economies, slowing demand in China and, towards the year-end, slumping commodity prices all undermined the market. However, plentiful liquidity, easy monetary policy and the introduction of quantitative easing in the eurozone all prevented markets from falling too far. Downgrades highlighted that, for a third year in a row, UK market earnings are showing little sign of progress. The worstperforming area of the market was the resources sector, where the fund is underweight, thus benefiting relative performance. We initiated a new position in Diageo (beverages) during the period. Relative to peers, the company has a better portfolio and preferred geographical mix with a dominant presence across most developed markets, as well as in India. We also increased our position in Rio Tinto (mining). We are cautious on the sector overall but, relative to peers, Rio has a strong balance sheet, superior overall asset quality and the management is more focused on cash generation. We have also built up a position in British American Tobacco, a defensive name offering an attractive yield and growth potential. In terms of sales, we were able to exit positions in F&C Asset Management and CSR following takeover bids. The sharp decrease in the oil price, along with lower food prices as the major supermarket groups battle for market share, has resulted in a pronounced fall in consumer price inflation. However, the UK is not experiencing persistent deflation and the Bank of England is expecting inflation to pick up again towards the end of the year. Lower food and energy prices are benefiting consumers at a time when employment is rising and wage growth is beginning to accelerate, which should support discretionary spending over the course of The Bank of England has revised up its UK economic growth forecasts for both this year and next and this gives us confidence that corporate profits and dividends will advance in the years ahead. At these levels, the market is, in our view, fairly valued ahead of the uncertainty of the general election, but has scope to progress beyond that as the global economic recovery continues. STATEMENT OF TOTAL RETURN for the accounting period 8 March 2014 to 7 March 2015 Notes Income Net capital gains 2 4,813 21, ,128 4,315 Expenses 4 (1,842) (1,906) Net revenue before taxation 2,286 2,409 Taxation 5 Net revenue after taxation 2,286 2,409 Total return before distributions 7,099 23,620 Finance costs: s 6 (2,286) (2,408) Change in net assets attributable to shareholders from investment activities 4,813 21,212 BALANCE SHEET as at 7 March 2015 Notes Assets Investment assets 119, ,132 Other assets Debtors Cash and bank balances 2,284 1,682 Total other assets 2,884 2,451 Total assets 122, ,583 Liabilities Other liabilities Creditors 8 (327) (1,307) payable on income shares (546) (685) Total other liabilities (873) (1,992) Total liabilities (873) (1,992) Net assets attributable to shareholders 121, ,591 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 8 March 2014 to 7 March 2015 Opening net assets attributable to shareholders 125, ,900 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 3,403 11,044 Amounts payable on the cancellation of shares (12,672) (22,585) (9,269) (11,541) Dilution adjustment 4 46 Stamp duty reserve tax (29) Change in net assets attributable to shareholders from investment activities (see statement of total return above) 4,813 21,212 Unclaimed distributions monies brought back into account 3 3 Closing net assets attributable to shareholders 121, ,591 DISTRIBUTION TABLE for the accounting period 8 March 2014 to 7 March 2015 Dividend distribution in pence per share Class 2 Shares Net Income Net Paid/Payable Paid 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period Class Z Shares Net Income Net Paid/Payable Paid 08/03/14 to 07/09/ /09/14 to 07/03/ Total distributions in the period *In pound Sterling and against UK peer group. Please refer to pages for comparative tables. 141

143 Threadneedle UK Overseas Earnings Fund Notes to the financial statements for the accounting period 8 March 2014 to 7 March ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 6. 2 NET CAPITAL GAINS Net capital gains during the period comprise: Non-derivative securities 4,814 21,221 Other gains/(losses) 1 (6) Transaction costs (2) (4) Net capital gains 4,813 21,211 3 REVENUE UK dividends 4,108 4,151 Overseas dividends 5 Stock dividends 149 Bank interest 4 3 Underwriting commission 11 Stocklending commission 12 Total revenue 4,128 4,315 4 EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Annual management charge (1,765) (1,837) Registration fees (41) (43) (1,806) (1,880) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary s fees (12) (15) Safe custody fees (10) (1) (22) (16) Other expenses: Regulatory fee (5) (3) Audit fee (9) (7) (14) (10) * Total expenses (1,842) (1,906) *Including irrecoverable VAT where applicable. 5 TAXATION a) Analysis of charge in period Overseas taxes Total current tax (note 5b) Total tax charge for the period b) Factors affecting taxation charge for period Net revenue before taxation 2,286 2,409 Net revenue before taxation multiplied by the standard rate of corporation tax of 20% (457) (482) Effects of: not subject to taxation Excess expenses (364) (378) Current tax charge for period (note 5a) The fund has not recognised a deferred tax asset of 9,589,030 (2014: 9,224,632) arising as a result of having unutilised management expenses. It is unlikely that these expenses will be utilised in future years. 6 FINANCE COSTS s Interim 1,740 1,724 Final ,286 2,408 Net distribution for the period 2,286 2,408 Total finance costs 2,286 2,408 Details of the distribution per share are set out in the table on page DEBTORS Sales awaiting settlement 109 Accrued revenue Total debtors CREDITORS Amounts payable for the cancellation of shares (142) (593) Purchases awaiting settlement (559) Accrued expenses (9) (7) Amounts payable to ACD (176) (148) Total creditors (327) (1,307) 9 RELATED PARTY TRANSACTIONS The related parties are set out in detail in Note 8 of the aggregated financial statements on page 7. The aggregate monies received through issues and paid on cancellations are disclosed in the Statement of Change in s Attributable to Shareholders. Any amounts due to or from Threadneedle Investment Services Limited at the end of the accounting period are disclosed in Notes 7 and 8. Amounts payable to Threadneedle Investment Services Limited in respect of fund management and registration services are disclosed in Note 4 and amounts outstanding at the year end in Note 8. In addition any fees paid to Threadneedle Investment Services Limited in respect of stocklending are disclosed in Note 11. All transactions have been entered into in the ordinary course of business on normal commercial terms. 10 SHAREHOLDER FUNDS Threadneedle UK Overseas Earnings Fund currently has two share classes; Class 2, and Class Z shares. The charges on each share class are as follows: Annual management charge Class 2 shares 1.50% Class Z shares 0.75% Registration fees Class 2 shares 0.035% Class Z shares 0.110% The net asset value of each share class, the net asset value per share, and the number of shares in each class are given in the comparative table on page 263. The distribution per share class is given in the distribution table on page 141. All classes have the same rights on winding up. 11 STOCKLENDING During the period under review the Threadneedle UK Overseas Earnings Fund has earned Nil (2014: 16,000) of which Nil (2014: 2,000) was outstanding at year end. They have paid fees of Nil (2014: 2,000) to Threadneedle Investment Services Limited. In addition they have paid fees of Nil (2014: 2,000) to J.P. Morgan as the security lending agent to process these arrangements and hold the collateral. There was no stock on loan at the end of the accounting period (2014: 2.81m), and there was no collateral held (2014: 2.98m). The collateral was held as either securities transferred in CREST by a DBV (Delivery by ) or Gilt DBV, or in the form of overseas government bonds, supranational bonds or certificates of deposit. 142

144 Threadneedle UK Overseas Earnings Fund Notes to the financial statements The nature and value of collateral held is analysed by asset class in the table below. Analysis of Collateral Held Total Total Bonds 2, , DERIVATIVES AND OTHER FINANCIAL INSTRUMENTS The analysis and tables provided below refer to the narrative disclosure on derivatives and other financial instruments risks on pages 8 and 9. Currency exposures A small proportion of the net assets of the fund are denominated in currencies other than Sterling, with the effect that the balance sheet and total return can be affected by currency movements. Net foreign currency assets Non- Monetary exposures monetary exposures Total Currency 2015 US Dollar Currency 2014 Euro US Dollar Interest rate risk profile of financial assets and financial liabilities The interest rate risk profile of the fund s financial assets and financial liabilities at 7 March 2015 was: Floating rate financial assets Fixed rate financial assets Financial assets not carrying Total Currency 2015 UK Sterling 2, , ,928 US Dollar Currency 2014 Euro UK Sterling 1, , ,521 US Dollar CONTINGENT LIABILITIES AND COMMITMENTS There are no contingent liabilities and commitments outstanding (2014: Nil). 14 PORTFOLIO TRANSACTION COSTS Analysis of total purchase costs Purchases in period before transaction costs 15,098 16,953 Commissions Taxes Fees 1 Total purchase costs Gross purchases total 15,189 17,044 Analysis of total sale costs Gross sales before transaction costs 25,921 27,214 Commissions (26) (20) Total sale costs (26) (20) Total sales net of transaction costs 25,895 27,194 Floating rate financial liabilities Fixed rate financial liabilities Financial liabilities not carrying Total Currency 2015 UK Sterling (873) (873) Currency 2014 UK Sterling (1,992) (1,992) There are no material amounts of non interest-bearing financial assets, other than equities, which do not have maturity dates. Cash balances are held in floating rate accounts where interest is calculated with reference to prevailing market rates. Fair value of financial assets and financial liabilities There is no material difference between the value of the financial assets and liabilities, as shown in the balance sheet, and their fair value. 143

145 Statement of Authorised Corporate Director s (ACD) Responsibilities in relation to the Financial Statements of the Company The Open-Ended Investment Companies Regulations 2001 and the Collective Investment Schemes Sourcebook (COLL), as issued (and amended) by the Financial Conduct Authority (FCA), require the ACD to prepare financial statements for each annual accounting period which give a true and fair view, in accordance with United Kingdom Generally Accepted Accounting Practice, of the financial position of the Company and of each sub-fund and its net revenue/(expenses) and the net gains/ (losses) on the property of the Company and each sub-fund for the period. In preparing the financial statements the ACD is required to: n select suitable accounting policies and then apply them consistently; n comply with the disclosure requirements of the Statement of Recommended Practice relating to Authorised Funds issued by the Investment Management Association (IMA) in October 2010; n follow generally accepted accounting principles and applicable accounting standards; n keep proper accounting records, which enable it to demonstrate that the financial statements as prepared comply with the above requirements; n make judgements and estimates that are reasonable and prudent; and n prepare the financial statements on the going concern basis unless it is inappropriate to presume that the Company will continue in operation for the foreseeable future. The ACD is required to keep proper accounting records and to manage the Company in accordance with the Collective Investment Schemes Sourcebook, the Instrument of Incorporation and the Prospectus. The ACD is responsible for taking reasonable steps for the prevention and detection of fraud and other irregularities. Statement of the Depositary s Responsibilities and Report of the Depositary to the Shareholders of the Threadneedle Investment Funds ICVC The Depositary is responsible for the safekeeping of all of the property of the Company (other than tangible moveable property) which is entrusted to it and for the collection of revenue that arises from that property. It is the duty of the Depositary to take reasonable care to ensure that the Company is managed by the Authorised Corporate Director in accordance with the Financial Conduct Authority s (FCA s) Collective Investment Schemes Sourcebook ( the COLL Sourcebook ), the Open-Ended Investment Companies Regulations 2001 (SI 2001/1228) ( the OEIC Regulations ) and the Company s Instrument of Incorporation and Prospectus, as appropriate, in relation to the pricing of, and dealings in, shares in the Company; the application of revenue of the Company; and the investment and borrowing powers of the Company. Having carried out such procedures as we consider necessary to discharge our responsibilities as Depositary of the Company, it is our opinion, based on the information available to us and the explanations provided, that in all material respects the Authorised Corporate Director: (i) has carried out the issue, sale, redemption and cancellation, and calculation of the price of the Company s shares and the application of the Company s revenue in accordance with the COLL Sourcebook and, where applicable, the OEIC Regulations and the Company s Instrument of Incorporation and Prospectus; and (ii) has observed the investment and borrowing powers and restrictions applicable to the Company. Citibank International Limited London 20 May

146 Independent Auditors Report to the Members of Threadneedle Investment Funds ICVC Report on the financial statements Our opinion In our opinion the financial statements, defined below: n give a true and fair view of the financial position of the Company as at 7 March 2015 and of the net revenue/(expenses) and the net capital gains /(losses) of the scheme property of the Company for the year then ended; and n have been properly prepared in accordance with the United Kingdom Generally Accepted Accounting Principles, the Statement of Recommended Practice for Authorised Funds, the Collective Investment Schemes sourcebook and the Instrument of Incorporation. This opinion is to be read in the context of what we say in the remainder of this report. What we have audited The financial statements of Threadneedle Investments Funds (the Company ), which are prepared by Threadneedle Investment Services Limited (the Authorised Corporate Director ), comprise: n the aggregated balance sheet of the Company as at 7 March 2015; n the aggregated statement of total return of the Company for the period then ended; n the aggregated statement of changes in net assets attributable to shareholders for the period then ended; n the balance sheets as at 7 March 2015 together with the statement of total return and statement of changes in net assets attributable to shareholders for each of the Company s sub-funds; n the notes to the Company s financial statements, which include a summary of significant accounting policies and other explanatory information; and n the distribution tables The financial reporting framework that has been applied in their preparation is applicable law and United Kingdom Accounting Standards (United Kingdom Generally Accepted Accounting Practice), the Statement of Recommended Practice Financial Statements of Authorised Funds issued by the Investment Management Association (the Statement of Recommended Practice for Authorised Funds ), the Collective Investment Schemes sourcebook and the Instrument of Incorporation. In applying the financial reporting framework, the Authorised Corporate Director has made a number of subjective judgements, for example in respect of significant accounting estimates. In making such estimates, they have made assumptions and considered future events. What an audit of financial statements involves We conducted our audit in accordance with International Standards on Auditing (UK and Ireland) ( ISAs (UK & Ireland) ). An audit involves obtaining evidence about the amounts and disclosures in the financial statements sufficient to give reasonable assurance that the financial statements are free from material misstatement, whether caused by fraud or error. This includes an assessment of: n whether the accounting policies are appropriate to the Company s circumstances and have been consistently applied and adequately disclosed; n the reasonableness of significant accounting estimates made by the Authorised Corporate Director; and n the overall presentation of the financial statements. In addition, we read all the financial and non-financial information in the Annual Report and Financial Statements (the Annual Report ) to identify material inconsistencies with the audited financial statements and to identify any information that is apparently materially incorrect based on, or materially inconsistent with, the knowledge acquired by us in the course of performing the audit. If we become aware of any apparent material misstatements or inconsistencies we consider the implications for our report. Opinion on matters prescribed by the Collective Investment Schemes sourcebook In our opinion: n we have obtained all the information and explanations we consider necessary for the purposes of the audit; and n the information given in the Authorised Corporate Director s Report for the financial year for which the financial statements are prepared is consistent with the financial statements. Other matters on which we are required to report by exception Propriety of accounting records and information and explanations received Under the Collective Investment Schemes Sourcebook we are required to report to you if, in our opinion: n proper accounting records have not been kept; or n the financial statements are not in agreement with the accounting records and returns. We have no exceptions to report arising from this responsibility. Responsibilities for the financial statements and the audit Our responsibilities and those of the Authorised Corporate Director As explained more fully in the Authorised Corporate Director s Responsibilities Statement, the Authorised Corporate Director is responsible for the preparation of the financial statements and for being satisfied that they give a true and fair view. Our responsibility is to audit and express an opinion on the financial statements in accordance with applicable law and ISAs (UK & Ireland). Those standards require us to comply with the Auditing Practices Board s Ethical Standards for Auditors. This report, including the opinions, has been prepared for and only for the Company s members as a body in accordance with paragraph of the Collective Investment Schemes Sourcebook as required by paragraph 67(2) of the Open-Ended Investment Companies Regulations 2001 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. Edinburgh PricewaterhouseCoopers LLP Chartered Accountants and 20 May 2015 Statutory Auditors n The maintenance and integrity of the Columbia Threadneedle website is the responsibility of the directors; the work carried out by the auditors does not involve consideration of these matters and, accordingly, the auditors accept no responsibility for any changes that may have occurred to the financial statements since they were initially presented on the website. n Legislation in the United Kingdom governing the preparation and dissemination of financial statements may differ from legislation in other jurisdictions. 145

147 Threadneedle UK Fund Portfolio Statement as at 7 March 2015 Holding Investment Holding Investment OIL & GAS 8.31% (11.04%) Oil & Gas Producers 6.04% (8.66%) 5,206,551 BG Group 48, ,725,297 BP 25, ,668,016 Royal Dutch Shell B Shares 35, ,509,595 Tullow Oil 8, Oil Equipment, Services & 2.27% (2.38%) 1,667,263 Hunting 8, ,464,440 John Wood Group 36, Total Oil & Gas 163, BASIC MATERIALS 5.03% (8.81%) Chemicals 1.91% (3.18%) 1,109,569 Johnson Matthey 37, Industrial Metals & Mining 0.00% (2.82%) Mining 3.12% (2.81%) 2,083,256 Rio Tinto 61, Total Basic Materials 99, INDUSTRIALS 17.15% (17.21%) Construction & Materials 0.64% (1.22%) 26,132,375 Breedon Aggregates 12, Aerospace & Defence 3.43% (1.53%) 4,233,852 BAE Systems 22, ,127,987 Rolls-Royce Holdings 30, ,339 Ultra Electronics Holdings 14, General Industrials 3.71% (3.42%) 7,959,983 DS Smith 29, ,423,185 RPC Group 19, ,989,187 Smiths Group 23, Industrial Engineering 1.83% (1.84%) 1,115,265 IMI 14, ,427,149 Melrose Industries 20, ,998,469 *Melrose Industries B/C Shares Industrial Transportation 0.93% (0.96%) 4,286,548 Royal Mail 18, Support Services 6.61% (8.24%) 260,021 Aggreko 4, ,421,065 Berendsen 27, ,389 De La Rue 4, ,571,871 Essentra 16, ,690,590 G4S 13, ,664 Michael Page International 1, ,203,008 Rentokil Initial 18, ,109,933 Wolseley 45, Total Industrials 337, CONSUMER GOODS 19.59% (14.11%) Automobiles & Parts 1.92% (1.49%) 10,470,204 GKN 37, Beverages 2.46% (1.56%) 2,484,823 Diageo 48, Household Goods & Home Construction 5.05% (4.53%) 614,524 Bellway 12, ,542,896 Crest Nicholson Holdings 32, ,323,001 Headlam Group 10, ,561 Reckitt Benckiser Group 44, Personal Goods 4.34% (2.87%) 1,154,977 Burberry Group 21, ,922,368 PZ Cussons 12, ,751,059 Unilever 50, Tobacco 5.82% (3.66%) 1,110,024 British American Tobacco 43, ,201,109 Imperial Tobacco Group 71, Total Consumer Goods 385, HEALTH CARE 8.96% (8.43%) Health Care Equipment & Services 2.01% (1.75%) 3,423,636 Smith & Nephew 39, Pharmaceuticals & Biotechnology 6.95% (6.68%) 1,710,757 AstraZeneca 75, ,921,128 GlaxoSmithKline 61, Total Health Care 176, CONSUMER SERVICES 14.82% (15.42%) Food & Drug Retailers 1.90% (2.08%) 23,102,371 Booker Group 37, General Retailers 0.00% (1.66%) Media 5.45% (4.31%) 3,417,637 Daily Mail & General Trust 29, ,705,468 ITE Group 10, ,413,740 Pearson 34, ,882,017 Reed Elsevier 32, Travel & Leisure 7.47% (7.37%) 644,282 Carnival 19, ,646,064 Compass Group 30, ,512 InterContinental Hotels Group 26, ,715,733 J D Wetherspoon 13, ,184,426 Merlin Entertainments 43, ,870,130 Stagecoach Group 13, Total Consumer Services 291, TELECOMMUNICATIONS 4.00% (3.62%) Fixed Line Telecommunications 4.00% (3.62%) 17,029,592 BT Group 78, FINANCIALS 18.69% (15.80%) Total Telecommunications 78, Banks 4.54% (3.28%) 8,735,353 Barclays 23, ,719,268 HSBC Holdings 49, ,625,257 Standard Chartered 16, Nonlife Insurance 1.10% (0.93%) 5,150,750 RSA Insurance Group 21,

148 Threadneedle UK Fund Portfolio Statement Holding Investment FINANCIALS 18.69% (15.80%) Life Insurance 6.28% (5.62%) 3,810,901 Aviva 21, ,828,186 Legal & General Group 44, ,563,028 Phoenix Group Holdings 21, ,793,776 St James s Place 35, Real Estate Investment & Services 0.84% (0.73%) 7,941,134 Grainger 16, Real Estate Investment Trusts 1.18% (1.00%) 672,777 Derwent London 23, Financial Services 4.75% (4.24%) 2,246,127 London Stock Exchange Group 54, ,349 Schroders Non-voting 19, ,980,927 SVG Capital 19, Total Financials 368, TECHNOLOGY 3.09% (1.88%) Software & Computer Services 3.09% (1.88%) 5,325,249 FDM Group Holdings IPO 18, ,637,604 Sage Group 42, Total Technology 60, Total value of investments 1,961, Net other assets (3.68%) 6, Net assets 1,968, March 2014 comparatives in brackets. Alternative Investment Market. *The value has been recognised as a capital gain and included within the Net capital gains note. 147

149 Threadneedle UK Select Fund Portfolio Statement as at 7 March 2015 Holding Investment Holding Investment OIL & GAS 6.84% (12.27%) Oil & Gas Producers 5.27% (8.20%) 324,676 BG Group 3, ,101 Royal Dutch Shell B Shares 8, Oil Equipment, Services & 1.57% (4.07%) 508,131 John Wood Group 3, Total Oil & Gas 14, BASIC MATERIALS 2.27% (3.88%) Mining 2.27% (3.88%) 166,345 Rio Tinto 4, Total Basic Materials 4, INDUSTRIALS 10.68% (8.39%) Aerospace & Defence 2.57% (4.17%) 678,157 BAE Systems 3, ,653 Rolls-Royce Holdings 1, General Industrials 3.24% (1.08%) 1,871,171 DS Smith 7, Support Services 4.87% (3.14%) 1,330,476 Howden Joinery Group 6, ,343 Wolseley 4, Total Industrials 23, CONSUMER GOODS 16.19% (11.93%) Automobiles & Parts 2.95% (2.39%) 1,773,306 GKN 6, Household Goods & Home Construction 5.57% (2.48%) 1,804,215 Crest Nicholson Holdings 7, ,508 Reckitt Benckiser Group 4, Personal Goods 0.00% (2.29%) Tobacco 7.67% (4.77%) 183,952 British American Tobacco 7, ,274 Imperial Tobacco Group 9, Total Consumer Goods 35, HEALTH CARE 6.80% (9.06%) Health Care Equipment & Services 2.67% (2.67%) 501,167 Smith & Nephew 5, Pharmaceuticals & Biotechnology 4.13% (6.39%) 201,627 AstraZeneca 8, Total Health Care 14, ,726,279 Spirit Pub 4, ,515 Stagecoach Group 3, ,497 TUI AG 6, Total Consumer Services 46, TELECOMMUNICATIONS 3.65% (6.28%) Fixed Line Telecommunications 3.65% (4.49%) 1,709,360 BT Group 7, Mobile Telecommunications 0.00% (1.79%) Total Telecommunications 7, UTILITIES 0.00% (0.87%) Gas, Water & Multiutilities 0.00% (0.87%) Total Utilities FINANCIALS 26.65% (25.82%) Banks 3.56% (4.83%) 1,356,272 HSBC Holdings 7, Nonlife Insurance 2.38% (3.88%) 1,021,060 Amlin 5, Life Insurance 12.88% (9.95%) 4,251,903 Legal & General Group 11, ,960 Prudential 7, ,710 St James s Place 8, Real Estate Investment Trusts 3.16% (2.64%) 198,146 Derwent London 6, Financial Services 4.67% (4.52%) 281,591 London Stock Exchange Group 6, ,524,913 Sherborne Investors Guernsey B 3, TECHNOLOGY 0.00% (3.24%) Total Financials 57, Technology Hardware And Equipment 0.00% (3.24%) Total Technology Total value of investments 204, Net other assets (0.97%) 12, Net assets 216, March 2014 comparatives in brackets. CONSUMER SERVICES 21.31% (17.29%) Media 9.11% (8.19%) 629,916 Informa 3, ,267,115 ITV 8, ,240 Pearson 3, ,280 WPP 4, Travel & Leisure 12.20% (9.10%) 337,113 Compass Group 3, ,943 InterContinental Hotels Group 4, ,048,243 Merlin Entertainments 4,

150 Threadneedle UK Smaller Companies Fund Portfolio Statement as at 7 March 2015 Holding Investment Holding Investment OIL & GAS 1.64% (6.90%) Oil & Gas Producers 1.30% (3.54%) 1,532,712 Amerisur Resources ,970,560 Faroe Petroleum 1, Oil Equipment, Services & 0.34% (3.36%) 2,008,642 Enteq Upstream ,000 Mycelx Technologies Total Oil & Gas 2, BASIC MATERIALS 5.19% (6.19%) Chemicals 4.41% (4.89%) 15,088 Applied Graphene Materials ,619,819 Scapa Group 3, ,711 Victrex 1, ,000 Zotefoams Mining 0.78% (1.30%) 14,608,476 DiamondCorp 1, Total Basic Materials 7, INDUSTRIALS 30.26% (26.97%) Construction & Materials 6.13% (4.19%) 1,065,636 Accsys Technologies ,428 Eurocell Group 1, ,100 Keller Group 2, ,133,041 Tyman 3, Aerospace & Defence 3.18% (2.28%) 314,500 Avon Rubber 2, ,375 Senior 2, General Industrials 0.00% (0.90%) Electronic & Electrical Equipment 2.75% (4.00%) 277,518 Domino Printing Sciences 2, ,388 Gooch & Housego 1, ,163 Oxford Instruments Industrial Engineering 2.92% (3.38%) 2,891,811 Hayward Tyler Group 2, ,093,643 Severfield 2, Industrial Transportation 0.00% (0.37%) Support Services 15.28% (11.85%) 10,247,437 1Spatial ,166 Acal 1, ,356 Essentra 1, ,777 Mears Group ,102,257 Optimal Payments 4, ,855 PayPoint 1, ,029,404 Regenersis 2, ,830 Ricardo ,007,372 Robert Walters 3, ,303 RPS Group 1, ,471 SIG ,237 Staffline Group 1, ,233 Xchanging Total Industrials 43, CONSUMER GOODS 9.13% (5.62%) Beverages 2.21% (0.00%) 738,806 Fevertree Drinks 1, ,105 Stock Spirits Group 1, Food Producers 0.39% (0.00%) 830,000 Finsbury Food Group Household Goods & Home Construction 3.72% (3.71%) 866,043 Crest Nicholson Holdings 3, ,190 Galliford Try 1, Leisure Goods 0.37% (0.00%) 372,350 Photo-Me International Personal Goods 2.44% (1.91%) 137,306 Ted Baker 3, Total Consumer Goods 13, HEALTH CARE 6.27% (4.48%) Health Care Equipment & Services 3.81% (2.41%) 583,333 Electrical Geodesics ,475,958 Optos 5, Pharmaceuticals & Biotechnology 2.46% (2.07%) 463,972 Clinigen Group 2, ,889 Horizon Discovery Group 1, Total Health Care 9, CONSUMER SERVICES 20.84% (18.11%) General Retailers 6.10% (5.25%) 317,800 Koovs ,535,813 Moss Bros Group 1, ,833 N Brown Group 3, ,658 Pets at Home Group ,429 ScS Group 1, ,257 Stanley Gibbons Group 1, Media 8.13% (9.16%) 152,331 Euromoney Institutional Investor 1, ,462 Moneysupermarket.com Group 2, ,000 NAHL Group 1, ,160 Progressive Digital Media Group 1, ,968 STV Group 2, ,289 UTV Media ,751,036 YouGov 2, Travel & Leisure 6.61% (3.70%) 4,366,766 DP Poland 1, ,623,924 Flybe Group 1, ,396,252 Rank Group 2, ,974 Restaurant Group 1, ,379,407 Spirit Pub 2, Total Consumer Services 30, TELECOMMUNICATIONS 1.01% (0.00%) Mobile Telecommunications 1.01% (0.00%) 570,359 Gamma Communications 1, Total Telecommunications 1,

151 Threadneedle UK Smaller Companies Fund Portfolio Statement Holding Investment UTILITIES 0.35% (0.00%) Electricity 0.35% (0.00%) 460,000 Greenko Group Total Utilities FINANCIALS 13.54% (12.62%) Banks 3.05% (0.00%) 92,881 Secure Trust Bank 2, ,539 Virgin Money Holdings UK 1, Real Estate Investment & Services 3.00% (2.11%) 952,053 Conygar Investment 1, ,331 Savills 2, Real Estate Investment Trusts 2.18% (1.95%) 781,000 Londonmetric Property 1, ,466 NewRiver Retail 1, Financial Services 5.31% (8.56%) 129,554 Brooks Macdonald Group 1, ,921 IP Group 2, ,175 Plus500 2, ,847 Polar Capital Holdings 1, Total Financials 19, TECHNOLOGY 12.01% (14.02%) Software & Computer Services 8.20% (10.65%) 72,445 AVEVA Group 1, ,152 Craneware 1, ,009 FDM Group Holdings 2, ,458,837 GB Group 2, ,541,643 iomart Group 3, ,000 Redcentric ,162,931 Ubisense Group 1, Technology Hardware & Equipment 3.81% (3.37%) 591,829 CSR 5, ,772 Laird Total Technology 17, Total value of investments 145, Net other (liabilities)/assets (5.09%) (352) (0.24) Net assets 145, March 2014 comparatives in brackets. Alternative Investment Market. 150

152 Threadneedle UK Growth & Income Fund Portfolio Statement as at 7 March 2015 Holding Investment Holding Investment OIL & GAS 4.38% (5.24%) Oil & Gas Producers 4.38% (5.24%) 615,272 BG Group 5, ,145 Royal Dutch Shell B Shares 8, Total Oil & Gas 13, BASIC MATERIALS 2.66% (2.95%) Chemicals 2.20% (2.29%) 206,157 Johnson Matthey 6, Mining 0.46% (0.66%) 128,436 Anglo American 1, Total Basic Materials 8, INDUSTRIALS 22.37% (22.28%) Aerospace & Defence 6.74% (6.43%) 1,745,579 BAE Systems 9, ,671,858 Cobham 5, ,113 Rolls-Royce Holdings 6, General Industrials 3.55% (3.76%) 1,740,629 DS Smith 6, ,860 Smiths Group 4, Electronic & Electrical Equipment 1.11% (1.20%) 1,034,903 Morgan Advanced Materials 3, Industrial Engineering 2.52% (2.83%) 343,680 IMI 4, ,199,273 Melrose Industries 3, ,291,525 *Melrose Industries B/C Shares Industrial Transportation 0.87% (0.60%) 1,602,760 Wincanton 2, Support Services 7.58% (7.46%) 1,713,381 Electrocomponents 4, ,390,351 Rentokil Initial 7, ,144 Wolseley 8, ,665 WS Atkins 4, Total Industrials 71, CONSUMER GOODS 9.68% (9.14%) Automobiles & Parts 2.08% (2.58%) 1,832,076 GKN 6, Personal Goods 3.76% (3.39%) 411,139 Unilever 11, Tobacco 3.84% (3.17%) 375,401 Imperial Tobacco Group 12, Total Consumer Goods 30, HEALTH CARE 9.87% (9.61%) Pharmaceuticals & Biotechnology 9.87% (9.61%) 363,657 AstraZeneca 16, ,770 GlaxoSmithKline 15, Total Health Care 31, General Retailers 4.07% (3.70%) 2,029,913 Home Retail Group 4, ,727,592 Marks & Spencer Group 8, Media 9.22% (7.11%) 3,826,528 ITV 9, ,455 Pearson 10, ,877 Reed Elsevier 9, Travel & Leisure 7.26% (6.53%) 655,135 Compass Group 7, ,994,650 Firstgroup 4, ,416 J D Wetherspoon 4, ,724,102 Rank Group 3, ,143,797 Stagecoach Group 3, Total Consumer Services 81, TELECOMMUNICATIONS 5.53% (4.95%) Fixed Line Telecommunications 5.53% (4.95%) 3,046,842 BT Group 14, ,320,590 Colt Group 3, Total Telecommunications 17, UTILITIES 5.54% (5.52%) Gas, Water & Multiutilities 5.54% (5.52%) 2,260,031 Centrica 5, ,844 National Grid 5, ,001 Pennon Group 2, ,961 United Utilities Group 3, Total Utilities 17, FINANCIALS 12.99% (10.46%) Banks 2.14% (0.00%) 234,050 Secure Trust Bank 6, Nonlife Insurance 2.41% (2.18%) 1,818,581 RSA Insurance Group 7, Life Insurance 4.16% (3.67%) 4,711,971 Legal & General Group 13, Financial Services 4.28% (4.61%) 1,639,813 3i Group 8, ,875,575 Sherborne Investors Guernsey B 5, Total Financials 41, TECHNOLOGY 1.86% (3.27%) Technology Hardware & Equipment 1.86% (3.27%) 6,969,221 Spirent Communications 5, Total Technology 5, Total value of investments 319, Net other (liabilites)/assets (4.42%) (1,601) (0.50) Net assets 317, March 2014 comparatives in brackets. Alternative Investment Market. CONSUMER SERVICES 25.62% (22.16%) Food & Drug Retailers 5.07% (4.82%) 5,267,298 Booker Group 8, ,687,008 WM Morrison Supermarkets 7, *The value has been recognised as a capital gain and included within the Net capital gains note.

153 Threadneedle UK Equity Income Fund Portfolio Statement as at 7 March 2015 Holding Investment Holding Investment OIL & GAS 4.41% (5.75%) Oil & Gas Producers 4.41% (5.75%) 2,529,119 BG Group 23, ,944,970 Royal Dutch Shell B Shares 127, Total Oil & Gas 150, BASIC MATERIALS 2.06% (2.47%) Chemicals 2.06% (2.47%) 7,762,988 Elementis 22, ,417,862 Johnson Matthey 48, Total Basic Materials 70, INDUSTRIALS 21.06% (23.46%) Construction & Materials 0.96% (1.29%) 949,431 Kier Group 16, ,196,949 Morgan Sindall Group 16, Aerospace & Defence 5.49% (5.38%) 18,853,948 BAE Systems 101, ,299,621 Cobham 55, ,149,461 Rolls-Royce Holdings 31, General Industrials 3.62% (3.96%) 18,564,048 DS Smith 69, ,585,699 Smiths Group 53, Electronic & Electrical Equipment 1.29% (1.59%) 8,106,929 Morgan Advanced Materials 27, ,927,668 Oxford Instruments 16, Industrial Engineering 1.65% (2.45%) 2,496,786 IMI 33, ,136,873 Melrose Industries 22, ,762,787 *Melrose Industries B/C Shares Industrial Transportation 0.56% (0.54%) 11,126,543 Wincanton 19, Support Services 7.49% (8.25%) 24,165,740 Electrocomponents 59, ,429,192 Hays 35, ,472,260 Rentokil Initial 56, ,489,187 Wolseley 60, ,318,330 WS Atkins 44, Total Industrials 720, CONSUMER GOODS 12.72% (8.95%) Automobiles & Parts 0.97% (1.60%) 9,182,396 GKN 33, Personal Goods 3.33% (3.33%) 3,925,800 Unilever 113, Tobacco 8.42% (4.02%) 8,869,660 Imperial Tobacco Group 288, Total Consumer Goods 435, HEALTH CARE 15.04% (11.99%) Pharmaceuticals & Biotechnology 15.04% (11.99%) 6,396,427 AstraZeneca 283, ,822,717 GlaxoSmithKline 230, Total Health Care 514, CONSUMER SERVICES 20.79% (19.95%) Food & Drug Retailers 4.27% (3.41%) 28,506,140 Booker Group 46, ,731,290 WM Morrison Supermarkets 99, General Retailers 2.84% (2.48%) 19,149,535 Marks & Spencer Group 97, Media 7.73% (6.96%) 34,315,031 ITV 84, ,297,360 Pearson 105, ,613,971 Reed Elsevier 74, Travel & Leisure 5.95% (7.10%) 6,832,920 Compass Group 80, ,434,470 Go-Ahead Group 36, ,781,557 J D Wetherspoon 22, ,006,399 Rank Group 24, ,510,655 Stagecoach Group 38, Total Consumer Services 710, TELECOMMUNICATIONS 4.45% (5.40%) Fixed Line Telecommunications 4.45% (5.40%) 32,963,712 BT Group 152, Total Telecommunications 152, UTILITIES 7.27% (7.44%) Gas, Water & Multiutilities 7.27% (7.44%) 34,586,078 Centrica 84, ,433,105 National Grid 91, ,518,278 Pennon Group 29, ,653,028 United Utilities Group 43, FINANCIALS 12.51% (13.68%) Total Utilities 248, Nonlife Insurance 2.15% (2.46%) 17,466,302 RSA Insurance Group 73, Life Insurance 7.39% (7.78%) 9,455,608 Aviva 53, ,057,796 Chesnara 17, ,804,627 Legal & General Group 128, ,190,989 Phoenix Group Holdings 52, Financial Services 2.97% (3.44%) 14,341,855 3i Group 70, ,760,048 Sherborne Investors Guernsey B 30, Total Financials 427, DERIVATIVES 0.00% (0.00%) Forward Foreign Exchange Contracts 0.00% (0.00%) Sell GBP 10,941 Buy CHF 16,067 J.P. Morgan Sell GBP 10,994 Buy CHF 16,079 J.P. Morgan Sell GBP 2,744,015 Buy CHF 4,029,462 J.P. Morgan (26) Sell GBP 90,067 Buy EUR 124,194 J.P. Morgan (1) Sell GBP 3,814,277 Buy EUR 5,200,737 J.P. Morgan (64) 152

154 Threadneedle UK Equity Income Fund Portfolio Statement Holding Investment DERIVATIVES 0.00% (0.00%) Sell GBP 69,290 Buy EUR 94,476 J.P. Morgan (1) Sell USD 6,503 Buy GBP 4,232 J.P. Morgan Sell USD 95,451 Buy GBP 62,632 J.P. Morgan Sell GBP 793,012 Buy USD 1,224,517 J.P. Morgan 14 Sell GBP 14,815 Buy USD 22,951 J.P. Morgan Sell GBP 253,114 Buy USD 391,411 J.P. Morgan 5 Sell GBP 343,550 Buy USD 531,260 J.P. Morgan 7 Total Derivatives (66) Total value of investments 3,431, Net other liabilities (0.91%) (10,443) (0.31) Net assets 3,420, ANALYSIS OF COLLATERAL RECEIVED Counterparty Type J.P. Morgan Cash 30 Total collateral 30 March 2014 comparatives in brackets. *The value has been recognised as a capital gain and included within the Net capital gains note. 153

155 Threadneedle UK Monthly Income Fund Portfolio Statement as at 7 March 2015 Holding Investment Holding Investment OIL & GAS 5.40% (5.97%) Oil & Gas Producers 5.40% (5.97%) 660,000 BG Group 6, ,415,000 Royal Dutch Shell B Shares 30, Total Oil & Gas 36, BASIC MATERIALS 1.32% (2.59%) Chemicals 0.65% (1.06%) 130,000 Johnson Matthey 4, Mining 0.67% (1.53%) 285,000 BHP Billiton 4, Total Basic Materials 8, INDUSTRIALS 14.63% (19.30%) Construction & Materials 0.00% (0.78%) Aerospace & Defence 3.50% (3.36%) 4,025,000 BAE Systems 21, ,000 Rolls-Royce Holdings 1, General Industrials 2.41% (2.52%) 2,700,000 DS Smith 10, ,000 Smiths Group 6, Electronic & Electrical Equipment 0.51% (0.55%) 480,000 Halma 3, Industrial Engineering 1.20% (1.76%) 1,600,000 Melrose Industries 4, ,540,000 *Melrose Industries B/C Shares 5,300,000 Severfield 3, Industrial Transportation 0.76% (1.49%) 205,000 James Fisher & Sons 2, ,808 Royal Mail 2, Support Services 6.25% (8.84%) 2,515,362 Connect Group 3, ,000 De La Rue 2, ,000 Diploma 5, ,100,000 Electrocomponents 5, ,000 Travis Perkins 9, ,708 Wolseley 4, ,000 WS Atkins 9, Total Industrials 98, CONSUMER GOODS 11.52% (9.84%) Automobiles & Parts 1.00% (1.13%) 1,875,000 GKN 6, Beverages 1.26% (1.14%) 270,000 Diageo 5, ,000 SABMiller 3, Household Goods & Home Construction 0.59% (0.56%) 400,000 Bovis Homes Group 3, Personal Goods 0.75% (0.32%) 175,000 Unilever 5, Tobacco 7.92% (6.69%) 570,000 British American Tobacco 22, ,000 Imperial Tobacco Group 31, Total Consumer Goods 77, HEALTH CARE 9.92% (10.02%) Pharmaceuticals & Biotechnology 9.92% (10.02%) 720,000 AstraZeneca 31, ,240,000 GlaxoSmithKline 34, Total Health Care 66, CONSUMER SERVICES 15.16% (15.09%) General Retailers 0.42% (0.83%) 1,371,429 ScS Group 2, Media 6.71% (5.27%) 1,045,000 Chime Communications 2, ,600,000 ITV 8, ,000 Pearson 10, ,275,000 Reed Elsevier 14, ,000 WPP 8, Travel & Leisure 8.03% (8.99%) 945,000 Compass Group 11, ,000 Fuller Smith & Turner 5, ,000 Go-Ahead Group 15, ,460,000 Marston s 6, ,470,000 Rank Group 4, ,230,000 Stagecoach Group 4, ,350,000 Thomas Cook Group 6, Total Consumer Services 102, TELECOMMUNICATIONS 6.30% (7.95%) Fixed Line Telecommunications 5.13% (5.76%) 5,975,000 BT Group 27, ,450,000 Kcom Group 3, ,010,000 Manx Telecom 3, Mobile Telecommunications 1.17% (2.19%) 3,525,000 Vodafone Group 7, Total Telecommunications 42, UTILITIES 5.68% (4.39%) Gas, Water & Multiutilities 5.68% (4.39%) 1,990,000 Centrica 4, ,875,000 National Grid 16, ,450,000 Pennon Group 11, ,000 Severn Trent 4, Total Utilities 38, FINANCIALS 28.18% (23.48%) Banks 3.78% (1.14%) 4,475,000 HSBC Holdings 25, Nonlife Insurance 2.37% (2.77%) 1,840,000 Catlin Group 12, ,000 Lancashire Holdings 3,

156 Threadneedle UK Monthly Income Fund Portfolio Statement Holding Investment FINANCIALS 28.18% (23.48%) Life Insurance 11.23% (10.70%) 2,185,000 Aviva 12, ,225,000 Chesnara 11, ,000,000 Legal & General Group 28, ,790,000 Phoenix Group Holdings 15, ,000 St James s Place 8, Real Estate Investment Trusts 2.74% (2.33%) 310,000 Derwent London 10, ,730,000 Londonmetric Property 7, Financial Services 8.06% (6.54%) 1,135,000 3i Group 5, ,150,000 Close Brothers Group 19, ,795,000 Intermediate Capital Group 18, ,000 Provident Financial 6, ,275,000 Sherborne Investors Guernsey B 3, Total Financials 189, Total value of investments 660, Net other assets (1.37%) 12, Net assets 673, March 2014 comparatives in brackets. Alternative Investment Market. *The value has been recognised as a capital gain and included within the Net capital gains note. 155

157 Threadneedle Monthly Extra Income Fund Portfolio Statement as at 7 March 2015 Holding Investment Holding Investment AUSTRALIA 0.52% (0.25%) Corporate Bonds 0.52% (0.25%) GBP 432,000 AusNet Services Holdings Pty 7.125% 26/06/ GBP 250,000 BHP Billiton Finance 3.25% 25/09/ EUR 800,000 *Santos Finance 8.25% 22/09/ GBP 500,000 SGSP Australia Assets Pty 5.125% 11/02/ Total Australia 1, AUSTRIA 0.13% (0.08%) Corporate Bonds 0.13% (0.08%) EUR 400,000 BAWAG PSK Bank fuer Arbeit und Wirtschaft und Oesterreichische Postsparkasse 8.125% 30/10/ EUR 300,000 Heta Asset Resolution 4.25% 31/10/ Total Austria BELGIUM 0.39% (0.32%) Corporate Bonds 0.39% (0.32%) GBP 560,000 Anheuser-Busch InBev 4% 24/09/ GBP 125,000 Anheuser-Busch InBev 9.75% 30/07/ EUR 905,000 *KBC Groep 5.625% 19/12/ Total Belgium 1, BERMUDA 1.26% (0.00%) Nonlife Insurance 1.26% (0.00%) GBP 587,188 Hiscox 4, Total Bermuda 4, BRITISH VIRGIN ISLANDS 0.03% (0.15%) Corporate Bonds 0.03% (0.15%) GBP 109,000 Global Switch Holdings 4.375% 13/12/ Total British Virgin Islands CAYMAN ISLANDS 1.98% (1.46%) Commercial Mortgage Backed Securities 0.00% (0.06%) Corporate Bonds 0.60% (0.64%) GBP 225,000 Dwr Cymru Financing 6.015% 31/03/ USD 300,000 *Hutchison Whampoa International 10 6% 29/04/ GBP 300,000 South East Water Finance % 30/09/ GBP 600,000 *Thames Water Utilities Cayman Finance 5.375% 21/07/ GBP 150,000 *Trafford Centre Finance FRN 28/07/ GBP 580,000 *Yorkshire Water Services Bradford Finance 6% 24/04/ Life Insurance 1.38% (0.76%) 605,601 Phoenix Group Holdings 5, Total Cayman Islands 7, DENMARK 0.21% (0.24%) Corporate Bonds 0.21% (0.24%) GBP 600,000 *Danske Bank 5.375% 29/09/ EUR 200,000 *Danske Bank 5.875% 29/04/ Total Denmark FRANCE 1.09% (1.15%) Corporate Bonds 1.09% (1.15%) GBP 150,000 *AXA FRN 16/01/ GBP 250,000 AXA 7.125% 15/12/ GBP 500,000 BPCE 5.25% 16/04/ GBP 280,000 *Credit Agricole 7.5% 31/12/ USD 620,000 *Credit Agricole 8.125% 19/09/ GBP 100,000 Electricite de France 5.5% 17/10/ GBP 100,000 Electricite de France 6% 23/01/ GBP 200,000 *Electricite de France 6% 29/12/ GBP 1,300,000 Electricite de France 6.125% 02/06/2034 1, EUR 100,000 Numericable-SFR 5.375% 15/05/ Total France 4, GUERNSEY 0.78% (0.75%) Corporate Bonds 0.17% (0.00%) USD 880,000 *Credit Suisse Group Guernsey I 7.875% 24/08/ Financial Services 0.61% (0.75%) 2,449,781 Sherborne Investors Guernsey B 2, Total Guernsey 2, ITALY 0.39% (0.42%) Corporate Bonds 0.39% (0.42%) GBP 777,000 Acquedotto Pugliese 6.92% 29/06/ GBP 600,000 Telecom Italia 5.625% 29/12/ Total Italy 1, JERSEY 1.80% (1.73%) Corporate Bonds 0.37% (0.26%) GBP 300,000 AA Bond 9.5% 31/07/ GBP 200,000 Gatwick Funding 5.25% 23/01/ GBP 185,000 Heathrow Funding 4.625% 31/10/ GBP 275,000 Heathrow Funding 5.225% 15/02/ GBP 255,000 Porterbrook Rail Finance 4.625% 04/04/ Support Services 1.43% (1.47%) GBP 131,285 Wolseley 5, Total Jersey 6, LUXEMBOURG 0.29% (0.58%) Corporate Bonds 0.29% (0.58%) USD 220,000 Actavis Funding SCS 4.75% 15/03/ GBP 140,000 Gazprom OAO Via Gaz Capital 5.338% 25/09/ GBP 700,000 Glencore Finance Europe 6.5% 27/02/ Total Luxembourg 1,

158 Threadneedle Monthly Extra Income Fund Portfolio Statement Holding Investment Holding Investment MEXICO 0.52% (0.75%) Corporate Bonds 0.27% (0.47%) GBP 285,000 America Movil 5% 27/10/ GBP 359,000 *America Movil 6.375% 06/09/ USD 400,000 Mexichem 5.875% 17/09/ Government Bonds 0.25% (0.28%) GBP 890,000 United Mexican States 5.625% 19/03/ Total Mexico 1, NETHERLANDS 1.10% (1.13%) Corporate Bonds 1.10% (1.13%) EUR 300,000 *Deutsche Annington Finance 4% 29/12/ EUR 700,000 *Deutsche Annington Finance 4.625% 08/04/ USD 608,000 EDP Finance 4.125% 15/01/ GBP 150,000 *Generali Finance 6.214% 29/06/ USD 591,000 *ING Bank 4.125% 21/11/ GBP 600,000 *ING Bank 6.875% 29/05/ GBP 390,000 *Linde Finance 8.125% 14/07/ GBP 220,000 Petrobras Global Finance 5.375% 01/10/ GBP 250,000 Petrobras Global Finance 6.625% 16/01/ GBP 475,000 PostNL 7.5% 14/08/ GBP 300,000 *Siemens Financieringsmaatschappij 6.125% 14/09/ Total Netherlands 4, NORWAY 0.20% (0.23%) Corporate Bonds 0.20% (0.23%) GBP 325,000 Statoil 4.25% 10/04/ GBP 250,000 Statoil 6.875% 11/03/ Total Norway QATAR 0.00% (0.17%) Corporate Bonds 0.00% (0.17%) Total Qatar REPUBLIC OF IRELAND 0.59% (0.87%) Corporate Bonds 0.59% (0.87%) GBP 381,000 *Argon Capital for Royal Bank of Scotland 8.162% 29/10/ EUR 200,000 Baggot Securities 10.24% 31/12/ GBP 875,000 GE Capital UK Funding 5.125% 24/05/2023 1, GBP 525,000 GE Capital UK Funding 5.875% 18/01/ GBP 790,000 Saphir Finance % 29/06/ Total Republic of Ireland 2, RUSSIA 0.00% (0.05%) Government Bonds 0.00% (0.05%) Total Russia SLOVENIA 0.00% (0.11%) Government Bonds 0.00% (0.11%) Total Slovenia SPAIN 0.18% (0.23%) Corporate Bonds 0.18% (0.23%) GBP 600,000 Telefonica Emisiones 5.597% 12/03/ Total Spain SWITZERLAND 0.22% (0.30%) Corporate Bonds 0.22% (0.30%) USD 511,000 UBS 5.125% 15/05/ USD 200,000 *UBS Group 7% 29/12/ USD 465,000 *UBS Jersey 7.25% 22/02/ Total Switzerland TURKEY 0.00% (0.07%) Corporate Bonds 0.00% (0.07%) Total Turkey UNITED ARAB EMIRATES 0.16% (0.00%) Corporate Bonds 0.16% (0.00%) USD 900,000 Emirates NBD PJSC 3.25% 19/11/ Total United Arab Emirates UNITED KINGDOM 84.07% (83.84%) Corporate Bonds 7.75% (8.45%) GBP 125,000 3i Group 6.875% 09/03/ GBP 115,000 Abbey National Treasury Services London 5.25% 16/02/ GBP 250,000 Admiral Group 5.5% 25/07/ GBP 300,000 Anglian Water Osprey Financing 7% 31/01/ GBP 1,055,000 *Aviva 6.625% 03/06/2041 1, GBP 264,000 *Bank of Scotland 7.286% 29/11/ GBP 885,000 Barclays Bank 10% 21/05/2021 1, GBP 300,000 *Barclays Bank 14% 29/11/ GBP 225,000 BG Energy Capital 5.125% 01/12/ GBP 650,000 *BG Energy Capital 6.5% 30/11/ GBP 608,000 BUPA Finance 3.375% 17/06/ GBP 404,000 BUPA Finance 5% 25/04/ GBP 35,000 Canary Wharf Finance II 6.455% 22/04/ GBP 450,000 *Cattles 8.125% 05/07/ GBP 580,000 Clydesdale Bank 4.625% 08/06/ GBP 600,000 Eastern Power Networks 6.25% 12/11/ GBP 305,000 Enterprise Inns 6.5% 06/12/ GBP 264,000 ENW Finance 6.125% 21/07/ GBP 850,000 Eversholt Funding 5.831% 02/12/ GBP 150,000 Eversholt Funding 6.359% 02/12/ GBP 100,000 Experian Finance 3.5% 15/10/ GBP 540,000 First Hydro Finance 9% 31/07/ GBP 414,000 G4S 7.75% 13/05/ GBP 600,000 GKN Holdings 6.75% 28/10/

159 Threadneedle Monthly Extra Income Fund Portfolio Statement Holding Investment Holding Investment UNITED KINGDOM 84.07% (83.84%) GBP 360,000 Greene King Finance 5.106% 15/03/ GBP 275,000 HSBC Holdings 6% 29/03/ GBP 280,000 Imperial Tobacco Finance 8.125% 15/03/ GBP 250,000 Imperial Tobacco Finance 9% 17/02/ GBP 350,000 Integrated Accommodation Services 6.48% 31/03/ GBP 190,000 Juturna European Loan Conduit No % 10/08/ GBP 325,000 *Legal & General Group 5.5% 27/06/ GBP 365,000 *Legal & General Group 10% 23/07/ GBP 222,000 *Lloyds Bank 10.75% 16/12/ GBP 335,000 *Lloyds Banking Group 7% 29/12/ GBP 850,000 *Lloyds Banking Group 7.875% 29/12/ GBP 450,000 Longstone Finance 4.791% 19/04/ GBP 112,000 Marks & Spencer 4.75% 12/06/ GBP 100,000 Mitchells & Butlers Finance 5.574% 15/12/ GBP 500,000 Motability Operations Group 4.375% 08/02/ GBP 350,000 National Express Group 6.25% 13/01/ GBP 260,000 National Grid Electricity Transmission 7.375% 13/01/ GBP 300,000 National Westminster Bank 6.5% 07/09/ GBP 375,000 *Nationwide Building Society 6.875% 11/03/ GBP 575,000 *NGG Finance 5.625% 18/06/ GBP 300,000 Octagon Healthcare Funding 5.333% 31/12/ GBP 850,000 *Pennon Group 6.75% 08/03/ GBP 250,000 Priory Group No 3 7% 15/02/ GBP 750,000 RMPA Services 5.337% 30/09/ USD 333,000 *Royal Bank of Scotland Group FRN 16/03/ USD 418,000 Royal Bank of Scotland Group 6.125% 15/12/ GBP 225,000 Royal Bank of Scotland Group 6.625% 17/09/ GBP 414,000 *RSA Insurance Group 5.125% 10/10/ GBP 525,000 *RSA Insurance Group 9.375% 20/05/ GBP 400,000 South Eastern Power Networks 6.375% 12/11/ GBP 175,000 Southern Water Greensands Financing 8.5% 15/04/ GBP 300,000 Tate & Lyle International Finance 6.75% 25/11/ GBP 700,000 *Telereal Securitisation % 10/12/ GBP 265,000 Telereal Securitisation % 10/12/ GBP 250,000 Tesco Property Finance % 13/07/ GBP 370,000 Tesco Property Finance 5.5% 13/10/ GBP 880,000 Tesco Property Finance % 13/07/ GBP 365,000 Travis Perkins 4.375% 15/09/ GBP 300,000 Unique Pub Finance 6.542% 30/03/ GBP 200,000 *Virgin Money Holdings UK 7.875% 31/12/ GBP 355,000 Western Power West Midlands 5.75% 16/04/ GBP 232,000 Wheatley Group Capital 4.375% 28/11/ GBP 600,000 WM Morrison Supermarkets 4.625% 08/12/ Government Bonds 0.59% (0.55%) GBP 270,000 United Kingdom Gilt 1.75% 07/09/ GBP 1,070,000 United Kingdom Gilt 2.75% 07/09/2024 1, GBP 550,000 United Kingdom Gilt 4.75% 07/12/ Oil & Gas Producers 3.35% (4.05%) 235,119 BG Group 2, ,032 Royal Dutch Shell B Shares 10, Chemicals 1.23% (1.34%) 135,886 Johnson Matthey 4, Aerospace & Defence 4.27% (4.13%) 1,638,128 BAE Systems 8, ,368,724 Cobham 4, ,898 Rolls-Royce Holdings 2, General Industrials 2.91% (3.69%) 1,695,388 DS Smith 6, ,659 Smiths Group 4, Electronic & Electrical Equipment 0.72% (0.90%) 786,817 Morgan Advanced Materials 2, Industrial Engineering 1.37% (2.21%) 225,519 IMI 3, ,301 Melrose Industries 2, ,786 **Melrose Industries B/C Shares Industrial Transportation 0.48% (0.38%) 1,030,922 Wincanton 1, Support Services 4.25% (4.59%) 1,844,560 Electrocomponents 4, ,000,049 Hays 3, ,389,693 Rentokil Initial 4, ,422 WS Atkins 3, Automobiles & Parts 0.91% (1.74%) 946,480 GKN 3, Personal Goods 2.49% (2.41%) 320,696 Unilever 9,

160 Threadneedle Monthly Extra Income Fund Portfolio Statement Holding Investment Holding Investment UNITED KINGDOM 84.07% (83.84%) Tobacco 4.79% (3.31%) 551,366 Imperial Tobacco Group 17, Pharmaceuticals & Biotechnology 10.66% (9.62%) 464,463 AstraZeneca 20, ,236,798 GlaxoSmithKline 19, Food & Drug Retailers 3.53% (2.97%) 2,726,361 Booker Group 4, ,290,433 WM Morrison Supermarkets 8, General Retailers 3.33% (2.84%) 1,663,320 Home Retail Group 3, ,784,688 Marks & Spencer Group 9, Media 6.33% (5.48%) 2,953,321 ITV 7, ,265 Pearson 9, ,952 Reed Elsevier 6, Travel & Leisure 4.57% (3.97%) 581,166 Compass Group 6, ,628,492 Firstgroup 2, ,073 J D Wetherspoon 2, ,371,146 Rank Group 2, ,751 Stagecoach Group 2, Fixed Line Telecommunications 3.32% (3.88%) 2,682,910 BT Group 12, Gas, Water & Multiutilities 5.38% (5.79%) 2,929,504 Centrica 7, ,578 National Grid 7, ,687 Pennon Group 2, ,779 United Utilities Group 3, Banks 1.45% (0.00%) 186,231 Secure Trust Bank 5, Nonlife Insurance 1.84% (2.21%) 1,634,152 RSA Insurance Group 6, Life Insurance 4.87% (5.79%) 770,937 Aviva 4, ,000 Chesnara 2, ,892,583 Legal & General Group 10, Real Estate Investment Trusts 1.10% (0.00%) 2,520,000 Londonmetric Property 4, Financial Services 1.85% (2.42%) 1,397,013 3i Group 6, Technology Hardware & Equipment 0.73% (1.12%) 3,221,462 Spirent Communications 2, Total United Kingdom 314, UNITED STATES OF AMERICA 2.27% (1.50%) Corporate Bonds 2.27% (1.50%) GBP 400,000 American International Group 5% 26/04/ GBP 600,000 Amgen 5.5% 07/12/ GBP 415,000 AT&T 4.25% 01/06/ GBP 700,000 AT&T 5.5% 15/03/ GBP 500,000 Bank of America 6.125% 15/09/ GBP 350,000 Bank of America 7% 31/07/ GBP 535,000 Citigroup 5.125% 12/12/ GBP 225,000 Citigroup 5.15% 21/05/ GBP 400,000 Citigroup 7.375% 01/09/ GBP 610,000 Digital Stout Holding LLC 4.75% 13/10/ GBP 350,000 Directv Holdings 4.375% 14/09/ GBP 500,000 Metropolitan Life Global Funding I 2.875% 11/01/ GBP 100,000 Metropolitan Life Global Funding I 3.5% 30/09/ GBP 440,000 Mondelez International 3.875% 06/03/ GBP 125,000 Time Warner Cable 5.25% 15/07/ GBP 235,000 Time Warner Cable 5.75% 02/06/ GBP 600,000 Verizon Communications 4.073% 18/06/ USD 365,000 Verizon Communications 5.012% 21/08/ Total United States of America 8, DERIVATIVES 0.00% (0.00%) Forward Foreign Exchange Contracts 0.00% (0.00%) Sell USD 179,000 Buy GBP 116,171 Bank of Scotland (2) Sell EUR 25,000 Buy GBP 18,731 Bank of Scotland 1 Sell EUR 29,000 Buy GBP 21,133 Barclays Sell EUR 4,375,000 Buy GBP 3,216,636 Lloyds Sell USD 7,645,513 Buy GBP 4,956,440 Lloyds (85) (0.02) Sell USD 77,000 Buy GBP 51,308 Bank of Scotland 1 Sell GBP 145,873 Buy USD 225,000 Bank of Scotland 2 Total Derivatives (25) Total value of investments 366, Net other assets (3.62%) 6, Net assets 373, ANALYSIS OF INVESTMENTS BY ASSET CLASS Investments Fixed interest 47, Floating rate notes 18, Derivatives (25) (0.01) Equity 300, Total value of investments 366, March 2014 comparatives in brackets. *Variable rate bonds. *The value has been recognised as a capital gain and included within the Net capital gains note. Alternative Investment Market. 159

161 Threadneedle UK Corporate Bond Fund Portfolio Statement as at 7 March 2015 Holding Investment Holding Investment FIXED INTEREST 74.17% (87.97%) AAA 2.43% (2.42%) GBP 4,520,000 Barclays Bank 4.25% 12/01/2022 5, GBP 3,570,000 Broadgate Financing 4.821% 05/07/2033 4, GBP 1,885,000 Meadowhall Finance 4.986% 12/01/2032 1, GBP 2,880,000 Silverstone Master Issuer 5.063% 21/10/2016 3, GBP 3,005,000 Temasek Financial I 4.625% 26/07/2022 3, Aaa 0.98% (2.23%) GBP 5,840,000 Lloyds Bank 5.125% 07/03/2025 7, AA+ 1.51% (3.06%) GBP 5,240,000 GE Capital UK Funding 5.125% 24/05/2023 6, GBP 1,250,000 GE Capital UK Funding 5.875% 04/11/2020 1, GBP 2,573,000 GE Capital UK Funding 5.875% 18/01/2033 3, Aa1 8.58% (0.00%) GBP 6,075,000 Clydesdale Bank 4.625% 08/06/2026 7, GBP 27,800,000 United Kingdom Gilt 2.75% 07/09/ , GBP 8,915,000 United Kingdom Gilt 3.5% 22/01/ , GBP 10,800,000 United Kingdom Gilt 3.75% 22/07/ , GBP 1,317,000 United Kingdom Gilt 4.75% 07/12/2038 1, AA 2.15% (1.55%) GBP 4,445,000 Integrated Accommodation Services 6.48% 31/03/2029 4, GBP 2,810,000 Octagon Healthcare Funding 5.333% 31/12/2035 3, GBP 2,645,000 Southern Gas Networks 4.875% 21/03/2029 3, GBP 4,700,000 Telereal Securitisation % 10/12/2031 5, AA 1.29% (1.63%) GBP 5,030,000 Metropolitan Life Global Funding I 2.875% 11/01/2023 5, GBP 1,445,000 Metropolitan Life Global Funding I 3.5% 30/09/2026 1, GBP 2,586,000 Wheatley Group Capital 4.375% 28/11/2044 2, Aa3 0.00% (0.66%) A+ 3.95% (3.36%) GBP 6,895,000 BHP Billiton Finance 3.25% 25/09/2024 7, GBP 6,500,000 Electricite de France 5.5% 17/10/2041 8, GBP 1,800,000 Electricite de France 6% 23/01/2114 2, GBP 3,200,000 Electricite de France 6.125% 02/06/2034 4, GBP 3,435,000 Motability Operations Group 4.375% 08/02/2027 3, GBP 2,600,000 Motability Operations Group 6.625% 10/12/2019 3, A 4.72% (3.49%) GBP 3,125,000 Amgen 5.5% 07/12/2026 3, GBP 5,422,000 Anheuser-Busch InBev 4% 24/09/2025 5, GBP 1,365,000 Anheuser-Busch InBev 9.75% 30/07/2024 2, GBP 2,860,000 Canary Wharf Finance II 6.455% 22/04/2030 1, GBP 2,685,000 Danske Bank 4% 09/12/2015 2, GBP 2,545,000 Dwr Cymru Financing 6.015% 31/03/2028 3, GBP 2,450,000 GDF Suez 7% 30/10/2028 3, GBP 2,801,000 Greene King Finance 5.106% 15/03/2034 3, GBP 2,724,000 JPMorgan Chase 1.875% 10/02/2020 2, GBP 3,915,000 Longstone Finance 4.791% 19/04/2030 3, GBP 1,355,000 Longstone Finance 4.896% 19/04/2031 1, GBP 2,200,000 Mitchells & Butlers Finance 5.574% 15/12/2030 1, A2 0.24% (0.26%) GBP 1,380,000 Prudential 6.875% 20/01/2023 1, A 12.35% (19.08%) GBP 3,138,000 America Movil 5% 27/10/2026 3, GBP 3,000,000 American International Group 5% 26/04/2023 3, GBP 2,126,000 Aspire Defence Finance 4.674% 31/03/2040 2, USD 1,580,000 Bank of America 4.125% 22/01/2024 1, GBP 6,450,000 Bank of America 6.125% 15/09/2021 7, GBP 5,050,000 Bank of America 7% 31/07/2028 7, GBP 4,295,000 BAT International Finance 7.25% 12/03/2024 5, GBP 2,280,000 BG Energy Capital 5.125% 01/12/2025 2, GBP 5,225,000 Citigroup 7.375% 01/09/2039 8, GBP 3,385,000 Experian Finance 3.5% 15/10/2021 3, GBP 1,980,000 Heathrow Funding 0% 31/10/2048 2, GBP 1,838,000 Heathrow Funding 5.225% 15/02/2023 2, GBP 3,742,000 Hutchison Ports UK Finance 6.75% 07/12/2015 3, GBP 4,450,000 Juturna European Loan Conduit No % 10/08/2033 4, GBP 2,380,000 National Grid Electricity Transmission 4% 08/06/2027 2, GBP 2,230,000 National Grid Electricity Transmission 7.375% 13/01/2031 3, GBP 4,750,000 National Grid Gas 6% 13/05/2038 6, USD 5,581,000 Prudential 7.75% 29/12/2049 3, GBP 1,230,000 QBE Insurance Group 6.125% 28/09/2015 1, GBP 4,175,000 Southern Water Services Finance 5% 31/03/2021 4, GBP 5,300,000 Thames Water Utilities Cayman Finance 7.241% 09/04/2058 6, GBP 2,040,000 Vattenfall 6.875% 15/04/2039 3, BBB+ 7.02% (12.12%) GBP 6,234,000 AT&T 4.25% 01/06/2043 6, GBP 2,950,000 AT&T 5.5% 15/03/2027 3, GBP 4,555,000 Citigroup 5.125% 12/12/2018 5, GBP 2,200,000 Eastern Power Networks 6.25% 12/11/2036 3, GBP 2,060,000 ENW Finance 6.125% 21/07/2021 2, GBP 1,760,000 Gatwick Funding 5.25% 23/01/2024 2, GBP 1,745,000 HSBC Holdings 6% 29/03/2040 2, GBP 1,870,000 NIE Finance 6.375% 02/06/2026 2, GBP 1,162,000 Severn Trent Utilities Finance 4.875% 24/01/2042 1, GBP 2,800,000 Severn Trent Utilities Finance 6% 22/01/2018 3, GBP 1,550,000 SGSP Australia Assets 5.125% 11/02/2021 1,

162 Threadneedle UK Corporate Bond Fund Portfolio Statement Holding Investment Holding Investment FIXED INTEREST 74.17% (87.97%) GBP 1,937,000 South Eastern Power Networks 6.375% 12/11/2031 2, GBP 6,995,000 United Mexican States 5.625% 19/03/2114 7, USD 6,170,000 Verizon Communications 2.45% 01/11/2022 3, USD 6,550,000 Verizon Communications 5.012% 21/08/2054 4, Baa1 0.62% (0.10%) USD 6,825,000 Emirates NBD PJSC 3.25% 19/11/2019 4, BBB 11.06% (19.52%) GBP 2,141,000 APT Pipelines 4.25% 26/11/2024 2, GBP 2,745,000 AXA 7.125% 15/12/2020 3, GBP 3,200,000 BPCE 5.25% 16/04/2029 3, GBP 3,339,000 Digital Stout Holding 4.75% 13/10/2023 3, USD 2,800,000 Directv Holdings 5.15% 15/03/2042 1, GBP 4,597,000 ENW Capital Finance 6.75% 20/06/2015 4, GBP 3,195,000 Eversholt Funding 5.831% 02/12/2020 3, GBP 3,065,000 Eversholt Funding 6.359% 02/12/2025 3, GBP 4,950,000 Glencore Finance Europe 6.5% 27/02/2019 5, GBP 1,273,000 Global Switch Holdings 4.375% 13/12/2022 1, GBP 985,000 Imperial Tobacco Finance 5.5% 28/09/2026 1, GBP 2,225,000 Imperial Tobacco Finance 7.75% 24/06/2019 2, GBP 2,555,000 Imperial Tobacco Finance 8.125% 15/03/2024 3, GBP 2,600,000 Imperial Tobacco Finance 9% 17/02/2022 3, GBP 2,980,000 Mondelez International 3.875% 06/03/2045 2, GBP 3,201,000 Porterbrook Rail Finance 4.625% 04/04/2029 3, GBP 2,226,000 South East Water Finance % 30/09/2019 2, GBP 1,358,000 Southern Gas Networks 2.5% 03/02/2025 1, GBP 985,000 SPD Finance UK 5.875% 17/07/2026 1, GBP 2,285,000 Tate & Lyle International Finance 6.75% 25/11/2019 2, GBP 2,105,000 TDC 5.625% 23/02/2023 2, GBP 2,200,000 Telefonica Emisiones SAU 5.289% 09/12/2022 2, GBP 2,100,000 Telefonica Emisiones 5.597% 12/03/2020 2, GBP 2,012,000 Time Warner Cable 5.25% 15/07/2042 2, GBP 1,770,000 Time Warner Cable 5.75% 02/06/2031 2, USD 5,945,000 UBS 5.125% 15/05/2024 4, GBP 2,175,000 Western Power West Midlands 5.75% 16/04/2032 2, GBP 2,750,000 Western Power West Midlands 6% 09/05/2025 3, Baa2 1.43% (0.58%) GBP 3,539,000 BUPA Finance 3.375% 17/06/2021 3, GBP 1,520,000 BUPA Finance 7.5% 04/07/2016 1, GBP 5,010,000 WM Morrison Supermarkets 4.625% 08/12/2023 5, BBB 5.23% (4.78%) USD 1,810,000 Actavis Funding SCS 4.75% 15/03/2045 1, GBP 8,023,000 Barclays Bank 10% 21/05/ , GBP 3,583,000 G4S 7.75% 13/05/2019 4, GBP 3,215,000 GKN Holdings 6.75% 28/10/2019 3, GBP 1,400,000 Marks & Spencer 4.75% 12/06/2025 1, USD 2,212,000 Mexichem 5.875% 17/09/2044 1, EUR 4,220,000 Nationwide Building Society 6.75% 22/07/2020 3, GBP 2,675,000 Petrobras Global Finance 5.375% 01/10/2029 2, GBP 2,062,000 Petrobras Global Finance 6.625% 16/01/2034 1, GBP 1,565,000 PostNL 7.5% 14/08/2018 1, GBP 2,166,000 RMPA Services 5.337% 30/09/2038 2, GBP 1,605,000 Talisman Energy 6.625% 05/12/2017 1, GBP 1,900,000 Unique Pub Finance 6.542% 30/03/2021 1, Baa3 1.70% (1.66%) GBP 3,074,000 Acquedotto Pugliese 6.92% 29/06/2018 3, GBP 5,002,000 BUPA Finance 5% 25/04/2023 5, GBP 3,605,000 National Express Group 6.25% 13/01/2017 3, BB+ 4.13% (5.15%) USD 5,327,000 EDP Finance 4.125% 15/01/2020 3, GBP 2,725,000 Gazprom OAO Via Gaz Capital 5.338% 25/09/2020 2, EUR 2,770,000 Russian Railways via RZD Capital 3.37% 20/05/2021 1, GBP 6,500,000 Telecom Italia 5.625% 29/12/2015 6, GBP 3,945,000 Tesco Property Finance 5.5% 13/10/2041 3, GBP 2,680,000 Tesco Property Finance % 13/07/2039 3, GBP 6,305,000 Tesco Property Finance % 13/07/2044 5, GBP 3,154,000 Travis Perkins 4.375% 15/09/2021 3, Ba1 0.00% (0.31%) BB 0.75% (0.30%) GBP 1,777,000 AA Bond 9.5% 31/07/2019 1, USD 4,947,000 Royal Bank of Scotland Group 6.125% 15/12/2022 3, Ba2 0.28% (0.00%) EUR 2,400,000 BAWAG PSK Bank fuer Arbeit und Wirtschaft und Oesterreichische Postsparkasse 8.125% 30/10/2023 2, BB 0.76% (1.43%) GBP 3,668,000 Enterprise Inns 6.5% 06/12/2018 3, GBP 1,500,000 Southern Water Greensands Financing 8.5% 15/04/2019 1, Ba3 0.28% (0.62%) GBP 1,870,000 Anglian Water Osprey Financing 7% 31/01/2018 2, B+ 0.11% (0.00%) EUR 1,100,000 Numericable-SFR SAS 5.375% 15/05/

163 Threadneedle UK Corporate Bond Fund Portfolio Statement Holding Investment Holding Investment FIXED INTEREST 74.17% (87.97%) CCC+ 0.14% (0.00%) GBP 860,404 Annington Finance No 5 13% 15/01/2023 1, Caa1 0.00% (0.28%) C 0.00% (0.00%) GBP 2,811,000 Saphir Finance 0% 29/06/ Ca 0.20% (0.00%) EUR 3,685,000 Heta Asset Resolution 4.25% 31/10/2016 1, Not Rated 2.26% (3.38%) GBP 1,785,000 Admiral Group 5.5% 25/07/2024 1, EUR 5,135,000 Arion Banki 3.125% 12/03/2018 3, EUR 770,000 Baggot Securities 10.24% 31/12/ EUR 5,539,000 Davide Campari-Milano 4.5% 25/10/2019 4, GBP 4,410,000 First Hydro Finance 9% 31/07/2021 5, Total Fixed Interest 547, FLOATING RATE NOTES 23.49% (8.06%) AAA 0.26% (0.26%) GBP 1,825,000 *Fosse Master Issuer 4.635% 18/10/2054 1, AA+ 0.17% (0.19%) GBP 1,450,000 *Trafford Centre Finance FRN 28/07/2035 1, AA 0.57% (0.79%) GBP 3,315,000 *Land Securities Capital Markets 5.125% 07/02/2036 4, AA 0.00% (1.06%) A+ 0.73% (0.00%) GBP 5,175,000 *General Electric Capital 5.5% 15/09/2066 5, A 0.00% (1.12%) A 1.99% (1.41%) GBP 2,270,000 *Annington Finance No % 10/01/2023 2, GBP 5,000,000 *JPMorgan Chase 6.125% FRN 30/05/2017 4, GBP 6,898,000 *Linde Finance 8.125% 14/07/2066 7, BBB+ 4.06% (1.43%) EUR 2,050,000 *Bank of America FRN 28/03/2018 1, GBP 3,800,000 *Electricite de France 6% 29/12/2049 4, GBP 2,000,000 *HSBC Holdings 6.375% 18/10/2022 2, GBP 2,235,000 *Legal & General Group 5.875% 29/03/2049 2, GBP 350,000 *Legal & General Group 6.385% 29/05/ GBP 5,395,000 *Legal & General Group 10% 23/07/2041 7, GBP 2,825,000 *RSA Insurance Group 6.701% 29/05/2049 3, GBP 2,737,000 *RSA Insurance Group 9.375% 20/05/2039 3, GBP 5,200,000 *Siemens Financieringsmaatschappij 6.125% 14/09/2066 5, BBB 7.19% (0.35%) GBP 3,373,000 *America Movil 6.375% 06/09/2073 3, GBP 4,700,000 *Aviva 6.125% 29/09/2049 5, GBP 3,875,000 *Aviva 6.625% 03/06/2041 4, GBP 1,910,000 *AXA FRN 16/01/2054 2, GBP 5,074,000 *BG Energy Capital 6.5% 30/11/2072 5, USD 5,250,000 *Hutchison Whampoa International 10 FRN 29/04/2049 3, USD 9,003,000 *ING Bank 4.125% 21/11/2023 6, GBP 3,945,000 *ING Bank 6.875% 29/05/2023 4, GBP 6,090,000 *NGG Finance 5.625% 18/06/2073 6, GBP 1,300,000 *SSE 5.453% 29/09/2049 1, GBP 3,910,000 *Telereal Securitisation % 10/12/2033 4, USD 8,095,000 *UBS Jersey 7.25% 22/02/2022 5, Baa2 0.00% (0.47%) BBB 1.97% (0.60%) USD 5,413,000 *Credit Agricole 8.125% 19/09/2033 4, EUR 2,200,000 *Deutsche Annington Finance 4% 29/12/2049 1, EUR 4,300,000 *Deutsche Annington Finance 4.625% 08/04/2074 3, GBP 2,130,000 *Lloyds Bank % 29/05/2020 2, EUR 4,035,000 *Santos Finance 8.25% 22/09/2070 3, BB+ 1.16% (0.00%) GBP 1,430,000 *Barclays Bank 6.875% 29/11/2049 1, EUR 1,030,000 *Danske Bank 5.875% 29/04/ USD 3,852,000 *Royal Bank of Scotland FRN 16/03/2022 2, EUR 4,200,000 *Telefonica Europe 6.5% 29/09/2049 3, Ba1 0.23% (0.00%) GBP 1,650,000 *Generali Finance 6.214% 29/06/2049 1, BB 1.29% (0.23%) GBP 2,209,000 *Barclays Bank 14% 29/11/2049 3, EUR 6,515,000 *KBC Groep 5.625% 19/12/2049 4, GBP 1,395,000 *Nationwide Building Society 6.875% 11/03/2049 1, USD 456,000 *UBS Group 7% 29/12/ B+ 1.42% (0.00%) GBP 1,942,000 *Argon Capital for Royal Bank of Scotland 8.162% 29/10/2049 1, GBP 3,737,000 *Lloyds Banking Group 7% 29/12/2049 3, GBP 4,705,000 *Lloyds Banking Group 7.875% 29/12/2049 4, CCC+ 0.00% (0.15%) Not Rated 2.45% (0.00%) GBP 4,453,000 *Cattles 7.875% 17/01/ GBP 2,545,000 *Credit Agricole 7.5% 31/12/2049 2, USD 10,166,000 *Credit Suisse Group Guernsey I 7.875% 24/08/2016 7, GBP 6,355,000 *Pennon Group 6.75% 08/03/2018 6, GBP 1,295,000 *Virgin Money Holdings UK 7.875% 31/12/2049 1, Total Floating Rate Notes 173,

164 Threadneedle UK Corporate Bond Fund Portfolio Statement Holding Investment Holding Investment DERIVATIVES 0.21% (0.27%) Credit Default Swaps 0.00% ( 0.01%) Futures And Options 0.01% (0.02%) EUR (157) UBS EURO Bund Future Expiring June 2015 (24) GBP 220 UBS Long Gilt Future Expiring June 2015 (339) (0.05) USD (438) UBS US 10 Year Note Future Expiring June USD (18) UBS US Ultra Bond Future Expiring June Forward Foreign Exchange Contracts 0.20% (0.26%) Sell GBP 1,018,976 Buy EUR 1,400,000 Goldman Sachs (10) Sell GBP 1,045,269 Buy EUR 1,400,000 Bank of Scotland (36) 0.01 Sell GBP 1,481,247 Buy EUR 2,000,000 Citigroup (39) (0.01) Sell GBP 352,649 Buy EUR 485,000 J.P. Morgan (3) Sell USD 1,660,000 Buy GBP 1,101,233 Goldman Sachs 7 Sell USD 1,925,000 Buy GBP 1,282,821 Bank of Scotland 14 Sell EUR 135,000 Buy GBP 103,413 HSBC 6 Sell EUR 155,000 Buy GBP 121,022 HSBC 9 Sell USD 220,000 Buy GBP 143,091 Lloyds (2) Sell EUR 250,000 Buy GBP 184,755 Barclays 5 Sell USD 465,000 Buy GBP 301,816 Citigroup (4) Sell EUR 390,000 Buy GBP 306,246 HSBC 25 Sell USD 485,000 Buy GBP 312,240 HSBC (7) Sell EUR 49,796,000 Buy GBP 39,634,678 Lloyds 3, Sell USD 900,000 Buy GBP 575,830 HSBC (17) Sell USD 95,588,849 Buy GBP 60,727,345 Lloyds (2,273) (0.31) Sell USD 1,000,000 Buy GBP 662,010 J.P. Morgan 3 Sell EUR 885,000 Buy GBP 663,062 Bank of Scotland 25 Sell EUR 100,000 Buy GBP 72,854 HSBC 1 Sell USD 1,100,000 Buy GBP 723,361 HSBC (2) Sell EUR 1,000,000 Buy GBP 743,161 UBS 22 Sell GBP 1,037,980 Buy USD 1,600,000 HSBC 17 Sell GBP 1,095,000 Buy USD 1,690,000 HSBC 19 Sell GBP 1,159,217 Buy USD 1,800,000 Bank of Scotland 27 Sell GBP 1,638,238 Buy USD 2,480,000 HSBC (4) Total Derivatives 1, Total value of investments 721, Net other assets (3.70%) 15, Net assets 737, ANALYSIS OF INVESTMENTS BY ASSET CLASS Investment Fixed interest 547, Floating rate notes 173, Derivatives 1, Total value of investments 721, ANALYSIS OF INVESTMENTS BY CREDIT RATINGS AAA 19,888 Aaa 7,212 AA+ 12,357 Aa1 63,275 AA 20,093 AA 9,561 A+ 34,507 A 34,799 A2 1,791 A 105,745 BBB+ 81,675 Baa1 4,560 BBB 134,696 Baa2 10,574 BBB 53,102 Baa3 12,517 BB+ 38,987 Ba1 1,710 BB 15,107 Ba2 2,099 BB 5,588 Ba3 2,032 B+ 11,272 CCC+ 1,060 Ca 1,487 C 28 Not rated 34,619 Total Bonds 720,341 Derivatives 1,575 Total value of investments 721,916 ANALYSIS OF UNDERLYING EXPOSURE FUTURES AND OPTIONS UBS EURO Bund Future Expiring June 2015 (17,756) UBS Long Gilt Future Expiring June ,926 UBS US 10 Year Note Future Expiring June 2015 (36,670) UBS US Ultra Bond Future Expiring June 2015 (1,955) Total net exposure (30,455) March 2014 comparatives in brackets. *Variable rate bonds. 163

165 Threadneedle Sterling Bond Fund Portfolio Statement as at 7 March 2015 Holding Investment FIXED INTEREST % (100.25%) Aa % (100.25%) GBP 5,388,000 United Kingdom Gilt 1% 07/09/2017 5, GBP 4,252,000 United Kingdom Gilt 1.25% 22/07/2018 4, GBP 1,445,000 United Kingdom Gilt 1.75% 07/09/2022 1, GBP 1,214,000 United Kingdom Gilt 1.75% 22/01/2017 1, GBP 4,526,000 United Kingdom Gilt 1.75% 22/07/2019 4, GBP 9,037,000 United Kingdom Gilt 2% 22/07/2020 9, GBP 844,000 United Kingdom Gilt 2.25% 07/09/ GBP 13,512,000 United Kingdom Gilt 2.75% 07/09/ , GBP 4,891,000 United Kingdom Gilt 3.25% 22/01/2044 5, GBP 5,465,500 United Kingdom Gilt 3.5% 22/01/2045 6, GBP 4,166,360 United Kingdom Gilt 3.5% 22/07/2068 5, GBP 6,643,000 United Kingdom Gilt 3.5% 29/12/2049 6, GBP 818,000 United Kingdom Gilt 3.75% 07/09/ GBP 3,051,000 United Kingdom Gilt 3.75% 07/09/2020 3, GBP 2,666,000 United Kingdom Gilt 3.75% 07/09/2021 3, GBP 5,445,250 United Kingdom Gilt 3.75% 22/07/2052 6, GBP 3,140,500 United Kingdom Gilt 4% 07/03/2022 3, GBP 1,982,000 United Kingdom Gilt 4.25% 07/12/2027 2, GBP 3,303,000 United Kingdom Gilt 4.25% 07/06/2032 4, GBP 4,030,000 United Kingdom Gilt 4.25% 07/03/2036 5, GBP 2,222,000 United Kingdom Gilt 4.25% 07/09/2039 2, GBP 3,138,000 United Kingdom Gilt 4.25% 07/12/2040 4, GBP 108,000 United Kingdom Gilt 4.25% 07/12/ GBP 1,781,000 United Kingdom Gilt 4.25% 07/12/2049 2, GBP 3,195,000 United Kingdom Gilt 4.5% 07/09/2034 4, GBP 438,000 United Kingdom Gilt 4.5% 07/12/ GBP 2,640,000 United Kingdom Gilt 4.75% 07/09/2015 2, GBP 3,659,000 United Kingdom Gilt 4.75% 07/12/2030 4, GBP 2,835,000 United Kingdom Gilt 4.75% 07/12/2038 3, GBP 3,983,000 United Kingdom Gilt 5% 07/03/2025 5, GBP 1,133,000 United Kingdom Gilt 6% 07/12/2028 1, GBP 4,520,000 United Kingdom Gilt 8% 07/06/2021 6, GBP 3,139,000 United Kingdom Gilt Inflation Linked 2.5% 26/07/ , Total Fixed Interest 143, Total value of investments 143, Net other liabilities ( 0.25%) (858) (0.60) Net assets 142, March 2014 comparatives in brackets. 164

166 Threadneedle Sterling Fund Portfolio Statement as at 7 March 2015 Holding Investment FIXED INTEREST 86.20% (79.86%) Certificate of Deposit 57.74% (48.71%) GBP 10,200,000 Bank of Montreal 0.46% 17/03/ , GBP 7,500,000 Bank of Nova Scotia 0.45% 03/06/2015 7, GBP 10,000,000 J.P. Morgan Chase 0.62% 05/06/ , GBP 9,200,000 National Australia Bank 0.43% 14/04/2015 9, GBP 7,500,000 National Bank of Abu Dhabi 0.5% 04/06/2015 7, GBP 7,500,000 Nordea Bank 0.49% 27/05/2015 7, GBP 5,200,000 Overseas Chinese Bank 0.5% 07/04/2015 5, GBP 7,500,000 Rabobank Nederland 0.5% 05/06/2015 7, GBP 7,500,000 Svenska Handelsbanken 0.5% 10/06/2015 7, GBP 10,200,000 Toronto Dominion Bank 0.5% 09/04/ , GBP 10,200,000 Wells Fargo Bank International 0.5% 07/04/ , Euro commercial paper 28.46% (31.15%) GBP 7,500,000 Agence Centrale des Organismes 0.495% 02/06/2015 7, GBP 7,500,000 Banque et Caisse d Épargne de l État 0.51% 31/07/2015 7, GBP 10,200,000 Banque Fédérative du Crédit Mutuel 0.54% 18/03/ , GBP 10,200,000 Commonwealth Bank of Australia 0.435% 19/03/ , GBP 10,200,000 KFW 0.365% 31/03/ , Total fixed interest 138, Total value of investments 138, Net other assets (20.14%) 22, Net assets 160, An analysis of investments by credit rating is not included since the fund holds Certificate of Deposits and Euro Commercial Paper which have short term credit ratings. March 2014 comparatives in brackets. 165

167 Threadneedle European Fund Portfolio Statement as at 7 March 2015 Holding Investment Holding Investment BELGIUM 3.88% (2.89%) Beverages 2.44% (1.96%) 193,419 Anheuser-Busch InBev 16, Pharmaceuticals & Biotechnology 0.92% (0.00%) 124,177 UCB 6, Banks 0.52% (0.93%) 87,448 KBC Groep 3, Total Belgium 25, DENMARK 6.20% (4.76%) Personal Goods 1.59% (0.00%) 179,566 Pandora 10, Pharmaceuticals & Biotechnology 4.61% (4.76%) 234,092 Chr. Hansen 6, ,795 Novo Nordisk 23, Total Denmark 41, FINLAND 2.60% (1.56%) Industrial Engineering 0.89% (0.00%) 203,629 Kone 5, Nonlife Insurance 1.22% (1.56%) 245,019 Sampo 8, Technology Hardware & Equipment 0.49% (0.00%) 610,103 Nokia 3, Total Finland 17, FRANCE 18.05% (15.91%) Construction & Materials 1.93% (0.00%) 328,411 Vinci 12, Electronic & Electrical Equipment 3.87% (3.43%) 354,271 Legrand 12, ,615 Schneider Electric 12, Industrial Transportation 0.98% (1.08%) 719,337 Groupe Eurotunnel 6, Beverages 0.68% (1.56%) 58,758 Pernod Ricard 4, Personal Goods 1.91% (1.62%) 106,541 L Oreal 12, Health Care Equipment & Services 0.96% (1.46%) 82,655 Essilor International 6, Media 3.67% (1.97%) 243,004 Publicis Groupe 12, ,562 Vivendi 11, Banks 0.00% (2.68%) Nonlife Insurance 0.98% (0.00%) 398,890 AXA 6, Software & Computer Services 1.75% (2.11%) 69,758 Iliad 11, Technology Hardware & Equipment 1.32% (0.00%) 121,879 Ingenico 8, Total France 119, GERMANY 20.95% (28.09%) Chemicals 8.92% (8.96%) 262,824 Bayer 25, ,127 Brenntag 13, ,194 Linde 16, ,207 Symrise 3, Industrial Transportation 1.30% (2.51%) 391,673 Deutsche Post 8, Support Services 0.00% (0.88%) Automobiles & Parts 5.76% (5.86%) 126,013 Bayerische Motoren Werke 10, ,042 Continental 16, ,514 Volkswagen 11, Personal Goods 0.00% (1.37%) Health Care Equipment & Services 1.58% (1.30%) 194,254 Fresenius Medical Care 10, Media 1.76% (1.64%) 360,229 ProSiebenSat.1 Media 11, Nonlife Insurance 1.63% (2.67%) 98,723 Allianz 10, Software & Computer Services 0.00% (2.90%) Total Germany 138, ITALY 2.44% (1.00%) Beverages 0.00% (1.00%) Banks 2.44% (0.00%) 7,584,663 Intesa Sanpaolo 16, Total Italy 16, NETHERLANDS 11.39% (12.25%) Chemicals 1.00% (0.00%) 133,979 Akzo Nobel 6, Aerospace & Defence 0.96% (1.87%) 150,428 Airbus Group 6, Personal Goods 2.11% (1.60%) 486,235 Unilever 14, Media 1.94% (0.91%) 788,653 Reed Elsevier 12, Banks 3.83% (3.47%) 2,625,906 ING Groep 25,

168 Threadneedle European Fund Portfolio Statement Holding Investment Holding Investment NETHERLANDS 11.39% (12.25%) Life Insurance 0.00% (1.62%) Software & Computer Services 0.00% (0.70%) Technology Hardware & Equipment 1.55% (2.08%) 143,976 ASML 10, Total Netherlands 75, REPUBLIC OF IRELAND 4.94% (4.02%) Construction & Materials 1.88% (0.00%) 697,629 CRH 12, Travel & Leisure 2.02% (2.04%) 1,824,917 Ryanair Holdings 13, Banks 1.04% (1.98%) 27,614,416 Bank of Ireland 6, Total Republic of Ireland 32, Pharmaceuticals & Biotechnology 6.41% (2.51%) 390,302 Novartis 25, ,053 Roche 17, General Retailers 0.66% (0.00%) 47,673 Dufry 4, Banks 3.05% (0.00%) 1,727,044 UBS Group 20, Nonequity Investment Instruments 0.00% (3.38%) Total Switzerland 98, Total value of investments 660, Net other assets (1.29%) 2, Net assets 663, March 2014 comparatives in brackets. SPAIN 6.78% (1.34%) Construction & Materials 1.95% (0.00%) 950,893 Ferrovial 12, Industrial Transportation 1.52% (0.00%) 165,989 Aena 10, Support Services 1.68% (1.34%) 404,275 Amadeus IT Group 11, Pharmaceuticals & Biotechnology 1.63% (0.00%) 407,199 Grifols 10, Total Spain 44, SWEDEN 7.58% (11.44%) Construction & Materials 1.94% (2.54%) 341,149 Assa Abloy B Shares 12, Industrial Engineering 0.49% (1.45%) 200,605 SKF B Shares 3, Health Care Equipment & Services 0.00% (0.74%) Banks 5.15% (5.48%) 2,062,156 Nordea Bank 18, ,986 Svenska Handelsbanken 16, Financial Services 0.00% (1.23%) Total Sweden 50, SWITZERLAND 14.79% (15.45%) Chemicals 0.70% (2.30%) 20,998 Syngenta 4, Support Services 0.00% (1.53%) Food Producers 2.97% (4.01%) 384,108 Nestle 19, Personal Goods 1.00% (1.72%) 113,995 Cie Financiere Richemont 6,

169 Threadneedle European Select Fund Portfolio Statement as at 7 March 2015 Holding Investment Holding Investment BELGIUM 5.00% (4.81%) Chemicals 0.00% (0.27%) Beverages 4.07% (4.54%) 1,258,260 Anheuser-Busch InBev 105, Pharmaceuticals & Biotechnology 0.93% (0.00%) 490,269 UCB 24, Total Belgium 129, DENMARK 7.95% (7.18%) Health Care Equipment & Services 0.48% (0.00%) 236,997 Coloplast 12, Pharmaceuticals & Biotechnology 7.47% (7.18%) 896,318 Chr. Hansen 26, ,164,343 Novo Nordisk 160, ,128 Novozymes 7, Total Denmark 206, FINLAND 4.10% (5.41%) Industrial Engineering 0.99% (1.47%) 881,539 Kone 25, Nonlife Insurance 3.11% (3.94%) 2,443,237 Sampo 80, Total Finland 106, FRANCE 13.05% (13.71%) Electronic & Electrical Equipment 2.10% (3.21%) 1,511,063 Legrand 54, Industrial Transportation 1.00% (0.00%) 2,868,801 Groupe Eurotunnel 26, Beverages 0.80% (0.78%) 269,953 Pernod Ricard 20, Personal Goods 5.28% (5.48%) 1,151,566 L'Oreal 136, Health Care Equipment & Services 1.37% (1.38%) 252,292 Essilor International 19, ,828 Eurofins Scientific 16, Software & Computer Services 2.50% (2.86%) 388,430 Iliad 64, Total France 338, GERMANY 22.35% (29.81%) Chemicals 13.77% (18.22%) 1,775,923 Bayer 169, ,641,516 Brenntag 99, ,727 Linde 87, Industrial Transportation 1.92% (4.03%) 2,261,864 Deutsche Post 49, Support Services 0.00% (0.75%) Automobiles & Parts 4.59% (3.79%) 308,046 Bayerische Motoren Werke 25, ,564 Continental 93, Personal Goods 0.00% (1.74%) Health Care Equipment & Services 2.07% (0.00%) 994,219 Fresenius Medical Care 53, Nonlife Insurance 0.00% (1.28%) Total Germany 579, NETHERLANDS 11.31% (8.17%) Chemicals 0.40% (0.00%) 209,478 Akzo Nobel 10, Aerospace & Defence 0.00% (0.90%) Personal Goods 4.79% (4.23%) 4,305,693 Unilever 124, Media 2.81% (2.33%) 4,476,933 Reed Elsevier 72, Banks 2.30% (0.00%) 6,160,948 ING Groep 59, Technology Hardware & Equipment 1.01% (0.71%) 366,373 ASML 26, Total Netherlands 293, REPUBLIC OF IRELAND 1.81% (2.21%) Travel & Leisure 1.81% (2.21%) 6,380,608 Ryanair Holdings 46, Total Republic of Ireland 46, SPAIN 4.34% (1.02%) Construction & Materials 1.97% (0.00%) 3,754,609 Ferrovial 51, Support Services 1.36% (1.02%) 1,275,652 Amadeus IT Group 35, Pharmaceuticals & Biotechnology 1.01% (0.00%) 1,226,448 Grifols ADR 26, Total Spain 112, SWEDEN 12.57% (13.55%) Construction & Materials 3.85% (3.24%) 2,643,113 Assa Abloy B Shares 99, Industrial Engineering 3.05% (1.09%) 3,781,045 Atlas Copco A Shares 79, Personal Goods 0.00% (0.31%) Banks 5.67% (8.91%) 3,096,369 Nordea Bank 27, ,673,837 Svenska Handelsbanken 119, Total Sweden 325, SWITZERLAND 15.90% (13.39%) Chemicals 1.49% (1.78%) 20,662 Givaudan 25, ,206 Syngenta 13, Construction & Materials 0.84% (1.11%) 9,492 Sika 21,

170 Threadneedle European Select Fund Portfolio Statement Holding Investment SWITZERLAND 15.90% (13.39%) Food Producers 2.75% (4.36%) 1,389,384 Nestle 71, Personal Goods 3.60% (2.59%) 1,611,389 Cie Financiere Richemont 93, Pharmaceuticals & Biotechnology 6.30% (2.00%) 1,482,400 Novartis 96, ,660 Roche 66, Banks 0.92% (0.00%) 2,029,943 UBS Group 23, Nonequity Investment Instruments 0.00% (1.55%) Total Switzerland 412, DERIVATIVES 0.01% (0.00%) Forward Foreign Exchange Contracts 0.01% (0.00%) Sell GBP 8,036,995 Buy EUR 11,074,000 Citigroup (54) Sell SGD 351,259 Buy EUR 230,476 J.P. Morgan (3) Sell SGD 356,205 Buy EUR 230,901 J.P. Morgan (5) Sell GBP 7,087,206 Buy EUR 9,779,000 Citigroup (38) Sell EUR 3,662,000 Buy GBP 2,664,361 Bank of Scotland 25 Sell EUR 1,366,509 Buy SGD 2,095,999 J.P. Morgan 22 Sell EUR 2,833,806 Buy SGD 4,370,814 J.P. Morgan 58 Sell EUR 586,953 Buy SGD 888,388 J.P. Morgan 4 Sell EUR 64,475 Buy SGD 98,499 J.P. Morgan 1 Sell EUR 17,730 Buy USD 20,120 J.P. Morgan Sell EUR 180,238 Buy USD 204,463 J.P. Morgan 5 Sell EUR 24,488 Buy USD 27,064 J.P. Morgan Sell EUR 38,020 Buy USD 42,323 J.P. Morgan Sell EUR 5,812,964 Buy USD 6,594,249 J.P. Morgan Sell EUR 6,682 Buy USD 7,587 J.P. Morgan Sell EUR 6,854 Buy USD 7,650 J.P. Morgan Total Derivatives Total value of investments 2,550, Net other assets (0.74%) 41, Net assets 2,592, March 2014 comparatives in brackets. 169

171 Threadneedle European Smaller Companies Fund Portfolio Statement as at 7 March 2015 Holding Investment Holding Investment AUSTRIA 1.22% (1.90%) Oil Equipment, Services & 1.22% (1.61%) 309,164 Schoeller-Bleckmann Oilfield Equipment 13, Chemicals 0.00% (0.29%) Total Austria 13, BELGIUM 6.13% (4.18%) Chemicals 1.77% (2.03%) 696,691 Umicore 19, Personal Goods 1.79% (0.00%) 1,047,633 Ontex Group 20, Media 1.77% (1.68%) 527,911 Telenet Group 19, Travel & Leisure 0.68% (0.47%) 286,404 Kinepolis Group 7, Technology Hardware & Equipment 0.12% (0.00%) 34,393 Melexis 1, Total Belgium 68, DENMARK 4.29% (6.50%) Oil Equipment, Services & 0.00% (0.00%) 368,849 OW Bunker (Liquidated) Personal Goods 2.14% (2.24%) 408,100 Pandora 23, Health Care Equipment & Services 0.00% (1.37%) Pharmaceuticals & Biotechnology 1.41% (2.03%) 538,489 Chr. Hansen 15, General Retailers 0.00% (0.38%) Nonlife Insurance 0.00% (0.48%) Software & Computer Services 0.74% (0.00%) 361,415 SimCorp 8, Total Denmark 48, FINLAND 3.07% (5.38%) Construction & Materials 0.93% (0.81%) 860,702 Tikkurila 10, Electronic & Electrical Equipment 0.00% (2.08%) Industrial Engineering 0.00% (0.89%) Leisure Goods 1.26% (0.99%) 991,515 Amer Sports 14, Software & Computer Services 0.88% (0.61%) 360,037 BasWare 9, Total Finland 34, FRANCE 16.92% (21.76%) Electronic & Electrical Equipment 0.00% (1.84%) Support Services 3.80% (2.85%) 1,489,665 Bureau Veritas 21, ,775 Edenred 16, ,145 Teleperformance 3, Automobiles & Parts 1.16% (0.00%) 677,355 Plastic Omnium 12, Beverages 1.11% (1.03%) 255,716 Remy Cointreau 12, Household Goods & Home Construction 0.00% (1.06%) Health Care Equipment & Services 4.26% (4.26%) 127,454 Eurofins Scientific 23, ,579 Orpea 24, Pharmaceuticals & Biotechnology 1.79% (1.52%) 109,046 Virbac 20, Media 0.00% (1.80%) Gas, Water & Multiutilities 0.00% (0.61%) Nonlife Insurance 0.00% (0.85%) Software & Computer Services 1.38% (2.85%) 92,775 Iliad 15, Technology Hardware & Equipment 1.90% (1.99%) 295,840 Ingenico 21, Total France 189, GERMANY 15.75% (17.19%) Chemicals 2.72% (4.86%) 523,692 Brenntag 19, ,458 Fuchs Petrolub 10, Electronic & Electrical Equipment 0.69% (0.00%) 233,647 Hella KGaA Hueck & Co 7, Industrial Engineering 1.00% (0.94%) 141,943 Pfeiffer Vacuum Technology 7, ,371 Sartorius AG 3, Support Services 4.92% (5.13%) 1,091,047 CTS Eventim 22, ,499 Grenkeleasing 22, ,817 Wirecard 10, Automobiles & Parts 2.67% (2.02%) 698,731 Norma Group 23, ,262 SAF-Holland 6, Health Care Equipment & Services 2.39% (2.68%) 427,174 Gerresheimer 15, ,230 Stratec Biomedical 10, Media 0.00% (0.99%) Financial Services 0.26% (0.00%) 100,000 Aareal Bank 2, Industrial Transportation 1.52% (1.10%) 1,878,966 Groupe Eurotunnel 17,

172 Threadneedle European Smaller Companies Fund Portfolio Statement Holding Investment Holding Investment GERMANY 15.75% (17.19%) Software & Computer Services 1.10% (0.57%) 242,331 CANCOM 6, ,117 Tele Columbus 6, Total Germany 176, ISRAEL 0.37% (0.23%) Software & Computer Services 0.37% (0.23%) 1,392,338 Vizrt 4, Total Israel 4, ITALY 9.78% (8.49%) Beverages 0.75% (0.99%) 1,902,029 Davide Campari-Milano 8, Household Goods & Home Construction 0.54% (0.65%) 421,863 De Longhi 6, Personal Goods 0.00% (0.95%) Health Care Equipment & Services 3.28% (3.06%) 807,771 DiaSorin 21, ,813,926 Sorin 14, Banks 2.17% (0.00%) 5,647,144 FinecoBank Banca Fineco IPO 24, Financial Services 1.87% (1.79%) 1,133,844 Banca Generali 20, Technology Hardware & Equipment 1.17% (1.05%) 372,680 Ei Towers 13, Total Italy 109, LUXEMBOURG 0.67% (0.47%) Oil Equipment, Services & 0.00% (0.47%) Construction & Materials 0.67% (0.00%) 457,087 BRAAS Monier Building Group 7, Total Luxembourg 7, NETHERLANDS 5.68% (2.12%) Chemicals 1.99% (0.00%) 957,357 IMCD Group 22, Industrial Engineering 1.30% (1.26%) 685,234 Aalberts Industries 14, Health Care Equipment & Services 1.20% (0.00%) 891,592 GrandVision 13, Food & Drug Retailers 1.19% (0.86%) 497,259 Sligro Food Group 13, Total Netherlands 63, NORWAY 1.23% (1.49%) Oil Equipment, Services & 0.56% (1.02%) 388,744 TGS Nopec Geophysical 6, General Industrials 0.30% (0.00%) 1,775,721 Hexagon Composites 3, Industrial Transportation 0.37% (0.47%) 1,089,608 Wilh Wilhelmsen 4, Total Norway 13, REPUBLIC OF IRELAND 7.99% (4.05%) Construction & Materials 1.65% (0.50%) 1,461,814 Kingspan Group 18, Support Services 1.93% (0.51%) 2,912,070 Grafton Group 21, Health Care Equipment & Services 0.02% (0.00%) 54,829 UDG Healthcare Travel & Leisure 2.21% (1.19%) 1,883,279 Dalata Hotel Group 4, ,662,164 Irish Continental Group 9, ,423,316 Ryanair Holdings 10, Banks 0.50% (1.28%) 22,365,210 Bank of Ireland 5, Real Estate Investment Trusts 1.68% (0.57%) 16,459,418 Green REIT (Ireland Listing) 18, Total Republic of Ireland 89, SPAIN 2.53% (3.05%) Alternative Energy 0.00% (1.05%) Support Services 2.14% (0.00%) 2,875,614 Applus Services 23, Banks 0.00% (1.64%) Real Estate Investment Trusts 0.39% (0.36%) 579,263 Lar Espana Real Estate 4, Total Spain 28, SWEDEN 9.69% (9.11%) Chemicals 0.98% (0.53%) 163,647 Hexpol B Shares 11, Construction & Materials 0.43% (0.45%) 300,097 Nibe Industrier B Shares 4, Industrial Engineering 1.14% (1.54%) 1,017,973 Alfa Laval 12, Food Producers 0.98% (0.75%) 5,759,663 Cloetta B Shares 11, Household Goods & Home Construction 0.90% (0.73%) 1,669,936 Nobia 10, Health Care Equipment & Services 1.80% (1.92%) 3,028,473 Elekta B Shares 20, General Retailers 0.56% (0.29%) 1,418,880 Byggmax Group 6, Media 0.00% (0.14%) Financial Services 2.90% (2.76%) 925,614 Avanza Bank Holdings 22, ,380 Intrum Justitia 9, Total Sweden 108,

173 Threadneedle European Smaller Companies Fund Portfolio Statement Holding Investment SWITZERLAND 8.95% (11.76%) Construction & Materials 3.43% (3.37%) 13,588 Belimo 21, ,475 Sika 17, General Industrials 0.79% (0.77%) 9,075 Vetropack 8, Electronic & Electrical Equipment 1.15% (1.08%) 24,479 LEM 12, Industrial Engineering 1.93% (3.92%) 87,109 Burckhardt Compression 21, Banks 0.00% (0.53%) Financial Services 1.65% (2.09%) 92,740 Partners Group 18, Total Switzerland 100, UNITED KINGDOM 2.54% (0.85%) Industrial Engineering 0.20% (0.17%) 264,534 Concentric 2, Support Services 1.36% (0.00%) 1,433,338 Elis 15, Technology Hardware & Equipment 0.98% (0.68%) 363,853 Dialog Semiconductor 10, Total United Kingdom 28, UNITED STATES OF AMERICA 1.08% (1.42%) Automobiles & Parts 1.08% (1.42%) 162,003 Autoliv 12, Total United States of America 12, Total value of investments 1,095, Net other assets (0.05%) 23, Net assets 1,119, March 2014 comparatives in brackets. 172

174 Threadneedle Pan European Smaller Companies Fund Portfolio Statement as at 7 March 2015 Holding Investment Holding Investment AUSTRIA 0.29% (0.53%) Oil Equipment, Services & 0.29% (0.25%) 78,545 Schoeller-Bleckmann Oilfield Equipment 3, Chemicals 0.00% (0.28%) Total Austria 3, BELGIUM 4.72% (2.99%) Chemicals 1.24% (1.18%) 522,238 Umicore 14, Personal Goods 1.49% (0.00%) 929,003 Ontex Group 17, Media 1.57% (1.47%) 497,440 Telenet Group 18, Travel & Leisure 0.42% (0.34%) 189,716 Kinepolis Group 5, Total Belgium 56, CANADA 0.42% (0.00%) Media 0.42% (0.00%) 1,760,266 Entertainment One 4, Total Canada 4, DENMARK 4.38% (5.90%) Personal Goods 1.89% (2.39%) 383,494 Pandora 22, Health Care Equipment & Services 0.00% (1.23%) Pharmaceuticals & Biotechnology 0.83% (0.67%) 336,669 Chr. Hansen 9, General Retailers 0.00% (0.38%) Nonlife Insurance 0.95% (1.23%) 140,032 Tryg 11, Software & Computer Services 0.71% (0.00%) 368,952 SimCorp 8, Total Denmark 52, FINLAND 0.98% (1.78%) Industrial Engineering 0.00% (0.82%) Leisure Goods 0.98% (0.96%) 825,227 Amer Sports 11, Total Finland 11, FRANCE 12.74% (15.94%) Electronic & Electrical Equipment 0.00% (0.87%) Industrial Transportation 1.33% (1.06%) 1,747,372 Groupe Eurotunnel 15, Household Goods & Home Construction 0.00% (0.96%) Health Care Equipment & Services 4.48% (3.09%) 66,958 Eurofins Scientific 12, ,362 Korian-Medica 20, ,959 Orpea 21, Pharmaceuticals & Biotechnology 0.96% (0.74%) 61,993 Virbac 11, Media 0.00% (1.87%) Nonlife Insurance 0.00% (0.84%) Software & Computer Services 1.91% (3.78%) 136,558 Iliad 22, Technology Hardware & Equipment 1.93% (1.98%) 318,986 Ingenico 22, Total France 151, GERMANY 9.98% (13.18%) Chemicals 2.88% (3.54%) 634,769 Brenntag 23, ,779 Fuchs Petrolub 4, ,341 Symrise 5, Industrial Engineering 0.39% (0.52%) 84,368 Pfeiffer Vacuum Technology 4, Support Services 2.11% (2.95%) 643,510 CTS Eventim 13, ,951 Grenkeleasing 12, Automobiles & Parts 1.92% (2.34%) 417,625 Norma Group 14, ,083 SAF-Holland 8, Health Care Equipment & Services 1.65% (2.15%) 425,048 Gerresheimer 15, ,656 Stratec Biomedical 3, Media 0.00% (1.11%) Software & Computer Services 1.03% (0.57%) 232,950 CANCOM 6, ,403 Tele Columbus 6, ISLE OF MAN 0.63% (0.53%) Total Germany 118, Support Services 0.63% (0.53%) 1,926,997 Optimal Payments 7, Total Isle of Man 7, ITALY 6.30% (4.59%) Household Goods & Home Construction 0.99% (1.05%) 823,518 De Longhi 11, Support Services 2.13% (0.75%) 718,350 Bureau Veritas 10, ,603 Edenred 14,

175 Threadneedle Pan European Smaller Companies Fund Portfolio Statement Holding Investment Holding Investment ITALY 6.30% (4.59%) Real Estate Investment Trusts 1.26% (0.45%) Personal Goods 0.00% (0.76%) 13,177,823 Green REIT (Ireland Listing) Total Republic of Ireland 15,027 80, Health Care Equipment & Services 1.05% (1.30%) 218,002 DiaSorin 5, SPAIN 3.03% (3.87%) 3,044,734 Sorin 6, Alternative Energy 0.00% (1.83%) Banks 1.83% (0.00%) 5,082,280 FinecoBank Banca Fineco IPO 21, Financial Services 1.33% (1.48%) 859,695 Banca Generali 15, Technology Hardware & Equipment 1.10% (0.00%) 374,027 Ei Towers 13, Total Italy 75, LUXEMBOURG 0.63% (1.10%) Oil Equipment, Services & 0.00% (0.44%) Chemicals 0.00% (0.66%) Construction & Materials 0.63% (0.00%) 460,991 BRAAS Monier Building Group 7, Total Luxembourg 7, NETHERLANDS 4.05% (1.36%) Chemicals 1.58% (0.00%) 806,105 IMCD Group 18, Industrial Engineering 1.29% (1.36%) 722,239 Aalberts Industries 15, Health Care Equipment & Services 1.18% (0.00%) 935,670 GrandVision 14, Total Netherlands 48, NORWAY 0.45% (0.93%) General Industrials 0.28% (0.00%) 1,804,197 Hexagon Composites 3, Industrial Transportation 0.17% (0.25%) 524,903 Wilh Wilhelmsen 1, Nonlife Insurance 0.00% (0.68%) Total Norway 5, REPUBLIC OF IRELAND 6.72% (5.02%) Construction & Materials 1.58% (1.02%) 1,488,705 Kingspan Group 18, Support Services 1.15% (0.48%) 1,845,408 Grafton Group 13, Health Care Equipment & Services 0.02% (0.00%) 55,633 UDG Healthcare Travel & Leisure 2.21% (1.54%) 1,893,069 Dalata Hotel Group 4, ,404,187 Irish Continental Group 6, ,073,766 Ryanair Holdings 15, Banks 0.50% (1.53%) 24,027,337 Bank of Ireland 5, Support Services 2.07% (0.00%) 2,952,947 Applus Services 24, Banks 0.61% (1.69%) 1,475,219 Bankinter 7, Real Estate Investment Trusts 0.35% (0.35%) 564,996 Lar Espana Real Estate 4, Total Spain 36, SWEDEN 2.20% (2.01%) Food Producers 0.81% (0.74%) 5,068,846 Cloetta B Shares 9, Household Goods & Home Construction 0.00% (0.43%) Health Care Equipment & Services 0.60% (0.70%) 1,070,562 Elekta B Shares 7, Media 0.00% (0.14%) Financial Services 0.79% (0.00%) 382,094 Avanza Bank Holdings 9, Total Sweden 26, SWITZERLAND 3.52% (5.01%) Construction & Materials 2.13% (2.49%) 4,263 Belimo 6, ,171 Sika 18, Financial Services 1.39% (2.04%) 83,439 Partners Group 16, Banks 0.00% (0.48%) Total Switzerland 41, UNITED KINGDOM 35.09% (32.46%) Oil Equipment, Services & 1.09% (1.36%) 1,212,623 Hunting 6, ,033,937 John Wood Group 6, Chemicals 1.09% (4.10%) 687,104 Victrex 12, Aerospace & Defence 0.92% (0.87%) 631,060 Ultra Electronics Holdings 10, General Industrials 1.37% (0.78%) 2,846,525 RPC Group 16, Electronic & Electrical Equipment 4.60% (4.19%) 1,422,602 Domino Printing Sciences 10, ,979,552 Halma 14, ,286 Oxford Instruments 3, ,841 Renishaw 15, ,865 Spectris 11,

176 Threadneedle Pan European Smaller Companies Fund Portfolio Statement Holding Investment Holding Investment UNITED KINGDOM 35.09% (32.46%) Industrial Engineering 3.48% (4.79%) 2,458,329 Fenner 5, ,354,558 IMI 18, ,391 Spirax-Sarco Engineering 8, ,729 Weir Group 9, Support Services 4.79% (2.69%) 1,519,410 Ashtead Group 17, ,761 Berendsen 7, ,448,924 Elis 15, ,604,705 Howden Joinery Group 16, Beverages 0.88% (0.97%) 5,203,620 Stock Spirits Group 10, Household Goods & Home Construction 1.49% (0.59%) 4,102,498 Crest Nicholson Holdings 17, Pharmaceuticals & Biotechnology 1.33% (0.00%) 1,149,608 Genus 15, General Retailers 1.03% (0.81%) 322,005 Dignity 6, ,522,452 Pets at Home Group 5, Media 1.77% (1.95%) 1,973,532 Informa 11, ,707,150 Moneysupermarket.com Group 10, DERIVATIVES 0.00% (0.00%) Forward Foreign Exchange Contracts 0.00% (0.00%) Sell GBP 2,114,120 Buy EUR 2,913,000 Citigroup (14) Sell GBP 491,372 Buy EUR 678,000 Citigroup (3) Sell EUR 13,655 Buy USD 15,495 J.P. Morgan Sell EUR 176,813 Buy USD 197,326 J.P. Morgan 3 Sell EUR 44,916 Buy USD 49,999 J.P. Morgan 1 Sell EUR 45,074 Buy USD 50,606 J.P. Morgan 1 Sell EUR 859,582 Buy USD 950,000 J.P. Morgan 6 Total Derivatives (6) Total value of investments 1,159, Net other assets (1.43%) 32, Net assets 1,191, March 2014 comparatives in brackets. Alternative Investment Market. Travel & Leisure 2.11% (0.98%) 4,602,190 Merlin Entertainments 19, ,908 Restaurant Group 5, Nonlife Insurance 0.00% (1.18%) Life Insurance 2.28% (2.35%) 2,873,688 St James s Place 27, Real Estate Investment Trusts 3.12% (2.26%) 404,035 Derwent London 13, ,833,996 Shaftesbury 23, Financial Services 3.07% (2.59%) 1,319,016 Close Brothers Group 21, ,964,023 Intermediate Capital Group 14, Software & Computer Services 0.67% (0.00%) 545,261 AVEVA Group 7, Total United Kingdom 418, UNITED STATES OF AMERICA 1.15% (1.37%) Automobiles & Parts 1.15% (1.37%) 184,335 Autoliv 13, Total United States of America 13,

177 Threadneedle Pan European Fund Portfolio Statement as at 7 March 2015 Holding Investment Holding Investment BELGIUM 3.60% (2.60%) Beverages 1.90% (1.55%) 83,610 Anheuser-Busch InBev 7, Pharmaceuticals & Biotechnology 0.73% (0.00%) 55,022 UCB 2, Banks 0.97% (1.05%) 89,713 KBC Groep 3, Total Belgium 13, DENMARK 4.20% (3.13%) Personal Goods 1.74% (1.18%) 109,613 Pandora 6, Pharmaceuticals & Biotechnology 2.46% (1.95%) 291,649 Novo Nordisk 9, Total Denmark 15, FINLAND 1.57% (0.54%) Industrial Engineering 0.88% (0.54%) 111,065 Kone 3, Technology Hardware & Equipment 0.69% (0.00%) 477,865 Nokia 2, Total Finland 5, FRANCE 12.91% (16.89%) Aerospace & Defence 0.00% (0.81%) Electronic & Electrical Equipment 2.52% (1.99%) 139,599 Legrand 5, ,120 Schneider Electric 4, Industrial Transportation 1.48% (1.03%) 602,048 Groupe Eurotunnel 5, Automobiles & Parts 0.00% (1.43%) Personal Goods 2.06% (1.13%) 63,820 L Oreal 7, Health Care Equipment & Services 0.96% (0.93%) 46,090 Essilor International 3, Media 3.45% (3.66%) 135,856 Publicis Groupe 7, ,079 Vivendi 5, Banks 0.00% (3.35%) Nonlife Insurance 0.98% (0.00%) 220,622 AXA 3, Software & Computer Services 1.46% (2.56%) 32,229 Iliad 5, Total France 47, GERMANY 13.17% (16.48%) Chemicals 5.16% (6.34%) 135,046 Bayer 12, ,822 Brenntag 6, Industrial Transportation 0.99% (0.00%) 165,433 Deutsche Post 3, Automobiles & Parts 4.71% (3.54%) 71,205 Bayerische Motoren Werke 5, ,272 Continental 7, ,717 Volkswagen 4, Personal Goods 0.00% (0.92%) Health Care Equipment & Services 0.00% (1.02%) Media 1.42% (1.56%) 161,896 ProSiebenSat.1 Media 5, Travel & Leisure 0.89% (0.00%) 279,556 TUI AG 3, Nonlife Insurance 0.00% (2.00%) Software & Computer Services 0.00% (1.10%) Total Germany 48, ITALY 2.00% (1.68%) Banks 2.00% (1.68%) 3,454,497 Intesa Sanpaolo 7, Total Italy 7, JERSEY 1.34% (0.98%) Support Services 1.34% (0.98%) 121,517 Wolseley 4, Total Jersey 4, NETHERLANDS 9.89% (9.80%) Chemicals 1.43% (0.00%) 106,210 Akzo Nobel 5, Aerospace & Defence 1.30% (2.22%) 112,811 Airbus Group 4, Media 1.42% (1.17%) 322,493 Reed Elsevier 5, Banks 3.26% (2.33%) 1,243,053 ING Groep 12, Life Insurance 0.00% (1.44%) Software & Computer Services 0.00% (1.14%) Technology Hardware & Equipment 2.48% (1.50%) 127,665 ASML 9, Total Netherlands 36, NORWAY 1.09% (1.16%) Banks 1.09% (1.16%) 371,566 DnB NOR Bank 4, Total Norway 4,

178 Threadneedle Pan European Fund Portfolio Statement Holding Investment Holding Investment REPUBLIC OF IRELAND 4.59% (3.08%) Construction & Materials 1.90% (0.00%) 391,302 CRH 6, Travel & Leisure 1.85% (1.55%) 927,445 Ryanair Holdings 6, Banks 0.84% (1.53%) 12,347,597 Bank of Ireland 3, Total Republic of Ireland 16, SPAIN 3.99% (3.00%) Construction & Materials 1.45% (0.00%) 391,339 Ferrovial 5, Support Services 1.19% (1.05%) 159,399 Amadeus IT Group 4, General Retailers 1.35% (0.00%) 245,362 Inditex 4, Banks 0.00% (1.95%) Total Spain 14, SWEDEN 3.01% (3.17%) Industrial Engineering 0.00% (0.84%) Banks 3.01% (1.45%) 473,970 Nordea Bank 4, ,643 Svenska Handelsbanken 6, Financial Services 0.00% (0.88%) Total Sweden 11, SWITZERLAND 10.08% (9.50%) Construction & Materials 0.75% (0.93%) 1,211 Sika 2, Support Services 0.00% (1.66%) Food Producers 1.89% (0.00%) 135,401 Nestle 6, Personal Goods 0.97% (1.37%) 61,732 Cie Financiere Richemont 3, Pharmaceuticals & Biotechnology 4.26% (3.21%) 152,906 Novartis 9, ,852 Roche 5, Banks 2.21% (0.00%) 695,449 UBS Group 8, Nonequity Investment Instruments 0.00% (2.33%) Total Switzerland 37, UNITED KINGDOM 26.92% (25.20%) Oil & Gas Producers 2.11% (1.91%) 391,574 BG Group 3, ,120 Royal Dutch Shell A Shares 4, Mining 1.19% (0.87%) 148,934 Rio Tinto 4, Industrial Engineering 0.93% (1.41%) 256,495 IMI 3, Support Services 1.63% (2.67%) 537,387 Ashtead Group 6, Automobiles & Parts 0.00% (1.32%) Beverages 0.00% (0.70%) Household Goods & Home Construction 1.54% (1.65%) 320,071 Persimmon 5, Personal Goods 3.06% (0.00%) 188,124 Burberry Group 3, ,127 Unilever 7, Tobacco 1.28% (0.00%) 121,054 British American Tobacco 4, Health Care Equipment & Services 1.45% (1.16%) 461,274 Smith & Nephew 5, Media 1.19% (0.00%) 303,903 Pearson 4, Travel & Leisure 1.24% (0.80%) 169,251 InterContinental Hotels Group 4, Fixed Line Telecommunications 2.38% (1.98%) 1,894,168 BT Group 8, Mobile Telecommunications 0.00% (2.09%) Banks 0.00% (1.14%) Life Insurance 5.86% (5.48%) 2,256,538 Legal & General Group 6, ,015 Prudential 9, ,880 St James s Place 6, Financial Services 2.17% (0.94%) 204,299 London Stock Exchange Group 4, ,359 Schroders 3, Total United Kingdom 99, UNITED STATES OF AMERICA 0.00% (1.08%) Fixed Line Telecommunications 0.00% (1.08%) Total United States of America Total value of investments 362, Net other assets (1.71%) 6, Net assets 368, March 2014 comparatives in brackets. Chemicals 0.89% (1.08%) 97,130 Johnson Matthey 3,

179 Threadneedle European Bond Fund Portfolio Statement as at 7 March 2015 Holding Investment Holding Investment AUSTRALIA 0.86% (1.16%) A+ 0.00% (0.25%) A 0.30% (0.68%) EUR 764,000 AusNet Services Holdings 2.375% 24/07/ BBB+ 0.36% (0.00%) EUR 559,000 Aurizon Network 2% 18/09/ EUR 374,000 SGSP Australia Assets 2% 30/06/ BBB 0.00% (0.23%) BBB 0.20% (0.00%) EUR 506,000 *Santos Finance 8.25% 22/09/ AUSTRIA 2.10% (1.58%) Aaa 0.00% (0.60%) Total Australia 1, AA+ 1.80% (0.50%) EUR 620,000 Austria Government Bond 3.15% 20/06/ EUR 3,700,000 Hypo Alpe-Adria-Bank International 2.375% 13/12/2022 2, A 0.09% (0.13%) EUR 200,000 *Vienna Insurance Group Wiener Versicherung Gruppe 5.5% 09/10/ Baa2 0.00% (0.02%) Baa3 0.00% (0.20%) Ba2 0.13% (0.00%) EUR 300,000 BAWAG PSK Bank fuer Arbeit und Wirtschaft und Oesterreichische Postsparkasse 8.125% 30/10/ Ba3 0.00% (0.13%) Ca 0.08% (0.00%) EUR 50,000 Heta Asset Resolution 4.25% 31/10/ EUR 350,000 Heta Asset Resolution 4.375% 24/01/ Total Austria 4, BELGIUM 2.43% (5.35%) A1 0.13% (0.21%) EUR 300,000 Eandis 2.875% 09/10/ A 0.12% (0.52%) EUR 291,000 Anheuser-Busch InBev 2.7% 31/03/ BB+ 0.00% (0.11%) BB 0.12% (0.00%) EUR 313,000 *KBC Groep 5.625% 19/12/ Not Rated 2.06% (4.51%) EUR 2,150,000 Belgium Government Bond 2.6% 22/06/2024 1, EUR 2,295,000 Belgium Government Bond 3% 22/06/2034 2, Total Belgium 4, BRAZIL 0.93% (0.00%) BBB 0.93% (0.00%) EUR 2,500,000 Brazilian Government International Bond 2.875% 01/04/2021 1, CANADA 0.24% (0.85%) Aaa 0.00% (0.65%) Total Brazil 1, AA 0.24% (0.20%) EUR 600,000 Total Capital Canada 2.125% 18/09/ CAYMAN ISLANDS 0.75% (1.20%) AA 0.00% (0.82%) Total Canada BBB 0.75% (0.38%) GBP 890,000 *Thames Water Utilities Cayman Finance 5.375% 21/07/ GBP 482,000 *Yorkshire Water Services Bradford Finance 6% 24/04/ Total Cayman Islands 1, CHILE 0.77% (0.00%) AA 0.77% (0.00%) EUR 2,000,000 Chile Government International Bond 1.625% 30/01/2025 1, Total Chile 1, DENMARK 2.46% (0.21%) AAA 1.72% (0.00%) DKK 35,000,000 Nykredit Realkredit 2% 01/04/2015 3, BBB 0.28% (0.17%) EUR 724,000 ISS Global 2.125% 02/12/ BB+ 0.46% (0.04%) EUR 200,000 *Danske Bank 5.875% 29/04/ EUR 1,055,000 *TDC 3.5% 26/02/ Total Denmark 4, FINLAND 0.35% (0.22%) BBB 0.13% (0.00%) EUR 322,000 Citycon 3.75% 24/06/ Baa2 0.22% (0.00%) EUR 573,000 Sampo 1.5% 16/09/ BBB 0.00% (0.22%) Total Finland

180 Threadneedle European Bond Fund Portfolio Statement Holding Investment Holding Investment FRANCE 7.20% (8.21%) AAA 2.35% (0.40%) EUR 2,900,000 Cie de Financement Foncier 0.625% 12/11/2021 2, EUR 2,500,000 Cie de Financement Foncier 2% 07/05/2024 2, EUR 600,000 HSBC SFH France 2% 16/10/ Aaa 0.43% (0.72%) EUR 1,000,000 AXA Bank Europe SCF 3.5% 05/11/ Aa1 0.00% (5.73%) Aa1u 1.57% (0.00%) EUR 3,530,000 France Government Bond OAT 2.5% 25/05/2030 3, AA 0.80% (0.00%) EUR 1,850,000 Dexia Credit Local 0.625% 21/01/2022 1, EUR 300,000 Sanofi 1.75% 10/09/ A+ 1.06% (0.47%) EUR 500,000 Aeroports de Paris 1.5% 07/04/ GBP 900,000 Electricite de France 5.5% 17/10/2041 1, EUR 700,000 RTE Reseau de Transport d Electricite 2.625% 09/10/ A 0.47% (0.00%) EUR 700,000 BPCE 1.375% 22/05/ EUR 500,000 GDF Suez 2.375% 19/05/ BBB+ 0.37% (0.13%) EUR 300,000 *GDF Suez 3.875% 29/07/ EUR 600,000 Orange 4.125% 23/01/ BBB 0.00% (0.16%) Baa2 0.00% (0.12%) BBB 0.00% (0.18%) BB 0.07% (0.10%) EUR 184,000 *Credit Agricole 6.5% 23/12/ B+ 0.08% (0.00%) EUR 202,000 Numericable-SFR SAS 5.375% 15/05/ Not Rated 0.00% (0.20%) GERMANY 5.35% (3.57%) AAA 0.00% (0.85%) Total France 14, Aaau 4.41% (1.05%) EUR 7,850,000 Bundesrepublik Deutschland 0.5% 15/02/2025 5, EUR 2,900,000 Bundesrepublik Deutschland 2.5% 04/07/2044 2, AA 0.00% (0.81%) A 0.00% (0.32%) A 0.29% (0.34%) EUR 200,000 Talanx 2.5% 23/07/ EUR 500,000 Talanx 3.13% 13/02/ BBB+ 0.28% (0.00%) EUR 736,000 CRH Finance Germany 1.75% 16/07/ BBB 0.15% (0.00%) EUR 370,000 *Bayer 3.75% 01/07/ BBB 0.17% (0.00%) EUR 437,000 Deutsche Bank 2.75% 17/02/ BB 0.00% (0.10%) B 0.05% (0.10%) EUR 130,000 Deutsche Raststaetten Gruppe IV 6.75% 30/12/ Total Germany 10, ICELAND 0.27% (0.00%) Not Rated 0.27% (0.00%) EUR 726,000 Arion Banki 3.125% 12/03/ Total Iceland INDONESIA 0.97% (0.00%) BB+ 0.97% (0.00%) EUR 2,503,000 Indonesia Government International Bond 2.875% 08/07/2021 1, ITALY 12.58% (9.95%) A 0.00% (0.62%) Total Indonesia 1, BBB+ 0.00% (0.20%) Baa2 0.25% (0.19%) EUR 506,000 Assicurazioni Generali 5.125% 16/09/ Baa2u 8.85% (6.42%) EUR 15,000,000 Buoni Poliennali Del Tesoro 3.75% 01/05/ , EUR 675,000 Buoni Poliennali Del Tesoro 5.5% 01/11/ EUR 1,600,000 Italy Buoni Poliennali Del Tesoro 5% 01/08/2034 1, EUR 2,120,000 Italy Buoni Poliennali Del Tesoro 5% 01/09/2040 2, Baa3 0.07% (0.00%) GBP 130,000 Acquedotto Pugliese 6.92% 29/06/ BB+ 0.00% (0.13%) Not Rated 3.41% (2.39%) EUR 8,000,000 Banca Monte dei Paschi di Siena 3.5% 20/03/2017 6, EUR 531,000 Davide Campari-Milano 4.5% 25/10/ EUR 307,000 Societa Esercizi Aereoportuali Sea 3.125% 17/04/ Total Italy 24,

181 Threadneedle European Bond Fund Portfolio Statement Holding Investment Holding Investment JAPAN 0.00% (0.14%) BB+ 0.00% (0.14%) Total Japan JERSEY 1.32% (0.00%) A 0.33% (0.00%) EUR 253,000 Heathrow Funding 1.875% 23/05/ GBP 400,000 Heathrow Funding 4.625% 31/10/ BBB 0.74% (0.00%) EUR 598,000 Atrium European Real Estate 4% 20/04/ GBP 920,000 UBM 6.5% 23/11/ BB 0.15% (0.00%) GBP 261,000 AA Bond 9.5% 31/07/ Ba2u 0.10% (0.00%) EUR 270,000 ProSecure Funding 4.668% 30/06/ LATVIA 0.00% (1.44%) BBB+ 0.00% (1.44%) LUXEMBOURG 1.86% (4.00%) Aaae 0.00% (1.24%) Total Jersey 2, Total Latvia AA 0.51% (1.36%) EUR 1,400,000 European Financial Stability Facility 1.2% 17/02/2045 1, Aa2 0.00% (0.21%) AA 0.19% (0.00%) EUR 497,000 Novartis Finance 1.625% 09/11/ A 0.19% (0.00%) EUR 525,000 *John Deere Bank 0.785% 19/03/ BBB 0.27% (1.00%) EUR 683,000 GELF Bond Issuer I 3.13% 03/04/ BBB 0.38% (0.00%) EUR 1,000,000 Grand City Properties 2% 29/10/ Ba1e 0.26% (0.08%) EUR 700,000 *Grand City Properties 3.75% 29/12/ BB 0.06% (0.11%) EUR 150,000 Wind Acquisition Finance 4% 15/07/ Total Luxembourg 3, MEXICO 2.02% (2.81%) BBB+ 2.02% (2.81%) EUR 2,200,000 Mexico Government International Bond 2.75% 22/04/2023 1, EUR 2,900,000 United Mexican States 5.625% 09/04/2021 2, Total Mexico 3, NETHERLANDS 3.86% (5.57%) AA 0.79% (0.38%) EUR 1,453,000 Roche Finance Europe 0.875% 25/02/2025 1, EUR 687,000 Shell International Finance 1.625% 20/01/ A 0.33% (0.00%) EUR 368,000 KBC Internationale Financieringsmaatschappij 2.125% 10/09/ EUR 529,000 *Volkswagen International Finance 0.369% 16/07/ A2 0.18% (0.00%) EUR 500,000 Syngenta Finance 1.25% 10/09/ A 0.77% (1.00%) EUR 370,000 Aegon 3% 18/07/ EUR 552,000 *Linde Finance 7.375% 14/07/ EUR 1,003,000 TenneT Holding 2.13% 01/11/ BBB+ 0.27% (1.57%) EUR 675,000 Heineken 2% 06/04/ BBB 0.66% (0.89%) EUR 455,000 *Eneco Holding 3.25% 29/12/ EUR 224,000 *ING Bank 3.625% 25/02/ EUR 261,000 *TenneT Holding 6.655% 29/06/ EUR 785,000 Vesteda Finance 1.75% 22/07/ BBB 0.61% (1.15%) EUR 150,000 ABN AMRO Bank 6.375% 27/04/ EUR 200,000 *Deutsche Annington Finance 4% 29/12/ EUR 400,000 *Deutsche Annington Finance 4.625% 08/04/ EUR 322,000 Madrilena Red de Gas Finance 3.78% 11/09/ EUR 403,000 PostNL 5.375% 14/11/ Baa3 0.00% (0.32%) BB+ 0.00% (0.13%) Ba1 0.10% (0.00%) EUR 261,000 *Generali Finance 4.596% 30/11/ Ba3 0.15% (0.00%) EUR 390,000 Ziggo Secured Finance 3.75% 15/01/ Not Rated 0.00% (0.13%) Total Netherlands 7, NORWAY 2.52% (0.98%) AAA 0.98% (0.00%) EUR 2,320,000 DNB Boligkreditt AS 2.75% 21/03/2022 1, Aaa 0.27% (0.46%) EUR 600,000 SpareBank 1 Boligkreditt 4% 03/02/ AA 0.64% (0.23%) EUR 366,000 Avinor 1.75% 20/03/ EUR 1,354,000 Statoil 0.875% 17/02/

182 Threadneedle European Bond Fund Portfolio Statement Holding Investment Holding Investment NORWAY 2.52% (0.98%) A2 0.17% (0.29%) EUR 429,000 SpareBank 1 SR Bank 2.125% 27/02/ BBB+ 0.46% (0.00%) GBP 899,000 *DNB Bank 7.25% 23/06/ POLAND 0.70% (2.08%) A 0.00% (1.59%) Total Norway 4, A 0.70% (0.49%) CHF 2,000,000 Poland Government International Bond 2.75% 25/02/2016 1, Total Poland 1, PORTUGAL 3.51% (4.17%) Ba1 3.40% (0.00%) EUR 2,750,000 Portugal Government International Bond 3.85% 15/04/2021 2, EUR 5,485,000 Portugal Obrigacoes do Tesouro OT 2.875% 15/10/2025 4, Ba3 0.00% (0.56%) BBu 0.00% (3.61%) B3 0.11% (0.00%) EUR 300,000 Novo Banco 4% 21/01/ Total Portugal 6, REPUBLIC OF IRELAND 1.39% (1.81%) AA+ 0.07% (0.50%) EUR 107,000 GE Capital European Funding 6.025% 01/03/ A 0.38% (0.27%) EUR 960,000 Ireland Government Bond 2% 18/02/ BBB+ 0.75% (0.42%) EUR 2,065,000 Ryanair 1.125% 10/03/2023 1, BB+ 0.19% (0.62%) EUR 478,000 FGA Capital Ireland 2.88% 26/01/ Total Republic of Ireland 2, ROMANIA 0.88% (1.09%) BBB 0.88% (0.00%) EUR 2,050,000 Romanian Government International Bond 4.625% 18/09/2020 1, BB+ 0.00% (1.09%) RUSSIA 0.00% (1.55%) BBB 0.00% (1.55%) SLOVAKIA 0.00% (0.77%) A 0.00% (0.77%) Total Romania 1, Total Russia Total Slovakia SLOVENIA 2.81% (4.84%) A 2.81% (4.84%) EUR 1,740,000 Slovenia Government Bond 3% 08/04/2021 1, EUR 5,115,000 Slovenia Government International Bond 4% 22/03/2018 4, Total Slovenia 5, SOUTH KOREA 1.28% (1.07%) Aa3 0.87% (0.86%) EUR 2,300,000 Korea Development Bank 1.5% 30/05/2018 1, A+ 0.41% (0.21%) EUR 1,070,000 Export-Import Bank of Korea 2% 30/04/ SPAIN 8.86% (6.97%) AA 0.00% (0.38%) Total South Korea 2, Baa1 0.25% (0.00%) EUR 667,000 Aigues de Barcelona Finance 1.944% 15/09/ BBB 8.61% (0.86%) EUR 4,000,000 Spain Government Bond 0.5% 31/10/2017 2, EUR 1,342,000 Spain Government Bond 1.6% 30/04/2025 1, EUR 2,795,000 Spain Government Bond 1.95% 30/07/2030 2, EUR 1,450,000 Spain Government Bond 5.15% 31/10/2044 1, EUR 7,750,000 Spain Government Bond 5.85% 31/01/2022 7, GBP 1,129,000 Telefonica Emisiones 5.375% 02/02/2018 1, GBP 500,000 Telefonica Emisiones 5.597% 12/03/ BBB 0.00% (5.73%) Total Spain 17, SUPRANATIONAL 2.26% (0.00%) AA 0.39% (0.00%) EUR 920,000 European Financial Stability Facility 2.13% 19/02/ AA 1.87% (0.00%) EUR 1,933,000 Andina de Fomento 1.875% 29/05/2021 1, EUR 2,740,000 Corp Andina de Fomento 4.625% 29/03/2018 2, SWEDEN 0.80% (1.04%) AAA 0.80% (0.43%) Total Supranational 4, Aaa 0.80% (0.00%) EUR 2,150,000 Stadshypotek 0.625% 10/11/2021 1, AA 0.00% (0.24%) A+ 0.00% (0.37%) Total Sweden 1,

183 Threadneedle European Bond Fund Portfolio Statement Holding Investment Holding Investment SWITZERLAND 1.15% (0.64%) Aaa 0.40% (0.00%) EUR 1,074,000 Credit Suisse Guernsey 0.75% 17/09/ A 0.50% (0.22%) EUR 1,365,000 Credit Suisse London 0.625% 20/11/ BBB 0.17% (0.00%) EUR 405,000 *Credit Suisse 5.75% 18/09/ BBB 0.00% (0.42%) Not Rated 0.08% (0.00%) EUR 200,000 *UBS Group 5.75% 29/12/ Total Switzerland 2, TURKEY 1.61% (0.00%) Baa3 1.61% (0.00%) EUR 4,000,000 Turkey Government International Bond 4.125% 11/04/2023 3, Total Turkey 3, UNITED ARAB EMIRATES 0.18% (0.00%) AA 0.18% (0.00%) EUR 472,000 Emirates Telecommunications 1.75% 18/06/ Total United Arab Emirates UNITED KINGDOM 20.64% (20.80%) AAA 1.52% (2.57%) EUR 859,000 Abbey National Treasury Services London 4.38% 24/01/ GBP 613,000 Bank of Scotland 4.875% 20/12/ EUR 1,350,000 NRAM Covered Bond LLP 3.8% 16/11/2020 1, EUR 534,000 Wellcome Trust 1.125% 21/01/ Aaa 0.00% (1.49%) Aa1u 11.18% (0.00%) GBP 2,265,000 United Kingdom Gilt 2% 22/07/2020 2, GBP 5,595,000 United Kingdom Gilt 2.75% 07/09/2024 6, GBP 600,000 United Kingdom Gilt 3.25% 22/01/ GBP 1,250,000 United Kingdom Gilt 3.5% 22/01/2045 1, GBP 3,120,000 United Kingdom Gilt 3.5% 22/07/2068 3, GBP 2,175,000 United Kingdom Gilt 4.25% 07/12/2027 2, GBP 465,000 United Kingdom Gilt 4.25% 07/12/ GBP 3,250,000 United Kingdom Gilt 4.5% 07/09/2034 4, AA+ 0.00% (10.09%) A+ 0.19% (0.17%) EUR 475,000 Motability Operations Group 3.75% 29/11/ A 1.58% (0.37%) GBP 1,147,000 Abbey National Treasury Services 1.875% 17/02/2020 1, EUR 1,912,000 BP Capital Markets 1.109% 16/02/2023 1, EUR 820,000 Nationwide Building Society 1.25% 03/03/ A 0.00% (0.90%) BBB+ 0.22% (0.55%) GBP 353,000 *RSA Insurance Group 9.375% 20/05/ BBB 2.18% (1.71%) EUR 242,000 *Aviva 3.875% 03/07/ GBP 506,000 *BG Energy Capital 6.5% 30/11/ GBP 429,000 British Telecommunications 8.5% 07/12/ GBP 1,205,000 ENW Capital Finance 6.75% 20/06/2015 1, EUR 598,000 Imperial Tobacco Finance 2.25% 26/02/ EUR 307,000 *NGG Finance 4.25% 18/06/ GBP 900,000 Western Power West Midlands 5.75% 16/04/2032 1, Baa2 0.98% (0.30%) GBP 712,000 BUPA Finance 7.5% 04/07/ GBP 537,000 Safeway 6% 10/01/ EUR 775,000 WM Morrison Supermarkets 2.25% 19/06/ BBB 1.25% (1.26%) EUR 337,000 Barclays Bank 6% 14/01/ GBP 776,000 G4S 7.75% 13/05/ GBP 399,000 GKN Holdings 6.75% 28/10/ GBP 691,000 Go-Ahead Group 5.375% 29/09/ BB+ 0.43% (0.23%) GBP 767,000 Tesco 5.5% 13/12/ Ba1 0.00% (0.16%) BB 0.37% (0.07%) GBP 215,000 *Barclays Bank 14% 29/11/ EUR 583,000 *Royal Bank of Scotland 3.625% 25/03/ BB 0.00% (0.29%) B+ 0.11% (0.00%) GBP 200,000 *Lloyds Banking Group 7.875% 29/12/ Caa1 0.00% (0.08%) Not Rated 0.63% (0.56%) GBP 295,000 *Cattles 8.125% 05/07/ GBP 470,000 First Hydro Finance 9% 31/07/ GBP 377,000 *Pennon Group 6.75% 08/03/ GBP 200,000 *Virgin Money Holdings UK 7.875% 31/12/ Total United Kingdom 40, UNITED STATES OF AMERICA 3.03% (2.70%) AAA 0.00% (0.30%) AA 0.86% (0.00%) EUR 2,350,000 Berkshire Hathaway 1.625% 16/03/2035 1,

184 Threadneedle European Bond Fund Portfolio Statement Holding Investment UNITED STATES OF AMERICA 3.03% (2.70%) AA 0.22% (0.53%) EUR 534,000 Procter & Gamble 2% 05/11/ A 0.28% (0.00%) EUR 730,000 JPMorgan Chase 1.375% 16/09/ A 0.42% (0.88%) EUR 552,000 Bank of America 2.375% 19/06/ EUR 521,000 Citigroup 2.125% 10/09/ BBB+ 0.61% (0.99%) GBP 600,000 AT&T 5.5% 15/03/ EUR 199,000 *Bank of America 1.668% 06/05/ EUR 112,000 *Citigroup 4.25% 25/02/ EUR 322,000 *Citigroup 4.75% 31/05/ BBB 0.52% (0.00%) EUR 1,420,000 Mondelez International 1.625% 08/03/2027 1, BB 0.12% (0.00%) EUR 300,000 Fiat Finance North America 5.625% 12/06/ Total United States of America 5, DERIVATIVES 0.01% ( 0.05%) Credit Default Swaps 0.00% ( 0.06%) Futures and Options 0.04% (0.00%) EUR (112) UBS EURO Bund Future Expiring June 2015 (6) EUR (48) UBS EURO Buxl 30 Year Future Expiring June 2015 (80) (0.04) Forward Foreign Exchange Contracts 0.03% (0.01%) Sell CHF 2,070,000 Buy EUR 1,928,421 UBS (5) Sell CHF 2,150,000 Buy EUR 2,164,204 J.P. Morgan Sell GBP 4,350,000 Buy EUR 5,980,458 UBS (38) (0.02) Sell GBP 400,000 Buy EUR 551,920 HSBC (2) Sell GBP 500,000 Buy EUR 687,876 UBS (4) Total Derivatives (35) (0.01) Total value of investments 192, Net other assets (3.28%) 4, Net assets 197, ANALYSIS OF INVESTMENTS BY ASSET CLASS Investment Fixed interest 181, Floating rate notes 11, Derivatives (35) (0.02) Total value of investments 192, ANALYSIS OF INVESTMENTS BY CREDIT RATINGS AAA 15,102 Aaa 1,573 Aaau 8,688 AA+ 3,683 Aa1u 25,136 AA 6,609 AA 8,116 Aa3 1,709 A+ 3,288 A1 250 A 7,620 A2 688 A 11,256 BBB+ 10,514 Baa1 500 BBB 26,496 Baa2 2,839 Baa2u 17,432 BBB 10,708 Baa3 3,308 BB+ 4,030 Ba1 6,903 Ba1e 503 BB 1,500 Ba2 262 Ba2u 202 BB 235 Ba3 293 B+ 366 B 103 B3 223 Ca 161 Not rated 12,731 Total bonds 193,027 Derivatives (35) Total value of investments 192,992 ANALYSIS OF UNDERLYING EXPOSURE FUTURES UBS EURO Bund Future Expiring June 2015 (12,667) UBS EURO Buxl 30 Year Future Expiring June 2015 (5,770) Total net exposure (18,437) Counterparty Type JPM Chase Cash 100 Total collateral 100 March 2014 comparatives in brackets. *Variable rate bonds. 183

185 Threadneedle European Corporate Bond Fund Portfolio Statement as at 7 March 2015 Holding Investment Holding Investment AUSTRALIA 4.63% (3.70%) A+ 0.00% (1.03%) A 1.78% (2.07%) EUR 1,457,000 AusNet Services Holdings 2.375% 24/07/2020 1, GBP 194,000 QBE Insurance Group 6.125% 28/09/ BBB+ 2.15% (0.00%) EUR 897,000 Aurizon Network 2% 18/09/ EUR 1,230,000 SGSP Australia Assets 2% 30/06/ BBB 0.00% (0.60%) BBB 0.70% (0.00%) EUR 660,000 *Santos Finance 8.25% FRN 22/09/ Total Australia 3, AUSTRIA 1.13% (1.42%) A 0.44% (0.34%) EUR 400,000 *Vienna Insurance Group Wiener Versicherung Gruppe 5.5% 09/10/ Baa2 0.00% (0.20%) Baa3 0.00% (0.53%) Ba2 0.35% (0.00%) EUR 300,000 BAWAG PSK Bank fuer Arbeit und Wirtschaft und Oesterreichische Postsparkasse 8.125% 30/10/ Ba3 0.00% (0.35%) Ca 0.34% (0.00%) EUR 65,000 Heta Asset Resolution 4.25% 31/10/ EUR 550,000 Heta Asset Resolution 4.375% 24/01/ BELGIUM 0.88% (2.46%) A1 0.00% (0.65%) Total Austria A 0.53% (1.43%) EUR 475,000 Anheuser-Busch InBev 2.7% 31/03/ BB+ 0.00% (0.38%) BB 0.35% (0.00%) EUR 355,000 *KBC Groep 5.625% 19/12/ Total Belgium CANADA 1.06% (0.85%) AA 1.06% (0.85%) EUR 1,000,000 Total Capital Canada 2.125% 18/09/ Total Canada CAYMAN ISLANDS 1.69% (1.26%) BBB 1.69% (1.26%) GBP 750,000 *Thames Water Utilities Cayman Finance 5.375% 21/07/ GBP 425,000 *Yorkshire Water Services Bradford Finance 6% 24/04/ Total Cayman Islands 1, DENMARK 1.96% (0.63%) BBB 1.00% (0.50%) EUR 990,000 ISS Global 2.125% 02/12/ BB+ 0.96% (0.13%) EUR 200,000 *Danske Bank 5.875% 29/04/ EUR 780,000 *TDC 3.5% 26/02/ Total Denmark 1, FINLAND 1.59% (0.63%) BBB 0.63% (0.00%) EUR 575,000 Citycon 3.75% 24/06/ Baa2 0.96% (0.00%) EUR 966,000 Sampo 1.5% 16/09/ BBB 0.00% (0.63%) Total Finland 1, FRANCE 6.26% (4.39%) AA 0.52% (0.00%) EUR 500,000 Sanofi 1.75% 10/09/ A+ 1.69% (1.41%) EUR 900,000 Aeroports de Paris 1.5% 07/04/ EUR 700,000 RTE Reseau de Transport d Electricite 2.625% 09/10/ A 2.10% (0.00%) EUR 1,000,000 BPCE 1.375% 22/05/ EUR 1,000,000 GDF Suez 2.375% 19/05/ BBB+ 1.50% (0.44%) EUR 500,000 *GDF Suez 3.875% 29/07/ EUR 900,000 Orange 4.125% 23/01/ BBB 0.00% (0.43%) Baa2 0.00% (0.42%) BBB 0.00% (0.58%) BB 0.26% (0.47%) EUR 255,000 *Credit Agricole 6.5% 23/12/ B+ 0.19% (0.00%) EUR 190,000 Numericable-SFR SAS 5.375% 15/05/ Not Rated 0.00% (0.64%) Total France 4,

186 Threadneedle European Corporate Bond Fund Portfolio Statement Holding Investment Holding Investment GERMANY 4.64% (6.63%) AAA 0.96% (0.00%) EUR 1,000,000 FMS Wertmanagement AoeR 0.375% 22/05/ Aaau 0.00% (4.04%) A 0.00% (0.84%) A 1.55% (0.99%) EUR 600,000 Talanx 2.5% 23/07/ EUR 800,000 Talanx 3.13% 13/02/ BBB+ 0.98% (0.00%) EUR 975,000 CRH Finance Germany 1.75% 16/07/ BBB 0.45% (0.00%) EUR 420,000 *Bayer 3.75% 01/07/ BBB 0.44% (0.00%) EUR 437,000 Deutsche Bank 2.75% 17/02/ BB 0.00% (0.48%) B 0.26% (0.28%) EUR 245,000 Deutsche Raststaetten Gruppe IV 6.75% 30/12/ Total Germany 3, ICELAND 0.47% (0.00%) Not Rated 0.47% (0.00%) EUR 488,000 Arion Banki 3.125% 12/03/ ITALY 2.24% (4.87%) A 0.00% (1.83%) Total Iceland BBB+ 0.00% (1.11%) Baa2 1.01% (0.50%) EUR 785,000 Assicurazioni Generali 5.125% 16/09/ Baa3 0.19% (0.00%) GBP 135,000 Acquedotto Pugliese 6.92% 29/06/ BB+ 0.00% (0.45%) Not Rated 1.04% (0.98%) EUR 590,000 Davide Campari-Milano 4.5% 25/10/ EUR 400,000 Societa Esercizi Aereoportuali Sea 3.125% 17/04/ JAPAN 0.00% (0.37%) BB+ 0.00% (0.37%) Total Italy 1, Total Japan JERSEY 2.97% (0.00%) A 0.50% (0.00%) EUR 488,000 Heathrow Funding 1.875% 23/05/ BBB 1.62% (0.00%) EUR 950,000 Atrium European Real Estate 4% 20/04/ GBP 425,000 UBM 6.5% 23/11/ BB 0.33% (0.00%) GBP 225,000 AA Bond 9.5% 31/07/ Ba2u 0.52% (0.00%) EUR 520,000 ProSecure Funding LP 4.668% 30/06/ LUXEMBOURG 5.82% (4.66%) Aa2 0.00% (0.86%) Total Jersey 2, AA 0.71% (0.00%) EUR 690,000 Novartis Finance 1.625% 09/11/ BBB 2.22% (3.30%) EUR 1,415,000 GELF Bond Issuer I 3.13% 03/04/2018 1, EUR 730,000 Glencore Finance Europe 2.75% 01/04/ BBB 2.16% (0.00%) USD 860,000 *Actavis Funding SCS FRN 12/03/ EUR 1,400,000 Grand City Properties 2% 29/10/2021 1, Ba1 0.00% (0.31%) Ba1e 0.48% (0.00%) EUR 500,000 *Grand City Properties 3.75% 29/12/ BB 0.25% (0.19%) EUR 250,000 Wind Acquisition Finance 4% 15/07/ Total Luxembourg 4, MEXICO 0.83% (1.00%) BBB+ 0.83% (1.00%) EUR 800,000 United Mexican States 5.625% 09/04/ Total Mexico NETHERLANDS 12.84% (15.59%) AA 1.95% (0.82%) EUR 1,047,000 Roche Finance Europe 0.875% 25/02/ EUR 930,000 Shell International Finance 1.625% 20/01/ A 0.73% (0.00%) EUR 757,000 *Volkswagen International Finance FRN 16/07/

187 Threadneedle European Corporate Bond Fund Portfolio Statement Holding Investment Holding Investment NETHERLANDS 12.84% (15.59%) A2 0.39% (0.00%) EUR 400,000 Syngenta Finance 1.25% 10/09/ A 2.33% (2.91%) EUR 870,000 *Linde Finance 7.375% 14/07/ EUR 1,365,000 TenneT Holding 2.13% 01/11/2020 1, BBB+ 1.04% (3.68%) EUR 1,000,000 Heineken 2% 06/04/ BBB 2.90% (2.93%) EUR 570,000 *Eneco Holding 3.25% 29/12/ EUR 410,000 *ING Bank 3.625% 25/02/ EUR 475,000 *TenneT Holding 6.655%-FRN 29/06/ EUR 1,410,000 Vesteda Finance 1.75% 22/07/2019 1, BBB 2.68% (3.44%) EUR 325,000 ABN AMRO Bank 6.375% 27/04/ EUR 300,000 *Deutsche Annington Finance 4% 29/12/ EUR 400,000 *Deutsche Annington Finance 4.625% 08/04/ EUR 885,000 Madrilena Red de Gas Finance 3.78% 11/09/ EUR 568,000 PostNL 5.375% 14/11/ Baa3 0.00% (0.97%) BB+ 0.00% (0.46%) Ba1 0.34% (0.00%) EUR 325,000 *Generali Finance 4.596% 30/11/ Ba3 0.48% (0.00%) EUR 475,000 Ziggo Secured Finance 3.75% 15/01/ Not Rated 0.00% (0.38%) Total Netherlands 9, NORWAY 5.94% (1.90%) AAA 2.19% (0.00%) EUR 2,265,000 DNB Boligkreditt 2.75% 20/04/2015 1, AA 1.85% (0.83%) EUR 897,000 Avinor 1.75% 20/03/ EUR 960,000 Statoil 0.875% 17/02/ A2 1.02% (1.07%) EUR 1,000,000 SpareBank 1 SR Bank 2.125% 27/02/ BBB+ 0.88% (0.00%) GBP 650,000 *DNB Bank 7.25% 23/06/ Total Norway 4, PORTUGAL 0.50% (0.00%) B3 0.50% (0.00%) EUR 500,000 Novo Banco 4% 21/01/ Total Portugal REPUBLIC OF IRELAND 3.17% (6.16%) AA+ 0.52% (1.60%) EUR 300,000 GE Capital European Funding 6.025% 01/03/ A 0.00% (0.77%) BBB+ 1.46% (1.57%) EUR 1,525,000 Ryanair 1.125% 10/03/2023 1, BB+ 1.19% (2.05%) EUR 1,172,000 FGA Capital Ireland 2.88% 26/01/ Not Rated 0.00% (0.17%) SLOVENIA 0.00% (0.81%) A 0.00% (0.81%) SOUTH KOREA 0.00% (0.86%) A+ 0.00% (0.86%) SPAIN 2.41% (4.42%) AA 0.00% (0.88%) Total Republic of Ireland 2, Total Slovenia Total South Korea Baa1 0.99% (0.00%) EUR 984,000 Aigues de Barcelona Finance 1.944% 15/09/ BBB 1.42% (2.75%) GBP 966,000 Telefonica Emisiones 5.375% 02/02/2018 1, BBB 0.00% (0.57%) Ba1 0.00% (0.22%) Total Spain 1, SWEDEN 1.90% (1.60%) Aaa 1.90% (0.00%) EUR 1,900,000 Stadshypotek 3.375% 11/05/2016 1, AA 0.00% (0.85%) A+ 0.00% (0.75%) Total Sweden 1,

188 Threadneedle European Corporate Bond Fund Portfolio Statement Holding Investment Holding Investment SWITZERLAND 2.70% (3.24%) Aaa 0.00% (1.92%) A 1.89% (0.00%) EUR 1,950,000 Credit Suisse London 0.625% 20/11/2018 1, BBB 0.61% (0.00%) EUR 539,000 *Credit Suisse 5.75% 18/09/ BBB 0.00% (1.32%) Not Rated 0.20% (0.00%) EUR 200,000 *UBS Group 5.75% 29/12/ Total Switzerland 2, UNITED ARAB EMIRATES 0.79% (0.00%) AA 0.79% (0.00%) EUR 780,000 Emirates Telecommunications 1.75% 18/06/ Total United Arab Emirates UNITED KINGDOM 17.54% (19.65%) AAA 0.66% (0.00%) EUR 682,000 Wellcome Trust 1.125% 21/01/ A+ 0.98% (0.52%) EUR 925,000 Motability Operations Group 3.75% 29/11/ A 2.28% (0.00%) EUR 1,346,000 BP Capital Markets 1.109% 16/02/ EUR 1,000,000 Nationwide Building Society 1.25% 03/03/ A 0.00% (3.85%) BBB+ 0.49% (1.86%) GBP 300,000 *RSA Insurance Group 9.375% 20/05/ BBB 4.30% (4.69%) EUR 505,000 *Aviva 3.875% 03/07/ GBP 425,000 *BG Energy Capital 6.5% 30/11/ GBP 1,115,000 ENW Capital Finance 6.75% 20/06/2015 1, EUR 1,050,000 Imperial Tobacco Finance 2.25% 26/02/ EUR 500,000 *NGG Finance 4.25% 18/06/ Baa2 2.23% (0.93%) GBP 725,000 BUPA Finance 7.5% 04/07/ GBP 490,000 Safeway 6% 10/01/ EUR 475,000 WM Morrison Supermarkets 2.25% 19/06/ BBB 2.95% (3.82%) EUR 525,000 Barclays Bank 6% 14/01/ GBP 650,000 G4S 7.75% 13/05/ GBP 350,000 GKN Holdings 6.75% 28/10/ GBP 500,000 Go-Ahead Group 5.375% 29/09/ BB+ 0.00% (0.66%) Ba1 0.00% (0.44%) BB 1.27% (0.18%) GBP 175,000 *Barclays Bank 14% 29/11/ EUR 938,000 *Royal Bank of Scotland 3.625% 25/03/ BB 0.00% (0.90%) B+ 0.28% (0.00%) GBP 200,000 *Lloyds Banking Group 7.875% 29/12/ CCC+ 0.20% (0.18%) GBP 123,092 Annington Finance No 5 13% 15/01/ Caa1 0.00% (0.31%) Not Rated 1.90% (1.31%) GBP 300,000 *Cattles 8.125% 05/07/ GBP 340,000 First Hydro Finance 9% 31/07/ EUR 350,000 Lehman Brothers UK Capital Funding III 3.875% 29/12/2049 (Liquidated) GBP 705,000 *Pennon Group 6.75% 08/03/ GBP 200,000 *Virgin Money Holdings UK 7.875% 31/12/ Total United Kingdom 13, UNITED STATES OF AMERICA 10.10% (8.95%) AAA 0.00% (1.08%) AA 2.42% (0.00%) EUR 2,500,000 Berkshire Hathaway 1.625% 16/03/2035 1, AA 0.00% (1.70%) A 1.19% (0.00%) EUR 1,190,000 JPMorgan Chase & Co 1.375% 16/09/ A 2.41% (2.84%) EUR 1,175,000 Bank of America 2.375% 19/06/ EUR 1,130,000 Citigroup 2.125% 10/09/ BBB+ 2.39% (3.33%) EUR 450,000 *Bank of America FRN 06/05/ EUR 398,000 *Citigroup 4.25% 25/02/ EUR 515,000 *Citigroup 4.75% 31/05/ USD 1,000,000 Verizon Communications 5.15% 15/09/ BBB 1.48% (0.00%) USD 550,000 *Glencore Funding % 15/01/ EUR 1,040,000 Mondelez International 1.625% 08/03/

189 Threadneedle European Corporate Bond Fund Portfolio Statement Holding Investment Investment UNITED STATES OF AMERICA 10.10% (8.95%) BB 0.21% (0.00%) EUR 200,000 Fiat Finance North America 5.625% 12/06/ Total United States of America 7, DERIVATIVES 0.64% (0.11%) Credit Default Swaps 0.27% (0.12%) EUR 1,000,000 Barclays Itraxx-European Credit Default Swap Index Buy Protection 20/06/2019 Spread 500 (103) (0.14) EUR 1,500,000 Barclays Itraxx-European Credit Default Swap Index Buy Protection 20/12/2019 Spread 500 (118) (0.16) EUR 1,000,000 Goldman Sachs GDF Suez Credit Default Swap Sell Protection 20/06/2021 Spread Futures and Options 0.00% (0.00%) EUR (43) UBS EURO Bund Future Expiring June USD (10) UBS US 10 Year Note Future Expiring June 2015 Forward Foreign Exchange Contracts 0.37% ( 0.01%) Sell USD 1,160,000 Buy EUR 1,035,263 Bank of Scotland (18) (0.02) Sell GBP 11,462,300 Buy EUR 15,540,909 Goldman Sachs (257) (0.34) Sell USD 600,000 Buy EUR 537,312 Bank of Scotland (8) (0.01) Sell GBP 50,000 Buy EUR 68,614 Bank of Scotland (1) Sell USD 860,000 Buy EUR 772,289 Bank of Scotland (10) (0.01) Sell GBP 60,000 Buy EUR 82,520 Goldman Sachs (1) Sell EUR 772,358 Buy USD 860,000 Bank of Scotland Total Derivatives (482) (0.64) Total value of investments 69, Net other assets (3.84%) 4, Net assets 74, ANALYSIS OF INVESTMENTS BY ASSET CLASS Fixed interest 55, Floating rate notes 14, Derivatives (482) (0.69) Total value of investments 69, ANALYSIS OF INVESTMENTS BY CREDIT RATINGS AAA 4,277 AA+ 386 AA 3,656 AA 3,303 A+ 1,991 A 6,510 A2 1,051 A 6,752 BBB+ 8,766 Baa1 738 BBB 11,733 Baa2 3,140 BBB 8,642 Baa3 143 BB+ 1,608 Ba1 252 Ba1e 360 BB 1,835 Ba2 262 Ba2u 388 BB 157 Ba3 357 B+ 357 B 194 B3 372 CCC+ 152 Ca 248 Not rated 2,711 Derivatives (482) Total value of investments 69,859 ANALYSIS OF UNDERLYING EXPOSURE FUTURES AND OPTIONS UBS EURO Bund Future Expiring June 2015 (4,863) UBS US 10 Year Note Future Expiring June 2015 (837) Total net exposure (5,700) ANALYSIS OF COLLATERAL RECEIVED Counterparty Type Barclays Bank Cash 290 Total collateral 290 March 2014 comparatives in brackets. *Variable rate bonds. 188

190 Threadneedle European High Yield Bond Fund Portfolio Statement as at 7 March 2015 Holding Investment Holding Investment AUSTRIA 0.90% (0.30%) BB 0.15% (0.30%) USD 1,205,000 Sappi Papier Holding 8.375% 15/06/ Ca 0.75% (0.00%) EUR 3,555,000 Heta Asset Resolution 4.25% 31/10/2016 1, EUR 7,200,000 Heta Asset Resolution 4.375% 24/01/2017 2, Total Austria 5, BELGIUM 0.90% (0.70%) BBB 0.36% (0.00%) USD 2,800,000 *KBC Bank 8% 25/01/2023 2, BB+ 0.00% (0.70%) BB 0.54% (0.00%) EUR 4,190,000 *KBC Groep 5.625% 19/12/2049 3, CANADA 0.50% (0.60%) BB 0.00% (0.60%) Total Belgium 5, B+ 0.50% (0.00%) EUR 3,723,000 Bombardier 6.125% 15/05/2021 2, Total Canada 2, CAYMAN ISLANDS 1.34% (1.82%) BBB 0.44% (0.00%) GBP 2,903,000 Petrobras Global Finance 6.25% 14/12/2026 2, BB 0.21% (1.05%) USD 1,660,000 UPCB Finance VI 6.875% 15/01/2022 1, BB 0.00% (0.00%) B2 0.37% (0.37%) EUR 2,875,000 Viridian Group FundCo II 7.5% 01/03/2020 2, Not Rated 0.32% (0.40%) USD 4,156,250 PSOS Finance 11.75% 23/04/2018 1, CROATIA 0.00% (0.90%) B 0.00% (0.90%) Total Cayman Islands 7, Total Croatia CZECH REPUBLIC 0.91% (1.27%) Ba2 0.72% (0.78%) EUR 5,446,000 RPG Byty 6.75% 01/05/2020 4, B1 0.19% (0.49%) EUR 1,490,000 CE Energy 7% 01/02/2021 1, Total Czech Republic 5, DENMARK 0.45% (0.32%) BB+ 0.45% (0.13%) EUR 3,520,000 *TDC 3.5% 26/02/3015 2, B+ 0.00% (0.19%) Total Denmark 2, FINLAND 0.30% (0.29%) BB+ 0.30% (0.00%) GBP 1,562,000 UPM-Kymmene 6.625% 23/01/2017 1, BB 0.00% (0.29%) Total Finland 1, FRANCE 7.29% (8.34%) BBB 0.45% (0.26%) USD 3,405,000 *Credit Agricole 8.125% 19/09/2033 2, BB+ 1.78% (2.81%) EUR 2,035,000 Lafarge 5.375% 29/11/2018 1, EUR 1,370,000 Lafarge 5.5% 16/12/2019 1, EUR 1,150,000 Lafarge 5.875% 09/07/2019 1, GBP 955,000 Lafarge 6.625% 29/11/2017 1, EUR 6,693,000 Renault 4.625% 18/09/2017 5, BB 0.98% (1.24%) EUR 1,900,000 *Accor 4.125% 30/06/2049 1, EUR 1,700,000 *Credit Agricole 6.5% 23/12/2049 1, EUR 1,309,000 Rexel 5.13% 15/06/2020 1, EUR 2,476,000 Rexel 7% 17/12/2018 1, BB 0.00% (0.12%) Ba3 0.00% (0.17%) B+ 2.75% (2.12%) EUR 1,755,000 Autodis 6.5% 01/02/2019 1, EUR 7,274,000 Labco 8.5% 15/01/2018 5, EUR 3,860,000 Numericable-SFR 5.375% 15/05/2022 2, EUR 3,048,000 Numericable-SFR 5.625% 15/05/2024 2, USD 1,046,000 Numericable-SFR 6% 15/05/ EUR 3,573,000 Peugeot 7.375% 06/03/2018 3, B 0.82% (0.55%) EUR 3,805,000 SGD Group SAS 5.625% 15/04/2019 2, EUR 2,479,000 THOM Europe 7.375% 15/07/2019 1, B3 0.00% (0.18%) B2 0.23% (0.00%) EUR 1,686,000 Cerba European Lab SAS 7% 01/02/2020 1, CCC+ 0.28% (0.56%) EUR 2,127,000 Europcar Groupe 9.375% 15/04/2018 1, (P)B3 0.00% (0.21%) (P)B+ 0.00% (0.12%) Total France 41,

191 Threadneedle European High Yield Bond Fund Portfolio Statement Holding Investment Holding Investment GERMANY 7.67% (6.93%) BBB+ 0.00% (0.09%) BBB 0.00% (0.14%) BB+ 0.00% (0.17%) BB 1.08% (1.07%) EUR 7,985,000 ThyssenKrupp 4% 27/08/2018 6, BB 2.60% (1.72%) EUR 3,850,000 Unitymedia Hessen 5.5% 15/09/2022 2, EUR 1,575,000 Unitymedia Hessen 5.625% 15/04/2023 1, EUR 5,841,000 Unitymedia Hessen 5.75% 15/01/2023 4, USD 2,662,000 Unitymedia NRW 5% 15/01/2025 1, EUR 5,522,000 Unitymedia NRW 5.125% 21/01/2023 4, Ba3 0.29% (0.00%) EUR 2,260,000 Unitymedia NRW 3.5% 15/01/2027 1, B+ 0.33% (0.61%) EUR 2,452,000 Techem 6.125% 01/10/2019 1, B 1.02% (1.41%) EUR 3,142,000 Safari Holding Verwaltungs 8.25% 15/02/2021 2, EUR 4,328,000 Unitymedia 9.5% 15/03/2021 3, B 0.56% (0.53%) EUR 1,452,000 Techem Energy Metering Service 7.875% 01/10/2020 1, EUR 2,680,000 Trionista Topco 6.875% 30/04/2021 2, CCC+ 1.79% (0.28%) EUR 2,770,000 CeramTec Group 8.25% 15/08/2021 2, EUR 5,299,000 KP Germany Erste % 15/07/2017 4, EUR 5,428,000 Pfleiderer 7.875% 01/08/2019 3, CCC 0.00% (0.91%) Total Germany 44, ITALY 4.08% (3.07%) BB+ 3.12% (1.45%) EUR 4,941,000 *Enel 5% 15/01/2075 3, GBP 1,260,000 *Enel 6.625% 15/09/2076 1, EUR 12,120,000 Telecom Italia 4.5% 25/01/2021 9, EUR 3,100,000 Telecom Italia 5.25% 10/02/2022 2, BB 0.00% (0.34%) B+ 0.00% (0.28%) B 0.33% (0.30%) EUR 2,568,000 Zobele Holding 7.875% 01/02/2018 1, B 0.48% (0.58%) EUR 3,711,000 Snai 7.625% 15/06/2018 2, CCC 0.15% (0.12%) EUR 1,175,000 Snai 12% 15/12/ Total Italy 23, JAPAN 0.00% (0.67%) BB+ 0.00% (0.67%) Total Japan JERSEY 1.79% (0.00%) BB+ 0.40% (0.00%) EUR 1,570,000 Cleopatra Finance 4.125% 15/02/2020 1, EUR 1,570,000 Cleopatra Finance 4.75% 15/02/2023 1, BB 0.73% (0.00%) GBP 3,807,000 AA Bond 9.5% 31/07/2019 4, B 0.55% (0.00%) GBP 3,067,000 Aston Martin Capital 9.25% 15/07/2018 3, Not Rated 0.11% (0.00%) GBP 1,270,000 *AA PIK 9.5% 07/11/ Total Jersey 10, LUXEMBOURG 17.24% (18.99%) BB+ 1.02% (1.56%) EUR 1,110,000 CNH Industrial Finance Europe 2.75% 18/03/ EUR 4,911,000 CNH Industrial Finance Europe 6.25% 09/03/2018 4, EUR 1,360,000 Dufry Finance 4.5% 15/07/2022 1, Ba1 2.20% (3.50%) EUR 6,609,000 HeidelbergCement Finance Luxembourg 7.5% 03/04/2020 6, EUR 2,495,000 HeidelbergCement Finance Luxembourg 8% 31/01/2017 2, EUR 4,567,000 HeidelbergCement Finance Luxembourg 8.5% 31/10/2019 4, BB 1.68% (1.49%) EUR 3,845,000 Gestamp Funding Luxembourg 5.875% 31/05/2020 2, EUR 9,090,000 Wind Acquisition Finance 4% 15/07/2020 6, BB 3.11% (4.75%) EUR 800,000 Altice Financing 5.25% 15/02/ EUR 1,200,000 Altice Financing 6.5% 15/01/ USD 527,000 Altice Financing 6.625% 15/02/ EUR 890,000 Empark Funding 6.75% 15/12/ EUR 2,271,000 Fiat Finance & Trade 4.75% 15/07/2022 1, EUR 4,453,000 Fiat Finance & Trade 6.625% 15/03/2018 3, EUR 9,932,000 Fiat Finance & Trade 6.75% 14/10/2019 8, EUR 1,300,000 Fiat Finance & Trade 7.375% 09/07/2018 1, Ba3 0.09% (0.00%) USD 777,000 Wind Acquisition Finance 4.75% 15/07/ B+ 1.85% (4.58%) EUR 5,015,000 Bormioli Rocco Holdings 10.5% 01/08/2018 3, GBP 1,395,000 Cabot Financial Luxembourg % 01/10/2019 1, EUR 4,064,000 Cirsa Funding Luxembourg 8.75% 15/05/2018 3,

192 Threadneedle European High Yield Bond Fund Portfolio Statement Holding Investment Holding Investment LUXEMBOURG 17.24% (18.99%) CHF 1,550,000 *Matterhorn Mobile Holdings FRN 15/05/ EUR 2,171,000 Telenet Finance V Luxembourg 6.75% 15/08/2024 1, B 3.99% (0.74%) CHF 1,842,000 Aguila % 31/01/2018 1, EUR 1,265,000 Albea Beauty Holdings FRN 01/10/ EUR 7,170,000 Altice 7.25% 15/05/2022 5, EUR 2,379,000 Altice 6.25% 15/02/2025 1, USD 727,000 Altice 7.625% 15/12/ EUR 824,000 Magnolia BC 9% 01/08/ EUR 14,706,000 Wind Acquisition Finance 7% 23/04/ , EUR 1,488,000 Zinc Capital 8.875% 15/05/2018 1, B 0.99% (0.68%) USD 400,000 Altice Finco 7.625% 15/02/ EUR 3,780,000 Cerberus Nightingale % 01/02/2020 2, EUR 1,345,000 Picard Bondco 7.75% 01/02/2020 1, EUR 2,065,000 Xella Holdco Finance 9.125% 15/09/2018 1, CCC+ 2.31% (1.11%) EUR 2,470,898 Ardagh Finance Holdings 8.375% 15/06/2019 1, EUR 1,303,750 *Bilbao Luxembourg 10.5% 24/10/ EUR 5,408,861 *Kleopatra Holdings % 15/08/2017 4, EUR 2,550,000 Matterhorn Financing 9% 15/04/2019 1, EUR 2,425,000 Matterhorn Mobile Holdings 8.25% 15/02/2020 1, EUR 3,460,000 Play Topco 7.75% 28/02/2020 2, CCC 0.00% (0.58%) Total Luxembourg 99, NETHERLANDS 15.36% (11.33%) BBB 1.24% (0.00%) EUR 800,000 *Deutsche Annington Finance 4% 29/12/ EUR 3,400,000 *Deutsche Annington Finance 4.625% 08/04/2074 2, GBP 1,856,000 Petrobras Global Finance 5.375% 01/10/2029 1, GBP 2,711,000 Petrobras Global Finance 6.625% 16/01/2034 2, BB+ 5.06% (2.93%) EUR 4,535,000 EDP Finance 2.625% 18/01/2022 3, EUR 1,865,000 EDP Finance 4.125% 20/01/2021 1, EUR 4,312,000 EDP Finance 5.75% 21/09/2017 3, EUR 1,300,000 *Gas Natural Fenosa Finance 4.125% 30/11/2049 1, EUR 1,668,000 OI European Group 4.88% 31/03/2021 1, EUR 1,596,000 OI European Group 6.75% 15/09/2020 1, EUR 752,000 Portugal Telecom International Finance 4.5% 16/06/ EUR 7,522,000 Portugal Telecom International Finance 4.625% 08/05/2020 5, EUR 893,000 Portugal Telecom International Finance 5.875% 17/04/ EUR 3,800,000 *Telefonica Europe 6.5% 29/09/2049 3, GBP 6,000,000 *Telefonica Europe 6.75% 26/11/2013 6, EUR 400,000 *Telefonica Europe 7.625% 29/09/ Ba1 0.51% (0.00%) EUR 3,800,000 *Telefonica Europe 4.2% 29/12/2049 2, BB 0.40% (2.34%) EUR 951,000 *Koninklijke KPN 6.125% 29/03/ GBP 1,456,000 *Koninklijke KPN 6.875% 14/03/2073 1, BB 1.03% (0.77%) EUR 2,265,000 Grupo Antolin Dutch 4.75% 01/04/2021 1, EUR 2,560,000 Schaeffler Finance 3.5% 15/05/2022 1, EUR 3,016,000 Schaeffler Finance 4.25% 15/05/2018 2, Ba3 0.58% (0.00%) EUR 4,450,000 Ziggo Secured Finance 3.75% 15/01/2025 3, B+ 1.53% (2.16%) EUR 2,390,000 Cable Communications Systems 7.5% 01/11/2020 1, EUR 2,819,000 Carlson Wagonlit 7.5% 15/06/2019 2, GBP 4,777,000 InterGen 7.5% 30/06/2021 4, B 4.10% (2.38%) EUR 2,290,000 Constellium 7% 15/01/2023 1, EUR 7,114,000 LGE HoldCo VI 7.125% 15/05/2024 5, EUR 2,920,000 Schaeffler Finance 3.25% 15/05/2019 2, EUR 7,405,000 Schaeffler Holding Finance 6.875% 15/08/2018 5, EUR 3,606,000 Schaeffler Holding Finance 5.75% 15/11/2021 2, EUR 1,005,000 United Group 7.875% 15/11/ EUR 1,755,000 UPC Holding 6.75% 15/03/2023 EUR 1, CHF 4,158,000 UPC Holding 6.75% 15/03/2023 CHF 3, B2 0.28% (0.00%) EUR 2,120,000 Ziggo Bond Finance 4.625% 15/01/2025 1, B 0.24% (0.16%) EUR 1,580,000 Polish Television Holding 11% 15/01/2021 1, Not Rated 0.39% (0.59%) EUR 2,029,000 Boats Investments Netherlands 11% 31/03/ USD 3,417,535 OSX 3 Leasing 13% 20/03/2015 1, Total Netherlands 88, NORWAY 0.79% (0.00%) BB 0.79% (0.00%) EUR 5,805,000 Lock 7% 15/08/2021 4, Total Norway 4, POLAND 0.44% (0.00%) B 0.25% (0.00%) EUR 1,920,000 Play Finance % 01/02/2019 1,

193 Threadneedle European High Yield Bond Fund Portfolio Statement Holding Investment Holding Investment POLAND 0.44% (0.00%) CCC+ 0.19% (0.00%) EUR 1,420,000 Play Finance 1 6.5% 01/08/2019 1, Not Rated 0.00% (0.00%) PORTUGAL 0.29% (0.98%) BB 0.00% (0.10%) Total Poland 2, BB 0.00% (0.88%) B3 0.29% (0.00%) EUR 1,000,000 Banco Espirito Santo 2.625% 08/05/ EUR 1,300,000 Banco Espirito Santo 4.75% 15/01/ REPUBLIC OF IRELAND 2.04% (4.89%) BB+ 0.00% (0.48%) Total Portugal 1, BB 0.00% (0.75%) B+ 1.12% (1.73%) EUR 5,490,000 Ardagh Packaging Finance 4.25% 15/01/2022 4, GBP 1,381,000 *Argon Capital for Royal Bank of Scotland 8.162% 29/10/2049 1, EUR 1,285,000 Bank of Ireland 10% 19/12/2022 1, B 0.58% (0.15%) EUR 4,684,000 AG Spring Finance 7.5% 01/06/2018 3, B 0.00% (0.36%) CCC+ 0.00% (0.92%) Not Rated 0.34% (0.50%) EUR 2,475,000 Bank of Ireland 10% 30/07/2016 1, Total Republic of Ireland 11, SINGAPORE 0.22% (0.18%) Not Rated 0.22% (0.18%) USD 2,650,000 Oro Negro Drilling 7.5% 24/01/2019 1, SOUTH AFRICA 0.00% (0.19%) B 0.00% (0.19%) Total Singapore 1, Total South Africa SPAIN 1.52% (1.97%) Ba3 0.14% (0.89%) EUR 1,050,000 Campofrio Food Group 3.375% 15/03/ B1 0.57% (0.00%) EUR 1,020,000 Obrascon Huarte Lain 4.75% 15/03/ EUR 1,620,000 Obrascon Huarte Lain 7.63% 15/03/2020 1, EUR 1,855,000 Obrascon Huarte Lain 8.75% 15/03/2018 1, B 0.52% (0.43%) EUR 3,665,000 NH Hotel Group 6.875% 15/11/2019 2, B 0.00% (0.27%) Not Rated 0.29% (0.28%) EUR 2,200,000 *Banco Bilbao Vizcaya Argentaria 7% 29/12/2049 1, (P)Ba3 0.00% (0.10%) Total Spain 8, SWEDEN 1.41% (1.21%) Ba1 0.55% (0.00%) EUR 2,920,000 *Volvo Treasury 4.2% 10/06/2075 2, EUR 1,250,000 *Volvo Treasury 4.85% 10/03/ BB 0.00% (0.03%) B+ 0.73% (0.47%) EUR 3,380,000 TVN Finance III 7.375% 15/12/2020 2, EUR 1,909,000 TVN Finance III 7.88% 15/11/2018 1, B 0.13% (0.45%) EUR 1,022,000 Unilabs Subholding 8.5% 15/07/ CCC+ 0.00% (0.26%) Total Sweden 8, SWITZERLAND 1.49% (1.17%) BBB 0.98% (0.00%) USD 2,000,000 Credit Suisse 6.5% 08/08/2023 1, EUR 1,390,000 *UBS 4.75% 12/02/2026 1, USD 4,345,000 UBS 5.125% 15/05/2024 2, BBB 0.00% (0.65%) BB+ 0.00% (0.19%) BB 0.43% (0.00%) USD 3,510,000 *Credit Suisse Group 7.5% 11/12/2049 2, BB 0.00% (0.33%) Not Rated 0.08% (0.00%) EUR 593,000 *UBS Group 5.75% 29/12/ UNITED KINGDOM 23.66% (22.19%) BBB 0.00% (2.16%) Total Switzerland 8, Baa3 0.56% (0.38%) GBP 2,326,000 Santander UK % 29/10/2049 3, BB+ 1.42% (0.17%) EUR 1,678,000 *Royal Bank of Scotland 10.5% 16/03/2022 1, GBP 906,000 Tesco 5.5% 13/01/ GBP 2,540,000 Tesco 6.125% 24/02/2022 2, GBP 617,000 Tesco Property Finance 5.5% 13/10/

194 Threadneedle European High Yield Bond Fund Portfolio Statement Holding Investment Holding Investment UNITED KINGDOM 23.66% (22.19%) GBP 1,561,000 Tesco Property Finance % 13/07/2039 1, GBP 693,000 Tesco Property Finance % 13/04/ BB 3.51% (3.11%) GBP 2,760,000 *Barclays Bank 14% 29/11/2049 3, GBP 2,065,000 Jaguar Land Rover Automotive 3.875% 01/03/2023 2, GBP 2,657,000 Jaguar Land Rover Automotive 8.25% 15/03/2016 2, GBP 3,321,000 *Lloyds Bank 13% 29/01/2049 5, GBP 4,491,000 Priory Group No 3 7% 15/02/2018 2, EUR 3,587,000 *Rexam 6.75% 29/06/2067 2, BB 4.90% (3.38%) GBP 1,533,000 *Co-operative Group 6.25% 08/07/2026 1, GBP 3,900,000 *Co-operative Group 6.88% 08/07/2020 4, GBP 2,155,000 Debenhams 5.25% 15/07/2021 2, GBP 2,119,000 Enterprise Inns 6.375% 26/09/2031 2, GBP 496,000 Enterprise Inns 6.5% 06/12/ GBP 3,290,000 Enterprise Inns 6.875% 15/02/2021 3, GBP 220,000 Enterprise Inns 6.875% 09/05/ GBP 1,972,000 Jerrold Finco 9.75% 15/09/2018 2, EUR 4,020,000 OTE 3.5% 09/07/2020 2, EUR 3,040,000 OTE 7.875% 07/02/2018 2, GBP 3,251,000 Southern Water Greensands Financing 8.5% 15/04/2019 3, GBP 2,700,000 Virgin Media Secured Finance 5.5% 15/01/2021 2, Ba3 0.74% (0.36%) GBP 2,034,000 Anglian Water Osprey Financing 7% 31/01/2018 2, GBP 1,960,000 Virgin Media Secured Finance 5.125% 15/01/2025 2, B+ 2.83% (3.76%) EUR 1,867,000 Boparan Finance 4.375% 15/07/2021 1, GBP 1,150,000 Boparan Finance 5.5% 15/07/2021 1, GBP 200,000 Crown Newco % 15/02/ GBP 3,849,000 Elli Finance UK 8.75% 15/06/2019 3, GBP 1,500,000 Gala Group Finance 8.875% 01/09/2018 1, GBP 2,520,000 Iron Mountain Europe 6.125% 15/09/2022 2, GBP 589,000 *Lloyds Banking Group 7% 29/12/ GBP 1,569,000 *Lloyds Banking Group 7.875% 29/12/2049 1, GBP 3,425,000 Moy Park Bondco 6.25% 29/05/2021 3, B1 0.49% (0.41%) GBP 2,594,000 Thames Water Kemble Finance 7.75% 01/04/2019 2, B 2.73% (3.70%) EUR 4,660,000 Eco-Bat Finance 7.75% 15/02/2017 3, GBP 1,990,000 Equiniti Newco % 15/12/2018 1, GBP 1,687,000 IDH Finance 6% 01/12/2018 1, GBP 2,470,000 New Look Bondco 8.75% 14/05/2018 2, GBP 1,150,000 Thomas Cook Group 7.75% 22/06/2017 1, EUR 3,060,000 Thomas Cook Finance 7.75% 15/06/2020 2, GBP 2,587,000 Twinkle Pizza 6.625% 01/08/2021 2, B2 1.37% (0.00%) EUR 5,990,000 Virgin Media Finance 4.5% 15/01/2025 4, GBP 2,920,000 Virgin Media Finance 6.375% 15/10/2024 3, B 1.13% (1.29%) GBP 1,810,000 GHD Bondco 7% 15/04/2020 1, EUR 3,163,000 Kerling % 01/02/2017 2, GBP 1,929,000 Keystone Financing 9.5% 15/10/2019 2, EUR 965,000 PPC Finance 5.5% 01/05/ B3 0.00% (0.13%) CCC+ 1.40% (0.60%) GBP 3,382,296 Annington Finance No 5 13% 15/01/2023 4, GBP 1,390,000 IDH Finance 8.5% 01/06/2019 1, GBP 2,428,000 Odeon & UCI Finco 9% 01/08/2018 2, Caa1 0.00% (0.89%) Caa2 0.57% (0.00%) GBP 3,429,000 Co-Operative Bank United Kingdom 5.125% 20/09/2017 3, Not Rated 2.01% (1.85%) GBP 3,850,000 First Hydro Finance 9% 31/07/2021 5, USD 4,000,000 Genel Energy Finance 7.5% 14/05/2019 2, EUR 3,666,000 International Personal Finance 5.75% 07/04/2021 2, EUR 2,008,000 Motor Oil Finance 5.125% 15/05/2019 1, USD 434 **NV Profit Share Preference Shares Total United Kingdom 135, UNITED STATES OF AMERICA 1.43% (1.75%) BB 0.00% (0.14%) BB 0.00% (0.41%) B+ 0.11% (0.00%) EUR 918,000 Rain CII Carbon LLC 8.5% 15/01/ B 0.51% (0.55%) USD 3,984,000 Chrysler Group 8.25% 15/06/2021 2, B2 0.45% (0.00%) EUR 3,410,000 PSPC Escrow 6% 01/02/2023 2, B 0.36% (0.36%) USD 3,980,000 DFC Finance 10.5% 15/06/2020 2, CCC+ 0.00% (0.29%) Total United States of America 8, DERIVATIVES 0.64% (0.22%) Credit Default Swaps 0.14% (0.04%) EUR 3,300,000 Barclays Fiat Chrysler Automobiles Credit Default Swap Sell Protection 20/09/2018 Spread EUR 2,500,000 BNP Paribas Finmeccanica Credit Default Swap Sell Protection 20/09/2018 Spread EUR 2,400,000 Goldman Sachs Fiat Chrysler Automobiles Credit Default Swap Sell Protection 20/12/2018 Spread

195 Threadneedle European High Yield Bond Fund Portfolio Statement Holding Investment Investment DERIVATIVES 0.64% (0.22%) EUR 2,000,000 Merrill Lynch Finmeccanica Credit Default Swap Sell Protection 20/09/2018 Spread Forward Foreign Exchange Contracts 0.78% (0.18%) Sell EUR 425,451 Buy CHF 458,301 J.P. Morgan 2 Sell EUR 46,647 Buy CHF 50,000 UBS Sell GBP 825,000 Buy EUR 1,133,341 Citigroup (8) Sell GBP 1,100,000 Buy EUR 1,516,415 Lloyds (7) Sell GBP 1,300,000 Buy EUR 1,787,907 UBS (11) Sell USD 46,923,000 Buy EUR 41,246,431 Goldman Sachs (1,188) (0.21) Sell CHF 45,000 Buy EUR 42,049 Bank of Scotland Sell CHF 46,910 Buy EUR 43,770 J.P. Morgan Sell GBP 3,800,000 Buy EUR 5,262,060 J.P. Morgan (6) Sell CHF 7,665,000 Buy EUR 7,164,770 UBS (2) Sell CHF 80,000 Buy EUR 74,342 J.P. Morgan Sell CHF 85,000 Buy EUR 79,209 Bank of Scotland Sell GBP 5,900,000 Buy EUR 8,090,293 UBS (67) (0.01) Sell GBP 700,000 Buy EUR 949,751 J.P. Morgan (15) Sell GBP 70,580,000 Buy EUR 95,694,351 Goldman Sachs (1,584) (0.28) Sell GBP 71,000,000 Buy EUR 96,275,259 Citigroup (1,586) (0.28) Total Derivatives (3,653) (0.64) Total value of investments 525, Net other assets (9.72%) 49, Net assets 574, ANALYSIS OF INVESTMENTS BY ASSET CLASS Fixed interest 452, Floating rate notes 76, Derivatives (3,653) (0.70) Total value of investments 525, ANALYSIS OF INVESTMENTS BY CREDIT RATINGS BBB 5,608 BBB 14,324 Baa3 3,209 BB+ 77,989 Ba1 18,751 BB 55,802 Ba2 4,126 BB 71,322 Ba3 10,584 B+ 67,511 B1 7,260 B 86,136 B2 15,412 B 24,778 B3 1,682 CCC+ 34,240 CCC 886 Caa2 3,288 Ca 4,341 Not rated 21,578 Derivatives (3,653) Total value of investments 525,174 ANALYSIS OF COLLATERAL RECEIVED Counterparty Type Barclays Bank Cash 330 Goldman Sachs Cash 240 Merill Lynch Cash 240 J.P. Morgan Cash 30 Total collateral 840 March 2014 comparatives in brackets. (P) Refers to Provisional Rating. *Variable rate bonds. **Manually priced. 194

196 Threadneedle Strategic Bond Fund Portfolio Statement as at 7 March 2015 Holding Investment Holding Investment AUSTRALIA 0.86% (0.73%) A+ 0.48% (0.32%) GBP 1,525,000 BHP Billiton Finance 3.25% 25/09/2024 1, BBB+ 0.15% (0.00%) GBP 425,000 SGSP Australia Assets 5.125% 11/02/ BBB 0.00% (0.41%) BBB 0.23% (0.00%) EUR 975,000 *Santos Finance 8.25% 22/09/ Total Australia 2, AUSTRIA 0.90% (0.52%) Ba2 0.35% (0.00%) EUR 1,300,000 BAWAG PSK Bank fuer Arbeit und Wirtschaft und Oesterreichische Postsparkasse 8.125% 30/10/2023 1, BB 0.09% (0.20%) EUR 400,000 Sappi Papier Holding 6.63% 15/04/ Ba3 0.00% (0.32%) Ca 0.46% (0.00%) EUR 758,000 Heta Asset Resolution 4.25% 31/10/ EUR 3,050,000 Heta Asset Resolution 4.375% 24/01/2017 1, Total Austria 2, BELGIUM 0.93% (1.04%) A 0.56% (0.77%) GBP 1,159,000 Anheuser-Busch InBev 4% 24/09/2025 1, GBP 359,000 Anheuser-Busch InBev 9.75% 30/07/ BB+ 0.00% (0.27%) BB 0.37% (0.00%) EUR 1,670,000 *KBC Groep 5.625% 19/12/2049 1, Total Belgium 3, BRITISH VIRGIN ISLANDS 0.11% (0.00%) BBB 0.11% (0.00%) GBP 349,000 Global Switch Holdings 4.375% 13/12/ Total British Virgin Islands CANADA 0.26% (0.35%) B+ 0.26% (0.00%) EUR 1,115,000 Bombardier 6.125% 15/05/ BB 0.00% (0.35%) Total Canada CAYMAN ISLANDS 1.74% (3.66%) AA+ 0.11% (0.10%) GBP 400,000 *Trafford Centre Finance FRN 28/07/ AA 0.00% (0.28%) Aa3 0.00% (0.32%) A 0.25% (0.29%) GBP 622,000 Dwr Cymru Financing 6.015% 31/03/ A 0.43% (0.68%) GBP 1,245,000 Thames Water Utilities Cayman Finance 7.241% 09/04/2058 1, BBB 0.53% (0.84%) USD 1,365,000 *Hutchison Whampoa International 10 6% 29/04/ GBP 716,000 South East Water Finance % 30/09/ BB 0.21% (0.77%) EUR 500,000 UPCB Finance II 6.375% 01/07/ USD 460,000 UPCB Finance VI 6.875% 15/01/ B2 0.21% (0.13%) EUR 940,000 Viridian Group FundCo II 7.5% 01/03/ Not Rated 0.00% (0.25%) Total Cayman Islands 5, CROATIA 0.10% (0.51%) B 0.10% (0.51%) EUR 400,000 Agrokor 9.125% 01/02/ Total Croatia CZECH REPUBLIC 0.57% (0.63%) Ba2 0.34% (0.36%) EUR 1,460,000 RPG 6.75% 01/05/2020 1, B1 0.23% (0.27%) EUR 1,040,000 CE Energy 7% 01/02/ DENMARK 0.29% (0.60%) A 0.00% (0.21%) Total Czech Republic 1, BBB 0.00% (0.20%) BB+ 0.29% (0.07%) EUR 220,000 *Danske Bank 5.875% 29/04/ EUR 1,100,000 *TDC 3.5% 26/02/ B+ 0.00% (0.12%) FINLAND 0.21% (0.18%) BB 0.00% (0.18%) Total Denmark BB+ 0.21% (0.00%) GBP 623,000 UPM-Kymmene 6.625% 23/01/ Total Finland

197 Threadneedle Strategic Bond Fund Portfolio Statement Holding Investment Holding Investment FRANCE 6.71% (7.31%) A+ 0.82% (0.91%) GBP 1,600,000 Electricite de France 5.5% 17/10/2041 2, GBP 500,000 Electricite de France 6% 23/01/ A 0.00% (0.25%) BBB+ 0.37% (0.46%) GBP 1,100,000 *Electricite de France 6% 29/12/2049 1, BBB 0.45% (0.31%) GBP 530,000 *AXA 5.625% 16/01/ GBP 735,000 AXA 7.125% 15/12/ BBB 0.68% (0.55%) USD 2,961,000 *Credit Agricole 8.125% 19/09/2033 2, BB+ 1.22% (1.81%) EUR 700,000 Lafarge 4.75% 23/03/ EUR 920,000 Lafarge 5.375% 29/11/ EUR 330,000 Lafarge 5.5% 16/12/ EUR 345,000 Lafarge 5.875% 09/07/ EUR 210,000 Renault 3.125% 05/03/ EUR 2,370,000 Renault 4.625% 18/09/2017 1, BB 0.53% (0.83%) EUR 500,000 *Accor 4.125% 30/06/ EUR 203,000 Novalis SAS 6% 15/06/ EUR 1,238,000 Rexel 5.13% 15/06/ EUR 300,000 Rexel 7% 17/12/ BB 0.17% (0.06%) EUR 450,000 Nexans 5.75% 02/05/ EUR 285,000 Novafives SAS 4.5% 30/06/ Ba3 0.02% (0.09%) EUR 100,000 Faurecia 9.375% 15/12/ B+ 1.39% (1.19%) EUR 610,000 Autodis 6.5% 01/02/ EUR 2,345,000 Labco 8.5% 15/01/2018 1, EUR 1,189,000 Numericable-SFR 5.375% 15/05/ EUR 477,000 Numericable-SFR 5.625% 15/05/ USD 381,000 Numericable-SFR 6% 15/05/ EUR 994,000 Peugeot 7.375% 06/03/ B 0.42% (0.23%) EUR 1,215,000 SGD Group SAS 5.625% 15/04/ EUR 640,000 THOM Europe 7.375% 15/07/ B2 0.13% (0.00%) EUR 551,000 Cerba European Lab SAS 7% 01/02/ B3 0.00% (0.06%) (P)B3 0.00% (0.11%) CCC+ 0.29% (0.31%) EUR 1,285,000 Europcar Groupe 9.375% 15/04/ Not Rated 0.22% (0.14%) GBP 705,000 *Credit Agricole 7.5% 31/12/ Total France 22, GERMANY 3.88% (3.75%) A 0.00% (0.16%) BBB+ 0.00% (0.11%) BBB 0.00% (0.17%) BB 0.58% (0.57%) EUR 2,440,000 ThyssenKrupp 4% 27/08/2018 1, BB 0.94% (0.61%) EUR 440,000 TUI 4.5% 01/10/ EUR 494,000 Unitymedia Hessen 5.625% 15/04/ EUR 1,502,000 Unitymedia Hessen 5.75% 15/01/2023 1, USD 922,000 Unitymedia NRW 5% 15/01/ EUR 736,000 Unitymedia NRW 5.125% 21/01/ (P)Ba3 0.16% (0.00%) EUR 720,000 Unitymedia NRW 3.5% 15/01/ B+ 0.24% (0.25%) EUR 675,000 Techem 6.125% 01/10/ EUR 350,000 Trionista Holdco 5% 30/04/ B 0.75% (0.91%) EUR 650,000 Deutsche Raststaetten Gruppe IV 6.75% 30/12/ EUR 1,111,000 Safari Holding Verwaltungs 8.25% 15/02/ EUR 1,370,000 Unitymedia 9.5% 15/03/2021 1, B 0.31% (0.32%) EUR 675,000 Techem Energy Metering Service 7.875% 01/10/ EUR 630,000 Trionista Topco 6.875% 30/04/ CCC+ 0.90% (0.16%) EUR 640,000 CeramTec Group 8.25% 15/08/ EUR 1,936,000 KP Germany Erste % 15/07/2017 1, EUR 1,333,000 Pfleiderer 7.875% 01/08/ CCC 0.00% (0.49%) Total Germany 12, GUERNSEY 0.51% (0.00%) Not Rated 0.51% (0.00%) USD 2,399,000 *Credit Suisse Group Guernsey I 7.875% 24/08/2016 1, Total Guernsey 1, ICELAND 0.25% (0.00%) Not Rated 0.25% (0.00%) EUR 1,132,000 Arion Banki 3.125% 12/03/ ITALY 3.46% (3.44%) Baa2 0.00% (0.20%) Total Iceland Baa3 0.30% (0.26%) GBP 948,000 Acquedotto Pugliese 6.92% 29/06/2018 1, BB+ 1.66% (1.78%) EUR 650,000 *Enel 5% 15/01/ GBP 410,000 *Enel 6.625% 15/09/

198 Threadneedle Strategic Bond Fund Portfolio Statement Holding Investment Holding Investment ITALY 3.46% (3.44%) EUR 2,850,000 Telecom Italia 4.5% 25/01/2021 2, EUR 700,000 Telecom Italia 5.25% 10/02/ GBP 1,500,000 Telecom Italia 5.625% 29/12/2015 1, BB 0.00% (0.20%) B1 0.72% (0.00%) EUR 3,101,000 Banca Monte dei Paschi di Siena 3.625% 01/04/2019 2, B+ 0.00% (0.16%) B 0.11% (0.17%) EUR 527,000 Zobele Holding 7.875% 01/02/ B 0.24% (0.25%) EUR 1,075,000 Snai 7.625% 15/06/ CCC 0.06% (0.06%) EUR 255,000 Snai 12% 15/12/ Not Rated 0.37% (0.36%) EUR 1,494,000 Davide Campari-Milano 4.5% 25/10/2019 1, Total Italy 11, JAPAN 0.06% (0.34%) BB+ 0.06% (0.34%) EUR 270,000 SoftBank 4.625% 15/04/ Total Japan JERSEY 1.88% (0.00%) A 0.31% (0.00%) GBP 455,000 Heathrow Funding 4.625% 31/10/ GBP 414,000 Heathrow Funding 5.225% 15/02/ BBB+ 0.14% (0.00%) GBP 409,000 Gatwick Funding 5.25% 23/01/ BBB 0.28% (0.00%) GBP 824,000 Porterbrook Rail Finance 4.625% 04/04/ BB+ 0.24% (0.00%) EUR 530,000 Cleopatra Finance 4.125% 15/02/ EUR 530,000 Cleopatra Finance 4.75% 15/02/ BB 0.33% (0.00%) GBP 1,000,000 AA Bond 9.5% 31/07/2019 1, B+ 0.19% (0.00%) EUR 805,000 Avis Budget Finance 6% 01/03/ B 0.30% (0.00%) GBP 973,000 Aston Martin Capital 9.25% 15/07/ Not Rated 0.09% (0.00%) GBP 560,000 AA PIK 9.5% 07/11/ KAZAKHSTAN 0.00% (0.06%) Baa2 0.00% (0.06%) Total Jersey 6, Total Kazakhstan LUXEMBOURG 10.34% (10.93%) A 0.00% (0.22%) BBB 0.44% (0.57%) GBP 1,250,000 Glencore Finance Europe 6.5% 27/02/2019 1, BBB 0.08% (0.00%) USD 400,000 Actavis Funding SCS 4.75% 15/03/ BB+ 0.84% (0.99%) EUR 1,791,000 CNH Industrial Finance Europe 6.25% 09/03/2018 1, EUR 510,000 Dufry Finance 4.5% 15/07/ USD 500,000 Dufry Finance 5.5% 15/10/ GBP 690,000 Gazprom OAO Via Gaz Capital 5.338% 25/09/ Ba1 1.35% (2.04%) EUR 1,770,000 HeidelbergCement Finance Luxembourg 7.5% 03/04/2020 1, EUR 2,265,000 HeidelbergCement Finance Luxembourg 8% 31/01/2017 1, EUR 960,000 HeidelbergCement Finance Luxembourg 8.5% 31/10/ BB 0.83% (0.82%) USD 245,000 ArcelorMittal 4.5% 25/02/ EUR 1,105,000 Gestamp Funding Luxembourg 5.875% 31/05/ EUR 2,320,000 Wind Acquisition Finance 4% 15/07/2020 1, BB 1.93% (2.47%) EUR 260,000 Altice Financing 5.25% 15/02/ USD 200,000 Altice Financing 6.625% 15/02/ EUR 410,000 Empark Funding 6.75% 15/12/ EUR 260,000 *Empark Funding FRN 15/12/ EUR 2,139,000 Fiat Finance & Trade 4.75% 15/07/2022 1, EUR 341,000 Fiat Finance & Trade 4.75% 22/03/ EUR 596,000 Fiat Finance & Trade 6.625% 15/03/ EUR 2,724,000 Fiat Finance & Trade 6.75% 14/10/2019 2, EUR 700,000 Fiat Finance & Trade 7.375% 09/07/ Ba3 0.04% (0.00%) USD 200,000 Wind Acquisition Finance 4.75% 15/07/ B+ 1.26% (2.29%) EUR 1,579,000 Bormioli Rocco Holdings 10.5% 01/08/2018 1, GBP 310,000 Cabot Financial Luxembourg % 01/10/ EUR 1,085,000 Cirsa Funding Luxembourg 8.75% 15/05/ CHF 1,050,000 Matterhorn Mobile 6.75% 15/05/ EUR 570,000 Telenet Finance III Luxembourg 6.625% 15/02/ EUR 650,000 Telenet Finance Luxembourg 6.375% 15/11/ EUR 260,000 Telenet Finance V Luxembourg 6.75% 15/08/

199 Threadneedle Strategic Bond Fund Portfolio Statement Holding Investment Holding Investment LUXEMBOURG 10.34% (10.93%) B 1.86% (0.33%) USD 300,000 Aguila % 31/01/ EUR 280,000 Albea Beauty Holdings FRN 01/10/ EUR 817,000 Altice 6.25% 15/02/ EUR 1,870,000 Altice 7.25% 15/05/2022 1, USD 200,000 Altice 7.625% 15/02/ EUR 271,000 Magnolia BC 9% 01/08/ EUR 4,184,000 Wind Acquisition Finance 7% 23/04/2021 3, EUR 182,000 Zinc Capital 8.875% 15/05/ B 0.28% (0.34%) USD 200,000 Altice Finco 7.625% 15/02/ EUR 450,000 Picard Bondco 7.75% 01/02/ EUR 600,000 Xella Holdco Finance 9.125% 15/09/ (P)B 0.29% (0.00%) EUR 1,283,000 Cerberus Nightingale % 01/02/ CCC+ 1.14% (0.53%) EUR 458,732 Ardagh Finance Holdings 8.375% 15/06/ EUR 371,875 *Bilbao Luxembourg 10.5% 24/10/ EUR 1,594,322 Kleopatra Holdings 1 SCA 10.25% 15/08/2017 1, EUR 265,000 Matterhorn Financing 9% 15/04/ EUR 1,007,000 Matterhorn Mobile Holdings 8.25% 15/02/ EUR 1,240,000 Play Topco 7.75% 28/02/ CCC 0.00% (0.33%) Total Luxembourg 34, MEXICO 0.97% (0.79%) BBB+ 0.60% (0.44%) GBP 1,875,000 United Mexican States 5.625% 19/03/2114 1, BBB 0.26% (0.19%) GBP 770,000 *America Movil 6.375% 06/09/ BBB 0.11% (0.00%) USD 550,000 Mexichem 5.875% 17/09/ Baa2 0.00% (0.16%) Total Mexico 3, NETHERLANDS 11.29% (8.68%) A 0.50% (0.34%) GBP 1,515,000 *Linde Finance 8.125% 14/07/2066 1, BBB+ 0.37% (0.82%) GBP 1,150,000 *Siemens Financieringsmaatschappij 6.125% 14/09/2066 1, BBB 0.65% (0.15%) USD 1,810,000 *ING Bank 4.125% 21/11/2023 1, GBP 800,000 *ING Bank 6.875% 29/05/ BBB 1.06% (0.61%) EUR 500,000 *Deutsche Annington Finance 4% 29/12/ EUR 1,000,000 *Deutsche Annington Finance 4.625% 08/04/ GBP 1,050,000 Petrobras Global Finance 5.375% 01/10/ GBP 1,248,000 Petrobras Global Finance 6.625% 16/01/2034 1, GBP 315,000 PostNL 7.5% 14/08/ BB+ 3.19% (1.53%) USD 1,241,000 EDP Finance 4.125% 15/01/ EUR 1,882,000 EDP Finance 4.125% 20/01/2021 1, EUR 1,120,000 EDP Finance 5.75% 21/09/ EUR 400,000 *Gas Natural Fenosa Finance 4.125% 30/11/ EUR 932,000 OI European Group 4.88% 31/03/ EUR 510,000 OI European Group 6.75% 15/09/ EUR 265,000 Portugal Telecom International Finance 4.5% 16/06/ EUR 1,926,000 Portugal Telecom International Finance 4.63% 08/05/2020 1, EUR 390,000 Portugal Telecom International Finance 5.625% 08/02/ EUR 912,000 Portugal Telecom International Finance 5.875% 17/04/ EUR 300,000 *Telefonica Europe 5% 31/03/ EUR 1,900,000 *Telefonica Europe 6.5% 29/09/2049 1, GBP 800,000 *Telefonica Europe 6.75% 26/11/ EUR 400,000 *Telefonica Europe 7.625% 29/09/ BB 0.29% (1.42%) GBP 881,000 *Koninklijke KPN 6.875% 14/03/ Ba1 0.72% (0.00%) GBP 450,000 *Generali Finance 6.214% 29/06/ EUR 2,500,000 *Telefonica Europe 4.2% 29/12/2049 1, BB 0.53% (1.05%) EUR 790,000 Grupo Antolin Dutch 4.75% 01/04/ EUR 580,000 Schaeffler Finance 3.5% 15/05/ EUR 964,000 Schaeffler Finance 4.25% 15/05/ Ba3 0.45% (0.00%) EUR 2,000,000 Ziggo Secured Finance 3.75% 15/01/2025 1, B+ 0.94% (1.15%) EUR 520,000 Cable Communications Systems 7.5% 01/11/ EUR 1,385,000 Carlson Wagonlit 7.5% 15/06/2019 1, GBP 899,000 InterGen 7.5% 30/06/ EUR 542,000 InterXion Holding 6% 15/07/ EUR 420,000 Refresco Gerber 7.375% 15/05/ B 2.15% (0.91%) EUR 835,000 Constellium 7% 15/01/ EUR 1,890,000 LGE HoldCo VI 7.125% 15/05/2024 1, EUR 660,000 Schaeffler Finance 3.25% 15/05/ EUR 1,302,000 Schaeffler Holding Finance 5.75% 15/11/2021 1, EUR 2,306,000 Schaeffler Holding Finance 6.875% 15/08/2018 1, EUR 425,000 United Group 7.875% 15/11/ EUR 1,625,000 UPC Holding 6.75% 15/03/2023 1,

200 Threadneedle Strategic Bond Fund Portfolio Statement Holding Investment Holding Investment NETHERLANDS 11.29% (8.68%) B2 0.16% (0.00%) EUR 700,000 Ziggo Bond Finance 4.625% 15/01/ B 0.09% (0.09%) EUR 355,000 Polish Television Holding 11% 15/01/ Not Rated 0.19% (0.61%) EUR 390,000 Boats Investments Netherlands 11% 31/03/ USD 1,239,044 OSX 3 Leasing 13% 20/03/ NORWAY 0.50% (0.15%) BB+ 0.00% (0.15%) Total Netherlands 37, BB 0.50% (0.00%) EUR 2,120,000 Lock 7% 15/08/2021 1, Total Norway 1, POLAND 0.24% (0.00%) B 0.11% (0.00%) EUR 471,000 Play Finance % 01/02/ CCC+ 0.13% (0.00%) EUR 550,000 Play Finance 1 6.5% 01/08/ PORTUGAL 0.25% (1.42%) BB 0.00% (0.05%) Total Poland BB 0.00% (0.38%) Bbu 0.00% (0.99%) B3 0.25% (0.00%) EUR 300,000 Banco Espirito Santo 2.625% 08/05/ EUR 800,000 Banco Espirito Santo 4.75% 15/01/ QATAR 0.00% (0.21%) AA 0.00% (0.21%) Total Portugal Total Qatar REPUBLIC OF IRELAND 2.03% (4.40%) AA+ 0.72% (0.75%) GBP 1,760,000 GE Capital UK Funding 5.125% 24/05/2023 2, GBP 270,000 GE Capital UK Funding 5.875% 04/11/ BBB 0.00% (0.15%) Baa3 0.00% (0.23%) BB+ 0.13% (0.90%) EUR 730,000 Russian Railways via RZD Capital 3.37% 20/05/ BB 0.00% (0.56%) B+ 0.72% (0.95%) EUR 2,010,000 Ardagh Packaging Finance 4.25% 15/01/2022 1, GBP 617,000 *Argon Capital for Royal Bank of Scotland 8.162% 29/10/ EUR 380,000 Bank of Ireland 10% 19/12/ B 0.23% (0.10%) EUR 1,046,000 AG Spring Finance 7.5% 01/06/ B 0.00% (0.11%) CCC+ 0.00% (0.41%) Not Rated 0.23% (0.24%) EUR 210,000 Baggot Securities 10.24% 31/12/ EUR 768,000 Bank of Ireland 10% 30/07/ ROMANIA 0.00% (0.35%) BB+ 0.00% (0.35%) RUSSIA 0.00% (0.16%) BBB 0.00% (0.16%) SERBIA 0.00% (0.50%) BB 0.00% (0.50%) SINGAPORE 0.08% (0.36%) AAA 0.00% (0.27%) Total Republic of Ireland 6, Total Romania Total Russia Total Serbia Not Rated 0.08% (0.09%) USD 550,000 Oro Negro Drilling 7.5% 24/01/ SLOVENIA 0.00% (0.11%) A 0.00% (0.11%) SOUTH AFRICA 0.00% (0.11%) B 0.00% (0.11%) Total Singapore Total Slovenia Total South Africa SPAIN 0.87% (1.20%) BBB 0.34% (0.28%) GBP 950,000 Telefonica Emisiones SAU 5.289% 09/12/2022 1, Ba3 0.00% (0.42%) B1 0.28% (0.00%) EUR 400,000 Obrascon Huarte Lain 7.63% 15/03/ EUR 850,000 Obrascon Huarte Lain 8.75% 15/03/

201 Threadneedle Strategic Bond Fund Portfolio Statement Holding Investment Holding Investment SPAIN 0.87% (1.20%) B 0.18% (0.28%) EUR 717,000 NH Hotel Group 6.875% 15/11/ B 0.00% (0.16%) (P)Ba3 0.07% (0.06%) EUR 330,000 Campofrio Food Group 3.375% 15/03/ SWEDEN 0.57% (0.82%) A 0.00% (0.20%) Total Spain 2, Ba1 0.16% (0.00%) EUR 340,000 *Volvo Treasury 4.2% 10/06/ EUR 340,000 *Volvo Treasury 4.85% 10/03/ BB 0.00% (0.03%) B+ 0.25% (0.19%) EUR 813,000 TVN Finance III 7.375% 15/12/ EUR 225,000 TVN Finance III 7.88% 15/11/ B 0.16% (0.25%) EUR 530,000 Norcell Sweden Holding % 29/09/ EUR 363,000 Unilabs Subholding 8.5% 15/07/ CCC+ 0.00% (0.15%) Total Sweden 1, SWITZERLAND 0.84% (1.13%) BBB 0.60% (0.00%) EUR 555,000 *UBS 4.75% 12/02/ USD 1,258,000 UBS 5.125% 15/05/ USD 905,000 *UBS Jersey 7.25% 22/02/ BBB 0.00% (0.88%) BB+ 0.00% (0.08%) BB 0.24% (0.00%) USD 940,000 *Credit Suisse Group 7.5% 11/12/ USD 200,000 *UBS Group 7% 29/12/ BB 0.00% (0.17%) Total Switzerland 2, UNITED ARAB EMIRATES 0.32% (0.00%) Baa1 0.32% (0.00%) USD 1,600,000 Emirates NBD PJSC 3.25% 19/11/2019 1, Total United Arab Emirates 1, UNITED KINGDOM 34.60% (35.40%) AAA 1.38% (1.07%) GBP 978,000 Barclays Bank 4.25% 12/01/2022 1, GBP 840,000 Broadgate Financing 4.821% 05/07/2033 1, GBP 1,305,000 Lloyds Bank 5.125% 07/03/2025 1, GBP 760,000 Silverstone Master Issuer 5.063% 21/10/ Aaa 0.00% (1.12%) Aa1 0.45% (0.00%) GBP 1,245,000 Clydesdale Bank 4.625% 08/06/2026 1, Aa1u 0.06% (0.00%) GBP 142,000 United Kingdom Gilt 4.75% 07/12/ AA 1.43% (0.66%) GBP 1,420,000 Integrated Accommodation Services 6.48% 31/03/2029 1, GBP 900,000 *Land Securities Capital Markets 5.125% 07/02/2036 1, GBP 685,000 Octagon Healthcare Funding 5.333% 31/12/ GBP 1,261,000 Telereal Securitisation % 10/12/2031 1, AA 0.20% (0.75%) GBP 603,000 Wheatley Group Capital 4.375% 28/11/ A+ 0.56% (0.46%) GBP 845,000 Motability Operations Group 4.375% 08/02/ GBP 725,000 Motability Operations Group 6.625% 10/12/ A 0.79% (0.78%) GBP 950,000 Canary Wharf Finance II 6.455% 22/04/ GBP 731,000 Greene King Finance 5.106% 15/03/ GBP 945,000 Longstone Finance 4.791% 19/04/ GBP 540,000 Longstone Finance 4.896% 19/04/ A2 0.00% (0.13%) A 3.09% (5.19%) GBP 650,000 *Annington Finance No % 10/01/ GBP 703,000 Aspire Defence Finance 4.674% 31/03/ GBP 950,000 BAT International Finance 7.25% 12/03/2024 1, GBP 625,000 BG Energy Capital 5.125% 01/12/ GBP 962,000 Experian Finance 3.5% 15/10/2021 1, GBP 1,025,000 Hutchison Ports UK Finance 6.75% 07/12/2015 1, GBP 1,180,000 Juturna European Loan Conduit No % 10/08/2033 1, GBP 580,000 National Grid Electricity Transmission 4% 08/06/ GBP 1,300,000 National Grid Gas 6% 13/05/2038 1, USD 1,170,000 Prudential 7.75% 29/12/ BBB+ 2.36% (4.05%) GBP 570,000 Eastern Power Networks 6.25% 12/11/ GBP 615,000 ENW Finance 6.125% 21/07/ GBP 1,170,000 *Legal & General Group 10% 23/07/2041 1,

202 Threadneedle Strategic Bond Fund Portfolio Statement Holding Investment Holding Investment UNITED KINGDOM 34.60% (35.40%) GBP 725,000 *Legal & General Group 5.875% 29/03/ GBP 100,000 *Legal & General Group 6.385% 29/05/ GBP 842,000 *RSA Insurance Group 6.701% 29/05/ GBP 720,000 *RSA Insurance Group 9.375% 20/05/ GBP 403,000 Severn Trent Utilities Finance 4.875% 24/01/ GBP 790,000 Severn Trent Utilities Finance 6% 22/01/ GBP 470,000 South Eastern Power Networks 6.375% 12/11/ Baa1 0.00% (0.05%) BBB 5.23% (5.98%) GBP 1,240,000 *Aviva 6.125% 29/09/2049 1, GBP 865,000 *Aviva 6.625% 03/06/ GBP 1,414,000 *BG Energy Capital 6.5% 30/11/2072 1, GBP 1,270,000 ENW Capital Finance 6.75% 20/06/2015 1, GBP 830,000 Eversholt Funding 5.831% 02/12/ GBP 780,000 Eversholt Funding 6.359% 02/12/2025 1, GBP 310,000 Imperial Tobacco Finance 5.5% 28/09/ GBP 715,000 Imperial Tobacco Finance 7.75% 24/06/ GBP 665,000 Imperial Tobacco Finance 8.125% 15/03/ GBP 750,000 Imperial Tobacco Finance 9% 17/02/2022 1, GBP 2,600,000 *NGG Finance 5.625% 18/06/2073 2, GBP 297,000 Southern Gas Networks 2.5% 03/02/ GBP 330,000 SPD Finance UK 5.875% 17/07/ GBP 345,000 *SSE 5.453% 29/09/ GBP 975,000 *Telereal Securitisation % 10/12/2033 1, GBP 505,000 Western Power West Midlands 5.75% 16/04/ GBP 960,000 Western Power West Midlands 6% 09/05/2025 1, Baa2 0.71% (0.13%) GBP 741,000 BUPA Finance 3.375% 17/06/ GBP 425,000 BUPA Finance 7.5% 04/07/ GBP 1,075,000 WM Morrison Supermarkets 4.625% 08/12/2023 1, BBB 2.44% (1.57%) GBP 1,750,000 Barclays Bank 10% 21/05/2021 2, GBP 979,000 G4S 7.75% 13/05/2019 1, GBP 755,000 GKN Holdings 6.75% 28/10/ GBP 185,000 LBG Capital No % 29/09/ GBP 105,000 LBG Capital No.2 15% 22/01/ GBP 595,000 *Lloyds Bank % 29/05/ GBP 330,000 Marks & Spencer 4.75% 12/06/ EUR 1,205,000 Nationwide Building Society 6.75% 22/07/2020 1, GBP 680,000 RMPA Services 5.337% 30/09/ GBP 500,000 Unique Pub Finance 6.542% 30/03/ Baa3 0.61% (0.91%) GBP 1,120,000 BUPA Finance 5% 25/04/2023 1, GBP 770,000 National Express Group 6.25% 13/01/ BB+ 1.96% (1.56%) GBP 490,000 *Barclays Bank 6.875% 29/11/ USD 1,332,000 *Royal Bank of Scotland FRN 16/03/ GBP 1,075,000 Tesco Property Finance % 13/07/2039 1, GBP 890,000 Tesco Property Finance 5.5% 13/10/ GBP 970,000 Tesco Property Finance % 13/07/ GBP 782,000 Travis Perkins 4.375% 15/09/ GBP 1,090,000 William Hill 7.125% 11/11/2016 1, BB 2.20% (1.73%) GBP 434,000 *Barclays Bank 14% 29/11/ GBP 664,000 Jaguar Land Rover Automotive 3.875% 01/03/ GBP 750,000 Jaguar Land Rover Automotive 8.25% 15/03/ GBP 296,000 Lowell Group Financing 10.75% 01/04/ GBP 790,000 *Nationwide Building Society 6.875% 11/03/ GBP 2,010,000 Priory Group No 3 7% 15/02/2018 1, EUR 1,885,000 *Rexam 6.75% 29/06/2067 1, USD 1,809,000 Royal Bank of Scotland Group 6.125% 15/12/2022 1, BB 2.59% (2.29%) GBP 1,250,000 *Co-operative Group 6.88% 08/07/2020 1, GBP 685,000 Debenhams 5.25% 15/07/ GBP 1,732,000 Enterprise Inns 6.5% 06/12/2018 1, GBP 50,000 Enterprise Inns 6.875% 15/02/ GBP 606,000 Jerrold Finco 9.75% 15/09/ EUR 1,050,000 OTE 3.5% 09/07/ EUR 1,080,000 OTE 7.875% 07/02/ GBP 1,020,000 Southern Water Greensands Financing 8.5% 15/04/2019 1, GBP 455,000 Virgin Media Secured Finance 5.5% 15/01/ GBP 688,000 Virgin Media Secured Finance 5.5% 15/01/ Ba3 0.42% (0.19%) GBP 680,000 Anglian Water Osprey Financing 7% 31/01/ GBP 635,000 Virgin Media Secured Finance 5.125% 15/01/ B+ 2.18% (1.74%) EUR 474,000 Boparan Finance 4.375% 15/07/ GBP 550,000 Boparan Finance 5.5% 15/07/ GBP 1,245,000 Elli Finance UK 8.75% 15/06/2019 1, GBP 880,000 Iron Mountain Europe 6.125% 15/09/

203 Threadneedle Strategic Bond Fund Portfolio Statement Holding Investment Holding Investment UNITED KINGDOM 34.60% (35.40%) GBP 1,940,000 *Lloyds Banking Group 7% 29/12/2049 1, GBP 1,100,000 *Lloyds Banking Group 7.875% 29/12/2049 1, GBP 1,005,000 Moy Park Bondco 6.25% 29/05/2021 1, B1 0.27% (0.23%) GBP 810,000 Thames Water Kemble Finance 7.75% 01/04/ B 1.33% (2.13%) EUR 1,040,000 EC Finance 5.125% 15/07/ EUR 982,000 Eco-Bat Finance 7.75% 15/02/ GBP 409,000 Equiniti Newco % 15/12/ GBP 580,000 IDH Finance 6% 01/12/ GBP 650,000 New Look Bondco 8.75% 14/05/ EUR 881,000 Thomas Cook Finance 7.75% 15/06/ GBP 543,000 Twinkle Pizza 6.625% 01/08/ B2 0.60% (0.00%) EUR 1,110,000 Virgin Media Finance 4.5% 15/01/ GBP 1,030,000 Virgin Media Finance 6.375% 15/10/2024 1, B 0.56% (0.62%) GBP 410,000 GHD Bondco 7% 15/04/ EUR 870,000 Kerling % 01/02/ GBP 680,000 Keystone Financing 9.5% 15/10/ EUR 220,000 PPC Finance 5.5% 01/05/ B3 0.00% (0.13%) CCC+ 0.63% (0.33%) GBP 768,946 Annington Finance No 5 13% 15/01/ GBP 323,000 IDH Finance 8.5% 01/06/ GBP 790,000 Odeon & UCI Finco 9% 01/08/ Caa1 0.00% (0.23%) Caa2 0.25% (0.00%) GBP 854,000 Co-Operative Bank United Kingdom 5.125% 20/09/ Not Rated 2.30% (1.37%) GBP 460,000 Admiral Group 5.5% 25/07/ GBP 2,293,000 *Cattles 7.875% 17/01/ GBP 1,360,000 First Hydro Finance 9% 31/07/2021 1, USD 1,200,000 Genel Energy Finance 7.5% 14/05/ EUR 973,000 International Personal Finance 5.75% 07/04/ EUR 500,000 Motor Oil Finance 5.125% 15/05/ GBP 2,975,000 *Pennon Group 6.75% 08/03/2018 3, GBP 270,000 *Virgin Money Holdings UK 7.875% 31/12/ Total United Kingdom 114, UNITED STATES OF AMERICA 8.18% (6.97%) AA 0.57% (0.60%) GBP 1,390,000 Metropolitan Life Global Funding I 2.875% 11/01/2023 1, GBP 425,000 Metropolitan Life Global Funding I 3.5% 30/09/ A+ 0.43% (0.00%) GBP 1,370,000 *General Electric Capital 5.5% 15/09/2066 1, A 0.44% (0.00%) GBP 735,000 Amgen 5.5% 07/12/ GBP 581,000 JPMorgan Chase 1.875% 10/02/ A 1.96% (3.31%) GBP 600,000 American International Group 5% 26/04/ GBP 1,850,000 Bank of America 6.125% 15/09/2021 2, GBP 1,350,000 Bank of America 7% 31/07/2028 1, GBP 1,020,000 Citigroup 7.375% 01/09/2039 1, BBB+ 2.11% (1.33%) GBP 1,962,000 AT&T 4.25% 01/06/2043 1, GBP 750,000 AT&T 5.5% 15/03/ EUR 700,000 *Bank of America FRN 28/03/ GBP 1,212,000 Citigroup 5.125% 12/12/2018 1, USD 1,710,000 Verizon Communications 2.45% 01/11/2022 1, USD 1,630,000 Verizon Communications 5.012% 21/08/2054 1, BBB 0.97% (0.63%) GBP 899,000 Digital Stout Holding LLC 4.75% 13/10/ USD 760,000 Directv Holdings 5.15% 15/03/ GBP 650,000 Mondelez International 3.875% 06/03/ GBP 441,000 Time Warner Cable 5.25% 15/07/ GBP 475,000 Time Warner Cable 5.75% 02/06/ BBB 0.09% (0.00%) EUR 368,000 MPT Operating Partnership 5.75% 01/10/ BB+ 0.79% (0.00%) EUR 840,000 Chesapeake Energy 6.25% 15/01/ USD 3,000,000 Cimarex Energy 4.375% 01/06/2024 1, BB 0.00% (0.09%) BB 0.00% (0.39%) B+ 0.03% (0.00%) EUR 140,000 Rain CII Carbon LLC 8.5% 15/01/ B 0.19% (0.23%) USD 865,000 Chrysler Group 8.25% 15/06/ B2 0.26% (0.00%) EUR 1,130,000 PSPC Escrow 6% 01/02/ B 0.34% (0.19%) USD 970,000 DFC Finance 10.5% 15/06/ EUR 754,000 Infor US 10% 01/04/ CCC+ 0.00% (0.20%) Total United States of America 26,

204 Threadneedle Strategic Bond Fund Portfolio Statement Holding Investment Holding Investment DERIVATIVES 0.20% ( 0.60%) Credit Default Swaps 0.30% ( 0.47%) EUR (2,100,000) Barclays BCA Antonveneta Credit Default Swap Buy Protection 20/12/2019 Spread 500 (72) (0.02) EUR (10,000,000) Barclays Itraxx-European Credit Default Swap Index Buy Protection 20/06/2017 Spread 500 (670) (0.20) EUR (4,360,000) Barclays RWE Credit Default Swap Buy Protection 20/03/2020 Spread 100 (56) (0.02) EUR (2,200,000) Citigroup Enel Credit Default Swap Buy Protection 20/12/2018 Spread 100 (34) (0.01) EUR 1,400,000 Credit Suisse Finmeccanica Credit Default Swap Sell Protection 20/06/2018 Spread EUR (4,000,000) Credit Suisse Kelda Group Credit Default Swap Buy Protection 20/03/2018 Spread 100 (47) (0.01) EUR (250,000) Credit Suisse Veolia Environment Credit Default Swap Buy Protection 20/12/2018 Spread 100 (5) EUR (2,200,000) Goldman Sachs Centrica Credit Default Swap Buy Protection 20/03/2020 Spread 100 (31) (0.01) EUR (4,000,000) Goldman Sachs Pernod Ricard Credit Default Swap Buy Protection 20/12/2019 Spread 100 (80) (0.02) EUR (4,000,000) Goldman Sachs Veolia Environment Credit Default Swap Buy Protection 20/12/2018 Spread 100 (73) (0.02) EUR 500,000 Goldman Sachs Virgin Media Finance Credit Default Swap Sell Protection 20/09/2018 Spread USD (4,900,000) Goldman Sachs Westpac Banking Credit Default Swap Buy Protection 20/03/2020 Spread 100 (66) (0.02) EUR (8,500,000) HSBC Unilever Credit Default Swap Buy Protection 20/03/2018 Spread 100 (169) (0.05) EUR (625,000) J.P. Morgan BCA Antonveneta Credit Default Swap Buy Protection 20/12/2019 Spread 500 (21) (0.01) EUR (950,000) J.P. Morgan BCO Comercial Portugues Credit Default Swap Buy Protection 20/12/2019 Spread EUR 4,000,000 J.P. Morgan Itraxx-European Credit Default Swap Index Sell Protection 20/12/2019 Spread EUR (3,100,000) J.P. Morgan United Utilities Credit Default Swap Buy Protection 20/03/2020 Spread 100 (18) USD (221) UBS US 2 Year Note Future Expiring June USD (786) UBS US 5 Year Note Future Expiring June USD (138) UBS US 10 Year Note Future Expiring June USD 71 UBS US Long Bond Future Expiring June 2015 (197) (0.06) Forward Foreign Exchange Contracts 0.76% ( 0.18%) Sell GBP 1,938,404 Buy EUR 2,650,000 Citigroup (28) (0.01) Sell EUR 2,350,000 Buy GBP 1,735,881 Citigroup Sell CHF 20,000 Buy GBP 13,618 Citigroup Sell USD 220,000 Buy GBP 142,077 Bank of Scotland (3) Sell USD 260,000 Buy GBP 168,701 HSBC (3) Sell USD 270,000 Buy GBP 177,749 J.P. Morgan Sell USD 37,010,000 Buy GBP 23,999,398 Lloyds (393) (0.12) Sell EUR 86,000,000 Buy GBP 63,427,924 Lloyds 1, Sell EUR 87,500,000 Buy GBP 64,541,243 J.P. Morgan 1, Sell EUR 940,000 Buy GBP 688,799 Citigroup 11 Sell CHF 1,087,000 Buy GBP 749,126 UBS Total Derivatives Total value of investments 309, Net other assets (3.79%) 19, Net assets 329, ANALYSIS OF INVESTMENTS BY ASSET CLASS Investment Fixed interest 250, Floating rate notes 58, Derivatives Total value of investments 309, Interest Rate Swaps 0.15% (0.02%) GBP 8,400,000 Barclays Interest Rate Swap Receive GBP Libor Pay 2.705% 26/11/2023 (482) (0.15) Futures And Options 0.11% (0.03%) EUR (51) UBS EURO Buxl 30 Year Future Expiring June 2015 (73) (0.02) JPY (57) UBS Japan 10 Year Bond Future Expiring March 2015 (210) (0.06) GBP 27 UBS Long Gilt Future Expiring June 2015 (21) (0.01) 203

205 Threadneedle Strategic Bond Fund Portfolio Statement ANALYSIS OF INVESTMENTS BY CREDIT RATINGS AAA 4,544 AA+ 2,739 Aa1 1,479 Aa1u 198 AA 4,711 AA 2,548 A+ 7,551 A 6,735 A 20,722 BBB+ 20,115 Baa1 1,069 BBB 32,373 Baa2 2,357 BBB 15,438 Baa3 3,038 BB+ 34,847 Ba1 7,349 BB 18,673 Ba2 2,243 BB 21,931 Ba3 3,129 (P)Ba3 772 B+ 24,607 B1 4,950 B 25,017 B2 4,486 B 7,002 (P)B 954 B3 812 CCC+ 10,182 CCC 192 Caa2 819 Ca 1,537 Not rated 14,000 Total Bonds 309,119 Derivatives 650 Total value of investments 309,769 ANALYSIS OF UNDERLYING EXPOSURE FUTURES AND OPTIONS UBS EURO Buxl 30 Year Future Expiring June 2015 (6,130) UBS Japan 10 Year Bond Future Expiring March 2015 (46,179) UBS Long Gilt Future Expiring June ,182 UBS US 2 Year Note Future Expiring June 2015 (31,820) UBS US 5 Year Note Future Expiring June 2015 (61,639) UBS US 10 Year Note Future Expiring June 2015 (11,554) UBS US Long Bond Future Expiring June ,429 Total net exposure (146,711) ANALYSIS OF COLLATERAL RECEIVED Counterparty Type Barclays Bank Cash 1,520 Citigroup Cash 30 Goldman Sachs Cash 220 HSBC Bank Cash 240 J.P. Morgan Cash 760 Total collateral 2,770 March 2014 comparatives in brackets. *Variable rate Bonds 204

206 Threadneedle American Fund Portfolio Statement as at 7 March 2015 Holding Investment Holding Investment OIL & GAS 6.81% (7.53%) Oil & Gas Producers 5.72% (6.16%) 509,025 Anadarko Petroleum 27, ,059,425 Cabot Oil & Gas 19, ,348 Exxon Mobil 26, ,527 Occidental Petroleum 40, Oil Equipment, Services & 1.09% (1.37%) 770,166 Halliburton 21, Total Oil & Gas 135, BASIC MATERIALS 3.13% (1.98%) Chemicals 3.13% (1.98%) 657,649 EI du Pont de Nemours & Co 34, ,471 PPG Industries 28, Total Basic Materials 62, INDUSTRIALS 11.33% (19.41%) Construction & Materials 0.94% (1.20%) 1,091,301 Masco 18, Aerospace & Defence 6.29% (3.83%) 400,923 Boeing 40, ,171 Huntington Ingalls Industries 21, ,839 Northrop Grumman 29, ,944 United Technologies 34, General Industrials 0.00% (1.51%) Electronic & Electrical Equipment 1.12% (2.36%) 580,492 Amphenol 22, Industrial Engineering 1.42% (2.38%) 639,093 Ingersoll-Rand 28, Industrial Transportation 1.56% (1.57%) 400,953 Union Pacific 30, Support Services 0.00% (6.56%) Total Industrials 226, CONSUMER GOODS 9.18% (6.41%) Automobiles & Parts 1.60% (0.90%) 607,179 Delphi Automotive 31, Beverages 2.78% (1.10%) 320,568 Dr Pepper Snapple Group 16, ,464 PepsiCo 38, Food Producers 1.35% (1.41%) 401,366 Mead Johnson Nutrition 26, Household Goods & Home Construction 0.69% (0.00%) 428,078 Lennar 13, Leisure Goods 1.14% (0.00%) 608,924 Electronic Arts 22, Personal Goods 1.62% (3.00%) 502,283 Nike 32, Total Consumer Goods 183, HEALTH CARE 16.40% (14.64%) Health Care Equipment & Services 7.31% (5.85%) 2,072,450 Boston Scientific 22, ,827 Express Scripts 27, ,365 Medtronic 39, ,325 UnitedHealth Group 31, ,500 Zimmer Holdings 24, Pharmaceuticals & Biotechnology 9.09% (8.79%) 92,717 Biogen Idec 25, ,405 Bristol-Myers Squibb 22, ,212 Celgene 29, ,282 Gilead Sciences 34, ,302,274 Pfizer 51, ,326 Vertex Pharmaceuticals 18, Total Health Care 327, CONSUMER SERVICES 12.69% (15.30%) Food & Drug Retailers 2.08% (1.26%) 614,983 CVS Health 41, General Retailers 5.69% (1.23%) 634,347 Best Buy 16, ,697 Home Depot 43, ,960 L Brands 14, ,313 Wal-Mart Stores 38, Media 3.93% (7.47%) 991,920 Comcast 39, ,345 Walt Disney 38, Travel & Leisure 0.99% (5.34%) 685,640 Southwest Airlines 19, Total Consumer Services 253, TELECOMMUNICATIONS 1.87% (0.00%) Fixed Line Telecommunications 1.87% (0.00%) 1,681,945 AT&T 37, Total Telecommunications 37, UTILITIES 1.28% (0.00%) Electricity 1.28% (0.00%) 700,917 American Electric Power 25, Total Utilities 25, FINANCIALS 18.33% (21.91%) Banks 6.60% (7.64%) 3,609,538 Bank of America 38, ,143,232 Huntington Bancshares 22, ,774 JPMorgan Chase 20, ,356,525 Wells Fargo & Co 49, Nonlife Insurance 4.16% (1.26%) 442,544 ACE 32, ,830 Berkshire Hathaway 50, Life Insurance 0.84% (1.54%) 305,410 Prudential Financial 16, Real Estate Investment Trusts 1.04% (1.64%) 369,500 Crown Castle International 20,

207 Threadneedle American Fund Portfolio Statement Holding Investment FINANCIALS 18.33% (21.91%) Financial Services 5.69% (9.83%) 437,718 Capital One Financial 22, ,332 CME Group 20, ,137 MasterCard Class A 33, ,713 Radian Group 10, ,932 Synchrony Financial 9, ,000 TD Ameritrade Holding 18, Total Financials 365, TECHNOLOGY 18.86% (11.90%) Software & Computer Services 6.31% (5.12%) 58,540 Google 22, ,390 Google Class A 48, ,581 Intuit 24, ,108,766 Oracle 31, Technology Hardware & Equipment 12.55% (6.78%) 1,285,309 Apple 108, ,313 Broadcom 19, ,915,219 Cisco Systems 36, ,378,854 EMC 25, ,222 Intel 20, ,257 Lam Research 17, ,307 Skyworks Solutions 23, Total Technology 376, DERIVATIVES 0.02% (0.01%) Forward Foreign Exchange Contracts 0.02% (0.01%) Sell USD 118,413 Buy EUR 104,557 J.P. Morgan (3) Sell USD 13,249,253 Buy EUR 11,679,484 J.P. Morgan (310) (0.02) Sell USD 133 Buy EUR 119 J.P. Morgan Sell USD 171,472 Buy EUR 151,156 J.P. Morgan (4) Sell USD 18,751 Buy EUR 16,701 J.P. Morgan Sell USD 21,204 Buy EUR 18,675 J.P. Morgan (1) Sell USD 53,292 Buy EUR 47,096 J.P. Morgan (1) Sell USD 59 Buy EUR 52 J.P. Morgan Sell USD 6,666,000 Buy GBP 4,375,167 Citigroup (18) Sell EUR 9,019 Buy USD 10,065 J.P. Morgan Sell EUR 32,317 Buy USD 35,974 J.P. Morgan 1 Sell EUR 37,871 Buy USD 41,855 J.P. Morgan Total Derivatives (336) (0.02) Total value of investments 1,993, Net other assets (0.91%) 2, Net assets 1,996, March 2014 comparatives in brackets. 206

208 Threadneedle American Select Fund Portfolio Statement as at 7 March 2015 Holding Investment Holding Investment OIL & GAS 6.26% (6.84%) Oil & Gas Producers 3.56% (4.83%) 511,740 Anadarko Petroleum 27, ,600 Cabot Oil & Gas 17, Oil Equipment, Services & 2.70% (2.01%) 514,735 Cameron International 15, ,427 Halliburton 18, Total Oil & Gas 80, BASIC MATERIALS 2.47% (3.66%) Chemicals 2.47% (3.66%) 206,105 PPG Industries 31, Total Basic Materials 31, INDUSTRIALS 10.12% (18.44%) Construction & Materials 2.91% (2.09%) 268,910 Eagle Materials 14, ,311,366 Masco 22, Aerospace & Defence 4.84% (1.54%) 314,931 Boeing 32, ,472 Huntington Ingalls Industries 13, ,379 United Technologies 16, General Industrials 2.37% (1.76%) 674,100 Eaton 30, Electronic & Electrical Equipment 0.00% (2.06%) Industrial Engineering 0.00% (1.50%) Support Services 0.00% (9.49%) Total Industrials 130, CONSUMER GOODS 12.77% (9.83%) Automobiles & Parts 2.66% (1.86%) 650,595 Delphi Automotive 34, Food Producers 2.16% (2.14%) 412,125 Mead Johnson Nutrition 27, Household Goods & Home Construction 3.54% (1.32%) 503,000 Lennar 16, ,800 Procter & Gamble 29, Personal Goods 4.41% (4.51%) 553,665 Estee Lauder Companies Class C 30, ,260 VF 26, Total Consumer Goods 164, HEALTH CARE 16.30% (11.89%) Health Care Equipment & Services 5.71% (4.85%) 365,849 Align Technology 13, ,900 Express Scripts 29, ,724 Thermo Fisher Scientific 30, Pharmaceuticals & Biotechnology 10.59% (7.04%) 673,200 Bristol-Myers Squibb 29, ,426 Celgene 12, ,717 Gilead Sciences 41, ,085 Incyte 7, ,339,412 Pfizer 30, ,942 Vertex Pharmaceuticals 15, Total Health Care 209, CONSUMER SERVICES 8.59% (14.40%) Food & Drug Retailers 1.07% (0.00%) 203,624 CVS Health 13, General Retailers 1.96% (0.00%) 459,993 Wal-Mart Stores 25, Media 3.54% (6.59%) 682,200 Comcast 27, ,346 Walt Disney 18, Travel & Leisure 2.02% (7.81%) 84,603 Panera Bread 8, ,595 Southwest Airlines 17, Total Consumer Services 110, UTILITIES 1.90% (0.00%) Electricity 1.90% (0.00%) 791,776 NRG Energy 12, ,919 PG&E 11, Total Utilities 24, FINANCIALS 18.33% (19.33%) Banks 6.41% (4.04%) 1,907,490 Bank of America 20, ,092,830 BB&T 27, ,144 JPMorgan Chase 16, ,547 SVB Financial Group 17, Nonlife Insurance 2.04% (1.14%) 353,448 ACE 26, Life Insurance 0.00% (2.78%) Real Estate Investment Trusts 0.00% (1.00%) Financial Services 9.88% (10.37%) 1,241,085 Blackstone Group 31, ,200 CME Group 30, ,208 MasterCard Class A 24, ,069,989 Synchrony Financial 22, ,971 TD Ameritrade Holding 17, Total Financials 235, TECHNOLOGY 22.50% (14.34%) Software & Computer Services 10.87% (8.05%) 73,797 Google 27, ,293 Google Class A 41, ,105 Informatica 13, ,701 Intuit 20, ,047 Microsoft 23, ,715 Oracle 12,

209 Threadneedle American Select Fund Portfolio Statement Holding Investment TECHNOLOGY 22.50% (14.34%) Technology Hardware & Equipment 11.63% (6.29%) 898,587 Apple 75, ,391 Cisco Systems 17, ,432 Hewlett-Packard 16, ,531 Lam Research 26, ,869 Skyworks Solutions 13, Total Technology 289, DERIVATIVES 0.01% (0.03%) Forward Foreign Exchange Contracts 0.01% (0.03%) Sell USD 16,274 Buy CHF 15,454 J.P. Morgan Sell USD 374,252 Buy EUR 329,911 J.P. Morgan (9) Sell USD 4,703,105 Buy EUR 4,145,882 J.P. Morgan (110) (0.01) Sell USD 7,984 Buy EUR 7,038 J.P. Morgan Sell USD 16,414 Buy GBP 10,614 J.P. Morgan Sell USD 6,292,000 Buy GBP 4,129,696 Citigroup (17) Total Derivatives (136) (0.01) Total value of investments 1,275, Net other assets (1.24%) 9, Net assets 1,285, March 2014 comparatives in brackets. 208

210 Threadneedle American Smaller Companies Fund (US) Portfolio Statement as at 7 March 2015 Holding Investment Holding Investment OIL & GAS 4.44% (7.03%) Oil & Gas Producers 2.94% (2.74%) 59,303 Cimarex Energy 4, ,178 Memorial Resource Development 5, ,175 Western Refining 8, Oil Equipment, Services & 1.50% (4.29%) 625,134 Superior Energy Services 9, Total Oil & Gas 26, BASIC MATERIALS 2.43% (0.62%) Chemicals 1.69% (0.62%) 71,787 Ashland 6, ,803 Methlanex 4, Mining 0.74% (0.00%) 73,538 Compass Minerals International 4, Total Basic Materials 14, INDUSTRIALS 27.74% (26.00%) Construction & Materials 6.74% (9.90%) 230,614 Boise Cascade 5, ,442 Eagle Materials 7, ,879 Louisiana-Pacific 6, ,335 Masco 8, ,822 Owens Corning 7, ,429 Trex Company 5, Aerospace & Defence 4.20% (1.24%) 283,905 Avolon Holdings 4, ,800 FLIR Systems 10, ,567 Huntington Ingalls Industries 6, ,072 Spirit AeroSystems Holdings 4, General Industrials 1.92% (0.00%) 188,975 Bemis 5, ,169 Sealed Air 5, Electronic & Electrical Equipment 3.21% (4.77%) 291,744 PerkinElmer 9, ,862 WESCO International 10, Industrial Engineering 2.12% (1.58%) 131,126 Crane 5, ,927 Proto Labs 4, ,300 SPX 3, Industrial Transportation 1.32% (1.83%) 132,535 Ryder System 8, Support Services 8.23% (6.68%) 384,935 CoreLogic 8, ,669 Covanta 7, ,704 MAXIMUS 5, ,296 Robert Half International 10, ,811 Towers Watson & Co 11, ,351 United Rentals 5, Total Industrials 168, CONSUMER GOODS 10.08% (10.75%) Automobiles & Parts 2.92% (2.57%) 167,707 Gentherm 5, ,760 Tenneco 7, ,520 Visteon 5, Beverages 0.93% (1.07%) 76,824 Constellation Brands 5, Food Producers 5.29% (3.19%) 325,499 B&G Foods 6, ,246 Pinnacle Foods 10, ,873 TreeHouse Foods 6, ,795 Tyson Foods 8, Household Goods & Home Construction 0.94% (2.90%) 585,119 TRI Pointe Homes 5, Personal Goods 0.00% (1.02%) Total Consumer Goods 61, HEALTH CARE 7.22% (7.49%) Health Care Equipment & Services 4.26% (5.14%) 210,267 Align Technology 7, ,692 Centene 3, ,629 Community Health Systems 6, ,294 IDEXX Laboratories 8, Pharmaceuticals & Biotechnology 2.96% (2.35%) 59,266 Alkermes 2, ,847 Catalent 8, ,817 Charles River Laboratories International 4, ,900 Receptos 1, Total Health Care 43, CONSUMER SERVICES 11.25% (13.26%) Food & Drug Retailers 1.53% (0.96%) 187,531 Omnicare 9, General Retailers 4.95% (6.24%) 186,093 Cabela s 6, ,524 Children s Place 4, ,319 Monro Muffler Brake 4, ,868 Signet Jewelers 7, ,080 Williams-Sonoma 6, Media 0.00% (0.97%) Travel & Leisure 4.77% (5.09%) 43,100 Avis Budget Group 1, ,462 Buffalo Wild Wings 3, ,522 Cinemark Holdings 8, ,329 JetBlue Airways 7, ,898 Panera Bread 7, Total Consumer Services 68, TELECOMMUNICATIONS 1.69% (1.35%) Mobile Telecommunications 1.69% (1.35%) 127,175 SBA Communications 10, Total Telecommunications 10,

211 Threadneedle American Smaller Companies Fund (US) Portfolio Statement Holding Investment UTILITIES 1.73% (1.56%) Electricity 1.73% (1.56%) 428,868 Westar Energy 10, Total Utilities 10, FINANCIALS 18.83% (17.29%) Banks 4.58% (2.93%) 349,883 BankUnited 7, ,486 First Horizon National 6, ,696 First Republic Bank 5, ,851 SVB Financial Group 8, Nonlife Insurance 1.23% (1.06%) 352,775 Brown & Brown 7, Life Insurance 1.03% (1.42%) 557,221 CNO Financial Group 6, Real Estate Investment Trusts 5.06% (6.41%) 118,231 Alexandria Real Estate Equities 7, ,434 American Homes 4 Rent 5, ,189 CyrusOne 6, ,942 Starwood Property Trust 6, ,165 Weingarten Realty Investors 2, ,677 Whitestone REIT 2, Financial Services 6.93% (5.47%) 34,824 Affiliated Managers Group 4, ,716 Essent Group 5, ,092 FNF Group 7, ,523 Markit 5, ,272,401 MGIC Investment 7, ,190 OM Asset Management 2, ,520 Springleaf Holdings 7, Total Financials 114, TECHNOLOGY 11.28% (11.57%) Software & Computer Services 5.90% (5.35%) 88,735 Amdocs 3, ,683 ANSYS 7, ,893 Cadence Design Systems 6, ,614 Catamaran 4, ,274 Criteo ADR 5, ,594 Informatica 5, ,963 Ultimate Software Group 3, Technology Hardware & Equipment 5.38% (6.22%) 658,480 Cypress Semiconductor 6, ,333 Lam Research 5, ,281 Ruckus Wireless 5, ,051 Spansion 9, ,747 SunEdison 4, Total Technology 68, Total value of investments 588, Net other assets (3.08%) 20, Net assets 608, March 2014 comparatives in brackets. 210

212 Threadneedle Dollar Bond Fund Portfolio Statement as at 7 March 2015 Holding Investment Holding Investment FIXED INTEREST 89.35% (96.38%) AAA 1.20% (0.00%) USD 1,200,000 Microsoft 2.375% 12/02/ AA+ 1.05% (30.13%) USD 1,040,000 General Electric 2.7% 09/10/ AA 1.54% (1.37%) USD 534,000 Merck & Co 2.35% 10/02/ USD 975,000 Roche Holdings 3.35% 30/09/ AA 4.97% (4.03%) USD 600,000 Emirates Telecommunications 3.5% 18/06/ USD 1,440,000 Metropolitan Life Global Funding I 2.3% 10/04/ USD 985,000 Novartis Capital 3.4% 06/05/ USD 1,050,000 Port Authority of New York & New Jersey 4.458% 01/10/ USD 633,000 Teachers Insurance & Annuity Association of America 4.9% 15/09/ Aa3 0.00% (1.07%) A+ 1.94% (3.10%) USD 972,000 BHP Billiton Finance USA 3.85% 30/09/ USD 889,000 Korea National Oil 2.75% 23/01/ A 5.82% (6.25%) USD 745,000 Abbey National Treasury Services London 4% 13/03/ USD 495,000 Amgen 5.375% 15/05/ USD 941,000 Anheuser-Busch InBev Worldwide 5.375% 15/01/ USD 965,000 BP Capital Markets 3.814% 10/02/ USD 1,025,000 Five Corners Funding Trust 4.419% 15/11/ USD 762,000 Medtronic 3.5% 15/03/ USD 740,000 Ras Laffan Liquefied Natural Gas II 5.3% 30/09/ A 6.49% (8.68%) USD 949,000 American International Group 4.125% 15/02/ USD 1,055,000 Citigroup 3.875% 25/10/ USD 1,100,000 Experian Finance 2.38% 15/06/ USD 290,000 Lockheed Martin 3.6% 01/03/ USD 1,090,000 Miller Holdings 2.2% 01/08/ USD 500,000 Miller Holdings 3.75% 15/01/ USD 955,000 Prudential 7.75% 29/12/ USD 310,000 Slovenia Government International Bond 4.125% 18/02/ BBB % (16.85%) USD 580,000 AT&T 4.3% 15/12/ USD 1,080,000 Bank of America 4% 22/01/ USD 1,001,000 Burlington Northern Santa Fe 3.4% 01/09/ USD 970,000 Deutsche Annington Finance 5% 02/10/ USD 550,000 ERAC USA Finance 4.5% 15/02/ USD 550,000 Financiera de Desarrollo 3.25% 15/07/ USD 1,013,000 McKesson 2.284% 15/03/ USD 1,070,000 Petroleos Mexicanos 3.5% 18/07/ USD 970,000 Sempra Energy 3.55% 15/06/ USD 950,000 SGSP Australia Assets 3.3% 09/04/ USD 890,000 Thomson Reuters 4.3% 23/11/ USD 1,035,000 Vale Overseas 4.375% 11/01/ USD 800,000 Verizon Communications 2.45% 01/11/ USD 725,000 Verizon Communications 5.012% 21/08/ USD 910,000 Woodside Finance 3.65% 05/03/ Baa1 1.02% (0.00%) USD 1,000,000 Emirates NBD PJSC 3.25% 19/11/ BBB 9.96% (11.63%) USD 960,000 Directv Holdings 4.45% 01/04/ USD 1,100,000 Discover Bank 3.2% 09/08/ USD 605,000 DTE Energy 2.4% 01/12/ USD 230,000 DTE Energy 3.5% 01/06/ USD 470,000 FedEx 3.9% 01/02/ USD 1,030,000 Glencore Finance Canada 4.95% 15/11/ USD 1,140,000 Imperial Tobacco Finance 3.5% 11/02/ USD 945,000 Liberty Mutual Group 4.25% 15/06/ USD 410,000 Noble Holding International 3.95% 15/03/ USD 349,000 Noble Holding International 5.25% 15/03/ USD 780,000 Pacific Gas & Electric Co 4.3% 15/03/ USD 645,000 Time Warner Cable 5.5% 01/09/ USD 1,050,000 Yum! Brands 3.88% 01/11/ Baa2 0.00% (0.78%) BBB 4.86% (4.60%) USD 230,000 Actavis Funding SCS 4.75% 15/03/ USD 290,000 Bharti Airtel International Netherlands 5.35% 20/05/ USD 750,000 Kinder Morgan Energy Partners 5% 01/03/ USD 991,000 L-3 Communications 3.95% 28/05/ USD 555,000 Mexichem 5.875% 17/09/ USD 465,000 NiSource Finance 4.8% 15/02/ USD 340,000 Petrobras Global Finance 3.25% 17/03/ USD 375,000 PPL Capital Funding 3.95% 15/03/ USD 370,000 PPL Capital Funding 4.2% 15/06/ USD 370,000 TransAlta 1.9% 03/06/ Baa3 2.16% (1.68%) USD 1,045,000 BPCE 4.5% 15/03/ USD 1,072,000 Kansas City Southern Railway 3.85% 15/11/

213 Threadneedle Dollar Bond Fund Portfolio Statement Holding Investment Holding Investment FIXED INTEREST 89.35% (96.38%) BB+ 4.97% (2.39%) USD 1,094,000 Barclays 4.375% 11/09/ USD 550,000 Cimarex Energy 4.375% 01/06/ USD 487,000 EDP Finance 4.125% 15/01/ USD 500,000 EDP Finance 6% 02/02/ USD 485,000 Tesco 5.5% 15/11/ USD 650,000 Tesco 6.15% 15/11/ USD 1,000,000 UniCredit Bank Austria 7.25% 15/02/ Ba1 0.51% (0.49%) USD 475,000 Hanson 6.125% 15/08/ BB 1.07% (0.00%) USD 960,000 Royal Bank of Scotland Group 6.125% 15/12/ BB 0.00% (1.55%) B+ 0.55% (0.00%) USD 540,000 Numericable-SFR 6% 15/05/ Baa3e 0.00% (0.36%) Not Rated 28.01% (1.42%) USD 2,276,000 United States Treasury Inflation Indexed Bonds 0.625% 15/01/2024 1, USD 6,185,000 United States Treasury Note/Bond 1.13% 31/05/2019 4, USD 3,325,000 United States Treasury Note/Bond 1.625% 30/04/2019 2, USD 1,174,500 United States Treasury Note/Bond 1.625% 15/11/ USD 25,600 United States Treasury Note/Bond 2% 15/11/ USD 5,500,000 United States Treasury Note/Bond 2.5% 15/08/2023 3, USD 3,295,000 United States Treasury Note/Bond 2.5% 15/05/2024 2, USD 1,816,800 United States Treasury Note/Bond 2.875% 15/05/2043 1, USD 3,100,000 United States Treasury Note/Bond 4.25% 15/05/2039 2, Total Fixed Interest 58, Baa2 0.00% (0.44%) BBB 2.37% (0.00%) USD 830,000 *ABN AMRO Bank 6.25% 13/09/ USD 500,000 *Credit Agricole 8.125% 19/09/ USD 400,000 *KBC Bank 8% 25/01/ USD 400,000 *QBE Insurance Group 6.75% 02/12/ BB 0.21% (0.00%) USD 200,000 *UBS Group 7% 29/12/ B+ 0.56% (0.00%) USD 530,000 *Lloyds Banking Group 7.5% 30/04/ Not Rated 0.93% (0.00%) USD 875,000 *Credit Suisse Group Guernsey I 7.875% FRN 24/08/ Total Floating Rate Notes 6, DERIVATIVES 0.43% (0.00%) Futures and Options 0.43% (0.00%) USD (5) UBS US 5 Year Note Future Expiring June USD (319) UBS US 10 Year Note Future Expiring June USD (6) UBS US Long Bond Future Expiring June USD (4) UBS US Ultra Bond Future Expiring June Total Derivatives Total value of investments 65, Net other assets (2.64%) Net assets 65, FLOATING RATE NOTES 9.31% (0.98%) A 0.00% (0.54%) BBB+ 1.02% (0.00%) USD 962,000 *Electricite de France FRN 29/01/ BBB 4.22% (0.00%) USD 548,000 *BG Energy Capital 6.5% 30/11/ USD 1,030,000 *Hutchison Whampoa International 10 FRN 29/04/ USD 988,000 *ING Bank 4.125% 21/11/ USD 1,150,000 *Svensk Exportkredit 2.88% 14/11/ USD 370,000 *UBS Jersey 7.25% 22/02/

214 Threadneedle Dollar Bond Fund Portfolio Statement ANALYSIS OF INVESTMENTS BY CREDIT RATINGS AAA 790 AA+ 691 AA 1,015 AA 3,271 A+ 1,279 A 3,832 A 4,266 BBB+ 9,385 Baa1 668 BBB 9,315 BBB 4,760 Baa3 1,419 BB+ 3,271 Ba1 332 BB 844 B+ 728 Not rated 19,030 Total Bonds 64,896 Derivatives 287 Total value of investments 65,183 ANALYSIS OF UNDERLYING EXPOSURE FUTURES UBS US 5 Year Note Future Expiring June 2015 (392) UBS US 10 Year Note Future Expiring June 2015 (26,707) UBS US Long Bond Future Expiring June 2015 (628) UBS US Ultra Bond Future Expiring June 2015 (434) Total net exposure (28,161) March 2014 comparatives in brackets. *Variable rate bonds 213

215 Threadneedle Japan Fund Portfolio Statement as at 7 March 2015 Holding Investment Holding Investment BASIC MATERIALS 3.83% (3.13%) Chemicals 2.99% (1.03%) 1,323,000 Kureha 3, ,500 Nitto Denko 6, Industrial Metals & Mining 0.84% (2.10%) 1,609,000 Nippon Steel & Sumitomo Metal 2, Total Basic Materials 13, INDUSTRIALS 27.78% (31.23%) Construction & Materials 3.99% (2.74%) 1,059,000 Maeda 5, ,600 Sho-Bond Holdings 3, ,200,000 Taiheiyo Cement 4, General Industrials 1.51% (1.48%) 2,233,000 Mitsubishi Materials 5, Electronic & Electrical Equipment 7.40% (10.02%) 655,200 Alps Electric 10, ,000 Hitachi 4, ,500 Hoya 6, ,000 Keyence 1, ,200 Nidec 2, Industrial Engineering 10.92% (12.90%) 64,400 Daikin Industries 2, ,156,000 Ebara 5, ,200 OSG 7, ,000 Shimadzu 7, ,000 Tadano 7, ,000 Yaskawa Electric 6, Support Services 3.96% (4.09%) 1,708,000 Hanwa 4, ,100 Mitsui 4, ,709 Recruit Holdings 4, Total Industrials 95, CONSUMER GOODS 17.48% (20.22%) Automobiles & Parts 7.75% (9.51%) 558,700 Mazda Motor 7, ,900 Nissan Motor 3, ,200 Suzuki Motor 5, ,600 Toyota Motor 10, Beverages 2.49% (3.36%) 315,600 Suntory Beverage & Food 8, Household Goods & Home Construction 1.32% (3.77%) 518,000 Sekisui Chemical 4, Leisure Goods 3.77% (3.58%) 21,700 Nintendo 1, ,900 Shimano 4, ,800 Sony 6, Personal Goods 2.15% (0.00%) 208,800 Kose 7, Total Consumer Goods 60, HEALTH CARE 4.75% (4.43%) Pharmaceuticals & Biotechnology 4.75% (4.43%) 165,700 Chugai Pharmaceutical 3, ,900 Ono Pharmaceutical 3, ,800 Santen Pharmaceutical 9, Total Health Care 16, CONSUMER SERVICES 16.55% (9.42%) Food & Drug Retailers 0.00% (0.62%) General Retailers 9.08% (4.54%) 113,800 Don Quijote Holdings 6, ,500 Gulliver International 2, ,600 Izumi 6, ,100 J Front Retailing 6, ,200 Rakuten 7, ,400 Ryohin Keikaku 2, Media 2.27% (2.80%) 275,600 Dentsu 7, Travel & Leisure 5.20% (1.46%) 54,800 Oriental Land 10, ,620,000 Tokyu 7, Total Consumer Services 56, TELECOMMUNICATIONS 0.78% (1.66%) Mobile Telecommunications 0.78% (1.66%) 69,000 SoftBank 2, Total Telecommunications 2, UTILITIES 1.86% (1.93%) Electricity 1.86% (1.93%) 117,100 Electric Power Development 2, ,100 Tohoku Electric Power 3, Total Utilities 6, FINANCIALS 19.17% (21.73%) Banks 9.38% (11.17%) 1,574,000 Aozora Bank 3, ,402,000 Chiba Bank 6, ,249,100 Mitsubishi UFJ Financial Group 18, ,760,200 Mizuho Financial Group 3, Life Insurance 1.31% (0.00%) 238,600 Anicom Holdings 2, ,000 Dai-ichi Life Insurance 2, Real Estate Investment & Services 2.03% (2.74%) 202,000 Mitsui Fudosan 3, ,800 Nomura Real Estate Holdings 3, Real Estate Investment Trusts 1.55% (1.00%) 1,053 Industrial & Infrastructure Fund Investment 3, ,667 Japan Hotel REIT Investment 2, Financial Services 4.90% (6.82%) 561,400 Japan Exchange Group 10, ,309,300 Tokai Tokyo Financial Holdings 6, Total Financials 65,

216 Threadneedle Japan Fund Portfolio Statement Holding Investment TECHNOLOGY 7.74% (5.63%) Software & Computer Services 2.00% (3.93%) 555,300 Capcom 6, Technology Hardware & Equipment 5.74% (1.70%) 394,500 Hitachi High-Technologies 8, ,781,000 NEC 3, ,000 Sanken Electric 1, ,700 Tokyo Electron 6, Total Technology 26, DERIVATIVES 0.00% ( 0.01%) Forward Foreign Exchange Contracts 0.00% ( 0.01%) Sell JPY 51,000,000 Buy GBP 277,254 (3) Sell GBP 360,806 Buy JPY 66,000,000 1 Total Derivatives (2) Total value of investments 343, Net other assets (0.63%) Net assets 343, ANALYSIS OF COLLATERAL RECEIVED Counterparty Type Citigroup Cash 5 Total collateral 5 March 2014 comparatives in brackets. 215

217 Threadneedle Asia Fund Portfolio Statement as at 7 March 2015 Holding Investment Holding Investment AUSTRALIA 19.45% (21.15%) Oil & Gas Producers 0.54% (0.00%) 155,244 Woodside Petroleum 2, Mining 2.52% (3.58%) 431,102 BHP Billiton 7, ,765 Rio Tinto 5, General Industrials 1.12% (0.92%) 794,289 Amcor 5, Support Services 0.93% (0.00%) 4,561,872 Spotless Group Holdings 4, Health Care Equipment & Services 1.58% (0.82%) 220,821 Ansell 2, ,403,551 Healthscope 5, Pharmaceuticals & Biotechnology 1.39% (1.08%) 150,040 CSL 7, Food & Drug Retailers 0.35% (0.73%) 118,801 Woolworths 1, General Retailers 0.00% (1.33%) Fixed Line Telecommunications 0.87% (1.31%) 1,400,645 Telstra 4, Banks 6.26% (8.07%) 427,640 Australia & New Zealand Banking Group 7, ,946 Commonwealth Bank of Australia 9, ,081 National Australia Bank 1, ,897 Westpac Banking 13, Nonlife Insurance 0.82% (0.62%) 619,730 QBE Insurance Group 4, Real Estate Investment & Services 1.09% (1.23%) 647,667 Lend Lease Group 5, Real Estate Investment Trusts 0.00% (0.58%) Financial Services 1.98% (0.88%) 171,850 Macquarie Group 6, ,373 Suncorp Group 3, Total Australia 101, BERMUDA 1.02% (0.40%) Industrial Transportation 0.39% (0.00%) 481,000 Orient Overseas International 2, Personal Goods 0.44% (0.40%) 3,395,721 Li & Fung 2, Pharmaceuticals & Biotechnology 0.19% (0.00%) 2,436,000 Sihuan Pharmaceutical Holdings Group Total Bermuda 5, CAYMAN ISLANDS 5.15% (8.47%) Alternative Energy 0.00% (0.32%) Industrial Engineering 0.00% (0.70%) Food Producers 0.48% (0.57%) 821,000 China Mengniu Dairy 2, General Retailers 0.49% (0.00%) 44,953 Alibaba Group ADR 2, Travel & Leisure 0.53% (1.62%) Gas, Water & Multiutilities 0.00% (1.92%) 965,032 Sands China 2, Software & Computer Services 3.65% (3.34%) 40,351 Baidu (ADS) 5, ,185,580 Tencent Holdings 13, Total Cayman Islands 26, CHINA 9.15% (7.66%) Oil & Gas Producers 1.33% (0.91%) 9,156,288 China Petroleum & Chemical 4, ,938,000 PetroChina 2, Oil Equipment, Services & 0.00% (0.60%) Construction & Materials 0.00% (0.75%) Industrial Engineering 0.77% (0.61%) 1,046,939 Zhuzhou CSR Times Electric 3, Industrial Transportation 0.60% (0.00%) 6,846,000 Sinotrans 3, Automobiles & Parts 0.69% (0.76%) 899,426 Great Wall Motor 3, Banks 3.98% (3.04%) 18,062,000 Bank of China 6, ,084,524 China Construction Bank 7, ,752,551 Industrial & Commercial Bank of China 6, Life Insurance 1.41% (0.99%) 1,044,136 Ping An Insurance Group of China 7, Financial Services 0.37% (0.00%) 1,322,800 Haitong Securities 1, Total China 47, HONG KONG 13.96% (11.66%) Oil & Gas Producers 0.40% (0.65%) 2,236,760 CNOOC 2, General Industrials 1.44% (2.32%) 840,184 Hutchison Whampoa 7, Fixed Line Telecommunications 0.61% (0.00%) 7,633,000 PCCW 3,

218 Threadneedle Asia Fund Portfolio Statement Holding Investment Holding Investment HONG KONG 13.96% (11.66%) Mobile Telecommunications 2.97% (1.12%) 1,518,000 China Mobile 13, ,292,000 China Unicom Hong Kong 2, Gas, Water & Multiutilities 0.46% (0.85%) 2,830,468 Guangdong Investment 2, Banks 0.47% (0.49%) 1,081,500 BOC Hong Kong Holdings 2, Life Insurance 3.01% (2.56%) 3,789,716 AIA Group 15, Real Estate Investment & Services 2.81% (3.10%) 729,952 Cheung Kong Holdings 9, ,690,521 China Overseas Land & Investment 5, Financial Services 1.00% (0.00%) 348,800 Hong Kong Exchanges and Clearing 5, Technology Hardware & Equipment 0.79% (0.57%) 3,975,780 Lenovo Group 4, Total Hong Kong 72, INDIA 9.51% (7.42%) Oil & Gas Producers 0.69% (0.00%) 1,054,325 Oil & Natural Gas 3, Construction & Materials 0.73% (0.00%) 195,840 Larsen & Toubro 3, Electronic & Electrical Equipment 0.01% (0.00%) 32,654 Bajaj Electricals Industrial Engineering 0.00% (0.70%) Automobiles & Parts 1.35% (0.36%) 69,868 Maruti Suzuki India 2, ,419 Motherson Sumi Systems 4, Personal Goods 0.56% (0.00%) 1,026,077 Dabur India 2, Tobacco 0.70% (0.89%) 985,691 ITC 3, Pharmaceuticals & Biotechnology 1.09% (0.93%) 515,086 Sun Pharmaceutical Industries 5, Banks 2.75% (2.49%) 617,131 HDFC Bank 7, ,517 ICICI Bank ADR 7, Software & Computer Services 1.63% (2.05%) 103,477 HCL Technologies 2, ,491 Infosys 4, ,114 Tata Consultancy Services 1, Total India 49, INDONESIA 3.36% (1.83%) General Retailers 0.65% (0.00%) 3,749,600 Matahari Department Store 3, Media 0.56% (0.55%) 15,641,489 Surya Citra Media 2, Fixed Line Telecommunications 0.00% (0.46%) Banks 2.15% (0.82%) 7,529,324 Bank Mandiri 4, ,999,900 Bank Rakyat Indonesia 6, Total Indonesia 17, LUXEMBOURG 0.92% (0.56%) Household Goods & Home Construction 0.92% (0.56%) 2,117,370 Samsonite International 4, Total Luxembourg 4, MALAYSIA 1.44% (1.59%) Construction & Materials 0.65% (0.00%) 2,577,800 IJM 3, Health Care Equipment & Services 0.39% (0.00%) 2,052,600 IHH Healthcare 2, Fixed Line Telecommunications 0.40% (0.00%) 1,614,300 Telekom Malaysia 2, PHILIPPINES 3.38% (3.67%) Electricity 0.00% (0.89%) Banks 0.00% (0.70%) Total Malaysia 7, General Industrials 1.13% (1.73%) 7,370,400 Alliance Global Group 2, ,534 Ayala 3, Food Producers 1.02% (0.73%) 1,657,490 Universal Robina 5, General Retailers 0.00% (0.70%) Banks 0.67% (0.51%) 2,483,345 Metropolitan Bank & Trust 3, Real Estate Investment & Services 0.56% (0.00%) 151,590 GT Capital Holdings 2, REPUBLIC OF IRELAND 0.62% (0.00%) Total Philippines 17, Construction & Materials 0.62% (0.00%) 417,128 James Hardie Industries 3, Total Republic of Ireland 3, SINGAPORE 2.38% (2.23%) Oil Equipment, Services & 0.00% (0.78%) Banks 2.38% (1.45%) 844,412 DBS Group Holdings 7, ,433 Oversea-Chinese Banking 4, Total Singapore 12,

219 Threadneedle Asia Fund Portfolio Statement Holding Investment Holding Investment SOUTH KOREA 11.61% (11.91%) Chemicals 0.00% (0.49%) Industrial Metals & Mining 0.58% (0.00%) 18,639 POSCO 3, Construction & Materials 0.69% (0.49%) 119,005 Hyundai Development Co-Engineering & Construction 3, Industrial Engineering 0.00% (0.51%) Automobiles & Parts 1.27% (2.33%) 63,006 Halla Visteon Climate Control 1, ,840 Hyundai Motor 4, Leisure Goods 2.83% (2.81%) 17,060 Samsung Electronics 14, Mobile Telecommunications 0.98% (1.10%) 30,056 SK Telecom 5, Electricity 1.09% (0.78%) 211,138 Korea Electric Power 5, Banks 0.60% (1.05%) 182,397 Hana Financial Group 3, Life Insurance 0.35% (0.00%) 31,221 Samsung Life Insurance 1, Software & Computer Services 0.45% (0.80%) 5,705 NAVER 2, Technology Hardware & Equipment 2.77% (1.55%) 115,077 LG Display 2, ,678 SK Hynix 8, ,140 Wonik IPS 3, Total South Korea 60, TAIWAN 11.50% (11.45%) Construction & Materials 0.00% (0.61%) Electronic & Electrical Equipment 0.83% (1.30%) 2,315,720 Hon Hai Precision Industry 4, Leisure Goods 0.42% (0.00%) 38,000 Largan Precision 2, Real Estate Investment & Services 0.00% (0.50%) Technology Hardware & Equipment 7.24% (6.39%) 4,265,000 Advanced Semiconductor Engineering 3, ,000 MediaTek 5, ,693,000 Pegatron 5, ,327,408 Taiwan Semiconductor Manufacturing 22, Total Taiwan 59, THAILAND 1.86% (3.31%) Oil & Gas Producers 0.00% (0.95%) Food Producers 0.53% (0.00%) 6,734,100 Thai Union Frozen Products PCL 2, Mobile Telecommunications 0.00% (1.31%) Banks 0.86% (1.05%) 966,232 Kasikornbank 4, Real Estate Investment & Services 0.47% (0.00%) 5,209,200 Supalai 2, Total Thailand 9, UNITED KINGDOM 3.87% (4.02%) Collective Investment Schemes 3.87% (4.02%) 7,978,678 Threadneedle China Opportunities Fund 20, Total United Kingdom 20, DERIVATIVES 0.00% (0.00%) Forward Foreign Exchange Contracts 0.00% (0.00%) Sell USD 450,000 Buy GBP 295,353 Citigroup (1) Total Derivatives (1) Total value of investments 515, Net other assets (2.67%) 4, Net assets 520, Related party. March 2014 comparatives in brackets. Personal Goods 0.52% (0.47%) 661,501 Makalot Industrial 2, Food & Drug Retailers 0.62% (0.54%) 605,000 President Chain Store 3, Mobile Telecommunications 0.57% (0.00%) 1,881,000 Far EasTone Telecommunications 2, Banks 1.30% (1.64%) 5,817,638 CTBC Financial 2, ,573,392 E.Sun Financial 4,

220 Threadneedle Latin America Fund Portfolio Statement as at 7 March 2015 Holding Investment Holding Investment ARGENTINA 1.63% (0.56%) Oil & Gas Producers 1.63% (0.56%) 385,000 YPF SA 6, Total Argentina 6, BERMUDA 2.58% (3.97%) Food Producers 0.00% (1.72%) Banks 2.58% (2.25%) 111,000 Credicorp 10, Total Bermuda 10, BRAZIL 47.97% (48.48%) Oil & Gas Producers 2.03% (5.05%) 2,100,000 Petroleo Brasileiro ADR 8, Industrial Metals & Mining 0.89% (1.31%) 1,600,000 Gerdau ADR 3, Mining 2.68% (6.34%) 3,000,000 Vale ADR 11, Industrial Transportation 2.64% (2.10%) 3,350,052 CCR 10, Support Services 0.93% (0.59%) 440,000 Valid Solucoes 3, Automobiles & Parts 0.00% (1.31%) Beverages 5.97% (7.38%) 6,250,000 Ambev ADR 24, Food Producers 5.94% (4.59%) 1,100,000 BRF 15, ,625,000 Hypermarcas 6, ,000 M Dias Branco 2, Personal Goods 0.79% (1.25%) 1,650,000 Alpargatas 3, Health Care Equipment & Services 0.00% (0.53%) Food & Drug Retailers 1.72% (1.66%) 340,000 Cia Brasileira de Distribuicao 7, General Retailers 2.58% (0.00%) 1,250,000 Estacio Participacoes 4, ,718,750 Lojas Americanas 6, Mobile Telecommunications 0.40% (0.43%) 160,000 LINX 1, Banks 13.30% (10.22%) 2,734,975 Banco Bradesco 21, ,300,000 Banco Bradesco ADR 10, ,164,998 Itau Unibanco ADR 23, Nonlife Insurance 1.84% (0.95%) 1,150,000 BB Seguridade Participacoes 7, Real Estate Investment & Services 1.33% (0.79%) 950,000 Iguatemi Empresa de Shopping Centers 5, Financial Services 4.04% (3.18%) 8,000,003 Itausa Investimentos Itau 16, Software & Computer Services 0.89% (0.80%) 500,000 TOTVS 3, Total Brazil 199, CANADA 0.00% (1.48%) Oil & Gas Producers 0.00% (1.48%) Total Canada CHILE 4.32% (3.54%) General Retailers 1.80% (2.77%) 1,550,000 SACI Falabella 7, Electricity 2.52% (0.00%) 365,000 Empresa Nacional de Electricidad ADR 10, Software & Computer Services 0.00% (0.77%) Total Chile 17, COLOMBIA 1.64% (0.00%) Oil & Gas Producers 0.00% (0.00%) Banks 1.64% (0.00%) 230,000 Banco Davivienda 1, ,000 Bancolombia ADR 5, Total Colombia 6, LUXEMBOURG 1.54% (3.02%) Industrial Metals & Mining 1.54% (3.02%) 120,000 Tenaris ADR 2, ,000 Ternium ADR 4, Total Luxembourg 6, MEXICO 36.20% (32.24%) Chemicals 1.36% (0.00%) 3,125,000 Mexichem 5, Industrial Metals & Mining 2.84% (3.45%) 6,250,921 Grupo Mexico 11, Construction & Materials 4.45% (6.19%) 3,000,000 Cemex ADR 18, General Industrials 1.84% (2.72%) 5,750,000 Alfa 7, Beverages 5.01% (5.18%) 350,000 Fomento Economico Mexicano ADR 20, Food Producers 0.00% (1.03%) Pharmaceuticals & Biotechnology 0.00% (0.29%) General Retailers 4.38% (3.23%) 525,000 El Puerto de Liverpool 3, ,000,894 Wal-Mart de Mexico SAB de CV 14, Media 4.01% (3.42%) 725,000 Grupo Televisa ADR 16,

221 Threadneedle Latin America Fund Portfolio Statement Holding Investment MEXICO 36.20% (32.24%) Travel & Leisure 0.66% (0.88%) 1,400,000 Alsea 2, Mobile Telecommunications 5.08% (0.98%) 1,600,000 America Movil SAB de CV 21, Banks 4.40% (3.02%) 4,000,000 Grupo Financiero Banorte 14, ,000 Grupo Financiero Santander Mexico ADR 3, Real Estate Investment & Services 0.23% (0.00%) 800,000 Corp Inmobiliaria Vesta SAB de CV Real Estate Investment Trusts 1.13% (1.42%) 3,600,273 PLA Administradora Industrial S de RL de 4, Financial Services 0.81% (0.43%) 3,000,000 Bolsa Mexicana de Valores 3, Total Mexico 150, PANAMA 0.00% (2.57%) Travel & Leisure 0.00% (2.57%) Total Panama PERU 0.00% (0.52%) Construction & Materials 0.00% (0.52%) Total Peru UNITED KINGDOM 0.27% (0.00%) Oil & Gas Producers 0.27% (0.00%) 3,500,000 Amerisur Resources 1, Total United Kingdom 1, UNITED STATES OF AMERICA 1.00% (0.00%) Financial Services 1.00% (0.00%) 700,000 Grupo Aval Acciones y Valores 4, Total United States of America 4, DERIVATIVES 0.00% (0.00%) Forward Foreign Exchange Contracts 0.00% (0.00%) Sell USD 301,000 Buy GBP 196,524 Citigroup (2) Sell USD 675,000 Buy GBP 443,030 Citigroup (2) Total Derivatives (4) Total value of investments 403, Net other assets (3.62%) 11, Net assets 414, March 2014 comparatives in brackets. Alternative Investment Market. 220

222 Threadneedle Emerging Market Bond Fund Portfolio Statement as at 7 March 2015 Holding Investment Holding Investment ANGOLA 0.16% (0.00%) B+ 0.16% (0.00%) USD 570,000 Republic of Angola Via Northern Lights III 7% 16/08/ Total Angola ARGENTINA 1.26% (1.85%) Not Rated 1.26% (1.85%) USD 1,011,420 Argentina Boden Bonds 7% 03/10/ USD 1,172,333 Argentina Bonar Bonds 7% 17/04/ USD 2,045,575 Argentina Bonar Bonds 8.75% 07/05/2024 1, BRAZIL 5.69% (7.15%) A 0.00% (2.49%) Total Argentina 2, BBB+ 1.47% (0.00%) BRL 6,235,000 Brazil Government International Bond 10% 01/01/2023 1, BRL 2,324,000 Brazil Notas do Tesouro Nacional Serie B 6% 15/08/2024 1, BRL 1,547,000 Brazil Notas do Tesouro Nacional Serie B 6% 15/05/ BBB 0.00% (4.66%) BBB 4.22% (0.00%) USD 1,850,000 Banco Nacional de Desenvolvimento Economico e Social 5.75% 26/09/2023 1, USD 1,907,000 Brazilian Government International Bond 4.25% 07/01/2025 1, USD 3,016,000 Brazilian Government International Bond 4.875% 22/01/2021 2, USD 3,473,000 Brazilian Government International Bond 5.625% 07/01/2041 2, USD 1,995,000 Brazilian Government International Bond 7.125% 20/01/2037 1, USD 1,370,000 Brazilian Government International Bond 8.25% 20/01/2034 1, CHINA 0.00% (0.09%) COLOMBIA 3.84% (4.38%) Total Brazil 12, BB 0.00% (0.09%) Total China BBB 2.79% (4.38%) USD 2,421,000 Colombia Government International Bond 7.375% 18/03/2019 1, USD 1,835,000 Colombia Government International Bond 7.38% 27/01/2017 1, COP 6,279,000,000 Colombia Government International Bond 9.85% 28/06/2027 2, USD 1,615,000 Ecopetrol 5.875% 28/05/ Baa2 0.45% (0.00%) COP 4,301,000,000 Colombia Government International Bond 4.375% 21/03/2023 1, Baa3 0.60% (0.00%) COP 5,360,000,000 Empresas Publicas de Medellin 7.625% 10/09/2024 1, Total Colombia 8, COSTA RICA 0.53% (0.00%) BB 0.53% (0.00%) USD 1,112,000 Costa Rica Government International Bond 4.25% 26/01/ USD 775,000 Costa Rica Government International Bond 7.158% 12/03/ CROATIA 0.99% (0.41%) Total Costa Rica 1, BB 0.99% (0.41%) USD 1,145,000 Croatia Government International Bond 6% 26/01/ USD 1,925,000 Croatia Government International Bond 6.75% 05/11/2019 1, Total Croatia 2, DOMINICAN REPUBLIC 5.06% (0.00%) B+ 4.09% (0.00%) USD 1,542,000 Dominican Republic International Bond 5.875% 18/04/2024 1, USD 2,020,000 Dominican Republic International Bond 6.6% 28/01/2024 1, USD 2,482,000 Dominican Republic International Bond 7.45% 30/04/2044 1, USD 6,634,000 Dominican Republic International Bond 7.5% 06/05/2021 4, Not Rated 0.97% (0.00%) DOP 112,000,000 Dominican Republic International Bond 16.95% 04/12/2022 2, EL SALVADOR 0.79% (0.54%) Total Dominican Republic 11, BB 0.00% (0.54%) B+ 0.79% (0.00%) USD 883,000 El Salvador Government International Bond 5.88% 30/01/ USD 1,055,000 El Salvador Government International Bond 7.65% 15/06/ USD 642,000 El Salvador Government International Bond 8.25% 10/04/ Total El Salvador 1, ETHIOPIA 0.33% (0.00%) B 0.33% (0.00%) USD 1,156,000 Federal Democratic Republic of Ethiopia 6.625% 11/12/ Total Ethiopia GABON 0.99% (0.00%) B+ 0.99% (0.00%) USD 3,560,572 Gabonese Republic 6.375% 12/12/2024 2, Total Gabon 2,

223 Threadneedle Emerging Market Bond Fund Portfolio Statement Holding Investment Holding Investment GEORGIA 1.34% (0.00%) BB 1.34% (0.00%) USD 2,411,000 Georgia Government International Bond 6.875% 12/04/2021 1, USD 1,812,000 Georgian Railway JSC 7.75% 11/07/2022 1, Total Georgia 3, GHANA 1.41% (0.00%) B 1.41% (0.00%) USD 1,138,873 Republic of Ghana 7.875% 07/08/ USD 3,859,000 Republic of Ghana 8.125% 18/01/2026 2, Total Ghana 3, GUATEMALA 1.54% (0.00%) BB 1.54% (0.00%) USD 3,089,000 Guatemala Government Bond 4.875% 13/02/2028 2, USD 1,932,000 Guatemala Government Bond 5.75% 06/06/2022 1, Total Guatemala 3, HUNGARY 5.26% (3.70%) Ba1 0.42% (0.31%) USD 1,270,000 MFB Magyar Fejlesztesi Bank 6.25% 21/10/ BB 4.84% (3.39%) USD 678,000 Hungary Government International Bond 4.125% 19/02/ USD 3,214,000 Hungary Government International Bond 5.375% 21/02/2023 2, USD 2,140,000 Hungary Government International Bond 5.375% 25/03/2024 1, USD 2,740,000 Hungary Government International Bond 5.75% 22/11/2023 2, USD 1,002,000 Hungary Government International Bond 6.25% 29/01/ USD 2,894,000 Hungary Government International Bond 6.375% 29/03/2021 2, USD 2,308,000 Magyar Export-Import Bank 4% 30/01/2020 1, Total Hungary 11, INDIA 0.27% (0.00%) BBB 0.27% (0.00%) USD 949,000 Export-Import Bank of India 2.75% 12/08/ Total India INDONESIA 10.99% (7.67%) Baa3 1.66% (0.00%) IDR 35,523,000,000 Indonesia Treasury Bond 7.875% 15/04/2019 1, IDR 33,630,000,000 Indonesia Treasury Bond 9% 15/03/2029 1, BB+ 8.75% (7.42%) USD 1,290,000 Indonesia Government International Bond 3.375% 15/04/ USD 2,538,000 Indonesia Government International Bond 3.75% 25/04/2022 1, USD 2,013,000 Indonesia Government International Bond 4.625% 15/04/2043 1, USD 1,420,000 Indonesia Government International Bond 5.125% 15/01/ USD 2,701,000 Indonesia Government International Bond 5.25% 17/01/2042 1, USD 3,117,000 Indonesia Government International Bond 5.875% 15/01/2024 2, USD 1,842,000 Indonesia Government International Bond 5.88% 13/03/2020 1, USD 1,935,000 Indonesia Government International Bond 6.63% 17/02/2037 1, USD 2,660,000 Indonesia Government International Bond 6.75% 15/01/2044 2, USD 501,000 Indonesia Government International Bond 7.75% 17/01/ USD 456,000 Indonesia Government International Bond 8.5% 12/10/ USD 4,391,000 Pertamina 5.25% 23/05/2021 3, USD 2,342,000 Perusahaan Penerbit SBSN Indonesia 4% 21/11/2018 1, BB 0.58% (0.25%) USD 2,051,000 Perusahaan Listrik Negara PT 5.25% 24/10/2042 1, Total Indonesia 24, IVORY COAST 1.75% (0.00%) B1 0.80% (0.00%) USD 2,932,000 Ivory Coast Government International Bond 5.375% 23/07/2024 1, Not Rated 0.95% (0.00%) USD 3,467,000 *Ivory Coast Government International Bond 2.5% 31/12/2032 2, KAZAKHSTAN 2.74% (2.05%) BBB+ 0.00% (1.31%) Total Ivory Coast 3, BBB 0.90% (0.00%) USD 2,022,000 Development Bank of Kazakhstan 4.125% 10/12/2022 1, USD 1,610,000 KazAgro National Management Holding JSC 4.63% 24/05/ BBB 0.00% (0.74%) BB+ 1.84% (0.00%) USD 3,800,000 KazMunayGas National Co JSC 4.4% 30/04/2023 2, USD 1,730,000 KazMunayGas National Co JSC 6% 07/11/ USD 1,839,000 KazMunayGas National JSC 5.75% 30/04/ Total Kazakhstan 6,

224 Threadneedle Emerging Market Bond Fund Portfolio Statement Holding Investment Holding Investment LUXEMBOURG 2.15% (3.89%) Ba2 0.72% (0.00%) USD 2,732,000 Russian Agricultural Bank (RSHB) 5.3% 27/12/2017 1, BB+ 1.43% (0.00%) USD 1,629,000 Gaz Capital 6.51% 07/03/ USD 1,454,000 Gaz Capital 7.29% 16/08/ USD 2,638,000 Gazprom (GPN Capital) 4.375% 19/09/2022 1, Baa1 0.00% (0.89%) BBB 0.00% (1.52%) Baa2 0.00% (0.37%) BBB 0.00% (0.68%) Baa3 0.00% (0.43%) Total Luxembourg 4, MEXICO 10.06% (10.79%) A 3.08% (3.17%) MXN 30,352,400 Mexican Bonos 6.5% 09/06/2022 1, MXN 27,476,900 Mexican Bonos 7.75% 29/05/2031 1, MXN 29,323,100 Mexican Bonos 10% 20/11/2036 1, MXN 97,050 Mexican Udibonos 4% 15/11/2040 2, BBB+ 6.98% (7.62%) USD 1,767,000 Comision Federal de Electricidad 4.88% 26/05/2021 1, USD 1,974,000 Mexico Government International Bond 3.625% 15/03/2022 1, USD 7,329,000 Petroleos Mexicanos 3.5% 30/01/2023 4, USD 1,332,000 Petroleos Mexicanos 4.875% 24/01/ USD 3,197,000 Petroleos Mexicanos 4.875% 18/01/2024 2, USD 2,107,000 Petroleos Mexicanos 5.5% 21/01/2021 1, USD 1,226,000 Petroleos Mexicanos 5.5% 27/06/ USD 2,741,000 Petroleos Mexicanos 6.375% 23/01/2045 1, USD 1,640,000 Petroleos Mexicanos 6.5% 02/06/2041 1, Total Mexico 22, MOROCCO 0.54% (0.00%) BBB 0.54% (0.00%) USD 1,782,000 Morocco Government International Bond 4.25% 11/12/2022 1, Total Morocco 1, NAMIBIA 1.18% (0.00%) Baa3 1.18% (0.00%) USD 3,761,000 Namibia International Bonds 5.5% 03/11/2021 2, Total Namibia 2, NETHERLANDS 1.98% (2.62%) BBB 1.74% (1.17%) USD 3,398,000 Kazakhstan Temir Zholy Finance 6.95% 10/07/2042 2, USD 3,050,000 Petrobras Global Finance 6.25% 17/03/2024 1, BB 0.24% (0.50%) USD 755,000 Majapahit Holding 7.25% 28/06/ BB 0.00% (0.95%) Total Netherlands 4, PAKISTAN 0.74% (0.00%) B 0.74% (0.00%) USD 2,506,000 Pakistan Government International Bond 6.75% 03/12/2019 1, Total Pakistan 1, PANAMA 0.96% (0.56%) BBB 0.96% (0.56%) USD 1,555,000 Panama Bonos del Tesoro 5.63% 25/07/2022 1, USD 1,500,000 Panama Government International Bond 4% 22/09/2024 1, Total Panama 2, PARAGUAY 0.76% (0.00%) BB 0.76% (0.00%) USD 2,420,000 Republic of Paraguay 6.1% 11/08/2044 1, Total Paraguay 1, PERU 2.02% (2.38%) A 0.40% (0.00%) PEN 3,539,000 Peruvian Government International Bond 8.2% 12/08/ BBB+ 1.35% (2.38%) USD 1,133,000 Peruvian Government International Bond 7.125% 30/03/ USD 2,449,000 Peruvian Government International Bond 7.35% 21/07/2025 2, BBB 0.27% (0.00%) USD 900,000 *Financiera de Desarrollo 5.25% 15/07/ Total Peru 4, PHILIPPINES 1.25% (1.02%) BBB 1.25% (0.00%) USD 902,000 Philippine Government International Bond 5% 13/01/ USD 770,000 Philippine Government International Bond 5.5% 30/03/ USD 396,000 Philippine Government International Bond 6.375% 15/01/ USD 476,000 Philippine Government International Bond 7.75% 14/01/ USD 814,000 Philippine Government International Bond 8.375% 17/06/ BBB 0.00% (1.02%) QATAR 0.00 % (0.29)% AA 0.00% (0.29)% Total Philippines 2, Total Qatar 223

225 Threadneedle Emerging Market Bond Fund Portfolio Statement Holding Investment Holding Investment REPUBLIC OF IRELAND 1.11% (2.11%) BBB 0.00% (1.25%) BBB 0.00% (0.86%) BB+ 1.11% (0.00%) USD 1,825,000 Rosneft Oil via Rosneft International Finance 4.199% 06/03/ USD 1,672,000 RZD Capital 5.7% 05/04/ USD 1,037,000 VEB Finance 6.9% 09/07/ Total Republic of Ireland 2, ROMANIA 1.64% (0.00%) BBB 1.64% (0.00%) USD 2,554,000 Romanian Government International Bond 4.375% 22/08/2023 1, USD 2,392,000 Romanian Government International Bond 6.75% 07/02/2022 1, RUSSIA 4.76% (6.23%) BBB+ 0.00% (2.05%) Total Romania 3, BBB 0.00% (4.18%) BBB 0.82% (0.00%) RUB 70,539,000 Russian Federal Bond 7.4% 14/06/ RUB 125,424,000 Russian Federal Bond 7.5% 27/02/2019 1, BB+ 3.94% (0.00%) USD 4,000,000 Russian Foreign Bond - Eurobond 4.875% 16/09/2023 2, USD 2,900,000 Russian Foreign Bond - Eurobond 5% 29/04/2020 1, USD 3,582,005 *Russian Foreign Bond - Eurobond 5% 31/03/2030 1, USD 5,200,000 Russian Foreign Bond - Eurobond 5.625% 04/04/2042 2, Total Russia 10, SENEGAL 0.51% (0.00%) B+ 0.51% (0.00%) USD 1,750,000 Senegal Government International Bond 6.25% 30/07/2024 1, Total Senegal 1, SERBIA 0.50% (0.00%) Not Rated 0.50% (0.00%) RSD 189,000,000 Serbia Treasury Bonds 10% 02/03/2018 1, SOUTH AFRICA 0.00% (0.48%) BBB 0.00% (0.48%) Total Serbia 1, Total South Africa SOUTH KOREA 0.29% (0.22%) A+ 0.29% (0.22%) USD 901,000 Export-Import Bank of Korea 4.38% 15/09/ Total South Korea SRI LANKA 0.57% (0.30%) B+ 0.57% (0.30%) USD 1,434,000 Sri Lanka Government International Bond 5.875% 25/07/ USD 471,000 Sri Lanka Government International Bond 6.25% 04/10/ Total Sri Lanka 1, SUPRANATIONAL 0.75% (0.00%) BB 0.75% (0.00%) USD 895,000 Republic of Serbia 4.875% 25/02/ USD 1,555,000 Republic of Serbia 5.875% 03/12/2018 1, Total Supranational 1, TRINIDAD AND TOBAGO 2.07% (0.00%) BBB 2.07% (0.00%) USD 6,060,000 Petroleum of Trinidad & Tobago 9.75% 14/08/2019 4, Total Trinidad And Tobago 4, TUNISIA 0.61% (0.00%) Ba3 0.61% (0.00%) USD 2,045,000 Banque Centrale de Tunisie SA 5.75% 30/01/2025 1, Total Tunisia 1, TURKEY 9.67% (7.42%) Baa3 9.24% (7.19%) USD 1,026,000 Hazine Mustesarligi Varlik Kiralama 4.56% 10/10/ USD 2,898,000 Turkey Government International Bond 5.125% 25/03/2022 2, USD 2,019,000 Turkey Government International Bond 5.625% 30/03/2021 1, USD 3,200,000 Turkey Government International Bond 5.75% 22/03/2024 2, USD 3,126,000 Turkey Government International Bond 6% 14/01/2041 2, USD 2,260,000 Turkey Government International Bond 6.25% 26/09/2022 1, USD 2,080,000 Turkey Government International Bond 6.625% 17/02/2045 1, USD 1,285,000 Turkey Government International Bond 6.75% 30/05/2040 1, USD 3,822,000 Turkey Government International Bond 6.875% 17/03/2036 3, USD 3,376,000 Turkey Government International Bond 7.375% 05/02/2025 2, USD 1,309,000 Turkey Government International Bond 7.5% 07/11/2019 1, USD 1,239,000 Turkey Government International Bond 8% 14/02/2034 1, BB+ 0.00% (0.23%) Not Rated 0.43% (0.00%) TRY 3,600,000 Turkey Government Bond 9% 24/07/ Total Turkey 22,

226 Threadneedle Emerging Market Bond Fund Portfolio Statement Holding Investment Holding Investment UKRAINE 0.13% (0.00%) CCC 0.13% (0.00%) USD 1,041,000 Ukraine Government International Bond 6.25% 17/06/ UNITED KINGDOM 0.00% (0.16%) Caa2 0.00% (0.16%) Total Ukraine Total United Kingdom UNITED STATES OF AMERICA 0.51% (18.95%) A 0.00% (1.33%) BBB+ 0.51% (1.62%) USD 1,555,000 Petroleos Mexicanos 6.625% 15/06/2035 1, BBB 0.00% (2.02%) BBB 0.00% (0.30%) Baa3 0.00% (1.06%) BB+ 0.00% (2.01%) BB 0.00% (1.43%) BB 0.00% (2.65%) B+ 0.00% (4.84%) CCC 0.00% (0.32%) Caa2 0.00% (0.60%) Not Rated 0.00% (0.77%) Total United States of America 1, URUGUAY 1.80% (2.70%) BBB 1.80% (2.70%) UYU 23,590,000 Uruguay Government International Bond 4.25% 05/04/2027 1, USD 1,759,072 Uruguay Government International Bond 4.5% 14/08/2024 1, UYU 25,975,606 Uruguay Government International Bond 5% 14/09/2018 1, USD 397,368 Uruguay Government International Bond 6.88% 28/09/ VENEZUELA 4.53% (7.78%) B 0.00% (7.13%) Total Uruguay 4, CCC 4.03% (0.00%) USD 2,345,800 Petroleos de Venezuela 5.25% 12/04/ USD 4,400,000 Petroleos de Venezuela 6% 15/11/ USD 6,507,200 Petroleos de Venezuela 8.5% 02/11/2017 2, USD 4,295,790 Petroleos de Venezuela 9% 17/11/2021 1, USD 2,618,500 Venezuela Government International Bond 6% 09/12/ USD 425,000 Venezuela Government International Bond 7% 01/12/ USD 1,372,000 Venezuela Government International Bond 7.65% 21/04/ USD 4,194,100 Venezuela Government International Bond 7.75% 13/10/2019 1, USD 1,457,600 Venezuela Government International Bond 8.25% 13/10/ USD 992,600 Venezuela Government International Bond 9% 07/05/ USD 2,703,700 Venezuela Government International Bond 12.75% 23/08/ Not Rated 0.50% (0.64%) USD 3,272,700 Petroleos de Venezuela 12.75% 17/02/2022 1, Total Venezuela 10, ZAMBIA 0.85% (0.00%) B+ 0.85% (0.00%) USD 547,000 Zambia Government International Bond 5.375% 20/09/ USD 2,212,000 Zambia Government International Bond 8.5% 14/04/2024 1, Total Zambia 1, DERIVATIVES 0.16% (0.22%) Futures 0.09% (0.00%) USD (282) UBS US 10 Year Note Future Expiring June USD (21) UBS US Ultra Bond Future Expiring June Forward foreign exchange contracts 0.07% (0.22%) Sell USD 1,686,836 Buy COP 4,107,446,259 Citigroup (50) (0.02) Sell USD 303,709 Buy GBP 200,000 Bank of Scotland Sell USD 344,254 Buy GBP 230,000 Bank of Scotland 3 Sell USD 700,000 Buy GBP 459,439 Citigroup (2) Sell USD 71,348 Buy GBP 47,000 Citigroup Sell USD 721,070 Buy GBP 470,000 UBS (5) Sell USD 78,423 Buy GBP 51,000 Bank of Scotland (1) Sell USD 130,953 Buy GBP 86,000 Bank of Scotland Sell USD 138,927 Buy GBP 90,000 Lloyds (2) Sell USD 1,371,815 Buy GBP 900,000 UBS (4) Sell USD 146,473 Buy GBP 95,000 Bank of Scotland (2) Sell EUR 1,574,067 Buy USD 1,745,867 HSBC Sell GBP 100,000 Buy USD 150,248 J.P. Morgan (1) Sell GBP 1,400,000 Buy USD 2,128,937 Citigroup 3 225

227 Threadneedle Emerging Market Bond Fund Portfolio Statement Holding Investment DERIVATIVES 0.16% (0.22%) Sell RUB 156,127,450 Buy USD 2,333,744 J.P. Morgan (189) (0.08) Sell GBP 1,800,000 Buy USD 2,726,608 Citigroup (3) Sell GBP 215,000 Buy USD 324,223 HSBC (1) Sell GBP 245,000 Buy USD 375,732 Bank of Scotland 3 Sell GBP 415,000 Buy USD 630,017 Bank of Scotland Sell COP 22,178,844,012 Buy USD 9,246,964 HSBC Total Derivatives Total value of investments 220, ANALYSIS OF UNDERLYING EXPOSURE FUTURES UBS US 10 Year Note Future Expiring June 2015 (23,609) UBS US Ultra Bond Future Expiring June 2015 (2,281) Total net exposure (25,890) ANALYSIS OF COLLATERAL RECEIVED Counterparty Type Citibank Cash 86 HSBC Cash 360 J.P Morgan Cash 140 Total collateral 586 March 2014 comparatives in brackets. *Variable rate bonds. Net other assets (4.14%) 6, Net assets 227, ANALYSIS OF INVESTMENTS BY ASSET CLASS Investment Fixed interest 215, Floating rate notes 4, Derivatives Total value of investments 220, ANALYSIS OF INVESTMENTS BY CREDIT RATINGS A+ 656 A 7,004 A 913 BBB+ 23,456 BBB 14,024 Baa2 1,020 BBB 29,775 Baa3 28,862 BB+ 38,852 Ba1 946 BB 21,580 Ba2 1,640 BB 4,754 Ba3 1,387 B+ 18,123 B1 1,819 B 759 B 4,895 CCC 9,165 CCC 303 Not rated 10,454 Total Bonds 220,387 Derivatives 333 Total value of investments 220,

228 Threadneedle High Yield Bond Fund Portfolio Statement as at 7 March 2015 Holding Investment Holding Investment AUSTRIA 0.99% (0.43%) BB 0.27% (0.43%) EUR 1,170,000 Sappi Papier Holding 6.63% 15/04/ USD 1,750,000 Sappi Papier Holding 8.375% 15/06/2019 1, Ca 0.72% (0.00%) EUR 5,086,000 Heta Asset Resolution 4.25% 31/10/2016 2, EUR 8,900,000 Heta Asset Resolution 4.375% 24/01/2017 3, Total Austria 7, BELGIUM 0.94% (0.42%) BBB 0.36% (0.00%) USD 3,800,000 *KBC Bank 8% 25/01/2023 2, BB+ 0.00% (0.42%) BB 0.58% (0.00%) EUR 6,130,000 *KBC Groep 5.625% 19/12/2049 4, CANADA 0.48% (0.81%) BB 0.00% (0.81%) Total Belgium 7, B+ 0.48% (0.00%) EUR 4,841,000 Bombardier 6.125% 15/05/2021 3, Total Canada 3, CAYMAN ISLANDS 1.84% (2.23%) BBB 0.45% (0.00%) GBP 3,992,000 Petrobras Global Finance 6.25% 14/12/2026 3, BB 0.82% (1.37%) USD 1,200,000 Sable International Finance 8.75% 01/02/ EUR 5,906,000 UPCB Finance II 6.375% 01/07/2020 4, USD 1,560,000 UPCB Finance VI 6.875% 15/01/2022 1, B2 0.40% (0.36%) EUR 4,200,000 Viridian Group FundCo II 7.5% 01/03/2020 3, Not Rated 0.17% (0.50%) USD 3,018,750 PSOS Finance 11.75% 23/04/2018 1, Total Cayman Islands 14, CROATIA 0.19% (1.00%) B 0.19% (1.00%) EUR 1,800,000 Agrokor 9.125% 01/02/2020 1, Total Croatia 1, CZECH REPUBLIC 1.02% (1.20%) Ba2 0.62% (0.67%) EUR 6,449,000 RPG 6.75% 01/05/2020 4, B1 0.40% (0.53%) EUR 4,220,000 CE Energy 7% 01/02/2021 3, Total Czech Republic 7, DENMARK 0.46% (0.38%) BB+ 0.46% (0.14%) EUR 4,910,000 *TDC 3.5% 26/02/3015 3, B+ 0.00% (0.24%) Total Denmark 3, FINLAND 0.32% (0.31%) BB+ 0.32% (0.00%) GBP 2,336,000 UPM-Kymmene 6.625% 23/01/2017 2, BB 0.00% (0.31%) Total Finland 2, FRANCE 8.09% (9.21%) BBB 0.30% (0.27%) USD 3,138,000 *Credit Agricole 8.125% 19/09/2033 2, BB+ 2.33% (3.23%) EUR 2,108,000 Lafarge 4.75% 23/03/2020 1, EUR 3,352,000 Lafarge 5.375% 29/11/2018 2, EUR 1,510,000 Lafarge 5.5% 16/12/2019 1, EUR 1,255,000 Lafarge 5.875% 09/07/2019 1, GBP 1,282,000 Lafarge 6.625% 29/11/2017 1, GBP 1,438,000 Lafarge 10% 30/05/2017 1, EUR 890,000 Renault 3.125% 05/03/ EUR 9,362,000 Renault 4.625% 18/09/2017 7, BB 0.95% (1.58%) EUR 2,000,000 *Accor 4.125% 30/06/2049 1, EUR 1,921,000 *Credit Agricole 6.5% 23/12/2049 1, EUR 3,270,000 Rexel 5.13% 15/06/2020 2, EUR 2,437,000 Rexel 7% 17/12/2018 1, BB 0.30% (0.13%) EUR 1,350,000 Nexans 5.75% 02/05/2017 1, EUR 1,785,000 Novafives SAS 4.5% 30/06/2021 1, Ba3 0.02% (0.17%) EUR 169,000 Faurecia 9.375% 15/12/ B+ 2.57% (2.40%) EUR 2,125,000 Autodis 6.5% 01/02/2019 1, EUR 10,136,000 Labco 8.5% 15/01/2018 7, EUR 5,021,000 Numericable-SFR SAS 5.375% 15/05/2022 3, EUR 2,282,000 Numericable-SFR 5.625% 15/05/2024 1, USD 1,482,000 Numericable-SFR 6% 15/05/ EUR 4,903,000 Peugeot 7.375% 06/03/2018 4, B 0.76% (0.44%) EUR 5,195,000 SGD Group SAS 5.625% 15/04/2019 3, EUR 2,832,000 THOM Europe 7.375% 15/07/2019 2, B2 0.24% (0.00%) EUR 2,469,000 Cerba European Lab SAS 7% 01/02/2020 1, B3 0.00% (0.15%) (P)B3 0.00% (0.23%) CCC+ 0.62% (0.61%) EUR 6,439,000 Europcar Groupe 9.375% 15/04/2018 4, Total France 63,

229 Threadneedle High Yield Bond Fund Portfolio Statement Holding Investment Holding Investment GERMANY 7.13% (7.19%) BBB+ 0.00% (0.18%) BBB 0.00% (0.14%) BB+ 0.00% (0.11%) BB 1.02% (1.09%) EUR 10,279,000 ThyssenKrupp 4% 27/08/2018 8, BB 1.89% (1.51%) EUR 1,610,000 TUI 4.5% 01/10/2019 1, EUR 1,943,000 Unitymedia Hessen 5.625% 15/04/2023 1, EUR 6,938,000 Unitymedia Hessen 5.75% 15/01/2023 5, EUR 1,700,000 Unitymedia Hessen 6.25% 15/01/2029 1, USD 3,860,000 Unitymedia NRW 5% 15/01/2025 2, EUR 3,190,000 Unitymedia NRW 5.125% 21/01/2023 2, B+ 0.44% (0.54%) EUR 2,920,000 Techem 6.125% 01/10/2019 2, EUR 1,520,000 Trionista Holdco 5% 30/04/2020 1, B 1.20% (1.73%) EUR 2,855,000 Deutsche Raststaetten Gruppe IV 6.75% 30/12/2020 2, EUR 4,839,000 Safari Holding Verwaltungs 8.25% 15/02/2021 3, EUR 4,173,000 Unitymedia 9.5% 15/03/2021 3, B 0.57% (0.64%) EUR 2,920,000 Techem Energy Metering Service 7.875% 01/10/2020 2, EUR 2,735,000 Trionista Topco 6.875% 30/04/2021 2, (P)Ba3 0.29% (0.00%) EUR 3,135,000 Unitymedia NRW 3.5% 15/01/2027 2, CCC+ 1.72% (0.30%) EUR 2,820,000 CeramTec Group 8.25% 15/08/2021 2, EUR 8,200,000 KP Germany Erste % 15/07/2017 6, EUR 6,753,000 Pfleiderer 7.875% 01/08/2019 4, CCC 0.00% (0.95%) Total Germany 55, ITALY 3.40% (3.06%) BB+ 2.56% (1.50%) EUR 3,930,000 *Enel 5% 15/01/2075 3, GBP 1,560,000 *Enel 6.625% 15/09/2076 1, EUR 13,150,000 Telecom Italia 4.5% 25/01/ , EUR 5,050,000 Telecom Italia 5.25% 10/02/2022 4, BB 0.00% (0.37%) B+ 0.00% (0.30%) B 0.28% (0.33%) EUR 3,051,000 Zobele Holding 7.875% 01/02/2018 2, B 0.45% (0.44%) EUR 4,752,000 Snai 7.625% 15/06/2018 3, CCC 0.11% (0.12%) EUR 1,110,000 Snai 12% 15/12/ Total Italy 26, JAPAN 0.00% (0.68%) BB+ 0.00% (0.68%) Total Japan JERSEY 2.32% (0.00%) BB+ 0.46% (0.00%) EUR 2,380,000 Cleopatra Finance 4.125% 15/02/2020 1, EUR 2,380,000 Cleopatra Finance 4.75% 15/02/2023 1, BB 0.75% (0.00%) GBP 5,367,000 AA Bond 9.5% 31/07/2019 5, B+ 0.40% (0.00%) EUR 4,098,000 Avis Budget Finance 6% 01/03/2021 3, B 0.55% (0.00%) GBP 4,181,000 Aston Martin Capital 9.25% 15/07/2018 4, Not Rated 0.16% (0.00%) GBP 2,450,000 AA PIK 9.5% 07/11/2019 1, Total Jersey 18, LUXEMBOURG 19.23% (20.30%) BB+ 1.34% (1.91%) EUR 8,130,000 CNH Industrial Finance Europe 6.25% 09/03/2018 6, EUR 2,200,000 Dufry Finance 4.5% 15/07/2022 1, USD 3,091,000 Dufry Finance 5.5% 15/10/2020 2, Ba1 2.96% (4.08%) EUR 5,526,000 HeidelbergCement Finance Luxembourg 7.5% 03/04/2020 5, EUR 13,440,000 HeidelbergCement Finance Luxembourg 8% 31/01/ , EUR 7,221,000 HeidelbergCement Finance Luxembourg 8.5% 31/10/2019 6, BB 1.73% (1.67%) USD 1,152,000 ArcelorMittal 4.5% 25/02/ EUR 4,835,000 Gestamp Funding Luxembourg 5.875% 31/05/2020 3, EUR 12,192,000 Wind Acquisition Finance 4% 15/07/2020 8, BB 3.48% (4.54%) EUR 1,175,000 Altice Financing 5.25% 15/02/ EUR 1,140,000 Altice Financing 6.5% 15/01/ USD 782,000 Altice Financing 6.625% 15/02/ EUR 1,660,000 Empark Funding 6.75% 15/12/2019 1, EUR 1,130,000 *Empark Funding FRN 15/12/ EUR 2,758,000 Fiat Finance & Trade 4.75% 22/03/2021 2, EUR 5,886,000 Fiat Finance & Trade 4.75% 15/07/2022 4, EUR 4,325,000 Fiat Finance & Trade 6.625% 15/03/2018 3, EUR 12,294,000 Fiat Finance & Trade 6.75% 14/10/ , EUR 1,800,000 Fiat Finance & Trade 7.375% 09/07/2018 1, Ba3 0.09% (0.00%) USD 1,104,000 Wind Acquisition Finance 4.75% 15/07/

230 Threadneedle High Yield Bond Fund Portfolio Statement Holding Investment Holding Investment LUXEMBOURG 19.23% (20.30%) B+ 2.62% (4.84%) EUR 6,966,000 Bormioli Rocco Holdings 10.5% 01/08/2018 4, GBP 1,675,000 Cabot Financial Luxembourg % 01/10/2019 1, EUR 5,018,000 Cirsa Funding Luxembourg 8.75% 15/05/2018 3, CHF 4,206,000 Matterhorn Mobile 6.75% 15/05/2019 2, CHF 2,240,000 *Matterhorn Mobile Holdings FRN 15/05/2019 1, EUR 1,856,000 Telenet Finance III Luxembourg 6.625% 15/02/2021 1, EUR 2,996,000 Telenet Finance Luxembourg 6.375% 15/11/2020 2, EUR 2,728,000 Telenet Finance V Luxembourg 6.25% 15/08/2022 2, B 3.88% (0.76%) CHF 1,485,000 Aguila % 31/01/2018 1, USD 3,562,000 Aguila % 31/01/2018 2, EUR 1,220,000 Albea Beauty Holdings FRN 01/10/ EUR 3,662,000 Altice 6.25% 15/02/2025 2, EUR 8,100,000 Altice 7.25% 15/05/2022 6, USD 573,000 Altice 7.625% 15/12/ EUR 1,207,000 Magnolia BC 9% 01/08/ EUR 19,216,000 Wind Acquisition Finance 7% 23/04/ , EUR 1,460,000 Zinc Capital 8.875% 15/05/2018 1, B 0.42% (0.79%) EUR 1,765,000 Picard Bondco 7.75% 01/02/2020 1, EUR 2,625,000 Xella Holdco Finance 9.125% 15/09/2018 1, (P)B 0.53% (0.00%) EUR 5,538,000 Cerberus Nightingale % 01/02/2020 4, CCC+ 2.18% (1.05%) EUR 2,564,729 Ardagh Finance Holdings 8.375% 15/06/2019 1, EUR 1,957,843 *Bilbao Luxembourg 10.5% 24/10/2018 1, EUR 7,118,880 Kleopatra Holdings 1 SCA 10.25% 15/08/2017 5, EUR 925,000 Matterhorn Financing 9% 15/04/ EUR 4,593,000 Matterhorn Mobile Holdings 8.25% 15/02/2020 3, EUR 5,340,000 Play Topco 7.75% 28/02/2020 3, CCC 0.00% (0.66%) Total Luxembourg 150, NETHERLANDS 16.70% (13.42%) BBB 1.29% (0.00%) EUR 1,200,000 *Deutsche Annington Finance 4% 29/12/ EUR 4,900,000 *Deutsche Annington Finance 4.625% 08/04/2074 3, GBP 2,552,000 Petrobras Global Finance 5.375% 01/10/2029 2, GBP 3,726,000 Petrobras Global Finance 6.625% 16/01/2034 3, BB+ 5.38% (2.99%) EUR 5,600,000 EDP Finance 2.625% 18/01/2022 4, EUR 2,645,000 EDP Finance 4.125% 20/01/2021 2, EUR 700,000 EDP Finance 4.875% 14/09/ EUR 4,266,000 EDP Finance 5.75% 21/09/2017 3, EUR 1,900,000 *Gas Natural Fenosa Finance 4.125% 30/11/2049 1, EUR 3,767,000 OI European Group 4.88% 31/03/2021 3, EUR 2,668,000 OI European Group 6.75% 15/09/2020 2, EUR 1,053,000 Portugal Telecom International Finance 4.5% 16/06/ EUR 8,652,000 Portugal Telecom International Finance 4.63% 08/05/2020 6, EUR 150,000 Portugal Telecom International Finance 5% 04/11/ EUR 1,634,000 Portugal Telecom International Finance 5.625% 08/02/2016 1, EUR 3,898,000 Portugal Telecom International Finance 5.875% 17/04/2018 2, EUR 2,900,000 *Telefonica Europe 5% 31/03/2049 2, EUR 7,100,000 *Telefonica Europe 6.5% 29/09/2049 5, GBP 3,300,000 *Telefonica Europe 6.75% 26/11/2013 3, EUR 1,800,000 *Telefonica Europe 7.625% 29/09/2021 1, Ba1 0.75% (0.00%) EUR 7,600,000 *Telefonica Europe 4.2% 29/12/2049 5, BB 0.52% (2.87%) GBP 3,792,000 *Koninklijke KPN 6.875% 14/03/2073 4, BB 1.50% (2.06%) EUR 3,270,000 Grupo Antolin Dutch 4.75% 01/04/2021 2, EUR 2,730,000 Schaeffler Finance 3.5% 15/05/2022 2, EUR 5,993,000 Schaeffler Finance 4.25% 15/05/2018 4, EUR 3,265,000 Schaeffler Finance 7.75% 15/02/2017 2, Ba3 0.63% (0.00%) EUR 6,520,000 Ziggo Secured Finance 3.75% 15/01/2025 4, B+ 1.75% (2.27%) EUR 2,370,000 Cable Communications Systems 7.5% 01/11/2020 1, EUR 6,252,000 Carlson Wagonlit 7.5% 15/06/2019 4, GBP 3,859,000 InterGen 7.5% 30/06/2021 3, EUR 2,346,000 InterXion Holding 6% 15/07/2020 1, EUR 1,899,000 Refresco Gerber 7.375% 15/05/2018 1, B 4.08% (2.44%) EUR 3,275,000 Constellium 7% 15/01/2023 2, EUR 10,150,000 LGE HoldCo VI 7.125% 15/05/2024 8, EUR 2,620,000 Schaeffler Finance 3.25% 15/05/2019 1, EUR 5,114,000 Schaeffler Holding Finance 5.75% 15/11/2021 4, EUR 9,746,000 Schaeffler Holding Finance 6.875% 15/08/2018 7, EUR 1,375,000 United Group 7.875% 15/11/2020 1, CHF 3,828,000 UPC Holding 6.75% 15/03/2023 CHF 2, EUR 4,498,000 UPC Holding 6.75% 15/03/2023 EUR 3, B2 0.30% (0.00%) EUR 3,080,000 Ziggo Bond Finance 4.625% 15/01/2025 2,

231 Threadneedle High Yield Bond Fund Portfolio Statement Holding Investment Holding Investment NETHERLANDS 16.70% (13.42%) B 0.17% (0.17%) EUR 1,530,000 Polish Television Holding 11% 15/01/2021 1, Not Rated 0.33% (0.62%) EUR 1,713,000 Boats Investments Netherlands 11% 31/03/ USD 4,726,969 OSX 3 Leasing 13% 20/03/2015 1, Total Netherlands 130, NORWAY 0.83% (0.00%) BB 0.83% (0.00%) EUR 8,380,000 Lock 7% 15/08/2021 6, Total Norway 6, POLAND 0.35% (0.00%) B 0.19% (0.00%) EUR 1,960,000 Play Finance % 01/02/2019 1, CCC+ 0.16% (0.00%) EUR 1,620,000 Play Finance 1 6.5% 01/08/2019 1, B3 0.00% (0.00%) PORTUGAL 0.38% (1.23%) BB 0.00% (0.11%) Total Poland 2, BB 0.00% (1.12%) B3 0.38% (0.00%) EUR 1,100,000 Banco Espirito Santo 2.625% 08/05/ EUR 1,600,000 Banco Espirito Santo 4.75% 15/01/2018 1, EUR 1,400,000 Banco Espirito Santo 5.88% 09/11/2015 1, REPUBLIC OF IRELAND 1.93% (5.22%) BB+ 0.00% (0.71%) Total Portugal 3, BB 0.00% (0.87%) B+ 1.11% (1.75%) EUR 9,770,000 Ardagh Packaging Finance 4.25% 15/01/2022 7, EUR 1,530,000 Bank of Ireland 10% 19/12/2022 1, B 0.42% (0.18%) EUR 4,567,000 AG Spring Finance 7.5% 01/06/2018 3, B 0.00% (0.19%) CCC+ 0.00% (1.07%) Not Rated 0.40% (0.45%) EUR 970,000 Baggot Securities 10.24% 31/12/ EUR 3,043,000 Bank of Ireland 10% 30/07/2016 2, Total Republic of Ireland 15, SINGAPORE 0.15% (0.18%) Not Rated 0.15% (0.18%) USD 2,470,000 Oro Negro Drilling 7.5% 24/01/2019 1, Total Singapore 1, SOUTH AFRICA 0.00% (0.21%) B 0.00% (0.21%) SPAIN 0.99% (2.05%) Ba3 0.00% (0.84%) Total South Africa (P)Ba3 0.14% (0.12%) EUR 1,440,000 Campofrio Food Group 3.375% 15/03/2022 1, B1 0.56% (0.00%) EUR 1,931,000 Obrascon Huarte Lain 7.63% 15/03/2020 1, EUR 3,862,000 Obrascon Huarte Lain 8.75% 15/03/2018 2, B 0.29% (0.53%) EUR 2,862,000 NH Hotel Group 6.875% 15/11/2019 2, B 0.00% (0.27%) Not Rated 0.00% (0.29%) Total Spain 7, SWEDEN 1.47% (1.50%) Ba1 0.37% (0.00%) EUR 2,010,000 *Volvo Treasury 4.2% 10/06/2075 1, EUR 1,750,000 *Volvo Treasury 4.85% 10/03/2078 1, BB 0.00% (0.21%) B+ 0.84% (0.59%) EUR 2,107,000 Eileme % 31/01/2020 1, EUR 3,755,000 TVN Finance III 7.375% 15/12/2020 3, EUR 2,375,000 TVN Finance III 7.88% 15/11/2018 1, B 0.26% (0.49%) EUR 1,863,000 Norcell Sweden Holding % 29/09/ EUR 1,415,000 Unilabs Subholding 8.5% 15/07/2018 1, CCC+ 0.00% (0.21%) Total Sweden 11, SWITZERLAND 1.34% (1.02%) BBB 0.85% (0.00%) USD 2,500,000 Credit Suisse 6.5% 08/08/2023 1, EUR 2,340,000 *UBS 4.75% 12/02/2026 1, USD 4,220,000 UBS 5.125% 15/05/2024 2, BBB 0.00% (0.49%) BB+ 0.00% (0.21%) BB 0.37% (0.00%) USD 4,030,000 *Credit Suisse Group 7.5% 11/12/2049 2, BB 0.00% (0.32%) Not Rated 0.12% (0.00%) EUR 1,290,000 *UBS Group 5.75% 29/12/ Total Switzerland 10,

232 Threadneedle High Yield Bond Fund Portfolio Statement Holding Investment Holding Investment UNITED KINGDOM 24.08% (23.45%) BBB 0.00% (1.80%) Baa3 0.45% (0.45%) GBP 2,574,000 Santander UK % 29/10/2049 3, BB+ 2.68% (0.93%) EUR 2,482,000 *Royal Bank of Scotland 10.5% 16/03/2022 2, GBP 10,530,000 Tesco 6.125% 24/02/ , GBP 1,201,000 Tesco Property Finance % 13/07/2039 1, GBP 1,015,000 Tesco Property Finance % 13/04/ GBP 916,000 Tesco Property Finance 5.5% 13/10/ GBP 3,583,000 William Hill 7.125% 11/11/2016 3, BB 3.73% (3.35%) GBP 2,989,000 *Barclays Bank 14% 29/11/2049 4, GBP 3,044,000 Jaguar Land Rover Automotive 3.875% 03/01/2023 3, GBP 2,573,000 Jaguar Land Rover Automotive 8.25% 15/03/2016 2, GBP 2,848,000 *Lloyds Bank 13% 29/01/2049 5, GBP 1,171,000 Lowell Group Financing 10.75% 01/04/2019 1, GBP 8,850,000 Priory Group No 3 7% 15/02/2018 5, EUR 7,744,000 *Rexam 6.75% 29/06/2067 5, USD 2,000,000 Royal Bank of Scotland Group 5.125% 28/05/2024 1, BB 4.47% (3.67%) GBP 6,207,000 *Co-operative Group 6.88% 08/07/2020 6, GBP 2,960,000 Debenhams 5.25% 15/07/2021 2, GBP 1,557,000 Enterprise Inns 6.375% 26/09/2031 1, GBP 1,618,000 Enterprise Inns 6.5% 06/12/2018 1, GBP 190,000 Enterprise Inns 6.875% 09/05/ GBP 3,520,000 Enterprise Inns 6.875% 15/02/2021 3, GBP 2,496,000 Jerrold Finco 9.75% 15/09/2018 2, EUR 4,520,000 OTE 3.5% 09/07/2020 3, EUR 550,000 OTE 4.625% 20/05/ EUR 4,145,000 OTE 7.875% 07/02/2018 3, GBP 4,530,000 Southern Water Greensands Financing 8.5% 15/04/2019 5, GBP 3,445,000 Virgin Media Secured Finance 5.5% 15/01/2021 3, GBP 100,000 Virgin Media Secured Finance 5.5% 15/01/ Ba3 0.83% (0.40%) GBP 3,099,000 Anglian Water Osprey Financing 7% 31/01/2018 3, GBP 2,920,000 Virgin Media Secured Finance 5.125% 15/01/2025 3, B+ 2.85% (3.75%) EUR 2,326,000 Boparan Finance 4.375% 15/07/2021 1, GBP 1,870,000 Boparan Finance 5.5% 15/07/2021 1, GBP 200,000 Crown Newco % 15/02/ GBP 5,602,000 Elli Finance UK 8.75% 15/06/2019 5, GBP 4,120,000 Iron Mountain Europe 6.125% 15/09/2022 4, GBP 4,306,000 *Lloyds Banking Group 7% 29/12/2049 4, GBP 4,325,000 Moy Park Bondco 6.25% 29/05/2021 4, B1 0.68% (0.51%) GBP 4,837,000 Thames Water Kemble Finance 7.75% 01/04/2019 5, B 2.56% (4.02%) EUR 1,000,000 EC Finance 5.125% 15/07/ EUR 4,263,000 Eco-Bat Finance 7.75% 15/02/2017 3, GBP 1,918,000 Equiniti Newco % 15/12/2018 1, GBP 1,550,000 House of Fraser Funding 8.875% 15/08/2018 1, GBP 2,443,000 IDH Finance 6% 01/12/2018 2, GBP 3,128,000 New Look Bondco 8.75% 14/05/2018 3, EUR 4,820,000 Thomas Cook Finance 7.75% 15/06/2020 3, GBP 2,560,000 Twinkle Pizza 6.625% 01/08/2021 2, GBP 475,000 Virgin Media Finance 7% 15/04/ (P)B 0.00% (0.14%) B2 1.11% (0.00%) EUR 1,320,000 Virgin Media Finance 4.5% 15/01/2025 1, GBP 7,005,000 Virgin Media Finance 6.375% 15/10/2024 7, B 1.10% (1.17%) GBP 1,750,000 GHD Bondco 7% 15/04/2020 1, EUR 3,875,000 Kerling % 01/02/2017 2, GBP 2,562,000 Keystone Financing 9.5% 15/10/2019 2, EUR 2,645,000 PPC Finance 5.5% 01/05/2019 1, B3 0.00% (0.15%) CCC+ 1.10% (0.64%) GBP 3,307,915 Annington Finance No 5 13% 15/01/2023 4, GBP 1,378,000 IDH Finance 8.5% 01/06/2019 1, GBP 3,076,000 Odeon & UCI Finco 9% 01/08/2018 3, Caa1 0.00% (0.52%) Caa2 0.53% (0.00%) GBP 4,299,000 Co-Operative Bank United Kingdom 5.125% 20/09/2017 4, Not Rated 1.99% (1.95%) GBP 5,520,000 First Hydro Finance 9% 31/07/2021 7, USD 4,800,000 Genel Energy Finance 7.5% 14/05/2019 2, EUR 4,436,000 International Personal Finance 5.75% 07/04/2021 3, EUR 3,060,000 Motor Oil Finance 5.125% 15/05/2019 2, USD 651 **NV Profit Share Preference Shares Total United Kingdom 188, UNITED STATES OF AMERICA 2.30% (2.17%) BBB 0.00% (0.02%) BBB 0.15% (0.00%) EUR 1,502,000 MPT Operating Partnership 5.75% 01/10/2020 1, BB+ 0.48% (0.00%) EUR 4,901,000 Chesapeake Energy 6.25% 15/01/2017 3,

233 Threadneedle High Yield Bond Fund Portfolio Statement Holding Investment Holding Investment UNITED STATES OF AMERICA 2.30% (2.17%) BB 0.00% (0.14%) BB 0.00% (0.71%) B+ 0.08% (0.00%) EUR 922,000 Rain CII Carbon 8.5% 15/01/ B 0.35% (0.63%) USD 3,697,000 Chrysler Group 8.25% 15/06/2021 2, B2 0.48% (0.00%) EUR 5,000,000 PSPC Escrow 6% 01/02/2023 3, B 0.76% (0.36%) USD 4,160,000 DFC Finance 10.5% 15/06/2020 2, EUR 3,178,000 Infor US 10% 01/04/2019 2, EUR 1,730,000 Iron Mountain 6.75% 15/10/2018 1, CCC+ 0.00% (0.31%) Total United States of America 17, DERIVATIVES 1.50% ( 0.41%) Credit Default Swaps 0.12% (0.04%) EUR 2,500,000 BNP Paribas Finmeccanica Credit Default Swap Sell Protection 20/09/2018 Spread EUR 2,000,000 BNP Paribas Virgin Media Finance Credit Default Swap Sell Protection 20/12/2018 Spread EUR 2,000,000 Goldman Sachs Fiat Chrysler Automobiles Credit Default Swap Sell Protection 20/12/2018 Spread EUR 2,000,000 Goldman Sachs Virgin Media Finance Credit Default Swap Sell Protection 20/09/2018 Spread EUR 2,000,000 Merrill Lynch Finmeccanica Credit Default Swap Sell Protection 20/09/2018 Spread Forward Foreign Exchange Contracts 1.38% ( 0.45%) Sell GBP 8,724,320 Buy EUR 12,000,000 J.P. Morgan (72) (0.01) Sell USD 2,000,000 Buy GBP 1,299,110 Citigroup (19) Sell EUR 243,000,000 Buy GBP 178,921,362 HSBC 3, Sell EUR 243,000,000 Buy GBP 178,931,349 Lloyds 3, Sell EUR 244,250,000 Buy GBP 179,844,572 Bank of Scotland 3, Sell EUR 3,900,000 Buy GBP 2,838,653 HSBC 27 Sell USD 400,000 Buy GBP 258,322 Bank of Scotland (5) Sell EUR 4,600,000 Buy GBP 3,370,719 Citigroup Sell USD 59,783,000 Buy GBP 38,766,712 Lloyds (636) (0.08) Sell EUR 6,500,000 Buy GBP 4,801,372 Citigroup Sell CHF 12,637,000 Buy GBP 8,709,022 UBS Sell CHF 120,000 Buy GBP 81,709 Citigroup Sell GBP 19,614 Buy USD 30,331 J.P. Morgan Sell GBP 54 Buy USD 83 J.P. Morgan Total Derivatives 11, Total value of investments 769, Net other assets (2.74%) 12, Net assets 781, ANALYSIS OF INVESTMENTS BY ASSET CLASS Investment Fixed interest 666, Floating rate notes 90, Derivatives 11, Total value of investments 769, ANALYSIS OF INVESTMENTS BY CREDIT RATINGS BBB 6,661 BBB 19,921 Baa3 3,552 BB+ 125,233 Ba1 31,837 BB 83,838 Ba2 4,886 BB 97,647 Ba3 12,236 B+ 102,610 B1 12,740 B 112,705 B2 19,810 B 31,427 (P)B 4,119 B3 3,003 (P)Ba3 3,365 CCC+ 45,207 CCC 837 Caa2 4,122 Ca 5,645 Not rated 26,006 Total bonds & equities 757,407 Derivatives 11,688 Total value of investments 769,095 ANALYSIS OF COLLATERAL RECEIVED Counterparty Type BNP Bank Cash 230 Citigroup Cash 120 Goldman Sachs Cash 440 HSBC Bank Cash 2,050 Merill Lynch Cash 240 RBS Cash 1,970 UBS Cash 109 Total collateral 5,159 March 2014 comparatives in brackets. (P) refers to provisional rating. *Variable rate bonds. **Manually priced.

234 Threadneedle Global Select Fund Portfolio Statement as at 7 March 2015 Holding Investment Holding Investment BELGIUM 2.06% (1.52%) Beverages 2.06% (1.52%) 212,386 Anheuser-Busch InBev 17, Total Belgium 17, BERMUDA 0.86% (0.00%) Financial Services 0.86% (0.00%) 427,257 Markit 7, Total Bermuda 7, CANADA 1.44% (1.91%) Oil & Gas Producers 0.00% (1.15%) Chemicals 1.44% (0.76%) 339,600 Methlanex 12, Total Canada 12, CAYMAN ISLANDS 2.82% (0.00%) General Retailers 0.96% (0.00%) 146,267 Alibaba Group ADR 8, Software & Computer Services 1.86% (0.00%) 55,497 Baidu (ADS) 7, ,800 Tencent Holdings 8, Total Cayman Islands 24, CHINA 1.91% (0.83%) Life Insurance 1.91% (0.83%) 2,359,000 Ping An Insurance Group of China 16, COLOMBIA 0.00% (0.56%) Banks 0.00% (0.56%) Total China 16, Total Colombia DENMARK 1.06% (0.00%) Pharmaceuticals & Biotechnology 1.06% (0.00%) 295,839 Novo Nordisk 9, Total Denmark 9, FRANCE 0.85% (0.00%) Oil & Gas Producers 0.85% (0.00%) 216,036 Total 7, Total France 7, GERMANY 2.95% (2.94%) Chemicals 1.39% (1.56%) 319,378 Brenntag 12, Automobiles & Parts 1.56% (1.38%) 87,153 Continental 13, Total Germany 25, HONG KONG 0.00% (0.60%) Real Estate Investment & Services 0.00% (0.60%) Total Hong Kong INDIA 1.35% (0.00%) Banks 1.35% (0.00%) 1,014,722 HDFC Bank 11, Total India 11, INDONESIA 1.89% (0.49%) Banks 1.89% (0.49%) 24,587,800 Bank Rakyat Indonesia 16, Total Indonesia 16, JAPAN 11.30% (10.12%) Construction & Materials 1.38% (0.00%) 5,466,000 Taiheiyo Cement 11, Electronic & Electrical Equipment 0.88% (0.00%) 1,708,000 Hitachi 7, Industrial Engineering 1.00% (0.57%) 1,173,000 Shimadzu 8, Support Services 0.63% (0.00%) 269,080 Recruit Holdings 5, Automobiles & Parts 1.58% (1.87%) 990,800 Mazda Motor 13, Household Goods & Home Construction 1.51% (1.71%) 1,490,000 Sekisui Chemical 13, General Retailers 0.00% (1.20%) Media 0.00% (0.65%) Banks 0.00% (1.44%) Real Estate Investment & Services 0.91% (0.00%) 433,000 Mitsui Fudosan 7, Financial Services 2.13% (2.68%) 664,300 Japan Exchange Group 12, ,514,500 Nomura Holdings 6, Technology Hardware & Equipment 1.28% (0.00%) 918,300 Sumco 11, Total Japan 97, JERSEY 2.07% (0.00%) Support Services 2.07% (0.00%) 438,558 Wolseley 17, Total Jersey 17, MEXICO 1.82% (0.00%) Beverages 1.14% (0.00%) 162,029 Fomento Economico Mexicano ADR 9, Banks 0.68% (0.00%) 1,638,300 Grupo Financiero Banorte 5, Total Mexico 15,

235 Threadneedle Global Select Fund Portfolio Statement Holding Investment Holding Investment NETHERLANDS 0.00% (2.15%) Chemicals 0.00% (1.13%) Life Insurance 0.00% (1.02%) Total Netherlands PANAMA 0.00% (1.41%) Travel & Leisure 0.00% (1.41%) Total Panama REPUBLIC OF IRELAND 1.80% (1.33%) Health Care Equipment & Services 0.00% (1.33%) Banks 1.80% (0.00%) 62,564,481 Bank of Ireland 15, Total Republic of Ireland 15, SINGAPORE 0.57% (0.48%) Real Estate Investment & Services 0.57% (0.48%) 3,982,000 Global Logistic Properties 4, Total Singapore 4, SOUTH KOREA 0.00% (1.21%) Leisure Goods 0.00% (1.21%) Total South Korea SPAIN 1.02% (0.00%) General Retailers 1.02% (0.00%) 433,029 Inditex 8, Total Spain 8, SWITZERLAND 3.73% (8.98%) Electronic & Electrical Equipment 0.81% (1.25%) 146,276 TE Connectivity 6, Support Services 0.00% (2.04%) Food Producers 1.01% (1.52%) 169,119 Nestle 8, Personal Goods 0.00% (0.73%) Pharmaceuticals & Biotechnology 0.00% (1.24%) Banks 1.91% (0.00%) 1,412,489 UBS Group 16, TURKEY 0.00% (0.49%) Banks 0.00% (0.49%) Nonequity Investment Instruments 0.00% (2.20%) Total Switzerland 32, Total Turkey UNITED KINGDOM 6.87% (8.74%) Oil & Gas Producers 0.63% (0.86%) 582,976 BG Group 5, Personal Goods 1.82% (1.73%) 543,104 Unilever 15, Media 1.35% (1.10%) 164,072 Liberty Global A Shares 5, ,072 Liberty Global C Shares 5, Travel & Leisure 0.00% (1.62%) Fixed Line Telecommunications 1.03% (0.00%) 1,918,637 BT Group 8, Mobile Telecommunications 0.00% (0.80%) Banks 0.00% (1.41%) Nonlife Insurance 2.04% (1.22%) 266,515 Aon 17, Total United Kingdom 59, UNITED STATES OF AMERICA 53.37% (55.22%) Oil & Gas Producers 0.81% (0.97%) 137,542 Occidental Petroleum 7, Oil Equipment, Services & 2.02% (1.99%) 465,919 Enterprise Products Partners 10, ,300 Halliburton 7, Chemicals 2.53% (2.32%) 114,807 Airgas 8, ,174 Praxair 13, Electronic & Electrical Equipment 3.63% (1.86%) 468,890 Amphenol 18, ,761 WESCO International 13, Industrial Transportation 1.70% (1.56%) 188,428 Union Pacific 14, Support Services 1.10% (1.96%) 109,440 Towers Watson & Co 9, Food Producers 0.92% (0.76%) 116,978 Mead Johnson Nutrition 7, Personal Goods 3.64% (2.11%) 319,109 Estee Lauder Companies Class C 17, ,107 Nike 13, Health Care Equipment & Services 3.24% (0.65%) 331,224 Express Scripts 18, ,712 Sirona Dental Systems 9, Pharmaceuticals & Biotechnology 8.94% (5.90%) 142,090 Amgen 14, ,584 Bristol-Myers Squibb 12, ,366 Gilead Sciences 19, ,791 Pfizer 15, ,292 Vertex Pharmaceuticals 15, General Retailers 1.18% (3.55%) 224,960 TJX Companies 10, Media 4.61% (4.69%) 453,782 Comcast 18, ,363 Walt Disney 21,

236 Threadneedle Global Select Fund Portfolio Statement Holding Investment UNITED STATES OF AMERICA 53.37% (55.22%) Travel & Leisure 3.53% (3.73%) 342,957 Hertz Global Holdings 5, ,247 Priceline Group 16, ,359 Sabre 8, Fixed Line Telecommunications 0.00% (0.44%) Banks 1.18% (2.70%) 249,207 JPMorgan Chase 10, Nonlife Insurance 0.56% (0.76%) 131,097 American International Group 4, Financial Services 5.02% (9.43%) 285,361 American Express 15, ,419 MasterCard Class A 16, ,451 Visa 'A' Shares 11, Software & Computer Services 5.23% (5.54%) 361,581 Facebook 19, ,966 Google 9, ,628 Google Class A 16, Technology Hardware & Equipment 3.53% (4.30%) 366,270 Apple 30, Total United States of America 460, DERIVATIVES 0.00% (0.00%) Forward Foreign Exchange Contracts 0.00% (0.00%) Sell USD 551,000 Buy GBP 359,751 Citigroup (3) Total Derivatives (3) Total value of investments 861, Net other assets (1.02%) 2, Net assets 863, March 2014 comparatives in brackets. 235

237 Threadneedle Global Bond Fund Portfolio Statement as at 7 March 2015 Holding Investment Holding Investment AUSTRALIA 1.33% (1.55%) Aaa 1.33% (1.55%) AUD 2,750,000 Australia Government Bond 2.75% 21/04/2024 1, AUD 3,000,000 Australia Government Bond 4.75% 15/06/2016 1, AUSTRIA 1.42% (1.70%) Aaa 0.00% (0.73%) Total Australia 3, AA+ 0.58% (0.00%) EUR 1,700,000 Hypo Alpe-Adria-Bank International 2.375% 13/12/2022 1, AA 0.00% (0.97%) BB+ 0.84% (0.00%) USD 2,750,000 UniCredit Bank Austria 7.25% 15/02/2017 1, Total Austria 3, BELGIUM 0.98% (3.02%) Not Rated 0.98% (3.02%) EUR 2,300,000 Belgium Government Bond 3% 22/06/2034 2, Total Belgium 2, BRITISH VIRGIN ISLANDS 0.29% (0.00%) AA 0.29% (0.00%) USD 1,025,000 Sinopec Capital % 24/04/ Total British Virgin Islands CANADA 4.83% (7.25%) AAA 0.69% (2.44%) CAD 2,700,000 Province of British Columbia 3.25% 18/12/2021 1, AA 2.96% (3.38%) USD 3,130,000 Province of Ontario Canada 2% 30/01/2019 2, USD 3,425,000 Province of Ontario Canada 2.5% 10/09/2021 2, CAD 2,875,000 Province of Ontario Canada 3.5% 02/06/2024 1, USD 1,000,000 Royal Bank of Canada 2.625% 15/12/ BBB+ 1.18% (1.43%) CAD 4,350,000 Bell Canada 3.6% 02/12/2015 2, USD 500,000 Thomson Reuters 1.3% 23/02/ CAYMAN ISLANDS 0.00% (0.58%) AA 0.00% (0.58%) CHILE 0.00% (0.26%) AA 0.00% (0.26%) Total Canada 10, Total Cayman Islands Total Chile EGYPT 0.00% (0.83%) BBB 0.00% (0.83%) FINLAND 0.00% (1.43%) Aaa 0.00% (1.43%) Total Egypt Total Finland FRANCE 0.89% (0.77%) Aa1u 0.89% (0.77%) EUR 2,300,000 France Government Bond OAT 2.5% 25/05/2030 2, GERMANY 3.17% (5.37%) AAA 0.00% (4.89%) Total France 2, Aaau 3.17% (0.48%) EUR 8,900,000 Bundesrepublik Deutschland 0.5% 15/02/2025 6, EUR 700,000 Bundesrepublik Deutschland 2.5% 04/07/ Total Germany 7, HONG KONG 0.56% (0.60%) A 0.56% (0.60%) USD 1,950,000 AIA Group 1.75% 13/03/2018 1, INDONESIA 0.00% (0.64%) BB+ 0.00% (0.64%) Total Hong Kong 1, Total Indonesia ITALY 5.71% (5.47%) Baa2u 4.31% (3.36%) EUR 5,000,000 Buoni Poliennali Del Tesoro 3.75% 01/05/2021 4, EUR 3,500,000 Italy Buoni Poliennali Del Tesoro 2.5% 01/12/2024 2, EUR 1,900,000 Italy Buoni Poliennali Del Tesoro 5% 01/08/2034 2, EUR 650,000 Italy Buoni Poliennali Del Tesoro 5% 01/09/ Not rated 1.40% (2.11%) EUR 4,200,000 Banca Monte dei Paschi di Siena 3.5% 20/03/2017 3, Total Italy 12, JAPAN 8.84% (10.15%) AA 0.68% (0.81%) CAD 2,850,000 Japan Bank for International Cooperation 2.3% 19/03/2018 1, Aa3 0.00% (9.34%) A1 8.16% (0.00%) JPY 200,000,000 Japan Government 0.8% 20/12/2022 1, JPY 875,000,000 Japan Government 1.9% 20/03/2025 5,

238 Threadneedle Global Bond Fund Portfolio Statement Holding Investment Holding Investment JAPAN 8.84% (10.15%) JPY 440,000,000 Japan Government 2% 20/03/2042 2, JPY 653,000,000 Japan Government 2.1% 20/03/2027 4, JPY 400,000,000 Japan Government 2.5% 20/09/2037 2, JPY 400,000,000 Japan Government Thirty Year Bond 1.5% 20/12/2044 2, Total Japan 20, JERSEY 0.59% (0.00%) A2 0.59% (0.00%) USD 2,000,000 HSBC Bank Middle East 3% 21/10/2015 1, LUXEMBOURG 0.51% (2.25%) AAA 0.00% (0.89%) Total Jersey 1, AA 0.51% (1.36%) EUR 1,600,000 European Financial Stability Facility 1.2% 17/02/2045 1, Total Luxembourg 1, MEXICO 2.66% (3.26%) BBB+ 2.66% (3.26%) EUR 2,200,000 Mexico Government International Bond 2.75% 22/04/2023 1, USD 2,100,000 Petroleos Mexicanos 5.75% 01/03/2018 1, AUD 5,200,000 Petroleos Mexicanos 6.125% 26/04/2017 2, Total Mexico 6, NETHERLANDS 1.16% (1.25%) AA+ 1.16% (1.25%) USD 4,000,000 Nederlandse Financierings Maatschappij voor Ontwikkelingslanden 1.5% 12/02/2018 2, Total Netherlands 2, NEW ZEALAND 4.60% (0.00%) AA+ 4.60% (0.00%) NZD 18,520,000 New Zealand Government Bond 5.5% 15/04/ , Total New Zealand 10, NORWAY 3.81% (4.25%) BBB 3.81% (0.00%) USD 10,600,000 Eksportfinans 2% 15/09/2015 6, USD 2,400,000 Eksportfinans 5.5% 26/06/2017 1, BB+ 0.00% (4.25%) Total Norway 8, PERU 0.22% (0.24%) BBB+ 0.22% (0.24%) USD 750,000 BBVA Banco Continental 2.25% 29/07/ Total Peru POLAND 0.49% (1.06%) A 0.49% (1.06%) USD 1,500,000 Poland Government International Bond 5% 23/03/2022 1, Total Poland 1, PORTUGAL 3.41% (2.72%) Ba1 3.41% (0.00%) EUR 2,370,000 Portugal Government International Bond 3.85% 15/04/2021 1, EUR 7,195,000 Portugal Obrigacoes do Tesouro OT 2.875% 15/10/2025 5, Ba3 0.00% (0.70%) BBu 0.00% (2.02%) Total Portugal 7, REPUBLIC OF IRELAND 0.32% (0.36%) A 0.32% (0.00%) EUR 915,000 Ireland Government Bond 2% 18/02/ BBB 0.00% (0.36%) ROMANIA 0.00% (0.71%) BB+ 0.00% (0.71%) RUSSIAN FEDERATION 0.00% (0.38%) BBB 0.00% (0.38%) SINGAPORE 0.23% (1.46%) AA 0.00% (1.21%) Total Republic of Ireland Total Romania Total Russian Federation BBB 0.23% (0.25%) USD 800,000 BOC Aviation 2.88% 10/10/ SLOVAKIA 0.00% (1.07%) A 0.00% (1.07%) Total Singapore Total Slovakia SLOVENIA 0.70% (0.45%) A 0.70% (0.45%) EUR 1,940,000 Slovenia Government Bond 3% 08/04/2021 1, Total Slovenia 1, SOUTH KOREA 2.23% (2.41%) A+ 2.23% (2.41%) USD 1,625,000 Export-Import Bank of Korea 1.25% 20/11/2015 1, USD 1,500,000 Export-Import Bank of Korea 2.88% 17/09/2018 1,

239 Threadneedle Global Bond Fund Portfolio Statement Holding Investment Holding Investment SOUTH KOREA 2.23% (2.41%) USD 1,200,000 Korea Development Bank 3.25% 09/03/ USD 850,000 Korea Finance 2.875% 22/08/ USD 716,000 Korea Midland Power 2.75% 11/02/ USD 1,650,000 Korea Western Power 2.875% 10/10/2018 1, Total South Korea 5, SPAIN 6.11% (4.18%) BBB 6.11% (0.00%) USD 4,500,000 Instituto de Credito Oficial 5% 14/11/2016 3, EUR 1,099,000 Spain Government Bond 1.6% 30/04/ EUR 1,650,000 Spain Government Bond 1.95% 30/07/2030 1, EUR 1,100,000 Spain Government Bond 5.15% 31/10/2044 1, EUR 7,705,000 Spain Government Bond 5.85% 31/01/2022 7, BBB 0.00% (4.18%) SRI LANKA 0.00% (0.48%) B+ 0.00% (0.48%) Total Spain 13, Total Sri Lanka SUPRANATIONAL 2.67% (0.00%) AA 1.06% (0.00%) AUD 4,600,000 International Finance Facility for Immunisation 5.75% 08/12/2015 2, AA 0.56% (0.00%) EUR 1,649,000 Andina de Fomento 1.875% 29/05/2021 1, Baa2 1.05% (0.00%) USD 3,500,000 African Export-Import Bank 5.75% 27/07/2016 2, Total Supranational 6, SWEDEN 1.14% (1.24%) Aaa 1.14% (1.24%) USD 3,800,000 Kommuninvest I Sverige 2.88% 31/05/2018 2, TURKEY 0.00% (0.42%) Baa3 0.00% (0.42%) Total Sweden 2, Total Turkey UNITED ARAB EMIRATES 2.13% (1.51%) A2 1.40% (1.51%) USD 4,750,000 First Gulf Bank 2.86% 09/10/2017 3, Baa1 0.73% (0.00%) USD 2,485,000 Emirates NBD PJSC 3.25% 19/11/2019 1, Total United Arab Emirates 4, UNITED KINGDOM 9.74% (9.01%) AA+ 0.00% (5.32%) Aa1u 7.84% (0.00%) GBP 2,825,000 United Kingdom Gilt 2% 22/01/2016 2, GBP 5,325,000 United Kingdom Gilt 2.75% 07/09/2024 5, GBP 1,275,000 United Kingdom Gilt 3.25% 22/01/2044 1, GBP 475,000 United Kingdom Gilt 3.5% 22/01/ GBP 1,620,000 United Kingdom Gilt 3.5% 22/07/2068 2, GBP 1,800,000 United Kingdom Gilt 4.25% 07/12/2027 2, GBP 2,250,000 United Kingdom Gilt 4.5% 07/09/2034 2, A 0.29% (1.44%) USD 1,000,000 BP Capital Markets 2.24% 26/09/ A2 0.00% (0.64%) BBB+ 0.00% (1.20%) BBB 0.00% (0.41%) BBB 1.61% (0.00%) USD 1,750,000 Nationwide Building Society 5% 01/08/2015 1, USD 3,750,000 Royal Bank of Scotland 2.55% 18/09/2015 2, Total United Kingdom 22, UNITED STATES OF AMERICA 23.86% (20.23%) AA+ 1.24% (11.26%) USD 4,175,000 General Electric Capital 2.95% 09/05/2016 2, AA 2.40% (1.43%) CAD 5,150,000 International Business Machines 2.2% 10/02/2017 2, USD 3,825,000 Port Authority of New York & New Jersey 4.458% 01/10/2062 2, A+ 0.40% (0.74%) USD 1,350,000 Oracle 2.375% 15/01/ A 1.73% (2.15%) USD 2,000,000 Citigroup 2.5% 29/07/2019 1, USD 2,000,000 Goldman Sachs Group 3.7% 01/08/2015 1, USD 1,925,000 *Morgan Stanley FRN 15/10/2015 1, BBB+ 2.73% (3.56%) USD 2,210,000 AT&T 2.38% 27/11/2018 1, CAD 700,000 AT&T 3.825% 25/11/ USD 400,000 Huntington National Bank 1.3% 20/11/ USD 1,650,000 Huntington National Bank 2.2% 01/04/2019 1, USD 1,675,000 Kellogg 1.75% 17/05/2017 1, USD 1,625,000 McKesson 2.284% 15/03/2019 1, USD 1,244,000 Verizon Communications 2.625% 21/02/ BBB 0.68% (0.00%) USD 903,000 DTE Energy 2.4% 01/12/ USD 1,450,000 FedEx 2.3% 01/02/

240 Threadneedle Global Bond Fund Portfolio Statement Holding Investment Investment UNITED STATES OF AMERICA 23.86% (20.23%) Not rated 14.68% (1.09%) USD 8,275,000 United States Treasury Note/Bond 0.25% 15/10/2015 5, USD 6,000,000 United States Treasury Note/Bond 0.88% 15/09/2016 3, USD 4,675,000 United States Treasury Note/Bond 1.75% 15/05/2023 3, USD 3,975,000 United States Treasury Note/Bond 2.25% 15/11/2024 2, USD 4,025,000 United States Treasury Note/Bond 2.375% 15/08/2024 2, USD 5,675,000 United States Treasury Note/Bond 2.5% 15/05/2024 3, USD 1,425,000 United States Treasury Note/Bond 2.875% 15/05/ USD 1,650,000 United States Treasury Note/Bond 3% 15/11/2044 1, USD 2,675,000 United States Treasury Note/Bond 3.125% 15/08/2044 1, USD 5,000,000 United States Treasury Note/Bond 3.375% 15/05/2044 3, USD 1,300,000 United States Treasury Note/Bond 3.5% 15/02/ USD 1,025,000 United States Treasury Note/Bond 3.625% 15/02/ USD 1,150,000 United States Treasury Note/Bond 5.375% 15/02/2031 1, USD 1,125,000 United States Treasury Note/Bond 6.25% 15/05/2030 1, Total United States of America 54, DERIVATIVES 0.14% ( 0.19%) Forward Foreign Exchange Contracts 0.12% ( 0.19%) Sell USD 7,501,879 Buy EUR 6,621,872 J.P. Morgan (170) (0.07) Sell USD 11,470,115 Buy GBP 7,428,847 J.P. Morgan (131) (0.06) Sell USD 48,418,743 Buy JPY 5,786,099,791 HSBC (141) (0.06) Sell GBP 1,100,000 Buy USD 1,695,841 Bank of Scotland Sell CAD 14,325,932 Buy USD 11,341,165 Bank of Scotland (96) (0.04) Sell GBP 7,996,741 Buy USD 12,346,941 J.P. Morgan Sell AUD 16,198,559 Buy USD 12,543,808 RBC (58) (0.03) Sell NZD 20,757,089 Buy USD 15,417,185 J.P. Morgan (32) (0.01) Sell EUR 6,980,749 Buy USD 7,908,449 J.P. Morgan ANALYSIS OF INVESTMENTS BY ASSET CLASS Fixed interest 214, Floating rate notes 1, Derivatives (340) (0.16) Total value of investments 214, ANALYSIS OF INVESTMENTS BY CREDIT RATINGS AAA 1,577 Aaa 5,627 Aaau 7,221 AA+ 17,246 Aa1u 19,860 AA 3,569 AA 15,705 A+ 5,977 A1 18,572 A 2,658 A2 4,529 A 6,652 BBB+ 15,441 Baa1 1,660 BBB 15,469 Baa2 2,394 Baa2u 9,799 BBB 12,867 BB+ 1,926 Ba1 7,751 Not rated 38,799 Total bonds 215,299 Derivatives (340) Total value of investments 214,959 ANALYSIS OF COLLATERAL RECEIVED Counterparty Type J.P. Morgan Cash 130 Total collateral 130 ANALYSIS OF UNDERLYING EXPOSURE FUTURES AND OPTIONS UBS EURO Buxl 30 Year Future Expiring June 2015 (3,846) UBS US 5 Year Note Future Expiring June 2015 (9,567) Total net exposure (13,413) March 2014 comparatives in brackets. *Variable rate bonds Futures and Options 0.02% (0.00%) EUR (32,000) UBS EURO Buxl 30 Year Future Expiring June 2015 (53) (0.02) USD (122,000) UBS US 5 Year Note Future Expiring June Total Derivatives (340) (0.14) Total value of investments 214, Net other assets (1.63%) 12, Net assets 227,

241 Threadneedle UK Institutional Fund Portfolio Statement as at 7 March 2015 Holding Investment Holding Investment OIL & GAS 8.06% (11.69%) Oil & Gas Producers 6.95% (9.46%) 2,548,525 BG Group 23, ,201,064 BP 18, ,037,861 Faroe Petroleum ,316,646 Royal Dutch Shell B Shares 28, ,187 Tullow Oil Oil Equipment, Services & 1.11% (2.23%) 266,222 Hunting 1, ,515,270 John Wood Group 10, Total Oil & Gas 83, BASIC MATERIALS 5.50% (7.78%) Chemicals 2.30% (3.92%) 1,348,260 Elementis 3, ,871 Johnson Matthey 16, ,466 Victrex 3, Industrial Metals & Mining 0.00% (0.66%) Mining 3.20% (3.20%) 534,657 Anglo American 6, ,991 Petra Diamonds ,037 Rio Tinto 26, Total Basic Materials 56, INDUSTRIALS 14.51% (16.97%) Construction & Materials 0.73% (0.68%) 6,076,657 Breedon Aggregates 2, ,772 Costain Group 1, ,749 Keller Group 1, ,850 Marshalls 1, ,283 Tyman 1, Aerospace & Defence 4.49% (3.79%) 73,821 Avon Rubber ,373,061 BAE Systems 18, ,351 Meggitt 1, ,580 QinetiQ Group 1, ,958,095 Rolls-Royce Holdings 19, ,578 Senior 3, ,949 Ultra Electronics Holdings 2, General Industrials 1.20% (1.54%) 364,035 RPC Group 2, ,711 Smiths Group 10, Electronic & Electrical Equipment 0.59% (0.62%) 200,181 Domino Printing Sciences 1, ,196 Oxford Instruments 1, ,943 Renishaw 2, Industrial Engineering 2.35% (2.76%) 506,732 Fenner 1, ,574 IMI 10, ,105,057 Melrose Industries 11, ,420,831 *Melrose Industries B/C Shares 1,123,109 Severfield Industrial Transportation 0.13% (0.67%) 39,787 Clarkson ,259 James Fisher & Sons Support Services 5.02% (6.91%) 227,662 Brammer ,940 Diploma 2, ,718,767 G4S 8, ,486,778 Hays 2, ,099 Mears Group 1, ,165 Northgate 1, ,487 Optimal Payments ,778 PayPoint 1, ,236,439 Rentokil Initial 11, ,280 Ricardo ,970 RPS Group 1, ,721 SIG ,254 Wolseley 16, ,244 WS Atkins 1, ,419 Xchanging Total Industrials 149, CONSUMER GOODS 17.52% (13.29%) Automobiles & Parts 1.71% (2.06%) 4,888,892 GKN 17, Beverages 1.75% (1.89%) 866,518 Diageo 16, ,927 Stock Spirits Group 1, Food Producers 0.00% (0.11%) Household Goods & Home Construction 3.77% (3.44%) 236,349 Bovis Homes Group 2, ,621 Crest Nicholson Holdings 2, ,683 Galliford Try 1, ,248 Persimmon 10, ,546 Reckitt Benckiser Group 22, Leisure Goods 0.05% (0.00%) 339,545 Photo-Me International Personal Goods 4.21% (2.49%) 685,602 Burberry Group 12, ,376 Ted Baker 3, ,730 Unilever 27, Tobacco 6.03% (3.30%) 939,387 British American Tobacco 36, ,304 Imperial Tobacco Group 25, Total Consumer Goods 180, HEALTH CARE 9.41% (8.73%) Health Care Equipment & Services 1.80% (1.69%) 153,427 Consort Medical 1, ,005 Optos 2, ,302,263 Smith & Nephew 15, Pharmaceuticals & Biotechnology 7.61% (7.04%) 646,923 AstraZeneca 28, ,691 Dechra Pharmaceuticals 3, ,825 Genus 1, ,884,829 GlaxoSmithKline 44, Total Health Care 97,

242 Threadneedle UK Institutional Fund Portfolio Statement Holding Investment Holding Investment CONSUMER SERVICES 15.02% (13.51%) Food & Drug Retailers 2.31% (0.89%) 7,931,267 Booker Group 12, ,326,376 WM Morrison Supermarkets 10, General Retailers 0.71% (0.60%) 78,022 Dignity 1, ,964 Lookers 1, ,743 N Brown Group 3, ,457 Pets at Home Group 1, Media 6.18% (4.57%) 800,740 Daily Mail & General Trust 6, ,499 Entertainment One ,342 Euromoney Institutional Investor 2, ,976 ITE Group 1, ,588,603 ITV 11, ,809 Moneysupermarket.com Group ,406,330 Pearson 20, ,528,639 Reed Elsevier 17, ,565 STV Group ,372 UTV Media 1, ,525 Wilmington Group Travel & Leisure 5.82% (7.45%) 1,387,569 Compass Group 16, ,077 Flybe Group ,751 Fuller Smith & Turner ,579 Go-Ahead Group 1, ,148 Greene King 2, ,383 InterContinental Hotels Group 9, ,799 J D Wetherspoon 2, ,981,892 Merlin Entertainments 12, ,182 National Express Group 1, ,540 Rank Group 1, ,774 Restaurant Group 1, ,974,940 Spirit Pub 2, ,175,727 Stagecoach Group 7, Total Consumer Services 155, TELECOMMUNICATIONS 3.55% (4.87%) Fixed Line Telecommunications 3.55% (3.66%) 7,933,760 BT Group 36, UTILITIES 1.90% (1.73%) Mobile Telecommunications 0.00% (1.21%) Total Telecommunications 36, Gas, Water & Multiutilities 1.90% (1.73%) 4,322,144 Centrica 10, ,088,923 Pennon Group 8, Total Utilities 19, FINANCIALS 18.35% (17.13%) Banks 4.54% (4.72%) 4,116,150 Barclays 10, ,391,987 HSBC Holdings 24, ,481 Secure Trust Bank 1, ,180 Standard Chartered 8, ,392 Virgin Money Holdings UK Nonlife Insurance 1.05% (1.02%) 2,575,843 RSA Insurance Group 10, Life Insurance 5.30% (5.10%) 2,615,023 Aviva 14, ,613,563 Legal & General Group 26, ,378,762 St James s Place 13, Real Estate Investment & Services 0.39% (0.35%) 106,089 Countrywide ,466 Development Securities 1, ,492 Savills 1, Real Estate Investment Trusts 1.71% (1.35%) 332,588 Derwent London 11, ,532,718 Hansteen Holdings 1, ,103,254 Londonmetric Property 1, ,855 Shaftesbury 2, Financial Services 3.39% (2.84%) 334,692 Intermediate Capital Group 1, ,488 International Personal Finance 1, ,088 IP Group 2, ,919 London Stock Exchange Group 16, ,008 Rathbone Brothers 2, ,118 Schroders 2, ,535 Schroders Non-voting 7, ,268 SVG Capital 1, Equity Investment Instruments 0.00% (0.00%) 3,346,750 Govett Strategic Investment Trust (Liquidated) Nonequity Investment Instruments 1.97% (1.75%) 9,000,000 Threadneedle Specialist Investment Funds UK Mid 250 Fund 20, Total Financials 189, TECHNOLOGY 3.48% (2.95%) Software & Computer Services 2.96% (2.58%) 761,446 Anite ,294 AVEVA Group 5, ,392 FDM Group Holdings 1, ,805 Fidessa Group 2, ,324 Micro Focus International ,970,827 Sage Group 19, Technology Hardware & Equipment 0.52% (0.37%) 393,551 CSR 3, ,387 Pace ,752,226 Spirent Communications 1, Total Technology 35, Total value of investments 1,004, Net other assets (1.35%) 27, Net assets 1,032, March 2014 comparatives in brackets. Alternative Investment Market. *The value has been recognised as a capital gain and included within the Net capital gains note. 241

243 Threadneedle UK Overseas Earnings Fund Portfolio Statement as at 7 March 2015 Holding Investment Holding Investment OIL & GAS 6.44% (5.70%) Oil & Gas Producers 4.81% (5.70%) 244,606 BG Group 2, ,055 Royal Dutch Shell B Shares 3, Oil Equipment, Services & 1.63% (0.00%) 295,320 John Wood Group 1, Total Oil & Gas 7, BASIC MATERIALS 5.41% (4.59%) Chemicals 2.09% (2.10%) 74,873 Johnson Matthey 2, Mining 3.32% (2.49%) 54,518 Anglo American ,948 Rio Tinto 3, Total Basic Materials 6, INDUSTRIALS 14.80% (19.89%) Aerospace & Defence 3.72% (4.95%) 417,236 BAE Systems 2, ,432 Rolls-Royce Holdings 2, General Industrials 3.21% (3.36%) 686,361 DS Smith 2, ,889 Smiths Group 1, Electronic & Electrical Equipment 0.90% (1.27%) 321,156 Morgan Advanced Materials 1, Industrial Engineering 2.27% (2.76%) 91,907 IMI 1, ,738 Melrose Industries 1, ,257 *Melrose Industries B/C shares Support Services 4.70% (7.55%) 428,981 Electrocomponents 1, ,259 Michael Page International ,524,018 Rentokil Initial 2, ,371 Wolseley 2, Total Industrials 17, CONSUMER GOODS 17.52% (12.62%) Automobiles & Parts 1.91% (2.04%) 641,907 GKN 2, Beverages 2.09% (0.00%) 130,198 Diageo 2, Household Goods & Home Construction 2.26% (2.08%) 46,985 Reckitt Benckiser Group 2, Personal Goods 4.88% (3.57%) 66,541 Burberry Group 1, ,647 Unilever 4, Tobacco 6.38% (4.93%) 96,163 British American Tobacco 3, ,912 Imperial Tobacco Group 3, Total Consumer Goods 21, HEALTH CARE 8.31% (8.56%) Pharmaceuticals & Biotechnology 8.31% (8.56%) 101,606 AstraZeneca 4, ,463 GlaxoSmithKline 5, Total Health Care 10, CONSUMER SERVICES 20.90% (22.43%) Food & Drug Retailers 3.19% (4.97%) 1,558,503 Booker Group 2, ,046 WM Morrison Supermarkets 1, General Retailers 2.46% (2.54%) 641,303 Home Retail Group 1, ,541 Marks & Spencer Group 1, Media 8.52% (7.17%) 142,965 Daily Mail & General Trust 1, ,427 ITV 2, ,866 Pearson 3, ,988 Reed Elsevier 3, Travel & Leisure 6.73% (7.75%) 247,276 Compass Group 2, ,873 Firstgroup ,918 J D Wetherspoon 1, ,596 Rank Group 1, ,154 Stagecoach Group 1, Total Consumer Services 25, TELECOMMUNICATIONS 5.19% (4.87%) Fixed Line Telecommunications 5.19% (4.87%) 1,184,038 BT Group 5, ,384 Colt Group Total Telecommunications 6, UTILITIES 2.50% (2.86%) Gas, Water & Multiutilities 2.50% (2.86%) 517,026 Centrica 1, ,090 Pennon Group 1, Total Utilities 3, FINANCIALS 14.56% (14.63%) Banks 1.28% (1.46%) 273,017 HSBC Holdings 1, Nonlife Insurance 1.77% (1.47%) 509,838 RSA Insurance Group 2, Life Insurance 5.85% (5.58%) 443,551 Aviva 2, ,631,782 Legal & General Group 4, Financial Services 5.66% (6.12%) 609,249 3i Group 3, ,725 Schroders Non-voting 2, ,549,692 Sherborne Investors Guernsey B 1, Total Financials 17,

244 Threadneedle UK Overseas Earnings Fund Portfolio Statement Holding Investment TECHNOLOGY 2.71% (3.48%) Software & Computer Services 2.71% (2.37%) 666,177 Sage Group 3, Technology Hardware & Equipment 0.00% (1.11%) Total Technology 3, Total value of investments 119, Net other assets (0.37%) 2, Net assets 121, March 2014 comparatives in brackets. *The value has been recognised as a capital gain and included within the Net capital gains note. 243

245 Comparative Tables Net asset value of share class Net asset value per share Shares in issue Calendar Year Net income per share p Highest share price p Lowest share price p UK Fund for the year ended 7 March 2013 Class 1 Net income shares 590, p 578,686,737 Class 2 Net income shares 493, p 483,623,191 Class 2 Net accumulation shares 111, p 159,304,017 Class Z Net income shares 6, p 5,681,304 Class Z Net accumulation shares p 317,351 for the year ended 7 March 2014 Class 1 Net income shares 707, p 608,957,463 Class 2 Net income shares 439, p 377,553,991 Class 2 Net accumulation shares 132, p 163,110,250 Class Z Net income shares 405, p 317,096,190 Class Z Net accumulation shares 148, p 112,647,147 for the year ended 7 March 2015 Class 1 Net income shares 616, p 500,868,365 Class 1 Net accumulation shares p 200,988 Class 2 Net income shares 350, p 284,540,421 Class 2 Net accumulation shares 239, p 273,106,637 Class Z Net income shares 490, p 362,308,892 Class Z Net accumulation shares 271, p 190,059,227 UK Select Fund for the year ended 7 March 2013 Class 1 Net income shares 142, p 152,398,965 Class 2 Net income shares 77, p 82,118,763 Class Z Net income shares p 445,797 for the year ended 7 March 2014 Class 1 Net income shares 134, p 123,737,256 Class 2 Net income shares 70, p 64,219,442 Class Z Net income shares 3, p 2,587,389 for the year ended 7 March 2015 Class 1 Net income shares 131, p 111,407,468 Class 2 Net income shares 74, p 62,577,176 Class Z Net income shares 10, p 7,113, Class 1 Net income shares Class 2 Net income shares Class 2 Net accumulation shares Class 1 Net income shares Class 2 Net income shares Class 2 Net accumulation shares Class 1 Net income shares Class 2 Net income shares Class 2 Net accumulation shares *Class Z Net income shares Class Z Net accumulation shares Class 1 Net income shares Class 2 Net income shares Class 2 Net accumulation shares Class Z Net income shares Class Z Net accumulation shares Class 1 Net income shares Class 1 Net accumulation shares Class 2 Net income shares Class 2 Net accumulation shares Class Z Net income shares Class Z Net accumulation shares Class 1 Net income shares Class 1 Net accumulation shares Class 2 Net income shares Class 2 Net accumulation shares Class Z Net income shares Class Z Net accumulation shares To 7 March 2015 Class 2 Net accumulation shares commenced 31 March 2010 *Class Z Net income shares commenced 19 September 2012 Class Z Net accumulation shares commenced 19 September 2012 Class 1 Net accumulation shares commenced 11 September Class 1 Net income shares Class 2 Net income shares Class 1 Net income shares Class 2 Net income shares Class 1 Net income shares Class 2 Net income shares Class Z Net income shares Class 1 Net income shares Class 2 Net income shares Class Z Net income shares Class 1 Net income shares Class 2 Net income shares Class Z Net income shares Class 1 Net income shares Class 2 Net income shares Class Z Net income shares To 7 March 2015 Class Z Net income shares commenced 28 September

246 Comparative Tables Net asset value of share class Net asset value per share Shares in issue Calendar Year Net income per share p Highest share price p Lowest share price p UK Smaller Companies Fund for the year ended 7 March 2013 Class 1 Net income shares 85, p 50,681,366 Class 2 Net income shares 65, p 38,471,636 Class Z Net income shares p 28,974 for the year ended 7 March 2014 Class 1 Net income shares 86, p 40,903,077 Class 2 Net income shares 85, p 39,853,222 Class Z Net income shares 1, p 998,159 Class Z Net accumulation shares p 27,938 for the year ended 7 March 2015 Class 1 Net income shares 44, p 20,650,297 Class 2 Net income shares 70, p 32,348,206 Class Z Net income shares 7, p 5,259,328 Class Z Net accumulation shares 22, p 18,276,580 UK Growth & Income Fund for the year ended 7 March 2013 Class 1 Net income shares 190, p 265,261,204 Class 2 Net income shares 38, p 50,015,309 Class Z Net income shares p 78,747 for the year ended 7 March 2014 Class 1 Net income shares 253, p 300,512,522 Class 2 Net income shares 36, p 39,749,740 Class Z Net income shares 13, p 10,091,720 for the year ended 7 March 2015 Class 1 Net income shares 224, p 257,729,631 Class 2 Net income shares 53, p 55,692,863 Class Z Net income shares 39, p 28,651, Class 1 Net income shares Class 2 Net income shares Class 1 Net income shares Class 2 Net income shares Class 1 Net income shares Class 2 Net income shares Class Z Net income shares Class 1 Net income shares Class 2 Net income shares Class Z Net income shares * Class Z Net accumulation shares Class 1 Net income shares Class 2 Net income shares Class Z Net income shares Class Z Net accumulation shares Class 1 Net income shares Class 2 Net income shares Class Z Net income shares Class Z Net accumulation shares To 7 March 2015 Class Z Net income shares commenced 5 October 2012 * Class Z Net accumulation shares commenced 26 September Class 1 Net income shares Class 2 Net income shares Class 1 Net income shares Class 2 Net income shares Class 1 Net income shares Class 2 Net income shares Class Z Net income shares Class 1 Net income shares Class 2 Net income shares Class Z Net income shares Class 1 Net income shares Class 2 Net income shares Class Z Net income shares Class 1 Net income shares Class 2 Net income shares Class Z Net income shares To 7 March 2015 Class Z Net income shares commenced 28 September

247 Comparative Tables Net asset value of share class Net asset value per share Shares in issue Calendar Year Net income per share p Highest share price p Lowest share price p UK Equity Income Fund for the year ended 7 March 2013 Class 1 Net income shares 1,018, p 1,350,156,275 Class 1 Net accumulation shares 111, p 128,235,670 Class 2 Net income shares 581, p 710,378,329 Class Z Net income shares 135, p 125,585,388 Class Z Net accumulation shares 7, p 6,385,978 for the year ended 7 March 2014 Class 1 Net income shares 1,093, p 1,230,902,777 Class 1 Net accumulation shares 170, p 160,433,989 Class 2 Net income shares 688, p 710,256,326 Class Z Net income shares 581, p 453,054,613 Class Z Net accumulation shares 147, p 108,759,279 for the year ended 7 March 2015 Class 1 Net income shares 861, p 928,109,075 Class 1 Net accumulation shares 187, p 162,067,425 Class 1 CHF Hedged Net accumulation shares p 20,001 Class 1 EUR Hedged Net accumulation shares p 167,920 Class 1 USD Hedged Net accumulation shares p 253,636 Class 2 Net income shares 657, p 645,557,387 Class X Net Income Shares p 88,576 Class Z Net income shares 1,232, p 911,462,315 Class Z Net accumulation shares 474, p 319,073,132 Class Z CHF Hedged Net accumulation shares 2, p 2,490,585 Class Z EUR Hedged Net accumulation shares 3, p 3,902,389 Class Z USD Hedged Net accumulation shares 1, p 889,669 UK Monthly Income Fund for the year ended 7 March 2013 Class 1 Net income shares 575, p 886,924,151 Class Z Net income shares 2, p 2,575,315 for the year ended 7 March 2014 Class 1 Net income shares 620, p 833,076,404 Class 2 Net income shares p 32,883 Class Z Net income shares 35, p 28,113,649 for the year ended 7 March 2015 Class 1 Net income shares 584, p 748,453,204 Class 2 Net income shares p 84,986 Class Z Net income shares 88, p 66,279, Class 1 Net income shares Class 1 Net accumulation shares Class 2 Net income shares Class 1 Net income shares Class 1 Net accumulation shares Class 2 Net income shares Class 1 Net income shares Class 1 Net accumulation shares Class 2 Net income shares *Class Z Net income shares Class Z Net accumulation shares Class 1 Net income shares Class 1 Net accumulation shares Class 2 Net income shares Class Z Net income shares Class Z Net accumulation shares Class 1 Net income shares Class 1 Net accumulation shares **Class 1 CHF Hedged Net accumulation shares Class 1 EUR Hedged Net accumulation shares *** Class 1 USD Hedged Net accumulation shares Class 2 Net income shares ***** Class X Net Income Shares Class Z Net income shares Class Z Net accumulation shares Class Z CHF Hedged Net accumulation shares ****Class Z EUR Hedged Net accumulation shares Class Z USD Hedged Net accumulation shares Class 1 Net income shares Class 1 Net accumulation shares Class 1 CHF Hedged Net accumulation shares Class 1 EUR Hedged Net accumulation shares Class 1 USD Hedged Net accumulation shares Class 2 Net income shares Class X Net Income Shares Class Z Net income shares Class Z Net accumulation shares Class Z CHF Hedged Net accumulation shares Class Z EUR Hedged Net accumulation shares Class Z USD Hedged Net accumulation shares To 7 March 2015 *Class Z Net income shares commenced 14 September Class Z Net accumulation shares commenced 14 September **Class 1 CHF Hedged Net accumulation shares commenced 3 April Class 1 EUR Hedged Net accumulation shares commenced 3 April ***Class 1 USD Hedged Net accumulation shares commenced 3 April Class Z CHF Hedged Net accumulation shares commenced 3 April ****Class Z EUR Hedged Net accumulation shares commenced 3 April Class Z USD Hedged Net accumulation shares commenced 3 April *****Class X Net income shares commenced 28 July Class 1 Net income shares Class 1 Net income shares Class 1 Net income shares Class Z Net income shares Class 1 Net income shares *Class 2 Net income shares Class Z Net income shares Class 1 Net income shares Class 2 Net income shares Class Z Net income shares Class 1 Net income shares Class 2 Net income shares Class Z Net income shares To 7 March 2015 Class Z Net income shares commenced 21 September 2012 * Class 2 Net income shares commenced 24 September

248 Comparative Tables Net asset value of share class Net asset value per share Shares in issue Calendar Year Net income per share p Highest share price p Lowest share price p Monthly Extra Income Fund for the year ended 7 March 2013 Class 1 Net income shares 160, p 245,073,969 Class Z Net income shares 1, p 1,691,471 for the year ended 7 March 2014 Class 1 Net income shares 177, p 238,284,418 Class Z Net income shares 39, p 31,438,007 for the year ended 7 March 2015 Class 1 Net income shares 178, p 229,718,845 Class Z Net income shares 176, p 134,474,952 Class Z Net accumulation shares 19, p 17,562,842 UK Corporate Bond Fund for the year ended 7 March 2013 Class 1 Net income shares 95, p 168,684,504 Class 1 Gross income shares 23, p 41,478,955 Class 2 Net income shares 183, p 325,145,532 Class 2 Gross accumulation shares 437, p 479,959,272 for the year ended 7 March 2014 Class 1 Net income shares 74, p 131,567,081 Class 1 Gross income shares 11, p 20,191,557 Class 2 Net income shares 163, p 290,706,242 Class 2 Gross accumulation shares 421, p 444,350,002 for the year ended 7 March 2015 Class 1 Net income shares 68, p 116,660,630 Class 1 Gross income shares 14, p 24,003,177 Class 2 Net income shares 186, p 315,886,273 Class 2 Gross accumulation shares 468, p 453,086,380 Class X Gross income Shares p 130,316 Only available to eligible investors 2010 Class 1 Net income shares Class 1 Net income shares Class 1 Net income shares Class Z Net income shares Class 1 Net income shares Class Z Net income shares Class 1 Net income shares Class Z Net income shares *Class Z Net accumulation shares Class 1 Net income shares Class Z Net income shares Class Z Net accumulation shares To 7 March 2015 Class Z Net income shares commenced 3 October 2012 *Class Z Net accumulation shares commenced 20 August Class 1 Net income shares Class 1 Gross income shares Class 2 Net income shares Class 2 Gross accumulation shares Class 1 Net income shares Class 1 Gross income shares Class 2 Net income shares Class 2 Gross accumulation shares Class 1 Net income shares Class 1 Gross income shares Class 2 Net income shares Class 2 Gross accumulation shares Class 1 Net income shares Class 1 Gross income shares Class 2 Net income shares Class 2 Gross accumulation shares Class 1 Net income shares Class 1 Gross income shares Class 2 Net income shares Class 2 Gross accumulation shares *Class X Gross income Shares Class 1 Net income shares Class 1 Gross income shares Class 2 Net income shares Class 2 Gross accumulation shares Class X Gross income Shares To 7 March 2015 *Class X Gross income shares commenced 28 July

249 Comparative Tables Net asset value of share class Net asset value per share Shares in issue Calendar Year Net income per share p Highest share price p Lowest share price p Sterling Bond Fund for the year ended 7 March 2013 Class 1 Net income shares 135, p 259,112,866 Class 1 Gross accumulation shares 45, p 43,781,257 Class Z Net income shares p 28,075 Class Z Gross accumulation shares p 3,001 for the year ended 7 March 2014 Class 1 Net income shares 90, p 180,274,502 Class 1 Gross accumulation shares 45, p 44,840,806 Class Z Net income shares p 494,034 Class Z Gross accumulation shares p 56,431 for the year ended 7 March 2015 Class 1 Net income shares 85, p 159,993,721 Class 1 Gross accumulation shares 52, p 47,358,734 Class X Gross income shares p 31,982 Class Z Net income shares 5, p 5,084,545 Class Z Gross accumulation shares p 176,506 Only available to eligible investors Sterling Fund for the year ended 7 March 2013 Class 1 Net income shares 223, p 224,064,688 for the year ended 7 March 2014 Class 1 Net income shares 234, p 235,264,554 for the year ended 7 March 2015 Class 1 Net income shares 160, p 160,468,613 European Fund for the year ended 7 March 2013 Class 1 Net accumulation shares 262, p 165,739,928 Class 2 Net accumulation shares 262, p 151,369,365 Class Z Net accumulation shares p 210,398 for the year ended 7 March 2014 Class 1 Net accumulation shares 272, p 162,473,891 Class 2 Net accumulation shares 289, p 156,715,298 Class Z Net income shares p 1,000 Class Z Net accumulation shares 5, p 3,947,309 for the year ended 7 March 2015 Class 1 Net accumulation shares 306, p 169,975,215 Class 2 Net accumulation shares 345, p 173,194,071 Class Z Net income shares p 136,965 Class Z Net accumulation shares 11, p 8,245, Class 1 Net income shares Class 1 Gross accumulation shares Class 1 Net income shares Class 1 Gross accumulation shares Class 1 Net income shares Class 1 Gross accumulation shares Class Z Net income shares *Class Z Gross accumulation shares Class 1 Net income shares Class 1 Gross accumulation shares Class Z Net income shares Class Z Gross accumulation shares Class 1 Net income shares Class 1 Gross accumulation shares Class X Gross income shares Class Z Net income shares Class Z Gross accumulation shares Class 1 Net income shares Class 1 Gross accumulation shares Class X Gross income shares Class Z Net income shares Class Z Gross accumulation shares To 7 March 2015 Class Z Net income shares commenced 12 October 2012 *Class Z Gross accumulation shares commenced 12 October 2012 Class X Gross income shares commenced 28 July Class 1 Net income shares Class 1 Net income shares Class 1 Net income shares Class 1 Net income shares Class 1 Net income shares Class 1 Net income shares To 7 March Class 1 Net accumulation shares Class 2 Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class Z Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares *Class Z Net income shares Class Z Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class Z Net income shares Class Z Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class Z Net income shares Class Z Net accumulation shares To 7 March 2015 Class Z Net accumulation shares commenced 28 September 2012 *Class Z Net income shares commenced 20 September

250 Comparative Tables Net asset value of share class Net asset value per share Shares in issue Calendar Year Net income per share p Highest share price p Lowest share price p European Select Fund for the year ended 7 March 2013 Class 1 Net accumulation shares 1,130, p 583,822,651 Class 2 Net income shares 365, p 285,272,052 Class 2 Net accumulation shares 422, p 199,389,663 Class Z Net accumulation shares 14, p 11,975,115 for the year ended 7 March 2014 Class 1 Net accumulation shares 1,100, p 538,749,897 Class 1 SGD Hedged Net accumulation shares 1, p 1,331,868 Class 2 Net income shares 210, p 157,760,387 Class 2 Net accumulation shares 747, p 332,024,578 Class Z Net income shares 6, p 6,111,317 Class Z Net accumulation shares 194, p 149,872,277 for the year ended 7 March 2015 Class 1 Net accumulation shares 1,049, p 464,997,789 Class 1 SGD Hedged Net accumulation shares 3, p 2,499,783 Class 1 USD Hedged Net accumulation shares p 193,240 Class 2 Net income shares 214, p 147,035,940 Class 2 Net accumulation shares 746, p 298,693,791 Class 2 USD Hedged Net accumulation shares 4, p 3,889,575 Class Z Net income shares 35, p 30,803,828 Class Z Net accumulation shares 537, p 371,253,438 European Smaller Companies Fund for the year ended 7 March 2013 Class 1 Net income shares 28, p 6,229,337 Class 1 Net accumulation shares 909, p 199,645,365 Class 2 Net accumulation shares 506, p 101,767,574 Class Z Net accumulation shares 6, p 5,803,870 for the year ended 7 March 2014 Class 1 Net income shares 32, p 6,494,073 Class 1 Net accumulation shares 882, p 176,406,459 Class 2 Net accumulation shares 307, p 55,856,574 Class Z Net income shares 1, p 1,151,239 Class Z Net accumulation shares 158, p 137,464,512 for the year ended 7 March 2015 Class 1 Net income shares 11, p 2,366,959 Class 1 Net accumulation shares 696, p 135,076,940 Class 2 Net accumulation shares 265, p 46,467,878 Class Z Net income shares 4, p 4,056,632 Class Z Net accumulation shares 141, p 117,730, Class 1 Net accumulation shares Class 2 Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class 1 Net accumulation shares Class 2 Net income shares Class 2 Net accumulation shares *Class Z Net accumulation shares Class 1 Net accumulation shares Class 1 SGD Hedged Net accumulation shares Class 2 Net income shares Class 2 Net accumulation shares **Class Z Net income shares Class Z Net accumulation shares Class 1 Net accumulation shares Class 1 SGD Hedged Net accumulation shares Class 2 Net income shares Class 2 Net accumulation shares Class Z Net income shares Class Z Net accumulation shares Class 1 Net accumulation shares Class 1 SGD Hedged Net accumulation shares Class 1 USD Hedged Net accumulation shares Class 2 Net income shares Class 2 Net accumulation shares Class 2 USD Hedged Net accumulation shares Class Z Net income shares Class Z Net accumulation shares To 7 March 2015 Class 2 Net income shares commenced 9 March 2012 *Class Z Net accumulation shares commenced 14 September 2012 Class 1 SGD Hedged Net accumulation shares commenced 10 October 2013 **Class Z Net income shares commenced 18 September 2013 Class 1 USD Hedged Net accumulation shares commenced 14 January 2015 Class 2 USD Hedged Net accumulation shares commenced 14 January Class 1 Net income shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class 1 Net income shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class 1 Net income shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class 1 Net income shares Class 1 Net accumulation shares Class 2 Net accumulation shares *Class Z Net income shares Class Z Net accumulation shares Class 1 Net income shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class Z Net income shares Class Z Net accumulation shares Class 1 Net income shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class Z Net income shares Class Z Net accumulation shares To 7 March 2015 Class Z Net accumulation shares commenced 12 February 2013 *Class Z Net income shares commenced 26 September

251 Comparative Tables Net asset value of share class Net asset value per share Shares in issue Calendar Year Net income per share p Highest share price p Lowest share price p Pan European Smaller Companies Fund for the year ended 7 March 2013 Class 1 Net accumulation shares 547, p 386,720,880 Class 2 Net accumulation shares 354, p 238,705,337 Class X Net accumulation shares 262, p 279,761,630 Class Z Net accumulation shares p 33,800 for the year ended 7 March 2014 Class 1 Net accumulation shares 656, p 415,149,690 Class 2 Net accumulation shares 302, p 181,430,175 Class X Net accumulation shares 326, p 306,562,371 Class Z Net accumulation shares 245, p 208,301,714 for the year ended 7 March 2015 Class 1 Net accumulation shares 462, p 279,330,342 Class 1 USD Hedged Net accumulation shares 1, p 1,724,265 Class 2 Net accumulation shares 246, p 140,661,529 Class X Net accumulation shares 113, p 99,839,877 Class Z Net accumulation shares 367, p 295,526,612 Pan European Fund for the year ended 7 March 2013 Class 1 Net accumulation shares 77, p 67,325,528 Class 2 Net accumulation shares 123, p 99,318,570 Class 2i Net accumulation shares p 3,001 Class X Net accumulation shares 41, p 35,627,589 Class Z Net accumulation shares p 21,771 for the year ended 7 March 2014 Class 1 Net accumulation shares 96, p 73,359,816 Class 2 Net accumulation shares 150, p 105,561,324 Class 2i Net accumulation shares 5, p 3,726,292 Class X Net accumulation shares 49, p 36,467,938 Class Z Net income shares p 1,000 Class Z Net accumulation shares 12, p 9,073,766 for the year ended 7 March 2015 Class 1 Net accumulation shares 87, p 63,913,118 Class 2 Net accumulation shares 197, p 130,890,817 Class 2i Net accumulation shares p 335,825 Class X Net accumulation shares 46, p 32,149,636 Class Z Net income shares p 1,000 Class Z Net accumulation shares 35, p 24,597, Class 1 Net accumulation shares Class 2 Net accumulation shares Class X Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class X Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class X Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class X Net accumulation shares *Class Z Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class X Net accumulation shares Class Z Net accumulation shares Class 1 Net accumulation shares ** Class 1 USD Hedged Net accumulation shares Class 2 Net accumulation shares Class X Net accumulation shares Class Z Net accumulation shares To 7 March 2015 *Class Z Net accumulation shares commenced 12 February 2013 **Class 1 USD Hedged Net accumulation shares commenced 25 February Class 1 Net accumulation shares Class 2 Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares *Class 2i Net accumulation shares Class X Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class 2i Net accumulation shares Class X Net accumulation shares Class Z Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class 2i Net accumulation shares Class X Net accumulation shares **Class Z Net income shares Class Z Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class 2i Net accumulation shares Class X Net accumulation shares Class Z Net income shares Class Z Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class 2i Net accumulation shares Class X Net accumulation shares Class Z Net income shares Class Z Net accumulation shares To 7 March 2015 Class X Net accumulation shares commenced 12 April 2011 *Class 2i Net accumulation shares Initial Service Charge commenced 29 November 2011 Class Z Net accumulation shares commenced 3 October 2012 **Class Z Net income shares commenced 20 September

252 Comparative Tables Net asset value of share class Net asset value per share Shares in issue Calendar Year Net income per share p Highest share price p Lowest share price p European Bond Fund for the year ended 7 March 2013 Class 1 Net income shares 57, p 81,899,043 Class 1 Gross accumulation shares 113, p 87,827,493 Class 2 Gross accumulation shares 2, p 2,568,433 Class Z Net income shares p 3,010 for the year ended 7 March 2014 Class 1 Net income shares 54, p 78,544,349 Class 1 Gross accumulation shares 151, p 116,699,049 Class 2 Gross accumulation shares p 155,751 Class Z Net income shares p 540,893 for the year ended 7 March 2015 Class 1 Net income shares 51, p 76,988,758 Class 1 Gross accumulation shares 120, p 93,863,284 Class 2 Gross accumulation shares 11, p 10,168,488 Class Z Net income shares 13, p 13,760,645 Only available to eligible investors European Corporate Bond Fund for the year ended 7 March 2013 Class 1 Net accumulation shares 42, p 44,646,047 Class 1 Gross accumulation shares 9, p 9,625,462 Class 2 Gross accumulation shares 15, p 12,422,087 for the year ended 7 March 2014 Class 1 Net accumulation shares 47, p 50,337,029 Class 1 Gross accumulation shares 9, p 8,858,333 Class 2 Gross accumulation shares 22, p 18,457,652 Class Z Net accumulation shares p 87,320 for the year ended 7 March 2015 Class 1 Net accumulation shares 44, p 50,875,455 Class 1 Gross accumulation shares 5, p 6,194,967 Class 2 Gross accumulation shares 23, p 20,918,335 Class Z Net accumulation shares p 281,126 Only available to eligible investors 2010 Class 1 Net income shares Class 1 Gross accumulation shares Class 1 Net income shares Class 1 Gross accumulation shares Class 2 Gross accumulation shares Class 1 Net income shares Class 1 Gross accumulation shares Class 2 Gross accumulation shares Class 1 Net income shares Class 1 Gross accumulation shares Class 2 Gross accumulation shares *Class Z Net income shares Class 1 Net income shares Class 1 Gross accumulation shares Class 2 Gross accumulation shares Class Z Net income shares Class 1 Net income shares Class 1 Gross accumulation shares Class 2 Gross accumulation shares Class Z Net income shares To 7 March 2015 Class 2 Gross accumulation shares commenced 18 March 2011 *Class Z Net income shares commenced 15 February Class 1 Net accumulation shares Class 1 Gross accumulation shares Class 2 Gross accumulation shares Class 1 Net accumulation shares Class 1 Gross accumulation shares Class 2 Gross accumulation shares Class 1 Net accumulation shares Class 1 Gross accumulation shares Class 2 Gross accumulation shares Class 1 Net accumulation shares Class 1 Gross accumulation shares Class 2 Gross accumulation shares *Class Z Net accumulation shares Class 1 Net accumulation shares Class 1 Gross accumulation shares Class 2 Gross accumulation shares Class Z Net accumulation shares Class 1 Net accumulation shares Class 1 Gross accumulation shares Class 2 Gross accumulation shares Class Z Net accumulation shares To 7 March 2015 Class 2 Gross accumulation shares commenced 3 February 2010 *Class Z Net accumulation shares commenced 26 September

253 Comparative Tables Net asset value of share class Net asset value per share Shares in issue Calendar Year Net income per share p Highest share price p Lowest share price p European High Yield Bond Fund for the year ended 7 March 2013 Class 1 Net accumulation shares 37, p 28,459,395 Class 1 Gross income shares 31, p 25,610,120 Class 1 Gross accumulation shares 388, p 246,076,498 Class 2 Gross income shares 10, p 8,699,809 Class 2 Gross accumulation shares 243, p 125,231,435 Class 2 CHF Hedged Gross accumulation shares 2, p 2,234,191 Class X Gross accumulation shares 88, p 111,896,881 Class Z Gross income shares p 9,839 Class Z Gross accumulation shares p 3,001 for the year ended 7 March 2014 Class 1 Net accumulation shares 42, p 31,500,232 Class 1 Gross income shares 47, p 37,856,231 Class 1 Gross accumulation shares 371, p 225,349,889 Class 2 Gross income shares 29, p 24,229,085 Class 2 Gross accumulation shares 301, p 147,901,804 Class 2 CHF Hedged Gross accumulation shares p 355,491 Class X Gross accumulation shares 62, p 74,656,193 Class Z Net accumulation shares p 346,120 Class Z Gross income shares 9, p 7,745,018 Class Z Gross accumulation shares 31, p 25,996,101 for the year ended 7 March 2015 Class 1 Net accumulation shares 18, p 15,539,346 Class 1 Gross income shares 18, p 17,858,591 Class 1 Gross accumulation shares 319, p 213,421,030 Class 2 Gross income shares 36, p 34,222,334 Class 2 Gross accumulation shares 154, p 82,717,000 Class 2 CHF Hedged Gross accumulation shares p 224,150 Class X Gross accumulation shares 2, p 3,143,074 Class Z Net accumulation shares 2, p 2,163,806 Class Z Gross income shares 8, p 8,778,823 Class Z Gross accumulation shares 13, p 11,872,584 Only available to eligible investors 2010 Class 1 Net accumulation shares Class 1 Gross income shares Class 1 Gross accumulation shares Class 2 Gross accumulation shares Class X Gross accumulation shares Class 1 Net accumulation shares Class 1 Gross income shares Class 1 Gross accumulation shares Class 2 Gross accumulation shares *Class 2 CHF Hedged Gross accumulation shares Class X Gross accumulation shares Class 1 Net accumulation shares Class 1 Gross income shares Class 1 Gross accumulation shares Class 2 Gross income shares Class 2 Gross accumulation shares Class 2 CHF Hedged Gross accumulation shares Class X Gross accumulation shares **Class Z Gross income shares Class Z Gross accumulation shares Class 1 Net accumulation shares Class 1 Gross income shares Class 1 Gross accumulation shares Class 2 Gross income shares Class 2 Gross accumulation shares Class 2 CHF Hedged Gross accumulation shares Class X Gross accumulation shares ***Class Z Net accumulation shares Class Z Gross income shares Class Z Gross accumulation shares Class 1 Net accumulation shares Class 1 Gross income shares Class 1 Gross accumulation shares Class 2 Gross income shares Class 2 Gross accumulation shares Class 2 CHF Hedged Gross accumulation shares Class X Gross accumulation shares Class Z Net accumulation shares Class Z Gross income shares Class Z Gross accumulation shares Class 1 Net accumulation shares Class 1 Gross income shares Class 1 Gross accumulation shares Class 2 Gross income shares Class 2 Gross accumulation shares Class 2 CHF Hedged Gross accumulation shares Class X Gross accumulation shares Class Z Net accumulation shares Class Z Gross income shares Class Z Gross accumulation shares To 7 March 2015 Class 1 Gross income shares commenced 18 June 2010 *Class 2 CHF Hedged Gross accumulation shares commenced 25 May 2011 Class 2 Gross income shares commenced 9 May 2012 **Class Z Gross income shares commenced 26 September 2012 Class Z Gross accumulation shares commenced 26 September 2012 ***Class Z Net accumulation shares commenced 26 September

254 Comparative Tables Net asset value of share class Net asset value per share Shares in issue Calendar Year Net income per share p Highest share price p Lowest share price p Strategic Bond Fund for the year ended 7 March 2013 Class 1 Net income shares 174, p 361,818,242 Class 1 Gross income shares 60, p 124,177,787 Class 2 Net income shares 20, p 41,090,400 Class 2 Gross income shares 3, p 6,043,020 Class 2 Gross accumulation shares 130, p 136,414,429 Class Z Net income shares 1, p 1,263,123 Class Z Gross income shares p 14,682 Class Z Gross accumulation shares p 3,001 for the year ended 7 March 2014 Class 1 Net income shares 135, p 280,799,126 Class 1 Gross income shares 53, p 111,301,489 Class 2 Net income shares 21, p 41,930,162 Class 2 Gross income shares 3, p 5,895,938 Class 2 Gross accumulation shares 132, p 131,303,511 Class Z Net income shares 23, p 23,178,262 Class Z Gross income shares p 809,769 Class Z Gross accumulation shares p 749,794 for the year ended 7 March 2015 Class 1 Net income shares 95, p 199,582,947 Class 1 Gross income shares 27, p 57,221,271 Class 2 Net income shares 22, p 44,221,814 Class 2 Gross income shares 3, p 5,855,915 Class 2 Gross accumulation shares 123, p 115,832,554 Class Z Net income shares 48, p 47,597,836 Class Z Gross income shares 7, p 6,998,904 Class Z Gross accumulation shares 1, p 1,408,776 Only available to eligible investors 2010 Class 1 Net income shares Class 1 Gross income shares Class 2 Net income shares Class 2 Gross income shares Class 2 Gross accumulation shares Class 1 Net income shares Class 1 Gross income shares Class 2 Net income shares Class 2 Gross income shares Class 2 Gross accumulation shares Class 1 Net income shares Class 1 Gross income shares Class 2 Net income shares Class 2 Gross income shares Class 2 Gross accumulation shares *Class Z Net income shares Class Z Gross income shares **Class Z Gross accumulation shares Class 1 Net income shares Class 1 Gross income shares Class 2 Net income shares Class 2 Gross income shares Class 2 Gross accumulation shares Class Z Net income shares Class Z Gross income shares Class Z Gross accumulation shares Class 1 Net income shares Class 1 Gross income shares Class 2 Net income shares Class 2 Gross income shares Class 2 Gross accumulation shares Class Z Net income shares Class Z Gross income shares Class Z Gross accumulation shares Class 1 Net income shares Class 1 Gross income shares Class 2 Net income shares Class 2 Gross income shares Class 2 Gross accumulation shares Class Z Net income shares Class Z Gross income shares Class Z Gross accumulation shares To 7 March 2015 *Class Z Net income shares commenced 26 September 2012 Class Z Gross income shares commenced 26 September 2012 **Class Z Gross accumulation shares commenced 26 September

255 Comparative Tables Net asset value of share class Net asset value per share Shares in issue Calendar Year Net income per share p Highest share price p Lowest share price p American Fund for the year ended 7 March 2013 Class 1 Net income shares 32, p 22,919,030 Class 1 Net accumulation shares 1,068, p 758,736,586 Class 1 EUR Hedged Net accumulation shares 102, p 60,715,335 Class 2 Net accumulation shares 931, p 603,697,564 Class X Net accumulation shares 9, p 5,799,930 Class Z Net income shares 66, p 56,328,419 Class Z Net accumulation shares 9, p 8,065,359 for the year ended 7 March 2014 Class 1 Net income shares 29, p 18,275,470 Class 1 Net accumulation shares 854, p 532,136,085 Class 1 EUR Hedged Net accumulation shares 8, p 3,975,991 Class 2 Net accumulation shares 946, p 534,681,823 Class X Net accumulation shares 5, p 3,233,079 Class Z Net income shares 38, p 28,763,514 Class Z Net accumulation shares 228, p 168,743,794 Class Z EUR Hedged Net accumulation shares p 3,000 for the year ended 7 March 2015 Class 1 Net income shares 6, p 3,171,262 Class 1 Net accumulation shares 731, p 376,761,078 Class 1 EUR Hedged Net accumulation shares 8, p 4,350,761 Class 2 Net accumulation shares 943, p 437,919,721 Class X Net accumulation shares p 3,000 Class Z Net income shares 20, p 12,419,419 Class Z Net accumulation shares 285, p 172,859,877 Class Z EUR Hedged Net accumulation shares p 101, Class 1 Net income shares Class 1 Net accumulation shares Class 1 EUR Hedged Net accumulation shares Class 2 Net accumulation shares Class X Net accumulation shares Class 1 Net income shares Class 1 Net accumulation shares Class 1 EUR Hedged Net accumulation shares Class 2 Net accumulation scares Class X Net accumulation shares Class 1 Net income shares Class 1 Net accumulation shares Class 1 EUR Hedged Net accumulation shares Class 2 Net accumulation shares Class X Net accumulation shares *Class Z Net income shares Class Z Net accumulation shares Class 1 Net income shares Class 1 Net accumulation shares Class 1 EUR Hedged Net accumulation shares Class 2 Net accumulation shares Class X Net accumulation shares Class Z Net income shares Class Z Net accumulation shares **Class Z EUR Hedged Net accumulation shares Class 1 Net income shares Class 1 Net accumulation shares Class 1 EUR Hedged Net accumulation shares Class 2 Net accumulation shares Class X Net accumulation shares Class Z Net income shares Class Z Net accumulation shares Class Z EUR Hedged Net accumulation shares Class 1 Net income shares Class 1 Net accumulation shares Class 1 EUR Hedged Net accumulation shares Class 2 Net accumulation shares Class X Net accumulation shares Class Z Net income shares Class Z Net accumulation shares Class Z EUR Hedged Net accumulation shares To 7 March 2015 Class X Net accumulation shares commenced 27 July 2010 *Class Z Net income shares commenced 12 September 2012 Class Z Net accumulation shares commenced 12 September 2012 **Class Z EUR Hedged Net accumulation shares commenced 20 September

256 Comparative Tables Net asset value of share class Net asset value per share Shares in issue Calendar Year Net income per share p Highest share price p Lowest share price p American Select Fund for the year ended 7 March 2013 Class 1 Net income shares 7, p 5,205,753 Class 1 Net accumulation shares 1,270, p 830,274,702 Class 1 EUR Hedged Net accumulation shares 16, p 10,988,729 Class 2 Net accumulation shares 672, p 400,732,928 Class 2 EUR Hedged Net accumulation shares 42, p 33,779,076 Class Z Net income shares 5, p 4,723,880 Class Z Net accumulation shares 20, p 17,967,341 for the year ended 7 March 2014 Class 1 Net income shares 4, p 2,756,139 Class 1 Net accumulation shares 941, p 543,656,092 Class 1 EUR Hedged Net accumulation shares 19, p 10,517,036 Class 2 Net accumulation shares 523, p 274,062,296 Class 2 EUR Hedged Net accumulation shares 31, p 20,811,961 Class Z Net income shares 130, p 98,440,935 Class Z Net accumulation shares 350, p 263,499,926 Class Z EUR Hedged Net accumulation shares 4, p 4,352,920 for the year ended 7 March 2015 Class 1 Net income shares 3, p 1,895,876 Class 1 Net accumulation shares 677, p 341,547,580 Class 1 EUR Hedged Net accumulation shares 2, p 1,810,170 Class 2 Net accumulation shares 313, p 142,386,152 Class 2 EUR Hedged Net accumulation shares p 170,640 Class Z Net income shares 16, p 10,577,488 Class Z Net accumulation shares 270, p 175,845,161 Class Z CHF Hedged Net accumulation shares p 10,000 Class Z EUR Hedged Net accumulation shares p 3,938 Class Z GBP Hedged Net accumulation shares p 10, Class 1 Net income shares Class 1 Net accumulation shares Class 1 EUR Hedged Net accumulation shares Class 2 Net accumulation shares Class 2 EUR Hedged Net accumulation shares Class 1 Net income shares Class 1 Net accumulation shares Class 1 EUR Hedged Net accumulation shares Class 2 Net accumulation shares Class 2 EUR Hedged Net accumulation shares Class 1 Net income shares Class 1 Net accumulation shares Class 1 EUR Hedged Net accumulation shares Class 2 Net accumulation shares Class 2 EUR Hedged Net accumulation shares *Class Z Net income shares Class Z Net accumulation shares Class 1 Net income shares Class 1 Net accumulation shares Class 1 EUR Hedged Net accumulation shares Class 2 Net accumulation shares Class 2 EUR Hedged Net accumulation shares Class Z Net income shares Class Z Net accumulation shares **Class Z EUR Hedged Net accumulation shares Class 1 Net income shares Class 1 Net accumulation shares Class 1 EUR Hedged Net accumulation shares Class 2 Net accumulation shares Class 2 EUR Hedged Net accumulation shares Class Z Net income shares Class Z Net accumulation shares Class Z CHF Hedged Net accumulation shares Class Z EUR Hedged Net accumulation shares ***Class Z GBP Hedged Net accumulation shares Class 1 Net income shares Class 1 Net accumulation shares Class 1 EUR Hedged Net accumulation shares Class 2 Net accumulation shares Class 2 EUR Hedged Net accumulation shares Class Z Net income shares Class Z Net accumulation shares Class Z CHF Hedged Net accumulation shares Class Z EUR Hedged Net accumulation shares Class Z GBP Hedged Net accumulation shares To 7 March 2015 *Class Z Net income shares commenced 12 September 2012 Class Z Net accumulation shares commenced 12 September 2012 **Class Z EUR Hedged Net accumulation shares commenced 20 September 2013 Class Z CHF Hedged Net accumulation shares commenced 13 March 2014 ***Class Z GBP Hedged Net accumulation shares commenced 13 March

257 Comparative Tables Net asset value of share class Net asset value per share Shares in issue Calendar Year Net income per share p Highest share price p Lowest share price p American Smaller Companies Fund (US) for the year ended 7 March 2013 Class 1 Net income shares 10, p 6,495,973 Class 1 Net accumulation shares 152, p 95,358,079 Class 2 Net accumulation shares 233, p 132,371,576 Class X Net accumulation shares p 39,001 Class Z Net accumulation shares 1, p 1,016,578 for the year ended 7 March 2014 Class 1 Net income shares 16, p 8,528,635 Class 1 Net accumulation shares 284, p 151,105,482 Class 2 Net accumulation shares 297, p 143,095,340 Class X Net accumulation shares p 3,000 Class Z Net income shares p 220,815 Class Z Net accumulation shares 28, p 19,471,687 for the year ended 7 March 2015 Class 1 Net income shares 18, p 8,240,803 Class 1 Net accumulation shares 201, p 89,217,325 Class 2 Net accumulation shares 265, p 105,531,995 Class X Net accumulation shares 7, p 3,493,001 Class Z Net income shares 5, p 3,853,753 Class Z Net accumulation shares 110, p 63,380,748 Dollar Bond Fund for the year ended 7 March 2013 Class 1 Net income shares 56, p 101,843,442 Class 1 Gross accumulation shares 18, p 16,938,956 Class Z Net income shares p 3,727 for the year ended 7 March 2014 Class 1 Net income shares 41, p 85,945,946 Class 1 Gross accumulation shares 15, p 16,371,418 Class Z Net income shares 5, p 6,202,573 Class Z Gross accumulation shares p 1,000 for the year ended 7 March 2015 Class 1 Net income shares 39, p 72,746,813 Class 1 Gross accumulation shares 16, p 14,812,961 Class Z Net income shares 9, p 9,506,088 Class Z Gross accumulation shares p 113,437 Only available to eligible investors 2010 Class 1 Net income shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class 1 Net income shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class X Net accumulation shares Class 1 Net income shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class X Net accumulation shares *Class Z Net accumulation shares Class 1 Net income shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class X Net accumulation shares Class Z Net income shares Class Z Net accumulation shares Class 1 Net income shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class X Net accumulation shares Class Z Net income shares Class Z Net accumulation shares Class 1 Net income shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class X Net accumulation shares Class Z Net income shares Class Z Net accumulation shares To 7 March 2015 Class X Net accumulation shares commenced 10 March 2011 *Class Z Net accumulation shares commenced 21 September 2012 Class Z Net income shares commenced 18 September Class 1 Net income shares Class 1 Gross accumulation shares Class 1 Net income shares Class 1 Gross accumulation shares Class 1 Net income shares Class 1 Gross accumulation shares Class 1 Net income shares Class 1 Gross accumulation shares Class Z Net income shares *Class Z Gross accumulation shares Class 1 Net income shares Class 1 Gross accumulation shares Class Z Net income shares Class Z Gross accumulation shares Class 1 Net income shares Class 1 Gross accumulation shares Class Z Net income shares Class Z Gross accumulation shares To 7 March 2015 Class Z Net income shares commenced 15 February 2013 *Class Z Gross accumulation shares commenced 18 September

258 Comparative Tables Net asset value of share class Net asset value per share Shares in issue Calendar Year Net income per share p Highest share price p Lowest share price p Japan Fund for the year ended 7 March 2013 Class 1 Net accumulation shares 58, p 158,520,121 Class 2 Net accumulation shares 88, p 217,289,793 Class Z Net accumulation shares p 28,512 for the year ended 7 March 2014 Class 1 Net accumulation shares 84, p 225,020,751 Class 2 Net accumulation shares 131, p 316,283,929 Class Z Net accumulation shares p 114,999 for the year ended 7 March 2015 Class 1 Net accumulation shares 145, p 337,026,003 Class 2 Net accumulation shares 196, p 410,873,646 Class X Net income shares p 92,369 Class Z Net accumulation shares 1, p 1,091,909 Asia Fund for the year ended 7 March 2013 Class 1 Net accumulation shares 229, p 162,851,936 Class 2 Net accumulation shares 555, p 363,680,917 Class Z Net accumulation shares p 10,972 for the year ended 7 March 2014 Class 1 Net accumulation shares 159, p 122,022,842 Class 2 Net accumulation shares 267, p 186,757,671 Class Z Net accumulation shares 1, p 932,295 for the year ended 7 March 2015 Class 1 Net accumulation shares 161, p 103,079,738 Class 2 Net accumulation shares 335, p 194,638,485 Class X Net income shares p 3,001 Class Z Net accumulation shares 22, p 16,624, Class 1 Net accumulation shares Class 2 Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class Z Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class Z Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares *Class X Net income Shares Class Z Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class X Net income shares Class Z Net accumulation shares To 7 March 2015 Class Z Net accumulation shares commenced 3 October 2012 *Class X Net income shares commenced 4 August Class 1 Net accumulation shares Class 2 Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class Z Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class Z Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares *Class X Net income shares Class Z Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class X Net income shares Class Z Net accumulation shares To 7 March 2015 Class Z Net accumulation shares commenced 21 September 2012 *Class X Net income shares commenced 4 August

259 Comparative Tables Net asset value of share class Net asset value per share Shares in issue Calendar Year Net income per share p Highest share price p Lowest share price p Latin America Fund for the year ended 7 March 2013 Class 1 Net accumulation shares 339, p 108,462,681 Class 2 Net accumulation shares 575, p 170,950,863 Class X Net accumulation shares p 3,000 Class Z Net accumulation shares p 283,090 for the year ended 7 March 2014 Class 1 Net accumulation shares 165, p 76,501,485 Class 2 Net accumulation shares 353, p 150,451,872 Class X Net accumulation shares p 3,000 Class Z Net accumulation shares 9, p 11,375,383 for the year ended 7 March 2015 Class 1 Net accumulation shares 104, p 52,172,826 Class 2 Net accumulation shares 284, p 129,977,747 Class X Net accumulation shares p 3,000 Class Z Net accumulation shares 25, p 33,860, Class 1 Net accumulation shares Class 2 Net accumulation shares Class X Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class X Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class X Net accumulation shares Class Z Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class X Net accumulation shares Class Z Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class X Net accumulation shares Class Z Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class X Net accumulation shares Class Z Net accumulation shares To 7 March 2015 Class Z Net accumulation shares commenced 21 September

260 Comparative Tables Net asset value of share class Net asset value per share Shares in issue Calendar Year Net income per share p Highest share price p Lowest share price p Emerging Market Bond Fund for the year ended 7 March 2013 Class 1 Net income shares 699, p 1,047,186,868 Class 1 Gross income shares 168, p 149,017,475 Class 1 Gross accumulation shares 49, p 23,408,835 Class 2 Gross accumulation shares 33, p 16,043,395 Class X Gross accumulation shares 54, p 65,358,134 Class Z Net income shares 6, p 6,376,290 Class Z Gross income shares p 3,010 for the year ended 7 March 2014 Class 1 Net income shares 59, p 112,885,167 Class 1 Gross income shares 99, p 110,746,374 Class 1 Gross accumulation shares 34, p 19,144,756 Class 2 Net income shares p 39,871 Class 2 Gross accumulation shares 17, p 9,855,320 Class X Gross accumulation shares p 11,887 Class Z Net income shares 44, p 51,323,411 Class Z Gross income shares 2, p 3,138,617 Class Z Gross accumulation shares p 76,740 for the year ended 7 March 2015 Class 1 Net income shares 26, p 47,178,894 Class 1 Gross income shares 82, p 86,893,890 Class 1 Gross accumulation shares 31, p 15,688,817 Class 2 Net income shares p 41,715 Class 2 Gross accumulation shares 25, p 12,543,186 Class X Gross income shares p 155,527 Class X Gross accumulation shares p 3,001 Class Z Net income shares 52, p 57,452,321 Class Z Gross income shares 2, p 3,152,892 Class Z Gross accumulation shares 5, p 5,158,476 Only available to eligible investors 2010 Class 1 Net income shares Class 1 Gross income shares Class 1 Gross accumulation shares Class 2 Gross accumulation shares Class X Gross accumulation shares Class 1 Net income shares Class 1 Gross income shares Class 1 Gross accumulation shares Class 2 Gross accumulation shares Class X Gross accumulation shares Class 1 Net income shares Class 1 Gross income shares Class 1 Gross accumulation shares Class 2 Gross accumulation shares Class X Gross accumulation shares Class Z Net income shares Class 1 Net income shares Class 1 Gross income shares Class 1 Gross accumulation shares Class 2 Net income shares Class 2 Gross accumulation shares Class X Gross accumulation shares Class Z Net income shares *Class Z Gross income shares **Class Z Gross accumulation shares Class 1 Net income shares Class 1 Gross income shares Class 1 Gross accumulation shares Class 2 Net income shares Class 2 Gross accumulation shares ***Class X Gross income shares Class X Gross accumulation shares Class Z Net income shares Class Z Gross income shares Class Z Gross accumulation shares Class 1 Net income shares Class 1 Gross income shares Class 1 Gross accumulation shares Class 2 Net income shares Class 2 Gross accumulation shares Class X Gross income shares Class X Gross accumulation shares Class Z Net income shares Class Z Gross income shares Class Z Gross accumulation shares To 7 March 2015 Class Z Net income shares commenced 14 September 2012 *Class Z Gross income shares commenced 15 February 2013 Class 2 Net income shares commenced 20 September 2013 **Class Z Gross accumulation shares commenced 20 September 2013 ***Class X Gross income shares commenced 28 July

261 Comparative Tables Net asset value of share class Net asset value per share Shares in issue Calendar Year Net income per share p Highest share price p Lowest share price p High Yield Bond Fund for the year ended 7 March 2013 Class 1 Net income shares 463, p 1,060,763,523 Class 1 Gross income shares 75, p 171,708,966 Class 2 Net income shares 99, p 161,546,607 Class 2 Gross income shares 34, p 65,006,368 Class 2 Gross accumulation shares 157, p 118,663,237 Class Z Net income shares 5, p 5,830,149 Class Z Gross accumulation shares p 503,484 for the year ended 7 March 2014 Class 1 Net income shares 348, p 783,842,519 Class 1 Gross income shares 86, p 194,814,823 Class 2 Net income shares 97, p 155,441,247 Class 2 Gross income shares 26, p 48,821,241 Class 2 Gross accumulation shares 159, p 108,881,134 Class Z Net income shares 84, p 80,706,297 Class Z Gross income shares 7, p 7,809,951 Class Z Gross accumulation shares 6, p 5,731,796 for the year ended 7 March 2015 Class 1 Net income shares 204, p 465,419,759 Class 1 Gross income shares 86, p 197,179,647 Class 1 USD Hedged Gross income shares p 30,628 Class 2 Net income shares 53, p 85,874,237 Class 2 Gross income shares 21, p 38,981,871 Class 2 Gross accumulation shares 146, p 94,580,779 Class X Gross income shares p 345,891 Class Z Net income shares 237, p 228,335,301 Class Z Net accumulation shares p 172,531 Class Z Gross income shares 24, p 24,448,737 Class Z Gross accumulation shares 5, p 4,307,489 Only available to eligible investors 2010 Class 1 Net income shares Class 1 Gross income shares Class 2 Net income shares Class 2 Gross income shares Class 2 Gross accumulation shares Class 1 Net income shares Class 1 Gross income shares Class 2 Net income shares Class 2 Gross income shares Class 2 Gross accumulation shares Class 1 Net income shares Class 1 Gross income shares Class 2 Net income shares Class 2 Gross income shares Class 2 Gross accumulation shares *Class Z Net income shares Class Z Gross accumulation shares Class 1 Net income shares Class 1 Gross income shares Class 2 Net income shares Class 2 Gross income shares Class 2 Gross accumulation shares Class Z Net income shares **Class Z Gross income shares Class Z Gross accumulation shares Class 1 Net income shares Class 1 Gross income shares Class 1 USD Hedged Gross income shares Class 2 Net income shares Class 2 Gross income shares Class 2 Gross accumulation shares Class X Gross Income shares Class Z Net income shares *** Class Z Net accumulation shares Class Z Gross income shares Class Z Gross accumulation shares Class 1 Net income shares Class 1 Gross income shares Class 1 USD Hedged Gross income shares Class 2 Net income shares Class 2 Gross income shares Class 2 Gross accumulation shares Class X Gross income shares Class Z Net income shares Class Z Net accumulation shares Class Z Gross income shares Class Z Gross accumulation shares To 7 March 2015 *Class Z Net income shares commenced 21 September 2012 Class Z Gross accumulation shares commenced 19 September 2012 **Class Z Gross income shares commenced 24 September 2013 Class X Gross income shares commenced 28 July 2014 ***Class Z Net accumulation shares commenced 11 September 2014 Class 1 USD Hedged Gross income shares commenced 11 September

262 Comparative Tables Net asset value of share class Net asset value per share Shares in issue Calendar Year Net income per share p Highest share price p Lowest share price p Global Select Fund for the year ended 7 March 2013 Class 1 Net accumulation shares 670, p 564,494,854 Class 2 Net accumulation shares 72, p 43,719,294 Class X Net accumulation shares 1, p 2,238,483 Class Z Net accumulation shares 2, p 2,203,670 for the year ended 7 March 2014 Class 1 Net accumulation shares 545, p 427,487,824 Class 2 Net accumulation shares 49, p 27,655,075 Class X Net accumulation shares 3, p 3,608,730 Class Z Net accumulation shares 191, p 149,725,146 for the year ended 7 March 2015 Class 1 Net accumulation shares 532, p 363,593,904 Class 2 Net accumulation shares 113, p 54,997,988 Class X Net accumulation shares p 3,001 Class Z Net income shares p 18,330 Class Z Net accumulation shares 217, p 146,700, Class 1 Net accumulation shares Class 2 Net accumulation shares Class X Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class X Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class X Net accumulation shares *Class Z Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class X Net accumulation shares Class Z Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class X Net accumulation shares **Class Z Net income shares Class Z Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class X Net accumulation shares Class Z Net income shares Class Z Net accumulation shares To 7 March 2015 * Class Z Net accumulation shares commenced 19 September 2012 **Class Z Net income shares commenced 27 March

263 Comparative Tables Net asset value of share class Net asset value per share Shares in issue Calendar Year Net income per share p Highest share price p Lowest share price p Global Bond Fund for the year ended 7 March 2013 Class 1 Net income shares 20, p 34,067,285 Class 1 Net accumulation shares 2, p 4,896,936 Class 1 Gross income shares 138, p 164,606,506 Class 1 Gross accumulation shares 37, p 32,950,832 Class 2 Net income shares 5, p 8,348,683 Class 2 Gross accumulation shares 49, p 54,180,947 Class Z Net income shares p 30,196 Class Z Gross income shares p 11,940 for the year ended 7 March 2014 Class 1 Net income shares 13, p 25,334,320 Class 1 Net accumulation shares 1, p 3,226,334 Class 1 Gross income shares 103, p 139,253,555 Class 1 Gross accumulation shares 30, p 29,678,138 Class 2 Net income shares 2, p 4,242,377 Class 2 Gross accumulation shares 37, p 45,369,599 Class Z Net income shares 1, p 1,246,725 Class Z Gross income shares p 34,356 Class Z Gross accumulation shares p 1,010 for the year ended 7 March 2015 Class 1 Net income shares 7, p 13,382,593 Class 1 Net accumulation shares 1, p 1,995,738 Class 1 Gross income shares 140, p 182,021,671 Class 1 Gross accumulation shares 29, p 27,379,918 Class 2 Net income shares 2, p 3,910,118 Class 2 Gross accumulation shares 38, p 44,010,940 Class Z Net income shares 7, p 7,450,033 Class Z Gross income shares p 86,844 Class Z Gross accumulation shares p 73,547 Only available to eligible investors UK Institutional Fund for the year ended 7 March 2013 Class 1 Net accumulation shares 92, p 80,433,505 Class 2 Net accumulation shares 1,026, p 827,471,178 for the year ended 7 March 2014 Class 1 Net accumulation shares 106, p 81,600,439 Class 2 Net accumulation shares 981, p 692,866,363 for the year ended 7 March 2015 Class 1 Net accumulation shares 93, p 68,043,406 Class 2 Net accumulation shares 938, p 623,370, Class 1 Net income shares Class 1 Net accumulation shares Class 1 Gross income shares Class 1 Gross accumulation shares Class 2 Net income shares Class 2 Gross accumulation shares Class 1 Net income shares Class 1 Net accumulation shares Class 1 Gross income shares Class 1 Gross accumulation shares Class 2 Net income shares Class 2 Gross accumulation shares Class 1 Net income shares Class 1 Net accumulation shares Class 1 Gross income shares Class 1 Gross accumulation shares Class 2 Net income shares Class 2 Gross accumulation shares *Class Z Net income shares **Class Z Gross income shares Class 1 Net income shares Class 1 Net accumulation shares Class 1 Gross income shares Class 1 Gross accumulation shares Class 2 Net income shares Class 2 Gross accumulation shares Class Z Net income shares Class Z Gross income shares ***Class Z Gross accumulation shares Class 1 Net income shares Class 1 Net accumulation shares Class 1 Gross income shares Class 1 Gross accumulation shares Class 2 Net income shares Class 2 Gross accumulation shares Class Z Net income shares Class Z Gross income shares Class Z Gross accumulation shares Class 1 Net income shares Class 1 Net accumulation shares Class 1 Gross income shares Class 1 Gross accumulation shares Class 2 Net income shares Class 2 Gross accumulation shares Class Z Net income shares Class Z Gross income shares Class Z Gross accumulation shares To 7 March 2015 *Class Z Net income shares commenced 28 September 2012 **Class Z Gross income shares commenced 28 September 2012 ***Class Z Gross accumulation shares commenced 24 September Class 1 Net accumulation shares Class 2 Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares To 7 March

264 Comparative Tables Net asset value of share class Net asset value per share Shares in issue Calendar Year Net income per share p Highest share price p Lowest share price p UK Overseas Earnings Fund for the year ended 7 March 2013 Class 2 Net income shares 115, p 126,878,438 for the year ended 7 March 2014 Class 2 Net income shares 125, p 115,513,424 Class Z Net income shares p 63,393 for the year ended 7 March 2015 Class 2 Net income shares 121, p 106,759,242 Class Z Net income shares p 108, Class 2 Net income shares Class 2 Net income shares Class 2 Net income shares Class 2 Net income shares *Class Z Net income shares Class 2 Net income shares Class Z Net income shares Class 2 Net income shares Class Z Net income shares To 7 March 2015 *Class Z Net income shares commenced 24 September

265 Performance Summary for the twelve months ended 28 February 2015 UK Universe Funds Sector Index UNITED KINGDOM Class 1 Net Return Class 2 Net Return Sector Median Net Return Fund Gross Total Return Index Total Return % % % % % UK Fund (IA) UK All Companies FTSE All-Share Total Return UK Select Fund (IA) UK All Companies FTSE All-Share Total Return UK Smaller Companies Fund (IA) UK Smaller Companies Numis Smaller Companies (ex Investment Trusts) UK Growth & Income Fund (IA) UK All Companies FTSE All-Share Total Return UK Equity Income Fund (IA) UK Equity Income FTSE All-Share Total Return UK Monthly Income Fund (IA) UK Equity Income FTSE All-Share Total Return Monthly Extra Income Fund (IA) UK Equity & Bond Income UK Corporate Bond Fund (IA) Corporate Bond iboxx Non Gilts Sterling Bond Fund (IA) UK Gilt FTSE UK All Stocks Gilts UK Institutional Fund (IA) UK All Companies FTSE All-Share Return UK Overseas Earnings Fund (IA) UK All Companies FTSE All-Share Total Return EUROPE European Fund (IA) Europe Excluding UK FTSE World Europe ex UK European Select Fund (IA) Europe Excluding UK FTSE World Europe ex UK European Smaller Companies Fund (IA) European Smaller Companies HSBC European Smaller Companies ex UK Pan European Smaller Companies Fund (IA) European Smaller Companies Euromoney Smaller Europe Inc UK Pan European Fund (IA) Europe Including UK MSCI World Europe European Bond Fund (IA) Global Bond ML Pan Europe Large Cap European Corporate Bond Fund (IA) Global Bond iboxx European All Corporate Bond European High Yield Bond Fund (IA) Global Bond ML European High Yield 3% constrained ex sub financials (100% Hedged) European High Yield Bond Fund ( ) (IA) Global Bond ML European High Yield 3% constrained ex sub financials (100% Hedged) Strategic Bond Fund (IA) Strategic Bond 60% iboxx Sterling Non Gilts 40% Index & ML European High Yield 3% constrained B-BB (100% Hedged) US American Fund (IA) North America S&P 500 Composite American Select Fund (IA) North America S&P 500 Composite American Smaller Companies Fund (US) (IA) North American Smaller Companies Dollar Bond Fund (IA) Global Bond 50% ML Euro-Dollar & Globals/50% ML US Treasuries Master JAPAN S&P MidCap Japan Fund (IA) Japan TOPIX

266 Performance Summary for the twelve months ended 28 February 2015 UK Universe Funds Sector Index PACIFIC BASIN & EMERGING MARKETS, ASIA PACIFIC EXCLUDING JAPAN Class 1 Net Return Class 2 Net Return Sector Median Net Return Fund Gross Total Return Index Total Return % % % % % Asia Fund (IA) Asia Pacific Excluding Japan MSCI AC Asia Pacific ex Japan Latin America Fund UK Registered Equity Latin America Emerging Market Bond Fund (IA) Global Bond JPM Emerging Market Bonds Global INTERNATIONAL High Yield Bond Fund (IA) High Yield ML European High Yield 3% constrained ex sub financials (100% Hedged) MSCI 10/40 Latin America Global Select Fund (IA) Global Growth MSCI AC World Free Global Bond Fund (IA) Global Bond JPM GBI Global (Traded) CASH Sterling Fund The Fund Sector is taken from the UK Unit Trusts/OEICs universe. Comparing the fund s performance to this Fund Sector is only relevant for UK Investors. The Sector Median for these funds (as defined by the Investment Association) is not felt to be representative. Net returns (Source: Morningstar) are calculated using official noon prices, bid to bid basis with net income reinvested and are net of assumed fees and expenses but does not include any initial charges. Gross returns (Source: Factset) represent the fund at total level and are calculated using global close authorised valuations based on in-house calculated transactions with cash flow at the start of the day and are gross of total expenses to facilitate comparison with the index. All data shown in GBP. 265

267 Performance Summary for the twelve months ended 28 February 2015 Offshore Universe Funds Sector Index UK EQUITY Share Class 1 Return % Share Class 2 Return % Sector Median Net Return % Fund Gross Total Return % UK Fund UK Large Cap Blend FTSE All Share Total Return GBP UK Select Fund UK Large Cap Blend FTSE All Share Total Return GBP UK Smaller Companies Fund UK Small Cap Equity Numis Smaller Companies (ex Investment Trusts) Index Total Return % Currency GBP UK Growth & Income Fund UK Large Cap FTSE All Share Total Return GBP UK Equity Income Fund UK Large Cap FTSE All Share Total Return GBP UK Monthly Income Fund UK Large Cap FTSE All Share Total Return GBP Monthly Extra Income Fund GBP Aggressive Allocation GBP UK Institutional Fund UK Large Cap Blend FTSE All Share Total Return GBP UK Overseas Earnings Fund UK Large Cap Blend FTSE All Share Total Return GBP EUROPE EQUITY European Fund Europe ex UK Large Cap FTSE World Europe ex UK EUR European Select Fund Europe ex UK Large Cap FTSE World Europe ex UK EUR European Smaller Companies Fund Europe Small-Mid Cap Combined Euromoney European Small Cos. Ex UK Pan European Smaller Companies Fund Europe Small-Mid Cap Combined Euromoney Smaller Europe Inc UK EUR EUR Pan European Fund Europe Large Cap Blend MSCI World Europe EUR AMERICAS American Fund US Large Cap Growth S&P 500 Composite USD American Select Fund US Large Cap Growth S&P 500 Composite USD American Smaller Companies Fund (US) US Mid Cap Equity S&P MidCap USD Latin America Fund Latin America Equity MSCI 10/40 Latin America USD FAR EAST & PACIFIC Japan Fund Japan Large Cap TOPIX JPY Asia Fund Asia-Pacific ex-japan MSCI AC Asia Pacific ex Japan MONEY MARKET & BOND USD UK Corporate Bond Fund GBP Corporate Bond iboxx Non Gilts GBP High Yield Bond Fund High Yield Bond ML European High Yield 3% constrained ex sub financials (100% Hedged) Strategic Bond Fund GBP Flexible Bond 60% iboxx Sterling Non Gilts 40% Index & ML European High Yield 3% constrained B-BB (100% Hedged) GBP GBP Sterling Bond Fund* GBP Government Bond FTSE All Stocks Gilts GBP European Bond Fund* Europe Bond ML Pan Europe Large Cap EUR European Corporate Bond Fund* Fixed Income Europe/Corporate iboxx European All Corporate Bond European High Yield Bond Fund* Europe High Yield ML European High Yield 3% constrained ex sub financials (100% Hedged) Dollar Bond Fund* USD Diversified Bond 50% ML Euro-Dollar & Globals/50% ML US Treasuries Master EUR EUR USD 266

268 Performance Summary for the twelve months ended 28 February 2015 Offshore Universe Funds Sector Index Emerging Market Bond Fund* Global Emerging Markets JPM Emerging Market Bonds Global Share Class 1 Return % Share Class 2 Return % Sector Median Net Return % Fund Gross Total Return % Index Total Return % Currency USD Global Bond Fund* Global Bond JPM GBI Global (Traded) EUR GLOBAL EQUITY Global Select Fund Global Large Cap Growth MSCI AC World Free USD Morningstar changed its definition of the GIFS Offshore Universe as at February This resulted in Threadneedle OEIC funds being removed from it. For the purposes of comparison, Threadneedle continues to use this Universe with its OEICs included. Data reflects current management and other charges, but does not consider the effect of initial charges applicable to new investments. *The performance of these funds relates to the gross accumulation shares of class

269 Ongoing Charges Figure Summary for the accounting period 8 March 2014 to 7 March 2015 Fund Share Class March 2015 March 2014 UK Fund Class 1 Net income shares 1.66% 1.66% 1 Class 1 Net accumulation shares 1.69%* Class 2 Net income shares 1.05% 1.04% Class 2 Net accumulation shares 1.05% 1.04% Class Z Net income shares 0.83% 0.87% Class Z Net accumulation shares 0.83% 0.87% UK Select Fund Class 1 Net income shares 1.67% 1.68% Class 2 Net income shares 1.06% 1.06% Class Z Net income shares 0.89% 0.88% UK Smaller Companies Fund Class 1 Net income shares 1.69% 1.70% Class 2 Net income shares 1.07% 1.08% Class Z Net income shares 0.89% 0.90% Class Z Net accumulation shares 0.89% 0.90%* UK Growth & Income Fund Class 1 Net income shares 1.63% 1.63% Class 2 Net income shares 1.06% 1.05% Class Z Net income shares 0.88% 0.88% UK Equity Income Fund Class 1 Net income shares 1.62% 1.62% Class 1 Net accumulation shares 1.62% 1.62% 2 Class 1 CHF Hedged Net accumulation shares 1.63%* 3 Class 1 EUR Hedged Net accumulation shares 1.85%* 4 Class 1 USD Hedged Net accumulation shares 1.60%* Class 2 Net income shares 1.05% 1.04% 5 Class X Net income shares 0.04%* Class Z Net income shares 0.82% 0.86% Class Z Net accumulation shares 0.82% 0.86% 6 Class Z CHF Hedged Net accumulation shares 0.81%* 7 Class Z EUR Hedged Net accumulation shares 0.81%* 8 Class Z USD Hedged Net accumulation shares 0.81%* UK Monthly Income Fund Class 1 Net income shares 1.62% 1.62% Class 2 Net income shares 1.04% 1.05%* Class Z Net income shares 0.88% 0.87% Monthly Extra Income Fund Class 1 Net income shares 1.38% 1.39% Class Z Net income shares 0.73% 0.74% 9 Class Z Net accumulation shares 0.73%* UK Corporate Bond Fund Class 1 Net income shares 0.92% 0.92% Class 1 Gross income shares 0.92% 0.92% Class 2 Net income shares 0.56% 0.55% Class 2 Gross accumulation shares 0.56% 0.55% 10 Class X Gross income shares 0.06%* Sterling Bond Fund Class 1 Net income shares 1.18% 1.19% Class 1 Gross accumulation shares 1.18% 1.19% 11 Class X Gross income shares 0.07%* Class Z Net income shares 0.54% 0.54% Class Z Gross accumulation shares 0.54% 0.54% Sterling Fund Class 1 Net income shares 0.28% 0.27% European Fund Class 1 Net accumulation shares 1.67% 1.68% Class 2 Net accumulation shares 1.06% 1.06% Class Z Net income shares 0.88% 0.89%* Class Z Net accumulation shares 0.89% 0.89% European Select Fund Class 1 Net accumulation shares 1.67% 1.68% Class 1 SGD Hedged Net accumulation shares 1.66% 1.67%* 12 Class 1 USD Hedged Net accumulation shares 1.63%* Class 2 Net income shares 1.06% 1.06% Class 2 Net accumulation shares 1.06% 1.06% 13 Class 2 USD Hedged Net accumulation shares 1.05%* Class Z Net income shares 0.82% 0.86%* Class Z Net accumulation shares 0.83% 0.88% 268

270 Ongoing Charges Figure Summary Fund Share Class March 2015 March 2014 European Smaller Companies Fund Class 1 Net income shares 1.67% 1.68% Class 1 Net accumulation shares 1.67% 1.68% Class 2 Net accumulation shares 1.06% 1.06% Class Z Net income shares 0.88% 0.88%* Class Z Net accumulation shares 0.88% 0.88% Pan European Smaller Companies Fund Class 1 Net accumulation shares 1.67% 1.67% 14 Class 1 USD Hedged Net accumulation Shares 1.49%* Class 2 Net accumulation shares 1.06% 1.05% Class X Net accumulation shares 0.06% 0.05% Class Z Net accumulation shares 0.88% 0.88% Pan European Fund Class 1 Net accumulation shares 1.68% 1.67% Class 2 Net accumulation shares 1.07% 1.05% Class 2i Net accumulation shares 1.08% 1.05% Class X Net accumulation shares 0.07% 0.05% Class Z Net income shares 0.81% 0.88%* Class Z Net accumulation shares 0.89% 0.88% European Bond Fund Class 1 Net income shares 1.18% 1.19% Class 1 Gross accumulation shares 1.18% 1.19% Class 2 Gross accumulation shares 0.57% 0.57% Class Z Net income shares 0.64% 0.64% European Corporate Bond Fund Class 1 Net accumulation shares 1.20% 1.22% Class 1 Gross accumulation shares 1.20% 1.22% Class 2 Gross accumulation shares 0.59% 0.60% Class Z Net accumulation shares 0.66% 0.67%* European High Yield Bond Fund Class 1 Net accumulation shares 1.43% 1.43% Class 1 Gross income shares 1.43% 1.43% Class 1 Gross accumulation shares 1.42% 1.43% Class 2 Gross income shares 0.81% 0.81% Class 2 Gross accumulation shares 0.81% 0.81% Class 2 CHF Hedged Gross accumulation shares 0.81% 0.81% Class X Gross accumulation shares 0.05% 0.06% Class Z Net accumulation shares 0.73% 0.74%* Class Z Gross income shares 0.73% 0.74% Class Z Gross accumulation shares 0.73% 0.74% Strategic Bond Fund Class 1 Net income shares 1.42% 1.43% Class 1 Gross income shares 1.42% 1.43% Class 2 Net income shares 0.81% 0.81% Class 2 Gross income shares 0.81% 0.81% Class 2 Gross accumulation shares 0.81% 0.81% Class Z Net income shares 0.74% 0.74% Class Z Gross income shares 0.74% 0.74% Class Z Gross accumulation shares 0.73% 0.74% American Fund Class 1 Net income shares 1.66% 1.66% Class 1 Net accumulation shares 1.66% 1.66% Class 1 EUR Hedged Net accumulation shares 1.66% 1.66% Class 2 Net accumulation shares 1.05% 1.04% Class X Net accumulation shares 0.05% 0.04% Class Z Net income shares 0.82% 0.86% Class Z Net accumulation shares 0.82% 0.86% Class Z EUR Hedged Net accumulation shares 0.82% 0.87%* American Select Fund Class 1 Net income shares 1.66% 1.66% Class 1 Net accumulation shares 1.66% 1.66% Class 1 EUR Hedged Net accumulation shares 1.67% 1.66% Class 2 Net accumulation shares 1.05% 1.04% Class 2 EUR Hedged Net accumulation shares 1.07% 1.04% Class Z Net income shares 0.83% 0.86% Class Z Net accumulation shares 0.82% 0.86% 15 Class Z CHF Hedged Net accumulation shares 0.83%* Class Z EUR Hedged Net accumulation shares 0.81% 0.83%* 16 Class Z GBP Hedged Net accumulation shares 0.83%* 269

271 Ongoing Charges Figure Summary Fund Share Class March 2015 March 2014 American Smaller Companies Fund (US) Class 1 Net income shares 1.67% 1.70% Class 1 Net accumulation shares 1.67% 1.70% Class 2 Net accumulation shares 1.06% 1.08% Class X Net accumulation shares 0.06% 0.08% Class Z Net income shares 0.88% 0.90%* Class Z Net accumulation shares 0.88% 0.90% Dollar Bond Fund Class 1 Net income shares 1.21% 1.21% Class 1 Gross accumulation shares 1.21% 1.21% Class Z Net income shares 0.67% 0.66% Class Z Gross accumulation shares 0.66% 0.66%* Japan Fund Class 1 Net accumulation shares 1.68% 1.69% Class 2 Net accumulation shares 1.07% 1.07% 17 Class X Net income shares 0.06%* Class Z Net accumulation shares 0.88% 0.89% Asia Fund Class 1 Net accumulation shares 1.70% 1.71% Class 2 Net accumulation shares 1.09% 1.09% 18 Class X Net income shares 0.05%* Class Z Net accumulation shares 0.90% 0.91% Latin America Fund Class 1 Net accumulation shares 1.70% 1.75% Class 2 Net accumulation shares 1.09% 1.13% Class X Net accumulation shares 0.04% 0.13% Class Z Net accumulation shares 0.90% 0.96% Emerging Market Bond Fund Class 1 Net income shares 1.69% 1.70% Class 1 Gross income shares 1.68% 1.69% Class 1 Gross accumulation shares 1.68% 1.69% Class 2 Net income shares 1.07% 1.07%* Class 2 Gross accumulation shares 1.07% 1.07% 19 Class X Gross income shares 0.07%* Class X Gross accumulation shares 0.07% 0.07% Class Z Net income shares 0.74% 0.75% Class Z Gross income shares 0.74% 0.75% Class Z Gross accumulation shares 0.73% 0.75%* High Yield Bond Fund Class 1 Net income shares 1.42% 1.44% Class 1 Gross income shares 1.42% 1.44% 20 Class 1 USD Hedged Gross income shares 1.42%* Class 2 Net income shares 0.81% 0.82% Class 2 Gross income shares 0.82% 0.82% Class 2 Gross accumulation shares 0.81% 0.82% 21 Class X Gross income shares 0.06%* Class Z Net income shares 0.73% 0.74% 22 Class Z Net accumulation shares 0.72%* Class Z Gross income shares 0.72% 0.74%* Class Z Gross accumulation shares 0.73% 0.74% Global Select Fund Class 1 Net accumulation shares 1.67% 1.67% Class 2 Net accumulation shares 1.05% 1.05% Class X Net accumulation shares 0.06% 0.05% 23 Class Z Net income shares 0.88%* Class Z Net accumulation shares 0.88% 0.87% Global Bond Fund Class 1 Net income shares 1.43% 1.43% Class 1 Net accumulation shares 1.43% 1.43% Class 1 Gross income shares 1.43% 1.43% Class 1 Gross accumulation shares 1.43% 1.43% Class 2 Net income shares 0.82% 0.81% Class 2 Gross accumulation shares 0.82% 0.81% Class Z Net income shares 0.64% 0.64% Class Z Gross income shares 0.64% 0.64% Class Z Gross accumulation shares 0.64% 0.64%* 270

272 Ongoing Charges Figure Summary Fund Share Class March 2015 March 2014 UK Institutional Fund Class 1 Net accumulation shares 1.66% 1.65% Class 2 Net accumulation shares 0.80% 0.78% UK Overseas Earnings Fund Class 2 Net income shares 1.57% 1.56% Class Z Net income shares 0.89% 0.89%* The Ongoing Charges Figure (OCF) is the European standard method of disclosing the charges of a share class of a fund based on the last year s expenses and may vary from year to year. It includes charges such as the fund s annual management charge, registration fee, custody fees and distribution cost but ordinarily excludes the costs of buying or selling assets for the fund (unless these assets are shares of another fund). The Key Investor Information Document (KIID) contains the current OCF. Where the fund invests over 10 net assets in other funds, the calculation includes the fund s share of the expenses of the underlying fund less any fee rebates received. The share of costs of the underlying funds may fluctuate due to changes in investment decisions, which may be required as a result of changes in market conditions. For a more detailed breakdown please visit columbiathreadneedle.com/fees. 1 Class 1 Net accumulation shares commenced 11 September Class 1 CHF Hedged Net accumulation shares commenced 3 April Class 1 EUR Hedged Net accumulation shares commenced 3 April Class 1 USD Hedged Net accumulation shares commenced 3 April Class X Net income shares commenced 28 July Class Z CHF Hedged Net accumulation shares commenced 3 April Class Z EUR Hedged Net accumulation shares commenced 3 April Class Z USD Hedged Net accumulation shares commenced 3 April Class Z Net accumulation shares commenced 20 August Class X Gross income shares commenced 28 July Class X Gross income shares commenced 28 July Class 1 USD Hedged Net accumulation shares commenced 14 January Class 2 USD Hedged Net accumulation shares commenced 14 January Class 1 USD Hedged Net accumulation Shares commenced 25 February Class Z CHF Hedged Net accumulation shares commenced 13 March Class Z GBP Hedged Net accumulation shares commenced 13 March Class X Net income shares commenced 4 August Class X Net income shares commenced 4 August Class X Gross income shares commenced 28 July Class 1 USD Hedged Gross income shares commenced 11 September Class X Gross income shares commenced 28 July Class Z Net accumulation shares commenced 11 September Class Z Net income shares commenced 27 March 2014 *The Ongoing Charges Figure is annualised based on the fees incurred during the accounting period or since commencement date. 271

273 Risk and Reward Profiles for the accounting period 8 March 2014 to 7 March 2015 Fund Share Class SRRI* UK Fund Class 1 Net income shares 6 1 Class 1 Net accumulation shares 6 Class 2 Net income shares 6 Class 2 Net accumulation shares 6 Class Z Net income shares 6 Class Z Net accumulation shares 6 UK Select Fund Class 1 Net income shares 6 Class 2 Net income shares 6 Class Z Net income shares 6 UK Smaller Companies Fund Class 1 Net income shares 5 Class 2 Net income shares 5 Class Z Net income shares 5 Class Z Net accumulation shares 5 UK Growth & Income Fund Class 1 Net income shares 5 Class 2 Net income shares 5 Class Z Net income shares 5 UK Equity Income Fund Class 1 Net income shares 5 Class 1 Net accumulation shares 5 2 Class 1 CHF Hedged Net accumulation shares 5 3 Class 1 EUR Hedged Net accumulation shares 5 4 Class 1 USD Hedged Net accumulation shares 5 Class 2 Net income shares 5 5 Class X Net income shares 5 Class Z Net income shares 5 Class Z Net accumulation shares 5 6 Class Z CHF Hedged Net accumulation shares 5 7 Class Z EUR Hedged Net accumulation shares 5 8 Class Z USD Hedged Net accumulation shares 5 UK Monthly Income Fund Class 1 Net income shares 5 Class 2 Net income shares 5 Class Z Net income shares 5 Monthly Extra Income Fund Class 1 Net income shares 5 Class Z Net income shares 5 9 Class Z Net accumulation shares 5 UK Corporate Bond Fund Class 1 Net income shares 3 Class 1 Gross income shares 3 Class 2 Net income shares 3 Class 2 Gross accumulation shares 3 10 Class X Gross income shares 3 Sterling Bond Fund Class 1 Net income shares 4 Class 1 Gross accumulation shares 4 11 Class X Gross income shares 4 Class Z Net income shares 4 Class Z Gross accumulation shares 4 Sterling Fund Class 1 Net income shares 1 European Fund Class 1 Net accumulation shares 6 Class 2 Net accumulation shares 6 Class Z Net income shares 6 Class Z Net accumulation shares 6 European Select Fund Class 1 Net accumulation shares 6 Class 1 SGD Hedged Net accumulation shares 6 12 Class 1 USD Hedged Net accumulation shares 6 Class 2 Net income shares 6 Class 2 Net accumulation shares 6 13 Class 2 USD Hedged Net accumulation shares 6 Class Z Net income shares 6 Class Z Net accumulation shares 6 272

274 Risk and Reward Profiles Fund Share Class SRRI* European Smaller Companies Fund Class 1 Net income shares 6 Class 1 Net accumulation shares 6 Class 2 Net accumulation shares 6 Class Z Net income shares 6 Class Z Net accumulation shares 6 Pan European Smaller Companies Fund Class 1 Net accumulation shares 6 14 Class 1 USD Hedged Net accumulation Shares 6 Class 2 Net accumulation shares 6 Class X Net accumulation shares 6 Class Z Net accumulation shares 6 Pan European Fund Class 1 Net accumulation shares 6 Class 2 Net accumulation shares 6 Class 2i Net accumulation shares 6 Class X Net accumulation shares 6 Class Z Net income shares 6 Class Z Net accumulation shares 6 European Bond Fund Class 1 Net income shares 4 Class 1 Gross accumulation shares 4 Class 2 Gross accumulation shares 4 Class Z Net income shares 4 European Corporate Bond Fund Class 1 Net accumulation shares 4 Class 1 Gross accumulation shares 4 Class 2 Gross accumulation shares 4 Class Z Net accumulation shares 4 European High Yield Bond Fund Class 1 Net accumulation shares 4 Class 1 Gross income shares 4 Class 1 Gross accumulation shares 4 Class 2 Gross income shares 4 Class 2 Gross accumulation shares 4 Class 2 CHF Hedged gross accumulation shares 4 Class X Gross accumulation shares 4 Class Z Net accumulation shares 4 Class Z Gross income shares 4 Class Z Gross accumulation shares 4 Strategic Bond Fund Class 1 Net income shares 3 Class 1 Gross income shares 3 Class 2 Net income shares 3 Class 2 Gross income shares 3 Class 2 Gross accumulation shares 3 Class Z Net income shares 3 Class Z Gross income shares 3 Class Z Gross accumulation shares 3 American Fund Class 1 Net income shares 6 Class 1 Net accumulation shares 6 Class 1 EUR Hedged Net accumulation shares 6 Class 2 Net accumulation shares 6 Class X Net accumulation shares 6 Class Z Net income shares 6 Class Z Net accumulation shares 6 Class Z EUR Hedged Net accumulation shares 6 American Select Fund Class 1 Net income shares 6 Class 1 Net accumulation shares 6 Class 1 EUR Hedged Net accumulation shares 6 Class 2 Net accumulation shares 6 Class 2 EUR Hedged Net accumulation shares 6 Class Z Net income shares 6 Class Z Net accumulation shares 6 15 Class Z CHF Hedged Net accumulation shares 6 Class Z EUR Hedged Net accumulation shares 6 16 Class Z GBP Hedged Net accumulation shares 6 273

275 Risk and Reward Profiles Fund Share Class SRRI* American Smaller Companies Fund (US) Class 1 Net income shares 6 Class 1 Net accumulation shares 6 Class 2 Net accumulation shares 6 Class X Net accumulation shares 6 Class Z Net income shares 6 Class Z Net accumulation shares 6 Dollar Bond Fund Class 1 Net income shares 4 Class 1 Gross accumulation shares 4 Class Z Net income shares 4 Class Z Gross accumulation shares 4 Japan Fund Class 1 Net accumulation shares 6 Class 2 Net accumulation shares 6 17 Class X Net income shares 6 Class Z Net accumulation shares 6 Asia Fund Class 1 Net accumulation shares 6 Class 2 Net accumulation shares 6 18 Class X Net income shares 6 Class Z Net accumulation shares 6 Latin America Fund Class 1 Net accumulation shares 6 Class 2 Net accumulation shares 6 Class X Net accumulation shares 6 Class Z Net accumulation shares 6 Emerging Market Bond Fund Class 1 Net income shares 4 Class 1 Gross income shares 4 Class 1 Gross accumulation shares 4 Class 2 Net income shares 4 Class 2 Gross accumulation shares 4 19 Class X Gross income shares 4 Class X Gross accumulation shares 4 Class Z Net income shares 4 Class Z Gross income shares 4 Class Z Gross accumulation shares 4 High Yield Bond Fund Class 1 Net income shares 4 Class 1 Gross income shares 4 20 Class 1 USD Hedged Gross income shares 4 Class 2 Net income shares 4 Class 2 Gross income shares 4 Class 2 Gross accumulation shares 4 21 Class X Gross income shares 4 Class Z Net income shares 4 22 Class Z Net accumulation shares 4 Class Z Gross income shares 4 Class Z Gross accumulation shares 4 Global Select Fund Class 1 Net accumulation shares 6 Class 2 Net accumulation shares 6 Class X Net accumulation shares 6 23 Class Z Net income shares 6 Class Z Net accumulation shares 6 Global Bond Fund Class 1 Net income shares 4 Class 1 Net accumulation shares 4 Class 1 Gross income shares 4 Class 1 Gross accumulation shares 4 Class 2 Net income shares 4 Class 2 Gross accumulation shares 4 Class Z Net income shares 4 Class Z Gross income shares 4 Class Z Gross accumulation shares 4 UK Institutional Fund Class 1 Net accumulation shares 6 Class 2 Net accumulation shares 6 UK Overseas Earnings Fund Class 2 Net income shares 5 Class Z Net income shares 5 274

276 Risk and Reward Profiles * As at 7 March 2015 the synthetic risk and reward indicator (SRRI) is explained in the table below: 1 Class 1 Net accumulation shares commenced 11 September Class 1 CHF Hedged Net accumulation shares commenced 3 April Class 1 EUR Hedged Net accumulation shares commenced 3 April Class 1 USD Hedged Net accumulation shares commenced 3 April Class X Net income shares commenced 28 July Class Z CHF Hedged Net accumulation shares commenced 3 April Class Z EUR Hedged Net accumulation shares commenced 3 April Class Z USD Hedged Net accumulation shares commenced 3 April Class Z Net accumulation shares commenced 20 August Class X Gross income shares commenced 28 July Class X Gross income shares commenced 28 July Class 1 USD Hedged Net accumulation shares commenced 14 January Class 2 USD Hedged Net accumulation shares commenced 14 January Class 1 USD Hedged Net Accumulation Shares commenced 25 February Class Z CHF Hedged Net accumulation shares commenced 13 March Class Z GBP Hedged Net accumulation shares commenced 13 March Class X Net income shares commenced 4 August Class X Net income shares commenced 4 August Class X Gross income shares commenced 28 July Class 1 USD Hedged Gross income shares commenced 11 September Class X Gross income shares commenced 28 July Class Z Net accumulation shares commenced 11 September Class Z Net income shares commenced 27 March 2014 SRRI 1 The fund is in this specific category because historically it has shown a low level of volatility (how much the value of the fund went up and down compared to other categories). 2 The fund is in this specific category because historically it has shown a relatively low level of volatility (how much the value of the fund went up and down compared to other categories). 3 The fund is in this specific category because historically it has shown a medium to low level of volatility (how much the value of the fund went up and down compared to other categories). 4 The fund is in this specific category because historically it has shown a medium level of volatility (how much the value of the fund went up and down compared to other categories). 5 The fund is in this specific category because historically it has shown a medium to high level of volatility (how much the value of the fund went up and down compared to other categories). 6 The fund is in this specific category because historically it has shown a high level of volatility (how much the value of the fund went up and down compared to other categories). 7 The fund is in this specific category because historically it has shown a very high level of volatility (how much the value of the fund went up and down compared to other categories). The Risk and Reward Profile is based on past performance data in pound sterling. If your investment in the fund is not in pound sterling, please check the figure for the risk and reward profile disclosed on our website (columbiathreadneedle.com) according to the currency of your investment in the fund. Historical data may not be a reliable indication of the future risk profile of the funds. The SRRI category shown is not guaranteed to remain unchanged and that the categorisation of the funds may shift over time. The lowest category does not mean a risk-free investment. No form of capital protection or capital guarantee applies to any of the classes. The risk and reward profile of the UK Growth and Income Fund changed from 6 to 5 for all share classes on 27 June The risk and reward profile of the UK Monthly Income Fund changed from 6 to 5 for class 2 and class Z shares on 15 July The risk and reward profile of the UK Corporate Bond Fund changed from 4 to 3 for all share classes on 18 June The risk and reward profile of the European Bond Fund changed from 5 to 4 for class 1 and class 2 shares on 16 May The risk and reward profile of the European High Yield Bond Fund changed from 5 to 4 for class 2 shares on 18 June The risk and reward profile of the American Fund Class 1 EUR hedged share class changed from 6 to 5 on 2 September The risk and reward profile of the Dollar Bond Fund changed from 5 to 4 for all share classes on 16 May The risk and reward profile of the Emerging Market Bond Fund changed from 5 to 4 for all share classes on 16 May The risk and reward profile of the UK Overseas Earning Fund changed from 6 to 5 for class Z shares on 15 July 2014 and from 6 to 5 for class 2 shares on 28 July The risk and reward profile of the UK Smaller Companies Fund changed from 6 to 5 for all share classes on 23 February

277 Shares Issued and Redeemed Summary for the accounting period 8 March 2014 to 7 March 2015 Fund Number Issued Number Redeemed Net Conversions UK Fund 618,686,889 (575,040,248) (11,927,151) UK Select Fund 14,542,773 (23,393,229) (595,347) UK Smaller Companies Fund 24,967,012 (31,253,861) 1,038,864 UK Growth & Income Fund 56,241,400 (60,525,216) (3,996,329) UK Equity Income Fund 796,594,708 (407,752,000) (78,167,582) UK Monthly Income Fund 32,311,701 (62,372,006) (16,344,787) Monthly Extra Income Fund 136,121,162 (15,173,598) (8,913,350) UK Corporate Bond Fund 142,069,400 (119,104,605) (12,901) Sterling Bond Fund 56,966,083 (65,786,390) (4,199,978) Sterling Fund 40,134,280 (114,930,221) European Fund 90,475,749 (63,024,664) 963,506 European Select Fund 333,197,579 (227,730,182) 28,049,663 European Smaller Companies Fund 47,197,176 (143,551,071) 24,680,075 Pan European Smaller Companies Fund 331,883,925 (626,876,342) 631,092 Pan European Fund 135,793,968 (112,050,795) (45,785) European Bond Fund 221,342,428 (220,861,142) (1,640,153) European Corporate Bond Fund 53,713,180 (53,138,120) (45,511) European High Yield Bond Fund 155,412,387 (342,607,376) 1,199,563 Strategic Bond Fund 44,501,243 (130,031,159) (31,718,118) American Fund 114,151,718 (405,025,098) 8,647,245 American Select Fund 54,254,102 (616,891,397) 18,796,995 American Smaller Companies Fund (US) 99,190,546 (150,996,830) 3,098,950 Dollar Bond Fund 16,270,796 (27,403,558) (208,876) Japan Fund 579,954,284 (371,076,987) (1,213,049) Asia Fund 64,277,308 (64,659,370) 5,015,123 Latin America Fund 26,700,898 (62,673,592) 13,654,872 Emerging Market Bond Fund 48,468,145 (115,150,185) (12,271,384) High Yield Bond Fund 208,830,693 (332,796,566) (122,406,265) Global Select Fund 132,270,876 (175,397,791) (35,731) Global Bond Fund 92,970,042 (57,851,015) (3,194,039) UK Institutional Fund 92,475,164 (175,513,011) (15,114) UK Overseas Earnings Fund 3,190,238 (11,898,950)

278 Further Information Threadneedle Investment Funds ICVC (the Company) is an open-ended investment company with variable capital incorporated in England and Wales under regulation 14 (Authorisation) of the Open-Ended Investment Companies Regulations 2001 (as amended) and the shareholders are not liable for the debts of the Company. The Company is structured as an umbrella company in which different sub-funds (funds) may be established from time to time by the ACD with the approval of the FCA and the agreement of the depositary. Prospectus A prospectus (the Prospectus), which describes each fund in detail, is available from Threadneedle Investment Services Limited, International Financial Data Services, P.O. Box 10033, Chelmsford, Essex CM99 2AL and from the paying agents and distributors in the countries where the fund is distributed. The funds are segregated portfolios of assets and, accordingly, the assets of a fund belong exclusively to that Fund and shall not be used to discharge directly or indirectly the liabilities of, or claims against, any other person or body, including the umbrella, or any other fund, and shall not be available for any such purpose. Each fund has the investment powers equivalent to those of a UCITS scheme (as defined in the FCA rules). Other funds may be launched in the future. Key Investor Information Document Subscription requirements The KIID is a pre-contractual document and investors have to confirm that they have read the latest KIID before making a subscription. Threadneedle has the right to reject a subscription if the investor does not confirm that they have read the latest KIID at the time of application. Investors can obtain the latest KIID from columbiathreadneedle.com. Changes to the management of the ACD On 30 June 2014, Mr. Philip Reed resigned from his role as a director of the ACD. Mrs Ann Roughead was appointed as a director of the ACD on 7 July 2014, and Mr. Don Jordison was appointed as a director of the ACD on 29 July Changes to the Prospectus During the period from 8 March 2014 to 7 March 2015 the following changes were made to the Prospectus of the Company: n change of depositary from JP Morgan Trustee & Depositary Company Limited to Citibank International Limited; n updates to tax disclosures relating to Foreign Account Tax Compliance Act requirements and removal of references to Stamp Duty Reserve Tax following its abolition; n insertion of wording allowing deferred redemptions; n update to risk factors to highlight shareholder concentration risk and enhance wording of liquidity risk; n amendment to stock lending language to reflect current practice; n amendment to Depositary fee; n enhanced language around use of derivatives for Efficient Portfolio Management (EPM); n effective 1 August 2014 increase in range of market capitalisation for American Smaller Companies Fund (US); n insertion of wording to highlight the UK Fund s eligibility for Plan d Epargne en Actions investment; n addition of wording to highlight that certain funds are registered for sale in Sweden; n update to description of the ACD s complaints policy and controversial weapons policy, and inclusion of description of the ACD s policy regarding responsible investment. n reduction of registration fee for Class Z shares in American Fund, American Select Fund, European Select Fund and UK Equity Income Fund; n insertion of important information wording for Swiss and Mexican investors; n addition of CHF currency Class 1 shares and new Hedged Z Share Classes in American Select Fund, UK Equity Income Fund and High Yield Bond Fund. Changes to the Instrument of Incorporation During the period from 8 March 2014 to 7 March 2015 there have been no changes to the Instrument of Incorporation of the Company. Characteristics of Shares The Company is structured as an umbrella company and currently consists of 32 different sub-funds. Several classes of share may be issued in respect of the fund, distinguished by their criteria for subscription and fee structure. Share Class Minimum Investment Eligibility GBP (Class 1) GBP 2,000 Retail investors EUR (Class 1) EUR 2,500 Retail investors USD (Class 1) USD 3,000 Retail investors JPY (Class 1) JPY 280,000 Retail investors CHF (Class 1) CHF 3,000 Retail investors GBP (Class 2) GBP 0.5 million Non-retail investors EUR (Class 2) EUR 0.75 million Non-retail investors USD (Class 2) USD 0.8 million Non-retail investors JPY (Class 2) JPY 70 million Non-retail investors GBP (Class Z)* GBP 1 million Eligible EUR (Class Z)* EUR 1.5 million Eligible USD (Class Z)* USD 1.5 million Eligible JPY (Class Z)* JPY 140 million Eligible GBP (Class X) GBP 3 million Eligible EUR (Class X) EUR 5 million Eligible investors only USD (Class X) USD 5 million Eligible investors only JPY (Class X) JPY 420 million Eligible investors only EUR (Class 1 Hedged Share Class) EUR 2,500 Retail investors USD (Class 1 Hedged Share Class) USD 3,000 Retail investors CHF (Class 2 Hedged Share Class) CHF 1.2 million Non-retail investors EUR (Class 2 Hedged Share Class) EUR 0.75 million Non-retail investors USD (Class 2 Hedged Share Class) USD 0.8 million Non-retail investors AUD (Class X Hedged Share Class) AUD 5 million Eligible investors only EUR (Class Z Hedged Share Class)* EUR 1,500,000 Eligible investors only CHF (Class Z Hedged Share Class)* CHF 1.5 million Eligible investors only GBP (Class Z Hedged Share Class)* GBP 1 million Eligible investors only SGD (Class 1 Hedged Share Class) SGD 4,000 Retail investors USD (Class 2i) USD 0.8 million Non-retail investors GBP (Class 2i) GBP 0.5 million Non-retail investors Euro (Class 2i) EUR 0.75 million Non-retail investors JPY (Class 2i) JPY 70 million Non-retail investors *Class Z Shares are available at the ACD s discretion to eligible distributors that have entered into separate fee arrangements with their clients. 277

279 Further Information The limits for minimum initial investment, minimum subsequent investment and minimum holding of shares may be waived at the discretion of the ACD. The level of net income attributable to each share class will differ. For further information please refer to the Prospectus. Hedged Share Classes (HSCs) HSCs use currency hedging transactions to try to reduce the exposure to the Reference Currency and replace it with an exposure to the hedged Currency. The terms Reference Currency, Portfolio Currency and Hedged Currency are defined as follows: Report and Financial Statements Investors will receive a report on Threadneedle Investment Funds ICVC twice a year. The reports received will be short form versions and reports containing the full financial statements will be available from Threadneedle Investment Services Limited, P.O. Box 10033, Chelmsford, Essex CM99 2AL and from the paying agents and distributors in the countries where the funds are registered. The report will provide information on the performance of the funds, the market background, and details of each of the portfolios. The annual accounting period for the funds shall end on 7 March and the interim reporting period shall end on 7 September. n Reference Currency or Reference Currencies means (according to the context) the primary investment currency of the share class against which the currency hedging transaction will be applied in order to reduce any exchange rate fluctuation with the Hedged Currency; n Portfolio Currency or Portfolio Currencies means (according to the context) the currency or currencies in which the underlying assets of the fund are invested in line with the investment objectives applicable to the fund; n Hedged Currency is the currency in which the Hedged Share Class is denominated. These HSCs should not be confused with other share classes that may be denominated in other currencies but will not be hedged. For full details of the HSCs available, including details of the Reference Currency or Portfolio Currency of each fund for which HSCs are available, please refer to the latest version of the Prospectus. The Auditors gave their opinion on the financial statements presented in English. They take no responsibility for the translation of these financial statements. Where there is any inconsistency between the version presented in English and any translation, the English language version has precedent. Foreign Account Tax Compliance Act (FATCA) Threadneedle and its funds ( Threadneedle ) have registered with the US Internal Service in accordance with FATCA and other current related legislation. Threadneedle has put in place appropriate processes and procedures to maintain its compliance with the statutory requirements, including ensuring that Threadneedle obtain the required certification from its clients and investors as necessary to mitigate any requirement upon Threadneedle to withhold or report such clients under the legislation. This registration and compliance process will ensure that Threadneedle will not suffer withholding tax under FATCA. SDRT Provision Stamp Duty Reserve Tax (SDRT) is chargeable on the surrender of shares (i.e. the redemption or switching of shares), and on certain transfers of shares in the funds. The current rate of SDRT is 0.5%. The liability for SDRT is calculated weekly by reference to share sales and repurchases in that and the following week but is reduced proportionately to the extent that the investments held by the funds are exempt investments, which essentially are any assets other than United Kingdom equities and other collective investment schemes that are not exempt from SDRT. Any funds which only invests in exempt investments, i.e. holds no United Kingdom equities, will therefore be wholly exempt from SDRT. How it affects shareholders and potential shareholders: The ACD meets the SDRT liability from the property of the Company. It is not the ACD s intention to require the payment of a further provision for SDRT (as set out in the Prospectus). Schedule 19 SDRT was abolished on 30 March Income Equalisation For those funds which operate equalisation, the first allocation made after the acquisition of shares will include an amount of equalisation. This amount represents the ACD s best estimate of the income included in the price at which the shares were acquired (subject to grouping where appropriate) and represents a capital repayment for UK tax purposes which should be deducted from the cost of shares in arriving at any capital gain realised on their subsequent disposal. Performance For the period under review, where applicable, fund performance has been compared to the relevant peer group. We show a peer group comparison as this more accurately reflects the way the fund is managed. We continue to show stock market indices for information purposes and for those funds where the Investment Management Association sector is not felt to be a representative peer group. Audited peer group information is only available from Morningstar s Fund Services at month end points. 278

280 Directory Registered Office Cannon Place 78 Cannon Street London EC4N 6AG Authorised Corporate Director (ACD) Threadneedle Investment Services Limited Cannon Place 78 Cannon Street London EC4N 6AG Registrar Threadneedle Investment Services Limited Delegated to: International Financial Data Services (UK) Limited Authorised and regulated by the Financial Conduct Authority (FCA) St Nicholas Lane Basildon Essex SS15 5FS Investment Manager Threadneedle Asset Management Limited Cannon Place 78 Cannon Street London EC4N 6AG Depositary Citibank International Limited (Authorised by the Prudential Regulatory Authority (PRA) and regulated by the FCA and PRA) Citigroup Centre 33 Canada Square Canary Wharf London E14 5LB Legal Advisers Eversheds LLP One Wood Street London EC2V 7WS Baum Financial Services Law Team Grosser Burstah Hamburg Germany Independent Auditor PricewaterhouseCoopers LLP Atria One 144 Morrison Street Edinburgh EH3 8EX Authorised Corporate Director Client Services Details UK Investors Address: Threadneedle Investment Services Limited PO Box Chelmsford Essex CM99 2AL Telephone (dealing & customer enquiries): * Fax (dealing): (enquiries): Asian Residents Address: Threadneedle Investment Services Limited International Financial Data Services 47, avenue JF Kennedy L-1855 Luxembourg Telephone (dealing & customer enquiries): * Fax (dealing): (enquiries): *Calls will be recorded All Other Investors Address: Threadneedle Investment Services Limited International Financial Data Services 47, avenue JF Kennedy L-1855 Luxembourg Telephone (dealing & customer enquiries): * Fax (dealing): (enquiries): Website: columbiathreadneedle.com Paying and Information Agent in Austria Zentralbank Osterreich AG Am Stadtpark 9 Stadtpark A-030 Vienna Austria Paying and Information Agent in Belgium J.P. Morgan Chase Bank Brussels 1, Boulevard du Roi Albert II 1210 Brussels Belgium Paying and Information Agent in France BNP Paribas Securities Services 66 rue de la Victoire Paris France Paying and Information Agent in Germany J.P. Morgan AG Junghofstr Frankfurt am Main Germany Paying and Information Agent in Hong Kong HSBC Institutional Trust Services (Asia) Limited Services Transfer Agency, Fund Services 1 Queen s Road Central Hong Kong Paying and Information Agent in Italy Allfunds Bank S.A. Via Santa Margherita, Milan Italy BNP Paribas Securities Services Via Ansperto Milan Italy Société Genérale Securities Services S.p.A. via Benigno Crespi 19/A MAC Milan Italy State Street Bank S.p.A. Via Ferrante Aporti, Milan Italy Paying and Information Agent in Luxembourg State Street Bank Luxembourg S.A. 49 avenue J.F. Kennedy L-1855 Luxembourg Grand Duchy of Luxembourg Representative and Paying Agent in Switzerland BNP Paribas Securities Services, Paris, succursale de Zurich Selnaustrasse Zurich Switzerland 279

281 Directory Spain Threadneedle Investment Funds ICVC is duly authorised for its marketing in Spain under registered number 482 for such purposes with the Register of Foreign Collective Investment Schemes of the Comisión Nacional del Mercado de Valores (CNMV), in accordance with section 15.2 of Law 35/2003 of 4 November 2003 on Collective Investment Schemes, as amended. A list of the appointed local distributors Funds and share classes available for public distribution in Spain is available at the CNMV web page ( Paying and Information Agent in Sweden Skandinaviska Enskilda Banken AB Kungsträdgårdsgatan, SE Stockholm Sweden 280

282 Important Information References in this document to any fund do not constitute an offer or invitation to subscribe to shares in such a fund. We recommend you obtain detailed information before the purchase of shares. Subscriptions to a fund may only be made on the basis of the current Prospectus or Key Investor Information document (KIID) and the latest annual and interim reports. Please refer also to the Risk Factors in the Prospectus. Past performance is not a guide to future returns. The value of investments and any income from them is not guaranteed and may fall as well as rise and the investor may not get back the original investment. Exchange rate movements could increase or decrease the value of underlying investments/holdings. The dealing price of the funds may include a dilution adjustment. Further details are available in the Prospectus. The mention of any specific shares or bonds should not be taken as a recommendation to deal and anyone considering dealing in these financial instruments should consult a stockbroker or financial adviser. The research and analysis included in this document has been produced by Threadneedle for its own investment management activities, may have been acted upon prior to publication and is made available here incidentally. Any opinions expressed are made as at the date of publication but are subject to change without notice. Key Risks of the fund: The following table below shows the key risks applying to each fund. A definition of the key risks can be found overleaf. Funds/ Key risks Investment Currency No Capital Guarantee Counterparty Issuer Political and Financial Liquidity Effect of Portfolio Concentration Inflation Interest Rate Valuation Short Selling Leverage Investment in Derivatives Derivatives for EPM / Hedging Volatility High Volatility Investment in Deposits UK Fund X X X X UK Select Fund X X X X X UK Smaller Companies Fund X X X X X UK Growth & Income Fund X X X X UK Equity Income Fund X X X X UK Monthly Income Fund X X X X Monthly Extra Income Fund X X X X X X X X UK Corporate Bond Fund X X X X X X X High Yield Bond Fund X X X X X X X X X Strategic Bond Fund X X X X X X X X X X X Sterling Bond Fund X X X X X X X Sterling Fund X X X X X X European Fund X X X X European Select Fund X X X X X European Smaller Companies Fund X X X X X Pan European Smaller Companies Fund X X X X X Pan European Fund X X X X European Bond Fund X X X X X X X European Corporate Bond Fund X X X X X X X European High Yield Bond Fund X X X X X X X X X American Fund X X X X American Select Fund X X X X X American Smaller Companies Fund (US) X X X X X 281

283 Important Information Funds/ Key risks Investment Currency No Capital Guarantee Counterparty Issuer Political and Financial Liquidity Effect of Portfolio Concentration Inflation Interest Rate Valuation Short Selling Leverage Investment in Derivatives Derivatives for EPM / Hedging Volatility High Volatility Investment in Deposits Dollar Bond Fund X X X X X X X Japan Fund X X X X Asia Fund X X X X X X Latin America Fund X X X X X Emerging Market Bond Fund X X X X X X X X X Global Select Fund X X X X X Global Bond Fund X X X X X X X UK Institutional Fund X X X X UK Overseas Earnings Fund X X X X Description of the Key Risks: Investment Risk: The value of investments can fall as well as rise and investors might not get back the sum originally invested. Currency Risk: Where investments are in assets that are denominated in multiple currencies, or currencies other than your own, changes in exchange rates may affect the value of the investments. No Capital Guarantee Risk: Positive returns are not guaranteed and no form of capital protection applies. Interest Rate Risk: Changes in interest rates are likely to affect the fund s value. In general, as interest rates rise, the price of a fixed rate bond will fall, and vice versa. Valuation Risk: The fund s assets may sometimes be difficult to value objectively and the actual value may not be recognised until assets are sold. Short Selling Risk: Short selling intends to make a profit from falling prices. However if the value of the underlying investment increases, the value of the short position will decrease. The potential losses are unlimited as the prices of the underlying investments can increase very significantly in a short space of time. Counterparty Risk: The fund may enter into financial transactions with selected counterparties. Any financial difficulties arising at these counterparties could significantly affect the availability and the value of fund assets. Leverage Risk: Leverage amplifies the effect that a change in the price of an investment has on the fund s value. As such, leverage can enhance returns to investors but can also increase losses, including losses in excess of the amount invested. Issuer Risk: The Fund invests in securities whose value would be significantly affected if the issuer refused, was unable to or was perceived to be unable to pay. Investment in Derivatives Risk: The Investment Policy of the fund allows it to invest materially in derivatives. Political and Financial Risk: The fund invests in markets where economic and regulatory risk can be significant. These factors can affect liquidity, settlement and asset values. Any such event can have a negative effect on the value of your investment. Liquidity Risk: The fund holds assets which could prove difficult to sell. The fund may have to lower the selling price, sell other investments or forego more appealing investment opportunities. Effect of Portfolio Concentration Risk: The Fund has a concentrated portfolio (holds a limited number of investments and/or has a restricted investment universe) and if one or more of these investments declines or is otherwise affected, it may have a pronounced effect on the fund s value. Derivatives for EPM / Hedging Risk: The investment policy of the fund allows it to invest in derivatives for the purposes of reducing risk or minimising the cost of transactions. Volatility Risk: The fund may exhibit significant price volatility. High Volatility Risk: The fund typically carries a risk of high volatility due to its portfolio composition or the portfolio management techniques used. This means that the fund s value is likely to fall and rise more frequently and this could be more pronounced than with other funds. Investment in Deposits Risk: The Investment Policy of the fund allows it to invest principally in deposits. Inflation Risk: Most bond and cash funds offer limited capital growth potential and an income that is not linked to inflation. Inflation is likely to affect the value of capital and income over time. Further risks applicable to the fund can be found in the Prospectus. 282

284 To find out more visit columbiathreadneedle.com Threadneedle Investment Services Limited, ISA Manager, Authorised Corporate Director and Unit Trust Manager. Registered No Registered in England and Wales. Registered Office: Cannon Place, 78 Cannon Street, London EC4N 6AG. Authorised and regulated by the Financial Conduct Authority. Columbia Threadneedle Investments is the global brand name of the Columbia and Threadneedle group of companies. columbiathreadneedle.com