Threadneedle (Lux) SICAV

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Threadneedle (Lux) SICAV

Société d’Investissement à Capital Variable

(Formerly World Express Funds I SICAV)

Annual Report and

Audited Financial Statements March 31, 2010

SICAV

A Luxembourg Undertaking For Collective Investment In Transferable Securities

Under Part I of the Law of 20 December 2002 R.C.S. Luxembourg B-50.216

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Threadneedle (Lux)

2

Board of Directors

Chairman of the Board

Bryan Henning (resigned on May 29, 2009) Global Product Head, Wealth Management Standard Chartered Bank

Singapore

Crispin Henderson (appointed on an interim basis on May 29, 2009 and confirmed on July 31, 2009) Chief Executive Officer

Threadneedle Asset Management, London, United Kingdom

Directors

John Banks (resigned on May 29, 2009) Chairman and Proprietor

of Bridgewater (IOM) Limited Douglas, Isle of Man

Joseph Hardiman (resigned on May 29, 2009) Managing Director

Standard Chartered Investments (Luxembourg) S.A. New York, United States of America

Robert M. Friedman (resigned on May 29, 2009) Retired, Executive Director and Global

Head of Investment Portfolio Management Group Standard Chartered Bank

New York, United States of America

Paul Stephen Jebson (resigned on May 29, 2009) Retired, formerly Global Head of Fund Management Standard Chartered Bank

Kent, United Kingdom

Simon Davies (appointed on an interim basis on May 29, 2009 and confirmed on July 31, 2009) Executive Chairman

William Lowndes (appointed on an interim basis on May 29, 2009 and confirmed on July 31, 2009) Director

Head of US & Asia Distribution

Tom Challenor (appointed on an interim basis on May 29, 2009 and confirmed on July 31, 2009) Independent Director

London,

United Kingdom

Marie-Jeanne Chèvremont-Lorenzini (appointed on September 01, 2009) Independent Director

Luxembourg,

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Threadneedle (Lux)

Organisation

Registered Office: 69, Route d’Esch,

L-1470 Luxembourg

Grand Duchy of Luxembourg

Management Company:

Threadneedle Management Luxembourg S.A. (formerly Standard Chartered Investments (Luxembourg) S.A.) 74, Mühlenweg,

L-2155 Luxembourg

Investment Advisor:

Threadneedle Management Luxembourg S.A.

Delegated to*:

Sub-Advisor Portfolio Date of change of appointment, if applicable Aperta SGR S.p.A. Piazzale Marengo, 6 20121 Milan Italy Italian Equities MC Gestioni S.G.R. S.p.A. Via della Chiusa n. 15 20123 Milan

Italy

European Quantitative Equities

Mondrian Investment Partners Limited, 5th Floor,

10 Gresham Street, London EC2V 7JD United Kingdom

Global Emerging Market Equities Asia (formerly New Asia-Pacific) Greater China Equities

Japanese Equities

Mondrian Investment Partners-Focused Emerging Markets Equity (formerly Concentrated Large Cap Global Emerging Markets Equity-Mondrian Investment Partners)

until September 22, 2009 until September 15, 2009 until September 22, 2009

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Threadneedle (Lux)

Please refer to Note 1 – General for a table which summarises changes to Sub-Advisors during the year. 4

Organisation (continued)

Delegated to (continued):

Sub-Advisor Portfolio Date of change of appointment, if applicable

Montanaro Investment Managers Limited 53 Threadneedle Street, London, EC2R 8AR United Kingdom

Pan European Smaller Companies (formerly European Small Cap Equities)

until September 08, 2009

Munder Capital Management 480 Pierce Street, Suite 300, Birmingham, Michigan 48012, United States

US Mid & Small Cap Equities

Navellier and Associates, Inc., 1 E. Liberty, 3rd Floor, Reno, Nevada 89501,

United States

American Select

(formerly Focused US Growth Equities)

New Castle Funds LLC 7 Times Square, 43rd Floor, New York, New York 10036 United States

US Dynamic Equities until November 5, 2009

Standard Bank Plc. Cannon Bridge House, 25 Dowgate Hill, London EC4R 2SB United Kingdom

Emerging Market Corporate Bonds (formerly Emerging Markets Low Duration)

Global High Yield and Emerging Market (Euro) (formerly Global High Yield Euro)

until September 08, 2009 until April 15, 2009

Stone Harbor Investment Partners LP

31 West 52nd Street, 16th Floor, New York, New York 10019 United States

Emerging Market Debt until September 08, 2009

RiverSource Investments LLC 50605 Ameriprise Financial Center, Minneapolis, Minnesota 55474 United States

US$ Short-Term Bonds Global Bonds (US$) US$ High Income Bonds Global Energy Equities Global Technology

US Communications and Information Global Bonds (Euro)

European Short-Term Bonds European Bonds

Global Asset Allocation (bond portion)

since its inception on March 12, 2010 since its inception on March 12, 2010 until September 15, 2009

until September 22, 2009 until September 22, 2009 until September 22, 2009

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Threadneedle (Lux)

Organisation (continued)

Delegated to (continued):

Sub-Advisor Portfolio Date of change of appointment, if applicable Threadneedle Asset Management Limited 60 St. Mary Axe, London, EC3A 8JQ United Kingdom

Global Emerging Market Short-Term Bonds Global Asset Allocation (equity portion) Global Asset Allocation (bond portion)

Global High Yield and Emerging Market (Euro) (formerly Global High Yield Euro)

World Equities Global Innovation Target Return (US$)

Emerging Market Debt

Emerging Market Corporate Bonds (formerly Emerging Markets Low Duration)

Pan European Smaller Companies (formerly European Small Cap Equities)

Pan European Equities (formerly European Equities)

Asia (formerly New Asia-Pacific) Global Bonds (Euro)

American Select (formerly Focused US Growth Equities)

European Bonds

European Short-Term Bonds Global Emerging Market Equities Greater China Equities

effective September 23, 2009 effective April 16, 2009

since its inception on August 31, 2009 effective September 09, 2009 effective September 09, 2009 effective September 09, 2009 effective September 16, 2009 effective September 16, 2009 effective September 16, 2009 effective September 16, 2009 effective September 23, 2009 effective September 23, 2009 effective September 23, 2009 effective September 23, 2009 Walter Scott & Partners Limited,

1 Charlotte Square, Edinburgh EH2 4DZ Scotland

US Equities

Global Equities-Walter Scott & Partners Pan European Equities (formerly European Equities)

Custodian:

RBC Dexia Investor Services Bank S.A.

14, Porte de France, L-4360 Esch-sur-Alzette Grand Duchy of Luxembourg

Domiciliary and Administrative Agent:

Threadneedle Management Luxembourg S.A. Delegated to*:

Registrar and Transfer Agent:

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Threadneedle (Lux)

* Subject to the responsibility and oversight of Threadneedle Management Luxembourg S.A. 6

Organisation (continued)

Paying Agent:

Delegated to*:

In Austria:

Erste Bank Der Oesterreichischen Sparkassen AG

Graben 21, A-1010 Vienna Austria In France: CACEIS Bank 1/3 Place Valhubert F-75013 Paris France In Germany:

Standard Chartered Bank (Germany) GmbH (until October 29, 2009) Franklinstrasse 46a, D-60486 Frankfurt am Main

Germany

J.P. Morgan AG (effective October 30, 2009) Junghofstrasse 14,

D-60311 Frankfurt am Main Germany

In Hong Kong:

Standard Chartered Bank (Hong Kong) Limited (until January 8, 2010) 17th Floor One Pacific Place

88 Queensway Central, Hong Kong

HSBC Institutional Trust Services (Asia) Limited (effective January 9, 2010) 1, Queen’s Road Central

Hong Kong

In Luxembourg:

14, Porte de France, L-4360 Esch-sur-Alzette, Grand Duchy of Luxembourg

Representative and Paying Agent in Switzerland:

Standard Chartered Bank (Switzerland) S.A.

50 Rue du Rhône, CH-1204 Geneva, Switzerland

Independent Auditors:

Ernst & Young S.A.

7, Parc d’Activité Syrdall, L-5365 Munsbach

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Threadneedle (Lux)

Organisation (continued)

Legal Advisors:

In Luxembourg:

Arendt & Medernach (until May 29, 2009) 14, Rue Erasme

L-2010 Luxembourg

Linklaters LLP (effective May 29, 2009) 35, Avenue John F. Kennedy

B.P. 1107

L-1011 Luxembourg

In Germany:

Hengeler Mueller

Bockheimer Landstrasse 24, D-60323 Frankfurt am Main Germany

Securities Lending Agent:

Brown Brothers Harriman & Co.

40 Water Street, Boston, MA 02109, USA

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Threadneedle (Lux)

8

Report of the Board of Directors

This is the annual report for the Threadneedle (Lux) SICAV for the 12 months ending March 31, 2010.

Financial markets generally enjoyed a strong year. The period under review saw a sharp improvement in equity markets across the globe. However, more recently they have slipped back from their highs amid the escalation of the Greek debt crisis and policy tightening in China. The Chinese authorities have sought to prevent the economy from overheating as well as dampening speculative activity in the property market. In Europe, the scale of the debt problems facing Greece triggered fears over other heavily indebted eurozone countries, such as Spain, Portugal and Italy which have also announced a series of austerity measures. In early May 2010, the EU and IMF agreed a joint bail-out package for Greece.

Despite the recent setback, equity markets across the globe are still well above the lows reached in March 2009, and for much of the reporting period emerging markets performed particularly well. Overall, sentiment was buoyed by the improving economic outlook with all of the major economies moving out of recession during the review period. While many emerging market countries experienced a slowdown during the global downturn, they successfully avoided recession as increasing domestic consumption helped to offset the impact of weaker exports. Many also received a boost from higher government spending on infrastructure projects.

The growth in corporate earnings has generally exceeded analysts’ expectations. In response to the economic downturn of 2008, companies rapidly cut their operating costs with the result that as demand for goods and services began to improve, there was a strong boost to profit margins. Many businesses have also benefited from lower borrowing costs on the back of historically low interest rates. Leading central banks have held official rates at record lows to support economic activity, although rates have now begun to creep up in more robust economies such as Canada and Australia.

Merger and acquisition activity also increased over the period, a notable example being the high-profile takeover of Cadbury by US company Kraft. Elsewhere, BP recently made the headlines, with the share price falling sharply following the oil leak in the Gulf of Mexico and the associated costs of the clean-up operation.

Lower risk investments such as government bonds, which performed much better during the downturn, have delivered more muted returns over the reporting period, underperforming equities and corporate bonds. The quantitative easing programmes that had been in place in the UK and US over the past year came to an end during the review period, removing an important buyer from government bond markets. However, higher yielding areas of fixed income, such as corporate and emerging market bonds, continued to perform well amid the improving economic background.

Since Threadneedle Asset Management acquired the management company of the World Express Funds I SICAV (the “SICAV”) on May 29, 2009, some changes to the product range have occurred. The name of the fund range changed to Threadneedle (Lux) SICAV in July 2009. We undertook a comprehensive review of the product offerings and both rationalised and identified investment opportunities. Our aim has been to ensure the product range offers investment strategies that meet our clients’ objectives. Threadneedle’s investment process is designed with the aim of delivering consistently strong performance for our clients and this philosophy, together with our growth ambitions has driven our review of the fund range. We have developed a number of core proposals since the acquisition to further enhance the SICAV range including the launch of the Threadneedle (Lux) Target Return US$ Fund on August 31, 2009 and the Threadneedle (Lux) American Absolute Alpha Fund in June 2010. We have also changed a number of existing funds to better align them with market opportunities. The Threadneedle (Lux) Emerging Market Low Duration Fund has changed its focus to target Emerging Market Corporate debt. The name of the fund changed to reflect this focus and is now called the Threadneedle (Lux) Emerging Market Corporate Bond Fund. Additionally we added two highly successful technology focused equity portfolios to the Threadneedle (Lux) platform. Threadneedle also assumed management for a number of previously sub-advised portfolios in sectors where we have proven expertise and strong performance track records.

We are targeting several new fund launches this year. These developments are designed to target the investment opportunities that our fund managers are now finding across the global markets. We are pleased with the progress we have made over the past year and continue to seek opportunities that provide value for our clients.

You can find out more about how your investments have performed in this environment in the annual report and financial statements, and additional information on the funds is available on our website www.threadneedle.com/lux

We hope that you find the annual report informative and thank you for investing with Threadneedle. Yours faithfully,

Tom Challenor

Director

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Threadneedle (Lux)

Performance

Threadneedle (Lux) Portfolio returns for the year ended March 31, 2010.

Portfolio 1 Year Return

Class A W

US$ Short-Term Bonds AU 2.37% 2.63%

Global Bonds (Euro) AE 5.71% 6.02%

Global Bonds (US$) AU 7.17% 7.46%

Emerging Market Corporate Bonds AEH 16.98% 17.98% European Short-Term Bonds AE 2.02% n/a

European Bonds AE 7.19% 7.46%

Emerging Market Debt AU 39.28% 39.98%

Global Emerging Market Short-Term Bonds***

AU -6.35% -6.01%

US$ High Income Bonds AU 35.32% 36.00%

Global High Yield and Emerging Market (Euro)

AE 28.71% 29.36% Global Asset Allocation AU 28.47% 28.93%

World Equities AU 50.30% 50.79%

Global Emerging Market Equities AU 73.64% 74.21%

US Equities AU 43.69% 44.19%

US Mid & Small Cap Equities AU 43.76% 44.29%

American Select AU 34.18% 34.77%

US Dynamic Equities (in liquidation) AU n/a n/a

Pan European Equities AE 46.14% 46.68%

Pan European Smaller Companies AE 72.55% 73.18% European Quantitative Equities AE 41.01% 41.49%

Japanese Equities**** AJ 27.27% 27.87%

Asia AU 69.46% 70.02%

Greater China Equities AU 73.69% 74.30% Global Energy Equities AU 36.98% 37.46%

Global Innovation AU 50.49% 50.94%

Global Technology** AU 0.53% n/a

US Communications and Information** AU 0.52% n/a

Target Return US$* AU -0.80% n/a

Portfolio Class 1 Year Return

Italian Equities DE 29.69%

Global Equities-Walter Scott & Partners WS 40.35% Mondrian Investment Partners-Focused

Emerging Markets Equity

M 68.80%

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Threadneedle (Lux)

10

Report of the approved statutory auditor

To the Shareholders of

Threadneedle (Lux) Luxembourg

We have audited the accompanying Financial Statements of Threadneedle (Lux) ( t h e “ SICAV”) and of each of its Portfolios, which comprise the Statement of Net Assets and the Schedule of Investments as at March 31, 2010 and the Statement of Operations and Changes in Net Assets for the year then ended, and a summary of significant accounting policies.

Responsibility of the Board of Directors of the SICAV for the Financial Statements

The Board of Directors of the SICAV is responsible for the preparation and fair presentation of these Financial Statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the Financial Statements. This responsibility includes: designing, implementing and maintaining internal control relevant to the preparation and fair presentation of Financial Statements that are free from material misstatement, whether due to fraud or error; selecting and applying appropriate accounting policies, and making accounting estimates that are reasonable in the circumstances.

Responsibility of the “réviseur d'entreprises agréé“

Our responsibility is to express an opinion on these Financial Statements based on our audit. We conducted our audit in accordance with International Standards on Auditing as adopted for Luxembourg by the “Commission de Surveillance du Secteur Financier”. Those Standards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance whether the Financial Statements are free from material misstatement.

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the Financial Statements. The procedures selected depend on the judgement of the “réviseur d'entreprises agréé”, including the assessment of the risks of material misstatement of the Financial Statements, whether due to fraud or error. In making those risk assessments, the “réviseur d'entreprises agréé” considers internal control relevant to the entity's preparation and fair presentation of the Financial Statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity's internal control.

An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by the Board of Directors of the SICAV, as well as evaluating the overall presentation of the Financial Statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.

Opinion

In our opinion, the Financial Statements give a true and fair view of the financial position of Threadneedle (Lux) and of each of its Portfolios as at March 31, 2010, and of the results of their operations and changes in their net assets for the year ended in accordance with the Luxembourg legal and regulatory requirements relating to the preparation and presentation of the Financial Statements.

Other Matter

Supplementary information included in the annual report has been reviewed in the context of our mandate but has not been subject to specific audit procedures carried out in accordance with the Standards described above. Consequently, we express no opinion on such information. However, we have no observation to make concerning such information in the context of the Financial Statements taken as a whole.

Ernst & Young Société Anonyme Cabinet de révision agréé Réviseur d’entreprises agréé

M. Ferguson July 1, 2010

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Statement of Net Assets

as at March 31, 2010

-202,637.352 -140,801.228 -254,148.000

-Number of shares outstanding

Class AE Class AEC Class AEH Class AEP Class AJ Class AU Class AUH Class AUP Class BU Class DE Class DEH Class DJ Class DU Class IE Class IEH Class IJ Class IU Class M Class P Class SEP 815,209.281 -45,838.333 -0.003 -209,639.435 -34,011.802 -25,930.251 -112,614.289 -113,105.765 -ASSETS

Investment Portfolio at market value (2) 11,462,800

Options purchased at market value (11) 0

Cash at bank 805,421

Receivable for investments sold 438

Subscriptions receivable 7,585

Interest and dividends receivable, net 58,203 Net unrealised gain on forward foreign

exchange contracts (8) 0

Net unrealised profit on futures (10) 0

Other assets 0

Total Assets 12,334,447

LIABILITIES

Options written at market value (11) 0

Bank overdrafts 0

Payable for investments purchased 0

Redemptions payable 57,170

Net unrealised loss on forward foreign

Net unrealised loss on futures (10) 0

Asset management and service fees

payable (4) 9,603

Dividends payable 0

Other liabilities 18,820

Total Liabilities 85,593

TOTAL NET ASSETS 12,248,854

USD Note US$ Short-Term Bonds 15,362,766 0 801,703 560,478 42,560 217,813 70,455 0 0 17,055,775 0 0 567,773 108,670 0 0 15,905 0 27,276 719,624 16,336,151 EUR Global Bonds (Euro) 8,294,311 0 257,994 473,106 658 84,540 9,952 0 2,165 9,122,726 0 0 89,776 495,712 0 0 9,087 0 13,623 608,198 8,514,528 USD Global Bonds (US$) 4,191,707 0 41,463 0 0 59,032 0 0 0 4,292,202 0 0 0 10,118 0 0 3,391 0 13,099 26,608 4,265,594 EUR European Short-Term Bonds

Threadneedle (Lux)

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12

** See note 1.

Statement of Net Assets

as at March 31, 2010

The accompanying notes form an integral part of these financial statements.

(continued)

81,635.456 -26,319.901 -716,450.206 -18,447.316

Class AE Class AEC Class AEH Class AEP Class AJ Class AU Class AUH Class AUP Class BU Class DE Class DEH Class DJ Class DU Class IE Class IEH Class IJ Class IU Class M Class P Class SEP Class SU Class SUP Class W Class WS Class YE -165,943.100 -3,667,329.469 -555,887.879 -7,674.086 -5,796.904 -188,195.906 -275,445.394 1,718,592.292 -445,239.915 -26,554,814.549 -95,471.900 -41,347.221 -3,625,877.256 -82,052.637 1,173,625.351 389,211.512 -289,707.853 147,572.399 -89,045.305 -23,659,249.734 -1,331,860.968 -88,678.540 -158,792.203 -859,874.621 -ASSETS

Receivable for investments sold 3,065,968

exchange contracts (8) 3,191

Other assets 0

Total Assets 22,429,515

LIABILITIES

Bank overdrafts 29,382

Payable for investments purchased 724,985

Redemptions payable 3,276,319

Net unrealised loss on futures (10) 2,400

payable (4) 12,666

Dividends payable 0

Total Liabilities 4,059,312

EUR Note European Bonds 43,584,103 0 4,491,448 15,937,219 7,250 821,792 0 0 13 64,841,825 0 0 15,395,045 35,663 155,751 0 60,553 277,490 86,632 16,011,134 48,830,691 USD Emerging Market Corporate Bonds** 570,030,928 0 30,466,634 524,940 834,795 11,165,579 0 0 3,219 613,026,095 0 0 1,242,488 2,881,894 1,856,483 0 720,961 2,817,154 622,774 10,141,754 602,884,341 USD Emerging Market Debt 203,983,160 0 15,426,850 0 1,253,385 3,498,924 0 0 942 224,163,261 0 0 4,000,001 2,211,463 172,002 0 257,743 1,488,223 225,618 8,355,050 215,808,211 USD Global Emerging Market Short-Term Bonds

Threadneedle (Lux)

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Statement of Net Assets

as at March 31, 2010

(continued)

-6,990.298 -324,548.425 -98,490.365 -20,162.927 -6,589.046

Class AE Class AEC Class AEH Class AEP Class AJ Class AU Class AUH Class AUP Class BU Class DE Class DEH Class DJ Class DU Class IE Class IEH Class IJ Class IU Class M Class P Class SEP 1,120,791.363 -3,434,198.742 -8,121.356 -364,119.150 -11,667.962 -204,922.393 -129,743.617 1,766,689.878 -928,604.314 -8,862,901.613 -184,628.604 -235,222.595 -1,248,967.079 -435,226.589 -13,867.807 -93,347.525 -ASSETS

Receivable for investments sold 132,275

Other assets 0

Total Assets 9,769,478

LIABILITIES

Bank overdrafts 0

payable (4) 14,613

Dividends payable 8,411

USD Note

US$ High Income Bonds 63,405,290 0 665,207 835,803 348,133 1,419,893 0 0 805 66,675,131 0 0 925,576 1,052,212 95,851 0 98,056 224,089 86,572 2,482,356 64,192,775 EUR Global High Yield and Emerging Market (Euro)** 197,445,199 0 8,205,560 3,402,374 168,920 701,360 0 0 66,118 209,989,531 0 0 7,380,185 722,058 672,026 0 301,908 554,064 254,374 9,884,615 200,104,916 USD Global Asset Allocation 49,560,422 0 248,652 176,344 2,906 61,160 0 0 940 50,050,424 0 0 100,783 186,722 390,425 0 70,566 0 117,314 865,810 49,184,614 USD World Equities

Threadneedle (Lux)

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14

** See note 1.

Statement of Net Assets

as at March 31, 2010

(continued)

-15,931.947 -28,609.410 -45,078.478 -37,626.863 -110.792 -43,373.182

Class AE Class AEC Class AEH Class AEP Class AJ Class AU Class AUH Class AUP Class BU Class DE Class DEH Class DJ Class DU Class IE Class IEH Class IJ Class IU Class M Class P Class SEP Class SU Class SUP Class W Class WS Class YE -803,860.347 -1,757,605.651 -67,478.784 -1,212,989.389 -2,406,959.311 -9,579,003.787 -113,146.968 -5,299.604 -149,077.824 -11,749.955 -82,597.454 -47,754.816 -298,298.560 -154,684.487 -31,768.594 -68,958.150 -115.157 -38,974.575 -ASSETS

Cash at bank 57,877

Subscriptions receivable 0

Other assets 46

Total Assets 6,107,823

LIABILITIES

Bank overdrafts 0

payable (4) 10,547

Dividends payable 0

USD Note Global Emerging Market Equities 320,056,022 0 7,913,200 2,433,844 2,838,640 193,474 0 0 3,517 333,438,697 0 0 0 5,788,641 1,037,180 0 280,525 0 352,956 7,459,302 325,979,395 USD US Equities 6,813,075 0 442,857 167,461 346 10,936 0 0 0 7,434,675 0 0 117,736 33,246 3,463 0 11,003 0 14,654 180,102 7,254,573 USD US Mid & Small Cap Equities 8,297,796 0 127,661 15,030 1,901 7,679 0 0 68 8,450,135 0 0 46,534 24,041 68,709 0 12,741 0 13,127 165,152 8,284,983 USD American Select**

Threadneedle (Lux)

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Statement of Net Assets

as at March 31, 2010

(continued)

438,424.904 -302,450.487 -46,473.835

Class AE Class AEC Class AEH Class AEP Class AJ Class AU Class AUH Class AUP Class BU Class DE Class DEH Class DJ Class DU Class IE Class IEH Class IJ Class IU Class M Class P Class SEP 72,090.129 -67,826.622 -1,004,927.444 -334,474.628 -1,295,790.368 -1,931.460 -774,345.436 -ASSETS

Other assets 3,158

Total Assets 28,768,672

LIABILITIES

Bank overdrafts 0

payable (4) 40,097

Dividends payable 0

EUR Note Pan European Equities** 2,298,692 0 14,005 32,003 20,000 2,925 0 0 0 2,367,625 0 0 37,819 3,683 0 0 3,703 0 1,981 47,186 2,320,439 EUR Pan European Smaller Companies** 28,084,741 0 484,341 1,696,468 530,950 60,812 0 0 9,815 30,867,127 0 0 1,321,648 2,109 52,181 0 33,137 0 28,479 1,437,554 29,429,573 EUR European Quantitative Equities 10,272,487 0 297,125 11,841 0 0 0 0 0 10,581,453 0 0 0 5,706 0 0 8,648 0 25,314 39,668 10,541,785 EUR Italian Equities

Threadneedle (Lux)

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16

** See note 1.

Statement of Net Assets

as at March 31, 2010

(continued)

-43,454.045 -42,107.561 -78,710.293 106,823.055 -7,833.248 -109,391.560

Class AE Class AEC Class AEH Class AEP Class AJ Class AU Class AUH Class AUP Class BU Class DE Class DEH Class DJ Class DU Class IE Class IEH Class IJ Class IU Class M Class P Class SEP Class SU Class SUP Class W Class WS Class YE -56,891.276 -73,087.035 -35,759.726 -78,081.455 -233,563.526 -20,512.854 -103,397.687 -58,754.335 -101,152.162 -70,580.120 -232,352.447 -872,087.222 -165,250.700 -75,347.488 -110,535.675 -158,567.402 -ASSETS

Cash at bank 6,196,812

Interest and dividends receivable, net 8,972,237 Net unrealised gain on forward foreign

exchange contracts (8) 3,066,703

Other assets 520,874

Total Assets 896,171,069

LIABILITIES

Bank overdrafts 0

Payable for investments purchased 0

Redemptions payable 42,208,164

payable (4) 1,385,389

Dividends payable 0

Other liabilities 1,522,508

TOTAL NET ASSETS 851,055,008

JPY Note Japanese Equities 19,181,668 0 164,922 659,721 0 41,371 0 0 0 20,047,682 0 17,949 777,234 11,435 36,566 0 30,989 0 40,513 914,686 19,132,996 USD Asia** 10,707,438 0 180,578 0 8,746 758 0 0 0 10,897,520 0 0 77,792 22,254 26,984 0 19,898 0 22,483 169,411 10,728,109 USD Greater China Equities 47,215,476 0 900,693 0 491,103 21,510 0 0 0 48,628,782 0 0 0 560,846 181,880 0 72,399 0 72,154 887,279 47,741,503 USD Global Energy Equities

Threadneedle (Lux)

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Statement of Net Assets

as at March 31, 2010

(continued)

-27,262.238 -1,389,344.094 -6,904.593 -50,656.768

Class AE Class AEC Class AEH Class AEP Class AJ Class AU Class AUH Class AUP Class BU Class DE Class DEH Class DJ Class DU Class IE Class IEH Class IJ Class IU Class M Class P Class SEP -666.667 -225,909.117 -1,008,893.748 -259,316.239 -666.670 -407,853.142 -234,750.747 -ASSETS

Receivable for investments sold 0

Other assets 305

Total Assets 17,845,423

LIABILITIES

Bank overdrafts 0

payable (4) 30,031

Dividends payable 0

USD Note Global Innovation 30,139,579 0 1,693,829 356,308 0 17,900 0 0 149 32,207,765 0 229 271,002 317,624 0 0 32,689 0 11,528 633,072 31,574,693 USD Global Technology** 14,173,395 0 393,600 559,757 0 286 0 0 452 15,127,490 0 1,042,890 244,946 0 0 0 18,116 0 4,868 1,310,820 13,816,670 USD US Communications and Information** 80,142,127 0 1,227,647 0 0 246,933 0 0 2,852 81,619,559 0 0 69,459 0 0 0 66,573 0 31,425 167,457 81,452,102 EUR Global Equities-Walter Scott & Partners

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18

** See note 1.

Statement of Net Assets

as at March 31, 2010

(continued)

-9,723,684.925

Class AE Class AEC Class AEH Class AEP Class AJ Class AU Class AUH Class AUP Class BU Class DE Class DEH Class DJ Class DU Class IE Class IEH Class IJ Class IU Class M Class P Class SEP Class SU Class SUP Class W Class WS Class YE -871,012.883 -145,833.333 -2,655,543.233 -ASSETS

Cash at bank 6,134,676

Subscriptions receivable 0

Interest and dividends receivable, net 1,112,029 Net unrealised gain on forward foreign

Other assets 0

Total Assets 336,387,283

LIABILITIES

Bank overdrafts 0

Payable for investments purchased 4,575,840

Redemptions payable 0

payable (4) 256,890

Dividends payable 0

TOTAL NET ASSETS 331,391,288

USD Note Mondrian IP-FEME** 63,340,081 74,011 1,553,123 264,170 2,713,342 543,324 0 2,537 0 68,490,588 10,001 0 281,610 0 42,811 0 44,655 0 26,467 405,544 68,085,044 USD Target Return (US$)** 2,308,871,948 74,011 86,811,332 38,284,817 9,838,621 21,908,949 161,714 2,537 106,011 2,466,059,940 10,001 1,100,824 39,992,472 20,331,833 4,886,580 3,247 2,662,157 5,448,556 2,488,492 76,924,162 2,389,135,778 USD Combined

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Statement of Net Asset Values per Share as at March 31, 2010

Net asset value per share (USD)

Net asset value per share Class AEClass AE (EUR)

Net asset value per share Class AECClass AEC (EUR)

Net asset value per share Class AEHClass AEH (EUR)

Net asset value per share Class AEPClass AEP (EUR)

Net asset value per share (JPY)

Net asset value per share Class AJClass AJ (EUR)

Net asset value per share Class AUClass AU (EUR)

Net asset value per share Class AUHClass AUH (EUR)

Net asset value per share Class AUPClass AUP (EUR)

Net asset value per share Class BUClass BU (EUR)

Net asset value per share Class DEClass DE (EUR)

Net asset value per share Class DEHClass DEH (EUR)

Net asset value per share Class DJClass DJ (EUR)

Net asset value per share Class DUClass DU (EUR)

Net asset value per share Class IEClass IE (EUR)

Net asset value per share Class IEHClass IEH (EUR)

Net asset value per share Class IJClass IJ (EUR)

Net asset value per share Class IUClass IU (EUR)

Net asset value per share Class MClass M (EUR)

Net asset value per share Class PClass P (EUR)

Net asset value per share Class SEPClass SEP (EUR)

Net asset value per share Class SUClass SU (EUR)

Net asset value per share Class SUPClass SUP (EUR)

Net asset value per share Class WClass W (EUR)

Net asset value per share Class WSClass WS (EUR)

Net asset value per share Class YEClass YE (EUR)

US$ Short-Term Bonds -13.09*17.71 -13.83*18.72 -12.98*17.57 -22.52*30.47 -Global Bonds (Euro) 17.97 24.32* -19.85 26.86* -20.00 27.06* -21.50 29.09* -Global Bonds (US$) -17.34*23.46 -19.44*26.31 -36.61*49.54

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20

Statement of Net Asset Values per Share as at March 31, 2010

European Short-Term Bonds 17.67 23.91* -13.96 18.89* -19.76 26.74* -European Bonds 22.20 30.04* -22.04 29.82* -21.10 28.55* -46.68 63.16* -Emerging Market Corporate Bonds** -14.88+ -6.64*8.98 -11.95+ -8.38* 11.34 -7.47* 10.11 -13.38*18.11

-* For information purpose only - Converted from the accounting currency using exchange rates as at March 31, 2010 provided by the SICAV's Administrator. -*-* See note 1. +Class is denominated in EUR. The base currency of the Portfolio is USD.

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

(continued)

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Statement of Net Asset Values per Share as at March 31, 2010

Emerging Market Debt -13.49*18.25 20.53+ -39.36*53.26 -10.75*14.54 -15.97+ -29.27*39.61 -20.77+ -15.93*21.55 10.41*14.09 31.23*42.26 -Global Emerging Market Short-Term Bonds -7.94* 10.75 11.86+ -9.37* 12.68 -7.44 -9.41+ -7.43* 10.06 -12.55+ -10.75*14.55

-US$ High Income Bonds -20.15+ -15.40*20.84 -10.12*13.69 -15.64+ -11.95*16.17 -17.09*23.12

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Statement of Net Asset Values per Share as at March 31, 2010

Global High Yield and Emerging Market (Euro)** 19.32 26.14* -8.92 12.07* -14.55++ -18.44 24.95* -14.99 20.28* -8.82 11.93* -20.93 28.32* -Global Asset Allocation -11.95*16.17 20.07+ -19.24*26.04 -11.95 -15.62+ -13.59*18.39 -31.45*42.56 -World Equities -18.80+ -20.14*27.25 -14.66+ -11.31*15.30 -30.32*41.03

(continued)

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Statement of Net Asset Values per Share as at March 31, 2010

Global Emerging Market Equities -29.05+ -29.64*40.11 -22.67+ -22.76*30.80 -15.98+ -27.95*37.82 -US Equities -19.21+ -21.39*28.94 -14.97+ -8.74* 11.83 -18.96+ -13.32*18.02 -27.42*37.10

-US Mid & Small Cap Equities -13.54+ -18.40*24.90 -10.59+ -10.76*14.56 -32.10*43.43

-(continued)

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Statement of Net Asset Values per Share as at March 31, 2010

American Select** -12.67+ -7.77* 10.52 -9.89+ -7.41* 10.02 -12.99+ -8.11* 10.97 -Pan European Equities** 31.45 42.55* -12.11 16.39* -20.20 27.33* -26.05 35.25* -Pan European Smaller Companies** 11.63 15.74* -11.42 15.45* -19.31 26.13*

(continued)

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Statement of Net Asset Values per Share as at March 31, 2010

European Quantitative Equities 9.80 13.26* -7.72 10.45* -12.61 17.06* -11.22 15.18* -Italian Equities -7.12 9.63* -13.60 18.40* -Japanese Equities -13.56+++ -4,494.00 35.54* -10.53+++ -924.00 7.31* -1,865.00 14.75* -26.70* 36.13++++

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Statement of Net Asset Values per Share as at March 31, 2010

Asia** -26.02+ -41.29*55.87 -20.26+ -22.03*29.81 -30.81*41.69 -Greater China Equities -24.31+ -26.06*35.26 -18.92+ -20.12*27.22 -22.50*30.45 -Global Energy Equities -23.95+ -22.83*30.89 -18.62+ -17.57*23.77 -10.87+ -26.52*35.89

(continued)

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Statement of Net Asset Values per Share as at March 31, 2010

Global Innovation -19.81+ -8.00* 10.82 -15.40+ -7.69* 10.41 -15.30*20.70 -8.34* 11.29 -Global Technology** -11.11*15.03 -14.88*20.14 -16.89*22.85 -11.29*15.28 -US Communications and Information** -11.12*15.05 -15.14*20.48 -17.17*23.23

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Statement of Net Asset Values per Share as at March 31, 2010

Global Equities-Walter Scott & Partners -31.55 -Mondrian IP-FEME** -25.19*34.08 -Target Return (US$)** -11.00*14.88 -11.85+ -14.69*19.88

(continued)

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-Statement of Operations and Changes in Net Assets

21,790,013

NET ASSETS AT THE BEGINNING OF THE YEAR

INCOME

0 Dividends, net

490,092 Interest on bonds, net

447 Bank interest

0 Interest on swaps

0 Income from securities lending

0 Other income 490,539 TOTAL INCOME EXPENSES 123,322

Asset management fees (4)

3,539 Custodian fees

6,778 Administration fees

10,022 Transfer agent fees

9,484 Audit and legal fees

4,985 Printing and publishing fees

5,199 Subscription tax (3) 2 Bank fees 14 Interest paid 25,790

Shareholder servicing fees (4)

19,495

Miscellaneous (14)

208,630

TOTAL EXPENSES

281,909

NET INCOME / (LOSS) FROM INVESTMENTS

(2,145,504) Net realised gain / (loss) on sales of

investments

0 Net realised gain / (loss) on swaps

0 Net realised gain / (loss) on options

0 Net realised gain / (loss) on forward foreign

exchange contracts

0 Net realised gain / (loss) on futures

(2,159) Net realised gain / (loss) on foreign exchange

(1,865,754)

NET REALISED PROFIT / (LOSS)

2,320,232 Change in net unrealised gain / (loss) on

investments

0 Change in net unrealised gain / (loss) on

futures

forward foreign exchange contracts

swaps

options

454,478

NET INCREASE / (DECREASE) IN NET ASSETS AS A RESULT OF OPERATIONS MOVEMENTS IN CAPITAL 5,328,134 -Subscriptions of shares USD Note US$ Short-Term Bonds 24,985,506 0 700,808 687 0 0 0 701,495 171,479 3,634 8,041 11,145 10,548 5,544 8,591 5,578 1,225 44,232 21,556 291,573 409,922 (1,344,490) 0 0 (17,921) (7,296) (149,538) (1,109,323) 1,994,938 0 101,241 0 0 986,856 17,487,538 EUR Global Bonds (Euro) 15,843,580 0 415,554 489 0 0 0 416,043 104,544 2,089 4,646 6,538 6,187 3,252 5,311 1,044 55 23,532 12,939 170,137 245,906 1,117,243 0 0 (61,543) 0 6,510 1,308,116 (381,111) 0 25,644 0 0 952,649 2,006,247 USD Global Bonds (US$) 11,116,624 0 333,356 17 0 0 0 333,373 61,978 1,696 3,597 5,843 5,529 2,906 1,815 5,226 57 11,453 10,156 110,256 223,117 182,377 0 0 0 0 (469) 405,025 (199,369) 0 0 0 0 205,656 5,701,992 EUR European Short-Term Bonds

Threadneedle (Lux) SICAV

Threadneedle (Lux) SICAV

Société d’Investissement à Capital Variable

(Formerly World Express Funds I SICAV)

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Directory

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Board of Directors

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Organisation

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Organisation (continued)

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Organisation (continued)

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Report of the Board of Directors

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Performance

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Report of the approved statutory auditor

Statement of Net Assets

as at March 31, 2010

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Statement of Net Assets

as at March 31, 2010

(continued)

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Statement of Net Assets

as at March 31, 2010

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Statement of Net Assets

as at March 31, 2010

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Statement of Net Assets

as at March 31, 2010

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Statement of Net Assets

as at March 31, 2010

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Statement of Net Assets

as at March 31, 2010

(continued)

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Statement of Net Asset Values per Share as at March 31, 2010

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Statement of Net Asset Values per Share as at March 31, 2010

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Statement of Net Asset Values per Share as at March 31, 2010

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Statement of Net Asset Values per Share as at March 31, 2010

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Statement of Net Asset Values per Share as at March 31, 2010

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Statement of Net Asset Values per Share as at March 31, 2010

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Statement of Net Asset Values per Share as at March 31, 2010

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Statement of Net Asset Values per Share as at March 31, 2010

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-Statement of Operations and Changes in Net Assets