PORTFOLIO ADVANTAGE FUNDS ICVC

Transcription

1 AUDITED ANNUAL REPORT AND FINANCIAL STATEMENTS THREADNEEDLE PORTFOLIO ADVANTAGE FUNDS ICVC DECEMBER 2015 THREADNEEDLE PORTFOLIO ADVANTAGE FUNDS ICVC COLUMBIATHREADNEEDLE.COM

2 Contents Company Information*... 2 Director s Report*... 3 Threadneedle Multi Asset Bond and Alternatives Fund Threadneedle Multi Asset Equity and Alternatives Fund Accounting Policies Statement of Authorised Corporate Director s (ACD) Responsibilities Statement and Report of the Depositary Independent Auditors Report Portfolio Statements:* Threadneedle Multi Asset Bond and Alternatives Fund Threadneedle Multi Asset Equity and Alternatives Fund Shares Issued and Redeemed Summary* Further Information* Directory* Important Information* *These pages, together with the investment reports of the individual funds comprise the Authorised Corporate Directors Report. 1

3 Company Information Company Threadneedle Portfolio Advantage Funds ICVC (the Company) Registered Number IC Registered Office Cannon Place, 78 Cannon Street, London EC4N 6AG Director There is a sole director, the Authorised Corporate Director (the ACD), which is Threadneedle Investment Services Limited. Board of Directors of the ACD and Alternative Investment Fund Manager Chairman and Chief Executive C D Fleming Other Directors T N Gillbanks D Jordison N J Ring (resigned on 24 June 2015) A Roughead K Shailer (appointed on 29 March 2016) 2

4 Director s Report The ACD, Threadneedle Investment Services Limited, has pleasure in presenting the Annual Report and Financial Statements for Threadneedle Portfolio Advantage Funds ICVC for the 12 months to 31 December Going Concern The Authorised Corporate Director has confirmed their intention to terminate the Company and the funds of the Company within one year of the date of approval of the financial statements. Accordingly the going concern basis of preparation is no longer appropriate for the sub-funds and their financial statements have been prepared on a basis other than going concern as described in note 1(1) to the financial statements. No adjustments were necessary in the sub-funds financial statements to reduce assets to their realisable values, to provide for liabilities arising from the termination and to reclassify fixed assets and long-term liabilities as current assets and liabilities. DIRECTORS STATEMENT We hereby certify the Annual Report and Financial Statements for each of the funds listed on page 1 (contents page) on behalf of the Directors of Threadneedle Investment Services Limited. T N Gillbanks D Jordison 20 April 2016 We hope that you find the report informative. Should you require any further information regarding any aspect of your investment, or about other Columbia Threadneedle products, we would be pleased to help. Alternatively, you may find it helpful to visit columbiathreadneedle.com for further information about Columbia Threadneedle. Thank you for your continued support Campbell Fleming Director 3

5 Threadneedle Multi Asset Bond and Alternatives Fund Investment Report The disclosures below applied throughout the year. Commencement of the wind-up process for the Fund began on 13 November Further detail is included in the Director s Report on page 3. Investment Objective The investment objective of the Multi Asset Bond and Alternatives Fund is to achieve total return. Investment Policy The ACD s investment policy is to invest primarily in a range of collective investment schemes in order to gain exposure to fixed income, commodities, hedge funds, property and other alternative asset classes. If the ACD considers it desirable, the fund may further invest in transferable securities, derivatives, forward transactions, cash, deposits and money market instruments. Market Overview and Portfolio Activity In accordance with its investment policy, the fund was positioned in a selection of Threadneedle funds, with a bias towards bonds. For most of the period, a large portion of the portfolio was invested in the Threadneedle High Yield Bond Fund, UK Corporate Bond Fund and emerging-market bond funds. Additionally, the fund held a position in the Threadneedle Absolute Return Bond Fund. Outside of the bond markets, the fund had a smaller exposure to commodities and equities, the latter gained through two absolute alpha funds invested in the UK and US, which are able to take both long and short positions in their respective markets. Overall, global government bond markets posted positive returns over the period from 1 January 2015 to the end of November Europe was the stand-out performer, as European government bond yields fell in response to the introduction of a larger-than-expected quantitative-easing programme by the European Central Bank at the start of March. Investment-grade corporate bonds, high-yield bonds and emerging-market bonds also produced positive returns over the period. Many bond markets benefited from the more risk-averse environment that prevailed during the summer months, given concerns over the Greek debt crisis, the economic slowdown in China and sharp declines in Chinese equities, the further falls in commodity prices, rising geopolitical tensions and continuing uncertainty over when the US Federal Reserve (Fed) would begin to raise US interest rates. Speculation that US rates would be raised from their record lows in September proved incorrect. Rates were left unchanged, with the Fed citing concerns over the Chinese economic slowdown and the implications for the global economy. There were several adjustments to the portfolio over the reporting period. During the third quarter, we lowered the fund s exposure to UK investment-grade and high-yield corporate bonds, along with emerging-market bonds. In our view, the credit cycle had become more mature. Some of the proceeds were reinvested in global government bonds and a short-dated UK corporate bond fund, which was expected to show lower sensitivity to any rise in UK interest rates. Subsequently, we further reduced the exposure to emergingmarket bonds. Conversely, we added to the holdings in the Threadneedle (Lux) American Absolute Alpha Fund and the UK Absolute Alpha Fund, as well as enhancing the weighting in the High Yield Bond Fund in the light of recent market moves. STATEMENT OF TOTAL RETURN for the accounting period 1 January 2015 to 31 December 2015 Notes Income Net capital losses 2 (4,953) (1,538) Revenue 3 3,742 3,461 Expenses 4 (97) (76) Interest payable and similar charges Net revenue before taxation 3,645 3,385 Taxation 5 (59) (59) Net revenue after taxation 3,586 3,326 Total return before distributions (1,367) 1,788 Distributions 6 (3,740) (3,385) Change in net assets attributable to shareholders from investment activities (5,107) (1,597) BALANCE SHEET as at 31 December 2015 Notes Assets Fixed assets: Investments 160,594 Current assets: Debtors Cash and bank balances Total assets ,335 Liabilities: Creditors Other creditors 8 (222) (81) Total liabilities (222) (81) Net assets attributable to shareholders 161,254 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 1 January 2015 to 31 December 2015 Opening net assets attributable to shareholders 161,254 92,588 Amounts receivable on the issue of shares 55,843 66,878 Amounts payable on the cancellation of shares (15,627) Amounts payable on inspecie transfers (196,363) (156,147) 66,878 Change in net assets attributable to shareholders from investment activities (see statement of total return above) (5,107) (1,597) Retained distribution on accumulation shares 3,385 Closing net assets attributable to shareholders 161,254 DISTRIBUTION TABLE for the accounting period 1 January 2015 to 31 December 2015 Interest distribution in pence per share Class M Shares Net Accumulation Distribution Period Gross Revenue Income Tax Net Revenue Net Revenue Accumulated Net Revenue Accumulated 2015* /01/15 to 31/12/ Total distributions in the period Class M Shares Gross Accumulation Distribution Period Gross Revenue Net Revenue Accumulated Net Revenue Accumulated 2015* /01/15 to 31/12/ Total distributions in the period *No distribution was made for the year ended 31 December 2015 as the fund closed on 13 November 2015 and the assets of the fund were transferred to another fund managed by Columbia Threadneedle through an in-specie transfer. Please refer to page 5 for comparative tables. 4

6 Threadneedle Multi Asset Bond and Alternatives Fund Comparative Table Class M Net Accumulation Shares Class M Gross Accumulation Shares 31/12/ /12/ /12/ /12/ /12/ /12/2013 Change in net assets per share Opening net asset value per share (p) Return before operating charges (p) (0.10) 2.62 (1.51) (0.19) 3.40 (0.42) Operating charges (p) (0.21) (0.22) (0.47) (0.25) (0.29) (0.47) Return after operating charges* (p) (0.31) 2.40 (1.98) (0.44) 3.11 (0.89) Closing net asset value per share** (p) Retained distribution on accumulation shares (p) *after direct transaction costs of (p) Performance Return after charges (%) Other information Closing net asset value ( 000)** , ,249 92,584 Closing number of shares** 3,000 3,000 3, ,316, ,521,902 64,238,922 Total expenses (%) Direct transaction costs (%) Prices Highest share price (p) Lowest share price (p) A Total Expense Ratio is a figure representing all operating charges and expenses as a percentage of a shareclass s value. It includes the annual management fee as well as all the administrative costs incurred by the shareclass. Where the fund invests in other funds, the calculation includes the fund s share of the expenses of the underlying funds. The share of the costs of the underlying funds may fluctuate due to changes in investment decisions, which may be required as a result of changes in market conditions. Only available to eligible investors. **This figure is as at the last dealing point of share class M Net Accumulation on 6 November 2015 and share class M Gross Accumulation on 13 November

7 Threadneedle Multi Asset Bond and Alternatives Fund Notes to the financial statements for the accounting period 1 January 2015 to 31 December ACCOUNTING POLICIES The accounting policies for the fund are disclosed on page NET CAPITAL LOSSES Net capital losses during the period comprise: Non-derivative securities (5,257) (1,834) Other gains 10 2 Management fee rebate on collective investment scheme (CIS) holdings Net capital (losses) (4,953) (1,538) The Non-derivative securities balance above includes: Realised (losses)/gains* (7,247) 626 Unrealised gains/(losses)* 1,990 (2,460) (5,257) (1,834) *Where realised (losses)/gains include gains/losses arising in previous periods, a corresponding loss/gain is included in unrealised gains/(losses). 3 REVENUE UK Franked dividend distributions 21 Interest distributions 3,063 2,791 Bank interest 9 6 Management fee rebate on CIS holdings Total revenue 3,742 3,461 4 EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Registration fees (57) (43) (57) (43) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary s fees (16) (13) Safe custody fees (7) (7) (23) (20) Other expenses: Audit fee (17) (13) (17) (13) *Total expenses (97) (76) *Including irrecoverable VAT where applicable. 5 TAXATION a) Analysis of charge in period Corporation tax (59) (59) Total current tax (note 5b) (59) (59) Total tax charge for the period (59) (59) b) Factors affecting taxation charge for period Net revenue before taxation 3,645 3,385 Net revenue before taxation multiplied by the standard rate of corporation tax of 20% (729) (677) Effects of: Revenue not subject to taxation 4 Capitalised revenue subject to taxation (59) (59) Distributions treated as tax deductible Current tax charge for period (note 5a) (59) (59) 6 DISTRIBUTIONS The distribution takes account of revenue received on the creation of shares and revenue deducted on the cancellation of shares and comprises: Final 3,385 3,385 Add: Revenue deducted on cancellation of shares* 3,740 Net distribution for the period 3,740 3,385 Net revenue after taxation 3,586 3,326 Tax on capital management fee rebates Shortfall transfer from capital to revenue 95 Total distributions 3,740 3,385 Details of the distribution per share and any share class with a shortfall are set out in the table on page 4. * While the fund does not ordinarily operate equalisation, in order to fund the final redemption of units, it was necessary to include an element of income in the final redemption. This has been treated as equalisation. 7 DEBTORS Accrued revenue United Kingdom income tax recoverable 21 7 Total debtors OTHER CREDITORS Accrued expenses (11) (17) Amounts payable to ACD (5) Corporation tax payable (62) (59) Amounts due to successor funds (149) Total creditors (222) (81) 9 RELATED PARTY TRANSACTIONS The disclosures below apply throughout the year until the wind-up process for the funds began on 13 November Threadneedle Investment Services Limited, as ACD and Alternative Investment Fund Manager (AIFMD) is a related party and acts as principal in respect of all transactions of shares in the fund. The aggregate monies received through issues and paid on cancellations are disclosed in the Statement of Change in Net Assets Attributable to Shareholders. Any amounts due to or from the ACD at the end of the accounting period are disclosed in Notes 7 and 8. All transactions have been entered into in the ordinary course of business on normal commercial terms. Amounts paid to the ACD in respect of registration services are disclosed in Note 4 and amounts outstanding at the year end in Note 8. The fund invests in a number of funds managed by Columbia Threadneedle, all transactions in respect of which are transacted with Threadneedle Investment Services Limited. The capital management fee rebates earned from these investments of 293,720 ( ,206) is included in Note 2. The revenue earned from these investments of 3,733,064 (2014 3,455,393) is included in Note 3. Amounts receivable at the balance sheet date of 24,575 ( ,188) are included in Note 7. The assets of the Fund were transferred to another fund managed by Columbia Threadneedle through an in-specie transfer. The amounts payable on this in-specie transfer of 196,363,020 (2014 Nil) is included in the Statement of Total Return. Amounts payable at the balance sheet date of 148,420 (2014 Nil) are included in Note 8. As at the end of the accounting period, Columbia Threadneedle group held 100% of the shares prior to the in-specie transfer described at the beginning of the note and that at year end no shares remained. (2014: 100%) of the shares in issue. The ultimate holding company of the ACD is Ameriprise Financial Inc. 6

8 Threadneedle Multi Asset Bond and Alternatives Fund Notes to the financial statements (continued) 10 SHAREHOLDER FUNDS The underlying funds suffer a management fee in the range of 0.40% 1.50%. Threadneedle Multi Asset Bond and Alternatives Fund currently has one share class; Class M shares. The charges are as follows: Annual management charge Registration fees 0.035% The net asset value, the net asset value per share, and the number of shares are given in the comparative table on page 5. The distribution is given in the distribution table on page DERIVATIVES AND OTHER FINANCIAL INSTRUMENTS In pursuing its investment objectives, the fund may hold a number of financial instruments. These financial instruments comprise: Funds of the Threadneedle Investment Funds ICVC, Threadneedle Specialist Investment Funds ICVC and the Threadneedle Focus Investment Funds ICVC (of which a maximum of 35% of the value of the property of the fund may be invested in any one fund within this range of investment funds), Threadneedle (Lux) Funds and third party exchange traded funds; Cash, liquid resources and short term debtors and creditors that arise directly from its operations; Shareholders funds which represent investors monies which are invested on their behalf; Borrowing used to finance investment activity; Derivative transactions to manage the currency and market risks arising from the fund s investment activities. Throughout the period under review, it has been the policy of the fund to buy and sell financial instruments for the purpose of investment rather than trading. For the ACD s policies for managing risks, namely market price risk, liquidity risk, interest rate risk and foreign currency risk, please refer to pages 12 and 13. There is no material foreign currency exposure within the fund at the balance sheet date. Fair value disclosure The fair value hierarchy is intended to prioritise the inputs that used to measure the fair value of assets and liabilities. The highest priority is given to quoted prices and the lowest priority to unobservable inputs. The table below shows the fair values levels as at 31 December: Assets Liabilities Assets Liabilities Valuation technique Prices of recent transactions for identical instruments 160, , Value Commissions Taxes Purchases % 000 % CIS 93, Total 93,780 Gross purchases total: 93,780 Value Commissions Taxes Sales % 000 % CIS 24, Total 24,055 Total sales net of transaction costs: 24,055 Transaction costs as a percentage of average Net Assets Commisions: 0.00% Taxes: 0.00% The purchases and sales are not subject to portfolio transaction costs. Portfolio transaction costs are incurred by the fund when buying and selling underlying investments. These vary depending on the class of investment, country of exchange and method of execution. These costs can be classified as either direct or indirect transaction costs: Direct transaction costs: Broker commissions, fees and taxes. Indirect transaction costs: Dealing spread the difference between the buying and selling prices of the fund s underlying investments. In order to protect existing investors from the effects of dilution, portfolio transaction costs incurred as a result of investors buying and selling shares in the sub-fund are recovered from those investors through a dilution adjustment to the price they pay or receive. At the balance sheet date there is no portfolio dealing spread (2014: nil). 12 CONTINGENT LIABILITIES AND COMMITMENTS There are no contingent liabilities and commitments outstanding (2014: Nil). 13 PORTFOLIO TRANSACTION COSTS 2015 Value Commissions Taxes Purchases % 000 % CIS 113, Total 113,950 Gross purchases total: 113,950 Value Commissions Taxes Sales % 000 % CIS 73, In specie transactions 198, Total 272,289 Total sales net of transaction costs: 272,289 Transaction costs as a percentage of average Net Assets Commisions: 0.00% Taxes: 0.00% 7

9 Threadneedle Multi Asset Equity and Alternatives Fund Investment Report The disclosures below applied throughout the year. Commencement of the wind-up process for the Fund began on 13 November Further detail is included in the Director s Report on page 3. Investment Objective The investment objective of the Multi Asset Equity and Alternatives Fund is to achieve capital growth. Investment Policy The ACD s investment policy is to invest primarily in a range of collective investment schemes in order to gain exposure to equities, commodities, hedge funds, property and other alternative asset classes. If the ACD considers it desirable, the fund may further invest in transferable securities, derivatives, forward transactions, cash, deposits and money market instruments. Market Overview and Portfolio Activity In accordance with its investment policy, the fund was positioned in a mix of Threadneedle funds. The portfolio provided exposure to equity markets across the globe, as well as having a modest exposure to commodities. Most global equity markets achieved positive returns over the period from 1 January 2015 to the end of November Markets initially performed well amid some additional supportive measures from the major central banks. In Europe, the European Central Bank (ECB) began a larger-than-expected programme of quantitative easing, which led to a rise in European equities and lower bond yields. Elsewhere, Japanese equities were strong on liquidity support from the Bank of Japan, and as Japanese institutions increased their equity allocations. Meanwhile, UK monetary policy also remained supportive, and in April the FTSE 100 index reached a record high, boosted by encouraging domestic economic data. However, after a positive start to the year, sentiment deteriorated over the summer months. Markets were buffeted by a number of concerns including the escalating financial crisis in Greece. At the end of June, Greece defaulted on a loan repayment to the International Monetary Fund, capital controls were implemented, and the banks closed. After being shut for three weeks, Greek banks re-opened after Greece agreed to the terms of a bailout deal. Sentiment was also adversely affected by the economic slowdown in China, as well as by the sharp fall in Chinese equities over the summer, which triggered declines in other world markets. Chinese equities fell heavily amid concerns over stretched valuations, a clampdown on margin trading and the drain on liquidity from the large number of initial public offerings (IPOs). In early August, the People s Bank of China announced a surprise devaluation of the yuan, putting additional pressure on other emerging-market currencies, which were already suffering from the effects of lower commodity prices. The price of oil has fallen sharply along with other commodities such as copper. Another factor affecting markets was the continuing speculation over when the US Federal Reserve would begin to raise US interest rates from their record lows, and the implications for other world economies, particularly emerging markets. In the event, the Federal Reserve took the decision to raise rates in December. By contrast, monetary policy in Europe is expected to remain loose given fears of potential deflation, and as the ECB seeks to support economic activity. Over the second quarter of 2015, the biggest adjustment to the portfolio was a reduction in the fund s exposure to US equities, as valuations looked less appealing. The US-equity exposure was reduced again in the third quarter. Additionally, the fund s weighting in emerging-market equities was lowered during the third quarter, in light of the more risk-averse environment and the economic slowdown in many developing economies. Conversely, equity positions were increased in the UK, Europe and Asia at the lower market levels. We also added to the holding in the Global Extended Alpha Fund. In October, we took advantage of a relief rally by global equity markets to realise some gains on the American Fund, European Fund, Japan Fund and the UK Fund. STATEMENT OF TOTAL RETURN for the accounting period 1 January 2015 to 31 December 2015 Notes Income Net capital gains 2 2,689 12,517 Revenue 3 4,099 3,102 Expenses 4 (125) (100) Interest payable and similar charges Net revenue before taxation 3,974 3,002 Taxation 5 (421) (351) Net revenue after taxation 3,553 2,651 Total return before distributions 6,242 15,168 Distributions 6 (3,935) (2,665) Change in net assets attributable to shareholders from investment activities 2,307 12,503 BALANCE SHEET as at 31 December 2015 Notes Assets Fixed assets: Investments 225,355 Current assets: Debtors ,874 Cash and bank balances 310 1,232 Total assets ,461 Liabilities: Creditors Other creditors 8 (340) (1,705) Total liabilities (340) (1,705) Net assets attributable to shareholders 226,756 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the accounting period 1 January 2015 to 31 December 2015 Opening net assets attributable to shareholders 226, ,022 Amounts receivable on the issue of shares 63,697 74,547 Amounts payable on the cancellation of shares (16,473) (2,990) Amounts payable on inspecie transfers (276,294) (229,070) 71,557 Dilution adjustment 7 9 Change in net assets attributable to shareholders from investment activities (see statement of total return above) 2,307 12,503 Retained distribution on accumulation shares 2,665 Closing net assets attributable to shareholders 226,756 DISTRIBUTION TABLE for the accounting period 1 January 2015 to 31 December 2015 Dividend distribution in pence per share Class M Shares Net Accumulation Distribution Period Net Revenue Net Revenue Accumulated Net Revenue Accumulated 2015* /01/15 to 31/12/ Total distributions in the period *No distribution was made for the year ended 31 December 2015 as the fund closed on 13 November 2015 and the assets of the fund were transferred to another fund managed by Columbia Threadneedle through an in-specie transfer. Please refer to page 9 for comparative tables. 8

10 Threadneedle Multi Asset Equity and Alternatives Fund Comparative Table Class M Net Accumulation Shares 31/12/ /12/ /12/2013 Change in net assets per share Opening net asset value per share (p) Return before operating charges (p) Operating charges (p) (0.24) (0.21) (0.51) Return after operating charges* (p) Closing net asset value per share** (p) Retained distribution on accumulation shares (p) *after direct transaction costs of (p) Performance Return after charges (%) Other information Closing net asset value ( 000)** 280, , ,022 Closing number of shares** 167,756, ,430,812 93,507,250 Total expenses (%) Direct transaction costs (%) Prices Highest share price (p) Lowest share price (p) A Total Expense Ratio is a figure representing all operating charges and expenses as a percentage of a shareclass s value. It includes the annual management fee as well as all the administrative costs incurred by the shareclass. Where the fund invests in other funds, the calculation includes the fund s share of the expenses of the underlying funds. The share of the costs of the underlying funds may fluctuate due to changes in investment decisions, which may be required as a result of changes in market conditions. **This figure is as at the last dealing point of the share classes on 13 November

11 Threadneedle Multi Asset Equity and Alternatives Fund Notes to the financial statements for the accounting period 1 January 2015 to 31 December ACCOUNTING POLICIES The accounting policies for the fund are disclosed on page NET CAPITAL GAINS Net capital gains during the period comprise: Non-derivative securities 2,605 12,440 Management fee rebate on CIS holdings Other gains 3 3 Net capital gains 2,689 12,517 The Non-derivative securities balance above includes: Realised gains* 32,927 1,115 Unrealised (losses)/gains* (30,322) 11,325 2,605 12,440 * Where realised gains include gains/losses arising in previous periods, a corresponding loss/gain is included in unrealised (losses)/gains. 3 REVENUE UK dividends UK Franked dividend distributions 1,903 1,273 Interest distributions 5 Bank interest 7 3 Management fee rebate on CIS holdings 2,143 1,776 Total revenue 4,099 3,102 4 EXPENSES Payable to the ACD or associates of the ACD, and the agents of either of them: Registration fees (79) (62) (79) (62) Payable to the depositary or associate of the depositary, and the agents of either of them: Depositary s fees (22) (18) Safe custody fees (7) (7) (29) (25) Other expenses: Audit fee (17) (13) (17) (13) *Total expenses (125) (100) *Including irrecoverable VAT where applicable. 5 TAXATION a) Analysis of charge in period Corporation tax (421) (351) Total current tax (note 5b) (421) (351) Total tax charge for the period (421) (351) b) Factors affecting taxation charge for period Net revenue before taxation 3,974 3,002 3,974 3,002 Net revenue before taxation multiplied by the standard rate of corporation tax of 20% (795) (600) Effects of: Revenue not subject to taxation Capitalised revenue subject to taxation (16) (15) Current tax charge for period (note 5a) (421) (351) 6 DISTRIBUTIONS The distribution takes account of revenue received on the creation of shares and revenue deducted on the cancellation of shares and comprises: Final 2,665 2,665 Add: Revenue deducted on cancellation of shares* 3,935 Total distributions 3,935 2,665 Net revenue after taxation 3,553 2,650 Shortfall transfer from capital to revenue 366 Tax on capital management fee rebates Total distributions 3,935 2,665 Details of the distribution per share and any share class with a shortfall are set out in the table on page 8. * While the fund does not ordinarily operate equalisation, in order to fund the final redemption of units, it was necessary to include an element of income in the final redemption. This has been treated as equalisation. 7 DEBTORS Amounts receivable for the issue of shares 1,330 Accrued revenue United Kingdom income tax recoverable 1 Total debtors 30 1,874 8 OTHER CREDITORS Purchases awaiting settlement (1,330) Accrued expenses (11) (17) Amounts payable to ACD (7) Corporation tax payable (183) (351) Amounts due to successor funds (146) Total creditors (340) (1,705) 9 RELATED PARTY TRANSACTIONS The disclosures below apply throughout the year until the wind-up process for the funds began on 13 November Threadneedle Investment Services Limited, as ACD and AIFMD is a related party and acts as principal in respect of all transactions of shares in the fund. The aggregate monies received through issues and paid on cancellations are disclosed in the Statement of Change in Net Assets Attributable to Shareholders. Any amounts due to or from the ACD at the end of the accounting period are disclosed in Notes 7 and 8. All transactions have been entered into in the ordinary course of business on normal commercial terms. Amounts payable to the ACD in respect of registration services are disclosed in Note 4 and amounts outstanding at the year end in Note 8. The fund invested in a number of funds managed by Columbia Threadneedle, all transactions in respect of which are transacted with Threadneedle Investment Services Limited. The capital management fee rebates earned from these investments of 81,464 ( ,616) is included in Note 2. The revenue earned from these investments of 4,092,907 (2014 3,099,036) is included in Note 3. Amounts receivable at the balance sheet date of 29,844 ( ,438) are included in Note 7. The assets of the Fund were transferred to another fund managed by Columbia Threadneedle through an in-specie transfer. The amounts payable on this in-specie transfer of 276,284,434 (2014 Nil) is included in the Statement of Total Return. Amounts payable at the balance sheet date of 146,159 (2014 Nil) are included in Note 8. As at the end of the accounting period, Columbia Threadneedle group held 100% of the shares prior to the in-specie transfer described at the beginning of the note and that at year end no shares remained (2014: 100%) of the shares in issue. The ultimate holding company of the ACD is Ameriprise Financial Inc. 10

12 Threadneedle Multi Asset Equity and Alternatives Fund Notes to the financial statements (continued) 10 SHAREHOLDER FUNDS The underlying funds suffer a management fee in the range of 0.40% 1.50%. Threadneedle Multi Asset Equity and Alternatives Fund currently has one share class; Class M shares. The charges are as follows: Annual Management Charge Registration fees 0.035% The net asset value of each share class, the net asset value per share, and the number of shares in each class are given in the comparative table on page 9. The distribution per share class is given in the distribution table on page DERIVATIVES AND OTHER FINANCIAL INSTRUMENTS In pursuing its investment objectives, the fund may hold a number of financial instruments. These financial instruments comprise: Funds of the Threadneedle Investment Funds ICVC, Threadneedle Specialist Investment Funds ICVC and the Threadneedle Focus Investment Funds ICVC (of which a maximum of 35% of the value of the property of the fund may be invested in any one fund within this range of investment funds), Threadneedle (Lux) Funds and third party exchange traded funds; Cash, liquid resources and short term debtors and creditors that arise directly from its operations; Shareholders funds which represent investors monies which are invested on their behalf; Borrowing used to finance investment activity; Derivative transactions to manage the currency and market risks arising from the fund s investment activities. Throughout the period under review, it has been the policy of the fund to buy and sell financial instruments for the purpose of investment rather than trading. For the ACD s policies for managing risks, namely market price risk, liquidity risk, interest rate risk and foreign currency risk, please refer to pages 12 and 13. There is no material foreign currency exposure within the fund at the balance sheet date. Fair value disclosure The fair value hierarchy is intended to prioritise the inputs that used to measure the fair value of assets and liabilities. The highest priority is given to quoted prices and the lowest priority to unobservable inputs. The table below shows the fair values levels as at 31 December: Assets 000 Liabilities Assets Liabilities 000 Valuation technique Prices of recent transactions for identical instruments 225, , Value Commissions Taxes Purchases % 000 % CIS 87, Total 87,020 Gross purchases total: 87,020 Value Commissions Taxes Sales % 000 % CIS 14, Total 14,668 Total sales net of transaction costs: 14,668 Transaction costs as a percentage of average Net Assets Commisions: 0.00% Taxes: 0.00% The purchases and sales are not subject to portfolio transaction costs. Portfolio transaction costs are incurred by the fund when buying and selling underlying investments. These vary depending on the class of investment, country of exchange and method of execution. These costs can be classified as either direct or indirect transaction costs: Direct transaction costs: Broker commissions, fees and taxes. Indirect transaction costs: Dealing spread the difference between the buying and selling prices of the fund s underlying investments. In order to protect existing investors from the effects of dilution, portfolio transaction costs incurred as a result of investors buying and selling shares in the fund are recovered from those investors through a dilution adjustment to the price they pay or receive. At the balance sheet date there is no portfolio dealing spread (2014: nil). 12 CONTINGENT LIABILITIES AND COMMITMENTS There are no contingent liabilities and commitments outstanding (2014: Nil). 13 PORTFOLIO TRANSACTION COSTS 2015 Value Commissions Taxes Purchases % 000 % CIS 92, Total 92,668 Gross purchases total: 92,668 Value Commissions Taxes Sales % 000 % CIS 50, In specie transactions 270, Total 321,870 Total sales net of transaction costs: 321,870 Transaction costs as a percentage of average Net Assets Commisions: 0.00% Taxes: 0.00% 11

13 Accounting Policies for the accounting period 1 January 2015 to 31 December ACCOUNTING POLICIES (1) Basis of accounting The financial statements have been prepared on the historical cost basis, as modified by the revaluation of investments, in compliance with FRS 102 and in accordance with the Statement of Recommended Practice for Authorised Funds (SORP) issued by the Investment Management Association in May The Authorised Corporate Director has confirmed their intention to terminate the sub-funds within one year of the date of approval of the financial statements. Accordingly the going concern basis of preparation is no longer appropriate for the sub-funds and their financial statements have been prepared on a basis other than going concern. No adjustments were necessary in the sub-funds financial statements to reduce assets to their realisable values, to provide for liabilities arising from the termination and to reclassify fixed assets and long-term liabilities as current assets and liabilities. The comparative financial information for the year ended 31 December 2014 has been prepared on a going concern basis. (2) Aggregation Aggregated financial statements are no longer required under 2014 SORP. (3) Basis of valuation of investments The investments of the fund are valued at fair market prices at 12 noon of the accounting period (UK time). Investments are stated at their fair value which generally is the bid valuation of each security. CIS holdings have been valued at quoted price for open ended investment companies and offshore funds as being the fair value. Collective investment schemes operated by the same ACD, holdings are valued at cancellation price for dual priced funds and at the single price for single priced funds. In the case of single priced funds an adjustment may be included to cover dealing costs in the underlying funds. These bid values are sourced from independent pricing sources; to the extent that an independent pricing source is not available then quotes are obtained from a broker. Where the ACD deems that these valuations are unrepresentative of a fair valuation of the security, a fair valuation adjustment is applied based upon the ACD s opinion of fair value. (4) Exchange rates Assets and liabilities expressed in foreign currencies at the end of the accounting period are translated into sterling at the exchange rates ruling at 12 noon (UK time). Transactions denominated in a foreign currency are translated into sterling at the exchange rates ruling at the date of the transaction. (5) Taxation Corporation tax is charged at 20% of the revenue liable to corporation tax less expenses. Deferred tax liabilities are provided in full in respect of all items for which recognition falls in different accounting periods for accounting and taxations purposes and deferred tax assets are recognised to the extent that they are considered recoverable. Further analysis of the deferred tax assets can be found within the financial statements of the individual funds. (6) Derivatives The return in respect of any derivative transaction is treated as capital or revenue depending on the motive and circumstances of the transaction. Where positions are undertaken to protect or enhance capital the returns are capital and where they are generating or protecting revenue the returns are revenue. Where positions generate total returns the returns are apportioned between capital and income to reflect the nature of the transaction. Any capital gains/losses are included within net capital gains/(losses) and any revenue or expenses is included within revenue or finance costs respectively in the statement of total return. Derivative revenue and expense are netted off for the purposes of disclosure. The net balance is disclosed within either the revenue or finance cost note depending on whether the balance is in a net revenue or expense position respectively. 2 DISTRIBUTION POLICIES (1) Recognition of revenue Revenue is included in the Statement of Total Return on the following bases: Dividends on quoted equities are recognised when the security is traded ex-dividend. Dividends, interest and other revenue receivable include any withholding taxes but exclude any other taxes such as attributable tax credits. Interest on debt securities and bank deposits is recognised on an earned basis. In the case of debt securities any difference between acquisition cost and maturity value is recognised as revenue over the life of the security using the effective yield basis of calculating amortisation. Dividends and distributions from CIS and investment trusts are recognised when the security is quoted ex-dividend. Equalisation on distributions received is treated as a repayment of capital and deducted from the cost of the investment. Fee rebates In the absence of a rebate mechanism an indirect charge for management fees would occur in respect of investments in other Threadneedle funds. Any such target funds themselves bear a management fee, which reduces the values of those funds from what they otherwise would be. The rebate mechanism operates to ensure that investors in the fund bear only the fee validly applicable to them. Depending upon the ACD s treatment of management fees within the underlying funds, where management fees are charged to capital, any rebate is classified as a capital item and does not form part of the amount available for distribution. (2) Treatment of expenses (including management expenses) All expenses other than those relating to the purchase and sale of investments, are included in expenses, in the Statement of Total Return. Expenses are recognised on an accrual basis and include irrecoverable VAT where appropriate. (3) Allocation of revenue and expenses to multiple share classes The allocation of revenue and expenses to each share class is based upon the proportion of the fund s capital net assets attributable to each share class, on the day the revenue is earned or the expense is suffered. Registration fees are specific to each share class. (4) Distribution policy In accordance with the Collective Investment Schemes Sourcebook, where the revenue from investments exceeds the expenses and taxation for any share class, a distribution will be made from that share class. Should expenses exceed revenue for any share class, there will be no distribution for that share class and a transfer from capital will be made to cover the shortfall. Revenue attributable to Accumulation shareholders is retained at the end of each distribution period and represents a reinvestment of revenue. Corporation tax relief is applicable only where the transfer of the benefit is between the revenue and capital property of at least two different share classes of the fund. Previously, corporation tax relief could apply between the revenue and capital property of the same share class of the fund. 3 RISK MANAGEMENT POLICIES Derivatives and other financial instruments The disclosures below applied throughout the year until the commencement of the wind-up process for the funds on 13 November In pursuing their investment objectives, each of the funds hold a number of financial instruments. The Multi Asset Bond and Alternatives Fund and Multi Asset Equity and Alternatives Fund invested primarily in CIS, and these underlying funds may hold a number of financial instruments, which may also be held directly by the funds. These financial instruments comprise: n equity shares and debt instruments, fixed income securities and floating rate securities. n cash, liquid resources and short term debtors and creditors. n borrowings to meet redemption and settlement mismatches. n derivatives and forward currency transactions for the purpose of efficient portfolio management. Derivative contracts are only used where instrument and derivative have been approved by the ACD. The ACD has a Risk Management Policy (RMP*), which is reviewed by the Depositary. The processes detailed within are designed to monitor and measure as frequently as appropriate the risk of the fund s underlying investments, derivative and forward positions and their contribution to the overall risk profile of the funds. The Risk Management Policy document is also provided to the Financial Conduct Authority (FCA). The ACD reviews (and agrees with the Depositary) policies for managing each of these risks as summarised below. The policies have remained unchanged since the beginning of the year to when the wind-up process commenced. *The RMP is available on request. 12

14 Accounting Policies (continued) Market price risk Market price risk arises mainly from uncertainty about future prices of financial instruments held. It represents the potential loss the funds might suffer through holding market positions in the face of price movements. The value of the investment can fall as well as rise and investors might not recover the amount invested, especially if investments are not held for the long term. The funds are exposed to market risk by virtue of their investments in equities and CIS. Bond funds hold a range of fixed interest instruments which may be difficult to value and/or liquidate. Investors should consider the degree of exposure of these funds in the context of all their investments. The ACD meets regularly to consider the asset allocation of the portfolio in order to minimise the risk associated with particular industry sectors whilst continuing to follow the investment objective. An individual fund manager has responsibility for monitoring the existing portfolio selected in accordance with the overall asset allocation parameters and seeks to ensure that individual stocks also meet the risk reward profile that is acceptable. The investment guidelines and investment and borrowing powers are set out in the instrument of incorporation, the prospectus and in the Financial Conduct Authority s Collective Investment Schemes Sourcebook and describe the nature of the market price risk to which the funds will be exposed. Market price risk is measured using volatility. As at 31 December 2015, the funds were in the process of being wound up. Therefore, no volatility level or leverage information has been provided here. Liquidity risk Liquidity risk is the risk that the funds can not raise sufficient cash to meet its liabilities when due. The main liability of the funds is the redemption of shares that the investors wish to sell. The fund s assets comprised mainly realisable securities which can readily be sold. Under normal circumstances, the funds remained close to fully invested. However where circumstances require: either because a view of illiquid securities markets or high levels of redemption in the funds, the funds may hold cash and/or more liquid assets. Temporary higher liquidity levels may also arise during the carrying out of a change in asset allocation policy, or following a large issue of shares. There are no assets within the funds which are subject to special arrangements arising from their illiquid nature. The ACD manages the fund s cash to ensure it can meet its liabilities. The ACD receives daily reports of issues and cancellations enabling the ACD to raise cash from the fund s portfolio in order to meet cancellations requests. In addition the ACD monitors market liquidity of all securities, with particular focus on the FRN market, seeking to ensure the funds maintain sufficient liquidity to meet known and potential cancellation activity. Fund cash balances are monitored daily by the ACD and Administrator. Where investments cannot be realised in time to meet any potential liability, the funds may borrow up to 10% of its value to ensure settlements. All of the fund s financial liabilities are payable on demand or in less than one year. In exceptional circumstances the ACD, with the prior agreement of the Depositary, may suspend dealing for a period of 28 days which may be extended further with FCA approval. The ACD may also, in certain circumstances, require a redeeming shareholder, in lieu of payment, to be transferred property of the funds. There were no new arrangements within the fund to manage liquidity and there is no significant liquidity risk as at 31 December Credit Risk/Counterparty risk Credit risk is the risk that the counterparty in a financial transaction will fail to fulfil their obligation or commitment. Credit risk arises from three main sources. Firstly, the possibility that the issuer of a security will be unable to pay interest and principal in a timely manner. Secondly, for asset backed investments (including CP and FRNs) there is the possibility of default of the issuer and default in the underlying assets meaning that the funds may not receive back the full principal originally invested. Thirdly, there is counterparty risk, which is the risk that the counterparty will not deliver the investment for a purchase, or cash for a sale after the fund has fulfilled its responsibilities, which could result in the funds suffering a loss. In order to manage credit risk the funds and underlying investments are subject to investment limits for issuers of securities. Issuer credit ratings are evaluated periodically and an approved issuer list is maintained and monitored. In addition the underlying funds only buy and sell investments through brokers which have been approved by the ACD as an acceptable counterparty and limits are set and monitored to cover the exposure to any individual broker. Changes in broker s financial ratings are periodically reviewed. Some funds will invest in what are considered riskier bonds (below investment grade). This brings the potential for increased risk of default and could affect both the income and capital value of the funds. Further details can be found in the sub-fund portfolio statements. As at 31 December 2015 there is no significant counterparty credit risk. Interest rate risk Interest rate risk is the risk that the value of the funds investments will fluctuate as a result of changes in interest rates. Some of the funds invested in both fixed rate and floating rate securities. Thus any change to the interest rates relevant for particular securities may result in either income increasing or decreasing, or the ACD being unable to secure similar returns on the expiry of contracts or the sale of securities. In addition, changes to prevailing rates or changes in expectations of future rates may result in an increase or decrease in the value of the securities held. In general, if interest rates rise the revenue potential of the funds also rises but the value of fixed rate securities will decline. A decline in interest rates will in general have the opposite effect. Duration is a measure of the extent to which this is the case, with a longer duration suggesting higher sensitivity to interest rate moves. Interest receivable on bank deposits or payable on bank overdraft positions will be affected by fluctuations in interest rates. Foreign currency risk Foreign currency risk is the risk that the value of the fund s investments will fluctuate as a result of changes in foreign currency exchange rates. Where investments are made in assets that are denominated in foreign currency, other than the fund s base currency, changes in exchange rates may affect the value of the investments. To manage this risk the ACD has identified three principal areas where foreign currency risk could impact the funds, where movements in exchange rates affect the value of investments, short term timing differences and the revenue received. The funds may be subject to short term exposure to exchange rate movements, for instance where the date of an investment purchase and the date when the settlement occurs are different. To reduce this risk, foreign currency contracts are generally executed when the initial transaction takes place. Revenue is received in currencies other than Sterling and hence movements in exchange rates can affect the Sterling value of this revenue. To minimise this risk, all income receipts are converted to Sterling on, or shortly after, the date of receipt. 4 POST BALANCE SHEET EVENTS The Company and the funds of the Company are currently in the process of being wound up with effect from 31 December 2015, following which an order will be sought from the FCA to revoke its authorisation order for the Company. Termination accounts will be made available in due course. 13