threadneedle (lux) - liberbank

www.threadneedle.com

Audited Annual Report and AccountsSociété d’Investissement à Capital VariableMarch 31, 2014

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

THREADNEEDLE (LUX)

2

Threadneedle (Lux) Audited Annual Report and Accounts March 2014

Contents

Company Information 3

Directors’ Report 4

Performance 5

Audit Report 6

Financial Statements:

Aggregated Financial Statements for Threadneedle (Lux) 7

Threadneedle (Lux) - Global Aggregate Bond 8

Threadneedle (Lux) - Euro Active Bonds 9

Threadneedle (Lux) - Emerging Market Corporate Bonds 10

Threadneedle (Lux) - Emerging Market Debt 11

Threadneedle (Lux) - Global Emerging Market Short-Term Bonds 12

Threadneedle (Lux) - US$ High Income Bonds 13

Threadneedle (Lux) - Global Asset Allocation 14

Threadneedle (Lux) - Global Focus 15

Threadneedle (Lux) - Global Emerging Market Equities 16

Threadneedle (Lux) - American 17

Threadneedle (Lux) - American Select 18

Threadneedle (Lux) - US Contrarian Core Equities 19

Threadneedle (Lux) - Pan European Equities 20

Threadneedle (Lux) - Pan European Small Cap Opportunities 21

Threadneedle (Lux) - European Quantitative Equities* 22

Threadneedle (Lux) - Asian Equity Income 23

Threadneedle (Lux) - Greater China Equities 24

Threadneedle (Lux) - Global Energy Equities 25

Threadneedle (Lux) - Global Technology 26

Threadneedle (Lux) - Global Equities - Walter Scott & Partners 27

Threadneedle (Lux) - Mondrian Investment Partners - Focused Emerging Markets Equity 28

Threadneedle (Lux) - UK Equities 29

Threadneedle (Lux) - Target Return (US$)* 30

Threadneedle (Lux) - American Absolute Alpha 31

Threadneedle (Lux) - Absolute Emerging Market Macro 32

Threadneedle (Lux) - Multi Asset Target Alpha 33

Threadneedle (Lux) - Global Smaller Companies* 34

Threadneedle (Lux) - Global Opportunities Bond 35

Threadneedle (Lux) - European Select* 36

Threadneedle (Lux) - Enhanced Commodities 37

Portfolio Statements:

Threadneedle (Lux) - Global Aggregate Bond 38

Threadneedle (Lux) - Euro Active Bonds 42

Threadneedle (Lux) - Emerging Market Corporate Bonds 47

Threadneedle (Lux) - Emerging Market Debt 52

Threadneedle (Lux) - Global Emerging Market Short-Term Bonds 59

Threadneedle (Lux) - US$ High Income Bonds 63

Threadneedle (Lux) - Global Asset Allocation 69

Threadneedle (Lux) - Global Focus 73

Threadneedle (Lux) - Global Emerging Market Equities 75

Threadneedle (Lux) - American 78

Threadneedle (Lux) - American Select 79

Threadneedle (Lux) - US Contrarian Core Equities 80

Threadneedle (Lux) - Pan European Equities 82

Threadneedle (Lux) - Pan European Small Cap Opportunities 84

Threadneedle (Lux) - Asian Equity Income 86

Threadneedle (Lux) - Greater China Equities 88

Threadneedle (Lux) - Global Energy Equities 90

Threadneedle (Lux) - Global Technology 92

Threadneedle (Lux) - Global Equities - Walter Scott & Partners 94

Threadneedle (Lux) - Mondrian Investment Partners - Focused Emerging Markets Equity 96

Threadneedle (Lux) - UK Equities 98

Threadneedle (Lux) - American Absolute Alpha 100

Threadneedle (Lux) - Absolute Emerging Market Macro 101

Threadneedle (Lux) - Multi Asset Target Alpha 103

Threadneedle (Lux) - Global Smaller Companies* 104

Threadneedle (Lux) - Global Opportunities Bond 106

Threadneedle (Lux) - European Select* 113

Threadneedle (Lux) - Enhanced Commodities 114

Notes to the Financial Statements 115

Global Risk Exposure (unaudited) 162

Shareholders’ Information (unaudited) 163

Information for Investors in Switzerland (unaudited) 164

Share Class Performance (unaudited) 165

Directory 171

*See note 1.

3


Company Information

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

Registered Office 31 Z.A. Bourmicht L-8070 Bertrange Grand Duchy of Luxembourg

Management Company Threadneedle Management Luxembourg S.A. 74, Mühlenweg L-2155 Luxembourg Grand Duchy of Luxembourg

Board of Directors

Chairman of the Board of DirectorsCampbell Fleming (appointed as chairman on June 13, 2013) Chief Executive Officer of the Threadneedle Group London United Kingdom

Crispin Henderson (resigned from the Board of Directors and as Chairman on May 24, 2013) Vice Chairman of Global Asset Management, Ameriprise Financial, Inc.

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

Timothy Gillbanks (resigned from the Board of Directors on June 13, 2013)Chief Financial and Operations Officer of the Threadneedle Group London United Kingdom

Dominik Kremer Head of EMEA Sales, Institutional, of the Threadneedle Group Frankfurt am Main Germany

Tony Poon Head of Client Services and Business Manager North Asia of the Threadneedle Group Hong Kong

Nicholas Ring (appointed on July 26, 2013)Head of Distribution of the Threadneedle GroupLondonUnited Kingdom

Claude Kremer Partner Arendt & Medernach Luxembourg Grand Duchy of Luxembourg

Christopher Thompson Head of Intermediary Distribution, Marketing and Product Columbia Management Investment Advisers, LLC Boston United States of America

Directors’ Report

4


This is the Annual Report and Accounts for Threadneedle (Lux), which reviews the performance of the portfolio and financial markets over the twelve months ending 31 March 2014.

The year under review constituted a strong period for global equity indices. The main factors in the strong performance of developed markets were growing signs of a global economic recovery, the provision of abundant liquidity by central banks and generally positive corporate results.

There was significant volatility along the way, however. Most of this arose from the speculation as to when the US Federal Reserve (the Fed) would reduce its programme of quantitative easing (QE). Fed officials first raised the prospect of a “tapering” of their monthly bond purchases in late May; thereafter, the market endured periodic sell-offs as Fed pronouncements were scrutinised for signs that a reduction might be imminent. Treasury yields and US interest rates rose, and the dollar strengthened. Emerging markets reacted particularly negatively to these events, as the knock-on effects from a higher cost of capital were expected to reduce growth. Commodity exporters such as South Africa and Indonesia were among the worst affected.

Over the summer of 2013, a consensus grew that September would see the first reduction in QE. In the event, though, the Fed left its programme unchanged both in that month and in October. Most market participants began to expect that tapering would not take place until early 2014. There was mild surprise, therefore, when the Fed announced in December that it would reduce its monthly purchases by US$10 billion from January.

In contrast to the earlier sell-offs on the prospect of tapering, the actual announcement of the first reduction prompted developed markets to rally. In the US, the S&P 500 hit a record high at the end of 2013. One reason was that in reducing QE, Fed officials were acknowledging the growing strength of the US economy. Although there was some disappointing economic data from the US over the winter, Fed officials attributed this to the unusually severe weather and pressed on with further reductions to QE in February and March. By the end of the review period, the monthly bond-buying programme had fallen from US$85 billion to US$55 billion.

The best-performing equity markets were the US and Europe. The Japanese market was very strong in 2013, but fell back from its highs in the first months of 2014. With an aggregate negative return, emerging markets underperformed their developed counterparts by a wide margin. Latin American markets were especially weak. China also underperformed the broad emerging-market index, on fears of slowing growth and instability in the country’s financial system.

Over the review period, government bond yields drifted higher. Corporate bonds fared somewhat better than government bonds, with spreads tightening over the year. High yield performed also performed well in 2013, especially when compared with other fixed-income asset classes.

Commodity markets declined over the period, affected by signs of an economic slowdown in China, although they began to mount a recovery in the first months of 2014. There was, however, a divergence in the prices of metals and oil, with the copper price declining on fears of slowing growth in China and gold falling as the dollar rose. In contrast, the oil price rose, as the global economic recovery gained traction.

The uncertainty over when the US Federal Reserve would begin to scale back its QE programme has now been removed. Investors will increasingly focus on the trajectory of the global economic recovery and scope for growth in corporate earnings.

Monetary policy across the developed world is expected to remain accommodative, with interest rates remaining at historically low levels for some time. We continue to favour the prospects for equities but recognise that in some instances valuations are no longer cheap.

The issues facing emerging-market economies are dampening sentiment towards emerging-market equities and bonds, particularly where currencies are under most pressure. With some specific regional tensions evident, we are monitoring developments closely.

We hope that you find this report informative and would like to thank you for continuing to invest with Threadneedle.

Campbell Fleming

Chairman of the Board

June 16, 2014

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

5


Threadneedle (Lux) Portfolios returns for the year ended March 31, 2014.

Portfolio

1 Year Return

Class A Class W

Threadneedle (Lux) - Global Aggregate Bond AU 2.19% 2.43%Threadneedle (Lux) - Euro Active Bonds AE 3.75% 3.76%Threadneedle (Lux) - Emerging Market Corporate Bonds AU 0.11% 0.65%Threadneedle (Lux) - Emerging Market Debt AU -4.07% -3.59%Threadneedle (Lux) - Global Emerging Market Short-Term Bonds AU -1.33% -1.10%Threadneedle (Lux) - US$ High Income Bonds AU 4.29% n/a**Threadneedle (Lux) - Global Asset Allocation AU 4.89% 5.01%Threadneedle (Lux) - Global Focus AU 18.55% 18.68%Threadneedle (Lux) - Global Emerging Market Equities AU 0.54% 0.37%Threadneedle (Lux) - American AU 22.36% 22.79%Threadneedle (Lux) - American Select AU 21.05% 21.14%Threadneedle (Lux) - US Contrarian Core Equities AU 21.93% n/aThreadneedle (Lux) - Pan European Equities AE 17.96% 18.05%Threadneedle (Lux) - Pan European Small Cap Opportunities AE 18.40% 18.34%Threadneedle (Lux) - European Quantitative Equities* AE -0.87% n/aThreadneedle (Lux) - Asian Equity Income AU 7.36% 7.21%Threadneedle (Lux) - Greater China Equities AU 20.49% 20.31%Threadneedle (Lux) - Global Energy Equities AU 9.68% 10.08%Threadneedle (Lux) - Global Technology AU 21.53% n/aThreadneedle (Lux) - UK Equities AG 12.41% n/aThreadneedle (Lux) - Target Return (US$)* AU 4.58% n/aThreadneedle (Lux) - American Absolute Alpha AU 2.08% n/aThreadneedle (Lux) - Absolute Emerging Market Macro AU -4.07% n/aThreadneedle (Lux) - Multi Asset Target Alpha AU -0.20% n/aThreadneedle (Lux) - Global Smaller Companies* AE -1.47% n/aThreadneedle (Lux) - Global Opportunities Bond AU 3.86% n/aThreadneedle (Lux) - European Select* AE -0.06% n/aThreadneedle (Lux) - Enhanced Commodities AU -6.62% n/a

Portfolio Class 1 Year Return

Threadneedle (Lux) - Global Equities - Walter Scott & Partners WS 5.08%Threadneedle (Lux) - Mondrian Investment Partners - Focused Emerging Markets Equity M -10.05%

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

*See note 1.**Share class became dormant on September 20, 2013.


pwc Audit Report

To the Shareholders of

Threadneedle (Lux)

We have audited the accompanying financial statements of Threadneedle (Lux) (the "SICAV") and of each of its portfolios (the "Portfolios"), which

comprise the Statement of Net Assets and the Portfolio Statement as at March 31, 2014 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 "Reviseur d'entreprises agree"

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 "Reviseur d'entreprises agree", 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 "Reviseur d'entreprises agree" 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 Portfolios as of March 31, 2014,

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, Societe cooperative Luxembourg, June 16, 2014

Represented by,

Steven Libby

PricewaterhouseCoopers, Societe cooperative, 400 Route d'Esch, B.P. 1443, L-1014 Luxembourg T.. +352 494848 1, F: +352 494848 2900, www.pwc.lu

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

The accompanying notes form an integral part of these fi nancial statements.

Aggregated Financial Statements for Threadneedle (Lux)

7


2014

Notes USD

2014

Notes USD

STATEMENT OF NET ASSETS STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETSas at March 31, 2014 for the year ended March 31, 2014

Assets

Investment portfolio at market value 2, 17 3,355,647,824Cash at bank 2 83,799,233Term deposits 2 204,265,595Receivable for investments sold 39,815,534Subscriptions receivable 19,888,443Interest receivable on swap 1,434,494Interest and dividends receivable, net 15,445,403Upfront payment on swap transactions 2 3,300,474Net unrealised gain on forward foreign exchange contracts 2, 8 439,541Net unrealised gain on futures 2, 10 804,850Net unrealised gain on swaps 2, 9 39,532Other assets 386,395

Total assets 3,725,267,318

Liabilities

Bank overdrafts (3,727,738)Payable for investments purchased (68,354,668)Redemptions payable (13,903,791)Interest payable on swaps (1,661,805)Dividend payable on swaps 2 (185,772)Upfront payment received on swap transactions (3,158,906)Net unrealised loss on forward foreign exchange contracts 2, 8 (6,333,123)Net unrealised loss on swaps 2, 9 (4,197,336)Net unrealised loss on futures 2, 10 (71,218)Asset management fees payable 4 (3,489,929)Performance fees payable 7 (1,009,151)Unrealised capital gain tax on investment (586,080)Other liabilities (884,026)

Total liabilities (107,563,543)

Total net assets 3,617,703,775

Net assets at the beginning of the year 3,447,879,049

Income

Dividends, net 33,835,559 Interest on bonds, net 2 46,941,504 Bank interest 2 147,897 Interest income on swaps 2 9,339,750 Commission on subscriptions and redemptions of shares 4 346,947 Other income 33,683

Total income 90,645,340

Expenses

Asset management fees 4 (40,541,964)Performance fees 7 (1,009,151)Bank fees (22,771)Dividends expenses (1,148,637)Interest expense on swaps (11,167,624)Interest expense on futures (15,892)Other operating expenses 4 (9,891,825)Custody and sub-custody fees 4 (151,681)Miscellaneous fees (71,568)

Total expenses (64,021,113)

Net income from investments 26,624,227

Net realised gain on sales of investments 112,348,205 Net realised (loss) on swaps (85,674,625)Net realised (loss) on options (1,878,017)Net realised gain on forward foreign exchange contracts 90,616,599 Net realised (loss) on futures (4,488,006)Net realised (loss) on foreign exchange (3,281,394)

Net realised gain 107,642,762

Change in net unrealised gain on investments 25,080,469 Change in net unrealised gain on futures 1,111,037 Change in net unrealised (loss) on forward foreign exchange contracts (2,096,930)Change in net unrealised (loss) on swaps (3,172,269)Change in net unrealised gain on options 342 Change in net unrealised gain on capital gain tax 3,061

Net change in unrealised gain 20,925,710

Net increase in net assets as a results of operations 155,192,699

Movements in capital

Subscriptions of shares 2,570,738,911 Redemptions of shares (2,577,309,136)Dividends 6 (18,757,861)

Total movements in capital (25,328,086)

Exchange differences 2 43,729,379 Elimination of cross investment in sub-funds 17 (3,769,266)

Net assets at the end of the year 3,617,703,775

Threadneedle (Lux) - Global Aggregate Bond

8



2014

Notes USD

2014

Notes USD


Assets

Investment portfolio at market value 2 12,852,260Cash at bank 2 120,781Receivable for investments sold 668,718Subscriptions receivable 19,354Interest receivable on swaps 51,359Interest and dividends receivable, net 128,507Upfront payment on swap transactions 2 161,939Net unrealised gain on futures 2, 10 26,799

Total assets 14,029,717

Liabilities

Bank overdrafts (100,570)Payable for investments purchased (169,362)Redemptions payable (170,391)Interest payable on swaps (47,071)Upfront payment received on swap transactions 2 (147,344)Net unrealised loss on forward foreign exchange contracts 2, 8 (16,608)Net unrealised loss on swaps 2, 9 (10,082)Asset management fees payable 4 (12,364)Other liabilities (3,482)

Total liabilities (677,274)

Total net assets 13,352,443

NUMBER OF SHARES OUTSTANDINGClass AEH 246,893.580Class AU 127,809.984Class DEC 22,690.386Class DEH 22,826.247Class DU 85,784.139Class W 22,282.218

STATEMENT OF NET ASSET VALUE PER SHARE March 31, 2014 March 31, 2013 March 31, 2012Class AEH 15.551 15.281 15.121

Class AU 27.10 26.52 26.12Class DEC 11.221 11.541 –Class DEH 12.331 12.171 12.091

Class DU 29.97 29.44 29.10Class W 57.81 56.44 55.45Class WEH – – 15.131

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

Net assets at the beginning of the year 17,366,454

Income

Interest on bonds, net 2 603,731Bank interest 1,046Interest income on swaps 2 288,054Other income 177

Total income 893,008

Expenses

Asset management fees 4 (161,030)Bank fees (635)Interest expense on swaps (257,325)Interest expense on futures (262)Other operating expenses 4 (45,195)Miscellaneous fees (10,518)

Total expenses (474,965)

Net income from investments 418,043

Net realised (loss) on sales of investments (193,223)Net realised (loss) on swaps (71,659)Net realised (loss) on options (87,450)Net realised gain on forward foreign exchange contracts 591,912Net realised (loss) on futures (52,995)Net realised (loss) on foreign exchange (29,196)

Net realised gain 157,389

Change in net unrealised (loss) on investments (47,329)Change in net unrealised gain on futures 50,713Change in net unrealised gain on forward foreign exchange contracts 173,155Change in net unrealised (loss) on swaps (24,633)Change in net unrealised (loss) on options (308)

Net change in unrealised gain 151,598

Net increase in net assets as a results of operations 727,030


Subscriptions of shares 938,334Redemptions of shares (5,671,219)Dividends 6 (8,156)


Net assets at the end of the year 13,352,443

TOTAL NET ASSET VALUE March 31, 2014 March 31, 2013 March 31, 2012USD 13,352,443 17,366,454 20,518,585


Threadneedle (Lux) - Euro Active Bonds

9


2014

Notes EUR

2014

Notes EUR


Assets

Investment portfolio at market value 2 33,473,940Cash at bank 2 162,825Receivable for investments sold 1,202,548Subscriptions receivable 51,953Interest and dividends receivable, net 431,313


Liabilities

Bank overdrafts (23,607)Payable for investments purchased (1,050,038)Redemptions payable (86,818)Interest payable on swaps (566)Net unrealised loss on forward foreign exchange contracts 2, 8 (31,746)Net unrealised loss on futures 2, 10 (14,973)Net unrealised loss on swaps 2, 9 (20,525)Asset management fees payable 4 (29,313)Other liabilities (7,926)



NUMBER OF SHARES OUTSTANDINGClass AE 348,998.623Class AEP 63,774.249Class DE 454,879.463Class DEP 137,365.117Class IE 366,328.751Class W 15,938.822

STATEMENT OF NET ASSET VALUE PER SHARE March 31, 2014 March 31, 2013 March 31, 2012Class AE 26.58 25.62 24.13Class AEP 15.47 15.31 –Class DE 25.91 25.12 23.78Class DEP 12.06 12.00 –Class IE 25.82 24.77 23.21Class W 56.23 54.19 51.00


Income

Interest on bonds, net 2 1,081,770Bank interest 1,253Interest income on swaps 2 28,506Other income 464


Expenses




Net realised gain on sales of investments 418,508Net realised gain on swaps 44,055Net realised (loss) on options (91,114)Net realised (loss) on forward foreign exchange contracts (30,386)Net realised (loss) on futures (93,464)Net realised gain on foreign exchange 71,643


Change in net unrealised gain on investments 293,429Change in net unrealised (loss) on futures (8,613)Change in net unrealised (loss) on forward foreign exchange contracts (7,055)Change in net unrealised (loss) on swaps (20,525)Change in net unrealised (loss) on options (413)




Subscriptions of shares 27,698,253Redemptions of shares (22,439,917)Dividends 6 (40,380)

Total movements in capital 5,217,956


TOTAL NET ASSET VALUE March 31, 2014 March 31, 2013 March 31, 2012EUR 34,057,067 27,607,074 18,093,083

Threadneedle (Lux) - Emerging Market Corporate Bonds

10



2014

Notes USD

2014

Notes USD


Assets

Investment portfolio at market value 2 81,032,567Cash at bank 2 400,888Receivable for investments sold 2,764,700Subscriptions receivable 6,304Interest and dividends receivable, net 1,208,951


Liabilities

Bank overdrafts (1,158,490)Payable for investments purchased (1,411,370)Redemptions payable (467,720)Net unrealised loss on forward foreign exchange contracts 2, 8 (357,023)Asset management fees payable 4 (96,818)Other liabilities (19,450)



NUMBER OF SHARES OUTSTANDINGClass AEC 690,317.298Class AEH 977,029.827Class ASH 7,423.299Class AU 394.440Class AUP 1,423,603.734Class DEC 12,323.387Class DEH 373,060.483Class DU 104,490.515Class IEH 526,552.725Class P 5,789.321Class W 88,622.544Class WEH 24,768.302

STATEMENT OF NET ASSET VALUE PER SHARE March 31, 2014 March 31, 2013 March 31, 2012Class AEC 15.311 16.241 15.541

Class AEH 18.541 18.551 16.821

Class ASH 11.175 11.175 –Class AU 17.45 17.43 15.74Class AUP 8.75 9.26 8.82Class DEC 11.381 12.131 –Class DEH 14.601 14.681 13.371

Class DU 13.94 13.99 12.70Class IEH 24.771 24.591 22.121

Class P 10.06 10.59 10.04Class W 23.18 23.03 20.69Class WEH 17.621 17.541 15.821

1Class is denominated in EUR. The base currency of the Portfolio is USD.5Class is denominated in SGD. The base currency of the Portfolio is USD.


Income

Interest on bonds, net 2 4,688,306Bank interest 1,873Interest income on swaps 2 73,750


Expenses

Asset management fees 4 (1,164,514)Bank fees (305)Interest expense on swaps (82,847)Other operating expenses 4 (231,529)Miscellaneous fees (1,857)



Net realised (loss) on sales of investments (2,472,722)Net realised (loss) on swaps (115,820)Net realised gain on forward foreign exchange contracts 3,811,141Net realised (loss) on futures (52,858)Net realised (loss) on foreign exchange (24,298)


Change in net unrealised (loss) on investments (624,212)Change in net unrealised gain on forward foreign exchange contracts 195,022

Net change in unrealised (loss) (429,190)



Subscriptions of shares 32,574,479Redemptions of shares (39,863,180)Dividends 6 (1,874,317)





Threadneedle (Lux) - Emerging Market Debt

11


2014

Notes USD

2014

Notes USD


Assets

Investment portfolio at market value 2 194,266,301Cash at bank 2 1,805,736Term deposits 2 4,000,477Receivable for investments sold 2,824,928Subscriptions receivable 5,763Interest and dividends receivable, net 3,074,178


Liabilities

Bank overdrafts (8,991)Redemptions payable (633,683)Net unrealised loss on forward foreign exchange contracts 2, 8 (456,689)Asset management fees payable 4 (234,007)Other liabilities (48,308)



NUMBER OF SHARES OUTSTANDINGClass AEC 108,352.991Class AEH 115,155.611Class ASH 6,604.774Class AU 136,137.297Class AUP 10,060,569.373Class DEH 54,086.011Class DU 23,972.871Class IEH 1,280,711.465Class IGH 702.316Class SU 5,432.295Class SUP 406,470.686Class W 56,095.796


Class AEH 24.201 25.311 23.521

Class ASH 10.345 10.795 10.005

Class AU 63.46 66.15 61.13Class AUP 13.40 14.90 14.56Class DEH 18.461 19.401 18.111


Class IGH 19.123 19.763 –Class SU 25.67 26.76 24.73Class SUP 12.98 14.43 14.10 Class W 51.36 53.27 48.991Class is denominated in EUR. The base currency of the Portfolio is USD.3Class is denominated in GBP. The base currency of the Portfolio is USD.5Class is denominated in SGD. The base currency of the Portfolio is USD.


Income



Expenses

Asset management fees 4 (3,715,694)Bank fees (679)Interest expense on swaps (506,245)Other operating expenses 4 (781,700)



Net realised (loss) on sales of investments (8,551,123)Net realised (loss) on swaps (267,639)Net realised gain on forward foreign exchange contracts 7,131,061Net realised (loss) on foreign exchange (957,955)

Net realised (loss) (2,645,656)

Change in net unrealised (loss) on investments (22,290,184)Change in net unrealised gain on forward foreign exchange contracts 783,552

Net change in unrealised (loss) (21,506,632)

Net (decrease) in net assets as a results of operations (11,037,015)






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

12



2014

Notes USD

2014

Notes USD


Assets

Investment portfolio at market value 2 121,974,438Cash at bank 2 619,839Receivable for investments sold 3,683,310Subscriptions receivable 308,757Interest and dividends receivable, net 1,918,960Net unrealised gain on futures 2, 10 152,649


Liabilities

Bank overdrafts (1,514,367)Payable for investments purchased (10,384,291)Redemptions payable (117,451)Net unrealised loss on forward foreign exchange contracts 2, 8 (510,927)Asset management fees payable 4 (126,551)Other liabilities (27,445)



NUMBER OF SHARES OUTSTANDINGClass AEC 347,277.782Class AEH 702,900.415Class ASC 110,578.620Class ASH 118,568.441Class AU 120,789.687Class AUP 5,550,185.238Class DEH 1,205,945.645Class DU 231,825.396Class IEH 1,549,876.629Class W 55,156.047


Class AEH 14.411 14.641 13.611

Class ASC 9.075 9.785 –Class ASH 9.765 9.915 –Class AU 15.54 15.75 14.57Class AUP 6.98 7.52 7.40Class DEH 11.361 11.561 10.761


Class W 18.00 18.20 16.801Class is denominated in EUR. The base currency of the Portfolio is USD.5Class is denominated in SGD. The base currency of the Portfolio is USD.


Income



Expenses

Asset management fees 4 (1,604,832)Bank fees (707)Interest expense on swaps (173,357)Other operating expenses 4 (347,185)



Net realised (loss) on sales of investments (4,942,189)Net realised (loss) on swaps (92,304)Net realised gain on forward foreign exchange contracts 4,373,226Net realised (loss) on futures (226,004)Net realised (loss) on foreign exchange (383,570)


Change in net unrealised (loss) on investments (1,497,632)Change in net unrealised gain on futures 152,649Change in net unrealised gain on forward foreign exchange contracts 36,344









Threadneedle (Lux) - US$ High Income Bonds

13


2014

Notes USD

2014

Notes USD


Assets

Investment portfolio at market value 2 24,239,504Cash at bank 2 1,440,881Receivable for investments sold 113,589Subscriptions receivable 190,366Interest and dividends receivable, net 397,864


Liabilities

Payable for investments purchased (216,471)Redemptions payable (20,209)Net unrealised loss on forward foreign exchange contracts 2, 8 (88,571)Asset management fees payable 4 (27,764)Other liabilities (6,050)



NUMBER OF SHARES OUTSTANDINGClass AEC 60,938.629Class AEH 164,147.167Class ASH 80,778.748Class AU 40,252.218Class AUP 457,651.173Class DEC 40,972.624Class DEH 67,423.093Class DU 76,062.478Class IEH 169,023.184

STATEMENT OF NET ASSET VALUE PER SHARE March 31, 2014 March 31, 2013 March 31, 2012Class AEC 15.001 15.291 –Class AEH 27.271 26.221 23.621

Class ASH 11.605 11.145 10.015

Class AU 28.46 27.29 24.48Class AUP 14.29 14.53 13.90Class DEC 11.851 12.201 –Class DEH 20.531 19.941 18.141


Class W# – 30.58 27.431Class is denominated in EUR. The base currency of the Portfolio is USD.5Class is denominated in SGD. The base currency of the Portfolio is USD.#See note 1.


Income

Interest on bonds, net 2 1,517,482Bank interest 314


Expenses

Asset management fees 4 (310,331)Bank fees (48)Other operating expenses 4 (67,594)



Net realised gain on sales of investments 302,047Net realised gain on forward foreign exchange contracts 978,739Net realised (loss) on foreign exchange (16,002)







Total movements in capital (543,343)



Threadneedle (Lux) - Global Asset Allocation

14



2014

Notes USD

2014

Notes USD


Assets

Investment portfolio at market value 2 85,685,884Cash at bank 2 3,414,180Term deposits 2 5,700,486Receivable for investments sold 300,584Subscriptions receivable 130,875Interest and dividends receivable, net 469,691Other assets 9,320


Liabilities

Bank overdrafts (2,086)Payable for investments purchased (266,271)Redemptions payable (389,443)Net unrealised loss on forward foreign exchange contracts 2, 8 (761,018)Net unrealised loss on futures 2, 10 (41,358)Asset management fees payable 4 (128,474)Other liabilities (27,952)



NUMBER OF SHARES OUTSTANDINGClass AEC 52,972.432Class AEH 932,530.635Class AU 488,155.908Class AUP 1,638,289.800Class DEH 333,062.707Class DU 289,828.075Class IGH 100.000Class IU 82,422.740Class W 95,329.299


Class AEH 24.771 23.691 22.791

Class AU 33.03 31.49 30.07Class AUP 13.91 13.57 13.27Class DEH 18.831 18.151 17.561

Class DU 22.80 21.90 21.03Class IGH 22.803 21.543 –Class IU 23.23 21.97 20.81Class W 54.49 51.89 49.511Class is denominated in EUR. The base currency of the Portfolio is USD.3Class is denominated in GBP. The base currency of the Portfolio is USD.


Income

Dividends, net 2 785,228Interest on bonds, net 2 1,444,684Bank interest 4,281Interest income on swaps 2 251,971Other income 17,489


Expenses

Asset management fees 4 (1,656,436)Bank fees (707)Interest expense on swaps (14,375)Interest expense on futures (1,533)Other operating expenses 4 (375,739)Miscellaneous fees (6,552)



Net realised gain on sales of investments 7,134,922Net realised gain on swaps 617,072Net realised (loss) on options (193,543)Net realised gain on forward foreign exchange contracts 4,241,038Net realised (loss) on futures (544,731)Net realised (loss) on foreign exchange (115,441)


Change in net unrealised (loss) on investments (3,782,355)Change in net unrealised (loss) on futures (32,379)Change in net unrealised (loss) on forward foreign exchange contracts (144,439)Change in net unrealised (loss) on swaps (291,615)









Threadneedle (Lux) - Global Focus

15


2014

Notes USD

2014

Notes USD


Assets

Investment portfolio at market value 2 46,505,372Cash at bank 2 351,784Receivable for investments sold 32,463Subscriptions receivable 222,763Interest and dividends receivable, net 43,605Other assets 9,543


Liabilities




NUMBER OF SHARES OUTSTANDINGClass AEH 696,113.587Class AU 297,415.706Class DEH 37,808.304Class DU 196,536.603Class W 40,561.774


Class AU 41.28 34.82 32.09Class DEH 20.911 17.861 16.721

Class DU 22.62 19.22 17.84Class W 62.72 52.85 48.661Class is denominated in EUR. The base currency of the Portfolio is USD.


Income

Dividends, net 2 517,196Bank interest 415


Expenses

Asset management fees 4 (674,496)Bank fees (310)Other operating expenses 4 (151,821)Miscellaneous fees (3,583)


Net (loss) from investments (312,599)

Net realised gain on sales of investments 7,110,234Net realised gain on forward foreign exchange contracts 1,725,344Net realised (loss) on foreign exchange (40,627)


Change in net unrealised gain on investments 549,139Change in net unrealised gain on forward foreign exchange contracts 69,290




Subscriptions of shares 8,982,859Redemptions of shares (12,936,346)




Threadneedle (Lux) - Global Emerging Market Equities

16



2014

Notes USD

2014

Notes USD


Assets

Investment portfolio at market value 2 3,767,895Cash at bank 2 233,759Receivable for investments sold 42,719Interest and dividends receivable, net 6,425


Liabilities

Payable for investments purchased (89,644)Net unrealised loss on forward foreign exchange contracts 2, 8 (8,141)Asset management fees payable 4 (6,506)Unrealised capital gain tax on investment (4,699)Other liabilities (1,077)



NUMBER OF SHARES OUTSTANDINGClass AEH 9,676.167Class AU 13,730.277Class DEH 19,649.089Class DU 58,018.949Class IEH 19,125.087Class W 591.752




Class W 40.72 40.57 38.581Class is denominated in EUR. The base currency of the Portfolio is USD.


Income

Dividends, net 2 75,633Bank interest 63Other income 146

Total income 75,842

Expenses

Asset management fees 4 (74,875)Bank fees (51)Other operating expenses 4 (12,957)Miscellaneous fees (944)














Threadneedle (Lux) - American

17


2014

Notes USD

2014

Notes USD


Assets

Investment portfolio at market value 2 216,097,106Cash at bank 2 2,101,691Term deposits 2 5,500,189Receivable for investments sold 4,841,968Subscriptions receivable 953,353Interest and dividends receivable, net 132,324Other assets 16,779


Liabilities

Payable for investments purchased (13,388,424)Redemptions payable (211,555)Net unrealised loss on forward foreign exchange contracts 2, 8 (184,425)Asset management fees payable 4 (231,985)Other liabilities (54,871)



NUMBER OF SHARES OUTSTANDING Class AEH 149,635.862Class AU 1,069,587.476Class DEH 225,789.405Class DU 2,306,720.273Class IEH 422,038.126Class IU 2,847,886.456Class W 24,008.902




Class IU 30.55 24.77 22.73Class W 61.91 50.42 46.471Class is denominated in EUR. The base currency of the Portfolio is USD.


Income

Dividends, net 2 2,644,984Bank interest 1,905


Expenses

Asset management fees 4 (2,804,610)Bank fees (244)Other operating expenses 4 (664,075)



Net realised gain on sales of investments 30,880,060Net realised gain on forward foreign exchange contracts 2,439,481Net realised (loss) on foreign exchange (61,565)


Change in net unrealised gain on investments 14,535,382Change in net unrealised gain on forward foreign exchange contracts 288,709








Threadneedle (Lux) - American Select

18



2014

Notes USD

2014

Notes USD


Assets

Investment portfolio at market value 2 41,337,817Cash at bank 2 368,619Receivable for investments sold 316,389Subscriptions receivable 21,631Interest and dividends receivable, net 8,599Other assets 746


Liabilities




NUMBER OF SHARES OUTSTANDINGClass AEH 42,303.881Class AU 1,211,940.231Class DEH 47,463.226Class DU 99,938.903Class IEH 131,115.850Class IU 368,725.120Class W 55,808.323Class ZFH 219,222.040




Class IU 25.32 20.75 –Class W 17.48 14.43 13.41Class ZFH# 15.014 – –1Class is denominated in EUR. The base currency of the Portfolio is USD.4Class is denominated in CHF. The base currency of the Portfolio is USD.#See note 1.


Income



Expenses




Net realised gain on sales of investments 6,559,295Net realised gain on forward foreign exchange contracts 733,881Net realised gain on foreign exchange 120,998











Threadneedle (Lux) - US Contrarian Core Equities

19


2014

Notes USD

2014

Notes USD


Assets

Investment portfolio at market value 2 203,364,434Cash at bank 2 13,687,377Receivable for investments sold 28,833Subscriptions receivable 8,480,787Interest and dividends receivable, net 141,933Other assets 2,722


Liabilities

Payable for investments purchased (19,066,227)Net unrealised loss on forward foreign exchange contracts 2, 8 (5,898)Asset management fees payable 4 (193,091)Other liabilities (48,838)



NUMBER OF SHARES OUTSTANDINGClass AEH 665.733Class ASH 3,000.000Class AU 4,735,087.138Class DEH 1,523.810Class DU 587.326Class IFH 26,600.000Class IU 2,687,909.499


Class ASH# 11.205 – –Class AU 24.52 20.11 17.77Class DEH 13.031 15.751 14.091

Class DU 12.82 15.97 14.18Class IEH# – 26.741 23.641

Class IFH# 23.294 – –Class IU 33.31 27.13 23.771Class is denominated in EUR. The base currency of the Portfolio is USD.4Class is denominated in CHF. The base currency of the Portfolio is USD.5Class is denominated in SGD. The base currency of the Portfolio is USD.#See note 1.


Income

Dividends, net 2 1,131,724Bank interest 773Other income 525


Expenses

Asset management fees 4 (1,178,738)Other operating expenses 4 (285,962)Miscellaneous fees (64)



Net realised gain on sales of investments 3,810,110Net realised gain on forward foreign exchange contracts 335,757Net realised (loss) on foreign exchange (175,395)










Threadneedle (Lux) - Pan European Equities

20



2014

Notes EUR

2014

Notes EUR


Assets

Investment portfolio at market value 2 184,687,928Cash at bank 2 4,442,718Receivable for investments sold 80,336Subscriptions receivable 2,974,255Interest and dividends receivable, net 309,792Net unrealised gain on forward foreign exchange contracts 2, 8 201,594Other assets 104,200


Liabilities

Payable for investments purchased (3,354,411)Redemptions payable (612,973)Asset management fees payable 4 (163,140)Other liabilities (43,286)



NUMBER OF SHARES OUTSTANDING Class AE 964,667.271Class ASH 1,936,049.445Class AUH 226,746.533Class DE 707,179.578Class IE 2,318,155.709Class W 128,275.697Class XE 705,412.950

STATEMENT OF NET ASSET VALUE PER SHARE March 31, 2014 March 31, 2013 March 31, 2012Class AE 50.38 42.71 37.16Class ASH 13.535 11.475 9.935

Class AUH# 15.962 – –Class DE 18.91 16.16 14.16Class IE 33.50 28.17 24.32Class W 42.12 35.68 31.01Class XE 36.66 30.55 –5Class 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.#See note 1.


Income

Dividends, net 2 2,997,476Bank interest 123


Expenses

Asset management fees 4 (1,398,871)Bank fees (1,827)Other operating expenses 4 (387,592)Miscellaneous fees (3,596)



Net realised gain on sales of investments 9,927,363Net realised (loss) on forward foreign exchange contracts (610,562)Net realised gain on foreign exchange 24,226











Threadneedle (Lux) - Pan European Small Cap Opportunities

21


2014

Notes EUR

2014

Notes EUR


Assets

Investment portfolio at market value 2 211,055,566Cash at bank 2 133,813Receivable for investments sold 4,473,625Subscriptions receivable 1,436,603Interest and dividends receivable, net 341,175Net unrealised gain on forward foreign exchange contracts 2, 8 102,339Other assets 107,164


Liabilities

Payable for investments purchased (761,265)Redemptions payable (794,377)Asset management fees payable 4 (235,911)Other liabilities (56,040)



NUMBER OF SHARES OUTSTANDINGClass AE 3,387,543.445Class ASH 957,766.512Class DE 946,618.879Class IE 3,788,024.167Class W 58,720.771

STATEMENT OF NET ASSET VALUE PER SHARE March 31, 2014 March 31, 2013 March 31, 2012Class AE 23.29 19.67 15.88Class ASH 14.905 12.575 10.135

Class DE 22.37 19.06 15.53Class IE 27.77 23.27 –Class W 39.10 33.04 26.695Class is denominated in SGD. The base currency of the Portfolio is EUR.


Income



Expenses

Asset management fees 4 (2,207,446)Bank fees (1,436)Other operating expenses 4 (523,460)Miscellaneous fees (835)



Net realised gain on sales of investments 10,394,050Net realised (loss) on forward foreign exchange contracts (353,132)Net realised (loss) on foreign exchange (56,276)










Threadneedle (Lux) - European Quantitative Equities*

22


*See note 1.The accompanying notes form an integral part of these fi nancial statements.

2013

Notes EUR

STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETSfor the accounting period from April 1, 2013 to December 6, 2013

Net assets at the beginning of the period 5,027,606

Income


Total income 65,245

Expenses

Asset management fees 4 (12,035)Bank fees (4)Other operating expenses 4 (3,423)Miscellaneous fees (7,277)



Net realised gain on sales of investments 555,140Net realised gain on foreign exchange 10,654


Change in net unrealised (loss) on investments (457,764)




Subscriptions of shares 175,852Redemptions of shares (5,353,994)


Net assets at the end of the period –

TOTAL NET ASSET VALUE December 6, 2013 March 31, 2013 March 31, 2012EUR – 5,027,606 23,036,567

STATEMENT OF NET ASSET VALUE PER SHARE December 6, 2013 March 31, 2013 March 31, 2012Class AE – 11.52 9.75Class DE – 8.92 7.61Class IE – 15.18 12.74Class W – – 11.24


Threadneedle (Lux) - Asian Equity Income

23


2014

Notes USD

2014

Notes USD


Assets

Investment portfolio at market value 2 26,863,276Cash at bank 2 622,729Receivable for investments sold 890,627Subscriptions receivable 106,685Interest and dividends receivable, net 150,584


Liabilities

Bank overdrafts (24,158)Payable for investments purchased (1,124,649)Net unrealised loss on forward foreign exchange contracts 2, 8 (9,413)Asset management fees payable 4 (35,730)Unrealised capital gain tax on investment (11,606)Other liabilities (7,953)



NUMBER OF SHARES OUTSTANDING Class AEH 25,038.465Class AU 325,689.483Class DEH 20,082.918Class DU 30,584.950Class W 56,009.403Class ZGH 1,000.000



Class DU 34.74 32.68 30.29Class W 50.27 46.89 43.10Class ZGH# 15.623 – –1Class is denominated in EUR. The base currency of the Portfolio is USD.3Class is denominated in GBP. The base currency of the Portfolio is USD.#See note 1.


Income

Dividends, net 2 1,082,801Bank interest 151Other income 51


Expenses






Change in net unrealised gain on investments 617,521Change in net unrealised gain on forward foreign exchange contracts 12,763Change in net unrealised gain on capital gain tax 3,061








Threadneedle (Lux) - Greater China Equities

24



2014

Notes USD

2014

Notes USD


Assets

Investment portfolio at market value 2 6,116,579Cash at bank 2 28,718Receivable for investments sold 62,287Subscriptions receivable 41,947Interest and dividends receivable, net 412


Liabilities

Bank overdrafts (420)Redemptions payable (84,810)Net unrealised loss on forward foreign exchange contracts 2, 8 (17,528)Asset management fees payable 4 (9,838)Other liabilities (1,852)



NUMBER OF SHARES OUTSTANDINGClass AEH 48,197.446Class AU 39,282.413Class DEH 28,862.872Class DU 39,428.612Class W 2,381.219



Class DU 33.90 28.42 26.89Class W 41.88 34.81 32.651Class is denominated in EUR. The base currency of the Portfolio is USD.


Income

Dividends, net 2 126,032Bank interest 17Other income 320


Expenses




Net realised gain on sales of investments 525,514Net realised gain on forward foreign exchange contracts 189,605Net realised (loss) on foreign exchange (758)


Change in net unrealised gain on investments 586,488Change in net unrealised gain on forward foreign exchange contracts 7,369









Threadneedle (Lux) - Global Energy Equities

25


2014

Notes USD

2014

Notes USD


Assets

Investment portfolio at market value 2 15,053,629Cash at bank 2 3,873Receivable for investments sold 306,137Subscriptions receivable 10,744Interest and dividends receivable, net 11,642


Liabilities

Bank overdrafts (1,193)Payable for investments purchased (225,001)Redemptions payable (60,485)Net unrealised loss on forward foreign exchange contracts 2, 8 (26,240)Asset management fees payable 4 (21,991)Other liabilities (4,352)



NUMBER OF SHARES OUTSTANDING Class AEH 78,642.538Class AU 193,518.387Class DEH 47,085.980Class DU 21,540.629Class IU 56,641.491Class W 25,885.475



Class DU 28.88 26.46 25.78Class IU 24.30 21.97 21.12Class W 45.12 40.99 39.601Class is denominated in EUR. The base currency of the Portfolio is USD.


Income



Expenses




Net realised gain on sales of investments 1,714,915Net realised gain on forward foreign exchange contracts 349,905Net realised gain on foreign exchange 8,533










Threadneedle (Lux) - Global Technology

26



2014

Notes USD

2014

Notes USD


Assets

Investment portfolio at market value 2 21,729,724Cash at bank 2 1,285,938Receivable for investments sold 211,094Subscriptions receivable 41,331Interest and dividends receivable, net 8,941


Liabilities




NUMBER OF SHARES OUTSTANDINGClass AEH 51,994.787Class AU 46,308.058Class BU 256,315.072Class DU 424,417.340

STATEMENT OF NET ASSET VALUE PER SHARE March 31, 2014 March 31, 2013 March 31, 2012Class AEH# 17.921 – –Class AU 21.20 17.44 18.96Class BU 27.51 22.69 24.72Class DU 31.89 26.30 28.661Class is denominated in EUR. The base currency of the Portfolio is USD.#See note 1.


Income



Expenses

Asset management fees 4 (415,604)Other operating expenses 4 (73,454)Miscellaneous fees (421)





Change in net unrealised gain on investments 1,535,215Change in net unrealised (loss) on forward foreign exchange contracts (7,494)









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

27


2014

Notes EUR

2014

Notes EUR


Assets

Investment portfolio at market value 2 116,786,280Cash at bank 2 2,683,930Receivable for investments sold 373,192Interest and dividends receivable, net 256,006Other assets 32,600


Liabilities

Asset management fees payable 4 (100,771)Other liabilities (24,348)



NUMBER OF SHARES OUTSTANDINGClass WS 2,646,678.265

STATEMENT OF NET ASSET VALUE PER SHARE March 31, 2014 March 31, 2013 March 31, 2012Class WS 45.34 43.15 37.32


Income



Expenses

Asset management fees 4 (1,173,324)Other operating expenses 4 (234,664)Custody and sub-custody fees 4 (19,862)Miscellaneous fees (3,741)



Net realised gain on sales of investments 1,016,381Net realised gain on forward foreign exchange contracts 650Net realised (loss) on foreign exchange (30,631)


Change in net unrealised gain on investments 4,244,104




Subscriptions of shares 794,941

Total movements in capital 794,941



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

28



2014

Notes USD

2014

Notes USD


Assets

Investment portfolio at market value 2 362,002,223Cash at bank 2 11,702,050Receivable for investments sold 1,392,006Interest and dividends receivable, net 1,022,767


Liabilities

Payable for investments purchased (1,434,051)Asset management fees payable 4 (289,559)Unrealised capital gain tax on investment (569,775)Other liabilities (92,096)



NUMBER OF SHARES OUTSTANDINGClass M 10,035,741.025

STATEMENT OF NET ASSET VALUE PER SHARE March 31, 2014 March 31, 2013 March 31, 2012Class M 37.24 41.40 38.82


Income

Dividends, net 2 10,494,308Bank interest 2,551Commission on subscriptions and redemptions of shares 4 346,947


Expenses

Asset management fees 4 (3,513,386)Bank fees (6)Other operating expenses 4 (739,660)Custody and sub-custody fees 4 (124,306)Miscellaneous fees (20,199)





Change in net unrealised (loss) on investments (50,931,611)Change in net unrealised gain on forward foreign exchange contracts 98









Threadneedle (Lux) - UK Equities

29


2014

Notes GBP

2014

Notes GBP


Assets

Investment portfolio at market value 2 104,267,366Cash at bank 2 775,690Receivable for investments sold 2,150,322Subscriptions receivable 711,598Interest and dividends receivable, net 296,010


Liabilities

Payable for investments purchased (182,975)Redemptions payable (3,803,978)Net unrealised loss on forward foreign exchange contracts 2, 8 (37,736)Asset management fees payable 4 (91,461)Other liabilities (27,488)



NUMBER OF SHARES OUTSTANDINGClass AEH 28,359.407Class AG 1,044,893.777Class AGP 634,035.695Class IEH 182,573.768Class IG 832,597.239Class IGP 590,898.599Class ZG 1,254,255.035

STATEMENT OF NET ASSET VALUE PER SHARE March 31, 2014 March 31, 2013 March 31, 2012Class AEH# 16.091 – –Class AG 21.37 19.01 15.98Class AGP 20.38 19.15 –Class IEH 22.691 20.131 –Class IG 29.02 25.61 21.36Class IGP 27.73 25.27 –Class ZG 19.50 17.22 –1Class is denominated in EUR. The base currency of the Portfolio is GBP.#See note 1.


Income

Dividends, net 2 2,497,974Bank interest 3,240


Expenses




Net realised gain on sales of investments 2,663,874Net realised (loss) on forward foreign exchange contracts (179,606)Net realised gain on foreign exchange 2,831









TOTAL NET ASSET VALUE March 31, 2014 March 31, 2013 March 31, 2012GBP 104,057,348 41,237,213 15,356,694

Threadneedle (Lux) - Target Return (US$)*

30



2013

Notes USD

STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETSfor the accounting period from April 1, 2013 to December 6, 2013

Net assets at the beginning of the period 19,163,823

Income

Interest on bonds, net 2 125,606Bank interest 107Interest income on swaps 2 25,802Other income 1,179


Expenses




Net realised (loss) on sales of investments (227,768)Net realised (loss) on swaps (33,878)Net realised (loss) on options (16,919)Net realised gain on forward foreign exchange contracts 254,042Net realised gain on futures 7,367Net realised gain on foreign exchange 62,656


Change in net unrealised gain on investments 78,273Change in net unrealised gain on futures 50,007Change in net unrealised gain on forward foreign exchange contracts 78,126Change in net unrealised gain on swaps 105,556Change in net unrealised gain on options 3,880






Net assets at the end of the period –

TOTAL NET ASSET VALUE December 6, 2013 March 31, 2013 March 31, 2012USD – 19,163,823 22,603,866

STATEMENT OF NET ASSET VALUE PER SHARE December 6, 2013 March 31, 2013 March 31, 2012Class AEC – 14.541 –Class ASH – 9.815 –Class AU – 14.19 14.38Class DEC – 11.711 –Class DEH – 11.151 11.401

Class IFH – 19.194 19.434

Class IU – 19.36 19.481Class is denominated in EUR. The base currency of the Portfolio is USD.4Class is denominated in CHF. The base currency of the Portfolio is USD.5Class is denominated in SGD. The base currency of the Portfolio is USD.


Threadneedle (Lux) - American Absolute Alpha

31


2014

Notes USD

2014

Notes USD


Assets

Investment portfolio at market value 2 68,013,710Cash at bank 2 2,447,339Term deposits 2 187,564,405Receivable for investments sold 7,624,348Subscriptions receivable 241,235Interest receivable on swaps 69,129Interest and dividends receivable, net 49,214


Liabilities

Payable for investments purchased (4,297,022)Redemptions payable (1,491,867)Interest payable on swaps (227,095)Dividend payable on swaps 2 (185,772)Net unrealised loss on forward foreign exchange contracts 2, 8 (917,876)Net unrealised loss on swaps 2, 9 (702,111)Asset management fees payable 4 (247,599)Performance fees payable 7 (977,404)Other liabilities (66,729)



NUMBER OF SHARES OUTSTANDINGClass AEH 3,100,954.609Class AFH 230,573.000Class AGH 734,197.957Class AU 1,286,948.398Class DEH 123,487.444Class DU 100,028.010Class IEH 3,305,369.061Class IGH 626,231.289Class IU 403,917.068Class ZGH 16,265.656


Class AFH 15.484 15.254 –Class AGH 16.743 16.403 16.013



Class IGH 22.843 22.203 21.593

Class IU 22.78 22.20 21.59Class ZGH 15.563 15.173 –1Class is denominated in EUR. 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 CHF. The base currency of the Portfolio is USD.


Income

Dividends, net 2 384,423Bank interest 75,859Interest income on swaps 2 146,663


Expenses

Asset management fees 4 (2,064,008)Performance fees 7 (977,404)Bank fees (848)Dividends expenses (1,096,314)Interest expense on swaps (531,089)Other operating expenses 4 (595,119)


Net (loss) from investments (4,657,837)

Net realised gain on sales of investments 20,900,929Net realised (loss) on swaps (13,003,404)Net realised gain on forward foreign exchange contracts 12,748,680Net realised (loss) on foreign exchange (304,218)


Change in net unrealised gain on investments 1,154,639Change in net unrealised (loss) on forward foreign exchange contracts (248,178)Change in net unrealised (loss) on swaps (665,410)








Threadneedle (Lux) - Absolute Emerging Market Macro

32



2014

Notes USD

2014

Notes USD


Assets

Investment portfolio at market value 2 4,622,371Cash at bank 2 343,508Receivable for investments sold 548,109Interest receivable on swaps 105,976Interest and dividends receivable, net 54,735Net unrealised gain on futures 2, 10 21,938Net unrealised gain on swaps 2, 9 39,532


Liabilities

Payable for investments purchased (397,601)Redemptions payable (28,159)Interest payable on swaps (105,385)Net unrealised loss on forward foreign exchange contracts 2, 8 (57,675)Asset management fees payable 4 (6,470)Performance fees payable 7 (394)Other liabilities (1,321)



NUMBER OF SHARES OUTSTANDINGClass AEH 67,006.341Class AFH 13,166.667Class AGH 7,239.655Class AU 4,113.921Class DEH 46,219.823Class DU 10,733.333Class IEH 77,444.500Class IGH 5,000.000


Class AFH 15.024 15.714 14.714

Class AGH 15.403 16.023 14.903



Class IFH# – 21.134 19.854

Class IGH 21.193 21.863 20.123

Class IU# – 21.41 20.041Class is denominated in EUR. 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 CHF. The base currency of the Portfolio is USD.#See note 1.


Income

Interest on bonds, net 2 203,919Bank interest 635Interest income on swaps 2 698,486Other income 49


Expenses

Asset management fees 4 (75,895)Performance fees 7 (394)Bank fees (705)Interest expense on swaps (718,644)Other operating expenses 4 (15,373)



Net realised (loss) on sales of investments (160,764)Net realised (loss) on swaps (269,519)Net realised gain on forward foreign exchange contracts 334,881Net realised (loss) on futures (9,121)Net realised (loss) on foreign exchange (5,920)

Net realised (loss) (110,443)

Change in net unrealised gain on investments 156,531Change in net unrealised gain on futures 21,938Change in net unrealised (loss) on forward foreign exchange contracts (77,331)Change in net unrealised gain on swaps 69,435









Threadneedle (Lux) - Multi Asset Target Alpha

33


2014

Notes USD

2014

Notes USD


Assets

Investment portfolio at market value 2 12,832,848Cash at bank 2 544,760Interest and dividends receivable, net 28,748


Liabilities

Bank overdrafts (20,374)Interest payable on swaps (1,608)Net unrealised loss on forward foreign exchange contracts 2, 8 (4,033)Net unrealised loss on futures 2, 10 (9,223)Net unrealised loss on swaps 2, 9 (39,695)Asset management fees payable 4 (9,366)Other liabilities (2,565)



NUMBER OF SHARES OUTSTANDING Class AEH 54,490.541Class AGH 44,044.327Class AU 70,950.675Class IEH 40,000.000Class IGH 32,500.000Class IU 366,900.000Class ZGH 8,017.401

STATEMENT OF NET ASSET VALUE PER SHARE March 31, 2014 March 31, 2013Class AEH 15.151 15.211

Class AGH 15.253 15.253

Class AU 15.22 15.25Class IEH 20.441 20.351

Class IGH 20.573 20.413

Class IU 20.54 20.40Class ZGH 15.343 15.253

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


Income

Interest on bonds, net 2 80,793Bank interest 313Interest income on swaps 2 22,506Other income 2,595


Expenses

Asset management fees 4 (109,468)Bank fees (208)Interest expense on swaps (56,978)Interest expense on futures (809)Other operating expenses 4 (29,997)



Net realised (loss) on sales of investments (8,072)Net realised gain on swaps 91,436Net realised (loss) on options (46,721)Net realised gain on forward foreign exchange contracts 826,714Net realised (loss) on futures (109,615)Net realised (loss) on foreign exchange (79,030)


Change in net unrealised gain on investments 135,391Change in net unrealised (loss) on futures (11,424)Change in net unrealised gain on forward foreign exchange contracts 45,885Change in net unrealised (loss) on swaps (322,292)




Subscriptions of shares 299,391Redemptions of shares (58,861)



TOTAL NET ASSET VALUE March 31, 2014 March 31, 2013USD 13,319,492 12,647,943

Threadneedle (Lux) - Global Smaller Companies*

34



2014

Notes EUR

2014

Notes EUR


Assets

Investment portfolio at market value 2 4,949,111Cash at bank 2 343Receivable for investments sold 63,915Interest and dividends receivable, net 5,815Net unrealised gain on forward foreign exchange contracts 2, 8 10,947Other assets 4,806


Liabilities

Bank overdrafts (24,388)Payable for investments purchased (22,415)Asset management fees payable 4 (5,466)Other liabilities (1,336)



NUMBER OF SHARES OUTSTANDINGClass AE 188,129.807Class AGH 4,612.834Class DE 26,721.751Class IE 19,086.646Class IGH 43,181.731Class ZGH 261.438

STATEMENT OF NET ASSET VALUE PER SHARE March 31, 2014 March 31, 2013 March 31, 2012Class AE 16.05 16.29 15.31Class AGH 16.153 16.333 15.293

Class DE 12.68 12.94 12.20Class IE 21.88 22.02 20.55Class IGH 21.273 21.383 19.833

Class ZGH 15.553 15.643 –3Class is denominated in GBP. The base currency of the Portfolio is EUR.


Income

Dividends, net 2 32,733Bank interest 176Interest income on swaps 2 2,445

Total income 35,354

Expenses

Asset management fees 4 (92,586)Bank fees (50)Dividends expenses (14,170)Interest expense on swaps (51,335)Other operating expenses 4 (23,232)



Net realised gain on sales of investments 1,765,709Net realised (loss) on swaps (422,913)Net realised gain on forward foreign exchange contracts 49,315Net realised (loss) on foreign exchange (6,902)


Change in net unrealised (loss) on investments (1,398,127)Change in net unrealised (loss) on forward foreign exchange contracts (23,246)Change in net unrealised (loss) on swaps (64,443)


Net (decrease) in net assets as a results of operations (246,626)







Threadneedle (Lux) - Global Opportunities Bond

35


2014

Notes USD

2014

Notes USD


Assets

Investment portfolio at market value 2 284,405,617Cash at bank 2 16,444,965Term deposits 2 1,500,038Receivable for investments sold 1,011,770Subscriptions receivable 848,038Interest receivable on swaps 1,208,030Interest and dividends receivable, net 4,210,723Upfront payment on swap transactions 2 3,138,535Net unrealised gain on futures 2, 10 603,464


Liabilities

Bank overdrafts (830,940)Payable for investments purchased (7,882,624)Redemptions payable (336,335)Interest payable on swaps (1,195,830)Upfront payment received on swap transactions 2 (3,011,562)Net unrealised loss on forward foreign exchange contracts 2, 8 (291,921)Net unrealised loss on swaps 2, 9 (2,689,888)Asset management fees payable 4 (231,540)Performance fees payable 7 (31,353)Other liabilities (62,395)



NUMBER OF SHARES OUTSTANDINGClass AEH 944,005.460Class AFH 14,625.000Class AGH 3,561,622.755Class AU 37,986.258Class DEH 981,600.355Class DU 130,918.768Class IEH 3,447,348.226Class IFH 12,500.000Class IGH 1,066,531.768Class IU 177,197.484Class ZGH 4,875.951


Class AFH 15.444 14.934 –Class AGH 16.953 16.293 15.723



Class IFH# 20.784 – –Class IGH 23.083 22.083 21.073

Class IU 22.99 22.03 21.02Class ZGH 15.703 15.023 –1Class is denominated in EUR. 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 CHF. The base currency of the Portfolio is USD.#See note 1.


Income

Interest on bonds, net 2 10,070,633Bank interest 23,022Interest income on swaps 2 7,001,803Other income 10,512


Expenses

Asset management fees 4 (2,108,836)Performance fees 7 (31,353)Bank fees (3,370)Interest expense on swaps (6,572,477)Interest expense on futures (12,886)Other operating expenses 4 (563,386)



Net realised gain on sales of investments 1,209,198Net realised (loss) on swaps (1,499,278)Net realised (loss) on options (1,407,806)Net realised gain on forward foreign exchange contracts 12,848,875Net realised (loss) on futures (3,371,232)Net realised gain on foreign exchange 139,400


Change in net unrealised gain on investments 11,677,788Change in net unrealised gain on futures 891,404Change in net unrealised gain on forward foreign exchange contracts 538,558Change in net unrealised (loss) on swaps (2,873,316)Change in net unrealised (loss) on options (2,661)








Threadneedle (Lux) - European Select*

36



2014

Notes EUR

2014

Notes EUR


Assets

Investment portfolio at market value 2 6,203,761Cash at bank 2 27,236Receivable for investments sold 21,546Subscriptions receivable 14,515Interest and dividends receivable, net 22,202Net unrealised gain on forward foreign exchange contracts 2, 8 4,032Other assets 3,206


Liabilities

Payable for investments purchased (37,135)Redemptions payable (2,807)Asset management fees payable 4 (3,098)Other liabilities (1,035)



NUMBER OF SHARES OUTSTANDINGClass AE 5,192.347Class AGH 3,454.768Class AUH 41,516.667Class IE 251,895.070Class ZGH 3,991.390

STATEMENT OF NET ASSET VALUE PER SHARE March 31, 2014 March 31, 2013 March 31, 2012Class AE 16.17 16.18 15.04Class AFH# – 16.144 15.034

Class AGH 16.543 16.333 15.063

Class AUH 16.412 16.312 15.062

Class DE# – 12.88 12.02Class IE 21.94 21.74 20.08Class IGH# – 21.843 20.103

Class ZGH 16.413 16.253 –2Class is denominated in USD. The base currency of the Portfolio is EUR.3Class is denominated in GBP. The base currency of the Portfolio is EUR.4Class is denominated in CHF. The base currency of the Portfolio is EUR.#See note 1.


Income

Dividends, net 2 90,372Bank interest 477Interest income on swaps 2 3,181

Total income 94,030

Expenses

Asset management fees 4 (72,116)Bank fees (8)Dividends expenses (23,793)Interest expense on swaps (11,245)Other operating expenses 4 (21,757)



Net realised gain on sales of investments 490,012Net realised (loss) on swaps (271,989)Net realised gain on forward foreignexchange contracts 159,113Net realised (loss) on foreign exchange (3,033)


Change in net unrealised (loss) on investments (134,599)Change in net unrealised (loss) on forward foreign exchange contracts (134,940)Change in net unrealised (loss) on swaps (299,675)


Net (decrease) in net assets as a results of operations (230,000)







Threadneedle (Lux) - Enhanced Commodities

37


2014

Notes USD

2014

Notes USD


Assets

Investment portfolio at market value 2 584,923,357Cash at bank 2 14,267,475Subscriptions receivable 901,295


Liabilities

Redemptions payable (1,057,712)Interest payable on swaps (84,036)Net unrealised loss on forward foreignexchange contracts 2, 8 (2,274,015)Net unrealised loss on swaps 2, 9 (727,271)Asset management fees payable 4 (539,950)Other liabilities (144,601)



NUMBER OF SHARES OUTSTANDINGClass AEH 2,962,480.416Class AFH 2,784,416.849Class AGH 107,786.458Class ASH 234,739.733Class AU 2,295,822.537Class DEH 283,888.867Class DU 89,125.707Class IEH 2,560,451.083Class IFH 117,202.024Class IGH 635,867.261Class IKH 3,277,160.134Class IU 4,916,374.663Class XGH 1,249,233.146Class XU 2,608,931.386Class ZGH 721,168.480


Class AFH 12.684 13.664 14.694

Class AGH 17.023 18.243 19.433

Class ASH 8.495 9.125 9.725



Class IFH 17.444 18.654 19.884

Class IGH 23.393 24.833 26.243

Class IKH 178.566 188.956 –Class IU 23.67 25.13 26.48Class XGH 21.613 22.703 23.743

Class XU 23.34 24.51 25.56Class ZGH 13.353 14.163 –1Class is denominated in EUR. 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 CHF. The base currency of the Portfolio is USD.5Class is denominated in SGD. The base currency of the Portfolio is USD.6Class is denominated in SEK. The base currency of the Portfolio is USD.

Net assets at the beginning of the year 1,102,625,937

Income



Expenses

Asset management fees 4 (8,932,608)Bank fees (8,413)Interest expense on swaps (2,099,445)Other operating expenses 4 (2,426,628)


Net (loss) from investments (12,057,713)

Net realised gain on sales of investments 1,483,074Net realised (loss) on swaps (70,132,602)Net realised gain on forward foreign exchange contracts 37,763,722Net realised (loss) on foreign exchange (1,090,320)


Change in net unrealised (loss) on investments (603,321)Change in net unrealised loss on forward foreign exchange contracts (4,142,489)Change in net unrealised gain on swaps 1,360,141




Subscriptions of shares 712,668,828Redemptions of shares (1,172,610,715)



TOTAL NET ASSET VALUE March 31, 2014 March 31, 2013 March 31, 2012USD 595,264,542 1,102,625,937 554,961,642


38


Market % of

Value Net Asset

Nominal Value Investment USD Value

Market % of

Value Net Asset


Portfolio Statementas at March 31, 2014


Transferable securities and money market instruments admitted

to an offi cial exchange listing

Bonds

AUSTRALIA

USD 130,000 BHP Billiton Finance USA Limited 3.85% 30/09/2023 132,780 1.00

Total Australia 132,780 1.00

AUSTRIA

EUR 100,000 Hypo Alpe-Adria International 2.38% 13/12/2022 138,699 1.04

Total Austria 138,699 1.04

BELGIUM

EUR 100,000 KBC Groep NV FRN 19/12/2049 135,517 1.01

Total Belgium 135,517 1.01

DENMARK

EUR 100,000 Danske Bank A/S FRN 31/10/2049 138,112 1.03

Total Denmark 138,112 1.03

FRANCE

GBP 70,000 Electricite de France 5.88% 18/07/2031 134,272 1.01

Total France 134,272 1.01

GUERNSEY - CHANNEL ISLANDS

USD 100,000 Csg Guernsey I Limited 7.88% 24/02/2041 108,689 0.81

Total Guernsey -

Channel Islands 108,689 0.81

IRELAND

JPY 10,000,000 DePfa ACS Bank 1.65% 20/12/2016 97,249 0.73

USD 231,000 Rosneft 4.20% 06/03/2022 206,590 1.55

Total Ireland 303,839 2.28

ITALY

EUR 100,000 Banca Monte dei Paschi di Siena SpA 3.50% 20/03/2017 144,503 1.08

Total Italy 144,503 1.08


to an offi cial exchange listing (continued)

Bonds (continued)

LUXEMBOURG

EUR 200,000 Gelf Bond Issuer I SA 3.13% 03/04/2018 287,779 2.16

USD 200,000 Sberbank of Russia Via SB Capital SA 6.13% 07/02/2022 207,297 1.55

Total Luxembourg 495,076 3.71

NETHERLANDS

EUR 125,000 ING Bank NV FRN 29/05/2023 195,130 1.46

Total Netherlands 195,130 1.46

NORWAY

USD 200,000 Eksportfi nans ASA 2.00% 15/09/2015 198,187 1.48

Total Norway 198,187 1.48

PERU

USD 150,000 Consorcio de Alimentos 3.88% 20/03/2023 140,044 1.05

Total Peru 140,044 1.05

SRI LANKA

USD 200,000 National Savings Bank 8.88% 18/09/2018 223,622 1.68

Total Sri Lanka 223,622 1.68

UNITED KINGDOM

USD 141,000 Bat International Finance plc 3.25% 07/06/2022 138,555 1.04

GBP 100,000 Bupa Finance plc 5.00% 25/04/2023 167,961 1.25

USD 200,000 Imperial Tobacco Finance plc 3.50% 11/02/2023 192,545 1.44

USD 100,000 LBG Capital No.1 plc 7.88% 01/11/2020 109,565 0.82

GBP 50,000 Legal & General Group plc FRN 23/07/2041 110,963 0.82

GBP 100,000 Pennon Group plc FRN 08/03/2049 177,078 1.33

GBP 50,000 RSA Insurance Group plc FRN 20/05/2039 101,229 0.76

GBP 75,000 Tesco plc 5.50% 13/12/2019 139,360 1.04

Total United Kingdom 1,137,256 8.50

39



Portfolio Statement(continued)

Market % of

Value Net Asset


Market % of

Value Net Asset





Bonds (continued)

UNITED STATES

USD 130,000 Anheuser-Busch InBev Inc. 5.38% 15/01/2020 149,429 1.12

USD 206,000 At&t Inc. 2.38% 27/11/2018 207,482 1.56 USD 141,000 Hewlett-Packard Company

2.75% 14/01/2019 142,586 1.07 USD 175,000 Pemex Project Funding Master

Trust 5.75% 01/03/2018 195,513 1.46 USD 39,000 PPL Capital Funding Inc. 4.20%

15/06/2022 40,390 0.30 USD 148,000 Verizon Communications Inc.

2.45% 01/11/2022 135,094 1.01 USD 94,000 Verizon Communications Inc.

5.15% 15/09/2023 102,815 0.77 USD 70,000 Yum! Brands Inc. 3.88%

01/11/2023 69,707 0.52

Total United States 1,043,016 7.81

VENEZUELA

USD 180,000 Petroleos de Venezuela SA 8.50% 02/11/2017 151,286 1.13

Total Venezuela 151,286 1.13

Total Bonds 4,820,028 36.08

Supranationals, Governments and Local Public Authorities,

Debt Instruments

AUSTRALIA

AUD 115,000 Australia (Govt of) 4.50% 21/04/2033 104,461 0.78


BELGIUM

EUR 110,000 Belgium (Govt of) 2.60% 22/06/2024 156,940 1.18

EUR 65,000 Belgium (Govt of) 3.00% 22/06/2034 90,081 0.67


CANADA

CAD 225,000 Canada Housing Trust No 1 2.35% 15/12/2018 207,836 1.56

CAD 175,000 Canada Housing Trust No 1 3.15% 15/09/2023 163,164 1.22

Total Canada 371,000 2.78




Debt Instruments (continued)

DOMINICAN REPUBLIC

USD 100,000 Dominican (Govt of) 7.50% 06/05/2021 111,970 0.84

Total Dominican Republic 111,970 0.84

GERMANY

EUR 50,000 Germany (Govt of) 2.50% 04/07/2044 69,974 0.52

Total Germany 69,974 0.52

ITALY

EUR 125,000 Italy (Govt of) BPT 3.75% 01/09/2024 178,815 1.34





JAPAN

JPY 17,000,000 Japan (Govt of) Thirty Year Bond 2.00% 20/03/2042 177,161 1.33

Total Japan 177,161 1.33

MEXICO

GBP 100,000 Mexico (Govt of) 5.63% 19/03/2114 160,419 1.20

MXN 4,750,000 Mexico (Govt of) Bonos 10.00% 05/12/2024 472,179 3.53

Total Mexico 632,598 4.73

POLAND

USD 100,000 Poland (Govt of) 5.00% 23/03/2022 109,327 0.82

Total Poland 109,327 0.82

PORTUGAL

EUR 190,000 Portugal (Govt of) OT 4.75% 14/06/2019 284,388 2.13

Total Portugal 284,388 2.13

40




Market % of

Value Net Asset


Market % of

Value Net Asset







SLOVENIA

USD 200,000 Slovenia (Govt of) 4.13% 18/02/2019 207,147 1.55

Total Slovenia 207,147 1.55

SOUTH AFRICA

ZAR 3,699,543 South Africa (Govt of) 7.00% 28/02/2031 298,166 2.23

Total South Africa 298,166 2.23

SPAIN

EUR 110,000 Spain (Govt of) 3.80% 30/04/2024 159,002 1.19 EUR 110,000 Spain (Govt of) 5.40% 31/01/2023 179,113 1.34

Total Spain 338,115 2.53

SUPRANATIONAL

USD 200,000 African Export-Import Bank 5.75% 27/07/2016 213,113 1.60

Total Supranational 213,113 1.60

UNITED KINGDOM

GBP 45,000 United Kingdom Gilt 4.50% 07/09/2034 87,462 0.66

Total United Kingdom 87,462 0.66

Total Supranationals, Governments and Local

Public Authorities, Debt Instruments 3,627,804 27.17

Total Transferable securities and money

market instruments admitted to an

offi cial exchange listing 8,447,832 63.25

Transferable securities and money market instruments dealt in on another

regulated market and recently issued transferable securities

Bonds

CANADA

USD 40,000 Thomson Reuters Corp. 4.30% 23/11/2023 40,991 0.31

USD 67,000 Xstrata Finance Canada Limited 4.95% 15/11/2021 69,770 0.52



regulated market and recently issued transferable securities (continued)

Bonds (continued)

MEXICO

USD 20,000 Petroleos Mexicanos 6.38% 23/01/2045 21,671 0.16


NETHERLANDS

USD 175,000 Petrobras Global Finance BV 3.25% 17/03/2017 175,778 1.32


NORWAY



UNITED KINGDOM

USD 140,000 Abbey National Treasury Services plc 4.00% 13/03/2024 141,046 1.06

USD 86,000 Royal Bank of Scotland Group 6.13% 15/12/2022 90,224 0.68


UNITED STATES

USD 70,000 American International Group Inc. 4.13% 15/02/2024 71,654 0.54

USD 140,000 Bank of America Corp. 4.00% 01/04/2024 140,011 1.05

USD 135,000 Chevron Corp. 3.19% 24/06/2023 133,897 1.00 USD 142,000 Citigroup Inc. 3.50% 15/05/2023 134,140 1.00 USD 138,000 CVS Caremark Corp. 4.00%

05/12/2023 141,909 1.06 USD 140,000 Directv Holdings LLC 4.45%

01/04/2024 140,883 1.06 USD 65,000 Enterprise Products Operating

LLC 3.90% 15/02/2024 65,148 0.49 USD 69,000 Kansas City Southern Railway

Company 3.85% 15/11/2023 67,964 0.51 USD 135,000 Mckesson Corp. 2.28%

15/03/2019 134,390 1.01 USD 70,000 Metlife Inc. 4.37% 15/09/2023 74,655 0.56 USD 140,000 Novartis Capital Corp. 3.40%

06/05/2024 140,236 1.05 USD 80,000 Pacifi c Gas & Electric Company

3.85% 15/11/2023 80,988 0.61 USD 70,000 PPL Capital Fund 3.95%

15/03/2024 70,096 0.52

41




Market % of

Value Net Asset


Market % of

Value Net Asset





Bonds (continued)

UNITED STATES (continued)

USD 20,000 Private Export Funding Corp. 5.45% 15/09/2017 22,743 0.17

USD 65,000 Time Warner Cable Inc. 5.50% 01/09/2041 68,024 0.51


Total Bonds 2,176,932 16.32

Mortgage and Asset Backed Securities

UNITED STATES

USD 242,919 Fannie Mae Pool 3.50% 01/04/2026 254,648 1.91





USD 233,829 Freddie Mac Gold Pool 3.50% 01/02/2041 235,108 1.77






Total Mortgage and Asset Backed Securities 1,649,565 12.35




Debt Instruments

UNITED STATES

USD 175,000 Port Authority of New York & New Jersey 4.46% 01/10/2062 164,078 1.23

USD 85,000 United States Treasury N/B 3.13% 15/02/2042 78,678 0.59

Total United States 242,756 1.82


Public Authorities, Debt Instruments 242,756 1.82

Total Transferable securities and money market

instruments dealt in on another regulated market

and recently issued transferable securities 4,069,253 30.49

Other transferable securities and money market instruments

Bonds

NETHERLANDS

USD 135,000 Heineken NV 3.40% 01/04/2022 134,746 1.01


UNITED STATES

USD 200,000 Sabmiller Holdings Inc. 2.20% 01/08/2018 200,429 1.50


Total Bonds 335,175 2.51

Total Other transferable securities and money

market instruments 335,175 2.51

Total value of investments 12,852,260 96.25

(Total cost: USD 12,685,823)


42


Market % of

Value Net Asset

Nominal Value Investment EUR Value

Market % of

Value Net Asset






Bonds

AUSTRALIA

EUR 100,000 BHP Billiton Finance Limited 2.13% 29/11/2018 104,154 0.31

EUR 100,000 Santos Finance Limited FRN 22/09/2070 113,346 0.33

EUR 200,000 Spi Electricity & Gas Australia Holdings Pty Limited 2.38% 24/07/2020 205,203 0.61


AUSTRIA

EUR 100,000 BAWAG PSK Bank fuer Arbeit und Wirtschaft und Oesterreichische Postsparkasse AG 8.13% 30/10/2023 112,460 0.33

EUR 50,000 Hypo Alpe-Adria - ADR 4.38% 24/01/2017 49,981 0.15

EUR 100,000 Hypo Alpe-Adria International 2.38% 13/12/2022 100,634 0.30

EUR 100,000 Raiffeisenlandesbank Niederoesterreich-Wien AG 5.88% 27/11/2023 102,126 0.30

EUR 100,000 Vienna Insurance Group FRN 09/10/2043 108,057 0.32


BELGIUM

EUR 150,000 Anheuser-Busch InBev NV 1.95% 30/09/2021 150,197 0.44

EUR 200,000 Anheuser-Busch InBev NV 2.25% 24/09/2020 206,584 0.60

EUR 51,000 KBC Bank NV 8.00% 29/05/2049 51,467 0.15 EUR 100,000 KBC Groep NV FRN 19/12/2049 98,326 0.29


CANADA

EUR 400,000 Canadian Imperial Bank of Commerce 1.25% 07/08/2018 406,431 1.19

EUR 100,000 Total Capital Canada Limited 1.88% 09/07/2020 101,773 0.30


CAYMAN ISLANDS

EUR 100,000 Petrobras International Finance Company 4.88% 07/03/2018 107,557 0.32

GBP 50,000 Yorkshire Water FRN 24/04/2025 65,818 0.19

Total Cayman Islands 173,375 0.51



Bonds (continued)

DENMARK

GBP 45,000 Danske Bank FRN 29/09/2021 57,194 0.17 EUR 100,000 Danske Bank A/S FRN

31/10/2049 100,209 0.29


FINLAND

EUR 170,000 Citycon OYJ 3.75% 24/06/2020 178,443 0.52 EUR 200,000 Nordea Bank Finland AB 2.38%

02/09/2016 209,122 0.61

Total Finland 387,565 1.13

FRANCE

EUR 50,000 Banque PSA Finance SA 3.63% 29/04/2014 50,098 0.15

EUR 110,000 BNP Paribas SA 2.25% 13/01/2021 111,629 0.33

EUR 100,000 Casino Guichard Perrachon SA 3.99% 09/03/2020 110,379 0.32

EUR 200,000 Credit Agricole Covered Bonds 4.50% 29/01/2016 214,829 0.63

EUR 330,000 Dexia Credit Local SA 1.00% 11/07/2016 333,264 0.98

EUR 500,000 Dexia Credit Local SA 1.38% 18/09/2019 500,259 1.46

EUR 100,000 GDF Suez FRN 10/07/2049 103,668 0.30 EUR 100,000 Societe des Autoroutes Paris-

Rhin-Rhone 2.25% 16/01/2020 102,291 0.30

Total France 1,526,417 4.47

GERMANY

EUR 100,000 BSH Bosch Und Siemen 1.88% 13/11/2020 100,987 0.30

EUR 100,000 Deutsche Raststätten Gruppe IV GmbH 6.75% 30/12/2020 109,437 0.32

GBP 200,000 Landeskreditbank Baden-Wuerttemberg Foerderbank 0.88% 15/12/2017 235,198 0.69

EUR 100,000 Talanx Ag 3.13% 13/02/2023 105,967 0.31 EUR 100,000 Unitymedia Hessen GmbH &

Company 7.50% 15/03/2019 108,928 0.32


IRELAND

EUR 135,000 Bank of Ireland 3.25% 15/01/2019 140,031 0.41

EUR 100,000 ESB Finance Limited 3.49% 12/01/2024 106,766 0.31

43




Market % of

Value Net Asset


Market % of

Value Net Asset





Bonds (continued)

IRELAND (continued)

EUR 100,000 ESB Finance Limited 4.38% 21/11/2019 113,877 0.33

EUR 100,000 FGA Capital Ireland 2.88% 26/01/2018 101,962 0.30

EUR 100,000 FGA Capital Ireland 4.00% 17/10/2018 105,959 0.31

EUR 100,000 GE Capital European Funding 2.88% 17/09/2015 103,259 0.30



EUR 111,000 Swisscom AG via Lunar Funding V 2.00% 30/09/2020 112,447 0.33


ITALY

EUR 100,000 Assicurazioni Generali SpA 2.88% 14/01/2020 103,238 0.30

EUR 600,000 Banca Monte dei Paschi di Siena SpA 3.50% 20/03/2017 629,069 1.84

EUR 100,000 Davide Campari-Milano SpA 4.50% 25/10/2019 108,084 0.32

EUR 225,000 Eni SpA 4.25% 03/02/2020 255,662 0.74

Total Italy 1,096,053 3.20

JAPAN

EUR 100,000 Softbank Corp. 4.63% 15/04/2020 105,203 0.31


JERSEY - CHANNEL ISLANDS

EUR 100,000 Atrium European Real Estate Limited 4.00% 20/04/2020 102,858 0.30

EUR 100,000 Prosecure Funding LP 4.67% 30/06/2016 104,874 0.31

GBP 50,000 UBM plc 6.50% 23/11/2016 66,949 0.20

Total Jersey - Channel Islands 274,681 0.81

LUXEMBOURG

EUR 200,000 Gelf Bond Issuer I SA 3.13% 03/04/2018 208,800 0.61

EUR 100,000 Glencore Finance Europe SA 4.13% 03/04/2018 110,026 0.32

EUR 25,000 HeidelbergCement AG 8.00% 31/01/2017 29,209 0.09



Bonds (continued)

LUXEMBOURG (continued)

EUR 120,000 John Deere Bank SA FRN 19/03/2019 120,497 0.35

EUR 125,000 Prologis International Funding II SA 2.88% 04/04/2022 124,485 0.37


MEXICO

EUR 300,000 Petroleos Mexicanos 5.50% 09/01/2017 334,277 0.97


NETHERLANDS

EUR 100,000 Achmea BV 2.50% 19/11/2020 101,740 0.30 EUR 100,000 Aegon NV 3.00% 18/07/2017 106,139 0.31 EUR 50,000 Allianz Finance II BV FRN

13/01/2025 52,054 0.15 EUR 160,000 Bharti Airtel International

Netherlands BV 4.00% 10/12/2018 167,043 0.49

EUR 37,000 Celesio Finance BV 4.50% 26/04/2017 40,193 0.12

EUR 100,000 CRH Finance BV 5.00% 25/01/2019 115,199 0.33 EUR 100,000 Deutsche Annington Finance

BV 2.13% 25/07/2016 101,906 0.30 EUR 77,000 Deutsche Annington Finance

BV 3.63% 08/10/2021 81,986 0.24 EUR 100,000 F Van Lanschot Bankiers NV

4.63% 22/04/2014 100,210 0.29 EUR 200,000 HIT Finance BV 5.75% 09/03/2018 231,560 0.68 EUR 100,000 ING Bank NV FRN 29/05/2023 113,263 0.33 EUR 100,000 ING Bank NV FRN 25/02/2026 100,767 0.30 EUR 100,000 KBC Internationale

Financieringsmaatschappij NV 2.13% 10/09/2018 102,740 0.30

EUR 60,000 Linde Finance BV FRN 14/07/2066 67,624 0.20

EUR 100,000 Madrilena Red de Gas Finance BV 3.78% 11/09/2018 107,485 0.32

GBP 65,000 Postnl NV 7.50% 14/08/2018 92,380 0.27 EUR 100,000 Redexis Gas Finance BV 2.75%

08/04/2021 99,668 0.29 EUR 100,000 Repsol International Finance BV

4.38% 20/02/2018 110,979 0.33 EUR 145,000 Roche Finance Europe BV

2.00% 25/06/2018 151,757 0.44 EUR 100,000 Shell International Finance BV

1.63% 24/03/2021 99,813 0.30 EUR 100,000 Telefonica Europe BV FRN

29/09/2049 106,925 0.31

44




Market % of

Value Net Asset


Market % of

Value Net Asset





Bonds (continued)

NETHERLANDS (continued)

EUR 100,000 TenneT Holding BV 2.13% 01/11/2020 101,934 0.30

EUR 55,000 TenneT Holding BV 6.66% 28/02/2049 61,081 0.18

Total Netherlands 2,414,446 7.08

NORWAY

EUR 100,000 Avinor AS 1.75% 20/03/2021 100,371 0.30 EUR 400,000 DnB Nor Boligkreditt 2.63%

11/01/2016 415,499 1.22 EUR 100,000 Sparebank 1 2.13% 27/02/2019 102,302 0.30 EUR 170,000 Statoil ASA 2.00% 10/09/2020 174,180 0.51


REPUBLIC OF KOREA (SOUTH)

EUR 150,000 Export-Import Bank of Korea 2.00% 30/04/2020 150,119 0.44

Total Republic of Korea (South) 150,119 0.44

RUSSIAN FEDERATION

EUR 100,000 Gazprom (Gaz Capital SA) 3.76% 15/03/2017 102,207 0.30

Total Russian Federation 102,207 0.30

SPAIN

EUR 100,000 BBVA Senior Finance SAU 3.75% 17/01/2018 108,088 0.32

EUR 100,000 Caixabank SA 2.63% 21/03/2024 100,352 0.29 EUR 100,000 Enagas Financiaciones Sau

2.50% 11/04/2022 100,255 0.29 EUR 100,000 Ferrovial Emisiones SA 3.38%

30/01/2018 106,416 0.31 EUR 100,000 Santander International Debt

SAU 4.63% 21/03/2016 106,727 0.31 GBP 130,000 Telefonica Emisiones SAU

5.38% 02/02/2018 171,229 0.50


SWEDEN

EUR 100,000 Nordea Bank AB 1.38% 12/04/2018 100,654 0.30

EUR 100,000 Skandinaviska Enskilda Banken AB 2.00% 18/03/2019 102,533 0.30



Bonds (continued)

SWEDEN (continued)

EUR 350,000 Sveriges Sakerstallda Obligationer AB 3.25% 30/03/2017 377,516 1.11

Total Sweden 580,703 1.71

SWITZERLAND

EUR 65,000 Credit Suisse 3.88% 25/01/2017 70,290 0.21 EUR 100,000 Credit Suisse AG FRN 18/09/2025 109,042 0.32 EUR 100,000 UBS AG FRN 12/02/2026 102,742 0.30

Total Switzerland 282,074 0.83

UNITED KINGDOM

GBP 100,000 AA Bond Company Limited 9.50% 31/07/2019 137,104 0.41

EUR 100,000 Abbey National Treasury Services plc 4.38% 24/01/2018 113,239 0.33

EUR 100,000 Aviva plc FRN 05/07/2043 115,139 0.34 EUR 150,000 Barclays Bank plc 2.25%

22/02/2017 157,180 0.46 EUR 75,000 Barclays Bank plc 6.00%

14/01/2021 87,530 0.26 EUR 111,000 Bat International Finance FRN

06/03/2018 111,311 0.33 EUR 100,000 Bat International Finance plc

5.38% 29/06/2017 113,847 0.34 GBP 175,000 BG Energy Capital plc FRN

30/11/2072 230,360 0.68 GBP 45,000 British Telecommunications plc

8.50% 07/12/2016 63,779 0.19 GBP 85,000 Bupa Finance plc 7.50%

04/07/2016 115,607 0.34 GBP 50,000 Company-Operative Bank plc

5.13% 20/09/2017 60,141 0.18 GBP 92,000 Enw Capital Finance plc 6.75%

20/06/2015 118,235 0.36 GBP 40,000 First Hydro Finance plc 9.00%

31/07/2021 64,060 0.19 GBP 70,000 G4s plc 7.75% 13/05/2019 101,020 0.30 GBP 30,000 GKN Holdings plc 6.75%

28/10/2019 42,341 0.12EUR 105,000 HSBC Holdings plc FRN

10/01/2024 108,777 0.32 EUR 70,000 Imperial Tobacco Finance plc

8.38% 17/02/2016 79,674 0.23

45




Market % of

Value Net Asset


Market % of

Value Net Asset





Bonds (continued)

UNITED KINGDOM (continued)

GBP 50,000 LBG Capital No.1 plc 11.04% 19/03/2020 66,355 0.19

EUR 75,000 Lloyds TSB Bank plc 6.38% 17/06/2016 84,054 0.25

GBP 50,000 London Power Networks 5.38% 11/11/2016 66,045 0.19

GBP 100,000 Motability Operations Group plc 5.25% 28/09/2016 131,949 0.39

GBP 100,000 Nationwide Building Society FRN 11/03/2049 122,232 0.36

EUR 100,000 NGG Finance plc FRN 18/06/2076 102,840 0.30

EUR 300,000 Northern Rock plc 3.88% 16/11/2020 342,682 1.01

GBP 100,000 Pennon Group plc FRN 08/03/2049 128,480 0.38

EUR 100,000 Rentokil Initial plc 3.38% 24/09/2019 106,454 0.31

EUR 60,000 Royal Bank of Scotland plc 6.93% 09/04/2018 68,573 0.20

EUR 50,000 Royal Bank of Scotland plc 10.50% 16/03/2022 60,884 0.18

GBP 50,000 RSA Insurance Group plc FRN 20/05/2039 73,447 0.22

GBP 35,000 Tesco plc 5.50% 13/12/2019 47,186 0.14 GBP 100,000 Virgin Media Secured Finance

plc 7.00% 15/01/2018 125,737 0.37


UNITED STATES

EUR 100,000 American International Group Inc. 4.38% 26/04/2016 106,735 0.31

GBP 100,000 American International Group Inc. 6.77% 15/11/2017 138,778 0.41

EUR 100,000 Bank of America Corp. 4.63% 07/08/2017 111,120 0.33

EUR 100,000 Bank of America Corp. FRN 06/05/2019 100,000 0.29

EUR 100,000 Citigroup Inc. FRN 31/05/2017 98,136 0.29 EUR 140,000 Citigroup Inc. 7.38% 04/09/2019 180,448 0.53 EUR 150,000 Metropolitan Life Global

Funding I 4.63% 16/05/2017 166,413 0.49 EUR 100,000 Microsoft Corp. 2.13%

06/12/2021 101,876 0.30 EUR 116,000 Procter & Gamble Company

2.00% 05/11/2021 117,646 0.35 EUR 125,000 Sabmiller Holdings Inc. 1.88%

20/01/2020 126,241 0.37



Bonds (continued)


EUR 425,000 Verizon Communications Inc. 2.38% 17/02/2022 430,369 1.27


Total Bonds 18,224,739 53.51


Debt Instruments

BELGIUM

EUR 920,000 Belgium (Govt of) 3.00% 28/09/2019 1,012,874 2.97

Total Belgium 1,012,874 2.97

BRAZIL

EUR 173,000 Brazil (Govt of) 2.88% 01/04/2021 172,753 0.51

Total Brazil 172,753 0.51

FRANCE

EUR 1,221,000 France (Govt of) OAT 1.00% 25/11/2018 1,230,799 3.61


ITALY


EUR 1,005,000 Italy (Govt of) BPT 3.75% 01/05/2021 1,078,214 3.17



Total Italy 4,963,430 14.59

LATVIA

EUR 550,000 Latvia (Govt of) 2.63% 21/01/2021 560,717 1.65

Total Latvia 560,717 1.65

MEXICO

EUR 500,000 Mexico (Govt of) 2.75% 22/04/2023 497,375 1.46


46




Market % of

Value Net Asset


Market % of

Value Net Asset







PORTUGAL

EUR 1,300,000 Portugal (Govt of) OT 4.75% 14/06/2019 1,411,799 4.15

Total Portugal 1,411,799 4.15


EUR 300,000 Export-Import Bank of Korea 4.63% 20/02/2017 328,614 0.96

EUR 350,000 Korea Development Bank 1.50% 30/05/2018 350,621 1.03


ROMANIA

EUR 550,000 Romania (Govt of) 4.63% 18/09/2020 586,611 1.72

Total Romania 586,611 1.72

RUSSIAN FEDERATION

EUR 400,000 Russia (Govt of) 3.63% 16/09/2020 405,978 1.19


SLOVENIA

EUR 785,000 Slovenia (Govt of) 4.00% 22/03/2018 849,213 2.49

EUR 530,000 Slovenia (Govt of) 4.38% 02/04/2014 530,133 1.56

Total Slovenia 1,379,346 4.05

SPAIN

EUR 700,000 Spain (Govt of) 2.75% 30/04/2019 730,503 2.14 EUR 350,000 Spain (Govt of) 3.80% 30/04/2024 367,071 1.08 EUR 390,000 Spain (Govt of) 5.40% 31/01/2023 460,756 1.35

Total Spain 1,558,330 4.57





SUPRANATIONAL

EUR 275,000 European Financial Stability Facility 1.75% 29/10/2020 280,748 0.82

EUR 400,000 European Investment Bank 1.50% 15/04/2021 401,324 1.18









Bonds

NETHERLANDS

EUR 100,000 ING Bank NV 3.25% 03/04/2019 107,882 0.32





and recently issued transferable securities 107,882 0.32


(Total cost: EUR 32,643,096)



47


Market % of

Value Net Asset


Market % of

Value Net Asset





Bonds

AZERBAIJAN

USD 250,000 State Oil Fund of the Azerbaijan Republic 4.75% 13/03/2023 240,263 0.29

Total Azerbaijan 240,263 0.29

BAHRAIN

USD 1,455,000 Batelco International Finance 4.25% 01/05/2020 1,425,063 1.74

Total Bahrain 1,425,063 1.74

BARBADOS

USD 750,000 Columbus International Inc. 7.38% 30/03/2021 773,457 0.95

Total Barbados 773,457 0.95

BRAZIL

USD 1,000,000 BRF - Brasil Foods SA 5.88% 06/06/2022 1,039,249 1.26

Total Brazil 1,039,249 1.26

CANADA

USD 1,250,000 Pacifi c Rubiales Energy Corp. 5.38% 26/01/2019 1,302,662 1.59

USD 500,000 Pacifi c Rubiales Energy Corp. 7.25% 12/12/2021 552,038 0.67

Total Canada 1,854,700 2.26

CAYMAN ISLANDS

USD 1,250,000 Anton Oilfi eld Services Group 7.50% 06/11/2018 1,319,693 1.61

USD 560,000 China Mengniu Dairy Company Limited 3.50% 27/11/2018 563,959 0.69

USD 600,000 Comcel Trust 6.88% 06/02/2024 632,907 0.77 USD 1,250,000 Fibria Overseas Finance

Limited 6.75% 03/03/2021 1,380,694 1.69 USD 250,000 Kaisa Group Holdings 8.88%

19/03/2018 242,610 0.30 USD 250,000 Kuwait Projects Company

9.38% 15/07/2020 313,786 0.38 USD 500,000 Maf Global Securities Limited

FRN 29/10/2049 535,530 0.65 USD 1,500,000 Maf Global Securities Limited

5.25% 05/07/2019 1,615,553 1.97 USD 1,000,000 Odbrcht Offshre Sink 6.63%

01/10/2022 1,040,120 1.27



Bonds (continued)

CAYMAN ISLANDS (continued)

USD 250,000 Sukuk Funding No 3 Limited 4.35% 03/12/2018 257,421 0.31

USD 1,000,000 Sun Hung Kai Properties Capital Market Limited 3.63% 16/01/2023 965,165 1.18

USD 385,000 Sun Hung Kai Properties Capital Market Limited FRN 25/02/2024 381,031 0.47

USD 1,500,000 Tencent Holdings Limited 3.38% 05/03/2018 1,538,588 1.88

USD 500,000 Tingyi Cayman Islands Holding Corp. 3.88% 20/06/2017 524,003 0.64

Total Cayman Islands 11,311,060 13.81

CHILE

USD 500,000 Saci Falabella 3.75% 30/04/2023 477,005 0.58

Total Chile 477,005 0.58

COLOMBIA

USD 1,250,000 Ecopetrol SA 7.63% 23/07/2019 1,504,262 1.83

Total Colombia 1,504,262 1.83

CROATIA

EUR 650,000 Agrokor dd 9.13% 01/02/2020 1,018,354 1.24 EUR 250,000 Agrokor dd 9.88% 01/05/2019 391,735 0.48 USD 250,000 Hrvatska Elektroprivreda

6.00% 09/11/2017 260,600 0.32

Total Croatia 1,670,689 2.04

CZECH REPUBLIC

EUR 500,000 CE Energy AS 7.00% 01/02/2021 718,203 0.88

EUR 1,000,000 EP Energy AS 4.38% 01/05/2018 1,440,547 1.76

EUR 580,000 RPG Byty sro 6.75% 01/05/2020 818,638 1.00

Total Czech Republic 2,977,388 3.64

GEORGIA

USD 1,500,000 Bank of Georgia JSC 7.75% 05/07/2017 1,603,702 1.96

USD 500,000 Georgian Railway JSC 7.75% 11/07/2022 535,630 0.66

Total Georgia 2,139,332 2.62

48




Market % of

Value Net Asset


Market % of

Value Net Asset





Bonds (continued)

HONG KONG

USD 750,000 Wharf Finance Limited 4.63% 08/02/2017 796,140 0.97

Total Hong Kong 796,140 0.97

INDIA

USD 425,000 Export-Import Bank of India 3.88% 02/10/2019 426,970 0.52

USD 595,000 Indian Railway Finance Corp. Limited 3.92% 26/02/2019 597,377 0.73

Total India 1,024,347 1.25

INDONESIA

USD 250,000 Adaro Indonesia PT 7.63% 22/10/2019 266,362 0.33

USD 1,050,000 Pertamina Persero PT 4.30% 20/05/2023 950,114 1.16

Total Indonesia 1,216,476 1.49

IRELAND

USD 500,000 Metalloinvest Finance Limited 5.63% 17/04/2020 474,767 0.58

USD 500,000 Rosneft 4.20% 06/03/2022 447,165 0.55 USD 1,075,000 Sibur Securities Limited 3.91%

31/01/2018 989,957 1.21 USD 750,000 Tinkoff Credit Systems via

Tcs Finance Limited 10.75% 18/09/2015 766,995 0.94

USD 500,000 Tinkoff Credit Systems via Tcs Finance Limited 14.00% 06/06/2018 535,185 0.65

Total Ireland 3,214,069 3.93

ISRAEL

USD 750,000 Israel Electric Corp. Limited 7.25% 15/01/2019 842,389 1.03

Total Israel 842,389 1.03

KAZAKHSTAN

USD 500,000 Kazmunaygas National Company Jsc 4.40% 30/04/2023 471,733 0.58

Total Kazakhstan 471,733 0.58



Bonds (continued)

LUXEMBOURG

USD 1,000,000 Altice Financing SA 7.88% 15/12/2019 1,091,080 1.33

USD 500,000 MHP SA 8.25% 02/04/2020 437,810 0.53 USD 554,000 MHP SA 10.25% 29/04/2015 548,471 0.67 USD 300,000 Sberbank of Russia Via SB

Capital SA 6.13% 07/02/2022 310,947 0.38 USD 500,000 Topaz Marine SA 8.63%

01/11/2018 526,005 0.64 USD 300,000 Wind Acquisition Finance SA

11.75% 15/07/2017 316,689 0.39

Total Luxembourg 3,231,002 3.94

MEXICO

USD 1,000,000 Alfa SAB de CV 5.25% 25/03/2024 1,027,320 1.25

USD 1,000,000 BBVA Bancomer SA 6.75% 30/09/2022 1,098,090 1.34

USD 1,250,000 Cemex SAB de CV 7.25% 15/01/2021 1,367,843 1.68

Total Mexico 3,493,253 4.27

NETHERLANDS

USD 750,000 Bharti Airtel International Netherlands BV 5.13% 11/03/2023 748,785 0.91

EUR 360,000 Cable Communications Systems NV 7.50% 01/11/2020 527,086 0.64

USD 250,000 Dtek Finance BV 9.50% 28/04/2015 240,120 0.29

USD 500,000 Lukoil International Finance BV 7.25% 05/11/2019 554,540 0.68

USD 250,000 Metinvest BV 8.75% 14/02/2018 232,860 0.28 USD 500,000 Myriad International Holding

BV 6.38% 28/07/2017 556,273 0.68 USD 500,000 Nostrum Oil & Gas Finance BV

6.38% 14/02/2019 512,045 0.63 USD 1,250,000 Zhaikmunai LP 7.13%

13/11/2019 1,304,193 1.59


PANAMA

USD 500,000 Avianca Holdings SA 8.38% 10/05/2020 528,380 0.65

Total Panama 528,380 0.65

49




Market % of

Value Net Asset


Market % of

Value Net Asset





Bonds (continued)

PERU

USD 1,250,000 BBVA Banco Continental SA 3.25% 08/04/2018 1,260,163 1.54

USD 375,000 BBVA Banco Continental SA 5.00% 26/08/2022 381,086 0.47

USD 585,000 Consorcio de Alimentos 3.88% 20/03/2023 546,171 0.67

Total Peru 2,187,420 2.68


USD 318,000 Korea Midland Power Company Limited 2.75% 11/02/2019 318,021 0.39

USD 500,000 Korea Western Power Company Limited 2.88% 10/10/2018 507,735 0.62

USD 500,000 Sk Broadband Company Limited 2.88% 29/10/2018 500,195 0.61

Total Republic of Korea (South) 1,325,951 1.62

RUSSIAN FEDERATION

USD 1,000,000 Gazprom Neft OAO via Gpn Capital SA 4.38% 19/09/2022 892,380 1.09

USD 500,000 Uralkali OJSC via Uralkali Finance Limited 3.72% 30/04/2018 479,530 0.59

Total Russian Federation 1,371,910 1.68

SPAIN

EUR 525,000 Obrascon Huarte Lain SA 8.75% 15/03/2018 799,413 0.98


SRI LANKA

USD 1,160,000 National Savings Bank 8.88% 18/09/2018 1,297,013 1.58

Total Sri Lanka 1,297,013 1.58

SWEDEN

EUR 270,000 TVN Finance Corp. II AB 7.38% 15/12/2020 409,411 0.50




Bonds (continued)

THAILAND

USD 880,000 PTT Exploration & Production pcl 3.71% 16/09/2018 903,914 1.10

USD 750,000 PTT Global Chemical pcl 4.25% 19/09/2022 731,955 0.89

USD 500,000 Thai Oil pcl 3.63% 23/01/2023 464,768 0.57

Total Thailand 2,100,637 2.56

TURKEY

USD 800,000 Akbank TAS 3.88% 24/10/2017 793,884 0.97 USD 1,250,000 Coca-Cola Icecek AS 4.75%

01/10/2018 1,313,881 1.60 USD 250,000 Export Credit Bank of Turkey

5.88% 24/04/2019 260,355 0.32

Total Turkey 2,368,120 2.89

UNITED ARAB EMIRATES

USD 860,000 Dolphin Energy Limited 5.50% 15/12/2021 974,324 1.19

USD 750,000 Dubai Electricity & Water Authority 7.38% 21/10/2020 907,844 1.10

USD 1,000,000 Emirates Nbd PJSC 4.63% 28/03/2017 1,065,555 1.30

Total United Arab Emirates 2,947,723 3.59

UNITED KINGDOM

USD 703,000 Afren plc 10.25% 08/04/2019 807,128 0.99 USD 250,000 Vedanta Resources plc 6.75%

07/06/2016 264,201 0.32


UNITED STATES

USD 500,000 Cemex Finance LLC 6.00% 01/04/2024 502,038 0.61

USD 750,000 Cemex Finance LLC 9.38% 12/10/2022 883,961 1.08


VENEZUELA

USD 1,750,000 Petroleos de Venezuela SA 8.50% 02/11/2017 1,470,839 1.80

Total Venezuela 1,470,839 1.80

50




Market % of

Value Net Asset


Market % of

Value Net Asset





Bonds (continued)

VIRGIN ISLANDS (BRITISH)

USD 500,000 CIP Power Hong Kong Financing Limited 4.75% 12/07/2021 531,750 0.65

USD 340,600 QGOG Atlantic 5.25% 30/07/2018 353,456 0.43

USD 500,000 Yingde Gases Investment 8.13% 22/04/2018 502,545 0.61

Total Virgin Islands (British) 1,387,751 1.69

Total Bonds 65,029,675 79.40


Debt Instruments

BELARUS

USD 250,000 Belarus (Govt of) 8.75% 03/08/2015 254,878 0.31

Total Belarus 254,878 0.31

HUNGARY

USD 130,000 Hungary (Govt of) 4.00% 25/03/2019 129,552 0.16


Total Hungary 521,254 0.64

INDONESIA

USD 730,000 Indonesia (Govt of) 5.88% 15/01/2024 784,845 0.96

Total Indonesia 784,845 0.96

IRELAND

USD 500,000 Vnesheconombank via Veb Finance Limited 6.03% 05/07/2022 490,128 0.60


IVORY COAST

USD 1,500,000 Ivory Coast (Govt of) FRN 31/12/2032 1,408,709 1.72

USD 500,000 Ivory Coast (Govt of) 7.77% 31/12/2032 469,570 0.57

Total Ivory Coast 1,878,279 2.29





SLOVENIA



VENEZUELA

USD 500,000 Venezuela (Govt of) 5.75% 26/02/2016 437,975 0.53









Bonds

BRAZIL

USD 500,000 Itau Unibanco Holding 5.13% 13/05/2023 483,263 0.59


CAYMAN ISLANDS

USD 1,000,000 Mie Holdings Corp. 9.75% 12/05/2016 1,054,430 1.29


COLOMBIA

USD 700,000 Ecopetrol SA 7.38% 18/09/2043 804,244 0.98

Total Colombia 804,244 0.98

LUXEMBOURG

USD 750,000 Andrade Gutierrez International SA 4.00% 30/04/2018 745,646 0.91

USD 250,000 Severstal OAO Via Steel Capital SA 4.45% 19/03/2018 245,993 0.30


51




Market % of

Value Net Asset


Market % of

Value Net Asset





Bonds (continued)

MALAYSIA

USD 1,000,000 Petronas Cap. Limited 5.25% 12/08/2019 1,124,649 1.37

Total Malaysia 1,124,649 1.37

MEXICO

USD 750,000 Alpek SA de CV 4.50% 20/11/2022 743,059 0.91

USD 370,000 Alpek SA de CV 5.38% 08/08/2023 383,910 0.47

USD 250,000 Cemex SAB de CV 9.50% 15/06/2018 289,475 0.35

USD 750,000 Mexichem SAB de CV 4.88% 19/09/2022 751,035 0.92



NETHERLANDS

USD 1,000,000 Nord Gold NV 6.38% 07/05/2018 934,060 1.14

USD 1,000,000 Petrobras Global Finance BV 4.88% 17/03/2020 1,004,455 1.23

USD 460,000 Petrobras Global Finance BV 6.25% 17/03/2024 472,261 0.58


UNITED KINGDOM

USD 500,000 Afren plc 6.63% 09/12/2020 511,435 0.62 USD 500,000 Tullow Oil plc 6.00% 01/11/2020 509,728 0.62


UNITED STATES

USD 750,000 Reliance Holdings Inc. 4.50% 19/10/2020 761,670 0.93


Total Bonds 11,407,670 13.93





Bonds

VENEZUELA

USD 1 Petroleos de Venezuela SA 5.00% 28/10/2015 1 0.00

Total Venezuela 1 0.00

Total Bonds 1 0.00


market instruments 1 0.00




52


Market % of

Value Net Asset


Market % of

Value Net Asset






Bonds

BRAZIL

USD 650,000 Caixa Economica Federal 4.50% 03/10/2018 664,830 0.32


GEORGIA


Total Georgia 952,350 0.47

INDONESIA

USD 898,000 Perusahaan Listrik Negara PT 5.25% 24/10/2042 731,511 0.36

USD 1,181,000 Perusahaan Penerbit Sbsn Indonesia 4.00% 21/11/2018 1,208,281 0.59


IRELAND

USD 545,000 Gazprombank OJSC via GPB Eurobond Finance plc 5.63% 17/05/2017 558,085 0.27

USD 904,000 Rosneft 4.20% 06/03/2022 808,474 0.40 USD 779,000 Russian Railways via Rzd

Capital plc 5.70% 05/04/2022 770,384 0.38 USD 725,000 Vnesheconombank via

Veb Finance Limited 6.80% 22/11/2025 728,857 0.36


KAZAKHSTAN

USD 1,596,000 Development Bank of Kazakhstan JSC 4.13% 10/12/2022 1,435,490 0.69

USD 1,724,000 Kazagro National Management Holding JSC 4.63% 24/05/2023 1,595,338 0.78

USD 1,017,000 Kazmunaygas National Company JSC 5.75% 30/04/2043 916,973 0.45

Total Kazakhstan 3,947,801 1.92

LUXEMBOURG

USD 1,383,000 Gaz Capital for Gazprom OAO 6.51% 07/03/2022 1,446,155 0.71

USD 833,000 Gazprom OAO Via Gaz Capital SA 6.00% 23/01/2021 853,600 0.42

USD 1,195,000 Gazprom via Gaz Capital SA 7.29% 16/08/2037 1,236,359 0.60



Bonds (continued)


USD 1,036,000 Russian Agricultural Bank OJSC via Rshb Capital SA 5.30% 27/12/2017 1,033,477 0.51

USD 745,000 Sberbank of Russia via SB Capital SA 4.95% 07/02/2017 769,138 0.38

USD 1,374,000 Sberbank of Russia Via SB Capital SA 6.13% 07/02/2022 1,424,137 0.70

USD 800,000 VTB Bank OJSC via Vtb Capital SA 6.00% 12/04/2017 829,940 0.41


MEXICO

USD 833,000 Comision Federal de Electricidad 4.88% 26/05/2021 874,187 0.42

USD 242,000 Comision Federal de Electricidad 4.88% 15/01/2024 247,566 0.12


USD 1,218,000 Petroleos Mexicanos 4.88% 24/01/2022 1,277,438 0.62




NETHERLANDS

USD 1,636,000 Kazakhstan Temir Zholy Finance BV 6.95% 10/07/2042 1,674,732 0.82

USD 504,000 Majapahit Holding BV 7.25% 28/06/2017 569,767 0.28





USD 493,000 Export-Import Bank of Korea 4.38% 15/09/2021 528,982 0.26


RUSSIAN FEDERATION

USD 1,589,000 Gazprom Neft OAO via GPN Capital SA 4.38% 19/09/2022 1,417,992 0.69


53




Market % of

Value Net Asset


Market % of

Value Net Asset





Bonds (continued)

SOUTH AFRICA

USD 499,000 Transnet SOC Limited 4.00% 26/07/2022 459,946 0.22


TRINIDAD & TOBAGO

USD 3,109,000 Petroleum Company of Trinidad & Tobago Limited 9.75% 14/08/2019 3,934,145 1.92

Total Trinidad & Tobago 3,934,145 1.92

TURKEY

USD 543,000 Export Credit Bank of Turkey 5.88% 24/04/2019 565,491 0.28

Total Turkey 565,491 0.28

UNITED KINGDOM

USD 558,000 State Export-Import Bank of Ukraine JSC via Biz Finance plc 8.75% 22/01/2018 477,143 0.23

USD 1,525,000 Ukreximbank Via Biz Finance 8.38% 27/04/2015 1,372,531 0.67


UNITED STATES

USD 484,000 Pemex Project Funding Master Trust 5.75% 01/03/2018 540,732 0.26



VENEZUELA

USD 539,300 Petroleos de Venezuela 5.38% 12/04/2027 290,294 0.14





Total Bonds 42,371,471 20.71




Debt Instruments

ARGENTINA

USD 3,025,479 Argentina (Govt of) 7.00% 03/10/2015 2,826,245 1.39

USD 1,096,188 Argentina (Govt of) 7.00% 17/04/2017 980,163 0.48

Total Argentina 3,806,408 1.87

BRAZIL

USD 890,000 Banco Nacional de Desenvolvimento Economico e Social 5.75% 26/09/2023 933,201 0.46

BRL 3,986 Brazil (Govt of) 0.00% 01/01/2017 1,276,476 0.62 USD 1,401,000 Brazil (Govt of) 4.25% 07/01/2025 1,353,576 0.66 USD 1,886,000 Brazil (Govt of) 4.88% 22/01/2021 2,007,128 0.98 USD 2,299,000 Brazil (Govt of) 5.63% 07/01/2041 2,334,979 1.14 USD 1,084,000 Brazil (Govt of) 7.13% 20/01/2037 1,306,085 0.64 USD 748,000 Brazil (Govt of) 8.25% 20/01/2034 993,419 0.49 BRL 8,446 Brazil (Govt of) 10.00%

01/01/2015 3,708,928 1.82

Total Brazil 13,913,792 6.81

COLOMBIA

USD 1,615,000 Columbia (Govt of) 4.00% 26/02/2024 1,605,673 0.78


USD 888,000 Colombia (Govt of) 7.38% 27/01/2017 1,028,237 0.50




COSTA RICA

USD 435,000 Costa Rica (Govt of) 4.25% 26/01/2023 403,404 0.20

Total Costa Rica 403,404 0.20

CROATIA

USD 325,000 Croatia (Govt of) 6.25% 27/04/2017 349,607 0.17


Total Croatia 787,033 0.38

54




Market % of

Value Net Asset


Market % of

Value Net Asset







DOMINICAN REPUBLIC

USD 1,054,000 Dominican (Govt of) 5.88% 18/04/2024 1,050,316 0.51



Total Dominican Republic 7,460,218 3.65

EL SALVADOR

USD 478,000 El Salvador (Govt of) 5.88% 30/01/2025 449,181 0.22



Total El Salvador 1,340,084 0.65

GEORGIA

USD 1,546,000 Georgia (Govt of) 6.88% 12/04/2021 1,682,983 0.82


GUATEMALA

USD 1,388,000 Guatemala (Govt of) 4.88% 13/02/2028 1,346,485 0.66

USD 1,232,000 Guatemala (Govt of) 5.75% 06/06/2022 1,336,640 0.65

Total Guatemala 2,683,125 1.31

HUNGARY


USD 1,822,000 Hungary (Govt of) 5.38% 21/02/2023 1,853,703 0.91





USD 670,000 Hungarian Development Bank 6.25% 21/10/2020 709,597 0.35

Total Hungary 8,765,274 4.29





INDONESIA


USD 1,311,000 Indonesia (Govt of) 3.75% 25/04/2022 1,235,185 0.60




USD 966,000 Indonesia (Govt of) 5.88% 13/03/2020 1,056,432 0.52








IRELAND

USD 909,000 VEB Finance Limited 6.90% 09/07/2020 955,418 0.46


IVORY COAST

USD 1,766,000 Ivory Coast (Govt of) FRN 31/12/2032 1,658,521 0.81

Total Ivory Coast 1,658,521 0.81

LITHUANIA

USD 236,000 Lithuania (Govt of) 6.63% 01/02/2022 279,154 0.14

Total Lithuania 279,154 0.14

MEXICO

USD 1,082,000 Mexico (Govt of) 3.63% 15/03/2022 1,087,653 0.53

USD 852,000 Mexico (Govt of) 4.00% 02/10/2023 863,822 0.42

55




Market % of

Value Net Asset







MEXICO (continued)




USD 891,000 Mexico (Govt of) 7.50% 08/04/2033 1,171,242 0.57

USD 156,000 Mexico (Govt of) 8.30% 15/08/2031 218,318 0.11

MXN 263,134 Mexico (Govt of) Bonos 6.50% 09/06/2022 2,079,016 1.02


MXN 15,899,500 Mexico (Govt of) Bonos 10.00% 05/12/2024 1,580,507 0.77

Total Mexico 14,871,186 7.28

MONGOLIA

USD 234,000 Development Bank of Mongolia LLC 5.75% 21/03/2017 220,003 0.11

Total Mongolia 220,003 0.11

MOROCCO

USD 664,000 Morocco (Govt of) 4.25% 11/12/2022 645,826 0.32

Total Morocco 645,826 0.32

NAMIBIA

USD 2,008,000 Namibia (Govt of) 5.50% 03/11/2021 2,110,288 1.03

Total Namibia 2,110,288 1.03

PANAMA

USD 221,000 Panama (Govt of) 9.38% 01/04/2029 316,615 0.15


PERU

USD 275,000 Peru (Govt of) 6.55% 14/03/2037 331,705 0.16 USD 641,000 Peru (Govt of) 7.13% 30/03/2019 776,700 0.38 USD 1,164,000 Peru (Govt of) 7.35% 21/07/2025 1,502,666 0.73 USD 718,000 Peru (Govt of) 8.75% 21/11/2033 1,051,870 0.51

Total Peru 3,662,941 1.78





PHILIPPINES

USD 367,000 Philippine (Govt of) 5.00% 13/01/2037 401,063 0.20





Total Philippines 2,078,913 1.02

QATAR

USD 550,000 Qatar (Govt of) 4.50% 20/01/2022 598,076 0.29

Total Qatar 598,076 0.29

ROMANIA

USD 1,384,000 Romania (Govt of) 4.38% 22/08/2023 1,367,669 0.67



Total Romania 3,998,757 1.96

RUSSIAN FEDERATION

USD 2,200,000 Russia (Govt of) 4.88% 16/09/2023 2,185,414 1.07


RUB 42,431,000 Russia (Govt of) 7.40% 14/06/2017 1,187,010 0.58


USD 2,100,000 Russian Foreign Bond - Eurobond 5.00% 29/04/2020 2,198,228 1.07


SERBIA

USD 468,000 Serbia (Govt of) 4.88% 25/02/2020 468,828 0.23

USD 2,240,000 Serbia (Govt of) 5.88% 03/12/2018 2,375,766 1.17

Total Serbia 2,844,594 1.40

Market % of

Value Net Asset


56




Market % of

Value Net Asset


Market % of

Value Net Asset







SLOVENIA






SOUTH AFRICA

USD 517,000 South Africa (Govt of) 4.67% 17/01/2024 513,784 0.25


SRI LANKA

USD 440,000 Sri Lanka (Govt of) 5.88% 25/07/2022 442,750 0.22

USD 254,000 Sri Lanka (Govt of) 6.25% 04/10/2020 267,195 0.13


TURKEY

USD 652,000 Hazine Mustesarligi Varlik Kiralama AS 4.56% 10/10/2018 662,950 0.32

USD 922,000 Turkey (Govt of) 5.13% 25/03/2022 928,772 0.45


USD 1,623,000 Turkey (Govt of) 6.00% 14/01/2041 1,597,357 0.78


USD 970,000 Turkey (Govt of) 6.63% 17/02/2045 1,027,958 0.50











TURKEY (continued)


USD 907,000 Turkey (Govt of) 8.00% 14/02/2034 1,105,633 0.54

Total Turkey 13,334,233 6.49

UKRAINE

USD 429,000 Ukraine (Govt of) 6.25% 17/06/2016 406,591 0.20


Total Ukraine 594,944 0.29

URUGUAY

USD 1,256,648 Uruguay (Govt of) 4.50% 14/08/2024 1,295,164 0.63

USD 259,413 Uruguay (Govt of) 6.88% 28/09/2025 306,633 0.15

UYU 22,795,000 Uruguay (Govt of) 8.94% 14/09/2018 1,882,631 0.92

UYU 26,604,000 Uruguay Government International Bond 7.10% 05/04/2027 2,042,878 1.00

Total Uruguay 5,527,306 2.70

VENEZUELA


USD 1,076,500 Venezuela (Govt of) 6.00% 09/12/2020 724,915 0.35



USD 2,092,500 Venezuela (Govt of) 7.75% 13/10/2019 1,602,070 0.78





57




Market % of

Value Net Asset



Market % of

Value Net Asset






VENEZUELA (continued)



ZAMBIA

USD 306,000 Zambia (Govt of) 5.38% 20/09/2022 262,961 0.13

Total Zambia 262,961 0.13








Bonds

INDONESIA

USD 2,228,000 Pertamina PT 5.25% 23/05/2021 2,239,419 1.09


MEXICO

USD 932,000 Petroleos Mexicanos 5.50% 21/01/2021 1,022,474 0.50




NETHERLANDS



PERU

USD 1,124,000 El Fondo Mivivienda SA 3.50% 31/01/2023 1,038,025 0.51

Total Peru 1,038,025 0.51



Bonds (continued)

UNITED STATES



VENEZUELA



Total Bonds 10,551,870 5.16


Debt Instruments

NETHERLANDS

USD 1,635,000 Angola (Govt of) via Northern Lights III BV 7.00% 16/08/2019 1,797,053 0.88


PANAMA

USD 735,000 Panama (Govt of) 5.63% 25/07/2022 793,315 0.39


RUSSIAN FEDERATION









58




Market % of

Value Net Asset





Debt Instruments

DOMINICAN REPUBLIC

DOP 58,900,000 Dominican (Govt of) 16.95% 04/02/2022 1,684,274 0.82

DOP 2,100,000 Dominican (Govt of) 18.50% 04/02/2028 59,367 0.03





market instruments 1,743,641 0.85





59


Market % of

Value Net Asset


Market % of

Value Net Asset





Bonds

AZERBAIJAN

USD 492,000 State Oil Company of the Azerbaijan Republic 5.45% 09/02/2017 520,162 0.45

Total Azerbaijan 520,162 0.45

CAYMAN ISLANDS

USD 1,275,000 Odebrecht Finance Limited 7.13% 26/06/2042 1,251,827 1.08


COLOMBIA

USD 2,000,000 Ecopetrol SA 5.88% 18/09/2023 2,192,010 1.89


COSTA RICA

USD 875,000 Banco de Costa Rica 5.25% 12/08/2018 890,859 0.77

USD 700,000 Banco Nacional de Costa Rica 4.88% 01/11/2018 707,641 0.61

Total Costa Rica 1,598,500 1.38

GEORGIA

USD 1,000,000 Bank of Georgia JSC 7.75% 05/07/2017 1,069,135 0.92

USD 977,000 Georgian Railway JSC 7.75% 11/07/2022 1,046,621 0.90


HUNGARY

USD 2,313,000 Magyar Export-Import Bank Rt 5.50% 12/02/2018 2,447,559 2.11


INDIA

USD 2,490,000 Export-Import Bank of India 3.88% 02/10/2019 2,501,541 2.16

USD 1,035,000 Indian Railway Finance Corp. Limited 3.92% 26/02/2019 1,039,135 0.90

Total India 3,540,676 3.06

INDONESIA

USD 200,000 Lembaga Pembiayaan Ekspor Indonesia 3.75% 26/04/2017 204,717 0.18




Bonds (continued)

IRELAND

USD 650,000 Rosneft 4.20% 06/03/2022 581,315 0.50 USD 1,089,000 Russian Railways via Rzd

Capital plc 5.74% 03/04/2017 1,141,757 0.99 USD 2,000,000 Vnesheconombank Via Veb

Finance plc 4.22% 21/11/2018 1,921,690 1.66


KAZAKHSTAN

USD 993,000 Kazmunaygas National Company Jsc 4.40% 30/04/2023 936,861 0.81

Total Kazakhstan 936,861 0.81

LUXEMBOURG

USD 600,000 Gaz Capital for Gazprom OAO 6.51% 07/03/2022 627,399 0.54

USD 843,000 Gaz Capital SA 8.15% 11/04/2018 958,116 0.83 USD 2,000,000 Gaz Capital SA 9.25% 23/04/2019 2,377,200 2.05 USD 1,000,000 Gazprom OAO Via Gaz Capital

SA 6.00% 23/01/2021 1,024,730 0.88 USD 1,794,000 Russian Agricultural Bank

OJSC via Rshb Capital SA 5.30% 27/12/2017 1,789,632 1.54

USD 1,653,000 Sberbank of Russia via SB Capital SA 4.95% 07/02/2017 1,706,557 1.47


USD 240,000 Vtb Bank OJSC via Vtb Capital SA 6.00% 12/04/2017 248,982 0.21


NETHERLANDS

USD 950,000 Intergas Finance BV 6.38% 14/05/2017 1,018,471 0.88

USD 2,000,000 Kazmunaygas National Company Jsc 9.13% 02/07/2018 2,402,200 2.07




60




Market % of

Value Net Asset


Market % of

Value Net Asset





Bonds (continued)

RUSSIAN FEDERATION

USD 700,000 Gazprom Neft OAO via GPN Capital SA 4.38% 19/09/2022 624,666 0.54

USD 1,844,000 Russian Agricultural Bank OJSC via Rshb Capital SA 5.10% 25/07/2018 1,805,387 1.56


SRI LANKA



TRINIDAD & TOBAGO

USD 2,670,000 Petroleum Company of Trinidad & Tobago Limited 9.75% 14/08/2019 3,378,631 2.92

Total Trinidad & Tobago 3,378,631 2.92

TURKEY

USD 3,414,000 Export Credit Bank of Turkey 5.88% 24/04/2019 3,555,407 3.06

USD 900,000 Export Credit Bank Of Turkey 5.38% 04/11/2016 937,130 0.81


UKRAINE

USD 1,850,000 Oschadbank JSC 8.88% 20/03/2018 1,583,017 1.36

Total Ukraine 1,583,017 1.36

UNITED KINGDOM

USD 700,000 State Export-Import Bank of Ukraine JSC via Biz Finance plc 8.75% 22/01/2018 598,567 0.52


UNITED STATES

USD 1,658,000 Pemex Project Funding Master Trust 5.75% 01/03/2018 1,852,342 1.60


VENEZUELA




Bonds (continued)

VENEZUELA (continued)



Total Bonds 57,581,539 49.65


Debt Instruments

ARGENTINA

USD 2,823,061 Argentina (Govt of) 7.00% 17/04/2017 2,523,741 2.18

Total Argentina 2,523,741 2.18

BRAZIL

BRL 10,025 Brazil (Govt of) 0.00% 01/01/2015 4,097,944 3.53 USD 915,000 Brazil (Govt of) 4.25% 07/01/2025 884,027 0.76


CROATIA

USD 2,438,000 Croatia (Govt of) 6.25% 27/04/2017 2,622,593 2.26

USD 2,786,000 Croatia (Govt of) 6.75% 05/11/2019 3,077,443 2.65

Total Croatia 5,700,036 4.91

DOMINICAN REPUBLIC




HUNGARY


USD 1,170,000 Hungary Government International Bond 4.00% 25/03/2019 1,165,969 1.01

USD 910,000 Mfb Magyar Fejlesztesi Bank Zrt 6.25% 21/10/2020 963,781 0.83


INDONESIA


61




Market % of

Value Net Asset


Market % of

Value Net Asset







INDONESIA (continued)



IRELAND

USD 1,454,000 VEB Finance Limited 6.90% 09/07/2020 1,528,248 1.32

USD 1,999,000 Vnesheconombank via Veb Finance Limited 5.45% 22/11/2017 2,053,762 1.77

USD 1,569,000 Vnesheconombank via Veb Finance Limited 6.03% 05/07/2022 1,538,020 1.33

USD 954,000 Vnesheconombank via Veb Finance plc 5.38% 13/02/2017 980,431 0.85


LUXEMBOURG

USD 2,190,000 RSHB Capital for OJSC Russian Agricultural Bank 7.75% 29/05/2018 2,356,878 2.03

USD 1,371,000 RSHB Capital SA for OJSC Russian Agricultural Bank 6.30% 15/05/2017 1,418,910 1.22


MEXICO




NAMIBIA

USD 834,000 Namibia (Govt of) 5.50% 03/11/2021 876,484 0.76

Total Namibia 876,484 0.76

ROMANIA


Total Romania 1,171,689 1.01





RUSSIAN FEDERATION

USD 820,931 Russia (Govt of) 7.50% 31/03/2030 934,979 0.81


SERBIA

USD 664,000 Serbia (Govt of) 4.88% 25/02/2020 665,175 0.57

USD 1,990,000 Serbia (Govt of) 5.88% 03/12/2018 2,110,614 1.82

Total Serbia 2,775,789 2.39

TURKEY





UKRAINE


USD 6,979,000 Ukraine (Govt of) 9.25% 24/07/2017 6,854,739 5.91

Total Ukraine 6,989,277 6.03

VENEZUELA









62




Market % of

Value Net Asset





Bonds

MALAYSIA

USD 660,000 Petronas Cap. Limited 5.25% 12/08/2019 742,269 0.64

Total Malaysia 742,269 0.64

UNITED STATES

USD 1,225,000 Reliance Holdings Inc. 4.50% 19/10/2020 1,244,061 1.07


Total Bonds 1,986,330 1.71


Debt Instruments

NETHERLANDS

USD 2,800,000 Angola (Govt of) via Northern Lights III BV 7.00% 16/08/2019 3,077,522 2.65









Debt Instruments

DOMINICAN REPUBLIC

DOP 25,170,000 Dominican (Govt of) 15.50% 01/06/2018 633,383 0.55


MOZAMBIQUE

USD 1,910,000 Mozambique (Govt of) 6.31% 11/09/2020 1,833,666 1.58

Total Mozambique 1,833,666 1.58









63


Market % of

Value Net Asset


Market % of

Value Net Asset





Bonds

CAYMAN ISLANDS

USD 204,000 Wynn Macau Limited 5.25% 15/10/2021 208,080 0.79


LUXEMBOURG

USD 142,000 Arcelormittal 6.00% 01/03/2021 151,516 0.59 USD 131,000 Arcelormittal 6.75% 25/02/2022 144,173 0.55 USD 66,000 Wind Acquisition Finance SA

6.50% 30/04/2020 72,185 0.28


UNITED KINGDOM

USD 13,000 Royal Bank of Scotland plc FRN 16/03/2022 15,270 0.06


UNITED STATES

USD 71,000 ADT Corp. 3.50% 15/07/2022 62,531 0.24 USD 67,000 Air Lease Corp. 4.75%

01/03/2020 71,119 0.27 USD 168,000 Ally Financial Inc. 7.50%

15/09/2020 199,954 0.77 USD 45,000 Alpha Natural Resources Inc.

6.00% 01/06/2019 34,844 0.13 USD 28,000 Alpha Natural Resources Inc.

6.25% 01/06/2021 21,148 0.08 USD 264,000 Atwood Oceanics Inc. 6.50%

01/02/2020 285,258 1.10 USD 93,000 Celanese US Holdings LLC

5.88% 15/06/2021 100,369 0.39 USD 38,000 CenturyLink Inc. 5.63%

01/04/2020 40,078 0.15 USD 135,000 CenturyLink Inc. 5.80%

15/03/2022 138,240 0.53 USD 132,000 CenturyLink Inc. 6.45%

15/06/2021 141,952 0.55 USD 118,000 Cimarex Energy Company 5.88%

01/05/2022 128,516 0.49 USD 56,000 CIT Group Inc. 5.00% 15/08/2022 57,816 0.22 USD 59,000 CIT Group Inc. 5.00% 01/08/2023 60,307 0.23 USD 133,000 CIT Group Inc. 5.25% 15/03/2018 143,048 0.55 USD 89,000 CIT Group Inc. 5.38% 15/05/2020 95,344 0.37 USD 134,000 Comstock Resources Inc. 9.50%

15/06/2020 153,210 0.59 USD 88,000 Concho Resources Inc. 5.50%

01/04/2023 91,524 0.35



Bonds (continued)


USD 68,000 Concho Resources Inc. 6.50% 15/01/2022 74,190 0.29


USD 114,000 Davita Healthcare Partners Inc. 5.75% 15/08/2022 121,608 0.47

USD 247,000 Dish Dbs Corp. 6.75% 01/06/2021 277,593 1.07 USD 195,000 El Paso Corp. 7.75% 15/01/2032 208,384 0.80 USD 155,000 Graphic Packaging

International Inc. 4.75% 15/04/2021 155,207 0.60

USD 20,000 HCA Holdings Inc. 6.25% 15/02/2021 21,423 0.08

USD 114,000 HCA Inc. 6.50% 15/02/2020 127,388 0.49 USD 101,000 HCA Inc. 4.75% 01/05/2023 100,148 0.38 USD 177,000 HCA Inc. 5.88% 01/05/2023 182,790 0.70 USD 54,000 HCA Inc. 7.50% 15/02/2022 61,788 0.24 USD 90,000 International Lease Finance

Corp. 5.88% 01/04/2019 98,374 0.38 USD 33,000 International Lease Finance


Corp. 8.25% 15/12/2020 179,141 0.69 USD 36,000 Iron Mountain Inc. 6.00%

15/08/2023 38,404 0.15 USD 185,000 L Brands Inc. 7.00% 01/05/2020 211,508 0.81 USD 126,000 Markwest Energy Partners LP

4.50% 15/07/2023 121,848 0.48 USD 49,000 MarkWest Energy Partners LP

6.25% 15/06/2022 52,969 0.20 USD 94,000 MGM Resorts International

6.63% 15/12/2021 103,239 0.40 USD 161,000 Oasis Petroleum Inc. 6.50%

01/11/2021 173,402 0.67 USD 126,000 Oasis Petroleum Inc. 6.88%

15/01/2023 136,557 0.52 USD 70,000 Peabody Energy Corp. 6.00%

15/11/2018 73,660 0.28 USD 164,000 Plains Exploration & Production

Company 6.88% 15/02/2023 182,711 0.70 USD 197,000 QEP Resources Inc. 6.88%

01/03/2021 217,022 0.83 USD 45,000 QEP Resources Inc. 5.38%

01/10/2022 45,307 0.17 USD 139,000 Reynolds Group Issuer Inc.

7.88% 15/08/2019 153,637 0.59 USD 30,000 Rockwood Specialties Group

Inc. 4.63% 15/10/2020 31,061 0.12

64




Market % of

Value Net Asset


Market % of

Value Net Asset





Bonds (continued)


USD 13,000 Sandridge Energy Inc. 8.13% 15/10/2022 14,170 0.05

USD 25,000 Sonat Inc. 7.00% 01/02/2018 27,545 0.11 USD 20,000 Springleaf Finance Corp. 6.90%

15/12/2017 21,952 0.08 USD 172,000 Synovus Financial Corp. 7.88%

15/02/2019 196,087 0.75 USD 42,000 T-Mobile USA Inc. 6.13%





28/04/2023 30,085 0.12 USD 68,000 Whiting Petroleum Corp. 5.75%

15/03/2021 73,161 0.28 USD 3,000 Whiting Petroleum Corp. 6.50%

01/10/2018 3,162 0.01


Total Bonds 6,240,770 23.98






Bonds

BERMUDA

USD 34,000 Aircastle Limited 5.13% 15/03/2021 34,165 0.13

Total Bermuda 34,165 0.13

CANADA

USD 18,000 Catamaran Corp. 4.75% 15/03/2021 18,293 0.07

USD 85,000 Kodiak Oil & Gas Corp. 5.50% 15/01/2021 87,237 0.34





Bonds (continued)

CANADA (continued)

USD 138,000 Videotron Limited 5.00% 15/07/2022 138,393 0.53


LUXEMBOURG

USD 70,000 Intelsat Jackson Holdings SA 7.25% 01/04/2019 75,334 0.29



USD 69,000 Intelsat Luxembourg SA 7.75% 01/06/2021 72,881 0.28

USD 50,000 NII International Telecom Sarl 11.38% 15/08/2019 35,500 0.14

USD 76,000 Telecom Italia Capital 7.18% 18/06/2019 87,172 0.33


UNITED STATES

USD 119,000 Access Midstream Partners LP 4.88% 15/05/2023 119,841 0.46

USD 120,000 Access Midstream Partners LP 4.88% 15/03/2024 119,813 0.46

USD 36,000 Actuant Corp. 5.63% 15/06/2022 37,710 0.14 USD 97,000 Aes Corp. 7.38% 01/07/2021 110,789 0.43 USD 45,000 Allegion Us Holding Company

Inc. 5.75% 01/10/2021 47,588 0.18 USD 207,000 Ally Financial Inc. 8.00%

15/03/2020 250,040 0.97 USD 55,000 Amc Entertainment Inc. 5.88%

15/02/2022 56,128 0.22 USD 249,000 Amc Networks Inc. 7.75%

15/07/2021 281,063 1.09 USD 35,000 American Axle &

Manufacturing Inc. 5.13% 15/02/2019 36,537 0.14

USD 51,000 American Axle & Manufacturing Inc. 6.25% 15/03/2021 54,487 0.21

USD 52,000 Amsted Industries Inc. 5.00% 15/03/2022 52,455 0.20

USD 124,000 Amsurg Corp. 5.63% 30/11/2020 129,580 0.50 USD 35,000 Antero Resources Finance

Corp. 5.38% 01/11/2021 35,607 0.14 USD 271,000 Apx Group Inc. 6.38%

01/12/2019 279,642 1.06

65




Market % of

Value Net Asset


Market % of

Value Net Asset





Bonds (continued)


USD 100,000 Aramark Corp. 5.75% 15/03/2020 105,743 0.41 USD 17,000 Ashland Inc. 4.75% 15/08/2022 16,738 0.06 USD 4,000 AutoNation Inc. 5.50%

01/02/2020 4,348 0.02 USD 43,000 Avis Budget Car Rental LLC

9.75% 15/03/2020 49,769 0.19 USD 184,000 B&G Foods Inc. 4.63%

01/06/2021 182,424 0.70 USD 217,000 Biomet Inc. 6.50% 01/08/2020 233,979 0.90 USD 37,000 Biomet Inc. 6.50% 01/10/2020 39,412 0.15 USD 75,000 Brocade Communications

Systems Inc. 6.88% 15/01/2020 80,531 0.31 USD 123,000 Caesars Entertainment

Operating Company Inc. 8.50% 15/02/2020 108,888 0.42

USD 30,000 Cardtronics Inc. 8.25% 01/09/2018 32,025 0.12

USD 84,000 Carrizo Oil & Gas Inc. 8.63% 15/10/2018 90,384 0.35

USD 278,000 Case New Holland Inc. 7.88% 01/12/2017 326,162 1.26

USD 162,000 Cbs Outdoor Americas Capital LLC 5.25% 15/02/2022 166,600 0.65

USD 13,000 Cbs Outdoor Americas Capital LLC 5.63% 15/02/2024 13,358 0.05

USD 120,000 CCO Holdings LLC 6.50% 30/04/2021 127,352 0.49

USD 36,000 CDW LLC 8.50% 01/04/2019 39,470 0.15 USD 138,000 Cedar Fair LP 5.25% 15/03/2021 140,415 0.54 USD 53,000 CenturyLink Inc. 6.75%

01/12/2023 56,577 0.22 USD 128,000 Chemtura Corp. 5.75%

15/07/2021 133,134 0.51 USD 210,000 Chesapeake Energy Corp.

6.13% 15/02/2021 229,192 0.88 USD 163,000 Chesapeake Energy Corp.

6.63% 15/08/2020 183,451 0.70 USD 127,000 Choice Hotel International Inc.

5.75% 01/07/2022 135,095 0.52 USD 75,000 Chrysler Group LLC 8.00%

15/06/2019 82,500 0.32 USD 94,000 Chrysler Group LLC 8.25%

15/06/2021 106,354 0.41 USD 60,000 Clean Harbors Inc. 5.25%

01/08/2020 62,078 0.24 USD 207,000 Clear Channel Worldwide

Holdings Inc. 6.50% 15/11/2022 221,427 0.86 USD 42,000 Clear Channel Worldwide

Holdings Inc. 6.50% 15/11/2022 44,782 0.17



Bonds (continued)


USD 29,000 CNH Capital LLC 3.63% 15/04/2018 29,488 0.11

USD 157,000 Columbus Mckinnon Corp. 7.88% 01/02/2019 169,953 0.65


USD 3,000 Consol Energy Inc. 6.38% 01/03/2021 3,175 0.01

USD 19,000 Constellation Brands 3.75% 01/05/2021 18,610 0.07

USD 34,000 Continental Resources Inc. 7.13% 01/04/2021 38,632 0.15

USD 27,000 Crestwood Midstream Partners LP 6.13% 01/03/2022 28,350 0.11

USD 203,000 Crown Castle International Corp. 5.25% 15/01/2023 207,284 0.79

USD 139,000 CSC Holdings LLC 6.75% 15/11/2021 156,199 0.60

USD 131,000 Cyrusone LP 6.38% 15/11/2022 137,469 0.52 USD 72,000 Darling Escrow Corp. 5.38%

15/01/2022 74,070 0.28 USD 116,000 Digitalglobe Inc. 5.25%

01/02/2021 115,130 0.44 USD 57,000 DISH DBS Corp. 5.88%

15/07/2022 60,930 0.23 USD 63,000 Dr Horton Inc. 3.75% 01/03/2019 63,162 0.24 USD 28,000 DuPont Fabros Technology Inc.

5.88% 15/09/2021 29,661 0.11 USD 130,000 E*Trade Financial Corp. 6.38%

15/11/2019 141,660 0.54 USD 47,000 Earthlink Inc. 7.38% 01/06/2020 49,103 0.19 USD 212,000 El Paso LLC 6.50% 15/09/2020 232,581 0.89 USD 18,000 Entegris Inc. 6.00% 01/04/2022 18,450 0.07 USD 66,000 Ep Energy AS 9.38% 01/05/2020 76,290 0.29 USD 77,000 Ep Energy LLC 6.88% 01/05/2019 83,028 0.32 USD 75,000 Ep Energy LLC 7.75% 01/09/2022 84,076 0.32 USD 28,000 Equinix Inc. 4.88% 01/04/2020 28,621 0.11 USD 105,000 Equinix Inc. 5.38% 01/04/2023 107,206 0.41 USD 20,000 Equinix Inc. 7.00% 15/07/2021 22,324 0.09 USD 11,000 Frontier Communications Corp.

7.63% 15/04/2024 11,549 0.04 USD 98,000 Frontier Communications Corp.



9.25% 01/07/2021 81,771 0.31 USD 41,000 FTI Consulting Inc. 6.00%

15/11/2022 42,066 0.16

66




Market % of

Value Net Asset


Market % of

Value Net Asset





Bonds (continued)


USD 128,000 Fwct-2 Escrow Corp. 5.13% 01/08/2021 131,492 0.51

USD 99,000 Fwct-2 Escrow Corp. 6.88% 01/02/2022 103,775 0.40

USD 197,000 General Motors Company 4.88% 02/10/2023 202,787 0.78

USD 111,000 Gibraltar Industries Inc. 6.25% 01/02/2021 118,631 0.46

USD 84,000 Goodman Networks Inc. 12.13% 01/07/2018 89,880 0.35

USD 32,000 Goodman Networks Inc. 12.13% 01/07/2018 34,240 0.13

USD 38,000 H&E Equipment Services Inc. 7.00% 01/09/2022 41,990 0.16

USD 40,000 HD Supply Inc. 11.00% 15/04/2020 47,580 0.18

USD 54,000 HDTFS Inc. 6.25% 15/10/2022 57,824 0.22 USD 16,000 Hertz Corp. 7.38% 15/01/2021 17,653 0.07 USD 35,000 Hertz Corp. 7.50% 15/10/2018 37,412 0.14 USD 216,000 Hiland Partners LP 7.25%

01/10/2020 235,980 0.91 USD 193,000 Hilton Worldwide Finance

5.63% 15/10/2021 202,490 0.78 USD 166,000 Hughes Satellite Systems Corp.

6.50% 15/06/2019 183,014 0.70 USD 135,000 Huntington Ingalls Industries

Inc. 7.13% 15/03/2021 149,253 0.57 USD 130,000 Huntsman International LLC

4.88% 15/11/2020 131,379 0.50 USD 61,000 Icahn Enterprises LP 5.88%

01/02/2022 61,973 0.24 USD 35,000 Icahn Enterprises LP 6.00%

01/08/2020 37,077 0.14 USD 65,000 Interactive Data Corp. 10.25%

01/08/2018 70,119 0.27 USD 23,000 Interface Inc. 7.63% 01/12/2018 24,610 0.09 USD 18,000 International Lease Finance


Corp. FRN 15/03/2017 35,240 0.14 USD 144,000 Ipalco Enterprises Inc. 5.00%

01/05/2018 152,299 0.59 USD 36,000 KB Home 4.75% 15/05/2019 36,337 0.14 USD 24,000 Lamar Media Corp. 5.38%

15/01/2024 24,720 0.09 USD 145,000 Lamar Media Corp. 5.88%

01/02/2022 153,951 0.59 USD 58,000 Laredo Petroleum Inc. 5.63%

15/01/2022 58,754 0.23



Bonds (continued)


USD 60,000 Laredo Petroleum Inc. 7.38% 01/05/2022 66,684 0.26

USD 116,000 Laredo Petroleum Inc. 9.50% 15/02/2019 128,615 0.49

USD 18,000 Level 3 Financing Inc. FRN 15/01/2018 18,383 0.07

USD 35,000 Level 3 Financing Inc. 6.13% 15/01/2021 37,013 0.14





USD 49,000 Lifepoint Hospitals Inc. 5.50% 01/12/2021 51,260 0.20

USD 82,000 Markwest Energy Partners LP 5.50% 15/02/2023 84,344 0.32

USD 9,000 Mediacom Broadband LLC 5.50% 15/04/2021 9,068 0.03

USD 41,000 Meritage Homes Corp. 4.50% 01/03/2018 42,116 0.16

USD 152,000 Meritage Homes Corp. 7.00% 01/04/2022 168,339 0.65

USD 72,000 Metropcs Wireless Inc. 6.63% 01/04/2023 76,549 0.29

USD 168,000 MGM Resorts International 6.75% 01/10/2020 186,341 0.72

USD 75,000 NCR Corp. 4.63% 15/02/2021 75,677 0.29 USD 90,000 NCR Corp. 5.00% 15/07/2022 90,420 0.34 USD 2,000 NCR Escrow Corp. 5.88%

15/12/2021 2,115 0.01 USD 7,000 NCR Escrow Corp. 6.38%

15/12/2023 7,473 0.03 USD 20,000 Netfl ix Inc. 5.75% 01/03/2024 20,841 0.08 USD 292,000 Nielsen Finance LLC 4.50%

01/10/2020 295,552 1.14 USD 20,000 Nortek Inc. 8.50% 15/04/2021 22,350 0.09 USD 175,000 Nrg Energy Inc. 6.25%

15/07/2022 179,954 0.68 USD 58,000 Oasis Petroleum Inc. 7.25%

01/02/2019 62,172 0.24 USD 163,000 Oil States International Inc.

6.50% 01/06/2019 172,083 0.66 USD 159,000 Oshkosh Corp. 8.50% 01/03/2020 174,837 0.67 USD 41,000 Peabody Energy Corp. 6.25%

15/11/2021 41,125 0.16

67




Market % of

Value Net Asset


Market % of

Value Net Asset





Bonds (continued)


USD 31,000 Penn National Gaming Inc. 5.88% 01/11/2021 30,535 0.12

USD 173,000 Pnk Finance Corp. 6.38% 01/08/2021 180,785 0.69

USD 135,000 Polypore International Inc. 7.50% 15/11/2017 143,269 0.56

USD 150,000 Range Resources Corp. 5.00% 15/03/2023 152,129 0.58

USD 16,000 Regal Entertainment Group 5.75% 15/03/2022 16,467 0.06

USD 37,000 Regency Energy Partners LP 4.50% 01/11/2023 34,578 0.13




USD 106,000 Revlon Consumer Products Corp. 5.75% 15/02/2021 106,875 0.41

USD 119,000 Reynolds Group Issuer Inc. 5.75% 15/10/2020 124,545 0.48

USD 67,000 Rite Aid Corp. 8.00% 15/08/2020 74,759 0.29 USD 20,000 Sabine Pass Liquefaction LLC

6.25% 15/03/2022 20,828 0.08 USD 11,000 Sandridge Energy Inc. 7.50%

15/02/2023 11,720 0.05 USD 10,000 Sba Communications Corp.

5.63% 01/10/2019 10,525 0.04 USD 125,000 Sba Telecommunications Inc.

5.75% 15/07/2020 131,563 0.51 USD 23,000 Shea Homes LP 8.63%

15/05/2019 25,473 0.10 USD 57,000 SM Energy Company 5.00%



01/01/2023 33,300 0.13 USD 130,000 Southern Star Central Corp.

6.75% 01/03/2016 130,325 0.50 USD 62,000 Spectrum Brands Inc. 6.38%

15/11/2020 67,317 0.26 USD 21,000 Spectrum Brands Inc. 6.63%

15/11/2022 22,956 0.09 USD 18,000 Spectrum Brands Inc. 6.75%

15/03/2020 19,529 0.08 USD 187,000 Speedway Motorsports Inc.

6.75% 01/02/2019 199,622 0.76



Bonds (continued)


USD 16,000 Springleaf Finance Corp. 6.00% 01/06/2020 16,360 0.06



USD 61,000 Sprint Corp. 7.25% 15/09/2021 66,622 0.26 USD 95,000 Sprint Corp. 7.88% 15/09/2023 104,727 0.40 USD 49,000 Sprint Nextel Corp. 6.00%

15/11/2022 50,064 0.19 USD 110,000 Tempur Sealy International Inc.

6.88% 15/12/2020 120,862 0.47 USD 109,000 Tenet Healthcare Corp. 4.50%

01/04/2021 107,018 0.41 USD 91,000 Tenet Healthcare Corp. 4.75%



01/04/2022 166,560 0.64 USD 34,000 Titan International Inc. 6.88%


15/01/2024 44,095 0.17 USD 16,000 Transdigm Inc. 5.50% 15/10/2020 16,328 0.06 USD 105,000 Transdigm Inc. 7.50% 15/07/2021 116,177 0.45 USD 16,000 Treehouse Foods Inc. 4.88%

15/03/2022 16,120 0.06 USD 91,000 United Rentals North America

Inc. 5.75% 15/07/2018 97,472 0.38 USD 31,000 United Rentals North America




Inc. 7.63% 15/04/2022 124,786 0.49 USD 45,000 Verisign Inc. 4.63% 01/05/2023 43,350 0.17 USD 205,000 Visteon Corp. 6.75% 15/04/2019 215,875 0.83 USD 143,000 Windstream Corp. 7.75%

15/10/2020 154,464 0.59


Total Bonds 16,326,648 62.73




68




Market % of

Value Net Asset


Market % of

Value Net Asset




Bonds

CANADA

USD 89,000 MDC Partners Inc. 6.75% 01/04/2020 94,118 0.36

USD 51,000 Meg Energy Corp. 7.00% 31/03/2024 53,953 0.21

USD 69,000 Valeant Pharmaceuticals International Inc. 5.63% 01/12/2021 72,907 0.28

USD 118,000 Vpii Escrow Corp. 7.50% 15/07/2021 133,340 0.51


LUXEMBOURG

USD 63,000 Ineos Group Holdings SA 5.88% 15/02/2019 64,693 0.25

USD 87,000 Pacifi c Drilling SA 5.38% 01/06/2020 86,706 0.33


NETHERLANDS

USD 57,000 Playa Resorts Holding BV 8.00% 15/08/2020 61,845 0.24


UNITED STATES

USD 68,000 Activision Blizzard Inc. 5.63% 15/09/2021 72,508 0.28

USD 93,000 Ads Tactical Inc. 11.00% 01/04/2018 93,233 0.36

USD 80,000 Arch Coal Inc. 8.00% 15/01/2019 80,060 0.32 USD 29,000 Ashtead Capital Inc. 6.50%

15/07/2022 31,683 0.12 USD 27,000 First Data Corp. P.P. 144A 8.25%

15/01/2021 29,430 0.11 USD 64,000 Neff Rental LLC P.P. 144A 9.63%

15/05/2016 66,880 0.26 USD 109,000 Nuance Communications Inc.

5.38% 15/08/2020 109,000 0.42 USD 97,000 PQ Corp. 8.75% 01/05/2018 106,215 0.41 USD 58,000 Provident Funding Associates

LP 6.75% 15/06/2021 58,290 0.22 USD 101,000 Renaissance Acquisition Corp.

6.88% 15/08/2021 104,149 0.40 USD 14,000 Rki Exploration & Production

8.50% 01/08/2021 15,190 0.06 USD 50,000 Sirius Xm Radio Inc. P.P. 144A

5.25% 15/08/2022 51,750 0.20 USD 30,000 Southern Star Central Corp.

6.75% 01/03/2016 30,075 0.12

Other transferable securities and money market instruments (continued)

Bonds (continued)


USD 108,000 Sprint Communications Inc. 7.00% 01/03/2020 124,529 0.48

USD 26,000 Tunica-Biloxi Gaming Authority 9.00% 15/11/2015 22,685 0.09

USD 39,000 Univision Communications Inc. 5.13% 15/05/2023 40,073 0.15

USD 62,000 Univision Communications Inc. P.P. 144A 6.75% 15/09/2022 68,774 0.26


Total Bonds 1,672,086 6.44







69


Market % of

Quantity/ Value Net Asset


Market % of






Bonds

AUSTRALIA

USD 325,000 Westpac Banking Corp. 1.25% 15/12/2017 320,122 0.34


BERMUDA

USD 400,000 CBQ Finance Limited 3.38% 11/04/2017 418,248 0.44


CAYMAN ISLANDS

USD 300,000 Hutchison Whampoa International 11 Limited 3.50% 13/01/2017 315,813 0.34


GERMANY

USD 500,000 Landeskreditbank Baden-Wuerttemberg Foerderbank 1.63% 25/04/2017 507,482 0.54


UNITED KINGDOM

USD 250,000 Abbey National Treasury Services plc FRN 25/04/2014 250,306 0.27


UNITED STATES

USD 475,000 General Electric Capital Corp. 2.95% 09/05/2016 495,886 0.53

USD 200,000 Kellogg Company 1.75% 17/05/2017 202,238 0.21


Total Bonds 2,510,095 2.67


Debt Instruments

AUSTRALIA

AUD 3,000,000 Australia (Govt of) 2.75% 21/04/2024 2,477,484 2.63







AUSTRALIA (continued)


AUD 1,500,000 New South Wales Treasury Corp. 3.50% 20/03/2019 1,377,318 1.46

Total Australia 11,382,375 12.09

BRAZIL

BRL 3,900 Brazil (Govt of) 10.00% 01/01/2017 1,636,694 1.74


CANADA

USD 500,000 Ontario Canada (Province of) 1.10% 25/10/2017 495,323 0.53


FINLAND

USD 400,000 Municipality Finance plc 1.63% 25/04/2017 405,848 0.43


MEXICO







Equities

AUSTRALIA

16,184 Ansell Limited 276,153 0.29


BELGIUM

8,099 Anheuser-Busch InBev NV 849,462 0.90


70




Market % of



Market % of






Equities (continued)

CANADA

5,900 Methanex Corp. 378,134 0.40 16,700 Suncor Energy Inc. 584,178 0.62


CHINA

50,500 Ping An Insurance Group Company of China Limited 418,606 0.44

Total China 418,606 0.44

COLOMBIA

USD 5,200 BanColombia SA - ADR 293,696 0.31


GERMANY

3,430 Brenntag AG 636,544 0.68 2,682 Continental AG 642,816 0.68

Total Germany 1,279,360 1.36

HONG KONG

104,000 China Overseas Land & Investment Limited 269,484 0.29


INDONESIA

302,800 Bank Rakyat Indonesia 255,226 0.27


IRELAND

9,860 Covidien Limited 726,288 0.76


JAPAN

18,500 Aeon Company Limited 208,919 0.22 108,000 Chuo Mitsui Trust Holdings Inc. 488,692 0.52

22,400 Fuji Media Holdings Inc. 412,176 0.44 20,100 Japan Exchange Group Inc. 491,448 0.52

185,000 Mazda Motor Corp. 822,741 0.87 92,500 Nomura Holdings Inc. 594,601 0.63

4,100 Ryohin Keikaku Company Limited 395,727 0.42

58,000 Sekisui Chemical Company Limited 604,301 0.64

44,000 Shimadzu Corp. 391,785 0.42

Total Japan 4,410,390 4.68




MEXICO

USD 3,800 Fomento Economico Mexicano SA de CV - ADR 354,312 0.38

57,700 Grupo Financiero Banorte SA de CV 388,375 0.41


NETHERLANDS

73,863 Aegon NV 678,305 0.72


PANAMA

3,708 Copa Holdings SA 538,365 0.57



541 Samsung Electronics Company Limited 682,569 0.72


SINGAPORE

104,000 Global Logistic Properties Limited 219,156 0.23

Total Singapore 219,156 0.23

SWITZERLAND

11,697 Nestle SA - Reg 881,231 0.94 7,267 Novartis AG - Reg 616,998 0.66

16,147 Tyco International Limited 684,633 0.73 43,807 UBS AG - Reg 905,548 0.96

Total Switzerland 3,088,410 3.29

UNITED KINGDOM

9,129 Aon plc 769,392 0.82 22,767 BG Group plc 424,158 0.45 89,146 HSBC Holdings plc 902,865 0.96

6,378 Liberty Global Inc. - A 265,325 0.28 6,378 Liberty Global plc 259,648 0.28

17,360 Tullow Oil plc 216,629 0.23 24,366 Unilever plc 1,040,324 1.10

117,369 Vodafone Group plc 431,065 0.46 7,038 Whitbread plc 488,344 0.52


71




Market % of



Market % of







UNITED STATES

2,521 Affi liated Managers Group 504,326 0.54 4,788 Airgas Inc. 509,970 0.54 9,479 American Express Company 853,393 0.92

11,793 American International Group Inc. 589,768 0.63 3,971 Amgen Inc. 489,783 0.52 6,400 Amphenol Corp. 586,560 0.62

14,860 Apollo Global Management LLC 472,548 0.50 1,879 Apple Inc. 1,008,534 1.07 9,101 Autodesk Inc. 447,587 0.48

15,556 Blackstone Group LP 517,237 0.55 14,082 Bristol-Myers Squibb Company 731,560 0.78

4,497 Charter Communications Inc. 554,030 0.59 12,320 Comcast Corp. 616,247 0.65

9,715 Discover Financial Services 565,316 0.60 20,444 Ebay Inc. 1,129,327 1.20

6,310 Enterprise Products Partners LP 437,662 0.47 7,032 Equifax Inc. 478,387 0.51 7,872 Estee Lauder Companies Inc. 526,479 0.56

13,204 Facebook Inc. - A 795,409 0.85 8,238 Gilead Sciences Inc. 583,745 0.62 1,025 Google Inc. 1,142,373 1.22

20,457 JPMorgan Chase & Company 1,241,945 1.33 9,427 Lam Research Corp. 518,485 0.55 9,616 Las Vegas Sands Corp. 776,781 0.82 6,920 Mastercard Inc. 516,924 0.55 4,057 McDonald’s Corp. 397,708 0.43 5,909 Mead Johnson Nutrition

Company - A 491,274 0.52 6,400 Nike Inc. 472,704 0.50 6,293 Occidental Petroleum Corp. 599,660 0.64

31,184 Pfi zer Inc. 1,001,630 1.06 5,491 Praxair Inc. 719,157 0.76

816 Priceline.com Inc. 972,582 1.03 6,759 Qualcomm Inc. 533,015 0.57 5,735 Sirona Dental Systems Inc. 428,232 0.46 5,799 TJX Companies Inc. 351,709 0.37

10,713 Tyco Electronics Limited 645,030 0.69 3,671 Union Pacifi c Corp. 688,899 0.73 9,940 United Rentals Inc. 943,704 1.00 2,866 Visa Inc. 618,655 0.66

11,688 Walt Disney Company 935,859 0.99 8,587 Wesco International Inc. 714,610 0.76


Total Equities 47,597,023 50.58



Structured Instruments - Commodities

IRELAND

USD 4,290 Source Physical Markets Gold ETC 0.00% 544,616 0.58


Total Structured Instruments - Commodities 544,616 0.58






Bonds

NORWAY



UNITED STATES

USD 102,000 Citigroup Inc. 6.38% 12/08/2014 104,126 0.11




Debt Instruments

AUSTRALIA

AUD 1,300,000 New South Wales Treasury Corp. 6.00% 01/04/2019 1,335,679 1.42


ISRAEL

USD 725,000 Israel (Govt of) AID Bond 5.50% 04/12/2023 861,417 0.92


UNITED STATES

USD 225,000 Federal Home Loan Mortgage Corp. 1.00% 20/08/2014 225,784 0.24

USD 1,000,000 United States Treasury Bill 0.00% 03/04/2014 1,000,000 1.06


72




Market % of










USD 775,000 United States Treasury Infl ation Indexed N/B FRN 15/02/2041 995,855 1.06







Undertakings for collective investments in transferable securities

Funds

LUXEMBOURG

146,476 Threadneedle (Lux) - Enhanced Commodities Portfolio 3,418,756 3.63


UNITED KINGDOM

1,041,435 Threadneedle Global Emerging Markets Equity Fund 1,294,088 1.38

695,183 Threadneedle European High Yield Bond Fund 972,795 1.03


Total Funds 5,685,639 6.04

Total Undertakings for collective investments

in transferable securities 5,685,639 6.04





73


Market % of

Value Net Asset

Quantity Investment USD Value

Market % of

Value Net Asset





Equities

AUSTRALIA

15,473 CSL Limited 997,570 2.13


BELGIUM

8,413 Anheuser-Busch InBev NV 882,396 1.89


DENMARK

31,030 Novo-Nordisk A/S 1,413,735 3.02

Total Denmark 1,413,735 3.02

FINLAND

17,992 Sampo Oyj - A 933,625 2.00


FRANCE

6,005 L’Oreal SA 990,684 2.12


GERMANY

8,424 Bayer AG 1,139,907 2.444,928 Brenntag AG 914,545 1.96

26,930 Deutsche Post AG - Reg 1,001,026 2.14


HONG KONG

253,200 Aia Group Limited 1,201,199 2.57

Total Hong Kong 1,201,199 2.57

JAPAN

28,500 Japan Tobacco Inc. 896,635 1.92


MEXICO

2,600 Fomento Economico Mexicano SA de CV - ADR 242,424 0.52

76,000 Grupo Financiero Banorte SA de CV 511,551 1.09





SINGAPORE

70,000 DBS Group Holdings Limited 900,083 1.93


SWITZERLAND

12,027 Nestle SA - Reg 906,092 1.9411,088 Tyco International Limited 470,131 1.01


UNITED KINGDOM

10,929 Aon plc 921,096 1.9728,578 Diageo plc 886,651 1.89

7,900 Liberty Global Inc. - A 328,640 0.707,900 Liberty Global plc 321,609 0.69

27,528 Rolls-Royce Holdings plc 492,894 1.0522,345 Unilever plc 954,036 2.04


UNITED STATES

25,922 American Express Company 2,333,759 4.997,609 Amgen Inc. 938,494 2.01

14,996 Colgate-Palmolive Company 972,791 2.0827,401 Discovery Holding Company - A 2,266,063 4.8513,756 Estee Lauder Companies Inc. 920,001 1.97

1,706 Google Inc. 1,901,354 4.0727,770 Mastercard Inc. 2,074,419 4.44

3,914 Mettler Toledo International Inc. 922,452 1.9713,006 Nike Inc. 960,623 2.0611,221 Philip Morris International Inc. 918,664 1.9610,533 Praxair Inc. 1,379,507 2.95

1,570 Priceline.com Inc. 1,871,267 4.003,033 Sherwin-Williams Company 597,895 1.28

13,832 Sirona Dental Systems Inc. 1,032,835 2.219,204 Thermo Electron Corp. 1,106,688 2.36

15,283 TJX Companies Inc. 926,914 1.9811,070 Tyco Electronics Limited 666,525 1.43

7,486 Union Pacifi c Corp. 1,404,823 3.018,091 Visa Inc. 1,746,523 3.74

30,495 Walt Disney Company 2,441,735 5.2336,500 Wells Fargo & Company 1,815,511 3.88



74




Market % of

Value Net Asset






market instruments admitted to an offi cial

exchange listing 46,505,372 99.49





75


Market % of

Value Net Asset


Market % of

Value Net Asset





Equities

AUSTRALIA

1,835 Ansell Limited 31,311 0.79


BRAZIL

9,276 Alpargatas SA 51,796 1.313,267 BRF - Brasil Foods SA - ADR 65,275 1.661,000 Linx SA 19,770 0.50

800 M Dias Branco SA 32,404 0.825,362 Petroleo Brasileiro SA - ADR 74,372 1.89


CAYMAN ISLANDS

380 58.com Inc. - ADR 15,819 0.4016,000 CIMC Enric Holdings Limited 22,565 0.57

3,500 Hengan International Group Company Limited 36,254 0.92

300 Sina Corp. 18,123 0.461,300 Tencent Holdings Limited 90,414 2.29


CHINA

14,000 China Oilfi eld Services Limited 32,848 0.8442,000 China Petroleum & Chemical

Corp. 37,576 0.9520,000 Dongfeng Motor Group

Company Limited 28,310 0.721,500 Great Wall Automobile Holding

Company 7,522 0.196,500 Zhuzhou CSR Times Electric

Company Limited - H 21,912 0.56

Total China 128,168 3.26

CZECH REPUBLIC

269 Komercni Banka AS 64,332 1.63

Total Czech Republic 64,332 1.63

GREECE

38,125 Alpha Bank AE 37,570 0.95

Total Greece 37,570 0.95




HONG KONG

8,000 Aia Group Limited 37,953 0.9611,000 China Mengniu Dairy Company

Limited 55,092 1.402,500 China Mobile Hong Kong

Limited 22,882 0.5830,000 Guangdong Investments

Limited 28,658 0.7330,000 Lenovo Group Limited 33,144 0.8415,000 Sun Art Retail Group Limited 18,854 0.48


INDIA

1,619 HDFC Bank Limited - ADR 66,428 1.691,150 Icici Bank Limited - ADR 50,370 1.28

951 Infosys Technologies Limited - ADR 51,526 1.31

Total India 168,324 4.28

LUXEMBOURG

9,900 Samsonite International SA 30,630 0.77


MALAYSIA

27,100 Digi.Com Bhd 44,731 1.1412,000 IJM Corp. Bhd 22,563 0.5712,400 Tenaga Nasional Bhd 45,415 1.16

Total Malaysia 112,709 2.87

MEXICO

16,500 Alfa SA de CV 41,754 1.0611,700 Bolsa Mexicana de Valores

SAB de CV 23,089 0.594,167 Cemex SAB de CV - ADR 52,629 1.343,400 El Puerto de Liverpool SAB

de CV 37,240 0.9511,700 Grupo Financiero Banorte SA

de CV 78,752 2.0116,557 Grupo Lala SAB de CV 34,475 0.87

1,700 Grupo Televisa SA - ADR 56,593 1.4416,300 OHL Mexico SAB de CV 42,310 1.0719,200 TF Administradora Industrial S

de RL de CV 38,404 0.97


76




Market % of

Value Net Asset


Market % of

Value Net Asset






PANAMA

133 Copa Holdings SA 19,310 0.49


PHILIPPINES

42,900 Alliance Global Group Inc. 27,264 0.691,570 GT Capital Holdings Inc. 27,500 0.70

261,900 Metro Pacifi c Investments Corp. 27,624 0.70

14,245 Metropolitan Bank & Trust 24,554 0.62535 Philippine Long Distance

Telephone 32,569 0.8322,290 Robinsons Retail Holdings Inc. 33,799 0.8615,550 Universal Robina Corp. 49,238 1.25

Total Philippines 222,548 5.65

POLAND

526 Bank Pekao SA 34,226 0.874,284 Energa SA 25,309 0.64

Total Poland 59,535 1.51


83 CJ O Shopping Company Limited 28,406 0.72

920 Gs Retail Company Limited 23,293 0.591,000 Halla Climate Control 45,657 1.162,090 Hana Financial Group Inc. 76,377 1.93

790 Hynix Semiconductor Inc. 26,718 0.6873 Hyundai Department Store

Company Limited 9,738 0.25179 Hyundai Motor Company 42,208 1.07

2,228 Korea Electric Power Corp. - ADR 38,255 0.97

95 Nhn Corp. 69,078 1.7583 Samsung Electronics Company

Limited 104,720 2.661,847 SK Telecom Company

Limited - ADR 41,687 1.06


RUSSIAN FEDERATION

4,336 Gazprom OAO - ADR - Reg 33,387 0.85796 Mail.Ru Group Limited - GDR 28,218 0.72

1,065 Megafon OAO - GDR 29,980 0.76




RUSSIAN FEDERATION (continued)

238 NovaTek OAO - GDR 26,180 0.662,695 TMK OAO - GDR 23,581 0.60


SOUTH AFRICA

2,460 Aspen Pharmacare Holdings Limited 65,793 1.67

2,832 Discovery Holdings Limited 22,717 0.584,230 Impala Platinum Holdings

Limited 48,261 1.23763 Naspers Limited 84,247 2.13


TAIWAN

35,000 Advanced Semiconductor Engineering Inc. 38,847 0.99

2,370 Chinatrust Financial Holding Company 1,483 0.04

8,000 Delta Electronics Inc. 49,389 1.252,000 Eclat Textile Company Limited 23,118 0.59

20,000 Hon Hai Precision Industry 56,678 1.443,000 MediaTek Inc. 44,282 1.127,000 President Chain Store Corp. 49,421 1.247,933 Taiwan Semiconductor

Manufacturing Company Limited - ADR 158,818 4.03

1,895 Taiwan Semiconductor Manufacturing Company Limited 7,374 0.19

Total Taiwan 429,410 10.89

THAILAND

3,700 Airports of Thailand pcl 22,127 0.567,400 Bangkok Bank pcl - NVDR 40,718 1.03

11,100 PTT Global Chemical pcl 24,722 0.633,400 Siam Commercial Bank

pcl - Reg 16,507 0.4222,500 Thai Union Frozen Products pcl 47,684 1.2113,000 Total Access Communication

pcl - NVDR 46,685 1.18

Total Thailand 198,443 5.03

77




Market % of

Value Net Asset


Market % of

Value Net Asset






TURKEY

957 Coca-Cola Icecek AS 23,039 0.5817,987 Turk Sise ve Cam Fabrikalari AS 19,507 0.50

8,148 Turkiye Garanti Bankasi AS 27,881 0.71


UNITED KINGDOM

1,787 Al Noor Hospitals Group plc 31,997 0.814,456 Lonmin plc 21,246 0.54



691 Luxoft Holding Inc. 24,233 0.61

Total Virgin Islands (British) 24,233 0.61


Warrants Equity

LUXEMBOURG

588 Bajaj Auto Limited - Wts 06/02/2017 20,514 0.52

1,262 Just Dial Limited - Wts 03/12/2018 32,741 0.82


NETHERLANDS

1,299 Apollo Hospitals Enterprise Limited - Wts 07/11/2017 19,933 0.51

1,681 JPMorgan - Lupin Ltd - Wts 26,265 0.67


Total Warrants Equity 99,453 2.52

Structured notes

INDIA

5,847 JPMorgan Structured Products BV 0.00% 16/02/2017 34,410 0.87


Total Structured notes 34,410 0.87






Equities

RUSSIAN FEDERATION

31,539 Alrosa Company Limited 32,369 0.82152 Magnit OAO 35,039 0.89

26,660 Surgutneftegaz - Pfd 19,309 0.49


Total Equities 86,717 2.20






Threadneedle (Lux) - American

78


Market % of

Value Net Asset


Market % of

Value Net Asset






Equities

IRELAND

55,018 Accenture plc 4,386,034 2.03 59,776 Covidien Limited 4,403,100 2.04 53,200 Eaton Corp. 3,996,384 1.85 48,414 Ingersoll-Rand plc 2,771,217 1.29 12,523 Watson Pharmaceuticals Inc. 2,577,860 1.20



27,100 Delphi Automotive plc 1,839,006 0.85

Total Jersey - Channel Islands 1,839,006 0.85

NETHERLANDS

30,556 LyondellBasell Industries NV 2,717,651 1.26


SWITZERLAND

28,496 ACE Limited 2,822,814 1.31 27,793 Pentair Limited - Reg 2,205,097 1.02 95,083 Tyco International Limited 4,031,519 1.87


UNITED STATES

10,653 Airgas Inc. 1,134,651 0.53 17,370 Alliance Data Systems Corp. 4,732,457 2.20 16,670 American Express Company 1,500,800 0.70 32,230 Amgen Inc. 3,975,248 1.84 31,166 Amphenol Corp. 2,856,364 1.33 28,576 Anadarko Petroleum Corp. 2,422,102 1.12

190,776 Annaly Capital Management Inc. 2,092,813 0.97 11,932 Apple Inc. 6,404,382 2.97

149,911 Applied Materials Inc. 3,061,183 1.42 296,097 Bank of America Corp. 5,092,868 2.36

89,320 BB&T Corp. 3,587,984 1.67 150,014 Blackstone Group LP 4,987,966 2.31

35,646 Capital One Financial Corp. 2,750,445 1.28 38,868 Chevron Corp. 4,621,793 2.15 60,900 Citigroup Inc. 2,898,840 1.34 26,856 CME Group Inc. 1,987,613 0.92 71,761 Colgate-Palmolive Company 4,655,136 2.16

101,871 Comcast Corp. 5,095,587 2.36 28,915 Constellation Brands Inc. 2,456,908 1.14 48,576 Crown Castle International Corp. 3,583,937 1.66

1 Cst Brands Inc. 31 0.00 38,344 CVS Caremark Corp. 2,870,432 1.33

101,987 Delta Air Lines Inc. 3,533,850 1.64 62,488 Discover Financial Services 3,636,176 1.69 44,057 Discovery Holding Company - A 3,643,514 1.69





97,493 EMC Corp. 2,672,283 1.24 30,629 Estee Lauder Companies Inc. 2,048,468 0.95 48,007 Express Scripts Inc. 3,604,846 1.67 25,202 Facebook Inc. - A 1,518,168 0.70 64,587 Genworth Financial Inc. 1,145,128 0.53 56,588 Gilead Sciences Inc. 4,009,826 1.86

7,049 Google Inc. 7,856,181 3.64 68,445 Halliburton Company 4,030,726 1.87 33,067 Home Depot Inc. 2,616,592 1.21 22,935 IHS Inc. 2,786,603 1.29 77,290 Interpublic Group of

Companies Inc. 1,324,751 0.61 42,297 Jacobs Engineering Group Inc. 2,685,860 1.25

116,536 JPMorgan Chase & Company 7,074,901 3.28 59,049 Lam Research Corp. 3,247,695 1.51 30,680 Las Vegas Sands Corp. 2,478,330 1.15 38,110 Mead Johnson Nutrition

Company - A 3,168,465 1.47 98,379 News Corp. Inc. 3,145,177 1.46 47,281 Noble Energy Inc. 3,358,842 1.56 32,036 Occidental Petroleum Corp. 3,052,710 1.42

202,485 Pfi zer Inc. 6,503,817 3.02 10,377 Precision Castparts Corp. 2,622,891 1.22

2,050 Priceline.com Inc. 2,443,375 1.13 39,291 Prudential Financial Inc. 3,325,982 1.54 25,123 Thermo Electron Corp. 3,020,790 1.40 18,723 Union Pacifi c Corp. 3,513,558 1.63 30,204 United Technologies Corp. 3,529,035 1.64 22,100 UnitedHealth Group Inc. 1,811,979 0.84 47,530 Valero Energy Corp. 2,523,843 1.17 20,559 Visa Inc. 4,437,865 2.06 28,148 Wesco International Inc. 2,342,477 1.09 92,388 Zions Bancorporation 2,862,180 1.33


Total Equities 216,097,106 100.24







Threadneedle (Lux) - American Select

79


Market % of

Value Net Asset


Market % of

Value Net Asset





Equities

CANADA

12,282 Methanex Corp. 785,311 1.89


IRELAND

11,600 Eaton Corp. 871,392 2.09



12,782 Delphi Automotive plc 867,387 2.09


SWITZERLAND

5,029 ACE Limited 498,173 1.20 7,937 Pentair Limited - Reg 629,722 1.52

29,400 Tyco International Limited 1,246,560 3.00


UNITED STATES

6,602 Airgas Inc. 703,179 1.69 3,791 Alliance Data Systems Corp. 1,032,858 2.49 7,079 Amgen Inc. 873,124 2.10 9,731 Anadarko Petroleum Corp. 824,800 1.99 2,395 Apple Inc. 1,285,493 3.10

60,755 Bank of America Corp. 1,044,986 2.51 20,900 BB&T Corp. 839,553 2.02 36,144 Blackstone Group LP 1,201,788 2.89

6,787 Charter Communications Inc. 836,158 2.01 5,443 CME Group Inc. 402,836 0.97

16,792 Colgate-Palmolive Company 1,089,297 2.62 27,033 Delta Air Lines Inc. 936,693 2.25 18,278 Discover Financial Services 1,063,598 2.56 10,879 Discovery Holding Company - A 899,694 2.16 10,685 Dunkin’ Brands Group Inc. 536,173 1.29 10,208 Eagle Materials Inc. 905,041 2.18 13,398 Estee Lauder Companies Inc. 896,058 2.16

8,500 Express Scripts Inc. 638,265 1.54 4,803 Facebook Inc. - A 289,333 0.70

16,809 Fortinet Inc. 370,302 0.89 24,416 Genworth Financial Inc. 432,896 1.04 17,570 Gilead Sciences Inc. 1,245,010 3.00

1,566 Google Inc. 1,745,324 4.20 15,543 Halliburton Company 915,327 2.20 14,424 Informatica Corp. 544,939 1.31 20,695 JPMorgan Chase & Company 1,256,393 3.03 13,837 Lam Research Corp. 761,035 1.83

7,058 Las Vegas Sands Corp. 570,145 1.37 2,264 Linkedin Corp. 418,704 1.01





11,372 Mead Johnson Nutrition Company - A 945,468 2.27

3,972 Mohawk Industries Inc. 540,113 1.30 24,255 News Corp. Inc. 775,432 1.87

9,437 Noble Energy Inc. 670,404 1.61 25,235 Pfi zer Inc. 810,548 1.95

3,407 Pioneer Natural Resources Company 637,586 1.53

887 Priceline.com Inc. 1,057,206 2.54 14,100 Prudential Financial Inc. 1,193,564 2.87

8,271 Synaptics Inc. 496,425 1.19 9,500 Thermo Electron Corp. 1,142,280 2.75

10,686 Tyco Electronics Limited 643,404 1.55 10,251 United Rentals Inc. 973,230 2.34

5,865 United Technologies Corp. 685,267 1.65 8,075 Universal Display Corp. 257,673 0.62 4,872 Visa Inc. 1,051,670 2.53









80


Market % of

Value Net Asset


Market % of

Value Net Asset






Equities

CANADA

58,834 Canadian Natural Resources Limited 2,257,461 1.09


IRELAND

48,936 Covidien Limited 3,604,626 1.75 51,921 Eaton Corp. 3,900,306 1.89





NETHERLANDS

36,784 Nielsen Holdings NV 1,641,670 0.80


SWITZERLAND

1 Pentair Limited - Reg 79 0.00 58,240 Tyco International Limited 2,469,376 1.20


UNITED KINGDOM

33,517 Aon plc 2,824,813 1.37 14,822 Diageo plc - ADR 1,846,673 0.89


UNITED STATES

80,304 Abbott Laboratories 3,092,507 1.50 16,171 Apple Inc. 8,679,622 4.21 42,217 Aramark Holdings Corp. 1,220,916 0.59

217,670 Bank of America Corp. 3,743,924 1.81 35,513 Berkshire Hathaway Inc. 4,438,059 2.15

9,682 Blackrock Inc. 3,044,795 1.48 80,906 Broadcom Corp. 2,546,921 1.23 35,784 Cameron International Corp. 2,210,378 1.07 59,492 Cardinal Health Inc. 4,163,251 2.02 17,633 Celgene Corp. 2,461,567 1.19 45,018 Chevron Corp. 5,353,090 2.59 21,971 Cigna Corp. 1,839,632 0.89

131,280 Citigroup Inc. 6,248,928 3.03 77,316 Comcast Corp. 3,867,346 1.87 24,509 ConocoPhillips 1,724,208 0.84 59,786 CVS Caremark Corp. 4,475,580 2.16 14,696 Dick’s Sporting Goods 802,549 0.39





17,051 DirecTV Group Inc. 1,303,037 0.63 25,235 Discovery Holding Company - A 2,086,935 1.01 42,394 Dow Jones & Company Inc. 2,059,924 1.00 55,447 Ebay Inc. 3,062,892 1.48 74,950 Electronic Arts Inc. 2,174,300 1.05

119,496 EMC Corp. 3,275,385 1.59 6,897 Equinix Inc. 1,274,841 0.62

40,527 Express Scripts Inc. 3,043,172 1.47 9,778 FedEx Corp. 1,296,172 0.63

169,014 General Electric Capital Corp. 4,375,772 2.12 5,414 Google Inc. 6,033,958 2.93

59,880 Halliburton Company 3,526,333 1.71 31,932 Hewlett-Packard Company 1,033,320 0.50 50,361 Honeywell International Inc. 4,671,486 2.26 38,820 Intuit Inc. 3,017,478 1.47 53,983 Johnson & Johnson 5,302,751 2.57

125,396 JPMorgan Chase & Company 7,612,792 3.68 11,582 Kansas City Southern de

Mexico SA de CV 1,182,059 0.57 55,470 Kinder Morgan Inc. 1,802,220 0.87 24,925 Louisiana-Pacifi c Corp. 420,485 0.20 38,254 Lowe’s Cos Inc. 1,870,621 0.91 44,095 Mastercard Inc. 3,293,896 1.60 55,384 Microsoft Corp. 2,270,190 1.10 27,410 Newfi eld Exploration Company 859,578 0.42 27,153 Noble Energy Inc. 1,928,949 0.93 45,730 PepsiCo Inc. 3,818,455 1.85 94,162 Pfi zer Inc. 3,024,483 1.47 61,084 Philip Morris International Inc. 5,000,947 2.42 76,887 Procter & Gamble Company 6,197,092 3.00 40,507 Qualcomm Inc. 3,194,382 1.55 29,207 Realogy Holdings Corp. 1,269,044 0.61 15,022 Salix Pharmaceuticals Limited 1,556,429 0.75 43,249 Skyworks Solutions Inc. 1,622,702 0.79 17,363 State Street Corp. 1,207,597 0.59 25,700 Teradata Corp. 1,264,183 0.61

7,601 Ulta Salon, Cosmetics & Fragrance 740,945 0.36

29,343 United Technologies Corp. 3,428,436 1.66 120,102 Verizon Communications Inc. 5,713,252 2.77

51,548 Viacom Inc. 4,381,065 2.13 36,864 Walgreen Company 2,434,130 1.18 97,610 Wells Fargo & Company 4,855,121 2.35

5,326 Wynn Resorts Limited 1,183,171 0.57 24,021 Yum! Brands Inc. 1,810,943 0.88



81




Market % of

Value Net Asset











82


Market % of

Value Net Asset

Quantity Investment EUR Value

Market % of

Value Net Asset






Equities

BELGIUM

43,756 Anheuser-Busch InBev NV 3,329,832 1.76 38,930 KBC Groep NV 1,738,225 0.92


DENMARK

116,522 Novo-Nordisk A/S 3,851,822 2.04 37,088 Pandora A/S 1,780,884 0.94


FINLAND

29,558 Kone Oyj 899,746 0.48


FRANCE

37,626 Atos Origin SA 2,469,394 1.31 67,992 BNP Paribas 3,806,871 2.02 17,490 Compagnie Generale d’Optique

Essilor International 1,280,268 0.68 222,492 Groupe Eurotunnel SA 2,061,833 1.09

21,619 Iliad SA 4,524,857 2.40 87,832 Legrand SA 3,960,784 2.10 18,083 L’Oreal SA 2,164,535 1.15 44,195 Publicis Groupe 2,898,308 1.54 55,048 Renault SA 3,883,086 2.06 56,906 Societe Generale 2,543,983 1.35 39,401 Thales SA 1,896,370 1.01

174,806 Vivendi SA 3,534,577 1.87

Total France 35,024,866 18.58

GERMANY

22,703 Allianz SE - Reg 2,785,658 1.48 49,144 BASF SE 3,964,938 2.11 51,212 Bayer AG 5,027,994 2.67 51,069 Bayerische Motoren Werke AG 4,678,942 2.48 24,135 Brenntag AG 3,249,778 1.72 18,286 Continental AG 3,179,935 1.69

103,449 Deutsche Post AG - Reg 2,790,020 1.48 32,752 Fresenius Medical Care AG 1,658,889 0.88 93,271 Prosieben Sat.1 Media AG Pfd 3,098,463 1.64 16,039 SAP AG 942,452 0.50


GREECE

11,824 Piraeus Bank SA 23,648 0.01

Total Greece 23,648 0.01




IRELAND

6,400,980 Bank of Ireland 1,971,502 1.05


ITALY

1,489,979 Intesa Sanpaolo SpA 3,665,348 1.94 138,694 Mediobanca SpA 1,151,160 0.61

Total Italy 4,816,508 2.55


44,291 Wolseley plc 1,827,444 0.97


NETHERLANDS

416,885 Aegon NV 2,777,705 1.47 46,421 ASML Holding NV 3,120,884 1.65 75,497 European Aeronautic Defence

and Space Company NV 3,925,089 2.08 26,822 Gemalto NV 2,267,532 1.20

378,835 ING Groep NV 3,892,530 2.06 190,133 Reed Elsevier NV 2,982,236 1.58


NORWAY

173,091 DnB Nor Bank ASA 2,183,654 1.16

Total Norway 2,183,654 1.16

SPAIN

44,008 Amadeus IT Holding SA 1,326,841 0.70 253,019 Banco Popular Espanol SA 1,386,544 0.74 304,825 Bankinter SA 1,780,178 0.94

16,910 Inditex SA 1,841,499 0.98

Total Spain 6,335,062 3.36

SWEDEN

72,887 Kinnevik Investment AB 1,949,421 1.03 299,249 Nordea Bank AB 3,074,207 1.63

84,240 SKF AB - B 1,562,063 0.83

Total Sweden 6,585,691 3.49

SWITZERLAND

65,966 Adecco SA - Reg 3,985,125 2.11 26,780 Compagnie Financiere

Richemont AG 1,856,488 0.98 27,208 Roche Holding AG 5,922,180 3.14

83




Market % of

Value Net Asset






SWITZERLAND (continued)

653 Sika AG 1,939,460 1.03 181,140 UBS AG - Reg 2,716,779 1.44


UNITED KINGDOM

195,726 Ashtead Group plc 2,251,520 1.19 222,523 BG Group plc 3,007,941 1.59 366,113 British Airways plc 1,847,593 0.98 616,321 BT Group plc 2,829,212 1.50

63,343 Diageo plc 1,425,909 0.76 184,358 Easyjet plc 3,824,484 2.03 277,630 GKN plc 1,310,726 0.69 149,169 IMI plc 2,630,770 1.39

78,181 Intercontinental Hotels Group plc 1,822,341 0.97 62,631 Johnson Matthey plc 2,478,088 1.31

1,078,677 Legal & General Group plc 2,670,890 1.42 2,838,993 Lloyds TSB Bank plc 2,563,545 1.36

185,535 Persimmon plc 3,020,770 1.60 160,632 Prudential plc 2,464,730 1.31

43,034 Rio Tinto plc 1,737,320 0.92 28,886 Schroders plc 907,765 0.48

200,577 Smith & Nephew plc 2,205,423 1.17 281,317 St James’s Place plc 2,807,351 1.49

81,754 Travis Perkins plc 1,864,092 0.99 1,458,093 Vodafone Group plc 3,885,497 2.06









84


Market % of

Value Net Asset


Market % of

Value Net Asset






Equities

AUSTRIA

23,331 Schoeller-Bleckmann Oilfi eld Equipment AG 1,980,336 0.91

Total Austria 1,980,336 0.91

BELGIUM

49,358 Telenet Group Holding NV 2,208,524 1.02 121,343 Umicore 4,488,478 2.08


DENMARK

135,330 Christian Hansen Holding A/S 3,897,137 1.81 50,530 Matas A/S 1,028,741 0.48 32,700 Ow Bunker A/S 744,577 0.35 92,631 Pandora A/S 4,447,937 2.07 27,947 William Demant Holding 1,735,369 0.80


FINLAND

140,596 Amer Sports Oyj 2,167,990 1.00 67,135 Cargotec Corp. 2,097,969 0.97 99,297 PKC Group Oyj 2,247,091 1.04 66,815 Tikkurila Oyj 1,142,537 0.53 67,088 Vacon plc 2,052,893 0.95

Total Finland 9,708,480 4.49

FRANCE

108,395 Electricite de France SA 2,468,696 1.14 16,141 Euler Hermes SA 1,478,516 0.69

8,685 Eurofi ns Scientifi c 1,886,816 0.87 256,487 Groupe Eurotunnel SA 2,376,865 1.10 350,714 Havas SA 1,905,780 0.88

22,027 Iliad SA 4,610,251 2.14 49,292 Ingenico 3,346,433 1.55 86,430 Korian-Medica Kori Fp 2,407,076 1.12 14,291 Lisi 1,710,633 0.79 45,133 Orpea 2,173,154 1.01 34,628 Remy Cointreau 2,017,081 0.93 23,841 Societe Bic SA 2,273,239 1.05 12,854 Virbac SA 2,082,348 0.96

Total France 30,736,888 14.23




GERMANY

30,954 Bilfi nger Berger AG 2,850,554 1.33 33,985 Brenntag AG 4,576,079 2.11 31,622 Cancom AG 1,089,378 0.50 51,843 CTS Eventim AG 2,509,201 1.16 82,520 Dialog Semiconductor plc 1,479,584 0.69 28,790 Fuchs Petrolub AG Pfd 2,096,488 0.97 82,267 Gerresheimer AG 3,864,492 1.79 23,947 Grenkeleasing AG 1,910,971 0.89

101,604 Norma Group 3,908,197 1.82 12,913 Pfeiffer Vacuum Technology AG 1,144,996 0.53 60,652 Prosieben Sat.1 Media AG Pfd 2,014,859 0.93 17,334 SHW AG 808,458 0.37 41,144 Sixt SE 1,192,559 0.55 47,397 Stratec Biomedical Systems 1,493,006 0.69

101,480 Symrise 3,679,665 1.71


IRELAND

10,522,523 Bank of Ireland 3,240,937 1.51 286,743 Cpl Resources plc 2,153,440 1.00 195,606 Dalata Hotel Group Limited 555,521 0.26 127,092 Grafton Group plc 994,648 0.46 871,044 Green Reit plc 1,045,253 0.48

74,316 Kingspan Group plc 1,026,304 0.47


ISLE OF MAN

212,844 Optimal Payments plc 926,853 0.43

Total Isle of Man 926,853 0.43

ISRAEL

237,983 Vizrt Limited 680,639 0.32


ITALY

98,619 Banca Generali SpA 2,361,925 1.09 178,466 Davide Campari-Milano SpA 1,061,873 0.49 109,155 De Longhi SpA 1,784,684 0.83 104,632 DiaSorin SpA 3,259,287 1.51

58,868 Digital Multimedia Technologies SpA 2,525,437 1.17

75,516 Marr SpA 1,073,838 0.50 119,814 Salvatore Ferragamo Italia SpA 2,560,425 1.19

1,035,157 Sorin SpA 2,244,220 1.04

Total Italy 16,871,689 7.82

85




Market % of

Value Net Asset


Market % of

Value Net Asset






LUXEMBOURG

92,486 Saf-Holland SA 1,044,629 0.48


NETHERLANDS

54,473 Aalberts Industries NV 1,378,166 0.64 44,431 Sligro Food Group NV 1,321,822 0.61


NORWAY

81,256 TGS Nopec Geophysical Company ASA 1,933,011 0.90

161,732 Wilh Wilhelmsen ASA 1,112,296 0.52


SPAIN

629,806 Abengoa Finance SA - B 2,124,965 0.98 437,477 Bankinter SA 2,554,866 1.18

80,680 Lar Espana Real Estate Socim Lre Sm 837,458 0.39

1,326 Let’s Gowes SA 32,991 0.02

Total Spain 5,550,280 2.57

SWEDEN

32,614 Autoliv Inc. 2,383,280 1.11 46,728 Avanza AB 1,299,455 0.60

347,277 Byggmax Group AB 1,972,286 0.91 874,196 Cloetta AB 2,308,759 1.07 446,780 Elekta AB 4,312,315 2.00 189,243 Eniro AB 1,228,303 0.57

18,578 Hexpol AB 1,186,076 0.55 109,291 Intrum Justitia AB 2,159,896 1.00 218,566 Nobia AB 1,400,283 0.65

Total Sweden 18,250,653 8.46

SWITZERLAND

1,037 Belimo Holding AG - Reg 2,085,963 0.97 5,969 Burckhardt Compression

Holding AG 2,255,270 1.05 20,202 Partners Group - Reg 4,121,782 1.91

743 Sika AG 2,206,766 1.02 8,684 VZ Holding AG 1,069,917 0.50





UNITED KINGDOM

149,628 Ao World plc 568,315 0.26 189,333 Ashtead Group plc 2,177,979 1.01

92,126 Aveva Group plc 2,333,488 1.08 191,345 Close Brothers Group plc 3,268,125 1.51 377,757 Crest Nicholson Holdings plc 1,797,146 0.83

91,833 Davis Service Group plc 1,241,902 0.58 219,670 Domino Printing Sciences 2,089,856 0.97 633,475 Elementis plc 2,195,336 1.02 483,525 Galiform plc 2,176,334 1.00

74,587 Genus plc 893,193 0.41 542,239 Intermediate Capital Group plc 2,713,458 1.26 489,855 Merlin Entertainments plc 2,233,859 1.04 671,123 Moneysupermarket.com

Group plc 1,518,877 0.70 116,254 Oxford Instruments plc 1,781,687 0.83 373,911 Pets At Home Group plc 1,085,491 0.50

68,156 Renishaw plc 1,607,628 0.74 230,640 Restaurant Group plc 1,989,166 0.92

73,202 Rotork plc 2,343,816 1.08 70,520 Spectris plc 1,977,300 0.92

220,865 St James’s Place plc 2,204,081 1.02 641,322 Stock Spirits Group plc 2,286,529 1.07 842,399 Tyman plc 3,056,934 1.42

86,180 Victrex plc 2,094,273 0.97









86


Market % of

Value Net Asset


Market % of

Value Net Asset






Equities

AUSTRALIA

25,426 BHP Billiton Limited 859,455 3.14 11,777 Commonwealth Bank of

Australia 845,297 3.08 40,645 Lend Lease Corp. Limited 446,411 1.63

354,944 Mirvac Group 559,265 2.05 38,861 National Australia Bank Limited 1,277,209 4.66

123,493 Telstra Corp. Limited 581,454 2.12 88,789 Transurban Group 597,455 2.18 41,449 Virtus Health Limited 279,676 1.02 16,043 Wesfarmers Limited 612,473 2.23 22,745 Westpac Banking Corp. 728,566 2.66 12,731 Woodside Petroleum Limited 460,426 1.68


BERMUDA

558,000 Varitronix International Limited 610,005 2.23


CAYMAN ISLANDS

574,000 NagaCorp Limited 597,897 2.18 90,800 Sands China Limited 678,333 2.47


CHINA

829,000 Bank of China Limited - H 367,635 1.34 108,500 China Shenhua Energy

Company Limited 313,315 1.14 364,000 Huaneng Power

International Inc. 348,184 1.27 720,000 Industrial & Commercial Bank

of China - H 442,746 1.61 358,000 Jiangsu Express - H 407,980 1.49

Total China 1,879,860 6.85

HONG KONG

153,000 BOC Hong Kong Holdings Limited 435,900 1.59

879,000 Champion Reit 401,140 1.46 448,000 Xinyi Glass Holding Company

Limited 364,427 1.33


INDIA

8,897 Icici Bank Limited - ADR 389,689 1.42





INDONESIA

1,858,000 Surya Citra Media Tbk PT 523,391 1.91


ISRAEL

198,000 Sarin Technologies Limited 390,474 1.42


MALAYSIA

297,300 Berjaya Sports Toto Bhd 361,440 1.32 282,200 Digi.Com Bhd 465,797 1.70 177,600 IJM Corp. Bhd 333,935 1.22


NEW ZEALAND

349,594 Air New Zealand Limited 620,372 2.26

Total New Zealand 620,372 2.26

PHILIPPINES

4,805 Philippine Long Distance Telephone 292,510 1.07

Total Philippines 292,510 1.07


7,440 Grand Korea Leisure Company Limited 305,791 1.12

4,460 GS Holdings 121,089 0.44 14,250 Halla Climate Control 650,616 2.37

3,670 Hyundai Motor Company Pfd 524,063 1.91 8,766 Korea Plant Service &

Engineering Company Limited 558,348 2.04 2,129 LG Chem Limited 297,013 1.08

69,810 Macquarie Korea Infrastructure Fund 424,322 1.55

4,005 SK Telecom Company Limited 810,818 2.95


SINGAPORE

776,000 Asian Pay Television Trust 456,634 1.66 386,000 Capitacommercial Trust 455,815 1.66 387,560 Keppel 351,333 1.28

71,000 Keppel Corp. Limited 614,838 2.24

Total Singapore 1,878,620 6.84

87




Market % of

Value Net Asset






TAIWAN

299,000 Advanced Semiconductor Engineering Inc. 331,867 1.21

67,000 China Steel Chemical Corp. 382,825 1.40 161,000 Huaku Development Company

Limited 394,404 1.44 310,000 Hung Poo Real Estate

Development Corp. 285,543 1.04 82,000 Novatek Microelectronics

Corp. Limited 375,634 1.37 107,000 Quanta Computer Inc. 288,121 1.05

84,310 Radiant Opto-Electronics Corp. 340,534 1.24 438,000 Siliconware Precision

Industries Company 582,513 2.13 75,000 Taiwan Semiconductor

Manufacturing Company Limited 291,848 1.06

Total Taiwan 3,273,289 11.94

THAILAND

296,800 PTT Global Chemical pcl 661,027 2.41 944,300 Samui Airport Property Fund

Leasehold 465,744 1.70 172,400 Shin Corp. pcl - NVDR 410,538 1.50 326,500 Thai Plastic & Chemical pcl 322,070 1.17


UNITED KINGDOM

56,000 HSBC Holdings plc 567,071 2.07









88


Market % of

Value Net Asset


Market % of

Value Net Asset






Equities

BERMUDA

124,000 Beijing Enterprises Water Group Limited 86,801 1.41

20,378 Cosco Pacifi c Limited 26,008 0.42 64,000 Haier Electronics Group

Company Limited 173,262 2.82 5,000 Orient Overseas International

Limited 22,979 0.37 71,000 Sihuan Pharmaceutical

Holdings Group Limited 85,580 1.39


CAYMAN ISLANDS

46,000 Anton Oilfi eld Services Group 29,235 0.48 407 Baidu.com - ADR 62,019 1.01

16,000 Biostime International Holdings Limited 109,732 1.79

98,000 China Resources Cement Holdings Limited 77,192 1.26

20,000 China Resources Land Limited 43,883 0.72 72,000 China State Construction

International Holdings Limited 121,964 1.99 62,000 CIMC Enric Holdings Limited 87,441 1.43 49,000 Country Garden Holdings

Company 20,467 0.33 122,000 GCL Poly Energy Holdings

Limited 44,037 0.72 2,000 Ginko International Company

Limited 34,480 0.56 59,000 Goodbaby International

Holdings Limited 31,489 0.51 140,000 NagaCorp Limited 145,829 2.38

3,662 New Oriental Education & Technology Group - ADR 107,480 1.75

58,000 Prince Frog International Holdings Limited 17,122 0.28

715 Qihoo 360 Technology Company Limited 71,200 1.16

30,400 Sands China Limited 227,107 3.70 12,000 Shenzhou International Group

Holdings Limited 38,133 0.62 12,500 Shimao Property Holdings

Limited 27,394 0.45 30,000 Sunny Optical Technology

Group Company Limited 29,199 0.48 5,400 Tencent Holdings Limited 375,569 6.13

21,000 Vinda International Holdings 30,538 0.50 1,361 Vipshop Holdings Limited 203,197 3.31




CAYMAN ISLANDS (continued)

20,000 Xinao Gas Holdings Limited 139,357 2.27 138,000 Yashili International 61,910 1.01


CHINA

26,000 Anhui Conch Cement Company Limited 111,447 1.81

44,501 AviChina Industry & Technology Company - H 24,783 0.40

243,000 Bank of China Limited - H 107,762 1.75 76,000 China Construction Bank 53,201 0.87 31,000 China Life Insurance Company

Limited - H 87,720 1.43 32,000 China Oilfi eld Services Limited 75,080 1.22 70,000 China Petroleum & Chemical

Corp. 62,627 1.02 46,500 China Railway Construction

Corp. 39,324 0.64 31,000 CITIC Securities Company

Limited - H 64,661 1.05 39,750 Great Wall Automobile Holding

Company 199,338 3.25 56,000 Huaneng Power

International Inc. 53,567 0.87 96,000 Industrial & Commercial Bank

of China - H 59,033 0.96 16,000 Ping An Insurance Group

Company of China Limited 132,628 2.16 17,000 Zhuzhou CSR Times Electric

Company Limited - H 57,309 0.93

Total China 1,128,480 18.36

HONG KONG

62,800 Aia Group Limited 297,928 4.86 7,000 Cheung Kong Holdings Limited 116,048 1.89

56,000 China Everbright International Limited 76,668 1.25

22,000 China Mengniu Dairy Company Limited 110,184 1.79

24,000 China Overseas Land & Investment Limited 62,189 1.01

50,000 Guangdong Investments Limited 47,763 0.78

50,000 Lenovo Group Limited 55,240 0.90 26,649 New World Development

Limited 26,797 0.44 39,000 Nine Dragons Paper Holdings

Limited 30,367 0.49

89




Market % of

Value Net Asset


Market % of

Value Net Asset






HONG KONG (continued)

52,000 SA SA International Holdings Limited 41,696 0.68

11,475 Wharf Holdings Limited 73,373 1.20 2,500 Wing Hang Bank Limited 39,641 0.65


ITALY

4,300 Prada SpA 33,648 0.55


TAIWAN

7,000 Catcher Technology Company Limited 50,685 0.83

53,710 Cathay Financial Holding Company Limited 78,310 1.28

27,580 Cheng Uei Precision Industry Company 58,416 0.95

109,950 Chinatrust Financial Holding Company 68,780 1.13

14,000 Delta Electronics Inc. 86,430 1.42 76,700 E.Sun Financial Holding

Company Limited 46,218 0.75 24,000 Hon Hai Precision Industry 68,014 1.11 18,000 Huaku Development Company

Limited 44,095 0.72 3,303 Largan Precision Company

Limited 156,188 2.54 5,000 Makalot Industrial Company

Limited 27,748 0.45 9,000 MediaTek Inc. 132,846 2.17 7,000 President Chain Store Corp. 49,421 0.81 6,365 Radiant Opto-Electronics Corp. 25,709 0.42

15,001 Taiwan Hon Chuan Enterprise Company Limited 32,512 0.53

117,473 Taiwan Semiconductor Manufacturing Company Limited 457,123 7.45

Total Taiwan 1,382,495 22.56


2,861 Hollysys Automation Technologies Limited 61,626 1.00

Total Virgin Islands (British) 61,626 1.00




Rights

HONG KONG

8,883 New World Development Company Right 1,832 0.03


Total Rights 1,832 0.03







90


Market % of

Value Net Asset


Market % of

Value Net Asset






Equities

AUSTRALIA

5,900 Origin Energy Limited 78,144 0.522,096 Woodside Petroleum Limited 75,803 0.50


BERMUDA

11,536 Kosmos Energy Limited 126,896 0.84


CANADA

7,239 Canadian Natural Resources Limited (CAD) 277,886 1.85

2,284 Canadian Natural Resources Limited (USD) 87,637 0.58

8,844 Cenovus Energy Inc. 256,165 1.706,313 Enbridge Inc. 287,180 1.917,778 Suncor Energy Inc. (USD) 271,919 1.818,924 Suncor Energy Inc. (CAD) 312,168 2.075,490 Talisman Energy Inc. 54,813 0.363,010 Tourmaline Oil Corp. 142,516 0.952,022 TransCanada Corp. 92,055 0.61

Total Canada 1,782,339 11.84

CURACAO

10,566 Schlumberger Limited 1,030,184 6.85

Total Curacao 1,030,184 6.85

FRANCE

4,973 Total SA 326,252 2.174,828 Total SA - ADR 316,717 2.10


ITALY

6,985 ENI SpA 175,309 1.17


NETHERLANDS

1,882 Frank's International NV 46,636 0.318,770 Royal Dutch Shell plc - ADR 640,736 4.26


SWITZERLAND

9,298 Weatherford International Limited 161,413 1.07





UNITED KINGDOM

17,994 BG Group plc 335,235 2.2317,512 BP plc - ADR 842,327 5.6114,330 Cairn Energy plc 39,873 0.26

1,697 Ensco International Inc. 89,568 0.6013,700 Premier Oil plc 67,355 0.4525,800 Rockhopper Exloration plc 42,797 0.28

1,855 Tullow Oil plc 23,148 0.15


UNITED STATES

8,069 Anadarko Petroleum Corp. 683,928 4.553,500 Apache Corp. 290,325 1.932,607 Atwood Oceanics Inc. 131,367 0.872,254 Cabot Oil & Gas Corp. 76,366 0.511,488 Cameron International Corp. 91,914 0.61

10,508 Chevron Corp. 1,249,507 8.315,919 Cobalt International Energy 108,436 0.729,794 ConocoPhillips 689,008 4.581,453 Continental Resources Inc. 180,564 1.202,047 Delek US Holdings Inc. 59,445 0.401,278 Dril-Quip Inc. 143,264 0.953,848 EOG Resources Inc. 754,862 5.021,427 EQT Corp. 138,376 0.92

10,775 Exxon Mobil Corp. 1,052,502 7.003,216 FMC Technologies Inc. 168,165 1.12

10,455 Halliburton Company 615,695 4.091,522 Marathon Oil Corp. 54,061 0.362,905 Marathon Petroleum Corp. 252,851 1.684,563 Noble Energy Inc. 324,156 2.152,441 Occidental Petroleum Corp. 232,603 1.551,720 PBF Energy Inc. 44,376 0.294,301 Phillips 66 331,435 2.20

880 Pioneer Natural Resources Company 164,683 1.09

4,150 Plains Gp Holdings LP 116,117 0.77910 Range Resources Corp. 75,503 0.50

1,506 SemGroup Corp. 98,914 0.663,421 Spectra Energy Corp. 126,372 0.845,037 Superior Energy Services Inc. 154,938 1.031,896 Valero Energy Corp. 100,678 0.671,384 Williams Companies Inc. 56,163 0.37






91




Market % of

Value Net Asset




Warrants Equity

UNITED STATES

33,558 Kinder Morgan Inc. - Wts 25/05/2017 59,398 0.39


Total Warrants Equity 59,398 0.39


market instruments 59,398 0.39


Funds

UNITED STATES

2,548 Energy Select Sector SPDR Fund 226,925 1.51


Total Funds 226,925 1.51


in transferable securities 226,925 1.51




92


Market % of

Value Net Asset


Market % of

Value Net Asset






Equities

BERMUDA

29,838 Marvell Technology Group Limited 469,949 2.06


CAYMAN ISLANDS

400 Baidu.com - ADR 60,952 0.27 11,049 Montage Technology Group

Limited 221,201 0.97


INDIA

5,200 Tech Mahindra Limited 156,319 0.68


IRELAND

5,700 King Digital Entertainment plc 103,683 0.45 2,300 Seagate Technology 129,168 0.57


ISRAEL

21,868 Check Point Software Technologies 1,478,933 6.47

13,200 Tower Semiconductor Limited 120,648 0.53

Total Israel 1,599,581 7.00

JAPAN

5,600 Anritsu Corp. 64,437 0.28 2,400 Nidec Corp. 146,328 0.64



8,374 Wns Holdings Limited - ADR 150,732 0.66


NETHERLANDS

6,500 ASM International NV 261,010 1.14 11,000 Avg Technologies NV 230,560 1.01

1,200 NXP Semiconductor NV 70,572 0.31






200 Samsung Electronics Company Limited 252,336 1.10


SINGAPORE

7,203 Avago Technologies Limited 463,945 2.03


SOUTH AFRICA

9,500 Mix Telematics Limited - ADR 102,410 0.45


TAIWAN

17,000 Taiwan Semiconductor Manufacturing Company Limited - ADR 340,340 1.49

Total Taiwan 340,340 1.49

UNITED STATES

13,400 Activision Blizzard Inc. 273,896 1.20 31,484 Advanced Micro Devices Inc. 126,251 0.55

2,072 Apple Inc. 1,112,125 4.86 2,100 Arrow Electronics Inc. 124,656 0.55

10,118 Audience Inc. 126,475 0.55 2,700 Avnet Inc. 125,631 0.55

24,100 Broadcom Corp. 758,668 3.32 4,000 Broadsoft Inc. 106,920 0.47

900 CBS Corp. 55,620 0.24 15,100 Cisco Systems Inc. 338,391 1.48

8,550 Citrix Systems Inc. 491,027 2.15 1,614 Commvault Systems Inc. 104,829 0.46 1,800 Computer Sciences Corp. 109,476 0.48 9,225 Electronics for Imaging 399,535 1.75

28,700 EMC Corp. 786,667 3.44 2,200 Finisar Corp. 58,322 0.26 3,700 Flir Systems Inc. 133,200 0.58 2,100 GameStop Corp. 86,310 0.38 1,000 Google Inc. 1,114,510 4.88 2,000 Informatica Corp. 75,560 0.33 4,900 Kla-Tencor Corp. 338,786 1.48

27,575 Lam Research Corp. 1,516,624 6.64 15,001 Lattice Semiconductor Corp. 117,608 0.51

93




Market % of

Value Net Asset







8,628 Mattson Technology Inc. 20,017 0.09 9,100 Maxim Integrated Products Inc. 301,392 1.32

17,600 Microsemi Corp. 440,528 1.93 4,800 Microsoft Corp. 196,752 0.86

12,594 NetApp Inc. 464,719 2.03 2,500 News Corp. Inc. 79,925 0.35

25,200 Nuance Communications Inc. 432,684 1.89 3,000 Oracle Corp. 122,730 0.54 1,070 Parametric Technology Corp. 37,910 0.17 8,301 Qualcomm Inc. 654,617 2.86 4,572 Salesforce.com Inc. 261,015 1.14

18,685 Skyworks Solutions Inc. 701,061 3.07 3,500 Solarwinds Inc. 149,205 0.65

11,000 Spansion Inc. 191,620 0.84 12,400 Synaptics Inc. 744,248 3.26 41,332 Synopsys Inc. 1,587,562 6.95 48,700 Teradyne Inc. 968,643 4.24

1,600 TIBCO Software Inc. 32,512 0.14 21,400 TriQuint Semiconductor Inc. 286,546 1.25

3,300 Trulia Inc. 109,560 0.48 2,200 Veeva Systems Inc. 58,740 0.26 1,000 Visa Inc. 215,860 0.94 3,400 VMware Inc. 367,268 1.61









94


Market % of

Value Net Asset


Market % of

Value Net Asset






Equities

AUSTRALIA

50,529 CSL Limited 2,363,642 1.97 43,825 Woodside Petroleum Limited 1,149,981 0.96


CANADA

55,641 Suncor Energy Inc. 1,412,199 1.18


CHINA

558,500 China Shenhua Energy Company Limited 1,170,164 0.98

Total China 1,170,164 0.98

CURACAO

29,874 Schlumberger Limited 2,113,343 1.76

Total Curacao 2,113,343 1.76

DENMARK

109,920 Novo-Nordisk A/S 3,633,581 3.02


FRANCE

20,500 Compagnie Generale d’Optique Essilor International 1,500,600 1.25

16,530 L’Oreal SA 1,978,641 1.65


HONG KONG

702,600 Aia Group Limited 2,418,418 2.02 183,000 China Mobile Hong Kong

Limited 1,215,304 1.01 274,000 CLP Holdings Limited 1,499,277 1.25

1,559,000 Cnooc Limited 1,700,279 1.42 1,231,243 Hong Kong & China Gas 1,948,586 1.62


JAPAN

101,300 Chugai Pharmaceutical Company Limited 1,880,564 1.57

47,800 Denso Corp. 1,666,309 1.39 15,800 Fanuc Limited 2,026,496 1.69




JAPAN (continued)

52,000 Honda Motor Company Limited 1,331,331 1.11 8,001 Keyence Corp. 2,399,639 2.00

98,400 Komatsu Limited 1,482,179 1.24 46,600 Shin-Etsu Chemical Company

Limited 1,936,371 1.61

Total Japan 12,722,889 10.61

SINGAPORE

233,344 DBS Group Holdings Limited 2,176,975 1.82

Total Singapore 2,176,975 1.82

SPAIN

21,558 Inditex SA 2,347,666 1.96

Total Spain 2,347,666 1.96

SWEDEN

69,956 Hennes & Mauritz AB 2,160,687 1.80


SWITZERLAND

38,514 Nestle SA - Reg 2,105,260 1.76 9,629 Roche Holding AG 2,095,879 1.75 1,231 SGS SA - Reg 2,203,203 1.84 2,600 Swatch Group AG - B 1,183,102 0.99 7,634 Syngenta AG - Reg 2,096,177 1.74


UNITED KINGDOM

167,519 BG Group plc 2,264,427 1.89 284,596 HSBC Holdings plc 2,091,327 1.74

43,541 Reckitt Benckiser plc 2,573,876 2.14 126,972 Standard Chartered Bank plc 1,925,214 1.60 205,933 Tesco plc 735,840 0.61


UNITED STATES

47,454 Adobe Systems Inc. 2,263,469 1.89 20,365 Amphenol Corp. 1,354,219 1.13 43,797 Automatic Data Processing Inc. 2,455,111 2.05

130,283 Cisco Systems Inc. 2,118,369 1.77 52,658 Colgate-Palmolive Company 2,478,451 2.06 22,239 CR Bard Inc. 2,387,758 1.99

95




Market % of

Value Net Asset







17,042 EOG Resources Inc. 2,425,633 2.01 62,543 Fastenal Company 2,238,071 1.87

3,664 Google Inc. 2,962,862 2.47 4,000 Intuitive Surgical Inc. 1,271,148 1.06

28,289 Johnson & Johnson 2,016,201 1.68 71,570 Mastercard Inc. 3,879,033 3.22 85,293 Microsoft Corp. 2,536,666 2.11 56,749 Nike Inc. 3,041,162 2.53 73,450 Oracle Corp. 2,180,185 1.82 21,302 Praxair Inc. 2,024,250 1.69 14,656 Precision Castparts Corp. 2,687,793 2.24 37,747 Qualcomm Inc. 2,159,788 1.80 24,710 Sigma-Aldrich Corp. 1,674,166 1.40 48,228 Stryker Corp. 2,850,815 2.37 87,765 TJX Companies Inc. 3,862,105 3.21 34,339 Wal-Mart Stores Inc. 1,904,248 1.59

6,700 WW Grainger Inc. 1,228,240 1.02









96


Market % of

Value Net Asset


Market % of

Value Net Asset






Equities

BERMUDA

47,277 Credicorp Limited 6,520,444 1.74

Total Bermuda 6,520,444 1.74

BRAZIL

498,100 Ambev SA - ADR 3,690,921 0.99 132,200 Cielo SA 4,236,374 1.13

1,071,900 Companhia de Concessoes Rodoviarias 8,274,978 2.21

382,900 CPFL Energia SA - ADR 6,252,757 1.67 781,400 EcoRodovias Infraestrutura

e Logistica SA 4,709,522 1.26 824,900 Petroleo Brasileiro SA Pfd 5,768,631 1.54 755,000 Vale SA - ADR (US91912E2046) 9,399,750 2.51 158,700 Vale SA - ADR (US91912E1055) 2,194,821 0.59

Total Brazil 44,527,754 11.90

CAYMAN ISLANDS

8,188,733 Belle International Holdings Limited 8,160,178 2.18

665,000 Hengan International Group Company Limited 6,888,283 1.84


CHILE

559,000 Enersis SA - ADR 8,681,270 2.32

Total Chile 8,681,270 2.32

CHINA

1,826,500 China Shenhua Energy Company Limited 5,274,377 1.41

291,300 Mindray Medical International Limited - ADR 9,426,468 2.53

Total China 14,700,845 3.94

HONG KONG

751,000 Beijing Enterprises Holdings Limited 6,728,654 1.80

1,444,000 China Mobile Hong Kong Limited 13,216,882 3.54

4,022,000 China Resources Power Holdings Company 10,473,622 2.81





INDIA

252,535 Axis Bank Limited 6,175,645 1.65 1,308,891 Cairn India Limited 7,298,052 1.95

300,066 Housing Development Finance Corp. 4,440,983 1.19

358,408 Larsen & Toubro Limited 7,632,905 2.04 577,459 Rural Electrifi cation Corp Limited 2,220,963 0.59

Total India 27,768,548 7.42

INDONESIA

426,600 Astra International Tbk PT 276,958 0.07 6,950,600 Bank Mandiri Persero Tbk PT 5,782,089 1.55 7,365,200 Bank Rakyat Indonesia 6,208,033 1.66

12,490,900 Perusahaan Gas Negara PT 5,635,316 1.51


KAZAKHSTAN

303,773 KazMunaiGas Exploration Production - GDR 4,252,822 1.14

Total Kazakhstan 4,252,822 1.14

MALAYSIA

4,509,100 AMMB Holdings Bhd 9,914,366 2.66 4,100,200 Genting Malaysia Bhd 5,273,572 1.41


MEXICO

313,500 America Movil SAB de CV - ADR 6,232,380 1.67 4,016,075 Fibra Uno Administracion SA

de CV 12,997,377 3.48 659,900 Grupo Financiero Santander

Mexico SAB de CV - ADR 8,110,171 2.17

Total Mexico 27,339,928 7.32

PHILIPPINES

166,000 Philippine Long Distance Telephone - ADR 10,129,320 2.71

Total Philippines 10,129,320 2.71


50,211 Hyundai Mobis 14,858,778 3.98 11,603 Samsung Electronics Company

Limited 14,639,289 3.92


97




Market % of

Value Net Asset


Market % of

Value Net Asset






RUSSIAN FEDERATION

1,018,982 Gazprom OAO - ADR 7,851,849 2.10800,408 Sberbank of Russia - ADR 7,779,966 2.08


SOUTH AFRICA

279,704 Bidvest Group Limited 7,403,795 1.98 328,473 Woolworths Holdings Limited 2,291,650 0.61

Total South Africa 9,695,445 2.59

TAIWAN

333,000 Asustek Computer Inc. 3,296,919 0.88 1 Chinatrust Financial Holding

Company 1 0.00 5 Chunghwa Telecom Company

Limited 15 0.00 1 Lite-On Technology Corp. 1 0.00 1 MediaTek Inc. 15 0.00 1 Pegatron Corp. 1 0.00

2,580,000 Taiwan Mobile Company Limited 8,082,483 2.16

3,854,214 Taiwan Semiconductor Manufacturing Company Limited 14,997,914 4.01

Total Taiwan 26,377,349 7.05

THAILAND

1,189,500 PTT pcl 10,816,921 2.89


TURKEY

438,585 Tupras-Turkiye Petrol Rafi nerileri 9,287,528 2.49

2,732,417 Turk Telekomunikasyon AS 7,599,974 2.03

Total Turkey 16,887,502 4.52

UNITED KINGDOM

191,160 Sabmiller plc 9,558,817 2.56 271,949 Unilever plc 11,611,056 3.11





UNITED STATES

125,300 Yum! Brands Inc. 9,446,367 2.54









98


Market % of

Value Net Asset

Quantity Investment GBP Value

Market % of

Value Net Asset






Equities

CANADA

277,486 First Quantum Minerals Limited 3,068,995 2.95


IRELAND

51,136 CRH plc 856,528 0.82 58,600 DCC plc 1,910,360 1.83

156,202 Ryanair Holdings plc 986,582 0.95



1,449,856 Breedon Aggregates Limited 666,934 0.64 75,900 Experian plc 820,479 0.79

321,360 Glencore International plc 992,360 0.95 142,779 Phoenix Group Holdings 941,628 0.90

42,820 Wolseley plc 1,460,590 1.40


LUXEMBOURG

345,030 AZ Electronic Materials SA 1,389,781 1.34


UNITED KINGDOM

76,895 Amec plc 862,762 0.83 91,167 AstraZeneca plc 3,534,089 3.40

216,774 Aviva plc 1,034,012 0.99 490,585 Barclays Bank 1,145,025 1.10

61,596 Bellway plc 1,022,494 0.98 156,040 BG Group plc 1,743,747 1.68

1,343,774 Booker Group plc 2,218,571 2.13 845,026 BP plc 4,056,124 3.90

41,897 British American Tobacco plc 1,397,474 1.34 960,734 BT Group plc 3,645,986 3.50

45,950 Carnival plc 1,049,498 1.01 154,392 Compass Group plc 1,412,687 1.36 356,284 Crest Nicholson Holdings plc 1,401,265 1.35 164,303 Daily Mail & General Trust 1,427,793 1.37 198,224 Davis Service Group plc 2,216,145 2.12

85,167 De La Rue plc 693,685 0.67 39,306 Derwent London plc 1,065,193 1.02 47,642 Diageo plc 886,618 0.85

534,072 DS Smith plc 1,733,064 1.67 51,046 Easyjet plc 875,439 0.84

114,193 Filtrona plc 996,334 0.96





174,899 G4S plc 422,381 0.41 408,296 GKN plc 1,593,579 1.53 219,543 GlaxoSmithKline plc 3,494,027 3.36 336,877 Grainger Trust plc 811,874 0.78 120,406 Headlam Group plc 577,949 0.56 265,001 HSBC Holdings plc 1,609,882 1.54

43,242 IMI plc 630,468 0.61 101,879 Imperial Tobacco Group plc 2,468,529 2.38 245,076 Investec plc 1,188,128 1.14 319,099 ITE Group plc 609,479 0.59

61,067 Johnson Matthey plc 1,997,501 1.91 844,771 Legal & General Group plc 1,729,246 1.67

92,870 London Stock Exchange Group plc 1,829,539 1.76

443,650 Melrose plc 1,317,197 1.27 549,939 Merlin Entertainments plc 2,073,270 1.99 459,234 Old Mutual plc 923,520 0.89

61,307 Pearson plc 651,693 0.63 178,161 PZ Cussons plc 627,483 0.60

38,554 Reckitt Benckiser plc 1,884,134 1.81 175,156 Reed Elsevier plc 1,604,429 1.54 770,039 Rentokil Initial plc 947,148 0.91

61,347 Rio Tinto plc 2,047,456 1.97 107,400 Rolls-Royce Holdings plc 1,153,476 1.11

94,941 Royal Dutch Shell plc 2,222,094 2.14 187,741 Royal Mail plc 1,056,981 1.02 163,729 Rpc Group plc 1,033,949 0.99

1,091,661 RSA Insurance Group 977,582 0.94 28,239 SABMiller plc 845,758 0.81

488,421 Sage Group plc 2,042,088 1.96 12,569 Schroders plc 326,543 0.31 22,775 Schroders plc 458,916 0.44 31,196 Signet Group plc 1,985,001 1.91

197,118 Smith & Nephew plc 1,791,803 1.72 110,657 Smiths Group plc 1,407,557 1.34 123,953 St James’s Place plc 1,022,612 0.98 215,933 Stagecoach Group plc 852,288 0.82

54,537 Standard Chartered Bank plc 683,621 0.66 247,723 SVG Capital plc 1,039,198 1.00 139,335 Tullow Oil plc 1,042,922 1.00

29,500 Ultra Electronics Holdings 528,050 0.51 101,965 Unilever plc 2,611,323 2.52

11,000 W&G Investments plc 737 0.00 87,957 Wetherspoon (JD) plc 753,352 0.72

227,460 Wood Group (John) plc 1,744,618 1.68


Total Equities 104,131,623 100.07

99




Market % of

Value Net Asset





Rights

UNITED KINGDOM

405,204 RSA Insurance Group plc Right 135,743 0.13


Total Rights 135,743 0.13





(Total cost: GBP 93,348,837)

Threadneedle (Lux) - American Absolute Alpha

100


Market % of

Value Net Asset


Market % of

Value Net Asset






Equities

CANADA

14,566 Methanex Corp. 931,350 0.36


IRELAND

39,253 Ingersoll-Rand plc 2,246,842 0.88





NETHERLANDS

25,635 LyondellBasell Industries NV 2,279,977 0.89


UNITED KINGDOM

24,257 Liberty Global Inc. - A 1,009,091 0.40 24,257 Liberty Global plc 987,502 0.38


UNITED STATES

20,515 Airgas Inc. 2,185,053 0.85 6,775 Alliance Data Systems Corp. 1,845,849 0.72

48,738 Avis Budget Group Inc. P.P. 144A 2,373,541 0.92

22 Bank of America Corp. 378 0.00 51,000 Bristol-Myers Squibb Company 2,649,450 1.03 64,964 CB Richard Ellis Group Inc. 1,781,963 0.69 25,762 Charter Communications Inc. 3,173,879 1.24 33,200 Citigroup Inc. 1,580,320 0.62 40,500 Coach Inc. P.P. 144A 2,011,230 0.78

52 Cree Inc. 2,941 0.00 63,246 Delta Air Lines Inc. 2,191,474 0.85 45,938 Discover Financial Services 2,673,132 1.04 50,030 Ebay Inc. 2,763,657 1.08 35,000 Facebook Inc. - A 2,108,400 0.82 75,388 Fidelity National Title Group Inc. 2,370,199 0.92 60,000 First American Corp. 1,802,400 0.70

117,000 Genworth Financial Inc. 2,074,410 0.81 117,000 Hertz Global Holdings Inc. 3,116,880 1.21

50,265 Informatica Corp. 1,899,012 0.74 35,335 Lam Research Corp. 1,943,425 0.76

8,333 Ltd Brands Inc. 473,064 0.18 21,970 Mastercard Inc. 1,641,159 0.64





17,394 Mohawk Industries Inc. 2,365,236 0.92 63,268 News Corp. Inc. 2,022,678 0.79

1,653 Priceline.com Inc. 1,970,194 0.77 6,737 Pricesmart Inc. 679,965 0.26

121,312 Spansion Inc. 2,113,255 0.82 52,040 Springleaf Holdings Inc. 1,308,806 0.51 34,770 Synaptics Inc. 2,086,895 0.81 12,183 Trex Company Inc. 891,308 0.35

7,331 Visa Inc. 1,582,470 0.62 4,700 Wynn Resorts Limited 1,044,105 0.41










101


Market % of

Value Net Asset


Market % of

Value Net Asset





Bonds

GEORGIA


Total Georgia 214,252 4.17

INDIA

USD 200,000 Export-Import Bank of India 3.88% 02/10/2019 200,927 3.91


IRELAND

USD 215,000 Rosneft 4.20% 06/03/2022 192,281 3.75


LUXEMBOURG



SRI LANKA

USD 200,000 National Savings Bank 8.88% 18/09/2018 223,623 4.35


VENEZUELA

USD 225,000 Petroleos de Venezuela SA 5.25% 12/04/2017 169,333 3.29


Total Bonds 1,207,714 23.50


Debt Instruments

BRAZIL

BRL 1,050 Brazil (Govt of) 0.00% 01/07/2014 453,855 8.84BRL 277 Brazil (Govt of) 0.00% 01/01/2015 113,230 2.20


COLOMBIA

COP 362,000,000 Columbia (Govt of) 4.38% 21/03/2023 167,469 3.26

COP 240,000,000 Columbia (Govt of) 9.85% 28/06/2027 159,217 3.10






CROATIA


Total Croatia 155,750 3.03

DOMINICAN REPUBLIC




HUNGARY

HUF 58,500,000 Hungary (Govt of) 5.50% 20/12/2018 271,862 5.30



USD 200,000 Hungarian Development Bank 6.25% 21/10/2020 211,820 4.12


INDONESIA



ROMANIA

USD 100,000 Romania (Govt of) 4.88% 22/01/2024 101,886 1.98

Total Romania 101,886 1.98

SLOVENIA



SOUTH AFRICA

ZAR 1,385,640 South Africa (Govt of) 7.00% 28/02/2031 111,676 2.17


102




Market % of

Value Net Asset


Market % of

Value Net Asset







TURKEY



UKRAINE


Total Ukraine 196,439 3.82








Bonds

MEXICO







Debt Instruments

UNITED STATES

USD 53,000 United States Treasury Bill 0.00% 22/05/2014 52,999 1.03






Public Authorities, Debt Instruments 211,985 4.12








103


Market % of



Market % of







Debt Instruments

AUSTRALIA








Structured Instruments - Commodities

IRELAND

USD 499 Source Physical Markets Gold ETC 0.00% 63,348 0.48


Total Structured Instruments - Commodities 63,348 0.48







Debt Instruments

UNITED STATES




USD 725,000 United States Treasury Infl ation Indexed N/B 0.13% 15/01/2023 701,947 5.27

USD 50,000 United States Treasury Infl ation Indexed N/B FRN 15/02/2041 64,249 0.48

USD 1,000,000 United States Treasury N/B 0.25% 15/05/2015 1,001,191 7.52















Funds

LUXEMBOURG

15,018 Threadneedle (Lux) - Enhanced Commodities Portfolio 350,510 2.63


UNITED KINGDOM

USD 1,504,793 Threadneedle Global Select Fund 2,203,770 16.54

104,850 Threadneedle Global Emerging Markets Equity Fund 130,286 0.98

97,785 Threadneedle European High Yield Bond Fund 136,834 1.03

95,577 Threadneedle Emerging Market Local Fund 276,771 2.08

259,237 Threadneedle UK Extended Alpha Fund 665,990 5.00


Total Funds 3,764,161 28.26


in transferable securities 3,764,161 28.26




104


Market % of

Value Net Asset


Market % of

Value Net Asset






Equities

AUSTRALIA

4,555 Ansell Limited 56,392 1.13


AUSTRIA

615 Schoeller-Bleckmann Oilfi eld Equipment AG 52,201 1.05


BELGIUM

1,879 Umicore 69,504 1.40


CANADA

4,385 Ritchie Bros Auctioneers Inc. 76,771 1.54


DENMARK

2,773 Christian Hansen Holding A/S 79,855 1.60


FINLAND

620 Wartsila Oyj 24,447 0.49


FRANCE

2,270 Bureau Veritas SA 50,519 1.01934 Criteo SA - ADR 27,480 0.55

3,727 Electricite de France SA 84,882 1.70371 Eurofi ns Scientifi c 80,599 1.61230 Iliad SA 48,139 0.97

2,210 Korian-Medica Kori Fp 61,549 1.24


GERMANY

756 Brenntag AG 101,795 2.05691 Fuchs Petrolub AG Pfd 50,319 1.01997 Gerresheimer AG 46,834 0.94

1,366 Grenkeleasing AG 109,007 2.191,489 Norma Group 57,275 1.151,555 Symrise 56,384 1.13





IRELAND

4,351 Dalata Hotel Group Limited 12,357 0.2520,000 Green Reit plc 24,000 0.48


JAPAN

2,500 Daifuku Company Limited 22,474 0.451,400 Green Hospital Supply Inc. 39,059 0.781,100 Makita Corp. 43,941 0.886,300 OSG Corp. 79,450 1.601,000 Sanrio Company Limited 24,518 0.491,400 Santen Pharmaceutical

Company Limited 45,174 0.9114,000 Shimadzu Corp. 90,447 1.82

1,400 Sho-Bond Holdings Company Limited 44,977 0.90

6,600 Yokogawa Electric Corp. 77,514 1.56


LUXEMBOURG

2,038 Saf-Holland SA 23,019 0.46


NORWAY

2,117 TGS Nopec Geophysical Company ASA 50,362 1.01


SPAIN

1,764 Lar Espana Real Estate Socim Lre Sm 18,310 0.37


SWEDEN

9,821 Elekta AB 94,792 1.90


SWITZERLAND

34 Belimo Holding AG - Reg 68,393 1.37


105




Market % of

Value Net Asset


Market % of

Value Net Asset






UNITED KINGDOM

2,159 Aveva Group plc 54,686 1.093,059 Close Brothers Group plc 52,247 1.055,605 Crest Nicholson Holdings plc 26,665 0.545,331 Domino Printing Sciences 50,717 1.021,602 Genus plc 19,184 0.39

11,440 Merlin Entertainments plc 52,169 1.052,567 Oxford Instruments plc 39,341 0.793,133 Shaftesbury plc 24,937 0.507,540 St James's Place plc 75,244 1.518,567 Tyman plc 31,088 0.622,360 Victrex plc 57,351 1.15


UNITED STATES

501 Affi liated Managers Group 72,719 1.46612 Airgas Inc. 47,295 0.95848 Align Technology Inc. 31,865 0.64556 Alliance Data Systems Corp. 109,909 2.21

2,100 Avis Budget Group Inc. P.P. 144A 74,203 1.49

768 BE Aerospace Inc. 48,362 0.972,430 Cinemark Holdings Inc. 51,148 1.034,000 Conseco Inc. 52,530 1.05

858 Eagle Materials Inc. 55,193 1.114,647 Fidelity National Title Group Inc. 106,006 2.138,924 First Horizon National Corp. 79,900 1.60

587 Idexx Laboratories Inc. 51,705 1.041,164 IHS Inc. 102,613 2.061,945 JB Hunt Transport Services Inc. 101,494 2.044,825 Lkq Corp. 92,247 1.851,792 Madison Square Gar Inc. 73,825 1.482,424 Mattress Firm Holding Corp. 84,121 1.69

544 Mettler Toledo International Inc. 93,024 1.861,716 Owens Corning 53,749 1.08

993 Petsmart Inc. 49,634 1.00947 Santander Consumer Usa

Holdings Inc. 16,545 0.332,592 Sinclair Broadcast Group Inc. 50,947 1.021,967 Sirona Dental Systems Inc. 106,567 2.132,295 Spirit Airlines Inc. 98,910 1.991,675 SS&C Technologies Holdings 48,637 0.98

852 Stericycle Inc. 70,237 1.41801 Towers Watson & Company 66,283 1.33900 Tractor Supply Company 46,122 0.93415 Transdigm Group Inc. 55,765 1.12

1,696 United Rentals Inc. 116,827 2.341,027 Verisk Analytics Inc. 44,679 0.90





661 Wabco Holdings Inc. 50,626 1.02449 Wd-40 Company 25,270 0.51

1,713 Wesco International Inc. 103,432 2.081,699 Williams-Sonoma Inc. 82,148 1.641,741 World Fuel Services Corp. 55,707 1.124,560 Zions Bancorporation 102,499 2.06









106


Market % of

Value Net Asset


Market % of

Value Net Asset






Bonds

AUSTRALIA

GBP 825,000 QBE Insurance Group Limited 6.13% 28/09/2015 1,457,766 0.48

EUR 1,600,000 Santos Finance Limited FRN 22/09/2070 2,499,506 0.84


AUSTRIA

EUR 600,000 Bawag Psk Bank Fuer Arbeit Und Wirtschaft Und Oesterreichische Postsparkasse Ag 8.13% 30/10/2023 929,988 0.31

EUR 450,000 Hypo Alpe-Adria - ADR 4.38% 24/01/2017 619,971 0.21

Total Austria 1,549,959 0.52

BELGIUM

USD 1,000,000 KBC Bank NV FRN 25/01/2023 1,123,170 0.38 EUR 70,000 KBC Bank NV 8.00% 29/05/2049 97,361 0.03 EUR 1,430,000 KBC Groep NV FRN 19/12/2049 1,937,895 0.65


CAYMAN ISLANDS

USD 1,480,000 Hutchison Whampoa International Limited 6.00% 29/12/2049 1,567,809 0.53

USD 1,250,000 Qnb Finance Limited FRN 31/10/2016 1,264,063 0.43

USD 200,000 Sable International Finance Limited 8.75% 01/02/2020 225,533 0.08

GBP 718,000 Yorkshire Water FRN 24/04/2025 1,302,656 0.44


CHILE

USD 229,000 Corp. Nacional del Cobre de Chile 3.75% 04/11/2020 232,742 0.08

Total Chile 232,742 0.08

CZECH REPUBLIC

EUR 1,030,000 CE Energy AS 7.00% 01/02/2021 1,479,497 0.50 EUR 545,000 RPG Byty sro 6.75% 01/05/2020 769,238 0.26

Total Czech Republic 2,248,735 0.76



Bonds (continued)

DENMARK

GBP 1,000,000 Danske Bank FRN 29/09/2021 1,751,716 0.59 EUR 430,000 Danske Bank A/S FRN

31/10/2049 593,883 0.20


FRANCE

EUR 450,000 Autodis SA 6.50% 01/02/2019 641,107 0.22 EUR 600,000 Bureau Veritas SA 3.13%

21/01/2021 851,407 0.29 EUR 800,000 Casino Guichard Perrachon SA

3.99% 09/03/2020 1,217,033 0.41 USD 2,290,000 Credit Agricole SA FRN

19/09/2033 2,627,271 0.89 EUR 2,067,000 Labco SAS 8.50% 15/01/2018 3,048,532 1.02 EUR 516,000 Novalis SAS 6.00% 15/06/2018 753,755 0.25 EUR 180,000 Renault SA 3.13% 05/03/2021 251,371 0.08 EUR 100,000 SPCM SA 5.50% 15/06/2020 149,718 0.05


GEORGIA

USD 1,479,000 Georgian Railway JSC 7.75% 11/07/2022 1,584,393 0.54


GERMANY

EUR 570,000 Deutsche Raststätten Gruppe IV GmbH 6.75% 30/12/2020 859,740 0.30

EUR 1,100,000 Techem GmbH 6.13% 01/10/2019 1,659,504 0.56 EUR 160,000 Trionista Holdco GmbH 5.00%

30/04/2020 231,452 0.08 EUR 135,000 Unitymedia Hessen GmbH &

Company 5.75% 15/01/2023 202,525 0.07


GUERNSEY - CHANNEL ISLANDS

USD 1,433,000 Csg Guernsey I Limited 7.88% 24/02/2041 1,557,513 0.52

Total Guernsey -

Channel Islands 1,557,513 0.52

INDONESIA

USD 900,000 Perusahaan Penerbit Sbsn Indonesia 4.00% 21/11/2018 920,790 0.31


107




Market % of

Value Net Asset


Market % of

Value Net Asset





Bonds (continued)

IRELAND

EUR 1,705,000 Bank of Ireland 3.25% 15/01/2019 2,437,486 0.82

EUR 1,000,000 Bank of Ireland 10.00% 30/07/2016 1,513,876 0.51

EUR 350,000 Nara Cable Funding Limited 8.88% 01/12/2018 526,622 0.18

USD 5,000,000 Rosneft 4.20% 06/03/2022 4,471,650 1.51


ITALY

EUR 888,000 Assicurazioni Generali SpA 2.88% 14/01/2020 1,263,515 0.43

EUR 2,000,000 Banca Monte dei Paschi di Siena SpA 3.50% 20/03/2017 2,890,052 0.97

EUR 1,145,000 Davide Campari-Milano SpA 4.50% 25/10/2019 1,705,670 0.57

EUR 500,000 Gamenet SpA 7.25% 01/08/2018 715,916 0.25 GBP 2,700,000 Telecom Italia SpA 5.63%

29/12/2015 4,747,910 1.59 EUR 100,000 Zobele Holding SpA 7.88%

01/02/2018 147,863 0.05

Total Italy 11,470,926 3.86

JAPAN

EUR 420,000 Eaccess Limited 8.38% 01/04/2018 637,191 0.22

EUR 570,000 Softbank Corp. 4.63% 15/04/2020 826,477 0.28

Total Japan 1,463,668 0.50


GBP 650,000 Aston Martin Capital Limited 9.25% 15/07/2018 1,179,057 0.40

GBP 350,000 HSBC Capital Funding Jersey Channel Islands FRN 29/06/2049 626,305 0.21

EUR 1,420,000 Prosecure Funding LP 4.67% 30/06/2016 2,052,505 0.69

GBP 695,000 UBM plc 6.50% 23/11/2016 1,282,589 0.43


LUXEMBOURG

EUR 190,000 Altice Financing SA 6.50% 15/01/2022 279,296 0.09

EUR 1,600,000 Bormioli Rocco Holdings 10.00% 01/08/2018 2,407,229 0.81



Bonds (continued)


EUR 504,000 Fiat Finance & Trade SA 6.75% 14/10/2019 786,764 0.27

USD 2,400,000 Gazprom OAO via Gaz Capital SA 4.95% 23/05/2016 2,485,404 0.84

USD 100,000 Gazprom OAO via Gaz Capital SA 8.13% 31/07/2014 101,862 0.03

EUR 350,000 Gcs Holdco Finance I SA 6.50% 15/11/2018 515,127 0.17

EUR 1,454,000 Gelf Bond Issuer I SA 3.13% 03/04/2018 2,092,150 0.70

EUR 895,000 Gestamp Fund Lux SA 5.88% 31/05/2020 1,316,613 0.44

EUR 50,000 HeidelbergCement AG 8.00% 31/01/2017 80,516 0.03

EUR 350,000 Heidelbergcement Finance Luxembourg SA 9.50% 15/12/2018 628,583 0.21

EUR 65,000 Numericable Finance & Company Sca 8.75% 15/02/2019 102,579 0.03

EUR 523,250 Numericable Finance & Company SCA 12.38% 15/02/2019 886,941 0.30

USD 975,000 SB Capital SA 5.50% 07/07/2015 1,017,052 0.34 USD 2,440,000 Sberbank of Russia Via SB

Capital SA 6.13% 07/02/2022 2,529,036 0.85 EUR 100,000 Telenet Finance V Luxembourg

SCA 6.25% 15/08/2022 151,440 0.05 EUR 400,000 Xella Holdco Finance SA 9.13%

15/09/2018 597,077 0.20


NETHERLANDS

EUR 753,000 Achmea BV 2.50% 19/11/2020 1,055,875 0.36 EUR 1,025,000 Bharti Airtel International

Netherlands BV 4.00% 10/12/2018 1,474,894 0.50

EUR 340,000 Cable Communications Systems NV 7.50% 01/11/2020 497,804 0.17

EUR 570,000 Celesio Finance BV 4.50% 26/04/2017 853,388 0.29

EUR 764,000 Deutsche Annington Finance BV 3.63% 08/10/2021 1,121,169 0.38

EUR 1,000,000 HIT Finance BV 5.75% 09/03/2018 1,595,738 0.54

USD 1,436,000 ING Bank NV FRN 21/11/2023 1,443,022 0.49 GBP 519,000 Intergen NV 7.50% 30/06/2021 914,981 0.31

108




Market % of

Value Net Asset


Market % of

Value Net Asset





Bonds (continued)

NETHERLANDS (continued)

EUR 349,000 Interxion Holding 6.00% 15/07/2020 522,111 0.18

EUR 200,000 Koninklijke Kpn NV FRN 14/03/2049 288,225 0.10

GBP 449,000 Koninklijke Kpn NV FRN 14/03/2073 773,990 0.26

USD 400,000 Koninklijke Kpn NV FRN 28/03/2073 416,138 0.14

USD 200,000 Koninklijke Kpn NV FRN 28/03/2073 208,068 0.07

USD 210,000 Linde Finance BV 3.63% 13/11/2014 214,056 0.07

EUR 1,380,000 Madrilena Red de Gas Finance BV 3.78% 11/09/2018 2,044,339 0.69

EUR 1,245,000 Redexis Gas Finance BV 2.75% 08/04/2021 1,710,224 0.58

EUR 600,000 Schaeffl er Finance BV 4.25% 15/05/2018 863,778 0.29

EUR 1,646,000 Schaeffl er Holding Finance BV 6.88% 15/08/2018 2,418,894 0.81

EUR 1,300,000 Telefonica Europe BV FRN 29/09/2049 1,915,802 0.65

GBP 700,000 Telefonica Europe BV FRN 26/11/2049 1,217,221 0.41

EUR 200,000 Telefonica Europe BV FRN 29/09/2049 309,457 0.10

EUR 675,000 TenneT Holding BV 6.66% 28/02/2049 1,033,179 0.35

CHF 491,000 UPC Holding BV 6.75% 15/03/2023 609,335 0.21

EUR 470,000 UPC Holding BV 6.75% 15/03/2023 709,449 0.24


NORWAY

USD 1,565,000 Eksportfi nans ASA 2.00% 15/09/2015 1,550,813 0.52



PORTUGAL

EUR 2,800,000 Banco Espirito Santo SA 4.00% 21/01/2019 3,936,147 1.33




Bonds (continued)

RUSSIAN FEDERATION

EUR 525,000 Russian Railways via Rzd Capital plc 3.37% 20/05/2021 689,396 0.23

USD 1,575,000 Uralkali OJSC via Uralkali Finance Limited 3.72% 30/04/2018 1,510,520 0.51


SPAIN

EUR 600,000 Banco Bilbao Vizcaya Argentaria SA FRN 29/12/2049 836,493 0.28

EUR 250,000 BBVA Senior Finance SAU 3.88% 06/08/2015 358,209 0.12

EUR 220,000 Empark Funding SA FRN 15/12/2019 310,882 0.10

EUR 340,000 Empark Funding SA 6.75% 15/12/2019 503,460 0.17

EUR 300,000 PortAventura FRN 01/12/2019 416,741 0.14 EUR 190,000 Portaventura Entertainment

Barcelona BV 7.25% 01/12/2020 277,895 0.09 USD 875,000 Telefonica Emisiones Sau 3.99%

16/02/2016 917,936 0.31

Total Spain 3,621,616 1.21

SRI LANKA



SWEDEN

USD 300,000 Eileme 2 AB 11.63% 31/01/2020 358,580 0.12


SWITZERLAND

EUR 1,170,000 UBS AG FRN 12/02/2026 1,656,761 0.56 USD 1,470,000 UBS AG FRN 22/02/2022 1,616,596 0.54


TURKEY

USD 1,120,000 Coca-Cola Icecek AS 4.75% 01/10/2018 1,177,238 0.40


109




Market % of

Value Net Asset


Market % of

Value Net Asset





Bonds (continued)

UNITED KINGDOM

GBP 1,400,000 AA Bond Company Limited 9.50% 31/07/2019 2,645,495 0.89

GBP 460,000 Aa Pik Company Limited 9.50% 07/11/2019 807,921 0.27

GBP 1,159,000 Allied Domecq Finance Services 6.63% 12/06/2014 1,952,340 0.66

EUR 228,000 Avis Budget Finance plc 6.00% 01/03/2021 333,528 0.11

EUR 420,000 Barclays Bank plc FRN 15/12/2049 608,833 0.21

USD 1,130,000 Barclays plc FRN 29/12/2049 1,189,150 0.40 USD 1,500,000 BG Energy Capital plc FRN

30/11/2072 1,650,923 0.56 GBP 360,000 British Telecommunications plc

8.50% 07/12/2016 703,230 0.24 GBP 627,000 Bupa Finance plc 7.50%

04/07/2016 1,175,328 0.40 GBP 171,000 CRH Finance plc 8.25%

24/04/2015 304,974 0.10 GBP 170,000 Elli Finance UK plc 8.75%

15/06/2019 316,832 0.11 GBP 1,888,000 Enw Capital Finance plc 6.75%

20/06/2015 3,344,178 1.12 GBP 760,000 First Hydro Finance plc 9.00%

31/07/2021 1,677,515 0.57 GBP 1,145,000 G4s plc 7.75% 13/05/2019 2,277,407 0.77 GBP 715,000 GKN Holdings plc 6.75%

28/10/2019 1,390,834 0.47GBP 340,000 IDH Finance plc 6.00%

01/12/2018 592,100 0.20 USD 1,750,000 Imperial Tobacco Finance plc

2.05% 11/02/2018 1,736,280 0.58 GBP 125,000 Legal & General Group plc FRN

23/07/2041 277,409 0.09 GBP 447,000 Lloyds Banking Group plc FRN



31/12/2049 483,925 0.16 GBP 400,000 Lloyds TSB Bank plc FRN

29/05/2020 697,689 0.24 GBP 250,000 Lloyds TSB Bank plc 7.63%

22/04/2025 508,664 0.17 GBP 845,000 National Express Group plc

6.25% 13/01/2017 1,553,067 0.52 USD 800,000 Nationwide Building Society

5.00% 01/08/2015 843,803 0.28 GBP 590,000 Nationwide Building Society

FRN 11/03/2049 993,957 0.34



Bonds (continued)


GBP 1,660,000 Pennon Group plc FRN 08/03/2049 2,939,495 0.99

GBP 100,000 Priory Group Limited 7.00% 15/02/2018 176,375 0.06

EUR 1,250,000 Royal Bank of Scotland plc FRN 22/09/2021 1,759,000 0.59

EUR 825,000 Royal Bank of Scotland plc 6.93% 09/04/2018 1,299,530 0.44

GBP 590,000 RSA Insurance Group plc FRN 20/05/2039 1,194,501 0.40

USD 125,000 Smiths Group plc 6.05% 15/05/2014 125,665 0.04

GBP 1,700,000 Southern Gas Networks plc FRN 21/10/2015 2,809,850 0.94

EUR 650,000 Thomas Cook Finance plc 7.75% 15/06/2020 991,505 0.33

USD 300,000 Virgin Media Secured Finance plc 6.50% 15/01/2018 311,250 0.10

GBP 148,000 Virgin Media Secured Finance plc 7.00% 15/01/2018 256,479 0.09


UNITED STATES

EUR 450,000 Bank of America Corp. FRN 28/03/2018 607,098 0.20

EUR 952,000 Citigroup Inc. FRN 31/05/2017 1,287,637 0.43 EUR 1,500,000 Citigroup Inc. FRN 30/11/2017 2,050,061 0.69 USD 425,000 Genworth Holdings Inc. 7.63%

24/09/2021 524,031 0.18 GBP 1,050,000 JPMorgan Chase & Company

FRN 30/05/2017 1,710,464 0.58 GBP 200,000 Northern Trust Company/the

5.38% 11/03/2015 343,481 0.12 USD 515,000 Pemex Project Funding Master

Trust 5.75% 01/03/2018 575,366 0.19 USD 849,000 Ppl Capital Funding Inc. 4.20%

15/06/2022 879,254 0.30 USD 3,037,000 Verizon Communications Inc.

5.15% 15/09/2023 3,321,810 1.11


VENEZUELA



Total Bonds 183,386,126 61.78

110




Market % of

Value Net Asset


Market % of

Value Net Asset






AUSTRALIA

EUR 131,534 Firstmac Bond Trust FRN 15/08/2037 179,489 0.06


Total Mortgage and Asset Backed Securities 179,489 0.06


Debt Instruments

DOMINICAN REPUBLIC




HUNGARY

USD 585,000 Mfb Magyar Fejlesztesi Bank Zrt 6.25% 21/10/2020 619,574 0.21


MEXICO

GBP 1,600,000 Mexico (Govt of) 5.63% 19/03/2114 2,566,704 0.86


Total Mexico 11,513,252 3.87

PORTUGAL

EUR 3,350,000 Portugal (Govt of) 5.65% 15/02/2024 5,206,169 1.75

EUR 8,000,000 Portugal (Govt of) OT 4.75% 14/06/2019 11,974,236 4.04


SLOVENIA

USD 1,610,000 Slovenia (Govt of) 4.13% 18/02/2019 1,667,533 0.56

EUR 1,250,000 Slovenia (Govt of) 4.38% 02/04/2014 1,723,243 0.58






SOUTH AFRICA

ZAR 76,132,065 South Africa (Govt of) 7.00% 28/02/2031 6,135,898 2.07

Total South Africa 6,135,898 2.07

SPAIN

EUR 2,400,000 Spain (Govt of) 3.80% 30/04/2024 3,469,138 1.17

Total Spain 3,469,138 1.17

SUPRANATIONAL

USD 250,000 African Export-Import Bank 5.75% 27/07/2016 266,391 0.09


SWEDEN

USD 1,500,000 Swedish Export Credit FRN 14/11/2023 1,470,945 0.50


TURKEY

USD 1,162,000 Hazine Mustesarligi Varlik Kiralama AS 4.56% 10/10/2018 1,181,516 0.40









Bonds

AUSTRALIA

AUD 2,500,000 SGSp Australia Assets Pty Limited 5.50% 12/03/2021 2,326,475 0.78


CAYMAN ISLANDS

USD 895,000 Petrobras International Finance Company 3.88% 27/01/2016 919,720 0.31


111




Market % of

Value Net Asset


Market % of

Value Net Asset





Bonds (continued)

CHILE

USD 2,100,000 Banco Santander Chile FRN 19/01/2016 2,084,250 0.70

Total Chile 2,084,250 0.70

GERMANY

EUR 750,000 Heidelbergcement Finance 7.50% 03/04/2020 1,282,522 0.43


ITALY

USD 1,170,000 Intesa Sanpaolo SpA 2.38% 13/01/2017 1,173,416 0.40

Total Italy 1,173,416 0.40

JAPAN

USD 500,000 Eaccess Limited 8.25% 01/04/2018 549,018 0.18


LUXEMBOURG

EUR 1,700,000 Wind Acquisition Finance 7.38% 15/02/2018 2,484,485 0.84

EUR 1,864,000 Wind Acquisition Finance 11.75% 15/07/2017 2,707,363 0.91


MEXICO

USD 300,000 America Movil SAB de CV FRN 12/09/2016 304,463 0.10



NETHERLANDS

AUD 5,000,000 ABN Amro Bank NV 4.75% 05/02/2019 4,634,829 1.56

EUR 135,000 Carlson Wagonlit BV 7.50% 15/06/2019 203,343 0.07





Bonds (continued)

NORWAY




USD 275,000 Export-Import Bank of Korea 2.88% 17/09/2018 282,549 0.10


UNITED KINGDOM

USD 4,030,000 Abbey National Treasury Services plc 4.00% 13/03/2024 4,060,104 1.37

USD 378,000 Royal Bank of Scotland Group 6.13% 15/12/2022 396,565 0.13

USD 115,000 Tate & Lyle International Finance plc P.P. 144A 5.00% 15/11/2014 117,849 0.04


UNITED STATES

USD 225,000 Chrysler Group LLC 8.00% 15/06/2019 246,984 0.08

USD 780,000 Chrysler Group LLC 8.25% 15/06/2021 882,515 0.30

USD 2,600,000 Mckesson Corp. 2.28% 15/03/2019 2,588,248 0.87

USD 2,980,000 Novartis Capital Corp. 3.40% 06/05/2024 2,985,022 1.01

USD 770,000 Pacifi c Gas & Electric Company 3.75% 15/02/2024 770,273 0.26

USD 825,000 Ppl Capital Fund 3.95% 15/03/2024 826,130 0.28


Total Bonds 37,261,097 12.55


UNITED KINGDOM

USD 310,274 Gracechurch Mortgage Financing plc FRN 20/02/2015 313,591 0.11


Total Mortgage and Asset Backed Securities 313,591 0.11




112




Market % of

Value Net Asset




Bonds

CAYMAN ISLANDS

USD 150,000 UPCB Finance VI Limited 6.88% 15/01/2022 164,250 0.06


NETHERLANDS

USD 2,825,000 Deutsche Annington Finance BV 3.20% 02/10/2017 2,901,922 0.98


UNITED ARAB EMIRATES

AUD 2,400,000 First Gulf Bank Pjsc 5.00% 01/04/2019 2,201,095 0.74

AUD 2,970,000 National Bank of ABu Dhabi Pjsc 4.75% 19/03/2019 2,733,751 0.92

Total United Arab Emirates 4,934,846 1.66

Total Bonds 8,001,018 2.70

Collateralized debt obligations, loans and assimilated instruments

UNITED KINGDOM

GBP 28,600 Sandown Gold plc FRN 20/11/2038 47,814 0.02


Total Collateralized debt obligations, loans and

assimilated instruments 47,814 0.02


AUSTRALIA

AUD 1,408,263 Liberty Funding Pty Limited FRN 15/04/2044 1,303,369 0.43

AUD 500,000 Liberty Funding Pty Limited FRN 10/06/2016 466,011 0.16

AUD 500,000 Liberty Funding Pty Limited FRN 10/08/2016 471,637 0.16

AUD 1,414,743 TRTN FRN 22/03/2043 1,313,431 0.44


Total Mortgage and Asset Backed Securities 3,554,448 1.19





Threadneedle (Lux) - European Select*

113


Market % of

Value Net Asset


Market % of

Value Net Asset





Equities

BELGIUM

3,277 Anheuser-Busch InBev NV 249,380 3.99 721 Umicore 26,670 0.43


DENMARK

2,788 Christian Hansen Holding A/S 80,287 1.28 9,839 Novo-Nordisk A/S 325,244 5.20 1,305 Novozymes A/S 41,653 0.67


FINLAND

2,368 Kone Oyj 72,082 1.15 6,645 Sampo Oyj - A 250,184 4.00

590 Wartsila Oyj 23,264 0.37


FRANCE

1,214 Compagnie Generale d’Optique Essilor International 88,865 1.42

820 Iliad SA 171,626 2.74 3,593 Legrand SA 162,026 2.59 2,859 L’Oreal SA 342,222 5.47

580 Pernod-Ricard SA 49,010 0.78 979 Schneider Electric SA 62,999 1.01


GERMANY

1,360 BASF SE 109,725 1.75 4,301 Bayer AG 422,271 6.75 1,117 Bayerische Motoren Werke AG 102,340 1.64 1,232 Beiersdorf AG 87,226 1.40 1,754 Brenntag AG 236,175 3.79

905 Continental AG 157,380 2.52 11,001 Deutsche Post AG - Reg 296,697 4.75

1,436 Linde AG 208,507 3.33 5,034 Symrise 182,533 2.92 1,419 Wirecard AG 42,740 0.68


IRELAND

104,833 Bank of Ireland 32,289 0.52 19,647 Ryanair Holdings plc 150,103 2.40





NETHERLANDS

672 ASML Holding NV 45,179 0.72 1,096 European Aeronautic Defence

and Space Company NV 56,981 0.91 9,760 Reed Elsevier NV 153,086 2.45 9,551 Unilever NV 284,953 4.57


SWEDEN

5,792 Assa Abloy AB 223,358 3.57 3,258 Atlas Copco AB - A 68,070 1.09

24,810 Nordea Bank AB 254,875 4.08 1,642 SKF AB - B 30,448 0.49 8,074 Svenska Handelsbanken AB 293,468 4.69


SWITZERLAND

2,336 Compagnie Financiere Richemont AG 161,940 2.59

4,557 Nestle SA - Reg 249,096 3.98 596 Roche Holding AG 129,727 2.07

23 Sika AG 68,312 1.09 419 Syngenta AG - Reg 115,051 1.84

6,382 UBS AG - Reg 95,719 1.53









Threadneedle (Lux) - Enhanced Commodities

114


Market % of

Value Net Asset







Debt Instruments

UNITED STATES















Notes to the Financial Statements

115


Notes to the Financial Statements

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”).

On August 12, 2013 the Shareholders approved an amendment to article 24 of the articles of incorporation of the SICAV, to change the general valuation

basis used for certain securities from “their mid-price in the relevant market at the time of the valuation, or any other price deemed appropriate by the

Board of Directors” to “their last exchange price in the relevant market at the time of closure of the market, or any other price deemed appropriate by

the Board of Directors”.

The SICAV offers investors the opportunity to invest in separate Portfolios. Each Portfolio 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 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:

Change of Custodian, Domiciliary, Administrative and Paying Agent of the SICAV and related change of registered office of the SICAV

On April 1, 2013 Citibank International plc (Luxembourg Branch) replaced RBC Investor Services Bank S.A. as the SICAV’s Custodian, Domiciliary,

Administrative and Paying Agent. As of the same date, the registered office of the SICAV was also changed to 31 Z.A. Bourmicht, L-8070 Bertrange,

Grand Duchy of Luxembourg.

Appointment by sub-advisor of a non-discretionary investment advisor in relation to some portfolios

With effect from August 30, 2013, Threadneedle Asset Management Limited (TAML) appointed Columbia Management Investment Advisers, LLC

(“Columbia Management”) as its non-discretionary investment advisor for the following Portfolios: Threadneedle (Lux) - Absolute Emerging Market

Macro, Threadneedle (Lux) - Emerging Market Corporate Bonds, Threadneedle (Lux) - Emerging Market Debt, Threadneedle (Lux) - Global Emerging

Market Short-Term Bonds and Threadneedle (Lux) - Global Emerging Market Equities. With effect from December 2, 2013 TAML appointed Columbia

Management as its non-discretionary investment advisor for the following additional Portfolios: Threadneedle (Lux) - Global Aggregate Bond and

Threadneedle (Lux) - Global Opportunities Bonds. Columbia Management makes investment advice to TAML in relation to the above-mentioned Portfolios

but TAML keeps the discretion to follow such advice or not and remains the sole discretionary sub-advisor of the above-mentioned Portfolios.

Fee change

On April 1, 2013, the Asset Management fee for Share Classes AEH, AFH, AGH and AU was decreased from 1.40% to 1.10% for the Threadneedle (Lux) -

Global Opportunities Bond Portfolio.

Portfolios name changes

With effect as of November 29, 2013, the name of two Portfolios changed as follows:

- Threadneedle (Lux) - European Smaller Companies Absolute Alpha has been changed to Threadneedle (Lux) - Global Smaller Companies

- Threadneedle (Lux) - European Absolute Alpha has been changed to Threadneedle (Lux) - European Select

Launching and closing of Portfolios and Share Classes

Portfolios

With effect as of December 6, 2013, the Threadneedle (Lux) - European Quantitative Equities and Threadneedle (Lux) - Target Return (US$) Portfolios

have been put into liquidation.

Share Classes

The following share classes were launched during the year ended March 31, 2014:

Share Class Portfolio Effective Date

IU Threadneedle (Lux) - Emerging Market Corporate Bonds October 15, 2013IU Threadneedle (Lux) - Global Emerging Market Short-Term Bonds June 18, 2013ZFH Threadneedle (Lux) - American Select January 21, 2014ASH Threadneedle (Lux) - US Contrarian Core Equities July 12, 2013IFH Threadneedle (Lux) - US Contrarian Core Equities June 21, 2013AUH Threadneedle (Lux) - Pan European Equities October 25, 2013IU Threadneedle (Lux) - Asian Equity Income September 11, 2013ZGH Threadneedle (Lux) - Asian Equity Income December 17, 2013AEH Threadneedle (Lux) - Global Technology May 13, 2013AEH Threadneedle (Lux) - UK Equities May 14, 2013IFH Threadneedle (Lux) - Global Opportunities Bond June 24, 2013

Notes to the Financial Statements(continued)

116


The following share classes which were dormant became active during the year ended March 31, 2014:


AEH Threadneedle (Lux) - US Contrarian Core Equities March 24, 2014DU Threadneedle (Lux) - US Contrarian Core Equities October 21, 2013

The following share classes became dormant during the year ended March 31, 2014:


IU Threadneedle (Lux) - Emerging Market Corporate Bonds January 20, 2014IU Threadneedle (Lux) - Global Emerging Market Short–Term Bonds March 26, 2014W Threadneedle (Lux) - US$ High Income Bonds September 20, 2013AEH Threadneedle (Lux) - US Contrarian Core Equities August 21, 2013DU Threadneedle (Lux) - US Contrarian Core Equities August 21, 2013IEH Threadneedle (Lux) - US Contrarian Core Equities August 21, 2013IU Threadneedle (Lux) - Asian Equity Income February 5, 2014IFH Threadneedle (Lux) - Absolute Emerging Market Macro May 27, 2013IU Threadneedle (Lux) - Absolute Emerging Market Macro August 21, 2013AFH Threadneedle (Lux) - European Select November 28, 2013DE Threadneedle (Lux) - European Select November 28, 2013IGH Threadneedle (Lux) - European Select November 21, 2013

As at March 31, 2014 the active Portfolios of the SICAV are as follows:

The Bond Portfolios:

- Threadneedle (Lux) - Global Aggregate Bond*

- Threadneedle (Lux) - Euro Active Bonds*

- Threadneedle (Lux) - Emerging Market Corporate Bonds*

- Threadneedle (Lux) - Emerging Market Debt*

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

- Threadneedle (Lux) - US$ High Income Bonds*

The Asset Allocation Portfolio:

- Threadneedle (Lux) - Global Asset Allocation*

The Equity Portfolios:

- Threadneedle (Lux) - Global Focus*

- Threadneedle (Lux) - Global Emerging Market Equities*

- Threadneedle (Lux) - American*

- Threadneedle (Lux) - American Select*

- Threadneedle (Lux) - US Contrarian Core Equities

- Threadneedle (Lux) - Pan European Equities*

- Threadneedle (Lux) - Pan European Small Cap Opportunities*

- Threadneedle (Lux) - Asian Equity Income*

- Threadneedle (Lux) - Greater China Equities*

- Threadneedle (Lux) - Global Energy Equities*

- Threadneedle (Lux) - Global Technology*

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

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

- Threadneedle (Lux) - UK Equities

The Absolute Return Portfolios:

- Threadneedle (Lux) - American Absolute Alpha

- Threadneedle (Lux) - Absolute Emerging Market Macro

- Threadneedle (Lux) - Multi Asset Target Alpha

- Threadneedle (Lux) - Global Smaller Companies

- Threadneedle (Lux) - Global Opportunities Bond

- Threadneedle (Lux) - European Select

The Specialist Portfolio:- Threadneedle (Lux) - Enhanced Commodities*

*As at March 31, 2014, these Portfolios have been authorised by the Securities and Futures Commission in Hong Kong and are available to the public of Hong Kong.

1 GENERAL

(continued)


117


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.

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 mid-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 or under the direction of 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 UCIs (Undertakings for Collective Investments) are valued at their last determined and available 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 or under the responsibility of the Board of

Directors, on a fair and equitable basis. Units or shares of closed-ended UCIs are valued at their last available stock market value.

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, 2014 are disclosed in Note 8.

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, 2014 are disclosed in Note 10.

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, 2014

are disclosed in Note 9. 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, 2014 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, 2014 are shown in Note 11. 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.

118



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, 2014 are: 1 USD = 0.725558 EUR, 1 USD = 0.599826 GBP, 1 USD =

0.883350 CHF, 1 USD = 6.483571 SEK and 1 USD = 1.257550 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 Class AEP, Class AGP, Class AUP, Class AEC, Class ASC,

Class DEP, Class IGP, Class SUP and Class P, 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 Class AEP, Class AGP, Class AUP, Class AEC, Class ASC, Class DEP, Class IGP, Class SUP and Class P, 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.

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.

For the avoidance of doubt, the tax d’abonnement forms part of the Operating Expenses. Although the SICAV’s realised capital gains, whether short-or-long-

term, are not expected to become taxable in another country, the Shareholders must be aware and recognise that such a possibility is not totally excluded.

4 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, 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.

2 SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

(continued)


119


The SICAV has appointed Threadneedle Management Luxembourg S.A. (Management Company) to serve as its designated Management Company

in accordance with Chapter 15 of the law of December 17, 2010. 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 of the SICAV.

Neither the Management Company nor Threadneedle Asset Management Limited earned commissions related to brokerage transactions.

Certain officers and/or directors of the Management Company, the SICAV and other Threadneedle Group entities are also officers and/or directors of

Threadneedle Asset Management Limited.

The Management Company (on behalf of the SICAV) has delegated certain marketing and/or distribution functions to other Threadneedle Group

entities. The Management Company receives a monthly fee for Asset management services at an annual rate detailed on the next 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 were related entities.

As described in Note 7, the Management Company may also receive performance fees with respect to all Share Classes of the Threadneedle (Lux) -

American Absolute Alpha, Threadneedle (Lux) - Absolute Emerging Market Macro, Threadneedle (Lux) - Multi Asset Target Alpha, Threadneedle (Lux) -

Global Smaller Companies* and Threadneedle (Lux) – European Select* Portfolios and shall receive a performance fee with respect to all Share Classes

except the D Shares within the Threadneedle (Lux) - Global Opportunities Bond Portfolio.

All expenses incurred in the operation of the SICAV and defined below (hereafter the “Operating Expenses”, “Asset Management Fee” or “Portfolio

Charges”, together, the “Expenses”) are fixed at the rates shown in the tables from page 120 onwards except for Classes WS and M, for which the

Operating Expenses are 0.20% per annum and 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 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 Classes WS and M only, custody and sub custody charges are paid by the relevant 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 as more fully described in the tables from page 120 onwards

which are accrued daily and paid monthly. An Asset Management Fee is not payable for X Shares. Also, in relation to certain Portfolios, the Management

Company is entitled to receive a performance fee as more fully described in Note 7 entitled “Performance Fees”. For the avoidance of doubt, Operating

Expenses do not include either Asset Management Fees or performance fees which are separate and distinct.

For Class WS Shares an Asset Management Charge of up to 1.00% of the total Net Asset Value of the 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 Class M an Asset Management Fee of up to 0.95% of the total Net Asset Value of the Class per annum

will be accrued daily and paid monthly.

Class BU Shares are offered within the Threadneedle (Lux) - Global Technology Portfolio. Class BU Shares are only available for subsequent investments

and not for new subscriptions. Class BU Shares bear no initial sales charge and are subject to a distribution fee of 1.00% of the total Net Asset Value of

the Class per annum. Class BU Shares are subject to an Asset Management Fee of 2.00% of the total Net Asset Value per annum and there is a declining

Contingent Deferred Sales Charge (“CDSC”) as described on page 124.


(continued)

*See note 1.


120


A SHARES:

SHARE CLASS AE, AEC, AEH, AEP, AFH, AG, AGH, AGP, ASC, ASH, AU, AUH and AUP

Portfolio (s)

Initial Sales Chargeas a % of the amountinvested Exchange Fee

Bond Portfolios Maximum 2.00% Maximum 0.75%

Equity Portfolios and Asset Allocation Portfolio Maximum 5.00% Maximum 0.75%

Threadneedle (Lux) - Target Return (US$)* Portfolio Maximum 3.00% Maximum 0.75%

Absolute Return Portfolios except for the Threadneedle (Lux) -Target Return (US$)* Portfolio Maximum 5.00% Maximum 0.75%

Specialist Portfolio Maximum 5.00% 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 ofPortfolio

Asset Management Fee

Operating Expenses

Base Currency

Bond Portfolios

Threadneedle (Lux) - Global Aggregate Bond 1.00% 0.30% USD

Threadneedle (Lux) - Euro Active Bonds 0.90% 0.30% EUR

Threadneedle (Lux) - Emerging Market Corporate Bonds 1.50% 0.30% USD

Threadneedle (Lux) - Emerging Market Debt 1.50% 0.30% USD

Threadneedle (Lux) - Global Emerging Market Short-Term Bonds 1.40% 0.30% USD

Threadneedle (Lux) - US$ High Income Bonds 1.25% 0.30% USD

Asset Allocation Portfolio

Threadneedle (Lux) - Global Asset Allocation 1.50% 0.35% USD

Equity Portfolios

Threadneedle (Lux) - Global Focus 1.50% 0.35% USD

Threadneedle (Lux) - Global Emerging Market Equities 1.50% 0.35% USD

Threadneedle (Lux) - American 1.50% 0.35% USD

Threadneedle (Lux) - American Select 1.50% 0.35% USD

Threadneedle (Lux) - US Contrarian Core Equities 1.50% 0.35% USD

Threadneedle (Lux) - Pan European Equities 1.50% 0.35% EUR

Threadneedle (Lux) - Pan European Small Cap Opportunities 1.50% 0.35% EUR

Threadneedle (Lux) - European Quantitative Equities* 1.50% 0.35% EUR

Threadneedle (Lux) - Asian Equity Income 1.50% 0.35% USD

Threadneedle (Lux) - Greater China Equities 1.50% 0.35% USD

Threadneedle (Lux) - Global Energy Equities 1.75% 0.35% USD

Threadneedle (Lux) - Global Technology 1.75% 0.35% USD

Threadneedle (Lux) - UK Equities 1.50% 0.35% GBP

Absolute Return Portfolios

Threadneedle (Lux) - Target Return (US$)* 1.25% 0.30% USD

Threadneedle (Lux) - American Absolute Alpha 1.50% 0.35% USD

Threadneedle (Lux) - Absolute Emerging Market Macro 1.75% 0.35% USD

Threadneedle (Lux) - Multi Asset Target Alpha 1.35% 0.30% USD

Threadneedle (Lux) - Global Smaller Companies* 1.50% 0.35% EUR

Threadneedle (Lux) - Global Opportunities Bond 1.10% 0.30% USD

Threadneedle (Lux) - European Select* 1.50% 0.35% EUR

Specialist Portfolio

Threadneedle (Lux) - Enhanced Commodities 1.75% 0.35% USD


(continued)


121


D SHARES:

SHARE CLASSES DE, DEC, DEH, DEP and DU

Portfolios


Each Portfolio listed below Maximum 1.00% Maximum 0.75%



PortfolioType

Name ofPortfolio

AssetManagement Fee

Operating Expenses

Base Currency

Bond Portfolios









Equity Portfolios












Threadneedle (Lux) - Global Technology 2.00% 0.35% USD










W SHARES:

SHARE CLASSES W, WEH and P

Portfolios






(continued)


122


PortfolioType

Name ofPortfolio

AssetManagement Fee

Operating Expenses

Base Currency

Bond Portfolios









Equity Portfolios










S SHARES:

SHARE CLASSES SU and SUP

Portfolio





PortfolioType

Name ofPortfolio

AssetManagement Fee

Operating Expenses

Base Currency

Bond Portfolio Threadneedle (Lux) - Emerging Market Debt 1.50% 0.30% USD

I SHARES:

SHARE CLASSES IE, IEH, IFH, IG, IGH, IGP, IKH and IU

Portfolio


Each Portfolio listed below N/A Maximum 0.75%

PortfolioType

Name ofPortfolio

AssetManagement Fee

Operating Expenses

Base Currency

Bond Portfolios




(continued)


123


PortfolioType

Name ofPortfolio

AssetManagement Fee

Operating Expenses

Base Currency

Bond Portfolios(continued)






Equity Portfolios





















X SHARES:

SHARE CLASSES XE, XGH and XU

Portfolio


Each Portfolio listed below N/A Maximum 0.75%

PortfolioType

Name ofPortfolio

Operating Expenses

Base Currency

Equity Portfolio

Threadneedle (Lux) - Pan European Equities 0.15% EUR


Threadneedle (Lux) - Enhanced Commodities 0.15% USD

Z SHARES:

SHARE CLASSES ZFH, ZG and ZGH

Portfolio


Each Portfolio listed below 5.00% Maximum 0.75%




(continued)


124


PortfolioType

Name ofPortfolio

AssetManagement Fee

Operating Expenses

Base Currency

Equity Portfolio







Threadneedle (Lux) - Global Smaller Companies* 0.75% 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 minimize 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.

5 COMMISSION SHARING ARRANGEMENTS

The Management Company and Sub-Advisors 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 for execution; (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; and (vii) the goods or services received are

expected to be of demonstrable benefit to the Shareholders.

The goods and services received include: research that can add value to fund managers’ decision making process and execution services that enhance

the dealers’ ability to execute transactions.


(continued)


125


6 DIVIDENDS

The SICAV declared the following dividends during the year ended March 31, 2014:

Portfolio Share Class Ex-Date CurrencyAmount

per ShareTotal

Amount

Threadneedle (Lux) - Global Aggregate Bond Class DEC 24/04/2013 USD 0.060 115

Class DEC 24/05/2013 USD 0.059 114

Class DEC 24/06/2013 USD 0.060 103

Class DEC 25/07/2013 USD 0.069 118

Class DEC 23/08/2013 USD 0.069 119

Class DEC 24/09/2013 USD 0.070 257

Class DEC 25/10/2013 USD 0.072 1,245

Class DEC 25/11/2013 USD 0.070 1,220

Class DEC 23/12/2013 USD 0.071 1,233

Class DEC 27/01/2014 USD 0.062 1,068

Class DEC 24/02/2014 USD 0.062 1,156

Class DEC 25/03/2014 USD 0.062 1,408

USD 8,156

Threadneedle (Lux) - Euro Active Bonds Class AEP 24/04/2013 EUR 0.047 590

Class AEP 24/05/2013 EUR 0.047 1,370

Class AEP 24/06/2013 EUR 0.047 1,664

Class AEP 25/07/2013 EUR 0.027 975

Class AEP 23/08/2013 EUR 0.027 1,113

Class AEP 24/09/2013 EUR 0.027 1,238

Class AEP 25/10/2013 EUR 0.027 1,297

Class AEP 25/11/2013 EUR 0.027 1,438

Class AEP 23/12/2013 EUR 0.027 1,424

Class AEP 27/01/2014 EUR 0.030 1,807

Class AEP 24/02/2014 EUR 0.030 1,800

Class AEP 25/03/2014 EUR 0.030 1,856

Class DEP 24/04/2013 EUR 0.037 686

Class DEP 24/05/2013 EUR 0.037 1,177

Class DEP 24/06/2013 EUR 0.037 1,795

Class DEP 25/07/2013 EUR 0.021 1,519

Class DEP 23/08/2013 EUR 0.021 1,566

Class DEP 24/09/2013 EUR 0.021 1,699

Class DEP 25/10/2013 EUR 0.021 1,986

Class DEP 25/11/2013 EUR 0.021 1,986

Class DEP 23/12/2013 EUR 0.021 2,004

Class DEP 27/01/2014 EUR 0.024 2,996

Class DEP 24/02/2014 EUR 0.024 3,096

Class DEP 25/03/2014 EUR 0.024 3,298

EUR 40,380

Threadneedle (Lux) - Emerging MarketCorporate Bonds Class AEC 24/04/2013 USD 0.113 98,869

Class AEC 24/05/2013 USD 0.112 96,696

Class AEC 24/06/2013 USD 0.114 96,772

Class AEC 25/07/2013 USD 0.107 90,397

Class AEC 23/08/2013 USD 0.108 90,516

Class AEC 24/09/2013 USD 0.109 90,235

Class AEC 25/10/2013 USD 0.090 72,663

Class AEC 25/11/2013 USD 0.088 70,712

Class AEC 23/12/2013 USD 0.089 69,416


126



per ShareTotal

Amount

Threadneedle (Lux) - Emerging MarketCorporate Bonds (continued) Class AEC 27/01/2014 USD 0.096 70,783

Class AEC 24/02/2014 USD 0.096 69,360

Class AEC 25/03/2014 USD 0.096 66,839

Class AUP 24/04/2013 USD 0.050 91,396

Class AUP 24/05/2013 USD 0.050 88,947

Class AUP 24/06/2013 USD 0.050 93,050

Class AUP 25/07/2013 USD 0.046 85,265

Class AUP 23/08/2013 USD 0.046 79,482

Class AUP 24/09/2013 USD 0.046 78,606

Class AUP 25/10/2013 USD 0.037 62,612

Class AUP 25/11/2013 USD 0.037 61,536

Class AUP 23/12/2013 USD 0.037 57,981

Class AUP 27/01/2014 USD 0.040 61,065

Class AUP 24/02/2014 USD 0.040 59,425

Class AUP 25/03/2014 USD 0.040 57,083

Class DEC 24/04/2013 USD 0.085 539

Class DEC 24/05/2013 USD 0.084 1,032

Class DEC 24/06/2013 USD 0.085 878

Class DEC 25/07/2013 USD 0.081 830

Class DEC 23/08/2013 USD 0.081 837

Class DEC 24/09/2013 USD 0.082 883

Class DEC 25/10/2013 USD 0.066 711

Class DEC 25/11/2013 USD 0.065 586

Class DEC 23/12/2013 USD 0.066 542

Class DEC 27/01/2014 USD 0.071 588

Class DEC 24/02/2014 USD 0.071 415

Class DEC 25/03/2014 USD 0.072 883

Class P 24/04/2013 USD 0.057 330

Class P 24/05/2013 USD 0.057 330

Class P 24/06/2013 USD 0.057 330

Class P 25/07/2013 USD 0.053 307

Class P 23/08/2013 USD 0.053 307

Class P 24/09/2013 USD 0.053 307

Class P 25/10/2013 USD 0.043 249

Class P 25/11/2013 USD 0.043 249

Class P 23/12/2013 USD 0.043 249

Class P 27/01/2014 USD 0.046 2,697

Class P 24/02/2014 USD 0.046 266

Class P 25/03/2014 USD 0.046 266

USD 1,874,317

Threadneedle (Lux) - Emerging Market Debt Class AEC 24/04/2013 USD 0.095 17,073

Class AEC 24/05/2013 USD 0.094 17,056

Class AEC 24/06/2013 USD 0.096 15,562

Class AEC 25/07/2013 USD 0.101 14,937

Class AEC 23/08/2013 USD 0.101 15,011

Class AEC 24/09/2013 USD 0.103 14,405

Class AEC 25/10/2013 USD 0.083 11,190

Class AEC 25/11/2013 USD 0.081 10,698

Class AEC 23/12/2013 USD 0.082 10,150

6 DIVIDENDS

(continued)


127



per ShareTotal

Amount

Threadneedle (Lux) - Emerging Market Debt (continued) Class AEC 27/01/2014 USD 0.083 9,732

Class AEC 24/02/2014 USD 0.084 9,365

Class AEC 25/03/2014 USD 0.084 9,165

Class AUP 24/04/2013 USD 0.079 1,058,366

Class AUP 24/05/2013 USD 0.079 1,039,100

Class AUP 24/06/2013 USD 0.079 1,009,706

Class AUP 25/07/2013 USD 0.083 1,040,222

Class AUP 23/08/2013 USD 0.083 1,022,167

Class AUP 24/09/2013 USD 0.083 993,089

Class AUP 25/10/2013 USD 0.065 767,385

Class AUP 25/11/2013 USD 0.065 751,065

Class AUP 23/12/2013 USD 0.065 729,755

Class AUP 27/01/2014 USD 0.066 712,389

Class AUP 24/02/2014 USD 0.066 690,494

Class AUP 25/03/2014 USD 0.066 668,340

Class SUP 24/04/2013 USD 0.076 45,902

Class SUP 24/05/2013 USD 0.076 41,738

Class SUP 24/06/2013 USD 0.076 39,872

Class SUP 25/07/2013 USD 0.080 41,453

Class SUP 23/08/2013 USD 0.080 40,917

Class SUP 24/09/2013 USD 0.080 40,361

Class SUP 25/10/2013 USD 0.063 31,544

Class SUP 25/11/2013 USD 0.063 30,989

Class SUP 23/12/2013 USD 0.063 30,796

Class SUP 27/01/2014 USD 0.064 27,549

Class SUP 24/02/2014 USD 0.064 26,990

Class SUP 25/03/2014 USD 0.064 26,053

USD 11,060,586

Threadneedle (Lux) - Global Emerging MarketShort-Term Bonds Class AEC 24/04/2013 USD 0.056 5,920

Class AEC 24/05/2013 USD 0.055 8,060

Class AEC 24/06/2013 USD 0.056 9,360

Class AEC 25/07/2013 USD 0.060 10,259

Class AEC 23/08/2013 USD 0.060 10,901

Class AEC 24/09/2013 USD 0.061 11,198

Class AEC 25/10/2013 USD 0.043 9,179

Class AEC 25/11/2013 USD 0.042 9,901

Class AEC 23/12/2013 USD 0.042 10,548

Class AEC 27/01/2014 USD 0.047 13,378

Class AEC 24/02/2014 USD 0.047 14,909

Class AEC 25/03/2014 USD 0.047 16,239

Class ASC 24/04/2013 USD 0.043 3,225

Class ASC 24/05/2013 USD 0.042 4,658

Class ASC 24/06/2013 USD 0.042 5,074

Class ASC 25/07/2013 USD 0.043 5,312

Class ASC 23/08/2013 USD 0.043 5,275

Class ASC 24/09/2013 USD 0.044 5,465

Class ASC 25/10/2013 USD 0.031 3,736

Class ASC 25/11/2013 USD 0.030 3,479

6 DIVIDENDS

(continued)


128



per ShareTotal

Amount

Threadneedle (Lux) - Global Emerging MarketShort-Term Bonds (continued) Class ASC 23/12/2013 USD 0.030 3,444

Class ASC 27/01/2014 USD 0.033 3,773

Class ASC 24/02/2014 USD 0.033 3,645

Class ASC 25/03/2014 USD 0.033 3,648

Class AUP 24/04/2013 USD 0.041 314,838

Class AUP 24/05/2013 USD 0.041 309,223

Class AUP 24/06/2013 USD 0.041 294,231

Class AUP 25/07/2013 USD 0.042 294,443

Class AUP 23/08/2013 USD 0.042 290,162

Class AUP 24/09/2013 USD 0.042 272,281

Class AUP 25/10/2013 USD 0.030 193,912

Class AUP 25/11/2013 USD 0.030 188,581

Class AUP 23/12/2013 USD 0.030 182,484

Class AUP 27/01/2014 USD 0.032 187,400

Class AUP 24/02/2014 USD 0.032 182,585

Class AUP 25/03/2014 USD 0.032 178,252

USD 3,068,978

Threadneedle (Lux) - US$ High Income Bonds Class AEC 24/04/2013 USD 0.104 151

Class AEC 24/05/2013 USD 0.103 1,110

Class AEC 24/06/2013 USD 0.105 1,738

Class AEC 25/07/2013 USD 0.093 1,727

Class AEC 23/08/2013 USD 0.093 2,241

Class AEC 24/09/2013 USD 0.094 2,341

Class AEC 25/10/2013 USD 0.098 2,452

Class AEC 25/11/2013 USD 0.096 3,127

Class AEC 23/12/2013 USD 0.097 4,109

Class AEC 27/01/2014 USD 0.097 4,196

Class AEC 24/02/2014 USD 0.098 4,888

Class AEC 25/03/2014 USD 0.098 5,820

Class AUP 24/04/2013 USD 0.076 31,670

Class AUP 24/05/2013 USD 0.076 30,856

Class AUP 24/06/2013 USD 0.076 31,076

Class AUP 25/07/2013 USD 0.066 27,625

Class AUP 23/08/2013 USD 0.066 27,385

Class AUP 24/09/2013 USD 0.066 26,914

Class AUP 25/10/2013 USD 0.068 27,153

Class AUP 25/11/2013 USD 0.068 27,883

Class AUP 23/12/2013 USD 0.068 29,068

Class AUP 27/01/2014 USD 0.067 29,426

Class AUP 24/02/2014 USD 0.067 29,948

Class AUP 25/03/2014 USD 0.067 29,602

Class DEC 24/04/2013 USD 0.083 428

Class DEC 24/05/2013 USD 0.083 425

Class DEC 24/06/2013 USD 0.084 721

Class DEC 25/07/2013 USD 0.073 749

Class DEC 23/08/2013 USD 0.073 782

Class DEC 24/09/2013 USD 0.074 791

Class DEC 25/10/2013 USD 0.079 1,109

6 DIVIDENDS

(continued)


129



per ShareTotal

Amount

Threadneedle (Lux) - US$ High Income Bonds(continued) Class DEC 25/11/2013 USD 0.077 1,148

Class DEC 23/12/2013 USD 0.078 1,161

Class DEC 27/01/2014 USD 0.077 2,474

Class DEC 24/02/2014 USD 0.077 2,551

Class DEC 25/03/2014 USD 0.077 3,163

USD 398,008

Threadneedle (Lux) - Global Asset Allocation Class AEC 24/04/2013 USD 0.038 1,076

Class AEC 24/05/2013 USD 0.037 764

Class AEC 24/06/2013 USD 0.038 1,118

Class AEC 25/07/2013 USD 0.029 1,019

Class AEC 23/08/2013 USD 0.029 1,075

Class AEC 24/09/2013 USD 0.030 1,136

Class AEC 25/10/2013 USD 0.035 1,385

Class AEC 25/11/2013 USD 0.034 1,406

Class AEC 23/12/2013 USD 0.034 1,393

Class AEC 27/01/2014 USD 0.038 1,975

Class AEC 24/02/2014 USD 0.038 2,030

Class AEC 25/03/2014 USD 0.039 2,051

Class AUP 24/04/2013 USD 0.030 60,851

Class AUP 24/05/2013 USD 0.030 58,702

Class AUP 24/06/2013 USD 0.030 58,071

Class AUP 25/07/2013 USD 0.023 44,124

Class AUP 23/08/2013 USD 0.023 43,648

Class AUP 24/09/2013 USD 0.023 40,864

Class AUP 25/10/2013 USD 0.026 45,270

Class AUP 25/11/2013 USD 0.026 45,454

Class AUP 23/12/2013 USD 0.026 45,368

Class AUP 27/01/2014 USD 0.029 49,374

Class AUP 24/02/2014 USD 0.029 48,802

Class AUP 25/03/2014 USD 0.029 47,583

USD 604,539

Threadneedle (Lux) - UK Equities Class AGP 02/04/2013 GBP 0.474 115,321

Class AGP 25/10/2013 GBP 0.383 252,051

Class AGP 25/03/2014 GBP 0.223 141,652

Class IGP 02/04/2013 GBP 0.229 32,502

Class IGP 25/10/2013 GBP 0.351 253,854

Class IGP 25/03/2014 GBP 0.288 216,900

GBP 1,012,280

7 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

page 130. Daily provisions shall be set up for the accrual of the performance fee in respect of the performance fee balance (as described page 130),

whereby the amount accrued shall be paid to the Management Company at the end of the fiscal year of the SICAV. The amount of this performance 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 page 130 with the exception of the Threadneedle (Lux) - Global Opportunities Bond Portfolio,

see note page 130). Accruals will only be made when the performance fee balance is positive and the NAV High Water Mark (defined below) is exceeded.

6 DIVIDENDS

(continued)


130


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 Shares

Z Shares

Threadneedle (Lux) - American Absolute Alpha A Shares 3 month LIBOR (US$) 20%

D Shares

I Shares

Z Shares


A Shares 3 month LIBOR (US$) 20%

D Shares

I Shares

Threadneedle (Lux) - Multi Asset Target Alpha A Shares 3 month LIBOR (US$) +1.5% 15%

I Shares

Z Shares

Threadneedle (Lux) - Global Smaller Companies** A Shares 3 month LIBOR (Euro) 20%

D Shares

I Shares

Z Shares

Threadneedle (Lux) - European Select** A Shares 3 month LIBOR (Euro) 20%

D Shares

I Shares

W Shares

Z 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.

**See note 1.

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 SICAV’s fiscal 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 fiscal 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 fiscal 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 fiscal 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, 2014, performance fees amounted to USD 977,404 for the Threadneedle (Lux) - American Absolute Alpha Portfolio, USD 394 for the

Threadneedle (Lux) - Absolute Emerging Market Macro Portfolio and USD 31,353 for the Threadneedle (Lux) - Global Opportunities Bond Portfolio.

7 PERFORMANCE FEES

(continued)


131


8 NET UNREALISED GAIN / (LOSS) ON FORWARD FOREIGN EXCHANGE CONTRACTS

As at March 31, 2014, the SICAV has the following forward foreign exchange contracts outstanding:

PortfolioMaturity

DateCurrency

Purchased AmountCurrency

Sold Amount Purpose Counterparty

Unrealisedgain/(loss)

in the portfolio base currency

Threadneedle (Lux) -Global Aggregate Bond 30/04/2014 MXN 10,181,760 USD 765,614 Trading Goldman Sachs 12,883

30/04/2014 MYR 99,199 USD 29,800 Trading UBS AG 615

30/04/2014 PLN 103,418 USD 33,722 Trading JP Morgan Chase New York 440

30/04/2014 SGD 30,830 USD 24,114 Trading Goldman Sachs 402

17/04/2014 EUR 851 USD 1,186 Hedging JP Morgan Chase New York (12)

17/04/2014 EUR 24,988 USD 34,801 Hedging JP Morgan Chase New York (363)




30/04/2014 AUD 1,067,199 USD 962,526 Trading HSBC 24,569

30/04/2014 CAD 857,691 USD 761,736 Trading Royal Bank of Scotland 14,793

30/04/2014 EUR 1,481,754 USD 2,042,044 Trading Lloyds TSB Treasury 50

30/04/2014 JPY 162,448,995 USD 1,587,115 Trading Royal Bank of Scotland (9,449)

17/04/2014 EUR 15,282 USD 21,061 Hedging JP Morgan Chase New York 0


02/04/2014 BRL 667,895 USD 288,570 Trading HSBC 7,305


30/04/2014 AUD 95,919 USD 88,305 Trading JP Morgan Chase New York 414


17/04/2014 EUR 3,962,281 USD 5,492,997 Hedging JP Morgan Chase New York (32,183)

17/04/2014 EUR 285,790 USD 396,197 Hedging JP Morgan Chase New York (2,321)


30/04/2014 NOK 8,161,630 EUR 974,691 Trading Royal Bank of Scotland 18,359

30/04/2014 USD 1,554,328 CHF 1,373,204 Trading Royal Bank of Scotland (582)

30/04/2014 USD 882,614 GBP 534,822 Trading Lloyds TSB Treasury (8,813)

30/04/2014 USD 54,918 KRW 59,600,701 Trading Citibank (1,149)

30/04/2014 USD 1,716,378 NZD 2,017,187 Trading Royal Bank of Canada (30,072)

17/04/2014 USD 71,795 EUR 51,618 Hedging JP Morgan Chase New York 656


30/04/2014 USD 250,230 ZAR 2,751,121 Trading Goldman Sachs (10,183)


30/04/2014 USD 207,522 EUR 150,000 Trading UBS AG 798


17/04/2014 USD 157,691 EUR 114,668 Hedging JP Morgan Chase New York (343)

30/04/2014 USD 134,919 EUR 97,782 Trading Lloyds TSB Treasury 159

17/04/2014 USD 100 EUR 73 Hedging JP Morgan Chase New York 0

02/04/2014 USD 281,563 BRL 667,895 Trading HSBC (14,317)

30/04/2014 CHF 179,356 EUR 146,674 Trading Royal Bank of Scotland 949

30/04/2014 DKK 249,477 EUR 33,433 Trading Royal Bank of Scotland (12)

30/04/2014 EUR 898,888 SEK 7,949,925 Trading Royal Bank of Scotland 13,225

USD (16,608)

Threadneedle (Lux) - Euro Active Bonds 30/04/2014 EUR 594,344 PLN 2,500,000 Trading JP Morgan Chase New York (4,896)

30/04/2014 EUR 2,511,868 GBP 2,100,000 Trading Lloyds TSB Treasury (27,911)

30/04/2014 PLN 2,500,000 EUR 598,169 Trading JP Morgan Chase New York 1,061

EUR (31,746)


132


PortfolioMaturity

DateCurrency





Threadneedle (Lux) -Emerging Market Corporate Bonds 14/04/2014 USD 28,789 EUR 21,000 Trading Royal Bank of Scotland (153)





















17/04/2014 SGD 82,045 USD 64,810 Hedging JP Morgan Chase New York 432

17/04/2014 EUR 500 USD 687 Hedging JP Morgan Chase New York 2



14/05/2014 EUR 82,000 USD 112,867 Trading Lloyds TSB Treasury 140

17/04/2014 EUR 71 USD 99 Hedging JP Morgan Chase New York (1)






14/05/2014 USD 28,925 EUR 21,000 Trading Citibank (15)

14/05/2014 USD 6,285,146 EUR 4,540,569 Trading Citibank 27,623









14/04/2014 EUR 21,000 USD 28,927 Trading Citibank 16

USD (357,023)


(continued)


133


PortfolioMaturity

DateCurrency





Threadneedle (Lux) -Emerging Market Debt 17/04/2014 EUR 9,487 USD 13,213 Hedging JP Morgan Chase New York (138)

14/05/2014 EUR 55,000 USD 76,404 Trading HSBC (607)




17/04/2014 GBP 13,173 USD 21,881 Hedging JP Morgan Chase New York 78


17/04/2014 SGD 530 USD 419 Hedging JP Morgan Chase New York 3




14/05/2014 USD 4,094,501 RUB 151,093,224 Trading HSBC (162,427)






17/04/2014 EUR 982,268 USD 1,361,739 Hedging JP Morgan Chase New York (7,978)




USD (456,689)

Threadneedle (Lux) -Global Emerging Market Short-Term Bonds 17/04/2014 EUR 486,235 USD 668,702 Hedging JP Morgan Chase New York 1,428







17/04/2014 SGD 1,210,261 USD 956,024 Hedging JP Morgan Chase New York 6,371

17/04/2014 SGD 984,095 USD 777,368 Hedging JP Morgan Chase New York 5,180








14/05/2014 BRL 9,172,693 USD 3,954,599 Trading HSBC 62,490







(continued)


134


PortfolioMaturity

DateCurrency





Threadneedle (Lux) -Global Emerging Market Short-Term Bonds(continued) 17/04/2014 EUR 153,622 USD 211,064 Hedging JP Morgan Chase New York 657










14/05/2014 USD 3,823,548 BRL 9,172,692 Trading HSBC (195,850)

17/04/2014 USD 991,274 EUR 711,759 Hedging JP Morgan Chase New York 10,329

17/04/2014 USD 101,052 SGD 127,938 Hedging JP Morgan Chase New York (684)



17/04/2014 USD 1,970,877 EUR 1,415,203 Hedging JP Morgan Chase New York 20,445













USD (510,927)

Threadneedle (Lux) -US$ High Income Bonds 17/04/2014 USD 147,141 EUR 105,789 Hedging JP Morgan Chase New York 1,343


17/04/2014 USD 160 SGD 203 Hedging JP Morgan Chase New York (1)









17/04/2014 SGD 931,353 USD 735,706 Hedging JP Morgan Chase New York 4,903




(continued)


135


PortfolioMaturity

DateCurrency





Threadneedle (Lux) -US$ High Income Bonds(continued) 17/04/2014 EUR 24,988 USD 34,801 Hedging JP Morgan Chase New York (363)









17/04/2014 SGD 1,204 USD 951 Hedging JP Morgan Chase New York 7






USD (88,571)

Threadneedle (Lux) -Global Asset Allocation 17/04/2014 GBP 2,270 USD 3,771 Hedging JP Morgan Chase New York 13


























03/06/2014 USD 12,000,693 AUD 13,470,000 Trading Royal Bank of Canada (430,511)

03/06/2014 USD 3,355,581 EUR 2,447,000 Trading Lloyds TSB Treasury (16,646)


(continued)


136


PortfolioMaturity

DateCurrency





Threadneedle (Lux) -Global Asset Allocation(continued) 03/06/2014 USD 1,665,907 MXN 22,300,000 Trading JP Morgan Chase New York (34,796)

03/06/2014 USD 842,414 BRL 2,010,000 Trading HSBC (33,458)

03/06/2014 USD 620,013 CHF 550,000 Trading Royal Bank of Canada (2,945)

USD (761,018)

Threadneedle (Lux) - Global Focus 17/04/2014 EUR 145,896 USD 200,450 Hedging JP Morgan Chase New York 624

















USD (160,527)

Threadneedle (Lux) -Global Emerging Market Equities 17/04/2014 EUR 278,277 USD 385,781 Hedging JP Morgan Chase New York (2,260)




03/04/2014 EUR 25,000 USD 34,391 Trading HSBC 65


04/04/2014 ZAR 71,000 USD 6,688 Trading HSBC 59

USD (8,141)

Threadneedle (Lux) - American 17/04/2014 EUR 500 USD 688 Hedging JP Morgan Chase New York 2




17/04/2014 EUR 896 USD 1,234 Hedging JP Morgan Chase New York 0






(continued)


137


PortfolioMaturity

DateCurrency





Threadneedle (Lux) - American(continued) 17/04/2014 EUR 39,965 USD 55,079 Hedging JP Morgan Chase New York 0


















17/04/2014 USD 1,348 EUR 978 Hedging JP Morgan Chase New York 0



USD (184,425)

Threadneedle (Lux) - American Select 17/04/2014 CHF 4,951 USD 5,584 Hedging JP Morgan Chase New York 22






17/04/2014 USD 5,576 CHF 4,865 Hedging JP Morgan Chase New York 68


17/04/2014 USD 5,793 CHF 5,119 Hedging JP Morgan Chase New York (3)

17/04/2014 CHF 3,254,015 USD 3,715,650 Hedging JP Morgan Chase New York (31,433)

17/04/2014 CHF 53,808 USD 61,780 Hedging JP Morgan Chase New York (858)



17/04/2014 CHF 18,024 USD 20,406 Hedging JP Morgan Chase New York 0



17/04/2014 USD 323,724 EUR 235,621 Hedging JP Morgan Chase New York (1,008)



USD (70,435)


(continued)


138


PortfolioMaturity

DateCurrency





Threadneedle (Lux) -US Contrarian Core Equities 17/04/2014 EUR 9,986 USD 13,763 Hedging JP Morgan Chase New York 0

17/04/2014 CHF 612,231 USD 699,086 Hedging JP Morgan Chase New York (5,913)



USD (5,898)

Threadneedle (Lux) -Pan European Equities 17/04/2014 USD 97,985 EUR 71,123 Hedging JP Morgan Chase New York (27)



17/04/2014 SGD 71,954 EUR 40,851 Hedging JP Morgan Chase New York 665

17/04/2014 EUR 61,345 SGD 107,746 Hedging JP Morgan Chase New York (823)

17/04/2014 EUR 927,704 SGD 1,622,389 Hedging JP Morgan Chase New York (8,383)

17/04/2014 EUR 150,411 SGD 262,873 Hedging JP Morgan Chase New York (1,262)


17/04/2014 EUR 108,600 SGD 188,109 Hedging JP Morgan Chase New York 65

17/04/2014 SGD 27,454,362 EUR 15,644,047 Hedging JP Morgan Chase New York 196,611




17/04/2014 SGD 286,478 EUR 162,642 Hedging JP Morgan Chase New York 2,650



EUR 201,594

Threadneedle (Lux) - Pan European Small Cap Opportunities 17/04/2014 EUR 22,234 SGD 38,511 Hedging JP Morgan Chase New York 13












17/04/2014 SGD 16,864,875 EUR 9,609,945 Hedging JP Morgan Chase New York 120,776

EUR 102,339

Threadneedle (Lux) - Asian Equity Income 17/04/2014 GBP 15,127 USD 25,126 Hedging JP Morgan Chase New York 89




(continued)


139


PortfolioMaturity

DateCurrency





Threadneedle (Lux) - Asian Equity Income(continued) 17/04/2014 EUR 720,491 USD 998,832 Hedging JP Morgan Chase New York (5,852)



USD (9,413)

Threadneedle (Lux) -Greater China Equities 17/04/2014 EUR 300 USD 414 Hedging JP Morgan Chase New York 0










USD (17,528)

Threadneedle (Lux) -Global Energy Equities 17/04/2014 EUR 2,268,298 USD 3,144,590 Hedging JP Morgan Chase New York (18,424)












USD (26,240)

Threadneedle (Lux) - Global Technology 17/04/2014 EUR 922,634 USD 1,279,067 Hedging JP Morgan Chase New York (7,494)

USD (7,494)

Threadneedle (Lux) - UK Equities 17/04/2014 EUR 425,869 GBP 355,413 Hedging JP Morgan Chase New York (3,311)

17/04/2014 EUR 70,000 GBP 58,633 Hedging JP Morgan Chase New York (758)



17/04/2014 EUR 182,172 GBP 152,242 Hedging JP Morgan Chase New York (1,625)



(continued)


140


PortfolioMaturity

DateCurrency





Threadneedle (Lux) - UK Equities(continued) 17/04/2014 EUR 4,033,694 GBP 3,366,365 Hedging JP Morgan Chase New York (31,357)

17/04/2014 GBP 199,761 EUR 241,650 Hedging JP Morgan Chase New York (32)

GBP (37,736)

Threadneedle (Lux) -American Absolute Alpha 17/04/2014 USD 153,728 EUR 111,785 Hedging JP Morgan Chase New York (335)





17/04/2014 USD 3,460,909 EUR 2,512,130 Hedging JP Morgan Chase New York (1,309)


17/04/2014 USD 12,834 GBP 7,749 Hedging JP Morgan Chase New York (83)

17/04/2014 USD 2,132,230 EUR 1,546,809 Hedging JP Morgan Chase New York 418









17/04/2014 GBP 14,423,164 USD 23,957,540 Hedging JP Morgan Chase New York 84,924

17/04/2014 GBP 252,219 USD 418,948 Hedging JP Morgan Chase New York 1,485

17/04/2014 EUR 889 USD 1,238 Hedging JP Morgan Chase New York (13)













17/04/2014 EUR 869,285 USD 1,198,039 Hedging JP Morgan Chase New York 9






17/04/2014 GBP 13 USD 21 Hedging JP Morgan Chase New York 0

USD (917,876)


(continued)


141


PortfolioMaturity

DateCurrency





Threadneedle (Lux) -Absolute Emerging Market Macro 17/04/2014 CHF 3,954 USD 4,459 Hedging JP Morgan Chase New York 18



07/05/2014 RUB 11,501,928 USD 322,228 Trading Citibank 2,184

07/05/2014 BRL 1,099,475 USD 474,935 Trading HSBC 7,551

14/05/2014 USD 107,367 ZAR 1,170,000 Trading Citibank (3,136)

22/05/2014 USD 353,945 ZAR 3,904,708 Trading Citibank (14,416)

14/05/2014 USD 531,013 BRL 1,268,431 Trading HSBC (24,775)



07/05/2014 USD 467,951 BRL 1,107,171 Trading Citibank (18,089)

22/05/2014 USD 308,221 CHF 272,611 Trading Royal Bank of Scotland (522)

22/05/2014 USD 256,602 CHF 227,264 Trading JP Morgan Chase New York (782)

07/05/2014 USD 357,337 CLP 202,324,310 Trading HSBC (8,701)


22/05/2014 USD 359,538 CLP 206,104,884 Trading UBS AG (12,758)


15/01/2015 USD 530,253 CNY 3,242,498 Trading HSBC 9,082

07/05/2014 USD 359,784 COP 740,435,749 Trading HSBC (15,648)

22/05/2014 USD 372,455 COP 735,970,608 Trading UBS AG 54

14/05/2014 USD 334,370 COP 660,046,062 Trading HSBC 388


07/05/2014 HUF 108,413,645 USD 480,283 Trading UBS AG 4,681



22/05/2014 TRY 804,212 USD 353,002 Trading Goldman Sachs 17,024

22/05/2014 COP 735,970,608 USD 365,246 Trading UBS AG 7,155

07/05/2014 BRL 1,107,171 USD 467,753 Trading HSBC 18,110

22/05/2014 ZAR 3,904,708 USD 362,167 Trading JP Morgan Chase New York 6,079

07/05/2014 INR 22,210,392 USD 360,851 Trading Citibank 6,620


07/05/2014 CLP 207,856,531 USD 369,884 Trading HSBC 6,128



07/05/2014 PLN 1,118,628 USD 367,177 Trading Citibank 2,175

07/05/2014 COP 740,435,750 USD 367,462 Trading UBS AG 7,939

07/05/2014 RUB 16,654,437 USD 450,729 Trading Citibank 19,009








07/05/2014 MXN 4,721,428 USD 358,363 Trading HSBC 2,439

07/05/2014 HUF 105,857,055 USD 469,459 Trading Citibank 4,069



(continued)


142


PortfolioMaturity

DateCurrency





Threadneedle (Lux) -Absolute Emerging Market Macro(continued) 07/05/2014 RUB 16,565,845 USD 450,037 Trading Citibank 17,203

15/01/2015 CNY 3,242,498 USD 529,690 Trading UBS AG (8,514)



07/05/2014 PLN 1,265,647 USD 413,456 Trading JP Morgan Chase New York 4,440



22/05/2014 USD 354,764 TRY 804,212 Trading JP Morgan Chase New York (15,505)

07/05/2014 USD 319,987 RUB 11,501,928 Trading Citibank (4,465)

07/05/2014 USD 451,830 RUB 16,654,437 Trading Citibank (18,070)

07/05/2014 USD 448,271 RUB 16,565,845 Trading HSBC (19,140)

07/05/2014 USD 413,864 PLN 1,265,647 Trading Citibank (4,041)

07/05/2014 USD 470,697 PEN 1,330,424 Trading HSBC (393)

22/05/2014 USD 310,832 MXN 4,115,601 Trading HSBC (3,321)

07/05/2014 USD 156,618 KRW 168,301,831 Trading HSBC (1,648)

07/05/2014 USD 478,047 HUF 108,413,645 Trading Citibank (6,933)

14/05/2014 USD 269,995 HUF 61,258,965 Trading Goldman Sachs (3,942)

07/05/2014 USD 466,589 HUF 105,857,055 Trading Citibank (6,955)





07/05/2014 USD 317,992 CZK 6,309,462 Trading Citibank 929

USD (57,675)

Threadneedle (Lux) -Multi Asset Target Alpha 30/04/2014 AUD 1,028,660 USD 927,767 Trading HSBC 23,682

30/04/2014 CAD 821,434 USD 729,536 Trading Royal Bank of Scotland 14,167

30/04/2014 CHF 176,237 EUR 144,123 Trading Royal Bank of Scotland 932

30/04/2014 EUR 913,723 SEK 8,081,130 Trading Royal Bank of Scotland 13,443

30/04/2014 EUR 96,004 USD 132,305 Trading Lloyds TSB Treasury 3



17/04/2014 GBP 671,562 USD 1,115,495 Hedging JP Morgan Chase New York 3,954

17/04/2014 GBP 668,138 USD 1,109,809 Hedging JP Morgan Chase New York 3,934


30/04/2014 MXN 15,010,613 USD 1,128,718 Trading Goldman Sachs 18,993

30/04/2014 NOK 7,618,580 EUR 909,838 Trading Royal Bank of Scotland 17,137

30/04/2014 USD 1,589,380 CHF 1,404,171 Trading Royal Bank of Scotland (595)


30/04/2014 USD 464,959 JPY 47,590,805 Trading Royal Bank of Scotland 2,768

30/04/2014 USD 197,460 KRW 214,297,237 Trading Citibank (4,130)


30/04/2014 USD 132,573 EUR 96,082 Trading Lloyds TSB Treasury 156


(continued)


143


PortfolioMaturity

DateCurrency





Threadneedle (Lux) -Multi Asset Target Alpha(continued) 03/06/2014 USD 1,402,308 AUD 1,574,000 Trading Royal Bank of Canada (50,305)

03/06/2014 USD 137,130 EUR 100,000 Trading Lloyds TSB Treasury (680)

USD (4,033)

Threadneedle (Lux) -Global Smaller Companies* 17/04/2014 GBP 72,621 EUR 87,016 Hedging JP Morgan Chase New York 818

17/04/2014 GBP 895,094 EUR 1,072,534 Hedging JP Morgan Chase New York 10,084

17/04/2014 GBP 3,961 EUR 4,746 Hedging JP Morgan Chase New York 45

EUR 10,947

Threadneedle (Lux) - Global Opportunities Bond 17/04/2014 EUR 10,583 USD 14,585 Hedging JP Morgan Chase New York 0


30/04/2014 EUR 27,541,401 SEK 243,581,164 Trading Royal Bank of Scotland 405,201






30/04/2014 MXN 333,857,415 USD 25,104,300 Trading Goldman Sachs 422,438

30/04/2014 NOK 229,643,114 EUR 27,424,795 Trading Royal Bank of Scotland 516,558

02/04/2014 USD 5,817,937 BRL 13,800,729 Trading HSBC (295,843)




30/04/2014 USD 72,200,849 GBP 43,750,268 Trading Lloyds TSB Treasury (720,949)

30/04/2014 USD 12,886,515 JPY 1,318,997,909 Trading Royal Bank of Scotland 76,711

30/04/2014 USD 5,950,538 KRW 6,457,940,432 Trading Citibank (124,471)



30/04/2014 USD 1,383,479 EUR 1,000,000 Trading UBS AG 5,319

30/04/2014 USD 505,906 JPY 51,688,513 Trading UBS AG 3,919





30/04/2014 CAD 24,743,948 USD 21,975,692 Trading Royal Bank of Scotland 426,761



30/04/2014 CHF 5,249,948 EUR 4,293,309 Trading Royal Bank of Scotland 27,770







(continued)


144


PortfolioMaturity

DateCurrency





Threadneedle (Lux) - Global Opportunities Bond(continued) 17/04/2014 EUR 12,841 USD 17,881 Hedging JP Morgan Chase New York (183)





17/04/2014 EUR 441,977 USD 607,241 Hedging JP Morgan Chase New York 1,891









30/04/2014 USD 3,939,353 EUR 2,855,050 Trading Lloyds TSB Treasury 4,637


17/04/2014 USD 1,191,889 EUR 856,920 Hedging JP Morgan Chase New York 10,882

30/04/2014 USD 5,819,019 ZAR 63,976,470 Trading Goldman Sachs (236,800)






30/04/2014 USD 48,487,826 CHF 42,837,589 Trading Royal Bank of Scotland (18,156)

30/04/2014 USD 96,988,338 EUR 70,376,975 Trading Lloyds TSB Treasury (2,393)

30/04/2014 AUD 809,860 USD 745,572 Trading JP Morgan Chase New York 3,499

30/04/2014 AUD 13,120,503 USD 11,833,618 Trading HSBC 302,060

02/04/2014 BRL 13,800,729 USD 5,962,726 Trading HSBC 150,942

USD (291,921)

Threadneedle (Lux) - European Select* 17/04/2014 GBP 52,139 EUR 62,475 Hedging JP Morgan Chase New York 587


17/04/2014 EUR 33 GBP 27 Hedging JP Morgan Chase New York 0




17/04/2014 GBP 403 EUR 482 Hedging JP Morgan Chase New York 6

17/04/2014 GBP 542 EUR 647 Hedging JP Morgan Chase New York 8


EUR 4,032

Threadneedle (Lux) - Enhanced Commodities 17/04/2014 USD 6,040 GBP 3,633 Hedging JP Morgan Chase New York (16)


17/04/2014 USD 441 GBP 265 Hedging JP Morgan Chase New York (1)


(continued)


145


PortfolioMaturity

DateCurrency





Threadneedle (Lux) - Enhanced Commodities(continued) 17/04/2014 USD 275,370 GBP 165,533 Hedging JP Morgan Chase New York (563)

17/04/2014 USD 667 SGD 850 Hedging JP Morgan Chase New York (9)

17/04/2014 SEK 585,547,763 USD 91,636,020 Hedging JP Morgan Chase New York (1,346,898)















17/04/2014 EUR 921 USD 1,269 Hedging JP Morgan Chase New York 0







17/04/2014 EUR 1,217,139 USD 1,677,790 Hedging JP Morgan Chase New York (329)
















17/04/2014 USD 323,881 GBP 195,555 Hedging JP Morgan Chase New York (2,096)

17/04/2014 USD 93,677 CHF 81,732 Hedging JP Morgan Chase New York 1,140

17/04/2014 USD 1,289,641 EUR 926,037 Hedging JP Morgan Chase New York 13,378





(continued)


146


PortfolioMaturity

DateCurrency





Threadneedle (Lux) - Enhanced Commodities(continued) 17/04/2014 USD 45,587 CHF 40,305 Hedging JP Morgan Chase New York (46)
















17/04/2014 USD 846 CHF 750 Hedging JP Morgan Chase New York (3)





17/04/2014 USD 382,377 CHF 339,115 Hedging JP Morgan Chase New York (1,571)






17/04/2014 SGD 1,954,308 USD 1,543,770 Hedging JP Morgan Chase New York 10,288

17/04/2014 SGD 1,172 USD 927 Hedging JP Morgan Chase New York 5





17/04/2014 USD 1,785,511 CHF 1,557,801 Hedging JP Morgan Chase New York 21,755

17/04/2014 USD 12,100 GBP 7,257 Hedging JP Morgan Chase New York 2





17/04/2014 USD 215,669 GBP 129,354 Hedging JP Morgan Chase New York 44








(continued)


147


PortfolioMaturity

DateCurrency





Threadneedle (Lux) - Enhanced Commodities(continued) 17/04/2014 USD 39,144 GBP 23,735 Hedging JP Morgan Chase New York (422)


USD (2,274,015)

*See note 1.

9 NET UNREALISED GAIN / (LOSS) ON SWAPS

As at March 31, 2014 the Threadneedle (Lux) - Global Aggregate Bond had the following Credit Default Swaps contracts outstanding:

Description Counterparty Underlying/Issuer Buy/Sell CurrencyNotional

amountMaturity

Date



% of Net Assets

CDS Barclays Markit CDX-NA.IG Index Buy USD 2,100,000 20/06/2019 (31,988) (0.24)

CDS Barclays Markit CDX.NA.HY.21 Index Buy USD 450,000 20/12/2017 38,824 0.29

CDS Citigroup Global Markets

Markit iTraxx Europe Index Buy EUR 500,000 20/06/2019 (2,352) (0.02)


Markit CDX.NA.HY Sell USD 2,050,000 20/06/2019 152,652 1.15

CDS Goldman Sachs ITRAXX Europe Crossover Series 21

Buy EUR 800,000 20/06/2019 (108,250) (0.80)

CDS HSBC Mexico (Govt of) Sell USD 350,000 20/09/2017 5,557 0.04

CDS HSBC Markit CDX.EM.21 Index Buy USD 750,000 20/06/2019 (70,822) (0.53)

CDS HSBC Japan (Govt of) Buy USD 1,000,000 20/12/2016 (20,278) (0.15)

CDS Royal Bank of Scotland

Markit CDX.NA.HY.19 Index Sell USD 300,000 20/12/2017 25,883 0.19

CDS Royal Bank of Scotland

Markit CDX.NA.HY.19 Index Sell USD 100,000 20/12/2017 8,628 0.06

USD (2,146) (0.01)

As at March 31, 2014 the Threadneedle (Lux) - Global Aggregate Bond had the following Interest Rate Swaps contracts outstanding:

Description Counterparty Pay Receive CurrencyNotional

amountMaturity

Date

Unrealised gain/(loss)


% of Net Assets

IRS Barclays USD-BBA-LIBOR 1.89% GBP 440,000 14/03/2019 (4,752) (0.04)

IRS Citigroup Global Markets

PLN-WIBOR-WIBO 3.95% PLN 1,254,000 01/04/2024 (2,131) (0.02)


3.00% PLN-WIBOR-WIBO PLN 10,752,000 01/04/2016 811 0.01




ZAR-JIBAR-SAFEX 6.96% ZAR 19,864,000 14/03/2016 2,749 0.02


(continued)


148



amountMaturity

Date



% of Net Assets


BZDIOVRA 11.98% BRL 2,997,312 04/01/2016 (2,122) (0.02)


BZDIOVRA 11.11% BRL 10,951,100 02/01/2015 (1,160) (0.01)

USD (7,936) (0.07)

As at March 31, 2014 the Threadneedle (Lux) - Euro Active Bonds had the following Credit Default Swaps contracts outstanding:


amountMaturity

Date

Unrealised (loss)


% of Net Assets

CDS Barclays Markit itraxx Europe Index Buy EUR 1,700,000 20/06/2019 (20,525) (0.06)

EUR (20,525) (0.06)

As at March 31, 2014 the Threadneedle (Lux) - American Absolute Alpha had the following Total Return Swaps contracts outstanding:

Description Counterparty Underlying/Issuer Pay/Receive CurrencyNotional

amount

Unrealised (loss)


% of Net Assets

TRS Bank of America Merrill Lynch

Equity Basket Net return on Basket AUD 741,845 (49,113) (0.02)


Equity Basket Net return on Basket CHF 1,728,000 (60,316) (0.02)


Equity Basket Net return on Basket USD 129,731,047 (592,682) (0.23)

USD (702,111) (0.27)

As at March 31, 2014 the Threadneedle (Lux) - Absolute Emerging Market Macro had the following Interest Rate Swaps contracts outstanding:


amountMaturity

Date



% of Net Assets

IRS Citibank London MXN-TIIE-Banxico 5.220% MXN 6,556,000 11/06/2018 1,042 0.02

IRS Citibank London ZAR-JIBAR-SAFEX 5.180% ZAR 12,900,000 04/03/2015 (11,652) (0.23)


MXN-TIIE-Banxico 5.31% MXN 7,567,000 11/12/2018 (1,731) (0.03)


1.613% ICE LIBOR USD USD 541,000 18/12/2018 2,270 0.04



IRS Citibank London 6.020% MXN-TIIE-Banxico MXN 8,270,000 17/07/2020 (2,356) (0.05)

IRS Citibank London CLP-PuntaCamara BCC 4.520% CLP 896,000,000 16/05/2015 13,580 0.27

IRS Citibank London BZDIOVRA 11.98% BRL 2,227,622 04/01/2016 (1,577) (0.03)


(continued)


149



amountMaturity

Date



% of Net Assets


PLN-WIBOR-WIBO 3.56% PLN 891,000 01/04/2019 (522) (0.01)


PLN-WIBOR-WIBO 3.95% PLN 492,000 01/04/2024 (836) (0.02)


3.00% PLN-WIBOR-WIBO PLN 4,200,000 01/04/2016 317 0.01


BZDIOVRA 11.11% BRL 8,149,357 02/01/2015 (863) (0.02)

IRS JPMorgan MXN-TIIE-Banxico 4.880% MXN 17,000,000 09/09/2014 6,251 0.12

IRS JPMorgan 6.020% ZAR-JIBAR-SAFEX ZAR 5,950,000 28/05/2018 32,365 0.64

IRS JPMorgan 5.340% CHSWPF CLP 58,800,000 15/03/2018 (4,105) (0.08)

IRS JPMorgan MXN-TIIE-Banxico 4.460% MXN 2,230,000 12/03/2015 908 0.02

IRS Citigroup GlobalMarkets

5.050% Average Annual Nominal Rate

CLP 256,000,000 23/05/2017 (13,294) (0.26)

IRS Citigroup GlobalMarkets

Average Annual Nominal Rate

4.800% CLP 782,000,000 23/05/2014 1,750 0.03

IRS UBS AG BZDIOVRA 12.10% BRL 2,256,874 04/01/2016 730 0.01

USD 24,323 0.47

As at March 31, 2014 the Threadneedle (Lux) - Absolute Emerging Market Macro had the following Credit Default Swaps contracts outstanding:


amountMaturity

DateMarket value

USD% of Net

Assets


South Africa (Govt of) Buy USD 820,000 20/09/2017 12,078 0.24


Colombia (Govt of) Buy USD 175,000 20/06/2017 (1,849) (0.04)

CDS JPMorgan Emirate of Abu Dhabi (Govt of)

Sell USD 500,000 20/06/2017 (12,272) (0.24)

CDS JPMorgan Qatar (Govt of) Sell USD 500,000 20/06/2017 10,743 0.21

CDS UBS AG Mexico (Govt of) Sell USD 410,000 20/09/2017 6,509 0.13

USD 15,209 0.30

As at March 31, 2014 the Threadneedle (Lux) - Multi Asset Target Alpha had the following Credit Default Swaps contracts outstanding:


amountMaturity

DateMarket value

USD% of Net

Assets

CDS BARCLAYS BANK PLC

Markit iTraxx Europe Index

Buy EUR 3,500,000 20/12/2018 (39,695) (0.30)

USD (39,695) (0.30)

As at March 31, 2014 the Threadneedle (Lux) - Global Opportunities Bond had the following Credit Default Swaps contracts outstanding:


amountMaturity

DateMarket value

USD% of Net

Assets

CDS Barclays Markit iTraxx Europe Crossover Index

Buy EUR 66,640 20/06/2018 (11,194) (0.00)

CDS Barclays Markit CDX.NA.IG.22 Buy USD 76,000,000 20/06/2019 (1,157,661) (0.39)

CDS Barclays Markit CDX.NA.HY.20 Index Sell USD 11,500,000 20/06/2018 1,000,177 0.34


Buy EUR 100,940 20/06/2018 (16,956) (0.01)


(continued)


150



amountMaturity

DateMarket value

USD% of Net

Assets

CDS Barclays Credit Agricole Sell EUR 1,400,000 20/09/2018 191,770 0.06

CDS Barclays Deutsche Bank AG Buy EUR 725,000 20/12/2017 (17,060) (0.01)

CDS Barclays Unicredit SpA Buy EUR 500,000 20/06/2018 (96,593) (0.03)

CDS Barclays Markit CDX.NA.HY.19 Index Sell USD 6,200,000 20/12/2017 534,909 0.18

CDS Barclays Veolia Environnement Sell EUR 250,000 20/12/2014 2,290 0.00


Buy EUR 199,920 20/06/2018 (33,583) (0.01)


Enel Buy EUR 1,550,000 20/12/2018 (18,390) (0.01)


Vodafone Group Public Limited

Buy EUR 125,000 20/09/2017 (3,511) (0.00)


Commerzbank AG Buy EUR 1,300,000 20/09/2018 (272,756) (0.09)


Markit iTraxx Europe Sub Financials Index

Buy EUR 350,000 20/12/2017 (71,459) (0.02)


Markit iTraxx Europe Crossover Index

Buy EUR 10,000,000 20/06/2019 (47,042) (0.02)



Buy EUR 49,000 20/06/2018 (8,231) (0.00)


Credit Agricole SA Buy EUR 2,000,000 20/12/2018 (474,882) (0.16)


Unicredit SpA Buy EUR 650,000 20/09/2018 (128,961) (0.04)


Markit CDX.NA.HY.20 Index Sell USD 11,200,000 20/06/2018 974,085 0.33


Banco Bilbao Vizcaya Argentaria

Buy EUR 250,000 20/09/2015 (22,096) (0.01)


Markit CDX.NA.HY Sell USD 41,900,000 20/06/2019 3,120,076 1.06



Buy EUR 1,004,500 20/06/2018 (168,739) (0.06)

CDS Credit Suisse Deutsche Bank AG Buy EUR 1,400,000 20/06/2016 (107,332) (0.04)

CDS Credit Suisse Post Netherlands NV Sell EUR 400,000 20/03/2015 4,270 0.00

CDS Credit Suisse RWE AG Sell EUR 1,650,000 20/06/2018 (28,353) (0.01)

CDS Credit Suisse Kelda group plc Buy EUR 350,000 20/03/2018 (1,593) (0.00)

CDS Credit Suisse Veolia Environnement Buy EUR 2,650,000 20/12/2018 (22,984) (0.01)

CDS Credit Suisse Fiat Finance Sell EUR 1,750,000 20/09/2018 258,846 0.09

CDS Credit Suisse Banco Espirito Buy EUR 500,000 20/03/2019 (61,644) (0.02)

CDS Credit Suisse Abertis Sell EUR 990,000 20/03/2019 (20,626) (0.01)

CDS Credit Suisse Schaeffler Finance BV Sell EUR 1,500,000 20/09/2018 315,781 0.11

CDS Credit Suisse Conti-Gummi Finance BV Buy EUR 1,500,000 20/09/2018 (398,824) (0.13)

CDS Credit Suisse Telecom Italia SPA Buy EUR 250,000 20/09/2018 13,663 0.00

CDS Credit Suisse Markit iTraxx Europe Sub Financials Index

Sell EUR 350,000 20/12/2017 8,507 0.00

CDS Credit Suisse SSE plc Sell EUR 500,000 20/12/2017 7,373 0.00

CDS Goldman Sachs Anglo American Cap Buy EUR 3,050,000 20/06/2019 144,871 0.05

CDS Goldman Sachs Markit iTraxx Europe Crossover Index

Buy EUR 2,300,000 20/12/2018 (47,365) (0.02)

CDS Goldman Sachs Postal NV Sell EUR 1,650,000 20/12/2018 (9,862) (0.00)

CDS Goldman Sachs GDF Suez Sell EUR 1,525,000 20/06/2021 27,940 0.01

CDS Goldman Sachs Commonwealth Bank Australia

Buy USD 1,050,000 20/06/2018 (19,633) (0.01)

CDS Goldman Sachs Iberdrola Finanzas SAU Buy EUR 600,000 20/09/2018 (9,084) (0.00)


(continued)


151



amountMaturity

DateMarket value

USD% of Net

Assets

CDS Goldman Sachs National Australia Bank Buy USD 1,050,000 20/06/2018 (19,390) (0.01)

CDS Goldman Sachs Gas Natural Capital Buy EUR 600,000 20/09/2018 (9,037) (0.00)

CDS Goldman Sachs Markit CDX.NA.HY.21 Index Buy USD 4,250,000 20/12/2018 (75,711) (0.03)

CDS Goldman Sachs Santander international Debt SA

Sell EUR 650,000 20/09/2016 52,594 0.02

CDS Goldman Sachs Westpac banking Corp. Buy USD 1,050,000 20/06/2018 (19,840) (0.01)

CDS Goldman Sachs Markit iTraxx Europe Crossover Index

Buy EUR 38,000,000 20/06/2019 (5,141,833) (1.72)

CDS Goldman Sachs Glencore Sell EUR 1,500,000 20/06/2019 (79,275) (0.03)

CDS Goldman Sachs Banco Espirito Buy EUR 1,250,000 20/03/2019 (154,111) (0.05)

CDS Goldman Sachs BBVA Senior Finance SA Sell EUR 650,000 20/09/2016 51,248 0.02

CDS Goldman Sachs International London

Veolia Environnement Buy EUR 600,000 20/12/2018 (5,204) (0.00)



Buy EUR 1,715,000 20/06/2018 (288,090) (0.10)


Banco Espirito Buy EUR 800,000 20/12/2018 (98,312) (0.03)


Gaz Natural Capital Buy EUR 1,500,000 20/09/2018 (22,591) (0.01)

CDS HSBC Unilever NV Buy EUR 1,000,000 20/03/2018 (43,074) (0.01)

CDS HSBC Markit iTraxx Europe Index Sell EUR 300,000 20/12/2017 7,292 0.00

CDS HSBC UBS AG Buy EUR 2,500,000 20/03/2019 (348,860) (0.12)

CDS HSBC Mexico (Govt of) Sell USD 700,000 20/09/2017 11,113 0.00

CDS JPMorgan Petrobas International Finance Company

Sell USD 1,200,000 20/06/2014 825 0.00

CDS JPMorgan Markit CDX.NA.HY.19 Index Sell USD 9,000,000 20/12/2017 776,480 0.26

CDS JPMorgan United Utilities plc Buy EUR 500,000 20/06/2018 (3,642) (0.00)

CDS JPMorgan United Utilities plc Buy EUR 500,000 20/06/2018 (3,642) (0.00)

CDS JPMorgan Thyssenkrupp AG Sell EUR 1,500,000 20/09/2018 (96,517) (0.03)

CDS JPMorgan Markit CDX.NA.HY.19 Index Sell USD 400,000 20/12/2017 34,510 0.01

CDS RBS Markit CDX.NA.HY.19 Index Sell USD 1,200,000 20/12/2017 103,531 0.03

USD (2,043,392) (0.69)

As at March 31, 2014 the Threadneedle (Lux) - Global Opportunities Bond had the following Interest Rate Swaps contracts outstanding:


amountMaturity

Date



% of Net Assets

IRS Barclays 1.766% JPY-BBA-LIBOR JPY 600,000,000 07/06/2033 (199,811) (0.07)

IRS Barclays GBP-BBA-LIBOR 1.89% GBP 9,500,000 14/03/2019 (102,599) (0.03)

IRS Citibank Global Markets

BZDIOVRA 11.98% BRL 65,193,169 04/01/2016 (46,157) (0.02)

IRS Citibank Global Markets

BZDIOVRA 11.11% BRL 238,183,909 02/01/2015 (25,227) (0.01)




3.00% PLN-WIBOR-WIBO PLN 236,900,000 01/04/2016 17,876 0.01


(continued)


152



amountMaturity

Date



% of Net Assets




1.58% JPY-BBA-LIBOR JPY 615,000,000 06/03/2034 24,545 0.01


1.749% JPY-BBA-LIBOR JPY 545,000,000 28/06/2033 (163,000) (0.05)



IRS HSBC 3.342% GBP-BBA-LIBOR GBP 2,750,000 10/01/2044 (47,985) (0.02)

IRS HSBC GBP-BBA-LIBOR 1.898% GBP 10,000,000 11/02/2019 (87,697) (0.03)

USD (646,496) (0.22)

As at March 31, 2014 the Threadneedle (Lux) - Enhanced Commodities had the following Total Return Swaps contracts outstanding:

Description CounterpartyUnderlying/Issuer Pay/Receive Currency

Notional amount

Unrealised (loss)


% of Net Assets

TRS Citigroup Global Markets

Equity Basket Net return on Basket USD 122,860,435 (173,206) (0.03)

TRS Macquarie Equity Basket Net return on Basket USD 141,799,552 (199,273) (0.03)

TRS Credit Suisse Equity Basket Net return on Basket USD 1,456,978,568 (207,945) (0.03)

TRS Goldman Sachs Equity Basket Net return on Basket USD 20,712,313 (9,049) (0.00)

TRS JPMorgan Equity Basket Net return on Basket USD 94,798,218 (137,799) (0.02)

USD (727,271) (0.12)

10 NET UNREALISED GAIN / (LOSS) ON FUTURES

As at March 31, 2014, the counterparty to Futures contracts outstanding is UBS.

As at March 31, 2014, the Threadneedle (Lux) - Global Aggregate Bond had the following Futures contracts outstanding:

Description StatusNumber of Contracts Currency

Notional Commitments

Maturity Date

Unrealised gain/ (loss)


% of NetAssets

5 Year Euro-Bobl Futures

Sales (4) EUR (501,480) 06/06/2014 1,985 0.01

Euro Bund Futures Sales (2) EUR (286,760) 06/06/2014 (372) (0.00)

Euri Buxl Futures Sales (1) EUR (128,980) 06/06/2014 (2,205) (0.02)

Euro-BTP Futures Purchases 1 EUR 121,710 06/06/2014 1,447 0.01

10 Year US Treasury Note Futures

Sales (20) USD (2,470,000) 19/06/2014 17,798 0.14

US Ultra Bond Purchases 2 USD 288,938 19/06/2014 1,406 0.01

Long Gilt Futures Sales (2) GBP (219,060) 26/06/2014 667 0.00


Sales (12) USD (2,634,750) 30/06/2014 3,375 0.03


Sales (11) USD (1,308,484) 30/06/2014 4,773 0.04


(continued)


153




Maturity Date

Unrealised gain/ (loss)


% of NetAssets

3 Month Euribor Purchases 10 EUR 2,492,625 15/12/2014 (1,050) (0.01)

90 Day Eurodollar Future

Sales (7) USD (1,744,400) 15/12/2014 (175) (0.00)


Purchases 7 USD 1,738,713 15/06/2015 (1,138) (0.01)

3 Month Euribor Sales (10) EUR (2,491,000) 15/06/2015 878 0.01


Purchases 28 USD 6,919,150 14/12/2015 (10,374) (0.08)

3 Month Euribor Sales (10) EUR (2,486,125) 14/03/2016 (5,341) (0.04)


Sales (27) USD (6,593,063) 19/12/2016 15,125 0.11

USD 26,799 0.20

As at March 31, 2014, the margin account held at UBS by Threadneedle (Lux) - Global Aggregate Bond had a balance of USD 70,869.

As at March 31, 2014, the Threadneedle (Lux) - Euro Active Bonds had the following Futures contracts outstanding:



Maturity Date



% of NetAssets

Euro-Schatz Future Sales (38) EUR (4,195,770) 06/06/2014 3,990 0.01


Sales (36) EUR (4,513,320) 06/06/2014 (5,400) (0.02)


EUR (14,973) (0.04)

As at March 31, 2014, the margin account held at UBS by Threadneedle (Lux) - Euro Active Bonds had a balance of EUR 99,781.

As at March 31, 2014, the Threadneedle (Lux) - Global Emerging Market Short-Term Bonds had the following Futures contracts outstanding:



Maturity Date

Unrealisedgain


% of NetAssets


Sales (167) USD (19,865,172) 30/06/2014 152,649 0.13

USD 152,649 0.13

As at March 31, 2014, the margin account held at UBS by Threadneedle (Lux) - Global Emerging Market Short-Term Bonds had a balance of USD (12,339).

As at March 31, 2014, the Threadneedle (Lux) - Global Asset Allocation had the following Futures contracts outstanding:



Maturity Date

Unrealised(loss)


% of NetAssets

Topix Index Futures Purchases 38 JPY 457,140,000 12/06/2014 (32,470) (0.03)

S&P 500 Index Futures

Sales (9) USD (4,195,350) 19/06/2014 (8,888) (0.01)

USD (41,358) (0.04)

As at March 31, 2014, the margin account held at UBS by Threadneedle (Lux) - Global Asset Allocation had a balance of USD 452,234.


(continued)


154


As at March 31, 2014, the Threadneedle (Lux) - Absolute Emerging Market Macro had the following Futures contracts outstanding:



Maturity Date

Unrealisedgain


% of Net Assets


Sales (24) USD (2,854,875) 30/06/2014 21,938 0.43

USD 21,938 0.43

As at March 31, 2014, the margin account held at UBS by Threadneedle (Lux) - Absolute Emerging Market Macro had a balance of USD 2,519.

As at March 31, 2014, the Threadneedle (Lux) - Multi Asset Target Alpha had the following Futures contracts outstanding:



Maturity Date



% of Net Assets

Euro Bund Futures Sales (8) EUR (1,147,040) 06/06/2014 (2,426) (0.02)

10 Year Japanese Bond Futures

Sales (1) JPY (144,620,000) 11/06/2014 2,233 0.02

Nikkei 225 Futures Sales (6) JPY (88,980,000) 12/06/2014 1,223 0.01

Topix Index Futures

Purchases 12 JPY 144,360,000 12/06/2014 (10,253) (0.08)

USD (9,223) (0.07)

As at March 31, 2014, the margin account held at UBS by Threadneedle (Lux) - Multi Asset Target Alpha had a balance of USD 85,511.

As at March 31, 2014, the Threadneedle (Lux) - Global Opportunities Bond had the following Futures contracts outstanding:



Maturity Date



% of Net Assets

Euro-BTP Futures Purchases 24 EUR 2,921,040 06/06/2014 34,732 0.01

Euro Bund Futures Sales (197) EUR (28,245,860) 06/06/2014 (31,319) (0.01)


Sales (261) EUR (32,721,570) 06/06/2014 39,880 0.01

Euri Buxl Futures Sales (25) EUR (3,224,500) 06/06/2014 (55,130) (0.02)

10 Year Japanese Bond Futures

Sales (44) JPY (6,363,280,000) 11/06/2014 98,267 0.03


Sales (505) USD (62,367,500) 19/06/2014 318,000 0.11

US Ultra Bond Purchases 52 USD 7,512,375 19/06/2014 78,094 0.03

Long Gilt Futures Sales (44) GBP (4,819,320) 26/06/2014 (11,170) (0.00)


Sales (255) USD (55,988,438) 30/06/2014 71,719 0.02


Sales (235) USD (27,953,984) 30/06/2014 93,477 0.03


Sales (149) USD (37,130,800) 15/12/2014 (3,725) (0.00)

3 Month Euribor Purchases 210 EUR 52,345,125 15/12/2014 (22,055) (0.01)

3 Month Euribor Sales (210) EUR (52,311,000) 15/06/2015 18,437 0.01


Purchases 155 USD 38,500,063 15/06/2015 (25,188) (0.01)


(continued)


155




Maturity Date



% of Net Assets


Purchases 567 USD 140,112,788 14/12/2015 (208,096) (0.07)



Sales (569) USD (138,942,688) 19/12/2016 319,162 0.11

USD 603,464 0.20

As at March 31, 2014, the margin account held at UBS by Threadneedle (Lux) - Global Opportunities Bond had a balance of USD 2,504,190.

As at March 31, 2014, the following Portfolios had no Futures contracts outstanding but still held a margin account at UBS as follows:

- Threadneedle (Lux) - American Absolute Alpha had a balance of USD 522

- Threadneedle (Lux) - Emerging Market Debt had a balance of USD 659

- Threadneedle (Lux) - Emerging Market Corporate Bonds had a balance of USD 9,435

11 OPTIONS AT MARKET VALUE

As at March 31, 2014, the Threadneedle (Lux) - Global Opportunities Bond had the following Options outstanding

Description Counterparty Strike Currency ContractsMaturity

Date

Market valuein the portfolio base currency

% of Net Assets

Options on Futures

Put Eurodollar 3 Month UBS AG 98.250 USD 16 15/12/2014 100 0.00

Put Eurodollar 3 Month UBS AG 97.750 USD (16) 15/12/2014 (100) (0.00)

USD 0 0.00

12 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, 2014, the SICAV used the following pools of assets:

Pool Participating Portfolios

World Equity Pool 100% held by Threadneedle (Lux) - Global Asset Allocation

Global Bonds US Pool 100% held by Threadneedle (Lux) - Global Asset Allocation

13 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.

14 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 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.


(continued)


156


A net inflows and net outflows will be determined by the Management Company based on the latest available information at the time of calculation of the

Net Asset Value per Share. A Dilution Adjustment may be applied across all Portfolios with the exception of Threadneedle (Lux) - Mondrian Investment

Partners - Focused Emerging Markets Equity and Threadneedle (Lux) - Enhanced Commodities Portfolio, as defined by the Prospectus. 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. 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.

As at year end, a Dilution Adjustment had been applied to the following Portfolios as follows:

Portfolio NAV before Dilution Dilution Adjustment NAV after Dilution

Threadneedle (Lux) - American 215,572,150 (323,358) 215,248,792

Threadneedle (Lux) - American Absolute Alpha 256,895,905 (128,448) 256,767,457

15 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 Aggregate Bond1 USD N/A

Threadneedle (Lux) - Euro Active Bonds1 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) - Global Asset Allocation1 USD 97,617

Threadneedle (Lux) - Global Focus USD 76,210

Threadneedle (Lux) - Global Emerging Market Equities USD 23,055

Threadneedle (Lux) - American USD 280,408

Threadneedle (Lux) - American Select USD 121,483

Threadneedle (Lux) - US Contrarian Core Equities USD 76,502

Threadneedle (Lux) - Pan European Equities EUR 479,399

Threadneedle (Lux) - Pan European Small Cap Opportunities EUR 745,448

Threadneedle (Lux) - European Quantitative Equities2 EUR 3,123

Threadneedle (Lux) - Asian Equity Income USD 103,366

Threadneedle (Lux) - Greater China Equities USD 15,914

Threadneedle (Lux) - Global Energy Equities USD 16,982

Threadneedle (Lux) - Global Technology USD 39,707

Threadneedle (Lux) - Global Equities - Walter Scott & Partners EUR 26,360

Threadneedle (Lux) - Mondrian Investment Partners – Focused Emerging Markets Equity USD 481,388

Threadneedle (Lux) - UK Equities GBP 484,675

Threadneedle (Lux) - Target Return (US$)1, 2 USD N/A

Threadneedle (Lux) - American Absolute Alpha USD 357,491

Threadneedle (Lux) - Absolute Emerging Market Macro1 USD N/A

Threadneedle (Lux) - Multi Asset Target Alpha1 USD 341

Threadneedle (Lux) - Global Smaller Companies2 EUR 11,003

Threadneedle (Lux) - Global Opportunities Bond1 USD N/A

Threadneedle (Lux) - European Select2 EUR 21,888

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 year is included in the Statement of Operations and Changes in Net Assets under the heading ‘‘Net realised gain/(loss) on

sales of investments’’ and ‘‘Change in net unrealised gain/(loss) on investments’’.1For fixed income securities, transaction cost are not separately identifiable from the purchase price of the security and therefore cannot be disclosed separately.

2See note 1.

14 DILUTION ADJUSTMENT

(continued)


157


16 CASH COLLATERAL INFORMATION

The table below provides the cash collateral balances due from and due to brokers as at March 31, 2014:

Portfolios Counterparty Investment Type CurrencyCash

Collateral

Due from brokers

Threadneedle (Lux) - Global Aggregate Bond Barclays Swaps USD 10,000

Threadneedle (Lux) - Global Opportunities Bond Barclays Swaps USD 160,000

Threadneedle (Lux) - Global Opportunities Bond Citigroup Swaps USD 690,000

Threadneedle (Lux) - Global Opportunities Bond Royal Bank of Scotland Swaps and forwards USD 1,410,000

Threadneedle (Lux) - Enhanced Commodities Credit Suisse Swaps USD 780,000

Due to brokers

Threadneedle (Lux) - Global Aggregate Bond HSBC Swaps and forwards USD 10,000

Threadneedle (Lux) - Emerging Market Corporate Bonds JPMorgan Forwards USD 390,000

Threadneedle (Lux) - Emerging Market Debt JPMorgan Forwards USD 300,000

Threadneedle (Lux) - Global Emerging Market Short-Term Bonds JPMorgan Forwards USD 410,000

Threadneedle (Lux) - US$ High Income Bonds JPMorgan Forwards USD 100,000

Threadneedle (Lux) - Global Asset Allocation JPMorgan Forwards USD 260,000

Threadneedle (Lux) - Global Focus JPMorgan Forwards USD 170,000

Threadneedle (Lux) - American Absolute Alpha Bank of America Merrill Lynch

Swaps USD 140,000

Threadneedle (Lux) - American Absolute Alpha JPMorgan Forwards USD 1,660,000

Threadneedle (Lux) - Global Opportunities Bond HSBC Swaps and forwards USD 430,000

Threadneedle (Lux) - Global Opportunities Bond JPMorgan Swaps and forwards USD 540,000

Threadneedle (Lux) - Global Opportunities Bond Goldman Sachs Swaps and forwards USD 5,210,000

Threadneedle (Lux) - Enhanced Commodities Citigroup Swaps USD 130,000

Threadneedle (Lux) - Enhanced Commodities Macquarie Swaps USD 140,000

Threadneedle (Lux) - Enhanced Commodities JPMorgan Swaps and forwards USD 3,520,000

17 CROSS INVESTMENT IN PORTFOLIOS

As at March 31, 2014, the Threadneedle (Lux) - Global Asset Allocation Portfolio and the Threadneedle (Lux) - Multi Asset Target Alpha Portfolio invest

in shares of the Threadneedle Lux - Enhanced Commodities Portfolio.

The value of the shares held by the Threadneedle (Lux) - Global Asset Allocation Portfolio amounts to USD 3,418,756 and represents 0.57% of the

net assets of the Threadneedle Lux - Enhanced Commodities Portfolio.

The value of the shares held by the Threadneedle (Lux) - Multi Asset Target Alpha Portfolio amounts to USD 350,510 and represents 0.06% of the

net assets of the Threadneedle Lux - Enhanced Commodities 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.

18 SIGNIFICANT EVENTS

Crispin Henderson resigned as Chairman and Director of the SICAV’s Board of Directors on May 24, 2013.

Campbell Fleming was appointed as Chairman of the SICAV’s Board of Directors on June 13, 2013.

Timothy Gillbanks resigned as Director of the SICAV’s Board of Directors on June 13, 2013.

Nicholas Ring was appointed as Director of the SICAV’s Board of Directors on July 26, 2013.

19 SUBSEQUENT EVENTS

A new prospectus has been issued in April 2014 .

The Threadneedle (Lux) - Developed Asia Growth and Income Portfolio has been launched on April 15, 2014.

The Threadneedle (Lux) - Flexible Asian Bond Portfolio has been launched on April 29, 2014.

The Threadneedle (Lux) - Asian Focus Portfolio and the Threadneedle (Lux) - Asia Contrarian Equity Portfolio have been launched on May 14, 2014.


158


20 TOTAL EXPENSE RATIO (TER)

The Total Expense Ratio is calculated following the Swiss Funds & Asset Management Association (SFAMA) guideline.

The Total Expense Ratios for the year ended March 31, 2014 are as follows:

Portfolio Class TER

Threadneedle (Lux) - Global Aggregate Bond AEH 1.30%

AU 1.30%

DEC 1.65%

DEH 1.65%

DU 1.65%

W 1.05%

Threadneedle (Lux) - Euro Active Bonds 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%

IGH 1.00%

SU 1.80%

SUP 1.80%

W 1.30%

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%

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%


159


Portfolio Class TER

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 Focus AEH 1.85%

AU 1.85%

DEH 2.60%

DU 2.60%

W 1.75%

Threadneedle (Lux) - Global Emerging Market Equities AEH 1.85%

AU 1.85%

DEH 2.85%

DU 2.85%

IEH 1.10%

W 2.00%

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%

IU 1.05%

W 1.75%

ZFH 1.10%

Threadneedle (Lux) - US Contrarian Core Equities AEH 1.85%

ASH 1.85%

AU 1.85%

DEH 2.35%

DU 2.35%

IFH 1.05%

IU 1.05%

Threadneedle (Lux) - Pan European Equities AE 1.85%

ASH 1.85%

AUH 1.77%4

DE 2.60%

IE 1.05%

W 1.75%

XE 0.15%

Threadneedle (Lux) - Pan European Small Cap Opportunities AE 1.85%

ASH 1.85%

DE 2.75%

IE 1.10%

W 1.90%


(continued)


160


Portfolio Class TER

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%

IU 1.25%

W 1.75%

Threadneedle (Lux) - Global Technology AEH 2.10%

AU 2.10%

BU 2.35%

DU 2.35%

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%

ZG 1.10%

Threadneedle (Lux) - American Absolute Alpha AEH 1.85%

AFH 1.85%

AGH 1.85% / 2.34%1

AU 1.85% / 1.91%1

DEH 2.35%

DU 2.35%

IEH 1.00% / 1.58%1

IGH 1.00% / 1.36%1

IU 1.00% / 1.80%1

ZGH 1.10%

Threadneedle (Lux) - Absolute Emerging Market Macro AEH 2.10%

AFH 2.10%

AGH 2.10%

AU 2.10%

DEH 2.60%

DU 2.60%

IEH 1.25%

IGH 1.25%

Threadneedle (Lux) - Multi Asset Target Alpha AEH 1.68%

AGH 1.68%

AU 1.68%

IEH 0.88%


(continued)


161


Portfolio Class TER

Threadneedle (Lux) - Multi Asset Target Alpha(continued) IGH 0.88%

IU 0.88%

ZGH 1.08%

Threadneedle (Lux) - Global Smaller Companies3 AE 1.85%

AGH 1.91%5

DE 2.35%

IE 1.00%

IGH 1.00%

ZGH 1.10%

Threadneedle (Lux) - Global Opportunities Bond AEH 1.40%

AFH 1.40%

AGH 1.40% / 1.41%1

AU 1.40% / 1.42%1

DEH 2.20%

DU 2.20%

IEH 0.85%

IFH 0.85% / 1.01%1

IGH 0.85% / 0.91%1

IU 0.85% / 0.87%1

ZGH 0.90% / 0.99%1

Threadneedle (Lux) - European Select3 AE 1.85%

AGH 1.35%

AUH 1.35%

IE 1.00%

ZGH 1.10%

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%

ZGH 1.10%

1 Including Performance Fee.2 Custody and sub custody fees are additionally charged to this share class.3 See note 1.4 This share class has only been in existence since October 25, 2013 and was subject to a rapidly increasing funds under management value resulting in a variance to the full

year expected TER of 0.08%.5 This share class was subject to a rapidly decreasing funds under management value resulting in a variance to the expected TER of 0.06%.

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


(continued)

Global Risk Exposure (unaudited)

162


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, 2014 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.

Absolute Value at Risk (VaR)

Using the period April 2013 - March 2014:

Portfolio Calculation

Method

VaR Model* VaR

Limit

(%)

Lowest

Utilisation

of VaR Limit

(%)

Highest

Utilisation

of VaR Limit

(%)

Average

Utilisation

of VaR Limit

(%)

Average level of

leverage reached

during the year using

the commitment

approach (%)

Average level of

leverage reached

during the year using

the sum of notionals

approach (%)

Threadneedle (Lux) - Emerging Market Macro

Absolute VaR Covariance 14.1 9.30 58.20 21.30 378.00 593.20

Threadneedle (Lux) - American Absolute Alpha Total

Absolute VaR Covariance 8 14.60 71.70 37.90 0.40 54.60


Absolute VaR Covariance 6 16.00 86.40 39.10 273.90 1,042.20


Absolute VaR Covariance 6.7 10.10 36.50 23.80 140.20 344.40

Threadneedle (Lux) - Global Smaller Companies**


Threadneedle (Lux) - European Select**


Relative Value at Risk (VaR)

Portfolio Calculation

Method

VaR Model* Reference

Portfolio

VaR

Limit

(%)

Lowest

Utilisation

of VaR

Limit

(%)

Highest

Utilisation

of VaR

Limit

(%)

Average

Utilisation

of VaR

Limit

(%)

Average level

of leverage

reached during

the year using

the commitment

approach (%)

Average level

of leverage

reached during

the year using

the sum of

notionals

approach (%)

Threadneedle (Lux) - Euro Active Bond

Relative Var Covariance ML EMU Inv Grade Large Cap (3-5yr)

1.3 x bmk Var

65.90 106.40 86.00 57.50 294.00


Relative Var Covariance Barclays Capital Aggregate

1.3 x bmk Var

61.80 170.10 89.60 178.20 740.20

Threadneedle (Lux) - Enhanced Commodity

Relative Var Covariance Dow Jones UBS Commodity Index

1.3 x bmk Var

8.20 36.50 22.90 0.00 115.60

*The covariance model is based on a 99% Confidence interval over a 1-month holding period, using the previous 3.5 years of data.**These funds used VAR up to December 31, 2013 from then on they used the commitment approach. See note 1.

• For the funds using either the Absolute or Relative VaR methodologies, the global exposure is calculated and monitored daily.• The VaR methodology uses a holding period of one month and the level of confidence is 99%.• The figures disclosed in the above table refer to an observation period of one year (or since inception) for the year ended March 31, 2014.

Shareholders’ Information (unaudited)

163


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 30, 2008, July 31, 2009, August 31, 2010, July 1, 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 reports 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 requirements

The KIID is a pre-contractual document and investors will have to confirm that they have read the latest KIID before making a subscription. Threadneedle Investments 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 Threadneedle.com.

Information for Investors in Switzerland (unaudited)

164


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 Key Investor Information Documents 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., Zurich Branch, Badenerstrasse 567, P.O. Box 101, CH-8066 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.

PORTFOLIO TURNOVER RATE (PTR)

The Portfolio Turnover Rates (PTR) are calculated in accordance with the Swiss Funds & Asset Management Association on Guidelines on the calculation and disclosure of PTR, dated May 16, 2008.

The Portfolio Turnover Rates of the Portfolios for the year from April 1, 2013 to March 31, 2014 are as follows:

Portfolio PTR (in %)

Threadneedle (Lux) - Global Aggregate Bond 283.12Threadneedle (Lux) - Euro Active Bonds 285.26Threadneedle (Lux) - Emerging Market Corporate Bonds 328.44Threadneedle (Lux) - Emerging Market Debt 133.36Threadneedle (Lux) - Global Emerging Market Short-Term Bonds 252.23Threadneedle (Lux) - US$ High Income Bonds 20.24Threadneedle (Lux) - Global Asset Allocation 96.27Threadneedle (Lux) - Global Focus 131.74Threadneedle (Lux) - Global Emerging Market Equities 186.30Threadneedle (Lux) - American (9.81)Threadneedle (Lux) - American Select 205.46Threadneedle (Lux) - US Contrarian Core Equities 71.42Threadneedle (Lux) - Pan European Equities 62.59Threadneedle (Lux) - Pan European Small Cap Opportunities 3.99Threadneedle (Lux) - European Quantitative Equities* 45.46Threadneedle (Lux) - Asian Equity Income 141.60Threadneedle (Lux) - Greater China Equities 27.83Threadneedle (Lux) - Global Energy Equities 45.46Threadneedle (Lux) - Global Technology 140.25Threadneedle (Lux) - UK Equities (45.75)Threadneedle (Lux) - Target Return (US$)* 151.96Threadneedle (Lux) - American Absolute Alpha (75.57)Threadneedle (Lux) - Absolute Emerging Market Macro 1,236.44Threadneedle (Lux) - Multi Asset Target Alpha 237.76Threadneedle (Lux) - Global Smaller Companies* 88.42Threadneedle (Lux) - Global Opportunities Bond 334.65Threadneedle (Lux) - European Select* 209.12Threadneedle (Lux) - Enhanced Commodities 195.81

*See note 1.

There is no PTR disclosed for Threadneedle (Lux) - Global Equities - Walter Scott & Partners and Threadneedle (Lux) - Mondrian Investment Partners - Focused Emerging Markets Equity, as those Portfolios are not registered in Switzerland.

The formula used is the following:

Portfolio Turnover Rate = [(Total 1 – Total 2)/M] X 100

Where:Total 1 = total securities transactions during the year or X + Y where X = purchases of securities and Y = sales of securities.Total 2 = total transactions of shares during the year or S + T where S = total subscriptions of shares and T = total redemptions of shares.M = average net assets.

Share Class Performance (unaudited)

165


Share

Class Benchmark Name

December 31, 2013 December 31, 2012 December 31, 2011

Benchmark

Portfolio

Return Benchmark

Portfolio

Return Benchmark

Portfolio

Return

Threadneedle (Lux) - Global Aggregate Bond*

AEH1 Barclays Capital Global Aggregate -2.60% -4.42% 4.69% 5.95% n/a n/aAU Barclays Capital Global Aggregate -2.60% -3.90% 4.32% 5.82% 5.50% 5.75%DEC2 Barclays Capital Global Aggregate 2.26% 2.70% n/a n/a n/a n/aDEH1 Barclays Capital Global Aggregate -2.60% -4.83% 4.69% 5.60% n/a n/aDU Barclays Capital Global Aggregate -2.60% -4.26% 4.32% 5.46% 5.50% 5.39%W Barclays Capital Global Aggregate -2.60% -3.68% 4.32% 6.11% 5.50% 6.01%Threadneedle (Lux) - Euro Active Bonds

AE ML EMU Investment Grade Large Cap 3-5 Yr 2.56% 1.84% 9.60% 9.39% 3.23% 2.15%AEP3 ML EMU Investment Grade Large Cap 3-5 Yr 2.56% 1.78% 4.21% 3.49% n/a n/aDE ML EMU Investment Grade Large Cap 3-5 Yr 2.56% 1.28% 9.60% 8.87% 3.23% 1.77%DEP4 ML EMU Investment Grade Large Cap 3-5 Yr 2.56% 1.32% 0.83% 0.70% n/a n/aIE ML EMU Investment Grade Large Cap 3-5 Yr 2.56% 2.35% 9.60% 10.00% 3.23% 2.75%W ML EMU Investment Grade Large Cap 3-5 Yr 2.56% 1.91% 9.60% 9.52% 3.23% 2.41%Threadneedle (Lux) - Emerging Market Corporate Bonds

AEC5 JPM CEMBI Broad Diversified -0.60% -0.96% 16.95% 14.86% n/a n/aAEH JPM CEMBI Broad Diversified -0.60% -0.98% 16.95% 15.28% 3.24% 0.70%ASH6 JPM CEMBI Broad Diversified -0.60% -0.82% 10.65% 10.20% n/a n/aAU5 JPM CEMBI Broad Diversified -0.60% -0.64% 16.95% 14.21% n/a n/aAUP JPM CEMBI Broad Diversified -0.60% -0.65% 16.95% 15.60% 3.24% 0.51%DEC7 JPM CEMBI Broad Diversified -0.60% -1.48% 1.57% 1.78% n/a n/aDEH JPM CEMBI Broad Diversified -0.60% -1.51% 16.95% 14.77% 3.24% 0.24%DU JPM CEMBI Broad Diversified -0.60% -1.16% 16.95% 15.15% 3.24% 0.00%IEH JPM CEMBI Broad Diversified -0.60% -0.16% 16.95% 16.20% 3.24% 1.41%P JPM CEMBI Broad Diversified -0.60% -0.10% 16.95% 16.26% 3.24% 0.96%W JPM CEMBI Broad Diversified -0.60% -0.18% 16.95% 16.23% 3.24% 1.09%WEH5 JPM CEMBI Broad Diversified -0.60% -0.46% 16.95% 15.40% n/a n/aThreadneedle (Lux) - Emerging Market Debt

AEC JPM EMBI Global -6.58% -9.76% 18.54% 16.30% 8.46% 6.51%AEH JPM EMBI Global -6.58% -9.76% 18.54% 16.24% 8.46% 6.49%ASH8 JPM EMBI Global -6.58% -9.61% 12.91% 11.40% n/a n/aAU JPM EMBI Global -6.58% -9.39% 18.54% 16.79% 8.46% 6.20%AUP JPM EMBI Global -6.58% -9.39% 18.54% 16.74% 8.46% 6.13%DEH JPM EMBI Global -6.58% -10.18% 18.54% 15.70% 8.46% 5.93%DU JPM EMBI Global -6.58% -9.84% 18.54% 16.19% 8.46% 5.67%IEH JPM EMBI Global -6.58% -9.04% 18.54% 17.19% 8.46% 7.27%IGH9 JPM EMBI Global -6.58% -8.47% 1.61% -1.20% n/a n/aSU JPM EMBI Global -6.58% -9.43% 18.54% 16.81% 8.46% 6.16%SUP JPM EMBI Global -6.58% -9.38% 18.54% 13.30% 8.46% -1.09%W JPM EMBI Global -6.58% -8.94% 18.54% 17.38% 8.46% 6.72%

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, 2013 (but does not reflect a sales charge as stated in the note 4 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 4 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.

*Benchmark changed to Barclays Capital Global Aggregate on August 1, 2011. Prior to August 1, 2011 the fund was previously named Threadneedle (Lux) - Global Bonds (US$).1Performance since launch January 12, 20122Performance since launch November 26, 20123Performance since launch July 17, 20124Performance since launch November 26, 20125Performance since launch January 12, 20126Performance since launch June 6, 20127Performance since launch November 26, 20128Performance since launch March 23, 20129Performance since launch October 16, 2012

Share Class Performance (unaudited)(continued)

166


Share



Benchmark

Portfolio

Return Benchmark

Portfolio

Return Benchmark

Portfolio

Return


AEC JPM EMBI Global 3-5 Yrs 0.27% -3.18% 14.50% 13.97% 3.33% 1.85%AEH JPM EMBI Global 3-5 Yrs 0.27% -3.13% 14.50% 13.94% 3.33% 1.97%ASC10 JPM EMBI Global 3-5 Yrs -0.53% -3.78% n/a n/a n/a n/aASH11 JPM EMBI Global 3-5 Yrs -0.28% -3.60% n/a n/a n/a n/aAU JPM EMBI Global 3-5 Yrs 0.27% -2.78% 14.50% 14.40% 3.33% 1.77%AUP JPM EMBI Global 3-5 Yrs 0.27% -2.89% 14.50% 14.45% 3.33% 1.72%DEH JPM EMBI Global 3-5 Yrs 0.27% -3.27% 14.50% 13.81% 3.33% 1.79%DU JPM EMBI Global 3-5 Yrs 0.27% -2.96% 14.50% 14.29% 3.33% 1.49%IEH JPM EMBI Global 3-5 Yrs 0.27% -2.46% 14.50% 14.77% 3.33% 2.60%W JPM EMBI Global 3-5 Yrs 0.27% -2.57% 14.50% 14.77% 3.33% 1.92%Threadneedle (Lux) - US$ High Income Bonds

AEC12 ML US High Yield Cash Pay BB-B 6.29% 3.34% 2.02% 2.16% n/a n/aAEH ML US High Yield Cash Pay BB-B 6.29% 3.18% 14.71% 12.99% 5.47% 5.31%ASH16a ML US High Yield Cash Pay BB-B 6.29% 3.39% 9.99% 9.30% n/a n/aAU ML US High Yield Cash Pay BB-B 6.29% 3.55% 14.71% 13.38% 5.47% 5.17%AUP ML US High Yield Cash Pay BB-B 6.29% 3.53% 14.71% 13.42% 5.47% 5.12%DEC13 ML US High Yield Cash Pay BB-B 6.29% 2.26% 2.01% 2.11% n/a n/aDEH ML US High Yield Cash Pay BB-B 6.29% 2.14% 14.71% 11.98% 5.47% 4.78%DU ML US High Yield Cash Pay BB-B 6.29% 2.50% 14.71% 12.34% 5.47% 4.61%IEH14 ML US High Yield Cash Pay BB-B 6.29% 3.89% 14.71% 13.85% 4.74% 5.05%Threadneedle (Lux) - Global Asset Allocation

AEC NO OFFICIAL BENCHMARK n/a 9.03% n/a 8.14% n/a -5.03%AEH NO OFFICIAL BENCHMARK n/a 8.99% n/a 8.16% n/a -3.17%AU NO OFFICIAL BENCHMARK n/a 9.48% n/a 8.88% n/a -2.52%AUP NO OFFICIAL BENCHMARK n/a 9.53% n/a 8.88% n/a -2.54%DEH NO OFFICIAL BENCHMARK n/a 8.17% n/a 7.56% n/a -3.55%DU NO OFFICIAL BENCHMARK n/a 8.68% n/a 8.32% n/a -2.99%IGH15 NO OFFICIAL BENCHMARK n/a 10.51% n/a 3.25% n/a n/aIU16 NO OFFICIAL BENCHMARK n/a 10.44% n/a 9.85% n/a -4.57%W NO OFFICIAL BENCHMARK n/a 9.63% n/a 9.03% n/a -2.16%Threadneedle (Lux) - Global Focus

AEH MSCI AC World 23.44% 27.48% 16.80% 12.77% -6.86% -7.19%AU MSCI AC World 23.44% 28.31% 16.80% 13.62% -6.86% -6.11%DEH MSCI AC World 23.44% 26.48% 16.80% 12.06% -6.86% -7.63%DU MSCI AC World 23.44% 27.31% 16.80% 12.91% -6.86% -6.59%W MSCI AC World 23.44% 28.42% 16.80% 13.83% -6.86% -5.79%Threadneedle (Lux) - Global Emerging Market Equities

AEH MSCI Global Emerging Markets Free -2.27% 2.21% 18.63% 17.69% -18.17% -23.62%AU MSCI Global Emerging Markets Free -2.27% 2.71% 18.63% 18.48% -18.17% -22.61%DEH MSCI Global Emerging Markets Free -2.27% 1.18% 18.63% 16.68% -18.17% -23.91%DU MSCI Global Emerging Markets Free -2.27% 1.69% 18.63% 17.42% -18.17% -23.03%

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, 2013 (but does not reflect a sales charge as stated in the note 4 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 4 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.10Performance since launch January 25, 201311Performance since launch January 14, 201312Performance since launch October 25, 201213Performance since launch November 26, 201214Performance since launch September 28, 201115Performance since launch August 31, 201216Performance since launch March 29, 201116aPerformance since launch March 23, 2012


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(continued)

IEH MSCI Global Emerging Markets Free -2.27% 2.97% 18.63% 18.70% -18.17% -22.95%W MSCI Global Emerging Markets Free -2.27% 2.56% 18.63% 18.44% -18.17% -22.29%Threadneedle (Lux) - American

AEH S&P 500 32.39% 32.11% 16.00% 11.80% 2.11% 1.92%AU S&P 500 32.39% 32.91% 16.00% 12.63% 2.11% 2.97%DEH S&P 500 32.39% 31.40% 16.00% 11.20% 2.11% 1.46%DU S&P 500 32.39% 32.33% 16.00% 12.02% 2.11% 2.48%IEH S&P 500 32.39% 33.10% 16.00% 12.69% 2.11% 2.58%IU S&P 500 32.39% 34.03% 16.00% 13.51% 2.11% 3.70%W S&P 500 32.39% 33.39% 16.00% 13.03% 2.11% 3.32%Threadneedle (Lux) - American Select

AEH S&P 500 32.39% 29.12% 16.00% 14.06% 2.11% 4.33%AU S&P 500 32.39% 29.93% 16.00% 15.10% 2.11% 0.00%DEH S&P 500 32.39% 28.11% 16.00% 13.29% 2.11% -1.47%DU S&P 500 32.39% 28.98% 16.00% 14.26% 2.11% -0.38%IEH S&P 500 32.39% 30.13% 16.00% 14.96% 2.11% -0.37%IU17 S&P 500 25.87% 23.90% n/a n/a n/a n/aW S&P 500 32.39% 29.97% 16.00% 15.25% 2.11% 0.43%Threadneedle (Lux) - US Contrarian Core Equities

ASH18 S&P 500 11.10% 11.20% n/a n/a n/a n/aAU19 S&P 500 32.39% 34.18% 16.00% 16.58% 4.69% 3.73%IFH20 S&P 500 11.01% 15.40% n/a n/a n/a n/aIU19 S&P 500 32.39% 35.18% 16.00% 17.52% 4.69% 3.90%Threadneedle (Lux) - Pan European Equities

AE MSCI Europe Gross 20.51% 24.72% 18.09% 16.77% -7.51% -7.97%ASH21 MSCI Europe Gross 20.51% 24.98% 8.41% 6.90% n/a n/aAUH22 MSCI Europe Gross 2.71% 5.13% n/a n/a n/a n/aDE MSCI Europe Gross 20.51% 23.74% 18.09% 15.95% -7.51% -8.43%IE MSCI Europe Gross 20.51% 25.70% 18.09% 17.76% -7.51% -7.16%W MSCI Europe Gross 20.51% 24.83% 18.09% 16.97% -7.51% -7.63%Threadneedle (Lux) - Pan European Small Cap Opportunities

AE HSBC Smaller Pan European (EUR) 32.19% 23.23% 23.97% 33.14% -18.43% -10.74%ASH23 HSBC Smaller Pan European (EUR) 32.19% 23.33% 8.07% 15.30% -18.43% n/aDE HSBC Smaller Pan European (EUR) 32.19% 22.15% 23.97% 32.03% -18.43% -10.64%IE24 HSBC Smaller Pan European (EUR) 32.19% 24.12% 7.50% 5.76% -18.43% n/aW HSBC Smaller Pan European (EUR) 32.19% 23.13% 23.97% 33.23% -18.43% -9.97%Threadneedle (Lux) - European Quantitative Equities**

AE24a STOXX Europe (50)-Return (EUR) 23.28% 12.88% 17.83% 12.98% -14.08% -5.11%DE24a STOXX Europe (50)-Return (EUR) 21.84% 12.88% 17.00% 12.98% -14.42% -5.11%


**See note 1.17Performance since launch January 30, 201318Performance since launch July 12, 201319Performance since launch October 12, 201120Performance since launch June 21, 201321Performance since launch March 23, 201222Performance since launch October 25, 201323Performance since launch March 23, 201224Performance since launch August 16, 201224aPerformance until closure December 6, 2013


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Threadneedle (Lux) - European Quantitative Equities**

(continued)

IE24a STOXX Europe (50)-Return (EUR) 24.07% 12.88% 18.66% 12.98% -13.31% -5.11%W24b STOXX Europe (50)-Return (EUR) 6.72% 5.17% 17.96% 12.98% -13.75% -5.11%Threadneedle (Lux) - Asian Equity Income

AEH MSCI AC Asia Pacific ex Japan 3.65% 9.61% 22.63% 13.83% -15.38% -20.85%AU MSCI AC Asia Pacific ex Japan 3.65% 10.11% 22.63% 14.63% -15.38% -20.10%DEH MSCI AC Asia Pacific ex Japan 3.65% 8.52% 22.63% 12.80% -15.38% -21.20%DU MSCI AC Asia Pacific ex Japan 3.65% 9.05% 22.63% 13.61% -15.38% -20.48%W MSCI AC Asia Pacific ex Japan 3.65% 9.94% 22.63% 14.58% -15.38% -19.78%ZGH25 MSCI AC Asia Pacific ex Japan 2.24% 1.61% n/a n/a n/a n/aThreadneedle (Lux) - Greater China Equities

AEH MSCI Golden Dragon 7.25% 20.82% 22.65% 18.31% -18.35% -25.84%AU MSCI Golden Dragon 7.25% 21.58% 22.65% 18.94% -18.35% -25.06%DEH MSCI Golden Dragon 7.25% 19.62% 22.65% 17.21% -18.35% -26.34%DU MSCI Golden Dragon 7.25% 20.37% 22.65% 17.93% -18.35% -25.50%W MSCI Golden Dragon 7.25% 21.42% 22.65% 18.94% -18.35% -19.82%Threadneedle (Lux) - Global Energy Equities

AEH MSCI World - Energy Gross 18.84% 15.90% 2.50% -1.02% 0.70% -10.01%AU MSCI World - Energy Gross 18.84% 16.66% 2.50% 0.28% 0.70% -8.32%DEH MSCI World - Energy Gross 18.84% 15.29% 2.50% -1.54% 0.70% -10.40%DU MSCI World - Energy Gross 18.84% 16.06% 2.50% -0.24% 0.70% -8.75%IU MSCI World - Energy Gross 18.84% 17.65% 2.50% 1.14% 0.70% -7.60%W MSCI World - Energy Gross 18.84% 17.06% 2.50% 0.63% 0.70% -7.99%Threadneedle (Lux) - Global Technology

AEH26 MSCI World IT Index 18.34% 14.67% n/a n/a n/a n/aAU MSCI World IT Index 29.30% 23.42% 13.77% 5.91% -2.17% -7.77%BU MSCI World IT Index 29.30% 23.07% 13.77% 5.45% -2.17% -8.99%DU MSCI World IT Index 29.30% 23.07% 13.77% 5.69% -2.17% -8.05%Threadneedle (Lux) - UK Equities

AEH27 FTSE All Share 4.68% 6.33% n/a n/a n/a n/aAG28 FTSE All Share 20.81% 25.22% 12.30% 14.74% -0.15% -1.87%AGP29 FTSE All Share 20.81% 25.24% 11.55% 12.00% n/a n/aIEH30 FTSE All Share 8.69% 12.15% n/a n/a n/a n/aIG28 FTSE All Share 20.81% 26.24% 12.30% 15.63% -0.15% -1.80%IGP31 FTSE All Share 20.81% 26.25% 10.65% 12.28% n/a n/aZG32 FTSE All Share 20.81% 26.20% 1.51% 1.80% n/a n/aThreadneedle (Lux) - Target Return (US$)**

ASH32a US 3 Month Libor 2.50% 0.25% n/a 0.22% n/a n/aAEC32b US 3 Month Libor 2.29% 0.25% -1.07% 0.06% n/a n/a


**See note 1.24aPerformance until closure December 6, 201324bPerformance until closure March 22, 201325Performance since launch December 17, 201326Performance since launch May 13, 201327Performance since launch May 14, 201328Performance since launch December 6, 201129Performance since launch May 23, 201230Performance since launch March 13, 201331Performance since launch June 15, 201232Performance since launch October 16, 201232aPerformance from launch June 6, 2012 until closure December 6, 201332bPerformance from launch October 25, 2012 until closure December 6, 2013


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Threadneedle (Lux) - Target Return (US$)**

(continued)

AU32c US 3 Month Libor 2.56% 0.25% 0.07% 0.44% -1.77% 0.34%DEC32d US 3 Month Libor 1.84% 0.25% -0.17% 0.03% n/a n/aDEH32c US 3 Month Libor 1.75% 0.25% -0.70% 0.44% -1.88% 0.34%IFH32c US 3 Month Libor 2.45% 0.25% 0.15% 0.44% -1.16% 0.34%IU32c US 3 Month Libor 3.30% 0.25% 0.77% 0.44% -0.86% 0.34%Threadneedle (Lux) - American Absolute Alpha

AEH US 3 Month Libor 0.27% 4.32% 0.44% 4.25% 0.34% 3.88%AFH33 US 3 Month Libor 0.27% 4.15% 0.43% 1.13% n/a n/aAGH US 3 Month Libor 0.27% 4.60% 0.44% 4.89% 0.34% 3.81%AU US 3 Month Libor 0.27% 4.63% 0.44% 4.52% 0.34% 3.61%DEH US 3 Month Libor 0.27% 3.92% 0.44% 3.83% 0.34% 3.38%DU US 3 Month Libor 0.27% 4.25% 0.44% 4.10% 0.34% 3.07%IEH US 3 Month Libor 0.27% 4.97% 0.44% 5.03% 0.34% 4.35%IGH US 3 Month Libor 0.27% 5.40% 0.44% 5.31% 0.34% 4.45%IU US 3 Month Libor 0.27% 5.27% 0.44% 5.21% 0.34% 4.44%ZGH34 US 3 Month Libor 0.27% 5.25% 0.43% 0.27% n/a n/aThreadneedle (Lux) - Absolute Emerging Market Macro

AEH US 3 Month Libor 0.27% -6.81% 0.44% 10.22% 0.34% -0.62%AFH US 3 Month Libor 0.27% -7.07% 0.44% 11.07% 0.34% -1.45%AGH US 3 Month Libor 0.27% -6.63% 0.44% 12.00% 0.34% -0.48%AU US 3 Month Libor 0.27% -6.71% 0.44% 11.88% 0.34% -0.76%DEH US 3 Month Libor 0.27% -7.26% 0.44% 10.66% 0.34% -1.04%DU US 3 Month Libor 0.27% -7.15% 0.44% 11.28% 0.34% -1.21%IEH US 3 Month Libor 0.27% -6.09% 0.44% 11.16% 0.34% 0.21%IGH US 3 Month Libor 0.27% -5.78% 0.44% 13.01% 0.34% 0.41%Threadneedle (Lux) - Multi Asset Target Alpha

AEH35 US 3 Month Libor 0.27% 1.54% 0.09% -0.20% n/a n/aAGH35 US 3 Month Libor 0.27% 2.00% 0.09% -0.07% n/a n/aAU35 US 3 Month Libor 0.27% 1.87% 0.09% -0.07% n/a n/aIEH35 US 3 Month Libor 0.27% 2.35% 0.09% n/a n/a n/aIGH35 US 3 Month Libor 0.27% 2.80% 0.09% 0.15% n/a n/aIU35 US 3 Month Libor 0.27% 2.65% 0.09% 0.15% n/a n/aZGH36 US 3 Month Libor 0.27% 2.61% 0.06% -0.20% n/a n/aThreadneedle (Lux) - Global Smaller Companies**

AE37 3 Month LIBOR EUR Deposit Rate 0.15% 0.00% 0.49% 3.73% 1.16% 1.80%AGH37 3 Month LIBOR EUR Deposit Rate 0.15% 0.50% 0.49% 4.00% 1.16% 1.67%DE37 3 Month LIBOR EUR Deposit Rate 0.15% -0.48% 0.49% 3.28% 1.16% 1.58%IE37 3 Month LIBOR EUR Deposit Rate 0.15% 0.75% 0.49% 4.50% 1.16% 2.30%IGH38 3 Month LIBOR EUR Deposit Rate 0.15% 1.06% 0.49% 5.07% 0.36% -1.25%ZGH39 3 Month LIBOR EUR Deposit Rate 0.15% 0.99% 0.03% 1.13% n/a n/a


**See note 1.32cPerformance until closure December 6, 201332dPerformance from launch November 26, 2012 until closure December 6, 201333Performance since launch August 24, 201234Performance since launch October 16, 201235Performance since launch September 17, 201236Performance since launch October 16, 201237Performance since launch March 3, 201138Performance since launch September 27, 201139Performance since launch October 16, 2012


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Portfolio

Return


AEH40 CITIGROUP USD Euro Deposit (1m) (USD) 0.18% 2.10% 0.25% 6.16% 0.09% 1.73%AFH41 CITIGROUP USD Euro Deposit (1m) (USD) 0.18% 2.01% 0.04% -0.27% n/a n/aAGH40 CITIGROUP USD Euro Deposit (1m) (USD) 0.18% 2.58% 0.25% 6.39% 0.09% 2.20%AU40 CITIGROUP USD Euro Deposit (1m) (USD) 0.18% 2.70% 0.25% 6.54% 0.09% 1.93%DEH40 CITIGROUP USD Euro Deposit (1m) (USD) 0.18% 1.46% 0.25% 6.48% 0.09% 1.58%DU40 CITIGROUP USD Euro Deposit (1m) (USD) 0.18% 1.76% 0.25% 6.80% 0.09% 1.75%IEH40 CITIGROUP USD Euro Deposit (1m) (USD) 0.18% 2.75% 0.25% 7.01% 0.09% 2.05%IFH42 CITIGROUP USD Euro Deposit (1m) (USD) 0.07% 2.60% n/a n/a n/a n/aIGH40 CITIGROUP USD Euro Deposit (1m) (USD) 0.18% 3.36% 0.25% 7.42% 0.09% 2.45%IU40 CITIGROUP USD Euro Deposit (1m) (USD) 0.18% 3.19% 0.25% 7.44% 0.09% 2.20%ZGH43 CITIGROUP USD Euro Deposit (1m) (USD) 0.18% 3.27% 0.04% -0.07% n/a n/aThreadneedle (Lux) - European Select**

AE44 3 Month LIBOR EUR Deposit Rate 0.15% 4.52% 0.43% 0.40% n/a n/aAGH44 3 Month LIBOR EUR Deposit Rate 0.15% 6.00% 0.43% 1.13% n/a n/aAUH44 3 Month LIBOR EUR Deposit Rate 0.15% 5.21% 0.43% 1.07% n/a n/aIE44 3 Month LIBOR EUR Deposit Rate 0.15% 5.39% 0.43% 1.05% n/a n/aZGH45 3 Month LIBOR EUR Deposit Rate 0.15% 5.77% 0.03% 0.53% n/a n/aThreadneedle (Lux) - Enhanced Commodities

AEH DJ UBS Commodities Index -9.52% -12.45% -1.06% 0.82% -13.32% -5.98%AFH46 DJ UBS Commodities Index -9.52% -12.55% -6.14% -6.91% n/a n/aAGH DJ UBS Commodities Index -9.52% -12.04% -1.06% 1.52% -13.32% -5.30%ASH47 DJ UBS Commodities Index -9.52% -12.11% -6.81% -7.26% n/a n/aAU DJ UBS Commodities Index -9.52% -11.98% -1.06% 1.78% -13.32% -4.97%DEH DJ UBS Commodities Index -9.52% -12.91% -1.06% 0.34% -13.32% -6.27%DU DJ UBS Commodities Index -9.52% -12.39% -1.06% 1.22% -13.32% -5.27%IEH DJ UBS Commodities Index -9.52% -11.71% -1.06% 1.70% -13.32% -5.00%IFH48 DJ UBS Commodities Index -9.52% -11.84% -3.93% -5.59% n/a n/aIGH DJ UBS Commodities Index -9.52% -11.27% -1.06% 2.34% -13.32% -4.73%IKH49 DJ UBS Commodities Index -9.52% -10.94% -4.60% -3.53% n/a n/aIU DJ UBS Commodities Index -9.52% -11.21% -1.06% 2.64% -13.32% -4.21%XGH50 DJ UBS Commodities Index -9.52% -10.32% -1.06% 3.49% -13.43% -10.52%XU51 DJ UBS Commodities Index -9.52% -10.21% -4.40% -0.79% n/a n/aZGH52 DJ UBS Commodities Index -9.52% -11.26% -4.50% -3.47% n/a n/a


**See note 1.40Performance since launch August 24, 201141Performance since launch November 5, 201242Performance since launch June 24, 201343Performance since launch October 16, 201244Performance since launch January 18, 201245Performance since launch October 16, 201246Performance since launch February 21, 201247Performance since launch February 23, 201248Performance since launch March 7, 201249Performance since launch August 21, 201250Performance since launch September 2, 201151Performance since launch January 24, 201252Performance since launch October 16, 2012

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Directory

Registered Office

31 Z.A. BourmichtL-8070 BertrangeGrand Duchy of Luxembourg

Investment Advisor

Threadneedle Management Luxembourg S.A.

Delegated to1:

Sub-Advisors Portfolio

Management Company

Threadneedle Management Luxembourg S.A.74 MühlenwegL-2155 LuxembourgGrand Duchy of Luxembourg

Zenit S.G.R. S.p.A Threadneedle (Lux) - European Quantitative Equities3

Via Privata Maria Teresa 720123 MilanItaly

Mondrian Investment Threadneedle (Lux) - Mondrian Investment Partners - Partners Limited Focused Emerging Markets Equity5th Floor10 Gresham StreetLondon EC2V 7JDUnited Kingdom

Columbia Management Threadneedle (Lux) - US$ High Income BondsInvestment Advisers, LLC Threadneedle (Lux) - Global Energy Equities100 Federal Street Threadneedle (Lux) - Global TechnologyBoston MA 02110 Threadneedle (Lux) - US Contrarian Core EquitiesUnited States of America

Threadneedle Asset Threadneedle (Lux) - Global Aggregate Bond2

Management Limited Threadneedle (Lux) - Global Emerging Market Short-Term Bonds2

60 St. Mary Axe Threadneedle (Lux) - American London EC3A 8JQ Threadneedle (Lux) - Global Asset Allocation United Kingdom Threadneedle (Lux) - Global Focus Threadneedle (Lux) - Target Return (US$)3

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 Select Threadneedle (Lux) - Euro Active Bonds Threadneedle (Lux) - Global Emerging Market Equities2

Threadneedle (Lux) - Greater China Equities Threadneedle (Lux) - American Absolute Alpha Threadneedle (Lux) - Absolute Emerging Market Macro2

Threadneedle (Lux) - Global Opportunities Bond2

Threadneedle (Lux) - Enhanced Commodities Threadneedle (Lux) - Global Smaller Companies3

Threadneedle (Lux) - UK Equities Threadneedle (Lux) - European Select3


Walter Scott & Partners Limited Threadneedle (Lux) - Global Equities - Walter Scott & Partners 1 Charlotte Square Edinburgh EH2 4DR Scotland

1Subject to the responsibility and oversight of Threadneedle Management Luxembourg S.A.2Columbia 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.3See note 1.

Directory(continued)

172


Custodian, Domiciliary and Administrative Agent

Citibank International plc (Luxembourg Branch) 31 Z.A. BourmichtL-8070 Bertrange Grand Duchy of Luxembourg

Registrar and Transfer Agent

International Financial Data Services (Luxembourg) S.A. 47 Avenue John F. Kennedy L-1855 LuxembourgGrand Duchy of Luxembourg

Distributor

Threadneedle Management Luxembourg S.A. 74 Mühlenweg L-2155 Luxembourg Grand Duchy of Luxembourg

Paying Agent

Citibank International plc (Luxembourg Branch) 31 Z.A. Bourmicht L-8070 Bertrange Grand Duchy of Luxembourg

Delegated to:

In Austria

Erste Bank der oesterreichischen Sparkassen AG Graben 21 A-1010 Vienna Austria

In France

CACEIS Bank France 1/3 Place Valhubert F-75206 Paris Cedex 13 France

In Germany

J.P. Morgan AG Junghofstrasse 14 D-60311 Frankfurt am Main Germany

Representative and Paying Agent in Hong Kong

HSBC Institutional Trust Services (Asia) Limited 17/F Tower 2 & 3 HSBC Centre 1 Sham Mong Road Kowloon Hong Kong

Representative and Paying Agent in Switzerland

RBC Investor Services Bank S.A. Zurich BranchEsch-sur-Alzette Badenerstrasse 567 P.O. Box 101 CH-8066 Zurich Switzerland

Auditor

PricewaterhouseCoopers, Société coopérative 400 Route d’Esch B.P. 1443 L-1014 Luxembourg Grand Duchy of Luxembourg

Legal Advisors in Luxembourg

Linklaters LLP35 Avenue John F. Kennedy B.P. 1107L-1011 LuxembourgGrand Duchy of Luxembourg

Legal Advisors in Germany

Hengeler MuellerBockheimer Landstrasse 24D-60323 Frankfurt am MainGermany

TO FIND OUT MOREvisit threadneedle.com