Threadneedle Latin America Fund

Annual Short Report 7 March 2018 Fund Manager s Report Ilan Furman Performance of Class 1 Accumulation shares* Over the twelve months to 7 March 2018, the published share price of Class 1 Accumulation shares in the Threadneedle Latin America Fund has risen from 250.16p to 258.66p. Looking at the sterling performance within its peer group, the total return on the fund for the twelve months ending 28 February 2018, including net reinvested income, is +6.04%. (For information the MSCI 10/40 Latin America Index returned +9.73% over the same period). Market Overview and Portfolio Activity Throughout the year, the MSCI Latin America 10-40 index performed strongly, rising 7.4% in sterling terms. During the first half of the period, positive political news, improving commodity prices and favourable currency movements helped propel the market higher. However, in the latter half, the fall in commodity prices weighed on market performance. In Brazil, the period started off well, as the labour market reform was approved by the lower house of Congress, while the social security reform report continued to make progress. Investors grew concerned when allegations were raised against President Michel Temer; however, the subsequent dismissal of corruption charges against the leader reinvigorated the prospects for further reform measures. Indeed, the Senate approved labour reform legislation the first major overhaul of labour rules in seven decades while the government announced a package of 57 privatisations, including the national mint and Sao Paulo Airport. Throughout the period, Mexican equities continued their recovery on the back of softening of US protectionist rhetoric towards the nation. GDP data remained strong, buoyed by a tight labour market and strong trade data. On the political front, the National Regeneration Movement (MORENA) announced Andrés Manuel López Obrador as its official candidate, while President Peña s approval ratings improved. In Argentina, markets were positive over the year. MSCI announced it would maintain the country s frontier market category, saying that it was too early for market-friendly reforms to be judged. Despite this, the market continued to rise, driven by investor confidence following the results of the primary elections, which favoured President Mauricio Macri s Cambiemos coalition. In terms of trading activity, the fund increased exposure to Brazil, due to the recovering macro environment and the positive reform agenda of the government. This was achieved through new positions in Pagseguro in response to the attractive growth profile of Brazil s digital payment sector and Lojas Renner, a fashion retailer. The fund *In pound Sterling and against UK peer group. also purchased Ituran, a beneficiary of recent growth in Brazil s auto market. In response to Brazil s healthy macroeconomic prospects, positions were strengthened in Itau, Bradesco and Ambev. In Argentina, new positions were established in Grupo Supervielle and Banco Macro, due to the attractive growth potential of the banking sector. The fund also initiated a position in Loma Negra, a cement company which is expected to benefit from increased real estate activity. In addition, the fund s purchase of Chilean beverage company CCU benefited from a recovery in beverage volumes within Argentina and Chile over the period. To fund this activity, the fund reduced its exposure to Mexico, exiting its position in Alfa. This was due to a change in the investment case, with the company intending to launch an initial public offering for Sigma, which would have narrowed the holding company s discount and leverage. The fund exited Grupo Televisa, due to structural concerns over the TV advertising market; and Pinfra, due to a general slowdown in Mexico s investment activity. The fund also sold out of CPFL Energia, following its partial sale to China s State Grid. In addition, the fund exited its position in Brazil s BRF, prior to a sharp fall in the stock price towards the end of the period, over concerns regarding corporate governance and management strategy. The funds position in Banco Santander Chile was also reduced after the stock neared its target price. Latin American countries face diverse outlooks, considering their different points in the political, monetary and GDP growth cycles, as well as their varying exposure to commodities. The new administration in Brazil continues to push measures aimed at stabilising Brazil s fiscal path and turning around the state-owned companies. The economy is doing well in 2018, following strong foundations set in 2017 after two years of severe recession. A key risk to monitor is the October 2018 presidential elections; the outcome could be highly uncertain. Mexico s economy is resilient and its consumers are still in good shape, but the market is suffering from high levels of uncertainty given the July presidential election and the ongoing trade negotiations with the US. Regarding the future of US-Mexico trade relations, we hold a constructive outlook as it seems unlikely that decades of economic integration will come to a halt. Argentina has room for improvement and the flow of foreign direct investment should increase, given the new policies implemented by President Mauricio Macri and the resolution of the long-running dispute regarding its sovereign debt default in 2001. Chile is experiencing positive momentum thanks in part to Sebastián Piñera s victory in the presidential election. Elsewhere in the Andean region, ongoing concerns regarding the rate of global growth and expectations for a rate-hiking cycle in the US continue to weigh on sentiment. Fund Facts Fund Accounting and Distribution Dates Accounting Dates Payment Dates 7 March 7 May

Ongoing Charges Figure The Ongoing Charges Figure (OCF) is the European standard method of disclosing the charges of a share class of a fund based on the financial year s expenses and may vary from year to year. It includes charges such as the fund s annual management charge, registration fee, custody fees and distribution cost but ordinarily excludes the costs of buying or selling assets for the fund (unless these assets are shares of another fund). Where published, the Key Investor Information Document (KIID) contains the current OCF. For a more detailed breakdown please visit columbiathreadneedle.com/fees. Share class 7 March 2018 7 March 2017 Class 1 Accumulation shares 1.70% 1.69% Class 2 Accumulation shares 1.09% 1.08% Class X Accumulation shares 0.08% 0.07% Class Z Accumulation shares 0.91% 0.90% Summary of Fund Performance Performance History (%) Share class 2018 1 2017 2016 2015 2014 2013 Class 1 Accumulation shares +7.49 +8.56 +48.66-29.47-10.01-16.05 Class 2 Accumulation shares +7.60 +9.23 +49.56-29.03-9.45-15.53 Class X Accumulation shares +7.73 +10.03 +51.09-28.28-8.49-14.66 Class Z Accumulation shares +7.62 +9.42 +49.86-28.91-9.29-15.40 1 To 28 February 2018. Source: Morningstar and Threadneedle. Bid to bid prices are quoted (i.e. not including any initial charge) with net income reinvested for a UK basic rate tax payer and gross income reinvested for a non-uk resident. Performance data is quoted in sterling apart from hedged share classes, where applicable, which are in the hedged currency. Past performance is not a guide to future investment performance. The value of investments and any income is not guaranteed and can go down as well as up and may be affected by exchange rate fluctuations. This means that an investor may not get back the amount invested. Net Asset Value (NAV) NAV pence per share Number of shares in issue As at Share class NAV ( ) 7 March 2018 Class 1 Accumulation shares 70,690,799 261.20 27,064,208 7 March 2017 Class 1 Accumulation shares 77,591,139 249.87 31,053,160 7 March 2016 Class 1 Accumulation shares 62,847,906 173.98 36,124,209 7 March 2018 Class 2 Accumulation shares 363,530,002 289.96 125,373,778 7 March 2017 Class 2 Accumulation shares 362,641,377 275.70 131,534,254 7 March 2016 Class 2 Accumulation shares 234,800,891 190.79 123,066,273 7 March 2018 Class X Accumulation shares 260,651 119.53 218,070 7 March 2017 Class X Accumulation shares 259,134 112.77 229,795 7 March 2016 Class X Accumulation shares 2,321 77.37 3,000 7 March 2018 Class Z Accumulation shares 52,450,341 99.35 52,791,368 7 March 2017 Class Z Accumulation shares 50,263,692 94.30 53,301,002 7 March 2016 Class Z Accumulation shares 32,660,814 65.15 50,135,426 Distribution History/Share Price Range Year to Share class Pence per share Highest share price (pence) Lowest share price (pence) 7 March 2018 Class 1 Accumulation shares 2.6688 264.89 220.51 7 March 2017 Class 1 Accumulation shares 1.6680 255.31 169.53 7 March 2016 Class 1 Accumulation shares 1.1167 220.81 138.86 7 March 2018 Class 2 Accumulation shares 4.6751 293.32 243.60 7 March 2017 Class 2 Accumulation shares 3.2614 281.07 185.94 7 March 2016 Class 2 Accumulation shares 2.3718 240.85 152.17 7 March 2018 Class X Accumulation shares 2.8057 120.66 99.83 7 March 2017 Class X Accumulation shares 2.1249 114.72 75.42 7 March 2016 Class X Accumulation shares 1.7440 96.80 61.63 7 March 2018 Class Z Accumulation shares 1.7642 100.43 83.35 7 March 2017 Class Z Accumulation shares 1.2543 96.08 63.49 7 March 2016 Class Z Accumulation shares 0.9555 82.08 51.94 Past performance is not a guide to future performance.

Classification of Investments 7 March 2018 vs 7 March 2017 60% 50% Threadneedle Latin America Fund 7 March 2018 7 March 2017 40% 30% 20% 10% 0% Brazil Mexico Chile Argentina United States of America Bermuda Cayman Islands Colombia Republic of Ireland British Virgin Islands Canada Luxembourg United Kingdom Net other assets Portfolio Information Top Five Holdings as at 7 March 2018 % of Fund Itau Unibanco ADR 8.68 Banco Bradesco 7.43 Ambev ADR 6.47 America Movil ADR 4.83 Petroleo Brasileiro ADR 4.06 Top Five Holdings as at 7 March 2017 % of Fund Banco Bradesco 7.68 Itau Unibanco ADR 7.10 Ambev ADR 5.63 Grupo Financiero Banorte 4.12 Fomento Economico Mexicano ADR 4.07

Investment Objective and Policy To achieve capital growth. The ACD s investment policy is to invest the assets of the Fund mainly in equities of companies domiciled in Latin America or which have significant Latin American operations and it may further invest in fixed income securities such as sovereign and corporate Latin American debt, other equities and money market securities. Key Investor Information Document (KIID) Subscription requirements The KIID is a pre-contractual document and investors have to confirm that they have read the latest KIID before making a subscription. Threadneedle has the right to reject a subscription if the investor does not confirm that they have read the latest KIID at the time of application. Investors can obtain the latest KIID from columbiathreadneedle.com. Changes to the management of the ACD The following changes have been made to the directors of the ACD: Resignation of Mr Tim Gillbanks on 31 March 2017; Resignation of Mr Don Jordison on 1 May 2018; Appointment of Michelle Scrimgeour on 14 August 2017. Changes to the Prospectus During the period from 8 March 2017 to 7 March 2018 the following changes were made to the Prospectus of the Threadneedle Investment Funds ICVC (the Company): Introduction of co-management for the Japan Fund, and changes to the investment policy of the fund, effective from 1 November 2017; Introduction of a compulsory conversion clause effective from 1 February 2018; Change of the name of the transfer agent and the legal advisors for the Company; Reduction of fees for certain share classes from 1 February 2018; Inclusion of a definition of near cash ; Disclosures required as a result of changes to COLL as a result of the Markets in Financial Instruments Directive (MiFID II), including amendment to the description of Class 2 Shares and Class Z Shares; Disclosures relating to the UK s decision to leave the European Union ( Brexit ); Updates to include changes to the COLL rules (including PRN, changes regarding short reports, eligible markets); Updates to reflect changes being made to UK tax on distributions (gross vs net shares, as well as tax changes more generally); Updates to the list of funds managed by the ACD and the directors of the ACD; Enhanced disclosures regarding hedged share classes and performance fee calculations; Updates to performance, dilution adjustments and available share classes; Miscellaneous changes including address of the Financial Services Ombudsman, clarification on privacy statement, clarification of dividend payment dates, addresses of paying agents. Changes to the Instrument of Incorporation During the period from 8 March 2017 to 7 March 2018, the instrument of incorporation of the Company has been updated to include a compulsory conversion clause effective 1 February 2018. Brexit In June 2016 the United Kingdom voted to leave the European Union. While negotiations progress, there is significant uncertainty relating to the UK s withdrawal from the EU, the potential consequences and precise timeframe. It is expected that the UK will exit from the EU on 29 March 2019. Depending on the outcome of the UK s negotiations with the European Union, and the existence or otherwise of any formal implementation period, it is possible that the Funds may no longer be eligible to enjoy the rights set out in the UCITS Directive. Ceasing to be so eligible may affect the ability of non-uk domiciled investors to make new investments in the Company. The ACD is monitoring the situation and will keep shareholders informed. Key Risks Investment Risk: The value of investments can fall as well as rise and investors might not get back the sum originally invested. Currency Risk: Where investments are in assets that are denominated in multiple currencies, or currencies other than your own, changes in exchange rates may affect the value of the investments. Political and Financial Risk: The fund invests in markets where economic and regulatory risk can be significant. These factors can affect liquidity, settlement and asset values. Any such event can have a negative effect on the value of your investment. Liquidity Risk: The fund holds assets which could prove difficult to sell. The fund may have to lower the selling price, sell other investments or forego more appealing investment opportunities. Derivatives for EPM/Hedging Risk: The investment policy of the fund allows it to invest in derivatives for the purposes of reducing risk or minimising the cost of transactions. High Volatility Risk: The fund typically carries a risk of high volatility due to its portfolio composition or the portfolio management techniques used. This means that the fund s value is likely to fall and rise more frequently and this could be more pronounced than with other funds. Further risks applicable to the fund can be found in the Prospectus. Risk and Reward Profile As at 7 March 2018 the figure for the risk and reward profile disclosed in the most recent KIID representing this fund is 6. The fund is in this specific category because historically it has shown a high level of volatility (how much the value of the fund went up and down compared to other categories). It is based on past performance data in pound sterling. If your investment in the fund is not in pound sterling, please check the figure for the risk and reward profile disclosed on our website (columbiathreadneedle.com) according to the currency of your investment in the fund.

General Information The information in this report is designed to enable shareholders to make an informed judgement on the activities of the fund during the period it covers and the results of those activities at the end of the period. For further information, please contact Threadneedle Investment Services Limited. The Long Form Report and Financial Statements is available free of charge on request from the ACD and on our website. For more information about the activities and performance of the Company during the period and previous periods, please contact the ACD at the administration address noted below, or visit our website at columbiathreadneedle.com. Contacts: Registered Office Cannon Place 78 Cannon Street London EC4N 6AG Authorised Corporate Director (ACD) Threadneedle Investment Services Limited Cannon Place 78 Cannon Street London EC4N 6AG Registrar Threadneedle Investment Services Limited Delegated to: DST Financial Services Europe Limited** Authorised and regulated by the Financial Conduct Authority (FCA) St Nicholas Lane Basildon Essex SS15 5FS Investment Manager Threadneedle Asset Management Limited Cannon Place 78 Cannon Street London EC4N 6AG Authorised Corporate Director Client Services Details UK Investors Address: Threadneedle Investment Services Limited PO Box 10033 Chelmsford Essex CM99 2AL Telephone (dealing & customer enquiries): 0800 953 0134* Fax (dealing): 0845 113 0274 Email (enquiries): questions@service.columbiathreadneedle.co.uk Asian Investors Address: Threadneedle Investment Services Limited International Financial Data Services 47, avenue JF Kennedy L-1855 Luxembourg Telephone (dealing & customer enquiries): +352 2452 9817* Fax (dealing): +352 2452 9807 Email (enquiries): threadneedleenquiries@statestreet.com All Other Investors Address: Threadneedle Investment Services Limited International Financial Data Services 47, avenue JF Kennedy L-1855 Luxembourg Telephone (dealing & customer enquiries): +352 464 010 7020* Fax (dealing): +352 2452 9807 Email (enquiries): questions@service.columbiathreadneedle.co.uk Website: columbiathreadneedle.com Depositary Citibank Europe plc, UK branch (Authorised by the Prudential Regulatory Authority (PRA) and regulated by the FCA and PRA) Citigroup Centre 33 Canada Square Canary Wharf London E14 5LB Legal Advisers Eversheds Sutherland (International) LLP One Wood Street London EC2V 7WS Baum Financial Services Law Team Grosser Burstah 42 20457 Hamburg Germany Independent Auditor PricewaterhouseCoopers LLP Atria One 144 Morrison Street Edinburgh EH3 8EX Paying and Information Agent in Belgium CACEIS Belgium S.A Avenue du Port 86C B320 1000 Brussels Belgium Representative and Paying Agent in Switzerland BNP Paribas Securities Services, Paris, Succursale de Zurich Selnaustrasse 16 8002 Zurich Switzerland * Calls will be recorded. ** International Financial Data Services (UK) Limited changed its name to DST Financial Services Europe Limited on 15 August 2017.

To find out more visit columbiathreadneedle.com Threadneedle Investment Services Limited, ISA Manager, Authorised Corporate Director and Unit Trust Manager. Registered No. 3701768. Registered in England and Wales. Registered Office: Cannon Place, 78 Cannon Street, London EC4N 6AG. Authorised and regulated by the Financial Conduct Authority. Columbia Threadneedle Investments is the global brand name of the Columbia and Threadneedle group of companies. columbiathreadneedle.com 227385