You could add a routine to automatically open then close any linked Excel files in the Annual Report workbook.
The following routine will do this, its fairly basic with no error checking. If a linked file was already open it will probably open a dialog box asking if you want to reopen the file. If this approach works for you, you could add a check for an already open file.
Put the following code in a standard VBA module in the Annual Report workbook
Dim varLinks As Variant
Dim strChar As String
Dim strWBName As String
Dim i As Integer
Dim n As Integer
'get all Excel workbook links into an array
varLinks = ActiveWorkbook.LinkSources(xlExcelLinks)
'get each workbook name (and path) and open it
For i = 1 To UBound(varLinks)
'have an empty string ready for the filename (without path)
strWBName = ""
'get the filename by working backwards until a "\" character
For n = Len(varLinks(i)) To 1 Step -1
strChar = Mid(varLinks(i), n, 1)
If strChar <> "\" Then
strWBName = strChar & strWBName
If strChar = "\" Then Exit For
'close the workbook we just opened
Put a button on a suitable toolbar and link to this routine, and click the button to run it whenever updating the Annual Report, or you could make this run whenever the Annual Report workbook opens.
To do that, put the code in the 'ThisWorkbook' module in the Workbook_Open() routine (omit the' Sub UpdateLinks() 'and' End Sub' statements from the suggested code as the Workbook_Open() routine provides the name of the routine and the 'End Sub').
Hope this works or gives you some further ideas for solving your problem.