Threadneedle (Lux)Société d'Investissement à Capital Variable
Registered Office: 31, Z.A. Bourmicht, L-8070 Bertrange
Grand Duchy of Luxembourg
R.C.S. Luxembourg B 50 216(the “SICAV”)

NOTICE TO THE SHAREHOLDERS OF
THREADNEEDLE (LUX) – EUROPEAN SOCIAL BOND
(THE “PORTFOLIO”)
IMPORTANT
14 September 2023
Dear Shareholder,
Important information: Changes to the investment policy and SFDR RTS Annex of the Portfolio.
As you are an investor in the Portfolio, we are writing to inform you that the Board of Directors of the
SICAV (the “Board”) are changing the investment policy of the Portfolio and its corresponding SFDRRTS Annex: the Portfolio will be re-categorised from its current categorisation as an Article 8 fund to
Article 9 under SFDR, from the Effective Date. As a result, the prospectus will be amended to comply
with the Article 9 requirements of EU Regulation 2019/2088 on sustainability-related disclosures in thefinancial services sector (“SFDR”).
The investment policy and SFDR RTS Annex will be further amended to disclose that Columbia
Threadneedle Investments has become a signatory to the Net Zero Asset Managers Initiative(“NZAMI”) and has committed to an ambition, working in partnership with its clients, to reach net zero
emissions by 2050 or sooner for a range of assets, including the Portfolio.
The amended investment policy and SFDR RTS Annex will be adopted from 20 November 2023 (the“Effective Date”).
For any capitalised terms that are not specifically defined within this letter, please refer to thedefinition in the “Glossary” section of the Prospectus which is available on our website
www.columbiathreadneedle.com.
1. Changes to the investment policy and SFDR RTS Annex
The Portfolio will continue to invest in sustainable investments, which for the Portfolio are considered
to be bonds that are rated as social investments under the Sub-Advisor’s Social Rating Methodology.
However, the investment policy and SFDR RTS Annex will be amended to commit the Portfolio toinvest at least 80% of its total assets in sustainable investments within the meaning of Article 2(17) of
SFDR and will be classified under Article 9 of SFDR. As a result, the change in the Portfolio’s SFDR
categorisation from Article 8 to Article 9 is not expected to result in a material change to the way inwhich the Portfolio is currently managed or its risk profile.
The benchmark disclosure will also be amended to reflect that the Portfolio will not be managed inreference to an index. The index will continue to be used as a point of reference against which financial
performance may be compared. However, the Portfolio is otherwise not subject to any constraints inrelation to the index, and as a result of the application of the Social Rating Methodology is expected to
exhibit significant deviation from the index.

The investment policy amendments have been summarised in Appendix A attached and will bereflected in the “Investment Objectives and Policies” section of the Prospectus and the corresponding
SFDR RTS Annex from the Effective Date. Details regarding the sustainable investments andconsideration of principle adverse impacts (“PAIs”) will also be detailed in the SFDR RTS Annex of theProspectus from the Effective Date and are summarised in Appendix B attached.
2. Commitment to NZAMI
Columbia Threadneedle Investments is a signatory to NZAMI and has committed to an ambition toreach net zero emissions by 2050 or sooner for a range of assets, working in partnership with its clients.
The Portfolio will be managed in line with Columbia Threadneedle’s Net Zero methodology and the
Sub-Advisor will use its proactive engagement with companies held in the Portfolio to assist with
progressing this ambition.
Why has Columbia Threadneedle Investments signed up to NZAMI?
As a large global asset manager, we are committed to both delivering long-term financial returns forour clients, which includes managing the risks presented by climate change, and supporting thetransition to a low-carbon economy. As such, we are a signatory to NZAMI, which is an internationalgroup of asset managers committed to supporting the goal of net zero greenhouse gas emissions (“netzero”), and working in partnership with our clients, we aspire to reach net zero by 2050 or sooner acrossall our assets under management, including the Portfolio.
Full details of the commitment made by NZAMI signatories can be found at the following website
address: www.netzeroassetmanagers.org/commitment/
What does the NZAMI commitment mean for my investment?
Primarily, we use active ownership to engage with companies within our portfolios to influence themto lower their carbon emissions. Our current aim is for each Portfolio to hold at least 70% of its
portfolio emissions in net zero aligned or engaged companies, however this is not a binding target.
This approach is complemented by Columbia Threadneedle’s engagement focus list, where the goal
is to work constructively with globally significant high-emitting companies to encourage them to alignwith a net zero trajectory. However, this could result in the divestment from the Portfolio of a small
number of these companies if they are held in the Portfolio, if after a period of engagement, they failto meet minimum expectations in relation to their climate policies.
Further details on the methodology
www.columbiathreadneedle.com.

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websiteMore immediately, and in addition to the existing revenue-based coal exclusions, the Portfolio will nolonger be able to invest in companies that make new investments in coal mining or power generation
projects. These exclusions are included in the SFDR RTS Annex of the Portfolio.
Whilst net zero will become a continuing ambition of the Portfolio, it is not an outcome whichis guaranteed, nor is any guarantee given that progress towards this ambition for the Portfolio
will necessarily result in better returns for investors. A Portfolio’s progress towards thisambition may impact the performance of the Portfolio positively or negatively.
What do I need to do?
You do not need to do anything as a result of these changes, which will take effect automatically on
the Effective Date.

Shareholders should note that, once the above changes enter into effect, the new prospectus may beobtained at the registered office of the SICAV and will also be available onwww.columbiathreadneedle.com, in accordance with the provisions of the Prospectus.
What can I do if I disagree with the changes?
Shareholders may redeem their shares in the Portfolio, or exchange their shares into shares of analternative Portfolio of the Threadneedle (Lux) SICAV, free of any charges, by submitting a written
request to the Registrar and Transfer Agent: International Financial Data Services (Luxembourg) S.A.
until 15.00 Luxembourg time on 19 November 2023. Such redemption or exchange requests will beprocessed in the normal manner in accordance with the “Redemption of Shares” section of theProspectus. Contact details for International Financial Data Services are available on the “Contact”
section of our website www.columbiathreadneedle.com.
We are unable to provide financial or tax advice and we therefore suggest that you seek professional
advice about potential tax implications.
Additional information
If you have any other questions regarding this notice, please speak to your financial adviser.
Yours faithfully,

The Board

Important information: Your capital is at risk. Threadneedle (Lux) is a Luxembourg domiciled investment company withvariable capital ("SICAV"), managed by Threadneedle Management Luxembourg S.A.. This material should not be considered
as an offer, solicitation, advice or an investment recommendation. This communication is valid at the date of publication andmay be subject to change without notice. Information from external sources is considered reliable but there is no guarantee as
to its accuracy or completeness. The SICAV´s current Prospectus, the Key Investor Information Document (KIID)/Key
Information Document (KID) and the summary of investor rights are available in English and/or in local languages (whereapplicable) from the Management Company Threadneedle Management Luxembourg S.A., International Financial Data
Services (Luxembourg) S.A., your financial advisor and/or on our website www.columbiathreadneedle.com. These documents
are available in Switzerland from the Swiss Representative and Paying Agent CACEIS Investor Services Bank SA, Esch-surAlzette, Zurich branch, Bleicherweg 7, CH 8027 Zurich. Threadneedle Management Luxembourg S.A. may decide to terminate
the arrangements made for the marketing of the SICAV. Pursuant to article 1:107 of the Act of Financial Supervision, the subfund is included in the register that is kept by the AFM. Threadneedle (Lux) is authorised in Spain by the Comisión Nacionaldel Mercado de Valores (CNMV) and registered with the relevant CNMV's Register with number 177. Past performance iscalculated according to the BVI method in Germany.
In the EEA and Switzerland: Issued by Threadneedle Management Luxembourg S.A. registered with the Registre deCommerce et des Sociétés (Luxembourg), Registered No. B 110242, 44 rue de la Vallée, L-2661 Luxembourg, Grand Duchyof Luxembourg.
In the UK: Issued by Threadneedle Asset Management Limited. Registered in England and Wales, No. 573204. Registered
Office: 78 Cannon Street, London EC4N 6AG, United Kingdom. Authorised and regulated in the UK by the Financial Conduct
Authority.
In the Middle East: This document is distributed by Columbia Threadneedle Investments (ME) Limited, which is regulated by
the Dubai Financial Services Authority (DFSA). For Distributors: This document is intended to provide distributors’ withinformation about Group products and services and is not for further distribution. For Institutional Clients: The information inthis document is not intended as financial advice and is only intended for persons with appropriate investment knowledge andwho meet the regulatory criteria to be classified as a Professional Client or Market Counterparties and no other Person should
act upon it.
Columbia Threadneedle Investments is the global brand name of the Columbia and Threadneedle group ofcompanies.

Appendix A - Changes regarding the social objective of the Portfolio
Current Investment Objective and Policy

Investment Objective and Policy as from the Effective Date

The European Social Bond Portfolio seeks to achieve a total return from income andcapital appreciation by investing in debt securities that are considered to support orfund socially beneficial activities and development principally in Europe.

The European Social Bond Portfolio is actively managed and seeks to achieve a total returnfrom income and capital appreciation by investing in debt securities that are considered toprovide positive social outcomes by supporting or funding socially beneficial activities anddevelopment principally in Europe.

To meet its objective, the Portfolio invests principally in all forms of debt securities thatare rated Investment Grade and issued by a government or a supranational, public,
private or voluntary and/or charitable sector organisation, whether they have a fixed,
floating, variable or index-linked rate or have a zero coupon. These securities may
include covered bonds, agency bonds, mortgage and asset-backed securities (themortgage and asset-backed securities not exceeding 10% of the Portfolio’s Net Asset
Value) and Contingent Convertible Bonds (not exceeding 10% of the Portfolio’s Net
Asset Value). The Sub-Advisor will select debt securities that are rated as social
investments under the Social Rating Methodology, as described below.
Secondarily, the Portfolio may hold cash, near cash, Money Market Instruments andother debt securities.
Notwithstanding the above, in exceptional circumstances, from time to time, amaximum of 10% of the Portfolio’s net assets can be held in debt securities that donot, or are no longer deemed to qualify, as social investments under the Social Rating
Methodology. However, such debt securities must at least meet acceptableenvironmental, social and governance (ESG) standards as assessed by the SubAdvisor. These encompass any wider, material business involvement exposures theissuers may have, such as to the production of alcohol, tobacco, gambling, adultentertainment or controversial weapons, or to activities deemed to breach the UN
Global Compact.
The Portfolio will not invest or have more than 10% of its net assets in debt securities
that are rated below Investment Grade, provided that such securities are not rated
below B- or equivalent by any NRSRO at the time of purchase.
For the purposes of managing liquidity, the Portfolio may hold cash deposits, Money
Market Instruments and other cash-equivalent assets, including through UCIs.
The Portfolio is actively managed in reference to the ICE BofA Euro Non-Sovereign
Index (50%) and ICE BofA Euro Corporate Euroland Issuers Index (50%). The index
is broadly representative of the securities in which the Portfolio invests, and provides
a suitable target benchmark against which Portfolio performance will be measured
and evaluated over time. Accordingly, the index is not designed to specifically

To meet its objective, the Portfolio invests at least 90% of its net assets in all forms of debt
securities issued by a government or a supranational, public, private or voluntary and/or
charitable sector organisation, whether they have a fixed, floating, variable or index-linked
rate or have a zero coupon. These securities may include covered bonds, agency bonds,
mortgage and asset-backed securities (the mortgage and asset-backed securities notexceeding 10% of the Portfolio’s Net Asset Value) and Contingent Convertible Bonds (notexceeding 10% of the Portfolio’s Net Asset Value).
The Portfolio will not invest or have more than 10% of its net assets in debt securities thatare rated below Investment Grade, provided that such securities are not rated below B- or
equivalent by any NRSRO at the time of purchase.
For the purposes of managing liquidity, the Portfolio may hold ancillary liquid assets (i.e. bankdeposits at sight) and may also hold bank deposits, Money Market Instruments or money
market funds, for treasury purposes. In normal market conditions, investment in these assets
or instruments will not exceed 10% of the Portfolio's Net Asset Value.
The Sub-Advisor will only select debt securities that are rated as social investments under
the Social Rating Methodology, as described below, as well as ensuring that the issuers ofthese securities follow good governance practices. This means that the Sub-Advisor will
apply these non-financial selection criteria to at least 90% of the total net assets of thePortfolio, excluding investments in ancillary liquid assets, bank deposits, money market
instruments or money market funds for liquidity or treasury purposes.
The Portfolio is not managed in reference to a benchmark.
The ICE BofA Euro Non-Sovereign Index (50%) and ICE BofA Euro Corporate Euroland
Issuers Index (50%) is currently used as a point of comparison against which the Portfolio’s
financial performance may be compared. Through the application of the investment andassessment process set out below, the Sub-Advisor expects to exclude at least 20% of theconstituents of the index. The Portfolio is otherwise not subject to any constraints in relation
to the comparator index, and as a result of the application of the Social Rating Methodology
is expected to exhibit significant deviation from the index.

consider social characteristics. The Sub-Advisor has discretion to select investmentswith weightings different to the index, and that are not in the index, and the Portfolio
may display significant divergence from the index.

Overview of the investment and assessment processes

Deviations from the index, including guidance on the level of risk relative to the index,
will be considered as part of the Sub-Advisor’s risk monitoring process, to ensure theoverall level of risk is broadly consistent with the index. In line with its active
management strategy, there may be significant deviation from the index.

The Sub-Advisor’s investment process to achieve the social objective is summarised asfollows:

Investment process1.

Overview of the investment and assessment processes
Investment process

2.

The Sub-Advisor will select the debt securities based on credit analysis and the social
rating and categorisation produced under the Social Rating Methodology. The Social
Rating Methodology is a proprietary categorisation and rating model developed by the
Sub-Advisor, which analyses the social characteristics of each potential investment.
Under the methodology, each investment will be analyzed under a two-stream
process that:

3.

(i)

assesses the broad social intensity and intentionality associated with theuse of a bond’s proceeds, to categorize it as either an impact
investment, an investment with impact, as development finance or as
being general financing;(ii)

applies a three stage assessment model that examines and scores nine
aspects of the focus and social outcomes attributable to a bond, acrossfields of social development such as affordable housing, health andwelfare, education, employment, access to services and economic
regeneration and development, to derive a numerical score that, subject
to a de-minimis threshold, produces a social rating of minor, moderate,
good or strong. A bond rated as, or whose rating falls, below the deminimis threshold is subject to review and re-categorization as general
financing.

4.

Creating the social universe of investments by identifying categories of bonds withhigher potential for delivering one of 7 areas of social outcome (such as affordable
housing, health and welfare, economic regeneration and development) while
excluding those with negative social characteristics.
Adhering to particular social norms to ensure that no bond held by the Portfolio
violates set standards.
A focus on positive inclusion by carrying out a detailed assessment of the bond’s
contribution to positive social outcomes.
Ongoing governance, monitoring, engagement and reporting to maintain andenhance the Portfolio’s social focus and standards.

In applying the investment process, the Sub-Advisor will select the debt securities based on
credit analysis and the social rating and categorisation produced under the Social Rating
Methodology. The Social Rating Methodology is a proprietary categorisation and rating
model developed by the Sub-Advisor, which analyses the social characteristics of eachpotential investment. Under the methodology, each investment will be analysed under aprocess that:
(i)

(ii)

assesses the broad social intentionality associated with the use of a bond’s
proceeds, to categorise it as either an impact investment, an investment with
impact or as development finance, otherwise the investment is assessed as
general financing and lies outside the social universe eligible for investment.
assesses the broad social intensity by applying a three-stage assessment
model that examines nine characteristics of the social outcomes attributable toa bond to derive a numerical score that, subject to a de-minimis threshold,produces a social rating of minor, moderate, good or strong.

The categorization and ratings are then used by the Sub-Advisor in constructing thePortfolio.

The categorisation and ratings are then used by the Sub-Advisor in constructing the Portfolio.
A bond rated as, or whose rating falls, below the de-minimis threshold is subject to review
and re-categorisation as general financing.

The Sub-Advisor will apply these non-financial selection criteria to at least 90% of thetotal net assets of the Portfolio excluding ancillary liquid assets, and will use
measurement methods such as responsible investment rating and social outcome-As part of its investment process, the Sub-Advisor assesses the Portfolio’s investments toensure that, while positively contributing to social outcomes, the bonds do not significantly
harm other social (including environmental) sustainability objectives.

based exclusion screening to ensure that the Portfolio’s ESG profile and exposure tosocial outcome themes exceeds that of the index.
The Portfolio is categorised as one that promotes environmental or social
characteristics under Article 8 of the EU Regulation 2019/2088 on sustainabilityrelated disclosures in the financial services sector (SFDR).
Assessment and research process
The Sub-Advisor has partnered with INCO (http://inco.co.com/), an organisation
specialising in impact investment, to provide assistance in assessing and reporting on
the social outcomes of the Portfolio and providing research on trends and practices
relevant to impact investment.
To that end, a Social Advisory Panel (or “SAP”), composed of 3 members nominatedby the Sub-Advisor and 3 members nominated by INCO, has been established toreview, advise on and monitor the application and development of the Social Rating
Methodology as well as to review the actual social outcomes of investments that havebeen made by the Sub-Advisor.
The SAP will be chaired by one of the members nominated by INCO.
An annual social performance report, prepared by INCO and approved by the SAP,
will be made available to investors

The Sub-Advisor considers the principal adverse impacts (“PAIs”) of its investment decisions
that may negatively harm sustainability factors through ensuring minimum standards,
investment research and monitoring and engaging with issuers in respect of the PAI
indicators detailed in the SFDR RTS Annex of this Prospectus.
Assessment and research process
The Sub-Advisor has partnered with INCO (http://inco.co.com/), an organisation specialisingin impact investment, to provide assistance in assessing and reporting on the social
outcomes of the Portfolio and providing research on trends and practices relevant to impact
investment.
To that end, a Social Advisory Panel (or “SAP”), composed of 2 members nominated by the
Sub-Advisor, 3 members nominated by INCO and 2 independent appointees, has been
established to review, advise on and monitor the application and development of the Social
Rating Methodology as well as to review the actual social outcomes of investments that havebeen made by the Sub-Advisor.
An annual social impact report, prepared by INCO and approved by the SAP, will be madeavailable to investors.
Promotion of Social Objective
The Portfolio is considered to be within the scope of Article 9 of SFDR as it has a social (andhence sustainable) investment objective.
Further information on the Portfolio’s investment guidelines is included in the Social
Investment Guidelines available at columbiathreadneedle.com. Please also refer to theGeneral Sustainability Disclosures Appendix in this Prospectus for further information.
Information about the sustainable investment objective of the Portfolio is available in the
SFDR RTS Annex of this Prospectus.

Appendix B – Sustainable Investments and consideration of principle adverse impacts (PAIs)
1. Sustainable Investments
As from the Effective Date, the Portfolio will invest at least 90% of its total net assets in sustainable investments which for the Portfolio are considered to bebonds that provide positive social outcomes by supporting or funding socially beneficial activities and development, as assessed by the Sub-Advisor’s Social
Rating Methodology. The Sub-Advisor will also (a) use a set of exclusions to exclude bonds from issuers that derive revenue above specific thresholds fromindustries or activities that it considers offer minimal social benefits or have a high risk of negative outcomes on society and/or the environment and (b) engage
with issuers to enhance the Portfolio’s social focus and standards.
Even though the Portfolio is expected to invest at least 90% of its assets in sustainable investments, the minimum proportion of sustainable investments heldby the Portfolio will be 80% to cover the fact that ancillary liquid assets may be held by the Portfolio under unfavourable market conditions.
The Sub-Advisor will apply the Social Investment Criteria 1 to calculate the proportion of sustainable investments in the Portfolio. All bonds rated as social
investments by the Social Rating Methodology will count fully towards the portfolio alignment with sustainable investments, after the Portfolio’s DNSH (do notsignificantly harm) test is applied.
2. Consideration of PAIs
The Sub-Advisor of the Portfolio will proactively consider the PAIs of its investment decisions that may negatively harm sustainability factors through a
combination of exclusions, investment research and monitoring and engaging with investee companies.
As part of portfolio construction and stock selection, the Portfolio will put in place exclusions that correspond to sustainability indicators that cannot be held by
the Portfolio. The exclusions applied by the Portfolio will relate to fossil fuel exposure, non-renewable energy production, global norms, and controversial
weapons. In addition, it will consider PAIs as part of research into, and engagement with, investee companies on environmental sustainability indicators relating
to decarbonisation and biodiversity, and social factors such as discrimination and board gender diversity.
Principal adverse indicators will include indicators applicable to investments in corporate issuers, as well as indicators applicable to investments in sovereigns
and supranationals.
Investments will be assessed to ensure they do not significantly harm sustainability objectives using an in-house data driven model and investment team due
diligence and will be hence reported as social investments.
The model will identify harm by using a quantitative threshold against a selection of principal adverse impact indicators. Issuers which fall below these thresholds
will be flagged as potentially harmful. This will then be considered taking account of the materiality of the harm, whether harm has or is occurring, and whether
1i.e. Social Rating Methodology, exclusion of issuers which derive revenue from industries or activities above specific thresholds, exclusion of issuers that breach accepted international standards
and principles and engagement with issuers.

mitigating activities are underway to address harm. Where data is not available, investment teams will endeavour to satisfy that no significant harm has takenplace by deploying their best efforts to obtain the information by carrying out additional research or making reasonable assumptions through desk-based
research or engagement with the management team of the company.
In addition, all holdings must comply with a set of social and environmental exclusions which seek to avoid harming sustainability factors.