SPECIALIST INVESTMENT FUNDS ICVC

Transcription

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

2 Contents Company Information* 2 Director s Report* 3 Aggregated Financial Statements for Threadneedle Specialist Investment Funds ICVC 4 Notes to the Aggregated Financial Statements for Threadneedle Specialist Investment Funds ICVC 5 7 UK Mid 250 Fund 8 11 UK Extended Alpha Fund UK Equity Alpha Income Fund UK Absolute Alpha Fund Absolute Return Bond Fund Target Return Fund Pan European Focus Fund Pan European Equity Dividend Fund American Extended Alpha Fund China Opportunities Fund Global Emerging Markets Equity Fund Emerging Market Local Fund Global Extended Alpha Fund Global Equity Income Fund Global Opportunities Bond Fund Statement of Authorised Corporate Director s (ACD) Responsibilities 76 Statement of the Depositary s Responsibilities and Report of the Depositary 76 Independent Auditors Report 77 Portfolio Statements*: UK Mid 250 Fund UK Extended Alpha Fund UK Equity Alpha Income Fund 82 UK Absolute Alpha Fund Absolute Return Bond Fund Target Return Fund Pan European Focus Fund Pan European Equity Dividend Fund American Extended Alpha Fund China Opportunities Fund Global Emerging Markets Equity Fund Emerging Market Local Fund Global Extended Alpha Fund Global Equity Income Fund Global Opportunities Bond Fund Comparative Tables* Performance Summary* Ongoing Charges Figure Summary* Risk and Reward Profiles* Shares Issued and Redeemed Summary* 137 Further Information* Directory* Important Information* *These pages, together with the investment reports of the individual funds comprise the Authorised Corporate Director s Report. 1

3 Company Information Company Threadneedle Specialist Investment Funds ICVC (the Company) Registered Number IC 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. Board of Directors of the ACD Chairman and Chief Executive C D Fleming 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 (Resigned from the Board 24 June 2015) A Roughead (Appointed to the Board 7 July 2014) 2

4 Director s Report The ACD, Threadneedle Investment Services Limited, has pleasure in presenting the Annual Report and Financial Statements for Threadneedle Specialist Investment Funds ICVC for the 12 months to 30 April 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. Campbell Fleming Director 3

5 Aggregated Financial Statements for Threadneedle Specialist Investment Funds ICVC STATEMENT OF TOTAL RETURN for the accounting period 1 May 2014 to 30 April 2015 Notes Income Net capital gains 2 394, ,030 Revenue 3 140,690 99,094 Expenses 4 (51,250) (46,693) Finance costs: Derivative expense (8,408) (5,680) Interest (44) (18) Net revenue before taxation 80,988 46,703 Taxation 5 (9,002) (4,528) Net revenue after taxation 71,986 42,175 Total return before distributions 466, ,205 Finance costs: s (104,286) (70,086) Change in net assets attributable to shareholders from investment activities 362, ,119 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 1 May 2014 to 30 April 2015 Opening net assets attributable to shareholders 4,103,498 2,837,506 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 2,097,891 2,752,439 Amounts payable on the cancellation of shares (2,182,588) (1,662,747) Amounts payable on inspecie transfers (23,121) (107,818) 1,089,692 Dilution adjustment 3,481 4,417 Stamp duty reserve tax (67) (701) Change in net assets attributable to shareholders from investment activities (see statement of total return above) 362, ,119 Retained distribution on accumulation shares 30,916 25,465 Closing net assets attributable to shareholders 4,392,302 4,103,498 BALANCE SHEET as at 30 April 2015 Notes Assets Investment assets 4,024,456 3,764,568 Other assets Debtors 6 70,396 81,204 Cash and bank balances 393, ,125 Total other assets 464, ,329 Total assets 4,488,624 4,197,897 Liabilities Derivative liabilities (17,626) (11,945) Other liabilities Creditors 7 (44,061) (56,327) Bank overdrafts (1,664) (87) payable on income shares (32,971) (26,040) Total other liabilities (78,696) (82,454) Total liabilities (96,322) (94,399) Net assets attributable to shareholders 4,392,302 4,103,498 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. D Jordison Director T N Gillbanks Director 15 July

6 Notes to the Aggregated Financial Statements for Threadneedle Specialist Investment Funds ICVC 1 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 accounts 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 Revenue is included in the Statement of Total Return on the following bases: Dividends on quoted equities, portfolio swaps 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. In addition, the ACD is entitled to receive a performance fee in the event of the NAV per share of the Fund outperforming the relevant benchmark index, in respect of the following funds: American Extended Alpha Fund Global Extended Alpha Fund UK Absolute Alpha Fund UK Extended Alpha Fund Any fees arising as a result of outperformance are charged to capital. The performance fee is only chargeable at the end of any Performance Period i.e. 31 December, and will be paid within one month of that date. If no performance fee has been charged since the launch of the Share Class, no performance fee will be payable until such time as there is an Excess Return and there is a performance fee accrual at the end of the Performance Period. Further details including the relevant benchmark index, can be found within the Expenses note of the individual funds. (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. Revenue 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 139). 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. Revenue attributable to Accumulation shareholders is retained at the end of each distribution period and represents a reinvestment of revenue. 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: Emerging Market Local Fund Global Equity Income Fund Pan European Focus Fund UK Equity Alpha 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. 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. Ongoing premiums on credit default swaps are charged or credited to revenue/expenses on an accruals basis, depending on whether protection is bought or sold. Any capital gains/losses (including those from portfolio swaps) 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. 5

7 Notes to the Aggregated Financial Statements for Threadneedle Specialist Investment Funds ICVC 2 NET CAPITAL GAINS Net capital gains during the period comprise: Non-derivative securities 382, ,413 Derivative contracts 3,438 (14,580) Forward currency contracts (5,263) 34,087 Other gains/(losses) 13,655 (22,655) Transaction costs qwqqqqqqqqqr (34) (235) Net capital gains 394, ,030 zcvzzxvzzzzzzzzzzzz 3 REVENUE UK dividends 58,421 40,474 Overseas dividends 73,893 44,410 Stock dividends 313 Interest on debt securities 7,189 12,593 Interest on short term investments Derivative revenue Bank interest Underwriting commission 72 Stocklending commission qwqqqqqqqqqr Total revenue 140,690 99,094 zcvzzxvzzzzzzzzzzzz 4 EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Annual management charge (42,279) (40,244) **Performance fee (4,617) (3,247) Registration fees qwqqqqqqqqqr (3,148) (2,408) (50,044) (45,899) zcvzzxvzzzzzzzzzzzz Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary s fees (399) (244) Safe custody fees (423) (265) Revenue collection expenses qwqqqqqqqqqr (35) (17) (857) (526) zcvzzxvzzzzzzzzzzzz Other expenses: Regulatory fee (90) (82) Audit fee (245) (186) Professional fee (11) Bank charges qwqqqqqqqqqr (3) qwqqqqqqqqqr (349) (268) *Total expenses (51,250) (46,693) zcvzzxvzzzzzzzzzzzz *Including irrecoverable VAT where applicable. ** The ACD is entitled to receive a performance fee for the UK Extended Alpha, American Extended Alpha, Global Extended Alpha and the UK Absolute Alpha Funds in the event of the NAV per Share of the Fund outperforming the relevant benchmark index (with revenue reinvested, calculated at market close) by the hurdle rate (as set by the fund) or more over the performance period. The performance fee is set (by fund) as a percentage of the outperformance. Performance fees are calculated on a calendar basis and may vary substantially from year to year depending on how a fund has performed against its benchmark. As the accounting period falls during the calculation period of the performance fee, the performance fees are accrued at that point in time, but may not represent the actual amount that will be paid. Therefore, previously accrued amounts may be required to be reversed. The performance fee by its nature is a capital charge, and is therefore charged to capital for the purpose of the calculation of distribution. 5 TAXATION a) Analysis of charge in period Overseas taxes qqqqqqqqqqr (9,002) (4,528) Total current tax (note 5b) qqqqqqqqqqr (9,002) (4,528) Total tax charge for the period qqqqqqqqqqr (9,002) (4,528) b) Factors affecting taxation charge for period qqqqqqqqqqr Net revenue before taxation qqqqqqqqqqr 80,988 46,569 Net revenue before taxation multiplied by the standard rate of corporation tax of 20% (16,198) (9,314) Revenue not subject to taxation 23,105 16,173 Overseas taxes (9,002) (4,528) Overseas taxes expensed (1,201) 57 Excess expenses (6,366) (7,359) Revenue taxable in other periods s treated as tax deductible Capitalised revenue subject to taxation (2) Retail Review (RDR) conversion transfer from capital qqqqqqqqqqr (7) Current tax charge for period (note 5a) (9,002) (4,528) zzzzzzzzzzzzzzz 6 DEBTORS Amounts receivable for the issue of shares 20,194 33,887 Sales awaiting settlement 27,435 27,394 Accrued revenue 21,721 19,411 Foreign withholding tax recoverable qqqqqqqqqqr 1, Total debtors 70,396 81,204 zzzzzzzzzzzzzzz 7 CREDITORS Amounts payable for the cancellation of shares (28,501) (26,620) Purchases awaiting settlement (9,597) (21,080) Accrued expenses (314) (516) Amounts payable to ACD (3,814) (7,900) Accrued performance fee (1,777) (141) Income tax payable (15) (26) Corporation tax payable qqqqqqqqqqr (43) (44) Total creditors (44,061) (56,327) zzzzzzzzzzzzzzz 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, performance 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. 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. 6

8 Notes to the Aggregated Financial Statements for Threadneedle Specialist Investment Funds ICVC 10 STOCKLENDING During the period under review, the company has entered into certain stocklending transactions to increase the revenue of the funds. The following funds have benefited from these arrangements during the period: Global Equity Income Fund UK Equity Alpha Fund The funds have earned 5,000 (2014: 667,000) of which Nil (2014: 4,000) was outstanding at year end. They have paid fees of Nil (2014: 90,000) of which Nil (2014: 3,000) was outstanding at year end to Threadneedle Investment Services Limited. In addition they have paid fees of Nil (2014: 93,000) 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: Nil), and there was no collateral held (2014: Nil) 11 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. A sensitivity analysis for the relevant funds is shown in their notes to the financial statements, contained within the full accounts, where derivative holdings could impact the fund 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 fund can not raise sufficient cash to meet its 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 fund 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 fund has fulfilled its 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 broker s 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 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 financial statements. Further analysis including numerical disclosures can be found within the Derivative and Other Financial Instruments note of the individual funds. 7

9 Threadneedle UK Mid 250 Fund Investment Report Investment Objective The investment objective of the UK Mid 250 Fund is to achieve capital growth from a portfolio of UK mid cap equities. Investment Policy The ACD s investment policy is to invest the assets of the Fund primarily in a selection of medium sized companies which are constituents of the FTSE 250 (ex Investment Trusts) Index. If the ACD considers it desirable, it may also invest in companies which are not included in that index, and may hold cash and/or money market instruments. Performance of Net Accumulation Class 1 Shares* Over the twelve months to 30 April 2015, the published share price of the Threadneedle UK Mid 250 Fund has risen from p to p. For comparison, using noon prices, the performance of the Class 1 share class was % and % for the Class 2 share class compared to a return of 7.34% for the Morningstar UK Unit Trusts/OEICs - (IA) UK All Companies Peer Group (on a bid to bid basis, with income reinvested for a UK basic rate taxpayer). For information purposes, using global close prices, the total return of the FTSE Mid 250 (ex Investment Trusts) Index was %. Portfolio Activity The UK equity market posted a positive return during the 12 months under review. The FTSE All-Share index rose by 7.48% while the FTSE Mid 250 (ex Investment Trusts) was up by 13.16%. On 20 March the FTSE 100 index climbed above 7,000 for the first time in its history, before going on to set a new record closing high of 7,103 in April. Investors were heartened by the strength of the UK economic recovery and the pick-up in corporate mergers and acquisitions. GDP growth for 2014 was revised up from 2.6% to 2.8%, the highest annual growth rate since 2006, although the pace of growth subsequently slowed in the first quarter of Job creation was strong, with unemployment falling to a little over 1.8m and record numbers of people in work. As the labour market has continued to tighten, there have been further signs of a pick-up in wage growth, which could give an added fillip to consumer spending. For much of the period, the divergent fortunes of the UK economy and those in Europe and Asia had an important impact on the earnings of many UK companies. Also, the steep decline in oil prices in the latter half of 2014 hit energy companies hard, creating a drag on UK stock indices. The advent of quantitative easing (QE) in the eurozone in early 2015 provided a boost to European stocks and somewhat brightened the economic prospects for Britain s leading trading partner. Disinflationary pressures came to the fore in the first quarter of 2015, with consumer price inflation falling to 0%. However, this was largely attributable to the lower cost of food and fuel, and many analysts remained confident that energy prices would subsequently pick up again. Much attention was also focused on the general election, with polls predicting a hung parliament and ensuing uncertainty. In the event, just after the end of this period, the Conservatives won a slim overall majority. Over the reporting period, the more domestically-focused FTSE 250 index outperformed the larger stocks comprising the FTSE 100, as the latter were more exposed to the global economic slowdown and the fall in commodity prices. The fund was well positioned in companies benefiting from the ongoing UK economic recovery; through careful stock selection we sought out to identify businesses with strong pricing power, low debt levels and good growth prospects. We particularly favoured beneficiaries of an improvement in consumer spending, as the fall in energy costs is providing a useful boost to household disposable incomes. Given the positive outlook for the consumer, we opened a position in Home Retail Group (Argos and Homebase), which looks well placed for solid growth in the coming year. Elsewhere, we initiated a position in Essentra (speciality plastic and fibre products) after the company used its balance-sheet strength to make an acquisition of a pharma-focused packaging company that is widely expected to be earnings accretive. We sold out of Kentz (engineering) and AZ Electronic Materials (chemicals), after both companies were acquired. STATEMENT OF TOTAL RETURN for the accounting period 1 May 2014 to 30 April 2015 Notes Income Net capital gains 2 12,844 16,925 Revenue 3 2,752 4,778 Expenses 4 (1,293) (1,744) Net revenue before taxation 1,459 3,034 Taxation 5 (34) Net revenue after taxation 1,425 3,034 Total return before distributions 14,269 19,959 Finance costs: s 6 (1,454) (3,057) Change in net assets attributable to shareholders from investment activities 12,815 16,902 BALANCE SHEET as at 30 April 2015 Notes Assets Investment assets 102, ,301 Other assets Debtors 7 3,764 2,453 Cash and bank balances 3,579 3,570 Total other assets 7,343 6,023 Total assets 109, ,324 Liabilities Other liabilities Creditors 8 (5,362) (4,679) Total other liabilities (5,362) (4,679) Total liabilities (5,362) (4,679) Net assets attributable to shareholders 104, ,645 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 1 May 2014 to 30 April 2015 Opening net assets attributable to shareholders 136, ,101 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 18,257 27,381 Amounts payable on the cancellation of shares (64,702) (34,539) (46,445) (7,158) Dilution adjustment Stamp duty reserve tax (8) (111) Change in net assets attributable to shareholders from investment activities (see statement of total return above) 12,815 16,902 Retained distribution on accumulation shares 1,252 2,890 Closing net assets attributable to shareholders 104, ,645 DISTRIBUTION TABLE for the accounting period 1 May 2014 to 30 April 2015 Dividend distribution in pence per share Class 1 Shares Net Accumulation Period Net Revenue Equalisation Net Revenue Net Revenue Accumulated Accumulated 2014/ /2014 Group 1 01/05/14 to 30/04/ Group 2 01/05/14 to 30/04/ Total distributions in the period Class 2 Shares Net Accumulation Period Net Revenue Equalisation Net Revenue Accumulated Net Revenue Accumulated 2014/ /2014 Group 1 01/05/14 to 30/04/ Group 2 01/05/14 to 30/04/ Total distributions in the period *In pound Sterling and against UK peer group. Please refer to pages for comparative tables. 8

10 Threadneedle UK Mid 250 Fund DISTRIBUTION TABLE Class Z Shares Net Accumulation Period Net Revenue Equalisation Net Revenue Accumulated Net Revenue Accumulated 2014/ /2014 Group 1 01/05/14 to 30/04/ Group 2 01/05/14 to 30/04/ Total distributions in the period Group 2: shares purchased during a distribution period 9

11 Threadneedle UK Mid 250 Fund Notes to the financial statements for the accounting period 1 May 2014 to 30 April ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 5. 2 NET CAPITAL GAINS Net capital gains during the period comprise: Non-derivative securities 12,845 16,927 Other gains 2 Transaction costs (1) (4) Net capital gains 12,844 16,925 3 REVENUE UK dividends 2,599 4,489 Overseas dividends Stock dividends 123 Bank interest 7 9 Underwriting commission 4 Stocklending commission 16 Total revenue 2,752 4,778 4 EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Annual management charge (1,175) (1,615) Registration fees (76) (97) (1,251) (1,712) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary's fees (10) (15) Safe custody fees (13) (2) (23) (17) Other expenses: Regulatory fee (6) (5) Audit fee (13) (10) (19) (15) * Total expenses (1,293) (1,744) *Including irrecoverable VAT where applicable. 5 TAXATION a) Analysis of charge in period Overseas taxes (34) Total current tax (note 5b) (34) Total tax charge for the period (34) b) Factors affecting taxation charge for period Net revenue before taxation 1,459 3,034 Net revenue before taxation multiplied by the standard rate of corporation tax of 20% (292) (607) Effects of: Revenue not subject to taxation Overseas taxes (34) Overseas taxes expensed 7 Excess expenses (222) (344) Revenue taxable in other periods 18 Retail Review (RDR) conversion transfer from capital (6) Current tax charge for period (note 5a) (34) The fund has not recognised a deferred tax asset of 1,592,911 (2014: 1,370,517) 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: Final 1,252 2,890 Add: Revenue deducted on cancellation of shares Deduct: Revenue received on creation of shares (117) (343) Net distribution for the period 1,454 3,057 Total finance costs 1,454 3,057 Net revenue after taxation 1,425 3,034 Equalisation on conversions Net distribution for the period 1,454 3,057 Details of the distribution per share are set out in the table on pages 8 and 9. 7 DEBTORS Amounts receivable for the issue of shares 9 64 Sales awaiting settlement 3,197 1,463 Accrued revenue Total debtors 3,764 2,453 8 CREDITORS Amounts payable for the cancellation of shares (5,244) (4,371) Accrued expenses (13) (10) Amounts payable to ACD (105) (298) Total creditors (5,362) (4,679) 9 RELATED PARTY TRANSACTIONS The related parties are set out in detail in Note 8 of the aggregated financial statements on page 6. 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 Mid 250 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% 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 123. The distribution per share class is given in the distribution table on pages 8 and 9. All classes have the same rights on winding up. 10

12 Threadneedle UK Mid 250 Fund Notes to the financial statements 11 STOCKLENDING During the period under review the fund has earned Nil (2014: 23,000) of which Nil (2014: 3,000) was outstanding at year end. They have paid fees of Nil (2014: 3,000) to Threadneedle Investment Services Limited. 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 page 7. 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 30 April 2015 was: Floating rate financial assets Fixed rate financial assets Financial assets not carrying interest Total Currency 2015 Euro UK Sterling 3, , ,621 US Dollar Currency 2014 UK Sterling 3, , ,185 US Dollar Floating rate financial liabilities Fixed rate financial liabilities Financial liabilities not carrying interest Total Currency 2015 UK Sterling (5,362) (5,362) Currency 2014 UK Sterling (4,679) (4,679) 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 39,859 93,763 Commissions Taxes Total purchase costs Gross purchases total 40,059 94,324 Analysis of total sale costs Gross sales before transaction costs 85,933 95,962 Commissions (113) (142) Total sale costs (113) (142) Total sales net of transaction costs 85,820 95,820 11

13 Threadneedle UK Extended Alpha Fund Investment Report Investment Objective The investment objective of the UK Extended Alpha Fund is to achieve above average capital growth from a concentrated portfolio of UK equities. Investment Policy The ACD s investment policy is to actively manage an exposure primarily to a concentrated portfolio of UK equities, i.e. equities of companies domiciled in the UK, or which have significant UK operations, by investing directly or indirectly in such securities. This 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 up to one third of the assets of the Fund in markets outside the United Kingdom. The Fund s exposure may be gained through long and short positions. The ACD may take long and short positions through the use of derivatives and forward transactions. In addition in order to gain long exposure, the ACD may invest in equities, collective investment schemes including exchange traded funds and/or related indices. If the ACD considers it desirable, it may hold a substantial proportion or all of the Fund in cash and/or other securities (including fixed interest securities and money market instruments). Performance of Net Accumulation Class 1 Shares* Over the twelve months to 30 April 2015, the published share price of limited issue shares in the Threadneedle UK Extended Alpha Fund has risen from p to p. For comparison, using noon prices, the performance of the Class 1 share class was % and % for the Class 2 share class compared to a return of % for the Morningstar UK Unit Trusts/OEICs (IA) UK All Companies Peer Group (on a bid to bid basis, with income reinvested for a UK basic rate taxpayer). For information purposes, using global close prices, the total return of the FTSE All-Share Index was +7.48%. Portfolio Activity The UK equity market posted a positive return during the 12 months under review. The FTSE All-Share index rose by 7.48% while the FTSE Mid 250 (ex Investment Trusts) was up by 13.16%. On 20 March the FTSE 100 index climbed above 7,000 for the first time in its history, before going on to set a new record closing high of 7,103 in April. Investors were heartened by the strength of the UK economic recovery and the pick-up in corporate mergers and acquisitions. GDP growth for 2014 was revised up from 2.6% to 2.8%, the highest annual growth rate since 2006, although the pace of growth subsequently slowed in the first quarter of Job creation was strong, with unemployment falling to a little over 1.8m and record numbers of people in work. As the labour market has continued to tighten, there have been further signs of a pick-up in wage growth, which could give an added fillip to consumer spending. For much of the period, the divergent fortunes of the UK economy and those in Europe and Asia had an important impact on the earnings of many UK companies. Also, the steep decline in oil prices in the latter half of 2014 hit energy companies hard, creating a drag on UK stock indices. The advent of quantitative easing (QE) in the eurozone in early 2015 provided a boost to European stocks and somewhat brightened the economic prospects for Britain s leading trading partner. Disinflationary pressures came to the fore in the first quarter of 2015, with consumer price inflation falling to 0%. However, this was largely attributable to the lower cost of food and fuel, and many analysts remained confident that energy prices would subsequently pick up again. Much attention was also focused on the general election, with polls predicting a hung parliament and ensuing uncertainty. In the event, just after the end of this period, the Conservatives won a slim overall majority. In terms of fund activity, on the long book, we initiated a position in pharmaceutical company AstraZeneca following Pfizer s failed takeover bid. We identified increasing value in AstraZeneca s drugs pipeline. Other recent additions included Diageo (beverages), Rentokil (pest control and facilities management) and Pearson (education & publishing). Additionally, we increased the position in Rio Tinto (mining) and strong-performing defensive stock BT Group. Rio Tinto has an attractive valuation and a more stable financial position than its peers. Conversely, we sold out of BP. Several short positions which met our price targets were closed during the year. Short positions were generally taken in stocks where we held a cautious view of the company s future prospects. For example, we recently instigated short positions in an indebted vendor of high-end shoes, where trading is less healthy than had been hoped, and an online grocery company. STATEMENT OF TOTAL RETURN for the accounting period 1 May 2014 to 30 April 2015 Notes Income Net capital gains 2 6,589 2,720 Revenue 3 1,943 1,221 Expenses 4 (902) (500) Finance costs: Interest 6 (1) Net revenue before taxation 1, Taxation 5 (1) Net revenue after taxation 1, Total return before distributions 7,628 3,441 Finance costs: s 6 (1,413) (933) Change in net assets attributable to shareholders from investment activities 6,215 2,508 BALANCE SHEET as at 30 April 2015 Notes Assets Investment assets 62,041 43,380 Other assets Debtors 7 1,559 2,593 Cash and bank balances 8 5,281 2,688 Total other assets 6,840 5,281 Total assets 68,881 48,661 Liabilities Derivative liabilities (79) Other liabilities Creditors 9 (771) (1,503) payable on income shares (2) Total other liabilities (771) (1,505) Total liabilities (850) (1,505) Net assets attributable to shareholders 68,031 47,156 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 1 May 2014 to 30 April 2015 Opening net assets attributable to shareholders 47,156 24,128 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 26,811 21,460 Amounts payable on the cancellation of shares (13,831) (2,344) 12,980 19,116 Dilution adjustment Stamp duty reserve tax (8) Change in net assets attributable to shareholders from investment activities (see statement of total return above) 6,215 2,508 Retained distribution on accumulation shares 1,558 1,275 Closing net assets attributable to shareholders 68,031 47,156 *In pound Sterling and against UK peer group. Please refer to pages for comparative tables. DISTRIBUTION TABLE for the accounting period 1 May 2014 to 30 April 2015 Dividend distribution in pence per share Class 1 Shares Net Accumulation Period Net Revenue Equalisation Net Revenue Net Revenue Accumulated Accumulated 2014/ /2014 Group 1 01/05/14 to 30/04/ Group 2 01/05/14 to 30/04/ Total distributions in the period Class 2 Shares Net Accumulation Period Net Revenue Equalisation Net Revenue Net Revenue Accumulated Accumulated 2014/ /2014 Group 1 01/05/14 to 30/04/ Group 2 01/05/14 to 30/04/ Total distributions in the period

14 Threadneedle UK Extended Alpha Fund DISTRIBUTION TABLE Class X Shares Net Accumulation Period Net Revenue Equalisation Net Revenue Net Revenue Accumulated Accumulated 2014/ /2014 Group 1 01/05/14 to 30/04/ Group 2 01/05/14 to 30/04/ Total distributions in the period Group 2: shares purchased during a distribution period 13

15 Threadneedle UK Extended Alpha Fund Notes to the financial statements for the accounting period 1 May 2014 to 30 April ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 5. 2 NET CAPITAL GAINS Net capital gains during the period comprise: Non-derivative securities 4,166 2,126 Derivative contracts 2, Other losses (2) Transaction costs (1) (4) Net capital gains 6,589 2,720 3 REVENUE UK dividends 1,800 1,039 Stock dividends 51 Derivative revenue Bank interest 15 6 Underwriting commission 2 Stocklending commission 3 Total revenue 1,943 1,221 4 EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Annual management charge (460) (248) ** Performance fee (373) (212) Registration fees (32) (18) (865) (478) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary s fees (6) (6) Safe custody fees (12) (18) (6) Other expenses: Regulatory fee (6) (6) Audit fee (13) (10) (19) (16) * Total expenses (902) (500) *Including irrecoverable VAT where applicable. ** The ACD is entitled to receive a performance fee in the event of the NAV per Share of the Fund outperforming the FTSE All Share Index (with revenue reinvested, calculated at market close) by 2% (being the hurdle rate ) or more over the performance period. The performance fee is set at 20 the outperformance. Performance fees are calculated on a calendar basis and may vary substantially from year to year depending on how a fund has performed against its benchmark. As the accounting period falls during the calculation period of the performance fee, the performance fees are accrued at that point in time, but may not represent the actual amount that will be paid. Therefore, previously accrued amounts may be required to be reversed. The performance fee by its nature is a capital charge, and is therefore allocated to capital when calculating the distribution. A performance fee of 353,335 (2014: 222,119) was paid during the reporting period in respect of the calendar year ended 31 December 2014 representing 0.56 the NAV at that date. 5 TAXATION a) Analysis of charge in period Overseas taxes (1) Total current tax (note 5b) (1) Total tax charge for the period (1) b) Factors affecting taxation charge for period Net revenue before taxation 1, Net revenue before taxation multiplied by the standard rate of corporation tax of 20% (208) (144) Effects of: Revenue not subject to taxation Overseas taxes (1) Excess expenses (152) (74) Current tax charge for period (note 5a) (1) The fund has not recognised a deferred tax asset of 621,188 (2014: 469,626) 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 1,558 1,275 1,558 1,275 Add: Revenue deducted on cancellation of shares Deduct: Revenue received on creation of shares (292) (365) Net distribution for the period 1, Interest 1 Total finance costs 1, Net revenue after taxation 1, Equalisation on conversion 1 Performance fee charged to capital Net distribution for the period 1, Details of the distribution per share are set out in the table on pages 12 and DEBTORS Amounts receivable for the issue of shares 945 1,729 Sales awaiting settlement Accrued revenue Foreign withholding tax recoverable 1 Total debtors 1,559 2,593 8 CASH AND BANK BALANCES Amounts held at futures clearing houses and brokers 27 Cash and bank balances 5,282 2,661 Total cash and bank balances 5,282 2,688 14

16 Threadneedle UK Extended Alpha Fund Notes to the financial statements 9 CREDITORS Amounts payable for the cancellation of shares (206) (14) Purchases awaiting settlement (486) (1,414) Accrued expenses (13) (13) Amounts payable to ACD (47) (62) Accrued performance fee (19) Total creditors (771) (1,503) 10 RELATED PARTY TRANSACTIONS The related parties are set out in detail in Note 8 of the aggregated financial statements on page 6. 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, registration services and performance fees 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 UK Extended Alpha 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 1.25% Class 2 shares 0.75% Class X shares N/A* Registration fees Class 1 shares 0.110% Class 2 shares 0.050% 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 123. The distribution per share class is given in the distribution table on pages 12 and 13. 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 fund has earned Nil (2014: 4,000). They have paid fees of Nil (2014: 1,000) to Threadneedle Investment Services Limited. In addition they have paid fees of Nil (2014: 1,000) to J.P. Morgan as the security lending agent to process these arrangements and hold the collateral. 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 page 7. Currency exposures Net foreign currency assets Non- Monetary exposures monetary exposures Total Currency 2015 US Dollar Currency 2014 Euro (1) (1) 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 30 April 2015 was: Floating rate financial assets Fixed rate financial assets Financial assets not carrying interest Total Currency 2015 UK Sterling 5,246 63,528 68,774 US Dollar Currency 2014 Euro 1 1 UK Sterling 2,688 45,713 48,401 US Dollar Floating rate financial liabilities Fixed rate financial liabilities Financial liabilities not carrying interest Total Currency 2015 UK Sterling (860) (860) Currency 2014 Euro (2) (2) UK Sterling (1,690) (1,690) As part of the fund strategy, the fund manager is allowed to short sell up to 50 the NAV of the Fund and thereby gain some leverage. To achieve this, the fund has entered into a portfolio swap throughout this accounting period, whereby the total return of a basket of securities, including capital appreciation or depreciation, has been received in exchange for a series of periodic cash flows calculated by reference to financing costs, stock loan fees and interest in respect of short positions. The swap is subject to a monthly reset process, thereby crystallising returns and risk exposure each month. The use of short selling strategies increases the risk profile of the fund, and may result in a higher degree of volatility than a fund that does not employ short exposure. Any such positions entered into are regularly reviewed by the fund manager. At 30 April 2015, the fund had outstanding portfolio swaps with an asset value of Nil (2014: 274,000) and a liability value of 79,000 (2014: Nil). Cash balances are held in floating rate accounts where interest is calculated with reference to prevailing market rates. 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 37,101 31,501 Commissions Taxes Total purchase costs Gross purchases total 37,303 31,664 Analysis of total sale costs Gross sales before transaction costs 22,571 11,780 Commissions (29) (17) Total sale costs (29) (17) Total sales net of transaction costs 22,542 11,763 15

17 Threadneedle UK Equity Alpha Income Fund Investment Report Investment Objective The investment objective of the UK Equity Alpha Income Fund is to achieve a reasonable and growing income with the prospects of capital growth from a concentrated portfolio of UK equities. Investment Policy The ACD s investment policy is to invest the assets of the Fund in a concentrated portfolio of predominantly UK equities. The Alpha Income investment approach is a highly focused management style, which gives the ACD 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. Performance of Net Income Class 1 Shares* Over the twelve months to 30 April 2015, the published share price of the Threadneedle UK Equity Alpha Income Fund has risen from 64.85p to 68.31p. For comparison, using noon prices, the performance of the Class 1 share class was +7.56% and +8.20% for the Class 2 share class compared to a return of 8.93% for the Morningstar UK Unit Trusts/OEICS (IA) UK Equity Income Peer Group (on a bid to bid basis, with income reinvested for a UK basic rate taxpayer). For information purposes, using global close prices, the total return of the FTSE All-Share Index was +7.48% Portfolio Activity The UK equity market posted a positive return during the 12 months under review. The FTSE All-Share index rose by 7.48% while the FTSE Mid 250 (ex Investment Trusts) was up by 13.16%. On 20 March the FTSE 100 index climbed above 7,000 for the first time in its history, before going on to set a new record closing high of 7,103 in April. Investors were heartened by the strength of the UK economic recovery and the pick-up in corporate mergers and acquisitions. GDP growth for 2014 was revised up from 2.6% to 2.8%, the highest annual growth rate since 2006, although the pace of growth subsequently slowed in the first quarter of Job creation was strong, with unemployment falling to a little over 1.8m and record numbers of people in work. As the labour market has continued to tighten, there have been further signs of a pick-up in wage growth, which could give an added fillip to consumer spending. For much of the period, the divergent fortunes of the UK economy and those in Europe and Asia had an important impact on the earnings of many UK companies. Also, the steep decline in oil prices in the latter half of 2014 hit energy companies hard, creating a drag on UK stock indices. The advent of quantitative easing (QE) in the eurozone in early 2015 provided a boost to European stocks and somewhat brightened the economic prospects for Britain s leading trading partner. Disinflationary pressures came to the fore in the first quarter of 2015, with consumer price inflation falling to 0%. However, this was largely attributable to the lower cost of food and fuel, and many analysts remained confident that energy prices would subsequently pick up again. Much attention was also focused on the general election, with polls predicting a hung parliament and ensuing uncertainty. In the event, just after the end of this period, the Conservatives won a slim overall majority. In terms of fund activity, we initiated a position in energy utility Centrica; the shares appeared attractively valued and the company has a new management team in place. We also bought into investment company Standard Life, which has been reshaped into a less capital intensive model, with strong distribution agreements. The firm s valuation does not appear to reflect the strength of the balance sheet or the fund-management business. We exited transport firm National Express, as we see better opportunities in sector peer Stagecoach, where we initiated a holding. We sold out of our position in insurer Aviva. Following the deal to buy its peer Friends Life, the stock became popular in the market in the hope that the merged businesses could generate sustainable dividend growth. Despite the momentum behind it, we were wary of the execution risk associated with the deal. STATEMENT OF TOTAL RETURN for the accounting period 1 May 2014 to 30 April 2015 Notes Income Net capital gains 2 42,138 83,812 Revenue 3 36,270 25,899 Expenses 4 (9,273) (6,908) Finance costs: Interest 6 (4) Net revenue before taxation 26,993 18,991 Taxation 5 (7) Net revenue after taxation 26,993 18,984 Total return before distributions 69, ,796 Finance costs: s 6 (35,597) (25,479) Change in net assets attributable to shareholders from investment activities 33,534 77,317 BALANCE SHEET as at 30 April 2015 Notes Assets Investment assets 893, ,987 Other assets Debtors 7 14,529 17,874 Cash and bank balances 7,547 3,393 Total other assets 22,076 21,267 Total assets 916, ,254 Liabilities Other liabilities Creditors 8 (935) (11,237) payable on income shares (20,201) (15,338) Total other liabilities (21,136) (26,575) Total liabilities (21,136) (26,575) Net assets attributable to shareholders 894, ,679 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 1 May 2014 to 30 April 2015 Opening net assets attributable to shareholders 732, ,090 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 188, ,178 Amounts payable on the cancellation of shares (59,915) (13,775) 128, ,403 Dilution adjustment Stamp duty reserve tax (10) (211) Change in net assets attributable to shareholders from investment activities (see statement of total return above) 33,534 77,317 Closing net assets attributable to shareholders 894, ,679 DISTRIBUTION TABLE for the accounting period 1 May 2014 to 30 April 2015 Dividend distribution in pence per share Class 1 Shares Net Income Period Net Revenue Equalisation Paid/Payable Paid 2014/ /2014 Group 1 01/05/14 to 31/10/ /11/14 to 30/04/ Group 2 01/05/14 to 31/10/ /11/14 to 30/04/ Total distributions in the period *In pound Sterling and against UK peer group. Please refer to pages for comparative tables. 16

18 Threadneedle UK Equity Alpha Income Fund DISTRIBUTION TABLE Class 2 Shares Net Income Period Net Revenue Equalisation Paid/Payable Paid 2014/ /2014 Group 1 01/05/14 to 31/10/ /11/14 to 30/04/ Group 2 01/05/14 to 31/10/ /11/14 to 30/04/ Total distributions in the period Class X Shares Net Income* Period Net Revenue Equalisation Paid /Payable 2015 Group 1 20/11/14 to 30/04/ Group 2 20/11/14 to 30/04/ Total distributions in the period Class Z Shares Net Income Period Net Revenue Equalisation Paid/Payable Paid 2014/ /2014 Group 1 01/05/14 to 31/10/ /11/14 to 30/04/ Group 2 01/05/14 to 31/10/ /11/14 to 30/04/ Total distributions in the period Group 2: shares purchased during a distribution period. *Class X Net income shares commenced on 19 November

19 Threadneedle UK Equity Alpha Income Fund Notes to the financial statements for the accounting period 1 May 2014 to 30 April ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 5. 2 NET CAPITAL GAINS Net capital gains during the period comprise: Non-derivative securities 42,149 83,818 Other losses (10) (3) Transaction costs (1) (3) Net capital gains 42,138 83,812 3 REVENUE UK dividends 36,201 25,823 Overseas dividends 30 8 Interest on short term investments Bank interest 9 15 Stocklending commission 1 40 Total revenue 36,270 25,899 4 EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Annual management charge (8,606) (6,498) Registration fees (540) (361) (9,146) (6,859) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary s fees (78) (30) Safe custody fees (32) (6) (110) (36) Other expenses: Regulatory fee (3) (4) Audit fee (13) (9) Miscellaneous expenses (1) (17) (13) * Total expenses (9,273) (6,908) *Including irrecoverable VAT where applicable. 5 TAXATION a) Analysis of charge in period Overseas taxes (7) Total current tax (note 5b) (7) Total tax charge for the period (7) b) Factors affecting taxation charge for period Net revenue before taxation 26,993 18,991 Net revenue before taxation multiplied by the standard rate of corporation tax of 20% (5,399) (3,798) Effects of: Revenue not subject to taxation 7,107 5,165 Overseas taxes (7) Excess expenses (1,708) (1,367) Current tax charge for period (note 5a) (7) The fund has not recognised a deferred tax asset of 5,636,453 (2014: 3,927,913) 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 17,091 12,601 Final 20,201 15,338 37,292 27,939 Add: Revenue deducted on cancellation of shares Deduct: Revenue received on creation of shares (2,297) (2,615) Net distribution for the period 35,597 25,479 Interest 4 Total finance costs 35,601 25,479 Net revenue after taxation 26,993 18,984 Annual management charge to capital 8,606 6,498 Movement in revenue carried forward (1) Equalisation on conversion (1) (3) Net distribution for the period 35,597 25,479 Details of the distribution per share are set out in the table on pages 16 and DEBTORS Amounts receivable for the issue of shares 5,518 5,552 Sales awaiting settlement 5,142 Accrued revenue 9,011 7,180 Total debtors 14,529 17,874 8 CREDITORS Amounts payable for the cancellation of shares (79) (632) Purchases awaiting settlement (9,181) Accrued expenses (23) (20) Amounts payable to ACD (833) (1,404) Total creditors (935) (11,237) 9 RELATED PARTY TRANSACTIONS The related parties are set out in detail in Note 8 of the aggregated financial statements on page 6. 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, registration services and performance fees 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. 18

20 Threadneedle UK Equity Alpha Income Fund Notes to the financial statements 10 SHAREHOLDER FUNDS Threadneedle UK Equity Alpha Income 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 0.110% 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 123. The distribution per share class is given in the distribution table on pages 16 and 17. All classes have the same rights on winding up. *X Shares are not subject to an Annual Management Charge. 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 247, ,448 Commissions 314 1,071 Taxes 1,168 1,589 Total purchase costs 1,482 2,660 Gross purchases total 248, ,108 Analysis of total sale costs Gross sales before transaction costs 134, ,195 Commissions (182) (218) Total sale costs (182) (218) Total sales net of transaction costs 134, , STOCKLENDING During the period under review the Threadneedle UK Equity Alpha Income Fund has entered into stocklending arrangements. The fund has earned 1,000 (2014: 56,000). They have paid fees of Nil (2014: 8,000) to Threadneedle Investment Services Limited. In addition they have paid fees of Nil (2014: 8,000) to J.P. Morgan as the security lending agent to process these arrangements and hold the collateral. 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 page 7. 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 30 April 2015 was: Floating rate financial assets Fixed rate financial assets Financial assets not carrying interest Total Currency 2015 UK Sterling 7, , ,034 Currency 2014 UK Sterling 3, , ,253 Floating rate financial liabilities Fixed rate financial liabilities Financial liabilities not carrying interest Total Currency 2015 UK Sterling (21,136) (21,136) Currency 2014 UK Sterling (26,574) (26,574) The floating rate financial assets include deposits which have a weighted average interest rate of 0.35% (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. 19

21 Threadneedle UK Absolute Alpha Fund Investment Report Investment Objective The investment objective of the UK Absolute Alpha Fund is to achieve an absolute return, irrespective of market conditions, over the long term and a positive return over a 12 month period. There is a risk to capital, and there is no guarantee that such a return will be achieved within 12 months, or any other timescale. Investment Policy The ACD s investment policy is to principally invest in: equity securities, or equity related derivatives, of corporate issuers headquartered in the United Kingdom (or corporate issuers who exercise a predominant part of their activity in the United Kingdom) fixed interest securities, cash, or money market instruments. If the ACD considers it desirable, the ACD may invest in securities and derivatives related to corporate issuers headquartered outside the United Kingdom. The Fund s exposure to any equities may be gained through long and short positions. The ACD may take long and short positions through the use of derivatives and forward transactions. In addition in order to gain long exposure the ACD may invest in equities, collective investment schemes including exchange traded funds and/ or related indices. Performance of Net Accumulation Class 1 Shares* Over the twelve months to 30 April 2015, the published share price of the Threadneedle UK Absolute Alpha Fund has risen from p to p. For comparison, using noon prices, the performance of the Class 1 share class was +6.61% and +7.09% for the Class 2 share class compared to a return of % for the Morningstar UK Unit Trusts/OEICS (IA) UK Absolute Return Peer Group (on a bid to bid basis, with income reinvested for a UK basic rate taxpayer). For information purposes, the UK LIBOR 3 Month returned +0.56% Portfolio Activity The UK equity market posted a positive return during the 12 months under review. The FTSE All-Share index rose by 7.48% while the FTSE Mid 250 (ex Investment Trusts) was up by 13.16%. On 20 March the FTSE 100 index climbed above 7,000 for the first time in its history, before going on to set a new record closing high of 7,103 in April. Investors were heartened by the strength of the UK economic recovery and the pick-up in corporate mergers and acquisitions. GDP growth for 2014 was revised up from 2.6% to 2.8%, the highest annual growth rate since 2006, although the pace of growth subsequently slowed in the first quarter of Job creation was strong, with unemployment falling to a little over 1.8m and record numbers of people in work. As the labour market has continued to tighten, there have been further signs of a pick-up in wage growth, which could give an added fillip to consumer spending. For much of the period, the divergent fortunes of the UK economy and those in Europe and Asia had an important impact on the earnings of many UK companies. Also, the steep decline in oil prices in the latter half of 2014 hit energy companies hard, creating a drag on UK stock indices. The advent of quantitative easing (QE) in the eurozone in early 2015 provided a boost to European stocks and somewhat brightened the economic prospects for Britain s leading trading partner. Disinflationary pressures came to the fore in the first quarter of 2015, with consumer price inflation falling to 0%. However, this was largely attributable to the lower cost of food and fuel, and many analysts remained confident that energy prices would subsequently pick up again. Much attention was also focused on the general election, with polls predicting a hung parliament and ensuing uncertainty. In the event, just after the end of this period, the Conservatives won a slim overall majority. In terms of activity, on the long book, we initiated a position in Howden Joinery, which is taking significant market share and benefiting from the strong domestic economy. We also established a position in pharmaceutical company AstraZeneca following Pfizer s failed takeover bid. We believed there was increasing value in AstraZeneca s drug pipeline. New positions in the period were funded through disposals of names such as pharmaceutical firm Shire, whose risk-reward equation we no longer considered favourable, and Sky, where we felt that our original thesis of strong execution and capital discipline was no longer valid. Several short positions which met our price targets were closed during the year. Short positions were generally taken in stocks where we held a cautious view of the company s future prospects. Recent examples include an indebted vendor of high-end shoes, where trading is less healthy than had been hoped. STATEMENT OF TOTAL RETURN for the accounting period 1 May 2014 to 30 April 2015 Notes Income Net capital gains 2 11,479 6,136 Revenue 3 4,985 3,411 Expenses 4 (7,103) (3,438) Finance costs: Derivative expense 6 (2,355) (622) Interest 6 (1) Net expenses before taxation (4,474) (649) Taxation 5 Net expenses after taxation (4,474) (649) Total return before distributions 7,005 5,487 Finance costs: s 6 (201) (1,140) Change in net assets attributable to shareholders from investment activities 6,804 4,347 BALANCE SHEET as at 30 April 2015 Notes Assets Investment assets 166, ,953 Other assets Debtors 7 9,603 6,298 Cash and bank balances 8 210, ,578 Total other assets 220, ,876 Total assets 387, ,829 Liabilities Derivative liabilities (2,426) (1,541) Other liabilities Creditors 9 (5,527) (1,375) payable on income shares (55) Total other liabilities (5,582) (1,375) Total liabilities (8,008) (2,916) Net assets attributable to shareholders 379, ,913 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 1 May 2014 to 30 April 2015 Opening net assets attributable to shareholders 266,913 86,637 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 224, ,821 Amounts payable on the cancellation of shares (119,629) (31,586) 105, ,235 Dilution adjustment Stamp duty reserve tax (12) (184) Change in net assets attributable to shareholders from investment activities (see statement of total return above) 6,804 4,347 Retained distribution on accumulation shares 153 1,364 Closing net assets attributable to shareholders 379, ,913 DISTRIBUTION TABLE for the accounting period 1 May 2014 to 30 April 2015 Dividend distribution in pence per share Class 1 Shares Net Accumulation Period Net Revenue Equalisation Net Revenue Net Revenue Accumulated Accumulated 2014/ /2014 Group 1 01/05/14 to 30/04/ Group 2 01/05/14 to 30/04/ Total distributions in the period Class 2 Shares Net Income* Period Net Revenue Equalisation Payable 2014/2015 Group 1 03/12/2014 to 30/04/ Group 2 03/12/2014 to 30/04/ Total distributions in the period *In pound Sterling and against UK peer group. Please refer to pages for comparative tables. 20

22 Threadneedle UK Absolute Alpha Fund DISTRIBUTION TABLE Class 2 Shares Net Accumulation There is no distribution for the accounting period 1 May 2014 to 30 April 2015, as expenses exceed revenue (2014: ). Class 2 EUR Hedged Shares Net Accumulation There is no distribution for the accounting period 1 May 2014 to 30 April 2015, as expenses exceed revenue (2014: ). Class Z Shares Net Income** Period Net Revenue Equalisation Payable 2014/2015 Group 1 03/12/2014 to 30/04/ Group 2 03/12/2014 to 30/04/ Total distributions in the period Class Z Shares Net Accumulation Period Net Revenue Equalisation Net Revenue Net Revenue Accumulated Accumulated 2014/ /2014 Group 1 03/12/2014 to 30/04/ Group 2 03/12/2014 to 30/04/ Total distributions in the period Group 2: shares purchased during a distribution period *Class 2 Net income shares commenced on 3 December **Class Z Net income shares commenced on 3 December

23 Threadneedle UK Absolute Alpha Fund Notes to the financial statements for the accounting period 1 May 2014 to 30 April ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 5. 2 NET CAPITAL GAINS Net capital gains during the period comprise: Non-derivative securities 20,228 7,066 Derivative contracts 2, Forward currency contracts (11,048) (1,496) Other gains 2 5 Transaction costs (1) (8) Net capital gains 11,479 6,136 3 REVENUE UK dividends 4,520 3,060 Overseas dividends 26 Stock dividends 113 Interest on short term investments Bank interest Underwriting commission 7 Stocklending commission 1 Total revenue 4,985 3,411 4 EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Annual management charge (2,612) (1,541) ** Performance fee (4,244) (1,774) Registration fees (183) (86) (7,039) (3,401) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary's fees (26) (17) Safe custody fees (14) (40) (17) Other expenses: Regulatory fee (4) (4) Audit fee (20) (16) (24) (20) * Total expenses (7,103) (3,438) *Including irrecoverable VAT where applicable. ** The ACD is entitled to receive a performance fee in the event of the NAV per Share of the fund outperforming the 3 Month LIBOR (with revenue reinvested, calculated at market close). The performance fee rate of 20% is multiplied by the Excess Return. Performance fees are calculated on a calendar basis and may vary substantially from year to year depending on how a fund has performed against its benchmark. As the accounting period falls during the calculation period of the performance fee, the performance fees are accrued at that point in time, but may not represent the actual amount that will be paid. Therefore, previously accrued amounts may be required to be reversed. The performance fee by its nature is a capital charge, and is therefore allocated to capital when calculating the distribution. A performance fee of 2,626,515 (2014: 2,338,363) was paid during the reporting period in respect of the calendar year ended 31 December 2014 representing 0.92% of the NAV at that date. 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 expenses before taxation (4,474) (649) Net expenses before taxation multiplied by the standard rate of corporation tax of 20% Effects of: Revenue not subject to taxation Excess expenses (1,798) (763) Capitalised revenue subject to taxation (1) (2) Current tax charge for period (note 5a) The fund has not recognised a deferred tax asset of 3,255,926 (2014: 1,458,124) 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 208 1,364 Add: Revenue deducted on cancellation of shares 47 Deduct: Revenue received on creation of shares (7) (271) Net distribution for the period 201 1,140 Derivative expense 2, Interest 1 Total finance costs 2,557 1,762 Net expenses after taxation (4,474) (649) Shortfall transfer from capital to revenue 426 Equalisation on conversion 5 15 Performance fee charged to capital 4,244 1,774 Net distribution for the period 201 1,140 Details of the distribution per share and any share class with a shortfall are set out in the table on pages 20 and DEBTORS Amounts receivable for the issue of shares 3,729 1,356 Sales awaiting settlement 3,990 3,325 Accrued revenue 1,884 1,617 Total debtors 9,603 6,298 8 CASH AND BANK BALANCES Amounts held at futures clearing houses and brokers 8,483 5,657 Cash and bank balances 202, ,921 Total cash and bank balances 210, ,578 22

24 Threadneedle UK Absolute Alpha Fund Notes to the financial statements 9 CREDITORS Amounts payable for the cancellation of shares (328) (723) Purchases awaiting settlement (3,120) (18) Accrued expenses (21) (30) Amounts payable to ACD (300) (463) Accrued performance fee ACD (1,758) (141) Total creditors (5,527) (1,375) 10 RELATED PARTY TRANSACTIONS The related parties are set out in detail in Note 8 of the aggregated financial statements on page 6. 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, registration services and performance fees 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 UK Absolute Alpha Fund currently has four share classes; Class 1, Class 2, Class 2 Hedged 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 2 Hedged shares 1.00% Class Z shares 0.75% Registration fees Class 1 shares 0.110% Class 2 shares 0.035% Class 2 Hedged 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 124. The distribution per share class is given in the distribution table on pages 20 and 21. All classes have the same rights on winding up. 12 STOCKLENDING During the period under review the Threadneedle UK Absolute Alpha Fund has entered into stocklending arrangements. The fund has earned Nil (2014: 2,000). 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 page 7. 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 , ,850 US Dollar Currency 2014 Euro , ,176 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 30 April 2015 was: Floating rate financial assets Fixed rate financial assets Financial assets not carrying interest Total Currency 2015 Euro 1 111, ,559 UK Sterling 210, , ,471 US Dollar Currency 2014 Euro , ,461 UK Sterling 123, , ,185 US Dollar Floating rate financial liabilities Fixed rate financial liabilities Financial liabilities not carrying interest Total Currency 2015 Euro (709) (709) UK Sterling (117,301) (117,301) Currency 2014 Euro (1,285) (1,285) UK Sterling (143,588) (143,588) As part of the fund strategy, the fund manager is permitted to short sell in accordance with the investment restrictions to obtain leverage. To achieve this, the fund has entered into a portfolio swap throughout this accounting period, whereby the total return of a basket of securities, including capital appreciation or depreciation, has been received in exchange for a series of periodic cash flows calculated by reference to financing costs, stock loan fees and interest in respect of short positions. The swap is subject to a monthly reset process, thereby crystallising returns and risk exposure each month. The use of short selling strategies increases the risk profile of the fund, and may result in a higher degree of volatility than a fund that does not employ short exposure. Any such positions entered into are regularly reviewed by the fund manager. The floating rate financial assets include deposits which have a weighted average interest rate of 0.32% (2014: Nil%). Other than equities, which do not have maturity dates, the only material amounts of non interest-bearing assets relate to forward foreign exchange contracts, futures and options and portfolio swaps. At 30 April 2015, the fund had outstanding forward foreign exchange contracts, futures and portfolio swaps with an asset value of 1,481,000 (2014: 921,000) and a liability value of 2,426,000 (2014: 1,541,000). 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. 23

25 Threadneedle UK Absolute Alpha Fund Notes to the financial statements 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 93, ,275 Commissions Taxes Total purchase costs Gross purchases total 94, ,948 Analysis of total sale costs Gross sales before transaction costs 88,455 34,066 Commissions (103) (47) Total sale costs (103) (47) Total sales net of transaction costs 88,352 34,019 24

26 Threadneedle Absolute Return Bond Fund Investment Report Investment Objective The investment objective of the Absolute Return Fund is to achieve a total positive return over a 12 month period in all market conditions. There is a risk to capital, and there is no guarantee that such a return will be achieved within 12 months, or any other timescale. Investment Policy The ACD s investment policy is to invest the assets of the Fund so as to gain exposure to global bond and currency markets. The ACD will invest primarily in derivatives, cash and near cash, fixed interest securities, index linked securities, money market instruments and deposits. At times the portfolio may be concentrated in any one or a combination of such assets. The ACD may take long and short positions through derivatives in such issues. Performance of Net Accumulation Class 1 Shares* Over the twelve months to 30 April 2015, the published share price of the Threadneedle Absolute Return Bond Fund has risen from 63.13p to 65.04p. Using noon prices, the performance of the Class 1 share class was +3.03% and +3.71% for the Class 2 share class compared to a return of +4.29% for the Morningstar UK Unit Trusts/OEICS (IA) Absolute Return Peer Group (on a bid to bid basis, with income reinvested for a UK basic rate taxpayer). For information purposes, the UK LIBOR 3 Month returned +0.56%. Portfolio Activity The fund posted strong gains in an environment of rising volatility, divergent economic trends and increasingly active central banks. Throughout the bulk of the period, we held a substantial overweight to the US dollar. This was driven by the prospect of a move away from the emergency monetary policy implemented by the Federal Reserve (the Fed), amid an economy that appeared to be decoupling from the sluggish global malaise. This was expressed against the euro and European currencies at the start of the period, as the growth divergence was starkest here; it would eventually lead to the strongest policy response from the European Central Bank (ECB) quantitative easing (QE) which would send the single currency down over twenty percent. Toward the middle of the period, we maintained the long position in the US dollar but rotated the short euro position into the New Zealand dollar. The currency looked particularly overvalued, given the 50% drop in milk prices over the year and associated Terms of Trade impact. This initially detracted, as the Reserve Bank of New Zealand continued its rate-hiking cycle. However, the bank subsequently signalled a move to an easing bias, as the premature hiking cycle took its toll on inflation and this position added value. At the end of the period, with the US economy suffering from inclement weather and the US dollar rally, we moved to a short US dollar position. This benefitted the fund, as the Fed was forced to pare back its expectations for a tightening cycle. With the US economy outperforming and labour markets showing signs of tightness, the prospect of wage pressures and subsequent inflation was forefront in our mind. We held short positions at the front end of the US yield curve throughout, in the expectation that the gap between the market s expectations for Fed tightening and the Fed s own expectations would be narrowed by the market moving in line with the Fed. In the eurozone, we held short positions on rates and high-yield credit. This was in line with our view of medium-term, poor valuations of government bonds and exceptionally tight corporate spreads that wouldn t protect bond holders from a rising rate environment. However, surprise rate cuts from a number of global central banks and the start of QE from the ECB toward the end of the period saw bond yields make new all-time lows in the eurozone. STATEMENT OF TOTAL RETURN for the accounting period 1 May 2014 to 30 April 2015 Notes Income Net capital gains 2 10,237 3,263 Revenue 3 4,229 6,798 Expenses 4 (2,684) (3,813) Finance costs: Derivative expense 6 (4,810) (3,655) Interest 6 (12) (2) Net expenses before taxation (3,277) (672) Taxation 5 Net expenses after taxation (3,277) (672) Total return before distributions 6,960 2,591 Finance costs: s 6 (269) Change in net assets attributable to shareholders from investment activities 6,960 2,322 BALANCE SHEET as at 30 April 2015 Notes Assets Investment assets 223, ,746 Other assets Debtors 7 2,371 6,979 Cash and bank balances 8 21,017 25,249 Total other assets 23,388 32,228 Total assets 247, ,974 Liabilities Derivative liabilities (8,037) (7,419) Other liabilities Creditors 9 (4,045) (7,737) Bank overdrafts 8 (573) (23) Total other liabilities (4,618) (7,760) Total liabilities (12,655) (15,179) Net assets attributable to shareholders 234, ,795 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 1 May 2014 to 30 April 2015 Opening net assets attributable to shareholders 281, ,972 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 62,565 59,015 Amounts payable on the cancellation of shares (116,957) (149,868) (54,392) (90,853) Dilution adjustment Change in net assets attributable to shareholders from investment activities (see statement of total return above) 6,960 2,322 Retained distribution on accumulation shares 252 Closing net assets attributable to shareholders 234, ,795 *In pound Sterling and against UK peer group. Please refer to pages for comparative tables. DISTRIBUTION TABLE for the accounting period 1 May 2014 to 30 April 2015 Interest distribution in pence per share Class 1 Shares Net Accumulation There is no distribution for the accounting period 1 May 2014 to 30 April 2015, as expenses exceed revenue (2014: Nil). Class 1 Shares Gross Accumulation There is no distribution for the accounting period 1 May 2014 to 30 April 2015, as expenses exceed revenue (2014: Nil). Class 2 Shares Net Accumulation There is no distribution for the accounting period 1 May 2014 to 30 April 2015, as expenses exceed revenue (2014: ). Class 2 Shares Gross Accumulation There is no distribution for the accounting period 1 May 2014 to 30 April 2015, as expenses exceed revenue (2014: ). Class X Shares Gross Accumulation There is no distribution for the accounting period 1 May 2014 to 30 April 2015, as expenses exceed revenue (2014: ). 25

27 Threadneedle Absolute Return Bond Fund Notes to the financial statements for the accounting period 1 May 2014 to 30 April ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 5. 2 NET CAPITAL GAINS Net capital gains during the period comprise: Non-derivative securities 4,124 (5,698) Derivative contracts (8,392) (11,185) Forward currency contracts 17,422 22,387 Other (losses) (2,918) (2,187) Transaction costs 1 (54) Net capital losses 10,237 3,263 3 REVENUE Interest on debt securities 4,133 6,678 Interest on short term investments Bank interest Stocklending commission 28 Total revenue 4,229 6,798 4 EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Annual management charge (2,424) (3,480) Registration fees (190) (278) (2,614) (3,758) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary s fees (24) (21) Safe custody fees (22) (15) (46) (36) Other expenses: Regulatory fee (4) (4) Audit fee (20) (15) (24) (19) * Total expenses (2,684) (3,813) *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 expenses before taxation (3,277) (672) Net expenses before taxation multiplied by the standard rate of corporation tax of 20% Effects of: Excess expenses (655) (188) s treated as tax deductible 54 Current tax charge for period (note 5a) The fund has not recognised a deferred tax asset of 790,000 (2014: 135,000) arising as a result of having unutilised management expenses. It is unlikely that these expenses will be utilised in future years. These expenses will only be utilised if the treatment of interest distributions made by the fund or the nature of capital gains changes. 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 Revenue & Customs. 6 FINANCE COSTS s and Interest Final 269 Net distribution for the period 269 Derivative expense 4,810 3,655 Interest 12 2 Total finance costs 4,822 3,926 Net expenses after taxation (3,277) (672) Shortfall transfer from capital to revenue 3, Equalisation on conversion 2 Net distribution for the period 269 Details of the distribution per share and any share class with a shortfall are set out in the table on page DEBTORS Amounts receivable for the issue of shares Sales awaiting settlement 4,275 Accrued revenue 2,190 2,528 Total debtors 2,371 6,979 8 CASH AND BANK BALANCES Amounts held at futures clearing houses and brokers 7,995 8,588 Cash and bank balances 13,022 16,661 21,017 25,249 Amounts held at futures clearing houses and brokers (573) (23) Total cash and bank balances 20,444 25,226 9 CREDITORS Amounts payable for the cancellation of shares (3,823) (2,780) Purchases awaiting settlement (4,372) Accrued expenses (21) (21) Amounts payable to ACD (201) (547) Income tax payable (17) Total creditors (4,045) (7,737) 10 RELATED PARTY TRANSACTIONS The related parties are set out in detail in Note 8 of the aggregated financial statements on page 6. 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. 26

28 Threadneedle Absolute Return Bond Fund Notes to the financial statements 11 SHAREHOLDER FUNDS Threadneedle Absolute Return 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 1.25% Class 2 shares 0.65% Class X shares N/A* Registration fees Class 1 shares 0.110% 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 124. The distribution per share class is given in the distribution table on page 25. 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 fund has earned Nil (2014: 38,000). 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. 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 page 7. 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 116 (25,920) (25,804) Canadian Dollar 115 (118) (3) Chilean Peso 14,106 14,106 China Yuan Renminbi (11,806) (11,806) Euro ,060 80,728 Israeli New Shekel (1,001) (1,001) Japanese Yen ,278 23,394 Mexican Peso ,835 93,950 New Zealand Dollar 112 (93,643) (93,531) Swedish Krona (373) (373) US Dollar 338 (21,390) (21,052) Currency 2014 Australian Dollar 388 (42,962) (42,574) Canadian Dollar 22,813 22,813 China Yuan Renminbi 11,365 11,365 Euro 1,886 (4,678) (2,792) Japanese Yen (6) (17,002) (17,008) Mexican Peso 8,555 8,555 Please Select (56,608) (56,608) Swiss Franc 2,848 2,848 US Dollar 1,011 72,579 73,590 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 30 April 2015 was: Floating rate financial assets Fixed rate financial assets Financial assets not carrying interest Total Currency 2015 Australian Dollar 116 1, ,661 Canadian Dollar Chilean Peso 14,106 14,106 Euro 1,240 9, , ,875 Israeli New Shekel 30,681 30,681 Japanese Yen 116 2,388 23,729 26,233 Mexican Peso ,242 95,357 New Zealand Dollar 112 7,245 1,964 9,321 UK Sterling 71, ,193 61, ,590 Swedish Krona 23,356 23,356 US Dollar , , ,116 Currency 2014 Australian Dollar 284 9, ,026 Canadian Dollar 22,813 22,813 Euro 1,620 27,249 4,662 33,531 Mexican Peso 8,555 8,555 Swiss Franc 2,848 2,848 UK Sterling 72, ,134 73, ,038 US Dollar , , ,970 Floating rate financial liabilities Fixed rate financial liabilities Financial liabilities not carrying interest Total Currency 2015 Australian Dollar (28,465) (28,465) Canadian Dollar (118) (118) China Yuan Renminbi (11,806) (11,806) Euro (572) (76,575) (77,147) Israeli New Shekel (31,682) (31,682) Japanese Yen (2,839) (2,839) Mexican Peso (1,407) (1,407) New Zealand Dollar (102,852) (102,852) Swedish Krona (23,729) (23,729) UK Sterling (79,775) (79,775) US Dollar (314,168) (314,168) Currency 2014 Australian Dollar (1) (52,598) (52,599) Euro (36,323) (36,323) Japanese Yen (6) (17,002) (17,008) New Zealand Dollar (56,608) (56,608) UK Sterling (3,433) (3,433) US Dollar (17) (92,363) (92,380) 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 Swedish Krona UK Sterling US Dollar

29 Threadneedle Absolute Return Bond Fund Notes to the financial statements The floating rate financial assets include deposits which have a weighted average interest rate of Nil (2014: Nil). Non interest-bearing assets relate to credit default swaps, forward foreign exchange contracts, futures and options. Derivatives including credit default swaps, forwards, futures 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 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 30 April 2015, the fund had outstanding credit default swaps, forward foreign exchange contracts, futures and options with an asset value of 8,553,000 (2014: 1,151,000) and a liability value of 8,037,000 (2014: 7,419,000). 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 Due to the use of derivatives, the percentage movement in the value of the fund will be different from the percentage movement in the markets. The impact upon the fund of the different market movement is illustrated below. Change in Market % Change in Change in Fund Fund % % Interest Rates Increase in interest rates by: Decrease in interest rates by: Credit Swaps Widening of credit spread by: Tightening of credit spread by: 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 183,204,199 (2014: 374,295,292) and proceeds received from sales were 232,237,110 (2014: 453,356,495). 28

30 Threadneedle Target Return Fund Investment Report Investment Objective The investment objective of the Target Return Fund is to achieve a total positive return in Euros over a 12 month period in all market conditions. There is a risk to capital, and there is no guarantee that such a return will be achieved within 12 months, or any other timescale. Investment Policy The ACD s investment policy is to invest the assets of the Fund to gain exposure to global bond and currency markets. The ACD will invest in derivatives, cash and near cash, fixed interest securities, index linked securities, money market instruments and deposits. At times the portfolio may be concentrated in any one or a combination of such assets. The ACD may take long and short positions through derivatives in such issues. Where securities are non-euro denominated they may be hedged into Euros on a Portfolio Currency level. Performance of Net Accumulation Class 1 Shares* Over the twelve months to 30 April 2015, the published share price of the Threadneedle Target Return Fund has risen from to Euros. The performance of the Class 1 gross accumulation share class was +2.46% and +3.03% for the Class 2 gross accumulation share class, in EUR terms. For information purposes, the Euribor 3 Month returned +0.12% Portfolio Activity Throughout the bulk of the period, we held a substantial overweight to the US dollar. This was driven by the prospect of a move away from the emergency monetary policy implemented by the Federal Reserve (the Fed), amid an economy that appeared to be decoupling from the sluggish global malaise. This was expressed against the euro and European currencies at the start of the period, as the growth divergence was starkest here; it would eventually lead to the strongest policy response from the European Central Bank (ECB) quantitative easing (QE) which would send the single currency down over twenty percent. Toward the middle of the period, we maintained the long position in the US dollar but rotated the short euro position into the New Zealand dollar. The currency looked particularly overvalued, given the 50% drop in milk prices over the year and associated Terms of Trade impact. This initially detracted, as the Reserve Bank of New Zealand continued its rate-hiking cycle. However, the bank subsequently signalled a move to an easing bias, as the premature hiking cycle took its toll on inflation and this position added value. At the end of the period, with the US economy suffering from inclement weather and the US dollar rally, we moved to a short US dollar position. This benefitted the fund, as the Fed was forced to pare back its expectations for a tightening cycle. With the US economy outperforming and labour markets showing signs of tightness, the prospect of wage pressures and subsequent inflation was forefront in our mind. We held short positions at the front end of the US yield curve throughout, in the expectation that the gap between the market s expectations for Fed tightening and the Fed s own expectations would be narrowed by the market moving in line with the Fed. In the eurozone, we held short positions on rates and highyield credit. This was in line with our view of medium-term, poor valuations of government bonds and exceptionally tight corporate spreads that wouldn t protect bond holders from a rising rate environment. However, surprise rate cuts from a number of global central banks and the start of QE from the ECB toward the end of the period saw bond yields make new all-time lows in the eurozone. STATEMENT OF TOTAL RETURN for the accounting period 1 May 2014 to 30 April 2015 Notes Income Net capital losses 2 (2,528) (1,533) Revenue ,249 Expenses 4 (361) (1,090) Finance costs: Derivative expense 6 (577) (1,275) Interest 6 (2) (1) Net expenses before taxation (454) (117) Taxation 5 Net expenses after taxation (454) (117) Total return before distributions (2,982) (1,650) Finance costs: s 6 (675) Change in net assets attributable to shareholders from investment activities (2,982) (2,325) BALANCE SHEET as at 30 April 2015 Notes Assets Investment assets 16,406 46,065 Other assets Debtors ,159 Cash and bank balances 8 2,499 6,392 Total other assets 3,427 7,551 Total assets 19,833 53,616 Liabilities Derivative liabilities (704) (1,593) Other liabilities Creditors 9 (541) (2,334) Bank overdrafts 8 (4) Total other liabilities (541) (2,338) Total liabilities (1,245) (3,931) Net assets attributable to shareholders 18,588 49,685 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 1 May 2014 to 30 April 2015 Opening net assets attributable to shareholders 49, ,937 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 12,867 49,987 Amounts payable on the cancellation of shares (41,024) (155,749) (28,157) (105,762) Dilution adjustment Change in net assets attributable to shareholders from investment activities (see statement of total return above) (2,982) (2,325) Retained distribution on accumulation shares 674 Closing net assets attributable to shareholders 18,588 49,685 DISTRIBUTION TABLE for the accounting period 1 May 2014 to 30 April 2015 Interest distribution in pence per share Class 1 Shares Net Accumulation There is no distribution for the accounting period 1 May 2014 to 31 October 2014, as expenses exceed revenue (2013: ). There is no distribution for the accounting period 1 November 2014 to 30 April 2015, as expenses exceed revenue (2014: Nil). Class 1 Shares Gross Accumulation There is no distribution for the accounting period 1 May 2014 to 31 October 2014, as expenses exceed revenue (2013: ). There is no distribution for the accounting period 1 November 2014 to 30 April 2015, as expenses exceed revenue (2014: Nil). *In pound Sterling and against UK peer group. Please refer to pages for comparative tables. 29

31 Threadneedle Target Return Fund DISTRIBUTION TABLE Class 1 CHF Hedged Shares Gross Accumulation There is no distribution for the accounting period 1 May 2014 to 31 October 2014, as expenses exceed revenue (2013: ). There is no distribution for the accounting period 1 November 2014 to 30 April 2015, as expenses exceed revenue (2014: Nil). Class 1 USD Hedged Shares Gross Accumulation There is no distribution for the accounting period 1 May 2014 to 31 October 2014, as expenses exceed revenue (2013: ). There is no distribution for the accounting period 1 November 2014 to 30 April 2015, as expenses exceed revenue (2014: Nil). Class 2 Shares Gross Income There is no distribution for the accounting period 1 May 2014 to 31 October 2014, as expenses exceed revenue (2013: ). There is no distribution for the accounting period 1 November 2014 to 30 April 2015, as expenses exceed revenue (2014: Nil). Class 2 Shares Gross Accumulation There is no distribution for the accounting period 1 May 2014 to 31 October 2014, as expenses exceed revenue (2013: ). There is no distribution for the accounting period 1 November 2014 to 30 April 2015, as expenses exceed revenue (2014: Nil). Class X Shares Gross Accumulation There is no distribution for the accounting period 1 May 2014 to 31 October 2014, as expenses exceed revenue (2013: ). There is no distribution for the accounting period 1 November 2014 to 30 April 2015, as expenses exceed revenue (2014: Nil). Class Z Shares Net Accumulation There is no distribution for the accounting period 1 May 2014 to 31 October 2014, as expenses exceed revenue (2013: ). There is no distribution for the accounting period 1 November 2014 to 30 April 2015, as expenses exceed revenue (2014: Nil). Class Z Shares Gross Accumulation There is no distribution for the accounting period 1 May 2014 to 31 October 2014, as expenses exceed revenue (2013: Nil). There is no distribution for the accounting period 1 November 2014 to 30 April 2015, as expenses exceed revenue (2014: Nil). 30

32 Threadneedle Target Return Fund Notes to the financial statements for the accounting period 1 May 2014 to 30 April ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 5. 2 NET CAPITAL LOSSES Net capital losses during the period comprise: Non-derivative securities (924) (7,156) Derivative contracts (1,074) (1,561) Forward currency contracts (313) 7,993 Other losses (217) (780) Transaction costs (29) Net capital losses (2,528) (1,533) 3 REVENUE Interest on debt securities 468 2,226 Bank interest Stocklending commission 7 Total revenue 486 2,249 4 EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Annual management charge (294) (976) Registration fees (24) (70) (318) (1,046) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary s fees (3) (14) Safe custody fees (11) (6) (14) (20) Other expenses: Regulatory fee (6) (6) Audit fee (23) (18) (29) (24) * Total expenses (361) (1,090) *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 expenses before taxation (454) (117) Net expenses before taxation multiplied by the standard rate of corporation tax of 20% Effects of: Excess expenses (91) s treated as tax deductible (23) Current tax charge for period (note 5a) The fund has not recognised a deferred tax asset of 114,455 (2014: Nil) arising as a result of having unutilised management expenses. It is unlikely that these expenses will be utilised in future years. These expenses will only be utilised if the treatment of interest distributions made by the fund or the nature of capital gains changes. 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 Revenue & 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 675 Final Net distribution for the period 675 Derivative expense 577 1,275 Interest 2 1 Total finance costs 579 1,951 Net expenses after taxation (454) (117) Shortfall transfer from capital to revenue Net distribution for the period 675 Details of the distribution per share and any share class with a shortfall are set out in the table on pages 29 and DEBTORS Amounts receivable for the issue of shares Sales awaiting settlement 577 Accrued revenue Total debtors 928 1,159 8 CASH AND BANK BALANCES Amounts held at futures clearing houses and brokers 575 2,153 Cash and bank balances 1,924 4,239 2,499 6,392 Bank overdrafts (4) Total cash and bank balances 2,499 6,388 9 CREDITORS Amounts payable for the cancellation of shares (502) (1,303) Purchases awaiting settlement (787) Accrued expenses (20) (111) Amounts payable to ACD (19) (133) Total creditors (541) (2,334) 10 RELATED PARTY TRANSACTIONS The related parties are set out in detail in Note 8 of the aggregated financial statements on page 6. 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. 31

33 Threadneedle Target Return Fund Notes to the financial statements 11 SHAREHOLDER FUNDS Threadneedle Target Return Fund currently has five share classes; Class 1, Class 1 Hedged, Class 2, Class X, Class Z shares. The charges on each share class are as follows: Annual management charge Class 1 shares 1.25% Class 1 Hedged shares 1.25% Class 2 shares 0.65% Class X shares N/A* Class Z shares 0.65% 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 0.110% 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 125. The distribution per share class is given in the distribution table on pages 29 and 30. 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 fund has earned Nil (2014: 10,000). They have paid fees of Nil (2014: 2,000) to Threadneedle Investment Services Limited. In addition they have paid fees of Nil (2014: 1,000) to J.P. Morgan as the security lending agent to process these arrangements and hold the collateral. 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 page 7. 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 18 (1,981) (1,963) Canadian Dollar 9 (9) Chilean Peso 1,100 1,100 China Yuan Renminbi (965) (965) Euro 1,727 21,621 23,348 Israeli New Shekel (78) (78) Japanese Yen 11 1,758 1,769 Mexican Peso 9 7,078 7,087 New Zealand Dollar 10 (7,066) (7,056) Swedish Krona (25) (25) Swiss Franc 8 8 US Dollar 31 (1,180) (1,149) Currency 2014 Australian Dollar 91 (7,997) (7,906) Canadian Dollar 4,129 4,129 China Yuan Renminbi 2,054 2,054 Euro 4,485 41,233 45,718 Japanese Yen (4) (3,069) (3,073) Mexican Peso 1,549 1,549 New Zealand Dollar (10,247) (10,247) Swiss Franc US Dollar ,726 17,023 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 30 April 2015 was: Floating rate financial assets Fixed rate financial assets Financial assets not carrying interest Total Currency 2015 Australian Dollar Canadian Dollar 9 9 Chilean Peso 1,100 1,100 Euro 2,529 10,754 17,963 31,246 Israeli New Shekel 2,378 2,378 Japanese Yen ,793 2,044 Mexican Peso 9 7,336 7,345 New Zealand Dollar Swedish Krona 1,822 1,822 Swiss Franc 8 8 UK Sterling 647 1,942 2,589 US Dollar 11 2,504 22,573 25,088 Currency 2014 Australian Dollar 59 2, ,212 Canadian Dollar 4,129 4,129 China Yuan Renminbi 2,054 2,054 Euro 7,613 23,792 26,292 57,697 Mexican Peso 1,549 1,549 Swiss Franc UK Sterling 572 6,058 3,151 9,781 US Dollar ,329 30,805 42,343 Floating rate financial liabilities Fixed rate financial liabilities Financial liabilities not carrying interest Total Currency 2015 Australian Dollar (2,913) (2,913) Canadian Dollar (9) (9) China Yuan Renminbi (965) (965) Euro (7,898) (7,898) Israeli New Shekel (2,456) (2,456) Japanese Yen (275) (275) Mexican Peso (258) (258) New Zealand Dollar (7,904) (7,904) Swedish Krona (1,847) (1,847) UK Sterling (6,077) (6,077) US Dollar (26,237) (26,237) Currency 2014 Australian Dollar (10,918) (10,918) Euro (11,979) (11,979) Japanese Yen (4) (3,069) (3,073) New Zealand Dollar (10,247) (10,247) UK Sterling (10,066) (10,066) US Dollar (25,320) (25,320) 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 Euro Japanese Yen New Zealand Dollar UK Sterling US Dollar

34 Threadneedle Target Return Fund Notes to the financial statements Non interest-bearing assets relate to credit default swaps, forward foreign exchange contracts, futures and options. Derivatives including credit default swaps, interest rate swaps, forwards, futures 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, interest rate swaps, forward foreign exchange, futures and options 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 30 April 2015, the fund had outstanding credit default swaps, interest rate swaps, forward foreign exchange contracts, futures and options with an asset value of 793,000 (2014: 27,000) and a liability value of 704,000 (2014: 1,593,000). 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 Due to the use of derivatives, the percentage movement in the value of the fund will be different from the percentage movement in the markets. The impact upon the fund of the different market movement is illustrated below. Change in Market % Change in Change in Fund Fund % % Interest Rates Increase in interest rates by: Decrease in interest rates by: Credit Swaps Widening of credit spread by: Tightening of credit spread by: 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 17,579,789 (2014: 146,449,042) and proceeds received from sales were 46,359,153 (2014: 244,975,144). 33

35 Threadneedle Pan European Focus Fund Investment Report Investment Objective The investment objective of the Pan European Focus Fund is to achieve above average capital growth. Investment Policy The ACD s investment policy is to actively manage a concentrated portfolio of primarily European equities including UK Equities with the ability to hold cash and/or money market securities in order to enable the pursuit of the Fund s investment objective. This 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 primarily consist of equities of companies domiciled in Europe including the UK or which have a significant part of their economic activities in Europe and/or the UK. Where securities are noneuro denominated they may be hedged into Euros. If the ACD considers it desirable it may hold a substantial proportion or all of the Funds in cash and/or money market instruments. Performance of Net Accumulation Class 1 Shares* Over the twelve months to 30 April 2015, the published share price of the Threadneedle Pan European Focus Fund has risen from p to p in sterling terms and from to Euros. For comparison, using noon prices, the sterling performance of the Class 1 share class was % and % for the Class 2 share class compared to a return of +9.09% for the Morningstar UK Unit Trusts/OEICs - (IA) Europe Including UK Peer Group (on a bid to bid basis, with income reinvested for a UK basic rate taxpayer). For information purposes, using global close prices, the total return of the MSCI Europe Index was +6.91%. Portfolio Activity European equities, as measured by the MSCI Europe Index, struggled over the reporting period as Europe grappled with the problems of anaemic growth, low inflation and geopolitical worries. Sanctions against Russia, in response to the Ukraine conflict, prompted concerns over gas supplies and companies with Russian exposure. German exports to Russia fell by over 26% in August. The eurozone economy continued to experience low growth and inflation reached a five-year low of 0.3% in September, well below the European Central Bank s (ECB s) 2% target. In June, the ECB unveiled further measures to encourage growth and fend off deflation, cutting official interest rates to 0.15% and deposit rates to -0.1%. Monetary policy was loosened further in September: the ECB reduced benchmark interest rates by a further 10 basis points and announced an asset-purchase programme, although this fell short of fullscale quantitative easing (QE). The UK is performing better, producing higher levels of growth, but there are concerns around the excesses in the housing market. The portfolio was focused on high-quality defensive growth stocks, with low exposure to cyclical and domestic companies. Purchases included Anheuser-Busch InBev, the global brewing business which holds around half the growing US markets. We took profits in Bank of Ireland and made a partial sale of Intesa San Paolo, the Italian bank, reducing our exposure to peripheral eurozone financial stocks in the face of low growth. We also sold temporary-employment agency Adecco, which is sensitive to a weak French economy. Our move to a more defensive positioning boosted returns, which nevertheless fell slightly behind the benchmark index over the period. We welcome the ECB s stimulus package, although the benefits of further interest-rate cuts are limited; rates have been low for a prolonged period without stimulating growth or inflation, and we need a mechanism to move liquidity from the ECB into the real economy. The ECB s action has weakened the euro, which will help companies with sales and operations outside the euro area. Full QE in the eurozone may be necessary, but will depend on future economic growth and inflation; there are few signs that the Germans will agree to this yet. Many companies in Europe (outside the financial sector) have strong balance sheets and cash flow, potentially boosting dividend growth; valuations, in our view, are not stretched. We favour companies with robust earnings prospects and pricing power, and continue to find attractive investment opportunities. STATEMENT OF TOTAL RETURN for the accounting period 1 May 2014 to 30 April 2015 Notes Income Net capital gains 2 8,199 10,083 Revenue 3 1,569 2,083 Expenses 4 (978) (1,480) Finance costs: Interest 6 (1) (1) Net revenue before taxation Taxation 5 (84) (94) Net revenue after taxation Total return before distributions 8,705 10,591 Finance costs: s 6 (507) (1,048) Change in net assets attributable to shareholders from investment activities 8,198 9,543 BALANCE SHEET as at 30 April 2015 Notes Assets Investment assets 80,957 83,303 Other assets Debtors 7 1,958 8,934 Cash and bank balances 4, Total other assets 6,438 9,119 Total assets 87,395 92,422 Liabilities Other liabilities Creditors 8 (2,828) (8,785) Bank overdrafts (47) Total other liabilities (2,828) (8,832) Total liabilities (2,828) (8,832) Net assets attributable to shareholders 84,567 83,590 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 1 May 2014 to 30 April 2015 Opening net assets attributable to shareholders 83,590 66,943 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 12,894 44,760 Amounts payable on the cancellation of shares (20,598) (38,779) (7,704) 5,981 Dilution adjustment Stamp duty reserve tax (14) Change in net assets attributable to shareholders from investment activities (see statement of total return above) 8,198 9,543 Retained distribution on accumulation shares 461 1,014 Closing net assets attributable to shareholders 84,567 83,590 DISTRIBUTION TABLE for the accounting period 1 May 2014 to 30 April 2015 Dividend distribution in pence per share Class 1 Shares Net Accumulation Period Net Revenue Equalisation Net Revenue Net Revenue Accumulated Accumulated 2014/ /2014 Group 1 01/05/14 to 30/04/ Group 2 01/05/14 to 30/04/ Total distribution in the period Class 2 Shares Net Accumulation Period Net Revenue Equalisation Net Revenue Net Revenue Accumulated Accumulated 2014/ /2014 Group 1 01/05/14 to 30/04/ Group 2 01/05/14 to 30/04/ Total distribution in the period *In pound Sterling and against UK peer group. Please refer to pages for comparative tables. 34

36 Threadneedle Pan European Focus Fund DISTRIBUTION TABLE Class Z Shares Net Accumulation Period Net Revenue Equalisation Net Revenue Net Revenue Accumulated Accumulated 2014/ /2014 Group 1 01/05/14 to 30/04/ Group 2 01/05/14 to 30/04/ Total distribution in the period Group 2: shares purchased during a distribution period 35

37 Threadneedle Pan European Focus Fund Notes to the financial statements for the accounting period 1 May 2014 to 30 April ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 5. 2 NET CAPITAL GAINS Net capital gains during the period comprise: Non-derivative securities 7,876 10,191 Forward currency contracts Other gains/(losses) 294 (104) Transaction costs (2) (14) Net capital gains 8,199 10,083 3 REVENUE UK dividends Overseas dividends 1,090 1,471 Interest on short term investments 1 Bank interest 5 87 Underwriting commission 2 Stocklending commission 19 Total revenue 1,569 2,083 4 EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Annual management charge (875) (865) Performance fee (540) Registration fees (43) (42) ** (918) (1,447) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary's fees (8) (12) Safe custody fees (20) (5) (28) (17) Other expenses: Regulatory fee (19) (6) Audit fee (13) (10) (32) (16) * Total expenses (978) (1,480) *Including irrecoverable VAT where applicable. ** The ACD is no longer entitled to receive a performance fee in the event of the fund outperforming the MSCI Europe Index Inc UK. 5 TAXATION a) Analysis of charge in period Overseas taxes (84) (94) Total current tax (note 5b) (84) (94) Total tax charge for the period (84) (94) 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% (118) (120) Effects of: Revenue not subject to taxation Overseas taxes (84) (94) Overseas taxes expensed 2 4 Excess expenses (184) (200) Revenue taxable in other periods (11) 11 Current tax charge for period (note 5a) (84) (94) The fund has not recognised a deferred tax asset of 966,292 (2014: 784,299) 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 461 1, ,014 Add: Revenue deducted on cancellation of shares Deduct: Revenue received on creation of shares (33) (227) Net distribution for the period 507 1,048 Interest 1 1 Total finance costs 508 1,049 Net revenue after taxation Equalisation on conversion 1 Performance fee 540 Net distribution for the period 507 1,048 Details of the distribution per share and any share class with a shortfall are set out in the table on pages 34 and DEBTORS Amounts receivable for the issue of shares Sales awaiting settlement 1,703 8,625 Accrued revenue Foreign withholding tax recoverable Total debtors 1,958 8,934 8 CREDITORS Amounts payable for the cancellation of shares (370) (8,588) Purchases awaiting settlement (2,360) Accrued expenses (14) (11) Amounts payable to ACD (84) (186) Total creditors (2,828) (8,785) 9 RELATED PARTY TRANSACTIONS The related parties are set out in detail in Note 8 of the aggregated financial statements on page 6. 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, registration services and performance fees are disclosed in Note 4 and amounts outstanding at the year end in Note 8. 36

38 Threadneedle Pan European Focus Fund Notes to the financial statements 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 Focus 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% 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 125. 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 fund has earned Nil (2014: 27,000). 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. 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 page 7. 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. Nonmonetary Monetary exposures exposures Total Currency 2015 Danish Krone 14 7,033 7,047 Euro ,619 53,431 Norwegian Krone 8 8 Swedish Krona Swiss Franc 38 6,695 6,733 Currency 2014 Danish Krone 167 5,050 5,217 Euro (1,430) 48,647 47,217 Norwegian Krone 139 2,026 2,165 Swedish Krona 290 4,620 4,910 Swiss Franc 359 5,287 5,646 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 30 April 2015 was: Floating rate financial assets Fixed rate financial assets Financial assets not carrying interest Total Currency 2015 Danish Krone 7,047 7,047 Euro 1,413 54,378 55,791 Norwegian Krone 8 8 Swedish Krona Swiss Franc 6,733 6,733 UK Sterling 3,067 14,078 17,145 Currency 2014 Danish Krone 5,217 5,217 Euro 55,829 55,829 Norwegian Krone 2,886 2,886 Swedish Krona 6,013 6,013 Swiss Franc 5,646 5,646 UK Sterling ,751 29,922 US Dollar Floating rate financial liabilities Fixed rate financial liabilities Financial liabilities not carrying interest Total Currency 2015 Euro (2,360) (2,360) UK Sterling (468) (468) Currency 2014 Euro (47) (8,565) (8,612) Norwegian Krone (721) (721) Swedish Krona (1,103) (1,103) UK Sterling (11,542) (11,542) 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 124, ,441 Commissions Taxes Total purchase costs Gross purchases total 124, ,798 Analysis of total sale costs Gross sales before transaction costs 135, ,105 Commissions (132) (128) Total sale costs (132) (128) Total sales net of transaction costs 135, ,977 37

39 Threadneedle Pan European Equity Dividend Fund Investment Report Investment Objective The investment objective of the Pan European Equity Dividend Fund is to achieve a growing income combined with prospects for capital growth from a portfolio of Pan European equities. Investment Policy The ACD s investment policy is to invest the assets of the Fund primarily in the equities of companies domiciled in Continental Europe and the UK or with significant Continental European and UK activities. The ACD will look to invest in companies that exhibit a high potential for paying above average dividends. 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, money market securities, cash and near cash). Performance of Net Income Class 1 Shares* Over the twelve months to 30 April 2015, the published share price of the Threadneedle Pan European Equity Dividend Fund has risen from 81.33p to 86.09p in sterling terms and from to Euros. For comparison, using noon prices, the performance of the Class 1 share class was +7.81% and +8.40% for the Class 2 share class compared to a return of +9.09% for the Morningstar UK Unit Trusts/OEICS (IA) Europe Including UK Peer Group (on a bid to bid basis, with income reinvested for a UK basic rate taxpayer). For information purposes, using global close prices, the total return of the MSCI Europe Index was +6.91%. Portfolio Activity European equities, as measured by the MSCI Europe Index, fell in sterling and euro terms over the reporting period as Europe grappled with the problems of anaemic growth, low inflation and geopolitical worries. Sanctions against Russia, in response to the Ukraine conflict, prompted concerns over gas supplies and companies with Russian exposure. German exports to Russia fell by over 26% in August. The eurozone economy continued to experience low growth, and inflation reached a five-year low of 0.3% in September, well below the European Central Bank s (ECB s) 2% target. In June, the ECB unveiled further measures to encourage growth and fend off deflation, cutting official interest rates to 0.15% and deposit rates to -0.1%. Monetary policy was loosened further in September: the ECB reduced benchmark interest rates by a further 10 basis points and announced an asset-purchase programme, although this fell short of full-scale quantitative easing (QE). The UK is performing better, producing higher levels of growth, but there are concerns around the excesses in the housing market. The portfolio was focused on high-quality defensive growth stocks, with low exposure to cyclical and domestic companies. Purchases included BT, the UK telecommunications business, which also offers stable and predictable growth prospects. We bought Novartis, one of the world s leading pharmaceutical companies. After a period of restructuring, the group is now a much more cohesive business focused on three areas: pharmaceuticals (with a leading oncology franchise), eye care and generics/biosimilars. There remain concerns about longterm growth in pharmaceuticals as the company has some major patent expires in the coming years, but recent data on a potential new heart drug was encouraging. We also bought a new position in Legal & General; we believe the company s investment management business stands to benefit from the government s plans to reform the UK s pension system; its dividend yield is also attractive. We sold Edenred, the vouchers business, which has Latin American interests that are sensitive to the economic problems in that area, and also because low interest rates reduce the company s returns on cash balances from uncashed vouchers. We sold Syngenta, the crop protection and seeds business, after disappointing results; it may suffer from lower crop prices. Our defensive positioning boosted returns, which were ahead of the benchmark index over the period. We welcome the ECB s stimulus package, although the benefits of further interest-rate cuts are limited; rates have been low for a prolonged period without stimulating growth or inflation, and we need a mechanism to move liquidity from the ECB into the real economy. The ECB s action has weakened the euro, which will help companies with sales and operations outside the euro area. Full QE in the eurozone may be necessary, but will depend on future economic growth and inflation; there are few signs that the Germans will agree to this yet. Many companies in Europe (outside the financial sector) have strong balance sheets and cash flow, potentially boosting dividend growth; in our view, valuations are not stretched. We favour companies with robust earnings prospects and pricing power, and continue to find attractive investment opportunities. STATEMENT OF TOTAL RETURN for the accounting period 1 May 2014 to 30 April 2015 Notes Income Net capital (losses)/gains 2 (264) 3,091 Revenue 3 3,359 1,886 Expenses 4 (809) (593) Finance costs: Interest 6 (1) Net revenue before taxation 2,549 1,293 Taxation 5 (183) (115) Net revenue after taxation 2,366 1,178 Total return before distributions 2,102 4,269 Finance costs: s 6 (3,080) (1,680) Change in net assets attributable to shareholders from investment activities (978) 2,589 BALANCE SHEET as at 30 April 2015 Notes Assets Investment assets 65,176 92,114 Other assets Debtors 7 1,029 1,044 Cash and bank balances 3, Total other assets 4,994 1,316 Total assets 70,170 93,430 Liabilities Other liabilities Creditors 8 (3,703) (226) payable on income shares (857) (686) Total other liabilities (4,560) (912) Total liabilities (4,560) (912) Net assets attributable to shareholders 65,610 92,518 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 1 May 2014 to 30 April 2015 Opening net assets attributable to shareholders 92,518 24,476 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 54,540 74,611 Amounts payable on the cancellation of shares (81,473) (10,008) (26,933) 64,603 Dilution adjustment Stamp duty reserve tax (13) Change in net assets attributable to shareholders from investment activities (see statement of total return above) (978) 2,589 Retained distribution on accumulation shares Closing net assets attributable to shareholders 65,610 92,518 DISTRIBUTION TABLE for the accounting period 1 May 2014 to 30 April 2015 Dividend distribution in pence per share Class 1 Shares Net Income Period Net Revenue Equalisation Paid/Payable Paid 2014/ /2014 Group 1 01/05/14 to 31/10/ /11/14 to 30/04/ Group 2 01/05/14 to 31/10/ /11/14 to 30/04/ Total distributions in the period *In pound Sterling and against UK peer group. Please refer to pages for comparative tables. 38

40 Threadneedle Pan European Equity Dividend Fund DISTRIBUTION TABLE Class 1 Shares Net Accumulation Period Net Revenue Equalisation Net Revenue Net Revenue Accumulated Accumulated 2014/ /2014 Group 1 01/05/14 to 31/10/ /11/14 to 30/04/ Group 2 01/05/14 to 31/10/ /11/14 to 30/04/ Total distributions in the period Class 2 Shares Net Income Period Net Revenue Equalisation Paid/Payable Paid 2014/ /2014 Group 1 01/05/14 to 31/10/ /11/14 to 30/04/ Group 2 01/05/14 to 31/10/ /11/14 to 30/04/ Total distributions in the period Class 2 Shares Net Accumulation Period Net Revenue Equalisation Net Revenue Net Revenue Accumulated Accumulated 2014/ /2014 Group 1 01/05/14 to 31/10/ /11/14 to 30/04/ Group 2 01/05/14 to 31/10/ /11/14 to 30/04/ Total distributions in the period Class X Shares Net Income* Period Net Revenue Equalisation Paid/Payable 2014/2015 Group 1 31/07/14 to 31/10/ /11/14 to 30/04/ Group 2 31/07/14 to 31/10/ /11/14 to 30/04/ Total distributions in the period Class X Shares Net Accumulation** Period Net Revenue Equalisation Net Revenue Net Revenue Accumulated Accumulated 2014/ /2014 Group 1 01/05/14 to 31/10/ /11/14 to 30/04/ Group 2 01/05/14 to 31/10/ /11/14 to 30/04/ Total distributions in the period Class Z Shares Net Income Period Net Revenue Equalisation Paid/Payable Paid 2014/ /2014 Group 1 01/05/14 to 31/10/ /11/14 to 30/04/ Group 2 01/05/14 to 31/10/ /11/14 to 30/04/ Total distributions in the period Class Z Shares Net Accumulation*** Period Net Revenue Equalisation Net Revenue Accumulated 2014/2015 Group 1 20/08/14 to 31/10/ /11/14 to 30/04/ Group 2 20/08/14 to 31/10/ /11/14 to 30/04/ Total distributions in the period Group 2: shares purchased during a distribution period *Class X Net income shares commenced 31 July **Class X Net accumulation shares commenced on 1 April ***Class Z Net accumulation shares commenced 20 August

41 Threadneedle Pan European Equity Dividend Fund Notes to the financial statements for the accounting period 1 May 2014 to 30 April ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 5. 2 NET CAPITAL (LOSSES)/GAINS Net capital capital (losses)/gains during the period comprise: Non-derivative securities (232) 3,135 Forward currency contracts 8 1 Other losses (36) (36) Transaction costs (4) (9) Net capital (losses)/gains (264) 3,091 3 REVENUE UK dividends Overseas dividends 2,445 1,391 Stock dividends 26 Bank interest 2 13 Stocklending commission 4 Total revenue 3,359 1,886 4 EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Annual management charge (714) (528) Registration fees (54) (38) (768) (566) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary s fees (6) (8) Safe custody fees (14) (3) (20) (11) Other expenses: Regulatory fee (6) (6) Audit fee (13) (10) Professional fee (2) (21) (16) * Total expenses (809) (593) *Including irrecoverable VAT where applicable. 5 TAXATION a) Analysis of charge in period Overseas taxes (183) (115) Total current tax (note 5b) (183) (115) Total tax charge for the period (183) (115) b) Factors affecting taxation charge for period Net revenue before taxation 2,549 1,293 Net revenue before taxation multiplied by the standard rate of corporation tax of 20% (510) (259) Effects of: Revenue not subject to taxation Overseas taxes (183) (115) Excess expenses (161) (79) Current tax charge for period (note 5a) (183) (115) The fund has not recognised a deferred tax asset of 347,997 (2014: 186,512) 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 Final 1,404 1,242 2,210 1,909 Add: Revenue deducted on cancellation of shares 1, Deduct: Revenue received on creation of shares (497) (326) Net distribution for the period 3,080 1,680 Interest 1 Total finance costs 3,081 1,680 Net revenue after taxation 2,366 1,178 Annual management charge to capital Tax thereon (26) Net distribution for the period 3,080 1,680 Details of the distribution per share and any share class with a shortfall are set out in the table on pages 38 and DEBTORS Amounts receivable for the issue of shares Accrued revenue Foreign withholding tax recoverable Total debtors 1,029 1,044 8 CREDITORS Amounts payable for the cancellation of shares (3,604) (38) Purchases awaiting settlement (63) Accrued expenses (13) (10) Amounts payable to ACD (86) (115) Total creditors (3,703) (226) 9 RELATED PARTY TRANSACTIONS The related parties are set out in detail in Note 8 of the aggregated financial statements on page 6. 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, registration services and performance fees 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. 40

42 Threadneedle Pan European Equity Dividend Fund Notes to the financial statements 10 SHAREHOLDER FUNDS Threadneedle Pan European Equity Dividend 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 0.110% 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 123. 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. 11 STOCKLENDING During the period under review the fund has earned Nil (2014: 6,000). They have paid fees of Nil (2014: 1,000) to Threadneedle Investment Services Limited. In addition they have paid fees of Nil (2014: 1,000) to J.P. Morgan as the security lending agent to process these arrangements and hold the collateral. 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 page 7. 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 ,925 29,365 Norwegian Krone Swedish Krona 52 5,442 5,494 Swiss Franc ,130 13,252 US Dollar 2 2 Currency 2014 Danish Krone 4 1,546 1,550 Euro ,916 50,581 Norwegian Krone 5 1,484 1,489 Swedish Krona 3 10,011 10,014 Swiss Franc 50 14,422 14,472 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 30 April 2015 was: Floating rate financial assets Fixed rate assets financial Financial assets not carrying interest Total Currency 2015 Euro ,081 29,365 Norwegian Krone Swedish Krona 50 5,444 5,494 Swiss Franc 13,252 13,252 UK Sterling 3,632 18,561 22,193 US Dollar 2 2 Floating rate financial assets Fixed rate assets financial Financial assets not carrying interest Total Currency 2014 Danish Krone 1,550 1,550 Euro ,484 50,645 Norwegian Krone 1,489 1,489 Swedish Krona 10,014 10,014 Swiss Franc 14,472 14,472 UK Sterling ,480 15,591 Floating rate financial liabilities Fixed rate financial liabilities Financial liabilities not carrying interest Total Currency 2015 UK Sterling (4,708) (4,708) Currency 2014 Euro (64) (64) UK Sterling (1,179) (1,179) 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 30 April 2015, the fund had outstanding open forward foreign exchange contracts with an asset value of 149,000 (2014: Nil) and a liability value of 147,000 (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. 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 78,095 94,619 Commissions Taxes Total purchase costs Gross purchases total 78,278 94,751 Analysis of total sale costs Gross sales before transaction costs 105,028 30,335 Commissions (43) (31) Total sale costs (43) (31) Total sales net of transaction costs 104,985 30,304 41

43 Threadneedle American Extended Alpha Fund Investment Report Investment Objective The investment objective of the American Extended Alpha Fund is to achieve above average capital growth. Investment Policy The ACD s investment policy is to actively manage an exposure primarily to equities of companies which are domiciled in North America or which have significant North American operations, by investing directly or indirectly in such securities. If the ACD considers it desirable it may further invest up to one third of the total assets of the Fund in markets other than in North America. Exposure to North American and other markets may be gained through both long and short positions. The ACD may invest in equities, derivatives, forward transactions and collective investment schemes. The ACD may also invest in other securities (including fixed interest securities and money market securities), deposits and cash. In order to gain short exposure the ACD will invest in derivatives. The ACD may also invest in derivatives to gain long exposure. Performance of Net Accumulation Class 1 Shares* Over the twelve months to 30 April 2015, the published share price of the Threadneedle American Extended Alpha Fund has risen from p to p. For comparison, on a total return basis using noon prices, the performance of the Class 1 share class was % and 21.38% for the Class 2 share class compared to a return of % for the Morningstar UK Unit Trusts/ OEICS (IA) North America Peer Group (on a bid to bid basis, with income reinvested for a UK basic rate taxpayer). For information purposes, using global close prices, the total return of the S&P 500 Composite Index was 24.14%. Portfolio Activity Over the 12 months to 30 April 2015, the S&P 500 index rose by 13.0% in US dollar terms and by 24.1% 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 macroeconomic 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. In the long book, we increased our exposure to Apple, as we believe the company 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. Additionally, we opened a position in Northrop Grumman, as the company offers strong cash returns for shareholders, with good sales visibility and limited macroeconomic or currency exposure. We exited Procter & Gamble and Alliance Data Systems, both of which presented less attractive risk/reward profiles going forward. Having bought United Technologies and PepsiCo earlier in the period, we subsequently sold these positions once their risk/reward characteristics became less compelling. We also reduced Priceline, as a means of lowering our exposure to companies with significant overseas earnings. 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. Given the headwind from the recent strength of the dollar, we are now expecting low single-digit earnings growth in However, 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 1 May 2014 to 30 April 2015 Notes Income Net capital gains 2 112,677 99,113 Revenue 3 6,466 7,364 Expenses 4 (8,127) (13,923) Finance costs: 6 Derivative expense (19) Interest (4) (5) Net expenses before taxation (1,665) (6,583) Taxation 5 (896) (931) Net expenses after taxation (2,561) (7,514) Total return before distributions 110,116 91,599 Finance costs: s 6 (359) Change in net assets attributable to shareholders from investment activities 109,757 91,599 BALANCE SHEET as at 30 April 2015 Notes Assets Investment assets 198, ,983 Other assets Debtors 7 9,693 15,826 Cash and bank balances 8 49, ,881 Total other assets 58, ,707 Total assets 257, ,690 Liabilities Derivative liabilities (35) (3) Other liabilities Creditors 9 (1,452) (12,189) Total other liabilities (1,452) (12,189) Total liabilities (1,487) (12,192) Net assets attributable to shareholders 256, ,498 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 1 May 2014 to 30 April 2015 Opening net assets attributable to shareholders 726, ,553 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 446, ,359 Amounts payable on the cancellation of shares (1,028,152) (958,552) (581,507) (240,193) Dilution adjustment 1, Stamp duty reserve tax (42) Change in net assets attributable to shareholders from investment activities (see statement of total return above) 109,757 91,599 Retained distribution on accumulation shares 276 Closing net assets attributable to shareholders 256, ,498 DISTRIBUTION TABLE for the accounting period 1 May 2014 to 30 April 2015 Dividend distribution in pence per share Class 1 Shares Net Accumulation There is no distribution for the accounting period 1 May 2014 to 30 April 2015, as expenses exceed revenue (2014: Nil). Class 1 EUR Hedged Shares Net Accumulation There is no distribution for the accounting period 1 May 2014 to 30 April 2015, as expenses exceed revenue (2014: Nil). *In pound Sterling and against UK peer group. Please refer to pages for comparative tables. 42

44 Threadneedle American Extended Alpha Fund DISTRIBUTION TABLE Class 2 Shares Net Accumulation Period Net Revenue Equalisation Net Revenue Net Revenue Accumulated Accumulated 2014/ /2014 Group 1 01/05/14 to 30/04/ Group 2 01/05/14 to 30/04/ Total distribution in the period Class Z Shares Net Accumulation* Period Net Revenue Equalisation Net Revenue Net Revenue Accumulated Accumulated 2014/ /2014 Group 1 01/05/14 to 30/04/ Group 2 01/05/14 to 30/04/ Total distribution in the period Group 2: shares purchased during a distribution period *Class Z Net accumualtion shares commenced 24 September

45 Threadneedle American Extended Alpha Fund Notes to the financial statements for the accounting period 1 May 2014 to 30 April ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 5. 2 NET CAPITAL GAINS Net capital gains during the period comprise: Non-derivative securities 101, ,777 Derivative contracts 8,280 (3,627) Forward currency contracts (13,879) 6,634 Other gains/(losses) 17,109 (17,655) Transaction costs (2) (16) Net capital gains 112,677 99,113 3 REVENUE UK dividends 51 Overseas dividends 6,104 6,968 Interest on short term investments Derivative revenue 228 Bank interest 8 Stocklending commission 267 Total revenue 6,466 7,364 4 EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Annual management charge (7,504) (12,955) Registration fees (516) (897) (8,020) (13,852) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary s fees (56) (37) Safe custody fees (24) (12) (80) (49) Other expenses: Regulatory fee (6) (6) Audit fee (21) (16) (27) (22) * Total expenses (8,127) (13,923) *Including irrecoverable VAT where applicable. The ACD is entitled to receive a performance fee in the event of the NAV per Share of the fund outperforming the S&P 500 Index (with revenue reinvested, calculated at market close). The performance fee rate of 20% is multiplied by the Excess Return. Performance fees are calculated on a calender basis and may vary substantially from year to year depending on how a fund has performed against its benchmark. As the accounting period falls during the calculation period of the performance fee, the performance fees are accrued at that point in time, but may not represent the actual amount that will be paid. Therefore, previously accrued amounts may be required to be reversed. The performance fee by nature is a capital charge, and is therefore charged to capital when calculating the distribution. No performance fee was paid during the reporting period in respect of the calendar year ending 31 December TAXATION a) Analysis of charge in period Overseas taxes (896) (931) Total current tax (note 5b) (896) (931) Total tax charge for the period (896) (931) b) Factors affecting taxation charge for period Net expenses before taxation (1,665) (6,583) Net expenses before taxation multiplied by the standard rate of corporation tax of 20% 333 1,317 Effects of: Revenue not subject to taxation 1,272 1,404 Overseas taxes (896) (931) Excess expenses (1,605) (2,721) Current tax charge for period (note 5a) (896) (931) The fund has not recognised a deferred tax asset of 7,614,140 (2014: 6,009,564) 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 Add: Revenue deducted on cancellation of shares Deduct: Revenue received on creation of shares (9) (12) Net distribution for the period 359 Derivative expense 19 Interest 4 5 Total finance costs Net expenses after taxation (2,561) (7,514) Shortfall transfer from capital to revenue 2,919 7,514 Equalisation on conversion 1 Net distribution for the period 359 Details of the distribution per share and any share class with a shortfall are set out in the table on pages 42 and DEBTORS Amounts receivable for the issue of shares ,786 Sales awaiting settlement 9, Accrued revenue Foreign withholding tax recoverable Total debtors 9,693 15,826 8 CASH AND BANK BALANCES Amounts held at futures clearing houses and brokers 104 1,385 Cash and bank balances 49, ,496 Total cash and bank balances 49, ,881 44

46 Threadneedle American Extended Alpha Fund Notes to the financial statements 9 CREDITORS Amounts payable for the cancellation of shares (1,109) (6,939) Purchases awaiting settlement (53) (3,142) Accrued expenses (23) (107) Amounts payable to ACD (267) (2,001) Total creditors (1,452) (12,189) 10 RELATED PARTY TRANSACTIONS The related parties are set out in detail in Note 8 of the aggregated financial statements on page 6. 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 American Extended Alpha Fund currently has four share classes; Class 1, Class 1 Hedged, Class 2 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 0.75% Class Z shares 0.75% Registration fees Class 1 shares 0.110% Class 1 Hedged shares 0.110% 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 126. 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. 12 STOCKLENDING During the period under review fund has earned Nil (2014: 369,000). They have paid fees of Nil (2014: 49,000) to Threadneedle Investment Services Limited. In addition they have paid fees of Nil (2014: 53,000) to J.P. Morgan as the security lending agent to process these arrangements and hold the collateral. 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 page 7. 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 Canadian Dollar 1 1 Euro (49) 2,873 2,824 US Dollar 54, , ,328 Currency 2014 Australian Dollar Canadian Dollar 13,974 13,974 Euro (756) 66,653 65,897 US Dollar 159, , ,062 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 30 April 2015 was: Floating rate financial assets Fixed rate financial assets Financial assets not carrying interest Total Currency 2015 Canadian Dollar 1 1 Euro 23 3,170 3,193 UK Sterling 114 5,423 5,537 US Dollar 48, , ,195 Currency 2014 Australian Dollar Canadian Dollar 13,974 13,974 Euro 4 66,806 66,810 UK Sterling 4,332 17,485 21,817 US Dollar 147, , ,380 Floating rate financial liabilities Fixed rate financial liabilities Financial liabilities not carrying interest Total Currency 2015 Euro (369) (369) UK Sterling (1,447) (1,447) US Dollar (3,867) (3,867) Currency 2014 Euro (913) (913) UK Sterling (22,394) (22,394) US Dollar (78,318) (78,318) There were no deposits included within the fixed rate financial assets resulting in no weighted average interest rate (2014: nil). As part of the fund strategy, the fund manager is allowed to short sell up to 30 the NAV of the fund and thereby gain some leverage. To achieve this, the fund has entered into a Portfolio Swap throughout the accounting period, whereby the total return of a basket of securities, including capital appreciation or depreciation, has been received in exchange for a series of periodic cash flows calculated by reference to financing costs, stock loan fees and interest in respect of short positions. The Swap is subject to a monthly reset process, thereby crystallising returns and risk exposure each month. The use of short selling strategies increases the risk profile of the fund, and may result in a higher degree of volatility than a fund that does not employ short exposure. Any such positions entered into are regularly reviewed by the fund manager. Other than equities, which do not have maturity dates, the only material amounts of non-interest bearing assets relate to forward foreign exchange contracts and portfolio swaps. At 30 April 2015, the fund had outstanding forward foreign exchange contracts and portfolio swaps with an asset value of 101,000 (2014: 1,466,000) and a liability value of 35,000 (2014: 3,000). 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. 14 CONTINGENT LIABILITIES AND COMMITMENTS There are no contingent liabilities and commitments outstanding (2014: Nil). 45

47 Threadneedle American Extended Alpha Fund Notes to the financial statements 15 PORTFOLIO TRANSACTION COSTS Analysis of total purchase costs Purchases in period before transaction costs 732,739 1,099,799 Commissions Total purchase costs Gross purchases total 733,377 1,100,675 Analysis of total sale costs Gross sales before transaction costs 1,206,179 1,273,247 Commissions (903) (1,346) Taxes (26) (11) Total sale costs (929) (1,357) Total sales net of transaction costs 1,205,250 1,271,890 46

48 Threadneedle China Opportunities Fund Investment Report Investment Objective The investment objective of the China Opportunities Fund is to achieve long-term capital growth. Investment Policy The ACD s investment policy is to invest the assets of the Fund primarily in equities and equity related securities of Chinese companies. These are defined as companies domiciled in and/or whose significant activities are in the Peoples Republic of China. If the ACD considers it desirable, it may further invest up to one third of the total assets of the Fund in derivatives, forward transactions and other securities (including fixed interest, other equities, money market securities and cash). In exceptional circumstances and on a temporary basis, the ACD may hold a substantial proportion of the Fund in cash and/or money market instruments. Performance of Net Accumulation Class 1 Shares* Over the twelve months to 30 April 2015, the published share price of the Threadneedle China Opportunities Fund has risen from p to p. For comparison, using noon prices, the performance of the Class 1 share class was % and % for the Class 2 share class compared to a return of % for the Morningstar UK Unit Trusts/OEICS (IA) China Greater China Peer Group (on a bid to bid basis, with income reinvested for a UK basic rate taxpayer). For information purposes, using global close prices, the total return of the MSCI China Index was %. Portfolio Activity Chinese equities performed particularly strongly over the 12 months under review. Although the pace of economic expansion slowed during the year, this was met by a series of stimulus measures from the central bank, which were greeted positively by the market. China s annual rate of GDP growth slowed from 7.5% in the second quarter of 2014 to 7.0% in the first quarter of 2015, although this was still a creditable achievement. In response to the economic slowdown, the People s Bank of China (PBOC) instigated two cuts in official interest rates and a significant reduction in the required reserve ratio (RRR) the level of cash Chinese commercial banks have to hold as reserves. The cut in the RRR should help to boost bank lending and improve economic momentum. Additionally, consumer price inflation in China has fallen significantly given the slump in the oil price. This should benefit consumers and leave room for the PBOC to cut interest rates further. In November the Chinese stock markets received a boost from the first cut in interest rates since 2012 and the launch of the Shanghai-Hong Kong Stock Connect scheme on 17 November. The scheme allows investors in mainland China to access Hong Kong-listed stocks, and vice versa. In March, the Chinese authorities increased the number of domestic mutual funds permitted to use the scheme. This prompted a surge in Hong Kong-listed Chinese stocks, as mainland funds sought to buy H-shares that were trading at a significant discount to their A-share equivalents in Shanghai. As the pace of economic activity slowed, we favoured a more defensive stance in the portfolio. As a result, we narrowed the underweight position in the telecommunications sector, establishing new holdings in China Mobile and China Unicom, reduced the overweighting in industrials, and exited the oil services space through the sale of China Oilfield Services and Anton Oilfield Services. Additionally, given the increased market focus on beneficiaries of liquidity easing, we added to the financial sector, closing our underweight position. Notably, we participated in the Hong Kong IPO of GF Securities, added to CITIC Securities and Haitong Securities, increased the holdings in China s three largest banks and added to insurers Ping An and China Life. We also established a holding in Hong Kong Exchanges & Clearing, as a beneficiary of the introduction of the Shanghai-Hong Kong Stock Connect scheme. Other new holdings include China Communications Construction, which should benefit from President Xi s One Belt And One Road scheme to boost China s trade and investment with neighbouring countries. To fund the increased weighting in the financial sector, we significantly reduced the exposure to the consumer discretionary sector on concerns over the negative impact of the intensified anti-corruption campaign and disruption caused by the greater adoption of e-commerce. Sales included Sands China, Prada, Wharf Holdings, Dongfeng Motor, New Oriental Education & Technology and Biostime International. STATEMENT OF TOTAL RETURN for the accounting period 1 May 2014 to 30 April 2015 Notes Income Net capital gains 2 44,795 3,857 Revenue 3 1,861 1,323 Expenses 4 (1,260) (869) Net revenue before taxation Taxation 5 (121) (46) Net revenue after taxation Total return before distributions 45,275 4,265 Finance costs: s 6 (523) (415) Change in net assets attributable to shareholders from investment activities 44,752 3,850 BALANCE SHEET as at 30 April 2015 Notes Assets Investment assets 157,266 68,162 Other assets Debtors 7 1, Cash and bank balances 892 1,298 Total other assets 2,616 1,360 Total assets 159,882 69,522 Liabilities Other liabilities Creditors 8 (343) (303) Total other liabilities (343) (303) Total liabilities (343) (303) Net assets attributable to shareholders 159,539 69,219 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 1 May 2014 to 30 April 2015 Opening net assets attributable to shareholders 69,219 70,651 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 99,142 46,411 Amounts payable on the cancellation of shares (54,331) (52,354) 44,811 (5,943) Dilution adjustment Change in net assets attributable to shareholders from investment activities (see statement of total return above) 44,752 3,850 Retained distribution on accumulation shares Closing net assets attributable to shareholders 159,539 69,219 DISTRIBUTION TABLE for the accounting period 1 May 2014 to 30 April 2015 Dividend distribution in pence per share Class 1 Shares Net Accumulation There is no distribution for the accounting period 1 May 2014 to 30 April 2015, as expenses exceed revenue. (2014: ) Class 2 Shares Net Accumulation Period Net Revenue Net Revenue Accumulated Net Revenue Accumulated 2015/ / /05/14 to 30/04/ Total distributions in the period Class Z Shares Net Accumulation Period Net Revenue Net Revenue Accumulated Net Revenue Accumulated 2015/ / /05/14 to 30/04/ Total distributions in the period *In pound Sterling and against UK peer group. Please refer to pages for comparative tables. 47

49 Threadneedle China Opportunities Fund Notes to the financial statements for the accounting period 1 May 2014 to 30 April ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 5. 2 NET CAPITAL GAINS Net capital gains during the period comprise: Non-derivative securities 44,526 4,063 Forward currency contracts 90 Other gains/(losses) 181 (194) Transaction costs (2) (12) Net capital gains 44,795 3,857 3 REVENUE Overseas dividends 1,859 1,267 Bank interest 2 1 Stocklending commission 55 Total revenue 1,861 1,323 4 EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Annual management charge (1,129) (790) Registration fees (75) (40) (1,204) (830) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary s fees (10) (12) Safe custody fees (26) (10) Revenue collection expenses (1) (36) (23) Other expenses: Regulatory fee (7) (6) Audit fee (13) (10) (20) (16) * Total expenses (1,260) (869) *Including irrecoverable VAT where applicable. 5 TAXATION a) Analysis of charge in period Overseas taxes (121) (46) Total current tax (note 5b) (121) (46) Total tax charge for the period (121) (46) 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% (120) (91) Effects of: Revenue not subject to taxation Overseas taxes (121) (46) Excess expenses (234) (164) Current tax charge for period (note 5a) (121) (46) The fund has not recognised a deferred tax asset of 972,788 (2014: 739,276) 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 revenue after taxation Shortfall transfer from capital to revenue 43 7 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 page DEBTORS Amounts receivable for the issue of shares 1, Sales awaiting settlement 272 Accrued revenue 14 2 Total debtors 1, CREDITORS Amounts payable for the cancellation of shares (156) (132) Accrued expenses (16) (19) Amounts payable to ACD (151) (132) Corporation tax payable (20) (20) Total creditors (343) (303) 9 RELATED PARTY TRANSACTIONS The related parties are set out in detail in Note 8 of the aggregated financial statements on page 6. 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 China Opportunities 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% 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 127. The distribution per share class is given in the distribution table on page 47. All classes have the same rights on winding up. 11 STOCKLENDING During the period under review the fund has earned Nil (2014: 77,000). They have paid fees of Nil (2014: 11,000) to Threadneedle Investment Services Limited. In addition they have paid fees of Nil (2014: 11,000) to J.P. Morgan as the security lending agent to process these arrangements and hold the collateral.

50 Threadneedle China Opportunities Fund Notes to the financial statements 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 page 7. 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 Hong Kong Dollar , ,372 Taiwan Dollar 7 7 US Dollar 1,771 15,180 16,951 Currency 2014 Euro 1 1 Hong Kong Dollar 56,185 56,185 Taiwan Dollar US Dollar 1,163 11,411 12,574 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 30 April 2015 was: Floating rate financial assets Fixed rate financial assets Financial assets not carrying interest Total Currency 2015 Hong Kong Dollar 142, ,372 Taiwan Dollar 7 7 UK Sterling 35 1,438 1,473 US Dollar ,093 16,951 Currency 2014 Euro 1 1 Hong Kong Dollar 56,185 56,185 Taiwan Dollar UK Sterling US Dollar 1,147 11,427 12, 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 93,984 44,313 Commissions Taxes 90 5 Fees 37 Total purchase costs Gross purchases total 94,187 44,432 Analysis of total sale costs Gross sales before transaction costs 49,696 50,533 Commissions (58) (58) Fees (47) (39) Total sale costs (105) (97) Total sales net of transaction costs 49,591 50, POST BALANCE SHEET EVENT Subsequent to the year end, market fluctuations have resulted in changes to the NAV as described in the table below: Net asset value per share Share class 30 April July 2015 % Movement Class 1 - Net Accumulation shares p p (20.33) Class 2 - Net Accumulation shares p p (20.24) Class Z - Net Accumulation shares p p (20.22) Floating rate financial liabilities Fixed rate financial liabilities Financial liabilities not carrying interest Total Currency 2015 UK Sterling (1,264) (1,264) Currency 2014 UK Sterling (318) (318) 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. 49

51 Threadneedle Global Emerging Markets Equity Fund Investment Report Investment Objective The investment objective of the Global Emerging Markets Equity Fund is to achieve long-term capital growth. Investment Policy The ACD s investment policy is to invest the assets of the Fund primarily in equities of Emerging Markets companies. These are defined as companies domiciled in and/or whose significant activities are in Emerging Market countries. Emerging Market countries are those characterised as developing or emerging by the World Bank, the United Nations or the MSCI Emerging Markets Free Index. 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). In addition, the ACD may use derivatives and forward transactions for purposes that are limited to efficient portfolio management. Performance of Net Accumulation Class 1 Shares* Over the twelve months to 30 April 2015, the published share price of the Threadneedle Global Emerging Markets Equity Fund has risen from 82.44p to 96.18p. For comparison, using noon prices, the performance of the Class 1 share class was % and % for the Class 2 share class compared to a return of % for the Morningstar UK Unit Trusts/OEICS (IA) Global Emerging Markets Peer Group (on a bid to bid basis, with income reinvested for a UK basic rate taxpayer). For information purposes, using global close prices, the total return of the MSCI Emerging Markets Index was %. Portfolio Activity Emerging markets experienced mixed fortunes during the year under review. The spring and summer of 2014 saw a strong rally for the MSCI Emerging Markets index, buoyed by the ample liquidity provided by the Federal (Fed), European Central Bank (ECB) and the Bank of Japan (BoJ). Politics proved a key driver of relative performance, with the Indian market performing particularly well after Narendra Modi and the BJP secured victory in the national elections by an unexpectedly high margin. The Brazilian market also performed strongly after polls suggested that the incumbent president, Dilma Rousseff, who had become so unpopular with investors, might lose the upcoming presidential election. However, September saw a sharp reversal in markets, with the stronger US dollar, falling price of crude oil and weaker economic data out of China all serving to put pressure on the asset class. The Russian market and the ruble experienced some of the most dramatic declines, driven by the escalation of the conflict in Ukraine and the imposition of sanctions against Russia, as well as the falling oil price. In general, net importers of oil, including most Asian markets, fared better than oil exporters such as Malaysia and Mexico, during the latter half of the year. China, however, proved a standout performer in the final quarter of 2014 after the People s Bank of China cut interest rates for the first time in two years. The Brazilian market, on the other hand, gave back all of the gains from earlier in the year after President Rousseff was re-elected for a second term. Finally, the start of 2015 saw the emerging markets asset class fare much better, helped by a rally in the oil price and some stabilisation in emerging market currencies. Once more China was the strongest performer after the Chinese government launched a number of measures targeted at stabilising GDP growth. These included further interest rate cuts and a recapitalisation of policy banks in order to provide funds for infrastructure investments. The Russian market also rebounded very strongly from the lows reached in late 2014, helped by the modest recovery in the oil price and optimism that the ceasefire agreement in Ukraine might hold. Overall, the MSCI Emerging Markets index finished the period up 18.9% in sterling terms. During the period we added a number of Chinese names to the portfolio, including China Everbright International, a company that provides wastewater treatment services, Haier Electronics, a producer of home appliances, and Sinotrans, a logistics and transportation company. We also initiated positions in China Life, a beneficiary of the strong Chinese A-share market performance, and in Hong Kong Exchange, which should benefit from increased trading volumes due to the increased access for Chinese domestic investors to the H-share market. In addition, we added some positions in the technology sector to the portfolio, including Pegatron, a handset assembler which has been benefitting from Apple s supply chain diversification, and Advanced Semiconductor Engineering, a manufacturer of integrated circuits. Early on in the period we also initiated a position in Mediclinic, a private hospital group with operations in South Africa, Switzerland and the UAE, which we subsequently took profits in because we no longer saw valuation upside for the stock. We were underweight the energy sector for most of the period under review. However, more recently we have reduced our underweight, adding positions in CNOOC and PTT, as we think the risks to the oil price now look more balanced. Names we sold out of included CIMC Enric, a Chinese manufacturer of gas equipment, and China Oilfield Services, both of which we expect will struggle in a lower oil price environment. We also took profits in two telcos stocks, PLDT in the Philippines and DTAC in Thailand. Finally we sold out of Halla Visteon, where we felt that the change in ownership jeopardised the investment case for the company, and took profits in Energa, as we believe that potential mergers in the Polish utilities sector are unlikely to be beneficial for Energa s minority shareholders. Looking ahead to the rest of the year, we are somewhat more constructive on the outlook for emerging market equities. STATEMENT OF TOTAL RETURN for the accounting period 1 May 2014 to 30 April 2015 Notes Income Net capital gains/(losses) 2 35,044 (15,590) Revenue 3 4,500 4,037 Expenses 4 (3,173) (1,969) Finance costs: Interest 6 (11) Net revenue before taxation 1,316 2,068 Taxation 5 (510) (483) Net revenue after taxation 806 1,585 Total return before distributions 35,850 (14,005) Finance costs: s 6 (1,192) (1,585) Change in net assets attributable to shareholders from investment activities 34,658 (15,590) BALANCE SHEET as at 30 April 2015 Notes Assets Investment assets 305, ,781 Other assets Debtors 7 8,058 1,804 Cash and bank balances 5,080 13,381 Total other assets 13,138 15,185 Total assets 318, ,966 Liabilities Derivative liabilities (6) Other liabilities Creditors 8 (10,648) (2,526) Total other liabilities (10,648) (2,526) Total liabilities (10,654) (2,526) Net assets attributable to shareholders 308, ,440 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 1 May 2014 to 30 April 2015 Opening net assets attributable to shareholders 187, ,086 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 161,695 78,489 Amounts payable on the cancellation of shares (77,130) (41,385) 84,565 37,104 Dilution adjustment Stamp duty reserve tax (2) Change in net assets attributable to shareholders from investment activities (see statement of total return above) 34,658 (15,590) Retained distribution on accumulation shares 1,192 1,585 Closing net assets attributable to shareholders 308, ,440 DISTRIBUTION TABLE for the accounting period 1 May 2014 to 30 April 2015 Dividend distribution in pence per share Class 1 Shares Net Accumulation There is no distribution for the accounting period 1 May 2014 to 30 April 2015, as expenses exceed revenue (2014: ). Class 2 Shares Net Accumulation Period Net Revenue Net Revenue Accumulated Net Revenue Accumulated 2014/ / /05/14 to 30/04/ Total distributions in the period Class X Shares Net Income Period Net Revenue Payable Paid 2014/ / /07/14 to 30/04/ Total distributions in the period *In pound Sterling and against UK peer group. Please refer to pages for comparative tables. 50

52 Threadneedle Global Emerging Markets Equity Fund DISTRIBUTION TABLE Class X Shares Net Accumulation Period Net Revenue Net Revenue Accumulated Net Revenue Accumulated 2014/ / /05/14 to 30/04/ Total distributions in the period Class Z Shares Net Accumulation Period Net Revenue Net Revenue Accumulated Net Revenue Accumulated 2014/ / /05/14 to 30/04/ Total distributions in the period Class X Net income shares commenced 31 July

53 Threadneedle Global Emerging Markets Equity Fund Notes to the financial statements for the accounting period 1 May 2014 to 30 April ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 5. 2 NET CAPITAL GAINS/(LOSSES) Net capital gains/(loses) during the period comprise: Non-derivative securities 34,456 (14,700) Forward currency contracts 88 7 Other gains/(losses) 511 (864) Transaction costs (11) (33) Net capital gains/(losses) 35,044 (15,590) 3 REVENUE UK dividends Overseas dividends 4,462 3,978 Interest on short term investments 1 Bank interest 5 3 Stocklending commission 9 Total revenue 4,500 4,037 4 EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Annual management charge (2,823) (1,719) Registration fees (179) (97) (3,002) (1,816) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary s fees (26) (18) Safe custody fees (80) (93) Revenue collection expenses (35) (16) (141) (127) Other expenses: Regulatory fee (6) (11) Audit fee (20) (15) Professional fee (4) (30) (26) * Total expenses (3,173) (1,969) *Including irrecoverable VAT where applicable. 5 TAXATION a) Analysis of charge in period Overseas taxes (510) (483) Total current tax (note 5b) (510) (483) Total tax charge for the period (510) (483) b) Factors affecting taxation charge for period Net revenue before taxation 1,316 2,068 Net revenue before taxation multiplied by the standard rate of corporation tax of 20% (263) (414) Effects of: Revenue not subject to taxation Overseas taxes (510) (483) Overseas taxes expensed 9 Excess expenses (501) (268) Current tax charge for period (note 5a) (510) (483) The fund has not recognised a deferred tax asset of 1,848,119 (2014: 1,347,664) 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 1,192 1,585 Net distribution for the period 1,192 1,585 Interest 11 Total finance costs 1,203 1,585 Net revenue after taxation 806 1,585 Shortfall transfer from capital to revenue 386 Net distribution for the period 1,192 1,585 Details of the distribution per share and any share class with a shortfall are set out in the table on pages 50 and DEBTORS Amounts receivable for the issue of shares Sales awaiting settlement 6, Accrued revenue Total debtors 8,058 1,804 8 CREDITORS Amounts payable for the cancellation of shares (8,859) (110) Purchases awaiting settlement (1,431) (2,084) Accrued expenses (44) (36) Amounts payable to ACD (314) (296) Total creditors (10,648) (2,526) 9 RELATED PARTY TRANSACTIONS The related parties are set out in detail in Note 8 of the aggregated financial statements on page 6. 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. 52

54 Threadneedle Global Emerging Markets Equity Fund Notes to the financial statements 10 SHAREHOLDER FUNDS Threadneedle Global Emerging Markets Equity 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 0.110% 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 127. The distribution per share class is given in the distribution table on pages 50 and 51. 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 fund has earned Nil (2014: 12,000). It has paid fees of Nil (2014: 1,000) 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. 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 page 7. 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 595 7,952 8,547 Czech Koruna 203 4,149 4,352 Euro Hong Kong Dollar 71,423 71,423 Indian Rupee 1,320 11,520 12,840 Indonesian Rupiah (718) 5,665 4,947 Malaysian Ringgit 381 2,807 3,188 Mexican Peso ,973 14,291 Norwegian Krone 1 1 Philippines Peso ,345 12,808 Polish Zloty 6,363 6,363 Russian Ruble 57 2,894 2,951 Singapore Dollar 3 3 South Africa Rand 1,182 17,796 18,978 South Korean Won ,465 34,774 Taiwan Dollar ,518 20,400 Thai Baht ,387 11,689 Turkish Lira 1,501 1,501 UAE Dirham 86 3,193 3,279 US Dollar 3,400 69,073 72,473 Currency 2014 Australian Dollar 1,663 1,663 Brazilian Real 35 3,518 3,553 Czech Koruna 114 2,668 2,782 Euro 5 1,755 1,760 Hong Kong Dollar 21,740 21,740 Indian Rupee (275) 8,329 8,054 Malaysian Ringgit 179 5,155 5,334 Mexican Peso (299) 16,103 15,804 Norwegian Krone 1 1 Philippines Peso 8 11,287 11,295 Polish Zloty 2,801 2,801 Singapore Dollar 3 3 South Africa Rand 10,255 10,255 South Korean Won (458) 22,235 21,777 Taiwan Dollar ,648 14,854 Thai Baht 256 9,585 9,841 Turkish Lira 1 2,599 2,600 US Dollar 13,082 38,732 51,814 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 30 April 2015 was: Floating rate financial assets Fixed rate financial assets Financial assets not carrying interest Total Currency 2015 Brazilian Real 595 7,952 8,547 Czech Koruna 4,352 4,352 Euro Hong Kong Dollar 71,423 71,423 Indian Rupee ,295 12,840 Indonesian Rupiah 5,729 5,729 Malaysian Ringgit 1,287 3,188 4,475 Mexican Peso 10 14,281 14,291 Norwegian Krone 1 1 Philippines Peso 12,808 12,808 Polish Zloty 6,363 6,363 Russian Ruble 21 2,930 2,951 Singapore Dollar 3 3 South Africa Rand 19,854 19,854 South Korean Won 34,774 34,774 Sterling 27 11,992 12,019 Taiwan Dollar ,518 20,400 Thai Baht ,572 11,689 Turkish Lira 1,501 1,501 UAE Dirham 37 3,242 3,279 US Dollar 1,537 80,214 81,751 Currency 2014 Australian Dollar 1,663 1,663 Brazilian Real 35 3,518 3,553 Czech Koruna 2,782 2,782 Euro 5 1,755 1,760 Hong Kong Dollar 21,740 21,740 Indian Rupee 4 8,329 8,333 Malaysian Ringgit 5,423 5,423 Mexican Peso 16,103 16,103 Norwegian Krone 1 1 Philippines Peso 4 11,291 11,295 Polish Zloty 2,801 2,801 Singapore Dollar 3 3 South Africa Rand 10,255 10,255 South Korean Won 22,235 22,235 Taiwan Dollar ,648 15,084 Thai Baht 24 10,084 10,108 Turkish Lira 2,600 2,600 UK Sterling 21 2,245 2,266 US Dollar 12,848 39,517 52,365 53

55 Threadneedle Global Emerging Markets Equity Fund Notes to the financial statements Floating rate financial liabilities Fixed rate financial liabilities Financial liabilities not carrying interest Total Currency 2015 Indonesian Rupiah (782) (782) Malaysian Ringgit (1,287) (1,287) South Africa Rand (876) (876) Sterling (9,217) (9,217) US Dollar (9,278) (9,278) Currency 2014 Indian Rupee (279) (279) Malaysian Ringgit (89) (89) Mexican Peso (299) (299) South Korean Won (458) (458) Taiwan Dollar (230) (230) Thai Baht (267) (267) UK Sterling (757) (757) US Dollar (551) (551) There are no material amounts of non interest-bearing financial assets, other than equities, which do not have maturity dates. 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 30 April 2015, the fund had outstanding forward foreign exchange contracts with an asset value of 60,000 (2014: Nil) and a liability value of 6,000 (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 PORTFOLIO TRANSACTION COSTS Analysis of total purchase costs Purchases in period before transaction costs 265, ,820 Commissions Taxes Fees 85 Total purchase costs Gross purchases total 265, ,258 Analysis of total sale costs Gross sales before transaction costs 169, ,281 Commissions (321) (300) Taxes (187) (48) Fees (85) Total sale costs (508) (433) Total sales net of transaction costs 169, , POST BALANCE SHEET EVENT Subsequent to the year end, market fluctuations have resulted in changes to the NAV as described in the table below: Net asset value per share Share class 30 April July 2015 % Movement Class 1 - Net Accumulation shares 96.18p 85.57p (11.03) Class 2 - Net Accumulation shares p 90.48p (10.94) Class X - Net Income shares p 95.24p (12.57) Class X - Net Accumulation shares 87.70p 78.21p (10.83) Class Z - Net Accumulation shares p p (10.90) 13 CONTINGENT LIABILITIES AND COMMITMENTS There are no contingent liabilities and commitments outstanding (2014: Nil). 54

56 Threadneedle Emerging Market Local Fund Investment Report Investment Objective The investment objective of the Emerging Market Local Fund is to achieve a total return primarily by way of income with some capital growth. Investment Policy The ACD s investment policy is to actively manage an exposure primarily to emerging market local currencies and debt securities issued by governments in Emerging Markets and/or companies which are domiciled or have significant operations in an Emerging Market. Those debt securities may be denominated in any currency, but at least two-thirds of the Fund will be invested in securities denominated in the local emerging market currency. Emerging markets countries are those characterised as developing or emerging by the MSCI Emerging Markets Index or those not listed in the OECD country list. If the ACD considers it desirable the Fund may gain exposure of up to one third of the total assets of the Fund to non-emerging market currencies and non-emerging market government / corporate debt securities. The ACD will utilise the following investments to obtain the Funds exposure: government bonds, treasury bills, corporate bonds, cash or near cash, securitised notes, foreign exchange forward transactions, swaps (including but not limited to cross currency interest rate and credit default swaps) and other types of derivative. At times the portfolio may be concentrated in any one or a combination of such assets. Performance of Net Income Class 1 Shares* Over the twelve months to 30 April 2015, the published share price of Class 1 shares in the Threadneedle Emerging Market Local Fund has fallen from 99.61p to 89.66p. For comparison, using noon prices, the performance of the Class 1 share class was -3.28%. The performance of the Class 1 gross accumulation share class was -3.28% and -2.49% for the Class 2 gross accumulation share class. For information purposes, using global close prices, the total return of the JPM GBI-EM Global Diversified Index was -0.40%. Portfolio Activity Emerging-market (EM) bonds performed well early in the period. From July onwards, however, geopolitical events had a negative effect on performance. These included the escalating tensions in Ukraine following President Putin s move 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. After visiting Ghana, we became very optimistic on the prospects for the new IMF agreement and increased our overweight position there. We added to local Serbian bonds, as the country has signed a new standby agreement with the IMF, which we believe will lead to lower yields. We gradually took profit in Turkish rates as yields had rallied considerably. We increased our long duration in Eastern Europe, specifically in Hungary, Poland and Romania, which are benefiting from strong disinflation/ deflation trends and are best placed to benefit from the European Central Bank s quantitative easing. We also increased our exposure to Brazilian rates after the new minister of finance announced a series of measures aimed at significant fiscal consolidation. In South Africa, we initiated an interest-rate curve flattener in South Africa, where we see value in the longer end of the curve, which is likely to benefit from the strong disinflation trend. We bought Nigerian sovereign credit, after the opposition win in the presidential elections, and participated in a new Costa Rican issue. STATEMENT OF TOTAL RETURN for the accounting period 1 May 2014 to 30 April 2015 Notes Income Net capital losses 2 (2,327) (21,040) Revenue 3 1,959 3,700 Expenses 4 (364) (752) Finance costs: 6 Derivative expense (60) (2) Interest (3) (7) Net revenue before taxation 1,532 2,939 Taxation 5 (40) Net revenue after taxation 1,532 2,899 Total return before distributions (795) (18,141) Finance costs: s 6 (1,825) (3,537) Change in net assets attributable to shareholders from investment activities (2,620) (21,678) BALANCE SHEET as at 30 April 2015 Notes Assets Investment assets 26,496 27,815 Other assets Debtors 7 1, Cash and bank balances 2, Total other assets 4,315 1,486 Total assets 30,811 29,301 Liabilities Derivative liabilities (1,788) (1,389) Other liabilities Creditors 8 (1,771) (111) Bank overdrafts (216) (11) payable on income shares (70) (74) Total other liabilities (2,057) (196) Total liabilities (3,845) (1,585) Net assets attributable to shareholders 26,966 27,716 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 1 May 2014 to 30 April 2015 Opening net assets attributable to shareholders 27, ,754 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 12,720 15,222 Amounts payable on the cancellation of shares (12,522) (75,716) 198 (60,494) Dilution adjustment Change in net assets attributable to shareholders from investment activities (see statement of total return above) (2,620) (21,678) Retained distribution on accumulation shares 1,631 2,906 Closing net assets attributable to shareholders 26,966 27,716 DISTRIBUTION TABLE for the accounting period 1 May 2014 to 30 April 2015 Interest distribution in pence per share Class 1 Shares Net Income Period Gross Revenue Income Tax Net Revenue Equalisation Paid/Payable Paid 2014/ /2014 Group 1 01/05/14 to 31/10/ /11/14 to 30/04/ Group 2 01/05/14 to 31/10/ /11/14 to 30/04/ Total distributions in the period *In pound Sterling and against UK peer group. Please refer to pages for comparative tables. 55

57 Threadneedle Emerging Market Local Fund DISTRIBUTION TABLE Class 1 Shares Gross Accumulation Period Gross Revenue Gross Revenue Gross Revenue Equalisation Accumulated Accumulated 2014/ /2014 Group 1 01/05/14 to 31/10/ /11/14 to 30/04/ Group 2 01/05/14 to 31/10/ /11/14 to 30/04/ Total distributions in the period Class 2 Shares Gross Accumulation Period Gross Revenue Gross Revenue Gross Revenue Equalisation Accumulated Accumulated 2014/ /2014 Group 1 01/05/14 to 31/10/ /11/14 to 30/04/ Group 2 01/05/14 to 31/10/ /11/14 to 30/04/ Total distributions in the period Class X Shares Gross Income* Period Gross Revenue Equalisation Paid/Payable 2014/2015 Group 1 01/05/14 to 31/10/ /11/14 to 30/04/ Group 2 01/05/14 to 31/10/ /11/14 to 30/04/ Total distributions in the period Class X Shares Gross Accumulation Period Gross Revenue Gross Revenue Gross Revenue Equalisation Accumulated Accumulated 2014/ /2014 Group 1 01/05/14 to 31/10/ /11/14 to 30/04/ Group 2 01/05/14 to 31/10/ /11/14 to 30/04/ Total distributions in the period Class Z Shares Net Income Period Gross Revenue Income Tax Net Revenue Equalisation Paid/Payable Paid 2014/ /2014 Group 1 01/05/14 to 31/10/ /11/14 to 30/04/ Group 2 01/05/14 to 31/10/ /11/14 to 30/04/ Total distributions in the period Class Z Shares Gross Accumulation Period Gross Revenue Gross Revenue Gross Revenue Equalisation Accumulated Accumulated 2014/ /2014 Group 1 01/05/14 to 31/10/ /11/14 to 30/04/ Group 2 01/05/14 to 31/10/ /11/14 to 30/04/ Total distributions in the period Group 2: shares purchased during a distribution period *Class X Gross income shares commenced 28 July

58 Threadneedle Emerging Market Local Fund Notes to the financial statements for the accounting period 1 May 2014 to 30 April ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 5. 2 NET CAPITAL LOSSES Net capital losses during the period comprise: Non-derivative securities (1,829) (18,747) Derivative contracts (348) (17) Forward currency contracts (67) (1,585) Other losses (82) (666) Transaction costs (1) (25) Net capital losses (2,327) (21,040) 3 REVENUE Interest on debt securities 1,949 3,689 Interest on short term investments 2 Bank interest 10 6 Stocklending commission 3 Total revenue 1,959 3,700 4 EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Annual management charge (293) (638) Registration fees (20) (39) (313) (677) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary s fees (3) (10) Safe custody fees (17) (43) (20) (53) Other expenses: Regulatory fee (6) (6) Audit fee (21) (16) Professional fees (1) Bank charges (3) (31) (22) * Total expenses (364) (752) *Including irrecoverable VAT where applicable. 5 TAXATION a) Analysis of charge in period Overseas taxes (40) Total current tax (note 5b) (40) Total tax charge for the period (40) b) Factors affecting taxation charge for period Net revenue before taxation 1,532 2,939 Net revenue before taxation multiplied by the standard rate of corporation tax of 20% (306) (588) Effects of: Overseas taxes (40) Overseas taxes expensed 8 Excess expenses 475 s treated as tax deductible Current tax charge for period (note 5a) (40) 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 952 2,101 Final ,814 3,088 Add: Revenue deducted on cancellation of shares Deduct: Revenue received on creation of shares (153) (319) Net distribution for the period 1,825 3,537 Derivative expense 60 2 Interest 3 7 Total finance costs 1,888 3,546 Net revenue after taxation 1,532 2,899 Annual management charge to capital Net distribution for the period 1,825 3,537 Details of the distribution per share are set out in the table on pages 55 and DEBTORS Amounts receivable for the issue of shares 19 2 Sales awaiting settlement 928 Accrued revenue Foreign withholding tax recoverable 3 3 Total debtors 1, CREDITORS Amounts payable for the cancellation of shares (32) (29) Purchases awaiting settlement (1,678) Accrued expenses (21) (26) Amounts payable to ACD (25) (47) Income tax payable (15) (9) Total creditors (1,771) (111) 9 RELATED PARTY TRANSACTIONS The related parties are set out in detail in Note 8 of the aggregated financial statements on page 6. 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 Emerging Market Local 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 0.75% Class X shares N/A* Class Z shares 0.60% 57

59 Threadneedle Emerging Market Local Fund Notes to the financial statements Registration fees Class 1 shares 0.110% 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 128. The distribution per share class is given in the distribution table on pages 55 and 56. 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 Emerging Market Local Fund has entered into stocklending arrangements. The fund has earned Nil (2014: 5,000). They have paid fees of Nil (2014: 1,000) to Threadneedle Investment Services Limited. 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 page 7. 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 (20) (20) Brazilian Real 2 3,338 3,340 Chilean Peso 1,867 1,867 Columbian Peso 41 3,360 3,401 Czech Koruna (103) (103) Dominican Republic Peso Euro 1 2,159 2,160 Ghana Cedi Hungarian Forint 40 2,497 2,537 Indonesian Rupiah 42 2,231 2,273 Israeli New Shekel (1,814) (1,814) Malaysian Ringgit 2,610 2,610 Mexican Peso 36 4,708 4,744 New Zealand Dollar (2,196) (2,196) Peruvian Nuevo Sol Philippines Peso Polish Zloty 42 2,316 2,358 Romanian Leu Russian Ruble 21 1,028 1,049 Serbian Dinar South Africa Rand 51 2,435 2,486 Swedish Krona (70) (70) Thai Baht 1,998 1,998 Turkish Lira 84 2,616 2,700 US Dollar 1,285 (7,112) (5,827) Zambia Kwacha Currency 2014 Brazilian Real 3 4,374 4,377 Chilean Peso China Yuan Renminbi Columbian Peso 37 1,607 1,644 Czech Koruna (1,434) (1,434) Dominican Republic Peso Euro 2 2 Hungarian Forint 44 1,110 1,154 Indian Rupee (15) (15) Indonesian Rupiah 40 2,126 2,166 Kenyan Shilling Malaysian Ringgit 5 2,937 2,942 Mexican Peso 70 5,230 5,300 New Romanian Nigerian Naira Peruvian Nuevo Sol Philippines Peso Polish Zloty 44 5,268 5,312 Russian Ruble 24 2,716 2,740 South Africa Rand 91 5,271 5,362 South Korean Won (5) (5) Swiss Franc (24) (24) Thai Baht 3 1,020 1,023 Turkish Lira 64 2,638 2,702 US Dollar 662 (8,834) (8,172) 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 30 April 2015 was: Floating rate financial assets Fixed rate financial assets Financial assets not carrying interest Total Currency 2015 Australian Dollar 1,261 1,261 Brazilian Real 3 2, ,340 Chilean Peso 4,051 4,051 Columbian Peso 1,421 1,980 3,401 Czech Koruna 3,753 3,753 Dominican Republic Peso Euro 4,838 4,838 Ghana Cedi Hungarian Forint 1,166 7,308 8,474 Indonesian Rupiah 2, ,905 Israeli New Shekel 2,602 2,602 Malaysian Ringgit 2,610 2,610 Mexican Peso 1,465 8,744 10,209 New Zealand Dollar Peruvian Nuevo Sol Philippines Peso Polish Zloty 9 1,520 8,330 9,859 Romanian Leu ,426 3,423 Russian Ruble 1,240 1,025 2,265 Serbian Dinar South Africa Rand 2,588 4,762 7,350 Thai Baht 1,998 1,998 Turkish Lira 35 2,672 5,289 7,996 UK Sterling ,535 US Dollar 2,225 3,414 50,471 56,110 Zambia Kwacha

60 Threadneedle Emerging Market Local Fund Notes to the financial statements Currency 2014 Brazilian Real 3 2,968 10,782 13,753 Chilean Peso 10,322 10,322 China Yuan Renminbi 1,109 1,109 Columbian Peso 1,610 9,483 11,093 Dominican Republic Peso Euro 2 2 Hungarian Forint 2 1,181 8,823 10,006 Indian Rupee 1,653 1,653 Indonesian Rupiah 2, ,945 Kenyan Shilling Malaysian Ringgit 567 2,375 2,942 Mexican Peso 8 2,583 9,916 12,507 New Romanian Nigerian Naira Peruvian Nuevo Sol 576 2,123 2,699 Philippines Peso ,123 Polish Zloty 4 2,013 6,977 8,994 Russian Ruble 1,649 7,070 8,719 South Africa Rand 12 3,423 9,864 13,299 South Korean Won Swiss Franc 4,724 4,724 Thai Baht ,314 Turkish Lira 2 3,705 7,177 10,884 UK Sterling US Dollar 707 1,594 84,754 87,055 Floating rate financial liabilities Fixed rate financial liabilities Financial liabilities not carrying interest Total Currency 2015 Australian Dollar (1,281) (1,281) Chilean Peso (2,184) (2,184) Czech Koruna (3,856) (3,856) Euro (2,678) (2,678) Hungarian Forint (5,937) (5,937) Indonesian Rupiah (632) (632) Israeli New Shekel (4,416) (4,416) Mexican Peso (5,465) (5,465) New Zealand Dollar (2,988) (2,988) Polish Zloty (7,501) (7,501) Romanian Leu (2,820) (2,820) Russian Ruble (1,216) (1,216) South Africa Rand (4,864) (4,864) Swedish Krona (70) (70) Turkish Lira (5,296) (5,296) UK Sterling (1,579) (1,579) US Dollar (216) (61,721) (61,937) Currency 2014 Brazilian Real (9,376) (9,376) Chilean Peso (10,256) (10,256) China Yuan Renminbi (1,082) (1,082) Columbian Peso (9,449) (9,449) Czech Koruna (1,434) (1,434) Hungarian Forint (8,852) (8,852) Indian Rupee (1,668) (1,668) Indonesian Rupiah (779) (779) Mexican Peso (7,207) (7,207) Peruvian Nuevo Sol (2,255) (2,255) Philippines Peso (996) (996) Polish Zloty (3,682) (3,682) Russian Ruble (5,979) (5,979) South Africa Rand (7,937) (7,937) South Korean Won (752) (752) Swiss Franc (4,748) (4,748) Thai Baht (291) (291) Turkish Lira (8,182) (8,182) UK Sterling (951) (951) US Dollar (11) (95,216) (95,227) 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 Brazilian Real Columbian Peso Dominican Republic Peso Ghana Cedi Hungarian Forint Indonesian Rupiah Kenyan Shilling Malaysian Ringgit Mexican Peso Nigerian Naira Peruvian Nuevo Sol Philippines Peso Polish Zloty Romanian Leu Russian Ruble Serbian Dinar South Africa Rand Thai Baht Turkish Lira US Dollar Zambia Kwacha 0.05 The floating rate financial assets include deposits which have a weighted average interest rate of 0.08% (2014: Nil). At 30 April 2015, the fund had outstanding credit default swaps, interest rate swaps, forward exchange contracts and futures with an asset value of 1,907,000 (2014: 1,340,000) and a liability value of 1,788,000 (2014: 1,389,000). 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. The only material amounts of non interest-bearing assets relate to forward foreign exchange contracts. Sensitivity analysis Due to the use of derivatives, the percentage movement in the value of the fund will be different from the percentage movement in the markets. The impact upon the fund of the different market movement is illustrated below. Change in Market % Change in Fund % Change in Fund % 2015 Interest Rates Increase in interest rates by: Decrease in interest rates by: Credit Swaps Widening of credit spread by: Tightening of credit spread by:

61 Threadneedle Emerging Market Local Fund Notes to the financial statements 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 44,382,896 (2014: 134,672,521) and proceeds received from sales were 44,829,799 (2014: 188,158,104). 60

62 Threadneedle Global Extended Alpha Fund Investment Report Investment Objective The investment objective of the Global Extended Alpha Fund is to achieve long term capital growth. Investment Policy The ACD s investment policy is to actively manage an exposure by investing directly or indirectly into equity securities worldwide, including companies located in developed and emerging markets. Exposure to these markets may be gained through both long and short positions. The ACD may invest in equities, derivatives, forward transactions and collective investment schemes. The ACD may also invest in other securities (including fixed interest securities and money market securities), deposits and cash. In order to gain short exposure the ACD will invest in derivatives. The ACD may also invest in derivatives to gain long exposure. Performance of Net Accumulation Class 1 Shares* Over the twelve months to 30 April 2015, the published share price of Class 1 shares in the Threadneedle Global Extended Alpha Fund has risen from p to p. For comparison, using noon prices, the performance of the Class 1 share class was % and % for the Class 2 share class compared to a return of % for the Morningstar UK Unit Trusts/OEICS (IA) Global Growth Peer Group (on a bid to bid basis, with income reinvested for a UK basic rate taxpayer). 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 a new government 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 used weakness in the share price to initiate a position in online retailer Amazon. We think that in the long-run margins will improve for the company s marketplace, while its fast-growing web-services business is underappreciated. We added to our position in pharmaceuticals company Gilead, which has significant capital to deploy in order to generate future growth. We also bought a position in consultant Towers Watson, which should benefit from growth in health exchanges, as corporates seek to address rising health-insurance costs. We added to our position in US cable provider Comcast, given our confidence in the company s market position and cash flow generation. We sold out of Charter in order to reduce our exposure to the US cable industry, as we prefer Comcast. We sold insurer Aegon as our investment case, which included interest rates moving higher, looks less likely to play out. We sold Praxair, as the industrial-gases company is being impacted by weaker demand from markets including Brazil and Mexico. We also sold oil-services company Halliburton, as lower oil prices impact demand and pricing for services. During the remainder of the year, we expect the market 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 1 May 2014 to 30 April 2015 Notes Income Net capital gains 2 12, Revenue Expenses 4 (855) (776) Finance costs: Derivative expense 6 (382) (107) Net expenses before taxation (330) (413) Taxation 5 (100) (53) Net expenses after taxation (430) (466) Total return before distributions 11, Finance costs: s 6 (38) Change in net assets attributable to shareholders from investment activities 11, BALANCE SHEET as at 30 April 2015 Notes Assets Investment assets 81,370 46,802 Other assets Debtors 7 1, Cash and bank balances 4, Total other assets 6, Total assets 87,386 47,800 Liabilities Derivative liabilities (366) Other liabilities Creditors 8 (738) (607) Total other liabilities (738) (607) Total liabilities (1,104) (607) Net assets attributable to shareholders 86,282 47,193 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 1 May 2014 to 30 April 2015 Opening net assets attributable to shareholders 47,193 13,502 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 49,303 38,458 Amounts payable on the cancellation of shares (21,851) (5,140) 27,452 33,318 Dilution adjustment Stamp duty reserve tax (3) Change in net assets attributable to shareholders from investment activities (see statement of total return above) 11, Retained distribution on accumulation shares 52 Closing net assets attributable to shareholders 86,282 47,193 *In pound Sterling and against UK peer group. Please refer to pages for comparative tables. DISTRIBUTION TABLE for the accounting period 1 May 2014 to 30 April 2015 Dividend distribution in pence per share Class 1 Shares Net Accumulation There is no distribution for the accounting period 1 May 2014 to 30 April 2015, as expenses exceed revenue (2014:Nil). Class 2 Shares Net Accumulation There is no distribution for the accounting period 1 May 2014 to 30 April 2015, as expenses exceed revenue (2014: ). Class Z Shares Net Accumulation* Period Net Revenue Equalisation Net Revenue Accumulated 2014/2015 Group 1 01/05/14to 30/04/ Group 2 01/05/14 to 30/04/ Total distributions in the period Group 2: shares purchased during a distribution period *Class Z Net accumulation shares commenced 22 April

63 Threadneedle Global Extended Alpha Fund Notes to the financial statements for the accounting period 1 May 2014 to 30 April ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 5. 2 NET CAPITAL GAINS Net capital gains during the period comprise: Non-derivative securities 10, Derivative contracts 1, Forward currency contracts 62 4 Other gains/(losses) 251 (115) Transaction costs (3) (9) Net capital gains 12, REVENUE UK dividends Overseas dividends Bank interest 3 1 Total revenue EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Annual management charge (759) (288) **Performance fee (443) Registration fees (51) (19) (810) (750) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary's fees (6) (5) Safe custody fees (13) (1) (19) (6) Other expenses: Regulatory fee (5) (6) Audit fee (19) (14) Professional Fees (2) (26) (20) * Total expenses (855) (776) *Including irrecoverable VAT where applicable. ** The ACD is entitled to receive a performance fee in the event of the NAV per Share of the fund outperforming the MSCI All Countries World Index (with revenue reinvested, calculated at market close). The performance fee rate of 20% is multiplied by the Excess Return. Performance fees are calculated on a calender basis and may vary substantially from year to year depending on how a fund has performed against its benchmark. As the accounting period falls during the calculation period of the performance fee, the performance fees are accrued at that point in time, but may not represent the actual amount that will be paid. Therefore, previously accrued amounts may be required to be reversed. The performance fee by nature is a capital charge, and is therefore charged to capital when calculating the distribution. No performance fee was paid during the reporting period in respect of the calendar year ended 31 December 2014 (2014: 522,496). 5 TAXATION a) Analysis of charge in period Overseas taxes (100) (53) Total current tax (note 5b) (100) (53) Total tax charge for the period (100) (53) b) Factors affecting taxation charge for period Net expenses before taxation (330) (413) Net expenses before taxation multiplied by the standard rate of corporation tax of 20% Effects of: Revenue not subject to taxation Overseas taxes (100) (53) Overseas taxes expensed 2 Excess expenses (244) (176) Revenue taxable in other periods 4 Current tax charge for period (note 5a) (100) (53) The fund has not recognised a deferred tax asset of 543,458 (2014: 299,518) 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: Final 52 Add: Revenue deducted on cancellation of shares 3 Deduct: Revenue received on creation of shares (17) Net distribution for the period 38 Derivative expense Total finance costs Net expenses after taxation (430) (466) Shortfall transfer from capital to revenue Performance fee 443 Net distribution for the period 38 Details of the distribution per share and any share class with a shortfall are set out in the table on page DEBTORS Amounts receivable for the issue of shares Sales awaiting settlement 1,137 2 Accrued revenue Foreign withholding tax recoverable Total debtors 1, CREDITORS Amounts payable for the cancellation of shares (154) (475) Purchases awaiting settlement (469) (19) Accrued expenses (18) (12) Amounts payable to ACD (97) (101) Total creditors (738) (607) 62

64 Threadneedle Global Extended Alpha 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 6. 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, registration services and performance fees 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 terms. 10 SHAREHOLDER FUNDS Threadneedle Global Extended Alpha 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 0.75% Class Z shares 0.75% Registration fees Class 1 shares 0.110% 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 128. The distribution per share class is given in the distribution table on page 61. All classes have the same rights on winding up. 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 page 7. 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 (2) Danish Krone 2 1,360 1,362 Euro 425 4,984 5,409 Hong Kong Dollar 53 2,914 2,967 Hungarian Forint (55) (55) Indian Rupee 1,397 1,397 Indonesian Rupiah 1,030 1,030 Japanese Yen 304 8,876 9,180 Mexican Peso Singapore Dollar South Africa Rand (30) (30) South Korean Won ,512 Swedish Krona Swiss Franc 28 1,694 1,722 US Dollar 3,990 51,604 55,594 Currency 2014 Australian Dollar Canadian Dollar 1,545 1,545 Euro 8 4,171 4,179 Hong Kong Dollar Indonesian Rupiah Japanese Yen 43 4,280 4,323 Mexican Peso Singapore Dollar South Korean Won Swedish Krona Swiss Franc 13 2,216 2,229 US Dollar (133) 28,907 28,774 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 30 April 2015 was: Floating rate financial assets Fixed rate financial assets Financial assets not carrying interest Total Currency 2015 Australian Dollar Canadian Dollar Danish Krone 1,362 1,362 Euro 5,409 5,409 Hong Kong Dollar 2,967 2,967 Indian Rupee 1,397 1,397 Indonesian Rupiah 1,030 1,030 Japanese Yen 9,180 9,180 Mexican Peso Singapore Dollar South Korean Won 1,981 1,981 Swedish Krona Swiss Franc 14 1,708 1,722 UK Sterling 22 4,261 4,283 US Dollar 4,110 51,570 55,680 Currency 2014 Australian Dollar Canadian Dollar 1,545 1,545 Euro 4,179 4,179 Hong Kong Dollar Indonesian Rupiah Japanese Yen 6 4,323 4,329 Mexican Peso Singapore Dollar South Korean Won Swedish Krona Swiss Franc 2,229 2,229 UK Sterling 2 3,282 3,284 US Dollar ,939 29,764 63

65 Threadneedle Global Extended Alpha Fund Notes to the financial statements Floating rate financial liabilities Fixed rate financial liabilities Financial liabilities not carrying interest Total Currency 2015 Hungarian Forint (55) (55) South Africa Rand (30) (30) South Korean Won (469) (469) UK Sterling (1,125) (1,125) US Dollar (86) (86) Currency 2014 Japanese Yen (6) (6) UK Sterling (600) (600) US Dollar (990) (990) As part of the fund strategy, the fund manager is allowed to short sell up to 30 the NAV of the fund and thereby gain some leverage. To achieve this, the fund has entered into a portfolio swap throughout the accounting period, whereby the total return of a basket of securities, including capital appreciation or depreciation, has been received in exchange for a series of periodic cash flows calculated by reference to financing costs, stock loan fees and interest in respect of short positions. The swap is subject to a monthly reset process, thereby crystallising returns and risk exposure each month. The use of short selling strategies increases the risk profile of the fund, and may result in a higher degree of volatility than a fund that does not employ short exposure. Any such positions entered into are regularly reviewed by the fund manager. At 30 April 2015, the fund had outstanding forward foreign exchange contracts and portfolio swaps an asset value 1,000 (2014: Nil) and a liability value of 366,000 (2014: 81,000). 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. The same is true of the prior year. 12 CONTINGENT LIABILITIES AND COMMITMENTS There are no contingent liabilities and commitments outstanding (2014: Nil). 13 PORTFOLIO TRANSACTION COSTS Analysis of total purchase costs Purchases in period before transaction costs 72,560 55,136 Commissions Taxes 20 8 Total purchase costs Gross purchases total 72,635 55,754 Analysis of total sale costs Gross sales before transaction costs 48,315 21,217 Commissions (46) (23) Taxes (1) (1) Total sale costs (47) (24) Total sales net of transaction costs 48,268 23,436 64

66 Threadneedle Global Equity Income Fund Investment Report Investment Objective The investment objective of the Global Equity Income Fund is to achieve a high and growing income over the long term combined with prospects for capital growth. Investment Policy The ACD s investment policy is to invest no less than two-thirds of the gross assets of the Fund in global equities. Income will be in the form of dividend distribution. If the ACD considers it desirable it may further invest up to one third of the total assets of the Fund in derivatives, forward transactions and other securities (including fixed interest securities and money market securities) deposits and cash. Performance of Net Income Class 1 Shares* Over the twelve months to 30 April 2015, the published share price of Class 1 shares in the Threadneedle Global Equity Income Fund has risen from p to p. For comparison, using noon prices, the performance of the Class 1 share class was % and % for the Class 2 share class compared to a return of % for the Morningstar UK Unit Trusts/OEICS (IA) Global Equity Income Peer Group (on a bid to bid basis, with income reinvested for a UK basic rate taxpayer). For information purposes, using global close prices, the total return of the MSCI AC World Free Index was %. 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 a new government 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 bought a new position in T Rowe Price, whose management we met in October T Rowe Price is a leading investment-management company and should benefit from international expansion, increasing equity allocations and further gains in markets. Strong cashflow generation led to the company recently announcing a special dividend which takes the prospective yield to 4.9%. In concert with our European team, we also opened a position in Spanish infrastructure company Ferrovial. The company s primary assets are based in the UK and Canada, and we think the company will benefit from both a weak euro and lower interest rates. We started a position in General Motors; under new leadership post-bankruptcy, General Motors has made positive changes, including the closure of underperforming businesses. We expect it to benefit from a strong position in China, and from lower oil prices spurring demand for larger vehicles, including SUVs. With margins at healthy levels and set to improve in the coming years, cash generation is high, and the management is committed to significant capital return via dividends and buybacks. We bought a position in US diversified industrial General Electric during the year. We see the company as providing attractive exposure to the US economic recovery across its multiple business lines, and we are positive on recent portfolio activity such as the divestment of its appliances division, and its acquisition of French train maker Alstom. We sold pharmaceutical companies AbbVie and Roche after strong performance resulted in dividend yields falling below our requirements. Within the energy sector, we responded to lower oil prices by reducing our position in the Total, the French energy company, and sold our position in Baytex a Canadian production company. During the remainder of the year, we expect the market 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 1 May 2014 to 30 April 2015 Notes Income Net capital gains/(losses) 2 102,561 (16,584) Revenue 3 68,812 33,875 Expenses 4 (13,950) (8,838) Finance costs: Interest 6 (3) (2) Net revenue before taxation 54,859 25,035 Taxation 5 (7,073) (2,759) Net revenue after taxation 47,786 22,276 Total return before distributions 150,347 5,692 Finance costs: s 6 (57,911) (30,230) Change in net assets attributable to shareholders from investment activities 92,436 (24,538) BALANCE SHEET as at 30 April 2015 Notes Assets Investment assets 1,550,010 1,333,176 Other assets Debtors 7 10,697 15,500 Cash and bank balances 48,884 18,432 Total other assets 59,581 33,932 Total assets 1,609,591 1,367,108 Liabilities Other liabilities Creditors 8 (2,793) (2,715) payable on income shares (11,786) (9,942) Total other liabilities (14,579) (12,657) Total liabilities (14,579) (12,657) Net assets attributable to shareholders 1,595,012 1,354,451 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 1 May 2014 to 30 April 2015 Opening net assets attributable to shareholders 1,354, ,676 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 618,146 1,121,287 Amounts payable on the cancellation of shares (470,470) (92,952) Amounts payable on inspecie transfers (23,121) 124,555 1,028,335 Dilution adjustment 753 1,842 Stamp duty reserve tax (37) (113) Change in net assets attributable to shareholders from investment activities (see statement of total return above) 92,436 (24,538) Retained distribution on accumulation shares 22,854 12,249 Closing net assets attributable to shareholders 1,595,012 1,354,451 DISTRIBUTION TABLE for the accounting period 1 May 2014 to 30 April 2015 Dividend distribution in pence per share Class 1 Shares Net Income Period Net Revenue Equalisation Paid/Payable Paid 2014/ /2014 Group 1 01/05/14 to 31/07/ /08/14 to 31/10/ /11/14 to 31/01/ /02/15 to 30/04/ Group 2 01/05/14 to 31/07/ /08/14 to 31/10/ /11/14 to 31/01/ /02/15 to 30/04/ Total distributions in the period *In pound Sterling and against UK peer group. Please refer to pages for comparative tables. 65

67 Threadneedle Global Equity Income Fund DISTRIBUTION TABLE Class 1 Shares Monthly Net Income* Period Net Revenue Equalisation Paid/Payable 2014/2015 Group 1 01/02/15 to 28/02/ /03/15 to 31/03/ /04/15 to 30/04/ Group 2 01/02/15 to 28/02/ /03/15 to 31/03/ /04/15 to 30/04/ Total distributions in the period Class 1 SGD Hedged Shares Net Income Period Net Revenue Equalisation Paid/Payable Paid 2014/ /2014 Group 1 01/05/14 to 31/07/ /08/14 to 31/10/ /11/14 to 31/01/ /02/15 to 30/04/ Group 2 01/05/14 to 31/07/ /08/14 to 31/10/ /11/14 to 31/01/ /02/15 to 30/04/ Total distributions in the period Class 1 AUD Hedged Shares Monthly Net Income* Period Net Revenue Equalisation Paid/Payable 2014/2015 Group 1 01/02/15 to 28/02/ /03/15 to 31/03/ /04/15 to 30/04/ Group 2 01/02/15 to 28/02/ /03/15 to 31/03/ /04/15 to 30/04/ Total distributions in the period Class 1 SGD Hedged Shares Monthly Net Income* Period Net Revenue Equalisation Paid/Payable 2014/2015 Group 1 01/02/15 to 28/02/ /03/15 to 31/03/ /04/15 to 30/04/ Group 2 01/02/15 to 28/02/ /03/15 to 31/03/ /04/15 to 30/04/ Total distributions in the period Class 1 Shares Net Accumulation Period Net Revenue Equalisation Net Revenue Net Revenue Accumulated Accumulated 2014/ /2014 Group 1 01/05/14 to 31/07/ /08/14 to 31/10/ /11/14 to 31/01/ /02/15 to 30/04/ Group 2 01/05/14 to 31/07/ /08/14 to 31/10/ /11/14 to 31/01/ /02/15 to 30/04/ Total distributions in the period Class 1 SGD Hedged Shares Net Accumulation Period Net Revenue Equalisation Net Revenue Net Revenue Accumulated Accumulated 2014/ /2014 Group 1 01/05/14 to 31/07/ /08/14 to 31/10/ /11/14 to 31/01/ /02/15 to 30/04/ Group 2 01/05/14 to 31/07/ /08/14 to 31/10/ /11/14 to 31/01/ /02/15 to 30/04/ Total distributions in the period Class 2 Shares Net Income Period Net Revenue Equalisation Paid/Payable Paid 2014/ /2014 Group 1 01/05/14 to 31/07/ /08/14 to 31/10/ /11/14 to 31/01/ /02/15 to 30/04/ Group 2 01/05/14 to 31/07/ /08/14 to 31/10/ /11/14 to 31/01/ /02/15 to 30/04/ Total distributions in the period Class 2 EUR Hedged Shares Net Income** Period Net Revenue Equalisation Paid/Payable 2014/2015 Group 1 01/05/14 to 31/07/ /08/14 to 31/10/ /11/14 to 31/01/ /02/15 to 30/04/ Group 2 01/05/14 to 31/07/ /08/14 to 31/10/ /11/14 to 31/01/ /02/15 to 30/04/ Total distributions in the period Class 2 Shares Net Accumulation Period Net Revenue Equalisation Net Revenue Net Revenue Accumulated Accumulated 2014/ /2014 Group 1 01/05/14 to 31/07/ /08/14 to 31/10/ /11/14 to 31/01/ /02/15 to 30/04/ Group 2 01/05/14 to 31/07/ /08/14 to 31/10/ /11/14 to 31/01/ /02/15 to 30/04/ Total distributions in the period Class X Shares Net Income*** Period Net Revenue Equalisation Paid/Payable 2014/2015 Group 1 01/05/14 to 31/07/ /08/14 to 31/10/ /11/14 to 31/01/ /02/15 to 30/04/ Group 2 01/05/14 to 31/07/ /08/14 to 31/10/ /11/14 to 31/01/ /02/15 to 30/04/ Total distributions in the period Class X Shares Net Accumulation Period Net Revenue Equalisation Net Revenue Net Revenue Accumulated Accumulated 2014/ Group 1 01/05/14 to 31/07/ /08/14 to 31/10/ /11/14 to 31/01/ /02/15 to 30/04/ Group 2 01/05/14 to 31/07/ /08/14 to 31/10/ /11/14 to 31/01/ /02/15 to 30/04/ Total distributions in the period

68 Threadneedle Global Equity Income Fund DISTRIBUTION TABLE Class Z Shares Net Income Period Net Revenue Equalisation Paid/Payable Paid 2014/ /2014 Group 1 01/05/14 to 31/07/ /08/14 to 31/10/ /11/14 to 31/01/ /02/15 to 30/04/ Group 2 01/05/14 to 31/07/ /08/14 to 31/10/ /11/14 to 31/01/ /02/15 to 30/04/ Total distributions in the period Class Z SGD Hedged Shares Net Income** Period Net Revenue Equalisation Paid/Payable 2014/2015 Group 1 01/05/14 to 31/07/ /08/14 to 31/10/ /11/14 to 31/01/ /02/15 to 30/04/ Group 2 01/05/14 to 31/07/ /08/14 to 31/10/ /11/14 to 31/01/ /02/15 to 30/04/ Total distributions in the period Class Z Shares Net Accumulation Period Net Revenue Equalisation Net Revenue Net Revenue Accumulated Accumulated 2014/ /2014 Group 1 01/05/14 to 31/07/ /08/14 to 31/10/ /11/14 to 31/01/ /02/15 to 30/04/ Group 2 01/05/14 to 31/07/ /08/14 to 31/10/ /11/14 to 31/01/ /02/15 to 30/04/ Total distributions in the period Class Z SGD Hedged Shares Net Accumulation** Period Net Revenue Equalisation Net Revenue Accumulated 2014/2015 Group 1 01/05/14 to 31/07/ /08/14 to 31/10/ /11/14 to 31/01/ /02/15 to 30/04/ Group 2 01/05/14 to 31/07/ /08/14 to 31/10/ /11/14 to 31/01/ /02/15 to 30/04/ Total distributions in the period Group 2: shares purchased during a distribution period *Class 1 Monthly Net income shares, Class 1 AUD Hedged Monthly Net income shares and Class 1 SGD Hedged Monthly Net income shares commenced 18 February **Class 2 EUR Hedged Net income shares, Class Z SGD Hedged Shares Net income shares and Class Z SGD Hedged Net accumulation shares commenced 3 June ***Class X Net income shares commenced 28 July

69 Threadneedle Global Equity Income Fund Notes to the financial statements for the accounting period 1 May 2014 to 30 April ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 5. 2 NET CAPITAL GAINS/(LOSSES) Net capital gains/(losses) during the period comprise: Non-derivative securities 104,132 (16,643) Forward currency contracts (1,089) 132 Other losses (476) (58) Transaction costs (6) (15) Net capital gains/(losses) 102,561 (16,584) 3 REVENUE UK dividends 11,728 5,006 Overseas dividends 56,938 28,769 Interest on short term investments Bank interest Underwriting commission 57 Stocklending commission 4 47 Total revenue 68,812 33,875 4 EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Annual management charge (12,514) (8,103) Registration fees (1,147) (604) (13,661) (8,707) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary's fees (135) (39) Safe custody fees (125) (69) (260) (108) Other expenses: Regulatory fee (6) (6) Audit fee (22) (17) Professional fees (1) (29) (23) * Total expenses (13,950) (8,838) *Including irrecoverable VAT where applicable. 5 TAXATION a) Analysis of charge in period Overseas taxes (7,073) (2,759) Total current tax (note 5b) (7,073) (2,759) Total tax charge for the period (7,073) (2,759) b) Factors affecting taxation charge for period Net revenue before taxation 54,859 25,035 Net revenue before taxation multiplied by the standard rate of corporation tax of 20% (10,972) (5,007) Effects of: Revenue not subject to taxation 10,695 6,441 Overseas taxes (7,073) (2,759) Overseas taxes expensed Excess expenses (416) (1,494) Revenue taxable in other periods Current tax charge for period (note 5a) (7,073) (2,759) 68 The fund has not recognised a deferred tax asset of 2,391,292 (2014: 2,274,674) 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 40,475 20,028 Final 18,341 14,747 58,816 34,775 Add: Revenue deducted on cancellation of shares 2, Deduct: Revenue received on creation of shares (3,820) (5,050) Net distribution for the period 57,911 30,230 Interest 3 2 Total finance costs 57,914 30,232 Net revenue after taxation 47,786 22,276 Annual management charge to capital 12,514 8,103 Tax thereon (2,386) (147) Equalisation on conversion (2) (1) Undistributed Revenue (1) (1) Net distribution for the period 57,911 30,230 Details of the distribution per share are set out in the table on pages DEBTORS Amounts receivable for the issue of shares 5,418 8,958 Sales awaiting settlement 1,928 Accrued revenue 4,623 4,337 Foreign withholding tax recoverable Total debtors 10,697 15,500 8 CREDITORS Amounts payable for the cancellation of shares (1,501) (486) Accrued expenses (51) (50) Amounts payable to ACD (1,218) (2,155) Corporation tax payable (23) (24) Total creditors (2,793) (2,715) 9 RELATED PARTY TRANSACTIONS The related parties are set out in detail in Note 8 of the aggregated financial statements on page 6. 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.

70 Threadneedle Global Equity Income Fund Notes to the financial statements 10 SHAREHOLDER FUNDS Threadneedle Global Equity Income Fund currently has seven share classes; Class 1, Class 1 Hedged, Class 2, Class 2 Hedged, 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 2 Hedged 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 2 Hedged shares 0.035% Class X shares 0.035% Class Z shares 0.110% Class Z Hedged 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 129. 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 Global Equity Income Fund has entered into stocklending arrangements. The fund has earned 4,000 (2014: 58,000). They have paid fees of Nil (2014: 5,000) 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: 6,000) to J.P. Morgan as the security lending agent to process these arrangements and hold the collateral. 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 page 7. 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 Nonmonetary Monetary exposures exposures Total Currency 2015 Australian Dollar 88,621 88,621 Brazilian Real ,790 19,911 Canadian Dollar ,876 40,111 Danish Krone 12,921 12,921 Euro , ,736 Hong Kong Dollar ,099 40,382 Japanese Yen ,941 79,590 Malaysian Ringgit 9,340 9,340 Mexican Peso 16,910 16,910 Norwegian Krone ,472 17,595 Singapore Dollar ,267 25,947 South Korean Won 14,794 14,794 Swiss Franc ,235 62,899 Taiwan Dollar 1,307 57,474 58,781 Thai Baht ,158 23,960 US Dollar 2, , ,251 Currency 2014 Australian Dollar 81,524 81,524 Brazilian Real 16,058 16,058 Canadian Dollar ,956 41,209 Danish Krone 11,802 11,802 Euro 1, , ,441 Hong Kong Dollar 39,601 39,601 Japanese Yen ,139 77,091 Malaysian Ringgit 19,546 19,546 Mexican Peso 13,038 13,038 Norwegian Krone 13 16,085 16,098 Singapore Dollar 1,096 39,451 40,547 Swedish Krona 18,374 18,374 Swiss Franc ,981 47,174 Taiwan Dollar ,845 52,981 Thai Baht ,962 33,288 US Dollar 2, , ,452 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 30 April 2015 was: Floating rate financial assets Fixed rate financial assets Financial assets not carrying interest Total Currency 2015 Australian Dollar 88,621 88,621 Brazilian Real ,789 19,911 Canadian Dollar 40,111 40,111 Danish Krone 12,921 12,921 Euro , ,383 Hong Kong Dollar 40,382 40,382 Japanese Yen 79,590 79,590 Malaysian Ringgit 9,340 9,340 Mexican Peso 16,910 16,910 Norwegian Krone 17,595 17,595 Singapore Dollar ,303 26,941 South Korean Won 14,794 14,794 Swiss Franc 62,899 62,899 Taiwan Dollar 1,308 57,473 58,781 Thai Baht ,462 23,960 UK Sterling 42, , ,492 US Dollar 2, , ,973 Currency 2014 Australian Dollar 81,524 81,524 Brazilian Real 16,058 16,058 Canadian Dollar 41,209 41,209 Danish Krone 11,802 11,802 Euro , ,441 Hong Kong Dollar 39,601 39,601 Japanese Yen 77,479 77,479 Malaysian Ringgit 19,546 19,546 Mexican Peso 13,038 13,038 Norwegian Krone 16,098 16,098 Singapore Dollar 66 41,982 42,048 Swedish Krona 18,374 18,374 Swiss Franc 47,174 47,174 Taiwan Dollar ,845 52,981 Thai Baht ,084 33,288 UK Sterling 16, , ,881 US Dollar , ,846 69

71 Threadneedle Global Equity Income Fund Notes to the financial statements Floating rate financial liabilities Fixed rate financial liabilities Financial liabilities not carrying interest Total Currency 2015 Euro (647) (647) Singapore Dollar (994) (994) UK Sterling (14,229) (14,229) US Dollar (18,722) (18,722) Currency 2014 Japanese Yen (388) (388) Singapore Dollar (1,501) (1,501) UK Sterling (12,654) (12,654) US Dollar (15,394) (15,394) There are no material amounts of non interest-bearing financial assets, other than equities, which do not have maturity dates. 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 30 April 2015, the fund had outstanding forward foreign exchange contracts with an asset value of 149,000 (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. 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 761,324 1,256,331 Commissions 762 1,233 Taxes Fees 82 Total purchase costs 1,234 2,234 Gross purchases total 762,558 1,258,565 Analysis of total sale costs Gross sales before transaction costs 650, ,237 Commissions (598) (340) Taxes (176) (15) Fees (39) Total sale costs (774) (394) Total sales net of transaction costs 649, ,843 70

72 Threadneedle Global Opportunities Bond Fund* Investment Report Investment Objective The Global Opportunities Bond Fund seeks to achieve a total positive return over a 12 month period in all market conditions. There is a risk to capital, and there is no guarantee that such a return will be achieved within 12 months, or any other timescale. Investment Policy The ACD s investment policy is to primarily invest the assets of the Fund so as to gain exposure to government and nongovernment fixed income and floating rate securities either directly or indirectly through derivatives. This includes developed and emerging market government bonds; Investment Grade, Non-Investment Grade and unrated corporate and government bonds; asset-backed transferable securities. In addition, when determined by the ACD to be appropriate, money market instruments, cash and near cash. At times the Fund may be concentrated in any one or a combination of these types of assets. The Fund may take long positions, and short positions through derivatives, in such assets. Performance of Net Income Class 1 Shares** Over the 1 month to 30 April 2015, the published share price of Class 1 shares in the Threadneedle Global Opportunities Bond Fund has risen from p to p. For comparison, using noon prices, the performance of the Class 1 share class was +0.57% compared to a return of -0.17% for the Morningstar UK Unit Trusts/OEICS (IMA) Absolute Return Peer Group (on a bid to bid basis, with income reinvested for a UK basic rate taxpayer). For information purposes, using global close prices, the total return of the Citigroup GBP 1 Month Eurodeposit was +0.03%. Portfolio Activity Central banks monetary policy was a key theme throughout the year, as markets in weaker economies primarily the eurozone and China were buoyed by more aggressive quantitative easing (QE). Toward the end of the period, a bigger-than-expected programme of QE from the European Central Bank boosted equities in Europe and beyond, and took the euro to multi-year lows against the US dollar. In the second half of the period, markets and currencies increasingly came under the sway of slumping oil prices. While cheaper oil offered the prospect of a boost to consumer spending, it also ravaged the economies of oil exporters, primarily Russia. As price declines persisted into 2015, concern mounted that the real culprit was weakening demand in slowing economies. During the period under review, Asian markets performance was driven largely by the ebb and flow of sentiment regarding global liquidity. Along with geopolitical tensions in Ukraine, the Fed s reductions in QE put pressure on Asian equities earlier in the period. A strengthening US economy and dollar placed emerging-market currencies under increasing pressure in the opening quarter of While slowing growth in China also weighed on sentiment, emerging-market equities received some succour from looser money in the eurozone and Japan. Faced with the prospect of an economic slowdown, China injected extra liquidity into its banking systems, which helped bolster its stock markets. Concerns over the shadow-banking sector abated as the growth rate slowed, while a solid export performance helped mitigate the drag on growth from slowing investment spending, particularly in the real estate sector. Overall, Chinese markets performed strongly as investors responded favourably to stimulus measures from the central bank, including cuts in official interest rates in November and February. 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. Over the last 12 months the portfolio has been short duration. This was mostly in Japan and, to a lesser extent, in the US and Europe. Over the year this has been partially balanced by exposure to local emerging-market debt and UK gilts. Within currency markets, we have been structurally long the US dollar on the back of an increasingly positive economic growth profile. However, more technical shorter-term factors have led the portfolio to be short the US dollar on occasion. The fund s exposure to emerging-market currencies has been relatively muted over this period. The fund had a small positive exposure to corporate-credit markets at the beginning of the period. This exposure grew from midsummer, as credit spreads widened out and was focused on the US high-yield market. This was partially hedged with a short position in investment-grade corporate debt. The overall exposure to emerging-market sovereign credit was relatively muted over the period. STATEMENT OF TOTAL RETURN for the accounting period 24 February 2015 to 30 April Notes Income Net capital gains 2 1,140 Revenue Expenses 4 (118) Finance costs: 6 Derivative expense (224) Interest (1) Net revenue before taxation 249 Taxation 5 Net revenue after taxation 249 Total return before distributions 1,389 Finance costs: s 6 (224) Change in net assets attributable to shareholders from investment activities 1,165 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 24 February 2015 to 30 April Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 108,971 Amounts payable on the cancellation of shares (3) 108,968 Dilution adjustment 7 Change in net assets attributable to shareholders from investment activities (see statement of total return above) 1,165 Retained distribution on accumulation shares 233 Closing net assets attributable to shareholders 110,373 *The Fund was launched on 24 February **In pound Sterling and against UK peer group. Please refer to pages for comparative tables. 71 BALANCE SHEET as at 30 April Notes Assets Investment assets 93,267 Other assets Debtors 7 1,263 Cash and bank balances 8 23,509 Total other assets 24,772 Total assets 118,039 Liabilities Derivative liabilities (4,185) Other liabilities Creditors 9 (2,604) Bank overdrafts 8 (875) payable on income shares (2) Total other liabilities (3,481) Total liabilities (7,666) Net assets attributable to shareholders 110,373 DISTRIBUTION TABLE for the accounting period 24 February 2015 to 30 April 2015 Interest distribution in pence per share Class 1 Shares Net Income* There is no distribution for the accounting period 24 March 2015 to 30 April 2015, as expenses exceed revenue. Class 1 Shares Net Accumulation** There is no distribution for the accounting period 24 March 2015 to 30 April 2015, as expenses exceed revenue. Class X Shares Gross Accumulation*** There is no distribution for the accounting period 24 February 2015 to 30 April 2015, as expenses exceed revenue. Class Z Shares Net Income**** Period Gross Revenue Income Tax Net Revenue Equalisation Payable 2015 Group 1 27/02/15 to 30/04/ Group 2 27/02/15 to 30/04/ Total distributions in the period

73 Threadneedle Global Opportunities Bond Fund DISTRIBUTION TABLE Class Z Shares Gross Income***** Period Gross Revenue Equalisation Payable 2015 Group 1 27/02/15 to 30/04/ Group 2 27/02/15 to 30/04/ Total distributions in the period Class Z Shares Net Accumulation****** Period Gross Revenue Income Tax Net Revenue Equalisation Gross Revenue Accumulated 2015 Group 1 27/02/15 to 30/04/ Group 2 27/02/15 to 30/04/ Total distributions in the period Class Z Shares Gross Gross Accumulation******* Period Gross Revenue Equalisation Gross Revenue Accumulated 2015 Group 1 27/02/15 to 30/04/ Group 2 27/02/15 to 30/04/ Total distributions in the period Group 2: shares purchased during a distribution period *Class 1 Net Income shares commenced 24 March **Class 1 Net accumulation shares commenced 24 March ***Class X Gross accumulation shares commenced 24 February ****Class Z Net income shares commenced 27 February *****Class Z Gross income shares commenced 27 February ******Class Z Net accumulation shares commenced 27 February *******Class Z Gross accumulation shares commenced 27 February

74 Threadneedle Global Opportunities Bond Fund Notes to the financial statements for the accounting period 24 February 2015 to 30 April ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 5. 2 NET CAPITAL GAINS Net capital gains during the period comprise: 2015 Non-derivative securities (169) Derivative contracts (1,171) Forward currency contracts 3,432 Other losses (952) Net capital gains 1,140 3 REVENUE 2015 Interest on debt securities 580 Bank interest 12 Total revenue EXPENSES 2015 Payable to the ACD or associates of the ACD, and the agents of either of them: Annual management charge (97) Registration fees (18) (115) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary's fees (2) (2) Other expenses: Audit fee (1) * Total expenses (118) *Including irrecoverable VAT where applicable. 5 TAXATION a) Analysis of charge in period (1) 2015 Total current tax (note 5b) Total tax charge for the period b) Factors affecting taxation charge for period Net revenue before taxation 249 Net revenue before taxation multiplied by the standard rate of corporation tax of 20% (50) Effects of: s treated as tax deductible 50 Current tax charges for period (note 5a) 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: 2015 Final Deduct: Revenue received on creation of shares (11) Net distribution for the period 224 Derivative expense 224 Interest 1 Total finance costs 449 Net revenue after taxation 249 Equalisation on conversion (92) Shortfall transfer from capital to revenue 67 Net distribution for the period 224 Details of the distribution per share and any share class with a shortfall are set out in the table on pages 71 and DEBTORS 2015 Amounts receivable for the issue of shares 154 Accrued revenue 1,109 Total debtors 1,263 8 CASH AND BANK BALANCES 2015 Amounts held at futures clearing houses and brokers 4,952 Cash and bank balances 18,557 23,509 Amounts held at futures clearing houses and brokers (487) Bank overdrafts (388) Total cash and bank balances 22,634 9 CREDITORS 2015 Purchases awaiting settlement (2,534) Accrued expenses (3) Amounts payable to ACD (67) Total creditors (2,604) 10 RELATED PARTY TRANSACTIONS The related parties are set out in detail in Note 9 of the aggregated financial statements on page 6. 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. 73

75 Threadneedle Global Opportunities Bond Fund Notes to the financial statements 11 SHAREHOLDER FUNDS Threadneedle Global Opportunities 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 1.100% Class X shares N/A* Class Z shares 0.650% Registration fees Class 1 shares 0.110% 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 129. The distribution per share class is given in the distribution table on pages 71 and 72. All classes have the same rights on winding up. *X Shares are not subject to an Annual Management Charge. 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 page 7. 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 61 (8,446) (8,385) Brazilian Real Canadian Dollar 53 (55) (2) Chilean Peso 4,360 4,360 China Yuan Renminbi (3,708) (3,708) Euro (1,086) 26,679 25,593 Israeli Shekel (358) (358) Japanese Yen 115 7,194 7,309 Mexican Peso 53 29,572 29,625 New Zealand Dollar 59 (29,713) (29,654) Polish Zloty Romanian Leu (365) 231 (134) Swedish Krona (242) (242) Swiss Franc 2 (8) (6) US Dollar (755) (5,241) (5,996) 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 30 April 2015 was: Floating rate financial assets Fixed rate financial assets Financial assets not carrying interest Total Currency 2015 Australian Dollar 54 1, ,802 Brazilian Real Canadian Dollar Chilean Peso 4,360 4,360 China Yuan Renminbi Euro 5,489 21,508 31,371 58,368 Israeli Shekel 11,035 11,035 Japanese Yen 104 2,196 7,423 9,723 Mexican Peso 53 33,897 33,950 New Zealand Dollar 52 3,279 4,691 8,022 Polish Zloty Romanian Leu 3, ,062 Swedish Krona 7,177 7,177 Swiss Franc UK Sterling 29,763 20,523 65, ,273 US Dollar 4,940 20, , , Floating rate financial liabilities Fixed rate financial liabilities Financial liabilities not carrying interest Total Currency 2015 Australian Dollar (1) (10,186) (10,187) Canadian Dollar (55) (55) China Yuan Renminbi (4,403) (4,403) Euro (430) (32,345) (32,775) Israeli Shekel (11,393) (11,393) Japanese Yen (2,414) (2,414) Mexican Peso (4,325) (4,325) New Zealand Dollar (37,676) (37,676) Romanian Leu (388) (2,808) (3,196) Swedish Krona (7,419) (7,419) Swiss Franc (213) (213) UK Sterling (24,414) (24,414) US Dollar (56) (136,175) (136,231) Fixed rate financial assets Weighted average interest rate 2015 % Fixed rate financial assets Weighted average period for which rate is fixed Non interest bearing assets Weighted average period 2015 years 2015 Currency years Australian Dollar Brazilian Real 3.68 Euro Japanese Yen Mexican Peso 6.97 New Zealand Dollar Polish Zloty 4.90 Romanian Leu Swiss Franc UK Sterling US Dollar Non interest-bearing assets relate to credit default swaps, forward foreign exchange contracts and futures and options. Derivatives including credit default swaps, interest rate swaps, forward foreign exchange contracts and futures and options are used in this portfolio to take active positions in FX markets, interest rates and credit 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, interest rate swaps, forward foreign exchange contracts, futures and options 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 30 April 2015, the fund had outstanding, credit default swaps, interest rate swaps, forward foreign exchange contracts, futures and options with an asset value of 4,333,000 and a liability value of 4,185,000. 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.

76 Threadneedle Global Opportunities Bond Fund Notes to the financial statements 13 CONTINGENT LIABILITIES AND COMMITMENTS There are no contingent liabilities and commitments outstanding. 14 PORTFOLIO TRANSACTION COSTS The purchases and sales are not subject to portfolio transaction costs. The total cost of purchases during the period was 119,676,971 and proceeds received from sales were 30,419,

77 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 15 July

78 Independent Auditors Report to the Members of Threadneedle Specialist 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 30 April 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 Specialist Investment 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 30 April 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 30 April 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 15 July 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. 77

79 Threadneedle UK Mid 250 Fund Portfolio Statement as at 30 April 2015 Holding Investment Holding Investment OIL & GAS 0.09% (6.30%) Oil & Gas Producers 0.00% (2.62%) Oil Equipment, Services & 0.09% (3.68%) 15,819 Hunting Total Oil & Gas BASIC MATERIALS 1.63% (5.49%) Chemicals 1.63% (5.49%) 87,214 Victrex 1, Total Basic Materials 1, INDUSTRIALS 29.73% (33.34%) Construction & Materials 4.15% (5.05%) 182,841 Keller Group 1, ,789 Tyman 2, Aerospace & Defence 2.50% (5.38%) 150,567 Ultra Electronics Holdings 2, General Industrials 2.39% (1.11%) 418,232 DS Smith 1, ,115 RPC Group 1, Electronic & Electrical Equipment 4.09% (5.03%) 262,308 Domino Printing Sciences 2, ,438 Halma 1, ,214 Oxford Instruments Industrial Engineering 0.00% (1.41%) Support Services 16.60% (15.36%) 137,327 Ashtead Group 1, ,390 Berendsen 1, ,493 DCC 1, ,928 Essentra 1, ,843 Howden Joinery Group 1, ,737 Michael Page International ,348 Optimal Payments 1, ,087,246 Optimal Payments Rights 1, ,803 PayPoint 1, ,234,955 Rentokil Initial 2, ,939 RPS Group 1, ,576 SIG Total Industrials 31, CONSUMER GOODS 10.41% (10.13%) Beverages 1.71% (2.25%) 949,530 Stock Spirits Group 1, Household Goods & Home Construction 6.59% (5.86%) 132,441 Bellway 2, ,804 Crest Nicholson Holdings 3, ,716 Galliford Try 1, Personal Goods 2.11% (2.02%) 76,464 Ted Baker 2, Total Consumer Goods 10, HEALTH CARE 1.14% (0.00%) Pharmaceuticals & Biotechnology 1.14% (0.00%) 193,066 Clinigen Group 1, Total Health Care 1, CONSUMER SERVICES 26.81% (18.47%) Food & Drug Retailers 1.84% (2.05%) 1,321,118 Booker Group 1, General Retailers 9.09% (4.18%) 650,000 DFS Furniture 1, ,433,254 Home Retail Group 2, ,870 N Brown Group 2, ,049,746 Pets at Home Group 2, Media 3.65% (6.16%) 177,818 Euromoney Institutional Investor 2, ,654 Moneysupermarket.com Group 1, Travel & Leisure 12.23% (6.08%) 61,250 Betfair Group 1, ,287 Greene King 2, ,671 Rank Group 1, ,308 Restaurant Group 1, ,436,613 Spirit Pub 2, ,144 SSP Group 1, ,000 Thomas Cook Group 1, Total Consumer Services 27, UTILITIES 0.00% (3.25%) Gas, Water & Multiutilities 0.00% (3.25%) Total Utilities FINANCIALS 21.69% (15.67%) Banks 3.45% (0.00%) 700,000 Shawbrook Group 2, ,620 Virgin Money Holdings UK 1, Life Insurance 1.76% (2.30%) 208,070 St James s Place 1, Real Estate Investment & Services 2.08% (0.00%) 260,793 Savills 2, Real Estate Investment Trusts 4.59% (4.32%) 76,257 Derwent London 2, ,320,586 Londonmetric Property 2, Financial Services 9.81% (9.05%) 143,942 Close Brothers Group 2, ,651 Intermediate Capital Group 2, ,720 IP Group 1, ,851 Jupiter Fund Management 1, ,502 Plus500 1, ,003 Rathbone Brothers 1, Total Financials 22,

80 Threadneedle UK Mid 250 Fund Portfolio Statement Holding Investment TECHNOLOGY 6.60% (6.37%) Software & Computer Services 2.00% (2.74%) 53,050 AVEVA Group ,592 Micro Focus International 1, Technology Hardware & Equipment 4.60% (3.63%) 546,907 CSR 4, Total Technology 6, Total value of investments 102, Net other assets (0.98%) 1, Net assets 104, April 2014 comparatives in brackets. 79

81 Threadneedle UK Extended Alpha Fund Portfolio Statement as at 30 April 2015 Holding Investment Holding Investment OIL & GAS 9.56% (11.12%) Oil & Gas Producers 5.99% (6.19%) 154,071 BG Group 1, ,205 Royal Dutch Shell B Shares 2, Oil Equipment, Services & 3.57% (4.93%) 127,503 Hunting ,305 John Wood Group 1, Total Oil & Gas 6, BASIC MATERIALS 6.06% (5.81%) Chemicals 1.94% (1.94%) 39,762 Johnson Matthey 1, Mining 4.12% (3.87%) 97,645 Rio Tinto 2, Total Basic Materials 4, INDUSTRIALS 12.79% (14.36%) Aerospace & Defence 2.42% (3.73%) 159,357 Rolls-Royce Holdings 1, ,469,337 Rolls-Royce C Shares General Industrials 1.62% (2.17%) 96,446 Smiths Group 1, Industrial Engineering 1.25% (2.27%) 322,985 Melrose Industries Support Services 7.50% (6.19%) 31,507 Aggreko ,426 Berendsen ,040 G4S ,852 Howden Joinery Group ,035 Rentokil Initial ,477 Wolseley 1, Total Industrials 8, CONSUMER GOODS 20.44% (16.91%) Automobiles & Parts 2.59% (2.14%) 508,867 GKN 1, Beverages 2.48% (0.00%) 93,270 Diageo 1, Household Goods & Home Construction 5.41% (4.54%) 322,424 Crest Nicholson Holdings 1, ,418 Reckitt Benckiser Group 2, Personal Goods 2.56% (2.71%) 33,395 Burberry Group ,627 Unilever 1, Tobacco 7.40% (7.52%) 69,106 British American Tobacco 2, ,703 Imperial Tobacco Group 2, Total Consumer Goods 13, HEALTH CARE 7.21% (4.52%) Health Care Equipment & Services 2.45% (2.61%) 147,986 Smith & Nephew 1, Pharmaceuticals & Biotechnology 4.76% (1.91%) 47,166 AstraZeneca 2, ,753 GlaxoSmithKline 1, Total Health Care 4, CONSUMER SERVICES 12.17% (14.23%) General Retailers 2.74% (2.80%) 223,892 Inchcape 1, Media 5.67% (6.77%) 284,186 Informa 1, ,886 Pearson ,812 WPP 1, Travel & Leisure 3.76% (4.66%) 23,425 Carnival ,910 Compass Group 1, ,954 Merlin Entertainments Total Consumer Services 8, TELECOMMUNICATIONS 3.58% (4.46%) Fixed Line Telecommunications 3.58% (3.40%) 529,412 BT Group 2, Mobile Telecommunications 0.00% (1.06%) Total Telecommunications 2, UTILITIES 1.13% (4.66%) Gas, Water & Multiutilities 1.13% (4.66%) 90,000 Pennon Group FINANCIALS 15.37% (13.99%) Total Utilities Banks 5.24% (4.12%) 431,192 Barclays 1, ,244 HSBC Holdings 1, ,524 Standard Chartered Nonlife Insurance 1.11% (2.04%) 165,393 Amlin Life Insurance 5.05% (4.69%) 127,603 Prudential 2, ,051 St James s Place 1, Real Estate Investment Trusts 1.09% (0.00%) 21,663 Derwent London Financial Services 2.88% (3.14%) 77,278 London Stock Exchange Group 1, Total Financials 10, TECHNOLOGY 2.89% (1.35%) Software & Computer Services 2.89% (1.35%) 24,095 AVEVA Group ,790 FDM Group Holdings IPO ,529 Sage Group 1, Total Technology 1,

82 Threadneedle UK Extended Alpha Fund Portfolio Statement Holding Investment DERIVATIVES 0.12% (0.58%) Portfolio Swap 0.12% (0.58%) UBS - Portfolio Swap (79) (0.12) Total Derivatives (79) (0.12) Total value of investments 61, Net other assets (8.01%) 6, Net assets 68, ANALYSIS OF COLLATERAL RECEIVED Counterparty Type UBS Cash 460 Total collateral 460 April 2014 comparatives in brackets. 81

83 Threadneedle UK Equity Alpha Income Fund Portfolio Statement as at 30 April 2015 Holding Investment Holding Investment OIL & GAS 5.46% (6.34%) Oil & Gas Producers 5.46% (6.34%) 2,333,685 Royal Dutch Shell B Shares 48, Total Oil & Gas 48, INDUSTRIALS 23.80% (26.49%) Construction & Materials 1.39% (1.82%) 765,125 Kier Group 12, Aerospace & Defence 8.66% (8.02%) 10,024,774 BAE Systems 50, ,991,853 Cobham 26, General Industrials 5.23% (6.14%) 7,945,084 DS Smith 27, ,696,586 Smiths Group 19, Industrial Engineering 0.00% (0.46%) Support Services 8.52% (10.05%) 11,536,485 Electrocomponents 27, ,141,619 Rentokil Initial 24, ,647 Wolseley 24, Total Industrials 212, CONSUMER GOODS 10.66% (11.14%) Automobiles & Parts 0.00% (2.72%) Personal Goods 4.27% (3.33%) 1,338,514 Unilever 38, Tobacco 6.39% (5.09%) 1,786,454 Imperial Tobacco Group 57, Total Consumer Goods 95, HEALTH CARE 10.92% (11.44%) Pharmaceuticals & Biotechnology 10.92% (11.44%) 1,063,050 AstraZeneca 47, ,354,985 GlaxoSmithKline 50, Total Health Care 97, TELECOMMUNICATIONS 3.03% (2.84%) Fixed Line Telecommunications 3.03% (2.84%) 5,913,077 BT Group 27, Total Telecommunications 27, UTILITIES 11.49% (7.58%) Gas, Water & Multiutilities 11.49% (7.58%) 14,442,515 Centrica 37, ,548,213 National Grid 40, ,997,923 Pennon Group 25, Total Utilities 102, FINANCIALS 16.39% (16.23%) Life Insurance 9.24% (9.62%) 2,315,000 Chesnara 7, ,863,003 Legal & General Group 48, ,000,000 Phoenix Group Holdings 8, ,883,019 Standard Life 17, Real Estate Investment Trusts 3.13% (2.93%) 16,935,937 Londonmetric Property 28, Financial Services 4.02% (3.68%) 5,174,845 3i Group 25, ,384,186 Jupiter Fund Management 10, Total Financials 146, TECHNOLOGY 2.05% (2.79%) Technology Hardware & Equipment 2.05% (2.79%) 21,006,553 Spirent Communications 18, Total Technology 18, Total value of investments 893, Net other assets ( 0.72%) Net assets 894, April 2014 comparatives in brackets. CONSUMER SERVICES 16.09% (15.87%) Food & Drug Retailers 2.51% (2.56%) 12,014,978 WM Morrison Supermarkets 22, General Retailers 3.19% (2.52%) 5,126,966 Marks & Spencer Group 28, Media 7.94% (7.44%) 3,306,241 Pearson 43, ,537,447 Reed Elsevier 27, Travel & Leisure 2.45% (3.35%) 6,053,019 Stagecoach Group 21, Total Consumer Services 143,

84 Threadneedle UK Absolute Alpha Fund Portfolio Statement as at 30 April 2015 Holding Investment Holding Investment OIL & GAS 3.85% (4.50%) Oil & Gas Producers 2.54% (1.19%) 426,590 BG Group 5, ,166 Royal Dutch Shell B Shares 4, Oil Equipment, Services & 1.31% (3.31%) 724,445 John Wood Group 4, Total Oil & Gas 14, BASIC MATERIALS 1.42% (1.61%) Mining 1.42% (1.61%) 186,833 Rio Tinto 5, Total Basic Materials 5, INDUSTRIALS 4.57% (4.64%) Aerospace & Defence 0.53% (2.08%) 194,878 Rolls-Royce Holdings 2, ,477,798 Rolls-Royce C Shares General Industrials 1.69% (1.01%) 1,853,291 DS Smith 6, Industrial Engineering 0.68% (0.00%) 983,975 Melrose Industries 2, Industrial Transportation 0.00% (0.85%) Support Services 1.67% (0.70%) 1,353,101 Howden Joinery Group 6, Total Industrials 17, CONSUMER GOODS 4.66% (5.08%) Household Goods & Home Construction 3.16% (1.76%) 1,563,605 Crest Nicholson Holdings 7, ,767 Reckitt Benckiser Group 2, ,640,497 Taylor Wimpey 2, Personal Goods 0.00% (1.14%) Tobacco 1.50% (2.18%) 158,674 British American Tobacco 5, Total Consumer Goods 17, HEALTH CARE 3.03% (5.19%) Health Care Equipment & Services 1.56% (1.28%) 525,020 Smith & Nephew 5, Pharmaceuticals & Biotechnology 1.47% (3.91%) 125,740 AstraZeneca 5, Total Health Care 11, CONSUMER SERVICES 12.56% (12.17%) General Retailers 0.89% (1.08%) 406,637 Inchcape 3, Media 4.51% (4.79%) 2,334,145 ITV 5, ,437 Pearson 4, ,278 Reed Elsevier 2, ,485 WPP 3, Travel & Leisure 7.16% (6.30%) 367,557 Compass Group 4, ,229 InterContinental Hotels Group 4, ,962 Merlin Entertainments 3, ,289,010 Spirit Pub 4, ,397,060 Stagecoach Group 5, ,192 TUI 4, Total Consumer Services 47, TELECOMMUNICATIONS 1.64% (1.53%) Fixed Line Telecommunications 1.64% (1.53%) 1,349,382 BT Group 6, Total Telecommunications 6, UTILITIES 0.00% (3.02%) Gas, Water & Multiutilities 0.00% (3.02%) Total Utilities FINANCIALS 11.87% (13.49%) Banks 0.99% (2.23%) 582,856 HSBC Holdings 3, Nonlife Insurance 1.23% (2.58%) 1,020,670 Amlin 4, Life Insurance 6.08% (5.50%) 3,501,630 Legal & General Group 9, ,839 Prudential 6, ,721 St James s Place 7, Financial Services 3.57% (3.18%) 725,827 Intermediate Capital Group 3, ,434 London Stock Exchange Group 6, ,979,154 Sherborne Investors Guernsey B Shares 2, Total Financials 45, TECHNOLOGY 0.00% (0.86%) Technology Hardware & Equipment 0.00% (0.86%) Total Technology DERIVATIVES 0.25% ( 0.23%) Futures And Options 0.39% ( 0.53%) (986) UBS FTSE 100 Future Expiring June 2015 (1,490) (0.39) Forward Foreign Exchange Contracts 0.39% ( 0.04%) Sell GBP 87,035 Buy EUR 121,544 J.P. Morgan 1 Sell GBP 106,491,659 Buy EUR 148,669,284 J.P. Morgan 1, Sell GBP 2,054,283 Buy EUR 2,869,888 J.P. Morgan Sell GBP 193,914 Buy EUR 270,917 J.P. Morgan 3 Sell GBP 419,037 Buy EUR 584,482 J.P. Morgan 5 83

85 Threadneedle UK Absolute Alpha Fund Portfolio Statement Holding Investment DERIVATIVES 0.25% ( 0.23%) Portfolio Swap 0.25% (0.34%) UBS - Portfolio Swap (936) (0.25) Total Derivatives (945) (0.25) Total value of investments 164, Net other assets (48.14%) 214, Net assets 379, ANALYSIS OF UNDERLYING EXPOSURE FUTURES AND OPTIONS UBS FTSE 100 Future Expiring June 2015 (68,133) Total net exposure (68,133) ANALYSIS OF COLLATERAL RECEIVED Counterparty Type J.P. Morgan Cash 3,000 UBS Cash 340 Total collateral 3,340 April 2014 comparatives in brackets. 84

86 Threadneedle Absolute Return Bond Fund Portfolio Statement as at 30 April 2015 Holding Investment Holding Investment AUSTRALIA 4.47% (4.29%) AAA 0.04% (0.12%) GBP 100,000 *Firstmac Bond Trust FRN 25/11/ Aaa 2.11% (0.00%) GBP 4,850,000 *Commonwealth Bank of Australia FRN 24/01/2018 4, GBP 100,000 *National Australia Bank FRN 12/08/ AA 0.00% (2.33%) A 2.32% (1.84%) GBP 5,336,000 QBE Insurance Group 6.125% 28/09/2015 5, CHILE 0.00% (0.28%) AA 0.00% (0.28%) Total Australia 10, Total Chile DENMARK 1.87% (3.43%) A 1.87% (3.43%) GBP 4,301,000 Danske Bank 4% 09/12/2015 4, DOMINICAN REPUBLIC 0.00% (0.79%) B+ 0.00% (0.79%) Total Denmark 4, Total Dominican Republic FRANCE 2.77% (0.10%) Aa1 0.05% (0.00%) GBP 122,000 Caisse d Amortissement de la Dette Sociale 2.25% 07/12/ AA 0.00% (0.06%) A+ 0.75% (0.00%) GBP 1,750,000 *BNP Paribas FRN 16/05/2016 1, A 1.97% (0.04%) GBP 2,500,000 *Banque Federative du Credit Mutuel FRN 16/05/2016 2, GBP 2,000,000 *BPCE FRN 06/03/2017 2, GBP 100,000 Societe Generale 3.875% 17/12/ GERMANY 1.53% (1.52%) AAA 0.00% (1.49%) Total France 6, AA 0.04% (0.03%) GBP 91,000 *State of North Rhine-Westphalia FRN 23/05/ A 1.49% (0.00%) GBP 3,500,000 Daimler 1.25% 01/12/2017 3, INDONESIA 0.00% (0.69%) Bb+ 0.00% (0.69%) Total Germany 3, Total Indonesia ITALY 4.63% (1.10%) BBB+ 0.00% (1.10%) Baa2u 1.72% (0.00%) EUR 3,325,000 Italy Buoni Poliennali Del Tesoro 2.35% 15/09/2019 2, EUR 1,000,000 Italy Buoni Poliennali Del Tesoro 2.55% 15/09/2041 1, BB+ 0.76% (0.00%) GBP 1,750,000 Telecom Italia 5.625% 29/12/2015 1, Not Rated 2.15% (0.00%) EUR 6,600,000 Banca Monte dei Paschi di Siena 3.5% 20/03/2017 5, Total Italy 10, JAPAN 1.02% (0.00%) A1 1.02% (0.00%) JPY 425,000,000 Japan Government Thirty Year Bond 1.5% 20/12/2044 2, Total Japan 2, JERSEY 1.35% (1.14%) A 1.35% (1.14%) GBP 3,150,000 Heathrow Funding 3% 08/06/2015 3, Total Jersey 3, MEXICO 1.66% (3.59%) BBB+ 1.66% (3.59%) USD 5,500,000 Petroleos Mexicanos 5.75% 01/03/2018 3, Total Mexico 3, NETHERLANDS 11.36% (5.66%) AA+ 0.07% (0.06%) GBP 52,000 Nederlandse Waterschapsbank 2.125% 07/09/ GBP 117,000 *Nederlandse Waterschapsbank FRN 25/01/ AA 0.00% (1.98%) A+ 2.56% (0.00%) GBP 3,000,000 Cooperatieve Centrale Raiffeisen- Boerenleenbank 3.25% 01/11/2017 3, GBP 2,742,000 Linde Finance 6.5% 29/01/2016 2, A 7.08% (0.00%) GBP 9,770,000 ING Bank 3.875% 23/12/ , GBP 6,400,000 Volkswagen Financial Services 1.25% 15/12/2016 6, A 1.51% (2.53%) GBP 3,356,000 British American Tobacco Holdings 5.5% 15/09/2016 3, BBB+ 0.14% (0.17%) GBP 300,000 Akzo Nobel 8% 06/04/ BBB 0.00% (0.92%) Total Netherlands 26,

87 Threadneedle Absolute Return Bond Fund Portfolio Statement Holding Investment Holding Investment NEW ZEALAND 6.31% (4.55%) AA+ 3.09% (0.00%) NZD 12,750,000 New Zealand Government Bond 5.5% 15/04/2023 7, AA 3.22% (4.55%) GBP 7,430,000 *ASB Finance London FRN 23/10/2015 7, GBP 100,000 *BNZ International Funding London FRN 29/01/ NORWAY 3.51% (4.30%) AAA 0.00% (0.67%) Total New Zealand 14, BBB 3.51% (0.00%) USD 12,675,000 Eksportfinans 2% 15/09/2015 8, Bb+ 0.00% (3.63%) Total Norway 8, PERU 0.11% (0.00%) BBB+ 0.11% (0.00%) USD 400,000 Financiera de Desarrollo 3.25% 15/07/ PORTUGAL 0.00% (3.58%) Ba3 0.00% (3.58%) Total Peru Total Portugal REPUBLIC OF IRELAND 1.42% (0.44%) AA+ 1.42% (0.44%) GBP 3,000,000 GE Capital UK Funding 4.125% 28/09/2017 3, GBP 123,000 *GE Capital UK Funding FRN 09/05/ SLOVENIA 0.00% (1.42%) A 0.00% (1.42%) Total Republic of Ireland 3, Total Slovenia SOUTH KOREA 2.07% (1.94%) A+ 2.07% (1.94%) GBP 3,800,000 Export-Import Bank of Korea 2% 07/12/2017 3, USD 650,000 Export-Import Bank of Korea 2.88% 17/09/ USD 875,000 Korea Midland Power 2.75% 11/02/ Total South Korea 4, SPAIN 2.83% (4.07%) BBB+ 1.29% (0.00%) GBP 3,000,000 Santander International Debt 3.16% 01/12/2015 3, BBB 1.54% (1.09%) USD 5,250,000 Instituto de Credito Oficial 5% 14/11/2016 3, BBB 0.00% (2.98%) Total Spain 6, SUPRANATIONAL 0.00% (0.05%) AAA 0.00% (0.05%) SWEDEN 2.92% (4.29%) Aa1 0.00% (1.78%) Total Supranational AA 2.92% (2.51%) GBP 2,619,000 Nordea Bank 3.875% 15/12/2015 2, GBP 4,000,000 Svenska Handelsbanken 5.5% 26/05/2016 4, Total Sweden 6, SWITZERLAND 1.07% (0.00%) A 1.07% (0.00%) GBP 2,500,000 *Credit Suisse FRN 15/07/2016 2, TURKEY 0.00% (0.14%) BBB 0.00% (0.14%) Total Switzerland 2, Total Turkey UNITED KINGDOM 33.45% (37.59%) AAA 1.05% (5.88%) GBP 2,000,000 *Abbey National Treasury Services London FRN 05/04/2017 2, GBP 250,000 *Arkle Master Issuer FRN 17/05/ GBP 1,200,000 E-Carat Asset Backed Fixed Rate Note 18/06/ GBP 104,000 *Lanark Master Issuer FRN 22/12/ Aaa 0.07% (0.00%) GBP 200,000 *Brass No 1 FRN 16/12/ GBP 100,000 *Friary No 1 FRN 21/10/ GBP 118,000 *Gosforth Funding FRN 18/11/ AA+ 0.00% (6.93%) Aa1 4.84% (10.23%) GBP 5,153,000 *Clydesdale Bank 2.22% 08/06/2015 5, GBP 6,100,000 *Yorkshire Building Society FRN 23/03/2016 6, Aa1u 2.99% (0.00%) GBP 2,147,000 United Kingdom Gilt Inflation Linked 2.5% 26/07/2016 7, AA 1.36% (0.00%) GBP 3,000,000 Scotland Gas Networks 4.75% 21/02/2017 3, AA 1.35% (0.05%) GBP 3,149,000 *HSBC Bank FRN 16/05/2016 3, A+ 2.31% (1.98%) GBP 5,419,000 Prudential 1.25% 16/11/2015 5, A 8.12% (6.83%) GBP 5,000,000 Abbey National Treasury Services 4.125% 14/09/2017 5, GBP 8,500,000 *Barclays Bank FRN 01/09/2016 8, GBP 52,000 Lloyds Bank 5.375% 07/09/ GBP 4,515,700 Lloyds Bank 5.5% 25/09/2016 4, GBP 191,000 Santander UK 6.5% 09/09/

88 Threadneedle Absolute Return Bond Fund Portfolio Statement Holding Investment Holding Investment UNITED KINGDOM 33.45% (37.59%) A2 0.21% (0.00%) GBP 500,000 *Nationwide Building Society A 2.07% (2.51%) GBP 50,000 Centrica 5.5% 24/10/ GBP 1,186,000 Hutchison Ports UK Finance 6.75% 07/12/2015 1, GBP 3,300,000 Royal Bank of Scotland 6% 17/05/2017 3, BBB+ 0.91% (0.83%) GBP 2,071,000 United Utilities Water 6.125% 29/12/2015 2, BBB 5.86% (2.35%) GBP 5,000,000 British Telecommunications 8.5% 07/12/2016 5, GBP 5,200,000 Imperial Tobacco Finance 5.5% 22/11/2016 5, GBP 2,500,000 InterContinental Hotels Group 6% 09/12/2016 2, Baa2 2.28% (0.00%) GBP 5,000,000 BUPA Finance 7.5% 04/07/2016 5, Not Rated 0.03% (0.00%) GBP 65,000 Segro 6.25% 30/09/ Total United Kingdom 78, UNITED STATES OF AMERICA 7.42% (8.58%) AA 0.32% (0.55%) GBP 700,000 Toyota Motor Credit 4% 07/12/ A+ 2.13% (0.00%) GBP 5,000,000 *BMW US Capital FRN 06/02/2017 4, A 3.25% (8.03%) GBP 3,117,000 Citigroup 5.5% 18/11/2015 3, GBP 104,000 Goldman Sachs Group 5.25% 15/12/ GBP 150,000 *JPMorgan Chase 6.125% FRN 30/05/ USD 3,400,000 Morgan Stanley 4.75% 22/03/2017 2, AUD 3,500,000 Morgan Stanley 7.63% 03/03/2016 1, BBB+ 1.46% (0.00%) GBP 3,150,000 AT&T 5.875% 28/04/2017 3, BBB 0.26% (0.00%) GBP 550,000 Ahold Finance USA 6.5% 14/03/ Total United States of America 17, DERIVATIVES 0.22% ( 2.22%) Credit Default Swaps 1.22% ( 2.25%) EUR (33,000,000) Barclays Itraxx-European Credit Default Swap Index Buy Protection 20/12/2019 Spread 500 (2,303) (0.98) USD (58,300,000) HSBC Japan Credit Default Swap Buy Protection 20/12/2016 Spread 100 (553) (0.24) DERIVATIVES 0.22% ( 2.22%) Forward Foreign Exchange Contracts 2.25% (0.18%) Sell USD 1,055,400 Buy AUD 1,312,161 RBC (12) (0.01) Sell USD 21,176,877 Buy CLP 13,102,133,790 Citigroup Sell SEK 120,338,443 Buy EUR 12,941,171 Barclays (34) (0.01) Sell GBP 18,550,142 Buy EUR 25,951,602 Citigroup Sell GBP 23,133,234 Buy EUR 32,352,929 Citigroup Sell USD 71,166,828 Buy EUR 64,705,857 Citigroup Sell USD 73,203,629 Buy EUR 67,882,553 Bank of Scotland 1, Sell USD 939,292 Buy EUR 866,609 RBC Sell JPY 445,806,209 Buy GBP 2,469,000 Goldman Sachs Sell USD 84,907,694 Buy GBP 56,441,824 Lloyds 1, Sell USD 45,931,673 Buy ILS 179,480,308 Barclays Sell USD 638,556 Buy ILS 2,469,567 Barclays 1 Sell USD 35,533,007 Buy JPY 4,233,342,001 Citigroup Sell USD 721,868 Buy JPY 86,029,363 Bank of Scotland 1 Sell USD 120,820,714 Buy MXN 1,868,179,047 HSBC Sell USD 17,615,680 Buy MXN 271,794,088 Barclays Sell USD 4,096,265 Buy MXN 63,184,478 Citigroup Sell USD 3,026,356 Buy NZD 3,924,848 RBC (29) (0.01) Sell GBP 9,285,352 Buy SEK 121,407,837 Barclays Sell EUR 19,230,993 Buy SEK 179,807,858 Barclays Sell ILS 4,601,137 Buy USD 1,170,892 Citigroup (15) (0.01) Sell NZD 196,548,512 Buy USD 151,377,399 Goldman Sachs 1, Sell CNY 107,726,977 Buy USD 17,537,113 Citigroup (19) (0.01) Sell GBP 11,539,074 Buy USD 17,856,525 Goldman Sachs Sell CAD 214,505 Buy USD 175,274 Citigroup (2) Sell GBP 11,670,355 Buy USD 18,024,738 Citigroup Sell EUR 16,185,820 Buy USD 18,186,904 Goldman Sachs Sell MXN 33,062,863 Buy USD 2,168,322 RBC 4 87

89 Threadneedle Absolute Return Bond Fund Portfolio Statement Holding Investment Investment DERIVATIVES 0.22% ( 2.22%) Sell AUD 26,301,199 Buy USD 20,454,776 Goldman Sachs (218) (0.09) Sell SEK 179,655,748 Buy USD 20,820,518 Goldman Sachs (578) (0.25) Sell AUD 27,417,052 Buy USD 21,138,816 Barclays (347) (0.15) Sell JPY 25,297,563 Buy USD 211,913 Goldman Sachs (1) Sell EUR 32,440,696 Buy USD 35,570,574 Citigroup (489) (0.21) Sell EUR 32,476,680 Buy USD 35,665,240 Citigroup (454) (0.19) Sell ILS 177,347,131 Buy USD 44,945,798 Citigroup (687) (0.29) Sell NZD 7,111,591 Buy USD 5,393,544 Citigroup (6) Sell GBP 489,500 Buy USD 740,739 Citigroup (9) Sell EUR 750,852 Buy USD 832,348 UBS (5) Sell GBP 636,234 Buy USD 981,106 UBS Futures and Options 0.81% ( 0.02%) EUR (97,100,000) Barclays Currency Call Option Expiring July 2015 Strike 1.15 (663) (0.28) GBP 1,405 UBS 90 Day Sterling Future Expiring December 2016 (247) (0.11) USD (1,045) UBS 90 Day Euro Future Expiring December 2017 (363) (0.15) AUD 375 UBS Australia 3 Year Bond Future Expiring June 2015 (94) (0.04) AUD 155 UBS Australia 10 Year Bond Future Expiring June 2015 (122) (0.05) EUR (26) UBS Euro-BOBL Future Expiring June EUR (276) UBS Euro Bund Future Expiring June EUR 74 UBS Euro-BTP Bond Future Expiring June 2015 (75) (0.03) JPY (72) UBS Japan 10 Year Bond Future Expiring June 2015 (267) (0.11) GBP 122 UBS Long Gilt Future Expiring June USD (1,005) UBS US 5 Year Note Future Expiring June 2015 (434) (0.20) USD (113) UBS US 10 Year Note Future Expiring June 2015 (11) Interest Rate Swaps 0.00% ( 0.13%) Total Derivatives Total value of investments 215, Net other assets (8.68%) 18, Net assets 234, ANALYSIS OF INVESTMENTS BY ASSET CLASS Fixed interest 162, Floating rate notes 53, Derivatives Total value of investments 215, ANALYSIS OF INVESTMENTS BY CREDIT RATINGS AAA 2,540 Aaa 5,127 AA+ 10,738 Aa1 11,464 Aa1u 7,000 AA 3,183 AA 18,408 A+ 23,028 A1 2,388 A 47,125 A2 502 A 28,140 BBB+ 13,066 BBB 17,937 Baa2 5,348 Baa2u 4,018 BBB 8,222 BB+ 1,792 Not rated 5,111 Derivatives 516 Total value of investments 215,653 ANALYSIS OF COLLATERAL RECEIVED Counterparty Type Barclays Cash 2,770 Citibank Cash 110 HSBC Cash 400 RBS Cash 390 Total collateral 3,670 ANALYSIS OF UNDERLYING EXPOSURE FUTURES AND OPTIONS UBS 90 Day Euro Future Expiring December 2017 (166,099) UBS 90 Day Sterling Future Expiring December ,447 UBS Australia 10 Year Bond Future Expiring June ,289 UBS Australia 3 Year Bond Future Expiring June ,541 UBS Euro-BOBL Future Expiring June 2015 (2,433) UBS Euro-BTP Bond Future Expiring June ,432 UBS Euro Bund Future Expiring June 2015 (31,478) UBS Japan 10 Year Bond Future Expiring June 2015 (57,958) UBS Long Gilt Future Expiring June ,462 UBS US 5 Year Note Future Expiring June 2015 (78,340) UBS US 10 Year Note Future Expiring June 2015 (9,413) Total net exposure (118,550) April 2014 comparatives in brackets. *Variable rate bonds. 88

90 Threadneedle Target Return Fund Portfolio Statement as at 30 April 2015 Holding Investment Holding Investment CANADA 4.70% (2.10%) BBB 4.70% (2.10%) EUR 1,200,000 Glencore Canada Financial 6.25% 27/05/ Total Canada CAYMAN ISLANDS 5.83% (0.00%) A 5.83% (0.00%) EUR 1,400,000 Hutchison Whampoa Finance 4.75% 14/11/2016 1, CHILE 0.00% (0.62%) AA 0.00% (0.62%) CZECH REPUBLIC 0.00% (1.92%) A 0.00% (1.92%) Total Cayman Islands 1, Total Chile Total Czech Republic DENMARK 4.05% (1.76%) A 4.05% (1.76%) EUR 1,000,000 Danske Bank 3.875% 18/05/ DOMINICAN REPUBLIC 0.00% (0.75%) B+ 0.00% (0.75%) Total Denmark Total Dominican Republic FRANCE 1.96% (0.00%) A 1.96% (0.00%) EUR 500,000 *Credit Agricole FRN 28/03/ GERMANY 0.00% (1.42%) AAA 0.00% (1.42%) INDONESIA 0.00% (1.60%) BB+ 0.00% (1.60%) ITALY 12.72% (2.07%) BBB+ 0.00% (2.07%) Total France Total Germany Total Indonesia Baa2u 7.79% (0.00%) EUR 275,000 Italy Buoni Poliennali Del Tesoro 2.35% 15/09/ EUR 85,000 Italy Buoni Poliennali Del Tesoro 2.55% 15/09/ EUR 1,400,000 Italy Buoni Poliennali Del Tesoro 4.75% 01/09/2017 1, Not Rated 4.93% (0.00%) EUR 1,200,000 Banca Monte dei Paschi di Siena 3.5% 20/03/ Total Italy 2, JAPAN 1.30% (0.00%) A1 1.30% (0.00%) JPY 43,000,000 Japan Government Thirty Year Bond 1.5% 20/12/ LUXEMBOURG 0.00% (2.63%) BBB 0.00% (2.63%) Total Japan Total Luxembourg MEXICO 3.13% (3.93%) BBB+ 3.13% (3.93%) USD 820,000 Petroleos Mexicanos 5.75% 01/03/ NETHERLANDS 19.15% (16.47%) AA 0.00% (2.90%) Total Mexico A+ 0.00% (1.79%) A 6.27% (7.31%) EUR 500,000 Airbus Group Finance 4.625% 12/08/ EUR 1,000,000 KBC Internationale Financieringsmaatschappij 4.5% 27/03/ BBB+ 6.43% (0.00%) EUR 1,500,000 Deutsche Telekom International Finance 6% 20/01/2017 1, BBB 2.30% (4.47%) EUR 564,000 Koninklijke KPN 6.5% 15/01/ Not Rated 4.15% (0.00%) EUR 1,000,000 Heineken 4.625% 10/10/ Total Netherlands 3, NEW ZEALAND 3.15% (0.00%) AA+ 3.15% (0.00%) NZD 1,030,000 New Zealand Government Bond 5.5% 15/04/ NORWAY 5.32 % (5.11%) AAA 0.00% (0.69%) Total New Zealand BB+ 0.00% (4.42%) BBB 5.32% (0.00%) USD 1,525,000 Eksportfinans 2% 15/09/ Total Norway PERU 0.71% (0.00%) BBB+ 0.71% (0.00%) USD 200,000 Financiera de Desarrollo 3.25% 15/07/ Total Peru

91 Threadneedle Target Return Fund Portfolio Statement Holding Investment Holding Investment PORTUGAL 0.00% (3.53%) Ba3 0.00% (3.53%) REPUBLIC OF IRELAND 1.96% (2.10%) AA+ 0.00% (2.10%) Total Portugal A 1.96% (0.00%) EUR 500,000 *Caterpillar International Finance FRN 23/05/ SLOVENIA 0.00% (1.52%) A 0.00% (1.52%) Total Republic of Ireland Total Slovenia SOUTH KOREA 4.56% (7.63%) A+ 4.56% (7.63%) USD 275,000 Export-Import Bank of Korea 2.88% 17/09/ EUR 610,000 Export-Import Bank of Korea 4.625% 20/02/ USD 286,000 Korea Midland Power 2.75% 11/02/ Total South Korea SPAIN 2.30% (3.01%) BBB 2.30% (0.00%) USD 625,000 Instituto de Credito Oficial 5% 14/11/ BBB 0.00% (3.01%) Total Spain SWEDEN 1.98% (0.00%) A 1.98% (0.00%) EUR 500,000 Scania 0% 23/03/ TURKEY 0.00% (0.34%) BBB 0.00% (0.34%) Total Sweden Total Turkey UNITED KINGDOM 6.88% (19.12%) AAA 1.43% (0.00%) EUR 350,000 Bradford & Bingley 4.25% 04/05/ AA+ 0.00% (1.84%) Aa1 0.00% (10.35%) A 0.00% (4.15%) BBB 0.00% (2.78%) BBB 5.45% (0.00%) EUR 1,375,000 Royal Bank of Scotland Group 1.5% 28/11/2016 1, Total United Kingdom 1, UNITED STATES OF AMERICA 4.30% (14.63%) AA 0.00% (1.35%) A 4.30% (13.28%) AUD 1,500,000 Morgan Stanley 7.63% 03/03/ Total United States of America DERIVATIVES 0.47% ( 2.75%) Credit Default Swaps 1.36% ( 2.66%) EUR (2,750,000) Barclays Itraxx-European Credit Default Swap Index Buy Protection 20/12/2019 Spread 500 (192) (1.03) USD (6,500,000) HSBC Japan Credit Default Swap Buy Protection 20/12/2016 Spread 100 (62) (0.33) Forward Foreign Exchange Contracts 2.63% (0.07%) Sell USD 138,944 Buy AUD 172,747 RBC (2) (0.01) Sell USD 66,571 Buy AUD 85,313 Goldman Sachs 1 Sell EUR 11,044 Buy CHF 11,406 J.P. Morgan Sell USD 1,650,744 Buy CLP 1,021,315,563 Citigroup Sell GBP 1,409,170 Buy EUR 1,971,426 Citigroup Sell USD 12 Buy EUR 11 J.P. Morgan Sell USD 15,037,532 Buy EUR 13,944,474 Bank of Scotland Sell USD 151,621 Buy EUR 139,785 J.P. Morgan Sell GBP 1,744,232 Buy EUR 2,439,391 Citigroup Sell JPY 45,093,774 Buy EUR 347,525 Bank of Scotland Sell USD 5,365,936 Buy EUR 4,878,783 Citigroup Sell SEK 9,073,446 Buy EUR 975,757 Barclays (3) (0.01) Sell EUR 1,477,988 Buy GBP 1,058,451 Goldman Sachs (15) (0.08) Sell USD 3,489,221 Buy ILS 13,634,307 Barclays Sell USD 51,090 Buy ILS 200,687 Barclays 1 Sell USD 68,814 Buy ILS 266,133 Barclays Sell USD 2,679,167 Buy JPY 319,191,428 Citigroup Sell USD 57,777 Buy JPY 6,885,637 Bank of Scotland Sell USD 9,602,596 Buy MXN 148,479,246 HSBC Sell USD 1,373,148 Buy MXN 21,186,437 Barclays Sell USD 389,567 Buy NZD 505,225 RBC (4) (0.02) Sell EUR 1,526,814 Buy SEK 14,275,554 Barclays

92 Threadneedle Target Return Fund Portfolio Statement Holding Investment Holding Investment DERIVATIVES 0.47% ( 2.75%) Sell GBP 705,372 Buy SEK 9,222,879 Barclays Sell GBP 802,851 Buy USD 1,242,398 Goldman Sachs Sell GBP 886,709 Buy USD 1,369,513 Citigroup Sell EUR 1,220,506 Buy USD 1,371,399 Goldman Sachs Sell CNY 8,804,274 Buy USD 1,433,267 Citigroup (2) (0.01) Sell AUD 2,137,168 Buy USD 1,647,778 Barclays (27) (0.15) Sell SEK 14,263,478 Buy USD 1,653,011 Goldman Sachs (46) (0.25) Sell NZD 15,646,343 Buy USD 12,050,474 Goldman Sachs Sell CAD 16,855 Buy USD 13,773 Citigroup Sell JPY 1,992,624 Buy USD 16,692 Goldman Sachs Sell AUD 3,371,492 Buy USD 2,622,052 Goldman Sachs (28) (0.15) Sell EUR 2,464,373 Buy USD 2,702,136 Citigroup (37) (0.20) Sell EUR 2,467,127 Buy USD 2,709,349 Citigroup (35) (0.19) Sell EUR 217,268 Buy USD 235,541 Citigroup (5) (0.03) Sell EUR 265,493 Buy USD 294,309 UBS (2) (0.01) Sell ILS 14,100,953 Buy USD 3,573,661 Citigroup (55) (0.29) Sell GBP 20,166 Buy USD 30,516 Citigroup Sell EUR 281 Buy USD 304 J.P. Morgan Sell MXN 4,683,833 Buy USD 307,174 RBC 1 Sell GBP 30,459 Buy USD 46,969 UBS Sell EUR 477,220 Buy USD 518,064 J.P. Morgan (11) (0.06) Sell EUR 71 Buy USD 78 J.P. Morgan Sell MXN 1,360,201 Buy USD 88,143 HSBC (1) Futures And Options 0.80% ( 0.03%) EUR (7,325,000) Barclays Euro Currency Call Option Expiring July 2015 Strike 1.15 (50) (0.27) USD (84) UBS 90 Day EURO Future Expiring December 2017 (29) (0.15) GBP 112 UBS 90 Day Sterling Future Expiring December 2016 (20) (0.11) AUD 12 UBS Australia 10 Year Bond Future Expiring June 2015 (9) (0.05) AUD 30 UBS Australia 3 Year Bond Future Expiring June 2015 (6) (0.04) EUR (22) UBS EURO Bund Future Expiring June EUR (2) UBS EURO-BOBL Future Expiring June 2015 EUR 6 UBS EURO-BTP Bond Future Expiring June 2015 (6) (0.03) JPY (6) UBS Japan 10 Year Bond Future Expiring June 2015 (21) (0.11) GBP 9 UBS Long Gilt Future Expiring June USD (9) UBS US 10 Year Note Future Expiring June 2015 (1) USD (79) UBS US 5 Year Note Future Expiring June 2015 (35) (0.19) Interest Rate Swaps 0.00% ( 0.13%) Total Derivatives Total value of investments 15, Net other assets (10.49%) 2, Net assets 18, ANALYSIS OF INVESTMENTS BY ASSET CLASS Investment Fixed interest 14, Floating rate notes Derivatives Total value of investments 15, ANALYSIS OF INVESTMENTS BY CREDIT RATINGS AAA 265 AA+ 585 A+ 848 A1 242 A 2,648 A 2,250 BBB+ 1,909 BBB 1,302 Baa2u 1,447 BBB 2,429 Not rated 1,688 Derivatives 89 Total value of investments 15,702 91

93 Threadneedle Target Return Fund Portfolio Statement ANALYSIS OF UNDERLYING EXPOSURE FUTURES AND OPTIONS Barclays Euro Currency Call Option Expiring July 2015 Strike 1.15 UBS 90 Day EURO Future Expiring December 2017 (13,351) UBS 90 Day Sterling Future Expiring December ,826 UBS Australia 10 Year Bond Future Expiring June UBS Australia 3 Year Bond Future Expiring June ,723 UBS EURO Bund Future Expiring June 2015 (2,509) UBS EURO-BOBL Future Expiring June 2015 (187) UBS EURO-BTP Bond Future Expiring June UBS Japan 10 Year Bond Future Expiring June 2015 (4,830) UBS Long Gilt Future Expiring June ,067 UBS US 10 Year Note Future Expiring June 2015 (750) UBS US 5 Year Note Future Expiring June 2015 (6,158) Total net exposure (9,769) April 2014 comparatives in brackets. *Variable rate bonds 92

94 Threadneedle Pan European Focus Fund Portfolio Statement as at 30 April 2015 Holding Investment Holding Investment BELGIUM 4.95% (6.25%) Beverages 4.33% (0.00%) 45,986 Anheuser-Busch InBev 3, Pharmaceuticals & Biotechnology 0.62% (3.51%) 11,329 UCB Banks 0.00% (2.74%) CANADA 0.00% (2.38%) Media 0.00% (2.38%) Total Belgium 4, Total Canada DENMARK 8.32% (6.04%) Personal Goods 3.55% (3.10%) 44,894 Pandora 2, Health Care Equipment & Services 0.78% (0.00%) 12,746 Coloplast Pharmaceuticals & Biotechnology 3.99% (2.94%) 91,765 Novo Nordisk 3, Total Denmark 7, FINLAND 2.78% (1.77%) Industrial Engineering 1.86% (1.77%) 56,595 Kone 1, Technology Hardware & Equipment 0.92% (0.00%) 171,310 Nokia Total Finland 2, FRANCE 30.11% (19.81%) Construction & Materials 5.02% (0.00%) 107,271 Vinci 4, Aerospace & Defence 1.41% (1.76%) 1,397 Dassault Aviation 1, General Industrials 0.00% (3.00%) Electronic & Electrical Equipment 2.52% (0.00%) 57,487 Legrand 2, Industrial Transportation 4.49% (3.77%) 370,951 Groupe Eurotunnel 3, Support Services 2.55% (0.00%) 27,598 Ingenico 2, Automobiles & Parts 0.00% (3.75%) Personal Goods 5.03% (0.00%) 5,428 Hermes International 1, ,701 L Oreal 2, Media 8.38% (1.99%) 498,819 Havas 2, ,285 Publicis Groupe 1, ,908 Vivendi 3, Software & Computer Services 0.71% (5.54%) 4,010 Iliad Total France 25, GERMANY 9.05% (8.88%) Chemicals 7.07% (3.78%) 26,316 Bayer 2, ,833 Brenntag 2, ,925 Linde Automobiles & Parts 0.00% (2.80%) Media 1.98% (2.30%) 50,648 ProSiebenSat.1 Media 1, GREECE 0.00% (1.30%) Banks 0.00% (1.30%) Total Germany 7, Total Greece ISRAEL 0.00% (1.88%) Financial Services 0.00% (1.88%) Total Israel ITALY 4.90% (6.33%) Media 1.67% (0.00%) 450,000 RAI Way 1, Banks 0.98% (6.33%) 382,215 Intesa Sanpaolo Technology Hardware & Equipment 2.25% (0.00%) 48,324 Ei Towers 1, Total Italy 4, NETHERLANDS 2.99% (3.66%) Aerospace & Defence 0.00% (1.01%) Banks 1.04% (2.65%) 87,407 ING Groep Technology Hardware & Equipment 1.95% (0.00%) 23,532 ASML 1, NORWAY 0.00% (2.42%) Media 0.00% (0.82%) Total Netherlands 2, Banks 0.00% (1.60%) Total Norway REPUBLIC OF IRELAND 5.85% (4.15%) Construction & Materials 3.88% (0.00%) 181,630 CRH 3, Banks 0.00% (4.15%) Life Insurance 1.97% (0.00%) 468,177 Permanent TSB Group Holdings 1, Total Republic of Ireland 4,

95 Threadneedle Pan European Focus Fund Portfolio Statement Holding Investment SPAIN 3.45% (6.04%) Construction & Materials 3.45% (0.00%) 199,285 Ferrovial 2, Support Services 0.00% (1.29%) Banks 0.00% (4.75%) Total Spain 2, SWEDEN 0.79% (5.53%) Banks 0.79% (4.49%) 22,261 Svenska Handelsbanken Financial Services 0.00% (1.04%) Total Sweden SWITZERLAND 7.92% (6.33%) Construction & Materials 1.87% (0.00%) 718 Sika 1, Support Services 0.00% (6.33%) Food Producers 5.00% (0.00%) 83,763 Nestle 4, Banks 1.05% (0.00%) 67,910 UBS Group Total Switzerland 6, UNITED KINGDOM 14.62% (16.89%) Support Services 4.75% (4.76%) 3,010,044 Rentokil Initial 4, Household Goods & Home Construction 0.00% (1.76%) Personal Goods 4.88% (0.00%) 144,606 Unilever 4, General Retailers 0.00% (1.45%) Travel & Leisure 0.00% (1.60%) Fixed Line Telecommunications 0.00% (3.47%) Mobile Telecommunications 0.00% (1.81%) Life Insurance 0.95% (2.04%) 90,744 St James s Place Financial Services 2.02% (0.00%) 34,016 London Stock Exchange Group ,225 Schroders Technology Hardware & Equipment 2.02% (0.00%) 57,696 Dialog Semiconductor 1, Total United Kingdom 12, Total value of investments 80, Net other assets (0.34%) 3, Net assets 84, April 2014 comparatives in brackets. 94

96 Threadneedle Pan European Equity Dividend Fund Portfolio Statement as at 30 April 2015 Holding Investment Holding Investment BELGIUM 6.50% (6.82%) Chemicals 0.00% (1.52%) Industrial Transportation 2.91% (2.82%) 103,179 bpost 1, Beverages 3.59% (2.48%) 29,652 Anheuser-Busch InBev 2, Total Belgium 4, BERMUDA 0.00% (0.92%) Nonlife Insurance 0.00% (0.92%) Total Bermuda DENMARK 0.00% (1.67%) Health Care Equipment & Services 0.00% (1.67%) Total Denmark FINLAND 7.15% (6.53%) Industrial Engineering 1.95% (3.01%) 46,150 Kone 1, Leisure Goods 0.00% (1.65%) Nonlife Insurance 3.00% (1.87%) 62,646 Sampo 1, Technology Hardware & Equipment 2.20% (0.00%) 318,786 Nokia 1, Total Finland 4, FRANCE 2.11% (4.19%) Industrial Transportation 2.11% (1.27%) 135,153 Groupe Eurotunnel 1, Suport Services 0.00% (8.48%) Total France 1, GERMANY 13.99% (23.53%) Chemicals 3.70% (8.48%) 25,940 Bayer 2, Industrial Transportation 0.00% (3.30%) Support Services 0.00% (2.88%) Automobiles & Parts 1.94% (0.00%) 16,446 Bayerische Motoren Werke 1, Personal Goods 0.00% (1.32%) Media 2.93% (2.98%) 58,084 ProSiebenSat.1 Media 1, Travel & Leisure 2.38% (0.00%) 130,574 TUI AG 1, Mobile Telecommunications 0.00% (2.05%) Nonlife Insurance 3.04% (2.52%) 17,960 Allianz 1, Total Germany 9, ITALY 3.07% (5.95%) Travel & Leisure 0.00% (2.87%) Gas, Water & Multiutilities 3.07% (3.08%) 594,906 Snam Rete Gas 2, Total Italy 2, NETHERLANDS 2.92% (4.96%) Media 2.92% (1.60%) 123,077 Reed Elsevier 1, Total Netherlands 1, NORWAY 0.00% (1.60%) Oil Equipment, Services & 0.00% (1.60%) Total Norway SPAIN 8.12% (1.98%) Construction & Materials 2.97% (1.98%) 132,946 Ferrovial 1, Industrial Transportation 2.21% (0.00%) 23,849 Aena 1, Electricity 2.94% (0.00%) 150,004 Endesa 1, Total Spain 5, SWEDEN 8.30% (10.82%) Industrial Engineering 0.00% (2.91%) Tobacco 2.47% (3.04%) 80,580 Swedish Match 1, Banks 5.83% (4.87%) 238,488 Nordea Bank 1, ,097 Svenska Handelsbanken 1, Total Sweden 5, SWITZERLAND 20.01% (15.59%) Chemicals 2.97% (6.34%) 1,604 Givaudan 1, Support Services 0.00% (1.47%) Food Producers 3.94% (5.03%) 51,273 Nestle 2, Pharmaceuticals & Biotechnology 9.85% (2.75%) 48,685 Novartis 3, ,247 Roche 3, Banks 3.25% (0.00%) 163,637 UBS Group 2, Total Switzerland 13, UNITED KINGDOM 27.17% (15.00%) Oil & Gas Producers 3.18% (0.00%) 100,799 Royal Dutch Shell A Shares 2, Aerospace & Defence 2.58% (0.00%) 332,809 BAE Systems 1,

97 Threadneedle Pan European Equity Dividend Fund Portfolio Statement Holding Investment UNITED KINGDOM 27.17% (15.00%) Household Goods & Home Construcion 0.00% (0.63%) Personal Goods 3.65% (3.49%) 83,794 Unilever 2, Pharmaceuticals & Biotechnology 6.39% (4.36%) 41,981 AstraZeneca 1, ,032 GlaxoSmithKline 2, Media 2.65% (3.17%) 131,033 Pearson 1, Fixed Line Telecommunications 3.56% (0.00%) 508,380 BT Group 2, Nonlife Insurance 2.42% (3.35%) 347,886 Amlin 1, Life Insurance 2.74% (0.00%) 691,954 Legal & General Group 1, Total United Kingdom 17, DERIVATIVES 0.00% (0.00%) Forward Foreign Exchange Contracts 0.00% (0.00%) Sell GBP 146,776 Buy EUR 205,000 Citigroup 2 Total Derivatives 2 Total value of investments 65, Net other assets (0.44%) Net assets 65, April 2014 comparatives in brackets. 96

98 Threadneedle American Extended Alpha Fund Portfolio Statement as at 30 April 2015 Holding Investment Holding Investment BERMUDA 1.27% (0.00%) Financial Services 1.27% (0.00%) 194,919 Markit 3, Total Bermuda 3, CANADA 0.00% (3.73%) Oil & Gas Producers 0.00% (1.92%) Chemicals 0.00% (1.81%) Total Canada NETHERLANDS 1.28% (1.37%) Chemicals 0.00% (1.37%) Technology Hardware & Equipment 1.28% (0.00%) 53,134 NXP Semiconductors 3, Total Netherlands 3, PANAMA 0.00% (1.12%) Travel & Leisure 0.00% (1.12%) Total Panama REPUBLIC OF IRELAND 4.34% (3.04%) General Industrials 1.16% (1.18%) 66,159 Eaton 2, Industrial Engineering 1.26% (1.86%) 73,873 Ingersoll-Rand 3, Health Care Equipment & Services 1.02% (0.00%) 53,022 Medtronic 2, Pharmaceuticals & Biotechnology 0.90% (0.00%) 61,900 Alkermes 2, Total Republic of Ireland 11, SWITZERLAND 0.00% (1.24%) Support Services 0.00% (1.24%) Total Switzerland UNITED KINGDOM 2.38% (2.84%) Automobiles & Parts 0.00% (1.63%) Media 0.66% (1.21%) 49,856 Liberty Global A Shares 1, Nonlife Insurance 1.72% (0.00%) 69,582 Aon 4, Total United Kingdom 6, UNITED STATES OF AMERICA 68.31% (65.05%) Oil & Gas Producers 4.17% (6.02%) 90,319 Anadarko Petroleum 5, ,133 Cabot Oil & Gas 1, ,362 Exxon Mobil 3, Oil Equipment, Services & 2.72% (1.19%) 73,860 Cameron International 2, ,330 Enterprise Products Partners 2, ,714 Halliburton 1, Chemicals 1.17% (1.50%) 44,456 Airgas 3, Construction & Materials 0.00% (0.65%) Aerospace & Defence 0.73% (0.00%) 19,721 Boeing 1, General Industrials 1.20% (0.00%) 30,260 3M 3, Electronic & Electrical Equipment 1.53% (0.00%) 61,984 Amphenol 2, ,195 General Cable 1, Industrial Transportation 1.37% (0.00%) 50,558 Union Pacific 3, Support Services 1.36% (0.66%) 41,836 Towers Watson & Co 3, Automobiles & Parts 0.00% (1.17%) Beverages 1.51% (2.44%) 64,870 Coca-Cola 1, ,816 Constellation Brands 2, Food Producers 0.00% (1.79%) Household Goods & Home Construction 0.00% (3.86%) Personal Goods 2.91% (0.71%) 114,729 NIKE 7, Health Care Equipment & Services 4.44% (2.52%) 106,001 Express Scripts 5, ,098 UnitedHealth Group 2, ,756 Zimmer Holdings 3, Pharmaceuticals & Biotechnology 5.47% (1.57%) 159,384 Bristol-Myers Squibb 6, ,721 Celgene 2, ,276 Receptos ,570 Vertex Pharmaceuticals 3, Food & Drug Retailers 0.81% (0.00%) 31,673 CVS Health 2, General Retailers 6.20% (3.44%) 26,550 Amazon.com 7, ,340 Costco Wholesale 3, ,926 Home Depot 4, Media 2.49% (2.74%) 89,679 Walt Disney 6, Travel & Leisure 2.14% (7.91%) 21,560 Panera Bread 2, ,586 Priceline Group 2, Fixed Line Telecommunications 0.00% (1.27%) Banks 3.84% (6.10%) 264,580 Bank of America 2, ,323 JPMorgan Chase 7,

99 Threadneedle American Extended Alpha Fund Portfolio Statement Holding Investment UNITED STATES OF AMERICA 68.38% (65.05%) Nonlife Insurance 2.43% (0.00%) 67,412 Berkshire Hathaway 6, Life Insurance 0.00% (1.15%) Financial Services 6.25% (6.21%) 27,275 Capital One Financial 1, ,547 CME Group 2, ,144 Equifax ,977 MasterCard Class A 4, ,542 Visa A Shares 6, Software & Computer Services 7.06% (5.97%) 59,210 Facebook 3, ,636 Google Class A 9, ,352 International Business Machines 3, ,678 Salesforce.com 2, Technology Hardware & Equipment 8.51% (6.18%) 200,277 Apple 16, ,722 Broadcom 1, ,316 Skyworks Solutions 3, Total United States of America 175, DERIVATIVES 0.03% (0.20%) Forward Foreign Exchange Contracts 0.04% (0.00%) Sell USD 4,803,367 Buy EUR 4,424,669 J.P. Morgan Sell USD 293,000 Buy GBP 193,421 Lloyds 3 Sell USD 895,000 Buy GBP 579,536 Lloyds Sell EUR 403,365 Buy USD 436,355 J.P. Morgan (10) Portfolio Swap 0.01% (0.20%) Merrill Lynch - Portfolio Swap (25) (0.01) Total Derivatives Total value of investments 198, Net other assets (21.41%) 57, Net assets 255, ANALYSIS OF COLLATERAL RECEIVED Counterparty Type J.P. Morgan Cash 104 Merrill Lynch Cash 305 Total collateral 409 April 2014 comparatives in brackets. 98

100 Threadneedle China Opportunities Fund Portfolio Statement as at 30 April 2015 Holding Investment Holding Investment BERMUDA 3.80% (2.90%) Oil Equipment, Services & 0.64% (0.00%) 898,000 China Gas Holdings 1, Forestry & Paper 0.00% (0.79%) Industrial Transportation 0.48% (0.65%) 190,500 Orient Overseas International Pharmaceuticals & Biotechnology 1.56% (1.46%) 1,537,500 Luye Pharma Group 1, ,303,000 Sihuan Pharmaceutical Holdings Group 1, General Retailers 0.76% (0.00%) 7,252,000 GOME Electrical Appliances Holding 1, Technology Hardware & Equipment 0.36% (0.00%) 609,000 PAX Global Technology Total Bermuda 6, BRITISH VIRGIN ISLANDS 0.70% (2.73%) Electronic & Electrical Equipment 0.70% (2.73%) 77,435 Hollysys Automation Technologies 1, Total British Virgin Islands 1, CAYMAN ISLANDS 18.50% (36.84%) Alternative Energy 0.00% (1.32%) Construction & Materials 0.38% (1.48%) 484,000 China State Construction International Holdings Electronic & Electrical Equipment 0.59% (0.00%) 272,000 AAC Technologies Holdings Industrial Engineering 0.00% (1.59%) Food Producers 0.95% (4.64%) 461,000 China Mengniu Dairy 1, Personal Goods 0.58% (0.86%) 1,695,000 Cosmo Lady China Holdings Pharmaceuticals & Biotechnology 0.69% (1.26%) 43,310 WuXi PharmaTech Cayman ADR 1, General Retailers 3.25% (4.93%) 18,301 Alibaba Group ADR ,672,000 China Maple Leaf Educational Systems ,680 JD.com ADR 1, ,855 Vipshop Holdings ADR 2, Media 0.27% (0.00%) 11,162 Bitauto Holdings Travel & Leisure 0.29% (3.87%) 998,000 NagaCorp Gas, Water & Multiutilities 0.00% (2.29%) Real Estate Investment & Services 0.61% (2.94%) 633,000 Shimao Property Holdings Software & Computer Services 10.89% (11.66%) 13,667 Baidu (ADS) 1, ,768,000 Kingdee International Software Group 1, ,067,600 Tencent Holdings 14, Total Cayman Islands 29, CHINA 46.59% (30.61%) Oil & Gas Producers 4.46% (3.69%) 5,506,000 China Petroleum & Chemical 3, ,554,000 PetroChina 3, Oil Equipment, Services & 0.00% (1.55%) Construction & Materials 2.36% (0.54%) 2,237,000 Beijing Urban Construction Design & Development Group 1, ,494,000 China Communications Construction 1, ,000 China Railway Construction Electronic & Electrical Equipment 0.54% (0.88%) 598,000 Sunny Optical Technology Group Industrial Engineering 1.59% (1.28%) 460,500 Zhuzhou CSR Times Electric 2, Industrial Transportation 1.50% (0.00%) 4,801,000 Sinotrans 2, Automobiles & Parts 3.64% (2.90%) 1,904,799 AviChina Industry & Technology 1, ,953 Chongqing Changan Automobile 2, ,650 Great Wall Motor 2, Personal Goods 0.00% (0.24%) General Retailers 0.00% (1.44%) Travel & Leisure 0.00% (0.51%) Electricity 0.53% (1.01%) 1,182,000 Huadian Power International Banks 17.27% (9.44%) 23,339,000 Bank of China 10, ,512,000 China Construction Bank 9, ,098,000 Industrial & Commercial Bank of China 7, Nonlife Insurance 1.31% (0.00%) 1,452,000 PICC Property & Casualty 2, Life Insurance 7.12% (4.79%) 2,362,000 China Life Insurance 7, ,500 Ping An Insurance Group of China 3, Real Estate Investment & Services 1.93% (0.00%) 846,500 China Vanke 1, ,478,911 KWG Property 1, Financial Services 4.34% (2.34%) 1,134,000 CITIC Securities H Shares 3, ,118 GF Securities ,436,800 Haitong Securities 3, Total China 74,

101 Threadneedle China Opportunities Fund Portfolio Statement Holding Investment Holding Investment HONG KONG 24.56% (19.32%) Oil & Gas Producers 2.93% (1.58%) 4,282,000 CNOOC 4, Industrial Metals & Mining 0.64% (0.00%) 637,000 Fosun International 1, Construction & Materials 0.26% (1.09%) 988,000 China Resources Cement Holdings Industrial Transportation 1.25% (1.71%) 678,000 China Merchants Holdings International 1, Support Services 1.22% (1.79%) 1,605,000 China Everbright International 1, Household Goods & Home Construction 1.46% (3.40%) 829,000 Haier Electronics Group 1, ,000 Vinda International Holdings Pharmaceuticals & Biotechnology 0.63% (1.00%) 1,502,000 CSPC Pharmaceutical Group 1, Life Insurance 2.21% (2.05%) 369,381 J.P. Morgan International Derivatives (Ping An A shares P Note) 3, ,233 Ping An Insurance Group Co of China Total Luxembourg 6, SINGAPORE 0.66% (0.00%) Support Services 0.66% (0.00%) 1,790,000 Sound Global 1, Total Singapore 1, TAIWAN 0.00% (0.82%) Technology Hardware & Equipment 0.00% (0.82%) Total Taiwan Total value of investments 157, Net other assets (1.53%) 2, Net assets 159, April 2014 comparatives in brackets. Travel & Leisure 0.00% (0.00%) Mobile Telecommunications 7.60% (0.00%) 1,051,500 China Mobile 9, ,978,000 China Unicom Hong Kong 2, Gas, Water & Multiutilities 1.74% (3.12%) 2,994,000 Beijing Enterprises Water Group 1, ,150,000 Guangdong Investment 1, Banks 0.00% (0.95%) Life Insurance 1.36% (1.54%) 502,600 AIA Group 2, Real Estate Investment & Services 2.46% (1.58%) 1,450,000 China Overseas Land & Investment 3, Financial Services 1.73% (0.00%) 111,300 Hong Kong Exchanges and Clearing 2, Technology Hardware & Equipment 1.28% (1.56%) 1,836,000 Lenovo Group 2, Total Hong Kong 39, ITALY 0.00% (1.41%) Personal Goods 0.00% (1.41%) LUXEMBOURG 3.77% (3.84%) Mining 0.00% (0.24%) Total Italy Construction & Materials 0.34% (1.55%) 6,143 Anhui Conch Cement ,330 J.P. Morgan International Derivatives (Anhui Conch Cement A shares P Note) Household Goods & Home Construction 1.22% (0.00%) 304,092 Midea Group 1, ,069 Qingdao Haier

102 Threadneedle Global Emerging Markets Equity Fund Portfolio Statement as at 30 April 2015 Holding Investment Holding Investment AUSTRALIA 0.00% (0.89%) Health Care Equipment & Services 0.00% (0.89%) BERMUDA 0.94% (0.00%) Pharmaceuticals & Biotechnology 0.94% (0.00%) 3,471,000 Luye Pharma Group 2, Total Bermuda 2, BRAZIL 7.72% (5.01%) Oil & Gas Producers 0.69% (1.34%) 377,298 Petroleo Brasileiro ADR 2, Industrial Metals & Mining 0.70% (0.00%) 990,860 Gerdau ADR 2, Food Producers 1.71% (2.36%) 214,015 BRF ADR 3, ,100 M Dias Branco 2, Personal Goods 1.09% (1.31%) 1,497,237 Alpargatas 3, Banks 2.76% (0.00%) 1,014,155 Itau Unibanco ADR 8, Nonlife Insurance 0.77% (0.00%) 312,500 BB Seguridade Participacoes 2, Total Brazil 23, BRITISH VIRGIN ISLANDS 0.45% (0.85%) Software & Computer Services 0.45% (0.85%) 88,528 Mail.ru Group GDR 1, Total British Virgin Islands 1, CAYMAN ISLANDS 7.27% (4.90%) Alternative Energy 0.55% (0.00%) 8,594,000 GCL-Poly Energy Holdings 1, Industrial Engineering 0.00% (0.46%) Food Producers 0.95% (1.03%) 899,000 China Mengniu Dairy 2, General Retailers 1.02% (0.68%) 29,495 Alibaba Group ADR 1, ,017 Vipshop Holdings ADR 1, Software & Computer Services 4.75% (2.73%) 29,640 Baidu (ADS) 4, ,300 Tencent Holdings 10, Total Cayman Islands 22, CHINA 4.72% (2.70%) Oil & Gas Producers 1.13% (1.16%) 5,726,000 China Petroleum & Chemical 3, Oil Equipment, Services & 0.00% (0.85%) Industrial Engineering 0.66% (0.41%) 371,000 Zhuzhou CSR Times Electric 2, Industrial Transportation 0.63% (0.00%) 3,904,000 Sinotrans 1, Automobiles & Parts 0.00% (0.28%) Life Insurance 2.30% (0.00%) 2,253,000 China Life Insurance 7, Total China 14, COLOMBIA 1.07% (0.00%) Banks 1.07% (0.00%) 109,945 Bancolombia ADR 3, Total Colombia 3, CZECH REPUBLIC 1.35% (1.42%) Banks 1.35% (1.42%) 28,794 Komercni Banka 4, Total Czech Republic 4, GREECE 0.20% (0.94%) Banks 0.20% (0.94%) 713,674 National Bank of Greece Total Greece HONG KONG 11.93% (4.39%) Oil & Gas Producers 1.24% (0.00%) 2,310,000 CNOOC 2, ,759 CNOOC (ADS) 1, Support Services 1.13% (0.00%) 2,863,000 China Everbright International 3, Household Goods & Home Construction 0.52% (0.00%) 868,000 Haier Electronics Group 1, Personal Goods 0.91% (0.94%) 353,000 Hengan International Group 2, General Retailers 0.00% (0.40%) Mobile Telecommunications 3.28% (0.53%) 1,058,500 China Mobile 9, ,232 China Mobile ADR Gas, Water & Multiutilities 0.73% (0.79%) 2,332,000 Guangdong Investment 2, Life Insurance 0.96% (1.00%) 680,800 AIA Group 2, Financial Services 1.84% (0.00%) 228,400 Hong Kong Exchanges and Clearing 5, Technology Hardware & Equipment 1.32% (0.73%) 3,640,000 Lenovo Group 4, Total Hong Kong 36, INDIA 5.98% (6.73%) Construction & Materials 1.10% (0.00%) 202,681 Larsen & Toubro 3,

103 Threadneedle Global Emerging Markets Equity Fund Portfolio Statement Holding Investment Holding Investment INDIA 5.98% (6.73%) Tobacco 0.00% (0.97%) Health Care Equipment & Services 0.69% (0.69%) 182,424 Apollo Hospitals Enterprise 2, Pharmaceuticals & Biotechnology 0.97% (0.75%) 311,649 Sun Pharmaceutical Industries 2, Media 0.36% (0.00%) 1,423,054 Dish TV India 1, Banks 2.25% (1.84%) 78,731 HDFC Bank ADR 2, ,948 ICICI Bank ADR 4, Software & Computer Services 0.61% (2.48%) 211,064 HCL Technologies 1, Total India 18, INDONESIA 1.84% (0.00%) Banks 1.84% (0.00%) 4,664,400 Bank Mandiri 2, ,432,000 Bank Rakyat Indonesia 3, Total Indonesia 5, LUXEMBOURG 1.24% (0.79%) Household Goods & Home Construction 1.24% (0.79%) 1,624,800 Samsonite International 3, Total Luxembourg 3, MALAYSIA 0.91% (2.75%) Construction & Materials 0.91% (0.59%) 2,109,700 IJM 2, Mobile Telecommunications 0.00% (1.15%) Electricity 0.00% (1.01%) Total Malaysia 2, MEXICO 7.57% (10.30%) Construction & Materials 1.49% (2.38%) 4,355,539 Cemex 2, ,976 Cemex ADR 1, General Industrials 0.56% (1.10%) 1,264,100 Alfa 1, Beverages 0.97% (0.50%) 49,957 Fomento Economico Mexicano ADR 2, Food Producers 0.00% (0.83%) General Retailers 0.00% (0.70%) Media 1.49% (0.99%) 193,220 Grupo Televisa ADR 4, Banks 1.10% (2.01%) 917,800 Grupo Financiero Banorte 3, Real Estate Investment Trusts 0.83% (0.80%) 1,961,140 PLA Administradora Industrial 2, Financial Services 1.13% (0.99%) 2,894,600 Bolsa Mexicana de Valores 3, Total Mexico 23, NETHERLANDS 0.45% (0.00%) Software & Computer Services 0.45% (0.00%) 109,196 Yandex 1, Total Netherlands 1, PANAMA 0.00% (0.45%) Travel & Leisure 0.00% (0.45%) Total Panama PHILIPPINES 4.00% (6.02%) General Industrials 0.59% (0.74%) 4,944,200 Alliance Global Group 1, Food Producers 0.70% (1.27%) 684,030 Universal Robina 2, General Ratailers 0.00% (0.89%) Travel & Leisure 0.49% (0.00%) 11,524,800 Melco Crown Philippines Resorts 1, Mobile Telecommunications 0.00% (0.87%) Gas, Water & Multiutilities 0.66% (0.70%) 30,737,700 Metro Pacific Investments 2, Banks 0.69% (0.73%) 1,577,207 Metropolitan Bank & Trust 2, Real Estate Investment & Services 0.87% (0.82%) 146,045 GT Capital Holdings 2, Total Philippines 12, POLAND 2.06% (1.50%) Electricity 0.60% (0.65%) 401,918 Energa 1, Banks 1.46% (0.85%) 130,754 Bank Pekao 4, Total Poland 6, RUSSIA 3.67% (4.44%) Oil & Gas Producers 0.00% (1.52%) Industrial Metals & Mining 0.00% (0.38%) Mining 0.85% (0.76%) 3,028,491 Alrosa 2, Food & Drug Retailers 1.38% (0.73%) 13,468 Magnit PJSC 1, ,466 Magnit PJSC GDR 2, Mobile Telecommunications 0.50% (1.05%) 141,224 MegaFon GDR 1, Financial Services 0.94% (0.00%) 3,058,610 Moscow Exchange MICEX-RTS OAO 2, Total Russia 11,

104 Threadneedle Global Emerging Markets Equity Fund Portfolio Statement Holding Investment Holding Investment SOUTH AFRICA 5.50% (5.47%) Chemicals 1.05% (0.00%) 107,931 Sasol 2, ,989 Sasol ADR Mining 0.54% (1.13%) 455,189 Impala Platinum Holdings 1, Health Care Equipment & Services 0.77% (0.00%) 341,938 Mediclinic International 2, Pharmaceuticals & Biotechnology 0.36% (1.59%) 55,821 Aspen Pharmacare Holdings 1, Media 2.11% (2.16%) 62,580 Naspers 6, Life Insurance 0.67% (0.59%) 285,458 Discovery 2, Total South Africa 16, SOUTH KOREA 13.26% (14.10%) Industrial Metals & Mining 0.71% (0.00%) 14,419 POSCO 2, Construction & Materials 0.93% (0.51%) 82,423 Hyundai Development Co-Engineering & Construction 2, Automobiles & Parts 0.61% (2.03%) 18,471 Hyundai Motor 1, Leisure Goods 3.40% (3.13%) 12,267 Samsung Electronics 10, Food & Drug Retailers 0.50% (0.81%) 66,101 GS Retail 1, General Retailers 0.41% (1.04%) 8,808 CJ O Shopping 1, Mobile Telecommunications 1.03% (1.17%) 163,205 SK Telecom ADR 3, Electricity 1.05% (1.06%) 226,045 Korea Electric Power ADR 3, Banks 1.01% (1.84%) 162,991 Hana Financial Group 3, Life Insurance 0.71% (0.00%) 34,518 Samsung Life Insurance 2, Software & Computer Services 0.96% (1.47%) 7,544 NAVER 2, Technology Hardware & Equipment 1.94% (1.04%) 213,905 SK Hynix 5, Total South Korea 40, TAIWAN 10.15% (12.19%) Electronic & Electrical Equipment 1.62% (2.94%) 2,563,720 Hon Hai Precision Industry 4, Personal Goods 0.00% (0.45%) Health Care Equipment & Services 0.00% (0.51%) Food & Drug Retailers 0.89% (1.09%) 574,000 President Chain Store 2, Mobile Telecommunications 0.35% (0.00%) 699,000 Far EasTone Telecommunications 1, Banks 0.93% (0.00%) 6,428,000 E.Sun Financial 2, Technology Hardware & Equipment 6.36% (7.20%) 4,031,000 Advanced Semiconductor Engineering 3, ,434,000 Pegatron 2, ,289 Taiwan Semiconductor Manufacturing 1, ,986 Taiwan Semiconductor Manufacturing ADR 11, Total Taiwan 31, THAILAND 3.69% (5.11%) Oil & Gas Producers 0.82% (0.58%) 360,100 PTT 2, Industrial Transportation 0.79% (0.65%) 426,900 Airports of Thailand 2, Food Producers 0.98% (1.12%) 7,542,800 Thai Union Frozen Products PCL 3, Mobile Telecommunications 0.00% (1.02%) Banks 0.69% (1.74%) 686,300 Siam Commercial Bank 2, Real Estate Investment & Services 0.41% (0.00%) 6,790,900 Land & Houses 1, Total Thailand 11, TURKEY 0.49% (1.39%) Beverages 0.49% (0.61%) 133,954 Coca-Cola Icecek 1, Household Goods & Home Construction 0.00% (0.58%) Banks 0.00% (0.20%) Total Turkey 1, UNITED ARAB EMIRATES 1.83% (0.49%) Health Care Equipment & Services 0.79% (0.49%) 270,990 Al Noor Hospitals Group 2, Real Estate Investment & Services 1.04% (0.00%) 2,206,896 Emaar Properties PJSC 3, Total United Arab Emirates 5,

105 Threadneedle Global Emerging Markets Equity Fund Portfolio Statement Holding Investment UNITED KINGDOM 0.67% (0.42%) Mining 0.00% (0.42%) Beverages 0.67% (0.00%) 59,098 SABMiller 2, Total United Kingdom 2, UNITED STATES OF AMERICA 0.21% (0.00%) Industrial Metals & Mining 0.21% (0.00%) 30,900 Southern Copper Total United States of America DERIVATIVES 0.02% (0.00%) Forward Foreign Exchange Contracts 0.02% (0.00%) Sell USD 4,258,000 Buy GBP 2,757,165 Lloyds (3) Sell USD 4,409,000 Buy GBP 2,910,563 Lloyds Sell USD 1,514,000 Buy GBP 988,279 Citigroup 7 Sell ZAR 15,943,000 Buy USD 1,341,052 RBC (3) Total Derivatives Total value of investments 305, Net other assets (6.75%) 2, Net assets 308, April 2014 comparatives in brackets. 104

106 Threadneedle Emerging Market Local Fund Portfolio Statement as at 30 April 2015 Holding Investment Holding Investment ARGENTINA 0.91% (1.99%) B 0.00% (1.99%) Not Rated 0.91% (0.00%) USD 398,334 Argentina Bonar Bonds 7% 17/04/ Total Argentina BRAZIL 12.55% (10.72%) BBB % (10.72%) BRL 5,924 Brazil Government International Bond 0% 01/01/2017 1, BRL 1,373,000 Brazil Government International Bond 10% 01/01/ BRL 348,000 Brazil Government International Bond 10% 01/01/ BRL 896,000 Brazil Government International Bond 10% 01/01/ BRL 1,548,000 Brazil Government International Bond 10% 01/01/ BRL 1,838,000 Brazil Government International Bond 10% 01/01/ BRL 1,861 Brazil Letras do Tesouro Nacional 0% 01/07/ BRL 829,000 Brazil Notas do Tesouro Nacional Serie F 10% 01/01/ Baa2 0.52% (0.00%) BRL 1,000 Brazil Letras do Tesouro Nacional 0% 01/01/ BBB 1.90% (0.00%) USD 760,000 Brazilian Government International Bond 5.625% 07/01/ Total Brazil 3, CAYMAN ISLANDS 1.03% (0.00%) (P)BBB+ 1.03% (0.00%) USD 420,000 Lamar Funding 3.958% 07/05/ Total Cayman Islands COLOMBIA 5.27% (5.81%) BBB 1.59% (5.81%) COP 597,000,000 Colombia Government International Bond 7.75% 14/04/ COP 691,000,000 Colombia Government International Bond 9.85% 28/06/ Baa2 1.98% (0.00%) COP 2,124,000,000 Colombia Government International Bond 4.375% 21/03/ Baa3 1.70% (0.00%) COP 1,690,000,000 Empresas Publicas de Medellin 7.625% 10/09/ Total Colombia 1, COSTA RICA 0.63% (0.00%) BB 0.63% (0.00%) USD 251,000 Costa Rica Government International Bond 7.158% 12/03/ Total Costa Rica DOMINICAN REPUBLIC 1.44% (5.04%) B 0.00% (2.71%) Not Rated 1.44% (2.33%) DOP 26,270,000 Dominican Republic International Bond 11% 05/01/ Total Dominican Republic GHANA 1.53% (0.00%) Not Rated 1.53% (0.00%) GHS 2,580,000 Ghana Government Bond 16.9% 07/03/ Total Ghana HUNGARY 4.32% (4.26%) BB+ 4.32% (0.00%) HUF 34,050,000 Hungary Government Bond 5.5% 20/12/ HUF 92,530,000 Hungary Government Bond 5.5% 24/06/ HUF 107,030,000 Hungary Government Bond 6% 24/11/ HUF 76,810,000 Hungary Government Bond 6.5% 24/06/ HUF 49,540,000 Hungary Government Bond 7% 24/06/ HUF 51,390,000 Hungary Government Bond 7.5% 12/11/ BB 0.00% (4.26%) INDONESIA 7.88% (4.85%) BBB 0.00% (4.85%) Total Hungary 1, Baa3 7.88% (0.00%) IDR 6,752,000,000 Indonesia Treasury Bond 5.625% 15/05/ IDR 14,135,000,000 Indonesia Treasury Bond 8.375% 15/03/ IDR 15,856,000,000 Indonesia Treasury Bond 9.5% 15/07/ USD 325,000 Pelabuhan Indonesia II PT 4.25% 05/05/ Total Indonesia 2, KENYA 0.00% (2.13%) Not Rated 0.00% (2.13%) MALAYSIA 0.00% (2.05%) A 0.00% (2.05%) Total Kenya Total Malaysia MEXICO 5.43% (9.30%) A 5.43% (7.87%) MXN 4,402,800 Mexican Bonos 10% 05/12/ MXN 2,315,200 Mexican Bonos 10% 20/11/ MXN 3,276,400 Mexican Bonos 6.5% 09/06/ MXN 2,643,400 Mexican Bonos 6.5% 10/06/

107 Threadneedle Emerging Market Local Fund Portfolio Statement Holding Investment Holding Investment MEXICO 5.43% (9.30%) MXN 1,767,700 Mexican Bonos 7.5% 03/06/ MXN 1,247,200 Mexican Bonos 7.75% 23/11/ MXN 2,044,100 Mexican Bonos 7.75% 29/05/ MXN 1,798,900 Mexican Bonos 8% 07/12/ MXN 2,543,900 Mexican Bonos 8% 11/06/ MXN 1,157,300 Mexican Bonos 8.5% 18/11/ MXN 2,846,200 Mexican Bonos 8.5% 31/05/ MXN 6,414 Mexican Udibonos 4% 15/11/ BBB+ 0.00% (1.43%) Total Mexico 1, NIGERIA 1.47% (1.50%) B+ 1.47% (0.00%) USD 570,000 Nigeria Government International Bond 6.75% 28/01/ Not Rated 0.00% (1.50%) Total Nigeria PERU 0.56% (2.08%) A 0.56% (2.08%) PEN 699,000 Peruvian Government International Bond 6.95% 12/08/ Total Peru PHILIPPINES 0.51% (0.45%) BBB 0.51% (0.00%) PHP 9,000,000 Philippine Government International Bond 4.95% 15/01/ BBB 0.00% (0.45%) Total Philippines POLAND 5.63% (7.27%) A 5.63% (7.27%) PLN 1,052,000 Poland Government Bond 3.25% 25/07/ PLN 1,869,000 Poland Government Bond 4% 25/10/ PLN 1,492,000 Poland Government Bond 5.25% 25/10/ PLN 615,000 Poland Government Bond 5.5% 25/10/ PLN 801,000 Poland Government Bond 5.75% 25/04/ PLN 1,456,000 Poland Government Bond 5.75% 25/10/ REPUBLIC OF IRELAND 0.79% (1.07%) BBB 0.00% (1.07%) Total Poland 1, BBB 0.79% (0.00%) RUB 19,500,000 Russian Railways via RZD Capital 8.3% 02/04/ Total Republic of Ireland ROMANIA 3.56% (1.37%) BBB 0.00% (1.37%) Not Rated 3.56% (0.00%) RON 2,000,000 Romania Government Bond 4.75% 24/02/ RON 2,200,000 Romania Government Bond 5.85% 26/04/ RON 890,000 Romania Government Bond 5.95% 11/06/ RUSSIA 3.81% (4.88%) BBB 0.00% (4.88%) Total Romania BBB 3.81% (0.00%) RUB 9,357,000 Russian Federal Bond 6.2% 31/01/ RUB 19,493,000 Russian Federal Bond 6.8% 11/12/ RUB 14,271,000 Russian Federal Bond 7% 16/08/ RUB 34,000 Russian Federal Bond 7% 25/01/2023 RUB 11,736,000 Russian Federal Bond 7.05% 19/01/ RUB 8,848,000 Russian Federal Bond 7.6% 14/04/ RUB 9,055,000 Russian Federal Bond 7.6% 20/07/ RUB 24,252,000 Russian Federal Bond 8.15% 03/02/ Total Russia 1, SERBIA 1.87% (0.00%) Not Rated 1.87% (0.00%) RSD 41,000,000 Serbia Treasury Bonds 10% 02/03/ RSD 42,800,000 Serbia Treasury Bonds 10% 05/06/ SOUTH AFRICA 9.59% (12.35%) A 0.00% (8.22%) Total Serbia BBB+ 4.25% (4.13%) ZAR 9,395,002 South Africa Government Bond 10.5% 21/12/ ZAR 5,374,665 South Africa Government Bond 7.25% 15/01/ ZAR 4,353,124 South Africa Government Bond 8% 21/12/ Baa2 2.87% (0.00%) ZAR 7,002,067 South Africa Government Bond 6.25% 31/03/ ZAR 3,171,624 South Africa Government Bond 6.5% 28/02/ ZAR 6,996,985 South Africa Government Bond 7% 28/02/ Not Rated 2.47% (0.00%) ZAR 7,714,786 South Africa Government Bond 6.5% 28/02/ ZAR 4,602,842 South Africa Government Bond 8% 31/01/ Total South Africa 2,

108 Threadneedle Emerging Market Local Fund Portfolio Statement Holding Investment Holding Investment SUPRANATIONAL 4.57% (2.73%) AAA 2.97% (2.73%) IDR 18,500,000,000 European Investment Bank 5.2% 01/03/ BB 1.60% (0.00%) USD 578,000 Republic of Serbia 7.25% 28/09/ THAILAND 0.00% (1.26%) A 0.00% (1.26%) TURKEY 9.91% (13.36%) BBB 0.00% (13.36%) Total Supranational 1, Total Thailand Not Rated 9.91% (0.00%) TRY 737,693 Turkey Government Bond 10.4% 20/03/ TRY 644,929 Turkey Government Bond 10.4% 27/03/ TRY 2,483,942 Turkey Government Bond 10.5% 15/01/ TRY 68,339 Turkey Government Bond 3% 21/07/ TRY 915,114 Turkey Government Bond 6.3% 14/02/ TRY 1,401,972 Turkey Government Bond 7.1% 14/02/ TRY 455,232 Turkey Government Bond 8.2% 13/07/ TRY 1,090,669 Turkey Government Bond 8.3% 20/06/ TRY 669,105 Turkey Government Bond 8.5% 10/07/ TRY 850,792 Turkey Government Bond 8.8% 27/09/ TRY 883,662 Turkey Government Bond 9% 08/03/ TRY 889,561 Turkey Government Bond 9% 24/07/ Total Turkey 2, UNITED STATES OF AMERICA 0.99% (0.00%) Aa3 0.99% (0.00%) USD 419,000 CNOOC Finance 2015 USA 3.5% 05/05/ Total United States of America VENEZUELA 2.38% (0.00%) CCC 2.38% (0.00%) USD 1,770,000 Petroleos de Venezuela 5.25% 12/04/ Total Venezuela ZAMBIA 4.51% (1.05%) B+ 0.98% (1.05%) USD 442,000 Zambia Government International Bond 5.375% 20/09/ Not Rated 3.53% (0.00%) ZMW 11,000,000 Zambia Government International Bond 0% 18/05/ Total Zambia 1, DERIVATIVES 0.45% ( 0.17%) Credit Default Swaps 0.05% (0.00%) USD 2,100,000 Citigroup Itraxx Crossover Credit Default Swap Index Sell Protection 20/06/2020 Spread USD 1,700,000 UBS Republic of Brazil Credit Default Swap Sell Protection 20/06/2020 Spread 100 (65) (0.24) Interest Rate Swaps 0.12% ( 0.08%) BRL 5,489,300 Citigroup Interest Rate Swap Receive 12.95% Pay Brazil Credit Default Index 02/01/ MXN 19,630,000 Citigroup Interest Rate Swap Receive MXN TIIE 4W Pay /09/2019 (3) (0.01) PLN 9,220,000 Citigroup Interest Rate Swap Receive PLN WIBOR Pay /02/ ZAR 17,350,000 Citigroup Interest Rate Swap Receive 7.97% Pay ZAR JIBAR-SAFEX 09/10/ ZAR 17,350,000 UBS Interest Rate Swap Receive ZAR JIBAR-SAFEX Pay 7.93% 16/10/2024 (9) (0.03) Futures and Options 0.03% ( 0.02%) USD (15) UBS US 5 Year Note Future Expiring June 2015 (9) (0.03) Forward foreign exchange contracts 0.31% ( 0.07%) Sell USD 1,892,883 Buy AUD 2,457,983 UBS Sell USD 675,761 Buy BRL 2,140,812 Citigroup Sell USD 2,874,372 Buy CLP 1,781,248,506 HSBC Sell USD 1,585,819 Buy CLP 977,578,420 HSBC Sell USD 1,575,991 Buy CLP 995,080,787 HSBC Sell USD 851,718 Buy COP 2,240,017,508 Citigroup Sell USD 2,057,866 Buy COP 5,113,797,138 Citigroup Sell USD 2,385,970 Buy CZK 59,642,080 Goldman Sachs Sell USD 3,380,937 Buy CZK 82,883,659 Citigroup Sell GBP 800,671 Buy EUR 1,116,877 Bank of Scotland Sell USD 1,199,834 Buy EUR 1,132,124 J.P. Morgan Sell USD 1,931,818 Buy EUR 1,817,266 J.P. Morgan Sell USD 2,933,928 Buy EUR 2,656,360 J.P. Morgan Sell USD 14,829 Buy GBP 10,000 Lloyds 107

109 Threadneedle Emerging Market Local Fund Portfolio Statement Holding Investment Holding Investment DERIVATIVES 0.45% ( 0.17%) Sell USD 23,937 Buy GBP 16,000 Citigroup Sell USD 45,375 Buy GBP 30,000 Bank of Scotland 1 Sell EUR 1,090,070 Buy GBP 800,671 Citigroup Sell USD 496,551 Buy HUF 143,075,061 Bank of Scotland Sell USD 1,976,780 Buy HUF 556,428,904 UBS Sell USD 2,108,068 Buy HUF 570,813,418 Citigroup Sell USD 3,242,688 Buy HUF 878,817,088 Citigroup Sell USD 3,111,899 Buy HUF 884,894,079 Citigroup Sell USD 206,273 Buy IDR 2,744,523,810 Goldman Sachs Sell USD 3,924,373 Buy ILS 15,575,338 UBS Sell USD 1,156,816 Buy MXN 17,964,047 Citigroup Sell USD 1,546,628 Buy MXN 23,342,795 HSBC (12) (0.04) Sell USD 1,799,449 Buy MXN 28,169,002 J.P. Morgan Sell USD 1,967,213 Buy MXN 30,491,375 Citigroup Sell USD 260,503 Buy MXN 4,034,989 Citigroup Sell USD 3,100,377 Buy MXN 47,423,130 UBS Sell USD 3,178,771 Buy MXN 47,981,243 HSBC (26) (0.10) Sell USD 3,885,843 Buy MYR 14,542,766 HSBC Sell USD 1,168,168 Buy NZD 1,580,962 UBS Sell USD 462,648 Buy PEN 1,454,844 UBS Sell USD 3,233,237 Buy PLN 11,934,200 Citigroup Sell USD 1,470,710 Buy PLN 5,672,554 HSBC Sell USD 1,634,076 Buy PLN 6,052,103 Citigroup Sell USD 1,612,376 Buy PLN 6,072,923 HSBC Sell USD 158,354 Buy PLN 601,284 Barclays Sell USD 1,946,959 Buy PLN 7,559,581 Citigroup Sell USD 2,383,894 Buy PLN 9,050,697 HSBC Sell USD 1,592,215 Buy RON 6,484,679 Citigroup Sell USD 1,983,139 Buy RON 8,071,553 Citigroup Sell USD 222,356 Buy RUB 13,690,465 Citigroup Sell USD 113,355 Buy RUB 7,162,893 HSBC Sell USD 1,138,805 Buy RUB 71,551,113 Citigroup Sell USD 2,984,593 Buy THB 98,252,810 HSBC (4) (0.01) Sell USD 410,421 Buy TRY 1,101,950 J.P. Morgan Sell USD 473,883 Buy TRY 1,252,459 J.P. Morgan (3) (0.01) Sell USD 1,245,550 Buy TRY 3,350,387 Goldman Sachs Sell USD 1,522,864 Buy TRY 4,038,619 Citigroup (5) (0.02) Sell USD 1,933,934 Buy TRY 5,128,279 Citigroup (6) (0.02) Sell USD 2,186,040 Buy TRY 5,864,819 HSBC Sell RUB 71,551,113 Buy USD 1,136,995 Citigroup (166) (0.62) Sell ZAR 14,404,912 Buy USD 1,145,728 Citigroup (45) (0.17) Sell ILS 4,623,377 Buy USD 1,147,743 Citigroup (33) (0.12) Sell MXN 17,964,047 Buy USD 1,151,077 Citigroup (17) (0.06) Sell NZD 1,580,962 Buy USD 1,152,393 J.P. Morgan (33) (0.12) Sell TRY 3,350,387 Buy USD 1,216,606 UBS (23) (0.08) Sell MXN 23,342,795 Buy USD 1,504,834 HSBC (16) (0.06) Sell TRY 4,038,619 Buy USD 1,562,289 Citigroup Sell RON 6,484,679 Buy USD 1,562,896 Bank of Scotland (52) (0.19) Sell CLP 977,578,420 Buy USD 1,575,723 Citigroup (16) (0.06) Sell CLP 995,080,787 Buy USD 1,595,960 Citigroup (22) (0.08) Sell ZAR 22,390,446 Buy USD 1,806,119 J.P. Morgan (53) (0.20) Sell AUD 2,457,983 Buy USD 1,903,118 Citigroup (27) (0.10) Sell PLN 7,559,581 Buy USD 1,935,297 Citigroup (107) (0.40) Sell EUR 1,817,266 Buy USD 1,936,190 HSBC (64) (0.24) Sell TRY 5,128,279 Buy USD 1,942,073 Citigroup Sell ZAR 24,032,554 Buy USD 1,950,108 Bank of Scotland (51) (0.19) Sell MXN 30,491,375 Buy USD 1,965,577 Citigroup (20) (0.08) Sell HUF 556,428,904 Buy USD 1,982,403 Citigroup (50) (0.19) Sell RON 8,071,553 Buy USD 1,987,377 Citigroup (37) (0.14) Sell ZAR 25,107,107 Buy USD 2,049,213 Citigroup (42) (0.16) Sell CZK 59,642,080 Buy USD 2,377,728 Citigroup (36) (0.13) 108

110 Threadneedle Emerging Market Local Fund Portfolio Statement Holding Investment Holding Investment DERIVATIVES 0.45% ( 0.17%) Sell PLN 9,050,697 Buy USD 2,386,838 Citigroup (83) (0.31) Sell ILS 9,560,671 Buy USD 2,401,093 HSBC (51) (0.19) Sell ILS 10,951,961 Buy USD 2,701,510 Citigroup (90) (0.33) Sell TRY 7,637,509 Buy USD 2,841,216 J.P. Morgan (12) (0.04) Sell GBP 150,000 Buy USD 226,688 Bank of Scotland (3) (0.01) Sell GBP 195,000 Buy USD 288,171 Lloyds (8) (0.03) Sell EUR 26,807 Buy USD 29,496 Citigroup Sell HUF 884,894,079 Buy USD 3,095,075 Barclays (116) (0.43) Sell MXN 47,423,130 Buy USD 3,138,475 J.P. Morgan Sell NZD 4,247,193 Buy USD 3,171,002 HSBC (37) (0.14) Sell PLN 11,934,200 Buy USD 3,184,789 UBS (85) (0.32) Sell CZK 80,684,419 Buy USD 3,187,622 Citigroup (67) (0.25) Sell HUF 878,817,088 Buy USD 3,188,796 UBS (41) (0.15) Sell PLN 12,125,026 Buy USD 3,264,824 Citigroup (68) (0.25) Sell HUF 88,000,000 Buy USD 320,662 J.P. Morgan (3) (0.01) Sell EUR 356,778 Buy USD 383,509 Goldman Sachs (10) (0.04) Sell EUR 349,482 Buy USD 387,626 HSBC (2) (0.01) Sell TRY 1,030,000 Buy USD 395,078 HSBC Sell MXN 5,990,000 Buy USD 400,756 J.P. Morgan Sell RUB 22,082,112 Buy USD 409,611 Citigroup (12) (0.04) Sell GBP 300,000 Buy USD 451,523 Lloyds (7) (0.03) Sell RON 2,015,089 Buy USD 486,328 J.P. Morgan (16) (0.06) Sell GBP 35,000 Buy USD 52,411 Bank of Scotland (1) Sell CZK 2,199,240 Buy USD 90,177 UBS Sell IDR 12,376,138,250 Buy USD 915,056 HSBC (24) (0.09) Sell USD 1,169,845 Buy ZAR 14,404,912 Citigroup Sell USD 1,330,307 Buy ZAR 16,078,418 J.P. Morgan Sell USD 1,960,504 Buy ZAR 24,032,554 UBS Sell USD 2,098,899 Buy ZAR 25,107,107 Bank of Scotland Sell USD 434,078 Buy ZAR 5,272,173 Citigroup Total Derivatives Total value of investments 24, Net other assets (4.65%) 2, Net assets 26, ANALYSIS OF INVESTMENTS BY ASSET CLASS Investments Fixed interest 24, Derivatives Total value of investments 24, ANALYSIS OF INVESTMENTS BY CREDIT RATINGS AAA 802 Aa3 268 A 2,984 A 151 BBB+ 3,883 (P)BBB+ 277 BBB 567 Baa2 1,447 BBB 1,753 Baa3 2,583 BB+ 1,166 BB 170 BB 431 B+ 661 CCC 642 Not Rated 6,804 Derivatives 119 Total value of investments 24,708 ANALYSIS OF UNDERLYING EXPOSURE FUTURES AND OPTIONS UBS US 5 Year Note Future Expiring June 2015 (1,169) Total net exposure (1,169) April 2014 comparatives in brackets. (P) refers to provisional rating. 109

111 Threadneedle Global Extended Alpha Fund Portfolio Statement as at 30 April 2015 Holding Investment Holding Investment AUSTRALIA 0.00% (0.47%) Health Care Equipement & Services 0.00% (0.47%) Total Australia BELGIUM 1.65% (2.14%) Beverages 1.65% (2.14%) 17,897 Anheuser-Busch InBev 1, Total Belgium 1, BERMUDA 1.33% (0.00%) Financial Services 1.33% (0.00%) 68,441 Markit 1, Total Bermuda 1, CANADA 0.98% (3.27%) Oil & Gas Producers 0.00% (2.07%) Chemicals 0.98% (0.61%) 22,051 Methlanex Media 0.00% (0.59%) Total Canada CAYMAN ISLANDS 2.42% (0.00%) Software & Computer Services 2.42% (0.00%) 6,049 Baidu (ADS) ,400 Tencent Holdings 1, Total Cayman Islands 2, CHINA 1.95% (0.46%) Life Insurance 1.95% (0.46%) 180,500 Ping An Insurance Group of China 1, COLOMBIA 0.00% (0.51%) Banks 0.00% (0.51%) Total China 1, Total Colombia DENMARK 1.58% (0.00%) Pharmaceuticals & Biotechnology 1.58% (0.00%) 37,000 Novo Nordisk 1, Total Denmark 1, FRANCE 1.69% (1.61%) Oil & Gas Producers 0.69% (1.61%) 16,934 Total Pharmaceuticals & Biotechnology 1.00% (0.00%) 78,000 Innate Pharma Total France 1, GERMANY 0.95% (2.31%) Chemicals 0.95% (1.82%) 21,196 Brenntag HONG KONG 0.00% (0.49%) Real Estate Investment & Services 0.00% (0.49%) Total Hong Kong INDIA 1.62% (0.00%) Banks 0.99% (0.00%) 84,419 HDFC Bank Media 0.63% (0.00%) 69,000 Info Edge India Total India 1, INDONESIA 1.19% (0.95%) Banks 1.19% (0.95%) 1,771,300 Bank Rakyat Indonesia 1, Total Indonesia 1, JAPAN 10.29% (9.07%) Construction & Materials 0.94% (0.00%) 394,000 Taiheiyo Cement Industrial Engineering 1.71% (0.80%) 122,000 Shimadzu ,100 Yaskawa Electric Support Services 1.29% (0.00%) 50,484 Recruit Holdings 1, Automobiles & Parts 0.80% (1.41%) 53,500 Mazda Motor Household Goods & Home Construction 0.67% (0.94%) 66,000 Sekisui Chemical Pharmaceuticals & Biotechnology 0.00% (1.14%) General Retailers 0.00% (1.21%) Media 0.00% (0.79%) Banks 0.00% (0.60%) Real Estate Investment & Services 1.08% (0.00%) 48,000 Mitsui Fudosan Financial Services 2.72% (2.18%) 61,000 Japan Exchange Group 1, ,500 Nomura Holdings 1, Technology Hardware & Equipment 1.08% (0.00%) 94,100 Sumco Total Japan 8, JERSEY 1.27% (1.01%) Support Services 1.27% (1.01%) 28,664 Wolseley 1, Total Jersey 1, Automobiles & Parts 0.00% (0.49%) Total Germany

112 Threadneedle Global Extended Alpha Fund Portfolio Statement Holding Investment Holding Investment MEXICO 2.57% (2.05%) Beverages 1.58% (1.01%) 22,700 Fomento Economico Mexicano ADR 1, Banks 0.99% (1.04%) 232,400 Grupo Financiero Banorte Total Mexico 2, NETHERLANDS 0.68% (2.99%) Chemicals 0.00% (1.01%) Life Insurance 0.00% (1.98%) Software & Computer Services 0.68% (0.00%) 19,510 Mobileye Total Netherlands PANAMA 0.00% (1.02%) Travel & Leisure 0.00% (1.02%) Total Panama REPUBLIC OF IRELAND 0.70% (1.70%) Health Care Equipment & Services 0.00% (0.90%) Banks 0.70% (0.80%) 2,407,351 Bank of Ireland Total Republic Of Ireland SINGAPORE 0.67% (0.85%) Real Estate Investment & Services 0.67% (0.85%) 433,000 Global Logistic Properties Total Singapore SOUTH KOREA 1.04% (0.00%) Leisure Goods 1.04% (0.00%) 1,050 Samsung Electronics Total South Korea SPAIN 0.79% (0.00%) General Retailers 0.79% (0.00%) 33,000 Inditex SWEDEN 0.00% (0.83%) Banks 0.00% (0.83%) Total Spain Total Sweden SWITZERLAND 1.96% (6.02%) Electronic & Electrical Equipment 0.00% (1.32%) Food Producers 0.79% (2.11%) 13,571 Nestle Banks 1.17% (2.59%) 77,474 UBS 1, Total Switzerland 1, UNITED KINGDOM 6.44% (8.90%) Oil & Gas Producers 0.00% (2.43%) Beverages 1.01% (0.97%) 47,937 Diageo Personal Goods 0.80% (1.73%) 24,302 Unilever Tobacco 0.88% (0.00%) 23,750 Imperial Tobacco Group Media 0.98% (1.78%) 24,982 Liberty Global A Shares Fixed Line Telecommunications 0.95% (0.00%) 179,000 BT Group Mobile Telecommunications 0.00% (0.04%) Banks 0.00% (0.60%) Nonlife Insurance 1.82% (1.35%) 24,756 Aon 1, Total United Kingdom 5, UNITED STATES OF AMERICA 52.53% (52.35%) Oil & Gas Producers 1.01% (0.72%) 14,340 Anadarko Petroleum Oil Equipment, Services & 1.82% (1.92%) 72,310 Enterprise Products Partners 1, Chemicals 0.63% (2.36%) 8,102 Airgas Electronic & Electrical Equipment 3.81% (2.76%) 25,900 Amphenol ,000 General Cable ,950 WESCO International 1, Industrial Transportation 1.48% (1.21%) 18,388 Union Pacific 1, Support Services 2.46% (1.27%) 20,901 Towers Watson & Co 1, ,000 United Rentals Food Producers 0.71% (1.06%) 9,755 Mead Johnson Nutrition Household Goods & Home Construction 0.00% (0.79%) Personal Goods 3.34% (1.91%) 21,756 Estee Lauder Companies Class C 1, ,402 NIKE 1, Tobacco 0.00% (1.07%) Health Care Equipment & Services 2.98% (0.89%) 31,500 Express Scripts 1, ,952 Sirona Dental Systems

113 Threadneedle Global Extended Alpha Fund Portfolio Statement Holding Investment UNITED STATES OF AMERICA 52.53% (52.35%) Pharmaceuticals & Biotechnology 9.80% (7.84%) 7,899 Amgen ,405 Bristol-Myers Squibb 1, ,925 Gilead Sciences 3, ,680 Pfizer ,800 Vertex Pharmaceuticals 1, General Retailers 4.35% (3.02%) 6,203 Amazon.com 1, ,300 Home Depot 1, ,400 TJX Companies Media 3.81% (4.33%) 58,478 Comcast 2, ,900 Time Warner Cable ,203 Walt Disney Travel & Leisure 2.98% (4.72%) 1,693 Priceline Group 1, ,459 Sabre 1, Banks 1.41% (1.02%) 29,585 JPMorgan Chase 1, Nonlife Insurance 2.13% (1.04%) 50,008 American International Group 1, Financial Services 5.97% (6.19%) 16,202 American Express ,600 CME Group ,500 MasterCard Class A 1, ,180 Visa A Shares 2, Software & Computer Services 3.84% (4.95%) 27,977 Facebook 1, ,186 Google ,933 Google Class A 1, Technology Hardware & Equipment 0.00% (3.28%) Total United States of America 45, DERIVATIVES 0.42% (0.17%) Forward Foreign Exchange Contracts 0.00% (0.00%) Sell USD 132,000 Buy GBP 87,139 Lloyds 1 Portfolio Swap 0.42% (0.17%) UBS - Portfolio Swap (366) (0.42) Total Derivatives (365) (0.42) Total value of investments 81, Net other assets (0.83%) 5, Net assets 86, April 2014 comparatives in brackets. 112

114 Threadneedle Global Equity Income Fund Portfolio Statement as at 30 April 2015 Holding Investment Holding Investment AUSTRALIA 5.56% (6.02%) General Industrials 1.29% (1.24%) 2,972,872 Amcor 20, Industrial Transportation 1.40% (0.78%) 8,046,971 Sydney Airport 22, General Retailers 0.00% (1.25%) Fixed Line Telecommunications 0.64% (0.77%) 3,204,160 Telstra 10, Real Estate Investment Trusts 1.23% (0.90%) 6,137,247 Goodman Group 19, Financial Services 1.00% (1.08%) 2,398,095 Suncorp Group 16, Total Australia 88, BERMUDA 0.74% (0.00%) Personal Goods 0.74% (0.00%) 17,914,000 Li & Fung 11, Total Bermuda 11, BRAZIL 1.24% (1.19%) Beverages 1.24% (1.19%) 4,801,027 AMBEV 19, Total Brazil 19, CANADA 2.50% (4.32%) Oil & Gas Producers 0.77% (2.20%) 716,624 Crescent Point Energy 12, Media 0.58% (0.87%) 1,288,524 Aimia 9, Banks 1.15% (1.25%) 696,280 National Bank of Canada 18, Total Canada 39, CAYMAN ISLANDS 0.60% (1.81%) Travel & Leisure 0.60% (0.92%) 20,660,232 NagaCorp 9, Real Estate Investment & Services 0.00% (0.89%) Total Cayman Islands 9, DENMARK 0.81% (0.87%) General Retailers 0.81% (0.87%) 851,981 Matas 12, Total Denmark 12, FINLAND 0.90% (1.22%) Nonlife Insurance 0.90% (1.22%) 457,499 Sampo 14, Total Finland 14, FRANCE 1.81% (4.45%) Oil & Gas Producers 0.94% (2.09%) 428,618 Total 15, Construction & Materials 0.87% (0.96%) 348,830 Vinci 13, Banks 0.00% (1.40%) Total France 28, GERMANY 5.83% (6.17%) Chemicals 0.97% (1.28%) 241,390 BASF 15, General Industrials 0.68% (1.00%) 154,270 Siemens 10, Automobiles & Parts 1.40% (1.35%) 356,600 Daimler 22, Personal Goods 1.49% (1.32%) 298,473 Hugo Boss 23, Media 1.29% (1.22%) 622,406 ProSiebenSat.1 Media 20, Total Germany 93, HONG KONG 1.17% (1.11%) Travel & Leisure 0.47% (1.11%) 9,026,812 SJM Holdings 7, Fixed Line Telecommunications 0.70% (0.00%) 12,927,000 HKT Trust & HKT 11, Total Hong Kong 18, ITALY 1.15% (1.39%) Gas, Water & Multiutilities 1.15% (1.39%) 5,435,325 Snam Rete Gas 18, Total Italy 18, JAPAN 4.95% (5.62%) Support Services 1.30% (0.00%) 2,266,500 Mitsui 20, Pharmaceuticals & Biotechnology 0.00% (1.06%) Banks 1.34% (1.19%) 8,815,636 Aozora Bank 21, Real Estate Investment Trusts 0.83% (1.32%) 9,493 Japan Retail Fund Investment 13, Financial Services 0.00% (0.80%) Technology Hardware & Equipment 1.48% (1.25%) 1,012,767 Canon 23, Total Japan 78, JERSEY 1.29% (0.97%) Support Services 1.29% (0.00%) 534,779 Wolseley 20, Media 0.00% (0.97%) Total Jersey 20,

115 Threadneedle Global Equity Income Fund Portfolio Statement Holding Investment Holding Investment MALAYSIA 0.59% (1.44%) Mobile Telecommunications 0.59% (1.44%) 8,538,800 DiGi.Com 9, Total Malaysia 9, MEXICO 1.06% (0.96%) Personal Goods 1.06% (0.96%) 11,729,013 Kimberly-Clark de Mexico 16, Total Mexico 16, NETHERLANDS 2.82% (2.97%) Chemicals 1.20% (1.33%) 282,632 LyondellBasell Industries 19, Personal Goods 1.62% (1.64%) 913,478 Unilever 25, Total Netherlands 45, NORWAY 1.10% (1.19%) Mobile Telecommunications 1.10% (1.19%) 1,193,018 Telenor 17, Total Norway 17, SINGAPORE 0.52% (1.78%) Oil Equipment, Services & 0.00% (1.20%) Real Estate Investment Trusts 0.52% (0.58%) 7,711,675 CapitaMall Trust 8, Total Singapore 8, SOUTH KOREA 0.93% (0.00%) Mobile Telecommunications 0.93% (0.00%) 85,247 SK Telecom 14, Total South Korea 14, SPAIN 1.10% (0.00%) Construction & Materials 1.10% (0.00%) 1,198,456 Ferrovial 17, SWEDEN 0.00% (1.36%) Banks 0.00% (1.36%) Total Spain 17, Total Sweden SWITZERLAND 3.90% (3.47%) Chemicals 0.86% (0.00%) 63,461 Syngenta 13, Pharmaceuticals & Biotechnology 0.99% (2.27%) 236,747 Novartis 15, Banks 2.05% (1.20%) 2,508,447 UBS Group 32, Total Switzerland 62, TAIWAN 3.60% (3.90%) Electronic & Electrical Equipment 0.00% (2.64%) Technology Hardware & Equipment 3.60% (1.26%) 1,991,000 MediaTek 16, ,004,000 Pegatron 21, ,268,000 Siliconware Precision Industries 19, Total Taiwan 57, THAILAND 1.45% (2.43%) Oil & Gas Producers 0.00% (0.81%) Mobile Telecommunications 0.58% (0.89%) 1,931,354 Total Access Communication 3, ,555,677 Total Access Communication NVDR 6, Banks 0.87% (0.73%) 3,810,710 Bangkok Bank 13, Total Thailand 23, UNITED KINGDOM 14.25% (15.95%) Oil & Gas Producers 0.87% (1.65%) 670,872 Royal Dutch Shell A Shares 13, Mining 0.74% (1.48%) 411,220 Rio Tinto 11, Aerospace & Defence 1.31% (1.40%) 4,108,748 BAE Systems 20, Household Goods & Home Construction 1.28% (0.00%) 1,202,893 Persimmon 20, Tobacco 1.99% (1.31%) 991,362 Imperial Tobacco Group 31, Pharmaceuticals & Biotechnology 2.57% (2.68%) 523,533 AstraZeneca 23, ,175,760 GlaxoSmithKline 17, Media 0.78% (1.10%) 4,450,991 Moneysupermarket.com Group 12, Mobile Telecommunications 0.50% (1.22%) 3,467,699 Vodafone Group 8, Gas, Water & Multiutilities 0.98% (1.17%) 1,777,574 National Grid 15, Banks 1.37% (1.53%) 3,389,236 HSBC Holdings 21, Nonlife Insurance 0.00% (1.23%) Life Insurance 0.95% (0.00%) 5,850,886 Legal & General Group 15, Financial Services 0.91% (1.18%) 2,734,904 Intermediate Capital Group 14, Total United Kingdom 227,

116 Threadneedle Global Equity Income Fund Portfolio Statement Holding Investment Holding Investment UNITED STATES OF AMERICA 37.30% (27.84%) Oil & Gas Producers 2.13% (3.11%) 387,969 ConocoPhillips 17, ,687 HollyFrontier 16, Oil Equipment, Services & 2.62% (2.83%) 1,045,515 Enterprise Products Partners 22, ,507 Plains All American Pipeline 19, Alternative Energy 0.70% (0.65%) 574,061 Pattern Energy Group 11, Chemicals 0.00% (1.18%) General Industrials 2.15% (0.00%) 1,948,744 General Electric 34, Support Services 1.32% (0.97%) 1,692,688 RR Donnelley & Sons 21, Automobiles & Parts 0.86% (0.00%) 593,500 General Motors 13, Food Producers 1.90% (1.32%) 548,924 Kraft Foods Group 30, Tobacco 3.85% (3.05%) 747,846 Lorillard 33, ,313 Philip Morris International 27, Pharmaceuticals & Biotechnology 2.33% (2.43%) 523,183 Merck & Co 20, ,109 Pfizer 16, General Retailers 1.62% (1.22%) 447,488 L Brands 25, Travel & Leisure 5.29% (2.58%) 334,869 Las Vegas Sands 11, ,524 McDonald s 18, ,419,903 Regal Entertainment Group 20, ,097,201 Six Flags Entertainment 33, Fixed Line Telecommunications 0.00% (1.44%) DERIVATIVES 0.01% (0.00%) Forward Foreign Exchange Contracts 0.01% (0.00%) Sell USD 15,875 Buy AUD 20,278 J.P. Morgan Sell USD 3,907 Buy EUR 3,599 J.P. Morgan Sell SGD 700,000 Buy GBP 344,358 Bank of Scotland 1 Sell USD 16,100 Buy SGD 21,456 J.P. Morgan Sell USD 2,808,631 Buy SGD 3,743,062 J.P. Morgan 16 Sell USD 23,947,046 Buy SGD 31,914,228 J.P. Morgan Sell USD 4,652 Buy SGD 6,199 J.P. Morgan Sell USD 4,767 Buy SGD 6,353 J.P. Morgan Sell SGD 16,622 Buy USD 12,418 J.P. Morgan Sell SGD 25,618 Buy USD 19,205 J.P. Morgan Sell SGD 468,868 Buy USD 354,343 J.P. Morgan Sell SGD 96,739 Buy USD 73,104 J.P. Morgan Total Derivatives Total value of investments 1,550, Net other assets (1.57%) 45, Net assets 1,595, ANALYSIS OF COLLATERAL RECEIVED Counterparty Type J.P. Morgan Cash 490 Total collateral 490 April 2014 comparatives in brackets. Real Estate Investment Trusts 4.68% (1.16%) 428,981 Crown Castle International 23, ,372,075 Outfront Media 25, ,639,918 Starwood Property Trust 25, Financial Services 6.95% (4.89%) 721,063 Apollo Global Management 10, ,183,715 Blackstone Group 32, ,857 CME Group 25, ,252,257 Och-Ziff Capital Management Group 18, ,217 T Rowe Price Group 23, Equity Investment Instruments 0.90% (1.01%) 1,288,139 Ares Capital 14, Total United States of America 594,

117 Threadneedle Global Opportunities Bond Fund Portfolio Statement as at 30 April 2015 Holding Investment Holding Investment AUSTRALIA 2.00% BBB+ 1.00% EUR 380,000 Aurizon Network 2% 18/09/ AUD 900,000 SGSP Australia Assets 5.5% 12/03/ USD 500,000 Woodside Finance 3.65% 05/03/ BBB 1.00% USD 350,000 *QBE Insurance Group 6.75% 02/12/ EUR 1,090,000 *Santos Finance 8.25% 22/09/ Total Australia 2, AUSTRIA 0.40% Ba2 0.40% EUR 500,000 BAWAG PSK Bank fuer Arbeit und Wirtschaft und Oesterreichische Postsparkasse 8.125% 30/10/ Total Austria BELGIUM 0.43% BB 0.43% EUR 660,000 *KBC Groep 5.625% 19/12/ Total Belgium CANADA 0.70% B 0.70% EUR 1,051,000 Valeant Pharmaceuticals International 4.5% 15/05/ Total Canada CAYMAN ISLANDS 2.86% BBB 2.77% USD 720,000 *Hutchison Whampoa International 10 6% 29/04/ USD 210,000 Noble Holding International 5.25% 15/03/ USD 545,000 Noble Holding International 6.95% 01/04/ GBP 1,200,000 *Thames Water Utilities Cayman Finance 5.375% 21/07/2025 1, GBP 790,000 *Yorkshire Water Services Bradford Finance 6% 24/04/ BB 0.09% USD 150,000 UPCB Finance VI 6.875% 15/01/ Total Cayman Islands 3, CHILE 0.56% A 0.56% USD 950,000 *Banco Santander Chile FRN 19/01/ Total Chile COLOMBIA 0.22% BBB 0.22% USD 390,000 Ecopetrol 4.125% 16/01/ Total Colombia CZECH REPUBLIC 0.21% Ba2 0.21% EUR 300,000 RPG 6.75% 01/05/ Total Czech Republic DENMARK 1.51% BBB 0.34% GBP 350,000 *Danske Bank 5.375% 29/09/ BBB 0.34% EUR 490,000 ISS Global 2.125% 02/12/ BB+ 0.83% EUR 1,065,000 *DONG Energy 3% 06/11/ EUR 210,000 *TDC 3.5% 26/02/ Total Denmark 1, DOMINICAN REPUBLIC 2.27% B+ 2.27% USD 2,270,000 Dominican Republic International Bond 5.875% 18/04/2024 1, USD 1,320,000 Dominican Republic International Bond 7.5% 06/05/ Total Dominican Republic 2, FRANCE 2.17% BBB 0.42% USD 640,000 *Credit Agricole 8.125% 19/09/ BB+ 0.31% EUR 470,000 SPCM 2.875% 15/06/ BB 0.23% EUR 360,000 *Novafives SAS FRN 30/06/ B+ 1.21% EUR 1,300,000 Labco 8.5% 15/01/ EUR 450,000 Numericable-SFR SAS 5.375% 15/05/ Total France 2, GABON 0.49% B+ 0.49% USD 820,000 Gabonese Republic 6.375% 12/12/ Total Gabon GEORGIA 0.52% BB 0.52% USD 810,000 Georgian Railway JSC 7.75% 11/07/ Total Georgia GERMANY 0.90% BB 0.17% EUR 270,000 Unitymedia NRW 5.125% 21/01/ B+ 0.53% EUR 600,000 Techem 6.125% 01/10/ EUR 160,000 Trionista Holdco 5% 30/04/

118 Threadneedle Global Opportunities Bond Fund Portfolio Statement Holding Investment Holding Investment GERMANY 0.90% (P)B+ 0.20% EUR 308,000 ProGroup 5.125% 01/05/ Total Germany GHANA 0.46% B 0.46% USD 810,000 Republic of Ghana 8.125% 18/01/ Total Ghana GUERNSEY 0.40% Not Rated 0.40% USD 650,000 *Credit Suisse Group Guernsey I 7.875% 24/08/ Total Guernsey HUNGARY 0.53% BB+ 0.32% USD 540,000 Magyar Export-Import Bank 4% 30/01/ Ba1 0.21% USD 320,000 MFB Magyar Fejlesztesi Bank 6.25% 21/10/ Total Hungary INDIA 0.74% BBB 0.74% USD 1,270,000 Export-Import Bank of India 2.75% 12/08/ Total India INDONESIA 0.53% Baa3 0.53% USD 925,000 Pelabuhan Indonesia II PT 4.25% 05/05/ Total Indonesia ITALY 3.94% Baa2u 1.66% EUR 1,500,000 Italy Buoni Poliennali Del Tesoro 2.35% 15/09/2019 1, EUR 470,000 Italy Buoni Poliennali Del Tesoro 2.55% 15/09/ BB+ 1.48% GBP 1,600,000 Telecom Italia 5.625% 29/12/2015 1, B3 0.36% EUR 530,000 Banca Monte dei Paschi di Siena 3.625% 01/04/ Not Rated 0.44% EUR 590,000 Davide Campari-Milano 4.5% 25/10/ Total Italy 4, IVORY COAST 1.50% B1 0.89% USD 1,590,000 Ivory Coast Government International Bond 5.375% 23/07/ Not Rated 0.61% USD 1,080,000 *Ivory Coast Government International Bond 2.5% 31/12/ Total Ivory Coast 1, JAPAN 1.99% A1 1.99% JPY 390,800,000 Japan Government Thirty Year Bond 1.5% 20/12/2044 2, Total Japan 2, JERSEY 2.05% BBB 0.31% EUR 440,000 Atrium European Real Estate 3.625% 17/10/ BB 1.24% GBP 1,240,000 AA Bond 9.5% 31/07/2019 1, B 0.50% GBP 540,000 Aston Martin Capital 9.25% 15/07/ Total Jersey 2, KAZAKHSTAN 1.35% BB+ 1.35% USD 2,540,000 KazMunayGas National JSC 5.75% 30/04/2043 1, Total Kazakhstan 1, LUXEMBOURG 5.74% BBB 0.55% USD 130,000 Actavis Funding SCS 4.75% 15/03/ EUR 700,000 Grand City Properties 2% 29/10/ BB+ 1.10% EUR 310,000 Dufry Finance 4.5% 15/07/ USD 440,000 Gaz Capital 5.999% 23/01/ USD 1,059,000 Gaz Capital 6.51% 07/03/ BB 1.52% EUR 490,000 Gestamp Funding Luxembourg 5.875% 31/05/ EUR 400,000 *Grand City Properties 3.75% 29/12/ EUR 1,380,000 Wind Acquisition Finance 4% 15/07/2020 1, BB 0.79% EUR 160,000 Altice Financing 5.25% 15/02/ EUR 190,000 Altice Financing 6.5% 15/01/ USD 200,000 Altice Financing 6.625% 15/02/ EUR 190,000 Empark Funding 6.75% 15/12/ EUR 120,000 *Empark Funding FRN 15/12/ EUR 280,000 Fiat Finance & Trade 6.75% 14/10/

119 Threadneedle Global Opportunities Bond Fund Portfolio Statement Holding Investment Holding Investment LUXEMBOURG 5.74% Ba3 0.12% USD 200,000 Wind Acquisition Finance 4.75% 15/07/ B+ 0.59% EUR 880,000 Bormioli Rocco Holdings 10.5% 01/08/ B 0.76% EUR 490,000 Altice 6.25% 15/02/ EUR 650,000 Altice 7.25% 15/05/ B2 0.16% EUR 235,000 *Matterhorn Telecom FRN 01/05/ B 0.15% EUR 220,000 Xella Holdco Finance 9.125% 15/09/ Total Luxembourg 6, MACEDONIA 0.46% BB 0.46% EUR 690,000 Former Yugoslav Republic of Macedonia 3.975% 24/07/ Total Macedonia MEXICO 0.27% BBB 0.27% USD 460,000 Mexichem 5.875% 17/09/ Total Mexico NETHERLANDS 5.64% A 0.09% AUD 181,000 ABN AMRO Bank 4.75% 05/02/ BBB+ 0.84% EUR 690,000 Deutsche Annington Finance 1.5% 31/03/ USD 660,000 Deutsche Annington Finance 3.2% 02/10/ BBB 1.48% EUR 370,000 *Eneco Holding 3.25% 29/12/ USD 1,040,000 *ING Bank 4.125% 21/11/ EUR 260,000 *Tennet Holding 6.655% 29/06/ EUR 620,000 Vesteda Finance 1.75% 22/07/ BBB 0.49% EUR 200,000 *Deutsche Annington Finance 4% 29/12/ EUR 500,000 *Deutsche Annington Finance 4.625% 08/04/ BB+ 0.40% GBP 400,000 *Telefonica Europe 6.75% 26/11/ Ba3 0.49% EUR 730,000 Ziggo Secured Finance 3.75% 15/01/ B+ 0.39% GBP 290,000 InterGen 7.5% 30/06/ EUR 190,000 InterXion Holding 6% 15/07/ B 1.22% EUR 515,000 LGE HoldCo VI 7.125% 15/05/ EUR 680,000 Schaeffler Holding Finance 6.875% 15/08/ EUR 260,000 UPC Holding 6.75% 15/03/ CHF 270,000 UPC Holding 6.75% 15/03/ Not Rated 0.24% EUR 340,000 Celesio Finance 4.5% 26/04/ NEW ZEALAND 2.97% Total Netherlands 6, AA+ 2.97% NZD 5,770,000 New Zealand Government Bond 5.5% 15/04/2023 3, Total New Zealand 3, NORWAY 1.97% BBB 1.97% USD 638,000 *DNB Bank 5.75% 29/12/ USD 1,820,000 Eksportfinans 2% 15/09/2015 1, USD 690,000 Eksportfinans 2.375% 25/05/ USD 190,000 Eksportfinans 5.5% 25/05/ Total Norway 2, PORTUGAL 1.12% B3 1.12% EUR 1,700,000 Novo Banco 4% 21/01/2019 1, Total Portugal 1, REPUBLIC OF IRELAND 1.24% B+ 0.85% EUR 1,260,000 Ardagh Packaging Finance 4.25% 15/01/ Not Rated 0.39% EUR 550,000 Bank of Ireland 10% 30/07/ Total Republic of Ireland 1, ROMANIA 2.75% Not Rated 2.75% RON 16,740,000 Romania Government Bond 4.75% 24/02/2025 3, Total Romania 3, SWEDEN 0.57% BBB 0.29% USD 490,000 *Svensk Exportkredit 2.88% 14/11/ B+ 0.28% EUR 380,000 TVN Finance III 7.375% 15/12/ Total Sweden

120 Threadneedle Global Opportunities Bond Fund Portfolio Statement Holding Investment Holding Investment SWITZERLAND 0.72% BBB 0.60% EUR 170,000 *UBS 4.75% 12/02/ USD 780,000 UBS 5.125% 15/05/ BB 0.12% USD 200,000 *UBS Group 7% 29/12/ Total Switzerland UNITED ARAB EMIRATES 0.77% AA 0.47% AUD 970,000 National Bank of Abu Dhabi 4.75% 19/03/ Baa1 0.30% USD 500,000 Emirates NBD PJSC 3.25% 19/11/ Total United Arab Emirates UNITED KINGDOM 22.74% Aa1u 9.20% GBP 10,000,000 United Kingdom Gilt 4.75% 07/09/ , A 0.03% USD 53,000 Abbey National Treasury Services London 4% 13/03/ BBB+ 1.05% GBP 550,000 *HSBC Holdings 6.375% 18/10/ GBP 470,000 *RSA Insurance Group 9.375% 20/05/ BBB 0.66% USD 520,000 *BG Energy Capital 6.5% 30/11/ USD 560,000 Imperial Tobacco Finance 2.05% 11/02/ Baa2 0.82% GBP 360,000 Safeway 6% 10/01/ GBP 490,000 WM Morrison Supermarkets 4.625% 08/12/ BBB 2.14% GBP 590,000 G4S 7.75% 13/05/ GBP 530,000 GKN Holdings 6.75% 28/10/ GBP 320,000 Go-Ahead Group 5.375% 29/09/ GBP 220,000 *Lloyds Bank % 29/05/ USD 440,000 Nationwide Building Society 5% 01/08/ GBP 200,000 Unique Pub Finance 6.542% 30/03/ BB+ 1.97% USD 1,010,000 Barclays 4.375% 11/09/ USD 320,000 Lloyds Banking Group 4.5% 04/11/ EUR 410,000 *Royal Bank of Scotland 4.625% 22/09/ GBP 245,000 Tesco Property Finance % 13/10/ GBP 645,000 Tesco Property Finance 5.5% 13/10/ GBP 140,000 Tesco Property Finance % 13/07/ BB 1.61% GBP 380,000 *Barclays Bank 14% 29/11/ EUR 721,000 Merlin Entertainments 2.75% 15/03/ GBP 560,000 Priory Group No 3 7% 15/02/ USD 550,000 Royal Bank of Scotland Group 6.125% 15/12/ BB 0.63% EUR 965,000 Ineos Finance 4% 01/05/ B+ 1.41% GBP 710,000 Gala Group Finance 8.875% 01/09/ GBP 460,000 Iron Mountain Europe 6.125% 15/09/ GBP 370,000 *Lloyds Banking Group 7.875% 29/12/ B 0.61% GBP 200,000 Elli Finance UK 8.75% 15/06/ GBP 190,000 IDH Finance 6% 01/12/ EUR 360,000 Thomas Cook Finance 7.75% 15/06/ B2 0.37% GBP 380,000 Virgin Media Finance 6.375% 15/10/ Not Rated 2.24% GBP 350,000 First Hydro Finance 9% 31/07/ EUR 540,000 International Personal Finance 5.75% 07/04/ EUR 480,000 Motor Oil Finance 5.125% 15/05/ GBP 1,030,000 *Pennon Group 6.75% 08/03/2018 1, GBP 200,000 *Virgin Money Holdings UK 7.875% 31/12/ Total United Kingdom 25, UNITED STATES OF AMERICA 4.89% AA 0.20% EUR 315,000 Berkshire Hathaway 1.625% 16/03/ AA 0.46% USD 170,000 Massachusetts Mutual Life Insurance 4.5% 15/04/ USD 570,000 Teachers Insurance & Annuity Association of America 4.9% 15/09/ A 0.27% USD 460,000 United Technologies 4.15% 15/05/ A 0.54% GBP 600,000 *JPMorgan Chase 6.125% FRN 30/05/ BBB+ 0.83% EUR 250,000 *Bank of America FRN 28/03/ EUR 410,000 *Citigroup 3.625% 30/11/ USD 680,000 Verizon Communications 5.012% 21/08/

121 Threadneedle Global Opportunities Bond Fund Portfolio Statement Holding Investment Holding Investment UNITED STATES OF AMERICA 4.89% BBB 0.48% EUR 490,000 Mondelez International 1.625% 08/03/ USD 250,000 Time Warner Cable 5.85% 01/05/ BBB 1.06% USD 1,270,000 Continental Resources 5% 15/09/ USD 510,000 Kinder Morgan Energy Partners 4.25% 01/09/ BB+ 0.77% USD 1,290,000 Cimarex Energy 4.375% 01/06/ BB 0.28% USD 430,000 Chrysler Group 8.25% 15/06/ Total United States of America 5, DERIVATIVES 0.13% Credit Default Swaps 0.62% USD (39,000,000) Barclays Itraxx Crossover Credit Default Swap Index Buy Protection 20/06/2020 Spread 100 (469) (0.41) EUR (1,810,000) Barclays RWE Credit Default Swap Buy Protection 20/03/2020 Spread 100 (21) (0.02) EUR (460,000) Citigroup BCA Antonveneta Credit Default Swap Buy Protection 20/12/2019 Spread 500 (14) (0.01) EUR (1,100,000) Citigroup Credit Agricole Credit Default Swap Buy Protection 20/12/2018 Spread 500 (113) (0.10) EUR (400,000) Citigroup Deutsche Bank Credit Default Swap Buy Protection 20/12/2017 Spread 100 (4) EUR (850,000) Citigroup Enel Credit Default Swap Buy Protection 20/12/2018 Spread 100 (10) (0.01) EUR (1,600,000) Citigroup Gas Natural Capital Credit Default Swap Buy Protection 20/03/2020 Spread 100 (16) (0.01) USD 15,300,000 Citigroup Itraxx Crossover Credit Default Swap Index Sell Protection 20/06/2020 Spread USD (7,100,000) Citigroup Republic of Colombia Credit Default Swap Buy Protection 20/06/2019 Spread EUR (925,000) Citigroup Tesco Credit Default Swap Buy Protection 20/06/2020 Spread EUR 825,000 Citigroup ThyssenKrupp Credit Default Swap Sell Protection 20/09/2018 Spread EUR (550,000) Citigroup Unilever Credit Default Swap Buy Protection 20/03/2018 Spread 100 (10) (0.01) EUR (960,000) Goldman Sachs BCO Comercial Portugues Credit Default Swap Buy Protection 20/12/2019 Spread 500 (78) (0.07) EUR (1,400,000) Goldman Sachs Centrica Credit Default Swap Buy Protection 20/12/2019 Spread 100 (17) (0.02) EUR (8,100,000) Goldman Sachs Itraxx-European Credit Default Swap Index Buy Protection 20/12/2019 Spread 500 (565) (0.51) EUR (2,050,000) Goldman Sachs Pernod Ricard Credit Default Swap Buy Protection 20/12/2019 Spread 100 (36) (0.03) EUR (1,375,000) Goldman Sachs UBS Credit Default Swap Buy Protection 20/03/2019 Spread 300 (65) (0.06) EUR (1,130,000) Goldman Sachs United Utilities Credit Default Swap Buy Protection 20/03/2020 Spread 100 (8) (0.01) EUR (1,800,000) Goldman Sachs Veolia Environment Credit Default Swap Buy Protection 20/12/2019 Spread 100 (35) (0.03) USD (2,100,000) Goldman Sachs Westpac Banking Credit Default Swap Buy Protection 20/03/2020 Spread 100 (28) (0.03) Interest Rate Swaps 0.20% BRL 30,083,886 Citigroup Interest Rate Swap Receive 12.95% Pay Brazil Credit Default Index 02/01/ PLN 31,000,000 Citigroup Interest Rate Swap Receive PLN WIBOR Pay 1.925% 23/03/ MXN 164,000,000 Goldman Sachs Interest Rate Swap Receive 5.8% Pay MXN TIIE 4W 12/02/2025 (141) (0.13) MXN 268,000,000 Goldman Sachs Interest Rate Swap Receive MXN TIIE 4W Pay 5.65% 04/03/2020 (187) (0.17) Futures and Options 0.74% EUR (30,575,000) Barclays Euro Currency Call Option Expiring July 2015 Strike 1.15 (209) (0.19) AUD 141 UBS Australia 10 Year Bond Future Expiring June 2015 (195) (0.18) AUD 207 UBS Australia 3 Year Bond Future Expiring June 2015 (41) (0.04) EUR (156) UBS EURO Bund Future Expiring June EUR (159) UBS EURO-BOBL Future Expiring June EUR 34 UBS EURO-BTP Bond Future Expiring June 2015 (34) (0.03) JPY (40) UBS Japan 10 Year Bond Future Expiring June 2015 (129) (0.12) GBP 58 UBS Long Gilt Future Expiring June USD (315) UBS US 10 Year Note Future Expiring June 2015 (94) (0.09) USD (630) UBS US 5 Year Note Future Expiring June 2015 (346) (0.31) USD (28) UBS US Long Bond Future Expiring June USD (3) UBS US Ultra Bond Future Expiring June Forward Foreign Exchange Contracts 1.69% Sell USD 939,389 Buy AUD 1,211,201 Goldman Sachs Sell USD 6,545,095 Buy CLP 4,049,450,314 Citigroup Sell USD 1,053,306 Buy CNY 6,473,616 Barclays 2 120

122 Threadneedle Global Opportunities Bond Fund Portfolio Statement Holding Investment Holding Investment DERIVATIVES 0.13% Sell GBP 7,277,657 Buy EUR 10,178,150 Citigroup Sell USD 22,405,713 Buy EUR 20,371,582 Citigroup Sell SEK 37,801,327 Buy EUR 4,065,147 Barclays (11) (0.01) Sell GBP 5,827,921 Buy EUR 8,153,247 Citigroup Sell JPY 225,515,324 Buy GBP 1,248,967 Goldman Sachs Sell EUR 6,810,450 Buy GBP 4,877,257 Goldman Sachs (67) (0.06) Sell USD 750,308 Buy GBP 495,772 Goldman Sachs Sell USD 88,230,357 Buy GBP 58,643,007 Goldman Sachs 1, Sell USD 54,380 Buy ILS 210,311 Barclays Sell USD 14,428,328 Buy ILS 56,379,415 Barclays Sell USD 2,243,067 Buy ILS 8,831,358 Citigroup Sell USD 11,177,971 Buy JPY 1,331,724,510 Citigroup Sell USD 145,073 Buy JPY 17,366,392 Goldman Sachs 1 Sell USD 1,006,603 Buy MXN 15,526,755 Citigroup Sell USD 44,246,214 Buy MXN 684,570,380 Goldman Sachs Sell USD 5,438,999 Buy MXN 83,918,853 Barclays Sell USD 7,002,546 Buy NZD 9,123,981 Citigroup (46) (0.04) Sell GBP 2,910,766 Buy SEK 38,058,851 Barclays Sell EUR 5,827,808 Buy SEK 54,489,425 Barclays Sell GBP 906,241 Buy USD 1,362,101 Citigroup (23) (0.02) Sell NZD 1,927,045 Buy USD 1,461,502 Citigroup (2) Sell JPY 188,990,400 Buy USD 1,583,136 Goldman Sachs (4) Sell EUR 10,187,984 Buy USD 11,170,921 Citigroup (154) (0.14) Sell EUR 10,196,078 Buy USD 11,197,129 Citigroup (143) (0.13) Sell EUR 134,869 Buy USD 146,212 Citigroup (3) Sell ILS 64,348,576 Buy USD 16,308,119 Citigroup (249) (0.23) Sell SEK 1,552,690 Buy USD 179,008 Barclays (6) (0.01) Sell EUR 2,450,194 Buy USD 2,631,935 Citigroup (72) (0.07) Sell ILS 1,072,371 Buy USD 272,896 Citigroup (3) Sell CHF 299,894 Buy USD 311,535 Barclays (6) (0.01) Sell RON 16,698,904 Buy USD 4,060,162 Goldman Sachs (109) (0.10) Sell GBP 3,640,488 Buy USD 5,633,594 Goldman Sachs Sell GBP 3,669,436 Buy USD 5,667,404 Citigroup Sell EUR 5,091,396 Buy USD 5,720,855 Goldman Sachs Sell MXN 91,966,694 Buy USD 5,945,277 Citigroup (45) (0.04) Sell NZD 72,671,522 Buy USD 55,970,029 Goldman Sachs Sell SEK 54,443,329 Buy USD 6,309,502 Goldman Sachs (175) (0.16) Sell AUD 8,473,734 Buy USD 6,533,332 Barclays (107) (0.10) Sell CNY 40,179,409 Buy USD 6,540,895 Citigroup (7) (0.01) Sell AUD 10,447,737 Buy USD 8,125,338 Goldman Sachs (87) (0.08) Sell CAD 99,295 Buy USD 81,135 Citigroup (1) Total Derivatives Total value of investments 89, Net other assets (0.00%) 21, Net assets 110, ANALYSIS OF INVESTMENTS BY ASSET CLASS Investment Fixed interest 71, Floating rate notes 16, Derivatives Total value of investments 89,

123 Threadneedle Global Opportunities Bond Fund Portfolio Statement ANALYSIS OF INVESTMENTS BY CREDIT RATINGS AA+ 3,279 Aa1u 10,152 AA 224 AA 1,028 A1 2,196 A 1,046 A 595 BBB+ 4,121 Baa1 329 BBB 7,549 Baa2 898 Baa2u 1,833 BBB 10,243 Baa3 584 BB+ 9,412 Ba1 234 BB 4,177 Ba2 673 BB 4,780 Ba3 667 B+ 8,831 (P)B+ 228 B1 985 B 3,637 B2 577 B 1,226 B3 1,633 Not Rated 7,797 Total Bonds 88,934 Derivatives 148 Total value of investments 89,082 ANALYSIS OF UNDERLYING EXPOSURE FUTURES AND OPTIONS Barclays Euro Currency Call Option Expiring July 2015 Strike 1.15 UBS Australia 10 Year Bond Future Expiring June ,360 UBS Australia 3 Year Bond Future Expiring June ,890 UBS EURO Bund Future Expiring June 2015 (17,792) UBS EURO-BOBL Future Expiring June 2015 (14,878) UBS EURO-BTP Bond Future Expiring June ,415 UBS Japan 10 Year Bond Future Expiring June 2015 (32,199) UBS Long Gilt Future Expiring June ,876 UBS US 10 Year Note Future Expiring June 2015 (26,240) UBS US 5 Year Note Future Expiring June 2015 (49,109) UBS US Long Bond Future Expiring June 2015 (2,896) UBS US Ultra Bond Future Expiring June 2015 (320) Total net exposure (111,893) (P) refers to provisional rating. *Variable rate bonds. 122

124 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 Mid 250 Fund for the year ended 30 April 2013 Class 1 Net accumulation shares 45, p 27,891,329 Class 2 Net accumulation shares 73, p 42,907,768 Class Z Net accumulation shares 5, p 4,577,876 for the year ended 30 April 2014 Class 1 Net accumulation shares 42, p 22,634,843 Class 2 Net accumulation shares 72, p 36,441,602 Class Z Net accumulation shares 22, p 16,201,495 for the year ended 30 April 2015 Class 1 Net accumulation shares 23, p 11,202,200 Class 2 Net accumulation shares 53, p 23,543,378 Class Z Net accumulation shares 26, p 16,803, 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 Z Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class Z Net accumulation shares To 30 April Class Z Net accumulation shares commenced on 7 September 2012 UK Extended Alpha Fund for the year ended 30 April 2013 Class 1 Net accumulation shares 4, p 1,374,810 Class 2 Net accumulation shares 19, p 6,241,047 Class X Net accumulation shares p 293,704 for the year ended 30 April 2014 Class 1 Net accumulation shares 5, p 1,492,271 Class 2 Net accumulation shares 41, p 11,623,970 Class X Net accumulation shares p 262,237 for the year ended 30 April 2015 Class 1 Net accumulation shares 5, p 1,464,611 Class 2 Net accumulation shares 62, p 15,276,830 Class X Net accumulation shares p 3,000 UK Equity Alpha Income Fund for the year ended 30 April 2013 Class 1 Net income shares 126, p 226,067,255 Class 2 Net income shares 288, p 498,347,290 Class Z Net income shares 2, p 2,267,500 for the year ended 30 April 2014 Class 1 Net income shares 205, p 317,468,482 Class 2 Net income shares 433, p 642,503,518 Class Z Net income shares 93, p 70,053,586 for the year ended 30 April 2015 Class 1 Net income shares 147, p 220,633,666 Class 2 Net income shares 528, p 755,709,233 Class X Net income shares p 3,000 Class Z Net income shares 219, p 158,514, 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 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 To 30 April 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 X Net income shares Class Z Net income shares Class 1 Net income shares Class 2 Net income shares Class X Net income shares Class Z Net income shares To 30 April Class Z Net income shares commenced on 7 September Class X Net income shares commenced on 19 November

125 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 Absolute Alpha Fund for the year ended 30 April 2013 Class 1 Net accumulation shares 23, p 19,872,817 Class 2 Net accumulation shares 45, p 38,821,417 Class 2 EUR Hedged Net accumulation shares 11, p 10,244,373 Class Z Net accumulation shares 6, p 6,241,519 for the year ended 30 April 2014 Class 1 Net accumulation shares 26, p 21,804,470 Class 2 Net accumulation shares 56, p 45,100,664 Class 2 EUR Hedged Net accumulation shares 138, p 119,311,833 Class Z Net accumulation shares 44, p 40,289,084 for the year ended 30 April 2015 Class 1 Net accumulation shares 28, p 21,875,058 Class 2 Net income shares p 3,000 Class 2 Net accumulation shares 85, p 63,133,102 Class 2 EUR Hedged Net accumulation shares 109, p 100,340,175 Class Z Net income shares 17, p 17,369,667 Class Z Net accumulation shares 137, p 114,893, Class 1 Net accumulation shares Class 2 Net accumulation shares Class 2 EUR Hedged Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class 2 EUR Hedged Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class 2 EUR Hedged Net accumulation shares Class Z Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class 2 EUR Hedged Net accumulation shares Class Z Net accumulation shares Class 1 Net accumulation shares Class 2 Net income 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 accumulation shares Class 2 Net income shares Class 2 Net accumulation shares Class 2 EUR Hedged Net accumulation shares Class Z Net income shares Class Z Net accumulation shares To 30 April Class 1 Net accumulation shares commenced 10 September Class 2 Net accumulation shares commenced 10 September Class 2 EUR Hedged Net accumulation shares commenced on 15 October Class Z Net accumulation shares commenced on 7 September Class 2 Net income shares commenced on 3 December Class Z Net income shares commenced on 3 December 2014 Absolute Return Bond Fund for the year ended 30 April 2013 Class 1 Net accumulation shares 160, p 255,000,895 Class 1 Gross accumulation shares 72, p 112,579,804 Class 2 Net accumulation shares 42, p 65,509,138 Class 2 Gross accumulation shares 94, p 139,628,503 Class X Gross accumulation shares p 3,001 for the year ended 30 April 2014 Class 1 Net accumulation shares 114, p 181,206,150 Class 1 Gross accumulation shares 67, p 104,827,426 Class 2 Net accumulation shares 40, p 60,672,670 Class 2 Gross accumulation shares 59, p 87,164,084 Class X Gross accumulation shares p 3,001 for the year ended 30 April 2015 Class 1 Net accumulation shares 80, p 124,321,826 Class 1 Gross accumulation shares 45, p 63,987,368 Class 2 Net accumulation shares 42, p 61,873,221 Class 2 Gross accumulation shares 68, p 96,616,552 Class X Gross accumulation shares p 3,001 Only available to eligible investors 2010 Class 1 Net accumulation shares Class 1 Gross accumulation shares Class 2 Net accumulation shares Class 2 Gross accumulation shares Class 1 Net accumulation shares Class 1 Gross accumulation shares Class 2 Net accumulation shares Class 2 Gross accumulation shares Class X Gross accumulation shares Class 1 Net accumulation shares Class 1 Gross accumulation shares Class 2 Net accumulation shares Class 2 Gross accumulation shares Class X Gross accumulation shares Class 1 Net accumulation shares Class 1 Gross accumulation shares Class 2 Net accumulation shares Class 2 Gross accumulation shares Class X Gross accumulation shares Class 1 Net accumulation shares Class 1 Gross accumulation shares Class 2 Net accumulation shares Class 2 Gross accumulation shares Class X Gross accumulation shares Class 1 Net accumulation shares Class 1 Gross accumulation shares Class 2 Net accumulation shares Class 2 Gross accumulation shares Class X Gross accumulation shares To 30 April Class X Gross accumulation shares commenced 17 February

126 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 Target Return Fund for the year ended 30 April 2013 Class 1 Net accumulation shares 2, p 2,073,866 Class 1 Gross accumulation shares 32, p 31,979,440 Class 1 CHF Hedged Gross accumulation shares p 24,927 Class 1 USD Hedged Gross accumulation shares p 667,334 Class 2 Gross income shares p 123,675 Class 2 Gross accumulation shares 104, p 98,739,468 Class X Gross accumulation shares 17, p 17,188,828 Class Z Net accumulation shares p 3,050 for the year ended 30 April 2014 Class 1 Net accumulation shares 1, p 1,760,943 Class 1 Gross accumulation shares 19, p 20,227,283 Class 1 CHF Hedged Gross accumulation shares p 7,751 Class 1 USD Hedged Gross accumulation shares 4, p 7,975,986 Class 2 Gross income shares p 87,409 Class 2 Gross accumulation shares 22, p 21,717,652 Class X Gross accumulation shares p 3,001 Class Z Net accumulation shares p 60,617 Class Z Gross accumulation shares p 475,690 for the year ended 30 April 2015 Class 1 Net accumulation shares 1, p 1,605,013 Class 1 Gross accumulation shares 14, p 16,045,619 Class 1 CHF Hedged Gross accumulation shares p 7,751 Class 1 USD Hedged Gross accumulation shares p 361,931 Class 2 Gross income shares p 87,285 Class 2 Gross accumulation shares 1, p 1,915,067 Class X Gross accumulation shares p 3,001 Class Z Net accumulation shares p 72,071 Class Z Gross accumulation shares p 643,426 Only available to eligible investors 2010 Class 1 Net accumulation shares Class 1 Gross accumulation shares Class 1 USD Hedged Gross accumulation shares Class 2 Gross income shares Class 2 Gross accumulation shares Class 1 Net accumulation shares Class 1 Gross accumulation shares Class 1 USD Hedged Gross accumulation shares Class 2 Gross income shares Class 2 Gross accumulation shares Class X Gross accumulation shares Class 1 Net accumulation shares Class 1 Gross accumulation shares Class 1 CHF Hedged Gross accumulation shares Class 1 USD Hedged Gross accumulation shares Class 2 Gross income shares Class 2 Gross accumulation shares Class X Gross accumulation shares Class Z Net accumulation shares Class 1 Net accumulation shares Class 1 Gross accumulation shares Class 1 CHF Hedged Gross accumulation shares Class 1 USD Hedged Gross accumulation shares Class 2 Gross income shares Class 2 Gross accumulation shares Class X Gross accumulation shares Class Z Net accumulation shares Class Z Gross accumulation shares Class 1 Net accumulation shares Class 1 Gross accumulation shares Class 1 CHF Hedged Gross accumulation shares Class 1 USD Hedged Gross accumulation shares Class 2 Gross income shares Class 2 Gross accumulation shares Class X Gross accumulation shares Class Z Net accumulation shares Class Z Gross accumulation shares Class 1 Net accumulation shares Class 1 Gross accumulation shares Class 1 CHF Hedged Gross accumulation shares Class 1 USD Hedged Gross accumulation shares Class 2 Gross income shares Class 2 Gross accumulation shares Class X Gross accumulation shares Class Z Net accumulation shares Class Z Gross accumulation shares To 30 April Class 2 Gross income shares commenced 20 September Class X Gross accumulation shares commenced 7 February Class 1 CHF Hedged Gross accumulation shares commenced 25 April Class Z Net accumulation shares commenced 3 October Class Z Gross accumulation shares commenced 18 September 2013 Pan European Focus Fund for the year ended 30 April 2013 Class 1 Net accumulation shares 17, p 10,339,440 Class 2 Net accumulation shares 49, p 28,284,909 Class Z Net accumulation shares p 4,786 for the year ended 30 April 2014 Class 1 Net accumulation shares 19, p 10,095,986 Class 2 Net accumulation shares 61, p 30,252,888 Class Z Net accumulation shares 2, p 1,452,831 for the year ended 30 April 2015 Class 1 Net accumulation shares 19, p 9,150,025 Class 2 Net accumulation shares 61, p 26,958,573 Class Z Net accumulation shares 3, p 1,972, 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 Z Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class Z Net accumulation shares To 30 April Class Z Net accumulation shares commenced 12 October

127 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 Equity Dividend Fund for the year ended 30 April 2013 Class 1 Net income shares 16, p 21,521,480 Class 1 Net accumulation shares 4, p 4,267,312 Class 2 Net income shares 1, p 1,668,515 Class 2 Net accumulation shares 2, p 2,391,248 Class Z Net income shares p 31,187 for the year ended 30 April 2014 Class 1 Net income shares 28, p 35,628,805 Class 1 Net accumulation shares 10, p 8,876,558 Class 2 Net income shares 2, p 2,779,235 Class 2 Net accumulation shares 3, p 3,250,307 Class X Net accumulation shares 45, p 45,896,154 Class Z Net income shares 1, p 1,061,522 for the year ended 30 April 2015 Class 1 Net income shares 29, p 35,206,169 Class 1 Net accumulation shares 16, p 13,485,347 Class 2 Net income shares 5, p 6,671,607 Class 2 Net accumulation shares 9, p 7,115,294 Class X Net income shares p 235,076 Class X Net accumulation shares p 3,000 Class Z Net income shares 4, p 3,087,378 Class Z Net accumulation shares p 65, Class 1 Net income shares Class 1 Net accumulation shares Class 2 Net income shares Class 2 Net accumulation shares Class 1 Net income shares Class 1 Net accumulation shares Class 2 Net income shares Class 2 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 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 1 Net income shares Class 1 Net accumulation shares Class 2 Net income shares Class 2 Net accumulation shares Class X Net income 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 income shares Class 2 Net accumulation shares Class X Net income shares Class X Net accumulation shares Class Z Net income shares Class Z Net accumulation shares To 30 April Class Z Net income shares commenced 12 October Class X Net income shares commenced 28 July Class X Net accumulation shares commenced 31 March Class Z Net accumulation shares commenced 20 August 2014 American Extended Alpha Fund for the year ended 30 April 2013 Class 1 Net accumulation shares 593, p 333,990,978 Class 1 EUR Hedged net accumulation shares 62, p 35,989,078 Class 2 Net accumulation shares 218, p 118,719,465 for the year ended 30 April 2014 Class 1 Net accumulation shares 466, p 241,823,658 Class 1 EUR Hedged net accumulation shares 65, p 32,829,535 Class 2 Net accumulation shares 193, p 95,815,671 Class Z Net accumulation shares p 211,076 for the year ended 30 April 2015 Class 1 Net accumulation shares p 53,934,161 Class 1 EUR Hedged net accumulation shares 2, p 1,458,549 Class 2 Net accumulation shares 127, p 51,966,483 Class Z Net accumulation shares p 641, Class 1 Net accumulation shares Class 1 EUR Hedged net accumulation shares Class 2 Net accumulation shares Class 1 Net accumulation shares Class 1 EUR Hedged net accumulation shares Class 2 Net accumulation shares Class 1 Net accumulation shares Class 1 EUR Hedged net accumulation shares Class 2 Net accumulation shares Class 1 Net accumulation shares Class 1 EUR Hedged net accumulation shares Class 2 Net accumulation shares Class Z Net accumulation shares Class 1 Net accumulation shares Class 1 EUR Hedged net accumulation shares Class 2 Net accumulation shares Class Z Net accumulation shares Class 1 Net accumulation shares Class 1 EUR Hedged net accumulation shares Class 2 Net accumulation shares Class Z Net accumulation shares To 30 April Class Z Net accumulation shares commenced 24 September

128 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 China Opportunities Fund for the year ended 30 April 2013 Class 1 Net accumulation shares 20, p 11,676,258 Class 2 Net accumulation shares 49, p 27,231,434 Class Z Net accumulation shares p 196,220 for the year ended 30 April 2014 Class 1 Net accumulation shares 16, p 8,672,786 Class 2 Net accumulation shares 45, p 23,028,230 Class Z Net accumulation shares 7, p 5,548,133 for the year ended 30 April 2015 Class 1 Net accumulation shares 46, p 16,145,270 Class 2 Net accumulation shares 70, p 23,360,408 Class Z Net accumulation shares 42, p 22,004, 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 Z Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class Z Net accumulation shares To 30 April Class Z Net accumulation shares commenced 5 October 2012 Global Emerging Markets Equity Fund for the year ended 30 April 2013 Class 1 Net accumulation shares 39, p 44,102,122 Class 2 Net accumulation shares 122, p 130,198,010 Class X Net accumulation shares 1, p 2,367,680 Class Z Net accumulation shares p 35,860 for the year ended 30 April 2014 Class 1 Net accumulation shares 39, p 48,325,504 Class 2 Net accumulation shares 106, p 122,544,787 Class X Net accumulation shares 37, p 50,333,481 Class Z Net accumulation shares 4, p 4,345,875 for the year ended 30 April 2015 Class 1 Net accumulation shares 138, p 144,648,003 Class 2 Net accumulation shares 113, p 111,396,049 Class X Net income shares p 3,000 Class X Net accumulation shares 36, p 41,309,362 Class Z Net accumulation shares 20, p 16,715, 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 income shares Class X Net accumulation shares Class Z Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class X Net income shares Class X Net accumulation shares Class Z Net accumulation shares To 30 April Class Z Net accumulation shares commenced 5 October Class X Net income shares commenced 28 July

129 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 Local Fund for the year ended 30 April 2013 Class 1 Net income shares 6, p 4,866,717 Class 1 Gross accumulation shares 26, p 16,872,047 Class 2 Gross accumulation shares 73, p 41,599,256 Class X Gross accumulation shares p 204,994 Class Z Net income shares p 46,817 Class Z Gross accumulation shares p 5,590 for the year ended 30 April 2014 Class 1 Net income shares 1, p 1,464,313 Class 1 Gross accumulation shares 12, p 9,445,607 Class 2 Gross accumulation shares 12, p 8,766,687 Class X Gross accumulation shares p 48,436 Class Z Net income shares 1, p 1,410,242 Class Z Gross accumulation shares p 80,712 for the year ended 30 April 2015 Class 1 Net income shares p 886,381 Class 1 Gross accumulation shares 10, p 8,430,188 Class 2 Gross accumulation shares 13, p 9,501,381 Class X Gross income shares p 90,470 Class X Gross accumulation shares p 3,000 Class Z Net income shares 1, p 2,359,854 Class Z Gross accumulation shares p 328,685 Only available to eligible investors 2010 Class 1 Net 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 accumulation shares Class 2 Gross accumulation shares Class X Gross accumulation shares Class 1 Net income shares Class 1 Gross accumulation shares Class 2 Gross accumulation shares Class X Gross accumulation shares Class Z Net income shares Class Z Gross accumulation shares Class 1 Net income shares Class 1 Gross accumulation shares Class 2 Gross accumulation shares Class X Gross accumulation shares Class Z Net income shares Class Z Gross accumulation shares Class 1 Net income shares Class 1 Gross accumulation shares Class 2 Gross accumulation shares Class X Gross income shares Class X Gross accumulation shares Class Z Net income shares Class Z Gross accumulation shares Class 1 Net income shares Class 1 Gross accumulation shares Class 2 Gross accumulation shares Class X Gross income shares Class X Gross accumulation shares Class Z Net income shares Class Z Gross accumulation shares To 30 April Class Z Net income shares commenced 5 October Class Z Gross accumulation shares commenced 5 October Class X Gross income shares commenced 28 July 2014 Global Extended Alpha Fund for the year ended 30 April 2013 Class 1 Net accumulation shares 4, p 2,723,165 Class 2 Net accumulation shares 9, p 5,851,266 for the year ended 30 April 2014 Class 1 Net accumulation shares 28, p 17,149,932 Class 2 Net accumulation shares 19, p 11,055,242 for the year ended 30 April 2015 Class 1 Net accumulation shares 58, p 29,443,212 Class 2 Net accumulation shares 27, p 13,320,878 Class Z Net accumulation shares p 3, 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 Class Z Net accumulation shares To 30 April Class Z Net accumulation shares commenced on 22 April

130 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 Equity Income Fund for the year ended 30 April 2013 Class 1 Net income shares 130, p 115,232,687 Class 1 Net accumulation shares 75, p 50,467,150 Class 2 Net income shares 87, p 75,063,540 Class 2 Net accumulation shares 30, p 20,048,053 Class Z Net income shares 12, p 10,706,331 for the year ended 30 April 2014 Class 1 Net income shares 189, p 173,306,851 Class 1 SGD Hedged Net income shares 14, p 14,610,628 Class 1 Net accumulation shares 115, p 76,637,662 Class 1 SGD Hedged Net accumulation shares p 976,335 Class 2 Net income shares 145, p 128,822,833 Class 2 Net accumulation shares 214, p 136,600,313 Class X Net accumulation shares 167, p 167,313,429 Class Z Net income shares 477, p 414,393,515 Class Z Net accumulation shares 29, p 29,059,241 for the year ended 30 April 2015 Class 1 Net income shares 190, p 163,169,329 Class 1 Monthly net income shares p 65,877 Class 1 SGD Hedged Net income shares 15, p 15,009,221 Class 1 AUD Hedged Monthly net income shares p 10,000 Class 1 SGD Hedged Monthly net income shares p 10,000 Class 1 Net accumulation shares 132, p 79,120,252 Class 1 SGD Hedged Net accumulation shares 1, p 1,713,189 Class 2 Net income shares 143, p 118,741,070 Class 2 EUR Hedged Net income shares p 3,001 Class 2 Net accumulation shares 197, p 112,572,463 Class X Net income shares 76, p 72,018,204 Class X Net accumulation shares 188, p 167,313,429 Class Z Net income shares 595, p 480,612,424 Class Z SGD Hedged Net income shares p 3,001 Class Z Net accumulation shares 53, p 47,086,991 Class Z SGD Hedged Net accumulation shares p 3, Class 1 Net income shares Class 1 Net accumulation shares Class 2 Net income shares Class 2 Net accumulation shares Class 1 Net income shares Class 1 Net accumulation shares Class 2 Net income shares Class 2 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 1 Net income shares Class 1 SGD Hedged Net income 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 income shares Class 1 SGD Hedged Net income shares Class 1 Net accumulation shares Class 1 SGD Hedged Net accumulation shares Class 2 Net income shares Class 2 EUR Hedged Net income shares Class 2 Net accumulation shares Class X Net income shares Class X Net accumulation shares Class Z Net income shares Class Z SGD Hedged Net income shares Class Z Net accumulation shares Class Z SGD Hedged Net accumulation shares Class 1 Net income shares Class 1 Monthly net income shares Class 1 SGD Hedged Net income shares Class 1 AUD Hedged Monthly net income shares Class 1 SGD Hedged Monthly net income shares Class 1 Net accumulation shares Class 1 SGD Hedged Net accumulation shares Class 2 Net income shares Class 2 EUR Hedged Net income shares Class 2 Net accumulation shares Class X Net income shares Class X Net accumulation shares Class Z Net income shares Class Z SGD Hedged Net income shares Class Z Net accumulation shares Class Z SGD Hedged Net accumulation shares To 30 April Class Z Net income shares commenced 3 October Class 1 SGD Hedged Net income shares commenced 10 October Class 1 SGD Hedged Net accumulation shares commenced 10 October Class Z Net accumulation shares commenced 18 September Class X Net accumulation shares commenced on 31 March Class 2 EUR Hedged Net income shares commenced on 3 June Class Z SGD Hedged Net income shares commenced on 3 June Class Z SGD Hedged Net accumulation shares commenced on 3 June Class X Net income shares commenced on 28 July Class 1 Monthly net income shares commenced on 18 February Class 1 AUD Hedged Monthly net income shares commenced on 18 February Class 1 SGD Hedged Monthly net income shares commenced on 18 February 2015 Global Opportunities Bond Fund for the year ended 30 April 2015 Class 1 Net income shares p 3,000 Class 1 Net accumulation shares p 3,101 Class X Gross accumulation shares p 3,001 Class Z Net income shares p 3,050 Class Z Gross income shares 1, p 1,003,001 Class Z Net accumulation shares p 7,992 Class Z Gross accumulation shares 109, p 108,000, Class 1 Net income shares Class 1 Net accumulation shares Class X Gross accumulation shares Class Z Net income shares Class Z Net accumulation shares Class Z Gross income shares Class Z Gross accumulation shares To 30 April Class 1 Net income shares commenced on 24 March Class 1 Net accumulation shares commenced on 24 March Class X Gross accumulation shares commenced on 24 February Class Z Net income shares commenced on 27 February Class Z Net accumulation shares commenced on 27 February Class Z Gross income shares commenced on 27 February Class Z Gross accumulation shares commenced on 27 February

131 Performance Summary for the twelve months ended 30 April 2015 UK Universe Funds Sector Index UK Mid 250 Fund (IA) UK All Companies FTSE Mid 250 (ex Investment Trusts)* Class 1 Net Return Class 2 Net Return Sector Median Net Return Fund Gross Total Return Index Total Return % % % % % UK Extended Alpha Fund (IA) UK All Companies FTSE All-Share* UK Equity Alpha Income Fund (IA) UK Equity Income* FTSE All-Share UK Absolute Alpha Fund (IA) Absolute Return UK LIBOR 3 Month Absolute Return Bond Fund (IA) Absolute Return UK LIBOR 3 Month Target Return Fund ** (IA) Unclassified EURIBOR 3 Month Pan European Focus Fund (IA) Europe Including UK MSCI Europe* Pan European Equity Dividend Fund (IA) Europe Including UK* MSCI Europe American Extended Alpha Fund (IA) North America* S&P 500 Composite China Opportunities Fund (IA) China Greater China MSCI China* Global Emerging Markets Equity Fund (IA) Global Emerging Markets MSCI Emerging Markets* Emerging Market Local Fund (IA) Specialist JPM GBI-EM Global Diversified* ** Global Extended Alpha Fund (IA) Global Growth MSCI AC World Free* Global Equity Income Fund (IA) Global Equity Income MSCI AC World Free* Global Opportunities Bond*** (IA) Absolute Return Citigroup GBP 1 Month Euro deposit 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. These funds do not currently display a sector median return because the Fund Sector (as defined by the Investment Association) is not felt to be representative. *Denotes official benchmark of the fund. **Performance information for this fund is shown on a gross income basis. ***Performance information for this fund is for the 1 month period 31/03/2015 to 30/04/2015. 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. 130

132 Performance Summary for the twelve months ended 30 April 2015 Offshore Universe Funds Sector Index UK Mid 250 Fund UK Extended Alpha Fund UK Equity Alpha Income Fund UK Absolute Alpha Fund Absolute Return Bond Fund Target Return Fund Pan European Focus Fund Pan European Equity Dividend Fund American Extended Alpha Fund GIFS Offshore UK Mid Cap Equity Share Class 1 Return Share Class 2 Return Sector Median Net Return Fund Gross Total Return Index Total Return % % % % % Currency FTSE Mid 250 (ex Investment Trusts)* % % % % % GBP GIFS Offshore UK Large Cap Blend FTSE All-Share* % % +6.90% % +7.48% GBP GIFS Offshore UK Large Cap FTSE All-Share +8.05% +8.70% +5.75% +9.30% +7.48% GBP GIFS Offshore Alternative Long/Short UK UK LIBOR 3 Month % +0.56% GBP GIFS Offshore Alternative Long/Short Debt UK LIBOR 3 Month % % +4.04% +5.27% +0.56% GBP GIFS Offshore Alternative Debt Arbitrage EURIBOR 3 Month +2.46% +3.03% +3.11% +4.78% +0.12% EUR GIFS Offshore Europe Large Cap Growth MSCI Europe* % % % % % EUR GIFS Offshore Europe Large Cap MSCI Europe % % % % % EUR GIFS Offshore US Large Cap Growth S&P 500 Composite % % % % % USD China Opportunities Fund GIFS Offshore China Equity MSCI China* % % % % % USD Global Emerging Markets Equity Fund Emerging Market Local Fund Global Extended Alpha Fund Global Equity Income Fund GIFS Offshore Global Emerging Markets Equity MSCI Emerging Markets* +6.63% +7.32% +6.64% +7.85% +8.17% USD GIFS Offshore Global Emerging Markets Bond Local JPM GBI-EM Global Diversified* 3.28% 2.49% 0.85% 10.63% 9.35% USD GIFS Offshore Global Large Cap Blend MSCI AC World Free* % % +5.08% % +8.02% USD GIFS Offshore Global Large Cap MSCI AC World Free* +2.51% 3.07% +3.18% +3.35% +8.02% USD Global Opportunities Bond** Citigroup GBP 1 Month Euro deposit +0.57% +0.53% +0.03% GBP 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. Performance data is shown on a gross of tax basis. Net returns (Source: Morningstar) are calculated using official noon prices, bid to bid basis with unadjusted income 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 Fund Currency. *Denotes official benchmark of the fund. **Performance information for this fund is for the 1 month period 31/03/2015 to 30/04/

133 Ongoing Charges Figure Summary for the accounting period 1 May 2014 to 30 April 2015 Fund Share Class April 2015 April 2014 UK Mid 250 Fund Class 1 Net accumulation shares 1.65% 1.63% Class 2 Net accumulation shares 1.08% 1.06% Class Z Net accumulation shares 0.90% 0.89% UK Extended Alpha Fund Class 1 Net accumulation shares 1.42% 1.44% Class 2 Net accumulation shares 0.86% 0.88% Class X Net accumulation shares 0.11% 0.13% UK Equity Alpha Income Fund Class 1 Net income shares 1.63% 1.62% Class 2 Net income shares 1.06% 1.04% 1 Class X Net income shares 0.02%* _ Class Z Net income shares 0.88% 0.88% UK Absolute Alpha Fund Class 1 Net accumulation shares 1.64% 1.64% 2 Class 2 Net income shares 1.00%* _ Class 2 Net accumulation shares 1.07% 1.07% Class 2 EUR Hedged net accumulation shares 1.06% 1.06% 3 Class Z Net income shares 0.86%* _ Class Z Net accumulation shares 0.88% 0.89% Absolute Return Bond Fund Class 1 Net accumulation shares 1.39% 1.39% Class 1 Gross accumulation shares 1.39% 1.39% Class 2 Net accumulation shares 0.72% 0.72% Class 2 Gross accumulation shares 0.72% 0.72% Class X Gross accumulation shares 0.02% 0.04% Target Return Fund Class 1 Net accumulation shares 1.51% 1.42% Class 1 Gross accumulation shares 1.51% 1.41% Class 1 CHF Hedged gross accumulation shares 1.51% 1.44% Class 1 USD Hedged gross accumulation shares 1.58% 1.45% Class 2 Gross income shares 0.84% 0.74% Class 2 Gross accumulation shares 0.84% 0.75% Class X Gross accumulation shares 0.16% 0.09% Class Z Net accumulation shares 0.91% 0.85% Class Z Gross accumulation shares 0.92% 0.84% Pan European Focus Fund Class 1 Net accumulation shares 1.69% 1.67% Class 2 Net accumulation shares 1.12% 1.09% Class Z Net accumulation shares 0.94% 0.92% Pan European Equity Dividend Fund Class 1 Net income shares 1.69% 1.71% Class 1 Net accumulation shares 1.69% 1.70% Class 2 Net income shares 1.11% 1.13% Class 2 Net accumulation shares 1.10% 1.13% 4 Class X Net income shares 0.08%* _ Class X Net accumulation shares 0.08% 0.10% Class Z Net income shares 0.94% 0.95% 5 Class Z Net accumulation shares 0.91%* _ American Extended Alpha Fund Class 1 Net accumulation shares 1.63% 1.62% Class 1 EUR Hedged net accumulation shares 1.61% 1.60% Class 2 Net accumulation shares 0.81% 0.79% 6 Class Z Net accumulation shares 0.88% 0.87%* China Opportunities Fund Class 1 Net accumulation shares 1.67% 1.69% Class 2 Net accumulation shares 1.10% 1.11% Class Z Net accumulation shares 0.91% 0.93% Global Emerging Markets Equity Fund Class 1 Net accumulation shares 1.66% 1.71% Class 2 Net accumulation shares 1.10% 1.14% 7 Class X Net income shares 0.06%* _ Class X Net accumulation shares 0.10% 0.13% Class Z Net accumulation shares 0.91% 0.96% Emerging Market Local Fund Class 1 Net income shares 1.82% 1.78% Class 1 Gross accumulation shares 1.81% 1.78% Class 2 Gross accumulation shares 0.99% 0.93% 8 Class X Gross income shares 0.23%* _ Class X Gross accumulation shares 0.21% 0.22% Class Z Net income shares 0.91% 0.99% Class Z Gross accumulation shares 0.91% 0.96% Global Extended Alpha Fund Class 1 Net accumulation shares 1.69% 1.76% Class 2 Net accumulation shares 0.87% 0.94% 9 Class Z Net accumulation shares 0.98% _ 132

134 Ongoing Charges Figure Summary Fund Share Class April 2015 April 2014 Global Equity Income Fund Class 1 Net income shares 1.63% 1.64% 10 Class 1 Monthly net income shares 1.05% _ 11 Class 1 SGD Hedged Net income shares 1.63% 1.64%* 12 Class 1 AUD Hedged Monthly net income shares 1.60% _ 13 Class 1 SGD Hedged Monthly net income shares 1.60% _ Class 1 Net accumulation shares 1.63% 1.63% 14 Class 1 SGD Hedged Net accumulation shares 1.63% 1.65%* Class 2 Net income shares 1.04% 1.06% 15 Class 2 EUR Hedged Net income shares 1.01% _ Class 2 Net accumulation shares 1.06% 1.06% 16 Class X Net income shares 0.06% _ 17 Class X Net accumulation shares 0.06% 0.06%* Class Z Net income shares 0.88% 0.88% 18 Class Z SGD Hedged Net income shares 0.87% _ 19 Class Z Net accumulation shares 0.88% 0.89%* 20 Class Z SGD Hedged Net accumulation shares 0.86% _ Global Opportunities Bond 21 Class 1 Net income shares 1.19% _ 22 Class 1 Net accumulation shares 1.18% _ 23 Class X Gross accumulation shares 0.05% _ 24 Class Z Net income shares 0.74% _ 25 Class Z Net accumulation shares 0.71% _ 26 Class Z Gross income shares 0.75% _ 27 Class Z Gross accumulation shares 0.76% _ The Ongoing Charges Figures (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) contain the current OCF. For a more detailed breakdown please visit columbiathreadneedle.com/fees. 1 Class X Net income shares commenced on 19 November Class 2 Net income shares commenced on 3 December Class Z Net income shares commenced on 3 December Class X Net income shares commenced 28 July Class Z Net accumulation shares commenced 20 August Class Z Net accumulation shares commenced 24 September Class X Net income shares commenced 28 July Class X Gross income shares commenced 28 July Class Z Net accumulation shares commenced on 22 April Class 1 Monthly net income shares commenced on 18 February Class 1 SGD Hedged Net income shares commenced 10 October Class 1 AUD Hedged Monthly net income shares commenced on 18 February Class 1 SGD Hedged Monthly net income shares commenced on 18 February Class 1 SGD Hedged Net accumulation shares commenced 10 October Class 2 EUR Hedged Net income shares commenced on 3 June Class X Net income shares commenced on 28 July Class X Net accumulation shares commenced 31 March Class Z SGD Hedged Net income shares commenced on 3 June Class Z Net accumulation shares commenced 18 September Class Z SGD Hedged Net accumulation shares commenced on 3 June Class 1 Net income shares commenced on 24 March Class 1 Net accumulation shares commenced on 24 March Class X Gross accumulation shares commenced on 24 February Class Z Net income shares commenced on 27 February Class Z Net accumulation shares commenced on 27 February Class Z Gross income shares commenced on 27 February Class Z Gross accumulation shares commenced on 27 February 2015 *The Ongoing Charges Figure is annualised based on the fees incurred during the accounting period or since commencement date. 133

135 Risk and Reward Profiles for the accounting period 1 May 2014 to 30 April 2015 Fund Share Class SRRI* UK Mid 250 Fund Class 1 Net accumulation shares 6 Class 2 Net accumulation shares 6 Class Z Net accumulation shares 6 UK Extended Alpha Fund Class 1 Net accumulation shares 6 Class 2 Net accumulation shares 6 Class X Net accumulation shares 6 UK Equity Alpha Income Fund Class 1 Net income shares 5 Class 2 Net income shares 5 1 Class X Net income shares 5 Class Z Net income shares 5 UK Absolute Alpha Fund Class 1 Net accumulation shares 5 2 Class 2 Net income shares 5 Class 2 Net accumulation shares 5 Class 2 EUR Hedged Net accumulation shares 5 3 Class Z Net income shares 5 Class Z Net accumulation shares 5 Absolute Return Bond Fund Class 1 Net accumulation shares 3 Class 1 Gross accumulation shares 3 Class 2 Net accumulation shares 3 Class 2 Gross accumulation shares 3 Class X Gross accumulation shares 3 Target Return Fund Class 1 Net accumulation shares 4 Class 1 Gross accumulation shares 4 Class 1 CHF Hedged Gross accumulation shares 4 Class 1 USD Hedged Gross accumulation shares 4 Class 2 Gross income shares 4 Class 2 Gross accumulation shares 4 Class X Gross accumulation shares 4 Class Z Net accumulation shares 4 Class Z Gross accumulation shares 4 Pan European Focus Fund Class 1 Net accumulation shares 6 Class 2 Net accumulation shares 6 Class Z Net accumulation shares 6 Pan European Equity Dividend Fund Class 1 Net income shares 6 Class 1 Net accumulation shares 6 Class 2 Net income shares 6 Class 2 Net accumulation shares 6 4 Class X Net income shares 6 Class X Net accumulation shares 6 Class Z Net income shares 6 5 Class Z Net accumulation shares 6 American Extended Alpha Fund Class 1 Net accumulation shares 5 Class 1 EUR Hedged Net accumulation shares 6 Class 2 Net accumulation shares 5 Class Z Net accumulation shares 5 China Opportunities Fund Class 1 Net accumulation shares 6 Class 2 Net accumulation shares 6 Class Z Net accumulation shares 6 Global Emerging Markets Equity Fund Class 1 Net accumulation shares 6 Class 2 Net accumulation shares 6 6 Class X Net income shares 6 Class X Net accumulation shares 6 Class Z Net accumulation shares 6 Emerging Market Local Fund Class 1 Net income shares 4 Class 1 Gross accumulation shares 4 Class 2 Gross accumulation shares 4 7 Class X Gross income shares 4 Class X Gross accumulation shares 4 Class Z Net income shares 4 Class Z Gross accumulation shares 4 134

136 Risk and Reward Profiles Fund Share Class SRRI* Global Extended Alpha Fund Class 1 Net Accumulation Shares 6 Class 2 Net Accumulation Shares 6 8 Class Z Net Accumulation Shares 6 Global Equity Income Fund Class 1 Net income shares 5 9 Class 1 Monthly net income shares 5 Class 1 SGD Hedged Net income shares 5 10 Class 1 AUD Hedged Monthly net income shares 5 11 Class 1 SGD Hedged Monthly net income shares 5 Class 1 Net accumulation shares 5 Class 1 SGD Hedged Net accumulation shares 5 Class 2 Net income shares 5 12 Class 2 EUR Hedged Net income shares 5 Class 2 Net accumulation shares 5 13 Class X Net income shares 5 Class X Net accumulation shares 5 Class Z Net income shares 5 14 Class Z SGD Hedged Net income shares 5 Class Z Net accumulation shares 5 15 Class Z SGD Hedged Net accumulation shares 5 Global Opportunities Bond 16 Class 1 Net income shares 4 17 Class 1 Net accumulation shares 4 18 Class X Gross accumulation shares 4 19 Class Z Net income shares 4 20 Class Z Net accumulation shares 4 21 Class Z Gross income shares 4 22 Class Z Gross accumulation shares 4 1 Class X Net income shares commenced on 19 November Class 2 Net income shares commenced on 3 December Class Z Net income shares commenced on 3 December Class X Net income shares commenced 28 July Class Z Net accumulation shares commenced 20 August Class X Net income shares commenced 28 July Class X Gross income shares commenced 28 July Class Z Net accumulation shares commenced on 22 April Class 1 Monthly net income shares commenced on 18 February Class 1 AUD Hedged Monthly net income shares commenced on 18 February Class 1 SGD Hedged Monthly net income shares commenced on 18 February Class 2 EUR Hedged Net income shares commenced on 3 June Class X Net income shares commenced on 28 July Class Z SGD Hedged Net income shares commenced on 3 June Class Z SGD Hedged Net accumulation shares commenced on 3 June Class 1 Net income shares commenced on 24 March Class 1 Net accumulation shares commenced on 24 March Class X Gross accumulation shares commenced on 24 February Class Z Net income shares commenced on 27 February Class Z Net accumulation shares commenced on 27 February Class Z Gross income shares commenced on 27 February Class Z Gross accumulation shares commenced on 27 February 2015 *As at 30 April 2015 the synthetic risk and reward indicator (SRRI) is explained in the table below: 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). 135

137 Risk and Reward Profiles 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 funds. The risk and reward profile of the UK Equity Alpha Income Fund changed from 6 to 5 for all share classes on 28 July The risk and reward profile of the Target Return Fund changed from 3 to 4 for all share classes except Class 1 Net accumulation shares on 8 October The risk and reward profile of the American Extended Alpha Fund Class 1 Net accumulation shares, Class 2 Net accumulation shares, and Class Z Net accumulation shares changed from 6 to 5 on 8 October The risk and reward profile of the Emerging Market Local Fund changed from 5 to 4 for all share classes on 2 July The risk and reward profile of the Global Equity Income Fund Class 2 Net accumulation shares, Class X shares and Class Z shares changed from 6 to 5 on 15 July

138 Shares Issued and Redeemed Summary for the accounting period 1 May 2014 to 30 April 2015 Fund Number Issued Number Redeemed Net Conversions UK Mid 250 Fund 9,567,619 (35,176,434) 1,880,421 UK Extended Alpha Fund 7,257,412 (3,887,657) (3,792) UK Equity Alpha Income Fund 236,254,017 (83,246,338) (48,172,634) UK Absolute Alpha Fund 193,229,894 (105,333,358) 3,211,708 Absolute Return Bond Fund 90,859,839 (177,145,950) (785,252) Target Return Fund 13,165,176 (44,739,923) (421) Pan European Focus Fund 6,447,276 (10,265,608) 97,440 Pan European Equity Dividend Fund 48,242,315 (79,756,448) (109,257) American Extended Alpha Fund 213,945,469 (476,573,951) (50,771) China Opportunities Fund 45,749,869 (23,801,839) 2,312,868 Global Emerging Markets Equity Fund 170,987,721 (82,245,665) (219,527) Emerging Market Local Fund 9,689,366 (9,363,388) 57,984 Global Extended Alpha Fund 26,032,217 (11,468,330) (1,971) Global Equity Income Fund 502,640,667 (389,240,980) 2,330,958 Global Opportunities Bond Fund 108,982,394 (3,018) 44,

139 Further Information Threadneedle Specialist Investment Funds ICVC (the Company) is an open-ended investment company with variable capital 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 subfunds (funds) may be established from time to time by the ACD with the approval of the Financial Conduct Authority (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 funds 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 and effective from 24 June 2015, Mr. Nick Ring 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 1 May 2014 to 30 April 2015 the main changes to the Prospectus of the Company were as follows: n Include references to a new fund to be launched, namely Global Opportunities Bond Fund; n Client requirement regarding investors investing in Class Z Shares; n Change from Citibank International plc to Citibank International Limited; n Change in head office and registered address from 30 March 2015 (for the fund, the ACD and the investment manager); n Include new share class (Class M: monthly dividend paying share class for Global Equity Income Fund); n Include additional disclosures relating to the instruments in which bond funds can invest (CoCos); n Include additional disclosures relating to the instruments in which equity funds can invest (p-notes / warrants); n Enhanced disclosures regarding client money; n Delete / amend references to SDRT following its abolition; n Update list of funds managed by the ACD to include the Threadneedle Navigator Funds range; n Update list of the directors of the ACD to reflect appointments and resignations; n Update disclosures relating to delegation of functions to other group members and update to conflicts of interests wording; n Addition of Columbia Management Investment Advisers, LLC as delegated sub-advisor for American Extended Alpha Fund from 1 June Changes to the Instrument of Incorporation The instrument of incorporation of the Company was amended on 24 February 2015 to include the new Global Opportunities Bond Fund. Characteristics of Shares The Company is structured as an umbrella company and currently consists of 15 different sub-funds. Several classes of share may be issued in respect of each fund, distinguished by their criteria for subscription and fee structure. Share Class Minimum Investment Eligibility Class 1 GBP 2,000 EUR 2,500 EUR 3,000 USD 2,500 USD 3,000 SEK 25,000 CHF 4,000 SGD 4,000 Class 2 GBP 50,000 GBP 500,000 EUR 100,000 EUR 750,000 USD 750,000 USD 800,000 SEK 6 7 million CHF 1,200,000 Class M GBP 2,000 AUD 3,000 SGD 4,000 USD 3,000 Class X Class Z GBP 3 million EUR 5 million USD 5 million AUD 5 million Minimum initial investment: GBP 1 million EUR 1.5 million USD 1.5 million Retail investors Non-retail investors Retail investors Eligible investors only Non-retail investors* *The minimum investment may be considerably lower through a nominee or platform that has an arrangement in place with the ACD or an associate of the ACD. May be available to retail investors. 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. Where a range of minimum initial investments is indicated, this means there are different minimum initial investments for different sub-funds. The limits for minimum initial investment, minimum subsequent investment and 138

140 Further Information minimum holding of shares may be waived at the discretion of the ACD. For further information and for information regarding the minimum subsequent investment and minimum holding of shares please refer to the Prospectus. Certain classes of share may be unavailable to investors in certain countries. 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: 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; 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; 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. 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 fund 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 fund which only invests in exempt investments, i.e. holds no United Kingdom equities or UK-equity-linked-bonds, will therefore be wholly exempt from SDRT. 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 funds are managed. We continue to show stock market indices for information purposes and for those funds for which the Investment Association sector is not considered to be a representative peer group. Audited peer group information is only available from Morningstar s Fund Services at month end points. Report and Financial Statements Investors will receive a report on Threadneedle Specialist 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 reports 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 30 April and the interim reporting period shall end on 31 October. 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 Revenue 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. 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, however it reserves the right to do so in respect of large deals (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. 139

141 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 Grand Duchy of Luxembourg Telephone (dealing & customer enquiries): * Fax (dealing): (enquiries): All Other Investors Address: Threadneedle Investment Services Limited International Financial Data Services 47, avenue JF Kennedy Grand Duchy of Luxembourg Telephone (dealing & customer enquiries): * Fax (dealing): (enquiries): Website: columbiathreadneedle.com Paying and Information Agent in Austria Raiffeisen Bank International 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 Ireland J.P. Morgan Bank Administration Services (Ireland) Limited J.P. Morgan House, International Financial Services Centre Dublin 1 Ireland 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 *Calls will be recorded 140

142 Directory Information Agent in Spain Threadneedle Specialist Investment Funds ICVC is duly authorised for its marketing in Spain under registered number 481 for such purposes with the Register of Foreign Collective Investment Schemes of the Comisión Nacional del Mercado de Valores (CNMV), in accordance with section of Law 35/2003 of 4 November 2003 on Collective Investment Schemes, as amended. A list of the appointed local distributors and 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 Representative and Paying Agent in Switzerland BNP Paribas Securities Services, Paris, Zurich Branch Selnaustrasse Zurich Switzerland 141

143 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 that 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 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. 142

144 Important Information Key Risks of the funds: 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 UK Mid 250 Fund X X X X UK Extended Alpha Fund X X X X X X X X UK Equity Alpha Income Fund X X X X X UK Absolute Alpha Fund X X X X X X X X X Political and Financial Liquidity Effect of Portfolio Concentration Absolute Return Bond Fund X X X X X X X X X X X X Target Return Fund X X X X X X X X X X X X Pan European Focus Fund X X X X X Pan European Equity Dividend Fund X X X X American Extended Alpha Fund X X X X X X X X China Opportunities Fund X X X X X X Global Emerging Markets Equity Fund X X X X X X Emerging Market Local Fund X X X X X X X X X X X X X Global Extended Alpha Fund X X X X X X X X X Global Equity Income Fund X X X X Global Opportunities Bond X X X X X X X X X X X X X Inflation Interest Rate Valuation Short Selling Leverage Investment in Derivatives Derivatives for EPM / Hedging Volatility High Volatility 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. 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. 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. 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. 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. 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. 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. 143 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.

145 Important Information 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. Investment in Derivatives Risk: The Investment Policy of the fund allows it to invest materially in derivatives. 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 can be more pronounced than with other funds. Further risks applicable to the fund can be found in the Prospectus. 144

146 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