Threadneedle Emerging Market Bond Fund

Annual Short Report 7 March 2018 Fund Manager s Report Henry Stipp Performance of Class 1 Income shares* Over the twelve months to 7 March 2018, the published share price of Class 1 Income shares in the Threadneedle Emerging Market Bond Fund has fallen from 70.82p to 61.07p. The sterling total return on the fund for the twelve months ending 28 February 2018, including net reinvested income, is -6.19%. The fund return equates approximately to -3.57% gross of tax and charges**. (For information the JP Morgan Emerging Market Bonds Global Index gave a total return of -6.70% for the same period). Market Overview and Portfolio Activity Despite weakening at the end of the period, emerging-market (EM) debt performed well over the year, with the JP Morgan EMBI Global index returning -6.7% in dollar terms. Fundamentals for EMs were largely positive, with risk assets supported and yields remaining attractive. Trade concerns initially abated, as the US softened its rhetoric towards Mexico, but later revived amid slow progress on the NAFTA renegotiations. The external environment remained largely supportive, with the dollar trending weaker and yields in core markets remaining low for much of the period. In early 2018, however, US Treasury yields began to rise as faster wage growth fuelled fears of an increased pace of interest-rate rises. In Brazil, the period started off well as labour-market reform was approved by the lower house of Congress and the socialsecurity reform report continued to make progress. Though the president, Michel Temer, was ultimately cleared of corruption allegations, his government was dogged by challenges that impeded the progress of crucial legislation in areas such as pensions. At the end of the period, Fitch downgraded Brazil to BB-, expressing disappointment over the country s lack of progress with fiscal reform. Elsewhere in Latin America, Venezuela suffered violent protests amid a worsening economic and political environment. The government s parlous finances forced it to default on bond issues in November. Mexico initially continued its recovery, buoyed by softening US rhetoric on trade and solid data on GDP, trade and the labour market. However, growth prospects were later revised down on worries about the course of NAFTA negotiations. Midway through the period, Turkey saw its bond yields rise and its currency hit near record lows against the US dollar on worsening economic news and a continuing dispute with the US over alleged breaches of sanctions against Iran. However, tax cuts and government credit measures subsequently fuelled *In pound Sterling and against UK peer group. **Gross performance is calculated in Factset using daily cash flows and daily global close valuations. a boom in consumer spending, prompting an 11.1% rise in GDP in the third quarter (the rise was especially pronounced compared with the same period in the previous year, when GDP fell following an attempted military coup). In South Africa, persistent corruption allegations against President Zuma and his administration rattled investor confidence for much of the year. However, the country s bonds rallied on the victory of Cyril Ramaphosa, deemed to be the more market-friendly candidate, in leadership elections for the ruling ANC party, and there was a further boost when Ramaphosa subsequently became president in February, following Zuma s resignation. Over the first half of the period, we reduced our exposure to Russia, feeling that spreads were tight and offered limited premium. We sold holdings in Russian sovereign debt and in bonds from Russia Rail. We added a position in municipal Egyptian debt, believing that the stable currency environment and higher carry offered a good opportunity to enter the trade. Additionally, we bought Egypt T-Bills as we felt that the improving story and large foreign inflows are supportive for the country; these enabled us to gain access to an attractive carry. Later in the period, we sold our holdings in Guatemalan and Uruguayan debt and moved into longer-dated Argentinian issues. Amid an improving political situation in the country, we bought sovereign debt from South Africa, and took part in a large new issuance from Oman. We increased our exposure to Nigeria by buying 27s, and trimmed our positions in Costa Rica. In 2018, healthy inflows into EM fixed-income should continue, driven by faster growth in EM economies than in developed markets. EM growth should be spurred by major economies that have turned or are turning the corner, and by a broader recovery across Latin America. However, much will depend on elections through the year, particularly in Brazil, Mexico and Colombia. In the absence of larger shocks falling growth in China, Trump s policies, contagion from an idiosyncratic story spreads should be stable, especially if commodity prices continue to recover. Idiosyncratic country stories will continue to be key to overall EM performance, not least in markets such as Turkey, South Africa and Venezuela. With rate hikes likely from the Federal Reserve, shorter-duration EM bonds with a higher carrying value should offer attractive risk/reward opportunities. Additionally, given strong market support and the ability of corporates to refinance, carrying value should be a central theme through the year, as should liability management at corporations. Fund Facts Fund Accounting and Distribution Dates Accounting Dates Payment Dates 7 March 7 May 7 September 7 November

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 Income shares 1.68% 1.69% Class 1 Gross income shares 1.68% 1.69% Class 1 Gross accumulation shares 1.68% 1.69% Class 2 Income shares 1.07% 1.08% Class 2 Gross accumulation shares 1.07% 1.08% Class X Gross income shares 0.07% 0.08% Class X Gross accumulation shares 0.07% 0.08% Class Z Income shares 0.74% 0.75% Class Z Gross income shares 0.74% 0.75% Class Z Gross accumulation shares 0.74% 0.75% Summary of Fund Performance Performance History (%) Share class 2018 1 2017 2016 2015 2014 2013 Class 1 Income shares -3.65-0.26 +32.22 +1.54 +7.93-12.00 Class 1 Gross income shares -3.66-0.25 +33.29 +2.25 +7.86-10.83 Class 1 Gross accumulation shares -3.66-0.26 +33.28 +3.23 +8.27-10.56 Class 2 Income shares 2-3.57 +0.36 +32.93 +2.15 +8.58-4.42 Class 2 Gross accumulation shares -3.57 +0.36 +34.10 +3.42 +8.59-10.27 Class X Gross income shares 3-3.40 +1.37 +35.46 +5.17 +1.65 Class X Gross accumulation shares -3.40 +1.37 +36.56 +5.69 +11.21-2.22 Class Z Income shares -3.51 +0.69 +33.43 +2.50 +8.92-11.02 Class Z Gross income shares 4-3.52 +0.69 +34.55 +2.53 +8.92-14.49 Class Z Gross accumulation shares 2-3.15 +0.68 +34.55 +5.20 +10.46-4.20 1 To 28 February 2018. 2 Commenced 20 September 2013. 3 Commenced 28 July 2014. 4 Commenced 15 February 2013. 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) As at Share class NAV ( ) NAV pence per share Number of shares in issue 7 March 2018 Class 1 Income shares 7,369,149 59.25 12,436,437 7 March 2017 Class 1 Income shares 10,077,685 68.47 14,718,193 7 March 2016 Class 1 Income shares 12,497,603 55.75 22,419,209 7 March 2018 Class 1 Gross income shares 79,145,655 100.72 78,578,002 7 March 2017 Class 1 Gross income shares 86,252,284 116.39 74,107,207 7 March 2016 Class 1 Gross income shares 69,353,382 94.76 73,189,791 7 March 2018 Class 1 Gross accumulation shares 33,096,772 253.91 13,034,914 7 March 2017 Class 1 Gross accumulation shares 37,465,278 276.83 13,533,658 7 March 2016 Class 1 Gross accumulation shares 28,597,391 212.38 13,464,968 7 March 2018 Class 2 Income shares 1,508,249 106.02 1,422,592 7 March 2017 Class 2 Income shares 1,820,927 121.90 1,493,778 7 March 2016 Class 2 Income shares 213,802 98.74 216,524 7 March 2018 Class 2 Gross accumulation shares 7,921,770 257.11 3,081,086 7 March 2017 Class 2 Gross accumulation shares 9,253,347 278.62 3,321,131 7 March 2016 Class 2 Gross accumulation shares 24,734,823 212.44 11,643,466

As at Share class NAV ( ) NAV pence per share Number of shares in issue 7 March 2018 Class X Gross income shares 134,506 113.56 118,448 7 March 2017 Class X Gross income shares 584,402 129.24 452,184 7 March 2016 Class X Gross income shares 293,776 103.63 283,493 7 March 2018 Class X Gross accumulation shares 20,731,636 112.75 18,387,977 7 March 2017 Class X Gross accumulation shares 23,998,996 120.96 19,839,699 7 March 2016 Class X Gross accumulation shares 2,740 91.30 3,001 7 March 2018 Class Z Income shares 68,420,505 99.82 68,545,013 7 March 2017 Class Z Income shares 69,334,188 114.30 60,659,338 7 March 2016 Class Z Income shares 46,347,881 92.21 50,263,489 7 March 2018 Class Z Gross income shares 1,848,172 93.49 1,976,918 7 March 2017 Class Z Gross income shares 1,991,743 107.05 1,860,555 7 March 2016 Class Z Gross income shares 1,850,149 86.36 2,142,353 7 March 2018 Class Z Gross accumulation shares 8,940,496 140.95 6,342,926 7 March 2017 Class Z Gross accumulation shares 9,491,774 152.25 6,234,382 7 March 2016 Class Z Gross accumulation shares 6,368,057 115.71 5,503,312 Only available to eligible investors. Distribution History/Share Price Range Highest share price (pence) Lowest share price (pence) Year to Share class Pence per share 7 March 2018 Class 1 Income shares 3.6977 68.93 59.50 7 March 2017 Class 1 Income shares 3.6540 71.08 55.54 7 March 2016 Class 1 Income shares 2.6793 59.79 51.56 7 March 2018 Class 1 Gross income shares 6.2854 117.18 101.14 7 March 2017 Class 1 Gross income shares 6.8526 121.03 94.41 7 March 2016 Class 1 Gross income shares 5.6922 101.73 88.02 7 March 2018 Class 1 Gross accumulation shares 15.1572 278.68 248.01 7 March 2017 Class 1 Gross accumulation shares 15.5948 279.15 211.57 7 March 2016 Class 1 Gross accumulation shares 12.1943 214.51 185.86 7 March 2018 Class 2 Income shares 6.7299 122.73 106.49 7 March 2017 Class 2 Income shares 6.6002 126.31 98.37 7 March 2016 Class 2 Income shares 4.8164 105.47 91.14 7 March 2018 Class 2 Gross accumulation shares 15.5997 280.49 251.06 7 March 2017 Class 2 Gross accumulation shares 15.9352 280.31 211.62 7 March 2016 Class 2 Gross accumulation shares 12.3893 214.54 185.29 7 March 2018 Class X Gross income shares 7.1683 130.12 113.99 7 March 2017 Class X Gross income shares 7.6932 133.73 103.25 7 March 2016 Class X Gross income shares 6.3301 109.77 95.62 7 March 2018 Class X Gross accumulation shares 6.8043 121.78 110.04 7 March 2017 Class X Gross accumulation shares 6.9082 121.33 90.95 7 March 2016 Class X Gross accumulation shares 5.3312 92.18 79.19 7 March 2018 Class Z Income shares 6.2390 115.08 100.20 7 March 2017 Class Z Income shares 6.1152 118.26 91.87 7 March 2016 Class Z Income shares 4.4404 98.11 84.88 7 March 2018 Class Z Gross income shares 5.8433 107.78 93.84 7 March 2017 Class Z Gross income shares 6.3152 110.95 86.04 7 March 2016 Class Z Gross income shares 5.1883 91.95 79.90 7 March 2018 Class Z Gross accumulation shares 8.4263 153.27 137.61 7 March 2017 Class Z Gross accumulation shares 8.5923 153.00 115.27 7 March 2016 Class Z Gross accumulation shares 6.6586 116.85 100.76 Past performance is not a guide to future performance.

Classification of Investments 7 March 2018 2017 vs 7 March 2017 2016 24% 19% 7 March 2018 7 March 2017 14% 9% 4% -1% Mexico Argentina Dominican Republic Egypt Portfolio Information Netherlands South Africa Turkey Russia Indonesia Ukraine Brazil British Virgin Islands Top Five Holdings as at 7 March 2018 % of Fund South Africa Government Bond 8.5% 31/01/2037 3.91 Russian Federal Bond 7.05% 19/01/2028 2.93 State Grid 3.5% 04/05/2027 1.95 Turkey Government International Bond 6% 25/03/2027 1.92 Mexican Bonos 7.75% 23/11/2034 1.91 Ivory Coast Venezuela Peru Honduras Nigeria Belarus Luxembourg Ecuador Colombia Oman United Kingdom Croatia Other Derivatives Net other assets Top Five Holdings % as at 7 March 2017 of Fund Dominican Republic International Bond 7.5% 06/05/2021 2.07 Petrobras Global Finance 6.25% 17/03/2024 2.00 Turkey Government International Bond 6% 25/03/2027 1.99 Petrobras International 5.375% 27/01/2021 1.86 Dominican Republic International Bond 5.95% 25/01/2027 1.80 Investment Objective and Policy To achieve a total return primarily by way of income with some capital growth. The ACD s investment policy is to invest the assets of the Fund primarily in high yielding public sector sovereign and corporate bonds issued by emerging market borrowers. Emerging Market countries are those characterised as developing or emerging by either the World Bank, the United Nations or the JPMorgan Global Diversified Emerging Market Bond Index. If the ACD considers it desirable it may further invest up to one third of the total assets of the Fund in other fixed interest securities, including bonds issued by countries making up the G7, deposits, cash and near cash. In addition, the ACD may use derivatives (including currency, interest rate and credit default swaps) and forward transactions for purposes that are limited to efficient portfolio management techniques. 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. Issuer Risk: The Fund invests in securities whose value would be significantly affected if the issuer refused, was unable to or was perceived to be unable to pay. 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. Inflation Risk: Most bond and cash funds offer limited capital growth potential and an income that is not linked to inflation. Inflation is likely to affect the value of capital and income over time. Interest Rate Risk: Changes in interest rates are likely to affect the fund s value. In general, as interest rates rise, the price of a fixed rate bond will fall, and vice versa. Derivatives for EPM/Hedging Risk: The investment policy of the fund allows it to invest in derivatives for the purposes of reducing risk or minimising the cost of transactions. Volatility Risk: The fund may exhibit significant price volatility. 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 5. The fund is in this specific category because historically it has shown a medium to high level of volatility (how much the value of the fund went up and down compared to other categories).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