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THREADNEEDLE (LUX)

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AUDITED ANNUAL REPORT AND FINANCIAL STATEMENTSSOCIÉTÉ D’INVESTISSEMENT À CAPITAL VARIABLEMARCH 31, 2016

SICAVA Luxembourg UndertakingFor Collective InvestmentIn Transferable SecuritiesUnder Part I of the Law of December 17, 2010, as amendedR.C.S. Luxembourg B-50.216

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Threadneedle (Lux) Audited Annual Report and Financial Statements March 2016

Contents

Company Information 3

Directors’ Report 4

Performance 6

Audit report 7

Financial Statements:

Aggregated Financial Statements for Threadneedle (Lux) 8

Threadneedle (Lux) - Global Strategic Bond 9

Threadneedle (Lux) - Global Corporate Bond 10

Threadneedle (Lux) - European Strategic Bond* 11

Threadneedle (Lux) - Emerging Market Corporate Bonds 12

Threadneedle (Lux) - Emerging Market Debt 13

Threadneedle (Lux) - Global Emerging Market Short-Term Bonds 14

Threadneedle (Lux) - US$ High Income Bonds 15

Threadneedle (Lux) - Flexible Asian Bond 16

Threadneedle (Lux) - Global Asset Allocation 17

Threadneedle (Lux) - Global Multi Asset Income 18

Threadneedle (Lux) - Global Focus 19

Threadneedle (Lux) - Global Emerging Market Equities 20

Threadneedle (Lux) - Global Smaller Companies 21

Threadneedle (Lux) - American 22

Threadneedle (Lux) - American Select 23

Threadneedle (Lux) - Asia Contrarian Equity 24

Threadneedle (Lux) - Asian Focus 25

Threadneedle (Lux) - Developed Asia Growth and Income 26

Threadneedle (Lux) - US Contrarian Core Equities 28

Threadneedle (Lux) - Pan European Equities 29

Threadneedle (Lux) - Pan European Small Cap Opportunities 30

Threadneedle (Lux) - European Select 31

Threadneedle (Lux) - Asian Equity Income 32

Threadneedle (Lux) - Greater China Equities 33

Threadneedle (Lux) - Global Energy Equities 34

Threadneedle (Lux) - Global Technology 35

Threadneedle (Lux) - Global Equities - Walter Scott & Partners 36

Threadneedle (Lux) - Mondrian Investment Partners - Focused Emerging Markets Equity 37

Threadneedle (Lux) - UK Equities 38

Threadneedle (Lux) - STANLIB Africa Equity 39

Threadneedle (Lux) - STANLIB Global Emerging Markets Property Securities 40

Threadneedle (Lux) - American Absolute Alpha 41

Threadneedle (Lux) - Global Opportunities Bond 42

Threadneedle (Lux) - Enhanced Commodities 43

Portfolio Statements:

Threadneedle (Lux) - Global Strategic Bond 44

Threadneedle (Lux) - Global Corporate Bond 48

Threadneedle (Lux) - European Strategic Bond* 52

Threadneedle (Lux) - Emerging Market Corporate Bonds 57

Threadneedle (Lux) - Emerging Market Debt 60

Threadneedle (Lux) - Global Emerging Market Short-Term Bonds 66

Threadneedle (Lux) - US$ High Income Bonds 70

Threadneedle (Lux) - Flexible Asian Bond 79

Threadneedle (Lux) - Global Asset Allocation 82

Threadneedle (Lux) - Global Multi Asset Income 85

Threadneedle (Lux) - Global Focus 90

Threadneedle (Lux) - Global Emerging Market Equities 91

Threadneedle (Lux) - Global Smaller Companies 94

Threadneedle (Lux) - American 96

Threadneedle (Lux) - American Select 98

Threadneedle (Lux) - Asia Contrarian Equity 99

Threadneedle (Lux) - Asian Focus 101

Threadneedle (Lux) - Developed Asia Growth and Income 102

Threadneedle (Lux) - US Contrarian Core Equities 103

Threadneedle (Lux) - Pan European Equities 105

Threadneedle (Lux) - Pan European Small Cap Opportunities 107

Threadneedle (Lux) - European Select 109

Threadneedle (Lux) - Asian Equity Income 110

Threadneedle (Lux) - Greater China Equities 112

Threadneedle (Lux) - Global Energy Equities 114

Threadneedle (Lux) - Global Technology 115

Threadneedle (Lux) - Global Equities - Walter Scott & Partners 116

Threadneedle (Lux) - Mondrian Investment Partners - Focused Emerging Markets Equity 118

Threadneedle (Lux) - UK Equities 120

Threadneedle (Lux) - STANLIB Africa Equity 121

Threadneedle (Lux) - STANLIB Global Emerging Markets Property Securities 122

Threadneedle (Lux) - American Absolute Alpha 124

Threadneedle (Lux) - Global Opportunities Bond 125

Threadneedle (Lux) - Enhanced Commodities 130

Notes to the Financial Statements 131

Global Risk Exposure (unaudited) 178

Shareholders’ Information (unaudited) 179

Information for Investors in Switzerland (unaudited) 180

Share Class Performance (unaudited) 181

Directory 191

*See note 1.

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Company Information

Company Threadneedle (Lux)R.C.S. Luxembourg B-50.216

Registered Office31 Z.A. Bourmicht L-8070 Bertrange Grand Duchy of Luxembourg

Management CompanyThreadneedle Management Luxembourg S.A.74, MühlenwegL-2155 Luxembourg Grand Duchy of Luxembourg

Board of DirectorsCampbell Fleming (resigned from the Board of Directors on April 29, 2016)Chief Executive Officer, EMEA and Global Chief Operating Officer London United Kingdom

Marie-Jeanne Chèvremont-Lorenzini Independent Director Luxembourg Grand Duchy of Luxembourg

Dominik Kremer Head of Institutional Distribution, EMEA & Latin America, Columbia Threadneedle InvestmentsFrankfurt am Main Germany

Tony Poon Chief Administrative Officer, North Asia, Columbia Threadneedle InvestmentsHong Kong

Nicholas Ring (resigned from the Board of Directors on June 24, 2015)Global Head of Product, Columbia Threadneedle InvestmentsLondonUnited Kingdom

Claude Kremer Independent DirectorLuxembourg Grand Duchy of Luxembourg

Directors’ Report

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It was a challenging year for the world’s financial markets, as turmoil in Greece and later China caused market tremors that were felt worldwide. One partial consequence of China’s slowdown was a persistent slump in oil prices, which played havoc with the finances of oil-exporting countries and the major oil & gas companies. The US Federal Reserve (Fed) made its much anticipated interest-rate hike in December, while central banks elsewhere eased policy through quantitative easing (QE) and rate cuts.

UK equities had a difficult 12 months. For much of the period, economic news was dominated by worries over the outlook for the global economy, amid deteriorating data from China and the persistent slump in commodity prices, which adversely affected UK-listed energy and mining stocks. A strong pound further hurt UK exporters over the year, although the currency slumped toward the end of the period as investor anxiety grew over the forthcoming referendum on the UK’s membership of the European Union.

Markets initially responded positively when the European Central Bank (ECB) launched a substantial QE stimulus plan in March 2015, against an improving domestic economic backdrop. Toward the end of the period, the ECB unleashed further monetary stimulus, lowering deposit rates by 10 basis points to -0.4%; cutting the benchmark interest rate to 0%; increasing QE from €60bn to €80bn per month and extending the types of bonds it purchases to include investment-grade (excluding financial) corporate bonds. After an initial rally, equities pulled back and the euro strengthened as ECB President Mario Draghi indicated that further rate cuts were unlikely to be forthcoming. Mergers and acquisitions (M&A) activity proved supportive over the period, and Greece eventually secured funding to ease its financial crisis.

In Japan, the Topix index was down in local-currency terms over the 12 months under review. In common with other world stock markets, sentiment was buffeted by worries over the slowdown in the global economy, weaker economic activity in China and the devaluation of the yuan, rising geopolitical tensions, speculation over the course of US interest-rate hikes, and falls in global commodity prices. At the start of 2016, Japanese equities fell back amid the broader decline in world equity markets. The Japanese banking sector was also adversely affected by the Bank of Japan’s introduction of negative interest rates on commercial bank deposits and the impact on lending margins. However, the prospect of further monetary easing, along with an improvement in the oil price, fuelled a market rally from mid-February. Movements in the yen had a notable impact on Japanese markets; during bouts of market volatility, the Japanese currency is viewed as a ‘safe haven’ by investors, but a strong yen can have a detrimental impact on Japanese exporters. Economic data released in 2016 was generally weak: fourth-quarter GDP contracted by an annualised 1.1%; retail sales declined in both January and February; month-on-month industrial production fell by 6.2% in February, and manufacturing contracted in March.

Asian markets fell during the period under review, amid increasing concerns over the slowdown in China and weaker global growth. Additionally, the surprise decision by the People’s Bank of China (PBoC) to devalue the renminbi in August fuelled fears of competitive currency devaluations across Asia, and triggered sharp falls in equity markets. Asia also faced headwinds from the strengthening US dollar, amid continuing speculation over US interest-rate hikes, which commenced in December. In the wake of reduced demand from China and significant oversupply, the price of oil and other commodities fell sharply during the year, which caused inflation to surprise positively and gave scope for central banks to announce interest-rate cuts. In response to the economic slowdown, many Asian governments launched a series of targeted spending programmes and other fiscal measures to boost growth. In China, the PBoC lowered the reserve requirement ratio for Chinese banks on several occasions in an attempt to boost bank lending.

High-yield bond markets were volatile over the year and credit spreads widened amid the Greek debt crisis, commodity-price weakness and global growth concerns. After a summer of risk aversion, high-yield bonds rebounded in October and steadied in November. In December, the markets took the US interest-rate rise in their stride, but the ECB’s policy actions underwhelmed the markets. At the start of 2016, markets were dominated by China fears, a broader emerging-market slowdown and rising talk of a US recession. However, the ECB indicated a willingness to ease policy further should inflation fail to rise to target levels and further measures were forthcoming in March 2016. The US high-yield bond market underperformed European markets, principally because of its significantly greater exposure to energy-related issuers. Oil prices fell sharply during most of the period, with commodity-price weakness adversely affecting resource-based countries and companies. Toward the end of the period, however, oil prices firmed as Saudi Arabia, Qatar, Venezuela and Russia proposed an oil-production freeze at January levels.

The yield on US 10-year Treasuries declined over the year, from 1.93% to 1.77%, but rose to over 2.40% during periods of risk aversion. Over the 12-month period, investors grappled with several aforementioned themes that impacted global financial markets. Specific to corporate-bond investors was the trend by corporates to re-lever at all-in low yields to fund returns to their shareholders and for acquisitions. In May, Fed Chair Janet Yellen remarked that interest-rate rises would be “appropriate in 2015”. By August, the economy was close to full employment, but inflation remained sluggish and weakness in equity and bond markets contributed to the first hike being pushed back. By December, an improvement in sentiment, as well as continued strength in job creation and better wage growth, led the Fed to hike for the first time in 10 years. The reaction in Treasury yields was limited as the market had come to digest a lower and slower trajectory of hikes given an increasingly volatile macro-economic backdrop. Global growth expectations were gradually reduced over the year, led by further downward revisions to Chinese growth. Sharp drops in the Chinese stock market preceded falls in developed-market equities. Fears of a major devaluation of the Chinese currency, the renminbi, also grew, increasing the prospect of a major capital flight out of the world’s second-largest economy.

Within the global portfolio, we sold our position in entertainment conglomerate Disney. Given the growing trend toward “cord cutting” in the US, we were concerned that the firm’s ESPN business would come under pressure as more people elected to get their entertainment from online channels. We also reduced our positions in Wells Fargo and Sirona Dental Systems. With regards to purchases, we opened a position in BT; we are supportive of its acquisition

Directors’ Report(continued)

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of mobile operator EE, which was given provisional clearance toward the end of 2015. We also bought Visa, a global leader in electronic payments, as we believe it offers both secular and cyclical growth within a consolidated industry. Around 85% of global payment transactions are still made in cash, and electronic payments offer a more transparent alternative for governments eager to boost tax revenues. Demographic trends in emerging markets, including urbanisation and the emergence of a middle class, should boost revenues in the future. Consequently, Visa offers good visibility on long-term earnings growth, with near-term upside driven by improvements in consumer spending.

Within the UK Equities Fund, we opened a position in Prudential (pensions and investments) that we continued to build up over the year. Shares in the company had declined amid a broader de-rating of the sector, but we expected Prudential to rebound. Following Royal Dutch Shell’s acquisition of BG Group in the second half of the period, our holding in the former increased while we exited BG. In the banking sector, we added to Barclays and sold some of our exposure to HSBC; we feel that the latter faces relative diseconomies of scale. We increased our position in Barclays as it is our favoured pick among the UK domestic banks, given its attractive valuation.

Across our Asian equity funds, we increased exposure to China Mobile which should benefit from an easing in capex spending as the 4G infrastructure build-up starts to tail off, implying stronger cash-flow generation in the next couple of years. Within the Asia Contrarian Equity Fund and the Asia Focus Fund, we reduced exposure to Ping An Insurance following a period of strong share-price performance, and also sold Sinotrans. Elsewhere, we lowered our positions in Great Eastern Holdings across the funds.

We reduced our exposure to Apple across the American funds, amid concerns about the product cycle. Analysts had also lowered both revenue and earnings forecasts for the company towards the year-end, causing the shares to tumble 11% in December alone. Over the 12-month period, we also sold down our holdings in Disney, Gilead Sciences, Alphabet and Amazon. With regards to purchases, we bought Citigroup and Altria in the American Fund. We believe Citigroup offers attractive upside and is on track to make progress in improving shareholder returns, while tobacco company Altria is enjoying solid gains in pricing power and market share, while trading at an appreciable discount to other consumer staples.

Among key trades in the European Select Fund was the purchase of Unilever. The consumer-goods giant is well diversified with a good product offering, a strong market position and a solid track record of cash generation. It also has excellent growth potential. Additionally, we added a holding in Roche, a leader in the field of cancer research and treatment. Sales within the fund included cosmetics company L’Oreal, as we were concerned that it was vulnerable to any further weakness in the Chinese economy. We also sold Ferrovial, Groupe Eurotunnel and Linde, and reduced Nestle and Bayer.

Over the period, the European Strategic Bond Fund maintained an underweight duration position, in anticipation of yields moving higher, and a preference for 5-7 year bonds, given the steepness of that part of the yield curve. At the start of the period under review, the fund had a neutral weighting in peripheral European bonds, but we temporarily reduced exposure in June amid uncertainty in Greece. We topped up our exposure again through purchasing issues from Portugal and Slovenia. In the first quarter of 2016, we reduced our peripheral European allocation again, paring back holdings in Italy and in Portugal amid political uncertainty. Throughout the 12-month period, we maintained our overweight in corporate bonds; we added derivative hedges in August to reduce overall risk, but removed them in October as conditions improved. We increased our inflation-linked bond exposure throughout the period, as we expect it to benefit from a rise in inflationary expectations. In September, we added a position in local-currency Romanian government bonds to take advantage of a steep yield curve and stable currency. Later in the year, we added to Hungarian bonds after a period of underperformance and in 2016, we increased our UK gilt and German bund exposure.

At the start of the 12-month period, we lowered exposure to Russia, Turkey and Romania within the Emerging Market Debt Fund. In May, we reduced portfolio risk through hedging our local-currency bonds, but unwound these positions in June. Primary-market activity picked up during the summer months and we participated in new issues from Argentina, Egypt, Gabon, Kazakhstan and Zambia. Conversely, we lowered our exposure to Latin America: we reduced our local position in Mexico and took an underweight position in Venezuela because of concerns about its ability to pay, amid falling oil prices. We also continually reduced our exposure to Brazil given political and fiscal concerns. After a strong period of performance for emerging-market bonds in October, we lowered our exposure to Serbian and Romanian sovereign bonds, and reduced our Russian issues from Veb Finance and Rosneft. Towards the end of 2015, we added to Argentina and Croatia amid expectations of favourable election results in both countries. Portfolio activity was quieter in the new year, but we further reduced our Zambian debt exposure, amid concerns about the country’s energy crisis, the impact of low copper prices and the depreciation of the currency.

Director

June 20, 2016

Past performance is not a guide to future performance. The value of investments and any income from them may go down as well as up.

Performance

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Threadneedle (Lux) Portfolios returns for the year ended March 31, 2016.

Portfolio1 Year Return**

Class A Class WThreadneedle (Lux) - Global Strategic Bond AU -2.84% -2.60%Threadneedle (Lux) - Global Corporate Bond AU 0.10% n/aThreadneedle (Lux) - European Strategic Bond* AE -0.29% -0.20%Threadneedle (Lux) - Emerging Market Corporate Bonds AU 0.00% 0.54%Threadneedle (Lux) - Emerging Market Debt AU 0.31% 0.79%Threadneedle (Lux) - Global Emerging Market Short-Term Bonds AU 1.31% 1.63%Threadneedle (Lux) - US$ High Income Bonds AU -0.44% n/aThreadneedle (Lux) - Flexible Asian Bond AU 1.12% n/aThreadneedle (Lux) - Global Asset Allocation AU -3.14% -3.05%Threadneedle (Lux) - Global Multi Asset Income AU 0.76% n/aThreadneedle (Lux) - Global Focus AU 0.22% 0.32%Threadneedle (Lux) - Global Emerging Market Equities AU -11.99% -12.15%Threadneedle (Lux) - Global Smaller Companies AE -7.60% n/aThreadneedle (Lux) - American AU -2.55% -2.22%Threadneedle (Lux) - American Select AU -2.52% -2.44%Threadneedle (Lux) - Asia Contrarian Equity AU -6.54% n/aThreadneedle (Lux) - Asian Focus AU -10.13% n/aThreadneedle (Lux) - Developed Asia Growth and Income AU -7.03% n/aThreadneedle (Lux) - US Contrarian Core Equities AU 0.33% n/aThreadneedle (Lux) - Pan European Equities AE -12.04% -11.97%Threadneedle (Lux) - Pan European Small Cap Opportunities AE 3.84% 3.78%Threadneedle (Lux) - European Select AE -9.99% n/aThreadneedle (Lux) - Asian Equity Income AU -6.97% -7.12%Threadneedle (Lux) - Greater China Equities AU -15.52% -15.66%Threadneedle (Lux) - Global Energy Equities AU -19.58% -19.30%Threadneedle (Lux) - Global Technology AU 5.30% n/aThreadneedle (Lux) - UK Equities AG 1.53% n/aThreadneedle (Lux) - American Absolute Alpha AU -1.32% n/aThreadneedle (Lux) - Global Opportunities Bond AU -6.97% n/aThreadneedle (Lux) - Enhanced Commodities AU -19.77% n/a

Portfolio Class 1 Year Return**

Threadneedle (Lux) - Global Equities - Walter Scott & Partners WS -4.18%Threadneedle (Lux) - Mondrian Investment Partners - Focused Emerging Markets Equity M -11.98%Threadneedle (Lux) - STANLIB Africa Equity IU -25.81%Threadneedle (Lux) - STANLIB Global Emerging Markets Property Securities IU -9.28%

The returns are stated in the currency in which the portfolios are denominated.

*See note 1.**Performance is for one year or since inception date for share classes launched in the period.

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Audit report

To the Shareholders ofThreadneedle (Lux)

We have audited the accompanying financial statements of Threadneedle (Lux) (the “SICAV”) and of each of its sub-funds, which comprise the Statement of Net Assets and the Portfolio Statement as at March 31, 2016 and the Statement of Operations and Changes in Net Assets for the year then ended, and a summary of significant accounting policies and other explanatory notes to the financial statements.

Responsibility of the Board of Directors of the SICAV for the financial statements

The Board of Directors of the SICAV is responsible for the preparation and fair presentation of these financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements and for such internal control as the Board of Directors of the SICAV determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error.

Responsibility of the “Réviseur d’entreprises agréé”

Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with International Standards on Auditing as adopted for Luxembourg by the “Commission de Surveillance du Secteur Financier”. Those standards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement.

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the judgment of the “Réviseur d’entreprises agréé”, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the “Réviseur d’entreprises agréé” considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by the Board of Directors of the SICAV, as well as evaluating the overall presentation of the financial statements.

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.

Opinion

In our opinion, the financial statements give a true and fair view of the financial position of the SICAV and of each of its sub-funds as of March 31, 2016, and of the results of their operations and changes in their net assets for the year then ended in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements.

Other matters

Supplementary information included in the annual report has been reviewed in the context of our mandate but has not been subject to specific audit procedures carried out in accordance with the standards described above. Consequently, we express no opinion on such information. However, we have no observation to make concerning such information in the context of the financial statements taken as a whole.

PricewaterhouseCoopers, Société coopérative Luxembourg, June 20, 2016Represented by

Steven Libby

PricewaterhouseCoopers, Société coopérative, 2 rue Gerhard Mercator, B.P. 1443, L-1014 LuxembourgT: +352 494848 1, F: +352 494848 2900, www.pwc.lu

Cabinet de révision agréé. Expert-comptable (autorisation gouvernementale n°10028256)R.C.S. Luxembourg B 65 477 - TVA LU25482518

Aggregated Financial Statements for Threadneedle (Lux)

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

2016Notes USD

2016Notes USD

STATEMENT OF NET ASSETS STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETSas at March 31, 2016 for the year ended March 31, 2016


AssetsInvestment portfolio at market value 2, 18 3,107,619,607Cash at bank 2 101,411,261Term deposits 2 125,414,200Receivable for investments sold 43,146,580Subscriptions receivable 6,905,367Interest receivable on swaps 6,572Interest and dividends receivable, net 12,416,683Net unrealised gain on forward foreign exchange contracts 2, 9 13,483,838Net unrealised gain on futures 2, 11 77,833Other assets 503,407

Total assets 3,410,985,348Liabilities

Bank overdrafts (747,349)Options sold at market Value 2, 12 (62,064)Payable for investments purchased (30,246,249)Redemptions payable (34,570,395)Interest payable on swaps 2 (69,558)Dividend payable on swaps 2 (24,691)Net unrealised (loss) on forward foreign exchange contracts 2, 9 (511,601)Net unrealised (loss) on swaps 2, 10 (2,155,541)Net unrealised (loss) on futures 2, 11 (1,429,080)Asset management fees payable 5 (3,129,398)Performance fees payable 8 (521,972)Unrealised capital gain tax on investment (864,564)Other liabilities (839,381)

Total liabilities (75,171,843)

Total net assets 3,335,813,505

Net assets at the beginning of the year 3,132,784,680Income

Dividends, net 2 40,401,158Interest on bonds, net 2 30,417,745Bank interest 2 359,334Interest income on swaps 4,140,012Commission on subscriptions and redemptions of shares 5 31,500Other income 265,540

Total income 75,615,289Expenses

Asset management fees 5 (36,803,036)Performance fees 8 (506,114)Bank fees (107,877)Dividends expenses (313,531)Interest expense on swaps (6,618,259)Interest expense on futures (11,345)Tax reclaims (41,715)Other operating expenses 5 (9,267,850)Custody and sub-custody fees 5 (123,077)Miscellaneous fees 4 (36,079)

Total expenses (53,828,883)

Net income from investments 21,786,406Net realised gain on sales of investments 13,385,049Net realised (loss) on swaps (75,287,705)Net realised gain on options 147,732Net realised gain on forward foreign exchange contracts 10,322,061Net realised (loss) on futures (5,742,355)Net realised (loss) on foreign exchange (3,010,651)Net realised (loss) on tax reclaim (140)

Net realised (loss) (60,186,009)Change in net unrealised (loss) on investments (119,535,249)Change in net unrealised (loss) on swaps (3,147,279)Change in net unrealised gain on options 4,063Change in net unrealised gain on forward foreign exchange contracts 1,766,536Change in net unrealised (loss) on futures (189,723)Change in net unrealised (loss) on capital gain tax (278,483)

Net change in unrealised (loss) (121,380,135)

Net (decrease) in net assets as a results of operations (159,779,738)Movements in capital

Subscriptions of shares 1,801,392,709Redemptions of shares (1,460,900,072)Dividends 7 (12,813,518)

Total movements in capital 327,679,119

Exchange differences 2 36,921,114Change in cross investments in Portfolios 18 (1,791,670)

Net assets at the end of the year 3,335,813,505


Threadneedle (Lux) - Global Strategic Bond

9

2016Notes USD

2016Notes USD



AssetsInvestment portfolio at market value 2 18,570,782Cash at bank 2 1,659,691Term deposits 2 1,500,440Receivable for investments sold 116,827Subscriptions receivable 153Interest receivable on swaps 142Interest and dividends receivable, net 168,580Net unrealised gain on forward foreign exchange contracts 2, 9 40,038Other assets 4

Total assets 22,056,657Liabilities

Payable for investments purchased (88,963)Redemptions payable (1,143)Interest payable on swaps 2 (1,286)Net unrealised (loss) on swaps 2, 10 (24,826)Net unrealised (loss) on futures 2, 11 (23,125)Asset management fees payable 5 (18,700)Other liabilities (5,495)

Total liabilities (163,538)

Total net assets 21,893,119

Net assets at the beginning of the year 18,692,249Income

Interest on bonds, net 2 689,202Bank interest 2 7,495Interest income on swaps 452,451Other income 30,614


Asset management fees 5 (220,623)Bank fees (1,573)Interest expense on swaps (534,750)Interest expense on futures (915)Other operating expenses 5 (64,314)

Total expenses (822,175)

Net income from investments 357,587Net realised (loss) on sales of investments (534,826)Net realised gain on swaps 328,507Net realised (loss) on options (4,033)Net realised (loss) on forward foreign exchange contracts (24,678)Net realised (loss) on futures (508,216)Net realised (loss) on foreign exchange (460,758)

Net realised (loss) (1,204,004)Change in net unrealised gain on investments 177,460Change in net unrealised (loss) on swaps (158,476)Change in net unrealised (loss) on forward foreign exchange contracts (108,683)Change in net unrealised gain on futures 36,830

Net change in unrealised (loss) (52,869)

Net (decrease) in net assets as a results of operations (899,286)Movements in capital

Subscriptions of shares 23,326,271Redemptions of shares (19,212,847)Dividends 7 (13,268)


Net assets at the end of the year 21,893,119

TOTAL NET ASSET VALUEMarch 31, 2016 March 31, 2015 March 31, 2014

USD 21,893,119 18,692,249 13,352,443

NUMBER OF SHARES OUTSTANDINGClass AEH 118,921.428Class AU 685,678.537Class DEC 17,613.740Class DEH 14,772.970Class DU 52,171.503Class W 13,582.528

STATEMENT OF NET ASSET VALUE PER SHAREMarch 31, 2016 March 31, 2015 March 31, 2014

Class AEH 14.291 14.891 15.551

Class AU 25.36 26.10 27.10Class DEC 9.401 10.321 11.221

Class DEH 11.281 11.771 12.331

Class DU 27.85 28.77 29.97Class W 54.37 55.82 57.811Class is denominated in EUR. The base currency of the Portfolio is USD.

Threadneedle (Lux) - Global Corporate Bond

10


2016Notes USD

2016Notes USD



AssetsInvestment portfolio at market value 2 18,787,594Cash at bank 2 606,906Receivable for investments sold 464,193Interest and dividends receivable, net 230,205Net unrealised gain on forward foreign exchange contracts 2, 9 62,175


Payable for investments purchased (503,334)Interest payable on swaps 2 (2,112)Net unrealised (loss) on swaps 2, 10 (41,124)Net unrealised (loss) on futures 2, 11 (13,071)Asset management fees payable 5 (8,091)Other liabilities (3,793)




Interest on bonds, net 2 666,690Bank interest 2 1,221Interest income on swaps 12,142

Total income 680,053Expenses

Asset management fees 5 (84,734)Bank fees (810)Interest expense on swaps (67,933)Interest expense on futures (24)Other operating expenses 5 (33,881)


Net income from investments 492,671Net realised (loss) on sales of investments (430,139)Net realised (loss) on swaps (113,870)Net realised (loss) on forward foreign exchange contracts (1,155,799)Net realised (loss) on futures (103,607)Net realised gain on foreign exchange 204,830

Net realised (loss) (1,598,585)Change in net unrealised gain on investments 236,789Change in net unrealised gain on swaps 175,274Change in net unrealised gain on forward foreign exchange contracts 61,776Change in net unrealised gain on futures 836

Net change in unrealised gain 474,675


Subscriptions of shares 5,405,400



TOTAL NET ASSET VALUEMarch 31, 2016 March 31, 2015

USD 19,579,548 14,805,387

NUMBER OF SHARES OUTSTANDINGClass AEC 180.000Class AEH 180.000Class AKH 163.000Class AU 250.000Class AUP 250.000Class DEH 180.000Class IEH 180.000Class IGH 1,288,314.251Class IKH 163.000Class IU 250.000Class ZGH 150.000Class ZU 250.000

STATEMENT OF NET ASSET VALUE PER SHAREMarch 31, 2016 March 31, 2015

Class AEC 10.301 10.381

Class AEH 10.301 10.381

Class AKH 103.102 104.072

Class AU 10.42 10.41Class AUP 10.42 10.41Class DEH 10.241 10.351

Class IEH 10.421 10.431

Class IGH 10.563 10.483

Class IKH 104.252 104.602

Class IU 10.53 10.46Class ZGH 10.513 10.463

Class ZU 10.49 10.451Class is denominated in EUR. The base currency of the Portfolio is USD.2Class is denominated in SEK. The base currency of the Portfolio is USD.3Class is denominated in GBP. The base currency of the Portfolio is USD.


Threadneedle (Lux) - European Strategic Bond*

11

2016Notes EUR

2016Notes EUR



AssetsInvestment portfolio at market value 2 63,555,238Cash at bank 2 2,280,610Receivable for investments sold 97,797Subscriptions receivable 545,214Interest and dividends receivable, net 765,444Net unrealised gain on forward foreign exchange contracts 2, 9 128,792Net unrealised gain on futures 2, 11 54,535Other assets 791


Payable for investments purchased (99,043)Redemptions payable (238,836)Asset management fees payable 5 (55,631)Other liabilities (15,565)




Interest on bonds, net 2 1,768,610Bank interest 2 868Interest income on swaps 102,467


Asset management fees 5 (681,918)Bank fees (8,721)Interest expense on swaps (204,495)Interest expense on futures (425)Other operating expenses 5 (187,394)


Net income from investments 788,992Net realised gain on sales of investments 81,133Net realised gain on swaps 123,055Net realised gain on options 86,275Net realised gain on forward foreign exchange contracts 1,111,262Net realised (loss) on futures (682,548)Net realised (loss) on foreign exchange (131,806)

Net realised gain 587,371Change in net unrealised (loss) on investments (1,939,817)Change in net unrealised gain on forward foreign exchange contracts 134,514Change in net unrealised gain on futures 83,445







EUR 67,019,346 65,221,883 34,057,067

NUMBER OF SHARES OUTSTANDINGClass AE 777,389.483Class AEP 391,288.038Class DE 735,691.049Class DEP 219,854.514Class IE 617,838.734Class W 2,795.141


Class AE 27.78 27.86 26.58Class AEP 15.55 15.85 15.47Class DE 26.78 27.01 25.91Class DEP 11.99 12.29 12.06Class IE 27.25 27.20 25.82Class W 58.86 58.98 56.23

*See note 1.

Threadneedle (Lux) - Emerging Market Corporate Bonds

12


2016Notes USD

2016Notes USD



AssetsInvestment portfolio at market value 2 33,419,134Cash at bank 2 1,732,449Term deposits 2 2,001,745Receivable for investments sold 1,850,474Subscriptions receivable 38,543Interest and dividends receivable, net 508,002Net unrealised gain on forward foreign exchange contracts 2, 9 681,964Other assets 183


Payable for investments purchased (1,094,940)Redemptions payable (36,440)Asset management fees payable 5 (45,869)Other liabilities (9,040)




Interest on bonds, net 2 2,586,977Bank interest 2 5,186


Asset management fees 5 (630,334)Bank fees (345)Other operating expenses 5 (126,263)


Net income from investments 1,835,221Net realised (loss) on sales of investments (1,264,382)Net realised gain on forward foreign exchange contracts 1,561,620Net realised gain on futures 1,313Net realised gain on foreign exchange 86,389

Net realised gain 384,940Change in net unrealised (loss) on investments (551,018)Change in net unrealised gain on forward foreign exchange contracts 1,442


Net increase in net assets as a results of operations 1,670,585Movements in capital


Total movements in capital (30,346,102)



USD 39,046,205 67,721,722 81,902,539

NUMBER OF SHARES OUTSTANDINGClass AEC 507,112.360Class AEH 416,737.715Class ASH 7,779.894Class AU 12,270.924Class AUP 1,057,634.209Class DEC 14,393.470Class DEH 241,756.109Class DU 80,051.541Class IEH 207,507.212Class P 5,789.321Class W 36,284.764Class WEH 20,662.956


Class AEC 14.191 15.041 15.311

Class AEH 19.051 19.151 18.541

Class ASH 11.642 11.552 11.172

Class AU 18.04 18.04 17.45Class AUP 8.16 8.61 8.75Class DEC 10.441 11.131 11.381

Class DEH 14.841 15.001 14.601

Class DU 14.27 14.34 13.94Class IEH 25.841 25.781 24.771

Class IU# – 10.09 –Class P 9.47 9.95 10.06Class W 24.21 24.08 23.18Class WEH 18.281 18.281 17.621

1Class is denominated in EUR. The base currency of the Portfolio is USD.2Class is denominated in SGD. The base currency of the Portfolio is USD.#See note 1.


Threadneedle (Lux) - Emerging Market Debt

13

2016Notes USD

2016Notes USD



NUMBER OF SHARES OUTSTANDINGClass AEC 85,777.246Class AEH 7,416.313Class ASH 2,065.186Class AU 113,170.526Class AUP 6,810,127.603Class DEH 33,943.264Class DU 16,494.259Class IEH 425,639.981Class SU 4,022.093Class SUP 183,842.683Class W 42,903.851Class ZU 200.000


Class AEC 10.991 11.631 12.311

Class AEH 24.151 24.171 24.201

Class ASH 10.462 10.362 10.342

Class AU 63.71 63.51 63.46Class AUP 12.07 12.71 13.40Class DEH 18.221 18.341 18.461


Class IGH – – 19.123

Class SU 25.77 25.69 25.67Class SUP 11.69 12.32 12.98Class W 52.08 51.67 51.36Class ZU 9.84 9.72 –1Class is denominated in EUR. The base currency of the Portfolio is USD.2Class is denominated in SGD. The base currency of the Portfolio is USD.3Class is denominated in GBP. The base currency of the Portfolio is USD.

AssetsInvestment portfolio at market value 2 98,439,880Cash at bank 2 5,297,328Receivable for investments sold 29,644,777Subscriptions receivable 26,622Interest and dividends receivable, net 1,708,519Net unrealised gain on forward foreign exchange contracts 2, 9 622,395Other assets 259,903


Payable for investments purchased (2,466,820)Redemptions payable (23,841,388)Asset management fees payable 5 (143,463)Other liabilities (29,909)






Asset management fees 5 (1,861,681)Bank fees (631)Interest expense on futures (22)Other operating expenses 5 (386,718)Miscellaneous fees 4 (3,286)


Net income from investments 6,584,635Net realised (loss) on sales of investments (10,535,150)Net realised gain on forward foreign exchange contracts 1,697,439Net realised gain on futures 161,092Net realised (loss) on foreign exchange (16,578)

Net realised (loss) (8,693,197)Change in net unrealised gain on investments 4,012,152Change in net unrealised gain on forward foreign exchange contracts 338,053Change in net unrealised gain on futures 162,096

Net change in unrealised gain 4,512,301


Subscriptions of shares 6,378,504Redemptions of shares (49,769,342)Dividends 7 (5,149,758)




USD 109,517,844 155,654,701 204,595,705

Threadneedle (Lux) - Global Emerging Market Short-Term Bonds

14


2016 Notes USD

2016 Notes USD



AssetsInvestment portfolio at market value 2 63,068,871Cash at bank 2 1,555,783Receivable for investments sold 4,622,489Subscriptions receivable 172,833Interest and dividends receivable, net 1,140,862Net unrealised gain on forward foreign exchange contracts 2, 9 907,605Net unrealised gain on futures 2, 11 15,641Other assets 1,249






Interest on bonds, net 2 4,585,263Bank interest 2 5,990Interest income on swaps 1,700


Asset management fees 5 (928,082)Bank fees (955)Interest expense on swaps (5,383)Other operating expenses 5 (201,755)


Net income from investments 3,456,778Net realised (loss) on sales of investments (4,038,177)Net realised (loss) on swaps (23,968)Net realised gain on forward foreign exchange contracts 2,567,394Net realised (loss) on futures (33,190)Net realised (loss) on foreign exchange (50,301)

Net realised (loss) (1,578,242)Change in net unrealised gain on investments 1,297,216Change in net unrealised gain on forward foreign exchange contracts 48,880Change in net unrealised gain on futures 36,954







USD 66,713,179 82,413,476 115,976,921

NUMBER OF SHARES OUTSTANDINGClass AEC 799,258.974Class AEH 305,381.809Class ASC 57,205.213Class ASH 16,155.450Class AU 135,250.433Class AUP 3,774,258.341Class DEH 530,756.770Class DU 174,159.084Class IEH 1,096,162.455Class W 43,020.776Class ZEH 15,590.000


Class AEC 6.571 6.891 7.371

Class AEH 14.271 14.181 14.411

Class ASC 8.232 8.542 9.072

Class ASH 9.832 9.642 9.762



Class W 18.08 17.79 18.00Class ZEH# 10.101 – –1Class is denominated in EUR. The base currency of the Portfolio is USD.2Class is denominated in SGD. The base currency of the Portfolio is USD.#See note 1.


Threadneedle (Lux) - US$ High Income Bonds

15

2016Notes USD

2016Notes USD



AssetsInvestment portfolio at market value 2 140,546,888Cash at bank 2 12,305,276Receivable for investments sold 160,734Subscriptions receivable 678,383Interest and dividends receivable, net 2,358,757Net unrealised gain on forward foreign exchange contracts 2, 9 789,986










Net income from investments 3,570,745Net realised (loss) on sales of investments (2,703,583)Net realised gain on forward foreign exchange contracts 465,200Net realised (loss) on foreign exchange (24,121)

Net realised (loss) (2,262,504)Change in net unrealised (loss) on investments (676,461)Change in net unrealised gain on forward foreign exchange contracts 562,791







USD 150,840,260 21,522,034 26,023,139

NUMBER OF SHARES OUTSTANDINGClass AEC 66,634.506Class AEH 48,480.724Class ASH 11,793.415Class AU 630,716.023Class AUP 1,004,886.940Class DEC 67,095.919Class DEH 45,643.090Class DU 55,990.173Class IEH 1,072,070.083Class ZU 7,912,811.885


Class AEC 13.831 14.701 15.001

Class AEH 27.821 28.091 27.271

Class ASH 12.002 11.982 11.602

Class AU 29.21 29.34 28.46Class AUP 13.26 14.03 14.29Class DEC 10.701 11.501 11.851

Class DEH 20.531 20.941 20.531


Class ZU 10.24 10.22 –1Class is denominated in EUR. The base currency of the Portfolio is USD.2Class is denominated in SGD. The base currency of the Portfolio is USD.

Threadneedle (Lux) - Flexible Asian Bond

16


2016Notes USD

2016Notes USD



AssetsInvestment portfolio at market value 2 20,623,225Cash at bank 2 19,435Receivable for investments sold 1,363,618Subscriptions receivable 1,504Interest and dividends receivable, net 238,309Net unrealised gain on forward foreign exchange contracts 2, 9 292,243Net unrealised gain on futures 2, 11 47


Bank overdrafts (44,876)Payable for investments purchased (685,921)Asset management fees payable 5 (14,429)Other liabilities (3,634)






Asset management fees 5 (164,298)Bank fees (1,046)Interest expense on swaps (25,309)Other operating expenses 5 (41,059)Miscellaneous fees 4 (5,598)


Net income from investments 677,808Net realised (loss) on sales of investments (759,063)Net realised gain on swaps 10,026Net realised (loss) on forward foreign exchange contracts (958,524)Net realised (loss) on futures (10,782)Net realised (loss) on foreign exchange (834)

Net realised (loss) (1,719,177)Change in net unrealised gain on investments 499,423Change in net unrealised gain on swaps 897Change in net unrealised gain on forward foreign exchange contracts 177,333Change in net unrealised gain on futures 16,485



Subscriptions of shares 2,736,004Redemptions of shares (189,217)




USD 21,789,521 19,589,965

NUMBER OF SHARES OUTSTANDINGClass AEH 250.000Class ASC 250.000Class ASH 1,835.233Class AU 8,854.407Class AUP 250.000Class DEH 250.000Class IEH 250.000Class IGH 1,375,274.398Class ISH 250.000Class IU 250.000Class ZU 1,200.570


Class AEH 10.721 10.671

Class ASC 10.632 10.462

Class ASH 10.872 10.702

Class AU 10.80 10.68Class AUP 10.57 10.46Class DEH 10.621 10.621

Class IEH 10.831 10.731

Class IGH 10.953 10.763

Class ISH 11.002 10.762

Class IU 10.91 10.74Class ZU 10.93 10.751Class is denominated in EUR. The base currency of the Portfolio is USD.2Class is denominated in SGD. The base currency of the Portfolio is USD.3Class is denominated in GBP. The base currency of the Portfolio is USD.


Threadneedle (Lux) - Global Asset Allocation

17

2016Notes USD

2016Notes USD



AssetsInvestment portfolio at market value 2 79,241,966Cash at bank 2 4,579,903Term deposits 2 1,500,547Receivable for investments sold 233,823Subscriptions receivable 365,676Interest and dividends receivable, net 392,660Other assets 6,669


Bank overdrafts (11)Payable for investments purchased (801,268)Redemptions payable (229,381)Net unrealised (loss) on forward foreign exchange contracts 2, 9 (252,779)Net unrealised (loss) on futures 2, 11 (410,037)Asset management fees payable 5 (113,286)Other liabilities (27,410)




Dividends, net 2 593,744Interest on bonds, net 2 861,880Bank interest 2 8,236


Asset management fees 5 (1,434,525)Bank fees (1,376)Interest expense on futures (1,730)Tax reclaims (1,153)Other operating expenses 5 (305,800)


Net (loss) from investments (280,724)Net realised gain on sales of investments 503,912Net realised gain on forward foreign exchange contracts 2,136,494Net realised (loss) on futures (475,970)Net realised gain on foreign exchange 481,079Net realised (loss) on tax reclaim (55)

Net realised gain 2,645,460Change in net unrealised (loss) on investments (2,495,199)Change in net unrealised (loss) on forward foreign exchange contracts (1,197,871)Change in net unrealised (loss) on futures (357,816)







USD 84,487,072 91,776,819 94,094,418

NUMBER OF SHARES OUTSTANDINGClass AEC 107,654.602Class AEH 597,429.479Class AU 830,763.625Class AUP 997,475.512Class DEH 262,455.338Class DU 550,399.264Class IGH 17,800.770Class IU 160,183.419Class W 44,015.490


Class AEC 13.071 13.781 13.521

Class AEH 24.781 25.721 24.771


Class DU 22.63 23.55 22.80Class IGH 23.452 24.002 22.802

Class IU 23.81 24.37 23.23Class W 55.02 56.75 54.491Class is denominated in EUR. The base currency of the Portfolio is USD.2Class is denominated in GBP. The base currency of the Portfolio is USD.

Threadneedle (Lux) - Global Multi Asset Income

18


2016Notes USD

2016Notes USD



NUMBER OF SHARES OUTSTANDINGClass AEC 1,101,728.262Class AEH 144,550.938Class AEP 100.000Class AU 190,971.018Class AUP 116,538.964Class DEC 1,341,832.716Class DEP 8,828.915Class DU 106,974.588Class DUP 762,511.201Class ZEC 164,600.018


Class AEC 9.551 10.161 –Class AEH 15.791 15.761 15.151

Class AEP# 9.961 – –Class AGH# – 15.972 15.252

Class AU 16.01 15.89 15.22Class AUP# 9.98 – –Class DEC 9.451 10.131 –Class DEP# 9.781 – –Class DU 10.29 10.30 –Class DUP 9.51 10.15 –Class IEH – – 20.441

Class IGH – – 20.572

Class IU – – 20.54Class ZEC 9.501 10.061 –Class ZGH# – 16.132 15.342

1Class is denominated in EUR. The base currency of the Portfolio is USD.2Class is denominated in GBP. The base currency of the Portfolio is USD.#See note 1.

AssetsInvestment portfolio at market value 2 41,246,458Cash at bank 2 1,442,055Receivable for investments sold 150,551Subscriptions receivable 103,765Interest and dividends receivable, net 382,796Net unrealised gain on forward foreign exchange contracts 2, 9 312,143Other assets 2,839


Bank overdrafts (59,008)Options sold at market value 2, 12 (62,064)Payable for investments purchased (108,200)Redemptions payable (4,710)Asset management fees payable 5 (56,577)Other liabilities (11,334)




Dividends, net 2 507,760Interest on bonds, net 2 691,677Bank interest 2 1,949


Asset management fees 5 (433,341)Bank fees (252)Interest expense on futures (590)Other operating expenses 5 (81,014)


Net income from investments 686,189Net realised (loss) on sales of investments (170,171)Net realised gain on options 28,235Net realised gain on forward foreign exchange contracts 784,466Net realised (loss) on futures (21)Net realised (loss) on foreign exchange (92,244)Net realised (loss) on tax reclaim (36)

Net realised gain 550,229Change in net unrealised (loss) on investments (25,827)Change in net unrealised gain on options 4,063Change in net unrealised gain on forward foreign exchange contracts 13,463







USD 43,338,714 12,634,399 13,319,492


Threadneedle (Lux) - Global Focus

19

2016Notes USD

2016Notes USD



NUMBER OF SHARES OUTSTANDINGClass AEH 566,601.105Class AU 351,306.301Class DEH 16,387.895Class DU 101,620.070Class W 23,014.468Class ZU 1,726,200.000


Class AEH 29.871 29.841 27.501

Class AU 44.84 44.74 41.28Class DEH 22.381 22.521 20.911

Class DU 24.19 24.32 22.62Class W 68.26 68.04 62.72Class ZU 10.68 10.59 –1Class is denominated in EUR. The base currency of the Portfolio is USD.

AssetsInvestment portfolio at market value 2 57,013,204Cash at bank 2 547,708Subscriptions receivable 39,646Interest and dividends receivable, net 46,718Net unrealised gain on forward foreign exchange contracts 2, 9 501,170Other assets 3,930


Redemptions payable (145,601)Asset management fees payable 5 (58,956)Other liabilities (15,396)




Dividends, net 2 500,045Bank interest 2 5,313


Asset management fees 5 (641,036)Bank fees (185)Tax reclaims (649)Other operating expenses 5 (146,634)


Net (loss) from investments (283,146)Net realised gain on sales of investments 2,759,532Net realised gain on forward foreign exchange contracts 919,032Net realised gain on foreign exchange 18,886Net realised (loss) on tax reclaim (33)

Net realised gain 3,697,417Change in net unrealised (loss) on investments (1,721,108)Change in net unrealised gain on forward foreign exchange contracts 150,756



Subscriptions of shares 27,577,872Redemptions of shares (11,016,842)




USD 57,932,423 39,527,474 46,744,524

Threadneedle (Lux) - Global Emerging Market Equities

20


2016Notes USD

2016Notes USD



AssetsInvestment portfolio at market value 2 3,996,137Cash at bank 2 296,580Receivable for investments sold 9,611Interest and dividends receivable, net 7,778Net unrealised gain on forward foreign exchange contracts 2, 9 13,370Other assets 215


Payable for investments purchased (10,493)Redemptions payable (11,648)Asset management fees payable 5 (7,976)Unrealised capital gain tax on investment (4,699)Other liabilities (1,210)




Dividends, net 2 120,312Bank interest 2 298




Net (loss) from investments (16,083)Net realised (loss) on sales of investments (867,385)Net realised gain on forward foreign exchange contracts 86,517Net realised (loss) on foreign exchange (7,447)

Net realised (loss) (788,315)Change in net unrealised (loss) on investments (126,218)Change in net unrealised (loss) on forward foreign exchange contracts (661)







USD 4,287,665 6,697,482 3,940,731

NUMBER OF SHARES OUTSTANDINGClass AEH 6,143.646Class AU 15,602.328Class DEH 12,882.544Class DU 112,934.532Class IEH 3,171.848Class W 591.752Class ZU 200.000


Class AEH 26.611 30.241 30.051



Class W 35.95 40.92 40.72Class ZU 8.38 9.44 –1Class is denominated in EUR. The base currency of the Portfolio is USD.


Threadneedle (Lux) - Global Smaller Companies

21

2016Notes EUR

2016Notes EUR



AssetsInvestment portfolio at market value 2 5,228,127Cash at bank 2 36,918Receivable for investments sold 37,399Interest and dividends receivable, net 4,864Other assets 1,962


Redemptions payable (57,271)Net unrealised (loss) on forward foreign exchange contracts 2, 9 (19,788)Asset management fees payable 5 (5,741)Other liabilities (1,389)








Net (loss) from investments (28,400)Net realised gain on sales of investments 395,257Net realised (loss) on forward foreign exchange contracts (148,120)Net realised (loss) on foreign exchange (3,332)

Net realised gain 243,805Change in net unrealised (loss) on investments (803,544)Change in net unrealised gain on forward foreign exchange contracts 5,414




Total movements in capital 562,980



EUR 5,225,081 5,244,826 4,981,332

NUMBER OF SHARES OUTSTANDINGClass AE 114,125.336Class AGH 3,870.058Class DE 53,384.825Class IE 18,627.469Class IGH 42,013.396Class ZGH 1,167.777


Class AE 20.17 21.83 16.05Class AGH 20.171 21.931 16.151

Class DE 15.78 17.16 12.68Class IE 27.97 30.01 21.88Class IGH 27.021 29.131 21.271

Class ZGH 19.721 21.251 15.551

1Class is denominated in GBP. The base currency of the Portfolio is EUR.

Threadneedle (Lux) - American

22


2016Notes USD

2016Notes USD



AssetsInvestment portfolio at market value 2 193,999,094Cash at bank 2 2,120,196Receivable for investments sold 4,372Subscriptions receivable 200,325Interest and dividends receivable, net 170,293Net unrealised gain on forward foreign exchange contracts 2, 9 883,913Other assets 215


Redemptions payable (435,909)Asset management fees payable 5 (200,029)Other liabilities (48,815)




Dividends, net 2 2,028,775Bank interest 2 3,436


Asset management fees 5 (2,208,656)Bank fees (467)Tax reclaims (20,723)Other operating expenses 5 (522,577)


Net (loss) from investments (720,212)Net realised gain on sales of investments 6,924,457Net realised gain on forward foreign exchange contracts 666,882Net realised gain on foreign exchange 17,861








USD 196,693,655 166,739,890 215,572,150

NUMBER OF SHARES OUTSTANDINGClass AEH 59,266.049Class AU 1,217,259.375Class DEH 109,094.284Class DU 1,442,132.783Class IEH 750,107.482Class IU 2,097,308.270Class W 12,328.824


Class AEH 33.061 33.891 30.731



Class IU 33.33 33.93 30.55Class W 66.93 68.45 61.911Class is denominated in EUR. The base currency of the Portfolio is USD.


Threadneedle (Lux) - American Select

23

2016Notes USD

2016Notes USD



NUMBER OF SHARES OUTSTANDINGClass AEH 10,475.878Class AU 190,026.763Class DEH 17,907.399Class DU 65,557.984Class IEH 13,335.071Class W 49,494.420Class ZFH 607.169


Class AEH 20.841 21.381 20.311



Class IU – – 25.32Class W 17.97 18.42 17.48Class ZFH 15.472 15.882 15.012

1Class is denominated in EUR. The base currency of the Portfolio is USD.2Class is denominated in CHF. The base currency of the Portfolio is USD.

AssetsInvestment portfolio at market value 2 5,990,417Cash at bank 2 26,017Subscriptions receivable 1,374Interest and dividends receivable, net 3,996Net unrealised gain on forward foreign exchange contracts 2, 9 23,377


Redemptions payable (314)Asset management fees payable 5 (8,119)Other liabilities (1,747)






Asset management fees 5 (121,000)Bank fees (6)Tax reclaims (1,029)Other operating expenses 5 (26,089)


Net (loss) from investments (53,155)Net realised gain on sales of investments 523,467Net realised gain on forward foreign exchange contracts 65,105Net realised (loss) on foreign exchange (2,197)

Net realised gain 586,375Change in net unrealised (loss) on investments (596,819)Change in net unrealised (loss) on forward foreign exchange contracts (1,588)



Subscriptions of shares 504,280Redemptions of shares (5,382,191)




USD 6,035,001 10,978,099 41,558,352

Threadneedle (Lux) - Asia Contrarian Equity

24


2016Notes USD

2016Notes USD



NUMBER OF SHARES OUTSTANDINGClass AE 100.000Class AF 100.000Class ASH 3,338.056Class AU 2,134.957Class DE 100.000Class IE 100.000Class IF 100.000Class ISH 630.000Class IU 497,000.000Class ZE 100.000Class ZEH 360.000Class ZF 100.000Class ZU 121,481.360


Class AE# 10.201 –Class AF# 10.272 –Class ASH 10.173 10.863

Class AU 10.14 10.85Class DE# 10.151 –Class IE# 10.241 –Class IF# 10.312 –Class ISH 10.313 10.943

Class IU 10.28 10.92Class ZE# 10.251 –Class ZEH 10.271 10.911

Class ZF# 10.312 –Class ZU 10.28 10.921Class is denominated in EUR. The base currency of the Portfolio is USD.2Class is denominated in CHF. The base currency of the Portfolio is USD.3Class is denominated in SGD. The base currency of the Portfolio is USD.#See note 1.

AssetsInvestment portfolio at market value 2 6,261,395Cash at bank 2 577,813Interest and dividends receivable, net 25,907Net unrealised gain on forward foreign exchange contracts 2, 9 827










Net income from investments 100,861Net realised (loss) on sales of investments (433,023)Net realised (loss) on forward foreign exchange contracts (2,330)Net realised (loss) on foreign exchange (16,295)

Net realised (loss) (451,648)Change in net unrealised (loss) on investments (64,898)Change in net unrealised gain on forward foreign exchange contracts 553



Subscriptions of shares 1,056,847Redemptions of shares (368,252)




USD 6,423,002 6,149,539


Threadneedle (Lux) - Asian Focus

25

2016Notes USD

2016Notes USD



NUMBER OF SHARES OUTSTANDINGClass AE 100.000Class AF 100.000Class ASH 31,880.415Class AU 32,822.265Class DE 100.000Class DEH 360.000Class IE 100.000Class IF 100.000Class ISH 630.000Class IU 496,500.000Class ZE 100.000Class ZEH 360.000Class ZF 100.000Class ZU 21,065.022


Class AE# 10.201 –Class AF# 10.182 –Class ASH 10.163 11.263

Class AU 10.11 11.25Class DE# 10.151 –Class DEH 9.921 11.131

Class IE# 10.231 –Class IF# 10.222 –Class ISH 10.313 11.333

Class IU 10.26 11.32Class ZE# 10.241 –Class ZEH 10.251 11.301

Class ZF# 10.222 –Class ZU 10.25 11.321Class is denominated in EUR. The base currency of the Portfolio is USD.2Class is denominated in CHF. The base currency of the Portfolio is USD.3Class is denominated in SGD. The base currency of the Portfolio is USD.#See note 1.

AssetsInvestment portfolio at market value 2 5,418,700Cash at bank 2 524,667Receivable for investments sold 302,265Interest and dividends receivable, net 9,411Net unrealised gain on forward foreign exchange contracts 2, 9 6,060Other assets 153


Payable for investments purchased (354,565)Asset management fees payable 5 (4,402)Other liabilities (1,274)








Net income from investments 50,045Net realised (loss) on sales of investments (430,836)Net realised gain on forward foreign exchange contracts 1,249Net realised (loss) on foreign exchange (10,244)

Net realised (loss) (439,831)Change in net unrealised (loss) on investments (235,544)Change in net unrealised gain on forward foreign exchange contracts 5,251



Subscriptions of shares 462,220Redemptions of shares (433,750)




USD 5,901,015 6,492,624

Threadneedle (Lux) - Developed Asia Growth and Income

26


2016Notes USD

2016Notes USD



NUMBER OF SHARES OUTSTANDINGClass AE 100.000Class AEP 100.000Class AF 100.000Class AFP 100.000Class ASC 2,585,614.485Class ASH 134,423.504Class AU 482,113.505Class AUP 169,274.065Class AVC 156,681.613Class AVH 168,472.771Class DE 100.000Class IE 100.000Class IEP 100.000Class IF 100.000Class IFP 100.000Class ISH 630.000Class IU 495,500.000Class IUP 100.000Class ZE 100.000Class ZEH 360.000Class ZEP 100.000Class ZF 100.000Class ZFP 100.000Class ZU 66,886.157Class ZUP 100.000

AssetsInvestment portfolio at market value 2 32,507,916Cash at bank 2 1,747,376Subscriptions receivable 37,733Interest and dividends receivable, net 104,456Net unrealised gain on forward foreign exchange contracts 2, 9 531,103Other assets 80


Bank overdrafts (26,641)Payable for investments purchased (876,022)Redemptions payable (21,622)Asset management fees payable 5 (38,517)Other liabilities (9,301)






Asset management fees 5 (487,425)Bank fees (1,866)Other operating expenses 5 (117,622)


Net income from investments 444,286Net realised (loss) on sales of investments (900,020)Net realised gain on forward foreign exchange contracts 716,008Net realised (loss) on foreign exchange (20,693)

Net realised (loss) (204,705)Change in net unrealised gain on investments 72,859Change in net unrealised gain on forward foreign exchange contracts 48,356


Net increase in net assets as a results of operations 360,796Movements in capital





USD 33,956,561 57,589,333



27



Class AE# 10.231 –Class AEP# 10.231 –Class AF# 10.222 –Class AFP# 10.222 –Class ASC 9.493 10.563

Class ASH 10.133 10.863

Class AU 10.18 10.95Class AUP 9.60 10.70Class AVC 9.314 10.324

Class AVH 9.574 10.214

Class DE# 10.171 –Class IE# 10.261 –Class IEP# 10.261 –Class IF# 10.262 –Class IFP# 10.262 –Class ISH 10.283 10.943

Class IU 10.33 11.02Class IUP# 10.55 –Class ZE# 10.271 –Class ZEH 10.231 10.911

Class ZEP# 10.271 –Class ZF# 10.262 –Class ZFP# 10.262 –Class ZU 10.33 11.02Class ZUP# 10.49 –1Class is denominated in EUR. The base currency of the Portfolio is USD.2Class is denominated in CHF. The base currency of the Portfolio is USD.3Class is denominated in SGD. The base currency of the Portfolio is USD.4Class is denominated in AUD. The base currency of the Portfolio is USD.#See note 1.

Threadneedle (Lux) - US Contrarian Core Equities

28


2016Notes USD

2016Notes USD



NUMBER OF SHARES OUTSTANDINGClass AEC 100.000Class AEH 16,655.317Class ASH 3,000.000Class AU 7,488,406.411Class AUP 492,293.000Class DEH 1,387.445Class DU 4,876.664Class IFH 2,600.000Class IU 11,214,014.876Class ZEH 360,549.000Class ZFH 200.000Class ZGH 200.000Class ZU 6,655,415.104


Class AEC# 10.901 – –Class AEH 16.571 16.531 15.031

Class ASH 12.462 12.352 11.202

Class AU 27.05 26.96 24.52Class AUP# 10.86 – –Class DEH 14.221 14.271 13.031

Class DU 13.85 13.87 12.82Class IFH 25.833 25.843 23.293

Class IU 37.35 36.92 33.31Class ZEH 10.351 10.251 –Class ZFH 10.293 10.283 –Class ZGH 10.414 10.294 –Class ZU 10.38 10.28 –1Class is denominated in EUR. The base currency of the Portfolio is USD.2Class is denominated in SGD. The base currency of the Portfolio is USD.3Class is denominated in CHF. The base currency of the Portfolio is USD.4Class is denominated in GBP. The base currency of the Portfolio is USD.#See note 1.

AssetsInvestment portfolio at market value 2 686,201,420Cash at bank 2 17,318,428Receivable for investments sold 1,547,569Subscriptions receivable 1,042,835Interest and dividends receivable, net 644,890Net unrealised gain on forward foreign exchange contracts 2, 9 121,401Other assets 3,495








Asset management fees 5 (5,844,512)Bank fees (388)Tax reclaims (13,863)Other operating expenses 5 (1,703,657)


Net income from investments 351,362Net realised (loss) on sales of investments (1,453,529)Net realised gain on forward foreign exchange contracts 176,124Net realised gain on foreign exchange 576,572

Net realised (loss) (700,833)Change in net unrealised gain on investments 8,175,579Change in net unrealised gain on forward foreign exchange contracts 34,041







USD 700,588,642 497,060,405 206,392,032


Threadneedle (Lux) - Pan European Equities

29

2016Notes EUR

2016Notes EUR



AssetsInvestment portfolio at market value 2 122,422,995Cash at bank 2 4,252,255Subscriptions receivable 258,775Interest and dividends receivable, net 325,107Other assets 66,016


Redemptions payable (3,724,322)Net unrealised (loss) on forward foreign exchange contracts 2, 9 (118,559)Asset management fees payable 5 (118,283)Other liabilities (56,556)




Dividends, net 2 3,965,692Bank interest 2 249


Asset management fees 5 (1,722,626)Bank fees (3,785)Other operating expenses 5 (467,252)


Net income from investments 1,772,278Net realised gain on sales of investments 14,217,124Net realised (loss) on forward foreign exchange contracts (1,438,177)Net realised (loss) on foreign exchange (168,071)








EUR 123,307,428 176,032,528 188,627,013

NUMBER OF SHARES OUTSTANDINGClass AE 661,681.834Class ASH 1,684,623.261Class AUH 213,402.529Class DE 405,292.086Class IE 555,623.032Class W 105,358.548Class XE 872,768.946Class ZUH 200.000


Class AE 53.98 61.37 50.38Class ASH 14.441 16.461 13.531

Class AUH 16.792 19.332 15.962

Class DE 19.96 22.87 18.91Class IE 36.48 41.14 33.50Class W 45.22 51.37 42.12Class XE 40.64 45.42 36.66Class ZUH 10.552 12.052 –1Class is denominated in SGD. The base currency of the Portfolio is EUR.2Class is denominated in USD. The base currency of the Portfolio is EUR.

Threadneedle (Lux) - Pan European Small Cap Opportunities

30


2016Notes EUR

2016Notes EUR



AssetsInvestment portfolio at market value 2 301,518,822Cash at bank 2 4,783,011Receivable for investments sold 440,600Subscriptions receivable 643,723Interest and dividends receivable, net 199,090Other assets 88,466


Payable for investments purchased (4,826,255)Redemptions payable (547,552)Net unrealised (loss) on forward foreign exchange contracts 2, 9 (17,363)Asset management fees payable 5 (337,863)Other liabilities (79,070)






Asset management fees 5 (3,873,300)Bank fees (9,651)Other operating expenses 5 (903,678)


Net (loss) from investments (779,593)Net realised gain on sales of investments 27,527,349Net realised (loss) on forward foreign exchange contracts (541,224)Net realised (loss) on foreign exchange (60,073)Net realised (loss) on tax reclaim (14)








EUR 301,865,609 239,003,228 215,802,692

NUMBER OF SHARES OUTSTANDINGClass AE 4,711,413.347Class ASH 1,043,565.476Class DE 1,213,233.856Class IE 3,195,127.618Class W 17,224.247


Class AE 29.77 28.67 23.29Class ASH 18.981 18.321 14.901

Class DE 28.08 27.29 22.37Class IE 36.03 34.44 27.77Class W 49.93 48.11 39.101Class is denominated in SGD. The base currency of the Portfolio is EUR.


Threadneedle (Lux) - European Select

31

2016Notes EUR

2016Notes EUR



AssetsInvestment portfolio at market value 2 9,217,957Cash at bank 2 65,470Subscriptions receivable 15,138Other assets 2,525


Redemptions payable (9,113)Net unrealised (loss) on forward foreign exchange contracts 2, 9 (71,417)Asset management fees payable 5 (7,322)Other liabilities (2,446)








Net income from investments 63,511Net realised gain on sales of investments 481,904Net realised (loss) on forward foreign exchange contracts (337,101)Net realised gain on foreign exchange 11,537

Net realised gain 156,340Change in net unrealised (loss) on investments (1,637,316)Change in net unrealised (loss) on forward foreign exchange contracts (33,240)







EUR 9,210,792 6,927,633 6,252,423

NUMBER OF SHARES OUTSTANDINGClass AE 89,908.712Class AGH 6,315.446Class AUH 98,798.680Class IE 144,246.977Class ZGH 81,066.061


Class AE 18.83 20.92 16.17Class AGH 19.321 21.461 16.541

Class AUH 19.012 21.202 16.412

Class IE 25.98 28.62 21.94Class ZGH 19.261 21.341 16.411

1Class is denominated in GBP. The base currency of the Portfolio is EUR.2Class is denominated in USD. The base currency of the Portfolio is EUR.

Threadneedle (Lux) - Asian Equity Income

32


2016Notes USD

2016Notes USD



AssetsInvestment portfolio at market value 2 34,608,743Cash at bank 2 971,066Subscriptions receivable 2,636Interest and dividends receivable, net 132,927Net unrealised gain on forward foreign exchange contracts 2, 9 15,504


Redemptions payable (259,796)Asset management fees payable 5 (45,053)Unrealised capital gain tax on investment (11,606)Other liabilities (10,255)








Net income from investments 947,346Net realised (loss) on sales of investments (3,648,947)Net realised gain on forward foreign exchange contracts 48,778Net realised (loss) on foreign exchange (72,024)

Net realised (loss) (3,672,193)Change in net unrealised gain on investments 144,478Change in net unrealised (loss) on forward foreign exchange contracts (1,814)







USD 35,404,166 32,946,312 27,420,392

NUMBER OF SHARES OUTSTANDINGClass AEH 9,563.796Class AU 502,341.690Class DEH 12,058.751Class DU 22,102.045Class W 48,864.940Class ZGH 1,000.000


Class AEH 28.491 30.551 30.231


Class DU 32.10 34.86 34.74Class W 47.25 50.87 50.27Class ZGH 15.032 15.982 15.622

1Class is denominated in EUR. The base currency of the Portfolio is USD.2Class is denominated in GBP. The base currency of the Portfolio is USD.


Threadneedle (Lux) - Greater China Equities

33

2016Notes USD

2016Notes USD



AssetsInvestment portfolio at market value 2 3,825,561Cash at bank 2 26,772Receivable for investments sold 43,150Subscriptions receivable 458Interest and dividends receivable, net 10Net unrealised gain on forward foreign exchange contracts 2, 9 13,371


Payable for investments purchased (11,766)Asset management fees payable 5 (5,805)Other liabilities (1,126)






Asset management fees 5 (102,418)Bank fees (9)Other operating expenses 5 (19,733)Miscellaneous fees 4 (295)


Net income from investments 30,930Net realised gain on sales of investments 337,067Net realised gain on forward foreign exchange contracts 162,993Net realised gain on foreign exchange 9,242

Net realised gain 509,302Change in net unrealised (loss) on investments (1,555,730)Change in net unrealised (loss) on forward foreign exchange contracts (33,023)







USD 3,890,625 6,850,511 6,135,495

NUMBER OF SHARES OUTSTANDINGClass AEH 9,871.936Class AU 53,086.734Class DEH 8,356.991Class DU 30,895.625Class W 2,086.219


Class AEH 29.091 34.181 30.291


Class DU 31.73 37.94 33.90Class W 39.86 47.26 41.881Class is denominated in EUR. The base currency of the Portfolio is USD.

Threadneedle (Lux) - Global Energy Equities

34


2016Notes USD

2016Notes USD



AssetsInvestment portfolio at market value 2 23,599,535Cash at bank 2 1,211,845Receivable for investments sold 1,264Subscriptions receivable 515,110Interest and dividends receivable, net 32,480Net unrealised gain on forward foreign exchange contracts 2, 9 303,938










Net income from investments 190,984Net realised (loss) on sales of investments (873,167)Net realised gain on forward foreign exchange contracts 365,786Net realised gain on foreign exchange 1,656

Net realised (loss) (505,725)Change in net unrealised (loss) on investments (5,009,143)Change in net unrealised gain on forward foreign exchange contracts 220,998







USD 25,172,595 19,125,470 15,046,763

NUMBER OF SHARES OUTSTANDINGClass AEH 467,480.768Class AU 424,333.922Class DEH 105,088.534Class DU 102,061.566Class W 13,342.359


Class AEH 19.031 23.661 28.321


Class DU 19.26 24.07 28.88Class IU – – 24.30Class W 30.61 37.93 45.121Class is denominated in EUR. The base currency of the Portfolio is USD.


Threadneedle (Lux) - Global Technology

35

2016Notes USD

2016Notes USD



AssetsInvestment portfolio at market value 2 27,723,654Cash at bank 2 277,178Receivable for investments sold 147,573Subscriptions receivable 8,579Interest and dividends receivable, net 11,029Net unrealised gain on forward foreign exchange contracts 2, 9 6,592Other assets 91






Dividends, net 2 163,490Bank interest 2 1,008Other income 70


Asset management fees 5 (564,928)Bank fees (246)Tax reclaims (2,254)Other operating expenses 5 (101,069)


Net (loss) from investments (503,929)Net realised gain on sales of investments 5,618,103Net realised gain on forward foreign exchange contracts 16,806Net realised gain on foreign exchange 509

Net realised gain 5,635,418Change in net unrealised (loss) on investments (4,106,063)Change in net unrealised (loss) on forward foreign exchange contracts (2,297)







USD 27,982,645 37,441,092 22,852,189

NUMBER OF SHARES OUTSTANDINGClass AEH 10,481.753Class AU 189,423.595Class BU 163,972.146Class DU 416,589.153Class ZU 1,469.000


Class AEH 22.941 21.731 17.921

Class AU 27.02 25.66 21.20Class BU 34.89 33.22 27.51Class DU 40.45 38.51 31.89Class ZU 11.78 11.08 –1Class is denominated in EUR. The base currency of the Portfolio is USD.

Threadneedle (Lux) - Global Equities - Walter Scott & Partners

36


2016Notes EUR

2016Notes EUR



AssetsInvestment portfolio at market value 2 150,018,097Cash at bank 2 6,804,808Interest and dividends receivable, net 201,931Other assets 32,221


Asset management fees payable 5 (133,006)Other liabilities (29,674)






Asset management fees 5 (1,589,257)Bank fees (11,905)Other operating expenses 5 (317,851)Custody and sub-custody fees 5 (21,768)


Net income from investments 531,493Net realised gain on sales of investments 5,066,373Net realised (loss) on foreign exchange (105,400)

Net realised gain 4,960,973Change in net unrealised (loss) on investments (12,291,104)



Subscriptions of shares 1,098,189




EUR 156,894,377 162,594,826 120,006,889

NUMBER OF SHARES OUTSTANDINGClass WS 2,686,388.664


Class WS 58.40 60.95 45.34


Threadneedle (Lux) - Mondrian Investment Partners - Focused Emerging Markets Equity

37

2016Notes USD

2016Notes USD



AssetsInvestment portfolio at market value 2 210,341,719Cash at bank 2 4,587,801Receivable for investments sold 208,037Interest and dividends receivable, net 715,960


Asset management fees payable 5 (165,455)Unrealised capital gain tax on investment (809,161)Other liabilities (45,997)




Dividends, net 2 6,022,983Bank interest 2 12,559Commission on subscriptions and redemptions of shares 5 31,500


Asset management fees 5 (2,059,718)Bank fees (43)Other operating expenses 5 (433,625)Custody and sub-custody fees 5 (98,271)Miscellaneous fees 4 (26,900)


Net income from investments 3,448,485Net realised (loss) on sales of investments (19,545,442)Net realised (loss) on foreign exchange (19,361)

Net realised (loss) (19,564,803)Change in net unrealised (loss) on investments (12,466,097)Change in net unrealised (loss) on capital gain tax (239,386)







USD 214,832,904 244,767,705 373,733,565

NUMBER OF SHARES OUTSTANDINGClass M 6,737,281.897


Class M 31.89 36.23 37.24

Threadneedle (Lux) - UK Equities

38


2016Notes GBP

2016Notes GBP



AssetsInvestment portfolio at market value 2 97,710,822Cash at bank 2 81Receivable for investments sold 341,803Subscriptions receivable 485,715Interest and dividends receivable, net 522,223Net unrealised gain on forward foreign exchange contracts 2, 9 81,698Other assets 3,619


Bank overdrafts (98,012)Redemptions payable (692,787)Asset management fees payable 5 (82,370)Other liabilities (25,974)








Net income from investments 2,099,019Net realised gain on sales of investments 3,941,985Net realised gain on forward foreign exchange contracts 556,960Net realised gain on foreign exchange 431








GBP 98,246,818 127,452,839 104,057,348

NUMBER OF SHARES OUTSTANDINGClass AEH 121,439.800Class AG 919,316.374Class AGP 407,646.217Class IEH 251,375.027Class IG 229,972.606Class IGP 732,543.000Class ZEH 100.000Class ZFH 100.000Class ZG 1,560,436.722Class ZGP 100.000Class ZUH 100.000


Class AEH 17.401 17.151 16.091

Class AG 23.16 22.81 21.37Class AGP 20.70 21.13 20.38Class IEH 24.921 24.371 22.691

Class IG 31.96 31.23 29.02Class IGP 28.73 29.07 27.73Class ZEH# 10.331 – –Class ZFH# 10.162 – –Class ZG 21.45 20.98 19.50Class ZGP# 10.34 – –Class ZUH# 10.173 – –1Class is denominated in EUR. The base currency of the Portfolio is GBP.2Class is denominated in CHF. The base currency of the Portfolio is GBP.3Class is denominated in USD. The base currency of the Portfolio is GBP.#See note 1.


Threadneedle (Lux) - STANLIB Africa Equity

39

2016Notes USD

2016Notes USD





Payable for investments purchased (309,420)Asset management fees payable 5 (14,969)Unrealised capital gain tax on investment (39,097)Other liabilities (4,191)




Dividends, net 2 469,527Bank interest 2 2,030Other income 20,998




Net income from investments 225,327Net realised (loss) on sales of investments (3,959,402)Net realised gain on forward foreign exchange contracts 1,371Net realised (loss) on foreign exchange (175,956)

Net realised (loss) (4,133,987)Change in net unrealised (loss) on investments (1,040,601)Change in net unrealised (loss) on capital gain tax (39,097)




Total movements in capital (581,216)



USD 14,607,556 20,177,130

NUMBER OF SHARES OUTSTANDINGClass IU 3,945,306.790Class ZU 54,028.673


Class IU 3.65 4.92Class ZU 3.65 4.92

Threadneedle (Lux) - STANLIB Global Emerging Markets Property Securities

40


2016Notes USD

2016Notes USD





Bank overdrafts (475,940)Redemptions payable (492,422)Asset management fees payable 5 (19,211)Other liabilities (5,430)




Dividends, net 2 819,680Bank interest 2 22,229Other income 47,294


Asset management fees 5 (336,350)Bank fees (38,366)Other operating expenses 5 (94,178)


Net income from investments 420,309Net realised (loss) on sales of investments (1,770,939)Net realised (loss) on forward foreign exchange contracts (4,247)Net realised (loss) on foreign exchange (137,824)

Net realised (loss) (1,913,010)Change in net unrealised (loss) on investments (2,458,420)







USD 18,244,936 34,056,538

NUMBER OF SHARES OUTSTANDINGClass IU 1,847,731.889


Class IU 9.87 10.88


Threadneedle (Lux) - American Absolute Alpha

41

2016Notes USD

2016Notes USD



AssetsInvestment portfolio at market value 2 50,992,146Cash at bank 2 6,139,098Term deposits 2 111,110,497Subscriptions receivable 1,221,382Interest receivable on swaps 961Interest and dividends receivable, net 27,203Net unrealised gain on forward foreign exchange contracts 2, 9 2,722,891


Payable for investments purchased (421,437)Redemptions payable (538,829)Interest payable on swaps 2 (31,818)Dividend payable on swaps 2 (24,691)Net unrealised (loss) on swaps 2, 10 (131,080)Net unrealised (loss) on futures 2, 11 (760,041)Asset management fees payable 5 (167,230)Performance fees payable 8 (521,972)Other liabilities (43,383)




Dividends, net 2 354,572Bank interest 2 142,685Interest income on swaps 73,097


Asset management fees 5 (1,732,165)Performance fees 8 (506,114)Bank fees (727)Dividends expenses (313,531)Interest expense on swaps (199,094)Interest expense on futures (23)Tax reclaims (2,044)Other operating expenses 5 (463,576)


Net (loss) from investments (2,646,920)Net realised (loss) on sales of investments (383,080)Net realised (loss) on swaps (940,688)Net realised (loss) on forward foreign exchange contracts (2,003,544)Net realised gain on futures 148,673Net realised (loss) on foreign exchange (173,192)

Net realised (loss) (3,351,831)Change in net unrealised gain on investments 1,863,289Change in net unrealised (loss) on swaps (274,396)Change in net unrealised gain on forward foreign exchange contracts 1,557,188Change in net unrealised (loss) on futures (760,041)







USD 169,573,697 118,097,208 256,895,905

NUMBER OF SHARES OUTSTANDINGClass AEH 1,011,010.893Class AFH 16,340.000Class AGH 2,224,857.194Class AU 1,064,711.989Class DEH 135,475.896Class DU 206,373.827Class IEH 1,433,055.641Class IGH 1,121,932.487Class IU 44,671.316Class ZGH 10,409.999


Class AEH 16.301 16.551 16.521

Class AFH 15.112 15.452 15.482

Class AGH 16.613 16.833 16.743



Class IGH 22.983 23.123 22.843

Class IU 22.73 23.01 22.78Class ZGH 15.753 15.773 15.563

1Class is denominated in EUR. The base currency of the Portfolio is USD.2Class is denominated in CHF. The base currency of the Portfolio is USD.3Class is denominated in GBP. The base currency of the Portfolio is USD.

Threadneedle (Lux) - Global Opportunities Bond

42


2016Notes USD

2016Notes USD



AssetsInvestment portfolio at market value 2 48,487,764Cash at bank 2 5,924,633Term deposits 2 9,300,971Receivable for investments sold 780,529Subscriptions receivable 166Interest receivable on swaps 5,469Interest and dividends receivable, net 746,356Net unrealised gain on forward foreign exchange contracts 2, 9 185,335Other assets 408


Payable for investments purchased (723,475)Redemptions payable (74,357)Interest payable on swaps 2 (8,129)Net unrealised (loss) on swaps 2, 10 (15,800)Net unrealised (loss) on futures 2, 11 (222,806)Asset management fees payable 5 (54,066)Other liabilities (13,529)




Interest on bonds, net 2 3,925,746Bank interest 2 47,053Interest income on swaps 3,429,652Other income 166,564


Asset management fees 5 (939,139)Bank fees (12,715)Interest expense on swaps (4,511,925)Interest expense on futures (7,557)Other operating expenses 5 (242,034)


Net income from investments 1,855,645Net realised (loss) on sales of investments (8,520,730)Net realised gain on swaps 1,387,967Net realised gain on options 25,215Net realised gain on forward foreign exchange contracts 3,298,479Net realised (loss) on futures (4,143,849)Net realised (loss) on foreign exchange (2,757,864)

Net realised (loss) (10,710,782)Change in net unrealised gain on investments 4,363,320Change in net unrealised gain on swaps 923,918Change in net unrealised (loss) on forward foreign exchange contracts (2,623,129)Change in net unrealised gain on futures 579,843







USD 64,319,469 111,498,163 296,806,792

NUMBER OF SHARES OUTSTANDINGClass AEH 563,307.919Class AGH 236,984.107Class AU 90,656.940Class DEH 406,064.205Class DU 430,367.379Class IEH 1,145,604.646Class IFH 12,500.000Class IU 421,784.386Class ZGH 5,670.996


Class AEH 15.341 16.581 16.761

Class AFH# – 15.242 15.442

Class AGH 15.683 16.843 16.953



Class IFH 19.022 20.632 20.782

Class IGH# – 23.083 23.083

Class IU 21.44 22.93 22.99Class ZGH 14.673 15.683 15.703

1Class is denominated in EUR. The base currency of the Portfolio is USD.2Class is denominated in CHF. The base currency of the Portfolio is USD.3Class is denominated in GBP. The base currency of the Portfolio is USD.#See note 1.


Threadneedle (Lux) - Enhanced Commodities

43

2016Notes USD

2016Notes USD



AssetsInvestment portfolio at market value 2 294,870,748Cash at bank 2 6,274,799Subscriptions receivable 82,534Interest and dividends receivable, net 4,673Net unrealised gain on forward foreign exchange contracts 2, 9 4,182,247


Redemptions payable (1,312,421)Interest payable on swaps 2 (26,213)Net unrealised (loss) on swaps 2, 10 (1,942,711)Asset management fees payable 5 (245,267)Other liabilities (65,160)






Asset management fees 5 (3,404,118)Bank fees (5,467)Interest expense on swaps (1,040,833)Other operating expenses 5 (971,096)


Net (loss) from investments (5,129,542)Net realised (loss) on sales of investments (160,637)Net realised (loss) on swaps (76,075,906)Net realised (loss) on forward foreign exchange contracts (524,858)Net realised gain on foreign exchange 150,579

Net realised (loss) (76,610,822)Change in net unrealised gain on investments 75,122Change in net unrealised (loss) on swaps (3,814,496)Change in net unrealised gain on forward foreign exchange contracts 1,674,431







USD 301,823,229 343,675,888 595,264,542

NUMBER OF SHARES OUTSTANDINGClass AEH 475,829.080Class AFH 97,156.219Class AGH 117,194.536Class ASH 197,873.440Class AU 1,228,508.661Class DEH 306,693.693Class DU 182,895.661Class IEH 903,321.626Class IFH 25,000.000Class IGH 4,017,720.286Class IKH 6,978,164.134Class IU 4,702,771.349Class XGH 109,615.070Class XU 1,777,027.967Class ZEH 221,688.000Class ZFH 135,230.000Class ZGH 979,077.069Class ZU 269,888.156


Class AEH 9.121 11.481 16.671

Class AFH 6.862 8.702 12.682

Class AGH 9.433 11.803 17.023

Class ASH 4.734 5.884 8.494



Class IFH 9.602 12.072 17.442

Class IGH 13.183 16.353 23.393

Class IKH 99.345 124.465 178.565

Class IU 13.41 16.57 23.67Class XGH 12.463 15.293 21.613

Class XU 13.51 16.52 23.34Class ZEH 5.401 6.761 –Class ZFH 5.312 6.742 –Class ZGH 7.543 9.343 13.353

Class ZU 5.52 6.81 –1Class is denominated in EUR. The base currency of the Portfolio is USD.2Class is denominated in CHF. The base currency of the Portfolio is USD.3Class is denominated in GBP. The base currency of the Portfolio is USD.4Class is denominated in SGD. The base currency of the Portfolio is USD.5Class is denominated in SEK. The base currency of the Portfolio is USD.


44

Market % ofValue Net Asset

Nominal Value Investment USD Value



Portfolio Statementas at March 31, 2016



Transferable securities and money market instruments admitted to an official exchange listing

Bonds

AUSTRALIAEUR 100,000 Aurizon Network Pty Limited

2.00% 18/09/2024 108,930 0.50 EUR 60,000 Santos Finance Limited FRN

22/09/2070 63,243 0.29 USD 200,000 SGSP Australia Assets Pty

Limited 3.30% 09/04/2023 197,317 0.91

Total Australia 369,490 1.70

BELGIUMEUR 100,000 KBC Groep NV FRN 29/03/2049 111,213 0.51

Total Belgium 111,213 0.51

CANADAUSD 75,000 Barrick Gold Corp. 5.25%

01/04/2042 64,158 0.29 USD 112,000 Xstrata Finance Canada Limited

4.95% 15/11/2021 101,183 0.47

Total Canada 165,341 0.76

CAYMAN ISLANDSUSD 67,000 Noble Holding International

Limited 5.25% 15/03/2042 33,421 0.15 USD 35,000 Noble Holding International

Limited 6.95% 01/04/2045 19,713 0.09

Total Cayman Islands 53,134 0.24

DENMARKGBP 25,000 Danske Bank FRN 29/09/2021 37,065 0.17

Total Denmark 37,065 0.17

HUNGARYUSD 200,000 Magyar Export-Import Bank Zrt

4.00% 30/01/2020 203,434 0.93

Total Hungary 203,434 0.93

INDIAUSD 200,000 Export-Import Bank of India

2.75% 12/08/2020 200,615 0.92

Total India 200,615 0.92

Transferable securities and money market instruments admitted to an official exchange listing (continued)

Bonds (continued)

IRELANDEUR 100,000 Allied Irish Banks FRN

26/11/2025 109,992 0.50 EUR 200,000 Bank of Ireland FRN 29/12/2049 220,057 1.01 JPY 10,000,000 DePfa ACS Bank 1.65%

20/12/2016 89,781 0.41

Total Ireland 419,830 1.92

ITALYEUR 200,000 Banca Monte dei Paschi di

Siena SpA 3.50% 20/03/2017 234,751 1.07

Total Italy 234,751 1.07

MEXICOUSD 230,000 Petroleos Mexicanos 5.50%

04/02/2019 240,904 1.10

Total Mexico 240,904 1.10

NETHERLANDSUSD 200,000 Abn Amro Bank NV 4.75%

28/07/2025 202,178 0.92 USD 75,000 LYB International Finance BV

4.88% 15/03/2044 74,792 0.34

Total Netherlands 276,970 1.26

PORTUGALEUR 100,000 Banco Espirito Santo SA 4.00%

21/01/2019 26,779 0.12

Total Portugal 26,779 0.12

SWITZERLANDUSD 200,000 Credit Suisse AG 6.50%

08/08/2023 215,929 0.99 USD 200,000 UBS Group AG FRN 29/12/2049 205,049 0.93

Total Switzerland 420,978 1.92

UNITED KINGDOMUSD 272,000 Barclays plc 4.38% 11/09/2024 255,123 1.17 USD 200,000 BP Capital Markets plc 3.51%

17/03/2025 203,919 0.93 GBP 100,000 Bupa Finance plc 5.00%

25/04/2023 149,747 0.68 USD 200,000 Imperial Tobacco Finance plc

3.50% 11/02/2023 204,434 0.93



45





Portfolio Statement(continued)



Bonds (continued)

UNITED KINGDOM (continued)GBP 50,000 Legal & General Group plc FRN

23/07/2041 91,207 0.42 GBP 100,000 Pennon Group plc FRN

08/03/2049 149,379 0.68 USD 177,000 Royal Bank of Scotland 6.13%

15/12/2022 188,806 0.86 GBP 50,000 RSA Insurance Group plc FRN

20/05/2039 83,724 0.38

Total United Kingdom 1,326,339 6.05

UNITED STATESUSD 180,000 AT&T Inc. 4.13% 17/02/2026 190,890 0.86 USD 80,000 AT&T Inc. 4.30% 15/12/2042 73,388 0.34 USD 100,000 Citigroup Inc. 3.88% 25/10/2023 104,924 0.48 USD 111,000 Dte Energy Company 2.40%

01/12/2019 111,566 0.51 USD 175,000 Enterprise Products Operating

LLC 4.90% 15/05/2046 168,944 0.77 USD 90,000 Fedex Corp. 3.90% 01/02/2035 87,431 0.40 USD 105,000 Kinder Morgan Energy Partners

LP 5.00% 01/03/2043 86,919 0.40 USD 62,000 L-3 Communications Corp.

3.95% 28/05/2024 60,014 0.27 USD 54,000 Loews Corp 3.75% 01/04/2026 55,269 0.25 USD 60,000 Molson Coors Brewing

Company 5.00% 01/05/2042 62,586 0.29 USD 125,000 Nisource Finance Corp. 4.80%

15/02/2044 132,367 0.60 USD 140,000 Pacific Gas & Electric Company

4.30% 15/03/2045 150,444 0.69 USD 70,000 Ppl Capital Fund 3.95%

15/03/2024 74,369 0.34 USD 184,000 Sempra Energy 3.55%

15/06/2024 187,667 0.86 USD 83,000 Verizon Communications 4.67%

15/03/2055 80,055 0.37 USD 125,000 Verizon Communications Inc.

5.01% 21/08/2054 126,499 0.58 USD 175,000 Williams Partners LP 4.90%

15/01/2045 125,759 0.57

Total United States 1,879,091 8.58

Total Bonds 5,965,934 27.25


Supranationals, Governments and Local Public Authorities, Debt Instruments

AUSTRALIAAUD 115,000 Australia (Govf of) 4.50%

21/04/2033 107,447 0.49


BELGIUMEUR 90,000 Belgium (Govt of) 1.90%

22/06/2038 115,108 0.53


CANADACAD 300,000 Canada Housing Trust 1.20%

15/06/2020 233,640 1.07 CAD 255,000 Canada Housing Trust 2.55%

15/03/2025 210,066 0.96


COLOMBIACOP 900,000,000 Colombia (Govt of) 9.85%

28/06/2027 349,990 1.60

Total Colombia 349,990 1.60

DOMINICAN REPUBLICUSD 100,000 Dominican (Govt of) 7.50%

06/05/2021 109,221 0.50

Total Dominican Republic 109,221 0.50

GERMANYEUR 65,000 Germany (Govt of) 2.50%

15/08/2046 107,208 0.49

Total Germany 107,208 0.49

HUNGARYHUF 140,000,000 Hungary (Govt of) 5.50%

24/06/2025 621,525 2.84


46










Supranationals, Governments and Local Public Authorities, Debt Instruments (continued)

ITALYEUR 275,000 Italy (Govt of) BPT 2.24%

15/09/2021 376,599 1.72 EUR 65,000 Italy (Govt of) BPT 2.50%




01/09/2040 111,969 0.51

Total Italy 1,000,299 4.57

JAPANJPY 21,800,000 Japan (Govt of) 1.40%

20/12/2045 238,867 1.09 JPY 43,000,000 Japan (Govt of) Thirty Year

Bond 1.60% 20/06/2045 490,773 2.24

Total Japan 729,640 3.33

MEXICOMXN 12,000 Mexico (Govt of) Bonos 10.00%

05/12/2024 89,941 0.41 MXN 8,300 Mexico (Govt of) Udibonos

4.00% 15/11/2040 275,831 1.26


ROMANIARON 3,015,000 Romania (Govt of) 4.75%

24/02/2025 851,931 3.88

Total Romania 851,931 3.88

SPAINUSD 150,000 Instituto de Credito Oficial

5.00% 14/11/2016 153,148 0.70 EUR 70,000 Spain (Govt of) 1.95% 30/04/2026 83,605 0.38 EUR 36,000 Spain (Govt of) 2.15% 31/10/2025 43,901 0.20 EUR 207,000 Spain (Govt of) 5.85% 31/01/2022 306,794 1.40 EUR 30,000 Spain (Govt of) BOE 5.15%

31/10/2044 51,961 0.24

Total Spain 639,409 2.92



SUPRANATIONALEUR 187,000 European Union 0.63%

04/11/2023 221,480 1.01

Total Supranational 221,480 1.01

UNITED KINGDOMGBP 385,000 United Kingdom Gilt 3.25%

22/01/2044 662,746 3.03 GBP 55,000 United Kingdom Gilt 3.50%

22/07/2068 112,971 0.52 GBP 225,000 United Kingdom Gilt 6.00%

07/12/2028 485,994 2.22


UNITED STATESUSD 1,650,000 United States Treasury Inflation

Indexed N/B 0.75% 15/02/2045 1,612,825 7.36 USD 85,000 United States Treasury N/B

3.00% 15/05/2045 91,813 0.42


Total Supranationals, Governments and Local Public Authorities, Debt Instruments 8,629,085 39.41

Total Transferable securities and money market instruments admitted to an official exchange listing 14,595,019 66.66

Transferable securities and money market instruments dealt in on another regulated market and recently issued transferable securities

Bonds

FRANCEUSD 200,000 BPCE SA 4.50% 15/03/2025 196,836 0.90

Total France 196,836 0.90

UNITED STATESUSD 178,000 Columbia Pipeline Group Inc.

P.P. 144A 5.80% 01/06/2045 179,792 0.82 USD 155,000 Five Corners Funding P.P. 144A

4.42% 15/11/2023 162,642 0.74 USD 65,000 Insurance and Annuity

Association 4.90% 15/09/2044 69,551 0.32

47









Transferable securities and money market instruments dealt in on another regulated market and recently issued transferable securities (continued)

Bonds (continued)

UNITED STATES (continued)USD 40,000 Massachusetts Mutual Life

Insurance Company P.P. 144A 4.50% 15/04/2065 37,008 0.17

USD 20,000 Private Export Funding Corp. 5.45% 15/09/2017 21,339 0.10

USD 200,000 Sabmiller Holdings Inc. P.P. 144A 2.20% 01/08/2018 203,023 0.92

Total United States 673,355 3.07

Total Bonds 870,191 3.97

Mortgage and Asset Backed Securities

UNITED STATESUSD 160,018 Fannie Mae Pool 3.50%

01/04/2026 169,245 0.77 USD 215,017 Fannie Mae Pool 3.50%




01/11/2036 12,847 0.06 USD 179,430 Freddie Mac Gold Pool 3.50%





01/08/2041 109,938 0.50


Total Mortgage and Asset Backed Securities 1,163,902 5.32



UNITED STATESUSD 175,000 Port Authority of New York &

New Jersey 4.46% 01/10/2062 183,160 0.83 USD 91,000 United States Treasury N/B

2.50% 15/02/2046 88,860 0.41


Total Supranationals, Governments and Local Public Authorities, Debt Instruments 272,020 1.24

Total Transferable securities and money market instruments dealt in on another regulated market and recently issued transferable securities 2,306,113 10.53

Undertakings for collective investments in transferable securities

Funds

LUXEMBOURG57,160 Threadneedle (Lux) - US$ High

Income Bonds Portfolio 1,669,650 7.63

Total Luxembourg 1,669,650 7.63

Total Funds 1,669,650 7.63

Total Undertakings for collective investments in transferable securities 1,669,650 7.63

Total value of investments 18,570,782 84.82

(Total cost: USD 18,468,161)


48









Bonds

AUSTRALIAEUR 125,000 Apt Pipelines Limited 2.00%

22/03/2027 134,629 0.69 EUR 124,000 Aurizon Network Pty Limited

2.00% 18/09/2024 135,073 0.69 EUR 75,000 Santos Finance Limited FRN

22/09/2070 79,054 0.40 EUR 100,000 Scentre Management Limited

1.38% 22/03/2023 114,918 0.59 EUR 238,000 SGSP Australia Assets Pty

Limited 2.00% 30/06/2022 276,651 1.42 GBP 100,000 Vicinity Centres 3.38%

07/04/2026 145,611 0.74 USD 190,000 Woodside Finance Limited

3.65% 05/03/2025 176,027 0.90

Total Australia 1,061,963 5.43

AUSTRIAEUR 100,000 Bawag PSK 8.13% 30/10/2023 135,499 0.69 EUR 100,000 Erste Group Bank AG 7.13%

10/10/2022 137,800 0.70 EUR 100,000 Heta Asset Resolution

AG - ADR 4.38% 24/01/2017 80,875 0.41

Total Austria 354,174 1.80



CANADAUSD 70,000 Barrick Gold Corp. 5.25%

01/04/2042 59,881 0.31 USD 150,000 Canadian Natural Resources

Limited 3.80% 15/04/2024 134,840 0.69 USD 28,000 Canadian Natural Resources

Limited 6.25% 15/03/2038 26,186 0.13 USD 75,000 Cenovus Energy Inc. 4.45%

15/09/2042 58,083 0.30




Limited 5.25% 15/03/2042 25,440 0.13


Bonds (continued)

CAYMAN ISLANDS (continued)USD 42,000 Noble Holding International

Limited 6.95% 01/04/2045 23,655 0.12 GBP 140,000 Thames Water Utilities Cayman

Finance Limited FRN 21/07/2025 208,482 1.07 USD 204,000 Vale Overseas Limited 4.38%

11/01/2022 174,332 0.89 GBP 119,000 Yorkshire Water FRN 24/04/2025 177,872 0.91


DENMARKGBP 40,000 Danske Bank FRN 29/09/2021 59,304 0.30 EUR 100,000 ISS Global A/S 2.13% 02/12/2024 120,302 0.61


FINLANDEUR 100,000 Sampo OYJ 1.50% 16/09/2021 116,898 0.60 EUR 169,000 Sato Oyj 2.38% 24/03/2021 193,422 0.99

Total Finland 310,320 1.59

FRANCEEUR 100,000 Numericable Group SA 5.38%

15/05/2022 116,391 0.59 EUR 100,000 Societe Fonciere Lyonnaise

2.25% 16/11/2022 119,077 0.61 EUR 100,000 Tdf Infrastructure SAS 2.50%

07/04/2026 112,864 0.58


GERMANYEUR 150,000 Crh Finance Germany GmbH

1.75% 16/07/2021 180,021 0.92 EUR 200,000 Eurogrid Gmbh 1.63%

03/11/2023 240,314 1.24 EUR 100,000 Unitymedia Hessen GmbH &

Company KG 4.00% 15/01/2025 116,654 0.60


ICELANDEUR 100,000 Arion Banki Hf 3.13% 12/03/2018 116,341 0.59

Total Iceland 116,341 0.59

49










Bonds (continued)

IRELANDEUR 130,000 Bank of Ireland FRN 11/06/2024 148,549 0.76 EUR 100,000 FCA Capital Ireland plc 1.38%

17/04/2020 114,951 0.59


ITALYEUR 100,000 Assicurazioni Generali SpA

FRN 27/10/2047 117,865 0.60


JAPANEUR 100,000 Softbank Group Corp 4.00%

30/07/2022 120,165 0.61


JERSEY - CHANNEL ISLANDSGBP 50,000 UBM plc 6.50% 23/11/2016 74,028 0.38 USD 200,000 UBS Group Funding 4.13%

24/09/2025 201,451 1.03

Total Jersey - Channel Islands 275,479 1.41

LUXEMBOURGUSD 100,000 Actavis Funding SCS 3.80%

15/03/2025 104,192 0.53 GBP 140,000 Glencore Finance Europe SA

6.00% 03/04/2022 191,252 0.97 EUR 300,000 Grand City Properties SA 2.00%

29/10/2021 354,374 1.81

Total Luxembourg 649,818 3.31

NETHERLANDSEUR 100,000 Eneco Holding NV FRN

29/12/2049 110,509 0.56 EUR 138,000 Enexis Holding NV 1.50%

20/10/2023 166,317 0.85 USD 75,000 LYB International Finance BV

4.88% 15/03/2044 74,792 0.38 GBP 115,000 Postnl NV 7.50% 14/08/2018 187,245 0.96 EUR 100,000 SNS Bank NV FRN 05/11/2025 111,396 0.57 EUR 100,000 Vonovia Finance BV FRN

29/12/2049 112,867 0.58



Bonds (continued)


21/01/2019 26,779 0.14


UNITED ARAB EMIRATESEUR 146,000 Emirates NBD PJSC 1.75%

23/03/2022 160,544 0.82

Total United Arab Emirates 160,544 0.82

UNITED KINGDOMEUR 221,000 BG Energy Capital plc 6.50%

30/11/2072 273,149 1.40 EUR 100,000 British Telecommunications plc

1.13% 10/03/2023 115,398 0.59 GBP 110,000 First Hydro Finance plc 9.00%

31/07/2021 208,344 1.06 GBP 100,000 Legal & General FRN 27/10/2045 145,171 0.74 GBP 79,000 Lloyds TSB Bank plc 7.63%

22/04/2025 142,760 0.73 EUR 100,000 Merlin Entertainments plc

2.75% 15/03/2022 113,686 0.58 EUR 230,000 Ngg Finance plc FRN 18/06/2076 274,005 1.41 GBP 100,000 Pennon Group plc FRN

08/03/2049 149,379 0.76 USD 200,000 Royal Bank of Scotland FRN

29/12/2049 190,963 0.98 GBP 132,000 Safeway Limited 6.00%

10/01/2017 195,371 1.00 USD 200,000 Standard Chartered plc 3.05%

15/01/2021 201,678 1.03 GBP 98,987 Tesco Property Finance 5 plc

5.66% 13/10/2041 123,994 0.63 GBP 100,000 Western Power Distribution

3.63% 06/11/2023 147,195 0.75 GBP 50,000 Western Power Distribution

South Wales plc 5.75% 23/03/2040 94,433 0.48


UNITED STATESUSD 163,000 Ace INA Holdings Inc. 3.15%

15/03/2025 167,177 0.85 USD 75,000 Anadarko Petroleum Corp

3.45% 15/07/2024 67,345 0.34 USD 150,000 Anheuser-Busch Inbev Finance

Inc. 4.70% 01/02/2036 162,761 0.83

50










Bonds (continued)

UNITED STATES (continued)USD 100,000 Anheuser-Busch Inbev Finance

Inc. 4.90% 01/02/2046 112,142 0.57 USD 3,000 Anheuser-Busch InBev Finance

Inc. 2.63% 17/01/2023 3,023 0.02 USD 193,000 AT&T Inc. 3.95% 15/01/2025 200,968 1.03 USD 278,000 AT&T Inc. 4.30% 15/12/2042 255,024 1.30 USD 109,000 Bank of America Corp. 4.13%

22/01/2024 115,331 0.59 EUR 254,000 Berkshire Hathaway Inc. 1.13%

16/03/2027 276,907 1.42 USD 197,000 BP Capital Markets plc 3.81%

10/02/2024 205,606 1.05 USD 100,000 Cimarex Energy Company 4.38%

01/06/2024 98,213 0.50 USD 78,000 Citigroup Inc. 3.88% 25/10/2023 81,840 0.42 USD 120,000 CMS Energy Corp 3.60%

15/11/2025 124,833 0.64 USD 140,000 CMS Energy Corp. 6.25%

01/02/2020 161,088 0.82 USD 200,000 CNA Financial Corp 4.50%

01/03/2026 202,824 1.04 USD 149,000 Concho Resources Inc. 5.50%

01/04/2023 145,901 0.75 USD 60,000 Continental Resources Inc.

4.90% 01/06/2044 45,000 0.23 USD 85,000 Discover Financial Services

3.85% 21/11/2022 84,137 0.43 USD 306,000 Dte Energy Company 3.85%

01/12/2023 323,929 1.66 USD 203,000 Duke Energy Corp. 3.95%

15/10/2023 215,747 1.10 USD 135,000 Duke Energy Progress Inc.

4.20% 15/08/2045 143,757 0.73 USD 137,000 Enterprise Products Operating

LLC 4.90% 15/05/2046 132,258 0.68 USD 70,000 Express Scripts Holding

Company 3.30% 25/02/2021 72,084 0.36 USD 50,000 Express Scripts Holding

Company FRN 25/02/2026 52,145 0.27 EUR 50,000 Fiat Finance North America

5.63% 12/06/2017 59,711 0.30 GBP 100,000 HJ Heinz Company 4.13%

01/07/2027 152,693 0.78 USD 81,000 Indiana Michigan Power

Company 6.05% 15/03/2037 94,853 0.48 USD 110,000 Kinder Morgan Energy Partners

Lp 4.30% 01/05/2024 104,599 0.53 USD 142,000 Kinder Morgan Energy Partners

LP 5.00% 01/03/2043 117,548 0.60


Bonds (continued)

UNITED STATES (continued)EUR 100,000 Kinder Morgan Inc. 2.25%

16/03/2027 100,756 0.51 USD 60,000 L-3 Communications Corp.

3.95% 28/05/2024 58,078 0.30 USD 102,000 L-3 Communications Corp.

5.20% 15/10/2019 109,258 0.55 USD 85,000 Lockheed Martin Corp. 4.50%

15/05/2036 91,807 0.47 USD 50,000 Loews Corp 3.75% 01/04/2026 51,175 0.26 USD 136,000 Loews Corp. 2.63% 15/05/2023 134,056 0.68 USD 75,000 Marathon Oil Corp 5.20%

01/06/2045 52,533 0.27 USD 100,000 Mckesson Corp. 3.80%

15/03/2024 104,480 0.54 USD 90,000 Molson Coors Brewing

Company 5.00% 01/05/2042 93,879 0.48 USD 140,000 Newell Rubbermaid Inc. 3.85%

01/04/2023 145,284 0.74 USD 130,000 Nisource Finance Corp. 4.80%

15/02/2044 137,661 0.70 USD 100,000 Noble Energy Inc. 3.90%

15/11/2024 94,688 0.48 USD 130,000 Pacific Gas & Electric Company

3.50% 15/06/2025 138,191 0.71 USD 163,000 Pacific Gas & Electric Company

4.30% 15/03/2045 175,160 0.89 USD 140,000 Plains All American Pipeline LP

4.65% 15/10/2025 130,339 0.67 USD 183,000 Plains All American Pipeline LP

4.65% 15/10/2025 170,372 0.87 USD 100,000 Scripps Networks 3.95%

15/06/2025 99,048 0.51 USD 127,000 Scripps Networks Interactive

Inc. 2.80% 15/06/2020 127,739 0.64 USD 88,000 Sempra Energy 3.55%

15/06/2024 89,754 0.46 USD 47,000 Synovus Financial Corp. 7.88%

15/02/2019 52,168 0.27 GBP 50,000 Time Warner Cable Inc. 5.75%

02/06/2031 75,119 0.38 USD 60,000 Transcontinental Gas Pipe Line

Company LLC 7.85% 01/02/2026 68,445 0.35 USD 183,000 Verizon Communications 4.67%



15/01/2045 135,820 0.69


51










Bonds (continued)

VIRGIN ISLANDS (BRITISH)GBP 100,000 Global Switch Holdings Limited

4.38% 13/12/2022 152,848 0.78

Total Virgin Islands (British) 152,848 0.78

Total Bonds 15,625,796 79.81


GERMANYEUR 25,000 Germany (Govt of) 4.75%

04/07/2034 48,994 0.25



07/09/2034 226,372 1.16

Total United Kingdom 226,372 1.16

UNITED STATESUSD 425,000 United States Treasury N/B

1.63% 15/02/2026 419,322 2.13 USD 85,000 United States Treasury N/B

4.50% 15/02/2036 116,762 0.60





Bonds

AUSTRALIAUSD 50,000 Asciano Finance Limited 5.00%

07/04/2018 51,171 0.26


CANADACAD 279,000 Rogers Communications Inc.

4.00% 13/03/2024 233,015 1.19



Bonds (continued)

FRANCEUSD 200,000 BPCE SA 4.50% 15/03/2025 196,836 1.01


NETHERLANDSUSD 204,000 Deutsche Annington Finance

BV 5.00% 02/10/2023 215,590 1.10



P.P. 144A 5.80% 01/06/2045 124,238 0.63 USD 102,000 Erac Usa Finance LLC P.P. 144A

4.50% 15/02/2045 100,879 0.52 USD 250,000 Five Corners Funding P.P. 144A

4.42% 15/11/2023 262,325 1.34 USD 103,000 Hewlett Packard Enterprise P.P.

144A 6.35% 15/10/2045 101,900 0.52 USD 84,000 Insurance and Annuity

Association 4.90% 15/09/2044 89,882 0.46 USD 100,000 Liberty Mutual Group P.P. 144A

4.25% 15/06/2023 102,940 0.53 USD 30,000 Massachusetts Mutual Life


USD 175,000 Metropolitan Life Global Funding I P.P. 144A 2.30% 10/04/2019 177,643 0.91

CAD 100,000 Molson Coors International LP 2.75% 18/09/2020 77,896 0.40

USD 136,000 Oncor Electric Delivery 2.95% 01/04/2025 134,790 0.69

USD 275,000 Sabmiller Holdings Inc. P.P. 144A 3.75% 15/01/2022 292,308 1.49

USD 160,000 Schlumberger Holdings Corp. 2.35% 21/12/2018 161,179 0.82


Total Bonds 2,350,348 12.01





52


Nominal Value Investment EUR Value







Bonds


2.00% 18/09/2024 95,590 0.14 EUR 475,000 Bhp Billiton Finance FRN

22/10/2079 490,803 0.73 EUR 150,000 Santos Finance Limited FRN



Limited 2.00% 30/06/2022 102,005 0.15 EUR 200,000 Spi Electricity & Gas Australia

Holdings Pty Limited 2.38% 24/07/2020 215,433 0.32


AUSTRIAEUR 200,000 Bawag PSK 8.13% 30/10/2023 237,812 0.35 EUR 100,000 Erste Group Bank AG 7.13%

10/10/2022 120,925 0.18 EUR 100,000 Heta Asset Resolution

AG - ADR 4.38% 24/01/2017 70,971 0.11


BELGIUMEUR 150,000 Anheuser-Busch InBev NV

1.95% 30/09/2021 161,512 0.24 EUR 245,000 Anheuser-Busch Inbev SA

1.50% 17/03/2025 251,848 0.38 EUR 100,000 KBC Groep NV FRN 29/03/2049 97,594 0.15


CAYMAN ISLANDSGBP 443,000 Thames Water Utilities Cayman

Finance Limited FRN 21/07/2025 578,912 0.87 GBP 200,000 Yorkshire Water FRN 24/04/2025 262,335 0.39


DENMARKGBP 160,000 Danske Bank FRN 29/09/2021 208,165 0.31 DKK 10,000,000 Realkredit Danmark 1.00%

01/04/2020 1,377,522 2.05

Total Denmark 1,585,687 2.36


Bonds (continued)

FINLANDEUR 100,000 Sampo OYJ 1.50% 16/09/2021 102,583 0.15 EUR 333,000 Sato Oyj 2.38% 24/03/2021 334,449 0.50


FRANCEEUR 150,000 Autoroutes du Sud de la France

SA 4.13% 13/04/2020 173,012 0.26 EUR 200,000 Banque Federative du Credit

Mutuel 1.63% 19/01/2026 208,731 0.31 EUR 100,000 BPCE SA FRN 30/11/2027 101,514 0.15 EUR 200,000 Casino Guichard Perrachon SA

3.99% 09/03/2020 217,253 0.32 EUR 100,000 Credit Agricole SA FRN

29/04/2049 98,051 0.15 EUR 450,000 Dexia Credit Local SA 0.25%

19/03/2020 453,284 0.68 EUR 1,050,000 Dexia Credit Local SA 0.63%

21/01/2022 1,069,776 1.60 EUR 400,000 Engie 1.38% 19/05/2020 420,817 0.63 EUR 100,000 Ephios Bondco plc 6.25%

01/07/2022 106,079 0.16 EUR 100,000 Novalis SAS 3.00% 30/04/2022 100,917 0.15 EUR 100,000 Numericable Group SA 5.38%

15/05/2022 102,137 0.15 EUR 175,000 Orange SA FRN 29/10/2049 178,762 0.27 EUR 200,000 Orange SA 4.13% 23/01/2019 222,191 0.33 EUR 300,000 Sanef SA 1.88% 16/03/2026 318,569 0.48 EUR 200,000 Sanofi 1.13% 10/03/2022 208,925 0.31 EUR 200,000 Societe Fonciere Lyonnaise

2.25% 16/11/2022 208,989 0.31 EUR 100,000 Tdf Infrastructure SAS 2.50%

07/04/2026 99,043 0.15 EUR 300,000 Tdf Infrastructure SAS 2.88%

19/10/2022 322,022 0.48

Total France 4,610,072 6.89

GERMANYEUR 275,000 Crh Finance Germany GmbH

1.75% 16/07/2021 289,622 0.43 EUR 100,000 Deutsche Raststätten Gruppe

IV GmbH 6.75% 30/12/2020 106,679 0.16 EUR 200,000 Eurogrid Gmbh 1.63%

03/11/2023 210,885 0.31 EUR 125,000 O2 Telefonica Deutschland

Finanzierungs GmbH 2.38% 10/02/2021 134,919 0.20

53










Bonds (continued)

GERMANY (continued)EUR 100,000 Talanx AG 3.13% 13/02/2023 114,543 0.17 EUR 100,000 Unitymedia Kabelbw Gmbh

3.75% 15/01/2027 90,611 0.14


GUERNSEY - CHANNEL ISLANDSEUR 100,000 Credit Suisse Group Funding

Guernsey Limited 1.25% 14/04/2022 95,174 0.14

Total Guernsey - Channel Islands 95,174 0.14

ICELANDEUR 162,000 Arion Banki Hf 3.13% 12/03/2018 165,392 0.25

Total Iceland 165,392 0.25


26/11/2025 96,523 0.14 EUR 125,000 Ardagh Packaging Finance plc

4.25% 15/01/2022 127,330 0.19 EUR 200,000 Bank of Ireland FRN 29/12/2049 193,109 0.29 EUR 325,000 FCA Capital Ireland plc 1.38%

17/04/2020 327,842 0.49 EUR 200,000 FGA Capital Ireland plc 2.88%

26/01/2018 208,001 0.31 EUR 100,000 FGA Capital Ireland plc 4.00%

17/10/2018 108,001 0.16 GBP 425,000 GE Capital UK Funding 5.63%

25/04/2019 602,908 0.90

Total Ireland 1,663,714 2.48

ITALYGBP 41,000 Acquedotto Pugliese SpA

6.92% 29/06/2018 54,837 0.08 EUR 100,000 Assicurazioni Generali SpA

2.88% 14/01/2020 108,682 0.16 EUR 140,000 Assicurazioni Generali SpA

FRN 27/10/2047 144,803 0.22 EUR 1,200,000 Banca Monte dei Paschi di

Siena SpA 3.50% 20/03/2017 1,236,023 1.83 EUR 100,000 Enel SpA FRN 15/01/2075 104,932 0.16 EUR 100,000 Societa Esercizi Aereoportuali

SpA 3.13% 17/04/2021 103,226 0.15


Bonds (continued)

ITALY (continued)GBP 150,000 Telecom Italia SpA 7.38%

15/12/2017 205,132 0.31

Total Italy 1,957,635 2.91


30/07/2022 105,450 0.16


JERSEY - CHANNEL ISLANDSEUR 100,000 Heathrow Funding Limited

1.88% 23/05/2024 106,088 0.16 EUR 100,000 Mercury Bondco 8.25%

30/05/2021 101,127 0.15 GBP 175,000 UBM plc 6.50% 23/11/2016 227,368 0.33


LUXEMBOURGEUR 100,000 Altice SA 7.25% 15/05/2022 99,441 0.15 EUR 100,000 Cerberus Nightingale 1 sarl

8.25% 01/02/2020 101,025 0.15 EUR 100,000 Dufry Finance SCA 4.50%

01/08/2023 105,288 0.16 EUR 125,000 Fiat Finance & Trade SA 4.75%

22/03/2021 134,220 0.20 EUR 200,000 Gelf Bond Issuer I SA 3.13%

03/04/2018 210,056 0.31 EUR 500,000 Grand City Properties SA 2.00%

29/10/2021 518,294 0.78 EUR 500,000 Novartis Finance SA 0.75%

09/11/2021 516,018 0.77 EUR 100,000 Play Topco SA 7.75% 28/02/2020 102,102 0.15 EUR 100,000 Wind Acquisition Finance SA

7.00% 23/04/2021 96,143 0.14


MEXICOEUR 100,000 Petroleos Mexicanos 1.88%

21/04/2022 87,317 0.13


NETHERLANDSEUR 100,000 ABN Amro Bank NV 6.38%

27/04/2021 119,810 0.18

54










Bonds (continued)

NETHERLANDS (continued)EUR 204,000 Eneco Holding NV FRN

29/12/2049 197,831 0.30 EUR 186,000 Enexis Holding NV 1.50%

20/10/2023 196,715 0.29 EUR 100,000 ING Bank NV 3.25% 03/04/2019 109,223 0.16 GBP 108,000 ING Bank NV FRN 29/05/2023 148,078 0.22 EUR 175,000 Linde Finance BV FRN

14/07/2066 178,392 0.26 EUR 100,000 Madrilena Red de Gas Finance

BV 3.78% 11/09/2018 108,519 0.16 EUR 100,000 PostNL 5.38% 14/11/2017 108,136 0.16 EUR 125,000 Schaeffler Holding Finance BV

5.75% 15/11/2021 134,499 0.20 EUR 295,000 SNS Bank NV FRN 05/11/2025 288,376 0.43 EUR 100,000 Telefonica Europe BV FRN

31/03/2049 101,458 0.15 EUR 200,000 Tennet Holding BV 2.13%

01/11/2020 216,936 0.32 EUR 55,000 TenneT Holding BV 6.66%

29/06/2049 58,236 0.09 EUR 245,000 Vesteda Finance BV 1.75%

22/07/2019 250,706 0.37 EUR 300,000 Vonovia Finance BV 2.25%

15/12/2023 321,123 0.48 EUR 100,000 Vonovia Finance BV FRN

08/04/2074 103,210 0.15 EUR 650,000 Vonovia SE 0.88% 30/03/2020 657,068 0.99

Total Netherlands 3,298,316 4.91

NORWAYEUR 100,000 Avinor AS 1.75% 20/03/2021 106,829 0.16 EUR 100,000 Lock AS 7.00% 15/08/2021 106,098 0.16 EUR 100,000 Sparebank 1 2.13% 27/02/2019 104,101 0.16

Total Norway 317,028 0.48


21/01/2019 23,500 0.04


REPUBLIC OF KOREA (SOUTH)EUR 1,053,000 Export-Import Bank of Korea

2.00% 30/04/2020 1,114,379 1.66

Total Republic of Korea (South) 1,114,379 1.66


Bonds (continued)

RUSSIAN FEDERATIONEUR 100,000 Gazprom (Gaz Capital SA)

3.76% 15/03/2017 101,691 0.15

Total Russian Federation 101,691 0.15

SPAINEUR 141,000 Aigues de Barcelona SA 1.94%

15/09/2021 143,617 0.21 EUR 100,000 NH Hotel Group SA 6.88%

15/11/2019 109,617 0.16 GBP 100,000 Telefonica 5.60% 12/03/2020 141,366 0.21 EUR 300,000 Telefonica Emisiones SAU

4.69% 11/11/2019 346,721 0.51


SWEDENEUR 100,000 Nordea Bank AB 1.38%

12/04/2018 102,739 0.15 EUR 700,000 Stadshypotek AB 0.63%

10/11/2021 717,097 1.07 EUR 100,000 Verisure Holding AB 6.00%

01/11/2022 106,540 0.16

Total Sweden 926,376 1.38

SWITZERLANDEUR 65,000 Credit Suisse 3.88% 25/01/2017 67,044 0.10 EUR 780,000 Credit Suisse AG 0.75%

17/09/2021 801,036 1.20 EUR 100,000 Swisscom AG via Lunar

Funding 1.88% 08/09/2021 107,405 0.16 EUR 100,000 UBS AG FRN 12/02/2026 104,958 0.16

Total Switzerland 1,080,443 1.62

UNITED KINGDOMGBP 200,000 Barclays plc FRN 29/12/2049 224,928 0.34 EUR 185,000 BAT International Finance plc

1.00% 23/05/2022 188,581 0.28 GBP 175,000 Bg Energy Capital plc FRN

30/11/2072 232,487 0.35 USD 219,000 BG Energy Capital plc FRN

30/11/2072 202,465 0.30 GBP 95,000 British Telecommunications plc

8.50% 07/12/2016 125,538 0.19 GBP 85,000 Bupa Finance plc 7.50%

04/07/2016 108,821 0.16

55










Bonds (continued)

UNITED KINGDOM (continued)GBP 100,000 Cognita Financing plc 7.75%

15/08/2021 127,323 0.19 GBP 100,000 Co-operative Group 6.88%

08/07/2020 134,706 0.20 EUR 100,000 Eco-Bat Finance plc 7.75%

15/02/2017 98,538 0.15 GBP 150,000 First Hydro Finance plc 9.00%

31/07/2021 249,313 0.37 GBP 170,000 G4s plc 7.75% 13/05/2019 246,835 0.37 GBP 111,000 GKN Holdings plc 6.75%

28/10/2019 158,912 0.24 GBP 150,000 Go-Ahead Group plc 5.38%

29/09/2017 198,908 0.30 GBP 100,000 HSBC Bank plc FRN 20/03/2023 130,876 0.20 EUR 130,000 HSBC Holdings plc 1.50%

15/03/2022 131,220 0.20 EUR 105,000 HSBC Holdings plc FRN

10/01/2024 108,016 0.16 GBP 100,000 IDH Finance plc 6.00%

01/12/2018 125,921 0.19 GBP 200,000 Imperial Brands Finance 5.50%

22/11/2016 258,686 0.39 GBP 300,000 Imperial Tobacco Finance plc

6.25% 04/12/2018 422,608 0.63 EUR 100,000 Ineos Finance plc 4.00%

01/05/2023 97,600 0.15 GBP 100,000 Jerrold Finco plc 9.75%


2.75% 15/03/2022 134,681 0.20 GBP 100,000 Moy Park Bondco plc 6.25%

29/05/2021 128,798 0.19 GBP 175,000 National Express Group plc

6.25% 13/01/2017 228,289 0.34 GBP 125,000 Nationwide Building Society

FRN 27/04/2018 157,361 0.23 GBP 100,000 New Look Secured Issuer plc

6.50% 01/07/2022 124,398 0.18 EUR 100,000 Ngg Finance plc FRN 18/06/2076 104,544 0.16 GBP 410,000 Northern Ireland Electricity

Limited 6.88% 18/09/2018 582,437 0.87 GBP 200,000 Pennon Group plc FRN

08/03/2049 262,171 0.39 EUR 50,000 Royal Bank of Scotland 10.50%

16/03/2022 54,413 0.08 EUR 170,000 Royal Bank of Scotland Group

plc 2.50% 22/03/2023 169,547 0.25 GBP 200,000 Royal Bank of Scotland Group

plc 6.63% 17/09/2018 281,146 0.42


Bonds (continued)

UNITED KINGDOM (continued)GBP 150,000 Safeway Limited 6.00%

10/01/2017 194,824 0.29 EUR 227,000 Tesco Corporate Tsy Services

plc 1.38% 01/07/2019 225,015 0.34 GBP 100,000 Twinkle Pizza plc 6.63%

01/08/2021 129,198 0.19 EUR 125,000 Virgin Media Finance plc 4.50%

15/01/2025 121,576 0.18 GBP 345,000 Virgin Money Holdings 2.25%

21/04/2020 432,750 0.65 EUR 200,000 Vodafone Group plc 1.25%

25/08/2021 204,731 0.31 EUR 133,000 WelCome Trust Limited 1.13%

21/01/2027 133,411 0.20 EUR 200,000 WM Morrison Supermarkets

plc 2.25% 19/06/2020 207,811 0.31


UNITED STATESEUR 500,000 Berkshire Hathaway Inc. 0.75%

16/03/2023 499,085 0.75 EUR 190,000 Citigroup Inc. 7.38% 04/09/2019 234,339 0.35 EUR 50,000 Fiat Finance North America

5.63% 12/06/2017 52,399 0.08 EUR 200,000 HJ Heinz Company 2.00%

30/06/2023 209,092 0.31 EUR 120,000 JPMorgan Chase & Company

1.38% 16/09/2021 123,813 0.18 EUR 300,000 Kinder Morgan Inc. 2.25%

16/03/2027 265,253 0.40 CHF 150,000 Nord Anglia Education Finance

LLC 5.75% 15/07/2022 141,292 0.21


Total Bonds 33,688,809 50.27


FRANCEEUR 1,000,000 France (Govt of) OAT 3.00%

25/04/2022 1,187,000 1.77


GERMANYEUR 2,500,000 Germany (Govt of) 1.89%

15/04/2020 3,004,818 4.48

Total Germany 3,004,818 4.48

56











HUNGARYEUR 1,250,000 Hungary (Govt of) 3.88%

24/02/2020 1,394,688 2.08 HUF 350,000,000 Hungary (Govt of) 5.50%

24/06/2025 1,363,533 2.03

Total Hungary 2,758,221 4.11

INDONESIAEUR 850,000 Indonesia (Govt of) 2.88%

08/07/2021 877,689 1.31

Total Indonesia 877,689 1.31

IRELANDEUR 260,000 Ireland (Govt of) 3.40%

18/03/2024 318,318 0.47


ITALYEUR 1,400,000 Italy (Govt of) BPT 0.65%

01/11/2020 1,423,800 2.12 EUR 5,200,000 Italy (Govt of) BPT 1.45%



15/09/2019 2,400,281 3.58

Total Italy 11,085,270 16.54

MEXICOEUR 1,100,000 Mexico (Govt of) 2.38%

09/04/2021 1,151,178 1.72

Total Mexico 1,151,178 1.72

NETHERLANDSGBP 675,000 Bank Nederlandse Gemeenten

1.88% 07/12/2018 870,644 1.30


REPUBLIC OF KOREA (SOUTH)EUR 890,000 Export-Import Bank of Korea

4.63% 20/02/2017 924,933 1.38

Total Republic of Korea (South) 924,933 1.38




24/02/2025 1,289,400 1.92 RON 6,000,000 Romania (Govt of) 5.85%

26/04/2023 1,581,033 2.36

Total Romania 2,870,433 4.28

SLOVENIAEUR 1,000,000 Slovenia (Govt of) 3.00%

08/04/2021 1,129,425 1.69

Total Slovenia 1,129,425 1.69

SPAINEUR 275,000 Spain (Govt of) 1.95% 30/04/2026 288,228 0.43 EUR 1,962,000 Spain (Govt of) 5.85% 31/01/2022 2,551,776 3.81

Total Spain 2,840,004 4.24

SUPRANATIONALEUR 780,000 Corporacion Andina de

Fomento 4.63% 29/03/2018 848,496 1.27

Total Supranational 848,496 1.27




(Total cost: EUR 64,287,952)

*See note 1.



57







Bonds

ARGENTINAUSD 500,000 Ypf SA 8.50% 28/07/2025 488,268 1.25

Total Argentina 488,268 1.25

AUSTRIAUSD 500,000 Esal Gmbh 6.25% 05/02/2023 439,505 1.13 USD 500,000 JBS Investments GmbH 7.25%

03/04/2024 459,330 1.18


BARBADOSUSD 1,000,000 Columbus International Inc.

7.38% 30/03/2021 1,061,560 2.72

Total Barbados 1,061,560 2.72

BERMUDAUSD 650,000 Kosmos Energy Limited 7.88%

01/08/2021 549,250 1.41

Total Bermuda 549,250 1.41

CAYMAN ISLANDSUSD 400,000 Baidu Inc. 3.50% 28/11/2022 410,232 1.05 USD 450,000 Banco Industrial 5.50%

01/11/2022 432,511 1.11 USD 700,000 Comcel Trust 6.88% 06/02/2024 655,228 1.68 USD 500,000 Grupo Aval Limited 4.75%

26/09/2022 467,895 1.20 USD 750,000 Kuwait Projects Company

5.00% 15/03/2023 762,465 1.95 USD 730,000 Maf Global Securities Limited

FRN 29/10/2049 769,563 1.98 USD 469,000 Marfrig Overseas Limited 9.50%

04/05/2020 477,383 1.22

Total Cayman Islands 3,975,277 10.19

COLOMBIAUSD 260,000 Ecopetrol SA 5.38% 26/06/2026 236,371 0.61

Total Colombia 236,371 0.61

CROATIAUSD 200,000 Hrvatska Elektroprivreda 5.88%

23/10/2022 205,530 0.53

Total Croatia 205,530 0.53

Bonds (continued)

GEORGIAUSD 850,000 Bank of Georgia JSC 7.75%

05/07/2017 882,265 2.27 USD 500,000 Georgian Railway JSC 7.75%

11/07/2022 532,995 1.37

Total Georgia 1,415,260 3.64

INDIAUSD 680,000 Adani Port & Special Economic

Zone Limited 3.50% 29/07/2020 683,788 1.75 USD 490,000 Oil India Limited 3.88%

17/04/2019 506,650 1.30

Total India 1,190,438 3.05

IRELANDUSD 250,000 Metalloinvest Finance Limited

6.50% 21/07/2016 252,774 0.65 USD 250,000 Tinkoff Credit Systems via

TCS Finance Limited 14.00% 06/06/2018 263,610 0.68


JERSEY - CHANNEL ISLANDSUSD 630,000 West China Cement Limited

6.50% 11/09/2019 662,139 1.70


KAZAKHSTANUSD 804,000 Development Bank of

Kazakhstan JSC 4.13% 10/12/2022 719,294 1.84

Total Kazakhstan 719,294 1.84

LUXEMBOURGUSD 790,000 MHP SA 8.25% 02/04/2020 693,146 1.78 USD 750,000 Sberbank of Russia via SB

Capital SA 6.13% 07/02/2022 778,792 2.00 USD 450,000 Sberbank Via SB Capital SA

5.40% 24/03/2017 461,306 1.18 USD 500,000 Severstal OAO Via Steel Capital

SA 6.70% 25/10/2017 524,730 1.34




58









Bonds (continued)

MEXICOUSD 500,000 BBVA Bancomer SA 6.75%

30/09/2022 554,608 1.42 USD 600,000 Cemex SAB de CV 7.25%

15/01/2021 622,113 1.59 USD 483,455 Fermaca Enterprises S de RL de

CV 6.38% 30/03/2038 460,259 1.18 USD 500,000 Gruma SAB de CV 4.88%

01/12/2024 530,970 1.35 USD 300,000 Grupo Posadas SAB de CV

7.88% 30/06/2022 292,550 0.75 USD 470,000 JB y Compania SA de CV 3.75%

13/05/2025 473,739 1.21 USD 450,000 Petroleos Mexicanos 5.50%

04/02/2019 471,335 1.21


MOROCCOUSD 945,000 OCP SA 6.88% 25/04/2044 983,891 2.52

Total Morocco 983,891 2.52

NETHERLANDSUSD 630,000 Bharti Airtel International

Netherlands BV 5.35% 20/05/2024 681,795 1.74

USD 450,000 Greenko Dutch BV 8.00% 01/08/2019 481,424 1.23

USD 440,000 Kazmunaygas National Company JSC 9.13% 02/07/2018 481,290 1.23

USD 800,000 Petrobras Global Finance BV 4.88% 17/03/2020 668,343 1.71

USD 500,000 Royal Bank of Scotland FRN 29/12/2049 494,755 1.27

USD 200,000 Royal Capital BV FRN 29/05/2049 204,322 0.52


PERUUSD 500,000 BBVA Banco Continental FRN

22/09/2029 504,198 1.29 USD 500,000 Inretail Consumer 5.25%

10/10/2021 504,475 1.29 USD 850,000 Union Andina de Cementos

SAA 5.88% 30/10/2021 853,409 2.18

Total Peru 1,862,082 4.76

Bonds (continued)

RUSSIAN FEDERATIONEUR 670,000 Gazprom(Gaz Capital) 3.39%

20/03/2020 763,646 1.95


SINGAPOREEUR 490,000 Temasek Financial I Limited

1.50% 01/03/2028 571,119 1.46 USD 330,000 Yanlord Land Group Limited

10.63% 29/03/2018 340,563 0.87

Total Singapore 911,682 2.33

THAILANDUSD 433,000 Krung Thai Bank pcl FRN

26/12/2024 446,250 1.14

Total Thailand 446,250 1.14

TURKEYUSD 500,000 Mersin Uluslararasi Liman

Isletmeciligi AS 5.88% 12/08/2020 521,125 1.33

USD 375,000 TC Ziraat Bankasi AS 4.25% 03/07/2019 376,509 0.96

USD 500,000 Tf Varlik Kiralama AS 5.38% 24/04/2019 517,173 1.32

Total Turkey 1,414,807 3.61

UNITED ARAB EMIRATESUSD 370,000 Dp World Limited 3.25%

18/05/2020 373,497 0.96


UNITED STATESUSD 500,000 Alfa Bank Ojsc Via Alfa Bond

Issuance plc 7.50% 26/09/2019 523,505 1.34 USD 500,000 Cemex Finance LLC 9.38%

12/10/2022 552,643 1.42 USD 600,000 Reliance Holdings Inc. 5.40%

14/02/2022 668,025 1.71




59









Bonds (continued)

VIRGIN ISLANDS (BRITISH)USD 500,000 Franshion Brilliant Limited

5.38% 17/10/2018 524,465 1.34


Total Bonds 29,818,576 76.37


PANAMAUSD 540,000 Autoridad del Canal de Panama

4.95% 29/07/2035 567,324 1.45

Total Panama 567,324 1.45

Total Mortgage and Asset Backed Securities 567,324 1.45


ARGENTINAUSD 540,000 Cordoba (Province of) 12.38%

17/08/2017 570,564 1.46 USD 150,000 Provincia de Buenos Aires

9.13% 16/03/2024 153,671 0.39 USD 225,000 Provincia de Buenos Aires

9.25% 15/04/2017 228,727 0.59


CROATIAUSD 378,000 Croatia (Govt of) 6.75%

05/11/2019 415,545 1.06


DOMINICAN REPUBLICUSD 440,000 Dominican Republic (Govt of)

7.45% 30/04/2044 462,033 1.18


IRELANDUSD 450,000 VEB Finance Limited 6.90%

09/07/2020 465,971 1.19



REPUBLIC OF KOREA (SOUTH)USD 500,000 Export-Import Bank of Korea

3.25% 10/11/2025 527,292 1.36





Bonds

BERMUDAUSD 270,000 Digicel Group Limited 7.13%

01/04/2022 209,431 0.54



Total Transferable securities and money market instruments dealt in on another regulated market and recently issued transferable securities 209,431 0.54






60









Bonds

COLOMBIAUSD 770,000 Ecopetrol SA 5.38% 26/06/2026 700,022 0.64 USD 825,000 Ecopetrol SA 5.88% 28/05/2045 649,857 0.59 COP 2,104,000,000 Empresas Publicas de Medellin

7.63% 10/09/2024 609,776 0.56

Total Colombia 1,959,655 1.79

CROATIAUSD 318,000 Hrvatska Elektroprivreda 5.88%

23/10/2022 326,793 0.30


GEORGIAUSD 619,000 Georgian Railway JSC 7.75%

11/07/2022 659,848 0.60

Total Georgia 659,848 0.60


4.00% 30/01/2020 745,586 0.68


INDONESIAUSD 1,618,000 Pertamina PT 5.25% 23/05/2021 1,696,918 1.55 USD 898,000 Perusahaan Listrik Negara Pt

5.25% 24/10/2042 804,958 0.74 USD 731,000 Perusahaan Penerbit Sbsn

Indonesia 4.00% 21/11/2018 762,177 0.70

Total Indonesia 3,264,053 2.99

IRELANDUSD 779,000 Russian Railways via Rzd

Capital plc 5.70% 05/04/2022 795,671 0.73 USD 657,000 Vnesheconombank via

Veb Finance Limited 6.80% 22/11/2025 667,301 0.61

USD 350,000 Vnesheconombank Via Veb Finance plc 5.94% 21/11/2023 341,651 0.31



Bonds (continued)

KAZAKHSTANUSD 638,000 Development Bank of

Kazakhstan JSC 4.13% 10/12/2022 570,784 0.52

USD 670,000 Kazagro National Management Holding JSC 4.63% 24/05/2023 559,142 0.51

Total Kazakhstan 1,129,926 1.03

LUXEMBOURGUSD 374,000 Gaz Capital for Gazprom OAO

6.51% 07/03/2022 392,481 0.36 USD 665,000 Gazprom via Gaz Capital SA

7.29% 16/08/2037 726,170 0.66 USD 526,000 Russian Agricultural Bank

OJSC via Rshb Capital SA 5.30% 27/12/2017 536,073 0.49


MEXICOUSD 593,000 Comision Federal de

Electricidad 4.88% 26/05/2021 627,311 0.57 USD 2,094,000 Petroleos Mexicanos 3.50%

30/01/2023 1,896,629 1.73 USD 601,000 Petroleos Mexicanos 4.88%






02/06/2041 647,236 0.59


MONGOLIAUSD 875,000 Trade & Development Bank of

Mongolia LLC 9.38% 19/05/2020 804,181 0.73

Total Mongolia 804,181 0.73

61










Bonds (continued)

VENEZUELA (continued)USD 843,000 Petroleos de Venezuela SA

8.50% 02/11/2017 446,474 0.41 USD 1,715,549 Petroleos de Venezuela SA

9.00% 17/11/2021 638,613 0.57

Total Venezuela 1,721,934 1.56

Total Bonds 28,559,025 26.08


PANAMAUSD 630,000 Autoridad del Canal de Panama

4.95% 29/07/2035 661,878 0.60




ANGOLAUSD 510,000 Angola (Govt of) 9.50%

12/11/2025 468,065 0.43

Total Angola 468,065 0.43

ARGENTINAUSD 895,591 Argentina (Govt of) 8.75%

07/05/2024 938,264 0.86 USD 1,077,038 Argentina Bonar Bonds 8.00%

08/10/2020 1,127,511 1.03 USD 619,000 Buenos Aires (Provincia de)


9.13% 16/03/2024 389,301 0.35

Total Argentina 3,108,034 2.84

BRAZILUSD 741,000 Brazil (Govt of) 4.25% 07/01/2025 681,257 0.62 USD 828,000 Brazil (Govt of) 4.88% 22/01/2021 835,286 0.77 USD 499,000 Brazil (Govt of) 5.63% 07/01/2041 432,359 0.39 USD 414,000 Brazil (Govt of) 7.13% 20/01/2037 419,693 0.39 USD 338,000 Brazil (Govt of) 8.25% 20/01/2034 377,428 0.34

Total Brazil 2,746,023 2.51


Bonds (continued)

NETHERLANDSUSD 1,236,000 Kazakhstan Temir Zholy

Finance BV 6.95% 10/07/2042 1,098,476 1.00 USD 304,000 Majapahit Holding BV 7.25%

28/06/2017 323,485 0.30 USD 1,065,000 Petrobras Global Finance BV

6.25% 17/03/2024 860,078 0.79 USD 1,780,000 Petrobras International Finance

Company 5.38% 27/01/2021 1,473,600 1.35


PERUUSD 400,000 Corporacion Financiera de

Desarrollo SA 5.25% 15/07/2029 401,872 0.37

Total Peru 401,872 0.37

RUSSIAN FEDERATIONUSD 802,000 Gazprom Neft OAO via Gpn

Capital SA 4.38% 19/09/2022 741,052 0.68 USD 500,000 Russian Agricultural Bank


Total Russian Federation 1,250,305 1.14

TRINIDAD & TOBAGOUSD 1,281,000 Petroleum Company of Trinidad

& Tobago Limited 9.75% 14/08/2019 1,321,678 1.21

Total Trinidad & Tobago 1,321,678 1.21

TUNISIAUSD 695,000 Banque Centrale de Tunisie SA

5.75% 30/01/2025 604,900 0.55

Total Tunisia 604,900 0.55

UNITED STATESUSD 688,000 Pemex Project Funding Master

Trust 6.63% 15/06/2035 664,047 0.61


VENEZUELAUSD 746,402 Petroleos de Venezuela SA


6.00% 15/11/2026 405,985 0.37

62











EGYPTUSD 1,300,000 Egypt (Govt of) 5.88% 11/06/2025 1,162,499 1.06

Total Egypt 1,162,499 1.06

EL SALVADORUSD 338,000 El Salvador (Govt of) 5.88%

30/01/2025 292,559 0.27 USD 383,000 El Salvador (Govt of) 7.65%

15/06/2035 335,351 0.30 USD 474,000 El Salvador (Govt of) 8.25%

10/04/2032 448,304 0.41

Total El Salvador 1,076,214 0.98

ETHIOPIAUSD 367,000 Ethiopia (Govt of) 6.63%

11/12/2024 339,104 0.31

Total Ethiopia 339,104 0.31

GABONUSD 676,377 Gabon (Govt of) 6.38%

12/12/2024 564,125 0.52 USD 430,000 Gabon (Govt of) 6.95%

16/06/2025 360,155 0.32

Total Gabon 924,280 0.84

GEORGIAUSD 826,000 Georgia (Govt of) 6.88%

12/04/2021 894,785 0.82


GHANAUSD 528,332 Ghana (Govt of) 7.88%

07/08/2023 421,897 0.39 USD 1,282,000 Ghana (Govt of) 8.13%

18/01/2026 1,009,274 0.92

Total Ghana 1,431,171 1.31

GUATEMALAUSD 1,048,000 Guatemala (Govt of) 4.88%

13/02/2028 1,067,414 0.97 USD 632,000 Guatemala (Govt of) 5.75%

06/06/2022 694,103 0.63

Total Guatemala 1,761,517 1.60



COLOMBIAUSD 658,000 Colombia (Govt of) 7.38%

27/01/2017 689,156 0.63 USD 803,000 Colombia (Govt of) 7.38%

18/03/2019 910,743 0.83 COP 777,000,000 Colombia (Govt of) 9.85%

28/06/2027 302,158 0.28


COSTA RICAUSD 435,000 Costa Rica (Govt of) 4.25%

26/01/2023 398,643 0.36 USD 300,000 Costa Rica (Govt of) 4.38%

30/04/2025 265,725 0.24 USD 1,002,000 Costa Rica Government 7.16%

12/03/2045 923,133 0.85

Total Costa Rica 1,587,501 1.45

CROATIAUSD 1,003,000 Croatia (Govt of) 6.00%

26/01/2024 1,096,891 1.00 USD 619,000 Croatia (Govt of) 6.75%

05/11/2019 680,482 0.62

Total Croatia 1,777,373 1.62


18/04/2024 414,653 0.38 USD 1,947,000 Dominican (Govt of) 7.50%

06/05/2021 2,126,524 1.94 USD 700,000 Dominican Republic (Govt of)

6.85% 29/01/2026 746,732 0.68 USD 780,000 Dominican Republic (Govt of)

7.45% 30/04/2044 819,059 0.75 USD 540,000 Dominican Republic(Govt of)

6.85% 27/01/2045 534,009 0.49

Total Dominican Republic 4,640,977 4.24

ECUADORUSD 650,000 Ecuador (Govt of) 7.95%

20/06/2024 542,185 0.50 USD 470,000 Ecuador (Govt of) 10.50%

24/03/2020 425,512 0.38

Total Ecuador 967,697 0.88

63











IVORY COASTUSD 1,009,000 Ivory Coast (Govt of) 5.38%

23/07/2024 931,726 0.85 USD 1,226,000 Ivory Coast (Govt of) FRN

31/12/2032 1,134,510 1.04

Total Ivory Coast 2,066,236 1.89

JAMAICAUSD 790,000 Jamaica (Govt of) 6.75%

28/04/2028 813,965 0.74

Total Jamaica 813,965 0.74

MEXICOUSD 552,000 Mexico (Govt of) 3.63%

15/03/2022 570,685 0.52 USD 767,000 Mexico (Govt of) 6.75%

27/09/2034 988,644 0.90 MXN 365,000 Mexico (Govt of) Bonos 7.75%

23/11/2034 2,403,259 2.19 MXN 20,622 Mexico (Govt of) Udibonos

4.00% 15/11/2040 685,323 0.63


NAMIBIAUSD 885,000 Namibia (Govt of) 5.50%

03/11/2021 924,754 0.84

Total Namibia 924,754 0.84

PAKISTANUSD 818,000 Pakistan (Govt of) 6.75%

03/12/2019 856,965 0.78 USD 790,000 Pakistan (Govt of) 8.25%

15/04/2024 841,259 0.77

Total Pakistan 1,698,224 1.55

PANAMAUSD 240,000 Panama (Govt of) 4.00%

22/09/2024 253,800 0.23


PARAGUAYUSD 820,000 Paraguay (Govt of) 6.10%

11/08/2044 840,717 0.77

Total Paraguay 840,717 0.77



HUNGARYUSD 463,000 Hungary (Gov of) 6.25%

29/01/2020 515,645 0.47 USD 390,000 Hungary (Govt of) 4.13%




22/11/2023 1,063,100 0.98 USD 962,000 Hungary (Govt of) 6.38%

29/03/2021 1,094,467 1.00 USD 370,000 Mfb Magyar Fejlesztesi Bank

Zrt 6.25% 21/10/2020 409,531 0.37


INDONESIAUSD 478,000 Indonesia (Govt of) 3.38%

15/04/2023 467,962 0.43 USD 811,000 Indonesia (Govt of) 3.75%


15/04/2043 654,424 0.60 USD 1,134,000 Indonesia (Govt of) 5.25%

17/01/2042 1,145,391 1.05 USD 966,000 Indonesia (Govt of) 5.88%

13/03/2020 1,076,056 0.98 USD 812,000 Indonesia (Govt of) 5.88%





12/10/2035 344,163 0.31


IRELANDUSD 1,313,000 VEB Finance Limited 6.90%

09/07/2020 1,359,598 1.24


64











TURKEYUSD 452,000 Hazine Mustesarligi Varlik

Kiralama AS 4.56% 10/10/2018 467,142 0.43 USD 688,000 Turkey (Govt of) 5.13%

25/03/2022 725,451 0.66 USD 698,000 Turkey (Govt of) 5.63%



26/09/2022 1,002,969 0.92 USD 204,000 Turkey (Govt of) 6.63%



17/03/2036 786,978 0.72 USD 1,019,000 Turkey (Govt of) 7.38%

05/02/2025 1,224,711 1.12 USD 343,000 Turkey (Govt of) 7.50%


14/02/2034 664,183 0.61


URUGUAYUSD 321,663 Uruguay (Govt of) 4.38%

27/10/2027 330,316 0.30 USD 126,889 Uruguay (Govt of) 4.50%

14/08/2024 135,197 0.12 USD 129,413 Uruguay (Govt of) 6.88%

28/09/2025 156,169 0.15

Total Uruguay 621,682 0.57

VENEZUELAUSD 600,000 Venezuela (Govt of) 7.65%

21/04/2025 203,115 0.19 USD 2,041,900 Venezuela (Govt of) 7.75%

13/10/2019 777,453 0.71 USD 582,500 Venezuela (Govt of) 8.25%

13/10/2024 199,302 0.18 USD 566,700 Venezuela (Govt of) 9.00%

07/05/2023 201,065 0.18

Total Venezuela 1,380,935 1.26



PERUUSD 814,000 Peru (Govt of) 7.35% 21/07/2025 1,076,169 0.98

Total Peru 1,076,169 0.98

PHILIPPINESUSD 367,000 Philippine (Govt of) 5.00%

13/01/2037 461,176 0.42 USD 278,000 Philippine (Govt of) 5.50%




17/06/2019 536,825 0.49

Total Philippines 2,159,997 1.97

ROMANIAUSD 182,000 Romania (Govt of) 4.38%

22/08/2023 193,876 0.18

Total Romania 193,876 0.18

RUSSIAN FEDERATIONUSD 600,000 Russia (Govt of) 4.88%

16/09/2023 628,965 0.57 USD 700,000 Russia (Govt of) 5.00%



31/03/2030 547,207 0.50


SENEGALUSD 590,000 Senegal (Govt of) 6.25%

30/07/2024 550,591 0.50

Total Senegal 550,591 0.50

SERBIAUSD 468,000 Serbia (Govt of) 4.88%

25/02/2020 476,000 0.43 USD 547,000 Serbia (Govt of) 5.88%

03/12/2018 572,903 0.53

Total Serbia 1,048,903 0.96

65









ZAMBIAUSD 346,000 Zambia (Govt of) 5.38%

20/09/2022 263,290 0.24 USD 356,000 Zambia (Govt of) 8.50%

14/04/2024 296,204 0.28

Total Zambia 559,494 0.52





DOMINICAN REPUBLICDOP 51,400,000 Dominican (Govt of) 16.95%

04/02/2022 1,465,982 1.34


PANAMAUSD 585,000 Panama (Govt of) 5.63%

25/07/2022 644,813 0.59







66









Bonds

BERMUDAUSD 815,000 Kosmos Energy Limited 7.88%

01/08/2021 688,675 1.03


CAYMAN ISLANDSUSD 567,000 Marfrig Overseas Limited 9.50%

04/05/2020 577,135 0.87 USD 980,000 Petrobras International Finance

Company 7.88% 15/03/2019 940,011 1.41


COLOMBIACOP 3,766,000,000 Empresas Publicas de Medellin

7.63% 10/09/2024 1,091,453 1.64


COSTA RICAUSD 875,000 Banco de Costa Rica 5.25%

12/08/2018 881,895 1.32 USD 1,183,000 Banco Nacional de Costa Rica

4.88% 01/11/2018 1,183,899 1.77 USD 231,000 Instituto Costarricense de

Electricidad 6.95% 10/11/2021 228,818 0.34

Total Costa Rica 2,294,612 3.43

CROATIAUSD 1,215,000 Hrvatska Elektroprivreda 5.88%

23/10/2022 1,248,595 1.87


DOMINICAN REPUBLICUSD 701,000 Aeropuertos Dominicanos Siglo

XXI SA 9.75% 13/11/2019 741,826 1.11


GEORGIAUSD 1,469,000 Georgian Railway JSC 7.75%

11/07/2022 1,565,939 2.35

Total Georgia 1,565,939 2.35

HUNGARYUSD 2,165,000 Magyar Export-Import Bank Zrt

4.00% 30/01/2020 2,202,173 3.30



2.75% 12/08/2020 277,852 0.42 USD 371,000 Export-Import Bank of India

3.88% 02/10/2019 387,304 0.58 USD 372,000 Indian Railway Finance Corp.

Limited 3.92% 26/02/2019 386,305 0.58

Total India 1,051,461 1.58

INDONESIAUSD 1,547,000 Pertamina PT 5.25% 23/05/2021 1,622,455 2.43


IRELANDUSD 877,000 Vnesheconombank Via Veb

Finance plc 4.22% 21/11/2018 864,639 1.30


KAZAKHSTANUSD 1,100,000 Development Bank of

Kazakhstan JSC 4.13% 10/12/2022 984,110 1.48

Total Kazakhstan 984,110 1.48

LUXEMBOURGUSD 1,543,000 Gaz Capital SA 8.15% 11/04/2018 1,675,713 2.52


MALAYSIAUSD 160,000 Petronas Cap. Limited 5.25%

12/08/2019 176,097 0.26

Total Malaysia 176,097 0.26


Bonds (continued)

67









MEXICOUSD 662,000 Cemex SAB De CV 7.75%


23/01/2019 748,216 1.12 USD 1,130,000 Petroleos Mexicanos 5.50%

04/02/2019 1,183,573 1.77


NETHERLANDSUSD 384,000 Intergas Finance BV 6.38%

14/05/2017 393,615 0.59 USD 1,174,000 Kazmunaygas National

Company JSC 9.13% 02/07/2018 1,284,168 1.92 USD 1,509,000 Majapahit Holding BV 7.75%

20/01/2020 1,729,087 2.59 USD 1,353,000 Majapahit Holding BV 8.00%

07/08/2019 1,549,422 2.32 USD 1,069,000 Petrobras International Finance

Company 5.38% 27/01/2021 884,988 1.33 USD 200,000 Royal Bank of Scotland FRN

29/12/2049 197,902 0.30


RUSSIAN FEDERATIONUSD 600,000 Russian Agricultural Bank



SRI LANKAUSD 1,277,000 National Savings Bank 8.88%

18/09/2018 1,333,686 1.99

Total Sri Lanka 1,333,686 1.99

TURKEYUSD 2,110,000 Export Credit Bank of Turkey

5.88% 24/04/2019 2,216,566 3.33 USD 1,360,000 TC Ziraat Bankasi AS 4.25%

03/07/2019 1,365,474 2.04


UNITED KINGDOMUSD 365,000 Ukreximbank Via Biz Finance

plc 9.63% 27/04/2022 323,304 0.48


VENEZUELAUSD 488,861 Petroleos de Venezuela SA

6.00% 16/05/2024 151,205 0.23 USD 491,751 Petroleos de Venezuela SA


9.00% 17/11/2021 440,225 0.66

Total Venezuela 743,352 1.12

Total Bonds 32,968,277 49.42


ARGENTINAUSD 530,000 Buenos Aires (ProvIncia de)

9.95% 09/06/2021 559,076 0.84 USD 900,000 Cordoba (Province of) 12.38%

17/08/2017 950,940 1.43 USD 530,000 Provincia de Buenos Aires


10.88% 26/01/2021 587,501 0.88

Total Argentina 2,640,489 3.96

BRAZILUSD 550,000 Brazil (Govt of) 2.63% 05/01/2023 471,226 0.71 USD 800,000 Brazil (Govt of) 4.88% 22/01/2021 807,040 1.21


CROATIAUSD 350,000 Croatia (Govt of) 5.50%

04/04/2023 370,619 0.56 USD 500,000 Croatia (Govt of) 6.38%



05/11/2019 923,433 1.38



Bonds (continued)


Bonds (continued)

68










18/04/2024 718,459 1.08 USD 200,000 Dominican (Govt of) 7.50%

06/05/2021 218,441 0.33 USD 950,000 Dominican Republic(Govt of)

5.50% 27/01/2025 950,456 1.42


ECUADORUSD 1,050,000 Ecuador (Govt of) 10.50%

24/03/2020 950,612 1.42

Total Ecuador 950,612 1.42

EGYPTUSD 600,000 Egypt (Govt of) 5.75% 29/04/2020 608,460 0.91

Total Egypt 608,460 0.91

EL SALVADORUSD 585,000 El Salvador (Govt of) 7.38%

01/12/2019 586,661 0.88

Total El Salvador 586,661 0.88

GUATEMALAUSD 1,347,000 Guatemala (Govt of) 5.75%

06/06/2022 1,479,363 2.22

Total Guatemala 1,479,363 2.22

HUNGARYUSD 1,560,000 Mfb Magyar Fejlesztesi Bank

Zrt 6.25% 21/10/2020 1,726,670 2.59


IRELANDUSD 2,000,000 VEB Finance Limited 6.90%

09/07/2020 2,070,980 3.11


IVORY COASTUSD 380,000 Ivory Coast (Govt of) 5.38%

23/07/2024 350,898 0.53

IVORY COAST (continued)USD 340,000 Ivory Coast (Govt of) FRN

31/12/2032 314,628 0.47

Total Ivory Coast 665,526 1.00

MONGOLIAUSD 408,000 Development Bank of Mongolia

LLC 5.75% 21/03/2017 395,113 0.59 USD 460,000 Mongolia (Govt of) 10.88%

06/04/2021 461,904 0.69

Total Mongolia 857,017 1.28


15/04/2019 947,088 1.42

Total Pakistan 947,088 1.42


20/01/2020 398,950 0.60 USD 1,658,000 Philippine (Govt of) 8.38%

17/06/2019 2,018,267 3.03


RUSSIAN FEDERATIONUSD 1,200,000 Russia (Govt of) 5.00% 29/04/2020 1,262,280 1.89


SENEGALUSD 260,000 Senegal (Govt of) 6.25%

30/07/2024 242,633 0.36

Total Senegal 242,633 0.36

SERBIAUSD 2,415,000 Serbia (Govt of) 4.88% 25/02/2020 2,456,283 3.67 USD 300,000 Serbia (Govt of) 5.88% 03/12/2018 314,207 0.47

Total Serbia 2,770,490 4.14

SRI LANKAUSD 593,000 Sri Lanka (Govt of) 5.13%

11/04/2019 581,173 0.87

Total Sri Lanka 581,173 0.87





69









TURKEYUSD 1,014,000 Export Credit Bank 5.00%

23/09/2021 1,020,936 1.53


UKRAINEUSD 700,000 Ukraine (Govt of) 7.75%

01/09/2020 657,930 0.99

Total Ukraine 657,930 0.99

VENEZUELAUSD 2,565,000 Venezuela (Govt of) 7.75%

13/10/2019 976,624 1.46

Total Venezuela 976,624 1.46

ZAMBIAUSD 200,000 Zambia (Govt of) 5.38%

20/09/2022 152,191 0.23

Total Zambia 152,191 0.23




Bonds

MEXICOUSD 1,300,000 Petroleos Mexicanos 4.25%

15/01/2025 1,206,537 1.81


Total Bonds 1,206,537 1.81

DOMINICAN REPUBLICDOP 25,170,000 Dominican (Govt of) 15.50%

01/06/2018 612,397 0.92











70









Bonds

BERMUDAUSD 673,000 Aircastle Limited 5.50%

15/02/2022 704,399 0.47


FRANCEUSD 542,000 Numericable Group SA 4.88%

15/05/2019 539,718 0.36 USD 281,000 Numericable Group SA 6.00%

15/05/2022 274,328 0.18


GERMANYUSD 225,000 Unitymedia Hessen 5.50%

15/01/2023 231,469 0.15


IRELANDUSD 754,000 Aercap Ireland Capital Limited

4.50% 15/05/2021 771,742 0.51 USD 36,000 Aercap Ireland Capital Limited

4.63% 30/10/2020 36,985 0.02 USD 1,526,000 Aercap Ireland Capital Limited

5.00% 01/10/2021 1,594,898 1.06 USD 215,000 Allegion plc 5.88% 15/09/2023 227,363 0.15 USD 265,000 Ardagh Packaging Finance plc

6.75% 31/01/2021 257,050 0.17


ITALYUSD 105,000 Telecom Italia SpA 5.30%

30/05/2024 108,389 0.07


LUXEMBOURGUSD 778,000 Arcelormittal 6.50% 01/03/2021 763,989 0.51 USD 64,000 Arcelormittal 7.00% 25/02/2022 63,412 0.04 USD 70,000 ArcelorMittal 6.00% 05/08/2020 68,907 0.05 USD 101,000 Ineos Group Holdings SA 6.13%

15/08/2018 102,715 0.07 USD 366,000 Intelsat Jackson Holdings SA

7.25% 15/10/2020 238,815 0.16 USD 223,000 Wind Acquisition 7.38%

23/04/2021 204,349 0.14 USD 677,000 Wind Acquisition Finance SA

4.75% 15/07/2020 646,599 0.43


Bonds (continued)

LUXEMBOURG (continued)USD 72,000 Wind Acquisition Finance SA

6.50% 30/04/2020 73,503 0.05


NETHERLANDSUSD 480,000 Schaeffler Finance BV 4.25%

15/05/2021 491,104 0.32 USD 140,000 Schaeffler Finance BV 4.75%

15/05/2023 142,407 0.09 USD 135,000 Schaeffler Holding Finance BV

6.25% 15/11/2019 141,221 0.09 USD 580,000 Schaeffler Holding Finance BV

6.88% 15/08/2018 600,300 0.40


UNITED KINGDOMUSD 204,000 International Game Tech 6.25%

15/02/2022 206,193 0.14 USD 110,000 International Game Tech P.P.

144A 6.50% 15/02/2025 109,252 0.07 USD 278,000 Royal Bank of Scotland 5.13%


16/03/2022 13,775 0.01 USD 1,126,000 Virgin Media Finance plc 5.75%

15/01/2025 1,129,322 0.75 USD 345,000 Virgin Media Secured Finance

plc 5.25% 15/01/2026 346,725 0.23


UNITED STATESUSD 10,000 Acadia Healthcare 5.63%

15/02/2023 10,244 0.01 USD 240,000 AES Corp. 4.88% 15/05/2023 233,294 0.15 USD 314,000 AES Corp. 7.38% 01/07/2021 351,894 0.23 USD 45,000 Allegion US Holding Company

Inc. 5.75% 01/10/2021 47,138 0.03 USD 982,000 Ally Financial Inc. 4.13%

13/02/2022 969,391 0.64 USD 23,000 Ally Financial Inc. 4.63%




20/11/2025 112,185 0.07

71










Bonds (continued)

UNITED STATES (continued)USD 400,000 AMC Entertainment Inc. 5.88%

15/02/2022 411,314 0.27 USD 398,000 Amc Networks Inc. 4.75%

15/12/2022 402,686 0.27 USD 186,000 Amc Networks Inc. 5.00%

01/04/2024 187,163 0.12 USD 180,000 Amsurg Corp. 5.63% 30/11/2020 186,411 0.12 USD 265,000 Antero Resources Corp. 5.13%

01/12/2022 239,991 0.16 USD 538,000 Antero Resources Corp. 5.63%

01/06/2023 495,915 0.33 USD 273,000 Apx Group Inc. 6.38%

01/12/2019 273,863 0.18 USD 231,000 Apx Group Inc. 8.75%

01/12/2020 199,209 0.13 USD 250,000 Aramark Services Inc. 5.13%

15/01/2024 264,063 0.18 USD 78,000 Asbury Automotive Group

6.00% 15/12/2024 79,170 0.05 USD 181,000 B&G Foods Inc. 4.63%

01/06/2021 183,710 0.12 USD 486,000 Ball Corp. 4.38% 15/12/2020 505,851 0.34 USD 615,000 Ball Corp. 5.25% 01/07/2025 646,289 0.43 USD 448,000 Berry Plastics Corp 5.50%

15/05/2022 461,545 0.31 USD 185,000 Berry Plastics Corp. 5.13%

15/07/2023 186,859 0.12 USD 285,000 Berry Plastics Corp. 5.13%

15/07/2023 287,864 0.19 USD 249,000 Boyd Gaming Corp. 6.88%

15/05/2023 266,430 0.18 USD 298,000 Calatlantic Group Inc. 6.25%

15/12/2021 320,264 0.21 USD 393,000 Calpine Corp. 5.38% 15/01/2023 381,012 0.26 USD 1,181,000 Carrizo Oil & Gas Inc. 6.25%

15/04/2023 1,043,071 0.69 USD 127,000 Cbre Services Inc. 5.25%

15/03/2025 131,863 0.09 USD 241,000 CCO Holdings LLC 5.75%

15/01/2024 252,535 0.17 USD 240,000 Cedar Fair LP 5.25% 15/03/2021 249,418 0.17 USD 150,000 Cedar Fair LP 5.38% 01/06/2024 156,397 0.10 USD 791,000 Celanese US Holdings LLC

5.88% 15/06/2021 846,279 0.56 USD 310,000 Centene Corp. 4.75% 15/05/2022 314,650 0.21 USD 15,000 Centurylink Inc. 5.63%

01/04/2025 13,474 0.01 USD 506,000 Centurylink Inc. 6.45%

15/06/2021 513,835 0.34


Bonds (continued)

UNITED STATES (continued)USD 588,000 Centurylink Inc. 7.50%

01/04/2024 589,914 0.39 USD 498,000 Choice Hotel International Inc.

5.75% 01/07/2022 533,004 0.35 USD 765,000 CHS - Community Health

Systems Inc. 5.13% 01/08/2021 773,472 0.51 USD 383,000 CHS - Community Health

Systems Inc. 6.88% 01/02/2022 342,961 0.23 USD 140,000 CIT Group Inc. 5.38% 15/05/2020 145,653 0.10 USD 34,000 Concho Resources Inc. 5.50%

01/10/2022 33,575 0.02 USD 1,167,000 Concho Resources Inc. 5.50%

01/04/2023 1,142,726 0.76 USD 284,000 Concho Resources Inc. 6.50%

15/01/2022 285,137 0.19 USD 19,000 Constellation Brands 3.75%



15/11/2024 987,731 0.66 USD 18,000 Constellation Brands Inc. 3.88%

15/11/2019 18,910 0.01 USD 195,000 Constellation Brands Inc. 4.75%


3.80% 01/06/2024 400,071 0.27 USD 168,000 Continental Resources Inc.

4.50% 15/04/2023 141,109 0.09 USD 159,000 Crown Castle International

Corp. 4.45% 15/02/2026 164,734 0.11 USD 774,000 Crown Castle International

Corp. 4.88% 15/04/2022 825,525 0.55 USD 132,000 Crown Castle International

Corp. 5.25% 15/01/2023 142,605 0.09 USD 237,000 CSC Holdings LLC 6.75%

15/11/2021 243,531 0.16 USD 851,000 Davita Healthcare Partners Inc.

5.75% 15/08/2022 890,256 0.60 USD 100,000 Diamondback Energy Inc. 7.63%

01/10/2021 103,842 0.07 USD 302,000 Dish DBS Corp 5.88% 15/11/2024 278,218 0.18 USD 782,000 Dish Dbs Corp. 6.75% 01/06/2021 809,370 0.54 USD 152,000 Dr Horton Inc. 4.38% 15/09/2022 153,930 0.10 USD 444,000 Dr Horton Inc. 4.75% 15/02/2023 449,146 0.30 USD 1,080,000 E*Trade Financial Corp. 4.63%

15/09/2023 1,096,761 0.73 USD 466,000 Energy Transfer Equity LP 5.50%

01/06/2027 375,857 0.25

72










Bonds (continued)

UNITED STATES (continued)USD 28,000 Equinix Inc. 4.88% 01/04/2020 29,052 0.02 USD 43,000 Equinix Inc. 5.38% 01/01/2022 44,889 0.03 USD 275,000 Equinix Inc. 5.38% 01/04/2023 284,373 0.19 USD 206,000 Examworks Group Inc. 5.63%

15/04/2023 211,377 0.14 USD 192,000 Fresenius Medical Care 5.63%

31/07/2019 208,909 0.14 USD 471,000 Fresenius Medical Care P.P.

144A 5.88% 31/01/2022 519,381 0.34 USD 27,000 Frontier Communications Corp.

6.88% 15/01/2025 22,853 0.02 USD 11,000 Frontier Communications Corp.

7.63% 15/04/2024 9,827 0.01 USD 98,000 Frontier Communications Corp.

8.50% 15/04/2020 101,739 0.07 USD 260,000 GLP Capital LP 4.38% 01/11/2018 267,692 0.18 USD 109,000 Group 1 Automotive Inc. 5.00%

01/06/2022 108,448 0.07 USD 20,000 HCA Holdings Inc. 6.25%

15/02/2021 21,639 0.01 USD 756,000 HCA Inc. 4.75% 01/05/2023 769,162 0.51 USD 846,000 HCA Inc. 5.25% 15/04/2025 876,684 0.58 USD 148,000 HCA Inc. 5.25% 15/06/2026 151,262 0.10 USD 1,121,000 HCA Inc. 5.38% 01/02/2025 1,138,274 0.76 USD 266,000 HCA Inc. 5.88% 01/05/2023 279,643 0.19 USD 170,000 HCA Inc. 5.88% 15/02/2026 175,339 0.12 USD 747,000 HD Supply Inc. 11.50%

15/07/2020 830,205 0.55 USD 124,000 Healthsouth Corp 5.75%

01/11/2024 125,671 0.08 USD 225,000 Healthsouth Corp 5.75%

15/09/2025 228,488 0.15 USD 64,000 Hertz 6.25% 15/10/2022 64,111 0.04 USD 32,000 Hertz Corp. 7.38% 15/01/2021 32,708 0.02 USD 603,000 Hilton Worldwide Finance LLC

5.63% 15/10/2021 627,617 0.42 USD 196,000 Huntsman International LLC

4.88% 15/11/2020 194,048 0.13 USD 308,000 Icahn Enterprises LP 5.88%

01/02/2022 293,510 0.19 USD 210,000 Icahn Enterprises LP 6.00%

01/08/2020 204,669 0.14 USD 710,000 IHS Inc. 5.00% 01/11/2022 738,400 0.49 USD 333,000 International Lease Finance

Corp. 6.25% 15/05/2019 355,454 0.24 USD 18,000 International Lease Finance

Corp. 8.63% 15/01/2022 21,749 0.01 USD 214,000 Istar Financial Inc. 5.00%

01/07/2019 207,045 0.14


Bonds (continued)

UNITED STATES (continued)USD 160,000 Kinetics Concepts 10.50%

01/11/2018 161,200 0.11 USD 210,000 L Brands Inc. 8.50% 15/06/2019 246,773 0.16 USD 68,000 Laredo Petroleum Inc. 5.63%

15/01/2022 57,138 0.04 USD 1,724,000 Laredo Petroleum Inc. 6.25%

15/03/2023 1,453,885 0.96 USD 686,000 Lennar Corp 4.50% 15/06/2019 708,450 0.48 USD 119,000 Lennar Corp 4.75% 01/04/2021 120,913 0.08 USD 327,000 Level 3 Financing Inc. 5.38%

15/08/2022 336,450 0.22 USD 35,000 Level 3 Financing Inc. 6.13%


01/06/2020 140,773 0.09 USD 88,000 Masco Corp. 3.50% 01/04/2021 89,199 0.06 USD 76,000 Masco Corp. 4.38% 01/04/2026 77,801 0.05 USD 192,000 Meritage Homes Corp 6.00%

01/06/2025 193,440 0.13 USD 312,000 Meritage Homes Corp. 7.00%

01/04/2022 332,984 0.22 USD 411,000 MGM Resorts International

6.00% 15/03/2023 424,882 0.28 USD 434,000 MGM Resorts International

6.75% 01/10/2020 467,895 0.31 USD 606,000 MGM Resorts International

11.38% 01/03/2018 700,872 0.46 USD 334,000 MPLX LP 4.88% 01/06/2025 304,329 0.20 USD 40,000 Navient LLC 6.13% 25/03/2024 34,896 0.02 USD 302,000 Navient LLC 7.25% 25/01/2022 282,094 0.19 USD 2,000 NCR Corp. 5.88% 15/12/2021 2,064 0.00 USD 107,000 NCR Corp. 6.38% 15/12/2023 110,745 0.07 USD 675,000 Netflix Inc. 5.75% 01/03/2024 716,064 0.47 USD 792,000 Newfield Exploration Company

5.63% 01/07/2024 748,575 0.50 USD 395,000 Nrg Energy Inc. 6.25%

15/07/2022 368,073 0.24 USD 52,000 Nrg Energy Inc. 6.25%

01/05/2024 47,814 0.03 USD 130,000 NRG Energy Inc. 7.63%

15/01/2018 138,775 0.09 USD 806,000 NRG Yield Operating LLC 5.38%

15/08/2024 750,393 0.51 USD 220,000 Outfront Media Cap LLC 5.88%

15/03/2025 230,450 0.15 USD 288,000 Penske Automotive Group Inc.

5.38% 01/12/2024 285,755 0.19 USD 82,000 Pinnacle Entertainment Inc.

6.38% 01/08/2021 86,617 0.06

73










Bonds (continued)

UNITED STATES (continued)USD 6,000 Ply Gem Industries Inc. 6.50%

01/02/2022 6,014 0.00 USD 32,000 Post Holdings Inc. 7.38%

15/02/2022 33,861 0.02 USD 240,000 Pultegroup Inc. 4.25%

01/03/2021 242,360 0.16 USD 280,000 Qualitytech LP 5.88% 01/08/2022 287,700 0.19 USD 80,000 Range Resources Corp. 5.75%

01/06/2021 71,680 0.05 USD 603,000 Reynolds Group Issuer Inc.

5.75% 15/10/2020 620,674 0.41 USD 336,000 Reynolds Group Issuer Inc.

8.25% 15/02/2021 344,242 0.23 USD 254,000 RHP Hotel Property 5.00%

15/04/2023 260,985 0.17 USD 330,000 Rite Aid Corp 6.75% 15/06/2021 348,955 0.23 USD 728,000 RSP Permian Inc. 6.63%

01/10/2022 720,720 0.48 USD 66,000 Sally Holdings/sally Cap 5.63%

01/12/2025 70,482 0.05 USD 340,000 Sally Holdings/sally Cap 5.75%

01/06/2022 358,513 0.24 USD 200,000 Service Corp International

4.50% 15/11/2020 206,658 0.14 USD 240,000 Service Corp. 7.63% 01/10/2018 272,821 0.18 USD 110,000 SLM Corp. 8.45% 15/06/2018 117,600 0.08 USD 795,000 Spectrum Brands Inc. 5.75%

15/07/2025 845,657 0.57 USD 144,000 Spectrum Brands Inc. 6.38%

15/11/2020 151,843 0.10 USD 181,000 Spectrum Brands Inc. 6.63%

15/11/2022 194,485 0.13 USD 178,000 Springleaf Finance Corp. 6.90%



01/10/2023 27,160 0.02 USD 153,000 Sprint Communications Inc.

6.00% 15/11/2022 112,185 0.07 USD 210,000 Sprint Corp 7.63% 15/02/2025 155,400 0.10 USD 729,000 Sprint Corp. 7.13% 15/06/2024 544,924 0.36 USD 136,000 Sprint Corp. 7.25% 15/09/2021 105,140 0.07 USD 578,000 Sprint Corp. 7.88% 15/09/2023 444,167 0.29 USD 260,000 Standard Pacific Corp. 5.88%

15/11/2024 275,766 0.18 USD 312,000 Synovus Financial Corp. 7.88%

15/02/2019 346,308 0.23


Bonds (continued)

UNITED STATES (continued)USD 550,000 Tempur Sealy International Inc.

6.88% 15/12/2020 581,598 0.39 USD 203,000 Tenet Healthcare Corp. 4.75%

01/06/2020 207,556 0.14 USD 722,000 Tenet Healthcare Corp. 6.00%



01/04/2022 152,933 0.10 USD 686,000 T-Mobile USA Inc. 6.00%










28/04/2023 251,287 0.17 USD 245,000 Toll Bros 4.88% 15/11/2025 243,875 0.16 USD 180,000 Toll Brothers Finance Corp.

5.63% 15/01/2024 186,686 0.12 USD 112,000 Transdigm Inc. 6.00% 15/07/2022 111,849 0.07 USD 127,000 Transdigm Inc. 6.50% 15/07/2024 126,399 0.08 USD 458,000 Transdigm Inc. 6.50% 15/05/2025 450,463 0.30 USD 40,000 Transdigm Inc. 7.50% 15/07/2021 41,764 0.03 USD 368,000 United Rentals North America

Inc. 6.13% 15/06/2023 381,353 0.24 USD 100,000 United Rentals North America

Inc. 7.63% 15/04/2022 106,593 0.07 USD 545,000 Verisign Inc. 4.63% 01/05/2023 552,319 0.36 USD 386,000 Verisign Inc. 5.25% 01/04/2025 391,004 0.26 USD 270,000 Wellcare Health Plans Inc.

5.75% 15/11/2020 280,043 0.19 USD 1,005,000 Western Gas Partners LP 3.95%

01/06/2025 862,658 0.56 USD 246,000 Western Gas Partners LP 4.00%

01/07/2022 221,024 0.15

74










Bonds (continued)

GERMANYUSD 789,000 Unitymedia Hessen GmbH

5.00% 15/01/2025 787,606 0.52 USD 378,000 Unitymedia Kabelbw GmbH

6.13% 15/01/2025 393,715 0.26


IRELANDUSD 341,000 Grifols Worldwide Operations

Limited 5.25% 01/04/2022 353,225 0.23


LUXEMBOURGUSD 437,000 Beverage Packaging Holdings

Luxembourg II SA 5.63% 15/12/2016 437,000 0.29

USD 112,000 ConvaTec Finance 8.25% 15/01/2019 111,370 0.07

USD 70,000 Ineos Group Holdings SA 5.88% 15/02/2019 70,711 0.05

USD 357,000 Mallinckrodt International Finance 5.50% 15/04/2025 317,284 0.21

USD 147,000 Mallinckrodt International Finance-Mallinckrodt 5.63% 15/10/2023 133,980 0.09


NETHERLANDSUSD 602,000 NXP BV 4.63% 15/06/2022 619,307 0.41 USD 751,000 Playa Resorts Holding BV 8.00%

15/08/2020 741,613 0.48


UNITED KINGDOMUSD 392,000 Sensata Technologies UK

Financing 6.25% 15/02/2026 416,500 0.28


UNITED STATESUSD 122,000 Abc Supply Company Inc.

5.75% 15/12/2023 126,575 0.08 USD 180,000 Acadia Healthcare 5.13%

01/07/2022 183,154 0.12 USD 347,000 Acadia Healthcare Company

Inc. 6.50% 01/03/2024 362,615 0.24


Bonds (continued)

UNITED STATES (continued)USD 228,000 Whitewave Foods Company

5.38% 01/10/2022 245,581 0.16 USD 265,000 Williams Companies Inc. 3.70%

15/01/2023 199,412 0.14 USD 1,190,000 Williams Companys Inc. 4.55%

24/06/2024 907,487 0.60 USD 436,000 Zayo Group LLC 6.00%

01/04/2023 434,672 0.29


Total Bonds 71,165,208 47.18



Bonds

CANADAUSD 490,000 Burger King 4.63% 15/01/2022 499,391 0.33 USD 85,000 Burger King 6.00% 01/04/2022 88,475 0.06 USD 106,000 Concordia Healthcare Corp.

7.00% 15/04/2023 91,160 0.06 USD 131,000 Nova Chemicals Corp. 5.00%

01/05/2025 127,766 0.08 USD 500,000 Quebecor Media Inc. 5.75%

15/01/2023 520,048 0.34 USD 69,000 Valeant Pharmaceuticals

International Inc. P.P. 144A 5.63% 01/12/2021 54,189 0.04

USD 707,000 Videotron Limited 5.00% 15/07/2022 735,245 0.49

USD 118,000 Vpii Escrow Corp. P.P. 144A 7.50% 15/07/2021 98,837 0.07

USD 894,000 VRX Escrow Corp. P.P. 144A 5.88% 15/05/2023 700,833 0.46

USD 1,419,000 VRX Escrow Corp. P.P. 144A 6.13% 15/04/2025 1,102,911 0.73

Total Canada 4,018,855 2.66

CAYMAN ISLANDSUSD 245,000 UPCB Finance IV Limited 5.38%

15/01/2025 248,254 0.16


75










Bonds (continued)

UNITED STATES (continued)USD 63,000 CCOH Safari LLC 5.75%

15/02/2026 64,679 0.04 USD 69,000 Centene Escrow Corp 5.63%

15/02/2021 72,257 0.05 USD 573,000 Centene Escrow Corp 6.13%

15/02/2024 602,956 0.40 USD 69,000 Cequel Communications

Holdings P.P. 144A 5.13% 15/12/2021 64,688 0.04

USD 119,000 Cequel Communications Holdings 6.38% 15/09/2020 119,010 0.08

USD 306,000 Cequel Communications Holdings I LLC P.P. 144A 5.13% 15/12/2021 281,903 0.19

USD 56,000 Chemours Company P.P. 144A 6.63% 15/05/2023 45,888 0.03

USD 923,000 Chemours Company 7.00% 15/05/2025 743,015 0.49

USD 873,000 CIT Group Inc. 5.50% 15/02/2019 901,996 0.59 USD 228,000 CIT Group Inc. 6.63% 01/04/2018 240,665 0.16 USD 768,000 Crownrock LP P.P. 144A 7.75%

15/02/2023 739,200 0.49 USD 211,000 Cyrusone LP 6.38% 15/11/2022 218,626 0.14 USD 291,000 Digitalglobe Inc. P.P. 144A 5.25%

01/02/2021 266,265 0.18 USD 362,000 DISH DBS Corp. 5.88%

15/07/2022 344,810 0.23 USD 169,000 Emdeon Inc. P.P. 144A 6.00%

15/02/2021 164,986 0.11 USD 161,000 Emdeon Inc. 11.00% 31/12/2019 170,861 0.11 USD 612,000 Endo Finance LLC P.P. 144A

6.00% 15/07/2023 584,411 0.39 USD 309,000 Endo Finance LLC P.P. 144A

6.00% 01/02/2025 290,760 0.19 USD 300,000 Entegris Inc. P.P. 144A 6.00%

01/04/2022 306,750 0.20 USD 931,000 Equinix Inc. 5.88% 15/01/2026 980,912 0.64 USD 12,000 Family Tree Escrow LLC P.P.

144A 5.25% 01/03/2020 12,550 0.01 USD 551,000 Family Tree Escrow LLC P.P.

144A 5.75% 01/03/2023 587,142 0.39 USD 352,000 First Data Corp 5.00%

15/01/2024 353,779 0.23 USD 980,000 First Data Corp P.P. 144A 5.75%



01/12/2023 718,066 0.48


Bonds (continued)

UNITED STATES (continued)USD 68,000 Activision Blizzard Inc. P.P. 144A

5.63% 15/09/2021 71,740 0.05 USD 1,267,000 Activision Blizzard Inc. P.P. 144A

6.13% 15/09/2023 1,363,989 0.91 USD 125,000 Alere Inc. P.P. 144A 6.38%

01/07/2023 132,500 0.09 USD 683,000 Alliance Data Systems Corp P.P.

144A 6.38% 01/04/2020 697,514 0.46 USD 338,000 Alliance Data Systems Corp.

5.38% 01/08/2022 318,565 0.21 USD 480,000 Altice US Finance I Corp P.P.

144A 5.38% 15/07/2023 495,326 0.33 USD 549,000 Altice US Finance II Corp P.P.

144A 7.75% 15/07/2025 543,510 0.36 USD 546,000 American Builders &

Contractors Supply Company Inc. P.P. 144A 5.63% 15/04/2021 562,380 0.37

USD 175,000 Amsurg Corp 5.63% 15/07/2022 180,979 0.12 USD 335,000 Ancestry.com Inc. 11.00%

15/12/2020 361,800 0.24 USD 177,000 Aruba Investments Inc. P.P.

144A 8.75% 15/02/2023 169,035 0.11 USD 69,000 Asbury Automotive Group Inc.

P.P. 144A 6.00% 15/12/2024 70,035 0.05 USD 405,000 Avis Budget Car Rental LLC

5.25% 15/03/2025 372,094 0.25 USD 324,000 Beacon Roofing Supply P.P.

144A 6.38% 01/10/2023 344,250 0.23 USD 251,000 Berry Plastics Corp. 6.00%

15/10/2022 263,556 0.17 USD 249,000 Boyd Gaming Corp. 6.38%

01/04/2026 257,698 0.17 USD 335,000 Building Materials Corp. 6.00%

15/10/2025 355,938 0.24 USD 174,000 Calpine Corp. P.P. 144A 6.00%

15/01/2022 182,700 0.12 USD 94,000 Cco Holdings LLC P.P. 144A

5.88% 01/05/2027 96,115 0.06 USD 8,000 CCO Holdings LLC 5.13%




01/05/2025 571,045 0.38 USD 1,024,000 CCO Holdings LLC 5.88%

01/04/2024 1,071,856 0.72

76










Bonds (continued)

UNITED STATES (continued)USD 552,000 Lifepoint Hospitals 5.50%

01/12/2021 576,376 0.38 USD 272,000 LTF Merger Sub Inc. P.P. 144A

8.50% 15/06/2023 266,560 0.18 USD 169,000 Manitowoc Foodservice Inc.

9.50% 15/02/2024 185,055 0.12 USD 674,000 Mednax Inc. 5.25% 01/12/2023 702,645 0.47 USD 335,000 Microsemi Corp. 9.13%

15/04/2023 369,338 0.24 USD 505,000 Molina Healthcare 5.38%

15/11/2022 519,645 0.34 USD 394,000 MPH Acquisition Holdings

6.63% 01/04/2022 410,745 0.27 USD 1,455,000 Mplx LP 4.88% 01/12/2024 1,344,514 0.89 USD 118,000 MPLX LP 4.50% 15/07/2023 108,560 0.07 USD 82,000 MPLX LP 5.50% 15/02/2023 79,492 0.05 USD 437,000 MSCI Inc. P.P. 144A 5.25%

15/11/2024 453,366 0.30 USD 287,000 MSCI Inc. 5.75% 15/08/2025 302,574 0.20 USD 110,000 National Financial Partners

Corp. P.P. 144A 9.00% 15/07/2021 106,013 0.07 USD 655,000 Navient Corp. 5.00% 26/10/2020 598,365 0.40 USD 730,000 Neptune Finco Corp. P.P. 144A

6.63% 15/10/2025 781,706 0.52 USD 157,000 Neptune Finco Corp. P.P. 144A

10.13% 15/01/2023 168,254 0.11 USD 1,070,000 Neptune Finco Corp. P.P. 144A

10.88% 15/10/2025 1,167,396 0.77 USD 162,000 Netflix Inc. 5.50% 15/02/2022 169,885 0.11 USD 613,000 Netflix Inc. 5.88% 15/02/2025 649,198 0.43 USD 294,000 Nielsen Finance LLC P.P. 144A

5.00% 15/04/2022 299,480 0.20 USD 661,000 Nortek Inc. 8.50% 15/04/2021 688,745 0.46 USD 35,000 Onemain Financial Holdings

Inc. P.P. 144A 6.75% 15/12/2019 35,088 0.02 USD 300,000 Onemain Financial Holdings

Inc. P.P. 144A 7.25% 15/12/2021 298,860 0.20 USD 187,000 Outfront Media Cap LLC 5.25%

15/02/2022 192,229 0.13 USD 229,000 Outfront Media Cap LLC 5.63%

15/02/2024 238,631 0.16 USD 357,000 Owens-Brockway 5.88%

15/08/2023 372,619 0.25 USD 566,000 Parsley Energy LLC P.P. 144A

7.50% 15/02/2022 564,557 0.37 USD 36,000 Penn National Gaming Inc.

5.88% 01/11/2021 35,889 0.02 USD 340,000 Pinnacle Foods Inc. 5.88%

15/01/2024 355,300 0.24


Bonds (continued)

UNITED STATES (continued)USD 203,000 First Data Corp. P.P. 144A 5.38%

15/08/2023 208,095 0.14 USD 190,000 Fresenius Medical Care US

Finance II Inc. P.P. 144A 4.75% 15/10/2024 194,893 0.13

USD 225,000 Frontier Communications P.P. 144A 8.88% 15/09/2020 235,238 0.16

USD 247,000 Frontier Communications P.P. 144A 10.50% 15/09/2022 254,158 0.17

USD 1,491,000 Frontier Communications P.P. 144A 11.00% 15/09/2025 1,500,676 0.99

USD 371,000 Frontier Communications Corp. 8.75% 15/04/2022 364,144 0.24

USD 111,000 Gibraltar Industries Inc. 6.25% 01/02/2021 112,943 0.07

USD 37,000 Glp Capital LP 5.38% 01/11/2023 37,068 0.02 USD 101,000 Group 1 Automotive Inc. 5.25%

15/12/2023 100,364 0.07 USD 513,000 HD Supply Inc. P.P. 144A 5.25%

15/12/2021 541,125 0.36 USD 168,000 HD Supply Inc. 7.50% 15/07/2020 178,399 0.12 USD 243,000 Hologic Inc. P.P. 144A 5.25%

15/07/2022 254,178 0.17 USD 679,000 Hub International Limited P.P.

144A 7.88% 01/10/2021 670,512 0.44 USD 411,000 Hub International Limited FRN

15/02/2021 430,523 0.29 USD 254,000 Huntsman International LLC P.P.

144A 5.13% 15/11/2022 247,650 0.16 USD 39,000 Infor US inc. 5.75% 15/08/2020 40,268 0.03 USD 725,000 Interval Acquisition Corp. 5.63%

15/04/2023 730,437 0.49 USD 195,000 Iron Mountain Inc. P.P. 144A

6.00% 01/10/2020 206,479 0.14 USD 570,000 Jaguar Holding Company 6.38%

01/08/2023 585,675 0.39 USD 164,000 Kinetics Concept 7.88%

15/02/2021 172,708 0.11 USD 61,000 Lamar Media Corp 5.75%

01/02/2026 64,221 0.04 USD 406,000 Lamar Media Corp. 5.38%

15/01/2024 425,793 0.28 USD 13,000 Level 3 Financing Inc. FRN


15/03/2026 218,454 0.14 USD 610,000 Level 3 Financing Inc. P.P. 144A

5.38% 15/01/2024 620,950 0.41

77










Bonds (continued)

UNITED STATES (continued)USD 211,000 Sugarhouse HSP Gaming P.P.

144A 6.38% 01/06/2021 204,670 0.14 USD 123,000 Surgical Care Affiliates Inc. P.P.

144A 6.00% 01/04/2023 124,538 0.08 USD 280,000 Targa Resources 6.75%

15/03/2024 274,434 0.18 USD 239,000 Targa Resources Inc. 4.25%

15/11/2023 210,992 0.14 USD 25,000 Targa Resources Partners LP

4.13% 15/11/2019 23,745 0.02 USD 45,000 Targa Resources Partners LP

5.00% 15/01/2018 44,888 0.03 USD 179,000 Targa Resources Partners LP

5.25% 01/05/2023 165,186 0.11 USD 383,000 Taylor Morrison Communities

Inc. P.P. 144A 5.25% 15/04/2021 377,255 0.25 USD 180,000 Tempur Sealy International Inc.

P.P. 144A 5.63% 15/10/2023 186,066 0.12 USD 17,000 Tesoro Logistics LP P.P. 144A

5.50% 15/10/2019 16,950 0.01 USD 999,000 Tesoro Logistics LP P.P. 144A

6.25% 15/10/2022 993,909 0.67 USD 663,000 The Scotts Miracle-Gro

Company P.P. 144A 6.00% 15/10/2023 700,226 0.46

USD 174,000 Treehouse Foods Inc. 6.00% 15/02/2024 185,310 0.12

USD 256,000 Univision Communications Inc. P.P. 144A 5.13% 15/05/2023 254,080 0.17

USD 912,000 Univision Communications Inc. P.P. 144A 5.13% 15/02/2025 896,208 0.60

USD 280,000 Valeant Pharmaceuticals International Inc. P.P. 144A 5.50% 01/03/2023 221,550 0.16

USD 16,000 Wayne Merger Sub LLC 8.25% 01/08/2023 15,960 0.01

USD 299,000 WR Grace & Company 5.13% 01/10/2021 310,960 0.21

USD 636,000 Zebra Technologies Company 7.25% 15/10/2022 691,774 0.46

USD 306,000 ZF North America Capital Inc. P.P. 144A 4.50% 29/04/2022 312,382 0.21


Total Bonds 66,479,317 44.07



Bonds (continued)

UNITED STATES (continued)USD 419,000 Plastipak Holdings Inc. P.P. 144A

6.50% 01/10/2021 412,715 0.27 USD 77,000 Platform Specialty Products

10.38% 01/05/2021 74,690 0.05 USD 95,000 Platform Specialty Products

Corp. P.P. 144A 6.50% 01/02/2022 80,794 0.05 USD 350,000 Post Holdings Inc. P.P. 144A

6.00% 15/12/2022 363,967 0.24 USD 514,000 Post Holdings Inc. 7.75%

15/03/2024 564,757 0.38 USD 532,000 Prestige Brands Inc. 6.38%

01/03/2024 555,913 0.37 USD 216,000 Project Homestake Merger

Corp P.P. 144A 8.88% 01/03/2023 215,460 0.15 USD 896,000 Provident Funding Associates

LP P.P. 144A 6.75% 15/06/2021 843,315 0.56 USD 255,000 Quicken Loans Inc. P.P. 144A

5.75% 01/05/2025 248,625 0.16 USD 408,000 Quintiles Transnational Corp.

P.P. 144A 4.88% 15/05/2023 417,282 0.28 USD 73,000 Range Resources Corp 4.88%

15/05/2025 63,506 0.04 USD 155,000 Reynolds Group Issuer Inc.

8.50% 15/05/2018 155,211 0.10 USD 564,000 Rite Aid Corp. 6.13% 01/04/2023 599,955 0.40 USD 275,000 Rsi Home Products Inc. 6.50%

15/03/2023 288,406 0.20 USD 882,000 Sabine Pass Liquefaction LLC

5.63% 01/03/2025 844,127 0.56 USD 485,000 Sba Telecommunications Inc.

5.75% 15/07/2020 502,487 0.33 USD 380,000 Scientific Games Corp. 10.00%

01/12/2022 309,700 0.21 USD 711,000 Scientific Games Corporation

7.00% 01/01/2022 729,326 0.48 USD 424,000 Serta Simmons Holdings LLC

8.13% 01/10/2020 437,780 0.29 USD 74,000 Signode Industrial Group Lux

SA P.P. 144A 6.38% 01/05/2022 67,155 0.04 USD 533,000 Sirius XM Radio Inc. P.P. 144A

5.38% 15/04/2025 540,771 0.36 USD 217,000 Solera LLC 10.50% 01/03/2024 218,628 0.14 USD 426,000 Springs Industries Inc. 6.25%

01/06/2021 430,771 0.29 USD 1,687,000 Sprint Communications Inc. P.P.

144A 7.00% 01/03/2020 1,695,063 1.13 USD 434,000 Sterigenics-Nordion 6.50%

15/05/2023 436,170 0.29

78







Other transferable securities and money market instruments

Bonds

CANADAUSD 1,023,000 MDC Partners Inc. 6.50%

01/05/2024 1,047,297 0.70


LUXEMBOURGUSD 124,000 Intelsat Jackson Holdings SA

8.00% 15/02/2024 128,030 0.08


UNITED STATESUSD 145,000 Eco Services Operations LLC

P.P. 144A 8.50% 01/11/2022 134,125 0.09 USD 452,000 HD Supply Inc. 5.75% 15/04/2024 459,458 0.30 USD 92,000 Hiland Partners LP P.P. 144A

7.25% 01/10/2020 95,565 0.06 USD 1,087,000 PQ Corp. P.P. 144A 8.75%

01/11/2018 1,024,498 0.69 USD 26,000 Tunica-Biloxi Gaming Authority

P.P. 144A 9.00% 15/11/2016 13,390 0.01


Total Bonds 2,902,363 1.93

Total Other transferable securities and money market instruments 2,902,363 1.93





79








Bonds

CAYMAN ISLANDSUSD 200,000 Longfor Properties 6.75%

29/01/2023 212,141 0.97


INDONESIAUSD 250,000 Pertamina Persero PT 6.00%

03/05/2042 229,411 1.05 USD 300,000 Perusahaan Listrik Negara Pt

5.50% 22/11/2021 324,125 1.49


PHILIPPINESUSD 250,000 San Miguel Corp 4.88%

26/04/2023 242,001 1.11

Total Philippines 242,001 1.11

SINGAPORESGD 250,000 DBS Group Holdings Limited

FRN 20/01/2028 188,623 0.87


UNITED KINGDOMUSD 400,000 Vedanta Resources plc 8.25%

07/06/2021 238,360 1.09


Total Bonds 1,434,661 6.58


INDONESIAUSD 600,000 Indonesia (Govt of) 3.75%






17/01/2042 454,520 2.09



INDONESIA (continued)USD 400,000 Indonesia (Govt of) 5.88%


15/01/2024 225,740 1.04 IDR 2,600,000,000 Indonesia (Govt of) 6.63%











15/06/2022 141,604 0.65 USD 390,000 Perusahaan Penerbit Sbsn

Indonesia III 4.55% 29/03/2026 390,782 1.79



15/04/2019 263,080 1.21 USD 350,000 Pakistan (Govt of) 8.25%

15/04/2024 372,710 1.71






15/01/2032 345,530 1.59

80











PHILIPPINES (continued)USD 300,000 Philippines (Govt of) 9.88%

15/01/2019 369,747 1.70 USD 200,000 Power Sector Assets &

Liabilities Management Corp. 7.39% 02/12/2024 266,094 1.22


REPUBLIC OF KOREA (SOUTH)USD 350,000 Export-Import Bank of Korea

3.25% 10/11/2025 369,105 1.69 KRW 500,000,000 Korea (Govt of) 1.75%

10/12/2018 440,654 2.02 KRW 500,000,000 Korea (Govt of) 2.00%

10/09/2020 445,414 2.04 KRW 300,000,000 Korea (Govt of) 2.25%

10/06/2025 272,244 1.25 KRW 200,000,000 Korea (Govt of) 3.50%

10/03/2024 197,325 0.91 KRW 300,000,000 Korea (Govt of) 3.75%

10/12/2033 335,771 1.54


SINGAPORESGD 930,000 Singapore (Govt of) 2.25%

01/06/2021 718,511 3.29 SGD 350,000 Singapore (Govt of) 2.38%

01/06/2025 271,870 1.25


SRI LANKAUSD 200,000 Sri Lanka (Govt of) 5.88%

25/07/2022 189,023 0.87 USD 400,000 Sri Lanka (Govt of) 6.25%

04/10/2020 397,728 1.83

Total Sri Lanka 586,751 2.70

THAILANDTHB 10,000,000 Thailand (Govt of) 2.55%

26/06/2020 297,735 1.37 THB 14,000,000 Thailand (Govt of) 3.63%

16/06/2023 453,567 2.08 THB 22,000,000 Thailand (Govt of) 3.65%

17/12/2021 699,948 3.21



THAILAND (continued)THB 10,600,000 Thailand (Govt of) 3.88%

13/06/2019 324,900 1.49

Total Thailand 1,776,150 8.15

VIETNAMUSD 200,000 Vietnam (Govt of) 4.80%

19/11/2024 200,844 0.93

Total Vietnam 200,844 0.93





MALAYSIAMYR 1,300,000 Malaysia (Govt of) 3.58%

28/09/2018 336,246 1.54 MYR 2,000,000 Malaysia (Govt of) 3.66%





30/09/2026 257,113 1.18 MYR 500,000 Malaysia (Govt of) 4.38%

29/11/2019 132,470 0.61 MYR 500,000 Malaysia (Govt of) 4.50%

15/04/2030 132,193 0.61

Total Malaysia 2,410,085 11.06

PHILIPPINESPHP 14,600,000 Philippine (Govt of) 2.13%

23/05/2018 313,249 1.43 PHP 24,000,000 Philippine (Govt of) 3.63%

09/09/2025 521,907 2.40

81









PHILIPPINES (continued)PHP 3,350,000 Philippine (Govt of) 3.88%

22/11/2019 74,330 0.34 PHP 15,000,000 Philippine (Govt of) 4.63%

09/09/2040 328,435 1.51







82









Bonds

BERMUDAUSD 400,000 CBQ Finance Limited 3.38%

11/04/2017 406,252 0.48


CAYMAN ISLANDSUSD 300,000 Hutchison Whampoa

International 11 Limited 3.50% 13/01/2017 304,878 0.36


GERMANYUSD 500,000 Landeskreditbank Baden-

Wuerttemberg Foerderbank 1.63% 25/04/2017 504,113 0.60


UNITED STATESUSD 475,000 General Electric Capital Corp.

2.95% 09/05/2016 476,102 0.56 USD 200,000 Kellogg Company 1.75%

17/05/2017 201,399 0.24


Total Bonds 1,892,744 2.24


AUSTRALIAAUD 4,000,000 Australia (Govt of) 2.75%

21/04/2024 3,161,618 3.74 AUD 4,000,000 Australia (Govt of) 3.25%

21/04/2029 3,258,543 3.86 AUD 1,500,000 New South Wales Treasury

Corp. 3.50% 20/03/2019 1,201,431 1.42 AUD 1,300,000 New South Wales Treasury

Corp. 6.00% 01/04/2019 1,116,248 1.32


CANADAUSD 500,000 Ontario (Province of) 1.10%

25/10/2017 500,788 0.59




FINLANDUSD 400,000 Municipality Finance plc 1.63%

25/04/2017 403,294 0.48


MEXICOMXN 390,000 Mexico (Govt of) Bonos 6.50%

09/06/2022 2,385,298 2.82 MXN 200,000 Mexico (Govt of) Bonos 7.25%

15/12/2016 1,193,459 1.41 MXN 683,000 Mexico (Govt of) Bonos 8.00%

07/12/2023 4,538,821 5.38



Equities

BELGIUM6,233 Anheuser-Busch Inbev NV 775,983 0.93


BERMUDA24,466 Markit Limited 864,872 1.03


BRAZIL61,200 Kroton Educacional SA 198,244 0.23

Total Brazil 198,244 0.23

CAYMAN ISLANDS8,491 Alibaba Group Holding 671,044 0.79

39,100 Tencent Holdings Limited 798,477 0.95


CHINA100,500 Ping An Insurance Group

Company of China Limited 480,696 0.57 62,400 Sinopharm Group Company 281,970 0.33

Total China 762,666 0.90

83










Equities (continued)

DENMARK15,574 Novo Nordisk A/S 846,118 1.00


FRANCE8,975 Criteo SA - ADR 371,745 0.44

10,789 Total SA 492,522 0.58


GERMANY12,502 Brenntag AG 715,182 0.85 3,328 Continental AG 758,484 0.90


HONG KONG80,200 Aia Group Limited 454,427 0.54

Total Hong Kong 454,427 0.54

INDIA6,781 HDFC Bank Limited - ADR 417,913 0.49


INDONESIA721,700 Bank Rakyat Indonesia 621,787 0.74


IRELAND7,882 Alkermes plc 269,486 0.32

1,882,087 Bank of Ireland 546,907 0.65 25,308 CRH plc 716,091 0.85 6,954 Willis Towers Watson plc 825,162 0.98


JAPAN24,600 Japan Exchange Group Inc. 377,333 0.45 19,000 Mitsui Fudosan Company

Limited 474,683 0.56 2,700 Nintendo Company Limited 384,359 0.45

32,000 Sekisui Chemical Company Limited 394,608 0.47

38,500 Yaskawa Electric Corp. 444,962 0.53

Total Japan 2,075,945 2.46



JERSEY - CHANNEL ISLANDS12,116 Wolseley plc 685,951 0.82


MEXICO7,294 Fomento Economico Mexicano

SA de CV - ADR 702,485 0.83 107,400 Grupo Financiero Banorte SAB

de CV 610,584 0.72


NETHERLANDS2,370 Asml Holding NV 241,121 0.29


REPUBLIC OF KOREA (SOUTH)496 Samsung Electronics Company

Limited 569,038 0.67


SPAIN31,468 Cellnex Telecom SAU 503,824 0.60 24,662 Inditex SA 830,882 0.98

Total Spain 1,334,706 1.58

SWITZERLAND8,243 Tyco Electronics Limited 510,407 0.60

53,755 UBS Group 869,488 1.03


UNITED KINGDOM10,440 Aon Corp. 1,090,457 1.28 85,166 BT Group plc 539,212 0.64 25,759 Diageo plc 696,595 0.82 52,898 HSBC Holdings plc 329,895 0.39 6,187 Liberty Global Inc. 238,200 0.28 9,928 Nielsen Holdings plc 522,808 0.62

26,059 Royal Dutch Shell plc 633,703 0.75 27,126 Unilever plc 1,229,103 1.45


84











UNITED STATES18,516 Activision Blizzard Inc. 626,581 0.74 8,838 Align Technology Inc. 642,434 0.76 2,021 Alphabet Inc. - A 1,541,821 1.83

726 Alphabet Inc. - C 540,834 0.64 1,799 Amazon.Com Inc. 1,067,958 1.26 7,252 American Express Company 445,273 0.53

10,366 Amphenol Corp. 599,362 0.71 7,371 Apple Computer Company 803,365 0.95

11,685 Bristol-Myers Squibb Company 746,438 0.88 14,032 Comcast Corp. 857,075 1.01 9,729 Dentsply Sirona Inc. 599,598 0.71

17,325 Enterprise Products Partners LP 426,542 0.50 8,183 Estee Lauder Companies Inc. 771,739 0.91

10,647 Facebook Inc. - A 1,214,822 1.45 12,343 Gilead Sciences Inc. 1,133,828 1.34 16,535 JPMorgan Chase & Company 979,202 1.16 9,537 Mastercard Inc. - A 901,246 1.07 5,544 Molson Coors Brewing Company 533,222 0.63

10,502 Nike Inc. 645,558 0.76 9,686 Occidental Petroleum Corp. 662,813 0.79

30,065 Pfizer Inc. 891,126 1.06 588 Priceline.Com Inc. 757,908 0.90

22,611 Sabre Corp. 653,910 0.77 11,516 Spirit Airlines Inc. 552,538 0.65 10,647 Tjx Companies Inc. 834,193 0.99 8,821 Union Pacific Corp. 701,711 0.83 6,517 United Parcel Service Inc. 687,348 0.81 7,496 Vertex Pharmaceuticals Inc. 595,857 0.71

11,464 Visa Inc. - A 876,767 1.03 7,941 Wesco International Inc. 434,134 0.51 6,609 Zimmer Holdings Inc. 704,718 0.83


Total Equities 47,416,729 56.12

Structured Instruments - Commodities

IRELAND4,290 Source Physical Gold ETC 0.00% 519,819 0.62


Total Structured Instruments - Commodities 519,819 0.62




ISRAELUSD 725,000 Israel (Govt of) AID Bond 5.50%

04/12/2023 897,992 1.06

Total Israel 897,992 1.06

UNITED STATESUSD 2,490,300 United States Treasury Bill

0.00% 28/04/2016 2,489,996 2.95





Funds

LUXEMBOURG254,837 Threadneedle (Lux) - Enhanced

Commodities Portfolio 3,442,843 4.07


UNITED KINGDOM3,908,353 Threadneedle Investment

Funds ICVC - European High Yield Bond Fund 4,822,343 5.71


Total Funds 8,265,186 9.78






85








Bonds

AUSTRALIAEUR 100,000 Origin Energy Finance Limited

2.50% 23/10/2020 106,548 0.25




CANADAEUR 225,000 VRX Escrow Corp. 4.50%

15/05/2023 190,635 0.44


CAYMAN ISLANDSGBP 100,000 Petrobras International Finance

Company 6.25% 14/12/2026 100,255 0.23


CZECH REPUBLICEUR 200,000 RPG Byty sro 6.75% 01/05/2020 236,346 0.55

Total Czech Republic 236,346 0.55

FRANCEEUR 150,000 Areva SA 4.88% 23/09/2024 148,196 0.34 EUR 200,000 Casino Guichard Perrachon SA

2.80% 05/08/2026 218,892 0.51 EUR 100,000 Cerba European Lab 7.00%

01/02/2020 119,191 0.28 EUR 200,000 Crown European Holdings SA

4.00% 15/07/2022 243,106 0.56 EUR 110,000 Ephios Bondco plc 6.25%

01/07/2022 132,970 0.31 EUR 200,000 Horizon Holdings III 5.13%

01/08/2022 239,656 0.55 EUR 150,000 Novalis SAS 3.00% 30/04/2022 172,499 0.40 EUR 225,000 Numericable Group SA 5.38%

15/05/2022 261,880 0.60 EUR 100,000 Paprec Holding 5.25%

01/04/2022 111,271 0.26 EUR 100,000 Rexel SA 3.25% 15/06/2022 115,054 0.27


Bonds (continued)

FRANCE (continued)EUR 200,000 Solvay Finance SA FRN

29/12/2049 231,810 0.53 EUR 200,000 Spcm SA 2.88% 15/06/2023 222,376 0.51 EUR 100,000 Wfs Global Holding SAS 9.50%

15/07/2022 123,013 0.28


GERMANYEUR 170,000 Heidelbergcement Finance

7.50% 03/04/2020 237,559 0.55 EUR 100,000 Kirk Beauty Zero GmbH 6.25%

15/07/2022 122,369 0.28 EUR 200,000 Progroup AG 5.13% 01/05/2022 240,398 0.55 EUR 100,000 Safari Holding Verwaltungs

GmbH 8.25% 15/02/2021 120,955 0.28 EUR 200,000 Techem Energy Metering

Service Gmbh & Company 7.88% 01/10/2020 244,326 0.56

EUR 165,000 Thyssenkrupp AG 2.75% 08/03/2021 189,847 0.44

EUR 160,000 Trionista Holdco GmbH 5.00% 30/04/2020 187,987 0.43

EUR 100,000 Unitymedia Hessen GmbH 3.50% 15/01/2027 110,841 0.27



26/11/2025 109,992 0.25 EUR 200,000 Allied Irish Banks FRN

29/12/2049 205,165 0.47 EUR 200,000 Ardagh Packaging Finance plc

4.25% 15/01/2022 232,158 0.54 EUR 200,000 Bank of Ireland FRN 29/12/2049 220,057 0.51


ITALYEUR 200,000 Enel SpA FRN 15/01/2075 239,149 0.55 EUR 100,000 Telecom Italia SpA 3.63%

19/01/2024 120,338 0.28 EUR 100,000 Telecom Italia SpA 4.50%

25/01/2021 128,254 0.30


86










Bonds (continued)


30/07/2022 120,165 0.28 EUR 100,000 Softbank Group Corp 4.75%

30/07/2025 117,325 0.27


JERSEY - CHANNEL ISLANDSGBP 100,000 AA Bond Company Limited

5.50% 31/07/2043 139,208 0.32 GBP 100,000 Cpuk Finance Limited 7.00%

28/02/2042 149,679 0.35 EUR 100,000 Lincoln Finance Limited 6.88%

15/04/2021 118,385 0.27 EUR 100,000 Mercury Bondco 8.25%

30/05/2021 115,239 0.27


LUXEMBOURGEUR 200,000 Altice SA 7.25% 15/05/2022 226,635 0.52 EUR 100,000 Cerberus Nightingale 1 sarl

8.25% 01/02/2020 115,123 0.27 EUR 100,000 Cirsa Funding Luxembourg SA

5.88% 15/05/2023 111,471 0.26 EUR 200,000 Dufry Finance SCA 4.50%



14/10/2019 130,235 0.30 EUR 200,000 Finmec Finance SA 4.50%

19/01/2021 257,373 0.59 EUR 100,000 Garfunkelux Holdco 3 SA 7.50%

01/08/2022 116,847 0.27 USD 200,000 Gazprom OAO via Gaz Capital

SA 6.00% 23/01/2021 207,333 0.48 EUR 100,000 Grand City Properties SA FRN

29/12/2049 107,987 0.25 EUR 200,000 Play Topco SA 7.75% 28/02/2020 232,700 0.54 EUR 100,000 Swissport Investments Sa

6.75% 15/12/2021 120,364 0.28 EUR 119,000 Telenet Finance VI 4.88%

15/07/2027 135,272 0.31 EUR 300,000 Wind Acquisition Finance SA

7.00% 23/04/2021 328,679 0.76



Bonds (continued)

NETHERLANDSEUR 100,000 Adria Bidco BV 7.88%

15/11/2020 121,825 0.28 EUR 150,000 Carlson Wagonlit BV 7.50%

15/06/2019 179,358 0.41 GBP 100,000 Intergen NV 7.50% 30/06/2021 119,296 0.28 EUR 150,000 Oi European Group BV 6.75%

15/09/2020 200,277 0.46 EUR 100,000 Schaeffler Holding Finance BV

5.75% 15/11/2021 122,615 0.28 EUR 200,000 Schaeffler Holding Finance BV

6.88% 15/08/2018 236,698 0.55 EUR 100,000 SNS Bank NV FRN 05/11/2025 111,396 0.26 GBP 200,000 Telefonica Europe BV FRN

26/11/2049 291,023 0.67 EUR 200,000 Ziggo Bond Finance BV FRN

15/01/2025 223,584 0.52


NORWAYEUR 200,000 Lock AS 7.00% 15/08/2021 241,808 0.56



21/01/2019 26,779 0.06


RUSSIAN FEDERATIONEUR 100,000 Gazprom(Gaz Capital) 3.39%

20/03/2020 113,977 0.26


SPAINEUR 140,000 Empark Funding SA 6.75%

15/12/2019 170,489 0.39 EUR 100,000 NH Hotel Group SA 6.88%

15/11/2019 124,913 0.29


SWEDENEUR 200,000 Verisure Holding AB 6.00%

01/11/2022 242,814 0.56 EUR 100,000 Volvo Treasury AB FRN

10/06/2075 113,576 0.26


87










Bonds (continued)

SWITZERLANDEUR 100,000 UBS AG FRN 12/02/2026 119,605 0.28


UNITED KINGDOMGBP 200,000 Anglian Water (Osprey)

Financing plc 7.00% 31/01/2018 309,559 0.71 EUR 100,000 Anglo American Capital plc

1.50% 01/04/2020 94,418 0.22 EUR 100,000 Anglo American Capital plc

3.50% 28/03/2022 93,356 0.22 GBP 125,000 Barclays Bank plc FRN

29/11/2049 227,473 0.52 GBP 100,000 Boparan Finance plc 5.50%

15/07/2021 133,616 0.31 GBP 100,000 Cognita Financing plc 7.75%

15/08/2021 145,091 0.33 GBP 200,000 Co-operative Group 6.88%

08/07/2020 307,009 0.71 GBP 100,000 Debehams plc 5.25% 15/07/2021 145,567 0.34 EUR 100,000 EC Finance plc 5.13% 15/07/2021 119,641 0.28 EUR 200,000 Eco-Bat Finance plc 7.75%

15/02/2017 224,577 0.52 GBP 100,000 Enterprise Inns 6.50%

06/12/2018 150,369 0.35 GBP 70,000 First Hydro Finance plc 9.00%



01/06/2019 210,898 0.49 EUR 150,000 Ineos Finance plc 4.00%

01/05/2023 166,829 0.38 EUR 100,000 International Game Technology

4.13% 15/02/2020 116,930 0.27 EUR 150,000 International Personal Finance

plc 5.75% 07/04/2021 148,504 0.34 GBP 200,000 Jerrold Finco plc 9.75%

15/09/2018 308,149 0.71 GBP 100,000 Keystone Financing 9.50%


2.75% 15/03/2022 284,213 0.66 GBP 100,000 Moy Park Bondco plc 6.25%

29/05/2021 146,772 0.34 GBP 100,000 New Look Secured Issuer plc

6.50% 01/07/2022 141,757 0.33 EUR 105,000 Rexam plc FRN 29/06/2067 120,170 0.28


Bonds (continued)

UNITED KINGDOM (continued)USD 100,000 Royal Bank of Scotland 6.13%


29/12/2049 185,167 0.43 GBP 100,000 Southern Water (Greensands)

plc 8.50% 15/04/2019 159,659 0.36 GBP 100,000 Tesco plc 6.13% 24/02/2022 154,468 0.35 GBP 125,000 Thames Water Kemble Finance

plc 7.75% 01/04/2019 198,426 0.46 GBP 200,000 Twinkle Pizza plc 6.63%

01/08/2021 294,455 0.67 GBP 100,000 Virgin Media Finance 6.38%

15/10/2024 146,632 0.34 EUR 100,000 Virgin Media Finance plc 4.50%

15/01/2025 110,833 0.26


UNITED STATESEUR 110,000 Alliance Data Systems Corp.

5.25% 15/11/2023 119,074 0.27 EUR 200,000 Ball Corp. 4.38% 15/12/2023 244,310 0.56 EUR 100,000 Kloeckner Pentaplast of

America Inc. 7.13% 01/11/2020 119,575 0.28 CHF 150,000 Nord Anglia Education Finance

LLC 5.75% 15/07/2022 161,010 0.37 EUR 200,000 Sealed Air Corp 4.50%

15/09/2023 242,199 0.56


Total Bonds 18,262,865 42.16


GERMANYEUR 81,000 Unitymedia Hessen 5.75%

15/01/2023 99,227 0.23 EUR 81,000 Unitymedia Hessen Gmbh &

Company 5.13% 21/01/2023 98,535 0.23


SWEDENEUR 80,000 TVN Finance Corp. 7.38%

15/12/2020 98,565 0.23



88










Equities

AUSTRALIA28,500 Amcor Limited 314,604 0.73 49,057 Amp Limited 218,498 0.50 39,072 Dulux Group Limited 188,753 0.44 59,448 Goodman Group 305,022 0.70 76,920 Sydney Airport 395,852 0.91


BRAZIL31,600 Ambev SA 167,808 0.39 29,900 Kroton Educacional SA 96,854 0.22


CANADA2,425 Agrium Inc. 214,103 0.49

23,800 Aimia Inc. 155,483 0.36 5,000 Davis + Henderson Corp. 149,329 0.34 7,900 National Bank of Canada 259,516 0.61


CAYMAN ISLANDS155,000 HKT Limited 213,419 0.49 208,000 NagaCorp Limited 133,275 0.31


FINLAND3,879 Sampo OYJ - A 184,504 0.43


FRANCE2,091 Vinci SA 156,002 0.36


GERMANY3,369 BASF SE 254,535 0.59 4,342 Daimler AG - Reg 333,342 0.77 5,752 Prosiebensat.1 Media AG Pfd 296,174 0.68

20,184 Tui AG 315,454 0.73


JAPAN65,000 Aozora Bank Limited 227,279 0.52 7,800 Canon Inc. 232,831 0.54

36 Industrial & Infrastructure Fund Investment Corp. 167,516 0.38



JAPAN (continued)82 Japan Retail Fund Investment

Corp. 197,130 0.45


MEXICO128,800 Kimberly-Clark de Mexico

SA de CV 312,424 0.72 117,800 Wal-Mart de Mexico

SAB de CV 281,824 0.65


NETHERLANDS3,761 Lyondellbasell Industries NV - A 321,866 0.74

11,020 Unilever NV 494,591 1.14


NORWAY10,684 Telenor ASA 172,959 0.40


REPUBLIC OF KOREA (SOUTH)847 SK Telecom Company Limited 154,424 0.36


SPAIN15,577 Ferrovial SA 335,223 0.77


SWITZERLAND183 Givaudan - Reg 360,402 0.83

5,165 Novartis AG - Reg 375,920 0.87 23,201 UBS Group 375,277 0.86


TAIWAN103,000 Pegatron Corp. 240,344 0.55 34,547 Siliconware Precision

Industries Company 55,817 0.13 55,000 Taiwan Semiconductor

Manufacturing Company Limited 276,843 0.64

Total Taiwan 573,004 1.32

89











UNITED STATES (continued)2,816 T Rowe Price Group Inc. 206,863 0.49 3,122 United Parcel Service Inc. 329,277 0.76





Bonds

UNITED KINGDOMGBP 100,000 Iron Mountain Europe plc 6.13%

15/09/2022 146,424 0.34


UNITED STATESUSD 200,000 Neptune Finco Corp. P.P. 144A

10.88% 15/10/2025 218,205 0.50








UNITED KINGDOM5,749 Astrazeneca plc 322,465 0.74

53,013 BAE Systems plc 387,836 0.89 47,074 BT Group plc 298,040 0.69 11,835 Glaxosmithkline plc 240,187 0.55 38,405 HSBC Holdings plc 239,511 0.55 20,827 Intermediate Capital Group plc 185,146 0.43 58,112 Legal & General Group plc 196,449 0.45 15,673 National Grid plc 222,385 0.51 4,724 Rio Tinto plc 132,775 0.31

16,959 Royal Dutch Shell plc - A 410,478 0.96 18,011 St James’s Place plc 237,774 0.55


UNITED STATES4,138 Abbvie Inc. 236,363 0.55

28,923 AES Corp. 341,291 0.79 10,945 Ares Capital Corp. 162,424 0.37 8,504 Blackstone Group LP 238,537 0.55

10,462 CBS Outdoor Americas Inc. 220,748 0.51 19,748 Cisco Systems Inc. 562,226 1.30 3,140 CME Group Inc. 301,597 0.70

10,217 Coca Cola Company 473,967 1.09 4,141 Crown Castle International

Corp. 358,196 0.82 5,483 Dow Chemical Company 278,865 0.64

14,265 Enterprise Products Partners LP 351,204 0.81

15,347 General Electric Company 487,881 1.13 10,662 General Motors Company 335,106 0.77 8,745 JPMorgan Chase & Company 517,878 1.19 5,048 Las Vegas Sands Corp. 260,881 0.60 3,570 Leggett & Platt Inc. 172,788 0.40 4,466 Limited Brands Inc. 392,159 0.90 2,646 McDonald’s Corp. 332,549 0.77 5,760 Merck & Company Inc. 304,762 0.70 4,500 Occidental Petroleum Corp. 307,935 0.71 4,703 Pattern Energy Group Inc. 89,686 0.21 7,018 Paychex Inc. 379,042 0.87

16,137 Pfizer Inc. 478,300 1.10 5,524 Philip Morris International Inc. 541,960 1.25

15,432 Regal Entertainment Group 326,232 0.75 12,339 Reynolds American Inc. 620,775 1.43 9,405 RR Donnelley & Sons Company 154,242 0.35 8,483 Six Flags Entertainment Corp. 470,723 1.09

14,788 Starwood Property Trust Inc. 279,937 0.65

Threadneedle (Lux) - Global Focus

90


Quantity Investment USD Value







Equities

AUSTRALIA14,127 CSL Limited 1,102,368 1.90


BELGIUM9,797 Anheuser-Busch Inbev NV 1,219,686 2.11

Total Belgium 1,219,686 2.11

CAYMAN ISLANDS56,100 Tencent Holdings Limited 1,145,640 1.98


DENMARK19,419 Novo Nordisk A/S 1,055,013 1.82


GERMANY4,744 Continental AG 1,081,205 1.87


HONG KONG484,600 Aia Group Limited 2,745,824 4.74

Total Hong Kong 2,745,824 4.74

INDIA66,091 Asian Paints Limited 866,698 1.50

124,654 Hdfc Bank Limited 2,371,824 4.09

Total India 3,238,522 5.59

IRELAND14,743 Medtronic Inc. 1,105,725 1.91


JAPAN1,928 Keyence Corp. 1,053,071 1.826,100 Shimano Inc. 957,373 1.65

Total Japan 2,010,444 3.47

NETHERLANDS73,560 Reed Elsevier NV 1,286,299 2.22




SWITZERLAND17,284 Compagnie Financiere

Richemont SA - Reg 1,146,973 1.98


UNITED KINGDOM140,856 BT Group plc 891,803 1.5436,238 Diageo plc 979,977 1.6920,478 Imperial Tobacco Group plc 1,136,998 1.9621,896 Nielsen Holdings plc 1,153,043 1.9921,361 Reckitt Benckiser Group plc 2,066,256 3.5743,480 Unilever plc 1,970,117 3.40


UNITED STATES26,836 Activision Blizzard Inc. 908,130 1.573,755 Alphabet Inc. - A 2,864,690 4.941,612 Amazon.Com Inc. 956,948 1.65

10,944 Apple Computer Company 1,192,787 2.0624,120 Colgate-Palmolive Company 1,704,078 2.9417,877 Comcast Corp. 1,091,927 1.887,653 Cooper Companies Inc. 1,178,332 2.031,003 Costco Wholesale Corp. 158,053 0.27

17,763 Dentsply Sirona Inc. 1,094,734 1.8911,141 Equifax Inc. 1,273,305 2.2012,348 Estee Lauder Companies Inc. 1,164,540 2.0129,997 Mastercard Inc. - A 2,834,716 4.9012,766 Mead Johnson Nutrition

Company - A 1,084,727 1.8720,913 Microsoft Corp. 1,155,025 1.9930,084 Nike Inc. 1,849,263 3.1918,853 Ppg Industries Inc. 2,101,921 3.648,626 Praxair Inc. 987,246 1.70

28,083 Reynolds American Inc. 1,412,856 2.4415,902 Thermo Fisher Scientific Inc. 2,251,564 3.8814,681 Tjx Companies Inc. 1,150,256 1.9912,069 Union Pacific Corp. 960,089 1.6630,101 Visa Inc. - A 2,302,124 3.97








91








Equities

ARGENTINA1,861 Pampa Energia Sa - ADR 39,900 0.93


BRAZIL18,063 Alpargatas SA 39,500 0.924,881 Banco Bradesco SA - ADR 36,363 0.859,900 BM&F Bovespa SA 42,963 1.00

849 BRF - Brasil Foods SA - ADR 12,073 0.285,081 Itau Unibanco Holding

SA - ADR 43,646 1.023,550 Telecomunicacoes de Sao

Paulo SA - ADR 44,340 1.03


CAYMAN ISLANDS6,500 Aac Acoustic Technologies

Holdings Inc. 49,693 1.16159 Baidu.com - ADR 30,350 0.71

3,500 Hengan International Group Company Limited 30,368 0.71

11,000 Shenzhou International Group Holdings Limited 59,846 1.40

6,000 Sunny Optical Technology Group Company Limited 16,863 0.39



CZECH REPUBLIC300 Komercni Banka AS 66,355 1.55

Total Czech Republic 66,355 1.55

HONG KONG11,000 China Mobile Limited 122,598 2.8638,000 Cnooc Limited 44,876 1.0613,000 Techtronic Industries Company 51,369 1.20


INDIA184 Dr Reddy’s Laboratories

Limited - ADR 8,315 0.192,289 Godrej Consumer Products

Limited 47,729 1.111,830 HDFC Bank Limited - ADR 112,783 2.62

957 Hero Honda Motors Limited 42,570 0.99



INDIA (continued)1,861 Infosys Technologies Limited

- ADR 35,396 0.832,145 Larsen & Toubro Limited - GDR 38,717 0.90

723 Ultra Tech Cement Limited 35,252 0.82


INDONESIA68,900 Astra International Tbk PT 37,669 0.8823,300 Bank Mandiri Tbk Pt 18,098 0.4242,700 Bank Rakyat Indonesia 36,789 0.8636,900 Matahari Department Store

Tbk Pt 51,061 1.19


MALAYSIA52,700 IJM Corp. Bhd 47,682 1.11


MEXICO15,300 Alfa SA de CV 30,970 0.722,500 Alsea SAB de CV 9,459 0.222,138 Controladora Vuela Compania

de Aviacion SAB de CV 45,048 1.05848 Fomento Economico Mexicano

SA de CV - ADR 81,671 1.9115,000 Grupo Financiero Banorte SAB

de CV 85,277 1.99766 Grupo Televisa SA - ADR 21,034 0.49

15,573 Tenedora Nemak SA de CV 22,536 0.5337,200 Wal-Mart de Mexico SAB de

CV 88,997 2.07


PHILIPPINES1,385 GT Capital Holdings Inc. 41,810 0.98

355,700 Metro Pacific Investments Corp. 45,346 1.06

11,969 Metropolitan Bank & Trust 21,432 0.50


POLAND1,968 Bank Pekao SA 87,087 2.024,577 Eurocash SA 65,607 1.53

Total Poland 152,694 3.55

92











REPUBLIC OF KOREA (SOUTH)135 CJ O Shopping Company

Limited 23,374 0.55772 Hyundai Development Company 31,019 0.72476 Hyundai Livart Company Limited 14,422 0.34

1,545 Interpark Corp. 27,155 0.631,969 Korea Electric Power

Corp. - ADR 50,702 1.18246 LG Chem Limited P.P. 144A 70,448 1.64109 Samsung Electronics Company

Limited 125,051 2.92450 Samsung Life Insurance 46,235 1.08576 SK Telecom Company

Limited - ADR 11,618 0.27


RUSSIAN FEDERATION498 Magnit OJSC 19,895 0.46

35,010 Moscow Exchange MICEX-RTS 55,009 1.281,139 X 5 Retail Group NV - GDR - Reg 24,147 0.56


SOUTH AFRICA1,772 Anglo Platinum Limited 43,598 1.011,585 Anglogold Ashanti

Limited - ADR 21,699 0.511,376 Anglogold Ashanti Limited 19,132 0.452,972 Bidvest Group Limited 75,370 1.774,935 Impala Platinum Holdings

Limited 15,770 0.37629 Naspers Limited 88,140 2.06

1,291 Sasol Limited 38,756 0.90

Total South Africa 302,465 7.07

TAIWAN4,776 Advanced Semiconductor

Engineering Inc. - ADR 27,940 0.6544,432 E.Sun Financial Holding

Company Limited 24,850 0.5816,000 Far Eastone Telecommunications

Company Limited 35,844 0.847,000 President Chain Store Corp. 51,003 1.198,105 Taiwan Semiconductor

Manufacturing Company Limited - ADR 212,352 4.95



TAIWAN (continued)3,895 Taiwan Semiconductor



THAILAND3,800 Airports of Thailand pcl 43,422 1.02

23,100 Central Pattana pcl 33,816 0.79209,600 Land & Houses pcl - NVDR 53,323 1.2541,400 Pruksa Real Estate 31,773 0.744,200 PTT pcl 33,428 0.78

57,160 Star Petroleum Refining pcl 17,710 0.41


TURKEY20,565 Akbank TAS 58,576 1.373,411 Coca-Cola Icecek AS 49,765 1.163,336 Tofas Turk Otomobil Fabrik 27,084 0.63

857 Tupras-Turkiye Petrol Rafinerileri 24,151 0.56

5,051 Ulker Gida Sanayi ve Ticaret AS 37,492 0.87

Total Turkey 197,068 4.59

UNITED KINGDOM974 Sabmiller plc 59,374 1.38


VIRGIN ISLANDS (BRITISH)2,500 Mail.Ru Group Limited - GDR 54,250 1.27



Warrants Equity

LUXEMBOURG20,401 JPMorgan Structured Products

- Dish TV India - Wts 04/08/2016 26,709 0.62


NETHERLANDS2,054 JPMorgan on Apollo Hospitals

Enterprise Limited - Wts 07/11/2017 41,230 0.96

93








Warrants Equity (continued)

NETHERLANDS (continued)9,319 JPMorgan Structured Products

BV - Dabur India Limited - Wts 20/05/2019 35,167 0.82

188 JPMorgan Structured Products BV - Eicher Goodearth Limited - Wts 08/08/2019 54,453 1.27


Total Warrants Equity 157,559 3.67

Structured notes

INDIA707 Certif On Apollo Hospitals

(Jp Morgan) 0.00% 23/09/2016 14,192 0.331,467 HCL Technologies Limited

0.00% 23/09/2016 18,034 0.422,566 JPMorgan on Asian Paints

Limited 0.00% 31/07/2018 33,649 0.786,134 Zee Entertainment Enterprises

Limited 0.00% 01/03/2017 35,842 0.84


Total Structured notes 101,717 2.37



Equities

RUSSIAN FEDERATION149 Magnit OJSC 23,512 0.55


Total Equities 23,512 0.55





94


Quantity Investment EUR Value







Equities

AUSTRALIA4,658 Ansell Limited 54,366 1.04


AUSTRIA451 Schoeller-Bleckmann Oilfield

Equipment AG 24,133 0.46


BELGIUM1,218 Umicore 53,288 1.02


BERMUDA1,333 Lazard Limited 45,387 0.871,515 Markit Limited 46,997 0.90


CANADA2,420 Davis + Henderson Corp. 63,424 1.21

967 Gildan Activewear Inc. 25,980 0.503,445 Ritchie Bros Auctioneers Inc. 81,866 1.57


DENMARK458 Christian Hansen Holding A/S 27,024 0.52

1,296 Simcorp A/S 52,568 1.01


FINLAND1,572 Basware OYJ 60,207 1.15


FRANCE1,547 Criteo SA - ADR 56,230 1.082,624 Edenred 44,792 0.863,984 Elis SA 67,967 1.302,289 Groupe Eurotunnel SA 22,547 0.431,863 Korian-Medica 48,233 0.92


GERMANY1,263 CTS Eventim AG 39,437 0.75

452 Grenkeleasing AG 84,479 1.62



GERMANY (continued)1,631 Norma Group 80,294 1.547,185 Tele Columbus AG 64,543 1.24


IRELAND10,163 Dalata Hotel Group Limited 45,256 0.871,226 Fleetmatics Group plc 43,798 0.84


ITALY1,359 Diasorin SpA 68,969 1.321,036 Digital Multimedia

Technologies SpA 50,743 0.9711,440 Finecobank Banca Fineco SpA 84,656 1.6212,339 Infrastrutture Wireless Italiane

SpA 54,366 1.04


JAPAN900 Alps Electric Company Limited 13,787 0.26

2,400 Anicom Holdings Inc. 57,901 1.106,100 Daifuku Company Limited 90,348 1.721,400 Green Hospital Supply Inc. 30,989 0.59

900 Nihon M&a Center Inc. 46,026 0.885,081 Osg Corp. 83,348 1.603,400 Santen Pharmaceutical

Company Limited 44,942 0.862,806 Shimadzu Corp. 38,668 0.74

700 Sho-Bond Holdings Company Limited 23,392 0.45

4,700 Yokogawa Electric Corp. 42,677 0.82


LUXEMBOURG196 Eurofins Scientific 63,181 1.22


NETHERLANDS486 Core Laboratories NV 47,941 0.92

1,816 Grandvision BV 45,491 0.872,042 IMCD Group NV 67,120 1.281,619 Sensata Technologies Holding

NV 55,181 1.06


95











SPAIN7,986 Applus Services SA 62,291 1.193,474 Cellnex Telecom SAU 48,810 0.931,865 Lar Espana Real Estate Socim

Lre Sm 15,535 0.30


SWEDEN1,529 Avanza AB 59,915 1.147,331 Elekta AB - B 48,130 0.923,432 Thule Group AB 41,609 0.80


SWITZERLAND20 Belimo Holding AG - Reg 47,778 0.9118 Sika AG 62,777 1.20


UNITED KINGDOM1,287 Close Brothers Group plc 20,486 0.395,171 Crest Nicholson Holdings plc 36,720 0.702,528 Genus plc 48,753 0.938,812 Merlin Entertainments plc 51,516 0.99

12,034 Pets At Home Group plc 40,845 0.781,937 Rathbone Brothers 51,599 0.99

15,737 Tyman plc 58,802 1.132,508 Victrex plc 52,131 1.00


UNITED STATES267 Affiliated Managers Group 38,051 0.73

1,859 Align Technology Inc. 118,582 2.27275 Alliance Data Systems Corp. 53,091 1.02644 Ansys Inc. 50,557 0.97

1,415 Avis Budget Group Inc. P.P. 144A 33,973 0.65

3,128 Bankunited Inc. 94,536 1.812,333 Blue Buffalo Pet Products 52,534 1.01

400 Buffalo Wild Wings Inc. 51,992 1.004,704 Catalent Inc. 110,092 2.111,151 Centene Corp. 62,189 1.192,226 Cinemark Holdings Inc. 69,990 1.343,109 Conseco Inc. 48,891 0.94

644 Cooper Companies Inc. 87,014 1.671,400 Dentsply Sirona Inc. 75,716 1.45

830 FNF Group 24,691 0.472,520 Gatx Corp. 105,041 2.01



UNITED STATES (continued)1,049 Graco Inc. 77,288 1.48

817 Idexx Laboratories Inc. 56,152 1.07480 IHS Inc. 52,299 1.00706 JB Hunt Transport Services Inc. 52,190 1.00

3,587 Lkq Corp. 100,507 1.921,718 Mattress Firm Holding Corp. 63,908 1.22

620 Mednax Inc. 35,158 0.67238 Mettler-Toledo International Inc. 72,005 1.38

2,019 Sabre Corp. 51,239 0.981,983 Service Corp. International 42,947 0.822,772 Servicemaster Global

Holdings Inc. 91,658 1.742,141 Spirit Airlines Inc. 90,145 1.73

829 Ss&c Technologies Holdings Inc. 46,137 0.88483 Stericycle Inc. 53,486 1.02472 Svb Financial Group 42,269 0.81

2,050 Trex Company Inc. 86,225 1.65381 Verisk Analytics Inc. 26,721 0.51353 Wd-40 Company 33,458 0.64

1,827 Williams-Sonoma Inc. 87,763 1.68



Warrants Equity

LUXEMBOURG2,331 Colgate-Palmolive India

Limited - Wts 27/08/2019 25,664 0.49


NETHERLANDS140 JPMorgan Structured Products

BV - Eicher Goodearth Limited - Wts 08/08/2019 35,584 0.68

2,975 JPMorgan Structured Products BV - Indusind Bank Limited - Wts 11/06/2019 38,145 0.73







96









Equities

CANADA37,720 Magna International Inc. 1,620,451 0.82


IRELAND8,132 Allergan plc 2,179,620 1.11

36,868 Eaton Corp. 2,306,462 1.1740,814 Ingersoll-Rand plc 2,530,876 1.2954,384 Medtronic Inc. 4,078,800 2.07


NETHERLANDS25,273 Lyondellbasell Industries

NV - A 2,162,863 1.10


SINGAPORE17,548 Broadcom Limited 2,711,166 1.38

Total Singapore 2,711,166 1.38

SWITZERLAND27,739 Ace 3,305,102 1.68


UNITED KINGDOM42,489 Nielsen Holdings plc 2,237,471 1.14


UNITED STATES17,841 Adobe Systems Inc. 1,673,486 0.8523,280 Albemarle Corp. 1,488,290 0.7626,628 Align Technology Inc. 1,935,589 0.9813,331 Alphabet Inc. - A 10,170,220 5.1748,967 Altria Group Inc. 3,068,272 1.566,699 Amazon.Com Inc. 3,976,794 2.02

68,410 Apple Computer Company 7,456,006 3.79112,708 AT&T Inc. 4,414,772 2.2422,915 Bankunited Inc. 789,193 0.406,013 Biogen Idec Inc. 1,565,304 0.80

44,581 Bristol-Myers Squibb Company 2,847,834 1.45

16,074 Celgene Corp. 1,608,847 0.8214,456 Cigna Corp. 1,983,941 1.01



UNITED STATES (continued)138,221 Cisco Systems Inc. 3,935,152 2.00

55,124 Citigroup Inc. 2,301,427 1.1735,672 CME Group Inc. 3,426,296 1.7468,604 Comcast Corp. 4,190,332 2.13

1 Cst Brands Inc. 38 0.0031,317 CVS Caremark Corp. 3,248,512 1.6526,573 Dr Pepper Snapple Group Inc. 2,376,158 1.2127,211 Edison International 1,956,199 0.9944,999 Electronic Arts Inc. 2,974,884 1.5140,921 Eog Resources Inc. 2,970,046 1.5238,119 Estee Lauder Companies Inc. 3,595,003 1.8317,458 General Dynamics Corp. 2,293,457 1.1725,612 Gilead Sciences Inc. 2,352,718 1.1915,169 Goldman Sachs Group Inc. 2,381,230 1.2176,852 Halliburton Company 2,745,153 1.4038,472 Home Depot Inc. 5,133,320 2.6020,287 Honeywell International Inc. 2,273,158 1.16

223,347 Huntington Bancshares Inc. 2,130,730 1.0811,322 Incyte Corp. Limited 820,505 0.4284,877 Intel Corp. 2,745,771 1.4075,073 JPMorgan Chase & Company 4,445,823 2.2727,487 Lam Research Corp. 2,270,426 1.1523,427 Lennar Corp. 1,132,930 0.5837,965 Lincoln National Corp. 1,488,228 0.7647,289 Masco Corp. 1,487,239 0.7626,103 McDonald’s Corp. 3,280,625 1.6713,568 Mckesson Corp. 2,133,568 1.0830,259 Metlife Inc. 1,329,580 0.68

146,807 Microsoft Corp. 8,108,151 4.1129,516 Molson Coors Brewing

Company 2,838,849 1.4416,066 Northrop Grumman Corp. 3,179,462 1.6142,316 Nucor Corp. 2,001,547 1.0240,034 Occidental Petroleum Corp. 2,739,527 1.3952,793 Oracle Corp. 2,159,762 1.10

128,418 Pfizer Inc. 3,806,310 1.9429,204 Pg&e Corp. 1,744,063 0.8925,798 Ppg Industries Inc. 2,876,220 1.4610,043 Public Storage 2,770,161 1.4151,899 Southwest Airlines Company 2,325,075 1.1892,598 Synchrony Financial 2,653,859 1.3526,568 Thermo Fisher Scientific Inc. 3,761,763 1.9122,534 Time Warner Inc. 1,634,842 0.8322,678 Tjx Companies Inc. 1,776,821 0.9034,004 United Parcel Service Inc. 3,586,402 1.8335,384 Valero Energy Corp. 2,269,530 1.159,200 Vertex Pharmaceuticals Inc. 731,308 0.37

97









UNITED STATES (continued)55,042 Visa Inc. - A 4,209,611 2.1416,283 Visteon Corp. 1,295,964 0.66






Threadneedle (Lux) - American Select

98









Equities

CANADA1,910 Magna International Inc. 82,054 1.36


IRELAND143 Allergan plc 38,328 0.64

1,955 Ingersoll-Rand plc 121,230 2.011,404 Medtronic Inc. 105,300 1.74


SINGAPORE852 Broadcom Limited 131,634 2.18


SWITZERLAND1,084 Ace 129,159 2.14


UNITED STATES367 Adobe Systems Inc. 34,425 0.57

1,266 Albemarle Corp. 80,935 1.341,522 Align Technology Inc. 110,634 1.84

507 Alphabet Inc. - A 386,790 6.40999 Altria Group Inc. 62,597 1.04206 Amazon.Com Inc. 122,290 2.03

1,208 Analog Devices Inc. 71,502 1.181,768 Apple Computer Company 192,694 3.192,025 AT&T Inc. 79,319 1.318,584 Bank of America Corp. 116,056 1.922,293 Bankunited Inc. 78,971 1.313,685 BB&T Corp. 122,600 2.02

252 Biogen Idec Inc. 65,601 1.091,375 Bristol-Myers Squibb Company 87,835 1.46

469 Cavium Inc. 28,684 0.48607 Celgene Corp. 60,755 1.01

2,590 Cisco Systems Inc. 73,737 1.221,045 CME Group Inc. 100,372 1.662,379 Comcast Corp. 145,309 2.41

652 CVS Caremark Corp. 67,632 1.12824 Electronic Arts Inc. 54,475 0.90

2,087 Eog Resources Inc. 151,474 2.511,576 Estee Lauder Companies Inc. 148,633 2.46

943 General Dynamics Corp. 123,882 2.053,254 Halliburton Company 116,233 1.93

603 Home Depot Inc. 80,458 1.331,098 Honeywell International Inc. 123,031 2.04



UNITED STATES (continued)477 Kla-Tencor Corp. 34,730 0.58406 Lam Research Corp. 33,536 0.56

2,296 Lennar Corp. 111,035 1.84671 Lockheed Martin Corp. 148,626 2.47

1,524 Mastercard Inc. - A 144,018 2.39328 Mckesson Corp. 51,578 0.85

3,827 Microsoft Corp. 211,364 3.501,052 Molson Coors Brewing

Company 101,181 1.681,726 Nike Inc. 106,097 1.761,332 Northern Trust Corp. 86,806 1.445,427 Pfizer Inc. 160,857 2.662,592 Pg&e Corp. 154,794 2.561,017 Ppg Industries Inc. 113,386 1.881,637 Prologis Inc. 72,323 1.20 2,268 Southwest Airlines Company 101,606 1.686,725 Synchrony Financial 192,739 3.191,116 Thermo Fisher Scientific Inc. 158,014 2.62

880 Time Warner Inc. 63,844 1.06859 Tjx Companies Inc. 67,303 1.12

1,463 United Parcel Service Inc. 154,303 2.56472 Vertex Pharmaceuticals Inc. 37,519 0.62

2,486 Visa Inc. - A 190,129 3.15








99








Equities

AUSTRALIA6,630 Bhp Billiton Limited 85,988 1.344,135 Commonwealth Bank of

Australia 238,310 3.711,679 CSL Limited 131,017 2.04

112,000 Fairfax Media Limited 74,094 1.15105,769 Healthscope Limited 216,425 3.37

2,000 Rio Tinto Limited 65,679 1.023,788 Sirtex Medical Limited 84,271 1.31

13,634 Woodside Petroleum Limited 272,267 4.244,856 Woolworths Limited 82,554 1.29


CAYMAN ISLANDS4,101 Alibaba Group Holding 324,102 5.041,258 Baidu.com - ADR 240,127 3.74

13,000 Casetek Holdings Limited 70,686 1.1011,000 CK Hutchison Holdings Limited 142,808 2.22

868 Netease.com - ADR 124,627 1.947,000 Tencent Holdings Limited 142,950 2.23


CHINA124,000 Beijing Urban Construction

Design & Development Group Company Limited 67,783 1.06

274,000 China Construction Bank Corp. 174,858 2.7254,000 China Life Insurance Company

Limited - H 133,250 2.0770,000 China South Locomotive and

Rolling Stock Corp. 70,482 1.1084,400 Fuyao Glass Industry Group - H 204,129 3.18

141,000 Industrial & Commercial Bank of China - H 78,893 1.23

20,500 Ping An Insurance Group Company of China Limited 98,052 1.53


HONG KONG31,200 Aia Group Limited 176,784 2.7660,000 Boc Hong Kong Holdings

Limited 179,074 2.7930,000 China Mobile Limited 334,362 5.21

390,000 Shanghai Jin Jiang International 158,885 2.47




INDIA1,543 Dr Reddy’s Laboratories

Limited - ADR 69,728 1.092,387 Tata Motors Limited - ADR 69,342 1.08


INDONESIA6,654,844 Ciputra Property Tbk Pt 202,744 3.15

485,400 Kalbe Farma Tbk Pt 52,893 0.82


PHILIPPINES660,100 Energy Development Corp. 84,296 1.31134,400 Robinsons Land Corp. 81,437 1.27360,000 Touch Solutions Inc. 59,264 0.92


REPUBLIC OF KOREA (SOUTH)4,499 Hynix Semiconductor Inc. 110,744 1.721,010 Osstem Implant Company

Limited 69,506 1.08464 Pacific Corp. 59,440 0.93

2,866 Shinhan Financial Group Company Limited 101,498 1.58


SINGAPORE112,000 Bumitama Agri Limited 77,351 1.2127,300 DBS Group Holdings Limited 311,804 4.8446,800 First Resources Limited 70,203 1.093,700 Great Eastern Holdings Limited 61,795 0.96

124,700 Mapletree Commercial Trust 130,571 2.03 70,500 Parkway Life Real Estate

Investment Trust 125,126 1.95


TAIWAN1,000 Largan Precision Company

Limited 77,522 1.2018,000 Nan Liu Enterprise Company

Limited 79,138 1.2325,000 Pegatron Corp. 58,336 0.9142,000 Taiwan Semiconductor



100









THAILAND13,500 Electricity Generating

pcl - NVDR 68,497 1.074,250 Siam Cement pcl - NVDR 56,296 0.88







Threadneedle (Lux) - Asian Focus

101








Equities

CAYMAN ISLANDS2,698 Alibaba Group Holding 213,223 3.611,338 Baidu.com - ADR 255,398 4.33

15,000 CK Hutchison Holdings Limited 194,738 3.301,218 Netease.com - ADR 174,880 2.96



CHINA270,000 China Construction Bank Corp. 172,306 2.9260,000 China Life Insurance Company

Limited - H 148,055 2.5190,000 China South Locomotive and

Rolling Stock Corp. 90,620 1.5450,000 Fuyao Glass Industry Group - H 120,930 2.0538,000 Ping An Insurance Group

Company of China Limited 181,756 3.08


HONG KONG73,000 Aia Group Limited 413,631 7.0228,000 Boc Hong Kong Holdings

Limited 83,568 1.4232,000 China Mobile Limited 356,652 6.04

100,000 Cnooc Limited 118,093 2.00228,000 Shanghai Jin Jiang

International 92,886 1.57


INDIA800 Dr Reddy’s Laboratories Limited

- ADR 36,152 0.612,000 HDFC Bank Limited - ADR 123,260 2.093,500 Tata Motors Limited - ADR 101,675 1.72


REPUBLIC OF KOREA (SOUTH)320 Amorepacific Corp. 108,149 1.83

3,000 Hynix Semiconductor Inc. 73,846 1.25370 LG Chem Limited P.P. 144A 105,959 1.80888 Osstem Implant Company

Limited 61,110 1.04680 Pacific Corp. 87,111 1.48



REPUBLIC OF KOREA (SOUTH) (continued)200 Samsung Electronics Company

Limited 229,450 3.892,500 Shinhan Financial Group

Company Limited 88,536 1.50


SINGAPORE23,000 DBS Group Holdings Limited 262,691 4.4560,000 First Resources Limited 90,004 1.536,000 Great Eastern Holdings Limited 100,208 1.70

68,000 Singapore Telecommunications Limited 192,901 3.27


TAIWAN11,229 Eclat Textile Company Limited 147,758 2.5030,000 Hota Industrial Manufacturing

Company Limited 130,498 2.212,000 Largan Precision Company

Limited 155,044 2.6226,000 Pegatron Corp. 60,669 1.0368,000 Taiwan Semiconductor



THAILAND4,500 Siam Cement pcl - NVDR 59,607 1.01







102









Equities

AUSTRALIA152,574 Amp Limited 679,558 2.00 40,153 Bhp Billiton Limited 520,767 1.53 17,086 Commonwealth Bank of

Australia 984,704 2.90 7,075 CSL Limited 552,081 1.63

920,936 Fairfax Media Limited 609,250 1.79 459,297 Healthscope Limited 939,816 2.77 15,509 Sirtex Medical Limited 345,024 1.02 52,850 Transurban Group 461,433 1.36 11,211 Westpac Banking Corp. 261,740 0.77 61,452 Woodside Petroleum Limited 1,227,180 3.61 23,070 Woolworths Limited 392,200 1.16


CAYMAN ISLANDS13,477 Alibaba Group Holding 1,065,087 3.13 4,318 Baidu.com - ADR 824,220 2.43

119,220 CK Hutchison Holdings Limited 1,547,779 4.56 2,816 Netease.com - ADR 404,321 1.19


CHINA555,000 Beijing Urban Construction


457,000 China Construction Bank Corp. 291,643 0.86

320,000China South Locomotive and Rolling Stock Corp. 322,204 0.95

378,800 Fuyao Glass Industry Group - H 916,164 2.70

Total China 1,833,393 5.40

HONG KONG483,000 Aia Group Limited 2,736,758 8.06 303,000 Boc Hong Kong Holdings

Limited 904,324 2.66 104,500 China Mobile Limited 1,164,694 3.43 58,000 Hongkong Land Holdings

Limited 347,420 1.02 1,314,000 Shanghai Jin Jiang

International 535,319 1.58 45,000 Sun Hung Kai Properties

Limited 550,276 1.62


INDONESIA4,000,000 Ciputra Property Tbk Pt 121,863 0.36




REPUBLIC OF KOREA (SOUTH)4,600 Osstem Implant Company

Limited 316,561 0.93


SINGAPORE567,000 Bumitama Agri Limited 391,586 1.16 502,400 Capitacommercial Trust 548,439 1.62 291,000 Capitaland Limited 663,426 1.96 257,900 DBS Group Holdings Limited 2,945,569 8.67 191,200 First Resources Limited 286,814 0.84 24,100 Great Eastern Holdings Limited 402,502 1.19

1,052,800 Mapletree Commercial Trust 1,102,367 3.24 171,772 Oversea-Chinese Banking Corp.

Limited 1,127,628 3.32 377,000 Parkway Life Real Estate

Investment Trust 669,115 1.97 778,500 Singapore Telecommunications

Limited 2,208,428 6.50 81,700 United Overseas Bank Limited 1,144,868 3.37

138,800 Wilmar International Limited 346,330 1.02


TAIWAN60,000 Nan Liu Enterprise Company

Limited 263,793 0.78 101,000 Pegatron Corp. 235,677 0.69


THAILAND67,600 Electricity Generating pcl - NVDR 342,993 1.01

946,600 Thai Beverage pcl 502,613 1.48








103








Equities

BERMUDA172,880 Invesco Limited 5,319,518 0.76

Total Bermuda 5,319,518 0.76

CANADA294,755 Canadian Natural Resources

Limited 7,958,385 1.14


CURACAO89,900 Schlumberger Limited 6,630,125 0.95

Total Curacao 6,630,125 0.95

IRELAND22,454 Allergan plc 6,018,346 0.8677,937 Eaton Corp. 4,875,739 0.69

206,484 Medtronic Inc. 15,486,300 2.2121,295 Perrigo Company 2,724,269 0.39


JERSEY - CHANNEL ISLANDS117,219 Delphi Automotive plc 8,793,769 1.26

Total Jersey - Channel Islands 8,793,769 1.26



UNITED KINGDOM70,707 Aon Corp. 7,385,346 1.0566,334 Diageo plc - ADR 7,155,449 1.02

154,645 Liberty Global plc 5,808,466 0.83273,775 Nielsen Holdings plc 14,416,992 2.06


UNITED STATES224,875 Abbott Laboratories 9,406,521 1.34424,435 Activision Blizzard Inc. 14,362,880 2.0512,185 Alphabet Inc. - A 9,295,937 1.3323,856 Alphabet Inc. - C 17,771,527 2.53

108,700 American Express Company 6,674,180 0.9565,030 American Tower Corp. 6,657,121 0.95

239,790 Apple Computer Company 26,134,712 3.74112,333 Aramark Holdings Corp. 3,720,469 0.53159,645 Bank of New York Mellon Corp. 5,879,725 0.84



UNITED STATES (continued)142,512 Berkshire Hathaway Inc. 20,219,603 2.89

31,520 Biogen Idec Inc. 8,205,286 1.1731,131 Blackrock Inc. 10,602,284 1.52

145,957 Cardinal Health Inc. 11,961,176 1.71179,960 CBS Corp. 9,913,996 1.4283,925 Celgene Corp. 8,400,054 1.20

102,276 Chevron Corp. 9,757,130 1.3945,594 Cigna Corp. 6,257,321 0.89

447,642 Citigroup Inc. 18,689,054 2.66176,730 Coach Inc. P.P. 144A 7,085,106 1.01267,536 Comcast Corp. 16,341,099 2.3382,360 Conocophillips 3,316,637 0.4737,885 Cooper Companies Inc. 5,833,153 0.83

178,009 CVS Caremark Corp. 18,464,873 2.6344,921 DTE Energy Company 4,072,538 0.5838,467 Dun & Bradstreet Corp. 3,965,178 0.5792,319 Edison International 6,636,813 0.9582,683 Electronic Arts Inc. 5,466,173 0.78

140,600 EMC Corp. 3,746,990 0.5443,125 EQT Corp. 2,900,588 0.41

151,140 Exxon Mobil Corp. 12,633,793 1.81126,225 Facebook Inc. - A 14,402,273 2.0660,229 Fedex Corp. 9,800,463 1.4076,175 Fidelity National Information

Services Inc. 4,822,639 0.6927,899 First Data Corp - A 361,013 0.05

454,084 General Electric Company 14,435,330 2.06121,519 Honeywell International Inc. 13,616,204 1.9435,762 Intuit Inc. 3,719,606 0.53

156,365 Johnson & Johnson 16,918,692 2.42210,471 Johnson Controls Inc. 8,202,055 1.17297,532 JPMorgan Chase & Company 17,619,845 2.52200,353 Lowe’s Companies Inc. 15,176,739 2.1643,720 Marriott International Inc. 3,111,990 0.44

131,384 Mastercard Inc. - A 12,415,788 1.7745,085 McDonald’s Corp. 5,666,283 0.8170,745 McGraw-Hill Companies Inc. 7,002,340 1.00

146,775 Michaels Companies Inc. 4,105,297 0.59341,328 Microsoft Corp. 18,851,546 2.6999,455 Monsanto Company 8,726,182 1.25

120,875 Newell Rubbermaid Inc. 5,353,554 0.7654,367 Noble Energy Inc. 1,707,667 0.24

126,950 PepsiCo Inc. 13,009,836 1.86511,395 Pfizer Inc. 15,157,748 2.1694,010 Philip Morris International Inc. 9,223,321 1.3266,791 Pvh Corp. 6,616,316 0.94

107,220 Qualcomm Inc. 5,483,231 0.7873,523 Skyworks Solutions Inc. 5,727,442 0.82

392,654 Verizon Communications Inc. 21,234,728 3.03

104









UNITED STATES (continued)52,206 Vertex Pharmaceuticals Inc. 4,149,855 0.5973,982 Walgreens Boots Alliance Inc. 6,232,244 0.89

228,826 Wells Fargo & Company 11,066,025 1.58135,815 Weyerhaeuser Company 4,207,549 0.6053,695 Zimmer Holdings Inc. 5,725,498 0.82








105








Equities

BELGIUM33,803 Anheuser-Busch Inbev NV 3,692,978 2.9926,628 KBC Groep NV 1,207,180 0.98


DENMARK60,088 Novo Nordisk A/S 2,864,741 2.3219,213 Pandora A/S 2,211,332 1.79


FINLAND47,991 Kone Oyj 2,032,898 1.65

Total Finland 2,032,898 1.65

FRANCE42,131 Amundi SA 1,762,972 1.43

100,254 AXA SA 2,074,255 1.6811,500 Compagnie Generale d’Optique

Essilor International 1,248,325 1.01117,330 Groupe Eurotunnel SA 1,155,701 0.94

3,228 Hermes International 998,905 0.8133,098 Legrand SA 1,629,911 1.328,342 L’Oreal SA 1,313,448 1.07

12,184 Pernod-Ricard SA 1,194,032 0.9735,742 Schneider Electric SA 1,985,111 1.61

Total France 13,362,660 10.84

GERMANY16,850 Allianz Se - Reg 2,408,709 1.9528,292 Bayer AG 2,922,564 2.3715,700 Bayerische Motoren Werke AG 1,266,990 1.0321,573 Brenntag AG 1,082,965 0.8815,263 Continental AG 3,052,600 2.48

117,678 Deutsche Telekom AG - Reg 1,856,370 1.5130,369 Fresenius Medical Care AG &

Company KGaA 2,363,923 1.92114,520 Tui AG 1,570,642 1.27


IRELAND122,077 CRH plc 3,027,132 2.45

9,416 Paddy Power plc 1,154,402 0.94175,313 Ryanair Holdings plc 2,485,938 2.02




ITALY170,776 Infrastrutture Wireless

Italiane SpA 752,439 0.61601,134 Intesa Sanpaolo SpA 1,463,161 1.19

Total Italy 2,215,600 1.80

NETHERLANDS43,639 Airbus Group NV 2,546,336 2.0735,990 Akzo Nobel NV 2,155,800 1.7433,040 Asml Holding NV 2,949,811 2.40

115,234 ING Groep NV 1,224,937 0.99159,003 Reed Elsevier NV 2,439,901 1.98


SPAIN58,987 Amadeus IT Holding SA - A 2,223,220 1.8082,644 Cellnex Telecom SAU 1,161,148 0.94

123,182 Ferrovial SA 2,326,292 1.8959,465 Inditex SA 1,758,083 1.43

Total Spain 7,468,743 6.06

SWEDEN172,882 Sandvik AB 1,572,000 1.27114,423 Svenska Handelsbanken AB 1,279,490 1.04

Total Sweden 2,851,490 2.31


Richemont SA - Reg 1,163,512 0.9428,070 Novartis AG - Reg 1,792,813 1.4517,660 Roche Holding AG 3,830,441 3.10

629 Sika AG 2,193,710 1.78123,832 UBS Group 1,757,698 1.43


UNITED KINGDOM161,969 3i Group plc 932,377 0.76106,412 Arm Holdings plc 1,360,951 1.1057,009 British American Tobacco plc 2,940,903 2.38

816,786 BT Group plc 4,538,038 3.6854,036 Imperial Tobacco Group plc 2,632,824 2.1439,572 Intercontinental Hotels

Group plc 1,432,963 1.1639,431 Johnson Matthey plc 1,364,696 1.11

566,276 Legal & General Group plc 1,679,884 1.36

106









UNITED KINGDOM (continued)57,760 London Stock Exchange

Group plc 2,054,424 1.6648,276 Persimmon plc 1,269,554 1.03

127,482 Prudential plc 2,091,896 1.7039,906 Reckitt Benckiser Group plc 3,387,405 2.75

175,430 Royal Dutch Shell plc 3,761,549 3.0581,095 Smith & Nephew plc 1,174,221 0.95

173,884 St James’s Place plc 2,014,432 1.63143,172 Unilever plc 5,692,815 4.62270,692 Worldpay Group plc 939,247 0.76








107








Equities

AUSTRIA57,393 Schoeller-Bleckmann Oilfield

Equipment AG 3,071,099 1.02

Total Austria 3,071,099 1.02

BELGIUM39,883 Kinepolis Group NV 1,520,539 0.50 59,929 Melexis 2,864,606 0.95

158,001 Ontex Group NV 4,552,799 1.51 27,060 Telenet Group Holding NV 1,203,764 0.40

126,208 Umicore 5,521,600 1.83


DENMARK110,520 Ambu A/S 3,441,545 1.14 49,426 Christian Hansen Holding A/S 2,916,337 0.96 39,330 Pandora A/S 4,526,710 1.50 74,100 Simcorp A/S 3,005,642 1.00


FINLAND95,149 Basware OYJ 3,644,207 1.22 98,600 Cargotec Corp. 2,799,254 0.93

212,100 PKC Group Oyj 3,300,276 1.09 184,246 Tikkurila Oyj 2,940,566 0.97 138,542 Vaisala Oyj 3,333,321 1.10

Total Finland 16,017,624 5.31

FRANCE138,908 Bureau Veritas SA 2,719,124 0.90 56,137 Criteo SA - ADR 2,040,450 0.68

307,480 Edenred 5,248,684 1.74 357,506 Elis SA 6,099,052 2.02 365,595 Groupe Eurotunnel SA 3,601,110 1.19 29,455 Ingenico 2,973,482 0.99

211,882 Korian-Medica 5,485,625 1.82 130,435 Lisi SA 3,013,049 1.00 16,512 Nexity 756,167 0.25 62,899 Orpea 4,602,949 1.52 37,690 Teleperformance 2,911,929 0.96

Total France 39,451,621 13.07

GERMANY58,904 Brenntag AG 2,956,981 0.98 37,332 Compugroup Holding AG 1,386,884 0.46

144,450 CTS Eventim AG 4,510,451 1.49



GERMANY (continued)16,466 Grenkeleasing AG 3,077,495 1.02 87,649 Hella KGaA Hueck & Company 3,268,869 1.08

119,672 Norma Group 5,891,453 1.95 15,437 Sartorius AG 3,457,116 1.15 72,697 Stabilus GmbH 3,079,081 1.02 40,304 Stratec Biomedical AG 1,717,555 0.57

622,106 Tele Columbus AG 5,588,378 1.85


GREECE161,689 RIB Software AG 1,476,221 0.49

Total Greece 1,476,221 0.49

IRELAND694,103 Dalata Hotel Group Limited 3,090,841 1.02 627,690 Green Reit plc 885,671 0.29 545,290 Irish Continental Group plc 2,971,831 0.98 227,469 Kingspan Group plc 5,311,401 1.76 11,798 Paddy Power plc 1,446,435 0.49


ISLE OF MAN463,898 Optimal Payments plc 2,479,105 0.82

Total Isle of Man 2,479,105 0.82

ITALY124,763 Banca Generali SpA 3,225,124 1.07 607,874 Davide Campari-Milano SpA 5,340,173 1.77 119,163 Diasorin SpA 6,047,522 2.00 74,842 Digital Multimedia

Technologies SpA 3,665,761 1.21 836,603 Finecobank Banca Fineco SpA 6,190,862 2.05 40,740 Industria Macchine

Automatiche SpA 2,100,147 0.70 1,184,988 Infrastrutture Wireless

Italiane SpA 5,221,057 1.73 95,210 Marr SpA 1,685,217 0.56

Total Italy 33,475,863 11.09

LUXEMBOURG101,053 Braas Monier Building Group SA 2,389,904 0.79 18,299 Eurofins Scientific 5,898,682 1.96


108











NETHERLANDS96,833 Aalberts Industries NV 2,952,438 0.98

168,876 Grandvision BV 4,230,344 1.40 190,069 IMCD Group NV 6,247,568 2.07 64,777 Sligro Food Group NV 2,229,948 0.74


SPAIN715,616 Applus Services SA 5,581,805 1.85 154,485 Cellnex Telecom SAU 2,170,514 0.72 187,574 Lar Espana Real Estate Socim

Lre Sm 1,562,491 0.52

Total Spain 9,314,810 3.09

SWEDEN157,809 Avanza AB 6,183,918 2.05 477,650 Byggmax Group AB 3,852,028 1.28

1,006,426 Cloetta AB 2,810,768 0.93 156,940 Dometic Group AB 1,002,326 0.33 425,824 Elekta AB - B 2,795,660 0.93 371,068 Hexpol AB 3,625,134 1.20 242,197 Thule Group AB 2,936,366 0.97

Total Sweden 23,206,200 7.69

SWITZERLAND1,377 Belimo Holding AG - Reg 3,289,537 1.09

10,594 Burckhardt Compression Holding AG 3,201,140 1.06

4,506 Partners Group Holding AG - Reg 1,595,881 0.53

1,648 Sika AG 5,747,591 1.90


UNITED KINGDOM703,527 Booker Group plc 1,528,903 0.51 90,049 Close Brothers Group plc 1,433,350 0.47

401,324 Crest Nicholson Holdings plc 2,849,820 0.94 90,247 Dialog Semiconductor plc 3,138,340 1.04

235,636 Genus plc 4,544,259 1.51 473,914 Howden Joinery Group plc 2,857,802 0.94 587,898 Ibstock plc 1,518,609 0.50 618,955 Just Eat plc 2,945,505 0.98 73,033 Livanova plc 3,457,940 1.15

737,561 Merlin Entertainments plc 4,311,830 1.43 1,051,764 Pets At Home Group plc 3,569,817 1.18

595,815 Restaurant Group plc 2,950,364 0.98 73,140 Rightmove plc 3,884,670 1.29



UNITED KINGDOM (continued)59,477 Spectris plc 1,383,324 0.46

177,032 St James’s Place plc 2,050,902 0.68 1,411,427 Tyman plc 5,273,886 1.75

286,862 Victrex plc 5,962,716 1.96


UNITED STATES32,426 Autoliv Inc. 3,387,225 1.12




Other transferable securities and money market instruments

Equities

DENMARK49,761 Ow Bunker A/S* 0 0.00

Total Denmark 0 0.00

Total Equities 0 0.00

Total Other transferable securities and money market instruments 0 0.00


(Total cost: EUR 273,305,609) *Illiquid security.


Threadneedle (Lux) - European Select

109








Equities

BELGIUM4,601 Anheuser-Busch Inbev NV 502,659 5.46


DENMARK7,247 Novo Nordisk A/S 345,506 3.75


FINLAND2,474 Kone Oyj 104,799 1.14 5,871 Sampo OYJ - A 245,056 2.66


FRANCE855 Compagnie Generale d’Optique

Essilor International 92,810 1.01 3,245 Legrand SA 159,800 1.73 2,039 L’Oreal SA 321,041 3.49 3,537 Pernod-Ricard SA 346,626 3.76

748 Publicis Groupe 46,159 0.50


GERMANY512 Adidas AG 52,736 0.57 658 Allianz Se - Reg 94,061 1.02

4,135 Bayer AG 427,146 4.64 6,257 Brenntag AG 314,101 3.41 1,716 Continental AG 343,200 3.73 4,641 Fresenius Medical Care AG &

Company KGaA 361,255 3.92 5,665 Tele Columbus AG 50,889 0.55


IRELAND698 Paddy Power plc 85,575 0.93

20,581 Ryanair Holdings plc 291,839 3.17


ITALY18,856 Davide Campari-Milano SpA 165,650 1.80

763 Digital Multimedia Technologies SpA 37,372 0.41

13,668 Infrastrutture Wireless Italiane SpA 60,221 0.65

1,787 Luxottica Group SpA 86,670 0.94




NETHERLANDS3,280 Akzo Nobel NV 196,472 2.13 1,126 Asml Holding NV 100,529 1.09 3,360 IMCD Group NV 110,443 1.20

30,434 Reed Elsevier NV 467,010 5.07 14,116 Unilever NV 555,958 6.04


SPAIN5,022 Amadeus IT Holding SA - A 189,279 2.05 6,132 Cellnex Telecom SAU 86,155 0.94 4,716 Inditex SA 139,429 1.51


SWEDEN19,554 Assa Abloy AB 339,095 3.68 8,563 Atlas Companypco AB - B 189,372 2.06

18,325 Nordea Bank AB 154,726 1.68 26,433 Svenska Handelsbanken AB 295,576 3.21



Richemont SA - Reg 356,565 3.87 56 Givaudan - Reg 96,781 1.05

3,242 Nestle SA - Reg 213,452 2.32 8,840 Novartis AG - Reg 564,606 6.13 1,406 Roche Holding AG 304,960 3.31

25 Sika AG 87,190 0.95 6,688 UBS Group 94,931 1.03


UNITED STATES1,349 Autoliv Inc. 140,257 1.52







110









Equities

AUSTRALIA27,816 Bhp Billiton Limited 360,761 1.02 18,184 Commonwealth Bank of

Australia 1,047,983 2.96 18,512 Macquarie Group Limited 941,145 2.66

518,173 Mirvac Group 771,300 2.18 176,689 Sydney Airport 909,292 2.57 132,650 Transurban Group 1,158,166 3.27 368,659 Vicinity Centres 904,655 2.56 33,253 Westpac Banking Corp. 776,349 2.19


CAYMAN ISLANDS114,000 Cheung Kong Property Holding 734,126 2.07 484,000 HKT Limited 666,418 1.88 182,000 Sands China Limited 741,462 2.09 104,500 Stella International Holdings

Limited 245,738 0.69


CHINA1,665,000 Bank of China Limited - H 691,195 1.95 1,334,000 China Petroleum & Chemical

Corp. 875,395 2.47 292,000 Picc Property & Casualty

Company Limited 535,319 1.51 1,378,000 Sinopec Shanghai

Petrochemical Company Limited 698,187 1.97

Total China 2,800,096 7.90

HONG KONG228,500 Boc Hong Kong Holdings

Limited 681,974 1.93 1,236,000 Champion Reit 629,428 1.78

91,500 China Mobile Limited 1,019,804 2.87 55,500 Hongkong Electric Holdings

Limited 567,767 1.60


INDIA30,655 Icici Bank Limited - ADR 219,490 0.62




INDONESIA1,598,000 Astra International Tbk PT 873,663 2.47 3,726,400 Telekomunikasi Indonesia

Tbk Pt 934,351 2.64


MALAYSIA959,100 Unisem (M) Bhd 545,740 1.54


NEW ZEALAND289,393 Air New Zealand Limited 574,647 1.62

Total New Zealand 574,647 1.62

PAKISTAN192,000 Habib Bank Limited 314,470 0.89


REPUBLIC OF KOREA (SOUTH)11,519 Korea Electric Power Corp. 606,368 1.72 3,357 LG Chem Limited 666,350 1.88

77,335 Macquarie Korea Infrastructure Fund 566,013 1.60

772 Samsung Electronics Company Limited Pfd 747,291 2.12

7,049 SK Innovation Company Limited Pfd 612,071 1.73

985 SK Telecom Company Limited 179,584 0.51


SINGAPORE886,700 Capitacommercial Trust 967,955 2.72 582,400 Mapletree Commercial Trust 609,820 1.72



Engineering Inc. 567,841 1.60 69,000 Catcher Technology Company

Limited 565,989 1.60 200,000 Far Eastone Telecommunications

Company Limited 448,044 1.27 142,000 Formosa Petrochemical Corp. 408,118 1.15 281,000 Formosa Plastics Corp. 696,730 1.97

111









TAIWAN (continued)759,000 King Yuan Electronics Company

Limited 674,471 1.91 7,000 Largan Precision Company

Limited 542,655 1.53 329,681 Siliconware Precision

Industries Company 532,663 1.50 331,000 Taiwan Semiconductor

Manufacturing Company Limited 1,666,090 4.72

402,000 Vanguard International Semiconductor Corp. 628,274 1.77

Total Taiwan 6,730,875 19.02

THAILAND219,800 KCE Electronics - NVDR 493,577 1.39

1,842,700 Land & Houses pcl - NVDR 468,790 1.32 1,328,400 Samui Airport Property Fund 898,683 2.54 2,144,753 Star Petroleum Refining pcl 664,514 1.88

355,400 Thai Oil pcl - NVDR 699,580 1.98 1,442,900 True Telecommunication

Growth Infrastructure Fund 582,405 1.65

Total Thailand 3,807,549 10.76


Funds

THAILAND2,129,300 BTS Rail Mass Transit Growth

Infrastructure Fund 696,042 1.97


Total Funds 696,042 1.97





112









Equities

BERMUDA50,000 Beijing Enterprises Water

Group Limited 31,328 0.80 4,000 Cheung Kong Infrastructure

Holdings Limited 39,115 1.00 26,000 China Gas Holdings Limited 38,347 0.99 4,000 Orient Overseas International

Limited 15,445 0.40 66,000 Sihuan Pharmaceutical

Holdings Group Limited 18,890 0.49


CAYMAN ISLANDS7,500 3sbio Inc. 10,114 0.26 1,314 Alibaba Group Holding 103,845 2.67 9,000 Anta Sports Products Limited 19,818 0.51

412 Baidu.com - ADR 78,643 2.02 3,016 Baozun Inc. - ADR 17,613 0.45

13,076 Cheung Kong Property Holding 84,206 2.16 20,000 China Resources Land Limited 51,311 1.32 22,000 China State Construction

International Holdings Limited 32,788 0.84 12,076 CK Hutchison Holdings Limited 156,777 4.04 46,883 Dali Foods Group Company

Limited 28,287 0.73 1,101 Jd.Com Inc. - ADR 29,177 0.75

38,000 NagaCorp Limited 24,348 0.63 6,800 Sands China Limited 27,703 0.71

23,000 Sino Biopharmaceutical 17,258 0.44 6,500 Stella International Holdings

Limited 15,285 0.39 17,200 Tencent Holdings Limited 351,248 9.02 1,559 Vipshop Holdings Limited 20,080 0.52


CHINA10,500 Anhui Conch Cement Company

Limited 28,157 0.72 44,501 AviChina Industry & Technology

Company - H 33,391 0.86 197,000 Bank of China Limited - H 81,781 2.10 29,000 Beijing Urban Construction


212,000 China Construction Bank Corp. 135,292 3.47 24,000 China Life Insurance Company

Limited - H 59,222 1.52



CHINA (continued)84,000 China Petroleum & Chemical

Corp. 55,122 1.42 60,000 China Reinsurance Group Corp. 16,090 0.41 11,900 China Vanke Company

Limited - H 29,180 0.75 11,100 Chongqing Changan

Automobile Company Limited 20,793 0.53 20,000 CITIC Securities Company

Limited - H 46,876 1.21 400 Ctrip.com International

Limited - ADR 17,704 0.46 8,400 Fuyao Glass Industry Group - H 20,316 0.52

14,400 Haitong Securities Company Limited - H 24,617 0.63

104,000 Industrial & Commercial Bank of China - H 58,191 1.50

62,000 Petrochina Company Limited 41,245 1.06 28,000 Picc Property & Casualty

Company Limited 51,332 1.32 25,000 Ping An Insurance Group

Company of China Limited 119,576 3.07 66,000 Sinopec Shanghai

Petrochemical Company Limited 33,440 0.86

5,500 Zhuzhou Csr Times Electric Company Limited - H 32,121 0.83


HONG KONG45,800 Aia Group Limited 259,510 6.67 16,000 Boc Hong Kong Holdings

Limited 47,753 1.23 10,000 China Merchants Holdings

International Company Limited 29,717 0.76 20,500 China Mobile Limited 228,481 5.87 22,000 China Overseas Land &

Investment Limited 69,631 1.79 22,000 China Pharmaceutical Group

Limited 19,910 0.51 6,000 China Resources Enterprise

Limited 11,170 0.29 26,000 China Unicom Hong Kong

Limited 34,324 0.88 58,000 Cnooc Limited 68,495 1.76 12,736 Fosun International 18,127 0.47 30,000 Guangdong Investment Limited 37,942 0.97

113









HONG KONG (continued)2,600 Hong Kong Exchanges and

Clearing Limited 62,616 1.62


SINGAPORE46,000 Sound Global Limited 20,875 0.54



Engineering Inc. 38,399 0.99 5,000 Catcher Technology Company

Limited 41,014 1.05 71,719 E.Sun Financial Holding

Company Limited 40,111 1.03 9,000 Far Eastone

Telecommunications Company Limited 20,162 0.52

23,000 Formosa Plastics Corp. 57,028 1.47 15,900 Hon Hai Precision Industry

Company Limited 41,893 1.08 1,303 Largan Precision Company

Limited 101,012 2.59 2,525 Makalot Industrial Company

Limited 15,181 0.39 11,000 Pegatron Corp. 25,668 0.66 76,473 Taiwan Semiconductor



UNITED STATES172 China Biologic Products Inc. 19,691 0.51






Threadneedle (Lux) - Global Energy Equities

114









Equities

CANADA25,731 Canadian Natural Resources

Limited 698,852 2.78 5,618 Enbridge Inc. 219,603 0.87 8,575 Imperial Oil Limited 287,656 1.14 3,948 Methanex Corp. 126,810 0.50

31,379 Suncor Energy Inc. 877,481 3.49 4,437 Suncor Energy Inc. 123,393 0.49 6,528 Tourmaline Oil Corp. 138,792 0.55




FRANCE4,954 Total SA - ADR 225,011 0.89

21,373 Total SA 975,685 3.88


ITALY17,457 ENI SpA 264,579 1.05


UNITED KINGDOM27,415 BP plc - ADR 827,385 3.29

222,091 BP plc 1,117,719 4.44 82,850 Cairn Energy plc 238,161 0.95 52,140 Ophir Energy plc 57,704 0.23 90,593 Royal Dutch Shell plc - A 2,192,724 8.72


UNITED STATES12,075 Anadarko Petroleum Corp. 562,333 2.23 4,244 Antero Resources Corp. 105,548 0.42 4,994 Atwood Oceanics Inc. 45,795 0.18 8,537 Cabot Oil & Gas Corp. 193,875 0.77 2,465 Cheniere Energy Inc. 83,391 0.33

17,564 Chevron Corp. 1,675,606 6.66 2,207 Cimarex Energy Company 214,675 0.85

14,652 Cobalt International Energy 43,516 0.17 14,556 Conocophillips 586,170 2.33 2,541 Delek Us Holdings Inc. 38,725 0.15

17,565 Devon Energy Corp. 481,984 1.91 13,568 Enterprise Products Partners LP 334,045 1.33 7,746 Eog Resources Inc. 562,205 2.23 3,429 EQT Corp. 230,635 0.92



UNITED STATES (continued)25,479 Exxon Mobil Corp. 2,129,789 8.46 6,741 FMC Technologies Inc. 184,434 0.73

14,964 Halliburton Company 534,514 2.12 7,200 Hess Corp. 379,080 1.51 3,940 Hollyfrontier Corp. 139,161 0.55

36,611 Kinder Morgan Inc. 653,872 2.60 8,785 Marathon Petroleum Corp. 326,626 1.30 5,642 Noble Energy Inc. 177,215 0.70

14,768 Occidental Petroleum Corp. 1,010,574 4.01 4,878 Pbf Energy Inc. 161,950 0.64 9,083 PBF Logistics LP 171,124 0.68 6,114 Phillips 66 529,411 2.10

21,410 Plains Gp Holdings LP 186,053 0.74 1,775 Range Resources Corp. 57,475 0.23 3,859 Spectra Energy Corp. 118,085 0.47 3,354 Tesoro Corp. 288,478 1.15 7,138 Valero Energy Corp. 457,831 1.82

13,015 Williams Companies Inc. 209,151 0.83



Warrants Equity

UNITED STATES56,938 Kinder Morgan Inc. - Wts

25/05/2017 2,078 0.01




Other undertakings for collective investments

Funds

UNITED STATES18,239 Energy Select Sector SPDR Fund 1,129,359 4.49


Total Funds 1,129,359 4.49

Total Other undertakings for collective investments 1,129,359 4.49




Threadneedle (Lux) - Global Technology

115








Equities

BERMUDA29,335 Travelport Worldwide Limited 400,716 1.43


ISRAEL5,612 Check Point Software

Technologies 490,882 1.76 4,200 Cyberark Software Limited 179,046 0.64 3,600 Mellanox Technologies Limited 195,588 0.70

Total Israel 865,516 3.10

JAPAN1,800 Mabuchi Motor Company

Limited 83,918 0.30


NETHERLANDS23,867 Avg Technologies NV 495,240 1.77 1,500 Mobileye NV 55,935 0.20 4,227 NXP Semiconductor NV 342,683 1.22




UNITED KINGDOM3,300 Arris International plc 75,636 0.27


UNITED STATES5,660 Activision Blizzard Inc. 191,534 0.68

13,792 Advanced Energy Industries Inc. 479,824 1.71

800 Alphabet Inc. - A 610,320 2.18 902 Alphabet Inc. - C 671,945 2.40

11,904 Apple Computer Company 1,297,417 4.65 5,698 Arista Networks Inc. 359,544 1.28 5,606 Cavium Inc. 342,863 1.23

20,200 Cisco Systems Inc. 575,094 2.06 700 Commvault Systems Inc. 30,219 0.11

34,700 CPI Card Group Inc. 285,928 1.02 6,600 CSRA US 177,540 0.64

35,942 Cypress Semiconductor Corp. 311,258 1.11 4,200 Ebay Inc. 100,212 0.36



UNITED STATES (continued)9,126 Electronics for Imaging Inc. 386,851 1.38 4,000 EMC Corp. 106,600 0.38 2,295 Euronet Worldwide Inc. 170,082 0.61 2,400 F5 Networks Inc. 254,040 0.91 3,300 Facebook Inc. - A 376,530 1.34 3,900 Fidelity National Information

Services Inc. 246,909 0.88 9,700 Fortinet Inc. 297,111 1.06 7,900 Hewlett Packard Enterprise 140,067 0.50 4,300 Integrated Device Technology

Inc. 87,892 0.31 30,075 Lam Research Corp. 2,484,194 8.88 79,901 Lattice Semiconductor Corp. 453,838 1.62 38,500 Lifelock Inc. 464,696 1.66 72,107 Mattson Technology Inc. 263,191 0.94 26,900 Maxim Integrated Products Inc. 989,382 3.54 17,478 Microsemi Corp. 669,582 2.39 22,694 Nuance Communications Inc. 424,151 1.52 37,300 On Semiconductor Corp. 357,707 1.28 4,900 Oracle Corp. 200,459 0.72 1,200 Palo Alto Networks Inc. 195,768 0.70 1,700 Parametric Technology Corp. 56,372 0.20 1,679 Q2 Holdings Inc. 40,363 0.14

23,377 Qorvo Inc. 1,178,435 4.21 39,500 Rovi Corp. 810,145 2.90 3,072 Salesforce.com Inc. 226,806 0.81

700 Servicenow Inc. 42,826 0.15 10,619 Skyworks Solutions Inc. 827,220 2.96 1,700 Splunk Inc. 83,181 0.30

18,147 Synaptics Inc. 1,447,042 5.17 43,032 Synopsys Inc. 2,084,470 7.45 62,157 Teradyne Inc. 1,341,969 4.80 8,300 Veeva Systems Inc. 207,832 0.74 5,026 Verint Systems Inc. 167,768 0.60 9,200 Visa Inc. - A 703,616 2.51 6,300 Western Digital Corp. 297,612 1.06

11,200 Xactly Corp. 76,720 0.27







116









Equities

AUSTRALIA50,529 CSL Limited 3,460,063 2.21


CANADA55,641 Suncor Energy Inc. 1,365,401 0.87




DENMARK62,920 Novo Nordisk A/S 2,999,759 1.91


FRANCE20,500 Compagnie Generale d’Optique

Essilor International 2,225,275 1.42 21,330 L’Oreal SA 3,358,408 2.14 20,200 Louis Vuitton Moet

Hennessy SA 3,040,100 1.94


HONG KONG702,600 Aia Group Limited 3,493,527 2.23 183,000 China Mobile Limited 1,789,835 1.14 274,000 CLP Holdings Limited 2,174,579 1.38

3,104,000 Cnooc Limited 3,216,727 2.05 1,489,803 Hong Kong & China Gas

Company Limited 2,443,959 1.56


JAPAN78,000 Denso Corp. 2,755,096 1.76 20,300 Fanuc Limited 2,771,285 1.77 74,500 Honda Motor Company Limited 1,795,030 1.14 8,001 Keyence Corp. 3,834,964 2.44

98,400 Komatsu Limited 1,472,008 0.94 64,800 Shin-Etsu Chemical Company

Limited 2,946,564 1.88

Total Japan 15,574,947 9.93



SPAIN107,790 Inditex SA 3,186,811 2.03

Total Spain 3,186,811 2.03

SWEDEN69,956 Hennes & Mauritz AB 2,049,919 1.31

Total Sweden 2,049,919 1.31

SWITZERLAND38,514 Nestle SA - Reg 2,535,743 1.62 40,900 Novartis AG - Reg 2,612,257 1.66 11,429 Roche Holding AG 2,478,942 1.58 1,231 SGS SA - Reg 2,292,143 1.46 2,600 Swatch Group AG - B 793,611 0.50 6,278 Syngenta AG - Reg 2,301,130 1.47


TAIWAN155,100 Taiwan Semiconductor

Manufacturing Company Limited - ADR 3,565,987 2.27

Total Taiwan 3,565,987 2.27

UNITED KINGDOM164,400 Compass Group plc 2,546,327 1.62 43,541 Reckitt Benckiser Group plc 3,695,961 2.36


UNITED STATES47,454 Adobe Systems Inc. 3,906,090 2.49

864 Alphabet Inc. - A 578,426 0.37 3,674 Alphabet Inc. - C 2,401,778 1.53

49,830 Amphenol Corp. 2,528,341 1.61 43,797 Automatic Data Processing Inc. 3,447,877 2.20

130,283 Cisco Systems Inc. 3,254,931 2.08 55,900 Cognizant Technology Solutions

Corp. - A 3,075,714 1.96 52,658 Colgate-Palmolive Company 3,264,699 2.08 22,239 CR Bard Inc. 3,955,227 2.52 51,784 Eog Resources Inc. 3,298,217 2.10 62,543 Fastenal Company 2,689,313 1.72 34,700 Gilead Sciences Inc. 2,797,194 1.78 7,200 Intuitive Surgical Inc. 3,797,604 2.42

28,289 Johnson & Johnson 2,686,034 1.71

117









UNITED STATES (continued)58,070 Mastercard Inc. - A 4,815,598 3.07 85,293 Microsoft Corp. 4,133,853 2.64 72,898 Nike Inc. 3,932,289 2.50 87,150 Oracle Corp. 3,128,697 2.00 21,302 Praxair Inc. 2,139,453 1.36 51,991 Starbucks Corp. 2,723,762 1.74 48,228 Stryker Corp. 4,540,725 2.89 77,865 Tjx Companies Inc. 5,353,624 3.40 6,700 WW Grainger Inc. 1,372,455 0.88







118









Equities

BERMUDA32,446 Credicorp Limited 4,250,750 1.98

Total Bermuda 4,250,750 1.98

BRAZIL264,660 Cielo SA 2,611,501 1.22

1,203,900 Companhia de Concessoes Rodoviarias 4,766,003 2.22

160,974 CPFL Energia SA - ADR 1,753,007 0.82 129,300 EcoRodovias Infraestrutura

e Logistica SA 218,905 0.10


CAYMAN ISLANDS3,986,733 Belle International Holdings

Limited 2,307,777 1.07 666,500 Hengan International Group

Company Limited 5,782,899 2.69 758,000 Sands China Limited 3,088,067 1.44

4,722,000 Want Want China Holdings Limited 3,500,453 1.63

3,097,500 WH Group Limited 2,244,285 1.04


HONG KONG794,000 Beijing Enterprises Holdings

Limited 4,345,388 2.02 673,000 China Mobile Limited 7,500,850 3.49

3,789,499 China Resources Power Holdings Company Limited 7,084,026 3.29


INDIA515,815 Axis Bank Limited 3,459,628 1.61 158,836 Bajaj Auto Limited 5,770,869 2.69

1,753,160 Cairn India Limited 4,073,097 1.89 278,724 Housing Development Finance

Corp. 4,653,483 2.17 135,600 Infosys Technologies

Limited - ADR 2,579,112 1.20 121,157 Infosys Technologies Limited 2,228,992 1.04 143,614 Larsen & Toubro Limited 2,638,676 1.23

Total India 25,403,857 11.83



INDONESIA3,515,200 Bank Mandiri Tbk Pt 2,730,337 1.27 4,389,700 Bank Rakyat Indonesia 3,781,987 1.76 3,048,400 Perusahaan Gas Negara Pt 601,136 0.28


KAZAKHSTAN209,628 KazMunaiGas Exploration

Production - GDR 1,561,729 0.73

Total Kazakhstan 1,561,729 0.73

MALAYSIA4,786,200 Ammb Holdings Bhd 5,643,098 2.64 3,277,900 Genting Malaysia Bhd 3,814,350 1.77 1,364,100 Tenaga Nasional Bhd 4,873,915 2.27

Total Malaysia 14,331,363 6.68

MEXICO3,566,875 Fibra Uno Administracion SA

de CV 8,358,530 3.89 355,082 Grupo Financiero Santander

Mexico SAB de CV - ADR 3,206,390 1.49

Total Mexico 11,564,920 5.38

PHILIPPINES122,500 Philippine Long Distance

Telephone Company - ADR 5,305,475 2.47


QATAR118,452 Qatar National Bank SAQ

P.P. 144A 4,580,124 2.13

Total Qatar 4,580,124 2.13

REPUBLIC OF KOREA (SOUTH)29,102 Hyundai Mobis 6,336,468 2.95 7,524 Samsung Electronics Company

Limited 8,631,925 4.02 38,240 SK Telecom Company Limited 6,971,865 3.25


119









RUSSIAN FEDERATION774,688 Gazprom OAO - ADR 3,341,229 1.56


SOUTH AFRICA111,753 Bidvest Group Limited 2,834,086 1.32

2,488,191 Growthpoint Properties Limited 4,156,559 1.93 199,534 Vodacom Group Pty Limited 2,177,801 1.01

Total South Africa 9,168,446 4.26

TAIWAN594,000 Asustek Computer Inc. 5,333,834 2.48 606,000 MediaTek Inc. 4,650,769 2.16

7,754,383 Mega Financial Holding Company Limited 5,517,444 2.56

1,832,000 Taiwan Mobile Company Limited 5,948,357 2.77 2,041,214 Taiwan Semiconductor

Manufacturing Company Limited 10,274,455 4.79

Total Taiwan 31,724,859 14.76

TURKEY1,380,996 Turk Telekomunikasyon AS 3,276,287 1.53


UNITED ARAB EMIRATES6,307,139 Emaar Malls Group PJSC 4,945,429 2.30

Total United Arab Emirates 4,945,429 2.30

UNITED KINGDOM32,330 Sabmiller plc 1,970,809 0.92

128,924 Unilever plc 5,841,660 2.72


UNITED STATES100,886 Abbott Laboratories 4,220,061 1.96 56,174 Yum! Brands Inc. 4,597,842 2.14






Threadneedle (Lux) - UK Equities

120


Quantity Investment GBP Value


Quantity Investment GBP Value





Equities

IRELAND49,655 CRH plc 976,217 0.99


JERSEY - CHANNEL ISLANDS1,528,260 Breedon Aggregates Limited 1,073,603 1.10

114,781 Phoenix Group Holdings 1,082,959 1.10 49,817 Wolseley plc 1,962,292 2.00

Total Jersey - Channel Islands 4,118,854 4.20

UNITED KINGDOM27,232 Aggreko plc 293,289 0.30 46,787 Arm Holdings plc 474,420 0.48 63,810 Astrazeneca plc 2,490,185 2.53

208,517 BAE Systems plc 1,061,352 1.08 844,270 Barclays Bank plc 1,266,405 1.29 31,805 Bellway plc 834,245 0.85

121,275 Berendsen plc 1,458,938 1.48 781,337 Booker Group plc 1,346,244 1.37 68,087 British American Tobacco plc 2,784,758 2.83

877,613 BT Group plc 3,865,885 3.93 72,909 Burberry Group plc 995,208 1.01 42,344 Carnival plc 1,588,747 1.62

137,142 Compass Group plc 1,684,104 1.71 384,208 Crest Nicholson Holdings plc 2,163,091 2.20 252,281 Daily Mail & General Trust plc 1,755,876 1.79 34,305 Derwent London plc 1,081,294 1.10

129,803 Diageo plc 2,442,243 2.49 271,960 Ds Smith plc 1,109,597 1.13 224,359 Fdm Group Holdings plc 1,296,795 1.32 81,273 Filtrona plc 672,534 0.68

697,784 GKN plc 2,015,200 2.05 205,898 Glaxosmithkline plc 2,907,280 2.96 396,603 Grainger plc 897,513 0.91 72,269 Greene King plc 629,824 0.65

110,184 Headlam Group plc 569,651 0.58 90,753 Hunting plc 290,636 0.30 91,914 Imi plc 875,481 0.89

105,298 Imperial Tobacco Group plc 4,067,662 4.14 81,074 Intercontinental Hotels Group plc 2,327,634 2.37 95,535 Intermediate Capital Group plc 590,884 0.60

412,242 Itv plc 994,328 1.01 87,195 JD Wetherspoon plc 613,417 0.62

288,028 John Wood Group plc 1,771,373 1.80 68,237 Johnson Matthey plc 1,872,423 1.91

1,103,666 Legal & General Group plc 2,595,823 2.65 97,285 London Stock Exchange

Group plc 2,743,437 2.79



UNITED KINGDOM (continued)57,035 Melrose Industries plc 203,330 0.21

320,756 Merlin Entertainments plc 1,486,704 1.51 129,858 Pearson plc 1,136,257 1.16 197,942 Prudential plc 2,575,225 2.63 188,914 PZ Cussons plc 570,709 0.58 38,061 Reckitt Benckiser Group plc 2,561,505 2.61

191,022 Reed Elsevier plc 2,471,825 2.53 663,732 Rentokil Initial plc 1,173,478 1.19 99,836 Rio Tinto plc 1,952,293 1.99

166,272 Rolls-Royce Holdings plc 1,133,975 1.15 250,814 Royal Dutch Shell plc 4,263,838 4.34

5,248 Royal Dutch Shell plc - A 88,376 0.09 218,006 Royal Mail plc 1,047,955 1.06 143,928 Rpc Group plc 1,093,133 1.11 272,644 Rsa Insurance Group plc 1,296,968 1.32 352,136 Sage Group plc 2,214,935 2.25 40,808 Schroders plc 825,138 0.84

210,709 Smith & Nephew plc 2,418,939 2.46 100,760 Smiths Group plc 1,084,177 1.10 199,031 St James's Place plc 1,828,100 1.86 360,849 Stagecoach Group plc 910,061 0.93 117,448 Standard Chartered Bank plc 555,001 0.56 24,781 Ultra Electronics Holdings plc 447,297 0.46 90,365 Unilever plc 2,848,756 2.90





(Total cost: GBP 88,000,311)


Threadneedle (Lux) - STANLIB Africa Equity

121








Equities

EGYPT214,000 Commercial International Bank 924,928 6.33 135,000 Edita Food Industries 531,640 3.64 676,000 Egypt Kuwait Holding Company 317,720 2.18 708,000 Egyptian Financial Group-

Hermes Holding - H 810,854 5.55 678,051 Juhayna Food Industries 564,281 3.86 240,000 Six of October Development &

Investment 324,866 2.22 889,000 Talaat Moustafa Group 636,718 4.36

Total Egypt 4,111,007 28.14

JERSEY - CHANNEL ISLANDS57,800 Integrated Diagnostics Holding 283,220 1.94


KENYA263,000 East African Breweries Limited 749,582 5.13

1,419,992 Equity Bank Limited 563,659 3.86 1,616,000 Kenya Commercial Bank Limited 661,385 4.53 5,160,000 Safaricom Limited 860,006 5.89

Total Kenya 2,834,632 19.41

MAURITIUS2,430,000 Ciel Limited 433,166 2.97

111,000 MCB Group Limited 648,264 4.44

Total Mauritius 1,081,430 7.41

MOROCCO61,000 Maroc Telecom 761,354 5.21

Total Morocco 761,354 5.21

NIGERIA800,000 Dangote Cement plc 674,556 4.61

7,810,000 Guaranty Trust Bank plc 561,207 3.84 350,000 Lafarge Cement Wapco

Nigeria plc 135,424 0.93 1,165,000 Nigerian Breweries plc 626,391 4.29 1,849,000 Stanbic IBTC Holdings plc 139,368 0.95

161,547,689 Standard Alliance Insurance* 0 0.00 5,134,000 Zenith Bank plc 277,332 1.90

Total Nigeria 2,414,278 16.52




Equities

TANZANIA80,000 Tanzania Breweries Limited 507,818 3.48

Total Tanzania 507,818 3.48

UGANDA4,290,000 Umeme Limited 698,412 4.78

Total Uganda 698,412 4.78

ZIMBABWE193,596 Afrasia Zimbabwe Holdings

Limited* 1,936 0.01

Total Zimbabwe 1,936 0.01




(Total cost: USD 15,838,206) *Illiquid security.


122









Equities

BRAZIL12,008 Aliansce Shopping Centers SA 43,404 0.24 29,254 BR Malls Participacoes SA 121,754 0.67 16,965 Iguatemi Empresa de Shopping

Centers SA 118,238 0.65 12,019 Multiplan Empreendimentos

Imobiliarios SA 182,116 1.00


CAYMAN ISLANDS675,882 China Resources Land Limited 1,734,021 9.51 400,626 KWG Property Holding Limited 263,415 1.44 161,060 Longfor Properties Company

Limited 229,654 1.26 169,983 Shimao Property Holdings

Limited 251,581 1.38


CHINA700,091 Beijing Capital International

Airport Company Limited - H 747,335 4.09 117,284 China Vanke Company

Limited - H 287,594 1.58

Total China 1,034,929 5.67

EGYPT1,507,663 Emaar Misr for Development

SAE 461,808 2.53

Total Egypt 461,808 2.53

HONG KONG521,990 China Overseas Land &

Investment Limited 1,652,129 9.07 1,081,057 Franshion Properties China

Limited 301,046 1.65


INDONESIA1,250,427 Bumi Serpong Damai Pt 173,031 0.95 1,062,466 Ciputra Development Tbk PT 104,557 0.57 5,338,336 Pakuwon Jati Tbk Pt 194,841 1.07




ISLE OF MAN18,725 New Europe Property

Investments plc 239,116 1.31

Total Isle of Man 239,116 1.31

MALAYSIA454,281 Capitamalls Malaysia Trust 167,670 0.92

67 Mah Sing Group Bhd 24 0.00 173,036 Sunway Bhd 139,263 0.76


MAURITIUS46,953 Rockcastle Global Real Estat 115,116 0.63

Total Mauritius 115,116 0.63

MEXICO193,136 Corporacion Inmobiliaria Vesta

SAB de CV 291,434 1.60 366,890 Fibra Uno Administracion SA

de CV 859,762 4.71 236,596 Prologis Property Mexico SA

de CV 378,826 2.08 370,582 TF Administradora Industrial S

de RL de CV 692,611 3.80

Total Mexico 2,222,633 12.19

PHILIPPINES841,889 Ayala Land Inc. 644,516 3.53

7,636,852 Filinvest Land Inc. 293,567 1.61 955,285 Robinsons Land Corp. 578,838 3.17

1,706,707 Sm Prime Holdings Inc. 813,604 4.46


SINGAPORE632,580 Ascendas India Trust 411,041 2.25 273,345 Capitaretail China Trust 293,319 1.61 231,032 First Real Estate Investment

Trust 211,027 1.16 241,900 Global Logistic Properties

Limited 345,802 1.90 1,137,418 Lippo Malls Indonesia Retail

Trust 274,514 1.50


123









SOUTH AFRICA432,360 Attacq Limited 573,225 3.14

1,184,504 Balwin Properties Pty Limited 563,741 3.09 175,148 Fortress Income Fund Limited 187,080 1.03 96,815 Growthpoint Properties Limited 161,731 0.89

229,127 Redefine Income Fund Limited 186,629 1.02 23,624 Resilient REIT Limited 217,704 1.19

Total South Africa 1,890,110 10.36

TAIWAN418,386 Cathay Real Estate

Development Company Limited 186,545 1.02 2,938 Chong Hong Construction

Company 4,382 0.02


THAILAND306,829 Central Pattana pcl 449,163 2.46 791,504 Land And Houses pcl 201,362 1.10 587,886 Ticon Industrial Connection pcl 200,528 1.10


TURKEY498,141 Is Gayrimenkul Yatirim

Ortakligi AS 321,986 1.76

Total Turkey 321,986 1.76

UNITED ARAB EMIRATES295,665 Emaar Malls Group PJSC 231,831 1.27 638,816 Emaar Properties PJSC 1,047,010 5.73

Total United Arab Emirates 1,278,841 7.00






124









Equities

BERMUDA19,768 Markit Limited 698,799 0.41


IRELAND9,485 Medtronic Inc. 711,375 0.42


NETHERLANDS1 Ferrari NV 42 0.00

Total Netherlands 42 0.00

SWITZERLAND5,094 Ace 606,950 0.36


UNITED STATES25,960 Adobe Systems Inc. 2,435,047 1.45 7,464 Align Technology Inc. 542,558 0.32 6,083 Alphabet Inc. - A 4,640,721 2.74

21,755 Analog Devices Inc. 1,287,678 0.76 25,958 Apple Computer Company 2,829,162 1.67 24,673 Berkshire Hathaway Inc. 3,500,605 2.06 6,669 Biogen Idec Inc. 1,736,074 1.02

11,244 Bristol-Myers Squibb Company 718,267 0.42 11,261 Cameron International Corp. 755,050 0.45 9,295 Cavium Inc. 568,482 0.34 8,618 Celanese Corp. 564,479 0.33 4,871 Cigna Corp. 668,496 0.39 2,747 Clorox Company 346,287 0.20 2,055 Costco Wholesale Corp. 323,827 0.19

10,850 Electronic Arts Inc. 717,294 0.42 8,488 Equifax Inc. 970,093 0.57

13,170 General Electric Company 418,674 0.25 4,633 Gilead Sciences Inc. 425,587 0.25 6,300 Henry Schein Inc. 1,087,569 0.64 3,992 Home Depot Inc. 532,653 0.31

20,016 Jarden Corp. 1,179,943 0.69 21,229 JPMorgan Chase & Company 1,257,181 0.74 8,633 Kla-Tencor Corp. 628,569 0.37

17,633 Lam Research Corp. 1,456,486 0.85 22 Linkedin Corp. 2,516 0.00

3,070 Lockheed Martin Corp. 680,005 0.41 9,097 Mastercard Inc. - A 859,667 0.51

37,124 Microsoft Corp. 2,050,359 1.21



UNITED STATES (continued)14,692 Molson Coors Brewing

Company 1,413,077 0.83 11,491 MSCI Inc. - A 851,253 0.50 20,821 Nike Inc. 1,279,867 0.75 3,727 Panera Bread Company - A 763,401 0.45

15,483 Pbf Energy Inc. 514,036 0.30 8,639 Phillips 66 748,051 0.44 9,225 Proassurance Corp. 466,785 0.28 7,300 Realogy Holdings Corp. 263,603 0.16 8,152 Restoration Hardware

Holdings Inc. 341,569 0.20 10,114 Starwood Hotels & Resorts

Worldwide Inc. 843,811 0.50 18,853 Synopsys Inc. 913,239 0.54 5,754 Thermo Fisher Scientific Inc. 814,709 0.48 8,408 Time Warner Cable Inc. 1,720,445 1.02 1,089 United Technologies Corp. 109,009 0.06

10,750 Unitedhealth Group Inc. 1,385,675 0.82 4,060 Valspar Corp. 434,501 0.26

32,613 Visa Inc. - A 2,494,242 1.47 5,307 Yum! Brands Inc. 434,378 0.26








125








Bonds


2.00% 18/09/2024 228,752 0.36 USD 175,000 BHP Billiton Finance USA

Limited 3.85% 30/09/2023 179,517 0.28 EUR 371,000 Santos Finance Limited FRN



Limited 2.00% 30/06/2022 494,018 0.77 USD 250,000 Woodside Finance Limited

3.65% 05/03/2025 231,615 0.36


AUSTRIAEUR 200,000 Bawag PSK 8.13% 30/10/2023 270,999 0.42 USD 200,000 Erste Group Bank FRN

26/05/2025 196,675 0.31


BELGIUMEUR 210,000 Anheuser-Busch Inbev SA

1.50% 17/03/2025 245,994 0.38 EUR 190,000 KBC Groep NV FRN 29/03/2049 211,304 0.33


CANADAEUR 381,000 VRX Escrow Corp. 4.50%

15/05/2023 322,809 0.50




Limited 6.95% 01/04/2045 171,781 0.27 GBP 446,000 Thames Water Utilities Cayman

Finance Limited FRN 21/07/2025 664,168 1.03 GBP 156,000 Yorkshire Water FRN 24/04/2025 233,176 0.36



Bonds (continued)

FRANCEUSD 280,000 Credit Agricole SA FRN

19/09/2033 305,172 0.47 EUR 170,000 Numericable Group SA 5.38%

15/05/2022 197,865 0.31


GEORGIAUSD 469,000 Georgian Railway JSC 7.75%

11/07/2022 499,949 0.78


GERMANYEUR 100,000 Progroup AG 5.13% 01/05/2022 120,199 0.19


GUERNSEY - CHANNEL ISLANDSUSD 298,000 Csg Guernsey I Limited 7.88%

24/02/2041 302,674 0.47

Total Guernsey - Channel Islands 302,674 0.47


4.00% 30/01/2020 452,640 0.70



2.75% 12/08/2020 393,205 0.61


IRELANDEUR 118,000 Allied Irish Banks FRN 26/11/2025 129,791 0.20 EUR 265,000 Ardagh Packaging Finance plc

4.25% 15/01/2022 307,610 0.48 EUR 200,000 Bank of Ireland FRN 29/12/2049 220,057 0.34


126










Bonds (continued)

ITALYEUR 439,000 Banca Monte dei Paschi di

Siena SpA 3.63% 01/04/2019 497,067 0.76 GBP 100,000 Telecom Italia SpA 7.38%

15/12/2017 155,839 0.24



30/07/2022 204,280 0.32 EUR 155,000 Softbank Group Corp 4.75%

30/07/2025 181,853 0.28


JERSEY - CHANNEL ISLANDSEUR 154,000 Atrium European Real Estate

Limited 3.63% 17/10/2022 183,167 0.28 GBP 180,000 Cpuk Finance Limited 7.00%

28/02/2042 269,422 0.42


LUXEMBOURGEUR 130,000 Altice Financing SA 5.25%

15/02/2023 152,169 0.24 EUR 147,000 Altice SA 6.25% 15/02/2025 151,753 0.24 EUR 155,000 Altice SA 7.25% 15/05/2022 175,642 0.27 EUR 124,000 Fiat Finance & Trade SA 6.75%

14/10/2019 161,492 0.25 USD 200,000 Gazprom OAO via Gaz Capital

SA 6.00% 23/01/2021 207,333 0.32 EUR 500,000 Grand City Properties SA 2.00%

29/10/2021 590,622 0.92 EUR 295,000 Wind Acquisition Finance SA

4.00% 15/07/2020 334,095 0.52


MEXICOUSD 920,000 Petroleos Mexicanos 5.50%

04/02/2019 963,616 1.49


NETHERLANDSGBP 129,000 Intergen NV 7.50% 30/06/2021 153,892 0.24 EUR 130,000 LGE Holdco VI BV 7.13%

15/05/2024 161,927 0.25


Bonds (continued)

NETHERLANDS (continued)GBP 314,000 Postnl NV 7.50% 14/08/2018 511,261 0.79 EUR 246,000 Schaeffler Holding Finance BV

6.88% 15/08/2018 291,139 0.45 EUR 144,000 SNS Bank NV FRN 05/11/2025 160,410 0.25 GBP 200,000 Telefonica Europe BV FRN

26/11/2049 291,023 0.45 EUR 100,000 UPC Holding BV 6.75%

15/03/2023 123,455 0.19 CHF 221,000 UPC Holding BV 6.75%

15/03/2023 248,942 0.39 EUR 200,000 Vonovia Finance BV FRN

08/04/2074 235,225 0.37 EUR 100,000 Ziggo Secured Finance BV

3.75% 15/01/2025 111,797 0.17


NORWAYUSD 277,000 Dnb Bank ASA FRN 29/12/2049 263,311 0.41



21/01/2019 160,677 0.25


SWITZERLANDEUR 135,000 UBS AG FRN 12/02/2026 161,467 0.25 USD 305,000 UBS Group AG FRN 29/12/2049 312,699 0.49


UNITED ARAB EMIRATESEUR 200,000 Emirates NBD PJSC 1.75%

23/03/2022 219,923 0.34


UNITED KINGDOMGBP 165,000 Anglian Water (Osprey)

Financing plc 7.00% 31/01/2018 255,386 0.40 USD 211,000 BG Energy Capital plc FRN

30/11/2072 222,291 0.35 GBP 18,909 Canary Wharf Finance II plc

6.46% 22/10/2033 42,340 0.07 GBP 150,000 First Hydro Finance plc 9.00%

31/07/2021 284,105 0.44

127










Bonds (continued)

UNITED KINGDOM (continued)GBP 175,000 G4s plc 7.75% 13/05/2019 289,553 0.45 GBP 162,000 GKN Holdings plc 6.75%

28/10/2019 264,290 0.41 GBP 100,000 HSBC Holdings plc FRN

18/10/2022 150,233 0.23 GBP 305,000 Lloyds Banking Group plc FRN


2.75% 15/03/2022 370,615 0.58 GBP 450,000 Pennon Group plc FRN

08/03/2049 672,203 1.05 USD 155,000 Royal Bank of Scotland 6.13%


29/12/2049 190,963 0.30 EUR 140,000 Royal Bank of Scotland Group

plc FRN 22/09/2021 158,752 0.25 GBP 227,000 Safeway Limited 6.00%

10/01/2017 335,979 0.52 USD 380,000 Standard Chartered plc 3.05%

15/01/2021 383,190 0.60 GBP 366,251 Tesco Property Finance 5 plc

5.66% 13/10/2041 458,780 0.71 GBP 210,000 Virgin Media Finance 6.38%

15/10/2024 307,928 0.48 GBP 100,000 Western Power Distribution

3.63% 06/11/2023 147,195 0.23 GBP 225,000 WM Morrison Supermarkets

plc 4.63% 08/12/2023 332,103 0.52


UNITED STATESUSD 620,000 Cimarex Energy Company 4.38%


5.00% 15/09/2022 151,887 0.24 USD 418,000 Kinder Morgan Energy Partners

LP 4.25% 01/09/2024 395,399 0.62 USD 81,000 Loews Corp 3.75% 01/04/2026 82,904 0.13 USD 210,000 Molson Coors Brewing

Company 5.00% 01/05/2042 219,050 0.34 USD 235,000 Newell Rubbermaid Inc. 3.85%

01/04/2023 243,869 0.38 USD 204,000 Noble Energy Inc. 3.90%

15/11/2024 193,163 0.30 USD 411,000 Plains All American Pipeline LP

4.65% 15/10/2025 382,639 0.59


Bonds (continued)

UNITED STATES (continued)USD 114,000 Scripps Networks 3.95%

15/06/2025 112,915 0.18 USD 70,000 Scripps Networks Interactive

Inc. 2.80% 15/06/2020 70,407 0.11 EUR 165,000 Sealed Air Corp 4.50%

15/09/2023 199,814 0.31 USD 198,000 Time Warner Cable Inc. 5.85%



15/01/2045 176,063 0.27


VIRGIN ISLANDS (BRITISH)GBP 180,000 Global Switch Holdings Limited

4.38% 13/12/2022 275,126 0.43


Total Bonds 23,722,150 36.89


AUSTRALIAEUR 55,800 Firstmac Bond Trust FRN

15/08/2037 63,474 0.10


GERMANYEUR 108,000 Unitymedia Hessen 5.63%

15/04/2023 132,317 0.21 EUR 186,300 Unitymedia Hessen Gmbh &

Company 5.13% 21/01/2023 226,631 0.35




COLOMBIACOP 6,750,000,000 Colombia (Govt of) 9.85%

28/06/2027 2,624,922 4.08


128












18/04/2024 615,822 0.96 USD 880,000 Dominican (Govt of) 7.50%

06/05/2021 961,140 1.49


GHANAUSD 545,000 Ghana (Govt of) 8.13%

18/01/2026 429,059 0.67

Total Ghana 429,059 0.67

HUNGARYHUF 580,000,000 Hungary (Govt of) 5.50%

24/06/2025 2,574,891 4.00 USD 265,000 Mfb Magyar Fejlesztesi Bank

Zrt 6.25% 21/10/2020 293,313 0.46


ITALYEUR 950,000 Italy (Govt of) BPT 2.57%

15/09/2019 1,299,239 2.02 EUR 560,000 Italy (Govt of) BPT 2.70%

01/03/2047 682,844 1.06

Total Italy 1,982,083 3.08

MEXICOMXN 26,200 Mexico (Govt of) Udibonos

4.00% 15/11/2040 870,695 1.35



24/02/2025 4,537,987 7.06

Total Romania 4,537,987 7.06

SWEDENUSD 210,000 Swedish Export Credit FRN

14/11/2023 209,154 0.33





22/01/2044 912,352 1.42


UNITED STATESUSD 5,050,000 United States Treasury Inflation

Indexed N/B 0.75% 15/02/2045 4,936,224 7.67





Bonds

AUSTRALIAUSD 65,000 Asciano Finance Limited 5.00%

07/04/2018 66,522 0.10


NETHERLANDSUSD 220,000 Deutsche Annington Finance

BV 3.20% 02/10/2017 222,196 0.35



P.P. 144A 4.50% 01/06/2025 524,937 0.82 USD 230,000 Hewlett Packard Enterprise P.P.

144A 6.35% 15/10/2045 227,545 0.35 USD 120,000 Massachusetts Mutual Life



Total Bonds 1,152,224 1.79

129









AUSTRALIAAUD 500,000 Liberty Funding Pty Limited FRN

10/08/2016 385,844 0.60 AUD 761,025 TRTN FRN 20/03/2043 580,863 0.90





Funds

LUXEMBOURG43,705 Threadneedle (Lux) - US$ High

Income Bonds Portfolio 1,276,619 1.98


Total Funds 1,276,619 1.98





130








UNITED STATESUSD 10,000,000 United States Treasury

Bill 0.00% 07/04/2016 9,999,846 3.31 USD 40,000,000 United States Treasury








Bill 0.00% 25/08/2016 39,946,872 13.24






Notes to the Financial Statements

131


1 GENERAL

Threadneedle (Lux) (the “SICAV”) is an investment company with variable capital (Société d’Investissement à Capital Variable) governed by Part I of the law of December 17, 2010, as amended, relating to Undertakings for Collective Investment (the “law of December 17, 2010, as amended”).

The SICAV offers investors the opportunity to invest in separate compartments (the “Portfolios”), each of which has a different investment objective and is a separate portfolio of assets represented by separate securities. Each Portfolio may have one or more classes of shares (the “Share Classes”) related to it. The SICAV as a whole, including all of the existing Portfolios and all future Portfolios, is one legal entity. However, with regard to third parties and, in particular, with regard to the SICAV’s creditors and as between Shareholders, each Portfolio shall be exclusively responsible for all liabilities attributable to it.

Significant events during the year:

New Prospectuses

A new Prospectus has been issued in March 2016.

Changes to the investment policy of the Portfolios

With effect from October 1, 2015, the investment policy of the Threadneedle (Lux) - Euro Active Bonds Portfolio has changed, and its name has changed to Threadneedle (Lux) - European Strategic Bond.

Launching and closing of Portfolios

No Portfolios were launched or closed during the year.

Launching and closing of Share Classes

The following share classes were launched during the year ended March 31, 2016:

Share Class Portfolio Effective DateZEH Threadneedle (Lux) - Global Emerging Market Short-Term Bonds March 15, 2016AEP Threadneedle (Lux) - Global Multi Asset Income October 14, 2015AUP Threadneedle (Lux) - Global Multi Asset Income October 14, 2015DEP Threadneedle (Lux) - Global Multi Asset Income October 14, 2015AE Threadneedle (Lux) - Asia Contrarian Equity September 23, 2015AF Threadneedle (Lux) - Asia Contrarian Equity September 23, 2015DE Threadneedle (Lux) - Asia Contrarian Equity September 23, 2015IE Threadneedle (Lux) - Asia Contrarian Equity September 23, 2015IF Threadneedle (Lux) - Asia Contrarian Equity September 23, 2015ZE Threadneedle (Lux) - Asia Contrarian Equity September 23, 2015ZF Threadneedle (Lux) - Asia Contrarian Equity September 23, 2015AE Threadneedle (Lux) - Asian Focus September 25, 2015AF Threadneedle (Lux) - Asian Focus September 25, 2015DE Threadneedle (Lux) - Asian Focus September 25, 2015IE Threadneedle (Lux) - Asian Focus September 25, 2015IF Threadneedle (Lux) - Asian Focus September 25, 2015ZE Threadneedle (Lux) - Asian Focus September 25, 2015ZF Threadneedle (Lux) - Asian Focus September 25, 2015AE Threadneedle (Lux) - Developed Asia Growth and Income September 24, 2015AEP Threadneedle (Lux) - Developed Asia Growth and Income September 24, 2015AF Threadneedle (Lux) - Developed Asia Growth and Income September 24, 2015AFP Threadneedle (Lux) - Developed Asia Growth and Income September 24, 2015DE Threadneedle (Lux) - Developed Asia Growth and Income September 24, 2015IE Threadneedle (Lux) - Developed Asia Growth and Income September 24, 2015IEP Threadneedle (Lux) - Developed Asia Growth and Income September 24, 2015IF Threadneedle (Lux) - Developed Asia Growth and Income September 24, 2015IFP Threadneedle (Lux) - Developed Asia Growth and Income September 24, 2015IUP Threadneedle (Lux) - Developed Asia Growth and Income September 24, 2015ZE Threadneedle (Lux) - Developed Asia Growth and Income September 24, 2015ZEP Threadneedle (Lux) - Developed Asia Growth and Income September 24, 2015ZF Threadneedle (Lux) - Developed Asia Growth and Income September 24, 2015ZFP Threadneedle (Lux) - Developed Asia Growth and Income September 24, 2015ZUP Threadneedle (Lux) - Developed Asia Growth and Income September 24, 2015AEC Threadneedle (Lux) - US Contrarian Core Equities September 30, 2015AUP Threadneedle (Lux) - US Contrarian Core Equities September 30, 2015ZEH Threadneedle (Lux) - UK Equities October 14, 2015ZFH Threadneedle (Lux) - UK Equities March 8, 2016ZGP Threadneedle (Lux) - UK Equities October 14, 2015ZUH Threadneedle (Lux) - UK Equities March 8, 2016

132


Notes to the Financial Statements(continued)

The following share classes became dormant during the year ended March 31, 2016:

Share Class Portfolio Effective DateIU Threadneedle (Lux) - Emerging Market Corporate Bonds August 11, 2015AGH Threadneedle (Lux) - Global Multi Asset Income November 27, 2015ZGH Threadneedle (Lux) - Global Multi Asset Income December 3, 2015AFH Threadneedle (Lux) - Global Opportunities Bond November 5, 2015IGH Threadneedle (Lux) - Global Opportunities Bond May 4, 2015

As at March 31, 2016 the active Portfolios of the SICAV are as follows:

The Bond Portfolios: - Threadneedle (Lux) - Global Strategic Bond1

- Threadneedle (Lux) - Global Corporate Bond- Threadneedle (Lux) - European Strategic Bond1

- Threadneedle (Lux) - Emerging Market Corporate Bonds1

- Threadneedle (Lux) - Emerging Market Debt1

- Threadneedle (Lux) - Global Emerging Market Short-Term Bonds1

- Threadneedle (Lux) - US$ High Income Bonds1

- Threadneedle (Lux) - Flexible Asian Bond

The Asset Allocation Portfolio:- Threadneedle (Lux) - Global Asset Allocation1

- Threadneedle (Lux) - Global Multi Asset Income

The Equity Portfolios:- Threadneedle (Lux) - Global Focus1

- Threadneedle (Lux) - Global Emerging Market Equities1

- Threadneedle (Lux) - Global Smaller Companies- Threadneedle (Lux) - American1

- Threadneedle (Lux) - American Select1

- Threadneedle (Lux) - Asia Contrarian Equity1

- Threadneedle (Lux) - Asian Focus1

- Threadneedle (Lux) - Developed Asia Growth and Income1

- Threadneedle (Lux) - US Contrarian Core Equities - Threadneedle (Lux) - Pan European Equities1

- Threadneedle (Lux) - Pan European Small Cap Opportunities1

- Threadneedle (Lux) - European Select - Threadneedle (Lux) - Asian Equity Income1

- Threadneedle (Lux) - Greater China Equities1

- Threadneedle (Lux) - Global Energy Equities1

- Threadneedle (Lux) - Global Technology1

- Threadneedle (Lux) - Global Equities - Walter Scott & Partners - Threadneedle (Lux) - Mondrian Investment Partners - Focused Emerging Markets Equity- Threadneedle (Lux) - UK Equities - Threadneedle (Lux) - STANLIB Africa Equity - Threadneedle (Lux) - STANLIB Global Emerging Markets Property Securities

The Absolute Return Portfolios: - Threadneedle (Lux) - American Absolute Alpha- Threadneedle (Lux) - Global Opportunities Bond

The Specialist Portfolio:- Threadneedle (Lux) - Enhanced Commodities1

1As at March 31, 2016, these Portfolios have been authorised by the Securities and Futures Commission in Hong Kong and are available to the public of Hong Kong.

2 SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

The financial statements are prepared and presented in accordance with generally accepted accounting principles applicable to UCITS (Undertakings for Collective Investments in Transferable Securities) investment funds in Luxembourg and require management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates.

1 GENERAL (continued)

133



I) Valuation of securities

Transferable securities, money market instruments and any financial assets listed or dealt in on a regulated market are valued at their last exchange price in the relevant market at the time of closure of the market. If such prices are not representative of their fair market value, such securities are stated at the fair value at which it is expected they may be resold, as determined in good faith by or under the direction of the Board of Directors.

Fixed income securities not traded on such markets are valued at the last available price or yield equivalents obtained from one or more dealers or pricing services approved by the Board of Directors, or any other price deemed appropriate by the Board of Directors.

Money Market Instruments (or other instruments in line with market convention in the jurisdiction in which the instrument is held) with a remaining maturity of 90 days or less will be valued by the amortised cost method, which approximates market value. Under this valuation method, the relevant Portfolio’s investments are valued at their acquisition cost or the last market value prior to the 90 day period commencing (where an instrument at purchase date originally had more than 90 days to maturity) and adjusted for amortisation of premium or accretion of discount rather than at market value.

Units or shares of open-ended undertakings for collective investments (“UCIs”) are valued at their last determined and available net asset value (the “Net Asset Value”) or, if such price is not representative of the fair market value of such assets, then the price shall be determined by the SICAV, on a fair and equitable basis. Units or shares of closed-ended UCIs are valued at their last available stock market value.

The directors of the SICAV (the “Directors”), in their discretion, may permit some other method of valuation to be used if they consider that such valuation better reflects the fair value of any asset of the SICAV.

II) Forward Foreign Exchange Contracts

For the purpose of hedging against specific currency risk or investing in other currencies, the SICAV may enter into forward foreign exchange contracts. At the year-end, open forward foreign exchange contracts are valued at the forward rates applicable for the remaining period until maturity. The net movement in the unrealised gain/(loss) arising on forward foreign exchange contracts is recorded in the Statement of Operations and Changes in Net Assets. The contracts outstanding as at March 31, 2016 are disclosed in Note 9.

III) Futures Contracts

The SICAV may enter into futures exchange contracts. Open futures contracts are valued at the prices on the exchange for which the contracts are traded on. The net movement in the unrealised gain/(loss) arising on futures contracts is recorded in the Statement of Operations and Changes in Net Assets. The contracts outstanding as at March 31, 2016 are disclosed in Note 11.

IV) Swaps Transactions

The SICAV may enter into Interest Rate Swaps (“IRS”), Credit Default Swaps (“CDS”) and Total Return Swaps (“TRS”). IRS are valued on the basis of their market value established by reference to the applicable interest rate curve. CDS are valued by reference to the net present value of the expected future cash flows based on the market interest rates and the markets expected default and recovery rate of the underlying asset. An upfront payment, if any, made by the SICAV is recorded as an asset in the Statement of Net Assets. An upfront payment, if any, received by the SICAV is recorded as a liability in the Statement of Net Assets. TRS are valued by reference to the mark to market value based on the market value of the underlying asset. The net movement in the unrealised gain or loss arising on swap transactions is recorded in the Statement of Operations and Changes in Net Assets. The contracts outstanding as at March 31, 2016 are disclosed in Note 10. Dividends payable on swaps short positions, if any, are recorded as a liability in the Statement of Net Assets.

V) Options trades

Options traded on a regulated market are valued at the market price on the valuation date. Such options open as at March 31, 2016 are shown in the Schedule of Investments. Over-the-counter (“OTC”) options are valued based on prices received from third party pricing agents/models. Such options open as at March 31, 2016 are shown in Note 12. Unrealised gains or losses arising at the time of reporting from the valuation of options trades are taken into account in the Statement of Operations and Changes in Net Assets.

VI) Translation of currencies

The accounts of each Portfolio are kept in the currency in which its net assets are expressed. The relevant Statement of Net Assets, Statement of Operations and Changes in Net Assets and the Schedule of Investments are expressed in this currency (the “base currency”).

During the year, transactions, income and expenses denominated in a currency other than the base currency are recorded on the basis of exchange rates prevailing on the date they occur or accrue to the Portfolio.

2 SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued)

134



At the date of the Statement of Net Assets, monetary assets and liabilities denominated in a currency other than the base currency are translated into the base currency on the basis of exchange rates prevailing on that date. Exchange differences are included in the Statement of Operations and Changes in Net Assets.

The aggregated Statement of Net Assets and Statement of Operations and Changes in Net Assets are presented in USD based on the exchange rates ruling at the date of the Statement of Net Assets. Exchange rates used as at March 31, 2016 are: 1 USD = 1.299968 AUD, 1 USD = 0.877536 EUR, 1 USD = 0.695749 GBP, 1 USD = 0.957650 CHF, 1 USD = 8.106684 SEK and 1 USD = 1.346600 SGD.

The difference between the opening net assets stated at exchange rates ruling at the beginning of the year and their value at the end of the year is shown as a currency translation adjustment in the Aggregated Statement of Operations and Changes in Net Assets under the heading Exchange differences.

VII) Cash at bank

The cash at bank reflected in the statements of net assets includes also the margins on futures.

Cash and margins on futures are valued at cost, which approximates the market value.

VIII) Term deposits

Term deposits are valued at cost, which approximates the market value.

IX) Investment transactions and investment income

Securities are recorded at cost, and where applicable on the basis of exchange rates prevailing on the date they are purchased.

Results on sales of securities are determined on the basis of the average cost method. Investment transactions are accounted for on the trade date. Dividends are accounted for on the ex-dividend date. Interest income is recorded on an accrual basis. Discounts/Premium on zero coupon bonds are accreted as adjustments to interest income.

Interest, dividends and capital gains on securities may be subject to withholding or capital gains taxes in certain countries.

X) Distribution policy

The policy of the SICAV in respect of all Share Classes of Portfolios, with the exception of Classes whose denomination ends in ‘P’ or ‘C’, is to make no distributions, to accumulate in such Portfolios all net earnings and to reinvest these within the same Portfolio and Class. In respect of Classes whose denomination ends in ‘P’ or ‘C’, the SICAV intends to make distributions, with a frequency, at least annually, and in an amount to be determined by the Directors. The Shareholders of these Share Classes have the option to receive the dividend or to reinvest it in the SICAV.

3 TAXATION

Under current laws and practice, the SICAV is not liable to any Luxembourg income tax, or any Luxembourg capital gains on the realised capital appreciation of the assets of the SICAV nor are dividends paid by the SICAV liable to any Luxembourg withholding tax.

Under the prevailing law and regulations, the SICAV is subject, in the Grand Duchy of Luxembourg, to an annual subscription tax of 0.05%, payable on a quarterly basis and assessed on its Net Asset Value at the end of each quarter. No tax is due on the assets held by the SICAV in other UCITS already subject to that tax in Luxembourg.

In respect of the Institutional Share Classes, a reduced annual subscription tax of 0.01% is levied on the Net Asset Value at the last day of each calendar quarter in accordance with the law of December 17, 2010, as amended.

In addition, those portfolios whose sole object is the collective investment in money market instruments and the placing of deposits with credit institutions are also subject to a reduced tax of 0.01%. Again, no such tax is due on the portion of the assets of the SICAV invested in other Luxembourg UCITS, if any.

Although the SICAV’s realised capital gains are not taxable in Luxembourg, whether short-or-long term, these realised capital gains may be subject to tax in the countries of origin.

4 MISCELLANEOUS FEES

The miscellaneous fees are mainly composed of foreign exchange charges.

2 SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued)


135


5 RELATED PARTY TRANSACTIONS

The SICAV may, on behalf of the different Portfolios, enter into borrowing arrangements (subject to the restrictions set out under “Investment Restrictions” in Appendix A of the Prospectus) with, and buy from or sell transferable securities, foreign exchange or other financial instruments through Threadneedle Asset Management Limited (“TAML”), a related entity and its affiliates, provided that such transactions are carried out at arm’s length on normal commercial terms and are in the best interests of the relevant Portfolio and its Shareholders.

The SICAV has appointed Threadneedle Management Luxembourg S.A. (the “Management Company”) to serve as its designated management company in accordance with Chapter 15 of the law of December 17, 2010, as amended. Under the Management Company Services Agreement, the Management Company provides investment management, administrative and marketing services to the SICAV, subject to the overall supervision and control of the Board of Directors.

Neither the Management Company nor TAML earned commissions related to brokerage transactions.

Certain officers and/or directors of the Management Company, the SICAV and other Columbia Threadneedle Group entities are also officers and/or directors of TAML.

The Management Company (on behalf of the SICAV) has delegated certain marketing and/or distribution functions to other Columbia Threadneedle Group entities. The Management Company receives a monthly fee for Asset management services at an annual rate detailed on this page, expressed as a percentage of the average daily net assets for each of the Portfolios. The Management Company is responsible for paying sub-distribution fees out of this fee. Some of the sub-advisors are related entities.

As described in Note 8, the Management Company may also receive performance fees with respect to all A, D, I and Z Shares of the Threadneedle (Lux) - American Absolute Alpha Portfolio and with respect to all A, I and Z Shares of the Threadneedle (Lux) - Global Opportunities Bond Portfolio.

All expenses incurred in the operation of the SICAV and defined below (hereafter the “Other Operating Expenses”, “Asset Management Fee” or “Portfolio Charges”, together, the “Expenses”) are fixed at the rates shown in the tables from page 136 onwards except for Share Classes WS and M, for which the Operating Expenses are 0.20% per annum and Share Class BU, for which the Operating Expenses are 0.35% per annum. All expenses are accrued daily based on the Net Asset Value of the relevant Share Class in the relevant Portfolio.

The Operating Expenses include, among other things, taxes, expenses for legal and auditing services, costs of printing proxies, stock certificates, Shareholders’ reports and notices, Prospectuses and key investor information documents and other promotional expenses, fees and charges of the custodian and its correspondents, and of the domiciliary agent, administrative agent, registrar and transfer agent and of any paying agent, expenses of the issue and redemption of shares, registration fees and expenses in various jurisdictions, listing fees, fees of unaffiliated directors of the SICAV, expenses of the Directors and officers of the SICAV and the sub-advisors relating to attendance at meetings of the Directors and of the shareholders of the SICAV, translation costs, accounting and pricing costs (including the calculation of Net Asset Value per share), insurance, litigation and other extraordinary or non-recurring expenses, and all other expenses properly payable by the SICAV. The Operating Expenses also include the service fee payable to the Management Company. In the case of Share Classes WS and M only, custody and sub-custody charges are paid by the relevant Share Classes as incurred and are not included in the Operating Expenses. The Management Company will bear the excess of any Operating Expenses above the annual rate. Conversely the Management Company will be entitled to retain any amount by which the annual rate of Operating Expenses exceeds the actual expenses incurred by the SICAV.

Furthermore, the Management Company is entitled to receive an asset management fee (the “Asset Management Fee”) as more fully described in the tables from page 136 onwards which are accrued daily and paid monthly. An Asset Management Fee is not payable for X Shares. For the avoidance of doubt, Operating Expenses do not include either Asset Management Fees or performance fees which are separate and distinct.

For Share Class WS an Asset Management Charge of up to 1.00% of the total Net Asset Value of the Share Class per annum will be accrued daily and paid monthly.

Share Class M may be subject to a transaction charge (for subscriptions, redemptions or exchanges) of up to 0.75% of the Net Asset Value subject to the fair and equal treatment of shareholders. For Share Class M an Asset Management Fee of up to 0.95% of the total Net Asset Value of the Share Class per annum will be accrued daily and paid monthly.

The SICAV may offer B Shares on certain Portfolios. B Shares bear no initial sales charge and are subject to an ongoing distribution fee of 1.00% of the total Net Asset Value of the Class per annum. B Shares of the Global Technology Portfolio are available only for further subscription by existing Shareholders. There is a declining Contingent Deferred Sales Charges (“CDSC”) as described on page 140.


136


A SHARES:

Portfolio (s)

Initial Sales Chargeas a % of the amount invested Exchange Fee

Bond Portfolios Maximum 2.0% Maximum 0.75%Equity Portfolios and Asset Allocation Portfolios Maximum 5.0% Maximum 0.75%Absolute Return Portfolios Maximum 5.0% Maximum 0.75%Specialist Portfolio Maximum 5.0% Maximum 0.75%

Sales charges are maximums, which distributors or sub-distributors are allowed to waive in whole or in part, depending on the size of the subscription or upon local market considerations.

PortfolioType

Name of Portfolio

Asset Management Fee

Operating Expenses

Base Currency

Bond PortfoliosThreadneedle (Lux) - Global Strategic Bond 1.00% 0.30% USDThreadneedle (Lux) - European Strategic Bond* 0.90% 0.30% EURThreadneedle (Lux) - Global Corporate Bond 1.00% 0.30% USDThreadneedle (Lux) - Emerging Market Corporate Bonds 1.50% 0.30% USDThreadneedle (Lux) - Emerging Market Debt 1.50% 0.30% USDThreadneedle (Lux) - Global Emerging Market Short-Term Bonds 1.40% 0.30% USDThreadneedle (Lux) - US$ High Income Bonds 1.25% 0.30% USDThreadneedle (Lux) - Flexible Asian Bond 1.25% 0.30% USD

Asset Allocation PortfoliosThreadneedle (Lux) - Global Asset Allocation 1.50% 0.35% USDThreadneedle (Lux) - Global Multi Asset Income 1.25% 0.30% USD

Equity PortfoliosThreadneedle (Lux) - Global Focus 1.50% 0.35% USDThreadneedle (Lux) - Global Emerging Market Equities 1.50% 0.35% USDThreadneedle (Lux) - Global Smaller Companies 1.50% 0.35% EURThreadneedle (Lux) - American 1.50% 0.35% USDThreadneedle (Lux) - American Select 1.50% 0.35% USDThreadneedle (Lux) - Asia Contrarian Equity 1.50% 0.35% USDThreadneedle (Lux) - Asian Focus 1.50% 0.35% USDThreadneedle (Lux) - Developed Asia Growth and Income 1.50% 0.35% USDThreadneedle (Lux) - US Contrarian Core Equities 1.50% 0.35% USDThreadneedle (Lux) - Pan European Equities 1.50% 0.35% EURThreadneedle (Lux) - Pan European Small Cap Opportunities 1.50% 0.35% EURThreadneedle (Lux) - European Select 1.50% 0.35% EURThreadneedle (Lux) - Asian Equity Income 1.50% 0.35% USDThreadneedle (Lux) - Greater China Equities 1.50% 0.35% USDThreadneedle (Lux) - Global Energy Equities 1.75% 0.35% USDThreadneedle (Lux) - Global Technology 1.75% 0.35% USDThreadneedle (Lux) - UK Equities 1.50% 0.35% GBP

Absolute Return PortfoliosThreadneedle (Lux) - American Absolute Alpha 1.50% 0.35% USDThreadneedle (Lux) - Global Opportunities Bond 1.10% 0.30% USD

Specialist PortfolioThreadneedle (Lux) - Enhanced Commodities 1.75% 0.35% USD

5 RELATED PARTY TRANSACTIONS (continued)


137


B SHARES:

Portfolios

Initial Sales Charge as a % of the amount invested Exchange Fee

Each Portfolio listed below Nil Maximum 0.75%Contingent Deferred Sales Charge

Please refer to the section with the heading ”B Share – CDSC” on page 140 for details of the Contingent Deferred Sales Charge

payable on redemption of B Shares.

PortfolioType

Name of Portfolio


Distribution Fee

Operating Expenses

Base Currency

Equity PortfolioThreadneedle (Lux) - Global Technology 2.00% Nil 0.35% USD

D SHARES:

Portfolios


Each Portfolio listed below Maximum 1.00% Maximum 0.75%


PortfolioType

Name of Portfolio


Operating Expenses

Base Currency

Bond PortfoliosThreadneedle (Lux) - Global Strategic Bond 1.35% 0.30% USDThreadneedle (Lux) - European Strategic Bond* 1.45% 0.30% EURThreadneedle (Lux) - Global Corporate Bond 1.35% 0.30% USDThreadneedle (Lux) - Emerging Market Corporate Bonds 2.00% 0.30% USDThreadneedle (Lux) - Emerging Market Debt 2.00% 0.30% USDThreadneedle (Lux) - Global Emerging Market Short-Term Bonds 1.55% 0.30% USDThreadneedle (Lux) - US$ High Income Bonds 2.25% 0.30% USDThreadneedle (Lux) - Flexible Asian Bond 1.75% 0.30% USD

Asset Allocation PortfoliosThreadneedle (Lux) - Global Asset Allocation 2.25% 0.35% USDThreadneedle (Lux) - Global Multi Asset Income 2.00% 0.30% USD

Equity PortfoliosThreadneedle (Lux) - Global Focus 2.25% 0.35% USDThreadneedle (Lux) - Global Emerging Market Equities 2.50% 0.35% USDThreadneedle (Lux) - Global Smaller Companies 2.00% 0.35% EURThreadneedle (Lux) - American 2.00% 0.35% USDThreadneedle (Lux) - American Select 2.25% 0.35% USDThreadneedle (Lux) - Asia Contrarian Equity 2.50% 0.35% USDThreadneedle (Lux) - Asian Focus 2.50% 0.35% USDThreadneedle (Lux) - Developed Asia Growth and Income 2.50% 0.35% USDThreadneedle (Lux) - US Contrarian Core Equities 2.00% 0.35% USDThreadneedle (Lux) - Pan European Equities 2.25% 0.35% EURThreadneedle (Lux) - Pan European Small Cap Opportunities 2.40% 0.35% EURThreadneedle (Lux) - Asian Equity Income 2.50% 0.35% USDThreadneedle (Lux) - Greater China Equities 2.50% 0.35% USDThreadneedle (Lux) - Global Energy Equities 2.25% 0.35% USDThreadneedle (Lux) - Global Technology 2.00% 0.35% USD



138


PortfolioType

Name of Portfolio


Operating Expenses

Base Currency



W SHARES (INCLUDING P SHARES):

Portfolios




PortfolioType

Name of Portfolio


Operating Expenses

Base Currency

Bond PortfoliosThreadneedle (Lux) - Global Strategic Bond 0.75% 0.30% USDThreadneedle (Lux) - European Strategic Bond* 0.85% 0.30% EURThreadneedle (Lux) - Emerging Market Corporate Bonds 1.00% 0.30% USDThreadneedle (Lux) - Emerging Market Debt 1.00% 0.30% USDThreadneedle (Lux) - Global Emerging Market Short-Term Bonds 1.15% 0.30% USD

Asset Allocation PortfolioThreadneedle (Lux) - Global Asset Allocation 1.40% 0.35% USD

Equity PortfoliosThreadneedle (Lux) - Global Focus 1.40% 0.35% USDThreadneedle (Lux) - Global Emerging Market Equities 1.65% 0.35% USDThreadneedle (Lux) - American 1.15% 0.35% USDThreadneedle (Lux) - American Select 1.40% 0.35% USDThreadneedle (Lux) - Pan European Equities 1.40% 0.35% EURThreadneedle (Lux) - Pan European Small Cap Opportunities 1.55% 0.35% EURThreadneedle (Lux) - Asian Equity Income 1.65% 0.35% USDThreadneedle (Lux) - Greater China Equities 1.65% 0.35% USDThreadneedle (Lux) - Global Energy Equities 1.40% 0.35% USDThreadneedle (Lux) - Global Equities - Walter Scott & Partners 1.00% 0.20% EUR

S SHARES:

Portfolio




Portfolio Type

Name of Portfolio


Operating Expenses

Base Currency

Bond Portfolio Threadneedle (Lux) - Emerging Market Debt 1.50% 0.30% USD



139


I SHARES:

Portfolio


Each Portfolio listed below N/A Maximum 0.75%

Portfolio Type

Name of Portfolio


Operating Expenses

Base Currency

Bond PortfoliosThreadneedle (Lux) - European Strategic Bond* 0.50% 0.20% EURThreadneedle (Lux) - Global Corporate Bond 0.50% 0.20% USDThreadneedle (Lux) - Emerging Market Corporate Bonds 0.80% 0.20% USDThreadneedle (Lux) - Emerging Market Debt 0.80% 0.20% USDThreadneedle (Lux) - Global Emerging Market Short-Term Bonds 0.80% 0.20% USDThreadneedle (Lux) - US$ High Income Bonds 0.65% 0.20% USDThreadneedle (Lux) - Flexible Asian Bond 0.80% 0.20% USD

Asset Allocation PortfolioThreadneedle (Lux) - Global Asset Allocation 0.75% 0.25% USD

Equity PortfoliosThreadneedle (Lux) - Global Emerging Market Equities 0.85% 0.25% USDThreadneedle (Lux) - Global Smaller Companies 0.75% 0.25% EURThreadneedle (Lux) - American 0.80% 0.25% USDThreadneedle (Lux) - American Select 0.80% 0.25% USDThreadneedle (Lux) - Asia Contrarian Equity 0.85% 0.25% USDThreadneedle (Lux) - Asian Focus 0.85% 0.25% USDThreadneedle (Lux) - Developed Asia Growth and Income 0.85% 0.25% USDThreadneedle (Lux) - US Contrarian Core Equities 0.80% 0.25% USDThreadneedle (Lux) - Pan European Equities 0.80% 0.25% EURThreadneedle (Lux) - Pan European Small Cap Opportunities 0.85% 0.25% EURThreadneedle (Lux) - European Select 0.75% 0.25% EURThreadneedle (Lux) - UK Equities 0.80% 0.25% GBPThreadneedle (Lux) - STANLIB Africa Equity 1.25% 0.35% USDThreadneedle (Lux) - STANLIB Global Emerging Markets Property Securities 1.25% 0.35% USD



X SHARES:

Portfolio


Each Portfolio listed below N/A Maximum 0.75%

Portfolio Type

Name of Portfolio

Operating Expenses

Base Currency

Equity PortfolioThreadneedle (Lux) - Pan European Equities 0.15% EUR

Specialist PortfolioThreadneedle (Lux) - Enhanced Commodities 0.15% USD



140


Z SHARES:

Portfolio


Each Portfolio listed below 5.00% Maximum 0.75%


Portfolio Type

Name of Portfolio


Operating Expenses

Base Currency

Bond PortfoliosThreadneedle (Lux) - Global Corporate Bond 0.60% 0.30% USDThreadneedle (Lux) - Emerging Market Debt 0.60% 0.30% USDThreadneedle (Lux) - Global Emerging Market Short-Term Bonds 0.60% 0.30% USDThreadneedle (Lux) - US$ High Income Bonds 0.60% 0.30% USDThreadneedle (Lux) - Flexible Asian Bond 0.60% 0.30% USD

Asset Allocation PortfolioThreadneedle (Lux) - Global Multi Asset Income 0.75% 0.30% USD

Equity PortfoliosThreadneedle (Lux) - Global Focus 0.75% 0.35% USDThreadneedle (Lux) - Global Emerging Market Equities 0.75% 0.35% USDThreadneedle (Lux) - Global Smaller Companies 0.75% 0.35% EURThreadneedle (Lux) - Asia Contrarian Equity 0.75% 0.35% USDThreadneedle (Lux) - Asian Focus 0.75% 0.35% USDThreadneedle (Lux) - Developed Asia Growth and Income 0.75% 0.35% USDThreadneedle (Lux) - American Select 0.75% 0.35% USDThreadneedle (Lux) - US Contrarian Core Equities 0.75% 0.35% USDThreadneedle (Lux) - Pan European Equities 0.75% 0.35% EURThreadneedle (Lux) - European Select 0.75% 0.35% EURThreadneedle (Lux) - Asian Equity Income 0.75% 0.35% USDThreadneedle (Lux) - Global Technology 0.85% 0.35% USDThreadneedle (Lux) - UK Equities 0.75% 0.35% GBPThreadneedle (Lux) - STANLIB Africa Equity 1.25% 0.35% USD



*See note 1.

There is a declining Contingent Deferred Sales Charge, CDSC on Class BU shares redeemed within 4 years of purchase as follows:

Years since Purchase CDSC

Less than 1 year 4%1 year or more but less than 2 years 3%2 years or more but less than 3 years 2%3 years or more but less than 4 years 1%4 years or more 0%

The amount of the CDSC is equal to the lesser of the current Net Asset Value and the original purchase price of the Class BU shares being redeemed, multiplied by the applicable percentage rate referenced above. The Class BU shares will continue to age without regard to any exchanges. Accordingly, upon redemption of Shares acquired in an exchange for Class BU shares of another Portfolio, the amount of any CDSC will be applied as if the Shares redeemed were held since the date of initial purchase. In order to minimise any CDSC that is payable, the SICAV assumes for each shareholder that Class BU shares not subject to any charge are redeemed first, followed by Class BU shares held the longest during the four year period.



141


With effect from March 17, 2016, there is a declining Contingent Deferred Sales Charge (CDSC) on B Shares redeemed within 2 years of purchase. The percentage amount charged is as follows:

Years since Purchase CDSC

Less than 1 year 2%1 year or more but less than 2 years 1%

The amount of the CDSC is equal to the current Net Asset Value of the B Shares being redeemed, multiplied by the applicable percentage rate referenced above.

Exchange of B SharesB Shares may be exchanged for B Shares in an alternative Portfolio where available without incurring the CDSC, but may not be switched into other Classes without incurring the CDSC. The B Shares will continue to age without regard to any exchanges. Accordingly, upon redemption of Shares acquired in an exchange for B Shares of another Portfolio, the amount of any CDSC will be applied as if the Shares redeemed were held since the date of initial purchase. Dividends paid on B Shares cannot be reinvested and will be paid to shareholders.

In order to minimise any CDSC that is payable, the SICAV assumes for each Shareholder that B Shares held the longest during the two year period are redeemed first.

On the first Business Day following the two year anniversary of purchase, B Shares will automatically be exchanged into A Shares of the same Portfolio and will become subject to the charging structure on the B shares, in particular the CDSC and the distribution fee will cease to be payable.

6 COMMISSION SHARING ARRANGEMENTS

The Management Company and each relevant sub-advisor may enter into commission sharing arrangements with broker-dealers under which certain business services are obtained from such broker-dealers directly or from third parties and are paid for by the broker-dealers out of the commissions they receive on transactions for the SICAV. Consistent with obtaining best execution, brokerage commissions on portfolio transactions for the SICAV may be specifically allocated by the Management Company or sub-advisor to broker-dealers in consideration of any research services rendered as well as for services rendered in the execution of orders by such broker-dealers.

Commission sharing arrangements are subject to the following conditions: (i) the Management Company or the sub-advisor will act at all times in the best interest of the SICAV and of its Shareholders when entering into commission sharing arrangements; (ii) the services provided will be in direct relationship to the activities of the Management Company or sub-advisor; (iii) brokerage commissions on portfolio transactions for the SICAV will be allocated by the Management Company or the sub-advisor to broker-dealers that are entities and not to individuals; (iv) commission sharing arrangements are not a determining factor in the selection of the broker-dealers; (v) the Management Company or the sub-advisor will provide reports to the Directors with respect to commission sharing arrangements including the nature of the services it receives; (vi) neither the Management Company, the sub-advisor nor any of their connected persons may retain cash or other rebates from broker-dealers; (vii) the research received is of demonstrable benefit to the SICAV’s shareholders and can add value to a sub-advisor’s decision making process and execution services.

7 DIVIDENDS

The SICAV declared the following dividends during the year ended March 31, 2016:

Portfolio Share Class Ex-Date CurrencyAmount

per ShareTotal

Amount

Threadneedle (Lux) - Global Strategic Bond Class DEC 23/04/2015 USD 0.038 2,272Class DEC 21/05/2015 USD 0.039 2,270Class DEC 22/06/2015 USD 0.046 1,946Class DEC 24/07/2015 USD 0.045 825Class DEC 24/08/2015 USD 0.046 860Class DEC 23/09/2015 USD 0.046 763Class DEC 26/10/2015 USD 0.045 714Class DEC 23/11/2015 USD 0.044 688Class DEC 22/12/2015 USD 0.045 706Class DEC 25/01/2016 USD 0.044 700Class DEC 23/02/2016 USD 0.045 713Class DEC 23/03/2016 USD 0.046 811

USD 13,268



142



per ShareTotal

Amount

Threadneedle (Lux) - European Strategic Bond* Class AEP 23/04/2015 EUR 0.026 8,661Class AEP 21/05/2015 EUR 0.026 10,635Class AEP 22/06/2015 EUR 0.020 7,975Class AEP 24/07/2015 EUR 0.020 8,055Class AEP 24/08/2015 EUR 0.020 7,903Class AEP 23/09/2015 EUR 0.020 7,862Class AEP 26/10/2015 EUR 0.020 8,385Class AEP 23/11/2015 EUR 0.020 8,507Class AEP 22/12/2015 EUR 0.020 8,285Class AEP 25/01/2016 EUR 0.020 8,335Class AEP 23/02/2016 EUR 0.020 8,118Class AEP 23/03/2016 EUR 0.020 7,829Class DEP 23/04/2015 EUR 0.020 3,967Class DEP 21/05/2015 EUR 0.020 4,181Class DEP 22/06/2015 EUR 0.015 3,070Class DEP 24/07/2015 EUR 0.015 3,080Class DEP 24/08/2015 EUR 0.015 3,022Class DEP 23/09/2015 EUR 0.015 3,154Class DEP 26/10/2015 EUR 0.015 3,208Class DEP 23/11/2015 EUR 0.015 3,023Class DEP 22/12/2015 EUR 0.015 2,993Class DEP 25/01/2016 EUR 0.015 2,949Class DEP 23/02/2016 EUR 0.015 3,012Class DEP 23/03/2016 EUR 0.015 3,304

EUR 139,513

Threadneedle (Lux) - Emerging Market Corporate Bonds Class AEC 23/04/2015 USD 0.066 38,522

Class AEC 21/05/2015 USD 0.069 39,344Class AEC 22/06/2015 USD 0.071 40,203Class AEC 24/07/2015 USD 0.069 38,677Class AEC 24/08/2015 USD 0.071 39,160Class AEC 23/09/2015 USD 0.073 39,617Class AEC 26/10/2015 USD 0.073 38,926Class AEC 23/11/2015 USD 0.070 37,294Class AEC 22/12/2015 USD 0.072 37,476Class AEC 25/01/2016 USD 0.071 36,506Class AEC 23/02/2016 USD 0.073 37,142Class AEC 23/03/2016 USD 0.074 37,538Class AUP 23/04/2015 USD 0.035 42,172Class AUP 21/05/2015 USD 0.035 41,562Class AUP 22/06/2015 USD 0.036 42,583Class AUP 24/07/2015 USD 0.036 41,185Class AUP 24/08/2015 USD 0.036 40,998Class AUP 23/09/2015 USD 0.038 42,654Class AUP 26/10/2015 USD 0.038 42,346Class AUP 23/11/2015 USD 0.038 42,206Class AUP 22/12/2015 USD 0.038 40,931Class AUP 25/01/2016 USD 0.038 40,423Class AUP 23/02/2016 USD 0.038 40,175Class AUP 23/03/2016 USD 0.038 40,120

7 DIVIDENDS (continued)


143



per ShareTotal

Amount

Threadneedle (Lux) - Emerging Market Corporate Bonds (continued) Class DEC 23/04/2015 USD 0.049 1,446

Class DEC 21/05/2015 USD 0.051 1,225Class DEC 22/06/2015 USD 0.053 1,174Class DEC 24/07/2015 USD 0.052 1,187Class DEC 24/08/2015 USD 0.053 1,042Class DEC 23/09/2015 USD 0.055 833Class DEC 26/10/2015 USD 0.054 722Class DEC 23/11/2015 USD 0.052 844Class DEC 22/12/2015 USD 0.053 866Class DEC 25/01/2016 USD 0.053 763Class DEC 23/02/2016 USD 0.054 778Class DEC 23/03/2016 USD 0.055 792Class P 23/04/2015 USD 0.041 246Class P 21/05/2015 USD 0.041 246Class P 22/06/2015 USD 0.042 252Class P 24/07/2015 USD 0.042 252Class P 24/08/2015 USD 0.042 252Class P 23/09/2015 USD 0.044 255Class P 26/10/2015 USD 0.044 255Class P 23/11/2015 USD 0.044 255Class P 22/12/2015 USD 0.044 255Class P 25/01/2016 USD 0.044 255Class P 23/02/2016 USD 0.044 255Class P 23/03/2016 USD 0.044 255

USD 972,465

Threadneedle (Lux) - Emerging Market Debt Class AEC 23/04/2015 USD 0.053 5,753Class AEC 21/05/2015 USD 0.054 5,801Class AEC 22/06/2015 USD 0.059 5,784Class AEC 24/07/2015 USD 0.057 5,276Class AEC 24/08/2015 USD 0.059 5,593Class AEC 23/09/2015 USD 0.058 5,328Class AEC 26/10/2015 USD 0.057 5,235Class AEC 23/11/2015 USD 0.055 4,972Class AEC 22/12/2015 USD 0.057 5,092Class AEC 25/01/2016 USD 0.056 5,004Class AEC 23/02/2016 USD 0.057 5,096Class AEC 23/03/2016 USD 0.056 4,903Class AUP 23/04/2015 USD 0.053 433,272Class AUP 21/05/2015 USD 0.053 425,522Class AUP 22/06/2015 USD 0.056 441,372Class AUP 24/07/2015 USD 0.056 430,979Class AUP 24/08/2015 USD 0.056 419,865Class AUP 23/09/2015 USD 0.056 413,110Class AUP 26/10/2015 USD 0.056 408,691Class AUP 23/11/2015 USD 0.056 404,385Class AUP 22/12/2015 USD 0.056 396,710Class AUP 25/01/2016 USD 0.056 388,301



144



per ShareTotal

Amount

Threadneedle (Lux) - Emerging Market Debt (continued) Class AUP 23/02/2016 USD 0.056 385,262

Class AUP 23/03/2016 USD 0.055 375,269Class SUP 23/04/2015 USD 0.051 15,266Class SUP 21/05/2015 USD 0.051 14,914Class SUP 22/06/2015 USD 0.055 15,722Class SUP 24/07/2015 USD 0.055 15,421Class SUP 24/08/2015 USD 0.055 14,914Class SUP 23/09/2015 USD 0.055 14,713Class SUP 26/10/2015 USD 0.055 14,497Class SUP 23/11/2015 USD 0.055 14,491Class SUP 22/12/2015 USD 0.055 12,312Class SUP 25/01/2016 USD 0.055 10,709Class SUP 23/02/2016 USD 0.055 10,249Class SUP 23/03/2016 USD 0.054 9,975

USD 5,149,758

Threadneedle (Lux) - Global Emerging Market Short-Term Bonds Class AEC 23/04/2015 USD 0.031 27,450

Class AEC 21/05/2015 USD 0.032 27,296Class AEC 22/06/2015 USD 0.036 30,148Class AEC 24/07/2015 USD 0.035 29,314Class AEC 24/08/2015 USD 0.036 30,304Class AEC 23/09/2015 USD 0.036 29,750Class AEC 26/10/2015 USD 0.035 29,208Class AEC 23/11/2015 USD 0.034 28,259Class AEC 22/12/2015 USD 0.035 28,727Class AEC 25/01/2016 USD 0.035 28,197Class AEC 23/02/2016 USD 0.035 28,355Class AEC 23/03/2016 USD 0.035 28,094Class ASC 23/04/2015 USD 0.027 2,078Class ASC 21/05/2015 USD 0.027 2,094Class ASC 22/06/2015 USD 0.030 2,137Class ASC 24/07/2015 USD 0.029 1,925Class ASC 24/08/2015 USD 0.028 1,879Class ASC 23/09/2015 USD 0.028 1,866Class ASC 26/10/2015 USD 0.029 2,053Class ASC 23/11/2015 USD 0.028 1,788Class ASC 22/12/2015 USD 0.028 1,619Class ASC 25/01/2016 USD 0.028 1,601Class ASC 23/02/2016 USD 0.029 1,629Class ASC 23/03/2016 USD 0.029 1,636Class AUP 23/04/2015 USD 0.027 118,915Class AUP 21/05/2015 USD 0.027 118,553Class AUP 22/06/2015 USD 0.031 133,800Class AUP 24/07/2015 USD 0.031 129,349Class AUP 24/08/2015 USD 0.031 127,577Class AUP 23/09/2015 USD 0.031 125,408Class AUP 26/10/2015 USD 0.031 124,224Class AUP 23/11/2015 USD 0.031 123,527



145



per ShareTotal

Amount

Threadneedle (Lux) - Global Emerging Market Short-Term Bonds (continued) Class AUP 22/12/2015 USD 0.031 120,491

Class AUP 25/01/2016 USD 0.031 118,846Class AUP 23/02/2016 USD 0.031 116,925Class AUP 23/03/2016 USD 0.030 112,931

USD 1,837,953

Threadneedle (Lux) - US$ High Income Bonds Class AEC 23/04/2015 USD 0.064 2,632Class AEC 21/05/2015 USD 0.067 2,725Class AEC 22/06/2015 USD 0.068 2,781Class AEC 24/07/2015 USD 0.066 2,653Class AEC 24/08/2015 USD 0.068 2,671Class AEC 23/09/2015 USD 0.070 2,761Class AEC 26/10/2015 USD 0.070 2,736Class AEC 23/11/2015 USD 0.067 2,719Class AEC 22/12/2015 USD 0.069 2,323Class AEC 25/01/2016 USD 0.068 2,253Class AEC 23/02/2016 USD 0.069 2,223Class AEC 23/03/2016 USD 0.072 2,326Class AUP 23/04/2015 USD 0.057 21,059Class AUP 21/05/2015 USD 0.057 20,320Class AUP 22/06/2015 USD 0.057 19,885Class AUP 24/07/2015 USD 0.057 18,934Class AUP 24/08/2015 USD 0.057 18,644Class AUP 23/09/2015 USD 0.060 19,522Class AUP 26/10/2015 USD 0.060 19,592Class AUP 23/11/2015 USD 0.060 19,855Class AUP 22/12/2015 USD 0.060 20,893Class AUP 25/01/2016 USD 0.060 20,317Class AUP 23/02/2016 USD 0.060 58,400Class AUP 23/03/2016 USD 0.061 61,169Class DEC 23/04/2015 USD 0.050 3,382Class DEC 21/05/2015 USD 0.052 3,459Class DEC 22/06/2015 USD 0.053 3,529Class DEC 24/07/2015 USD 0.052 3,496Class DEC 24/08/2015 USD 0.053 3,602Class DEC 23/09/2015 USD 0.055 3,696Class DEC 26/10/2015 USD 0.054 3,662Class DEC 23/11/2015 USD 0.052 3,550Class DEC 22/12/2015 USD 0.053 3,551Class DEC 25/01/2016 USD 0.053 3,521Class DEC 23/02/2016 USD 0.054 3,550Class DEC 23/03/2016 USD 0.055 3,691

USD 392,082

Threadneedle (Lux) - Global Asset Allocation Class AEC 23/04/2015 USD 0.018 1,355Class AEC 21/05/2015 USD 0.019 1,362Class AEC 22/06/2015 USD 0.019 1,397Class AEC 24/07/2015 USD 0.019 1,327Class AEC 24/08/2015 USD 0.019 1,367



146



per ShareTotal

Amount

Threadneedle (Lux) - Global Asset Allocation (continued) Class AEC 23/09/2015 USD 0.019 1,339

Class AEC 26/10/2015 USD 0.019 1,314Class AEC 23/11/2015 USD 0.018 1,322Class AEC 22/12/2015 USD 0.021 2,105Class AEC 25/01/2016 USD 0.021 2,096Class AEC 23/02/2016 USD 0.021 2,135Class AEC 23/03/2016 USD 0.021 2,296Class AUP 23/04/2015 USD 0.017 21,012Class AUP 21/05/2015 USD 0.017 21,088Class AUP 22/06/2015 USD 0.017 20,586Class AUP 24/07/2015 USD 0.017 20,441Class AUP 24/08/2015 USD 0.017 19,418Class AUP 23/09/2015 USD 0.017 19,090Class AUP 26/10/2015 USD 0.017 18,799Class AUP 23/11/2015 USD 0.017 18,307Class AUP 22/12/2015 USD 0.020 20,868Class AUP 25/01/2016 USD 0.020 20,441Class AUP 23/02/2016 USD 0.020 20,442Class AUP 23/03/2016 USD 0.020 20,020

USD 259,927

Threadneedle (Lux) - Global Multi Asset Income Class AEC 22/06/2015 USD 0.177 98,618Class AEC 23/09/2015 USD 0.174 121,094Class AEC 22/12/2015 USD 0.170 156,849Class AEC 23/03/2016 USD 0.175 185,705Class AEP 23/03/2016 USD 0.171 17Class AUP 23/03/2016 USD 0.151 15,618Class DEC 22/06/2015 USD 0.176 92,267Class DEC 23/09/2015 USD 0.173 145,589Class DEC 22/12/2015 USD 0.169 183,252Class DEC 23/03/2016 USD 0.174 232,913Class DEP 22/12/2015 USD 0.169 1,945Class DEP 23/03/2016 USD 0.174 1,536Class DUP 22/06/2015 USD 0.156 50,229Class DUP 23/09/2015 USD 0.156 58,886Class DUP 22/12/2015 USD 0.156 83,809Class DUP 23/03/2016 USD 0.156 118,921Class ZEC 22/06/2015 USD 0.174 28,717Class ZEC 23/09/2015 USD 0.171 28,222Class ZEC 22/12/2015 USD 0.168 27,674Class ZEC 23/03/2016 USD 0.173 28,457

USD 1,660,318

Threadneedle (Lux) - Developed Asia Growth and Income Class ASC 23/04/2015 USD 0.022 74,046

Class ASC 21/05/2015 USD 0.022 57,693Class ASC 22/06/2015 USD 0.022 50,623Class ASC 24/07/2015 USD 0.022 49,977Class ASC 24/08/2015 USD 0.021 48,992



147



per ShareTotal

Amount

Threadneedle (Lux) - Developed Asia Growth and Income (continued) Class ASC 23/09/2015 USD 0.021 51,756

Class ASC 26/10/2015 USD 0.021 54,125Class ASC 23/11/2015 USD 0.021 55,013Class ASC 22/12/2015 USD 0.021 55,849Class ASC 25/01/2016 USD 0.021 55,629Class ASC 23/02/2016 USD 0.021 55,805Class ASC 23/03/2016 USD 0.022 56,930Class AUP 23/04/2015 USD 0.030 2,369Class AUP 21/05/2015 USD 0.030 2,489Class AUP 22/06/2015 USD 0.030 2,489Class AUP 24/07/2015 USD 0.030 2,489Class AUP 24/08/2015 USD 0.030 3,214Class AUP 23/09/2015 USD 0.030 3,243Class AUP 26/10/2015 USD 0.030 4,342Class AUP 23/11/2015 USD 0.030 4,775Class AUP 22/12/2015 USD 0.030 4,985Class AUP 25/01/2016 USD 0.030 5,070Class AUP 23/02/2016 USD 0.030 5,073Class AUP 23/03/2016 USD 0.030 5,076Class AVC 23/04/2015 USD 0.023 541Class AVC 21/05/2015 USD 0.024 724Class AVC 22/06/2015 USD 0.023 1,951Class AVC 24/07/2015 USD 0.022 2,409Class AVC 24/08/2015 USD 0.022 2,613Class AVC 23/09/2015 USD 0.021 2,489Class AVC 26/10/2015 USD 0.022 3,349Class AVC 23/11/2015 USD 0.022 3,354Class AVC 22/12/2015 USD 0.022 3,332Class AVC 25/01/2016 USD 0.021 3,258Class AVC 23/02/2016 USD 0.022 3,355Class AVC 23/03/2016 USD 0.023 3,583

USD 743,010

Threadneedle (Lux) - US Contrarian Core Equities Class AUP 23/03/2016 USD 0.032 15,753

USD 15,753

Threadneedle (Lux) - UK Equities Class AGP 23/09/2015 GBP 0.420 237,352Class AGP 23/03/2016 GBP 0.290 118,317Class IGP 23/09/2015 GBP 0.631 521,262Class IGP 23/03/2016 GBP 0.340 243,226

GBP 1,120,157

*See note 1.

8 PERFORMANCE FEES

The Management Company shall receive a performance fee as set forth below with respect to the Share Classes of the Portfolios listed in the table below. Daily provisions shall be set up for the accrual of the performance fee in respect of the performance fee balance (as described below), whereby the amount accrued shall be paid to the Management Company at the end of each calendar year (i.e. December 31). The amount of this performance



148


fee depends on the performance of the Net Asset Value of the relevant Share Class within the relevant Portfolio compared to the performance of the relevant performance index (the “Performance Index”, as per the table below with the exception of the Threadneedle (Lux) - Global Opportunities Bond Portfolio, see note below). Accruals will only be made when the performance fee balance is positive and the NAV High Water Mark (defined below) is exceeded.

Performance of Share Classes includes dividends paid.

Portfolio Share Classes Performance Index Performance Rate

Threadneedle (Lux) - Global Opportunities Bond* A Shares 1 month USD Deposit Rate +4.5% 15%I SharesZ Shares

Threadneedle (Lux) - American Absolute Alpha A Shares 3 month LIBOR (US$) 20%D SharesI SharesZ Shares

*Each Portfolio’s performance (including the impact of all applicable fees) is compared to the Performance Index, with the exception of Threadneedle (Lux) - Global Opportunities Bond which is compared gross of fees.

The performance fee balance shall be calculated on the difference between the performance of the Performance Index and the performance of the Share Class concerned (the “Daily Difference”):

(i) in the event the Daily Difference is positive, the performance fee balance will increase by an amount in respect of the Daily Difference, at the relevant performance rate;

(ii) if the Daily Difference is negative, the performance fee balance will be reduced by an amount in respect of the Daily Difference, at the relevant performance rate.

If the performance fee balance is positive at the end of the calendar year and the NAV High Water Mark has been exceeded, the accrued amount of the performance fee will be paid to the Management Company within the first quarter of the subsequent calendar year. A performance fee shall only be paid to the Management Company if the Net Asset Value of the relevant Share Class exceeds the NAV High Water Mark.

If the performance fee balance is negative, such negative amount will be carried forward and the Management Company shall not receive the payment of a performance fee until the amount of the accrued performance fee is positive at any subsequent calendar year’s end.

In the event that a Portfolio or a Share Class is liquidated or a Portfolio or Share Class becomes dormant, any outstanding performance fee accrual shall be realised and payable to the Management Company. Thereafter, when new Shareholders have invested in such a Portfolio or Share Class, the performance fee balance will be reset.

NAV High Water Mark: in respect of each Share Class, is the Net Asset Value of a Share of such Share Class as at the last Valuation Date of the last relevant calendar year in which any accrued performance fee was paid. If a performance fee has never been paid, the NAV High Water Mark is the inception price of the relevant Share Class.

As at March 31, 2016, performance fees amounted to USD 506,114 for the Threadneedle (Lux) - American Absolute Alpha Portfolio.

9 NET UNREALISED GAIN/(LOSS) ON FORWARD FOREIGN EXCHANGE CONTRACTS

As at March 31, 2016, the SICAV has the following forward foreign exchange contracts outstanding:

PortfolioMaturity

DateCurrency

PurchasedAmount

PurchasedCurrency

SoldAmount

Sold Purpose Counterparty

Unrealised gain/(loss)

in the portfolio base currency

Threadneedle (Lux) - Global Strategic Bond 19/04/2016 EUR 1,795,611 USD 1,994,359 Hedging JP Morgan Chase New York 52,992

19/04/2016 EUR 163,512 USD 181,610 Hedging JP Morgan Chase New York 4,82620/04/2016 AUD 172,239 USD 128,269 Trading Citibank 4,10420/04/2016 CAD 117,837 USD 88,214 Trading JP Morgan 2,892

8 PERFORMANCE FEES (continued)


149


PortfolioMaturity

DateCurrency

PurchasedAmount

PurchasedCurrency

SoldAmount




Threadneedle (Lux) - Global Strategic Bond (continued) 20/04/2016 CHF 146,863 USD 149,181 Trading JP Morgan 4,309

20/04/2016 JPY 240,611,597 USD 2,134,325 Trading JP Morgan 7,85220/04/2016 MXN 58,436,442 USD 3,245,928 Trading HSBC 157,35320/04/2016 NOK 8,286,210 USD 967,042 Trading Citibank 34,68720/04/2016 SEK 953,876 USD 114,915 Trading UBS AG Stamford Branch 2,83320/04/2016 USD 75,212 EUR 67,611 Trading Royal Bank of Canada (1,880)20/04/2016 USD 1,005,939 GBP 709,768 Trading UBS AG Stamford Branch (14,272)20/04/2016 USD 622,961 HUF 174,086,247 Trading UBS AG Stamford Branch (8,156)20/04/2016 USD 3,329,910 NZD 5,052,975 Trading Goldman Sachs (174,787)20/04/2016 USD 831,639 RON 3,345,505 Trading JP Morgan (21,597)20/04/2016 EUR 1,465,058 USD 1,645,753 Trading Goldman Sachs 24,75020/04/2016 JPY 60,914,594 USD 542,501 Trading Goldman Sachs (175)20/04/2016 MXN 19,199,658 USD 1,085,002 Trading Barclays Capital 33,16720/04/2016 NOK 9,165,923 USD 1,084,822 Trading Barclays Capital 23,25520/04/2016 NOK 4,517,847 USD 543,595 Trading Barclays Capital 2,57220/04/2016 JPY 121,303,348 USD 1,087,190 Trading Citibank (7,221)20/04/2016 USD 344,425 COP 1,104,399,999 Trading JP Morgan (23,340)20/04/2016 KRW 283,562,118 USD 238,759 Trading JP Morgan 10,43806/09/2016 USD 1,073,763 CNY 7,167,902 Trading Citibank (25,356)26/05/2016 USD 531,324 CNY 3,514,710 Trading HSBC (11,270)26/05/2016 USD 531,268 CNY 3,513,806 Trading HSBC (11,187)26/05/2016 USD 531,413 CNY 3,514,764 Trading Goldman Sachs (11,190)26/05/2016 USD 531,370 CNY 3,513,420 Trading Goldman Sachs (11,024)19/04/2016 USD 1,138 EUR 1,002 Hedging JP Morgan Chase New York (4)20/04/2016 NZD 794,376 USD 546,512 Trading Citibank 4,43120/04/2016 NOK 10,897,512 USD 1,306,160 Trading Barclays Capital 11,25120/04/2016 EUR 385,208 USD 436,023 Trading Citibank 3,20220/04/2016 EUR 1,926,722 USD 2,183,689 Trading Citibank 13,21720/04/2016 AUD 1,427,050 USD 1,091,171 Trading HSBC 5,57719/04/2016 USD 1 EUR 1 Hedging JP Morgan Chase New York 020/04/2016 NZD 485,314 USD 326,652 Trading Citibank 9,94019/04/2016 USD 140,643 EUR 125,781 Hedging JP Morgan Chase New York (2,771)20/04/2016 USD 87,588 NZD 131,021 Trading Goldman Sachs (3,285)20/04/2016 NOK 190,280 USD 22,396 Trading Citibank 60720/04/2016 AUD 61,823 USD 46,523 Trading Goldman Sachs 99120/04/2016 USD 1,098,051 MXN 19,090,603 Trading Barclays Capital (13,793)20/04/2016 USD 1,097,537 MXN 19,074,092 Trading JP Morgan (13,345)20/04/2016 USD 548,792 MXN 9,588,502 Trading Citibank (9,651)20/04/2016 USD 548,792 MXN 9,581,642 Trading Citibank (9,251)20/04/2016 USD 1,097,537 JPY 122,704,723 Trading Royal Bank Of Scotland 5,08720/04/2016 USD 1,101,456 AUD 1,448,220 Trading Goldman Sachs (11,573)19/04/2016 EUR 163,769 USD 181,896 Hedging JP Morgan Chase New York 4,833

USD 40,038

9 NET UNREALISED GAIN/(LOSS) ON FORWARD FOREIGN EXCHANGE CONTRACTS (continued)


150


PortfolioMaturity

DateCurrency

PurchasedAmount

PurchasedCurrency

SoldAmount




Threadneedle (Lux) - Global Corporate Bond 17/06/2016 USD 5,015,097 EUR 4,510,400 Trading Goldman Sachs (137,127)

17/06/2016 USD 301,331 CAD 402,700 Trading Barclays Capital (10,028)19/04/2016 GBP 1,553 USD 2,202 Hedging JP Morgan Chase New York 3019/04/2016 SEK 16,744 USD 2,010 Hedging JP Morgan Chase New York 5719/04/2016 GBP 13,396,264 USD 18,995,541 Hedging JP Morgan Chase New York 260,00819/04/2016 EUR 1,848 USD 2,053 Hedging JP Morgan Chase New York 5519/04/2016 EUR 1,817 USD 2,018 Hedging JP Morgan Chase New York 5419/04/2016 SEK 16,565 USD 1,988 Hedging JP Morgan Chase New York 5719/04/2016 EUR 1,828 USD 2,030 Hedging JP Morgan Chase New York 5419/04/2016 EUR 1,828 USD 2,030 Hedging JP Morgan Chase New York 5417/06/2016 USD 3,867 CAD 5,000 Trading Goldman Sachs 117/06/2016 USD 130,008 GBP 90,000 Trading Goldman Sachs 61617/06/2016 USD 33,739 EUR 30,000 Trading Goldman Sachs (530)17/06/2016 USD 203,452 EUR 180,000 Trading Goldman Sachs (2,170)17/06/2016 USD 30,343 GBP 21,000 Trading Goldman Sachs 15117/06/2016 USD 2,728,493 GBP 1,932,000 Trading Barclays Capital (49,107)

USD 62,175

Threadneedle (Lux) - European Strategic Bond* 20/04/2016 EUR 1,694,237 GBP 1,335,884 Trading JP Morgan 10,213

20/04/2016 SEK 32,067,788 EUR 3,468,461 Trading UBS AG Stamford Branch 3,21720/04/2016 EUR 209,338 USD 232,806 Trading Barclays Capital 5,16720/04/2016 EUR 1,309,647 RON 5,861,284 Trading Barclays Capital (1,377)20/04/2016 EUR 1,303,583 HUF 405,175,514 Trading JP Morgan 15,37020/04/2016 EUR 9,096,251 GBP 7,138,261 Trading Barclays Capital 97,73320/04/2016 EUR 1,369,692 DKK 10,212,650 Trading JP Morgan (1,017)20/04/2016 EUR 140,000 CHF 153,300 Trading Barclays Capital (514)

EUR 128,792

Threadneedle (Lux) - Emerging Market Corporate Bonds 19/04/2016 USD 35,608 EUR 32,125 Hedging JP Morgan Chase New York (1,020)

19/04/2016 EUR 630 USD 699 Hedging JP Morgan Chase New York 2019/04/2016 USD 811 EUR 716 Hedging JP Morgan Chase New York (5)19/04/2016 USD 2,514 EUR 2,213 Hedging JP Morgan Chase New York (9)19/04/2016 USD 1,136 EUR 1,000 Hedging JP Morgan Chase New York (4)19/04/2016 EUR 9,118 USD 10,204 Hedging JP Morgan Chase New York 19219/04/2016 USD 19,245 EUR 17,196 Hedging JP Morgan Chase New York (362)19/04/2016 EUR 5,332,653 USD 5,922,898 Hedging JP Morgan Chase New York 157,37719/04/2016 EUR 3,584,378 USD 3,981,114 Hedging JP Morgan Chase New York 105,78219/04/2016 EUR 7,858,468 USD 8,728,284 Hedging JP Morgan Chase New York 231,92013/05/2016 USD 1,290,437 EUR 1,165,446 Trading Goldman Sachs (39,343)19/04/2016 EUR 82 USD 92 Hedging JP Morgan Chase New York 219/04/2016 EUR 0** USD 0 ** Hedging JP Morgan Chase New York 019/04/2016 USD 31,274 EUR 27,969 Hedging JP Morgan Chase New York (616)19/04/2016 USD 5,061 EUR 4,505 Hedging JP Morgan Chase New York (76)19/04/2016 USD 2,940 EUR 2,617 Hedging JP Morgan Chase New York (44)



151


PortfolioMaturity

DateCurrency

PurchasedAmount

PurchasedCurrency

SoldAmount




Threadneedle (Lux) - Emerging Market Corporate Bonds (continued) 19/04/2016 EUR 164 USD 185 Hedging JP Morgan Chase New York 2

19/04/2016 USD 9,218 EUR 8,157 Hedging JP Morgan Chase New York (83)19/04/2016 EUR 219 USD 247 Hedging JP Morgan Chase New York 219/04/2016 USD 1,272 EUR 1,123 Hedging JP Morgan Chase New York (9)19/04/2016 EUR 10,355 USD 11,478 Hedging JP Morgan Chase New York 32919/04/2016 USD 4,557 EUR 4,097 Hedging JP Morgan Chase New York (114)19/04/2016 EUR 120 USD 133 Hedging JP Morgan Chase New York 319/04/2016 EUR 137 USD 152 Hedging JP Morgan Chase New York 419/04/2016 USD 3,888 EUR 3,497 Hedging JP Morgan Chase New York (99)19/04/2016 EUR 149,325 USD 165,853 Hedging JP Morgan Chase New York 4,40719/04/2016 EUR 373,360 USD 414,685 Hedging JP Morgan Chase New York 11,01919/04/2016 EUR 7,153,167 USD 7,944,916 Hedging JP Morgan Chase New York 211,10419/04/2016 SGD 89,418 USD 64,771 Hedging JP Morgan Chase New York 1,63013/05/2016 USD 45,597 EUR 40,000 Trading HSBC (45)

USD 681,964

Threadneedle (Lux) - Emerging Market Debt 19/04/2016 EUR 1,000 USD 1,127 Hedging JP Morgan Chase New York 13

13/05/2016 USD 995,219 COP 3,192,413,760 Trading Goldman Sachs (64,857)13/05/2016 USD 652,136 MXN 11,744,083 Trading JP Morgan (30,495)19/04/2016 EUR 610,906 USD 678,524 Hedging JP Morgan Chase New York 18,02919/04/2016 EUR 175,565 USD 194,997 Hedging JP Morgan Chase New York 5,18119/04/2016 EUR 31,418,895 USD 34,896,496 Hedging JP Morgan Chase New York 927,23319/04/2016 EUR 951,874 USD 1,057,232 Hedging JP Morgan Chase New York 28,09219/04/2016 USD 11,626,791 EUR 10,389,078 Hedging JP Morgan Chase New York (218,680)19/04/2016 USD 19,108 EUR 17,074 Hedging JP Morgan Chase New York (359)19/04/2016 USD 11,857,601 EUR 10,438,121 Hedging JP Morgan Chase New York (43,888)19/04/2016 EUR 278,620 USD 315,954 Hedging JP Morgan Chase New York 1,72819/04/2016 SGD 21,315 USD 15,440 Hedging JP Morgan Chase New York 38919/04/2016 EUR 274 USD 303 Hedging JP Morgan Chase New York 9

USD 622,395

Threadneedle (Lux) - Global Emerging Market Short-Term Bonds 13/05/2016 COP 3,165,673,908 USD 1,054,873 Trading HSBC (3,869)

13/05/2016 USD 986,883 COP 3,165,673,906 Trading Goldman Sachs (64,314)19/04/2016 EUR 5,905,296 USD 6,558,924 Hedging JP Morgan Chase New York 174,27719/04/2016 EUR 4,335,070 USD 4,814,897 Hedging JP Morgan Chase New York 127,93719/04/2016 EUR 17,170,581 USD 19,071,105 Hedging JP Morgan Chase New York 506,73819/04/2016 EUR 5,253,717 USD 5,835,225 Hedging JP Morgan Chase New York 155,04819/04/2016 SGD 196,445 USD 142,298 Hedging JP Morgan Chase New York 3,58219/04/2016 SGD 467,562 USD 338,684 Hedging JP Morgan Chase New York 8,52519/04/2016 USD 175,167 EUR 157,553 Hedging JP Morgan Chase New York (4,471)19/04/2016 EUR 30,000 USD 33,354 Hedging JP Morgan Chase New York 85219/04/2016 EUR 155,900 USD 173,330 Hedging JP Morgan Chase New York 4,42719/04/2016 EUR 40 USD 45 Hedging JP Morgan Chase New York 1



152


PortfolioMaturity

DateCurrency

PurchasedAmount

PurchasedCurrency

SoldAmount




Threadneedle (Lux) - Global Emerging Market Short-Term Bonds (continued) 19/04/2016 SGD 200 USD 145 Hedging JP Morgan Chase New York 4

19/04/2016 USD 17 EUR 15 Hedging JP Morgan Chase New York 019/04/2016 USD 738 SGD 1,002 Hedging JP Morgan Chase New York (6)19/04/2016 EUR 1,004 USD 1,131 Hedging JP Morgan Chase New York 1319/04/2016 EUR 26,599 USD 29,973 Hedging JP Morgan Chase New York 35519/04/2016 USD 6,834 EUR 6,065 Hedging JP Morgan Chase New York (81)19/04/2016 USD 28,577 SGD 38,835 Hedging JP Morgan Chase New York (262)19/04/2016 EUR 50,303 USD 56,246 Hedging JP Morgan Chase New York 1,10919/04/2016 SGD 646 USD 472 Hedging JP Morgan Chase New York 719/04/2016 USD 12,556 EUR 11,241 Hedging JP Morgan Chase New York (261)19/04/2016 USD 4,733 EUR 4,229 Hedging JP Morgan Chase New York (89)19/04/2016 USD 7,951 EUR 7,105 Hedging JP Morgan Chase New York (150)19/04/2016 USD 102,897 EUR 91,944 Hedging JP Morgan Chase New York (1,935)19/04/2016 EUR 39,867 USD 45,289 Hedging JP Morgan Chase New York 168

USD 907,605

Threadneedle (Lux) - US$ High Income Bonds 19/04/2016 EUR 450,128 USD 499,950 Hedging JP Morgan Chase New York 13,284

19/04/2016 SGD 144,618 USD 104,756 Hedging JP Morgan Chase New York 2,63719/04/2016 EUR 11,025,193 USD 12,245,516 Hedging JP Morgan Chase New York 325,37619/04/2016 EUR 939,015 USD 1,042,950 Hedging JP Morgan Chase New York 27,71219/04/2016 EUR 1,229,234 USD 1,365,292 Hedging JP Morgan Chase New York 36,27719/04/2016 EUR 11 USD 12 Hedging JP Morgan Chase New York 019/04/2016 EUR 479,752 USD 544,993 Hedging JP Morgan Chase New York 2,01819/04/2016 USD 2,188 SGD 2,991 Hedging JP Morgan Chase New York (33)19/04/2016 USD 389 EUR 348 Hedging JP Morgan Chase New York (7)19/04/2016 EUR 2,432,642 USD 2,717,254 Hedging JP Morgan Chase New York 56,43819/04/2016 EUR 477,570 USD 533,999 Hedging JP Morgan Chase New York 10,52519/04/2016 EUR 10,702,730 USD 11,967,344 Hedging JP Morgan Chase New York 235,87819/04/2016 EUR 174,471 USD 195,086 Hedging JP Morgan Chase New York 3,84519/04/2016 EUR 1,239,157 USD 1,392,032 Hedging JP Morgan Chase New York 20,85119/04/2016 USD 44,320 EUR 39,453 Hedging JP Morgan Chase New York (663)19/04/2016 EUR 150 USD 169 Hedging JP Morgan Chase New York 219/04/2016 EUR 2,589,544 USD 2,917,989 Hedging JP Morgan Chase New York 34,60119/04/2016 USD 14,035 EUR 12,419 Hedging JP Morgan Chase New York (126)19/04/2016 EUR 14,988 USD 16,613 Hedging JP Morgan Chase New York 47619/04/2016 EUR 164 USD 182 Hedging JP Morgan Chase New York 519/04/2016 EUR 707,843 USD 786,190 Hedging JP Morgan Chase New York 20,890

USD 789,986

Threadneedle (Lux) - Flexible Asian Bond 06/04/2016 SGD 510,000 USD 357,356 Trading Citibank 21,383

13/04/2016 USD 208,265 TWD 7,000,000 Trading Citibank (9,767)13/04/2016 USD 253,046 PHP 12,150,000 Trading Citibank (11,386)19/04/2016 KRW 592,000,000 USD 486,742 Trading Citibank 33,53113/04/2016 TWD 7,000,000 USD 208,333 Trading Citibank 9,724



153


PortfolioMaturity

DateCurrency

PurchasedAmount

PurchasedCurrency

SoldAmount




Threadneedle (Lux) - Flexible Asian Bond (continued) 19/04/2016 USD 210,526 KRW 252,000,000 Trading Citibank (10,886)

19/04/2016 KRW 260,000,000 USD 217,182 Trading Citibank 11,31613/04/2016 PHP 6,000,000 USD 125,183 Trading Citibank 5,41306/04/2016 SGD 62,000 USD 44,192 Trading JP Morgan 1,85107/04/2016 USD 362,153 MYR 1,500,000 Trading Citibank (25,048)19/04/2016 USD 240,205 KRW 290,000,000 Trading Citibank (14,585)06/04/2016 USD 216,685 SGD 300,000 Trading Citibank (6,103)19/04/2016 EUR 2,639 USD 2,931 Hedging JP Morgan Chase New York 7819/04/2016 SGD 15,641 USD 11,330 Hedging JP Morgan Chase New York 28519/04/2016 SGD 2,614 USD 1,894 Hedging JP Morgan Chase New York 4819/04/2016 EUR 2,614 USD 2,903 Hedging JP Morgan Chase New York 7719/04/2016 EUR 2,666 USD 2,961 Hedging JP Morgan Chase New York 7919/04/2016 GBP 14,816,200 USD 21,008,972 Hedging JP Morgan Chase New York 287,56719/04/2016 SGD 2,703 USD 1,958 Hedging JP Morgan Chase New York 4919/04/2016 SGD 1,974 USD 1,433 Hedging JP Morgan Chase New York 3323/05/2016 USD 309,735 TWD 10,000,000 Trading Citibank (1,801)19/04/2016 SGD 2,025 USD 1,481 Hedging JP Morgan Chase New York 2223/05/2016 TWD 10,000,000 USD 311,178 Trading Barclays Capital 363

USD 292,243

Threadneedle (Lux) - Global Asset Allocation 19/04/2016 EUR 4,797,778 USD 5,328,820 Hedging JP Morgan Chase New York 141,592

19/04/2016 EUR 1,392,939 USD 1,547,117 Hedging JP Morgan Chase New York 41,10819/04/2016 GBP 383,820 USD 544,246 Hedging JP Morgan Chase New York 7,45019/04/2016 EUR 1,368 USD 1,521 Hedging JP Morgan Chase New York 3919/04/2016 USD 14,997 EUR 13,483 Hedging JP Morgan Chase New York (376)19/04/2016 USD 6,248 EUR 5,637 Hedging JP Morgan Chase New York (179)19/04/2016 EUR 14,753 USD 16,709 Hedging JP Morgan Chase New York 11219/04/2016 EUR 14,484,808 USD 16,088,059 Hedging JP Morgan Chase New York 427,47519/04/2016 GBP 28,500 USD 41,298 Hedging JP Morgan Chase New York (332)19/04/2016 USD 12,527 EUR 11,085 Hedging JP Morgan Chase New York (112)19/04/2016 EUR 48,494 USD 54,645 Hedging JP Morgan Chase New York 64819/04/2016 EUR 39,746 USD 44,787 Hedging JP Morgan Chase New York 53119/04/2016 USD 333 EUR 296 Hedging JP Morgan Chase New York (5)19/04/2016 USD 2,141 EUR 1,915 Hedging JP Morgan Chase New York (42)19/04/2016 EUR 100,339 USD 112,078 Hedging JP Morgan Chase New York 2,32819/04/2016 EUR 43,097 USD 48,231 Hedging JP Morgan Chase New York 90819/04/2016 EUR 137 USD 153 Hedging JP Morgan Chase New York 319/04/2016 USD 29,986 EUR 26,397 Hedging JP Morgan Chase New York (111)19/04/2016 USD 22,835 EUR 20,102 Hedging JP Morgan Chase New York (85)19/04/2016 EUR 0 ** USD 0 ** Hedging JP Morgan Chase New York 003/06/2016 USD 7,940,149 AUD 11,150,000 Trading Citibank (612,607)03/06/2016 JPY 560,000,000 USD 4,972,817 Trading Royal Bank Of Scotland 18,82703/06/2016 USD 4,360,525 EUR 4,000,000 Trading Royal Bank Of Scotland (206,428)03/06/2016 USD 3,073,293 MXN 56,000,000 Trading JP Morgan (175,764)03/06/2016 CLP 1,625,000,000 USD 2,312,509 Trading Citibank 102,241

USD (252,779)



154


PortfolioMaturity

DateCurrency

PurchasedAmount

PurchasedCurrency

SoldAmount




Threadneedle (Lux) - Global Multi Asset Income 19/04/2016 USD 11,192 EUR 10,063 Hedging JP Morgan Chase New York (281)

19/04/2016 USD 23,859 EUR 21,450 Hedging JP Morgan Chase New York (599)19/04/2016 EUR 24,964 USD 27,754 Hedging JP Morgan Chase New York 70919/04/2016 EUR 123,779 USD 137,618 Hedging JP Morgan Chase New York 3,51519/04/2016 EUR 1,580,377 USD 1,755,301 Hedging JP Morgan Chase New York 46,64019/04/2016 EUR 12,490,286 USD 13,872,773 Hedging JP Morgan Chase New York 368,61319/04/2016 EUR 9,848,711 USD 10,938,816 Hedging JP Morgan Chase New York 290,65519/04/2016 EUR 2,151,663 USD 2,389,819 Hedging JP Morgan Chase New York 63,50008/04/2016 USD 111,209 EUR 100,000 Trading Citibank (2,774)08/04/2016 USD 186,922 EUR 170,000 Trading Citibank (6,848)08/04/2016 EUR 101,850 USD 113,544 Trading HSBC 2,54808/04/2016 USD 163,589 EUR 148,360 Trading Citibank (5,515)08/04/2016 USD 4,336,448 GBP 3,051,680 Trading JP Morgan (49,834)08/04/2016 USD 11,639,544 EUR 10,549,872 Trading Royal Bank Of Scotland (385,454)08/04/2016 USD 151,216 CHF 150,000 Trading Citibank (5,468)08/04/2016 EUR 9,300 USD 10,583 Trading Royal Bank Of Scotland 1819/04/2016 EUR 8,867 USD 10,073 Hedging JP Morgan Chase New York 3719/04/2016 EUR 35,897 USD 40,778 Hedging JP Morgan Chase New York 15108/04/2016 USD 113,190 EUR 100,000 Trading Citibank (793)19/04/2016 EUR 33,553 USD 37,550 Hedging JP Morgan Chase New York 70719/04/2016 EUR 2,488 USD 2,779 Hedging JP Morgan Chase New York 5819/04/2016 EUR 303,254 USD 338,734 Hedging JP Morgan Chase New York 7,03608/04/2016 USD 407,922 GBP 288,800 Trading Citibank (7,179)08/04/2016 USD 783,926 EUR 701,660 Trading Citibank (15,845)19/04/2016 EUR 19,973 USD 22,333 Hedging JP Morgan Chase New York 44019/04/2016 EUR 18,804 USD 21,026 Hedging JP Morgan Chase New York 41419/04/2016 EUR 73,476 USD 82,158 Hedging JP Morgan Chase New York 1,61919/04/2016 EUR 163,963 USD 184,191 Hedging JP Morgan Chase New York 2,75919/04/2016 EUR 79,500 USD 89,308 Hedging JP Morgan Chase New York 1,33819/04/2016 EUR 102,762 USD 115,796 Hedging JP Morgan Chase New York 1,37308/04/2016 USD 216,332 EUR 192,200 Trading Citibank (2,743)19/04/2016 EUR 14,986 USD 16,935 Hedging JP Morgan Chase New York 15219/04/2016 EUR 58,710 USD 66,346 Hedging JP Morgan Chase New York 59519/04/2016 EUR 48,739 USD 55,078 Hedging JP Morgan Chase New York 49408/04/2016 USD 157,326 EUR 139,500 Trading Citibank (1,680)19/04/2016 EUR 39,749 USD 45,020 Hedging JP Morgan Chase New York 30219/04/2016 USD 3,909 EUR 3,452 Hedging JP Morgan Chase New York (26)19/04/2016 EUR 64,963 USD 72,007 Hedging JP Morgan Chase New York 2,06419/04/2016 EUR 45,479 USD 50,410 Hedging JP Morgan Chase New York 1,445

USD 312,143

Threadneedle (Lux) - Global Focus 19/04/2016 USD 3,172 EUR 2,834 Hedging JP Morgan Chase New York (60)

19/04/2016 USD 1,772 EUR 1,585 Hedging JP Morgan Chase New York (35)19/04/2016 USD 101 EUR 90 Hedging JP Morgan Chase New York (2)19/04/2016 USD 3,002 EUR 2,657 Hedging JP Morgan Chase New York (27)19/04/2016 USD 9,098 EUR 8,033 Hedging JP Morgan Chase New York (61)19/04/2016 USD 10,139 EUR 9,147 Hedging JP Morgan Chase New York (290)19/04/2016 EUR 100 USD 111 Hedging JP Morgan Chase New York 3



155


PortfolioMaturity

DateCurrency

PurchasedAmount

PurchasedCurrency

SoldAmount




Threadneedle (Lux) - Global Focus (continued) 19/04/2016 EUR 1,934 USD 2,152 Hedging JP Morgan Chase New York 54

19/04/2016 EUR 2,385 USD 2,652 Hedging JP Morgan Chase New York 6819/04/2016 USD 7,310 EUR 6,575 Hedging JP Morgan Chase New York (187)19/04/2016 EUR 355,479 USD 394,825 Hedging JP Morgan Chase New York 10,49119/04/2016 EUR 16,661,716 USD 18,505,917 Hedging JP Morgan Chase New York 491,72119/04/2016 USD 136,410 EUR 120,080 Hedging JP Morgan Chase New York (505)

USD 501,170

Threadneedle (Lux) - Global Emerging Market Equities 19/04/2016 USD 11,439 EUR 10,222 Hedging JP Morgan Chase New York (215)

04/04/2016 ZAR 154,500 USD 9,929 Trading Citibank 56901/04/2016 USD 9,120 ZAR 141,500 Trading Citibank (500)19/04/2016 EUR 5,600 USD 6,226 Hedging JP Morgan Chase New York 15919/04/2016 EUR 41,191 USD 45,751 Hedging JP Morgan Chase New York 1,21619/04/2016 EUR 254,468 USD 282,632 Hedging JP Morgan Chase New York 7,50919/04/2016 EUR 156,947 USD 174,318 Hedging JP Morgan Chase New York 4,632

USD 13,370

Threadneedle (Lux) - Global Smaller Companies 19/04/2016 EUR 6,470 GBP 5,109 Hedging JP Morgan Chase New York 30

19/04/2016 GBP 28,004 EUR 35,753 Hedging JP Morgan Chase New York (450)19/04/2016 GBP 1,128,735 EUR 1,441,055 Hedging JP Morgan Chase New York (18,122)19/04/2016 GBP 77,612 EUR 99,087 Hedging JP Morgan Chase New York (1,246)

EUR (19,788)

Threadneedle (Lux) - American 19/04/2016 EUR 2,379,468 USD 2,642,840 Hedging JP Morgan Chase New York 70,223

19/04/2016 EUR 2,679,187 USD 2,975,733 Hedging JP Morgan Chase New York 79,06819/04/2016 EUR 25,570,923 USD 28,401,241 Hedging JP Morgan Chase New York 754,64819/04/2016 EUR 520 USD 578 Hedging JP Morgan Chase New York 1519/04/2016 USD 543,471 EUR 488,821 Hedging JP Morgan Chase New York (13,873)19/04/2016 EUR 2,687 USD 2,989 Hedging JP Morgan Chase New York 7519/04/2016 USD 18,943 EUR 17,090 Hedging JP Morgan Chase New York (543)19/04/2016 USD 943 EUR 850 Hedging JP Morgan Chase New York (27)19/04/2016 USD 10,799 EUR 9,535 Hedging JP Morgan Chase New York (72)19/04/2016 USD 4,783 EUR 4,233 Hedging JP Morgan Chase New York (43)19/04/2016 EUR 2,435 USD 2,766 Hedging JP Morgan Chase New York 1019/04/2016 USD 319,984 EUR 283,967 Hedging JP Morgan Chase New York (3,792)19/04/2016 EUR 73,606 USD 82,942 Hedging JP Morgan Chase New York 98419/04/2016 USD 182,264 EUR 162,247 Hedging JP Morgan Chase New York (2,729)19/04/2016 EUR 5,387 USD 6,052 Hedging JP Morgan Chase New York 9119/04/2016 EUR 5,033 USD 5,627 Hedging JP Morgan Chase New York 11119/04/2016 USD 23,352 EUR 20,884 Hedging JP Morgan Chase New York (460)19/04/2016 EUR 791 USD 883 Hedging JP Morgan Chase New York 1819/04/2016 EUR 9,912 USD 11,093 Hedging JP Morgan Chase New York 209

USD 883,913



156


PortfolioMaturity

DateCurrency

PurchasedAmount

PurchasedCurrency

SoldAmount




Threadneedle (Lux) - American Select 19/04/2016 EUR 274,903 USD 305,331 Hedging JP Morgan Chase New York 8,113

19/04/2016 EUR 260,424 USD 289,248 Hedging JP Morgan Chase New York 7,68619/04/2016 EUR 336,026 USD 373,221 Hedging JP Morgan Chase New York 9,91619/04/2016 CHF 9,221 USD 9,349 Hedging JP Morgan Chase New York 28819/04/2016 USD 44,789 EUR 40,285 Hedging JP Morgan Chase New York (1,143)19/04/2016 USD 23,381 EUR 20,690 Hedging JP Morgan Chase New York (210)19/04/2016 USD 64,932 EUR 58,070 Hedging JP Morgan Chase New York (1,279)19/04/2016 EUR 282 USD 315 Hedging JP Morgan Chase New York 6

USD 23,377

Threadneedle (Lux) - Asia Contrarian Equity 19/04/2016 EUR 3,615 USD 4,015 Hedging JP Morgan Chase New York 107

19/04/2016 SGD 6,347 USD 4,597 Hedging JP Morgan Chase New York 11619/04/2016 SGD 33,178 USD 24,033 Hedging JP Morgan Chase New York 604

USD 827

Threadneedle (Lux) - Asian Focus 19/04/2016 SGD 314,674 USD 227,938 Hedging JP Morgan Chase New York 5,738

19/04/2016 USD 291 SGD 393 Hedging JP Morgan Chase New York (1)19/04/2016 EUR 3,583 USD 3,979 Hedging JP Morgan Chase New York 10619/04/2016 SGD 6,298 USD 4,562 Hedging JP Morgan Chase New York 11519/04/2016 EUR 3,469 USD 3,853 Hedging JP Morgan Chase New York 102

USD 6,060

Threadneedle (Lux) - Developed Asia Growth and Income 19/04/2016 USD 212,600 AUD 282,565 Hedging JP Morgan Chase New York (4,577)

19/04/2016 AUD 440 USD 331 Hedging JP Morgan Chase New York 719/04/2016 SGD 80,208 USD 58,510 Hedging JP Morgan Chase New York 1,05219/04/2016 USD 9,520 SGD 13,012 Hedging JP Morgan Chase New York (143)19/04/2016 USD 11,594 SGD 15,847 Hedging JP Morgan Chase New York (174)19/04/2016 SGD 49,395 USD 36,628 Hedging JP Morgan Chase New York 5319/04/2016 SGD 24,108,994 USD 17,463,643 Hedging JP Morgan Chase New York 439,60219/04/2016 SGD 1,250,084 USD 905,513 Hedging JP Morgan Chase New York 22,79419/04/2016 SGD 6,311 USD 4,572 Hedging JP Morgan Chase New York 11519/04/2016 EUR 3,594 USD 3,992 Hedging JP Morgan Chase New York 10619/04/2016 AUD 1,897,642 USD 1,415,630 Hedging JP Morgan Chase New York 42,85419/04/2016 AUD 1,426,708 USD 1,064,315 Hedging JP Morgan Chase New York 32,21919/04/2016 USD 36,450 SGD 50,201 Hedging JP Morgan Chase New York (830)19/04/2016 USD 59,845 SGD 82,682 Hedging JP Morgan Chase New York (1,554)19/04/2016 USD 1,816 SGD 2,513 Hedging JP Morgan Chase New York (50)19/04/2016 SGD 10,001 USD 7,359 Hedging JP Morgan Chase New York 6719/04/2016 SGD 2,970 USD 2,181 Hedging JP Morgan Chase New York 2419/04/2016 SGD 6,001 USD 4,407 Hedging JP Morgan Chase New York 4919/04/2016 USD 35,368 AUD 46,430 Hedging JP Morgan Chase New York (317)19/04/2016 USD 12,871 SGD 17,593 Hedging JP Morgan Chase New York (194)

USD 531,103



157


PortfolioMaturity

DateCurrency

PurchasedAmount

PurchasedCurrency

SoldAmount




Threadneedle (Lux) - US Contrarian Core Equities 19/04/2016 EUR 1,071 USD 1,190 Hedging JP Morgan Chase New York 32

19/04/2016 GBP 2,043 USD 2,897 Hedging JP Morgan Chase New York 4019/04/2016 CHF 2,022 USD 2,050 Hedging JP Morgan Chase New York 6319/04/2016 EUR 4,093,485 USD 4,546,573 Hedging JP Morgan Chase New York 120,80719/04/2016 CHF 65,967 USD 66,881 Hedging JP Morgan Chase New York 2,05919/04/2016 EUR 19,395 USD 21,542 Hedging JP Morgan Chase New York 57219/04/2016 SGD 36,686 USD 26,574 Hedging JP Morgan Chase New York 66919/04/2016 EUR 271,096 USD 301,102 Hedging JP Morgan Chase New York 8,00119/04/2016 USD 186,282 EUR 166,451 Hedging JP Morgan Chase New York (3,504)19/04/2016 USD 292,443 EUR 262,924 Hedging JP Morgan Chase New York (7,338)

USD 121,401

Threadneedle (Lux) - Pan European Equities 19/04/2016 EUR 25,582 SGD 39,175 Hedging JP Morgan Chase New York 69

19/04/2016 USD 10,000 EUR 8,874 Hedging JP Morgan Chase New York (104)19/04/2016 SGD 41,230 EUR 26,954 Hedging JP Morgan Chase New York (101)19/04/2016 EUR 18,849 SGD 28,808 Hedging JP Morgan Chase New York 8719/04/2016 EUR 2,257 SGD 3,456 Hedging JP Morgan Chase New York 619/04/2016 EUR 65,319 SGD 99,919 Hedging JP Morgan Chase New York 24319/04/2016 EUR 1,494,410 USD 1,672,448 Hedging JP Morgan Chase New York 27,61819/04/2016 EUR 123,391 SGD 189,073 Hedging JP Morgan Chase New York 25019/04/2016 SGD 25,108,778 EUR 16,375,742 Hedging JP Morgan Chase New York (22,706)19/04/2016 USD 2,135 EUR 1,923 Hedging JP Morgan Chase New York (50)19/04/2016 USD 5,316,210 EUR 4,786,424 Hedging JP Morgan Chase New York (123,889)19/04/2016 EUR 13,342 SGD 20,430 Hedging JP Morgan Chase New York 3619/04/2016 EUR 73,815 SGD 113,434 Hedging JP Morgan Chase New York (63)19/04/2016 EUR 15,893 SGD 24,371 Hedging JP Morgan Chase New York 2119/04/2016 USD 200 EUR 180 Hedging JP Morgan Chase New York (5)19/04/2016 EUR 7,702 SGD 11,788 Hedging JP Morgan Chase New York 2519/04/2016 EUR 4,040 SGD 6,197 Hedging JP Morgan Chase New York 4

EUR (118,559)

Threadneedle (Lux) - Pan European Small Cap Opportunities 19/04/2016 SGD 80,100 EUR 52,124 Hedging JP Morgan Chase New York 45

19/04/2016 SGD 5,846 EUR 3,812 Hedging JP Morgan Chase New York (5)19/04/2016 EUR 29,437 SGD 45,078 Hedging JP Morgan Chase New York 7919/04/2016 SGD 19,751,742 EUR 12,881,927 Hedging JP Morgan Chase New York (17,862)19/04/2016 SGD 5,716 EUR 3,730 Hedging JP Morgan Chase New York (8)19/04/2016 EUR 209,371 SGD 320,276 Hedging JP Morgan Chase New York 78019/04/2016 EUR 27,496 SGD 42,112 Hedging JP Morgan Chase New York 6919/04/2016 SGD 824 EUR 539 Hedging JP Morgan Chase New York (2)19/04/2016 EUR 11,820 SGD 18,081 Hedging JP Morgan Chase New York 4419/04/2016 EUR 3,199 SGD 4,898 Hedging JP Morgan Chase New York 919/04/2016 EUR 27,396 SGD 42,025 Hedging JP Morgan Chase New York 2519/04/2016 SGD 252,349 EUR 164,888 Hedging JP Morgan Chase New York (537)

EUR (17,363)



158


PortfolioMaturity

DateCurrency

PurchasedAmount

PurchasedCurrency

SoldAmount




Threadneedle (Lux) - European Select 19/04/2016 GBP 123,823 EUR 158,085 Hedging JP Morgan Chase New York (1,988)

19/04/2016 EUR 3,689 GBP 2,900 Hedging JP Morgan Chase New York 3319/04/2016 GBP 7,677 EUR 9,786 Hedging JP Morgan Chase New York (108)19/04/2016 EUR 6,248 GBP 4,933 Hedging JP Morgan Chase New York 2919/04/2016 EUR 1,329 GBP 1,050 Hedging JP Morgan Chase New York 619/04/2016 EUR 5,950 GBP 4,715 Hedging JP Morgan Chase New York 619/04/2016 GBP 13,516 EUR 17,106 Hedging JP Morgan Chase New York (67)19/04/2016 GBP 21,364 EUR 27,305 Hedging JP Morgan Chase New York (374)19/04/2016 EUR 9,220 GBP 7,179 Hedging JP Morgan Chase New York 17019/04/2016 GBP 2,251 EUR 2,880 Hedging JP Morgan Chase New York (42)19/04/2016 GBP 1,480 EUR 1,882 Hedging JP Morgan Chase New York (17)19/04/2016 GBP 18,650 EUR 24,031 Hedging JP Morgan Chase New York (520)19/04/2016 USD 1,890,867 EUR 1,702,433 Hedging JP Morgan Chase New York (44,065)19/04/2016 GBP 1,524,754 EUR 1,946,653 Hedging JP Morgan Chase New York (24,480)

EUR (71,417)

Threadneedle (Lux) - Asian Equity Income 19/04/2016 EUR 228,562 USD 253,860 Hedging JP Morgan Chase New York 6,746

19/04/2016 EUR 270,307 USD 300,227 Hedging JP Morgan Chase New York 7,97819/04/2016 GBP 14,656 USD 20,782 Hedging JP Morgan Chase New York 28419/04/2016 EUR 50 USD 56 Hedging JP Morgan Chase New York 119/04/2016 EUR 299 USD 331 Hedging JP Morgan Chase New York 919/04/2016 EUR 15,049 USD 16,905 Hedging JP Morgan Chase New York 25319/04/2016 USD 3,348 EUR 2,994 Hedging JP Morgan Chase New York (66)19/04/2016 EUR 19,982 USD 22,320 Hedging JP Morgan Chase New York 46419/04/2016 EUR 21 USD 24 Hedging JP Morgan Chase New York 019/04/2016 USD 19,170 EUR 16,963 Hedging JP Morgan Chase New York (172)19/04/2016 EUR 498 USD 561 Hedging JP Morgan Chase New York 7

USD 15,504

Threadneedle (Lux) - Greater China Equities 19/04/2016 EUR 300 USD 338 Hedging JP Morgan Chase New York 4

19/04/2016 EUR 1,500 USD 1,699 Hedging JP Morgan Chase New York 1119/04/2016 EUR 277,396 USD 308,099 Hedging JP Morgan Chase New York 8,18719/04/2016 EUR 174,897 USD 194,256 Hedging JP Morgan Chase New York 5,16219/04/2016 EUR 200 USD 224 Hedging JP Morgan Chase New York 419/04/2016 EUR 248 USD 279 Hedging JP Morgan Chase New York 3

USD 13,371

Threadneedle (Lux) - Global Energy Equities 19/04/2016 EUR 198 USD 225 Hedging JP Morgan Chase New York 1

19/04/2016 USD 14,185 EUR 12,675 Hedging JP Morgan Chase New York (267)19/04/2016 EUR 31,500 USD 35,185 Hedging JP Morgan Chase New York 73119/04/2016 USD 4,770 EUR 4,266 Hedging JP Morgan Chase New York (94)19/04/2016 USD 4,365 EUR 3,885 Hedging JP Morgan Chase New York (65)19/04/2016 EUR 10,000 USD 11,234 Hedging JP Morgan Chase New York 16819/04/2016 EUR 1,000 USD 1,127 Hedging JP Morgan Chase New York 1319/04/2016 EUR 2,849 USD 3,220 Hedging JP Morgan Chase New York 29



159


PortfolioMaturity

DateCurrency

PurchasedAmount

PurchasedCurrency

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Threadneedle (Lux) - Global Energy Equities (continued) 19/04/2016 EUR 2,193 USD 2,484 Hedging JP Morgan Chase New York 17

19/04/2016 EUR 14,860 USD 16,831 Hedging JP Morgan Chase New York 11319/04/2016 EUR 16,590 USD 18,389 Hedging JP Morgan Chase New York 52719/04/2016 USD 4,795 EUR 4,326 Hedging JP Morgan Chase New York (137)19/04/2016 EUR 29,434 USD 32,739 Hedging JP Morgan Chase New York 82219/04/2016 EUR 498 USD 554 Hedging JP Morgan Chase New York 1419/04/2016 EUR 541 USD 602 Hedging JP Morgan Chase New York 1519/04/2016 EUR 8,757,105 USD 9,726,384 Hedging JP Morgan Chase New York 258,44019/04/2016 EUR 1,477,747 USD 1,641,311 Hedging JP Morgan Chase New York 43,611

USD 303,938

Threadneedle (Lux) - Global Technology 19/04/2016 USD 5,938 EUR 5,306 Hedging JP Morgan Chase New York (112)

19/04/2016 EUR 24,975 USD 28,056 Hedging JP Morgan Chase New York 42019/04/2016 EUR 212,917 USD 236,483 Hedging JP Morgan Chase New York 6,284

USD 6,592

Threadneedle (Lux) - UK Equities 19/04/2016 GBP 405,286 EUR 520,500 Hedging JP Morgan Chase New York (7,595)

19/04/2016 EUR 93,778 GBP 73,371 Hedging JP Morgan Chase New York 1,01819/04/2016 EUR 5,000 GBP 3,951 Hedging JP Morgan Chase New York 1619/04/2016 EUR 12,845 GBP 10,142 Hedging JP Morgan Chase New York 4719/04/2016 EUR 500 GBP 392 Hedging JP Morgan Chase New York 419/04/2016 GBP 410,439 EUR 522,045 Hedging JP Morgan Chase New York (3,669)19/04/2016 USD 1,004 GBP 708 Hedging JP Morgan Chase New York (10)19/04/2016 EUR 1,021 GBP 800 Hedging JP Morgan Chase New York 1019/04/2016 CHF 1,004 GBP 718 Hedging JP Morgan Chase New York 1219/04/2016 GBP 15,017 EUR 19,126 Hedging JP Morgan Chase New York (155)19/04/2016 GBP 4,235 EUR 5,387 Hedging JP Morgan Chase New York (38)19/04/2016 EUR 6,199,778 GBP 4,856,100 Hedging JP Morgan Chase New York 61,84619/04/2016 EUR 3,028,676 GBP 2,372,271 Hedging JP Morgan Chase New York 30,212

GBP 81,698

Threadneedle (Lux) - American Absolute Alpha 19/04/2016 CHF 246,213 USD 249,627 Hedging JP Morgan Chase New York 7,685

19/04/2016 EUR 17,594,927 USD 19,542,421 Hedging JP Morgan Chase New York 519,26119/04/2016 EUR 623,909 USD 708,754 Hedging JP Morgan Chase New York 2,62519/04/2016 EUR 6,521 USD 7,408 Hedging JP Morgan Chase New York 2719/04/2016 GBP 2,397 USD 3,419 Hedging JP Morgan Chase New York 2619/04/2016 USD 389,641 GBP 273,135 Hedging JP Morgan Chase New York (2,958)19/04/2016 EUR 22,940 USD 25,673 Hedging JP Morgan Chase New York 48319/04/2016 GBP 281,922 USD 398,810 Hedging JP Morgan Chase New York 6,42119/04/2016 EUR 3,307 USD 3,694 Hedging JP Morgan Chase New York 7719/04/2016 USD 2,684,118 EUR 2,402,977 Hedging JP Morgan Chase New York (55,717)19/04/2016 USD 12,660 EUR 11,323 Hedging JP Morgan Chase New York (249)19/04/2016 USD 2,143 EUR 1,916 Hedging JP Morgan Chase New York (42)19/04/2016 GBP 4,211 USD 5,987 Hedging JP Morgan Chase New York 66



160


PortfolioMaturity

DateCurrency

PurchasedAmount

PurchasedCurrency

SoldAmount




Threadneedle (Lux) - American Absolute Alpha (continued) 19/04/2016 USD 144,338 EUR 128,486 Hedging JP Morgan Chase New York (2,161)

19/04/2016 EUR 49,955 USD 56,118 Hedging JP Morgan Chase New York 84119/04/2016 USD 1,640 GBP 1,138 Hedging JP Morgan Chase New York 319/04/2016 USD 65,324 EUR 57,971 Hedging JP Morgan Chase New York (774)19/04/2016 USD 8,079 EUR 7,170 Hedging JP Morgan Chase New York (96)19/04/2016 EUR 6,803 USD 7,688 Hedging JP Morgan Chase New York 6919/04/2016 GBP 1,300 USD 1,884 Hedging JP Morgan Chase New York (15)19/04/2016 USD 29,683 EUR 26,208 Hedging JP Morgan Chase New York (199)19/04/2016 USD 69,899 EUR 63,061 Hedging JP Morgan Chase New York (2,003)19/04/2016 EUR 36,000 USD 39,903 Hedging JP Morgan Chase New York 1,14419/04/2016 EUR 1,251,732 USD 1,387,450 Hedging JP Morgan Chase New York 39,77119/04/2016 USD 91,920 EUR 82,642 Hedging JP Morgan Chase New York (2,306)19/04/2016 GBP 1,315,152 USD 1,863,085 Hedging JP Morgan Chase New York 27,29119/04/2016 EUR 7,571 USD 8,418 Hedging JP Morgan Chase New York 21519/04/2016 USD 87,147 EUR 78,383 Hedging JP Morgan Chase New York (2,225)19/04/2016 USD 15,847 EUR 14,254 Hedging JP Morgan Chase New York (405)19/04/2016 GBP 156,651 USD 222,127 Hedging JP Morgan Chase New York 3,04019/04/2016 GBP 25,684,549 USD 36,419,997 Hedging JP Morgan Chase New York 498,51119/04/2016 EUR 31,968,323 USD 35,506,737 Hedging JP Morgan Chase New York 943,45019/04/2016 EUR 1,742,827 USD 1,935,732 Hedging JP Morgan Chase New York 51,43419/04/2016 GBP 35,529,977 USD 50,380,548 Hedging JP Morgan Chase New York 689,601

USD 2,722,891

Threadneedle (Lux) - Global Opportunities Bond 20/04/2016 NZD 1,428,144 USD 961,245 Trading Citibank 29,250

19/04/2016 USD 126,345 EUR 113,111 Hedging JP Morgan Chase New York (2,623)19/04/2016 EUR 4,993 USD 5,577 Hedging JP Morgan Chase New York 11619/04/2016 USD 22,617 EUR 20,227 Hedging JP Morgan Chase New York (446)19/04/2016 USD 10,155 EUR 9,082 Hedging JP Morgan Chase New York (200)20/04/2016 USD 123,388 NOK 1,048,577 Trading Barclays Capital (3,375)20/04/2016 USD 533,405 MXN 9,389,340 Trading Barclays Capital (13,447)20/04/2016 NZD 175,491 USD 117,329 Trading HSBC 4,38320/04/2016 JPY 3,298,587 USD 29,289 Trading Royal Bank Of Scotland 7920/04/2016 EUR 175,075 USD 195,675 Trading Citibank 3,95120/04/2016 AUD 94,812 USD 71,348 Trading Goldman Sachs 1,51919/04/2016 USD 35,161 EUR 31,300 Hedging JP Morgan Chase New York (526)19/04/2016 USD 37,846 EUR 33,690 Hedging JP Morgan Chase New York (567)20/04/2016 USD 3,211,483 MXN 55,834,530 Trading Barclays Capital (40,341)20/04/2016 USD 3,209,755 MXN 55,782,334 Trading JP Morgan (39,027)20/04/2016 USD 1,605,256 MXN 28,047,029 Trading Citibank (28,229)20/04/2016 USD 1,605,256 MXN 28,026,963 Trading Citibank (27,058)20/04/2016 USD 3,209,737 JPY 358,848,930 Trading Royal Bank Of Scotland 14,87720/04/2016 USD 3,221,203 AUD 4,235,313 Trading Goldman Sachs (33,844)19/04/2016 GBP 52,140 USD 75,095 Hedging JP Morgan Chase New York (150)19/04/2016 USD 31,056 EUR 27,560 Hedging JP Morgan Chase New York (368)20/04/2016 USD 160,232 MXN 2,792,250 Trading HSBC (2,391)19/04/2016 USD 153 EUR 136 Hedging JP Morgan Chase New York (1)



161


PortfolioMaturity

DateCurrency

PurchasedAmount

PurchasedCurrency

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Threadneedle (Lux) - Global Opportunities Bond (continued) 19/04/2016 USD 12,911 EUR 11,425 Hedging JP Morgan Chase New York (116)

19/04/2016 USD 23,181 EUR 20,467 Hedging JP Morgan Chase New York (155)20/04/2016 NOK 13,437,372 USD 1,616,808 Trading Barclays Capital 7,64920/04/2016 JPY 360,790,938 USD 3,233,616 Trading Citibank (21,476)19/04/2016 GBP 395 USD 557 Hedging JP Morgan Chase New York 1119/04/2016 USD 21,456 EUR 19,357 Hedging JP Morgan Chase New York (615)20/04/2016 NOK 27,444,495 USD 3,248,161 Trading Barclays Capital 69,63120/04/2016 MXN 57,487,384 USD 3,248,701 Trading Barclays Capital 99,30720/04/2016 JPY 182,389,744 USD 1,624,350 Trading Goldman Sachs (525)20/04/2016 EUR 4,386,659 USD 4,927,692 Trading Goldman Sachs 74,10719/04/2016 USD 20,817 EUR 18,716 Hedging JP Morgan Chase New York (522)20/04/2016 USD 4,431,798 RON 17,828,174 Trading JP Morgan (115,088)20/04/2016 USD 10,204,687 NZD 15,485,109 Trading Goldman Sachs (535,649)20/04/2016 USD 1,697,537 JPY 191,370,617 Trading JP Morgan (6,241)20/04/2016 USD 2,580,838 HUF 721,214,449 Trading UBS AG Stamford Branch (33,790)20/04/2016 USD 9,465,742 GBP 6,678,818 Trading UBS AG Stamford Branch (134,296)20/04/2016 USD 19,636,981 EUR 17,652,584 Trading Royal Bank of Canada (490,731)20/04/2016 USD 237,282 CHF 233,595 Trading JP Morgan (6,848)20/04/2016 USD 32,668 CAD 43,638 Trading JP Morgan (1,071)20/04/2016 USD 1,006,012 AUD 1,350,868 Trading Citibank (32,216)20/04/2016 NOK 25,071,590 USD 2,925,978 Trading Citibank 104,95220/04/2016 MXN 162,770,161 USD 9,041,280 Trading HSBC 438,29219/04/2016 GBP 1,713 USD 2,454 Hedging JP Morgan Chase New York 819/04/2016 USD 25,149 EUR 22,620 Hedging JP Morgan Chase New York (642)19/04/2016 USD 6,507 GBP 4,542 Hedging JP Morgan Chase New York (22)19/04/2016 USD 10,983 EUR 9,879 Hedging JP Morgan Chase New York (280)19/04/2016 GBP 29,312 USD 41,564 Hedging JP Morgan Chase New York 56919/04/2016 CHF 238,548 USD 241,856 Hedging JP Morgan Chase New York 7,44619/04/2016 EUR 24,482,943 USD 27,192,838 Hedging JP Morgan Chase New York 722,54019/04/2016 EUR 4,947,297 USD 5,494,888 Hedging JP Morgan Chase New York 146,00519/04/2016 GBP 3,730,788 USD 5,290,157 Hedging JP Morgan Chase New York 72,41119/04/2016 EUR 8,736,328 USD 9,703,308 Hedging JP Morgan Chase New York 257,82720/04/2016 USD 2,488,530 COP 7,979,471,232 Trading JP Morgan (168,634)26/05/2016 CNY 5,914,965 USD 902,828 Trading HSBC 10,28306/09/2016 USD 4,081,331 CNY 27,244,928 Trading Citibank (96,377)26/05/2016 USD 2,018,632 CNY 13,353,251 Trading HSBC (42,817)26/05/2016 USD 2,018,418 CNY 13,349,819 Trading Goldman Sachs (42,500)26/05/2016 USD 2,018,418 CNY 13,349,819 Trading Goldman Sachs (42,500)26/05/2016 USD 2,018,074 CNY 13,343,502 Trading Goldman Sachs (41,869)19/04/2016 USD 56,770 EUR 49,974 Hedging JP Morgan Chase New York (210)20/04/2016 NZD 2,316,706 USD 1,593,839 Trading Citibank 12,92220/04/2016 NOK 31,781,353 USD 3,809,268 Trading Barclays Capital 32,81220/04/2016 EUR 1,123,419 USD 1,271,617 Trading Citibank 9,33920/04/2016 EUR 5,619,064 USD 6,368,480 Trading Citibank 38,54620/04/2016 AUD 4,161,828 USD 3,182,275 Trading HSBC 16,26419/04/2016 USD 10,139 EUR 9,060 Hedging JP Morgan Chase New York (191)26/05/2016 CNY 9,769,930 USD 1,490,000 Trading Royal Bank Of Scotland 18,213

USD 185,335



162


PortfolioMaturity

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PurchasedAmount

PurchasedCurrency

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Threadneedle (Lux) - Enhanced Commodities 19/04/2016 EUR 17,714 USD 19,824 Hedging JP Morgan Chase New York 373

19/04/2016 GBP 30 USD 43 Hedging JP Morgan Chase New York 119/04/2016 USD 6,726 EUR 6,021 Hedging JP Morgan Chase New York (140)19/04/2016 USD 17,005 CHF 16,562 Hedging JP Morgan Chase New York (303)19/04/2016 USD 30,930 EUR 27,627 Hedging JP Morgan Chase New York (571)19/04/2016 USD 1,940,115 SEK 16,076,687 Hedging JP Morgan Chase New York (44,313)19/04/2016 USD 238,100 GBP 167,372 Hedging JP Morgan Chase New York (2,478)19/04/2016 USD 15,662 SGD 21,450 Hedging JP Morgan Chase New York (267)19/04/2016 USD 43,649 GBP 30,683 Hedging JP Morgan Chase New York (454)19/04/2016 USD 1,708,899 GBP 1,201,269 Hedging JP Morgan Chase New York (17,783)19/04/2016 USD 5,687 CHF 5,539 Hedging JP Morgan Chase New York (101)19/04/2016 USD 292,219 EUR 261,020 Hedging JP Morgan Chase New York (5,392)19/04/2016 USD 56,704 EUR 50,650 Hedging JP Morgan Chase New York (1,046)19/04/2016 USD 36,385 GBP 25,577 Hedging JP Morgan Chase New York (379)19/04/2016 USD 15,810 CHF 15,398 Hedging JP Morgan Chase New York (282)19/04/2016 USD 115,556 EUR 103,219 Hedging JP Morgan Chase New York (2,132)19/04/2016 GBP 13,158 USD 18,568 Hedging JP Morgan Chase New York 34519/04/2016 USD 5,023 GBP 3,559 Hedging JP Morgan Chase New York (93)19/04/2016 EUR 215,502 USD 240,965 Hedging JP Morgan Chase New York 4,74919/04/2016 USD 4,903 EUR 4,385 Hedging JP Morgan Chase New York (97)19/04/2016 USD 187,687 EUR 167,854 Hedging JP Morgan Chase New York (3,697)19/04/2016 GBP 7,691 USD 10,935 Hedging JP Morgan Chase New York 12019/04/2016 SGD 10,451 USD 7,675 Hedging JP Morgan Chase New York 8619/04/2016 USD 1,375 GBP 967 Hedging JP Morgan Chase New York (15)19/04/2016 EUR 96,988 USD 108,954 Hedging JP Morgan Chase New York 1,63219/04/2016 USD 40,754 EUR 36,167 Hedging JP Morgan Chase New York (483)19/04/2016 GBP 3 USD 5 Hedging JP Morgan Chase New York 019/04/2016 USD 7,613 SGD 10,346 Hedging JP Morgan Chase New York (70)19/04/2016 USD 30,650 GBP 21,281 Hedging JP Morgan Chase New York 6119/04/2016 EUR 3,000 USD 3,381 Hedging JP Morgan Chase New York 4019/04/2016 USD 720 GBP 500 Hedging JP Morgan Chase New York 119/04/2016 USD 49,757 GBP 34,284 Hedging JP Morgan Chase New York 47719/04/2016 USD 4,643 GBP 3,199 Hedging JP Morgan Chase New York 4419/04/2016 EUR 490 USD 554 Hedging JP Morgan Chase New York 519/04/2016 USD 29,864 EUR 26,368 Hedging JP Morgan Chase New York (200)19/04/2016 USD 1,808 GBP 1,247 Hedging JP Morgan Chase New York 1519/04/2016 USD 7,742 SGD 10,463 Hedging JP Morgan Chase New York (27)19/04/2016 USD 81,130 GBP 55,989 Hedging JP Morgan Chase New York 65319/04/2016 EUR 6,887 USD 7,800 Hedging JP Morgan Chase New York 5219/04/2016 EUR 1,500 USD 1,699 Hedging JP Morgan Chase New York 1119/04/2016 EUR 135,081 USD 152,993 Hedging JP Morgan Chase New York 1,02619/04/2016 CHF 15,358 USD 15,877 Hedging JP Morgan Chase New York 17319/04/2016 EUR 26,950 USD 30,426 Hedging JP Morgan Chase New York 30319/04/2016 SEK 14,948,124 USD 1,822,778 Hedging JP Morgan Chase New York 22,37419/04/2016 GBP 157,773 USD 228,005 Hedging JP Morgan Chase New York (1,225)19/04/2016 SGD 20,300 USD 14,954 Hedging JP Morgan Chase New York 12119/04/2016 GBP 29,213 USD 42,216 Hedging JP Morgan Chase New York (227)



163


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SoldAmount




Threadneedle (Lux) - Enhanced Commodities (continued) 19/04/2016 GBP 1,129,797 USD 1,632,725 Hedging JP Morgan Chase New York (8,775)

19/04/2016 CHF 5,126 USD 5,300 Hedging JP Morgan Chase New York 5819/04/2016 EUR 243,996 USD 275,459 Hedging JP Morgan Chase New York 2,74519/04/2016 CHF 4,368 USD 4,480 Hedging JP Morgan Chase New York 8519/04/2016 USD 470 GBP 330 Hedging JP Morgan Chase New York (4)19/04/2016 EUR 6,442 USD 7,209 Hedging JP Morgan Chase New York 13619/04/2016 EUR 4,288,312 USD 4,762,964 Hedging JP Morgan Chase New York 126,55719/04/2016 USD 212 GBP 149 Hedging JP Morgan Chase New York (2)19/04/2016 USD 1,164 GBP 816 Hedging JP Morgan Chase New York (9)19/04/2016 USD 18,770 GBP 12,991 Hedging JP Morgan Chase New York 9719/04/2016 USD 3,137 GBP 2,171 Hedging JP Morgan Chase New York 1619/04/2016 CHF 666,708 USD 675,953 Hedging JP Morgan Chase New York 20,81119/04/2016 GBP 1,126,116 USD 1,596,802 Hedging JP Morgan Chase New York 21,85719/04/2016 EUR 2,182,452 USD 2,424,017 Hedging JP Morgan Chase New York 64,40919/04/2016 EUR 13,434,660 USD 14,921,675 Hedging JP Morgan Chase New York 396,48419/04/2016 CHF 241,509 USD 244,858 Hedging JP Morgan Chase New York 7,53919/04/2016 GBP 53,639,455 USD 76,059,297 Hedging JP Morgan Chase New York 1,041,08719/04/2016 GBP 1,373,259 USD 1,947,244 Hedging JP Morgan Chase New York 26,65419/04/2016 SGD 951,860 USD 689,491 Hedging JP Morgan Chase New York 17,35619/04/2016 GBP 7,441,859 USD 10,552,356 Hedging JP Morgan Chase New York 144,43919/04/2016 SEK 697,508,715 USD 83,717,252 Hedging JP Morgan Chase New York 2,381,12919/04/2016 EUR 1,300,494 USD 1,444,439 Hedging JP Morgan Chase New York 38,38019/04/2016 CHF 723,094 USD 733,121 Hedging JP Morgan Chase New York 22,57119/04/2016 EUR 345 USD 384 Hedging JP Morgan Chase New York 1019/04/2016 EUR 9,985 USD 11,101 Hedging JP Morgan Chase New York 28419/04/2016 GBP 6,982 USD 10,003 Hedging JP Morgan Chase New York 3419/04/2016 GBP 450 USD 645 Hedging JP Morgan Chase New York 219/04/2016 EUR 452 USD 503 Hedging JP Morgan Chase New York 1319/04/2016 USD 26,429 EUR 23,761 Hedging JP Morgan Chase New York (663)19/04/2016 USD 19,251 GBP 13,590 Hedging JP Morgan Chase New York (282)19/04/2016 SGD 434 USD 314 Hedging JP Morgan Chase New York 819/04/2016 USD 1,031 GBP 728 Hedging JP Morgan Chase New York (15)19/04/2016 EUR 250 USD 277 Hedging JP Morgan Chase New York 819/04/2016 USD 2,229,575 EUR 2,011,482 Hedging JP Morgan Chase New York (63,875)19/04/2016 USD 424,257 GBP 300,944 Hedging JP Morgan Chase New York (8,315)19/04/2016 USD 154 SGD 214 Hedging JP Morgan Chase New York (4)19/04/2016 GBP 4,101 USD 5,782 Hedging JP Morgan Chase New York 11319/04/2016 USD 38,525 EUR 34,756 Hedging JP Morgan Chase New York (1,104)19/04/2016 EUR 90,913 USD 102,636 Hedging JP Morgan Chase New York 1,02319/04/2016 CHF 14,106 USD 14,583 Hedging JP Morgan Chase New York 15919/04/2016 GBP 23,770 USD 34,352 Hedging JP Morgan Chase New York (185)19/04/2016 EUR 46,386 USD 52,367 Hedging JP Morgan Chase New York 52219/04/2016 EUR 500 USD 563 Hedging JP Morgan Chase New York 7

USD 4,182,247

*See note 1.**Fractional amount rounded to 0.



164


10 NET UNREALISED GAIN/(LOSS) ON SWAPS

As at March 31, 2016, Threadneedle (Lux) - Global Strategic Bond had the following Credit Default Swaps contracts outstanding:

Description Counterparty Underlying/Issuer Buy/Sell CurrencyNotional

amountMaturity

Date Market value

USD% of Net

Assets

CDS Barclays Markit CDX.NA.HY.24 Index Buy USD 3,300,000 20/06/2020 (17,963) (0.08)CDS HSBC Japan (Govt of) 20/12/2016 Buy USD 1,000,000 20/12/2016 (6,863) (0.03)

USD (24,826) (0.11)

As at March 31, 2016, Threadneedle (Lux) - Global Corporate Bond had the following Credit Default Swaps contracts outstanding:


amountMaturity

Date Market value

USD% of Net

Assets

CDS Goldman Sachs Markit CDX.NA.HY.25 Index Buy USD 1,000,000 20/12/2020 (4,917) (0.03)CDS JPMorgan ITRAXX Europe Crossover

Series 24Buy EUR 750,000 20/06/2021 (4,622) (0.02)

CDS Goldman Sachs Tesco plc 20/06/2021 Buy EUR 200,000 20/06/2021 19,618 0.10CDS Citigroup Global

MarketsPostNL NV 20/12/2020 Buy EUR 80,000 20/12/2020 (2,054) (0.01)

CDS Barclays PostNL NV 20/12/2020 Buy EUR 50,000 20/12/2020 (1,284) (0.01)CDS Goldman Sachs PostNL NV 20/12/2020 Buy EUR 58,000 20/12/2020 (1,489) (0.01)CDS Citigroup Global

MarketsITRAXX Europe Crossover Series 21

Buy EUR 225,000 20/12/2020 (18,831) (0.10)

CDS Citigroup Global Markets

ITRAXX Europe Crossover Series 21

Buy EUR 400,000 20/12/2020 (33,479) (0.17)


Pearson plc 20/09/2020 Buy EUR 225,000 20/09/2020 (1,515) (0.01)

CDS Barclays ITRAXX Europe Crossover Series 24

Buy EUR 600,000 20/12/2020 (8,499) (0.04)

CDS JPMorgan Banco Commercial Portugues SA 20/12/2019

Buy EUR 100,000 20/12/2019 15,948 0.09

USD (41,124) (0.21)

As at March 31, 2016, Threadneedle (Lux) - American Absolute Alpha had the following Total Return Swaps contract outstanding:

Description Counterparty Underlying/Issuer Pay/Receive CurrencyNotional

amount

Unrealised (loss)


% of Net Assets

TRS Bank of America Merrill Lynch

North America Equity Basket

Receive performance of the underlying basket of 10 equities and pay US-1M-LIBOR + 0.30%.Pay performance of the underlying basket of 35 equities and receive US-1M-LIBOR.

USD 33,989,530 (131,080) (0.08)

USD (131,080) (0.08)


165


As at March 31, 2016, Threadneedle (Lux) -Global Opportunities Bond had the following Credit Default Swaps contracts outstanding:


amountMaturity

Date Market value

USD% of Net

Assets

CDS HSBC ITRAXX Europe Crossover Series 24

Buy EUR 2,100,000 20/06/2021 (12,943) (0.02)


PostNL NV 20/12/2020 Buy EUR 220,000 20/09/2020 (5,650) (0.01)

CDS Barclays PostNL NV 20/12/2020 Buy EUR 140,000 20/12/2020 (3,595) (0.01)CDS Goldman Sachs PostNL NV 20/12/2020 Buy EUR 147,000 20/09/2020 (3,775) (0.01)CDS Citigroup Global

MarketsPearson plc 20/09/2020 Buy EUR 900,000 20/09/2020 (6,061) (0.01)


Tesco plc 20/06/2020 Buy EUR 675,000 20/06/2020 42,055 0.07

CDS Barclays RWE AG 20/03/2020 Buy EUR 1,490,000 20/03/2020 17,499 0.03CDS JPMorgan United Utilities plc

20/03/2020Buy EUR 920,000 20/03/2020 (15,772) (0.02)

CDS JPMorgan Gaz Natural Capital 20/03/2020

Buy EUR 1,300,000 20/03/2020 (12,435) (0.02)

CDS JPMorgan Monte Dei Paschi 20/12/2019 Buy EUR 40,000 20/09/2019 10,463 0.02CDS JPMorgan Monte Dei Paschi 20/12/2019 Buy EUR 80,000 20/09/2019 20,926 0.03CDS JPMorgan Monte Dei Paschi 20/12/2019 Buy EUR 80,000 20/09/2019 20,926 0.03CDS Barclays Monte Dei Paschi 20/12/2019 Buy EUR 190,000 20/12/2019 49,700 0.08CDS Goldman Sachs Banco Commercial

Portugues SA 20/09/2019Buy EUR 790,000 20/09/2019 (2,147) (0.00)

CDS HSBC UBS AG 20/03/2019 Buy EUR 1,125,000 20/03/2019 (83,106) (0.13)CDS Citigroup Global

MarketsCredit Agricole SA 20/12/2018

Buy EUR 900,000 20/12/2018 (114,112) (0.18)

CDS Barclays Markit CDX.NA.HY.25 Index Sell USD 17,900,000 20/12/2020 88,006 0.14CDS Goldman Sachs Westpac banking Corp.

20/03/2020Buy USD 1,700,000 20/03/2020 (5,779) (0.01)

USD (15,800) (0.02)

As at March 31, 2016, Threadneedle (Lux) - Enhanced Commodities had the following Total Return Swaps contracts outstanding:


amount



% of Net Assets

TRS Citigroup Global Markets

North America Commodities Basket

Receive BCOM BBG COMDTY BCOM index and pay 0.45%

USD 14,865,839 (144,307) (0.05)

TRS Credit Suisse North America Commodities Basket

Receive performance of the underlying basket of 13 indexes and pay 0.25%.Pay performance of the underlying basket of 5 indexes and receive 0.25%

USD 223,383,898 (704,115) (0.23)

TRS Goldman Sachs North America Commodities Basket

Receive performance of the underlying basket of 2 indexes and pay 0.11%.

USD 45,076,969 (581,600) (0.19)

10 NET UNREALISED GAIN/(LOSS) ON SWAPS (continued)


166



amount



% of Net Assets

TRS JPMorgan North America Commodities Basket

Receive performance of the underlying index basket of 8 securities and pay 0.25%.Pay performance of the underlying basket of 8 indexes and receive 0.25%.

USD 641,737,557 444,342 0.15

TRS Macquarie North America Commodities Basket

Receive performance of the underlying index basket of 3 securities and pay 0.17%.Pay performance of the underlying basket of 3 indexes and receive 0.17%.

USD 170,752,959 (957,031) (0.32)

USD (1,942,711) (0.64)

11 NET UNREALISED GAIN/(LOSS) ON FUTURES

As at March 31, 2016, the counterparty to Futures contracts outstanding is UBS.

As at March 31, 2016, Threadneedle (Lux) - Global Strategic Bond had the following Futures contracts outstanding:

Description StatusNumber of Contracts Currency

Notional Commitments in

the portfolio base currency

Maturity Date



% of Net Assets

Euro Bund Future Purchases 6 EUR 1,116,668 08/06/2016 1,501 0.0110 Year Australian index

Purchases 9 AUD 906,627 15/06/2016 6,065 0.03

3 Year Australian index

Purchases 47 AUD 4,048,006 15/06/2016 2,809 0.01

US Ultra Bond Sales (9) USD (1,552,781) 21/06/2016 (3,344) (0.02)10 Year US Treasury Note Futures

Sales (18) USD (2,347,031) 21/06/2016 (28,969) (0.13)

Long Gilt Futures Sales (2) GBP (348,459) 28/06/2016 (4,278) (0.02)5 Year US Treasury Note Futures

Sales (7) USD (848,148) 30/06/2016 (4,484) (0.02)

90 Day Eurodollar Future

Sales (66) USD (16,329,226) 18/12/2017 7,575 0.03

USD (23,125) (0.11)

10 NET UNREALISED GAIN/(LOSS) ON SWAPS (continued)


167


11 NET UNREALISED GAIN/(LOSS) ON FUTURES (continued)

As at March 31, 2016, Threadneedle (Lux) - Global Corporate Bond had the following Futures contracts outstanding:




Maturity Date



% of Net Assets

Euro Bund Future Sales (4) EUR (744,445) 08/06/2016 (2,404) (0.01)5 Year Euro-Bobl Futures

Sales (8) EUR (1,195,160) 08/06/2016 1,755 0.01


Purchases 2 AUD 201,473 15/06/2016 1,387 0.01

US Ultra Bond Sales (4) USD (690,125) 21/06/2016 5,468 0.0210 Year US Treasury Note Futures

Sales (18) USD (2,347,032) 21/06/2016 (12,556) (0.07)

20 Year US Long Bond

Purchases 6 USD 986,625 21/06/2016 (4,875) (0.03)

10 Year Government of Canada Bond Futures (MSE)

Purchases 1 CAD 109,073 21/06/2016 (634) 0.00

Long Gilt Futures Sales (3) GBP (522,689) 28/06/2016 (2,400) (0.01)5 Year US Treasury Note Futures

Purchases 18 USD 2,180,953 30/06/2016 1,188 0.01

USD (13,071) (0.07)

As at March 31, 2016, Threadneedle (Lux) - European Strategic Bond* had the following Futures contracts outstanding:




Maturity Date



% of Net Assets

Euro-Schatz Futures

Sales (121) EUR (13,525,985) 08/06/2016 21,175 0.03

5 Year Euro-Bobl Futures

Sales (28) EUR (3,670,800) 08/06/2016 3,440 0.01

Euro-BTP Futures Purchases 16 EUR 2,249,920 08/06/2016 33,280 0.05Euro Bund Future Sales (46) EUR (7,512,720) 08/06/2016 (30,840) (0.05)Euro Buxl Futures Purchases 6 EUR 1,011,240 08/06/2016 27,480 0.04

EUR 54,535 0.08

As at March 31, 2016, Threadneedle (Lux) - Global Emerging Market Short-Term Bonds had the following Futures contracts outstanding:




Maturity Date

Unrealisedgain


% of Net Assets

10 Year US Treasury Note Futures

Sales (96) USD (12,517,500) 21/06/2016 12,102 0.01


Purchases 151 USD 18,295,774 30/06/2016 3,539 0.01

USD 15,641 0.02


168


As at March 31, 2016, Threadneedle (Lux) - Flexible Asian Bond had the following Futures contract outstanding:




Maturity Date

Unrealisedgain


% of Net Assets


Sales (2) USD (242,328) 30/06/2016 47 0.00

USD 47 0.00

As at March 31, 2016, Threadneedle (Lux) - Global Asset Allocation had the following Futures contracts outstanding:




Maturity Date



% of Net Assets

CNX Nifty Index Future

Purchases 55 USD 856,625 28/04/2016 11,715 0.01

Topix Index Future Purchases 41 JPY 4,915,475 09/06/2016 83,901 0.10E-mini S&P 500 Future (CME)

Sales (223) USD (22,874,225) 17/06/2016 (505,653) (0.60)

USD (410,037) (0.49)

As at March 31, 2016, Threadneedle (Lux) - American Absolute Alpha had the following Futures contract outstanding:




Maturity Date

Unrealised(loss)


% of Net Assets

E-mini S&P 500 Future (CME)

Sales (244) USD (25,028,299) 17/06/2016 (760,041) (0.45)

USD (760,041) (0.45)

As at March 31, 2016, Threadneedle (Lux) - Global Opportunities Bond had the following Futures contracts outstanding:




Maturity Date



% of Net Assets

Euro Bund Future Sales (22) EUR (4,094,449) 08/06/2016 (17,957) (0.03)5 Year Euro-Bobl Futures

Sales (67) EUR (10,009,465) 08/06/2016 12,227 0.02


Purchases 142 AUD 12,230,146 15/06/2016 8,487 0.01


Purchases 26 AUD 2,619,144 15/06/2016 17,522 0.03

US Ultra Bond Sales (20) USD (3,450,625) 21/06/2016 (19,563) (0.03)20 Year US Long Bond

Purchases 1 USD 164,438 21/06/2016 656 0.00


Sales (198) USD (25,817,344) 21/06/2016 (183,609) (0.28)

Long Gilt Futures Sales (15) GBP (2,613,443) 28/06/2016 (32,088) (0.05)5 Year US Treasury Note Futures

Sales (68) USD (8,239,156) 30/06/2016 (43,562) (0.07)



169





Maturity Date



% of Net Assets

90 Day Eurodollar Future

Sales (191) USD (47,255,788) 18/12/2017 35,081 0.05

USD (222,806) (0.35)

*See note 1.

12 OPTIONS AT MARKET VALUE

As at March 31, 2016, Threadneedle (Lux) - Global Multi Asset Income had the following Options outstanding:

Description Counterparty Strike Currency ContractsMaturity

Date

Commitment in the portfolio base currency

Market value in the portfolio base currency

% of Net Assets

Options on FuturesCall S&P 500 Index UBS AG 2,065.000 USD (33) 14/04/2016 6,814,500* (51,810) (0.11)Call DJ Euro Stoxx 50 UBS AG 3,100.000 EUR (54) 15/04/2016 1,907,607* (7,200) (0.02)Call FTSE 100 Index UBS AG 6,300.000 GBP (17) 15/04/2016 1,539,348* (3,054) (0.01)

USD (62,064) (0.14)

*The commitment on short call positions is unlimited.

13 POOLING

The SICAV may invest and manage all or any part of the assets established for two or more Portfolios (“Participating Portfolios”) on a pooled basis. Any such asset pool shall be formed by transferring to it cash or other assets (subject to such assets being appropriate in respect of the investment policy of the pool concerned) from each of the Participating Portfolios.

The share of a Participating Portfolio in an asset pool shall be measured by reference to notional units of equal value in the asset pool.

As at March 31, 2016, the SICAV used the following pools of assets:

Pool Participating Portfolios

World Equity Pool 100% held by Threadneedle (Lux) - Global Asset AllocationGlobal Bonds US Pool 100% held by Threadneedle (Lux) - Global Asset Allocation

14 CHANGES IN PORTFOLIO STATEMENTS COMPOSITION

Changes in the Portfolio Statements are available to Shareholders upon request and free of charge at the registered office of the SICAV.

15 DILUTION ADJUSTMENT

A Portfolio may suffer dilution of the Net Asset Value per Share due to investors buying or selling Shares in a Portfolio at a price that does not reflect the dealing and other costs that arise when security trades are undertaken by the Investment Manager to accommodate cash inflows or outflows. In order to counter this impact, a Dilution Adjustment (as such term is defined in the Prospectus) may be adopted to protect the interests of Shareholders of the SICAV. If on any Valuation Day, the aggregate net transactions in Shares of a Portfolio exceed a pre-determined threshold, as determined and reviewed for each Portfolio on a periodic basis by the Management Company, the Net Asset Value per Share may be adjusted upwards or downwards to reflect net inflows and net outflows respectively.

A Dilution Adjustment may be applied across all Portfolios with the exception of the Threadneedle (Lux) - Mondrian Investment Partners - Focused Emerging Markets Equity Portfolio and the Threadneedle (Lux) - Enhanced Commodities Portfolio. The extent of the price adjustment will be set by the Management Company to reflect dealing and other costs. Such adjustment may vary from Portfolio to Portfolio and will not exceed 2% of the original Net Asset Value per Share, except for the Threadneedle (Lux) - STANLIB Africa Equity Portfolio. With effect from October 1, 2015, the dilution adjustment for Threadneedle (Lux) - STANLIB Africa Equity will not exceed 5% of the original Net Asset Value per Share. The official Net Asset Value per share as at year end, disclosed in the Statistical Information section of this report may therefore include a Dilution Adjustment, which would not be recognised in the Statement of Net Assets and in the Statement of Operations and Changes in Net Assets.



170


As at year end, a Dilution Adjustment had been applied to the following Portfolios as follows:

Portfolio NAV before Dilution Dilution Adjustment NAV after DilutionThreadneedle (Lux) - Emerging Market Debt 109,517,844 (438,071) 109,079,773 Threadneedle (Lux) - Global Multi Asset Income 43,338,714 151,740 43,490,454 Threadneedle (Lux) - Pan European Small Cap Opportunities 301,865,609 1,358,395 303,224,004

16 TRANSACTION COSTS

For the reporting year, the SICAV incurred transaction costs relating to purchase or sale of transferable securities or money market instruments as follows:

Threadneedle (Lux) - Global Strategic Bond1 USD N/A Threadneedle (Lux) - Global Corporate Bond1 USD N/A Threadneedle (Lux) - European Strategic Bond1, 2 EUR N/A Threadneedle (Lux) - Emerging Market Corporate Bonds1 USD N/A Threadneedle (Lux) - Emerging Market Debt1 USD N/A Threadneedle (Lux) - Global Emerging Market Short-Term Bonds1 USD N/A Threadneedle (Lux) - US$ High Income Bonds1 USD N/A Threadneedle (Lux) - Flexible Asian Bond1 USD N/A Threadneedle (Lux) - Global Asset Allocation1 USD 111,083 Threadneedle (Lux) - Global Multi Asset Income1 USD 36,792 Threadneedle (Lux) - Global Focus USD 110,953 Threadneedle (Lux) - Global Emerging Market Equities USD 274,357 Threadneedle (Lux) - Global Smaller Companies EUR 4,882 Threadneedle (Lux) - American USD 477,159 Threadneedle (Lux) - American Select USD 11,858 Threadneedle (Lux) - Asia Contrarian Equity USD 368,281 Threadneedle (Lux) - Asian Focus USD 591,980 Threadneedle (Lux) - Developed Asia Growth and Income USD 627,230 Threadneedle (Lux) - US Contrarian Core Equities USD 353,517 Threadneedle (Lux) - Pan European Equities EUR 476,944 Threadneedle (Lux) - Pan European Small Cap Opportunities EUR 829,210 Threadneedle (Lux) - European Select EUR 15,158 Threadneedle (Lux) - Asian Equity Income USD 743,324 Threadneedle (Lux) - Greater China Equities USD 15,878 Threadneedle (Lux) - Global Energy Equities USD 34,880 Threadneedle (Lux) - Global Technology USD 42,498 Threadneedle (Lux) - Global Equities - Walter Scott & Partners EUR 51,022 Threadneedle (Lux) - Mondrian Investment Partners - Focused Emerging Markets Equity USD 808,850 Threadneedle (Lux) - UK Equities GBP 152,734 Threadneedle (Lux) - STANLIB Africa Equity USD 141,749 Threadneedle (Lux) - STANLIB Global Emerging Markets Property Securities USD 93,701 Threadneedle (Lux) - American Absolute Alpha USD 160,837 Threadneedle (Lux) - Global Opportunities Bond1 USD N/A Threadneedle (Lux) - Enhanced Commodities1 USD N/A

Transaction costs are included in the total cost of investment disclosed in the Portfolio Statements. The amount of transaction costs supported by the SICAV during the reporting period is included in the Statement of Operations and Changes in Net Assets under the heading ‘‘Net realised gain/(loss) onsales of investments’’ and ‘‘Change in net unrealised gain/(loss) on investments’’.1For fixed income securities, transaction costs are not separately identifiable from the purchase price of the security and therefore cannot be disclosed separately.2See note 1.

17 CASH COLLATERAL INFORMATION

The table below provides the cash collateral balances due from and due to brokers as at March 31, 2016:

Portfolios Counterparty Investment Type CurrencyCash

Collateral

Due from brokersThreadneedle (Lux) - European Strategic Bond* Citibank NA Forwards EUR 40,000**Threadneedle (Lux) - Emerging Market Corporate Bonds JPM Chase Forwards USD 350,000Threadneedle (Lux) - Emerging Market Debt JPM Chase Forwards USD 440,000Threadneedle (Lux) - Global Emerging Market Short-Term Bonds JPM Chase Forwards USD 450,000Threadneedle (Lux) - US$ High Income Bonds JPM Chase Forwards USD 200,000

15 DILUTION ADJUSTMENT (continued)


171


Portfolios Counterparty Investment Type CurrencyCash

Collateral

Threadneedle (Lux) - Global Asset Allocation JPM Chase Forwards USD 270,000Threadneedle (Lux) - Global Multi Asset Income JPM Chase Forwards USD 370,000Threadneedle (Lux) - Global Focus JPM Chase Forwards USD 339,925Threadneedle (Lux) - American JPM Chase Forwards USD 430,000Threadneedle (Lux) - Developed Asia Growth and Income JPM Chase Forwards USD 340,000Threadneedle (Lux) - American Absolute Alpha JPM Chase Forwards USD 1,110,000Threadneedle (Lux) - Global Opportunities Bond Barclays Bank Forwards and swaps USD 220,000Threadneedle (Lux) - Global Opportunities Bond JPM Chase Forwards and swaps USD 510,000Threadneedle (Lux) - Enhanced Commodities JPM Chase Forwards USD 1,810,000Due to brokersThreadneedle (Lux) - Global Strategic Bond Goldman Sachs Forwards USD 120,000Threadneedle (Lux) - Global Asset Allocation Citibank NA Forwards USD 450,000Threadneedle (Lux) - Global Asset Allocation RBS Forwards USD 110,000Threadneedle (Lux) - Global Multi Asset Income RBS Forwards USD 160,000Threadneedle (Lux) - Global Opportunities Bond Citi Global Mkts Swaps USD 80,000Threadneedle (Lux) - Global Opportunities Bond Citibank NA Forwards USD 20,000Threadneedle (Lux) - Global Opportunities Bond Goldman Sachs Forwards and swaps USD 390,000Threadneedle (Lux) - Global Opportunities Bond HSBC Bank Forwards and swaps USD 100,000Threadneedle (Lux) - Enhanced Commodities Goldman Sachs Swaps USD 320,000Threadneedle (Lux) - Enhanced Commodities Macquarie Swaps USD 430,000

*See note 1. **Remaining cash collateral for settled derivatives transactions.

18 CROSS INVESTMENT IN PORTFOLIOS

As at March 31, 2016, the Threadneedle (Lux) - Global Strategic Bond Portfolio and the Threadneedle (Lux) - Global Opportunities Bond Portfolio invest in shares of the Threadneedle (Lux) - US$ High Income Bonds Portfolio and the Threadneedle (Lux) - Global Asset Allocation Portfolio invests in shares of the Threadneedle (Lux) - Enhanced Commodities Portfolio.

The value of the shares held by the Threadneedle (Lux) - Global Strategic Bond Portfolio amounts to USD 1,669,650 and represents 1.11% of the net assets of the Threadneedle (Lux) - US$ High Income Bonds Portfolio.

The value of the shares held by the Threadneedle (Lux) - Global Asset Allocation Portfolio amounts to USD 3,442,843 and represents 1.14% of the net assets of the Threadneedle (Lux) - Enhanced Commodities Portfolio.

The value of the shares held by the Threadneedle (Lux) - Global Opportunities Bond portfolio amounts to USD 1,276,619 and represents 0.85% of the net assets of the Threadneedle (Lux) - US$ High Income Bonds Portfolio.

The impact of the cross investment transactions has been eliminated from the combined Statement of Net Assets and the Statement of Changes in Net Assets.

17 CASH COLLATERAL INFORMATION (continued)


172


19 TOTAL EXPENSE RATIO (TER)

The Total Expense Ratio is calculated following the Swiss Funds & Asset Management Association (SFAMA) guideline.

The formula applied is the following:

The TER expresses the sum of all costs and commissions charged on an ongoing basis to each class of shares (Operating Expenses) taken retrospectively as a percentage of their net assets, and is calculated using the following formula:

TER % =Total Operating Expenses

x 100Average net assets

The Total Expense Ratios for the year ended March 31, 2016 are as follows:

Portfolio Class TER

Threadneedle (Lux) - Global Strategic Bond AEH 1.30%AU 1.30%DEC 1.65%DEH 1.65%DU 1.65%W 1.05%

Threadneedle (Lux) - Global Corporate Bond AEC 1.30%AEH 1.30%AKH 1.30%AU 1.30%AUP 1.30%DEH 1.65%IEH 0.70%IGH 0.70%IKH 0.70%IU 0.70%ZGH 0.90%ZU 0.90%

Threadneedle (Lux) - European Strategic Bond1 AE 1.20%AEP 1.20%DE 1.75%DEP 1.75%IE 0.70%W 1.15%

Threadneedle (Lux) - Emerging Market Corporate Bonds AEC 1.80%AEH 1.80%ASH 1.80%AU 1.80%AUP 1.80%DEC 2.30%DEH 2.30%DU 2.30%IEH 1.00%P 1.30%W 1.30%WEH 1.30%

Threadneedle (Lux) - Emerging Market Debt AEC 1.80%AEH 1.80%ASH 1.80%AU 1.80%AUP 1.80%DEH 2.30%DU 2.30%IEH 1.00%SU 1.80%SUP 1.80%W 1.30%ZU 0.90%


173


Portfolio Class TER

Threadneedle (Lux) - Global Emerging Market Short-Term Bonds AEC 1.70%AEH 1.70%ASC 1.70%ASH 1.70%AU 1.70%AUP 1.70%DEH 1.85%DU 1.85%IEH 1.00%W 1.45%ZEH 0.90%

Threadneedle (Lux) - US$ High Income Bonds AEC 1.55%AEH 1.55%ASH 1.55%AU 1.55%AUP 1.55%DEC 2.55%DEH 2.55%DU 2.55%IEH 0.85%ZU 0.90%

Threadneedle (Lux) - Flexible Asian Bond AEH 1.55%ASC 1.55%ASH 1.55%AU 1.55%AUP 1.55%DEH 2.05%IEH 1.00%IGH 1.00%ISH 1.00%IU 1.00%ZU 0.90%

Threadneedle (Lux) - Global Asset Allocation AEC 1.85%AEH 1.85%AU 1.85%AUP 1.85%DEH 2.60%DU 2.60%IGH 1.00%IU 1.00%W 1.75%

Threadneedle (Lux) - Global Multi Asset Income AEC 1.55%AEH 1.55%AEP 1.61%4

AU 1.55%AUP 1.67%4

DEC 2.30%DEP 2.30%DU 2.30%DUP 2.30%ZEC 1.05%

19 TOTAL EXPENSE RATIO (TER) (continued)


174


Portfolio Class TER

Threadneedle (Lux) - Global Focus AEH 1.85%AU 1.85%DEH 2.60%DU 2.60%W 1.75%ZU 1.10%

Threadneedle (Lux) - Global Emerging Market Equities AEH 1.85%AU 1.85%DEH 2.85%DU 2.85%IEH 1.10%W 2.00%ZU 1.10%

Threadneedle (Lux) - Global Smaller Companies AE 1.85%AGH 1.85%DE 2.35%IE 1.00%IGH 1.00%ZGH 1.10%

Threadneedle (Lux) - American AEH 1.85%AU 1.85%DEH 2.35%DU 2.35%IEH 1.05%IU 1.05%W 1.50%

Threadneedle (Lux) - American Select AEH 1.85%AU 1.85%DEH 2.60%DU 2.60%IEH 1.05%W 1.75%ZFH 1.10%

Threadneedle (Lux) - Asia Contrarian Equity AE 1.85%AF 1.85%ASH 1.85%AU 1.85%DE 2.85%IE 1.10%IF 1.20%ISH 1.10%IU 1.10%ZE 1.02%4

ZEH 1.10%ZF 1.10%ZU 1.10%

Threadneedle (Lux) - Asian Focus AE 1.85%AF 1.85%ASH 1.85%AU 1.85%DE 2.85%DEH 2.85%IE 1.10%IF 1.10%



175


Portfolio Class TER

Threadneedle (Lux) - Asian Focus (continued) ISH 1.10%

IU 1.10%ZE 1.04%4

ZEH 1.10%ZF 1.10%ZU 1.10%

Threadneedle (Lux) - Developed Asia Growth and Income AE 1.85%AEP 1.85%AF 1.85%AFP 1.85%ASC 1.85%ASH 1.85%AU 1.85%AUP 1.85%AVC 1.85%AVH 1.85%DE 2.85%IE 1.10%IEP 1.10%IF 1.10%IFP 1.10%ISH 1.10%IU 1.10%IUP 1.10%ZE 1.02%4

ZEH 1.10%ZEP 1.02%4

ZF 1.10%ZFP 1.10%ZU 1.10%ZUP 1.10%

Threadneedle (Lux) - US Contrarian Core Equities AEC 1.85%AEH 1.85%ASH 1.85%AU 1.85%AUP 1.85%DEH 2.35%DU 2.35%IFH 1.05%IU 1.05%ZEH 1.10%ZFH 1.10%ZGH 1.10%ZU 1.10%

Threadneedle (Lux) - Pan European Equities AE 1.85%ASH 1.85%AUH 1.85%DE 2.60%IE 1.05%W 1.75%XE 0.15%ZUH 1.10%



176


Portfolio Class TER

Threadneedle (Lux) - Pan European Small Cap Opportunities AE 1.85%ASH 1.85%DE 2.75%IE 1.10%W 1.90%

Threadneedle (Lux) - European Select AE 1.85%AGH 1.35%AUH 1.35%IE 1.00%ZGH 1.10%

Threadneedle (Lux) - Asian Equity Income AEH 1.85%AU 1.85%DEH 2.85%DU 2.85%W 2.00%ZGH 1.10%

Threadneedle (Lux) - Greater China Equities AEH 1.85%AU 1.85%DEH 2.85%DU 2.85%W 2.00%

Threadneedle (Lux) - Global Energy Equities AEH 2.10%AU 2.10%DEH 2.60%DU 2.60%W 1.75%

Threadneedle (Lux) - Global Technology AEH 2.10%AU 2.10%BU 2.35%DU 2.35%ZU 1.20%

Threadneedle (Lux) - Global Equities - Walter Scott & Partners WS2 1.21%Threadneedle (Lux) - Mondrian Investment Partners – Focused Emerging Markets Equity M2 1.18%Threadneedle (Lux) - UK Equities AEH 1.85%

AG 1.85%AGP 1.85%IEH 1.05%IG 1.05%IGP 1.05%ZEH 1.16%4

ZFH 1.10%ZG 1.10%ZGP 1.10%ZUH 1.04%4

Threadneedle (Lux) - STANLIB Africa Equity IU 1.60%ZU 1.60%

Threadneedle (Lux) - STANLIB Global Emerging Markets Property Securities IU 1.60%Threadneedle (Lux) - American Absolute Alpha AEH 1.85%

AFH 1.85%AGH 1.85%/2.14%3

AU 1.85%/2.19%3

DEH 2.35%DU 2.35%



177


Portfolio Class TER

Threadneedle (Lux) - American Absolute Alpha (continued) IEH 1.00%/1.33%3

IGH 1.00%/1.51%3

IU 1.00%/1.08%3

ZGH 1.10%Threadneedle (Lux) - Global Opportunities Bond AEH 1.40%

AGH 1.40%AU 1.40%DEH 2.20%DU 2.20%IEH 0.85%IFH 0.85%IU 0.85%ZGH 0.90%

Threadneedle (Lux) - Enhanced Commodities AEH 2.10%AFH 2.10%AGH 2.10%ASH 2.10%AU 2.10%DEH 2.60%DU 2.60%IEH 1.25%IFH 1.25%IGH 1.25%IKH 1.25%IU 1.25%XGH 0.15%XU 0.15%ZEH 1.10%ZFH 1.10%ZGH 1.10%ZU 1.10%

1 See note 1.2 Custody and sub custody fees are additionally charged to this share class.3 Including Performance Fee.4 Due to the use of the average calculation method, the current TER of share classes launched during the year slightly differs from the full year expected TER. Charges of

those share classes do not exceed the expected TER.


Global Risk Exposure (unaudited)

178


Global Exposure and Leverage The UCITS global exposure is managed under a commitment approach, an absolute Value at Risk (absolute VaR) approach or a relative Value at Risk (relative VaR) approach.

The global market risk exposure information for the year ended March 31, 2016 is as follows:

Commitment approach In order to monitor and measure the global exposure, all the portfolios which are not under in the VaR approach use the commitment approach.

The global exposure of the sub-funds is calculated based on the commitment approach in accordance with the methodology described in the ESMA’s guidelines 10-788.

Using the period April 2015 - March 2016:

1-year RollingSub Funds Using VaR Basis

Calculation Method*

VaR Model* Reference Portfolio

VaR Limit (%)

Lowest Utilisation of VaR Limit

Highest Utilisation of VaR Limit

Average Utilisation of VaR Limit

Average Commitment Exposure

Average Sum of notionals


Relative VaR Covariance Barclays Capital Aggregate Bond Index

1.8 x bmk VaR

42% 99% 65% 283% 632%


Relative VaR Covariance Barclays Capital Global Aggregate Corporates Index hedged to USD

1.5 x bmk VaR

70% 97% 75% 40% 96%

Threadneedle (Lux) - European Strategic Bond**

Relative VaR Covariance Merrill Lynch EMU Large Cap Investment Grade 3-5 Year Index

2 x bmk VaR

48% 72% 59% 24% 49%


Relative VaR Covariance 50% Citi Asian Government bond Index Investible (Local CCY), 50% JPMorgan Asian Credit Index Sovereign-only sub index (Hard CCY)

1.8 x bmk VaR

45% 59% 55% 12% 36%


Absolute VaR Covariance N/A 9.4 36% 58% 47% 2% 50%


Absolute VaR Covariance N/A 8 9% 36% 21% 0% 44%


Absolute VaR Covariance N/A 6 24% 57% 41% 349% 756%


Relative VaR Historical Bloomberg Commodity Index

1.3 x bmk VaR

72% 84% 78% 95% 340%

*Calculation method. The VaR model is based on a 99% Confidence interval over a 1-month holding period. The covariance model uses the previous 3.5 years of weekly data and the historical method uses 2 years of daily data.

**See note 1. The VaR limit changed from 1.3x benchmark to 2x benchmark effective October 1, 2015 and the utilisation disclosures have been provided from October 1, 2015 to March 31, 2016.

• ForthefundsusingeithertheAbsoluteorRelativeVaRmethodologies,theglobalexposureiscalculatedandmonitoreddaily.• TheVaRmethodologyusesaholdingperiodofonemonthandthelevelofconfidenceis99%.• Thefiguresdisclosedintheabovetablerefertoanobservationperiodofoneyear(orsinceinception)fortheyearendedMarch31,2016.

Shareholders’ Information (unaudited)

179


The SICAV is an investment company organised as a “Société d’Investissement à Capital Variable” in the Grand Duchy of Luxembourg under the Law of August 10, 1915, as amended, and qualifies as an Undertaking for Collective Investment in Transferable Securities (“UCITS”) under Part I of the law of December 17, 2010, as amended.

The SICAV was incorporated on February 10, 1995 for an unlimited period. The SICAV’s articles of incorporation were first published in the Mémorial, Recueil des Sociétés et Associations of the Grand Duchy of Luxembourg (the “Mémorial”) on March 31, 1995. Amendments thereto of July 25, 1997, March 12, 1999, August 18, 2004, October 17, 2005, July 25, 2008, July 31, 2009, August 31, 2010, July 29, 2011, August 13, 2012, March 28, 2013 and August 12, 2013 were published in the Mémorial on October 30, 1997, April 22, 1999, September 15, 2004, November 3, 2005, September 10, 2008, October 21, 2010, August 22, 2011, September 18, 2012, April 22, 2013 and September 16, 2013 respectively.

The SICAV is registered under the Number R.C.S. Luxembourg B-50216.

The Annual General Meeting of the Shareholders of the SICAV is held at its registered office or at such other place in Luxembourg on the last Friday of the month of July in each year at 2:00 p.m. or, if any such day is not a bank business day in Luxembourg, on the next following bank business day. Notices of general meetings are given in accordance with Luxembourg law and in accordance with applicable rules in relevant countries where shares are publicly offered for sale. Notices will specify the place and time of the meeting, the conditions of admission, the agenda, the quorum and voting requirements.

The accounting year of the SICAV terminates on March 31 in each year.

The annual report and audited financial statements and the unaudited semi-annual report are available at the registered office of the SICAV and at the principal office of each paying agent and distributor. The combined accounts of the SICAV are expressed in U.S. Dollars.

The Net Asset Value and the offer and redemption prices of the shares of the SICAV are made public at the registered office of the SICAV.

This report does not constitute an offer or a solicitation of an offer to buy shares in the SICAV. Subscriptions are accepted on the basis of the Prospectus and of the latest available annual report containing the audited financial statements as at March 31 and of the latest available semi-annual report as at September 30, if published thereafter.

Certain Portfolios and/or share classes contained within this report may not be authorised or offered for sale in every jurisdiction at this time.

Key Investor Information Document (“KIID”) - Subscription requirementsThe KIID is a pre-contractual document and investors will have to confirm that they have read the latest KIID before making a subscription. The Management Company has the right to reject a subscription if the investor does not confirm that he has read the latest KIID at the time of application. The latest KIID may be obtained from www.columbiathreadneedle.com.

Information for Investors in Switzerland (unaudited)

180


The annual report and audited financial statements, the unaudited semi-annual report, the report on changes in the Portfolio holdings for the year, the articles of incorporation, the Prospectus (Swiss version) and the KIID can be obtained upon simple request and free of charge at the offices of the Swiss Representative and paying agent of the SICAV, RBC Investor Services Bank S.A., Esch-sur-Alzette, Zurich Branch, Badenerstrasse 567, P.O. Box 1292, CH-8048 Zurich, Switzerland, or at the registered office of the SICAV.

Past performance is no indication of current or future performance, and the performance data do not take account of the commissions and costs incurred on the issue and redemption of units.

Share Class Performance (unaudited)

181


Share Class Benchmark Name Comments

December 31, 2015 December 31, 2014 December 31, 2013

BenchmarkPortfolio Return Benchmark

Portfolio Return Benchmark

Portfolio Return

Threadneedle (Lux) - Global Strategic BondAEH Barclays Capital Global Aggregate -3.15% -8.49% 0.59% -1.19% -2.60% -4.42%AU Barclays Capital Global Aggregate -3.15% -7.38% 0.59% -0.91% -2.60% -3.90%DEC Barclays Capital Global Aggregate -3.15% -8.58% 0.59% -1.57% 2.26% 2.70%DEH Barclays Capital Global Aggregate -3.15% -8.70% 0.59% -1.50% -2.60% -4.83%DU Barclays Capital Global Aggregate -3.15% -7.70% 0.59% -1.27% -2.60% -4.26%W Barclays Capital Global Aggregate -3.15% -7.16% 0.59% -0.66% -2.60% -3.68%Threadneedle (Lux) - Global Corporate BondAEC Barclays Global Aggregate

Corporates - USD HedgedPerformance since launch June 18, 2014

-0.24% -1.77% 3.10% 1.60% n/a n/a

AEH Barclays Global Aggregate Corporates - USD Hedged

Performance since launch June 18, 2014

-0.24% -1.77% 3.10% 1.60% n/a n/a

AKH Barclays Global Aggregate Corporates - USD Hedged


-0.24% -1.73% 3.10% 1.76% n/a n/a

AU Barclays Global Aggregate Corporates - USD Hedged


-0.24% -0.98% 3.10% 1.70% n/a n/a

AUP Barclays Global Aggregate Corporates - USD Hedged


-0.24% -0.98% 3.10% 1.70% n/a n/a

DEH Barclays Global Aggregate Corporates - USD Hedged


-0.24% -2.07% 3.10% 1.40% n/a n/a

IEH Barclays Global Aggregate Corporates - USD Hedged


-0.24% -1.08% 3.10% 1.90% n/a n/a

IGH Barclays Global Aggregate Corporates - USD Hedged


-0.24% -0.29% 3.10% 2.20% n/a n/a

IKH Barclays Global Aggregate Corporates - USD Hedged


-0.24% -1.14% 3.10% 2.12% n/a n/a

IU Barclays Global Aggregate Corporates - USD Hedged


-0.24% -0.49% 3.10% 2.10% n/a n/a

ZGH Barclays Global Aggregate Corporates - USD Hedged


-0.24% -0.49% 3.10% 2.10% n/a n/a

ZU Barclays Global Aggregate Corporates - USD Hedged


-0.24% -0.69% 3.10% 2.00% n/a n/a

Threadneedle (Lux) - European Strategic Bond*AE ML EMU Investment Grade Large

Cap 3-5 Yr1.11% 0.11% 5.39% 5.85% 2.56% 1.84%

AEP ML EMU Investment Grade Large Cap 3-5 Yr

1.11% 0.19% 5.39% 5.83% 2.56% 1.78%

DE ML EMU Investment Grade Large Cap 3-5 Yr

1.11% -0.41% 5.39% 5.24% 2.56% 1.28%

DEP ML EMU Investment Grade Large Cap 3-5 Yr

1.11% -0.46% 5.39% 5.27% 2.56% 1.32%

IE ML EMU Investment Grade Large Cap 3-5 Yr

1.11% 0.63% 5.39% 6.34% 2.56% 2.35%

W ML EMU Investment Grade Large Cap 3-5 Yr

1.11% 0.24% 5.39% 5.87% 2.56% 1.91%

Note: Total performance is historical and is not a guarantee of future results. The net asset value of shares classes may go up or down. Performance is net of all applicable fees as well as distributions made during the calendar year ended December 31, 2015 (but does not reflect a sales charge as stated in the note 5 to the financial statements). The performance is different across share classes depending on applicable asset management and shareholder servicing fees as disclosed in the note 5 to the financial statements. In addition, currency fluctuations may also affect performance depending on the currency of denomination of the share class and the base currency of the Portfolio. The returns are stated in the currency in which the portfolios are denominated.

*See note 1.

Share Class Performance (unaudited)(continued)

182






Portfolio Return

Threadneedle (Lux) - Emerging Market Corporate BondsAEC JPM CEMBI Broad Diversified 1.30% -1.57% 4.96% 3.57% -0.60% -0.96%AEH JPM CEMBI Broad Diversified 1.30% -1.54% 4.96% 3.58% -0.60% -0.98%ASH JPM CEMBI Broad Diversified 1.30% -0.62% 4.96% 3.66% -0.60% -0.82%AU JPM CEMBI Broad Diversified 1.30% -1.30% 4.96% 3.69% -0.60% -0.64%AUP JPM CEMBI Broad Diversified 1.30% -1.23% 4.96% 3.67% -0.60% -0.65%DEC JPM CEMBI Broad Diversified 1.30% -2.06% 4.96% 3.12% -0.60% -1.48%DEH JPM CEMBI Broad Diversified 1.30% -2.10% 4.96% 3.07% -0.60% -1.51%DU JPM CEMBI Broad Diversified 1.30% -1.77% 4.96% 3.15% -0.60% -1.16%IEH JPM CEMBI Broad Diversified 1.30% -0.79% 4.96% 4.38% -0.60% -0.16%IU JPM CEMBI Broad Diversified Performance since launch

June 6, 2014 until dormant August 11, 2015

3.66% 2.63% -0.53% -1.10% n/a n/a

P JPM CEMBI Broad Diversified 1.30% -0.84% 4.96% 4.23% -0.60% -0.10%W JPM CEMBI Broad Diversified 1.30% -0.80% 4.96% 4.24% -0.60% -0.18%WEH JPM CEMBI Broad Diversified 1.30% -1.06% 4.96% 4.06% -0.60% -0.46%Threadneedle (Lux) - Emerging Market DebtAEC JPM EMBI Global 1.23% -3.16% 5.53% 1.64% -6.58% -9.76%AEH JPM EMBI Global 1.23% -3.05% 5.53% 1.65% -6.58% -9.76%ASH JPM EMBI Global 1.23% -2.15% 5.53% 1.69% -6.58% -9.61%AU JPM EMBI Global 1.23% -2.82% 5.53% 1.78% -6.58% -9.39%AUP JPM EMBI Global 1.23% -2.84% 5.53% 1.80% -6.58% -9.39%DEH JPM EMBI Global 1.23% -3.62% 5.53% 1.17% -6.58% -10.18%DU JPM EMBI Global 1.23% -3.31% 5.53% 1.26% -6.58% -9.84%IEH JPM EMBI Global 1.23% -2.34% 5.53% 2.53% -6.58% -9.04%SU JPM EMBI Global 1.23% -2.83% 5.53% 1.80% -6.58% -9.43%SUP JPM EMBI Global 1.23% -2.82% 5.53% 1.75% -6.58% -9.38%W JPM EMBI Global 1.23% -2.33% 5.53% 2.28% -6.58% -8.94%ZU JPM EMBI Global Performance since launch

September 23, 20141.23% -2.08% -2.37% -3.90% n/a n/a

Threadneedle (Lux) - Global Emerging Market Short-Term BondsAEC JPM EMBI Global 3-5 Yrs 3.29% 0.40% 1.54% -1.74% 0.27% -3.18%AEH JPM EMBI Global 3-5 Yrs 3.29% 0.29% 1.54% -1.68% 0.27% -3.13%ASC JPM EMBI Global 3-5 Yrs Performance since launch

January 25, 20133.29% 1.49% 1.54% -1.64% -0.53% -3.78%

ASH JPM EMBI Global 3-5 Yrs Performance since launch January 14, 2013

3.29% 1.37% 1.54% -1.55% -0.28% -3.60%

AU JPM EMBI Global 3-5 Yrs 3.29% 0.79% 1.54% -1.63% 0.27% -2.78%AUP JPM EMBI Global 3-5 Yrs 3.29% 0.78% 1.54% -1.59% 0.27% -2.89%DEH JPM EMBI Global 3-5 Yrs 3.29% 0.18% 1.54% -1.87% 0.27% -3.27%DU JPM EMBI Global 3-5 Yrs 3.29% 0.67% 1.54% -1.73% 0.27% -2.96%IEH JPM EMBI Global 3-5 Yrs 3.29% 1.05% 1.54% -0.97% 0.27% -2.46%W JPM EMBI Global 3-5 Yrs 3.29% 1.03% 1.54% -1.35% 0.27% -2.57%ZEH JPM EMBI Global 3-5 Yrs Performance since launch

March 15, 2016n/a n/a n/a n/a n/a n/a



183






Portfolio Return

Threadneedle (Lux) - US$ High Income BondsAEC ML US High Yield Cash Pay BB-B -2.89% -1.29% 3.46% 3.27% 6.29% 3.34%AEH ML US High Yield Cash Pay BB-B -2.89% -1.28% 3.46% 3.31% 6.29% 3.18%ASH ML US High Yield Cash Pay BB-B -2.89% -0.34% 3.46% 3.36% 6.29% 3.39%AU ML US High Yield Cash Pay BB-B -2.89% -0.98% 3.46% 3.43% 6.29% 3.55%AUP ML US High Yield Cash Pay BB-B -2.89% -1.02% 3.46% 3.43% 6.29% 3.53%DEC ML US High Yield Cash Pay BB-B -2.89% -2.34% 3.46% 2.28% 6.29% 2.26%DEH ML US High Yield Cash Pay BB-B -2.89% -2.29% 3.46% 2.34% 6.29% 2.14%DU ML US High Yield Cash Pay BB-B -2.89% -1.96% 3.46% 2.39% 6.29% 2.50%IEH ML US High Yield Cash Pay BB-B -2.89% -0.73% 3.46% 4.10% 6.29% 3.89%ZU ML US High Yield Cash Pay BB-B Performance since launch

September 23, 2014-2.89% -0.30% -2.37% -3.90% n/a n/a

Threadneedle (Lux) - Flexible Asian BondAEH Blended Benchmark Performance since launch

April 30, 2014-2.73% -3.55% 3.81% 4.10% n/a n/a

ASC Blended Benchmark Performance since launch April 30, 2014

-2.73% -2.67% 3.81% 4.10% n/a n/a

ASH Blended Benchmark Performance since launch April 30, 2014

-2.73% -2.59% 3.81% 4.10% n/a n/a

AU Blended Benchmark Performance since launch April 30, 2014

-2.73% -3.26% 3.81% 4.20% n/a n/a

AUP Blended Benchmark Performance since launch April 30, 2014

-2.73% -3.16% 3.81% 4.20% n/a n/a

DEH Blended Benchmark Performance since launch April 30, 2014

-2.73% -3.95% 3.81% 3.70% n/a n/a

IEH Blended Benchmark Performance since launch April 30, 2014

-2.73% -3.06% 3.81% 4.50% n/a n/a

IGH Blended Benchmark Performance since launch April 30, 2014

-2.73% -2.39% 3.81% 4.70% n/a n/a

ISH Blended Benchmark Performance since launch April 30, 2014

-2.73% -2.01% 3.81% 4.50% n/a n/a

IU Blended Benchmark Performance since launch April 30, 2014

-2.73% -2.58% 3.81% 4.50% n/a n/a

ZU Blended Benchmark Performance since launch April 30, 2014

-2.73% -2.58% 3.81% 4.60% n/a n/a

Threadneedle (Lux) - Global Asset AllocationAEC NO OFFICIAL BENCHMARK n/a -1.02% n/a 1.59% n/a 9.03%AEH NO OFFICIAL BENCHMARK n/a -1.19% n/a 1.61% n/a 8.99%AU NO OFFICIAL BENCHMARK n/a -0.74% n/a 1.69% n/a 9.48%AUP NO OFFICIAL BENCHMARK n/a -0.76% n/a 1.69% n/a 9.53%DEH NO OFFICIAL BENCHMARK n/a -1.88% n/a 0.84% n/a 8.17%DU NO OFFICIAL BENCHMARK n/a -1.47% n/a 0.92% n/a 8.68%IGH NO OFFICIAL BENCHMARK n/a 0.34% n/a 2.80% n/a 10.51%IU NO OFFICIAL BENCHMARK n/a 0.13% n/a 2.45% n/a 10.44%W NO OFFICIAL BENCHMARK n/a -0.61% n/a 1.76% n/a 9.63%



184






Portfolio Return

Threadneedle (Lux) - Global Multi Asset IncomeAEC US 3 Month Libor Performance since launch

November 5, 2014 0.32% 2.02% 0.04% 0.40% n/a n/a

AEH US 3 Month Libor 0.32% 2.02% 0.23% 0.92% 0.27% 1.54%AEP US 3 Month Libor Performance since launch

October 14, 2015 0.09% 5.85% n/a n/a n/a n/a

AGH US 3 Month Libor Performance until dormant November 27, 2015

0.27% 3.29% 0.23% 1.50% 0.27% 2.00%

AU US 3 Month Libor 0.32% 2.39% 0.23% 1.18% 0.27% 1.87%AUP US 3 Month Libor Performance since launch


DEC US 3 Month Libor Performance since launch November 5, 2014

0.32% 1.16% 0.04% 0.30% n/a n/a

DEP US 3 Month Libor Performance since launch October 14, 2015

0.09% 5.72% n/a n/a n/a n/a

DU US 3 Month Libor Performance since launch November 5, 2014

0.32% 1.60% 0.04% 0.30% n/a n/a

DUP US 3 Month Libor Performance since launch November 5, 2014

0.32% 1.72% 0.04% 0.30% n/a n/a

ZEC US 3 Month Libor Performance since launch November 25, 2014

0.32% 2.48% 0.02% -0.70% n/a n/a

ZGH US 3 Month Libor Performance until dormant December 3, 2015

0.27% 3.13% 0.23% 1.95% 0.27% 2.61%

Threadneedle (Lux) - Global FocusAEH MSCI AC World -1.84% 1.61% 4.71% 6.30% 23.44% 27.48%AU MSCI AC World -1.84% 1.39% 4.71% 6.24% 23.44% 28.31%DEH MSCI AC World -1.84% 0.86% 4.71% 5.50% 23.44% 26.48%DU MSCI AC World -1.84% 0.67% 4.71% 5.44% 23.44% 27.31%W MSCI AC World -1.84% 1.50% 4.71% 6.34% 23.44% 28.42%ZU MSCI AC World Performance since launch

September 23, 2014-1.84% 2.13% 1.80% 3.40% n/a n/a

Threadneedle (Lux) - Global Emerging Market EquitiesAEH MSCI Global Emerging Markets Free -14.60% -16.38% -1.82% -3.78% -2.27% 2.21%AU MSCI Global Emerging Markets Free -14.60% -16.45% -1.82% -3.77% -2.27% 2.71%DEH MSCI Global Emerging Markets Free -14.60% -17.28% -1.82% -4.71% -2.27% 1.18%DU MSCI Global Emerging Markets Free -14.60% -17.31% -1.82% -4.71% -2.27% 1.69%IEH MSCI Global Emerging Markets Free -14.60% -15.72% -1.82% -3.06% -2.27% 2.97%W MSCI Global Emerging Markets Free -14.60% -16.58% -1.82% -3.93% -2.27% 2.56%ZU MSCI Global Emerging Markets Free Performance since launch

September 23, 2014-14.60% -15.79% -2.16% -8.80% n/a n/a

Threadneedle (Lux) - Global Smaller CompaniesAE MSCI W Small Cap1 11.52% 14.23% 16.52% 16.67% 1.18% 1.80%2

AGH MSCI W Small Cap1 11.52% 13.72% 16.52% 16.56% 1.18% 1.72%2

DE MSCI W Small Cap1 11.52% 13.69% 16.52% 16.04% 1.18% 1.70%2

IE MSCI W Small Cap1 11.52% 15.23% 16.52% 17.69% 1.18% 1.80%2

IGH MSCI W Small Cap1 11.52% 14.74% 16.52% 17.57% 1.18% 1.75%2

ZGH MSCI W Small Cap1 11.52% 14.68% 16.52% 17.36% 1.18% 1.79%2

Note: Total performance is historical and is not a guarantee of future results. The net asset value of shares classes may go up or down. Performance is net of all applicable fees as well as distributions made during the calendar year ended December 31, 2015 (but does not reflect a sales charge as stated in the note 5 to the financial statements). The performance is different across share classes depending on applicable asset management and shareholder servicing fees as disclosed in the note 5 to the financial statements. In addition, currency fluctuations may also affect performance depending on the currency of denomination of the share class and the base currency of the Portfolio. The returns are stated in the currency in which the portfolios are denominated.1The benchmark changed on November 30, 2013 from 3 Month LIBOR EUR Deposit Rate to MSCI W Small Cap. 2Due to a change in strategy during 2013 this number represents 1 month return from November 30, 2013 to December 31, 2013.


185






Portfolio Return

Threadneedle (Lux) - AmericanAEH S&P 500 1.38% 1.71% 13.69% 9.17% 32.39% 32.11%AU S&P 500 1.38% 1.61% 13.69% 8.94% 32.39% 32.91%DEH S&P 500 1.38% 1.02% 13.69% 8.65% 32.39% 31.40%DU S&P 500 1.38% 1.12% 13.69% 8.37% 32.39% 32.33%IEH S&P 500 1.38% 2.38% 13.69% 10.08% 32.39% 33.10%IU S&P 500 1.38% 2.44% 13.69% 9.81% 32.39% 34.03%W S&P 500 1.38% 1.98% 13.69% 9.31% 32.39% 33.39%Threadneedle (Lux) - American SelectAEH S&P 500 1.38% 0.14% 13.69% 5.09% 32.39% 29.12%AU S&P 500 1.38% 0.29% 13.69% 4.90% 32.39% 29.93%DEH S&P 500 1.38% -0.66% 13.69% 4.24% 32.39% 28.11%DU S&P 500 1.38% -0.44% 13.69% 4.09% 32.39% 28.98%IEH S&P 500 1.38% 0.88% 13.69% 5.91% 32.39% 30.13%W S&P 500 1.38% 0.44% 13.69% 5.00% 32.39% 29.97%Threadneedle (Lux) - Asia Contrarian EquityAE MSCI AC Asia Pacific ex Japan Performance since launch

September 23, 2015 3.77% 7.22% n/a n/a n/a n/a

AF MSCI AC Asia Pacific ex Japan Performance since launch September 23, 2015

3.77% 6.76% n/a n/a n/a n/a

ASH MSCI AC Asia Pacific ex Japan Performance since launch May 15, 2014

-3.84% -1.96% 4.58% 2.30% n/a n/a

AU MSCI AC Asia Pacific ex Japan Performance since launch May 15, 2014

-3.84% -2.25% 4.58% 2.30% n/a n/a

DE MSCI AC Asia Pacific ex Japan Performance since launch September 23, 2015

3.77% 6.91% n/a n/a n/a n/a

IE MSCI AC Asia Pacific ex Japan Performance since launch September 23, 2015

3.77% 7.42% n/a n/a n/a n/a

IF MSCI AC Asia Pacific ex Japan Performance since launch September 23, 2015

3.77% 6.96% n/a n/a n/a n/a

ISH MSCI AC Asia Pacific ex Japan Performance since launch May 15, 2014

-3.84% -1.26% 4.58% 2.80% n/a n/a

IU MSCI AC Asia Pacific ex Japan Performance since launch May 15, 2014

-3.84% -1.56% 4.58% 2.80% n/a n/a

ZE MSCI AC Asia Pacific ex Japan Performance since launch September 23, 2015

3.77% 7.52% n/a n/a n/a n/a

ZEH MSCI AC Asia Pacific ex Japan Performance since launch May 15, 2014

-3.84% -1.46% 4.58% 2.70% n/a n/a

ZF MSCI AC Asia Pacific ex Japan Performance since launch September 23, 2015

3.77% 7.06% n/a n/a n/a n/a

ZU MSCI AC Asia Pacific ex Japan Performance since launch May 15, 2014

-3.84% -1.56% 4.58% 2.80% n/a n/a

Threadneedle (Lux) - Asian FocusAE MSCI AC Asia ex Japan Performance since launch


AF MSCI AC Asia ex Japan Performance since launch September 25, 2015

3.34% 6.57% n/a n/a n/a n/a

ASH MSCI AC Asia ex Japan Performance since launch May 15, 2014

-5.32% -3.41% 5.99% 5.70% n/a n/a



186






Portfolio Return

Threadneedle (Lux) - Asian Focus (continued)AU MSCI AC Asia ex Japan Performance since launch

May 15, 2014 -5.32% -3.78% 5.99% 5.70% n/a n/a

DE MSCI AC Asia ex Japan Performance since launch September 25, 2015

3.34% 6.77% n/a n/a n/a n/a

DEH MSCI AC Asia ex Japan Performance since launch May 15, 2014

-5.32% -4.57% 5.99% 5.00% n/a n/a

IE MSCI AC Asia ex Japan Performance since launch September 25, 2015

3.34% 7.26% n/a n/a n/a n/a

IF MSCI AC Asia ex Japan Performance since launch September 25, 2015

3.34% 6.77% n/a n/a n/a n/a

ISH MSCI AC Asia ex Japan Performance since launch May 15, 2014

-5.32% -2.64% 5.99% 6.20% n/a n/a

IU MSCI AC Asia ex Japan Performance since launch May 15, 2014

-5.32% -3.01% 5.99% 6.20% n/a n/a

ZE MSCI AC Asia ex Japan Performance since launch September 25, 2015

3.34% 7.36% n/a n/a n/a n/a

ZEH MSCI AC Asia ex Japan Performance since launch May 15, 2014

-5.32% -2.83% 5.99% 6.10% n/a n/a

ZF MSCI AC Asia ex Japan Performance since launch September 25, 2015

3.34% 6.87% n/a n/a n/a n/a

ZU MSCI AC Asia ex Japan Performance since launch May 15, 2014

-5.32% -3.11% 5.99% 6.20% n/a n/a

Threadneedle (Lux) - Developed Asia Growth and IncomeAE Blended Benchmark Performance since launch


AEP Blended Benchmark Performance since launch September 24, 2015

3.79% 8.34% n/a n/a n/a n/a

AF Blended Benchmark Performance since launch September 24, 2015

3.79% 7.72% n/a n/a n/a n/a

AFP Blended Benchmark Performance since launch September 24, 2015

3.79% 7.72% n/a n/a n/a n/a

ASC Blended Benchmark Performance since launch May 13, 2014

-4.67% -2.58% 5.06% 3.14% n/a n/a

ASH Blended Benchmark Performance since launch May 13, 2014

-4.67% -2.43% 5.06% 3.00% n/a n/a

AU Blended Benchmark Performance since launch April 16, 2014

-4.67% -2.69% 4.86% 3.90% n/a n/a

AUP Blended Benchmark Performance since launch April 16, 2014

-4.67% -2.64% 4.86% 3.86% n/a n/a

AVC Blended Benchmark Performance since launch October 20, 2014

-4.67% -1.49% 3.55% -1.08% n/a n/a

AVH Blended Benchmark Performance since launch September 22, 2014

-4.67% -1.45% 0.34% -3.70% n/a n/a

DE Blended Benchmark Performance since launch September 24, 2015

3.79% 8.04% n/a n/a n/a n/a

IE Blended Benchmark Performance since launch September 24, 2015

3.79% 8.55% n/a n/a n/a n/a

IEP Blended Benchmark Performance since launch September 24, 2015

3.79% 8.55% n/a n/a n/a n/a

IF Blended Benchmark Performance since launch September 24, 2015

3.79% 7.92% n/a n/a n/a n/a



187






Portfolio Return

Threadneedle (Lux) - Developed Asia Growth and Income (continued)IFP Blended Benchmark Performance since launch


ISH Blended Benchmark Performance since launch May 13, 2014

-4.67% -1.74% 5.06% 3.60% n/a n/a

IU Blended Benchmark Performance since launch April 16, 2014

-4.67% -1.92% 4.86% 4.40% n/a n/a

IUP Blended Benchmark Performance since launch September 24, 2015

3.79% 4.72% n/a n/a n/a n/a

ZE Blended Benchmark Performance since launch September 24, 2015

3.79% 8.55% n/a n/a n/a n/a

ZEH Blended Benchmark Performance since launch May 13, 2014

-4.67% -1.93% 5.06% 3.60% n/a n/a

ZEP Blended Benchmark Performance since launch September 24, 2015

3.79% 8.55% n/a n/a n/a n/a

ZF Blended Benchmark Performance since launch September 24, 2015

3.79% 7.92% n/a n/a n/a n/a

ZFP Blended Benchmark Performance since launch September 24, 2015

3.79% 7.92% n/a n/a n/a n/a

ZU Blended Benchmark Performance since launch April 16, 2014

-4.67% -1.92% 4.86% 4.40% n/a n/a

ZUP Blended Benchmark Performance since launch September 24, 2015

3.79% 4.42% n/a n/a n/a n/a

Threadneedle (Lux) - US Contrarian Core EquitiesAEC S&P 500 Performance since launch


AEH S&P 500 1.38% 0.30% 27.02% 10.20% 18.23% 22.59%ASH S&P 500 Performance since launch

July 12, 2013 1.38% 1.06% 13.69% 10.70% 11.10% 11.20%

AU S&P 500 1.38% 0.45% 13.69% 10.56% 32.39% 34.18%AUP S&P 500 Performance since launch


DEH S&P 500 Performance since launch September 24, 2013

1.38% -0.21% 13.69% 10.19% n/a n/a

IFH S&P 500 Performance since launch June 21, 2013

1.38% 0.62% 13.69% 11.53% 11.01% 15.40%

IU S&P 500 1.38% 1.22% 13.69% 11.45% 32.39% 35.18%ZEH S&P 500 Performance since launch

September 23, 2014 1.38% 0.98% 3.82% 3.12% n/a n/a

ZFH S&P 500 Performance since launch September 23, 2014

1.38% 0.59% 3.82% 2.50% n/a n/a

ZGH S&P 500 Performance since launch September 23, 2014

1.38% 1.37% 3.82% 2.50% n/a n/a

ZU S&P 500 Performance since launch September 23, 2014

1.38% 1.07% 3.82% 2.40% n/a n/a

Threadneedle (Lux) - Pan European EquitiesAE MSCI Europe Gross 8.78% 12.04% 7.40% 4.82% 20.51% 24.72%ASH MSCI Europe Gross 8.78% 11.88% 7.40% 4.57% 20.51% 24.98%AUH MSCI Europe Gross Performance since launch

October 25, 2013 8.78% 10.89% 7.40% 4.19% 2.71% 5.13%

DE MSCI Europe Gross 8.78% 11.20% 7.40% 4.06% 20.51% 23.74%



188






Portfolio Return

Threadneedle (Lux) - Pan European Equities (continued)IE MSCI Europe Gross 8.78% 12.93% 7.40% 5.70% 20.51% 25.70%W MSCI Europe Gross 8.78% 12.14% 7.40% 4.95% 20.51% 24.83%ZUH MSCI Europe Gross Performance since launch

September 23, 20148.78% 11.74% -1.14% 8.30% n/a n/a

Threadneedle (Lux) -Pan European Small Cap OpportunitiesAE HSBC Smaller Pan European (EUR) 21.76% 28.48% 5.13% 9.00% 32.19% 23.23%ASH HSBC Smaller Pan European (EUR) 21.76% 28.14% 5.13% 8.72% 32.19% 23.33%DE HSBC Smaller Pan European (EUR) 21.76% 27.35% 5.13% 7.99% 32.19% 22.15%IE HSBC Smaller Pan European (EUR) 21.76% 29.47% 5.13% 9.83% 32.19% 24.12%W HSBC Smaller Pan European (EUR) 21.76% 28.43% 5.13% 8.95% 32.19% 23.13%Threadneedle (Lux) - European SelectAE FTSE W Europe ex UK1 10.92% 16.16% 7.38% 9.72% 0.49% 1.22%2

AGH FTSE W Europe ex UK1 10.92% 16.32% 7.38% 10.14% 0.49% 1.84%2

AUH FTSE W Europe ex UK1 10.92% 15.53% 7.38% 9.84% 0.49% 1.27%2

IE FTSE W Europe ex UK1 10.92% 17.13% 7.38% 10.70% 0.49% 1.24%2

ZGH FTSE W Europe ex UK1 10.92% 16.52% 7.38% 10.41% 0.49% 1.21%2

Threadneedle (Lux) - Asian Equity IncomeAEH MSCI AC Asia Pacific ex Japan -9.12% -11.97% 3.09% 2.24% 3.65% 9.61%AU MSCI AC Asia Pacific ex Japan -9.12% -12.03% 3.09% 2.35% 3.65% 10.11%DEH MSCI AC Asia Pacific ex Japan -9.12% -12.84% 3.09% 1.35% 3.65% 8.52%DU MSCI AC Asia Pacific ex Japan -9.12% -12.91% 3.09% 1.33% 3.65% 9.05%W MSCI AC Asia Pacific ex Japan -9.12% -12.16% 3.09% 2.21% 3.65% 9.94%ZGH MSCI AC Asia Pacific ex Japan Performance since launch

December 17, 2013-9.12% -11.16% 3.09% 3.36% 2.24% 1.61%

Threadneedle (Lux) - Greater China EquitiesAEH MSCI Golden Dragon -7.12% -7.39% 8.06% 5.08% 7.25% 20.82%AU MSCI Golden Dragon -7.12% -8.07% 8.06% 5.24% 7.25% 21.58%DEH MSCI Golden Dragon -7.12% -8.21% 8.06% 4.12% 7.25% 19.62%DU MSCI Golden Dragon -7.12% -8.98% 8.06% 4.21% 7.25% 20.37%W MSCI Golden Dragon -7.12% -8.17% 8.06% 5.07% 7.25% 21.42%Threadneedle (Lux) - Global Energy EquitiesAEH MSCI World - Energy Gross -22.17% -23.49% -11.02% -13.68% 18.84% 15.90%AU MSCI World - Energy Gross -22.17% -23.30% -11.02% -13.70% 18.84% 16.66%DEH MSCI World - Energy Gross -22.17% -24.03% -11.02% -14.11% 18.84% 15.29%DU MSCI World - Energy Gross -22.17% -23.69% -11.02% -14.12% 18.84% 16.06%W MSCI World - Energy Gross -22.17% -23.03% -11.02% -13.38% 18.84% 17.06%Threadneedle (Lux) - Global TechnologyAEH MSCI World IT Index Performance since launch

May 13, 2013 5.21% 8.03% 16.61% 20.99% 18.34% 14.67%

AU MSCI World IT Index 5.21% 7.74% 16.61% 20.75% 29.30% 23.42%BU MSCI World IT Index 5.21% 7.48% 16.61% 20.48% 29.30% 23.07%DU MSCI World IT Index 5.21% 7.48% 16.61% 20.48% 29.30% 23.07%ZU MSCI World IT Index Performance since launch

September 23, 2014 5.21% 8.69% 4.92% 5.90% n/a n/a

Note: Total performance is historical and is not a guarantee of future results. The net asset value of shares classes may go up or down. Performance is net of all applicable fees as well as distributions made during the calendar year ended December 31, 2015 (but does not reflect a sales charge as stated in the note 5 to the financial statements). The performance is different across share classes depending on applicable asset management and shareholder servicing fees as disclosed in the note 5 to the financial statements. In addition, currency fluctuations may also affect performance depending on the currency of denomination of the share class and the base currency of the Portfolio. The returns are stated in the currency in which the portfolios are denominated.1The benchmark changed on November 30, 2013 from 3 Month LIBOR EUR Deposit Rate to FTSE W Europe ex UK. 2Due to a change in strategy during 2013 this number represents 1 month return from November 30, 2013 to December 31, 2013.


189







Portfolio Return

Threadneedle (Lux) - UK EquitiesAEH FTSE All Share Performance since launch

May 14, 2013 0.98% 5.38% 1.18% 2.51% 4.68% 6.33%

AG FTSE All Share 0.98% 5.48% 1.18% 2.74% 20.81% 25.22%AGP FTSE All Share 0.98% 5.49% 1.18% 0.90% 20.81% 25.24%IEH FTSE All Share Performance since launch

March 13, 2013 0.98% 6.17% 1.18% 3.39% 8.69% 12.15%

IG FTSE All Share 0.98% 6.37% 1.18% 3.56% 20.81% 26.24%IGP FTSE All Share 0.98% 6.35% 1.18% 1.92% 20.81% 26.25%ZEH FTSE All Share Performance since launch


ZFH FTSE All Share Performance since launch March 8, 2016

n/a n/a n/a n/a n/a n/a

ZG FTSE All Share 0.98% 6.32% 1.18% 3.48% 20.81% 26.20%ZGP FTSE All Share Performance since launch


ZUH FTSE All Share Performance since launch March 8, 2016

n/a n/a n/a n/a n/a n/a

Threadneedle (Lux) - STANLIB Africa EquityIU MSCI EFM

(ex South Africa) Free FloatPerformance since launch August 8, 2014

-11.19% -23.40% -8.13% -12.37% n/a n/a

ZU MSCI EFM (ex South Africa) Free Float

Performance since launch August 8, 2014

-11.19% -23.21% -8.13% -12.37% n/a n/a

Threadneedle (Lux) - STANLIB Global Emerging Markets Property SecuritiesIU S&P Emerging Market Property

IndexPerformance since launch August 8, 2014

-6.19% -6.48% -6.17% -6.00% n/a n/a

Threadneedle (Lux) - American Absolute AlphaAEH US 3 Month Libor 0.32% 1.99% 0.23% -1.95% 0.27% 4.32%AFH US 3 Month Libor 0.32% 1.23% 0.23% -1.96% 0.27% 4.15%AGH US 3 Month Libor 0.32% 2.26% 0.23% -1.35% 0.27% 4.60%AU US 3 Month Libor 0.32% 2.10% 0.23% -1.53% 0.27% 4.63%DEH US 3 Month Libor 0.32% 1.44% 0.23% -2.14% 0.27% 3.92%DU US 3 Month Libor 0.32% 1.97% 0.23% -2.22% 0.27% 4.25%IEH US 3 Month Libor 0.32% 2.41% 0.23% -0.96% 0.27% 4.97%IGH US 3 Month Libor 0.32% 2.91% 0.23% -0.65% 0.27% 5.40%IU US 3 Month Libor 0.32% 2.13% 0.23% -0.91% 0.27% 5.27%ZGH US 3 Month Libor 0.32% 3.43% 0.23% -0.63% 0.27% 5.25%Threadneedle (Lux) - Global Opportunities BondAEH CITIGROUP USD Euro Deposit (1m)

(USD)0.31% -5.81% 0.11% -1.15% 0.18% 2.10%

AFH CITIGROUP USD Euro Deposit (1m) (USD)

Performance until dormant November 5, 2015

0.22% -3.99% 0.11% -1.38% 0.18% 2.01%

AGH CITIGROUP USD Euro Deposit (1m) (USD)

0.31% -5.19% 0.11% -0.90% 0.18% 2.58%

AU CITIGROUP USD Euro Deposit (1m) (USD)

0.31% -5.44% 0.11% -1.14% 0.18% 2.70%

DEH CITIGROUP USD Euro Deposit (1m) (USD)

0.31% -6.58% 0.11% -1.97% 0.18% 1.46%

DU CITIGROUP USD Euro Deposit (1m) (USD)

0.31% -6.22% 0.11% -1.81% 0.18% 1.76%

IEH CITIGROUP USD Euro Deposit (1m) (USD)

0.31% -5.29% 0.11% -0.62% 0.18% 2.75%


190






Portfolio Return

Threadneedle (Lux) - Global Opportunities Bond (continued)IFH CITIGROUP USD Euro Deposit (1m)

(USD)Performance since launch June 24, 2013

0.31% -6.10% 0.11% -0.88% 0.07% 2.60%

IGH CITIGROUP USD Euro Deposit (1m) (USD)

Performance until dormant May 4, 2015

0.09% 2.38% 0.11% -0.35% 0.18% 3.36%

IU CITIGROUP USD Euro Deposit (1m) (USD)

0.31% -4.88% 0.11% -0.49% 0.18% 3.19%

ZGH CITIGROUP USD Euro Deposit (1m) (USD)

0.31% -4.67% 0.11% -0.45% 0.18% 3.27%

Threadneedle (Lux) - Enhanced CommoditiesAEH Bloomberg Commodity Index -24.66% -27.27% -17.01% -22.11% -9.52% -12.45%AFH Bloomberg Commodity Index -24.66% -27.91% -17.01% -22.27% -9.52% -12.55%AGH Bloomberg Commodity Index -24.66% -26.64% -17.01% -21.85% -9.52% -12.04%ASH Bloomberg Commodity Index -24.66% -26.25% -17.01% -21.95% -9.52% -12.11%AU Bloomberg Commodity Index -24.66% -26.35% -17.01% -21.85% -9.52% -11.98%DEH Bloomberg Commodity Index -24.66% -27.67% -17.01% -22.48% -9.52% -12.91%DU Bloomberg Commodity Index -24.66% -26.75% -17.01% -22.25% -9.52% -12.39%IEH Bloomberg Commodity Index -24.66% -26.67% -17.01% -21.48% -9.52% -11.71%IFH Bloomberg Commodity Index -24.66% -27.29% -17.01% -21.63% -9.52% -11.84%IGH Bloomberg Commodity Index -24.66% -25.97% -17.01% -21.18% -9.52% -11.27%IKH Bloomberg Commodity Index -24.66% -26.76% -17.01% -21.12% -9.52% -10.94%IU Bloomberg Commodity Index -24.66% -25.77% -17.01% -21.18% -9.52% -11.21%XGH Bloomberg Commodity Index -24.66% -25.18% -17.01% -20.23% -9.52% -10.32%XU Bloomberg Commodity Index -24.66% -24.96% -17.01% -20.33% -9.52% -10.21%ZEH Bloomberg Commodity Index Performance since launch

April 25, 2014 -24.66% -26.77% -24.47% -26.40% n/a n/a

ZFH Bloomberg Commodity Index Performance since launch April 25, 2014

-24.66% -27.76% -24.47% -26.50% n/a n/a

ZGH Bloomberg Commodity Index -24.66% -25.84% -17.01% -21.09% -9.52% -11.26%ZU Bloomberg Commodity Index Performance since launch

April 25, 2014 -24.66% -25.61% -24.47% -26.20% n/a n/a


Directory

191


Registered Office31 Z.A. BourmichtL-8070 BertrangeGrand Duchy of Luxembourg

Investment AdvisorThreadneedle Management Luxembourg S.A.

Delegated to1:

Sub-Advisors Portfolio

Management CompanyThreadneedle Management Luxembourg S.A.74 MühlenwegL-2155 LuxembourgGrand Duchy of Luxembourg

Columbia Management Threadneedle (Lux) - Global TechnologyInvestment Advisers, LLC Threadneedle (Lux) - US$ High Income Bonds100 Federal Street Threadneedle (Lux) - Global Energy EquitiesBoston MA 02110 Threadneedle (Lux) - US Contrarian Core EquitiesUnited States of America

Threadneedle Asset Threadneedle (Lux) - Global Strategic Bond2 Management Limited Threadneedle (Lux) - Global Corporate Bond2

Cannon Place Threadneedle (Lux) - Global Opportunities Bond3

78 Cannon Street Threadneedle (Lux) - Global Emerging Market Short-Term Bonds2

London EC4N 6AG Threadneedle (Lux) - Global Asset AllocationUnited Kingdom Threadneedle (Lux) - Global Multi Asset Income3

Threadneedle (Lux) - Global Focus Threadneedle (Lux) - Emerging Market Debt2

Threadneedle (Lux) - Emerging Market Corporate Bonds2

Threadneedle (Lux) - Pan European Small Cap Opportunities Threadneedle (Lux) - Pan European Equities Threadneedle (Lux) - Asian Equity Income Threadneedle (Lux) - American Select3

Threadneedle (Lux) - European Strategic Bond5

Threadneedle (Lux) - Global Emerging Market Equities3

Threadneedle (Lux) - Greater China Equities Threadneedle (Lux) - American Absolute Alpha3

Threadneedle (Lux) - Enhanced Commodities Threadneedle (Lux) - UK Equities Threadneedle (Lux) - American3

Threadneedle (Lux) - Global Smaller Companies Threadneedle (Lux) - European Select

Threadneedle Investments Threadneedle (Lux) - Flexible Asian BondSingapore (Pte.) Limited Threadneedle (Lux) - Asia Contrarian Equity4

3 Killiney Road Threadneedle (Lux) - Asian Focus4

#07-07 Winsland House 1 Threadneedle (Lux) - Developed Asia Growth and Income4

Singapore 239519Singapore

Mondrian Investment Partners Limited Threadneedle (Lux) - Mondrian Investment Partners - 5th Floor Focused Emerging Markets Equity10 Gresham StreetLondon EC2V 7JDUnited Kingdom

Walter Scott & Partners Limited Threadneedle (Lux) - Global Equities - Walter Scott & Partners 1 Charlotte Square Edinburgh EH2 4DR Scotland

STANLIB Asset Management Limited Threadneedle (Lux) - STANLIB Africa Equity17 Melrose Boulevard Threadneedle (Lux) - STANLIB Global Emerging Markets PropertyMelrose Arch 2196 SecuritiesJohannesburgSouth Africa

1Subject to the responsibility and oversight of Threadneedle Management Luxembourg S.A.2Threadneedle Asset Management Limited may, subject to its own liability, delegate the discretionary investment management of part of the assets of the Portfolio to Columbia Management Investment Advisers, LLC.3Columbia Management Investment Advisers, LLC makes investment recommendations to Threadneedle Asset Management Limited and, therefore provides investment advice supported by research, to Threadneedle Asset Management Limited.4Columbia Management Investment Advisers, LLC makes investment recommendations to Threadneedle Investments Singapore (Pte.) Limited and, therefore provides investment advice supported by research, to Threadneedle Investments Singapore (Pte.) Limited.5See note 1.

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Directory(continued)


Custodian, Domiciliary, Administrative and Paying AgentCitibank Europe plc, Luxembourg Branch1

31 Z.A. BourmichtL-8070 BertrangeGrand Duchy of Luxembourg

Registrar and Transfer AgentInternational Financial Data Services (Luxembourg) S.A.47 Avenue John F. KennedyL-1855 LuxembourgGrand Duchy of Luxembourg

DistributorThreadneedle Management Luxembourg S.A.74 MühlenwegL-2155 LuxembourgGrand Duchy of Luxembourg

Delegated to:

In AustriaErste Bank der oesterreichischen Sparkassen AGGraben 21A-1010 ViennaAustria

In FranceCACEIS Bank France1/3 Place ValhubertF-75206 Paris Cedex 13France

In GermanyJ.P. Morgan AGJunghofstrasse 14D-60311 Frankfurt am MainGermany

Representative and Paying Agent in Hong KongHSBC Institutional Trust Services (Asia) Limited17/F Tower 2 & 3 HSBC Centre1 Sham Mong RoadKowloonHong Kong

Representative and Paying Agent in SwitzerlandRBC Investor Services Bank S.A., Esch-sur-AlzetteZurich BranchBadenerstrasse 567P.O. Box 1292CH-8048 ZurichSwitzerland

AuditorPricewaterhouseCoopers, Société coopérative2 rue Gerhard Mercator, B.P. 1443L-1014 LuxembourgGrand Duchy of Luxembourg

Legal Advisors in LuxembourgLinklaters LLP35 Avenue John F. Kennedy, B.P. 1107L-1011 LuxembourgGrand Duchy of Luxembourg

Legal Advisors in GermanyHengeler MuellerBockheimer Landstrasse 24D-60323 Frankfurt am MainGermany1With effect from January 1, 2016, Citibank International Limited, Luxembourg Branch has been merged into Citibank Europe plc, Luxembourg Branch. Citibank Europe plc, Luxembourg Branch has taken over the operations of Citibank International Limited, Luxembourg Branch.

To find out more visit columbiathreadneedle.com 138333

threadneedle (lux) - fondsvermittlung24.de€¦ · company threadneedle (lux) r.c.s. luxembourg...

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