Threadneedle High Yield Bond Fund

Annual Short Report 7 March 2018 Fund Managers Report Barrie Whitman David Backhouse Performance of Class 1 Income shares* Over the twelve months to 7 March 2018, the published of Class 1 Income shares in the Threadneedle High Yield Bond Fund has fallen from 43.33p to 42.90p. The total return on the fund for the twelve months ending 28 February 2018, including net reinvested income, is +3.79%, which equates approximately +5.45% gross of tax and charges**. (For information the Merrill Lynch European High Yield 3% constrained ex sub-financials (100% UK Sterling Hedged) Index gave a total return of +4.90% for the same period). Market Overview and Portfolio Activity Overall it was a firm period for European High Yield, which made significant gains while credit spreads to underlying government bonds tightened 42 basis points (bps) to close at 311 bps. The eight months to November were characterised by exceptionally low levels of volatility in financial markets with most asset classes posting decent positive returns. Led by strong purchasing managers indices (PMIs), global growth began to accelerate while inflation repeatedly fell short of expectations and the threat of deflation receded. Commodities markets were robust and global equities rallied relentlessly, repeatedly extending all-time highs in several regions. Together, these forces provided a constructive backdrop for credit and the European High Yield market returned over 5% during this period. From November onwards, volatility began to return to global markets before it spiked dramatically higher towards the end of the period. From a top-down perspective this was led by rising inflation expectations which drove a surge higher in core interest rates. This ultimately caused a significant rerating of asset valuations, particularly in equities, which sold off sharply in the final months under review. In European High Yield specifically, further volatility emerged from a range of idiosyncratic credit stories which began to develop in late 2017; overall the asset class delivered a small negative return for the final four months under review. In terms of activity, it was a very busy time for primary market volumes. The majority of this comprised bond refinancings but we were also able to enter several positions in new issuers such as Shop Direct, VWR and Kirs. We also entered various new positions in the secondary market, including an underweight in Teva after the company was downgraded to high yield in the latter half of 2017. Against this we made selective reductions and exits across the portfolio. Some of the largest of these focused on rising star companies that received ratings upgrades and consequently exited the high yield universe and returned to investment grade. These names included Anglo American, Enel and Gazprom. Looking forward, corporate fundamentals remain strong, with growth momentum across the major geographies supporting earnings. Default rates also continue to trend lower in the US and remain low in Europe. However, some evidence of emerging inflation risk, as well as the coming end to unconventional monetary policy, have seen elevated volatility in government bond markets and in turn volatility in global equity markets. Spreads in European high yield have moved wide of the lows attained in October 2017 (especially in the B-rating category), and the magnitude of these moves has been greater than in other areas of credit such as investment grade. Technical market forces are balanced: the asset class continues to experience outflows, but remains supported by net issuance trends including rising star upgrades, bond-to-loan refinancings and limited new issuance. In this environment of lower expected returns, and with central banks starting to pull back on liquidity, we continue to manage for downside risks. The fund is generally neutral portfolio risk, and defensively positioned on a sector basis. We prefer the middle part of the credit curve (higher quality B and lower rated BB) and remain underweight portfolio duration. Fund Facts *In pound Sterling and against UK peer group. **Gross performance is calculated in Factset using daily cash flows and daily global close valuations. Ongoing Charges Figure Fund Accounting and Distribution Dates Accounting Dates Payment Dates 7 March 4 April 7 April 4 May 7 May 4 June 7 June 4 July 7 July 4 August 7 August 4 September 7 September 4 October 7 October 4 November 7 November 4 December 7 December 4 January 7 January 4 February 7 February 4 March 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 1.42% 1.42% Class 1 Gross income shares 1.42% 1.42% Class 1 USD Hedged Gross income shares 1.42% 1.42% Class 1 Gross accumulation shares 1.38% 1.40% Class 2 Income shares 0.81% 0.81% Class 2 Gross income shares 0.81% 0.81%

Share class 7 March 2018 7 March 2017 Class 2 Gross accumulation shares 0.81% 0.81% Class X Gross income shares 0.06% 0.06% Class X Gross accumulation shares 1 0.06% 0.05% Class Z Income shares 0.73% 0.73% Class Z Accumulation shares 0.73% 0.73% Class Z Gross income shares 0.73% 0.73% Class Z Gross accumulation shares 0.73% 0.73% The Ongoing Charges Figure is annualised based on the fees incurred since commencement date. 1 Commenced 16 March 2016. Summary of Fund Performance Performance History (%) Share class 2018 1 2017 2016 2015 2014 2013 Class 1 Income shares +0.03 +1.46-7.35 +5.89 +10.43 +4.09 Class 1 Gross income shares +0.04 +1.73-6.32 +6.71 +11.38 +5.54 Class 1 USD Hedged Gross income shares 2-0.03 +6.91 +8.91-1.32-1.77 Class 1 Gross accumulation shares 3 +0.03 +1.74-3.33-2.76 Class 2 Income shares +0.14 +2.10-6.80 +6.51 +11.16 +4.65 Class 2 Gross income shares +0.13 +2.37-5.76 +7.68 +12.10 +6.14 Class 2 Gross accumulation shares +0.14 +2.37-5.74 +7.65 +12.59 +6.21 Class X Gross income shares 4 +0.26 +3.12-5.00 +8.61 +3.36 Class X Gross accumulation shares 5 +0.26 +3.14 +1.80 Class Z Income shares +0.14 +2.16-6.71 +6.61 +11.24 +4.70 Class Z Accumulation shares 2 +0.14 +2.26-5.66 +7.73 +2.47 Class Z Gross income shares 6 +0.15 +2.43-5.67 +7.62 +12.16 +4.42 Class Z Gross accumulation shares +0.15 +2.44-5.65 +7.73 +12.66 +6.31 1 To 28 February 2018. 2 Commenced 11 September 2014. 3 Commenced 28 October 2015. 4 Commenced 28 July 2014. 5 Commenced 16 March 2016. 6 Commenced 24 September 2013. Source: Morningstar and Threadneedle. Bid to bid prices are quoted (i.e. not including any initial charge) with gross income reinvested. Performance data is quoted in Euros. You should not view past performance as an indication of performance in the future. Please remember that the value of investments and any income from them may fall as well as rise. The real value of that income may fall over time. Net Asset Value (NAV) As at Share class NAV ( ) NAV pence Number of shares in issue 7 March 2018 Class 1 Income shares 87,343,465 42.59 205,095,991 7 March 2017 Class 1 Income shares 98,875,872 43.03 229,782,665 7 March 2016 Class 1 Income shares 109,826,054 40.74 269,609,794 7 March 2018 Class 1 Gross income shares 41,092,391 42.63 96,396,972 7 March 2017 Class 1 Gross income shares 80,286,546 43.07 186,402,890 7 March 2016 Class 1 Gross income shares 76,259,021 40.77 187,026,959 7 March 2018 Class 1 USD Hedged Gross income shares 3,927,326 70.35 5,582,725 7 March 2017 Class 1 USD Hedged Gross income shares 11,523,736 79.90 14,422,966 7 March 2016 Class 1 USD Hedged Gross income shares 6,341,174 64.74 9,795,302 7 March 2018 Class 1 Gross accumulation shares 37,166 112.67 32,987 7 March 2017 Class 1 Gross accumulation shares 11,015 108.70 10,133 7 March 2016 Class 1 Gross accumulation shares 2,928 97.60 3,000 7 March 2018 Class 2 Income shares 17,050,253 61.54 27,706,416 7 March 2017 Class 2 Income shares 45,702,159 61.86 73,881,942 7 March 2016 Class 2 Income shares 53,549,007 58.27 91,903,094 7 March 2018 Class 2 Gross income shares 3,740,920 52.96 7,063,089 7 March 2017 Class 2 Gross income shares 10,445,297 53.25 19,616,410 7 March 2016 Class 2 Gross income shares 11,918,775 50.16 23,763,705 7 March 2018 Class 2 Gross accumulation shares 195,708,873 178.37 109,722,377 7 March 2017 Class 2 Gross accumulation shares 257,427,542 171.04 150,511,031

As at Share class NAV ( ) NAV pence Number of shares in issue 7 March 2016 Class 2 Gross accumulation shares 127,593,494 152.62 83,601,522 7 March 2018 Class X Gross income shares 2,129,919 100.19 2,125,776 7 March 2017 Class X Gross income shares 2,246,878 99.98 2,247,258 7 March 2016 Class X Gross income shares 854,816 93.47 914,542 7 March 2018 Class X Gross accumulation shares 49,497,760 116.14 42,618,521 7 March 2017 Class X Gross accumulation shares 50,716,048 110.53 45,883,921 7 March 2018 Class Z Income shares 285,788,714 102.66 278,392,263 7 March 2017 Class Z Income shares 306,168,391 103.06 297,084,126 7 March 2016 Class Z Income shares 290,097,572 96.93 299,294,681 7 March 2018 Class Z Accumulation shares 13,755,770 115.38 11,922,607 7 March 2017 Class Z Accumulation shares 10,256,875 110.55 9,278,316 7 March 2016 Class Z Accumulation shares 5,061,277 99.63 5,080,290 7 March 2018 Class Z Gross income shares 42,593,177 99.99 42,597,550 7 March 2017 Class Z Gross income shares 31,092,816 100.38 30,974,909 7 March 2016 Class Z Gross income shares 23,239,106 94.41 24,615,189 7 March 2018 Class Z Gross accumulation shares 15,934,091 142.32 11,195,946 7 March 2017 Class Z Gross accumulation shares 29,696,495 136.37 21,775,631 7 March 2016 Class Z Gross accumulation shares 8,865,531 121.59 7,291,629 Only available to eligible investors. Distribution History/Share Price Range Highest Lowest Year to Share class Pence 7 March 2018 Class 1 Income shares 2.0050 43.90 42.70 7 March 2017 Class 1 Income shares 1.8022 43.34 40.99 7 March 2016 Class 1 Income shares 1.9738 44.29 39.93 7 March 2018 Class 1 Gross income shares 2.0058 43.95 42.74 7 March 2017 Class 1 Gross income shares 2.2549 43.41 41.03 7 March 2016 Class 1 Gross income shares 2.4696 44.34 39.97 7 March 2018 Class 1 USD Hedged Gross income shares 3.4674 80.40 69.60 7 March 2017 Class 1 USD Hedged Gross income shares 3.8486 80.58 63.76 7 March 2016 Class 1 USD Hedged Gross income shares 3.6757 68.38 60.94 7 March 2018 Class 1 Gross accumulation shares 5.1764 114.19 108.45 7 March 2017 Class 1 Gross accumulation shares 5.5439 109.13 98.20 7 March 2016 Class 1 Gross accumulation shares 1 2.0878 100.87 95.23 7 March 2018 Class 2 Income shares 2.9588 63.34 61.68 7 March 2017 Class 2 Income shares 2.6404 62.30 58.63 7 March 2016 Class 2 Income shares 2.8729 63.07 57.09 7 March 2018 Class 2 Gross income shares 2.5472 54.52 53.09 7 March 2017 Class 2 Gross income shares 2.8409 53.67 50.47 7 March 2016 Class 2 Gross income shares 3.0900 54.28 49.16 7 March 2018 Class 2 Gross accumulation shares 8.3613 180.66 170.70 7 March 2017 Class 2 Gross accumulation shares 8.8654 171.71 153.59 7 March 2016 Class 2 Gross accumulation shares 9.1080 157.50 148.87 7 March 2018 Class X Gross income shares 4.8003 102.89 99.80 7 March 2017 Class X Gross income shares 5.3163 100.77 94.06 7 March 2016 Class X Gross income shares 5.7384 100.46 91.55 7 March 2018 Class X Gross accumulation shares 5.4232 117.54 110.33 7 March 2017 Class X Gross accumulation shares 2 5.5731 110.96 99.98 7 March 2018 Class Z Income shares 4.8550 105.62 102.86 7 March 2017 Class Z Income shares 4.3346 103.79 97.53 7 March 2016 Class Z Income shares 4.7144 104.77 94.97 7 March 2018 Class Z Accumulation shares 5.3202 116.85 110.33 7 March 2017 Class Z Accumulation shares 4.5449 110.99 100.25 7 March 2016 Class Z Accumulation shares 4.7304 103.28 97.25 7 March 2018 Class Z Gross income shares 4.7291 102.87 100.19 7 March 2017 Class Z Gross income shares 5.2774 101.17 95.00 7 March 2016 Class Z Gross income shares 5.7398 102.06 92.52

Highest Lowest Year to Share class Pence 7 March 2018 Class Z Gross accumulation shares 6.5641 144.14 136.11 7 March 2017 Class Z Gross accumulation shares 6.9714 136.91 122.36 7 March 2016 Class Z Gross accumulation shares 7.1616 125.45 118.59 1 Commenced 28 October 2015. 2 Commenced 16 March 2016. Past performance is not a guide to future performance. Classification of Investments 7 March 2018 vs 7 March 2017 25% 20% 7 March 2018 7 March 2017 15% 10% 5% 0% -5% United Kingdom Luxembourg Netherlands United States of America France Germany Italy Jersey Republic of Ireland Switzerland Japan Canada Sweden Spain Belgium Australia Mexico Portugal Cayman Islands Austria Russia Poland Croatia Derivatives Net other assets Portfolio Information Top Five Holdings as at 7 March 2018 % of Fund Tesco 6.125% 24/02/2022 1.28 Telecom Italia 4.5% 25/01/2021 1.06 Altice 7.25% 15/05/2022 1.03 Softbank Group 3.125% 19/09/2025 0.99 Telefonica Europe 3.75% 31/12/2049 0.98 Top Five Holdings as at 7 March 2017 % of Fund Gaz Capital 6.51% 07/03/2022 1.72 Wind Acquisition Finance 7% 23/04/2021 1.56 Tesco 6.125% 24/02/2022 1.50 Altice 7.25% 15/05/2022 1.12 Finmeccanica 4.5% 19/01/2021 1.10

Investment Objective and Policy To achieve a higher level of income. Income will be paid monthly. The ACD s investment policy is to invest the assets of the Fund principally in higher risk UK and international fixed interest securities. It may also invest in equities. 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. 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. Valuation Risk: The fund s assets may sometimes be difficult to value objectively and the actual value may not be recognised until assets are sold. 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 3. The fund is in this specific category because historically it has shown a medium to low 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 225094